Project Paper On

PORTFOLIO MANAGEMENT

Investment Theory, FIN 637

North South University, Dhaka, Bangladesh

April 2010

ACKNOWLEDGEMENT
The success of this project work depends on the contribution of a number of people, especially those
who have taken the time to share their thoughtful guidance and suggestions to improve this project.
Its our pleasure to acknowledge the invaluable contribution and assistance of our faculty Mr. Rafiqul
Matin for providing us this opportunity to prove our knowledge into practicing skills. We thank him for his
kind cooperation and understanding and providing of relevant guidelines on the proceedings of a good
report submission.
And finally we would like to thank the group participation spirit for the successful outcome.

Contents
Contents........................................................................................................................................ 3
Objective.......................................................................................................................................4
Methodology.................................................................................................................................4
The Portfolio.................................................................................................................................5
4. Company Information...............................................................................................................6
5. Financing for Investment........................................................................................................ 12
6. Analysis...................................................................................................................................14
6.1 Margin Account ................................................................................................................... 14
6.2 Daily return for the market and each security ......................................................................14
6.3 Portfolio return......................................................................................................................19
6.4 Beta () for each security......................................................................................................19
Figure 6.1: Graph of Return of individual security, Ri vs Beta,...............................................21
6.5 Alpha () for each security...................................................................................................21
.....................................................................................................................................................23
Figure 6.2: Graph of Beta, vs Alpha, for individual securities...............................................23
6.6 Risk of individual securities..................................................................................................23
6.7 Portfolio Risk........................................................................................................................24
6.8 Correlation () of Each Stock with the Market.................................................................... 25
Figure 6.3: Correlation of individual securities with market......................................................25
Figure 6.4: Correlation of Square with other securities..............................................................26
.....................................................................................................................................................27
Figure 6.5: Correlation of Beximco with other securities...........................................................27
Figure 6.6: Correlation of ACI with other securities.................................................................. 28
Figure 6.7: Correlation of Renata with other securities..............................................................29
Figure 6.8: Correlation of Bextex with other securities..............................................................30
Figure 6.9: Correlation of Squaretex with other securities.........................................................31
Figure 6.10: Correlation of Dacca Dyeing with other securities................................................ 32
Figure 6.11: Correlation of Green Delta with other securities....................................................33
Figure 6.12: Correlation of Reliance with other securities.........................................................34
Figure 6.13: Correlation of Phoenix with other securities..........................................................35
7. Comparison between equity finance and levered finance.......................................................36
8. Comment and Conclusion.......................................................................................................36

Objective
The objective of this report is to take the investment approach from an investors point of view and to
progress with the required analysis to have an overall idea of how the portfolio can be affected by several
factors and how the investor can take decision where to invest in order to have an optimum portfolio
considering an amount of return with a minimal amount of risk.

Methodology
Ten companys securities have been purchased from 3 different industries at the date of February 1 st,
2010 and get hold of this portfolio for 2.5 months time period i.e. up to April 15 th. During this time period,
50-50 equity-debt financing took place as a form of investment and we have analyzed whether any
margin call comes during this period. Then we have continued with the following analysis
Return for each security on daily basis
Daily return of market index
Portfolio return on daily basis
Beta for each security
Alpha for each security
Alpha and Beta for portfolio
Risk of individual security
Risk of individual portfolio
Correlation of each security with market and with other securities in the portfolio
Finally a comparison is been done between cash account and margin account taking all the above points
as reference.

The Portfolio
10 companys securities from 3 different industries have been selected to build the total portfolio. The
securities are:
PHARMACEUTICALS
Square Pharmaceuticals Ltd.
Beximco Pharmaceuticals Ltd.
ACI Limited
Renata Limited

TEXTILES
Bextex
Squaretex
Dacca Dyeing

INSURANCE
Green Delta
Reliance
Phoenix

4. Company Information
Square Pharmaceuticals Ltd.
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1995
: 100
: 1,50,90,300
: 1509 million BDT
: 5000 million BDT
: 2475 3869
: Director 54.16%, Foreign 6.3%, Public 39.54%

Figure 3.1: Last one year closing price for Square Pharmaceuticals Ltd.
Beximco Pharmaceuticals Ltd.
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1989
: 10
: 9,42,37,252
: 942 million BDT
: 1000 million BDT
: 222.7 - 429
: Director 28.74%, Foreign 8.05%, Public 63.21%

Figure 3.2: Last one year closing price for Beximco Pharmaceuticals Ltd.
ACI Limited
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1976
: 10
: 1,94,04,000
: 194 million BDT
: 500 million BDT
: 370 - 544
: Director 36.81%, Institute 21.18%, Public 42.01%

Figure 3.3: Last one year closing price for ACI Ltd.
6

Renata Limited
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1979
: 10
: 14,45,984
: 145 million BDT
: 500 million BDT
: 6200 - 14000
: Director 51%, Institute 13.55%, Foreign 25.33, Public 10.12%

Figure 3.4: Last one year closing price for Renata Ltd.
Bextex Limited
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1992
: 10
: 40,56,06,502
: 4056 million BDT
: 5000 million BDT
: 38.3 105.9
: Director 39.47%, Public 60.53%

Figure 3.5: Last one year closing price for Bextex Ltd.
Squaretex Limited
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 2002
: 10
: 7,05,84,053
: 706 million BDT
: 1000 million BDT
: 90.5 130.0
: Director 39.47%, Public 60.53%

Figure 3.6: Last one year closing price for Square Textile Ltd.
8

Dacca Dyeing Limited

Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 2009
: 10
: 4,50,00,000
: 450 million BDT
: 1000 million BDT
: 40.0 70.0
: Director 62%, Public 38%

Figure 3.7: Last one year closing price for Dacca Dyeing Limited

Green Delta Insurance Limited

Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1989
: 100
: 40,82,400
: 450 million BDT
: 1000 million BDT
: 1350 2835
: Director 36.28%, Institute 12.15%, Public 51.57%

Figure 3.8: Last one year closing price for Green Delta Insurance
Reliance Insurance Limited
Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1995
: 100
: 23,40,000
: 234 million BDT
: 500 million BDT
: 738 1457
: Director 50%, Institute 7.19%, Public 42.81%

