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Khi tnh ton t sut sinh li ca c phiu, chng ta cn tnh ton 2 ni dung sau:
Th nht: t sut sinh li c tnh theo nguyn tc li kp so vi s k ghp li
sut trong nm l v hn thay v s dng cch tnh ton t sut sinh li theo
2
nguyn tc s k ghp li ri rc. Ph lc 2 vo cui chng ny s trnh by l do
ti sao chng ta la chn nguyn tc li kp vi s k ghp li trong nm l v
hn.
Th hai, chng ta tnh ton t sut sinh li ch bao hm trong nhn t thng d
vn (chnh lch gi chng khon) m khng bao hm thu nhp c tc. V d c
mt chng khon vi c tc c chi tr trong nm t, th khi tng t sut sinh
li ca c phiu ny s l:
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Trong v d di y chng ta s b qua yu t thu nhp c tc.
Vic tnh ton t sut sinh li s tr nn d dng khi s dng Excel vi cc cng
c c thit lp nh sau:
By gi chng ta a ra mt gi nh to bo nh sau: gi inh rng cc d liu t
sut sinh li trong 12 thng qua th hin phn phi t sut sinh li ca c phiu
ny trong nhng thng sp ti. Nh vy gii nh ny s cho rng nhng d liu
3
c c trong qu kh s cung cp cho chng ta thng tin v hnh vi m t sut
sinh li s t c trong tng lai. Gi nh ny cng cho php chng ta gi nh
rng s bnh qun ca cc d liu qu kh s th hin t sut sinh li mong i
hng thng ca mi mt c phiu v cho php chng ta c th suy t d liu qu
kh s thay i hay phng sai ca t sut sinh li trong tng lai.
S dng cc hm Average(), Varp() v Stdevp() trong Excel s gip chng ta
tnh ton cc ch tiu thng k c lin quan n phn phi ca t sut sinh li.
Lu rng chng ta s dng hm Varp() thay v l hm Var() v hm
Stdevp() thay v l hm Stdev(). S khc bit gia nhng hm ny v l do ng
sau s la chn ny, cc bn hy xem ph lc 3. K tip chng ta tnh ton hip
phng sai ca t sut sinh li. Hip phng sai (v h s tng quan c tnh
4
ton t hip phng sai) o lng mc duy chuyn cng nhau ca t sut sinh
li hai chng khon. Cng thc tnh ton nh sau:
( ) ( ) [ ] ( ) [ ]
B Bt A At B A
r E r r E r
M
r r Cov
1
,
Vi M l con s vi cc mu quan st trong phn phi (trong v d ca chng ta l
12). Phng trnh ny c th d dng thit lp trong Excel nh sau:
C cch thc khc tnh hip phng sai trc tip v ngn gn hn bng cch s
dng chc nng Array
1
(mng) trong Excel: Corvar(array1,array2) nh th hin
trong bng tnh trn. Khi s dng hm Covar() chng ta khng nht thit phi tnh
hiu s gia t sut sinh li tng thi im v gi tr t sut sinh li trung bnh.
5
Hip phng sai l mt ch tiu kh din t. n v ca hip phng sai c cng
n v vi i lng m chng ta ang o lng. Nu din t t sut sinh li di
n v l % v d l 4% thay v 0,04 th khi hip phng sai thay v l 0.00191
th chng ta s din t l 19,1 ln hn 10.000 ln con s tnh ton.
C th tnh ton h s tng quan nh sau:
( )
B A
B A
AB
r r Cov
p
,
4
3
2
1
...
x
x
x
x
X
Chng ta c th vit
T
X nh ma trrn nghch o ca ma trn ct X:
[ ]
n
T
x x x x X ,.... , ,
3 2 1
N
i
i i p
r E x r E
1
By gi ta vit E(r) nh l ma trn ct ca t sut sinh li cc chng khon v
E(r)
T
nh l ma trn hng ca t sut sinh li cc chng khon:
( )
( )
( )
( )
( )
1
1
1
1
1
1
]
1
N
r E
r E
r E
r E
r E
....
