UNIVERSITY OF DHAKA

Title of the Assignment

Beta Calculation of Mercantile Bank Ltd.

Submitted To:
Prof. Dr. Mahmuda Akter
Department of Accounting & Information Systems (AIS)
University of Dhaka
Submission Date: 21/04/2015

Submitted By
Mahmudur Rashid Khandakar
ID: 11428010
Dept : AIS, DU

Course Title: 5412: Security Analysis and Portfolio Management

Executive Summery

About Mercantile Bank

Mercantile Bank Limited emerged as a new commercial bank to provide efficient banking services and to
contribute socio-economic development of the country. The Bank commenced its operation on June 2, 1999.
The Bank provides a broad range of financial services to its customers and corporate clients. The Board of
Directors consists of eminent personalities from the realm of commerce and industries of the country.

Vision, Mission & Objectives

Vision
Would make finest corporate citizen
Mission
Will become most caring, focused for equitable growth based on diversified deployment of
resources and nevertheless would remain healthy and gainfully profitable bank
to increase shareholders' value
to achieve economic value addition
to be market leader in product innovation
to be one of the top three financial institutions in Bangladesh in terms of efficiency
to be one of the top five financial institutions in Bangladesh in terms of market share in all significant market
segments we serve

Objectives
Strategic objectives

Core values
1. Customer delight
Customer satisfaction pervades all our activities. We appreciate that Customers satisfaction
is critical for our success.
2. Innovation
Spurring innovation for reinforcement of our business. Origination and materialization of
change management for attainment of perfection and we believe change is always constant.
3. Ethical Values
We continue to be responsible, ethical, sincere and transparent in our thoughts and actions.
4. Caring for Human Resources
Realization of latent potentialities of employees, respecting individual worth and dignity to
ensure smooth career progression as well as welfare orientation in Human Resources
management policy and practices.
5. Commitment
We always keep high on the agenda our commitment towards valued depositors as their
trustworthy custodian and to maintain the same spirit for all other stakeholders.
6. Socially Responsible

Constant endeavor to act and respond in a socially responsible manner keeping in mind
society and our country.
To care for our environment.

Calculation of Beta
Beta is calculation based on the historical data of the company. Data is
collected from DSE website. Here we consider last six month data from 1jan-2015 to 30-june-2015.
Column 1

Column 2

Column 3

CLOSE PRICE

YCP*

13.7
13.5
13.7
13.6
13.6
13.6
13.5
13.6
13.6
13.5
13.5
13.5
13.5
13.3
13.4

13.7
13.7
13.5
13.7
13.6
13.6
13.6
13.5
13.6
13.6
13.5
13.5
13.5
13.5
13.3

DATE

Column 4

Column 5

Return of
Dsex index
Mercantile
bank (S)
0.0000
4941.51504
-0.01459854
4926.40938
0.014814815
4969.67276
-0.0073
4963.66425
0
4968.7103
0
4943.99046
-0.0074
4956.92845
0.007407407
4969.73396
0
4951.68965
-0.0074
4956.0912
0
4917.3752
0
4867.08477
0.0000
4856.94857
-0.014814815
4783.21231
0.007518797
4797.9551
-0.0075
4716.76186

1/1/2015
1/5/2015
1/6/2015
1/7/2015
1/8/2015
1/11/2015
1/12/2015
1/13/2015
1/14/2015
1/15/2015
1/18/2015
1/19/2015
1/20/2015
1/21/2015
1/22/2015
1/25/2015

