TABLE OF CONTENTS A.GENERAL ANALYSIS 4 I.World situation 4 1.Inflation 5 2.Public debt to GDP 5 3.Political instability 6 II.The growth of Viet Nam 6 1.The growth 6 2.Inflation 6 3.Basic interest rate 7 4.Monetary policy 7 III.Industry analysis 8 1.Telecommunications industry 8 2.Consumer goods industry (Food Drink) 10 B.COMPANY ANALYSIS 11 I.Cuu Long Petro Urban Development Investment Corporation 11 1.Overview 11 2.Development history 12 3.Business fields 13 4.Company’s position 13 5.Analyzing financial status (Chưa done) 13 II.Vietnam Commercial Joint Stock Export Import Bank 15 1.Overview 15 2.Business services 16 3.Company’s position 16 4.Analyzing financial status ( Chưa done) 17 C.BUIDING PORTFOLIO (Chưa done) 19 I.Collecting the datas 19 1.Collecting the datas of two stocks from 112017 to 162018 19 2.Caculating the expected return of two stocks and the VNindex 28 3.Caculating the covariance and correlation 29 4.The minimum variance frontier and the efficient frontier. 29 5.If i had 100 millions VND, how would i invest? 31 D.WORKLOG: 34 REFERENCE MATERIAL 35
DA NANG UNIVERSITY OF ECONOMICS FINAL REPORT THE PORTFOLIO OF CUU LONG PETRO & EXIM BANK Proposed supervisor: M Fin.: Students Participation: Lê Chí Thiên Nguyễn Thị Nhung Đinh Thị Kim Ngân Đinh Văn Quốc Class: 42K15.3 – CLC Finance Investment Final Report 42K15.3_CLC Da Nang, 15th October 2019 TABLE OF CONTENTS Finance Investment Final Report 42K15.3_CLC A.GENERAL ANALYSIS I World situation In 2018, Not only the United States, China, but also Europe and Japan, the economies which have seen slow growth over the years, have also jumped and become economic drivers Global prosperity The world economy maintained a good growth momentum in the first half of 2018, then appeared new developments that made the situation more complicated, tense relations between big countries, especially the war US-China trade is showing signs of escalation, affecting global economic growth Overall, growth is still strong in developed economies, but has slowed in many countries The US economy is still growing steadily, thanks to effective tax cut policies, stimulating investment and recovering economic growth Although the political instability and Brexit event impacted, the European economy continued to show positive prospects; European's growth in 2018 reached 2.4% mainly thanks to EU countries all having growth and increasing demand for household consumption, fixed investment and export Japan's economy has recovered and grew to 1.8% in 2018, with a stronger increase in international trade as consumer demand outside the country increased Personal consumption, the key factor accounting for nearly 60% of GDP, continued to slow down in the second half of the year due to lower spending on cars and mobile phones Domestic consumption demand is still low, causing the Government to consider easing fiscal policy China's GDP growth reached 6.8% in 2018, far exceeding the initial expectation of 6.5% thanks to a strong recovery in manufacturing and industry as well as an increase in export activity Due to rising foreign demand Construction activity boomed in 2018 pushed up the prices of construction materials, helping Chinese industries with stagnant capital in recent years to achieve the highest profit in recent years However, for the real estate sector, due to the Government's determination to control house prices, in the coming time, it is unlikely to recover investment in real estate to support the economic growth as before In addition, the expenditure of households is also difficult to have a surge in the coming time, so economic growth in 2018 is expected to be 6.6% Table 1: GDP growth in the period of 2018-2019 (%) 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 Finance Investment Final Report 42K15.3_CLC China 6.8 6.6 ASIAN – 5.3 5.3 (Include: Indonesia, Malaysia, Philippines, Thailand, VietNam) Inflation Table The inflation rate for 2018 and 2019 Country Global China Europe American Japan 2018 2.192 % 1.52 % 2.14 % 2.2 % 0.42 % 2019 3.6 % 2.1 % 2.2 % 2.6 % 1% This statistic shows the inflation rate of some countries in the world and the global inflation rate In 2019, the inflation rate seems to have increased slightly, showing signs of ending prolonged inflation Public debt to GDP Table 3: 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 % In the period 2018 - 2019, the data shows that the worldwide public debt tends to increase In many countries, the debt has exceeded the safe level Finance Investment Final Report 42K15.3_CLC Political instability Unstable oil prices in the context of rising Middle East instability, complicated