This document summarizes a student group project on portfolio theory and investment analysis. The group consists of 5 students and aims to create a portfolio targeting risk-seeking investors aged 25-40. The portfolio will be 100% invested in stocks listed on the HOSE exchange in Vietnam. Key points analyzed include macroeconomic factors, industries, individual stock selection, and performance evaluation metrics like the Treynor, Sharpe, and Jensen measures. 16 stocks were selected across various industries based on financial criteria. An evaluation of the 23-day trial portfolio found positive but modest performance.

1. PORTFOLIO THEORY &
INVESTMENT ANALYSIS
- GROUP 9 -
Lecturer: Le Hong Nhung

2. GROUP MEMBERS
• Hồ Thị Minh Khánh – BAFNIU14065
• Huỳnh Hải Yến – BAFNIU14194
• Phạm Linh Đan – BAFNIU14027
• Phan Từ Như Ý –BAFNIU14198
• Ngô Thùy Tú Uyên – BAFNIU14175

3. INVESTMENT OBJECTIVES
• Target client : People who age from 25-40
: Risk-seeking investors
• Asset allocation : 100% invested in stocks listed on HOSE
• Target portfolio : short-term investment and capital appreciation

4. INVESTMENT OBJECTIVES
Risk
• Clients can be grouped into accumulation phase.
• Choose high to moderate risk level to gain the rate of return exceed the
market performance.
• Risk is estimated to be high with abnormal returns compared to the
market
Return
• Goal of this portfolio: capital appreciation

5. CONSTRAINTS
Liquidity need
• Salary used for monthly expenses, needed liquidity in urgent
situations
 Moderate to high
Time horizon
• The time horizon for this portfolio: 1 year
• The period used to evaluate : 23 days
A trial portfolio for new investors and risk-seeking investors.
Legal and Regulatory Issues
• HOSE and HNX: inefficient semi-strong market form.
• Profits earned from luck

6. ASSET ALLOCATION
• 100% in stock, 0% in bonds
MANAGEMENT STRATEGY
• Active trading strategy
• Closely observe the fluctuations in prices to make proper decisions
• Transaction costs should be taken into account seriously
REBALANCING
• Managing the weight of assets in the portfolio
• Percentage weight allocated to individual stocks may fluctuate due to market
changes

7. METHODOLOGY

8. METHODOLOGY
• Minimize total risk
• Stock prices of those firms from
14/04/2016 to 14/04/2017
• 16 out of 30 stocks to develop the
portfolio with the following allocated
weight

9. MACROECONOMIC ANALYSIS

10. MACROECONOMIC ANALYSIS
• Total industry’s production index of
the first 4-month in 2017 : 5.1%
• Processing and manufacturing
industry attracted FDI the most
• Low growth rate in core business
• An increase in retail and consumer
services

11. INDUSTRY ANALYSIS

12. INDUSTRY ANALYSIS
High expectation from investors (2017):
• Monopoly business lines
• Growth rate of high-power stock
Vietnam’s power sector:
• Demand exceed supply
• Expected to increase in long-run
Electric power generation, transmission distribution

13. Plastics and rubber
Passively trading
Liquidity of plastics stocks is suitable – not excessive dilution
Attractive plastics price:
• Positive growth potential
• TPP – FTA
Firms are expanding horizontally
INDUSTRY ANALYSIS

14. Food, beverage & tobbaco
Chemical pharmaceutical
• Growing most in Asia
-> Great opportunities to potentally growth
• Disadvantages:
• Lack of focus and long-term strategy
• Poor techniques
• Obsolescence distribution system
• Domestic consumption is rising
• Deliver annual growth (2014-2018) – the growth phase of dairy possesses
INDUSTRY ANALYSIS

15. Electrical equipment telecommunications
Opportunities to attract foreigners:
• Young population
• Abundant labor force
• Favorable geographical position
• Low labor and operating costs
Fully capable of supplying raw materials-chemicals
Government’s policy
INDUSTRY ANALYSIS

16. Mining, quarrying, oil and gas extraction
Abundant – Diverse mineral resources
Difficulties:
• Consumption and prices (2012) went down until 2016
• Environmental taxes on mining increased
In 2017, 10 thousand tons of mineral to China
INDUSTRY ANALYSIS

17. Metal, nonmetallic mineral fabricated
The industry is growing:
• Economic – Construction growth
• Real estate market boost steel consumption
• Government’s policies
Domestic factories take advantage:
• Trade tax protection
-> Improve competitiveness
INDUSTRY ANALYSIS

18. Retail
• Being more attractive to foreign
• Modern retail form:
• Restructuring whole market slowly
• Good trend
• Being more challenging for internal retailers
• Domestic and foreign goods competition
• Limited ability to link between internal firms
• Vietnamese habit of consumption
INDUSTRY ANALYSIS

19. Transportation and warehousing
• Strength in logistics development:
• More than 3,000 km coastline
• 49 seaports
• 250,000 km of roads
• There’re some limited:
• Policy system
• Inconsistent application
• Oversupply
• Stable in revenue - profitability
INDUSTRY ANALYSIS

20. Banking
• The strong growth is doubt – Fast and strong growth cycle in 2015:
• Basel II standards
• Bad debt problem
• Circular 06
• Positive policy expectation positively affect
INDUSTRY ANALYSIS

21. Construction
• Continually grow in civil engineering and infrastructure segments:
• High rates of urbanization growth
• Government expands investment + PPP
• Favorable economic conditions:
• Business environment
• Legal framework
• Monetary conditions
INDUSTRY ANALYSIS

22. Real Estate
• A stable – sustainable development:
• Domestic economy-Speed of urbanization
• Modern – Expanded transport system
• Abundant supply in premium segment
• Demand is high in all segment:
• Income
• FDI
=> The marker is stable and unlikely out of real estate bubble
(2017)
INDUSTRY ANALYSIS

23. STOCK PICKING

24. Companies which are choosen must fulfill the following requirements:
- ROA >= 4, ROE >= 7 and should be higher or equal average industry.
- Medium to large size ( Vietnam context)
- Current Ratio: at least 1
- Being highly appriciated and proposed by experts.

