NAME : VELU A/L KUMARASAMY

MATRIC NO: KJC1010206

INVESTMENT ANALYSIS
ASSIGNMENT 2

Use the following information and answer the following questions.

1. What are the expected individual returns?

Table 1. Rate of returns in percentage and probabilities.

Genting Probability Maybank Probability Bergaya Probability
-6 0.2 -10 0.15 -3 0.3
10 0.6 20 0.7 6 0.4
15 0.2 30 0.15 10 0.3
Expected Return 7.8 17 4.5

2. What are the individual Standard Deviations?

Genting Maybank
d d d*pr d d
-13.8 190.44 38.1 -27 729.000
2.2 4.84 2.9 3 9.000
7.2 51.84 10.4 13 169
Sum 51.4
Standard Deviation 7.1666
Short Rate Ratio 1.0884

Maybank is earning higher expected return compare to another share. Based on the standard devi

3. Assume that you have RM 100,000 construct one 3 shares portfolio and another 4 share portfo

Genting Maybank Bergaya Proton

Genting 1
Maybank 0.8 1
Bergaya 0.45 0.65 1
Proton 0.25 0.95 0.35 1
 Invested Weight Return Portfolio Return
Genting 30000 0.3 7.8 Variance Genting-Maybank
Maybank 25000 0.25 17 Variance Maybank-Bergaya
Bergaya 45000 0.45 5 Variance Bergaya-Genting
100000 Sum
Portfolio Standard Deviations

s(+1) 21.52

8.84

s(+1) -3.8

When the price of standard deviation is goes up by 1 therefore the profit also will goes up to 21.5

Invested Weight Return Portfolio Return

Genting 35000 0.35 7.8 Variance Genting-Maybank
Maybank 30000 0.3 17 Variance Maybank-Proton
Proton 20000 0.2 5 Variance Proton-Bergaya
Bergaya 15000 0.15 4.5 Variance Bergaya-Genting
100000 Variance Genting-Proton
Variance Maybank-Bergaya
Sum
Portfolio Standard Deviations

s(+1) 20.75

9.5

s(-1) -1.75

When the price of standard deviation is increase by 1 means the profit also will increase by 20.75
After the investor invests in more portfolios, the risk will minimize and then can maximize the re
 Proton Probability
-15 0.25
5 0.5
25 0.25
5

Bergaya Proton
d*pr d d d*pr d d
109.35 -7.5 56.25 16.875 -20 400
6.3 1.5 2.25 0.9 0 0
25.35 5.5 30.25 9.075 20 400
141 26.85
11.8743 5.1817
1.4317 0.8684

er share. Based on the standard deviation aspect, Proton is more risky compare to other because the higher value standard deviati

portfolio and another 4 share portfolio and find out their returns and standard deviations? Use the following correlation table.

Company Correlation
Genting-Maybank 0.8
Genting-Bergaya 0.45
Genting-Proton 0.25
Maybank-Bergaya 0.65
 Maybank-proton 0.95
Bergaya-Proton 0.35

Portfolio Return 8.84

Variance Genting-Maybank 23.6467
Variance Maybank-Bergaya 23.2483
Variance Bergaya-Genting 14.5714
61.466443
Portfolio Standard Deviations 7.8401

e the profit also will goes up to 21.52%. This is the opportunity to sell the share. When the price of standard deviation is decreas

Portfolio Return 9.505

Variance Genting-Maybank 33.2782
Variance Maybank-Proton 39.8339
Variance Proton-Bergaya 10.1430
Variance Bergaya-Genting 8.6504
Variance Genting-Proton 17.8389
Variance Maybank-Bergaya 16.8936
126.63785
Portfolio Standard Deviations 11.2533

the profit also will increase by 20.75%. When the price of standard deviation is decrease by 1 means the investor will lose -1.75%
nimize and then can maximize the return.
 d*pr
100
0
100
200
14.1421
0.3536

her value standard deviation means more risky

wing correlation table.

ndard deviation is decrease by 1 means the investor will lose at - 3.8% .

e investor will lose -1.75%.

