Tieuluan LTDT BSG

8/4/2019 Tieuluan LTDT BSG

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BO GIAO DUCTRNG AI HOC M TP HO CH MINH

KHOA SAU AI HOC-------------------------------

MON HOC

LY THUYET AU T

e tai:

XY DNG DANH MCU T TI CHNH

BLUE STARS GROUP

NM 2008

GVHD: TS.V TH QU

LP: MBA5

BLUE STARS GROUP - BSG:

- L NGC THNG

- NG THANH TON

- O MINH TUYN

- CAO TR NHN

MC LC

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I. GII THIU TI

I.1. MC TIU NGHIN CU

I.2. PHM VI NGHIN CU

II. C S L THUYT

III. PHNG PHP NGHIN CU

IV. TNG QUAN V TH TRNG

IV.1. PHN TCH TNH HNH KINH T TH GII

IV.2. PHN TCH TNH HNH KINH T VIT NAM

IV.3. TNG QUAN TTCK

V. HOCH NH DMT

V.1. LP DANH MC TH TRNG

V.2. PHN TCH TNG QUAN

V.3. XC NH DMT

V.4. XC NH T L CP TRONG DMT

V.5. PHN TCH C BN

V.6. CHIN LC U T

VI. KT LUN

I. GII THIU TI

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I.1. MC TIU NGHIN CU

Th trng chng khon Vit Nam ra i nm 2003 vi rt it sn phm nh REE,

SAM, .v r rng nh u t khng c nhiu chn la cho ci r u t ca mnh. Vic

ng dng cc l thuyt qun l danh mc u t cng khng th p dng c. Tuy nhin

sau hn 4 nm hot ng, th trng chng khon Vit Nam tr nn si ng hn, c bit

vi s kin Vit Nam gia nhp t chc thng mi quc t WTO l n by thc y s tng

trng ca th trng ny, hin c hn hng trm doanh nghip ln sn v hng ngn

doanh nghip ang th trng OTC. iu ny r rng to c tnh a dng trong vic

la chn chng khon u t, nh u t c nhiu c hi hn trong vic thuyt lp v qun l

danh mc u t hiu qu theo hng ti hiu qu ri ro v ti a ho li nhun. Vic nghin

cu v p dng cc l thuyt v m hnh v u t chng khon nc ngoi nh CAPM

ca William Sharpe v m hnh APT ca (Arbitrage pricing theory) ca S.A Ross v ang

c thc hin tht nghim tc v cng ngy cng c nhn rng.

Nhn thc c iu ny, nhm Blue Star chng ti vn dng m hnh CAMP v l

thuyt danh mc Markowitz d bo t sut sinh li v ri ro trn th trng chng khon

Vit Nam vi ti XY DNG K HOCH U T TI CHNH BLUE STARS

GROUP N NM 2008 vi cc mc tiu:

- Ti thiu ha ri ro cho NT khi u t trn th trng chng khon ti Vit

Nam.

- Gia tng li nhun cho NT khi u t trn th trng chng khon ti Vit Nam.

- a ra DMDT ti u

Quy m vn d kin u t: 50 t VN u t vo cc c phiu, tri phiu trong nc,

trn sn giao dch chng khon (th trng NY) hoc ngoi sn giao dch (th trng OTC)

v k vng li nhn t 15%-20%.

I.2. PHM VI NGHIN CU

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Phm vi ti nghin cu l cc c phiu, tri phiu nim yt trn sn giao dch chng

khon HCM v H Ni hoc th trng OTC vi quy m vn 50 t VN. Nghin cu u t

ch yu vo:

C phiu nim yt;

C phiu cha nim yt (OTC);

Tri phiu chnh ph;

Tri phiu cng ty;

D liu nghin cu l d liu th cp ly t cc trang web chng khon trn Internet.

II. C S L THUYT U T

Tt c cc quyt nh u t u c cn nhc di gc ri ro v t sut sinh limong i v nhng tc ng ca chng trn gi chng khon (lun bin i) cng nh kt

qu ti chnh cui cng t c trong quyt nh u t. mt s quc gia c th trng

chng khon pht trin, t rt lu nh u t bit p dng nguyn tc khng b trng vo

cng mt r, thng qua m hnh qun l danh mc u t hiu qu kt hp l lun c lin

quan n ri ro v t sut sinh li mong i (M hnh nh gi ti sn vn - CAMP) v l

thuyt nh gi chnh lch (APT) la chn tp hp chng khon hiu qu nht. t

c mc tiu ti a ha li nhun ca danh mc, nh u t phi nh gi da trn hai yu

t quan trng: l ri ro v t sut sinh li.

Ri ro c xem nh l kh nng xut hin cc khon thit hi v ti chnh. Nhng

chng khon no c kh nng xut hin nhng khon l ln c xem nh c ri ro cao hn

chng khon c kh nng xut hin nhng khon l thp hn. V vy, ri ro c m t bng

s bin i ca cc t sut sinh li ca chng khon trong thi k nghin cu.

T sut sinh li ca chng khon chu tc ng ca rt nhiu yu t ri ro, nhng yu t

ny c th b trit tiu hon ton thng qua vic kt hp danh mc u t hiu qu ca nhiu

chng khon c gi l ri ro khng h thng, phn li nhun mong i b p cho loi

ri ro ny chnh l phn b ri ro chng khon x (Xm Xf). Loi ri ro khng th trit tiu

c gi l ri ro h thng, phn li nhun mong i tng ng vi loi ri ro ny chnh l

t sut sinh li phi ri ro Xf

II.1. CC T S TI CHNH

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Ch s P/E (Gi th trng / LNST)

Phn tch ch s P/E phn nh mi quan h gia th gi (gi th trng c phiu hin

hnh) c phiu vi li nhun sau thu trong mt nm ca cng ty. P/E gp bao nhiu ln th

ph hp cn ty thuc vo thng hiu cng ty, ngnh ngh kinh doanh, mi trng tc ng

bn ngoi

Phn tch EPS

Phn tch EPS nhm nh gi hon ton kh nng ni ti ca cng ty v kh nng to ra

li nhun rng (li nhun c th dng chi tr cho c ng) trn mt c phn m c ng

ng gp vn ch khng t vic ln hay xung gi c phiu cng ty trn th trng chng

khon.. Ch s EPS cng cao th cng ty to ra li nhun c ng cng ln v ngc li.

Phn tch doanh li vn ch s ha ROE (LNST/VCSH)

Cn phn tch dupont thy r hn s bin ng ca ROE l ch yu do doanh li

tiu th hay dng quay ti sn, ch s no bin ng ln hn. Phn tch ROE nhm tm ra kh

nng sinh li t ng vn ch s hu. Phn tch ROE nhm tm ra t l sinh li ca n

quyt nh u t vo cng ty c cng ngnh ngh nhng c ROE ln hn .

Phn tch ch s Yield u t chng khon

Phn tch Ch s Current Yield (T sut thu nhp trn thi gi c phn) nhm phn nh

mi quan h gia c tc nh u t nhn c t cng ty vi gi c phiu m nh u t muavo. Current Yield l t l c tc m c ng nhn c trn gi chng khon m c ng

mua vo

Phn tch Ch s NAV (Net Asset value)

Phn tch Ch s NAV c lin quan mt thit n vic xc nh gi tr ti sn cng ty v

ti sn c ng. T nh u t s khng b nhm ln gia v b th bn ngoi v bn cht

ti sn tht bn trong ca cng ty.

II.2. NH GI TRI PHIU V C PHIU

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II.2.1 nh gi tri phiu

II.2.1.1 nh gi tri phiu c k hn c hng li

Tri phiu c k hn c hng li (nonzero coupon bond) l loi tri phiu c xc

nh thi hn o hn v li sut c hng qua tng thi hn nht nh. Khi mua loi tri

phiu ny nh u t c hng li nh k, thng l hng nm, theo li sut cng b

(coupon rate) trn mnh gi tri phiu v c thu hi li vn gc bng mnh gi khi tri

phiu o hn.

Tnh gi ca tri phiu, bng hin gi ton b dng tin thu nhp t tri phiu trong

tng lai, c xc nh nh sau:

o I l li c nh c hng t tri phiu

o V l gi ca tri phiu

o kd l t sut li nhun yu cu ca nh u t

o MV l mnh gi tri phiu

o n l s nm cho n khi o hn

II.2.1.2 nh gi tri phiu c k hn khng hng liTri phiu k hn khng hng li (zero-coupon bond) l loi tri phiu khng c tr

li nh k m c bn vi gi thp hn nhiu so vi mnh gi. Ti sao nh u t li mua

tri phiu khng c hng li? L do l khi mua loi tri phiu ny h vn nhn c li

tc, chnh l phn chnh lch gia gi mua gc ca tri phiu vi mnh gi ca n.

Phng php nh gi loi tri phiu ny cng tng t nh cch nh gi loi tri

phiu k hn c hng li, ch khc ch li sut y bng khng nn ton b hin gi

ca phn li nh k bng khng. Do vy, gi c ca tri phiu khng hng li c nh

gi nh l hin gi ca mnh gi khi tri phiu o hn.

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)()()1()1(

....)1()1(

,,21 nknkn

d

n

ddddd

PVIFMVPVIFAIk

MV

k

I

k

I

k

IV +=

++

+++

++

+=

)()1(

,nkn

dd

PVIFMVk

MVV =

+=


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II.2.1.3 nh gi tri phiu tr li bn nin

Thng thng tri phiu c tr li hng nm mt ln nhng i khi cng c loi tri

phiu tr li bn nin, tc l tr li mi nm hai ln. Kt qu l m hnh nh gi tri phiu

thng thng phi c mt s thay i thch hp nh gi trong trng hp ny.

II.2.1.4 Li sut u t tri phiu

Nu bit trc gi tri phiu v cc yu t khc nh li hng nm c hng, mnh

gi hoc gi thu hi tri phiu trc hn v thi hn ca tri phiu chng ta c th xc nh

c t sut li nhun hay li sut u t tri phiu.

o Li sut u t lc tri phiu o hn (Yield to maturity)

o Li sut u t lc tri phiu c thu hi (Yield to call)

i khi cng ty pht hnh tri phiu c km theo iu khon thu hi (mua li) tri phiu

trc hn. iu ny thng xy ra nu nh cng ty d bo li sut s gim sau khi pht hnh

tri phiu. Khi y cng ty s thu hi li tri phiu pht hnh vi li sut cao v pht hnh

tri phiu mi c li sut thp hn thay th v nh u t s nhn c li sut cho n

khi tri phiu c thu hi (YTC) thay v nhn li sut cho n khi tri phiu o hn

(YTM). Cng thc tnh li sut tri phiu lc thu hi nh sau:

Trong n l s nm cho n khi tri phiu c thu hi, Pc l gi thu hi tri phiu v

kd l li sut khi tri phiu c thu hi. Nu bit gi ca tri phiu (V) v gi khi thu hi

tri phiu (Pc) v li sut hng nm (I) chng ta c th gii phng trnh trn tm li sut

khi tri phiu c thu hi (kd = YTC).

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)())(2/()2/1()2/1(

2/2,2/2,2/2

2

1

nknkn

d

n

tt

ddd

PVIFMVPVIFAIk

MV

k

IV +=

++

+=

=

)()()1()1(

....)1()1(

,,21 nknkn

d

n

ddddd

PVIFPcPVIFAIk

Pc

k

I

k

I

k

IV +=

++

+++

++

+=


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II.2.2 nh gi c phiu

II.2.2.1 nh gi c phiu u i

C phiu u i l loi c phiu m cng ty pht hnh cam kt tr t l c tc c nh

hng nm v khng c tuyn b ngy o hn. R rng loi c phiu ny c nhng tnh cht

ging nh tri phiu vnh cu. Do , m hnh nh gi tri phiu vnh cu c th p dng

nh gi c phiu u i. Gi c phiu u i c xc nh theo cng thc sau:

V = Dp/kp ,

trong Dp l c tc hng nm ca c phiu u i v kp l t sut chit khu thch

hp.

II.2.2.2 nh gi c phiu thng

C phiu thng cn gi l c phiu ph thng. Ngi mua c phiu thng c chia

li nhun hng nm t kt qu hot ng ca cng ty v c s hu mt phn gi tr cng

ty tng ng vi gi tr c phiu h ang nm gi.

Khi nh gi tri phiu v c phiu u i chng ta thy rng gi tri phiu v c phiu

u i chnh l hin gi ca dng tin t thu nhp to ra cho nh u t. Tng t, gi c

phiu thng cng c xem nh l hin gi dng tin t thu nhp to ra cho nh u t t

c phiu thng. Do , m hnh nh gi c phiu thng ni chung c dng nh sau:

Trong Dt l c tc c chia thi k t v ke l t sut li nhun i hi ca nh

u t. Tuy nhin m hnh ny ch ph hp vi tnh hung nh u t mua c phiu v gi

mi mi hng c tc. Nu nh u t mua c phiu v ch gi n 2 nm sau bn li

vi gi l P2, th gi c phiu s l:

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=

+=

+++

++

+=

12

2

1

1

)1()1(...

)1()1( tt

e

t

eee k

D

k

D

k

D

k

DV

2

2

2

2

1

1

)1()1()1(eee k

P

k

D

k

DV

++

++

+=


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* M hnh chit khu c tc - DCF

M hnh chit khu c tc c thit k tnh gi tr l thuyt (intrinsic value) ca c

phiu thng. M hnh ny c Merrill Lynch, CS First Boston v mt s ngn hng u t

khc s dng vi gi nh: (1) bit c ng thi tng trng ca c tc, v (2) bit trc t

sut chit khu.

M hnh chit khu c tc DCF:

Lin quan n ng thi tng trng c tc, chng ta xem xt cc trng hp sau:

Trng hp tc tng trng c tc khng i g

V = D1/ (ke g)

Trng hp tc tng trng c tc g = 0

V = D1/ke

Trng hp tc tng trng c tc thay i

Hn ch ca m hnh chit khu c tc

M hnh chit khu c tc c th p dng nh gi c phiu trong cc trng hp tc

tng trng c tc bng 0, hoc bng g khng i v ngay c trong trng hp tc tng

trng c tc thay i qua tng thi k (tuy c phc tp nhng vn c th tnh c) nhng

m hnh ny khng p dng c trong trng hp cng ty gi li ton b li nhun cho tiu t v khng trong tr c tc cho c ng.

