FIN460

Assignment on diversification
and portfolio construction.
SECTION: 1

SUBMITTED TO : Mohammad fahad

noor.
SUBMISSION DATE : 10/01/2021
 GROUP MEMBERS
NAME ID
MOHAMMAD MAMUN 1710508
ONNONA MAHABUB 1830982
MAHADI FARROQUE 1730079
MD.SAIFUL ISLAM 1610391
HASAN MOHAIMENU 1711011
CHOWDHURY
INDIVIDUAL COMPANY ANALYSIS
 INTRINSIC VALUE AND DIVIDEND
DISCOUNT MODEL
BATBC DESCO IDLC

Dividend Discount Model Dividend Discount Model Dividend Discount Model

Divi PV @ Div PV @
Calender Yea Rate of Calender Ye Rate of Divi PV @
den 4.36 ide 7.47 Calender Yea Rate of
Year r Change Year ar Change den -1.07
d % nd % Year r Change
2016 0 55   55 2016 0 1   1 d %
2017 1 60 0.09 57.49 2017 1 1 0.00 0.93
2018 2 60 0.00 55.09 2018 2 1 0.00 0.87 2016 0 3.5   3.5
16.6 2019 3 1.2 0.20 0.97 2017 1 3 -0.14 3.03
2019 3 14.67
7 -0.72 0.07 3.76 2018 2 3 0.00 3.06
-0.21 182.25
2019 3 1.94 -0.35 2.00
-0.17 11.60

Dividend of Growth
1.28
Dividend of 13.1 Growth Year 5 Rate 7%
Year 5 6 Rate -21% Required
0.00
Required Return - Dividend of Growth
0.25 5 1.61
Return - Growth Rate     Year 5 Rate -17%
4
Growth Rate     Price of year Risk Free Required
272 0.15
Risk Free 4 Rate 6.90% Return -
Price of year 4 52 9
Rate 6.90%     Beta -0.10 Growth Rate    
    Beta 0.43 219. Market
PV Price of year 4 10 Risk Free
45.5 Market 01 Return 1%
PV Rate 6.90%
8 Return 1% Market
Market Risk     Risk     Beta 1.35
    10.4
Premium -6% Premium -6% PV Market
Price 228     Price 223     3 Return 1%
Required Required Market Risk
984.    
Market Price Rate of Market Price   Rate of Premium -6%
00
Return 4.36% Return 7.47% Price 22    
Required
Market Price   Rate of
Return -1.07%
 ACI BATA BECXICOPHARMA

Dividend Discount Model Dividend Discount Model Dividend Discount Model

Divi Divi PV @ Div PV @

Calender Yea Rate of PV @ Calender Yea Rate of Calender Yea Rate of
den den 5.37 ide -1.66
Year r Change 0.53% Year r Change Year r Change
d nd %
d % 2016 0 0.98   0.98
17.9 2016 0 65 65
2016 0 17.95   2017 1 1.25 0.28 1.27
5  
2017 1 3.64 -0.80 3.62 2017 1 66.5 0.02 63.11 2018 2 1.25 0.00 1.29
2018 2 11.11 2.05 10.99 2018 2 68 0.02 61.25 2019 3 1.5 0.20 1.58
2019 3 9.69 -0.13 9.54 0.16 5.12
2019 3 34.5 -0.49 29.49
0.38 42.10 218.86
-0.15

Dividend of Growth
1.74
Dividend of 13.3 Growth Year 5 Rate 16%
Year 5 7 Rate 38% Dividend of 29.3 Growth Required -
Year 5 3 Rate -15% Return - 0.17
Required -
Return - 0.37 Required Growth Rate 7    
0.20 Price of year Risk Free
Growth Rate 5     Return - -10
4 4 Rate 6.90%
Risk Free Growth Rate    
Price of year 4 -36 Risk Free     Beta 1.45
Rate 6.90% Price of year 4 144
    Beta 1.08 Rate 6.90% -
- PV 10.3 Market
    Beta 0.26 6 Return 1%
PV 35.1 Market 123. Market
3 Return 1% PV Market
09 Return 1%     Risk
Market Risk Market Risk
        Premium -6%
Premium -6% Premium -6%
Price 7     Price -5    
Price 342     Required
Required
Market Price   Rate of Required Market Price   Rate of -
Return 0.53% Market Price   Rate of Return 1.66%
Return 5.37%
 GP BERGER AAMARNET