13.3

13.4

1/26/2015

13.5

13.3

0.015037594

4708.33448

1/27/2015

13.5

13.5

4757.10193

1/28/2015

13.5

13.5

0.0000

4747.63694

1/29/2015

13.5

13.5

4724.04933

2/1/2015

13.4

13.5

-0.007407407

4654.95482

2/2/2015

13.5

13.4

0.0075

4618.43083

2/3/2015

13.6

13.5

0.007407407

4656.47297

2/4/2015

13.4

13.6

-0.014705882

4668.05741

2/5/2015

13.5

13.4

0.0075

4685.03912

2/8/2015

13.3

13.5

-0.014814815

4701.60277

2/9/2015

13.3

13.3

4712.56799

2/10/2015

13.3

13.3

0.0000

4786.69084

2/11/2015

13.5

13.3

0.015037594

4810.5356

2/12/2015

13.4

13.5

-0.007407407

4841.72102

2/15/2015

13.3

13.4

-0.0075

4831.17847

2/16/2015

13.2

13.3

-0.007518797

4769.47469

2/17/2015

13.4

13.2

0.015151515

4800.40753

2/18/2015

13.5

13.4

0.0075

4802.27251

2/19/2015

13.5

13.5

4788.23159

2/22/2015

13.4

13.5

-0.007407407

4802.17737

2/23/2015

13.3

13.4

-0.0075

4808.64143

2/24/2015

13.3

13.3

4801.14935

2/25/2015

13.1

13.3

-0.015037594

4742.22104

2/26/2015

13.1

13.1

0.0000

4763.21716

3/1/2015

13.2

13.1

0.007633588

4739.65132

3/2/2015

13.2

13.2

4719.40525

3/3/2015

13.2

13.2

0.0000

4695.79566

3/4/2015

13.2

13.2

4681.53745

3/5/2015

13.1

13.2

-0.007575758

4664.91

3/8/2015

12.9

13.1

-0.0153

4624.94864

3/9/2015

12.6

12.9

-0.023255814

4626.22514

3/10/2015

12.6

12.6

4649.30292

3/11/2015

12.5

12.6

-0.0079

4585.7254

3/12/2015

12.1

12.5

-0.032

4556.94248

3/15/2015

11.9

12.1

-0.016528926

4536.39755

3/16/2015

11.6

11.9

-0.0252

4477.99871

3/18/2015

11.6

11.6

4442.81544

3/19/2015

11.9

11.6

0.025862069

4468.02171

3/22/2015

11.8

11.9

-0.0084

4533.21272

3/23/2015

11.7

11.8

-0.008474576

4506.55716

3/24/2015

12.1

11.7

0.034188034

4493.40496

3/25/2015

12.4

12.1

0.0248

4509.30259

3/29/2015

12.5

12.4

0.008064516

4558.08122

3/30/2015

12.5

12.5

4509.28185

3/31/2015

12.4

12.5

-0.0080

4530.48314

4/1/2015

12.3

12.4

-0.008064516

4513.107

4/2/2015

12.3

12.3

4472.13767

4/5/2015

12

12.3

-0.0244

4431.10984

4/6/2015

11.9

12

-0.008333333

4397.25843

4/7/2015

11.9

11.9

4345.03166

4/8/2015

11.7

11.9

-0.0168

4347.13862

4/9/2015

11.7

11.7

4345.89429

4/12/2015

10.8

11.7

-0.076923077

4305.26646

4/13/2015

10.7

10.8

-0.0093

4291.62503

4/15/2015

10.9

10.7

0.018691589

4360.49682

4/16/2015

11

10.9

0.009174312

4373.33941

4/19/2015

11.3

11

0.0273

4373.65684

4/20/2015

11.4

11.3

0.008849558

4308.44831

4/21/2015

11.6

11.4

0.01754386

4283.24786

4/22/2015

11.4

11.6

-0.0172

4252.94666

4/23/2015

10.9

11.4

-0.043859649

4192.20744

4/26/2015

10.4

10.9

-0.04587156

4094.47983

4/27/2015

10.8

10.4

0.0385

4118.48696

4/29/2015

11.2

10.8

0.037037037

4099.20548

4/30/2015

11.2

11.2

4047.28611

5/4/2015

10.8

11.2

-0.0357

3959.73776

