Proiect Piata de Capital Si Gestiunea Portofoliilor

8/3/2019 Proiect Piata de Capital Si Gestiunea Portofoliilor

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Societatea emitent SimbolNumr

aciuni

Pre/Aci

uneValoare

% dup

valoare

ANTIBIOTICE SA ATB 4098 0.6100 2500 13%

AZOMURE SA AZO 5102 0.4900 2500 13%BANCA TRANSILVANIA SA TLV 1812 1.3800 2500 13%BIOFARM SA BIO 13158 0.1900 2500 13%BRD-GROUPE SOCIETEGENERALE SA BRD 205 12.2000 2500 13%C.N.T.E.E TRANSELECTRICA TEL 132 19.0000 2500 13%OLTCHIM SA RM. VLCEA OLT 12077 0.2070 2500 13%OMV-PETROM SNP 7463 0.3350 2500 13%TOTAL 44046 34.4120 20000 100%

9.30%

11.58%

4.11%

29.87%

0.47%0.30%

27.42%

16.94%

Structura portofoliului

ATB AZO TLV BIO BRD TEL OLT SNP


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% dup

nr. aciuni

9.30%

11.58%4.11%29.87%

0.47%0.30%

27.42%16.94%

100.00%


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Societateaemitent

(simbol)

Numr

aciuni

Pre/Aciune

01.10.2010

Val.Portof.

01.10.2010

Pre/Aciune

04.02.2011Val. Portof.04.02.2011

Modif.Pre

absolut

Modif. Pre

relativ

ATB 4098 0.6100 2500 0.5795 2375 -0.0305 -5.00AZO 5102 0.4900 2500 0.4711 2404 -0.0189 -3.86TLV 1812 1.3800 2500 1.3950 2527 0.0150 1.09

BIO 13158 0.1900 2500 0.2180 2868 0.0280 14.74BRD 205 12.2000 2500 14.1200 2893 1.9200 15.74TEL 132 19.0000 2500 20.3800 2682 1.3800 7.26OLT 12077 0.2070 2500 0.2060 2488 -0.0010 -0.48SNP 7463 0.3350 2500 0.3710 2769 0.0360 10.75

TOTAL 44046 20000 21006


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PUNCT 3

11.3111.4412.03

13.6613.7712.7711.8413.18

100.00


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Societateaemitent

(simbol)

Numr

aciuni

Pre/Aciune

01.10.2010

Val.Portof.

01.10.2010

Pondereaaciunii i la

01.10.2010

Pre/Aciune

04.02.2011

Val.Portof.

04.02.2011

Pondereaaciunii i la

04.02.2011

ATB 4098 0.6100 2500 12.50% 0.5795 2375 11.31%

AZO 5102 0.4900 2500 12.50% 0.4711 2404 11.44%TLV 1812 1.3800 2500 12.50% 1.3950 2527 12.03%BIO 13158 0.1900 2500 12.50% 0.2180 2868 13.66%BRD 205 12.2000 2500 12.50% 14.1200 2893 13.77%TEL 132 19.0000 2500 12.50% 20.3800 2682 12.77%OLT 12077 0.2070 2500 12.50% 0.2060 2488 11.84%SNP 7463 0.3350 2500 12.50% 0.3710 2769 13.18%

TOTAL 44046 20000 100.00% 21006 100.00%

ATB11%

AZO11%

TLV12%

BIO14%

BRD14%

TEL13%

OLT12%

SNP13%

Structura portofoliului la data de 04.02.2011


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ANTIBIOTICE SA - ATB

Data Pre/aciuneRata rentabilitii

sptmnale

01.10.2010 0.6100 14.0208.10.2010 0.5900 -3.2815.10.2010 0.5850 -0.8522.10.2010 0.5950 1.7129.10.2010 0.5950 0.0005.11.2010 0.5800 -2.5211.11.2010 0.5750 -0.8619.11.2010 0.5850 1.7426.11.2010 0.5600 -4.2703.12.2010 0.5750 2.6810.12.2010 0.5950 3.4817.12.2010 0.6200 4.2023.12.2010 0.6140 -0.9730.12.2010 0.6200 0.9807.01.2011 0.6210 0.16

