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Table of ContentsIntroduction......................................................................1
AB BANK.........................................................................1
British American Tobacco Bangladesh............................5
Bata Shoe Bangladesh....................................................8
Padma Oil.....................................................................12
Suare !harmaceuticals...............................................15
"indings And Anal#sis.....................................................18
$onclusion%.....................................................................2&
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Introduction
We were assigned to create a portfolio of 5 different companies which are enlisted in the Dhaka
Stock Exchange and in trading for more than 10 years. After choosing we have calclated their
average daily retrn over the last 10 years and correlation and coefficient of or selected
companies with each other and also with the market. We also calclated the !eta of each stock
throgh regression analysis and compared with the !eta which is availa!le already in the market.
We sed "arkowit# model to calclate portfolio risk and retrn throgh this we have generated
efficient set of frontier and indicated efficient set of portfolios and calclated the re$ired rate of
retrn sing %A&" model 'assming the risk rate () and risk premim of *)+
AB BANKA, ,ank is known as one of leading !anks of the contry since its commencement (- years ago.
Dring last three decades A, ,ank has !een extending services at home and a!road. %rrently
A, ,ank has / local !ranches one foreign !ranch in "m!ai ndia2 / s!sidiary companies
inclding one exchange company in 34 ff6shore ,anking 3nit and %stodial services. 7he
,ank re6opened its 8epresentative ffice at 9angon "yanmar and at :ondon 34 extending its
foreign operations.
;rom the !anking indstry we have chosen A, ,ank to invest. 7he company has athori#ed
capital of /000 'mn+ and paid6p6capital of 5(-5 'mn+ in ,D7. 7he face vale of the share is
7aka 10 per share and the stock is crrently trading at 7aka (0 per share which is ( times the face
vale. 7he amont of market capitali#ation is 1/(
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Stock Price Trend
Highest value:(=.=
Lowest value:--.-
Dring the last 1- months the price of the stock didn>t fall !elow --.- ,D7 and is crrently
trading at (0 ,D7 per share which is $ite satisfactory and profita!le.
7he net profit after tax for the last ( years -011 -01--01( are 1394.74, 1466.95, 1093.7
(mn) BDT Which shows consistency to some extent and can !e considered for investment. 7he
8eserve and Srpls for the company is 11
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2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
5(
1((
15(
2((
25(
&((
&8.+5
*).22
5.+8 &.*& 18.1,
&1.2*
,&.(8
25*.1
1(&.18
1&&.2*
12.)5 &.+8 &.&2 2.2
Basic EPS
After the inception of the company it has high E&S !t recently the E&S has declined de to
economic insta!ility and increased competition.
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
1((
2((
&((
)((
5((
*((
+((
8((
,((
221.(+2*1.(,2&).)*2&).25251.22
&(&.+*
)81.+)
8(+
&(1.),
&,,
)).1) )(.+) &*.*+ &).
Net Asset Value Per Share
De to decrease in profits the net asset vale per share declined !t it is good enogh compared
to other !anks.
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2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
2(
)(
*(
8(
1((
12(
*.88 ).*+
&8.*)
1(*.11
2(.(1 1+.*1
&(.5)
1( ,.1* 11.() 1).*
21.*8
11.)2 12.+8
Year End P/E
7he &E ratio has increased from the last year which shows higher earnings per share compared
to market price.
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
1
2
&
)
5
*
+
8
,
*.+5
8.&&
( ( ( ( ( (
1.82 1.+
(.*& (.+&(
1.,
% Diidend Yield
7he ) dividend yield increased to 1.s stock is crrently among the 7op -0 shares trading in Dhaka Stock
exchange.
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British A"erican Tobacco Ban#ladesh,ritish American 7o!acco ,angladesh is one of the largest mltinational companies in the
contry and has !een operating for over 100 years.7he company is part of the ,ritish American
7o!acco Brop the worldCs most international to!acco grop with !rands sold in more than 10markets.
