THIT LP M HNH DANH MC U T HIU QU THEO L THUYT

MARKOWITZ
Phn tch DMT theo M hnh ca Markowitz: theo 3 bc
1. T PT c bn v k thut, chn ra mt s CP a vo DMT, trong ch chn
nhng hng mc u t c h s tng quan v li sut l m.
2. Tnh cc c trng ca cc CP nh
+ li sut, ri ro
+ phng sai, lch chun, hip phng sai (Covariance), h s tng quan (Correlation
Cofficient) cc mc u t km tng quan hoc tng quan nghch vi nhau th c
chn a vo m hnh v mc ch xy dng DMT l gim thiu ri ro.
3. Xc nh t l phn b ca tng hng mc trong DMT sao cho DMT c hiu qu
nht. Tc l vi mt mc ri ro nh ( lch chun, h s tng quan) th DMT s c
li sut ln nht. Hoc vi mt mc li sut cho trc DMT s c ri ro thp nht.
Nhng DMT hiu qu s nm trn ng bin hiu qu (Efficient Frontier).
I. Mc thit lp m hnh DMT CP
nh gi vic p dng l thuyt danh mc u t hiu qu trn th trng
chng khon Vit Nam. L thuyt ca Markowitz cho rng vic a dng ha
danh mc u t s gim thiu ri ro phi h thng i vi cc nh u t.
Danh mc u t ca chng ta s gm 5 c phiu: AGF, GIL, GMD, NKD,
REE.
II. X l d liu.
D liu ca danh mc s bt u t ngy 15/12/2004 n ngy 16/7/2007 t sut
sinh li ca tng c phiu s c tnh theo thng bt u t ngy u tin ca thng ny
n ngy u tin ca thng tip theo. C th:
i vi nhng thng khng c giao dch hng quyn, chia tch c phiu v
hng c tc th t sut sinh li c tnh: r =

Pt P0
P0

i vi nhng thng c chi tr c tc th c tnh:

Tr c tc bng tin mt: r =

Pt + Dt P0
P0

Tr c tc bng c phiu: Ly s c phiu dng chi tr nhn vi

gi tr th trng ti thi im v chia cho s c phiu ph thng
ang lu hnh. V d: cng ty A c 1000 c phiu ang lu hnh,
cng ty thc hin vic chi tr c tc bng c phn theo t l 10:1,
tc 10 c phn hin ti th c hng 1 c phiu mi, gi th
trng ca c phiu mi l 2000 ng, nh vy c tc mi c phn
l:
Dt =

2000 100
= 100 ng
1000

Sau p dng cng thc tr c tc bng tin mt.

i vi vic chia tch, thng c phiu th t sut sinh li c tnh nh

sau: r =

a * Pt P0 + Pt
Vi a l t l c phiu c hng. V d, mt cng
P0

ty c 1000 c phn, cng ty quyt nh tch c phiu theo t l 2:1, nh vy

t l c phiu c hng l 0.5 v gi trc khi tch l 20000 (gi u thng
trc) gi sau khi tch u thng sau l 20000 nh vy
r=

0.5 20000 20000 + 20000

= 50%
20000

Pt : Gi c phiu ca u thng sau

P0 : Gi c phiu ca u thng trc

Sau khi hiu chnh v tnh ton ta c bng t sut sinh li theo thng ca tng
chng khon trong giai on t 15/12/2004-16/7/2007.
Bng 1: T SUT SINH LI THEO THNG CA TNG CHNG KHON
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06

AGF
0.03
-0.02
-0.03
0.03
-0.01
-0.02
-0.04
-0.02
0.02
0.16
0.13
0.06
-0.03
-0.02
0.22
0.13
0.39
-0.06
0.00
-0.05
0.07
0.08
-0.01
0.29
0.11

GIL
0.05
0.09
-0.04
0.05
-0.03
-0.05
-0.02
-0.02
0.02
0.13
0.26
-0.13
-0.06
0.06
0.14
0.11
0.27
-0.12
-0.07
-0.14
0.27
0.10
-0.05
0.04
-0.04

GMD
0.06
-0.02
0.01
0.03
0.00
-0.01
-0.02
-0.01
0.01
0.06
0.02
0.18
0.08
0.01
1.17
0.13
-0.19
-0.11
-0.01
-0.09
0.17
0.17
0.02
0.52
-0.01

NKD
0.14
0.02
-0.01
0.06
0.10
0.01
0.04
0.06
0.09
0.26
2.50
0.00
0.00
0.03
0.11
0.03
0.50
-0.16
-0.03
-0.18
0.16
0.06
0.03
0.19
0.36

REE
0.00
0.01
-0.02
0.18
-0.03
-0.02
0.03
-0.01
0.09
0.28
-0.01
-0.03
-0.01
0.06
0.34
0.21
0.69
-0.11
-0.06
-0.18
0.22
0.12
-0.04
0.24
0.22

Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
T sut sinh li
trung bnh
thng
lch chun

0.22
0.13
-0.10
-0.21
0.24
-0.24
-0.03

0.32
0.31
-0.07
-0.22
0.28
-0.03
-0.01

0.32
0.04
-0.07
-0.14
0.07
-0.10
-0.05

0.42
-0.04
-0.06
-0.27
0.30
0.08
0.05

0.62
0.32
-0.01
-0.19
-0.24
-0.12
-0.03

0.04

0.04

0.07

0.15

0.08

0.13

0.14

0.24

0.46

0.21

III. Thit lp m hnh.

Ta s s dng bng tnh excel v phn mm m phng crystal ball thit lp
m hnh: vi mc ch ti a ha t sut sinh li v vi lch chun ca danh mc u t
nh hn hoc bng 13% (danh mc E).

T D2:H2 chng ta in t trng u t ty vo cc chng khon.

Chn D2 trn mn hnh, di chuyn chut n cell trn thanh thc n
chn define decision. Sau thit lp cc thng s nh sau:

Tng t lm nh vy cho cc E2:H2.

Bin gi thit ca chng ta chn s l t sut sinh li ca mi chng
khon trong giai on 15/12/2004-16/07/2007. Chn D3 sau vo li
click chut vo cell trn thanh thc n chn define assumption v thit lp
cc thng s nh t sut sinh li trung bnh (mean) v lch chun ca mi
chng khon. Lm tng t cho cc t E3:H3.
D4= D2*D3 sau copy n H4.

S dng d liu t bng 1 v hm varp v hm covar tnh ma trn hip

phng sai
Trong D14 vit cng thc =
D2*SUMPRODUCT($D$2:$H$2,$D8:$H8) v copy n H14.
Tnh t sut sinh li ca danh mc vo bng sum(D4:H4).

Tnh lch chun ca danh mc u t: trong C19 nhp cng thc

sqrt(sum(D14:H14)).
Chn cc C17 v C19 lm d bo bng cch ch chut vo cell v
chn define forecast.
Ch chut vo Cbtool trn thanh thc n chn optquest.

sau.

Chn Ok , sau xut hin ca s Contraints thit lp cc rng buc

Click Ok, ca s d bo hin ra,

V chng ta mun ti a ha t sut sinh li k vng nn chn

Maximize Objective cho expected portfolio v nhp 0.13 vo upper ca
portfolio standard deviation sau khi chn Requirement. Sau chn Ok.
IV. Kt qu ca m hnh.

Vi yu cu lch chun ca danh mc u t khng vt qu 13% th mun

ti a ha t sut sinh li nh u t nn u t theo t l: 68% vo c phiu GMD, 31%
vo c phiu NKD v dnh 1% vn u t vo 2 c phiu AGF, REE.

Ta cng thy rng xc sut nh u t t c li nhun ln hn 0% mt

thng khi u t vo danh mc E l 69.5%.
Forecast: expected portfolio
1,000 Trials

Frequency Chart

7 Outliers

.028

28

.021

21

.014

14

.007

.000

0
-0.45

-0.17
0.11
0.40
Certainty is 69.50% from 0.00 to +Infinity

0.68

Thng k Kurtois ( nhn) = 2.79 v lch Skewness = 0.07 cho thy t sut
sinh li ca danh mc E c phn phi rt gn phn phi chun.
Da vo kt qu ca m hnh ta thy, nu nh u t la chn danh mc E h s
c t sut sinh li hng thng l khong 11.5% vi lch chun 13% trong giai on t
15/12/2004 16/7/2007.
BNG KT QU

AGF
GIL
GMD
NKD
REE
Danh mc u
t E

T sut sinh li

lch chun

0.04
0.04
0.07
0.15
0.08
0.115

0.13
0.14
0.24
0.46
0.21
0.13

Xc sut t sut
sinh li >= 0
60.9%
60.8%
59.8%
65.2%
65.6%
69.5%

H s bin
thin
3.3
3.5
3.4
3.1
2.6
1.1

Cn c vo bng kt qu ta thy vic a dng ha u t mang li kt qu tt

hn so vi vic u t ring vo tng chng khon. C th ta thy t sut sinh li ca
chng khon NKD trung bnh hng thng l khong 15% tuy nhin chng khon NKD c
lch chun rt cao 46%, nu chng ta u t vo danh mc E t sut sinh li trung bnh
l 11.5% /thng (gim 4.5%) tuy nhin lch chun ch c 13% (gim 33%), tng
ng vi vic hi sinh 30% t sut sinh li ly vic gim 72% lch chun. Tng t nu
nh u t mun t ri ro thp th thay v h u t ton b vo AGF th h s u t vo
danh mc E vi cng lch chun nhng c t sut sinh li cao hn gn 3 ln so vi t
sut sinh li ca AGF.