QUN L U T

INVESTMENT MANAGEMENT
L t Ch
i hc Kinh T Tp.HCM
Portfolio
management
Money
management
Requires:
1
Investment objectives
Mc tiu u t
2
Investment vehicles (allocate fund)
Phng thc u t (phn b)
3
Way investment products are valued
Cch nh gi sn phm u t
4
Investment strategies
Chin lc u t
5
The best way to construct a portfilio
Cch tt nht xy dng danh mc
6
Techniques for evaluating performance
K thut nh gi thnh qu
Investment management process:
Setting
investment
objectives
Thit lp
mc tiu
u t
Establishing
an
investment
policy
Thit lp
mt chnh
sch u
t
Selecting an
investment
strategy
Chn la
mt chin
lc u
t
Constructing
the portfolio
Xy dng
danh mc
Measuring
and
evaluating
investment
performance
o lng
v nh
gi thnh
qu u t
Individual and institutional investors
Cc nh u t ring l v t chc
Setting investment objectives
Nh u t t chc
Qu hu
tr
Pension
fund
Cng ty
bo him
Insurance
company
Qu tng
h, qu
ng
Mutual,
closed-end
fund
B phn u t
ca doanh nghip -
Treasury
department of
corporation
.
Institutional investors
2 nhm nh u t t chc
Setting investment objectives
Nhng nh u t phi
p ng ngha v xc
nh theo hp ng
Meet
contractually
specified
liabilities
Nhng nh u t
KHNG phi p ng
ngha v xc nh theo
hp ng
Do not
Once the Investment objective is clearly defined
Mt khi mc tiu u t c xc nh r
Setting investment objectives
Thit lp mt danh mc
chun nh gi Establish a
benchmark
nh gi nhng chin
lc u t thay th
Evaluate
alternative
investment
strategies
Investment policy starts with the asset allocation decision
Chnh sch u t bt u vi quyt nh phn b ti sn
Establishing an investment policy
Common stock c phn thng
Bond tri phiu
Cash equivalents tng ng tin
Real estate bt ng sn
.
Cash equivalents are defined as short-term debt obligations that
have little ptice volatility - cc ngha v n ngn hn c gi t
bin ng
The asset allocation will take into consideration any
investment constraints or restrictions
Phn b ti sn c xem nh l cc rng buc hoc cc hn
ch ca bt k khon u t no
Establishing an investment policy
Constraints:
Client constraints khch hng
Regulatory constraints quy nh
Tax and accounting issues vn thu
v k ton
Portfolio strategies can be classified as either active or
passive
Chin lc danh mc c th c phn loi hoc nng
ng hoc th ng
Selecting a portfolio strategy
An active portfolio strategy uses available information
and forecasting techniques to seek a better performance
than a portfolio that is simply diversified broadly
Mt chin lc u t nng ng s dng nhng thng
tin c sn v nhng k thut d bo tm kim mt
thnh qu tt hn so vi mt danh mc ch n gin l
a dng ha rng ri
Portfolio strategies can be classified as either active or
passive
Chin lc danh mc c th c phn loi hoc nng
ng hoc th ng
Selecting a portfolio strategy
An passive portfolio strategy involves minimal
expectational input, and instead relies on diversification
to match the performance of some market index.
Mt chin lc u t th ng lin quan n yu t
u vo k vng ti thiu, thay v da vo vic a dng
ha ph hp vi thnh qu ca mt vi ch s th
trng
Given the choice among active and passive strategies,
which should be selected?
La chn chin lc no?
The answer depends on:
Selecting a portfolio strategy
1) The clients or money managers view of how
price-efficient the market
Quan im ca ngi qun l tin, ca khch hng v
tnh hiu qu ca gi
Given the choice among active and passive strategies,
which should be selected?
La chn chin lc no?
The answer depends on:
Selecting a portfolio strategy
2) The clients risk tolerance
Khu v ri ro ca khch hng
3) The nature of the clients liabilities
Bn cht ca khon n ca khch hng
The investor attempts to construct an efficient portfolio
Nh u t n lc xy dng mt danh mc hiu qu
An efficient portfolio :
Constructing the portfolio
1) The greatest expected return for a given level
of risk
T sut sinh li mong i cao nht vi cng mt
mc ri ro
2) The lowest risk for a given expected return
Ri ro thp nht vi mc t sut sinh li cho trc
To construct an efficient portfolio
xy dng mt danh mc hiu qu
The investor must be able to:
Constructing the portfolio
1) Quantify risk
nh lng ri ro
2) Provide the necessary inputs (expected return,
variance, correlation of asset returns)
Cung cp cc yu t u vo cn thit (t sut sinh li
mong i, phng sai v h s tng quan)
Performance measurement involves the calculation of the
return realized by a portfolio manager over some time
interval

