Professional Documents
Culture Documents
Of
Portfolio
Table of Content
Contents Page
Introduction 1
Objective 1
Methodology 1
Analysis of Probability 21
Conclusion 28
Introduction
Portfolio means combination of investment. On the other hand, Portfolio
management is the professional management of various securities (shares,
bonds and other securities) and assets (e.g., real estate), to meet specified
investment goals for the benefit of the investors. Investors may be
institutions (insurance companies, pension funds, corporations etc.) or
private investors (both directly via investment contracts and more commonly
via collective investment schemes e.g. mutual funds or exchange-traded
funds) .
As a part of our work study, we collected data about 4 companies. These are
Renata Limited
Eastern Bank & Southeast Bank are in Banking Industry. Renata Limited is
Permactical Company and United leasing is a financial institution.
Objective:
Our main objective in this report paper was to decide in which industry or
portfolio, we will invest. How we will manage our portfolio was also our
objective in this report.
Methodology
We collected price index of the shares and market index from the library of
Dhaka Stock Exchange. Then we calculated Expected Return, Standard
Deviation and Beta using 30 months and daily 25 days data.
Then we made 4 portfolios and calculated Coefficient of Variances and
Correlations using 30 months and daily 25 days data.
Market lot: 20
No of securities: 29208114
Market Category: A
Southeast Bank
Southeast Bank Limited was established in 1995 with a dream and a vision to
become a pioneer banking institution of the country and contribute
significantly to the growth of the national economy. The Bank was
established by leading business personalities and eminent industrialists of
the country with stakes in various segments of the national economy.
No of securities: 69308404
Market Category: A
Renata Limited
Market lot: 5
No of securities: 1807480
Market Category: A
United Leasing
Market lot 20
No of securities 5280000
Market Category: A
Table-02: Calculation of Expected Return and Standard Deviation of EBL using last
30 month’s data
TRADEDATE Rm -R̅ m Ebl (Re -R̅ e) (Rm -R̅ m)*(Re -R̅ e) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.000242189 -9.16403E-06 0.001432
26-05-2010 -0.02342 0.00019516 -4.57006E-06 0.000548
30-05-2010 -0.03097 0.000629914 -1.95071E-05 0.000959
31-05-2010 -0.03686 0.000127023 -4.68154E-06 0.001358
01-06-2010 -0.02991 0.000101833 -3.04587E-06 0.000895
02-06-2010 -0.03948 7.19463E-06 -2.8404E-07 0.001559
03-06-2010 -0.02729 8.64043E-05 -2.35754E-06 0.000744
06-06-2010 -0.03833 0.000549896 -2.10757E-05 0.001469
07-06-2010 -0.05718 0.000118963 -6.80283E-06 0.00327
08-06-2010 -0.01898 3.22607E-05 -6.12312E-07 0.00036
09-06-2010 -0.03472 0.000129468 -4.49465E-06 0.001205
10-06-2010 -0.02689 0.000565255 -1.52006E-05 0.000723
13-06-2010 -0.02596 5.46659E-06 -1.41921E-07 0.000674
14-06-2010 -0.03823 3.96629E-05 -1.51648E-06 0.001462
15-06-2010 -0.03477 4.08306E-05 -1.41979E-06 0.001209
16-06-2010 -0.04923 0.000385268 -1.89685E-05 0.002424
20-06-2010 -0.03995 0.000595224 -2.37807E-05 0.001596
21-06-2010 -0.05476 0.000525807 -2.8793E-05 0.002999
22-06-2010 -0.02065 6.30262E-05 -1.30133E-06 0.000426
23-06-2010 -0.04066 0.000120067 -4.88149E-06 0.001653
24-06-2010 -0.03625 3.47065E-05 -1.25796E-06 0.001314
27-06-2010 -0.03225 0.002920517 -9.41908E-05 0.00104
28-06-2010 -0.03797 0.000138075 -5.2426E-06 0.001442
29-06-2010 -0.04268 0.001128988 -4.81831E-05 0.001821
30-06-2010 -0.04089 0.000451182 -1.84469E-05 0.001672
βe -0.00992
TRADEDATE Rm -R̅ m South East (Rs-R̅ s) (Rm -R̅ m)*(Rs-R̅ s) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.05192415 -0.001964725 0.001432
