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Cuprins

1.Analiza statistic elementar...................................................................................................................... 2


2.Modelul Sharpe .......................................................................................................................................... 3

2.1.Actiunea Hewlett-Packard Company (HPQ) ............................................................................ 4


2.2.Actiunea Intel Corporation (INTC) .......................................................................................... 8
2.3.Actiunea Microsoft (MSFT) ................................................................................................... 11
2.4.Actiunea AT&T Inc. (ATT) .................................................................................................... 14
3.Modelul CAPM........................................................................................................................................ 17

3.1. Actiunea Hewlett-Packard Company (HPQ) ......................................................................... 18


3.2. Actiunea Intel Corporation (INTC) ....................................................................................... 21
3.3.Actiunea Microsoft (MSFT) ................................................................................................... 24
3.4.Actiunea AT&T Inc (ATT) ..................................................................................................... 28
4 Concluzii.....32

1. Analiza statistic elementar


Esantionul considerat contine 757 de randamente zilnice ale actiunilor Hewlett-Packard
Company (HPQ), Intel Corporation (INTC), Microsoft (MSFT), AT&T Inc. (ATT) , inregistrate
de la data de 21.10.2008 pana la 20.10.2011. Toate cele 4 actiuni actiuni selectate intra in
componenta indicelui DIJA si de asemenea cele patru companii actioneaza pe o piata comuna,
cea a produselor IT, electronice.
Ca proxy al pietei New York-eze am ales indicele Dow Jones, unul dintre cei mai cunoscuti
indici bursieri din lume. Indicele, calculat pentru prima oara pe 26 mai 1896, urmareste evolutia
celor mai importante 30 de blue chip-uri (companii stabile, de dimensiuni mari, si profitabile) din
Statele Unite. Rentabilitatea activului fara risc a fost considerat randamentul Treasury Bonds cu
maturitatea la un an.
Randamentul titlurilor a fost obtinut folosind urmatoarea formula:

unde Pt

reprezinta pretul activului financiar la momentul de timp t, iar Rt reprezinta randamentul


activului financiar la momentul t.
Preturile de inchidere ale actiunilor au fost ajustate in functie de dividende.
Nivelul de semnificatie folosit este de 5%.
n tabelele 1 i 2 sunt prezentai principalii indicatori statistici pentru seriile cursurilor
aciunilor i pentru seriile randamentelor acestora precum i matricea de corelaie dintre cursurile
acestora.
Indicator

HPQ

INTC

MSFT

ATT

Media

Rata fara
risc
40.24597625 18.51498681 24.22282322 24.75377309 10286.57393

Abaterea standard

7.404884605 3.152043675 3.652902315 2.955833542 1459.135644

Minim

22.2

11.15

14.33

18.36

6547.05

Maxim

53.64

24.24

30.32

30.95

12810.54

Tabelul 1
Indicator

Randament
HPQ

Randament
INTC

Randament Randament
MSFT
ATT

Media

-0.00034835

0.000878956 0.00042129

Randament
Rata
fara
risc
0.000469558 0.000409606

Abaterea
standard
Minim

0.02358963

0.021851121 0.02058475

0.016418989 0.015471517

-0.20034072

-0.08961142

-0.07602612

Maxim

0.14481066

0.113090627 0.12264724

-0.1175178

Tabelul 2
2

-0.077012903

0.131889764 0.108778745

Matricea de corelatie
HPQ

INTC

MSFT

ATT

1 0.36923303 0.62552142 0.115369923

HPQ
INTC

0.36923303

1 0.85287938 0.725315839

MSFT

0.62552142 0.85287938

ATT

-0.1153699 0.72531584 0.48878996

1 0.488789963
1

n anexe sunt reprezentate grafic evoluiile cursurilor celor patru aciuni precum i evoluia
rentabilitilor acestora
Tot n anexe se regsete i captura principalului ecran din eviews cu toate datele necesare i tabelul
coninnd cursuri i rentabiliti.

2.Modelul Sharpe
Continuatorul ideilor economice ale lui Markowitz, W. Sharpe a introdus n calculul
rentabilitii unui titlu noiunea de volatilitate care prezint legtura existent ntre evoluia
rentabilitii unui titlu i evoluia rentabilitii unui factor macroeconomic considerat de obicei
renabilitatea medie a pieei.
In acest proiect am analizat dependenta care exista intre randamentul unui titlu si
randamentul pietei. Ecuatia de regresie a modelului este urmatoarea:
unde Ri este randamentul titlului, Rp randamentul pietei iar
eroarea.
Cele 4 ecuaii ale modelelor Sharpe sunt
R_HPQ = - 0.0007813734863 + 1.057170108*R_DJI
prob (0.2068)
(0.000)
SE

(0.000618)

(0.039986)

R_INTC = 0.0004352521574 + 1.083247061*R_DJI


prob (0.3938)
(0.000)
SE

(0.000510)

(0.032982)

R_MSFT = 0.000006065810622 + 1.013721889*R_DJI


prob

(0.99)

(0.000)

SE

(0.000485)

(0.031362)

R_ATT = 0.0001309952529 + 0.8265586144*R_DJI


prob (0.7267)
(0.000)
SE

(0.000375)

(0.024224)

Analiza bonitii modelelor


2.1.Actiunea Hewlett-Packard Company (HPQ)
Dependent Variable: R_HPQ
Method: Least Squares
Date: 11/28/11 Time: 10:11
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI

-0.000781
1.057170

0.000618
0.039986

-1.263440
26.43864

0.2068
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.480743
0.480056
0.017010
0.218447
2010.856
1.997356

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

-0.000348
0.023590
-5.307414
-5.295183
699.0018
0.000000

.15

Ecuaia de regresie a modelului Sharp este

.10

R_HPQ = - 0.0007813734863 + 1.057170108*R_DJI

.05

La modificarea rentabilitii pieei cu 1 punct


procentual rentabilitatea aciunii HPQ se modific
n acelai sens cu 1.057170108.

R_HPQ

.00
-.05
-.10
-.15
-.20
-.25
-.08

Validarea modelului

Coeficientul de determinatie R2 are o valoare de


48%. Acest lucru semnifica faptul ca 48% din
R_DJI
evolutia variabilei dependente este influentata de
variabila explicativa. Deoarace aceasta valoare nu
este foarte mare, inseamna ca o mare parte din variatia randamentului actiunii este determinata
de factori neinclusi in model, specifici firmei.
-.04

.00

.04

.08

.12

Decizia se ia pe baza lui p-value.


Pentru termenul liber Avand un p-value de 20.68%, suntem in zona de indecizie deci nu
putem respinge ipoteza nula.
Pentru coeficientul randamentului pieei P-value este aproape nula (0.0000) deci mai mic dect
5 % Deoarece valoarea statisticii p-value este foarte mica, eroarea pe care o facem respingand
ipoteza nula este si ea foarte mica. Deci se respinge ipoteza nul i rezult c 0, deci este
semnificativ statistic

Testul t
Validarea se poate face i cu ajutorul testului t
Testul t pentru termenul liber are urmatoarele ipoteze:

T statistic calculat este -1.26 fiind in intervalul (t critic( -1.963); t critic(1.963)), si deci
nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic.
Testul t pentru coeficientul randamentului pietei are urmatoarele ipoteze:

T statistic calculat este 24.43 fiind in afara intervalului(t critic( -1.963); t critic(1.963)),
si astfel respingem ipoteza nula (t calc > t critic )
T critic a fost obtinut apeland functia Excel TINV(0.05; 757). In acest caz, testul t este
bilateral.
n aceast analiz testul Fisher nu ofer nicio informaie n plus pentru c cele patru
regresii sunt simple.

Teste bazate pe reziduuri


Testul Durbin Watson

unde

.15

Analizand graficul, autocorelare nu este evidenta. Astfel vom


trece la estimarea lui din model.

.10

RESIDHPQ

.05
.00

-.05
-.10
-.15
-.20
-.20 -.15 -.10 -.05 .00

.05

.10

.15

RESIDHPQ(-1)

Dependent Variable: RESIDHPQ


Method: Least Squares
Date: 11/21/11 Time: 10:02

Sample(adjusted): 2 757
Included observations: 756 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESIDHPQ(-1)

-0.003940

0.036227

-0.108754

0.9134

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.000003
0.000003
0.016926
0.216296
2011.441

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

6.13E-05
0.016926
-5.318627
-5.312506
2.003343

P value este foarte mare 0,9134. Astfel, vom accepta ipoteza nula, si vom concluziona ca
nu exista autocorelare.
Valoarea coeficientului
este -0.0039 foarte apropiat de zero iar statistica DurbinWatson are valoarea 2.000071 . Fiind foarte apropiat de 2 concluzionm ca autocorelarea nu
este prezenta.

Testul White

Var(ei)= 2, 2-constant
{
Pentru a aplica testul White se construieste o regresie auxiliara:

White Heteroskedasticity Test:


F-statistic
Obs*R-squared

0.593071
1.188991

Probability
Probability

0.552885
0.551841

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/21/11 Time: 10:47
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI
R_DJI^2

0.000271
-0.002198
0.076757

5.85E-05
0.003586
0.080846

4.633815
-0.612914
0.949424

0.0000
0.5401
0.3427

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.001571
-0.001078
0.001520
0.001742
3839.620
1.955124

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000289
0.001519
-10.13638
-10.11803
0.593071
0.552885

Testul F pentru acest model de regresie are ipotezele:


{
Probabilitatea atasata lui F statistic este destul de mare 0.552885, dar nu peste 0,8. Eroarea
pe care o facem prin respingerea ipotezei nule este destul de mare. Ne situam intr-o zona de
indecizie. Putem folosi statistica LM
Pentru k grade de libertate i un nivel de ncredere n rezultate de 95% se determin
valoarea
. Dac
atunci se respinge H0, deci modelul este heteroscedastic, iar dac
atunci se accept H0, deci modelul este homoscedastic.
Se observ c LM = 1,1889 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se accept H0, deci modelul
este homoscedastic.

Testul de normalitate Jarque-Bera


Ipotezele testului sunt :
300
Series: Residuals
Sample 1 757
Observations 757

250
200

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

150
100
50

Jarque-Bera
Probability

0
-0.15

-0.10

-0.05

0.00

0.05

-1.28E-18
0.000562
0.126276
-0.182925
0.016999
-1.509530
28.67525
21080.34
0.000000

0.10

{
P value este foarte mic, aproape nula iar statistica JB foarte mare Deci putem respinge ipoteza
nula, concluzionand ca erorile nu sunt normal repartizate. Distributia este leptocurtica deoarece
Kurtosis >3, i prezint o asimetrie stnga deoarece Skewness este negativ.
Astfel modelul necesit corecie.

2.2. Actiunea Intel Corporation (INTC)


Dependent Variable: R_INTC
Method: Least Squares
Date: 11/28/11 Time: 10:12
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI

0.000435
1.083247

0.000510
0.032982

0.853231
32.84366

0.3938
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.588266
0.587720
0.014030
0.148623
2156.628
2.197110

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000879
0.021851
-5.692543
-5.680313
1078.706
0.000000

.12
.08

R_INTC

.04
.00
-.04
-.08
-.12
-.08

-.04

.00

.04

.08

.12

R_DJI

Ecuaia de regresie a modelului Sharp este


R_INTC = 0.0004352521574 + 1.083247061*R_DJI

La modificarea rentabilitii pieei cu o unitate rentabilitatea aciunii INTC se modific n acelai


sens cu 1.083247061 uniti.

Validarea modelului

Coeficientul de determinatie R2 are o valoare de 58.8%. Acest lucru semnifica faptul ca


58.8% din evolutia variabilei dependente este influentata de variabila explicativa. Deoarace
aceasta valoare nu este foarte mare, inseamna ca o mare parte din variatia randamentului actiunii
este determinata de factori neinclusi in model, specifici firmei.
Decizia se ia pe baza lui p-value.
Pentru termenul liber Avand un p-value de 39.38%, suntem in zona de indecizie deci nu
putem respinge ipoteza nula.
Pentru coeficientul randamentului pieei P-value este aproape nula (0.0000) deci mai mic dect
5 % Deoarece valoarea statisticii p-value este foarte mica, eroarea pe care o facem respingand
ipoteza nula este si ea foarte mica. Deci se respinge ipoteza nul i rezult c 0, deci este
semnificativ statistic
8

Testul t
Pentru termenul liber
T statistic calculat este 0.853231 fiind in intervalul (t critic( -1.963); t critic(1.963)), si deci nu
putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic.
Pentru coeficientul randamentului pieei
T statistic calculat este 32.84 fiind in afara intervalului(t critic( -1.963); t critic(1.963)),
si astfel respingem ipoteza nula (t calc > t critic ).

Teste bazate pe reziduuri


Testul Durbin Watson
.08

Analizand graficul, autocorelare nu este evidenta. Astfel


vom trece la estimarea lui din model.

.06

RESIDINTC

.04
.02
.00
-.02
-.04
-.06
-.08

-.04

.00

.04

.08

RESIDINTC(-1)

Dependent Variable: RESIDINTC


Method: Least Squares
Date: 11/21/11 Time: 10:17
Sample(adjusted): 2 757
Included observations: 756 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESIDINTC(-1)

-0.104061

0.036238

-2.871563

0.0042

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

Valoarea coeficientului

0.010799
0.010799
0.013928
0.146469
2158.799

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

3.12E-05
0.014004
-5.708462
-5.702340
1.987591

este -0.104 iar statistica Durbin-Watson are valoarea 2.208 .

Din tabelele statisticii obinem dl = 1.65 si du = 1.69 deci DW este intre du si 4 - du concluzionm
ca autocorelarea nu este prezenta.

Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

3.594310
7.149063

Probability
Probability

0.027952
0.028029

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:34
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI
R_DJI^2

0.000183
-0.000652
0.055635

1.53E-05
0.000935
0.021080

12.01484
-0.696763
2.639179

0.0000
0.4862
0.0085

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.009444
0.006816
0.000396
0.000118
4857.187
1.814877

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000196
0.000398
-12.82480
-12.80646
3.594310
0.027952

Probabilitatea atasata lui F statistic este mic 0.027952. Eroarea pe care o facem prin
respingerea ipotezei nule este mic deci putem respinge ipoteza nul. Putem folosi statistica LM
Se observ c LM = 7.149 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se respinge H0, deci modelul
este heteroscedastic. Modelul necesit corecie.
Testul de normalitate Jarque-Bera
160
Series: Residuals
Sample 1 757
Observations 757

140
120

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

100
80
60
40
20

-1.04E-18
-5.99E-05
0.065062
-0.052296
0.014021
0.432125
5.097157

Jarque-Bera
Probability

0
-0.050

-0.025

0.000

0.025

0.050

162.2817
0.000000

P value este foarte mic, aproape


nula iar statistica JB foarte mare
Deci putem respinge ipoteza nula,
concluzionand ca erorile nu sunt
normal repartizate. Distributia este
leptocurtica deoarece Kurtosis >3,
i prezint o asimetrie dreapta
deoarece Skewness este pozitiv.
Astfel modelul necesit corecie.