5/5/2015

11.4

10.8

0.055555556

4014.3708

5/6/2015

11.4

11.4

4089.88449

5/7/2015

10.5

11.4

-0.0789

4122.32408

5/10/2015

10.6

10.5

0.00952381

4277.05335

5/11/2015

11.5

10.6

0.08490566

4349.22024

5/12/2015

11.3

11.5

-0.0174

4326.61252

5/13/2015

10.8

11.3

-0.044247788

4342.66238

5/14/2015

10.4

10.8

-0.037037037

4314.8897

5/17/2015

10.3

10.4

-0.0096

4315.99655

5/18/2015

10.2

10.3

-0.009708738

4407.42899

5/19/2015

10.5

10.2

0.029411765

4459.28596

5/20/2015

10.4

10.5

-0.0095

4455.57281

5/21/2015

10.5

10.4

0.009615385

4483.28209

5/24/2015

10.4

10.5

-0.00952381

4484.62218

5/25/2015

10.7

10.4

0.0288

4615.01886

5/26/2015

10.6

10.7

-0.009345794

4627.16596

5/27/2015

10.7

10.6

0.009433962

4616.12026

5/28/2015

10.4

10.7

-0.0280

4544.70874

5/31/2015

10.4

10.4

4586.95109

6/1/2015

10.5

10.4

0.009615385

4623.63092

6/2/2015

10.4

10.5

-0.0095

4586.84642

6/4/2015

10.3

10.4

-0.009615385

4591.42763

6/7/2015

10.3

10.3

4617.70227

6/8/2015

10.3

10.3

0.0000

4542.27138

6/9/2015

10.1

10.3

-0.019417476

4513.97584

6/10/2015

10.1

10.1

4556.68882

6/11/2015

10.1

10.1

0.0000

4515.13551

6/14/2015

10.3

10.1

0.01980198

4453.36798

6/15/2015

10.4

10.3

0.009708738

4477.55863

6/16/2015

10.4

10.4

0.0000

4506.71651

6/17/2015

10.4

10.4

4527.4186

6/18/2015

10.3

10.4

-0.009615385

4519.85056

6/21/2015

10.2

10.3

-0.0097

4511.46689

6/22/2015

10.2

10.2

4503.9862

6/23/2015

10.1

10.2

-0.009803922

4489.45775

6/24/2015

10.2

10.1

0.0099

4457.24473

6/25/2015

9.9

10.2

-0.029411765

4455.28288

6/28/2015

10

9.9

0.01010101

4502.22043

6/29/2015

10

10

0.0000

4531.9885

6/30/2015

10.2

10

0.02

4583.10991

Column 6

Column 7

Column 8

Column 9

Column 10

I0-I1

index return (I)

S*S

I*I

S*I

76.55058
-15.10566

0.015735075
-0.003056888

0.000247593
9.34457E-06

43.26338

0.00878193

0
4.4626108E05
0.000130103

-6.00851
5.04605
-24.71984

-0.001209035
0.001016598
-0.004975102

0
0.00021311
7
0.00021947
9
5.32793E-05
0
0

12.93799
12.80551
-18.04431
4.40155

0.002616912
0.002583356
-0.00363084
0.000888899

5.40657E-05
5.48697E-05
0
5.40657E-05

6.84823E-06
6.67373E-06
1.3183E-05
7.90141E-07

-38.716
-50.29043
-10.1362
-73.73626

-0.007811801
-0.010227088
-0.002082602
-0.015181602

6.10242E-05
0.000104593
4.33723E-06
0.000230481

14.74279
-81.19324
-8.42738

0.003082194
-0.016922468
-0.001786688

48.76745

0.010357686

0
0
0
0.00021947
9
5.65323E-05
5.56917E-05
0.00022612
9
0

-9.46499
-23.58761

-0.001989655
-0.004968284

0
0

3.95873E-06
2.46838E-05

7.71223E-05
1.46177E-06
1.03347E-06
2.47516E-05

9.49992E-06
0.00028637
3.19225E-06
0.000107282

8.82508E-06
0
0.0000000E+
00
-1.9242E-05
1.9136E-05
0
-6.5360191E06
0
0
0
2.2491262E04
2.31744E-05
0.000126287
-2.68675E-05
0.0000000E+
00
0
0