* Phng php nh gi c phiu theo t s PE (Price-Earnings ratio)

Phng php ny a ra cch tnh gi c phiu rt n gin bng cch ly li nhun k

vng trn mi c phiu nhn vi t s PE bnh qun ca ngnh.

V = (Li nhun k vng trn c phiu) x (T s PE bnh qun ngnh)

Phng php ny n gin, d p dng nhng c nhiu hn ch. Th nht vic nh gi

c phiu thng khng chnh xc do phi ph thuc vo vic c lng li nhun k vngtrn c phiu. Th hai, lm th no chn c t s PE ph hp v liu nh u t c tin

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+=

= +

+

++

+

=1

2

1

10

1

1

1

1

)1(

)1(

)1(

)1(

ttt

e

tt

tt

tt

e

t

k

gD

k

gD

V

=

+=

+++

++

+=

12

2

1

1

)1()1(...

)1()1( tt

e

t

eee k

D

k

D

k

D

k

DV


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tng vo t s PE bnh qun ca ngnh hay khng, nu c th vn cn sai s gia t s PE

ca ngnh v PE ca cng ty.

II.2.2.3 Li sut c phiu

C phiu u i:

Nu thay gi th trng hin ti (P0) cho gi tr l thuyt (V) trong cng thc tnh gi tr

l thuyt ca c phiu u i chng ta c c:

P0 = Dp/kp

Trong Dp l c tc ca c phiu u i v kp l li sut i hi khi u t c phiu

u i. T cng thc trn chng ta c th tm li sut c phiu u i nh sau:

kp = Dp/P0

C phiu thng:

Tng t nh trong trng hp c phiu u i, chng ta cng thay th gi tr l thuyt

(V) bng gi tr th trng hin ti (P0) chng ta s c c:

P0 = D1/(ke g)

T cng thc trn chng ta c th tm li sut u t c phiu thng (ke):

ke = D1/P0 + g

II.3.1. M HNH CAPMBa nh kinh t hc William Sharpe, John Lintner v Jack Treynor a ra m hnh

CAPM (Capital Asset Pricing Model) Vo nhng nm gia thp nin 60, ba nhm d bo t

sut sinh li ca mt chng khon thng qua beta ca chng khon . M hnh CAPM c

nn tng l thuyt vng chc. Mc d Beta cha c tnh n nh nhng m hnh v c bn

CAPM c xem l hiu qu v tn ti sut 40 nm qua.

II.3.1. Gii thiu chung

M hnh nh gi ti sn vn (Capital asset pricing model CAPM) l m hnh m t

mi quan h gia ri ro v li nhun k vng. Trong m hnh ny, li nhun k vng bng

li nhun khng ri ro (risk-free) cng vi mt khon b p ri ro da trn c s ri ro ton

h thng ca chng khon . Cn ri ro khng ton h thng khng c xem xt trong m

hnh ny do nh u t c th xy dng danh mc u t a dng ho loi b loi ri ro

ny.

M hnh CAPM do William Sharpe pht trin t nhng nm 1960 v c c nhiu

ng dng t n nay. Mc d cn c mt s m hnh khc n lc gii thch ng thi th

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trng nhng m hnh CAPM l m hnh n gin v mt khi nim v c kh nng ng

dng st thc vi thc tin. Cng nh bt k m hnh no khc, m hnh ny cng ch l mt

s n gin ho hin thc nhng n vn cho php chng ta rt ra nhng ng dng hu ch.

II.3.2. Nhng gi nh

M hnh lun bt u bng nhng gi nh cn thit. Nhng gi nh c tc dng lm

n gin ho nhng vn m bo khng thay i tnh cht ca vn . Trong m hnh

CAPM, chng ta lu c nhng gi nh sau:

Th trng vn l hiu qu ch nh u t c cung cp thng tin y , chi ph

giao dch khng ng k, khng c nhng hn ch u t, v khng c nh u t

no ln nh hng n gi c ca mt loi chng khon no . Ni khc i,

gi nh th trng vn l th trng hiu qu v hon ho.

Nh u t k vng nm gi chng khon trong thi k 1 nm v c 2 c hi u t:

u t vo chng khon khng ri ro v u t vo danh mc c phiu thng trn

th trng.

II.3.3. Ni dung ca m hnh

H s H s c nh ngha nh l h s o lng mc bin ng li nhun c phiu

c bit so vi mc bin ng li nhun danh mc c phiu th trng.Trong phn trc ri ro c nh ngha nh l s bin ng ca li nhun. y

c nh ngha l h s o lng s bin ng ca li nhun. Cho nn, c xem nh l

h s o lng ri ro ca chng khon.

c lng trn thc tNh ni l h s o lng ri ro ca chng khon. Trn thc t cc nh kinh

doanh chng khon s dng m hnh hi qui da trn s liu lch s c lng . ccnc c th trng ti chnh pht trin c mt s cng ty chuyn xc nh v cung cp thng

tin v h s . Chng hn M ngi ta c th tm thy thng tin v t cc nh cung cp

dch v l Value Line Investment Survey, Market Guide (www.marketguide.com) v

Standard & Poors Stock Reports. Canada thng tin v do Burns Fry Limited cung cp.

Quan h gia ri ro v li nhun

Li nhun k vng ca mt chng khon c quan h ng bin vi ri ro ca chng

khon , ngha l nh u t k vng chng khon ri ro cao s c li nhun cao v ngc

Trang 11/50
http://www.marketguide.com/http://www.marketguide.com/


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li. Hay ni khc i, nh u t gi chng khon c ri ro cao ch khi no li nhun k vng

ln b p ri ro. Phn trc chng ta ni l h s dng o lng ri ro ca

mt chng khon. Do , li nhun k vng ca mt chng khon c quan h ng bin vi

h s ca n.

Gi s rng th trng ti chnh hiu qu v nh u t a dng ho danh mc u t

sao cho ri ro khng ton h thng khng ng k. Nh vy, ch cn ri ro ton h thng nh

hng n li nhun ca c phiu. C phiu c beta cng ln th ri ro cng cao, do , i

hi li nhun cao b p ri ro. Theo m hnh CAPM mi quan h gia li nhun v ri

ro c din t bi cng thc sau:

jfmfj RRRR )( +=

(3.1)

trong Rf l li nhun khng ri ro, mR

l li nhun k vng ca th trng v j l

h s beta ca c phiu j.

Phng trnh (3.1), biu din ni dung m hnh CAPM, c dng hm s bc nht y = b

+ ax vi bin ph thuc y l jR

, bin c lp l j v h s gc l)( fm RR

. V mt

hnh hc, mi quan h gia li nhun k vng c phiu v h s ri ro beta c biu din

bng ng thng c tn gi l ng th trng chng khon SML (security market line).

Hnh 3.4 di y m t quan h gia li nhun k vng ca chng khon vi h s ca

n.

Hnh 3.4: Quan h gia li nhun c phiu v

mR

Trang 12/50

Li nhun k vng ca c phiu (%)

RF

M

ng th trng chng khon (SML)

Khon gia tng b p ri ro

Li nhun khng ri ro


13/50

T cng thc 3.1 v hnh 3.4 chng ta c th rt ra mt s iu quan trng sau y:

Beta bng 0 Li nhun k vng ca chng khon c beta bng 0 chnh l li

nhun khng ri ro, Rf, bi v trong trng hp ny:

fmfjfmfj RRRRRRRR =+=+=

0)()( .

Beta bng 1 Li nhun k vng ca chng khon c beta bng 1 chnh l li

nhun th trng, mR

, bi v trong trng hp ny:

mfmffmfjfmfj RRRRRRRRRRR

=+=+=+= 1)()(

Quan h tuyn tnh Quan h gia li nhun c phiu v h s ri ro beta ca n

l quan h tuyn tnh c din t bi ng thng SML c h s gc l fm RR

Danh mc u t cng nh chng khon c bit M hnh CAPM trn ng dng cho

trng hp c phiu ring l. M hnh ny vn ng trong trng hp danh mc u t.

Nu p dng m hnh CAPM xc nh li nhun k vng ca danh mc u t,

chng ta c:

u nhc im ca m hnh CAPM

M hnh CAPM c u im l n gin v c th ng dng c trn thc t. Tuy nhin, cng

nh nhiu m hnh khc, CAPM khng trnh khi nhng hn ch v s ch trch. y ch tho lunvi hn ch ni bt ca m hnh CAPM.

Nhng pht hin bt thng khi p dng CAPM

Mt s hc gi khi p dng m hnh CAPM pht hin ra mt s im bt thng

khin CAPM khng cn ng nh trng hp bnh thng. Nhng im bt thng bao

gm :

o nh hng ca qui m cng ty Ngi ta pht hin rng c phiu ca cng ty

c gi tr th trng nh (market capitalization = price per share x number of

Trang 13/50

Beta ca chng khon0 1

=

=n

j

jjp w1


14/50

share) em li li nhun cao hn c phiu ca cng ty c gi tr th trng ln,

nu nhng yu t khc nh nhau.

o nh hng ca t s PE v MB Ngi ta cng thy rng c phiu ca nhng

cng ty c t s PE( price/earning ratio) v t s MB (market-to-book value

ratio) thp em li li nhun cao hn c phiu ca nhng cng ty c t s PE v

MB cao.

o nh hng thng Ging Nhng ngi no nm gi c phiu trong khong thi

gian t thng 12 n thng 1 thng c li nhun cao hn so vi nhng thng

khc. Tuy vy, ngi ta cng lu mc d nh hng thng Ging c tm

thy trong nhiu nm nhng khng phi nm no cng xy ra.

Nhng nghin cu v pht hin ca Fama v FrenchEugene Fama v Kenneth French tin hnh nghin cu thc nghim v quan h gia li

nhun ca c phiu, qui m cng ty, t s MB v h s beta. Kt qu kim nh da vo s

liu thi k 1963 1990 cho thy rng cc bin qui m v t s MB l nhng bin nh

hng mnh n li nhun c phiu. Khi nhng bin ny c a vo phn tch hi qui

trc ri mi thm bin beta vo th kt qu cho thy rng bin beta khng mnh bng cc

bin kia trong vic gii thch li nhun c phiu. iu ny khin gio s Fama, mt gio s

c uy tn, i n kt lun rng beta khng phi l bin duy nht gii thch li nhun. ng phtng cuc tn cng vo kh nng s dng m hnh CAPM gii thch li nhun c phiu

v ngh rng bin qui m v bin t s MB thch hp gii thch li nhun hn l bin

ri ro. Cc nh nghin cu khc bnh lun g?

Ngi ta cho rng Fama v French gii thch li nhun th trng vi hai bin da vo

gi tr th trng cho nn khng c g ngc nhin khi thy c s tng quan rt cao gia cc

bin ny. Fama v French qu tp trung vo bin li nhun thay v tp trung vo bin ri

ro, cho nn cng khng c nn tng l thuyt cho nhng pht hin c tnh phn bc ca h.

Mc d beta c th khng l bin tt d bo li nhun c phiu nhng n vn l bin

ph hp o lng ri ro. i vi cc nh u t ngi ri ro, beta cung cp cho h thng

tin lm c s cho vic k vng mt mc li nhun ti thiu. Mc d khng phi nh u t

no cng c th chp nhn mc li nhun ny nhng vi mc ch ca ti chnh cng ty n

vn hu ch hng dn cng ty phn b vn vo cc d n u t.

Nhng ph phn t cc nh nghin cu m hnh a yu t (Multifactor model)

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15/50

Nhng ngi ng h m hnh a yu t cho rng mc d CAPM vn hu ch cho mc

ch ca ti chnh cng ty nhng n khng em li s o lng chnh xc li nhun k vng

ca mt c phiu c th no . M hnh a yu t (multifactor models) cho rng li nhun

c phiu bin ng ph thuc vo nhiu yu t ch khng phi ch c yu t thay i ca th

trng ni chung cho nn nu a thm nhng yu t khc vo yu t ri ro gii thch li

nhun s mnh hn l ch da vo mt yu t duy nht nh m hnh CAPM.

II.4. L THUYT DANH MC U T

II.4.1. a dng ha DMT nhm gim ri ro

Chin lc u t a dng ho nhm gim ri ro vi phng chm y da vo cu

phng ngn ng b tt c cc qu trng ca bn vo cng mt gi (Dont put all your

eggs in one basket). a dng ho danh mc u t nhm ct gim ri ro y c ngha l

kt hp u t vo nhiu loi chng khon m cc chng khon ny khng c tng

quan cng chiu vi nhau mt cch hon ho, nh vy bin ng gim li nhun ca

chng khon ny c th c b p bng bin ng tng li nhun ca chng khon

khc. Ngoi ra ngi ta cn a dng ho nhm ct gim ri ro bng cch u t vo th

trng chng khon quc t thay v ch tp trung u t vo th trng chng khon ca mt

quc gia no . Hnh v 4.1 di y minh ha s ct gim ri ro nh kt hp u t adng vo hai chng khon A v B thay v ch u t vo mt loi chng khon duy nht. Hai

chng khon ny c h s tng quan nghch nn khi kt hp hai chng khon ny li trong

mt danh mc u t th ri ro s c loi tr.

Trang 15/50

Hnh 4.1: Kt hp hai chng khon A v B ct gim ri ro

Chng khon A Chng khon B Kt hpA v B

Li nhun u tLi nhun u t

Thi gian Thi gian

Li nhun u t

Thi gian


16/50

C th hn, gi s bn ang xem xt u t vo mt o quc, c hai ma ma v

nng, v c hai cng ty hot ng: mt cng ty chuyn sn xut v kinh doanh o i ma v

mt cng ty chuyn sn xut v kinh doanh kem chng nng. H s tng quan li nhun

ca hai cng ty ny l r1,2 = - 1, v su thng ma nng cng ty sn xut kem chng nng

thu c li nhun cao trong khi cng ty sn xut o i ma khng c li nhun. Ngc li,

su thng ma ma, cng ty sn xut o i ma thu c li nhun cao trong khi cng ty sn

xut kem chng nng khng c li nhun.

