2012

FINANCIAL MANAGEMENT ASSIGNEMENT

Assignment (20% contribution to the module mark)

Done By :

AymanMoussaid. Mariam Morchid. Soumaya Hamdouni. Ayoub Faiz.

THE CONTENT

1. Download data for the sectorial indices of the last 6 months (3/10/2011 to 30/03/2012) and put the results (called variation) on a side by side basis. Start by MASI as the main Index. 2. Provide the following analysis of each sector: *Calculate and analyse the mean return (Highest, lowest return) *calculate and analyse the variance of returns (Highest, lowest variance) *calculate and analyse the semi variance of each sector including MASI and MADEX 3. Compare the sectors in terms of return and variance and semi variances 4. Using matrices prepare and analyse the VAR-COVAR matrix 5. Using excel, draw the opportunity set by considering the following: (a) - 20 risk free rates. (b) - Optimum portfolios of sectors for each risk free 6. Provide and analyse B for each sector in relation to the market 7. Provide and analyse the Expected Return of each Sector using CAPM

FINANCIAL MANAGEMENT ASSIGNEMENT

The purpose of this project is to introduce a good understanding and analysis regarding Morocco stock exchange regulated market on whichsecuritiesare traded.ItincludesaCentral Market, whichfaceallsales ordersandpurchasea securitylisted ontheStock ExchangeandOTC Marketwhereonecan be negotiatedby private treatytransactions insecuritieslistedand whichare for quantitiesgreater than or equalto the minimum sizeof blocksin accordance with conditionsofcoursefromthe Central Market. So first we download all the important data of the main Market which is (Masi) and the industries competing in this market. After that, we calculate and implement different financial concepts (expected return- variances- and semi variances) which help us to analyze the situation of each sector and compare all sectors to each other and to the main Market (Masi). In addition this project gave us a strong knowledge to use Excel in calculating the figures in professional way by using matrices. Not only this but also Using excel, draw the opportunity set by considering 20 risk free rates and the optimum portfolios of sectors for each risk free. And depending on that we provide and analyze Beta for each sector in relation to the market to examine the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. In other words, it gives a sense of the stock's market risk compared to the greater market. Finally, we Provide and analyze the Expected Return of each Sector using CAPM.

THE SECTORS( ER, MAX ER, MIN ER, VARINCES, SEMI VARIANCES)

Sector ER
0,0354 4

Max ER
1,33

Min ER
-1,82

variance
0,2976347

Highest variance
6,0496719

Lowest variance
0,2976347

Semi vriance RER

47%

Semi variance RER

53%

Masi

Banks

0,0352 8

2,07

-2,3

0,5899106

52%

48%

Beverages

0,0515 2

3,87

-4,08

2,048135574 82%

18%

Chemicals

0,1468 8

3,81

-3,72

1,666071639

49.5%

50.5%

construction & building materials

0.0035 2

3,91

-3,5

1,456324606

54%

46%

distributors

0,0323 2

2,38

-2,91

0,894363123

45.6%

54.4%

electrical&electron icequipments

6 -0.0444

-6

5,385382903

82%

18%

engineering &equipmentindust rialgoods

0,1663 2

3,66

-3,61

2,502189574

49.6%

50.4%

foodproducer and processors

0,0061 6

4,71

-3,24

1,105646426

38%

62%

Foresty&paper

-0,2172

5,86

-5,94

6,049671935 62.4%

37.6%

holding companies

0,0038 4

5,47

-5,04

3,541122232

53.6%

46.4%

Insurance

0,0774 4

3,85

-3,52

2,1458079

38%

62%

investmentcompan ies&other finance

0,0478 4

3,71

-3,59

1,173212232

44%

56%

leisures and hotels

0,0643 2

5,22

-5,85

3,026655381 70%

30%

Utilities

0.1092 8

2,77

-3,24

3.021558348

27%

73%

Transports

0.0023 2

4,72

-6

2.328214735

32.8%

67.2%

Telecommunicatio n

2.06 -0.038

-1.86

0.452862903

52.8%

47.2%

real estate

0.0704 8

4.4

-4.86

1,598691703

55%

45%

pharmaceuticalind ustry

0.1947 2

3.12

-5.8

1,676713832

80%

20%

Oil&Gas

0,1855 2

5.01

-4.9

3.055562

57%

43%

Mining

0,0090 4

4,72

-5,28

1.64065391 49.6%

50.4%

Material software & computer service

0.1812 8

2.77 -3.24

1.552011252

51%

49%

(Analysis of each sector comparing to Masi) The Bank sector During the last 6 months, the performance of the bank sector was better than the market (MASI), with an average return of -0.3528, a max return of 2.07 and a minimum return of 2.3. While the market was -0.03544with a max return of 1.33 and a minimum return of -1.82. We have analyzed that if the variance of the sector is high the risk and the return are high as well, which explains the difference between the bank and the market as the bank sector have a higher variance (0.5899106) than the market variance which is 0.2976347. The semi-variance R< ER have a high variability with a percentage of 52% than the Semivariance R>ER with a percentage of 48%, which is not attractive for new investors as returns have higher probability to move on the negative side compared to the market. However it doesnt reflect a lot the variance and performance of the industry. The beverages sector:
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During the last six months, the beverages sector performance was not stable, but fluctuating, as it was below the market performance with a return of - 3.49 in the29th of December of 2012, and during the same year its return increased to be better than the market performance, but it continued to decrease after that to reach a return of -1.43 in the 15th of March 2012. In general the Mean return of the beverages sector which is -1.0232 was bellow than the market average return that is -0.07192. While the variance of the beverages sector is 2.3313864 better than the market variance which is 0.348335642, which is an odd situation as according to the theory, if we have high variance, it is usually associated with high returns high risk. But in this case the return of the industry was lower than the return of the market. The semi-variance R>ER is higher than the semi-variance R<ER with a difference of 64%, which explains the high variance that we have.

The chemicals sector: The performance of the chemicals sector wasnt good compared to the market, as the return of the chemicals sector was -0.14688, with a max return of 3.81 and a minimum return of -3.72. While the markets return was -0.03544 a max return of 1.33 and a minimum return of -1.82. However, when we compare the variances, we find out that the variance of the chemicals sector is higher than the market, and that the semi variance R>ER is lower than the semivariance R<ER, which is again an odd situation, as according to the theory, high variance means high return which is not the case in here.

The construction and building materials sector: The performance of the construction and building materials sector was better than the market (MASI), with an average return of 0.0032, a max return of 3.81 and a minimum return of 3.72. While the market was -0.03544with a max return of 1.33 and a minimum return of 1.82. We have analyzed that if the variance of the sector is high the risk and the return are high as well, which explains the difference between the construction and building materials sector and the market as the construction and building materials sector have a higher variance (1.45) than the market variance which is 0.2976347. The semi-variance R>ER have a high variability with a percentage of 54% than the Semivariance R<ER with a percentage of 46%.

 The distributors sector: The performance of the distributors sector was better than the market (MASI), with an average return of 0.03, a max return of 2.38 and a minimum return of -2.91. While the market was -0.03544with a max return of 1.33 and a minimum return of -1.82. We have analyzed that if the variance of the sector is high the risk and the return are high as well, which explains the difference between the distributors sector and the market as distributorssector have a higher variance (0.89) than the market variance which is 0.2976347. The semi-variance R< ER have a high variability with a percentage of 54.4%% than the Semivariance R>ER with a percentage of 45.6%, which is not attractive for new investors as returns have higher probability to move on the negative side compared to the market. However it doesnt reflect a lot the variance and performance of the industry.

The electrical equipments sector: The performance of the electrical and building equipments sector was better than the market (MASI), with an average return of -0.044, a max return of 6 and a minimum return of -6. While the market was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which explains the difference between the electrical and building materials sector and the market as the electrical and building equipmentssector have a higher variance (5.38) than the market variance which is 0.2976347. The semi-variance R>ER have a high variability with a percentage of 82% than the Semivariance R<ER with a percentage of 18%.

The engineering sector: The engineering sector has a lower return which is -0.16 compared to the market that has a return of -0.03544, while the variance of the engineering sector on the other hand (2.50) is higher than the variance of the market 0.2976347 which is an odd situation, as normally when there is high return, it I associated with high risk and high variance which is not the case in here. However, the semi-variance R<ER has a high variability to move on the positive side with 82%, thing that doesnt contribute to the difference in variance theorically.

 The food producer and processors sector: The performance of the food producer and processors sector was better than the market (MASI), with an average return of 0,00616, a max return of 4,71 and a minimum return of 3,24. While the market was -0.03544with a max return of 1.33 and a minimum return of 1.82. If the variance of the sector is high the risk and the return are high as well, which explains the difference between the food producer and processors sector and the market as the 1st have a higher variance (1,105646426) than the market variance which is 0.2976347. The semi-variance R<ER have a high variability with a percentage of 62% than the Semivariance R>ER with a percentage of 32%, which is the opposite compared to the variance.

The forestry and paper sector: Over 6 month the performance of the forestry and paper sector was constantly lower than the performance of the market (Masi) with an average return of (-0,2172), max return of 5,86, and minimum return of (-5,94). Whereas the market had an average return of -0.03544with a max return of 1.33 and a minimum return of -1.82. On the other hand, while analyzing the forestry and paper sector we notice that it has high risk with higher variance of (6.049671935) than the market variance which is 0.2976347, and the semi variance R>ER have a high variability with a percentage of 62.4% than the Semivariance R<ER with a percentage of 37.6%, which is the opposite compared to the variance, which is an odd situation.

Holding companies sector, During the last 6 months, the performance of the holding companies sector was better that the market performance with an average return of -0,00384, a max return of 5,47 and a minimum return of -5,04. While the market was -0.03544with a max return of 1.33 and a minimum return of -1.82. We have analyzed that if the variance of the sector is high the risk and the return are high as well, which explains the difference between the holding companies sector and the market as 1st have a higher variance (3,541122232) than the market variance which is 0.2976347. The semi-variance R>ER have a high variability with a percentage of 53.6% than the Semivariance R<ER with a percentage of 46.4%, which is a perfect situation compared to the theory.

 The insurance sector: The performance of the insurance sector was better than the market (MASI), with an average return of0,07744, a max return of 3,85 and a minimum return of -3,52. While the market return was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which explains the difference between the insurance sector and the market as the 1st have a higher variance (2.1458079) than the market variance which is 0.2976347, however the semi-variance R<ER have a high variability with a percentage of 62% than the Semi-variance R>ER with a percentage of 32%, which is the opposite compared to the variance, and then it is an odd situation. The investment companies & other finance sector: The performance of the investment companies and other finance sector was better than the market (MASI), with an average return of0,04784, a max return of 3,71and a minimum return of -3,59. While the market return was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which explains the difference between the investment companies and other finance sector and the market as the 1st have a higher variance (1,173212232) than the market variance which is 0.2976347, however the semi-variance R<ER have a high variability with a percentage of 56% than the Semi-variance R>ER with a percentage of 44%, which is the opposite compared to the variance, and then it is an odd situation. The leisure and hotels sector: The performance of the leisure and hotels sector wasnt good compared to the market, as the return of the leisure and hotels sector was -0,06432, with a max return of 5,22 and a minimum return of -5,85. While the markets return was -0.03544 a max return of 1.33 and a minimum return of -1.82. However, when we compare the variances, we find out that the variance of the leisure and hotel sector, which is 3,026655381, is higher than the market, and that the semi variance R>ER has a high variability with a percentage of 70%, than the semi-variance R<ER, which is again an odd situation, as according to the theory, high variance means high return which is not the case in here. material software & computer service sector: The performance of the material software and computer service sector wasnt good compared to the market, as the return of the software and computer service sector was -0,18128, with a max return of 2.77 and a minimum return of -3,24. While the markets return was -0.03544 a max return of 1.33 and a minimum return of -1.82.
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However, when we compare the variances, we find out that the variance of the software and computer service sector, which is 1,552011252, is higher than the market, and that the semi variance R>ER has a high variability with a percentage of 51%, than the semi-variance R<ER, which is again an odd situation, as according to the theory, high variance means high return which is not the case in here. The mining sector: The performance of the mining sector was better than the market (MASI), with an average return of0,00904, a max return of 4,48 and a minimum return of -4,06. While the market return was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which explains the difference between the mining sector and the market as the 1st have a higher variance (1,64065391) than the market variance which is 0.2976347, however the semi-variance R<ER have a high variability with a percentage of 50.4% than the Semi-variance R>ER with a percentage of 49.6%, which is the opposite compared to the variance, and then it is an odd situation. The oil & gas sector: The performance of the oil & gas sector wasnt good compared to the market, as the return of the oil & gas sector was -0,18552, with a max return of 5,01 and a minimum return of -4,9. While the markets return was -0.03544 a max return of 1.33 and a minimum return of -1.82. However, when we compare the variances, we find out that the variance of the oil & gas sector, which is 3,055562, is higher than the market, and that the semi variance R>ER has a high variability with a percentage of 57%, than the semi-variance R<ER, which is again an odd situation, as according to the theory, high variance means high return which is not the case in here. The pharmaceutical industry sector: The pharmaceutical industry sector wasnt doing well compared to the market, as the return of the pharmaceutical industry sector was -0.19472, with a max return of 3,12 and a minimum return of -5,8. While the markets return was -0.03544 a max return of 1.33 and a minimum return of -1.82. However, when we compare the variances, we find out that the variance of the pharmaceutical industry sector, which is 1,676713832, is higher than the market, and that the semi variance R>ER has a high variability with a percentage of 80%, than the semi-variance R<ER, which is again an odd situation, as according to the theory, high variance means high return which is not the case in here.

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 The real estate sector: The real estate sector has a lower return which is -0.07048 compared to the market that has a return of -0.03544, while the variance of the real estate sector on the other hand (1.598691703) is higher than the variance of the market 0.2976347 which is an odd situation, as normally when there is high return, it I associated with high risk and high variance which is not the case in here. However, the semi-variance R>ER has a high variability to move on the positive side with 55%. The telecommunication sector: The average return of the telecommunications sector (-0,038) wasnt far from the return of the market (0.03544), however while comparing the variance, we find out that the variance of the telecommunication sector, which is (0.452862903), is higher than the variance of the market that is 0.2976347, however the semi variance R>ER has a high variability with a percentage of 52.8%, than the semi-variance R<ER. The transport sector: The performance of the transport sector was better than the market (MASI), with an average return of0,00232, a max return of 4.72 and a minimum return of -5,28. While the market return was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which is the case in here, as the transport sector have a higher variance (2.328214735) than the market variance which is 0.2976347, however the semi-variance R<ER have a high variability with a percentage of 67.2% than the Semi-variance R>ER that has percentage of 32.8%, which is the opposite compared to the variance, and then it is an odd situation. The utilities sector: The performance of the utilities sector was better than the market (MASI), with an average return of0.10928, a max return of 5.93 and a minimum return of -6. While the market return was -0.03544with a max return of 1.33 and a minimum return of -1.82. If the variance of the sector is high the risk and the return are high as well, which is the case in here, as the utilities sector have a higher variance (3.021558348) than the market variance which is 0.2976347, however the semi-variance R<ER have a high variability with 70% than the Semi-variance R>ER that has percentage of 30%, which is the opposite compared to the variance, and then it is an odd situation.