-69.09451
-36.52399

-0.014626119
-0.007846261

5.48697E-05
5.56917E-05

0.000213923
6.15638E-05

38.04214
11.58444

0.008237027
0.002487814

6.78486E-05
6.18922E-06

16.98171
16.56365

0.003637854
0.003535435

10.96522
74.12285
23.84476

0.00233223
0.01572876
0.004981471

31.18542

0.006482733

5.48697E-05
0.00021626
3
5.56917E-05
0.00021947
9
0
0
0.00022612
9
5.48697E-05

-10.54255
-61.70378
30.93284

-0.002177439
-0.012771993
0.006485586

1.86498

1.3234E-05
1.24993E-05
5.4393E-06
0.000247394
2.4815E-05
4.20258E-05
4.74124E-06
0.000163124
4.20628E-05

0.000388505

5.56917E-05
5.65323E-05
0.00022956
8
5.56917E-05

-14.04092
13.94578
6.46406
-7.49208

-0.002923807
0.002912512
0.001346069
-0.001558045

0
5.48697E-05
5.56917E-05
0

8.54865E-06
8.48272E-06
1.8119E-06
2.4275E-06

-58.92831

-0.012273792

0.000150646

20.99612
-23.56584
-20.24607

0.004427487
-0.004947463
-0.004271637

0.00022612
9
0
5.82717E-05
0

-23.60959
-14.25821
-16.62745
-39.96136

-0.005002662
-0.003036378
-0.003551707
-0.008566373

2.50266E-05
9.21959E-06
1.26146E-05
7.33827E-05

1.2765

0.000276003

23.07778
-63.57752
-28.78292

0.004988469
-0.013674635
-0.006276634

0
0
5.73921E-05
0.00023308
7
0.00054083
3
0
6.29882E-05
0.001024

-20.54493

-0.00450849

-58.39884

-0.012873396

-35.18327
25.20627

-0.007856918
0.00567349

0.00027320
5
0.00063554
8
0
0.00066884
7

1.50936E-07

1.96026E-05
2.44774E-05
1.82469E-05

7.61777E-08
2.48848E-05
0.000186996
3.93961E-05

0.000108342
-5.8554186E05
6.1015E-05
-3.65855E-05
2.71482E-05
-5.2376811E05
0
0
7.49093E-05
-4.8020248E05
1.62495E-05
9.603E-05
9.82665E-05
2.8992874E06
0
-2.15742E-05
-1.00453E-05
0.0000000E+
00
0.000184568
0
-3.77669E-05
0.0000000E+
00
0
0
2.69069E-05
1.3078432E04
-6.41868E-06

