VHM SSI Tỷ trọng VHM 30.

00%
E(R) -25.58% 15.38% E(RP) 3.096%
S.D 0.020 0.027 Phương sai 0.000483
ρ 0.39373966 S.D 0.021987

VHM
date GIÁ ĐÓNG
8/9/2023 60.6
8/10/2023 60.6
8/11/2023 60.9
8/12/2023 60.9
8/13/2023 60.9
8/14/2023 61.2
DATA TABLE 8/15/2023 61.7
SSI VHM E(R) Phương sai 8/16/2023 62.9
3.10% 0.00048 8/17/2023 61
0% 100.00% 8/18/2023 56.8
10% 90.00% 8/19/2023 56.8
20% 80.00% 8/20/2023 56.8
30% 70.00% 8/21/2023 56
40% 60.00% 8/22/2023 55.5
50% 50.00% 8/23/2023 54.5
60% 40.00% 8/24/2023 55.4
70% 30.00% 8/25/2023 54.1
80% 20.00% 8/26/2023 54.1
90% 10.00% 8/27/2023 54.1
100% 0.00% 8/28/2023 54.7
8/29/2023 54.6
8/30/2023 54.6
8/31/2023 54.7
9/1/2023 54.7
9/2/2023 54.7
9/3/2023 54.7
9/4/2023 54.7
9/5/2023 55.3
9/6/2023 55.9
9/7/2023 55.1
9/8/2023 54
9/9/2023 54
9/10/2023 54
9/11/2023 52.5
9/12/2023 53.5
9/13/2023 52.1
9/14/2023 49
9/15/2023 50.5
 9/16/2023 50.5
9/17/2023 50.5
9/18/2023 48.95
9/19/2023 49.35
9/20/2023 50.7
9/21/2023 50.2
9/22/2023 48
9/23/2023 48
9/24/2023 48
9/25/2023 47
9/26/2023 45
9/27/2023 45.1
lssl tb
Phương sai 0.00040
Độ lệch chuẩn(S.D) 0.02001
Lssl -25.58%
Hiệp phương sai

Hệ số tương quan
 IOS

Bảng cơ hội đầu tư

Lãi suất sinh lời SSI Lãi suất sinh lời
1200%
GIÁ ĐÓNG
28.6
1000%
0.000% 28.1 -1.75%
0.495% 28.1 0.00%
800%
0.000% 28.1 0.00%
0.000% 28.1 0.00%
600%

E(R)
0.493% 29.1 3.56%
0.817% 28.7 -1.37%
400%
1.945% 28.9 0.70%
-3.021% 29.9 3.46%
200%
-6.885% 28.3 -5.35%
0.000% 28.3 0.00%
0%
0.000% 28.3 0.00% 0.0000 2.0000 4.0000 6.0000 8.0000
-1.408% 28.9 2.12% Phương sai
-0.893% 30.7 6.23%
-1.802% 30.4 -0.98%
1.651% 32 5.26%
-2.347% 32.2 0.63%
0.000% 32.2 0.00%
0.000% 32.2 0.00%
1.109% 32.5 0.93%
-0.183% 32.4 -0.31%
0.000% 33.5 3.40%
0.183% 33.4 -0.30%
0.000% 33.4 0.00%
0.000% 33.4 0.00%
0.000% 33.4 0.00%
0.000% 33.4 0.00%
1.097% 33.4 0.00%
1.085% 34 1.80%
-1.431% 33.6 -1.18%
-1.996% 33.8 0.60%
0.000% 33.8 0.00%
0.000% 33.8 0.00%
-2.778% 33.5 -0.89%
1.905% 35.8 6.87%
-2.617% 35.8 0.00%
-5.950% 35.6 -0.56%
3.061% 35.5 -0.28%
 0.000% 35.5 0.00%
0.000% 35.5 0.00%
-3.069% 35.7 0.56%
0.817% 36.2 1.40%
2.736% 36.5 0.83%
-0.986% 34.8 -4.66%
-4.382% 32.6 -6.32%
0.000% 32.6 0.00%
0.000% 32.6 0.00%
-2.083% 30.4 -6.75%
-4.255% 30.9 1.64%
0.222% 33 6.80%
-0.581% 0.33%
0.00073
0.02703
15.38%
0.000212911772

