Xây dựng và quản lý danh mục đầu tư chứng khoán ở Việt Nam

Trần văn trí hà nội - 2015 NGN HANG NHA NC VIấT NAM B GIO DC VA AO TO HOC VIấN NGN HANG ********** TRN VN TR XY DNG V QUN Lí DANH MC U T CHNG KHON VIấT NAM LUN N TIấN SI KINH Tấ luận án tiến sĩ kinh tế H NI NM 2015 NGN HANG NHA NC VIấT NAM B GIO DC VA AO TO HOC VIấN NGN HANG ********** TRN VN TR XY DNG V QUN Lí DANH MC U T CHNG KHON VIấT NAM CHUYấN NGNH :TI CHNH - NGN HANG M S :62.34.02.01 LUN N TIấN SI KINH Tấ NGI HNG DN KHOA HOC: GS-TS.NGUYN KHC MINH PGS-TS.TRNG QUC CNG H NI NM 2015 LI CAM OAN Tụi xin cam oan õy l cụng trỡnh nghiờn cu ca riờng tụi S liu lun ỏn l trung thc v cú ngun gc rừ rng Kt qu nghiờn cu chớnh tụi thc hin di s hng dn khoa hc ca GS-TS.Nguyn Khc Minh v PGS-TS.Trng Quc Cng H ni, thỏng nm 2015 Nghiờn cu sinh Trn Vn Trớ MC LC LI CAM OAN i MC LC ii DANH MC BNG BIU DANH MC HèNH Vi Viii M U 1 Tớnh cp thit ca ti Tng quan tỡnh hỡnh nghiờn cu 3 Mc ớch nghiờn cu 14 i tng v phm vi nghiờn cu 14 Phng phỏp nghiờn cu 15 Nhng úng gúp d kin ca lun ỏn 16 Ni dung v kt cu ca lun ỏn 16 CHNG 1: NHNG VN C BN V XY DNG V QUN Lí DANH MC U T CHNG KHON 17 Danh mc u t chng khoỏn 17 1.1.1 Khỏi nim danh mc u t chng khoỏn 17 1.1.2 Thu nhp v ri ro ca danh mc u t chng khoỏn 17 1.1.3 a dng húa danh mc u t chng khoỏn 21 1.1.4 Khỏi quỏt mt s mụ hỡnh nh giỏ chng khoỏn 24 1.1.5 Chin lc qun lý danh mc u t chng khoỏn 26 1.1 1.2 Quy trỡnh xõy dng v qun lý danh mc u t 30 1.2.1 Xỏc nh mc tiờu u t 30 1.2.2 La chn chng khoỏn u t 30 1.2.3 Xõy dng danh mc u t 31 1.2.4 Qun lý danh mc u t 31 1.3 La chn chng khoỏn u t vi mụ hỡnh nh giỏ ti sn 33 1.3.1 Nhng gi thuyt kinh t cho th trng 33 1.3.2 Xõy dng mụ hỡnh nh giỏ ti sn 36 1.4 Xõy dng danh mc u t chng khoỏn 43 1.4.1 Xõy dng danh mc u t hiu qu ca cỏc chng khoỏn ri ro 43 1.4.2 Xõy dng danh mc u t chng khoỏn ti u 48 1.4.3 Xỏc nh danh mc u t chng khoỏn ti u cho nh u t 53 Qun lý danh mc u t 56 1.5.1 ỏnh giỏ hiu qu danh mc u t 56 1.5.2 iu chnh danh mc u t 62 1.5 CHNG 2: THC NGHIM XY DNG V QUN Lí DANH MC U T CHNG KHON VIấT NAM 2.1 Tng quan th trng chng khoỏn Vit Nam 2.2.1 iu kin ỏp dng lý thuyt danh mc xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam 2.1.2 Phng phỏp xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam 2.2 La chn c phiu u t 65 65 65 67 71 2.2.1 Vn kinh t lng ca mụ hỡnh nh giỏ ti sn 71 2.2.2 La chn d liu 72 2.2.3 c lng h s beta cỏc chng khoỏn 75 2.2.4 H s anpha ca cỏc c phiu, la chn c phiu 77 2.3 Xõy dng danh mc u t ti u 84 2.3.1 Xõy dng ng biờn hiu qu 84 2.3.2 La chn danh mc u t hiu qu 87 2.3.3 Xõy dng danh mc u t ti u 88 Qun lý danh mc u t 94 2.4 2.4.1 ỏnh giỏ hiu qu danh mc u t ti thi im xõy dng 2.4.2 ỏnh giỏ li mc hiu qu v iu chnh danh mc u t 94 101 2.5 Nhng iu kin thun li v hn ch vic xõy dng, qun lý danh mc u t trờn th trng chng khoỏn Vit Nam 108 2.5.1 Nhng thun li xõy dng v qun lý danh mc u t trờn th trng chng khoỏn Vit Nam 108 2.5.2 Mt s khú khn v hn ch xõy dng, qun lý danh mc u t trờn th trng chng khoỏn Vit Nam 111 CHNG 3: GII PHP HON THIN NG DNG Lí THUYT DANH MC U T TRONG XY DNG V QUN Lí DANH MC U T CHNG KHON 115 VIT NAM 3.1 Nhúm cỏc gii phỏp lm tng tớnh hiu qu cho th trng chng khoỏn Vit Nam 115 3.1.1 Nõng cao cht lng cụng b thụng tin trờn th trng chng khoỏn 117 3.1.2 Tng cng cỏc hot ng giỏm sỏt th trng chng khoỏn 118 Nhúm cỏc gii phỏp tng cung hng húa trờn th trng 119 3.2 chng