Welcome to the

Presentation

Efficient Portfolio
Construction
Selected Companies
Company Name

Industry

National Bank Limited (NBL)

Banking

Lankabangla Finance Ltd.

Non-Banking

Eastern Cables

Engineering

Atlas Bangladesh

Apex Foods

Food

Sonali Aansh

Jute

Pharma Aids

Pharmaceuticals

Reliance Insurance

Insurance

Aramit Cement

Cement

Tallu Spinning

Textile

Criteria for Security Selection
Must be listed in DSE before January, 2006
Must be A category stock
Must be the industry leader or closest competitor
to the industry leader
Company must be in the growth stage

P/E Ratio of Securities

From January 2007 to December 2011

Price & Dividend are encoded from
DSE Data Archive
Risk Free Rate
Calculation

year

Six month T-Bill

Monthly Yield

2011

0.0651

0.00542

2010

0.0485

0.00404

2009

0.0575

0.00479

2008

0.0583

0.00483

2007

0.0582

0.00485

Risk Free Rate

0.004778

Price and Dividend Adjustment
MS Excel
Return Calculation
Correlation Matrix
Company
Name
NBL
Eastern
Cables
Apex
Foods
Sonali
Aansh
Pharma
Aids
Reliance
Insurance
Lankabangla
Finance
Aramit
Cement
Atlas
Bangladesh
Tallu
Spinning
NBL 1.000
Eastern
Cables
0.207 1.000
Apex Foods -0.137 0.419 1.000
Sonali Aansh 0.095 0.196 0.306 1.000
Pharma Aids 0.099 0.149 0.188 0.203 1.000
Reliance
Insurance
0.128 0.304 0.283 0.206 0.407 1.000
Lankabangla
Finance
0.237 0.033 0.127 -0.061 0.011 0.215 1.000
Aramit
Cement
-0.029 0.215 0.578 0.482 0.141 0.412 0.176 1.000
Atlas
Bangladesh
-0.062 0.285 0.155 0.099 0.451 0.350 0.073 0.128 1.000
Tallu
Spinning
-0.057 0.157 0.265 0.379 0.419 0.476 -0.016 0.431 0.249 1.000
Return & Risk
Equally Weighted Portfolio
With SS

Excess Portfolio Return

5.75%
Portfolio Variance

0.0243
Portfolio Standard
Deviation

15.60%
Theta ()

0.3684
Portfolio Return

6.23%
Maximum Theta ()
With SS

No SS

Excess Portfolio
Return

7.96% 6.61%
Portfolio Variance

0.0292 0.0247
Portfolio Standard
Daviation

17.09% 15.73%
Theta ()

0.47 0.42
Portfolio Return

8.44% 7.08%
Asset
With
Short Sell
With
Short Sell
NBL
0.07 0.00
Eastern Cables
0.05 0.07
Apex Foods
-0.36 0.00
Sonali Aansh
0.06 0.06
Pharma Aids
0.01 0.06
Reliance
Insurance
0.08 0.01
Lankabangla
Finance Ltd.
0.39 0.41
Aramit Cement
0.37 0.29
Atlas
Bangladesh
0.24 0.00
Tallu Spinning
0.09 0.10
No SS

With SS

Excess Portfolio
Return

5.52% 5.52%
Portfolio Variance

0.0157 0.0157
Portfolio Standard
Daviation

12.51% 12.53%
Theta ()

0.4413 0.4407
Portfolio Return
(Given)

6.00% 6.00%
Asset
Without
Short Sell
With
Short Sell
NBL
0.12 0.12
Eastern Cables
0.10 0.09
Apex Foods
0.01 0.01
Sonali Aansh
0.02 0.02
Pharma Aids
0.00 -0.01
Reliance
Insurance
0.08 0.09
Lankabangla
Finance Ltd.
0.25 0.25
Aramit Cement
0.19 0.18
Atlas
Bangladesh
0.17 0.18
Tallu Spinning
0.06 0.06
Manimum Risk
(Standard Deviation)