Dividend Discount Model Dividend Discount Model Dividend Discount Model

Div PV @ Divi PV @ PV
Calender Yea Rate of Calender Yea Rate of Div
ide 3.42 den 5.43 Calender Ye Rate of @
Year r Change Year r Change ide
nd % d % Year ar Change -2.01
2016 0 14.5   14.5 nd
2017 1 37 1.55 35.78 2016 0 37   37 %
2018 2 43 0.16 40.20 2017 1 74 1.00 70.19 2016 0 1   1
2019 3 52.5 0.22 47.46 41.2 2017 1 1 0.00 1.02
2018 2 37.11
0.64 137.94 5 -0.44
2018 2 1 0.00 1.04
2019 3 45 0.09 38.40
2019 3 0.6 -0.40 0.64
0.22 182.71
-0.13 3.70
Dividend of 86.1 Growth
Year 5 0 Rate 64%
Required -
Return - 0.60 Dividend of 54.9 Growth
Growth Rate 6     Year 5 0 Rate 22% Dividend of 0.5 Growth
Required - Year 5 2 Rate -13%
Price of year Risk Free
-142 Required
4 Rate 6.90% Return - 0.16 0.1
    Beta 0.59 Growth Rate 6     Return -
10
- Growth Rate    
Price of year 4 -331 Risk Free
PV 128. Market Rate 6.90% Price of year Risk Free
49 Return 1% 5
4 Rate 6.90%
Market     Beta 0.25
-     Beta 1.51
    Risk
Premium -6% PV 282. Market 5.0 Market
PV
Price 9     68 Return 1% 5 Return 1%
Required     Market Risk Market
Market Price   Rate of Premium -6%     Risk
Return 3.42% Price -100     Premium -6%
Required Price 9    
Market Price   Rate of Required
Market
Return 5.43%   Rate of -
Price
Return 2.01%
 MONNOCERAMIC
Dividend Discount Model

Calender Year Year Dividend Rate of Change PV @ 2.59%

2016 0 0.5   0.5
2017 1 0.5 0.00 0.49
2018 2 0.5 0.00 0.48
2019 3 1 1.00 0.93
0.33 2.39

Dividend of Year 5 1.33 Growth Rate 33%

Required Return - Growth Rate -0.304    
Price of year 4 -4 Risk Free Rate 6.90%
    Beta 0.73
PV -4.05 Market Return 1%
    Market Risk Premium -6%
Price -2    
Market Price   Required Rate of Return 2.59%

INTRINSIC VALUE
DESCO BXPHAR BATC GP AARMA MONO BERGER ACI IDLC BATA
PRICE
223 -5 228 9 9 -2 -100 7 22 342
MARKET
PRICE 37.4 68 984 282.9 39 128.7 1392. 195.7 44.9 704
5

If the stock price is below the market price, it means it is undervalued and the investors are willing to buy it.

If the stock price is above the market price, it is overpriced. The investors will not purchase it
 CAPITAL EXPECTATION
FOR 60 TRADING DAYS

  BATBC GP DESCO IDLC MONNOCERA ACI BATASHOE BXPHARMA AAMRANET BERGERPBL

AVERAGE RETURN -0.0005461 -0.0003019 -0.0012768 0.0007060 -0.0003509 0.0008722 -0.0005809 0.0027863 0.0005353 -0.0010443
VARIANCE 0.0001649 0.0001011 0.0000678 0.0003071 0.0005455 0.0002913 0.0000249 0.0005907 0.0009257 0.0000718

STANDARD DEVIATION 0.0128395 0.0100564 0.008236594 0.0175231 0.023355911 0.0170683 0.0049852 0.02430494 0.03042468 0.0084759
BETA 0.4266359 0.5899572 -0.0971152 1.3484111 0.733429348 1.0820291 0.2640015 1.4576533 1.51894792 0.24548361

