Sunteți pe pagina 1din 38

Societatea emitent

ANTIBIOTICE SA
AZOMURE SA
BANCA TRANSILVANIA SA
BIOFARM SA
BRD-GROUPE SOCIETE
GENERALE SA
C.N.T.E.E TRANSELECTRICA
OLTCHIM SA RM. VLCEA
OMV-PETROM
TOTAL

Numr
aciuni

Simbol

Pre/Aci
% dup
Valoare
une
valoare

ATB
AZO
TLV
BIO

4098
5102
1812
13158

0.6100
0.4900
1.3800
0.1900

2500
2500
2500
2500

13%
13%
13%
13%

BRD
TEL
OLT
SNP

205
132
12077
7463
44046

12.2000
19.0000
0.2070
0.3350
34.4120

2500
2500
2500
2500
20000

13%
13%
13%
13%
100%

Structura portofoliului

9.30%
16.94%
11.58%
4.11%
27.42%
29.87%

0.30%
0.47%

ATB

AZO

TLV

BIO

BRD

TEL

OLT

SNP

% dup
nr. aciuni
9.30%
11.58%
4.11%
29.87%
0.47%
0.30%
27.42%
16.94%
100.00%

Societatea
emitent
(simbol)
ATB
AZO
TLV
BIO
BRD
TEL
OLT
SNP
TOTAL

Numr
aciuni
4098
5102
1812
13158
205
132
12077
7463
44046

Pre/Aciune
01.10.2010
0.6100
0.4900
1.3800
0.1900
12.2000
19.0000
0.2070
0.3350

Val.
Modif.
Pre/Aciune Val. Portof.
Modif. Pre
Portof.
Pre
04.02.2011 04.02.2011
relativ
01.10.2010
absolut
2500
0.5795
2375
-0.0305
-5.00
2500
0.4711
2404
-0.0189
-3.86
2500
1.3950
2527
0.0150
1.09
2500
0.2180
2868
0.0280
14.74
2500
14.1200
2893
1.9200
15.74
2500
20.3800
2682
1.3800
7.26
2500
0.2060
2488
-0.0010
-0.48
2500
0.3710
2769
0.0360
10.75
20000
21006

PUNCT 3
11.31
11.44
12.03
13.66
13.77
12.77
11.84
13.18
100.00

Societatea
emitent
(simbol)
ATB
AZO
TLV
BIO
BRD
TEL
OLT
SNP
TOTAL

Numr
aciuni
4098
5102
1812
13158
205
132
12077
7463
44046

Pre/Aciune
01.10.2010
0.6100
0.4900
1.3800
0.1900
12.2000
19.0000
0.2070
0.3350

Val.
Ponderea
Val.
Ponderea
Pre/Aciune
Portof. aciunii i la
Portof. aciunii i la
04.02.2011
01.10.2010 01.10.2010
04.02.2011 04.02.2011
2500
2500
2500
2500
2500
2500
2500
2500
20000

12.50%
12.50%
12.50%
12.50%
12.50%
12.50%
12.50%
12.50%
100.00%

Structura portofoliului la data de 04.02.2011

SNP
13%

ATB
11%
AZO
11%

OLT
12%

TLV
12%

TEL
13%
BRD
14%

BIO
14%

0.5795
0.4711
1.3950
0.2180
14.1200
20.3800
0.2060
0.3710

2375
2404
2527
2868
2893
2682
2488
2769
21006

11.31%
11.44%
12.03%
13.66%
13.77%
12.77%
11.84%
13.18%
100.00%

ANTIBIOTICE SA - ATB
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
0.6100
0.5900
0.5850
0.5950
0.5950
0.5800
0.5750
0.5850
0.5600
0.5750
0.5950
0.6200
0.6140
0.6200
0.6210
0.6000
0.5750
0.5500
0.5795

Rata rentabilitii
sptmnale
14.02
-3.28
-0.85
1.71
0.00
-2.52
-0.86
1.74
-4.27
2.68
3.48
4.20
-0.97
0.98
0.16
-3.38
-4.17
-4.35
5.36
0.51

