{"id":30123,"date":"2023-12-07T08:58:37","date_gmt":"2023-12-07T08:58:37","guid":{"rendered":"https:\/\/masterskills.org\/blog\/danh-muc-dau-tu-he-so-beta-bang-0-zero-beta-portfolio-la-gi-dac-diem.html"},"modified":"2023-12-07T08:58:37","modified_gmt":"2023-12-07T08:58:37","slug":"danh-muc-dau-tu-he-so-beta-bang-0-zero-beta-portfolio-la-gi-dac-diem","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/danh-muc-dau-tu-he-so-beta-bang-0-zero-beta-portfolio-la-gi-dac-diem.html","title":{"rendered":"Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 (Zero-beta portfolio) l\u00e0 g\u00ec? \u0110\u1eb7c \u0111i\u1ec3m"},"content":{"rendered":"
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\"Danh<\/div>\n
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\u1ea2nh minh h\u1ecda. Ngu\u1ed3n: ExcMasterskillsnt Investors.<\/p>\n<\/div>\n<\/div>\n

Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 <\/font><\/b><\/h2>\n

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

Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0<\/b> ti\u1ebfng Anh l\u00e0 Zero-beta portfolio.<\/b><\/p>\n

Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0<\/b> l\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c x\u00e2y d\u1ef1ng v\u1edbi r\u1ee7i ro h\u1ec7 th\u1ed1ng b\u1eb1ng 0, hay n\u00f3i c\u00e1ch kh\u00e1c, beta b\u1eb1ng 0. Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 s\u1ebd c\u00f3 l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng t\u01b0\u01a1ng t\u1ef1 nh\u01b0 l\u00e3i su\u1ea5t phi r\u1ee7i ro. M\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 nh\u01b0 v\u1eady s\u1ebd kh\u00f4ng c\u00f3 m\u1ed1i t\u01b0\u01a1ng quan v\u1edbi bi\u1ebfn \u0111\u1ed9ng th\u1ecb tr\u01b0\u1eddng, v\u00ec l\u1ee3i nhu\u1eadn k\u00ec v\u1ecdng c\u1ee7a n\u00f3 b\u1eb1ng l\u00e3i su\u1ea5t phi r\u1ee7i ro ho\u1eb7c t\u1ec9 l\u1ec7 ho\u00e0n v\u1ed1n t\u01b0\u01a1ng \u0111\u1ed1i th\u1ea5p so v\u1edbi danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta cao h\u01a1n.<\/p>\n

Danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 r\u1ea5t kh\u00f3 thu h\u00fat nh\u00e0 \u0111\u1ea7u t\u01b0 quan t\u00e2m \u0111\u1ebfn th\u1ecb tr\u01b0\u1eddng t\u0103ng tr\u01b0\u1edfng, v\u00ec danh m\u1ee5c \u0111\u1ea7u t\u01b0 nh\u01b0 v\u1eady kh\u00f4ng c\u00f3 t\u00ednh ph\u01a1i nhi\u1ec5m v\u1edbi th\u1ecb tr\u01b0\u1eddng, v\u00e0 do \u0111\u00f3 s\u1ebd k\u00e9m hi\u1ec7u qu\u1ea3 so v\u1edbi m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 th\u1ecb tr\u01b0\u1eddng \u0111a d\u1ea1ng.\u00a0<\/p>\n

N\u00f3 c\u00f3 th\u1ec3 thu h\u00fat \u0111\u1ed1i v\u1edbi nh\u00e0 \u0111\u1ea7u t\u01b0 trong\u00a0th\u1ecb tr\u01b0\u1eddng gi\u00e1 xu\u1ed1ng, nh\u01b0ng c\u00e1c nh\u00e0 \u0111\u1ea7u t\u01b0 c\u00f3 th\u1ec3 s\u1ebd ph\u00e2n v\u00e2n li\u1ec7u \u0111\u1ea7u t\u01b0 v\u00e0o tr\u00e1i phi\u1ebfu kho b\u1ea1c ng\u1eafn h\u1ea1n, kh\u00f4ng r\u1ee7i ro c\u00f3 ph\u1ea3i l\u00e0 s\u1ef1 thay th\u1ebf t\u1ed1t h\u01a1n v\u00e0 r\u1ebb h\u01a1n m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 kh\u00f4ng chi ph\u00ed kh\u00f4ng.<\/p>\n

