Investment Policy

Stock:

VI / Technical

Investment Game Report

Week 1
I. Transaction
KBANK
TWP
INTUCH
GEL
SYNTEC

60:40

Stock

Buy
200
200
10,000
3,800

Sell

Price
235.00
64.75
82.25
1.19
3.14

Total
Cash
Net Asset Value (NAV)

Value
12,950
16,450
11,900
11,932
53,232
6,626
59,858

0.002675
Comission+Vat
0
35
44
32
32
142

%Weighted
0.00%
21.63%
27.48%
19.88%
19.93%
11.07%
100.00%

Beta
1.41
0.90
0.88
0.68
1.15
0.00

Wt*Beta
0.19
0.24
0.14
0.23

SET
1,598.33

0.80 (B port)

Week 2
I. Results
Stock
KBANK
TWP
INTUCH
GEL
SYNTEC
Cash

# stocks

200
200
10,000
3,800
6,626

Mkt. Price
222.00
63.00
80.75
1.09
3.30
1.00000

12,600
16,150
10,900
12,540
6,626

Net Asset Value

Return
Beta
(R-Rf)/B
II. Transactions
KBANK
TWP
INTUCH
GEL
SYNTEC
BTC
MTLS
Total
Cash
Net Asset Value

SET
1,581.25

Value

58,816
-102.65%
0.80
-133.15%
Stock

Week 3
I. Results
Stock
KBANK
TWP
INTUCH
GEL
BTC
MTLS

# Stocks
200
200
10,000
3,800
-

# Stocks

Cash
Net Asset Value
Return
Beta
(R-Rf)/B

Buy
5,000
-

200
200
10,000
5,000
-

Mkt. Price
225.00
74.25
81.25
1.10
1.66
19.90

10,208

1.00000

200
200
10,000
5,000
-

Mkt. Price
225.00
75.50
83.50
1.11
1.74
18.90

10,208

1.00000

# Stocks
200
200
10,000
5,000
-

Buy
600

Sell
3,800
-

Balance
200
200
10,000
5,000
-

Market
-55.57%
1
-59.57%
Mkt. Price
222.00
63.00
80.75
1.09
3.30
1.78
18.30

Value Comission+ Vat Weighted

0.00%
12,600
21.44%
16,150
27.49%
10,900
18.55%
34
8,900
24
15.15%
0.00%
48,550
57
10,208
17.37%
58,758
100.00%

Beta
1.41
0.90
0.88
0.68
1.22
1.16

Wt*Beta
0.19
0.24
0.13
0.18
-

0.00

0.00
0.75
(B port)

Value

SET
1,613.00

14,850
16,250
11,000
8,300
10,208
60,608
26.36%
0.77
28.91%

Market
23.86%
1
19.86%

II. Transactions
Week 4
I. Results
Stock
KBANK
TWP
INTUCH
GEL
BTC
MTLS

# Stocks

Cash
Net Asset Value
Return
Beta
(R-Rf)/B
II. Transactions
KBANK
TWP
INTUCH
GEL
BTC
MTLS
TTA
Total
Cash
Net Asset Value

Stock

Week 5
I. Results
Stock

# Stocks

KBANK
TWP
INTUCH
GEL
BTC
TTA
Cash

Net Asset Value

Return
Beta
(R-Rf)/B
II. Transactions
KBANK

TWP
INTUCH
GEL
BTC
TTA
AIE
Total
Cash
Net Asset Value

Stock

200
200
10,000
5,000
600

10,208
61,808
52.24%
0.77
62.37%
Sell
-

# Stocks
-

Buy
-

2,100

Balance
200
200
10,000
5,000
600

Market
19.04%
1
15.04%
Mkt. Price
225.00
75.50
83.50
1.11
1.74
18.90
16.90

Value Comission+ Vat Weighted

0.00%
15,100
24.44%
16,700
27.03%
11,100
17.97%
8,700
14.08%
10,140
27
16.41%
61,740
27
41
0.07%
61,781
100.00%