So we have selected this renowned company to invest in the Food and Allied!sinesssegment.
theAuthorized Capita in BDT! (mn) i" 600 and the #aid$up Capita in BDT! (mn) i" a"o
600. The %ar&et 'apitaization i" 147,34.000 (mn) hi'h "ho" the "tron* +inan'ia
'ondition o+ the 'ompan. The -e"ere / urpu" +or the 'ompan i" 6,43.9 in BDT! (mn)
Stock Price Trend
Highest value:2647.7- Lowest value:871
7he price of the stock dring the last 1- months is in the increasing trend and has reached the
highest of -/=*.* ,D7 which shows the crrent good condition of the market. 7he stock has a
very strong position in the market and can !e predicted to contine like this which shows the
potential for capital gain.
7he et &rofit after 7ax are -*.5
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2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12(
1(
2(
&(
)(
5(
*(
+(
Basic EPS
7he E&S of the company shows a very lcrative scenario which is mostly in the increasing trend
and at the highest of ,D7 /5./< dring -01-. So it is a strong indication to invest in the stock.
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12(
2(
)(
*(
8(
1((
12(
1)(
Net Asset Value Per Share
7he graph shows that net asset vale per share has also increased dring the last 10 years and is
following an increasing trend with the highest in -01- of 11*.-- ,D7 'mn+.
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2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12(
2
)
*
8
1(
12
1)1*
18
2(
Year End P/E
7he 9ear End &E of the stock is $ite satisfactory and can !e considered as sta!le for the last
few years. So as an investor we will !e to invest as the price is high compared to earnings which
may lead to capital gain.
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12(
2
)
*
8
1(
12
1)
% Diidend Yield
7his is one of the most important aspect we are going to look for which shows that ) Dividend
9ield is $ite satisfactory for the last few years gives good retrn on investment.
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;inally from the overall scenario we can say that ,A7 is performing consistently over the last
few years. t has shown consistent and increasing trend of retrn. Also the company has very
goodwill and reptation in the market. 7he company has also maintained its performance dring
the togh economic conditions which mainly inflenced s to invest. 7he stock of the company
has !een listed as A category with electronic trading option and rated as top among the shares
traded in Dhaka Stock Exchange.
Bata Shoe Ban#ladesh
,ata started its operation in 1
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Stock Price Trend
&rice of ,ata has !een rising at an increasing rate over the last few months with the highest
vale of ,D7 10s stocks as this is an indication of how well the company is performing. n the ftre
stocks of ,ata may rise frther as the trend is seen to !e rising.
Basic EPS
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2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
1(
2(
&(
)(
5(
*(
Basic EPS
E&S is a strong indicator of a stock>s profita!ility. ,ata>s E&S has !een on the rise since -00=
which is a strong reason to invest in its stocks. However withot data for its last trading year>s
E&S it is not possi!le to say the exact E&S the stocks earned !t the focs is the increasing
trend of the E&S.
Net Asset Value per Share
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
2(
)(
*(
8(
1((
12(
1)(1*(
Net Asset Value Per Share
Again the increasing trend of the et Asset Gale per Share provides reason to prchase ,ata
shares. 7he highest et Asset Gale per Share was ,D7 1(/ in -01- and a sharp and consistent
rise in the figres can !e seen from -00/. With no data availa!le for last year>s et Asset Gale
per Share the most recent performance in this area cold not !e shown.
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ear end P!E
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
2(
)(
*(
8(
1((
12(
Year End P/E
With the latest data availa!le &E ratio of ,ata stocks are positive which shows ftre
possi!ilities of capital gain from ac$iring its shares.
" #ividend ield
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
5
1(
15
2(
25
% Diidend Yield
3p to -01- the latest information availa!le the ) Dividend 9ield has !een very satisfactory
which is another reason to inclde ,ata in or portfolio.