 Use the following information and answer the following questions.

Bear Market Normal Market Bull market

Probability 0.25 0.45 0.3
Stock A -10 8 20
Stock B -5 2 10
Stock C -4 8 12

1) What are the expected returns?

2) What are the Standard Deviations?

Stock A d d d*pr
Bear Market -2.5 -17.1 292.41 73.1025 Short Rate Ratio
Normal Market 3.6 0.9 0.81 0.3645
Bull Market 6.0 12.9 166.41 49.923
Expected Return 7.1 Sum 123.39
Standard Deviations 11.1081

Stock B d d d*pr
Bear Market -1.25 -7.65 58.5225 14.630625 Short Rate Ratio
Normal Market 0.9 -0.65 0.4225 0.190125
Bull Market 3.0 7.35 54.0225 16.20675
Expected Return 2.65 Sum 31.027500
Standard Deviations 5.5702

Stock C d d d*pr
Bear Market -1.0 -10.2 104.04 26.01 Short Rate Ratio
Normal Market 3.6 1.8 3.24 1.458
Bull Market 3.6 5.8 33.64 10.092
Expected Return 6.2 Sum 37.56
Standard Deviations 6.1286

Stock A is the higher expected return earned and standard deviation compare to other shares. The h

3) Assume that you have invested RM 45,000 in Stock A, RM 35,000 in stock B and RM 20,000

Invested (RM) Weight Return Correlation

Stock A 45000 0.45 7.1 0.25
Stock B 35000 0.35 2.65 0.4
Stock C 20000 0.20 6.2 0.75
 100000

Portfolio Return 5.3625

4) If the correlation between A,B is 25%, B,C is 40% and C,A is 75% what is the portfolio Standa

Variance Stock A,B 33.6600

Variance Stock B,C 7.2150
Variance Stock C,A 35.6793
Sum 76.5543
Portfolio Standard Deviation 8.7495

s(+1) 14.11

5.36

s(-1) -3.39

If the price of standard deviation is goes up by 1 therefore the profit also will goes up to 14.11%. T
Short Rate Ratio 0.6392

Short Rate Ratio 0.4757

Short Rate Ratio 1.0116

are to other shares. The higher expected return showing that it is good investment but the risk also very high because the higher

n stock B and RM 20,000 in Stock C what is the expected return on your portfolio?
hat is the portfolio Standard Deviation?

will goes up to 14.11%. This is the opportunity to sell the share. When the price of standard deviation is decrease by 1 means the
gh because the higher of the standard deviation means the share price is more risky.
ecrease by 1 means the investor will lose at - 3.39% .
You buy a stock in March 2006 for RM 22 and sell it in Feb 2008 for RM 25 and the company paid divide

RM
Selling Price 25
Buying Price 22
3

Dividden Paid (RM)

Year 1 3.5
Year 2 2.5

Profit + Dividend
HPR = x 100
beginning investment value

40.91%

I m very happy the earning that I get compare I deposit the money in Maybank. The company pays to me
e company paid dividends for 2 years RM 3.50 and 2.50. What is your holding period return?

e company pays to me 20.46% per annum compare to Maybank just pay to me 4% per annum.
Simple average rate of return and geometric average rate of return
Your share earns 12%, 18%, -7%, 4% and -3%. Calculate average rate of return and geometric average rat

Rate
0.12 1.12
0.18 1.18
-0.07 0.93
0.04 1.04
-0.03 0.97
0.24 1.24

Average Rate of Return 4.80%

Geometric Average Rate of Return 4.39%

The average rate of return is 4.8 % and geometric average rate of return is 4.39%
d geometric average rate of return.
Assume your Grand father gives you RM 100,000. You are interested in buying shares. Go to the thestar website and