Beta
1.41
0.90
0.88
0.68
1.22
1.76
-

Value

220.00
74.25
80.75
1.09
1.66
16.60

1.00000

SET
1,615.89

15,100
16,700
11,100
8,700
-

Mkt. Price

41

200
200
10,000
5,000
600

Value

1,603.45

41

60,201
4.36%
0.84
0.43%

600
-

Balance
-

200
200
10,000
5,000
2,100

1.04
(B port)

SET

14,850
16,150
10,900
8,300
9,960

Sell
-

Wt*Beta
0.22
0.24
0.12
0.17
0.29

Market
4.16%
1
0.16%

Mkt. Price
220.00
74.25
80.75
1.09
1.66
16.50
4.58

Value Comission+ Vat Weighted Beta

0.00% 1.41

14,850
16,150
10,900
8,300
9,618
59,818
357
60,175

26
26
26

24.68%
26.84%
18.11%
13.79%
15.98%

0.90
0.88
0.68
1.22
1.32

0.59%
100.00%

Wt*Beta
-

0.22
0.24
0.12
0.17
0.21

0.96

(B port)

Assumptions

Valuation of Common Stock

Units: '000 baht

Sales growth
5%
CGS/Sales
60%
Admin. Growth
4%
interest (Kd)
7%
Tax
30%
Cash balance
500
Collection periods
45 days
Inv turns
15 days
Investment in F/A
Land
Bldg
Machhine
Dep. (old)
Dep. (new) Bldg
(20 Yrs)
Machine
(5 yrs)
Total dep.
A/P turn
30 days
Payment of LT-loan
Dividen pay out
40%
New common stock issued
FC growth rate after 2002
Targeted D/TA
40%
Ke
18%
ABC Corporation
Profit & Loss Forecasting
Units: '000 baht
Sales
CGS
PM
Admin
EBIT
Interest
EBT
Tax
NI
Div
EPS
DPS
ABC Corporation

1999

2.00%

2000
20,000
10,000

2001

2002

500

5,000
6,000
500

500

500

1,000

1,000

###

###

500
750
1,200
2,450

Actual Forecasted Forecasted

Forecasted
1999
2000
2001
2002
89,012
93,463
98,136
103,043
53,407
56,078
58,881
61,826
35,605
37,385
39,254
41,217
220
229
238
247
35,385
37,156
39,016
40,970
2,144
Err:522
Err:522
Err:522
33,241
Err:522
Err:522
Err:522
9,972
Err:522
Err:522
Err:522
23,269
Err:522
Err:522
Err:522
9,307
Err:522
Err:522
Err:522
46.54
Err:522
Err:522
Err:522
18.61
Err:522
Err:522
Err:522

Balance Sheet Forecasting

Units: '000 baht
Cash
Account receivables
Inventories
Total Currrent Assts
Land, Manchine & Bldg.
Accumulated Dep.
Net Fixed Assets
Total assets

Actual
1999
512
10,974
2,195
13,681
16,000
2,000
14,000
27,681

Account Payable
S-T bank-loan
LT loan
Common stock
Surplus
Retained Earning
Total equity
Total Liab. & Equity

4,390
11,491
5,000
5,000
1,000
800
6,800
27,681

Calculation of Stock Price

PV (CF yr1-3)
PV( after yr3) g=2.00%
Firm's Value @ 12.76%
Less: Debt Value
Equity's Value
SP
Calculation of inc. in FA
Net Fixed Assets
Change in NFA
Add: Dep.