climate change and the fourth industrial revolution taking place on a global scale make the production structure change strong, creating many fluctuations in industries and trades and leading to the rapid development of economic models Besides, the rise of protectionism and trade tensions, has had an unfavorable impact on the development and linkage of the world economy, especially the trade war between the US and China II The growth of Viet Nam The growth Table 4: The growth of Viet Nam 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 year 2018 witnessed the spectacular results of Vietnam's economy in terms of growth targets when the GDP growth rate reached 6.81%, higher than the Government's target of 6.7% This is the highest growth rate since the global financial crisis in 2007-2008 Thanks to the strong rise of the economy in the second half of the year with the growth rate of over 7% in the third and fourth quarters, the Vietnamese economy has achieved this feat Favorable domestic conditions such as low inflation, rising real wages help maintain high domestic demand and private consumption, along with production results - good business of services, The expansion of manufacturing and processing industries is an important driving force for growth The quality of growth and the investment and business environment have been improved, the newly established businesses have increased sharply The macroeconomic foundation is strengthened and gradually enhanced thanks to the clear growth of agriculture, forestry and fishery; sustained growth of industry and construction The service sector in 2019 increased 7.03%, though lower than the 7.44% increase of the previous year but higher than the years 2012-2016 All have made Vietnam's economy grow steadily in a volatile world economy Inflation The implementation of tight, flexible monetary policy, coordinated coordination with fiscal, trade, investment policies and the most adjustment of prices managed by the State helped control inflation fruits according to the set target at below 4% Basic inflation in December 2018 increased by 0.11% over the previous month and increased by 1.29% compared to the same Finance Investment Final Report 42K15.3_CLC period in 2016 In December 2018, medicine and medical service group had the rate of price increase highest, up to 2.55% (of which health services rose 3.30%) The price of kerosene and electricity and water are adjusted to increase, along with the need to repair houses in the last months of the year 2018 closed with an average annual inflation rate of 1.41% compared to the average in 2017 This is a relatively low increase, continuing to confirm the stable trend of the economy However, in 2019, inflation will be under pressure mainly from adjusting the price of public services (health, education) and food prices Public service prices in 2019 continue to be adjusted according to the price increase schedule for the period 2017-2021, so it is forecasted to contribute to the overall inflation equivalent to 2018, about 2-2.5% Basic interest rate The average deposit interest rate increased from 5.11% in 2017 to 5.25% per year The average lending rate is about 8.91% (2017: 8.86%) Interest rates tend to increase mainly due to rising inflation expectations in the context of volatile world commodity prices and credit institutions restructuring capital to ensure safety ratios in 2019 as capital ratio shortterm medium and longterm loans decreased to 40% and prepared to increase Tier capital under Basel II USD / VND exchange rate increased slightly Central exchange rate increased by 1.5% compared to the beginning of the year, commercial bank exchange rate increased by 2.8% and the free market exchange rate increased by 3.5% compared to the beginning of the year Monetary policy Advantages: The major economies as Vietnam's leading partners continue to grow positively, the recovery of basic commodity prices in the world positively affects growth, export, and budget collection Domestic, macroeconomic, stable inflation over the past time combined with improved business investment environment, administrative reform, clear legal framework are the fundamental foundation to encourage private investment , start a business and attract foreign capital In addition to promoting the deployment of new free trade agreements to support the expansion of sustainable markets, promote domestic reforms, create conditions for enterprises to participate more deeply in the global value chain In the cycle of economic recovery after the global financial crisis, Vietnam's economy has risen strongly from the