Rate of Return Case Study

ASSIGNMENT

Part 1:

a)

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b)

c)

- The variance and the standard deviation of return:

- The covariances of return:

d) Corresponding correlation coefficients:

e) DXG has the highest risk but the highest return. While GAS has the second highest risk, but the lowest return in the three stocks, VCB has the lowest risk and returns only 0.24% lower than DXG.

f) * DXG: 

- The rate of return hit the lowest point in 26/5/2017 with -0.16336 because BBC took out of their capital.

- The Rate of return peaked at 0.13187 in 31/3/2017 because DXG and  Vingroup invested in  Opal Ocean View at Nam Hội An.

*VCB:

- The Rate of return peaked at 6.76 in 24/11/2017

Until 20/11/2017, Vietcombank has made the first divestments. Accordingly, the Bank sold more than 13.2 million shares of Saigonbank for one individual investor and one institutional investor with the average winning bid of VND20,100 /share. The total value of shares sold reached over 266.3 billion, the difference from the value at the starting price reached 100 billion. At the same time, Vietcombank offered 6.6 million shares of Cement Finance Joint Stock Company to 9 individual investors at an average successful price of VND11,554 per share. The total value of shares sold reached over 76.2 billion. Thus, Vietcombank has collected a total of more than 342 billion from the divestment of Saigonbank and Cement Finance, bringing the profit of nearly 150 billion.

* GAS:

- The rate of return hit the lowest point in 30/12/2016 with -0.05754 because a member of Committee sold 2,100 stocks.

- The Rate of return peaked at 0.060606 in 3/11/2017 because of Petroleum Corporation- Joint Stock Company announces the resolution of the Board of Directors approving the second dividend payment by cash in 6/11/2017.

* VnIndex:

- January 6 2017: Foreign investors net bought VND 125.4 billion dong thanks to the SAB agreement. Vietnam stock market closed the last trading session of the first week of 2017 with the developments are considered relatively positive. Foreign investors were active in the market, of which they bought over 18.6 million shares worth over 844.8 billion dong and sold over 15.7 million shares, worth over 709 billion dong. The total volume of net buying reached 884,258 shares, equivalent to the net buying volume was over 125.4 billion. The VN Index increased by 3.99 points (0.59%) to 679.8 points.

- January 13 2017: VNM foreigners sold HBC. Foreign investors traded fairly well for both buyers and sellers. Specifically, foreigners bought a total of nearly 8.7 million shares, worth more than 270 billion, while selling more than 9 million shares, worth nearly 269.8 billion. Total net selling volume reached 371,660 shares. In terms of value, foreigners were slight net buyers of 616 million dong. On the HOSE, foreign investors saw the highest net buying of VNM, reaching over 21.7 billion dong. Closed the session, VNM dropped 100 dong to 126,900 dong / share. At the end of the session, the VN Index dropped 1.9 points (-0.28%) to 685.06 points.

Part 2:

1. Variance and standard deviation:

b)

The pattern of the return of portfolio is 0.62% which bigger than average return of VCB and GAS with 0.61% and 0.4%, respectively. By contrast, the portfolio mean is smaller than the average return of DXG (0.85%). The std.Dev of portfolio is 0.03% which smaller than the Std.Dev of DXG and GAS (5.92% and 3.08% respectively), but it is equally the same with VCB figure.