Figure 3.9: Last one year closing price for Reliance Insurance
10

Phoenix Insurance Limited

Listing year
Face value
No. of securities
Paid up capital
Authorized capital
52 weeks price range
Share percentage

: 1994
: 100
: 19,67,133
: 197 million BDT
: 500 million BDT
: 431 1002
: Director 43.54%, Public 45.56%

Figure 3.10: Last one year closing price for Phoenix Insurance

5. Financing for Investment

50% equity finance and 50% debt finance from margin account at 14% annual interest rate. Total
investment amount is 2 million BDT, 1 million from equity finance and 1 million from debt finance.
Table 5.1: Total financing amount in terms of 50% equity and 50% debt
Square
Beximco
ACI
Reneta
Bextex
SquareTex
DhakaDying
GreenDelta
Reliance
Phoenix

Purchase Price
3577.75
183.80
510.70
13165.50
91.00
127.60
55.30
1825.75
1380.75
968.50

Shares Purchased
56
1088
392
15
2198
1567
3617
110
145
207

Total Cash
200000
200000
200000
200000
200000
200000
200000
200000
200000
200000

Equity
100000
100000
100000
100000
100000
100000
100000
100000
100000
100000

Debt
100000
100000
100000
100000
100000
100000
100000
100000
100000
100000

Weight
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1

11

Table 5.2: Daily stock closing price for three months (Feb 01 to Apr 15)
Date
1-Feb
2-Feb
3-Feb
4-Feb
7-Feb
8-Feb
9-Feb
10-Feb
11-Feb
14-Feb
15-Feb
16-Feb
17-Feb
18-Feb
22-Feb
23-Feb
24-Feb
25-Feb
28-Feb
1-Mar
2-Mar
3-Mar
4-Mar
7-Mar
8-Mar
9-Mar
10-Mar
11-Mar
14-Mar
15-Mar
16-Mar
18-Mar
21-Mar
22-Mar
23-Mar
24-Mar
25-Mar
28-Mar
29-Mar
30-Mar
31-Mar
1-Apr
4-Apr
5-Apr
6-Apr
7-Apr
8-Apr
11-Apr
12-Apr
13-Apr
14-Apr
15-Apr

DGEN
5451.15137
5451.15137
5399.64698
5434.03935
5490.10679
5552.85992
5603.18602
5600.73467
5635.72979
5745.36969
5728.91455
5745.78457
5828.38292
5760.94568
5622.99514
5607.36938
5691.02968
5683.92697
5560.56104
5567.40015
5588.00609
5634.05998
5640.94367
5602.59453
5486.43492
5400.39843
5519.66926
5499.83739
5375.07370
5338.13847
5460.75184
5408.66338
5548.22773
5562.37507
5518.93777
5633.45597
5617.93347
5560.10116
5524.10662
5533.62294
5582.33428
5594.31623
5596.86353
5573.36917
5502.74604
5515.97813
5596.86353
5556.52794
5527.80601
5522.66923
5522.66923
5489.67312

Square
3577.75
3637.25
3617.50
3644.00
3652.00
3676.00
3744.75
3730.00
3699.00
3722.25
3687.75
3675.00
3656.00
3651.00
3606.00
3605.00
3571.00
3610.00
3596.00
3554.00
3530.00
3571.00
3576.00
3565.00
3554.00
3536.00
3546.00
3543.50
3518.00
3491.00
3551.75
3560.50
3570.00
3586.00
3593.00
3672.00
3643.00
3592.75
3584.00
3600.75
3580.50
3575.00
3563.25
3521.00
3491.00
3495.00
3563.00
3594.50
3564.00
3552.00
3575.00
3565.50

Beximco
183.80
174.70
170.40
169.40
169.70
168.10
346.00
174.50
171.30
170.30
170.50
368.80
168.40
168.90
170.80
172.50
171.50
169.20
166.50
166.20
166.20
166.00
169.20
170.20
168.80
167.20
168.50
167.80
168.80
167.20
169.10
172.80
179.60
178.80
175.10
182.40
187.70
191.30
187.00
185.50
182.40
185.10
183.80
181.90
182.00
181.20
183.80
187.60
188.10
188.60
188.20
190.70

ACI
510.70
522.80
517.20
510.60
510.80
509.30
509.60
510.10
512.10
520.10
538.90
530.00
179.30
523.90
528.50
525.70
521.60
517.20
509.70
508.50
505.30
508.80
516.50
513.20
508.00
505.20
507.60
505.50
495.20
497.20
508.30
505.50
505.60
514.20
504.50
508.70
506.40
503.30
500.00
499.00
503.00
501.60
497.60
492.20
491.50
493.30
497.60
491.70
492.40
494.40
495.00
495.10

Reneta
13165.50
13091.30
12505.00
12912.00
12585.00
12110.00
12493.75
11935.00
11900.00
12100.00
12225.00
12010.00
12172.00
12136.00
11759.00
11358.00
11412.00
11534.00
11861.00
11310.00
11306.00
11020.00
11314.00
11612.00
11612.00
11101.00
11345.00
11840.00
11840.00
11100.00
11310.00
11527.00
11780.00
11899.00
11757.00
12014.00
12200.00
12149.50
12025.00
12016.80
12290.00
11823.00
11822.00
11780.00
11675.00
11487.00
11822.00
11406.50
11608.00
11819.00
11899.00
12068.30

Bextex
91.00
90.40
87.80
90.00
91.90
91.30
91.90
91.90
92.40
91.90
94.10
92.40
93.60
93.90
96.40
100.20
99.90
98.40
96.80
98.50
99.70
99.20
100.90
104.30
103.80
103.00
104.60
103.80
101.20
101.10
104.50
103.50
104.00
103.50
101.90
102.70
102.10
102.20
101.80
101.70
100.80
101.50
100.30
100.00
99.80
100.10
100.30
102.00
101.90
100.20
102.20
100.60

SquareTex
127.60
124.60
122.20
123.90
123.20
122.50
122.70
123.20
120.90
122.70
121.70
120.90
120.40
121.30
120.20
120.90
123.50
122.10
120.20
119.40
118.90
118.90
119.70
119.60
118.70
117.60
117.70
117.40
116.20
115.80
117.40
118.00
118.40
121.40
121.60
124.40
123.10
120.60
120.30
120.40
119.40
119.70
118.90
118.50
117.90
118.20
118.90
118.00
117.90
117.70
118.20
117.80

