THC HNH M

HNH CAPM
Nhm thuyt trnh Lp TCDN 7 K32:
Trn Ngc Thin
inh Ngc Cng
Nguyn Quang Hi
ng Hng Thnh
Hunh Th Thy Dim
Trn Th Nht
Nguyn Th Thy
Nguyn Ngc Trm

CC M CHNG KHON C CHN

STB

CII

HAX

VNM

VFMVF1

TDH

TNA

ABT

VFMVF4

VIC

TRI

KDC

MAFPF1

VSH

BMP

VIP

SSI

UIC

TNC

VTO

PVF

PPC

TTP

PVT

Ngy
03/03/200
9
04/03/200
9
05/03/200
9
06/03/200
9
09/03/200
9
10/03/200
9
11/03/200
9
12/03/200
9
13/03/200
9
16/03/200
9
17/03/200
9
18/03/200
9

STB VFMVF1 VFMVF4

-----

VIP

VTO

PVT

-4.61%

-1.47%

-2.22%

-----

4.82%

-2.35%

-2.31%

-0.69%

1.49%

2.27%

-----

3.45%

3.61%

0.00%

1.39%

1.47%

0.00%

-----

-1.11%

1.16%

1.57%

-0.68%

-1.45%

-2.22%

-----

-1.12%

-2.30%

-1.55%

1.38%

1.47%

2.27%

-----

-6.82%

1.18%

4.72%

2.72%

1.45%

0.00%

-----

2.44%

4.65%

4.51%

4.64%

1.43%

0.00%

-----

0.00%

2.22%

4.32%

-2.53%

-2.82%

0.00%

-----

-3.57%

-4.35%

-4.83%

0.65%

1.45%

2.22%

-----

0.00%

1.14%

0.00%

1.94%

1.43%

2.17%

-----

2.47%

-2.25%

1.45%

4.43%

1.41%

-2.13%

-----

4.82%

4.60%

2.86%

4.85%

4.17%

4.35%

-----

4.60%

4.40%

2.78%

 Dng hm AVERAGE
TSSL trung bnh
Dng hm VARP
phng sai
Dng hm STDEVP
lch chun
Dng hm SLOPE
BETA tng chng khon

tnh
tnh
tnh
tnh

TSSL Trung bnh

Phng sai
lch chun
BETA
TSSL Trung bnh
Phng sai
lch chun
BETA
TSSL Trung bnh
Phng sai
lch chun
BETA
TSSL Trung bnh
Phng sai
lch chun
BETA

STB VFMVF1 VFMVF4 MAFPF1

0.61%
0.63%
0.60%
0.41%
0.11%
0.09%
0.09%
0.08%
3.32%
2.99%
2.93%
2.74%
1.1132
1.0094
0.8905
0.5628
CII
TDH
VIC
VSH
0.77%
0.84%
0.37%
0.31%
0.11%
0.10%
0.21%
0.09%
3.33%
3.11%
4.56%
2.97%
1.0844
1.1538
1.0606
0.9074
HAX
TNA
TRI
BMP
0.61%
0.37%
0.67%
1.23%
0.27%
0.18%
0.12%
0.10%
5.17%
4.28%
3.49%
3.13%
0.8402
0.8897
0.9131
0.9252
VNM
ABT
KDC
VIP
1.96%
0.84%
1.12%
0.66%
1.31%
0.10%
0.10%
0.12%
11.45%
3.18%
3.12%
3.41%
1.0274
0.6414
0.9044
1.0956

SSI
1.00%
0.12%
3.41%
1.1705
UIC
1.00%
0.13%
3.64%
0.9114
TNC
0.73%
0.12%
3.52%
1.0858
VTO
0.47%
0.12%
3.40%
1.0535

PVF
0.81%
0.12%
3.50%
1.1528
PPC
0.37%
0.09%
3.00%
0.9950
TTP
1.00%
0.09%
3.07%
0.9715
PVT
0.41%
0.12%
3.53%
1.1059

TSSL Trung bnh

Phng sai
lch chun
BETA

VN-INDEX
0.62%
0.05%
2.24%
1.0000

HIP PHNG SAI

Dng hm COVAR kt hp
vi hm OFFSET tnh
ton hip phng sai
C th dng Eviews tnh
ton hip phng sai

HIP PHNG SAI

OFFSET l hm tham chiu

= OFFSET(reference, rows, cols, height, width)
eference: l vng tham chiu lm c s
rows: l s dng bn trn hoc bn di
reference
cols: l s ct bn tri hoc bn phi
reference
height: l s dng ca vng tham chiu
cn tr v. Height phi l s dng
width: l s ct ca vng tham chiu cn
tr v. Width phi l s dng

HIP PHNG SAI

Dng hm tm ra hip phng sai:

= COVER (OFFSET(vng tham chiu c
phiu A), OFFSET(vng tham chiu c
phiu B))

HIP PHNG SAI

STB

STB
VFMVF
1
VFMVF
4
MAFPF1

0
1
2
3

VFMVF VFMVF
MAFPF1 - - - - 1
4

0.0011
0
0.0007
1
0.0006
8
0.0004
0

0.0007
1
0.0009
0
0.0007
4
0.0004
9

0.000
68
0.000
74
0.000
86
0.000
40

0.0004
0
0.0004
9
0.0004
0
0.0007
5

----- ----- ----- ----- ----- ----VTO

22

PVT

23

-----

VTO

PVT

22

23

0.0006
4
0.0006
----0
0.0005
----0
0.0003
----4
-----

-----

0.000
49
0.000
54
0.000
48
0.000
29

----- -----

0.0006 0.0005 0.000 0.0003

0.0011 0.000
----38
96
5
38
6
74
0.0004 0.0005 0.000 0.0002
0.0007 0.001
----91
41
48
91
4
25

Tm kim ng bin hiu qu

v ng CML

TRNG HP
CHO BN
KHNG

Tm kim ng bin hiu qu

v ng CML
Gii phng trnh ma trn tuyn
tnh tm ra 2 danh mc bt k
trn ng bin hiu qu.
Xem 2 danh mc ny nh 2 ti sn.
Tp hp cc t trng khc nhau
ca 2 ti sn ny s to thnh 1
ng bin hiu qu.