3
2
1
( ) ( ) ( ) ( ) ( ) [ ]
n
T
r E r E r E r E r E ,.... , ,
3 2 1
N
i
T T
i i p
X r E r E X r E x r E
1
) (
11
Phng sai ca danh mc c cho bi cng thc sau:
( ) ( ) ( ) ( )
+
+
N
i
N
i j
j i j i i i p
r r Cov x x r Var x r Var
1 1
2
2
Cng thc trn c v kh c i vi bn nhng n chnh l s m rng ca cng
thc tnh phng sai ca danh mc u t c 2 chng khon m chng ta kho
st trong phn trn: phng sai ca mi chng khon ch xut hin 1 ln, nhn
vi bnh phng t trng vn u t vo chng khon trong danh mc; hip
phng sai ca mi mt cp chng khon ch xut hin mt ln, nhn vi 2 ln
tch s ca t trng vn u t vo mi chng khon. Ta c th vit li cng thc
tnh phng sai danh mc N chng khon di dng ma trn nh sau:
( )
ii i
r Var
;
( )
ij j i
r r Cov ,
Hay chng ta c th vit li nh sau:
( )
ij
i j
j i p
x x r Var
Hu ht cch thc din t ngn gn nht cng thc tnh ton phng sai ca
mtdanh mc l s dng li ch gii bng ma trn. Cch thc ch gii ny cng l
cch d dng nht c th ng dng Excel trong vic gii quyt nhng bi ton
danh mc c s lng chng khon ln. din t cch thc ch gii ny, chng
ta gi ma trn c ij
NN N N N
N
N
S
...
..... ..... ..... .....
...
...
...
3 2 1
35 33 32 31
2 22 21
1 13 12 11
12
Khi phng sai ca ma trn c cho bi
( ) SX X r Var
T
p
Cui cng, nu chng ta gi ma trn
[ ]
N ,
x x ,x x X ,.....,
3 2 1 1
l t trng vn u
t vo danh mc 1 v ma trn
[ ]
N ,
y y ,y y X ,.....,
3 2 1 2
l t trong vn u t vo
danh mc 2, chng ta c th din t phng sai ca 2 danh mc l
( )
T
SX X Cov
2 1
2 , 1 .
By gi chng ta c 1 v d nh sau: gi nh rng c 4 chng khon c ri ro vi
cc ma trn t sut sinh li mong i v ma trn hip phng sai nh sau:
Chng ta mun cn nhc gia 2 danh mc ca cc chng khon c ri ro:
c th trnh by c r rng, trc ht chng ta chn mt v tr trong bng
tnh b tr ma trn chuyn o (t hng sang ct) ca 2 danh mc. Chng ta su
dng chc nng Array function (xem mc 3) Transpose thc hin cng vic
ny:
13
Sau chng ta tnh ton gi tr trung bnh, phng sai v hip phng sai ca 2
danh mc bng cch s dng hm Mmult cho tt c cc tnh ton:
By gi chng ta c th tnh ton lch chun v t sut sinh li t s kt hp 2
danh mc 1 v 2. Lu rng tt c u tng t nh trong trng hp ca 2 ti
sn hay 2 chng khon.
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5. Cc danh mc u t hiu qu
Mt danh mc u t hiu qu l danh mc u t vo nhng ti sn (hay chng
khon) c ri (phng sai t sut sinh li) l thp nht vi cng mt gi tr t sut
sinh li mong i t c l nh nhau trong tt c cc danh mc du t. Ni cch
khc, mt danh mc u t hiu qu s c t sut sinh li mong i cao nht so
vi tt c cc danh mc u t c cng mc ri ro (phng sai t sut sinh li). V
mt tnh ton, chng ta c th xc nh mt danh mc u t hiu qu nh sau: vi
mt gi tr t sut sinh li cho trc m, th mt danh mc u t hiu qu s p
ng cc iu kin sau:
( )
i j
p ij j i
r x x var
iu kin rng buc:
( )
i
p i i
r E r x
i
i
x 1
15
ng cong hiu qu l ng cong tp hp tt c cc danh mc hiu qu. Nh
gii thiu bi tc gi Black(1972), ng hi qu l qu tch ca tt c cc kt hp
li ca bt k 2 danh mc hiu qu no. Do , nu
{ }
N
x x x . ,.........
1
v
{ }
N
y y y . ,.........
1
+
+
+
+
yN a ax
y a ax
y a ax
y a ax z
N
1
1
1
1
.. ..........
2 2
1 1
cng l mt danh mc u t hiu qu. Do
chng ta c th tm ton b ng hiu qu nu chng ta c th tm bt k 2
danh mc hiu qu no .
T nh l ny, mt khi chng ta tm c 2 danh mc u t hiu qu x v y,
th bt k mt danh mc u t hiu qu no khc cng chnh l kt hp li ca 2
danh mc x v y. Gi gi trin trung bnh v phng sai ca x v y l ( ) { }
2
,
x x
r E
v
( ) { }
2
,
y y
r E v nu
( ) y a ax z + 1
khi :
( ) ( ) ( ) ( )
y x z
r E a r aE r E + 1
( ) ( ) ( ) y x Cov a a a a
y x z
, 1 2 1
2 2 2 2 2
+ +
( ) ( ) Sy X a a a a
T
y x
+ + 1 2 1
2 2 2 2
Cc chi tit i su trong vic tnh ton cc danh mc u t hiu qu c trnh
by trong chng 9.
