Chapter 01: Introduction

1. Origin of the report

This report is prepared for the requirement of BBA program under Department of Finance,
University of Dhaka of course F-407: Portfolio Management under the Academic
supervision of our course teacher, Md Sajib Hossain, CFA, Assistant Professor,
Department of Finance, University of Dhaka.

And the topic is “Portfolio Construction and Security Analysis”. While preparing the
report, I gave my best effort to incorporate the theoretical aspect of the subject. The report
contains the information on the assigned topic collected from different sources. Such as-
Websites, Wikipedia, Different books etc.

1.1 Objective

The main objective of preparing this report are:

• To learn to analyze securities from different sectors from various aspects

• To construct a portfolio based on the analysis and evaluating it

1.2 Scope of the Report:

The area of my study has been encompassed with conceptual analysis and in real-world
application on efficient frontier. Security analysis is a crucial part of the overall
portfolio construction process and this report covers that part.

1.3 Methodology of the Report:

This study was basically prepared on the basis of the publicly available & published
information about 29 stocks from the Dhaka Stock Exchange. Based on this secondary data,
accumulated perception has been developed.

18 companies from various industries have been selected which are listed in Dhaka Stock
Exchange (DSE), some assumption has been made for the overall analysis.

1
1.6 Limitations of the Report:

• Inability to verify the authenticity of the secondary information

• Lack of prior familiarity with the efficient frontier construction
• I carried out such a study for the first time, so lack of experience and knowledge
on behavioral finance is one of the main constraints of the study.

Lastly, I would like to seek pardon for any unintentional error which may exist in the report.

2
Chapter 02: Theoretical Background
2.1 Portfolio Risk

Portfolio risk is a likelihood that the assembly of assets or units will fail to meet financial
objectives within the investments. Each asset conveys its own risk within a set, with higher
potential returns involving higher risk. Theoretically, diversification will reduce investment
risk: owning securities combinations that do not function in the same direction to return a
profit. Actually, though, it is more feasible that risks can be minimized but not eliminated
fully.

2.2 Portfolio Return

Portfolio return refers to the gain or loss realized by a portfolio containing several types of
assets. Portfolios try to deliver returns based on the stated objectives of the investment
strategy, as well as the risk tolerance of the investors of the portfolio.

2.3 Efficient Portfolio

Efficient Portfolio is a portfolio offering higher return in a given risk level or lower risk at
a given Return level. A Graph is Shown Below where we can see a curve. The point
Minimum Variance Portfolio is a portfolio with lowest risk. Above part of Minimum
Variance Portfolio is Called Efficient Frontier. Rf is the risk-free rate. A line starting from
the origin at risk free rate tends upward by touching the efficient frontier is known as CML
(Capital market line). The point of tangency is known as optimum or efficient portfolio.

According to Markowitz, the goal is to craft an "efficient" portfolio. An efficient portfolio

is either a portfolio that offers the highest expected return for a given level of risk, or one
with the lowest level of risk for a given expected return. The line that connects all these
efficient portfolios is the efficient frontier. The efficient frontier represents that set of
portfolios that has the maximum rate of return for every given level of risk. The last thing
investors want is a portfolio with a low expected return and high level of risk.

No point on the efficient frontier is any better than any other point. Investors must examine
their own risk/return preferences to determine where they should invest on the efficient
frontier. But, At least theoretically, an efficient frontier allows you to reduce your risk in
return at no cost. Or at any specific level of risk, one can increase return.

3
2.3 Impact of correlation /covariance on overall portfolio risk reduction

Modern portfolio theory (MPT) uses covariance as an important element in the construction
of portfolios. MPT attempts to determine an efficient frontier for a mix of assets in a
portfolio. The efficient frontier calculates the maximum return for a portfolio versus the
amount of risk for the combination of the underlying assets. The goal is to create a group
of assets with an overall standard deviation that is less than that of the individual securities.
A positive covariance indicates that two assets move in tandem. A negative covariance
indicates two assets move in opposite directions.

