0% found this document useful (0 votes)
143 views8 pages

Ej 2 Soft

The document appears to contain monthly stock price data for two companies, Pak Arab Chemical Company Ltd. and Engro Chemical Pakistan Ltd., from 2005 to 2010. It also includes calculations of monthly returns, annual returns, variance, standard deviation, and the correlation between the two company's returns, which is found to be moderately positive at 0.074404121.

Uploaded by

Ejaz Shahid
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
143 views8 pages

Ej 2 Soft

The document appears to contain monthly stock price data for two companies, Pak Arab Chemical Company Ltd. and Engro Chemical Pakistan Ltd., from 2005 to 2010. It also includes calculations of monthly returns, annual returns, variance, standard deviation, and the correlation between the two company's returns, which is found to be moderately positive at 0.074404121.

Uploaded by

Ejaz Shahid
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
You are on page 1/ 8

effiecnt portfolio

years

monthly data

monthly data

pak Arab urea Engro


Company Ltd.
2005

2006

2007

12.35
12.65
16.95
19.25
15.20
18.10
19.35
17.00
19.45
17.25
16.95
18.10
15.15
16.60
15.80
18.80
16.25
15.70
14.70
14.80
18.50
15.50
16.25
15.60
13.90
19.90
17.75
17.40
18.65
29.30
21.85
18.65
22.30
23.15
32.60
34.00

Chemical

company ltd.
29.30
23.00
34.00
31.00
36.00
37.40
40.50
44.56
27.50
31.85
32.10
31.20
36.25
53.25
50.75
51.00
45.00
43.50
48.70
46.50
49.50
55.00
48.00
46.00
46.10
44.05
42.75
42.40
44.60
45.25
33.50
45.05
30.00
35.20
42.00
45.50

Pak arab
0.024001152
0.292610619
0.127243227
-0.23621563
0.17461651
0.066780481
-0.12947908
0.134633726
-0.12003493
-0.01754431
0.065644104
-0.17791141
0.091402163
-0.04939276
0.17384693
-0.14576396
-0.0344322
-0.06581322
0.006779687
0.223143551
-0.17693071
0.047252885
-0.04082199
-0.11538207
0.358830892
-0.11433422
-0.01991531
0.06937594
0.45174137
-0.29338659
-0.15835478
0.178740532
0.037408102
0.342317508
0.042048236

Engro
-0.2420933
0.390866309
-0.09237332
0.149531734
0.038151766
0.07963127
0.095534622
-0.482650591
0.146851377
0.007818648
-0.028437935
0.150021286
0.384558423
-0.048086187
0.004914015
-0.125163143
-0.033901552
0.112918092
-0.046226717
0.062520357
0.105360516
-0.136132174
-0.042559614
0.002171554
-0.045487598
-0.029956157
-0.008220833
0.050585497
0.014468811
-0.300657231
0.296227545
-0.406575602
0.159848701
0.176623536
0.080042708

2008

2009

2010

24.25
21.35
23.20
24.75
29.75
30.85
38.50
42.60
34.90
36.60
40.30
45.70
39.75
45.20
52.60
58.35
62.40
57.50
55.35
58.00
57.95
48.05
51.95
54.75
35.20
33.10
34.45
44.30
44.80
41.15
53.30
54.10
64.50
54.15
55.10
56.15

41.20
42.15
43.50
48.25
46.05
48.05
48.15
53.50
51.65
56.00
54.45
54.50
45.60
40.60
42.50
50.50
53.00
55.75
61.00
71.00
69.00
62.00
65.00
69.00
84.50
83.00
85.00
82.00
94.00
87.00
90.50
90.00
98.50
95.00
93.00
89.40

-0.33794391
-0.12736488
0.083100539
0.06467321
0.184003643
0.036307618
0.221521491
0.101196012
-0.19936742
0.047561411
0.096303229
0.125746829
-0.13948846
0.128487246
0.151619033
0.103743239
0.067105917
-0.08178033
-0.03810829
0.046766351
-0.00086244
-0.18733843
0.078039582
0.052495651
-0.44173129
-0.0615128
0.039975715
0.25147568
0.011223462
-0.08498421
0.258712404
0.014897855
0.175831038
-0.17490725
0.017391743
0.018876965

-0.09927407
0.022796428
0.031526254
0.10363489
-0.046668065
0.042514373
0.002079003
0.105360516
-0.035191458
0.080861495
-0.028068841
0.000917852
-0.178292985
-0.11613965
0.045736009
0.17246926
0.048318577
0.050585497
0.089996454
0.151806013
-0.028573372
-0.10697212
0.047252885
0.059719235
0.20264503
-0.017910927
0.023810649
-0.035932009
0.136575535
-0.077386664
0.039441732
-0.00554018
0.090246878
-0.036179657
-0.021277398
-0.039478811
coveriance=
CORRELATION

R1
Monthly
Annualy

0.021329164
0.288216324

R2
Monthly
Annualy

0.015711735
0.205717709

STD R1
Monthly
Annualy
VAR R1
Monthly
Annualy
W1
W2
Rp
STD P

0.161816754
0.560549679

STD R2
Monthly
Annualy

0.140780945
0.487679498

0.026184662
0.314215943

VAR R2
Monthly
Annualy

0.019819274
0.237831293

COV
CORR

0.085521754
0.074404121

0.05
0.05
0.024696702
0.001807727

R1
Monthly
Annualy

R2
0.021329164
0.288216324

Monthly
Annualy

STD R1
Monthly
Annualy

0.015711735
0.205717709

STD R2
0.161816754
0.560549679

Monthly
Annualy

VAR R1

0.140780945
0.487679498

VAR R2

Monthly
Annualy

0.026184662
0.314215943

Monthly
Annualy

0.019819274
0.237831293

Rp
STD P
VAR P

0.024696702
0.001807727

COV
CORR

0.085521754
0.074404121

0.5

y = 0.0452x
R =

0.5
0.4
0.3

Axis Title

0.2

-0.6

0.1
0
-0.4

-0.2

-0.1

-0.2
-0.3
-0.4
-0.5
-0.6

Axis Title

0.2

0.4

0.6

COV

-0.005810518
0.114371632
-0.011753879
-0.035321733
0.006661928
0.005317815
-0.012369734
-0.064981047
-0.017627294
-0.000137173
-0.001866783
-0.026690498
0.035149472
0.002375109
0.000854286
0.018244275
0.001167305
-0.007431503
-0.000313403
0.013951014
-0.018641511
-0.006432638
0.001737368
-0.000250558
-0.016322355
0.003425014
0.00016372
0.003509416
0.006536161
0.088208801
-0.046909046
-0.07267154
0.005979637
0.060461329
0.003365655

0.033549067
-0.002903464
0.002619849
0.006702401
-0.008587094
0.001543596
0.000460544
0.010662064
0.00701603
0.003845887
-0.00270312
0.000115417
0.024869813
-0.014922464
0.00693445
0.01789252
0.003242462
-0.004136898
-0.003429611
0.007099413
2.46428E-05
0.020039989
0.003687595
0.003135
-0.08951465
0.001101751
0.000951848
-0.009036026
0.00153285
0.006576645
0.010204065
-8.25368E-05
0.015868202
0.006328084
-0.000370051
-0.00074524
0.085521754
0.074404121

y = 0.0452x
R = -0.01

Linear (-)

You might also like