part i suppose that you would like to invest in a two risky asset porfolio and a risk free asset

1TABLE OF FIGUREFigure 1: Global economic growth...6Figure 2: Contribution of some economies and economic sectors in global GDP...7Figure 3: Manufacturing PMI and Services PMI...10Figure

DANANG UNIVERSITY OF ECONOMICS

TABLE OF CONTENT

PART I SUPPOSE THAT YOU WOULD LIKE TO INVEST IN A

TWO-RISKY -ASSET PORFOLIO AND A RISK-FREE ASSET 5

I Choose at least two stocks listed on Vietnam Stock Market by applying thefundamental analysis 5

I.1 Marco analysis: 5

 World economic situation 5

 Vietnam's economic situation 17

I.2 Industry analysis 25

I.3 Company analysis 32

II Determine the optimal risk portfolio 41

II.1 Daily adjusted closing price data income of 2 stocks and VNindex from01/01/2020 to 13/11/2022: 41

II.2 Calculate the daily rate of return of each stock and vnindex 42

III Calculate the expected rate of return of the two stocks and the Vnindex 42

IV Calculate the covariance and correlation of the two stocks: 43

V Draw the minimum variance frontier and point out the efficient frontier 43

VI If you had 100 million dong, how would you invest? Suppose that risk-free rate is8% 45

PART II IF YOU WERE A CONSULTANT IN INVESTMENT AND YOUBUILD THE ABOVE PORFOLIO FOR YOUR CLIENTS 47

I Demonstrate that your portfolio is better than the market portfolio (Vn-index)47I.1 Calculate the Sharpe for the Vnindex 47

I.2 Compare the two slopes of the portfolio and vnindex 48

2

II If clients invested in your portfolio, when were they lender/borrower? 48II.1 Draw the capital allocation line with the expected return and standarddeviation of the combined portfolio 48

III Calculate the maximum fee in percentage that you could charge your clients?50

3

FINANCIAL INVESTMENT - FIN3002_46K07 1

TABLE OF FIGURE

Figure 1: Global economic growth 6

Figure 2: Contribution of some economies and economic sectors in global GDP 7

Figure 3: Manufacturing PMI and Services PMI 10

Figure 4: Southeast Asia Manufacturing PMI 11

Figure 5: IMF forecast: growth in global trade in goods and services 12

Figure 6: Inflation forecasts have been revised upwards in most countries 13

Figure 7: Price index movements of some commodity groups 15

Figure 8: Average oil price movements 15

Figure 9: unemployment rate of some economies 16

Figure 10: Forecast of real global economic growth under the scenario for the period of2019-2023 17

Figure 11: IPP growth rate May 10, 2022 compared to the same period previous year ofsome key industries (%) 20

Figure 12: GDP growth rate in 9 months compared to the same period last year 2022 (%) 21

2011-Figure 13: Many international organizations forecast Vietnam's GDP growth in 2022 ata high level 22

Figure 14: Inflation in Vietnam is much lower than that of the US and EU 23

Figure 15: CPI increase/decrease rate of October and 10 months of years 2018-2022 (%) 23

Figure 16: Import and export turnover of goods in 10 months of 2022 (billion USD) 24

Figure 17: Growth rate of import and export turnover in 10 months of 2022 compared tothe same period last year (%) 24

Figure 18: Foreign direct investment capital implemented in 10 months of 2018-2022(billion dollars) 25

Figure 19: Customer deposit growth 29

Figure 20: Demand deposit rate 30

your phone? Save to

read later on yourcomputer

Save to a Studylist

Figure 21: Bad debt ratio 31

Figure 22 Some financial targets of STB as of September 30, 2022 (billion VND) 39

Figure 23: P/B of banks 40

Figure 24 STB's business results as of Q3 41

TABLTable 1: GDP growth rate in the third quarter of 2022 of some countries 8

Table 2: Output of some major livestock products 19

Table 3: Profit before tax of banks in the first 9 months of the year 26

Table 4: Core inflation in September and 9 months of 2020-2022 (Unit: %) 32

Table 5: Business performance of some operations at TPBank in the third quarter of2020, 2021, 2022 (VND million) 34

Table 6: TPB's financial ratios 35

5

PART I SUPPOSE THAT YOU WOULD LIKE TO INVEST IN A TWO-RISKY-ASSET PORFOLIO AND A RISK-FREE ASSET.