In the construction of a portfolio, it is important to attempt to reduce overall risk and

volatility while still striving for a positive rate of return. Analysts use historical price data
to determine which assets to include with a portfolio. By including assets that show a
negative covariance, the overall volatility of a portfolio will be reduced. The covariance of
two particular assets is calculated by a formula that includes the historical asset returns as
an independent and dependent variable, as well as the historical mean of each individual
asset price over a similar number of trading periods for each asset. The formula takes the
daily return minus the mean return for each asset, multiplied by each other, divided by the
number of trading periods for the respective time frames measured. Covariance can be used
to maximize diversification in a portfolio of assets. By adding assets with a negative
covariance to a portfolio, the overall risk is reduced. This risk drops off, quickly at first,
but more slowly as additional assets are added.

4
Chapter 03: Industrial Analysis
3.3 Food & Allied Products Industry

This sector is very emerging for our country. The demand of the products of this industry
is increasing day by day with the increase of the population. The threat of new entrants is
very high. The competition among the existing companies is medium. Bargaining power
of the suppliers is very low and the bargaining power of the buyers is very high.

3.2 Engineering Industry

This sector is very emerging for our economy. This industry is facing strong competition
because foreign companies are considering this market more profitable. The competition
among the existing companies is low because the demand of the products of this industry
is very high. The threat of substitute products is very low. The bargaining power of the
buyers is high, and the bargaining power of the suppliers is very high.

3.3 Fuel and Power Industry

Bangladesh is undergoing a severe energy crisis and more alarmingly it is looking for
alternative suitable sources for power generation but still to select or decide the right one
when the country is just about to finish its gas reserve in near future. According to Petro
Bangla almost 85% of the power generation plant here is gas based which is quite unusual
for any country.

3.4 Telecom Industry

The telecom industry in Bangladesh has scaled up rapidly over the past decade having a
total of 157 million active subscription and more than 85 million unique subscribers.
(source: EBL SECURITIES.COM). It has been nearly a year or two since we are seeing
aa sudden shift in the telecom industry of Bangladesh. The top telecos are now evolving
their business models and reported high returns are emerging.

5
3.5 Cement industry

Cement industry in Bangladesh is playing a very important role in the development of

infrastructure as the economy is growing over the years. Although, the actual growth of
cement industry started only about a decade ago, the development of cement industry in
Bangladesh dates back to the early-fifties. The magnitude of cement demanded by a country
is an indicator of the development of construction sector which also points to economic
growth since 1990, about 95 percent of the country’s demand for cement had been met
through import.

The country has been experiencing an increasing trend of cement production domestically
for the last 6/7 years. In 2010, local entrepreneurs started setting up factories and around
100 factories had been incorporated as cement manufacturers. Currently, only 45 factories
are in operation, including 5 multinational companies. Many small factories have shut
down among brutal competition (Royal Capital Limited, 2015). Cement producers, who
have been going through a tough time for the last two years, now expect the demand to
return next year, riding on some big infrastructure projects.

3.6 Tannery Industry

Tannery industry is a major industry in Bangladesh and the Government of Bangladesh has
declared it as a priority sector. The industry was the second largest export sector of
Bangladesh in FY 2014–2015. The industry also plays a good role in creating employment.
However, Human Right Watch reported that it is responsible for pollution of air, water, and
soil, which lead to serious health problems in the population.

3.7 Pharmaceuticals Industry

Pharmaceuticals industry is the core of healthcare sector of Bangladesh. The

pharmaceutical industry of Bangladesh is very much concentrated as top 5 firms capture
on average 45% of the aggregate market.