Tr li trng hp tng qut
cc bn c th cm nhn c mt cch chnh xc th no l thut ng hiu
qu ca mt danh mc, chng ti s minh ha cho cc bn thy s kt hp gia 2
16
danh mc 1 v 2 c trnh by (v minh ha trn thi) trong phn 8.1.4
khng hiu qu. iu ny c th d dng thy c nu chng ta m rng bng
Data table bao gm trong cc c phiu ring bit nh sau:
Nu 2 danh mc u t ny l hiu qu, th khi tt c cc c phiu ring bit
phi nm thp hn hoc nm trong vng kt hp ca 2 danh mc u t. Trong
chng 9 chng ta s tm hiu cch tnh ton 2 danh mc u t hiu qu, nhng
nh bn thy y, iu ny s i hi nhiu tnh ton hn.
6. Kt lun
Trong chng ny chng ta xem xt cc khi nim v nhng tnh ton c bn
ca danh mc u t. Trong cc chng tip theo, chng ta s tm hiu cch tnh
ton nh th no l ma trn phng sai - hip phng sai t cc gi tr t sut sinh
li ca cc chng khon (hoc cc ti sn) v cch thc tnh ton cc danh mc
u t hiu qu.
II. Tnh ton ma trn hip phng sai
17
1. Tng quan
tnh ton cc danh mc u t hiu qu, chng ta phi tnh c ma trn
phng sai hip phng sai t d liu t sut sinh li ca cc c phiu. Trong
chng ny chng ti s trnh by cch thc thc hin nhng tnh ton ny trong
Excel nh th no. Chng ti s trnh by mt s phng php tnh ton ma trn
phng sai hip phng sai, bap gm cch tnh ton trc tip trong bng tnh
bng cch s dng ma trn t sut sinh li c s lng ln cc chng khon v
thc hin phng php ny vi Visual Basic for Application (VBA), v m hnh
ch s n gin (single index model).
Trc khi bt u chng ny, bn c th tham kho trc mt phn ph lc 3 v
cc ni dung kin quan n vic s dng cc hm c s dng mng (array). y l
nhng hm Excel s dng nhng lun c l nhng ma trn hng (vector) v cc
ma trn. Vic thc hin nhng hm ny s khng khc nhiu so vi nhng hm
tiu chun khc trong Excel. Chng ny cng s dng kh nhiu cc hm c s
dng mng nh Transpose() v MMult(), chng ta s s dng cng mt d liu 6
chng khon cho ton b cc tnh ton.
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Nhng d liu trn c tnh ton t cc s liu v gi hng nm ca 6 c phiu
ny. Do vy, v d , t sut sinh li ca c phiu cng ty A l -35,05% trong nm
1996 c tnh ton nh sau:
1995 / 12 / 31 ,
1995 / 12 / 31 , 1996 / 12 / 31 ,
1996 ,
A
A A
A
phiu c Gi
phiu c Gi phiu c Gi
r
N
t
it i
i r
n
r
1
... 1 ,
1
Khi phng sai sut sinh li ca chng khon i v chng khon j c tnh
ton nh sau:
( ) ( )( )
M
t
j jt i it ij
j i r r r r
M
j i Cov
1
,... 1 , ,
1
,
Vn ca chng ta l tnh ton nhng gi tr phng sai ny mt cch hiu qu.
2. S dng ma trn t sut sinh li trong Excel
19
Gi nh rng chng ta c N chng khon c ri ro v cc d liu t sut sinh li
ca tng chng khon trong M thi k. Khi ma trn t sut sinh li c s lng
ln cc chng khon c th hin nh sau:
A = Ma trn t sut sinh li c s lng ln cc chng khon =
1
1
1
1
1
]
1
N NM M
N N
N N
r r r r
r r r r
r r r r
...
... ... ...
...
...
1 1
2 1 12
1 1 11
Ma trn chuyn v ca ma trn ny l:
1
1
1
]
1
N NM N N N N
M
T
r r r r r r
r r r r r r
A
... ...
.....
... ...
2 1
1 1 1 12 1 11
Nhn ma trn
T
A vi ma trn A v sau chia cho s lng thi k M ta c
ma trn phng sai hip phng sai nh sau: [ ]
M
A A
S
T
ij
.
