This action might not be possible to undo. Are you sure you want to continue?
This is the final project of the Course Named: Investment & Portfolio Analysis. The purpose of this project is to examine thoroughly if the CAPM holds true in the emerging capital market of Pakistan. Tests are conducted for a period of five years (2005-2009), which is characterized by intense return volatility (covering historically high returns over the examined period).
Karachi Stock Exchange
Incorporated on March 10, 1949 Premier Stock exchange of the country Started with 5 companies that had a paid up capital of Rs. 37 million. Trading was done through an open-out-cry system The first index was the KSE 50 Index Exchange owned by 200 members 652 companies listed 4 indices Modern Risk Management System a. Var Based Margin Page b. Pre Trade Margin Verification
• • • • • • • • •
• • • • • I
KSE is FIX Compliant Electronic Trading through KATS Market capitalization*: US $ 26.04 billion Publicly Listed Company with strategic investor Products to include: a. Options
Investment Analysis & Portfolio Management
b. ETFs c. Tradable Sector Indices d. Debt Market Trading • • • Broad based investor participation Cross border listings of companies Opening up of branches in other cities and in the region
1.1.1.Definition A stock exchange, share market or bourse is a corporation or mutual organization which provides facilities for stock brokers and trader s, to trade company stocks and other security. A stock exchange, (formerly a securities exchange) is a
corporation or mutual organization which provides "trading" facilities for stock brokers and traders, to trade stocks and other securities. Stock exchanges also provide facilities for the issue and redemption of securities as well as other financial instruments and capital events including the payment of income and dividends. The securities traded on a stock exchange include: shares issued by companies, unit trusts, derivatives, pooled investment products and bonds. To be able to trade a security on a certain stock exchange, it has to be listed there. Usually there is a central location at least for recordkeeping, but trade is less and less linked to such a physical place, as modern markets are electronic networks, which gives them advantages of speed and cost of transactions. Trade on an exchange is by members only. The initial offering of stocks and bonds to investors is by definition done in the primary market and subsequent trading is done in the secondary market. A stock exchange is often the most important component of a stock market. Supply and demand in stock a market is driven by various I Investment Analysis & Portfolio Management GIFT University Page
factors which, as in all free markets, affect the price of stocks (see stock valuation). There is usually no compulsion to issue stock via the stock exchange itself, nor must stock be subsequently traded on the exchange. Such trading is said to be off exchange or over-the-counter. This is the usual way that derivatives and bonds are traded. Increasingly, stock exchanges are part of a global market for securities.
1.1.2. Vision To be a leading financial institution, offering efficient, fair and transparent securities market in the region and enjoying full confidence of the investors.
1.1.3. Mission To strive and provide quality and value-added services to the capital market in an efficient, transparent and orderly manner, compatible with international standards and best practices; To provide state of the art technology and automated trading Page operations driven by a team of professionals in accordance with good corporate governance; To protect and safeguard the interest of all its stakeholders, i.e. members, listed companies, employees and the investors at large; and To reflect country’s economic health and behaviour and play its role for the growth, development and prosperity of Pakistan. I Investment Analysis & Portfolio Management GIFT University
decision making ability. quick thinking ability. • Our workforce consists of a combination of youth and experience – perfectly suitable to the organization’s current requirement and future challenges.1. • KSE employs the best available human resource from the capital market and financial industry.KSE POSITIONED TO BE A HUB OF CAPITAL FORMATION IN THE REGION • • South Asian Federation of Exchanges (SAFE) Vice Chairmanship of the South Asian Federation of Exchanges Member Federation of Euro-Asian Exchanges (FEAS) • • Affiliate Member of the World Federation of Exchanges (WFE) Affiliate Member of International Organization of Securities Commissions (IOSCO) • Agreements with other Exchanges Dubai Financial Markets Abu Dhabi Securities Market Shanghai Stock Exchange 1. high intellect and superior skills characterizes our people.A 1. integrity and professionalism – attributes that define the person’s compatibility with KSE culture. • The key to our long-term success is the creative genius of our people and their drive towards excellence. confidence.4. • Candidates are selected based on their individual energy.THE FUTURE SUCCESS WILL DEPEND ON THE QUALITY OF HUMAN RESOURCES • A spirit of youthful energy.1. Page 4 I Investment Analysis & Portfolio Management GIFT University . • Our employees are exposed to an organizational commitment to continuous personal and professional development.1.
Page 1. where seasoned mentors groom their portages influence.A • Our people get involved in various initiatives ranging from management skills.1. KSE PLAY A KEY ROLE IN PAKISTAN’S ECONOMY • The KSE is one of Pakistan’s largest tax payer and in the fiscal year 2006.1. towards positions of greater responsibility and • Promoting a performance driven culture where ‘high performers’ are recognized for their exceptional contributions. • Listed Companies contribute over 10% of total revenue collected by the Government of Pakistan. • On a regular basis. 4 billion towards the national exchequer.1. some of our best performers are selected for our Mentoring Program. 1.1. • KSE brokers on average pay more than 50% of their profit before tax as presumptive tax. • Our investors pay 10% tax on dividends.2007 contributed over Rs.THIER CUSTOMER • • • Issuers (Listed Companies) Brokers and Members Investors 5 1.1. development and personal improvement.1. to technology advancement and process enhancement.THE TECHNOLOGY I Investment Analysis & Portfolio Management GIFT University .
A The Information Technology Group forms the Core of the Business Operations • Development.T. Oracle and Unisys for I. Caters to member’s complaints regarding computer network and trading systems. MARKET INDICES KSE 100 Index The KSE 100TM Index was introduced in 1991 and comprises of 100 companies selected on the basis of sector representation and highest market capitalization.1. • Partnerships infrastructure. one company from each Sector (excluding Open-End Mutual Fund) on the basis of the large market capitalization and the remaining 66 companies are selected on the basis of highest market capitalization. Customer Services Support. introduced in 2002 with a capacity of 1 million trades a day and unlimited number of users. • • • Software Development. The same methodology is I Investment Analysis & Portfolio Management GIFT University Page 6 . and Maintenance of servers and operating 1. dividend. 34 companies are selected i.e. Out of 35 Sectors. implementation and monitoring of state-of-the-art trading system known as Karachi Automated Trading System (KATS). • Administration systems. with Microsoft. • Disaster Recovery Management and Business Continuity Programs database backups. Testing and Training.e. This is a total return index i.. which captures over 80% of the total market capitalization of the companies listed on the Exchange. bonus and rights are adjusted.
The Index comprises of 100 companies selected on the Page basis of sector representation and highest market capitalization. • • Most recognized index of the KSE Representation from all sectors of the KSE and includes the largest companies on the basis of their market capitalization • Represents over 85% of the market capitalization of the Exchange.000 points.2. (except Open-End Mutual Funds). one company from each sector (excluding Open-End Mutual Fund Sector) on the basis of the largest market capitalization and the remaining 66 companies are selected on the basis of largest market capitalization in descending order. dividend.2. the KSE100 is similar to other indicators that track various sectors of the Pakistan economic activity such as the gross national product. which includes all the listed companies. I Investment Analysis & Portfolio Management GIFT University 7 . which captures over 80% of the total market capitalization of the companies listed on the Exchange. This is a total return index i. Out of the following 35 Sectors. In particular. 34 companies are selected i. etc.2.A applicable in the case of All Share Index. Thus. BRIEF ABOUT KSE-100 INDEX The KSE-100 Index was introduced in November 1999 with base value of 1.1. 1. consumer price index.e. bonus and rights are adjusted. OBJECTIVE The primary objective of the KSE100 index is to have a benchmark by which the stock price performance can be compared to over a period of time. the KSE 100 is designed to provide investors with a sense of how the Pakistan equity market is performing. 1.e.
Synthetic & Rayon 14 Sugar & Allied Industries 16. Cables & Electric Goods 26. Power Generation 20. Textile Weaving 11.2. Automobile Parts & Accessories 25. Fertilizer 30. Oil & Gas Companies 22. Open-end Mutual Funds 3. Miscellaneous 2.Technology 28. Allied Industries 33. Textile Spinning 10. Leather & Tanneries Products 34. Transport 27. LIST OF SECTORS 1. Paper & Board 32. Refinery 19. Textile Composite 12. Jute 15. Leasing Companies 6.2. Commercial Banks 8. Automobile Assembler 24. Modarabas 5. Cement 17. Oil & Gas Companies 21. Pharmaceuticals 31.A 1. Engineering 23. Insurance 9. Glass & Ceramics 35. Investment Banks 7. Woollen 29 Chemical 13.3.4. STOCK SELECTION RULES The selection criteria for stock inclusion in the recomposed KSE100 Index are: I Investment Analysis & Portfolio Management GIFT University . Close-end Mutual Funds 4. Personal Care Page 8 1. Tobacco 18.
or under both. Rule # 2 The remaining index places (in this case 66) are taken up by the largest market capitalization companies in descending order. The sectors chosen by us are mentioned below: • • • • I Automobile and Parts Banks Beverages Chemicals GIFT University Page 9 Investment Analysis & Portfolio Management . declare Non-Tradable (i. In other words. solely under rule 2.A Rule # 1 Largest market capitalization in each of the 34 Karachi Stock Exchange sectors excluding Open-end Mutual Fund Sector. Rule # 3 Company which is on the Defaulters’ Counter and/or its trading is suspended. A number of the 34 top sector companies may also qualify for inclusion on the basis of their market capitalization. companies may qualify solely under rule 1. The fact that the sector rule is identified as Rule 1 does not imply that it is more important.Methodology The methodology we adopt for the completion of this project is that our target was to select single KSE 100 Index listed company from each sector and we are more successful in doing that task. NT) in proceeding 6 months from the date of recomposition shall not be considered in the recomposition of KSE-100 Index. only that the nature of the selection process is such that it is the screening that is done first.e. 1.