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ver the years of trading in the stock exchange ,ata shares have performed promisingly getting
itself listed as a category A share. Despite tr!lent economic times trends in the stocks exhi!it
the company>s resilience and $ick recovery from market shocks. With increasing trends in
profits share price E&S and et Asset vale per share ,ata shares seem profita!le
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Pad"a $il&adma il is the !iggest and oldest petrolem company esta!lished in ,angladesh. t has !een
listed in DSE since 1
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Basic EPS
2((( 2((1 2((2 2((& 2(() 2((5 2((* 2((+ 2((8 2((, 2(1( 2(11 2(12 2(1&(
1(
2(
&(
)(
5(
*(
Basic EPS
Basic EPS
E&S of &adma il has !een rising over the last three years with the highest E&S recorded in the
last 1= years !eing ,D7=*. in -00.
Net Asset Value Per Share
2(((
2((1
2((2
2((&
2(()
2((5
2((*
2((+
2((8
2((,
2(1(
2(11
2(12
2(1&
(
5(
1((
15(
2((
25(
&((
Net Asset Value Per Share
Net Asset Value P
er Share
et Asset Gale per Share has !een increasing over the last two years despite !eing significantly
lower than in the years !efore -010. 7he sharp decline is typical in the indstry !t &adma il
has !een performing well in that respect.
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ear End P!E
2((( 2((12((22((&2(()2((52((*2((+ 2((82((,2(1(2(112(122(1&(
1(
2(
&(
)(
5(
*(
+(
Year End P/E
Year End P/E
Althogh 9ear End &E has declined it is still !etter in a!solte terms compared to competitors.
#ividend ield
2(((
2((1
2((2
2((&
2(()
2((5
2((*
2((+
2((8
2((,
2(1(
2(11
2(12
2(1&
(
(.5
1
1.5
2
2.5
&
&.5
% Diidend Yield
% Diidend Yield
&adma il has paid dividends in each of the last 1= years and percentage dividend yield has risen
very sharply from -01- hitting almost all time high in -01(.
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Suare &har"aceuticals
S$are &harmaceticals :imited has held a strong leadership position in the pharmacetical
indstry of ,angladesh since 1
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S$are &harmacetical>s share price trend is recent months has !een following an impressive
pward trend reaching one6year high recently in "arch with shares selling at ,D7 -
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2(((
2((1
2((2
2((&
2(()
2((5
2((*
2((+
2((8
2((,
2(1(
2(11
2(12
2(1&
(
2((
)((
*((
8((
1(((
12((
1)((
Net Asset Value Per Share
Net Asset Value Per share
7he trend is similar to ,asic E&S which shows that the et Asset Gale per Share has declined
drastically after -010. et asset vale per share stood at ,D7 /0 in -01( and exhi!its a
downward trend over the last three years. Again this is attri!ted to poor market condition as all
other companies of the indstry have !ehaved similarly.
ear End P!E
2(((2((12((22((&2(()2((52((*2((+2((82((,2(1(2(112(122(1&(
1(
2(
&(
)(Year End P/E
Year End P/E
At the end of -01( S$are &harmaceticals had &E of -0.
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2(((
2((1
2((2
2((&
2(()
2((5
2((*
2((+
2((8
2((,
2(1(
2(11
2(12
2(1&
(
1
2
&
)
5
*
+
8
% Diidend Yield
% Diidend Yield
Dividend 9ield shows an increasing trend from -01-6-01( of 1.=) in -01(. verall stocks show
satisfactory performance and good retrn on investment.
'indin#s And Anal(sis
We have recorded the daily price index of or selected stocks 'A, ,ank ,ritish American
7o!acco ,A7A &adma oil and S$are &harmaceticals+ and as well as DSEI'index+ for 1-0
months staring form Janary -00- to Decem!er -01- and we have calclated the daily holdingperiod retrn !ased on the closing price . 7he details of the calclation are given in the appendix
and also in the soft copy of the report.
