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PROJECT PAPER PRESENTATION
1. NUR AQILAH BINTI
MOHAMAD DA’AI
2014283256
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
3. 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
4. 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
5. 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.
6. LITERATURE REVIEW
SINGLE INDEX-
MODEL?
-The chosen stock is computed
-Less time consuming and more comfortable
-Better placed for constructing optimal portfolio
Odel, 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)
7. RESEARCH METHODOLOGY
SAMPLE
Conducted in Singapore
Yearly return index of Singapore market and 27
construction companies
Sources : DataStream and Yahoo Finance
DATA
Secondary Data : Journals, Internet
HYPOTHESIS
𝑯 𝟎 : rp = rm
𝑯 𝒂 : rp ≠ rm
METHOD
Single-Index Model
Portfolio Return
Performance Index
TEST
Paired T-Test
9. 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 0.1426656
2 CSC HOLDINGS 0.00368281 0.03245198 0.1134849
3 HOR KEW 0.00189323 0.03245198 0.0583394
4 OKP HOLDINGS 0.00528124 0.03245198 0.1627401
5 YONGNAMHOLDINGS 0.00148757 0.03245198 0.0458391
6 LUMCHANG HOLDINGS 0.00518883 0.03245198 0.1598926
7 BBR HOLDINGS (S) 0.00093183 0.03245198 0.0287141
8 TEE INTERNATIONAL 0.00409072 0.03245198 0.1260546
9 HONG LEONG ASIA 0.00107705 0.03245198 0.0331890
10 SAPPHIRE CORP. 0.00097509 0.03245198 0.0300472
11 LIAN BENG GROUP 0.00129507 0.03245198 0.0399073
12 KOH BROTHERS GROUP 0.00068113 0.03245198 0.0209889
13 LH GROUP 0.00041373 0.03245198 0.0127490
14 LOW KENG HUAT (SING.) 0.00082388 0.03245198 0.0253877
TOTALW 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
10. 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.
11. NO PORTFOLIO SHARPE RANKING
1 SEE HUP SENG 0.10 7
2 CSC HOLDINGS (0.63) 13
3 HOR KEW (0.09) 9
4 OKP HOLDINGS (0.36) 12
5 YONGNAM HOLDINGS (0.32) 10
6 LUM CHANG HOLDINGS 1.20 3
7 BBR HOLDINGS (S) 0.07 8
8 TEE INTERNATIONAL 0.53 4
9 HONG LEONG ASIA (0.87) 14
10 SAPPHIRE CORP. (0.35) 11
11 LIAN BENG GROUP 2.24 2
12 KOH BROTHERS GROUP 0.30 6
13 LH GROUP (1.07) 15
14 LOW KENG HUAT (SING.) 0.48 5
15 SINGAPORE MARKET 4.51 1
SHARPE RATIO=Ri-Rfr/Std Deviation
NO PORTFOLIO TREYNOR RANKING
1 SEE HUP SENG 29.92 2
2 CSC HOLDINGS (62.67) 15
3 HOR KEW (10.77) 10
4 OKP HOLDINGS (25.00) 13
5 YONGNAM HOLDINGS (5.35) 9
6 LUM CHANG HOLDINGS 19.97 4
7 BBR HOLDINGS (S) 1.09 8
8 TEE INTERNATIONAL 40.14 1
9 HONG LEONG ASIA (12.51) 11
10 SAPPHIRE CORP. (24.67) 12
11 LIAN BENG GROUP 26.45 3
12 KOH BROTHERS GROUP 6.68 6
13 LH GROUP (36.97) 14
14 LOW KENG HUAT (SING.) 14.01 5
15 SINGAPORE MARKET 4.51 7
TREYNOR RATIO=Ri-Rfr/Beta
NO PORTFOLIO TOTAL JENSEN RANK
1 SEE HUP SENG 3.45 7
2 CSC HOLDINGS (17.84) 13
3 HOR KEW (5.53) 9
4 OKP HOLDINGS (10.52) 11
5 YONGNAM HOLDINGS (7.80) 10
6 LUM CHANG HOLDINGS 6.46 4
7 BBR HOLDINGS (S) (2.23) 8
8 TEE INTERNATIONAL 18.36 1
9 HONG LEONG ASIA (18.32) 14
10 SAPPHIRE CORP. (12.92) 12
11 LIAN BENG GROUP 14.97 3
12 KOH BROTHERS GROUP 3.65 6
13 LH GROUP (28.68) 15
14 LOW KENG HUAT (SING.) 15.36 2
15 SINGAPORE MARKET 4.51 5
JENSEN RATIO=Ri-(Rf+Beta(rm-rf))
PERFORMANCE INDEX
12. Variable 1 Variable 2
Mean 1.858118912 4.514
Variance 257.1311748 323.82148
Observations 5 5
Pearson Correlation 0.391068089
Hypothesized Mean Difference 0
df 4
t Stat -0.315078617
P(T<=t) one-tail 0.384227181
t Critical one-tail 2.131846786
P(T<=t) two-tail 0.768454361
t 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.
