time index GMD MBB Return_index Return_GMD Return_MBB

1 710 16,450 13,786

2 667 15,300 12,838 -6.1% -7.0% -6.9%
3 659 15,700 12,752 -1.1% 2.6% -0.7%
4 690 16,300 13,484 4.7% 3.8% 5.7%
5 694 15,900 12,967 0.6% -2.5% -3.8%
6 696 15,900 12,579 0.3% 0.0% -3.0%
7 662 15,100 11,718 -4.9% -5.0% -6.8%
8 663 14,950 11,675 0.0% -1.0% -0.4%
9 680 14,950 12,278 2.7% 0.0% 5.2%
10 702 15,200 12,709 3.2% 1.7% 3.5%
11 737 16,250 13,570 5.0% 6.9% 6.8%
12 747 16,250 13,743 1.3% 0.0% 1.3%
13 748 16,250 13,527 0.2% 0.0% -1.6%
14 760 16,500 13,613 1.6% 1.5% 0.6%
15 758 16,400 13,398 -0.3% -0.6% -1.6%
16 766 16,700 13,570 1.0% 1.8% 1.3%
17 767 16,700 13,700 0.2% 0.0% 1.0%
18 777 16,950 14,087 1.3% 1.5% 2.8%
19 781 17,400 14,216 0.4% 2.7% 0.9%
20 790 18,350 14,647 1.1% 5.5% 3.0%
21 795 17,950 14,346 0.7% -2.2% -2.1%
22 767 16,900 13,484 -3.5% -5.8% -6.0%
23 769 17,500 13,872 0.3% 3.6% 2.9%
24 774 17,600 13,915 0.6% 0.6% 0.3%
25 777 17,450 13,829 0.4% -0.9% -0.6%
26 771 17,500 13,527 -0.8% 0.3% -2.2%
27 767 18,200 13,613 -0.5% 4.0% 0.6%
28 769 18,600 13,743 0.2% 2.2% 0.9%
29 762 18,000 13,656 -0.9% -3.2% -0.6%
30 764 18,000 13,613 0.2% 0.0% -0.3%
1 783 18,000 13,743 2.4% 0.0% 0.9%
2 797 18,300 14,044 1.8% 1.7% 2.2%
3 814 18,200 14,303 2.2% -0.5% 1.8%
4 828 19,000 14,475 1.8% 4.4% 1.2%
5 835 19,300 14,820 0.8% 1.6% 2.4%
6 834.210022 19500 15078.10254
7 832.4000244 19550 14905.78125
8 827.0300293 19450 14604.21973
9 837.0100098 19300 14690.37988
10 845.9199829 19550 14991.94238
11 852.9099731 19500 14905.78125
12 862.7299805 19400 15164.26367
13 852.7399902 19300 14862.70117
14 859.039978 19400 14905.78125
15 869.1300049 20150 15164.26367
16 857.4799805 19600 14905.78125
17 861.3900146 19600 14905.78125
18 864.4699707 19600 14819.62109
19 878.6699829 19700 15379.66504
20 874.7999878 19200 15422.74512
21 881.1699829 19700 15551.98633
22 883.9000244 19850 15508.90527
23 886.2199707 20850 15422.74512
24 899.9199829 21100 15595.06641
25 899.4299927 20750 15595.06641
26 900 20900 16025.86914
27 867.3699951 19450 15078.10254
28 863.5200195 19800 15207.34375
29 832.4699707 19000 14647.2998
30 856.1300049 19550 14991.94238
1 854 19,400 14,906
2 855.2700195 19400 14905.78125
3 868.5599976 19650 15078.10254
4 871.2800293 19800 15078.10254
5 868.2000122 20000 15078.10254
6 859.710022 20000 15121.18262
7 854.5900269 19750 14948.8623
8 851.9799805 19600 14948.8623
9 829.3599854 19000 14518.05859
10 825.1099854 18600 14302.65723
11 843.4899902 18900 14561.13965
12 842.3800049 18900 14518.05859
13 847.6099854 18900 14518.05859
14 861.1599731 19150 14647.2998
15 863.4199829 19150 14733.45996
16 864.5 19100 14776.54102
17 876.460022 19300 15035.02246
18 871.210022 19200 14862.70117
19 868.7199707 19300 14819.62109
20 868.1099854 19300 14776.54102
21 869.9099731 19750 14905.78125
22 876.8300171 19650 15078.10254
23 872.0200195 19600 15078.10254
24 861.4000244 19550 14819.62109
25 861.6900024 19550 14905.78125
26 855.0800171 19550 14776.54102
27 856.75 19450 14690.37988
28 829.1599731 18600 14216.49707
29 785.1699829 17350 13225.65039
30 813.3599854 18350 14044.17578
1 791 17,800 13,484
2 801.1300049 18400 13656.45313
3 798.3900146 18300 13570.29199
4 814.6500244 18550 13958.01465
5 827.5700073 19150 14130.33594
6 837.7999878 20350 14259.57715
7 840.039978 20450 14087.25586
8 841.460022 20250 14044.17578
9 843.2000122 20050 14173.41699
10 843.0800171 20750 14216.49707