A • • • • • • • • • • • • • • • • • • • • • • • • • Construction and Materials Electricity Electronic and Electrical Equipment Equity Investment Fertilizer Financial Services Fixed Line Telecommunication Food Producers Forestry and Paper Gas Water and Multiutilities General Industrials Health Care Equipment and Services Industrial Engineering Industrial metals and Mining Industrial Transportation Life Insurance Leisure Goods Non Life Insurance Oil and Gas Producers Personal Goods Pharmacy and Bio Tech Support Services Travel and Leisure Page Tobacco Technology Hardware and Equipment 10 Selected listed companies are listed below: i. Atlas Honda Ltd ii. National Bank of Pakistan I Investment Analysis & Portfolio Management GIFT University . Bank Al-Falah iii.
Pakistan International Airlines Corp (A) xxix.Pakistan Telephone Cables Ltd 11 1.Pakistan Telecommunication Ltd xiii.EFU Life Assurance Ltd xxii. PICIC GROWTH FUND x. ARIF HABIB SECURITIES xii.Adamjee Insurance Co Ltd xxvi.Rafhan Maize Products Ltd xiv. Murree Brewery v.Kohinoor Energy viii.Packages Ltd.A iv. Gharibwal Cement Ltd vii.Sui Northern Gas Pipelines Co Ltd xvi. xvii.TRG Pakistan (A) xxv.Pakistan Tobacco Co Ltd xxx.Security Papers Ltd xv.Companies Business Profile and Stock Prices Trend I Investment Analysis & Portfolio Management GIFT University .GlaxoSmithKline xxiv.Nishat Mills xxviii.Attock Refinery Ltd Page xxvii.International Industries Ltd xx.Pakistan Cables Ltd ix. Fauji Fertilizer xi.Pakistan National Shipping Corp Ltd xxi.Millat Tractors Ltd xix. Dawood Hercules vi.Grays of Cambridge (PAK) Ltd xxiii.Shifa International Hospitals Ltd xviii.
provides retail and commercial banking.A The selected companies business profile and Stock Price Trends are described below: 1.2. and the Middle East.1. The Company is a joint venture between the Atlas Group and Honda Motors Company of Japan. The Company also manufactures various hitech components in-house in collaboration with leading parts manufacturers like Showa and Toyo Denso. the Asia Pacific. and corporate finance products and services in Pakistan. Wright Quality Rating: LBA0 Page 12 1. The company offers retail lending and deposits. banking services. through its subsidiaries. The Company's principal activity is to manufacture and market motorcycles and auto parts. Bank Al-Falah Bank Al-falah Limited. trust and estates. private I Investment Analysis & Portfolio Management GIFT University . Atlas Honda Ltd Atlas Honda.
it provides services related to mergers and acquisition. it operated a network of 282 branches. underwriting. trust and estates investment advice. leasing. merchant/commercial/corporate cards. and prime brokerage. real estate. banking services. debts. Additionally. The company was founded in 1992 and is headquartered in Karachi. foreign exchanges. guarantees. factoring. Wright Quality Rating: DDNN Page 13 I Investment Analysis & Portfolio Management GIFT University . syndication. Its commercial banking products and services comprise project finance. As of December 31. the company offers a range of Islamic products under personal. 2 in Afghanistan. lending and repos. consumer. commodities. equity. corporate finance. bills of exchange. In addition. equity. credit.A lending and deposits. and corporate banking modes. as well as 5 in Bangladesh. including 48 Islamic Banking branches and 7 foreign branches. Pakistan. export finance. 2008. privatization. IPO. trade finance. Bank Alfalah Limited engages in the provision of safe deposit lockers. Further. and secondary private placements. and an offshore banking unit in Bahrain. brokerage debt. The company also involves in trading and selling fixed income. research. own position securities. and deposits. funding. securitization. and financial advisory services. and private labels and retail products. foreign currency remittance facilities. lending.
provides various commercial banking and related products and services in Pakistan and internationally. collection of local bills.3. The company’s international banking trade services include letters of credit. and derivatives products. Investment Analysis & Portfolio Management . collection of export bills. such as current deposit scheme. National Bank of Pakistan National Bank of Pakistan. export bills collection service. and utility bills collection services. which include currency options. which include deposit schemes. Its treasury products and services include Plain Vanilla FX products. and document presentation financing.A 1. handling of remittances. interest rate swaps and FRAs. which comprise of Murabaha and Ijarah. government collections. structured services. and cross currency swaps. and financing facilities. trade financing. as well as provides letter of credit facility. I trade pre– finance. issuance of bank drafts and pay orders. international payments and collection services. documentary credits. and profit and loss sharing deposit scheme. Pakistan Investment bonds. and payment post–shipment bank–to–bank GIFT University Page 14 reimbursements. through its subsidiaries. The company offers Islamic banking services.
and rum. Pakistan. as well as for the purchase of land and home construction. and shipping guarantee. including agricultural credit. National Bank of Pakistan is headquartered in Karachi. medium term loans. the company operated 1. in Pakistan and internationally. 15 maturated malt whiskies. products nonalcoholic beers. and energy drinks. corporate finance. and home construction and renovation. and diet and apple lemonades. farm credit. gin. which comprise vodka. such as working capital and short term loans.4.254 branches in Pakistan and 22 branches internationally. agricultural finance. It also provides personal loans. The I Investment Analysis & Portfolio Management GIFT University .A import finance. As of December 31. 2008. Murree Brewery Murree Brewery Company Limited engages in the manufacture and sale of alcoholic Its and nonalcoholic include products beers. and capital expenditure financing. liquors. and production loans. brandy. Wright Quality Rating: DCB5 Page 1. and home equity loan for home purchase.
purchase. Pakistan. Wright Quality Rating: DBB9 Page 16 I Investment Analysis & Portfolio Management GIFT University . mango. and sale of urea fertilizers in Pakistan. The company also offers anhydrous ammonia. It markets urea under the brand name Bubber Sher. and containers. Dawood Hercules Chemicals Limited was incorporated in 1968 and is headquartered in Lahore. orange. malted and plain vinegar. fructose. Wright Quality Rating: LCA1 1. and other miscellaneous chemicals. Murree Brewery Company Limited was founded in 1860 and is based in Rawalpindi.5. flavors. lemon. which comprise apple and strawberry jam. and lychee fruit juices. conserves. and orange marmalade. tomato ketchups in various sizes. it manufactures and sells glass bottles and jars. which is used in the manufacture of soda ash. orange. Pakistan. In addition.A company also produces and sells mango. Dawood Hercules Dawood Hercules Chemicals Limited engages in the production. and diet fruit squashes. and malt extracts.
Under the Capacity purchase price segment. The Company owns. Pakistan. Gharibwal Cement Limited was incorporated in 1960 and is headquartered in Lahore. Kohinoor Energy Kohinoor Energy Limited. the Company earns its revenue through the transmission of electricity that it produces. generates and maintains a furnace oil power station.6. the earnings of the Company which are due are considered. The company was formerly known as Ismail Cement Industries Limited and changed its name to Gharibwal Cement Limited in 1972. Wright Quality Rating: LCB2 I Investment Analysis & Portfolio Management GIFT University Page 17 . Gharibwal Cement Ltd Gharibwal Cement Limited produces and sells cement in Pakistan. It sells cement under PAIDAR brand name. 1.7. operates. The Company operates in two segments: Energy purchase price and Capacity purchase price. The Company operates in Pakistan.A 1. Under the Energy purchase price segment. The company primarily produces ordinary Portland cement. The Company's principal activity is to generate and sell electricity in Pakistan.
9.8. PICIC GROWTH FUND PICIC Growth Fund (Fund) is a closed end scheme and principal business is to invest in listed equity securities with an objective to generate capital growth. The Fund is managed in accordance with the provisions of the Non-Banking Finance Companies (Establishment and Regulation) Rules. as well provides copper rods. Pakistan Cables Ltd Pakistan Cables Limited manufactures and sells copper rods. cables and conductors. Pakistan. Lahore and Islamabad. and aluminum extrusion profiles primarily in Pakistan. I PICIC Asset Management Company Limited is the Page 18 Investment Analysis & Portfolio Management GIFT University . 1. 2003 (NBFC Rules. Pakistan Cables Limited was founded in 1953 and is headquartered in Karachi. The company also offers aluminum sections for the construction and architectural industry. and various special cables. and coaxial cables. 2003) and the certificates of the Fund are listed on all Stock Exchanges of Pakistan viz: Karachi. low voltage and medium voltage cables. It offers general wiring cables. such as airfield lighting and control cables. wires. telephone. intercom.A 1.
investment services. Fauji Fertilizer Company was incorporated in 1978 and is headquartered in Rawalpindi. 1. and potash based fertilizers. the company. Pakistan. financial advisory 19 services. and marketing of fertilizers and chemicals in Pakistan.Fauji Fertilizer Fauji Fertilizer Company Limited.10. operates in the financial services industry in Pakistan. as well as involves in the import of nitrogen.ARIF HABIB SECURITIES Arif Habib Securities Limited. together with its subsidiary. through I Investment Analysis & Portfolio Management GIFT University .11. It also operates as an asset management company managing open and closed-end mutual funds. The company offers ammonia/urea under the Sona brand name. The company offers securities brokerage broker and corporate finance services. together with its subsidiaries. In addition. purchase. engages in the manufacture. Page 1. and commodities services.A Investment Adviser and Central Depository Company of Pakistan Limited is the trustee of the Fund. phosphate. Fauji Fertilizer Bin Qasim Limited.
daily product accounts. including current accounts. 1. The Group's principal activity is to provide telecommunication services. term deposits. saving accounts. provides various commercial banking services. Page 20 I Investment Analysis & Portfolio Management GIFT University .A Arif Habib Bank Limited.12. Arif Habib Securities Limited was incorporated in 1994 and is based in Karachi. Pakistan. The Group provides domestic and international services and also other communication facilities throughout Pakistan.Pakistan Telecommunication Ltd Pakistan Telecommunication Company Limited(PTCL). It also provides cellular mobile telephonic services throughout Pakistan and Azad Jammu and Kashmir. as well as offers ATM withdrawal and personal accidental insurances. The Group also provides services to territories in Azad Jammu and Kashmir and northern areas. and prepaid card’s.