o lng thnh qa lin quan vic tnh ton t sut sinh
li danh mc nh qun l qua khong thi gian
Measuring and evaluating performance
Performance evaluation is concerned with three issues:
nh gi thnh qa lin quan n 3 vn
Measuring and evaluating performance
1) Determining (benchmark)
Xc nh (xc nh danh mc ca nh qun l gia tng
gi tr hot ng tt hn danh mc chun)
2) Identifying
Nhn bit cch thc m nh qun l danh mc t c
t sut sinh li c tnh
3) Assessing (by skill or by luck)
nh gi thnh qu t c so vi danh mc chun
There are two approaches:
C 2 phng php
Measuring and evaluating performance
1) single-index performance measures
(m hnh o lng thnh qu n)
2) performance attribution models or return
attribution models
(m hnh ng gp thnh qu)
single-index performance measures

Measuring and evaluating performance
khng cho thy bng cch no hoc ti sao nh
qu l danh mc c th c kt qu cao hn hoc
thp hn danh mc chun
do not specify HOW or WHY a portfolio manager
may have outperformed or underperformed a
benchmark
single-index performance measures

Measuring and evaluating performance
Sharpe ratio


Information ratio

single-index performance measures

two major approaches to the investment process
Sharpe ratio


Information ratio

There are two general approaches to the valuation
process:
C 2 phng php ph bin nh gi
Investment decision process
(1) Phng php trn xung hay phng php 3
bc (the top-down, three-step approach)
(2) Hoc phng php t di ln hay phng php
nh gi, la chn c phiu (the bottom-up, stock
valuation, stock picking approach)

OVERVI EW OF THE I NVESTMENT PROCESS
Phn tch s thay i ca cc nn
kinh t v cc th trng chng
khon
Phn tch ngnh
Phn tch tng
cng ty c
bit v chng
khon
c
bit
VALUATI ON APPROACHES
Phng php nh gi c phn



K thut chit khu dng tin K thut nh gi tng i
Hin gi dng c tc (DDM) T s gi/thu nhp (P/E)
Hin gi dng tin hot ng t
do (OFCF)
T s gi/dng tin (P/CF)
Hin gi dng tin t do c phn T s gi/gi tr s sch (P/BV)
(FCFE) T s gi/doanh s (P/S)
NI DUNG CHNG TRNH
Bui 1: u t ti chnh - Qun l u t
Bui 2: Phn tch nn kinh t v th trng chng
khon
Bui 3: Phn tch ngnh
Bui 4: Phn tch cng ty Nhng nguyn tc
Bui 5: Phn tch cng ty v nh gi
Bui 6: Phn b ti sn
Bui 7: Xy dng danh mc u t
Bui 8: Tho lun v gii p
PHNG PHP NH GI
Thi kt thc hc phn: 50%
nh gi qu trnh: 50%, trong :
- Bi trnh by: 30%
- Kim tra: 20%
- Bi nghin cu: 50% - Paper do ging vin
ng lp cung cp
Thi kt thc hc phn: trc nghim
PHNG PHP HC
c ti liu, chun b bi thuyt trnh
Tm hiu v thc trng kinh t VN v th gii
Gii quyt cc cu hi t ging vin
Theo di din bin th trng ti chnh
c bi nghin cu do ging vin cung cp
TI LIU THAM KHO
Sch trong nc
TI LIU THAM KHO
Sch nc ngoi
TI LIU THAM KHO
Mt s website:
http://krugman.blogs.nytimes.com/
http://blogs.reuters.com/scott-barber/
http://ftalphaville.ft.com/

TI LIU THAM KHO
Thng tin kinh t mt s th trng


The End