Portfolio Management
Investment Report
Group 3
L/O/G/O
Contents
Contents 1
Group Profile
Contents 2
Investment Policy
Contents 3
Investment Environment
Contents 4
Portfolio performance
Contents 5
Selectivity and Diversification
INVESTMENT POLICY
Investment policy
•
•
Investments should out-perform the risk-free rate
Pay attention to high quality growth companies outperform over the long time or those which are being
speculated by large-sized funds
Investment criteria
•
•
•
•
•
Prefer growth and maturity stage companies with a strong track record of a
successful history starting or managing
Companies have solid market position in industry
Large capital market
Positive revenue and EAT
Exit Strategy
Sell stock when:
• Its price is higher beyond than the real value
• The price of stock excesses the supporting line
• Company’s bad news is public
INVESTMENT ENVIRONMENT
Stock market at the end of 2013 reached good status because of many contributed factors:
• Satisfactory results of financial reports in the third quarter
• Having higher income and optimistic mind, investors often spend more money in funds
than the rest of year
• Participation of foreign individual investors or charismatic funds
• Positive renovation policies of government
MANAGERS’RISK
The risk assumed by an investor that her investment might underperform simply
because of mistakes committed by the fund manager whose decisions and actions
may divert from the investors' wishes or reduce the value of an investment portfolio.
=> Before investing to any fresh investment, spend some time looking into the
background of the people who manage it.
INVESTORS’ RISK
However, international investors have voiced concerns that the investment
climate has deteriorated. Problems include:
1. Corruption
2. Weak legal infrastructure
3. Financial instability
Strong
Semistrong
form
Weak
form
Vietnam market
GROUP PROFILE
Symbol
Full name
Follower
HAGL JOINT STOCK COMPANY
Nguyễn Thị Ngọc Trâm
ITA
TAN TAO INVESTMENT INDUSTRIAL JSC
Lê Ngọc Thùy Dung
GAS
PETROVIETNAM GAS CORPORATION
VIC
VINGROUP JOINT STOCK COMPANY
DIG
DEVELOPMENT INVESTMENT CONSTRUCTION JSC
HQC
HOANG QUAN CONSULTING - TRADING - SERVICE REAL
ESTATE CORPORATION
VLF
VINH LONG CEREAL AND FOOD CORPORATION
OGC
OCEAN GROUP JOINT STOCK COMPANY
KMR
MIRAE JOINT STOCK COMPANY
VNH
VIET NHAT SEAFOOD CORPORATION
MSN
MASAN GROUP CORPORATION
PGC
PETROLIMEX GAS CORPORATION - JSC
HAG
Đặng Thụy Hồng Ngọc
Mai Thanh Lâm
Lương Bảo Hoàng
Nguyễn Quỳnh Mỹ Ngôn
Nguyễn Lê Phạm Duy
PORTFOLIO OVERVIEW
Distribution of each industry in number of companies invested
PORTFOLIO GROUP 3
Capital
100,000 (million VND)
First transaction date
13/11/2013
Exit date
03/12/2103
Duration
14 days
Securities Company
FPT
Transaction Fee
0.15%
GAS
9%
VIC
16%
DIG
HQC
12%
5%
4%
5%
10%
4% 6%
9%
41.7%
25.0%
ITA
10%
8.3%
8.3%
HAG
10%
8.3%
8.3%
Real Estate
Food-Beverage-Tobacco
Apparel-Leather and Allied Products
Natural Gas Distribution
Finance Services and Related Activities
Retail Trade
9.55%
10.50%
43.21%
4.38%
VLF
OGC
KMR
VNH
MSN
PGC
27.35%
5.01%
Distribution of each industry in capital invested
SECTOR FOCUS
The recovery of real estate
•
•
•
The real estate market has improved
significantly since early 2013 thanks to
the government’s determination and
actions.
In November, Vietnam had four new FDI
projects in the fields of real estate with a
total value of approximately $300 million
The package of 30,000 billion VND for
social housing projects of the State
No.
