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Analysis

Of
Portfolio
Table of Content

Contents Page

Introduction 1

Objective 1

Methodology 1

Overview about the Companies 2

Analysis of Probability 21

Our Investment Allocation 27

Comment on the Overall all Impact of Different 27


Information and events on Bangladesh Stock Market

Conclusion 28
Introduction
Portfolio means combination of investment. On the other hand, Portfolio
management is the professional management of various securities (shares,
bonds and other securities) and assets (e.g., real estate), to meet specified
investment goals for the benefit of the investors. Investors may be
institutions (insurance companies, pension funds, corporations etc.) or
private investors (both directly via investment contracts and more commonly
via collective investment schemes e.g. mutual funds or exchange-traded
funds) .

As a part of our work study, we collected data about 4 companies. These are

Eastern Bank Limited

Southeast Bank Limited

Renata Limited

United Leasing Company Limited

Eastern Bank & Southeast Bank are in Banking Industry. Renata Limited is
Permactical Company and United leasing is a financial institution.

Objective:
Our main objective in this report paper was to decide in which industry or
portfolio, we will invest. How we will manage our portfolio was also our
objective in this report.

Methodology
We collected price index of the shares and market index from the library of
Dhaka Stock Exchange. Then we calculated Expected Return, Standard
Deviation and Beta using 30 months and daily 25 days data.
Then we made 4 portfolios and calculated Coefficient of Variances and
Correlations using 30 months and daily 25 days data.

Finally we allocated our investment based on the calculations on August 02,


2010.

Overview about the Companies


EBL

Listing Year: 1993

Face Value: 100

Market lot: 20

No of securities: 29208114

Last Dividend: 20%

Last Bonus: 17%, 2009

Market Category: A

Southeast Bank

Southeast Bank Limited was established in 1995 with a dream and a vision to
become a pioneer banking institution of the country and contribute
significantly to the growth of the national economy. The Bank was
established by leading business personalities and eminent industrialists of
the country with stakes in various segments of the national economy.

Listing Year: 2000

Face Value: 100


Market lot: 50

No of securities: 69308404

Last Bonus: 35%, 2009

Market Category: A

Renata Limited

The Company started its operations as Pfizer (Bangladesh) Limited in 1972.


For the next two decades it continued as a highly successful subsidiary of
Pfizer Corporation.

In 1993 Pfizer transferred the ownership of its Bangladesh operations to local


shareholders, and the name of the company was changed to Renata
Limited.

Listing Year: 1979

Face Value: 100

Market lot: 5

No of securities: 1807480

Last Dividend: 60%, 2009

Last Bonus: 25%, 2009

Market Category: A

United Leasing

This company predominantly involves in lease financing of equipment and


machinery.
Listing Year 1994

Face Value 100

Market lot 20

No of securities 5280000

Last Bonus 100%, 2009

Market Category: A

Day Price (tk.) HPR HPY(R) R' R-R' (R-R')(R-R')


25-05-2010 603.00
26-05-2010 614.75 1.019486 0.019486 0.003923 0.015562 0.00024219
30-05-2010 625.75 1.017893 0.017893 0.003923 0.01397 0.00019516
31-05-2010 612.50 0.978825 -0.02117 0.003923 -0.0251 0.00062991
01-06-2010 608.00 0.992653 -0.00735 0.003923 -0.01127 0.00012702
02-06-2010 604.25 0.993832 -0.00617 0.003923 -0.01009 0.00010183
03-06-2010 605.00 1.001241 0.001241 0.003923 -0.00268 7.1946E-06
06-06-2010 601.75 0.994628 -0.00537 0.003923 -0.0093 8.6404E-05
07-06-2010 590.00 0.980474 -0.01953 0.003923 -0.02345 0.0005499
08-06-2010 598.75 1.014831 0.014831 0.003923 0.010907 0.00011896
09-06-2010 604.50 1.009603 0.009603 0.003923 0.00568 3.2261E-05
10-06-2010 613.75 1.015302 0.015302 0.003923 0.011378 0.00012947
13-06-2010 630.75 1.027699 0.027699 0.003923 0.023775 0.00056525
14-06-2010 631.75 1.001585 0.001585 0.003923 -0.00234 5.4666E-06
15-06-2010 630.25 0.997626 -0.00237 0.003923 -0.0063 3.9663E-05
16-06-2010 636.75 1.010313 0.010313 0.003923 0.00639 4.0831E-05
17-06-2010 626.75 0.984295 -0.0157 0.003923 -0.01963 0.00038527
20-06-2010 644.50 1.028321 0.028321 0.003923 0.024397 0.00059522
21-06-2010 632.25 0.980993 -0.01901 0.003923 -0.02293 0.00052581
22-06-2010 639.75 1.011862 0.011862 0.003923 0.007939 6.3026E-05
23-06-2010 635.25 0.992966 -0.00703 0.003923 -0.01096 0.00012007
24-06-2010 634.00 0.998032 -0.00197 0.003923 -0.00589 3.4706E-05
27-06-2010 670.75 1.057965 0.057965 0.003923 0.054042 0.00292052
28-06-2010 665.50 0.992173 -0.00783 0.003923 -0.01175 0.00013808
29-06-2010 645.75 0.970323 -0.02968 0.003923 -0.0336 0.00112899
30-06-2010 662.00 1.025165 0.025165 0.003923 0.021241 0.00045118
0.098087 0.00923438
exp. Ret 0.003923 V 0.00036938
SD 0.01921914
Table-01: Calculation of Expected Return and Standard Deviation of EBL using
recent 25 day’s data
Day Price (tk.) HPR HPY(R) R' R-R' (R-R')(R-R')
Dec19, 2007 1097
Jan21, 2008 1027.5 0.936645 -0.06335 -0.01138 -0.05198 0.00270172
Feb20, 2008 1007.5 0.980535 -0.01946 -0.01138 -0.00809 6.5418E-05
Mar 20, 2008 1035.5 1.027792 0.027792 -0.01138 0.039168 0.00153414
Apr 21, 2008 861 0.831482 -0.16852 -0.01138 -0.15714 0.02469331
May21, 2008 847.25 0.98403 -0.01597 -0.01138 -0.00459 2.1098E-05
June 22, 2008 901.5 1.064031 0.064031 -0.01138 0.075407 0.00568625
July21, 2008 854 0.94731 -0.05269 -0.01138 -0.04131 0.0017068
Aug21, 2008 872.75 1.021956 0.021956 -0.01138 0.033332 0.00111103
Sep21, 2008 824.75 0.945001 -0.055 -0.01138 -0.04362 0.00190288
Oct 21, 2008 790.5 0.958472 -0.04153 -0.01138 -0.03015 0.00090909
Nov20, 2008 828.75 1.048387 0.048387 -0.01138 0.059764 0.0035717
Dec21, 2008 547.5 0.660633 -0.33937 -0.01138 -0.32799 0.10757741
Jan21, 2009 506 0.924201 -0.0758 -0.01138 -0.06442 0.00415026
Feb22, 2009 444 0.87747 -0.12253 -0.01138 -0.11115 0.01235501
Mar 22, 2009 393 0.885135 -0.11486 -0.01138 -0.10349 0.01070983
Apr 21, 2009 411.5 1.047074 0.047074 -0.01138 0.05845 0.00341644
May21, 2009 391.5 0.951397 -0.0486 -0.01138 -0.03723 0.00138578
June 21, 2009 416.5 1.063857 0.063857 -0.01138 0.075234 0.00566008
July21, 2009 421.25 1.011405 0.011405 -0.01138 0.022781 0.00051898
Aug20, 2009 428.5 1.017211 0.017211 -0.01138 0.028587 0.00081723
Sep17, 2009 424 0.989498 -0.0105 -0.01138 0.000875 7.653E-07
Oct 21, 2009 430 1.014151 0.014151 -0.01138 0.025528 0.00065165
Nov22, 2009 520.5 1.210465 0.210465 -0.01138 0.221842 0.04921373
Dec21, 2009 545.5 1.048031 0.048031 -0.01138 0.059407 0.00352923
Jan21, 2010 611 1.120073 0.120073 -0.01138 0.13145 0.01727907
Feb22, 2010 626.5 1.025368 0.025368 -0.01138 0.036745 0.00135018
Mar 21, 2010 488.5 0.779729 -0.22027 -0.01138 -0.20889 0.04363703
Apr 21, 2010 485.25 0.993347 -0.00665 -0.01138 0.004724 2.2312E-05
May23, 2010 611.25 1.25966 0.25966 -0.01138 0.271037 0.0734608
June 21, 2010 632.25 1.034356 0.034356 -0.01138 0.045732 0.00209145
-0.3413 0.38173069
exp. Ret. -0.01138 V 0.01272436
SD 0.11280229

