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  • Security Analysis & Portfolio Management Assignment Risk & Return Submitted To: Sir Adnan Akhtar Submitted By: Jibran Khalil 10-ARID-1395 MBA 4th

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    This document analyzes the risk and return of Pakistan Engineering Co Limited stock from December 2009 to November 2011. It provides the monthly stock prices, returns, standard deviation of returns, covariance with market returns, and beta. The summary is that the stock had a negative average return of -7.508% with a high total risk of 11.93%, of which 11.91% was unsystematic and company-specific risk. Due to the large unsystematic risk component, the assistant recommends that investors should not invest in this stock.

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    return and risk of portfolio

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    Jibran

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    This document analyzes the risk and return of Pakistan Engineering Co Limited stock from December 2009 to November 2011. It provides the monthly stock prices, returns, standard deviation of returns, covariance with market returns, and beta. The summary is that the stock had a negative average return of -7.508% with a high total risk of 11.93%, of which 11.91% was unsystematic and company-specific risk. Due to the large unsystematic risk component, the assistant recommends that investors should not invest in this stock.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
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    13 views4 pages

    Security Analysis & Portfolio Management Assignment Risk & Return Submitted To: Sir Adnan Akhtar Submitted By: Jibran Khalil 10-ARID-1395 MBA 4th

    Uploaded by

    Jibran Malik
    This document analyzes the risk and return of Pakistan Engineering Co Limited stock from December 2009 to November 2011. It provides the monthly stock prices, returns, standard deviation of returns, covariance with market returns, and beta. The summary is that the stock had a negative average return of -7.508% with a high total risk of 11.93%, of which 11.91% was unsystematic and company-specific risk. Due to the large unsystematic risk component, the assistant recommends that investors should not invest in this stock.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 4

    Security Analysis & Portfolio Management

    Assignment
    Risk & Return
    Submitted To:
    Sir Adnan Akhtar
    Submitted By:
    JIBRAN KHALIL
    10-ARID-1395
    MBA 4th

    Date
    Dec-09
    Jan-10
    Feb-10
    Mar-10
    Apr-10
    May-10
    Jun-10
    Jul-10
    Aug-10
    Sep-10
    Oct-10
    Nov-10
    Dec-10
    Jan-11
    Feb-11
    Mar-11
    Apr-11
    May-11
    Jun-11
    Jul-11
    Aug-11
    Sep-11
    Oct-11
    Nov-11

    PAKISTAN ENGINEERING CO LIMITED (ENGINEERING SECTOR)


    closing HPR
    HPY= Rs(Rs - Rs)
    (Rs - Rs)2
    300
    302.99

    302.94
    310
    305
    300
    299.99
    300
    299.99
    310
    291.48
    280.43
    249.99
    150
    136.38
    104.54
    104
    90
    90
    50.79
    46.02
    41.5
    40.4
    36.95

    1.009967
    0.999835
    1.023305
    0.983871
    0.983607
    0.999967
    1.000033
    0.999967
    1.033368
    0.940258
    0.96209
    0.891452
    0.600024
    0.9092
    0.766535
    0.994835
    0.865385
    1
    0.564333
    0.906084
    0.901782
    0.973494
    0.914604

    0.996667
    -0.0165
    2.330494
    -1.6129
    -1.63934
    -0.00333
    0.003333
    -0.00333
    3.336778
    -5.97419
    -3.791
    -10.8548
    -39.9976
    -9.08
    -23.3465
    -0.51655
    -13.4615
    0
    -43.5667
    -9.39161
    -9.82182
    -2.6506
    -8.5396

    8.504946667
    7.491777805
    9.838774487
    5.895376774
    5.868935738
    7.504946667
    7.511613444
    7.504946667
    10.84505789
    1.534086452
    3.717282333
    -3.34647876
    -32.4893199
    -1.57172
    -15.8382517
    6.991731311
    -5.95325846
    7.50828
    -36.0583867
    -1.88333252
    -2.3135366
    4.85767759
    -1.03132396

