NGHIEN CUrU CHlTNG KHOAN & THI TRUdNG CHUTNG KHOAN
XAY DUNG DANH MUC DAU TU CHUNG KHOAN TOI Ull TREN TTCK VIET NAM
. I N H T H S . L E PHU"OI>JG D U N G , N G U Y E N T H | M Y l_i
Niid dau tu truac klii quyet djnti bo tien vdo bat i<y tai sdn nao deu phdi co nhung phdn tich ky luang ve rOi ro cung nhu ty suat sinh loi. Anh ST
N
gay nay, ddi vdi cac qudc gia cd nen kinh te van h a n h theo cff che t h i trudng thi vai trd ciia thi trudng chiing khoan (TTCK) la vd ciing quan trpng. TTCK la kenh thu hiit cac ngudn vdn dau t u nhan rdi trung va dai ban trong nen kinh te, la tien de cho cdng cudc cd phan hda (CPH) doanh nghiep n h a nudc (DNNN) d nudc ta. TTCK Viet Nam da ra ddi each day hffn 12 n a m va dang trff nen hap dan ddi vdi nha dau t u trong nudc Cling n h u nudc ngoai. Tuy nhien khdng it, cac n h a dau t u trong nudc Men nay dau t u hoac theo cam tinh hoac theo sd ddng va dudng n h u van chua nhan biet het cac n i i ro khi t h a m gia vao thi trudng nay. Trong khi dd, tai cac TTCK phat trien, nha dau t u trudc khi quyet dinh bd tien vaobat ky tai san nao ciing deu cd nhiing phan tich ky luffng ve nii ro Cling n h u ty suat sinh Idi. Bdi le viec xac dinh nii ro ciing n h u tim r a Idi giai dap cho cau hdi "lam the nao de dau t u hieu qua?" khdng phai la de dang.
Vi vay, tac gia tren cff sd iing dung ly thuyet danh muc dau t u Markowitz de xay dung danh muc
0 < Cac chiing khoan
Duong bien phuong sai nho nbat
dau t u tdi u u tren TTCK Viet N a m nham phan nao giiip eac nha dau t u bdt liing tiing trudc nhieu thdng tin thi trudng va cd the t u thiet lap mot danh muc dau t u tdi u u tuffng ling vdi miic dp ngai n i i ro ciia ban than.
Ly thuyet d a n h muc d d u t v cua M a r k o w i t z v d lua chpn d a n h muc d d u t u chung khodn
Ly thuyit danh muc ddu tu cua Markowitz
Md hinh Markowitz dupc diia tren mot sd gia thiet chinh lien quan den hanh vi ciia nha dau tu nhu sau:
Dau t u trong mot khoang thdi gian dffn nghia la cae nha dau t u cd ciing chu ky dau tU la mot thang, sau thang hay mot nam va cac n h a dau t u khdng tai dau tu trong khoang thdi gian nay.
- Quyet dinh dau t u dupc diia tren ty suat Igi tiic ky vpng va rui
ro cua dau t u (dupc do ludng bdi phuffng sai hoac do lech chuan ciia ty suat Igi tiic).
0 mot miic nii ro dugc xac dinh trudc, nha dau tu se thich dau t u mang lai ty suat Ipi tiic ky vpng cao hffn.
Tuffng tu, d mot miic ty suat Ipi tiic ky vpng dupc xac dinh trudc, nha dau t u se thich dau t u cd nii ro thap hffn.
Vdi nhiing gia thiet nay, mot tai san dau t u hoac mot
CHUNG KHOAN VIET NAM Sd 167 - Thing 9/2012
NGHIEN CUtJ CHUTNG KHOAN & THI
T R U O N G C H U N GKHOAN ; ~ | J', | " " ,
danh muc cac tai san dau t u dupc xem la hieu qua neu khdng cd bat ky tai san hoac danh muc dau t u nao khae cd ciing miic nii ro (hoac nii ro thap hofn) nhung lai ed ty suait loi tiic ky vpng cao hofn; hoac cd cung ty suat loi tiic ky vpng (hoac ty suat loi tdc ky vpng cao hffn) nhung lai cd nii ro thap hffn.
