Uvod U Portfolio Menadzment-Seminarski

Univerzitet Metropolitan
FEFA fakultet
Seminarski rad
Analiza portfolija
Mentor: Student:
Doc. dr Milan Nedeljković Nikaljević Ljubica 16/066
Beograd, 2020.
UNIVERZITET METROPOLITAN
FEFA
Beograd, Bulevar Zorana Đinđića 44
SEMINARSKI RAD
Analiza portfolija
Mentor: Doc. dr Milan Nedeljković

Kandidat: Ljubica Nikaljević
Broj dosijea: 16/ 066
Potvrđujem svojim potpisom da sam sve navode drugih autora izričito označila, i
da nisam pokušala da tuđi rad predstavim kao svoj, kao i da mi je poznato da ću u
slučaju plagijata biti isključena sa daljih studija. Poznato mi je i da Fakultet ima
sva prava da raspolaže mojim radom.
_____________________
[Potpis kandidata]
Sadržaj
1.Uvod.........................................................................................................................................................5
2
2.Akcije........................................................................................................................................................6
2.1 Podijela akcija....................................................................................................................................6
3.Odabir akcija za ulaganje..........................................................................................................................7
4. Postupak rada „Porfolio“.........................................................................................................................9
4.1. Prvi signal-Momentum 3m-1y..........................................................................................................9
4.2 Drugi signal-Momentum 3m............................................................................................................11
4.3 Treći signal – beta 3m......................................................................................................................11
4.4. Mere performansi portfolija...........................................................................................................11
5. Konačni rezultat i zaključak....................................................................................................................12
6.Portfolio –CENE tabela...........................................................................................................................13
6.2 Portfolio-PRINOSI tabela......................................................................................................................14
6.3 BETA tabela.........................................................................................................................................15
7.Momentum PRINOSI 3m-1y 14-16 tabela..............................................................................................16
7.1 Momentum 3m-1y RANK 14-16 tabela............................................................................................17
7.2 Momentum 3m-1y PONDER 14-16 tabela.......................................................................................18
7.3. Momentum 3m-1y KOLIČINA 14-16 tabela.....................................................................................19
7.4 Momentum 3m-1y REZULTAT 14-16 tabela.....................................................................................20
8. Momentum 3m PRINOSI 14-16 tabela...................................................................................................21
8.1 Momentum 3m RANK 14-16 tabela.................................................................................................22
8.2 Momentum 3m PONDER 14-16 tabela............................................................................................23
8.3 Momentm 3m KOLIČINA 14-16 tabela.............................................................................................24
8.4 Momentum 3m REZULTAT 14-16 tabela..........................................................................................25
9. Beta 3meseca 14-16 tabela...................................................................................................................26
9.1 Beta 3meseca RANK 14-16 tabela....................................................................................................27
9.2 Beta 3m PONDER 14-16 tabela........................................................................................................28
9.3 Beta 3m KOLIČINA 14-16 tabela......................................................................................................29
9.4 Beta 3m REZULTAT 14-16 tabela.....................................................................................................30
10. Beta portfolija 14-16 tabela.................................................................................................................31
10.1 Performanse portfolija tabela............................................................................................................32
11. Momentum 3m PRINOSI 17-19 tabela.................................................................................................33
11.1 Momentum 3m RANK 17-19 tabela...............................................................................................34
11.2 Momentum 3m PONDER 17-19 tabela..........................................................................................35
11.3 Momentum 3m KOLIČINA 17-19 tabela.........................................................................................36
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11.4 Momentum 3m REZULTAT 17-19 tabela........................................................................................37
12. Literatura.............................................................................................................................................38
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1.Uvod
Portfolio je grupa projekata, programa i drugih povezanih operativnih poslova

kojima su određeni prioriteti, i oni su implementirani sa ciljem da se realizuju
strateški ciljevi kompanije. Na ovaj način se optimizuje korišćenje resursa,
smanjuju rizici, uvećavaju benefiti i performanse organizacije . Evo kako bi trebalo
da izgleda u savršenoj kompaniji. Sve bi se moglo uraditi u pet koraka:
 Strateški ciljevi
 Predlozi projekta
 Izbor najboljih predloga projekata- kreiranje portfolija
 Realizacija portfolija
 Monitoring i kontrola portfolija
Postoji nemačka izreka koja kaže “koja je korist od trčanja, ako si na pogrešnoj
stazi”, onda bi upravljanje projektima bilo jednako učestvovanju u trci, a
upravljanje portfolijom trčanje pravom stazom.
(Izvor: Project management Srbija)
U ovom radu će biti prikazan portfolio na osnovu signala. Portfolio će se sastojati
akcija nekoliko kompanija kompanija. U prvom delu rada će biti reči o akcijama,
dok ćemo u drugom delu objasniti kako najbolje izabrati prave akcije za ulaganje.
U trećem delu ćemo prikazati postupak rada „Portfolio“, njegove signale i mere
performansi i u četvrtom delu su konačni rezultati i zaključak. Nakon toga imamo
detaljni postupak odnosno tabele kako smo došli do određenog rezultata.
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2.Akcije
Akcija predstavlja jedno od sledeća dva značenja:

-udio koji svaki učesnik akcionarskog društva ima u imovini društva (njegov
osnovni udio)
-dokument pomoću kojeg njen vlasnik stiče pravo da učestvuje u raspodjeli dobiti
akcionarskog društva (dividende).
Osnovni kapital društva podijeljen je na akcije čija je najniža nominalna vrijednost
određena zakonskim propisima. Maksimalna nominalna vrijednost se određuje
statutom društva, odnosno ugovorom zaključenim između učesnika u društvu.Pod
pojmom akcija najčešće se podrazumijeva dokument koja se izdaje učesniku
društva koji uplati svoj udio i na osnovu koje se stiče pravo, kako na učešće u
organima upravljanja društva, tako i u raspodjeli njegove dobiti.Akcije se izdaju,
po pravilu, u obliku hartija od vrijednosti koje glase na ime ili na donosioca.
Moguće je i izdavanje akcija po naredbi. Pravilo je da se akcije mogu prenositi bez
obzira kako je vlasnik određen.
2.1 Podijela akcija
Akcije se dijele:
1) u odnosu na vrijeme kada se izdaju, na:
-privremene; obično se izdaju prilikom osnivanja društva, i traju sve dok
vlasnik takve akcije ne uplati u potpunosti određenu svotu na ime svog udjela
u društvu, nakon čega se privremene akcije povlače i zamenjuju se stalnim)
-stalne
2) u odnosu na sadržaj prava koje daju imaocima, na:

-obične; vlasnici ovih akcija uživaju prava koja su statutom predviđena za sve
učesnike društva
-preferencijalne; vlasnici ovih akcija imaju izvesne privilegije u odnosu na ostale
učesnike; obično imaju pravo na veću dividendu, pravo da prvenstveno oni budu
birani u organe upravljanja društva itd.; izdaju se najčešće prilikom povećavanja
osnovnog kapitala društva, a obično su namijenjene novim akcionarima.
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Akcije se međusobno razlikuju i po broju glasova koji pripadaju vlasnicima
prilikom donošenja odluka u organima društva. Sa stanovišta vlasničkog rizika,
akcije su rizičniji finansijski instrument od obveznica, jer akcionarsko društvo prvo
mora da isplati kamate na izdate obveznice, pa onda da raspodjeljuje dividende.
Međutim, u uslovima inflacije akcije su manje rizični finansijski instrumenti.
Akcije imaju varijabilnu dividendu koja zavisi od visine dobiti preduzeća.Tržišna
cijena sigurnih akcija je njihova sadašnja vrijednost, koja je dobijena na osnovu
diskontovanja budućih prihoda od akcija po odgovarajućoj stopi prinosa. Tržišna
cijena rizičnih akcija sadrži pored sigurnih prinosa i premiju za rizik, koja raste sa
povećanjem rizika. Slučajni ili nesigurni hod je naziv za kretanje tržišnih cijena
akcija; dnevno kretanje cijena akcija deluje haotično i nepredvidljivo, ali opšti
indeks cijena akcija (npr. Dou-Džons indeks) pokazuje uzlazno kretanje na dugi
rok. Koeficijent koji mjeri stepen rizičnosti svake akcije naziva se beta-koeficijent-
on predstavlja odnos između rizičnosti date akcije i opšteg nivoa rizičnosti cijelog
tržišta akcija i procjenjuje se običnim statističkim metodama.
Akcije mogu biti osnivačke i nove, nove akcije se emituju radi povećanja kapitala
akcionarskog društva. Jednom izdate akcije nikada se ne povlače sa sekundarnog
tržišta akcija tako da je obim novih dionica relativno mali u odnosu na njihov
ukupan zbir.
