PAKISTAN PREMIER FUND

Risk free Excess Excess

S.No Month Closing stock Stock Return Index Market Return rate Market Return Stock Return XY x2
(Rs) (Rf) (X) (Y)
1 15-Jan-05 14.25 6,559.83 0.04

2 15-Feb-05 14.85 0.042 7,402.80 0.13 0.05 0.08 -0.005 0 0.01

3 15-Mar-05 14.90 0.003 10,303.13 0.39 0.05 0.34 -0.046 -0.02 0.12

4 15-Apr-05 14.00 -0.060 7,512.91 -0.27 0.06 -0.33 -0.119 0.04 0.11

5 16-May-05 14.60 0.043 7,315.50 -0.03 0.07 -0.1 -0.027 0 0.01

6 15-Jun-05 14.65 0.003 7,488.73 0.02 0.07 -0.05 -0.071 0 0

7 15-Jul-05 16.25 0.109 7,535.81 0.01 0.08 -0.07 0.033 0 0

8 15-Aug-05 15.40 -0.052 7,122.98 -0.05 0.08 -0.13 -0.131 0.02 0.02

9 15-Sep-05 11.85 -0.231 7,979.48 0.12 0.08 0.04 -0.312 -0.01 0

10 14-Oct-05 13.10 0.105 8,863.87 0.11 0.08 0.03 0.024 0 0

11 15-Nov-05 13.25 0.011 8,889.72 0 0.08 -0.08 -0.070 0.01 0.01

12 15-Dec-05 14.15 0.068 9,488.70 0.07 0.08 -0.01 -0.013 0 0

13 16-Jan-06 15.80 0.117 10,093.52 0.06 0.08 -0.02 0.036 0 0

14 16-Feb-06 15.70 -0.006 11,259.29 0.12 0.08 0.03 -0.087 0 0

15 16-Mar-06 14.65 -0.067 10,392.91 -0.08 0.08 -0.16 -0.148 0.02 0.02

16 14-Apr-06 15.90 0.085 12,136.83 0.17 0.08 0.09 0.004 0 0.01

17 15-May-06 15.25 -0.041 11,096.86 -0.09 0.08 -0.17 -0.122 0.02 0.03

18 15-Jun-06 13.90 -0.089 9,177.46 -0.17 0.08 -0.26 -0.171 0.04 0.07

19 15-Jul-06 14.20 0.022 10,027.09 0.09 0.08 0.01 -0.062 0 0

20 14-Aug-06 14.50 0.021 10,317.41 0.03 0.09 -0.06 -0.066 0 0

21 15-Sep-06 11.70 -0.193 9,984.57 -0.03 0.09 -0.12 -0.280 0.03 0.01
22 15-Oct-06 12.70 0.085 10,909.31 0.09 0.09 0.01 -0.001 0 0

23 16-Nov-06 12.40 -0.024 10,811.86 -0.01 0.09 -0.1 -0.110 0.01 0.01

24 15-Dec-06 12.50 0.008 10,551.87 -0.02 0.09 -0.11 -0.078 0.01 0.01
25 15-Jan-07 12.20 -0.024 10,507.52 0 0.09 -0.09 -0.110 0.01 0.01

26 15-Feb-07 11.80 -0.033 11,467.96 0.09 0.09 0.01 -0.119 0 0

27 15-Mar-07 11.05 -0.064 11,310.90 -0.01 0.09 -0.1 -0.150 0.02 0.01

28 15-Apr-07 11.50 0.041 12,004.59 0.06 0.09 -0.03 -0.046 0 0

29 16-May-07 12.85 0.117 12,370.99 0.03 0.09 -0.06 0.030 0 0

30 15-Jun-07 14.15 0.101 13,438.47 0.09 0.09 0 0.014 0 0

31 15-Jul-07 15.75 0.113 13,945.03 0.04 0.09 -0.05 0.026 0 0

32 16-Aug-07 15.75 0.000 12,786.60 -0.08 0.09 -0.17 -0.091 0.02 0.03

33 15-Sep-07 11.40 -0.276 12,779.68 0 0.09 -0.09 -0.367 0.03 0.01

34 14-Oct-07 12.85 0.127 14,590.17 0.14 0.09 0.05 0.037 0 0

35 17-Nov-07 12.20 -0.051 13,110.81 -0.1 0.09 -0.19 -0.141 0.03 0.04

36 14-Dec-07 12.75 0.045 14,556.53 0.11 0.09 0.02 -0.049 0 0

37 15-Jan-08 12.55 -0.016 14,055.27 -0.03 0.09 -0.12 -0.106 0.01 0.02

TOTAL -1.95 -2.891 0.29 0.56

 CALCULATION OF BETA

METHOD NO : 1 METHOD NO : 2
B= N∑XY - (∑x) * (∑Y)/N * (∑x2)-(∑x)2 B = (R s,m * Ss) / Sm

