Investment gameInvestment PolicyStock: VI / Technical60:40Investment Game ReportWeek 1I. Transaction0.002675StockBuySellPriceValueComission+Vat%WeightedBetaWt*BetaSETKBANK0.0235.000.000.00%1.410.01,598.33TWP20064.7512,9503521.63%0.900.19INTUCH20082.2516,4504427.48%0.880.24GEL10,0001.1911,9003219.88%0.680.14SYNTEC3,8003.1411,9323219.93%1.150.23Total53,232142Cash6,62611.07%0.000.0Net Asset Value (NAV)59,858100.00%0.80(B port)Week 2I. ResultsSETStock# stocksMkt. PriceValue1,581.25KBANK0.0222.000.0TWP20063.0012,600INTUCH20080.7516,150GEL10,0001.0910,900SYNTEC3,8003.3012,540Cash6,6261.000006,626Net Asset Value58,816MarketReturn-102.65%-55.57%Beta0.801(R-Rf)/B-133.15%-59.57%II. TransactionsStock# StocksBuySellBalanceMkt. PriceValueComission+ VatWeightedBetaWt*BetaKBANK0.00.00.00.0222.000.00.00.00%1.410.0TWP2000.00.020063.0012,6000.021.44%0.900.19INTUCH2000.00.020080.7516,1500.027.49%0.880.24GEL10,0000.010,0001.0910,9000.018.55%0.680.13SYNTEC3,8000.03,8000.03.300.0340.00.00.0BTC0.05,0000.05,0001.788,9002415.15%1.220.18MTLS0.00.00.00.018.300.00.00.00%1.160.0Total48,55057Cash10,20817.37%0.000.00Net Asset Value58,758100.00%0.75(B port)Week 3I. ResultsStock# StocksMkt. PriceValueSETKBANK0.0225.000.01,613.00TWP20074.2514,850INTUCH20081.2516,250GEL10,0001.1011,000BTC5,0001.668,300MTLS0.019.900.0Cash10,2081.0000010,208Net Asset Value60,608MarketReturn26.36%23.86%Beta0.771(R-Rf)/B28.91%19.86%II. TransactionsWeek 4I. ResultsStock# StocksMkt. PriceValueSETKBANK0.0225.000.01,615.89TWP20075.5015,100INTUCH20083.5016,700GEL10,0001.1111,100BTC5,0001.748,700MTLS0.018.900.0Cash10,2081.0000010,208Net Asset Value61,808MarketReturn52.24%19.04%Beta0.771(R-Rf)/B62.37%15.04%II. TransactionsStock# StocksBuySellBalanceMkt. PriceValueComission+ VatWeightedBetaWt*BetaKBANK0.00.00.00.0225.000.00.00.00%1.410.0TWP2000.00.020075.5015,1000.024.44%0.900.22INTUCH2000.00.020083.5016,7000.027.03%0.880.24GEL10,0000.010,0001.1111,1000.017.97%0.680.12BTC5,0000.00.05,0001.748,7000.014.08%1.220.17MTLS0.00.00.00.018.900.00.00.00.00.0TTA6000.060016.9010,1402716.41%1.760.29Total61,74027Cash410.07%0.00.0Net Asset Value61,781100.00%1.04(B port)Week 5I. ResultsStock# StocksMkt. PriceValueSETKBANK0.0220.000.01,603.45TWP20074.2514,850INTUCH20080.7516,150GEL10,0001.0910,900BTC5,0001.668,300TTA60016.609,960Cash411.0000041Net Asset Value60,201MarketReturn4.36%4.16%Beta0.841(R-Rf)/B0.43%0.16%II. TransactionsStock# StocksBuySellBalanceMkt. PriceValueComission+ VatWeightedBetaWt*BetaKBANK0.00.00.00.0220.000.00.00.00%1.410.0TWP2000.00.020074.2514,8500.024.68%0.900.22INTUCH2000.00.020080.7516,1500.026.84%0.880.24GEL10,0000.010,0001.0910,9000.018.11%0.680.12BTC5,0000.00.05,0001.668,3000.013.79%1.220.17TTA6000.06000.016.500.0260.00.00.0AIE2,1000.02,1004.589,6182615.98%1.320.21Total59,81826Cash3570.59%0.00.0Net Asset Value60,175100.00%0.96(B port)