We also have calclated the Arithmetic mean and standard deviation of each stock and DSEI are
as follows
$o%pan& Na%e Arith%etic %ean Standard deviation
AB Bank '(''')'*+,- '('.-/0''/)
BAT '(''+..-'0. '('/1+/0'-1
BATA '(',.)*)--) /(/+1'/101*
Pad%a 2il '('''+,++0/ '('.+.0),+
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S3uare Phar%aceuticals '('''+,++0/ '(')**,..11
#SE4 )*+,,-.+ ,,*..+0
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We have calclated correlation coefficient and covariance of or selected stocks with each other
and also with the market which are as follows@
$o%pan& Na%e $orrelation $oe55icient $ovarianceAB Bank with BAT *.+.),1 2*1)0-0
AB Bank with BATA 2*),.0+.3 2*+),3+
AB Bank with Pad%a oil 2*+11,0,-+ 2*+1130-
AB Bank with S3uare
Phar%aceuticals
2*304,4) 2*.,)-
BAT with BATA 2*,30004+ 2*03.03
BAT with Pad%a 2il 2*,30004+ 2*1,.1-1
BAT with S3uare
Phar%aceuticals
*+.0+4, 2*)0--.
BATA with Pad%a oil *.)0, *++03+4
BATA with s3uare
Phar%aceuticals
*-0..1)) 2*041))0
Pad%a with S3uare
Phar%aceuticals
*)-+4,. 2*,34+
AB Bank with 6arket *0))3+3.- 2*++3)-
BAT with 6arket 2*),+3))-0 2*-3)4.+
BATA with 6arket 2*1.040 2*)..4
Pad%a oil with 6arket 2*,.4.- 2*3+03.,S3uare Phar%aceuticals
with 6arket
*,1+-- *),4+10
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We have calclated portfolio risk and retrn !y sing different com!ination of or selected five
stock following "arkowit# model and the reslts are as follows@
$o%pan& Na%e 7isk 7eturnAB Bank with BAT *,- *))4
AB Bank with BATA *,0- *.))
AB Bank with Pad%a oil *-+ *,-
AB Bank with S3uare
Phar%aceuticals *,40 *)1
BAT with BATA *,330 *.3
BAT with Pad%a 2il *)01+ *03
BAT with S3uare
Phar%aceuticals *),4 *)1-BATA with Pad%a oil *-+) *--
BATA with s3uare
Phar%aceuticals *,31 *)0+0
Pad%a with S3uare
Phar%aceuticals *,1. *)40
E55icient Frontier
( (.(5 (.1 (.15 (.2 (.25 (.& (.&5(
(
(
(
(
(.(1
(.(1
(.(1
(.(1
(
E5cient 'rontier
6is7
6eturn
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#escription
7he efficient frontier shows the set of optimal portfolios that offers the highest expected retrn
for a defined level of risk or the lowest risk for a given level of expected retrn.
According the figre a!ove the most efficient com!inations of stocks are the ones closest to the
frontier. Whereas shares of A, !ank with ,ata and ,A7 with ,ata show the highest risk earning
the highest retrn and stocks held in com!inations of ,A7 and &adma il ,A7 and S$are A,
!ank and S$are are the ones showing the lowest retrn possi!le to earn with the lowest level of
risk.
However the com!ination of A, !ank with ,A7 !eing farthest away from the efficient frontier
seems to !e the least efficient com!ination in this portfolio.
We have calclated the !eta of each stock !y sing regression analysis and the
calclated !eta are as followings
$o%pan& Na%e $alculated Beta
AB Bank '(''''*0,,-*'**+/.,01
BAT '('''').''01.0**,'/+*
BATA 8'('''+'.1//+0),/*)*0
Pad%a 2il '('''',*,0--+/*'+)+'.
