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DNG NG BIN HIU QU MARKOWITZ TRONG TRNG HP C BN KHNGTNH TON T SUT SINH 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.60%12.20%13.29%3229/04/0914.44%21.41%0.52%50.10%17.44%8.29%33.60%16.49%17.65%25.31%16.25%35.76%9.94%28.04%39.04%1.13%7.58%10.43%4.17%21.23%20.49%23.24%102.38%22.36%13.62%3329/05/0926.19%19.14%46.94%71.45%18.74%20.87%31.10%46.78%16.25%38.07%31.24%22.30%4.94%34.01%31.49%41.66%3.32%26.01%0.00%14.24%35.80%6.45%62.80%55.32%24.67%3430/06/097.25%1.49%1.29%-22.84%-3.37%3.18%17.47%13.35%-1.26%-11.07%18.84%2.34%-8.03%13.58%34.59%-3.01%4.26%20.93%12.96%16.56%-1.69%-7.20%0.00%-16.96%8.53%3531/07/0911.94%17.10%0.96%-1.44%10.75%5.82%24.28%6.51%-9.28%10.63%14.98%9.47%3.76%-5.60%5.01%-4.69%31.85%-0.31%1.10%9.93%6.78%-3.80%18.40%7.40%4.04%3631/08/0923.32%40.55%28.61%25.41%27.94%12.69%13.43%17.83%34.83%10.01%30.49%10.56%6.50%38.36%8.58%7.70%21.71%2.15%10.17%24.97%37.62%22.78%20.93%34.32%15.82%3730/09/0931.85%23.73%-8.74%-2.27%13.40%-3.30%19.88%-0.76%14.85%10.00%21.28%1.35%-8.19%7.10%-3.55%-3.01%12.59%18.03%9.51%-5.23%23.03%27.84%11.86%23.60%6.05%3830/10/094.59%-16.28%2.58%14.90%15.24%10.61%24.27%-6.81%5.48%-2.73%-1.04%6.22%-3.83%3.00%-7.50%-4.69%-2.72%26.00%23.42%7.20%1.61%17.92%-9.37%-1.49%1.07%3930/11/09-13.22%-14.86%-21.70%-11.51%-20.88%-12.88%-19.25%-12.39%-8.92%-12.77%-4.28%-19.64%-27.13%-23.17%-24.64%-8.34%-10.47%-19.14%-13.87%-13.35%-14.29%-24.19%-49.15%-14.81%-15.24%4031/12/090.73%3.77%2.60%-9.29%2.46%16.82%8.60%-8.65%2.02%-5.38%7.88%-3.10%-3.79%4.55%-6.62%-6.28%-4.39%3.26%-1.61%-2.25%10.71%-5.10%-10.11%-10.34%-1.87%TSSL trung bnh-0.67%-0.23%-0.78%-1.92%1.28%1.85%1.81%-0.40%-2.09%-0.95%-0.28%-1.87%-0.87%-0.31%-0.75%-2.70%1.62%-0.13%-0.43%0.20%0.73%-0.09%-3.71%-0.57%-0.16%BETA0.85221.29650.84891.26001.01730.65501.37310.96320.94331.39081.05391.21411.00220.74461.19200.82950.70890.67130.55980.82421.19620.96692.14961.19481.0000MA TRN PHNG SAI V HIP PHNG SAI(S DNG HM OFFSET)DHAGMDTNAVFCCIICOMBMPBBCAGFREESJSSAMPPCSSCSTBTRIVNMSAVTMSKHAKDCLAFMHCNKD01234567891011121314151617181920212223DHA00.02850.02350.01930.02630.01910.01620.02510.01630.01930.02330.02200.02070.00990.01610.02550.01390.01310.01250.01370.01690.02000.02470.03970.0205GMD10.02350.04840.02310.03660.02900.01430.03860.03030.02830.04560.03850.03890.03040.02240.03370.02210.01930.01770.01530.02460.03540.03150.07360.0353TNA20.01930.02310.02670.03130.01750.01690.02290.02310.01710.02470.02430.01940.01470.01540.02350.01820.01030.01310.01260.02080.02220.02170.04120.0230VFC30.02630.03660.03130.06430.02780.02080.03670.03730.02430.04360.03200.03110.02440.02550.03670.03160.01420.01700.01470.02820.03370.04300.09260.0384CII40.01910.02900.01750.02780.02970.01560.03060.02080.02580.03230.01800.02790.02080.01790.02420.01700.01580.01630.00840.02030.02760.02410.05150.0298COM50.01620.01430.01690.02080.01560.02080.01720.01430.01300.02040.01310.01460.01120.01510.01790.01290.01100.01220.01000.01870.01390.02030.02900.0112BMP60.02510.03860.02290.03670.03060.01720.04720.02840.02660.04100.03080.03730.03170.01930.03530.02110.02100.02090.01900.02200.03710.02570.06530.0356BBC70.01630.03030.02310.03730