Download to read offline
![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%](https://image.slidesharecdn.com/port-180225091110/85/Portfolio-Final-Project-31-320.jpg)
Uploaded byY Phan
Portfolio Final Project
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.
![[FiinPro Data] Earnings Update](https://cdn.slidesharecdn.com/ss_thumbnails/fiinprodatarelease2earningsupdate07aug2019finaleng-190808073704-thumbnail.jpg?width=640&height=640&fit=bounds)
![[Microeconomics] Chapter 15 - Monopoly](https://cdn.slidesharecdn.com/ss_thumbnails/microchapter15monopoly-180225091108-thumbnail.jpg?width=640&height=640&fit=bounds)
Portfolio Final Project
- 1. PORTFOLIO THEORY & INVESTMENTANALYSIS - GROUP 9 - Lecturer: Le Hong Nhung
- 2. GROUP MEMBERS • HồThị Minh Khánh – BAFNIU14065 • Huỳnh Hải Yến – BAFNIU14194 • Phạm Linh Đan – BAFNIU14027 • Phan Từ Như Ý –BAFNIU14198 • Ngô Thùy Tú Uyên – BAFNIU14175
- 3. INVESTMENT OBJECTIVES • Targetclient : 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 • Clientscan 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 • Salaryused 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.
- 8. METHODOLOGY • Minimize totalrisk • 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.
- 10. MACROECONOMIC ANALYSIS • Totalindustry’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.
- 12. INDUSTRY ANALYSIS High expectationfrom 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 Passivelytrading 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 Opportunitiesto 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, oiland 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 mineralfabricated 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 moreattractive 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 stronggrowth 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 growin 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 • Astable – 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.
- 24. Companies which arechoosen 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.
- 27. Security analysis isalso 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.
- 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 • Usedto 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.
- 33. FAMA PERFORMANCE MEASURE Overall Performance 0.17% Portfoliorisk CAPM 0.04% Portfolio contains elements of unsystematic risk Selectivity 0.13% Diversification 0.11% Net selectivity 0.02%