\u0110\u1eb7c \u0111i\u1ec3m c\u1ee7a Danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0<\/font><\/b><\/font><\/h3>\n

H\u1ec7 s\u1ed1 beta \u0111o l\u01b0\u1eddng \u0111\u1ed9 nh\u1ea1y c\u1ea3m c\u1ee7a c\u1ed5 phi\u1ebfu (ho\u1eb7c c\u00e1c lo\u1ea1i ch\u1ee9ng kho\u00e1n kh\u00e1c) \u0111\u1ed1i v\u1edbi bi\u1ebfn \u0111\u1ed9ng gi\u00e1 c\u1ee7a ch\u1ec9 s\u1ed1 tham chi\u1ebfu th\u1ecb tr\u01b0\u1eddng c\u1ee5 th\u1ec3. Con s\u1ed1 n\u00e0y \u0111o l\u01b0\u1eddng s\u1ef1 ch\u00eanh l\u1ec7ch gi\u1eefa m\u1ee9c \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng c\u1ee7a c\u00e1c kho\u1ea3n \u0111\u1ea7u t\u01b0 v\u00e0 ch\u1ec9 s\u1ed1 tham chi\u1ebfu th\u1ecb tr\u01b0\u1eddng.<\/p>\n

N\u1ebfu h\u1ec7 s\u1ed1 beta l\u1edbn h\u01a1n 1, \u0111i\u1ec1u \u0111\u00f3 c\u00f3 ngh\u0129a l\u00e0 kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u00f3 bi\u1ebfn \u0111\u1ed9ng h\u01a1n th\u1ecb tr\u01b0\u1eddng. N\u1ebfu h\u1ec7 s\u1ed1 beta nh\u1ecf h\u01a1n 1, th\u1ecb tr\u01b0\u1eddng bi\u1ebfn \u0111\u1ed9ng h\u01a1n kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111\u00f3. H\u1ec7 s\u1ed1 beta c\u00f3 th\u1ec3 c\u00f3 gi\u00e1 tr\u1ecb \u00e2m, n\u00f3i l\u00ean r\u1eb1ng kho\u1ea3n \u0111\u1ea7u t\u01b0 \u0111ang di chuy\u1ec3n theo h\u01b0\u1edbng ng\u01b0\u1ee3c l\u1ea1i so v\u1edbi c\u00e1c bi\u1ebfn \u0111\u1ed9ng tr\u00ean th\u1ecb tr\u01b0\u1eddng.<\/p>\n

L\u1ea5y v\u00ed d\u1ee5 m\u1ed9t c\u1ed5 phi\u1ebfu v\u1ed1n h\u00f3a l\u1edbn. C\u00f3 th\u1ec3 c\u1ed5 phi\u1ebfu n\u00e0y c\u00f3 th\u1ec3 c\u00f3 beta b\u1eb1ng 0,97 so v\u1edbi\u00a0ch\u1ec9 s\u1ed1 S&P 500\u00a0(ch\u1ec9 s\u1ed1 ch\u1ee9ng kho\u00e1n v\u1ed1n h\u00f3a l\u1edbn) trong khi \u0111\u1ed3ng th\u1eddi c\u00f3 beta 0,7 so v\u1edbi ch\u1ec9 s\u1ed1 Russell 2000\u00a0(ch\u1ec9 s\u1ed1 ch\u1ee9ng kho\u00e1n v\u1ed1n h\u00f3a nh\u1ecf). \u0110\u1ed3ng th\u1eddi, c\u00f3 th\u1ec3 c\u00f4ng ty s\u1ebd c\u00f3 beta \u00e2m \u0111\u1ed1i v\u1edbi m\u1ed9t ch\u1ec9 s\u1ed1 r\u1ea5t kh\u00f4ng li\u00ean quan, ch\u1eb3ng h\u1ea1n nh\u01b0 ch\u1ec9 s\u1ed1 n\u1ee3 c\u1ee7a th\u1ecb tr\u01b0\u1eddng m\u1edbi n\u1ed5i.<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh beta l\u00e0:<\/p>\n

Beta =\u00a0Hi\u1ec7p ph\u01b0\u01a1ng sai\u00a0c\u1ee7a l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng<\/b> v\u00e0 l\u1ee3i nhu\u1eadn c\u1ed5 phi\u1ebfu<\/b>\/Ph\u01b0\u01a1ng sai\u00a0c\u1ee7a l\u1ee3i nhu\u1eadn th\u1ecb tr\u01b0\u1eddng<\/b><\/p>\n