.02080.01430.02840.04010.02040.03310.02530.02570.02110.01650.02900.02240.01200.01860.01110.02140.02870.02550.05850.0320AGF80.01930.02830.01710.02430.02580.01300.02660.02040.03100.02720.01830.02860.01630.01800.02080.01740.01400.01590.00690.01770.02660.02090.04100.0302REE90.02330.04560.02470.04360.03230.02040.04100.03310.02720.05940.04240.04270.03510.02830.03950.02800.01810.02130.01390.02830.03440.03750.07990.0351SJS100.02200.03850.02430.03200.01800.01310.03080.02530.01830.04240.07220.03050.01760.02130.02970.02530.01200.01480.01680.02450.02760.03140.05100.0265SAM110.02070.03890.01940.03110.02790.01460.03730.02570.02860.04270.03050.04490.02890.02430.03160.01860.01860.02080.01320.02040.03170.02410.06110.0330PPC120.00990.03040.01470.02440.02080.01120.03170.02110.01630.03510.01760.02890.03700.01310.02260.01440.01580.01430.01270.01480.02650.01770.04060.0216SSC130.01610.02240.01540.02550.01790.01510.01930.01650.01800.02830.02130.02430.01310.02880.02180.01510.01170.01490.00900.01910.01810.02280.04450.0187STB140.02550.03370.02350.03670.02420.01790.03530.02900.02080.03950.02970.03160.02260.02180.04730.02210.01440.01790.01630.02630.02670.02760.06670.0242TRI150.01390.02210.01820.03160.01700.01290.02110.02240.01740.02800.02530.01860.01440.01510.02210.02770.01000.01180.00600.01630.02170.02310.05010.0248VNM160.01310.01930.01030.01420.01580.01100.02100.01200.01400.01810.01200.01860.01580.01170.01440.01000.01800.01090.01000.01280.01910.01210.02690.0178SAV170.01250.01770.01310.01700.01630.01220.02090.01860.01590.02130.01480.02080.01430.01490.01790.01180.01090.02080.00820.01660.01860.01510.02570.0175TMS180.01370.01530.01260.01470.00840.01000.01900.01110.00690.01390.01680.01320.01270.00900.01630.00600.01000.00820.02040.01180.01390.01340.02160.0086KHA190.01690.02460.02080.02820.02030.01870.02200.02140.01770.02830.02450.02040.01480.01910.02630.01630.01280.01660.01180.03020.01790.02710.04500.0169KDC200.02000.03540.02220.03370.02760.01390.03710.02870.02660.03440.02760.03170.02650.01810.02670.02170.01910.01860.01390.01790.04020.02110.05540.0401LAF210.02470.03150.02170.04300.02410.02030.02570.02550.02090.03750.03140.02410.01770.02280.02760.02310.01210.01510.01340.02710.02110.05270.07210.0224MHC220.03970.07360.04120.09260.05150.02900.06530.05850.04100.07990.05100.06110.04060.04450.06670.05010.02690.02570.02160.04500.05540.07210.20640.0655NKD230.02050.03530.02300.03840.02980.01120.03560.03200.03020.03510.02650.03300.02160.01870.02420.02480.01780.01750.00860.01690.04010.02240.06550.0502HNG S C6.50%GTTBTSSLTRTRUNG BNHHNG SZXZYCHUYN O XDHA-0.67%-7.17%-8.83663.2141-8.36500.52493.214135976-2.8173765632-0.3085427595-0.2251277834-0.9993975781-2.2469235372-3.011563677-0.08103434662.27138392930.58589319590.44464976950.24908766112.7954147491-0.7580760991-0.8586537610.6567628947-0.61948233560.71739135261.04729735971.30718382440.2995110135-1.30233827281.160013861-0.5202088733GMD-0.23%-6.73%7.7458-2.81745.8335-0.3660TNA-0.78%-7.28%0.8483-0.30852.3067-0.1447CHUYN O