RISK RETURN 10

Time period Price(Stock) Index Level Return(Stock) Return(Mkt) (Rs-E(Rs)) (Rm-E(Rm)) (Rm-E(Rm))^2 (Rs-E(Rs))*(Rm-E(Rm))
1 11/1/2007 108 1075.92
2 12/3/2007 48.396 987.96 -55.19% -8.18% -55.00% -7.93% 0.0062958661994 0.043642737
3 1/2/2008 45.324 921.07 -6.35% -6.77% -6.16% -6.53% 0.004263877726 0.004023341
4 3/3/2008 32.774 635.24 -27.69% -31.03% -27.50% -30.79% 0.0948129200386 0.084687553
5 4/1/2008 30.02 520.99 -8.40% -17.99% -8.22% -17.74% 0.0314872561579 0.014580498
6 5/5/2008 32.774 521.28 9.17% 0.06% 9.36% 0.30% 8.781906755E-06 0.000277378
7 6/2/2008 25.099 407.94 -23.42% -21.74% -23.23% -21.50% 0.0462334023797 0.049952895
8 7/1/2008 50.98 409.61 103.12% 0.41% 103.30% 0.65% 4.225695425E-05 0.006715171
9 8/1/2008 36.21 447.11 -28.97% 9.16% -28.79% 9.40% 0.008827973265 ###
10 9/3/2008 41.208 555.14 13.80% 24.16% 13.99% 24.40% 0.059548293027 0.034136627
11 10/1/2008 36.21 454.41 -12.13% -18.14% -11.94% -17.90% 0.032056370335 0.021382297
12 11/3/2008 28.217 348.64 -22.07% -23.28% -21.89% -23.04% 0.0530641483458 0.050420106
13 12/1/2008 22.6 314.71 -19.91% -9.73% -19.72% -9.49% 0.0090087097602 0.018717350
14 1/2/2009 21.541 313.34 -4.69% -0.44% -4.50% -0.19% 3.788544686E-06 0.000087583
15 2/2/2009 20.605 297.52 -4.35% -5.05% -4.16% -4.81% 0.0023118298574 0.001999730
16 3/2/2009 17.671 247.66 -14.24% -16.76% -14.05% -16.52% 0.0272839622228 0.023212714
17 4/1/2009 20.665 289.52 16.94% 16.90% 17.13% 17.14% 0.0293878478691 0.029364344
18 5/4/2009 23.915 336.64 15.73% 16.28% 15.91% 16.52% 0.0272774745108 0.026282129
19 6/1/2009 27.598 426.43 15.40% 26.67% 15.59% 26.91% 0.0724314373534 0.041948184
20 7/1/2009 25.286 430 -8.38% 0.84% -8.19% 1.08% 0.0001161787977 ###
21 8/3/2009 29.594 467.93 17.04% 8.82% 17.22% 9.06% 0.0082112772114 0.015607042
22 9/1/2009 31.025 547.69 4.84% 17.05% 5.02% 17.29% 0.0298804555406 0.008680319
23 10/1/2009 29.408 568.99 -5.21% 3.89% -5.03% 4.13% 0.0017054759858 ###
24 11/2/2009 26.346 561.71 -10.41% -1.28% -10.23% -1.04% 0.0001079064993 0.001062254
25 12/1/2009 23.784 514.92 -9.72% -8.33% -9.54% -8.09% 0.0065435829165 0.007715742
26 1/4/2010 22.291 517.05 -6.28% 0.41% -6.09% 0.65% 4.281556726E-05 ###
27 2/1/2010 19.483 486.95 -12.60% -5.82% -12.41% -5.58% 0.0031145414798 0.006926258
28 3/1/2010 20.356 503.01 4.48% 3.30% 4.67% 3.54% 0.0012522818441 0.001651535
29 4/1/2010 20.914 508.18 2.74% 1.03% 2.93% 1.27% 0.0001609072291 0.000371334
30 5/4/2010 20.48 549.12 -2.08% 8.06% -1.89% 8.30% 0.0068838219781 ###
31 6/1/2010 18.352 508.68 -10.39% -7.36% -10.20% -7.12% 0.0050748967048 0.007269488
32 7/1/2010 19.103 504.02 4.09% -0.92% 4.28% -0.68% 4.561881228E-05 ###
33 8/2/2010 19.42 491.61 1.66% -2.46% 1.85% -2.22% 0.0004935170288 ###
34 9/1/2010 19.916 458.75 2.55% -6.68% 2.74% -6.44% 0.0041518442807 ###
 RISK RETURN 11