3.8 Textile Industry

Textile industry is major contributor to our export income. It has huge demand all around
the world. ROE of this industry is also good. In any economic condition Textile and

6
Pharmaceutical industry does good performance. The demand for Bangladeshi textile
based low priced cloths is increasing worldwide. Specially, the demand has increased
largely in the market of USA. So, we can conclude by saying that ‘Textile Industry’ is
now one of the potential industries in our country

3.9 Company Selection

In selecting the companies within an industry, aspects such as their NAV and P/E ratio can
be considered. Beside these, the industry selection also includes subjective judgment
regarding future economic conditions and government policy. To construct optimum
portfolio with selected companies, several assumptions were into account to simplify the
overall process, leading the portfolio planned here to be comparatively more optimum.
Based on these assumptions we call our calculated portfolio as optimum. These
assumptions are:

• It is assumed that the trend that persists in the past will continue in the future.

• Maximum level is expected for utility & diminishing marginal utility of wealth. So,
the investors prefer more return to less return.

• Risk arises from the variability of expected return. We only define risk as the
deviation between actual return and expected return. Other forms of risk are
avoided.

• Investor selects their investment in the portfolio based on risk and return, the
influence of behavioural finance and other factors are avoided.

• Investors are risk averse. They generally prefer less risk to more risk and prefer the
portfolio that has an equal return but less risk.

There are numerous companies listed in DSE and CSE. I have selected 18 listed companies
of DSE. My selected companies are:

Food and Allies AMCL (PRAN)

Cement HEIDELBCEM

7
 LHBL

Ceramic FUWANGCER

RECKITTBEN

Pharmaceuticals and Chemicals RENATA

APEXSPINN
Textile PTL

Tannery Industries APEXFOOT

NBFI DBH

PRAGATIINS

Insurance UNITEDINS

NAVANACNG

Enginnering NPOLYMAR

BDLAMPS

BARAKAPOWER

Fuel and Power LINDEBD

Telecom GP

8
Chapter 04: The Efficient Frontier
4.1 Adjustment of the Monthly Closing Prices:

The monthly closing price of the selected stocks has been collected from November, 2014
to October, 2019. The adjustments for the cash dividend, stock dividend, stock split, and
right share issue have been made on the monthly price on which the record date falls. In
order to identify the total return of the selected stock, I have calculated the dividend yield
and capital gain for each of the stock for 5 years' time period. The formula used for
calculating the dividend yield, capital gain, and total return is given below:

𝐂𝐚𝐬𝐡 𝐃𝐢𝐯𝐢𝐝𝐞𝐧𝐝
Dividend Yield = 𝐏𝐫𝐢𝐜𝐞 𝐭

Capital Gain = (Pricet*(1+Stock Dividend +Right Share Ratio)*Split- Price t-1-Right

Share Ratio*Right Share Offer Price*Split)/Pricet-1

Total Return = Dividend Yield + Capital Gain

Using the above formula, I have calculated 61 months total return for each of the 18 stocks.

4.2 Determination of Mean Return

After the calculation of total return, I have calculated the mean return for each of the 18
stocks by taking an average of 61 months total return. The mean return for each stock is
given below:

ASSETS MEAN
RETURN
AMCL (PRAN) 0.18%
HEIDELBCEM -1.07%
LHBL -1.46%
FUWANGCER 0.25%
RECKITTBEN 2.61%
RENATA 2.40%
APEXSPINN 1.43%
PTL 2.67%
APEXFOOT -0.74%
DBH 1.66%

9
 PRAGATIINS 0.91%
UNITEDINS 3.48%
NAVANACNG 0.17%
NPOLYMAR 3.38%
BDLAMPS 1.37%
BARAKAPOWER 1.60%
LINDEBD 1.08%
GP 0.83%

4.3 Determination of Covariance Matrix

Using data analysis tool, I have calculated the covariance matrix of which the intersecting
row and column of the same company indicates variance. But when the row and column
are different company the covariance between the return of the two companies is
calculated.

The variance covariance matrix is shown in the appendix.