YVFC-1.92%-8.42%0.6189-0.2251-1.42670.08950.5248936046-0.3660412497-0.14473978470.08952472480.2486105258-0.1457587006-1.0509989841-0.07663576490.5446624194-0.18898784190.289064932-0.20189588170.8819573445-0.14118212220.03989738520.17116540970.08683536270.54564524740.5438433778-0.1575285233-0.5641293129-0.37751209290.22972500140.2195849235CII1.28%-5.22%2.7476-0.9994-3.96200.2486COM1.85%-4.65%6.1774-2.24692.3229-0.1458TSSL TB (X)-25.89%TSSL TB (Y)-5.59%BMP1.81%-4.69%8.2796-3.011616.7493-1.0510VAR (X)9.42%VAR (Y)0.76%BBC-0.40%-6.90%0.2228-0.08101.2213-0.0766 LCH CHUN (X)30.69% LCH CHUN (Y)8.71%AGF-2.09%-8.59%-6.24472.2714-8.68010.5447REE-0.95%-7.45%-1.61080.58593.0118-0.1890HIP PHNG SAI ( X,Y)0.0203SJS-0.28%-6.78%-1.22250.4446-4.60670.2891 LCH CHUN76.05%SAM-1.87%-8.37%-0.68480.24913.2175-0.2019PPC-0.87%-7.37%-7.68542.7954-14.05540.8820SSC-0.31%-6.81%2.0842-0.75812.2500-0.1412STB-0.75%-7.25%2.3607-0.8587-0.63580.0399TRI-2.70%-9.20%-1.80560.6568-2.72780.1712VNM1.62%-4.88%1.7031-0.6195-1.38390.0868SAV-0.13%-6.63%-1.97230.7174-8.69570.5456TMS-0.43%-6.93%-2.87931.0473-8.66700.5438KHA0.20%-6.30%-3.59381.30722.5105-0.1575KDC0.73%-5.77%-0.82340.29958.9903-0.5641LAF-0.09%-6.59%3.5805-1.30236.0163-0.3775MHC-3.71%-10.21%-3.18921.1600-3.66100.2297NKD-0.57%-7.07%1.4302-0.5202-3.49940.2196TNH TON NG BIN HIU QUTNH TON CHO MT DANH MCT L VN U T VO X0.3TSSL TRUNG BNH CA DANH MC-11.68% LCH CHUN CA DANH MC14.40%DATA TABLE TH NG BIN HIU QUT TRNGX LCHCHUNTSSL14.40%-11.68%-2.044.84%35.02%-1.942.40%32.99%-1.839.96%30.96%-1.737.53%28.93%DANH MC Z-1.635.11%26.90%-1.532.69%24.87%-1.430.28%22.84%-1.327.88%20.81%-1.225.50%18.78%-1.123.13%16.75%-1.020.79%14.71%-0.918.48%12.68%-0.816.22%10.65%-0.714.03%8.62%-0.611.96%6.59%-0.510.06%4.56%-0.48.47%2.53%-0.37.38%0.50%DANH MC W-0.27.02%-1.53%-0.17.52%-3.56%0.08.71%-5.59%DANH MC Y0.110.37%-7.62%0.212.30%-9.65%0.314.40%-11.68%0.416.60%-13.71%0.518.87%-15.74%0.621.18%-17.77%0.723.53%-19.80%0.825.90%-21.83%0.928.29%-23.86%1.030.69%-25.89%DANH MC X1.133.10%-27.92%1.235.52%-29.95%1.337.94%-31.98%DANH MC Q

BHQ c bn khng

NG BIN HIU QUDM ZDM WDM YDM XDM Q LCH CHUNTSSL TRUNG BNHNG BIN HIU QU TRONG TRNG HP C BN KHNG

BHQ khng bn khngXY DNG NG BIN HIU QU MARKOWITZ TRONG TRNG HP KHNG BN KHNGMA TRN PHNG SAI V HIP PHNG SAI(S DNG HM OFFSET)DHAGMDTNAVFCCIICOMBMPBBCAGFREESJSSAMPPCSSCSTBTRIVNMSAVTMSKHAKDCLAFMHCNKD01234567891011121314151617181920212223DHA00.02850.02350.01930.02630.01910.01620.02510.01630.01930.02330.02200.02070.00990.01610.02550.01390.01310.01250.01370.01690.02000.02470.03970.0205GMD10.02350.04840.02310.03660.02900.01430.03860.03030.02830.04560.03850.03890.03040.02240.03370.02210.01930.01770.01530.02460.03540.03150.07360.0353TNA20.01930.02310.02670.03130.01750.01690.02290.02310.01710.02470.02430.01940.01470.01540.02350.01820.01030.01310.01260.02080.02220.02170.04120.0230VFC30.02630.03660.03130.06430.02780.02080.03670.03730.02430.04360.03200.03110.02440.02550.03670.03160.01420.01700.01470.02820.03370.04300.09260.0384CII40.01910.02900.01750.02780.02970.01560.03060.02080.02580.03230.01800.02790.02080.01790.02420.01700.01580.01630.00840.02030.02760.02410.05150.0298COM50.01620.01430.01690.02080.01560.02080.01720.01430.01300.02040.01310.01460.01120.01510.01790.01290.01100.01220.01000.01870.01390.02030.02900.0112BMP60.02510.03860.02290