(Izvor: Tandem financial)
3.Odabir akcija za ulaganje
Invastiranje nikada nije bila laka odluka. Moramo znati da je svako tržište
nestabilno,i da cene akcija mogu preko noći da padnu kao i da porastu. Takođe je
potrebno pratiti sva dešavanja na finansijskim tržištima i imati osnovno znanje o
poslovanju na berzi. Pre odluke u koje akcije investirati zanimaju nas troškovi koje
imaju, kao i tehnički aspekti trgovanja a tek retko ko pokušava da sazna koji nivo
rizika podrazumeva investiranje u datu akciju što je veoma bitno znati. Nekoliko
savjeta za ulaganje koja su dali dva najveća investitora u istoriji berze- Voren Bafet
i njegov učitelj Bendžamin Grejem:
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1. Kupujte manji broj kvalitetnih akcija –Voren savjetuje da raspoloživa
sredstva ne rasipamo na veliki broj različitih akcija .Moramo znati da
prepoznamo kvalitetnu priču koja ima dugoročni potencijal i tu uložiti
sredstva. Vremenom bićemo sposobni da sami prepoznamo pravu akciju za
ulaganja i tada cijena više ne igra glavnu ulogu. Bolje kupiti akcije uspješne
kompanije po fer cijeni, nego akcije prosječne kompanije po povoljnoj
cijeni.
2. Podijelite ukupan kapital na akcije i obveznice- Voren savjetuje
diversifikaciju. Diversifikacija znači da, pored akcija koje su najrizičnije
hartije od vrijednosti, investirate i u obveznice. Obveznice imaju znatno
sporiji trend promjene cijene, što nam daje dovoljno vremena da reagujemo.
3. Ne ulažite u sektor koji ne razumijete-Razumijevanje sektora nam

omogućava da jednostavnije pratimo trendove, prikupljamo informacije i
predviđamo kretanja. Po Bafetovom mišljenju – “u slučaju da niste spremni
da držite akciju 10 godina, onda nemojte pokušavati ni 10 minuta“.
4. Ne vezujte vaše emocije za kretanje berze-Cijene akcija variraju i upravo u

tom variranju je šansa za sticanje profita. Veliki broj ljudi panično reaguje
kada cijene padaju ili odmah trči da proda kada one rastu. Od svojih
naslednika, Grejem je tražio da se odupru tim emocijama i posmatraju
trendove hladne glave. Za one iskusne investitore svaka promjena na berzi je
dobra jer donosi određene šanse za zaradu.
5. Kupujte akcije kompanija koje redovno isplaćuju dividendu-Redovna isplata

dividendi je znak da firma posluje pozitivno. Ako želimo da smanjimo rizik,
Grejem daje još jedan prost savjet – kupujte kompanije čije akcije donose
stabilnu i umjerenu zaradu u posljednjih pet godina.
(Izvor: Erste Bank)

Kako Voren Bafet kaže: „Prvo investirajte u sebe. Znanje je najbolja investicija te
vrste“.
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4. Postupak rada „Porfolio“
Nakon što smo izabrali 15 akcija , u prvom sheetu-u pod nazivom „Cene“ prikazali
smo cijene akcija u svakom mjesecu u vremenskom periodu od početka 2013
godine do kraja 2019 godine. U sledećem sheetu-u „Beta“ za kompletno isti
period,isto mesečno, smo prikazali podatke o beta koeficijentu svake akcije.Zatim,
u sheetu-u „Prinosi“ smo predstavili relativna povećanja ili smanjenja prinosa koji
nastaju uslijed kretanja cijena akcija,u odnosu na prošli period tj. u našem slučaju u
odnosu na prethodni mjesec. Kada smo prikupili i prikazali osnovne
podatke,možemo da nastavimo sa analizom i pravljenjem određenih signala. Mi
smo odlučili da u našem radu predstavimo 2 momentum signala (MOM)-koji
predstavlja prinos na diversifikovani portfolio akcija firmi sa visokom prosječnom
stopom tokom određenog nedavnog perioda koji se finansira prodajom na kratko
akcija firmi sa niskim prinosom za isti period-u jednom smo posmatrali vremenski
horizont od 9 mjeseci,a u drugom vremenski horizont od 3 mjeseca. Pored 2
momentum signala,predstavili smo i signal bete (BAB)-koji predstavlja prinos na
diversifikovani portfolio sa nisko ocjenjenom betom u odnosu na tržište tokom
određenog nedavnog perioda koji se finansira prodajom na kratko akcija firmi sa
visokom betom-za koji smo uzeli vremenski horizont od 3 mjeseca.
4.1. Prvi signal-Momentum 3m-1y
Prvo šta smo uradili je da smo izračunali prosječne prinose za odabrane periode,
jer MOM signal podrazumijeva investiranje u firme sa visokom prosječnom
stopom prinosa. U sheet-u „Momentum 3m-1y PRINOSI 14-16“ su prikazani
kvartalni prosječni prinosi od 2014 godine do 2016 godine-u ovom signalu smo
analizirali podatke za period od 9 mjeseci prije kvartala kojeg posmatramo (npr. Za
prvi kvartal 2014 godine smo uzimali podatke od aprila 2013 do decembra 2013,za
drugi kvartal 2014 smo uzimali podatke od juna 2013 do marta 2014 godine,itd).
Kada smo izračunali prosječne prinose za određene periode,potrebno je da
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saznamo koja od kompanija ima najveću stopu prinosa za svaki kvartal da bi mogli
da znamo u koju je najbolje ulagati. Zatim,napravili smo sheet „Momentum 3m-1y
RANK 14-16“, u kojem smo koristeći funkciju RANK.AVG saznali 7 akcija sa
najvećim prinosima za svaki kvartal od 2014 do 2016 godine. Sledeći korak jeste
dodjeljivanje pondera ovim akcijama kako bismo znali koju količinu od svake
treba da kupimo u određenom kvartalu,a da bude do 1000$ koliko iznosi naš
budžet. U sheet-u „Momentum 3m-1y PONDER 14-16“ smo dodelili kao što sam
već navela,jednake pondere za 7 najbolje rangiranih akcija za sve kvartale od
2014-2016 godine. Slede 2 poslednja koraka za ovaj signal koja ćemo posmatrati i
objasniti zajedno a to su sheet-ovi „Momentum 3m-1y KOLIČINA 14-16“ i
„Momentum 3m-1y REZULTAT 14-16“. Raspoloživim budžetom od 1000$ treba
da uklopimo sve akcije koje smatramo da treba da kupimo. To ćemo uraditi tako
što ćemo samo za prvi kvartal pomnožiti ponder sa raspoloživim sredstvima
(1000$) i zatim podijeliti sa cijenom sa kraja kvartala,dok za svaki sledeći kvartal
moramo uzeti u obzir da više ne raspolažemo sa istom vrednošću budžeta. Budžet
se menja promenama cena akcija u datom periodu. To znači da svaki sledeći
kvartal nećemo računati sa budžetom od 1000,već sa iznosom koji dobijamo nakon
držanja tih akcija na kraju prethodnog vremenskog perioda. U sheet-u „Momentum
3m-1y REZULTAT 14-16“ dobijamo krajnje vrijednosti tako što pomnožimo
količinu koju smo objasnili kako se dobija sa cijenom akcije na kraju tog kvartala.
Zatim ćemo u istom sheet-u izračunati prinos na osnovu krajnih vrednosti,istim
postupkom kao što smo računali u sheet-u „Prinosi“,prosečan prinos ćemo
izračunati funkcijom „Average“ i pomnožiti sa 4 (na godišnjem nivou) i dobijamo
rezultat 11,55% ,standardnu devijaciju smo izračunali funkcijom „stdev“ za prinos
i pomnožili sa „sqrt(4)“ da bi vidjeli na godišnjem nivou i rezultat je 11,78%.
Zaradu dobijamo tako što od poslednje vrednosti portfolija oduzmemo početni
budžet a rezultat koji dobijamo je 373,71$.
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4.2 Drugi signal-Momentum 3m
Pustupak rađenja signala momentum 3m je isti kao i za prethodni signal i njega

možete vidjetu u sheet-ovima „Momentum 3m PRINOSI 14-16“ do „Momentum
3m REZULTAT 14-16“. Jedina promjena koju smo morali da uradimo je vezano
za vremenski horizont. Više ne uzimamo vremenski horizont od 9 mjeseci već od
3,što znači da smo u sheet-u „Momentum 3m PRINOSI 14-16“ za prvi kvartal
2014 godine uzeli podatke iz perioda od oktobra do decembra 2013 godine. Za dati
signal rezultati koje smo dobili su : prosječni prinos iznosi 11,54%,standardna
devijacija iznosi 9,29% dok nam je zarada 373,64
4.3 Treći signal – beta 3m
Ovaj signal implicira da treba da ulažemo u akcije sa što nižim beta koeficijentom.
