{"id":29869,"date":"2023-12-07T08:45:15","date_gmt":"2023-12-07T08:45:15","guid":{"rendered":"https:\/\/masterskills.org\/blog\/thoi-gian-dao-han-binh-quan-do-la-dollar-duration-la-gi-cong-thuc-tinh.html"},"modified":"2023-12-23T06:10:49","modified_gmt":"2023-12-22T23:10:49","slug":"thoi-gian-dao-han-binh-quan-do-la-dollar-duration-la-gi-cong-thuc-tinh","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/thoi-gian-dao-han-binh-quan-do-la-dollar-duration-la-gi-cong-thuc-tinh.html","title":{"rendered":"Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la (Dollar Duration) l\u00e0 g\u00ec? C\u00f4ng th\u1ee9c t\u00ednh"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Investopedia<\/p>\n<\/figcaption><\/figure>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/font><\/h2>\n

Kha\u0301i ni\u00ea\u0323m<\/b><\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la <\/b>trong ti\u00ea\u0301ng Anh la\u0300 Dollar Duration.<\/b><\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/b> \u0111o l\u01b0\u1eddng s\u1ef1 thay \u0111\u1ed5i t\u00ednh theo \u0111\u1ed3ng USD trong gi\u00e1 tr\u1ecb c\u1ee7a tr\u00e1i phi\u1ebfu, v\u1edbi s\u1ef1 thay \u0111\u1ed5i c\u1ee7a l\u00e3i su\u1ea5t th\u1ecb tr\u01b0\u1eddng.\u00a0<\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng b\u1edfi c\u00e1c nh\u00e0 qu\u1ea3n l\u00ed qu\u0129 tr\u00e1i phi\u1ebfu chuy\u00ean nghi\u1ec7p nh\u01b0 m\u1ed9t c\u00e1ch t\u00ednh x\u1ea5p x\u1ec9 r\u1ee7i ro l\u00e3i su\u1ea5t\u00a0c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0. Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la l\u00e0 m\u1ed9t trong nhi\u1ec1u ph\u00e9p \u0111o th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n tr\u00e1i phi\u1ebfu kh\u00e1c nhau. \u00a0\u00a0<\/p>\n

Khi\u00a0th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n\u00a0\u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 nh\u1ea1y c\u1ea3m c\u1ee7a gi\u00e1 tr\u00e1i phi\u1ebfu trong thay \u0111\u1ed5i l\u00e3i su\u1ea5t, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la t\u00ecm c\u00e1ch cung c\u1ea5p cho nh\u1eefng thay \u0111\u1ed5i n\u00e0y m\u1ed9t s\u1ed1 ti\u1ec1n th\u1ef1c t\u1ebf. \u00a0\u00a0<\/p>\n

\u0110\u1eb7c \u0111i\u1ec3m Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/font><\/h3>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la <\/b>l\u00e0 m\u1ed9t \u01b0\u1edbc l\u01b0\u1ee3ng tuy\u1ebfn t\u00ednh v\u1ec1 c\u00e1ch gi\u00e1 tr\u1ecb c\u1ee7a tr\u00e1i phi\u1ebfu s\u1ebd thay \u0111\u1ed5i nh\u01b0 th\u1ebf n\u00e0o, \u0111\u1ec3 \u0111\u00e1p \u1ee9ng v\u1edbi nh\u1eefng thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t. Tuy nhi\u00ean, m\u1ed1i quan h\u1ec7 th\u1ef1c t\u1ebf gi\u1eefa gi\u00e1 tr\u1ecb tr\u00e1i phi\u1ebfu v\u00e0 l\u00e3i su\u1ea5t kh\u00f4ng ph\u1ea3i l\u00e0 tuy\u1ebfn t\u00ednh.\u00a0<\/p>\n

Do \u0111\u00f3, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la l\u00e0 m\u1ed9t th\u01b0\u1edbc \u0111o kh\u00f4ng ho\u00e0n h\u1ea3o v\u1ec1 \u0111\u1ed9 nh\u1ea1y c\u1ee7a l\u00e3i su\u1ea5t, n\u00f3 ch\u1ec9 ch\u00ednh x\u00e1c khi xem x\u00e9t nh\u1eefng thay \u0111\u1ed5i nh\u1ecf trong l\u00e3i su\u1ea5t. \u00a0\u00a0<\/p>\n