35 10/1/2010 19.041 451.71 -4.39% -1.53% -4.21% -1.29% 0.0001674242786 0.000544392

36 11/1/2010 22.036 451.06 15.73% -0.14% 15.92% 0.10% 9.366742179E-07 0.000154032
37 12/1/2010 21.478 449.93 -2.53% -0.25% -2.35% -0.01% 9.685375419E-09 0.000002309
38 1/4/2011 23.066 485.97 7.39% 8.01% 7.58% 8.25% 0.006807593949 0.006253929
39 2/8/2011 27.131 520.69 17.62% 7.14% 17.81% 7.39% 0.0054540492266 0.013152590
40 3/1/2011 22.155 466.12 -18.34% -10.48% -18.15% -10.24% 0.0104850321959 0.018589546
41 4/1/2011 21.123 459.17 -4.66% -1.49% -4.47% -1.25% 0.0001563382094 0.000559149
42 5/4/2011 21.972 486.58 4.02% 5.97% 4.21% 6.21% 0.003856591596 0.002611662
43 6/1/2011 20.79 435.69 -5.38% -10.46% -5.19% -10.22% 0.0104408183285 0.005306647
44 7/1/2011 19.667 425.29 -5.40% -2.39% -5.22% -2.15% 0.0004606769937 0.001119418
45 8/1/2011 18.822 401.95 -4.30% -5.49% -4.11% -5.25% 0.0027534581009 0.002156855
46 9/1/2011 20.539 435.29 9.12% 8.29% 9.31% 8.54% 0.0072850382714 0.007945000
47 10/3/2011 20.563 422.12 0.12% -3.03% 0.30% -2.78% 0.0007755610064 ###
48 11/1/2011 20.563 413.82 0.00% -1.97% 0.19% -1.73% 0.0002977646879 ###
49 12/1/2011 18.635 380.1 -9.38% -8.15% -9.19% -7.91% 0.0062533155098 0.007267184
50 1/3/2012 15.102 350 -18.96% -7.92% -18.77% -7.68% 0.0058956123932 0.014414290
51 2/1/2012 17.736 390.67 17.44% 11.62% 17.63% 11.86% 0.0140675719732 0.020907482
52 3/1/2012 19.984 427.95 12.67% 9.54% 12.86% 9.78% 0.0095712181299 0.012582198
53 4/3/2012 19.535 445.77 -2.25% 4.16% -2.06% 4.40% 0.0019401535545 ###
54 5/2/2012 23.583 472.46 20.72% 5.99% 20.91% 6.23% 0.0038788882906 0.013021617
55 6/1/2012 23.266 428.8 -1.34% -9.24% -1.16% -9.00% 0.0081005658976 0.001042262
56 7/2/2012 23.336 419.3 0.30% -2.22% 0.49% -1.97% 0.0003899856803 ###
57 8/1/2012 25.131 412.55 7.69% -1.61% 7.88% -1.37% 0.0001874561689 ###
58 9/4/2012 28.099 402.08 11.81% -2.54% 12.00% -2.30% 0.000527710318 ###
59 10/1/2012 25.627 386.55 -8.80% -3.86% -8.61% -3.62% 0.001311697075 0.003118788
60 11/1/2012 25.627 387.95 0.00% 0.36% 0.19% 0.60% 3.634375366E-05 0.000011223
61 12/3/2012 24.985 379.27 -2.51% -2.24% -2.32% -2.00% 0.0003986899394 0.000463042
62 1/2/2013 26.98 418.35 7.98% 10.30% 8.17% 10.54% 0.011119037388 0.008616010
63 2/1/2013 34.667 483.42 28.49% 15.55% 28.68% 15.79% 0.0249470701947 0.045295297
 RISK RETURN 12