Odlučili smo da signal radimo za vremenski horizont od 3 mjeseca. U sheet-u
„Beta 3 meseca 14-16“ smo na osnovu podataka iz sheet-a „BETA“ izračunali
prosječne vrednosti svih kompanija za određene kvartale . Zatim, u sheet-u „Beta
3m RANK 14-16“ smo koristili funkciju RANK.AVG za 7 akcija sa najnižom
betom,ovaj put rangiranje ide od najniže vrednosti na prvom mestu do najviše na
zadnjem. Nastavak postupka od sheet-a „Beta 3m PONDER 14-16“ do „Beta 3m
REZULTAT 14-16“ je isti kao i za prethodna dva signala. Rezultate koje smo
dobili u ovom signalu su: prosječni prinos nam je -11,85%, standardna devijacija
13,97% i u ovom slučaju nismo zaradili već smo u gubitku -278,28.
4.4. Mere performansi portfolija
Performanse portfolija procjenjujemo kroz odgovarajući odnos prinosa i rizika. Da

bismo znali koji signal je najbolji pratioca za ulaganje,moramo ih svesti na istu
meru a to smo uradili u sheet-u „ Beta portfolio“ tako što smo pondere od sva tri
signala pomnožili sa beta koeficijentom. Zatim ,uradili smo 2 mere performansi a
to su Šarpova mjera i Trejnerova mjera. Šarpova mjera pokazuje dodatni prinos
portfolija po jedinici rizika ,dok Trejnerova mjera pokazuje dodatni prinos
portfolija po jedinici sistemskog rizika. Primjenjivajući ove dve mere,uočili smo da
najbolje rezultate daje signal „Momentum 3m“.
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5. Konačni rezultat i zaključak
Nakon odabira najboljeg signala ,uradili smo isti postupak kao za signal
„Momentum 3m 14-16“ za vremenski period od 2017 godine do 2019 godine i to
se nalazi u sheet-ovima od „Momentum 3m PRINOSI 17-19“ do „Momentum 3m
REZULTAT 17-19“. Rezultati su : prosječan prinos nam iznosi 16,32%,
standardna devijacija je 22,59% a zarada da smo stvarno ulagali bi bila 566,58.
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Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX
Januar (2013) 56.99 265.5 20.18 56.04 376.43 27.77 67.18 16.97 60.85 38.60 29.86 60.00 31.22 16.31 44.78
Februar (2013) 55.22 264.27 20.13 58.95 399.10 25.18 70.47 16.84 62.65 40.41 31.05 61.31 32.12 15.94 46.82
Mart (2013) 55.70 266.49 21.69 59.06 395.61 24.22 74.40 17.81 67.65 39.20 32.43 62.01 33.48 17.73 54.97
April (2013) 55.72 253.81 20.11 63.97 410.75 26.04 75.78 19.53 70.72 40.48 34.19 61.78 34.42 19.26 76.82
Maj (2013) 56.59 269.2 19.68 62.52 433.98 25.93 75.74 19.80 69.85 45.37 32.30 62.23 31.33 17.43 80.33
Jun (2013) 50.23 277.69 19.05 60.82 438.54 26.85 76.24 19.94 71.78 43.87 32.39 62.41 31.83 24.35 80.06
Jul (2013) 57.32 301.22 20.54 60.71 442.22 30.14 81.02 19.21 78.17 46.32 32.59 65.10 32.34 23.66 79.8
Avgust (2013) 61.72 280.98 20.37 60.44 421.87 30.66 78.53 18.09 72.24 42.30 31.05 63.62 30.02 22.92 75.15
Septembar (2013) 60.79 312.64 20.70 64.82 436.32 33.99 79.40 19.05 73.02 43.27 30.81 61.74 30.04 25.49 75.82
Oktobar (2013) 66.65 364.03 22.55 65.80 513.37 35.53 85.18 20.34 78.01 43.15 32.41 65.95 29.85 27.21 71.35
Novembar (2013) 70.90 393.62 23.06 69.51 527.82 36.90 83.17 19.81 79.73 48.26 32.92 69.32 30.01 25.53 69.42
Decembar (2013) 71.95 398.79 23.95 70.03 558.26 35.10 83.89 21.78 77.69 49.32 34.08 67.01 30.36 33.01 74.3
Januar (2014) 64.20 358.69 23.74 63.91 588.28 34.56 85.76 20.59 75.04 46.69 31.20 63.07 30.46 30.00 79.04
Februar (2014) 67.49 362.1 25.76 64.01 605.56 41.16 91.30 20.77 78.14 48.23 31.51 65.24 31.67 29.93 80.86
Mart (2014) 69.25 336.37 25.54 62.37 555.45 42.39 90.48 21.86 83.92 51.53 31.89 66.84 32.86 32.42 70.72
April (2014) 76.13 304.13 26.18 67.68 525.22 44.17 83.41 22.60 86.53 47.52 33.91 68.46 34.27 28.75 67.7
Maj (2014) 81.67 312.55 28.12 71.45 558.36 45.57 84.36 23.14 86.68 47.47 34.01 67.54 32.74 33.69 72.26
Jun (2014) 84.40 324.78 29.33 69.44 573.70 47.11 84.81 26.39 90.00 49.22 35.22 65.70 34.33 32.99 94.68
Jul (2014) 86.82 312.99 28.67 68.69 570.03 42.90 76.78 28.95 86.10 49.26 32.91 64.64 32.75 32.33 88.91
Avgust (2014) 93.09 339.04 29.99 71.84 570.03 42.37 79.63 29.83 89.23 51.14 34.95 70.03 33.99 29.52 93.57
Septembar (2014) 91.95 322.44 29.73 70.05 575.78 40.54 83.61 29.94 92.32 51.82 35.74 70.56 33.41 28.33 112.31
Oktobar (2014) 98.57 305.46 30.27 70.48 557.55 43.65 84.03 29.24 93.35 52.02 35.34 73.54 35.49 28.65 112.64
Novembar (2014) 108.55 338.64 31.51 69.50 540.35 45.08 87.86 32.03 93.75 52.10 37.83 76.78 36.72 28.65 117.88
Decembar (2014) 101.18 310.35 32.16 71.67 524.96 41.57 91.57 31.41 91.16 54.19 35.87 77.34 38.02 26.44 118.8
Januar (2015) 107.39 354.53 29.87 66.39 533.06 41.56 90.05 28.60 87.29 47.09 34.98 71.57 39.27 29.62 110.14
Februar (2015) 117.75 380.16 33.83 77.76 556.87 39.39 91.44 28.78 89.36 53.41 36.79 72.80 35.45 32.42 119.43
Mart (2015) 114.51 372.1 33.44 78.45 546.50 37.72 89.35 27.26 88.31 52.80 34.45 70.07 35.06 31.10 117.97
April (2015) 115.17 421.78 34.75 76.68 537.34 36.22 81.39 28.37 87.08 55.13 34.75 67.99 35.08 33.41 123.28
Maj (2015) 119.89 429.23 33.61 82.48 532.11 36.45 82.23 30.04 87.90 57.71 35.09 67.57 34.59 38.16 128.29
Jun (2015) 115.91 434.09 33.33 81.97 520.51 35.21 79.10 26.71 86.18 59.45 33.61 67.44 33.60 38.05 123.48
Jul (2015) 112.09 536.15 32.23 84.29 625.61 33.97 82.72 25.42 88.61 60.12 35.48 66.12 35.86 39.90 135
Avgust (2015) 104.35 512.89 31.32 75.45 637.61 30.48 80.36 25.06 83.10 56.60 33.96 61.42 34.81 38.87 133.75
Septembar (2015) 102.39 511.89 29.67 76.55 608.42 29.08 82.34 26.68 83.17 53.84 34.65 62.52 36.26 39.07 104.14
Oktobar (2015) 110.93 625.9 32.68 76.34 710.81 29.16 79.48 29.98 90.02 56.74 36.90 66.38 36.59 37.19 124.74
Novembar (2015) 109.82 664.8 33.11 79.81 742.60 31.11 77.35 30.78 90.20 59.31 37.13 65.62 36.13 34.84 129.36
Decembar (2015) 98.13 675.89 34.83 83.85 758.88 30.55 80.56 30.71 92.20 58.73 37.71 69.63 38.42 39.12 125.83
Januar (2016) 90.75 587 32.00 81.17 742.95 29.32 79.51 27.66 93.74 52.92 37.68 71.63 40.17 40.15 90.75