V\u1ec1 m\u1eb7t to\u00e1n h\u1ecdc, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la \u0111o l\u01b0\u1eddng s\u1ef1 thay \u0111\u1ed5i gi\u00e1 tr\u1ecb c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0\u00a0tr\u00e1i phi\u1ebfu \u0111\u1ed1i v\u1edbi m\u1ed7i 100 \u0111i\u1ec3m thay \u0111\u1ed5i trong m\u1ee9c l\u00e3i su\u1ea5t c\u01a1 b\u1ea3n. Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la th\u01b0\u1eddng \u0111\u01b0\u1ee3c bi\u1ec3u di\u1ec5n l\u00e0 DV01 (hay gi\u00e1 tr\u1ecb \u0111\u1ed3ng USD tr\u00ean 0,01 hay 1%).\u00a0<\/p>\n

L\u01b0u \u00fd r\u1eb1ng 0,01 hay 1%, l\u00e0 100 \u0111i\u1ec3m c\u01a1 b\u1ea3n.\u00a0<\/i><\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/font><\/h3>\n

\u0110\u1ec3 t\u00ednh th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/b> c\u1ee7a m\u1ed9t tr\u00e1i phi\u1ebfu, nh\u00e0 \u0111\u1ea7u t\u01b0 c\u1ea7n bi\u1ebft th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n c\u1ee7a tr\u00e1i phi\u1ebfu \u0111\u00f3, l\u00e3i su\u1ea5t hi\u1ec7n t\u1ea1i c\u0169ng nh\u01b0 s\u1ef1 thay \u0111\u1ed5i c\u1ee7a l\u00e3i su\u1ea5t. \u00a0<\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la = DUR x [\u2206 i \/ (1 + i)] x P\u00a0<\/i><\/p>\n

Trong \u0111\u00f3:\u00a0<\/p>\n

\u00a0– DUR l\u00e0 th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n c\u1ee7a tr\u00e1i phi\u1ebfu.<\/p>\n

\u00a0– i l\u00e0 l\u00e3i su\u1ea5t.\u00a0<\/p>\n

\u00a0– P l\u00e0 thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t. \u00a0\u00a0<\/p>\n

Trong khi th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la th\u01b0\u1eddng ch\u1ec9 m\u1ed9t gi\u00e1 tr\u00e1i phi\u1ebfu ri\u00eang l\u1ebb, t\u1ed5ng c\u00e1c th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la c\u00f3 tr\u1ecdng s\u1ed1 c\u1ee7a c\u00e1c tr\u00e1i phi\u1ebfu trong m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0, ch\u00ednh l\u00e0 th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la c\u1ee7a danh m\u1ee5c \u0111\u1ea7u t\u01b0.<\/p>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c \u00e1p d\u1ee5ng cho c\u00e1c s\u1ea3n ph\u1ea9m\u00a0\u0111\u1ea7u t\u01b0 c\u00f3 thu nh\u1eadp c\u1ed1 \u0111\u1ecbnh\u00a0kh\u00e1c nh\u01b0 h\u1ee3p \u0111\u1ed3ng k\u00ec h\u1ea1n, tr\u00e1i phi\u1ebfu t\u01b0\u01a1ng \u0111\u01b0\u01a1ng m\u1ec7nh gi\u00e1, tr\u00e1i phi\u1ebfu kh\u00f4ng tr\u1ea3 l\u00e3i, v.v. \u00a0\u00a0<\/p>\n

H\u1ea1n ch\u1ebf c\u1ee7a Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la\u00a0<\/font><\/h3>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/b> c\u00f3 m\u1ed9t s\u1ed1 h\u1ea1n ch\u1ebf nh\u01b0 sau:\u00a0<\/p>\n

\u00a0– \u00a0Th\u1ee9 nh\u1ea5t, b\u1edfi v\u00ec \u0111\u01b0\u1eddng bi\u1ec3u di\u1ec5n c\u1ee7a n\u00f3 l\u00e0 m\u1ed9t \u0111\u01b0\u1eddng tuy\u1ebfn t\u00ednh c\u00f3 h\u1ec7 s\u1ed1 g\u00f3c \u00e2m, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la gi\u1ea3 \u0111\u1ecbnh\u00a0\u0111\u01b0\u1eddng cong l\u1ee3i su\u1ea5t\u00a0d\u1ecbch chuy\u1ec3n song song, v\u00e0 k\u1ebft qu\u1ea3 ch\u1ec9 l\u00e0 m\u1ed9t \u01b0\u1edbc t\u00ednh x\u1ea5p x\u1ec9.\u00a0<\/p>\n

