{"id":26124,"date":"2023-12-07T02:23:59","date_gmt":"2023-12-07T02:23:59","guid":{"rendered":"https:\/\/masterskills.org\/blog\/do-luong-cua-jensen-jensens-measure-la-gi-vi-du-thuc-te-ve-do-luong-cua-jensen.html"},"modified":"2023-12-07T02:23:59","modified_gmt":"2023-12-07T02:23:59","slug":"do-luong-cua-jensen-jensens-measure-la-gi-vi-du-thuc-te-ve-do-luong-cua-jensen","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/do-luong-cua-jensen-jensens-measure-la-gi-vi-du-thuc-te-ve-do-luong-cua-jensen.html","title":{"rendered":"\u0110o l\u01b0\u1eddng c\u1ee7a Jensen (Jensen’s Measure) l\u00e0 g\u00ec? V\u00ed d\u1ee5 th\u1ef1c t\u1ebf v\u1ec1 \u0111o l\u01b0\u1eddng c\u1ee7a Jensen"},"content":{"rendered":"
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\"Jensen's<\/div>\n
\n

H\u00ecnh minh h\u1ecda<\/p>\n<\/div>\n<\/div>\n

\u0110o l\u01b0\u1eddng c\u1ee7a Jensen (Jensen’s Measure)<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

\u0110o l\u01b0\u1eddng c\u1ee7a Jensen<\/b> trong ti\u1ebfng Anh c\u00f3 m\u1ed9t s\u1ed1 c\u00e1ch g\u1ecdi nh\u01b0 Jensen’s Measure <\/b>hay\u00a0Jensen’s alpha.<\/p>\n

\u0110o l\u01b0\u1eddng c\u1ee7a Jensen\u00a0<\/i>l\u00e0 th\u01b0\u1edbc \u0111o hi\u1ec7u su\u1ea5t r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ch\u1ec9nh th\u1ec3 hi\u1ec7n l\u1ee3i nhu\u1eadn trung b\u00ecnh c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c s\u1ef1 \u0111\u1ea7u t\u01b0, cao h\u01a1n ho\u1eb7c th\u1ea5p h\u01a1n d\u1ef1 \u0111o\u00e1n c\u1ee7a m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n (CAPM), d\u1ef1a tr\u00ean m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c beta \u0111\u1ea7u t\u01b0 v\u00e0 l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng trung b\u00ecnh. S\u1ed1 li\u1ec7u n\u00e0y c\u0169ng th\u01b0\u1eddng \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 \u0111\u01a1n gi\u1ea3n l\u00e0 alpha.<\/p>\n

\u0110\u1ec3 ph\u00e2n t\u00edch ch\u00ednh x\u00e1c hi\u1ec7u su\u1ea5t c\u1ee7a m\u1ed9t nh\u00e0 qu\u1ea3n l\u00ed \u0111\u1ea7u t\u01b0, nh\u00e0 \u0111\u1ea7u t\u01b0 kh\u00f4ng ch\u1ec9 nh\u00ecn v\u00e0o l\u1ee3i nhu\u1eadn chung c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 m\u00e0 c\u00f2n xem x\u00e9t r\u1ee7i ro c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u00f3 \u0111\u1ec3 xem li\u1ec7u l\u1ee3i t\u1ee9c \u0111\u1ea7u t\u01b0 c\u00f3 b\u00f9 \u0111\u1eafp cho r\u1ee7i ro m\u00e0 n\u00f3 ph\u1ea3i ch\u1ecbu hay kh\u00f4ng. V\u00ed d\u1ee5: n\u1ebfu c\u1ea3 hai qu\u0129 t\u01b0\u01a1ng h\u1ed7 \u0111\u1ec1u c\u00f3 t\u1ec9 l\u1ec7 ho\u00e0n v\u1ed1n 12%, m\u1ed9t nh\u00e0 \u0111\u1ea7u t\u01b0 h\u1ee3p l\u00ed n\u00ean \u01b0u ti\u00ean qu\u0129 \u00edt r\u1ee7i ro h\u01a1n.<\/p>\n

\u0110o l\u01b0\u1eddng c\u1ee7a Jensen<\/i> l\u00e0 m\u1ed9t trong nh\u1eefng c\u00e1ch \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh xem danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 thu \u0111\u01b0\u1ee3c l\u1ee3i nhu\u1eadn ph\u00f9 h\u1ee3p cho m\u1ee9c \u0111\u1ed9 r\u1ee7i ro hay kh\u00f4ng.\u00a0N\u1ebfu gi\u00e1 tr\u1ecb l\u00e0 d\u01b0\u01a1ng, th\u00ec danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111ang ki\u1ebfm \u0111\u01b0\u1ee3c l\u1ee3i nhu\u1eadn v\u01b0\u1ee3t m\u1ee9c. N\u00f3i c\u00e1ch kh\u00e1c, gi\u00e1 tr\u1ecb d\u01b0\u01a1ng cho alpha c\u1ee7a Jensen c\u00f3 ngh\u0129a l\u00e0 ng\u01b0\u1eddi qu\u1ea3n l\u00ed qu\u0129 \u0111\u00e3 “\u0111\u00e1nh b\u1ea1i th\u1ecb tr\u01b0\u1eddng” b\u1eb1ng k\u0129 n\u0103ng ch\u1ecdn c\u1ed5 phi\u1ebfu c\u1ee7a m\u00ecnh.<\/p>\n

V\u00ed d\u1ee5 th\u1ef1c t\u1ebf v\u1ec1 \u0111o l\u01b0\u1eddng c\u1ee7a Jensen<\/font><\/h3>\n