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(Compare the sectors in terms of return and variance and semi variances)

The beverages sector compared to the bank sector, Number 25: The bank sector has a higher Returns (-0,03528) compared to the beverages sector (-0,05152), however the variance of the beverages sector that is 2,048135574, is higher than the bank sector (0,5899106), and while comparing the semi-variance of both sectors, we find out that they both have high variability to move towards the positive side, the beverages sector with a variability of 82% and the bank sector with a variability of 52%, thing that reflect the difference in variances. The chemicals sector compared to the bank sector, number 26: The bank sector has a higher Returns (-0,03528) compared to the chemicals sector (-0,14688), however the variance of the chemicals sector that is 1,666071639, is higher than the bank sector (0,5899106), but if we compare the semi-variances of both sectors, we find out that the bank sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. The construction and building material and the bank sector, number 27: The construction and building materials sector has a higher Returns (0,00352) compared to the bank sector (-0,03528), and the variance of the construction and building materials sector that is 1,456324606, is higher than the bank sector (0,5899106), and if we compare the semivariance of both sectors, we find out that both sectors have a high variability to move towards the positive side. The distributors sector compared to the bank sector, number 28: The distributors sector has a higher Returns (0.03232) compared to the bank sector (0.03528), and the variance of the distributors sector that is 0,894363123, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side, which is an odd situation electrical & electronic equipments compared to the bank sector, number 29: The bank sector has a higher Returns (-0,03528) compared to the electrical and electronic sector(-0.0444), however the variance of the electrical and electronic sector that is 5,385382903, is higher than the bank sector (0,5899106), and if we compare the semivariance of both sectors, we find out that both sectors have a high variability to move towards the positive side.

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 engineering equipments & industrial goods sector compared to the bank sector, number 30: The bank sector has a higher Returns (-0,03528) compared to the engineering equipment and industrial goods sector (-0,16632), however the variance of the engineering equipment and industrial goods sector that is 2,502189574, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the engineering equipment and industrial goods sector has a high variability to move towards the negative side, which is an odd situation. Comparing food producer & processors sector with the bank sector, number 31: The food producer and processor sector has a higher Returns (0,00616) compared to the bank sector (-0.03528), and the variance of the food producer and processor sector that is 1,105646426, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the food producer and processor sector has a high variability to move towards the negative side, which is an odd situation. Comparing the forestry and paper sector with the bank sector, number 32: The bank sector has a higher Returns (-0,03528) compared to the forestry and paper sector (0,00616), however the variance of the forestry and paper sector that is 1,105646426, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the forestry and paper sector has a high variability to move towards the negative side, which is an odd situation. Comparing the holding companies sector to the bank sector, number 33: The holding companies sector has a higher Returns (-0,00384) compared to the bank sector (0,03528), and the variance of the holding companies sector that is 3,541122232, is higher than the bank sector (0,5899106), and if we compare the semi-variance of both sectors, we find out that both sectors have a high variability to move towards the positive side. Comparing the insurance sector to the bank sector, number 34: The insurance sector has a higher Returns (0.07744) compared to the bank sector (-0.03528), and the variance of the insurance sector that is 2,1458079, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side.

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 Comparing the investment companies & other finance to the bank sector, number 35: The investment companies and other finance sector has a higher Returns (0,04784) compared to the bank sector (-0.03528), and the variance of the investment companies and other finance sector that is 1,173212232, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the investment companies and other finance sector has a high variability to move towards the negative side. Comparing the leisure and hotels sector to the bank sector, number 36: The bank sector has a higher Returns (-0,03528) compared to the leisure and hotels sector (0,06432), however the variance of the leisure and hotels sector that is 3,026655381, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side. Comparing the material software & computer service and computer service, number 37: The bank sector has a higher Returns (-0.03528) compared to the material software and computer service sector (-0,18128), however the variance of the material software and computer service sector that is 1,552011252, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side. Comparing the mining sector to the bank sector, number 38: The mining sector has a higher Returns (0.00904) compared to the bank sector (-0.03528), and the variance of the mining sector that is 1,64065391, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the mining sector has a high variability to move towards the negative side. Comparing the oil & gas sector to the bank sector, number 39: The bank sector has a higher Returns (-0.03528) compared to the oil a gas sector(-0,18552), however the variance of the oil a gas sector that is 3,055562, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side. Comparing the pharmaceutical industry to the bank sector, number 40: The bank sector has a higher Returns (-0.03528) compared to the pharmaceutical industry sector (-0,19472), however the variance of the pharmaceutical industry sector that is 1,676713832, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side.
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 Comparing the real estate sector to the bank sector, number 41: The bank sector has a higher Returns (-0.03528) compared to the real estate sector (-0.07048), however the variance of the real estate sector that is 1,598691703, is higher than the bank sector (0,5899106), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side Comparing the telecommunication sector to the bank sector, number 42: The bank sector has a higher Returns (-0.03528) compared to the telecommunication sector (0,038), and also the variance of the bank sector (0,5899106) was higher than the variance of the telecommunication sector (0,452862903), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side. Comparing the transport sector to the bank sector, number 43: The transport sector has a higher Returns (0,00232) compared to the bank sector (-0.03528), and the variance of the transport sector that is 2,328214735, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that we find out that the bank sector has a high variability to move towards the positive side, and the transport sector has a high variability to move towards the negative side, thing that doesnt reflect a lot the variance of the sector. Comparing the utilities sector to the bank sector, number 44: The utilities sector has a higher Returns (0,10928) compared to the bank sector (-0.03528), and the variance of the utilities sector that is 3,021558348, is higher than the bank sector (0.5899106), but if we compare the semi-variance of both sectors, we find out that the bank sector has a high variability to move towards the positive side, and the utilities sector has a high variability to move towards the negative side. Comparing the chemicals sector to the beverages sector, number 48: The beverages sector has a higher Returns (-0,05152) compared to the chemicals sector (0,14688), and also the variance of the beverages sector (2,048135574) was higher than the variance of the chemicals sector (1,666071639), but if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the construction & building materials to the beverages sector, number 49 : The construction and building materials sector has a higher Returns (0.00352) compared to the beverages sector (-0.05152), however the variance of the beverages sector that is 2,048135574, is higher than the construction and building materials sector (1,456324606), but if we compare the semi-variance of both sectors, we find that both sectors have high variability to move towards the positive side.
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 Comparing the distributors sector to the beverages sector, number 50: The distributors sector has a higher Returns (0.03232) compared to the beverages sector (0.05152), however the variance of the beverages sector that is 2,048135574, is higher than the distributors sector (0,894363123), but if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the distributors sector has a high variability to move towards the negative side. Comparing the electrical & electronic equipments to the beverages sector, number 51 : The electrical and electronic equipments sector has a higher Returns (-0.0444) compared to the beverages sector (-0.05152), also the variance of the electrical and electronic equipments (5,385382903), is higher than the variance of the beverages sector that is 2,048135574, and if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side with a variability of 82%. Comparing the engineering equipments & industrial goods to the beverages sector, number 52: The beverages sector has a higher Returns (-0,05152) compared to the engineering equipments and industrial goods sector (-0,16632), however the variance of the engineering equipments and industrial goods sector (2,502189574) was higher than the variance of the beverages sector (2,048135574), but if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the engineering equipments and industrial goods sector has a high variability to move towards the negative side, which is an odd situation as it doesnt reflect the reality in this case. Comparing the food producer & processors to the beverages sector, number 53 : The food producer and processors sector has a higher Returns (0,00616) compared to the beverages sector (-0.05152), however the variance of the beverages sector that is 2,048135574, is higher than the food producer and processors sector (1,105646426), but if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the food producer and processors sector has a high variability to move towards the negative side, thing that is different from the theory, and that doesnt reflect the real picture of the sector in this case. Comparing the forestry & paper sector to the beverages sector, number 54 : The beverages sector has a higher Returns (-0,05152) compared to the forestry and paper sector (-0,2172), however the variance of the forestry and paper sector (6,049671935) was higher than the variance of the beverages sector (2,048135574), and if we compare the semivariance of both sectors, we find out that both sectors have high variability to move towards the positive side.

16

 Comparing the Holding companies to the beverages sector, number 55: The holding companies sector has a higher Returns (-0,00384) compared to the beverages sector (-0.05152), also the variance of the holding companies (3,541122232), is higher than the variance of the beverages sector that is 2,048135574, and if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side with a variability. Comparing the insurance sector to the beverages sector, number 56: The insurance sector has a higher Returns (0,07744) compared to the beverages sector (0.05152), also the variance of the insurance (2,1458079), is higher than the variance of the beverages sector that is 2,048135574, but if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side, thing that is different from the theory, and that doesnt reflect the real picture of the sector in this case. Comparing the investment companies & other finance to the beverages sector, number 57: The investment companies and other finance sector has a higher Returns (0,00616) compared to the beverages sector (-0.05152), however the variance of the beverages sector that is 2,048135574, is higher than the investment companies and other finance sector (1,105646426), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. But if we compare the semivariance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the investment companies and other finance sector has a high variability to move towards the negative side. Comparing the leisure and hotels to the beverages sector, number 58: The beverages sector has a higher Returns (-0,05152) compared to the leisure and hotels sector (-0,06432), however the variance of the leisure and hotels sector (3,026655381) was higher than the variance of the beverages sector (2,048135574), and if we compare the semivariance of both sectors, we find out that both sectors have high variability to move towards the positive side. Comparing the material software & computer service to the beverages sector, number 59: The beverages sector has a higher Returns (-0,05152) compared to the material software and computer service sector (-0,18128), and also the variance of the beverages sector (2,048135574) was higher than the variance of the material software and computer service sector (1,552011252), and if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side.

17

 Comparing the mining sector to the beverages sector, number 60: The mining sector has a higher Returns (0,00904) compared to the beverages sector (0.05152), however the variance of the beverages sector that is 2,048135574, is higher than the mining sector (1,64065391), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. But if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the mining sector has a high variability to move towards the negative side. Comparing the oil & gas sector to the beverages sector, number 61: The beverages sector has a higher Returns (-0.05152) compared to oil & gas sector -0,18552), however the variance of the oil & gas sector (3,055562) was higher than the variance of the beverages sector (2,048135574), which is an odd situation, and if we compare the semivariance of both sectors, we find out that both sectors have high variability to move towards the positive side. Comparing the pharmaceutical industry to the beverages sector, number 62 : The beverages sector has a higher Returns (-0.05152) compared to the pharmaceutical industry sector (-0,19472), and also the variance of the beverages sector (2,048135574) was higher than the variance of the pharmaceutical industry sector (1,676713832), but if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side. Comparing the real estate sector to the beverages sector, number 63: The beverages sector has a higher Returns (-0.05152) compared to the real estate sector (0.07048), and also the variance of the beverages sector (2.048135574) was higher than the variance of real estate sector (1.598691703), and if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side. Comparing the telecommunications sector to the beverages sector, number 64: The telecommunications sector has a higher Returns (-0,038) compared to the beverages sector (-0.05152), however the variance of the beverages sector that is 2,048135574, is higher than telecommunications sector (0,452862903), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. But if we compare the semi-variance of both sectors, we find out that both sectors have high variability to move towards the positive side. Comparing the transport sector to the beverages sector, number 65: The transport sector has a higher Returns (0,00232) compared to the beverages sector (0.05152), also the variance of the transport sector (2,328214735), is higher than the variance of the beverages sector that is 2,048135574, and if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the
18

positive side, and the transport sector has a high variability to move towards the negative side, which is an odd situation Comparing the utilities sector to the beverages sector, number 66: The utilities sector has a higher Returns (0,10928) compared to the beverages sector (0.05152), also the variance of the utilities sector (3,021558348), is higher than the variance of the beverages sector that is 2,048135574, and if we compare the semi-variance of both sectors, we find out that the beverages sector has a high variability to move towards the positive side, and the utilities sector has a high variability to move towards the negative side, which is an odd situation. Comparing the construction & building materials to the chemicals sector, number 71 : The construction and building material sector has a higher Returns (0,00352) compared to the chemicals sector (-0,14688), however the variance of the chemicals sector that is 1,666071639, is higher than construction and building material sector (1,456324606), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. But if we compare the semi-variance of both sectors, we find out that the chemicals sector has a high variability to move towards the negative side, and the construction and building materials sector has a high variability to move towards the positive side, which is an odd situation. Comparing the distributors sector to the chemicals sector, number 72: The distributors sector has a higher Returns (0.03232) compared to the chemicals sector (0,14688), however the variance of the chemicals sector that is 1,666071639, is higher than distributors sector (0,894363123), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the electrical & electronic equipments to the hemicals sector, number 73 : The electrical and electronic equipments sector has a higher Returns (-0.0444) compared to the chemicals sector (-0,14688), also the variance of the electrical and electronic equipments sector (5,385382903), is higher than the variance of the chemicals sector that is 1,666071639, and if we compare the semi-variance of both sectors, we find out that the electrical and electronic equipments sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side.