21 I Investment Analysis & Portfolio Management GIFT University .13. brewing. corn flour. The company is headquartered in Faisalabad. liquid caramel color. powder glues. oxidized. paper. It offers a range of industrial starches. hydrol. maize gluten meals. non-food. maize. The company’s products include corn. baking. corrugation. chemicals. dextrose monohydrate. liquid glucose and corn syrup. adhesives.Rafhan Maize Products Ltd Rafhan Maize Products Co. and gluten meal products.A 1. and specialty starches. is a subsidiary of Corn Products International Inc. manufactures and sells food ingredients and industrial products in Pakistan. Page and antibiotics confectionery. maize oil cake. cationic. modified. Pakistan. dextrin. and maize steeping liquor. and maize bran. foundry. poultry/cattle/fish industries. and corn germ meals. powder/liquid adhesives. maltose syrup. tobacco. Ltd. food energy drinks. Ltd. Rafhan Maize Products Co. feeds. It sells its products to textile. dextrose. maize gluten meals/feeds. liquid glucose. sweet-meats. pharmaceutical.
distribution. financial instruments.347 kilometers of pipeline.449 kilometers of pipeline.A 1. transmission. and supply of natural gas in Pakistan. the company’s transmission system comprised approximately 7. The company offers paper for bank notes. Sui Northern Gas Pipelines Limited serves various consumers in commercial. Pakistan. and university degree certificates. and constructs pipelines for other organizations. 1. such as judicial and non judicial stamp paper. and paper incorporating an organization’s insignia. It also plans. bond paper. domestic. general I Investment Analysis & Portfolio Management GIFT University Page 22 . designs. paper for driving licenses.15. As of June 30. birth certificates. The company was founded in 1965 and is headquartered in Karachi.Security Papers Ltd Security Papers Limited engages in the manufacture and sale of specialized paper for banknotes and non-banknote security documents in Pakistan and internationally. and distribution system consisted of 67.Sui Northern Gas Pipelines Co Ltd Sui Northern Gas Pipelines Limited engages in the purchase. 2009. paper for identity cards.14. It also offers other types of security paper.
16. and detergent industries. and tissue products in Pakistan. packaging materials. Further. In addition. and poster paper. food. and paper to produce laminates of two or more layers for providing layered protection against moisture. and board products. Packages Limited also manufactures and sells finished and semi-finished inks. plastic films. 1. paperboard. it offers consumer products. corrugated medium paper/fluting. Pakistan. fertilizer. It also provides corrugated cartons for the textile. such as packaging films. personal hygiene products. soap. and odors. and paper products.A industry. tobacco board and cardboard. including test liner. The company was founded in 1963 and is based in Lahore. food grade board. duplex board / chipboard. and engages in real estate development and I Investment Analysis & Portfolio Management GIFT University Page 23 . wrapping paper. and aluminum foil. such as liquid packaging board. and power and cement sectors.Packages Ltd Packages Limited engages in the manufacture and sale of paper. tobacco. specialized services. such as tissue products. gases. including rotogravure printing and sleeve-making. the company offers flexible packaging products. bleached board. high gloss writing paper. and liner board. The company offers various types of paper.
cardiology. Investment Analysis & Portfolio Management GIFT University 24 . pharmacy services. enhanced external counter pulsation services. support and services.17. pedriatrics. Pakistan. including pulmonology. services. 1.A construction activities. It also provides clinical and hospital services. plastic. diagnostic The services company that was comprise clinical laboratory. dentistry. obstetric and gynecology. clinic/kidney transplant. Pakistan. and Page neurology. psychiatry. general. orthopedic. rehabilitation. neuro. and throat surgery services. and specialized services consisting of emergency room services. nephrology. diagnostic imaging. The company offers clinical services. and specialized diagnostic I online services. endocrinology. dermatology.Shifa International Hospitals Ltd Shifa International Hospitals Limited engages in the establishment and operation of medical centers and hospitals in Pakistan. as well as ear. radiation oncology. ophthalmology. surgical urology gastroentrology. which include medicine services related to internal and medicine. incorporated in 1987 and is headquartered in Islamabad. nose. and home health services. The company was founded in 1957 and is headquartered in Lahore. and weight loss programs. medical checkups. cardiac.
and forklift trucks. it provides after-sales services. Millat Tractors Limited was founded in 1964 and is headquartered in Lahore. farm trailers. and export of agricultural tractors. The Group's principal activity is to manufacture and market hot and cold rolled based steel pipes and tubes in Pakistan. diesel engines. The Black pipes. lawn mowers. PE pipes. and multi application products in Pakistan. through its subsidiary. It's products include GI pipes. manufacture. In addition. such as various types of ploughs. sale. Pakistan. manufactures vehicles. and components. It offers a range of tractors from 50 horse power (hp) to 85 hp. industrial and domestic batteries. API pipes. It also provides agricultural implements. and agricultural loaders.19.A 1.International Industries Ltd International Industries Ltd. Structural pipes and CR strips. Black pipes. CR Tubes. Page 25 1. jib cranes.18. diesel generating sets and prime movers.Millat Tractors Ltd Millat Tractors Limited engages in the assembly. the company. Millat Industrial Products Limited. I Investment Analysis & Portfolio Management GIFT University . cells. Further. implements. It offers its products through dealers.
2009. fans. motorcycles. automotive sectors. It engages in the charter of vessels. Pakistan National Shipping Corporation also involves in the rental of real estate properties comprising commercial buildings I Investment Analysis & Portfolio Management GIFT University Page 26 .A GI Pipes are primarily used in transmission of water. oil tankers. and other related services. financial.20. T and Z profiles which are used for door and window frames. transportation of cargo. administrative. As of September 30. and combi vessels with a total carrying capacity of 453. 1. PE pipes are used by Telecom Companies. The Black pipes are used for scaffolding. the company operated a fleet of 10 vessels.748 DWT. oil. building and other general purpose fabrication. L. mechanical fabrication.Pakistan National Shipping Corp Ltd Pakistan National Shipping Corporation operates in the shipping industry in Pakistan and internationally. CR Tubes are used in bicycles. natural gas and other fluids. Gas Companies and Water/Sewerage Boards. and other services related to shipping to third parties. IIL welded Line Pipes are used in natural gas and oil pipelines and distribution systems. including bulk carriers. as well as in the provision of commercial. technical. furniture and other mechanical and general purpose industries. transformers.
EFU Life Assurance Ltd EFU Life Assurance Limited operates as a life insurance company in Pakistan. 1. loan insurance. savings. loan protection. security. and provident fund insurance products. 27 I Investment Analysis & Portfolio Management GIFT University . education planning products. capital growth bond. inflation protection benefit products. The company was founded in 1992 and is headquartered in Karachi.A and spaces under lease arrangements. Pakistan. accidental disability benefit. critical illness cover. EFU Life Assurance offers various group coverage products. accidental death benefit. critical illness products. It operates a branch network of approximately 100 offices throughout the country. natural disability benefit. including death. pension plans. The company is headquartered in Karachi. Page fortnightly income benefit. and accident and hospitalization plans for individuals. executive pension.21. and management of a repair workshop. terminal illness benefit. Pakistan. It offers prosperity for life. and Islamic fund products. The company offers unit-linked products.
23. anti-virals. a hockey manufacturing unit. including vaccines. Grays of Cambridge (PAK) Ltd The company which was incorporated as a private limited company went public in Apri listed on Karachi and Lahore Stock Exchanges in January 1987. GIFT University Investment Analysis & Portfolio Management Page 28 . central nervous system. The issue was very wel public and was over-subscribed by 200 times. At the same time. listed on Karachi and Lahore Stock Exchanges with an equity capital of 100 million rupees which was also over subscribed even under the prevailing crunch in the investment market.22. a global healthcare group. In the recent years GRAYS PAKISTAN has also worked on expansion in its corporate set up. 1. engages in the creation and discovery. antibacterials. the Company co-sponsored a leasing company named GRAYS LEASING LIMITED. dermatalogicals. Since then. oncology and emesis. development. a plan for diversification in financial and economic activities is also underway. PHARMACEUTICAL PRODUCTS The Company’s principal pharmaceutical products include medicines in the following therapeutic areas: respiratory. and vaccines. Respiratory: I The company’s products include Seretide/Advair.A 1. a record response by public. manufacture. over-the-counter (OTC) medicines.GlaxoSmithKline GlaxoSmithKline plc. cardiovascular and urogenital. metabolic. and as a result thereof. it acquired DAWN SPORTS (PRIVATE) LIMITED. company has a very strong demand which is well supported by the fact that its 10 rupe touched a 450 rupees price and is being quoted at Rupees 375 at present. and marketing of pharmaceutical products. as a wholly owned subsidiary. and health-related consumer products. Consequently.