Gi\u1ea3 s\u1eed CAPM l\u00e0 \u0111\u00fang, alpha c\u1ee7a Jensen \u0111\u01b0\u1ee3c t\u00ednh b\u1eb1ng 04 bi\u1ebfn sau:<\/p>\n

S\u1eed d\u1ee5ng c\u00e1c bi\u1ebfn n\u00e0y, c\u00f4ng th\u1ee9c cho alpha c\u1ee7a Jensen l\u00e0:<\/p>\n

Alpha = R (i) – {R (f) + B x [R (m) – R (f)]}<\/p>\n

Trong \u0111\u00f3:<\/p>\n

R (i) = l\u1ee3i nhu\u1eadn th\u1ef1c nh\u1eadn c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c s\u1ef1 \u0111\u1ea7u t\u01b0<\/p>\n

R (m) = l\u1ee3i nhu\u1eadn th\u1ef1c nh\u1eadn c\u1ee7a ch\u1ec9 s\u1ed1 th\u1ecb tr\u01b0\u1eddng ph\u00f9 h\u1ee3p<\/p>\n

R (f) = l\u00e3i su\u1ea5t phi r\u1ee7i ro trong kho\u1ea3ng th\u1eddi gian<\/p>\n

B = beta c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 trong m\u1ed1i t\u01b0\u01a1ng quan v\u1edbi ch\u1ec9 s\u1ed1 th\u1ecb tr\u01b0\u1eddng \u0111\u00e3 ch\u1ecdn<\/p>\n

V\u00ed d\u1ee5, gi\u1ea3 s\u1eed m\u1ed9t qu\u0129 t\u01b0\u01a1ng h\u1ed7 v\u1edbi l\u1ee3i nhu\u1eadn th\u1ef1c nh\u1eadn l\u00e0 15% v\u00e0o n\u0103m tr\u01b0\u1edbc. Ch\u1ec9 s\u1ed1 th\u1ecb tr\u01b0\u1eddng th\u00edch h\u1ee3p cho l\u1ee3i nhu\u1eadn c\u1ee7a qu\u0129 n\u00e0y 12%. H\u1ec7 s\u1ed1 beta c\u1ee7a qu\u0129 so v\u1edbi c\u00f9ng ch\u1ec9 s\u1ed1 \u0111\u00f3 l\u00e0 1.2 v\u00e0 l\u00e3i su\u1ea5t phi r\u1ee7i ro l\u00e0 3%. Alpha c\u1ee7a qu\u0129 \u0111\u01b0\u1ee3c t\u00ednh nh\u01b0 sau:<\/p>\n

Alpha = 15% – [3% + 1.2 x (12% – 3%)] = 15% – 13.8% = 1.2%.<\/p>\n

V\u1edbi h\u1ec7 s\u1ed1 beta l\u00e0 1.2, qu\u0129 t\u01b0\u01a1ng h\u1ed7 d\u1ef1 ki\u1ebfn s\u1ebd r\u1ee7i ro h\u01a1n ch\u1ec9 s\u1ed1 v\u00e0 do \u0111\u00f3 ki\u1ebfm \u0111\u01b0\u1ee3c nhi\u1ec1u ti\u1ec1n h\u01a1n. Alpha d\u01b0\u01a1ng trong v\u00ed d\u1ee5 n\u00e0y cho th\u1ea5y r\u1eb1ng ng\u01b0\u1eddi qu\u1ea3n l\u00ed qu\u0129 t\u01b0\u01a1ng h\u1ed7 ki\u1ebfm \u0111\u01b0\u1ee3c nhi\u1ec1u ti\u1ec1n h\u01a1n \u0111\u1ee7 \u0111\u1ec3 \u0111\u01b0\u1ee3c b\u00f9 \u0111\u1eafp cho r\u1ee7i ro m\u00e0 h\u1ecd \u0111\u00e3 \u0111\u1ea3m nh\u1eadn trong su\u1ed1t n\u0103m. N\u1ebfu qu\u0129 t\u01b0\u01a1ng h\u1ed7 ch\u1ec9 tr\u1ea3 l\u1ea1i 13%, th\u00ec alpha t\u00ednh ra l\u00e0 -0.8%. V\u1edbi m\u1ed9t alpha \u00e2m, ng\u01b0\u1eddi qu\u1ea3n l\u00ed qu\u0129 t\u01b0\u01a1ng h\u1ed7 s\u1ebd kh\u00f4ng ki\u1ebfm \u0111\u01b0\u1ee3c \u0111\u1ee7 ti\u1ec1n l\u00e3i do s\u1ed1 ti\u1ec1n r\u1ee7i ro m\u00e0 h\u1ecd \u0111ang th\u1ef1c hi\u1ec7n.<\/p>\n

(T\u00e0i li\u1ec7u tham kh\u1ea3o: investopedia.com)<\/i><\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n \u0110o l\u01b0\u1eddng c\u1ee7a Jensen (ti\u1ebfng Anh: Jensen’s Measure) l\u00e0 th\u01b0\u1edbc \u0111o hi\u1ec7u su\u1ea5t r\u1ee7i ro c\u00f3 \u0111i\u1ec1u ch\u1ec9nh th\u1ec3 hi\u1ec7n l\u1ee3i nhu\u1eadn trung b\u00ecnh c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0 ho\u1eb7c s\u1ef1 \u0111\u1ea7u t\u01b0, cao h\u01a1n ho\u1eb7c th\u1ea5p h\u01a1n d\u1ef1 \u0111o\u00e1n c\u1ee7a m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00e0i s\u1ea3n v\u1ed1n (CAPM).\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[414],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/26124"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=26124"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/26124\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=26124"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=26124"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=26124"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}