N 36.0000 Sm 0.11
∑ XY 0.2912 Ss 0.1
∑x -1.9523
∑y -2.8910 R s,m 0.35
∑ x2 0.5597
(∑x)2 3.8116

N∑ x2 20.1480
N∑ XY 10.4840
 ∑ x*∑ y 5.6442
N∑XY - (∑x) (∑Y) 4.8399
N(∑x2) - (∑x)2 16.3365

Beta - β 0.2963 Beta - β 0.3

ANALYSIS OF FUND MANAGER PERFORMANCE

TREYNOR RATIO

T = rp - rf /β

rp -0.12
rf 0.08
β 0.2963

T -0.67
 JENSEN ALPHA

αj = Ri - ( Rf + βiM (RM - Rf)))

Ri -0.12
Rf 0.08
βiM 0.2963
RM 1.14 Rm =Pt-P(t-1)/P(t-1) INDEX

E45-E9/E9
RM-Rf 1.06
βiM(RM-Rf) 0.31
Rf+βiM (RM-Rf)) 0.4

αj -0.5144

SHARPE RATIO

S = E (R - Rf)/ σ

Rp -0.12 Rp =Pt-P(t-1)/P(t-1)
Rf 0.08 C45-C9/C9 Closing Stock

σy 0.1

S -1.25
 COMPOUND ANNUAL GROWTH RATE

CAGR = (ending value/beginning value) (1/# of years) - 1

Ending value 12.55

Beginning value 14.25
E/B 0.88
1/ # of years 0.33

E/B (1/ # of years) -1 -0.04

SORTINO RATIO

S = R - T / DR

R 0.4
T= Rf 0.08
DR = σ 0.08
S 3.92
 PAKISTAN PREMIER FUND

S.No Month Closing stock Stock Return Index Market Return Risk free rate
Rs Rf
1 15-Jan-05 14.25 6,559.83 0.04