Forecasted
2001
500
12,099
2,420
15,019
57,000
3,000
54,000
69,019

Forecasted
2002
500
12,704
2,541
15,745
57,000
5,450
51,550
67,295

4,609
Err:522
4,000
5,000
1,000
Err:522
Err:522
57,827

4,840
Err:522
3,000
5,000
1,000
Err:522
Err:522
69,019

5,082
Err:522
2,000
###
###
Err:522
Err:522
67,295

Err:522

Err:522

Err:522

Actual

Forecasted

Forecasted

Forecasted

1999

2000

2001

Additional capital needed

Calculation of Free Cash Flows

EBIT
EBIT(1-T)
Add: Dep.
EBIT(1-T) + Dep.
Less:
inc. F/A
inc. NWC
FCF

Forecasted
2000
500
11,523
2,305
14,327
46,000
2,500
43,500
57,827

2002

37,156
26,009
500
26,509
30,000
427
-3918

39,016
27,311
500
27,811
11,000
461
16,351

40,970
28,679
2,450
31,129
484
30,645

43,500
29,500
500

54,000
10,500 500

51,550
2,450
2,450

30,759.38
202,618.15
233,377.52
16,491
216,886
433.77 Baht
14,000

31,258

Increase (decrease) in FA
Calculation of dep
Accmulated dep.
Increase in dep.
Calculation of NWC
Current Assets
Current Liabilities
Account Payable
NWC (CA-CL)
Increase (decrease) in NWC

Financial Ratios
Liquiduty
Current Ratio
Quick ratio
Efficiency
Collection periods (days)
Inventories turns (days)
Leverage
Debt/TA
Times interest earn
Gearing ratio
Profitability
Profit Margin
Net Profit Margin
Gross Profit Margin
Dupont Analysis
Return On Assets
Asset Utiliztion
Equity Multiplier
Return on Equity

30,000

11,000

2,000

2,500
500

3,000
500

5,450
2,450

13,681

14,327

15,019

15,745

4,390
9,291

4,609
9,718
427

4,840
10,179
461

5,082
10,663
484

Actual
1999

Forecasted
2000

Forecasted
2001

Forecasted
2002

1.19
0.72

1.19
Err:522

1.19
Err:522

1.19
Err:522

365/(Sales/AR)
365/(CGS/INV)

45.00
15.00

45.00
15.00

45.00
15.00

45.00
15.00

EBIT/I
Bankloan/Equity

0.75
16.51
2.43

Err:522
Err:522
Err:522

Err:522
Err:522
Err:522

Err:522
Err:522
Err:522

40.00%
26.14%
39.75%

40.00%
Err:522
39.76%

40.00%
Err:522
39.76%

40.00%
Err:522
39.76%

84.06%
3.22
4.07
342.19%

Err:522
1.62
Err:522
Err:522

Err:522
1.42
Err:522
Err:522

Err:522
1.53
Err:522
Err:522

CA/CL
(CA-INV)/CL

PM/Sales
NI/Sales
EBIT/Sales
NI/TA
Sales/TA
TA/E
NI/E

Book Value Per share

Equity 1999
# Shares
Book Value/Share
Net Asset Value Per share
Assets
Cash
Account receivables
Inventories
Total Currrent Assts

6,800
500
13.60

Book Value
512
10,974
2,195
13,681

Market Value
512.00
7,681.86
1,975.33
10,169.19

Hidden gain/(loss)
-3,292
-219
-3,512

Land, Manchine & Bldg.

Accumulated Dep.
Net Fixed Assets
Good Will
Total assets

27,681

Book Value of Assets

Add: Hidden gain
Less: Hidden loss
Tax (30%)
Debt Value
Net Asset Value
NAV/Share

25,200.00
10,000.00

-16,000
-2,000
11,200
10,000

45,369.19

17,688

27,681
17,688
5,306
20,881
19,182
38

Relative Value (P/E)

EPS 2000
P/E industry
Stock Price

Err:522
9.00
Err:522

Dividend Discounted

Forecasted
2000
Err:522

Forecasted DPS

PV (DPS yr1-3)
PV( after yr3)g= 2.00%
Stock Price @ 18.00%

16,000
2,000
14,000

Err:522
Err:522
Err:522

Forecasted
2001
Err:522

Forecasted
2002
Err:522

Valuation of parent company with its subsidiaries

Parent
1

EBIT
EBIT(1-t)
t= 30%
Add:dep
Less: inc nwc
Less: inc F/A
FCF

Assumed WACC
Firm's value
Less: debt
Add: redundant asset
Equity value
Add: value of A
Add: value of B
Consolidated value
# stocks
Stock price (included subsidiaries)