driving force from the sustainable growth of consumer and consumer sectors Difficulties: Oil prices have increased risks The administration of exchange rates in a stable direction, reducing lending interest rates when having conditions under the Government's policy, is a big challenge in the context of the global financial market Finance Investment Final Report 42K15.3_CLC III Industry analysis Table 5: Industry index Sector Oil and Gas P/E 16.08 ROA 3.98% ROE 11.78% 10 Basic materials Industry Consumer goods Medical Consumer service Telecommunication Infrastructure services Finance Technology 11.72 14.11 18.57 14.64 15.17 9.77 15.36 16.70 32.57 5.46% 5.31% 7.75% 8.82% 7.70% 14.64% 6.92% 5.48% 6.62% 12.07% 14.50% 17.44% 27.89% 13.93% 25.54% 11.85% 12.93% 13.15% Based on the analysis along with what we find out: We assess that ICT industry will continue to grow well in 2018 based on the following opportunities: Information technology application will continue to be promoted in the activities of state agencies and business units career At the same time the 4G race in Vietnam has begun The IT industry also benefited from the recovery of the economy Vietnam continues to be the top choice of countries providing software outsourcing services Besides, fixed broadband Internet market is increasingly fierce competition In terms of growth potential, the food and beverage industry currently accounts for about 15% of GDP and tends to increase in the future BMI predicts that the growth rate of food and beverage industry will be higher in the period of 2017-2020, in which Vietnam is likely to stand in the third position in Asia, while Vietnam is also rated as one in markets with potential consumption of food and beverages It is forecasted that by 2021, Vietnam will be one of the countries with high growth rates in food and beverage consumption So, prospects of the food and beverage industry are quite positive, potentially attracting a large amount of foreign investment in the coming time Based on the analysis of the impact of the world economy on the Vietnamese economy, analyzing the domestic economy, analyzing the indicators and potential of Vietnam's industries as above We decided to choose the information technology and beverage industry to conduct analysis Telecommunications industry Vietnam software outsourcing market is becoming more and more attractive Demand for information technology in Vietnam market is forecasted to grow faster than other countries in the Finance Investment Final Report 42K15.3_CLC region and grow well in the coming time In Southeast Asia, Vietnam is still one of the major providers of outsourced IT services, which can replace China and India in this service activity SWOT telecommunication industry analysis: Strength: Most users of the internet group are under 35 years old, accounting for 74% and this group currently accounts for the majority of Vietnam's population In addition, the market still has a lot of growth potential because the computer use rate in Vietnam is still low Barriers to entry are quite large The most important advantage of Vietnam in developing IT industry is young, abundant and smart human resources Weakness: Enterprises in Vietnam still face fierce competition from foreign enterprises New company has no reputation Vietnam's hardware technology is weak, the revenue of enterprises mainly comes from the distribution of products imported from Southeast Asian countries Opportunities: The technology outsourcing industry in Japan is shifting to Vietnam because of the low cost of human resources in Vietnam Software services, information technology industry is assessed to continue to increase the network in the period of 2016-2020 The Vietnamese government has taken actions to encourage competition in the telecommunications sector - a decisive factor in reducing service prices The most recent strong move by the government is to force all state management agencies and local authorities to publish administrative procedures on websites so that people can easily access Challenge: The costs associated with IT infrastructure in Vietnam are still high compared to most neighboring countries Harming businesses that Vietnam needs to develop such as export industries and high businesses Vietnamese IT enterprises have not yet launched their own competitive products in the international market Vietnam is among the countries with the highest percentage of intellectual property law violations This reduces the motivation of businesses and makes the IT market less attractive to foreign investors The quality of education in Vietnam is still limited The