:

:
.

:
129/10
174/10
52/10

, 4.12.2012. e

,
.
, ...
,
. .

. ,

,
.
.
S&P 500, Dow Jones
.

1. DOW JONES INDUSTIAL AVERAGES

DJIA . 30
, 1896. .
.
.
30 , 30.
DJIA
30 .
DJIA
30
. 30 .
. 1:

()

ABC

25 USD

30

-30

( $)
500 USD

( $)
600 USD

XYZ

100

USD
90

100

90

600 USD

690USD

: Bodie, Z, Kane, A, Marcus, A, (), , 2009,

. 46

.2:

ABC
XYZ

()

25 USD
50

30 USD
45

20
2

( $)
500 USD
100
600 USD

( $)
600 USD
90
690USD

: : Bodie, Z, Kane, A, Marcus, A, (), , 2009,

. 46

 DJIA .
ABC- 25 USD, XYZ-
100 USD.
(25+100)/2=62,5. ABC- 30 USD, XYZ- 90
USD. 2,5 ( (30+90)/2=60). 2,5
4%

(2,5/62,5=0,04).

25 USD + 100 USD = 125 USD ,

30 USD + 90 USD = 120 USD 4%.


DJIA
, .
.

.
:
ABC 20%, XYZ 10%,
. 20% ABC-
10% XYZ-. XYZ, ABC-. XYZ
.
DJIA 30
,
10% 30
. ,

.

:
XYZ 50
USD, ,
. ,
.
1 2 :
XYZ- 100 USD 50.
,
. 2,0.
.
75, 62,5.
d (75/d=62,5). d 2,0
1,2. ABC- 30 USD,
XYZ- 45, 10%.


. Dow Jones
,
.
.

1.1.
30 ,
, . Dow Jones
: International Business, Machines Corp, J.P. Morgan &
Co i AT & T Corp... 30 .
12 ,
General Elestric Co . ,
.

1.2.
,
. 1896. Dow ,
.
,
, .
. 100
, , ,
.

15, 20 25 .. 20. 20..
2 1, .
, 10..
.

1.3.
, .
, . ,
Dow :
,
. Dow
.
, , Dow
, ,
.
,
.

2. S&P
2.1. S&P 1
1957. , S&P 90
, S&P 90, . ,
423 ,
. 1957, 4.
- S&P 500.
,
.
S&P 500 ,
" " (
, , . dot-com )
, NASDAQ2
. 1527,46
24. 2000. 1553,11- .
, 50%
800 2002.
" " 10. 2002. , 768,63.
. 2006.
Dow Jones , S&P 500
. 2006. , S&P
500 , 30. 2006.
1400.

Izvor: http://www.investopedia.com/terms/s/sp500.asp#axzz2F9ocE5Ph ( 10.

2012. )
2
NASDAQ (akronim za National Association of Securities Dealers Automated Quotations) je
amerika elektronika berza dionica sa sjeditem u New Yorku. Vlasnik i operator je The Nasdaq
Stock Market, Inc. ije se dionice prodaju na vlastitoj berzi pod znakom NDAQ, s poetkom u 2002.
NASDAQ je najvea elektronina ekran-bazirana berza u Sjedinjenim Amerikim Dravama. S
otprilike, 3 300 kompanija, ima prijavljenih vie kompanija, i u prosjeku izmjenjuje vie dionica po
danu nego druge amerike berze. Glavni direktor je Robert Greifeld. (pristupljeno 17.decembra.2012.)

 . 1: , S&P 500 (1988-2008)

2.2. Standard & Poor s-a

S&P 500 500
.
, Standard & Poor's,
McGraw-Hill. 500
.
Dow Jones
:
1. (500 )
2. .
S&P 500
500

 .
.

500
,
.
1:
ABC XYZ
(.100), 100 x (690/600)=115.
15%-
.
,
ABC-u.
XYZ-a,
ABC-, .
, , . 2
. XYZ-a
100 110 $ ,
.
S&P 500 S&P 1500 S&P Global 1200.
, ,
, .
NASDAQ. Dow Jones-a, S&P 500
. " "
.
() GSPC SPX.