4.4Construction of Equal Weight Portfolio:

In this situation, the investor invests the investable funds equally in all the assets of the
portfolio.
The summary result for equal weight portfolio is given below

Monthly Risk-free
rate 0.54%
Portfolio Return 2.34%
Portfolio Variance 0.25%
Portfolio STD 4.96%
Theta/Slope 0.363
Total Weight 1

4.5 Scenario Analysis:

In our capital market there are various ways of doing technical analysis. This report
describes a simple way of doing such technical analysis using Microsoft Excel. It uses

10
trading data from Dhaka Stock Exchange (DSE) of different assets for the last five years to
prepare the efficient portfolio. It shows portfolio construction under four different
scenarios:

1. Short sell allowed, risk free borrowing and lending allowed

2. Short sell not allowed, risk free borrowing and lending allowed

3. Short sell not allowed, risk free borrowing and lending not allowed

4. Short sell allowed, risk free borrowing and lending not allowed

For each of the above scenario I have calculated the portfolio return, portfolio standard
deviation and slope.

11
Chapter 05: Scenario Analysis under
Markowitz Mean-Variance Framework

5.1 Short Sales Allowed, Risk Free Borrowing and Lending Allowed

In this scenario, the main objective is to maximize the theta or slope which is risk-
adjusted return. In this case, both short sale and risk-free lending and borrowing are
allowed. So, the only constraint is the total weight must equal to 1. I have used the solver
tool for optimizing the portfolio. The objective function and constraint are shown below:

𝐑𝐩−𝐑𝐟
Maximize the objective function, slope =
𝛔𝐩

Subject to the constraint, ∑ Xi = 1

Base Case Results

avg return weight
AMCL (PRAN) 0.001814428 0.0000
HEIDELBCEM -0.010669849 0.0000
LHBL -0.014573509 0.0000
FUWANGCER 0.00248714 0.0000
RECKITTBEN 0.026075927 0.2096
RENATA 0.023960042 0.1449
APEXSPINN 0.014271131 0.0000
PTL 0.026666732 0.1787
APEXFOOT -0.007395546 0.0000
DBH 0.016598166 0.3538
PRAGATIINS 0.00908495 0.0000
UNITEDINS 0.034799082 0.0222
NAVANACNG 0.001662934 0.0000
NPOLYMAR 0.033777332 0.0908
BDLAMPS 0.013692182 0.0000
BARAKAPOWER 0.015990116 0.0000
LINDEBD 0.010846638 0.0000
GP 0.008331424 0.0000

12
The investment in the portfolio according to the above weight will results in the following
portfolio risk and return

Risk free return 0.54%

Portfolio return 2.34%
Portfolio variance 0.25%
Portfolio Standard Deviation 4.96%
Slope 0.363
Table: Optimum Portfolio Output

Optimum portfolio risk and return: The investment in the portfolio according to the
above weight will result in the following portfolio risk and return:
Monthly Risk free rate 0.54% 0.54% 0.54%
Portfolio Return 4.34% 5.95% 8.24%
Portfolio Variance 0.36% 0.64% 1.21%
Portfolio STD 6.00% 8.00% 11.00%
Theta/Slope 0.634 0.676 0.700
Total Weight 1 1 1

Determination of efficient frontier: In order to determine the efficient frontier, I have

assumed some portfolio return and found out the respective return using the solver
function. The calculation of different portfolio returns and their respective risk have been
included in the appendix. The efficient frontier assuming the short sale and risk-free rate
allowed has been shown in the graph below-

Both Short Selling and Risk-Free Rate

allowed
10.00%

8.00%

6.00%

4.00%

2.00%

0.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00%

13
5.2 Short Sales Allowed, Risk-free Lending and Borrowing Not Allowed

The procedure for calculation of efficient frontier in case of risk-free borrowing and lending
is not allowed is to assume that a riskless lending and borrowing rate exists and find the
optimum portfolio. Then assume that a different riskless lending and borrowing rate exists
and find the optimum portfolio that corresponds to this second rate. Continue changing the
assumed riskless rate until the full efficient frontier is determined. I have assumed a
different risk-free rate and optimizes the portfolio. The necessary calculation is shown
below:

Determination of optimum portfolio: The portfolios at different optimum weights have

been shown below-
Base Case Rf=5 Rf=7 Rf=8
Monthly Risk free rate 0.54% 0.42% 0.58% 0.67%
Portfolio Return 2.34% 2.86% 2.34% 2.34%
Portfolio Variance 0.25% 0.36% 0.25% 0.25%
Portfolio STD 4.96% 6.00% 4.96% 4.96%
Theta/Slope 0.363 0.407 0.355 0.338
Total Weight 1 1 1 1

Determination of efficient frontier: The efficient frontier assuming short sales allowed,
risk free borrowing and lending not allowed is shown the graph below:

5.3Short Sales not allowed, risk-free borrowing and lending allowed

This scenario is analogous to the case of riskless lending and borrowing with short sales
allowed. One portfolio is optimal. Once again, it is the one that maximizes the slope of
the line connecting the riskless asset and a risky portfolio. However, the set of portfolios

14
that is available to combine with lending and borrowing is different because a new
constraint has been added. Investors cannot hold securities in negative amounts. More
formally, the problem can be stated as

𝐑𝐩−𝐑𝐟
Maximize θ =
𝛔𝐩

Subject to, ∑ Xi = 1

And Xi ≥ 0

Determination of optimum portfolio: Based on the assumption that short sales are not
allowed, risk-free borrowing and lending allowed, the optimum portfolio has been shown
below-
Monthly Risk free rate 0.54% 0.54% 0.54% 0.54%
Portfolio Return 2.34% 2.62% 2.96% 3.14%
Portfolio Variance 0.25% 0.36% 0.64% 1.00%
Portfolio STD 4.96% 6.00% 8.00% 10.00%
Theta/Slope 0.363 0.346 0.302 0.260
Total Weight 1 1 1 1

Determination of efficient frontier: Based on the assumption that short sales are not
allowed, risk-free borrowing and lending allowed, the efficient frontier has been shown
below-

5.4Short Sale not Allowed, Risk-free Borrowing and Lending not Allowed

In this scenario, an efficient set is determined by minimizing the risk for any level of
expected return. If the return is specified at some level and minimize risk, we have one

15
point on the efficient frontier. Thus, to get one point on the efficient frontier, we minimize
risk subject to the return being some level plus the restriction that the sum of the
proportions invested in each security is 1 and that all securities have positive or zero
investment. This yields the following problem:

Minimize
Subject to,
∑ Xi = 1;
Xi ≥ 0 and

∑ XiRi = Rp

Determination of optimum portfolio: Based on the assumption that short sales are not
allowed, risk-free borrowing and lending not allowed, the optimum portfolio has been
shown below

Monthly Risk free rate 0.54% 0.54% 0.54% 0.54%

Portfolio Return 2.34% 4.00% 5.00% 2.34%
Portfolio Variance 0.25% 11.23% 17.55% 0.25%
Portfolio STD 4.96% 33.51% 41.89% 4.96%
Theta/Slope 0.363 0.103 0.106 0.363
Total Weight 1.0000000 1.149456 1.4368 1

Determination of efficient frontier: Based on the assumption that short sales are not
allowed, risk-free borrowing and lending not allowed, the efficient frontier has been
shown below-

16
Chapter 06: Construction of Efficient
Frontier under Single Index Model
6.1 Return components calculation
For calculating αi, βi and σei the risk-free index and market index (DSEX) was used.
Risk-free index is the 10 years treasury bond rates from November 2014 to October
2019 and market index is the DSEX or broad index for the same time period. The
following table shows the part of the data.