COVARIANCE DESCO,AAMRANET 0.0000157  

DESCO,BERGERPBL 0.0000055  
   
IDLC,MONOCERA -0.0000206  
BATBC,GP 0.0000017   IDLC,ACI -0.0000027  
BATBC,DESCO -0.0000063   IDLC,BATASHOE 0.0000069  
BATBC,IDLC 0.0000298   IDLC,BXPHARMA 0.0000138  
IDLC,AAMRANET 0.0000429  
BATBC,MONOCERA 0.0001024  
IDLC,BERGERPBL -0.0000152  
BATBC,ACI 0.0000586   MONOCERA,ACI 0.0000709  
BATBC,BATASHOE 0.0000075  
MONOCERA,BATASHOE -0.0000061  
BATBC,BXPHARMA -0.0000240  
BATBC,AAMRANET 0.0000556   MONOCERA,BXPHARMA 0.0000240  
BATBC,BERGERPBL 0.0000100   MONOCERA,AAMRANET -0.0000149  
GP,DESCO -0.0000055  
GP,IDLC 0.0000337   MONOCERA,BERGERPBL 0.0000574  
ACI,BATASHOE 0.0000156  
GP,MONOCERA -0.0000236   ACI,BXPHARMA -0.0000312  
GP,ACI 0.0000117   ACI,AAMRANET 0.0000998  
GP,BATASHOE -0.0000043   ACI,BERGERPBL 0.0000312  
GP,BXPHARMA 0.0000185   BATASHOE,BXPHARMA 0.0000028  
GP,AAMRANET 0.0000384   BATASHOE,AAMRANET -0.0000153  
GP,BERGERPBL 0.0000088  
DESCO,IDLC 0.0000201   BATASHOE,BERGERPBL -0.0000017  
DESCO,MONOCERA -0.0000095   BXPHARMA,AAMRANET 0.0000564  
DESCO,ACI -0.0000059   BXPHARMA,BERGERPBL 0.0000240  
DESCO,BATASHOE 0.0000037  
AAMRANET,BERGERPBL 0.0000070  
DESCO,BXPHARMA 0.0000035  
 FOR 60 TRADING DAYS

CORRELATION IDLC,BXPHARMA 0.0323720  

   
BATBC,GP 0.0134777   IDLC,AAMRANET 0.0805028  
BATBC,DESCO -0.0593248  
IDLC,BERGERPBL -0.1021374  
BATBC,IDLC 0.1324383  
BATBC,MONOCERA 0.3413731   MONOCERA,ACI 0.1778619  
BATBC,ACI 0.2673368  
BATBC,BATASHOE 0.1168608   MONOCERA,BATASHOE -0.0526390  
BATBC,BXPHARMA -0.0768722  
MONOCERA,BXPHARMA 0.0422686  
BATBC,AAMRANET 0.1424284  
BATBC,BERGERPBL 0.0921585   MONOCERA,AAMRANET -0.0209438  
GP,DESCO -0.0660163  
GP,IDLC 0.1910043  
MONOCERA,BERGERPBL 0.2898322  
GP,MONOCERA -0.1005295  
ACI,BATASHOE 0.1831336  
GP,ACI 0.0684287  
GP,BATASHOE -0.0864432   ACI,BXPHARMA -0.0751031  
GP,BXPHARMA 0.0756563  
ACI,AAMRANET 0.1920954  
GP,AAMRANET 0.1255677  
GP,BERGERPBL 0.1029813   ACI,BERGERPBL 0.2157114  
DESCO,IDLC 0.1390993  
DESCO,MONOCERA -0.0491978   BATASHOE,BXPHARMA 0.0229225  
DESCO,ACI -0.0417525  
BATASHOE,AAMRANET -0.1009779  
DESCO,BATASHOE 0.0891046  
DESCO,BXPHARMA 0.0176230   BATASHOE,BERGERPBL -0.0409692  
DESCO,AAMRANET 0.0627299  
BXPHARMA,AAMRANET 0.0762982  
DESCO,BERGERPBL 0.0786820  
IDLC,MONOCERA -0.0504058   BXPHARMA,BERGERPBL 0.1163318  
IDLC,ACI -0.0091194  
IDLC,BATASHOE 0.0793898   AAMRANET,BERGERPBL 0.0271892  
 FOR 18 TRADING DAYS

AAMRAN BERGERP
  BATBC GP DESCO IDLC MONNOCERA ACI BATASHOE BXPHARMA ET BL

AVERAGE 0.440731 0.003593

RETURN 6 2 0.0042528 0.0116897 0.0000153 0.0004030 0.0002900 0.0104607 0.0001715 -0.0018648
3.891160 0.000330
VARIANCE 8 5 0.0003808 0.0006847 0.0000307 0.0001348 0.0000550 0.0018551 0.0006095 0.0001153
STANDARD 1.972602 0.018180
DEVIATION 5 4 0.0195141 0.0261669 0.0055395 0.0116085 0.0074184 0.0430704 0.0246887 0.0107397
1.777391 0.863413
BETA 3 5 0.1303432 1.7756403 0.0488076 0.2207188 0.3023640 2.3592173 1.1816013 0.7658027