Date Genting Sime Darby MayBank

4-Jan-10 7.46 9 6.86 Genting Sime Darby MayBank
5-Jan-10 7.61 9 6.9 0.0199 0.0111 0.0058
6-Jan-10 7.7 9 6.9 0.0118 0.0011 0.0000
7-Jan-10 7.63 9 6.88 -0.0091 -0.0011 -0.0029
8-Jan-10 7.54 9 6.92 -0.0119 -0.0033 0.0058
11-Jan-10 7.4 9 6.89 -0.0187 0.0022 -0.0043
12-Jan-10 7.33 9 6.89 -0.0095 -0.0100 0.0000
13-Jan-10 7.39 9 6.87 0.0082 -0.0033 -0.0029
14-Jan-10 7.5 9 6.89 0.0148 0.0045 0.0029
15-Jan-10 7.59 9 6.91 0.0119 -0.0022 0.0029
18-Jan-10 7.53 9 6.88 -0.0079 -0.0011 -0.0044
19-Jan-10 7.57 9 6.88 0.0053 -0.0078 0.0000
20-Jan-10 7.49 9 6.89 -0.0106 0.0034 0.0015
21-Jan-10 7.4 9 6.98 -0.0121 0.0011 0.0130
22-Jan-10 7.28 9 6.91 -0.0163 -0.0045 -0.0101
25-Jan-10 7.3 9 6.9 0.0027 -0.0056 -0.0014
26-Jan-10 7.12 9 6.85 -0.0250 -0.0068 -0.0073
27-Jan-10 6.96 9 6.82 -0.0227 -0.0068 -0.0044
28-Jan-10 7.01 9 6.8 0.0072 -0.0081 -0.0029
29-Jan-10 7.05 9 6.79 0.0057 -0.0151 -0.0015
1-Feb-10 7.05 9 6.79 0.0000 0.0000 0.0000
2-Feb-10 6.97 8 6.8 -0.0114 -0.0059 0.0015
3-Feb-10 7 8 6.9 0.0043 -0.0012 0.0146
4-Feb-10 6.95 8 6.89 -0.0072 -0.0024 -0.0015
5-Feb-10 6.78 8 6.81 -0.0248 -0.0107 -0.0117
8-Feb-10 6.72 8 6.72 -0.0089 -0.0060 -0.0133
9-Feb-10 6.63 8 6.72 -0.0135 0.0012 0.0000
10-Feb-10 6.62 8 6.84 -0.0015 0.0084 0.0177
11-Feb-10 6.62 8 6.83 0.0000 -0.0012 -0.0015
12-Feb-10 6.63 8 6.9 0.0015 0.0024 0.0102
17-Feb-10 6.69 9 6.89 0.0090 0.0118 -0.0015
18-Feb-10 6.54 8 6.89 -0.0227 -0.0012 0.0000
19-Feb-10 6.36 9 6.89 -0.0279 0.0035 0.0000
22-Feb-10 6.36 9 6.96 0.0000 0.0070 0.0101
23-Feb-10 6.32 9 6.98 -0.0063 0.0000 0.0029
24-Feb-10 6.35 9 6.97 0.0047 0.0000 -0.0014
25-Feb-10 6.31 8 6.97 -0.0063 -0.0153 0.0000
1-Mar-10 6.22 9 7.03 -0.0144 0.0176 0.0086
2-Mar-10 6.28 9 7 0.0096 0.0035 -0.0043
 3-Mar-10 6.29 9 6.98 0.0016 -0.0093 -0.0029
4-Mar-10 6.25 9 7.01 -0.0064 -0.0023 0.0043
5-Mar-10 6.65 9 7.4 0.0620 0.0023 0.0541
8-Mar-10 6.85 9 7.52 0.0296 0.0174 0.0161
9-Mar-10 6.7 9 7.41 -0.0221 -0.0012 -0.0147
10-Mar-10 6.81 9 7.48 0.0163 0.0148 0.0094
11-Mar-10 6.7 9 7.42 -0.0163 -0.0137 -0.0081
12-Mar-10 6.59 9 7.33 -0.0166 -0.0104 -0.0122
15-Mar-10 6.6 8 7.32 0.0015 -0.0152 -0.0014
16-Mar-10 6.6 9 7.31 0.0000 0.0082 -0.0014
17-Mar-10 6.66 9 7.29 0.0090 -0.0012 -0.0027
