MUHAMMAD RIZWAN KHAN

2370/fms/bba/f08

Picic investment fund

DATE

1-Jan-08
1-Feb-08
1-Mar-08
1-Apr-08
1-May-08
1-Jun-08
1-Jul-08
1-Aug-08
1-Sep-08
1-Oct-08
1-Nov-08
1-Dec-08

1-Jan
1-Feb-09

1-Mar
1-Apr-09

1-May
1-Jun-09

1-Jul
1-Aug-09

1-Sep
1-Oct-09

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

K.S.E 100
14016
14934
15125
15122
12235
12289
10583
9208
9179
9182
9187
5885
5367
5727
6860
7196
7276
7169
8675
9349
9151
9151
9206
9386
9614
9657
10178
10428
9326
9721
10519
9813
10013
10598
11234
12022
Ex.Return=

Return

MFA

Return

13.338095
0.06344096 13.389474 0.00384463
0.01270851 13.521053 0.00977907
-0.0001984 13.31954545 -0.01501539
-0.2118499 12.2935 -0.08016187
0.00440386 11.650952 -0.05368274
-0.1494556 10.05904762 -0.14691544
-0.1391763
-0.36206247
7.0035
-0.0031544
-0.15465055
6
0.00032678
0
6
0.0005444
0
6
-0.4453827
-0.69163333
3.004545
-0.0921376
-0.05597004
2.841
0.06492274 2.857894737 0.00592914
0.18051561
0.04819365
2.999
0.04781787
0.45429232
4.7236
0.01105594
-0.15546057
4.0435
-0.0148151
-0.04256499
3.875
0.19067915
0.14953173
4.5
0.07482406
0.01991155
4.5905
-0.0214062
0.17316676
5.4584
0
0.16776128
6.4554
0.00599228
-0.09980955
5.8422
0.01936377
-0.04843078
5.566
0.02400115
0.07474942
5.998
0.00446267
-0.01817008
5.89
0.05254549
-0.04977537
5.604
0.02426597
0.01186721
5.6709
-0.1116883
-0.15328112
4.865
0.0414823
-0.13441859
4.2531
0.07889465
0.06686353
4.5472
-0.0694751
-0.00812582
4.5104
0.02017621
-0.13317672
3.948
0.05678106
-0.06360684
3.7047
0.05827959
0.16577838
4.3727
0.06779341
0.31677556
6.002381
-0.0043846 EX.Return= -0.02281337

*CAPM=E(RP)=Rfr+(E(R)-Rfr)

Rfr
Excess return
0.01
0.01
-0.0595963
0.01
-0.0029294
0.01
-0.014817
0.12
0.13168807
0.12
-0.0580866
0.13
0.00254018
0.13
-0.2228862
0.13
-0.1514961
0.13
-0.0003268
0.15
-0.0005444
0.15
-0.2462506
0.15
0.03616761
0.15
-0.0589936
0.15
-0.132322
0.14
0.40647445
0.14
-0.1665165
0.14
-0.0277499
0.14
-0.0411474
0.13
-0.0549125
0.13
0.19457298
0.13
0.16776128
0.125
-0.1058018
0.125
-0.0677945
0.125
0.05074827
0.125
-0.0226328
0.125
-0.1023209
0.125
-0.0123988
0.125
-0.0415928
0.125
-0.1759009
0.125
-0.0120311
0.125
0.06134929
0.125
-0.1533529
0.125
-0.1203879
0.125
0.10749879
0.125
0.24898215
0.118056 -0.0184288

*CAPM=E(RP)=Rfr+(E(R)-Rfr)

E(RP)*
-0.019925
0.004441
-0.000671
0.125026
0.043426
0.075195
-0.021734
0.008963
0.073962
0.085269
-0.020379
0.101054
0.060137
0.028607
0.254578
0.008204
0.067871
0.06211
0.050491
0.157765
0.146237
0.02576
0.042102
0.093073
0.061521
0.027257
0.065921
0.053369
-0.004381
0.066079
0.097632
0.005314
0.019488
0.117475
0.17831
0.06113