14.01.2011 0.6000 -3.3821.01.2011 0.5750 -4.1728.01.2011 0.5500 -4.3504.02.2011 0.5795 5.36Rata medie 0.51

0.5000

0.5200

0.5400

0.5600

0.5800

0.6000

0.6200

0.6400

Evoluia aciunilor n perioada 01.10.2010 - 04.02.2011


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AZOMURES SA - AZO


sptmnale01.10.2010 0.4900 0.0008.10.2010 0.4900 0.0015.10.2010 0.4780 -2.4522.10.2010 0.4780 0.0029.10.2010 0.4800 0.4205.11.2010 0.4900 2.0812.11.2010 0.4800 -2.0419.11.2010 0.4990 3.9626.11.2010 0.4850 -2.8103.12.2010 0.4890 0.8210.12.2010 0.4850 -0.8217.12.2010 0.4720 -2.68

23.12.2010 0.4800 1.6930.12.2010 0.4800 0.0007.01.2011 0.5100 6.2514.01.2011 0.5030 -1.3721.01.2011 0.5010 -0.4028.01.2011 0.4840 -3.3904.02.2011 0.4711 -2.67

Rata medie -0.18

0.4500

0.4600

0.4700

0.4800

0.4900

0.5000

0.51000.5200

Evoluia aciunilor AZO n perioada analizat 01.10.2010-04.02.2011


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BANCA TRANSILVANIA SA -TLV

Data Pre/aciune Rata rentabilitiisptmnale01.10.2010 1.3800 -1.4308.10.2010 1.3000 -5.8015.10.2010 1.3600 4.6222.10.2010 1.3400 -1.4729.10.2010 1.3700 2.2405.11.2010 1.3200 -3.6512.11.2010 1.3000 -1.5219.11.2010 1.3000 0.0026.11.2010 1.2300 -5.3803.12.2010 1.2700 3.2510.12.2010 1.2700 0.00

17.12.2010 1.2300 -3.1523.12.2010 1.1920 -3.0930.12.2010 1.2280 3.0207.01.2011 1.3450 9.5314.01.2011 1.4210 5.6521.01.2011 1.4450 1.6928.01.2011 1.4190 -1.8004.02.2011 1.3950 -1.69Rata medie 0.05

0.0000

0.2000

0.4000

0.6000

0.8000

1.0000

1.2000

1.4000

1.6000

Evoluia aciunilor TLV n perioada analizat 01.10.2010-04.02.2011


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BIOFARM SA - BIO


sptmnale

01.10.2010 0.1900 3.2608.10.2010 0.1880 -1.0515.10.2010 0.1920 2.1322.10.2010 0.1900 -1.0429.10.2010 0.1930 1.5805.11.2010 0.1910 -1.0412.11.2010 0.1860 -2.6219.11.2010 0.1890 1.6126.11.2010 0.1880 -0.5303.12.2010 0.1960 4.2610.12.2010 0.2030 3.57

17.12.2010 0.2040 0.4923.12.2010 0.2010 -1.4730.12.2010 0.2050 1.9907.01.2011 0.2210 7.8014.01.2011 0.2172 -1.7221.01.2011 0.2140 -1.4728.01.2011 0.2195 2.5704.02.2011 0.2180 -0.68Rata medie 0.93

0.1600

0.1700

0.1800

0.1900

0.2000

0.2100

0.2200

0.2300

Evoluia aciunilor BIO n perioada analizat 01.10.2010-04.02.2011


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BRD-GROUPE SOCIETE GENERALE SA - BRD


sptmnale

01.10.2010 12.2000 1.6708.10.2010 12.3000 0.8215.10.2010 12.3000 0.0022.10.2010 12.1000 -1.6329.10.2010 12.4000 2.4805.11.2010 12.3000 -0.8112.11.2010 12.3000 0.0019.11.2010 11.9000 -3.2526.11.2010 11.7000 -1.6803.12.2010 12.1000 3.4210.12.2010 12.2000 0.83

17.12.2010 12.1000 -0.8223.12.2010 12.2900 1.5730.12.2010 12.3500 0.4907.01.2011 13.2900 7.6114.01.2011 14.2000 6.8521.01.2011 14.0000 -1.4128.01.2011 14.5000 3.5704.02.2011 14.1200 -2.62Rata medie 0.90

