Security Analysis Portfolio Theory Assignment 
Year
Share 1
Share Price $
Share 1
Dividends
KLCI Index
2014
5.56
0.15
1761.25
2013
7.62
0.23
1773.54
2012
7.63
0.23
1599.15
2011
7.44
0.20
1579.07
2010
8.50
0.37
1314.02
2009
12.84
0.25
1075.24
2008
5.85
0.25
1186.57
2007
11.00
0.40
1354.38
2006
7.75
0.15
914.69
2005
5.70
0.15
888.32
2004
4.70
0.15
819.86
2003
4.10
0.10
691.96
a. Average Annual Return is the arithmetic mean of a series of rates of return.
Average Annual Return, AAR
SHARE PRICE
KLCI INDEX
7.39
1246.50
b. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility. Standard deviation is also known as historical volatility and is used by investors as a gauge for the amount of expected volatility.
Year
SHARE PRICE, (X-x)^2
KLCI INDEX, (Y-ŷ)^2
2014
3.35
264963.27
2013
0.05
277766.77
2012
0.06
124359.08
2011
0.00
110600.03
2010
1.23
4558.39
2009
29.69
29331.41
2008
2.37
3592.10
2007
13.03
11637.20
2006
0.13
110100.64
2005
2.86
128295.90
2004
7.24
182025.24
2003
10.83
307519.23
SHARE PRICE
KLCI INDEX
VARIANCE, σ2
6.44
141340.84
SD,σ
2.54
375.95
d. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns.
Also known as "beta coefficient."
Year
SHARE PRICE, (
X-x)
KLCI INDEX,
(Y-ŷ)
COV (SHARE1 x KLCI)
2014
-1.83
514.75
-942.41
2013
0.23
527.04
120.78
2012
0.24
352.65
84.34
2011
0.05
332.57
16.35
2010
1.11
67.52
74.89
2009
5.45
-171.26
-933.25
2008
-1.54
-59.93
92.35
2007
3.61
107.88
389.34
2006
0.36
-331.81
-119.18
2005
-1.69
-358.18
605.63
2004
-2.69
-426.64
1148.03
2003
-3.29
-554.54
1824.91
2361.78
COV(x,y) =
= = 214.71
Beta Formula:
= 214.71/141340.84
= 0.00152
A Beta of 0.00152 tells you:
Β < 1.0, the stock is less volatile than the market as a whole. Beta is the risk, relative to
Share 1
Share Price $
Share 1
Dividends
KLCI Index
2014
5.56
0.15
1761.25
2013
7.62
0.23
1773.54
2012
7.63
0.23
1599.15
2011
7.44
0.20
1579.07
2010
8.50
0.37
1314.02
2009
12.84
0.25
1075.24
2008
5.85
0.25
1186.57
2007
11.00
0.40
1354.38
2006
7.75
0.15
914.69
2005
5.70
0.15
888.32
2004
4.70
0.15
819.86
2003
4.10
0.10
691.96
a. Average Annual Return is the arithmetic mean of a series of rates of return.
Average Annual Return, AAR
SHARE PRICE
KLCI INDEX
7.39
1246.50
b. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility. Standard deviation is also known as historical volatility and is used by investors as a gauge for the amount of expected volatility.
Year
SHARE PRICE, (X-x)^2
KLCI INDEX, (Y-ŷ)^2
2014
3.35
264963.27
2013
0.05
277766.77
2012
0.06
124359.08
2011
0.00
110600.03
2010
1.23
4558.39
2009
29.69
29331.41
2008
2.37
3592.10
2007
13.03
11637.20
2006
0.13
110100.64
2005
2.86
128295.90
2004
7.24
182025.24
2003
10.83
307519.23
SHARE PRICE
KLCI INDEX
VARIANCE, σ2
6.44
141340.84
SD,σ
2.54
375.95
d. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Beta is used in the capital asset pricing model (CAPM), a model that calculates the expected return of an asset based on its beta and expected market returns.
Also known as "beta coefficient."
Year
SHARE PRICE, (
X-x)
KLCI INDEX,
(Y-ŷ)
COV (SHARE1 x KLCI)
2014
-1.83
514.75
-942.41
2013
0.23
527.04
120.78
2012
0.24
352.65
84.34
2011
0.05
332.57
16.35
2010
1.11
67.52
74.89
2009
5.45
-171.26
-933.25
2008
-1.54
-59.93
92.35
2007
3.61
107.88
389.34
2006
0.36
-331.81
-119.18
2005
-1.69
-358.18
605.63
2004
-2.69
-426.64
1148.03
2003
-3.29
-554.54
1824.91
2361.78
COV(x,y) =
= = 214.71
Beta Formula:
= 214.71/141340.84
= 0.00152
A Beta of 0.00152 tells you:
Β < 1.0, the stock is less volatile than the market as a whole. Beta is the risk, relative to