Dudng cong tap hpp cac danh muc dau t u vdi dp lech chuan nhd nhat nay tren dd thi dupc gpi la dudng bien phuffng sai nhd nhat.
Tren dudng bien phucmg sai nhd nhat, diem A the hien cho danh muc dau t u cd dp lech chuan nhd nhat so vdi dp lech chuan ciia tat ca cac danh muc dau t u cd the dupc tao thanh tii n chiing khoan.
Phan tren ciia dudng bien phuofng sai nhd nhait (phan AB) the hien cho eac danh muc dau t u hieu qua, dupc gpi la dudng bien hieu qua (efficient frontier). Cac danh muc dau t u nSm tren dudng bien hieu qua la nhiing danh muc cung cap cac CP hdi nii ro - Ipi tiic tdt nhat so vdi tat ca cac danh muc
(jJ Trong tinh hinh cua TTCJC Viet Jfam hien nay, viec dp dung md hinh Markowitz ndi rieng vd cdc ly thuyet ddu tu hien dai ndi chung vdo viec xdy dung vd quan ly danh muc ddu tu vdn cdn khd mdi me, chua thai su chuyen nghiep vd con nhieu han cherTi
=m= t^
dau t u ed the dupc tao thanh tii n chiing khoan. Nha dau t u ed the chpn bait ky danh muc nao tren dudng bien hieu qua nay, tiiy thudc vao he sd ngai nii ro ciia chinh nha dau t u dd.
Tdm lai, Idi giai cho md hinh Markowitz xoay quanh van de xac dinh ty trpng ciia mdi tai san trong danh muc dau tu. Bdi vi ty suait Ipfi tiic ky vpng, dp lech chuan ciia mdi tai san, he sd tUffng quan giiia cac tai san dupc xem la dau vao ciia md hinh Markowitz, ty trpng ciia mdi tai san trong danh muc dau t u la bien sd can phai giai quyet de tim r a danh muc dau t u hieu qua.
Lira chon danh muc ddu tu toi uu
- Tradng hop khdng tdn tai tai san phi nii ro: Cac nha dau t u ludn mudn tdi da hda gia tri hiiu dung cd the cd tii cac cP hdi dau t u sSn cd. Hay ndi each khae, cac dudng cong hum dung cao hffn ludn dupc mong mudn hem cac dudng cong hiiu dung thap hem.
Ket hpp hai yeu td nay lai vdi nhau, danh muc dau t u tdi uu cu the ma nha dau t u se chon la danh muc niim tren dudng bien hieu qua va tai dd dudng bien hieu qua tiep xiic vdi dudng cong hiiu dung.
Tren do thi, X la danh muc dau t u tdi uu ma nha dau t u cd he sd ngai nii ro A2 se chpn. Trong khi dd, Y la danh muc dau t u tdi uu ma nha dau t u cd he sd ngai nii ro A I se chpn.
- Tradng hap tdn tai tai san phi rdi ro: Gia thiet tdn tai tai san phi nii ro ddng vai trd quan trpng trong ly thuyet dinh gia tai san.
Tai san phi nii ro la tai san mang lai mot ty suat loi tiic ky vpng chac chan. Do vay, dp lech chuan ciia ty
suat Ipi tiic tren tai san phi nii ro bang khdng ( = 0). Tuffng tu, hiep phuffng sai (hay he so tUffng quan) giiia tai san phi nii ro vdi bait ky tai san nii ro hay danh muc cac tai san dau t u nii ro ciing bang khdng. iEChi ket hpp mot tai san phi nii ro vdi mot danh muc cac tai san dau t u nii ro, ty suat Ipi tiic ky vpng ciia danh muc dau t u mdi nay dupc xac dinh n h u sau:
E(RJ = yE(R,) + (l-y)R, E ( R , ) - R , E ( R , ) = R , + a e
Trong dd:
E(Rc): Ty suat loi tiic ky vpng ciia danh muc dau t u ket hpp giua tai san phi nii ro va danh muc cac tai san nii ro.