2 15-Feb-05 14.85 0.042 7,402.80 0.13 0.05

3 15-Mar-05 14.90 0.003 10,303.13 0.39 0.05

4 15-Apr-05 14.00 -0.060 7,512.91 -0.27 0.06

5 16-May-05 14.60 0.043 7,315.50 -0.03 0.07

6 15-Jun-05 14.65 0.003 7,488.73 0.02 0.07

7 15-Jul-05 16.25 0.109 7,535.81 0.01 0.08

8 15-Aug-05 15.40 -0.052 7,122.98 -0.05 0.08

9 15-Sep-05 11.85 -0.231 7,979.48 0.12 0.08

10 14-Oct-05 13.10 0.105 8,863.87 0.11 0.08

11 15-Nov-05 13.25 0.011 8,889.72 0 0.08

12 15-Dec-05 14.15 0.068 9,488.70 0.07 0.08

13 16-Jan-06 15.80 0.117 10,093.52 0.06 0.08

14 16-Feb-06 15.70 -0.006 11,259.29 0.12 0.08

15 16-Mar-06 14.65 -0.067 10,392.91 -0.08 0.08

16 14-Apr-06 15.90 0.085 12,136.83 0.17 0.08

17 15-May-06 15.25 -0.041 11,096.86 -0.09 0.08

18 15-Jun-06 13.90 -0.089 9,177.46 -0.17 0.08

19 15-Jul-06 14.20 0.022 10,027.09 0.09 0.08

20 14-Aug-06 14.50 0.021 10,317.41 0.03 0.09

21 15-Sep-06 11.70 -0.193 9,984.57 -0.03 0.09

22 15-Oct-06 12.70 0.085 10,909.31 0.09 0.09

23 16-Nov-06 12.40 -0.024 10,811.86 -0.01 0.09

24 15-Dec-06 12.50 0.008 10,551.87 -0.02 0.09

25 15-Jan-07 12.20 -0.024 10,507.52 0 0.09

26 15-Feb-07 11.80 -0.033 11,467.96 0.09 0.09

27 15-Mar-07 11.05 -0.064 11,310.90 -0.01 0.09

28 15-Apr-07 11.50 0.041 12,004.59 0.06 0.09

29 16-May-07 12.85 0.117 12,370.99 0.03 0.09

30 15-Jun-07 14.15 0.101 13,438.47 0.09 0.09

31 15-Jul-07 15.75 0.113 13,945.03 0.04 0.09

32 16-Aug-07 15.75 0.000 12,786.60 -0.08 0.09

33 15-Sep-07 11.40 -0.276 12,779.68 0 0.09

34 14-Oct-07 12.85 0.127 14,590.17 0.14 0.09

35 17-Nov-07 12.20 -0.051 13,110.81 -0.1 0.09

36 14-Dec-07 12.75 0.045 14,556.53 0.11 0.09

37 15-Jan-08 12.55 -0.016 14,055.27 -0.03 0.09

TOTAL

CALCULATION OF BETA

METHOD NO : 1 METHOD NO : 2
B= N∑XY - (∑x) * (∑Y)/N * (∑x2)-(∑x)2 B = (R s,m * Ss) / Sm

N 36.0000 Sm 0.11
∑ XY 0.2912 Ss 0.1
∑x -1.9523
∑y -2.8910 R s,m 0.35
∑ x2 0.5597
(∑x)2 3.8116

N∑ x2 20.1480
N∑ XY 10.4840
∑ x*∑ y 5.6442
N∑XY - (∑x) (∑Y) 4.8399
N(∑x2) - (∑x)2 16.3365

Beta - β 0.2963 Beta - β 0.3

 ANALYSIS OF FUND MANAGER PERFORMANCE

TREYNOR RATIO

T = rp - rf /β

rp 13.71
rf 0.08
β 0.2963

T 46

JENSEN ALPHA

αj = Ri - ( Rf + βiM (RM - Rf)))

Ri 13.71
Rf 0.08
βiM 0.2963
RM 0.03

RM-Rf -0.05
βiM(RM-Rf) -0.02
Rf+βiM (RM-Rf)) 0.06

αj 13.6448
 SHARPE RATIO

S = E (R - Rf)/ σ

Rp 13.71
Rf 0.08
0.1
S 170.47

COMPOUND ANNUAL GROWTH RATE

CAGR = (ending value/beginning value) (1/# of years) - 1

Ending value 12.55

Beginning value 14.25
E/B 0.88
1/ # of years 0.33

E/B (1/ # of years) -1 -0.04

SORTINO RATIO

S = R - T / DR

R 0.06
T= Rf 0.08
DR = σ 0.08
S -0.2
MIER FUND

Excess Excess XY x2
Market Return(X) Stock Return(Y)

0.08 -0.005 0 0.01

0.34 -0.046 -0.02 0.12

-0.33 -0.119 0.04 0.11

-0.1 -0.027 0 0.01

-0.05 -0.071 0 0

-0.07 0.033 0 0

-0.13 -0.131 0.02 0.02

0.04 -0.312 -0.01 0

0.03 0.024 0 0

-0.08 -0.070 0.01 0.01

-0.01 -0.013 0 0

-0.02 0.036 0 0

0.03 -0.087 0 0

-0.16 -0.148 0.02 0.02

0.09 0.004 0 0.01

-0.17 -0.122 0.02 0.03

-0.26 -0.171 0.04 0.07

0.01 -0.062 0 0

-0.06 -0.066 0 0

-0.12 -0.280 0.03 0.01

0.01 -0.001 0 0

-0.1 -0.110 0.01 0.01

-0.11 -0.078 0.01 0.01

-0.09 -0.110 0.01 0.01

0.01 -0.119 0 0

-0.1 -0.150 0.02 0.01

 -0.03 -0.046 0 0

-0.06 0.030 0 0

0 0.014 0 0

-0.05 0.026 0 0

-0.17 -0.091 0.02 0.03

-0.09 -0.367 0.03 0.01

0.05 0.037 0 0

-0.19 -0.141 0.03 0.04

0.02 -0.049 0 0

-0.12 -0.106 0.01 0.02

-1.95 -2.891 0.29 0.56

HOD NO : 2
s,m * Ss) / Sm
PERFORMANCE