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3(5)250$1 (, PORTOFOLIULUI
Capitolul 9
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indice sunt :
• ckWHFRPSRQHQWHDF LXQLFRWDWHYRUILfolosite în formula indicelui
úLFXPWUHEXLe acestea alese ?
• vDILLQGLFHOHUHSUH]HQWDWLYSHQWUXSLD vQDQVDPEOXOHL"
• eVWHLQGLFHOHRPHGLHDULWPHWLF VDXRPHGLHJHRPHWULF "
• sXQWFRPSRQHQWHOHLQGLFHOXLSRQGHUDWHFXSRQGHULHJDOHúLGDF QX
atunci în ce fel vor fi ele ponderate ?
• cât de des este calculat indicele ?
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VFRSXULOHSHQWUXFDUHVHFDOFXOHD] LQGLFHOH
Scopurile posibile ar fi:
• P VXUDUHDVFKLPE ULORUSHWHUPHQVFXUWDOHQLYHOXOXLSLH HL
• luarea deciziilor,FXUHVSHFWDUHDSLH HLvQDQVDPEOXOHLDVHFWRDUHORU
sale, SUHFXP úL D DF LXQLORU LQGLYLGXDOH GLQ GLIHULWH VHFWRDUH DOH
SLH HL
• studii istorice temporale;
218 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
• P VXUDUHDSHUIRUPDQ HORUSRUWRIROLLORU
Un indice permite:
• formarea bazei pentru instrumentele derivate, cum ar fi contractele
IXWXUHV úL RS LXQLOH, FDUH GH]YROW R PHWRG GH SURWHMDUH vPSRWULYD
VFKLPE ULORUSLH HLVDXvQFD]XOVSHFXO ULLDFHVWRUVFKLPE UL
• construirea saFXIRQGXULúLFRVWXULGHXUP ULUHúLRSHUDUHPLQLPH
9.1. Indicele de pUH VLPSOXDJUHJDW
Un indice cu n tipuri de DF LXQLSRDWHILFRQVWUXLWSULQVLPSO DGXQDUHD
SUH XULORUFHORUn FRPSRQHQWHúLHIHFWXkQGvPS U LUHD la un divizor.
Ca urmare, indicele la momentul t este :
n
k ∑P st
It = s =1
(9.1)
Dt
unde: k – indicele la momentulGHED] sau 1000);
Pst –SUH XOFRPSRQHQWHLVODPRPHQWXOW
Dt – valoarea divizorului la momentul t, ajustat în cazul unor
VFKLPE UL GH FDSLWDO VDX VFKLPE UL DOH FRPSRQHQWHORU LQGLFHOXL DFHDVWD
pentru a asigura continuitatea lui.
s =1
valoarea lui k.
n n
k ∑ P k ∑ P
s0 s0
6HGHGXFHDVWIHOF k = I0, deoarece I 0 = s = 1 = s =1 .
D0 n
∑ P
s0
s =1
Capitolul 9. ,QGLFLGHFDSLWDOSHQWUXDF LXQL 219
'DF VXQW VFKLPE UL GH FDSLWDO VDX vQ FRPSRQHQWHOH LQGLFHOXL OD
n ’
∑ P
st
momentul t, atunci noul divizor D ’ = s = 1 ⋅ D unde:
t n t
∑ P
st
s =1
P’St – SUH XO DF LXQLL FRPSRQHQWHL V LPHGLDW GXS VFKLPEDUHD GH
capital;
PSt – SUH XO DF LXQLL FRPSRQHQWHL V vQDLQWH GH VFKLPEDUHD SURSULX –
]LV
Indicele Dow – Jones IndustrialvQ 68$úL indicele Nikkey în Japonia
VXQWH[HPSOHSHQWUXLQGLFLLGHSUH VLPSOXDJUHJDW
Dow-Jones IndustrialHVWHED]DWSHGHSUH XULDOHFHORUPDLPDULúL
PDLWUDQ]DF LRQDWHDF LXQLGHOD1HZ<RUN6WRFN([FKDQJHúLDIRVWSXEOLFDW
prima dat vQ $FHDVW YHFKLPH D GHWHUPLQDW QXP rul mic de
componente, dar în ultimii ani s-DX LQFOXV vQ LQGLFH XQHOH DF LXQL
neindustriale.
