Presentation on
Investment Analysis
Investment Theory
Presented By:
Md. Shafiqul Islam Masud
-101-0405-560
Mofakhkharul Karim -101-0572-460
Md. Monjur Rashed
- 082-443-060
Md. Tariqul Islam - 091-0566-060
Shamsul Arefin
- 082-597-060
Objective
Formation
of portfolio
Return calculation
Daily return of each stock
Portfolio return
Market Return
Total
risk calculation
Beta calculation
Expected return calculation
Alpha calculation
Correlation among stock and finding risk
from correlation
Analysis on risk and return
Sector wise portfolio Structure
No. of firms
Telecommunication; 10%
Pharmaceuticals; 50%
Insurance; 40%
Portfolio selection
SquarPharma
Bexpharma
Reckit ACI Formula Active Infu Bxsynth
Pharmaceuticals
ACI Ltd
Beacon
GlaxoSmith
SquarPharma
Renata
Marico
GlaxoSmith
Beacon
ACI Ltd
Marico
Renata Bexpharma
Reckit
ACI Formula
Active Infu
Bxsynth
RupaliLife
PrimeLife
pragatilife
MeghnaLife
Insurance
Sandhani
RupaliLife
GreenDelt
FareEast
DeltaLife
PopularLife
DeltaLife
NatlifeIns
PopularLife
NatlifeIns
FareEast GreenDelt
MeghnaLife
pragatilife
PrimeLife
Sandhani
Daily return of Square
Pharmaceuticals Ltd.
Market Vs SquarePharma
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Return of Squre
-5.00
-10.00
Date
Return of this stocks are more volatile up to the
month of march after that a stabilized return of
this particular stock remains more or less same.
Daily Return of Beximco Pharma
Market Vs BexPharma
15.00
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Return of Bxpharma
-5.00
-10.00
-15.00
Date
Return was volatile over the period but from
21st march to 18th April return of BexPharma
was stable with the volatility of only 5%.
Daily Return of Renata Ltd.
Market Vs Renata
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Return of Renata
-5.00
-10.00
Date
Return of Renata fluctuated between 5% to negative 5% over the three months time.
From this stock we can found the we could make short time profit by buying the share
when price is low and selling the stocks when return is high.
Daily Return of Marico Bangladesh Limited
Market Vs Marico
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Retun of Marico
-5.00
-10.00
-15.00
Date
Return of the Marico Bangladesh stocks was more
fickle during the 7th February to 21st March and last
5days of April other than that return of this stock
was almost no volatility.
Daily Return of Glaxo SmithKline
Market Vs Glaxo
15.00
10.00
5.00
Axis Title
Daily Return of Market
0.00
Daily Return of Glaxo
-5.00
-10.00
-15.00
-20.00
Axis Title
Stock price of Glaxo SmithKline has sharply fall from 8th
February to 14th
February then its again sharply rise by 18th February.
After that price and
therefore return was almost same volatile during the
period.
Daily Return of Rupali Insurance
Market Vs RUPALIINS
15.00
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Return of RUPALIINS
-5.00
-10.00
-15.00
Date
During half of the period share price of the Rupali Insurance sharply
fail and sharply went up. Volatility of the Return was up 10% and
negative 10%. Other then this last half of the period share price did
not fluctuated that much therefor return was between 5% volatility.
Daily Return of National Life Insurance
Market Vs Natelife
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Natelife
-5.00
-10.00
Date
Return of National Life Insurance fluctuated between 5% to negative 5% over the three m
time. From this stock we can found the we could make short time profit by buying the sh
when price is low and selling the stocks when return is high.
Daily Return of Green Delta Insurance
Market Vs GreenDelta
15.00
10.00
5.00
%daily Return
Daily Return of Market
0.00
Daily Greendelta
-5.00
-10.00
-15.00
Date
Green Delta Insurance we found a interesting trend
up to the first half of the investment period. Here we
saw that return of the stock steadily declined when it
started to decline but it suddenly rise sharply and
after that again a steady fall of return.
Daily Return of Fareast Islami Life Insurance Co.
Ltd.
Market Vs FareEast
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Retunr of Fareeast
-5.00
-10.00
Date
Fareast Islami Life Insurance Co. Ltd. And Green Delta
Insurance was almost same other than a silly change in
the return during 11th April and 18th april where as Green
Delta Insurance return was negative on the other hand
Fareast Islami Life Insurance Co. Ltd return was almost
zero.
Daily Return of Grameen Phone Ltd.
Market Vs GP
15.00
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Retune of GP
-5.00
-10.00
-15.00
Date
Daily Return of Market
Daily Return of Market
10.00
5.00
Daily Return of Market
0.00
-5.00
-10.00
Return of the market was within 10% unstable during the
period. Return on the market was more volatile in the first phase
of the period after that there was stability in the return of the
market.