L nh u t khn ngoan, thay v dn ton b vn u t vo mt trong hai cng ty,

bn nn u t vo mt danh mc gm 50% c phiu cng ty sn xut kem chng nng v

50% c phiu cng ty sn xut o i ma. Nh vy, quanh nm d ma ma hay ma nng

bn u c c hi kim c li nhun t danh mc u t trn.

Nh ni, s kt hp cc chng khon khng c quan h tng quan cng chiu hon

ho s gim c ri ro bin ng li nhun u t chng khon. thy ri ro c gim

nh th no, chng ta chia ri ro ca danh mc u t ra lm hai loi:

Ri ro h thng (systematic risk) ri ro do s bin ng li nhun ca chng khon

hay ca danh mc u t do s thay i li nhun trn th trng ni chung, c gy ra bi

cc yu t nh tnh hnh nn kinh t, ci t chnh sch thu, thay i tnh hnh nng lng thgii N chnh l phn ri ro chung cho tt c cc loi chng khon v do khng th

gim c bng vic a dng ho danh mc u t. Loi ri ro ny cn c gi l ri ro th

trng (market risk) v c o lng bng h s b-ta.

Ri ro phi h thng (unsystematic risk) ri ro xy ra i vi mt cng ty hay mt

ngnh kinh doanh no , n c lp vi cc yu t nh tnh hnh kinh t, chnh tr hay

nhng yu t mang tnh cht h thng v nh hng n ton b cc chng khon c trn th

trng.

= = + +

Ri ro phi h thng ch nh hng n mt cng ty hay mt ngnh no . Chng hn

mt cuc nh cng hay mt i th cnh tranh pht trin sn phm mi hay mt pht minh

ra cng ngh tin tin ca cng ty no lm nh hng n li nhun ca mt cng ty hay

Trang 16/50

Tng riro

Ri roh thng

Ri rophi h thng


17/50

mt ngnh ch khng th nh hng n ton b th trng ni chung. Loi ri ro phi h

thng c th gim c bng chin lc u t da dng ho. Hnh 4.2 di y biu din s

kt hp hai loi ri ro v mi quan h gia ri ro v s lng chng khon trong danh mc

u t, theo khi s lng chng khon trong danh mc u t tng ln th ri ro ni chung

gim xung.

Hnh 4.2: Ri ro h thng v ri ro phi h thng

Qun l danh mc u t c nhng li ch sau:

- Th nht, a dng ho danh mc u t l nhu cu ca ngi u t, c trng hp

gi c ca mi chng khon c nh gi ng nhng mi chng khon vn cha ng ri

ro v nhng ri ro ny c th san s thng qua vic a dng ho danh mc u t.

- Th hai, vic la chn danh mc u t phi tnh n nh hng ca thu. Nh u t

phi chu mc thu cao thng khng mun trong danh mc ca mnh c nhng chng

khon ging nh trong danh mc ca nhng ngi chu thu thp.

Trang 17/50

Tng ri ro

Ri ro phi h thng

Ri ro h thng

S lng chng khon trong danh mc

lch chun ca danh mc u t


18/50

- Th ba, qun l danh mc u t l cn thit v lin quan n la tui ca khch hng

u t. Thng thng ngi gi a thch u t vo nhng chng khon c an ton cao

nh tri phiu Chnh ph, cn gii tr li thch u t vo nhng chng khon c ri ro

cao nhng k vng mc li tc cao.

Quy trnh qun l danh mc u t gm 4 bc:

Th nht, xc nh mc tiu u t. Trng tm ca vic xc nh mc tiu l xc nh

r mc ri ro c th chp nhn c ca ch u t v mc li nhun mong i tng

thch vi mc ri ro .

Th hai, xy dng cc chin lc ph hp vi mc tiu bao gm vic lp cc tiu chun

v phn b u t.

Th ba, gim st theo di nhng din bin gi c tng i ca chng khon trn th

trng, c mc ri ro v li nhun mong i.

Th t, iu chnh danh mc u t ph hp vi din bin ca th trng v mc tiu

ca ngi u t.

Qun l danh mc u t mt cch ch ng hay b ng ?

Hc thuyt v th trng hu hiu cho rng, vic qun l danh mc u t ch ng

(tc l da vo k thut v cng ngh hin i phn tch, u t vo mt loi chng khon

no ) ch l s lng ph thi gian v tin bc. Hc thuyt ny khuyn khch cho chin lcu t b ng. Mc tiu duy nht ca chin lc u t b ng l to dng mt danh mc

u t c a dng ha hon ton. iu ny tri ngc hn vi qun l ch ng l lun i

tm nhng chng khon nh gi thp hn hay cao hn gi th trng mua hoc bn kim

li.

II.4.2. L thuyt danh mc u t Markowitz

Vo u thp nin 60, nhng nh u t c ni v ri ro, nhng khng c nhng c

lng c th cho tng khon mc. Tuy nhin, xy dng mt m hnh danh mc u t ,

cc NT phi xc nh ri ro c th c. M hnh danh mc u t c bn c Harry

Markowitz pht trin, Markowitz pht hin t sut sinh li mong i i vi danh mc

u t ca cc ti sn v mt c lng ri ro mong i. Markowitz ch ra rng phng sai

ca t sut sinh li v mt c lng ri ro mong i . Markowitz ch ra rng phng sai ca

t sut sinh li l mt c lng c ngha ca ri ro danh mc vi mt tp hp nhng gi

nh, v ng tm ra cng thc tnh ton phng sai ca danh mc. Cng thc tnh ton

Trang 18/50


19/50

phng sai danh mc ny ch ra s quan trng ca vic a dng ha u t gim thiu

ri ro tng th v cng ch ra cch a dng ha u t hiu qu.

Bng cch gi nh t sut sinh li c phn phi theo phn phi chun, Markowitz

o lng ri ro thng qua phng sai hay lch chun. Markowitz cho thy t sut sinh li

ca mt danh mc u t l gi tr trung bnh theo t trng ca sut sinh li cho nhng ti

sn ring l trong DMT. lch chun ca mt DMT l mt cng thc khng ch lch

chun i vi nhng khon u t c th m cn ca hip phng sai gia t sut sinh li

i vi tt c cc cp ti sn trong DMT. Trong mt DMT vi s lng ln ti sn th

nhng hip phng sai ny l mt nhn t quan trng.

Nhng t trng khc nhau hay mt DMT vi s lng ln ti sn nm gi khc nhau

th hin bng s kt hp ng cong hu dng. H s tng quan gia nhng ti sn l

nhn t then cht m ta phi xem xt khi la chn u tbi v ta c th duy tr t sut

sinh li ca mnh trong khi vn gim thiu c mc ri ro ca DMT bng kt hp

nhng ti sn hoc nhng DMT c tng quan khng nh thp hay tng quan ph

nh.

Vic gi nh s lng ln nhng ti sn v v s ng cong kt hp, ng bin hiu

qu l ng cong bao gm tt c cc kt hp tt nht. N xc nh nhng DMT c t sut

sinh li cao nht i vi mc ri ro thp nht i vi mi mc t sut sinh li cho trc.T vic inh ra DMT ti u, ta s la chn mt DMT nm ti im tip tuyn gia ng

bin hiu qu v ng hu dng cao nht. Bi v li ch ri ro t sut sinh li khc nhau

gia nhng NT, v vy vic la chn DMT cng s khc nhau gia cc NT.

lch chun l phng php o lng rng ca s phn tn so vi gi tr trung

bnh. lch chun o lng khng chc chn ca t sut sinh li. Ta c:

- Phng sai: 2:)()]([

1

22 PiWEWin

i

=

=

- lch chun : o lng phn tn hay sai bit gia li nhun thc t so vili nhun k vng. lch chun chnh l cn bc 2 ca phng sai:

[ ]=

=n

i

ii PWEW1

2 )()(

Trang 19/50


20/50

- H s tng quan

- H s bin thin (coefficient of variation)

)(RECV

=

Ti sn c h s bin thin cng nh th s c ri ro thp hn nhng ti sn s h s

bin thin cao.

- Hip phng sai li nhun ca 2 chng khon: l ch tiu o lng mc quan h

tuyn tnh gia 2 chng khon. Hip phng sai c xc nh bi cng thc:

kjkjkjCov ,, =

Trong : j,k: H s tng quan - Correlation Coefficient

- Ri ro ca danh mc u t: lch chun ca DMT

= =

=n

i

n

j

jijiP CovWW1 1

,

Trong : p: lch chun ca DMT

n: l tng s chng khon c trong danh mc u t

Wi: l t trng ca chng khon i trong danh mc

Wj: l t trng ca chng khon j trong danh mc

Covi,j: l hip phng sai gia t sut li nhun ca chng khon i v j.

i j

- Li nhun k vng ca 1 danh mc u t:

ii

n

i

humanexp WrErE )()(1

=

=

Nh u t thit lp danh mc u t (P) trn c s xem xt sut sinh li k vng v

phng sai (hay lch chun) ca sut sinh li.

Trang 20/50

kj

kj

kj

rrCov

);(, =


21/50

III. PHNG PHP NGHIN CU XY DNG DMT

- ng dng M hnh CAPM v l thuyt danh mc u t Markowitz

- Phn tch c bn

- Phn tch k thut

- Phng php nghin cu v xy dng DMT:

1. Phn tch tnh hnh kinh t th gii v Vit Nam

2. Phn tch tng quan th trng chng khon Vit Nam

3. Lp danh mc th trng

La chn s b cc CP v tri phiu da vo PE, t sut chit khu

4. Phn tch tng quan

Phn tch tng quan cc c phiu trong danh mc th trng c ri ro v tri

phiu phi ri ro.

S dng phn mm SPSS hoc Excel lp ra ma trn tng quan5. La chn DMT

La chn nhng CP no c tng quan km hoc tng quan m a vo DMT

Phn tch cc ch s c bn ca DMT: h s Beta, E(r), Rm...

6. Xc nh t l cc ti sn u t trong DMT

p dng l thuyt v DMT ca Markowitz v s dng phn mm CrystallBall

chy m phng a ra t l ph hp ti u ha DMT

7. Phn tch c bn phn tch k thut

Phn tch c bn cc ch s ti chnh ca cc cng ty

Phn tch k thut: s dng phn mm Metastock

8. Chin lc u t ngn hn v di hn

Chin lc u t ngn hn da vo phn tch k thut

Chin lc u t di hn da vo phn tch c bn v phn tch k thut

- Thu thp d liu: d liu th cp ca cc sn giao dch chng khon HCM, H Ni... ly

t ngun Internet.

Trang 21/50


22/50

- X l d liu: Excel, SPSS 13, CrytallBall, MetaStock

IV. TNG QUAN TH TRNG

IV.1. PHN TCH TNH HNH KINH T TH GII

Nn kinh t ton cu nm 2008 c d bo s tng trng chm: ch t 3,3%

trc khi phc hi ln 3,9% vo nm 2009.

Theo bo co Trin vng kinh t ton cu 2008 ca Ngn hng Th gii (WB) cng

b hm 9-1, t l ny thm ch s cn thp hn nu M sa vo suy thoi kinh t.

Cc l do khin WB d bo kinh t ton cu gim l: gi tr ng USD gim, kinh t

M suy thoi, s km n nh ca th trng ti chnh th gii.

Bo co do nhm D bo pht trin ca WB cho bit kinh t ton cu pht trin chm

trong nm 2007, ch cn 3,6% so vi 3,9% nm 2006, mt phn do tng trng thp cc

nc c thu nhp cao. Trong khi , kinh t ca cc quc gia ang pht trin tip tc tng

trng mnh - trung bnh 7,4% - hu nh khng thay i so vi nm 2006.

WB cho rng nn kinh t ln nht th gii l M s tng trng chm (1,9%) trong nm2008 mt phn do sc bt cc nc ang pht trin.

WB c on tng trng tng gi tr sn phm ni a (GDP) ca ng v Thi

Bnh Dng l 10% vo nm 2007, gim cn 9,7% trong nm 2008 v s tip tc gim vo

nm 2009.

Trn bnh din ton cu, ng lu l nguy c ngy cng r v mt cuc suy thoi ca

kinh t M do s sp ca th trng a c lm xi mn nim tin ca ngi tiu th.

nhiu nc, cc ngn hng thng mi s sit cht tiu chun tn dng, doanh nghip s kh

tip cn ngun vn hn nhng ng thi cc ngn hng trung ng s tip tc cung ng tin

ra th trng ngn chn nguy c sp ti chnh. Hu qu ca tnh trng ny l lng u

t x hi s gim nhng lm pht tng tuy vn nm trong tm kim sot ca cc chnh ph.

ng USD yu c tc dng thc y xut khu ca M nhng li gy kh cho hu ht

cc nn kinh t. Gi du th s dao ng trong mc 69 USD/thng, thp hn gi du nm

2007 hin ang mc 91 USD/thng; gi cc mt hng ch yu, m nm nay tng 16%,

s ch tng khong 1% trong nm 2008 v cn cn cung cu ang dn bnh n.

Trang 22/50


23/50

Cc nn kinh t

Mc d kinh t th gii nm 2008 tng trng chm hn nm nay, vn ni ln cc

ngi sao sng. Trong 12 nn kinh t c tim nng tng trng cao nht, Vit Nam xp th

10/12.

a s cc nn kinh t ny ( chu Phi, Trung v Trung ng) c mc tng trng

cao nhng khng bn vng v u c im xut pht thp v ph thuc vo gi du m. D

bo tng trng bnh qun ca chu v c (tr Nht Bn) nm 2008 l 6,6%, trong

ring ASEAN l 5,1%.

Hin tng ng ch nht l Trung Quc. Vi tc tng trng 10,1% Trung Quc

s to ra tng sn lng 3,94 ngn t USD. Xt v GDP danh ngha, Trung Quc gn bt

kp Nht (4,96 ngn t USD), vt qua c (3,43 ngn t) v Anh (2,84 ngn t). Nhng nu

tnh theo sc mua tng ng PPP, GDP ca Trung Quc s l 12,9 ngn t USD, gn gp

ba ln Nht (4,48 ngn t USD) v tng ng vi GDP ca M (14,4 ngn t USD).