DhakaDying GreenDelta
Reliance
Phoenix
55.30
1825.75
1380.75
968.50
53.50
1827.75
1359.00
939.00
53.20
1810.25
1338.00
893.25
53.50
1803.50
1354.25
855.00
52.90
1815.00
1353.00
908.80
52.30
1854.00
1333.00
905.00
52.00
1919.00
1330.00
902.00
52.90
1921.00
1324.00
901.50
51.60
1864.00
1304.00
896.00
52.00
1882.00
1344.25
887.50
51.80
1869.00
1351.75
872.25
51.60
1834.00
1340.00
847.00
51.80
1815.00
1317.00
844.50
51.60
1817.00
1302.00
862.30
51.20
1827.00
1246.00
836.30
50.60
1863.00
1226.00
858.80
51.60
1849.00
1297.00
860.50
50.90
1838.00
1277.00
844.50
50.20
1821.00
1248.00
829.30
49.70
1827.00
1257.00
858.00
49.40
1809.00
1247.00
844.50
49.80
1815.00
1244.00
837.30
49.70
1803.00
1226.25
833.25
49.50
1775.00
1215.00
807.80
50.80
1736.00
1207.00
785.80
49.50
1713.00
1195.00
783.30
49.70
1769.00
1200.00
779.00
49.80
1753.00
1192.75
787.75
49.40
1749.00
1188.00
756.30
49.60
1691.00
1140.00
737.50
49.60
1765.50
1191.75
773.00
50.30
1780.75
1211.00
785.75
52.50
1783.00
1245.00
825.50
53.80
1784.00
1261.00
876.80
52.40
1752.00
1227.00
843.50
53.00
1761.00
1231.00
867.80
53.00
1764.00
1233.00
846.80
52.60
1745.50
1232.25
828.50
51.50
1732.00
1238.00
810.00
51.50
1712.50
1218.50
820.25
51.90
1702.25
1222.00
820.25
51.60
1721.00
1208.00
833.30
51.10
1747.25
1207.50
821.75
50.50
1785.00
1191.00
812.30
50.50
1770.00
1178.00
804.00
50.60
1738.00
1198.00
811.80
51.10
1747.00
1208.00
821.80
50.60
1727.50
1192.00
791.75
50.60
1723.00
1190.00
774.50
50.90
1720.00
1162.00
777.80
51.00
1724.00
1180.00
779.00
51.20
1717.50
1183.00
773.50
Data source: Dhaka Stock Exchange Limited

12

6. Analysis
6.1 Margin Account
Because the financing is 50% equity finance and 50% debt finance from margin account, we need to
maintain margin account and check if there is any margin call based on fall of share price. For our project
the declared maintenance margin is 40%. Thus we can calculate the margin call price with the following
formula
Amount borrowed
Margin call price = ---------------------------------------------------------------------No. of securities (1 Maintenance margin percentage)
Here the borrowed amount is 1,000,000 BDT, No. of shares 10, maintenance percentage 0.40.
1,000,000
Margin call price = ----------------------------10(1- 0.40)
= 1,66,667
During the project period total share price didnt fall below this price level and thus there was no margin
call. On 14% annual interest rate, daily interest is calculated as follows:
14% interest rate on 1,000,000 BDT for 1 year is 1,40,000 BDT. The daily interest rate is 384 BDT. So
even after paying daily interest rate there was no margin call during the project period.

6.2 Daily return for the market and each security

The return for market and individual security is calculated and given in the table below. The formula
which is used to calculate return is:
CFi + (PE PB)
Total return = ---------------------------PB

Where CFi = Cash flow in ith period, PE = End price of stock

PB = The beginning price of stock or previous day price

Because we are holding the security for three months only and assuming that there will be no dividend
during this period, we consider cash flow CF i = 0. Thus the formula is restructured as
(PE PB)
Total return = ------------------PB