Table-02: Calculation of Expected Return and Standard Deviation of EBL using last
30 month’s data
TRADEDATE Rm -R̅ m Ebl (Re -R̅ e) (Rm -R̅ m)*(Re -R̅ e) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.000242189 -9.16403E-06 0.001432
26-05-2010 -0.02342 0.00019516 -4.57006E-06 0.000548
30-05-2010 -0.03097 0.000629914 -1.95071E-05 0.000959
31-05-2010 -0.03686 0.000127023 -4.68154E-06 0.001358
01-06-2010 -0.02991 0.000101833 -3.04587E-06 0.000895
02-06-2010 -0.03948 7.19463E-06 -2.8404E-07 0.001559
03-06-2010 -0.02729 8.64043E-05 -2.35754E-06 0.000744
06-06-2010 -0.03833 0.000549896 -2.10757E-05 0.001469
07-06-2010 -0.05718 0.000118963 -6.80283E-06 0.00327
08-06-2010 -0.01898 3.22607E-05 -6.12312E-07 0.00036
09-06-2010 -0.03472 0.000129468 -4.49465E-06 0.001205
10-06-2010 -0.02689 0.000565255 -1.52006E-05 0.000723
13-06-2010 -0.02596 5.46659E-06 -1.41921E-07 0.000674
14-06-2010 -0.03823 3.96629E-05 -1.51648E-06 0.001462
15-06-2010 -0.03477 4.08306E-05 -1.41979E-06 0.001209
16-06-2010 -0.04923 0.000385268 -1.89685E-05 0.002424
20-06-2010 -0.03995 0.000595224 -2.37807E-05 0.001596
21-06-2010 -0.05476 0.000525807 -2.8793E-05 0.002999
22-06-2010 -0.02065 6.30262E-05 -1.30133E-06 0.000426
23-06-2010 -0.04066 0.000120067 -4.88149E-06 0.001653
24-06-2010 -0.03625 3.47065E-05 -1.25796E-06 0.001314
27-06-2010 -0.03225 0.002920517 -9.41908E-05 0.00104
28-06-2010 -0.03797 0.000138075 -5.2426E-06 0.001442
29-06-2010 -0.04268 0.001128988 -4.81831E-05 0.001821
30-06-2010 -0.04089 0.000451182 -1.84469E-05 0.001672

Cov m,e -1.35968E-05 δ² 0.00137

βe -0.00992

Table-03: Calculation of Beta of EBL using recent 25 day’s data


TRADEDATE Index Rm -R̅ m Ebl (Re -R̅ e)(Rm -R̅ m)*(Re -R̅ e) (Rm -R̅ m)²
19-12-2007 2545.99
21-01-2008 2483.52 -0.04988 0.002702 -0.00013475 0.002488
20-02-2008 2400.98 -0.03324 6.54E-05 -2.17418E-06 0.001105
20-03-2008 2554.73 0.064036 0.001534 9.82409E-05 0.004101
21-04-2008 2596.17 0.016221 0.024693 0.000400548 0.000263
21-05-2008 2599.02 0.001098 2.11E-05 2.31606E-08 1.21E-06
22-06-2008 2535.44 -0.02446 0.005686 -0.000139103 0.000598
21-07-2008 2453.14 -0.03246 0.001707 -5.54024E-05 0.001054
21-08-2008 2321.95 -0.05348 0.001111 -5.94159E-05 0.00286
21-09-2008 2411.964 0.038767 0.001903 7.37681E-05 0.001503
21-10-2008 2339.562 -0.03002 0.000909 -2.7289E-05 0.000901
20-11-2008 2161.993 -0.0759 0.003572 -0.000271086 0.005761
21-12-2008 2145.708 -0.00753 0.107577 -0.000810316 5.67E-05
21-01-2009 2204.751 0.027517 0.00415 0.000114202 0.000757
22-02-2009 2168.002 -0.01667 0.012355 -0.000205933 0.000278
22-03-2009 2148.162 -0.00915 0.01071 -9.80106E-05 8.37E-05
21-04-2009 2173.052 0.011587 0.003416 3.95851E-05 0.000134
21-05-2009 2125.2 -0.02202 0.001386 -3.05155E-05 0.000485
21-06-2009 2387.41 0.123381 0.00566 0.000698348 0.015223
21-07-2009 2368.065 -0.0081 0.000519 -4.20525E-06 6.57E-05
20-08-2009 2546.548 0.075371 0.000817 6.15953E-05 0.005681
17-09-2009 2570.198 0.009287 7.65E-07 7.10735E-09 8.62E-05
21-10-2009 2781.29 0.082131 0.000652 5.35208E-05 0.006745
22-11-2009 3487.805 0.254024 0.049214 0.012501484 0.064528
21-12-2009 3591.401 0.029702 0.003529 0.000104826 0.000882
21-01-2010 4204.067 0.170593 0.017279 0.002947684 0.029102
22-02-2010 4609.515 0.096442 0.00135 0.000130214 0.009301
21-03-2010 4547.321 -0.01349 0.043637 -0.000588777 0.000182
21-04-2010 4596.18 0.010745 2.23E-05 2.3973E-07 0.000115
23-05-2010 5010.254 0.090091 0.073461 0.006618154 0.008116
21-06-2010 5061.522 0.010233 0.002091 2.14009E-05 0.000105