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 Comparing the engineering equipments & industrial goods and the chemicals sector, number 74: the chemicals sector has a higher Returns (-0,14688) compared to The distributors sector (0.03232), however the variance of the distributors sector (0,894363123) is higher than the chemicals sector that is 1,666071639, which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the food producer & processors to the beverages sector, number 75 : The food producer and processors sector has a higher Returns (0,00616) compared to the chemicals sector (-0,14688), however the variance of the chemicals sector that is 1,666071639, is higher than food producer and processors (1,105646426), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the forestry & paper to the beverages sector, number 76 : the chemicals sector has a higher Returns (-0,14688) compared to The forestry and paper sector (-0,2172), however the variance of the forestry and paper sector (6,049671935) is higher than the chemicals sector that is 1,666071639, which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the forestry and paper sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the holding companies to the chemicals sector, number 77: The holding companies sector has a higher Returns (-0,00384) compared to the chemicals sector (-0,14688), however the variance of the chemicals sector that is 1,666071639, is higher than holding companies (3,541122232), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the holding companies sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the insurance sector to the chemicals sector, number 78: The insurance sector has a higher Returns (0,07744) compared to the chemicals sector (0,14688), also the variance of the insurance sector (2,1458079), is higher than the variance of the chemicals sector that is 1,666071639, and if we compare the semi-variance of both sectors, we find out that the insurance sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side.
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 Comparing the investment companies & other finance to the chemicals sector, number 79: The investment companies and other finance sector has a higher Returns (0.04784) compared to the chemicals sector (-0.14688), however the variance of the chemicals sector that is 1,666071639, is higher than the investment companies and other finance (1,173212232), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the leisures & hotels sector to the chemicals sector, number 80 : The leisures and hotels sector has a higher Returns (-0,06432) compared to the chemicals sector (-0,14688), also the variance of the leisures and hotels sector (3,026655381), is higher than the variance of the chemicals sector that is 1,666071639, and if we compare the semivariance of both sectors, we find out that the leisures and hotels sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the material software & computer service to the chemicals sector, number 81: The chemicals sector has a higher Returns (-0.14688) compared to The material software and computer service sector (-0.18128),and the variance of the chemicals sector that is 1,666071639, is higher than the material software and computer service (1,552011252). And if we compare the semi-variance of both sectors, we find out that the software and computer service sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the mining sector to the chemicals sector, number 82: The mining sector has a higher Returns (0,00904) compared to the chemicals sector (0.14688), however the variance of the chemicals sector that is 1,666071639, is higher than the mining sector (1,64065391), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the oil & gas sector compared to the chemicals sector, number 83: The oil & gas sector has a higher Returns (-0,18552) compared to the chemicals sector (0.14688), however the variance of the chemicals sector that is 1,666071639, is higher than the oil & gas sector (3,055562), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the oil & gas sector has a high

21

variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the pharmaceutical industry to the chemicals sector, number 84: the chemicals sector has a higher Returns (-0,14688) compared to The pharmaceutical industry sector (-0,19472), however the variance of the pharmaceutical industry sector (1,676713832) is higher than the chemicals sector that is 1,666071639, which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the pharmaceutical industry sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the real estate sector to the chemicals sector, number 85: The real estate sector has a higher Returns (-0,07048) compared to the chemicals sector (0.14688), however the variance of the chemicals sector that is 1,666071639, is higher than the real estate sector (1,598691703), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the real estate sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the telecommunication sector to the chemicals sector, number 86: The telecommunications sector has a higher Returns (-0,038) compared to the chemicals sector (-0.14688), however the variance of the chemicals sector that is 1,666071639, is higher than the telecommunications sector (0,452862903), which is an odd situation, as according to the theory high variance is usually associated with high return, which is not the case in here. And if we compare the semi-variance of both sectors, we find out that the telecommunications sector has a high variability to move towards the positive side, and the chemicals sector has a high variability to move towards the negative side. Comparing the transport sector to the chemicals sector, number 87: The transport sector has a higher Returns (0,00232) compared to the chemicals sector (0,14688), also the variance of the transport sector (2,328214735), is higher than the variance of the chemicals sector that is 1,666071639, and if we compare the semi-variance of both sectors, we find out that both sectors tend to have a high variability to move on the negative side. Comparing the utilities sector to the chemicals sector, number 88: The utilities sector has a higher Returns (0,10928) compared to the chemicals sector (0,14688), also the variance of the utilities sector (3,021558348), is higher than the variance of the chemicals sector that is 1,666071639, and if we compare the semi-variance of both

22

sectors, we find out that both sectors tend to have a high variability to move on the negative side. Number 94 : The Distributors sector has a higher Returns (0.032) compared to the construction sector (0.003), but the variance of the construction sector is (1,456324606), which is higher than the distributors sector (0, 894363123), but if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54) to move towards the positive side, and the distributors sector has a lower variability of (45,6)with high variability ( 54,4)to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 95: The construction sector has a higher Returns (0.003) compared to the electrical sector (0.0444), but the variance of the electrical sector is (5,385382903), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82) to move towards the positive side, and the construction sector has a lower variability of (54), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 96: In this case we see that the engineering sector has a lower Returns (-0,16) compared to the construction sector (0.003), however the variance of the engineering sector is (2,502189574), which is higher than the construction sector variance (1,456324606), but if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54%) to move towards the positive side, and the engineering sector has a lower variability of (49.6)to move towards the positive side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison. Number 97: In this case we see that the construction sector has a lower Returns (0.003) compared to the food sector (0.006), but the variance of the construction sector is (1,456324606), which is higher than the foods sector. Nevertheless, if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54%) to move towards the positive side, and the food sector has a lower variability of (38%) to move towards the positive side, and more variability (62%) to move to the negative side. Which is an odd situation, because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison.

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 Number 98: The construction sector has a higher Returns (0.003) compared to the paper sector (-0.21), but the variance of the paper sector is (6,049671935), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the food sector has a higher semi variance with variability of (62.4%) to move towards the positive side, and the construction sector has a lower variability of (54), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 99: The construction sector has a higher Returns (0.003) compared to the holding companies sector (-0.003), but the variance of the holding companies sector is (3,541122232), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54%) to move towards the positive side, and the holding companies sector has a lower variability of (53.6%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 100: The insurance sector has a higher Returns (0.07) compared to the constructions sector (0.003), in addition the variance of the insurance sector is (2, 1458079), which is higher than the constructions sector, but if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of ( 54%) to move towards the positive side, and the insurance sector has a lower variability of ( 38% )with high variability ( 62)to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 101: In this case we see that the construction sector has a lower Returns (0.003) compared to the investment sector (0.04), but the variance of the construction sector is (1,456324606), which is higher than the investment sector. Nevertheless, if we compare the semi-variances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54%) to move towards the positive side, and the investment sector has a lower variability of (44%) to move towards the positive side, and more variability (56%) to move to the negative side. Which is an odd situation, because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison.

24

 Number 102: The construction sector has a higher Returns (0.003) compared to hotels sector (-0.06), but the variance of the hotels sector is (3,026655381), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the hotels sector has a higher semi variance with variability of (70%) to move towards the positive side, and the construction sector has a lower variability of (54%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 103: The construction sector has a higher Returns (0.003) compared to thesoftware sector (-0.18), but the variance of thesoftware sector is (1.552011252), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that theconstruction sector has a higher semi variance with variability of (54%) to move towards the positive side, and the software sector has a lower variability of (51%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 104: In this case we see that the mining sector has a higher Returns (0,009) compared to the construction sector (0.003), however the variance of the mining sector is (1.64065391), which is higher than the construction sector variance (1,456324606), but if we compare the semivariances of both sectors, we find out that the construction sector has a higher semi variance with variability of (54%) to move towards the positive side, and themining sector has a lower variability of (49.6%)to move towards the positive side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison. Number 105: The construction sector has a higher Returns (0.003) compared to the oil& gas sector (-0.18), but the variance of the oil& gas sector is (3.055562), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the oil& gas sector has a higher semi variance with variability of (57%) to move towards the positive side, and the construction sector has a lower variability of (54%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 106: The construction sector has a higher Returns (0.003) compared to the pharmaceutical sector (0.19), but the variance of the pharmaceutical sector is (1,676713832), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we
25

find out that the pharmaceutical sector has a higher semi variance with variability of (80%) to move towards the positive side, and the construction sector has a lower variability of (54%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 107: The construction sector has a higher Returns (0.003) compared to the real estate sector (0.07), but the variance of the real estate sector is (1,598691703), which is higher than the construction sector (1,456324606), but if we compare the semi-variances of both sectors, we find out that the real estate sector has a higher semi variance with variability of (55%) to move towards the positive side, and the construction sector has a lower variability of (54%), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 108: The construction sector has a higher Returns (0.003) compared to the telecommunication sector (-0.18), in addition the variance of the previous sector is (1,456324606) which is higher than the telecommunication sector (3, 055562). Also, if we compare the semi-variances of both sectors, we find out that the construction sector has higher variability (54%) to have growing returns than the telecommunication sector which has only variability towards positive side of (52.8%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. Number 109: the construction sector has a higher return (0.003) compared to the transport (0.002), however the variance of the construction sector that is (1.456) is lower than the transport sectors (2.32).but if we compare the semi-variances of both sectors, we find out that construction sector has a high variability to move towards the positive side with variability of ( 54%),which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 110: The construction sector has a lower return (0.003) compared to the utilities (0.109), also the variance of theConstrucrion sector that is (1.456) is lower than the utilities (3.02). Which is logical to the theory that high ER related with high variance but if we compare the semi variance we find out that construction sectorhas a high variability to move towards the positive side with variability of (54%),which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.

26

 number 122 The insurance sector has a higher Returns (0.07) compared to the distributors sector (0.03), in addition the variance of the insurance sector is (2, 1458079), which is higher than the distributors sector, but if we compare the semi-variances of both sectors, we find out that the distributors sector has a higher semi variance with variability of ( 45.6) to move towards the positive side, and the insurance sector has a lower variability of ( 38 )with high variability ( 62)to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. number 123 The investment sector has a higher Returns (0.04) compared to the distributors sector (0.03), in addition the variance of the investment sector is (1, 173212232), which is higher than the distributors sector (0, 894363123), but if we compare the semi-variances of both sectors, we find out that the distributors and investment sectors have nearly similar to each other with a difference of only (1.6 %)in the variability to move towards the positive side with the higher possibility to the distributors sector ( 45.6) which is an odd situation again, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. number 124 In this case we see that the hotels sector has a lower Returns (-0.06) compared to the distributors sector (0.03),however the variance of the hotels sector is (3,026655381), which is higher than the distributors sector, so here we notice there is an odd situation because high variance means high return with high risk. Also, if we compare the semi-variances of both sectors, we find out that the hotels sector has a higher semi variance with variability of (70%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%) to move to the negative side. Which is an odd situation, because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison. number 125

The material software sector has a higher Returns (0.10) compared to the distributors sector (0.03), in addition the variance of the previous sector is (3, 021558348) which is higher than the distributors sector (0, 894363123). Also, if we compare the semi-variances of both sectors, we find out that the material sector has higher variability (77%) to have growing returns than the distributors sector which has only variability towards positive side of (45.6%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison.

27

 number 126 In this case we see that the mining sector has a lower Returns (0.009) compared to the distributors sector (0.03), however the variance of the mining sector is (2, 328214735), which is higher than the distributors sector variance (0, 894363123), but if we compare the semivariances of both sectors, we find out that the mining sector has a higher semi variance with variability of (49.6%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%) to move to the negative side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison. number 127 In this case we see that the oil&gas sector has a lower Returns (-0.03) compared to the distributors sector (0.03), also the variance of the distributors sector is (0, 894363123), which is higher than the previous sector. Nevertheless, if we compare the semi-variances of both sectors, we find out that the GAS&oil sector has a higher semi variance with variability of (57%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%) to move to the negative side. Which is an odd situation, because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison. number 128

In this case we see that the pharmaceutical sector has a lower Returns (-0.07) compared to the distributors sector (0.03), however the variance of the previous sector is (1, 598691703), is higher than the distributors sector variance (0, 894363123), also if we compare the semivariances of both sectors, we find out that the pharmaceutical sector has a higher semi variance with variability of (80%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%) to move to the negative side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas pharmaceutical sector has low return of (-0.07). number 129 In this case we see that the real estate sector has a lower Returns (-0.19) compared to the distributors sector (0.03), however the variance of the previous sector is (1, 676713832), is higher than the distributors sector variance(0,894363123), also if we compare the semivariances of both sectors, we find out that the real estate sector has a higher semi variance with variability of (55%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%)
28

to move to the negative side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas real estate sector has low return of (-0.19). number 130 In this case we see that the telecommunication sector has a lower Returns (-0.18) compared to the distributors sector (0.03), however the variance of the previous sector is (3,055562), is higher than the distributors sector variance(0,894363123), also if we compare the semivariances of both sectors, we find out that the telecommunication sector has a higher semi variance with variability of (52.8%) to move towards the positive side, and the distributors sector has a lower variability of (45.6%) to move towards the positive side, and more variability (54.4%) to move to the negative side.so here we notice there is an odd situation because high variance means high return with high risk, also according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas telecommunication sector has low return of (-0.18). number 131 In this case we see that the transport sector has a lower Returns (0.009) compared to the distributors sector (0.03), however the variance of the previous sector is (1,64065391), is higher than the distributors sector variance(0,894363123), but if we compare the semivariances of both sectors, we find out that the transports sector has a lower semi variance with variability of (32%) to move towards the positive side and higher variability of (67, 2%) to move to the negative side while the distributors sector has a higher variability of (45.6%) to move towards the positive side. number 132 In this case we see that the transport sector has a lower Returns (-0.18) compared to the distributors sector (0.03), however the variance of the previous sector is (1,552011252), is higher than the distributors sector variance(0,894363123), but if we compare the semivariances of both sectors, we find out that the Utilities sector has a lower semi variance with variability of (27%) to move towards the positive side and higher variability of (73%) to move to the negative side while the distributors sector has a higher variability of (45.6%) to move towards the positive side. number 134 In this case we see that the banks sector has a lower Returns (-0.03) compared to the electrical sector (0.003), also the variance of the previous sector (0,5899106), is lower than the electrical sector variance(5,385382903), however if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82%) to move towards the positive side, and the banks sector has a lower variability of (52%) to move towards the positive side.so here we notice there is an odd situation because

29

according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas Banks sector has low return of (-0.03). number 135 In this case we see that the beverages sector has a lower Returns (-0.05) compared to the electrical sector (0.003), also the variance of the previous sector (5, 385382903), is lower than the electrical sector variance (5, 385382903), however if we compare the semi-variances of both sectors, we find out that the both sectors have equal semi variance variability of (82%) to move towards positive growing returns. number 136 The electrical sector has a higher Returns (0.003) compared to the chemicals sector (-0.14), in addition the variance of the previous sector is (5, 385382903) which is higher than the chemicals sector (1, 666071639). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the chemicals sector which has only variability towards positive side of (49.5%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison number 137 The electrical sector has a higher Returns (0.003) compared to the construction material sector (-0.14), in addition the variance of the previous sector is (5, 385382903) which is higher than the construction sector (1, 456324606). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the chemicals sector which has only variability towards positive side of (54%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. number 140 The electrical sector has a higher Returns (0.003) compared to the engineering sector (-0.16), in addition the variance of the previous sector is (5, 385382903) which is higher than the engineering sector (2, 502189574). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the chemicals sector which has only variability towards positive side of (49.6%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. number 141 In this case we see that the electrical sector has a lower Returns (-0.003) compared to the food sector (0.006), however the variance of the previous sector is (5, 385382903), is higher than the food sector variance (1,105646426), but if we compare the semi-variances of both sectors, we find out that the food sector has a lower semi variance with variability of (38%) to move
30

towards the positive side and higher variability of (62%) to move to the negative side while the Electrical sector has a higher variability of (82%) to move towards the positive side. Which is an odd situation because high variance of electrical sector means high return with higher risk which is not fit the reality while electrical return has lower return in this case. number 142 In this case we see that the paper sector has a lower Returns (-0.21) compared to the electrical sector (0.003), however the variance of the previous sector is (6,049671935), is higher than the electrical sector variance (5, 385382903), but if we compare the semi-variances of both sectors, we find out that the paper sector has a lower semi variance with variability of (62.4%) to move towards the positive side, while the Electrical sector has a higher variability of (82%) to move towards the positive side. Which is an odd situation because high variance of electrical sector means high return with higher risk which is not fit the reality while paper return has lower return in this case. number 143 The electrical sector has a higher Returns (0.003) compared to the holding companies sector (0.003), in addition the variance of the previous sector is (5, 385382903) which is higher than the engineering sector (3, 541122232). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the holding companies sector which has only variability towards positive side of (53.6%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. number 144 In this case we see that the insurance sector has a higher Returns (0.07) compared to the electrical sector (0.003), but the variance of the previous sector (2,1458079), is lower than the electrical sector variance(5,385382903), however if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82%) to move towards the positive side, and the insurance sector has a lower variability of (38%) to move towards the positive side.so here we notice there is an odd situation because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas electrical sector has low return of (0.003). number 145 In this case we see that the investment sector has a higher Returns (0.04) compared to the electrical sector (0.003), but the variance of the previous sector (1,173212232), is lower than the electrical sector variance(5,385382903), however if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82%) to move towards the positive side, and the investment sector has a lower variability of (44%) to move towards the positive side.so here we notice there is an odd situation because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas electrical sector has low return of (0.003).
31

 number 146 The electrical sector has a higher Returns (0.003) compared to the hotels sector (-0.06), in addition the variance of the previous sector is (5, 385382903) which is higher than the construction sector (3, 026655381).Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the chemicals sector which has only variability towards positive side of (77%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. number 147 In this case we see that the material software sector has a higher Returns (0.10)compared to the electrical sector (0.003), but the variance of the previous sector (3,021558348), is lower than the electrical sector variance(5,385382903), however if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82%) to move towards the positive side, and the previous sector has a lower variability of (51%) to move towards the positive side.so here we notice there is an odd situation because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas electrical sector has low return of (0.003). number 148 The electrical sector has a higher Returns (0.003) compared to the mining sector (0.002), in addition the variance of the previous sector is (5, 385382903) which is higher than the engineering sector (2, 328214735). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the mining sector which has only variability towards positive side of (49.6%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. number 149 The electrical sector has a higher Returns (0.003) compared to the oil& gas sector (-0.03), in addition the variance of the previous sector is (5, 385382903) which is higher than the oil& gas sector (0, 452862903). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the oil& gas sector which has only variability towards positive side of (57%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison.