Content
First 9 months of 2012
(billion VND)
First 9 months of 2013
(billion VND)
% Change
1
Revenue
5.068
11.600
129%
2
EBT
2.097
8.339
298%
3
EAT
1.474
6.051
311%
VINGROUP JSC
PORTFOLIO PERFORMANCE
Beta
2.50
2.29
2.02
2.00
Beta
2.05
1.66
1.50
1.00
1.00
1.10
1.03
0.93
0.81
0.65
0.59
0.50
(0.50)
(0.60)
(1.00)
(1.50)
(1.37)
Weight
HAG
1.10
8.91%
ITA
2.02
16.42%
GAS
1.03
5.01%
VIC
0.59
3.97%
DIG
2.05
4.81%
HQC
1.66
9.09%
VLF
-1.37
5.57%
OGC
2.29
4.38%
KMR
0.81
10.50%
VNH
-0.60
11.82%
MSN
0.65
9.97%
PGC
0.93
9.55%
Portfolio
0.95
100.00%
PORTFOLIO PERFORMANCE
DIVESTMENT HISTORY
Exit
MSN
OGC
PGC
VIC
6.2
7.9
KMR
7
6.7
ITA
8.8
10.5
HQC
12
12.7
HAG
11
10.9
GAS
6.3
6.7
DIG
7.2
7
12.1
11.7
22.4
21.5
63
64.5
66.5
67
83.5
82.5
Investment
VLF
VNH
PORTFOLIO PERFORMANCE
Stock
Gain/Loss
Gain/Loss (%)
HAG
(516.07)
-2%
ITA
674.96
2%
GAS
261.75
2%
Performance
Period (days)
57
Total cycle
6.32
Investment (million VND)
100,000
Period performance
8.96%
Annual performance
56.6%
VIC
44.96
0%
DIG
(435.70)
-4%
Top gainers
VNH, KMR, ITA, PGC, GAS, VIC
HQC
(368.07)
-2%
Total gains
Top losers
11,425
HQC, HAG, VLF, DIG, OGC, MSN
VLF
(641.10)
-5%
OGC
(132.85)
-1%
KMR
3,365.63
13%
VNH
5,752.13
19%
MSN
(374.70)
-1%
PGC
1,325.90
6%
Performance summary
Total losses
(2,468)
PORTFOLIO PERFORMANCE
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
13/1
1
14/1
1
15/1
1
18/1
1
19/1
1
20/1
1
21/1
1
22/1
1
25/1
1
26/1
1
27/1
1
28/1
1
29/1
1
2/12
3/12
% Return of Portfolio -0.07% -0.62% -0.31% 0.81% 0.04% 1.90% -0.41% -0.56% 2.07% 4.25% 6.10% 7.79% 7.51% 9.21% 8.96%
%VNIndex
0.61% 0.14% 0.02% -0.14% -0.16% 0.53% 0.18% 0.42% -0.40% 0.16% -0.36% 1.04% 0.68% 0.36% -0.30%
% Return of Portfolio
%VNIndex
SELECTIVITY AND DIVERSIFICATION
𝑅𝑝 = 8.96%
𝑅𝑓 = 1.8%
𝑅𝑀 = 8%
𝛽 = 0.9468
𝜎𝑝 =
𝜎𝑀 =
𝑉𝑎𝑟𝑝 = 0.000989 ≈ 0.03145
𝑉𝑎𝑟𝑀 = 0.0000608 ≈ 0.00797
𝑅𝑝 − 𝑅𝑓 = 𝛼𝑝 + 𝛽𝑝 × 𝑅𝑀 − 𝑅𝑓 + 𝜀𝑡
⟹ 𝛼𝑝 = 𝑅𝑝 − 𝑅𝑓 − 𝛽𝑝 × 𝑅𝑀 − 𝑅𝑓 − 𝜀𝑡 = 0.0896 − 0.018 − 0.9468 × 0.08 − 0.018 = 0.029
𝑬 𝑹𝒑 based on SML
𝐸 𝑅𝑝 = 𝑅𝑓 + 𝛽 × 𝑅𝑀 − 𝑅𝑓 = 0.018 + 0.9468 × 0.08 − 0.018 = 0.0767 = 7.67%
𝑬 𝑹𝒑 based on CML
𝐸 𝑅𝑝
𝜎𝑝
0.03145
= 𝑅𝑓 +
× 𝑅𝑀 − 𝑅𝑓 = 0.018 +
× 0.08 − 0.018 = 0.26265 = 26.265%
𝜎𝑀
0.00797
SELECTIVITY AND DIVERSIFICATION
Selectivity = Actual Result – Theoretical result based on SML
⟹ 𝑆𝑒𝑙𝑒𝑐𝑡𝑖𝑣𝑖𝑡𝑦 = 8.96% − 7.67% = 1.29%
Selectivity is 1.29%. It means that that the portfolio’s actual result is higher than its theoretical
result based on SML.
Using the formula 𝑅𝑝 − 𝑅𝑓 = 𝛼𝑝 + 𝛽𝑝 × 𝑅𝑀 − 𝑅𝑓 + 𝜀𝑡
𝛼𝑝 = 0.029 (>0)
It shows that that portfolio generates higher profit than according to CAPM theory
Diversification = theoretical result based on SML - theoretical result based on CML
⟹ 𝐷𝑖𝑣𝑒𝑟𝑠𝑖𝑓𝑖𝑐𝑎𝑡𝑖𝑜𝑛 = 7.67% − 26.265% = −18.595%
The difference between theoretical result based on SML and CML is due to the portfolio is
not as diversified as the market. 18.595% is the contribution of diversification portfolio.
Thank You!
Group 3
L/O/G/O