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Dynamic Asset Allocation

Golam Muqtadir Roll:11-169 MBA 11th Batch .Presented By Md.

Selected Companies AB Bank Bank Asia Summit Power Jamuna Oil Renata Square Heidelburg Cement Confidence cement Bextex Apex Spinning .

67% (91 days T-bill Rate). August and September of 2010.  The amount of Tk.00.000.  T bill rate is 4.Assumptions  Total amount of investment is BDT 10. 10. as I have considered investment horizon to be in the year 2011.000 will be distributed among the 10 securities equally.  Initial distribution of total fund is considered to be 50: 50 in securities and T-bills.  Continuous compounded risk free rate is assumed.00. .  Price data is collected mainly for 3 months: July.

678.20 .795.599.87 94.130.56 89.89 129.912.79 91.97 90.666.10 139.762.24 100.798.21 94.191.87 76.16 109.34 July August 92.79 94.89 109.146.51 89.41 10.516.916.47 96.434.39 112.200.507.635.57 93.962.75 108.202.20 101.841.579.00 92.08 114.29 September 96.48 112.666.668.59 117.878.903.98 107.100% Equity Selected Companies AB Bank Bank Asia Summit Power Jamuna oil Renata Square Heidelburg Cement Confifidence cement Bextex Apex Spinning 85.38 114.050.06 92.197.

In case of 50% equity investment strategy I have invested 50% of the total available investment amount in equity securities in a similar manner followed in 100% equity securities. In each month the amount available from the previous month is reinvested in that respective month’s 91 days T‐Bill rate adjusted monthly. The remaining 50% of the initial investment amount is invested in 91days T-Bill.50% Equity + 50% Risk Free Asset It is a common practice to invest in the risk free government security which is default free. .

Dynamic Asset Allocation Initial Delta 0.99) (30473.5 July 0.72 74956.72) (74956.19 Buy (sell) Share (92254.43 September 0.25 .25) Buy (Sell) T-Bill 92254.31 August 0.99 30473.

.Dynamic Asset Allocation (Cont’d) From the table we can observe that the delta value has been changed with the course of time. there were buy decisions in every 3 months. The value decreased in July and then increased in August drastically and again decreased in September. There were sell decisions of equity in all 3 months. In case of T-Bill. To adjust the delta value the buy/sell decisions of equity and T-Bill have been taken in every month.

Static Vs Dynamic Static Vs.000 July August September Static Dynamic .200.000 800.000. Dynamic 1.000 400.000 200.000 1.000 600.

Findings .

Any Query? .

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