A Flixotide/Flovent. Central Nervous System: The company’s product include Lamictal. which is used for the treatment of deep vein thrombosis and pulmonary embolism. Epivir. bipolar disorder. which is used for the treatment of deep vein thrombosis and pulmonary embolism. which are used for the treatment of asthma/cardiovascular disease. and Veramyst. Hycamtin. and Treximet. Valtrex. which is used for the treatment of depression and various anxiety disorders. Coreg CR. and shingles. Avandia and Avandamet. Oncology and Emesis: The company’s products include Arzerra. and Vesicare. which is used for the treatment of common infections. Arixtra. and Ziagen. which is used for the treatment of chronic hepatitis B. which is used for the treatment of epilepsy. which is used for the treatment of ovarian cancer. Imigran/Imitrex. which is used for the treatment of refractory chronic lymphocytic leukaemia. Cardiovascular and Urogenital: The company’s products include Avodart. which is used for the treatment of influenza. Combivir. Seroxat/Paxil. are used for the treatment of type 2 diabetes. which is used for the treatment of skin infections. hypertension. which is used for treatment of Parkinson’s disease and restless legs syndrome. which is used for the treatment of benign prostatic hyperplasia. which is used for the treatment of Page overactive bladder. Zeffix. pain. Requip. and Altabax. and depression (COPD). and cervical I Investment Analysis & Portfolio Management GIFT University 29 . and Serevent. which is used for the treatment of migraine. and left ventricular dysfunction post MI. and Relenza. which is used for the treatment of rhinitis. small cell lung cancer. AntiBacterials: The company’s products include Augmentin. which is used for the treatment of migraine. which is used for the treatment of mild-to-severe heart failure. which is used for the treatment of genital herpes. Anti-Virals: The company’s products include Epzicom/Kivexa. Metabolic: The company’s products. Lovaza. which are used for the treatment of HIV/AIDS. Trizivir. coldsores. Lexiva. which is used for the treatment of very high triglycerides. Fraxiparine. Agenerase.
A. Oral Healthcare: The company's oral healthcare products include Aquafresh. Merck. the treatment for dry mouth. Bristol-Myers Squibb. Amgen. Nicorette. which is used for the treatment of diphtheria. a range of toothpastes. Biotene. Tykerb/Tyverb. Competition The company's competitors include Abbott Laboratories. Macleans. a range of milk-based malted food and chocolate drinks. Polident.A cancer. and Votrient. Roche Holdings. and Dr Best. including Pronamel to protect from acid erosion. Poligrip. toothbrushes and Page mouthwashes. Cervarix. Fluarix and FluLaval. a range of energy and sports drinks. Oral healthcare. which are used for the treatment of seasonal influenza. OTC Medicines: The company's OTC medicines include Panadol. Competition I The company's major competitors include the GIFT University 30 Investment Analysis & Portfolio Management . Eli Lilly. such as NicoDerm. and Nutritional healthcare. Nutritional Healthcare: The company's nutritional healthcare products include Lucozade. smoking control products. which is used for the treatment of human papilloma type 16 & 18. which is used for the treatment of metastatic renal cell carcinoma. The and Sanofi-Aventis. portfolio CONSUMER HEALTHCARE PRODUCTS company’s comprises three main categories: Over-the-counter (OTC) medicines. Johnson & Johnson. the global paracetamol/acetaminophen analgesic. Pfizer. Citrucel. pertussis. and Corega denture care cleansers and adhesives. Nicabate and in the U. Novartis. polio. NiQuitin CQ.S. which is used for the treatment of advanced and metastatic breast cancer in HER2 positive patients. Contac. a blackcurrant juice-based drink. Tums. and FiberChoice. and other brands include Breathe Right nasal strips. tetanus. and Ribena. Sensodyne. and hepatitis B (HepB). Vaccines: The company's products include Infanrix/Pediarix. and other brands include Odol. which is used for the treatment of idiopathic thrombocytopenic purpura. a range of toothpastes. Horlicks. AstraZeneca. toothbrushes and mouthwashe s. Promacta/Revolade. and Rotarix is used for the treatment of rotavirus gastroenteritis.
In Nutritional healthcare the major competitors to Horlicks are Ovaltine and Milo malted food and chocolate drinks.A: Metamucil (laxative). GlaxoSmithKline plc said that it has signed a strategic alliance with Dong-a Pharmaceutical Co. Significant Events On March 03. 2010. 31 I Investment Analysis & Portfolio Management GIFT University . announced that they have established a research collaboration with GlaxoSmithKline plc to evaluate the delivery of various GSK therapies to the anterior (front) and posterior (back) tissues of the eye using the EyeGate II delivery system. On May 10. has also entered into an Page agreement with GlaxoSmithKline plc under which the two partners would develop a theranostic test designed to identify the appropriate metastatic melanoma treatment. History GlaxoSmithKline plc was founded in 1935. Inc.: Lemsip (cold remedy). Johnson & Johnson. Procter & Gamble. The alliance would initially co-promote selected GSK and Dong-A pharmaceutical products for use in primary care. Pepcid (indigestion) and private label smoking control products.A. Abbott Laboratories announced that it has entered into an agreement with GlaxoSmithKline plc (GSK) to develop a molecular diagnostic test intended for use as an aid in selecting patients who may benefit from a skin cancer treatment in development by GSK. BioMérieux S. Competitors to Ribena are primarily local fruit juice products. and Nicorette and Nicotinell (smoking control treatments). such as Colgate-Palmolive. and Pfizer. On April 29. 2010. Eyegate Pharmaceuticals. to-BBB announced that it has entered into a research collaboration with GlaxoSmithKline (GSK) involving to-BBB's proprietary G-Technology in delivering a biological compound to the brain. while Lucozade competes with other energy drinks.A international companies. Ltd. On May 11.A. 2010. BioMérieux S. Unilever. Its major competitor products in OTC medicines are: in the U. In March 2010.S. 2010.K. Nurofen and Anadin (analgesics). and GlaxoSmithKline plc signed an agreement to develop a molecular test for cancer. and in the U.
TRG Pakistan (A) The Resource Group (TRG) owns and operates call centers in Pakistan. 32 I Investment Analysis & Portfolio Management GIFT University . 1. United Arab Emirates and Saudi Arabia. kidnap and ransom and medical insurance. The other activities of the Company include investment and money management activities. The Company's principal activity is to underwrite marine. motor and miscellaneous insurance. Pakistan.A 1. The miscellaneous insurance covers engineering. The Company operates in Pakistan. The company was founded in 2002 and is based in Karachi.Adamjee Insurance Co Ltd Adamjee Insurance Company Limited. Page United Kingdom. bankers' insurance.25.24. bonding and surety. fire. burglary and theft.
high speed diesel. light diesel oil. cut back asphalt. furnace fuel oil.Attock Refinery Ltd Attock Refinery Limited. Page 33 I Investment Analysis & Portfolio Management GIFT University . paving asphalt. Jute batching oil and solvent oil. It also produces premium motor gasoline. mineral turpentine. aviation fuels. polymer modified bitumen. naphtha. low sulfur furnace fuel oil. The Company operates in Pakistan.26.A 1. The Company's principal activity is to refine crude oil. liquefied petroleum gas. kerosene oil.
It operates in three continents North America. 1. stitches. The Group also provides engineering and allied services. cloth and other goods and fabrics made from raw cotton. synthetic fibre and cloth. The Group's principal activity is to provide air transport services. The Group operates in two segments namely Page Airline Operation and Hotel Operations.A 1. weaves. dyes. prints. buys and sells textiles. The Group's principal activity is to manufacture spins. Sheikhupura. Lahore and Feroze Watwan. Europe and Asia.Pakistan International Airlines Corp (A) Pakistan International Airlines. bleaches.28. It deals in yarn.27. linen. 34 I Investment Analysis & Portfolio Management GIFT University . The Group's plants are located at Faisalabad. combs.Nishat Mills Nishat Mills Limited.
the world's most international tobacco group.A 1. with brands sold in 180 markets around the world. making us one of Pakistan's first foreign investments.Pakistan Tobacco Co Ltd Pakistan Tobacco Company Limited is part of British American Tobacco.29. and we work in all areas of the business from crop to consumer. The company is committed to providing consumers with excellent products and to demonstrating that we are meeting our commercial goals in the manner expected of a responsible tobacco group in the 21st century. We produce high quality tobacco products to meet the diverse preferences of millions of consumers. Page 35 I Investment Analysis & Portfolio Management GIFT University . Its operations in Pakistan began in 1947.
The Company's principal activity is to manufacture and market telecommunication cables.30. The Company operates in its domestic market. It undertakes the sale of its cable mainly to Pakistan Telecommunication Company Limited. The Company's plant has a capacity to produce two and a half million pair kilometer of various sizes of Telecommunication Cables from ten pairs to twelve hundred pairs per year. Page 36 I Investment Analysis & Portfolio Management GIFT University .A 1.Pakistan Telephone Cables Ltd Pakistan Telephone Cables Limited.
Although MPT is widely used in practice in the financial industry and several of its creators won a Nobel prize for the theory.Literature Review For literature review as necessary for project we have read certain articles and terms on the Internet and the best article we found that is on Modern Portfolio Theory (MPT) which contain certain terms and concepts required to us for the broad understanding. The brief description is defined below: 2. in recent I Investment Analysis & Portfolio Management GIFT University . Modern portfolio theory Page 37 Capital Market Line Modern portfolio theory (MPT) is a theory of investment which tries to maximize return and minimize risk by carefully choosing different assets.1.A 2.