V\u00ed d\u1ee5 c\u1ee5 th\u1ec3 v\u1ec1 Danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0<\/font><\/b><\/h3>\n

Ng\u01b0\u1eddi qu\u1ea3n l\u00ed danh m\u1ee5c \u0111\u1ea7u t\u01b0 mu\u1ed1n x\u00e2y d\u1ef1ng danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 so v\u1edbi ch\u1ec9 s\u1ed1 S&P 500. Ng\u01b0\u1eddi qu\u1ea3n l\u00ed c\u00f3 5 tri\u1ec7u USD \u0111\u1ec3 \u0111\u1ea7u t\u01b0 v\u00e0 \u0111ang xem x\u00e9t c\u00e1c l\u1ef1a ch\u1ecdn \u0111\u1ea7u t\u01b0 sau:<\/p>\n

C\u1ed5 phi\u1ebfu 1: c\u00f3 beta l\u00e0 0,95<\/p>\n

C\u1ed5 phi\u1ebfu 2: c\u00f3 beta l\u00e0 0,55<\/p>\n

Tr\u00e1i phi\u1ebfu 1: c\u00f3 beta l\u00e0 0,2<\/p>\n

Tr\u00e1i phi\u1ebfu 2: c\u00f3 beta l\u00e0 -0,5<\/p>\n

H\u00e0ng h\u00f3a 1: c\u00f3 beta l\u00e0 -0,8<\/p>\n

N\u1ebfu ng\u01b0\u1eddi qu\u1ea3n l\u00ed \u0111\u1ea7u t\u01b0 ph\u00e2n b\u1ed5 v\u1ed1n theo c\u00e1ch sau, anh ta s\u1ebd t\u1ea1o ra m\u1ed9t danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta x\u1ea5p x\u1ec9 b\u1eb1ng 0:<\/p>\n

C\u1ed5 phi\u1ebfu 1: 700.000 USD (14% danh m\u1ee5c \u0111\u1ea7u t\u01b0; beta c\u00f3 tr\u1ecdng s\u1ed1 l\u00e0 0,133)<\/p>\n

C\u1ed5 phi\u1ebfu 2: 1.400.000 USD (28% danh m\u1ee5c \u0111\u1ea7u t\u01b0; beta c\u00f3 tr\u1ecdng s\u1ed1 l\u00e0 0,182)<\/p>\n

Tr\u00e1i phi\u1ebfu 1: 400.000 USD (8% danh m\u1ee5c \u0111\u1ea7u t\u01b0; beta c\u00f3 tr\u1ecdng s\u1ed1 0,016)<\/p>\n

Tr\u00e1i phi\u1ebfu 2: 1 tri\u1ec7u USD (20% danh m\u1ee5c \u0111\u1ea7u t\u01b0; beta c\u00f3 tr\u1ecdng s\u1ed1 -0,1)<\/p>\n

H\u00e0ng h\u00f3a 1: 1,5 tri\u1ec7u USD (20% danh m\u1ee5c \u0111\u1ea7u t\u01b0; beta c\u00f3 tr\u1ecdng s\u1ed1 -0,24)<\/p>\n

Danh m\u1ee5c \u0111\u1ea7u t\u01b0 n\u00e0y s\u1ebd c\u00f3 beta l\u00e0 -0,009, \u0111\u01b0\u1ee3c coi l\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0 c\u00f3 h\u1ec7 s\u1ed1 beta g\u1ea7n nh\u01b0 b\u1eb1ng 0.<\/p>\n

(Theo\u00a0Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n Danh m\u1ee5c \u0111\u1ea7u t\u01b0 h\u1ec7 s\u1ed1 beta b\u1eb1ng 0 (ti\u1ebfng Anh: Zero-beta portfolio) l\u00e0 danh m\u1ee5c \u0111\u1ea7u t\u01b0 \u0111\u01b0\u1ee3c x\u00e2y d\u1ef1ng v\u1edbi r\u1ee7i ro h\u1ec7 th\u1ed1ng b\u1eb1ng 0, hay n\u00f3i c\u00e1ch kh\u00e1c, beta b\u1eb1ng 0.\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\/30123"}],"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=30123"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/30123\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=30123"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=30123"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=30123"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}