Indicele Nikkey AverageHVWHED]DWSHSUH XULOHDGHDF LXQLFRWDWH
vQSULPDFDWHJRULHOD7RN\R6WRFN([FKDQJHúLDIRVWSXEOLFDWSHQWUXSULPD
dat vQ(PLVLXQLOHGHDF LXQLFDUHQXDXRYDORDUHQRPLQDO GH\HQL
VXQWFRQYHUWLWHvQYDORULGH\HQL6HOHF LDDF LXQLORUHVWHIRORVLW SHQWUXD
DVLJXUD R EDODQ HFKLOLEUDW D UDPXULORU LQGXVWULHL úL D FHORUODOWH UDPXUL
SHQWUXDHYLGHQ LDSHUIRUPDQ DSLH HLúLvQGHILQLWLYDvQWUHJLLHFRQRPLL
9.2. Indicele geometric
$FHVW WLS GH LQGLFH HVWH RE LQXW H[WU JkQG U G FLQ GH RUGLQXO n din
produsul SUH XULORUUHODWLYHDnDF LXQL,vQPXO LWFXNXQGHNUHSUH]LQW indicele
ODGDWDGHED]
Deci:
220 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
1
P P P n
I t = k 1t ⋅ 2t ⋅ ......... ⋅ nt (9.2)
P10 P20 Pn 0
ÌQ WDEHOXO XUP WRU HVWH SUH]HQWDW HYROX LD SUH XOXL OD GRX WLSXUL GH
DF LXQLSHSHULRDGHGHWLPS
9RPSUHVXSXQHF FHOHGRX DF LXQLDXSUH XOGHSXQFWHODPRPHQWXO
zero, deci k=100. Valoarea portofoOLXOXLED]DWSHFXPS UDUHDaGHDF LXQL
;úLaGHDF LXQL<ODPRPHQWXOzero este în continuare.
3UH XUL
Momentul $F LXQHD $F LXQHD Indice Portofoliu
X Y (x1=x2=1/2)
100 100
0 100 100 100 ⋅ = 100 50+50=100
100 100
100 110 1 1
100 ⋅ = 104,9 100 + 110 = 105
1 100 110 100 100 2 2
110 100 1 1
100 ⋅ = 104,9 110 + 100 = 105
2 110 100 100 100 2 2
100 150 1 1
100 ⋅ = 122,5 100 + 150 = 125
3 100 150 100 100 2 2
1 1
125 75 125 + 75 = 100
4 125 75 100 ⋅ = 96,8 2 2
100 100
1 1
125 125 125 + 125 = 125
5 125 125 100 ⋅ = 125 2 2
100 100
222 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
1 1
150 100 150 + 100 = 125
6 150 100 100 ⋅ = 122,5 2 2
100 100
50 100
100 ⋅ = 70,7 1 1
7 50 100 100 100 50 + 100 = 75
2 2
1 1
0 1800 0 + 1800 = 900
8 0 1800 100 ⋅ =0 2 2
100 100
indicelui zilei precedente FX PHGLD JHRPHWULF D SUH XULORU UHODWLYH DOH
DF LXQLORUGLQ]LXDFXUHQW
9.,QGLFHOHDULWPHWLFFXFDSLWDOL]DUHEXUVLHU
$FHVWWLSGHLQGLFHFRPELQ FRQFHSWXOGHPHGLHDULWPHWLF SRQGHUDW D
SUH XOXLUHODWLY, echivalent cu un indice Laspeyres cu conceSWXOGHOHJ WXU
vQO Q XLW FHDVLJXU FRQWLQXLWDWHDLQGLFHOXLFkQGDXORFVFKLPE ULGHFDSLWDO
sau ale componentelor indicelui.
