SECTION-1
Barclays plc data analysis and computation from 2003-2007
All values in £mil unless is especified
yr/V
2,003
2,004
2,005
2,006
2,007
IN
6,604
6,833
8,075
9,143
9,610
NIN
4,263
4,847
5,705
7,177
7,708
NP
2,769
3,301
3,841
5,195
5,095
OEXP
7,253
8,536
10,527
12,674
13,199
TSE
16,473
16,764
24,430
27,390
32,476
TA
443,361
538,181
924,357
996,787
1,227,361
2002 total equity is
15,201
2002 total assets is
403,062
other variables
2,003
2,004
2,005
2,006
2,007
Tax paid
910
690
1,082
2,141
1,583
**Loss prov.
1,347
1,093
1,571
2,154
2,795
PFT
3,845
4,580
5,280
7,136
7,076
Control variables for Barclays
EFF
39.229%
41.498%
41.401%
43.977%
44.509%
IN/TSE
40.090%
40.760%
33.054%
33.381%
29.591%
OEXP/TSE
44.030%
50.919%
43.090%
46.272%
40.642%
KA
3.715%
3.115%
2.643%
2.748%
2.646%
NIN/IN
64.552%
70.935%
70.650%
78.497%
80.208%
ROE
17.48%
19.86%
18.65%
20.05%
17.02%
ROA
0.65%
0.67%
0.53%
0.54%
0.46%
ROE Analysis for barclays plc on annual basis
Mean
18.61%
stdev
1.36%
Risk-adjusted ROE
13.650
95% Confiedent level
17.19% lower limit
20.04% upper limit
Barclays plc cost of equity calcualtion from 2003-2007
2003
2004
2005
2006
2007
Rf
4.80%
4.95%
4.30%
4.70%
5.45%
Risk Premium
5.20%
5.45%
5.50%
5.60%
5.60%
Beta,β
0.1346
0.5451
0.8674
1.0630
1.3850
adjusted β
0.4288
0.6998
0.9125
1.0416
1.2541
E(R)
7.03%
8.76%
9.32%
10.53%
12.47%
EVA Calculation for Barclays on annual basis
NOPAT/yr
2003
2004
2005
2006
2007
PBT
3,845
4,580
5,280
7,136
7,076
Tax paid
910
690
1,082
2,141
1,583
**provision for losses
1,347
1,093
1,571
2,154
2,795
Equity capital, TSE
15,201
16,473
16,764
24,430
27,390
E(R)
7.03%
8.76%
9.32%
10.53%
12.47%
Capital charged
1,068.62
1,443.65
1,562.18
2,573.17 3416.344
EVA
3,213
3,539
4,207
4,576
4,872
EVA/ equity capital
21.14%
21.49%
25.09%
18.73%
17.79%
Analysis of EVA per equity capital on annual basis for Barclays plc
Mean
0.208
Stdev
0.028
Risk adjusted
7.327
95% Confiedent level
17.87% lower limit
Regression Analysis Inputs for Barclays
yr
EVA/E
C-C
P-L
PBT
E(R)
ROE
MR
EVA
RAR
2003
21.14%
1,068.62
1,347
3,845
7.03%
17.48%
22.05%
3,213
99.85%
2004
21.49%
1,443.65
1,093
4,580
8.76%
19.86%
15.00%
3,539
75.70%
2005
25.09%
1,562.18
1,571
5,280
9.32%
18.65%
24.87%
4,207
148.37%
2006
18.73%
2,573.17
2,154
7,136
10.53%
20.05%
7.63%
4,576
30.01%
2007
17.79% 3416.3437
2,795
7,076
12.47%
17.02%
-33.13%
4,872
-86.91%
Rgression Analysis for Barclays
EVA/E
C-C
P-L
PBT
E(R)
ROE
MR
EVA
RAR
EVA/E
1
C-C
-0.734
1
P-L
-0.687
0.960
1
PBT
-0.611
0.933
0.889
1
E(R)
-0.573
0.970
0.901
0.926
1
ROE
0.158
-0.208
-0.390
0.068
-0.125
1
MR
0.772
-0.913
-0.873
-0.707
-0.863
0.455
1
EVA
-0.447
0.919
0.899
0.963
0.953
-0.064
-0.711
1
RAR
0.895
-0.900
-0.845
-0.714
-0.813
0.346
0.973
-0.656
1
Logarithmic inputs
yr
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
2003
69.24%
19.93%
19.18%
16.11%
6.79%
0.65%
33.71%
49.81%
2004
56.36%
13.98%
19.46%
18.12%
8.40%
0.67%
34.19%
53.61%
2005
90.97%
22.21%
22.39%
17.10%
8.91%
0.52%
28.56%
53.44%
2006
26.24%
7.35%
17.17%
18.27%
10.01%
0.54%
28.80%
57.94%
2007