Years Months Risk Free Market Index

index (DSEX)
2014 November 11 4,230.72
December 10.88 4,266.55
2015 January 10.85 4,753.17
February 10.82 4,749.86
March 10.85 4,491.98
April 10.72 4,566.85
May 10.56 4,430.47
June 9.68 4,480.52
July 8.27 4,427.15
August 8.36 4,549.51
September 7.92 5,074.30
October 6.79 5,173.23
November 7.4 4,769.42
December 7.48 4,864.96
2016 January 6.05 4,724.04
February 6.64 4,763.21
March 6.94 4,530.48
April 7.09 4,047.28
May 7.4 4,586.95
June 7.76 4,583.10
July 7.44 4,792.30
August 7.39 4,768.66
September 7.03 4,852.08
October 6.98 4,564.48
November 6.89 4,580.99
December 6.86 4,604.91
2017 January 6.37 4,540.89
February 6.3 4,511.96
March 6.29 4,357.53

17
 April 6.31 4,195.69
May 6.87 4,419.39
June' 6.95 4,507.58
July 6.96 4,525.34
August 7.02 4,526.57
September 7.03 4,695.18
October 7.03 4,592.17
November 7.27 4,801.24
December 7.39 5,036.05
2018 January 7.37 5,468.34
February 7.34 5,612.69
March 7.14 5,719.61
April 6.84 5,475.55
May 7.53 5,403.11
June 7.06 5,656.04
July 7.06 5,860.64
August 7.05 6,006.43
September 7.05 6,092.84
October 7 6,019.59
November 7 6,306.86
December 6.5 6,244.52
2019 January 6.5 6,039.78
February 6.5 5,804.94
March 6.5 5,597.44
April' 6.5 5,739.22
May 6.5 5,343.87
June 6.5 5,405.46
July 6.5 5,302.63
August 6.5 5,095.77
September 6.5 4,947.63
October 6.5 4,682.90

Table: Risk-free index and market index

(DSEX)

18
After that excess return was calculated for risk-free index, market index and all the
securities.

At the end of the calculations, the following output cam from the single index method:

Risk Free Rate 6.50%

Market Return 3.3%
Portfolio Alpha 7.43%
Portfolio Beta 0.695663536
Portfolio Return 9.72%
Portfolio s(ei) 62.87%
Portfolio Standard Deviation 71.42%
Sharp Ratio 0.045

19
Chapter 07: Portfolio Performance
Evaluation

7.1 Ratio Analysis

For evaluating the performance of the portfolio some of the performance evaluation criteria
can be used. Following are the calculated ratios-

Using Solver Equal Weight

Sharpe Ratio 0.36 0.12
Treynor Ratio 0.59 0.20
M squared 1.84% 0.75%

Jensen's Alpha 1.88% 0.69%

Information Ratio 0.03

Sortino ratio
0.25

Sharpe Ratio: The Sharpe ratio uses standard deviation to gage the risk-adjusted returns of a
portfolio. The higher the Sharpe ratio of a fund, the greater the returns of a fund were compared
to the risk it took. The Sharpe ratio can be used because it uses standard deviation to compare
risk-adjusted returns across all fund groups.

Traynor Ratio: The Treynor Ratio is a portfolio performance measure that adjusts
for systematic risk. In contrast to the Sharpe Ratio, which adjusts return with the standard
deviation of the portfolio, the Treynor Ratio uses the Portfolio Beta, which is a measure of
systematic risk.

20
M squared: The concept behind the M² ratio is to create a portfolio P’ that mimics the risk of
the market portfolio by altering the weights of the actual portfolio P and the risk-free asset until
portfolio P’ has the same total risk as the market. The return on the mimicking portfolio P’ is
determined and compared with the market return.

The weight in portfolio P (wp) which sets the portfolio risk equal to the market risk can be
written as:

wp=σm/σp

Jensen’s Alpha: Jensen’s alpha is based on systematic risk. The daily returns of the portfolio
are regressed against the daily returns of the market in order to compute a measure of this
systematic risk in the same manner as the CAPM. The difference between the actual return of
the portfolio and the calculated or modeled risk-adjusted return is a measure of performance
relative to the market.

