Investment and Portfolio Management

Dr. Mohamed Hassan

Midterm

By:
Mohamed Helmy Aly Ahmed El Kashawy
Group: Banking and Finance
 Page 2
Example of two Investments

Date TESLA (1) BTC (2)

Jul - 2019 6.54% 0.98%

Jun - 2019 20.68% 7.19%
May - 2019 -22.43% -6.69%
Apr - 2019 -14.71% 2.56%
Mar - 2019 -12.51% 0.05%
Feb - 2019 4.19% 3.67%
Jan - 2019 -7.75% 7.17%
Dec - 2018 -5.04% -8.66%
Nov - 2018 3.90% 1.68%
Oct - 2018 27.40% -5.07%
Sep - 2018 -12.23% 1.90%
Aug - 2018 1.18% 2.16%
Jul - 2018 -13.07% 4.71%
Jun - 2018 20.45% -0.59%
May - 2018 -3.12% 1.05%
Apr - 2018 10.43% 0.25%
Mar - 2018 -22.42% -3.70%
Feb - 2018 -3.18% -4.28%
Jan - 2018 13.80% 5.79%
Dec - 2017 0.81% 1.84%
Nov - 2017 -6.84% 3.83%
Oct - 2017 -2.81% 4.34%
Sep - 2017 -4.16% 2.08%
Aug - 2017 10.03% 0.26%
Jul - 2017 -10.55% 2.54%
Jun - 2017 6.04% 1.62%
May - 2017 8.58% 0.33%
Apr - 2017 12.85% 1.34%
Mar - 2017 11.32% -0.72%
Feb - 2017 -0.77% 4.77%
Jan - 2017 17.90% 0.51%
Dec - 2016 12.82% 3.34%
Nov - 2016 -4.21% 5.41%
Oct - 2016 -3.09% -0.91%
Sep - 2016 -3.76% -0.50%
Aug - 2016 -9.70% -0.17%
Jul - 2016 10.60% 2.80%
 Page 3
Example of two Investments

Chart Title
40.00%
30.00%
20.00%
10.00%
0.00%
Jul - 2016
-10.00% Dec - 2016 May - 2017 Oct - 2017 Mar - 2018 Aug - 2018 Jan - 2019 Jun - 2019
-20.00%
-30.00%
TESLA (1) BTC (2)

Average 1 (TESLA) Average 2 (BTC)

1.00% 1.16%
Sigma 1 Sigma 2
0.1181034604 0.0346935214

Cov 1,2 0.000513054 Corelation 1,2 0.1252

0.0139484273 0.000513054 -0.5 W1 0

0.000513054 0.0012036404 -0.5 W2 0
-0.5 -0.5 0 λ -0.5

70.7916500954 -70.7916500954 -0.0977755035 0 4.89% W1

-70.7916500954 70.7916500954 -1.9022244965 0 95.11% W2
-0.0977755035 -1.9022244965 -0.0046795168 -0.5 0.23%

D0 -0.0035314899
D1 -0.0001726466
0 0.000513054 -0.5
0 0.0012036404 -0.5
-0.5 -0.5 0

D2 -0.0033588433
0.0139484273 0 -0.5
0.000513054 0 -0.5
-0.5 -0.5 0

W1 =D1 / D0 4.89%
W2 =D2 / D0 95.11%
Example of 3 Investments Page 4 / 11

Date TESLA BTC GOLD

Jul - 2019 6.54% 0.98% 1.95%
Jun - 2019 20.68% 7.19% 6.84%
May - 2019 -22.43% -6.69% 1.56%
Apr - 2019 -14.71% 2.56% -0.99%
Mar - 2019 -12.51% 0.05% -1.83%
Feb - 2019 4.19% 3.67% -0.67%
Jan - 2019 -7.75% 7.17% 2.89%
Dec - 2018 -5.04% -8.66% 4.55%
Nov - 2018 3.90% 1.68% 0.40%
Oct - 2018 27.40% -5.07% 1.63%
Sep - 2018 -12.23% 1.90% -0.83%
Aug - 2018 1.18% 2.16% -2.20%
Jul - 2018 -13.07% 4.71% -2.62%
Jun - 2018 20.45% -0.59% -3.87%
May - 2018 -3.12% 1.05% -1.57%
Apr - 2018 10.43% 0.25% -0.53%
Mar - 2018 -22.42% -3.70% 0.29%
Feb - 2018 -3.18% -4.28% -1.59%
Jan - 2018 13.80% 5.79% 2.64%
Dec - 2017 0.81% 1.84% 2.54%
Nov - 2017 -6.84% 3.83% 0.50%
Oct - 2017 -2.81% 4.34% -1.01%
Sep - 2017 -4.16% 2.08% -2.47%
Aug - 2017 10.03% 0.26% 3.71%
Jul - 2017 -10.55% 2.54% 1.92%
Jun - 2017 6.04% 1.62% -2.53%
May - 2017 8.58% 0.33% 0.18%
Apr - 2017 12.85% 1.34% 1.30%
Mar - 2017 11.32% -0.72% -0.35%
Feb - 2017 -0.77% 4.77% 3.40%
Jan - 2017 17.90% 0.51% 4.79%
Dec - 2016 12.82% 3.34% -1.20%
Nov - 2016 -4.21% 5.41% -7.52%
Oct - 2016 -3.09% -0.91% -3.01%
Sep - 2016 -3.76% -0.50% 0.48%
Aug - 2016 -9.70% -0.17% -3.45%
Jul - 2016 10.60% 2.80% 2.74%