Cov m,e 0.000714562 δ² 0.005419


βe 0.131869

Table-04: Calculation of Beta of EBL using last 30 month’s data


TRADEDATE CLSPRC R R̅ (R-R̅ ) (R-R̅ )²
24-05-2010 440.75
25-05-2010 463.00 0.050482 -0.00144 0.05192415 0.002696
26-05-2010 528.25 0.140929 -0.00144 0.142370743 0.020269
30-05-2010 536.50 0.015618 -0.00144 0.017059622 0.000291
31-05-2010 523.50 -0.02423 -0.00144 -0.022789111 0.000519
01-06-2010 510.75 -0.02436 -0.00144 -0.022913284 0.000525
02-06-2010 515.00 0.008321 -0.00144 0.009763113 9.53E-05
03-06-2010 516.25 0.002427 -0.00144 0.003869201 1.5E-05
06-06-2010 504.75 -0.02228 -0.00144 -0.020834012 0.000434
07-06-2010 497.75 -0.01387 -0.00144 -0.012426235 0.000154
08-06-2010 504.00 0.012557 -0.00144 0.013998521 0.000196
09-06-2010 498.50 -0.01091 -0.00144 -0.009470682 8.97E-05
10-06-2010 506.75 0.01655 -0.00144 0.017991666 0.000324
13-06-2010 516.75 0.019734 -0.00144 0.021175613 0.000448
14-06-2010 511.50 -0.01016 -0.00144 -0.008717635 7.6E-05
15-06-2010 508.75 -0.00538 -0.00144 -0.003934327 1.55E-05
16-06-2010 518.25 0.018673 -0.00144 0.020115236 0.000405
20-06-2010 408.75 -0.21129 -0.00144 -0.209845972 0.044035
21-06-2010 403.00 -0.01407 -0.00144 -0.012625261 0.000159
22-06-2010 409.25 0.015509 -0.00144 0.016950702 0.000287
23-06-2010 403.25 -0.01466 -0.00144 -0.013218948 0.000175
24-06-2010 406.50 0.00806 -0.00144 0.009501533 9.03E-05
27-06-2010 413.00 0.01599 -0.00144 0.017432177 0.000304
28-06-2010 412.00 -0.00242 -0.00144 -0.000979291 9.59E-07
29-06-2010 409.00 -0.00728 -0.00144 -0.005839537 3.41E-05
30-06-2010 409.00 0 -0.00144 0.001442017 2.08E-06

-0.03605 Σ(R-R̅ )² 0.071642


R̅ -0.00144 Σ(R-R̅ )²/n 0.002866
√Σ(R-R̅ )²/n 0.053532

Table-05: Calculation of Expected Return and Standard Deviation of Southeast Bank


using recent 25 day’s data
TRADEDATE CLSPRC R R̅ (R-R̅ ) (R-R̅ )²
19-12-2007 599
21-01-2008 555.25 -0.07304 -0.01519 -0.05785 0.003346
20-02-2008 541.25 -0.02521 -0.01519 -0.01002 0.0001
20-03-2008 548.50 0.013395 -0.01519 0.028586 0.000817
21-04-2008 425.75 -0.22379 -0.01519 -0.2086 0.043515
21-05-2008 413.25 -0.02936 -0.01519 -0.01417 0.000201
22-06-2008 419.50 0.015124 -0.01519 0.030315 0.000919
21-07-2008 397.75 -0.05185 -0.01519 -0.03666 0.001344
21-08-2008 404.50 0.01697 -0.01519 0.032161 0.001034
21-09-2008 372.00 -0.08035 -0.01519 -0.06516 0.004245
21-10-2008 314.50 -0.15457 -0.01519 -0.13938 0.019427
20-11-2008 303.00 -0.03657 -0.01519 -0.02138 0.000457
21-12-2008 303.00 0 -0.01519 0.015191 0.000231
21-01-2009 285.00 -0.2928 -0.01519 -0.27761 0.077069
22-02-2009 264.25 -0.12789 -0.01519 -0.1127 0.012701
22-03-2009 283.25 0.071902 -0.01519 0.087092 0.007585
21-04-2009 249.00 -0.12092 -0.01519 -0.10573 0.011178
21-05-2009 228.00 -0.08434 -0.01519 -0.06915 0.004781
21-06-2009 242.00 0.061404 -0.01519 0.076594 0.005867
21-07-2009 256.00 0.057851 -0.01519 0.073042 0.005335
20-08-2009 272.25 0.063477 -0.01519 0.078667 0.006189
17-09-2009 272.25 0 -0.01519 0.015191 0.000231
21-10-2009 270.25 -0.00735 -0.01519 0.007844 6.15E-05
22-11-2009 313.75 0.160962 -0.01519 0.176153 0.03103
21-12-2009 325.00 0.035857 -0.01519 0.051047 0.002606
21-01-2010 356.50 0.096923 -0.01519 0.112114 0.012569
22-02-2010 460.00 0.290323 -0.01519 0.305513 0.093338
21-03-2010 338.50 -0.26413 -0.01519 -0.24894 0.061971
21-04-2010 335.75 -0.00812 -0.01519 0.007067 4.99E-05
23-05-2010 454.50 0.353686 -0.01519 0.368876 0.13607
21-06-2010 403.00 -0.11331 -0.01519 -0.09812 0.009628

-0.45572 Σ(R-R̅ )² 0.553895


R̅ -0.01519 Σ(R-R̅ )²/n 0.018463
√Σ(R-R̅ )²/n 0.135879
Table-06: Calculation of Expected Return and Standard Deviation of Southeast Bank
using last 30 month’s data

TRADEDATE Rm -R̅ m South East (Rs-R̅ s) (Rm -R̅ m)*(Rs-R̅ s) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.05192415 -0.001964725 0.001432
26-05-2010 -0.02342 0.142370743 -0.003333893 0.000548
30-05-2010 -0.03097 0.017059622 -0.000528299 0.000959
31-05-2010 -0.03686 -0.022789111 0.000839915 0.001358
01-06-2010 -0.02991 -0.022913284 0.000685344 0.000895
02-06-2010 -0.03948 0.009763113 -0.000385442 0.001559
03-06-2010 -0.02729 0.003869201 -0.000105571 0.000744
06-06-2010 -0.03833 -0.020834012 0.0007985 0.001469
07-06-2010 -0.05718 -0.012426235 0.000710586 0.00327
08-06-2010 -0.01898 0.013998521 -0.000265694 0.00036
09-06-2010 -0.03472 -0.009470682 0.000328787 0.001205
10-06-2010 -0.02689 0.017991666 -0.000483824 0.000723
13-06-2010 -0.02596 0.021175613 -0.000549752 0.000674
14-06-2010 -0.03823 -0.008717635 0.000333312 0.001462
15-06-2010 -0.03477 -0.003934327 0.000136807 0.001209
16-06-2010 -0.04923 0.020115236 -0.000990365 0.002424
20-06-2010 -0.03995 -0.209845972 0.008383866 0.001596
21-06-2010 -0.05476 -0.012625261 0.000691355 0.002999
22-06-2010 -0.02065 0.016950702 -0.000349989 0.000426
23-06-2010 -0.04066 -0.013218948 0.000537437 0.001653
24-06-2010 -0.03625 0.009501533 -0.00034439 0.001314
27-06-2010 -0.03225 0.017432177 -0.000562212 0.00104
28-06-2010 -0.03797 -0.000979291 3.71828E-05 0.001442
29-06-2010 -0.04268 -0.005839537 0.000249221 0.001821
30-06-2010 -0.04089 0.001442017 -5.8958E-05 0.001672