0.0000

2.0000

4.0000

6.0000

8.0000

10.0000

12.0000

14.0000

16.0000

Evoluia aciunilor BRD n perioada analizat 01.10.2010-04.02.2011


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CNTEE TRANSELECTRICA - TEL


sptmnale

01.10.2010 19.0000 4.4008.10.2010 18.2000 -4.2115.10.2010 17.9000 -1.6522.10.2010 18.0000 0.5629.10.2010 18.0000 0.0005.11.2010 18.2000 1.1111.12.2010 17.9000 -1.6519.11.2010 17.9000 0.0026.11.2010 18.2000 1.6803.12.2010 18.2000 0.0010.12.2010 18.2000 0.0017.12.2010 18.7000 2.7523.12.2010 19.5000 4.2830.12.2010 19.3500 -0.7707.01.2011 21.7800 12.56

14.01.2011 21.3900 -1.7921.01.2011 20.6000 -3.6928.01.2011 20.2000 -1.9404.02.2011 20.3800 0.89Rata medie 0.66

0.0000

5.0000

10.0000

15.0000

20.0000

25.0000

Evoluia aciunilor TEL n perioada analizat 01.10.2010-04.02.2011


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OLTCHIM SA RM. VLCEA - OLT


sptmnale

01.10.2010 0.2070 10.1108.10.2010 0.2300 11.1115.10.2010 0.2110 -8.2622.10.2010 0.2130 0.9529.10.2010 0.2270 6.5705.11.2010 0.2300 1.3212.11.2010 0.2110 -8.2619.11.2010 0.2080 -1.4226.11.2010 0.2020 -2.8803.12.2010 0.2110 4.4610.12.2010 0.2060 -2.3717.12.2010 0.1980 -3.8823.12.2010 0.1999 0.96

30.12.2010 0.2030 1.5507.01.2011 0.2090 2.9614.01.2011 0.2070 -0.9621.01.2011 0.2170 4.8328.01.2011 0.2035 -6.2204.02.2011 0.2060 1.23Rata medie 0.62

0.1800

0.1900

0.2000

0.2100

0.2200

0.2300

0.2400

Evoluia aciunilor OLT n perioada analizat 01.10.2010-04.02.2011


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OMV-PETROM SNP


sptmnale

01.10.2010 0.3350 1.5208.10.2010 0.3390 1.1915.10.2010 0.3390 0.0022.10.2010 0.3370 -0.5929.10.2010 0.3330 -1.1905.11.2010 0.3400 2.1012.11.2010 0.3330 -2.0619.11.2010 0.3310 -0.6026.11.2010 0.3220 -2.7203.12.2010 0.3330 3.4210.12.2010 0.3300 -0.9017.12.2010 0.3300 0.00

23.12.2010 0.3350 1.5230.12.2010 0.3350 0.0007.01.2011 0.3500 4.4814.01.2011 0.3640 4.0021.01.2011 0.3670 0.8228.01.2011 0.3648 -0.6004.02.2011 0.3710 1.70Rata medie 0.64

0.2900

0.3000

0.3100

0.3200

0.3300

0.3400

0.3500

0.3600

0.3700

0.3800

Evoluia aciunilor SNP n perioada analizat 01.10.2010-04.02.2011


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Societatea Rata de rentabilitate (Ri)Ponderea iniial n portofoliu

(% dup valoare)

ANTIBIOTICE SA 14.02 12.50%AZOMURE SA 0.00 12.50%BANCA TRANSILVANIA SA -1.43 12.50%BIOFARM SA 3.26 12.50%

BRD-GROUPE SOCIETE GENERALESA 1.67 12.50%C.N.T.E.E TRANSELECTRICA 4.40 12.50%OLTCHIM SA RM. VLCEA 10.11 12.50%OMV-PETROM 1.52 12.50%

Rentabilitatea medie a portofoliului 4.19 100.00%


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Data Valoarea indiceluiRata de

rentabilitate(RM)

RM - E(RM) [RM - E(RM)]2

01.10.2010 3101.76 2.54 2.06 4.2408.10.2010 3082.63 -0.62 -1.10 1.2015.10.2010 3113.31 1.00 0.52 0.27