13

Price

207

Price

Price of

Call

200833

1381

200209

969

200480

1999513

No

1828

201053

1359

197055

939

194373

1975004

No

3-Feb

5399.64698

3618

202580

170

185395

517

202742

12505

187575

88

192984

122

191487

53

192424

1810

199128

1338

194010

893

184903

1994621

No

4-Feb

5434.03935

3644

204064

169

184307

511

200155

12912

193680

90

197820

124

194151

54

193510

1804

198385

1354

196366

855

176985

2006210

No

7-Feb

5490.10679

3652

204512

170

184634

511

200234

12585

188775

92

201996

123

193054

53

191339

1815

199650

1353

196185

909

188122

2012453

No

8-Feb

5552.85992

3676

205856

168

182893

509

199646

12110

181650

91

200677

123

191958

52

189169

1854

203940

1333

193285

905

187335

1996811

No

9-Feb

5603.18602

3745

209706

346

376448

510

199763

12494

187406

92

201996

123

192271

52

188084

1919

211090

1330

192850

902

186714

2206869

No

10-Feb

5600.73467

3730

208880

175

189856

510

199959

11935

179025

92

201996

123

193054

53

191339

1921

211310

1324

191980

902

186611

2013845

No

11-Feb

5635.72979

3699

207144

171

186374

512

200743

11900

178500

92

203095

121

189450

52

186637

1864

205040

1304

189080

896

185472

1991759

No

14-Feb

5745.36969

3722

208446

170

185286

520

203879

12100

181500

92

201996

123

192271

52

188084

1882

207020

1344

194916

888

183713

2008535

No

15-Feb

5728.91455

3688

206514

171

185504

539

211249

12225

183375

94

206832

122

190704

52

187361

1869

205590

1352

196004

872

180556

2018409

No

16-Feb

5745.78457

3675

205800

369

401254

530

207760

12010

180150

92

203095

121

189450

52

186637

1834

201740

1340

194300

847

175329

2213409

No

17-Feb

5828.38292

3656

204736

168

183219

179

70286

12172

182580

94

205733

120

188667

52

187361

1815

199650

1317

190965

845

174812

1814347

No

18-Feb

5760.94568

3651

204456

169

183763

524

205369

12136

182040

94

206392

121

190077

52

186637

1817

199870

1302

188790

862

178496

1998189

No

22-Feb

5622.99514

3606

201936

171

185830

529

207172

11759

176385

96

211887

120

188353

51

185190

1827

200970

1246

180670

836

173114

1799097

No

23-Feb

5607.36938

3605

201880

173

187680

526

206074

11358

170370

100

220240

121

189450

51

183020

1863

204930

1226

177770

859

177772

1988526

No

24-Feb

5691.02968

3571

199976

172

186592

522

204467

11412

171180

100

219580

124

193525

52

186637

1849

203390

1297

188065

861

178124

2002734

No

25-Feb

5683.92697

3610

202160

169

184090

517

202742

11534

173010

98

216283

122

191331

51

184105

1838

202180

1277

185165

845

174812

1985027

No

28-Feb

5560.56104

3596

201376

167

181152

510

199802

11861

177915

97

212766

120

188353

50

181573

1821

200310

1248

180960

829

171665

1961931

No

1-Mar

5567.40015

3554

199024

166

180826

509

199332

11310

169650

99

216503

119

187100

50

179765

1827

200970

1257

182265

858

177606

1956705

No

2-Mar

5588.00609

3530

197680

166

180826

505

198078

11306

169590

100

219141

119

186316

49

178680

1809

198990

1247

180815

845

174812

1944400

No

3-Mar

5634.05998

3571

199976

166

180608

509

199450

11020

165300

99

218042

119

186316

50

180127

1815

199650

1244

180380

837

173321

1942444

No

4-Mar

5640.94367

3576

200256

169

184090

517

202468

11314

169710

101

221778

120

187570

50

179765

1803

198330

1226

177806

833

172483

1952775

No

7-Mar

5602.59453

3565

199640

170

185178

513

201174

11612

174180

104

229251

120

187413

50

179042

1775

195250

1215

176175

808

167215

1954459

No

8-Mar

5486.43492

3554

199024

169

183654

508

199136

11612

174180

104

228152

119

186003

51

183744

1736

190960

1207

175015

786

162661

1945775

No

9-Mar

5400.39843

3536

198016

167

181914

505

198038

11101

166515

103

226394

118

184279

50

179042

1713

188430

1195

173275

783

162143

1919276

No

No. of share

Margin

145

1826

193510

Port folio

Price

200020

54

Daily

110

55

195248

Phoenix

Price

199949

125

Daily

3617

128

198699

Reliance

Price

200018

90

Daily

1567

91

196370

Green Delta

Dhaka Dying

Price

197483

13091

Daily

Daily

2198

13166

204938

Square Tex

Bextex

Price

200194

523

Daily

Daily

15

511

190074

Reneta

Price

199974

175

Daily

392

184

203686

ACI

Price

200354

3637

Daily

1088

3578

5451.15137

Beximco

Price

5451.15137

2-Feb

Daily

Square
56

1-Feb

Date

DGEN

Table 6.1: Daily portfolio price and margin call status

10-Mar

5519.66926

3546

198576

169

183328

508

198979

11345

170175

105

229911

118

184436

50

179765

1769

194590

1200

174000

779

161253

1933894

No

11-Mar

5499.83739

3544

198436

168

182566

506

198156

11840

177600

104

228152

117

183966

50

180127

1753

192830

1193

172949

788

163064

1935069

No

14-Mar

5375.07370

3518

197008

169

183654

495

194118

11840

177600

101

222438

116

182085

49

178680

1749

192390

1188

172260

756

156554

1914033

No

15-Mar

5338.13847

3491

195496

167

181914

497

194902

11100

166500

101

222218

116

181459

50

179403

1691

186010

1140

165300

738

152663

1882296

No

16-Mar

5460.75184

3552

198898

169

183981

508

199254

11310

169650

105

229691

117

183966

50

179403

1766

194205

1192

172804

773

160011

1924319

No

18-Mar

5408.66338

3561

199388

173

188006

506

198156

11527

172905

104

227493

118

184906

50

181935

1781

195883

1211

175595

786

162650

1940096

No

21-Mar

5548.22773

3570

199920

180

195405

506

198195

11780