khoỏn 3.2.1 Tip tc y mnh c phn húa doanh nghip nh nc 120 3.2.2 Khuyn khớch cỏc cụng ty i chỳng thc hin niờm yt c phiu trờn cỏc S giao dch chng khoỏn 3.2.3 Phỏt trin qu u t chng khoỏn 3.2.4 y nhanh vic thc hin ỏn phỏt trin th trng chng khoỏn phỏi sinh 120 120 121 3.2.5 Phỏt trin th trng trỏi phiu doanh nghip 121 3.3 Nhúm gii phỏp k thut 122 3.3.1 Cỏc gii phỏp xõy dng danh mc u t 122 3.3.2 Cỏc gii phỏp qun lý danh mc u t 130 3.4 Nhúm gii phỏp khỏc 143 3.4.1 La chn d liu phự hp 143 3.4.2 iu chnh danh mc th trng 144 3.4.3 S dng lói sut phi ri ro phự hp 146 3.4.4 Gim hiu ng u t theo tõm lý s ụng 147 3.4.5 Gim bt s can thip hnh chớnh hng ti xõy dng th 149 trng ti chớnh ng b KấT LUN 151 DANH MC BNG BIU Bng 1.1 Ma trn hip phng sai ca cỏc chng khoỏn 19 Bng 2.1a C phiu nh giỏ thp S Giao dch Chng khoỏn TP H Chớ Minh 79 Bng 2.1b Thụng tin c phiu c chn t Bng 2.1a 80 Bng 2.2.a C phiu nh giỏ thp S Giao dch Chng khoỏn TP H Ni 81 Bng 2.2.b Thụng tin cỏc c phiu c chn t bng 2.2.a 82 Bng 2.3 Thng kờ mụ t s liu t sut sinh li 83 Bng 2.4 Cỏc danh mc u t hiu qu 85 Bng 2.5 Danh mc u t hiu qu C 87 Bng 2.6 Danh mc u t ti u 89 Bng 2.7 Danh mc u t D 93 Bng 2.8 Thc o hiu qu cỏc danh mc u t 95 Bng 2.9 Thc o hiu qu danh mc C 99 Bng 2.10 Thc o hiu qu danh mc D 99 Bng 2.11 Thc o hiu qu danh mc u t ti u 100 Bng 2.12 Mc hiu qu danh mc VNINDEX, HNXINDEX 102 Bng 2.13 ỏnh giỏ li mc hiu qu danh mc u t ti u 103 Bng 2.14 Thụng tin c phiu c chn iu chnh danh mc 104 Bng 2.15 Tp danh mc u t hiu qu sau iu chnh 105 Bng 2.16 Danh mc C sau iu chnh 106 Bng 2.17 Danh mc u t ti u sau iu chnh 107 Bng 2.18 So sỏnh hiu qu danh mc trc v sau iu chnh 108 Bng 3.1 Danh mc ti u khụng cú chng khoỏn phi ri ro 124 Bng 3.2 Danh mc u t hiu qu cú bỏn khng chng khoỏn 127 Bng 3.3 Danh mc u t C cú bỏn khng chng khoỏn 128 Bng 3.4 Danh mc u t D cú bỏn khng chng khoỏn 128 Bng 3.5 Kt qu c lng anpha v beta danh mc C 135 Bng 3.6 Kt qu c lng anpha v beta danh mc D 136 Kt qu c lng anpha v beta danh mc C; D iu kin c phộp bỏn Bng 3.7 139 khng chng khoỏn Bng 3.8 Kt qu c lng lch chun ca cỏc danh mc 141 Bng 3.9 So sỏnh cỏc kt qu tớnh lch chun v h s Sharpe 142 DANH MC HèNH Hỡnh: 1.1 Ri ro h thng v ri ro phi h thng 24 Hỡnh 1.2 S danh mc u t hn hp 29 Hỡnh 1.3 S quy trỡnh xõy dng v qun lý danh mc u t 32 Hỡnh 1.4 ng th trng 36 Hỡnh 1.5 ng th trng chng khoỏn 42 Hỡnh 1.6 Chng khoỏn c nh giỏ thp v nh giỏ cao 43 Hỡnh 1.7 ng biờn hiu 44 Hỡnh 1.8 ng phõn b CAL 50 Hỡnh 1.9 Xỏc nh danh mc u t hiu qu C 51 Hỡnh 1.10 ng bng quang ca nh u t 54 Hỡnh 1.11 Danh mc u t ti u ca nh u t 55 Hỡnh 1.12 Mc hiu qu danh mc H s Sharpe 57 Hỡnh 1.13 Mc hiu qu danh mc H s Treynor 58 Hỡnh 1.14 Thu nhp v ri ro ca danh mc u t 61 Hỡnh 2.1 Hỡnh 2.2 Hỡnh 2.3 So sỏnh R2 hiu chnh gia ngun d liu quan sỏt nm v nm (5 nm nm) So sỏnhR2 hiu chnh gia ngun d liuquan sỏt theo tun v theo ngy (Tun-Ngy) nm R bỡnh phng hiu chnh c lng theo ngun d liu quan sỏt nm nm, tn sut quan sỏt theo tun 74 75 76 Hỡnh 2.4 Beta ca cỏc c phiu 77 Hỡnh 2.5 ng biờn hiu qu 87 Hỡnh 2.6 ng biờn hiu qu, ng CAL, ng bng quang A=2 90 Hỡnh 2.7 Danh mc u t ti u vi lói sut vay ln hn lói sut cho vay 92 Hỡnh 2.8 Danh mc u t ti u vi lói sut vay rb: 0.3846%>rf 93 Hỡnh 2.9a D liu th trng chng khoỏn VNINDEX 95 Hỡnh 2.9b D liu th trng chng khoỏn HNXINDEX 96 Hỡnh 3.1 ng biờn hiu qu v ng bng quang vi A=1) Hỡnh 3.2 CAL1, CAL2, ng biờn hiu qu cú bỏn khng chng