25. Share names ROA (%)
ROE
(%)
Current
Ratio
Working
capital
A RETAIL TRADE 2.00 4.00
MWG 14.26 49.88 1.12 1,275,236
FPT 7.12 18.41 1.26 4,479,007
B FINANCE AND INSURANCE 1.00 10
BIC 2.88 6.17 1.61 1,508,974
VCB 0.93 1.89
C CONSTRUCT AND
REAL ESTATE
3.00 8.00
PDR 2.93 10.38 4.83 6,422,563
NLG 6.15 12.39 2.67 3,648,822
HBC 6.05 39.05 1.11 1,014,379
CTD 14.54 30.02 1.81 4,448,266
CII 6.65 18.76 1.56 1,075,188
D TRANSPORTATION
AND WAREHOUSING
3.00 7.00
VSC 10.87 17.06 2.04 308,438
NCS 31.82 46.42 2.59 108,301
E
WHOLESALE TRADE/
MERCHANT WHOLESALERS,
DURABLE GOODS
2.00 4.00
TLH 21.73 42.5 1.63 688,069
F
UTILITIES/ ELECTRIC
POWER GENERATION
TRANSMISSION
DISTRIBUTION
4.00 11.00
SHP 3.53 8.12 0.74 -70,118
PPC 5.07 10.04 3.94 4,615,902
G PLASTICS AND RUBBER 10.00 20.00
BMP 23.54 29.1 3.68 1,592,396
METAL NONMETALLIC
H METAL NONMETALLIC
MINERAL FABRICATED
1.00 2.00
HPG 22.48 38.48 1.52 6,197,767
PNJ 13.7 31.06 1.53 1,080,919
I FOOD BEVERAGE
TOBACCO
12.00 24.00
HVG -0.3 -1.51 1.06 700,345
VNM 32.89 43.16 2.89 12,216,330
BBC 7.94 11.15 2.59 521,759
VCF 13.44 19.44 2.35 1,334,999
SLS 31.18 43.34 2.7 102,478
J CHEMICAL
PHARMACEUTICAL
9.00 18.00
DHG 19.43 26.22 2.76 1,753,270
TRA 15.75 21.25 2.37 486,814
DMC 16.28 20.11 4.22 643,244
K ELETRICAL EQUIPMENT
TELECOMMUNICATIONS
8.00 19.00
RAL 7.2 25.44 1.26 391,139
L MINING, QUARRYING, OIL
AND GAS EXTRACTION
1.00 2.00
DHA 13.44 15.02 6.41 157,915
BMC 4.04 4.77 5.49 101,286
Share names ROA (%)
ROE
(%)
Current
Ratio
Working
capital

26. CRITICISM

27. Security analysis is also influenced by :
• Multi-sector companies
=> setting criteria for stock picking is just way more troublesome
• Limited Information
=> Insiders take advantage of asymmetric infomation
• Legislative risk
=>Regulations on taxes and investment incentives applied in the
fields of finance and securities,...also have a considerable impact
on investors.
CRITICISM

28. PERFORMANCE EVALUATION

29. TREYNOR MEASURE
• 𝑇𝑝 =
𝑅 𝑝−𝑅 𝑓
𝛽 𝑝
𝑎𝑛𝑑 𝑇 𝑀 =
𝑅 𝑀−𝑅 𝑓
𝛽 𝑀
• 𝛽 𝑝 =
𝐶𝑜𝑣(𝑅 𝑝,𝑅 𝑀)
𝑉𝑎𝑟(𝑅 𝑀)
• 𝛽 𝑀 is equal to 1.0
• 𝑅𝑓 = 6.5%/365 days
Portfolio return 0.186%
Market return 0.120%
Risk-free rate 0.018%
Beta 0.4014
Tp 0.0042
Tm 0.0010

30. SHARPE MEASURE
• Used to measure risk premium per unit of total risk
• 𝑆 𝑝 =
𝑅 𝑝−𝑅 𝑓
𝜎 𝑝 Portfolio return 0.186%
Market return 0.120%
Risk-free rate 0.018%
Sp 0.3028
Sm 0.2766

31. JENSEN MEASURE
• E(Rp) = Rf + βp[E(RM) – Rf]
• Rpt – Rft = αp + βp(Rmt – Rft) + et
• α = 0.001277
Risk-free rate 0.018%
Beta 0.4014
Market return 0.12%
Expected portfolio return 0.06%
Actual portfolio return 0.19%

32. JENSEN MEASURE

33. FAMA PERFORMANCE MEASURE
Overall
Performance
0.17%
Portfolio risk CAPM
0.04%
Portfolio contains
elements of
unsystematic risk
Selectivity
0.13%
Diversification
0.11%
Net selectivity
0.02%