11 846.9199829 20850 14518.05859
12 855.0499878 21000 14604.21973
13 850.7399902 20700 14776.54102
14 850.1500244 21100 14733.45996
15 846.4299927 21900 14647.2998
16 851.210022 22950 14690.37988
17 848.210022 22650 14690.37988
18 854.7800293 22950 14905.78125
19 868.6799927 23000 15336.58496
20 874.1199951 23000 15551.98633
21 873.4699707 23450 15422.74512
22 874.710022 23450 15422.74512
23 878.9799805 23000 15422.74512
24 881.6500244 22700 15465.8252
25 891.7299805 23000 15595.06641
26 903.9699707 22750 15681.22656
27 901.539978 22400 15551.98633
28 888.25 21800 15250.42383
29 890.1400146 21950 15336.58496
30 889.3200073 22550 15293.50391
1 889 23,800 15,337
2 888.9699707 23600 15379.66504
3 894.5700073 23450 15638.14648
4 896.2600098 23500 15595.06641
5 897.4699707 23400 15595.06641
6 894.039978 23500 15595.06641
7 900.9500122 24050 16155.11035
8 907.9400024 23850 16413.5918
9 906.1900024 23650 16542.83203
10 912.5 23700 16542.83203
11 908.5800171 24050 16887.47461
12 908.2700195 23800 16887.47461
13 912.5 23800 17232.11719
14 903.9799805 23500 16930.55469
15 905.210022 23950 17016.7168
16 914.0900269 24100 17102.87695
17 909.9099731 24200 17102.87695
18 914.6799927 25000 17537.99219
19 915.6699829 24700 17686.61914
20 919.7199707 24500 17438.90625
21 918.8400269 24250 17488.44922
22 924 24200 17389.36523
23 925.8300171 23950 17389.36523
24 929.8599854 23700 17339.82227
25 940.1799927 23800 17488.44922
26 942.7600098 23650 17438.90625
27 943.2999878 23550 17686.61914
28 943.6900024 23800 18082.95703
29 944.4199829 23700 18528.83984
30 939.0300293 23500 18380.21094
1 950 23,450 18,628
2 961.2600098 23700 18677.4668
3 950.7999878 23500 18231.58398
4 946.4699707 23300 17736.16211
5 921.0499878 22100 17389.36523
6 919.0800171 22400 17637.07617
7 925.4699707 23450 17637.07617
8 933.6799927 23050 17835.24609
9 935.4099731 23150 18082.95703
10 939.7600098 23650 18281.12695
11 937.75 23400 18132.5
12 938.289978 23500 17835.24609
13 951.9899902 24900 18082.95703
14 951.9000244 24950 17934.33008
15 952.2199707 25250 18082.95703
16 959.2800293 26300 18528.83984
17 966.289978 26300 19123.34766
18 950.789978 26600 18875.63477
19 968.9000244 27450 19371.05859
20 973.5300293 27800 19470.14258
21 983.2600098 26900 19321.51563
22 990 26900 19123.34766
23 994.1900024 27350 19024.26172
24 995.7600098 27500 19172.88867
25 999.9400024 27000 19271.97461
26 1005.969971 27400 19321.51563
27 1010.219971 28000 19816.93945
28 1003.080017 27800 20163.73633
29 1008.869995 28500 20659.16016
30 1014.320007 29450 21154.58398
1 1020 29,500 20,808
2 1021.48999 28800 20758.24414
3 1029.97998 29150 20708.70313
4 1029.26001 29200 21154.58398
5 1039.130005 29050 21204.125
6 1030.910034 30150 20857.33008
7 1045.959961 31100 21303.21094
8 1064.089966 31850 21650.00781
9 1055.27002 33200 21303.21094
10 1066.98999 32950 22046.3457
11 1051.77002 31700 21897.71875
12 1067.459961 32750 22888.56641
13 1081.079956 34200 23037.19336
14 1083.449951 33550 22987.65039
15 1078.900024 32200 22690.39648
16 1067.52002 31300 22591.3125
17 1084.420044 32150 22888.56641
18 1091.329956 32000 22839.02344
19 1099.48999 32700 22739.93945
20 1097.540039 32200 22690.39648
21 1103.869995 32600 22789.48047
22 1120.469971 33100 23730.78516
23 1132.550049 33800 24919.80273
24 1143.209961 33400 25300
25 1156.48999 34000 25900
26 1167.689941 33900 26600
27 1184.890015 34100 26350