10

2.3. Actiunea Microsoft (MSFT)


Dependent Variable: R_MSFT
Method: Least Squares
Date: 11/28/11 Time: 10:12
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI

6.07E-06
1.013722

0.000485
0.031362

0.012505
32.32368

0.9900
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.580514
0.579958
0.013341
0.134379
2194.762
1.979686

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000421
0.020585
-5.793295
-5.781064
1044.820
0.000000

.15

Ecuaia de regresie a modelului Sharp este

.10

R_MSFT = 0.000006065810622 + 1.013721889*R_DJI


R_MSFT

.05

La modificarea rentabilitii pieei cu o unitate


rentabilitatea aciunii MSFT se modific n acelai sens
cu 1.0137 uniti.

.00
-.05
-.10

Validarea modelului

Coeficientul de determinatie R2 are o valoare de


58%. Acest lucru semnifica faptul ca 58% din evolutia
R_DJI
variabilei dependente este influentata de variabila
explicativa. Deoarace aceasta valoare nu este foarte
mare, inseamna ca o mare parte din variatia randamentului actiunii este determinata de factori
neinclusi in model, specifici firmei.
-.15
-.08

-.04

.00

.04

.08

.12

Decizia se ia pe baza lui p-value.


Pentru termenul liber Avand un p-value de 99%,. Acceptm ipoteza nul i anume c =
0, deci c nu este semnificativ statistic
Pentru coeficientul randamentului pieei P-value este aproape nula (0.0000) deci mai
mic dect 5 % Deoarece valoarea statisticii p-value este foarte mica, eroarea pe care o facem
respingand ipoteza nula este si ea foarte mica. Deci se respinge ipoteza nul i rezult c 0,
deci este semnificativ statistic.

11

Testul t
Testul t pentru termenul liber
T statistic calculat este 0.0125 fiind in intervalul (t critic( -1.963); t critic(1.963)), si deci
nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic
Testul t pentru coeficientul randamentului pietei
T statistic calculat este 32.32 fiind in afara intervalului(t critic( -1.963); t critic(1.963)),
si astfel respingem ipoteza nula (t calc > t critic )

Teste bazate pe reziduuri


Testul Durbin Watson
.12

Analizand graficul, autocorelare nu este evidenta. Astfel


vom trece la estimarea lui din model.

RESIDMSFT

.08
.04
.00
-.04
-.08
-.12
-.15

-.10

-.05

.00

.05

.10

RESIDMSFT(-1)

Dependent Variable: RESIDMSFT


Method: Least Squares
Date: 11/21/11 Time: 10:18
Sample(adjusted): 2 757
Included observations: 756 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESIDMSFT(-1)

0.006430

0.036269

0.177292

0.8593

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.000032
0.000032
0.013293
0.133415
2194.085

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

4.10E-05
0.013293
-5.801813
-5.795691
2.005032

P value este foarte mare 0,8593. Acceptm ipoteza nul i anume c = 0, deci c nu
este semnificativ statistic

12

Valoarea coeficientului
este 0.00643 foarte apropiat de zero iar statistica DurbinWatson are valoarea 2.0128 . Fiind foarte apropiat de 2 concluzionm ca autocorelarea nu este
prezenta.
Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

2.283103
4.556779

Probability
Probability

0.102672
0.102449

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:37
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI
R_DJI^2

0.000163
0.001750
0.056822

2.44E-05
0.001498
0.033771

6.678057
1.168389
1.682582

0.0000
0.2430
0.0929

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.006020
0.003383
0.000635
0.000304
4500.447
1.911293

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000178
0.000636
-11.88229
-11.86395
2.283103
0.102672

Probabilitatea atasata lui F statistic este 0.102. Ne situam intr-o zona de indecizie. Putem
folosi statistica LM
Se observ c LM = 4.55 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se accept H0, deci modelul este
homoscedastic.
Testul de normalitate Jarque-Bera
200
Series: Residuals
Sample 1 757
Observations 757

160

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

120

80

-3.69E-19
-0.000237
0.089832
-0.104551
0.013332
-0.276975
13.81806

40
Jarque-Bera
Probability

0
-0.10

-0.05

0.00

0.05

3701.013
0.000000

P value este foarte mic, aproape


nula iar statistica JB foarte mare
Deci putem respinge ipoteza
nula, concluzionand ca erorile nu
sunt
normal
repartizate.
Distributia este leptocurtica
deoarece Kurtosis >3, i prezint
o asimetrie stnga deoarece
Skewness este negativ.
Astfel modelul necesit corecie.

13

2.4. Actiunea AT&T Inc (ATT)


Dependent Variable: R_ATT
Method: Least Squares
Date: 11/28/11 Time: 10:13
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI

0.000131
0.826559

0.000375
0.024224

0.349634
34.12167

0.7267
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.606625
0.606104
0.010305
0.080172
2390.254
1.939812

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000470
0.016419
-6.309786
-6.297555
1164.288
0.000000

.16

Ecuaia de regresie a modelului Sharp este

.12

R_ATT = 0.0001309952529 + 0.8265586144*R_DJI


R_ATT

.08

La modificarea rentabilitii pieei cu o unitate


rentabilitatea aciunii ATT se modific n acelai sens cu
0.8265 uniti.

.04
.00
-.04
-.08
-.08

-.04

.00

.04

.08

.12

Validarea modelului

Coeficientul de determinatie R2 are o valoare de


60.6%. Acest lucru semnifica faptul ca 60.6% din
evolutia variabilei dependente este influentata de variabila explicativa. Deoarace aceasta valoare
nu este foarte mare, inseamna ca o mare parte din variatia randamentului actiunii este
determinata de factori neinclusi in model, specifici firmei.
R_DJI

Decizia se ia pe baza lui p-value.


Pentru termenul liber Avand un p-value de 72.67%. Acceptm ipoteza nul i anume c = 0,
deci c nu este semnificativ statistic
Pentru coeficientul randamentului pieei P-value este aproape nula (0.0000) deci mai mic dect
5 % Deoarece valoarea statisticii p-value este foarte mica, eroarea pe care o facem respingand
ipoteza nula este si ea foarte mica. Deci se respinge ipoteza nul i rezult c 0, deci este
semnificativ statistic
Testul t
Testul t pentru termenul liber

14

T statistic calculat este 0.3496 fiind in intervalul (t critic( -1.963); t critic(1.963)), si deci
nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic
Testul t pentru coeficientul randamentului pietei
T statistic calculat este 34.12 fiind in afara intervalului(t critic( -1.963); t critic(1.963)),
si astfel respingem ipoteza nula (t calc > t critic )

Teste bazate pe reziduuri


.06
.04

RESIDATT

.02
.00
-.02
-.04
-.06
-.05

.00

.05

RESIDATT(-1)

Analizand graficul, autocorelare nu este evidenta. Astfel vom trece la estimarea lui

din

model.
Dependent Variable: RESIDATT
Method: Least Squares
Date: 11/21/11 Time: 10:17
Sample(adjusted): 2 757
Included observations: 756 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

RESIDATT(-1)

0.025401

0.036228

0.701147

0.4834

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.000639
0.000639
0.010255
0.079405
2390.231

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

3.54E-05
0.010259
-6.320718
-6.314596
1.999269

P value este mare 0.4834 dar ne aflm ntr-o zon de indecizie. Valoarea coeficientului
este 0.0254 foarte apropiat de zero iar statistica Durbin-Watson are valoarea 2.0508 . Fiind
foarte apropiat de 2 concluzionm ca autocorelarea nu este prezenta.

15

Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

48.91743
86.94290

Probability
Probability

0.000000
0.000000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:39
Sample: 1 757
Included observations: 757
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
R_DJI
R_DJI^2

8.02E-05
0.001905
0.104373

8.53E-06
0.000523
0.011792

9.393343
3.641180
8.851146

0.0000
0.0003
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.114852
0.112504
0.000222
3.71E-05
5296.939
1.680249

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000106
0.000235
-13.98663
-13.96828
48.91743
0.000000

Probabilitatea atasata lui F statistic este foarte mic. Eroarea pe care o facem prin
respingerea ipotezei nule este mic deci respingem H0 .
Putem folosi i statistica LM. Se observ c LM = 86.94 iar pentru k=2, din tabelul cu
valorile distribuiei rezult
, iar din comparaie rezult c
atunci se
respinge H0, deci modelul este heteroscedastic.
Testul de normalitate Jarque-Bera

140
Series: Residuals
Sample 1 757
Observations 757

120
100

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

80
60
40
20

-1.32E-18
-0.000233
0.045267
-0.043849
0.010298
0.017547
5.930611

Jarque-Bera
Probability

0
-0.025

0.000

270.9338
0.000000

P value este foarte mic, aproape


nula iar statistica JB foarte mare
Deci putem respinge ipoteza nula,
concluzionand ca erorile nu sunt
normal repartizate. Distributia este
leptocurtica deoarece Kurtosis >3,
i prezint o usoara asimetrie
dreapta deoarece Skewness este
pozitiv.
Astfel modelul necesit corecie.

0.025

16

3.Modelul CAPM
Modelul CAPM, dezvoltat de Sharpe(1964), Lintner(1965) si Mosin(1966) a fost si este
inca, unul dintre cele mai apreciate modele in finante. A fost utilizat in foarte multe domenii
financiare, fiind principalul instrument de calcul pentru costul capitalului si rata de rentabilitate
ceruta pentru fondurile de investitii. Legtura dintre risc si randament este unul dintre conceptele
fundamentale din economie, care i-a preocupat intotdeauna pe investitori. Modelul CAPM,
sustine ca beta, reprezinta singurul instrument de masura al riscului sistematic relevant pentru
investitori. Principala preocupare n testarea CAPM este dac relaia dintre beta i randamentele
ateptate este una pozitiv i semnificativ din punct de vedere statistic.
Ecuatie de regresie testata este urmatoarea:
Ri - Rf = + ( Rp - Rf ) +
unde Rp este randamentul portofoliului pietei, Rf-randamentul activului fara risc iar Ri
randamentul activului financiar i.

Cele patru modele CAPM sunt


RF_HPQ = -0.0007770986724 + 1.004009512*RF_DJI

prob

(0.2111)

(0.000)

SE

(0.000621)

(0.009961)

RF_INTC = 0.0004670557621 + 0.9971637633*RF_DJI

prob

(0.3635)

(0.000)

SE

(0.000514)

(0.00824)

RF_MSFT = 0.000008906957082 + 0.9998751333*RF_DJI

prob

(0.9854)

(0.000)

SE

(0.000486)

(0.007803)

RF_ATT = 0.00007246002005 + 1.005277426*RF_DJI

prob

(0.8518)

(0.000)

SE

(0.000388)

(0.00622)

17

3.1.Actiunea Hewlett-Packard Company (HPQ)


Dependent Variable: RF_HPQ
Method: Least Squares
Date: 11/28/11 Time: 10:14
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI

-0.000777
1.004010

0.000621
0.009961

-1.251480
100.7931

0.2111
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.930995
0.930903
0.017052
0.218958
2003.663
1.990671

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.001316
0.064872
-5.302418
-5.290162
10159.25
0.000000

.4
.3

RF_HPQ

.2
.1
.0
-.1
-.2
-.3
-.4
-.4

-.3

-.2

-.1

.0

.1

.2

.3

RF_DJI

Ecuaia de regresie a modelului CAPM este RF_HPQ = -0.0007770986724 + 1.004009512*RF_DJI


La modificarea rentabilitii pieei cu o unitate rentabilitatea aciunii HPQ se va modifica n
acelai sens cu 1.004 uniti.

Validarea modelului
Coeficientul de determinatie R2 are o valoare mare de 93%. Acest lucru semnifica faptul
ca 93% din evolutia variabilei dependente este influentata de variabila explicativa. Doar 7% din
variatia rentabilitatii suplimentare a actiunii HPQ se datoreaza unor factori neinclusi in model.

18

Testul t
Testul t pentru termenul liber are urmatoarele ipoteze:

T statistic calculat este de -1.25 fiind in intervalul (t critic( -1.963); t critic(1.963)), si


deci nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic
Testul t pentru coeficientul beta este unilateral dreapta si are urmatoarele ipoteze:

T statistic calculat

are valoarea 0.4026 mai mic decat t critic(1.963) deci ipoteza

nula nu poate fi respinsa. Acceptam


i conchidem c evoluia rentabilitii aciunii HPQ este
apropiat de cea a indicelui pieei, i conform teoriei lui Markowitz i riscul aciunii este apropiat
de cel al pieei. Deci aciunea HPQ are o volatilitate similar cu piaa nefiind mai mult sau mai
puin agresiv.

Testul Wald
Pentru verificarea restriciei pentru parametrul se poate aplica i testul Wald cu ipoteza nul
n acest caz conform ordinii parametrilor n outputul din eviews c ( ) fiind c (2).
Wald Test:
Equation: CAPMHPQ
Test Statistic
F-statistic
Chi-square

Value

df Probability

0.162020
0.162020

(1, 753)
1

0.6874
0.6873

Value

Std. Err.

0.004010

0.009961

Null Hypothesis Summary:


Normalized Restriction (= 0)
-1 + C(2)

Restrictions are linear in coefficients.

Valoarea mic a statisticii asociate testului F precum i valoarea mare a probabilitii p-value ne
conduc la acceptarea ipotezei nule. Deci se confirm faptul c, comporatamentele rentabilitii i
riscului aciunii HPQ sunt apropiate de cel a pieei.

Teste bazate pe reziduuri


Testul Durbin Watson

Analizand graficul, autocorelarea nu este evidenta. Astfel vom trece la estimarea lui
19

din model.

Dependent Variable: FRESIDHPQ


Method: Least Squares
Date: 11/28/11 Time: 10:30
Sample(adjusted): 2 757
Included observations: 753
Excluded observations: 3 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FRESIDHPQ(-1)

0.000465

0.036291

0.012820

0.9898

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

-0.000013
-0.000013
0.016975
0.216699
2001.261

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

6.06E-05
0.016975
-5.312779
-5.306638
2.007572

P value este foarte mare 0,9898. Astfel, vom accepta ipoteza nula, si vom concluziona ca
nu exista autocorelare.
Valoarea coeficientului
este 0.000465 foarte apropiat de zero iar statistica DurbinWatson are valoarea 1.99907 . Fiind foarte apropiat de 2 concluzionm ca autocorelarea nu este
prezenta.

Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

0.404124
0.810601

Probability
Probability

0.667706
0.666776

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 10:56
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI
RF_DJI^2

0.000268
-7.22E-05
0.005753

6.14E-05
0.000906
0.006625

4.358454
-0.079718
0.868395

0.0000
0.9365
0.3855

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.001074
-0.001583
0.001528
0.001756
3825.483
1.941575

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000290
0.001527
-10.12578
-10.10740
0.404124
0.667706

Probabilitatea atasata lui F statistic este destul de mare 0.6677, dar nu peste 0,8. Eroarea
pe care o facem prin respingerea ipotezei nule este destul de mare. Ne situam intr-o zona de
indecizie. Putem folosi statistica LM
20

Se observ c LM = 0.8106 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se accept H0, deci modelul
este homoscedastic.
Testul de normalitate Jarque-Bera

300
Series: Residuals
Sample 1 757
Observations 755

250
200

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

150
100
50

1.18E-18
0.000434
0.126938
-0.183365
0.017041
-1.513822
28.67843

Jarque-Bera
Probability

0
-0.15

-0.10

-0.05

0.00

0.05

P value este foarte mic, aproape


nula iar statistica JB foarte mare
Deci putem respinge ipoteza nula,
concluzionand ca erorile nu sunt
normal repartizate. Distributia
este leptocurtica deoarece Kurtosis
>3, i prezint o asimetrie stnga
deoarece Skewness este negativ.