64 3/1/2013 31.488 477.15 -9.17% -1.30% -8.98% -1.06% 0.000111583148 0.000949000

65 4/1/2013 33.633 505.81 6.81% 6.01% 7.00% 6.25% 0.0039027213888 0.004371948
66 5/2/2013 31.045 473.02 -7.69% -6.48% -7.51% -6.24% 0.003896246156 0.004686902
67 6/3/2013 35.513 517.03 14.39% 9.30% 14.58% 9.54% 0.0091101792602 0.013914465
68 7/1/2013 30.717 480.04 -13.50% -7.15% -13.32% -6.91% 0.0047798475697 0.009208112
69 8/1/2013 30.562 492.43 -0.50% 2.58% -0.32% 2.82% 0.0007962072597 ###
70 9/3/2013 30.794 472.17 0.76% -4.11% 0.95% -3.87% 0.0015004860564 ###
71 10/1/2013 31.722 492.24 3.01% 4.25% 3.20% 4.49% 0.0020171481749 0.001437086
72 11/1/2013 32.264 497.08 1.71% 0.98% 1.89% 1.22% 0.0001498028543 0.000231906
73 12/2/2013 32.031 508.53 -0.72% 2.30% -0.54% 2.54% 0.0006472606235 ###
74 1/2/2014 32.341 504.51 0.97% -0.79% 1.15% -0.55% 3.023177239E-05 ###
75 2/6/2014 34.508 554.68 6.70% 9.94% 6.89% 10.18% 0.0103733857463 0.007014023
76 3/3/2014 34.043 573.38 -1.35% 3.37% -1.16% 3.61% 0.0013046491656 ###
77 4/1/2014 32.882 583.85 -3.41% 1.83% -3.22% 2.07% 0.0004271222958 ###
78 5/5/2014 26.306 564.85 -20.00% -3.25% -19.81% -3.01% 0.0009081670128 0.005970694
79 6/2/2014 26.685 556.8 1.44% -1.43% 1.63% -1.18% 0.0001402987083 ###
80 7/1/2014 27.019 578.07 1.25% 3.82% 1.44% 4.06% 0.0016489468586 0.000583850
81 8/1/2014 24.929 593.9 -7.74% 2.74% -7.55% 2.98% 0.0008875050197 ###
82 9/3/2014 27.773 640.75 11.41% 7.89% 11.59% 8.13% 0.0066084103798 0.009425465
83 10/1/2014 26.976 609.27 -2.87% -4.91% -2.68% -4.67% 0.0021830508979 0.001253831
84 11/3/2014 26.713 603.15 -0.97% -1.00% -0.79% -0.76% 5.833922847E-05 0.000060247
85 12/1/2014 26.889 568.01 0.66% -5.83% 0.85% -5.59% 0.003119669521 ###
86 1/5/2015 27.326 544.45 1.63% -4.15% 1.81% -3.91% 0.0015265701834 ###
87 2/2/2015 26.363 570.37 -3.52% 4.76% -3.34% 5.00% 0.0025014475212 ###
88 3/2/2015 27.852 590.73 5.65% 3.57% 5.83% 3.81% 0.0014518327198 0.002223011
89 4/1/2015 24.962 538.91 -10.38% -8.77% -10.19% -8.53% 0.0072786791664 0.008693714
90 5/4/2015 25.925 545.08 3.86% 1.14% 4.04% 1.39% 0.000191984071 0.000560333
91 6/1/2015 27.059 574.98 4.37% 5.49% 4.56% 5.73% 0.0032788368891 0.002611289
92 7/1/2015 27.151 591.5 0.34% 2.87% 0.53% 3.11% 0.0009695893539 0.000163836
93 8/3/2015 28.164 609.47 3.73% 3.04% 3.92% 3.28% 0.0010749994666 0.001284322
94 9/1/2015 28.256 562.31 0.33% -7.74% 0.51% -7.50% 0.0056207873556 ###
95 10/1/2015 28.624 563.54 1.30% 0.22% 1.49% 0.46% 2.110668438E-05 0.000068386
96 11/2/2015 30.281 602.76 5.79% 6.96% 5.98% 7.20% 0.0051843694018 0.004302159
97 12/1/2015 28.992 570.41 -4.26% -5.37% -4.07% -5.13% 0.0026278941445 0.002086729
98 1/4/2016 28.4 574.41 -2.04% 0.70% -1.86% 0.94% 8.872312632E-05 ###
 RISK RETURN 13