MPT was developed in the 1950s through the early 1970s and was considered an important advance in the mathematical modeling of finance. Thus. Since then. By combining different assets whose returns are not correlated. defines risk as the standard deviation of return. in theory. MPT seeks to reduce the total variance of the portfolio. when the prices in the stock market fall. For example. A collection of both types of assets can therefore have lower overall risk than either individually. MPT is a mathematical formulation of the concept of diversification in investing. MPT models an asset's return as a normally distributed random variable. Risk and return MPT assumes that investors are risk averse.2. and models a portfolio as a weighted combination of assets so that the return of a portfolio is the weighted combination of the assets' returns. Further. with the aim of selecting a collection of investment assets that has collectively lower risk than any individual asset. much theoretical and practical criticism has been leveled against it. These include the fact that financial returns do not follow a Gaussian distribution and that correlations between asset Page classes are not fixed but can vary depending on external events (especially in crises). More technically. and vice versa. because different types of assets often change in value in opposite ways. there is growing evidence that investors are not rational and markets are not efficient. MPT also assumes that investors are rational and markets are efficient. This is possible.A years the basic assumptions of MPT have been widely challenged by fields such as behavioral economics. investors will prefer the less risky one. meaning that given two assets that offer the same expected return. 38 2. the prices in the bond market often increase. an investor will take on increased risk only if I Investment Analysis & Portfolio Management GIFT University .
e. while return is an expectation on the future. The effect of this assumption is that only the expected return and the volatility (i. see criticism. The change in volatility is non-linear as the weighting of the component assets changes. Under the model: • Portfolio return is the proportion-weighted combination of the constituent assets' returns. MPT further assumes that the investor's risk / reward preference can be described via a quadratic utility function. an investor who wants higher returns must accept more risk. There are problems with this. such as its skew (measures the level of asymmetry in the distribution) or kurtosis (measure of the thickness or so-called "fat tail"). volatility. Note that the theory uses a parameter. The investor is indifferent to other characteristics of the distribution of returns. mean return and standard deviation) matter to the investor. Page • Portfolio volatility is a function of the correlation ρ of the component assets. This is in line with the efficient market hypothesis and most of the classical findings in finance..A compensated by higher expected returns. if for that level of risk an alternative portfolio exists which has better expected returns. In general: • Expected return:- 39 I Investment Analysis & Portfolio Management GIFT University . Conversely. as a proxy for risk.. The exact trade-off will differ by investor based on individual risk aversion characteristics.e. The implication is that a rational investor will not invest in a portfolio if a second portfolio exists with a more favorable risk-return profile – i.
• Portfolio variance:- . where . Diversification An investor can reduce portfolio risk simply by holding combinations of instruments which are not perfectly positively correlated (correlation coefficient -1<(r)<1)). • Portfolio volatility:- For a two asset portfolio:• Portfolio return: • Portfolio variance: For a three asset portfolio:• • Portfolio return: Portfolio variance: Page 1. In other words. where ρij = 1 for i=j.A Where Ri is return and wi is the weighting of component asset i. investors can reduce their exposure to individual asset risk by holding a diversified portfolio of 40 I Investment Analysis & Portfolio Management GIFT University .1. Alternatively the expression can be written as: .
A assets. the change in return and also in risk is linear. short-term Government securities (such as US treasury bills) are used as a risk-free asset. it is also uncorrelated with any other asset (by definition: since its variance is zero).2. I Investment Analysis & Portfolio Management GIFT University Page 41 . If all the assets of a portfolio have a correlation of +1. perfect positive correlation. perfectly uncorrelated. the assets are inversely correlated. As a result.e. i... Diversification may allow for the same portfolio return with reduced risk.e. or portfolio of assets. Because both risk and return change linearly as the risk-free asset is introduced into a portfolio. the portfolio variance and hence volatility will be less than if the correlation coefficient is 0. when it is combined with any other asset. i. the portfolio volatility (standard deviation) will be equal to the weighted sum of the individual asset volatilities.e. The line starts at 100% in the risk-free asset and weight of the risky portfolio = 0 (i. In practice. i.e. If correlation coefficient is less than zero (r=0). The risk-free asset has zero variance in returns (hence is risk-free). Hence the portfolio variance will be equal to the square of the total weighted sum of the individual asset volatilities. intercepting the return axis at the risk-free rate) and goes through the portfolio in question where riskfree asset holding = 0 and portfolio weight = 1. If all the assets have a correlation of 0. this combination will plot a straight line in risk-return space. 1.. because they pay a fixed rate of interest and have exceptionally low default risk.. The risk-free asset The risk-free asset is the (hypothetical) asset which pays a risk-free rate. the portfolio variance is the sum of the individual asset weights squared times the individual asset variance (and the standard deviation is the square root of this sum).
It can be proven that it is a straight line and that it has the following equation.A Using the formulae for a two asset portfolio as above: • Return is the weighted average of the risk free asset. f. and C is a combination of portfolios P and F.1. In this formula P is the risky portfolio.2. 1. portfolio standard deviation is simply a function of the weight of the risky portfolio in the position. The efficient frontier I Investment Analysis & Portfolio Management GIFT University . and is therefore linear: • Since the asset is risk free. and the risky portfolio. This relationship is linear. F is the riskless portfolio. p. Page 42 1. Capital allocation line The capital allocation line (CAL) is the line of expected return plotted against risk (standard deviation) that connects all portfolios that can be formed using a risky asset and a riskless asset.
The line along the upper edge of this region is known as the efficient frontier (sometimes "the Markowitz frontier"). Mathematically the Efficient Frontier is the intersection of the Set of Portfolios with Minimum Variance (MVS) and the Set of Portfolios with Maximum Return. an alternative illustration from the diagram in the CAPM article is at right. Conversely. Formally. the portfolio lying on the efficient frontier represents the combination offering the best possible return. and the collection of all such possible portfolios defines a region in this space. The efficient frontier is illustrated above. the efficient frontier is the set of maximal elements with respect to the partial order of product order on risk and return. with return μp on the y-axis. for a given amount of risk. Combinations along this line represent portfolios (explicitly excluding the risk-free alternative) for which there is lowest risk for a given level of return.A Efficient Frontier. The efficient frontier will be convex – this is because the risk-return characteristics of a portfolio change in a non-linear fashion as its I Investment Analysis & Portfolio Management GIFT University Page 43 . The hyperbola is sometimes referred to as the 'Markowitz Bullet' Every possible asset combination can be plotted in risk-return space. and risk σp on the x-axis. the set of portfolios for which one cannot improve both risk and return.
(As described above. No portfolios can be constructed corresponding to the points in this region. Matrices are preferred for calculations of the efficient frontier. Points below the frontier are suboptimal. results in the portfolio Page w is a vector of portfolio weights and . the efficient front is found wi = 1. The region above the frontier is unachievable by holding risky assets alone. for a given "risk tolerance" by minimizing the following expression: wTΣw − q * RTw where • ∑ i • (The weights can be negative.A component weightings are changed. In matrix form. • • Σ is the covariance matrix for the assets in the portfolio. and • R is a vector of expected returns. A rational investor will hold a portfolio only on the frontier. .) The efficient frontier is a parabola (hyperbola) when expected return is plotted against variance (standard deviation). which means investors can short a security. q is a "risk tolerance" factor. and thus changes in a non-linear fashion as the weighting of component assets changes.). portfolio risk is a function of the correlation of the component assets. 44 The front is calculated by repeating the optimization for various I Investment Analysis & Portfolio Management GIFT University . where 0 results in the portfolio with minimal risk and with maximal return.
MATLAB. The portfolio on the efficient frontier with the highest Sharpe Ratio is known as the market portfolio. offering a higher return for the same risk as the point below it on the frontier. it is possible to construct portfolios whose risk-return profiles are superior to those on the efficient frontier. a leveraged portfolio. it is the tangencyportfolio in the above diagram. • An investor holding a portfolio of risky assets.1. • The investor who borrows money to fund his/her purchase of the risky assets has a negative risk-free weighting – i. but since the efficient frontier is concave. this combination will sit above the efficient frontier – i. The market portfolio The efficient frontier is a collection of portfolios. A quantity known as the Sharpe ratio represents a measure of the amount of additional return (above the risk-free rate) a portfolio provides compared to the risk it carries. including Microsoft Excel.A Many software packages. Mathematica and R.1. Here the return is geared to the risky portfolio. This combination will again offer a return superior to those on the frontier. 1. or sometimes the super-efficient portfolio.e. provide optimization routines suitable for the above problem. The return and standard deviation will be lower than the portfolio alone. by combining a risk-free asset with risky assets. 1. has a positive risk-free weighting (a de-leveraged portfolio). This portfolio has the property that any I Investment Analysis & Portfolio Management GIFT University Page 45 .. Thus. Portfolio leverage An investor adds leverage to the portfolio by borrowing the risk-free asset. each one optimal for a given amount of risk..e. The addition of the risk-free asset allows for a position in the region above the efficient frontier. with a holding in cash.
portfolio risk or market risk) refers to the risk common to all securities . One can prove that the CML is the optimal CAL and that its equation is 1. Just the special case of the market portfolio with zero cash weighting is on the efficient frontier. and risk σp on the x-axis. Capital market line When the market portfolio is combined with the risk-free asset. The CML is illustrated above.A combination of it and the risk-free asset will produce a return that is above the efficient frontier—offering a larger return for a given amount of risk than a portfolio of risky assets on the frontier would.2. Since a rational investor would hold the market portfolio. Page 46 1. 1. unsystematic. or idiosyncratic risk. All points along the CML have superior risk-return profiles to any portfolio on the efficient frontier. Systematic risk (a.a. the result is the Capital Market Line. Additions of cash or leverage with the risk-free asset in combination with the market portfolio are on the Capital Market Line. Asset pricing using MPT A rational investor would not invest in an asset which does not improve the risk-return characteristics of his existing portfolio. Systematic risk and specific risk Specific risk is the risk associated with individual assets . MPT derives the required return for a correctly priced asset in this context.3. All of these portfolios represent the highest possible Sharpe ratio. with return μp on the y-axis.within a portfolio these risks can be reduced through diversification (specific risks "cancel out").k.except for I Investment Analysis & Portfolio Management GIFT University . the asset in question will be added to the market portfolio. unique. Specific risk is also called diversifiable.4.