22.10.2010 3089.96 -0.75 -1.23 1.5129.10.2010 3098.65 0.28 -0.20 0.0405.11.2010 3100.55 0.06 -0.42 0.1812.11.2010 3024.16 -2.46 -2.94 8.6719.11.2010 3027.12 0.10 -0.38 0.1526.11.2010 2968.47 -1.94 -2.42 5.8403.12.2010 3044.20 2.55 2.07 4.2910.12.2010 3060.07 0.52 0.04 0.0017.12.2010 3048.68 -0.37 -0.85 0.7323.12.2010 3075.81 0.89 0.41 0.1730.12.2010 3111.17 1.15 0.67 0.4507.01.2011 3272.99 5.20 4.72 22.29

14.01.2011 3380.33 3.28 2.80 7.8421.01.2011 3359.58 -0.61 -1.09 1.2028.01.2011 3336.46 -0.69 -1.17 1.3604.02.2011 3303.52 -0.99 -1.47 2.15

0.48 62.57

Rentabilitatea medie (sperata) este de Rm = 0.48Dispersia pietei bursiere este 62,57/19-1 = 3,48%Abaterea mediei patratice al pietei este 1,87%

Rata de rentabilitate medie E(RM)


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ANTIBIOTICE SA - ATB

DataRata de

rentabilitate(Ri)

Ri-E(Ri) [Ri-E(Ri)]2 [Ri-E(Ri)] *

[RM-E(RM)]

01.10.2010 14.02 13.51 182.53 27.8308.10.2010 -3.28 -3.79 14.36 4.1615.10.2010 -0.85 -1.36 1.85 -0.7022.10.2010 1.71 1.20 1.44 -1.4829.10.2010 0.00 -0.51 0.26 0.1005.11.2010 -2.52 -3.03 9.18 1.2711.11.2010 -0.86 -1.37 1.88 4.0319.11.2010 1.74 1.23 1.51 -0.4726.11.2010 -4.27 -4.78 22.84 11.5503.12.2010 2.68 2.17 4.71 4.5010.12.2010 3.48 2.97 8.82 0.1217.12.2010 4.20 3.69 13.62 -3.1523.12.2010 -0.97 -1.48 2.19 -0.6130.12.2010 0.98 0.47 0.22 0.32

07.01.2011 0.16 -0.35 0.12 -1.6514.01.2011 -3.38 -3.89 15.13 -10.8921.01.2011 -4.17 -4.68 21.90 5.1228.01.2011 -4.35 -4.35 18.92 -5.9404.02.2011 5.36 5.36 28.73 11.54

0.51 350.22 45.66

Calculul parametrilor distributiei de rentabilitate ATBRentabilitatea medie (sperata) este de Ri = 0.51%

Dispersia este 350,22/19-1=19,45%Abaterea mediei patratice este 4,41%

Calculul parametrilor indicelui general al pieei bursiere

Rentabilitatea medie (sperata) este de Rm = 0.48Dispersia pietei bursiere este 62,57/19-1=3,48%Abaterea mediei patratice al pietei este 1,87%

Calculul coeficientului Beta45,66/19-1 = 2,54Beta ATB = 2,54/3,48= 0.7289

Coeficientul Beta = 0.7289 atesta putina volatilitate a titlului ATB in raport cu modificrile rentabilitii

generale a pieei.

Coeficientul de corelatie este 2,54/4,41*1,87 = 2,54/8,2467 = 0.3080, care semnifica o dependentadirect proporional ntre rentabilitatea titlului ATB i rentabilitatea pieei bursiere.


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BIOFARM SA - BIO

DataRata de

rentabilitate(Ri)


[RM-E(RM)]01.10.2010 3.26 2.33 5.44 4.8008.10.2010 -1.05 -1.98 3.91 2.1715.10.2010 2.13 1.20 1.44 0.6222.10.2010 -1.04 -1.97 3.87 2.4229.10.2010 1.58 0.65 0.42 -0.1305.11.2010 -1.04 -1.97 3.87 0.8212.11.2010 -2.62 -3.55 12.59 10.4519.11.2010 1.61 0.68 0.46 -0.2626.11.2010 -0.53 -1.46 2.13 3.5303.12.2010 4.26 3.33 11.10 6.9010.12.2010 3.57 2.64 6.98 0.11