-203.33%
-40.24%
16.37%
15.72%
11.75%
0.46%
25.92%
58.89%
logarithmic regression for Barclays
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
LRAR
1
LMR
0.999
1
L(EVA/E)
0.742
0.744
1
L(ROE)
0.546
0.503
0.163
1
L(E(R))
-0.825
-0.849
-0.576
-0.119
1
L(ROA)
0.675
0.685
0.304
0.339
-0.865
1
L(IN/TSE)
0.668
0.679
0.320
0.296
-0.877
0.999
1
L(NIN/IN)
-0.720
-0.752
-0.651
0.102
0.962
-0.767
-0.792
1
Logarithmic table for Barclays
L(EVA)
L(PBT)
L(C-C)
L(P-L)
L(TAX)
8.075
6.813
6.974
7.206
6.813
8.172
8.429
7.275
6.997
6.537
8.344
8.572
7.354
7.359
6.987
8.429
8.873
7.853
7.359
7.669
8.491
8.864
8.136
7.936
7.367
Regression of logarithmic EVA composition variables
SECTION-2
HSBC Holdings plc data analyis and computation from 2003-2007
All values in £mil unless is specified
YR/V
2,003
2,004
2,005
2,006
2,007
IN
15,666
16,939
17,234
18,726
18,898
NIN
6361.128
7,149
7,951
9,330
11,001
NP
5,934
7,153
8,730
9,161
10,228
OEXP
12047.22
13,204
16,233
16,777
19,521
TSE
45,577
47,296
54,024
62,406
67,708
TA
632,940
697,121
826,084 1,010,392 1,177,133
2002 Total Equity=
34,902
2002 Total Equity=
assets =
505,658
other variables
2,003
2004
2005
2006
2007
Tax paid
1,610
2,073
2,540
2,686
2,544
**Loss prov.
3,729
3,471
4,291
5,741
8,621
PBT
7,843
9,614
11,531
11,993
12,106
Control variables for HSBC
EFF
28.879%
29.678%
31.570%
33.255%
36.794%
IN/TSE
34.372%
35.815%
31.900%
30.007%
27.910%
OEXP/TSE
26.432%
27.918%
30.047%
26.883%
28.831%
KA
7.201%
6.784%
6.540%
6.176%
5.752%
NIN/IN
40.605%
42.203%
46.135%
49.823%
58.214%
ROE
14.75%
15.40%
17.23%
15.74%
15.72%
ROA
1.04%
1.08%
1.15%
1.00%
0.94%
ROE Analysis for HSBC on annual basis
Mean
15.77%
stdev
0.91%
Risk-adjusted ROE
17.295
95% Confiedent level
14.81% lower limit
16.72% upper limit
HSBC Holdings plc cost of equity calcualtion from 2003-2007
2003
2004
2005
2006
2007
Rf
4.80%
4.95%
4.30%
4.70%
5.45%
Risk Premium
5.20%
5.45%
5.50%
5.60%
5.60%
Beta,β
0.7861
0.9430
0.5960
0.5869
0.6715
adjusted β
0.8588
0.9624
0.7334
0.7274
0.7832
E(R)
9.27%
10.19%
8.33%
8.77%
9.84%
EVA Calculation for HSBC on annual basis
NOPAT/yr
PBT
7,843
9,614
11,531
11,993
12,106
Tax paid
1,610
2,073
2,540
2,686
2,544
** provision for losses
3,729
3,471
4,291
5,741
8,621
Equity capital, TSE
34,902
45,577
47,296
54,024
62,406
E(R)
9.27%
10.19%
8.33%
8.77%
9.84%
Capital charged
3,234.04
4,646.59
3,941.42
4,739.65
6,138.16
EVA
6,728
6,365
9,340
10,309
12,045
EVA per equity capital
19.28%
13.97%
19.75%
19.08%
19.30%
Analysis of EVA per equity capital on annual basis for HSBC
Mean
0.183
Stdev
0.024
Risk adjusted
7.548
Regression Analysis Inputs for HSBC
EVA/E
C-C
P-L
PBT
E(R)
ROE
MR
EVA
RAR
19.28%
3,234.04
3,729
7,843
9.27%
14.75%
25.14%
6,728
156.78%
13.97%
4,646.59
3,471
9,614
10.19%
15.40%
10.12%
6,365
78.13%
19.75%
3,941.42
4,291
11,531
8.33%
17.23%
20.02%
9,340
217.19%
19.08%
4,739.65
5,741
11,993
8.77%
15.74%
2.52%
10,309
19.58%
19.30%
6,138.16
8,621
12,106
9.84%
15.72%
1.32%
12,045
7.24%
Regression Analysis for HSBC
EVA/E
C-C
P-L
PBT
E(R)
ROE
MR
EVA
RAR
EVA/E
1
C-C
-0.081