21031.42
0.000000

0.10

Astfel modelul necesit corecie.

3.2. Actiunea Intel Corporation (INTC)


Dependent Variable: RF_INTC
Method: Least Squares
Date: 11/28/11 Time: 10:13
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI

0.000467
0.997164

0.000514
0.008240

0.909320
121.0208

0.3635
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.951101
0.951036
0.014105
0.149817
2146.912
2.200135

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.002545
0.063745
-5.681887
-5.669630
14646.04
0.000000

.3

Ecuaia de regresie a modelului CAPM este

.2

RF_INTC = 0.0004670557621 + 0.9971637633*RF_DJI

RF_INTC

.1

La modificarea rentabilitii pieei cu o unitate rentabilitatea


aciunii INTC se va modifica n acelai sens cu 0.997 uniti

.0
-.1

Validarea modelului

-.2
-.3
-.4
-.4

-.3

-.2

-.1

.0

RF_DJI

.1

.2

.3

21

Coeficientul de determinatie R2 are o valoare mare de 95%. Acest lucru semnifica faptul
ca 95% din evolutia variabilei dependente este influentata de variabila explicativa. Doar 5% din
variatia rentabilitatii suplimentare a actiunii INTC se datoreaza unor factori neinclusi in model.
Testul t
Testul t pentru termenul liber
T statistic calculat este de 0.909 fiind in intervalul (t critic( -1.963); t critic(1.963)), si
deci nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic
Testul t pentru coeficientul beta este unilateral stnga si are urmatoarele ipoteze:

are valoarea 0.34 mai mare decat t critic( - 1.963) deci

T statistic calculat

ipoteza nula nu poate fi respinsa. Acceptam


i conchidem c evoluia rentabilitii aciunii
HPQ este apropiat de cea a indicelui pieei, i conform teoriei lui Markowitz i riscul aciunii
este apropiat de cel al pieei. Deci aciunea HPQ are o volatilitate similar cu piaa nefiind mai
mult sau mai puin agresiv.
Testul Wald
Wald Test:
Equation: CAPMINTC
Test Statistic
F-statistic
Chi-square

Value

df Probability

0.118487
0.118487

(1, 753)
1

0.7308
0.7307

Value

Std. Err.

-0.002836

0.008240

Null Hypothesis Summary:


Normalized Restriction (= 0)
-1 + C(2)

Restrictions are linear in coefficients.

Valoarea mic a statisticii asociate testului F precum i valoarea mare a probabilitii p-value ne
conduc la acceptarea ipotezei nule. Deci se confirm faptul c, comporatamentele rentabilitii i
riscului aciunii INTC sunt apropiate de cel a pieei.

22

Teste bazate pe reziduuri


Testul Durbin Watson
.08
.06

FRESIDINTC

.04
.02
.00
-.02
-.04
-.06
-.08

-.04

.00

.04

.08

FRESIDINTC(-1)

Analizand graficul, autocorelarea nu este evidenta. Astfel vom trece la estimarea lui

din model.

Dependent Variable: FRESIDINTC


Method: Least Squares
Date: 11/28/11 Time: 10:37
Sample(adjusted): 2 757
Included observations: 753
Excluded observations: 3 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FRESIDINTC(-1)

-0.104538

0.036298

-2.879974

0.0041

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.010904
0.010904
0.014006
0.147527
2146.025

Valoarea coeficientului

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

3.26E-05
0.014083
-5.697278
-5.691137
1.992516

este -0.104 iar statistica Durbin-Watson are valoarea 2.208 .

Din tabelele statisticii obinem dl = 1.65 si du = 1.69 deci DW este intre du si 4 - du concluzionm
ca autocorelarea nu este prezenta.
Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

1.117460
2.237187

Probability
Probability

0.327652
0.326739

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:43
Sample: 1 757
Included observations: 755
Excluded observations: 2

23

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI
RF_DJI^2

0.000203
0.000269
-0.001365

1.63E-05
0.000240
0.001754

12.49352
1.123058
-0.778694

0.0000
0.2618
0.4364

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.002963
0.000311
0.000404
0.000123
4829.082
1.772004

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000198
0.000404
-12.78432
-12.76594
1.117460
0.327652

Probabilitatea atasata lui F este mare 0.327 dar nu peste 0.8. Eroarea pe care o facem prin
respingerea ipotezei nule este destul de mare. Ne situam intr-o zona de indecizie. Putem folosi
statistica LM.
Se observ c LM = 2.237 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se accept H0, deci modelul
este homoscedastic.
Testul de normalitate Jarque-Bera

140
Series: Residuals
Sample 1 757
Observations 755

120
100

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

80
60
40
20

Jarque-Bera
Probability

0
-0.050

-0.025

0.000

0.025

1.89E-18
-0.000180
0.064230
-0.050537
0.014096
0.425339
5.149319
168.0889
0.000000

0.050

P value este foarte mic, aproape nula iar


statistica JB foarte mare Deci putem
respinge ipoteza nula, concluzionand ca
erorile nu sunt normal repartizate.
Distributia este leptocurtica deoarece
Kurtosis >3, i prezint o asimetrie dreapta
deoarece Skewness este pozitiv.
Astfel modelul necesit corecie.

3.3. Actiunea Microsoft (MSFT)


Dependent Variable: RF_MSFT
Method: Least Squares
Date: 11/28/11 Time: 10:13
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI

8.91E-06
0.999875

0.000486
0.007803

0.018311
128.1377

0.9854
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.956150
0.956092
0.013358
0.134365
2188.005
1.983305

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

24

0.002093
0.063749
-5.790741
-5.778485
16419.27
0.000000

.3
.2

RF_MSFT

.1
.0
-.1
-.2
-.3
-.4
-.4

-.3

-.2

-.1

.0

.1

.2

.3

RF_DJI

Ecuaia de regresie a modelului CAPM


este RF_MSFT = 0.000008906957082 + 0.9998751333*RF_DJI
La modificarea rentabilitii pieei cu o unitate rentabilitatea aciunii MSFT se va modifica n
acelai sens cu 0.999 uniti

Validarea modelului
Coeficientul de determinatie R2 are o valoare mare de 95.6%. Acest lucru semnifica
faptul ca 95.6% din evolutia variabilei dependente este influentata de variabila explicativa. Doar
4.4% din variatia rentabilitatii suplimentare a actiunii MSFT se datoreaza unor factori neinclusi
in model.
Testul t
Testul t pentru termenul liber
T statistic calculat este de 0.0183 fiind in intervalul (t critic( -1.963); t critic(1.963)), si
deci nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic.
Testul t pentru coeficientul beta este unilateral stnga si are urmatoarele ipoteze:

T statistic calculat

are valoarea -0.016 mai mic decat t critic(-1.963) deci ipoteza

nula nu poate fi respinsa. Acceptam


i conchidem c evoluia rentabilitii aciunii MSFT este
apropiat de cea a indicelui pieei, i conform teoriei lui Markowitz i riscul aciunii este apropiat
de cel al pieei. Deci aciunea MSFT are o volatilitate similar cu piaa nefiind mai mult sau mai
puin agresiv.

25

Testul Wald
Wald Test:
Equation: CAPMMSFT
Test Statistic

Value

F-statistic
Chi-square

df Probability

0.000256
0.000256

(1, 753)
1

0.9872
0.9872

Value

Std. Err.

-0.000125

0.007803

Null Hypothesis Summary:


Normalized Restriction (= 0)
-1 + C(2)

Restrictions are linear in coefficients.

Valoarea mic a statisticii asociate testului F precum i valoarea mare a probabilitii p-value ne
conduc la acceptarea ipotezei nule. Deci se confirm faptul c, comporatamentele rentabilitii i
riscului aciunii MSFT sunt apropiate de cel a pieei.

Teste bazate pe reziduuri

.12

FRESIDMSFT

.08

Analizand graficul, autocorelarea nu este evidenta.


Astfel vom trece la estimarea lui din model.

.04
.00
-.04
-.08
-.12
-.15

-.10

-.05

.00

.05

.10

FRESIDMSFT(-1)

Dependent Variable: FRESIDMSFT


Method: Least Squares
Date: 11/28/11 Time: 10:37
Sample(adjusted): 2 757
Included observations: 753
Excluded observations: 3 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FRESIDMSFT(-1)

0.005851

0.036338

0.161012

0.8721

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.000025
0.000025
0.013318
0.133380
2183.979

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

26

4.09E-05
0.013318
-5.798084
-5.791943
2.007492

P value este foarte mare 0,8721. Astfel, vom accepta ipoteza nula, si vom concluziona ca
nu exista autocorelare.
Valoarea coeficientului
este 0.005851 foarte apropiat de zero iar statistica DurbinWatson are valoarea 1.988 . Fiind foarte apropiat de 2 concluzionm ca autocorelarea nu este
prezenta.
Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

0.528877
1.060483

Probability
Probability

0.589485
0.588463

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:46
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI
RF_DJI^2

0.000184
-0.000365
-0.001443

2.57E-05
0.000379
0.002770

7.174514
-0.963256
-0.520838

0.0000
0.3357
0.6026

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.001405
-0.001251
0.000639
0.000307
4483.785
1.894283

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000178
0.000639
-11.86963
-11.85125
0.528877
0.589485

Probabilitatea atasata lui F statistic este destul de mare 0.589, dar nu peste 0,8. Eroarea pe
care o facem prin respingerea ipotezei nule este destul de mare. Ne situam intr-o zona de
indecizie. Putem folosi statistica LM
Se observ c LM = 1.06 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se accept H0, deci modelul este
homoscedastic.

27

Testul de normalitate Jarque-Bera


200
Series: Residuals
Sample 1 757
Observations 755

160

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

120

80

1.84E-18
-0.000265
0.090039
-0.104743
0.013349
-0.268128
13.85566

40
Jarque-Bera
Probability

0
-0.10

-0.05

0.00

3716.262
0.000000

0.05

P value este foarte mic, aproape nula iar statistica JB foarte mare Deci putem respinge ipoteza
nula, concluzionand ca erorile nu sunt normal repartizate. Distributia este leptocurtica deoarece
Kurtosis >3, i prezint o asimetrie stnga deoarece Skewness este negativ.
Astfel modelul necesit corecie.
3.4. Actiunea AT&T Inc (ATT)
Dependent Variable: RF_ATT
Method: Least Squares
Date: 11/28/11 Time: 10:14
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI

7.25E-05
1.005277

0.000388
0.006220

0.186891
161.6297

0.8518
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.971984
0.971946
0.010647
0.085364
2359.249
1.944553

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

28

0.002168
0.063569
-6.244369
-6.232113
26124.14
0.000000

.3
.2

RF_ATT

.1
.0
-.1
-.2
-.3
-.4
-.4

-.3

-.2

-.1

.0

.1

.2

.3

RF_DJI

Ecuaia de regresie a modelului CAPM este RF_ATT = 0.00007246002005 + 1.005277426*RF_DJI


La modificarea rentabilitii pieei cu o unitate rentabilitatea aciunii ATT se va modifica n
acelai sens cu 1.005 uniti

Validarea modelului
Coeficientul de determinatie R2 are o valoare de 97%. Acest lucru semnifica faptul ca
97% din evolutia variabilei dependente este influentata de variabila explicativa. Doar 3% din
variatia rentabilitatii suplimentare a actiunii ATTT se datoreaza unor factori neinclusi in model.
Testul t
Testul t pentru termenul liber
T statistic calculat este de 0.186 fiind in intervalul (t critic( -1.963); t critic(1.963)), si
deci nu putem respinge ipoteza nula ( O putem accepta pentru ca t calc < t critic ). Deci
e
nesemnificativ statistic
Testul t pentru coeficientul beta este unilateral dreapta si are urmatoarele ipoteze:

T statistic calculat

are valoarea 0.848 mai mic decat t critic(1.963) deci ipoteza

nula nu poate fi respinsa. Acceptam


i conchidem c evoluia rentabilitii aciunii ATT este
apropiat de cea a indicelui pieei, i conform teoriei lui Markowitz i riscul aciunii este apropiat
de cel al pieei. Deci aciunea ATT are o volatilitate similar cu piaa nefiind mai mult sau mai
puin agresiv.

29

Testul Wald
Wald Test:
Equation: CAPMATT
Test Statistic

Value

F-statistic
Chi-square

df Probability

0.719970
0.719970

(1, 753)
1

0.3964
0.3962

Value

Std. Err.

0.005277

0.006220

Null Hypothesis Summary:


Normalized Restriction (= 0)
-1 + C(2)

Restrictions are linear in coefficients.

Valoarea mic a statisticii asociate testului F precum i valoarea mare a probabilitii p-value ne
conduc la acceptarea ipotezei nule. Deci se confirm faptul c, comporatamentele rentabilitii i
riscului aciunii ATT sunt apropiate de cel a pieei.

Teste bazate pe reziduuri


.06

Testul Durbin Watson

FRESIDATT

.04

Analizand graficul, autocorelarea nu este evidenta. Astfel


vom trece la estimarea lui din model.

.02
.00
-.02
-.04
-.06
-.05

.00

.05

FRESIDATT(-1)

Dependent Variable: FRESIDATT


Method: Least Squares
Date: 11/28/11 Time: 10:38
Sample(adjusted): 2 757
Included observations: 753
Excluded observations: 3 after adjusting endpoints
Variable

Coefficient

Std. Error

t-Statistic

Prob.

FRESIDATT(-1)

0.024740

0.036395

0.679764

0.4969

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood

0.000609
0.000609
0.010619
0.084803
2354.486

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
Durbin-Watson stat

30

2.48E-05
0.010623
-6.250959
-6.244818
1.998267

P value este mare 0,4969 dar ne putem afla ntr-o zon de indecizie. Valoarea
coeficientului este 0.02474 foarte apropiat de zero iar statistica Durbin-Watson are valoarea
1.95 . Fiind foarte apropiat de 2 concluzionm ca autocorelarea nu este prezenta.
Testul White
White Heteroskedasticity Test:
F-statistic
Obs*R-squared

3.101164
6.176131

Probability
Probability

0.045573
0.045590

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 11/28/11 Time: 11:49
Sample: 1 757
Included observations: 755
Excluded observations: 2
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
RF_DJI
RF_DJI^2

0.000103
8.01E-05
0.002502

9.33E-06
0.000138
0.001006

11.05340
0.581561
2.485554

0.0000
0.5610
0.0132

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat

0.008180
0.005542
0.000232
4.05E-05
5248.226
1.559066

Mean dependent var


S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000113
0.000233
-13.89464
-13.87625
3.101164
0.045573

Probabilitatea atasata lui F statistic este mic. Eroarea pe care o facem prin respingerea
ipotezei nule este mic. Putem folosi statistica LM
Se observ c LM = 6.17 iar pentru k=2, din tabelul cu valorile distribuiei rezult
, iar din comparaie rezult c
atunci se respinge H0, deci modelul este
heteroscedastic.
Testul de normalitate Jarque-Bera
120
Series: Residuals
Sample 1 757
Observations 755

100
80

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

60
40
20

Jarque-Bera
Probability

0
-0.025

0.000

2.16E-18
0.000260
0.041620
-0.045016
0.010640
-0.163247
5.232697
160.1711
0.000000

P value este foarte mic, aproape


nula iar statistica JB foarte mare
Deci putem respinge ipoteza nula,
concluzionand ca erorile nu sunt
normal repartizate. Distributia este
leptocurtica deoarece Kurtosis >3,
i prezint o asimetrie stnga
deoarece Skewness este negativ.
Astfel modelul necesit corecie.