Pricing common stockValuation of Common StockAssumptionsUnits: '000 bahtSales growth5%CGS/Sales60%Admin. Growth4%interest (Kd)7%Tax30%Cash balance500Collection periods45daysInv turns15daysInvestment in F/A1999200020012002Land20,000Bldg10,0005,000Machhine6,000Dep. (old)500500500Dep. (new)Bldg (20 Yrs)750Machine (5 yrs)1,200Total dep.5005002,450A/P turn30daysPayment of LT-loan1,0001,0001,000Dividen pay out40%New common stock issued0.00.00.0FC growth rate after 20022.00%Targeted D/TA40%Ke18%ABC CorporationProfit & Loss ForecastingUnits: '000 bahtActualForecastedForecastedForecasted1999200020012002Sales89,01293,46398,136103,043CGS53,40756,07858,88161,826PM35,60537,38539,25441,217Admin220229238247EBIT35,38537,15639,01640,970Interest2,1442,2221,898573EBT33,24134,93437,11840,397Tax9,97210,48011,13512,119NI23,26924,45425,98328,278Div9,3079,78210,39311,311EPS46.5448.9151.9756.56DPS18.6119.5620.7922.62ABC CorporationBalance Sheet ForecastingUnits: '000 bahtActualForecastedForecastedForecasted1999200020012002Cash512500500500Account receivables10,97411,52312,09912,704Inventories2,1952,3052,4202,541Total Currrent Assts13,68114,32715,01915,745Land, Manchine & Bldg.16,00046,00057,00057,000Accumulated Dep.2,0002,5003,0005,450Net Fixed Assets14,00043,50054,00051,550Total assets27,68157,82769,01967,295Account Payable4,3904,6094,8405,082S-T bank-loan11,49127,74624,1176,185LT loan5,0004,0003,0002,000Common stock5,0005,0005,0005,000Surplus1,0001,0001,0001,000Retained Earning80015,47231,06248,028Total equity6,80021,47237,06254,028Total Liab. & Equity27,68157,82769,01967,295Additional capital needed16255-3629-17933ActualForecastedForecastedForecastedCalculation of Free Cash Flows1999200020012002EBIT37,15639,01640,970EBIT(1-T)26,00927,31128,679Add: Dep.5005002,450EBIT(1-T) + Dep.26,50927,81131,129Less: inc. F/A30,00011,0000.0inc. NWC427461484FCF-391816,35130,64531,258Calculation of Stock PricePV (CF yr1-3)$30,759.38PV( after yr3) g=2.00%202,618.15Firm's Value @12.76%$233,377.52Less: Debt Value16,491Equity's Value216,886SP433.77BahtCalculation of inc. in FANet Fixed Assets14,00043,50054,00051,550Change in NFA29,50010,500-2,450Add: Dep.5005002,450Increase (decrease) in FA0.030,00011,0000.0Calculation of depAccmulated dep.2,0002,5003,0005,450Increase in dep.5005002,450Calculation of NWCCurrent Assets13,68114,32715,01915,745Current LiabilitiesAccount Payable4,3904,6094,8405,082NWC (CA-CL)9,2919,71810,17910,663Increase (decrease) in NWC427461484ActualForecastedForecastedForecasted1999200020012002Financial RatiosLiquidutyCurrent RatioCA/CL1.191.191.191.19Quick ratio(CA-INV)/CL0.720.370.441.17EfficiencyCollection periods (days)365/(Sales/AR)45.0045.0045.0045.00Inventories turns (days)365/(CGS/INV)15.0015.0015.0015.00LeverageDebt/TA0.750.630.460.20Times interest earnEBIT/I16.5116.7220.5571.51Gearing ratioBankloan/Equity2.431.480.730.15ProfitabilityProfit MarginPM/Sales40.00%40.00%40.00%40.00%Net Profit MarginNI/Sales26.14%26.16%26.48%27.44%Gross Profit MarginEBIT/Sales39.75%39.76%39.76%39.76%Dupont AnalysisReturn On AssetsNI/TA84.06%42.29%37.65%42.02%Asset UtiliztionSales/TA3.221.621.421.53Equity MultiplierTA/E4.072.691.861.25Return on EquityNI/E342.19%113.89%70.11%52.34%Book Value Per shareEquity 19996,800# Shares500Book Value/Share13.60Net Asset Value Per shareAssetsBook ValueMarket ValueHidden gain/(loss)Cash512512.000.0Account receivables10,9747,681.86-3,292Inventories2,1951,975.33-219Total Currrent Assts13,68110,169.19-3,512Land, Manchine & Bldg.16,000-16,000Accumulated Dep.2,000-2,000Net Fixed Assets14,00025,200.0011,200Good Will10,000.0010,000Total assets27,68145,369.1917,688Book Value of Assets27,681Add: Hidden gain17,688Less: Hidden lossTax (30%)5,306Debt Value20,881Net Asset Value19,182NAV/Share38Relative Value (P/E)EPS 200048.91P/E industry9.00Stock Price440.17Dividend DiscountedForecastedForecastedForecasted200020012002Forecasted DPS19.5620.7922.62PV (DPS yr1-3)$45.28PV( after yr3)g=2.00%87.77Stock Price @18.00%$133.05