18-Mar-10 6.6 9 7.3 -0.0090 -0.0012 0.0014
19-Mar-10 6.6 8 7.24 0.0000 -0.0106 -0.0083
22-Mar-10 6.61 8 7.28 0.0015 -0.0048 0.0055
23-Mar-10 6.64 9 7.41 0.0045 0.0118 0.0177
24-Mar-10 6.55 9 7.45 -0.0136 0.0024 0.0054
25-Mar-10 6.58 9 7.39 0.0046 0.0105 -0.0081
26-Mar-10 6.69 9 7.42 0.0166 0.0081 0.0041
29-Mar-10 6.72 9 7.5 0.0045 0.0023 0.0107
30-Mar-10 6.73 9 7.46 0.0015 0.0000 -0.0053
31-Mar-10 6.6 9 7.47 -0.0195 0.0011 0.0013
1-Apr-10 6.64 9 7.47 0.0060 -0.0011 0.0000
2-Apr-10 6.62 9 7.49 -0.0030 0.0057 0.0027
5-Apr-10 6.54 9 7.5 -0.0122 0.0000 0.0013
6-Apr-10 6.5 9 7.52 -0.0061 0.0011 0.0027
7-Apr-10 6.43 9 7.55 -0.0108 0.0023 0.0040
8-Apr-10 6.48 9 7.49 0.0077 -0.0046 -0.0080
9-Apr-10 6.51 9 7.49 0.0046 0.0046 0.0000
12-Apr-10 6.52 9 7.5 0.0015 0.0011 0.0013
13-Apr-10 6.51 9 7.51 -0.0015 0.0000 0.0013
14-Apr-10 6.58 9 7.51 0.0107 -0.0034 0.0000
15-Apr-10 6.67 9 7.51 0.0136 -0.0046 0.0000
16-Apr-10 6.6 9 7.44 -0.0106 -0.0034 -0.0094
19-Apr-10 6.54 9 7.4 -0.0091 0.0046 -0.0054
20-Apr-10 6.55 9 7.48 0.0015 0.0080 0.0108
21-Apr-10 6.62 9 7.49 0.0106 0.0057 0.0013
22-Apr-10 6.67 9 7.5 0.0075 0.0056 0.0013
23-Apr-10 6.61 9 7.47 -0.0090 -0.0102 -0.0040
26-Apr-10 6.7 9 7.48 0.0135 -0.0034 0.0013
27-Apr-10 6.73 9 7.49 0.0045 0.0000 0.0013
28-Apr-10 6.6 9 7.45 -0.0195 -0.0023 -0.0054
29-Apr-10 6.71 9 7.48 0.0165 -0.0011 0.0040
30-Apr-10 6.95 9 7.66 0.0351 0.0034 0.0238
 3-May-10 7.11 9 7.63 0.0228 0.0034 -0.0039
4-May-10 6.9 9 7.65 -0.0300 -0.0057 0.0026
5-May-10 6.85 9 7.63 -0.0073 -0.0150 -0.0026
6-May-10 6.75 9 7.58 -0.0147 -0.0058 -0.0066
7-May-10 6.79 9 7.55 0.0059 -0.0012 -0.0040
10-May-10 6.77 9 7.53 -0.0029 -0.0012 -0.0027
11-May-10 6.94 9 7.55 0.0248 0.0081 0.0027
12-May-10 7 9 7.6 0.0086 0.0023 0.0066
13-May-10 7 9 7.72 0.0000 0.0000 0.0157
14-May-10 7.02 8 7.72 0.0029 -0.0473 0.0000
17-May-10 6.97 8 7.68 -0.0071 -0.0012 -0.0052
18-May-10 6.89 8 7.58 -0.0115 0.0024 -0.0131
19-May-10 6.77 8 7.49 -0.0176 -0.0097 -0.0119
20-May-10 6.65 8 7.48 -0.0179 0.0024 -0.0013
21-May-10 6.6 8 7.32 -0.0075 -0.0147 -0.0216
24-May-10 6.54 8 7.25 -0.0091 -0.0340 -0.0096
25-May-10 6.35 8 7.03 -0.0295 -0.0090 -0.0308
26-May-10 6.56 8 6.95 0.0325 -0.0183 -0.0114
27-May-10 6.73 8 7.14 0.0256 0.0298 0.0270
28-May-10 6.73 8 7.14 0.0000 0.0000 0.0000