creating a "market neutral" portfolio. Within the market portfolio.e. discount rate) for an asset in a market. the risk of a security will be the risk it adds to the market portfolio. systematic risk cannot be diversified away (within one market).. Capital asset pricing model The asset return depends on the amount paid for the asset today. is the measure of asset sensitivity to a movement in the overall market. Beta. Since a security will be purchased only if it improves the risk / return characteristics of the market portfolio. asset specific risk will be diversified away to the extent possible. 1. the volatility of the asset. Systematic risk is therefore equated with the risk (standard deviation) of the market portfolio. The (maximum) price paid for any particular asset (and hence the return it will generate) should also be determined based on its relationship with the market portfolio. The price paid must ensure that the market portfolio's risk / return characteristics improve when the asset is added to it. Beta is usually found via regression on historical Investment Analysis & Portfolio Management GIFT University .these are broadly referred to as conditional asset pricing models). The CAPM is usually expressed: Page 47 • I β.5. given the risk-free rate available to investors and the risk of the market as a whole. Systematic risks within one market can be managed through a strategy of using both long and short positions within one portfolio.A selling short as noted below. is historically observed and is therefore a given (there are several approaches to asset pricing that attempt to price assets by modelling the stochastic properties of the moments of assets' returns . The CAPM is a model which derives the theoretical required return (i. In this context. and its correlation with the market portfolio.
Page i.A data. follows from the formulae for a two asset portfolio. will at least match the gains of spending that money on an increased stake in the market I Investment Analysis & Portfolio Management GIFT University 48 . the expected excess return of the market over the risk-free rate. an asset is correctly priced when its observed price is the same as its value calculated using the CAPM derived discount rate. betas below one indicate lower than average. less sensitive stocks will have lower betas and be discounted at a lower rate. Betas exceeding one signify more than average "riskiness". E(ri). Once the expected return. is calculated using CAPM. is correctly priced. a. These results are used to derive the asset appropriate discount rate. If the observed price is higher than the valuation. risk added to portfolio = but since the weight of the asset will be relatively low. the improvement in risk to return achieved by adding it to the market portfolio. A more risky stock will have a higher beta and will be discounted at a higher rate. is added to the market portfolio. • is the market premium. (1) The incremental impact on risk and return when an additional risky asset. the future cash flows of the asset can be discounted to their present value using this rate to establish the correct price for the asset. additional risk = Return = Hence additional return = (2) If an asset.e. then the asset is overvalued. m. Risk = Hence. a. m. it is undervalued for a too low price. In theory.
Standard Deviation and Beta. we put all these prices in the MS Excel Spread Sheet as it is the necessity of project.e.g. The assumption is that the investor will purchase the asset with funds borrowed at the risk-free rate. Thus: i. Rf. The companies which we have selected are listed in KSE 100 index.the covariance between the asset and the market compared to the variance of the market. First we record the prices of each stock from the period December 2004 to December 2009. we began to perform specific formulas in order to calculate the required variables and values.brecorder.e.Data Analysis and Findings We have done this project in the certain stages. Portfolio Expected Mean. β -. MS Excel is also suitable from the perspective applying formulas in order to calculate the specific terms e.com. which accounts for 61 months prices of 30 stocks (companies). : i. The steps after entering the data are described below: Page 49 I Investment Analysis & Portfolio Management GIFT University . 1.e.A portfolio. We have collected all these prices from website URL: www. the sensitivity of the asset price to movement in the market portfolio. this is rational if . i. After the collection of Data. After entering all the data in the table. : is the “beta”.
A 1. Return Matrix We have calculated Return Matrix based on the formula mention below: Syntax = (New Price of Stock.1. After calculating the Return Matrix. we also obtain Mean by applying following formula: Syntax I Investment Analysis & Portfolio Management GIFT University 50 .Previous Period Price)/Previous Period Price Formula Used = (C4-C3)/C3 Window Display Page So by obtaining the Return Matrix we will be remained with the 60 values.
Mean of Return Matrix of each stock. Next we have calculated the Beta of Each Stock. Formula Used =C68-$C$128 Window Display Page 51 I Investment Analysis & Portfolio Management GIFT University .A =Average( Return Matrix Value of each stock) Formula Used =AVERAGE(C68:C127) At this stage we have calculated 30 Mean Values.$AG$68:$AG$127) 1.2. All values of KSE 100 Index) Formula Used =SLOPE(C68:C127. which acquired by using following formula: Syntax =Slope(All values of specific stock’s retun matrix. Excess Mean Matrix Now. we have calculated 60 values of Excess Mean Matrix obtained by using following formula: Syntax =(Specific Period Return Matrix.
Transpose of Excess Matrix We have obtained the transpose of Excess Matrix in this step. Syntax =(All cells of Excess Mean Matrix excluding the Index Price) Formula Used =TRANSPOSE(C133:AF192) And press Ctrl+Alt+Enter after writing the formula Window Display Page 52 I Investment Analysis & Portfolio Management GIFT University . Transpose is normally used to the rows into columns and the columns into rows.3.A 1.
Page 53 1.4. Syntax =Transpose(All Mean Values of Retrun Matrix) Formula Used =TRANSPOSE(C128:AF128) And press Ctrl+Alt+Enter after writing the formula. we have drawn the Variance Covariance Table and calculated the values by using following formula: Syntax Select all cells where the data is to placed and enter in fx space: I Investment Analysis & Portfolio Management GIFT University . Variance Covariance Now.A In this step we have also taken the transpose of Mean Values in the Return Matrix Table.
All cells of Excess Mean Matrix)/Number of values Formula Used =MMULT(C196:BJ225. Case 1 In this case we assume that the Risk-Free-Rate is equal is Zero. And perform essential steps. i. you will get Variance Covariance Window Display 1.A =mmult( All cells of Transpose of Excess Mean.C133:AF192)/60 And press Ctrl+Alt+Enter.RFR) I Investment Analysis & Portfolio Management GIFT University Page 54 . ‘R-C’: The values of R-C is obtained by using following formula: Syntax =(Mean of Stock.5.
A Formula Used =AH229-$G$261 ii.034287621 0% Page 0.541258585 -1.0057423 2 16 0.482044972 0. Z-Portfolio: The values of z-portfolio is obtained by using following formula: Syntax Select all cells where the data is to placed and enter in fx space: =mmult(minverse(All cells of Variance Covariance).529687862 4. Portfolio 1: The values of portfolio-1 is obtained by using following formula: Syntax: =(First Value of Z-Portfolio/Sum of Z-Portfolio) Formula Used =D264/$D$294 Case 1 When Constant is Zero R-C ZPortfolio 1.0031365 4 63 1 Portfolio 1 0.625266099 55 I Investment Analysis & Portfolio Management GIFT University .B264:B293) iii.392261462 1.821796264 2.780750909 -4. All cells of R-C) Formula Used =MMULT(MINVERSE(C229:AF258).0116087 3 12 0.0053522 62 0.
848867606 2.A 5 6 7 8 9 1 0 1 1 1 2 1 3 1 4 1 5 1 6 1 7 1 8 1 9 2 0 2 1 2 2 2 3 2 4 2 0.430856725 0.421226692 1.032319787 -0.640328647 Page 56 I Investment Analysis & Portfolio Management GIFT University .769586793 -0.0030381 29 0.193185087 0.130857111 -1.108907957 0.115178407 0.017137556 0.0130058 36 0.628522851 0.0156640 65 0.0062048 68 0.5062188 41 0.309770337 -0.055756611 0.358626619 -2.374730068 0.0045010 66 0.140040641 -2.083293244 0.503831393 -0.0038944 31 0.657770735 -0.0007782 74 0.0086180 54 0.425740339 -3.124937219 -0.133960301 0.327689845 1.0046366 67 0.332541481 -0.0051611 66 0.0131439 09 0.0092658 13 0.0027330 77 1.761769533 6.007830047 -1.000447173 2.354329316 0.102211168 -0.0116590 9 0.000137445 0.0076617 73 0.0267871 13 0.401781583 0.336995812 -0.0105874 7 0.096407449 -2.225598095 -0.913430119 -1.240291179 -0.408083617 0.733977762 -0.0151960 25 0.781781343 -1.689311489 0.0079073 01 0.37045051 3.0286135 1.
A 5 86 2 0.pk → Economic Statistics → Auction T-rate → 12 month The RFR is calculated by taking sum Auction Treasury Rate 12 month value and divide that sum by their numbers.1.46777689 0.011232109 1 1. So RFR which will we used in the Excel File is approximately 10.12%.788237972 0. For RFR calculation we have perform following actions on State Bank of Pakistan in to open PDF file of 12-Auction treasury rate.0299255 9 78 3 0. we have taken the value of RFR is equal to 10.0117098 7 19 2 0. www. ‘R-C’: We have assumed R-C values of Case–II by using following formula: Syntax: =(Mean Value of Return Matrix-RFR Value) Formula Used =AH229-$F$296 I Investment Analysis & Portfolio Management GIFT University 57 . Case-II In this case.290018776 0.036543385 3.519950777 -2.548744025 -0.12%.org. Page After getting the RFR.sbp. we have performed following steps: i.0200222 8 21 2 0.143777619 0.0109350 0 76 Su m 0.159813977 -0.168663975 -0.564512536 0.0205625 6 59 2 0.
