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Monthly Return Data

The document contains stock return data for five companies (CTBK, GRAE, DLIN, BXSY, SQPH) over a period from January 2016 to January 2021. It also includes calculations for portfolio optimization with the objective of maximizing Sharpe ratio, maximum return, minimum portfolio volatility, and target return. The optimal portfolio based on different objectives is reported to consist solely of DLIN stock and achieve an annualized return of 21% with a standard deviation of 12%.

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Subrata Chanda Uthpal
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© © All Rights Reserved
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30 views

Monthly Return Data

The document contains stock return data for five companies (CTBK, GRAE, DLIN, BXSY, SQPH) over a period from January 2016 to January 2021. It also includes calculations for portfolio optimization with the objective of maximizing Sharpe ratio, maximum return, minimum portfolio volatility, and target return. The optimal portfolio based on different objectives is reported to consist solely of DLIN stock and achieve an annualized return of 21% with a standard deviation of 12%.

Uploaded by

Subrata Chanda Uthpal
Copyright
© © All Rights Reserved
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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CTBK GRAE DLIN BXSY SQPH Perod: 1/1/2016-1/12/2021

-0.025641 0.014068 -0.027652 0 0.010859 source: investing.com


-0.025 -0.028452 -0.064 0 -0.033759
-0.014085 -0.057075 0.204649 -0.086957 -0.094963 CTBK: City Bank
0.007092 0.048538 0.269065 0.210526 0.068844 GRAE: Grameenphone
0.04059 -0.044028 0.006517 0.134328 0.020721 DLIN: Delta Life Insuarance
0.026515 0.085575 -0.10499 0.914286 0.030162 BXSY: Beximco Synthetics
-0.04 0.008952 0.480806 0.029412 0.011737 SQPH: Sqaure Pharma
0.200873 0.021534 0.499281 0.0625 0.005666
-0.064542 0.031963 0.049849 -0.085714 0.077314 Max sharp ratio: risk tolerance 30%
0.028139 -0.028968 -0.044733 -0.054054 -0.091497 Max return: risk tolerance 30%
-0.152669 -0.090347 -0.071046 0.027778 -0.063609 Min portfolio volatility
0.18967 0.071449 0.093842 0 0.052847 Min portfolio
0.033246 0.087747 -0.056708 -0.052632 0.193583 volatility: target return 28%
-0.032176 -0.03215 0.002774 -0.05 -0.026727
-0.019917 -0.000909 -0.056283 -0.111111 -0.027485
0.176758 0.036432 0.147147 0 -0.068064
0.327285 0.231721 -0.067227 -0.237288 0.209421
-0.02956 0.082496 0.231034 -0.016667 0.049242
0.03046 -0.066823 0 -0.047619 -0.090159
-0.118286 0.071608 0 0 0.046783
0.074279 0 0 -0.030769 0.049973
-0.028043 -0.129738 -0.189944 -0.155844 -0.108041
-0.078615 0.064391 -0.02981 0.054795 -0.024211
-0.095025 -0.097971 -0.059873 0.177419 0.043161
-0.057665 -0.101823 -0.087209 0.016393 -0.087862
0.018138 0.002205 0.005848 -0.075758 -0.051993
-0.102015 -0.099035 -0.061471 -0.131579 -0.004235
-0.068663 0.129487 -0.053998 -0.037975 -0.062709
-0.050417 -0.061372 0.024468 -0.081395 0.003985
-0.003776 -0.088566 -0.06 -0.085106 -0.050712
0.022394 0.027035 0.02145 -0.096154 0.037303
0.119758 -0.010036 0.058378 -0.037037 -0.019626
-0.045004 -0.123412 -0.121557 -0.181818 -0.026225
-0.075925 0.039898 -0.040984 0.222222 -0.025195
-0.116318 -0.011803 -0.018767 0.213483 0.039853
0.082877 0.084127 0.019126 0.022989 0.0358
-0.032155 0.012683 0.024254 0.115385 -0.035262
-0.018724 -0.045024 -0.080617 -0.082353 0.055158
-0.009615 0.025378 0.134241 -0.022989 -0.020146
-0.095652 -0.041904 0.057613 -0.054348 -0.016945
0.187316 -0.009226 -0.005118 -0.041667 0.036613
-0.110236 0.003343 -0.023 0.28 -0.086994
-0.005871 -0.06244 -0.005964 0 0.038594
-0.011287 -0.116695 -0.046445 -0.0625 -0.080458
-0.09354 0.01645 -0.018605 -0.012346 -0.010005
0.03416 -0.034886 0.067527 -0.047059 -0.010552
-0.098883 -0.047174 0.000994 #DIV/0! -0.038941
-0.201262 0.06712 -0.065056 0.080183
-0.023789 -0.001273 -0.070812 0
0.133093 0.075519 0.088346 0.090905
0.052432 0.055382 -0.022957 -0.028126
0.038674 0.065965 0.067647 0.069561
0.047685 0.026614 0.032389 0.011699
0.122872 0.101916 -0.00202 -0.025169
0.130115 0.047764 0.047619 0.028734
0.031013 -0.026363 -0.096558 -0.006013
-0.176907 0.016561 -0.081651 0.02088
0.178384 0.074757 0.039234 0.036138
-0.012094 0.024536 -0.000912 0.031973
0.231489 #DIV/0! 0.090457 0.043318
0.087963 #DIV/0! #DIV/0!
0.073025
-0.045066
0.060896
-0.00401
-0.037627
0.048028
0.054933
0.033627
-0.074962
0.008745
#DIV/0!
CTBK GRAE DLIN BXSY SQPH Monthly Return
CTBK 0.009467 0.004717 0.014412 0.029133 0.003781 1%
GRAE 0.004717 0.004797 0.004861 0.004877 0.004933 1%
DLIN 0.014412 0.004861 0.014756 0.014402 0.013495 2%
BXSY 0.029133 0.004877 0.014402 0.030929 0.013495 1%
SQPH 0.003781 0.004933 0.013495 0.013495 0.003774 0%

Portfolio Weights Max SR MaxR(30%Min pv TR (28%)


CTBK 0% 0% 0% 2% 0%
GRAE 0% 48% 48% 98% 0%
DLIN 100% 52% 52% 0% 100%
BXSY 0% 0% 0% 0% 0%
SQPH 0% 0% 0% 0% 0%
100% 100% 100% 100% 100%

Monthly Annualized
Return 2% 21% 14% 14% 6% 21%
variance 0.014756
Std Dev 12% 42% 30% 30% 24% 12%

Risk free rate 4% 4% 4% 4% 4%

Sharp Ratio 0.393819 0.31845 0.3184 0.087269 0.393819

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