Investment Analysis and

Portfolio Management
Eighth Edition
by
Frank K. Reilly & Keith C. Brown

Chapter 16 - Chin lc qun
tr danh mc u t c phiu

Mc tiu t ra l hiu c:
- 2 nhm phong cch qun tr danh mc c phiu
- 3 cch thit lp mt danh mc ch s th ng
- S khc nhau gia mc tiu ca mt nh qun
l DM th ng v NQLDM ch ng
- Li bm st (tracking error) ca danh mc, v
vai tr ca ch s ny trong vic xy dng DM c
phiu th ng

Chapter 16 - Chin lc qun
tr danh mc u t c phiu

c im no ca c phiu gip phn bit
phong cch u t theo gi tr v phong
cch u t tng trng?
Phn tch phong cch u t (style
analysis) l g v bn phn tch ni ln
ln iu g v hiu qu u t ca mt
nh qun l danh mc?

Chapter 16 - Chin lc qun
tr danh mc u t c phiu

Nh QLDM ch ng s dng k thut g
nhm vt qua danh mc chun?
S khc nhau gia cc cch phn b ti
sn khc nhau: hn hp, chin lc,
chin thut v m bo (integrated,
strategic, tactical, and insured)?

1. Th no l qun l danh mc u t???

L xy dng mt danh mc chng khon, ti sn u
t p ng tt nht nhu cu ca ch u t v sau
thc hin vic iu chnh danh mc ny nhm t
c mc tiu ra.

Yu t quan trng u tin ca ch u t m h
quan tm l mc ri ro m h chp nhn.

Bn cht ca qun l danh mc u t chng khon l
nh lng mi quan h gia ri ro v mc li tc k
vng thu c t danh mc .
2. Qu trnh xy dng v qun l danh
mc u t

1.Vch ra chnh sch u t
2.Phn tch v nh gi c phiu
3.Chin lc mua bn c phiu
4.Xy dng danh mc
5.Chnh sa danh mc
6.nh gi
3. L thuyt c bn trong xy dng v qun
l danh mc u t:

L thuyt th trng hiu qu

Ri ro ca chng khon, ri ro ca danh
mc u t v phn tn ri ro nh a
dng ha.
2 phong cch qun l
danh mc
1.Qun l ch ng
2.Qun l th ng
Mua c phiu t da trn mt ch s chun no v
nm gi lu di khon u t.
i khi cn c cu li khi ti u t cc khon c tc
nhn v, hoc do cc mt s c phiu b hp nht hoc
trt khi danh mc ch s chun,
Ngi qun l danh mc c nh gi da
trn tiu ch: theo st li sut danh mc chun
n u
Mc ch: To ra danh mc c phiu vi s lng v
chng loi gn ging vi ch s chun li sut u t
tng ng li sut ca ch s .
Qun l th ng
Qun l th ng

C th hiu qu thp hn danh mc
chun v ph v hoa hng
Chi ph qun l ch ng (1 to 2 percent)
l vn ln khi xem xt hiu qu iu
chnh theo ri ro
Nhiu loi ch s th trng c dng
lm danh mc chun

Cc phng php xy dng danh mc c
phiu th ng:

Lp li hon ton mt ch s no (Full
replication)
Phng php chn nhm mu
(Sampling)
Phng php lp trnh bc 2 (Quadratic
optimization or programming)
Tt c cc c phn trong ch s c mua
vo theo mt t l bng t trng vn m c
phiu chim gi trong ch s ny.