valuation parent co. with subsValuation of parent company with its subsidiariesParent12345678EBIT100120144173207249299358EBIT(1-t) t= 30%7084101121145174209251Add:dep1010101010101010Less: inc nwc22222222Less: inc F/A555555553%(growth)FCF7387104124148177212254261.42,178.673871041241481772122,432.5Assumed WACC15%Firm's value1,293.5Less: debt15.0Add: redundant asset1.5Equity value1,280.0Add: value of A46.751%Add: value of B461.751%Consolidated value1,788.4# stocks100.0Stock price (included subsidiaries)17.9Stock price (Parent alone)12.8Sub A12345678EBIT30364352627590107EBIT(1-t)218888888Add:dep88888888Less: inc nwc11111111Less: inc F/A444444443%(growth)FCF241111111111111111.3394.424111111111111105.4Assumed WACC15%Firm's value91.5Less: debt15.0Add: redundant asset0.5Equity value91.5# stocks30Stock price3.1Sub B12345678EBIT7084101121145174209251EBIT(1-t)49597185102122146176Add:dep77777777Less: inc nwc11111111Less: inc F/A222222223%(growth)FCF53637589106126150180184.9631349761541.453.062.874.688.7105.6125.9150.31,720.9Assumed WACC15%Firm's value919.3Less: debt15.0Add:redundant asset1.0Equity value905.3# stocks75.0Stock price12.11. value assumed Ve 2. value 2 stock price 2 3. Stock price = Ve 1 + x + x Stock price = Ve 1 + Ve Sub A x % holding in A + Ve Sub B x % holding in B

Options pricingPricing of optionsStock PriceExercise PriceSP/EPln(SP/EP)d1d2N(d1)N(d2)Cal OPVOPVOPV at exp.V(t,Var,i)Stock PriceOPV at exp.OPVExercise Price3.016.400.18293-1.698669-1.38988-2.255900.082280.012040.070.070.000.07300.0716.45.016.400.30488-1.187843-0.80003-1.666050.211850.047850.360.360.000.36500.3616.47.016.400.42683-0.851371-0.41150-1.277530.340350.100710.920.920.000.92700.9216.49.016.400.54878-0.600057-0.12131-0.987330.451720.161741.711.710.001.71901.7116.411.016.400.67073-0.3993860.11041-0.755620.543960.224942.712.710.002.711102.7116.413.016.400.79268-0.2323320.30330-0.562720.619170.286813.883.880.003.881303.8816.415.016.400.91463-0.0892310.46854-0.397480.680300.345515.185.180.005.18150.00000E+005.1816.417.016.401.036590.0359320.61307-0.252960.730080.400156.596.590.605.99170.66.5916.419.016.401.158540.1471580.74150-0.124530.770800.450458.098.092.605.49192.68.0916.421.016.401.280490.2472410.85707-0.008960.804300.496439.679.674.605.07214.69.6716.423.016.401.402440.3382130.962110.096090.832000.5382711.3111.316.604.71236.611.3116.425.016.401.524390.4215941.058390.192370.855060.5762712.9912.998.604.39258.612.9916.427.016.401.646340.4985561.147260.281230.874360.6107314.7214.7210.604.122710.614.7216.429.016.401.768290.5700141.229770.363750.890610.6419816.4916.4912.603.892912.616.4916.429.116.401.774390.5734571.233750.367720.891350.6434616.5816.5812.703.8829.112.716.5816.429.216.401.780490.5768871.237710.371680.892090.6449416.6716.6712.803.8729.212.816.6716.429.316.401.786590.5803061.241660.375630.892820.6464016.7616.7612.903.8629.312.916.7616.429.416.401.792680.5837131.245590.379570.893540.6478716.8516.8513.003.8529.41316.8516.429.516.401.798780.5871091.249510.383490.894260.6493216.9416.9413.103.8429.513.116.9416.429.616.401.804880.5904931.253420.387390.894970.6507717.0317.0313.203.8329.613.217.0316.41095daysRemaining maturity of option3.00yrsVolatility of stock (Var):0.25Market dataT- bond yield:4%