Evoluia aciunilor n perioada 01.10.2010 - 04.02.2011


0.6400
0.6200
0.6000
0.5800
0.5600
0.5400
0.5200
0.5000

AZOMURES SA - AZO
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
0.4900
0.4900
0.4780
0.4780
0.4800
0.4900
0.4800
0.4990
0.4850
0.4890
0.4850
0.4720
0.4800
0.4800
0.5100
0.5030
0.5010
0.4840
0.4711

Rata rentabilitii
sptmnale
0.00
0.00
-2.45
0.00
0.42
2.08
-2.04
3.96
-2.81
0.82
-0.82
-2.68
1.69
0.00
6.25
-1.37
-0.40
-3.39
-2.67
-0.18

Evoluia aciunilor AZO n perioada analizat 01.10.2010-04.02.2011


0.5200
0.5100
0.5000
0.4900
0.4800
0.4700
0.4600
0.4500

BANCA TRANSILVANIA SA -TLV


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
1.3800
1.3000
1.3600
1.3400
1.3700
1.3200
1.3000
1.3000
1.2300
1.2700
1.2700
1.2300
1.1920
1.2280
1.3450
1.4210
1.4450
1.4190
1.3950

Rata rentabilitii
sptmnale
-1.43
-5.80
4.62
-1.47
2.24
-3.65
-1.52
0.00
-5.38
3.25
0.00
-3.15
-3.09
3.02
9.53
5.65
1.69
-1.80
-1.69
0.05

Evoluia aciunilor TLV n perioada analizat 01.10.2010-04.02.2011


1.6000
1.4000
1.2000
1.0000
0.8000
0.6000
0.4000
0.2000
0.0000

BIOFARM SA - BIO
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
0.1900
0.1880
0.1920
0.1900
0.1930
0.1910
0.1860
0.1890
0.1880
0.1960
0.2030
0.2040
0.2010
0.2050
0.2210
0.2172
0.2140
0.2195
0.2180

Rata rentabilitii
sptmnale
3.26
-1.05
2.13
-1.04
1.58
-1.04
-2.62
1.61
-0.53
4.26
3.57
0.49
-1.47
1.99
7.80
-1.72
-1.47
2.57
-0.68
0.93

Evoluia aciunilor BIO n perioada analizat 01.10.2010-04.02.2011


0.2300
0.2200
0.2100
0.2000
0.1900
0.1800
0.1700
0.1600

BRD-GROUPE SOCIETE GENERALE SA - BRD


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
12.2000
12.3000
12.3000
12.1000
12.4000
12.3000
12.3000
11.9000
11.7000
12.1000
12.2000
12.1000
12.2900
12.3500
13.2900
14.2000
14.0000
14.5000
14.1200

Rata rentabilitii
sptmnale
1.67
0.82
0.00
-1.63
2.48
-0.81
0.00
-3.25
-1.68
3.42
0.83
-0.82
1.57
0.49
7.61
6.85
-1.41
3.57
-2.62
0.90

Evoluia aciunilor BRD n perioada analizat 01.10.2010-04.02.2011


16.0000
14.0000
12.0000
10.0000
8.0000
6.0000
4.0000
2.0000
0.0000

CNTEE TRANSELECTRICA - TEL


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.12.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
19.0000
18.2000
17.9000
18.0000
18.0000
18.2000
17.9000
17.9000
18.2000
18.2000
18.2000
18.7000
19.5000
19.3500
21.7800
21.3900
20.6000
20.2000
20.3800

Rata rentabilitii
sptmnale
4.40
-4.21
-1.65
0.56
0.00
1.11
-1.65
0.00
1.68
0.00
0.00
2.75
4.28
-0.77
12.56
-1.79
-3.69
-1.94
0.89
0.66

Evoluia aciunilor TEL n perioada analizat 01.10.2010-04.02.2011


25.0000

20.0000

15.0000

10.0000

5.0000

0.0000

OLTCHIM SA RM. VLCEA - OLT


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

Pre/aciune
0.2070
0.2300
0.2110
0.2130
0.2270
0.2300
0.2110
0.2080
0.2020
0.2110
0.2060
0.1980
0.1999
0.2030
0.2090
0.2070
0.2170
0.2035
0.2060

Rata rentabilitii
sptmnale
10.11
11.11
-8.26
0.95
6.57
1.32
-8.26
-1.42
-2.88
4.46
-2.37
-3.88
0.96
1.55
2.96
-0.96
4.83
-6.22
1.23
0.62

