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Presentation on

Investment Analysis
Investment Theory

Presented By:
Md. Shafiqul Islam Masud

-101-0405-560

Mofakhkharul Karim -101-0572-460


Md. Monjur Rashed

- 082-443-060

Md. Tariqul Islam - 091-0566-060


Shamsul Arefin

- 082-597-060

Objective
Formation

of portfolio
Return calculation
Daily return of each stock
Portfolio return
Market Return
Total

risk calculation
Beta calculation
Expected return calculation
Alpha calculation
Correlation among stock and finding risk
from correlation
Analysis on risk and return

Sector wise portfolio Structure


No. of firms

Telecommunication; 10%

Pharmaceuticals; 50%
Insurance; 40%

Portfolio selection
SquarPharma
Bexpharma
Reckit ACI Formula Active Infu Bxsynth

Pharmaceuticals

ACI Ltd
Beacon
GlaxoSmith

SquarPharma

Renata
Marico
GlaxoSmith
Beacon
ACI Ltd

Marico
Renata Bexpharma

Reckit
ACI Formula
Active Infu
Bxsynth

RupaliLife
PrimeLife
pragatilife
MeghnaLife

Insurance

Sandhani
RupaliLife

GreenDelt
FareEast
DeltaLife

PopularLife
DeltaLife

NatlifeIns

PopularLife
NatlifeIns

FareEast GreenDelt

MeghnaLife
pragatilife
PrimeLife
Sandhani

Daily return of Square


Pharmaceuticals Ltd.
Market Vs SquarePharma
10.00
5.00

%Daily Return

Daily Return of Market


0.00

Daily Return of Squre

-5.00
-10.00
Date

Return of this stocks are more volatile up to the


month of march after that a stabilized return of
this particular stock remains more or less same.

Daily Return of Beximco Pharma


Market Vs BexPharma
15.00
10.00
5.00

%Daily Return

Daily Return of Market

0.00

Daily Return of Bxpharma

-5.00
-10.00
-15.00
Date

Return was volatile over the period but from


21st march to 18th April return of BexPharma
was stable with the volatility of only 5%.

Daily Return of Renata Ltd.


Market Vs Renata
10.00
5.00

%Daily Return

Daily Return of Market


0.00

Daily Return of Renata

-5.00
-10.00
Date

Return of Renata fluctuated between 5% to negative 5% over the three months time.
From this stock we can found the we could make short time profit by buying the share
when price is low and selling the stocks when return is high.

Daily Return of Marico Bangladesh Limited

Market Vs Marico
10.00
5.00

%Daily Return

Daily Return of Market

0.00

Daily Retun of Marico

-5.00
-10.00
-15.00
Date

Return of the Marico Bangladesh stocks was more


fickle during the 7th February to 21st March and last
5days of April other than that return of this stock
was almost no volatility.

Daily Return of Glaxo SmithKline


Market Vs Glaxo
15.00
10.00
5.00
Axis Title

Daily Return of Market

0.00

Daily Return of Glaxo

-5.00
-10.00
-15.00
-20.00
Axis Title

Stock price of Glaxo SmithKline has sharply fall from 8th


February to 14th
February then its again sharply rise by 18th February.
After that price and
therefore return was almost same volatile during the
period.

Daily Return of Rupali Insurance


Market Vs RUPALIINS
15.00
10.00
5.00

%Daily Return

Daily Return of Market

0.00

Daily Return of RUPALIINS

-5.00
-10.00
-15.00
Date

During half of the period share price of the Rupali Insurance sharply
fail and sharply went up. Volatility of the Return was up 10% and
negative 10%. Other then this last half of the period share price did
not fluctuated that much therefor return was between 5% volatility.

Daily Return of National Life Insurance

Market Vs Natelife
10.00
5.00

%Daily Return

Daily Return of Market


0.00

Daily Natelife

-5.00
-10.00
Date

Return of National Life Insurance fluctuated between 5% to negative 5% over the three m
time. From this stock we can found the we could make short time profit by buying the sh
when price is low and selling the stocks when return is high.

Daily Return of Green Delta Insurance

Market Vs GreenDelta
15.00
10.00
5.00
%daily Return

Daily Return of Market

0.00

Daily Greendelta

-5.00
-10.00
-15.00
Date

Green Delta Insurance we found a interesting trend


up to the first half of the investment period. Here we
saw that return of the stock steadily declined when it
started to decline but it suddenly rise sharply and
after that again a steady fall of return.

Daily Return of Fareast Islami Life Insurance Co.


Ltd.
Market Vs FareEast
10.00
5.00

%Daily Return

Daily Return of Market


0.00

Daily Retunr of Fareeast

-5.00
-10.00
Date

Fareast Islami Life Insurance Co. Ltd. And Green Delta


Insurance was almost same other than a silly change in
the return during 11th April and 18th april where as Green
Delta Insurance return was negative on the other hand
Fareast Islami Life Insurance Co. Ltd return was almost
zero.

Daily Return of Grameen Phone Ltd.