Hn ch:
Chim nhiu chi ph giao dch
Lung c tc nhn v ri rc ti u t
phn tn
Chn nhm cc chng khon i din cho
ch s chun theo t trng tng ng vi
t trng trong ch s chun
u:
t ph hoa hng hn
Ti u t c tc vt v hn
Hn ch:
Khng bm st li sut thu thu c
trong ch s chun => Li bm st
(tracking error).
Tracking error
Mc tiu ca DM th ng: lp li ch s
c phiu no
Thnh cng khng nm mc li sut
bng s tuyt i, m mc bm st
li sut ca ch s chun
Mc tiu : ti thiu ho bin ng li
sut danh mc so vi ch s (ti thiu ho
tracking error)
Tracking error: mc m dao ng v
li sut ca danh mc khng tng quan
vi dao ng v li sut ca ch s chun
Eg: Over the last 8 quarters
tracking a particular benchmark
Mi quan h ngc chiu gia tracking
error ca mt danh mc th ng so vi
ch s chun ca n v thi gian, tin bc
to ra v duy tr danh mc
Expected Tracking Error Between the S&P 500 Index
and Portfolio Comprised of Samples of Less Than
500 Stocks
Ngh thut qun l danh mc c phiu th
ng nm kh nng cn bng hai yu t
c v mt (costs and benefits)
Costs: larger tracking error
Benefits: easier management, lower trading
commisions
a vo mt chng trnh my tnh tt c thng tin v
thay i gi trong qu kh v mi tng quan gia cc
chng khon t quyt nh to nn mt DM m li
theo di ch s tiu chun l nh nht
Phc tp, Thng ch c nh u t chuyn nghip p
dng.
Hn ch:
PP ny l thuc v mi tng quan trong qua skh, m
mi tng quan ny li c th thay i theo thi gian,
dn n vic theo di mt ch s cng khng thnh
cng.
Phng php chn mu c u
tin s dng hn rng ri hn c !
Sometimes completeness funds : constructed
to complement active portfolios that do not cover
the entire market
Eg: pension fund hire 3 active managers to
invest part of the funds money.
1 emphasizes small cap US stocks
1 invest only in Pacific Rim countries
1 in US stocks with low P/E ratios
=> Fund passively invest the remaining assets in a
completeness fund that will have a customized
benchmark that includes large and mid cap US
stocks, US stocks with normal to high P/E ratios, and
international stocks outside the Pacific Rim
Cc phng php u t mt danh
mc ch s
Qu ch s (index funds)
Nhi theo mt ch s gc
Qu giao dch trao i (exchange-traded
funds)
EFTs l chng ch tin gi cho php nh u
t c hng thng d vn v dng tin
mt ca cc chng khon m qu nm gi v
ang k gi ti nh ch ti chnh m pht
hnh ra chng ch EFTs theo t l nht dnh.

u im ca ETFs so vi qu tng h ch s:
C th mua bn ging nh c phiu thng trn th
trng tp trung hoc OTC
c m bo bng mt t chc ng vai tr ti tr
Thng th ph qun l nh hn
C th la chn thi im tn dng li th v thu
nh vo thng d vn
Nhc im:
- Hoa hng mi gii
- Khng ti u t c c tc nu khng phi l c
tc chi tr theo qu
Chin lc qun l danh mc
c phiu ch ng

Mc tiu: kim li sut DM > li sut ca
DM th ng, tr i chi ph giao dch
Kh khn thc t t ra i vi nh QT
ch ng:
Chi ph giao dch pht sinh nhiu
Ri ro c th cao hn so vi danh mc th
ng
Quy trnh qun l danh mc u t ch ng:
Bc 1:Xc nh mc tiu ca khch hng t ra
Bc 2:Lp ra mt danh mc chun (hay cn gi l danh
mc thng thng)
Bc 3: Xy dng mt chin lc v kt cu danh mc
u t ti u tha mn nhu cu ngi u t
Bc 4: Theo di nh gi cc bin ng ca c phiu
trong danh mc v ti cu trc danh mc khi cn thit.
Chin lc qun l danh mc
c phiu ch ng
Bc 1:Xc nh mc tiu ca khch
hng t ra


Khch hng u t c th a ra cc yu cu
c th cho khon u t ca mnh

V d: t ra mc tiu ch u t vo cc loi c
phiu ca cng ty nh: vi h s P/E thp ng
vi mt mc ri ro no , hoc cao hn, bng
hoc thp hn mc ri ro ca danh mc th
trng..

Chin lc qun l danh mc
c phiu ch ng
Bc 2:Lp ra mt danh mc chun
(hay cn gi l danh mc thng thng)

lm cn c so snh cho danh mc ch ng

Chng hn, ng vi yu cu trn y th danh mc
chun bao gm tt c cc c phiu ca cng ty nh vi
h s P/E thp vi t trng vn u nhau.

Chin lc qun l danh mc
c phiu ch ng
Bc 3: Xy dng mt chin lc v kt cu
danh mc u t ti u tha mn nhu cu
ngi u t
Thc hin phn tch nhng ngnh v cng ty ring l tha
mn mc tiu t ra tm ra c hi u t tt nht
Tnh ton xc nh s lng c phiu trong danh mc sao
cho t c mc a dng ha cao nht trong phm vi
gii hn ca khon tin u t.
Phn b khon u t, theo nguyn tc: nhng ngnh
ngh c xu hng pht trin tt th c phn b mt t
trng ln hn, trong cn tp trung vo nhng c phiu
c tim nng hoc nhng c phiu c nh gi thp.
Chin lc qun l danh mc
c phiu ch ng
Cc chin lc to lp danh mc
c phiu
Chin lc c bn
Fundamental Strategies
Nh QLDM c th i theo 2 hng:
Top-down:
bottom-up: i thng vo la chn c
phiu, khng cn phn tch th trng
hoc ngnh


