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NUR AQILAH BINTI MOHAMAD DA’AI2014283256
PROJECT PAPER TITLE : MEASURING PORTFOLIO AND THE PERFORMANCE OF SELECTED FUNDS IN CONSTRUCTION SECTOR OF SINGAPORE STOCK MARKET
23rd June 2015 | Thursday
Prepared for : SIR OSWALD TIMOTHY EDWARD & SIR MOHD AZLAN ABD MAJID
TABLE OF CONTENTS
CHAPTER 1 : ( Introduction )
CHAPTER 2 :(Literature
Review)CHAPTER 3 :
(Methodology)
CHAPTER 4 :(Findings)
CHAPTER 5 :(Conclusion)
INTRODUCTION
CONSTRUCTION SECTOR?
OPTIMAL PORTFOLIO ?
Construction sector plays an important role in producing wealth and providing a better quality
of life to the nation that is essential for development of the nation
(Ali, Shahir, & Bin, 2014)
Investors build portfolio is to attain the optimal trade-off between risk of a portfolio investment and the return
predicted from it
PROBLEM STATEMENT
What is this
research all about?
Enhance further understanding on the performance of the construction sector stock in Singapore
OUTPERFORM THE MARKET
UNDERPERFORM THE MARKET
RESEARCH QUESTION & OBJECTIVE
RESEARCH QUESTION
• How to construct the portfolio performance of construction sector in Singapore Stock Exchange by using Single-Index Model measurement?
• How to evaluate the construction stock performance of the construction sector in Singapore stock market using benchmark?
RESEARCH OBJECTIVE• To construct the portfolio performance of construction sector in
Singapore Stock Exchange using Single-Index model.• To evaluate the construction stock performance of the Singapore stock
market using benchmark.
LITERATURE REVIEW
SINGLE INDEX-MODEL?
-The chosen stock is computed-Less time consuming and more comfortable
-Better placed for constructing optimal portfolioOdel, n.d
PORTFOLIO?
-Diversification of portfolio lead to the reduction of the associated risk
(Gurrib & Alshahrani, 2012) -Plays a very essential role in the financial market
(Shahid, 2007)
SHARPE, JENSEN & TREYNOR?
- Used beta to measured portfolio risk and portfolio market risk premium
(Treynor, 1965)- Used standard deviation to measured portfolio risk and
portfolio market risk premium(Sharpe, 1966)
- Construct a measure based on the security market line(Jensen, 1968)
RESEARCH METHODOLOGY
SAMPLEConducted in SingaporeYearly return index of Singapore market and 27 construction companiesSources : DataStream and Yahoo Finance
DATA Secondary Data : Journals, Internet
HYPOTHESIS : rp = rm : rp ≠ rm
METHOD Single-Index Model
Portfolio Return
Performance Index
TEST Paired T-Test
RESEARCH FRAMEWORK
FINDINGS ON CONSTRUCTING AND EVALUATING OVERALL CONSTRUCTION SECTOR
NO. COMPANIES SUM Z VALUE TOTAL Z VALUE SUM WEIGHTAGE 1 SEE HUP SENG 0.00462978 0.03245198 0.14266562 CSC HOLDINGS 0.00368281 0.03245198 0.11348493 HOR KEW 0.00189323 0.03245198 0.05833944 OKP HOLDINGS 0.00528124 0.03245198 0.16274015 YONGNAM HOLDINGS 0.00148757 0.03245198 0.04583916 LUM CHANG HOLDINGS 0.00518883 0.03245198 0.15989267 BBR HOLDINGS (S) 0.00093183 0.03245198 0.02871418 TEE INTERNATIONAL 0.00409072 0.03245198 0.12605469 HONG LEONG ASIA 0.00107705 0.03245198 0.033189010 SAPPHIRE CORP. 0.00097509 0.03245198 0.030047211 LIAN BENG GROUP 0.00129507 0.03245198 0.039907312 KOH BROTHERS GROUP 0.00068113 0.03245198 0.020988913 LH GROUP 0.00041373 0.03245198 0.012749014 LOW KENG HUAT (SING.) 0.00082388 0.03245198 0.0253877
TOTAL W 1.00
STEP 7: WEIGHTAGE Z VALUE
Out of 27 overall stocks, only 14 Stocks above is selected to be included in the portfolio according to the weightage stated
SINGLE-INDEX MODEL
Year Expected Return
2011 11.70363693
2012 -11.22911205
2013 21.44333828
2014 4.713127248
2015 -17.34039588
EXPECTED RETURN (PORTFOLIO)
Year 2012 and 2015 is not doing well, their portfolio return is negative value.