Cov m,s 0.000152368 δ² 0.00137

βs 0.111203

Table-07: Calculation of Beta of Southeast Bank using recent 25 day’s data


TRADEDATE Index Rm -R̅ m SE (Rs-R̅ s) (Rm -R̅ m)*(Rs-R̅ s) (Rm -R̅ m)²
19-12-2007 2545.99
21-01-2008 2483.52 -0.04988 -0.057847716 0.002885185 0.002488
20-02-2008 2400.98 -0.03324 -0.010023186 0.000333121 0.001105
20-03-2008 2554.73 0.064036 0.028585601 0.001830518 0.004101
21-04-2008 2596.17 0.016221 -0.208601479 -0.003383702 0.000263
21-05-2008 2599.02 0.001098 -0.014169271 -1.55546E-05 1.21E-06
22-06-2008 2535.44 -0.02446 0.030314699 -0.000741591 0.000598
21-07-2008 2453.14 -0.03246 -0.036656756 0.001189873 0.001054
21-08-2008 2321.95 -0.05348 0.032161141 -0.001719926 0.00286
21-09-2008 2411.964 0.038767 -0.065155425 -0.002525852 0.001503
21-10-2008 2339.562 -0.03002 -0.139379211 0.004183857 0.000901
20-11-2008 2161.993 -0.0759 -0.021375296 0.001622353 0.005761
21-12-2008 2145.708 -0.00753 0.015190682 -0.000114422 5.67E-05
21-01-2009 2204.751 0.027517 -0.277613288 -0.007639017 0.000757
22-02-2009 2168.002 -0.01667 -0.112697107 0.001878435 0.000278
22-03-2009 2148.162 -0.00915 0.08709229 -0.000797022 8.37E-05
21-04-2009 2173.052 0.011587 -0.105727235 -0.001225024 0.000134
21-05-2009 2125.2 -0.02202 -0.069146668 0.001522638 0.000485
21-06-2009 2387.41 0.123381 0.076594191 0.009450283 0.015223
21-07-2009 2368.065 -0.0081 0.073041921 -0.000591853 6.57E-05
20-08-2009 2546.548 0.075371 0.078667244 0.005929213 0.005681
17-09-2009 2570.198 0.009287 0.015190682 0.000141076 8.62E-05
21-10-2009 2781.29 0.082131 0.007844493 0.000644274 0.006745
22-11-2009 3487.805 0.254024 0.176152754 0.044747083 0.064528
21-12-2009 3591.401 0.029702 0.051047256 0.001516214 0.000882
21-01-2010 4204.067 0.170593 0.112113759 0.019125787 0.029102
22-02-2010 4609.515 0.096442 0.305513262 0.029464248 0.009301
21-03-2010 4547.321 -0.01349 -0.248939753 0.003358843 0.000182
21-04-2010 4596.18 0.010745 0.007066605 7.59272E-05 0.000115
23-05-2010 5010.254 0.090091 0.36887646 0.033232436 0.008116
21-06-2010 5061.522 0.010233 -0.098120649 -0.001004025 0.000105

Cov m,s 0.004779113 δ² 0.005419


βs 0.881965

Table-08: Calculation of Beta of Southeast Bank using last 30 month’s data


TRADEDATE CLSPRC R R̅ (R-R̅ ) (R-R̅ )²
25-05-2010 11,613.75
26-05-2010 12,209.25 0.051275 -0.00016 0.051435381 0.002645598
30-05-2010 12,426.75 0.017814 -0.00016 0.017974315 0.000323076
31-05-2010 12,472.00 0.003641 -0.00016 0.003801291 1.44498E-05
01-06-2010 12,073.25 -0.03197 -0.00016 -0.031811663 0.001011982
02-06-2010 12,086.00 0.001056 -0.00016 0.001216007 1.47867E-06
03-06-2010 11,973.00 -0.00935 -0.00016 -0.009189708 8.44507E-05
06-06-2010 11,933.00 -0.00334 -0.00016 -0.003180897 1.01181E-05
07-06-2010 11,677.25 -0.02143 -0.00016 -0.02127221 0.000452507
08-06-2010 11,694.50 0.001477 -0.00016 0.001637184 2.68037E-06
09-06-2010 11,356.75 -0.02888 -0.00016 -0.028721145 0.000824904
10-06-2010 11,418.50 0.005437 -0.00016 0.005597248 3.13292E-05
13-06-2010 11,411.50 -0.00061 -0.00016 -0.000453087 2.05288E-07
14-06-2010 11,394.75 -0.00147 -0.00016 -0.001307864 1.71051E-06
15-06-2010 11,312.75 -0.0072 -0.00016 -0.007036343 4.95101E-05
16-06-2010 11,198.50 -0.0101 -0.00016 -0.009939271 9.87891E-05
17-06-2010 11,315.25 0.010426 -0.00016 0.010585456 0.000112052
20-06-2010 11,288.00 -0.00241 -0.00016 -0.002248301 5.05486E-06
21-06-2010 11,153.50 -0.01192 -0.00016 -0.011755355 0.000138188
22-06-2010 11,163.25 0.000874 -0.00016 0.001034118 1.0694E-06
23-06-2010 11,139.25 -0.00215 -0.00016 -0.001989958 3.95993E-06
24-06-2010 11,095.50 -0.00393 -0.00016 -0.0037676 1.41948E-05
27-06-2010 11,114.75 0.001735 -0.00016 0.001894891 3.59061E-06
28-06-2010 10,971.75 -0.01287 -0.00016 -0.012705833 0.000161438
29-06-2010 10,905.00 -0.00608 -0.00016 -0.005923853 3.5092E-05
30-06-2010 10,468.75 -0.04 -0.00016 -0.039844632 0.001587595

-0.004 Σ(R-R̅ )² 0.007615024


R̅ -0.00016 Σ(R-R̅ )²/n 0.000304601
√Σ(R-R̅ )²/n 0.017452821

Table-09: Calculation of Expected Return and Standard Deviation of Renata Limited


using recent 25 day’s data
TRADEDATE CLSPRC R R̅ (R-R̅ ) (R-R̅ )²
19-12-2007 6,964.25
21-01-2008 6,716.25 -0.03561 0.000735 -0.03634557 0.001321
20-02-2008 6,828.75 0.01675 0.000735 0.016015288 0.000256
20-03-2008 9,195.75 0.346623 0.000735 0.345887604 0.119638
21-04-2008 11,300.75 0.22891 0.000735 0.228174963 0.052064
21-05-2008 8,607.50 -0.23832 0.000735 -0.239060021 0.05715
22-06-2008 7,530.25 -0.12515 0.000735 -0.125887614 0.015848
21-07-2008 7,216.00 -0.04173 0.000735 -0.042466813 0.001803
21-08-2008 7,159.00 -0.0079 0.000735 -0.008634244 7.46E-05
21-09-2008 7,871.50 0.099525 0.000735 0.098789942 0.009759
21-10-2008 7,577.00 -0.03741 0.000735 -0.038148585 0.001455
20-11-2008 7,561.25 -0.00208 0.000735 -0.00281379 7.92E-06
21-12-2008 7,688.75 0.016862 0.000735 0.01612716 0.00026
21-01-2009 7,719.50 0.003999 0.000735 0.003264219 1.07E-05
22-02-2009 8,005.50 0.037049 0.000735 0.036313901 0.001319
22-03-2009 8,653.75 0.080976 0.000735 0.080240448 0.006439
21-04-2009 8,261.25 -0.04536 0.000735 -0.04609119 0.002124
21-05-2009 8,422.00 0.019458 0.000735 0.018723183 0.000351
21-06-2009 6,704.00 -0.20399 0.000735 -0.204724682 0.041912
21-07-2009 6,720.25 0.002424 0.000735 0.001688795 2.85E-06
20-08-2009 7,103.25 0.056992 0.000735 0.056256796 0.003165
17-09-2009 7,656.00 0.077816 0.000735 0.077081362 0.005942
21-10-2009 8,557.00 0.117685 0.000735 0.116950345 0.013677
22-11-2009 9,968.00 0.164894 0.000735 0.164159108 0.026948
21-12-2009 11,487.00 0.152388 0.000735 0.15165251 0.022998
21-01-2010 12,424.50 0.081614 0.000735 0.080878867 0.006541
22-02-2010 11,758.75 -0.05358 0.000735 -0.054318776 0.002951
21-03-2010 11,780.00 0.001807 0.000735 0.001072034 1.15E-06
21-04-2010 12,003.25 0.018952 0.000735 0.018216482 0.000332
23-05-2010 11,439.50 -0.04697 0.000735 -0.047701578 0.002275
21-06-2010 11,153.50 -0.025 0.000735 -0.025736224 0.000662