1
P-L
0.418
0.858
1
PBT
0.309
0.704
0.691
1
E(R)
-0.707
0.449
0.144
-0.288
1
ROE
0.298
0.086
0.080
0.657
-0.620
1
MR
0.142
-0.903
-0.728
-0.721
-0.333
-0.005
1
EVA
0.590
0.731
0.916
0.876
-0.229
0.409
-0.661
1
RAR
0.188
-0.799
-0.673
-0.417
-0.522
0.391
0.916
-0.484
1
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
94.30%
22.43%
17.63%
13.76%
8.86%
1.04%
29.54%
34.08%
57.73%
9.64%
13.07%
14.33%
9.71%
1.07%
30.61%
35.21%
115.43%
18.25%
18.02%
15.90%
8.00%
1.14%
27.69%
37.94%
17.88%
2.49%
17.46%
14.61%
8.41%
0.99%
26.24%
40.43%
6.99%
1.31%
17.65%
14.60%
9.38%
0.93%
24.62%
45.88%
Logarithmic regression for HSBC
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
LRAR
LMR
L(EVA/E)
L(ROE)
L(E(R))
L(ROA)
L(IN/TSE)
L(NIN/IN)
LRAR
1
LMR
0.947
1
L(EVA/E)
0.081
0.122
1
L(ROE)
0.293
0.001
0.295
1
L(E(R))
-0.444
-0.329
-0.705
-0.621
1
L(ROA)
0.884
0.712
-0.179
0.502
-0.436
1
L(IN/TSE)
0.617
0.653
-0.642
-0.315
0.227
0.637
1
L(NIN/IN)
-0.208
-0.005
-0.610
-0.819
0.918
-0.340
0.436
1
Logarithmic table for HSBC
L(EVA)
L(PBT)
L(C-C)
L(P-L)
L(TAX)
8.814
7.384
8.081
8.224
7.384
8.759
9.171
8.444
8.152
7.637
9.142
9.353
8.279
8.364
7.840
9.241
9.392
8.464
8.364
7.896
9.396
9.401
8.722
9.062
7.841
Regression of logarithmic EVA compsition variables
PERFORMANCE ANALYSIS OF NET INTEREST INCOME
SECTION-1: Barclays plc SECTION-2: HSBC
Net Interest Income to equity analysis Net Interest Income to equity analysis
All figures in £mil All figures in £mil
NI TSE NI/TSE NI TSE NI/TSE
2003 6,604 16,473 0.401 2003 15,666 45,577 0.344
2004 6,833 16,764 0.408 2004 16,939 47,296 0.358
2005 8,075 24,430 0.331 2005 17,234 54,024 0.319
2006 9,143 27,390 0.334 2006 18,726 62,406 0.300
2007 9,610 32,476 0.296 2007 18,898 67,708 0.279
Mean Income/TSE 0.354 Mean Income/TSE 0.320
Standard deviation 0.048 Standard deviation 0.032
Risk adjusted 7.295 Risk adjusted 10.009
95% confident level 30.30% lower limit 95% confident level 28.65% lower limit
40.45% upper limit 35.35% upper limit
Correl,R (Barclays:HSBC)= 0.960926 R squared(Barclays:HSBC) 92.34%
Net Non-interest income to equity analysis Net Non-interest income to equity analysis
NIN TSE NIN/TSE NIN TSE NIN/TSE
2003 4,263 16,473 0.259 2003 6361.128 45,577 0.140
2004 4,847 16,764 0.289 2004 7,149 47,296 0.151
2005 5,705 24,430 0.234 2005 7,951 54,024 0.147
2006 7,177 27,390 0.262 2006 9,330 62,406 0.150
2007 7,708 32,476 0.237 2007 11,001 67,708 0.162
Mean Income/TSE 0.256 Mean Income/TSE 0.150
Standard deviation 0.022 Standard deviation 0.008
Risk adjusted 11.471 Risk adjusted 18.118
95% confident level 23.28% lower limit 95% confident level 14.13% lower limit
27.95% upper limit 15.86% upper limit
27.95% upper limit 15.86% upper limit
SECTION-1
HSBC weekly stock price data from 04/03-04/08