khoỏn 125 129 Hỡnh 3.3 ng th trng chng khoỏn vi chi phớ giao dch 130 Hỡnh 3.4 Danh mc C v danh mc D trờn ng biờn hiu qu 138 Hỡnh 3.5 ng SML khỏc da trờn danh mc th trng 144 Hỡnh 3.6 ng SML khỏc da trờn lói sut phi ri ro 147 46 KHA 0.458332 0.001794 0.000579 0.001237 0.003106 0.001868 thp 47 PVD 1.089785 0.001794 0.000579 0.000470 0.002190 0.001720 thp 48 AGF 0.578391 0.001794 0.000579 0.001091 0.002662 0.001571 thp 49 DPM 1.044953 0.001794 0.000579 0.000525 0.002095 0.001570 thp 50 FPT 0.821724 0.001794 0.000579 0.000796 0.002349 0.001553 thp 51 BMC 1.136489 0.001794 0.000579 0.000413 0.001879 0.001466 thp 52 UIC 0.939868 0.001794 0.000579 0.000652 0.002085 0.001432 thp 53 SAM 1.236206 0.001794 0.000579 0.000292 0.001624 0.001332 thp 54 SFC 0.198683 0.001794 0.000579 0.001553 0.002808 0.001255 thp 55 TNC 0.836836 0.001794 0.000579 0.000777 0.002027 0.001249 thp 56 TYA 0.720537 0.001794 0.000579 0.000919 0.002152 0.001233 thp 57 SFI 0.927575 0.001794 0.000579 0.000667 0.001813 0.001146 thp 58 DIC 1.261722 0.001794 0.000579 0.000261 0.001387 0.001126 thp 59 TPC 0.690401 0.001794 0.000579 0.000955 0.001983 0.001027 thp 60 LBM 0.837362 0.001794 0.000579 0.000777 0.001767 0.000991 thp 61 PJT 0.624370 0.001794 0.000579 0.001036 0.001972 0.000936 thp 62 HRC 0.344950 0.001794 0.000579 0.001375 0.002220 0.000845 thp 63 VIP 1.309330 0.001794 0.000579 0.000203 0.001043 0.000840 thp 64 VTB 0.547219 0.001794 0.000579 0.001129 0.001927 0.000798 thp 65 COM 0.125013 0.001794 0.000579 0.001642 0.002349 0.000706 thp 66 TCR 0.562629 0.001794 0.000579 0.001111 0.001763 0.000653 thp 67 VTO 0.958624 0.001794 0.000579 0.000629 0.001101 0.000471 thp 68 DTT 0.337278 0.001794 0.000579 0.001384 0.001808 0.000424 thp 69 BMI 0.686248 0.001794 0.000579 0.000960 0.001364 0.000404 thp 70 STB 0.495773 0.001794 0.000579 0.001192 0.001583 0.000391 thp 71 CII 0.971739 0.001794 0.000579 0.000614 0.000976 0.000363 thp 72 HAP 1.237364 0.001794 0.000579 0.000291 0.000524 0.000233 thp 73 ACL 0.613862 0.001794 0.000579 0.001048 0.001231 0.000182 thp 74 PIT 0.736539 0.001794 0.000579 0.000899 0.001037 0.000138 thp 75 VSH 0.804771 0.001794 0.000579 0.000816 0.000896 0.000079 thp 76 SSI 1.308870 0.001794 0.000579 0.000204 0.000144 -0.000060 cao 77 BHS 0.389473 0.001794 0.000579 0.001321 0.000972 -0.000349 cao 78 KBC 1.771879 0.001794 0.000579 -0.000358 -0.000792 -0.000434 cao 79 RIC 0.868197 0.001794 0.000579 0.000278 -0.000461 cao 80 ITA 1.681713 0.001794 0.000579 -0.000249 -0.000757 -0.000509 cao 81 HAX 0.580279 0.001794 0.000579 0.001089 0.000245 -0.000844 cao 82 NTL 1.359074 0.001794 0.000579 0.000143 -0.000818 -0.000961 cao 83 SC5 0.842174 0.001794 0.000579 0.000771 -0.000231 -0.001002 cao 84 HDC 0.714415 0.001794 0.000579 0.000926 -0.000101 -0.001027 cao 85 DPR 0.355065 0.001794 0.000579 0.001363 0.000153 -0.001210 cao 86 SVC 0.719365 0.001794 0.000579 0.000920 -0.000400 -0.001321 cao 87 DHA 0.781803 0.001794 0.000579 0.000844 -0.000511 -0.001356 cao 88 GMD 1.210377 0.001794 0.000579 0.000324 -0.001037 -0.001361 cao 89 NAV 0.513525 0.001794 0.000579 0.001170 -0.000195 -0.001366 cao 90 TTP 0.428037 0.001794 0.000579 0.001274 -0.000107 -0.001381 cao 91 HMC 0.754434 0.001794 0.000579 0.000878 -0.000553 -0.001431 cao 92 VID 0.974408 0.001794 0.000579 0.000610 -0.000849 -0.001460 cao 93 TS4 1.250736 0.001794 0.000579 0.000275 -0.001212 -0.001487 cao 94 CDC 1.367791 0.001794 0.000579 0.000132 -0.001424 -0.001557 cao 95 ICF 0.868873 0.001794 0.000579 0.000739 -0.001018 -0.001756 cao 0.000739 96 SJS 1.402724 0.001794 0.000579 0.000090 -0.001908 -0.001998 cao 97 PAC 0.608337 0.001794 0.000579 0.001055 -0.000947 -0.002002 cao 98 SMC 0.710553 0.001794 0.000579 0.000931 -0.001139 -0.002070 cao 99 TRC 0.487797 0.001794 0.000579 0.001201 -0.001314 -0.002515 cao 100 SAV 0.548183 0.001794 0.000579 0.001128 -0.001532 -0.002660 cao 101 BT6 0.452909 0.001794 0.000579 0.001244 -0.001439 -0.002683 cao 102 HAS 0.826286 0.001794 0.000579 0.000790 -0.001944 -0.002735 cao 103 ALP 0.674297 0.001794 0.000579 0.000975 -0.001919 -0.002894 cao 104 TDH 1.360617 0.001794 0.000579 0.000141 -0.002806 -0.002947 cao 105 CYC 0.160951 0.001794 0.000579 0.001598 -0.001761 -0.003360 cao 106 VIS 1.590016 0.001794 0.000579 -0.000137 -0.003541 -0.003403 cao 107 HIS 0.641296 0.001794 0.000579 0.001015 -0.003834 -0.004849 cao 108 DCT 0.972417 0.001794 0.000579 0.000613 -0.004959 -0.005572 cao (Ngun: Tỏc gi tớnh toỏn) PHC LC A Ma trn hip phng sai danh mc c phiu KBC PAN KDC LGC LBM PET KBC 0.228940 0.103350 0.112862 0.082936 0.097611 0.062456 PAN 0.103350 0.054003 0.052816 0.038882 0.046734 0.030499 KDC 0.112862 0.052816 0.060221 0.042598 0.050883 0.033424 LGC 0.082936 0.038882 0.042598 0.036782 0.037790 0.024363 LBM 0.097611 0.046734 0.050883 0.037790 0.047380 0.029698 PET 0.062456 0.030499 0.033424 0.024363 0.029698 0.021400 PAC 0.075200 0.034876 0.038612 0.028181 0.033392 0.022124 DRC 0.002947 0.003886 0.003382 0.002212 0.004277 0.003970 MPC 0.031640 0.016458 0.017622 0.012789 0.015552 0.011009 VNM 0.003411 0.002685 0.002605 0.002120 0.002355 0.002262 PGS 0.001427 0.002883 0.002411 0.001448 0.003040 0.003355 NPS 0.002873 0.003369 0.003182 0.002020 0.003240 0.002918 CAN -0.000355 0.000023 0.000140 -0.000117 -0.000389 0.000293 PLC 0.005396 0.004406 0.004747 0.003566 0.004752 0.004491 STP 0.011004 0.007756 0.007535 0.005668 0.007876 0.006703 VDL 0.001388 0.001676 0.001650 0.001212 0.001416 0.001911 HCC 0.000761 0.002008 0.001360 0.000659 0.001848 0.002175 SD6 0.003889 0.004917 0.004091 0.003030 0.004835 0.004599 SAP 0.007916 0.00548 0.005015 0.003983 0.005178 0.004314 S55 0.00583 0.005275 0.004711 0.003688 0.005625 0.004415 PAC DRC MPC VNM PGS 0.002947 0.031640 0.003411 0.001427 0.002873 -0.000355 PAN 0.034876 0.003886 0.016458 0.002685 0.002883 0.003369 0.000023 KDC 0.038612 0.003382 0.017622 0.002605 0.002411 0.003182 0.000140 LGC 0.028181 0.002212 0.012789 0.002120 0.001448 0.002020 -0.000117 LBM 0.033392 0.004277 0.015552 0.002355 0.003040 0.003240 -0.000389 PET 0.022124 0.003970 0.011009 0.002262 0.003355 0.002918 PAC 0.029097 0.002622 0.012263 0.001904 0.001802 0.002193 -0.000215 DRC 0.002622 0.007141 0.003193 0.001659 0.004137 0.003308 0.000353 MPC 0.012263 0.003193 0.010002 0.001488 0.002679 0.003269 0.000951 VNM 0.001904 0.001659 0.001488 0.002518 0.001494 0.000991 0.000324 PGS 0.001802 0.004137 0.002679 0.001494 0.007608 0.004110 0.001354 NPS 0.002193 0.003308 0.003269 0.000991 0.004110 0.012370 0.000271 CAN -0.000215 0.000353 0.000951 0.000324 0.001354 0.000271 0.006641 PLC 0.003251 0.003318 0.003401 0.001485 0.004288 0.003009 0.000767 STP 0.005281 0.005248 0.005386 0.001658 0.005207 0.004170 0.001262 VDL 0.001322 0.001963 0.002060 