ExcesR(E-Ebar)
ExcesR(E-Ebar)^2
-0.0411675682
0.0154993265
0.0036117461
0.1501168334
-0.0396578328
0.0209689423
-0.2044574325
-0.1330673847
0.0181019854
0.0178843695
-0.2278218615
0.0545963731
-0.0405648303
-0.1138931914
0.4249032116
-0.1480877468
-0.00932114
-0.022718652
-0.0364837411
0.2130017436
0.1861900483
-0.0873730691
-0.0493657822
0.0691770301
-0.0042039892
-0.0838920914
0.0060300039
-0.023164057
-0.1574721173
0.0063976431
0.0797780559
-0.1349241664
-0.1019591282
0.1259275584
0.267410911
Variance=
S.D=

0.001694769
0.000240229
1.30447E-005
0.022535064
0.001572744
0.000439697
0.041802842
0.017706929
0.000327682
0.000319851
0.051902801
0.002980764
0.001645505
0.012971659
0.180542739
0.021929981
8.68837E-005
0.000516137
0.001331063
0.045369743
0.034666734
0.007634053
0.00243698
0.004785461
1.76735E-005
0.007037883
3.63609E-005
0.000536574
0.024797468
4.09298E-005
0.006364538
0.018204531
0.010395664
0.01585775
0.071508595
0.017435752
0.132044508

X-X Bar

X-X Bar^2

0.067825565
0.0170931179
0.0041862398
-0.2074653337
0.008788463
-0.1450710066
-0.1347916621
0.0012302014
0.0047113861
0.004929002
-0.440998094
-0.087753041
0.0693073468
0.1849002149
0.0522024809
0.0154405511
-0.0104304792
0.1950637575
0.0792086664
-0.0170216162
0.0043846066
0.010376889
0.0237483785
0.0283857587
0.0088472781
0.0569300937
0.0286505745
-0.1073036911
0.045866902
0.0832792585
-0.065090502
0.0245608181
0.0611656619
0.0626641966
0.0721780171
Variance
S.D

0.0046003073
0.0002921747
1.75246E-005
0.0430418647
7.72371E-005
0.021045597
0.0181687922
1.51340E-006
2.21972E-005
2.42951E-005
0.1944793189
0.0077005962
0.0048035083
0.0341880895
0.002725099
0.0002384106
0.0001087949
0.0380498695
0.0062740128
0.0002897354
1.92248E-005
0.0001076798
0.0005639855
0.0008057513
7.82743E-005
0.0032410356
0.0008208554
0.0115140821
0.0021037727
0.0069354349
0.0042367734
0.0006032338
0.0037412382
0.0039268015
0.0052096661
0.0120016214
0.1095519117

Y-YBAr
0.0266579968
0.0325924444
0.0077979858
-0.0573485002
-0.0308693699
-0.1241020643
-0.3392490946
-0.1318371834
0.0228133715
0.0228133715
-0.6688199555
-0.0331566678
0.0287425165
0.0710070234
0.4771056925
-0.1326471957
-0.0197516192
0.1723451055
0.0427249253
0.1959801274
0.1905746548
-0.0769961801
-0.0256174036
0.0975627887
0.0046432888
-0.0269619977
0.0346805783
-0.1304677482
-0.1116052153
0.0896769016
0.014687554
-0.1103633483
-0.0407934663
0.188591755
0.3395889281
variance=
S.d=

Y-Ybar^2

(X-X bar)(Y-YBAr)

0.0007106488 0.0018080937
0.0010622674 0.0005571065
6.08086E-005 3.26442385E-005
0.0032888505 0.0118978257
0.000952918 -0.0002712943
0.0154013224 0.0180036114
0.1150899482 0.0457279493
0.0173810429 -0.0001621863
0.0005204499 0.0001074826
0.0005204499 0.0001124472
0.4473201329 0.2949483256
0.0010993646 0.0029095984
0.0008261323 0.0019920676
0.0050419974 0.0131292139
0.2276298418 0.0249061008
0.0175952785 -0.0020481458
0.0003901265 0.0002060189
0.0297028354 0.0336182839
0.0018254192 0.0033841844
0.0384082103 -0.0033358985
0.0363186991 0.0008355949
0.0059284118 -0.0007989808
0.0006562514 -0.0006083718
0.0095184977 0.0027693938
2.15601E-005 4.10804676E-005
0.0007269493 -0.0015349491
0.0012027425 0.0009936185
0.0170218333 0.0139996709
0.0124557241 -0.0051189855
0.0080419467 0.0074682259
0.0002157242 -0.0009560203
0.0121800686 -0.0027106141
0.0016641069 -0.0024951594
0.03556685
0.0118179508
0.1153206401 0.0245108554
0.0337619443 0.0141639068
0.1837442362 0.0145169301
=

0.4299790889