Februar (2016) 90.14 552.52 31.71 86.96 697.77 33.76 82.02 26.38 94.43 50.41 37.86 71.02 39.56 37.10 85.49
Mart (2016) 102.16 593.64 34.27 90.09 744.95 33.31 83.64 29.10 97.82 53.03 40.73 72.80 42.95 38.30 79.49
April (2016) 87.86 659.59 34.31 91.58 693.01 36.46 84.57 27.23 101.33 56.59 39.64 70.87 41.60 39.28 84.34
Maj (2016) 93.60 722.79 34.75 87.67 735.72 36.37 84.33 28.41 101.88 58.88 39.46 72.27 41.05 42.76 93.15
Jun (2016) 90.15 715.62 34.88 87.23 692.10 36.28 103.75 29.76 110.45 56.05 40.11 75.50 45.03 43.27 86.02
Jul (2016) 98.27 758.81 34.09 89.03 768.79 47.04 101.25 31.62 114.02 57.70 38.90 76.32 44.92 46.34 97
Avgust (2016) 100.06 769.16 38.20 85.52 767.05 42.49 91.31 32.56 108.66 61.36 38.72 78.47 43.10 46.34 94.51
Septembar (2016) 107.19 837.31 39.67 85.15 777.29 41.65 87.87 34.51 108.28 60.53 37.73 80.66 43.53 46.72 87.21
Oktobar (2016) 107.65 789.82 37.30 83.78 784.54 42.32 94.17 31.87 106.31 62.96 38.11 78.01 43.76 49.73 75.86
Novembar (2016) 104.79 750.57 36.33 74.71 758.04 45.64 88.82 31.72 102.02 73.41 36.27 74.68 39.73 54.21 81.61
Decembar (2016) 110.38 768.66 74.64 73.87 771.82 43.77 95.67 33.40 106.33 78.28 38.07 76.15 42.23 57.51 73.67
Januar (2017) 115.65 823.48 37.04 78.43 796.79 42.69 97.55 33.91 104.52 77.49 37.68 79.34 42.44 62.27 85.87
Februar (2017) 130.55 845.04 35.71 80.01 823.21 45.63 100.22 33.34 112.79 83.44 38.03 83.13 43.63 62.53 90.62
Mart (2017) 137.50 886.54 36.19 82.22 829.56 45.18 101.63 33.46 115.71 80.88 38.47 82.02 43.24 64.59 109.35
April (2017) 137.49 924.99 37.48 84.49 905.96 45.39 100.65 33.53 114.71 80.10 39.46 79.72 43.26 67.27 118.3
Maj (2017) 146.21 994.62 39.87 91.28 964.86 46.46 107.23 33.49 119.15 76.51 41.58 81.03 43.96 67.42 123.6
Jun (2017) 138.42 968 41.25 93.41 908.73 45.56 100.43 31.53 123.72 85.13 41.01 80.16 42.08 60.62 128.87
Jul (2017) 142.94 987.78 40.95 96.34 930.50 45.25 98.50 33.15 124.12 85.50 42.26 83.54 42.12 61.66 151.82
Avgust (2017) 157.62 980.6 39.08 104.12 939.33 46.43 98.14 32.77 123.79 85.12 41.99 85.54 42.41 64.71 160.54
Septembar (2017) 148.70 961.35 40.46 105.29 959.11 48.66 102.74 35.85 122.36 89.44 41.50 84.34 43.70 61.66 152.04
Octobar (2017) 163.10 1105.28 42.06 109.16 1016.64 52.05 99.92 42.83 131.20 94.22 42.73 80.04 46.42 59.77 146.23
Novembar (2017) 165.81 1176.75 39.10 121.87 1021.41 57.08 104.39 42.22 131.13 98.45 42.53 84.05 45.54 61.07 144.29
Decembar (2017) 163.87 1169.47 37.18 124.60 1046.40 54.77 107.46 43.72 132.30 100.73 42.98 85.81 43.25 63.51 149.86
Januar (2018) 162.13 1450.89 37.60 132.16 1169.94 58.85 104.45 45.59 130.85 108.96 44.59 80.64 40.57 65.10 166.87
Februar (2018) 172.48 1512.45 39.24 135.57 1104.73 55.39 93.02 46.68 122.98 109.36 40.49 73.89 38.73 60.61 166.03
Mart (2018) 163.13 1447.34 39.10 147.01 1031.79 55.10 94.32 49.66 122.12 104.13 40.69 74.61 40.70 61.04 162.98
April (2018) 160.68 1566.13 39.48 145.41 1017.33 55.79 87.63 49.22 120.54 103.00 40.84 68.08 42.03 60.51 153.16
Maj (2018) 181.69 1629.62 36.38 146.73 1084.99 57.14 85.82 52.63 113.99 101.84 40.64 69.50 40.92 55.70 154
Jun (2018) 180.67 1699.8 35.10 140.46 1115.65 58.00 89.33 47.67 116.49 99.16 41.45 74.14 42.79 59.75 169.96
Jul (2018) 185.73 1777.44 38.47 132.83 1217.26 59.89 94.28 46.13 127.22 109.39 44.47 76.82 44.90 60.00 175.05
Avgust (2018) 222.17 2012.71 41.35 137.93 1218.19 65.35 96.49 46.44 129.31 109.63 42.50 79.50 40.45 66.04 184.4
Septembar (2018) 221.10 2003 43.53 143.44 1193.47 67.18 98.63 45.63 133.53 107.97 44.05 79.77 40.80 70.18 192.74
Oktobar (2018) 214.36 1598.01 44.34 135.66 1076.77 63.95 103.60 45.23 135.29 104.31 46.05 84.99 42.14 68.55 169.46
Novembar (2018) 174.91 1690.17 48.60 140.81 1094.43 64.43 104.72 47.57 141.97 107.14 48.47 91.38 44.29 68.45 180.79
Decembar (2018) 155.04 1501.97 45.60 128.81 1035.61 61.20 104.33 45.56 125.51 94.06 45.90 88.88 41.63 63.61 165.71
Januar (2019) 163.59 1718.73 51.84 135.07 1116.37 67.41 103.28 45.75 129.43 99.73 46.65 93.28 46.07 69.62 190.91
Februar (2019) 170.18 1639.83 54.32 155.38 1119.92 81.82 107.74 51.42 132.89 101.37 43.95 96.04 47.10 72.21 188.75
Mart (2019) 187.50 1780.75 57.48 164.36 1173.31 84.14 112.51 52.47 136.86 98.33 45.42 101.40 49.59 69.10 183.95
April (2019) 198.08 1926.52 59.55 170.58 1188.48 84.07 122.33 49.87 138.24 112.73 47.97 103.77 51.07 72.99 168.98
Maj (2019) 172.81 1775.07 60.99 159.87 1103.63 74.99 129.29 43.03 128.40 103.71 48.04 101.00 51.34 73.44 166.18
Jun (2019) 196.12 1893.63 69.70 181.67 1080.91 78.25 132.05 47.06 137.29 109.43 49.79 107.61 53.66 74.14 183.38
Jul (2019) 211.10 1866.78 71.19 183.35 1216.68 77.61 149.49 49.69 128.36 113.54 51.86 115.85 54.55 79.73 166.62
Avgust (2019) 206.84 1776.29 80.08 197.08 1188.10 80.55 156.14 46.60 126.53 108.29 54.24 118.76 56.55 78.05 180.02
Septembar (2019) 222.77 1735.91 72.65 198.46 1219.00 83.64 153.44 51.00 128.49 116.01 53.64 122.86 60.61 78.77 169.42
Oktobar (2019) 247.43 1776.66 69.81 185.81 1260.11 93.20 145.40 55.95 131.13 123.14 54.03 122.99 61.48 81.48 195.48
Novembar (2019) 265.82 1800.8 65.91 194.99 1304.96 97.12 146.68 57.45 136.54 130.92 53.00 121.34 60.83 78.55 221.75
Decembar (2019) 292.95 1847.84 64.67 206.54 1337.02 96.99 146.27 59.56 145.87 138.51 55.35 124.16 63.13 78.42 218.95
(Izvor: Yahoo finance)
13
6.Portfolio –CENE tabela

6.2 Portfolio-PRINOSI tabela
14
Januar (2013)
Februar (2013) -0.0314222 -0.004643575 -0.00247 0.05072 0.05848 -0.09779 0.0478 -0.00763 0.0292 0.04582 0.03897 0.02155 0.02855 -0.0232 0.04455
Mart (2013) 0.00866143 0.008365416 0.0749 0.00183 -0.00879 -0.03887 0.05426 0.05564 0.07676 -0.0303 0.04346 0.01149 0.04156 0.10638 0.16048
April (2013) 0.00027094 -0.048750734 -0.0755 0.07981 0.03754 0.07229 0.01845 0.09223 0.04438 0.03214 0.05289 -0.00377 0.02754 0.08272 0.33468