0.393739658651
 IOS

ảng cơ hội đầu tư

.0000 6.0000 8.0000 10.0000 12.0000

Phương sai
 VHM SSI VCF
Date GIÁ ĐÓNG LSSL GIÁ ĐÓNG LSSL GIÁ ĐÓNG
8/9/2023 60.6 28.6 196.6
8/10/2023 60.6 0.000% 28.1 -1.75% 190.8
8/11/2023 60.9 0.495% 28.1 0.00% 191.8
8/12/2023 60.9 0.000% 28.1 0.00% 191.8
8/13/2023 60.9 0.000% 28.1 0.00% 191.8
8/14/2023 61.2 0.493% 29.1 3.56% 193.7
8/15/2023 61.7 0.817% 28.7 -1.37% 201.2
8/16/2023 62.9 1.945% 28.9 0.70% 200
8/17/2023 61 -3.021% 29.9 3.46% 196.1
8/18/2023 56.8 -6.885% 28.3 -5.35% 195.3
8/19/2023 56.8 0.000% 28.3 0.00% 195.3
8/20/2023 56.8 0.000% 28.3 0.00% 195.3
8/21/2023 56 -1.408% 28.9 2.12% 195.3
8/22/2023 55.5 -0.893% 30.7 6.23% 194.1
8/23/2023 54.5 -1.802% 30.4 -0.98% 196.1
8/24/2023 55.4 1.651% 32 5.26% 194.7
8/25/2023 54.1 -2.347% 32.2 0.63% 195
8/26/2023 54.1 0.000% 32.2 0.00% 195
8/27/2023 54.1 0.000% 32.2 0.00% 195
8/28/2023 54.7 1.109% 32.5 0.93% 195
8/29/2023 54.6 -0.183% 32.4 -0.31% 195
8/30/2023 54.6 0.000% 33.5 3.40% 195.2
8/31/2023 54.7 0.183% 33.4 -0.30% 194.8
9/1/2023 54.7 0.000% 33.4 0.00% 194.8
9/2/2023 54.7 0.000% 33.4 0.00% 194.8
9/3/2023 54.7 0.000% 33.4 0.00% 194.8
9/4/2023 54.7 0.000% 33.4 0.00% 194.8
9/5/2023 55.3 1.097% 33.4 0.00% 194.7
9/6/2023 55.9 1.085% 34 1.80% 194.6
9/7/2023 55.1 -1.431% 33.6 -1.18% 194.4
9/8/2023 54 -1.996% 33.8 0.60% 199.4
9/9/2023 54 0.000% 33.8 0.00% 199.4
9/10/2023 54 0.000% 33.8 0.00% 199.4
9/11/2023 52.5 -2.778% 33.5 -0.89% 199
9/12/2023 53.5 1.905% 35.8 6.87% 199
9/13/2023 52.1 -2.617% 35.8 0.00% 199
9/14/2023 49 -5.950% 35.6 -0.56% 196.9
9/15/2023 50.5 3.061% 35.5 -0.28% 195.8
9/16/2023 50.5 0.000% 35.5 0.00% 195.8
9/17/2023 50.5 0.000% 35.5 0.00% 195.8
9/18/2023 48.95 -3.069% 35.7 0.56% 195
9/19/2023 49.35 0.817% 36.2 1.40% 194
9/20/2023 50.7 2.736% 36.5 0.83% 193.1
9/21/2023 50.2 -0.986% 34.8 -4.66% 193.1
9/22/2023 48 -4.382% 32.6 -6.32% 193.1
9/23/2023 48 0.000% 32.6 0.00% 193.1
 9/24/2023 48 0.000% 32.6 0.00% 193.1
9/25/2023 47 -2.083% 30.4 -6.75% 193.1
9/26/2023 45 -4.255% 30.9 1.64% 193.1
9/27/2023 45.1 0.222% 33 6.80% 191
lssl tb -0.581% 0.33%
Phương sai 0.000400 0.000731 0.000086
Độ lệch chuẩn(S.D) 0.020006 0.027029 0.009251
lssl -25.578% 15.385% -2.8484%
 VNM SHEET 5(1)
LSSL GIÁ ĐÓNG LSSL
73.1
-2.95% 73.1 0.00%
0.52% 73.5 0.55% tổng
0.00% 73.5 0.00% tỉ trọng
0.00% 73.5 0.00% LSSL
0.99% 73.4 -0.14% Độ lệch chuẩn
3.87% 72.8 -0.82% LSSL DANH MỤC ĐT
-0.60% 73.1 0.41% Phương sai danh mục
-1.95% 73.6 0.68%
-0.41% 73.3 -0.41% SHEET 5(2)
0.00% 73.3 0.00% Hiệp phương sai
0.00% 73.3 0.00% Hệ số tương quan
0.00% 72.9 -0.55%
-0.61% 72.7 -0.27% SHEET 5(3)
1.03% 73.5 1.10%
-0.71% 74.7 1.63%
0.15% 74.9 0.27%
0.00% 74.9 0.00%
0.00% 74.9 0.00%
0.00% 77.9 4.01%
0.00% 77.4 -0.64%
0.10% 77.8 0.52%
-0.20% 77.8 0.00%
0.00% 77.8 0.00%
0.00% 77.8 0.00%
0.00% 77.8 0.00%
0.00% 77.8 0.00%
-0.05% 80.1 2.96%
-0.05% 80 -0.12%
-0.10% 79.5 -0.63%
2.57% 80 0.63%
0.00% 80 0.00%
0.00% 80 0.00%
-0.20% 79.5 -0.63%
0.00% 80.3 1.01%
0.00% 79.1 -1.49%
-1.06% 79.4 0.38%
-0.56% 79.5 0.13%
0.00% 79.5 0.00%
0.00% 79.5 0.00%
-0.41% 78.9 -0.75%
-0.51% 78.9 0.00%
-0.46% 78.3 -0.76%
0.00% 78 -0.38%
0.00% 77.5 -0.64%
0.00% 77.5 0.00%
 0.00% 77.5 0.00%
0.00% 77.6 0.13%
0.00% 76.1 -1.93%
-1.09% 76.6 0.66%
-0.05% 0.10%
0.000087
0.009307
4.788%
vcf vnm ssi vhm
26579135 2089955445 1489121129 4354367488
191 76.6 33 45.1
5076614785.00 160090587087.00 49140997257.00 196381973708.80
410690172837.80
1.24% 38.98% 11.97% 47.82% 0.02%
-2.8484% 4.788% 15.385% -25.578%
0.009251 0.009307 0.027029 0.020006 0.000086
-8.5585%
0.0001678