Average 1 Average 2 Average 3

1.00% 1.16% 0.16%
Sigma 1 Sigma 2 Sigma 3
0.1181034604 0.0346935214 0.0279520386

Cov 1,2 0.000513054 Corelation 1,2 0.125214

Example of 3 Investments Page 5 / 11

Cov 1,3 0.0009264489 Corelation 1,3 0.280637

Cov 2,3 -2.512713E-05 Corelation 2,3 -0.02591
Example of 3 Investments Page 6 / 11

0.0139484273 0.000513054 0.0009264489 -0.5 W1 0

0.000513054 0.0012036404 -2.512713E-05 -0.5 W2 0
0.0009264489 -2.512713E-05 0.0007813165 -0.5 W3 0
-0.5 -0.5 -0.5 0λ -0.5

78.119271147 -15.086726788 -63.032544359 0.047008 0 W1 -2.35%

-15.086726788 494.263123144 -479.17639636 -0.80157 0 W2 40.08%
-63.032544359 -479.17639636 542.208940715 -1.24544 0 W3 62.27%
0.047008476 -0.8015698069 -1.2454386691 -0.00182 -0.5 λ 0.09%

D0 -6.513153E-06
D1 1.530867E-07
0 0.000513054 0.0009264489 -0.5
0 0.0012036404 -2.512713E-05 -0.5
0 -2.512713E-05 0.0007813165 -0.5
-0.5 -0.5 -0.5 0

D2 -2.610374E-06
0.0139484273 0 0.0009264489 -0.5
0.000513054 0 -2.512713E-05 -0.5
0.0009264489 0 0.0007813165 -0.5
-0.5 -0.5 -0.5 0

D3 -4.055866E-06
0.0139484273 0.000513054 0 -0.5 W1 =D1/D0 -2.35%
0.000513054 0.0012036404 0 -0.5 W2 =D2/D0 40.08%
0.0009264489 -2.512713E-05 0 -0.5 W3 =D3/D0 62.27%
-0.5 -0.5 -0.5 0

Chart Title
40.00%

30.00%

20.00%

10.00%

0.00%
Jul - 2016 Ja n - 2017 Jul - 2017 Jan - 2018 Jul - 2018 Jan - 2019 Jul - 2019
-10.00%

-20.00%

-30.00%
TESLA BTC GOLD
 -20.00%of 3 Investments
Example Page 7 / 11

-30.00%
TESLA BTC GOLD
Example of 4 Investments Page 8 / 11

Date TESLA (1) BTC (2) GOLD (3) AMAZON (4)

Jul - 2019 6.54% 0.98% 1.95% 6.54%
Jun - 2019 20.68% 7.19% 6.84% 6.68%
May - 2019 -22.43% -6.69% 1.56% -7.86%
Apr - 2019 -14.71% 2.56% -0.99% 8.19%
Mar - 2019 -12.51% 0.05% -1.83% 8.59%
Feb - 2019 4.19% 3.67% -0.67% -4.59%
Jan - 2019 -7.75% 7.17% 2.89% 14.43%
Dec - 2018 -5.04% -8.66% 4.55% -11.13%
Nov - 2018 3.90% 1.68% 0.40% 5.77%
Oct - 2018 27.40% -5.07% 1.63% -20.22%
Sep - 2018 -12.23% 1.90% -0.83% -0.48%
Aug - 2018 1.18% 2.16% -2.20% 13.24%
Jul - 2018 -13.07% 4.71% -2.62% 4.57%
Jun - 2018 20.45% -0.59% -3.87% 4.31%
May - 2018 -3.12% 1.05% -1.57% 4.05%
Apr - 2018 10.43% 0.25% -0.53% 8.21%
Mar - 2018 -22.42% -3.70% 0.29% -4.30%
Feb - 2018 -3.18% -4.28% -1.59% 4.24%
Jan - 2018 13.80% 5.79% 2.64% 24.06%
Dec - 2017 0.81% 1.84% 2.54% -0.62%
Nov - 2017 -6.84% 3.83% 0.50% 6.47%
Oct - 2017 -2.81% 4.34% -1.01% 14.97%
Sep - 2017 -4.16% 2.08% -2.47% -1.96%
Aug - 2017 10.03% 0.26% 3.71% -0.73%
Jul - 2017 -10.55% 2.54% 1.92% 2.04%
Jun - 2017 6.04% 1.62% -2.53% -2.68%
May - 2017 8.58% 0.33% 0.18% 7.53%
Apr - 2017 12.85% 1.34% 1.30% 4.34%
Mar - 2017 11.32% -0.72% -0.35% 4.91%
Feb - 2017 -0.77% 4.77% 3.40% 2.62%
Jan - 2017 17.90% 0.51% 4.79% 9.82%
Dec - 2016 12.82% 3.34% -1.20% -0.09%
Nov - 2016 -4.21% 5.41% -7.52% -4.97%
Oct - 2016 -3.09% -0.91% -3.01% -5.67%
Sep - 2016 -3.76% -0.50% 0.48% 8.86%
Aug - 2016 -9.70% -0.17% -3.45% 1.36%
Jul - 2016 10.60% 2.80% 2.74% 6.04%