.03670.03060.01720.04720.02840.02660.04100.03080.03730.03170.01930.03530.02110.02100.02090.01900.02200.03710.02570.06530.0356BBC70.01630.03030.02310.03730.02080.01430.02840.04010.02040.03310.02530.02570.02110.01650.02900.02240.01200.01860.01110.02140.02870.02550.05850.0320AGF80.01930.02830.01710.02430.02580.01300.02660.02040.03100.02720.01830.02860.01630.01800.02080.01740.01400.01590.00690.01770.02660.02090.04100.0302REE90.02330.04560.02470.04360.03230.02040.04100.03310.02720.05940.04240.04270.03510.02830.03950.02800.01810.02130.01390.02830.03440.03750.07990.0351SJS100.02200.03850.02430.03200.01800.01310.03080.02530.01830.04240.07220.03050.01760.02130.02970.02530.01200.01480.01680.02450.02760.03140.05100.0265SAM110.02070.03890.01940.03110.02790.01460.03730.02570.02860.04270.03050.04490.02890.02430.03160.01860.01860.02080.01320.02040.03170.02410.06110.0330PPC120.00990.03040.01470.02440.02080.01120.03170.02110.01630.03510.01760.02890.03700.01310.02260.01440.01580.01430.01270.01480.02650.01770.04060.0216SSC130.01610.02240.01540.02550.01790.01510.01930.01650.01800.02830.02130.02430.01310.02880.02180.01510.01170.01490.00900.01910.01810.02280.04450.0187STB140.02550.03370.02350.03670.02420.01790.03530.02900.02080.03950.02970.03160.02260.02180.04730.02210.01440.01790.01630.02630.02670.02760.06670.0242TRI150.01390.02210.01820.03160.01700.01290.02110.02240.01740.02800.02530.01860.01440.01510.02210.02770.01000.01180.00600.01630.02170.02310.05010.0248VNM160.01310.01930.01030.01420.01580.01100.02100.01200.01400.01810.01200.01860.01580.01170.01440.01000.01800.01090.01000.01280.01910.01210.02690.0178SAV170.01250.01770.01310.01700.01630.01220.02090.01860.01590.02130.01480.02080.01430.01490.01790.01180.01090.02080.00820.01660.01860.01510.02570.0175TMS180.01370.01530.01260.01470.00840.01000.01900.01110.00690.01390.01680.01320.01270.00900.01630.00600.01000.00820.02040.01180.01390.01340.02160.0086KHA190.01690.02460.02080.02820.02030.01870.02200.02140.01770.02830.02450.02040.01480.01910.02630.01630.01280.01660.01180.03020.01790.02710.04500.0169KDC200.02000.03540.02220.03370.02760.01390.03710.02870.02660.03440.02760.03170.02650.01810.02670.02170.01910.01860.01390.01790.04020.02110.05540.0401LAF210.02470.03150.02170.04300.02410.02030.02570.02550.02090.03750.03140.02410.01770.02280.02760.02310.01210.01510.01340.02710.02110.05270.07210.0224MHC220.03970.07360.04120.09260.05150.02900.06530.05850.04100.07990.05100.06110.04060.04450.06670.05010.02690.02570.02160.04500.05540.07210.20640.0655NKD230.02050.03530.02300.03840.02980.01120.03560.03200.03020.03510.02650.03300.02160.01870.02420.02480.01780.01750.00860.01690.04010.02240.06550.0502TSSLHng s c2%Hng s c1%Hng s c0%Hng s c-1%Hng s c-2%TRUNGT TRNGT TRNGT TRNGT TRNGT TRNGBNHDANH MC 1DANH MC 2DANH MC 3DANH MC 4DANH MC 