0.022054 Σ(R-R̅ )² 0.397289


R̅ 0.000735 Σ(R-R̅ )²/n 0.013243
√Σ(R-R̅ )²/n 0.115078
Table-10: Calculation of Expected Return and Standard Deviation of Renata using
last 30 month’s data

TRADEDATE Rm -R̅ m reneta (Rre -R̅ re) (Rm -R̅ m)*(Rre -R̅ re ) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.051435381 -0.001946231 0.001432
26-05-2010 -0.02342 0.017974315 -0.000420904 0.000548
30-05-2010 -0.03097 0.003801291 -0.000117718 0.000959
31-05-2010 -0.03686 -0.031811663 0.001172449 0.001358
01-06-2010 -0.02991 0.001216007 -3.63712E-05 0.000895
02-06-2010 -0.03948 -0.009189708 0.000362804 0.001559
03-06-2010 -0.02729 -0.003180897 8.67909E-05 0.000744
06-06-2010 -0.03833 -0.02127221 0.000815295 0.001469
07-06-2010 -0.05718 0.001637184 -9.36213E-05 0.00327
08-06-2010 -0.01898 -0.028721145 0.000545131 0.00036
09-06-2010 -0.03472 0.005597248 -0.000194315 0.001205
10-06-2010 -0.02689 -0.000453087 1.21842E-05 0.000723
13-06-2010 -0.02596 -0.001307864 3.39542E-05 0.000674
14-06-2010 -0.03823 -0.007036343 0.000269029 0.001462
15-06-2010 -0.03477 -0.009939271 0.000345615 0.001209
16-06-2010 -0.04923 0.010585456 -0.000521171 0.002424
20-06-2010 -0.03995 -0.002248301 8.98252E-05 0.001596
21-06-2010 -0.05476 -0.011755355 0.000643719 0.002999
22-06-2010 -0.02065 0.001034118 -2.13519E-05 0.000426
23-06-2010 -0.04066 -0.001989958 8.09048E-05 0.001653
24-06-2010 -0.03625 -0.0037676 0.000136559 0.001314
27-06-2010 -0.03225 0.001894891 -6.11129E-05 0.00104
28-06-2010 -0.03797 -0.012705833 0.00048243 0.001442
29-06-2010 -0.04268 -0.005923853 0.000252819 0.001821
30-06-2010 -0.04089 -0.039844632 0.001629078 0.001672

Cov m,r 0.000141832 δ² 0.00137

βre 0.103513

Table-11: Calculation of Beta of Renata using recent 25 day’s data


TRADEDATE Index Rm-R̅ m reneta (Rre -R̅ re) (Rm-R̅ m)*(Rre -R̅ re) (Rm-R̅ m)²
19-12-2007 2545.99
21-01-2008 2483.52 -0.04988 -0.03634557 0.001812754 0.002488
20-02-2008 2400.98 -0.03324 0.016015288 -0.000532269 0.001105
20-03-2008 2554.73 0.064036 0.345887604 0.02214938 0.004101
21-04-2008 2596.17 0.016221 0.228174963 0.003701201 0.000263
21-05-2008 2599.02 0.001098 -0.239060021 -0.000262433 1.21E-06
22-06-2008 2535.44 -0.02446 -0.125887614 0.003079597 0.000598
21-07-2008 2453.14 -0.03246 -0.042466813 0.001378466 0.001054
21-08-2008 2321.95 -0.05348 -0.008634244 0.000461746 0.00286
21-09-2008 2411.964 0.038767 0.098789942 0.003829746 0.001503
21-10-2008 2339.562 -0.03002 -0.038148585 0.001145137 0.000901
20-11-2008 2161.993 -0.0759 -0.00281379 0.000213562 0.005761
21-12-2008 2145.708 -0.00753 0.01612716 -0.000121476 5.67E-05
21-01-2009 2204.751 0.027517 0.003264219 8.98207E-05 0.000757
22-02-2009 2168.002 -0.01667 0.036313901 -0.00060528 0.000278
22-03-2009 2148.162 -0.00915 0.080240448 -0.000734318 8.37E-05
21-04-2009 2173.052 0.011587 -0.04609119 -0.000534042 0.000134
21-05-2009 2125.2 -0.02202 0.018723183 -0.000412292 0.000485
21-06-2009 2387.41 0.123381 -0.204724682 -0.025259177 0.015223
21-07-2009 2368.065 -0.0081 0.001688795 -1.36842E-05 6.57E-05
20-08-2009 2546.548 0.075371 0.056256796 0.00424012 0.005681
17-09-2009 2570.198 0.009287 0.077081362 0.000715858 8.62E-05
21-10-2009 2781.29 0.082131 0.116950345 0.009605223 0.006745
22-11-2009 3487.805 0.254024 0.164159108 0.041700405 0.064528
21-12-2009 3591.401 0.029702 0.15165251 0.004504408 0.000882
21-01-2010 4204.067 0.170593 0.080878867 0.013797343 0.029102
22-02-2010 4609.515 0.096442 -0.054318776 -0.0052386 0.009301
21-03-2010 4547.321 -0.01349 0.001072034 -1.44645E-05 0.000182
21-04-2010 4596.18 0.010745 0.018216482 0.000195727 0.000115
23-05-2010 5010.254 0.090091 -0.047701578 -0.004297481 0.008116
21-06-2010 5061.522 0.010233 -0.025736224 -0.000263347 0.000105

Cov m,r 0.002477721 δ² 0.005419


βre 0.457253

Table-12: Calculation of Beta of Renata using last 30 month’s data


Day Price (tk.) HPR HPY(R) R-R' (R-R')(R-R')
25-05-2010 1,262.25
26-05-2010 1,292.25 1.023767 0.023767 0.015097 0.000227919
30-05-2010 1,339.75 1.036758 0.036758 0.028087 0.000788907
31-05-2010 1,364.25 1.018287 0.018287 0.009617 9.24845E-05
01-06-2010 1,369.00 1.003482 0.003482 -0.00519 2.69189E-05
02-06-2010 1,359.25 0.992878 -0.00712 -0.01579 0.00024939
03-06-2010 1,349.00 0.992459 -0.00754 -0.01621 0.000262798
06-06-2010 1,321.75 0.9798 -0.0202 -0.02887 0.000833492
07-06-2010 1,301.25 0.98449 -0.01551 -0.02418 0.000584665
08-06-2010 1,309.25 1.006148 0.006148 -0.00252 6.36135E-06
09-06-2010 1,346.50 1.028451 0.028451 0.019781 0.0003913
10-06-2010 1,446.75 1.074452 0.074452 0.065782 0.004327295
13-06-2010 1,538.75 1.063591 0.063591 0.054921 0.003016283
14-06-2010 1,512.00 0.982616 -0.01738 -0.02605 0.000678829
15-06-2010 1,496.50 0.989749 -0.01025 -0.01892 0.000358021
16-06-2010 1,397.25 0.933679 -0.06632 -0.07499 0.005623729
17-06-2010 1,412.50 1.010914 0.010914 0.002244 5.03638E-06
20-06-2010 1,362.75 0.964779 -0.03522 -0.04389 0.00192645
21-06-2010 1,360.25 0.998165 -0.00183 -0.0105 0.000110347
22-06-2010 1,398.00 1.027752 0.027752 0.019082 0.000364128
23-06-2010 1,408.25 1.007332 0.007332 -0.00134 1.79079E-06
24-06-2010 1,408.00 0.999822 -0.00018 -0.00885 7.82806E-05
27-06-2010 1,433.25 1.017933 0.017933 0.009263 8.58056E-05
28-06-2010 1,537.75 1.072911 0.072911 0.064241 0.00412692
29-06-2010 1,532.50 0.996586 -0.00341 -0.01208 0.000146028
30-06-2010 1,547.75 1.009951 0.009951 0.001281 1.64084E-06
0.216753 0.024314818
ExpectedReturn
0.00867 V 0.000972593
SD 0.031186419

