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Group 10.

The document analyzes the stock performance of DCM and MSN, detailing their beta indices and portfolio values on two dates, 27/6 and 29/7. It calculates the optimal number of VN30F contracts for hedging purposes, recommending a short position due to the portfolio's sensitivity to market fluctuations. The initial margin required for the short position is calculated to be approximately 2,123,831,250 VND.

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5 views3 pages

Group 10.

The document analyzes the stock performance of DCM and MSN, detailing their beta indices and portfolio values on two dates, 27/6 and 29/7. It calculates the optimal number of VN30F contracts for hedging purposes, recommending a short position due to the portfolio's sensitivity to market fluctuations. The initial margin required for the short position is calculated to be approximately 2,123,831,250 VND.

Uploaded by

ttxuandao.1504
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Group 10

Stock “DCM” và “MSN”

Beta index

+ DCM: 1.1

+ MSN: 1.15

 On 27/6, the closing price of DCM was 33,650 VND => The
investment portfolio value of DCM = 33,650 × 178,000
(number of shares suitable for the market) =
5,989,700,000 VND => Weight is 0.59897
 On 27/6, the closing price of MSN was 76,800 VND => The
investment portfolio value of MSN = 76,800 × 52,000
(number of shares suitable for the market) =
3,993,600,000 VND => Weight is 0.39936
 On 29/7, the closing price of DCM was 37,050 VND => The
investment portfolio value of DCM = 37,050 × 178,000 =
6,594,900,000 VND => Weight is 0.65949
 On 29/7, the closing price of MSN was 76,000 VND => The
investment portfolio value of MSN = 76,000 × 52,000 =
3,952,000,000 VND => Weight is 0.39521. Portfolio beta
 27/6

- Beta DCM = 1.1, Weight = 0.59897

- Beta MSN = 1.15, Weight = 0.39936

- Portfolio beta = (1.1 × 0.59897) + (1.15 × 0.39936)=


0.658867 + 0.459264

= 1.11813 ≈ 1.12

 29/7

- Beta DCM = 1.1, tỷ trọng = 0.65949

- Beta MSN = 1.15, tỷ trọng = 0.3952


- Portfolio beta = (1.1 × 0.65949) + (1.15 × 0.3952) =
0.725439 + 0.45448

= 1.179919 ≈ 1.18

2. The optimal number of VN30F contracts

¿ β∗V A
N=
VF

- VN30F ( VF ) = Price VN30F × 100.000 VND

 27/6

- VA = 5.989.700.000 + 3.993.600.000 = 9.983.300.000 VND

- Price VN30F = 1475.89, VF 27/6 = 1475.89 × 100.000 =


147.589.000 VND

- β = 1.12

¿ β∗V A 1.12∗9.983.300 .000


N= = =76 contract
VF 147.589 .000

 29/7

- VA= 6.594.900.000 + 3.952.000.000 = 10.546.900.000 VND

- Price VN30F = 1665.75, VF 29/7 = 166.575.000 VND


(1665.75 × 100.000)

- β = 1.18

¿ β∗V A 1.18∗10.546 .9 00.000


N= = =75 contract
VF 166.575 .000

3. Determine short/long position and detailed reasons

 Recommendation: Short position

 Reason: The goal of hedging is to protect the portfolio


from downside risk. With portfolio betas of 1.12 (27/6) and
1.18 (29/7), both greater than 1, indicating the portfolio is
more sensitive to market fluctuations. Shorting VN30F
allows the sale of contracts to offset losses when the VN30
index declines. Although the VN30F price increased from
1475.89 (27/6) to 1665.75 (29/7), the short position is
determined based on the hedging need, independent of
short-term price trends.

4. Initial margin

 VF 29/7 = 166.575.000 VND (1665.75 × 100.000)


 Optimal number of contracts 29/7 = 75
 Margin requirement ratio = 17%

Initial margin (29/7) = Optimal number of contracts * VF * Margin


requirement ratio

= 75 * 166.575.000 * 17%

= 2.123.831.250 vnd

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