This paper gathers evidence that market risk varies considerably among companies traded in the Dhaka Stock
Exchange. We find evidence of statistically significant difference in VaR between bias and random portfolios
where a bias portfolio is one that comprise at least two of the five companies in a portfolio from large business
groups while a random portfolio consist of any five companies picked randomly from a given sample. This
renders a lesson for investors in the market, especially who are myopic in nature, that stocks with good
fundamentals are better not only as long term investments but also for gains in the short-run.