Table-05: Calculation of Expected Return and Standard Deviation of ULC using


recent 25 day’s data
Day Price (tk.) HPR HPY(R) R-R' (R-R')(R-R')
Dec19, 2007 659.75
Jan 21, 2008 635 0.962486 -0.03751 -0.0784 0.006145802
Feb 20, 2008 620.5 0.977165 -0.02283 -0.06372 0.004059678
Mar 20, 2008 631 1.016922 0.016922 -0.02396 0.000574039
Apr 21, 2008 825.5 1.308241 0.308241 0.26736 0.071481334
May21, 2008 969.75 1.174743 0.174743 0.133862 0.017918935
June 22, 2008 873 0.900232 -0.09977 -0.14065 0.019782123
July21, 2008 803.25 0.920103 -0.0799 -0.12078 0.014587292
Aug21, 2008 756.25 0.941488 -0.05851 -0.09939 0.009879018
Sep 21, 2008 796.5 1.053223 0.053223 0.012342 0.00015233
Oct 21, 2008 794 0.996861 -0.00314 -0.04402 0.001937733
Nov20, 2008 689.75 0.868703 -0.1313 -0.17218 0.029645327
Dec21, 2008 725.25 1.051468 0.051468 0.010587 0.000112084
Jan 21, 2009 743.5 1.025164 0.025164 -0.01572 0.000247031
Feb 22, 2009 823.5 1.107599 0.107599 0.066718 0.004451323
Mar 22, 2009 623.5 0.757134 -0.24287 -0.28375 0.08051223
Apr 21, 2009 679 1.089014 0.089014 0.048133 0.002316755
May21, 2009 676.25 0.99595 -0.00405 -0.04493 0.002018797
June 21, 2009 800.75 1.184104 0.184104 0.143223 0.020512701
July21, 2009 750.75 0.937559 -0.06244 -0.10332 0.010675521
Aug20, 2009 903.25 1.20313 0.20313 0.162249 0.026324819
Sep 17, 2009 907 1.004152 0.004152 -0.03673 0.00134904
Oct 21, 2009 1145.75 1.26323 0.26323 0.222349 0.04943929
Nov22, 2009 1441.5 1.258128 0.258128 0.217247 0.04719622
Dec21, 2009 1452 1.007284 0.007284 -0.0336 0.00112875
Jan 21, 2010 1754.5 1.208333 0.208333 0.167452 0.028040299
Feb 22, 2010 2129 1.213451 0.213451 0.17257 0.029780464
Mar 21, 2010 1005 0.472053 -0.52795 -0.56883 0.323565688
Apr 21, 2010 1092 1.086567 0.086567 0.045686 0.00208723
May23, 2010 1338.25 1.225504 0.225504 0.184623 0.034085545
June 21, 2010 1360.25 1.016439 0.016439 -0.02444 0.000597391
1.226429 0.840604787
Exp. Ret. 0.040881 v 0.02802016
SD 0.167392233

Table-14: Calculation of Expected Return and Standard Deviation of ULC using last
30 month’s data
TRADEDATE Rm -R̅ m ULC (Ru-R̅ u) (Rm -R̅ m)*(Ru-R̅ u) (Rm -R̅ m)²
24-05-2010
25-05-2010 -0.03784 0.000227919 -8.62407E-06 0.001432
26-05-2010 -0.02342 0.000788907 -1.84738E-05 0.000548
30-05-2010 -0.03097 9.24845E-05 -2.86404E-06 0.000959
31-05-2010 -0.03686 2.69189E-05 -9.92121E-07 0.001358
01-06-2010 -0.02991 0.00024939 -7.45934E-06 0.000895
02-06-2010 -0.03948 0.000262798 -1.03751E-05 0.001559
03-06-2010 -0.02729 0.000833492 -2.27419E-05 0.000744
06-06-2010 -0.03833 0.000584665 -2.24083E-05 0.001469
07-06-2010 -0.05718 6.36135E-06 -3.6377E-07 0.00327
08-06-2010 -0.01898 0.0003913 -7.42691E-06 0.00036
09-06-2010 -0.03472 0.004327295 -0.000150227 0.001205
10-06-2010 -0.02689 0.003016283 -8.11126E-05 0.000723
13-06-2010 -0.02596 0.000678829 -1.76235E-05 0.000674
14-06-2010 -0.03823 0.000358021 -1.36887E-05 0.001462
15-06-2010 -0.03477 0.005623729 -0.000195552 0.001209
16-06-2010 -0.04923 5.03638E-06 -2.47964E-07 0.002424
20-06-2010 -0.03995 0.00192645 -7.69665E-05 0.001596
21-06-2010 -0.05476 0.000110347 -6.04258E-06 0.002999
22-06-2010 -0.02065 0.000364128 -7.51833E-06 0.000426
23-06-2010 -0.04066 1.79079E-06 -7.28074E-08 0.001653
24-06-2010 -0.03625 7.82806E-05 -2.83734E-06 0.001314
27-06-2010 -0.03225 8.58056E-05 -2.76735E-06 0.00104
28-06-2010 -0.03797 0.00412692 -0.000156696 0.001442
29-06-2010 -0.04268 0.000146028 -6.23219E-06 0.001821
30-06-2010 -0.04089 1.64084E-06 -6.7087E-08 0.001672