13. 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 0.1945045
2 LUM CHANG HOLDINGS 0.00556525 0.01948495 0.2856179
3 HONG LEONG ASIA 0.00128179 0.01948495 0.0657836
4 LIAN BENG GROUP 0.0021117 0.01948495 0.1083760
5 KOH BROTHERS GROUP 0.00118618 0.01948495 0.0608767
6 LOW KENG HUAT (SING.) 0.00253074 0.01948495 0.1298818
7 ENGRO CORP. 0.00202714 0.01948495 0.1040362
8 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
14. 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)
15. NO PORTFOLIO SHARPE RANKING
1 CSC HOLDINGS (0.63) 8
2 LUMCHANG HOLDINGS 1.20 3
3 HONG LEONG ASIA (0.87) 9
4 LIAN BENG GROUP 2.24 2
5 KOH BROTHERS GROUP 0.30 7
6 LOW KENG HUAT (SING.) 0.48 5
7 ENGRO CORP. 0.44 6
8 CHIP ENG SENG 1.14 4
9 SINGAPORE MARKET 4.51 1
SHARPE RATIO=Ri-Rfr/Std Deviation
PERFORMANCE INDEX
16. Variable 1 Variable 2
Mean -8.3667908 4.514
Variance 313.9908185 323.82148
Observations 5 5
Pearson Correlation -0.314037937
Hypothesized Mean Difference 0
df 4
t Stat -0.994908857
P(T<=t) one-tail 0.188046145
t Critical one-tail 2.131846786
P(T<=t) two-tail 0.376092289
t 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.
17. 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 0.2049746
2 HOR KEW 0.0021 0.02341753 0.0896764
3 OKP HOLDINGS 0.0058 0.02341753 0.2476777
4 YONGNAMHOLDINGS 0.0017 0.02341753 0.0725952
5 TEE INTERNATIONAL 0.0053 0.02341753 0.2263262
6 BBR HOLDINGS (S) 0.0012 0.02341753 0.0512437
7 SAPPHIRE CORP. 0.0016 0.02341753 0.0683249
8 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
18. 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.
19. SHARPE RATIO=Ri-Rfr/Std Deviation
NO PORTFOLIO SHARPE RANKING
1 SEE HUP SENG 0.10 3
2 HOR KEW (0.09) 5
3 OKP HOLDINGS (0.36) 7
4 YONGNAM HOLDINGS (0.32) 6
5 TEE INTERNATIONAL 0.53 2
6 BBR HOLDINGS (S) 0.07 4
7 SAPPHIRE CORP. (0.35) 8
8 LH GROUP (1.07) 9
9 SINGAPORE MARKET 4.51 1
TREYNOR RATIO=Ri-Rfr/Beta
PORTFOLIO TREYNOR RANKING
1 SEE HUP SENG 29.92 2
2 HOR KEW (10.77) 6
3 OKP HOLDINGS (25.00) 8
4 YONGNAM HOLDINGS (5.35) 5
5 TEE INTERNATIONAL 40.14 1
6 BBR HOLDINGS (S) 1.09 4
7 SAPPHIRE CORP. (24.67) 7
8 LH GROUP (36.97) 9
9 SINGAPORE MARKET 4.51 3
PERFORMANCE INDEX
JENSEN RATIO=Ri-(Rf+Beta(rm-rf))
PORTFOLIO TOTAL JENSEN RANK
1 SEE HUP SENG 3.45 3
2 HOR KEW (5.53) 5
3 OKP HOLDINGS (10.52) 7
4 YONGNAM HOLDINGS (7.80) 6
5 TEE INTERNATIONAL 18.36 1
6 BBR HOLDINGS (S) (2.23) 4
7 SAPPHIRE CORP. (12.92) 8
8 LH GROUP (28.68) 9
9 SINGAPORE MARKET 4.51 2
20. 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.
21. 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.
22. HYPOTHESIS RESULT
H0 : Rp = Rm
HA : 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