32

 number 150 The electrical sector has a higher Returns (0.003) compared to the pharmaceutical sector (0.07), in addition the variance of the previous sector is (5, 385382903) which is higher than the oil& gas sector (1, 598691703). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the pharmaceutical sector which has only variability towards positive side of (80%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. Number 151 The electrical sector has a higher Returns (0.003) compared to the real estate sector (-0.19), in addition the variance of the previous sector is (5, 385382903) which is higher than the real estate sector (1, 676713832). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the real estate sector which has only variability towards positive side of (55%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. Number 152 The electrical sector has a higher Returns (0.003) compared to the telecommunication sector (-0.18), in addition the variance of the previous sector is (5, 385382903) which is higher than the telecommunication sector (3, 055562). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing returns than the telecommunication sector which has only variability towards positive side of (52.8%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison. Number 153 In this case we see that the transports sector has a higher Returns (0.009)compared to the electrical sector (0.003), but the variance of the previous sector (1, 64065391), is lower than the electrical sector variance(5,385382903), however if we compare the semi-variances of both sectors, we find out that the electrical sector has a higher semi variance with variability of (82%) to move towards the positive side, and the previous sector has a lower variability of (32.8%) to move towards the positive side.so here we notice there is an odd situation because according to the theory, the high semi variance is usually related to high risk and high return which is not the case in this comparison whereas electrical sector has low return of (0.003). Number 154 The electrical sector has a higher Returns (0.003) compared to the utilities sector (-0.18), in addition the variance of the previous sector is (5, 385382903) which is higher than the telecommunication sector (1, 552011252). Also, if we compare the semi-variances of both sectors, we find out that the electrical sector has higher variability (82%) to have growing
33

returns than the utilities sector which has only variability towards positive side of (27%). According to the theory, the high variance is usually related to high risk and high return which is shown in this comparison.

Number 156 In this case we see that the Engineering sector has a lower Returns (-0.16) compared to the Banks sector (-0.03), however the variance of the previous sector is (2, 502189574), is higher than the banks sector variance (0,5899106), but if we compare the semi-variances of both sectors, we find out that the engineering sector has a lower semi variance with variability of (49.6%) to move towards the positive side, while the Banks sector has a higher variability of (52%) to move towards the positive side. Which is an odd situation because higher variance of Engineering sector means high return with higher risk which is not fit the reality where engineering has lower return in this case. Number 209 The forestry & paper sector has a lower Returns (-0.217) compared to the holding company sector (-0.003), however the variance of the forestry & paper sector that is 6.04, is higher than the holding company sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 210 The forestry & paper sector has a lower Returns (-0.217) compared to the insurance sector (0.077), however the variance of the forestry & paper sector that is 6.04, is higher than the insurance sector, but if we compare the semi-variances of both sectors, we find out that the forestry & paper sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 211 The forestry & paper sector has a lower Returns (-0.217) compared to the investment companies & other finance sector (0.04), however the variance of the forestry & paper sector that is 6.04, is higher than the investment companies & other finance sector, but if we compare the semi-variances of both sectors, we find out that the forestry & paper sector has a high variability to move towards the positive side, and the investment companies & other finance sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.

34

 Number 212 The forestry & paper sector has a lower Returns (-0.217) compared to the leisures& hotels sector (-0.064), however the variance of the forestry & paper sector that is 6.04, is higher than the leisures& hotels sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 213 The forestry & paper sector has a lower Returns (-0.217) compared to the material software & computer service sector (-0.181), however the variance of the forestry & paper sector that is 6.04, is higher than the material software & computer service sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 214 The forestry & paper sector has a lower Returns (-0.217) compared to the Mining sector (0.009), however the variance of the forestry & paper sector that is 6.04, is higher than the Mining sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, and the mining sector has a high variability to move towards the negative side which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 215 The forestry & paper sector has a lower Returns (-0.217) compared to the Oil & gas sector (0.185), however the variance of the forestry & paper sector that is 6.04, is higher than the Oil & gas sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 216 The forestry & paper sector has a lower Returns (-0.217) compared to the pharmaceutical industry sector (-0.194), however the variance of the forestry & paper sector that is 6.04, is higher than the pharmaceutical industry sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.

35

 Number 217 The forestry & paper sector has a lower Returns (-0.217) compared to the real estate sector (0.070), however the variance of the forestry & paper sector that is 6.04, is higher than the real estate sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 218 The forestry & paper sector has a lower Returns (-0.217) compared to the telecommunications sector (-0.038), however the variance of the forestry & paper sector that is 6.04, is higher than the telecommunications sector, but if we compare the semi-variances of both sectors, we find out that the both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 219 The forestry & paper sector has a lower Returns (-0.217) compared to the transport sector (0.0023), however the variance of the forestry & paper sector that is 6.04, is higher than the transport sector, but if we compare the semi-variances of both sectors, we find out that the forestry & paper sector has a high variability to move towards the positive side, and the transport sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 220 The forestry & paper sector has a lower Returns (-0.217) compared to the utilities sector (0.109), however the variance of the forestry & paper sector that is 6.04, is higher than the utilities sector, but if we compare the semi-variances of both sectors, we find out that the forestry & paper sector has a high variability to move towards the positive side, and the utilities sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 232 The holding company sector has a lower Returns (-0.003) compared to the insurance sector (0.077) however the variance of the holding company sector that is 3.54, is higher than the insurance sector, but if we compare the semi-variances of both sectors, we find out that the forestry & paper sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.
36

 Number 233 The holding company sector has a lower Returns (-0.003) compared to the insurance sector (0.04) however the variance of the holding company sector that is 3.54, is higher than the insurance sector, but if we compare the semi-variances of both sectors, we find out that the holding company sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 234 The holding company sector has a higher Returns (-0.003) compared to the leisures& hotels sector (-0.006) also the variance of the holding company sector that is 3.54, is higher than the leisures& hotels sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 235 The holding company sector has a lower Returns (-0.003) compared to the material software & computer service sector (0.181) however the variance of the holding company sector that is 3.54, is higher than the material software & computer service sector, but if we compare the semi-variances of both sectors, we find out that both sector have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 236 The holding company sector has a lower Returns (-0.003) compared to the mining sector (0.009) however the variance of the holding company sector that is 3.54, is higher than the mining sector, but if we compare the semi-variances of both sectors, we find out that the holding company sector has a high variability to move towards the positive side, and the mining sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 237 The holding company sector has a lower Returns (-0.003) compared to the Oil & gas sector (0.185) however the variance of the holding company sector that is 3.54, is higher than the Oil & gas sector, but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.

37

 Number 238 The holding company sector has a higher Returns (-0.003) compared to the pharmaceutical industry sector (-0.194) also the variance of the holding company sector that is 3.54, is higher than the pharmaceutical industry sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 239 The holding company sector has a higher Returns (-0.003) compared to the real estate sector (-0.070) also the variance of the holding company sector that is 3.54, is higher than the real estate sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 240 The holding company sector has a higher Returns (-0.003) compared to telecommunications sector (-0.038) also the variance of the holding company sector that is 3.54, is higher than the telecommunications sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 241 The holding company sector has a lower Returns (-0.003) compared to the transport sector (0.002) however the variance of the holding company sector that is 3.54, is higher than the transport sector, but if we compare the semi-variances of both sectors, we find out that the holding company sector has a high variability to move towards the positive side, and the transport sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 242 The holding company sector has a lower Returns (-0.003) compared to the utilities sector (0.109) however the variance of the holding company sector that is 3.54, is higher than the transport sector, but if we compare the semi-variances of both sectors, we find out that the holding company sector has a high variability to move towards the positive side, and the utilities sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. number: 255 The insurance sector has a higher Returns (0.07) compared to the investment companies & other finance sector (0.04), also the variance of the Insurance sector that is 2.04 is higher than
38

the investment companies & other finance sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the negative side. Number:256 the insurance sector has a higher return (0.07) compared to the leisure and hotels sectors (0.06), however the variance of the insurance sector that is (2.145) is lower than the leisure and hotels sectors (3.026).but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the leisure and hotels sectors sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 257 The insurance sector has a higher Returns (0.07) compared to the Material software & computer service sector (-0.181), also the variance of the insurance sector that is 2.04 is higher than the material software & computer service sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the material software & computer service sector has a High variability to move towards the positive side. Number 258 The insurance sector has a higher Returns (0.07) compared to the mining sector (0.009), also the variance of the Insurance sector that is 2.04 is higher than the mining sector, which is logical to the theory that high ER related with high variance but if we compare the semivariances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the mining sector has a High variability to move towards the positive side. Number 259 the insurance sector has a higher return (0.07) compared to the oil and gas sectors (-0.18), however the variance of the insurance sector that is (2.145) is lower than the oil and gas sectors (3.05).but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the oil and gas sectors sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 260 The insurance sector has a higher Returns (0.07) compared to the Pharmaceutical industry sector (0.194), also the variance of the Insurance sector that is 2.04 is higher than
39

pharmaceutical industry sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the material pharmaceutical industry sector has a High variability to move towards the positive side. Number 261 The insurance sector has a higher Returns (0.07) compared to the real estate sector (-0.07), also the variance of the Insurance sector that is 2.04 is higher than real estate sector, which is logical to the theory that high ER related with high variance but if we compare the semivariances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the real estate e sector has a High variability to move towards the positive side. Number 262 The insurance sector has a higher Returns (0.07) compared to the telecommunications sector (-0.038), also the variance of the Insurance sector that is 2.04 is higher than the telecommunications sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and telecommunications sector has a High variability to move towards the positive side. Number 263 the insurance sector has a higher return (0.07) compared to the leisure and hotels sectors (0.06), however the variance of the insurance sector that is (2.145) is lower than the leisure and hotels sectors (3.026).but if we compare the semi-variances of both sectors, we find out that the insurance sector has a high variability to move towards the negative side and the leisure and hotels sectors sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 264 the insurance sector has a higher return (0.07) compared to the leisure and transport (0.0023), however the variance of the insurance sector that is (2.145) is lower than the transport sectors (2.32).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the negative side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 265 The insurance sector has a lower return (0.07) compared to the utilities (0.109), also the variance of the insurance sector that is (2.145) is lower than the utilities (3.02). Which is logical to the theory that high ER related with high variance but if we compare the semi40

variances of both sectors, we find out that both sectors have a high variability to move towards the negative side. Number 278 Investment companies & other finance sector have a higher return (0.04) compared to the leisure and hotels (-0.0643), however the variance of Investment companies & other finance sector that is (1.17) is lower than the leisure and hotels (3.02).but if we compare the semivariances of both sectors, we find out that the investment companies and other finance sector has a high variability to move towards the negative side and the leisure and hotels sectors sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this Number 279 Investment companies & other finance sector have higher return (0.04) compared to the material software & computer service (-0.187), however the variance of Investment companies & other finance sector that is (1.17) is lower than the material software & computer service (1.552). but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and the material software & computer service sectors sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 280 Investment companies & other finance sector have higher return (0.04) compared to the mining (0.009), however the variance of Investment companies & other finance sector that is (1.17) is lower than the material software & computer service (1.640). but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and the mining sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 281 Investment companies & other finance sector have higher return (0.04) compared to the oil and gas (-0.18), however the variance of Investment companies & other finance sector that is (1.17) is lower than the oil and gas (3.05). but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and the oil and gas sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.
41

 Number 282 Investment companies & other finance sector have higher return (0.04) compared to the pharmaceutical industry (-0.194), however the variance of Investment companies & other finance sector that is (1.17) is lower than the pharmaceutical industry (1.67). but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and the pharmaceutical industry sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 283 Investment companies & other finance sector have higher return (0.04) compared to the real estate (-0.07), however the variance of Investment companies & other finance sector that is (1.17) is lower than the pharmaceutical industry (1.59). but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and the real estate sector has a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 284 Investment companies & other finance sector has a higher Returns (0.04) compared to the telecommunications sector (-0.038), also the variance of the Investment companies & other finance sector that is 2.04 is higher than the telecommunications sector, which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that the Investment companies & other finance sector has a high variability to move towards the negative side and telecommunications sector has a High variability to move towards the positive side. Number 285 Investment companies & other financesector has a higher return (0.04) compared to the transport (0.0023), however the variance of the Investment companies & other finance sector that is (1.17) is lower than the transport sectors (2.32).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the negative side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 286 Investment companies & other financesector has a lower return (0.04) compared to the utilities (0.109), also the variance of Investment companies & other financesector that is
42