Evoluia aciunilor OLT n perioada analizat 01.10.2010-04.02.2011


0.2400
0.2300
0.2200
0.2100
0.2000
0.1900
0.1800

OMV-PETROM SNP
Pre/aciune

Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011
Rata medie

0.3350
0.3390
0.3390
0.3370
0.3330
0.3400
0.3330
0.3310
0.3220
0.3330
0.3300
0.3300
0.3350
0.3350
0.3500
0.3640
0.3670
0.3648
0.3710

Rata rentabilitii
sptmnale
1.52
1.19
0.00
-0.59
-1.19
2.10
-2.06
-0.60
-2.72
3.42
-0.90
0.00
1.52
0.00
4.48
4.00
0.82
-0.60
1.70
0.64

Evoluia aciunilor SNP n perioada analizat 01.10.2010-04.02.2011


0.3800
0.3700
0.3600
0.3500
0.3400
0.3300
0.3200
0.3100
0.3000
0.2900

ANTIBIOTICE SA
AZOMURE SA
BANCA TRANSILVANIA SA
BIOFARM SA
BRD-GROUPE SOCIETE GENERALE
SA
C.N.T.E.E TRANSELECTRICA
OLTCHIM SA RM. VLCEA
OMV-PETROM

14.02
0.00
-1.43
3.26

Ponderea iniial n portofoliu


(% dup valoare)
12.50%
12.50%
12.50%
12.50%

1.67
4.40
10.11
1.52

12.50%
12.50%
12.50%
12.50%

Rentabilitatea medie a portofoliului

4.19

100.00%

Societatea

Rata de rentabilitate (Ri)

Data

Valoarea indicelui

01.10.2010
3101.76
08.10.2010
3082.63
15.10.2010
3113.31
22.10.2010
3089.96
29.10.2010
3098.65
05.11.2010
3100.55
12.11.2010
3024.16
19.11.2010
3027.12
26.11.2010
2968.47
03.12.2010
3044.20
10.12.2010
3060.07
17.12.2010
3048.68
23.12.2010
3075.81
30.12.2010
3111.17
07.01.2011
3272.99
14.01.2011
3380.33
21.01.2011
3359.58
28.01.2011
3336.46
04.02.2011
3303.52
Rata de rentabilitate medie E(RM)

Rata de
rentabilitate
(RM)
2.54
-0.62
1.00
-0.75
0.28
0.06
-2.46
0.10
-1.94
2.55
0.52
-0.37
0.89
1.15
5.20
3.28
-0.61
-0.69
-0.99
0.48

Rentabilitatea medie (sperata) este de Rm = 0.48


Dispersia pietei bursiere este 62,57/19-1 = 3,48%
Abaterea mediei patratice al pietei este 1,87%

RM - E(RM)
2.06
-1.10
0.52
-1.23
-0.20
-0.42
-2.94
-0.38
-2.42
2.07
0.04
-0.85
0.41
0.67
4.72
2.80
-1.09
-1.17
-1.47

[RM - E(RM)]2
4.24
1.20
0.27
1.51
0.04
0.18
8.67
0.15
5.84
4.29
0.00
0.73
0.17
0.45
22.29
7.84
1.20
1.36
2.15
62.57

ANTIBIOTICE SA - ATB
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

Rata de
rentabilitate Ri-E(Ri)
[Ri-E(Ri)]2
(Ri)
14.02
13.51
182.53
-3.28
-3.79
14.36
-0.85
-1.36
1.85
1.71
1.20
1.44
0.00
-0.51
0.26
-2.52
-3.03
9.18
-0.86
-1.37
1.88
1.74
1.23
1.51
-4.27
-4.78
22.84
2.68
2.17
4.71
3.48
2.97
8.82
4.20
3.69
13.62
-0.97
-1.48
2.19
0.98
0.47
0.22
0.16
-0.35
0.12
-3.38
-3.89
15.13
-4.17
-4.68
21.90
-4.35
-4.35
18.92
5.36
5.36
28.73
0.51
350.22

[Ri-E(Ri)] *
[RM-E(RM)]
27.83
4.16
-0.70
-1.48
0.10
1.27
4.03
-0.47
11.55
4.50
0.12
-3.15
-0.61
0.32
-1.65
-10.89
5.12
-5.94
11.54
45.66