  PORTFOLIO RETURN PORTFOLIO VARIANCE PORTFOLIO SD PORTFOLIO BETA CORRELATION

BATBC,GP 0.2221624092 0.9716408840 0.9857184608 1.3204024026 -0.068703725
BATBC,DESCO 0.2224921648 0.9719832732 0.9858921205 0.9538672056 -0.046871602
BATBC,IDLC 0.2262106456 0.9682022896 0.9839727077 1.7765157632 -0.184400257
BATBC,MONOCERA 0.2203734536 0.9703467976 0.9850618243 0.9130994490 -0.448616537
BATBC,ACI 0.2205673117 0.9733822684 0.9866013726 0.9990550082 0.048768705
BATBC,BATASHOE 0.2205107845 0.9727755947 0.9862938683 1.0398776328 -0.003876669
BATBC,BXPHARMA 0.2255961316 0.9801732981 0.9900370186 2.0683042874 0.162882848
BATBC,AAMRANET 0.2204515452 0.9712248306 0.9855073976 1.4794962742 -0.070542882
BATBC,BERGERPBL 0.2194333896 0.9720528600 0.9859274111 1.2715969739 -0.072331384
GP,DESCO 0.0039229971 0.0002681015 0.0163738052 0.4968783501 0.508886604
GP,IDLC 0.0076414779 0.0003906263 0.0197642693 1.3195269077 0.57519809
GP,MONOCERA 0.0018042858 0.0000928762 0.0096372283 0.4561105934 0.051099693
GP,ACI 0.0019981440 0.0001533849 0.0123848661 0.5420661527 0.351238023
GP,BATASHOE 0.0019416168 0.0001146320 0.0107066319 0.5828887773 0.270523052
GP,BXPHARMA 0.0070269639 0.0005744147 0.0239669508 1.6113154319 0.071561978
GP,AAMRANET 0.0018823775 0.0002798860 0.0167297938 1.0225074186 0.199940854
GP,BERGERPBL 0.0008642219 0.0001791940 0.0133863348 0.8146081184 0.693741245
DESCO,IDLC 0.0079712335 0.0003028847 0.0174035825 0.9529917107 0.142991662
DESCO,MONOCERA 0.0021340415 0.0001069355 0.0103409601 0.0895753964 0.075185233
DESCO,ACI 0.0023278996 0.0001257815 0.0112152371 0.1755309557 -0.027441252
DESCO,BATASHOE 0.0022713724 0.0000747355 0.0086449718 0.2163535803 -0.472810476
DESCO,BXPHARMA 0.0073567195 0.0004346392 0.0208480030 1.2447802349 -0.295845701
DESCO,AAMRANET 0.0022121331 0.0002430627 0.0155904673 0.6559722217 -0.01876532
 FOR 18 DAYS TRADING
DESCO,BERGERPBL 0.0011939775 0.0001524458 0.0123468959 0.4480729214 0.271121964
IDLC,MONOCERA 0.0058525222 0.0001942418 0.0139370657 0.9122239540 0.21239102
IDLC,ACI 0.0060463804 0.0002465980 0.0157034389 0.9981795133 0.274766757
IDLC,BATASHOE 0.0059898531 0.0002107470 0.0145171288 1.0390021379 0.26594543
IDLC,BXPHARMA 0.0110752002 0.0008199203 0.0286342497 2.0674287925 0.328259886
IDLC,AAMRANET 0.0059306139 0.0004063671 0.0201585483 1.4786207793 0.256358428
IDLC,BERGERPBL 0.0049124583 0.0002939790 0.0171458163 1.2707214790 0.668742248
MONOCERA,ACI 0.0002091883 0.0000297832 0.0054574010 0.1347631991 -0.360087555
MONOCERA,BATASHOE 0.0001526611 0.0000250208 0.0050020783 0.1755858237 0.174781597
MONOCERA,BXPHARMA 0.0052380082 0.0004580571 0.0214022695 1.2040124783 -0.112158079
MONOCERA,AAMRANET 0.0000934219 0.0001729446 0.0131508401 0.6152044650 0.188503595
MONOCERA,BERGERPBL -0.0009247338 0.0000380874 0.0061714995 0.4073051647 0.053132892
ACI,BATASHOE 0.0003465193 0.0000600942 0.0077520426 0.2615413829 0.293712121
ACI,BXPHARMA 0.0054318664 0.0004891120 0.0221158766 1.2899680375 -0.033372805
ACI,AAMRANET 0.0002872800 0.0001620991 0.0127318143 0.7011600243 -0.167294454
ACI,BERGERPBL -0.0007308756 0.0000813515 0.0090195060 0.4932607240 0.30201838
BATASHOE,BXPHARMA 0.0053753391 0.0005492233 0.0234355127 1.3307906621 0.448808938
BATASHOE,AAMRANET 0.0002307528 0.0001739869 0.0131904077 0.7419826489 0.085678937
BATASHOE,BERGERPBL -0.0007874028 0.0000538926 0.0073411603 0.5340833486 0.283649504
BXPHARMA,AAMRANET 0.0053160999 0.0007721704 0.0277879543 1.7704093035 0.293453261
BXPHARMA,BERGERPBL 0.0042979443 0.0005691980 0.0238578710 1.5625100032 0.331185536
AAMRANET,BERGERPBL -0.0008466421 0.0002418283 0.0155508288 0.9737019900 0.457177035