0.000746 0.002419 0.001333 0.000639 HCC 0.001310 0.002511 0.001923 0.000672 0.002721 0.001860 0.000408 0.002965 0.005158 0.003959 0.001705 0.004955 0.003845 0.000744 SAP 0.003952 0.003031 0.003178 0.00134 0.003677 0.004195 0.000336 0.002582 0.003983 0.003512 0.001679 0.004265 0.003136 0.000412 KBC 0.075200 SD6 S55 NPS CAN 0.000293 PLC STP VDL HCC SD6 SAP S55 KBC 0.005396 0.011004 0.001388 0.000761 0.003889 0.007916 0.005830 PAN 0.004406 0.007756 0.001676 0.002008 0.004917 0.005480 0.005275 KDC 0.004747 0.007535 0.001650 0.001360 0.004091 0.005015 0.004711 LGC 0.003566 0.005668 0.001212 0.000659 0.003030 0.003983 0.003688 LBM 0.004752 0.007876 0.001416 0.001848 0.004835 0.005178 0.005625 PET 0.004491 0.006703 0.001911 0.002175 0.004599 0.004314 0.004415 PAC 0.003251 0.005281 0.001322 0.001310 0.002965 0.003952 0.002582 DRC 0.003318 0.005248 0.001963 0.002511 0.005158 0.003031 0.003983 MPC 0.003401 0.005386 0.002060 0.001923 0.003959 0.003178 0.003512 VNM 0.001485 0.001658 0.000746 0.000672 0.001705 0.001340 0.001679 PGS 0.004288 0.005207 0.002419 0.002721 0.004955 0.003677 0.004265 NPS 0.003009 0.004170 0.001333 0.001860 0.003845 0.004195 0.003136 CAN 0.000767 0.001262 0.000639 0.000408 0.000744 0.000336 0.000412 PLC 0.006378 0.004821 0.002027 0.002165 0.004824 0.002861 0.003804 STP 0.004821 0.010898 0.002645 0.003464 0.006964 0.005206 0.006005 VDL 0.002027 0.002645 0.006440 0.002061 0.002430 0.001701 0.001874 HCC 0.002165 0.003464 0.002061 0.007734 0.003083 0.002614 0.002686 SD6 0.004824 0.006964 0.002430 0.003083 0.008328 0.004006 0.005307 SAP 0.002861 0.005206 0.001701 0.002614 0.004006 0.011863 0.004496 S55 0.003804 0.006005 0.001874 0.002686 0.005307 0.004496 0.007981 (Ngun: Tớnh toỏn ca tỏc gi) B Ma trn hip phng sai danh mc c phiu iu chnh MPC TMS LGC PAN DRC FMC MPC 0.003081 0.000091 -0.000364 0.001227 0.001998 0.001269 TMS 0.000091 0.002736 0.000466 0.000285 0.000451 0.000454 LGC -0.000364 0.000466 0.004398 0.000267 -0.000097 0.000335 PAN 0.001227 0.000285 0.000267 0.004033 0.002006 0.001408 DRC 0.001998 0.000451 -0.000097 0.002006 0.004514 0.001750 FMC 0.001269 0.000454 0.000335 0.001408 0.001750 0.002725 VPK 0.000483 -0.000063 0.000495 0.001084 0.000963 0.000196 VNM 0.000716 0.000292 -0.000223 -0.000008 0.001218 0.000593 MHC 0.000521 0.000286 -0.000187 0.002104 0.000924 0.000902 BBC 0.001237 0.000182 -0.000050 0.001286 0.002067 0.001559 SGC 0.000439 -0.000080 -0.000147 -0.000790 0.000766 -0.000083 PJC 0.000440 0.001341 0.000000 -0.000801 -0.000351 0.000131 VDL 0.000378 0.000527 0.000570 0.000173 0.000336 0.000564 DNP 0.001583 0.000606 0.000227 0.002378 0.002859 0.001870 TNG 0.002926 0.000352 0.000189 0.003389 0.003826 0.002898 VFR 0.001989 0.000558 0.000556 0.002269 0.003279 0.002485 TCT 0.000063 0.000421 0.000424 0.000975 0.000500 0.000530 PVC 0.003123 0.000926 0.001109 0.003797 0.003844 0.003757 HHC 0.001199 0.000369 0.000140 0.002253 0.001160 0.001462 CAN 0.000460 -0.000687 0.000847 0.000857 -0.000148 -0.000046 VPK VNM MHC BBC SGC PJC VDL MPC 0.000483 0.000716 0.000521 0.001237 0.000439 0.000440 0.000378 TMS -0.000063 0.000292 0.000286 0.000182 -0.000080 0.001341 0.000527 LGC 0.000495 -0.000223 -0.000187 -0.000050 -0.000147 0.000000 0.000570 PAN 0.001084 -0.000008 0.002104 0.001286 -0.000790 -0.000801 0.000173 DRC 0.000963 0.001218 0.000924 0.002067 0.000766 -0.000351 0.000336 