E(Rp): Ty suat Ipi tiic ky vpng ciia danh muc cac tai san nii ro.
Rf: Ty suat Ipi tiic phi nii ro.
y: Ty trpng ciia danh muc cae tai san nii ro trong danh muc ket hgfp.
sd 167 - Thing 9/2012 CHUNG KHOAN VIETNAM
r ^ i i i iiliii'r'ill NGHIEN CUrU CHUTNG KHOAN & THI TRUdNG CHLTNG KHOAN
He sd gdc ciia cdng thiic tren cdn gpi la he sd Sharp - la ty le phan thudng tren nii ro eiia danh muc dau t u nii ro.
E ( r p ) -
Ddi vdi nha dau tu, he sd nay cang cao cang tdt, do dd nha dau t u se chpn danh muc dau tU nham tdi da hda he sd Sharp.
Cac danh muc dau t u nam tren dudng RfM cung cap cff hdi nii ro - Igi tiic tdt hem bat ky danh muc nao tUffng iing nkm dudi diem M. Dudng RfM dai dien cho tap hpp cae danh muc dau t u hieu qua ma nha dau t u cd the lua chpn.
Xdy dung dubng bien hieu qud vd lua chon danh muc ddu tu chung khodn tdi uu tren TTCK Viet Nam
Quy trinh thuc hien:
Budc 1: Lua chpn chiing khoan va thu thap dii lieu.
Budc 2: Tinh toan ty suait sinh loi qua khii ciia cd phieu.
Budc 3: Tinh Ipi nhuan ky vgng, nii ro ciia cd phieu va ty suait sinh Idi trung binh.
Budc 4: Tinh ma tran hiep phucmg sai va ma tran he sd tuemg quem.
- Budc 5: iXay dung dudng bien hieu qua.
- Budc 6: Lua chpn danh muc dau tu.
Dii lieu nghien cUu
Tren cff sd nhiing gi da phan tich d tren, chpn dupc 6 cd phieu thudc cac nganh nghe khae n h a u cho a bang sau:
Kit qud nghien ciiu
Xay dang dadng bien hieu qua Qua tinh toan, ta thay tait ca cd
s
TT 1 2 3 4 5 6
Ma CK ABT DHG HSI TRC VNM VSC
«iiii'i,iriiiriiiii\rifiiiii'«ii n H^fii
Ten Cong ty CtyCP Xuat nhgp khau Thuy son Ben Tre CtyCP Dupt; Hau Giang
TCtyCP Vgt tu Tong hop va Phan bon Hoa sinh CtyCP Cao su Toy Ninh
CtyCP Sira Viet Nam CtyCP Container Viet Nam
jJ^EMyyiMBS
Co phieu Ty suat loi tiic ky vpng Phuong sai Co loch chudn
HM^niESIiHBi
ABT 0,0257 0,0104 0,1021
DHG 0,0133 0,0054 0,0733
Nganh nghe Vat heu xay dimg Dinn:
Phon bon Cao su tu nhien Bat dong sdn Ha tang cang bien
TgR^TjFlillfilRuiF
HSI 0,0058 0,0098 0,0990
TRC 0,0085 0,0178 0,1333
I'jjiJilM'iBJMi
VNM 0,0319 0,0085 0,0806
VSC 0,0168 0,0079 0,0888 phieu dupc chpn deu cd lai
sua't binh quan t h a n g duffng va dao ddng trong khoang 0,58% den 3,19%/thang, cao nhait la cd phieu VNM vdi ty suait Ipi tiic ky vpng la 3,19%, tiep den la cd phieu ABT vdi ty sua't Ipi tiic ky vgng la 2,57% va thap nhait la cd phieu HSI vdi 0,58%. Cd phieu cd nii ro thap nhait tiic la cd phuffng sai va do lech chuan nhd nhat la ed phieu DHG, vdi phuffng sai la 0,54% va dp lech chuan la 7,33%, cd phieu cd phuffng sai va dp lech chuan Idn nhait la TRC vdi phuffng sai va dp lech chuan lan lupt la 1,78% va 13,33%.