17.12.2010 0.49 -0.44 0.19 0.3723.12.2010 -1.47 -2.40 5.75 -0.9830.12.2010 1.99 1.06 1.13 0.7107.01.2011 7.80 6.87 47.22 32.4414.01.2011 -1.72 -2.65 7.01 -7.4121.01.2011 -1.47 -2.40 5.75 2.6228.01.2011 2.57 1.64 2.69 -1.9204.02.2011 -0.68 -1.61 2.59 2.36

0.93 119.29 59.18Ri = 0.93%Dispersia = 119,29/19-1 = 6,63%Abaterea mediei patratice 2,57%

Calculul coeficientului Beta 59,18/19-1 = 3,29Beta BIO = 3,29/3,48 = 0.9454 atesta putina volatilitate a titlului BIO in raport cu modificarile rentabilitatiigenerale a pietei.

Coeficientul de corelatie = 3,29/2,57*1,87 = 3,29/4,81 = 0,68 care semnifica o dependenta direct propor-tionala intre rentabilitatea titlului BIO si rentabilitatea pietei bursiere.68% din rentabilitatea ce nsoete aciunea BIO este determinat de dependena direct fa de pia

(volatilitatea ei), iar 32% din rentabilitate este determinat de caracteristicile proprii ale aciunii

(riscul su specific).

OLTCHIM SA RM. VLCEA - OLT

DataRata de

rentabilitate(Ri)


[RM-E(RM)]

01.10.2010 10.11 9.49 90.05 19.55

08.10.2010 11.11 10.49 110.03 -11.5015.10.2010 -8.26 -8.88 78.86 -4.58


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22.10.2010 0.95 0.33 0.11 -0.4129.10.2010 6.57 5.95 35.40 -1.1805.11.2010 1.32 0.70 0.49 -0.2912.11.2010 -8.26 -8.88 78.86 26.1419.11.2010 -1.42 -2.04 4.16 0.7826.11.2010 -2.88 -3.50 12.25 8.46

03.12.2010 4.46 3.84 14.74 7.9510.12.2010 -2.37 -2.99 8.94 -0.1217.12.2010 -3.89 -4.51 20.34 3.8423.12.2010 0.96 0.34 0.12 0.1430.12.2010 1.55 0.93 0.86 0.6207.01.2011 2.96 2.34 5.47 11.0514.01.2011 -0.96 -1.58 2.50 -4.4221.01.2011 4.83 4.21 17.72 -4.6028.01.2011 -6.22 -6.84 46.79 7.9904.02.2011 1.23 0.61 0.37 -0.89

0.62 480.92 51.42

Ri = 0,62%Dispersia = 480,92/19-1 = 26,72%Abatere medie patratice = 5,17%

Calculul coeficientului Beta = 51,42/19-1 = 2,86Beta OLT = 2,86/5,17 = 0,5532care atest o volatilitate ridicat a titlului OLT n raport cu

modificarile rentabilitatii generale a pietei.

Coeficientul de corelaie = 2,86/5,17*1,87 = 2,86/9,67 = 0.2958

CNTEE TRANSELECTRICA - TEL

DataRata de

rentabilitate(Ri)


[RM-E(RM)]

01.10.2010 4.40 3.74 13.99 1.6808.10.2010 -4.21 -4.87 23.71 -3.7715.10.2010 -1.65 -2.31 5.33 -2.8222.10.2010 0.56 -0.10 0.01 1.1329.10.2010 0.00 -0.66 0.43 -0.4605.11.2010 1.11 0.45 0.20 0.8711.12.2010 -1.65 -2.31 5.33 0.6319.11.2010 0.00 -0.66 0.43 -0.2826.11.2010 1.68 1.02 1.04 3.4403.12.2010 0.00 -0.66 0.43 -2.7310.12.2010 0.00 -0.66 0.43 -0.7017.12.2010 2.75 2.09 4.37 2.94


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23.12.2010 4.28 3.62 13.11 3.2130.12.2010 -0.77 -1.43 2.04 -2.1007.01.2011 12.56 11.90 141.62 7.1814.01.2011 -1.79 -2.45 6.00 -5.2521.01.2011 -3.69 -4.35 18.92 -3.2628.01.2011 -1.94 -2.60 6.76 -1.43

04.02.2011 0.89 0.23 0.05 1.700.66 237.43 -0.02

Ri = 0,66%Dispersia = 237,43/19-1 = 13,19%Abaterea medie patratice 3,63%

Calculul coeficientului Beta -0,02/19-1 = 0Beta TEL = 0 atesta ca rentabilitatea titlurilor TEL este total independenta cu modificarile rentabilitatiigenerale a pietei.