99 2/1/2016 28.8 540.56 1.41% -5.89% 1.59% -5.65% 0.0031948763108 ###

100 3/1/2016 28.5 561.56 -1.04% 3.88% -0.86% 4.13% 0.0017020077895 ###
101 4/1/2016 28.8 558.43 1.05% -0.56% 1.24% -0.32% 1.002965572E-05 ###
Average -0.19% -0.24%
Tổng

Cách 1 (tính toán theo các công thức của xác suất thống kê)
Hiệp phương sai của Cổ phiếu DPM với Chỉ số chứng k (n=100 vì chỉ có 100 quan sát, mặc dù có 101 ngày)
0.00725935
0.00725935 dùng hàm Covariance.S
Phương sai của Chỉ số chứng khoán
0.00809114
0.00809114 dùng hàm Var.S
Hệ số Beta của DPM
0.89719705

Cách 2 (Dùng hàm tính có sẵn trong Excel)

Hệ số Beta của DPM
0.89719705

Cách 3 (Hồi quy OLS)

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.513669233
R Square 0.263856081
Adjusted R S 0.256344409
 RISK RETURN 14

Standard Erro 0.135486206

Observations 100

ANOVA
df SS MS F Significance F
Regression 1 0.644793448 0.644793448 35.12614219 4.61663770918843E-08
Residual 98 1.798938168 0.018356512
Total 99 2.443731616

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 0.000297771 0.013553519 0.021969979 0.982516574 -0.0265987459991006 0.0271942870322 -0.026598745999 0.0271942870322
X Variable 1 0.897197049 0.151381432 5.926731156 4.61664E-08 0.596785523800383 1.1976085732029 0.5967855238004 1.1976085732029
 RISK RETURN 15

(Rs-E(Rs))*(Rm-E(Rm))
 RISK RETURN 10

Time period Price(Stock) Index Level Return(Stock) Return(Mkt) (Rs-E(Rs)) (Rm-E(Rm)) (Rm-E(Rm))^2
1 1/12/2023 103100 1121.99 0.68% 2.55% -2.71% 2.11% 0.0004444096671
2 1/11/2023 102400 1094.13 17.70% 6.41% 14.31% 5.97% 0.0035700611281
3 1/10/2023 87000 1028.19 -2.25% -10.91% -5.64% -11.35% 0.012886500056
4 1/9/2023 89000 1154.15 6.59% -5.71% 3.19% -6.15% 0.0037807295697
5 1/8/2023 83500 1224.05 9.29% 0.09% 5.90% -0.34% 1.184557104E-05
6 1/7/2023 76400 1222.9 6.70% 9.17% 3.31% 8.73% 0.0076243320358
7 1/6/2023 71600 1120.18 30.25% 4.19% 26.86% 3.75% 0.0014048268665
8 1/5/2023 54969.1 1075.17 -0.16% 2.48% -3.55% 2.04% 0.0004181291636
9 1/4/2023 55055.4 1049.12 4.59% -1.46% 1.20% -1.90% 0.0003594749551
10 1/3/2023 52639.2 1064.64 -11.59% 3.90% -14.99% 3.46% 0.0011982268557
11 1/2/2023 59542.7 1024.68 -6.50% -7.78% -9.90% -8.22% 0.0067613289868
12 1/1/2023 63684.8 1111.18 6.96% 10.34% 3.56% 9.90% 0.0097960645469
13 1/12/2022 59542.7 1007.09 -2.82% -3.94% -6.21% -4.38% 0.001918733599
14 1/11/2022 61268.5 1048.42 -13.20% 1.99% -16.60% 1.55% 0.000241529354
15 1/10/2022 70588.3 1027.94 11.60% -9.20% 8.20% -9.64% 0.0092922185147
16 1/9/2022 63253.3 1132.11 -19.45% -11.59% -22.84% -12.03% 0.0144657031814
17 1/8/2022 78527.3 1280.51 26.39% 6.15% 23.00% 5.71% 0.0032615712515
18 1/7/2022 62131.5 1206.33 -21.05% 0.73% -24.45% 0.29% 8.453277241E-06
19 1/6/2022 78699.9 1197.6 10.41% -7.36% 7.02% -7.79% 0.0060738247126
20 1/5/2022 71278.6 1292.68 -20.83% -5.42% -24.22% -5.86% 0.0034352473119
21 1/4/2022 90033.2 1366.8 4.26% -8.40% 0.87% -8.84% 0.0078125139876
22 1/3/2022 86351.3 1492.15 22.73% 0.14% 19.34% -0.30% 9.159948695E-06
23 1/2/2022 70358.2 1490.13 39.45% 0.76% 36.06% 0.32% 1.00519269E-05
24 1/1/2022 50453.1 1478.96 -12.47% -1.29% -15.87% -1.73% 0.0002984917284
25 1/12/2021 57644.2 1498.28 72.76% 1.34% 69.37% 0.90% 8.167501805E-05
26 1/11/2021 33366.9 1478.44 11.32% 2.37% 7.93% 1.93% 0.0003715982563
27 1/10/2021 29972.7 1444.27 9.57% 7.62% 6.18% 7.18% 0.005151925089
28 1/9/2021 27355.1 1342.06 15.41% 0.80% 12.02% 0.36% 1.27555268E-05
29 1/8/2021 23702 1331.47 10.01% 1.64% 6.62% 1.20% 0.0001432424509
30 1/7/2021 21544.7 1310.05 38.19% -6.99% 34.80% -7.43% 0.0055223026333
31 1/6/2021 15590.4 1408.55 8.84% 6.06% 5.44% 5.62% 0.0031621570979
32 1/5/2021 14324.8 1328.05 -7.78% 7.15% -11.17% 6.72% 0.0045095339454
33 1/4/2021 15532.9 1239.39 -11.33% 4.02% -14.72% 3.59% 0.0012861755819
34 1/3/2021 17517.6 1191.44 8.75% 1.97% 5.36% 1.53% 0.0002333579587
 RISK RETURN 11