31-May-10 6.8 8 7.34 0.0103 -0.0103 0.0276
1-Jun-10 6.76 8 7.38 -0.0059 -0.0039 0.0054
2-Jun-10 6.79 8 7.25 0.0044 0.0013 -0.0178
3-Jun-10 6.98 8 7.35 0.0276 0.0129 0.0137
4-Jun-10 6.96 8 7.38 -0.0029 0.0000 0.0041
7-Jun-10 6.81 8 7.31 -0.0218 -0.0038 -0.0095
8-Jun-10 6.91 8 7.39 0.0146 -0.0013 0.0109
9-Jun-10 6.94 8 7.38 0.0043 0.0013 -0.0014
10-Jun-10 7 8 7.41 0.0086 0.0000 0.0041
11-Jun-10 7.04 8 7.43 0.0057 0.0000 0.0027
14-Jun-10 7.06 8 7.45 0.0028 0.0013 0.0027
15-Jun-10 7.17 8 7.46 0.0155 0.0000 0.0013
16-Jun-10 7.25 8 7.44 0.0111 0.0077 -0.0027
17-Jun-10 7.15 8 7.47 -0.0139 0.0051 0.0040
18-Jun-10 7.34 8 7.52 0.0262 0.0088 0.0067
21-Jun-10 7.42 8 7.67 0.0108 0.0211 0.0198
22-Jun-10 7.4 8 7.6 -0.0027 -0.0148 -0.0092
23-Jun-10 7.44 8 7.6 0.0054 0.0161 0.0000
24-Jun-10 7.45 8 7.58 0.0013 -0.0037 -0.0026
25-Jun-10 7.43 8 7.58 -0.0027 -0.0037 0.0000
28-Jun-10 7.39 8 7.59 -0.0054 0.0000 0.0013
29-Jun-10 7.13 8 7.59 -0.0358 -0.0099 0.0000
30-Jun-10 7.12 8 7.56 -0.0014 -0.0025 -0.0040
 1-Jul-10 7.16 8 7.54 0.0056 -0.0266 -0.0026
2-Jul-10 7.25 8 7.57 0.0125 -0.0013 0.0040
5-Jul-10 7.13 8 7.53 -0.0167 -0.0260 -0.0053
6-Jul-10 7.34 8 7.54 0.0290 -0.0106 0.0013
7-Jul-10 7.45 8 7.54 0.0149 0.0185 0.0000
8-Jul-10 7.49 8 7.56 0.0054 0.0104 0.0026
9-Jul-10 7.47 8 7.58 -0.0027 -0.0013 0.0026
12-Jul-10 7.37 8 7.62 -0.0135 0.0026 0.0053
13-Jul-10 7.45 8 7.64 0.0108 0.0013 0.0026
14-Jul-10 7.48 8 7.71 0.0040 0.0167 0.0091
15-Jul-10 7.39 8 7.69 -0.0121 -0.0038 -0.0026
16-Jul-10 7.51 8 7.7 0.0161 -0.0038 0.0013
19-Jul-10 7.53 8 7.69 0.0027 -0.0077 -0.0013
20-Jul-10 7.61 8 7.67 0.0106 -0.0013 -0.0026
21-Jul-10 7.65 8 7.7 0.0052 0.0000 0.0039
22-Jul-10 7.58 8 7.69 -0.0092 -0.0196 -0.0013
23-Jul-10 7.65 8 7.69 0.0092 0.0260 0.0000
26-Jul-10 7.7 8 7.7 0.0065 0.0000 0.0013
27-Jul-10 7.7 8 7.71 0.0000 0.0000 0.0013
28-Jul-10 7.8 8 7.7 0.0129 -0.0039 -0.0013
29-Jul-10 7.85 8 7.7 0.0064 -0.0091 0.0000
30-Jul-10 7.99 8 7.74 0.0177 0.0142 0.0052
2-Aug-10 8 8 7.74 0.0013 -0.0090 0.0000
3-Aug-10 7.94 8 7.74 -0.0075 -0.0013 0.0000
4-Aug-10 7.9 8 7.74 -0.0051 -0.0026 0.0000
5-Aug-10 7.99 8 7.74 0.0113 -0.0237 0.0000
6-Aug-10 7.91 8 7.71 -0.0101 0.0000 -0.0039
9-Aug-10 7.85 8 7.72 -0.0076 0.0119 0.0013