I Choose at least two stocks listed on Vietnam Stock Market by applying thefundamental analysis

I.1 Marco analysis: World economic situation

The world economy in the first half of 2022 has not been able to have a strong recoverymomentum over the same period, the contraction or slowing has covered the globe, notablydeveloped economies Although countries continue to make efforts to recover from theCOVID-19 pandemic, the Russia-Ukraine conflict that began at the end of February 2022 andstill has no end has put the global economy in new difficulties Accordingly, inflation escalates,the economy declines, food and energy security is threatened, raised concerns about thestagnation of the world economy in the late '70s.

Figure 1: Global economic growth

6

Figure 2: Contribution of some economies and economic sectors in global GDP

The global economy in the first quarter of 2022 as well as in leading economies hasperformed lower than expected That situation worsened in the second quarter of 2022 whenthe prolonged Russia-Ukraine war brought many consequences, the outbreak of the disease inChina forced the Government of this country to apply lockdown measures in many majorprovinces and cities to pursue the Zero - COVID policy, which has exacerbated the supplychain disruption The outlook for global economic growth in 2022 has been continuouslyrevised down significantly lower than the forecast given at the beginning of the year.Economic growth tends to slow in most economies, especially those in the eurozone, whichhas been hit hard by the Russia-Ukraine conflict Developing economies are forecast to grow4.1% in 2022, 0.4 percentage points lower than the forecast earlier this year, mainly due tohigher energy and food prices, rising inflationary pressures and slowing growth in the UnitedStates, the European Union and China In addition, rising commodity prices have increasedinflationary pressures, curbing demand in most economies.

7

Table 1: GDP growth rate in the third quarter of 2022 of some countries

CountryGDP growth forecast in Q3/2022

Compared toQ3/2021

Compared toQ2/2022

Global production and service activities

In major economies, the pace of improvement in the US manufacturing sector hasdecreased continuously, service activity has fallen to a contraction threshold for 3 consecutivemonths Meanwhile, Europe recorded negative signals of the manufacturing sector in the faceof price pressures, especially energy prices, the contraction movement appearedsimultaneously in both the production and service sectors in the last 2 months of the thirdquarter Inevitably the effects of global instability, Japan's economy has not experienced asteady improvement trend, even the PMI in the service sector returned to a level lower than 50points in August China's economy has not been able to show signs of recovery before thedevelopment of the epidemic and the difficulties of the real estate market, in which the

8

development of the manufacturing sector is having the most worrying signal, the PMI in themanufacturing sector is currently low, below the 50-point threshold for months in a row.However, the positive performance of the service sector, especially tourism and entertainmentservices in China, has contributed to weaknesses in the manufacturing sector.

Figure 3: Manufacturing PMI and Services PMI

In emerging economies, developments are somewhat more positive but also uneven, themost prominent of which is the strong pace of improvement of the Indian economy InSoutheast Asia, positive developments appeared in the whole quarter, the PMI in themanufacturing sector remained above 50 points, excluding Myanmar; Production conditionscontinue to improve, growth in the manufacturing sector is supported by new output andorders In particular, economic developments in Singapore, Thailand and Vietnam arehighlighted.

9

Figure 4: Southeast Asia Manufacturing PMI

Source: Trading Economics

Global trade activities

According to the latest UNCTAD statistical data, global trade since the beginning of theyear, although there has been no reversal, the growth rate has slowed over the quarters Thevalue of global trade has risen more sharply than the volume of transactions before the rise inprices, and increases have appeared for both trade flows of goods and services In particular,many commodity groups have exceeded the pre-pandemic growth rate and maintained anupward trend over the same period such as metals, clothing, agricultural foods, chemicals,textiles, However, there are also commodity groups that have decreased due to the impact ofthe epidemic and shortages in the supply chain and logistics stages such as the transportationsector, smart devices, vehicles,

Global trade is more positive in Asian countries such as Singapore, Indonesia, Malaysiaor in major G20 economies such as Brazil, Canada, Australia, Germany and South Africa.Meanwhile, in the US, Europe and Japan, the trade balance has maintained a prolonged deficit,import and export activities are unstable, and a clear downward trend has appeared in August2022.