2.3.
S&P 500 .
Dow 30 , ,

 . ,
500 ,

. ( 2006. 11 S&P 500.)
.

. 1: S&P 500

: http://www.standardandpoors.com/indices/sp-500/en/us/?indexId=spusa-500-usduf--p-us-l-&ffFix=yes ( 5.12.2012. )

, (
)
. , Fortune 500
- ,
,
,
-.

2.4. S&P 500

S&P 500 500 -,
, ,
.
10

:
1. S&P 500
2.

S&P 500

3.
4.
5. S&P 500
6. S&P
7.

, .
, ,
. 5
.
(50%) . ,

. .
, , , a Real
Estate Investment Trust (REITs) (BDCs)
.
,
0,30 .
.
.
,
.

11

 .3:
31. 2009,

Company

Adjusted Market
Cap ($ billions)

Index
Weight

Exxon Mobil

323.7

3.26%

Microsoft
Apple

235.5
189.9

2.37%
1.91%

Johnson and Johnson

177.7

1.79%

Procter & Gamble

IBM
AT&T

177.1

1.78%

172.0
165.4

1.73%
1.67%

JPMorgan Chase & Co.

164.2

1.65%

General Electric
Chevron

161.1

1.62%

154.5

1.56%

:
http://www.standardandpoors.com/indices/sp-500/en/us/?indexId=spusa-500-usduf--p-us-l-&ffFix=yes ( 5.12.2012. )

2.5. S&P 500

.

( x )
.
, , Standard &
Poor's .
, 18. 2005,
16. . S
( ). , ,
,
.

2.6.

12

 S&P 500 ,
,
S&P 500
. ET Standard & Poor's (.
SPDRs, "" -), SPY. O
SPDR 42 .
( QQQQ). iShares S&P 500 (IVV),
Rydex S&P 500 (RSP) . ET-a
S&P 500
( ).
. ,
(" ") .

2.7.

.
,

. ,
.
,
S&P 500, .

.
, ,
,
. :
. S&P 500,
.

13


.
,
, " "
.
-
.
?

, .
- S&P
500
. ,
,

S&P 500 .
, S&P
500 . ,
S&P 500
.
Standard & Poor s 400 ,
20 , 40 40 .

: .
ET (Exchange-traded fund) : 3?
,
(-)
.
,
.
3

: http://etfdb.com/2010/etfs-vs-index-funds-whats-the-difference/ ,a Michael Johnston

( 4. 2012. )

14

 , .
, -
.].
- :
-
. .
,
- . Vanguard 500 (VFINX),
1976, S&P 500, - , ,
S&P 500. Vanguard S&P 500 ET (),
S&P 500 ,
90 .
, ,
, , -

. , ,
-.

-. ,

(1,4%),
. VFINX, , 0,18%,
, -.
.
, ,
. ,
- ,
.
,
- .
?

15

 - ,
-.
-
, ,
-
. Vanguard 500
. , VFINX
0,18%, .

,
.
, ,
- .

2.8.
1. Nasdaq Composite
Nasdaq .
3.000
.

. 2: Nasdaq Composite vs. U.S. Market

16

: http://personal.fidelity.com/research/etf/content/market_indexes.shtml (
5.12.2012.)

2. Nasdaq-100 100
Nasdaq
.
. 3: Nasdaq 100 vs. U.S. Market

http://personal.fidelity.com/research/etf/content/market_indexes.shtml (
5.12.2012.)

3. Dow Jones Industrial Average (DJIA) 30

.
. 4: DJIA vs. U.S. Market

17

http://personal.fidelity.com/research/etf/content/market_indexes.shtml

5.12.2012.)

4. Russell 2000
. Russell 2000
2.000 Russell 3000.
.5: Russell 2000 vs. U.S. Maket

http://personal.fidelity.com/research/etf/content/market_indexes.shtml

5.12.2012.)

5. DJ Wilshire 5000 . - ,

18

15.000. DJ Wilshire 5000

US . ,
DJ Wilshire 5000 5076 (
) 13.115,7 (
). DJ Wilshire 5000
.
6. Russell 3000 .

3. CAPM

19


(CAPM).
:

(, .);

, .