NO PORTFOLIO SHARPE RANKING1 SEE HUP SENG 0.10 72 CSC HOLDINGS (0.63) 133 HOR KEW (0.09) 94 OKP HOLDINGS (0.36) 125 YONGNAM HOLDINGS (0.32) 106 LUM CHANG HOLDINGS 1.20 37 BBR HOLDINGS (S) 0.07 88 TEE INTERNATIONAL 0.53 49 HONG LEONG ASIA (0.87) 1410 SAPPHIRE CORP. (0.35) 1111 LIAN BENG GROUP 2.24 212 KOH BROTHERS GROUP 0.30 613 LH GROUP (1.07) 1514 LOW KENG HUAT (SING.) 0.48 515 SINGAPORE MARKET 4.51 1
SHARPE RATIO=Ri-Rfr/Std DeviationNO PORTFOLIO TREYNOR RANKING1 SEE HUP SENG 29.92 22 CSC HOLDINGS (62.67) 153 HOR KEW (10.77) 104 OKP HOLDINGS (25.00) 135 YONGNAM HOLDINGS (5.35) 96 LUM CHANG HOLDINGS 19.97 47 BBR HOLDINGS (S) 1.09 88 TEE INTERNATIONAL 40.14 19 HONG LEONG ASIA (12.51) 1110 SAPPHIRE CORP. (24.67) 1211 LIAN BENG GROUP 26.45 312 KOH BROTHERS GROUP 6.68 613 LH GROUP (36.97) 1414 LOW KENG HUAT (SING.) 14.01 515 SINGAPORE MARKET 4.51 7
TREYNOR RATIO=Ri-Rfr/Beta
NO PORTFOLIO TOTAL JENSEN RANK1 SEE HUP SENG 3.45 72 CSC HOLDINGS (17.84) 133 HOR KEW (5.53) 94 OKP HOLDINGS (10.52) 115 YONGNAM HOLDINGS (7.80) 106 LUM CHANG HOLDINGS 6.46 47 BBR HOLDINGS (S) (2.23) 88 TEE INTERNATIONAL 18.36 19 HONG LEONG ASIA (18.32) 1410 SAPPHIRE CORP. (12.92) 1211 LIAN BENG GROUP 14.97 312 KOH BROTHERS GROUP 3.65 613 LH GROUP (28.68) 1514 LOW KENG HUAT (SING.) 15.36 215 SINGAPORE MARKET 4.51 5
JENSEN RATIO=Ri-(Rf+Beta(rm-rf))
PERFORMANCE INDEX
Variable 1 Variable 2Mean 1.858118912 4.514Variance 257.1311748 323.82148Observations 5 5Pearson Correlation 0.391068089Hypothesized Mean Difference 0df 4t Stat -0.315078617P(T<=t) one-tail 0.384227181t Critical one-tail 2.131846786P(T<=t) two-tail 0.768454361t Critical two-tail 2.776445105
t-Test: Paired Two Sample for Means
PAIRED T-TEST
H0 : Rp = Rm ( Return portfolio is equal to return market )HA : Rp ≠ Rm ( Return portfolio is not equal to return market )
*t- statistice -0.3150 < t-critical 2.7764*Not significant, Failed to reject.
FINDINGS ON CONSTRUCTING AND EVALUATING BIG CAPITALIZATION CONSTRUCTION SECTOR STOCKS
NO. COMPANIES SUM Z VALUE TOTAL Z VALUE SUM WEIGHTAGE 1 CSC HOLDINGS 0.00378991 0.01948495 0.19450452 LUM CHANG HOLDINGS 0.00556525 0.01948495 0.28561793 HONG LEONG ASIA 0.00128179 0.01948495 0.06578364 LIAN BENG GROUP 0.0021117 0.01948495 0.10837605 KOH BROTHERS GROUP 0.00118618 0.01948495 0.06087676 LOW KENG HUAT (SING.) 0.00253074 0.01948495 0.12988187 ENGRO CORP. 0.00202714 0.01948495 0.10403628 CHIP ENG SENG 0.00099223 0.01948495 0.0509229
1.00
STEP 7 WEIGHTAGE Z VALUE
Out of 13 stocks, 8 Stocks above is selected to be included in the portfolio of big capitalization company according to the weightage stated
SINGLE-INDEX MODEL
Year Expected Return
2011 2.581872411
2012 -13.07340078
2013 36.66969765
2014 8.560354285
2015 -3.233084458
Year 2012 and 2015 is not doing well, their portfolio return is negative value.