26-05-2010 -0.02342 0.142370743 -0.003333893 0.000548
30-05-2010 -0.03097 0.017059622 -0.000528299 0.000959
31-05-2010 -0.03686 -0.022789111 0.000839915 0.001358
01-06-2010 -0.02991 -0.022913284 0.000685344 0.000895
02-06-2010 -0.03948 0.009763113 -0.000385442 0.001559
03-06-2010 -0.02729 0.003869201 -0.000105571 0.000744
06-06-2010 -0.03833 -0.020834012 0.0007985 0.001469
07-06-2010 -0.05718 -0.012426235 0.000710586 0.00327
08-06-2010 -0.01898 0.013998521 -0.000265694 0.00036
09-06-2010 -0.03472 -0.009470682 0.000328787 0.001205
10-06-2010 -0.02689 0.017991666 -0.000483824 0.000723
13-06-2010 -0.02596 0.021175613 -0.000549752 0.000674
14-06-2010 -0.03823 -0.008717635 0.000333312 0.001462
15-06-2010 -0.03477 -0.003934327 0.000136807 0.001209
16-06-2010 -0.04923 0.020115236 -0.000990365 0.002424
20-06-2010 -0.03995 -0.209845972 0.008383866 0.001596
21-06-2010 -0.05476 -0.012625261 0.000691355 0.002999
22-06-2010 -0.02065 0.016950702 -0.000349989 0.000426
23-06-2010 -0.04066 -0.013218948 0.000537437 0.001653
24-06-2010 -0.03625 0.009501533 -0.00034439 0.001314
27-06-2010 -0.03225 0.017432177 -0.000562212 0.00104
28-06-2010 -0.03797 -0.000979291 3.71828E-05 0.001442
29-06-2010 -0.04268 -0.005839537 0.000249221 0.001821
30-06-2010 -0.04089 0.001442017 -5.8958E-05 0.001672
βs 0.111203
TRADEDATE Rm -R̅ m reneta (Rre -R̅ re) (Rm -R̅ m)*(Rre -R̅ re ) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.051435381 -0.001946231 0.001432
26-05-2010 -0.02342 0.017974315 -0.000420904 0.000548
30-05-2010 -0.03097 0.003801291 -0.000117718 0.000959
31-05-2010 -0.03686 -0.031811663 0.001172449 0.001358
01-06-2010 -0.02991 0.001216007 -3.63712E-05 0.000895
02-06-2010 -0.03948 -0.009189708 0.000362804 0.001559
03-06-2010 -0.02729 -0.003180897 8.67909E-05 0.000744
06-06-2010 -0.03833 -0.02127221 0.000815295 0.001469
07-06-2010 -0.05718 0.001637184 -9.36213E-05 0.00327
08-06-2010 -0.01898 -0.028721145 0.000545131 0.00036
09-06-2010 -0.03472 0.005597248 -0.000194315 0.001205
10-06-2010 -0.02689 -0.000453087 1.21842E-05 0.000723
13-06-2010 -0.02596 -0.001307864 3.39542E-05 0.000674
14-06-2010 -0.03823 -0.007036343 0.000269029 0.001462
15-06-2010 -0.03477 -0.009939271 0.000345615 0.001209
16-06-2010 -0.04923 0.010585456 -0.000521171 0.002424
20-06-2010 -0.03995 -0.002248301 8.98252E-05 0.001596
21-06-2010 -0.05476 -0.011755355 0.000643719 0.002999
22-06-2010 -0.02065 0.001034118 -2.13519E-05 0.000426
23-06-2010 -0.04066 -0.001989958 8.09048E-05 0.001653
24-06-2010 -0.03625 -0.0037676 0.000136559 0.001314
27-06-2010 -0.03225 0.001894891 -6.11129E-05 0.00104
28-06-2010 -0.03797 -0.012705833 0.00048243 0.001442
29-06-2010 -0.04268 -0.005923853 0.000252819 0.001821
30-06-2010 -0.04089 -0.039844632 0.001629078 0.001672
βre 0.103513
Table-14: Calculation of Expected Return and Standard Deviation of ULC using last
30 month’s data
TRADEDATE Rm -R̅ m ULC (Ru-R̅ u) (Rm -R̅ m)*(Ru-R̅ u) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.000227919 -8.62407E-06 0.001432
26-05-2010 -0.02342 0.000788907 -1.84738E-05 0.000548
30-05-2010 -0.03097 9.24845E-05 -2.86404E-06 0.000959
31-05-2010 -0.03686 2.69189E-05 -9.92121E-07 0.001358
01-06-2010 -0.02991 0.00024939 -7.45934E-06 0.000895
02-06-2010 -0.03948 0.000262798 -1.03751E-05 0.001559
03-06-2010 -0.02729 0.000833492 -2.27419E-05 0.000744
06-06-2010 -0.03833 0.000584665 -2.24083E-05 0.001469
07-06-2010 -0.05718 6.36135E-06 -3.6377E-07 0.00327
08-06-2010 -0.01898 0.0003913 -7.42691E-06 0.00036
09-06-2010 -0.03472 0.004327295 -0.000150227 0.001205
10-06-2010 -0.02689 0.003016283 -8.11126E-05 0.000723
13-06-2010 -0.02596 0.000678829 -1.76235E-05 0.000674
14-06-2010 -0.03823 0.000358021 -1.36887E-05 0.001462
15-06-2010 -0.03477 0.005623729 -0.000195552 0.001209
16-06-2010 -0.04923 5.03638E-06 -2.47964E-07 0.002424
