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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
Pt + Dt P0
P0
2000 100
= 100 ng
1000
a * Pt P0 + Pt
Vi a l t l c phiu c hng. V d, mt cng
P0
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
sau.
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