Market Vs GP
15.00
10.00
5.00

%Daily Return

Daily Return of Market

0.00

Daily Retune of GP

-5.00
-10.00
-15.00
Date

Daily Return of Market


Daily Return of Market
10.00
5.00

Daily Return of Market

0.00
-5.00
-10.00

Return of the market was within 10% unstable during the


period. Return on the market was more volatile in the first phase
of the period after that there was stability in the return of the
market.

Daily return on Portfolio Cash


Account
Market Vs Portfolio Cash
10.00
5.00
Daily Return of Market
%Daily Return

0.00

Daily Return of Portfolio Cash

-5.00
-10.00
Date

Portfolio return varies from -5% to + 7 %. Finally


average return is 3%

Daily Return on Portfolio Margin


Account
Market Vs Portfolio Margin
15.00
10.00
5.00
%Daily Return

Daily Return of Market

0.00

Daily Portfolio margin

-5.00
-10.00
-15.00
Date

Daily return on margin account has ups and down in first


half but this volatility is durable and second half is less
volatile more or less margin account is giving us a negative
return.

Yearly Return
Daily
Return(period)
Annual Return
-6.75
-29.65
2.34
10.30

Market
Portfolio
Portfolio (margin)
Squrepharma
Bxpharma
Renata
Marico
Glaxosmith
Rupaliins
NatelifeIns
GreenDelt
FareEast
GP

-7.13
1.70
-0.99
4.41
1.98
-0.94
7.98
22.03
2.54
10.27
-25.56

-31.34
7.48
-4.37
19.38
8.72
-4.13
35.09
96.85
11.15
45.16
-112.36

Return
150.00
96.85

100.00
50.00

10.30

7.48

0.00
-50.00

19.38
-4.37

-29.65

45.16

35.09
11.15

8.72

Annual Return

-4.13

-31.34

-100.00
-150.00

Daily Return(period)

-112.36

Beta

Market
Portfolio
Portfolio
(margin)
Squrepharma
Bxpharma

SD
Beta
3.71
3.52

Statistical
Beta (5th
may'1124th nov09)
1.00
0.89

% change in
Beta

6.40
2.41
4.68

1.59
0.57
1.03

0.42
0.58

34.519878
78.579027

Renata

1.97

0.32

0.23

35.4019405

Marico

4.27

0.90

0.60

49.4277183

Glaxosmith

4.46

0.88

0.70

25.9057744

Rupaliins

5.91

1.28

1.29

-1.0620664

NatelifeIns

3.05

0.64

0.67

-5.6883835

GreenDelt

5.41

1.23

1.14

7.14129278

FareEast

4.85

1.15

1.02

13.0533972

GP

4.15

0.97

1.03

-6.1326084

Beta for Period(82 days) and


Historic(1.5years)
1.80
1.60
1.40
1.20
1.00
0.80

Beta

0.60

Statistical Beta (5th may'1124th nov-09)

0.40
0.20
0.00

SD, Beta
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00

SD
Beta
Statistical Beta (5th may'11-24th
nov-09)

CAPM E(R)
25

20

15
Ex(R)

EXP (Re)

10

Linear (EXP (Re))

0
0

0.2

0.4

0.6
Beta

0.8

1.2

1.4

Beta, Expected Return, Actual


Return and Alpha

SD

Beta

Actual
Annual
Return

Statistical
Beta (5th
may'11Correlation 24th novWith Market 09)

EXP (Re)

Alpha

Market

3.71

1.00

-29.65

1.00

16.9748

-46.63

Portfolio

3.52

0.89

10.30

0.94

Portfolio
(margin)

6.40

1.59

-31.34

0.93

Squrepharma

2.41

0.57

7.48

0.89

0.42

10.07703

-2.60

Bxpharma

4.68

1.03

-4.37

0.83

0.58

11.93355

-16.30

Renata

1.97

0.32

19.38

0.60

0.23

7.78798

11.59

Marico

4.27

0.90

8.72

0.79

0.60

12.23961

-3.52

Glaxosmith

4.46

0.88

-4.13

0.73

0.70

13.36478

-17.49

Rupaliins

5.91

1.28

35.09

0.81

1.29

20.44382

14.65

NatelifeIns

3.05

0.64

96.85

0.78

0.67

13.06762

83.78

GreenDelt

5.41

1.23

11.15

0.85

1.14

18.71013

-7.56

FareEast

4.85

1.15

45.16

0.89

1.02

17.20736

27.96

GP

4.15

0.97

-112.36

0.86

1.03

17.37068

-129.73

Beta, Expected Return (from


Beta), Actual Return and Alpha
150.00

100.00

50.00
Annual
0.00

EXP (Re)
Alpha

-50.00

-100.00

-150.00

Correlation of stocks with


market and portfolio
1.20

1.00

0.80

0.60
Market
0.40

0.20

Portfolio Cash

Correlation Co-efficient

Portfolio risk with help of


correlation

Total Variance of Portfolio

10.8
6

Standard Deviation of Portfolio

3.29

SD calculated earlier

3.52

Summary
Market return found from the CAPM method is 16 %
Actual yearly market return for last 3 months was almost
-30%.
The return on the cash account was around three (10%)
Return on the margin account (-31%)
No Margin Call
High SD of stock than portfolio
Strong positive correlation
Alpha is high and alpha are positive for most stock
Pharmaceuticals is less risky than market and insurance
and telecom is high risky to market.