Stock price (Parent alone)

100
70
10
2
5

120
84
10
2
5

144
101
10
2
5

173
121
10
2
5

73

87

104

124

73

15%
1,293.5
15.0
1.5
1,280.0
46.7
461.7
1,788.4
100.0
17.9

87

104

124

51%
51%

12.8

Sub A

EBIT
EBIT(1-t)

30
21

36
8

43
8

52
8

Add:dep
Less: inc nwc
Less: inc F/A

8
1
4

FCF

Assumed WACC
Firm's value
Less: debt
Add: redundant asset
Equity value
# stocks
Stock price

24

15%
91.5
15.0
0.5
91.5
30
3.1

24

8
1
4

11

11

8
1
4

11

11

8
1
4

11

11

Sub B
1

EBIT
EBIT(1-t)
Add:dep
Less: inc nwc
Less: inc F/A

70
49
7
1
2

FCF

Assumed WACC
Firm's value
Less: debt
Add:redundant asset
Equity value
# stocks

53

15%
919.3
15.0
1.0
905.3
75.0

53.0

84
59
7
1
2
63
62.8

101
71
7
1
2
75

74.6

121
85
7
1
2
89

###

Stock price
1.
2.
3.

12.1

value assumed
Ve
value 2 stock price 2
Stock price =
Ve
1 + x +

Stock price =
Ve
1 + Ve Sub A x % holding in A + Ve Sub B x % h

207
145
10
2
5
148
148

249
174
10
2
5
177
177

62
8

299
209
10
2
5
212

358
251
10
2
5
254

2,178.6

212

75
8

2,432.5

90
8

107
8

3% (growth)

261.4

8
1
4

11

11

145
102
7
1
2
106

8
1
4

11

11

174
122
7
1
2
126

### 125.9

8
1
4

11

11

209
146
7
1
2
150

8
1
4

11

94.4

3% (growth)

11.33

105.4

251
176
7
1
2
180

1541.4

### 1,720.9

3% (growth)

185

Ve

+ x

ing in A + Ve Sub B x % holding in B

Pricing of options

Stock Price Exercise Price

3.0
16.40
5.0
16.40
7.0
16.40
9.0
16.40
11.0
16.40
13.0
16.40
15.0
16.40
17.0
16.40
19.0
16.40
21.0
16.40
23.0
16.40
25.0
16.40
27.0
16.40
29.0
16.40
29.1
16.40
29.2
16.40
29.3
16.40
29.4
16.40
29.5
16.40

SP/EP
0.18293
0.30488
0.42683
0.54878
0.67073
0.79268
0.91463
1.03659
1.15854
1.28049
1.40244
1.52439
1.64634
1.76829
1.77439
1.78049
1.78659
1.79268
1.79878

ln(SP/EP)
-1.698669
-1.187843
-0.851371
-0.600057
-0.399386
-0.232332
-0.089231
0.035932
0.147158
0.247241
0.338213
0.421594
0.498556
0.570014
0.573457
0.576887
0.580306
0.583713
0.587109

d1
-1.38988
-0.80003
-0.41150
-0.12131
0.11041
0.30330
0.46854
0.61307
0.74150
0.85707
0.96211
1.05839
1.14726
1.22977
1.23375
1.23771
1.24166
1.24559
1.24951

d2
-2.25590
-1.66605
-1.27753
-0.98733
-0.75562
-0.56272
-0.39748
-0.25296
-0.12453
-0.00896
0.09609
0.19237
0.28123
0.36375
0.36772
0.37168
0.37563
0.37957
0.38349

N(d1)
0.08228
0.21185
0.34035
0.45172
0.54396
0.61917
0.68030
0.73008
0.77080
0.80430
0.83200
0.85506
0.87436
0.89061
0.89135
0.89209
0.89282
0.89354
0.89426

29.6

Remaining maturity of option

Volatility of stock (Var):
Market data
T- bond yield:

16.40

0.25

1.80488

1095 days
3.00
yrs

4%

0.590493

1.25342

0.38739

0.89497

N(d2) Cal OPV

0.01204
0.07
0.04785
0.36
0.10071
0.92
0.16174
1.71
0.22494
2.71
0.28681
3.88
0.34551
5.18
0.40015
6.59
0.45045
8.09
0.49643
9.67
0.53827
11.31
0.57627
12.99
0.61073
14.72
0.64198
16.49
0.64346
16.58
0.64494
16.67
0.64640
16.76
0.64787
16.85
0.64932
16.94

OPV OPV at exp.