5DHA-0.67%DHA0%DHA0%DHA0%DHA0%DHA0%GMD-0.23%GMD0%GMD0%GMD0%GMD0%GMD0%TNA-0.78%TNA0%TNA0%TNA0%TNA0%TNA0%VFC-1.92%VFC0%VFC0%VFC0%VFC0%VFC0%CII1.28%CII0%CII0%CII0%CII0%CII0%COM1.85%COM100%COM72%COM54%COM50%COM48%BMP1.81%BMP0%BMP0%BMP0%BMP0%BMP0%BBC-0.40%BBC0%BBC0%BBC0%BBC0%BBC0%AGF-2.09%AGF0%AGF0%AGF0%AGF0%AGF0%REE-0.95%REE0%REE0%REE0%REE0%REE0%SJS-0.28%SJS0%SJS0%SJS0%SJS0%SJS0%SAM-1.87%SAM0%SAM0%SAM0%SAM0%SAM0%PPC-0.87%PPC0%PPC0%PPC0%PPC0%PPC0%SSC-0.31%SSC0%SSC0%SSC0%SSC0%SSC0%STB-0.75%STB0%STB0%STB0%STB0%STB0%TRI-2.70%TRI0%TRI0%TRI0%TRI0%TRI0%VNM1.62%VNM0%VNM28%VNM46%VNM50%VNM52%SAV-0.13%SAV0%SAV0%SAV0%SAV0%SAV0%TMS-0.43%TMS0%TMS0%TMS0%TMS0%TMS0%KHA0.20%KHA0%KHA0%KHA0%KHA0%KHA0%KDC0.73%KDC0%KDC0%KDC0%KDC0%KDC0%LAF-0.09%LAF0%LAF0%LAF0%LAF0%LAF0%MHC-3.71%MHC0%MHC0%MHC0%MHC0%MHC0%NKD-0.57%NKD0%NKD0%NKD0%NKD0%NKD0%Tng100%Tng100%Tng100%Tng100%Tng100%TSSL trung bnh ca danh mc1.85%TSSL trung bnh ca danh mc1.79%TSSL trung bnh ca danh mc1.75%TSSL trung bnh ca danh mc1.74%TSSL trung bnh ca danh mc1.73% lch chun ca danh mc14.41% lch chun ca danh mc12.87% lch chun ca danh mc12.39% lch chun ca danh mc12.32% lch chun ca danh mc12.30%Theta-0.0101Theta0.0612Theta0.1410Theta0.2220Theta0.3032NG BIN HIU QU KHNG C BN KHNGTSSLDANHTRUNGLCHMCBNHCHUN11.85%14.41%21.79%12.87%31.75%12.39%41.74%12.32%51.73%12.30%

BHQ khng bn khng

lch chunT sut sinh liNG BIN HIU QU KHNG C BN KHNG

ng ng dngNG NG DNG C BN KHNGNG BIN HIU QUH S NGI RI RO3C BN KHNGNG NG DNGU = E(r) - h s ngi ri ro*varT TRNGX LCHCHUNTSSLTSSL ng vi U (max)0.014.40%-11.68%-17.90%8.98%-2.044.84%35.02%-25.30%63.08%-1.942.40%32.99%-20.94%56.69%-1.839.96%30.96%-16.96%50.67%-1.737.53%28.93%-13.33%45.02%-1.635.11%26.90%-10.08%39.74%-1.532.69%24.87%-7.19%34.82%-1.430.28%22.84%-4.67%30.27%-1.327.88%20.81%-2.51%U (max)2.76%26.08%-1.225.50%18.78%-0.73%22.26%-1.123.13%16.75%0.70%18.81%-1.020.79%14.71%1.75%15.73%-0.918.48%12.68%2.44%13.01%-0.816.22%10.65%2.76%10.65%-0.714.03%8.62%2.72%8.67%-0.611.96%6.59%2.30%7.05%-0.510.06%4.56%1.53%5.80%-0.48.47%2.53%0.38%4.91%-0.37.38%0.50%-1.13%4.39%-0.27.02%-1.53%-3.01%4.24%-0.17.52%-3.56%-5.25%4.46%0.08.71%-5.59%-7.86%5.04%0.110.37%-7.62%-10.84%5.98%0.212.30%-9.65%-14.19%7.30%0.314.40%-11.68%-17.90%8.98%0.416.60%-13.71%-21.98%11.03%0.518.87%-15.74%-26.42%13.44%0.621.18%-17.77%-31.23%16.22%0.723.53%-19.80%-36.41%19.37%0.825.90%-21.83%-41.95%22.88%0.928.29%-23.86%-47.86%26.77%1.030.69%-25.89%-54.14%31.01%1.133.10%-27.92%-60.79%35.63%1.235.52%-29.95%-67.80%40.61%1.337.94%-31.98%-75.18%45.96%NG NG DNG KHNG BN KHNGNG BIN HIU QUH S NGI RI RO0.5KHNG BN KHNGNG NG DNGU = E(r) - h s ngi ri ro*varTSSLDANHTRUNGLCHMCBNHCHUNTSSL ng vi U (max)11.85%14.41%0.82%2.02%21.79%12.87%0.96%1.81%31.75%12.39%0.98%U (max)0.98%1.75%41.74%12.32%0.98%1.74%51.73%12.30%0.97%1.74%

ng ng dng

ng bin hiu qu c bn khngng ng dng ca nh u t lch chunT sut sinh liNG NG DNG C BN KHNG

Kim nh CAPM

ng bin hiu qu khng bn khngng ng dng ca nh u t lch chunT sut sinh liNG NG DNG KHNG BN KHNG

NG TH TRNG CHNG KHON SMLDHAGMDTNAVFCCIICOMBMPBBCAGFREESJSSAMPPCSSCSTBTRIVNMSAVTMSKHAKDCLAFMHCNKDVN-INDEXTSSL trung bnh-0.67%-0.23%-0.78%-1.92%1.28%1.85%1.81%-0.40%-2.09%-0.95%-0.28%-1.87%-0.87%-0.31%-0.75%-2.70%1.62%-0.13%-0.43%0.20%0.73%-0.09%-3.71%-0.57%-0.16%BETA0.85221.29650.84891.26001.01730.65501.37310.96320.94331.39081.05391.21411.00220.74461.19200.82950.70890.67130.55980.82421.19620.96692.14961.19481.0000HI QUY CC GI TR TSSL THEO H S BETATSSLBETASUMMARY OUTPUTIntercept0.0141DHA-0.67%0.8522Slope-0.0180GMD-0.23%1.2965Regression