176700

104

228592

118

185533

53

189893

1783

196130

1245

180525

826

170879

1980572

No

22-Mar

5562.37507

3586

200816

179

194534

514

201566

11899

178485

104

227493

121

190234

54

194595

1784

196240

1261

182845

877

181498

2006668

No

23-Mar

5518.93777

3593

201208

175

190509

505

197764

11757

176355

102

223976

122

190547

52

189531

1752

192720

1227

177915

844

174605

1972441

No

24-Mar

5633.45597

3672

205632

182

198451

509

199410

12014

180210

103

225735

124

194935

53

191701

1761

193710

1231

178495

868

179635

2010077

No

25-Mar

5617.93347

3643

204008

188

204218

506

198509

12200

183000

102

224416

123

192898

53

191701

1764

194040

1233

178785

847

175288

2003832

No

28-Mar

5560.10116

3593

201194

191

208134

503

197294

12150

182243

102

224636

121

188980

53

190254

1746

192005

1232

178676

829

171500

1993650

No

29-Mar

5524.10662

3584

200704

187

203456

500

196000

12025

180375

102

223756

120

188510

52

186276

1732

190520

1238

179510

810

167670

1973977

No

30-Mar

5533.62294

3601

201642

186

201824

499

195608

12017

180252

102

223537

120

188667

52

186276

1713

188375

1219

176683

820

169792

1968193

No

31-Mar

5582.33428

3581

200508

182

198451

503

197176

12290

184350

101

221558

119

187100

52

187722

1702

187248

1222

177190

820

169792

1965419

No

1-Apr

5594.31623

3575

200200

185

201389

502

196627

11823

177345

102

223097

120

187570

52

186637

1721

189310

1208

175160

833

172493

1963499

No

4-Apr

5596.86353

3563

199542

184

199974

498

195059

11822

177330

100

220459

119

186316

51

184829

1747

192198

1208

175088

822

170102

1956131

No

5-Apr

5573.36917

3521

197176

182

197907

492

192942

11780

176700

100

219800

119

185690

51

182659

1785

196350

1191

172695

812

168146

1944010

No

6-Apr

5502.74604

3491

195496

182

198016

492

192668

11675

175125

100

219360

118

184749

51

182659

1770

194700

1178

170810

804

166428

1931914

No

7-Apr

5515.97813

3495

195720

181

197146

493

193374

11487

172305

100

220020

118

185219

51

183020

1738

191180

1198

173710

812

168043

1929165

No

8-Apr

5596.86353

3563

199528

184

199974

498

195059

11822

177330

100

220459

119

186316

51

184829

1747

192170

1208

175160

822

170113

1950450

No

11-Apr

5556.52794

3595

201292

188

204109

492

192746

11407

171098

102

224196

118

184906

51

183020

1728

190025

1192

172840

792

163892

1937933

No

12-Apr

5527.80601

3564

199584

188

204653

492

193021

11608

174120

102

223976

118

184749

51

183020

1723

189530

1190

172550

775

160322

1937522

No

13-Apr

5522.66923

3552

198912

189

205197

494

193805

11819

177285

100

220240

118

184436

51

184105

1720

189200

1162

168490

778

161005

1931966

No

14-Apr

5522.66923

3575

200200

188

204762

495

194040

11899

178485

102

224636

118

185219

51

184467

1724

189640

1180

171100

779

161253

1943500

No

15-Apr

5489.67312

3566

199668

191

207482

495

194079

12068

181025

101

221119

118

184593

51

185190

1718

188925

1183

171535

774

160115

1944428

No

1Feb
2Feb
3Feb
4Feb
7Feb
8Feb
9Feb
10Feb
11Feb
14Feb
15Feb
16Feb
17Feb
18Feb
22Feb
23Feb
24Feb
25Feb
28Feb
1Mar
2Mar
3Mar
4Mar
7Mar
8-

5451.15137

3577.75

5451.15137

0.00%

183.80

5399.64698

0.94%

3617.50

0.54%

170.40

-2.46%

517.20

-1.07%

12505.00

5434.03935

0.64%

3644.00

0.73%

169.40

-0.59%

510.60

-1.28%

12912.00

3652.00

0.22%

169.70

0.18%

522.80

510.80

2.37%

0.04%

13091.30

12585.00

5552.85992

1.14%

3676.00

0.66%

168.10

-0.94%

509.30

-0.29%

12110.00

5603.18602

0.91%

3744.75

1.87%

346.00

105.83%

509.60

0.06%

12493.75

5600.73467

0.04%

3730.00

5635.72979

0.62%

3699.00

5745.36969

1.95%

3722.25

5728.91455

0.29%

3687.75

5745.78457

0.29%

3675.00

5828.38292

1.44%

3656.00

5760.94568
5622.99514
5607.36938
5691.02968
5683.92697
5560.56104
5567.40015
5588.00609
5634.05998
5640.94367
5602.59453
5486.43492

1.16%
2.39%
0.28%
1.49%
0.12%
2.17%
0.12%
0.37%
0.82%
0.12%
0.68%
-

3651.00
3606.00
3605.00
3571.00
3610.00
3596.00
3554.00
3530.00
3571.00
3576.00
3565.00
3554.00

0.39%
0.83%
0.63%
0.93%
0.35%
0.52%
0.14%
1.23%
0.03%
0.94%
1.09%
0.39%
1.17%
0.68%
1.16%
0.14%
0.31%
-

174.50

-49.57%

510.10

0.10%

11935.00

171.30

-1.83%

512.10

0.39%

11900.00

170.30

-0.58%

520.10

1.56%

12100.00

170.50

0.12%

538.90

3.61%

91.00
0.56%
4.48%
3.25%
2.53%
3.77%
3.17%
4.47%
0.29%
1.68%

90.40
87.80
90.00

122.70

0.16%

52.00

91.90

0.00%

123.20

0.41%

52.90

1.73%

51.60

2.46%

52.00

0.78%

92.40

0.54%

120.90

91.90

0.54%

122.70

1.49%

51.20

523.90

192.19%

12136.00

170.80

1.12%

528.50

0.88%

11759.00

172.50

1.00%

525.70

-0.53%

11358.00

171.50

-0.58%

521.60

-0.78%

11412.00

0.30%
3.11%
3.41%
0.48%

100.20

3.94%

120.90

0.58%

50.60

123.50

2.15%

51.60

99.90

11534.00

1.07%

98.40

166.50

-1.60%

509.70

-1.45%

11861.00

2.84%

96.80

11020.00

51.60

120.20

-0.84%

0.69%

51.80

2.66%

517.20

11306.00

51.60

96.40

-1.34%

11310.00

51.80

0.91%

169.20

4.65%
0.04%
2.53%

121.70

0.81%
0.66%
0.41%
0.75%

0.30%

98.50

0.30%
1.50%
1.63%
1.76%

122.10
120.20
119.40

99.70

1.22%

118.90

99.20

0.50%

118.90

169.20

1.93%

516.50

1.51%

11314.00

2.67%

100.90

1.71%

119.70

170.20

0.59%

513.20

-0.64%

11612.00

2.63%

104.30

3.37%

119.60

168.80

-0.82%

508.00

-1.01%

11612.00

0.00%

103.80

118.70

1.13%
1.56%
0.67%
0.42%
0.00%
0.67%
0.08%
-

50.90
50.20
49.70
49.40
49.80
49.70
49.50
50.80

0.38%
0.39%
0.39%
0.39%
0.78%
1.17%
1.98%
1.36%
1.38%
1.00%
0.60%
0.81%
0.20%
0.40%
2.63%