Dudng tap hffp eac cff hdi dau t u CAB hay edn gpi la dudng phuffng sai be nhait cho thay cac ket hgfp khae nhau gida cac chiing khoan trong tap 6 loai ehiing khoan dupc chpn. Nha dau t u cd the' dat dupc bait ky mot diem nao ben trong hoac ben tren dudng CAB nay bang each xay dung cae danh muc ket hpp giiia cae chiing khoan hoac vdi danh muc cd cac chiing khoan gidng n h a u nhung khae nhau ve ty trpng tiing loai.
Nhung cac nha dau t u deu mong mudn tang ty suait sinh Ipi va
JCspjgBcmxiiTrtTifl^^
ABT DHG HSI VNM VSC
Ty sudt loi tiic ky vgng tren danh muc dau tu Phuong sai
Do lech chudn
10,32%
37,44%
24,47%
19,12%
8,65%
0,0166 0,0036 0,0599 giam thieu nii ro nen hp se chpn dau t u vao cae danh muc nam tren doan AB (A' la danh muc ed phuffng sai be nhait).
AB chinh la dudng bien hieu qua theo Markowitz vi bait cii danh muc nao nam tren doan AB Cling chiem liu the hffn cac danh muc khae nkm dudi doan nay.
Cac danh muc thudc doan AB la cac danh muc hieu qua vi nd se eho dp lech chuan thaip hffn eac danh muc khae cd cung ty suat sinh Ipi vdi nd nhung d ben dudi doan AB hoac cho ty suait sinh loi cao hffn cac danh muc khae cd Cling dp lech chuan vdi nd ma nam dudi doan AB.
Xdc dinh danh muc ddu tu tdi uu khi khong tdn tai tdi sdn phi nii ro
Dudng bien hieu qua bao gdm tap hffp eac danh muc dau t u hieu qua ma nha dau t u cd the chpn de tien hanh dau tu. Viec chpn mot
CHUNG KHOAN VIETNAM Sd 167- Thing 9/2012
N G H I E N C U r u CHUTNG K H O A N & T H I T R U d N G C H U T N G K H O A N
(Ci^iMi3CEaigt^[^pj:i>
1)1 < ) N ( , I ' l l l ( ) N ( . N \ l l!K M I A I
1 D-jnhmu • c. pi.
"^
\
...1
i r K!>'
i ^ B
1)11 mi y U.J. bi,., „ „ . ,
C
A
1 2 3 4
E(R)
3,19 3,18 3,12 3,09
o
8,06 7,97 7,65 7,53
Gid In huTj dung
2,87 2,54 2,24 1,95
Ty Irgng Ironq danh muc
ABT
2,24 12,01 16,89
DHG HSI TRC VNM 100 97,76 87,99 83,11
VSC
(Don VI tinh: %)
•^«]i3n!tSii^HLIuCjiiiTiEciI^
A E(R,)
Gin In him dung Y ! ' 1-Y
R,
Ty trong co phieu trong danh muc P
mmmimsmimm^
1 0,0869 0,0281 367%
-267%
2 0,0484 0,0252 183%
-83%
3 0,0356 0,0224 122%
-22%
4 0,0292 0,0195 92%
8%
1%
15,56% ABT, 84,44% VNM
danh muc dau t u hieu qua nao dd t u dudng bien hieu qua la tiiy thudc vao he sd ngai nii ro ciia nha dau tu. Tuy nhien, muc dich cudi Cling ciia cac nha dau t u deu nham tdi da hda gia tri hiiu dung.
Khi thay ddi he sd A tii 1 den 4 thi ty suait Ipi tiic va dp lech chuan ciia danh muc giam dan, gia tri ham huu dung ciing giam theo.