3. Trnh ny cch thc tnh ton
Chng ti s trnh by phng php ny vi cc v d bng s. Trc ht chng ta
s tnh ton gi tr t sut sinh li trung bnh cho mi chng khon (dng cui ca
bng tnh di y):
20
Cc gi tr trung bnh c tnh ton bng cch s dng hm Average() cho mi
ct d liu. K chng ta tnh ton ma trn t sut sinh li bng cch ln lt ly
cc gi tr t sut sinh li trong tng thi k tr i gi tr trung bnh t sut sinh li
ca chng khon :
Dng hm Transpose() lp ma trn chuyn v ca ma trn trn:
21
By gi chng ta c th tnh ton ma trn phng sai hip phng sai bng cch
nhn ma trn chuyn v A
T
vi ma trn gc A. S dng hm
MMult(A_Transpose,A)/N:
4. Cc cch thc khc tnh ton ma trn phng sai hip
phng sai
Mt cch thc khc tnh ton ma trn phng sai hip phng sai l s dng
hm Offset trong Excel. Hm ny cho php bn xc nh mt khi cc tng
xng vi cc gc ban u. V d, hm Offset(initial cells, rows, columns) s
tham chiu khi cc tng ng v hnh dng vi cc gc ban u nhng c
cc hng v ct nhiu hn cc gc ban u. K thut nay c trnh by trong
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bng tnh bn di. Lu rng cc s nm trong ng vin 0,1,2,3 s c b
sung thm vo trong ma trn phng sai hip phng sai:
5. M hnh ch s n
M hnh ch s n c s dng n gin mt vi bc tnh ton phc tp
trong qu trnh tnh ma trn phng sai hip phng sai. Cc gi nh c bn ca
m hnh l t sut sinh li ca mi mt ti sn c th c c hi quy tuyn tnh
t cc ch s ca th trng:
~ ~ ~
i x i i i
R R + +
Vi nhng gi nh c cho trc ny, chng ta c th d dng thit lp 2 lp
lun sau:
23
-
~ ~
) ( ) (
x i i i
R E R E +
Lp lun ny l tng t nh m hnh CAPM
-
~ ~
) ( ) (
x i i i
R E R E +
Lp lun ny yu cu tnh ton t hn. Ta c th vit cng
thc tinh ij
'
1
]
1
,
_
1
]
1
,
_
~ ~ ~ ~
j j i i ij
R E R R E R E
'
1
]
1
,
_
+ +
'
1
]
1
1
]
1
,
_
+ +
~ ~ ~ ~
x j j x j j x i i x i i
R E R R E R E
'
1
]
1
,
_
1
]
1
,
_
'
1
]
1
,
_
1
]
1
,
_
~ ~ ~ ~ ~ ~ ~ ~
x x j i x j x i
R E X R E X E R E X R E X E
2
x j i
M hnh ch s n c th gip chng ta n gin rt nhiu cc tnh ton ma trn
phng sai hip phng sai. Ly v d v mt danh mc 6 chng khon, vi ct
th 7 gi nh l ct ch s VN-Index. Chng ta tnh ton cc gi tr t sut sinh li
ca mi chng khon theo ch s VN-Index v nhn c cc gi tr beta
( )
nh
sau:
24
Cc cng thc khung ch ra c 2 cch tnh ton h s beta ca cc c phiu (ch
ny s c trnh by trong chng k tip).
tnh ton ma trn hip phng sai chng ta phi tnh ton ma trn c cng thc
2
x j i ij
.
Cng thc ny chng ta c th d dng tnh c bng cch t cc gi tr beta ca
6 c phiu xung quanh ng vin ca ma trn phng sai hip phng sai:
25
lp y cng thc vo cc trong ma trn, chng ta s dng chc nng mixed
cell-refnceca bng tnh. V d, i vi trn cng bn gc phi (c phng sai
ca c phiu A l 0,0790) c cng thc =B24*C23*$B$21. $B$21cha cng
thc tnh phng sai ca ch s VN-Index v B24v C23 nm trn ng vin
ca ma trn cha cc gi tr beta ca ti sn. Khi cng thc c copy tt c cc
trong ma trn, chng ta to ma trn phng sai hip phng sai theo ma trn ch
s n.
R rng rng ma trn phng sai hip phng sai c c lng bi ma trn
ch s n th khc bit vi ma trn phng sai hip phng sai c tnh chnh
xc t cc gi tr t sut sinh li (phn 8.2 v 8.3). t bit l khi cc gi tr beta
dng (gn nh l trong tt c cc trng hp) th ma trn phng sai hip
phng sai ca m hnh ch s n s khng c gi tr m cho cc nhp liu bn
trong m hnh. Do vy m hnh ny s khng cho ra gi tr hip phng sai m
gia 2 ti sn. Trong v d ca chng ta, khc bit gia 2 ma trn ny l ng k:
26
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