Maj (2013) 0.01557458 0.058868695 -0.022 -0.0229 0.05503 -0.00429 -0.00056 0.01368 -0.0124 0.11406 -0.05687 0.00718 -0.09407 -0.09984 0.04468
Jun (2013) -0.1192985 0.031050748 -0.03232 -0.02757 0.01045 0.03488 0.00667 0.00731 0.02725 -0.03353 0.003 0.00299 0.01589 0.33454 -0.00337
Jul (2013) 0.1321022 0.081335507 0.07533 -0.00183 0.00835 0.11573 0.06073 -0.03742 0.08524 0.0542 0.00614 0.04209 0.01596 -0.02862 -0.00325
Avgust (2013) 0.07386201 -0.069557367 -0.0083 -0.00443 -0.04711 0.01707 -0.03126 -0.06004 -0.07886 -0.09069 -0.04857 -0.02302 -0.07452 -0.03203 -0.06004
Septembar (2013) -0.0151429 0.106768885 0.01616 0.0699 0.03368 0.10293 0.01107 0.05161 0.01074 0.0227 -0.00789 -0.02997 0.00075 0.10635 0.00888
Oktobar (2013) 0.09201574 0.152183862 0.08558 0.01505 0.16261 0.0444 0.07033 0.06544 0.06606 -0.00291 0.05089 0.06603 -0.00658 0.06557 -0.06076
Novembar (2013) 0.06188633 0.078149685 0.02205 0.05484 0.02776 0.03799 -0.02396 -0.02608 0.02189 0.11189 0.01555 0.04986 0.00532 -0.06403 -0.02742
Decembar (2013) 0.01468421 0.013049021 0.03825 0.00749 0.05608 -0.05004 0.00862 0.09451 -0.02601 0.02178 0.03447 -0.03393 0.01174 0.25723 0.06794
Januar (2014) -0.1139493 -0.105976474 -0.00914 -0.09141 0.05237 -0.01561 0.02207 -0.05625 -0.03466 -0.05483 -0.08827 -0.06064 0.00316 -0.0957 0.06184
Februar (2014) 0.04994948 0.009461922 0.08192 0.00145 0.02894 0.1749 0.06259 0.00892 0.04043 0.03255 0.01 0.03381 0.03905 -0.00229 0.02277
Mart (2014) 0.0257247 -0.073708704 -0.00885 -0.02592 -0.08638 0.02938 -0.009 0.05102 0.07139 0.06622 0.01197 0.02436 0.03686 0.07969 -0.13399
April (2014) 0.09476118 -0.100756472 0.02487 0.08165 -0.05596 0.04111 -0.08138 0.03353 0.03068 -0.08111 0.06152 0.02391 0.04211 -0.12017 -0.04364
Maj (2014) 0.07019532 0.02730916 0.07159 0.05431 0.06119 0.03121 0.01136 0.02333 0.00168 -0.00107 0.00294 -0.0136 -0.04576 0.15877 0.06518
Jun (2014) 0.03285616 0.038383609 0.04205 -0.02864 0.02712 0.03322 0.0053 0.13169 0.03762 0.03623 0.03483 -0.02761 0.04742 -0.0209 0.27023
Jul (2014) 0.02832637 -0.036976818 -0.02292 -0.01083 -0.00642 -0.09352 -0.09948 0.09236 -0.04427 0.00087 -0.06774 -0.01629 -0.04715 -0.02043 -0.06288
Avgust (2014) 0.06968994 0.079946912 0.04532 0.04485 0 -0.01262 0.03642 0.02994 0.03572 0.03736 0.06001 0.08016 0.03722 -0.09083 0.05109
Septembar (2014) -0.0122589 -0.050201042 -0.00894 -0.02525 0.01003 -0.04403 0.04876 0.00376 0.03394 0.0132 0.02228 0.00755 -0.01704 -0.04106 0.18255
Oktobar (2014) 0.06948876 -0.054098271 0.01817 0.00614 -0.03217 0.07394 0.00502 -0.02354 0.0111 0.00398 -0.01119 0.04129 0.06023 0.01102 0.00293
Novembar (2014) 0.09640402 0.103118833 0.04016 -0.01393 -0.03134 0.03228 0.04456 0.091 0.00435 0.00141 0.06807 0.04321 0.03419 0 0.04547
Decembar (2014) -0.0702793 -0.087236928 0.02024 0.03071 -0.02889 -0.08122 0.04138 -0.01957 -0.02809 0.03944 -0.0531 0.00727 0.03481 -0.08021 0.00777
Januar (2015) 0.059566 0.133092254 -0.07365 -0.07647 0.01531 -0.00016 -0.01669 -0.09382 -0.04329 -0.14045 -0.02518 -0.07758 0.03226 0.11357 -0.07569
Februar (2015) 0.09207693 0.069799261 0.12427 0.15797 0.04371 -0.05355 0.01524 0.00634 0.02339 0.12587 0.05044 0.017 -0.10225 0.09024 0.08098
Mart (2015) -0.0279354 -0.021429576 -0.01142 0.00885 -0.0188 -0.04344 -0.02304 -0.05425 -0.01183 -0.01149 -0.06562 -0.03819 -0.01118 -0.04142 -0.0123
April (2015) 0.00576981 0.125321197 0.03846 -0.02274 -0.0169 -0.04053 -0.09331 0.04012 -0.01401 0.04329 0.00851 -0.0301 0.00045 0.07154 0.04403
Maj (2015) 0.04017297 0.017509083 -0.03352 0.07282 -0.00978 0.0064 0.01017 0.05702 0.00943 0.04569 0.00981 -0.00618 -0.01387 0.13294 0.03984
Jun (2015) -0.0337698 0.011258945 -0.0083 -0.00613 -0.02204 -0.03467 -0.03873 -0.11749 -0.01986 0.02966 -0.04315 -0.00192 -0.02925 -0.00283 -0.03821
Jul (2015) -0.0334811 0.211162141 -0.03348 0.02788 0.18392 -0.03593 0.04469 -0.04953 0.02783 0.0113 0.0543 -0.01988 0.06536 0.0476 0.0892
Avgust (2015) -0.071587 -0.044352591 -0.02886 -0.11072 0.019 -0.10825 -0.02894 -0.01426 -0.06419 -0.06031 -0.04379 -0.07373 -0.02995 -0.02616 -0.0093
Septembar (2015) -0.0189596 -0.001951639 -0.05398 0.01441 -0.04686 -0.04709 0.0244 0.06282 0.00089 -0.05006 0.02014 0.01781 0.041 0.00504 -0.25024
Oktobar (2015) 0.08011253 0.201080865 0.09648 -0.00273 0.15554 0.00263 -0.03534 0.11638 0.07906 0.0524 0.06272 0.05989 0.00891 -0.04943 0.1805
Novembar (2015) -0.0100927 0.060295573 0.01334 0.04448 0.04375 0.06494 -0.0272 0.02652 0.00208 0.04431 0.00636 -0.01142 -0.01249 -0.06515 0.03637
Decembar (2015) -0.1125191 0.016544138 0.05037 0.04929 0.02169 -0.01813 0.04064 -0.00223 0.02186 -0.0098 0.01559 0.05927 0.0614 0.11587 -0.02767
Januar (2016) -0.0782234 -0.141005543 -0.0846 -0.03243 -0.02121 -0.04119 -0.01308 -0.10488 0.01661 -0.10413 -0.00093 0.02831 0.04452 0.02599 -0.32682
Februar (2016) -0.0067 -0.060535152 -0.00902 0.06889 -0.06274 0.14107 0.03106 -0.0472 0.00735 -0.0486 0.00488 -0.00861 -0.01524 -0.07901 -0.05971
Mart (2016) 0.12515774 0.071783432 0.07752 0.03537 0.06543 -0.01367 0.01959 0.09794 0.03524 0.05056 0.07287 0.02485 0.08218 0.03183 -0.07277
April (2016) -0.1507313 0.105345371 0.00126 0.01641 -0.07227 0.09049 0.01102 -0.06613 0.03523 0.06505 -0.02711 -0.02697 -0.03202 0.02527 0.05922
Maj (2016) 0.06324446 0.091500222 0.01281 -0.0436 0.05981 -0.00258 -0.0028 0.04235 0.00543 0.0396 -0.00447 0.01957 -0.01326 0.08489 0.09935
Jun (2016) -0.0375266 -0.0099694 0.00349 -0.00505 -0.06112 -0.00235 0.20717 0.04619 0.08074 -0.04914 0.01624 0.04382 0.09254 0.01186 -0.07963
Jul (2016) 0.08623541 0.058602121 -0.02266 0.02044 0.10509 0.25961 -0.02435 0.06091 0.03189 0.02902 -0.03058 0.01081 -0.00243 0.06855 0.12013
Avgust (2016) 0.01797395 0.013547561 0.11383 -0.04031 -0.00227 -0.10162 -0.1033 0.02912 -0.04818 0.06147 -0.00459 0.0277 -0.04141 0 -0.02601