(1.17) is lower than the utilities (3.02). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the negative side. Number 301 Leisure and hotels sector has a higher return (-0.064) compared to the material software & computer service (-0.181), also the variance of the leisure and hotels sector that is (3.026) is higher than material software & computer service sectors (1.1552).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the positive side. Number 302 Leisure and hotels sector has a lower return (-0.064) compared to the mining sector (0.009), however the variance of the leisure and hotels sector that is (3.026) is higher than mining sectors (1.64).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 303 Leisure and hotels sector has a lower return (-0.064) compared to the oil and gas (-0.018), also the variance of Leisure and hotels sector that is (3.026) is lower than the oil and gas (3.05). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 304 Leisure and hotels sector has a higher return (-0.064) compared to the pharmaceutical industry sector (-0.194), also the variance of the leisure and hotels sector that is (3.026) is higher than pharmaceutical industry (1.67).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the positive side Number 305 Leisure and hotels sector has a higher return (-0.064) compared to the real estate sector (0.070), also the variance of the leisure and hotels sector that is (3.026) is higher than the real estate (1.67).but if we compare the semi-variances of both sectors, we find out that both sectors has a high variability to move towards the positive side. Number 306 Leisure and hotels sector has a lower return (-0.064) compared to the telecommunications (0.038), however the variance of the leisure and hotels sector that is (3.026) is higher than telecommunications sectors (0.45).but if we compare the semi-variances of both sectors, we
43

find out that both sectors has a high variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 307 Leisure and hotels sector has a lower return (-0.064) compared to the transport (0.0023), however the variance of the leisure and hotels sector that is (3.026) is higher than telecommunications sectors (2.32).but if we compare the semi-variances of both sectors, we find out that leisure and hotels sector has a High variability to move towards the positive side and transport sector has a high variability to move towards the negative side ,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison Number 308 Leisure and hotels sector has a lower return (-0.064) compared to the utilities sector (0.109), however the variance of the leisure and hotels sector that is (3.026) is higher than utilities sectors (3.021).but if we compare the semi-variances of both sectors, we find out that leisure and hotels sector has a High variability to move towards the positive side and utilities sector has a high variability to move towards the negative side ,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 324 Material software & computer service sector has a lower return (-0.181) compared to the mining (0.009), also the variance of the material software & computer service sector that is (1.552) is lower than the mining (1.64). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 325 Material software & computer service sector has a higher return (-0.181) compared to the oil and gas (-0.185), however the variance of material software & computer service sector that is (1.181) is lower than the oil and gas (3.05), but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison Number 326 Material software & computer service sector has a higher return (-0.181) compared to the pharmaceutical industry (-0.194), however the variance of material software & computer service sector that is (1.181) is lower than the pharmaceutical industry (1.67), but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.
44

 Number 327 Material software & computer service sector has a lower return (-0.181) compared to the real estate (-0.07), also the variance of the material software & computer service sector that is (1.552) is lower than the real estate (1.59). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 328 Material software & computer service sector has a lower return (-0.181) compared to the telecommunications (-0.038), however the variance of material software & computer service sector that is (1.181) is higher than telecommunications (0.45), but if we compare the semivariances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 329 Material software & computer service sector has a lower return (-0.181) compared to the transport (0.002), also the variance of the material software & computer service sector that is (1.552) is lower than the mining (2.32). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that Material software & computer service sector has a high variability to move towards the positive side and transport sector has a high variability to move towards negative side. Number 330 Material software & computer service sector has a lower return (-0.181) compared to the utilities (0.109), also the variance of the material software & computer service sector that is (1.552) is lower than the mining (3.02). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that Material software & computer service sector has a high variability to move towards the positive side and utilities sector has a high variability to move towards negative side. Numbe 347 mining sector has a higher return (0.009) compared to the oil and gas sector (-0.18), however the variance of the mining sector that is (1.64) is lower than oil and gas sectors (3.05).but if we compare the semi-variances of both sectors, we find out that both sector have a High variability to move towards the positive side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 348 mining sector has a higher return (0.009) compared to the pharmaceutical industry (-0.0194), also the variance of the mining sector that is (1.67) is higher than the pharmaceutical industry
45

(1.67). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 349 Mining sector has a higher return (0.009) compared to the real estate (-0.07), also the variance of the mining sector that is (1.67) is higher than the real estate (1.59). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number350 Mining sector has a higher return (0.009) compared to the telecommunications (-0.038), also the variance of the mining sector that is (1.67) is higher than the telecommunications (0.45). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 351 mining sector has a higher return (0.009) compared to the transport (0.002), however the variance of the mining sector that is (1.64) is lower than transport sectors (2.32).but if we compare the semi-variances of both sectors, we find out that the mining sector has a high variability to move towards the positive side and the transport sector has a High variability to move towards the negative side,which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 352 Mining sector has a lower return (0.009) compared to the utilities (0.109), also the variance of the mining sector that is (1.67) is lower than the utilities (3.02). Which is logical to the theory that high ER related with high variance but if we compare the semi-variances of both sectors, we find out that mining sectors have a high variability to move towards the positive side and the utilities sector have a high variability to move towards the negative side. Number 364 : The Insurance sector has a higher Returns (0.07) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the insurance sector (2.14), but if we compare the semi-variances of both sectors, we find out that the Oil & Gas sector has a high variability to move towards the positive side, and the insurance sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison.

46

 number 365: The investment companies & other finance sector has a higher Returns (0.04) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the investment companies sector (1.17), but if we compare the semi-variances of both sectors, we find out that the Oil & Gas sector has a high variability to move towards the positive side, and the investment companies sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 366: The leisure & hotels sector has a higher Returns (-0.06) compared to the Oil & Gas sector (0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the insurance sector (3.02), And if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 367: The Material software & computer service sector has a higher Returns (-0.18128) compared to the Oil & Gas sector (-0.1855), however the variance of the Oil & Gas sector that is 3.05, is higher than the insurance sector (1.55),And if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 368: The mining sector has a higher Returns (0.009) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the insurance sector (1.64), but if we compare the semi-variances of both sectors, we find out that the Oil & Gas sector has a high variability to move towards the positive side, but the mining sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison Number 370: The Oil & Gas sector has a higher Returns (-0.18) compared to the pharmaceutical sector (0.19), and the variance of the Oil & Gas sector that is 3.05, is higher than the pharmaceutical sector (1.67), but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 371: The Real estate sector has a higher Returns (-0.07) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the real estate sector (1.59), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side.

47

 Number 372: The telecommunication sector has a higher Returns (-0.03) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the telecommunication sector (0.45), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 373: The transport sector has a higher Returns (0.002) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the transport sector (2.32), But if we compare the semi-variances of both sectors, we find out that the Oil & Gas sector has a high variability to move to the positive side, but the transport sector has a high variability to move towards negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 374: The utilities sector has a higher Returns (0.10) compared to the Oil & Gas sector (-0.18), however the variance of the Oil & Gas sector that is 3.05, is higher than the utilities sector (3.02), But if we compare the semi-variances of both sectors, we find out that the Oil & Gas sector has a high variability to move to the positive side, but the utilities sector has a high variability to move towards negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 376: The Bank sector has a higher Returns (-0.03) compared to the pharmaceutical sector (-0.19), however the variance of pharmaceutical sector that is 1.67, is higher than the insurance sector (0.58), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 377: The beverage sector has a higher Returns (-0.05) compared to the pharmaceutical sector (0.19), and the variance of the beverages sector that is 2.04, is higher than the pharmaceutical sector 1.67, but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 380: The distributors sector has a higher Returns (0.03) compared to the pharmaceutical sector (0.19), however the variance of the pharmaceutical sector that is 1.67, is higher than the
48

distributors sector (0.89), but if we compare the semi-variances of both sectors, we find out that the pharmaceutical sector has a high variability to move towards the positive side, but the distributors sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 384: The pharmaceutical sector has a higher Returns (-0.19) compared to the forestry & paper sector (-0.21), however the variance of the forestry & paper sector that is 6.04, is higher than the pharmaceutical sector, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the positive side. Number 385: The Holding companies sector has a higher Returns (-0.003) and a higher variance 3.54 compared to the pharmaceutical sector (-0.19) with variance of 1.67, which is logical that having high return and high variance, but if we compare the semi-variances of both sectors, we find out that both have a high variability to move towards the positive side. Number 386: The insurance sector has a higher Returns (0.07) and a higher variance 2.14 compared to the pharmaceutical sector (-0.19) with variance of 1.67, which is logical that having high return with a high variance, but if we compare the semi-variances of both sectors, we find out that the pharmaceutical sector has a high variability to move towards the positive side, but the insurance sector has a high variability to move towards the negative side. Number 390: The Mining sector has a higher Returns (0.009) compared to the pharmaceutical sector (0.19), however the variance of the pharmaceutical sector that is 1.67, is higher than the mining sector (1.65), but if we compare the semi-variances of both sectors, we find out that the pharmaceutical sector has a high variability to move towards the positive side, but the Mining sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 393: The real estate sector has a higher Returns (-0.07) compared to the pharmaceutical sector (0.19), however the variance of the pharmaceutical sector that is 1.67, is higher than the real estate sector (1.59), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both have a high variability to move towards the positive side.

49

 Number 394: The telecommunication sector has a higher Returns (-0.03) compared to the pharmaceutical sector (-0.19), however the variance of the pharmaceutical sector that is 1.67, is higher than the telecommunication sector (0.45), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both have a high variability to move towards the positive side. Number 395: The transport sector has a higher Returns (0.002) and a higher variance 2.32 compared to the pharmaceutical sector (-0.19) with variance of 1.67, which is logical that having high return and high variance, but if we compare the semi-variances of both sectors, we find out that pharmaceutical sector has a high variability to move towards the positive side. But the transport sector has a high variability to move towards the negative side. Number 396: The utilities sector has a higher Returns (0.10) and a higher variance 3.02 compared to the pharmaceutical sector (-0.19) with variance of 1.67, which is logical that having high return and high variance, but if we compare the semi-variances of both sectors, we find out that pharmaceutical sector has a high variability to move towards the positive side. But the utilities sector has a high variability to move towards the negative side. Number 405: The food producer & processors sector has a higher Returns (0.006) compared to the real estate sector (-0.07), however the variance of the real estate sector that is 1.59, is higher than the food producer & processors sector (1.10), but if we compare the semi-variances of both sectors, we find out that the real estate sector has a high variability to move towards the positive side, but the food producer & processors sector has a high variability to move towards the negative side, which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. Number 416: The telecommunication sector has a higher Returns (-0.03) compared to the real estate sector (-0.07), however the variance of the real estate sector that is 1.59, is higher than the telecommunication sector (0.45), which is an odd situation, because according to the theory, the high variance is usually related to high risk and high return which is not the case in this comparison. But if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move to the positive side. Number 417: The transport sector has a higher Returns (0.002) and a higher variance 2.32 compared to the real estate sector (-0.07) with variance of 1.59, which is logical that having high return and high variance, but if we compare the semi-variances of both sectors, we find out that real
50

estate sector has a high variability to move towards the positive side. But the transport sector has a high variability to move towards the negative side. Number 418: The utilities sector has a higher Returns (0.10) and a higher variance 3.02 compared to the real estate sector (-0.07) with variance of 1.59, which is logical that having high return with a high variance, but if we compare the semi-variances of both sectors, we find out that real estate sector has a high variability to move towards the positive side. But the utilities sector has a high variability to move towards the negative side. Number 439: The transport sector has a higher Returns (0.002) and a higher variance 2.32 compared to the telecommunication sector (-0.03) with variance of 0.45, which is logical that having high return with a high variance, but if we compare the semi-variances of both sectors, we find out that telecommunication sector has a high variability to move towards the positive side. But the transport sector has a high variability to move towards the negative side. Number 440: The utilities sector has a higher Returns (0.10) and a higher variance 3.02 compared to the telecommunication sector (-0.03) with variance of 0.45, which is logical that having high return with a high variance, but if we compare the semi-variances of both sectors, we find out that telecommunication sector has a high variability to move towards the positive side. But the utilities sector has a high variability to move towards the negative side. Number 462: The utilities sector has a higher Returns (0.10) and a higher variance 3.02 compared to the transport sector (0.002) with variance of 2.32, which is logical that having high return with a high variance, but if we compare the semi-variances of both sectors, we find out that both sectors have a high variability to move towards the negative side.

(analysis Of The VAR-COVAR Matrix) Cov (Masi- Banks) : Covariance is a measure of how much two sectors change together, measure the movement of them, and how strong the relationship is between them. So if the covariance is positive this means that both move in the same direction if one increases the other increases and if one decreases the other decreases as well. If the covariance is negative this means that the sectors move in opposite direction if one decreases the other increases. In the case of Masi and banks we notice that the covariance is positive (0, 3296977) so the bank sector moves in the same direction as the market (Masi) with negative expected return.

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 Cov (Masi- Bevreages): In the case of Beverages compared to the market (Masi) the covariance is positive (0, 0108505) which means that the smaller values of the sector (-0, 05152) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that the beverages sector tends to show similar behavior as the market, which shows the covariance is a positive number. In the case of chemicals compared to the market (Masi) the covariance is positive (0, 0385357) which means that the smaller values of the sector (-0, 14688) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that the chemicals sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Masi- construction and building materials) In the case of construction &building materials compared to the market (Masi) the covariance is positive (0, 4572556) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0.00352) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov ( Masi- Distributors) In the case of Distributors compared to the market (Masi) the covariance is positive (0, 1438047) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0, 03232) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Mazi- Electrical) In the case of Electrical compared to the market (Masi) the covariance is positive (0, 0580017) which means that the smaller values of the sector (-0, 0444) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that the Electrical sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Mazi-Engineering) In the case of engineering compared to the market (Masi) the covariance is positive (0, 0548428) which means that the smaller values of the sector (-0, 16632) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that the Engineering sector tends to show similar behavior as the market, which shows the covariance is a positive number.
52

 Cov (Mazi- Food) In the case of food sector compared to the market (Masi) the covariance is positive (0, 1054289) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0, 00616) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Mazi- Forestry& paper) In the case of Forestry& Paper sector compared to the market (Masi) the covariance is negative (-0, 150944) which means the returns move inversely. So the sector moves in opposite direction to the market. But in this odd situation the covariance should be positive because both market (-0.03544) and sector (-0, 2172) move in the same direction with negative expected returns. Cov (Mazi- Holding companies) In the case of this sector compared to the market (Masi) the covariance is positive (0, 1702451) which means that the smaller values of the sector (-0, 00384) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that this sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Mazi- Insurance) In the case of insurance sector compared to the market (Masi) the covariance is positive (0, 2289908) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0, 07744) mainly correspond with the smaller values of the market (-0, 03544), which means that the sector tends to show opposite behavior. Cov (Mazi- investment companies) In the case of this sector compared to the market (Masi) the covariance is positive (0, 0823188) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0, 04784) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Mazi- Leisure&Hotels) In the case of Leisures& Hotels sector compared to the market (Masi) the covariance is negative (-0, 003141) which means the returns move inversely. So the sector moves in opposite direction to the market. But in this odd situation the covariance should be positive
53

because both market (-0.03544) and sector (-0, 06432) move in the same direction with negative expected return. Cov(Mazi- material software) In the case of this sector compared to the market (Masi) the covariance is positive (0, 1944188) which means that the smaller values of the sector (-0.18128) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that this sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Mazi- Mining): In the case of this sector compared to the market (Masi) the covariance is positive (0, 2068697) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0, 00904) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Mazi- Oil& gas) In the case of this sector compared to the market (Masi) the covariance is positive ( 0, 3557334) which means that the smaller values of the sector (-0,18552)mainly correspond with the smaller values of the market (-0, 03544). On other words this means that this sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Masi- pharmaceuticalindustry) In the case of Pharmaceutical industry sector compared to the market (Masi) the covariance is negative (-0, 063902) which means the returns move inversely. So the sector moves in opposite direction to the market. But in this odd situation the covariance should be positive because both market (-0.03544) and sector (-0.19472) move in the same direction with negative expected returns. Cov (Masi- Real estate) In the case of this sector compared to the market (Masi) the covariance is positive (0, 4191385) which means that the smaller values of the sector (-0.07048) mainly correspond with the smaller values of the market (-0, 03544). On other words this means that this sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Masi- Telecommunications) In the case of this sector compared to the market (Masi) the covariance is positive (0, 20054) which means that the smaller values of the sector (-0.038) mainly correspond with the smaller