EXPECTED RETURN (PORTFOLIO)
NO PORTFOLIO SHARPE RANKING1 CSC HOLDINGS (0.63) 82 LUM CHANG HOLDINGS 1.20 33 HONG LEONG ASIA (0.87) 94 LIAN BENG GROUP 2.24 25 KOH BROTHERS GROUP 0.30 76 LOW KENG HUAT (SING.) 0.48 57 ENGRO CORP. 0.44 68 CHIP ENG SENG 1.14 49 SINGAPORE MARKET 4.51 1
SHARPE RATIO=Ri-Rfr/Std Deviation
PERFORMANCE INDEX
Variable 1 Variable 2Mean -8.3667908 4.514Variance 313.9908185 323.82148Observations 5 5Pearson Correlation -0.314037937Hypothesized Mean Difference 0df 4t Stat -0.994908857P(T<=t) one-tail 0.188046145t Critical one-tail 2.131846786P(T<=t) two-tail 0.376092289t Critical two-tail 2.776445105
t-Test: Paired Two Sample for Means
PAIRED T-TEST
H0 : Rpb = Rm ( Return portfolio (big) is equal to return market )HA : Rpb ≠ Rm ( Return portfolio (big) is not equal to return market )
*t- statistic -0.9949 < t-critical 2.7764*Not significant, Failed to reject.
FINDINGS ON CONSTRUCTING AND EVALUATING SMALL CAPITALIZATION CONSTRUCTION SECTOR STOCKS
NO. COMPANIES SUM Z VALUE TOTAL Z VALUE SUM WEIGHTAGE 1 SEE HUP SENG 0.0048 0.02341753 0.20497462 HOR KEW 0.0021 0.02341753 0.08967643 OKP HOLDINGS 0.0058 0.02341753 0.24767774 YONGNAM HOLDINGS 0.0017 0.02341753 0.07259525 TEE INTERNATIONAL 0.0053 0.02341753 0.22632626 BBR HOLDINGS (S) 0.0012 0.02341753 0.05124377 SAPPHIRE CORP. 0.0016 0.02341753 0.06832498 LH GROUP 0.0010 0.02341753 0.0427031
1.00
STEP 7 WEIGHTAGE Z VALUE
Out of 14 stocks, 8 Stocks above is selected to be included in the portfolio of big capitalization company according to the weightage stated
SINGLE-INDEX MODEL
Year Expected Return
2011 18.35266314
2012 11.83229546
2013 19.43360734
2014 3.54225609
2015 -21.59971599
EXPECTED RETURN (PORTFOLIO)
Only in year 2015 the portfolio return is not doing well, the portfolio return is negative value.
SHARPE RATIO=Ri-Rfr/Std DeviationNO PORTFOLIO SHARPE RANKING1 SEE HUP SENG 0.10 32 HOR KEW (0.09) 53 OKP HOLDINGS (0.36) 74 YONGNAM HOLDINGS (0.32) 65 TEE INTERNATIONAL 0.53 26 BBR HOLDINGS (S) 0.07 47 SAPPHIRE CORP. (0.35) 88 LH GROUP (1.07) 99 SINGAPORE MARKET 4.51 1
TREYNOR RATIO=Ri-Rfr/Beta
PORTFOLIO TREYNOR RANKING
1 SEE HUP SENG 29.92 22 HOR KEW (10.77) 63 OKP HOLDINGS (25.00) 84 YONGNAM HOLDINGS (5.35) 55 TEE INTERNATIONAL 40.14 16 BBR HOLDINGS (S) 1.09 47 SAPPHIRE CORP. (24.67) 78 LH GROUP (36.97) 99 SINGAPORE MARKET 4.51 3
PERFORMANCE INDEX
JENSEN RATIO=Ri-(Rf+Beta(rm-rf))PORTFOLIO TOTAL JENSEN RANK
1 SEE HUP SENG 3.45 32 HOR KEW (5.53) 53 OKP HOLDINGS (10.52) 74 YONGNAM HOLDINGS (7.80) 65 TEE INTERNATIONAL 18.36 16 BBR HOLDINGS (S) (2.23) 47 SAPPHIRE CORP. (12.92) 88 LH GROUP (28.68) 99 SINGAPORE MARKET 4.51 2
PAIRED T-TEST
H0 : Rps = Rm ( Return portfolio (small) is equal to return market )HA : Rps ≠ Rm ( Return portfolio (small) is not equal to return market )
*t- statistice -0.3094 < than t-critical 2.7764*Not significant, Failed to reject.
PAIRED T-TEST
H0 : Rpb = Rps ( Return portfolio (big) is equal to return portfolio (small) )HA : Rpb ≠ Rps ( Return portfolio (big) is not equal to return portfolio (small) )
*t- statistice -0.3094 < t-critical 2.7764*Not significant, Failed to reject.
HYPOTHESIS RESULT
H0 : Rp = RmHA : Rp ≠ Rm (overall)
Not significant
H0 : Rpb = Rm HA : Rpb ≠ Rm
Not significant
H0 : Rps = Rm HA : Rps ≠ Rm
Not significant
H0 : Rpb = Rps HA : Rpb ≠ Rps
Not significant
CONCLUSION
STOCK OUTPERFORM THE MARKET
ACCORDING TO TREYNOR &
JENSEN
TEE INTERNATIONAL
SEE HUP SENG
LIAN BENG
LUM CHANG LOW KENG HUAT
KOH BROTHERS
CHIP ENG SENG
ENGRO
Thank you