Options pricing

Option Pricing

Pricing of ConvertiblePricing of Convertible bondStock PriceCRCVSBVCV/SBVln(CV/SBV)d1d2N(d1)N(d2)Cal OPVOPVCBVCBV at opt. Exp.*V(t,I,Var)Stock PriceSBVCVCBVCBV at opt. Exp.*15101501,571.840.09543-2.349365-2.8873082208-3.558130.001940.000190.050.051,571.891571.840.05151571.83739630911501571.88545175671571.837396309135103501,571.840.22267-1.502067-1.6242311454-2.295050.052160.010874.104.101,575.941571.844.10351571.83739630913501575.93615204171571.837396309155105501,571.840.34991-1.050082-0.9504515044-1.621270.170940.0524825.6325.631,597.471571.8425.63551571.83739630915501597.46851419221571.837396309175107501,571.840.47715-0.739927-0.4880998356-1.158920.312740.1232473.9573.951,645.791571.8473.95751571.83739630917501645.79137378941571.837396309195109501,571.840.60439-0.503539-0.135712251-0.806530.446020.20997150.11150.111,721.951571.84150.11951571.83739630919501721.9497206651571.83739630911151011501,571.840.73163-0.3124830.1490960802-0.521720.559260.30093251.00251.001,822.841571.84251.001151571.837396309111501822.84187688711571.83739630911351013501,571.840.85887-0.1521410.3881207904-0.282700.651040.38870372.38372.381,944.211571.84372.381351571.837396309113501944.21420526441571.83739630911551015501,571.840.98611-0.0139900.5940631557-0.076760.723770.46941510.15510.152,081.981571.84510.151551571.837396309115502081.98350644891571.83739630911751017501,571.841.113350.1073710.77497723980.104160.780820.54148660.84660.842,232.671750.00482.671751571.837396309117502232.674705993617501951019501,571.841.240590.2155840.93629252730.265470.825440.60468821.65821.652,393.481950.00443.481951571.837396309119502393.483306185619502151021501,571.841.367830.3132231.08184336410.411020.860340.65947990.37990.372,562.202150.00412.202151571.837396309121502562.202686953121502351023501,571.841.495070.4021701.21443844750.543620.887710.706651165.281165.282,737.122350.00387.122351571.837396309123502737.11707760082350Convertible bond featuresCompany's dataMarket dataPar Value1000Volatility of stock (Var):0.09T- bond yield:3.75%Coupon rate12%Straight bond with maturity of (yrs):10Remaining maturity of bond10yrsRatingYTMBond ratingBBB4.75%AAA4.00%CR10AA4.25%* At expiration of option,Interest paid2/ yearA4.50%if expiration date of option is theRemaining maturity of option5yrsBBB4.75%same as bond's maturity date,BB5.00%at maturity of bond, the value of bondB5.25%becomes 1000 ( par value).

Pricing of Convertible

Straight Bond ValueConversion ValueVCB option not expiredVCB option expiredStock PricePriceValue of Convertible bond

Simulation of possible portfoliRaRbCorr (a,b)SdaSDb10%15%0.520%25%Corr(a,b) =0.5% a%bSDpRp0100%25.0%15.0%10.0%90.0%23.6%14.5%20.0%80.0%22.3%14.0%30.0%70.0%21.1%13.5%40.0%60.0%20.2%13.0%50.0%50.0%19.5%12.5%60.0%40.0%19.1%12.0%70.0%30.0%18.9%11.5%80.0%20.0%19.0%11.0%90.0%10.0%19.4%10.5%100.0%0.0%20.0%10.0%

Simulation of possible portfoli

SMLRf =7%Rm =20%Var (Rf) =0%Var (Rm) =25%Cov (Rf,Rm) =0Rp =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 = 5%%Rf%RmRpVarpSDpRp100%0%7.00%0.00%0.00%7.00%90%10%8.30%0.25%5.00%8.30%80%20%9.60%1.00%10.00%9.60%70%30%10.90%2.25%15.00%10.90%60%40%12.20%4.00%20.00%12.20%50%50%13.50%6.25%25.00%13.50%40%60%14.80%9.00%30.00%14.80%30%70%16.10%12.25%35.00%16.10%20%80%17.40%16.00%40.00%17.40%10%90%18.70%20.25%45.00%18.70%0%100%20.00%25.00%50.00%20.00%

SML0.070.0830.0960.1090.1220.1350.1480.1610.1740.1870.2

RfRmRpSDp

Economy & SET