10

Figure 5: IMF forecast: growth in global trade in goods and services

Foreign Direct Investment Capital

Entering 2022, the global investment and business environment has changed rapidly inthe face of geopolitical instability, financial conditions, rising inflation, and the risk ofwidespread economic decline, Therefore, the optimistic outlook on the development of FDIinflows globally since the end of last year has also been reconsidered According to the latestforecast, the momentum for investment flows in 2022 is unsustainable, global FDI this yearwill decelerate or in the best-case scenario it is likely to go sideways but new investmentprojects will be uncertain At the same time, investment flows into areas related to sustainabledevelopment goals are still weak, especially in the fields of agriculture, health, and education.

Inflation, global prices

11

In the first half of 2022, the upward trend of inflation continues to be prolonged and haspeaked in many economies Inflationary pressures have spread across the globe, supply chaintensions, post-pandemic labor scarcity, and successive price shocks are the main causes ofrising inflation High inflation will continue to restrain purchasing power globally, stronglyaffecting trade flows and capital flows, especially in the context of central banks increasingmonetary policy tightening actions Overall inflation has far exceeded the targets set by centralbanks, with the exception of Asia Even inflation is already very high in many emergingeconomies such as Turkey, Argentina, Brazil and is trending rapidly in Central and EasternEurope, Latin America, The US, UK, fluctuated between 7.6% - 10.2% However, along withthe cooling trend of prices, especially oil prices and weakening demand, inflation has shownsigns of cooling down in most economies in August 2022.

Figure 6: Inflation forecasts have been revised upwards in most countries

Source: OECD Report 6/2022

In the third quarter, commodity prices globally have tended to increase and decreaseintertwined with lower volatility compared to the previous 2 quarters Accordingly, the pricesof commodity groups almost simultaneously decreased in the first month, increased slightlyagain in 8 and turned down in September Specifically, the average price of energycommodities decreased by 7.8% and the non-energy group decreased by 10.3% In addition,businesses operating in many economies also confirmed that the price of input materials hasdecreased continuously in the past months as the basis for reducing the price of output goods.

12

The cooling signal has appeared more clearly in the group of food, food, crude oil, fertilizers,and manufactured metals.

In particular, the most notable development is the oil price with a prolonged decline for3 consecutive months, the sharp decline in July has brought the average price of Brent andWTI oil to $ 90.16 / barrel and $ 83.87 / barrel At the end of September, WTI and Brent spotoil prices were $80.03 per barrel and $86.39 per barrel, respectively, with a decrease of morethan 25% and more than 23% compared to the end of the second quarter, respectively.Meanwhile, the average price index of manufactured metals decreased in the range of 10% -33%, precious metals, food, edible oil and cereals fell by 9%, 10%, 17%, more than 6%,respectively However, commodity prices are still high, the decline in the quarter is stronglyaffected by weakening demand in the face of inflationary pressures and global economicdifficulties.

13

Figure 7: Price index movements of somecommodity groups

Figure 8: Average oil price movements

Global labor market

Although the global economy is showing signs of deterioration, the labor market isquite stable, the unemployment rate in other countries improved slightly, down about 0.1percentage points compared to the previous quarter or remained stable, except for the US.Post-pandemic labor shortages have improved compared to the second quarter, with companiesramping up recruitment of skilled workers despite rising wage costs However, the recovery of

14

the labor market also varies between groups of countries and working ages A strong recoverywill take place in developed countries while signs of slowing down or not reaching pre-pandemic thresholds appear in low- and middle-income economies Besides, the recovery rateof the young labor market is still slow, according to the latest forecast of the World LaborOrganization, the total number of young workers without jobs has decreased slightly by about2 million people compared to 2021 but is still 6 million more people than the pre-pandemicthreshold.

Figure 9: unemployment rate of some economies

Economic outlook by the end of 2022

In the face of weak economic developments in the third quarter, internationalorganizations continue to revise down their forecasts for global growth in 2022 compared toprevious forecasts In general, the majority of forecasts say that the global economy is unlikelyto show signs of recovery in the next quarter, the trend of contraction, or slowing improvementcontinues to appear in economic activities Global economic growth remains challenging amid

15

political uncertainties and epidemics; risk of decline, inflation, also dominates In thatcontext, the latest forecast for global GDP growth will decrease in the range of 2.4% – 3.2%from 6.2% in 2021, inflation risks and economic stagnation are still hidden.