976363591 I Investment Analysis & Portfolio Management GIFT University .178752499 0.28765626 -8.A ii. Portfolio 2: The values of portfolio-1 is obtained by using following formula: Syntax: =(First Value of Z-Portfolio/Sum of Z-Portfolio) Formula Used =D299/$D$329 Case 2 When Constant is not zero R-C 1 2 3 4 5 6 -9.B264:B293) iii.084385503 Page 58 ZPortfolio 1.81% -8.06% 10.96% -9.171919625 0.82% -9.0144915 -1. Z-Portfolio: The value of Z-Portfolio is obtain by using following formula: Select all cells where the data is to placed and enter in fx space: =mmult(minverse(All cells of Variance Covariance).12% Portfolio 2 -0.071611441 -4. All cells of R-C) Formula Used =MMULT(MINVERSE(C229:AF258).215095499 -18.039625506 0.69% -8.178706051 19.010074065 0.011080846 -0.58% -10.
71928369 -0.131380267 0.115801627 1.012643355 -0.701977708 -3.04% -10.074971187 -0.019890347 -0.054812514 0.127713338 0.91% -10.065090381 -13.50 % -7.138019951 0.3732906 Sum 0.44% -11.15232624 -9.053766163 0.072405184 0.40566881 0.59636916 0.43% -9.82% -11.13% -9.862337897 -0.26% -8.139024343 0.51% -10.95% -12.50% -10.080976609 0.60% -8.000618047 -0.37458412 14.66% -9.55% -11.78847687 -2.05% -10.64% -10.167277122 9.362838913 -0.106930829 -0.03% Su m -38.001572548 -0.974931823 0.312682547 7. Transpose of Portfolios The transpose of Portfolio is obtained by taking the transpose of Portfolio-1 and Portfolio-2 by using following formula: Syntax Select all cells where the data is to placed and enter in fx space: =transpose(all cells of Portfolio-1 or Portfolio-2) Formula Used =TRANSPOSE(F264:F293) I Investment Analysis & Portfolio Management GIFT University Page 59 .067481444 1 1.065743727 14.830587439 -7.007720053 0.92752466 -13.178223306 -106.A 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 -9.036922094 0.090532919 -0.57% -9.1.396349855 -3.68163641 -43.821207393 -8.9753513 -5.95% -9.036309283 0.12% -7.39% 140.031142052 -0.344915295 7.08521961 0.06% -8.89% -7.630284512 11.613748363 -5.26% -8.003726028 0.58528804 -3.
Syntax =mmult(All values of Portfolio1.AH229:AH258) I Investment Analysis & Portfolio Management GIFT University Mean: It is obtain by using following formula: Page 60 .A =TRANSPOSE(F299:F328) Window Display 1. All Mean Values of Return Matrix) =mmult(All values of Portfolio2. Calculation of Markowitz Efficient Frontier In this step we have perform following actions: i. All Mean Values of Return Matrix) Formula Used =MMULT(C333:AF333.AH229:AH258) =MMULT(C334:AF334.2.
Standard Deviation: It is calculated by using following formula: Syntax =sqrt(Variance of Portfolio-1) =sqrt(Variance of Portfolio-2) Formula Used =SQRT(C339) =SQRT(D339) iv. Syntax Variance: It is calculated by using following formula: =mmult(All values of Portfolio1.C229:AF258) iii. All Cells of Variance Covariance) =mmult(All values of Portfolio1. All Cells of Variance Covariance) Formula Used =MMULT(C333:AF333. All cells of Variance Covarince=sqrt(Variance of Portfolio-2) Formula Used =SQRT(C339) =SQRT(D339) Covariance: It is calculated by using following formula: Page 61 I Investment Analysis & Portfolio Management GIFT University .A ii. Syntax =mmul(mmult(All Values of Portfolio-1.C229:AF258) =MMULT(C334:AF334.
000181829 0.D of Portfolio-1 * S.030017508 Mean Variance S.157450847 Port 2 0.038471904 0.001480087 0.1.A v. Proportion of Portfolio 1.1.000901051 0.D of Portfolio-2) Formula Used =C341/(C340*D340) Calculation of Markowitz Efficient Frontier Column1 Port 1 0.D Covariance Correlatio n Page 62 1.121063209 0. Mean: It is obtain by using following formula: Syntax I Investment Analysis & Portfolio Management GIFT University . Syntax Correlation: It is calculated by using following formula: = (Covariance)/(S.000573754 0.1.
000498355 S.0359173349375644 Variance 0.3.A =weight of 30% * mean of portfolio-1+ weight of 70% * mean of portfolio-2 Formula Used =F345*C338+(1-F345)*D338 1.1. Standard Deviation: It is obtain by using following formula: Syntax =sqrt (Variance of Proportion of Portfolio-1) Formula Used =SQRT(C348) Page 63 Proportion of Portfolio 1 30 w1= % Column1 Mean 0.022323856 I Investment Analysis & Portfolio Management GIFT University .D of Portfolio-2*Correlation Formula Used =F345^2*C340^2+(1-F345)^2*D340^2+2*F345*(1F345)*C340*D340*C342 1.2.1.D of Porfolio-1* S. Variance: Mean: It is obtain by using following formula: Syntax =Weight 30%^2* Variance of Portfolio-1+ (1-Weight 70%)^2* Variance of Portfolio-2+ 2*Weight of 30%*Weight of 70%* S.Deviation 0.
Page 64 In Column input cell select 30% and click ok.A 1. First we have to enter the data in the pattern shown below: Select All Column of above table and go to Data Tab.and it will generate following output: I Investment Analysis & Portfolio Management GIFT University .2. new window will be opened. Graph of Markowitz Efficient Frontier In order to generate the graph of Efficient Frontier. click on the If what analysis option. we need to do some steps.
Now select all S.D and Mean Values and then Click on Insert tap and then on Scatter Diagram. The Makrowitz Efficient Frontier Graph will be generated
1.3. CAPM & SML
Now take the Transpose of Both Mean and Beta evaluated in the Return Matrix Table and you will get following table:
Capital Asset Pricing Method Mean Beta 1 0.005352262 -0.05088412 I Investment Analysis & Portfolio Management GIFT University
2 3 4 5 6 7 8 9 1 0 1 1 1 2 1 3 1 4 1 5 1 6 1 7 1 8 1 9 2 0 2 1 2 2 2 3 2 I
-0.005742316 0.011608712 0.003136563 0.013005836 0.01058747 0.003038129 -0.009265813 -0.007907301 0.000778274 -0.003894431 -0.007661773 0.026787113 -0.015196025 -0.004501066 0.004636667 0.005161166 0.015664065 -0.013143909 0.008618054 0.01165909 0.006204868 -0.002733077 1.506218841
1.187639907 1.471630678 0.382747406 0.886707592 0.125214826 0.47728917 0.682583413 1.090788104 0.514011494 1.064482189 0.949067355 0.251197344 0.3870672 0.798202591 0.845167977 0.377500299 0.380559397 0.69603065 Page 1.037923955 0.234638529 0.119624986 0.456319188 -0.62921211 GIFT University
Investment Analysis & Portfolio Management
4 2 5 2 6 2 7 2 8 2 9 3 0 0.028613586 0.020562559 0.011709819 -0.020022221 0.029925578 0.010935076 1.335345445 1.333115005 1.316424959 0.439606321 0.760185923 1.209718941
After obtaining this table, Click on the Home tap and then select the excel option. After clicking the Excel Option you will obtain following window:
Select the Add-Ins and in the sub window, click on the Analysis ToolPak and press enter. I Investment Analysis & Portfolio Management GIFT University
A Now Click on Data option and you will new option of Data Analysis. Select the Regression and click OK. I Investment Analysis & Portfolio Management GIFT University . Page 68 In Data Analysis Window. A new Regression window will be appear. Click on the Data Analysis Option and Data Analysis window will be opened.
In Input YRange. You will have to do following tasks. By clicking OK. select all Beta Values and checked all necessity options. Page 69 SUMMARY OUTPUT Regression Statistics I Investment Analysis & Portfolio Management GIFT University . select all Mean Values and in X-Range.A In Regression Window. Following Output will be executed on the Separate Spreadsheet.
09165 -0.333333 4 9 5 -0.06175 19 -0.0131 4 0.0092 -0.07621 t Stat 3.40114 4 MS 0.0048 X Variable 1 -0.06984 0.547745 0.215257 Pvalue 0.83761 -0.0032 76 0.0938 3 -0.47316 -0.183771 0.0200 2 0.3743 15 nce F 0.773707 8.0% 0.25946 -0.088926 Upper 95% 0.09383 Lower 95.092592 -3.004819 RESIDUAL OUTPUT Predicte Observation dY Residuals Standard Residuals PROBABILITY OUTPUT Percentil e Y 0.17216 0.50082 Multiple R R Square Adjusted Square Standard Error Observations 2 0.66667 7 0.08892 6 Upper 95.4011 44 0.20953 0.25411 0.05843 F 9.A 0.183795 Standard Error 0.081451 15 6 7 7 0.33333 21.547745 1.44918 18.28349 0.19895 -0.22406 6 0.66667 6 - 1 2 0.08591 -1.13652 0.666667 5 Page 70 3 -0.0076 -0.019346 0.0152 0.47316 Lower 95% 0.10669 -0.00634 0.24172 4 30 ANOVA Significa Df Regression Residual Total 1 28 29 Coefficie nts 0.0% 0.0079 1 0.361698 1.13339 -0.10972 I Investment Analysis & Portfolio Management GIFT University .25082 R 2 0.63605 2.5616 11.24503 Intercept 5 SS 0.
