FINANCE Course Financial Investment

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.

Proposed supervisor: M Fin Nguyễn Thanh Hương

Course: Financial Investment

Class: 42K15.3

￥

Philippines, Thailand,

VietNam)

SIS

Political instability

Agriculture, forestry and fishery (%) 2.90 % 3.76%

Industry and construction sector (%) 8.0 % 8.85 %

Service area (%) 7.44 % 7.03 %

S

Inflation

Business fields Company’s position

Overview Development history

CUY LONG CORP

Business services Company’s position

Overview Development history

EXIM BANK

RuM’s credit

CUY LONG CORP

4 ANALYZING FINANCIAL STATUS

RuM’s credit

CUY LONG CORP

4 ANALYZING FINANCIAL STATUS

Indicators Year 2017 Year 2018

RuM’s credit

CUY LONG CORP

4 ANALYZING FINANCIAL STATUS

Indicators Year 2017 Year 2018

Account Receivable Turnover 7.35 3.91

RuM’s credit

EXIM BANK

4 ANALYZING FINANCIAL STATUS

Operating profit before provision for credit losses 1,622,155 1,550,674

Total assets  

Deposits from customers

Net gain/(loss) from sales of investment securities 62,621 -116,033

RuM’s credit

EXIM BANK

4 ANALYZING FINANCIAL STATUS

BUIDING

PORTFOLIO

I Collecting the datas

1 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 the following

formula: 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 + 1

We show the result of this part in the attachted excel file:

2 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

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

1.949830 %    

=> 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.

4 Covariance and correlation coefficients of CCL and EIB

, : 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 covariance of two stocks is calculated by this formula:

 The correlation between two stock is calculated by this formula:

: the standard deviation of CCL, EIB

4 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

5 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

• 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

5 The minimum variance frontier and the efficient frontier

5 The minimum variance frontier and 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

THE EFFICIENT FRONTIER

b.The efficient frontier

- Finding the portfolio which has the least standard deviation through the equation:

6 If you had 100 million dong, how would you invest?

6.1 Determine sharp ratio of CAL

Weighted of investing risk-free asset 1 – y 2%

Expected returns for combinations 0.214722%

Variance on the possible combined portfolio

Weighted of investing risk-free asset 1 – y 2%

Expected returns for combinations 0.214722%

Variance on the possible combined portfolio

1.8119%

Utility U 0.021390125

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6.3 Determine capital allocation for combined portfolio

Assets in portfolio Weight of assets