Coeficientul de corelatie 0, semnifica independenta. Pentru titlul TEL singurul risc care se manifest

este riscul specific, riscul de pia fiind nul.


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AZOMURES SA - AZO

DataRata de

rentabilitate(Ri)


[RM-E(RM)]

01.10.2010 0.00 0.18 0.03 0.3708.10.2010 0.00 0.18 0.03 -0.2015.10.2010 -2.45 -2.27 5.16 -1.1722.10.2010 0.00 0.18 0.03 -0.2229.10.2010 0.42 0.60 0.36 -0.1205.11.2010 2.08 2.26 5.11 -0.9511.11.2010 -2.04 -1.86 3.46 5.4819.11.2010 3.96 4.14 17.14 -1.5826.11.2010 -2.81 -2.63 6.92 6.3603.12.2010 0.82 1.00 1.00 2.0710.12.2010 -0.82 -0.64 0.41 -0.0317.12.2010 -2.68 -2.50 6.25 2.1323.12.2010 1.69 1.87 3.49 0.7730.12.2010 0.00 0.18 0.03 0.12

07.01.2011 6.25 6.43 41.34 30.3614.01.2011 -1.37 -1.19 1.42 -3.3321.01.2011 -0.40 -0.22 0.05 0.2428.01.2011 -3.39 -3.21 10.31 3.7504.02.2011 -2.67 -2.49 6.20 3.65

-0.18 108.74 47.70

Ri = -0.18%Dispersia 108,74/19-1 = 6,04%Abaterea mediei patratice 2,46%

Calculul coeficientului Beta 47,7/19-1 = 2,65Beta AZO = 2,65/3,48 = 0,7615 atesta o volatilitate foarte mare a titlului AZO cu modificarile rentabi-litatii generale a pietei.

Coeficientul de corelatie = 2,65/2,46*1,87 = 2,65/4,60 = 0.5761, semnifica o dependenta directproportionala intre rentabilitatea titlului AZO si rentabilitatea pietei bursiere.58% din rentabilitatea ce nsoete aciunea AZO este determinat de dependena direct fa de

pia (volatilitatea ei), iar 42% din rentabilitate este determinat de caracteristicile proprii ale aciunii(riscul su specific).


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BRD-GROUPE SOCIETE GENERALE SA - BRD

DataRata de

rentabilitate(Ri)


[RM-E(RM)]01.10.2010 1.67 0.77 0.59 1.5908.10.2010 0.82 -0.08 0.01 0.0915.10.2010 0.00 -0.90 0.81 -0.4622.10.2010 -1.63 -2.53 6.40 3.1129.10.2010 2.48 1.58 2.50 -0.3105.11.2010 -0.81 -1.71 2.92 0.7212.11.2010 0.00 -0.90 0.81 2.6519.11.2010 -3.25 -4.15 17.22 1.5926.11.2010 -1.68 -2.58 6.65 6.2403.12.2010 3.42 2.52 6.35 5.2210.12.2010 0.83 -0.07 0.00 0.00

17.12.2010 -0.82 -1.72 2.96 1.4723.12.2010 1.57 0.67 0.45 0.2730.12.2010 0.49 -0.41 0.17 -0.2707.01.2011 7.61 6.71 45.03 31.6814.01.2011 6.85 5.95 35.41 16.6621.01.2011 -1.41 -2.31 5.33 2.5328.01.2011 3.57 2.67 7.13 -3.1204.02.2011 -2.62 -3.52 12.39 5.16

0.90 133.61 72.74

Ri = 0,90%

Dispersia = 133,61/19-1 = 7,42%Abaterea mediei patratice 2,72%

Calculul coeficientului Beta 72,74/19-1 = 4,04Beta BRD =4,04 /3,48 = 1,16 care atesta putina volatilitate a titlului BRD in raport cumodificarile rentabilitatii generale a pietei.