, ,
.
(
S&P 500), ,
. CAPM ,
. (,
.) ,
, (
).
CAPM , ,
() .
.

3.1.

( ) :

ri - rf = i + i (rM - rf ) + ei,

(1.1)

ri - ;
rf - ;
i - ,
;
i - ,
;
rM - ( );

20

ei - (
).
ei ,
, (1.1)
:

ri - rf = i + i (rM - rf )

(1.2)

() ,

.
:

3.2.
General
Motors (GM). ( ),

RGMt = GM + GMRMt + eGMt,

(1.3)

RGM - ;
t .

.
(1.3) ,
eGMt:

eGMt

RGMt

( GM + GMRMt)

(1.4)

21

 =
General Motors ,
.
eGMt .
,
.
:
1.
2. (xcel)
3. .

,
S&P 500 GM
(1999-2003).

.
. 4: : , S&P 500 General
Motors; 1999-2003

(%)
(%)
(%)

0,28
0,16
0,28
18,20

S&P 500

-0,33
4,96
-0,17
-9,54

GM

0,49
11,24
0,15
9,10

(%)
: Bodie, Z, Kane, A, Marcus, A, (), , 2009,
. 214

S&P 500 (-0,33%)

2000. 2002. ,
. , GM
, (0,49%).
GM- .
, ()
S&P 500.

22

 . 2: , S&P 500 GM-

: Bodie, Z, Kane, A, Marcus, A, (), , 2009,

. 215

1
. 2000.
, ,
. 2002. .
,
(
).


. xcel, Regression
.
,
(SCL).
GM- .

. 3: GM

23

: Bodie, Z, Kane, A, Marcus, A, (), , 2009,

. 215

2001. 2.
,
, .
.

. ,
.
, .
. 5:

(R)
R-
R-

0,5465
0,2987
0,2866
9,4909
60

: Bodie, Z, Kane, A, Marcus, A, (), , 2009,

. 216

R- ,
. 0,2866
28,7% GM-
24

 , . , 71,3%
.
, .
.
, . ,
.
. 6:

t-

p-

statistic
95%
95%
() 0,8890
1,2279
0,7240 0,4720
-1,5690
3,3470
()
1,2384
0,2492
4,9697 0,0000
0,7396
1,7372
: Bodie, Z, Kane, A, Marcus, A, (), , 2009,
. 216

(), .
. ,
. - statistic
, .
: - , 47% 47%
.
95%
-1,56% 3,35%. - .
, . 95%
0,74 1,74.

General Motors .
.

, .
2,75%
5,5%, :

25

 = + *
= rf + *(rM - rf) = 2,75 + 1,24 * 5,5 = 9,57%
Ex post, . GM 1,
. ,
9%. .
,
.

.

.
:
1.

;
2. ,
.

. , .

3.3.
CAPM-,
.
. ,
,
.
.
(>1) , .

.

26


, ,
.
. ARCH
.
.
, ,
, . .

27

 .
,
.
,
, .

. ,

. ,
. ,
.

. .

28

Bodie, Z, Kane, A, Marcus, A, (),

, 2009

http://personal.fidelity.com/research/etf/content/market_indexes.shtml

http://www.standardandpoors.com/indices/sp-500/en/us/?indexId=spusa-500usduf--p-us-l--&ffFix=yes

http://www.investopedia.com/terms/s/sp500.asp#axzz2F9ocE5Ph

http://bs.wikipedia.org/wiki/S%26P_500

29

.............................................................................................................................1
1. DOW JONES INDUSTIAL AVERAGES.................................................................2
1.1.

.....................................................................................4
1.2. ......................................................................................................................5
1.3. ..................................................................................................5
2. S&P ........................................................................................................6
2.1. S&P .................................................................6
2.2. Standard & Poor sa................................................................................7
2.3. ...............................................................................................................8
2.4. S&P 500 .......................................................................................9
2.5. S&P 500.......................................................................11
2.6. ..................................................................................12
2.7. ..............................................................................................12
2.8. ...........................................15
3. CAPM ........................................................................19
3.1. ..................................................................................................19
3.2. ..........................................................................20
3.3. .................................................................................................25
................................................................................................................27
............................................................................................................28
...................................................................................................................29

30

31