Calculul parametrilor distributiei de rentabilitate ATB


Rentabilitatea medie (sperata) este de Ri = 0.51%
Dispersia este 350,22/19-1=19,45%
Abaterea mediei patratice este 4,41%

Calculul parametrilor indicelui general al pieei bursiere


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

Calculul coeficientului Beta


45,66/19-1 = 2,54
Beta ATB = 2,54/3,48= 0.7289
Coeficientul Beta = 0.7289 atesta putina volatilitate a titlului ATB in raport cu modificrile rentabilitii
generale a pieei.
Coeficientul de corelatie este 2,54/4,41*1,87 = 2,54/8,2467 = 0.3080, care semnifica o dependenta
direct proporional ntre rentabilitatea titlului ATB i rentabilitatea pieei bursiere.

BIOFARM SA - BIO
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

Rata de
rentabilitate Ri-E(Ri)
[Ri-E(Ri)]2
(Ri)
3.26
2.33
5.44
-1.05
-1.98
3.91
2.13
1.20
1.44
-1.04
-1.97
3.87
1.58
0.65
0.42
-1.04
-1.97
3.87
-2.62
-3.55
12.59
1.61
0.68
0.46
-0.53
-1.46
2.13
4.26
3.33
11.10
3.57
2.64
6.98
0.49
-0.44
0.19
-1.47
-2.40
5.75
1.99
1.06
1.13
7.80
6.87
47.22
-1.72
-2.65
7.01
-1.47
-2.40
5.75
2.57
1.64
2.69
-0.68
-1.61
2.59
0.93
119.29

[Ri-E(Ri)] *
[RM-E(RM)]
4.80
2.17
0.62
2.42
-0.13
0.82
10.45
-0.26
3.53
6.90
0.11
0.37
-0.98
0.71
32.44
-7.41
2.62
-1.92
2.36
59.18

Ri = 0.93%
Dispersia = 119,29/19-1 = 6,63%
Abaterea mediei patratice 2,57%
Calculul coeficientului Beta 59,18/19-1 = 3,29
Beta BIO = 3,29/3,48 = 0.9454 atesta putina volatilitate a titlului BIO in raport cu modificarile rentabilitatii
generale a pietei.
Coeficientul de corelatie = 3,29/2,57*1,87 = 3,29/4,81 = 0,68 care semnifica o dependenta direct proportionala intre rentabilitatea titlului BIO si rentabilitatea pietei bursiere.
68% din rentabilitatea ce nsoete aciunea BIO este determinat de dependena direct fa de pia
(volatilitatea ei), iar 32% din rentabilitate este determinat de caracteristicile proprii ale aciunii
(riscul su specific).

OLTCHIM SA RM. VLCEA - OLT


Data

Rata de
rentabilitate
(Ri)

Ri-E(Ri)

[Ri-E(Ri)]2

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

01.10.2010

10.11

9.49

90.05

19.55

08.10.2010
15.10.2010

11.11
-8.26

10.49
-8.88

110.03
78.86

-11.50
-4.58

22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

0.95
6.57
1.32
-8.26
-1.42
-2.88
4.46
-2.37
-3.89
0.96
1.55
2.96
-0.96
4.83
-6.22
1.23
0.62

0.33
5.95
0.70
-8.88
-2.04
-3.50
3.84
-2.99
-4.51
0.34
0.93
2.34
-1.58
4.21
-6.84
0.61

0.11
35.40
0.49
78.86
4.16
12.25
14.74
8.94
20.34
0.12
0.86
5.47
2.50
17.72
46.79
0.37
480.92

-0.41
-1.18
-0.29
26.14
0.78
8.46
7.95
-0.12
3.84
0.14
0.62
11.05
-4.42
-4.60
7.99
-0.89
51.42

Ri = 0,62%
Dispersia = 480,92/19-1 = 26,72%
Abatere medie patratice = 5,17%
Calculul coeficientului Beta = 51,42/19-1 = 2,86
Beta OLT = 2,86/5,17 = 0,5532care atest o volatilitate ridicat a titlului OLT n raport cu
modificarile rentabilitatii generale a pietei.
Coeficientul de corelaie = 2,86/5,17*1,87 = 2,86/9,67 = 0.2958

CNTEE TRANSELECTRICA - TEL


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.12.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010