În acest context, indicele aritmetic este dat de:
n
P
k ∑N
s =1
s0 Ps 0 st
Ps 0
It = n
(9.3)
∑Ns =1
s0
Ps 0
∑Ns =1
s0
Ps 0 ∑N
s =1
s0
Ps 0
∑P q st s0
s =1
s0 s0
Ps 0 × 100 .
IL = s =1
n
× 100 = n
∑s =1
Ps 0 q s 0 ∑P q
s =1
s0 s0
224 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
∑P q st st
IP = s =1
m
×100 , unde q este indicatorul pentru cantitate.
∑P q
s =1
s0 st
$SOLFD LD9.2.
Un indice aritmetic cu caSLWDOL]DUHEXUVLHU FRQVW vQWLSXULGHDF LXQL
X,Y,Z.
'DF k=100 puncte OD PRPHQWXO LQL LDO FDOFXOD L LQGLFHOH OD VIkUúLWXO
DQLORUúLGkQGX-VHSUH XULOHDF LXQLORU
1XP UXOGHDF LXQLHPLVHDXIRVWSHQWUX;<=UHVSHFWLYGH
400 în aceDVW SHULRDG
Firme
X Y Z
'DWDGHED] 150 50 100
/DVIkUúLWXODQXOXL 180 45 125
/DVIkUúLWXODQXOXL 250 25 150
Tabelul 9.2 3UH XULOHFHORUWLSXULGHDF LXQL
,QGLFHOHODVIkUúLWXODQXOXL
100(200 ⋅ 180 + 2000 ⋅ 45 + 400 ⋅ 125)
= 103,5 ;
200 ⋅ 150 + 2000 ⋅ 50 + 400 ⋅ 100
,QGLFHOHODVIkUúLWXODQXlui 2 =
100(200 ⋅ 250 + 2000 ⋅ 25 + 400 ⋅ 150)
= 94,1 .
200 ⋅ 150 + 2000 ⋅ 50 + 400 ⋅ 100
ÌQJHQHUDOSHQWUXDSHUPLWHPRGLILF ULGHFDSLWDO, indicele la momentul
t este calculat astfel:
n
k ∑P N
unde Bt –UHSUH]LQW ED]DLQGLFHOXLODPRPHQWXOW
st st
It = s =1
Bt
Capitolul 9. ,QGLFLGHFDSLWDOSHQWUXDF LXQL 225
FRPSRQHQWHORULQGLFHOXLODPRPHQWXOLQL LDO, B0 =
n
∑P N
s =1
s0 s0
, de unde avem
k = I0 .
Pentru a asigura continuitatea, valoarea bazei indicelui se va actualiza
RUL GH FkWH RUL H[LVW R VFKLPEDUH GH FDSLWDO, astfel încât indicelH V ILH
nealterat.
$FHDVWD HVWH QXPLW OHJ WXU vQO Q XLW 3UHVXSXQHP F H[LVW R
modificare de capital CtODPRPHQWXOW,QGLFHOHúLED]DLQGLFHOXLvQDLQWHGH
schimbare sunt It, respectiv Bt.
'DF GXS VFKLPEDUHYRPOXDLQGLFHOHQRXúLQRXDED] DLQGLcelui I’t,
respectiv B’t
vom DYHPF
n n
m
k ∑ Pst N st k ∑ Pst N st k ∑P N st st
+ Ct
It = s =1
⇒ s =1
= s =1
Bt Bt Bt′
n
n
k ∑ Pst N st + Ct Bt ∑P N st st
+ Ct
= B + k Ct
I t′ = s =1 ⇒ Bt′ = s =1
Bt′
n t
It
∑P N
s =1
st st
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lume incluzând F.T –Actuaries All – Share Index (Marea Britanie), F.T. –
SE100 Index (Marea Britanie), S&P Standard and Poors 500 Index (SUA),
The Tokyo Stock Exchange New Index (Japonia), The Morgan Stanley
&DSLWDO,QWHUQDWLRQDO,QGLFHVúL7KH)7– Actuaries World Indices.