54

values of the market (-0, 03544). On other words this means that this sector tends to show similar behavior as the market, which shows the covariance is a positive number. Cov (Masi- Transport) In the case of this sector compared to the market (Masi) the covariance is positive (0, 0078159) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0.00232) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Masi- Utilities) In the case of this sector compared to the market (Masi) the covariance is positive (0, 1838961) which means that the smaller values of the sector mainly correspond with the smaller values of the market (-0, 03544). But here we have an odd situation the covariance should be negative in this case because the greater values of the sector (0.10928) mainly correspond with the smaller values of the market, which means that the sector tends to show opposite behavior. Cov (Banks- Beverages) In the case of Banks sector compared to the beverages sector the covariance is positive (0, 0561911) which means that the smaller values of the Banks sector (-0, 03528) mainly correspond with the smaller values of the Beverages (-0, 05152). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number. Cov (Banks-chemicals) In the case of Banks sector compared with chemicals sector the covariance is negative (-0, 056042) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors Chemicals (-0, 14688) and Banks (-0, 03528) move in the same direction with negative expected return. Cov (Banks-Construction & building) In the case of Banks sector compared with the construction sector the covariance is positive (0, 4109929) which means that the smaller values of banks sector mainly correspond with the smaller values of construction sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the construction sector (0.00352) mainly correspond with the smaller values of the Banks sector (-0,03528), which means that both sectors tend to show opposite behavior. Cov (Banks-Distributors)

55

In the case of Banks sector compared with distributors sector the covariance is positive (0, 1580325) which means that the smaller values of banks sector mainly correspond with the smaller values of distributors sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the distributors sector (0, 03232) mainly correspond with the smaller values of the Banks sector (-0,03528), which means that both sectors tend to show opposite behavior.

Cov (Banks-Electrical& electronic) In the case of Banks sector compared to this sector the covariance is positive (0,079983) which means that the smaller values of the Banks sector (-0, 03528) mainly correspond with the smaller values of electrical sector (-0.0444). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number Cov (Banks- Engineering equipment) In the case of Banks sector compared to this sector the covariance is positive (0, 0203156) which means that the smaller values of the Banks sector (-0, 03528) mainly correspond with the smaller values of Engineering sector (-0, 16632). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number Cov (Banks-Food producer) In the case of Banks sector compared with Food sector the covariance is positive (0, 0386441) which means that the smaller values of banks sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the food sector ( 0,00616) mainly correspond with the smaller values of the Banks sector (-0,03528), which means that both sectors tend to show opposite behavior. Cov (Banks-Forestry& Paper) In the case of Forestry& Paper sector compared to the Banks the covariance is negative ( 0,116133)which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both Banks (-0.03544) and forestry (-0, 2172) move in the same direction with negative expected returns. Cov (Banks-Holding companies) In the case of Banks sector compared to this sector the covariance is positive (0, 1575828) which means that the smaller values of the Banks sector (-0, 03528) mainly correspond with the smaller values of this sector (-0, 00384). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number.
56

 Cov (Banks-insurance) In the case of insurance sector compared to the Banks the covariance is positive (0,1863235) which means the returns move in the same direction. But in this odd situation the covariance should be negative because both Banks (-0.03544) and insurance ( 0, 07744) move in opposite direction to each others. Cov (Banks- investment companies) In the case of Banks sector compared with investment sector the covariance is positive (0, 11372) which means that the smaller values of banks sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the investment sector (0, 11372)mainly correspond with the smaller values of the Banks sector (-0, 03528), which means that both sectors tend to show opposite behavior. Cov (Banks-Leisures& Hotels) In the case of Leisures& Hotels sector compared to the banks the covariance is negative (-0, 150784) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both Banks (-0, 03528) and hotels sector (-0, 06432) move in the same direction with negative expected return. Cov (Banks- material software) In the case of Banks sector compared to this sector the covariance is positive (0, 0807061) which means that the smaller values of the Banks sector (-0, 03528) mainly correspond with the smaller values of this sector (-0.18128). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number Cov (Banks- mining) In the case of Banks sector compared with mining sector the covariance is positive (0, 0613271) which means that the smaller values of banks sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of mining sector (0,00904)mainly correspond with the smaller values of the Banks sector (-0, 03528), which means that both sectors tend to show opposite behavior. Cov (Banks- oil& gas) In the case of this sector compared to Banks sector the covariance is positive (0, 2628053) which means that the smaller values of oil& gas sector (-0, 18552) mainly correspond with the smaller values of Banks (-0, 03528). On other words this means that those sectors tend to show similar behavior to each others, which shows the covariance is a positive number.

57

 Cov (Banks- pharmaceutical industry) In the case of Pharmaceutical industry sector compared to Banks the covariance is negative (0, 106157) which means the returns move inversely. So those sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both Banks (-0.03528) and pharma..sector (-0.19472) move in the same direction with negative expected returns. Cov (Banks-Real estate) In the case of this sector compared to Banks sector the covariance is positive (0, 2509184) which means that the smaller values of this sector (-0. 07048) mainly correspond with the smaller values of Banks (-0, 03528). On other words this means that those sectors tend to show similar behavior to each others, which shows the covariance is a positive number. Cov (Banks-telecommunication) In the case of this sector compared to Banks sector the covariance is positive (0, 1471018) which means that the smaller values of this sector (-0.038) mainly correspond with the smaller values of Banks (-0, 03528). On other words this means that those sectors tend to show similar behavior to each others, which shows the covariance is a positive number. Cov (Banks- Transports) In the case of Banks sector compared with this sector the covariance is positive (0, 0236825) which means that the smaller values of banks sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the transport sector (0.00232)mainly correspond with the smaller values of the Banks sector (-0, 03528), which means that both sectors tend to show opposite behavior. Cov (Banks-Utilities) In the case of Banks sector compared with this sector the covariance is positive (0, 0823623) which means that the smaller values of banks sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of utilities sector (0.10928)mainly correspond with the smaller values of the Banks sector (-0, 03528), which means that both sectors tend to show opposite behavior. Cov (Bevrages- Chemicals) In the case of Bevrages sector compared with chemicals sector the covariance is negative (-0, 162455703) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors Chemicals (-0, 14688) and Beverages (-0, 05152) move in the same direction with negative expected return.

58

 Cov (bevrages- Construction& building) In the case of Beverages sector compared with the construction sector the covariance is positive (0, 164178781) which means that the smaller values of beverages sector mainly correspond with the smaller values of construction sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the construction sector (0.00352) mainly correspond with the smaller values of the Beverages sector (0,05152), which means that both sectors tend to show opposite behavior. Cov (bevrages- Distributors) In the case of Beverages sector compared with the Distributors sector the covariance is positive (0, 05639791) which means that the smaller values of beverages sector mainly correspond with the smaller values of distributors sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the distributors sector (0, 03232) mainly correspond with the smaller values of the Beverages sector (-0, 05152), which means that both sectors tend to show opposite behavior. Cov (beverages- electrical) In the case of Beverages sector compared with electrical sector the covariance is negative (-0, 270906742) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors electrical (-0.0444) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov ( beverages- Engineering) In the case of beverages sector compared to this sector the covariance is positive (0, 001645155) which means that the smaller values of the beverages sector (-0, 05152) mainly correspond with the smaller values of Engineering sector (-0, 16632). On other words this means that both sectors tend to show similar behavior to move towards same direction, which shows the covariance is a positive number. Cov ( beverages- Food Producer) In the case of Beverages sector compared with Food Producer sector the covariance is negative (-0, 271969594) which means the returns move inversely. So both sectors move in opposite direction to each others where the beverages sector decreases with returns of (-0, 05152) while food sector increases with expected return of (0, 00616). Cov ( beverages- Forestry& Paper) In the case of Forestry& Paper sector compared to beverages sector the covariance is negative (-0, 135381194) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both beverages (-0, 05152) and forestry (-0, 2172) move in the same direction with negative expected returns.
59

 Cov (beverages- Holding companies) In the case of Beverages sector compared with holding companies sector the covariance is negative (-0, 462805077) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors holding companies (-0, 00384) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov (beverages- insurance) In the case of insurance sector compared to the beverages the covariance is positive (0, 014643658) which means the returns move in the same direction. But in this odd situation the covariance should be negative because both beverages (-0, 05152) and insurance (0, 07744) move in opposite direction to each others. Cov (beverages- investment companies) In the case of beverages sector compared with investment sector the covariance is positive (0, 317084594) which means that the smaller values of beverages sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of the investment sector (0, 11372)mainly correspond with the smaller values of the beverages sector (-0, 05152), which means that both sectors tend to show opposite behavior. Cov (beverages- Leisure& Hotels) In the case of Leisure& Hotels sector compared to the beverages the covariance is negative (0, 224075974) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both beverages (-0, 05152) and hotels sector (-0, 06432) move in the same direction with negative expected return. Cov (beverages- Material software) In the case of Beverages sector compared with Material software sector the covariance is negative (-0, 358888252) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors Material software (-0.18128) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov (beverages- Mining) In the case of beverages sector compared with mining sector the covariance is positive (0, 072716271) which means that the smaller values of beverages sector mainly correspond with the smaller values of this sector. But here we have an odd situation the covariance should be negative in this case because the greater values of mining sector (0,00904)mainly correspond with the smaller values of the beverages sector (-0, 05152), which means that both sectors tend to show opposite behavior.
60

 Cov (Beverages- oil& gas) In the case of Beverages sector compared with oil& gas sector the covariance is negative (-0, 425283458) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors oil& gas (-0, 18552) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov (Beverages- pharmaceutical industry) In the case of this sector compared to pharmaceutical sector the covariance is positive (0, 329357284) which means that the smaller values of beverages sector (-0, 05152) mainly correspond with the smaller values of pharmaceutical sector (-0.19472). On other words this means that those sectors tend to show similar behavior to each others, which shows the covariance is a positive number. Cov (Beverages- Real estate) In the case of Beverages sector compared with real estate sector the covariance is negative (0, 075738639) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors real estate (-0.07048) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov (Beverages-telecommunication) In the case of Beverages sector compared with telecommunication sector the covariance is negative (-0, 044301774) which means the returns move inversely. So both sectors move in opposite direction to each others. But in this odd situation the covariance should be positive because both sectors telecommunication (-0.038) and Beverages (-0, 05152) move in the same direction with negative expected return. Cov (Beverages- Transport) In the case of Beverages sector compared with transport sector the covariance is negative ( -0, 211488381) which means the returns move inversely. So both sectors move in opposite direction to each others where the beverages sector decreases with returns of (-0, 05152) while transport sector increases with expected return of (0.00232). Cov (Beverages- Utilities) In the case of Beverages sector compared with Utilities sector the covariance is negative (-0, 0827632) which means the returns move inversely. So both sectors move in opposite direction to each others where the beverages sector decreases with returns of (-0, 05152) while Utilities sector increases with expected return of (0.10928).

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 Cov ( Transport and utilities): In the case of transport compared to utilities the covariance is positive (0.3790) which means that the greater values of transport sector (0.00232) mainly correspond with the greater values of utilities (0.1092). On other words this means that the transport sector tends to show similar behavior as the utilities sector, which shows the covariance is a positive number. Cov ( telecommunication and transport): In the case of telecommunication sector compared to transport sector the covariance is negative (-0.1326) which means the returns move inversely. So telecommunication returns decrease (-0.038) and the other sector return increases 0.00232, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( telecommunication and utilities):

In the case of telecommunication sector compared to utilities sector the covariance is positive (0.074) which means that the smaller values of telecommunication mainly correspond with the smaller values of utilities. But here we have an odd situation the covariance should be negative in this case because the smaller values of telecommunication (-0.038) mainly correspond with the greater values of utilities (0.1092), which means that the sector tends to show opposite behavior. Cov (telecommunication and real estate):

In the case of telecommunications compared to real estate the covariance is positive (0.26) which means that the smaller values of telecommunication (-0.038) mainly correspond with the smaller values real estate (-0.0704). On other words this means that the telecommunication sector tends to show similar behavior as real estate, which shows the covariance is a positive number. Cov ( real and estate and transport):

In the case of real estate sector compared to transport sector the covariance is positive (0.0828) which means that the smaller values of real estate -0.07 mainly correspond with the smaller values of transport. But here we have an odd situation the covariance should be negative in this case because the smaller values of real estate mainly correspond with the greater values of transport 0.00232, which means that the sector tends to show opposite behavior. Cov (real estate and utilities):

In the case of real estate sector compared to utilities sector the covariance is positive (0.1725) which means that the smaller values of real estate -0.07 mainly correspond with the smaller values of utilities. But here we have an odd situation the covariance should be negative in this case because the smaller values of real estate mainly correspond with the greater values of utilities 0.1092, which means that the sector tends to show opposite behavior.
62

Cov ( pharmaceutical and real estate):

In the case of pharmaceutical compared to real estate the covariance is positive (0.1108) which means that the smaller values of pharmaceutical (-0.1947) mainly correspond with the smaller values real estate (-0.0704). On other words this means that the pharmaceutical sector tends to show similar behavior as real estate, which shows the covariance is a positive number. Cov (pharmaceutical and telecommunication):

In the case of pharmaceutical sector compared to telecommunication sector the covariance is negative (-0.1472) which means the returns move inversely. But we have an odd situation because the pharmaceutical return decreases -0.19 and the telecommunication return also decreases -0.038 which must give a positive covariance which is not the case. Cov ( pharmaceutical and transport):

In the case of pharmaceutical sector compared to transport sector the covariance is positive (0.0987) which means that the smaller values of pharmaceutical -0.1947 mainly correspond with the smaller values of transport. But here we have an odd situation the covariance should be negative in this case because the smaller values of pharmaceutical mainly correspond with the greater values of transport 0.00232, which means that the sector tends to show opposite behavior. Cov ( pharmaceutical and utilities):

In the case of pharmaceutical sector compared to utilities sector the covariance is negative (0.0854) which means the returns move inversely. So pharmaceutical returns decrease (-0.19) and the other sector return increases 0.10, which mean that the both sectors tend to show an opposite behavior to each other. Cov (Oil & gas and pharmaceutical):

In the case of oil & gas sector compared to pharmaceutical sector the covariance is negative (0.1228) which means the returns move inversely. But we have an odd situation because the pharmaceutical return decreases -0.19 and the oil & gas return also decreases -0.18 which must give a positive covariance which is not the case. Cov ( oil & gas and real estate):

In the case of oil & gas compared to real estate the covariance is positive (0.1729) which means that the smaller values of oil & gas (-0.18) mainly correspond with the smaller values real estate (-0.0704). On other words this means that the oil & gas sector tends to show similar behavior as real estate, which shows the covariance is a positive number.