Chin lc k thut
Technical Strategies

Chin lc xu th o ngc
(Contrarian investment strategy)
Chin lc ng c gi (Price momentum
strategy)
So snh vi chin lc ng c thu nhp (l
chin lc thuc v nhm chin lc xem xt
c tnh)

Chin lc xu th o ngc
(Contrarian investment strategy)
Thit lp danh mc cp da trn xu th
pht trin gi cp trong qu kh, vi gi
nh l nhng xu th s din bin
ngc li
Da vo nim tin rng thi im mua vo
tt nht l khi cc nh u t khc ang
tin rng gi xung v ngc li
Nh u t theo chin lc ny s mua
cp khi n xung gn y v ngc li
Chin lc ng c gi (Price
momentum strategy)
To lp danh mc vi gi nh rng nhng
xu hng gi trong qu kh s tip tc i
nh vy
Chin lc ny gi nh rng c phiu
ang hot s tip tc hot, v ngc li
V ra quyt nh mua bn cng da trn
gi nh ny
Chin lc ng lc thu nhp
(Earnings momentum strategy)
Mua v nm gi cp no c thu nhp tng
dn v bn cp no c thu nhp khng tt
K vng sau chin lc ny: gi cp s
pht trin theo phng hng ging nh
thu nhp
Chin lc XD DM da vo Nhng
s bt thng v c tnh ca cp

The Weekend Effect
The January Effect
Firm Size
P/E and P/BV ratios

The Weekend Effect
Mua vo th 2, bn vo th 6
Tuy nhin s giao dch pht sinh nhiu
thng to ra nhng danh mc khg hiu
qu v mt chi ph
The January Effect
Nhng hn ch trong cc xu th u t
ny khng phi lc no cng to ra nhng
chin lc XD danh mc tht hiu qu
Nhng NQL u t cp ch trong thng 1 t
khi chu c mc ph trong sut c nm
Anomalies and Attributes (cont.)
XD danh mc da vo nhng c tnh ca
bn thn cng ty
Firm size : Tng gi tr vn ho ca c phi
ang lu hnh ca cng ty
V tr ti chnh ca cng ty (financial ratios:
P/E, P/BV)
Firm Size

Nhng cng ty c gi tr vn ho th
trng nh thng mang li li sut iu
chnh theo ri ro ln shn l nhng cp c
gi tr vn ho th trng ln
P/E and P/BV ratios
Nhng cng ty c P/E v P/BV thp hn
thng magn li li sut ln shn nhng
cng ty c cc ch s cao
Kt qu nghin cu cho thy
Nhng li ch c th thu c t vic xy dng
nhng danh mc ton cu bng chin lc ch
ng khi cn c vo cc ch s ti chnh
Fama and French (1998)
Exhibit 16.12
Cc danh mc c P/E v P/BV thp nht th
mang li li sut cao nht, tt c cc nc,
tr Italy
Nhng danh mc c ch s thp nh vy cng
thng l c ri ro cao hn
Example: Xy dng cc danh mc c phiu
bng 2 chin lc da vo ng lc
u t da vo ng lc gm:
ng lc v gi
ng lc v thu nhp
Chin lc khc nhau=> cc loi danh mc
khc nhau
NT theo ng lc v gi s b hp dn bi nhng c
phiu c li sut cao, dng, bt k lm th no c
c mc li sut
NT theo ng lc v thu nhp b hp dn bi nhng
cng ty taora thu nhp vt tri so vi k vng ca
th trng, mc d c th trogn qu kh li sut l
m
Exhibit 16.13 Financial data for 20 selected momentum-
oriented stocks from the Russell 1000 index (p557)

Vn hiu qu v thu khi qun
tr DM c phiu ch ng
Khi pht sinh nhiu giao dch c th s
pht sinh 2 loi chi ph
Ph giao dch => gim li sut danh mc
Loi chi ph ny c san s cho tt c cc
nh u t trong qu
Bn c phiu khi cp gia tng gi tr =>pht
sinh thng d vn =>phi tr thu
Ch nh u t no nm gi TK thuc din b
nh thu th mi phi lo lng v loi cp ny

