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Tsingtao H-Shares Monthly Return Analysis

This document contains a table showing the monthly returns of Tsingtao H-shares from August 1993 to August 1995. It calculates the standard deviation, downside variance, and semi-deviation of the monthly returns in two ways - a simple monthly return calculation and a continuously compounded monthly return calculation. The semi-deviation, which measures downside risk, is 11.56% for the simple monthly returns and 14.33% for the continuously compounded returns.

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Mamunoor Rashid
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5 views1 page

Tsingtao H-Shares Monthly Return Analysis

This document contains a table showing the monthly returns of Tsingtao H-shares from August 1993 to August 1995. It calculates the standard deviation, downside variance, and semi-deviation of the monthly returns in two ways - a simple monthly return calculation and a continuously compounded monthly return calculation. The semi-deviation, which measures downside risk, is 11.56% for the simple monthly returns and 14.33% for the continuously compounded returns.

Uploaded by

Mamunoor Rashid
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd

Exhibit 1

Calculation of semi-deviation of monthly returns on Tsingtao's H-shares


BIASED
Tsingtao H
total return
index
Date
HK$
8/31/93
152.8
9/30/93
162.5
10/29/93
165.3
11/30/93
198.6
12/31/93
270.8
1/31/94
219.4
2/28/94
229.2
3/31/94
190.3
4/29/94
208.3
5/31/94
208.8
6/30/94
165.3
7/29/94
175.5
8/31/94
189.3
9/30/94
174.0
10/31/94
168.2
11/30/94
162.4
12/30/94
123.3
1/31/95
101.5
2/28/95
108.8
3/31/95
120.4
4/28/95
79.8
5/31/95
95.3
6/30/95
90.1
7/31/95
96.8
8/31/95
75.2
Average
Standard deviation
Downside variance
Semi-deviation

Simple
Downside
monthly
deviation of
return
return squared
6.35%
0.00000
1.72%
0.00000
20.15%
0.00000
36.35%
0.00000
-18.98%
0.03035
4.47%
0.00000
-16.97%
0.02376
9.46%
0.00000
0.24%
0.00000
-20.83%
0.03715
6.17%
0.00000
7.86%
0.00000
-8.08%
0.00426
-3.33%
0.00031
-3.45%
0.00036
-24.08%
0.05070
-17.68%
0.02599
7.19%
0.00000
10.66%
0.00000
-33.72%
0.10344
19.42%
0.00000
-5.46%
0.00152
7.44%
0.00000
-22.31%
0.04308
-1.56%
16.48%

PREFERRED
Continuously
compounded
Downside
monthly return
deviation of
(log return)
return squared
6.15%
0.00000
1.71%
0.00000
18.35%
0.00000
31.01%
0.00000
-21.05%
0.04430
4.37%
0.00000
-18.60%
0.03459
9.04%
0.00000
0.24%
0.00000
-23.36%
0.05458
5.99%
0.00000
7.57%
0.00000
-8.43%
0.00710
-3.39%
0.00115
-3.51%
0.00123
-27.54%
0.07587
-19.46%
0.03785
6.95%
0.00000
10.13%
0.00000
-41.13%
0.16916
17.75%
0.00000
-5.61%
0.00315
7.17%
0.00000
-25.25%
0.06375
-2.95%
17.15%

0.01337
11.56%

0.02053
14.33%

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