63

Cov ( oil & gas and telecommunication):

In the case of telecommunications compared to oil & gas the covariance is positive (0.04) which means that the smaller values of telecommunication (-0.038) mainly correspond with the smaller values oil & gas (-0.18). On other words this means that the telecommunication sector tends to show similar behavior as oil & gas, which shows that the covariance is a positive number. Cov ( Oil & gas and transport):

In the case of Oil & gas sector compared to transport sector the covariance is negative (0.029) which means the returns move inversely. So oil & gas returns decrease (-0.18) and the other sector return increases 0.0023, which mean that the both sectors tend to show an opposite behavior to each other. Cov (oil & gas and utilities):

In the case of Oil & Gas sector compared to utilities sector the covariance is positive (0.60) which means that the smaller values of oil & gas -0.18mainly correspond with the smaller values of utilities. But here we have an odd situation the covariance should be negative in this case because the smaller values of oil & gas mainly correspond with the greater values of utilities 0.10, which means that the sector tends to show opposite behavior. Cov (Mining and Oil & gas):

In the case of Oil & Gas sector compared to mining sector the covariance is positive (0.55) which means that the smaller values of oil & gas -0.18mainly correspond with the smaller values of mining. But here we have an odd situation the covariance should be negative in this case because the smaller values of oil & gas mainly correspond with the greater values of mining 0.009, which means that the sector tends to show opposite behavior. Cov ( mining and pharmaceutical):

In the case of mining sector compared to pharmaceutical sector the covariance is negative (0.1312) which means the returns move inversely. So mining returns decrease (-0.009) and the other sector return decreases -0.19, which is an odd situation where the covariance should be positive. Cov ( mining and real estate):

In the case of real estate sector compared to mining sector the covariance is positive (0.0910) which means that the smaller values of real estate -0.07 mainly correspond with the smaller values of mining. But here we have an odd situation the covariance should be negative in this case because the smaller values of real estate mainly correspond with the greater values of mining 0.009, which means that the sector tends to show opposite behavior.

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Cov ( mining and telecommunication):

In the case of telecommunication sector compared to mining sector the covariance is positive (0.0916) which means that the smaller values of telecommunication -0.038 mainly correspond with the smaller values of mining. But here we have an odd situation the covariance should be negative in this case because the smaller values of telecommunication mainly correspond with the greater values of mining 0.009, which means that the sector tends to show opposite behavior. Cov ( mining and transport):

In the case of mining sector compared to transport sector the covariance is negative (-0.091) which means the returns move inversely. But we have an odd situation because the mining return increases 0.009 and the transport return also increases 0.002 which must give a positive covariance which is not the case. Cov ( Mining and utilities):

In the case of mining compared to utilities the covariance is positive (0.55) which means that the greater values of mining sector (0.009) mainly correspond with the greater values of utilities (0.1092). On other words this means that the mining sector tends to show similar behavior as the utilities sector, which shows the covariance is a positive number. Cov ( material software &computer service and mining):

In the case of material software sector compared to mining sector the covariance is positive (0.2788) which means that the smaller values of material software-0.18 mainly correspond with the smaller values of mining. But here we have an odd situation the covariance should be negative in this case because the smaller values of material software mainly correspond with the greater values of mining 0.009, which means that the sector tends to show opposite behavior. Cov ( material software & computer service and Oil & Gas):

In the case of material software compared to oil & gas the covariance is positive (0.82) which means that the smaller values of material software (-0.181) mainly correspond with the smaller values oil & gas (-0.185). On other words this means that the material software sector tends to show similar behavior as oil & gas, which shows that the covariance is a positive number. Cov ( material software & computer service and Pharmaceutical):

In the case of material software sector compared to pharmaceutical sector the covariance is negative (-0.41) which means the returns move inversely. So material software returns decrease (-0.18) and the other sector return also decreases -0.19, which is an odd situation where the covariance should be positive.

65

Cov ( material software & computer service and real estate):

In the case of material software compared to real estate the covariance is positive (0.28) which means that the smaller values of material software (-0.181) mainly correspond with the smaller values real estate (-0.07). On other words this means that the material software sector tends to show similar behavior as real estate, which shows the covariance is a positive number. Cov ( material software & computer service and telecommunication):

In the case of material software compared to telecommunication the covariance is positive (0.11) which means that the smaller values of material software (-0.181) mainly correspond with the smaller values telecommunication (-0.03). On other words this means that the material software sector tends to show similar behavior as telecommunication, which shows the covariance is a positive number. Cov ( material software & computer service and transport):

In the case of material software sector compared to transport sector the covariance is positive (0,016) which means that the smaller values of material software -0.18 mainly correspond with the smaller values of transport. But here we have an odd situation the covariance should be negative in this case because the smaller values of material software mainly correspond with the greater values of transport 0.002, which means that the sector tends to show opposite behavior. Cov ( material software & computer service and utilities):

In the case of material software sector compared to utilities sector the covariance is positive (0.40) which means that the smaller values of material software -0.18 mainly correspond with the smaller values of utilities. But here we have an odd situation the covariance should be negative in this case because the smaller values of material software mainly correspond with the greater values of utilities 0.10, which means that the sector tends to show opposite behavior. Cov (construction & building materials and distributors):

In the case of construction & building materials compared to distributors the covariance is positive (0, 22) which means that the greater values of construction & building materials sector (0.003) mainly correspond with the greater values of distributors (0.03). On other words this means that the construction & building materials sector tends to show similar behavior as the distributors sector, which shows the covariance is a positive number. Cov (construction & building materials and electrical and electronic equipment):

In the case of construction & building materials sector compared to electrical and electronic equipments sector the covariance is negative (-0, 006) which means the returns move inversely. So construction & building materials returns increase (0.03) and the other sector
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return decreases -0.04, which mean that the both sectors tend to show an opposite behavior to each other. Cov (construction & building materials and engineering equipments& industrial goods):

In the case of construction & building materials sector compared to engineering equipments& industrial sector the covariance is positive (0,21) which means that the smaller values of engineering equipments sector -0.16 mainly correspond with the smaller values of construction & building materials . But here we have an odd situation the covariance should be negative in this case because the smaller values of engineering equipments mainly correspond with the greater values of construction & building materials 0.003, which means that the sector tends to show opposite behavior. Cov (construction & building materials and Food producer and processors):

In the case of construction & building materials compared to food producer and processors the covariance is positive (0, 23) which means that the greater values of construction & building materials sector (0.003) mainly correspond with the greater values of food producer and processors (0.006). On other words this means that the construction sector tends to show similar behavior as the food producer sector, which shows the covariance is a positive number. Cov ( construction & building materials and forestry & paper):

In the case of construction & building materials sector compared to forestry & paper sector the covariance is negative (-0, 40) which means the returns move inversely. So construction & building materials returns increase (0.03) and the other sector return decreases -0.21, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( construction & building materials and investment companies & other finance):

In the case of construction & building materials compared to investment companies & other finance the covariance is positive (0, 13) which means that the greater values of construction & building materials sector (0.003) mainly correspond with the greater values of investment companies & other finance (0.04). On other words this means that the construction sector tends to show similar behavior as the investment companies & other finance sector, which shows that the covariance is a positive number. Cov ( construction & building materials and leisures& hotels):

In the case of construction & building materials sector compared to leisures& hotels sector the covariance is positive (0,014) which mean that the smaller values of leisures& hotels sector -0.06 mainly correspond with the smaller values of construction & building materials. But here we have an odd situation the covariance should be negative in this case because the

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smaller values of leisures& hotels mainly correspond with the greater values of construction & building materials 0.003, which means that the sector tends to show opposite behavior. Cov (construction & building materials and mining):

In the case of construction & building materials compared to mining the covariance is positive (0, 30) which means that the greater values of construction & building materials sector (0.003) mainly correspond with the greater values of mining (0.009). On other words this means that the construction sector tends to show similar behavior as the mining sector, which shows the covariance is a positive number. Cov (construction & building materials and telecommunication):

In the case of construction & building materials sector compared to telecommunication sector the covariance is positive (0,15) which means that the smaller values of telecommunication sector -0.038 mainly correspond with the smaller values of construction & building materials . But here we have an odd situation the covariance should be negative in this case because the smaller values of telecommunication mainly correspond with the greater values of construction & building materials 0.003, which means that the sector tends to show opposite behavior. Cov ( distributors and electrical & electronic equipments):

In the case of distributors sector compared to electrical & electronic equipments sector the covariance is negative (-0, 41) which means the returns move inversely. So distributor returns increase (0.03) and the other sector return decreases -0.04, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( distributors and food producer & processors):

In the case of distributors compared to food producer & processors the covariance is positive (0, 11) which means that the greater values of distributor sector (0.03) mainly correspond with the greater values of food producer & processors (0.006). On other words this means that the distributors sector tends to show similar behavior as the food producer & processors sector, which shows that the covariance is a positive number. Cov (distributors and holding companies):

In the case of distributors sector compared to holding companies sector the covariance is positive (0,48) which means that the smaller values of holding companies sector -0.0038 mainly correspond with the smaller values of distributors . But here we have an odd situation the covariance should be negative in this case because the smaller values of holding companies mainly correspond with the greater values of distributors 0.03, which means that the sector tends to show opposite behavior.

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Cov (distributors and insurance):

In the case of distributors sector compared to insurance sector the covariance is negative (0.13) which means the returns move inversely. But we have an odd situation because the distributors return increases 0.03 and the insurance return also increases 0.07 which must give a positive covariance which is not the case. Cov (distributors and leisures& hotels):

In the case of distributors sector compared to leisures& hotels sector the covariance is negative (-0, 25) which means the returns move inversely. So distributor returns increase (0.03) and the other sector return decreases -0.06, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( distributors and material software & computer service):

In the case of distributors sector compared to material software sector the covariance is positive (0.12) which means that the smaller values of material software sector -0.18 mainly correspond with the smaller values of distributors. But here we have an odd situation the covariance should be negative in this case because the smaller values of material software mainly correspond with the greater values of distributors 0.03, which means that the sector tends to show opposite behavior. Cov (distributors and transport):

In the case of distributors sector compared to transport sector the covariance is negative (0.05) which means the returns move inversely. But we have an odd situation because the distributors return increases 0.03 and the transport return also increases 0.002 which must give a positive covariance which is not the case. Cov (electrical & electronic equipments and holding companies):

In the case of electrical & electronic equipment sector compared to holding companies sector the covariance is negative (-0.57) which means the returns move inversely. So electrical & electronic equipment returns decrease (-0.04) and the other sector return also decreases 0.003, which is an odd situation where the covariance should be positive. Cov (electrical & electronic equipments and insurance):

In the case of electrical & electronic equipments sector compared to insurance sector the covariance is positive (0.28) which means that the smaller values electrical & electronic equipments sector -0.04 mainly correspond with the smaller values of insurance. But here we have an odd situation the covariance should be negative in this case because the smaller values of electrical & electronic equipments mainly correspond with the greater values of insurance 0.07, which means that the sector tends to show opposite behavior.

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Cov (electrical & electronic equipments and leisures& hotels):

In the case of electrical & electronic equipments sector compared to leisures& hotels sector the covariance is negative (-0.06) which means the returns move inversely. So electrical & electronic equipments returns decrease (-0.04) but the other sector return also decreases -0.06, which is an odd situation where the covariance should be positive. Cov (electrical & electronic equipments and mining):

In the case of electrical & electronic equipments sector compared mining sector the covariance is negative (-0.11) which means the returns move inversely. So mining returns increase by (0.009) and the other sector return decreases by -0.04, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( electrical & electronic equipments and real estate):

In the case of electrical & electronic equipments compared to real estate the covariance is positive (0.27) which means that the smaller values of electrical & electronic equipments (0.04) mainly correspond with the smaller values real estate (-0.07). On other words this means that the electrical & electronic equipments sector tends to show similar behavior as real estate, which shows the covariance is a positive number. Cov ( electrical & electronic equipments and utilities):

In the case of electrical & electronic equipments sector compared to utilities sector the covariance is negative (-0.04) which means the returns move inversely. So utilities returns increase by (0.10) and the other sector return decreases by -0.04, which mean that the both sectors tend to show an opposite behavior to each other. Cov (engineering equipments& industrial goods and food producer & processors):

In the case of engineering equipments& industrial goods sector compared to food producer sector the covariance is positive (0.05) which means that the smaller values engineering equipments& industrial goods sector -0.16 mainly correspond with the smaller values of food producer. But here we have an odd situation the covariance should be negative in this case because the smaller values of engineering equipments& industrial goods mainly correspond with the greater values of food producer 0.0016, which means that the sector tends to show opposite behavior. Cov (engineering equipments& industrial goods and forestry & paper):

In the case of engineering equipments& industrial sector compared to forestry & paper sector the covariance is negative (-0.37) which means the returns move inversely. So engineering equipments& industrial returns decrease (-0.16) but the other sector return also decreases 0.21, which is an odd situation where the covariance should be positive. Cov (engineering equipments& industrial goods and insurance):
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In the case of engineering equipments& industrial goods sector compared to insurance sector the covariance is positive (0.13) which means that the smaller values engineering equipments& industrial goods sector -0.16 mainly correspond with the smaller values of insurance. But here we have an odd situation the covariance should be negative in this case because the smaller values of engineering equipments& industrial goods mainly correspond with the greater values of insurance 0.07, which means that the sector tends to show opposite behavior. Cov (engineering equipments& industrial goods and oil & gas):

In the case of engineering equipments& industrial goods compared to oil & gas the covariance is positive (0.18) which means that the smaller values of engineering equipments& industrial goods (-0.16) mainly correspond with the smaller values oil & gas (-0.18). On other words this means that the engineering equipments& industrial goods sector tends to show similar behavior as oil & gas, which shows that the covariance is a positive number. Cov (engineering equipments& industrial goods and transport):