0.07
0.00
0.36
0.00
0.92
0.00
1.71
0.00
2.71
0.00
3.88
0.00
5.18
0.00
6.59
0.60
8.09
2.60
9.67
4.60
11.31
6.60
12.99
8.60
14.72
10.60
16.49
12.60
16.58
12.70
16.67
12.80
16.76
12.90
16.85
13.00
16.94
13.10

V(t,Var,i)
0.07
0.36
0.92
1.71
2.71
3.88
5.18
5.99
5.49
5.07
4.71
4.39
4.12
3.89
3.88
3.87
3.86
3.85
3.84

Optio
20
15
10
5
0
0

10

15

0.65077

17.03

17.03

13.20

3.83

10

Stock Price OPV at exp. OPV

3
0
Option Pricing
5
0
7
0
9
0
11
0
13
0
15 0.00000E+00
17
0.6
19
2.6
15
20
21
4.6
23
6.6
25
8.6
27
10.6
29
12.6
29.1
12.7
29.2
12.8
29.3
12.9
29.4
13
29.5
13.1

Exercise Price
0.07
16.4
0.36
16.4
0.92
16.4
1.71
16.4
2.71
16.4
3.88
16.4
5.18
16.4
6.59
16.4
8.09
16.4
25
9.67
16.4
11.31
16.4
12.99
16.4
14.72
16.4
16.49
16.4
16.58
16.4
16.67
16.4
16.76
16.4
16.85
16.4
16.94
16.4

30

35

29.6

13.2

17.03

16.4

Pricing of Convertible bond

Stock Price
15
35
55
75
95
115
135
155
175
195
215
235
Convertible bond features
Par Value
Coupon rate
Remaining maturity of bond
Bond rating
CR
Interest paid
Remaining maturity of option

CR
10
10
10
10
10
10
10
10
10
10
10
10

CV
150
350
550
750
950
1150
1350
1550
1750
1950
2150
2350

1000
12%
10
yrs
BBB 4.75%
10
2 / year
5
yrs

SBV
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84
1,571.84

CV/SBV ln(CV/SBV)
0.09543 -2.349365
0.22267 -1.502067
0.34991 -1.050082
0.47715 -0.739927
0.60439 -0.503539
0.73163 -0.312483
0.85887 -0.152141
0.98611 -0.013990
1.11335 0.107371
1.24059 0.215584
1.36783 0.313223
1.49507 0.402170

d1
-2.88731
-1.62423
-0.95045
-0.4881
-0.13571
0.149096
0.388121
0.594063
0.774977
0.936293
1.081843
1.214438

Company's data
Volatility of stock (Va0.09

d2
-3.55813
-2.29505
-1.62127
-1.15892
-0.80653
-0.52172
-0.28270
-0.07676
0.10416
0.26547
0.41102
0.54362

N(d1)
0.00194
0.05216
0.17094
0.31274
0.44602
0.55926
0.65104
0.72377
0.78082
0.82544
0.86034
0.88771
Market data
T- bond yield:
Straight bond with
Rating
AAA
AA
A
BBB
BB
B

ma

CBV CBV at opt. Exp.* V(t,I,Var)

1,571.89
1571.84
0.05
1,575.94
1571.84
4.10
1,597.47
1571.84
25.63
1,645.79
1571.84
73.95
1,721.95
1571.84 150.11
1,822.84
1571.84 251.00
1,944.21
1571.84 372.38
2,081.98
1571.84 510.15
2,232.67
1750.00 482.67
2,393.48
1950.00 443.48
2,562.20
2150.00 412.20
2,737.12
2350.00 387.12

t data
nd yield:
3.75%
ht bond with maturity of (yrs): 10
YTM
4.00%
4.25%
* At expiration of option,
4.50%
if expiration date of option is the
4.75%
same as bond's maturity date,
5.00%
at maturity of bond, the value of bond
5.25%
becomes 1000 ( par value).

