Portfolio Return and Risk Analysis: X 2 y y 2 Xy 2

Portfolio Return and Risk Analysis
Year
2013
2012
2011
2010
2009
SUM ()
Year
2013
2012
2011
2010
2009
SUM ()
Year
2013
2012
2011
2010
2009
SUM ()
Year
2013
2012
2011
2010
2009
SUM
Stock X (rx)
rx2
55.00 3,025.00
30.00
900.00
40.00 1,600.00
-15.00
225.00
-10.00
100.00
100.00 5,850.00
Stock X (rx)
rx2
55.00 3,025.00
30.00
900.00
40.00 1,600.00
-15.00
225.00
-10.00
100.00
100.00 5,850.00
Stock Y (ry)
ry2
60.00 3,600.00
20.00
400.00
50.00 2,500.00
-25.00
625.00
-5.00
25.00
100.00 7,150.00
Stock X (rx)
rx2
55.00 3,025.00
30.00
900.00
40.00 1,600.00
-15.00
225.00
-10.00
100.00
100.00 5,850.00
Stock Y (ry)
ry2
60.00 3,600.00
400.00
20.00
50.00 2,500.00
625.00
-25.00
25.00
-5.00
100.00 7,150.00
Portfolio XY
(rxy)
50%X 50%Y
57.50
25.00
45.00
-20.00
-7.50
100.00
rxy2
3,306.25
625.00
2,025.00
400.00
56.25
6,412.50
rz2
Portfolio XZ
(rxz)
50%X 50%Z
rxz2
900.00
-30.00
100.00
-10.00
50.00 2,500.00
60.00 3,600.00
900.00
30.00
100.00 8,000.00
12.50
10.00
45.00
22.50
10.00
100.00
156.25
100.00
2,025.00
506.25
100.00
2,887.50
rz2
Portfolio YZ
(ryz)
50%Y 50%Z
ryz2
900.00
-30.00
100.00
-10.00
50.00 2,500.00
60.00 3,600.00
900.00
30.00
100.00 8,000.00
15.00
5.00
50.00
17.50
12.50
100.00
225.00
25.00
2,500.00
306.25
156.25
3,212.50
ry2
Stock Z (rz)
rz2
Portfolio
XYZ (rxyz)
1/3,1/3,1/3
rxyz2
60.00 3,600.00
400.00
20.00
50.00 2,500.00
625.00
-25.00
25.00
-5.00
100.00 7,150.00
-30.00
-10.00
50.00
60.00
30.00
100.00
900.00
100.00
2,500.00
3,600.00
900.00
8,000.00
28.33
13.33
46.67
6.67
5.00
100.00
802.78
177.78
2,177.78
44.44
25.00
3,227.78
Stock Z (rz)
Stock Z (rz)
Stock Y (ry)
Portfolio Return Risk, Correlation Analysis & Diversification

Portfolio Weight
Year
2013
2012
2011
2010
2009
SUM ()
Mean Return ()
Standard Deviation ()
Co-efficient of Variation (/)
X 50.00%
Stock X (rx)
Stock Y (ry)
Portfolio XY
(rxy)
55.00
30.00
40.00
-15.00
-10.00
100.00
60.00
20.00
50.00
-25.00
-5.00
100.00
57.50
25.00
45.00
-20.00
-7.50
100.00
20.00
31.02
1.55
20.00
35.88
1.79
20.00
33.21
1.661
Covarience (XY)
1,081.25
Correlation (XY)
0.971
Diversification Efficiency ()
Portfolio Weight
Year
2013
2012
2011
2010
2009
SUM ()
Mean Return ()
rx2
ry2
rxy2
rxry
3,025.00 3,600.00
400.00
900.00
1,600.00 2,500.00
625.00
225.00
25.00
100.00
5,850.00 7,150.00
3,306.25
625.00
2,025.00
400.00
56.25
6,412.50
3,300.00
600.00
2,000.00
375.00
50.00
6,325.00
Decision: Portfolio XY is not optimal. X is

better then investment in Y or XY.
Recommendation: Invest 100% in X.
0.72%
X 50.00%
Z 50.00%
Stock X (rx)
Stock Z (rz)
55.00
30.00
40.00
-15.00
-10.00
100.00
-30.00
-10.00
50.00
60.00
30.00
100.00
Portfolio XZ
(rxz)
12.50
10.00
45.00
22.50
10.00
100.00
20.00
31.02
1.55
20.00
38.73
1.94
20.00
14.90
0.745
Covarience (XZ)
-787.50
Correlation (XZ)
-0.655
Y 50.00%
57.29%
rx2
rz2
900.00
3,025.00
100.00
900.00
1,600.00 2,500.00
225.00 3,600.00
900.00
100.00
5,850.00 8,000.00
rxz2
rxrz
156.25 -1,650.00
100.00
-300.00
2,025.00 2,000.00
506.25
-900.00
100.00
-300.00
2,887.50 -1,150.00
Decision: Portfolio XZ is better then