Figure 10: Forecast of real global economic growth under the scenario for the period of2019-2023

GROWTH OF SOME ECONOMIES

On that basis, the major economies in 2022 are forecast to have lower-than-expectedgrowth, with the exception of Japan key economies such as Germany, Italy, France, all havedeclining prospects Other western economies, such as Britain, face a similar situation The USeconomy continues to face a slowdown in real growth, the economic recovery rate will belower than last year but more positive signals will come in the fourth quarter for employmentand consumption, Besides, China's economy continues to face many internal difficulties, it islikely that the growth of 2022 will not reach the set target Meanwhile, bright spots for globaleconomic growth will appear in emerging economies of the Middle East, North Africa andAsia such as India, Indonesia, Vietnam, the Philippines and Bangladesh, Notably, theadvantages of economies in the Asia-Pacific region with strong internal economic drivers,

16

effective regional free trade agreements, efficient supply chains and stable foreign capitalflows.

 Vietnam's economic situation

The socio-economic situation in October and 10 months of 2022 of our country continuesthe trend of recovery in most sectors and fields However, it takes place in the context that theworld economy is facing many challenges, the economy is shrinking, global investment andtrade are declining Leading economies are facing many difficulties, increasing the likelihoodof recession; high inflation continues to persist in many countries; strategic and geopoliticalcompetition between major powers, military conflicts between Russia and Uganda; naturaldisasters, epidemics, climate change, rainstorms, droughts increasing risks to financialmarkets, currencies, energy security, global food security; falling aggregate demand has aspillover effect on Vietnam's international trade In that context, with the determination torecover and develop the economy, creating momentum to complete the socio-economicdevelopment goals of the 5-year Plan 2021-2025, the Government and the Prime Minister havedirected ministries, branches and localities to proactively implement tasks and solutions tobring the country's economy back into orbit effectively sustainable growth and do not miss thepace of development of the world economy; In particular, focusing on 5 main groups of tasksand solutions as follows:

- First, opening up the economy is associated with investment in improving health capacity,disease prevention and control.

- Second, social security and employment support.

- Third, support the recovery of enterprises, cooperatives and business households.

- Fourth, investment in infrastructure development.

- Fifth, institutional reform, administrative reform, improvement of the investment andbusiness environment At the same time, Resolution No 11/NQ-CP also specifies resources for

17

the implementation of the Program, as well as assigning specific tasks to ministries, centralagencies and localities according to their functions, tasks and competence.

Vietnam industry 2022, Buffalo and cow breeding is generally stable, the outbreak ofdermatitis is gradually controlled, but the risk of recurrence is still high Local authorities andspecialized agencies still need to continue to implement solutions to prevent and controlepidemics, well organize vaccination; timely monitoring, detection and handling of newlyarising outbreaks; strictly handle cases of illegal transportation and sale of buffaloes and cowsof unknown origin.

Table 2: Output of some major livestock products

Production of pork(thousand tons)

Cumulative9 months /

Milk (thousand tons) 314,4 932,1 10,7 10,3

The industry continues to maintain growth, the production index (IIP) in October 2022is estimated to increase by 6.3% over the same period last year, of which the IIP index of themanufacturing industry increased by 5.7% In the first 10 months of 2022, the IIP indexincreased by 9%; in which many key industries are high growth.

18

Figure 11: IPP growth rate May 10, 2022 compared to the same period previous year ofsome key industries (%)

GDP in the first 9 months of 2022 increased by 8.83% over the same period last year,which is the highest increase of 9 months in the period 2011-2022, production and businessactivities gradually regained growth momentum, policies recovered thanks to high Covid-19vaccination rates, the transition to a more flexible pandemic prevention approach, tradeexpansion and socio-economic development of the Government have been effective.

Figure 12: GDP growth rate in 9 months compared to the same period last year 2022 (%)

2011-19

Vietnam's economy has overcome difficulties and challenges after nearly three years of beingaffected by the Covid-19 epidemic as well as the risk of food and energy insecurity due toarmed conflicts and geopolitical issues in the world Many international organizations raisedVietnam's 2022 GDP growth forecast Specifically, the International Monetary Fund (IMF)adjusted Vietnam's GDP growth forecast in 2022 from 6% to 7% HSBC's research departmentalso raised Vietnam's full-year 2022 growth forecast from 6.6% to 6.9% One of the reasons forHSBC to raise Vietnam's growth forecast is that Vietnam's GDP growth in Q2/2022 hassurpassed 7.7% The Asian Development Bank (ADB) forecasts growth for Vietnam at 6.5% in2022 The positive forecasts and assessments of international organizations and the results ofour country's economic growth in the past 9 months have clearly shown that:

Figure 13: Many international organizations forecast Vietnam's GDP growth in 2022 ata high level.

