Assignment Details Define Investor and Portfolio characteristics and objectives. (Hint: Chapter 13) Selection criteria: Possible diversification benefits, macroeconomic analysis (inflation, interest rates, economic and industrial conditions), individual company analysis, etc. Select 5 securities (at least 2 from B or Z category) listed in Dhaka Stock Exchange. Collect news that has been published about your selected securities over past 3 months and identify whether efficient market hypothesis holds or not. (Source: DSE website) Using free cash flow model calculate intrinsic value of at least one shares and based on the price of December 1, 2021 comment on them (undervalued or overvalued). (Handout and Sample Provided) Use DSEX as the market index Develop Capital Market Expectations based on past two months (60 trading days) daily historical prices (adjusted closing price) Capital Market Expectations: individual stock's return, risk, variance, beta, covariance and correlations. (Hint: FIN 302 assignment) Based on their risk-return trade-off and analysis, form a portfolio (Portfolio 1) with equally weighted securities. By using solver determine the weights of your selected securities and form another portfolio (Portfolio 2). (Hint: FIN 302 assignment) Hold and monitor the portfolio performance for 15 trading days (14.11.21 02.12.21). Measure the portfolio risk, return and beta. (Hint: Chapter 5, FIN 302) Evaluate the performance of your portfolio (Jensen, Treynor and Sharp Measures) Recommend between portfolio 1 and 2 with appropriate reasons. Report Format Introduction - overview of the report methodology and rationale behind developing portfolios. Selection Criterion - detailed justification of selecting five stocks (with historical charts and necessary numerical representations) Finding efficient market hypothesis. Calculation and details of intrinsic value. Capital Market Expectations. Portfolio Selection - risk-return tradeoff, efficient frontier, diversification benefits. Portfolio Performance Evaluation Recommendations and Conclusion . Assignment Details Define Investor and Portfolio characteristics and objectives. (Hint: Chapter 13) Selection criteria: Possible diversification benefits, macroeconomic analysis (inflation, interest rates, economic and industrial conditions), individual company analysis, etc. Select 5 securities (at least 2 from B or Z category) listed in Dhaka Stock Exchange. Collect news that has been published about your selected securities over past 3 months and identify whether efficient market hypothesis holds or not. (Source: DSE website) Using free cash flow model calculate intrinsic value of at least one shares and based on the price of December 1, 2021 comment on them (undervalued or overvalued). (Handout and Sample Provided) Use DSEX as the market index Develop Capital Market Expectations based on past two months (60 trading days) daily historical prices (adjusted closing price) Capital Market Expectations: individual stock's return, risk, variance, beta, covariance and correlations. (Hint: FIN 302 assignment) Based on their risk-return trade-off and analysis, form a portfolio (Portfolio 1) with equally weighted securities. By using solver determine the weights of your selected securities and form another portfolio (Portfolio 2). (Hint: FIN 302 assignment) Hold and monitor the portfolio performance for 15 trading days (14.11.21 02.12.21). Measure the portfolio risk, return and beta. (Hint: Chapter 5, FIN 302) Evaluate the performance of your portfolio (Jensen, Treynor and Sharp Measures) Recommend between portfolio 1 and 2 with appropriate reasons. Report Format Introduction - overview of the report methodology and rationale behind developing portfolios. Selection Criterion - detailed justification of selecting five stocks (with historical charts and necessary numerical representations) Finding efficient market hypothesis. Calculation and details of intrinsic value. Capital Market Expectations. Portfolio Selection - risk-return tradeoff, efficient frontier, diversification benefits. Portfolio Performance Evaluation Recommendations and Conclusion
