Investment and Portfolio Management

Computation of Monthly Rate of Return for 2016

Dewaan Salman KSE INDEX 100
Date Closing Price (Rs.) Dividend Return % Date Closing Price (Rs.) Dividend Return %
1-Sep 3.90 -- -- 1-Sep 32,287.41 -- --
1-Oct 2.87 -- (26.41) 1-Oct 34,261.60 -- 6.11
1-Nov 2.81 -- (2.09) 1-Nov 32,255.20 -- (5.86)
1-Dec 2.39 -- (14.94) 1-Dec 32,816.31 -- 1.74
1-Jan 2.07 -- (13.30) 1-Jan 31,298.60 -- (4.62)
1-Feb 1.90 -- (8.21) 1-Feb 31,369.51 -- 0.23
1-Mar 1.80 -- (5.26) 1-Mar 33,139.00 -- 5.64
1-Apr 2.11 -- 17.20 1-Apr 34,719.29 -- 4.77
1-May 2.18 -- 3.31 1-May 36,061.56 -- 3.87
1-Jun 2.57 -- 17.88 1-Jun 37,783.54 -- 4.78
1-Jul 2.15 -- (16.34) 1-Jul 39,528.82 -- 4.62
1-Aug 2.12 -- (1.39) 1-Aug 39,809.58 -- 0.71
1-Sep 4.10 -- 93.39 1-Sep 40,541.81 -- 1.84
Expected Rate of Return 3.65 Expected Rate of Return 1.83

Assignment# 04
Tania Shaheen Nov 015, 2016
FA13-BS (BA)-019 BBA-7
 Investment and Portfolio Management

Computation of Covariance of Returns for Dewaan Salman and KSE Index 100 :2016
Rows 1 2 3 4 5 6 7=3*5
KSE Dewan Salman KSE INDEX 100 Dewaan Salman KSE Index 100
Dewan INDEX
Date Salman 100 R-E ( R ) [R-E ( R )]2 R-E ( R ) [R-E ( R )]2 R-E ( R )* R-E ( R )
1-Oct (26.41) 6.11 (30.06) 903.60 4.28 18.32 (128.66)
1-Nov (2.09) (5.86) (5.74) 32.94 (7.69) 59.14 44.14
1-Dec (14.94) 1.74 (18.59) 345.58 (0.09) 0.01 1.67
1-Jan (13.30) (4.62) (16.95) 287.30 (6.45) 41.60 109.33
1-Feb (8.21) 0.23 (11.86) 140.65 (1.60) 2.56 18.98
1-Mar (5.26) 5.64 (8.91) 79.38 3.81 14.51 (33.95)
1-Apr 17.20 4.77 13.55 183.60 2.94 8.64 39.84
1-May 3.31 3.87 (0.34) 0.11 2.04 4.16 (0.69)
1-Jun 17.88 4.78 14.23 202.49 2.95 8.70 41.98
1-Jul (16.34) 4.62 (19.99) 399.60 2.79 7.78 (55.77)
1-Aug (1.39) 0.71 (5.04) 25.40 (1.12) 1.25 5.64
1-Sep 93.39 1.84 89.74 8,053.26 0.01 0.00 0.90
E (R )= 3.65 1.83 Sum= 10,653.91 Sum= 166.68 43.41

Variance= 887.82 Variance= 13.890

Standard Deviation= 29.79 Standard Deviation= 3.726 Cov (DS*KSE)=43.41/12 =3.61

Assignment# 04
Tania Shaheen Nov 015, 2016
FA13-BS (BA)-019 BBA-7
 Investment and Portfolio Management

Assets E(R) Stand. Dev (σ) Coff. of Correlation Cov(1,2)

Dewaan Salman 0.037 0.298
KSE Index 100 0.018 0.037 0.033 3.61

Computation of E (R) and σ of Portfolio with Constant Correlation and Varying

Weights
Cases W₁ W₂ E(R)ᵨₒᵣ σᵨₒᵣ
A 1 0 0.037 0.297
B 0.9 0.1 0.035 0.267
C 0.8 0.2 0.033 0.238
D 0.7 0.3 0.031 0.208
E 0.6 0.4 0.029 0.179
F 0.5 0.5 0.027 0.150
G 0.4 0.6 0.026 0.121
H 0.3 0.7 0.024 0.094
I 0.2 0.8 0.022 0.067
J 0.1 0.9 0.020 0.045
K 0 1 0.018 0.036

Assignment# 04
Tania Shaheen Nov 015, 2016
FA13-BS (BA)-019 BBA-7
 Investment and Portfolio Management

Graph:

Standard Deviation of Portolio

0.040
Expected Return
0.035
0.030
0.025
0.020
0.015 Standard Deviation of
0.010 Portolio

0.005
0.000
0.000 0.050 0.100 0.150 0.200 0.250 0.300 0.350
Standard Deviation

Beta (β) = Cov (1*M)/ϑ²m

= 3.61/13.890
= 0.2598 (Risk is less than market)

Assignment# 04
Tania Shaheen Nov 015, 2016
FA13-BS (BA)-019 BBA-7