proportion of workers in the industry meeting the needs of the industry is not high Finance Investment Final Report 42K15.3_CLC Consumer goods industry (Food & Drink) The Food - Beverage industry is the manufacturing and processing industry of cooked or unprocessed food; types of mineral water and water have a flavored taste, meeting the culinary needs or creating a feeling of thirst for users The industry plays an important role when attracting a large number of businesses and creating the second largest source of profit in the industrial sector Figure 1: Consumer structure of Vietnam in 2019 Food - Beverage contributes the largest proportion in consumption structure: in 2019, spending for drinks of Vietnamese households accounts for 34%; This proportion kept a long distance compared to the proportion of purchasing large products and services followed by educational entertainment (16%); electricity and water for daily life (13%); footwear (11%), This indirectly shows production value and demand loans from the food and beverage industry are huge It is forecasted that by 2021, Vietnam will be one of the countries with high growth rates in food and beverage consumption: Notably, in the period of 2017-2021, consumption of food beverages is forecasted high growth rates, from 3.8-4.3% Thus, the prospect of the food and beverage industry is quite positive, potentially attracting a large amount of foreign investment in the coming time SWOT consumer goods industry analysis: Strength: Develop many good food and beverage products towards consumers' health such as instant food, collagen water, cooling water, The average growth rate is quite high, expected to increase in the future Weakness: Finance Investment Final Report 42K15.3_CLC The market share of domestic enterprises has been narrowed due to: (1) modern retail channels being acquired by foreign businesses; (2) fierce competition with firms with strong potential like Coca-cola, Pepsi Food safety and hygiene have not been given adequate attention, causing some brands to be boycotted by consumers Opportunities: Vietnam has a young population structure with an average age of 31 years, which can be considered the age group with the greatest demand Vietnam is located in a tropical climate, forecasting the average temperature will increase by 1-2% in the next 10 years to help increase the demand for soft drinks; The proliferation of fast food trends in Vietnam provides a good opportunity for beverage production to be consumed in large quantities; The tourism industry is well developed and export opportunities are increasing; Increasing awareness of health care makes a large number of consumers switch to consuming nutrient and non-gas water surfaces Challenge: Increasing competition with beverage products imported from countries participating in the TPP Agreement, ASEAN Economic Community due to import tax reduction of 2030% B.COMPANY ANALYSIS I Cuu Long Petro Urban Development & Investment Corporation Overview Cuu Long Petroleum Urban Development and Investment Joint Stock Company was founded by the General Meeting of Shareholders through the Draft Charter of the Company on November 29, 2007 and was officially approved by the Department of Planning and Investment of the province Soc Trang granted Business Registration Certificate on December 5, 2007 with initial registered charter capital of VND 250,000,000,000 The shareholders participating in the founding of the company are the major shareholders, having a lot of prestige and financial capacity such as Ut Xi Seafood Processing Joint Stock Company, PetroVietnam Finance Joint Stock Corporation, Sai Gon - Western Beer Joint Stock Company, Refrigeration Electrical Engineering Joint Stock Company (Ree), Manpower Limited Company The objective of PetroVietnam Urban Development and Investment Joint Stock Company is to become a bright spot in the strategy of developing urban areas and residential areas in Soc Trang Province in particular and the Mekong Delta region Kowloon in general The company has been taking solid first steps with a strategic vision, bringing into play 10 Finance Investment Final Report 42K15.3_CLC 27/11/2017 24/11/2017 23/11/2017 22/11/2017 21/11/2017 20/11/2017 17/11/2017 16/11/2017 15/11/2017 14/11/2017 13/11/2017 10/11/2017 09/11/2017 08/11/2017 07/11/2017 06/11/2017 03/11/2017 02/11/2017 01/11/2017 31/10/2017 30/10/2017 27/10/2017 26/10/2017 25/10/2017 24/10/2017 23/10/2017 20/10/2017 19/10/2017 18/10/2017 17/10/2017 16/10/2017 13/10/2017 167,690 156,720 156,720 156,720 164,556 160,638 164,556 164,556 163,772 163,772 156,720 156,720 156,720 158,287 160,638 157,504 156,720 158,287 158,287 158,287 156,720 156,720 156,720 156,720 156,720 156,720 156,720 156,720 156,720 156,720 156,720 156,720 7.00% 0.00% 0.00% -4.76% 2.44% -2.38% 0.00% 0.48% 0.00% 4.50% 0.00% 0.00% -0.99% -1.46% 1.99% 0.50% -0.99% 0.00% 0.00% 1.