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D N MN LP M HNH TI CHNH
QUN L DANH MC U T
I. Cc chng khon c a vo danh mc
ACB: Ngn hng Thng mi C phn Chu
CJC: Cng ty C phn C in Min Trung
CVN: Cng ty C phn Vinam
DPM: Tng Cng ty C phn phn bn v ho cht du kh
DPR: Cng ty C phn cao su ng Ph
HLG: Cng ty C phn Tp on Hong Long
KTT: Cng ty C phn u t thit b v xy lp in Thin Trng
MKP: Cng ty C phn ho dc phm Mekophar
SAP: Cng ty C phn in sch gio khoa ti Thnh ph H Ch Minh
SCC: Cng ty C phn xi mng Sng
SDS: Cng ty C phn xy lp v u t Sng
SHC: Cng ty C phn hng hi Si Gn
TET: Cng ty C phn vi si may mc Min Bc
VCB: Ngn hng Thng mi C phn Ngoi Thng Vit Nam
VCF: Cng ty C phn Vinacafe Bin Ha
VCH: Cng ty C phn u t v Pht trin h tng Vinaconex
VCS: Cng ty C phn p lt cao cp Vinaconex
VHC: Cng ty C phn Vnh Hon
VHL: Cng ty C phn Viglacera H Long
II. L do chn cc chng khon a vo danh mc
C tt c 20 chng khon c chn a vo danh mc. Chng c chn
da trn cc tiu ch sau y
Nhng m c phiu c a vo danh mc do c 40 k quan st theo
yu cu ca ti: ACB, CJC, CVN, DPM, DPR, HLG, KTT, MKP, SAP,
SCC, SDS, SHC, TET, VCB, VCF, VCH, VCS, VHC, VHL, VNM.
S dng b lc chng khon tm v chn ra mt s loi chng khon c
bin dao ng gi trong 5 k lin tip gn nht ln hn 10%: CVN, HLG,
VCF, DPR, VHL.
Dao ng mnh trong thi gian 40 k gn y: VCF, CVN, VNM, SDS,
VHL, VCS, VCB, HLG.
C ch s PE thp, chng t c kh nng u t
c cc nh phn tch u t chng khon nh gi l c xu hng tng
n nh trong thi gian sp ti.
Mt s m chng khon c khi lng dao dch hng ngy ln.
VCF
0.1123
TET
DPR
0.0011
0.0412
1
0.0001
1
VHC
0.0091
MKP
0.1211
VHL 2
0.0811
ACB 4
0.1001
CVN 2
0.0071
HLG 1
0.0110
SAP 7
KTT
0.22301
VCH
0.00781
SCC
VCS
0.13001
SDS
0.00015
0.04610
1
VNM
0.00171
SHC
0.01117
DPM
0.00217
VCB
0.00027
CJC
0.09322
0.0007
0.0000
0.1301
0.0912
0.0002
VHL
ACB
CVN
HLG
SAP
0.0168
0.0001
0.0869
0.0079
0.0911
KTT
SCC
SDS
SHC
VCB
0.1113
0.1571
0.0053
0.0014
0.0072
VCH
VCS
VNM
DPM
CJC
0.1922
0.0019
0.0007
0.0912
0.0067
TSSL trung bnh, phng sai, lch chun ca tng danh mc v danh
mc kt hp gia danh mc u t chng khon 1 v danh mc u t chng
khon 2, vi t trng u t vo danh mc 1 l 30% v u t vo danh mc 2
l 70%.
Dng Data Table, cho t trng u t vo danh mc 1 thay i tm cc
danh mc kt hp nm trn ng bin hiu qu.
V ng bin hiu qu
0.8%
ABT
0.6%
ALP
VTB
ALP
0.4%
VTO
0.2%
0.0%
1.0%
-0.2%
ABT2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
-0.4%
-0.6%
-0.8%
LCH CHUN
0.3
-0.12703
0.17743
0.36
CML
Danh mc th trng M
0.29
Ti sn phi ri ro
0.22
0.15
0.08
0.01
-0.05-0.060.00
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
-0.13
-0.20
LCH CHUN
-0.423278188
0.349503694
0.591188375
TSSLTB DM (Y)
Phng sai (Y)
lch chun(Y)
-0.000056379
0.000006202
0.002490475
Cho h s ngi ri ro
Mc hu dng Umax
Ngi ri ro
0.0002
0.7
ng bin hiu qu
500%
ng ng dng
400%
300%
200%
100%
0%
-100%
0%
50%
100%
150%
200%
250%
300%
350%
-200%
-300%
Regression Statistics
Multiple R
0.025857442
SS
MS
F
ANOVA
df
R Square
0.000668607
2.55596E-07 2.55596E-07 0.01204298
Adjusted R Square
-0.054849803
Regression 1
4
Standard
Error
0.004606913
Residual
18 0.000382026 2.12236E-05
Observations
20
Total
19 0.000382281
Significance F
0.91382939
NG SML
0.0010
0.0005
0.0000
0
0.5
1.5
2.5
-0.0005
ng SML
-0.0010
-0.0015
1.400%
1.200%
1.000%
0.800%
0.600%
0.400%
0.200%
0.000%
0.000%
-0.200%
0.500%
1.000%
1.500%
2.000%
2.500%
3.000%
3.500%
LCH CHUN
V ng ng dng ca nh u t
NG NG DNG KHNG BN KHNG
1.400%
1.200%
1.000%
0.800%
ng bin hiu qu
khng c bn khng
ng ng dng ca
nh u t
0.600%
0.400%
0.200%
0.000%
0.000%
-0.200%
0.500%
1.000%
1.500%
2.000%
LCH CHUN
2.500%
3.000%
3.500%
1. http://cafef.vn/thi-truong-chung-khoan.chn
2. http://www.cophieu68.com/companylist.php?stcid=1
3. http://www.hsx.vn/hsx/Default.aspx
Kt lun:
Nhm tm hiu cch lp Porfolio t tm ra cch a dng ha danh
mc u t mt cch hiu qu.