35 1/2/2021 16108.2 1168.47 6.87% 10.59% 3.48% 10.15% 0.01029915428

36 1/1/2021 15072.6 1056.61 -18.13% -4.28% -21.52% -4.72% 0.0022273811963
37 1/12/2020 18409.3 1103.87 34.74% 10.05% 31.34% 9.61% 0.00923490111
38 1/11/2020 13663.2 1003.08 13.91% 8.39% 10.52% 7.95% 0.0063167470112
39 1/10/2020 11994.8 925.47 -13.13% 2.24% -16.52% 1.80% 0.000323979109
40 1/9/2020 13807 905.21 0.84% 2.67% -2.55% 2.23% 0.0004990977265
41 1/8/2020 13691.9 881.65 21.65% 10.43% 18.26% 9.99% 0.0099805586919
42 1/7/2020 11255 798.39 -7.27% -3.24% -10.67% -3.68% 0.0013517158229
43 1/6/2020 12137.7 825.11 -16.03% -4.55% -19.42% -4.99% 0.0024912990628
44 1/5/2020 14454.9 864.47 23.29% 12.40% 19.90% 11.96% 0.0143054370916
45 1/4/2020 11723.9 769.11 90.58% 16.09% 87.19% 15.65% 0.0244878869622
46 1/3/2020 6151.6 662.53 -47.03% -24.90% -50.42% -25.34% 0.0641994521195
47 1/2/2020 11613.6 882.19 22.74% -5.81% 19.35% -6.25% 0.0039056678648
48 1/1/2020 9461.9 936.62 -18.53% -2.54% -21.92% -2.97% 0.0008845504019
49 1/12/2019 11613.6 960.99 -21.75% -1.01% -25.14% -1.44% 0.0002084041313
50 1/11/2019 14841.1 970.75 -34.15% -2.81% -37.54% -3.25% 0.001055293993
51 1/10/2019 22537.5 998.82 -9.82% 0.23% -13.22% -0.21% 4.470374026E-06
52 1/9/2019 24992.6 996.56 2.95% 1.27% -0.44% 0.83% 6.922822997E-05
53 1/8/2019 24275.4 984.06 -8.33% -0.77% -11.73% -1.20% 0.0001451071811
54 1/7/2019 26482.3 991.66 -13.75% 4.39% -17.14% 3.95% 0.0015631297825
55 1/6/2019 30704.1 949.94 28.61% -1.04% 25.22% -1.47% 0.0002171965071
56 1/5/2019 23872.9 959.88 -0.98% -2.02% -4.37% -2.46% 0.00060284009
57 1/4/2019 24108.4 979.64 3.02% -0.11% -0.38% -0.55% 3.051566614E-05
58 1/3/2019 23402.1 980.76 -19.19% 1.58% -22.58% 1.15% 0.0001312105911
59 1/2/2019 28958.3 965.47 -10.09% 6.02% -13.48% 5.58% 0.0031154964065
60 1/1/2019 32207.3 910.65 -4.87% 2.03% -8.26% 1.59% 0.000253073373
61 1/12/2018 33855.3 892.54 -1.51% -3.67% -4.90% -4.11% 0.0016873848786
62 1/11/2018 34373.3 926.54 0.41% 1.29% -2.98% 0.85% 7.21746681E-05
63 1/10/2018 34232 914.76 -4.47% -10.06% -7.86% -10.50% 0.0110308938644
 RISK RETURN 12