    72.3341178
    56.1267347
    96.8014834
    34.7554673
    34.4444067
    56.3242245
    56.4243365
    56.3242245
    117.615281
    2.35342124
    13.8181879
    11.1989201
    1055.55591
    2.47030376
    250.850218
    48.8843067
    35.4412863
    56.3742686
    1300.20725
    3.54694139
    5.35245161
    23.5970316
    1.06362911

    35.99 0.974019

    Dec-11
    SUM

    AM=

    -2.59811 4.910174452 24.1098131

    -180.199

    Rs

    -7.50828

    s2=

    142.3323

    s=

    3415.9742

    11.93%

    Cov(Rs,Rm)=

    s=

    s2=

    3.212195

    Cov(Rs,Rm)/m2
    0.11957

    0.014297

    Analysis:
    Rs=

    -7.50828

    s=
    Rm=
    m=

    11.93%
    0.93%
    5.18%

    e=
    s=
    Bm =

    11.91%
    0.11957
    1

    Risk of security(11.93%) contain 11.91% of unsystematic r

    KSE 100 Index


    Closing
    9,386.92
    9,614.19
    9,657.79
    10,178.43
    10,428.12
    9,326.42
    9,721.91
    10,519.02
    9,813.05
    10,013.31
    10,598.40
    11,234.76
    12,022.46
    12,359.36
    11,289.22
    11,809.54
    12,057.54
    12,123.15
    12,496.03
    12,190.37
    11,070.58
    11,761.97
    11,868.88
    11,532.83

    HPR

    HPY=Rm (Rm-Rm) (Rm-Rm)2

    2.421135
    0.453496
    5.390881
    2.453129
    -10.5647
    4.240534
    8.199109
    -6.711367
    2.040752
    5.843123
    6.004303
    7.011276
    2.802255
    -8.658539
    4.608999
    2.099997
    0.544141
    3.075768
    -2.446057
    -9.185857
    6.245292
    0.908946
    -2.831354

    1.490315
    -0.477324
    4.460061
    1.522309
    -11.49552
    3.309714
    7.268289
    -7.642187
    1.109932
    4.912303
    5.073483
    6.080456
    1.871435
    -9.589359
    3.678179
    1.169177
    -0.386679
    2.144948
    -3.376877
    -10.11668
    5.314472
    -0.021874
    -3.762174

    1.024211
    1.004535
    1.053909
    1.024531
    0.894353
    1.042405
    1.081991
    0.932886
    1.020408
    1.058431
    1.060043
    1.070113
    1.028023
    0.913415
    1.04609
    1.021
    1.005441
    1.030758
    0.975539
    0.908141
    1.062453
    1.009089
    0.971686

    (Rs - Rs) (Rm

    -Rm)

    2.221039
    0.227838
    19.89215
    2.317424
    132.1471
    10.95421
    52.82803
    58.40302
    1.231949
    24.13072
    25.74023
    36.97194
    3.502269
    91.95581
    13.529
    1.366975
    0.149521
    4.600803
    11.4033
    102.3472
    28.24361
    0.000478
    14.15395

    12.67504909
    -3.576002784
    43.88153783
    8.974584075
    -67.46649102
    24.83922616
    54.59657754
    -57.35420321
    12.03727523
    7.535897177
    18.859567
    -20.34811594
    -60.80165405
    15.07178725
    -58.2559198
    8.174572284
    2.302000953
    16.10487213
    121.7647318
    19.05306749
    -12.29522451
    -0.106255016
    3.880020114

    11,347.66 0.983944

    -1.60559

    -2.53641 6.433377

    -12.45421706

    22.3397

    644.752

    77.09268276

    Rm=

    0.930819

    m2=

    26.86466

    m=

    5.18%

    Unsystematic Risk=

    s2=

    m22+e2

    e2=

    s2-m22
    141.9482

    e=

    11.91%

    11.91% of unsystematic risk. As the unsystematic risk is high so the investor will not invest in this security.

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