33333 61.41486 0.14043 0.682637 0.25623 0.04921 0.06079 -0.001676 0.646078 0.0008 -0.243463 -0.66667 65 68.33333 9 0.33333 91.0086 18 0.11567 2 0.0027 3 0.052844 0.55934 -0.09931 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 6 -0.0116 09 0.0109 35 0.09854 0.13530 4 0.12041 0.13714 9 0.0642 0.13285 -0.13353 -0.068867 -0.17851 6 0.33333 81.86274 -0.66667 35 38.51147 -0.0007 78 0.12816 0.66667 45 48.33333 41.588886 -0.558814 0.236985 28.66667 75 78.1184 1.0038 9 -0.0130 06 0.20492 -0.05674 -0.00336 -0.0105 87 0.09789 -0.61904 -0.0051 61 0.1505 -0.13289 -0.02952 8 -0.000398 0.A 0.42341 2 -0.0057 7 0.0062 05 0.0030 38 0.0205 63 0.0299 26 1.59124 0.33333 71.057827 -0.5062 19 Page 71 GRAPH OUTPUT I Investment Analysis & Portfolio Management GIFT University .02402 0.7025 -0.12148 -0.0156 64 0.016357 -0.0117 1 0.04771 5 -0.33333 51.082807 0.0045 0.108847 -0.06086 0.01875 0.14703 -0.00543 6 0.4985 4.0286 14 0.66667 55 58.66667 85 88.17382 2 0.05152 8 7 -0.33333 0.0116 59 0.0053 52 0.458265 31.66667 95 98.0267 87 0.02325 -0.63363 -0.25595 25 4 0.09791 -0.16686 -0.13801 6 0.056288 0.16214 0.222482 0.0031 37 0.153456 0.21112 2 0.0046 37 0.139872 -0.
00535226 ATLH 2 0. Indication Table Required Stock Return 0.01160871 2 I Expected Return 0. we have obtained the expected Return and with the help of those expected return we are able to draw the Indication Table.17216183 Differenc Page e 0.00574231 BAFL NBP 6 0.085910 217 0.25945994 2 0.A From the above Graph.09165253 3 0.254107 68 0. The Indication Table will help us in indicating the actions we will take with regards these stocks.183770 545 Decision Over Valued Under Valued Under Valued GIFT University Buy It Buy It Sell It Order 72 Investment Analysis & Portfolio Management .
00790730 PGF 1 0.00634404 3 0.054843 792 0.02401896 5 0.06419757 0.13530395 7 -0.106228 771 0.02678711 RMPL 3 0.150499 982 Over Valued Under Valued Over Valued Over Valued Over Valued Under Valued Over Valued Under Valued Under Valued Over Valued Over Valued Sell It GIFT University Sell It Buy It Buy It Page Sell It Buy It Sell It Sell It Sell It Buy It Sell It 73 Investment Analysis & Portfolio Management .1092669 0.01300583 6 0.13652858 6 0.056290 269 0.00303812 KOHE 9 0.00766177 PTCL 3 0.00077827 FFC 4 0.00389443 AHSL 1 0.01058747 0.133392 023 0.05873822 3 0.01519602 SEPL I 5 0.147034 951 0.00926581 PCAL 3 0.05152727 8 0.20953718 4 0.019349 879 0.09931618 0.016357 192 0.17382206 4 0.060793 091 0.198949 714 0.00313656 3 0.A 3 MUR EB DAW H GWL C 0.098537 906 0.
082802 011 13325969 .17851636 EFUL 0.04771508 5 -0.42341683 -13325969 0.153456 215 0.118404 603 1.02056255 ATRL NML I 9 0.01314390 INIL PNSC 9 0.00463666 PKGS 7 0.122084 806 0.04920159 0.13801610 3 0.000799 08 0.166857 277 0.03 0.132854 937 0.A 0.01170981 74 Investment Analysis & Portfolio Management .139871 Over Valued Over Valued Over Valued Over Valued Over Valued Under Valued Over Valued Over Valued Over Valued Under Valued Under Valued Under Valued Under Buy It Buy It GIFT University Sell It Buy It Buy It Page Sell It Sell It Sell It Buy It Sell It Sell It Sell It Sell It GRAY 0.50621884 1 0.00450106 SNGP 6 0.060858 994 0.02861358 6 0.023251 956 0.13289365 6 - 0.01875089 0.00543574 7 0.057819 644 0.204916 994 0.00516116 SHFA 6 0.11567152 6 0.00273307 GSK TRG AICL 7 1.01566406 MTL 5 0.00620486 S 8 0.01165909 7 0.13774887 1 0.21112186 2 0.00861805 4 0.
000398 042 0.02002222 1 0.A 0.12816215 9 PIAC A PAKT 0.108846 853 Valued Over Valued Under Valued Under Valued Buy It Sell It Buy It Page 75 2.02992557 8 0.02952753 6 0.140431 728 0.References I Investment Analysis & Portfolio Management GIFT University .01093507 PCAL 6 1 0.09791177 7 97 0.12040950 7 0.
com www.sbp. Appendices I Investment Analysis & Portfolio Management GIFT University .pk Page 76 7.kse.A www.businessweek.com.pk www.org.brecorder.com www.
7865% 8.7808% 8.7674% 8.7897% 8.0046% 9.0046% 9.7907% 8.0043% 9.7523% 8.7907% 8.7832% 8.7843% 8.0046% 9.7907% 8.0046% 9.0045% 9.7687% 8.0046% 9.7907% 8.0046% 9.7863% 8.7865% 9.7830% 8.7907% 8.0046% 9.7907% 8.7666% 8.0046% 9.0046% 9. 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 I Auction Date 6-Jul-05 20-Jul-05 3-Aug-05 17-Aug-05 31-Aug-05 14-Sep-05 28-Sep-05 12-Oct-05 26-Oct-05 8-Nov-05 23-Nov-05 7-Dec-05 21-Dec-05 4-Jan-06 18-Jan-06 1-Feb-06 15-Feb-06 1-Mar-06 15-Mar-06 29-Mar-06 12-Apr-06 26-Apr-06 10-May-06 24-May-06 7-Jun-06 21-Jun-06 5-Jul-06 19-Jul-06 2-Aug-06 16-Aug-06 30-Aug-06 13-Sep-06 27-Sep-06 11-Oct-06 21-Oct-06 8-Nov-06 22-Nov-06 6-Dec-06 20-Dec-06 30-Dec-06 17-Jan-07 31-Jan-07 14-Feb-07 28-Feb-07 WAY (12month) 8.6884% 8.7907% 8.7648% 8.7878% 8.7903% 8.4561% 8.7896% 8.0046% 9.0046% N 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 Page 77 Investment Analysis & Portfolio Management GIFT University .0020% 9.7768% 8.0046% 9.7874% 8.A Auction No.6986% 8.0046% 9.
A 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 248 249 250 251 252 253 254 255 256 257 258 259 266 271 272 273 274 275 276 277 278 279 280 I 14-Mar-07 28-Mar-07 11-Apr-07 25-Apr-07 9-May-07 23-May-07 7-Jun-07 21-Jun-07 4-Jul-07 18-Jul-07 1-Aug-07 15-Aug-07 29-Aug-07 12-Sep-07 26-Sep-07 10-Oct-07 24-Oct-07 7-Nov-07 21-Nov-07 5-Dec-07 19-Dec-07 2-Jan-08 16-Jan-08 13-Feb-08 27-Feb-08 12-Mar-08 26-Mar-08 9-Apr-08 23-Apr-08 7-May-08 21-May-08 4-Jun-08 18-Jun-08 2-Jul-08 16-Jul-08 22-Oct-08 31-Dec-08 14-Jan-09 28-Jan-09 11-Feb-09 25-Feb-09 11-Mar-09 25-Mar-09 8-Apr-09 22-Apr-09 6-May-09 9.4371% 9.1243% 9.1235% 10.2609% 14.4429% 9.3961% 9.0784% 9.0910% 9.3727% 9.0031% 9.6881% 11.3246% 11.3975% 9.7781% 11.3990% 9.3990% 9.3990% 9.1715% 10.3931% 11.1021% 9.3932% 9.8294% 12.9881% 11.0538% 9.0156% 9.1589% 13.1597% 9.7841% 11.2529% 14.8475% 12.1251% 10.1351% 13.8408% 12.3990% 9.2294% 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 Page 78 Investment Analysis & Portfolio Management GIFT University .1597% 9.9687% 13.8692% 9.3990% 9.1593% 9.4493% 9.4058% 9.7873% 14.9908% 10.1357% 10.0777% 10.
4204% 12.A 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 20-May-09 3-Jun-09 17-Jun-09 15-Jul-09 29-Jul-09 12-Aug-09 26-Aug-09 9-Sep-09 25-Sep-09 7-Oct-09 21-Oct-09 4-Nov-09 18-Nov-09 2-Dec-09 16-Dec-09 30-Dec-09 13.5202% 12.0882% 11.1916% 12.4751% 12.1913% 12.0905% 10.7514% 12.2648% 13.4628% 12.1620% 12.6091% 12.1234% 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 Page 79 I Investment Analysis & Portfolio Management GIFT University .0903% 12.2297% 12.4703% 11.5804% 12.
This action might not be possible to undo. Are you sure you want to continue?
We've moved you to where you read on your other device.
Get the full title to continue reading from where you left off, or restart the preview.