Nm 2008 Trung Quc s tn dng Th vn hi Bc Kinh nh bng hnh nh ang

hoen do nn nhim mi trng trm trng v li ng x trn trng quc t. V mt i

ni, nn kinh t qu nng ang gy cho Trung Quc nhiu vn , song nm 2008 n s c

lm ngui khng phi do chnh sch ca Trung Quc m do nhu cu i vi hng xut khu

ca Trung Quc gim st.Mt khc, nm 2008 s chng kin vic Trung Quc thay th cho M tr thnh th

trng ln nht tiu th hng ha xut khu ca cc nc trong khu vc ng . Qu trnh

thay i ny bt u t my nm trc v ngy cng mnh ln, chng t mi quan h kinh

t gia Trung Quc vi cc ln bang ngy cng cht ch.

So snh nn kinh t mt s nc ASEAN vi cc nc ng v trin vng nm 2008

mt s ch tiu ch yu. Vit Nam ng th su v quy m dn s, th hai v tc tng

trng GDP nhng ng cht v quy m ca nn kinh t ln thu nhp bnh qun u ngi.

Khong cch pht trin ca Vit Nam hy cn rt xa. Th nhng Vit Nam li dn u bng

v t l lm pht, v y l mt mi e da khng th coi thng i vi s tng trng ln

tiu chun sng ca ngi dn.

Nhn nh v Vit Nam, c cc tn hiu mi l n lc chng tham nhng ca Chnh ph

v kh nng Vit Nam s gim thu thu nhp doanh nghip t 28% hin nay xung 25%

trong nm 2008 cnh tranh vi cc nc trong khu vc.

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24/50

IV.2. PHN TCH TNH HNH KINH T VIT NAM

Mi trng kinh t Vit Nam nm 2007 v trin vng kinh t Vit Nam trong nm2008

Nm 2007 Nn kinh t Vit Nam tng trng ton din. Theo Tng cc Thng k ngy31/12, tng sn phm trong nc (GDP) nm 2007 c tnh tng 8,48% so vi nm 2006, tk hoch ra (8,2-8,5%). Ngn hng pht trin chu (ADB) nh gi, tng trng kinh tnm 2007 ca nc ta ng vo hng cc quc gia c tc tng trng kinh t cao trongkhu vc.

Nn kinh t Vit Nam nm 2007 c s tng trng ton din trong hu ht cc lnh vc.

Khi lng vn u t ton x hi thc hin nm 2007 theo gi thc t c t 461,9

nghn t ng, bng 40,4% GDP (t k hoch ra 40% GDP) v tng 15,8% so vi nm

2006.

Vn u t trc tip nc ngoi tip tc tng kh, c tnh nm 2007 t 20,3 t USD,

tng 69,3% so vi nm 2006 v vt 56,3% k hoch c nm, trong vn cp php mi l

17,86 t USD.

Gi tr sn xut ca khu vc nng, lm nghip v thy sn nm 2007 theo gi so snhnm 1994 c t gn 200 nghn t ng, tng 4,6% so vi nm 2006, trong nng nghip

tng 2,9%; lm nghip tng 1% v thu sn tng 11%.

Gi tr sn xut cng nghip nm 2007 c tnh tng 17,1% so vi nm 2006.Gi tr

hng ha xut khu nm 2007 c t gn 48,4 t USD, tng 21,5% so vi nm 2006, trong

tt c cc mt hng ch yu u tng.

Gi tr xut, nhp khu dch v c nm 2007 c t 12,4 t USD, tng 21,6% so vi

nm trc, trong gi tr xut khu dch v t 6 t USD, tng 18,2% v gi tr nhp khudch v, gm c ph vn ti v bo him hng nhp khu t 6,4 t USD, tng 24,9%.

Nm 2007 hot ng bu chnh, vin thng tip tc pht trin mnh. S thu bao in

thoi pht trin mi trong nm 2007 c t 18,5 triu thu bao (gn bng s thu bao pht

trin trong 3 nm 2004, 2005, 2006) nng tng s thu bao trn c nc tnh n ht thng

12/2007 t 46 triu thu bao. S thu bao internet (quy i) pht trin mi nm 2007 c

t 1,18 triu thu bao. n nay c 18,2 triu ngi s dng internet, chim 21,4% dn s

c nc.

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25/50

Lng khch quc t n nc ta trong nm 2007 c tnh t 4,23 triu lt ngi,

tng 18% so vi nm 2006.

Vn ti hnh khch nm 2007 c tnh t 1535,5 triu lt khch v 67,2 t lt

khch.km; so vi nm trc tng 8,4% v lt khch v tng 8,6% v lt khch.km.

Tuy cn mt s tn ti v vn nhp siu, gi c hng ha tng cao xong nn kinh t

Vit Nam vt qua nhiu kh khn thch thc t tc tng trng nh u nm

ra l gn 8,5%.

Nm 2007, nhn chung i sng ca dn nhn tip tc n nh v tng bc c ci

thin. Mc d chu tc ng ca nhiu yu t nh gi tiu dng lin tc tng, sn xut nng

nghip mt s vng chu nh hng nng n ca bo l, nhng i sng ca i a s dn

c nng thn vn gi c mc n nh, do gi nng sn, thc phm tng khuyn khch

nng dn sn xut hng ha, tng thm thu nhp. T l h ngho ca c nc gim t

15,47% nm 2006 xung cn 14,75% nm 2007 vt k hoch ra (16%).

Mt s ch tiu ch yu nm 2007 (tng/gim) so vi cng k nm trc (%)

Ngun: Tng cc thng k

Kinh t Vit Nam s tng trng 8,5% trong nm 2008

Trong bo co cp nht Trin vng Pht trin chu 2007 cng b ngy 17/9 va qua,

Ngn hng Pht trin chu (ADB) d bo kinh t Vit Nam tip tc t mc tng trng

cao vi trn 8,3% nm 2007 v 8,5% trong nm ti. Theo ADB, mc tng trng trn 8,3%

nm 2007 v 8,5% nm 2008 l iu c th khng nh v s tng trng mnh m ca khu

vc kinh t t nhn v u t trc tip ca nc ngoi (FDI). Khu vc kinh t khng thuc

Trang 25/50

Tng sn phm trong nc (GDP) +8,48

Ga tr sn xut nng, lm nghip v TS +4,6

Gi tr sn xut cng nghip +17,1

Tng kim ngch xut khu +21,5

Tng kim ngch nhp khu +35,5

Tng mc bn l hng ho v dch v x hi +23,3

Khch quc t n Vit Nam +18,0

Vn u t XDCB thuc ngun vn ngn sch Nh nc thc hin (so

vi k hoch 2007) 101,6


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nh nc, theo ADB, chim hn GDP ca Vit Nam nm 2006. Ngnh cng nghip v

dch v tip tc ng vai tr quan trng trong vic duy tr mc tng trng cao ca nn kinh

t Vit Nam.

Vic gia nhp WTO to ra c hi ln cho cc nh xut khu Vit Nam khi vn hn

ngch khng cn l ro cn, c bit l nhng mt hng th mnh nh dt may, thy sn,

g Cc chuyn gia kinh t ADB cho rng xut khu ca Vit Nam s t mc tng trng

trn 18% trong nm 2007 v nm 2008.

Nhu cu tiu dng v u t tng vt cng gi mc tng trng nhp khu cao v thm

ht thng mi mc 4,7% GDP nm 2007, 3,8% GDP nm 2008.

IV.3. TNG QUAN TTCK

Th trng chng khon Vit Nam(TTCK VN) ang trong giai on pht trin v c

nhiu bc tng trng trong 2 nm gn y. Trong thi im ny TTCK VN ang xu th

gim, ang trong giai on iu chnh, VNINDEX ang gim xung mc y 800 im, y

l c hi cho nh u t(NDT) mua CP vo, v gi hin ti gim xung v c nhng CP

gi th trng thp hn gi tr thc, gi cc CP tr nn hp dn hn i vi cc nh u t,

Nhiu CP ang c EPS cao v P/E thp. Qua ht chu k gim gi v iu chnh th

VNINDEX s tip tc tng li. V vy thi im ny l c hi cho NDT mua CP v ti cu

trc li danh muc u t(DMDT).Cc yu t nh: Cc Doanh nghip Vit Nam nim yt trn sn hot ng kinh doanh

trong nm qua t hiu qu cao, quyn li c tc sp chia, dng vn u t nc ngoi

vo Vit Nam trong thi im ny rt ln s tc ng lm cho nhiu loi c phiu tng gi.

ng thi gi cc c phiu hin gi xun rt thp, tr nn hp dn cc NT.

Vo thi im cui nm 2007 v u nm 2008 nhiu Cng ty c vn ln tin hnh IPO

nh VIETCOM BANK, SABECO.... lm cho TTCK bi thc ngun cung tng qu ln

cc NT cha th hp th kp do thiu ngun vn u t, lm cho ch s chng khon

VNINDEX, HASTC-INDEX ca c hai sn HCM v H ni st gim mnh . ng thi v

dng ngoi t rt ln ang b kt do khng th chuyn sang tin VND c lm cho lng

tin khng kp b sung vo ngun tin u t c. Bn cnh nhng chnh sch ca

nh nc khng ph hp nh ch th 03, Thu thu nhp chng khon... lm nh hng n

tm l ca cc NT, lm cho cc ch s chng khon st gim nh hin nay.

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Tuy nhin c s h tr v tc ng tch cc ca Chnh ph qua nhng chnh sch

tch cc kch thch v vc dy TTCK nh mua ngoi t vo tng cung ngun tin u t

cho chng khon, gin cc t IPO gin cung v CP, thay i ch th 03...

Gia lc th trng m m, nhiu nh u t vn cho rng th trng chng khon VN

s khi sc.

Nm 2008, c tnh s c khong 8 t USD u t gin tip vo Vit Nam, cng vi

lng kiu hi khong 9-10 t USD, do c c s cho rng khong 6 - 7 t USD s

vo th trng chng khon.

* Li nhun trn mc k vng:

Da trn nhng kt qu t c, c th khng nh nhiu doanh nghip (DN) nim

yt nm nay s t li nhun trn mc k vng. Mc tng cao nht trc ht phi k n

nhng DN hot ng v ti chnh v ngn hng. Cc doanh nghip ang v s tip tc cng

b kt qu kinh doanh cui nm ca mnh, m d bo s kh thun li, tc tng trng d

bo kh cao theo i ln ca nn kinh t, s cng to lc ht ni ti kh ln cho mi c

phiu.

Ngn hng Chu ht nm nay c t li nhun hp nht trc thu 2.000 t ng,

nhiu gp 3 ln so vi nm trc. Cn Ngn hng Si Gn Thng tn cng c th t li

nhun ton b khong 1.500 t ng, nhiu gp 2,5 ln so vi nm ngoi...Trn thc t th cc doanh nghip nh SSI, HPG, MPC th hin r xu hng th hin

sc mnh ni ti c mt cch ni bt khi nm ht tt n, nh mt li mi gi y quyn

r vi gii u t thi gian ti. Vi SSI, tnh c nm 2007 li nhun sau thu t 858,55 t

ng, tng 254,54% so vi nm 2006. C trng hp nh PET th li nhun nm 2007 tng

526,5%, d kin nm 2008 tng gp i. TSC cng vy, nm 2007 li nhun t 71 t ng,

tng 422%. Trng hp in hnh khc nh HPG th li nhun sau thu nm 2007 t 654 t,

vt 98% so vi k hoch. Hay nh MPC, li nhun hp nht t 221,415 t ng, tng

183,33% so vi nm 2006 tng ng tng 143,267 t ng....

Nhiu DN hot ng trn cc lnh vc khc nh: Cng ty C in lnh REE, Cng ty

Pht trin nh Th c, Cng ty Xut nhp khu An Giang, Cng ty FPT... li nhun cng

s vt ch tiu k hoch ra.

Khon li nhun ny phn nhiu cc DN dng tng vn, ti u t m rng sn xut,

kinh doanh nn cc nh u t s c chia c tc bng c phiu. Do mc tng trng li

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nhun cao nn khi tng vn vi mc tng ng (hoc thp hn) th h s thu nhp vn

n nh. Phn nhiu DN quyt nh chia c tc bng c phiu vo u qu I.

n u quyn li sp chia, nhiu nh u t tn dng c hi lc th trng cn m

m mua c phiu trc. ng thi ny s to nn ln sng mi trn th trng chng

khon. V vy nhiu nh u t cho rng c th t gia thng 2 gi nhiu loi c phiu s bt

u tng t t, lm cho th trng s m dn ln.

* Nc ngoi gia tng u t:

Hn 100 nh u t ln ca Nga sang tm hiu c hi u t vo th trng chng

khon VN. ng thi Ngn hng Hng Kng Thng Hi (HSBC) cng t chc hi

tho Tip cn u t Vit Nam ti Singapore.

Theo , t cui nm 2007 v sang 2008, s c thm nhiu nh u t nc ngoi

chuyn vn n tham gia u t c phiu ti VN. Nhng qu u t mi vo VN nm nay

ang b p lc gii ngn nng nn h buc phi mua c phiu khng mang ting

khng bit u t.

* Lc ko v lc y trn th trng chng khon hin nay

Lc ko

Nguyn nhn th c ni rt nhiu v cc nh u t cng nm . Trong nc

th tin ca dn u t chy rt nhiu vo BS v vng ri, v 2 mng ny ang st, ang hpdn.

Ngoi nc th cc i gia ngoi cng ang lao ao vi khng hong ti chnh v gii

u t chuyn nghip ang au n hn nhiu. CEO ca nhng tp on u t ti

chnh hng u ph Wall ra i c lot cho d li khng hon ton thuc v h.

Vy th tin u na m rt vo cc th trng mi ni, trong c Vit Nam? Song

xt ring trong nhng ngy ny th r rng ci tn Vietcombank mt ln na tr thnh ni m

nh mang tn "tin mt".

Cc nguyn nhn ny lm cho th trng khan tin, cu cng tr nn yu t v tr thnh

lc ko c TTCK i xung.