Septembar (2016) 0.06885078 0.084895395 0.03756 -0.00423 0.01326 -0.01996 -0.03846 0.05808 -0.00354 -0.01357 -0.02589 0.02756 0.01006 0.00817 -0.08039
Oktobar (2016) 0.00432484 -0.05838929 -0.0614 -0.01628 0.00928 0.0159 0.0693 -0.07936 -0.01828 0.03931 0.01003 -0.03342 0.00525 0.06244 -0.13943
Novembar (2016) -0.0269588 -0.050972153 -0.02643 -0.11455 -0.03436 0.07564 -0.05848 -0.00489 -0.04127 0.15352 -0.04956 -0.04361 -0.09663 0.08626 0.07306
Decembar (2016) 0.05196199 0.023815777 0.71995 -0.01136 0.01802 -0.04189 0.07419 0.05179 0.04141 0.06425 0.0485 0.01946 0.06101 0.05909 -0.10236
Januar (2017) 0.04664163 0.068890534 -0.70072 0.05988 0.03184 -0.02495 0.01953 0.01505 -0.01716 -0.01011 -0.01029 0.04101 0.00487 0.07952 0.15324
Februar (2017) 0.12122915 0.025844699 -0.03646 0.01999 0.03262 0.06649 0.02694 -0.01698 0.07614 0.0739 0.00934 0.04674 0.02773 0.00417 0.05384
Mart (2017) 0.0518677 0.047942283 0.01344 0.0272 0.00768 -0.00974 0.01399 0.00352 0.02556 -0.03116 0.01137 -0.01349 -0.00903 0.03241 0.18788
April (2017) -6.97E-05 0.042456695 0.0348 0.02734 0.0881 0.00446 -0.00966 0.00222 -0.00871 -0.00961 0.02538 -0.02845 0.0004 0.04065 0.07867
Maj (2017) 0.06148813 0.072577834 0.0619 0.07727 0.06299 0.02333 0.0633 -0.00111 0.03798 -0.04589 0.05237 0.01629 0.01613 0.00223 0.04383
Jun (2017) -0.0547967 -0.027128662 0.03399 0.023 -0.05993 -0.0196 -0.0655 -0.06047 0.03762 0.1067 -0.01373 -0.01073 -0.04375 -0.10632 0.04175
Jul (2017) 0.03218037 0.020227943 -0.00737 0.03088 0.02367 -0.00669 -0.01937 0.05 0.00325 0.00437 0.03003 0.04125 0.00104 0.01701 0.16389
Avgust (2017) 0.09773379 -0.007295426 -0.04666 0.07772 0.00944 0.02577 -0.00371 -0.01134 -0.00264 -0.00448 -0.00635 0.02365 0.00686 0.04828 0.05585
Septembar (2017) -0.0582157 -0.019826083 0.0348 0.01113 0.02084 0.04685 0.04581 0.08982 -0.01165 0.04958 -0.01193 -0.01408 0.02998 -0.04828 -0.0544
Octobar (2017) 0.09240387 0.13951548 0.03871 0.03615 0.05825 0.06737 -0.02777 0.1778 0.06981 0.05202 0.02925 -0.05235 0.06041 -0.03113 -0.03896
Novembar (2017) 0.01648685 0.062657679 -0.07294 0.11015 0.00468 0.09224 0.04376 -0.01439 -0.00057 0.04396 -0.00458 0.04887 -0.01934 0.02152 -0.01336
Decembar (2017) -0.0117749 -0.006205771 -0.05046 0.02216 0.02417 -0.04127 0.02897 0.03492 0.0089 0.02289 0.01057 0.02078 -0.05144 0.03918 0.03788
Januar (2018) -0.0106933 0.215626542 0.0113 0.0589 0.1116 0.07183 -0.02842 0.042 -0.01101 0.07847 0.03659 -0.06219 -0.06397 0.02473 0.10751
Februar (2018) 0.06189217 0.041553649 0.0427 0.02546 -0.05735 -0.06058 -0.11586 0.02361 -0.06202 0.00372 -0.09632 -0.08735 -0.04651 -0.07146 -0.00505
Mart (2018) -0.0557352 -0.044003455 -0.00352 0.08099 -0.06831 -0.00525 0.01382 0.06182 -0.00703 -0.04906 0.00485 0.00963 0.04959 0.00707 -0.01854
April (2018) -0.0151336 0.078880246 0.00952 -0.01095 -0.01411 0.01235 -0.07358 -0.00887 -0.01304 -0.01088 0.00371 -0.09161 0.03217 -0.00872 -0.06214
Maj (2018) 0.1228932 0.039739244 -0.08156 0.00907 0.06439 0.02392 -0.02088 0.06705 -0.05584 -0.01135 -0.00487 0.02062 -0.02681 -0.08283 0.00547
Jun (2018) -0.0056143 0.04216377 -0.03597 -0.04369 0.02787 0.01503 0.04014 -0.099 0.02167 -0.02661 0.0198 0.06469 0.04477 0.07019 0.09861
Jul (2018) 0.02759896 0.044663468 0.09185 -0.05584 0.08717 0.03209 0.05386 -0.03292 0.08814 0.09819 0.07011 0.03549 0.04827 0.00418 0.02951
Avgust (2018) 0.17917237 0.12430796 0.07202 0.03767 0.00076 0.0872 0.02325 0.00684 0.01624 0.0022 -0.04518 0.03431 -0.10445 0.09592 0.05204
Septembar (2018) -0.0048367 -0.004835997 0.05155 0.03915 -0.0205 0.02764 0.02185 -0.01776 0.03215 -0.0153 0.0357 0.00337 0.00859 0.0608 0.04423
Oktobar (2018) -0.0309516 -0.225886945 0.01825 -0.05575 -0.1029 -0.04936 0.04926 -0.00871 0.01309 -0.03444 0.0444 0.06343 0.03227 -0.0235 -0.12873
Novembar (2018) -0.2033955 0.05607003 0.09185 0.03728 0.01627 0.00753 0.01068 0.05054 0.04818 0.02669 0.05129 0.07247 0.04982 -0.00146 0.06472
Decembar (2018) -0.1206054 -0.118051581 -0.06384 -0.08909 -0.05524 -0.0514 -0.00371 -0.0432 -0.1232 -0.13016 -0.05455 -0.02779 -0.06198 -0.07333 -0.0871
Januar (2019) 0.05368655 0.134808074 0.12841 0.04743 0.07509 0.09654 -0.01013 0.00404 0.03075 0.05849 0.01634 0.04831 0.10125 0.09028 0.14156
Februar (2019) 0.03952345 -0.046993083 0.04671 0.14013 0.00317 0.19375 0.04226 0.11684 0.0264 0.01636 -0.05972 0.02921 0.02218 0.03653 -0.01138
Mart (2019) 0.09688229 0.082442073 0.0565 0.05616 0.04657 0.02795 0.04335 0.02019 0.0294 -0.03045 0.03297 0.05431 0.05154 -0.04402 -0.02576
April (2019) 0.05490088 0.078680653 0.03532 0.03712 0.01285 -0.00076 0.08366 -0.0508 0.01004 0.13663 0.05457 0.02309 0.02936 0.05477 -0.08488
Maj (2019) -0.1364759 -0.081875449 0.0239 -0.0648 -0.07407 -0.11429 0.05539 -0.14751 -0.07384 -0.08334 0.00143 -0.02707 0.00525 0.00615 -0.01671
Jun (2019) 0.12652058 0.064655796 0.13357 0.12778 -0.0208 0.04249 0.02107 0.0895 0.06696 0.05365 0.03579 0.06344 0.04426 0.00949 0.09849
Jul (2019) 0.07361714 -0.014280588 0.02107 0.00922 0.11832 -0.00817 0.12411 0.05447 -0.06726 0.03688 0.04081 0.07373 0.01651 0.07269 -0.09584
Avgust (2019) -0.0203905 -0.049688096 0.11772 0.07225 -0.02377 0.03722 0.04346 -0.06413 -0.01439 -0.04733 0.04477 0.02484 0.036 -0.0213 0.07735
Septembar (2019) 0.07421491 -0.02299515 -0.09742 0.00696 0.02568 0.03754 -0.01739 0.09006 0.01538 0.06885 -0.01096 0.03393 0.06932 0.00918 -0.06069
Oktobar (2019) 0.10497645 0.023203425 -0.03979 -0.06586 0.03317 0.10832 -0.05381 0.09261 0.02035 0.05962 0.0071 0.00104 0.01431 0.03383 0.14308
Novembar (2019) 0.07169603 0.013495822 -0.0575 0.04821 0.03497 0.04117 0.00875 0.02653 0.04045 0.06129 -0.0191 -0.01351 -0.01075 -0.03662 0.12609
Decembar (2019) 0.09718563 0.025786352 -0.01901 0.05755 0.02427 -0.00134 -0.00281 0.03608 0.06607 0.05636 0.04331 0.02298 0.03717 -0.00166 -0.01271
15