With SS

No SS

Excess Portfolio
Return

2.94% 3.16%
Portfolio Variance

0.0108 0.0112
Portfolio Standard
Daviation

10.38% 10.60%
Theta ()

0.2831 0.2987
Portfolio Return

3.42% 3.64%
Asset
With
Short Sell
With out
Short Sell
NBL
0.17 0.16
Eastern Cables
0.14 0.17
Apex Foods
0.41 0.38
Sonali Aansh
-0.02 0.00
Pharma Aids
-0.04 0.00
Reliance
Insurance
0.09 0.07
Lankabangla
Finance Ltd.
0.10 0.12
Aramit Cement
-0.01 0.00
Atlas
Bangladesh
0.11 0.08
Tallu Spinning
0.04 0.01
Manimum Risk
(Standard Deviation)
With Given Return 6%

With SS

No SS

Excess Portfolio Return

5.52% 5.52%
Portfolio Variance

0.0157 0.0157
Portfolio Standard
Daviation

12.51% 12.53%
Theta ()

0.4413 0.4407
Portfolio Return

6% 6%
Asset
With
Short Sell
With out
Short Sell
NBL
0.12 0.12
Eastern Cables
0.09 0.10
Apex Foods
0.01 0.01
Sonali Aansh
0.02 0.02
Pharma Aids
-0.01 0.00
Reliance
Insurance
0.09 0.08
Lankabangla
Finance Ltd.
0.25 0.25
Aramit Cement
0.18 0.19
Atlas
Bangladesh
0.18 0.17
Tallu Spinning
0.06 0.06
Performance
Given Return 6% Monthly
Max
No
SS
Max
with
SS
Min
Risk
SS
Min
Risk
No SS
Max
No
SS
Max
with
SS
Min
Risk
SS
Min
Risk
No SS
Portfolio
Return ()
0.8500 1.0125 0.4102 0.4371 0.7200 0.7200 0.7200 0.7200
portfolio
0.3294 0.1709 0.1038 0.1060 0.1253 0.1251 0.1251 0.1253
Rf
0.0573 0.0573 0.0573 0.0573 0.0573 0.0573 0.0573 0.0573
Market
Return
0.1157 0.1157 0.1157 0.1157 0.1157 0.1157 0.1157 0.1157
Market
Stdv
0.0972 0.0972 0.0972 0.0972 0.0972 0.0972 0.0972 0.0972
Performance
Given Return 6% Monthly
Max
No SS
Max
with SS

Min
Risk
SS
Min
Risk No
SS
Max
No SS

Max
with SS

Min
Risk
SS
Min
Risk No
SS
Overall
Performance
0.7926 0.9551 0.3528 0.3798 0.6627 0.6627 0.6627 0.6627
Selectivity
Return
0.7859 0.9551 0.3528 0.3798 0.6627 0.6627 0.6627 0.6627
Diversification
0.1910 0.1026 0.0624 0.0636 0.0752 0.0751 0.0751 0.0752
Net Selectivity
0.5948 0.8525 0.2905 0.3161 0.5874 0.5875 0.5875 0.5874
Performance
Given Return 6% Monthly
Max
No SS
Max
with SS
Min
Risk
SS
Min
Risk No
SS
Max
No SS
Max
with SS
Min
Risk
SS
Min
Risk No
SS
Treynor
6.8264 9.5512 3.5282 3.7977 6.6267 6.6267 6.6267 6.6267
Treynor's
Benchmark
0.0583 0.0583 0.0583 0.0583 0.0583 0.0583 0.0583 0.0583
Sharpe
2.4063 5.5901 3.3976 3.5844 5.2887 5.2962 5.2962 5.2887
Sharpe
Benchmark
0.6005 0.6005 0.6005 0.6005 0.6005 0.6005 0.6005 0.6005
Jensen
0.7859 0.9483 0.3460 0.3730 0.6559 0.6559 0.6559 0.6559
Thank You