Daily return on Portfolio Cash
Account
Market Vs Portfolio Cash
10.00
5.00
Daily Return of Market
%Daily Return
0.00
Daily Return of Portfolio Cash
-5.00
-10.00
Date
Portfolio return varies from -5% to + 7 %. Finally
average return is 3%
Daily Return on Portfolio Margin
Account
Market Vs Portfolio Margin
15.00
10.00
5.00
%Daily Return
Daily Return of Market
0.00
Daily Portfolio margin
-5.00
-10.00
-15.00
Date
Daily return on margin account has ups and down in first
half but this volatility is durable and second half is less
volatile more or less margin account is giving us a negative
return.
Yearly Return
Daily
Return(period)
Annual Return
-6.75
-29.65
2.34
10.30
Market
Portfolio
Portfolio (margin)
Squrepharma
Bxpharma
Renata
Marico
Glaxosmith
Rupaliins
NatelifeIns
GreenDelt
FareEast
GP
-7.13
1.70
-0.99
4.41
1.98
-0.94
7.98
22.03
2.54
10.27
-25.56
-31.34
7.48
-4.37
19.38
8.72
-4.13
35.09
96.85
11.15
45.16
-112.36
Return
150.00
96.85
100.00
50.00
10.30
7.48
0.00
-50.00
19.38
-4.37
-29.65
45.16
35.09
11.15
8.72
Annual Return
-4.13
-31.34
-100.00
-150.00
Daily Return(period)
-112.36
Beta
Market
Portfolio
Portfolio
(margin)
Squrepharma
Bxpharma
SD
Beta
3.71
3.52
Statistical
Beta (5th
may'1124th nov09)
1.00
0.89
% change in
Beta
6.40
2.41
4.68
1.59
0.57
1.03
0.42
0.58
34.519878
78.579027
Renata
1.97
0.32
0.23
35.4019405
Marico
4.27
0.90
0.60
49.4277183
Glaxosmith
4.46
0.88
0.70
25.9057744
Rupaliins
5.91
1.28
1.29
-1.0620664
NatelifeIns
3.05
0.64
0.67
-5.6883835
GreenDelt
5.41
1.23
1.14
7.14129278
FareEast
4.85
1.15
1.02
13.0533972
GP
4.15
0.97
1.03
-6.1326084
Beta for Period(82 days) and
Historic(1.5years)
1.80
1.60
1.40
1.20
1.00
0.80
Beta
0.60
Statistical Beta (5th may'1124th nov-09)
0.40
0.20
0.00
SD, Beta
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00
SD
Beta
Statistical Beta (5th may'11-24th
nov-09)
CAPM E(R)
25
20
15
Ex(R)
EXP (Re)
10
Linear (EXP (Re))
0
0
0.2
0.4
0.6
Beta
0.8
1.2
1.4
Beta, Expected Return, Actual
Return and Alpha
SD
Beta
Actual
Annual
Return
Statistical
Beta (5th
may'11Correlation 24th novWith Market 09)
EXP (Re)
Alpha
Market
3.71
1.00
-29.65
1.00
16.9748
-46.63
Portfolio
3.52
0.89
10.30
0.94
Portfolio
(margin)
6.40
1.59
-31.34
0.93
Squrepharma
2.41
0.57
7.48
0.89
0.42
10.07703
-2.60
Bxpharma
4.68
1.03
-4.37
0.83
0.58
11.93355
-16.30
Renata
1.97
0.32
19.38
0.60
0.23
7.78798
11.59
Marico
4.27
0.90
8.72
0.79
0.60
12.23961
-3.52
Glaxosmith
4.46
0.88
-4.13
0.73
0.70
13.36478
-17.49
Rupaliins
5.91
1.28
35.09
0.81
1.29
20.44382
14.65
NatelifeIns
3.05
0.64
96.85
0.78
0.67
13.06762
83.78
GreenDelt
5.41
1.23
11.15
0.85
1.14
18.71013
-7.56
FareEast
4.85
1.15
45.16
0.89
1.02
17.20736
27.96
GP
4.15
0.97
-112.36
0.86
1.03
17.37068
-129.73
Beta, Expected Return (from
Beta), Actual Return and Alpha
150.00
100.00
50.00
Annual
0.00
EXP (Re)
Alpha
-50.00
-100.00
-150.00
Correlation of stocks with
market and portfolio
1.20
1.00
0.80
0.60
Market
0.40
0.20
Portfolio Cash
Correlation Co-efficient
Portfolio risk with help of
correlation
Total Variance of Portfolio
10.8
6
Standard Deviation of Portfolio
3.29
SD calculated earlier
3.52
Summary
Market return found from the CAPM method is 16 %
Actual yearly market return for last 3 months was almost
-30%.
The return on the cash account was around three (10%)
Return on the margin account (-31%)
No Margin Call
High SD of stock than portfolio
Strong positive correlation
Alpha is high and alpha are positive for most stock
Pharmaceuticals is less risky than market and insurance
and telecom is high risky to market.