StatisticsR-squared0.1933TNA-0.78%0.8489Multiple R0.4396563212VFC-1.92%1.2600R Square0.1932976808CII1.28%1.0173Adjusted R Square0.1582236669COM1.85%0.6550Standard Error0.0123113048BMP1.81%1.3731Observations25BBC-0.40%0.9632T kt qu trn cho thy ng SML c cho bi cng thcAGF-2.09%0.9433ANOVAREE-0.95%1.3908dfSSMSFSignificance FSJS-0.28%1.0539Regression10.00083531320.00083531325.51113657670.0278694761SAM-1.87%1.2141Residual230.00348606920.0001515682PPC-0.87%1.0022Total240.0043213824SSC-0.31%0.7446STB-0.75%1.1920CoefficientsStandard Errort StatP-valueLower 95%Upper 95%Lower 95.0%Upper 95.0%TRI-2.70%0.8295Intercept0.01408012820.00831678711.69297686140.1039634573-0.00312445670.031284713-0.00312445670.031284713VNM1.62%0.7089X Variable 1-0.01799534840.0076654856-2.34758100530.0278694761-0.0338526134-0.0021380834-0.0338526134-0.0021380834SAV-0.13%0.6713TMS-0.43%0.5598KHA0.20%0.8242KDC0.73%1.1962LAF-0.09%0.9669MHC-3.71%2.1496NKD-0.57%1.1948VN-INDEX-0.16%1.0000VN-INDEX C PHI L DANH MC HIU QU?R-square l 19.33% cho thy bin beta ch gii thch c 19.33% cho s thay i ca t sut sinh li. Ngoi ra, p-value ca h s chn n 10.4%, mc tin cy khng c cao. Tt cnhng iu cho thy phng trnh SML (vi beta theo Vn-Index) c mc ngha khng cao.MA TRN PHNG SAI V HIP PHNG SAI(S DNG HM OFFSET)DHAGMDTNAVFCCIICOMBMPBBCAGFREESJSSAMPPCSSCSTBTRIVNMSAVTMSKHAKDCLAFMHCNKD01234567891011121314151617181920212223DHA00.02850.02350.01930.02630.01910.01620.02510.01630.01930.02330.02200.02070.00990.01610.02550.01390.01310.01250.01370.01690.02000.02470.03970.0205GMD10.02350.04840.02310.03660.02900.01430.03860.03030.02830.04560.03850.03890.03040.02240.03370.02210.01930.01770.01530.02460.03540.03150.07360.0353TNA20.01930.02310.02670.03130.01750.01690.02290.02310.01710.02470.02430.01940.01470.01540.02350.01820.01030.01310.01260.02080.02220.02170.04120.0230VFC30.02630.03660.03130.06430.02780.02080.03670.03730.02430.04360.03200.03110.02440.02550.03670.03160.01420.01700.01470.02820.03370.04300.09260.0384CII40.01910.02900.01750.02780.02970.01560.03060.02080.02580.03230.01800.02790.02080.01790.02420.01700.01580.01630.00840.02030.02760.02410.05150.0298COM50.01620.01430.01690.02080.01560.02080.01720.01430.01300.02040.01310.01460.01120.01510.01790.01290.01100.01220.01000.01870.01390.02030.02900.0112BMP60.02510.03860.02290.03670.03060.01720.04720.02840.02660.04100.03080.03730.03170.01930.03530.02110.02100.02090.01900.02200.03710.02570.06530.0356BBC70.01630.03030.02310.03730.02080.01430.02840.04010.02040.03310.02530.02570.02110.01650.02900.02240.01200.01860.01110.02140.02870.02550.05850.0320AGF80.01930.02830.01710.02430.02580.01300.02660.02040.03100.02720.01830.02860.01630.01800.02080.01740.01400.01590.00690.01770.02660.02090.04100.0302REE90.02330.04560.02470.04360.03230.02040.04100.03310.02720.05940.04240.04270.03510.02830.03950.02800.01810.02130.01390.02830.03440.03750.07990.0351SJS100.02200.03850.02430.03200.01800.01310.03080.02530.01830.04240.07220.03050.01760.02130.02970.02530.01200.01480.01680.02450.02760.03140.05100.0265SAM110.02070.03890.01940.03110.02790.01460.03730.02570.02860.04270.03050.04490.02890.02430.03160.01860.01860.02080.01320.02040.