1827.75
1810.25
1803.50
1815.00

1380.75
0.11%
0.96%
0.37%
0.64%

1359.00
1338.00
1354.25
1353.00

1.21%
0.09%
1.48%
0.23%
0.45%
1.51%

939.00
893.25
855.00
908.80

2.15%

1333.00

1919.00

3.51%

1330.00

1921.00

0.10%

1324.00

1864.00

2.97%

1304.00

1882.00

0.97%

1344.25

3.09%

887.50

1351.75

0.56%

872.25

1869.00
1834.00
1815.00
1817.00

0.11%

1340.00
1317.00
1302.00

1827.00

0.55%

1246.00

1863.00

1.97%

1226.00

1849.00
1838.00
1821.00

0.75%
0.59%
0.92%

1297.00
1277.00
1248.00

1827.00

0.33%

1809.00

0.99%

1247.00

1815.00

0.33%

1244.00

1803.00
1775.00
1736.00

0.66%
1.55%
-

1257.00

1226.25
1215.00
1207.00

Portfolio
Return

968.50
1.58%
1.55%

1854.00

0.69%
1.87%
1.04%

Return

Phoenix

Return

Reliance

Return

Green Delta

Return

0.66%

121.30

168.90

508.80

Dhaka Dying

91.90

52.30

0.32%

1.35%

-0.12%

Return

122.50

93.90

12172.00

166.00

Square Tex

91.30

120.40

-66.17%

1.12%
1.13%
0.57%

0.65%

1.30%

179.30

0.56%

2.11%

1.87%

52.90

1825.75
3.25%
0.56%

91.90

93.60

-54.34%

-0.63%

53.50

120.90

168.40

505.30

0.56%
0.57%

92.40

12010.00

0.00%

123.20

1.39%

1.81%

-1.65%

166.20

123.90

53.20

2.39%

530.00

-0.24%

122.20

53.50

94.10

116.30%

508.50

2.51%

124.60

55.30
2.35%
1.93%

1.03%

368.80

-0.18%

127.60
0.66%
2.88%

12225.00

1.76%

166.20

Return

Bextex

Return

13165.50

1.66%

1.03%

-4.95%

Reneta

Return

510.70

3637.25

5490.10679

174.70

ACI

Return

Beximco

Return

Square

ReturnMarket

General
Index

Date

Table 6.2: Daily return from market and securities & the portfolio return

0.87%
1.72%
1.14%
4.30%
1.61%
5.79%
1.54%
2.27%
0.72%
0.80%
0.24%
1.43%
0.92%
-

905.00
902.00
901.50
896.00

847.00
844.50

3.05%
4.87%
4.28%
6.29%
0.42%
0.33%
0.06%
0.61%
0.95%
1.72%
2.89%
0.30%

-1.23%
-2.22%
0.38%
0.62%
-0.53%
11.50%
-5.26%
-1.08%
1.01%
0.29%
10.44%
12.00%

862.30

2.11%

19.27%

836.30

3.02%

-1.05%

858.80

2.69%

0.32%

860.50

0.20%

0.87%

844.50
829.30
858.00
844.50
837.30
833.25
807.80
785.80

1.86%
1.80%
3.46%
1.57%
0.85%
0.48%
3.05%
-

-0.81%
-1.23%
-0.15%
-0.41%
-0.04%
0.60%
-0.10%
-0.84%

Mar
9Mar
10Mar
11Mar
14Mar
15Mar
16Mar
18Mar
21Mar
22Mar
23Mar
24Mar
25Mar
28Mar
29Mar
30Mar
31Mar
1Apr
4Apr
5Apr
6Apr
7Apr
8Apr
11Apr
12Apr
13Apr
14Apr
15Apr

