Data

3/29/2013
3/28/2013
3/27/2013
3/26/2013
3/25/2013
3/22/2013
3/21/2013
3/20/2013
3/19/2013
3/18/2013
3/15/2013
3/14/2013
3/13/2013
3/12/2013
3/11/2013
3/8/2013
3/7/2013
3/6/2013
3/5/2013
3/4/2013
3/1/2013
2/28/2013
2/27/2013
2/26/2013
2/25/2013
2/22/2013
2/21/2013
2/20/2013
2/19/2013
2/18/2013
2/15/2013
2/14/2013
2/13/2013
2/12/2013
2/11/2013
2/8/2013
2/7/2013
2/6/2013
2/5/2013
2/4/2013
2/1/2013
1/31/2013
1/30/2013

ATB

BCC

SNP

0.4582
0.458
0.457
0.4585
0.46
0.4591
0.462
0.46
0.4575
0.455
0.46
0.4629
0.4637
0.46
0.455
0.46
0.454
0.4501
0.4509
0.45
0.45
0.445
0.4445
0.44
0.446
0.442
0.441
0.445
0.439
0.44
0.439
0.445
0.4403
0.4381
0.44
0.4382
0.443
0.44
0.4391
0.441
0.4414
0.435
0.4398

0.0492
0.049
0.048
0.048
0.0505
0.051
0.0522
0.0518
0.0515
0.0518
0.0525
0.0528
0.0527
0.0523
0.0531
0.0531
0.0531
0.0528
0.052
0.0522
0.0522
0.0525
0.0525
0.052
0.053
0.053
0.052
0.053
0.0542
0.0545
0.0547
0.0535
0.0538
0.0534
0.0535
0.0535
0.0543
0.053
0.054
0.0539
0.0535
0.052
0.053

0.4506
0.458
0.462
0.467
0.46
0.4545
0.462
0.4705
0.466
0.462
0.4705
0.47
0.457
0.4579
0.4508
0.452
0.451
0.45
0.4502
0.4433
0.442
0.448
0.4465
0.4438
0.448
0.4521
0.443
0.4471
0.434
0.43
0.4291
0.429
0.4352
0.4283
0.4358
0.438
0.44
0.443
0.446
0.446
0.4487
0.4393
0.447

Rentabilitate
zilnica ATB
0.00043668
0.00218818
-0.00327154
-0.00326087
0.00196036
-0.00627706
0.00434783
0.00546448
0.00549451
-0.01086957
-0.00626485
-0.00172525
0.00804348
0.01098901
-0.01086957
0.01321586
0.00866474
-0.00177423
0.00200000
0.00000000
0.01123596
0.00112486
0.01022727
-0.01345291
0.00904977
0.00226757
-0.00898876
0.01366743
-0.00227273
0.00227790
-0.01348315
0.01067454
0.00502168
-0.00431818
0.00410771
-0.01083521
0.00681818
0.00204965
-0.00430839
-0.00090621
0.01471264
-0.01091405

Rentabilitate
zilnica BCC
0.00408163
0.02083333
0.00000000
-0.04950495
-0.00980392
-0.02298851
0.00772201
0.00582524
-0.00579151
-0.01333333
-0.00568182
0.00189753
0.00764818
-0.01506591
0.00000000
0.00000000
0.00568182
0.01538462
-0.00383142
0.00000000
-0.00571429
0.00000000
0.00961538
-0.01886792
0.00000000
0.01923077
-0.01886792
-0.02214022
-0.00550459
-0.00365631
0.02242991
-0.00557621
0.00749064
-0.00186916
0.00000000
-0.01473297
0.02452830
-0.01851852
0.00185529
0.00747664
0.02884615
-0.01886792

Rentabilitate
zilnica SNP
-0.01615721
-0.00865801
-0.01070664
0.01521739
0.01210121
-0.01623377
-0.01806589
0.00965665
0.00865801
-0.01806589
0.00106383
0.02844639
-0.00196549
0.01574978
-0.00265487
0.00221729
0.00222222
-0.00044425
0.01556508
0.00294118
-0.01339286
0.00335946
0.00608382
-0.00937500
-0.00906879
0.02054176
-0.00917021
0.03018433
0.00930233
0.00209741
0.00023310
-0.01424632
0.01611020
-0.01720973
-0.00502283
-0.00454545
-0.00677201
-0.00672646
0.00000000
-0.00601738
0.02139768
-0.01722595

1/29/2013
1/28/2013
1/25/2013
1/24/2013
1/23/2013
1/22/2013
1/21/2013
1/18/2013
1/17/2013
1/16/2013
1/15/2013
1/14/2013
1/11/2013
1/10/2013
1/9/2013
1/8/2013
1/7/2013
1/4/2013
1/3/2013

