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Peter Pham
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Hello. I am Peter Pham, and AlphaVN.com is my creation. As a former proprietary trader with expertise in institutional sales and trading based in Vietnam, my approach is to mix quantitative trading techniques and fundamental analysis to provide a unique view of the changes taking place in the... More
My company:
Alphavn
My blog:
Peter Pham Presents: The Pursuit of Alpha in Asia
My book:
The Big Trade: Simple Strategies for Maximum Market Returns
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  • Diminishing Returns on Vietnamese Equities

    If we examine the history of the VN Index, we find that, excluding stock splits, the highest price ever for a stock was 295,134 VND for BMC.VN on 10/17/07. Hence, we can use 295,134 VND as a precedent for stock prices in Vietnam especially in a range bound market. Relative to other markets where price ranges for stocks are significantly wider we find that stocks trading above 80,000 VND in price are quite rare. Below, we examine the number of stocks since 2006 that have been various price ranges. 

    Price Range (VND) # 2006 2007 2008 2009 2010
    300,000 - 200,000 6   6      
    199,999-100000 31 1 23 1 3 3
    99999-90000 11   4 2 4 1
    89999-80000 14   6   1 7

     

    ETF investors into Vietnamese products, should also note the potential range bound nature and exhaustion Vietnamese equities experience on highs.



    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.
    Tags: VNM, Vietnam
    Dec 27 12:28 AM | Link | Comment!
  • VNM ETF and Alpha Returns

    By constructing a portfolio of the largest market weighted stocks that have outperformed the market during a period of time and rebalancing the portfolio yearly could provide index outperformance. The ration is that trends deserve at least twice the portfolio weight relative to the VN Index. The model portfolio has faired quite well relative to the VN Index. Interestingly, alot of these stocks are also found on the ETF VNM.

    Ticker Beta:Y-1 Alpha:Y-1 Index Weight Portfolio Weight
    VNM 0.96 0.11 7.2 14.48
    BVH 0.94 0.12 6.4 12.86
    VIC 0.81 0.33 5.6 11.14
    HAG 1.1 0.17 5.0 10.03
    FPT 0.97 0.14 3.3 6.5
    DPM 0.99 -0.13 2.6 5.19
    STB 0.95 -0.12 2.5 4.94
    HPG 1.07 -0.03 2.5 4.93
    PVF 1.21 -0.19 2.3 4.66
    SSI 1.15 -0.01 2.3 4.52
    PVD 0.99 -0.1 2.1 4.11
    KBC 1.03 0.1 2.0 4.08
    ITA 1.24 0 1.5 2.99
    SJS 1.12 0.1 1.5 2.92
    KDC 0.94 0.16 1.2 2.42


    It turns out, that the ETF in Vietnam plays a big roll on the stock performance of the above list. As many of these stocks will be a by product of indexation by ETF fund managers. Therefore, investors should seek to bid for the VNM ETF product as seasonal tendencies and indexation will support the 1H of 2011.


    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.
    Tags: VNM, Vietnam
    Dec 26 3:57 PM | Link | Comment!
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