Tuy nhin, y cng c th coi l yu t gip "ct mch" i xung trong ngn hn.

Lc y

Nhng c phiu ang ngy cng tr nn rt hi xt v gi trn cc sn, c bit l c

phiu HOSE, ni hng lot blue-chips cng ch c P/E mc trn di 20 ln nh hin nay,

mt mc P/E m trc y 1 nm khng th m ti.

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Cng chnh cc doanh nghip ny ang v s tip tc cng b kt qu kinh doanh cui

nm ca mnh, m d bo s kh thun li, tc tng trng d bo kh cao theo i ln

ca nn kinh t, s cng to lc ht ni ti kh ln cho mi c phiu.

Trong ngn hn, th trng du m v th trng vng ang gim nhit cng s to

thun li cho c phiu nhn c u tin cao hn trong cc quyt sch u t (v c u c)

ca gii u t.

Trong khi , s quan tm ca cc c quan chc nng i vi th trung chng

khon cng nhng hnh ng thc s ang ngy cng r rng hn v theo cc chuyn gia

chng khon th s thm dn v s pht huy hiu qu su sc trong thi gian ti.

Cc chnh sch c a ra t nhiu ngy qua, song cc chuyn gia cho rng, vi

c th ca TTCK Vit Nam, ci gi l " tr ca thng tin" s khin cc chnh sch ny

khng th pht huy ngay tc dng tc thi nh mong i. Tuy nhin s pht huy, nhiu

ngi tin tng nh vy.

* Ngnh Du kh

Nm 2007, hot ng ca ngnh du kh nc ta c ngha quan trng, l nm u

Tng cng ty Du kh Vit Nam chuyn sang hot ng theo m hnh Cng ty m - Tp on

Du kh Vit Nam. Do vy, thc hin ng b cc lnh vc sn xut, kinh doanh s to c s

vng chc tp on pht trin vng mnh. Doanh thu dch v tng trng nhanh.Sn lng du th xut khu 16,98 triu tn, t kim ngch 8 t 628 triu USD, tng

71% so mc k hoch. Vi sn lng khong 350.000 thng/ngy, VN l nc sn xut du

th ln th 3 khu vc ng Nam .

Theo nh gi ca nhm nghin cu cng ty Chng khon Bin Vit (CBV), ngnh du

kh ang nm trong top nhng ngnh nn u t, v tr hp dn ng th ba sau ti chnh

v y t.

Thng d vn khng l. Vi 12.064 t thng d vn thu c t vic c phn ha 11

n v trong 3 nm ni trn, c l ch l "mn cho hi" ca PetroVietnam vi th trng

chng khon m thi. V tng lai PetroVietnam cn c c hi thng d vn nhiu hn na

PetroVietnam ang i mt vi kh khn v qun l ng vn.

Xy dng tp on kinh t a ngnh

Hng mnh vo mc tiu xy dng ngnh du kh tr thnh mt ngnh kinh t - k

thut quan trng, ng b, bao gm tm kim, thm d, khai thc, vn chuyn, ch bin, tng

tr, phn phi, dch v v xut, nhp khu.

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Tp trung thc hin cc mc tiu nhim v: gia tng tr lng du mc 35 - 40 triu

tn quy i t mc 120 - 150 triu tn du quy i cho giai on 2006-2010. Tip tc

trin khai cc hp ng thm d khai thc du kh trong nc v ngoi nc. Tng cng

tm kim c hi u t mi vo cc d n thm d khai thc du kh nc ngoi. T chc

khai thc hiu qu v an ton cc m ang khai thc, phn u t sn lng 24,8 triu tn

du quy i trong nm 2007. Khai thc, tiu th ngun kh thin nhin p ng nhu cu kh

ca nn kinh t. ng thi y nhanh tin thi cng cc d n trng im ca Nh nc v

ca ngnh.

S bt ph ca nn kinh t VN trong 20 nm i mi c phn ng gp to ln ca

ngnh du kh. Hng chc nm qua, du kh lun l mt hng chim t trng ln nht trong

r hng ha xut khu ca t nc. Tuy nhin, trong giai on ti, Vit Nam chnh thc

gia nhp cc t chc thng mi quc t ln ca khu vc v th gii nh AFTA, WTO... do

, Vit Nam s phi m ca chp nhn cc nh cung cp dch v quc t hng u th

gii s tham gia vo th trng dch v du kh trong nc.Nhng cng ty ny c li th cnh

tranh rt ln v cng ngh, k thut v ti chnh. y l mt kh khn rt ln i vi cc nh

cung cp dch v du kh Vit Nam v cc i th cnh tranh l nhng nh cung cp dch v

chuyn nghip, lu i, vt tri hn hn c v nng lc, kinh nghim v cng ngh. c

bit, vi li th v cng ngh v vn, c ch linh hot trong qun l nhn s, chnh sch ing ngi ti, nhng cng ty nc ngoi s thu ht mt lng ln nhng lao ng c cht

lng trong nc, dn n nguy c chy mu cht xm cao trong lnh vc cung cp dch v

du kh.Hin nay, phn ln vt t, thit b trong ngnh du kh vn ang phi nhp khu t

nc ngoi, cng vi vic sn phm du th ca Vit Nam hin vn xut khu hu nh ton

b, nn nhng thay i v t gi gia VND v ngoi t mnh s c tc ng rt ln n hot

ng sn xut cng nh kt qu kinh doanh ca nhng cng ty trong lnh vc du kh.

* Ngnh Ti chnh Ngn Hng

Tc tng trng gp 2 n 3 ln tc tng GDP

S c thm 5 v nhiu NH c xem xt thnh lp mi

Cnh tranh gay gt

Trin vng ngnh ngn hng: pht trin tt v c tim nng

S kin Ngn hng Standard Chartered ca Anh va c vn bn ng mua 30 t ng

mnh gi c phiu ca Ngn hng chu (ACB) vi mc 200.000/c phiu ang khin gii

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chuyn gia v cc nh u t mt ln na quay li xem xt k hn v ngnh ngn hng Vit

Nam hin nay v sp ti.

Si ng trong hot ng vn, a dng v thnh phn

D bo n ht nm 2007, tng ngun vn huy ng ca cc ngn hng thng mi v

t chc tn dng trn a bn thnh ph s t 350.000 - 355.000 t ng, tng 42 - 44% so

vi cui nm 2006. y l mc tng trng cao ngoi d kin t u nm ca hu ht cc

ngn hng. V sc hp th vn cho tng trng kinh t qua in hnh H Ni v thnh ph

H Ch Minh cng cho nhng din bin ngoi d on. Cng tnh n ht thng 10-2007,

tng d n cho vay ca cc ngn hng thng mi v t chc tn dng trn a bn thnh ph

H Ch Minh c tnh t 345.000 t ng, tng 50% so vi cui nm 2006 v tng 63% so

vi cng k ny nm trc

Nhn nh s pht trin ca h thng ngn hng

Kinh t -x hi Vit Nam cc Ngn hng ngy cang ng vai tr quan trng, c bit l

trong gii tr th dch v ngn hng ngy cng khng th thiu trong i sng ca h

Kt qu nghin cu v thi ngi tiu dng, do McKinsey tin hnh, cho bit thanh

nin Vit Nam ngy cng tin tng vo cc ngn hng thng mi v thch s dng cc dch

v ngn hng hn so vi cc th h trc.

L gii cho iu ny do kinh t - x hi Vit Nam c nhng bc pht trin mnh.i sng c nng cao th hin qua xu hng s dng cc dch v ngn hng nh th tn

dng, vay vn, ngn hng internet trong gii tr ang ngy cng tng.

Hin c gn 10% dn s Vit Nam tip cn cc dch v ca cc t chc ti chnh chnh

thc v khong 60% ngi dn thnh ph c ti khon tit kim.

Theo cc nh phn tch th trong nm 2008, h thng ngn hng Vit Nam cn si ng

hn na. hot ng c hiu qu trn th trng th i hi h thng ngn hng phi c s

gn kt c ting ni chung v hp tc v s pht trin cho tng ngn hng v cho c h thng

ngn hng. Ngn hng Nh nc ang chun b thnh lp trung tm chuyn mch quc gia.

Nu khng c g thay i, u nm 2008, trung tm ny s hot ng v kt ni lin thng

ton b th trng thanh ton th ca c nc.

Smartlink v Banknetvn l hai lin minh th ln nht c nc vi s tham gia ca hu

ht cc ngn hng. Vic hp tc gia hai lin minh ny cho php khong trn 30 ngn hng

kt ni lin thng thanh ton th, trong c cc n v pht hnh th ln nh 4 ngn hng

quc doanh v cc ngn hng c phn nh ng ... vi tng s khong 7 triu th, 4.300

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my ATM v khong 22 ngn im chp nhn th trn ton quc. Nh vy, vi s kt ni

ny, gn nh ton b th trng th Vit Nam c th lin thng vi nhau.

Trong nm 2008, d bo cc ngn hng s ch trng trong vic thuc y cho vay tn

dng v s dng ngun vn huy ng c hiu qu hn. C c s tin rng nm 2008 l mt

nm hot ng si ng thnh cng ca h thng ngn hng Vit Nam.

Nn kinh t Vit Nam ang xy dng thnh mt nn kinh t th trng t do c s qun

l ca nh nc. Mun xy xy dng c mt nn kinh t th trng thnh cng th phi

xy dng c mt h thng ngn hng mnh.

ng mng l trn thc t, Vit Nam h thng ngn hng ang c nhng bc pht

trin vt bc, c nhng thnh cng rt ng khch l v c trin vng pht trin kh sng

sa.

Nhng hn ch ngn hng Vit Nam

C c nhng thnh cng nhng h thng Ngn hng cn c nhng mt cn cha

c. Hot ng v s dng ngun vn huy ng cha cao, nh l trong cung cch gii ngn

vn huy, cn tn ti qu quy nh cc khon n kh i, dch v cn cha c m rng.

Mt thc t ni cm khc l vic nhiu doanh nghip cn vn th khng vay c

doanh nghip khng cn th li c vay nhiu. C th thy, cc doanh nghip cn cha

c bnh ng trong sn chi ngn hng.Bo co ca chng trnh pht trin Lin hip Quc cho thy cc ngn hng mi ch

ch tm n vic cho cc doanh nghip thnh cng vay vn hn l cho mt doanh nghip

cha thnh cng nhng y tim nng.

S mt cn i ngun vn cho vay gy kh khn cho cc ngn hng trong vic tm

kim doanh nghip u t hiu qu. Ngoi ra, li sut cho vay di hn ca cc ngn hng

ang mc cao cng l mt kh khn cho doanh nghip trong vic u t di hn.

Cc ngn hng ang phi i mt vi rt nhiu kh khn, trong c vic tm kim

khch hng gii ngun vn huy ng. Th phn tn dng cho vay cng ang gp phi s

cnh tranh quyt lit t th trng chng khon, cng ty ti chnh, cc qu u t, bo

him...

* Ngnh Bt ng Sn

C phiu bt ng sn - xu hng u t mi.

Nm 2007, th trng bt ng sn chng kin mt s chuyn bin mnh m. Ln

sng u t t t nc ngoi cng vi cc d n ln ca cc doanh nghip trong nc vo

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lnh vc bt ng sn to ng lc cho chng khon ca cc cng ty xy dng v kinh

doanh bt ng sn nim yt trn 2 sn giao dch bin ng mnh theo hng tch cc. Theo

thng tin c cng b, hin c ti 80% cng ty nim yt k c cc cng ty mi ln sn

ln k hoch kinh doanh cho 5 nm l m rng u t bt ng sn v u t ti chnh.

Nhng chin lc lu di ny khin cho cc c phiu ngnh bt ng sn tng gi nhanh.

Vo thi im 2002-2005, nhng doanh nghip bt ng sn thng xut hin vi hnh

nh thiu thn v vn, ngho nn v d n u t, hiu qu kinh doanh khng cao v nht l

thiu minh bch th nay hnh nh ny ang thay i. Coteccons c em u gi v Dragon

Capital tr ngay gi cao gp 22 ln mnh gi. Vincom chun b u gi th mt t chc u

t ca M ngh xin thm thi gian xem xt u t ln vo doanh nghip; Licogi 16

mi c bit n thi gian gn y, nhng SSI v VinaCapital khng b qua chn c ng

chin lc. Vi k hoch pht hnh 100 t ng huy ng khong 1.000 t ng vn,

Intresco lp tc tr thnh tm im ca th trng OTC.

* Ngnh in:

C phiu ngnh in vn c cc chuyn gia nh gi l khon u t an ton bi h

thng in ang nm trong tnh trng cung khng p ng c cu, in lm ra vn c

mua ht. Tuy nhin, thc t vic huy ng vn u t vo lnh vc sn xut in nh mt

s cng ty c phn a ra thi gian gn y li khng hon ton "ngon n" nh qung b.in l mt hng nh nc quy nh gi v in lm ra khng phi dng xe t ch

n ni tiu th. Theo l trnh ca th trng in th phi ti sau nm 2022, cc nh u t

xy dng nh my in mi c c hi bn cho ngi tiu dng trc tip.

V nguyn tc, bt c nh my in d c quy m cng sut mc no th trc khi

xy dng u phi c s tho thun vi Tng cng ty in lc Vit Nam (EVN) v vic u

ni li in v mc gi in. Hin mc gi ny thng phi di 4,5 cents/kWh th mi c

c hi c xem xt.

i vi cc nh my in quy m di 20 MW tr xung, cc vn m phn v u

ni vi li in quc gia v gi bn khng phi qu kh khn, nhng cc nh my ny hu

nh ch l d n thu in nh, tn dng dng chy ca cc con sng nh. Trn thc t, tt c

cc dng sng Vit Nam u c a vo nghin cu v quy hoch xy dng nh my

thu in, bi bn cnh mc tiu pht in, tm kin li nhun thun tu, cn v mc tiu

chng l, cu hn.

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V th, cc nh my thu in t 50 MW tr ln ni chung thng c gi thnh tt nht

trong cc ngun in, khng phi ai "x phn" cng c chia, nht l cc cng ty t nhn.

i vi cc nh my nhit in chy than m mt s cng ty c phn ra thng tin l ang

xin lm, th u cha c d n no c B Cng nghip hay EVN chp thun. Nguyn nhn

l nh my c tnh kinh t th phi c quy m t 300 MW tr ln.