Trong dd ta thay iing vdi miie dp ngai nii ro A = l thi danh muc chi bao gdm cd phieu VNM cd ty suat Iffi tiic va dp lech chuan Idn nhat lan lUfft la 3,19% va 8,06%. Cdn ddi vdi miic dp ngai nii ro cao nhat A=4 thi danh muc bao gdm 2 cd
J phieu ABT va VNM vdi ty suat Iffi tiic va do lech chuan t h a p n h a t lan lupt la 3,09% va 7,53%.
Xdc dinh danh muc ddu tu tdi uu khi tdn tai tdi sdn phi rui ro
Danh muc dau tu rui ro toi uu la danh muc tai dd he sd gdc dudng CAL (he sd sharp) la Idn nhait.
Su khae biet giiia ty trpng dau t u vao tai san nii ro va phi nii ro giufa cac nha dau t u khae nhau phu thudc vao miic do ngai nii ro ciia tiing nha dau tu. Tuy nhien, muc dich cudi cCing ciia cae nha dau t u deu nham tdi da hda gia tri hiiu dung.
NgupC lai vdi tai san nii ro la cac chiing khoan cd ty suait sinh Iffi khdng chac c h i n va dupc do ludng bang phuofng sai hoac dp lech chuan thi tai san phi nii ro cd ty suat sinh Idi chac chan nen dp lech chuan ciia nd bang 0. O day, trai phieii chinh phii (TPCP) do Kho bac Nha nudc cap se dugc chpn lam chiing khoan phi nii ro vdi lai suat 12%/nam (tUffng duffng 1%/thang). Vdi gia dinh la nha dau t u cd the di vay va cho vay vdi lai suat phi nii ro bang lai suat TPCP.
Td bang tinh toan tren, ta nhan thay khi he sd ngai nii ro A cang cao thi ty trpng dau t u vao tai san phi nii ro cang cao va ngupe lai.
Ket luqn:
- Viec nghien ciiu iing dung cac ly thuyet dau t u tai chinh hien dai vao TTCK Viet Nam trong giai
doan hien nay la mot viec het siic quan trpng va cap thiet. Hffn niia, da cd nhieu nghien ciiu tren the' gidi trong viec iing dung cac ly thuyet dau t u tai chinh vao TTCK dac biet la cac nghien ciiu thuc nghiem tren cac TTCK mdi ndi da cho nhiing ket qua cd y nghia vd ciing thiet thuc. Dieu dd cang khang dinh them tinh diing dan va tinh thuc nghiem ciia cac md hinh.
- Tuy nhien, TTCK Viet N a m cho dii phat trien kha n h a n h thdi gian qua song van cdn non tre va nhieu bien dong. Dang chii y la phan Idn cac nha dau t u ca n h a n chiem khoang 90% so luffng tai khoan dang ky va khoang 70% gia tri giao dich.
Nhiing nha dau t u nay thudng la ngudi it kinh nghiem va thieu kien thiic ve chiing khoan. Hp ehii yeu dau t u theo t a m ly dam ddng va eiing la ngudi de bi t h u a Id n h a t khi thi trudng cd nhiing dfft dieu chinh. Trong tinh hinh ciia TTCK Viet N a m hien nay, viec a p d u n g md h i n h Markowitz ndi rieng va cac ly thuyet dau t u hien dai ndi chung vao viec xay dung va quan ly danh muc dau t u van cdn k h a mdi me, chua t h a t su chuyen nghiep va edn nhieu b a n che. ®
T d i l i e u t h a m k h a o
TS. Vo Ihj Ihuy Anh (chu bien), HiS. le Phuong Dung, ThS. Dgng Huu Man, (2012), Giao Wnh dau tu tai chinh, Nha xuat ban Tai chinh.
Markowitz Hony, (1952), Portfolio Selection, loumol of finance, vol 7, issue 5, pp.867-887
Cac trang web
Oy ban Chung khodn Nhd nudc : http://www.ssc.gov.vn.
• Sdf Giao djch Chung khodn Tp. Ho Chi Minh:
littp://www.hsx.vn.
• Dl? lieu CO phieu :http://www.cophieu68.com.
sd 167 - Thing 9/2012 CHUNG KHOAN VIETNAM