03170.02410.06110.0330PPC120.00990.03040.01470.02440.02080.01120.03170.02110.01630.03510.01760.02890.03700.01310.02260.01440.01580.01430.01270.01480.02650.01770.04060.0216SSC130.01610.02240.01540.02550.01790.01510.01930.01650.01800.02830.02130.02430.01310.02880.02180.01510.01170.01490.00900.01910.01810.02280.04450.0187STB140.02550.03370.02350.03670.02420.01790.03530.02900.02080.03950.02970.03160.02260.02180.04730.02210.01440.01790.01630.02630.02670.02760.06670.0242TRI150.01390.02210.01820.03160.01700.01290.02110.02240.01740.02800.02530.01860.01440.01510.02210.02770.01000.01180.00600.01630.02170.02310.05010.0248VNM160.01310.01930.01030.01420.01580.01100.02100.01200.01400.01810.01200.01860.01580.01170.01440.01000.01800.01090.01000.01280.01910.01210.02690.0178SAV170.01250.01770.01310.01700.01630.01220.02090.01860.01590.02130.01480.02080.01430.01490.01790.01180.01090.02080.00820.01660.01860.01510.02570.0175TMS180.01370.01530.01260.01470.00840.01000.01900.01110.00690.01390.01680.01320.01270.00900.01630.00600.01000.00820.02040.01180.01390.01340.02160.0086KHA190.01690.02460.02080.02820.02030.01870.02200.02140.01770.02830.02450.02040.01480.01910.02630.01630.01280.01660.01180.03020.01790.02710.04500.0169KDC200.02000.03540.02220.03370.02760.01390.03710.02870.02660.03440.02760.03170.02650.01810.02670.02170.01910.01860.01390.01790.04020.02110.05540.0401LAF210.02470.03150.02170.04300.02410.02030.02570.02550.02090.03750.03140.02410.01770.02280.02760.02310.01210.01510.01340.02710.02110.05270.07210.0224MHC220.03970.07360.04120.09260.05150.02900.06530.05850.04100.07990.05100.06110.04060.04450.06670.05010.02690.02570.02160.04500.05540.07210.20640.0655NKD230.02050.03530.02300.03840.02980.01120.03560.03200.03020.03510.02650.03300.02160.01870.02420.02480.01780.01750.00860.01690.04010.02240.06550.0502TNH TON HAI DANH MC HIU QUHNG S10%GTTBTSSLTRTRUNG BNHHNG SZXZYCHUYN O X3.2141-2.8174-0.3085-0.2251-0.9994-2.2469-3.0116-0.08102.27140.58590.44460.24912.7954-0.7581-0.85870.6568-0.61950.71741.04731.30720.2995-1.30231.1600-0.5202DHA-0.67%-10.67%-8.83663.2141-8.11110.3521CHUYN O Y0.3521-0.2085-0.13420.10970.3288-0.0107-0.9250-0.07640.4337-0.23880.2791-0.23090.7590-0.10150.09760.14000.13220.53460.5115-0.2517-0.6196-0.31810.16990.2671GMD-0.23%-10.23%7.7458-2.81744.8037-0.2085TNA-0.78%-10.78%0.8483-0.30853.0919-0.1342TSSL TB (X)-25.89%TSSL TB (Y)-4.28%VFC-1.92%-11.92%0.6189-0.2251-2.52820.1097VAR (X)9.42%VAR (Y)0.62%CII1.28%-8.72%2.7476-0.9994-7.57490.3288 LCH CHUN (X)30.69% LCH CHUN (Y)7.87%COM1.85%-8.15%6.1774-2.24690.2474-0.0107BMP1.81%-8.19%8.2796-3.011621.3100-0.9250HiP PHNG SAI (X,Y)0.0156BBC-0.40%-10.40%0.2228-0.08101.7590-0.0764 LCH CHUN64.47%AGF-2.09%-12.09%-6.24472.2714-9.99140.4337REE-0.95%-10.95%-1.61080.58595.5009-0.2388SJS-0.28%-10.28%-1.22250.4446-6.42900.2791SAM-1.87%-11.87%-0.68480.24915.3188-0.2309PPC-0.87%-10.87%-7.68542.7954-17.48540.7590SSC-0.31%-10.31%2.0842-0.75812.3392-0.1015STB-0.75%-10.75%2.3607-0.8587-2.24930.0976TRI-2.70%-12.70%-1.80560.6568-3.22430.1400VNM1.62%-8.38%1.7031-0.6195-3.04610.1322SAV-0.13%-10.13%-1.97230.7174-12.31600.5346TMS-0.43%-10.43%-2.87931.0473-11.78350.5115KHA0.20%-9.80%-3.59381.30725.7974-0.2517KDC0.73%-9.27%-0.82340.299514.2746-0.6196LAF-0.09%-10.09%3.5805-1.30237.3278-0.3181MHC-3.71%-13.71%-3.18921.1600-3.91510.1699NKD-0.57%-10.57%1.4302-0.5202-6.15390.2671D