Based on below information and answer the question: Stocks: MWG. HPG. PNJ. NVL. VJC. SSI Beta: volatility (higher -> mor
Posted: Thu May 19, 2022 12:26 am
Based on below information and answer the question: Stocks: MWG.
HPG. PNJ. NVL. VJC. SSI
Beta: volatility (higher -> more risk, more
return)
Alpha: -1 -> underperformed, 1 ->
overperformed
Background and surrounding factors:
Key factors:
With regard to recent negative market sentiment in the
Vietnamese stock market due to the transparency and a future
decision of further increasing interest rate from FED in May, it is
likely that the stock market will experience some pessimism.
However, there remains support from the Ministry of Finance for the
industry. Particularly, some policies will be implied to enhance
the transparency in the stock market. This leads to positive
sentiments in the long term for investors. Thus, we will maintain
SSI in our portfolio since the company could take advantage of the
competitive price in this period to have higher returns. However,
for risk management, it is better to decrease the weight to 3%
instead of 5%.
The price of real estate in Vietnam skyrocketed in 2 years of
Covid-19 and good inflation control by the government could
indicate that the industry could no longer be attractive. There is
also further government intervention to prevent speculation by
controlling loans for buying property.
https://e.vnexpress.net/news/industries ... 56807.html
-> decrease the weight of real estate
The Chinese government is enforcing Zero-covid policy which
prevents exports from many countries including Vietnam. Hoa Phat
(HPG) is affected by this decision since its profit growth
accounted for a large part of exports to China. Thus,
although there is a normalization of covid-19 on a global scale
with higher demand for steel, it is better to decrease the weight
of the steel industry in the portfolio regarding risk
management.
Question
Provide comments on total
return/active return of the three
portfolios and determine the total risk/active
risk (by looking at the tracking error) of these
portfolios.
Finally, compare and contrast the portfolios that you
have created during sessions 1, 2 & 3 and summarize your
comments on outcome achieved.
HPG. PNJ. NVL. VJC. SSI
Beta: volatility (higher -> more risk, more
return)
Alpha: -1 -> underperformed, 1 ->
overperformed
Background and surrounding factors:
Key factors:
With regard to recent negative market sentiment in the
Vietnamese stock market due to the transparency and a future
decision of further increasing interest rate from FED in May, it is
likely that the stock market will experience some pessimism.
However, there remains support from the Ministry of Finance for the
industry. Particularly, some policies will be implied to enhance
the transparency in the stock market. This leads to positive
sentiments in the long term for investors. Thus, we will maintain
SSI in our portfolio since the company could take advantage of the
competitive price in this period to have higher returns. However,
for risk management, it is better to decrease the weight to 3%
instead of 5%.
The price of real estate in Vietnam skyrocketed in 2 years of
Covid-19 and good inflation control by the government could
indicate that the industry could no longer be attractive. There is
also further government intervention to prevent speculation by
controlling loans for buying property.
https://e.vnexpress.net/news/industries ... 56807.html
-> decrease the weight of real estate
The Chinese government is enforcing Zero-covid policy which
prevents exports from many countries including Vietnam. Hoa Phat
(HPG) is affected by this decision since its profit growth
accounted for a large part of exports to China. Thus,
although there is a normalization of covid-19 on a global scale
with higher demand for steel, it is better to decrease the weight
of the steel industry in the portfolio regarding risk
management.
Question
Provide comments on total
return/active return of the three
portfolios and determine the total risk/active
risk (by looking at the tracking error) of these
portfolios.
Finally, compare and contrast the portfolios that you
have created during sessions 1, 2 & 3 and summarize your
comments on outcome achieved.