FMC 0.000196 0.000593 0.000902 0.001559 -0.000083 0.000131 0.000564 VPK 0.004183 -0.000180 0.001259 0.000375 -0.000321 0.000617 0.001172 VNM -0.000180 0.001523 -0.000306 0.000785 0.000887 -0.000063 0.000746 MHC 0.001259 -0.000306 0.006488 0.001260 -0.002102 -0.000437 -0.000179 BBC 0.000375 0.000785 0.001260 0.002759 0.000081 -0.000372 0.000557 SGC -0.000321 0.000887 -0.002102 0.000081 0.013653 0.000844 0.000724 PJC 0.000617 -0.000063 -0.000437 -0.000372 0.000844 0.013279 0.000718 VDL 0.001172 0.000746 -0.000179 0.000557 0.000724 0.000718 0.013335 DNP 0.000567 0.001116 0.001532 0.002293 0.000404 -0.000063 0.000202 TNG 0.001689 0.000747 0.003031 0.003403 -0.000850 -0.000523 -0.000465 VFR 0.002239 0.000961 0.002948 0.002915 -0.001763 0.001036 0.001232 TCT 0.000471 0.000063 -0.000126 0.000338 0.000322 0.001128 -0.001303 PVC 0.001602 0.001019 0.003460 0.002937 -0.000095 -0.001061 0.000789 HHC 0.001266 0.000303 0.002134 0.001247 0.000027 0.000815 0.001008 CAN 0.000612 -0.000694 0.000600 -0.000351 -0.003047 0.000524 0.000475 DNP TNG VFR TCT PVC HHC CAN MPC 0.001583 0.002926 0.001989 0.000063 0.003123 0.001199 0.000460 TMS 0.000606 0.000352 0.000558 0.000421 0.000926 0.000369 -0.000687 LGC 0.000227 0.000189 0.000556 0.000424 0.001109 0.000140 0.000847 PAN 0.002378 0.003389 0.002269 0.000975 0.003797 0.002253 0.000857 DRC 0.002859 0.003826 0.003279 0.000500 0.003844 0.001160 -0.000148 FMC 0.001870 0.002898 0.002485 0.000530 0.003757 0.001462 -0.000046 VPK 0.000567 0.001689 0.002239 0.000471 0.001602 0.001266 0.000612 VNM 0.001116 0.000747 0.000961 0.000063 0.001019 0.000303 -0.000694 MHC 0.001532 0.003031 0.002948 -0.000126 0.003460 0.002134 0.000600 BBC 0.002293 0.003403 0.002915 0.000338 0.002937 0.001247 -0.000351 SGC 0.000404 -0.000850 -0.001763 0.000322 -0.000095 0.000027 -0.003047 PJC -0.000063 -0.000523 0.001036 0.001128 -0.001061 0.000815 0.000524 VDL 0.000202 -0.000465 0.001232 -0.001303 0.000789 0.001008 0.000475 DNP 0.004597 0.004021 0.003547 0.000590 0.004441 0.002007 -0.000215 TNG 0.004021 0.011881 0.005817 0.000427 0.007339 0.004329 0.000944 VFR 0.003547 0.005817 0.012066 -0.000065 0.005841 0.003552 0.001318 TCT 0.000590 0.000427 -0.000065 0.002821 0.000843 0.000364 0.000261 PVC 0.004441 0.007339 0.005841 0.000843 0.011353 0.005743 0.000635 HHC 0.002007 0.004329 0.003552 0.000364 0.005743 0.009250 0.001641 CAN -0.000215 0.000944 0.001318 0.000261 0.000635 0.001641 0.007353 PH LUC A Ma trn h s tng quan danh mc c phiu KBC PAN KDC LGC LBM PET KBC 0.929487 0.961201 0.903774 0.93722 0.892289 PAN 0.929487 0.926149 0.872407 0.923908 0.897171 KDC 0.961201 0.926149 0.905091 0.952589 0.931056 LGC 0.903774 0.872407 0.905091 0.90523 0.868378 LBM 0.93722 0.923908 0.952589 0.90523 0.932674 PET 0.892289 0.897171 0.931056 0.868378 0.932674 PAC 0.921367 0.87982 0.9224 0.861417 0.899337 0.886628 DRC 0.072897 0.197868 0.163091 0.136481 0.232506 0.321121 MPC 0.661203 0.708177 0.718014 0.66677 0.714411 0.752498 VNM 0.142067 0.230238 0.211556 0.220274 0.215626 0.308125 PGS 0.034197 0.142241 0.112653 0.086583 0.160123 0.262958 NPS 0.053986 0.130358 0.116588 0.094719 0.133847 0.179377 CAN -0.0091 0.001234 0.007017 -0.00748 -0.0219 0.02458 PLC 0.141219 0.237438 0.242211 0.232809 0.273357 0.384435 STP 0.220301 0.31971 0.294143 0.28309 0.346586 0.438948 VDL 0.036147 0.089858 0.083774 0.078757 0.081084 