1. INTRODUCTION - Research question?

Can we build a portfolio bringing about positive abnormal return in the future? In other words, we
want to check whether the active strategy is somehow better than the passive, once we spend time
and effort doing market research.
2. Data set used
+ FF5 model set of data.
+ Return of 9 stocks which are among top 30 of Berkshire Hathaway. BH is a multinational holding
company managed by Warren Buffett. Link: http://www.thestreet.com/story/12825278/1/warrenbuffetts-top-10-dividend-stocks.html. Show correlation matrix.
(FYI: Holding company is a company that owns other companies outstanding stock instead of
having its own products and services)
+ More detail: these 9 stocks all have

Dividend yields of 1.4% and higher

Some other key statistics (NI growth, ROE) outperforming those of S&P500

Ngi phn cng tm thm

3. Model employed
CAPM / FF3 => Come up with the final model with these following independent variable: EMR,
HML, MOM, RMW which is best explained the dependent variable.
4. Interpret results
-

R square

Residual st. dev => firm specific risk

Model significance

Variable significance

Alpha (in the worst case its still positive although small => still economically significant)

Beta (fluctuate around 1)

Based on graphs for visualization (linest function)

5. CONCLUSION - Link to research question
Yes we can build a model (such as this one) with positive abnormal return. We hope that, with the
technical analysis we have done, in the future the portfolio will keep stably performing well.
Some people said investors cannot beat the market. However, with dedication and excellent ability,
plus the lucky event, we believe one can still find assets which can actually generate abnormal
return.
Thuyt trnh:
1. Long: 1+2+5 (4-5)
2. Trang: 3+4 (5)
Report:
1. Long: 1+5
2. Trang: 3+4
3. Thng + Hng: 2