0.025

31

Concluzii
Toate cele patru active studiate au comportamente asemntoare avnd o volatilitate i un risc
apropiate de cele ale pieei.
Dei perioada analizat este una nefavorabil din punct de vedere economic toate cele patru
firme au avut o evoluie stabil, n ultima parte a perioadei chiar una cresctoare (mai puin
Microsoft aa cum se observ i din grafice).
Mai observm i faptul c toate datele urmeaz repartiii leptocurtice, specifice datelor financiare
n tabelul urmtor am sistematizat verificarea ipotezelor modelului de ctre cele patru regresii,
att n cazul modelelor Sharpe ct i n cazul modelelor CAPM. n cazul nerespectrii unor
ipoteze modelele necesit corecii.

Ipoteza/ Actiunea

Independena erorilor

Homoscedasticitate

Normalitatea
distribuiei erorilor

HPQ

Da

Da

Nu

INTC

Da

Nu

Nu

MSFT

Da

Da

Nu

ATT

Da

Nu

Nu

Bibliografie
1.

V. Voineagu, E. ian, R. erban, S. Ghi, D. Todose, C. Boboc, D. Pele Teorie i


practic econometrie, Ed. II, Ed. Meteor Press, Bucureti, 2009;

2.

L.Spircu, R.Ciumara Econometrie, Ed. Pro Universitaria, 2007;

3.

L.Spircu Suporturi de seminar

4.

www. http://finance.yahoo.com/

5.

http://www.treasury.gov/resource-center/data-chart-center/interest
rates/Pages/TextView.aspx?data=yield

32

Anexe

Reprezentri grafice ale evoluiilor cursurilor i rentabilitilor aciunilor

HPQ
60
50
40
30

HPQ

20
10
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

Evoluia cursului aciunii HPQ

INTC
30
25
20
15

INTC

10
5
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

Evoluia cursului aciunii INTC

33

MSFT
35
30
25
20
15
10
5
0
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

MSFT

Evoluia cursului aciunii MSFT

ATT
35
30
25
20
15
10
5
0
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

ATT

Evoluia cursului aciunii ATT

DJI
14000
13000
12000
11000
10000
9000
8000
7000
6000
5000
4000
3000
2000
1000
0
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

DJI

Evoluia indicelui pieei DJI

34

R_HPQ
0.2
0.15
0.1
0.05
-0.05

1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

R_HPQ

-0.1
-0.15
-0.2
-0.25

Evoluia randamentului aciunii HPQ

R_INTC
0.15
0.1
0.05
R_INTC
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

0
-0.05
-0.1

Evoluia randamentului aciunii INTC

35

R_MSFT
0.15
0.1
0.05

-0.05

R_MSFT
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

-0.1
-0.15

Evoluia randamentului aciunii MSFT

R_ATT
0.15
0.1
0.05
R_ATT

-0.05

1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

-0.1

Evoluia randamentului aciunii ATT

36

R_DJI
0.15
0.1
0.05
R_DJI
1
51
101
151
201
251
301
351
401
451
501
551
601
651
701
751

0
-0.05
-0.1

Evoluia randamentului indicelui pieei DJI


Tabel ul cu evoluia cursurilor aciunilor
Date
10/20/2008
10/21/2008
10/22/2008
10/23/2008
10/24/2008
10/27/2008
10/28/2008
10/29/2008
10/30/2008
10/31/2008
11/3/2008
11/4/2008
11/5/2008
11/6/2008
11/7/2008
11/10/2008
11/11/2008
11/12/2008
11/13/2008
11/14/2008
11/17/2008
11/18/2008
11/19/2008
11/20/2008

HPQ
INTC
MSFT
ATT
DJI
39.86
14.53
23.07
22.48 9265.43
36.98
13.82
21.8
21.44 9045.21
34.24
13.21
20.09
19.81 8519.21
32.22
13.15
20.83
21.04 8691.25
31.53
12.94
20.49
20.56 8378.95
30.3
12.91
19.76
20.32 8175.77
34.1
14.37
21.55
23 9065.12
34.4
13.54
21.46
22.41 8990.96
36.63
14.65
21.12
22.58 9180.69
37.2
14.53
20.84
22.3 9325.01
37.52
14.17
21.11
23.17 9319.83
37.17
14.73
21.96
24.39 9625.28
35.23
13.76
20.6
22.62 9139.27
32.69
12.68
19.48
21.65 8695.79
33.67
13.37
20.06
22.49 8943.81
33.21
13.12
19.87
22.88 8870.54
32.32
12.73
19.78
22.77 8693.96
30.26
12.36
18.94
21.81 8282.66
30.82
13.19
19.83
23.88 8835.25
29.6
12.17
18.72
23.03 8497.31
28.52
11.88
18.03
22.3 8273.58
32.65
11.98
18.43
22.13 8424.75
32.1
11.42
17.18
21.02 7997.28
30.94
11.18
16.47
20.42 7552.29
37

Rf
0.00004694
0.00004833
0.00004556
0.00004472
0.00004444
0.00004361
0.00004250
0.00003917
0.00003778
0.00003722
0.00003639
0.00003556
0.00003389
0.00003250
0.00003333
0.00003222
0.00002861
0.00003222
0.00003167
0.00003000
0.00002917
0.00002694
0.00002417
0.00002306

11/21/2008
11/24/2008
11/25/2008
11/26/2008
11/28/2008
12/1/2008
12/2/2008
12/3/2008
12/4/2008
12/5/2008
12/8/2008
12/9/2008
12/10/2008
12/11/2008
12/12/2008
12/15/2008
12/16/2008
12/17/2008
12/18/2008
12/19/2008
12/22/2008
12/23/2008
12/24/2008
12/26/2008
12/29/2008
12/30/2008
12/31/2008
1/2/2009
1/5/2009
1/6/2009
1/7/2009
1/8/2009
1/9/2009
1/12/2009
1/13/2009
1/14/2009
1/15/2009
1/16/2009
1/20/2009
1/21/2009
1/22/2009

33.67
34.7
32.66
34.22
34.29
32.5
33.31
33.84
32.45
32.59
34.24
33.54
34.11
33.8
34.96
33.92
35.38
35.52
34.45
34.48
33.85
33.65
33.78
34.06
34.66
35.25
35.35
35.85
35.39
38.29
36.86
36.66
36.52
36.02
34.9
34.47
34.82
33.87
32.47
34.2
34.57

11.98
12.39
12
12.77
12.61
11.48
12.14
12.49
11.67
12.15
12.74
13.07
13.04
12.81
13.48
13.34
14.3
13.95
13.03
13.2
13.11
12.86
13.01
12.96
12.91
13.43
13.4
13.89
13.63
14.05
13.2
13.3
12.93
12.6
12.49
11.96
12.15
12.56
11.75
12.12
11.72

18.49
19.44
18.78
19.25
18.99
17.48
17.99
18.67
17.95
18.67
19.74
19.35
19.36
18.27
18.19
17.89
18.89
18.47
18.13
17.96
18.02
18.11
18.01
17.97
17.81
18.17
18.26
19.1
19.28
19.5
18.33
18.9
18.34
18.29
18.62
17.93
18.07
18.52
17.36
18.21
16.07

20.99
22.44
22.73
23.65
23.79
22.46
23.36
24.23
23.47
23.45
24.98
24.29
23.39
23.28
23.48
22.6
23.52
23.43
23.09
23.43
23.43
23.09
23.18
23.28
23.21
23.52
23.74
24.51
23.68
23.58
23
22.98
22.55
21.93
21.97
21.48
21.23
21.33
21.15
21.8
21.56
38

8046.42
8443.39
8479.47
8726.61
8829.04
8149.09
8419.09
8591.69
8376.24
8635.42
8934.18
8691.33
8761.42
8565.09
8629.68
8564.53
8924.14
8824.34
8604.99
8579.11
8519.69
8419.49
8468.48
8515.55
8483.93
8668.39
8776.39
9034.69
8952.89
9015.1
8769.7
8742.46
8599.18
8473.97
8448.56
8200.14
8212.49
8281.22
7949.09
8228.1
8122.8

0.00002639
0.00002639
0.00002583
0.00002500
0.00002250
0.00002139
0.00001944
0.00001694
0.00001500
0.00001472
0.00001361
0.00001361
0.00001417
0.00001389
0.00001389
0.00001250
0.00001250
0.00001194
0.00001222
0.00001111
0.00001139
0.00001111
0.00001056
0.00001000
0.00000944
0.00001028
0.00001111
0.00001194
0.00001250
0.00001222
0.00001222
0.00001194
0.00001194
0.00001194
0.00001167
0.00001167
0.00001194
0.00001167
0.00001194
0.00001167
0.00001278

1/23/2009
1/26/2009
1/27/2009
1/28/2009
1/29/2009
1/30/2009
2/2/2009
2/3/2009
2/4/2009
2/5/2009
2/6/2009
2/9/2009
2/10/2009
2/11/2009
2/12/2009
2/13/2009
2/17/2009
2/18/2009
2/19/2009
2/20/2009
2/23/2009
2/24/2009
2/25/2009
2/26/2009
2/27/2009
3/2/2009
3/3/2009
3/4/2009
3/5/2009
3/6/2009
3/9/2009
3/10/2009
3/11/2009
3/12/2009
3/13/2009
3/16/2009
3/17/2009
3/18/2009
3/19/2009
3/20/2009
3/23/2009

34.86
34.65
34.96
36.44
35
33.85
33.76
35.16
35.1
34.18
35.89
35.39
34.3
34.17
34.33
34.94
33.45
33.2
30.58
30.43
28.52
28.85
29.34
29.46
28.28
27.34
27.44
27.91
26.38
26.28
24.94
26.42
27.95
28.66
28.77
28.35
29.06
28.32
28.43
28.19
30.47

11.99
12.23
12.62
12.81
12.22
11.79
12.46
12.55
12.82
13.16
13.6
13.77
13
13
12.93
12.82
12.2
12.34
11.71
11.8
11.15
11.76
12.03
11.74
11.76
11.37
11.34
11.78
11.37
11.46
11.59
12.85
12.89
13.41
13.57
13.16
13.76
14.07
13.99
13.53
14.33

16.16
16.56
16.59
16.95
16.52
16.06
16.75
17.38
17.5
17.89
18.47
18.26
17.66
18.05
18.09
17.93
17.11
17.14
16.94
17.03
16.28
16.24
16.04
15.53
15.28
14.93
15.02
15.25
14.44
14.45
14.33
15.59
16.18
16.09
15.75
15.37
15.98
16.04
16.21
16.14
17.34

22.08
22.68
21.92
21.9
20.89
20.81
21.27
21.45
20.85
21.26
22.05
21.89
20.76
20.66
20.53
20.45
19.63
19.41
19.6
19.93
19.17
19.65
20.04
20.36
20.09
19.48
19.16
19.44
19.07
19.09
18.36
19.46
19.74
20.58
20.52
20.59
21.45
21.72
21.64
21.41
22.76
39

8077.56
8116.03
8174.73
8375.45
8149.01
8000.86
7936.83
8078.36
7956.66
8063.07
8280.59
8270.87
7888.88
7939.53
7932.76
7850.41
7552.6
7555.63
7465.95
7365.67
7114.78
7350.94
7270.89
7182.08
7062.93
6763.29
6726.02
6875.84
6594.44
6626.94
6547.05
6926.49
6930.4
7170.06
7223.98
7216.97
7395.7
7486.58
7400.8
7278.38
7775.86

0.00001306
0.00001306
0.00001333
0.00001417
0.00001417
0.00001417
0.00001472
0.00001472
0.00001500
0.00001583
0.00001667
0.00001667
0.00001667
0.00001611
0.00001694
0.00001694
0.00001778
0.00001861
0.00001778
0.00001917
0.00001972
0.00002083
0.00002028
0.00002000
0.00001861
0.00001889
0.00001972
0.00001833
0.00001861
0.00001917
0.00001972
0.00001972
0.00001944
0.00001861
0.00001917
0.00001917
0.00001667
0.00001667
0.00001667
0.00001667
0.00001722

3/24/2009
3/25/2009
3/26/2009
3/27/2009
3/30/2009
3/31/2009
4/1/2009
4/2/2009
4/3/2009
4/6/2009
4/7/2009
4/8/2009
4/9/2009
4/13/2009
4/14/2009
4/15/2009
4/16/2009
4/17/2009
4/20/2009
4/21/2009
4/22/2009
4/23/2009
4/24/2009
4/27/2009
4/28/2009
4/29/2009
4/30/2009
5/1/2009
5/4/2009
5/5/2009
5/6/2009
5/7/2009
5/8/2009
5/11/2009
5/12/2009
5/13/2009
5/14/2009
5/15/2009
5/18/2009
5/19/2009
5/20/2009

29.91
30.3
32.43
32.56
31.38
31.32
32.12
32.91
33.36
32.98
32.54
32.3
33.64
33.72
33.33
34.05
35.76
35.46
33.88
34.61
33.88
33.96
34.97
34.63
34.6
35.61
35.15
35.68
36.28
35.95
35.49
33.73
33.88
34.22
34.18
33.42
34.12
34.2
34.91
35.74
33.87

13.85
13.8
14.61
14.24
13.59
13.88
13.88
14.5
14.73
14.65
14.27
14.1
14.76
14.76
14.78
14.42
14.67
14.41
13.85
14.18
14.47
14.34
14.42
14.11
13.9
14.17
14.57
14.6
15.38
15.05
15.01
14.69
14.24
14.31
14.16
14.09
14.47
14.15
14.45
14.57
14.51

16.96
16.91
17.81
17.15
16.53
17.38
18.26
18.25
17.73
17.74
17.74
18.15
18.6
18.53
18.3
17.81
18.69
18.16
17.6
17.94
17.76
17.9
19.78
19.3
18.85
19.15
19.16
19.14
19.1
18.72
18.72
18.27
18.37
18.27
18.81
18.68
18.97
19.12
19.48
19.33
19.4

22.26
22.13
22.27
21.98
21.27
21.3
21.91
22.43
22.68
22.48
21.92
21.8
22.41
22.34
21.7
21.85
22.31
22.28
21.71
21.7
22.1
21.89
21.6
21.73
22.02
21.91
22
22.33
22.92
22.75
22.92
21.85
21.68
21.77
22.09
21.67
21.45
21.36
21.11
21.18
20.72
40

7660.21
7749.81
7924.56
7776.18
7522.02
7608.92
7761.6
7978.08
8017.59
7975.85
7789.56
7837.11
8083.38
8057.81
7920.18
8029.62
8125.43
8131.33
7841.73
7969.56
7886.57
7957.06
8076.29
8025
8016.95
8185.73
8168.12
8212.41
8426.74
8410.65
8512.28
8409.85
8574.65
8418.77
8469.11
8284.89
8331.32
8268.64
8504.08
8474.85
8422.04

