TRNG I HC KINH T THNH PH H CH MINH

KHOA TON THNG K

D N MN LP M HNH TI CHNH

QUN L DANH MC CHNG KHON

Gio vin: Hunh Th Cm H
Nhm tiu lun: Nguyn Hunh Thu Thy
Nguyn L Hng Ngc
Nguyn Th Bo Ngc
Hunh nh D
L Hong Ph

Thnh ph H Ch Minh, thng 06 nm 2011

I. Danh sch nhm:

Nguyn Hunh Thu Thy TF02_38 (Nhm trng)
Nguyn L Hng Ngc TF02_22
Nguyn Th Bo Ngc TF02_23
Hunh nh D TF02_05
L Hong Ph TF02_27
II. Ngun tham kho
III. Mc lc:
Qun l danh mc u t
Cc chng khon c a vo danh mc
L do chn cc chng khon a vo danh mc
Nguyn tc nhp liu
iu chnh gi chng khon
Quy trnh tin hnh phn tch
Sheet 01: Danh sch nhm
Sheet 02: Gi chng khon, t sut sinh li, ma trn hip phng sai
Sheet 03: Danh mc u t chng khon c bn khng
Sheet 04: ng CML
Sheet 05: ng ng dng
Sheet 06: Kim nh CAPM
Sheet 07: Danh mc u t chng khon khng c bn khng
Kt lun

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.

C mc tng trng y n tng trong thi gian gn y, thu nhp rng

sau thu lun gi xu hng tng trng n nh
Nguyn tc nhp liu
S k quan st l theo ngy, 40 k tnh t ngy 21/3/2011 n ngy
20/5/2011.
Gi chng khon ca mi k l gi ng ca ca phin giao dch cui
cng trong ngy.
iu chnh gi chng khon:
Gi chng khon c iu chnh khi cng ty tin hnh chia c tc bng
tin mt, chia c tc bng c phiu, chia c phiu thng, pht hnh thm c
phn mi.
Chia c tc bng tin mt: Gi iu chnh = Gi ng ca + C tc
Chia c tc bng c phiu hoc chia c phiu thng: Gi iu chnh =
Gi ng ca*(S lng c phn c + S lng c phn mi)/S lng c phn
c
Trng hp pht hnh thm c phn mi: Gi iu chnh = (Gi ng
ca*S lng c phn c + Gi c phn mi mi pht hnh thm*S lng c
phn mi pht hnh thm)/(S lng c phn c + S lng c phn mi pht
hnh thm)

QUY TRNH TIN HNH PHN TCH

I. Sheet 01: Danh sch nhm
Nguyn Hunh Thu Thy TF02_38
Nguyn L Hng Ngc TF02_22
Nguyn Th Bo Ngc TF02_23
Hunh nh D TF02_05
L Hong Ph TF02_27
II. Sheet 02: Gi chng khon, t sut sinh li, ma trn phng sai hip
phng sai
Xc nh TSSL ca gi chng khon v ch s Vn-Index bng cch:
Nu khng c c tc: rt =(Pt/Pt-1)-1 hoc rt=ln(Pt/Pt-1)
Nu c c tc rt =((Pt+Dt)/Pt-1)-1 hoc rt=ln((Pt+Dt)/Pt-1)
Trong :
rt l t sut sinh li ca chng khon ti thi im t
Pt gi ng ca ca chng khon ti thi im t
Dt mc chia c tc ti thi im t
Pt-1 gi ng ca ca chng khon ti thi im t-1
Dng hm AVERAGE tnh TSSL trung bnh.
Dng hm VARP tnh phng sai.
Dng hm SQRT tnh lch chun.
Kt hp 2 hm COVAR v OFFSET tm ma trn phng sai v hip
phng sai ca tng cp 2 m chng khon trong 20 m chng khon. Ma trn
hip phng sai khng xp theo th t ACB, CJC, CVN, DPM, DPR, HLG,
KTT, MKP, SAP, SCC, SDS, SHC, TET, VCB, VCF, VCH, VCS, VHC, VHL,
VNM. Thay vo ta c: VCF, TET, MKP, DPR, VHC, VHL, ACB, CVN,
HLG, SAP, KTT, SCC, SDS, SHC, VCB, VCH, VCS, VNM, DPM, CJC.
Kim tra tnh chnh xc ca kt qu bng cch so snh qua ng cho
ca ma trn. Do tnh cht COVAR(X Y)=COVAR(Y X) nn hip phng sai
ca cc m chng khon i xng nhau qua ng cho phi bng nhau.
III. Sheet 03: Danh mc u t chng khon c bn khng
Thit lp ma trn phng sai hip phng sai ca 20 chng khon. Copy bng
ma trn phng sai hip phng sai t Sheet 01.
Danh mc t trng u t chng khon 1