20-06-2010 -0.03995 0.00192645 -7.69665E-05 0.001596
21-06-2010 -0.05476 0.000110347 -6.04258E-06 0.002999
22-06-2010 -0.02065 0.000364128 -7.51833E-06 0.000426
23-06-2010 -0.04066 1.79079E-06 -7.28074E-08 0.001653
24-06-2010 -0.03625 7.82806E-05 -2.83734E-06 0.001314
27-06-2010 -0.03225 8.58056E-05 -2.76735E-06 0.00104
28-06-2010 -0.03797 0.00412692 -0.000156696 0.001442
29-06-2010 -0.04268 0.000146028 -6.23219E-06 0.001821
30-06-2010 -0.04089 1.64084E-06 -6.7087E-08 0.001672
β -0.02392
Southeast Bank
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.35 -0.15 -0.0525 0.05481 -0.20481 0.041947136 0.014681498
medium 0.35 0.0066 0.00231 0.05481 -0.04821 0.002324204 0.000813471
strong 0.3 0.35 0.105 0.05481 0.29519 0.087137136 0.026141141
R' 0.05481 V 0.04163611
SD 0.204049283
RenataLimited
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.2 -0.2 -0.04 0.0276 -0.2276 0.05180176 0.010360352
medium 0.4 0.009 0.0036 0.0276 -0.0186 0.00034596 0.000138384
strong 0.4 0.16 0.064 0.0276 0.1324 0.01752976 0.007011904
R' 0.0276 V 0.01751064
SD 0.132327775
UnitedLeasing
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.25 -0.24 -0.06 0.0425 -0.2825 0.07980625 0.019951563
medium 0.5 0.05 0.025 0.0425 0.0075 0.00005625 0.000028125
strong 0.25 0.31 0.0775 0.0425 0.2675 0.07155625 0.017889063
R' 0.0425 V 0.03786875
SD 0.194598947
Ta
ble 17: Calculation of Risk and Return Based ob probability
Analysis of Probability
In the case of EBL, we saw that the price of the share is reducing constantly.
Its return is negative and risk is high. So we estimate that possibility of
reducing of the price of share is very high and we are more risk averse, so
take more probability in weak point.
In the case of Southeast Bank Limited, we saw that the price of this share is
fluctuating in a limited range. So take equal probability in weak and medium
point and less probability in strong point, because we are more risk averse.
In the case of Renata Limited, condition of the price of this share is good.
Especially last 30 months, price of this share was increasing averagely. So
we take more probability in strong and medium point.
0.01 0.01
0.81 0.81
0.048276 0.048276
0.017511 0.041636
0.18 0.18
0.014529 0.03407
δ²port 0.120536 0.184582
Renata ULC Southeast ULC
R 0.0276 0.0425 0.05481 0.0425
SD 0.132328 0.194599 0.204049 0.194599
w 0.75 0.25 0.2 0.8
0.5625 0.04
0.0625 0.64
0.017511 0.041636
0.037869 0.037869
0.375 0.32
0.01193 0.025657
δ²port 0.109225 0.160178
We decide to invest our money in Portfolio C,D (Renata Limited and United
Leasing) and our investment weight is .75 and .25. Portfolio return of this
portfolio is .031 and risk is .109 that less risky than other portfolio.
Coefficient of variance and co-relation are also lower of this portfolio.
Similarly Beta of both shares is also low.
On the other hand, we again calculated the HPY of both shares in August 02,
2010 and we took June 30, 2010’s price as beginning value.
• The situation of our economy is not good, but the condition of our
stock markets is very good because of over cash flow in the market.
• Recently SEC reduces the loan ratio 1:1.5 to 1:1. For that reason,
markets are fallen down for short time. But the market is now very
well.
• In last Hartal day (JUNE 27, 2010), the transactions in the markets
were really surprising. On previous hartal days, the transactions were
reduced in most of the times. So it is a good impact on the markets.
Conclusion
Finally, we can say that it is not possible to indentify the best investment
opportunity in the market. So in this report paper we just decide to invest in
a portfolio, after analysing different things and based on our estimation. We
can not say that it the best investment opportunity. But we try our best to
analysis the portfolios.