0.00001667
0.00001583
0.00001611
0.00001611
0.00001583
0.00001611
0.00001639
0.00001667
0.00001667
0.00001667
0.00001639
0.00001667
0.00001583
0.00001500
0.00001500
0.00001500
0.00001583
0.00001500
0.00001472
0.00001444
0.00001361
0.00001389
0.00001361
0.00001444
0.00001389
0.00001361
0.00001361
0.00001444
0.00001472
0.00001417
0.00001500
0.00001528
0.00001472
0.00001500
0.00001444
0.00001389
0.00001389
0.00001389
0.00001333
0.00001222
0.00001250

5/21/2009
5/22/2009
5/26/2009
5/27/2009
5/28/2009
5/29/2009
6/1/2009
6/2/2009
6/3/2009
6/4/2009
6/5/2009
6/8/2009
6/9/2009
6/10/2009
6/11/2009
6/12/2009
6/15/2009
6/16/2009
6/17/2009
6/18/2009
6/19/2009
6/22/2009
6/23/2009
6/24/2009
6/25/2009
6/26/2009
6/29/2009
6/30/2009
7/1/2009
7/2/2009
7/6/2009
7/7/2009
7/8/2009
7/9/2009
7/10/2009
7/13/2009
7/14/2009
7/15/2009
7/16/2009
7/17/2009
7/20/2009

33.43
33.35
33.68
33.55
33.9
33.56
35.17
35.01
34.81
35.26
36.49
36.63
36.07
36.02
36.45
36.97
36.3
36.07
36.64
36.76
37.55
36.95
36.58
36.44
37.32
36.82
38.16
37.84
37.87
37.06
36.94
36.07
36.43
36.52
36.46
36.52
36.36
38.01
38.84
39.14
39.58

14.14
14.02
14.42
14.4
14.64
14.64
15.37
15.08
14.84
15.02
14.83
14.83
15.29
15.33
15.23
15.19
14.88
14.77
15.03
14.78
14.91
14.6
14.72
14.99
15.19
15.17
15.25
15.41
15.87
15.57
15.4
15.13
14.84
14.92
14.94
15.36
15.67
16.81
17.23
17.5
17.6

18.87
18.8
19.36
19.16
19.47
19.88
20.37
20.37
20.68
20.78
21.07
20.99
21.02
21.46
21.73
22.21
22.29
22.32
22.54
22.37
22.91
22.16
22.22
22.34
22.64
22.23
22.71
22.63
22.88
22.24
22.08
21.45
21.47
21.36
21.31
22.11
22
22.96
23.26
23.12
23.35

20.32
20.33
21.04
20.67
21.15
21.28
21.16
21.33
21
20.91
21.09
20.95
20.79
20.85
21.28
21.47
21.15
20.79
20.73
20.72
20.64
20.73
21.17
21.16
21.34
21.31
21.65
21.33
21.52
21.11
21.29
20.89
20.56
20.42
20.47
20.76
20.48
20.93
20.71
20.94
21.33
41

8292.13
8277.32
8473.49
8300.02
8403.8
8500.33
8721.44
8740.87
8675.24
8750.24
8763.13
8764.49
8763.06
8739.02
8770.92
8799.26
8612.13
8504.67
8497.18
8555.6
8539.73
8339.01
8322.91
8299.86
8472.4
8438.39
8529.38
8447
8504.06
8280.74
8324.87
8163.6
8178.41
8183.17
8146.52
8331.68
8359.49
8616.21
8711.82
8743.94
8848.15

0.00001361
0.00001389
0.00001361
0.00001333
0.00001306
0.00001333
0.00001278
0.00001250
0.00001306
0.00001722
0.00001722
0.00001556
0.00001528
0.00001472
0.00001444
0.00001417
0.00001417
0.00001389
0.00001444
0.00001417
0.00001389
0.00001389
0.00001389
0.00001306
0.00001250
0.00001417
0.00001556
0.00001500
0.00001361
0.00001333
0.00001278
0.00001250
0.00001306
0.00001250
0.00001306
0.00001306
0.00001389
0.00001306
0.00001333
0.00001306
0.00001278

7/21/2009
7/22/2009
7/23/2009
7/24/2009
7/27/2009
7/28/2009
7/29/2009
7/30/2009
7/31/2009
8/3/2009
8/4/2009
8/5/2009
8/6/2009
8/7/2009
8/10/2009
8/11/2009
8/12/2009
8/13/2009
8/14/2009
8/17/2009
8/18/2009
8/19/2009
8/20/2009
8/21/2009
8/24/2009
8/25/2009
8/26/2009
8/27/2009
8/28/2009
8/31/2009
9/1/2009
9/2/2009
9/3/2009
9/4/2009
9/8/2009
9/9/2009
9/10/2009
9/11/2009
9/14/2009
9/15/2009
9/16/2009

39.72
39.95
40.77
40.85
40.96
41.1
41.31
41.82
42.39
42.47
42.51
42.35
41.33
42.63
42.76
42.48
43.25
43.42
43.17
42.21
43.04
42.91
43.06
43.84
43.85
43.74
43.55
43.87
43.82
43.95
42.95
43.32
43.52
44.16
44.52
45.02
45.53
45.13
44.82
44.76
44.76

17.6
17.82
18.14
18.03
18.13
18.04
18.07
18
17.93
18.04
17.99
17.69
17.54
17.35
17.6
17.49
17.64
17.87
17.61
17.31
17.61
17.64
17.55
17.72
17.6
17.92
18.23
18.26
19
19.06
18.5
18.26
18.22
18.42
18.57
18.7
18.54
18.3
18.16
18.34
18.43

23.63
23.61
24.33
22.32
22
22.34
22.65
22.66
22.39
22.68
22.63
22.66
22.33
22.43
22.29
22.02
22.4
22.48
22.55
22.13
22.57
22.64
22.66
23.37
23.59
23.59
23.5
23.63
23.62
23.59
22.97
22.84
23.08
23.57
23.76
23.72
23.93
23.8
23.93
24.12
24.12

21.46
21.69
22.25
22.23
22.47
22.29
22.66
23
22.91
22.91
22.94
22.47
22.31
22.37
22.34
22.15
22.4
22.25
22.23
21.85
21.92
22.16
22.3
22.71
22.83
22.97
23.15
23.07
22.89
22.75
22.15
22.16
21.96
22.28
22.49
22.65
23.19
23.28
23.17
23.32
23.18
42

8915.94
8881.26
9069.29
9093.24
9108.51
9096.72
9070.72
9154.46
9171.61
9286.56
9320.19
9280.97
9256.26
9370.07
9337.95
9241.45
9361.61
9398.19
9321.4
9135.34
9217.94
9279.16
9350.05
9505.96
9509.28
9539.29
9543.52
9580.63
9544.2
9496.28
9310.6
9280.67
9344.61
9441.27
9497.34
9547.22
9627.48
9605.41
9626.8
9683.41
9791.71

0.00001306
0.00001361
0.00001306
0.00001361
0.00001361
0.00001389
0.00001333
0.00001333
0.00001333
0.00001306
0.00001361
0.00001333
0.00001444
0.00001361
0.00001333
0.00001306
0.00001250
0.00001222
0.00001250
0.00001194
0.00001194
0.00001167
0.00001250
0.00001222
0.00001306
0.00001250
0.00001278
0.00001222
0.00001194
0.00001194
0.00001139
0.00001167
0.00001167
0.00001139
0.00001111
0.00001111
0.00001083
0.00001111
0.00001083
0.00001056
0.00001111

9/17/2009
9/18/2009
9/21/2009
9/22/2009
9/23/2009
9/24/2009
9/25/2009
9/28/2009
9/29/2009
9/30/2009
10/1/2009
10/2/2009
10/5/2009
10/6/2009
10/7/2009
10/8/2009
10/9/2009
10/12/2009
10/13/2009
10/14/2009
10/15/2009
10/16/2009
10/19/2009
10/20/2009
10/21/2009
10/22/2009
10/23/2009
10/26/2009
10/27/2009
10/28/2009
10/29/2009
10/30/2009
11/2/2009
11/3/2009
11/4/2009
11/5/2009
11/6/2009
11/9/2009
11/10/2009
11/11/2009
11/12/2009

44.83
45.26
45.46
46.11
46.03
45.97
46.11
46.96
46.53
46.3
45.08
44.41
45.18
46.11
45.66
45.57
46.47
46.13
45.79
46.97
47.08
47.44
47.54
47.8
47.29
47.39
47.63
46.94
46.39
46.03
47.42
46.55
47.23
46.6
46.84
47.91
48.21
49.03
49
49.04
48.74

18.21
18.35
18.33
18.32
18.65
18.33
18.17
18.52
18.27
18.36
17.73
17.79
17.92
18.41
18.53
18.65
18.92
19.14
19.22
19.54
19.39
18.93
19.15
18.93
18.63
18.87
18.55
18.6
18.52
17.85
18.03
17.93
17.83
17.35
17.57
17.85
17.89
18.39
18.43
18.75
18.6

24.22
24.18
24.22
24.67
24.61
24.83
24.46
24.72
24.65
24.62
23.82
23.89
23.59
24.04
24.03
24.57
24.46
24.62
24.71
24.85
25.57
25.37
25.23
25.24
25.44
25.45
26.82
27.45
27.37
26.82
27.01
26.54
26.69
26.35
26.86
27.25
27.3
27.75
27.77
27.87
28.1

23.03
23.62
23.47
23.14
23.69
23.6
23.54
23.95
23.75
23.59
23.24
23.16
23.37
23.71
23.21
23
22.75
22.7
22.96
22.9
22.97
22.79
23.05
23.04
23
23.14
22.81
22.44
22.7
23.12
23.26
22.76
22.69
22.49
22.64
23
22.99
23.35
23.37
23.44
23.31
43

9783.92
9820.2
9778.86
9829.87
9748.55
9707.44
9665.19
9789.36
9742.2
9712.28
9509.28
9487.67
9599.75
9731.25
9725.58
9786.87
9864.94
9885.8
9871.06
10015.86
10062.94
9995.91
10092.19
10041.48
9949.36
10081.31
9972.18
9867.96
9882.17
9762.69
9962.58
9712.73
9789.44
9771.91
9802.14
10005.96
10023.42
10226.94
10246.97
10291.26
10197.47

0.00001139
0.00001111
0.00001167
0.00001139
0.00001083
0.00001139
0.00001111
0.00001139
0.00001111
0.00001028
0.00001028
0.00001000
0.00001028
0.00000944
0.00000972
0.00001056
0.00000972
0.00000972
0.00001000
0.00001000
0.00001056
0.00001083
0.00001111
0.00001056
0.00001111
0.00001139
0.00001083
0.00001083
0.00001111
0.00001028
0.00001056
0.00001056
0.00001000
0.00001000
0.00000944
0.00000944
0.00000917
0.00000889
0.00000889
0.00000861
0.00000889

11/13/2009
11/16/2009
11/17/2009
11/18/2009
11/19/2009
11/20/2009
11/23/2009
11/24/2009
11/25/2009
11/27/2009
11/30/2009
12/1/2009
12/2/2009
12/3/2009
12/4/2009
12/7/2009
12/8/2009
12/9/2009
12/10/2009
12/11/2009
12/14/2009
12/15/2009
12/16/2009
12/17/2009
12/18/2009
12/21/2009
12/22/2009
12/23/2009
12/24/2009
12/28/2009
12/29/2009
12/30/2009
12/31/2009
1/4/2010
1/5/2010
1/6/2010
1/7/2010
1/8/2010
1/11/2010
1/12/2010
1/13/2010

48.95
49.83
50.33
49.51
48.86
49.08
50.04
49.22
49.09
48.13
48.12
48.64
48.04
48.02
48.83
48.26
48
48.99
49.17
49.09
49.78
50.09
50.45
49.67
50.59
51.07
51.53
51.56
51.94
51.83
51.64
51.99
50.6
51.52
51.74
51.26
51.28
51.66
51.5
51.05
51.3

18.73
19.12
19.21
19.02
18.24
18.19
18.34
18.33
18.28
18.06
18.15
18.58
18.64
18.78
19.34
19.25
18.89
18.91
19.05
18.81
18.89
18.71
18.32
18.02
18.55
18.99
18.94
19
19.22
19.19
19.28
19.46
19.28
19.74
19.73
19.66
19.47
19.69
19.8
19.48
19.81

28.36
28.28
28.84
28.95
28.63
28.48
28.79
28.76
28.64
28.09
28.28
28.85
28.63
28.68
28.82
28.64
28.43
28.56
28.72
28.7
28.95
28.86
28.94
28.46
29.19
29.34
29.63
29.73
29.8
29.97
30.18
29.77
29.3
29.76
29.77
29.58
29.28
29.48
29.1
28.91
29.18

23.28
23.31
23.3
23.33
23.15
23.07
23.75
24.03
24.01
23.93
23.89
24.1
24.25
24.4
24.47
24.8
24.48
24.44
24.61
24.84
24.87
24.47
24.4
24.14
24.22
24.42
24.74
24.86
24.92
25.12
25.13
25.11
24.85
25.34
25.22
24.85
24.57
24.39
24.27
24.26
23.97
44

10270.47
10406.96
10437.42
10426.31
10332.44
10318.16
10450.95
10433.71
10464.4
10309.92
10344.84
10471.58
10452.68
10366.15
10388.9
10390.11
10285.97
10337.05
10405.83
10471.5
10501.05
10452
10441.12
10308.26
10328.89
10414.14
10464.93
10466.44
10520.1
10547.08
10545.41
10548.51
10428.05
10583.96
10572.02
10573.68
10606.86
10618.19
10663.99
10627.26
10680.77

0.00000806
0.00000750
0.00000750
0.00000806
0.00000778
0.00000722
0.00000722
0.00000750
0.00000722
0.00000778
0.00000833
0.00001000
0.00000889
0.00000806
0.00000861
0.00000889
0.00000972
0.00001028
0.00001139
0.00001056
0.00000972
0.00001000
0.00001111
0.00001139
0.00001139
0.00001194
0.00001306
0.00001306
0.00001250
0.00001306
0.00001250
0.00001139
0.00001111
0.00001111
0.00001028
0.00000972
0.00000944
0.00001028
0.00000944
0.00000917
0.00000917

1/14/2010
1/15/2010
1/19/2010
1/20/2010
1/21/2010
1/22/2010
1/25/2010
1/26/2010
1/27/2010
1/28/2010
1/29/2010
2/1/2010
2/2/2010
2/3/2010
2/4/2010
2/5/2010
2/8/2010
2/9/2010
2/10/2010
2/11/2010
2/12/2010
2/16/2010
2/17/2010
2/18/2010
2/19/2010
2/22/2010
2/23/2010
2/24/2010
2/25/2010
2/26/2010
3/1/2010
3/2/2010
3/3/2010
3/4/2010
3/5/2010
3/8/2010
3/9/2010
3/10/2010
3/11/2010
3/12/2010
3/15/2010

51.58
51.54
51.82
51.29
50.38
48.42
49.17
48.86
48.58
46.95
46.24
46.98
47.73
47.87
46.2
46.48
46.75
47.27
47.17
47.76
47.6
48.57
49.23
49.91
49.89
49.67
49.23
49.89
50.02
49.89
50.63
50.22
50.2
50.6
51.11
50.82
50.96
50.86
51.1
51.43
51.57

20.3
19.66
19.9
19.92
19.7
18.82
19.21
18.9
19.13
18.83
18.34
18.54
18.82
18.75
18.12
18.55
18.44
18.72
18.76
19.11
19.46
19.74
19.68
19.86
19.84
19.88
19.43
19.72
19.66
19.56
19.88
19.72
19.55
19.56
19.81
19.79
19.95
20.19
20.25
20.27
20.17