Coeficientul de corelatie = 4,04/2,72*1,87 = 4,04/5,09=0,7937 care semnifica o dependentadirect proportionala intre rentabilitatea titlului BRD si rentabilitatea pietei bursiere.79% din rentabilitatea ce nsoete aciunea BRD este determinat de dependena direct fa de

pia (volatilitatea ei), iar 21% din rentabilitate este determinat de caracteristicile proprii ale aciunii

(riscul su specific).

OMV-PETROM SNP

DataRata de

rentabilitate(Ri)


[RM-E(RM)]

01.10.2010 1.52 0.88 0.78 1.82


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08.10.2010 1.19 0.55 0.31 -0.6115.10.2010 0.00 -0.64 0.40 -0.3322.10.2010 -0.59 -1.23 1.50 1.5129.10.2010 -1.19 -1.83 3.34 0.3605.11.2010 2.10 1.46 2.14 -0.6112.11.2010 -2.06 -2.70 7.27 7.94

19.11.2010 -0.60 -1.24 1.53 0.4726.11.2010 -2.72 -3.36 11.26 8.1103.12.2010 3.42 2.78 7.75 5.7710.12.2010 -0.90 -1.54 2.36 -0.0617.12.2010 0.00 -0.64 0.40 0.5423.12.2010 1.52 0.88 0.78 0.3630.12.2010 0.00 -0.64 0.40 -0.4307.01.2011 4.48 3.84 14.77 18.1514.01.2011 4.00 3.36 11.31 9.4221.01.2011 0.82 0.18 0.03 -0.2028.01.2011 -0.60 -1.24 1.53 1.4404.02.2011 1.70 1.06 1.13 -1.56

0.64 66.36 52.21

Ri = 0.64%Dispersia = 66,36/19-1 = 3,69Abatere medie patratica = 1,92%

Calcululcoeficientului Beta = 52,21/19-1 = 2,90Beta SNP = 2,90/1,92 = 1,51care atest o volatilitate ridicat a titlului SNP n raport cu

modificarile rentabilitatii generale a pietei.

Coeficientul de corelatie = 2,90/1,92*1,87 = 2,90/3,59 = 0.81


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BANCA TRANSILVANIA SA -TLV

DataRata de

rentabilitate(Ri)


[RM-E(RM)]

01.10.2010 -1.43 -1.48 2.20 -3.0608.10.2010 -5.80 -5.85 34.27 6.4215.10.2010 4.62 4.57 20.85 2.3522.10.2010 -1.47 -1.52 2.32 1.8729.10.2010 2.24 2.19 4.78 -0.4305.11.2010 -3.65 -3.70 13.72 1.5511.11.2010 -1.52 -1.57 2.48 4.6319.11.2010 0.00 -0.05 0.00 0.0226.11.2010 -5.38 -5.43 29.52 13.1403.12.2010 3.25 3.20 10.22 6.6210.12.2010 0.00 -0.05 0.00 0.0017.12.2010 -3.15 -3.20 10.26 2.7323.12.2010 -3.09 -3.14 9.88 -1.2930.12.2010 3.02 2.97 8.80 1.99

07.01.2011 9.53 9.48 89.80 44.7414.01.2011 5.65 5.60 31.32 15.6721.01.2011 1.69 1.64 2.68 -1.7928.01.2011 -1.80 -1.85 3.44 2.1704.02.2011 -1.69 -1.74 3.04 2.56

0.05 279.58 99.88

Ri = 0,05%Dispersia 279,58/19-1 = 15,53%Abaterea mediei patratice 3,94%

Calculul coeficientului Beta 99,88/19-1 = 5,55Beta TLV = 5,55/3,48=1,59 atesta ca rentabilitatea titlurilor TLV este total independenta cu modificarile regenerale a pietei.

Coeficientul de corelatie =5,55/3,94*1,87=5,55/7,37=07531, semnifica independenta. Pentru titlul TLV sin

este riscul specific, riscul de pia fiind nul.