0.162781 HCC 0.018088 0.098242 0.062999 0.039088 0.096527 0.169086 SD6 0.089061 0.231844 0.182678 0.173108 0.243425 0.344466 SAP 0.151898 0.216516 0.187611 0.190658 0.218397 0.270743 S55 0.136387 0.254072 0.214871 0.21527 0.28929 0.337831 PAC DRC MPC VNM PGS NPS CAN KBC 0.921367 0.072897 0.661203 0.142067 0.034197 0.053986 -0.0091 PAN 0.87982 0.197868 0.708177 0.230238 0.142241 0.130358 0.001234 KDC 0.9224 0.163091 0.718014 0.211556 0.112653 0.116588 0.007017 LGC 0.861417 0.136481 0.66677 0.220274 0.086583 0.094719 -0.00748 LBM 0.899337 0.232506 0.714411 0.215626 0.160123 0.133847 -0.0219 PET 0.886628 0.321121 0.752498 0.308125 0.262958 0.179377 0.02458 PAC 0.181879 0.718857 0.22248 0.121121 0.115578 -0.01546 DRC 0.181879 MPC 0.718857 0.37787 VNM 0.22248 0.391232 0.296475 PGS 0.121121 0.561271 0.307107 0.341398 NPS 0.115578 0.351983 0.293886 0.177509 0.423698 CAN -0.01546 0.051301 0.116728 0.079225 0.190439 0.029947 PLC 0.23864 0.491634 0.425803 0.37068 0.615553 0.338747 0.117824 STP 0.296569 0.59493 VDL 0.096578 0.28945 0.256644 0.185372 0.345646 0.149325 0.097712 HCC 0.087355 0.337929 0.218605 0.152255 0.354771 0.190135 0.056921 SD6 0.190485 0.66883 0.433805 0.372286 0.62251 0.378826 0.10008 SAP 0.21272 0.329313 0.291735 S55 0.169402 0.527558 0.393096 0.37456 0.547354 0.315578 0.056559 0.37787 0.391232 0.561271 0.351983 0.051301 0.296475 0.307107 0.293886 0.116728 0.341398 0.177509 0.079225 0.423698 0.190439 0.029947 0.51584 0.316431 0.571889 0.359131 0.148373 0.2452 0.387084 0.346297 0.037803 PLC STP VDL HCC SD6 SAP S55 KBC 0.141219 0.220301 0.036147 0.018088 0.089061 0.151898 0.136387 PAN 0.237438 0.31971 0.089858 0.098242 0.231844 0.216516 0.254072 KDC 0.242211 0.294143 0.083774 0.062999 0.182678 0.187611 0.214871 LGC 0.232809 0.28309 0.078757 0.039088 0.173108 0.190658 0.21527 LBM 0.273357 0.346586 0.081084 0.096527 0.243425 0.218397 0.28929 PET 0.384435 0.438948 0.162781 0.169086 0.344466 0.270743 0.337831 PAC 0.23864 0.296569 0.096578 0.087355 0.190485 0.21272 0.169402 DRC 0.491634 0.59493 MPC 0.425803 0.51584 0.256644 0.218605 0.433805 0.291735 0.393096 VNM 0.37068 0.316431 0.185372 0.152255 0.372286 PGS 0.615553 0.571889 0.345646 0.354771 0.62251 0.387084 0.547354 NPS 0.338747 0.359131 0.149325 0.190135 0.378826 0.346297 0.315578 CAN 0.117824 0.148373 0.097712 0.056921 0.10008 0.037803 0.056559 0.28945 0.337929 0.66883 0.329313 0.527558 0.2452 PLC STP 0.578298 VDL 0.316319 0.315677 HCC 0.308309 0.377321 0.29199 SD6 0.661947 0.731017 0.331837 0.384198 SAP 0.328961 0.457819 0.194558 0.272889 0.403003 S55 0.533148 0.643852 0.261383 0.34182 0.650906 0.462009 0.37456 0.578298 0.316319 0.308309 0.661947 0.328961 0.533148 0.315677 0.377321 0.731017 0.457819 0.643852 0.29199 0.331837 0.194558 0.261383 0.384198 0.272889 0.34182 (Ngun: Tớnh toỏn ca tỏc gi) 0.403003 0.650906 0.462009 B Ma trn h s tng quan danh mc c phiu iu chnh MPC TMS LGC PAN DRC FMC MPC 0.031454 -0.098823 0.348056 0.535712 0.437850 TMS 0.031454 0.134406 0.085794 0.128386 0.166203 LGC -0.098823 0.134406 0.063373 -0.021663 0.096708 PAN 0.348056 0.085794 0.063373 0.470080 0.424659 DRC 0.535712 0.128386 -0.021663 0.470080 0.498998 FMC 0.437850 0.166203 0.096708 0.424659 0.498998 VPK 0.134591 -0.018522 0.115473 0.263990 0.221720 0.058153 VNM 0.330782 0.143131 -0.086138 -0.003142 0.464445 0.291355 MHC 0.116548 0.067900 -0.035000 