29.77
29.67
29.9
29.41
28.85
27.84
28.19
28.36
28.53
28.04
27.09
27.31
27.36
27.53
26.77
26.94
26.65
26.93
26.91
27.04
26.85
27.38
27.62
27.98
27.79
27.75
27.36
27.65
27.63
27.69
28.03
27.49
27.49
27.65
27.62
27.65
27.82
27.98
28.19
28.27
28.29

23.57
23.21
23.58
23.25
23.1
22.85
23.02
22.8
23.06
22.99
22.82
22.84
23.12
23.02
22.53
22.72
22.48
22.73
22.61
22.67
22.56
22.79
22.86
22.72
22.59
22.52
22.35
22.42
22.29
22.33
22.5
22.39
22.4
22.46
22.49
22.75
23
22.97
23.04
23.06
23.2
45

10710.55
10609.65
10725.43
10603.15
10389.88
10172.98
10196.86
10194.29
10236.16
10120.46
10067.33
10185.53
10296.85
10270.55
10002.18
10012.23
9908.39
10058.64
10038.38
10144.19
10099.14
10268.81
10309.24
10392.9
10402.35
10383.38
10282.41
10374.16
10321.03
10325.26
10403.79
10405.98
10396.76
10444.14
10566.2
10552.52
10564.38
10567.33
10611.84
10624.69
10642.15

0.00000861
0.00000861
0.00000833
0.00000833
0.00000889
0.00000917
0.00000861
0.00000833
0.00000917
0.00000917
0.00000972
0.00000889
0.00000861
0.00000889
0.00000944
0.00001056
0.00001056
0.00000972
0.00000944
0.00000972
0.00001028
0.00001083
0.00001028
0.00001000
0.00000944
0.00000889
0.00000889
0.00000889
0.00000889
0.00000917
0.00000972
0.00001056
0.00001083
0.00001028
0.00001083
0.00001111
0.00001139
0.00001111
0.00001139
0.00001139
0.00001139

3/16/2010
3/17/2010
3/18/2010
3/19/2010
3/22/2010
3/23/2010
3/24/2010
3/25/2010
3/26/2010
3/29/2010
3/30/2010
3/31/2010
4/1/2010
4/5/2010
4/6/2010
4/7/2010
4/8/2010
4/9/2010
4/12/2010
4/13/2010
4/14/2010
4/15/2010
4/16/2010
4/19/2010
4/20/2010
4/21/2010
4/22/2010
4/23/2010
4/26/2010
4/27/2010
4/28/2010
4/29/2010
4/30/2010
5/3/2010
5/4/2010
5/5/2010
5/6/2010
5/7/2010
5/10/2010
5/11/2010
5/12/2010

51.5
51.39
51.88
51.64
52.09
52.29
52.2
52.63
52.56
52.11
52.4
52.29
52.38
53
52.99
52.43
52.76
53
53.01
52.91
53.64
53.35
52.88
52.77
52.69
52.83
52.45
53.03
53.38
52.39
52.42
52.02
51.13
51.86
49.82
50.11
47.55
45.97
48.31
47.64
48.76

20.97
21.19
21.15
20.95
21.19
21.6
21.37
21.29
21.19
21.28
21.28
21.24
21.33
21.52
21.34
21.39
21.26
21.48
21.48
21.69
22.41
23.08
22.79
22.87
22.98
22.68
22.86
22.9
22.69
22.25
22.16
22.38
21.76
22.16
21.49
21.27
20.64
20.45
21.64
21.38
22.15

28.37
28.62
28.6
28.58
28.59
28.86
28.64
28.99
28.65
28.58
28.76
28.29
28.17
28.27
28.32
28.35
28.9
29.31
29.29
29.41
29.77
29.82
29.63
29.98
30.29
30.26
30.32
29.91
30.05
29.8
29.86
29.94
29.5
29.81
29.1
28.83
27.99
27.25
27.95
27.9
28.44

23.26
23.31
23.45
23.62
23.76
23.89
23.63
23.53
23.62
23.86
23.35
23.26
23.5
23.68
23.68
23.46
23.8
24.18
24.13
23.96
24
24
23.71
24.13
24.38
24.09
24.03
24.01
24.03
23.73
23.7
23.91
23.83
24.03
23.69
23.57
22.99
22.96
23.48
23.45
23.61
46

10685.98
10733.67
10779.17
10741.98
10785.89
10888.83
10836.15
10841.21
10850.36
10895.86
10907.42
10856.63
10927.07
10973.55
10969.99
10897.52
10927.07
10997.35
11005.97
11019.42
11123.11
11144.57
11018.66
11092.05
11117.06
11124.92
11134.29
11204.28
11205.03
10991.99
11045.27
11167.32
11008.61
11151.83
10926.77
10868.12
10520.32
10380.43
10785.14
10748.26
10896.91

0.00001167
0.00001139
0.00001111
0.00001222
0.00001222
0.00001194
0.00001167
0.00001222
0.00001139
0.00001167
0.00001278
0.00001333
0.00001361
0.00001306
0.00001278
0.00001278
0.00001278
0.00001250
0.00001250
0.00001194
0.00001139
0.00001194
0.00001167
0.00001222
0.00001250
0.00001278
0.00001306
0.00001167
0.00001194
0.00001167
0.00001139
0.00001194
0.00001194
0.00001083
0.00000944
0.00001056
0.00001083
0.00001056
0.00001111
0.00001111
0.00000944

5/13/2010
5/14/2010
5/17/2010
5/18/2010
5/19/2010
5/20/2010
5/21/2010
5/24/2010
5/25/2010
5/26/2010
5/27/2010
5/28/2010
6/1/2010
6/2/2010
6/3/2010
6/4/2010
6/7/2010
6/8/2010
6/9/2010
6/10/2010
6/11/2010
6/14/2010
6/15/2010
6/16/2010
6/17/2010
6/18/2010
6/21/2010
6/22/2010
6/23/2010
6/24/2010
6/25/2010
6/28/2010
6/29/2010
6/30/2010
7/1/2010
7/2/2010
7/6/2010
7/7/2010
7/8/2010
7/9/2010
7/12/2010

47.93
46.66
46.75
46.03
46.24
45.21
45.83
44.95
45.11
44.98
46.18
45.27
44.84
46.51
46.71
45.31
44.51
45.14
44.68
45.75
46.43
46.2
47.28
47.31
47.54
47.28
46.82
46.09
46.21
45.22
45.25
45.4
43.66
42.65
42.27
42.19
42.54
44.31
44.82
44.59
45.02

21.59
21
21.13
20.56
20.72
19.95
20.06
19.83
20.01
19.86
20.88
20.55
20.32
20.93
21.01
20.1
19.49
19.36
19.12
19.72
19.8
20.04
20.61
20.62
20.65
20.53
20.33
20.13
19.97
19.5
19.22
19.53
18.99
18.66
18.47
18.42
18.69
19.32
19.29
19.42
19.74

28.24
27.94
27.95
27.75
27.4
26.3
26.04
25.49
25.3
24.27
25.23
25.03
25.12
25.67
26.06
25.02
24.54
24.36
24.05
24.26
24.9
24.74
25.79
25.54
25.59
25.65
25.18
25
24.56
24.26
23.8
23.59
22.62
22.33
22.47
22.58
23.11
23.58
23.68
23.55
24.09

23.54
23.23
23.57
23.4
23.39
22.83
22.73
22.34
22.24
22.07
22.53
22.22
22.25
22.66
22.68
22.1
22.24
22.84
22.77
23.27
23.13
23.02
23.36
23.34
23.39
23.26
23.27
23.19
23.27
22.91
22.67
22.82
22.37
22.12
22.26
22.21
22.32
22.64
22.86
23.11
23.12
47

10782.95
10620.16
10625.83
10510.95
10444.37
10068.01
10193.39
10066.57
10043.75
9974.45
10258.99
10136.63
10024.02
10249.54
10255.28
9931.97
9816.49
9939.98
9899.25
10172.53
10211.07
10190.89
10404.77
10409.46
10434.17
10450.64
10442.41
10293.52
10298.44
10152.8
10143.81
10138.52
9870.3
9774.02
9732.53
9686.48
9743.62
10018.28
10138.99
10198.03
10216.27

0.00001000
0.00000972
0.00000972
0.00000944
0.00000972
0.00000972
0.00001000
0.00001028
0.00001028
0.00000944
0.00000972
0.00001056
0.00001056
0.00000944
0.00000972
0.00000944
0.00000917
0.00000944
0.00000833
0.00000861
0.00000861
0.00000833
0.00000778
0.00000833
0.00000806
0.00000806
0.00000833
0.00000806
0.00000806
0.00000833
0.00000861
0.00000889
0.00000889
0.00000861
0.00000889
0.00000861
0.00000833
0.00000833
0.00000833
0.00000833
0.00000750

7/13/2010
7/14/2010
7/15/2010
7/16/2010
7/19/2010
7/20/2010
7/21/2010
7/22/2010
7/23/2010
7/26/2010
7/27/2010
7/28/2010
7/29/2010
7/30/2010
8/2/2010
8/3/2010
8/4/2010
8/5/2010
8/6/2010
8/9/2010
8/10/2010
8/11/2010
8/12/2010
8/13/2010
8/16/2010
8/17/2010
8/18/2010
8/19/2010
8/20/2010
8/23/2010
8/24/2010
8/25/2010
8/26/2010
8/27/2010
8/30/2010
8/31/2010
9/1/2010
9/2/2010
9/3/2010
9/7/2010
9/8/2010

46.09
46.65
46.73
45.53
46
45.93
44.82
45.4
45.48
45.89
46.88
46.45
45.74
45.37
46.87
46.67
46.09
45.68
41.24
41.98
41.72
40.18
39.56
39.86
39.96
40.23
40.76
40.17
39.27
38.47
37.83
37.69
37.67
37.45
38
37.89
38.64
39.1
39.75
39.34
38.25

20.16
20.49
20.64
20.17
20.72
20.77
20.4
20.9
20.81
20.83
20.71
20.47
20.18
19.77
20.29
20.02
20.04
19.98
19.96
19.96
19.16
18.78
18.8
18.51
18.82
18.88
18.94
18.27
18.28
18.08
17.8
17.87
17.58
17.76
17.36
17.08
17.54
17.67
17.82
17.52
17.31

24.38
24.68
24.75
24.15
24.48
24.72
24.37
25.07
25.04
25.32
25.38
25.18
25.26
25.04
25.55
25.38
24.97
24.62
24.79
24.85
24.33
24.12
23.76
23.67
23.77
24.1
24.21
23.84
23.64
23.68
23.45
23.51
23.24
23.34
23.06
22.89
23.31
23.35
23.69
23.37
23.34

23.22
23.23
23.26
22.98
23.15
23.07
23.19
23.74
23.77
24.16
24.33
24.38
24.21
24.14
24.74
24.84
24.79
24.88
24.7
25
25.13
24.71
24.81
24.86
24.8
25.1
25.39
25.1
24.61
24.65
24.86
25.02
24.85
25.07
24.78
25.15
25.45
25.5
25.53
25.38
25.49
48

10363.02
10366.72
10359.31
10097.9
10154.43
10229.96
10120.53
10322.3
10424.62
10525.43
10537.69
10497.88
10467.16
10465.94
10674.38
10636.38
10680.43
10674.98
10653.56
10698.75
10644.25
10378.83
10319.95
10303.15
10302.01
10405.85
10415.54
10271.21
10213.62
10174.41
10040.45
10060.06
9985.81
10150.65
10009.73
10014.72
10269.47
10320.1
10447.93
10340.69
10387.01

0.00000750
0.00000778
0.00000778
0.00000750
0.00000750
0.00000750
0.00000750
0.00000806
0.00000833
0.00000833
0.00000833
0.00000806
0.00000778
0.00000750
0.00000778
0.00000750
0.00000694
0.00000722
0.00000694
0.00000694
0.00000694
0.00000722
0.00000694
0.00000722
0.00000694
0.00000694
0.00000722
0.00000694
0.00000750
0.00000722
0.00000694
0.00000750
0.00000722
0.00000694
0.00000694
0.00000694
0.00000694
0.00000694
0.00000667
0.00000722
0.00000750

9/9/2010
9/10/2010
9/13/2010
9/14/2010
9/15/2010
9/16/2010
9/17/2010
9/20/2010
9/21/2010
9/22/2010
9/23/2010
9/24/2010
9/27/2010
9/28/2010
9/29/2010
9/30/2010
10/1/2010
10/4/2010
10/5/2010
10/6/2010
10/7/2010
10/8/2010
10/11/2010
10/12/2010
10/13/2010
10/14/2010
10/15/2010
10/18/2010
10/19/2010
10/20/2010
10/21/2010
10/22/2010
10/25/2010
10/26/2010
10/27/2010
10/28/2010
10/29/2010
11/1/2010
11/2/2010
11/3/2010
11/4/2010

38.26
37.72
37.8
38.8
39.13
39.85
38.65
38.9
39.42
39.06
39.65
40.47
40.75
41.1
42
41.55
40.26
40.13
40.3
40.23
40.3
40.64
40.69
40.84
41.68
41.61
42.29
42.78
42.3
42.29
41.87
42.34
42.35
42.42
41.86
42.13
41.52
41.96
42.38
43.26
43.52

17.4
17.37
17.94
18.12
18.1
18.34
18.19
18.3
18.5
18.38
18.35
18.78
18.6
18.86
18.6
18.56
18.68
18.24
18.51
18.67
18.76
18.87
18.91
19.11
18.6
18.68
18.68
18.55
18.57
18.99
19.1
19.18
19.21
19.37
19.52
19.79
19.38
19.89
19.66
19.96
20.43

23.42
23.26
24.49
24.42
24.5
24.71
24.6
24.81
24.53
24.01
23.83
24.17
24.12
24.07
23.9
23.89
23.78
23.32
23.75
23.83
23.93
23.97
23.99
24.22
24.72
24.61
24.91
25.19
24.48
24.69
24.8
24.76
24.57
25.26
25.41
25.64
26.02
26.29
26.72
26.37
26.47

25.88
25.9
25.99
25.99
26.07
26.16
26.21
26.56
26.62
26.61
26.53
26.6
26.87
26.91
26.72
26.61
26.81
26.86
27.32
27.02
26.67
26.64
26.74
26.8
26.88
26.91
26.75
27.02
26.63
27.01
26.76
26.71
26.77
26.73
26.76
26.91
26.93
27.11
27.32
27.43
27.79
49

10415.24
10462.77
10544.13
10526.49
10572.73
10594.83
10607.85
10753.62
10761.03
10739.31
10662.42
10860.26
10812.04
10858.14
10835.28
10788.05
10829.68
10751.27
10944.72
10967.65
10948.58
11006.48
11010.34
11020.4
11096.08
11096.92
11062.78
11143.69
10978.62
11107.97
11146.57
11132.56
11164.05
11169.46
11126.28
11113.95
11118.4
11124.62
11188.72
11215.13
11434.84