Average 1 Average 2 Average 3 Average 4

1.00% 1.16% 0.16% 3.15%
Sigma 1 Sigma 2 Sigma 3 Sigma 4
0.1181034604 0.0346935214 0.0279520386 0.078690655

Cov 1,2 0.000513054 Corelation 1,2 0.1252137671

Cov 1,3 0.0009264489 Corelation 1,3 0.2806372927
Cov 1,4 0.0006064407 Corelation 1,4 0.0652533079
Cov 2,3 -2.5127129E-05 Corelation 2,3 -0.0259108108
Cov 2,4 0.0015575375 Corelation 2,4 0.5705148849
Example of 4 Investments Page 9 / 11

Cov 3,4 0.0002308485 Corelation 3,4 0.1049519195

Example of 4 Investments Page 10 / 11

40.00%

Chart Title
30.00%

20.00%

10.00%

0.00%
Jul - 2016 Dec - 2016 May - 2017 Oct - 2017 Mar - 2018 Aug - 2018 Ja n - 2019 Jun - 2019

-10.00%

-20.00%

-30.00%
TESLA (1) BTC (2) GOLD (3) AMAZON (4)

0.0139484273 0.000513054 0.0009264489 0.0006064407 -0.5 W1 0

0.000513054 0.0012036404 -2.5127129E-05 0.0015575375 -0.5 W2 0
0.0009264489 -2.5127129E-05 0.0007813165 0.0002308485 -0.5 W3 0
0.0006064407 0.0015575375 0.0002308485 0.0061922192 -0.5 W4 0
-0.5 -0.5 -0.5 -0.5 0λ -0.5

Using the Inverse Matrix

78.1663131544 -18.573250348 -62.910869523 3.3178067166 0.0489928071 0 W1 -2.45%
-18.573250348 752.667200711 -488.1943402 -245.89961016 -0.9486387268 0 W2 47.43%
-62.910869523 -488.1943402 542.523654445 8.5815552789 -1.2403061678 0 W3 62.02%
3.3178067166 -245.89961016 8.5815552789 234.000248166 0.1399520875 0 W4 -7.00%
0.0489928071 -0.9486387268 -1.2403061678 0.1399520875 -0.001735076 -0.5 λ 0.09%
Example of 4 Investments Page 11 / 11

D0 -2.7834E-08
D1 6.818319E-10
0 0.000513054 0.00092645 0 -0.5
0 0.00120364 -2.5127E-05 0 -0.5
0 -2.51271E-05 0.00078132 0 -0.5
0 0.001557538 0.00023085 0.01 -0.5
-0.5 -0.5 -0.5 -0.5 0

D2 -1.32022E-08
0.013948427 0 0.00092645 0 -0.5
0.000513054 0 -2.5127E-05 0 -0.5
0.000926449 0 0.00078132 0 -0.5
0.000606441 0 0.00023085 0.01 -0.5
-0.5 -0.5 -0.5 -0.5 0

D3 -1.72613E-08
0.013948427 0.000513054 0 0 -0.5
0.000513054 0.00120364 0 0 -0.5
0.000926449 -2.51271E-05 0 0 -0.5
0.000606441 0.001557538 0 0.01 -0.5
-0.5 -0.5 -0.5 -0.5 0

D4 1.94771E-09
0.013948427 0.000513054 0.00092645 0 -0.5
0.000513054 0.00120364 -2.5127E-05 0 -0.5
0.000926449 -2.51271E-05 0.00078132 0 -0.5
0.000606441 0.001557538 0.00023085 0 -0.5
-0.5 -0.5 -0.5 -0.5 0

Using the Determinant

W1 -2.45%
W2 47.43%
W3 62.02%
W4 -7.00%