RMIT Classification: Trusted

The idea of Assignment 3 is to construct 1 passive portfolio and 2 active portfolios, and
evaluate their performance together over time

1. Passive portfolio:
+ using the share price on the 23/11 to create the passive portfolio with 100 billions VND
+ use the full replication approach to replicate the benchmark, VN-30 Index in this Assignment
+ the benchmark is already created for every account named “BAFI3194_benchmark_s32022”
under “All Portfolio and List”
+ The details of “BAFI3194_benchmark_s32022” are given in “Unit Calculation
Template_S32022.xlsx” in In-class Materials under Week 8 continued – Dealing Session 1
+ Implications of full replication approach?
In class activities:
+ get the details of benchmark in “Unit Calculation Template_S32022.xlsx” to calculate the
passive portfolio in Excel
+ create the passive portfolio in Eikon from uploading the compositions of passive portfolio
+ show the students the similarity between the benchmark and also the passive portfolios
(students may just only watch)

2. Active portfolio 1:
+ only select the firms in the benchmark “BAFI3194_benchmark_s32022”
+ construct the active portfolio from the share prices on 16/12 (Friday week 8) with 100 billions
VND and your own weights.
+ ideally we would like to construct the active portfolio on Friday of week 9 and hold it for two
weeks or until Friday week 11 for a real time analysis and meaningful evaluation period, but
time constraints do not allow it.
+ we cannot hold the portfolio from Friday week 9 to Friday week 10 because Eikon cannot
compute the performance metrics over a short number of days.
+ Implications on FA and TA analysis for stock selection in the active portfolio 1 constructed on
16/12?
+ evaluate the Active portfolio 1 vs. benchmark over 16/12 (Friday week 8) to 30/12 (Friday
holiday week). The passive portfolio is the same as benchmark, so this evaluation is also Active
1 vs. passive
In class activities:
+ collect the price on the portfolio construction day (for illustration in class, we use the price on
16/12)
+ do the calculation in Excel for the composition of Active portfolio
+ create the active portfolio in Eikon from uploading the compositions of active portfolio
+ setup the framework in Eikon to compare the performance of Active portfolio and the
benchmark in Eikon
+ collect the items for portfolio comparison in Eikon, e.g. total returns, active returns, total risk,
active risk, performance metrics, the contribution of the top and bottom 10 securities, largest
top 10 positions, allocation and selection effect, underweight vs. overweight relative to the
benchmark
 RMIT Classification: Trusted

3. Active portfolio 2:
+ only select the firms in the benchmark “BAFI3194_benchmark_s32022”
+ construct the active portfolio from the share prices on 23/12 (Friday week 9) with 100 billions
VND and your own weights.
+ Why do we have to construct 2 active portfolios on 16/12 and 23/12?
+ Implications on FA and TA analysis for stock selection in the active portfolio 2 constructed on
23/12?
+ evaluate the Active portfolio 2 vs. Active portfolio 1 vs. benchmark over 23/12 (Friday week 9)
to 6/1 (Friday week 10). The passive portfolio is the same as benchmark, so this evaluation is
also Active 2 vs. Active 1 vs. passive