vcf,vnm vcf,vhm vcf,ssi vnm,vhm vnm,ssi

-0.00000581 0.00001324 -0.00003138 0.00006154 0.00005765
-0.067505 0.071531953303576 -0.125505106367 0.330522319600484 0.229187053463

Trendline VCF & VNM

5%

4%

3%

2%
LSSL VCF

1%

f(x) = − 0.0679106810119967 x + 0%
0.000959613198397082
-4% -3% -2% -1% 0% 1% 2% 3% 4% 5
R² = 0.00455695702259418
-1%

-2%

-3%

LSSL VNM

Trendline VNM & VHM

5%

4%

3%

2%
L VHM

1%
 4%

3%

2%
LSSL VHM

1%

f(x) = 0.153757019641256 x + 0.00189022391331549

R² = 0.109245003754084 0%
-8% -6% -4% -2% 0% 2% 4%

-1%

-2%

-3%

LSSL VNM
 Bình phương
15.20% 1.43% 22.87%

0.000087 0.000731 0.000400

vhm,ssi
0.00021291
0.393739658651

Trendline VHM & VCF

5%

4%

3%

2%
LSSL VHM

1%

0%
-8% f(x) -6% -4%
= 0.0330775721465538 -2%
x − 0.0003557431242889490%
R² = 0.00511682034342376
3% 4% 5% -1%

-2%

-3%

-4%

LSSL VCF

Trendline VNM & SSI

5%

4%

3%

2%
SL SSI

1%
 4%

3%

2%

LSSL SSI
1%

f(x) = 0.0789126932603775 x + 0.000737842183434125

0%
-8% R²-6%
= 0.0525267054748682
-4% -2% 0% 2%
2% 4%
-1%

-2%

-3%

LSSL VNM
VHM & VCF Trendline5%VCF & S
5%
4%
4%

3%
3%

2% 2%

1% 1%
LSSL SSI

0%
%
57431242889490% 2% 4% f(x) = − 0.0429553796352407 0%
x − 0.00040696482771765
-8% -6% -4% -2% 0%
R² = 0.015751531724179
-1%
-1%
-2%
-2%
-3%
-3%
-4%