226 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
∑ N st Pst
s =1
∑ N st Pst
s =1
9.,QGLFHOH%XUVHLGH9DORUL%XFXUHúWL (BVB)
,QGLFHOH %(7 HVWH XQ LQGLFH SRQGHUDW FX FDSLWDOL]DUHD EXUVLHU úL HVWH
creat pentru a UHIOHFWDWHQGLQ DGHDQVDPEOXDSUH XULORUFHORUPDLlichide
DF LXQLWUDQ]DF LRQDWHOD%XUVDGH9DORUL%XFXUHúWL
3ULQFRQVWUXF LH,PHWRGRORJLHGHFDOFXOUHJXOLGHVHOHF LHDDF LXQLORUúL
DFWXDOL]DUHHODUHúLVFRSXOGHDIXUQL]DRED] DGHFYDW SHQWUXWUDQ]DF LLOH
derivate pe indici.
Acestea sunt: optLRQVúLIXWXUHVSUHFXPúLFRPELQD LLDOHDFHVWRUDúL fac
RELHFWXO2UGRQDQ HLGH*XYHUQQUGLQDXJXVWSULYLQGEXUVHOHGH
P UIXUL
Capitolul 9. ,QGLFLGHFDSLWDOSHQWUXDF LXQL 229
7UDQ]DF LRQDUHD LQVWUXPHQWHORU GHULYDWH SH LQGLFL DUH FD VRS DFRSHULUHD
ULVFXOXL LQYHVWLWRULORU vQ DF LXQL FH FRPSun portofoliul indicelui, prin
DQJDMDUHD GH WUDQ]DF LL SH LQVWUXPHQWH GHULYDWH vQ VHQVXO LQYHUV DO FHORU SH
YDORULPRELOLDUH$FHDVW RSHUD LHVHQXPHúWHDUELWUDM
Indicele BET permite managerilor de portofoliu calcularea coeficien-
tului beta, având astfel OD GLVSR]L LH R P VXU PDL SUHFLV D YRODWLOLW LL
DF LXQLORUFRWDWH
,QGLFHOH %(7 HVWH H[SULPDW úL vQ euro sau dolari, prin convertirea
SUH XULORU vQ OHL OD FXUVXO %15 GLQ ]LXD UHVSHFWLY VHUYLQG DVWIHO úL
LQYHVWLWRULORUVWU LQLFDUHGRUHVFúLRDOW H[primare a indicelui.
5HJXOLOH VHOHF LHL FHORU DF LXQL FDUH IRUPHD] SRUWRIROLXO LQGLFHOXL
VXQWXUP WRDUHOH
• DF LXQLOH WUHEXLH V ILH FRWDWH OD categoria I a Bursei de Valori
%XFXUHúWL
• DF LXQLOHWUHEXLHV DLE FHDPDLPDUHFDSLWDOL]DUHEXUVLHU .
De aVHPHQHDVHXUP UHúWHFDVXPDFDSLWDOL] ULORUILUPHORUDOHF URU
DF LXQLVXQWvQSRUWRIROLXOLQGLFHOXLV GHS úHDVF GLQFDSLWDOL]DUHD
EXUVLHU WRWDO
• DF LXQLOH WUHEXLH DVWIHO DOHVH vQFkW V VH DVLJXUH diversificarea
portofoliului indicelui;
• DF LXQLOH WUHEXLH V ILHcele mai lichide DFHDVW FDUDFWHULVWLF ILLQG
DSUR[LPDW SULQ WRWDOXO YDORULL WUDQ]DF LLORU SH DF LXQHD UHVSHFWLY .