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 48,206 47,957 47,709 48,040 47,377 47,957 46,963 47,212 47,129 44,644 44,727 43,236 43,567 43,899 42,408 42,573 42,242 41,828 42,076 41,745 41,414 41,579 41,082 41,165 40,834 40,834 41,662 41,911 41,828 42,656 42,573 42,408 0.52% 0.52% -0.69% 1.40% -1.21% 2.12% -0.53% 0.18% 5.57% -0.19% 3.45% -0.76% -0.75% 3.52% -0.39% 0.78% 0.99% -0.59% 0.79% 0.80% -0.40% 1.21% -0.20% 0.81% 0.00% -1.99% -0.59% 0.20% -1.94% 0.19% 0.39% 0.39% 938.61 935.57 933.7 932.66 918.3 903.55 890.69 892.8 882.59 880.9 879.34 868.21 860.4 859.7 850.33 849.09 843.73 833.09 842.71 837.28 845.2 840.37 830.11 830.69 825.24 820.04 826.84 828.93 827.72 828.29 819.43 820.95 0.32% 0.20% 0.11% 1.56% 1.63% 1.44% -0.24% 1.16% 0.19% 0.18% 1.28% 0.91% 0.08% 1.10% 0.15% 0.64% 1.28% -1.14% 0.65% -0.94% 0.57% 1.24% -0.07% 0.66% 0.63% -0.82% -0.25% 0.15% -0.07% 1.08% -0.19% 0.62% 12/10/2017 11/10/2017 10/10/2017 09/10/2017 06/10/2017 05/10/2017 04/10/2017 156,720 156,720 156,720 156,720 156,720 156,720 155,153 0.00% 0.00% 0.00% 0.00% 0.00% 1.01% -0.50% 42,242 41,331 40,834 40,420 40,378 40,006 39,799 2.20% 1.22% 1.02% 0.10% 0.93% 0.52% 0.42% 815.87 813.95 810.65 808.96 807.8 805.23 805.66 0.24% 0.41% 0.21% 0.14% 0.32% -0.05% 0.96% 22 Finance Investment Final Report 42K15.3_CLC 03/10/2017 02/10/2017 29/09/2017 28/09/2017 27/09/2017 26/09/2017 25/09/2017 22/09/2017 21/09/2017 20/09/2017 19/09/2017 18/09/2017 15/09/2017 14/09/2017 13/09/2017 12/09/2017 11/09/2017 08/09/2017 07/09/2017 06/09/2017 05/09/2017 01/09/2017 31/08/2017 30/08/2017 29/08/2017 28/08/2017 25/08/2017 24/08/2017 23/08/2017 22/08/2017 21/08/2017 18/08/2017 17/08/2017 155,936 155,936 155,153 155,936 147,238 148,022 148,806 148,806 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,780 155,545 151,627 151,627 151,627 151,627 151,627 152,802 156,563 156,563 151,235 0.00% 0.51% -0.50% 5.91% -0.53% -0.53% 0.00% -4.48% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.15% 2.58% 0.00% 0.00% 0.00% 0.00% -0.77% -2.40% 0.00% 3.52% -6.67% 39,633 39,923 40,378 40,544 40,585 40,585 40,461 40,958 40,917 40,296 40,088 40,047 39,923 40,047 40,378 39,840 39,219 39,509 39,674 39,923 40,171 40,254 40,171 39,592 39,550 39,426 39,343 39,509 39,095 39,012 39,550 39,343 39,260 -0.73% -1.13% -0.41% -0.10% 0.00% 0.31% -1.21% 0.10% 1.54% 0.52% 0.10% 0.31% -0.31% -0.82% 1.35% 1.58% -0.73% -0.42% -0.62% -0.62% -0.21% 0.21% 1.46% 0.10% 0.32% 0.21% -0.42% 1.06% 0.21% -1.36% 0.53% 0.21% -0.42% 798 802.23 804.42 804.82 803.77 805.35 805.58 807.13 803.93 805.86 805.93 807.87 805.82 806.32 802.78 799.94 797.47 801.2 796.72 793.55 792.31 788.73 782.76 778.65 774.03 777.26 771.63 769.77 765.98 761.26 768.79 768.97 767.59 -0.53% -0.27% -0.05% 0.13% -0.20% -0.03% -0.19% 0.40% -0.24% -0.01% -0.24% 0.25% -0.06% 0.44% 0.36% 0.31% -0.47% 0.56% 0.40% 0.16% 0.45% 0.76% 0.53% 0.60% -0.42% 0.73% 0.24% 0.49% 0.62% -0.98% -0.02% 0.18% -0.77% 16/08/2017 15/08/2017 14/08/2017 11/08/2017 10/08/2017 09/08/2017 162,048 162,989 162,989 162,989 155,153 166,123 -0.58% 0.00% 0.00% 5.05% -6.60% -0.47% 39,425 39,668 39,912 40,114 39,668 39,263 -0.61% -1.02% -0.51% 1.12% 1.03% -1.12% 773.57 771.06 776.17 772.08 773.43 773.66 0.33% -0.66% 0.53% -0.17% -0.03% -2.26% 23 Finance Investment Final Report 42K15.3_CLC 08/08/2017 07/08/2017 04/08/2017 03/08/2017 02/08/2017 01/08/2017 31/07/2017 28/07/2017 27/07/2017 26/07/2017 25/07/2017 24/07/2017 21/07/2017 20/07/2017 19/07/2017 18/07/2017 17/07/2017 14/07/2017 13/07/2017 12/07/2017 11/07/2017 10/07/2017 07/07/2017 06/07/2017 05/07/2017 04/07/2017 03/07/2017 30/06/2017 29/06/2017 28/06/2017 27/06/2017 26/06/2017 23/06/2017 22/06/2017 166,907 166,907 156,720 167,612 180,150 180,228 180,228 180,228 180,228 174,351 174,351 174,351 174,351 174,351 162,989 156,720 156,720 156,720 156,720 156,720 156,720 156,720 165,340 156,720 168,474 176,310 180,228 173,176 167,690 160,638 150,451 150,451 141,048 141,048 0.00% 6.50% -6.50% -6.96% -0.04% 0.00% 0.00% 0.00% 3.37% 0.00% 0.00% 0.00% 0.00% 6.97% 4.