VCF -4%
LSSL VCF

VNM & SSI Trendline VHM & S

5%

4%

3%

2%
f(x) = 0.531969258448482 x + 0.006372868150532
SL VHM

R² = 0.155030918794878
1%
-8% -6% -4% -2%
 4%

3%

2%
f(x) = 0.531969258448482 x + 0.006372868150532

LSSL VHM
R² = 0.155030918794878
1%
-8% -6% -4% -2%
737842183434125
0%
0% 2% 4% 6% 8%

-1%

-2%

-3%

LSSL SSI
L VNM
Trendline5%VCF & SSI

4%

3%

2%

1%

2407-2% 0%
x − 0.000406964827717658
0% 2% 4% 6% 8%

-1%

-2%

-3%

-4%
LSSL VCF

Trendline VHM & SSI

8%

6%

4%

2%
48482 x + 0.00637286815053287
4878
0%
-4% -2% 0% 2% 4%
 6%

4%

2%
48482 x + 0.00637286815053287
4878
0%
-4% -2% 0% 2% 4%

-2%

-4%

-6%

-8%

LSSL SSI
Đánh giá hiệu quả Portfolio, lựa chọn Effiecient Portfolio

Chứng khoán Beta CAPM Tỷ trọng Effiecient Contribution

VHM 1.42422655 14.56% 40% 5.86%
SSI 1.68603026 16.62% 24% 4.00%
VCF 0.05835141 3.81% 15% 0.57%
VNM 0.3497098 6.10% 21% 1.27% Ngày
8/9/2023
Lãi suất thị trường 11.22% 8/10/2023
Lãi suất phi rủi ro 3.35% 8/11/2023
8/12/2023
Bảng Hiệp phương sai( Covariance Table) 8/13/2023
VHM SSI VCF VNM 8/14/2023
VHM 0.00039207 0.00020857 0.00001297 0.00006028 8/15/2023
SSI 0.00020857 0.00071567 -0.00003074 0.00005648 8/16/2023
VCF 0.00001297 -0.00003074 0.00008384 -0.00000569 8/17/2023
VNM 0.00006028 0.00005648 -0.00000569 0.00008485 8/18/2023
8/19/2023
Bảng xếp tỷ trọng 8/20/2023
Tỷ trọng 40% 24% 15% 21% 8/21/2023
40% 6.35771E-05 2.0222409E-05 7.7743155E-07 5.04111345131349E-06 8/22/2023
24% 2.02224E-05 4.1490338E-05 -1.101912E-06 2.82383299279769E-06 8/23/2023
15% 7.77432E-07 -1.1019115E-06 1.8579058E-06 -1.7600489571758E-07 8/24/2023
21% 5.04111E-06 2.823833E-06 -1.760049E-07 3.65890288841416E-06 8/25/2023
Tổng theo cột 8.9618E-05 6.3434668E-05 1.3574209E-06 1.13478444368078E-05 8/26/2023
8/27/2023
8/28/2023
Độ lệch theo năm 5.13% 1 năm có 252 ngày giao dịch(giả định) 8/29/2023
Lợi suất danh mục 11.6975% 8/30/2023
Tỷ số sharpe 1.6273 8/31/2023
Đòn bẩy 100% 9/1/2023
9/2/2023
9/3/2023
9/4/2023
Tỷ trọng 9/5/2023
9/6/2023
9/7/2023
VHM 9/8/2023
21% SSI 9/9/2023
40% VCF 9/10/2023
15% VNM 9/11/2023
9/12/2023
24% 9/13/2023
9/14/2023
9/15/2023
9/16/2023
9/17/2023
 9/18/2023
9/19/2023
9/20/2023
9/21/2023
9/22/2023
9/23/2023
9/24/2023
9/25/2023
9/26/2023
9/27/2023