LIU DANH MC THTRNG VN-INDEXTNH TON DANH MC N L31/10/06-2.89%30/11/0621.21%T TRNG U T VO X0.2529/12/0617.23%T TRNG U T VO Y0.7531/01/0732.52%28/02/078.91%GI TR TB-0.096830/03/07-6.07%PHNG SAI0.015225/04/07-14.76% LCH CHUN0.123431/05/0715.69%29/06/07-5.32%31/07/07-12.12%31/08/070.04%28/09/0713.65%31/10/072.50%BC THAY I T TRNG X0.237730/11/07-9.35%T trngTSSLTSSL28/12/07-4.77%u t voLCHTRUNGCA31/01/08-9.37%danh mc XCHUNBNHVN-INDEX29/02/08-24.11%12.34%-9.68%31/03/08-24.95%-3.000075.69%60.54%29/04/081.06%-2.762369.46%55.40%30/05/08-23.22%-2.524763.25%50.27%30/06/08-3.61%-2.287057.04%45.13%31/07/0812.23%-2.049450.84%40.00%29/08/0817.76%-1.811744.65%34.86%30/09/08-16.59%-1.574038.49%29.73%31/10/08-27.46%-1.336432.36%24.59%28/11/08-9.77%-1.098726.29%19.46%Dng Goalseek xc nh "bc thay i t trng X" nhm tm ra danh mc n l c lch chun bng vi lch chun ca DM th trng.31/12/080.28%-0.861120.34%14.32%23/01/09-4.01%-0.623414.63%9.19%-0.16%27/02/09-21.02%-0.38579.62%4.05%31/03/0913.29%-0.14817.03%-1.08%29/04/0913.62%0.08969.18%-6.22%29/05/0924.67%0.327314.05%-11.35%30/06/098.53%0.564919.72%-16.49%31/07/094.04%0.802625.66%-21.62%31/08/0915.82%1.040231.72%-26.76%30/09/096.05%1.277937.84%-31.90%30/10/091.07%1.515644.00%-37.03%30/11/09-15.24%1.753250.18%-42.17%31/12/09-1.87%1.990956.38%-47.30%TSSL TB-0.16%2.228562.59%-52.44%L CHUN14.63%2.466268.81%-57.57%Nhn xt: Nhn th, ta thy danh mc th trng VN-INDEX khng hiu qu khi so snh n vi danh mc nm trn ng bin hiu qu. V vy, ng SML khng c tng quan 100% vi VN-INDEX.NG TH TRNG CHNG KHON SML I VI DANH MC TRN NG BIN HIU QUDANH MC HIU QU C CNG LCHCHUN VI DANH MC VN-INDEXT TRNG U T VO X-0.6234T TRNG U T VO Y1.6234TSSL TB9.19%( th: im mu vng)PHNG SAI2.14% LCH CHUN14.63%DANH MCDANH MCDANH MCXYHIU QUDHA3.21410.3521-1.4321GMD-2.8174-0.20851.4178TNA-0.3085-0.1342-0.0255VFC-0.22510.10970.3185CII-0.99940.32881.1568COM-2.2469-0.01071.3833BMP-3.0116-0.92500.3757BBC-0.0810-0.0764-0.0734AGF2.27140.4337-0.7119REE0.5859-0.2388-0.7529SJS0.44460.27910.1758SAM0.2491-0.2309-0.5301PPC2.79540.7590-0.5105SSC-0.7581-0.10150.3077STB-0.85870.09760.6938TRI0.65680.1400-0.1822VNM-0.61950.13220.6008SAV0.71740.53460.4207TMS1.04730.51150.1775KHA1.3072-0.2517-1.2234KDC0.2995-0.6196-1.1926LAF-1.3023-0.31810.2955MHC1.16000.1699-0.4473NKD-0.52020.26710.7579T SUT SINH LI CA 24 CHNG KHON V DANH MC HIU QuKNgyDHAGMDTNAVFCCIICOMBMPBBCAGFREESJSSAMPPCSSCSTBTRIVNMSAVTMSKHAKDCLAFMHCNKDDM HIU 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trung bnh-0.67%-0.23%-0.78%-1.92%1.28%1.85%1.81%-0.40%-2.09%-0.95%-0.28%-1.87%-0.87%-0.31%-0.75%-2.70%1.62%-0.13%-0.43%0.20%0.73%-0.09%-3.71%-0.57%9.19%BETA0.28030.31270.27230.18920.42280.46460.46160.30030.17680.26020.30870.19250.26550.30640.27440.13180.44740.31960.29800.34380.38280.32250.05800.28731.0000HI QUY CC GI TR TSSL TRUNG BNH THEO H S BETAH S CHN-0.0451 DC0.1370R21.0000Nhn xt: Kt qu hi quy trn l hon ho. 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MBD00164C79.unknown