LI NHUN V RI RO

Khi nim v li nhun

Li nhun (return) l kt qu u t vo
mt ti sn ti chnh
u nm 2011, gi s bn u t vo c
phiu X vi gi 30.000 . n cui nm
bn nhn c c tc 1.000 , v gi c
phiu tng ln 32.000 .



o lng li nhun

Li nhun = 1.000 + (32.000 -30.000)
= 3.000

T l li nhun =

Li nhun c o lng bng s tuyt i
v s tng i.
% 10
000 . 30
000 . 3
=
Li nhun k vng
Trng hp Xc sut Li nhun
Kinh t hot ng
tt
30% 20%
Kinh t bnh
thng
40% 10%
Kinh t xu 30% -10%
100% 7%
Xem xt mt c phiu vi kh nng sinh li nh sau
Li nhun k vng
Li nhun k vng l bnh qun gia quyn ca
cc trng hp li nhun c th xy ra vi trng
s l xc sut ca tng trng hp.


= 30%.20% + 40%.10% + 30%.(-10%)
= 7%
R
Ri ro
Ri ro l kh nng li nhun thc t khc
vi li nhun k vng
Ri ro cao ngha l xc sut xy ra li
nhun thp hn k vng s cao, v v vy
xc sut xy ra li nhun cao hn k vng
cng cao. Ri ro v li nhun song
hnh, li nhun phi tng xng vi ri ro.
Ri ro
Trng hp Xc sut Li nhun X Li nhun Y
Kinh t tt 30% 20% 40%
Kinh t bnh
thng
40% 10% 10%
Kinh t xu 30% -10% -30%
100% 7% 7%
Xem xt 2 c phiu X v Y vi li nhun k vng nh sau
o lng ri ro
Phng sai

lch chun


2
o o =
( )

=
=
n
i
i i
R R p
1
2
2
o
Phng sai v lch chun cng ln th li
nhun thc t cng xa gi tr k vngri ro cao
Phng sai v lch chun l thc o s
bin ng ca gi tr so vi bnh qun v c
dng o lng ri ro.
o lng ri ro
Vi cc chng khon c li nhun k vng
khc nhau, c th so snh ri ro phi s
dng h s bin i
H s bin i



R
CV
o
=
H s bin i-v d
CP X c li nhun k vng 15%, lch
chun 5%. C phiu Y c li nhun k
vng 30%, lch chun 8%.
CV
X
= 5%/15% = 0.33
CV
Y
= 8%/30% = 0.27
CP X tuy c lch chun thp hn, nhng
ri ro trn tng n v li nhun cao hn,
ngha l so vi Y, CP X ri ro hn.

Ri ro
Ri ro c xem xt di 2 gc :
Ri ro vn c ca tng chng khon
Ri ro ca chng khon khi kt hp vi
cc chng khon khc trong danh mc u
t
Li nhun-ri ro ca danh mc u t
Trng hp Xc sut Li nhun A Li nhun B Danh mc
Kinh t xu 30% 20% -30% -5%
Kinh t bnh
thng
50% 8% 12% 10%
Kinh t tt 20% -10% 40% 15%
100% 8% 5% 6.5%
Xt danh mc u t gm 2 chng khon sau (50%-50%):

Li nhun-ri ro ca danh mc u t
Li nhun k vng ca danh mc
= 50%.8% + 50%.5%= 6.5%

Ri ro ca danh mc

= 0.3 .(-5%-6.5%)
2
+ 0.5 . (10%-6.5%)
2
+
0.2 .(15%-6.5%)
2
= 0.006

0.077 = 7.7%


p
R
2
p
o
= = 006 . 0
p
o
Ri ro ca danh mc u t
T kt qu tnh ton cho thy:
Ri ro ca danh mc u t khng phi bng bnh
qun ri ro cc chng khon c trong danh mc
Ri ro tng hp ca danh mc u t nh hn ri
ro bnh qun cc chng khon c trong danh mc