SH XUP UHúWH FD VXPD YDORULL WRWDOH D WUDQ]DF LLORU DF LXQLORU GLQ
SRUWRIROLXO LQGLFHOXL V ILH FHO SX LQ GLQ YDORDUHD WRWDO
WUDQ]DF LRQDW
• cRPSHWHQ D úL FRPSRQHQ D &RPLWHWXOXL ,QGLFHOXL D IRVW GHFLV GH
F WUH &RPLWHWXO %XUVHL $FHVWD HVWH DELOLWDW V LD WRDWH GHFL]LLOH
230 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
∑P
s =1
s0 × N s0
unde:
- n UHSUH]LQW QXP UXOGH tipuri deDF LXQLGLQSRUWRIROLXOLQGLFHOXL în
VSH 10;
- Ps0 reprH]LQW SUH XOPHGLXSRQGHUDWDF LXQLLde tip s la momentul de
UHIHULQ t DGLF VHSWHPEULH
- Pst UHSUH]LQW SUH XOPHGLXSRQGHUDWDODF LXQLLde tip s la momentul
curent t;
- Ns0 HVWH QXP UXO WRWDO GH DF LXQL HPLVH GLQ DF LXQHD de tip s la
momentul t = 0.
Capitolul 9. ,QGLFLGHFDSLWDOSHQWUXDF LXQL 231
3HQWUX D FRPSHQVD RULFH HIHFW DUWLILFLDO DVXSUD SUH XOXL GH WUDQ]DF-
LRQDUHGDWRUDWP VXULORUGH
• GLYL] ULFRQVROLG ULGHDF LXQLIX]LRQ ULDOHILUPHORUVDX
• RULFH PRGLILF UL DOH FDSLWDOXOXL VRFLDO DO XQHL DF LXQL aflate în
portofoliul indicelui.
VDORDUHDLQGLFHOXLHVWHDMXVWDW FXXQIDFWRUGHFRUHF LHf în ziua în care
DUHORFVFKLPEDUHDFDUHDIHFWHD] SUH XO
$VWIHO VH UHDOL]HD] FRQWLQXLWDWHD úL FRPSDUDELOLWDWHD YDORULORU
indicelui.
$YHPDVWIHOF LQGLFHOH%(7HVWHGDWGH
n
∑N s0 × Pst
BET = 1000 × f × s =1
n
. (9.6)
∑ N s 0 × Ps 0
s =1
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LQFOXGHUH vQ SRUWRIROLXO LQGLFHOXL LDU DOWHOH FDUH VXQW WUDQ]DF LRQDWH
FRUHVSXQG DFHVWRU UHJXOL VH SURFHGHD] OD R DFWXDOL]DUH D SRUWRIROLXOXL
indicelui.
ùLvQDFHVWFD]IDFWRUXOGHFRUHF LHf este recalculat, pentru a compensa
DFHVW PRGLILFDUH $VWIHO VH DVLJXU FHULQ D FD LQGLFHOH V UHIOHFWH ]LOQLF
VFKLPE ULOH SUH XULORU DF LXQLORU ID GH SUH XULOH DFHORUDúL DF LXQL OD XQ
PRPHQWGHUHIHULQ
ToaWHPRGLILF ULOHSRUWRIROLXOXLLQGLFHOXLVHIDFSHULRGLFúLVHGHFLGGH
F WUH &RPLWHWXO ,QGLFHOXL FDUH DQDOL]HD] úL GHFLGH WULPHVWULDO DFWXDOL]DUHD
acestuia conform celor de mai sus.
$F LXQLOHLQFOXVHvQSRUWRIROLXOLQGLFHOXL VXQWXUP WRDUHOH
Simbol RamuUDHFRQRPLF 1XP UDF LXQL 3UH GH Pondere
232 'HFL]LLHFRQRPLFHvQFRQGL LLGHLQFHUWLWXGLQH
YRSVHOHORUúLD
lacurilor
SNC &RQVWUXF LLQDYDOH 6 899 481 16 317 112 578
TER Fabricarea 41 327 675 12 158 502 447
preparatelor
farmaceutice
Tabelul 9.3. $F LXQLOHLQFOXVHvQSRUWRIROLXOLQGLFHOXL%(7