Tm kim ng bin hiu qu

v ng CML

Tm kim ng bin hiu qu

v ng CML

Tm kim ng bin hiu qu

v ng CML

rf

0.022%

Danh mc Danh mc
STB
VFMVF1
VFMVF4
MAFPF1
SSI
PVF
CII
TDH
VIC
VSH
UIC
PPC
HAX
TNA
TRI
BMP
TNC
TTP
VNM
ABT
KDC
VIP
VTO
PVT

X
-0.5130
-0.2821
0.2566
0.1086
0.5647
0.1570
-0.1799
-0.2352
-0.0862
-0.1193
0.4889
-0.4496
-0.1634
-0.0391
0.0471
0.7397
-0.0584
0.4047
0.0054
0.1766
0.5552
0.0792
-0.3538
-0.1034

M
-0.5281
-0.2822
0.2546
0.0971
0.5833
0.1667
-0.1828
-0.2356
-0.0909
-0.1329
0.5031
-0.4734
-0.1676
-0.0443
0.0479
0.7666
-0.0606
0.4159
0.0063
0.1758
0.5730
0.0808
-0.3670
-0.1055

Tm kim ng bin hiu qu

v ng CML
3.00%

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%
0.00%

0.50%

1.00%

1.50%

2.00%

ng bin hiu qu

2.50%

3.00%

ng CML

3.50%
VN-INDEX

4.00%

4.50%

5.00%

Tm kim ng bin hiu qu

v ng CML

TRNG HP
KHNG BN
KHNG

Tm kim ng bin hiu qu

v ng CML

Tm t trng
tng danh mc
bng Solver

Tm kim ng bin hiu qu

v ng CML
Phng sai danh mc min
T sut sinh li l mt gi tr c
xc nh trc.
Cc t trong tng chng khon
trong danh mc nm trong khon
[0;1].

Tm kim ng bin hiu qu

v ng CML

Tm kim ng bin hiu qu

v ng CML

DANH MC 1

0.31%

Phng
sai
0.09%

DANH MC 2

0.55%

0.04%

1.96%

DANH MC 3

1.00%

0.05%

2.21%

DANH MC 4

1.45%

0.18%

4.27%

DANH MC 5

1.90%

1.11%

10.52%

TSSL

lch
chun
2.97%

Tm kim ng bin hiu qu

v ng CML
2.00%
1.80%
1.60%
1.40%
1.20%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Tp hp cc im trn ng bin hiu qu

8.00%
VN-INDEX

9.00%

10.00%

11.00%

SO SNH GIA BN KHNG

V KHNG BN KHNG
3.00%

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%
1.00%

2.00%

3.00%

4.00%

5.00%

C bn khng

6.00%

7.00%

Khng bn khng

8.00%

VN-INDEX

9.00%

10.00%

11.00%

NG TH TRNG
CHNG KHON SML
Xc nh BETA ca ng th trng
chng khon bng 2 cch:
S dng hm SLOPE trong excel
gia TSSL trung bnh tng chng
khon vi BETA tng chng khon.
S dng m hinh hm hi quy:

STB
VFMVF1
VFMVF4
MAFPF1
SSI
PVF
CII
TDH
VIC
VSH
UIC
PPC
HAX
TNA
TRI
BMP
TNC
TTP
VNM
ABT
KDC
VIP
VTO
PVT
Vn-Index

TSSL Trung Bnh

0.61%
0.63%
0.60%
0.41%
1.00%
0.81%
0.77%
0.84%
0.37%
0.31%
1.00%
0.37%
0.61%
0.37%
0.67%
1.23%
0.73%
1.00%
1.96%
0.84%
1.12%
0.66%
0.47%
0.41%
0.62%

BETA
1.1132
1.0094
0.8905
0.5628
1.1705
1.1528
1.0844
1.1538
1.0606
0.9074
0.9114
0.9950
0.8402
0.8897
0.9131
0.9252
1.0858
0.9715
1.0274
0.6414
0.9044
1.0956
1.0535
1.1059
1.0000

NG TH TRNG
CHNG KHON SML

Coefficien Standard
Pt Stat
ts
Error
value

Lower
95%

Upper
95%

Lower
95.0%

Upper
95.0%

Intercept

0.0049

0.0049 0.9876 0.3336 -0.0053 0.0151 -0.0053

0.0151

0.0025

0.0050 0.5067 0.6172 -0.0078 0.0129 -0.0078

0.0129

NG TH TRNG
CHNG KHON SML
2.50%

2.00%

1.50%

TSSL

1.00%

0.50%

0.00%
0.50

f(x) = 0x + 0
R = 0.01

0.60

0.70

0.80

0.90

BETA

1.00

1.10

1.20

1.30