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tabilitatii

urul risc care se manifest


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SocietateRisc

(Dispersie)

Rentabilitate

(Ri)Risc/Rentabilitate

ANTIBIOTICE SA 19.45 0.51 38.14AZOMURE SA 6.04 -0.18 -33.56BANCA TRANSILVANIA SA 15.53 0.05 310.60

BIOFARM SA 6.63 0.93 7.13

BRD-GROUPE SOCIETE GENERALE SA 7.42 0.90 8.24

C.N.T.E.E TRANSELECTRICA 13.19 0.66 19.98OLTCHIM SA RM. VLCEA 26.72 0.62 43.10OMV-PETROM 3.69 0.64 5.77

Valoarea portofoliului de 20000 lei se mparte ntre BIOFARM SA cu o valoare de

2000 leI i BANCA TRANSILVANIA SA cu o valoare de 8000 lei.

14260.0713

0.1860.04

0.226

5.987222222

0.2652

9.9392

1.916812.1212

10.1258

0.591558198

9.54


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11.98

22.16

10.18

0.937131631

0.8742 6.23220.003 0.9318

0.8772 0.6756727.839672


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Data RBIO RBIO - EBIO (RBIO - EBIO)2 RTLV RTLV - ETLV (RTLV - ETLV)

2

01.10.2010 3.26 2.33 5.44 -1.43 -1.48 2.2008.10.2010 -1.05 -1.98 3.91 -5.80 -5.85 34.2715.10.2010 2.13 1.20 1.44 4.62 4.57 20.85

22.10.2010 -1.04 -1.97 3.87 -1.47 -1.52 2.3229.10.2010 1.58 0.65 0.42 2.24 2.19 4.78

05.11.2010 -1.04 -1.97 3.87 -3.65 -3.70 13.7212.11.2010 -2.62 -3.55 12.59 -1.52 -1.57 2.4819.11.2010 1.61 0.68 0.46 0.00 -0.05 0.00

26.11.2010 -0.53 -1.46 2.13 -5.38 -5.43 29.5203.12.2010 4.26 3.33 11.10 3.25 3.20 10.2210.12.2010 3.57 2.64 6.98 0.00 -0.05 0.0017.12.2010 0.49 -0.44 0.19 -3.15 -3.20 10.2623.12.2010 -1.47 -2.40 5.75 -3.09 -3.14 9.8830.12.2010 1.99 1.06 1.13 3.02 2.97 8.8007.01.2011 7.8 6.87 47.22 9.53 9.48 89.80

14.01.2011 -1.72 -2.65 7.01 5.65 5.60 31.3221.01.2011 -1.47 -2.40 5.75 1.69 1.64 2.6828.01.2011 2.57 1.64 2.69 -1.80 -1.85 3.4404.02.2011 -0.68 -1.61 2.59 -1.69 -1.74 3.04

0.93 119.29 0.05 273.10

Sperana de rentabilitate i riscul aferent PVMA

Ep = x(BIO) * EBIO + y(TLV) * ETLV

Ep = 0.2 * 0,93 + 0.8 * 0.05 = 0.186+0,04=0,226

Coeficientul de corelaie dintre titluri

Covariaia ntre rentabilitile anticipate pentru titlurile BIO i TLV.

ij = 107,77/19-1 = 5,99

2BIO = 119,29/18=6,63 = 2,57

2

TLV = 279,58/19-1 = 15,53 = 3,94

2p = x

2

2i + y

2

2j + 2xy ij

2p = 0.2

2* 6,63 + 0.8

2* 15,53 + 2*0.2*0.8*5,99 = 0,27+9,94+1,92=12,12

ij = ij / (i * j)

ij = 5,99/(2,57*3,94)=5,99/10,13=0,59 care semnific corelaie pozitiv de slab intensitate.


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Ponderea optim x* a titlului TEL n PVMA

x* = (2j - ij) / (

2i +

2j - 2 ij)

x* = (15,53-5,99)/(6,63+15,53-2*5,99)=9,54/10,18=0,94

1-x* = 0.06

Rp(x*) = 0.94*0,93 + 0.06*0.05 = 0.88

2p(x*) = 0.94*6,63 + 0.06*15,53 + 2*0.94*0.06*5,99 = 7,84


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(RBIO - EBIO)*

(RTEL - ETEL)

-3.4611.585.49

3.001.42

7.295.58

-0.04

7.9210.65-0.141.407.543.15

65.12

-14.82-3.92-3.042.80

107.77

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