nh gi chng khon:M chng khon: DRC. Sn nim yt: HOSEVn th trng: 4,984,000,000,000 ngKhi lng ang lu hnh: 83,070,000cpM CKEPSP/EROAROE

HRC3,25414,18%11%

DRC4,23814,211%24%

SRC3,7698,713%22%

CSM4,9248,210%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.XY DNG DANH MC U TX 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).

T sut li tc hng ngy v t sut li tc hng thngp dng cng thc:

Trong : Rt l t sut li tc hng ngy ca chng khon.(%) Pt+1 l gi ng ca ca chng khon ngy t+1Pt l gi ng ca ca chng khon ngy t

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

T sut li tc trung bnh (cng chnh l t sut li tc k vng ) i vi KDC: E(R1) = i vi DRC: E(R2) =

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).Tnh lch chun Tnh cc gi tr cn thit phc v cho vic tnh ton nh sau:

Tnh phng sai theo cng thc = .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: KDCDRCVN-Index

E(Ri)3.826994.9167571.982049

85.8955573.4899228.14040

9.2679858.5726265.304753

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.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)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 >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: 0.401045Chng 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

Ch tiuC phiu KDCC phiu DRC

T sut li tc k vng3.826994.916757

lch chun9.2679858.572626

Hip phng sai31.863417

H s tng quan0.401045

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:

v t trng c phiu DRC: 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 .

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:

p dng cng thc: W2= 1 W1Ta c: W1= 0.435157W2= 0.564843Suy ra: E(Rp)= W1*E(R1) + W2*E(R2)= 4.442538

= 7.441496Danh mc c phng sai b nhtE(Rp)

0.435157

0.564843

4.442538

7.441496

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