Phase 5:

Execution of the Portfolio

Market Index KSE 100 Rate of Return

Time close value KSE 100
1-Nov-22 41,808.69
2-Nov-22 41,944.59 0.00
3-Nov-22 42,090.71 0.00
4-Nov-22 41,856.31 -0.01
7-Nov-22 42,047.36 0.00
8-Nov-22 42,265.36 0.01
10-Nov-22 42,901.27 0.02
11-Nov-22 43,092.95 0.00
14-Nov-22 42,850.83 -0.01
15-Nov-22 42,796.85 0.00
16-Nov-22 42,983.75 0.00
17-Nov-22 42,819.72 0.00
18-Nov-22 42,730.24 0.00
21-Nov-22 42,761.19 0.00
22-Nov-22 42,928.62 0.00
23-Nov-22 42,880.31 0.00
24-Nov-22 42,903.65 0.00
25-Nov-22 42,936.73 0.00
28-Nov-22 42,071.34 -0.02
29-Nov-22 42,373.59 0.01
30-Nov-22 1.40%

suppose I bought a security on 1 november and sail on 22 Nov, the RETURN of security will be

I have invested 60 % of PKR 5 million in security A and 40% in security B

W1 and W2 are the proportions of funds invested in each security

R1 and R2 are the returns on each security
Erp= 0.6(3.2) + 0.4(1.4)
Calculation Of Beta
Security A CNERGY 2.17751978091236
Security B KEL 5.69448522401128
 Security KA CNERGY Security KB KEL
Close Value Close Value Rate of Return KA Rate of Return KB
4.75 2.79
4.88 2.77 0.03 -0.02
4.95 2.8 0.01 0.03
4.83 2.76 -0.02 -0.04
4.90 2.85 0.01 0.09
5.00 2.81 0.02 -0.04
5.09 2.86 0.02 0.05
5.13 2.89 0.01 0.03
4.99 2.82 -0.03 -0.07
5.05 2.81 0.01 -0.01
5.05 2.81 0.00 0.00
4.96 2.83 -0.02 0.02
4.91 2.89 -0.01 0.06
4.89 2.81 0.00 -0.08
4.90 2.83 0.00 0.02
4.87 2.83 -0.01 0.00
4.90 2.8 0.01 -0.03
4.86 2.77 -0.01 -0.03
4.66 2.6 -0.04 -0.17
4.73 2.59 0.02 -0.01
4.69 2.58 -0.01 -0.01

End Period value-Beginning period value/ beginning period value* 100

f security will be
Return= 4.90-4.75/4.75*100 3.2%

2.8-2.83/2.83*100 2.83-2.79/2.79*100 1.4%

Erp = W1R1+W2R2

2.48
Standard Dev Standard Dev
Security A Security B

0.0177884975 0.0564264775
0.0169895299 0.0579271573
0.0170040534 0.0587672934
0.0166414804 0.0601529912
0.0166452362 0.0560617219
0.0178545301 0.057677263
0.0176452151 0.056839856
0.018009158 0.0572332161
0.0173169071 0.0579968651
0.0175927504 0.0607378869
0.0183635985 0.0636046819
0.0185592906 0.0655320108
0.0192934671 0.0605775772
0.0204044561 0.0629058253
0.0218052675 0.0640052081
0.0233804705 0.0678232998
0.025504891 0.0772442015
0.0281170052 0.0923760431
0.0164152497 3.1401849E-16
0.0200426221
0.3853736766
Phase 6
Revision of Portfolio

let me replace my Security B, by adding two securities C and D

I decided to investo invest 40% in security A, 40% in Security C and 20% in Security D

Date Market Index KSE 100 Rate of Return Security C QUET

Time Close Price KSE 100 Close Price
1-Nov-22 41,808.69 9.00
2-Nov-22 41,944.59 0.00 10.00
3-Nov-22 42,090.71 0.00 9.00
4-Nov-22 41,856.31 -0.01 10.00
7-Nov-22 42,047.36 0.00 11.00
8-Nov-22 42,265.36 0.01 12.00
10-Nov-22 42,901.27 0.02 13.00
11-Nov-22 43,092.95 0.00 14.00
14-Nov-22 42,850.83 -0.01 15.04
15-Nov-22 42,796.85 0.00 16.16
16-Nov-22 42,983.75 0.00 17.37
17-Nov-22 42,819.72 0.00 18.66
18-Nov-22 42,730.24 0.00 20.05
21-Nov-22 42,761.19 0.00 21.55
22-Nov-22 42,928.62 0.00 22.88
23-Nov-22 42,880.31 0.00 21.17
24-Nov-22 42,903.65 0.00 19.59
25-Nov-22 42,936.73 0.00 21.05
28-Nov-22 42,071.34 -0.02 19.48
29-Nov-22 42,373.59 0.01 21.08
1.4%

It is Estimated from the above observation that the average rate of return of security A is greater than the Security B, bu
A , so the Security B has less risk compared to the security A

Return of Portfolio = W1R1+W2R2+W3R3 4.80%

By revision of my portfolio the Return of portfolio is increased.