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -5.21% 5.50% -6.98% -4.44% -2.17% 4.07% 3.27% 4.39% 6.77% 0.00% 6.67% 0.00% 2.86% 39,709 40,439 40,642 40,642 40,074 39,749 39,222 39,384 39,100 38,776 37,884 37,721 37,478 37,965 38,046 38,776 38,938 39,506 39,628 38,898 38,614 39,100 39,425 38,857 37,884 37,802 37,640 38,005 37,721 37,600 37,072 37,884 38,492 38,614 -1.81% -0.50% 0.00% 1.42% 0.82% 1.34% -0.41% 0.73% 0.84% 2.36% 0.43% 0.65% -1.28% -0.21% -1.88% -0.42% -1.44% -0.31% 1.88% 0.74% -1.24% -0.82% 1.46% 2.57% 0.21% 0.43% -0.96% 0.75% 0.32% 1.42% -2.14% -1.58% -0.32% 0.21% 791.57 792.98 788.68 788.49 786.23 786.81 783.55 777.09 771.5 773.88 767.27 759.74 761.86 768.41 771.3 767.49 768.91 777.6 778.3 774.17 769.36 766.56 775.73 782.65 778.32 775.54 778.88 776.47 771.75 769.04 767.51 772.52 769.01 766.3 -0.18% 0.55% 0.02% 0.29% -0.07% 0.42% 0.83% 0.72% -0.31% 0.86% 0.99% -0.28% -0.85% -0.37% 0.50% -0.18% -1.12% -0.09% 0.53% 0.63% 0.37% -1.18% -0.88% 0.56% 0.36% -0.43% 0.31% 0.61% 0.35% 0.20% -0.65% 0.46% 0.35% -0.14% 21/06/2017 20/06/2017 19/06/2017 16/06/2017 15/06/2017 137,130 130,861 130,861 130,861 130,861 4.79% 0.00% 0.00% 0.00% 0.00% 38,533 37,437 37,559 37,072 36,829 2.93% -0.32% 1.31% 0.66% 0.44% 767.41 767.99 766.83 761.24 760.57 -0.08% 0.15% 0.73% 0.09% -0.03% 24 Finance Investment Final Report 42K15.3_CLC 14/06/2017 13/06/2017 12/06/2017 09/06/2017 08/06/2017 07/06/2017 06/06/2017 05/06/2017 02/06/2017 01/06/2017 31/05/2017 30/05/2017 29/05/2017 26/05/2017 25/05/2017 24/05/2017 23/05/2017 22/05/2017 19/05/2017 18/05/2017 17/05/2017 16/05/2017 15/05/2017 12/05/2017 11/05/2017 10/05/2017 09/05/2017 08/05/2017 05/05/2017 04/05/2017 03/05/2017 28/04/2017 27/04/2017 26/04/2017 25/04/2017 130,861 137,130 147,317 147,317 147,317 147,317 147,317 147,317 148,884 148,884 148,884 148,884 140,264 140,264 131,175 131,175 131,175 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 141,048 150,451 150,451 140,813 131,645 133,212 -4.57% -6.91% 0.00% 0.00% 0.00% 0.00% 0.00% -1.05% 0.00% 0.00% 0.00% 6.15% 0.00% 6.93% 0.00% 0.00% -7.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -6.25% 0.00% 6.84% 6.96% -1.18% 0.00% 36,667 36,788 36,261 36,626 35,856 35,734 35,937 35,085 35,085 35,247 34,882 34,882 34,558 34,152 34,558 33,932 33,759 33,517 33,448 33,102 33,033 32,826 33,033 33,171 33,241 33,241 33,379 32,480 32,549 32,480 32,480 32,100 32,135 31,789 31,547 -0.44% 1.45% -1.11% 2.15% 0.23% -0.56% 2.43% 0.00% -0.46% 1.05% 0.00% 0.94% 0.00% -1.17% 1.84% 0.51% 0.72% 0.21% 1.04% 0.21% 0.63% -0.63% -0.42% -0.21% 0.00% -0.41% 2.77% -0.21% 0.21% 0.00% 1.18% -0.11% 1.09% 0.77% -0.22% 760.77 756.89 751.09 749.72 750.13 753.46 751.31 743.49 738.81 741.8 737.82 738.21 746.25 743.41 741.91 742.74 740.93 744.1 733.82 726.99 727.2 725.03 725.35 725.37 724.99 724.31 722.11 718.86 720 722.02 719.54 717.73 716.53 710.04 707.58 0.51% 0.77% 0.18% -0.05% -0.44% 0.29% 1.05% 0.63% -0.40% 0.54% -0.05% -1.08% 0.38% 0.20% -0.11% 0.24% -0.43% 1.40% 0.94% -0.03% 0.30% -0.04% 0.00% 0.05% 0.09% 0.30% 0.45% -0.16% -0.28% 0.34% 0.25% 0.17% 0.91% 0.35% -0.26% 24/04/2017 21/04/2017 20/04/2017 19/04/2017 133,212 133,212 133,212 133,212 0.00% 0.00% 0.00% 4.29% 31,617 31,686 31,686 31,789 -0.22% 0.00% -0.33% 0.00% 709.39 712.41 712.66 716.77 -0.42% -0.04% -0.57% 0.26% 25 Finance Investment Final Report 18/04/2017 17/04/2017 14/04/2017 13/04/2017 12/04/2017 11/04/2017 10/04/2017 07/04/2017 05/04/2017 04/04/2017 03/04/2017 31/03/2017 30/03/2017 29/03/2017 28/03/2017 27/03/2017 24/03/2017 23/03/2017 22/03/2017 21/03/2017 20/03/2017 17/03/2017 16/03/2017 15/03/2017 14/03/2017 13/03/2017 10/03/2017 09/03/2017 08/03/2017 07/03/2017 06/03/2017 03/03/2017 02/03/2017 01/03/2017 28/02/2017 27/02/2017 24/02/2017 23/02/2017 22/02/2017 127,727 127,727 126,943 133,212 133,212 133,212 133,212 125,376 133,212 133,212 133,212 133,212 125,376 125,376 125,376 125,454 133,212 133,212 133,212 133,212 133,212 125,533 134,779 137,130 129,294 134,701 133,212 133,212 135,563 136,346 136,346 136,346 136,346 136,346 136,346 136,346 136,346 136,346 136,346 0.00% 0.62% -4.71% 0.00% 0.00% 0.00% 6.25% -5.88% 0.00% 0.00% 0.00% 6.25% 0.00% 0.00% -0.06% -5.82% 0.00% 0.00% 0.00% 0.00% 6.12% -6.86% -1.71% 6.06% -4.01% 1.12% 0.00% -1.73% -0.57% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 42K15.3_CLC 31,789 31,582 31,824 32,653 32,860 32,446 32,480 32,480 32,169 32,480 32,066 32,688 32,549 32,826 32,757 32,895 32,964 33,171 31,858 32,204 32,204 31,720 31,582 31,478 31,582 31,617 31,789 31,444 31,651 31,651 31,755 31,547 31,409 31,582 31,686 32,169 31,789 31,789 31,651 26 0.66% -0.76% -2.54% -0.63% 1.28% -0.11% 0.00% 0.97% -0.96% 1.29% -1.90% 0.42% -0.84% 0.21% -0.42% -0.21% -0.63% 4.12% -1.07% 0.00% 1.53% 0.44% 0.33% -0.33% -0.11% -0.54% 1.10% -0.66% 0.00% -0.33% 0.66% 0.44% -0.55% -0.33% -1.50% 1.20% 0.00% 0.44% 0.88% 714.93 710.83 718.45 724.35 725.58 731.33 729.87 727.95 723.22 724.14 722.38 722.31 723.86 720.47 719.26 723.52 722.14 719.56 712.94 716.18 715.07 710.54 