1.1.

1 nh gi chng khon:
M chng khon: DRC . Sn nim yt: HOSE
Vn th trng: 4,984,000,000,000 ng
Khi lng ang lu hnh: 83,070,000 cp
M CK

EPS

P/E

ROA

ROE

HRC

3,254

14,1

8%

11%

DRC

4,238

14,2

11%

24%

SRC

3,769

8,7

13%

22%

CSM

4,924

8,2

10%

26%

Qua bng trn c th thy, li c bn trn mi c phiu DRC kh cao. Cc ch tiu cn li

ca DRC nhn chung u cao hn hn cc c phiu cn li. C th gi c phiu hin ti so vi
thu nhp t c phiu ca KDC l 14,2 ln, ROA v ROE ln lt l 11% v 24%. Chng nhng
th, DRC l doanh nghip dn u xu hng Radial ha ti th trng Vit Nam. Tc tng
trng doanh thu thun (DTT) v bin li nhun sau thu (LNST) cao nht trong s 3 doanh
nghip nim yt. DRC c li th v phn phi lp t ti cho cc khch hng t chc ln, ng
th 3 v th phn t ti (13%), sau Bridgestone v Michelin. Bin LNG v bin LNST c k
vng tng nh trong nm 2015 do: (1) gi cao su nguyn liu gim; (2) tng tiu th sn phm
lp Radial. C th thy rng, trong ngnh sm lp, tnh hnh tng trng ca KDC l rt tt, ng
la chn u t. y cng l l do m chng ti chn c phiu ny cho danh mc u t
ca mnh.
2. XY DNG DANH MC U T
2.1. X l s liu
- Ly d liu t b s liu ca http://cophieu68.vn/ v KDC (Cng ty c phn Kinh ) v
DRC (Cng ty c phn cao su Nng), nhm tin hng trch xut d liu v kim tra bao
gm d liu v ngy v gi ng ca theo ngy ca cc c phiu.
- Vi ngy m mt trong hai c phiu khng giao dch th nhm s xa d liu ngy
trn c phiu cn li v tnh ton bnh thng. (t 01/09/2012 n 31/08/2014).

2.1.1 T sut li tc hng ngy v t sut li tc hng thng

p dng cng thc:

Rt 100 *
Trong :

Pt 1 Pt
Pt

Rt l t sut li tc hng ngy ca chng khon.(%)

Pt+1 l gi ng ca ca chng khon ngy t+1
Pt l gi ng ca ca chng khon ngy t

Suy ra: T sut li tc thng ca chng khon (s dng hm Average)

n

Rt (th)

Rt
i 1

* 20

2.1.2 T sut li tc trung bnh (cng chnh l t sut li tc k vng )

n

i vi KDC: E(R1) =

Ri 1
i=1

i vi DRC: E(R2)

Ri 2
i=1

Theo kt qu tnh ton ta c: E(R1)= 3.82699 %/thng.

E(R2) = 4.916757%/thng.
T kt qu tnh ton c cho thy, t sut li tc k vng ca c phiu DRC cao hn so
vi t sut li tc k vng ca KDC. Tuy nhin vn cha th kt lun nn u t vo DRC nhiu
hn hay vo KDC nhiu hn c. V ngoi yu t li tc k vng chng ta phi xem xt n
mc ri ro ca chng khon , cn i gia li tc v ri ro ( lch chun).

2.1.3 Tnh lch chun

-

Tnh cc gi tr cn thit phc v cho vic tnh ton nh sau:

Tnh phng sai theo cng thc

[ RtiE ( Ri ) ]2
t =1

n1

.Trong Excel ta s dng kt

hp hm SUM v hm COUNT.
-

Tnh lch chun bng cch s dng cng thc =

vi hm SQRT:

Ta c kt qu tnh ton nh sau:

KDC
E(Ri)
2

DRC

VN-Index

3.82699

4.916757

1.982049

85.89555

73.48992

28.14040

9.267985

8.572626

5.304753

S liu tnh ton trn cho thy, u t vo c phiu KDC s chu nhiu ri ro hn u t
vo c phiu DRC. V t sut li tc ca DRC cng cao hn ca KDC nn ta c th d on l
nn u t vo DRC nhiu hn u t vo KDC.

2.1.4 Tnh hip phng sai v h s tng quan ca hai chng khon
-

Tnh hip phng sai 2 chng khon theo cng thc (s dng kt hp hm Sum v Count)
12 =

[ Ri E ( R 1) ][ R i E ( R2 ) ]
1

n1

= 31.863416

Kt qu tnh ton trn cho thy li tc trn hai chng khon KDC v DRC c mi quan h
cng chiu vi nhau (do 12 >0). Nhng hip phng sai khng phn nh y mi quan h
gia hai chng khon, v th ta phi xt n h s tng quan.
-

Tnh h s tng quan theo cng thc:

12=

12
= 0.401045
1 . 2

Chng ta thy hai chng khon trn c h s tng quan trung bnh th hin mt s bin ng
cng chiu tng i gia 2 chng khon. Mc d theo l thuyt th nn chn hai chng khon
c m l tt nht (khi ri ro ca danh mc u t thp hn) nhng vi xu hng tch cc
ca th trng chng ta c th k vng mt s tng trng li tc ca hai chng khon. Ta c
bng sau:

C phiu
C phiu KDC

C phiu DRC

T sut li tc k vng

3.82699

4.916757

lch chun

9.267985

8.572626

Ch tiu

Hip phng sai

31.863417

H s tng quan

0.401045

2.2. V ng bin phng sai b nht v ch r ng bin Markowitz

thit lp ng bin Markowitz, ta thit lp ng bin phng sai b nht v ng
bin Markowitz s l na trn ca ng cong ny, c tnh t im c phng sai nh nht.
Thit lp ct t sut li tc k vng danh mc gm 2 c phiu DRC v KDC, cho chy t
t sut li tc k vng nh n ln vi khong cch u nhau (ly hiu s ca t sut li tc ln
v nh chia cho 70).
Khi c dy s t sut li tc k vng danh mc u t, ta c th d dng tnh c t
trng ca mi c phiu KDC v DRC trong danh mc da vo h phng trnh:

R
E( 1)+w 2 . E ( R2 )=E ( RP )
{w1 . w1 +w 2=1

T trng c phiu KDC :w 1=

v t trng c phiu DRC:

E ( R P ) E ( R2 )
E ( R 1 )E ( R2 )

w 2=1w1

T cc d liu c ta tnh c ri ro ca danh mc u t ( lch chun) ng vi mi

mc t sut li tc k vng tnh c trc .
P= w 12 . 12 +w 22 . 22+ 2 w1 w2 12

T cc d liu u vo c gm t sut li tc k vng v lch chun ca danh mc

u t, ta v ng bin phng sai b nht.

Xc nh danh mc u t c phng sai b nht:

w 2

2
2

p dng cng thc:

12

12

W2= 1 W1
Ta c: W1= 0.435157
W2= 0.564843
Suy ra: E(Rp)= W1*E(R1) + W2*E(R2)= 4.442538

w12 12 w22 22 2.w1 w2 12

= 7.441496

Danh mc c phng sai b nht

w1
0.435157

w2
0.564843

E(Rp)
4.442538

P
7.441496

w 1+ w2
1.000000

Vy ng bin hiu qu l ng na trn ca ng bin phng sai b nht ny, c tnh t

im c phng sai nh nht bng 7.441496