HP0 7 HP0 6 HP0 5 HP0 4 HP0 3 HR0 7 HR0 6 HR0 5 HR0 4 HR0 3 850.5 853.27 838.77 689.67 628.46 0.033414 0.016306 0.005177 0.007156 0.001227 823 839.58 834.45 684.77 627.69 0.020459 -0.00946 -0.00103 -0.00651 0.009862 806.5 847.6 835.31 689.26 621.56 0.057705 0.063061 0.012472 0.010171 -0.00917 762.5 797.32 825.02 682.32 627.31 0.005274 -0.03297 -0.01004 0.017963 -0.00946 758.5 824.5 833.39 670.28 633.3 -0.00979 0.027094 0.020511 -0.01223 0.008295 766 802.75 816.64 678.58 628.09 0.017264 -0.01446 -0.0051 -0.03863 -0.03654 753 814.53 820.83 705.85 651.91 0.031507 -0.01641 0.024041 -0.00779 0.00748 730 828.12 801.56 711.39 647.07 -0.0095 -0.00653 0.014299 -0.00716 0.010463 737 833.56 790.26 716.52 640.37 -0.04719 -0.01604 0.006944 0.024288 0.012955 773.5 847.15 784.81 699.53 632.18 0.003243 0.003756 -0.0016 0.018995 0.00354 771 843.98 786.07 686.49 629.95 0.013807 -0.00107 -0.00477 0.000583 -0.02253 760.5 844.88 789.84 686.09 644.47 -0.06458 0.015237 -0.0136 -0.0097 0.003488 813 832.2 800.73 692.81 642.23 -0.01752 -0.0239 0.010041 -0.00905 -0.0171 827.5 852.58 792.77 699.14 653.4 -0.02013 0.010741 0.014473 0.006261 -0.01183 844.5 843.52 781.46 694.79 661.22 -0.00705 0.007573 -0.00268 -0.00622 0.009096 850.5 837.18 783.56 699.14 655.26 0.013707 -0.00752 0.015198 0.0291 -0.00227 839 843.52 771.83 679.37 656.75 -0.02271 0.016926 0.007098 -0.01491 0.007424 858.5 829.48 766.39 689.65 651.91 0.034337 -0.01453 -0.02295 -0.01912 -0.00172 830 841.71 784.39 703.09 653.03 0.003628 -0.04029 -0.00478 -0.00112 -0.00454 827 877.05 788.16 703.88 656.01 0.00023 -0.00814 0.001487 -0.01054 0.015873 826.81 884.25 786.99 711.38 645.76 0.004166 -0.01687 0.022676 -0.03285 -0.02873 823.38 899.42 769.54 735.54 664.86 -0.07229 -0.00739 0.029444 0.028886 -0.00659 887.54 906.12 747.53 714.89 669.27 -0.01789 0.016525 0.031517 0.043209 0.029377 903.71 891.39 724.69 685.28 650.17 -0.00108 -0.00498 -0.00571 -0.0034 0.047968 904.69 895.85 728.85 687.62 620.41 -0.03096 -0.01278 -0.01459 -0.01009 -0.00355 933.59 907.45 739.64 694.63 622.62 -0.00883 0.01852 -0.01385 -0.01164 -0.00352 941.91 890.95 750.03 702.81 624.82 0.06302 0.024634 -0.01526 0.008944 0.012494 886.07 869.53 761.65 696.58 617.11 -0.00659 0.023627 0.012698 0.012456 0.041536 891.95 849.46 752.1 688.01 592.5 0.025336 -0.00417 0.01173 -0.00562 -0.00492 869.91 853.02 743.38 691.9 595.43 0.017177 0.001562 0.007317 0.013699 0.007445 855.22 851.69 737.98 682.55 591.03 -0.02675 -0.00104 0.003945 -0.00568 -0.0171 878.73 852.58 735.08 686.45 601.31 -0.00111 0.006849 -0.00281 0.017913 0.006764 879.71 846.78 737.15 674.37 597.27 -0.00442 -0.00471 -0.01988 0.04466 0 883.62 850.79 752.1 645.54 597.27 0.044727 0.020095 -0.00124 0.009745 -0.00369 845.79 834.03 753.03 639.31 599.48 -0.02222 -0.00732 -0.00868 -0.00484 0.058367 845.79 834.03 753.03 639.31 599.48 -0.02222 -0.00732 -0.00868 -0.00484 0.058367 865.01 840.18 759.62 642.42 566.42 0.022144 -0.01797 -0.00054 0.021043 0.008511 846.27 855.55 760.03 629.18 561.64 -0.01621 0.028515 -0.00966 0.006237 0.022744 860.21 831.83 767.44 625.28 549.15 -0.01971 0.005306 0.019136 0.019683 -0.02097 877.51 827.44 753.03 613.21 560.91 -0.00381 -0.02028 0.003839 -0.01378 0.034565 880.87 844.57 750.15 621.78 542.17 0.001637 0.010517 0.016174 -0.0093 0.042374 879.43 835.78 738.21 627.62 520.13 -0.01188 0.005813 0.006174 -0.01528 -0.0153 890 830.95 733.68 637.36 528.21 -0.00857 0.009598 0.014225 0.01615 -0.0231 897.69 823.05 723.39 627.23 540.7 0.003757 0.003218 -0.00113 -0.02601 0.010295 894.33 820.41 724.21 643.98 535.19 -0.00374 0.008085 0.003993 0.011625 -0.01019 897.69 813.83 721.33 636.58 540.7 0.003219 -0.01854 0.00922 0.009883 0.020805 894.81 829.2 714.74 630.35 529.68 -0.00693 0.001062 0.00289 0.021471 0.014052 901.05 828.32 712.68 617.1 522.34 -0.00092 0.007272 0.012991 -0.00288 0.00211 901.88 822.34 703.54 618.88 521.24 0.012722 -0.01553 0.004655 -0.00554 -0.00629 890.55 835.31 700.28 622.33 524.54 0.019449 0.019529 0.026939 0.004958 0.033291 873.56 819.31 681.91 619.26 507.64 -0.00431 -0.01814 0.009056 -0.03349 0.063076 877.34 834.45 675.79 640.72 477.52 0.011425 -0.00154 -0.01135 0.022012 -0.04833 867.43 835.74 683.55 626.92 501.77 0.016595 -0.00361 -0.00887 -0.00245 0.01337 853.27 838.77 689.67 628.46 495.15 Mean Return = 0.025% 0.048% 0.385% 0.195% 0.484% Standard deviation= 2.54% 1.79% 1.28% 1.80% 2.22% annualised Mean= 1.32% 2.52% 20.02% 10.12% 25.14%
annualised deviation (Volatility) 18.30% 12.88% 9.22% 12.96% 16.04%
Risk-adjusted-Return, RAR (annualised)= 7.24% 19.58% 217.19% 78.13% 156.78%
Beta, β 0.671512 0.586955 0.596147 0.942991 0.78612 adjusted β 0.783198 0.72739 0.733457 0.962374 0.858839 R square 37.50% 35.01% 32.01% 37.38% 25.84% R (correlation coefficient) 61.24% 59.17% 56.57% 61.14% 50.84% Market risk 11.20% 7.62% 5.22% 7.92% 8.15% Specific risk 14.46% 10.38% 7.60% 10.25% 13.81%
average annual mean 11.83%
average standard dev. 14.22%
Avearage annual Risk-adjusted-Return, RAR 83.19%
Average annual Risk-free rate 4.84%
risk -adjusted excess peformance 49.15%
Excess market RAR, (HSBC vrs. FTSE 100) 42.83%
Correlation,R(Barclays:HSBC)= 0.754024 R square (barclays:HSBC) = 56.86%
SECTION-2
FTSE100 weekly price movement from 04/03-04/08
FP07 FP06 FP05 FP04 FP03 FR07 FR06 FR05 FR04 FR03 5947.1 6397.3 6026.1 4983.6 4489.7 0.044652 0.014157 0.010311 0.014164 0.005397 5692.9 6308 5964.6 4914 4465.6 0.035977 -0.004953 -0.011878 -0.001727 0.024808 5495.2 6339.4 6036.3 4922.5 4357.5 -0.024238 0.034059 0.006151 -0.000162 -0.013627 5631.7 6130.6 5999.4 4923.3 4417.7 -0.011965 -0.01835 0.015488 -0.011782 -0.011125 5699.9 6245.2 5907.9 4982 4467.4 -0.031338 0.021092 0.008398 -0.010782 -0.017528 5884.3 6116.2 5858.7 5036.3 4547.1 -0.000713 -0.044568 -0.000307 0.005892 0.012221 5888.5 6401.5 5860.5 5006.8 4492.2 0.017434 -0.002804 0.002446 -0.009966 -0.00505 5787.6 6419.5 5846.2 5057.2 4515 0.000622 0.00575 0.014243 0.002577 0.023345 5784 6382.8 5764.1 5044.2 4412 -0.040669 0.011393 0.000833 0.020783 0.002112 6029.2 6310.9 5759.3 4941.5 4402.7 0.027296 0.013311 -0.004752 0.022492 0.002733 5869 6228 5786.8 4832.8 4390.7 -0.005541 -0.001475 0.020168 0.006142 -0.015715 5901.7 6237.2 5672.4 4803.3 4460.8 -0.04842 -0.000289 -0.006759 -0.00363 -0.006038 6202 6239 5711 4820.8 4487.9 -0.023076 0.003039 -0.003629 -0.00686 0.004836 6348.5 6220.1 5731.8 4854.1 4466.3 -0.019824 -0.000113 0.020111 0.008267 -0.009733 6476.9 6220.8 5618.8 4814.3 4510.2 0.006652 0.004976 0.004182 0.003376 0.014737 6434.1 6190 5595.4 4798.1 4444.7 0.0058 -0.011182 0.011534 0.021568 0.007343 6397 6260 5531.6 4696.8 4412.3 -0.024089 0.017489 0.002574 0.000597 0.014882 6554.9 6152.4 5517.4 4694 4347.6 0.019028 0.021739 -0.001936 -0.011352 -0.004442 6432.5 6021.5 5528.1 4747.9 4367 0.027211 -0.016432 0.000778 0.00135 0.005619 6262.1 6122.1 5523.8 4741.5 4342.6 -0.004626 -0.011289 0.004528 -0.004054 0.005464 6291.2 6192 5498.9 4760.8 4319 -0.002173 -0.002642 0.006185 -0.006905 -0.017739 6304.9 6208.4 5465.1 4793.9 4397 -0.03456 0.009808 0.007652 0.011414 0.004592 6530.6 6148.1 5423.6 4739.8 4376.9 -0.019621 -0.002078 0.040319 0.024999 0.020828 6661.3 6160.9 5213.4 4624.2 4287.6 0.020435 0.000926 0.013866 0.001907 0.011465 6527.9 6155.2 5142.1 4615.4 4239 -0.030131 -0.000341 -0.025194 -0.001579 -0.024171 6730.7 6157.3 5275 4622.7 4344 0.020452 0.026011 -0.01628 -0.016217 0.007655 6595.8 6001.2 5362.3 4698.9 4311 0.019948 0.006778 -0.021067 0.008434 0.008657 6466.8 5960.8 5477.7 4659.6 4274 0.001564 0.023788 0.011841 0.017802 0.028121 6456.7 5822.3 5413.6 4578.1 4157.1 0.026617 -0.009307 0.001054 -0.00281 -0.023467 6289.3 5877 5407.9 4591 4257 0.015845 -0.000391 0.009068 0.010121 0.004531 6191.2 5879.3 5359.3 4545 4237.8 -0.017784 -0.011733 0.006101 -0.001275 -0.004557 6303.3 5949.1 5326.8 4550.8 4257.2 0.013376 0.011993 0.018879 0.013519 0.023095 6220.1 5878.6 5228.1 4490.1 4161.1 0.025708 -0.004201 -0.015906 0.027671 -0.015334 6064.2 5903.4 5312.6 4369.2 4225.9 0.004289 0.014312 -0.00621 0.015739 -0.005038 6038.3 5820.1 5345.8 4301.5 4247.3 -0.029883 -0.011767 0.005852 -0.008391 0.023989 6038.3 5820.1 5345.8 4301.5 4247.3 -0.029883 -0.011767 0.005852 -0.008391 0.023989 6224.3 5889.4 5314.7 4337.9 4147.8 0.001464 -0.01431 0.006134 -0.01704 0.012053 6215.2 5974.9 5282.3 4413.1 4098.4 -0.056187 0.044618 0.007726 0.020063 -0.00794 6585.2 5719.7 5241.8 4326.3 4131.2 -0.019578 0.00212 0.002103 -0.002973 0.014239 6716.7 5707.6 5230.8 4339.2 4073.2 0.003976 -0.030787 -0.000268 -0.012292 0.003721 6690.1 5888.9 5232.2 4393.2 4058.1 0.01244 0.009514 0.013796 -0.003222 0.009101 6607.9 5833.4 5161 4407.4 4021.5 0.006167 0.024824 0.016145 -0.019292 -0.011382 6567.4 5692.1 5079 4494.1 4067.8 -0.024508 0.016919 0.000276 -0.002597 -0.022187 6732.4 5597.4 5077.6 4505.8 4160.1 0.034942 -0.010221 0.009383 0.004862 0.006289 6505.1 5655.2 5030.4 4484 4134.1 -0.025701 -0.018978 0.006201 0.006645 -0.004023 6676.7 5764.6 4999.4 4454.4 4150.8 0.016163 -0.004559 0.002627 0.005349 0.02537 6570.5 5791 4986.3 4430.7 4048.1 -0.010601 0.023615 0.002916 -0.000158 0.017162 6640.9 5657.4 4971.8 4431.4 3979.8 0.011453 -0.043081 0.017456 -0.002341 -0.017091 6565.7 5912.1 4886.5 4441.8 4049 -0.005754 -0.029483 -0.006587 -0.012582 0.020053 6603.7 6091.7 4918.9 4498.4 3969.4 0.028822 0.011389 0.024408 0.001938 0.00425 6418.7 6023.1 4801.7 4489.7 3952.6 -0.010498 -0.017871 -0.009816 -0.017571 0.021291 6486.8 6132.7 4849.3 4570 3870.2 0.003776 0.017133 -0.008647 0.007207 -0.004885 6462.4 6029.4 4891.6 4537.3 3889.2 0.010176 0.000548 -0.018461 0.010602 0.021297 6397.3 6026.1 4983.6 4489.7 3808.1 Mean Return = -0.114% 0.131% 0.373% 0.208% 0.327% Standard deviation= 2.31% 1.80% 1.21% 1.16% 1.44% annualised Mean= -5.92% 6.81% 19.40% 10.79% 17.02%