Nhng i tng khng phi lo v thu:
qu hu tr (pension funds)
Qu hc bng i hc (university endowment
funds)
Nhng c nhn tham gia chng trnh u t
hu tr thuc dng hon np thu (tax-
deferred retirement plans)
T l quay vng danh mc
Portfolio turnover
Cch o lng gin tip lng giao dch
dn n s tin thu m nh u t thuc din
b nh thu phi tr
=Tng gi tr nhng ti sn c bn trong
danh mc/gi tr trung bnh ca nhng ti sn
m qu qun l
Ch s ny l tn hiu tt cho bit hot ng u
t xt mt cch tng qut, nhng khng th hin
l tt c cc giao dch bn u mang li li
nhun thng d vn (c th c khi bn nhng b
l)
T l chi ph thu
Tax cost ratio (Ptak 2002)
Thc o th hin trc tip hn mc
cn bng gia thng d vn v phn l
ca nh qun l danh mc
So snh t l li sut trc thu (PTR)vi
li sut sau thu (tax adjusted return-TAR)
Th hin t l phn trm ti sn m
NQLDM phi tr cho thu tnh theo nm,
khi p dng chin lc c th no

Exhibit 16.14
Tax efficiency of passive (Vanguard 500
index fund) and active (MFS) stock funds

Active:
higher expense ratio (management, operating, administrative fees),
higher turnover ratio =>MFRFX more expensive fund, more stock trading
Outperform benchmark
Passive:
higher TAR
Lower tax cost ratio
Little difference between PRT and TAR => little trading but balanced in
creating capital gains and losses

u t gi tr v u t tng trng
Value versus Growth
Mt bc pht trin quan trng trong qun
tr danh mc c phiu ch ng l to ra
cc chin lc da trn kiu u t theo
gi tr v theo tng trng
Cc cng ty qun l qu t gi mnh l
ng qun tr c phiu gi tr/tng trng
Exhibit 16.15
Value versus Growth

Cc nghin cu u ch ra rng
C phiu tng trng tt hn c phiu gi
tr trong mt giai on nht nh sau th
tnh hnh o ngc li ngay
Theo thi gian, c phiu gi tr thng
mang li li sut cao hn c phiu tng
trng

P/E ratio = current price per
share/earnings per share
E (either current or forecasted firm
performance)
Value versus Growth

Nh u t gi tr s:
Tp trung vo EPS v cc nhn t kinh
t nh hng n EPS
- Tm nhng cty c kh nng tng trng
EPS cao
- Gi nh ch s P/E khng thay i

Value versus Growth

Nh u t gi tr s:
tp trung vo yu t gi
khng quan tm nhiu n thu nhp
hin ti
cho rng P/E hin ang di mc
ng ca n

Kiu u t (Style)
Xy dng mt danh mc nhm t c
nhng c im nht nh ca c phiu
VD: C phiu c mc vn ho nh, c
phiu c t l P/E thp, etc
Cc c phiu gi tr l cc c phiu b nh
gi thp
P/B hoc P/E
Cc c phiu tng trng s thu c li
sut trn trung bnh khi EPS tng

Kiu u t c quan trng khng?

Nhng la chn ph hp vi kiu u t
chnh l ngun thng tin i vi khch
hng
Xc nh kiu u t l mt vic c
ngha khi xem xt hiu qu ca qu so vi
ch s chun
Lm r c kiu u t s cho php nh
u t a dng ho danh mc

Xc nh kiu u t
Style grid:
firm size (large cap, mid cap, small cap)
Relative value (value, blend, growth)
characteristics

Benchmark Portfolios

Sharpe
T-bills, intermediate-term government
bonds,long-term government bonds, corporate
bonds, mortgage related securities, large-
capitalization value stocks, large-capitalization
growth stocks, medium-capitalization stocks,
smallcapitalization stocks, non-U.S. bonds,
European stocks, and Japanese stocks

Benchmark Portfolios
Sharpe
BARRA
Uses portfolios formed around 13 different
security characteristics, including variability in
markets, past firm success, firm size, trading
activity, growth orientation, earnings-to-price
ratio, book-to-price ratio, earnings variability,
financial leverage, foreign income, labor
intensity, yield, and low capitalization

Benchmark Portfolios
Sharpe
BARRA
Ibbotson Associates
simplest style model uses portfolios
formed around five different
characteristics: cash (Tbills), large-
capitalization growth, smallcapitalization
growth, large-capitalization value, and
small-capitalization value

La chn thi im p dng kiu u t
Timing Between Styles

Dao ng li sut gia cc qu tng h
ch yu l do nhng khc bit v kiu u
t
Cc kiu u t khc nhau c xu hng
bin ng vo cc thi im khc nahu
trong chu k kinh doanh

Cc chin lc phn b ti sn

Integrated asset allocation
capital market conditions
investors objectives and constraints
Expected Utility





Strategic asset allocation
constant-mix
Tactical asset allocation
mean reversion
inherently contrarian
Insured asset allocation
constant proportion
Asset Allocation Strategies
La chn phng php phn b ti sn
no l ph thuc vo:
S thay i mc tiu u t v cc ro
cn ca khch hng
Mi quan h gia iu kin th trng
vn trong qu kh v trong tng lai