Januar (2013) 1.053 0.877 0.6644 1.326 NaN 1.275 0.2359 1.008 0.535 1.386 0,5037 0.4562 0.2578 0.8717 0.2652
Februar (2013) 1.037 0.8396 0.6582 1.334 NaN 1.241 0.2429 1.004 0.5367 1.365 0,5055 0.4613 0.2475 0.8503 0.233
Mart (2013) 1.035 0.8364 0.6665 1.326 NaN 1.226 0.2475 1.009 0.5477 1.354 0,513 0.4631 0.2535 0.8691 0.2785
April (2013) 0.9963 0.8198 0.6277 1.35 NaN 1.302 0.2562 1.014 0.5493 1.342 0.5312 0.4779 0.2484 0.8464 0.2989
Maj (2013) 0.9924 0.8217 0.6237 1.343 NaN 1.291 0.2528 1.013 0.5474 1.355 0.5254 0.4774 0.2403 0.8322 0.2965
Jun (2013) 0.9836 0.7901 0.587 1.386 NaN 1.28 0.1674 1.018 0.5478 1.308 0.4981 0.4534 0.2281 0.761 0.3921
Jul (2013) 0.9984 0.7985 0.5905 1.359 NaN 1.277 0.1865 0.9991 0.5684 1.325 0.4883 0.4674 0.2295 0.7388 0.3822
Avgust (2013) 0.9759 0.8115 0.5895 1.35 NaN 1.267 0.1959 1.002 0.5796 1.340 0.4971 0.4693 0.2403 0.7407 0.4069
Septembar (2013) 0.8086 0.7917 0.5276 1.42 NaN 1.332 0.252 0.949 0.5969 1.540 0.5312 0.4867 0.2503 0.6892 0.557
Oktobar (2013) 0.9053 0.676 0.4623 1.336 NaN 1.165 0.2206 0.9764 0.5839 1.742 0.4206 0.5186 0.1926 0.8295 0.3434
Novembar (2013) 0.8433 0.5163 0.5238 1.249 NaN 1.075 0.1975 0.9293 0.5859 1.683 0.4877 0.5453 0.2373 0.9078 0.2968
Decembar (2013) 0.8369 0.5914 0.5286 1.248 NaN 1.072 0.1932 0.9354 0.582 1.683 0.487 0.5401 0.2376 0.9294 0.3065
Januar (2014) 0.9714 0.708 0.4911 1.222 NaN 1.068 0.2501 0.9088 0.5985 1.649 0.5009 0.4969 0.1698 0.9497 0.3641
Februar (2014) 1.066 0.8866 0.6222 1.182 NaN 1.21 0.1655 1.019 0.526 1.738 0.5019 0.4178 0.0732 1.149 0.2817
Mart (2014) 1.014 0.8641 0.6147 1.205 NaN 1.115 0.1712 0.9463 0.5198 1.714 0.4728 0.4624 0.0747 1.076 0.3605
April (2014) 0.9303 0.8754 0.7893 1.123 NaN 1.043 0.1755 0.9781 0.571 1.641 0.5314 0.4509 0.1244 1.171 0.3466
Maj (2014) 0.9276 0.9183 0.7903 1.11 NaN 1.151 0.1956 1.001 0.5587 1.621 0.4809 0.439 0.1367 1.207 0.3817
Jun (2014) 0.9328 0.927 0.8109 1.102 NaN 1.172 0.1948 1.016 0.5627 1.611 0.4791 0.4323 0.1499 1.176 0.429
Jul (2014) 0.8792 0.9802 0.8148 1.09 NaN 1.148 0.1731 0.9176 0.5582 1.581 0.5043 0.392 0.1617 1.318 0.4878
Avgust (2014) 0.8918 1.016 0.8263 1.107 NaN 1.094 0.1875 0.9105 0.5695 1.555 0.5266 0.419 0.1703 1.378 0.4915
Septembar (2014) 0.8831 1.003 0.8349 1.119 NaN 1.066 0.1867 0.9278 0.5651 1.55 0.4929 0.4032 0.1773 1.346 0.4379
Oktobar (2014) 0.8946 1.1 0.8383 1.174 NaN 1.005 0.1699 0.9191 0.5547 1.546 0.488 0.4119 0.1823 1.226 0.3864
Novembar (2014) 0.9088 1.067 0.8704 1.147 NaN 1.035 0.2209 0.9546 0.5344 1.577 0.4692 0.3894 0.1792 1.26 0.3252
Decembar (2014) 0.9243 1.088 0.8666 1.14 NaN 1.046 0.2188 0.958 0.5403 1.569 0.4834 0.3923 0.1724 1.258 0.3221
Januar (2015) 0.8429 0.977 0.8977 1.235 NaN 1.087 0.2381 0.9811 0.5509 1.605 0.4702 0.4431 0.1396 1.045 0.2997
Februar (2015) 0.858 1.005 0.9301 1.265 NaN 1.042 0.2171 0.9529 0.5513 1.622 0.491 0.4316 0.0926 1.05 0.3166
Mart (2015) 0.8231 0.9637 0.9768 1.259 NaN 0.9555 0.2023 0.9491 0.5568 1.625 0.4988 0.4585 0.0863 1.017 0.3464
April (2015) 0.8197 0.9611 0.9774 1.261 NaN 0.9591 0.2015 0.9477 0.5587 1.627 0.5009 0.4602 0.0843 1.013 0.3495
Maj (2015) 0.8634 0.9377 0.9768 1.235 0.3211 0.9328 0.2099 0.9718 0.5025 1.71 0.4978 0.4831 0.0161 1.324 0.2194
Jun (2015) 0.8907 0.8435 1.085 1.247 0.3632 0.8598 0.2561 0.9817 0.545 1.699 0.5165 0.4851 0.0481 1.297 0.188
Jul (2015) 0.928 0.8587 1.06 1.226 0.608 0.9227 0.2986 0.9822 0.5957 1.706 0.4693 0.4891 0 1.301 0.2086
Avgust (2015) 0.929 0.9384 1.03 1.22 0.5373 0.9497 0.3214 0.849 0.6314 1.647 0.5152 0.5386 0.0529 1.294 0.2599
Septembar (2015) 0.8466 0.7429 1.104 1.183 0.5607 0.8831 0.325 0.7963 0.5964 1.76 0.4852 0.5719 0.035 1.215 0.3867
Oktobar (2015) 0.8424 0.8897 1.092 1.045 0.9912 0.7797 0.2447 0.8476 0.6253 1.706 0.4879 0.5784 0.0261 1.079 0.507
Novembar (2015) 0.8475 0.8932 1.094 1.047 0.9842 0.7492 0.2373 0.8538 0.6195 1.698 0.492 0.5742 0.0252 1.112 0.4806
Decembar (2015) 0.9141 0.9276 1.104 1.021 0.9577 0.729 0.2421 0.9086 0.646 1.667 0.4817 0.5343 0.0039 1.094 0.4982
Januar (2016) 0.9406 1.032 1.125 1.015 0.9269 0.7472 0.2575 0.9579 0.6193 1.664 0.4758 0.4861 -0.0234 1.028 0.7187
Februar (2016) 0.9411 1.052 1.135 0.9578 0.9451 0.6978 0.2141 0.973 0.6161 1.677 0.4774 0.4981 -0.0272 1.015 0.6676
Mart (2016) 0.9836 1.047 1.132 0.9297 0.9275 0.6681 0.2087 0.9852 0.5946 1.632 0.5202 0.4854 0.0247 1 0.5678
April (2016) 1.006 1.026 1.131 0.9361 0.9378 0.665 0.1957 0.9596 0.5688 1.638 0.5243 0.4753 0.0209 0.996 0.5301
Maj (2016) 1.011 1.034 1.151 0.9473 0.9524 0.6636 0.1846 0.9606 0.5777 1.630 0.5204 0.4855 0.025 1.026 0.5326
Jun (2016) 1.007 1.053 1.148 0.9631 0.9623 0.655 0.1673 0.9567 0.5675 1.627 0.5258 0.4643 0.017 1.017 0.5271
Jul (2016) 1.1 1.099 1.14 0.9643 1.029 0.7426 0.1452 0.9763 0.5599 1.637 0.5132 0.4555 0.0045 1.014 0.5595
Avgust (2016) 1.14 1.114 1.109 0.9517 1.033 0.8242 0.2008 0.9341 0.6134 1.649 0.5742 0.5083 0.0468 0.7559 0.4593
Septembar (2016) 1.22 1.194 1.018 0.9052 1.031 0.8315 0.2332 1.09 0.6243 1.544 0.5867 0.537 0.0764 0.5142 0.4798
Oktobar (2016) 1.343 1.51 1.048 0.8702 1.015 0.8399 0.3207 1.065 0.7485 1.508 0.6768 0.6226 0.0676 0.66 0.8835
Novembar (2016) 1.294 1.428 1.02 0.8559 0.9361 0.8785 0.2876 1.055 0.7197 1.529 0.6442 0.5892 0.0298 0.6761 0.8266
Decembar (2016) 1.299 1.419 1.018 0.8508 0.9341 0.8716 0.2962 1.058 0.722 1.537 0.6474 0.591 0.0367 0.6802 0.815
Januar (2017) 1.258 1.395 0.9825 0.8594 0.9361 0.8601 0.32 1.03 0.7375 1.494 0.6867 0.6444 0.0525 0.7077 0.7896
Februar (2017) 1.221 1.464 0.9543 0.8704 0.9256 0.8206 0.3403 1.013 0.7912 1.508 0.6738 0.6245 0.0869 0.6127 0.7918
Mart (2017) 1.182 1.427 0.9361 0.8515 0.9252 0.829 0.3447 1.007 0.7954 1.463 0.6492 0.6397 0.0893 0.6788 0.7429
April (2017) 1.178 1.477 0.9284 0.8729 0.9265 0.8333 0.375 1.014 0.7923 1.446 0.6622 0.6261 0.0948 0.6083 0.7214
