Risk Adjusted Performance Analysis of the Cement, Ceramic, Tannery and IT Industry in Bangladesh

27 Pages Posted: 29 Jan 2018 Last revised: 31 Jan 2018

Date Written: September 17, 2017

Abstract

The main objective of this study is to measure the risk adjusted performance of the cement, ceramic, tannery and IT industry in Bangladesh that are listed in Dhaka Stock Exchange (DSE) based on daily closing price of last 35 month. To achieve the sated goal the study used various traditional tools and risk adjusted performance measuring tools like Sharpe Ratio, Treynor Ratio, Jensen Alpha and Fama’s net selectivity. The study take total 26 share as sample of the study from the cement, ceramic, tannery and IT industry that are currently listed in Dhaka Stock Exchange (DSE). After analyzing result of all risk adjusted performance measure like Sharpe Ratio, Treynor Ratio, Jensen Alpha and Fama’s net selectivity tools, it is evident that MONNOCERA from ceramic industry, SAMATALETH from tannery industry, DAFODILCOM from IT industry are comparatively best performer. STANCERAM from ceramic industry, LEGACYFOOT from tannery industry, ISNLTD from IT industry also have satisfactory result.

Keywords: Dhaka Stock Exchange (DSE), Sharpe Ratio, Treynor Ratio, Jensen Alpha, Fama’s net selectivity

Suggested Citation

Wadud, Md. Abdul, Risk Adjusted Performance Analysis of the Cement, Ceramic, Tannery and IT Industry in Bangladesh (September 17, 2017). Available at SSRN: https://ssrn.com/abstract=3106260 or http://dx.doi.org/10.2139/ssrn.3106260

ONE Bank Limited. ( email )

HRC Bhaban 46, Kawran Bazar C/A
Dhaka, 1215
Bangladesh

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