10-Aug-10 7.88 8 7.73 0.0038 0.0000 0.0013
11-Aug-10 7.78 8 7.7 -0.0128 -0.0013 -0.0039
12-Aug-10 7.7 8 7.66 -0.0103 0.0000 -0.0052
13-Aug-10 8.18 8 7.72 0.0605 0.0026 0.0078
16-Aug-10 8.72 8 7.94 0.0639 0.0039 0.0281
17-Aug-10 8.93 8 7.97 0.0238 0.0026 0.0038
18-Aug-10 8.87 8 7.97 -0.0067 0.0130 0.0000
19-Aug-10 8.77 8 8.07 -0.0113 0.0039 0.0125
20-Aug-10 8.61 8 8.13 -0.0184 0.0013 0.0074
23-Aug-10 8.72 8 8.14 0.0127 0.0026 0.0012
24-Aug-10 8.9 8 8.12 0.0204 0.0051 -0.0025
25-Aug-10 8.99 8 8.13 0.0101 -0.0141 0.0012
26-Aug-10 9 8 8.22 0.0011 0.0153 0.0110
27-Aug-10 9.04 8 8.26 0.0044 0.0275 0.0049
30-Aug-10 9.45 8 8.39 0.0444 0.0304 0.0156
 1-Sep-10 9.39 8 8.49 -0.0064 0.0060 0.0118
2-Sep-10 9.48 8 8.5 0.0095 0.0024 0.0012
3-Sep-10 9.22 8 8.45 -0.0278 -0.0168 -0.0059
6-Sep-10 9.29 8 8.42 0.0076 -0.0122 -0.0036
7-Sep-10 9.32 8 8.42 0.0032 0.0024 0.0000
8-Sep-10 9.38 8 8.41 0.0064 0.0000 -0.0012
9-Sep-10 9.41 8 8.42 0.0032 0.0000 0.0012
10-Sep-10 9.41 8 8.42 0.0000 0.0000 0.0000
13-Sep-10 9.57 8 8.51 0.0169 0.0157 0.0106
14-Sep-10 9.99 8 8.76 0.0430 0.0000 0.0290
15-Sep-10 10 8 8.72 0.0010 -0.0048 -0.0046
16-Sep-10 10 8 8.72 0.0000 0.0000 0.0000
17-Sep-10 10 8 8.74 0.0000 -0.0170 0.0023
20-Sep-10 10.18 8 8.71 0.0178 0.0182 -0.0034
21-Sep-10 10.36 8 8.7 0.0175 0.0048 -0.0011
22-Sep-10 10.38 8 8.68 0.0019 0.0000 -0.0023
23-Sep-10 9.93 8 8.62 -0.0443 -0.0012 -0.0069
24-Sep-10 9.75 8 8.58 -0.0183 0.0048 -0.0047
27-Sep-10 9.77 8 8.71 0.0020 0.0036 0.0150
28-Sep-10 9.88 8 8.71 0.0112 -0.0012 0.0000
29-Sep-10 9.9 9 8.71 0.0020 0.0165 0.0000
30-Sep-10 9.92 9 8.8 0.0020 -0.0035 0.0103
1-Oct-10 9.96 9 8.81 0.0040 0.0000 0.0011
4-Oct-10 10.02 9 8.9 0.0060 0.0012 0.0102
5-Oct-10 10.04 9 8.94 0.0020 -0.0012 0.0045
6-Oct-10 10.2 9 8.98 0.0158 0.0070 0.0045
7-Oct-10 10.2 9 8.98 0.0000 0.0000 0.0000
8-Oct-10 10.26 9 8.98 0.0059 0.0035 0.0000
11-Oct-10 10.52 9 8.99 0.0250 0.0127 0.0011
12-Oct-10 10.6 9 9 0.0076 0.0069 0.0011
13-Oct-10 10.46 9 9.01 -0.0133 0.0102 0.0011
14-Oct-10 10.2 9 9.02 -0.0252 -0.0011 0.0011
15-Oct-10 10.2 9 8.88 0.0000 0.0000 -0.0156
18-Oct-10 10.1 9 8.85 -0.0099 -0.0034 -0.0034
19-Oct-10 10.38 9 8.91 0.0273 0.0068 0.0068
20-Oct-10 10.52 9 8.9 0.0134 -0.0023 -0.0011
21-Oct-10 10.6 9 8.92 0.0076 0.0011 0.0022