Vietnam's monetary and fiscal policies are considered quite flexible The State Bank ofVietnam responded well to instability, keeping inflation low and the USD/VND exchange raterelatively stable Meanwhile, the government is cutting many taxes and is boosting publicinvestment to both curb inflation and maintain macroeconomic stability and economic growth.Inflation in Vietnam by the end of August 2022 was at 2.89% over the same period, while in

20

the US it was 8.3%; August inflation in Europe was 9.1% and this figure in September reached10%.

Figure 14: Inflation in Vietnam is much lower than that of the US and EU.

Inflation is controlled, the average consumer price index (CPI) in the first 10 months of2022 increased by 2.89% over the same period last year, higher than the increase of 1.81% ofthe average of 10 months of 2021, but lower than the increase of the average of 10 months of2020 (3.71%) Core inflation [4] on average in the first 10 months of 2022 increased by 2.14%.

21

Figure 15: CPI increase/decrease rate of October and 10 months of years 2018-2022 (%)

Export and import activities achieved positive results, the trade balance of goodsmaintained a surplus Total export and import turnover of goods in October was estimated at58.27 billion USD, up 0.1% over the previous month and up 5.7% over the same period lastyear In the first 10 months of 2022, the total export and import turnover of goods is estimatedat 616.24 billion USD, up 14.1% over the same period last year, of which exports increased by15.9%; imports increased by 12.2%.

Although global geopolitical tensions and tight financial conditions continue to limit FDIinflows in 2022, FDI disbursements will increase sharply as foreign investors continue tobelieve, and business in Vietnam becomes easier Investment capital increased compared tothe same period last year In which, the investment capital made from the State budget in thefirst 10 months of 2022 is estimated to increase by 20.1%; Foreign direct investment capitalmade in Vietnam reached 17.45 billion USD, up 15.2%, the highest of 10 months in the past 5years.

Figure 18: Foreign direct investment capital implemented in 10 months of 2018-2022(billion dollars)

In addition to the positive bright spots, Vietnam's economy is also facing manydifficulties and challenges ahead:

As a result of the COVID-19 epidemic, the Russia-Ukraine crisis, the Fed and centralbanks of other countries continuously raised interest rates at high levels, causing the DOLLARto strengthen sharply against other currencies in the world, negatively affecting the exchangerate, interest rate and value of the Vietnamese currency This, especially negatively affectingour country's international trade activities with 70% of export and import turnover of goodsmade in USD, our country's major export markets tend to shrink, affecting domestic export,

23

import and production and business activities Currently, in some areas, export orders are downcompared to before.

Besides, our country's economy depends quite heavily on imported raw materials andmaterials When the dollar rises in the context of a global supply chain disruption, itsignificantly affects production stability and increases the impact of inflationary cost inflationdue to inflationary imports on the economy.

I.2 Industry analysis

In the first 9 months of 2022, the total pre-tax profit of 28 banks reached VND 192,500billion, up 39% over the same period in 2021 At the end of 3 quarters, 7 banks joined thegroup of banks with a profit of VND 10,000 billion, 9 banks with a growth rate of over 50%.Although there are also some cases where banks lose money, or growth slows down, but thenumber is only single The top 10 profits in Q3 are still quite familiar names, which areVietcombank (24,940 billion dong), Techcombank (20,800 billion dong), VPBank (19,837billion dong), MB (18,192 billion dong), BIDV (17,677 billion dong), VietinBank (15,764billion dong), ACB (13,503 billion dong), SHB (9,035 billion dong), HDBank (8,016 billiondong) and VIB (7,800 billion dong) Some banks recorded a decline in pre-tax profit such asOCB (decrease by 10%), Kienlongbank (decrease by 42%), BaoVietBank (decrease by 21%).Of the 28 banks listed, NCB is the only bank that recorded a loss in the first 9 months of 2022.The bank reported a loss of VND 180 billion while in the same period last year a profit beforetax of VND 206 billion.

Table 3: Profit before tax of banks in the first 9 months of the year

STTBankProfit before tax (Unit: billion VND)

In addition, from the second quarter of 2022, the rate of demand deposits at many banksdecreased because cash flows from current accounts tended to shift to term savings channels toenjoy high interest rates due to high interest rates Investments such as stocks and real estate

25