0.00000722
0.00000722
0.00000722
0.00000694
0.00000722
0.00000722
0.00000722
0.00000694
0.00000694
0.00000694
0.00000722
0.00000722
0.00000750
0.00000750
0.00000722
0.00000722
0.00000694
0.00000667
0.00000639
0.00000583
0.00000583
0.00000583
0.00000611
0.00000611
0.00000611
0.00000639
0.00000611
0.00000611
0.00000611
0.00000583
0.00000639
0.00000639
0.00000639
0.00000639
0.00000611
0.00000611
0.00000611
0.00000611
0.00000583
0.00000611
0.00000611

11/5/2010
11/8/2010
11/9/2010
11/10/2010
11/11/2010
11/12/2010
11/15/2010
11/16/2010
11/17/2010
11/18/2010
11/19/2010
11/22/2010
11/23/2010
11/24/2010
11/26/2010
11/29/2010
11/30/2010
12/1/2010
12/2/2010
12/3/2010
12/6/2010
12/7/2010
12/8/2010
12/9/2010
12/10/2010
12/13/2010
12/14/2010
12/15/2010
12/16/2010
12/17/2010
12/20/2010
12/21/2010
12/22/2010
12/23/2010
12/27/2010
12/28/2010
12/29/2010
12/30/2010
12/31/2010
1/3/2011
1/4/2011

43.18
43.7
43.57
43.61
42.56
41.68
42.01
41.28
40.46
41.17
41.96
42.71
43.64
43.2
42.66
42.07
41.41
42.04
42.57
42.49
42.32
41.67
42.13
42.01
42.09
41.21
41.1
40.79
41.51
41.52
41.45
41.47
41.04
41.3
41.38
41.8
41.87
41.81
41.65
42.29
43.17

20.7
20.69
20.62
20.5
20.67
20.98
20.75
20.53
20.54
20.48
20.6
20.71
20.55
20.84
20.79
20.78
20.62
20.93
21.14
21.13
21.14
21.03
21.26
21.25
21.35
20.95
20.92
20.73
20.75
20.91
20.69
20.56
20.35
20.31
20.31
20.34
20.4
20.48
20.49
20.32
20.61

26.19
26.15
26.29
26.28
26.03
25.63
25.56
25.33
25.1
25.36
25.21
25.25
24.65
24.9
24.78
24.84
24.79
25.56
26.39
26.52
26.34
26.37
26.73
26.58
26.83
26.74
27.11
27.33
27.47
27.38
27.29
27.55
27.67
27.78
27.55
27.49
27.45
27.33
27.39
27.46
27.57

27.63
27.55
27.55
27.43
27.22
26.87
27.03
26.66
26.4
26.85
26.74
26.71
26.46
26.57
26.37
26.15
26.24
26.7
26.95
26.9
26.72
26.94
27.03
27.21
27.27
27.17
27.7
27.5
27.6
27.58
27.5
27.44
27.5
27.57
27.61
27.6
27.67
27.69
27.74
28.01
28.21
50

11444.08
11406.84
11346.75
11357.04
11283.1
11192.58
11201.97
11023.5
11007.88
11181.23
11203.55
11178.58
11036.37
11187.28
11092
11052.49
11006.02
11255.78
11362.41
11382.09
11362.19
11359.16
11372.48
11370.06
11410.32
11428.56
11476.54
11457.47
11499.25
11491.91
11478.13
11533.16
11559.49
11573.49
11555.03
11575.54
11585.38
11569.71
11577.51
11670.75
11691.18

0.00000667
0.00000667
0.00000750
0.00000806
0.00000750
0.00000722
0.00000722
0.00000750
0.00000722
0.00000722
0.00000778
0.00000778
0.00000778
0.00000750
0.00000778
0.00000806
0.00000722
0.00000722
0.00000778
0.00000833
0.00000833
0.00000806
0.00000806
0.00000833
0.00000833
0.00000861
0.00000833
0.00000833
0.00000833
0.00000833
0.00000833
0.00000889
0.00000861
0.00000833
0.00000806
0.00000806
0.00000806
0.00000778
0.00000861
0.00000833
0.00000806

1/5/2011
1/6/2011
1/7/2011
1/10/2011
1/11/2011
1/12/2011
1/13/2011
1/14/2011
1/18/2011
1/19/2011
1/20/2011
1/21/2011
1/24/2011
1/25/2011
1/26/2011
1/27/2011
1/28/2011
1/31/2011
2/1/2011
2/2/2011
2/3/2011
2/4/2011
2/7/2011
2/8/2011
2/9/2011
2/10/2011
2/11/2011
2/14/2011
2/15/2011
2/16/2011
2/17/2011
2/18/2011
2/22/2011
2/23/2011
2/24/2011
2/25/2011
2/28/2011
3/1/2011
3/2/2011
3/3/2011
3/4/2011

43.73
44.4
44.61
44.39
44.95
45.16
45.17
45.76
45.85
45.83
46.28
46.73
47.05
46.58
46.38
46.25
45.03
45.21
46.03
46.39
46.82
46.93
47.63
47.63
48.42
48.03
48.13
47.8
47.48
48.47
48.11
48.15
47.72
43.13
41.72
42.23
43.17
42.46
42.78
42.74
42.16

20.4
20.24
20.13
20.16
20.51
20.75
20.74
20.54
20.54
20.47
20.41
20.29
20.7
21
21.19
21.19
20.91
20.91
20.93
21.01
21.2
21.3
21.31
21.26
21.09
21.42
21.38
21.2
21.08
21.37
21.59
21.76
21.43
20.78
20.92
21.48
21.1
21.02
21.12
21.41
21.19

27.48
28.29
28.07
27.7
27.59
28.02
27.67
27.78
28.13
27.94
27.82
27.5
27.85
27.92
28.25
28.33
27.24
27.22
27.47
27.42
27.14
27.26
27.68
27.76
27.45
26.99
26.74
26.73
26.62
26.68
26.86
26.72
26.25
26.25
26.43
26.21
26.24
25.83
25.75
25.87
25.62

28.3
27.92
27.63
27.14
26.73
26.86
26.9
27.23
27.13
27.13
27.04
27.13
27.28
27.55
27.52
26.94
26.33
26.36
26.69
26.5
26.81
26.79
26.78
26.73
26.79
27.05
27.27
27.26
27.05
27.11
27.3
27.36
27.01
26.85
26.74
26.94
27.18
26.9
26.98
26.94
26.74
51

11722.89
11697.31
11674.76
11637.45
11671.88
11755.44
11731.9
11787.38
11837.93
11825.29
11822.8
11871.84
11980.52
11977.19
11985.44
11989.83
11823.7
11891.93
12040.16
12041.97
12062.26
12092.15
12161.63
12233.15
12239.89
12229.29
12273.26
12268.19
12226.64
12288.17
12318.14
12391.25
12212.79
12105.78
12068.5
12130.45
12226.34
12058.02
12066.8
12258.2
12169.88

0.00000806
0.00000778
0.00000722
0.00000722
0.00000750
0.00000722
0.00000750
0.00000750
0.00000750
0.00000778
0.00000750
0.00000750
0.00000694
0.00000667
0.00000722
0.00000750
0.00000778
0.00000806
0.00000861
0.00000861
0.00000861
0.00000833
0.00000833
0.00000833
0.00000833
0.00000833
0.00000806
0.00000750
0.00000778
0.00000778
0.00000750
0.00000722
0.00000750
0.00000694
0.00000694
0.00000722
0.00000806
0.00000722
0.00000694
0.00000722
0.00000722

3/7/2011
3/8/2011
3/9/2011
3/10/2011
3/11/2011
3/14/2011
3/15/2011
3/16/2011
3/17/2011
3/18/2011
3/21/2011
3/22/2011
3/23/2011
3/24/2011
3/25/2011
3/28/2011
3/29/2011
3/30/2011
3/31/2011
4/1/2011
4/4/2011
4/5/2011
4/6/2011
4/7/2011
4/8/2011
4/11/2011
4/12/2011
4/13/2011
4/14/2011
4/15/2011
4/18/2011
4/19/2011
4/20/2011
4/21/2011
4/25/2011
4/26/2011
4/27/2011
4/28/2011
4/29/2011
5/2/2011
5/3/2011

41.54
41.95
41.6
41.04
41.29
41.13
40.57
39.79
41.07
40.96
41.41
41.38
41.7
42.73
42.16
41.77
40.75
40.94
40.61
40.62
39.99
39.94
40.82
40.72
40.35
40.69
40.72
40.77
40.01
39.91
39.4
39.64
40.53
40.63
40.18
40.34
40.68
40.18
40.02
39.73
39.98

20.84
20.76
20.83
20.43
20.51
20.48
19.83
19.47
19.55
19.58
19.84
19.8
19.94
20.03
20.02
19.99
19.93
20.1
19.83
19.38
19.15
19.37
19.6
19.68
19.67
19.77
19.42
19.44
19.24
19.41
19.28
19.51
21.04
21.09
21.56
22.09
22.24
22.4
22.75
22.51
22.83

25.39
25.58
25.56
25.09
25.35
25.36
25.07
24.47
24.46
24.48
25.01
24.98
25.21
25.48
25.29
25.09
25.17
25.28
25.07
25.16
25.22
25.45
25.82
25.87
25.74
25.65
25.31
25.3
25.1
25.05
24.76
24.83
25.43
25.19
25.28
25.86
26.04
26.37
25.59
25.33
25.48

26.72
27.25
27.58
27.4
27.26
27
26.64
26.18
26.57
26.76
27.07
26.91
26.95
27.34
27.63
28.12
28.78
29.41
29.32
29.33
29.47
29.4
29.6
29.67
29.83
29.78
29.6
29.32
29.42
29.77
29.44
29.44
29.27
29.8
29.68
30.06
30.52
30.47
30.23
30.32
30.95
52

12090.03
12214.38
12213.09
11984.61
12044.4
11993.16
11855.42
11613.3
11774.59
11858.52
12036.53
12018.63
12086.02
12170.56
12220.59
12197.88
12279.01
12350.61
12319.73
12376.72
12400.03
12393.9
12426.75
12409.49
12380.05
12381.11
12263.58
12270.99
12285.15
12341.83
12201.59
12266.75
12453.54
12505.99
12479.88
12595.37
12690.96
12763.31
12810.54
12807.36
12807.51

0.00000694
0.00000667
0.00000611
0.00000639
0.00000583
0.00000667
0.00000639
0.00000694
0.00000694
0.00000667
0.00000722
0.00000833
0.00000833
0.00000861
0.00000833
0.00000833
0.00000750
0.00000667
0.00000833
0.00000806
0.00000750
0.00000750
0.00000722
0.00000667
0.00000639
0.00000694
0.00000667
0.00000667
0.00000667
0.00000667
0.00000639
0.00000639
0.00000611
0.00000611
0.00000639
0.00000611
0.00000611
0.00000556
0.00000528
0.00000556
0.00000500

5/4/2011
5/5/2011
5/6/2011
5/9/2011
5/10/2011
5/11/2011
5/12/2011
5/13/2011
5/16/2011
5/17/2011
5/18/2011
5/19/2011
5/20/2011
5/23/2011
5/24/2011
5/25/2011
5/26/2011
5/27/2011
5/31/2011
6/1/2011
6/2/2011
6/3/2011
6/6/2011
6/7/2011
6/8/2011
6/9/2011
6/10/2011
6/13/2011
6/14/2011
6/15/2011
6/16/2011
6/17/2011
6/20/2011
6/21/2011
6/22/2011
6/23/2011
6/24/2011
6/27/2011
6/28/2011
6/29/2011
6/30/2011

40.58
40.45
40.46
40.66
41.21
40.7
40.52
40.06
39.45
36.59
36.17
35.82
35.67
35.5
35.66
35.7
36.23
36.64
37.06
36.31
36.11
35.8
35.65
35.26
35.05
35.15
34.94
34.47
34.55
34.08
34.78
34.81
34.8
35.11
34.93
35.04
34.72
34.79
34.9
35.36
36.21

23.27
23.38
23.03
22.54
22.81
23.18
23.48
23.18
23.41
23.32
23.65
23.31
23
22.64
22.39
22.46
22.28
22
22.29
21.79
21.88
21.52
21.62
21.85
21.61
21.55
21.17
21.18
21.61
21.21
21.21
20.99
21.12
21.44
21.19
21.5
21
21.13
21.28
21.18
21.95

25.73
25.46
25.54
25.5
25.34
25.04
25
24.71
24.26
24.37
24.54
24.56
24.34
24.02
24
24.04
24.52
24.6
24.85
24.28
24.07
23.76
23.86
23.91
23.79
23.81
23.56
23.89
24.07
23.59
23.85
24.11
24.32
24.6
24.5
24.48
24.15
25.04
25.64
25.46
25.84

30.88
30.33
30.37
30.45
30.78
30.48
30.74
30.51
30.17
30.23
30.31
30.5
30.42
30.19
30.27
30.11
30.22
30.4
30.66
30.28
30.08
29.77
29.49
29.44
29.47
29.46
29.47
29.68
29.91
29.48
29.56
29.89
30.08
30.22
30
29.84
29.57
29.88
30.13
30.37
30.51
53

12723.58
12584.17
12638.74
12684.68
12760.36
12630.03
12695.92
12595.75
12548.37
12479.58
12560.18
12605.32
12512.04
12381.26
12356.21
12394.66
12402.76
12441.58
12569.79
12290.14
12248.55
12151.26
12089.96
12070.81
12048.94
12124.36
11951.91
11952.97
12076.11
11897.27
11961.52
12004.36
12080.38
12190.01
12109.67
12050
11934.58
12043.56
12188.69
12261.42
12414.34

0.00000472
0.00000528
0.00000500
0.00000500
0.00000528
0.00000500
0.00000528
0.00000528
0.00000528
0.00000500
0.00000556
0.00000556
0.00000500
0.00000500
0.00000500
0.00000500
0.00000500
0.00000528
0.00000500
0.00000500
0.00000500
0.00000500
0.00000528
0.00000528
0.00000500
0.00000528
0.00000528
0.00000500
0.00000472
0.00000500
0.00000500
0.00000444
0.00000417
0.00000444
0.00000500
0.00000583
0.00000528
0.00000528
0.00000556
0.00000528
0.00000528

7/1/2011
7/5/2011
7/6/2011
7/7/2011
7/8/2011
7/11/2011
7/12/2011
7/13/2011
7/14/2011
7/15/2011
7/18/2011
7/19/2011
7/20/2011
7/21/2011
7/22/2011
7/25/2011
7/26/2011
7/27/2011
7/28/2011
7/29/2011
8/1/2011
8/2/2011
8/3/2011
8/4/2011
8/5/2011
8/8/2011
8/9/2011
8/10/2011
8/11/2011
8/12/2011
8/15/2011
8/16/2011
8/17/2011
8/18/2011
8/19/2011
8/22/2011
8/23/2011
8/24/2011
8/25/2011
8/26/2011
8/29/2011

36.85
36.28
36.01
36.26
36.24
35.1
35.08
35.25
34.94
34.9
34.83
35.42
35.09
36.04
36.51
36.89
37.27
36.61
36.04
34.98
35.01
34.17
34.1
32.37
32.46
30.65
31.36
29.7
30.89
32.15
32.26
32.44
31.22
29.35
23.47
24.32
24.41
25.08
24.9
24.69
25.98

22.31
22.22
22.53
23.01
22.87
22.63
22.23
22.26
22.05
22.15
22.06
22.84
22.77
22.59
22.91
22.81
22.68
22.31
22.33
22.11
22.02
21.51
21.81
20.85
20.79
20.11
20.6
19.93
20.76
20.65
20.89
20.79
20.67
19.77
19.19
19.38
19.71
19.8
19.42
19.77
20.3