Calculation ofof beta

Security C QUET 3.52480015573119
Security D AGIC -0.0532590231894
 Security D AGIC Rate of Return Rate of return Varience of Security C Variance of Security D
of security C Ki of security D Kb (Ki-K_Average)^2/n-1
16.03
16.20 0.111 0.01 0.00396302877069555 2.60213253975299E-05
16.00 -0.100 -0.01 0.0219509469471717 0.00031861122635044
16.00 0.111 0.00 0.00396302877069555 3.02940732015347E-05
16.00 0.100 0.00 0.00268753908407734 3.02940732015347E-05
16.30 0.091 0.02 0.00182761134231717 0.000175456378338115
16.00 0.083 -0.02 0.00123726751711299 0.000571636129057535
16.00 0.077 0.00 0.00082739975467108 3.02940732015347E-05
16.29 0.074 0.02 0.00068263029912825 0.00015928950983356
16.00 0.074 -0.02 0.00069219323409664 0.000543185387046279
16.07 0.075 0.00 0.00071383645331213 1.27465273340309E-06
16.25 0.074 0.01 0.00068159926728437 3.24557001611775E-05
16.00 0.074 -0.02 0.00069339370695688 0.00043633446977586
15.97 0.075 0.00 0.00071045959409652 5.44497176878762E-05
16.10 0.062 0.01 0.00018383069045317 6.9498551709475E-06
16.02 -0.075 0.00 0.0151034961037377 0.000109682666951076
16.10 -0.075 0.00 0.0150779822348062 2.60352402687037E-07
16.00 0.075 -0.01 0.00069534001723166 0.00013724556709557
15.92 -0.075 -0.01 0.0150658054336145 0.000110334125165114
16.10 0.082 0.01 0.00115443679784146 3.36693250048111E-05
K_Average 5% 1% 0.0879118260193009 0.00280773860777659
Variance 0.00488399033440561 0.00015598547820981

er than the Security B, but the value of standard deviation of security B is less than the security
Standard D StandardD
Security C Security D

0.0698855517 0.0112821022
0.068207289 0.0110819082
0.0601930786 0.0109789101
0.0602109269 0.0113153348
0.0607138459 0.011684723
0.0616272272 0.0110330203
0.0629143187 0.0102163406
0.0645667679 0.0106301917
0.0664519083 0.009707553
0.06844166 0.0084210423
0.0704944638 0.0088023278
0.0726312146 0.0084885737
0.0746629557 0.0067975648
0.0762546143 0.007194173
0.0790918957 0.0072947468
0.079269435 0.0074867435
0.07289776 0.0084433862
0.0824432659 0.0082654548
0.0240253699 0.0041030065
1.2749835491 0.1732271033
Calculation of Sharp Ratio

Sharp Ratio is calculated by the formula

Sharp ratio = Rp-Rf/Ó

Variables Abbreviation CNERGY QUET AGIC

Security A Security C Security C
Risk Free Rate Rf 0.50% 0.50% 0.50%
Rate of Return Rp 3.20% 5% 1%
Standard Deviation Ó 0.38% 1.27% 0.17%
Sharp measure 7.105263 3.543307 2.941176

Calculation of Treynor Ratio

Treynor Ratio can be calculated by the formula,

Trenyor ratio = Rp-Rf/Bp

Variables Abbreviation CNERGY QUET AGIC

Security A Security C SecurityD
Risk free rate Rf 0.50% 0.50% 0.50%
Rate of return Rp 3.20% 5% 1%
Standard Deviation Ó 0.38% 1.27% 0.17%
Beta Bp 2.17 3.52 -0.05
Trenor Ratio 0.012442 0.012784 -0.1

Calculations of Jensons Alpha

Jensons Alpha is calculated by the formula:

Jensons Alpha = Rp-[Rf+Bp*(Rm-Rf)]

variables Abbreviation CNERGY QUET AGIC

Security A Security B Security C
Risk free rate Rf 0.50% 0.50% 0.50%
Rate of Return Rp 3.20% 5% 1%
Beta Bp 217.00% 3.52 -0.05
Return on market 0.01 0.01 0.01
Jensons Alpha 0.75% 2.74% 0.53%