PERFORMANCE MEASUREMENT
Sharpe's Measure Treynor Measure Jensen Measure
0.2236301648 0.1871624092 0.2261074169
0.2239252479 0.1874921648 0.2156262894
0.2281411023 0.1912106456 0.2436086267
0.2219631507 0.1853734536 0.2123051412
0.2218132778 0.1855673117 0.2150342416
0.2218251214 0.1855107845 0.2161817696
0.2261229631 0.1905961316 0.2516003575
0.2219420355 0.1854515452 0.2290889952
0.2208147981 0.1844333896 0.2219388909
0.1341758804 -0.0310770029 -0.0164216742
0.2993002359 -0.0273585221 0.0115606630
0.0081204306 -0.0331957142 -0.0197428224
0.0219717022 -0.0330018560 -0.0170137220
 0.0201360582 -0.0330583832 -0.0158661940 -0.2779416552 -0.0347908117 -0.0308159978
0.2211769240 -0.0279730361 0.0195523938 -0.3145425134 -0.0348473389 -0.0296684697
0.0093456088 -0.0331176225 -0.0029589684
0.1640938506 -0.0297619918 0.0057501181
-0.0643794977 -0.0341357781 -0.0101090728
-0.1241445813 -0.0349065781 -0.0167612441
0.3588460087 -0.0270287665 0.0010795355
-0.4295165490 -0.0359247338 -0.0239113485
0.0394561117 -0.0328659585 -0.0302239499
0.0536655815 -0.0326721004 -0.0274948496 -0.1779541477 -0.0346534807 -0.0269393694

0.0630823338 -0.0327286276 -0.0263473215 0.1675646428 -0.0295681336 0.0084792185

0.2700830433 -0.0276432805 0.0090712663 -0.1130041135 -0.0347127200 -0.0140321438
0.0311796774 -0.0327878669 -0.0134400959 -0.2723988441 -0.0357308756 -0.0211822481
-0.0430917924 -0.0338060225 -0.0205902003
0.1557171706 -0.0296246609 0.0096267465
0.2960806038 -0.0291474778 -0.0022416127
-0.1133607588 -0.0347692472 -0.0128846157
0.2751214555 -0.0289536196 0.0004874877
-0.3423750647 -0.0357874028 -0.0200347201
0.2937099891 -0.0290101469 0.0016350157
0.3265031540 -0.0239247998 0.0370536036 0.1291952781 -0.0296839001 0.0225339721

0.2085758569 -0.0290693861 0.0145422413 0.1078016084 -0.0307020557 0.0153838678

0.1858430548 -0.0300875417 0.0073921370 -0.1654361659 -0.0358466421 -0.0071274945

Through Sharpe Measure, Treynor and Jensen measure BATBC,IDLC have the highest performance.

Therefore, among all the portfolios BATBC, IDLC is the best decision to invest in.

Investing in these two stocks the risk will be diversified.