Price

N(d2) Cal OPV

OPV
0.00019
0.05
0.05
0.01087
4.10
4.10
0.05248
25.63
25.63
0.12324
73.95
73.95
0.20997
150.11 150.11
0.30093
251.00 251.00
0.38870
372.38 372.38
0.46941
510.15 510.15
0.54148
660.84 660.84
0.60468
821.65 821.65
0.65947
990.37 990.37
0.70665 1165.28 1165.28

Stock Pric SBV

15 1571.837
35 Value
1571.837
of Convert
55 1571.837
75 1571.837
4000
95 1571.837
2000
115 1571.837
135 1571.837
0
155 100
1571.837
0
50
150
200
175 1571.837
Stock Price
195 1571.837
215 1571.837
235 1571.837

CV

CBV
CBV at opt. Exp.*
150 1571.885 1571.837
f Convertible350
bond1575.936 1571.837
550 1597.469 1571.837
750 1645.791 1571.837
Straight Bond Value
Conversion Value 1571.837
950 1721.95
VCB option not
1150 1822.842
1571.837
expired
VCB option expired 1571.837
1350 1944.214
1550
2081.984 1571.837
150
200
250
1750 2232.675
1750
rice
1950 2393.483
1950
2150 2562.203
2150
2350 2737.117
2350

Ra
10%

Rb
15%

Corr (a,b)
0.5

Sda
20%

%a
0
10.0%
20.0%
30.0%

%b
100%
90.0%
80.0%
70.0%

SDp
25.0%
23.6%
22.3%
21.1%

Rp
15.0%
14.5%
14.0%
13.5%

40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%

60.0%
50.0%
40.0%
30.0%
20.0%
10.0%
0.0%

20.2%
19.5%
19.1%
18.9%
19.0%
19.4%
20.0%

13.0%
12.5%
12.0%
11.5%
11.0%
10.5%
10.0%

SDb
25%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%

0.0%
18.0% 19.0% 20.0% 21.0% 22

Corr(a,b) =

0.5

6.0%

4.0%

2.0%

0.0%

8.0%

6.0%

4.0%

2.0%

0.0%
18.0% 19.0% 20.0% 21.0% 22.0% 23.0% 24.0% 25.0% 26.0%

Column D

Rf
=
Var (Rf)
=
Cov (Rf,Rm) =
Rp

7%
0%
0

=
=

Rm
Var (Rm)

=
=

20%
25%

XRf x Rf + X Rm x Rm
(0.9)(0.07) + (0.1)(0.25)
=

8.3%

VAR p = X2Rf SD2Rf + 2 XRf XRm Cov Rf,Rm + X2Rm SD2Rm

= (0.9)2(0) + 2(0.9)(0.1)(0) + (0.1)2(0.25)
= 0.0025 = 0.25%
SDp

= 0.0025 1/2 = 0.05

%Rf
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

5%
%Rm
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

Rp
7.00%
8.30%
9.60%
10.90%
12.20%
13.50%
14.80%
16.10%
17.40%
18.70%
20.00%

Varp
0.00%
0.25%
1.00%
2.25%
4.00%
6.25%
9.00%
12.25%
16.00%
20.25%
25.00%

Rp

0.25
Rm

0.2

0.15

0.1

Rf

0.05

SDp

0
0

0.1

0.2

0.3

0.4

0.5

0.6

SDp
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
45.00%
50.00%

Rp

7.00%
8.30%
9.60%

10.90%
12.20%
13.50%
14.80%
16.10%
17.40%
18.70%
20.00%