investment in X or Y.
Recommendation: Invest in portfolio XZ.
Optimal Portfolio: X=56.66% Z=43.34%
Portfolio Weight
Year
2013
2012
2011
2010
2009
SUM ()
Mean Return ()
Y 50.00%
Stock Y (ry)
Stock Z (rz)
60.00
20.00
50.00
-25.00
-5.00
100.00
-30.00
-10.00
50.00
60.00
30.00
100.00
Portfolio YZ
(ryz)
15.00
5.00
50.00
17.50
12.50
100.00
20.00
35.88
1.79
20.00
38.73
1.94
20.00
17.41
0.871
Covarience (YZ)
-787.50
Correlation (YZ)
-0.567
Portfolio Weight
Z 50.00%
ry2
900.00
3,600.00
100.00
400.00
2,500.00 2,500.00
625.00 3,600.00
900.00
25.00
7,150.00 8,000.00
ryrz
225.00 -1,800.00
25.00
-200.00
2,500.00 2,500.00
306.25 -1,500.00
156.25
-150.00
3,212.50 -1,150.00
53.33%
0
X 33.33%
33.3%
Z 33.33%
Stock X (rx)
Stock Y (ry)
Stock Z (rz)
2009
2008
2007
2006
2005
SUM
55.00
30.00
40.00
-15.00
-10.00
100.00
60.00
20.00
50.00
-25.00
-5.00
100.00
-30.00
-10.00
50.00
60.00
30.00
100.00
Portfolio
XYZ (rxyz)
28.33
13.33
46.67
6.67
5.00
100.00
20.00
31.02
1.55
20.00
35.88
1.79
20.00
38.73
1.94
20.00
17.52
0.876
ryz2
Decision: Portfolio YZ is better then

investment in Y or Z.
Recommendation: Invest in portfolio YZ.
Optimal Portfolio: Y=52.44% Z=47.56%
Year
Mean Return ()
rz2
50.24%
rx2
ry2
3,025.00
900.00
1,600.00
225.00
100.00
5,850.00
3,600.00
400.00
2,500.00
625.00
25.00
7,150.00
Var X
Var Y
Var Z
962.5
1,287.5
1,500.0
Decision: No combination of XYZ is be
55.00
30.00
40.00
-15.00
-10.00
60.00
20.00
50.00
-25.00
-5.00
rz2
rxyz2
rxry
rxrz
ryrz
900.00
100.00
2,500.00
3,600.00
900.00
8,000.00
802.78
177.78
2,177.78
44.44
25.00
3,227.78
3,300
600
2,000
375
50
6,325
-1650
-300
2000
-900
-300
-1,150
-1800
-200
2500
-1500
-150
-1,150
mbination of XYZ is better then XZ.
Cov XY
Cov XZ
Cov YZ
1081.25
-787.5
-787.5
Return Risk and CV

Portfolio Weight AB
Economic Condition
Good
Average
Bad
50.00%
Pr.
0.33
0.33
0.33
1.00
E(r)
(r)
CV
Return of
Return of
Stock A (rA)
Stock B (rB)
70.00
-30.00
30.00
35.00
-25.00
70.00
25.00
38.94
1.56
Economic Condition
Good
Average
Bad
Pr.
0.33
0.33
0.33
1.00
Return of
Return of
Stock A (rA)
Stock C (rc)
70.00
-30.00
30.00
25.00
-25.00
80.00
25.00
38.94
1.56
25.00
3.54
0.14
50.00%
Pr.
0.33
0.33
0.33
1.00
E(r)
(r)
CV
Return of
Return of
Stock B (rB)
Stock C (rc)
-30.00
-30.00
35.00
25.00
70.00
80.00
25.00
41.43
1.66
25.00
44.91
1.80
50.00%
Return of Port.
AC (rAC)
20.00
27.50
27.50
25.00
44.91
1.80
Portfolio Weight BC
Good
Average
Bad
25.00
5.40
0.22
50.00%
E(r)
(r)
CV
Economic Condition
Return of Port.
AB (rAB)
20.00
32.50
22.50
25.00
41.43
1.66
Portfolio Weight AC
50.00%
50.00%
Return of Port.
BC (rBC)
-30.00
30.00
75.00
25.00
43.01
1.72
Portfolio Weight ABC