714.92 713.14 714.71 710.17 712.21 715.8 716.6 716.54 716.29 712.62 707.51 709.52 710.79 717.44 714.47 716.87 717.24 0.58% -1.06% -0.81% -0.17% -0.79% 0.20% 0.26% 0.65% -0.13% 0.24% 0.01% -0.21% 0.47% 0.17% -0.59% 0.19% 0.36% 0.93% -0.45% 0.16% 0.64% -0.61% 0.25% -0.22% 0.64% -0.29% -0.50% -0.11% 0.01% 0.03% 0.52% 0.72% -0.28% -0.18% -0.93% 0.42% -0.33% -0.05% 0.10% Finance Investment Final Report 21/02/2017 20/02/2017 17/02/2017 16/02/2017 15/02/2017 14/02/2017 13/02/2017 10/02/2017 09/02/2017 08/02/2017 07/02/2017 06/02/2017 03/02/2017 02/02/2017 25/01/2017 24/01/2017 23/01/2017 20/01/2017 19/01/2017 18/01/2017 17/01/2017 16/01/2017 13/01/2017 12/01/2017 11/01/2017 10/01/2017 09/01/2017 06/01/2017 05/01/2017 04/01/2017 03/01/2017 136,346 128,510 121,458 130,156 139,873 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 140,264 139,481 6.10% 5.81% -6.68% -6.95% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.56% 0.00% 42K15.3_CLC 31,375 31,133 31,306 31,306 31,789 32,066 30,960 30,718 30,787 30,822 30,753 30,614 30,891 31,029 31,167 30,891 30,718 30,545 30,269 30,269 30,684 30,407 31,029 31,755 31,858 31,789 31,236 31,064 31,167 31,271 30,995 0.78% -0.55% 0.00% -1.52% 0.00% 0.00% 0.79% -0.22% -0.11% 0.22% 0.00% -0.89% -0.45% -0.44% 0.89% 0.56% 0.57% 0.00% 0.00% -1.35% 0.00% -2.00% -2.29% -0.33% 0.22% 1.77% 0.56% -0.33% -0.33% 0.89% 1.93% 716.55 710.59 707.83 709.35 711.57 706.26 705.9 703.78 700.65 702.04 701.91 700.04 700.35 703.18 697.28 691.36 687.15 686.26 682.31 683.28 684.71 677.94 685.06 686.96 687.16 681.07 682.57 679.8 675.81 674.7 672.01 0.84% 0.39% -0.21% -0.31% 0.75% 0.05% 0.30% 0.45% -0.20% 0.02% 0.27% -0.04% -0.40% 0.85% 0.86% 0.61% 0.13% 0.58% -0.14% -0.21% 1.00% -1.04% -0.28% -0.03% 0.89% -0.22% 0.41% 0.59% 0.16% 0.40% 0.00% Caculating the expected return of two stocks and the VNindex We use the function AVERAGE from Excel to estimate the Daily expected rate of return, after that we multiply by 250 to calculate Yearly expected rate of return VCF FPT Vnindex Expected rate of return 0.1082% 0.1068% 0.1168% Yearly expected rate of return 27.0560% 26.69675% 29.1912% 27 Finance Investment Final Report 42K15.3_CLC Caculating the covariance and correlation a Variance a Standard deviation VCF FPT Daily Variance 0.00086 0.00024 Yearly Variance 0.21399 0.06021 Daily Standard deviation 0.02926 0.01552 Yearly Standard deviation 0.46260 0.24538 b Covariance c Correlation Covariance of VCF,FPT 0.000043384 Correlation of VCF, FPT 0.000382192 The minimum variance frontier and the efficient frontier Suppose that invester makes investing decision depend on expected rate of return and the least risky asset So, we define all of portfolios that have the lowest variance with the same expected rate of return All of effective portfolios are minimum variance a Minimum variance frontier: Step 1: Firstly, we have got 11 situations which changed the weight of each stock in portfolio every 10% from 0% to 100% After that we estimated - Portfolio expected rate of return - Porfolio variance: Portfolio standard deviation by the square root of portfolio variance WVCF WFPT Portfolio Expected return Portfolio Variance 100% 0% 27.0560% 0.2140 28 Portfolio STD 46.26% Finance Investment Final Report 90% 80% 70% 60% 50% 40% 30% 20% 10% 10% 20% 30% 40% 50% 60% 70% 80% 90% 42K15.3_CLC 27.0200% 26.9841% 26.9482% 26.9123% 26.8763% 26.8404% 26.8045% 26.7686% 26.7326% 0.1739 0.1394 0.1103 0.0867 0.0686 0.0559 0.0488 0.0471 0.0509 41.71% 37.33% 33.21% 29.44% 26.19% 23.65% 22.09% 21.70% 22.57% MINIMUM VARIANCE 27.10% 27.05% 27.00% 26.95% Portolio Expecte d Return 26.90% 26.85% Portfolio Standard Deviation 26.80% 26.75% 26.70% 26.65% 0.00% 5.00% 10.00% 15.00% 29 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 50.00% Finance Investment Final Report 42K15.3_CLC a Finding the efficient frontier Step 1: Finding the portfolio which has the least standard deviation through the equation: In which: σ12 is the Covariance of two stocks VCF and FPT So, we define this table: Portfolio has the least standard deviation Weight of VCF 0.21949264 Weight of FPT 0.78050736 Expected return 0.26775567 Expected Variance 0.04700525 Step 2: Define the efficient frontier: Efficient frontier is the part of graph which located from the point of least-standarddeviationportfolio to the point of highest-expected-return-portfolio In all over portfolio which is built by stock VCF and FPT, the portfolios in the efficient frontier supplies the best risk-return opporturnities The investers can choose any portfolio that lied on this frontier depending on risk aversion of investers (All of points lied in the area