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Calculul rentabilitatii si riscului unei valori mobiliare in functie de evolutia cursului bursier

TITLUL 1

Simbol societate:
Denumire societate:
Data de referinta:
Nr.crt
0
1
2
3
4
5
6
7
8
9
10

TGN
Banca Romana de Dezvoltare
4/5/2014

Data

Pret mediu
Rentabilitate (Ri)
4/5/2014
271.0000
--4/6/2014
273.0000
0.738%
4/7/2014
276.0000
1.099%
4/8/2014
282.0000
2.174%
4/11/2014
285.0000
1.064%
4/12/2014
286.0000
0.351%
4/13/2014
286.0000
0.000%
4/14/2014
286.0000
0.000%
4/15/2014
279.0000
-2.448%
4/18/2014
276.0000
-1.075%
4/19/2014
276.0000
0.000%
Rentabilitatea medie (R)
0.190%

0.190%

Ri - R
--0.548%
0.909%
1.984%
0.874%
0.161%
-0.190%
-0.190%
-2.638%
-1.266%
-0.190%

(Ri - R)^2
--0.000030
0.000083
0.000393
0.000076
0.000003
0.000004
0.000004
0.000696
0.000160
0.000004
0.001452
0.000145 ^2
1.20% - riscul titlului
0.001451767
1.20%

cov(R1, R2)
0.0000268
0.0000748
0.0001288
0.0000563
-0.0000135
0.0000004
0.0000067
0.0000928
0.0001082
0.0000036
0.0000485

cov(R1, R3)
0.0000381
0.0001311
0.0000625
-0.0000856
0.0000081
-0.0000060
-0.0000025
0.0002600
0.0001501
0.0000048
0.0000561

Calculul rentabilitatii si riscului unei valori mobiliare in functie de evolutia cursului bursier

TITLUL 2

Simbol societate:
Denumire societate:
Data de referinta:
Nr.crt
0
1
2
3
4
5
6
7
8
9
10

TEL
03.mar.2009

Data
Pret mediu
Rentabilitate
4/5/2014
29.5500
--4/6/2014
29.7000
0.508%
4/7/2014
29.9500
0.842%
4/8/2014
30.1500
0.668%
4/11/2014
30.3500
0.663%
4/12/2014
30.1000
-0.824%
4/13/2014
30.1000
0.000%
4/14/2014
30.0000
-0.332%
4/15/2014
29.9000
-0.333%
4/18/2014
29.6500
-0.836%
4/19/2014
29.6000
-0.169%
Rentabilitatea medie (R)
0.019%

Ri - R
--0.489%
0.823%
0.649%
0.645%
-0.842%
-0.019%
-0.351%
-0.352%
-0.855%
-0.187%

(Ri - R)^2
--0.000024
0.000068
0.000042
0.000042
0.000071
0.000000
0.000012
0.000012
0.000073
0.000004
0.000348
0.000035 ^2
0.59% - riscul titlului

cov(R2, R3)
0.0000340
0.0001188
0.0000204
-0.0000631
-0.0000424
-0.0000006
-0.0000045
0.0000347
0.0001014
0.0000047
0.0000203

Calculul rentabilitatii si riscului unei valori mobiliare in functie de evolutia cursului bursier

TITLUL 3

Simbol societate:
Denumire societate:
Data de referinta:
Nr.crt

Data
0
1
2
3
4
5
6
7
8
9
10

SNG
4/5/2014

Pret mediu
Rentabilitate (Ri)
4/5/2014
26.5000
--4/6/2014
26.6500
0.566%
4/7/2014
27.0000
1.313%
4/8/2014
27.0500
0.185%
4/11/2014
26.7500
-1.109%
4/12/2014
26.8500
0.374%
4/13/2014
26.9000
0.186%
4/14/2014
26.9000
0.000%
4/15/2014
26.6000
-1.115%
4/18/2014
26.2500
-1.316%
4/19/2014
26.1500
-0.381%
Rentabilitatea medie (R)
-0.130%

Ri - R
--0.696%
1.443%
0.315%
-0.979%
0.503%
0.316%
0.130%
-0.986%
-1.186%
-0.251%

(Ri - R)^2
--0.000048
0.000208
0.000010
0.000096
0.000025
0.000010
0.000002
0.000097
0.000141
0.000006
0.000644
0.000064 ^2
0.80% - riscul titlului

Nume si prenume student

Calculul rentabilitatii si riscului portofoliului format din 3 titluri

Nr.crt.

Titlu
Simbol societate Denumire societate
1 TGN
2 TEL
3 SNG

Rentabilitate Risc
Pondere (Xi)
0.190%
1.205%
10.00%
0.019%
0.590%
20.00%
-0.130%
0.802%
70.00%
100.00%
Rp=
p =

-0.0680%
0.0036%

cov(R1, R2)=
cov(R1, R3)=
cov(R2, R3)=

0.0000485
0.0000561
0.0000203

Indicatori/Companii
TGN
TEL
SNG
BVB
SNN
SIF1
SIF2
SIF4
TLV
SIF 5
FP
BRD
SNP
SIF3
EL

PER

P/BV
6.49
6.04
7.18
20.28
12.01
29.25
6.28
18.64
6.49
26.46
160.2
7.15
6.4

DIVY
0.98
0.77
1.04
2.06
0.21
0.72
0.81
0.65
2.19
1.04
0.89
1.26
0.5
0.66

EPS
7.87
9.52
12
5.4
5.65
6.57
6.93
11.92
0.62
7.74
6.46
4.82
4.74
5.94

P (ULTIMUL PRET
42.68
4.88
3.66
1.55
0.44
0.24
0.23
0.19
0.14
0.14
0.09
0.06
0.03
0.02