Lecture 4
Portfolio management
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Portfolio management
Portfolio management: An overview
Portfolio Risk and Return: Part 1
Portfolio Risk and Return: Part 2
Basics of portfolio planning and construction
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management – An overview
1. FTSE Vietnam Index ETF
First ETF in Vietnam established by Deutsche Bank AG in
2008 with initial capital of USD 5.1 millions
Mimic FTSE Vietnam Index
FTSE Vietnam All-Share Index
FTSE Vietnam Index
FTSE Vietnam Index adding/Removal criteria: not based
on company fundamentals but market capitalization,
liquidity and foreign investors’ room
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Portfolio management – An overview
2. Market Vectors Vietnam ETF (VNM)
Established by Van Eck Global with initial capital of USD
14 millions
Mimic Market Vectors Vietnam Index (4asset-management
GmbH set up)
Adding/Removal criteria: similar to FTSE Vietnam Index
ETF
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Portfolio management – An overview
3. MSCI Frontier Markets Index ETF
MSCI Frontier Markets Index includes 147 stocks of 25
frontier markets
Vietnam is the 4th market of Asia to be included in the
index
Vietnam ticker included: GAS
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Portfolio management – An overview
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Portfolio management – An overview
4. iShares MSCI Frontier 100 Index Fund
Mimic MSCI Frontier Markets 100 Index
iShares MSCI Vietnam Investable Market Index Fund
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Portfolio management – An overview
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Portfolio management – An overview
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Portfolio management
Portfolio management: An overview
Portfolio Risk and Return: Part 1
Portfolio Risk and Return: Part 2
Basics of portfolio planning and construction
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
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MONEY- WEIGHTED RATE OF RETURN
• The money-weighted rate of return (MWRR) is the discount rate that equates a
project’s present value cash flows to its initial investment.
• It represents the expected compounded annual rate of return on the
project/investment.
• MWRR is used to determine the profitability of a project or investment and is
used interchangeably with the internal rate of return (IRR).
• The higher the money-weighted rate of return, the more valuable the project is,
likewise with the net present value. Any projects with a negative MWRR or NPV
should not be undertaken because they will incur a loss. When making a decision
whether or not to pursue a certain project, the MWRR is often compared to a
company’s cost of capital or hurdle rate.
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An investor comes across an investment opportunity with expected cash flows,
as shown below. To finance the initial investment of $500,000, the investor can
borrow at 6% interest. Should she invest?
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=> MWRR of 30%. Since her MWRR is greater than her cost of
capital (6%), the project is quite profitable and should be pursued
(with consideration of other factors).
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
Variance (Standard Deviation) of returns for an Individual Security
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• Take an example: Project Z Probility Returns
0.1 35
0.8 20
0.1 5
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Portfolio risk & return – Part 1
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Portfolio risk & return – Part 1
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• Tập dữ liệu view của 2 kênh truyền hình tại 1 thời điểm (20h - 21h thứ năm mỗi
tuần) trong 1 tháng là
• X = (50772, 73756, 74251, 77601)
• Y = (102492, 100406, 97762, 98191)
Tính covariance và correlation của X và Y?
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• Tập dữ liệu view của 2 kênh truyền hình tại 1 thời điểm (20h - 21h thứ năm mỗi tuần) trong 1 tháng
là
• X = (50772, 73756, 74251, 77601)
• Y = (102492, 100406, 97762, 98191)
Tính covariance và correlation của X và Y
• Ta tiến hành tính các thông số cơ bản
• Mean_X = (50772 + 73756 + 74251 + 77601)/ 4 = 69095.00
• Mean Y = 99712.75
• std_X^2 = ((50772 - Mean_X)^2 +(73756 - Mean_X)^2 +… ) / 4 = 114098405.5 => std_X =
10681.69
• std_Y = 1892.48
• Từ đó ta tính covariance và correlation
• Cov(X, Y) = ((50772 - 69095.00) * (102492 - 99712.75) + (73756 - 69095.00) * (100406 -
99712.75) + …) / 4 = -17673758.0
• Corr (X,Y ) = Cov(X, Y) / (std_X * std_Y) = -17673758.0 / ( 10681.69 * 1892.48) = -0.87
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Portfolio risk & return – Part 1
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Portfolio management
Portfolio management: An overview
Portfolio Risk and Return: Part 1
Portfolio Risk and Return: Part 2
Basics of portfolio planning and construction
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Portfolio risk & return – Part 2
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Portfolio risk & return – Part 2
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Portfolio risk & return – Part 2 Các NĐT cùng một kì vọng
về lợi nhuận, rủi ro, hệ số
tương quan giữa các tài
sản rủi ro, và cùng một
đường phân bổ nguồn
vốn, cùng một điểm danh
mục đầu tư tối ưu.
NĐT có thể vừa
cho vay ở lãi suất
phi rủi ro và vay
tiền tại lãi suất phi
rủi ro
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Portfolio risk & return – Part 2
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Portfolio risk & return – Part 1
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Các dạng bài tập của Portfolio Management
• Mô hình định giá tài sản vốn CAPM
• Tính Beta của chứng khoán
• Tỷ số Sharpe ratio
• Đánh giá chứng khoán
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