168 PRESENT TO YOU Team ‘ 1 ’ MEET OUR TEAM Rumm LÊ CHÍ THIÊN ĐINH THỊ KIM NGÂN Đinh Văn Quốc NGUYỄN THỊ NHUNG ‹› 1 FINAL REPORT THE PORTFOLIO OF CUU LONG PETRO EXIM BANK Proposed supervisor M Fin Nguyễn Thanh Hương Course Financial Investment Class 42K15 3 ￥ ‹› Without any further do, today, i gonna present to you about the By 2 GENERAL ANALYSIS World situation 2018 2019 Global 3 7 3 9 America 2 3 2 7 Japan 1 8 1 2 European 2 4 2 2 Germany 2 5 2 3 France 1 8 1 9 China 6 8 6 6 ASIAN – 5 (I.
Rumm MEET OUR TEAM Team: ‘ ’ PRESENT TO YOU… ĐINH THỊ KIM NGÂN LÊ CHÍ THIÊN NGUYỄN THỊ NHUNG Đinh Văn Quốc T H E P O RT F O L I O O F C U U LO N G P E T R O & EXIM BANK F IN AL RE P O RT ￥ Proposed supervisor: M Fin Nguyễn Thanh Hương Course: Financial Investment Class: 42K15.3 GENERAL ANALY SIS World situation 2018 2019 Global 3.7 3.9 America 2.3 2.7 Japan 1.8 1.2 European 2.4 2.2 Germany 2.5 2.3 France 1.8 1.9 China 6.8 6.6 ASIAN – 5.3 5.3 (Include: Indonesia, Malaysia, Philippines, Thailand, VietNam) GENERAL ANALY SIS Inflation Country 2018 2019 Global 2.192 % 3.6 % China 1.52 % 2.1 % Europe 2.14 % 2.2 % American 2.2 % 2.6 % Japan 0.42 % 1% GENERAL ANALY SIS Public debt to GDP Country 2018 2019 Global 225 % 318 % China 46.96 % 50.10 % American 74.5 % 55.58 % Japan 237.647 % 238.225 % GENERAL ANALY SIS Political instability GENERAL ANALY SIS Year 2018 2019 Growth of GDP (%) 6.81 % 7.08 % Agriculture, forestry and fishery (%) 2.90 % 3.76% Industry and construction sector (%) 8.0 % 8.85 % Service area (%) 7.44 % 7.03 % The growth of Viet Nam GENERAL ANALYSI S Inflation COMPANYANALY SIS EXIM BANK & CUULONG CORP 10 CUY LONG CORP Overview Development history Business fields Company’s position RuM’s credit ANALYZING FINANCIAL STATUS EXIM BANK Indicators Year 2017 Year 2018 ROA 0.59% 0.44% ROE 5.94% 4.53% EPS 699 537 16 17 BUIDING PORTFOLIO 18 I Collecting the datas Collecting the datas of two stocks from 2/1/2018 to 30/8/2019 • Using the websites: http://www.cophieu68.vn/ to collect the datas of two stocks which named CCL, EIB and that of VNI NDEX from 2/1/2018 to 30/8/2019 By using formula: the following Rt : is the daily rate of return of the security (%) Pt : is the adjusted price of the stock on t Pt+1 : is the adjusted price of the stock on t + 19 We show the result of this part in the attachted excel file: 20 The expected return of two stocks and the VNindex • Apply formula and information of stock and VN index in our stock markets, we can calculate data as follo w table below • Expected rate of return CCL EIB Vnindex 0.2423 % 0.0892 % 0.0042 % => CCL and EIB stocks both have positive expected returns and are larger than VN's expected returns, so choosing these two stocks in the portfolio will yield future returns for investors However, the combination of these two assets is more profitable than the market is not sure 21 Standard deviation of two stocks and the VNindex Standard deviation 2.851080 % CCL 1.949830 % EIB VN index 1.1871868 % => Standard deviation measure the volatility of an investerment The higher the , the risker the investerment Here, standard deviation of CCL is 2.851080 % and EIB is 1.949830 %, higher than VNI’s standard deviation That means the risk of both stocks is much higher than the market 22 Covariance and correlation coefficients of CCL and EIB The covariance of two stocks is calculated by this formula: , : Rate of return at period t of stock CCL, EIB E() , E() : The expected rate of return on stock N: Number of time periods The correlation between two stock is calculated by this formula: : the covariance between CCL, EIB : the standard deviation of CCL, EIB 23 Covariance and correlation coefficients of CCL and EIB • Cov = 0.000026 % • Corr = 0.046826907 % • => Covariance and the correlation