25.86
25.87
26.16
26.6
26.75
26.46
26.37
26.46
26.3
26.61
26.42
27.37
26.89
26.93
27.36
27.73
27.9
27.16
27.55
27.23
27.1
26.63
26.75
25.78
25.52
24.33
25.42
24.05
25.03
24.94
25.35
25.35
25.25
24.67
24.05
23.98
24.72
24.9
24.57
25.25
25.84

30.77
30.73
30.76
30.76
30.67
30.33
30.3
30.35
30.12
29.85
29.66
29.87
29.77
29.82
29.86
29.46
29.49
29.5
28.82
28.82
29.07
28.74
29.05
28.34
28.49
27.28
28.41
27.46
28.01
27.79
28.37
28.35
28.73
28.03
27.56
28.02
28.54
28.98
28.62
28.6
28.82
54

12582.77
12569.87
12626.02
12719.49
12657.2
12505.76
12446.88
12491.61
12437.12
12479.73
12385.16
12587.42
12571.91
12724.41
12681.16
12592.8
12501.3
12302.55
12240.11
12143.24
12132.49
11866.62
11896.44
11383.68
11444.61
10809.85
11239.77
10719.94
11143.31
11269.02
11482.9
11405.93
11410.21
10990.58
10817.65
10854.65
11176.76
11320.71
11149.82
11284.54
11539.25

0.00000556
0.00000472
0.00000472
0.00000500
0.00000444
0.00000417
0.00000417
0.00000417
0.00000472
0.00000528
0.00000556
0.00000556
0.00000556
0.00000583
0.00000583
0.00000583
0.00000556
0.00000611
0.00000472
0.00000444
0.00000333
0.00000306
0.00000333
0.00000306
0.00000250
0.00000278
0.00000306
0.00000333
0.00000333
0.00000333
0.00000278
0.00000278
0.00000250
0.00000278
0.00000306
0.00000278
0.00000250
0.00000250
0.00000250
0.00000278
0.00000278

8/30/2011
8/31/2011
9/1/2011
9/2/2011
9/6/2011
9/7/2011
9/8/2011
9/9/2011
9/12/2011
9/13/2011
9/14/2011
9/15/2011
9/16/2011
9/19/2011
9/20/2011
9/21/2011
9/22/2011
9/23/2011
9/26/2011
9/27/2011
9/28/2011
9/29/2011
9/30/2011
10/3/2011
10/4/2011
10/5/2011
10/6/2011
10/7/2011
10/10/2011
10/11/2011
10/12/2011
10/13/2011
10/14/2011
10/17/2011
10/18/2011
10/19/2011
10/20/2011

25.91
25.89
25.53
24.21
23.5
24.01
23.74
22.53
22.58
22.7
22.93
23.27
23.53
22.91
22.47
23.98
22.8
22.32
22.71
23.59
23.19
23.78
22.45
22.2
23.02
23.86
25.05
24.88
25.74
25.92
25.87
25.63
26.11
24.86
25.61
24.98
24.74

20.24
20.13
19.99
19.64
19.54
20.08
19.9
19.7
20.28
20.76
21.12
21.54
21.97
21.93
22.2
21.94
21.62
22.16
22.24
22.54
22.31
22.21
21.34
20.62
21.22
21.85
22.03
22.29
22.88
22.99
23.12
23.39
23.5
23.28
23.4
24.24
23.61

26.23
26.6
26.21
25.8
25.51
26
26.22
25.74
25.89
26.04
26.5
26.99
27.12
27.21
26.98
25.99
25.06
25.06
25.44
25.67
25.58
25.45
24.89
24.53
25.34
25.89
26.34
26.25
26.94
27
26.96
27.18
27.27
26.98
27.31
27.13
27.04

29.17
28.05
27.84
27.62
27.41
27.7
27.54
27.12
27.46
27.69
27.83
28.11
28.5
28.15
28.41
27.87
27.33
27.43
27.91
28.23
28.12
28.4
28.09
27.73
27.88
28.31
28.41
28.44
29.17
28.77
28.99
29.1
29.17
29.02
29.21
29.09
28.99

55

11559.95
11613.53
11493.57
11240.26
11139.3
11414.86
11295.81
10992.13
11061.12
11105.85
11246.73
11433.18
11509.09
11401.01
11408.66
11124.84
10733.83
10771.48
11043.86
11190.69
11010.9
11153.98
10913.38
10655.3
10808.71
10939.95
11123.33
11103.12
11433.18
11416.3
11518.85
11478.13
11644.49
11397
11577.05
11504.62
11541.78

0.00000278
0.00000361
0.00000306
0.00000333
0.00000306
0.00000306
0.00000278
0.00000250
0.00000278
0.00000250
0.00000222
0.00000250
0.00000306
0.00000278
0.00000278
0.00000278
0.00000278
0.00000333
0.00000306
0.00000361
0.00000333
0.00000306
0.00000278
0.00000250
0.00000306
0.00000333
0.00000250
0.00000306
0.00000306
0.00000333
0.00000333
0.00000306
0.00000333
0.00000333
0.00000333
0.00000333
0.00000333

Tabelul cu rentabiliti
R_HPQ
-0.07225
-0.07409
-0.059
-0.02142
-0.03901
0.125413
0.008798
0.064826
0.015561
0.008602
-0.00933
-0.05219
-0.0721
0.029979
-0.01366
-0.0268
-0.06374
0.018506
-0.03958
-0.03649
0.144811
-0.01685
-0.03614
0.088235
0.030591
-0.05879
0.047765
0.002046
-0.0522
0.024923
0.015911
-0.04108
0.004314
0.050629
-0.02044
0.016995
-0.00909

R_INTC
-0.04886
-0.04414
-0.00454
-0.01597
-0.00232
0.113091
-0.05776
0.081979
-0.00819
-0.02478
0.03952
-0.06585
-0.07849
0.054416
-0.0187
-0.02973
-0.02907
0.067152
-0.07733
-0.02383
0.008418
-0.04674
-0.02102
0.071556
0.034224
-0.03148
0.064167
-0.01253
-0.08961
0.057491
0.02883
-0.06565
0.041131
0.04856
0.025903
-0.0023
-0.01764

R_MSFT
-0.05505
-0.07844
0.036834
-0.01632
-0.03563
0.090587
-0.00418
-0.01584
-0.01326
0.012956
0.040265
-0.06193
-0.05437
0.029774
-0.00947
-0.00453
-0.04247
0.04699
-0.05598
-0.03686
0.022185
-0.06782
-0.04133
0.122647
0.051379
-0.03395
0.025027
-0.01351
-0.07952
0.029176
0.037799
-0.03856
0.040111
0.057311
-0.01976
0.000517
-0.0563

R_ATT
-0.04626
-0.07603
0.06209
-0.02281
-0.01167
0.13189
-0.02565
0.007586
-0.0124
0.039013
0.052654
-0.07257
-0.04288
0.038799
0.017341
-0.00481
-0.04216
0.094911
-0.03559
-0.0317
-0.00762
-0.05016
-0.02854
0.027914
0.069081
0.012923
0.040475
0.00592
-0.05591
0.040071
0.037243
-0.03137
-0.00085
0.065245
-0.02762
-0.03705
-0.0047

R_DJI
-0.02377
-0.05815
0.020194
-0.03593
-0.02425
0.108779
-0.00818
0.021102
0.01572
-0.00056
0.032774
-0.05049
-0.04852
0.028522
-0.00819
-0.01991
-0.04731
0.066716
-0.03825
-0.02633
0.018271
-0.05074
-0.05564
0.065428
0.049335
0.004273
0.029146
0.011738
-0.07701
0.033133
0.020501
-0.02508
0.030942
0.034597
-0.02718
0.008064
-0.02241
56

R_Rf
0.029586
-0.05747
-0.01829
-0.00621
-0.01875
-0.02548
-0.07843
-0.03546
-0.01471
-0.02239
-0.0229
-0.04687
-0.04098
0.025641
-0.03333
-0.11207
0.126214
-0.01724
-0.05263
-0.02778
-0.07619
-0.10309
-0.04598
0.144578
0
-0.02105
-0.03226
-0.1
-0.04938
-0.09091
-0.12857
-0.11475
-0.01852
-0.07547
0
0.040816
-0.01961

Primarisc
-0.05335
-0.00068
0.038487
-0.02972
-0.0055
0.134256
0.070251
0.056563
0.030426
0.021833
0.055675
-0.00362
-0.00754
0.002881
0.025141
0.092163
-0.17352
0.083958
0.014383
0.001448
0.094462
0.052353
-0.00967
-0.07915
0.049335
0.025326
0.061404
0.111738
-0.02763
0.124042
0.149072
0.089678
0.049461
0.110069
-0.02718
-0.03275
-0.0028

0.03432
-0.02975
0.043042
0.003957
-0.03012
0.000871
-0.01827
-0.00591
0.003863
0.008289
0.017616
0.017023
0.002837
0.014144
-0.01283
0.081944
-0.03735
-0.00543
-0.00382
-0.01369
-0.03109
-0.01232
0.010154
-0.02728
-0.04133
0.05328
0.010819
0.008389
-0.00602
0.008947
0.042334
-0.03952
-0.03286
-0.00266
0.041469
-0.00171
-0.02621
0.050029
-0.01393
-0.0308
-0.00379

0.052303
-0.01039
0.071964
-0.02448
-0.06595
0.013047
-0.00682
-0.01907
0.011664
-0.00384
-0.00386
0.040279
-0.00223
0.036567
-0.01872
0.030814
-0.0605
0.007576
-0.02782
-0.02552
-0.00873
-0.04243
0.015886
0.033745
-0.06449
0.031489
-0.033
0.023038
0.020017
0.031889
0.015055
-0.04606
-0.03519
0.056828
0.007223
0.021514
0.026521
0.033435
0.0125
-0.05592
0

-0.00438
-0.01649
0.055897
-0.02223
-0.01841
-0.00938
0.003341
0.004994
-0.00552
-0.00222
-0.0089
0.020213
0.004953
0.046002
0.009424
0.011411
-0.06
0.031097
-0.02963
-0.00273
0.018043
-0.03706
0.007808
0.024903
-0.06263
0.048963
-0.11752
0.0056
0.024752
0.001812
0.0217
-0.02537
-0.02785
0.042964
0.037612
0.006904
0.022286
0.03242
-0.01137
-0.03286
0.022084

0.008591
-0.03748
0.040708
-0.00383
-0.01451
0.014725
0
-0.01451
0.003898
0.004314
-0.00301
0.013356
0.009354
0.032435
-0.03386
-0.00422
-0.0246
-0.00087
-0.01871
-0.02749
0.001824
-0.0223
-0.01164
0.00471
-0.00844
0.030733
-0.01101
0.024119
0.027174
-0.03351
-0.00091
-0.04612
-0.00383
0.022105
0.008463
-0.02797
0.019664
0.037159
-0.00726
-0.05162
-0.00482

0.007541
-0.00755
0.041988
-0.01118
-0.02486
-0.00301
-0.00693
-0.01176
0.005819
0.005558
-0.00371
0.021742
0.012459
0.029431
-0.00905
0.006949
-0.02722
-0.00311
-0.01639
-0.01456
-0.003
-0.0294
0.001506
0.008369
-0.04011
0.0351
-0.0128
-0.00557
0.004763
0.007233
0.024554
-0.02704
-0.01818
-0.008
0.017832
-0.01506
0.013374
0.026977
-0.00117
-0.04618
0.00642
57

0
-0.1
0
-0.04444
0.023256
-0.09091
0.025
-0.02439
-0.05
-0.05263
-0.05556
0.088235
0.081081
0.075
0.046512
-0.02222
0
-0.02273
0
0
-0.02326
0
0.02381
-0.02326
0.02381
-0.02326
0.095238
0.021739
0
0.021277
0.0625
0
0
0.039216
0
0.018868
0.055556
0.052632
0
0
-0.03333

0.007541
0.09245
0.041988
0.033261
-0.04811
0.087902
-0.03193
0.012629
0.055819
0.05819
0.051842
-0.06649
-0.06862
-0.04557
-0.05557
0.029171
-0.02722
0.019621
-0.01639
-0.01456
0.020257
-0.0294
-0.0223
0.031625
-0.06392
0.058355
-0.10804
-0.02731
0.004763
-0.01404
-0.03795
-0.02704
-0.01818
-0.04722
0.017832
-0.03393
-0.04218
-0.02565
-0.00117
-0.04618
0.039754

0.004682
0.017769
-0.04264
-0.00747
-0.07892
-0.00491
-0.06277
0.011571
0.016984
0.00409
-0.04005
-0.03324
0.003658
0.017128
-0.05482
-0.00379
-0.05099
0.059342
0.057911
0.025403
0.003838
-0.0146
0.025044
-0.02546
0.003884
-0.00844
0.08088
-0.01838
0.013039
0.070297
0.004009
-0.03624
-0.00191
0.025543
0.024595
0.013674
-0.01139
-0.01334
-0.00738
0.041486
0.002378

-0.00538
-0.00851
-0.04836
0.011475
-0.05105
0.007686
-0.05508
0.054709
0.022959
-0.02411
0.001704
-0.03316
-0.00264
0.038801
-0.0348
0.007916
0.011344
0.108714
0.003113
0.040341
0.011931
-0.03021
0.045593
0.022529
-0.00569
-0.03288
0.059128
-0.0335
-0.00361
0.058696
-0.02533
-0.04565
0.021339
0
0.044669
0.015862
-0.00543
-0.02594
-0.01191
0.046809
0

0.002216
-0.00884
-0.04573
0.001753
-0.01167
0.005313
-0.04404
-0.00246
-0.01232
-0.0318
-0.0161
-0.02291
0.006028
0.015313
-0.05311
0.000693
-0.0083
0.087927
0.037845
-0.00556
-0.02113
-0.02413
0.039688
0.003755
0.010599
-0.00432
0.074349
-0.02191
-0.00295
0.053223
-0.03706
-0.03615
0.051422
0.050633
-0.00055
-0.02849
0.000564
0
0.023112
0.024793
-0.00376

-0.00629
-0.0039
-0.0401
-0.01121
0.009789
0.016837
-0.03813
0.025039
0.019847
0.015968
-0.01326
-0.03036
-0.01643
0.014614
-0.01903
0.001049
-0.03824
0.059913
0.014388
0.042553
-0.00292
0.003411
0.041768
0.012587
-0.00368
-0.01063
0.063055
-0.02197
-0.00584
0.006326
-0.01302
-0.0323
0.00141
0.028638
0.023733
0.011146
-0.00882
-0.02491
-0.00547
0.027982
-0.00312

-0.00085
-0.01038
-0.03794
0.000401
-0.01187
-0.01343
-0.03406
0.033193
-0.01089
-0.01221
-0.01659
-0.04242
-0.00551
0.022275
-0.04093
0.004928
-0.01206
0.057956
0.000564
0.034581
0.00752
-0.00097
0.024765
0.012288
-0.01146
-0.01654
0.06835
-0.01487
0.011697
0.022549
-0.01872
-0.03268
0.011553
0.020066
0.027891
0.004952
-0.00521
-0.02336
0.006104
0.031424
-0.00316
58

0.051724
0
0.04918
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