S3uare Phar%aceuticals '(''''+.*/0),),11*+)
The 9eta we have calculated and the 9eta is alread& given in the %arket are shown in the
5ollowing ta9le:
$o%pan& Na%e $alculated Beta Beta availa9le in
the %arket
AB Bank '(''''*0,,-*'**+/.,01 +(',)**1/+1-0
BAT '('''').''01.0**,'/+* '(0,/--1,1/0'0
BATA 8'('''+'.1//+0),/*)*0 '(*0)+/)00.''0
Pad%a 2il '('''',*,0--+/*'+)+'. +(/+.-0+0,/
S3uare Phar%aceuticals '(''''+.*/0),),11*+) '(*+/'.,'-+0*0
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Why the differenceK
:et>s !egin !y looking at the time frame chosen for calclating !eta. 7he availa!le !etas are
calclated with time frames nknown to s. 7his poses a ni$e pro!lem to s as well as any end
sers who need this measrement to measre portfolio risk. :ong6term investors will certainly
want to assess the risk over a longer time period than a trader who changes his or her portfolio
every few months. We sed 1-0 months> data to calclate or !eta. 7his might accont for the
difference !etween the availa!le !eta and or calclated !eta.
Another pro!lem cold !e the indexsed to calclate !eta. "ost provided !etas se the
American standard of theS?& 500 ndex. However or portfolio contains e$ities that extend
!eyond 3.S. !orders companies that is !ased and operated in ,angladesh2 ths the S?& 500 is
not the !est measre of the market.
Another nknown factor of pre6made availa!le !etas is the method sed to calclate them. 7here
are two ways to calclate !etas@ regressionand thecapital asset pricing model'%A&"+. %A&"
is sed more commonlyin academic finance2 however it is more accrate to se the regression
techni$e. 7he availa!le !etas may have !een calclated sing a different method from what we
have sed which might explain the differences.
We have calclated re$ired the retrn of each stock !ased on %A&" where we assmed the risk
rate of () and risk premim of *) and the reslts are as follows@
8 AB Bank +*),13)
8BAT +*3.348 BATA +*.3-3448S3uare phar%aceuticals +*0.33
8Pad%a 2il +*)1-0
Page ' 2)
http://www.investopedia.com/terms/i/index.asphttp://www.investopedia.com/terms/s/sp500.asphttp://www.investopedia.com/terms/r/regression.asphttp://www.investopedia.com/terms/c/capm.asphttp://www.investopedia.com/articles/06/CAPM.asphttp://www.investopedia.com/articles/06/CAPM.asphttp://www.investopedia.com/terms/i/index.asphttp://www.investopedia.com/terms/s/sp500.asphttp://www.investopedia.com/terms/r/regression.asphttp://www.investopedia.com/terms/c/capm.asphttp://www.investopedia.com/articles/06/CAPM.asphttp://www.investopedia.com/articles/06/CAPM.asp7/23/2019 Full & Final Report Fin 435
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Conclusion8
7he 56stock portfolio consisting of A, !ank ,ata ,at S$are &harmaceticals and &adma il
shares have !een sed to calclate the efficient frontier and identified the com!ination of stocks
which wold prove to !e the most efficient. 7he reslts are sch that any asset com!ination other
than ,A7 and A, !ank stocks held together yield efficient set of portfolios. Hence while
prchasing shares of these companies in the market these relationships wold come in handy.
Also the correlation coefficient and covariance !etween the shares and the market shold !e
stdied !efore investing in the stocks !ecase these figres reveal the direction in which the
retrn from each stock wold move with changing market conditions. An astte investor wold
want to inclde stocks in his portfolio which compensates the additional risk of holding onestock with additional retrn from the other stock.
7he expected retrns from each stock have !een calclated to show that all the stocks have
similar figres. 7hese help an investor to decide which stock to invest in when additional risk is
assmed for a given secrity.
However the market !eta calclated in this report differs from the availa!le !eta in the market.
;or reasons explained in the report the differences have arisen which might also !e reflected in
other calclations. evertheless the general conclsion to !e made from the portfolio analysis
of these particlar stocks reveal the nderlying expected retrn to !e gained from each and theinterrelationships among these stocks when held in a -6secrities model exhi!it the efficient
com!inations of stocks which is the prpose of this proLect.
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