22-Oct-10 10.5 9 8.9 -0.0095 -0.0045 -0.0022
25-Oct-10 10.42 9 8.93 -0.0076 0.0023 0.0034
26-Oct-10 10.5 9 8.95 0.0076 0.0045 0.0022
27-Oct-10 10.36 9 8.97 -0.0134 -0.0045 0.0022
28-Oct-10 10.28 9 8.98 -0.0078 0.0000 0.0011
29-Oct-10 10.44 9 9 0.0154 -0.0011 0.0022
 1-Nov-10 10.56 9 9 0.0114 0.0045 0.0000
2-Nov-10 10.48 9 8.98 -0.0076 0.0000 -0.0022
3-Nov-10 10.58 9 8.99 0.0095 0.0000 0.0011
4-Nov-10 10.68 9 9 0.0094 0.0067 0.0011
5-Nov-10 10.68 9 9 0.0000 0.0000 0.0000
8-Nov-10 10.8 9 9.1 0.0112 0.0111 0.0110
9-Nov-10 10.8 9 9.29 0.0000 0.0000 0.0207
10-Nov-10 10.68 9 9.27 -0.0112 -0.0033 -0.0022
11-Nov-10 10.6 9 9.1 -0.0075 -0.0067 -0.0185
12-Nov-10 10.16 9 9.2 -0.0424 -0.0101 0.0109
15-Nov-10 10.46 9 9.16 0.0291 -0.0079 -0.0044
16-Nov-10 10.46 9 9.1 0.0000 0.0023 -0.0066
17-Nov-10 10.46 9 9.1 0.0000 0.0000 0.0000
18-Nov-10 10.04 9 8.82 -0.0410 0.0000 -0.0313
19-Nov-10 10.22 9 8.96 0.0178 0.0000 0.0157
22-Nov-10 10.16 9 8.93 -0.0059 0.0023 -0.0034
23-Nov-10 10.04 9 8.79 -0.0119 -0.0137 -0.0158
24-Nov-10 10.12 9 8.7 0.0079 -0.0012 -0.0103
25-Nov-10 10.4 9 8.7 0.0273 0.0046 0.0000
26-Nov-10 10.28 9 8.7 -0.0116 0.0011 0.0000
29-Nov-10 10.22 9 8.68 -0.0059 0.0068 -0.0023
30-Nov-10 10.1 9 8.51 -0.0118 -0.0137 -0.0198
1-Dec-10 10.18 9 8.44 0.0079 -0.0058 -0.0083
2-Dec-10 10.4 9 8.5 0.0214 0.0229 0.0071
3-Dec-10 10.66 9 8.48 0.0247 -0.0091 -0.0024
6-Dec-10 10.7 9 8.41 0.0037 -0.0011 -0.0083
7-Dec-10 10.7 9 8.41 0.0000 0.0000 0.0000
8-Dec-10 10.8 9 8.4 0.0093 0.0046 -0.0012
9-Dec-10 11.06 9 8.43 0.0238 -0.0057 0.0036
10-Dec-10 11.02 9 8.45 -0.0036 -0.0081 0.0024
13-Dec-10 11.06 9 8.48 0.0036 -0.0035 0.0035
14-Dec-10 11.06 9 8.48 0.0000 0.0023 0.0000
15-Dec-10 10.76 9 8.55 -0.0275 0.0012 0.0082
16-Dec-10 10.56 9 8.51 -0.0188 0.0103 -0.0047
17-Dec-10 10.5 9 8.51 -0.0057 0.0000 0.0000
20-Dec-10 10.34 9 8.5 -0.0154 -0.0057 -0.0012
21-Dec-10 10.46 9 8.5 0.0115 0.0011 0.0000
22-Dec-10 10.8 9 8.5 0.0320 0.0023 0.0000
23-Dec-10 10.88 9 8.5 0.0074 -0.0011 0.0000
24-Dec-10 10.82 9 8.49 -0.0055 0.0011 -0.0012
27-Dec-10 10.8 9 8.49 -0.0019 0.0000 0.0000
28-Dec-10 10.98 9 8.49 0.0165 0.0046 0.0000
29-Dec-10 11.16 9 8.55 0.0163 0.0046 0.0070
 30-Dec-10 11.18 9 8.5 0.0018 -0.0011 -0.0059
31-Dec-10 11.18 9 8.5 0.0000 0.0000 0.0000