Jensen’s alpha=αp=Rp–[Rf+βp(Rm–Rf)]Jensen’s alpha=αp=Rp–[Rf+βp(Rm–Rf)]

If αp is positive, the portfolio has outperformed the market whereas a negative value indicates
underperformance.

Information Ratio: The knowledge ratio is commonly used by fund managers as a success
metric. In addition, it is often used to equate the fund managers ' skills and abilities with similar
investment strategies. The ratio provides investors with insights into a fund manager's ability
to sustain surplus, or even abnormal, generation returns over time (as in "abnormally high").
The knowledge ratio tests risk-adjusted returns compared to a given index while the Sharpe
ratio compares risk-adjusted returns to risk-free returns.

Where:

• Ri– the return of a security or portfolio

• Rb – the return of a benchmark

• E( Ri – Rb) – the expected excess return of a security or portfolio over benchmark

• δib – the standard deviation of a security or portfolio returns from the returns of a
benchmark (tracking error)

21
Sortino Ratio: Sortino ratio measures excess return per disadvantage risk unit. It is measured
by the standard deviation of negative returns dividing the difference between portfolio return
and risk-free levels. Better is a higher Sortino-ratio. The following formula shows calculation
of Sortino ratio:

Sortino Ratio

Portfolio Return − Risk Free Rate

=
Portfolio Downside Standard Deviation

22
Chapter 08: Conclusion
Portfolio management is the art and science of making decisions about investment mix
and policy, matching investments to objectives, asset allocation for individuals and
institutions, and balancing risk against performance. Portfolio management is all about
determining strengths, weaknesses, opportunities and threats in the choice of domestic
vs. international, growth vs. safety, and many other trades-offs encountered in the attempt
to maximize return at a given appetite for risk. From the different strategy while applying
in the share market in Bangladesh, there is some limitation in applying like short sell is
not allow, individuals do not have any permission in borrowing and lending at risk free
rate. The most important things are that investors do not consider the risk and return is
theoretical way rather they consider in macroeconomics perspective. So, that is the major
challenge while applying the portfolio theory in DSE securities. The simple way of
getting excess return is follow the index and make a mimic of the index and application
of no short sell and no risk-free borrowing and lending is applicable in this case.

23
APPENDIX

24
 AMCL (PRAN) HEIDELBCEM LHBL FUWANGCER RECKITTBEN RENATA APEXSPINN PTL APEXFOOT DBH PRAGATIINS UNITEDINS NAVANACNG NPOLYMAR BDLAMPS BARAKAPOWER LINDEBD GP
AMCL (PRAN) 0.003007365 0.001127925 0.0010759 0.00186815 0.00057178 0.000869837 0.003101 0.002110706 0.0016362 0.001275 0.00133016 0.0026527 0.00258458 0.001954263 0.00329534 0.002252425 0.000578 0.000489
HEIDELBCEM 0.001127925 0.00441861 0.0021792 0.001897 0.00221972 0.001851858 0.0016188 0.002260048 0.0010383 0.000771 0.0011834 0.00298647 0.00140441 0.000440467 0.00437836 0.001331648 0.002103 0.001491
LHBL 0.001075912 0.002179199 0.0091227 0.00279761 0.00033316 0.001974238 0.0007924 0.002743816 0.000815 9.49E-05 0.00118824 0.00295313 0.00357959 0.001850353 0.0021314 0.001764021 0.001721 0.001464
FUWANGCER 0.001868147 0.001896998 0.0027976 0.01204633 0.00037895 0.001230196 0.0006681 0.004014401 0.0008273 0.001021 0.00187813 0.00438217 0.00437299 0.000818672 0.00158494 0.003991312 0.001371 -9.6E-05
RECKITTBEN 0.000571779 0.00221972 0.0003332 0.00037895 0.01109378 0.002344513 0.0006021 0.00127419 0.0004134 4.6E-05 -0.00074873 -0.0001803 8.6538E-05 -0.00091487 0.0038729 0.001153796 0.002754 0.00177