5400.39843
5519.66926
5499.83739
5375.07370
5338.13847

2.07%
1.57%
2.21%
0.36%
2.27%
0.69%

3536.00
3546.00
3543.50
3518.00
3491.00
3551.75

0.31%
0.51%
0.28%
0.07%
0.72%
0.77%
1.74%

167.20

-0.95%

505.20

-0.55%

11101.00

4.40%

103.00

168.50

0.78%

507.60

0.48%

11345.00

2.20%

104.60

167.80

-0.42%

505.50

-0.41%

11840.00

4.36%

103.80

168.80

0.60%

495.20

-2.04%

0.48%
0.77%
1.55%
0.76%
2.50%
0.10%

118.00

0.51%

50.30

1.41%

1780.75

0.86%

1211.00

1.62%

785.75

1.65%

0.79%

118.40

0.34%

52.50

4.37%

1783.00

0.13%

1245.00

2.81%

825.50

5.06%

2.22%

121.40

2.53%

53.80

2.48%

1784.00

0.06%

1261.00

1.29%

876.80

6.21%

1.51%

121.60

0.16%

52.40

2.60%

1752.00

1.79%

1227.00

2.70%

843.50

3.80%

-1.80%

124.40

2.30%

53.00

1.15%

1761.00

0.51%

1231.00

0.33%

867.80

2.88%

1.94%

505.50

-0.55%

11527.00

1.92%

103.50

5548.22773

2.58%

3570.00

0.27%

179.60

3.94%

505.60

0.02%

11780.00

2.19%

104.00

0.48%
0.48%
1.55%

5562.37507

0.25%

3586.00

0.45%

178.80

-0.45%

514.20

1.70%

11899.00

1.01%

103.50

5518.93777

0.78%

3593.00

0.20%

175.10

-2.07%

504.50

-1.89%

11757.00

1.19%

101.90

5633.45597

2.08%

3672.00

2.20%

182.40

4.17%

508.70

0.83%

12014.00

2.19%

102.70

0.79%

102.10

0.58%

3584.00

5533.62294

0.17%

3600.75

5582.33428

0.88%

3580.50

5594.31623
5596.86353
5573.36917
5502.74604

0.21%
0.05%
0.42%
1.27%

3575.00
3563.25
3521.00
3491.00

0.47%
0.56%
0.15%
0.33%
1.19%
0.85%

187.00

-2.25%

500.00

-0.66%

12200.00
12149.50
12025.00

185.50

-0.80%

499.00

-0.20%

12016.80

182.40

-1.67%

503.00

0.80%

12290.00

185.10

1.48%

501.60

-0.28%

11823.00

183.80

-0.70%

497.60

-0.80%

11822.00

181.90

-1.03%

492.20

-1.09%

11780.00

182.00

0.05%

491.50

-0.14%

11675.00

5515.97813

0.24%

3495.00

0.11%

181.20

-0.44%

493.30

0.37%

11487.00

5596.86353

1.47%

3563.00

1.95%

183.80

1.43%

497.60

0.87%

11822.00

3594.50

0.88%

187.60

2.07%

491.70

-1.19%

11406.50

5556.52794
5527.80601
5522.66923

0.72%
0.52%
0.09%

3564.00
3552.00

0.85%
0.34%

0.19%

2.78%

2.19%

5524.10662

1691.00

3.99%
2.49%
4.81%

172.80

-0.61%

0.40%

1.55%
0.41%
1.02%
0.07%
2.27%
3.80%
0.01%
0.36%
0.89%
1.61%

102.20
101.80
101.70
100.80
101.50
100.30
100.00
99.80

0.10%
0.39%
0.10%
0.88%
0.69%
1.18%
0.30%
0.20%

123.10
120.60
120.30

1.05%
2.03%
0.25%

53.00
52.60
51.50

0.00%
0.75%
2.09%

1764.00
1745.50
1732.00

120.40

0.08%

51.50

0.00%

1712.50

119.40

0.83%

51.90

0.78%

1702.25

119.70
118.90
118.50
117.90

0.25%
0.67%
0.34%
0.51%

51.60
51.10
50.50

0.58%
0.97%
1.17%

1721.00

50.50

0.00%

1770.00

0.20%

1738.00

2.92%

100.30

0.20%

118.90

0.59%

51.10

0.99%

1747.00

3.51%

102.00

1.69%

118.00

50.60

0.98%

1727.50

50.60

0.00%

1723.00

50.90

0.59%

1720.00

0.14%

11608.00

1.77%

101.90

188.60

0.27%

494.40

0.41%

11819.00

1.82%

100.20

117.90
117.70

828.50

1238.00

0.47%

810.00

1218.50

1.58%

820.25

1.27%

-0.19%

1222.00

0.29%

820.25

0.00%

0.05%

833.30

1.59%

-0.06%

1208.00

1191.00

50.60

492.40

1232.25

2.16%

0.25%

0.27%

846.80

0.06%

1785.00

0.84%
1.81%
0.52%
1.12%
0.26%
0.17%

2.42%
2.16%
2.23%

-1.81%

0.16%

1207.50

118.20

188.10

1.10%

737.50

-1.34%

1233.00

1.53%

0.30%

0.10%
1.67%

1.05%
0.77%
1.13%
0.60%

1747.25

100.10

0.76%
0.08%
0.17%

0.17%

1140.00

756.30

1.12%

773.00

0.25%

503.30

49.60

787.75

4.54%

1.89%

115.80

1188.00

0.60%
0.40%
4.04%

1191.75

11310.00

1.92%

1749.00

1192.75

1.11%

4.41%

2.23%

191.30

49.40

0.80%

0.90%
0.23%
3.32%

779.00

1765.50

508.30

3560.50

3592.75

1753.00

0.42%

-1.49%

0.00%

1.14%

5408.66338

5560.10116

0.20%

1200.00

2.72%
0.32%
0.55%

49.60

169.10

-0.45%

49.80

3.27%

783.30

1.38%

11100.00

506.40

1769.00

0.66%
0.99%

117.40

0.40%

2.91%

0.40%

1195.00

3.36%

497.20

187.70

49.70

2.20%
1.32%

104.50

-0.95%

0.96%

3643.00

1713.00

101.10

167.20

116.20

0.25%
1.02%
0.34%

2.56%

101.20

6.25%

0.95%

5617.93347

117.40

0.09%

49.50

0.00%

2.30%

0.79%
1.38%
0.24%

117.70

0.75%
0.93%

11840.00

5460.75184

0.28%
1.03%
0.65%

117.60

1178.00

1.15%
0.04%
1.37%
1.09%

821.75
812.30
804.00

1.39%
1.15%
1.02%

-0.08%
-0.75%
-1.01%

-0.45%
-0.62%
-0.68%

1198.00

1.70%

811.80

0.97%

0.03%

1208.00

0.83%

821.80

1.23%

1.30%

1192.00
1190.00
1162.00

1.32%
0.17%
2.35%

791.75
774.50

3.66%
2.18%

777.80

0.43%

-0.86%
-0.20%
-0.13%

5522.66923

0.00%

3575.00

0.65%

188.20

-0.21%

495.00

0.12%

11899.00

0.68%

102.20

2.00%

118.20

0.42%

51.00

0.20%

1724.00

0.23%

1180.00

1.55%

779.00

0.15%

0.58%

5489.67312

0.60%

3565.50

0.27%

190.70

1.33%

495.10

0.02%

12068.30

1.42%

100.60

1.57%

117.80

0.34%

51.20

0.39%

1717.50

0.38%

1183.00

0.25%

773.50

0.71%

-0.04%

6.3 Portfolio return

For total portfolio return of ten securities, the formula is:
n

RP = wiRi
i=1

Here wi is the weight of investment on each security. As all securities are of same weight (0.1). So summation of the multiplication of weight (w i) and
security return (Ri) gives us the total portfolio return (R P).
For our portfolio the return is -5.29%

6.4 Beta () for each security

Beta is the sensitivity of the security with the market. It is a factor of the covariance and market return and security return and variance of security
return. The formula, which is used to calculate beta is
Covariance (RM, Ri)
= -------------------------Variance (Ri)

Where RM is the market return and Ri is the security return.

To calculate covariance and variance we have used Microsoft Excel data analysis tools. The result beta value is as follows:

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

Portfolio

Table 6.3: Calculation of sensitivity, for individual securities

Covar

Covar

Covar

Covar

Covar

Covar

Covar

Covar

Covar

Covar

Covar

0.0051

0.0141

-0.0578

0.0082

0.0047

0.0058

0.0056

0.0073

0.0117

0.0149

-0.0035

Var

Var

Var

Var

Var

Var

Var

Var

Var

Var

Var

0.0076

5.9961

8.2145

0.0641

0.0235

0.0108

0.0191

0.0225

0.0334

0.0674

0.1725

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

0.6677

0.0024

-0.0070

0.1279

0.2018

0.5426

0.2950

0.3218

0.3506

0.2205

-0.0203

Figure 6.1: Graph of Return of individual security, R i vs Beta,

6.5 Alpha () for each security

Alpha is the part of security is return independent of market performance. The formula, which is used for alpha calculation is
Ri = i + iRM + ei,

here ei is random residual error. Considering ei = 0, we get

Ri = i + iRM

OR

i = R i - i RM

The result is as follows:

Market

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

Table 6.4: Calculation of alpha, for individual securities

Return
(Rm)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

Return (Ri)