Cov m,s -3.27752E-05 δ² 0.00137

β -0.02392

Table-15: Calculation of Beta of ULC using recent 25 day’s data


TRADEDATE Index Rm-R̅ m ULC (Ru-R̅ u) (Rm -R̅ m)*(Ru -R̅ u) (Rm -R̅ m)²
19-12-2007 2545.99
21-01-2008 2483.52 -0.04988 0.006145802 -0.000306525 0.002488
20-02-2008 2400.98 -0.03324 0.004059678 -0.000134924 0.001105
20-03-2008 2554.73 0.064036 0.000574039 3.67594E-05 0.004101
21-04-2008 2596.17 0.016221 0.071481334 0.001159491 0.000263
21-05-2008 2599.02 0.001098 0.017918935 1.96709E-05 1.21E-06
22-06-2008 2535.44 -0.02446 0.019782123 -0.000483931 0.000598
21-07-2008 2453.14 -0.03246 0.014587292 -0.000473501 0.001054
21-08-2008 2321.95 -0.05348 0.009879018 -0.000528314 0.00286
21-09-2008 2411.964 0.038767 0.00015233 5.90529E-06 0.001503
21-10-2008 2339.562 -0.03002 0.001937733 -5.81665E-05 0.000901
20-11-2008 2161.993 -0.0759 0.029645327 -0.002250036 0.005761
21-12-2008 2145.708 -0.00753 0.000112084 -8.44261E-07 5.67E-05
21-01-2009 2204.751 0.027517 0.000247031 6.79749E-06 0.000757
22-02-2009 2168.002 -0.01667 0.004451323 -7.41946E-05 0.000278
22-03-2009 2148.162 -0.00915 0.08051223 -0.000736805 8.37E-05
21-04-2009 2173.052 0.011587 0.002316755 2.68434E-05 0.000134
21-05-2009 2125.2 -0.02202 0.002018797 -4.44547E-05 0.000485
21-06-2009 2387.41 0.123381 0.020512701 0.002530882 0.015223
21-07-2009 2368.065 -0.0081 0.010675521 -8.65029E-05 6.57E-05
20-08-2009 2546.548 0.075371 0.026324819 0.001984123 0.005681
17-09-2009 2570.198 0.009287 0.00134904 1.25286E-05 8.62E-05
21-10-2009 2781.29 0.082131 0.04943929 0.004060487 0.006745
22-11-2009 3487.805 0.254024 0.04719622 0.011988987 0.064528
21-12-2009 3591.401 0.029702 0.00112875 3.35263E-05 0.000882
21-01-2010 4204.067 0.170593 0.028040299 0.00478347 0.029102
22-02-2010 4609.515 0.096442 0.029780464 0.002872081 0.009301
21-03-2010 4547.321 -0.01349 0.323565688 -0.004365741 0.000182
21-04-2010 4596.18 0.010745 0.00208723 2.24263E-05 0.000115
23-05-2010 5010.254 0.090091 0.034085545 0.0030708 0.008116
21-06-2010 5061.522 0.010233 0.000597391 6.11283E-06 0.000105

Cov m,u 0.000769232 δ² 0.005419


βu 0.141958

Table-16: Calculation of Beta of ULC using last 30 month’s data


Estern Bank
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.45 -0.33 -0.1485 -0.142 -0.188 0.035344 0.0159048
medium 0.35 -0.13 -0.0455 -0.142 0.012 0.000144 5.04E-05
strong 0.2 0.26 0.052 -0.142 0.402 0.161604 0.0323208
R' -0.142 V 0.048276
SD 0.219718001

Southeast Bank
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.35 -0.15 -0.0525 0.05481 -0.20481 0.041947136 0.014681498
medium 0.35 0.0066 0.00231 0.05481 -0.04821 0.002324204 0.000813471
strong 0.3 0.35 0.105 0.05481 0.29519 0.087137136 0.026141141
R' 0.05481 V 0.04163611
SD 0.204049283

RenataLimited
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.2 -0.2 -0.04 0.0276 -0.2276 0.05180176 0.010360352
medium 0.4 0.009 0.0036 0.0276 -0.0186 0.00034596 0.000138384
strong 0.4 0.16 0.064 0.0276 0.1324 0.01752976 0.007011904
R' 0.0276 V 0.01751064
SD 0.132327775

UnitedLeasing
P R PR R' R-R' (R-R')(R-R') P(R-R')(R-R')
weak 0.25 -0.24 -0.06 0.0425 -0.2825 0.07980625 0.019951563
medium 0.5 0.05 0.025 0.0425 0.0075 0.00005625 0.000028125
strong 0.25 0.31 0.0775 0.0425 0.2675 0.07155625 0.017889063
R' 0.0425 V 0.03786875
SD 0.194598947

Ta
ble 17: Calculation of Risk and Return Based ob probability

Analysis of Probability

For measuring probability, we analysis the previous 2 years prices of the


shares. We estimate the probability for next 2 years.

In the case of EBL, we saw that the price of the share is reducing constantly.
Its return is negative and risk is high. So we estimate that possibility of
reducing of the price of share is very high and we are more risk averse, so
take more probability in weak point.

In the case of Southeast Bank Limited, we saw that the price of this share is
fluctuating in a limited range. So take equal probability in weak and medium
point and less probability in strong point, because we are more risk averse.

In the case of Renata Limited, condition of the price of this share is good.
Especially last 30 months, price of this share was increasing averagely. So
we take more probability in strong and medium point.

In the case of ULC, return is positive in both 30 months and 25 days


calculation and price of this share was increasing in medium range. So we
take more probability in medium point.
Stock A Stock B Stock C Stock D
Estern Bank Southeast Bank RenataLimited United Leasing
-0.05197804 -0.057847716 -0.03634557 -0.078395164
-0.008088157 -0.010023186 0.016015288 -0.0637156
0.039168127 0.028585601 0.345887604 -0.023959117
-0.157141061 -0.208601479 0.228174963 0.267359934
-0.004593239 -0.014169271 -0.239060021 0.133861626
0.075407251 0.030314699 -0.125887614 -0.140648935
-0.041313398 -0.036656756 -0.042466813 -0.120777861
0.033332067 0.032161141 -0.008634244 -0.099393248
-0.043622004 -0.065155425 0.098789942 0.012342187
-0.030151172 -0.139379211 -0.038148585 -0.044019686
0.05976366 -0.021375296 -0.00281379 -0.172178183
-0.327989953 0.015190682 0.01612716 0.010586969
-0.064422523 -0.277613288 0.003264219 -0.015717217
-0.111153081 -0.112697107 0.036313901 0.066718239
-0.103488302 0.08709229 0.080240448 -0.28374677
0.058450355 -0.105727235 -0.04609119 0.048132679
-0.03722611 -0.069146668 0.018723183 -0.044931027
0.075233524 0.076594191 -0.204724682 0.143222558
0.022781125 0.073041921 0.001688795 -0.103322415
0.028587246 0.078667244 0.056256796 0.162249249
0.000874813 0.015190682 0.077081362 -0.036729279
0.025527507 0.007844493 0.116950345 0.222349476
0.22184168 0.176152754 0.164159108 0.21724691
0.059407303 0.051047256 0.15165251 -0.033596875
0.131449891 0.112113759 0.080878867 0.167452379
0.036744812 0.305513262 -0.054318776 0.172570172
-0.208894785 -0.248939753 0.001072034 -0.568828347
0.004723544 0.007066605 0.018216482 0.04568621
0.271036532 0.36887646 -0.047701578 0.184622709
0.045732392 -0.098120649 -0.025736224 -0.024441574

COV a,b 30 month 0.009533072 COV c,d 30 month 0.001864109


r_ab 0.011483332 r_cd 0.002711528

Table-18: Calculation of Coefficient of Variance and Co-relation of Portfolio (a,b) &


(c,d) based on last 30 month’s data
StockA StockC StockB StockD
EsternBank RenataLimited SoutheastBank UnitedLeasing
-0.05197804 -0.03634557 -0.057847716 -0.078395164
-0.008088157 0.016015288 -0.010023186 -0.0637156
0.039168127 0.345887604 0.028585601 -0.023959117
-0.157141061 0.228174963 -0.208601479 0.267359934
-0.004593239 -0.239060021 -0.014169271 0.133861626
0.075407251 -0.125887614 0.030314699 -0.140648935
-0.041313398 -0.042466813 -0.036656756 -0.120777861
0.033332067 -0.008634244 0.032161141 -0.099393248
-0.043622004 0.098789942 -0.065155425 0.012342187
-0.030151172 -0.038148585 -0.139379211 -0.044019686
0.05976366 -0.00281379 -0.021375296 -0.172178183
-0.327989953 0.01612716 0.015190682 0.010586969
-0.064422523 0.003264219 -0.277613288 -0.015717217
-0.111153081 0.036313901 -0.112697107 0.066718239
-0.103488302 0.080240448 0.08709229 -0.28374677
0.058450355 -0.04609119 -0.105727235 0.048132679
-0.03722611 0.018723183 -0.069146668 -0.044931027
0.075233524 -0.204724682 0.076594191 0.143222558
0.022781125 0.001688795 0.073041921 -0.103322415
0.028587246 0.056256796 0.078667244 0.162249249
0.000874813 0.077081362 0.015190682 -0.036729279
0.025527507 0.116950345 0.007844493 0.222349476
0.22184168 0.164159108 0.176152754 0.21724691
0.059407303 0.15165251 0.051047256 -0.033596875
0.131449891 0.080878867 0.112113759 0.167452379
0.036744812 -0.054318776 0.305513262 0.172570172
-0.208894785 0.001072034 -0.248939753 -0.568828347
0.004723544 0.018216482 0.007066605 0.04568621
0.271036532 -0.047701578 0.36887646 0.184622709
0.045732392 -0.025736224 -0.098120649 -0.024441574