0.4232
0.4151
0.419
0.4194
0.4121
0.401
0.4
0.39
0.4
0.3974
0.3974
0.4069
0.4
0.4043
0.3919
0.388
0.38
0.3785
0.3825

0.0525
0.0518
0.0518
0.0524
0.052
0.0518
0.0521
0.055
0.056
0.055
0.057
0.0575
0.052
0.0538
0.054
0.0478
0.0416
0.041
0.0402

0.452
0.4585
0.46
0.454
0.46
0.452
0.4518
0.462
0.465
0.47
0.47
0.467
0.4531
0.4439
0.4415
0.444
0.4351
0.443
0.44

0.03922495
0.01951337
-0.00930788
-0.00095374
0.01771415
0.02768080
0.00250000
0.02564103
-0.02500000
0.00654253
0.00000000
-0.02334726
0.01725000
-0.01063567
0.03164072
0.01005155
0.02105263
0.00396301
-0.01045752

0.00952381
0.01351351
0.00000000
-0.01145038
0.00769231
0.00386100
-0.00575816
-0.05272727
-0.01785714
0.01818182
-0.03508772
-0.00869565
0.10576923
-0.03345725
-0.00370370
0.12970711
0.14903846
0.01463415
0.01990050

-0.01106195
-0.01417666
-0.00326087
0.01321586
-0.01304348
0.01769912
0.00044267
-0.02207792
-0.00645161
-0.01063830
0.00000000
0.00642398
0.03067755
0.02072539
0.00543601
-0.00563063
0.02045507
-0.01783296
0.00681818

Rentabilitatea Rentabilitatea
asteptata E(Ri) asteptata E(Ri)
ATB
BCC
0.00303804
0.00382483

Rentabilitatea
asteptata E(Ri)
SNP
0.00047776

MATRICE

0.00014768
0.00011779
0.00001710
0.00303804
1

0.00011779
0.00107380
0.00009143
0.00382483
1

0.00001710
0.00009143
0.00017561
0.00047776
1

INVERSARE
1586.451072
-1213.526099
-372.9249726
299.0690671
0.006435653

-1213.526099
928.2641107
285.2619884
70.00175663
-0.147663875

-372.9249726
285.2619884
87.66298418
-369.0708237
1.141228222

MATRICE PENTRU PVMA

0.00017789
0.00013457
0.00001242
1

0.00013457
0.00130841
0.00013750
1

0.00001242
0.00013750
0.00016790
1

INVERSARE
3315.89510093 -421.06093124 -2894.83416969
-421.06093124 885.89097745 -464.83004621
-2894.83416969 -464.83004621 3359.66421590
0.50274304
-0.03853423
0.53579120

0.00303804
0.00382483
0.00047776
0
0

1
1
1
0
0

x1= 8.978508
x2= 1.952389
x3=
-9.9309
-1.09292
0.001934

299.069067 0.006436
70.0017566 -0.14766
-369.070824 1.141228
-38.8256553 0.071851
0.07185074 -0.00022

0.000000
0.000000
0.000000
0.030000
1.000000

1
1
1
0

0.50274304
-0.03853423
0.53579120
-0.00009091

EP*(sperat)
4.50%
PVMA
1.20%
2%
3%

0
0
0
1

x1=
x2=
x3=

0.50274304
-0.03853423
0.53579120
-0.00009091

0
0
0
0.03
1

x1
13.4645
0.5027
3.595264
5.987817
8.978508

x2
3.0024
-0.0385
0.692357
1.252371
1.952389

x3
-15.467
0.53579
-3.28762
-6.24019
-9.9309

risc %
26.90291
0.949756
6.393612
11.34795
17.56514

10.4
1.2
2.4
6
1

1.2
4.2
0.8
3
1

2.4
0.8
5
4
1

6
3
4
0
0

1
1
1
0
0

0.018868 0.037736
-0.0566 0.343396 -1.16604
0.037736 0.075472 -0.11321 -0.31321 1.667925
-0.0566 -0.11321 0.169811 -0.03019 0.498113
0.343396 -0.31321 -0.03019 -1.35019 4.978113
-1.16604 1.667925 0.498113 4.978113 -20.9389

10.4
1.2
2.4
1

1.2
4.2
0.8
1

2.4
0.8
5
1

0
0
0
0
1
-1.16604
1.667925
0.498113
4.978113
-20.9389

1
1
1
0

0.106205 -0.04192 -0.06428 0.100056

-0.04192 0.148127
-0.1062 0.513136
-0.06428
-0.1062 0.170486 0.386808
0.100056 0.513136 0.386808 -2.58468

0.100056
0.513136
0.386808
-2.58468

0
0
0
1