Theo tnh ton ca ngnh in, c 1.000 MW th cn khong 3 triu tn than s dng

mi nm. Nh vy, i km theo nh my in phi l c s h tng nhp than vo nh

my nh bn cng, ng st; kho bi cha than u vo, bi thi x u ra, mc nhim

mi trng c bit, gi thnh bn in cho h thng in quc gia phi di 4,5

cent/kWh v nh my phi nm trong quy hoch pht trin ngnh in do Th tng

Chnh ph ph duyt tng thi k ( ngnh in chun b u t li in).

Nh vy, vi nhng nh my nhit in, than "c tng" l nm ni c li in

quc gia i qua, nh u t "chp nhn" u t c s h tng kh tn km v gi bn in

a ra cho mi di 4,5 cent/kWh cng khng chc c xy dng.

Mc tiu ca h thng in Vit Nam l p ng ph ti ngay ti ch nhm gim truyn

ti trn hai ng dy 500 kV Bc - Nam nh hin nay. V th, nu nh u t vo ng

khu vc c d bo cha pht trin kinh t mnh trong khong 5-7 nm na, tc l lm ra

khng dng ngay trong khu vc m buc phi truyn ti th ngh u t cng kh lngc chp thun, v ng truyn ti c gii hn trong khi khng th xy dng c nhiu

ng 500 kV Bc - Nam.

i vi cc d n in kh, tnh trng cng khng kh quan hn. Theo tnh ton ca cc

chuyn gia khi xy dng Tng s pht trin in ti nm 2015, c tnh ti nm 2025 th

do ngun kh dn vo b khng di do, nn ch c cc nh my in thuc s hu nh nc

hoc ca cc nh u t m kh v ng ng dn kh t ngoi khi vo b mi c u tin

xem xt trc.

Cc nh u t nc ngoi nh gi u t vo ngnh in l khon u t di hn v

tng i an ton v trong tng lai, Vit Nam s tip tc i mt vi tnh trng thiu in.

Theo Cng ty nhit in B Ra, d kin nm 2010 t sn lng t khong 88 n 93 t

KWh v nm 2020 t sn lng t 201 n 250 t KWh.

EVN s tng sn lng in mua ca cc nh my in ngoi ngnh ln 13 t KWh,

trong , mua ca Hip Phc, Formosa, Amata, m Ph M v ngun diesel hn 12,8 t

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KWh, cn li l mua ca Trung Quc. EVN khng nhng mua in ca cc cng ty trong

ngnh m cn mua in ca cc doanh nghip ngoi ngnh.

Theo Vin Nng lng, nhu cu tiu th in nm 2005 l 53 t KWh v s tng 15-

16%/nm n 2010, t 93 t KWh nm 2010.

Tuy nhin, cc d n in cng c khng t nhng ri ro tim n, khng d n nh

mt s nh u t lm tng. i vi cc nh my nhit in, khi sn lng kh v than cung

cp b suy gim sn xut in s gp nhiu kh khn v phi b sung bng nhin liu du DO

lm cho gi thnh tng cao, kh cnh tranh khi tham gia th trng in. Hn na, chi ph

u t sa cha, bo dng hng nm ca nh my nhit in kh ln, do nh hng n

sn lng in pht ra v gi thnh.

i vi cc d n thy in, ri ro v iu kin thin nhin l nhn t ri ro ln nht

nh hng n hot ng sn xut kinh doanh ca cc d n thy in. Trong qu trnh vn

hnh, my mc thit b ca nh my in c th b hng dn n vic sn xut b gin on

lm cho sn lng in v doanh thu gim st. Ngoi ra, d n thy in thng c thi gian

u t ko di nhiu nm, vn u t rt ln nn khon n phi tr ngn hng (gc v li)

cng ln nht so vi cc ngnh khc. Chng hn d n Thy in A Li (Tha Thin -

Hu), cng sut 170 MW c vn u t 3.234 t ng, thi gian xy dng 6 nm, d n

Thy in Sng Boung 2, cng sut 100 MW, vn u t 2.200 t ng, xy dng 6 nm vSng Boung 4 (Qung Nam), cng sut 156 MW, vn u t 4.092 t ng, xy dng trong

5 nm.

* Ngnh Dc:

Dc l mt ngnh c tnh c th cao. Sn phm chnh ca ngnh l thuc cha bnh,

cc thit b y t phc v nhu cu chm sc sc khe v cc dch v khm cha bnh.

Dc phm l sn phm thit yu ca con ngi, ng Cu v sn phm y dc km

co gin so vi mc gi; do cht lng sn phm l yu t cnh tranh mang tnh quyt

nh.

Ngnh dc l mt trong nhng ngnh c tc pht trin cao, khong 18 n

20%/nm. Doanh thu hng nm ca ngnh trong giai on t nm 1995 n 2005 tng gp

6 n nhng cng mi ch p ng c 40% nhu cu v sn phm trn th trng; do ,

tim nng m rng th trng l rt ln.

Tng gi tr tin thuc s dng trung bnh hng nm tng t 15% n 17%, tin thuc

bnh qun u ngi tng t 12% n 14%/nm. Theo s liu thng k nm 2007, chi tin

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36/50

thuc trung bnh nm ca mi ngi dn Vit Nam ln ti 900.000/nm. D bo trong nm

2008, gi tr tng th trng dc Vit Nam s t 1 t USD, doanh thu sn xut thuc c

t 8.000 t; song tim nng tng trng th trng th trng c th tng ln gp i 16.000

t.

Cc cng ty dc Vit nam hin ti ang c li th kh ln v h thng knh phn phi

su rng trn khp cc tnh thnh trn c nc. Song bn cnh , vi 178 doanh nghip

ang hot ng trn th trng, th ch c 31 doanh nghip t tiu chun quc t GMP WHO

v sn phm, trong , 20 doanh nghip l c vn u t nc ngoi.

C phiu ngnh dc thuc top c mc dao ng gi mnh nht, du hiu ca kh nng

sinh li cao, song cng km theo ri ro tng xng. c im ca c phiu dc phm st

gim nhanh nhng kh nng phc hi kh mnh so vi cc c phiu thuc cc nhm ngnh

khc.

Hin nay 3 c phiu ngnh dc dc nim yt DMC(Domesco_ng thp), IMP

(dc phm Imexpharm) v DHG (Cng ty dc hu giang). Cc chuyn gia ti chnh xp

cc c phiu ny vo hng c phiu tm trung v c tim nng tng trng cao. Hi vng

trong nm 2008, c phiu ngnh dc c th vt v mn tr thnh BlueChips.

Mt s ch tiu ti chnh ni bt ca cc cng ty dc k trn:

DHG

(t )

Nm

2005

Nm

2006

3 qu

u/2007

Xu th

Li

nhun rng

44 87 88 Tng

nhanhROE 10.2% 51% 10.03% Bin

ng mnhROA 27.3 18.0

3

13.47% Gim

nh

DMC

(t )

Nm

2005

Nm

2006

3 qu

u/2007

Xu th

Li

nhun rng

36 48 45 n nh

ROE 23% 21% 9.978% Gim

nhROA 13.54% 12.63% 7.513 n nh

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37/50

IMP

(t )

Nm

2005

Nm

2006

3 qu

u/2007

Xu th

Li

nhun rng

26 42 45 Tng

dnROE 15.5% 17.9% 17% TngROA 8.28% 13.8% 12.9% Tng

nh

Mc EPS c t trong nm 2007 ca 3 c phiu ny: DHG t 11.624, DMC t

3.708 v IMP l 6.264.

Cng phi ni thm, cc c phiu ngnh dc trn th trng OTC l Vidipha,

Mekophar, OPC.cng c cc nh u t nh gi kh cao.

Trong nm 2008, khi quy m v yu cu ca th trng thay i, nh u t nn hng

ti vic tm kim, la chn c cu u t danh mc theo ngnh ngh trng im, cc doanh

nghip u ngnh, c lch s pht trin n nh v c sc cnh tranh cao

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V. HOCH NH DMT

V.1. DANH MC TH TRNG

- La chn cc c phiu, tri phiu trn th trng chng khon H Ch Minh (HOSTC)

v H Ni (HASTC).

- Qua phn tch tng quan v th trng mc IV trn nhm la chn v a ra danh

mc th trng nghin cu bao gm cc c phiu, tri phiu sau:

+ Ngnh Ti chnh Ngn Hng: ACB, STB, SSI

+ Ngnh Du kh: PVD, PJT, PGC, VSP, PLC

+ Ngnh Bt ng sn: CII, ITA, HBC, TDH

+ Ngnh Thy sn: ABT, AGF, MPC

+ Ngnh in lc: PPC, RHC, SJD, VSH

+ Ngnh Cao Su: DRC, HRC

+ Ngnh Dc: DHG, IMP, DMC

+ Tri phiu chnh ph

+ Tri phiu chuyn i ca cc cng ty

T DMTT trn lp bng tng quan gia cc CP v chn ra nhng CP phiu c tng

quan m hoc km tng quan vi nhau lp thnh DMT th hin qua cc bng sau

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V.2. PHN TCH TNG QUAN DMTT

ACB

STB SSI

PGC

PJT

PVD

PLC

VSP CII

HBC ITA

TDH

ABT

AGF

MPC

PPC

RHC

SJD

VSH

DRC

HRC

DHG

DMC

IMP

ACB 1 .00 0.62 0.37 0.66 0.54 0.43 0.42 0.44 0.38 0.17 0.54 0.35 0.49 0.52 0 .33 0.22 0.42 0.51 0.38 0.48 0 .30 0.15 0.21 0.31

STB0.62 1.00 0.62 0.37 0.66 0.54 0.43 0.42 0.44 0.38 0.17 0.54 0.35 0.49 0 .52 0.33 0.22 0.42 0.51 0.38 0 .48 0.30 0.15 0.21

SSI0.37 0.62 1.00 0.11 0.40 0.45 0.25 0.25 0.39 0.21

-0.07 0.40 0.31 0.23 0 .34 0.16 0.10 0.40 0.42 0.31 0 .36 0.15 -0.06

-0.05

PGC

0.66 0.37 0.11 1.00 0.47 0.26 0.37 0.45 0.25 0.37 0.17 0.23 0.15 0.36 0 .33 0.23 0.34 0.20 0.28 0.34 0 .12 0.31 0.04 0.20

PJT0.54 0.66 0.40 0.47 1.00 0.53 0.48 0.64 0.32 0.54 0.35 0.54 0.37 0.52 0 .61 0.46 0.24 0.59 0.61 0.44 0 .53 0.39 0.14 0.27

PVD

0.43 0.54 0.45 0.26 0.53 1.00 0.14 0.34 0.44 0.14 0.12 0.34 0.25 0.41 0 .42 0.32 0.07 0.32 0.50 0.12 0 .44 0.20 0.01 0.08

PLC0.42 0.43 0.25 0.37 0.48 0.14 1.00 0.34 0.48 0.64 0.22 0.63 0.47 0.59 0 .67 0.26 0.27 0.21 0.24 0.67 0 .26 0.37 0.35 0.20

VSP0.44 0.42 0.25 0.45 0.64 0.34 0.34 1.00 0.27 0.35 0.35 0.25 0.25 0.37 0 .47 0.33 0.34 0.53 0.34 0.27 0 .37 0.38 0.08 0.21

CII0.38 0.44 0.39 0.25 0.32 0.44 0.48 0.27 1.00 0.31 0.09 0.37 0.34 0.18 0 .22 0.25 0.23 0.33 0.18 0.35 0 .42 0.39 0.09 0.04

HBC

0.17 0.38 0.21 0.37 0.54 0.14 0.64 0.35 0.31 1.00 0.36 0.41 0.42 0.58 0 .71 0.50 0.22 0.46 0.36 0.56 0 .42 0.42 0.25 0.08

ITA0.54 0.17

-0.07 0.17 0.35 0.12 0.22 0.35 0.09 0.36 1.00 0.09 0.18 0.25 0 .36 0.46 0.02 0.24 0.36 0.09 0 .22 0.23 0.17 0.40

TDH

0.35 0.54 0.40 0.23 0.54 0.34 0.63 0.25 0.37 0.41 0.09 1.00 0.34 0.48 0 .52 0.20 0.23 0.24 0.47 0.44 0 .40 0.25 0.08 0.07

ABT

0.49 0.35 0.31 0.15 0.37 0.25 0.47 0.25 0.34 0.42 0.18 0.34 1.00 0.34 0 .61 0.46

-0.08 0.28 0.30 0.42 0 .35 0.37 0.44 0.14

AGF

0.52 0.49 0.23 0.36 0.52 0.41 0.59 0.37 0.18 0.58 0.25 0.48 0.34 1.00 0 .82 0.33 0.31 0.28 0.52 0.46 0 .32 0.29 0.27 0.31

MPC

0.33 0.52 0.34 0.33 0.61 0.42 0.67 0.47 0.22 0.71 0.36 0.52 0.61 0.82 1 .00 0.46 0.15 0.34 0.46 0.54 0 .44 0.41 0.39 0.32

PPC

0.22 0.33 0.16 0.23 0.46 0.32 0.26 0.33 0.25 0.50 0.46 0.20 0.46 0.33 0 .46 1.00

-0.20 0.40 0.39 0.13 0 .39 0.39 0.27 0.09

RHC

0.42 0.22 0.10 0.34 0.24 0.07 0.27 0.34 0.23 0.22 0.02 0.23

-0.08 0.31 0.15

-0.20 1.00 0.42 0.30 0.31 0 .36 0.21 -0.02 0.19

SJD0.51 0.42 0.40 0.20 0.59 0.32 0.21 0.53 0.33 0.46 0.24 0.24 0.28 0.28 0 .34 0.40 0.42 1.00 0.58 0.35 0 .65 0.51 0.25 0.18

VSH

0.38 0.51 0.42 0.28 0.61 0.50 0.24 0.34 0.18 0.36 0.36 0.47 0.30 0.52 0 .46 0.39 0.30 0.58 1.00 0.23 0 .45 0.36 0.17 0.27