annualised deviation (Volatility) 16.69% 12.98% 8.75% 8.40% 10.37%
Risk-adjusted-Return, RAR (annualised)= -35.47% 52.46% 221.77% 128.46% 164.10%
average annual mean 9.62%
average standard dev. 11.85%
Avearage annual Risk-adjusted-Return, RAR 81.22%
Average annual Risk-free rate 4.84%
SECTION-3
Barclays plc weekly stock price data from 04/03-04/08
BP07 BP06 BP05 BP04 BP03 BR07 BR06 BR05 BR04 BR03 489.5 733 701 554.5 486.75 0.088382 0.016644 0.040831 0.007266 -0.00511 449.75 721 673.5 550.5 489.25 0.048368 -0.048813 -0.015351 -0.000907 0.01821 429 758 684 551 480.5 -0.009238 0.110623 0.013333 0.011009 -0.00518 433 682.5 675 545 483 0.017626 -0.070163 0.021953 -0.04302 -0.00668 425.5 734 660.5 569.5 486.25 -0.108434 0.022284 0.009939 -0.009565 -0.02457 477.25 718 654 575 498.5 -0.005729 -0.091139 -0.024609 0.010545 0.030491 480 790 670.5 569 483.75 0.122807 0.010877 0.026799 -0.07329 -0.04727 427.5 781.5 653 614 507.75 -0.032805 0.010996 0.017134 0.012366 0.025758 442 773 642 606.5 495 -0.063559 0.021811 0.045603 0.015913 -0.0275 472 756.5 614 597 509 -0.031795 0.016801 0.002449 0.04007 0.028283 487.5 744 612.5 574 495 0.083333 -0.004016 0.025105 -0.018803 -0.02463 450 747 597.5 585 507.5 -0.033298 -0.017105 -0.037842 -0.01598 -0.05317 465.5 760 621 594.5 536 -0.043165 0.014686 -0.010359 -0.004188 0.042802 486.5 749 627.5 597 514 -0.039487 0.026027 0.027005 0.018771 0.019841 506.5 730 611 586 504 0.003964 0.000685 -0.003263 0.005146 0.025954 504.5 729.5 613 583 491.25 -0.0508 0.00206 0.021667 0.024605 -0.00557 531.5 728 600 569 494 -0.060954 -0.00274 0.002506 0.025225 0.03727 566 730 598.5 555 476.25 0.005329 0.079882 -0.001668 0 -0.0494 563 676 599.5 555 501 0.10284 -0.023121 -0.006628 0.022099 -0.02244 510.5 692 603.5 543 512.5 0.002947 -0.021216 -0.013889 -0.041483 0.055069 509 707 612 566.5 485.75 0.072708 -0.003524 0.027708 0.000883 -0.00308 474.5 709.5 595.5 566 487.25 -0.117209 0.015021 0.02584 0.009813 -0.03035 537.5 699 580.5 560.5 502.5 -0.086661 -0.011315 0.065138 0.053571 0.011066 588.5 707 545 532 497 -0.001696 -0.007719 0.009259 -0.01845 -0.0173 589.5 712.5 540 542 505.75 -0.090278 -0.015204 -0.021739 -0.018116 -0.01939 648 723.5 552 552 515.75 -0.018182 0.036533 -0.018667 -0.031579 0.003405 660 698 562.5 570 514 0.108312 0.035608 -0.018325 0.047794 0.019841 595.5 674 573 544 504 -0.059984 0.022762 0.008803 0.007407 0.073482 633.5 659 568 540 469.5 0.062919 -0.030882 0.008881 0.011236 -0.05628 596 680 563 534 497.5 0.023176 0.03265 -0.015734 0.000937 0.034304 582.5 658.5 572 533.5 481 -0.05053 -0.022272 0.026009 0.009461 0.026681 613.5 673.5 557.5 528.5 468.5 0.004092 0.036952 0.013636 0.016835 0.018478 611 649.5 550 519.75 460 -0.044566 -0.000769 -0.014337 0.029208 -0.02491 639.5 650 558 505 471.75 0.002351 0.022817 -0.036269 -0.016553 -0.02732 638 635.5 579 513.5 485 -0.060383 0 0.005208 0.027 0.010417 638 635.5 579 513.5 485 -0.060383 0 0.005208 0.027 0.010417 679 635.5 576 500 480 -0.004399 0.002366 0.034111 0.086957 0.046892 682 634 557 460 458.5 -0.044149 0.061088 -0.014159 0.022222 -0.00596 713.5 597.5 565 450 461.25 -0.015183 0.019625 -0.019097 0.008969 0.026711 724.5 586 576 446 449.25 0.008351 -0.066135 0.03504 -0.02938 -0.00167 718.5 627.5 556.5 459.5 450 0.032328 0.021155 -0.009786 -0.009164 0.011236 696 614.5 562 463.75 445 -0.032662 0.029313 0.008072 -0.019556 -0.01494 719.5 597 557.5 473 451.75 -0.039386 -0.00417 0.038175 -0.025747 -0.0243 749 599.5 537 485.5 463 0.036678 -0.018018 0.016083 -0.007157 -0.00162 722.5 610.5 528.5 489 463.75 0.000693 -0.021635 -0.000945 0.012947 0.054576 722 624 529 482.75 439.75 0.002778 0.020442 0.01341 0.015247 0.022674 720 611.5 522 475.5 430 -0.012346 -0.001633 -0.038674 -0.057483 0.035521 729 612.5 543 504.5 415.25 0.016736 -0.043716 0.007421 0.013561 -0.02064 717 640.5 539 497.75 424 -0.02116 -0.05878 -0.022665 -0.0045 0.036675 732.5 680.5 551.5 500 409 0.009649 -0.006569 0.027002 -0.016716 -0.04439 725.5 685 537 508.5 428 -0.032667 0.005136 -0.034173 -0.001473 0.02148 750 681.5 556 509.25 419 0.008742 -0.002196 -0.002691 0.040347 0.012077 743.5 683 557.5 489.5 414 0.014325 -0.025678 0.00541 0.00565 0.035 733 701 554.5 486.75 400 Mean Return = -0.637% 0.147% 0.478% 0.288% 0.424% Standard deviation= 5.29% 3.53% 2.32% 2.77% 3.06% annualised Mean= -33.13% 7.63% 24.87% 15.00% 22.05%
annualised deviation (Volatility) 38.12% 25.43% 16.76% 19.94% 22.09%
Risk-adjusted-Return, RAR (annualised)= -86.91% 30.01% 148.37% 75.20% 99.85%
Beta, β 1.384638 1.062972 0.867411 0.545085 0.134619 adjusted β 1.253861 1.041562 0.912491 0.699756 0.428849 R square 44.17% 28.98% 22.77% 12.55% 0.96% R ( correlation coefficient) 66.46% 53.84% 47.72% 35.42% 9.78% market risk 25.33% 13.69% 8.00% 7.06% 2.16% specific risk 28.48% 21.43% 14.73% 18.65% 21.98%
average annual mean 7.28%
average standard dev. 25.56%
Avearage annual Risk-adjusted-Return, RAR 28.50%
Average annual Risk-free rate 4.84%
risk -adjusted excess peformance 9.56%
Barclays Graphs HSBC Graphs 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 2003 2004 2005 2006 2007
Barclays L(EVA/E) vrs L(ROE)
L(EVA/E) L(ROE) -50.00% -40.00% -30.00% -20.00% -10.00% 0.00% 10.00% 20.00% 30.00% 2003 2004 2005 2006 2007 Period Barclays L(EVA/E) vrs LMR L(EVA/E) LMR 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00% HSBC L(EVA/E) vrs L(ROE) L(EVA/E) L(ROE) 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% HSBC L(EVA/E) vrs LMR L(EVA/E) LMR Comparative level 0.00% 2003 2004 2005 2006 2007 Period 0.00% 2003 2004 2005 2006 2007 Period 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 2003 2004 2005 2006 2007
EVA per Equity (EVA/E)
Barclays HSBC 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 2003 2004 2005 2006 2007