28 1192.280029 36350 26150
29 1186.050049 35900 26000
30 1187.400024 35750 26400
1 1194 35,750 26,750
2 1191.939941 34900 26200
3 1131 32500 24400
4 1134.680054 31250 24400
5 1164.209961 32700 25800
6 1166.780029 32100 25600
7 1166.050049 32500 25200
8 1136.119995 32200 25600
9 1097.170044 30950 24000
10 1023.940002 28800 22350
11 1056.609985 29800 23450
12 1035.51001 27750 22000
13 1075.530029 27700 23350
14 1111.290039 29050 24250
15 1112.189941 30400 24050
16 1126.910034 31000 24750
17 1083.180054 29550 23900
18 1114.930054 30600 24750
19 1155.780029 32700 25800
20 1174.380005 33100 26200
21 1173.5 33500 26850
22 1175.040039 33400 26700
23 1177.640015 33000 27400
24 1162.01001 32650 27000
25 1165.430054 33000 27300
26 1168.469971 33500 27650
27 1186.170044 34350 28350
28 1186.609985 34000 28100
29 1186.949951 33600 28000
30 1168.52002 32300 27150
1 1169 32,700 27,350
2 1168.27002 32150 27600
3 1161.969971 31700 27300
4 1170.079956 32100 27950
5 1181.72998 32200 28250
6 1181.560059 32000 28250
7 1184.560059 31950 28900
8 1179.900024 32800 28650
9 1186.089966 33350 29000
10 1200.939941 33200 29200
11 1194.050049 32950 29200
12 1194.430054 34600 28650
13 1183.449951 34200 28350
14 1161.810059 33200 27600
15 1163.099976 33000 27550
16 1162.209961 32500 27500
17 1175.680054 33000 28250
18 1186.359985 33850 28300
19 1191.439941 33850 28150
20 1216.099976 34650 29200
21 1224.449951 34800 29600
22 1236.050049 34450 30400
23 1239.959961 34400 31400
24 1242.380005 35850 31800
25 1234.890015 35300 31200
26 1231.660034 35700 31350
27 1252.449951 35700 31650
28 1248.329956 34900 31100
29 1255.869995 34600 31250
30 1247.25 34250 30600
1 1239 33,500 30,200
2 1260.579956 33800 30500
3 1268.280029 33300 30500
4 1227.819946 32000 29200
5 1248.530029 33500 30300
6 1215.77002 33000 29600
7 1219.75 33350 29600
8 1229.550049 33700 30250
9 1239.390015 34200 30350
10 1242.199951 33900 31250
11 1256.430054 35100 31700
12 1250.569946 34650 31600
13 1241.810059 34100 31600
14 1259.579956 35650 33200
15 1256.040039 36600 32700
16 1269.089966 37650 33200
17 1261.98999 36400 32950
18 1266.359985 35700 33000
19 1258.699951 37500 32900
20 1252.680054 37800 33300
21 1262.48999 37900 34500
22 1278.219971 38800 34500
23 1283.930054 37950 34650
24 1297.97998 38650 34750
25 1308.579956 38950 35800
26 1316.699951 38050 37500
27 1303.569946 36900 36500
28 1320.459961 37700 37700
29 1328.050049 37050 38000
30 1337.780029 37500 38200
 Giá (Pi) Ty suat loi nhuan Ri-E(Ri)^2
tháng Chỉ số Vnindex GMD MBB Index GMD MBB Index GMD
1 710 16,450 13,786
2 783 18,000 13,743 123.2% 113.1% -3.8% 19.1% 0.1%
3 854 19,400 14,906 110.2% 93.3% 101.6% 9.4% 2.6%
4 791 17,800 13,484 -89.3% -99.0% -114.5% ### ###
5 889 23,800 15,337 148.7% 404.5% 164.9% 47.9% ###
6 950 23,450 18,628 82.5% -17.6% 257.5% 0.1% ###
7 1,020 29,500 20,808 88.3% 309.6% 140.4% 0.8% ###
8 1,194 35,750 26,750 205.2% 254.2% 342.7% ### ###
9 1,169 32,700 27,350 -25.6% -102.4% 26.9% ### ###
10 1,239 33,500 30,200 71.9% 29.4% 125.0% 0.6% 64.2%
Tsln trung bình 79.44% 109.45% 115.65%
Phương sai 78.92% 324.03% 187.59% ### ###
Độ lệch chuẩn 88.84% 180.01% 136.97% ### ###
Hiệp phương sai 1.222 0.938 1.251
Hệ số tương quan 0.76 0.77 0.51
CV 1.12 1.64 1.18
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.763883037
R Square 0.583517294
Adjusted R Square 0.524019765
Standard Error 0.103491622
Observations 9