Economic Condition
Good
Average
Bad
33.33%
Pr.
0.33
0.33
0.33
1.00
E(r)
(r)
CV
Return of
Stock A (rA)
Return of
Stock B (rB)
Return of
Stock C (rc)
33.33%
33.33%
70.00
30.00
-25.00
-30.00
35.00
70.00
-30.00
25.00
80.00
Return of
Port. ABC
(rABC)
3.33
30.00
41.67
25.00
38.94
1.56
25.00
41.43
1.66
25.00
44.91
1.80
25.00
16.04
0.64
Z Value & Probability

E(r)
(r)
X
Z Value
PROB
21.50
33.99
30.50
38.50
26.00
3.00
0
-0.633
26.35%
0
-0.792
21.41%
0
-8.667
0.00%
Z Formula:
Z = [X - Expected return] / Standard Deviation
Where, X = Percentage return defined as risk.
Correlation Analysis
Senario One:
Year
2009
2008
2007
2006
2005
Advertisement
Expense (Tk.)
100,000
150,000
250,000
300,000
500,000
Correlation
Sales (Tk.)
2,000,000
3,000,000
3,500,000
5,000,000
7,500,000
0.987
Senario Two:
Correlation Analysis
Year
2009
2008
2007
2006
2005
Correlation
Advertisement
Expense (Tk.)
100,000
150,000
250,000
300,000
500,000
-0.724
Sales (Tk.)
2,000,000
3,000,000
2,750,000
1,500,000
1,000,000
Important Formulas:
Covarience
Average Return
Risk
Coefficient of Variation (CV)
Correlation
Average Portfolio Return
Diversification Efficiency
Portfolio Risk
Portfolio Risk
Return on Equity
r P1r1 P2r2 .... Pnrn

n
Standard Deviation
Expected Return
i 1
Pi
(r r)
i 1
Pi
ri
Covarience
Covij = E{[Ri,t - E(Ri)][Rj,t - E(Rj)]}
Correlation
Diversification Efficiency
Chapter 3: Portfolio Analysis

Exercise 3.2
Weight
X 50.0%
Y 50.0%
Year
Stock X(rx)
Stock Y(ry)
Portfolio XY (rxy)
1
2
3
4
5
6
7
8
9
10
SUM
15.00
19.00
12.00
14.00
15.00
14.00
17.00
18.00
15.00
17.00
156.00
12.00
8.00
10.00
14.00
16.00
13.00
17.00
9.00
16.00
20.00
135.00
13.50
13.50
11.00
14.00
15.50
13.50
17.00
13.50
15.50
18.50
145.50
15.60
2.12
0.136
13.50
3.84
0.284
14.55
2.13
0.146
Mean Return ()
Exercise 3.3
Weight
Mean
Varience
Covariance AB
Covariance AC
Covariance BC
Portfolio Mean
Portfolio Varience
Portfolio SD
Portfolio CV
A
13%
5%
2%
0%
3%
15.00%
3.78%
19.44%
5.14
33.3%
B
14%
8%
33.3%
C 33.33%
18%
11%
rx2
ry2
rxry
225.00 144.00 180.00

64.00 152.00
361.00
144.00 100.00 120.00
196.00 196.00 196.00
225.00 256.00 240.00
196.00 169.00 182.00
289.00 289.00 289.00
81.00 162.00
324.00
225.00 256.00 240.00
289.00 400.00 340.00
2,474.00 1,955.00 2,101.00

Portfolio Return and Risk Analysis: X 2 y y 2 Xy 2

Caricato da

Informazioni sul documento

Titolo originale

Copyright

Formati disponibili

Condividi questo documento

Condividi o incorpora il documento

Opzioni di condivisione

Hai trovato utile questo documento?

Questo contenuto è inappropriato?

Copyright:

Formati disponibili

Portfolio Return and Risk Analysis: X 2 y y 2 Xy 2

Caricato da

Copyright:

Formati disponibili

Portfolio Return and Risk Analysis

Portfolio Return Risk, Correlation Analysis & Diversification

Decision: Portfolio XY is not optimal. X is

Decision: Portfolio XZ is better then

Decision: Portfolio YZ is better then

Decision: No combination of XYZ is be

mbination of XYZ is better then XZ.

Return Risk and CV

Portfolio Weight ABC

Z Value & Probability

Coefficient of Variation (CV)

Average Portfolio Return

r P1r1 P2r2 .... Pnrn

Covij = E{[Ri,t - E(Ri)][Rj,t - E(Rj)]}

Chapter 3: Portfolio Analysis

225.00 144.00 180.00

Potrebbero piacerti anche