being circled) 30 Finance Investment Final Report 42K15.3_CLC MINIMUM VARIANCE 27.10% 27.05% 27.00% 26.95 % Portolio Expecte d Return 26.90% 26.85% Portfolio Standard Deviation 26.80% 26.75% 26.70% 26.65% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 50.00% If i had 100 millions VND, how would i invest? (If the risk-free rate is 8% and the total investment is 100 millions VND, how would we invest? Câu hỏi nhóm kia) Step 1: Define the optimal portfolio (P) According to the theory, the optimal portfolio is the one at which the slope of CAL is highest, using the Excel Solver, we define the maximum risk premium, therefore we find out below portfolio THE OPTIMA L PORTFOLIO WVCF 0.22277 WFPT 0.77723 Expected Return 0.26776 Expected Variance 0.04701 Standard Deviation 0.21681 31 Finance Investment Final Report 42K15.3_CLC Risk Premium Sharpe ratio 0.18777 0.86603 32 Finance Investment Final Report 42K15.3_CLC CAL Minimum variance LINE 33 OPTIMAL PORTFOLIO & CAPITAL ALLOCATION Finance Investment Final Report 42K15.3_CLC Step 2: Buiding the portfolio mixed with risk and risk free asset This portfolio has to have maximized ultility So, we show the utility function And the equation of Expected return of Portfolio C is So that: 29.0000% 28.0000% 27.0000% 26.0000% In which: 25.0000% 24.0000% % • E(Rc) : Rate23.0000 of return belong to portfolio including risk free and risk asset 22.0000% • Rf : Risk free rate of return 21.0000% • σC : Porfolio standard deviation 20.0000 % Expecte d return • y Portolio : Weight of risky portfolio 19.0000% • 1- y : Weight of risk free asset Standard deviation Portolio 18.0000% Assume that the risk aversion of investor is medium (A = 3.5 ) According to (1) (2) (3),Utility 17.0000% 16.0000% function has been rewritten: 15.0000% 14.0000% 13.0000% The utility is optimal when derivative of U equal to 12.0000% 11.0000% 10.0000% 9.0000% 8.0000% 0.00% 10.00% 20.00% After calculating, we show the combined portfolio below: 30.00% 40.00% Value of Porfolio Proportion Investing in risk-free asset -14.12% Investing in risky asset 114.12% Investing in VCF 25.42% Investing in FPT 88.70% 34 50.00% Finance Investment Final Report 42K15.3_CLC Total value of portfolio 100% (The negative proportion of investing in risk-free asset illustrates borrow to invest risk free assets to invest in risky asset.) D WORKLOG: Assigned task diary Member Nguyễn Thị Nhung Lê Chí Thiên Đinh Văn Quốc Đinh Thị Kim Ngân J.B Position Trưởng nhóm tạo tiến độ công việc hối thúc người làm việc Leader tiến độ, lên ý tưởng tạo nội dung thành viên Ghi chép báo cáo mức độ hoàn thành nhiệm vụ, nhiệm vụ giao, đóng góp thành viên, theo Thư kí dõi phiên tiến độ tài liệu liên quan, theo dõi báo cáo họp nhóm Tìm tòi, nghiên cứu, đề Người triển khai ý phương án giải khó khăn tưởng cơng việc, dự án nhóm; hỗ trợ, giúp đỡ thành viên Tìm tịi, nghiên cứu, đề Người triển khai ý phương án giải khó khăn tưởng cơng việc, dự án nhóm; hỗ trợ, giúp đỡ thành viên 35 TASK Finance Investment Final Report 42K15.3_CLC REFERENCE MATERIAL Books: Finance Investment Organizations: Exim bank Employee Websites: https://www.imf.org/~/media/Files/Publications/WEO/2019/October/English/text ashx https://countryeconomy.com/gdp/vietnam https://en.nhandan.com.vn/highlights/item/7001602-vietnam%E2%80%99seconomy-grows-by-7-08-in-2018-highest-in-11-years.html https://finance.vietstock.vn/CCL/tai-chinh.htm? fbclid=IwAR2ZrQi5xSdgHiJxVeFa7zvSyAdmwwuEbSTMMwZ0I0kgJaIbgnUb_ Gb_CGo https://finance.vietstock.vn/EIB/tai-chinh.htm? fbclid=IwAR0LYz0C4WamQUZPdHsq_hhnR_XN_jabMP_s2TRc4KUMwRDUkJZ-XwJPoc https://www.eximbank.com.vn/home/Static/gioithieu_eib.aspx https://vi.wikipedia.org/wiki/Ng%C3%A2n_h%C3%A0ng_th %C6%B0%C6%A1ng_m%E1%BA%A1i_c%E1%BB%95_ph%E1%BA %A7n_Xu%E1%BA%A5t_Nh%E1%BA%ADp_Kh%E1%BA%A9u_Vi %E1%BB%87t_Nam https://www.corporateinformation.com/Company-Snapshot.aspx? cusip=C70402Z50 http://www.dothi5a.com/home/about.php https://cafeland.vn/danh-ba/dau-tu-du-an/cong-ty-co-phan-dau-tu-va-phat-triendo-thi-dau-khi-cuu-long-1014.html 36 ... the charter capital of Eximbank has reached VND 12,335 billion Equity reached 13,317 billion VND Eximbank is currently one of the banks with the largest equity in the joint stock commercial banks... April 6, 1992, the Governor of the State Bank of Vietnam signed the License No 11 / NH-GP to allow the Bank to operate for a period of 50 years with the registered charter capital of VND 50 billion,... since the global financial crisis in 2007-2008 Thanks to the strong rise of the economy in the second half of the year with the growth rate of over 7% in the third and fourth quarters, the Vietnamese