2.03265E-05

0
0.000108529
2.0085229E04
7.45205E-05

0.000165724

0.000324539

6.17312E-05
3.21885E-05

0
1.4672820E04

65.19101
-26.65556
-13.1522

0.014590576
-0.005880059
-0.002918458

15.89763

0.003537992

48.77863
-48.79937
21.20129
-17.37614

0.010817334
-0.010706121
0.0047017
-0.003835383

-40.96933
-41.02783

-0.009077855
-0.009174098

-33.85141
-52.22677

-0.007639488
-0.011877121

2.10696

0.000484912

-1.24433
-40.62783
-13.64143

-0.000286241
-0.009348555
-0.003168545

68.87179

0.016047951

12.84259
0.31743

0.002945213
7.2583E-05

-65.20853

-0.014909384

-25.20045

-0.005849078

-30.3012

-0.007074351

-60.73922

-0.014281679

-97.72761

-0.02331173

24.00713
-19.28148

0.005863292
-0.00468169

-51.91937
-87.54835

-0.012665715
-0.021631372

54.63304
75.51369
32.43959

0.013797136
0.018810841
0.007931664

154.72927

0.037534475

7.06165E-05
7.18184E-05
0.00116882
2
0.00061471
2
6.50364E-05
0
6.4E-05
6.50364E-05

0.000212885
3.45751E-05
8.5174E-06

-0.00012261
4.9831E-05
-9.97764E-05

1.25174E-05

0
0.00059488
4
6.94444E-05
0

8.24074E-05
8.41641E-05

8.7718805E05
8.72366E-05
0
-3.76136E-05
3.0930512E05
0
0.000223758

0.00028246
6
0
0.00591716
8.57339E-05

0.000117015
0.000114621
2.2106E-05
1.47102E-05

5.83618E-05
0.000141066
2.3514E-07

0.00034937
5
8.4168E-05
0.00074380
2
7.83147E-05

0.000257537

0
0.00071912
2.9338379E05
0.000299962

8.67428E-06
5.26829E-09

2.70203E-05
1.97954E-06

0.00022229

0.00030778
7
0.00029726
5
0.00192366
9
0.0021042

3.42117E-05

-1.3194145E04
-0.000102615

5.00464E-05

0.000121972

0.000203966

0.000626389

0.000543437

1.0693454E03
0.000225511
-0.000173396

0.00147929
0.00137174
2
0
0.00127551
0.00308642
0
0.00623268
7
9.07029E-05

8.1934E-08
8.73955E-05
1.00397E-05

6.36624E-05
0.0000000E+
00
-8.14979E-06

3.43782E-05
2.19182E-05
0.00016042
0.000467916
0.000190361
0.000353848
6.29113E-05
0.001408837

0
7.7254899E04
0.000766508
0
-0.000626184
3.5747119E04

72.16689

0.016873039

0.00720897
1
0.00030245
7
0.00195786
7
0.00137174
2
9.24556E-05
9.42596E-05
0.00086505
2
9.07029E-05

0.000284699

0.001432617

-22.60772

-0.005198109

2.70203E-05

9.04019E-05

16.04986

0.003709567

1.37609E-05

-0.00016414

-27.77268

-0.006395312

4.09E-05

2.3686340E04
-2.46653E-06
-0.000205675
0.000346053

1.10685
91.43244
51.85697

0.000256519
0.021184549
0.01176581

-3.71315

-0.000832678

27.70928
1.34009
130.39668

0.006219016
0.000298908
0.029076403

9.24556E-05
9.07029E-05
0.00083210
1
8.73439E-05

3.86762E-05
8.93461E-08
0.000845437

12.1471

0.00263208

-11.0457
-71.41152

-0.002387142
-0.01547003

5.69844E-06
0.000239322

0.009294842
0.00799656

8.89996E-05
0.00078609
5
0
9.24556E-05

42.24235
36.67983
-36.7845
4.58121
26.27464
-75.43089

-0.00795576
0.000998771
0.005722543
-0.016335157

9.07029E-05
9.24556E-05
0
0

6.32941E-05
9.97544E-07
3.27475E-05
0.000266837

-28.29554

-0.006229381

3.88052E-05

42.71298
-41.55331
-61.76753

0.009462386
-0.00911919
-0.013680105

24.19065
29.15788
20.70209
-7.56804

0.00543199
0.006512004
0.004593608
-0.001671602

0.00037703
8
0
0
0.00039211
8
9.42596E-05
0
0
9.24556E-05

-8.38367
-7.48069
-14.52845
-32.21302

-0.001854856
-0.00165815
-0.003225687
-0.007175259

9.42596E-05
0
9.61169E-05
9.80296E-05

3.44049E-06
2.74946E-06
1.04051E-05
5.14843E-05

-1.96185

-0.000440149

1.93731E-07

46.93755

0.010535257

0.00086505
2
0.00010203

0
0
-2.7089318E04
5.27378E-05
0
0
1.6073092E05
1.80083E-05
0
3.16244E-05
-7.1042164E05
1.29455E-05

0.000110992

0.000106417

6.58019E-08
0.000448785
0.000138434
6.93353E-07

6.92785E-06

8.63941E-05
6.3945E-05

8.95367E-05
8.31596E-05
0.000187145
2.95065E-05
4.24062E-05
2.11012E-05
2.79425E-06

7.9302681E06
5.97982E-05
-2.84675E-06
0.000838742
-2.4598881E05
-2.25202E-05
0.000433739
0
7.6890001E05
7.57691E-05
-9.60357E-06
0
0.0000000E+
00
0.000120959

29.76807
51.12141

0.006611864
0.011280128

Formula of Standard Deviation =

0
0.0004

4.37167E-05
0.000127241

0
2.2560256E04

(NX - (X) )/N

2

SD of Stock: 0.020566943
SD of Index: 0.009732811
Correlation of Stock and Index: 0.391552561
Beta: 0.82741142

(Note: Above all the calculation done by using excel formula )

From above calculation we see that beta of Mercantile Bank is
0.82741142.

Reference
Bodie, Z., Kane, A., & Marcus, A. J. (2009). Investments (6th ed.). New
York: McGraw-Hill
DSE website