Construction of an efficient portfolio by using Different Techniques

Dilruba Jahan Dipa 026 Umme Salma Katha 029 Md.Rashiduzzaman 125 Md. Mamun Siraj 165 Md.Anjunur Rahman Arman 166

Around 450 stocks traded in the stock market.Selected only A category stocks to reduce risk.Analyzed 154 companies using relative valuation technique (P/E Valuation)We have selected the stocks which are deviated more than 30% from their market value90 stocks were finally chosen Valuation.xlsBank_ceramic_cement_real estate.xls FOOD_TANNATRY_INSURANCE.xlsPHARMA_ENGINEERING_FI_IT.xls POWER_MF_MIS_TEXT.xls

In industry analysis we have considered-

Porters Five Factor. Macroeconomic factor. Future prospect of each industry.

Industry analysis.doc

Selected 35.xls

RankingIndustryNumber of company1Fuel and Power 22Bank83Insurance94Pharmaceutical35Ceramic16Financial institution57Cement28Textile39Tannery2Total35

Based on company fundamentals 01. profitability02. deviation from intrinsic value03. intuitional holding 04. insider holdings 05. insider sales 06. distinctive competitive advantage 07. industry attractiveness08. historical profitability 09. historical dividend10. management quality esignaldata.xls Historical DAta of selected 35.xls

Problems in selecting companiesMost of the factors are qualitative.Different companies are good on different sectors.

ranking Criteria.docSelected (sorted_point).xlsSelected (sorted_industry).xls

We selected 20 companies with the highest point.

Two indexes were considered Industry index and The market indexIt is based on regression analysisIDLC Return = - 0.204 - 0.000276 DSI + 0.000853 Financial Inst. Index = - 0.204 - 0.000276 DSI + 0.000853(162 + 0.359 DSI+FR) = - 0.0658 + 0.00003 DSI + 0.000853FR = 0.022391Multi index model.xls Industry Index.xlsThe portfolio contains 11 stocks in 6 industries.

Securities move to their intrinsic value in the long run. Investment horizon can be both long & short run.For short term investment portfolio, we analyzed the technical graphs of most undervalued stocks to determine which stocks will move toward its intrinsic value within a very short period.

We have constructed 3 portfolios using Markowitz efficient frontier.optimum portfolio.xlsMaximum Return.xlsMinimum Variance portfoliol.xls

Complex analysis doesnt always guarantee maximum return

Return of Multi index model.xlsoptimum portfolio.xlsMinimum Variance portfoliol.xlsMaximum Return.xls

Long term PortfolioReturnMulti-Index model-6.48%

Short term PortfolioReturnOptimum portfolio219%Maximum Return Portfolio108.81%Minimum Variance Portfolio153.48%

?

Thank You

*