COV a,c30month -0.00076397 COV b,d30month 0.008698694


r_ac -0.004574406 r_bd 0.010716091

Table-19: Calculation of Coefficient of Variance and Co-relation of Portfolio (a,c) &


(b,d) based on last 30 month’s data
StockA StockB StockC StockD
EsternBank SoutheastBank RenataLimited UnitedLeasing
0.015562415 0.05192415 0.051435381 0.015096975
0.013969964 0.142370743 0.017974315 0.028087486
-0.025098079 0.017059622 0.003801291 0.009616887
-0.011270428 -0.022789111 -0.031811663 -0.005188341
-0.010091252 -0.022913284 0.001216007 -0.015792094
-0.002682281 0.009763113 -0.009189708 -0.016211031
-0.00929539 0.003869201 -0.003180897 -0.028870256
-0.02344987 -0.020834012 -0.02127221 -0.024179848
0.01090702 -0.012426235 0.001637184 -0.002522173
0.005679851 0.013998521 -0.028721145 0.019781296
0.011378414 -0.009470682 0.005597248 0.065782176
0.023775085 0.017991666 -0.000453087 0.0549207
-0.002338075 0.021175613 -0.001307864 -0.026054348
-0.006297846 -0.008717635 -0.007036343 -0.01892143
0.006389879 -0.003934327 -0.009939271 -0.074991524
-0.01962824 0.020115236 0.010585456 0.002244189
0.024397213 -0.209845972 -0.002248301 -0.043891346
-0.022930471 -0.012625261 -0.011755355 -0.010504633
0.007938907 0.016950702 0.001034118 0.019082144
-0.010957487 -0.013218948 -0.001989958 -0.001338205
-0.005891218 0.009501533 -0.0037676 -0.008847633
0.054041811 0.017432177 0.001894891 0.009263131
-0.011750548 -0.000979291 -0.012705833 0.064241108
-0.033600424 -0.005839537 -0.005923853 -0.012084186
0.021241048 0.001442017 -0.039844632 0.001280953

COV a,b25days -1.17448E-05 COV c,d25days 9.7043E-05


r_ab -1.06654E-05 r_cd 0.000173406

Table-20: Calculation of Coefficient of Variance and Co-relation of Portfolio (a,b) &


(c,d) based on recent 25 days data
StockA StockC StockB StockD
EsternBank RenataLimited SoutheastBank UnitedLeasing
0.015562415 0.051435381 0.05192415 0.015096975
0.013969964 0.017974315 0.142370743 0.028087486
-0.025098079 0.003801291 0.017059622 0.009616887
-0.011270428 -0.031811663 -0.022789111 -0.005188341
-0.010091252 0.001216007 -0.022913284 -0.015792094
-0.002682281 -0.009189708 0.009763113 -0.016211031
-0.00929539 -0.003180897 0.003869201 -0.028870256
-0.02344987 -0.02127221 -0.020834012 -0.024179848
0.01090702 0.001637184 -0.012426235 -0.002522173
0.005679851 -0.028721145 0.013998521 0.019781296
0.011378414 0.005597248 -0.009470682 0.065782176
0.023775085 -0.000453087 0.017991666 0.0549207
-0.002338075 -0.001307864 0.021175613 -0.026054348
-0.006297846 -0.007036343 -0.008717635 -0.01892143
0.006389879 -0.009939271 -0.003934327 -0.074991524
-0.01962824 0.010585456 0.020115236 0.002244189
0.024397213 -0.002248301 -0.209845972 -0.043891346
-0.022930471 -0.011755355 -0.012625261 -0.010504633
0.007938907 0.001034118 0.016950702 0.019082144
-0.010957487 -0.001989958 -0.013218948 -0.001338205
-0.005891218 -0.0037676 0.009501533 -0.008847633
0.054041811 0.001894891 0.017432177 0.009263131
-0.011750548 -0.012705833 -0.000979291 0.064241108
-0.033600424 -0.005923853 -0.005839537 -0.012084186
0.021241048 -0.039844632 0.001442017 0.001280953

COV a,c25days 5.64204E-05 COV b,d25days 0.000642342


r_ac 5.12351E-05 r_bd 0.000374213
Table-21: Calculation of Coefficient of Variance and Co-relation of Portfolio (a,c) &
(b,d) based on recent 25 day’s data

EBL Renata EBL Southeast


R -0.142 0.0276 -0.142 0.05481
SD 0.219718 0.132328 0.219718 0.204049
w 0.1 0.9 0.1 0.9

Port. Ret. 0.01064 0.035129

0.01 0.01
0.81 0.81
0.048276 0.048276
0.017511 0.041636
0.18 0.18
0.014529 0.03407
δ²port 0.120536 0.184582
Renata ULC Southeast ULC
R 0.0276 0.0425 0.05481 0.0425
SD 0.132328 0.194599 0.204049 0.194599
w 0.75 0.25 0.2 0.8

Port. Ret. 0.031325 0.044962

0.5625 0.04
0.0625 0.64
0.017511 0.041636
0.037869 0.037869
0.375 0.32
0.01193 0.025657
δ²port 0.109225 0.160178

Table-22: Investment decisions in different Weights

Our Investment Allocation

We decide to invest our money in Portfolio C,D (Renata Limited and United
Leasing) and our investment weight is .75 and .25. Portfolio return of this
portfolio is .031 and risk is .109 that less risky than other portfolio.
Coefficient of variance and co-relation are also lower of this portfolio.
Similarly Beta of both shares is also low.

On the other hand, we again calculated the HPY of both shares in August 02,
2010 and we took June 30, 2010’s price as beginning value.

HPY of Renata is .05963 and .07785. This is positive result, so decide to


invest in this portfolio.
Comment on the Overall all Impact of Different
Information and events on Bangladesh Stock Market

• The situation of our economy is not good, but the condition of our
stock markets is very good because of over cash flow in the market.

• Recently SEC reduces the loan ratio 1:1.5 to 1:1. For that reason,
markets are fallen down for short time. But the market is now very
well.

• Sometimes markets were fallen down in last 3 months for different


rumours. But these was in short term not in long term.

• Recently share of Rak Ceramics and United Airways come to the


market. But there was not any strong impact in the market for these
reasons.

• In last Hartal day (JUNE 27, 2010), the transactions in the markets
were really surprising. On previous hartal days, the transactions were
reduced in most of the times. So it is a good impact on the markets.

Conclusion

Finally, we can say that it is not possible to indentify the best investment
opportunity in the market. So in this report paper we just decide to invest in
a portfolio, after analysing different things and based on our estimation. We
can not say that it the best investment opportunity. But we try our best to
analysis the portfolios.