DRC

0.48 0.38 0.31 0.34 0.44 0.12 0.67 0.27 0.35 0.56 0.09 0.44 0.42 0.46 0 .54 0.13 0.31 0.35 0.23 1.00 0 .23 0.18 0.23 0.24

HRC

0.30 0.48 0.36 0.12 0.53 0.44 0.26 0.37 0.42 0.42 0.22 0.40 0.35 0.32 0 .44 0.39 0.36 0.65 0.45 0.23 1 .00 0.61 0.10 0.13

DHG

0.15 0.30 0.15 0.31 0.39 0.20 0.37 0.38 0.39 0.42 0.23 0.25 0.37 0.29 0 .41 0.39 0.21 0.51 0.36 0.18 0 .61 1.00 0.21 0.15

DMC

0.21 0.15

-0.06 0.04 0.14 0.01 0.35 0.08 0.09 0.25 0.17 0.08 0.44 0.27 0 .39 0.27

-0.02 0.25 0.17 0.23 0 .10 0.21 1.00 0.27

IMP0.31 0.21

-0.05 0.20 0.27 0.08 0.20 0.21 0.04 0.08 0.40 0.07 0.14 0.31 0 .32 0.09 0.19 0.18 0.27 0.24 0 .13 0.15 0.27 1.00

Bng h s tng quan gia cc CP trong DMTT

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T bng h s tng quan gia cc CP trn ta thy cc CP c mt s CP t tng quan hay

tng quan nghch vi cc CP khc nh:

1. SSI vi PGC, ITA, PPC, RHC, DHG, DMC, IMP

2. PVD vi PLC, HBC, ITA, RHC, DRC, DHG, DMC, IMP3. PGC vi SSI, ITA, ABT, SJD, HRC, DMC, IMP

4. CII vi ITA, AGF, VSH, DMC, IMP

5. ITA vi STB, SSI, PGC, PVD, CII, TDH, ABT, RHC, DRC, DMC

6. TDH vi ITA, PPC, DMC, IMP

7. ABT vi PGC, ITA, RHC, IMP

8. PPC vi TDH, RHC, DRC, IMP, SSI

9. RHC vi SSI, PVD, ITA, ABT, MPC, PPC, DMC, IMP

10. DRC vi PVD, ITA, PPC, DHG

11. DMC vi SSI, PGC, PJT, PVD, VSP, CII, ITA, TDH, RHC, VSH, HRC

12. IMP vi SSI, PGC,PVD, CII, HBC, TDH, ABT, PPC, RHC, SJD, HRC, DHG

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V.3. LA CHN DMT

T bng h s tng quan trn ta xc nh DMT c h tng quan m, hoc km tng quan

bao gm cc CP sau:

1. SSI: Cng ty C phn Chng khon Si Gn2. PVD: Cng ty C phn Khoan v Dch v Khoan Du kh

3. PGC: Cng ty C phn Gas Petrolimex

4. CII: Cng ty C phn u t H tng K thut Thnh ph H Ch Minh

5. ITA: Cng ty c phn u t Cng nghip Tn To

6. TDH: Cng ty C phn Pht trin Nh Th c

7. ABT: Cng ty C phn XNK Thu sn Bn Tre

8. PPC: Cng ty C phn Nhit in Ph Li

9. RHC: Cng ty C phn Thu in Ry Ninh II

10. DRC: Cng ty C phn Cao su Nng

11. DMC: Cng ty C phn Xut nhp khu Y t Domesco

12. IMP: Cng ty C phn Dc phm Imexpharm

BNG TM TT THNG TIN CPD liu nghin cu t 02/01/2007 n 24/12/2007 VT: t ng

STT CKS lng CP

nim ytTng TS

Vn iul

Vn CSH Vn hoDoanh

thu 2007

Li nhuntrc thu

2007

Li nhunsau thu 2007

1 ABT 6,299,999 417.33 63 287.60 453.6 431.52 45.4 40.92

2 CII 40,000,000 1691.65 400 773.67 2,100.00 177.42 107.12 95.82

3 DMC 13,769,999 590.72 137.7 456.62 0 813.19 64.25 64.16

4 DRC 13,038,552 584.41 130.39 208.53 0 1,182.14 70.87 70.87

5 IMP 9,238,750 568.09 92.39 496.20 1,746.12 454.43 62.47 54.34

6 ITA 80,000,000 2707.92 800 2083.31 8,800.00 949.8 460.47 377.56

7 PGC 25,000,000 821.38 250 533.38 1,025.00 1,407.21 52.16 44.79

8 PPC 326,235,000 9685.31 3,262.35 3828.44 15,822.40 3,807.07 781.27 827.8

9 PVD 110,139,730 4318.43 1,101.40 1862.01 14,097.89 2,740.64 579.22 575.94

10 RHC 3,200,000 126.21 32 63.29 0 38.37 14.54 13.82

11 SSI 119,999,875 6134.41 1,200.00 4059.39 14,159.99 1,185.58 953.76 858.55

12 TDH 17,000,000 1066.51 170 723.83 2,193.00 130.34 162.06 140.68

Sau khi c c DMT ta tin hnh xc nh t trng cc CP trong DMT theo l thuyt

DMT ca Markowitz.

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V.4. XC NH T L CP TRONG DMT (MARKOWITZ)

SSI PGC PVD CII ITA TDH ABT PPC RHC DRC DMC IMPT trng danh

mc (Wi)8% 8% 10% 8% 8% 10% 8% 8% 8% 8% 8% 8%

TSLN k vng E(r)

PP CAPM19% 20% 15% 17% 16% 16% 19% 12% 21% 15% 11% 18%

TSSL CP trongDMT 0.015 0.016 0.015 0.013 0.013 0.016 0.015 0.009 0.016 0.012 0.009 0.014

Ty suat ky vongDMDT

16.45%

Bng T trng DMT gi nh

bng t trng DMT gi nh trn ta thy t sut li nhun (TSLN) k vng ca DMT l

16.45%/nm. TSLN ca tng CP c nh gi theo m hnh CAPM loi tr ri ro h thng

vi TSLN phi ri ro Rf: 7.86%/nm v TSLN th trng Rm khong 20%/nm.

Ta c Ma trn tng quan gia cc CP nh sau:

SSI PGC PVD CII ITA TDH ABT PPC RHC DRC DMC IMP

SSI 1.00 0.11 0.45 0.39-

0.07 0.40 0.31 0.16 0.10 0.31 -0.06-

0.05

PGC 0.11 1.00 0.26 0.25 0.17 0.23 0.15 0.23 0.34 0.34 0.04 0.20PVD 0.45 0.26 1.00 0.44 0.12 0.34 0.25 0.32 0.07 0.12 0.01 0.08CII 0.39 0.25 0.44 1.00 0.09 0.37 0.34 0.25 0.23 0.35 0.09 0.04

ITA-

0.07 0.17 0.12 0.09 1.00 0.09 0.18 0.46 0.02 0.09 0.17 0.40

TDH 0.40 0.23 0.34 0.37 0.09 1.00 0.34 0.20 0.23 0.44 0.08 0.07

ABT 0.31 0.15 0.25 0.34 0.18 0.34 1.00 0.46-

0.08 0.42 0.44 0.14

PPC 0.16 0.23 0.32 0.25 0.46 0.20 0.46 1.00-

0.20 0.13 0.27 0.09

RHC 0.10 0.34 0.07 0.23 0.02 0.23-

0.08-

0.20 1.00 0.31 -0.02 0.19

DRC 0.31 0.34 0.12 0.35 0.09 0.44 0.42 0.13 0.31 1.00 0.23 0.24

DMC-

0.06 0.04 0.01 0.09 0.17 0.08 0.44 0.27-

0.02 0.23 1.00 0.27

IMP -0.05 0.20 0.08 0.04 0.40 0.07 0.14 0.09 0.19 0.24 0.27 1.00

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T ta lp c bng ma trn hip phng sai - Covariance Matrix nh sau:

Ma trn hip phng sai - Covariance Matrix

SSI PGC PVD CII ITA TDH ABT PPC RHC DRC DMC IMP

SSI 0.008 0.003 0.002 0.002 0.001 0.001 0.002 0.003 0.001 0.001 0.001 0.002PGC 0.003 0.004 0.002 0.003 0.002 0.002 0.002 0.002 0.003 0.002 0.001 0.001PVD 0.002 0.002 0.006 0.004 0.003 0.002 0.002 0.002 0.001 0.001 0.001 0.001CII 0.002 0.003 0.004 0.005 0.002 0.002 0.002 0.002 0.003 0.002 0.000 0.001ITA 0.001 0.002 0.003 0.002 0.004 0.001 0.002 0.001 0.001 0.002 0.000 0.001TDH 0.001 0.002 0.002 0.002 0.001 0.004 0.001 0.000 0.001 0.001 0.001 0.001ABT 0.002 0.002 0.002 0.002 0.002 0.001 0.003 0.002 0.001 0.001 0.001 0.002PPC 0.003 0.002 0.002 0.002 0.001 0.000 0.002 0.010 0.003 0.002 0.001 0.002RHC 0.001 0.003 0.001 0.003 0.001 0.001 0.001 0.003 0.006 0.003 0.001 0.001DRC 0.001 0.002 0.001 0.002 0.002 0.001 0.001 0.002 0.003 0.004 0.000 0.001DMC 0.001 0.001 0.001 0.000 0.000 0.001 0.001 0.001 0.001 0.000 0.003 0.002

IMP 0.002 0.001 0.001 0.001 0.001 0.001 0.002 0.002 0.001 0.001 0.002 0.004T Ma trn hip phng sai ta lp c bng Ma trn hip phng sai ca DMT nh sau:

Ma trn hip phng sai ca DMTMultiplied Covariance Matrix for the Equally Weighted Portfolio and Portfolio Variance

SSI PGC PVD CII ITA TDH ABT PPC RHC DRC DMC IMPWeight

s 8% 8% 10% 8% 8% 10% 8% 8% 8% 8% 8% 8%SSI 8% 0.00005 0.00002 0.00002 0.00002 0.00001 0.00001 0.00001 0.00002 0.00001 0.00000 0.00001 0.00001

PGC 8% 0.00002 0.00003 0.00002 0.00002 0.00001 0.00001 0.00001 0.00001 0.00002 0.00001 0.00001 0.00001

PVD 10% 0.00002 0.00002 0.00006 0.00003 0.00002 0.00002 0.00002 0.00002 0.00001 0.00001 0.00001 0.00001

CII 8% 0.00002 0.00002 0.00003 0.00003 0.00001 0.00002 0.00001 0.00001 0.00002 0.00001 0.00000 0.00000

ITA 8% 0.00001 0.00001 0.00002 0.00001 0.00003 0.00001 0.00001 0.00001 0.00001 0.00001 0.00000 0.00001

TDH 10% 0.00001 0.00001 0.00002 0.00002 0.00001 0.00004 0.00001 0.00000 0.00001 0.00001 0.00000 0.00001

ABT 8% 0.00001 0.00001 0.00002 0.00001 0.00001 0.00001 0.00002 0.00001 0.00001 0.00001 0.00001 0.00001

PPC 8% 0.00002 0.00001 0.00002 0.00001 0.00001 0.00000 0.00001 0.00006 0.00002 0.00002 0.00001 0.00001

RHC 8% 0.00001 0.00002 0.00001 0.00002 0.00001 0.00001 0.00001 0.00002 0.00004 0.00002 0.00001 0.00001

DRC 8% 0.00000 0.00001 0.00001 0.00001 0.00001 0.00001 0.00001 0.00002 0.00002 0.00003 0.00000 0.00001

DMC 8% 0.00001 0.00001 0.00001 0.00000 0.00000 0.00000 0.00001 0.00001 0.00001 0.00000 0.00002 0.00001

IMP 8% 0.00001 0.00001 0.00001 0.00000 0.00001 0.00001 0.00001 0.00001 0.00001 0.00001 0.00001 0.00003

Tngphng saica tng CK

0.00018 0.00017 0.00024 0.00018 0.00014 0.00015 0.00013 0.00019 0.00017 0.00014 0.00008 0.00012

Phng saica DMDT

0.0019

Do lechchuan DMDT

0.0436176

Cc d liu trn sau khi x l bng phn mm Excel v Crystalball cho ra cc kt qu sau:

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TSLN STDEV SSI PGC PVD CII ITA TDH ABT PPC RHC DRC DMC IMP0.1331 0.0398 0.00 0.00 0.00 0.01 0.15 0.19 0.00 0.09 0.00 0.11 0.45 0.00

0.1396 0.0387 0.00 0.00 0.00 0.02 0.15 0.16 0.10 0.05 0.00 0.11 0.41 0.00

0.1478 0.0381 0.03 0.00 0.00 0.00 0.13 0.17 0.18 0.04 0.00 0.12 0.32 0.01

0.1724 0.0400 0.02 0.00 0.00 0.00 0.06 0.13 0.44 0.00 0.11 0.00 0.16 0.08

0.1871 0.0431 0.06 0.02 0.00 0.00 0.07 0.09 0.45 0.00 0.18 0.00 0.00 0.12

0.1875 0.0431 0.05 0.00 0.00 0.00 0.05 0.12 0.48 0.00 0.20 0.00 0.00 0.10

0.1905 0.0443 0.04 0.08 0.00 0.00 0.00 0.08 0.49 0.00 0.21 0.00 0.00 0.10

0.1965 0.0489 0.00 0.24 0.00 0.00 0.00 0.00 0.41 0.00 0.31 0.00 0.00 0.04

0.2001 0.0555 0.00 0.01 0.00 0.00 0.00 0.00 0.37 0.00 0.62 0.00 0.00 0.00

0.2014 0.0599 0.00 0.00 0.00 0.00 0.00 0.00 0.28 0.00 0.72 0.00 0.00 0.00

0.2032 0.0667 0.00 0.00 0.00 0.00 0.00 0.00 0.15 0.00 0.85 0.00 0.00 0.00

0.2053 0.0752 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00 0.00 0.00 0.00

Vi kt qu trn ta v c ng bin hiu qu - Efficient Frontier nh sau:

im giao nhau gia ng CAL(P) v ng Efficcient Frontier xc nh ti im P vi

TSLN k vng ca DMT l 17.24% vi lch chun (mc ri ro) l 4%. T kt qu trn taxc nh li DMT v t trng ca cc CP trong DMT nh sau:

Trang 44/50

E f f ic i e n t F r o n

0 . 0 7

0 . 0 8

0 . 0 9

0 . 1 0

0 . 1 1

0 . 1 2

0 . 1 30 . 1 4

0 . 1 5

0 . 1 6

0 . 1 7

0 . 1 8

0 . 1 9

0 . 2 0

0 . 2 1

0 . 2 2

0 .0 2 0 .0 3 0 .0 4 0 .0 5 0 .0 6 0 . 0 7

D o L e c h C h

TSLN CAL(P)

P


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STT T l DMDT hiu qu1 SSI 0.0172 PGC 0.0013 ITA 0.0604 TDH 0.1305 ABT 0.4396 RHC 0.1057 DMC 0.1648 IMP 0.084Total weight 1.000

Vi DMT nm trn ng bin hiu qu trn s gim thiu ri ro ca DMT v ng thi

cng gia tng TSLN k vng ca danh mc kh cao.