64 1/9/2018 35833 1017.13 -0.39% 2.79% -3.79% 2.35% 0.0005522271975

65 1/8/2018 35974.2 989.54 2.14% 3.47% -1.25% 3.03% 0.0009168459939
66 1/7/2018 35220.8 956.39 -7.65% -0.46% -11.05% -0.90% 8.012633254E-05
67 1/6/2018 38140.2 960.78 -10.40% -1.08% -13.79% -1.52% 0.0002298877578
68 1/5/2018 42566.3 971.25
Average 3.39% 0.44%
Tổng

Cách 1 (tính toán theo các công thức của xác suất thống kê)
Hiệp phương sai của Cổ phiếu FRT với Chỉ số chứng kh (n=67 vì chỉ có 67 quan sát, mặc dù có 68 ngày)
#VALUE!
0.00653455 dùng hàm Covariance.S
Phương sai của Chỉ số chứng khoán
#VALUE!
0.00442431 dùng hàm Var.S
Hệ số Beta của DPM
1.47696371

Cách 2 (Dùng hàm tính có sẵn trong Excel)

Hệ số Beta của DPM
1.47696371

Cách 3 (Hồi quy OLS)

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.513669233
 RISK RETURN 13

R Square 0.263856081
Adjusted R S 0.256344409
Standard Erro 0.135486206
Observations 100

ANOVA
df SS MS F Significance F
Regression 1 0.644793448 0.644793448 35.12614219 4.61663770918843E-08
Residual 98 1.798938168 0.018356512
Total 99 2.443731616

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept 0.000297771 0.013553519 0.021969979 0.982516574 -0.0265987459991006 0.0271942870322 -0.026598745999 0.0271942870322
X Variable 1 0.897197049 0.151381432 5.926731156 4.61664E-08 0.596785523800383 1.1976085732029 0.5967855238004 1.1976085732029
 RISK RETURN 14

(Rs-E(Rs))*(Rm-E(Rm))
-0.000571207
0.008549015
0.006402868
-0.001963703
-0.000203063
0.002890852
0.010068086
-0.000725896
-0.000226938
-0.005187941
0.008138230
0.003526827
0.002720168
-0.002579253
-0.007907436
0.027474945
0.013132881
-0.000710750
-0.005469857
0.014197885
-0.000769589
-0.000585266
0.001143259
0.002741526
0.006268850
0.001528875
0.004432794
0.000429273
0.000792303
-0.025859843
0.003060122
-0.007501572
-0.005280124
0.000818248
 RISK RETURN 15

0.003529207
0.010155568
0.030120312
0.008358053
-0.002973216
-0.000570248
0.018240782
0.003921264
0.009694946
0.023802807
0.136439830
0.127762974
-0.012091289
0.006519488
0.003629294
0.012195783
0.000279439
-0.000036505
0.001412599
-0.006777781
-0.003717070
0.001072960
0.000020719
-0.002586484
-0.007524610
-0.001314175
0.002012876
-0.000253202
0.008256382
 RISK RETURN 16

-0.000889615
-0.000379733
0.000988904
0.002091044