Rata de
rentabilitate Ri-E(Ri)
[Ri-E(Ri)]2
(Ri)
4.40
3.74
13.99
-4.21
-4.87
23.71
-1.65
-2.31
5.33
0.56
-0.10
0.01
0.00
-0.66
0.43
1.11
0.45
0.20
-1.65
-2.31
5.33
0.00
-0.66
0.43
1.68
1.02
1.04
0.00
-0.66
0.43
0.00
-0.66
0.43
2.75
2.09
4.37

[Ri-E(Ri)] *
[RM-E(RM)]
1.68
-3.77
-2.82
1.13
-0.46
0.87
0.63
-0.28
3.44
-2.73
-0.70
2.94

23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

4.28
-0.77
12.56
-1.79
-3.69
-1.94
0.89
0.66

3.62
-1.43
11.90
-2.45
-4.35
-2.60
0.23

13.11
2.04
141.62
6.00
18.92
6.76
0.05
237.43

3.21
-2.10
7.18
-5.25
-3.26
-1.43
1.70
-0.02

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

Calculul coeficientului Beta -0,02/19-1 = 0


Beta TEL = 0 atesta ca rentabilitatea titlurilor TEL este total independenta cu modificarile rentabilitatii
generale a pietei.
Coeficientul de corelatie 0, semnifica independenta. Pentru titlul TEL singurul risc care se manifest
este riscul specific, riscul de pia fiind nul.

AZOMURES SA - AZO
Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

Rata de
rentabilitate
(Ri)
0.00
0.00
-2.45
0.00
0.42
2.08
-2.04
3.96
-2.81
0.82
-0.82
-2.68
1.69
0.00
6.25
-1.37
-0.40
-3.39
-2.67
-0.18

Ri-E(Ri)
0.18
0.18
-2.27
0.18
0.60
2.26
-1.86
4.14
-2.63
1.00
-0.64
-2.50
1.87
0.18
6.43
-1.19
-0.22
-3.21
-2.49

[Ri-E(Ri)]2
0.03
0.03
5.16
0.03
0.36
5.11
3.46
17.14
6.92
1.00
0.41
6.25
3.49
0.03
41.34
1.42
0.05
10.31
6.20
108.74

[Ri-E(Ri)] *
[RM-E(RM)]
0.37
-0.20
-1.17
-0.22
-0.12
-0.95
5.48
-1.58
6.36
2.07
-0.03
2.13
0.77
0.12
30.36
-3.33
0.24
3.75
3.65
47.70

Ri = -0.18%
Dispersia 108,74/19-1 = 6,04%
Abaterea mediei patratice 2,46%
Calculul coeficientului Beta 47,7/19-1 = 2,65
Beta AZO = 2,65/3,48 = 0,7615 atesta o volatilitate foarte mare a titlului AZO cu modificarile rentabilitatii generale a pietei.
Coeficientul de corelatie = 2,65/2,46*1,87 = 2,65/4,60 = 0.5761, semnifica o dependenta direct
proportionala intre rentabilitatea titlului AZO si rentabilitatea pietei bursiere.
58% din rentabilitatea ce nsoete aciunea AZO este determinat de dependena direct fa de
pia (volatilitatea ei), iar 42% din rentabilitate este determinat de caracteristicile proprii ale aciunii
(riscul su specific).

BRD-GROUPE SOCIETE GENERALE SA - BRD


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

Rata de
rentabilitate
(Ri)
1.67
0.82
0.00
-1.63
2.48
-0.81
0.00
-3.25
-1.68
3.42
0.83
-0.82
1.57
0.49
7.61
6.85
-1.41
3.57
-2.62
0.90

Ri-E(Ri)
0.77
-0.08
-0.90
-2.53
1.58
-1.71
-0.90
-4.15
-2.58
2.52
-0.07
-1.72
0.67
-0.41
6.71
5.95
-2.31
2.67
-3.52

[Ri-E(Ri)]2
0.59
0.01
0.81
6.40
2.50
2.92
0.81
17.22
6.65
6.35
0.00
2.96
0.45
0.17
45.03
35.41
5.33
7.13
12.39
133.61

[Ri-E(Ri)] *
[RM-E(RM)]
1.59
0.09
-0.46
3.11
-0.31
0.72
2.65
1.59
6.24
5.22
0.00
1.47
0.27
-0.27
31.68
16.66
2.53
-3.12
5.16
72.74