ri ro danh mc u t ph thuc vo tng quan
gia cc chng khon vi nhau


H s tng quan
: H s tng quan biu hin mi tng quan
gia s bin ng ca 2 c phiu

= 0 : 2 c phiu khng tng quan
>0: tng quan thun
<0: tng quan nghch
= 1: 2 c phiu tng quan thun hon ton
= -1: 2 c phiu tng quan nghch hon ton
Phng sai ca danh mc 2 chng khon
o o o o o
2 1 2 1
2
2
2
2
2
1
2
1
2
2 w w w w
P
+ + =
H s cng nh hn 1 th
p
cng
gim
Nu =1 :
( )
2 2 1 1
2
2 2 1 1 2 1 2 1
2
2
2
2
2
1
2
1
2
1 . 2
o o o
o o o o o o o
w w
w w w w w w
p
p
+ = >
+ = + + =
a dng ha khng lm
gim ri ro
Li ch a dng ha
a dng ha u t (u t vo nhiu chng
khon khc nhau) lm gim ri ro ca danh mc
u t xung so vi bnh qun ri ro cc chng
khon c trong danh mc
Mc gim ca ri ro ca danh mc ph thuc
vo h s tng quan ca cc chng khon c
trong danh mc
H s tng quan m em li tc dng a dng
ha tt hn
S lng chng khon
Ri ro th trng
Ri ro c th a dng ha
p
o
Li ch ca a dng ha
Li ch a dng ha
S lng chng khon trong danh mc cng nhiu, ri
ro danh mc cng gim
Ri ro bao gm 2 phn:
Ri ro c th a dng ha (ri ro h thng) c th trit
tiu qua a dng ha danh mc u t. y l nhng
ri ro ring bit ca chng khon.
Ri ro khng th a dng ha cn gi l ri ro th
trng, ri ro h thng gn vi nhng yu t v m nh
lm pht, li sut, thin tai, chin tranh Ri ro h
thng tc ng n tt c chng khon trn th trng.
Thi vi ri ro
Bn la chn nh th no gia 2 khon
u t sau:
Chng khon X chc chn em li li
nhun 10%
Chng khon Y c th li 30% hoc l
10% vi xc sut ngang nhau

Thi vi ri ro
Nu chn X bn l ngi khng thch ri
ro
Nu khng thy khc bit gia X v Y
bn l ngi trung lp vi ri ro
Nu chn Ybn l ngi thch ri ro
Mi quan h gia li nhun v ri ro ca
mt chng khon
Nh u t s ti thiu ha ri ro bng vic
a dng ha u t
Ch c ri ro h thng ca chng khon l
c b p bng li nhun
M hnh CAPM
CAPM xc nh li nhun cn phi c ca mt
chng khon tng xng vi ri ro h thng ca
chng khon y
Cng thc:
r = r
f
+ .(r
m
r
f
)
r: li nhun i hi ca chng khon
r
f
: li nhun phi ri ro
: h s beta
r
m
: li nhun th trng

M hnh CAPM
r
f
: li nhun ca chng khon phi ri ro
(tri phiu chnh ph)
r
m
: li nhun t danh mc th trn
(r
m
r
f
) : phn b ri ro th trng
H s o lng mc bin ng ca
chng khon so vi th trng, tc l phn
nh ri ro h thng ca chng khon



H s beta
= 1: chng khon c ri ro ging nh ri
ro ca danh mc th trng
> 1: chng khon c ri ro cao hn mc
chung ca th trng
< 1: chng khon c ri ro cao hn mc
chung ca th trng
< 0: chng khon bin ng ngc chiu
vi th trng
V d xc nh r bng CAPM
C phiu HighNet c beta 1.2, li nhun
phi ri ro 5%, li nhun th trng 12%.
Mc sinh li i hi ca nh u t i vi
HighNet l ?
ng SML
th biu din CAPM gi l ng SML
(Security Market Line)

r
1
r
m

SML
ng SML
Cc chng khon nm trn SML c li
nhun tng xng vi ri ro h thng ca
chng khon
Cc chng khon nm bn ngoi SML
ang c gi t hoc r khi so vi ri ro

C phiu FAS c beta 1.3, li nhun phi ri
ro l 6%, li nhun th trng 12%. D
kin FAS em li li nhun 15% trong nm
ti.
Cho kin v vic u t vo FAS ?
o lng beta

i,M
: h s tng quan gia chng khon i v th
trng

i
: lch chun ca li nhun chng khon I

M
: lch chun ca li nhun th trng
|
|
.
|

\
|
=
M
i
M i
o
o
|
,
Tnh beta trong thc t
Dng phng php hi quy da trn d
liu lch s li nhun ca chng khon i
theo li nhun ca th trng
H s gc ca ng thng thu c l
beta
V d tnh beta ca ASI
Nm Th trng ASI
1 25.7% 40.0%
2 8.0% -15.0%
3 -11.0% -15.0%
4 15.0% 35.0%
5 32.5% 10.0%
6 13.7% 30.0%
7 40.0% 42.0%
8 10.0% -10.0%
9 -10.8% -25.0%
10 -13.1% 25.0%
Tnh beta ca ASI
r
ASI
= 0.83r
M
+ 0.03
R
2
= 0.36
-40%
-20%
20%
40%
-40% -20%
0%
20% 40%
r
M
r ASI
Tnh beta trong thc t
Chn ch s chng khon (index) i din
cho danh mc th trng v tnh r
m
Thng thng chn k thng k l thng
vi di khong 4-5 nm
Nu d liu qu kh ngn, c th chn 52
tun
Nhc im ca m hnh CAPM
Da trn nhiu gi nh mang tnh l thuyt
Xc nh cc tham s khng n gin
i khi mi quan h gia li nhun v ri
ro khng phi l mi quan h tuyn tnh
C mt s yu t khc nh quy m doanh
nghip, tnh thanh khon, h s P/B
cng nh hng n li nhun i hi ca
chng khon
u im ca m hnh CAPM
n gin, d s dng do ch s dng mt
nhn t chnh l beta
Xc nh li nhun da trn ri ro l hp l
Trn 40 nm qua, CAPM l phng php
c s dng ph bin nht tnh li
nhun k vng ca chng khon