0.411400 0.170650 0.214434 BBC 0.424292 0.066140 -0.014434 0.385657 0.585684 0.568485 SGC 0.067728 -0.013076 -0.018916 -0.106470 0.097587 -0.013528 PJC 0.068721 0.222536 0.000030 -0.109499 -0.045390 0.021850 VDL 0.058936 0.087297 0.074440 0.023527 0.043352 0.093565 DNP 0.420507 0.170970 0.050394 0.552229 0.627745 0.528295 TNG 0.483549 0.061738 0.026119 0.489672 0.522437 0.509246 VFR 0.326129 0.097103 0.076334 0.325328 0.444319 0.433337 TCT 0.021374 0.151617 0.120379 0.289164 0.140118 0.191290 PVC 0.528021 0.166195 0.156974 0.561225 0.536989 0.675473 HHC 0.224607 0.073340 0.021901 0.368851 0.179585 0.291220 CAN 0.096658 -0.153135 0.148958 0.157343 -0.025701 -0.010248 VPK VNM MHC BBC SGC PJC VDL MPC 0.134591 0.330782 0.116548 0.424292 0.067728 0.068721 0.058936 TMS -0.018522 0.143131 0.067900 0.066140 -0.013076 0.222536 0.087297 LGC 0.115473 -0.086138 -0.035000 -0.014434 -0.018916 0.000030 0.074440 PAN 0.263990 -0.003142 0.411400 0.385657 -0.106470 -0.109499 0.023527 DRC 0.221720 0.464445 0.170650 0.585684 0.097587 -0.045390 0.043352 FMC 0.058153 0.291355 0.214434 0.568485 -0.013528 0.021850 0.093565 VPK -0.071402 0.241587 0.110301 -0.042537 0.082764 0.156913 VNM -0.071402 -0.097263 0.382902 0.194614 -0.013898 0.165557 MHC 0.241587 -0.097263 0.297720 -0.223361 -0.047110 -0.019216 BBC 0.110301 0.382902 0.297720 0.013123 -0.061407 0.091771 SGC -0.042537 0.194614 -0.223361 0.013123 0.062664 0.053633 PJC 0.082764 -0.013898 -0.047110 -0.061407 0.062664 0.053925 VDL 0.156913 0.165557 -0.019216 0.091771 0.053633 0.053925 DNP 0.129397 0.421751 0.280529 0.643996 0.051023 -0.008014 0.025760 TNG 0.239535 0.175573 0.345248 0.594446 -0.066769 -0.041626 -0.036952 VFR 0.315103 0.224317 0.333192 0.505287 -0.137342 0.081844 0.097150 TCT 0.137083 0.030216 -0.029491 0.121145 0.051845 0.184333 -0.212520 PVC 0.232505 0.245133 0.403185 0.524779 -0.007627 -0.086378 0.064092 HHC 0.203479 0.080865 0.275480 0.246852 0.002401 0.073557 0.090721 CAN 0.110302 -0.207412 0.086930 -0.077967 -0.304082 0.053028 0.047955 DNP TNG VFR TCT PVC HHC CAN MPC 0.420507 0.483549 0.326129 0.021374 0.528021 0.224607 0.096658 TMS 0.170970 0.061738 0.097103 0.151617 0.166195 0.073340 -0.153135 LGC 0.050394 0.026119 0.076334 0.120379 0.156974 0.021901 0.148958 PAN 0.552229 0.489672 0.325328 0.289164 0.561225 0.368851 0.157343 DRC 0.627745 0.522437 0.444319 0.140118 0.536989 0.179585 -0.025701 FMC 0.528295 0.509246 0.433337 0.191290 0.675473 0.291220 -0.010248 VPK 0.129397 0.239535 0.315103 0.137083 0.232505 0.203479 0.110302 VNM 0.421751 0.175573 0.224317 0.030216 0.245133 0.080865 -0.207412 MHC 0.280529 0.345248 0.333192 -0.029491 0.403185 0.275480 0.086930 BBC 0.643996 0.594446 0.505287 0.121145 0.524779 0.246852 -0.077967 SGC 0.051023 -0.066769 -0.137342 0.051845 -0.007627 0.002401 -0.304082 PJC -0.008014 -0.041626 0.081844 0.184333 -0.086378 0.073557 0.053028 VDL 0.025760 -0.036952 0.097150 -0.212520 0.064092 0.090721 0.047955 DNP 0.544166 0.476229 0.163853 0.614742 0.307840 -0.037022 TNG 0.544166 0.485838 0.073846 0.631954 0.412940 0.101042 VFR 0.476229 0.485838 -0.011130 0.499068 0.336159 0.139975 TCT 0.163853 0.073846 -0.011130 0.148893 0.071202 0.057376 PVC 0.614742 0.631954 0.499068 0.148893 0.560395 0.069449 HHC 0.307840 0.412940 0.336159 0.071202 0.560395 0.198956 CAN -0.037022 0.101042 0.139975 0.057376 0.069449 0.198956