Tuy nhi\u00ean, n\u1ebfu c\u00f3 m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 tr\u00e1i phi\u1ebfu \u0111\u1ee7 l\u1edbn, c\u00f3 th\u1ec3 h\u1ea1n ch\u1ebf m\u1ee9c ch\u00eanh l\u1ec7ch x\u1ea5p x\u1ec9 n\u00e0y.\u00a0<\/p>\n

\u00a0– Th\u1ee9 hai l\u00e0 c\u00f4ng th\u1ee9c t\u00ednh to\u00e1n th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la gi\u1ea3 \u0111\u1ecbnh tr\u00e1i phi\u1ebfu c\u00f3 l\u00e3i su\u1ea5t c\u1ed1 \u0111\u1ecbnh v\u1edbi c\u00e1c kho\u1ea3n thanh to\u00e1n c\u1ed1 \u0111\u1ecbnh.\u00a0<\/p>\n

Tuy nhi\u00ean, l\u00e3i su\u1ea5t cho tr\u00e1i phi\u1ebfu thai \u0111\u1ed5i d\u1ef1a tr\u00ean \u0111i\u1ec1u ki\u1ec7n th\u1ecb tr\u01b0\u1eddng, c\u0169ng nh\u01b0 c\u00e1c c\u00f4ng c\u1ee5 \u0111\u1ea7u t\u01b0 k\u1ebft h\u1ee3p \u0111ang \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng ng\u00e0y m\u1ed9t ph\u1ed5 bi\u1ebfn. \u00a0\u00a0<\/p>\n

So s\u00e1nh v\u1edbi c\u00e1c lo\u1ea1i Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n kh\u00e1c\u00a0<\/font><\/h3>\n

Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la<\/b> kh\u00e1c v\u1edbi \u0111\u1ed9\u00a0co gi\u00e3n Maculay\u00a0v\u00e0 th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh.\u00a0<\/p>\n

Trong \u0111\u00f3, trong\u00a0th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111i\u1ec1u ch\u1ec9nh\u00a0l\u00e0 th\u01b0\u1edbc \u0111o \u0111\u1ed9 nh\u1ea1y c\u1ee7a gi\u00e1 tr\u00e1i phi\u1ebfu khi l\u1ee3i su\u1ea5t thay \u0111\u1ed5i, l\u00e0 m\u1ed9t th\u01b0\u1edbc \u0111o t\u1ed1t v\u1ec1 bi\u1ebfn \u0111\u1ed9ng.\u00a0<\/p>\n

\u0110\u1ed9 co gi\u00e3n Macaulay s\u1eed d\u1ee5ng t\u1ec9 l\u1ec7 v\u00e0 gi\u00e1 tr\u1ecb c\u1ee7a\u00a0l\u00e3i su\u1ea5t coupon\u00a0c\u00f9ng v\u1edbi\u00a0l\u1ee3i su\u1ea5t \u0111\u00e1o h\u1ea1n\u00a0(YTM) \u00a0\u0111\u1ec3 \u0111\u00e1nh gi\u00e1 \u0111\u1ed9 nh\u1ea1y c\u1ee7a m\u1ed9t tr\u00e1i phi\u1ebfu.\u00a0<\/p>\n

M\u1eb7t kh\u00e1c, th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la l\u00e0 m\u1ed9t \u01b0\u1edbc l\u01b0\u1ee3ng tuy\u1ebfn t\u00ednh v\u1ec1 c\u00e1ch gi\u00e1 tr\u1ecb c\u1ee7a tr\u00e1i phi\u1ebfu s\u1ebd thay \u0111\u1ed5i nh\u01b0 th\u1ebf n\u00e0o, \u0111\u1ec3 \u0111\u00e1p \u1ee9ng v\u1edbi nh\u1eefng thay \u0111\u1ed5i trong l\u00e3i su\u1ea5t. \u00a0 <\/p>\n

(Theo Investopedia)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Th\u1eddi gian \u0111\u00e1o h\u1ea1n b\u00ecnh qu\u00e2n \u0111\u00f4 la (ti\u1ebfng Anh: Dollar Duration) \u0111o l\u01b0\u1eddng s\u1ef1 thay \u0111\u1ed5i t\u00ednh theo \u0111\u1ed3ng USD trong gi\u00e1 tr\u1ecb c\u1ee7a tr\u00e1i phi\u1ebfu, v\u1edbi s\u1ef1 thay \u0111\u1ed5i c\u1ee7a l\u00e3i su\u1ea5t th\u1ecb tr\u01b0\u1eddng.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29869"}],"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=29869"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29869\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=29869"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=29869"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=29869"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}