Table; C0-variance Matrix

RENATA 0.000869837 0.001851858 0.0019742 0.0012302 0.00234451 0.008462691 0.0008661 0.001609401 0.0004333 0.000383 0.00118882 -0.0005251 0.00080526 0.004440872 0.00558124 0.000269843 0.003212 0.002739
APEXSPINN 0.003100964 0.001618818 0.0007924 0.00066805 0.00060206 0.000866086 0.0140809 0.002807093 0.0037253 0.00068 0.00239362 0.0041872 0.00256209 0.001830602 0.00928331 0.000805439 -0.00022 -0.00013
PTL 0.002110706 0.002260048 0.0027438 0.0040144 0.00127419 0.001609401 0.0028071 0.01051741 0.0014273 9.07E-05 0.00108552 0.00393536 0.00429866 0.004444228 0.00320861 0.004236485 0.001061 0.000959
APEXFOOT 0.001636161 0.001038259 0.000815 0.00082726 0.00041338 0.000433272 0.0037253 0.001427269 0.0032777 -0.00028 0.00148927 0.00038477 0.0004701 0.000480671 0.00356232 7.36741E-05 0.00073 -0.0002
DBH 0.001275297 0.000770592 9.495E-05 0.00102078 4.5995E-05 0.000383249 0.0006799 9.0700000E-05 -0.000276 0.003656 0.00175963 0.00314104 0.00122548 0.000911126 0.0016905 0.001435566 0.000134 0.000215

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PRAGATIINS 0.001330161 0.001183401 0.0011882 0.00187813 -0.00074873 0.001188824 0.0023936 0.001085522 0.0014893 0.00176 0.00833615 0.01006667 0.00100621 0.000292889 0.00411833 0.002649315 0.000601 0.001412
UNITEDINS 0.002652698 0.002986473 0.0029531 0.00438217 -0.00018028 -0.00052514 0.0041872 0.003935358 0.0003848 0.003141 0.01006667 0.08500278 0.00584755 0.004695011 0.00836222 0.00625175 0.002484 0.001265
NAVANACNG 0.002584577 0.001404414 0.0035796 0.00437299 8.6538E-05 0.000805264 0.0025621 0.004298656 0.0004701 0.001225 0.00100621 0.00584755 0.01071903 0.004056886 0.00205791 0.003754392 0.000739 0.000291
NPOLYMAR 0.001954263 0.000440467 0.0018504 0.00081867 -0.00091487 0.004440872 0.0018306 0.004444228 0.0004807 0.000911 0.00029289 0.00469501 0.00405689 0.02424308 0.00213126 0.002958975 0.00047 0.003221
BDLAMPS 0.003295338 0.004378358 0.0021314 0.00158494 0.0038729 0.005581243 0.0092833 0.003208611 0.0035623 0.001691 0.00411833 0.00836222 0.00205791 0.00213126 0.0162751 0.001289422 0.003308 0.000804
BARAKAPOWER0.002252425 0.001331648 0.001764 0.00399131 0.0011538 0.000269843 0.0008054 0.004236485 7.367E-05 0.001436 0.00264931 0.00625175 0.00375439 0.002958975 0.00128942 0.009112878 0.000509 0.000758
LINDEBD 0.000577679 0.002102705 0.0017206 0.00137144 0.00275445 0.003211633 -0.000215 0.001061269 0.0007301 0.000134 0.0006013 0.00248446 0.00073945 0.000469871 0.00330842 0.000509242 0.004305 0.000558
GP 0.00048899 0.001490631 0.0014644 -9.5884E-05 0.00177022 0.002738781 -0.000127 0.000958885 -0.000197 0.000215 0.00141179 0.00126508 0.00029052 0.003220525 0.00080357 0.000757724 0.000558 0.008172