In the case of engineering equipments& industrial goods sector compared to transport sector the covariance is positive (0.14) which means that the smaller values engineering equipments& industrial goods sector -0.16 mainly correspond with the smaller values of transport. But here we have an odd situation the covariance should be negative in this case because the smaller values of engineering equipments& industrial goods mainly correspond with the greater values of transport 0.002, which means that the sector tends to show opposite behavior. Cov (food producer & processors and forestry & paper):

In the case of food producer & processors sector compared to forestry & paper sector the covariance is positive (0.18) which means that the greater values of food producer & processors sector 0.006 mainly correspond with the greater values of forestry & paper. But here we have an odd situation the covariance should be negative in this case because the greater values of food producer & processors mainly correspond with the smaller values of forestry& paper-0.21, which means that the sector tends to show opposite behavior. Cov (food producer & processors and holding companies):

In the case of food producer & processors sector compared to holding companies sector the covariance is negative (-0.07) which means the returns move inversely. So food producer & processors returns increase by (0.006) and the other sector return decreases by -0.003, which mean that the both sectors tend to show an opposite behavior to each other. Cov (food producer & processors and investment companies & other finance):

In the case of food producer & processors sector compared to investment companies & other finance sector the covariance is negative (-0.17) which means the returns move inversely. But we have an odd situation because the food producer & processors return increases 0.006 and
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the investment companies & other finance return also increases 0.04 which must give a positive covariance which is not the case. Cov (food producer & processors and pharmaceutical industry):

In the case of food producer & processors sector compared to pharmaceutical sector the covariance is positive (0.11) which means that the greater values of food producer & processors sector 0.006 mainly correspond with the greater values of pharmaceutical industry. But here we have an odd situation the covariance should be negative in this case because the greater values of food producer & processors mainly correspond with the smaller values of pharmaceutical industry-0.19, which means that the sector tends to show opposite behavior. Cov (food producer & processors and telecommunications):

In the case of food producer & processors sector compared to telecommunications sector the covariance is negative (-0.04) which means the returns move inversely. So food producer & processors returns increase by (0.006) and the other sector return decreases by -0.038, which mean that the both sectors tend to show an opposite behavior to each other. Cov (forestry & paper and holding companies):

In the case of forestry & paper compared to holding companies the covariance is positive (0.58) which means that the smaller values of forestry & paper (-0.21) mainly correspond with the smaller values holding companies (-0.003). On other words this means that the forestry & paper sector tends to show similar behavior as holding companies, which shows the covariance is a positive number. Cov (forestry & paper and insurance):

In the case of forestry & paper sector compared to insurance sector the covariance is negative (-0.08) which means the returns move inversely. So insurance returns increase by (0.07) and the other sector return decreases by -0.21, which mean that the both sectors tend to show an opposite behavior to each other. Cov (forestry & paper and material software & computer service):

In the case of forestry & paper compared to material software & computer service the covariance is positive (0.09) which means that the smaller values of forestry & paper (-0.21) mainly correspond with the smaller values of material software & computer service (-0.18). On other words this means that the forestry & paper sector tends to show similar behavior as material software & computer service, which shows that the covariance is a positive number.

Cov (holding companies and leisures& hotels):

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In the case of holding companies sector compared to leisures& hotels sector the covariance is negative (-0.15) which means the returns move inversely. So holding companies returns decrease (-0.003) but the other sector return also decreases -0.064, which is an odd situation where the covariance should be positive. Cov (holding companies and material software & computer service):

In the case of holding companies compared to material software & computer service the covariance is positive (0.07) which means that the smaller values of holding companies (0.003) mainly correspond with the smaller values of material software & computer service (0.18). On other words this means that the holding companies sector tends to show similar behavior as material software & computer service, which shows that the covariance is a positive number. Cov ( holding companies and mining):

In the case of holding companies sector compared to mining sector the covariance is positive (0.74) which means that the greater values of mining sector 0.009 mainly correspond with the greater values of holding companies sector. But here we have an odd situation the covariance should be negative in this case because the greater values of mining mainly correspond with the smaller values of holding companies -0.003, which means that the sector tends to show opposite behavior. Cov ( holding companies and real estate):

In the case of holding companies sector compared to real estate sector the covariance is negative (-0.03) which means the returns move inversely. So holding companies returns decrease (-0.003) but the other sector return also decreases -0.07, which is an odd situation where the covariance should be positive. Cov ( holding companies and telecommunications):

In the case of holding companies compared to telecommunications the covariance is positive (0.004) which means that the smaller values of holding companies (-0.003) mainly correspond with the smaller values of telecommunications (-0.038). On other words this means that the holding companies sector tends to show similar behavior as telecommunications, which shows the covariance is a positive number. Cov ( holding companies and utilities):

In the case of holding companies sector compared to utilities sector the covariance is positive (0.35) which means that the greater values of utilities sector 0.10 mainly correspond with the greater values of holding companies sector. But here we have an odd situation the covariance should be negative in this case because the greater values of utilities mainly correspond with the smaller values of holding companies -0.003, which means that the sector tends to show opposite behavior.

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Cov ( insurance and investment companies & other finance):

In the case of insurance compared to investment companies & other finance the covariance is positive (0.08) which means that the greater values of insurance sector (0.07) mainly correspond with the greater values of investment companies & other finance (0.04). On other words this means that the insurance sector tends to show similar behavior as the investment companies & other finance sector, which shows that the covariance is a positive number. Cov ( insurance and leisures& hotels):

In the case of leisures& hotels sector compared to insurance sector the covariance is negative (-0.16) which means the returns move inversely. So insurance returns increase by (0.07) and the other sector return decreases by -0.06, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( insurance and mining):

In the case of insurance compared to mining the covariance is positive (0.007) which means that the greater values of insurance sector (0.07) mainly correspond with the greater values of mining (0.009). On other words this means that the insurance sector tends to show similar behavior as the mining sector, which shows the covariance is a positive number. Cov ( insurance and oil & gas):

In the case of insurance sector compared to oil & gas sector the covariance is positive (0.32) which means that the greater values of insurance sector 0.07 mainly correspond with the greater values of oil &gas sector. But here we have an odd situation the covariance should be negative in this case because the greater values of insurance mainly correspond with the smaller values of oil & gas-0.18, which means that the sector tends to show opposite behavior. Cov (insurance and pharmaceutical industry):

In the case of pharmaceutical sector compared to insurance sector the covariance is negative (-0.30) which means the returns move inversely. So insurance returns increase by (0.07) and the other sector return decreases by -0.19, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( insurance and transport):

In the case of insurance sector compared to transport sector the covariance is negative (-0.43) which means the returns move inversely. But we have an odd situation because the insurance return increases 0.07 and the transport return also increases 0.002 which must give a positive covariance which is not the case. Covariance (leisure and hotels- utilities):
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In the case of the leisure and hotels sector compared to the utilities sector, the covariance is positive (0.504797671) which means that the values of both sectors mainly correspond with each others. But here we have an odd situation, the covariance should be negative as the ER of the leisure and hotels sector is negative (-0.06432), as opposed to the utilities sector that have a positive return (0.10928). Covariance (leisure and hotels- transport):

In the case of the leisure and hotels sector compared to the transport sector, the covariance is positive (0.282089135) which means that the values of both sectors mainly correspond with each others. But here we have an odd situation, the covariance should be negative as the ER of the leisure and hotels sector is negative (-0.06432), as opposed to the transport sector that have a positive return (0.00232). Covariance (leisure and hotels- telecommunications):

In the case of the leisure and hotels sector compared to the transport sector, the covariance is positive (0.092418387) which means that the values of both sectors mainly correspond with each others. On other words this means that the leisure and hotels sector tends to show similar behavior as the telecommunication sector, which shows the covariance is a positive number, as returns of both sectors are negative, the leisure and hotels sector with a value of -0.06432, and the telecommunications sector with a value of -0.038. Covariance (leisure and hotels- real estate):

In the case of the leisure and hotels sector compared to the real estate sector, the covariance is positive (0.042152748) which means that the values of both sectors mainly correspond with each others. On other words this means that the leisure and hotels sector tends to show similar behavior as the real estate sector, which shows the covariance is a positive number, as returns of both sectors are negative, the leisure and hotels sector with a value of -0.06432, and the real estate sector with a value of -0.07048.

Covariance (leisure and hotels- pharmaceutical industry sector):

In the case of the leisure and hotels sector compared to the pharmaceutical industry sector, the covariance is positive (0.105555252) which means that the values of both sectors mainly correspond with each others. On other words this means that the leisure and hotels sector tends to show similar behavior as the pharmaceutical industry sector, as returns of both sectors are negative, the leisure and hotels sector with a value of -0.06432, and the pharmaceutical industry with a value of -0.19472.

Covariance (leisure and hotels- oil & gas sector):

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In the case of the leisure and hotels sector compared to the oil & gas sector, the covariance is positive (0.048997735) which means that the values of both sectors mainly correspond with each others, and they both show similar behavior, as returns of both sectors are negative, the leisure and hotels sector with a value of -0.06432, and the oil & gas sector with a value of 0.18552. Covariance (leisure and hotels- mining sector):

In the case of the leisure and hotels sector compared to the mining sector, the covariance is positive (0.274584529) which means that the values of both sectors mainly correspond with each others, and they both show similar behavior. But here we have an odd situation, as the leisure and hotels sector have a negative return (-0.06432), and the mining sector have a positive return with a value of 0.00904. So the covariance should be negative. Covariance (leisure and hotels- material software and computer service sector):

In the case of the leisure and hotels sector compared to the material software and computer service sector, the covariance is positive (0.277089587) which means that the values of both sectors mainly correspond with each others, and they both show similar behavior, as returns of both sectors are negative, the leisure and hotels sector with a value of -0.06432, and material software and computer service sector with a value -0.18128. Covariance (investment companies and other finance- utilities sector):

In the case of the investment companies and other finance sector compared to the utilities sector, the covariance is positive (0.240660529) which means that the values of both sectors mainly correspond with each others, and they both show similar behavior, as returns of both sectors are positive, investment companies and other finance sector with a value of 0.04784, and utilities sector with a value of 0.10928.

Covariance (investment companies and other finance- transport sector):

In the case of the investment companies and other finance sector compared to the transport sector, the covariance is negative (-0.021696561) which means that the values of both sectors dont correspond with each others, that they show different behavior and they move inversely. But here we have an odd situation, as the investment companies and other finance sector have a positive return (0.04784), and the transportation sector also have a positive return with a value of 0,00232. So the covariance should be positive.

Covariance (investment companies and other finance- telecommunications sector):

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In the case of the investment companies and other finance sector compared to the telecommunication sector, the covariance is positive (0.016708387) which means that the values of both sectors mainly correspond with each others, and they both show similar behavior. But here we have an odd situation, as the investment companies and other finance sector have a positive return (0.04784), and the telecommunications sector have a negative return with a value of-0,038. So the covariance should be negative in this case. Cov ( Transport and utilities):

In the case of transport compared to utilities the covariance is positive (0, 3790) which means that the greater values of transport sector (0.00232) mainly correspond with the greater values of utilities (0.1092). On other words this means that the transport sector tends to show similar behavior as the utilities sector, which shows the covariance is a positive number. Cov ( telecommunication and transport):

In the case of telecommunication sector compared to transport sector the covariance is negative (-0, 1326) which means the returns move inversely. So telecommunication returns decrease (-0.038) and the other sector return increases 0.00232, which mean that the both sectors tend to show an opposite behavior to each other. Cov ( telecommunication and utilities):

In the case of telecommunication sector compared to utilities sector the covariance is positive (0,074) which means that the smaller values of telecommunication mainly correspond with the smaller values of utilities. But here we have an odd situation the covariance should be negative in this case because the smaller values of telecommunication (-0.038) mainly correspond with the greater values of utilities (0.1092), which means that the sector tends to show opposite behavior. Beta Analysis : Beta is used to measure the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. In other words, it gives a sense of the stock's market risk compared to the greater market. Industries which have a Beta of zero their returns change independently of changes in the market's (Masi) returns. A positive beta means that the industrys returns generally follow the market's returns, in the sense that they both tend to be above their respective averages together, or both tend to be below their respective averages together. A negative beta means that the industrys returns generally move opposite the market's returns one will tend to be above its average when the other is below its average. In the case of our assignment Most of Beta results are ranked between (0 and 1) which means that most industries tend to be less volatile than the market (Masi) and have stocks with less price volatility and less risky. The stocks with a beta less than 1 and greater than 0 are less volatile than the market. In other words, during up markets, a stock with a beta less than 1 is expected to increase at a lesser rate than the overall market. Conversely, during down markets, a stock with a beta below 1 would be expected to decline by a lesser amount. A Stock's Beta is the middle line between minimizing the risk of undertaking investment
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activities and maximizing the returns gained. When the value falls between zero and one, the stock is less excitable than the average market. Such stocks can be reliable investments, because they are unlikely to generate losses, but they also won't create significant gains. Industries With0< B<1 Sector Banks Beverages Chemicals Construction distributors electrical Engineering Food producer Holding companies insurance Investment companies Material software mining Oil&Gas Real estate telecommunication Transport Betas 0,5589 0,005298 0,02312965 0,313979172 0,160790013 0,010770205 0,021917908 0,095355024 0,04807659 0,1067154 0,07016531 0,125268929 0,12608981 0,116422 0,26217594 0,442827175 0,0033571

On the other hand, there are only three industries which have a negative Beta less than 0 which means that any investment that added to a portfolio makes the overall risk of the portfolio go down, has a negative beta. A more intuitive way of thinking about this is that a negative beta investment represents insurance against some macroeconomic risk that affects the rest of your portfolio adversely.The stock beta is less than zero; it means that it tends to move in opposition to the market. When market performance goes up, returns stay low, and when market values drop, the stock may generate higher profits than those seen on the open market. Betas <Zero: Sector Forestry&paper Leisures& hotels Betas 0,02495083 -0,00103766

pharmaceuticalindustry -0,038111749

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CAPM Analysis: The general idea behind CAPM is that stockholders need to be rewarded in two ways: time value of money and risk. The time value of money is represented by the risk-free (rf) rate in the formula and compensates the investors for placing money in any security over a period of time. The other half of the formula represents risk and analyzes the amount of compensation the investor needs for taking on additional risk. This is calculated by taking a risk measure (beta) that compares the returns of the industry to the market over a period of time and to the market premium (Rm-rf). The CAPM says that the expected return of a security or a portfolio equals the rate on a riskfree security plus a risk premium. If this expected return does not meet or beat the required return, then the investment should not be undertaken. The security market line plots the results of the CAPM for all different risks (betas). Using the CAPM model and the following assumptions, we can compute the expected return of a stock in this CAPM example: if the risk-free rate is 3,45%, the beta (risk measure) of the stock is0,5588943and the expected market return over the period is -0,03544the stock is expected to return -0,019807.

References:
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Casablanca-bourse.com checked on the mouth of April

Financial management courses

Mr. Adel ElFAKIR; the finance management tutor.

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