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Peter Pham
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Hello. I am Peter Pham, and 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
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The Big Trade: Simple Strategies for Maximum Market Returns
  • VNM ETF and Alpha Returns 0 comments
    Dec 26, 2010 3:57 PM | about stocks: VNM

    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.
    Stocks: VNM
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