0.0027

-0.0034

0.0375

-0.0305

-0.0833

0.1055

-0.0768

-0.0741

-0.0593

-0.1432

-0.2013

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

0.6668

0.0024

-0.0070

0.1387

0.2100

0.5454

0.2896

0.3204

0.3537

0.2216

Alpha

Alpha

Alpha

Alpha

Alpha

Alpha

Alpha

Alpha

Alpha

Alpha

-0.0052

0.0375

-0.0303

-0.0791

0.1230

-0.1343

-0.0519

-0.0355

-0.1223

-0.1696

Figure 6.2: Graph of Beta, vs Alpha, for individual securities

6.6 Risk of individual securities

To calculate the risk of a security and the portfolio we have used the formula
2 = i2[M2] + i2
To calculate the standard deviation () we have used Microsoft Excel data analysis tool. The result is as follows -

Market

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

Table 6.5: Calculation of standard deviation, for individual securities

0.0118

0.0087

0.2449

0.2866

0.0253

0.0153

0.0104

0.0138

0.0150

0.0183

0.0260

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

Beta

0.6668

0.0024

-0.0070

0.1387

0.2100

0.5454

0.2896

0.3204

0.3537

0.2216

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

0.0001

0.0600

0.0821

0.0006

0.0002

0.0001

0.0002

0.0002

0.0004

0.0007

6.7 Portfolio Risk

To calculate the portfolio risk we have used the formula
n

n n

P = wi i + wiwj ij
2

i=1

i=1 j=1
ij

---------------- -------------------Variance
Covariance
P2 = Variance + Covariance
P = [Variance + Covariance]
So the portfolio risk is
P = [0.0130 + 0.0033] = [0.0163] = 0.1278 or 12.78%

6.8 Correlation () of Each Stock with the Market

For 10 securities, the total number of correlations among all the securities will be
n(n-1) or 10(10-1) = 90
and total number of unique set will be
[n(n-1)]/2 or 90/2 = 45
To calculate the correlation () of each security with the market, we have used Microsoft Excel data analysis tool and the result is
Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.4992

0.0518

-0.1751

0.2999

0.2777

0.4906

0.3480

0.4190

0.5621

0.5019

Figure 6.3: Correlation of individual securities with market

To calculate the correlation of each security with other securities, we have used Microsoft Excel data analysis tool and the result is
Correlation of Square with other securities
Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

1.0000

0.2046

0.0196

0.3191

0.1314

0.3953

0.0741

0.4136

0.2413

0.2752

Figure 6.4: Correlation of Square with other securities

Correlation of Beximco with other securities
Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.2046

1.0000

0.0903

0.1101

-0.1055

-0.0058

-0.0825

0.1349

0.0263

-0.0735

Figure 6.5: Correlation of Beximco with other securities

Correlation of ACI with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.0196

0.0903

1.0000

-0.0301

-0.0096

0.1376

-0.0349

0.0577

-0.0186

0.1416

Figure 6.6: Correlation of ACI with other securities

Correlation of Renata with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.3191

0.1101

-0.0301

1.0000

-0.0067

0.2725

0.3322

0.1926

0.3948

0.0879

Figure 6.7: Correlation of Renata with other securities

Correlation of Bextex with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.1314

-0.1055

-0.0096

-0.0067

1.0000

0.2785

0.0232

0.2951

0.1464

0.2993

Figure 6.8: Correlation of Bextex with other securities

Correlation of Squaretex with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.3953

-0.0058

0.1376

0.2725

0.2785

1.0000

0.5655

0.3213

0.5650

0.5140

Figure 6.9: Correlation of Squaretex with other securities

Correlation of Dacca Dying with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.0741

-0.0825

-0.0349

0.3322

0.0232

0.5655

1.0000

0.0445

0.4907

0.3780

Figure 6.10: Correlation of Dacca Dyeing with other securities

Correlation of Green Delta with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.4136

0.1349

0.0577

0.1926

0.2951

0.3213

0.0445

1.0000

0.3216

0.3916

Figure 6.11: Correlation of Green Delta with other securities

Correlation of Reliance with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.2413

0.0263

-0.0186

0.3948

0.1464

0.5650

0.4907

0.3216

1.0000

0.4164

Figure 6.12: Correlation of Reliance with other securities

Correlation of Phoenix with other securities

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

0.2752

-0.0735

0.1416

0.0879

0.2993

0.5140

0.3780

0.3916

0.4164

1.0000

Figure 6.13: Correlation of Phoenix with other securities

7. Comparison between equity finance and levered finance

With sole equity finance we could invest 1,000,000 BDT only but with leverage our investment is
2,000,000 BDT. For levered finance the return is
-5.29% but interest is 1.73% (14% annual interest
rate, for 45 days interest is 1.73%). Thus the actual return is (- 5.29% - 1.73%) = - 7.02%. For equity
finance the return would be -5.29%.

8. Comment and Conclusion

Data analysis shows that we are in loss because of -7.02% return from the portfolio. We could have
made profit if we had sold the shares on February 9 th, 16th, 17th or 18th because portfolio return was high
in these days (11.50%, 10.44%, 12.00% and 19.27% respectively).
If we analyze the securitys correlation with market, we find that ACI has negative correlation and
Beximco has lowest correlation with the market, Reliance has highest correlation. Among the securities it
was found that Pharmaceuticals has lower correlation with other industries but Textile and Insurance has
higher correlation.

Square

Beximco

ACI

Reneta

Bextex

Square Tex

Dhaka Dying

Green Delta

Reliance

Phoenix

If we look at the return in context of risk we find the following data

Return

Return

Return

Return

Return

Return

Return

Return

Return

Return

-0.0034

0.0375

-0.0305

-0.0833

0.1055

-0.0768

-0.0741

-0.0593

-0.1432

-0.2013

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

Risk

0.0001

0.0600

0.0821

0.0006

0.0002

0.0001

0.0002

0.0002

0.0004

0.0007

From this data it is clear that ACI having the highest risk giving negative return. Square and Squaretex
have lowest risk but gives negative return. Only Bextex and Beximco is giving positive return with lower
risk level.
The data analysis period is February 01 to April 15, which is very narrow range to evaluate securities. To
evaluate the firms we need to analyze more data for a longer duration and also should analyze historical
data. We should also perform trend analysis, common size analysis and ratio analysis to evaluate a firm
and its securities. A sample analysis is attached herewith (Annexure 1) for a single company (Beximco).

-0-