coefficient between the two securities are positive, so that the yields of two sec urities tend to move in the same direction as their average values over the same period, the correlation between tw o securities less than one indicates that two securities have a linear relationship of the same direction, the same inc rease or decrease 24 The minimum variance frontier and the efficient frontier • a Minimum variance frontier: • In order to solve these issues, we will build optimal portfolios offering the maximum possible expected return for a given level of risk based on Modern portfolio theory of Markowitz Accordi ng to all steps below: • Step 1: Set up equations of proportion of funds in CCL, EIB Then, calculate the expected rate of return, variance, standard deviation according to available dat a W(CCL) W(EIB) бP E(RP) б2P Shape(S) 0 0.0024232 0.995 0.005 0.029267 0.00241554 0.000857 0.0804458 0.99 0.01 0.029121 0.00240789 0.000848 0.080587719 0.985 0.015 0.028974 0.00240023 0.00084 0.080730146 0.98 0.02 0.028829 0.00239257 0.000831 0.08087307 0.975 0.025 0.028683 0.00238492 0.000823 0.081016477 0.97 0.03 0.028538 0.00237726 0.000814 0.081160357 0.965 0.035 0.028393 0.0023696 0.000806 0.081304694 0.96 0.04 0.028248 0.00236194 0.000798 0.081449476 0.955 0.045 0.028104 0.00235429 0.00079 0.081594688 0.95 0.05 0.027961 0.00234663 0.000782 0.081740313 0.945 0.055 0.027817 0.00233897 0.000774 0.081886337 0.94 0.06 0.027674 0.00233131 0.000766 0.08203274 25 The minimum variance frontier and the efficient frontier • Step2: • Using Microsoft Excel to draw the minimum variance frontier A minimum variance portfolio is a portfolio of securities that combine to minimize the price volatility of the overall portfolio In Markowitz portfolio theory, the frontier on a chart representing a portfolio with the least amount of volatility MINIMUM VARIANCE The minimum variance frontier and the efficient frontier 26 b.The efficient frontier - Finding the portfolio which has the least standard deviation through the equation: THE EFFICIENT FRONTIER Portfolio has the least standard deviation Weight of CCL 0.3014017911 Weight of EIB 0.6985982089 Expected return 0.001353446 Expected Variance 0.0164418977 27 If you had 100 million dong, how would you invest? •6.1 Determine sharp ratio of CAL • Suppose Rf= 2.2003% • We have: = Expected return 0.2423% Var STD 0.0008 2.85108 13 % weight EIB 0.0003 1.94983 80 03% ϭp Sp max 0.1741711% 0.18489% 0.90895873 55.5% CCL 0.0892% E(Rp) 44.5% 28 If you had 100 million dong, how would you invest? • Determine proportion of risk-free assets in portfolio 6.2 • • COMBINED PORTFOLIO =y • U= • Y= Weighted Weighted of of investing investing risky risky assets assets Y Y Weighted Weighted of of investing investing risk-free risk-free asset asset 1– –y y Expected returns for combinations Expected returns for combinations Variance Variance on on the the possible possible 98% 98% 2% 2% 0.214722% 0.214722% combined combined 1.8119% 1.8119% portfolio portfolio Risk Risk aversion aversion A A Utility U 5 0.021390125 46 29 If you had 100 million dong, how would you invest? 6.3 Determine capital allocation for combined portfolio Assets in portfolio Weight of assets Amount ( Risk-free asset 0.02 1,674,689 Risky assets 0.98 98,325,311 CCL 0.555 54,570,547 EIB 0.445 43,754,763 100000000 With Total 30 THAT´S ALL T HA N K S FOR YOUR TIME ... & EXIM BANK F IN AL RE P O RT ￥ Proposed supervisor: M Fin Nguyễn Thanh Hương Course: Financial Investment Class: 42K15.3 GENERAL ANALY SIS World situation 2018 2019 Global 3.7 3.9 America 2.3... before tax 1,017,579 827,128 Net profit after tax 822,830 660,590 Net gain/(loss) from sales of investment securities 62,621 -116,033 Deposits from customers RuM’s credit ANALYZING FINANCIAL