Mean 0.0016 -0.0001 0.0008

Standard deviation 0.0158 0.0093 0.0087

Genting Sime Darby MayBank

Genting 1
Sime Darby 0.280825758 1
MayBank 0.4726798377 0.3692156444 1

Company Correlation
Genting-Sime Darby 0.28
Genting-Maybank 0.47
Sime Darby-Maybank 0.37

Fund Invested Weight Wi * Ri

Genting 42000 0.42 0.0007
Sime Darby 27000 0.27 0.0000
Maybank 31000 0.31 0.0003
Total 100000 Portfolio Return 0.0009

when the price of standard deviation is goes up by 1,therefore the the profit also goes up to 1.30% .this is the ppurtun

The New portfolio

Fund Invested Weight Wi * Ri

 Genting 50000 0.50 0.0008
Sime Darby 35000 0.35 0.0000
Maybank 15000 0.15 0.0001
Total 100000 Portfolio Return 0.0009

nothing much different with previous portfolio.

to the thestar website and down load the share prices of Genting, Siam Darby and Maybank for one year. Find out daily returns
 Variance Genting-Sime Darby 0.0001
Variance Sime Darby-Maybank 0.0000
Variance Maybank-Genting 0.0001
Sum 0.0001
Portfolio Standard Deviation 0.0121

1.30% .this is the ppurtunity to sell the share .and when the price of standard deviation decrease by 1 ,the investor will lose -1.12

Variance Genting-Sime Darby 0.0001

Variance Sime Darby-Maybank 0.0000
Variance Maybank-Genting 0.0001
Sum 0.0002
Portfolio Standard Deviation 0.0133
Find out daily returns in Ln Log in columnar form and also find out the three mean annual returns, three standard deviations for
investor will lose -1.12%
ree standard deviations for returns and three correlations among them. If you are asked to invest RM 42,000 in Genting RM 27,0
42,000 in Genting RM 27,000 in Siam Darby and RM 31,000 in Maybank, what is the annual return of this portfolio and standar
of this portfolio and standard deviation? If you change the investment as RM 50,000, RM35,000 and RM 15,000 in the same orde
RM 15,000 in the same order what is the new portfolio return and new portfolio standard deviation? Use EXCEL Worksheet for t
se EXCEL Worksheet for the above calculations.