Ri = 0,90%
Dispersia = 133,61/19-1 = 7,42%
Abaterea mediei patratice 2,72%

Calculul coeficientului Beta 72,74/19-1 = 4,04


Beta BRD =4,04 /3,48 = 1,16 care atesta putina volatilitate a titlului BRD in raport cu
modificarile rentabilitatii generale a pietei.
Coeficientul de corelatie = 4,04/2,72*1,87 = 4,04/5,09=0,7937 care semnifica o dependenta
direct proportionala intre rentabilitatea titlului BRD si rentabilitatea pietei bursiere.
79% din rentabilitatea ce nsoete aciunea BRD este determinat de dependena direct fa de
pia (volatilitatea ei), iar 21% din rentabilitate este determinat de caracteristicile proprii ale aciunii
(riscul su specific).

OMV-PETROM SNP
Rata de
rentabilitate
(Ri)
01.10.2010
1.52
Data

Ri-E(Ri)
0.88

[Ri-E(Ri)]2
0.78

[Ri-E(Ri)] *
[RM-E(RM)]
1.82

08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
12.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

1.19
0.00
-0.59
-1.19
2.10
-2.06
-0.60
-2.72
3.42
-0.90
0.00
1.52
0.00
4.48
4.00
0.82
-0.60
1.70
0.64

0.55
-0.64
-1.23
-1.83
1.46
-2.70
-1.24
-3.36
2.78
-1.54
-0.64
0.88
-0.64
3.84
3.36
0.18
-1.24
1.06

0.31
0.40
1.50
3.34
2.14
7.27
1.53
11.26
7.75
2.36
0.40
0.78
0.40
14.77
11.31
0.03
1.53
1.13
66.36

-0.61
-0.33
1.51
0.36
-0.61
7.94
0.47
8.11
5.77
-0.06
0.54
0.36
-0.43
18.15
9.42
-0.20
1.44
-1.56
52.21

Ri = 0.64%
Dispersia = 66,36/19-1 = 3,69
Abatere medie patratica = 1,92%
Calcululcoeficientului Beta = 52,21/19-1 = 2,90
Beta SNP = 2,90/1,92 = 1,51care atest o volatilitate ridicat a titlului SNP n raport cu
modificarile rentabilitatii generale a pietei.
Coeficientul de corelatie = 2,90/1,92*1,87 = 2,90/3,59 = 0.81

BANCA TRANSILVANIA SA -TLV


Data
01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010
05.11.2010
11.11.2010
19.11.2010
26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

Rata de
rentabilitate
(Ri)
-1.43
-5.80
4.62
-1.47
2.24
-3.65
-1.52
0.00
-5.38
3.25
0.00
-3.15
-3.09
3.02
9.53
5.65
1.69
-1.80
-1.69
0.05

Ri-E(Ri)
-1.48
-5.85
4.57
-1.52
2.19
-3.70
-1.57
-0.05
-5.43
3.20
-0.05
-3.20
-3.14
2.97
9.48
5.60
1.64
-1.85
-1.74

[Ri-E(Ri)]2
2.20
34.27
20.85
2.32
4.78
13.72
2.48
0.00
29.52
10.22
0.00
10.26
9.88
8.80
89.80
31.32
2.68
3.44
3.04
279.58

[Ri-E(Ri)] *
[RM-E(RM)]
-3.06
6.42
2.35
1.87
-0.43
1.55
4.63
0.02
13.14
6.62
0.00
2.73
-1.29
1.99
44.74
15.67
-1.79
2.17
2.56
99.88

Ri = 0,05%
Dispersia 279,58/19-1 = 15,53%
Abaterea mediei patratice 3,94%
Calculul coeficientului Beta 99,88/19-1 = 5,55
Beta TLV = 5,55/3,48=1,59 atesta ca rentabilitatea titlurilor TLV este total independenta cu modificarile rentabilitatii
generale a pietei.

