Mohammed Robiul Alam13-024Department of FinanceUniversity of Dhaka

Selected Sector

Selected Company

BOC BANGLADESH

EASTERN HOUSING LIMITED

APEX TANNERY LIMITED

FAREAST ISLAMI LIFE INSURANCE CO.

ADVANCED CHEMICAL INDUSTRIES LIMITED

ATLAS BANGLADESH LIMITED.

USMANIA GLASS SHEET FACTORY LIMITED

CONFIDENCE CEMENT

NATIONAL BANK LIMITED.

IDLC FINANCE LIMITED

Selection Criteria

Listed In DSEListed on Before 1 January 2006‘A’ Category StockSteadiness in EPS and NAVStability in Dividend Pattern

Data Collection and Formation

Five years daily trade data from 1st January 2006 to

31st December 2010

Day wise closing price of each company

Adjusted dividend with daily closing price

Averaged daily adjusted price for monthly price date

Dividend AdjustmentCash Dividend:

Bonus Share:

Right Share:

Spilt:

Use spilt ratioDividend Adjustment

Dividend Adjusted Data

Return Calculation

Return Calculation

Return = LN(Price of X month/Price of X-1 month)

Risk Free Rate of Return

YearSix Month T-Bill

2010 0.04852009 0.05752008 0.0582007 0.05822006 0.0585

Rf Monthly 0.004675

Excess Return and Covariance Matrix

Excess Portfolio Return

0.0374051

Portfolio Variance 0.0044756Portfolio Standard Deviation 0.06689995Theta 0.55911995∑Wi 1

Θ

Equal investment in each security

Scenario Analysis

Maximize Theta by not allowing short sellMaximize Theta by allowing short sellMinimize Standard Deviation by not allowing short

sellMinimize Standard Deviation by allowing short sellMinimize Standard Deviation by not allowing short

sell for a given returnMinimize Standard Deviation by allowing short sell

for a given return

Maximize Theta by not allowing short sell

Excess Portfolio Return 0.043453Portfolio Variance 0.003896Portfolio Standard Deviation 0.06242Theta 0.696147∑Wi 1

BOC BANGLADESH 0.102338EASTERN HOUSING LIMITED 0.147688APEX TANNERY LIMITED 0FAREAST ISLAMI LIFE INSURANCE CO. 0.09444ADVANCED CHEMICAL INDUSTRIES LIMITED 0.175407ATLAS BANGLADESH LIMITED. 0USMANIA GLASS SHEET FACTORY LIMITED 0CONFIDENCE CEMENT 0.159898NATIONAL BANK LIMITED. 0.151164IDLC FINANCE LIMITED 0.169066

Excel

Maximize Theta by allowing short sell

Excess Portfolio Return 0.06047002Portfolio Variance 0.0052386Portfolio Standard Deviation 0.0723782Theta 0.83547284∑Wi 1

BOC BANGLADESH 0.09273903

EASTERN HOUSING LIMITED 0.20832873

APEX TANNERY LIMITED 0.35270042

FAREAST ISLAMI LIFE INSURANCE CO. 0.27579077

ADVANCED CHEMICAL INDUSTRIES LIMITED -0.615287

7ATLAS BANGLADESH LIMITED. 0.232811

32USMANIA GLASS SHEET FACTORY LIMITED 0.09287CONFIDENCE CEMENT 0.168722

36NATIONAL BANK LIMITED. 0.092739

03IDLC FINANCE LIMITED 0.208328

73

Excel

Minimize Standard Deviation by not allowing short sell

Excess Portfolio Return 0.0372811Portfolio Variance 0.00335171Portfolio Standard Deviation 0.05789396Theta 0.64395502∑Wi 1

BOC BANGLADESH 0EASTERN HOUSING LIMITED 0.084859

26APEX TANNERY LIMITED 0.196947

5FAREAST ISLAMI LIFE INSURANCE CO. 0.007656

27ADVANCED CHEMICAL INDUSTRIES LIMITED 0ATLAS BANGLADESH LIMITED. 0.048600

27USMANIA GLASS SHEET FACTORY LIMITED 0.199567

99CONFIDENCE CEMENT 0.065007

45NATIONAL BANK LIMITED. 0IDLC FINANCE LIMITED 0.084859

26

Excel

Minimize Standard Deviation by allowing short sell

Excess Portfolio Return

0.03856169

Portfolio Variance 0.0033409

Portfolio Standard Deviation 0.0578005

Theta 0.66715148

∑Wi 1

BOC BANGLADESH 0.26442842

EASTERN HOUSING LIMITED 0.12036211

APEX TANNERY LIMITED 0.00168979

FAREAST ISLAMI LIFE INSURANCE CO. 0.09335546

ADVANCED CHEMICAL INDUSTRIES LIMITED 0.20955164

ATLAS BANGLADESH LIMITED. 0.04539863

USMANIA GLASS SHEET FACTORY LIMITED -0.050877

1CONFIDENCE CEMENT 0.053901

85NATIONAL BANK LIMITED. 0.194014

44IDLC FINANCE LIMITED 0.068174

78

Excel

Minimize Standard Deviation by not allowing short sell for a given return

Portfolio Return 0.05Excess Portfolio Return 0.045325

Portfolio Variance0.004283

65Portfolio Standard Deviation

0.06544956

Theta0.692517

99∑Wi 1Given Return 0.05

BOC BANGLADESH0.0474

67

EASTERN HOUSING LIMITED0.1557

55APEX TANNERY LIMITED 0

FAREAST ISLAMI LIFE INSURANCE CO.0.0972

88ADVANCED CHEMICAL INDUSTRIES LIMITED

0.168222

ATLAS BANGLADESH LIMITED. 0USMANIA GLASS SHEET FACTORY LIMITED 0

CONFIDENCE CEMENT0.1939

04

NATIONAL BANK LIMITED.0.1361

23

IDLC FINANCE LIMITED0.2012

41

Excel

Minimize Standard Deviation by allowing short sell for a given return

Portfolio Return 0.05Excess Portfolio Return 0.045325

Portfolio Variance0.003521

65Portfolio Standard Deviation

0.05934348

Theta0.763773

83∑Wi 1Given Return 0.05

BOC BANGLADESH0.1906

27

EASTERN HOUSING LIMITED0.1342

08

APEX TANNERY LIMITED0.0298

15

FAREAST ISLAMI LIFE INSURANCE CO.0.1290

24ADVANCED CHEMICAL INDUSTRIES LIMITED

0.253927

ATLAS BANGLADESH LIMITED.0.1164

81

USMANIA GLASS SHEET FACTORY LIMITED

-0.2250

7

CONFIDENCE CEMENT0.1091

64

NATIONAL BANK LIMITED.0.1625

66

IDLC FINANCE LIMITED0.0992

56

Excel