ANOVA
df SS MS F
Regression 1 0.1050425323 0.105 9.8074
Residual 7 0.0749736101 0.011
Total 8 0.1800161424

Coefficients Standard Error t Stat P-value

Intercept -0.011253649 0.0475457965 -0.24 0.8197
X Variable 1 1.547823486 0.4942469892 3.132 0.0166
Ri-E(Ri)^2 [Ri-E(Ri)]*[Rj-E(Rj]
MBB Index-GMD Index-MBB GMD-MBB

### 1.6% -52.2% -4.3%

2.0% -5.0% -4.3% 2.3%
### 351.7% 388.3% 479.6%
24.2% 204.3% 34.1% 145.2%
### -3.8% 4.3% -180.3%
6.1% 17.7% 2.2% 49.6%
### 182.1% 285.6% 328.7%
78.7% 222.6% 93.2% 188.0%
0.9% 6.0% -0.7% -7.5%

###
###
1.222 0.938 1.251
0.76 0.77 0.51

Significance F
0.0166

Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
-0.124 0.1011743 -0.123682 0.1011743
0.3791 2.7165319 0.3791151 2.7165319
 Giá Tsln [Ri-E(Ri)]^2
tháng Chỉ số VGMD MBB Chỉ số GMD MBB Chỉ số VnindGMD MBB
1 710 16,450 13,786
2 783 18,000 13,743 10.3% 9.4% -0.3% 0.13% 0.00% 0.99%
3 854 19,400 14,906 9.2% 7.8% 8.5% 0.07% 0.02% 0.01%
4 791 17,800 13,484 -7.4% -8.2% -9.5% 1.98% 3.02% 3.68%
5 889 23,800 15,337 12.4% 33.7% 13.7% 0.33% 6.05% 0.17%
6 950 23,450 18,628 6.9% -1.5% 21.5% 0.00% 1.12% 1.40%
7 1,020 29,500 20,808 7.4% 25.8% 11.7% 0.01% 2.78% 0.04%
8 1,194 35,750 26,750 17.1% 21.2% 28.6% 1.10% 1.46% 3.58%
9 1,169 32,700 27,350 -2.1% -8.5% 2.2% 0.77% 3.12% 0.55%
10 1,239 33,500 30,200 6.0% 2.4% 10.4% 0.00% 0.45% 0.01%
Tsln trung bình 6.6% 9.1% 9.6% 0.55% 2.25% 1.30%
Phương sai 0.55% 2.25% 1.30%
Độ lệch chuẩn 7.4% 15.0% 11.4%
Hiệp phương sai
Hệ số tương quan
 [Ri-E(Ri)]*[Rj-E(Rj]
Index-GMD Index-MBB GMD-MBB

0.01% -0.36% -0.02997%

-0.03% -0.03% 0.01576%
2.44% 2.70% 3.33042%
1.42% 0.24% 1.00823%
-0.03% 0.03% -1.25231%
0.12% 0.02% 0.34438%
1.26% 1.98% 2.28278%
1.55% 0.65% 1.30530%
0.04% 0.00% -0.05227%

0.85% 0.65% 0.87%

0.76 0.77 0.51
 w_GM w_MB E[RP] var(RP) stdev(RP) cv
D
Dm B Mean/SD Trade-Off fo

Expected return (E[Rp])

A 0 1 115.65% 187.6% 136.97%
B 0.1 0.9 115.03% 177.8% 133.35%
C 0.2 0.8 114.41% 173.3% 131.63%
118.00%
D 0.3 0.7 113.79% 173.9% 131.87%
E 0.4 0.6 113.17% 179.7% 134.06%
116.00%
B 0.6 0.4 111.93% 207.0% 143.88% 115.65%
115.03%
C 0.7 0.3 111.31% 228.5% 151.15% 114.00%
114.41%
113.79%
D 0.8 0.2 110.69% 255.1% 159.72% 113.17%
E 0.9 0.1 110.07% 287.0% 169.40% 112.00% 11
A 1 0 109.45% 324.0% 180.01%
110.00%

108.00%

106.00%
E[Ri] Stdev 120.00% 130.00% 140.00%
GMD ### ### Stan
MBB ### ###
Correlation 0.51
SD Trade-Off for Portfolios of GMD and MBB

115.65%
115.03%
114.41%
113.79%
113.17%
Column D
111.93%
111.31%
110.69%
110.07%
109.45%

30.00% 140.00% 150.00% 160.00% 170.00% 180.00% 190.00%

Standard deviation (stdev (Rp))