Coeficientul de corelatie =5,55/3,94*1,87=5,55/7,37=07531, semnifica independenta. Pentru titlul TLV singurul risc care se man
este riscul specific, riscul de pia fiind nul.

odificarile rentabilitatii

titlul TLV singurul risc care se manifest

Risc
(Dispersie)

Societate

Rentabilitate
(Ri)

Risc/Rentabilitate

ANTIBIOTICE SA
AZOMURE SA
BANCA TRANSILVANIA SA
BIOFARM SA
BRD-GROUPE SOCIETE GENERALE SA

19.45
6.04
15.53
6.63
7.42

0.51
-0.18
0.05
0.93
0.90

38.14
-33.56
310.60
7.13
8.24

C.N.T.E.E TRANSELECTRICA
OLTCHIM SA RM. VLCEA
OMV-PETROM

13.19
26.72
3.69

0.66
0.62
0.64

19.98
43.10
5.77

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


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

1426
0.0713

0.186
0.04
0.226
5.987222222

0.2652
9.9392
1.9168
12.1212
10.1258
0.591558198
9.54

11.98
22.16
10.18
0.937131631
0.8742
0.003
0.8772

6.2322
0.9318
0.675672
7.839672

Data

RBIO

RBIO - EBIO (RBIO - EBIO)2

RTLV

RTLV - ETLV

(RTLV - ETLV)2

01.10.2010
08.10.2010
15.10.2010
22.10.2010
29.10.2010

3.26
-1.05
2.13
-1.04
1.58

2.33
-1.98
1.20
-1.97
0.65

5.44
3.91
1.44
3.87
0.42

-1.43
-5.80
4.62
-1.47
2.24

-1.48
-5.85
4.57
-1.52
2.19

2.20
34.27
20.85
2.32
4.78

05.11.2010
12.11.2010
19.11.2010

-1.04
-2.62
1.61

-1.97
-3.55
0.68

3.87
12.59
0.46

-3.65
-1.52
0.00

-3.70
-1.57
-0.05

13.72
2.48
0.00

26.11.2010
03.12.2010
10.12.2010
17.12.2010
23.12.2010
30.12.2010
07.01.2011
14.01.2011
21.01.2011
28.01.2011
04.02.2011

-0.53
4.26
3.57
0.49
-1.47
1.99
7.8
-1.72
-1.47
2.57
-0.68
0.93

-1.46
3.33
2.64
-0.44
-2.40
1.06
6.87
-2.65
-2.40
1.64
-1.61

2.13
11.10
6.98
0.19
5.75
1.13
47.22
7.01
5.75
2.69
2.59
119.29

-5.38
3.25
0.00
-3.15
-3.09
3.02
9.53
5.65
1.69
-1.80
-1.69
0.05

-5.43
3.20
-0.05
-3.20
-3.14
2.97
9.48
5.60
1.64
-1.85
-1.74

29.52
10.22
0.00
10.26
9.88
8.80
89.80
31.32
2.68
3.44
3.04
273.10

Sperana de rentabilitate i riscul aferent PVMA


Ep = x(BIO) * EBIO + y(TLV) * ETLV
Ep = 0.2 * 0,93 + 0.8 * 0.05 = 0.186+0,04=0,226
Coeficientul de corelaie dintre titluri
Covariaia ntre rentabilitile anticipate pentru titlurile BIO i TLV.
ij = 107,77/19-1 = 5,99
2 BIO = 119,29/18=6,63

2
TLV

= 279,58/19-1 = 15,53

= 2,57
= 3,94

2p = x2 2i + y2 2j + 2xy ij
2p = 0.22 * 6,63 + 0.82 * 15,53 + 2*0.2*0.8*5,99 = 0,27+9,94+1,92=12,12
ij = ij / (i * j)
ij = 5,99/(2,57*3,94)=5,99/10,13=0,59 care semnific corelaie pozitiv de slab intensitate.

Ponderea optim x* a titlului TEL n PVMA


x* = (2j - ij) / (2i + 2j - 2 ij)
x* = (15,53-5,99)/(6,63+15,53-2*5,99)=9,54/10,18=0,94
1-x* = 0.06
Rp(x*) = 0.94*0,93 + 0.06*0.05 = 0.88
2p(x*) = 0.94*6,63 + 0.06*15,53 + 2*0.94*0.06*5,99 = 7,84

(RBIO - EBIO)*
(RTEL - ETEL)
-3.46
11.58
5.49
3.00
1.42
7.29
5.58
-0.04
7.92
10.65
-0.14
1.40
7.54
3.15
65.12
-14.82
-3.92
-3.04
2.80
107.77