Investment and Portfolio Management

Computation of Monthly Rate of Retuen for 2016

Dewaan Salman KSE INDEX 100

Date Closing Price (Rs.) Divident Return % Date Closing Price (Rs.) Divident Return %
1-Sep 3.90 1-Sep 32,287.41
1-Oct 2.87 (26.41) 1-Oct 34,261.60 6.11
1-Nov 2.81 (2.09) 1-Nov 32,255.20 (5.86)
1-Dec 2.39 (14.94) 1-Dec 32,816.31 1.74
1-Jan 2.07 (13.30) 1-Jan 31,298.60 (4.62)
1-Feb 1.90 (8.21) 1-Feb 31,369.51 0.23
1-Mar 1.80 (5.26) 1-Mar 33,139.00 5.64
1-Apr 2.11 17.20 1-Apr 34,719.29 4.77
1-May 2.18 3.31 1-May 36,061.56 3.87
1-Jun 2.57 17.88 1-Jun 37,783.54 4.78
1-Jul 2.15 (16.34) 1-Jul 39,528.82 4.62
1-Aug 2.12 (1.39) 1-Aug 39,809.58 0.71
1-Sep 4.10 93.39 1-Sep 40,541.81 1.84
Expected Rate of Return 3.65 Expected Rate of Return 1.83

Assignment# 02 Nov 02, 2016

Tania Shaheen 01 BBA-7
FA13-BS (BA)-019
 Investment and Portfolio Management

Computation of Covariance of Returns for Dewaan Salman and KSE Index 100 :2016
Rows 1 2 3 4 5 6 7=3*5
Dewan Salman KSE INDEX 100 Dewaan Salman KSE Index 100
Dewan KSE INDEX
Date Salman 100 R-E ( R ) [R-E ( R )]2 R-E ( R ) [R-E ( R )]2 R-E ( R )* R-E ( R )
1-Oct (26.41) 6.11 (30.06) 903.60 4.28 18.32 (128.66)
1-Nov (2.09) (5.86) (5.74) 32.94 (7.69) 59.14 44.14
1-Dec (14.94) 1.74 (18.59) 345.58 (0.09) 0.01 1.67
1-Jan (13.30) (4.62) (16.95) 287.30 (6.45) 41.60 109.33
1-Feb (8.21) 0.23 (11.86) 140.65 (1.60) 2.56 18.98
1-Mar (5.26) 5.64 (8.91) 79.38 3.81 14.51 (33.95)
1-Apr 17.20 4.77 13.55 183.60 2.94 8.64 39.84
1-May 3.31 3.87 (0.34) 0.11 2.04 4.16 (0.69)
1-Jun 17.88 4.78 14.23 202.49 2.95 8.70 41.98
1-Jul (16.34) 4.62 (19.99) 399.60 2.79 7.78 (55.77)
1-Aug (1.39) 0.71 (5.04) 25.40 (1.12) 1.25 5.64
1-Sep 93.39 1.84 89.74 8,053.26 0.01 0.00 0.90
E (R )= 3.65 1.83 Sum= 10,653.91 Sum= 166.68 43.41

Variance= 887.82 Variance= 13.890

Standard Deviation= 29.79 Standard Deviation= 3.726 Cov (DS*KSE)=43.41/12 =3.61

Assignment#02 Nov 02,2016

Tania Shaheen 02 BBA-7
FA13-BS (BA)-019
 Investment and Portfolio Management

Coefficient of Correlatio= 0.033

Assignment#02 Nov 02,2016

Tania Shaheen 02 BBA-7
FA13-BS (BA)-019
Computation of E (R) and σ of Portfolio with Constant Correlation and Varying Weights
Cases W₁ W₂ E(R)ᵨₒᵣ
A 1 0 0.037
B 0.9 0.1 0.035
C 0.8 0.2 0.033
D 0.7 0.3 0.031
E 0.6 0.4 0.029
F 0.5 0.5 0.027
G 0.4 0.6 0.026
H 0.3 0.7 0.024
I 0.2 0.8 0.022
J 0.1 0.9 0.020
K 0 1 0.018
relation and Varying Weights
σᵨₒᵣ Assets E(R) Stand. Dev (σ) Coff. of Correlation
0.297 Dewaan Salman 0.037 0.298
0.267 KSE Index 100 0.018 0.037 0.033
0.238
0.208
Standard Deviation of Portolio
0.179
0.040
0.150
0.121 0.035
0.030

Expected Return
0.094
0.067 0.025
0.020 Standa rd Devi ation of
0.045 Portol i o
0.036 0.015
0.010
0.005
0.000
0.000 0.050 0.100 0.150 0.200 0.250 0.300 0.350

Standard Deviation
 Cov1,2

3.61

olio

Standa rd Devi ation of

Portol i o

50