Tuy nhin vi nh u t c mc chp nhn ri ro thp th c th chn DMT im m

TSLN k vng ca DMT bng 14.78% v lch chun (mc ri ro) thp nht l 3.81%.

Ngc li nu nh u t chp nhn ri ro cao th c th chn DMT im m TSLNk

vng ca danh mc 18.75% v lch chun (mc ri ro) 4.32%.

V.5. PHN TCH C BN NH GI C PHIU (CAPM)

CC CH TIU C BN NM 2007Rf : 7.86%/nm

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20%/nm

STT CKEPScbn

EPS.chnh

P/EC tc

D1Beta

T sut LNk vng E(r)PP CAPM

P/Book P/Sales

Gi CPngy

21/02/2008

Gi CP

PP PE

1 ABT 7.82 8.48 8.49 2.00 0.88 0.19 7.82 1.70 67 72.0

2 CII 0.28 2.39 21.97 1.20 0.98 0.20 6.66 14.88 49,4 52.5

3 DMC 4.58 4.65

35.86 2.08 0.63 0.15 10.04 3.36 139 166.8

4 DRC 5.35 5.35

23.36 1.08 0.72 0.17 11.55 1.76 100 125.0

5 IMP 5.72 5.52 34.24 1.00 0.70 0.16 7.89 3.52 171 189.0

6 ITA 4.87 3.9 28.21 3.00 0.65 0.16 14.57 23.59 105 110.0

7 PGC 1.71 1.79 22.91 1.20 0.93 0.19 3.74 0.99 37.1 41.0

8 PPC 3.02 3.02 16.06 2.00 0.31 0.12 5.23 4.93 46.2 48.59 PVD 4.45 4.21 30.4 0.70 1.04 0.21 20.87 11.23 119 128.0

10 RHC 4.07 4.07

11.55 2.00 0.60 0.15 2.69 3.88 38 47.0

11 SSI 13.03 8.15 14.48 2.50 0.26 0.11 17.23 54.96 108 118.0

12 TDH 7.94 8.52 15.14 1.50 0.83 0.18 5.70 21.93 117 129.0

Qua bng trn ta thy cc CP c P/E thp th hu nh iu c h s beta thp cho thy mc ri

ro th trng thp v cc CP c P/E cao th c h s beta cao iu ny cho thy rng cc CP c li

nhun cao hay gi cao th thng c mc ri ro th trng cao.

TSLN k vng E(r) c nh gi bng m hnh CAPM vi TSLN Rf: 7.86 v TSLN Rm

khong: 20%. Cc CP u c TSLN k vng E(r) kh cao.

Gi CP cp nht ngy 21/02/2008 thp hn gi CP tnh theo phng P/E. iu ny cho thy

hin gi gi CP xung thp hn gi tr thc ca n. Nh u t c th nm bt c hi ny mua

vo hoc ti c cu li DMT.

CC CH TIU TI CHNH

STT CK ROE ROA ROSTS thanhton hin

thi

TS thanhton

nhanhTSn/VCSH TSn/TTS Vngquay TS

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1 ABT 0.14 0.10 0.09 1.45 1.19 0.44 0.31 1.03

2 CII 0.12 0.06 0.54 0.37 0.37 1.19 0.54 0.10

3 DMC 0.14 0.11 0.08 3.35 1.73 0.29 0.23 1.38

4 DRC 0.34 0.12 0.06 1.67 0.75 1.80 0.64 2.02

5 IMP 0.11 0.10 0.12 6.72 4.68 0.14 0.13 0.80

6 ITA 0.18 0.14 0.40 1.61 1.61 0.30 0.23 0.35

7 PGC 0.08 0.05 0.03 2.01 1.57 0.54 0.35 1.71

8 PPC 0.22 0.09 0.22 3.29 2.62 1.53 0.60 0.39

9 PVD 0.31 0.13 0.21 2.44 2.37 1.05 0.45 0.63

10 RHC 0.22 0.11 0.36 1.65 1.52 0.99 0.50 0.30

11 SSI 0.21 0.14 0.72 1.96 1.96 0.51 0.34 0.19

12 TDH 0.19 0.13 1.08 3.54 1.03 0.43 0.29 0.12

Qua bng trn ta thy cc CP u c TSLN trn vn ch s hu (VCSH) rt tt trn 10%. Cho

thy hot ng ca cc cng ty trn u tt.

Tuy nhin mt vi CP c TSLN trn Tng ti sn thp nh: PVD, PPC iu ny cho thy rngN phi tr trn VCSH kh cao.

Bn cnh mt vi CP c TSLN trn doanh thu kh thp nh DRC, PGC cho thy Doanh thu

cao nhng chi ph hot ng v chi ph sn xut cao. Ngc li mt vi CP c TSLN trn doanh thu

kh cao nh ITA, SSI, TDH, RHC, CII kh cao cho thy chi ph hot ng rt thp. c bit l CP

TDH c TSLN trn doanh thu l 108% rt cao, iu ny cho thy ngoi li nhun thu c t hot

ng SXKD TDH cn c li nhun thu c t cc hot ng khc nh u t ti chnh kh cao.

T s thanh ton hin thi v T s thanh ton nhanh ca cc CP ngoi tr CP CII u c tnh

thanh khon cao.

T cc bng phn tch trn ta thy DMT v t trng c chn bao gm cc CP SSI, PGC,

ITA, TDH, ABT, RHC, DMC, IMP l ph hp v c mc ri ro thp, do DMT ny l mt trong

nhng danh mc t hiu qu va gim thiu ri ro va c TSLN cao. Nh u t c th da vo

danh mc ny u t.

V.6. CHIN LC U T

Chin lc u t chng khon: thng thng c 3 bc c bn

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Vi nhng nh u t khi tham gia vo th trng, vic tm hiu thng tin ban u l iu quan

trng nht. Lin tc, lin tc 24 gi mi ngy, 7 ngy mi tun, th trng xo ng khng ngng:

thu thp thng tin, nh gi phn tch, tng hp... D l th trng vn, th trng n, th trng

hng ho hay th trng tin t, lun lun phi c k thua ngi thng.Th trng chng khon ni c nhiu nhng xung t hn u khc. khng c quy nh,

hn ngch, khng c nhng ch nh trc cho ai thng hoc thua bao nhiu. Th trng khng cn

bit n ngi thuc ng cp, chng tc hay mu da no v cng khng bit dung tha cho bt c

ai. bc chn vo l phi c chin thut, chin lc ging nh cc tng lnh cm qun ni chin

trng.

Trn th trng u t, mi nh u t c mt phong cch ring, chin lc v cch p dng

ring ph hp nht vi h, do vy thnh cng hay tht bi - tt c u xut pht t vic xy dng

nh gi chin lc v k hoch u t ca mnh.

Thng thng, mt chin lc u t tng hp bao gm 3 bc c bn sau:

Bc 1: Thu thp thng tin

Thng tin i vi TTCK rt quan trng do vy vic trc tin l tm thng tin t nhiu cch

khc nhau nh: sch bo, cc tp ch v kinh doanh, trn TV hoc Internet. Ngoi ra chng ta c th

bn bc vi cc chuyn gia ca cng ty chng khon hoc vi cc nh u t khc trn th trng

c nhiu thng tin hn.

Vic tm hiu ra mt quyt nh ng n tht khng d dng i vi cc nh u t, Do

nh u t cn phi tm hiu thng tin v: tnh hnh th gii, tnh hnh kinh t Vit Nam, cc thng

tin v php lut, thu lin quan n TTCK, tnh hnh ca TTCK v tnh hnh cc ngnh ngh.

Bc 2: nh gi thng tin

y l mt bc v cng quan trng, do vy trc khi mua c phiu, ta nn t ra cc tiu

chun la chn ring.Tip theo l nghin cu cc loi bo co ca cng ty nh bo co thng nin, bo co qu,

cc bn bo co ti chnh ca cng ty m mnh ang nh mua v cc bo co ca cc i th cnh

tranh ca cng ty trong cng ngnh , so snh kt qu kinh doanh, tnh hnh li nhun ca cc

cng ty vi nhau. nh gi v cc ch s ROE, ROA, ROS, EBIT... ca cc loi c phiu.

nh gi cc ch s ti chnh ca cng ty; tm hiu xem Doanh s v li nhun ca cng ty c

tng lin tc trong nhng qu hay nm gn y nht. So snh cng ty vi cc i th cnh tranh v

cc con s ti chnh, cht lng qun l, sn phm v dch v.

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49/50

Tm hiu thng tin v ban lnh o ca cng ty cng nhiu cng tt. Mt s nh u t ni

ting thng cho rng nn mua c phiu nh th anh c th tr thnh i tc lm n vi cng ty

.

nh gi v d bo gi c phiu ca cng ty c hp dn khng, Phn tch nh gi cc CP davo cc m hnh nh gi nh CAPM, APT, P/E, MVA, EVA. S dng phn mm Excel, SPSS...

Bc 3: Ra quyt nh u t

Trc khi ra quyt nh u t, iu quan trng trc tin l nh gi ri ro, li nhun k vng

ca c phiu , so snh la chn DMT c phiu xem danh mc no c mc ri ro thp v c t

sut li nhun cao. p dng l thuyt qun l DMT Markowitz, M hnh CAPM a bin a

dng ha DMT gim thiu ri ro.

Sau khi xc nh DMT v t trng cho tng CP trong danh mc, tin hnh lp k hoch chin

lc DMT di hn v ngn hn. K n lp k hoch phn b ngun vn u t chng khon.

Tin hnh phn tch k thut cc ch s ca th trng v ca cc CP bit xu hng th

trng nh th no thi im no thch hp nn mua vo v thi im no nn bn ra, TSLN mong

i . S dng cc phn mm phn tch k thut nh Metastock...

K hoch vn u t v li nhun d kin u t ti chnh ca nhm BlueStar

Ch tiu u t ti chnh nm 2008BSG

T ng

Vn u t ti chnh 50

Vn xoay vng u t ngn hn (3 vng / nm) 35

Vn u t di hn 15

Li nhun u t 9

Chi ph lng + thu u t 0,144Li nhun rng 8,856

T l li nhun /Vn u t 17%

D kin t l phn b cho u t ngn hn v di hn

S dng 60% ngun vn u t cho u t ngn hn (t 1-90 ngy) v trung hn (90

ngy ti 180 ngy)

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50/50

S dng 40% vn cho u t di hn khong trn 1 nm

(S tin hnh u t khi phn tch thi im mua v bn hp l nht v ngun vn phn

b theo thi gian c th s iu chnh cho ph hp vi tnh hnh thc t)

K hoch gii ngn ngun vnNgun vn u t ngn hn s c gii ngn theo chin lc xoay vng vn. Mi nm d

kin quay 3 vng.

VI. KT LUN

Nh phn c s l thuyt cp trn, s kt hp nhng chng khon khng c quan h

tng quan cng chiu, hoc km tng quan s gim c ri ro bin ng li nhun u t chng

khon, ch yu l nhng ri ro phi h thng.

Nhm kt hp gia m hnh CAPM tnh TSLN k vng E(r) nhm gim thiu nhng ri ro

h thng hay ri ro th trng v l thuyt v DMT ca Markowitz nhm gim thiu nhng ri ro

phi h thng, dng TSLN E(r) ny phn tch DMT a dng ha u t.

Hn ch ca ti l TTCK Vit Nam cn rt tr, cho nn d liu th trng qu t nn tin

cy khng cao. Trong thi gian ti khi th trng c nhiu d liu th trng v thng tin hn th

phn tch s c tin cy cao hn.

V thi gian hn ch nn nhm cha i su vo phn tch k thutv d bo gi ca tng CP

la chn thi im thch hp mua vo v bn ra cc CP.

D liu thu thp t cc ngun:

http://info.vcbs.com.vn/VIP/CompanyKeyRatios.aspx?StockSymbol=REE&LanguageID=1http://www.vietstock.com.vn/media/http://www.bvsc.com.vn/home.aspx?TapID=1http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.vinastock.com.vn/index/
http://info.vcbs.com.vn/VIP/CompanyKeyRatios.aspx?StockSymbol=REE&LanguageID=1http://info.vcbs.com.vn/VIP/CompanyKeyRatios.aspx?StockSymbol=REE&LanguageID=1http://www.vietstock.com.vn/media/http://www.bvsc.com.vn/home.aspx?TapID=1http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.vinastock.com.vn/index/http://info.vcbs.com.vn/VIP/CompanyKeyRatios.aspx?StockSymbol=REE&LanguageID=1http://info.vcbs.com.vn/VIP/CompanyKeyRatios.aspx?StockSymbol=REE&LanguageID=1http://www.vietstock.com.vn/media/http://www.bvsc.com.vn/home.aspx?TapID=1http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.hastc.org.vn/default.asp?actType=1&menuup=602000&TypeGrp=1&menuid=103120&menulink=600000&menupage=&stocktype=2http://www.vinastock.com.vn/index/

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