Tài liệu tham khảo

https://vst.mof.gov.vn/webcenter/portal/kbnn/r/o/tpcp/kqph/kqph_chitiet?dDocName=KBNN213099&_afrLoop=232364862
 Giá LSSL
VN-Index VHM SSI VCF VNM VHM SSI VCF
1235 60.6 28.6 196.6 73.1 0.000% -1.75% -2.95%
1220.6 60.6 28.1 190.8 73.1 0.495% 0.00% 0.52%
1232.2 60.9 28.1 191.8 73.5 0.000% 0.00% 0.00%
1232.2 60.9 28.1 191.8 73.5 0.000% 0.00% 0.00%
1232.2 60.9 28.1 191.8 73.5 0.493% 3.56% 0.99%
1236.8 61.2 29.1 193.7 73.4 0.817% -1.37% 3.87%
1234 61.7 28.7 201.2 72.8 1.945% 0.70% -0.60%
1243.3 62.9 28.9 200 73.1 -3.021% 3.46% -1.95%
1233.5 61 29.9 196.1 73.6 -6.885% -5.35% -0.41%
1178 56.8 28.3 195.3 73.3 0.000% 0.00% 0.00%
1178 56.8 28.3 195.3 73.3 0.000% 0.00% 0.00%
1178 56.8 28.3 195.3 73.3 -1.408% 2.12% 0.00%
1179.8 56 28.9 195.3 72.9 -0.893% 6.23% -0.61%
1180.5 55.5 30.7 194.1 72.7 -1.802% -0.98% 1.03%
1172.6 54.5 30.4 196.1 73.5 1.651% 5.26% -0.71%
1189.4 55.4 32 194.7 74.7 -2.347% 0.63% 0.15%
1183.4 54.1 32.2 195 74.9 0.000% 0.00% 0.00%
1183.4 54.1 32.2 195 74.9 0.000% 0.00% 0.00%
1183.4 54.1 32.2 195 74.9 1.109% 0.93% 0.00%
1201.7 54.7 32.5 195 77.9 -0.183% -0.31% 0.00%
1204.4 54.6 32.4 195 77.4 0.000% 3.40% 0.10%
1213.2 54.6 33.5 195.2 77.8 0.183% -0.30% -0.20%
1224 54.7 33.4 194.8 77.8 0.000% 0.00% 0.00%
1224 54.7 33.4 194.8 77.8 0.000% 0.00% 0.00%
1224 54.7 33.4 194.8 77.8 0.000% 0.00% 0.00%
1224 54.7 33.4 194.8 77.8 0.000% 0.00% 0.00%
1224 54.7 33.4 194.8 77.8 1.097% 0.00% -0.05%
1235 55.3 33.4 194.7 80.1 1.085% 1.80% -0.05%
1245.5 55.9 34 194.6 80 -1.431% -1.18% -0.10%
1243.1 55.1 33.6 194.4 79.5 -1.996% 0.60% 2.57%
1241.5 54 33.8 199.4 80 0.000% 0.00% 0.00%
1241.5 54 33.8 199.4 80 0.000% 0.00% 0.00%
1241.5 54 33.8 199.4 80 -2.778% -0.89% -0.20%
1223.6 52.5 33.5 199 79.5 1.905% 6.87% 0.00%
1245.4 53.5 35.8 199 80.3 -2.617% 0.00% 0.00%
1238.4 52.1 35.8 199 79.1 -5.950% -0.56% -1.06%
1223.8 49 35.6 196.9 79.4 3.061% -0.28% -0.56%
1227.4 50.5 35.5 195.8 79.5 0.000% 0.00% 0.00%
1227.4 50.5 35.5 195.8 79.5 0.000% 0.00% 0.00%
1227.4 50.5 35.5 195.8 79.5 -3.069% 0.56% -0.41%
 1211.8 48.95 35.7 195 78.9 0.817% 1.40% -0.51%
1211.5 49.35 36.2 194 78.9 2.736% 0.83% -0.46%
1226.1 50.7 36.5 193.1 78.3 -0.986% -4.66% 0.00%
1212.7 50.2 34.8 193.1 78 -4.382% -6.32% 0.00%
1193 48 32.6 193.1 77.5 0.000% 0.00% 0.00%
1193 48 32.6 193.1 77.5 0.000% 0.00% 0.00%
1193 48 32.6 193.1 77.5 -2.083% -6.75% 0.00%
1153.2 47 30.4 193.1 77.6 -4.255% 1.64% 0.00%
1138 45 30.9 193.1 76.1 0.222% 6.80% -1.09%
1153.8 45.1 33 191 76.6

9&_afrLoop=23236486210380123#!%40%40%3F_afrLoop%3D23236486210380123%26dDocName%3DKBNN213099%26_adf.ctrl-state%3
SL
VNM VN-Index
0.00% -1.17%
0.55% 0.95%
0.00% 0.00%
0.00% 0.00%
-0.14% 0.37%
-0.82% -0.23%
0.41% 0.75%
0.68% -0.79%
-0.41% -4.50%
0.00% 0.00%
0.00% 0.00%
-0.55% 0.15%
-0.27% 0.06%
1.10% -0.67%
1.63% 1.43%
0.27% -0.50%
0.00% 0.00%
0.00% 0.00%
4.01% 1.55%
-0.64% 0.22%
0.52% 0.73%
0.00% 0.89%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
0.00% 0.00%
2.96% 0.90%
-0.12% 0.85%
-0.63% -0.19%
0.63% -0.13%
0.00% 0.00%
0.00% 0.00%
-0.63% -1.44%
1.01% 1.78%
-1.49% -0.56%
0.38% -1.18%
0.13% 0.29%
0.00% 0.00%
0.00% 0.00%
-0.75% -1.27%
 0.00% -0.02%
-0.76% 1.21%
-0.38% -1.09%
-0.64% -1.62%
0.00% 0.00%
0.00% 0.00%
0.13% -3.34%
-1.93% -1.32%
0.66% 1.39%

3099%26_adf.ctrl-state%3D10yv2dhbop_419