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

Danh mc t trng u t chng khon 2

VCF
TET
MKP
DPR
VHC

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

TSSL CA DANH MC GM 20 CHNG KHON

Series1

TSSL TRUNG BNH

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

IV. Sheet 04: ng CML

Gi nh rng c tn ti cc ti sn phi ri ro v nhng ti sn ny c t sut
sinh li l rf. Gi M l danh mc hiu qu tun theo phng trnh
R-rf=Sz
Mi=zi/sumzi
a s liu TSSL v t sut sinh li trung bnh ca 20 CK t sheet 01
Gi chng khon, t sut sinh li, ma trn phng sai hip phng sai
v Sheet 02 Danh mc u t chng khon c bn khng sang
Vi
c1
0
rf
0.065
TSSL TB DM X
-0.42328
TSSL TB DM M
-0.00007
Var (X)
0.34950
Var (M)
0.00001
lch chun DM X 0.59119
lch chun DM M 0.00249
Xy dng ng bin hiu qu
T trng vo DM X
TSSL
lch chun

0.3
-0.12703
0.17743

Thay i t trng kt hp gia danh mc X v ti sn phi ri ro M

Dng Data Table tm ra ng bin hiu qu
V ng bin hiu qu CML trng hp khng bn khng
V ng bin hiu qu CML trng hp c bn khng
NG BIN HIU QU CML
ng bin hiu qu

0.36

CML
Danh mc th trng M

TSSL TRUNG BNH

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

V. Sheet 05: ng ng dng

a bng Data Table TSSL trung bnh v lch chun ca cc danh
mc trn ng bin hiu qu c bn khng t sheet 02 Danh mc u t
chng khon c bn khng sang.
Cho hng s c1=0, c2=0.065
TSSLTB DM (X)
Phng sai (X)
lch chun(X)

-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

Tin hnh chy Data Table tm ra Umax vi phng trnh ng ng dng l:

U=E(r)-h s ngi ri ro
Th Umax vo tm ra TSSL yu cu tng ng vi tng phng sai trn
ng bin hiu qu bng cch chy Data Table.
V ng ng dng
700%
600%

ng bin hiu qu

500%

ng ng dng

400%
300%
200%
100%
0%
-100%

0%

50%

100%

150%

200%

250%

300%

350%

-200%
-300%

VI. Sheet 06: Kim nh CAPM

a s liu TSSL trung bnh ca 20 CK t sheet 02 Danh mc u t chng
khon c bn khng sang.
Dng hm SLOPE tnh gi tr beta ca tng chng khon
Tm phng trnh ng SML
Hi quy cc gi tr t sut sinh li trung bnh theo h s beta
Dng hm INTERCEPT tm ra h s chn
Dng hm SLOPE tm ra dc (hay cn gi l h s gc)
Dng hm RSQ tm ra h s tng quan R2
Phng trnh ng SML
y=0.000362970268030555-0.000217105340162284*x
Vi x l beta v y l TSSL trung bnh.

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

VII. Sheet 07: Danh mc u t chng khon khng c bn khng

a s liu ma trn phng sai v hip phng sai t sheet 01 Gi chng
khon, t sut sinh li, ma trn phng sai hip phng sai sang.
a s liu TSSL trung bnh ca 24 chng khon t sheet Gi chng khon, t
sut sinh li, ma trn phng sai hip phng sai sang.
Cho hng s c ln lt l 2%, 1%, -1%, -2% tm 4 danh mc nm trn ng
bin hiu qu trong trng hp khng c bn khng.
Phng php tm:
Cho theta tin n min.
Tng t trng ca 20 chng khon l 100%.
T trng ca tng chng khon khng c nh hn 0.
Tnh TSSL trung bnh v lch chun ca tng danh mc chng khon trn
ng bin hiu qu va tm c.

V ng bin hiu qu trong trng hp khng c php bn khng

1.400%

NG BIN HIU QU DANH MC KHNG C BN

KHNG

TSSL TRUNG BNH

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%

TSSL TRUNG BNH

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

Ti liu tham kho:

2.500%

3.000%

3.500%

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Kt lun:
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mc u t mt cch hiu qu.