Maj (2017) 1.276 1.474 0.9527 0.691 0.9363 0.7763 0.4068 0.9842 0.8102 1.218 0.6978 0.6488 0.1127 0.4321 1.651
Jun (2017) 1.312 1.481 0.9581 0.7101 0.9454 0.87 0.3839 0.9993 0.7781 1.186 0.6859 0.6803 0.1126 0.5177 1.734
Jul (2017) 1.31 1.476 0.9535 0.7151 0.9412 0.8632 0.376 1.006 0.7751 1.186 0.6867 0.6843 0.1182 0.4918 1.77
Avgust (2017) 1.275 1.475 0.9643 0.6702 0.9414 0.8524 0.3785 1.018 0.7854 1.19 0.7089 0.6758 0.1284 0.4665 1.747
Septembar (2017) 1.269 1.472 0.9739 0.6668 0.9398 0.8557 0.3923 1.066 0.7798 1.176 0.7048 0.6665 0.1275 0.3979 1.732
Octobar (2017) 1.227 1.452 0.9976 0.677 0.9523 0.8123 0.3632 1.092 0.817 1.221 0.7026 0.6634 0.1518 0.2874 1.633
Novembar (2017) 1.216 1.465 0.963 0.7077 0.9317 0.8429 0.3867 1.059 0.8047 1.217 0.6998 0.6737 0.1346 0.2892 1.576
Decembar (2017) 1.209 1.464 0.9646 0.7088 0.9319 0.8475 0.3844 1.061 0.8045 1.221 0.6961 0.6705 0.135 0.2816 1.578
Januar (2018) 1.31 1.634 0.9693 0.7445 1.008 0.9549 0.2639 1.073 0.7361 1.225 0.7013 0.5094 0.0322 0.293 1.611
Februar (2018) 1.195 1.541 0.8834 0.6915 1.042 0.9706 0.3647 1.006 0.7674 1.183 0.7668 0.5825 0.0688 0.4614 1.562
Mart (2018) 1.248 1.588 0.8498 0.6371 1.084 0.986 0.3332 0.9451 0.7418 1.242 0.7216 0.5641 0.0202 0.4227 1.491
April (2018) 1.258 1.598 0.8669 0.6328 1.088 0.9829 0.3425 0.9388 0.7402 1.243 0.7177 0.5775 0.0128 0.4172 1.438
Maj (2018) 1.289 1.592 0.85 0.641 1.101 0.9903 0.3347 0.9532 0.7277 1.207 0.7308 0.5806 0.0302 0.3282 1.427
Jun (2018) 1.236 1.608 0.8413 0.633 1.099 1.018 0.3367 0.9691 0.7412 1.202 0.739 0.5793 0.0273 0.3966 1.422
Jul (2018) 1.16 1.603 0.847 0.6189 1.13 0.9626 0.3228 1.003 0.7342 1.237 0.7926 0.5756 0.0445 0.4381 1.478
Avgust (2018) 1.321 1.598 0.8828 0.6325 1.11 1.025 0.3162 0.9712 0.6905 1.165 0.7458 0.5702 -0.0525 0.4399 1.465
Septembar (2018) 1.363 1.584 0.8862 0.6097 1.111 0.9845 0.3173 0.9714 0.6958 1.173 0.7442 0.59 -0.0488 0.3986 1.476
Oktobar (2018) 1.259 1.701 0.7356 0.6572 1.156 0.9786 0.1652 0.876 0.5815 1.133 0.5972 0.3715 -0.0866 0.3911 1.61
Novembar (2018) 1.212 1.696 0.7508 0.6474 1.155 0.9735 0.1788 0.9039 0.5856 1.102 0.6043 0.3686 -0.0714 0.425 1.65
Decembar (2018) 1.234 1.66 0.755 0.7147 1.073 0.9196 0.1768 0.8452 0.7249 1.149 0.6153 0.3782 0.0729 0.4201 1.545
Januar (2019) 1.126 1.617 0.843 0.6489 1.056 0.9388 0.1624 0.7401 0.6815 1.11 0.531 0.3769 0.1905 0.4178 1.646
Februar (2019) 1.128 1.622 0.8234 0.7158 1.043 0.9203 0.1428 0.7916 0.6761 1.115 0.5118 0.3756 0.1916 0.4422 1.654
Mart (2019) 1.138 1.627 0.8281 0.7198 1.046 0.9225 0.1471 0.7905 0.6779 1.108 0.8165 0.3823 0.1964 0.4339 1.644
April (2019) 1.143 1.622 0.8269 0.7218 1.029 0.8994 0.1831 0.746 0.6689 1.156 0.5308 0.3896 0.2063 0.4416 1.564
Maj (2019) 1.194 1.619 0.7344 0.7394 1.031 0.9549 0.1065 0.8425 0.6955 1.182 0.4951 0.4102 0.1887 0.3838 1.47
Jun (2019) 1.232 1.571 0.8047 0.8146 0.9521 0.938 0.1109 0.844 0.7045 1.157 0.4991 0.4452 0.1971 0.3681 1.427
Jul (2019) 1.248 1.553 0.7988 0.8107 0.9574 0.9062 0.0858 0.8806 0.687 1.163 0.478 0.4479 0.185 0.3622 1.403
Avgust (2019) 1.238 1.566 0.7449 0.7771 0.981 0.9095 0.0584 0.897 0.6787 1.18 0.4414 0.4176 0.1635 0.4235 1.366
Septembar (2019) 1.244 1.542 0.7288 0.7679 0.9878 0.9065 0.0657 0.9084 0.6906 1.2 0.4516 0.4238 0.1642 0.4053 1.43
Oktobar (2019) 1.25 1.561 0.7912 0.7567 1.002 0.9125 0.0557 0.9323 0.6929 1.212 0.4564 0.4151 0.1512 0.4129 1.459
Novembar (2019) 1.243 1.528 0.6847 0.7726 1.017 0.9137 0.0465 0.9128 0.7036 1.226 0.43 0.3962 0.1435 0.3916 1.487
Decembar (2019) 1.246 1.497 0.6692 0.7818 1.006 0.8919 0.0459 0.9074 0.7093 1.236 0.4244 0.3972 0.1522 0.3648 1.473
(Izvor: Zacks.com)
6.3 BETA tabela
16
7.Momentum PRINOSI 3m-1y 14-16 tabela
Datum APPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX
Mart (2014) 0.028439 0.044789 0.011028 0.018930 0.038266 0.041220 0.013342 0.022361 0.015367 0.025515 0.005513 0.008607 -0.010884 0.069099 0.033480
Jun (2014) 0.035681 0.021301 0.032556 0.002794 0.026257 0.050750 0.015921 0.010191 0.017358 0.017879 -0.001745 0.007621 0.003527 0.031797 -0.013783
Septembar (2014) 0.036458 0.004233 0.038702 0.007647 0.030416 0.036284 0.007326 0.036235 0.023230 0.014305 0.014878 0.006909 0.014813 0.028687 0.024682
Decembar (2014) 0.027255 -0.023613 0.023988 0.000024 0.003433 0.016005 -0.000372 0.035368 0.019169 0.005491 0.005282 0.005739 0.010651 -0.016990 0.045906
Mart (2015) 0.042132 -0.008946 0.025614 0.015445 -0.006272 -0.002181 0.001327 0.040278 0.009191 0.005589 0.013069 0.016210 0.016226 -0.022645 0.057635
Jun (2015) 0.033898 0.015113 0.014581 0.013559 -0.005398 -0.024702 0.005797 0.003579 -0.002108 0.007799 -0.002448 0.007157 0.002343 -0.006569 0.024436
Septembar (2015) 0.025722 0.033037 0.012712 0.017467 -0.011213 -0.015663 -0.006155 -0.012689 -0.007646 0.015265 -0.006823 -0.005023 0.000599 0.032760 0.010535
Decembar (2015) 0.001317 0.055601 -0.008943 0.007317 0.016394 -0.039694 -0.011801 -0.018118 -0.010182 -0.000724 -0.003838 -0.023641 -0.005271 0.043390 -0.014634
Mart (2016) -0.017150 0.066319 0.004500 0.007394 0.036479 -0.023405 -0.011513 0.013261 0.004787 0.011830 0.010053 -0.000695 0.010173 0.025489 0.007167
Jun (2016) -0.014033 0.034780 0.003084 0.010493 0.039834 -0.006180 0.006202 0.009508 0.014081 -0.012703 0.021347 0.008499 0.027297 0.000730 -0.048939
Septembar (2016) -0.014142 0.037227 0.017960 0.014515 0.014318 0.024579 0.025674 0.012107 0.031510 0.004473 0.016237 0.020967 0.024059 0.011346 -0.021240
Decembar (2016) 0.009809 0.023796 0.014464 0.001722 0.002663 0.034421 0.009652 0.012932 0.017863 0.003362 0.000044 0.016337 0.013883 0.019727 -0.040735
17
7.1 Momentum 3m-1y RANK 14-16 tabela
Mart (2014) 6 2 12 9 4 3 11 8 10 7 14 13 15 1 5
Jun (2014) 2 6 3 13 5 1 9 10 8 7 14 11 12 4 15
Septembar (2014) 2 15 1 12 5 3 13 4 8 11 9 14 10 6 7
Decembar (2014) 3 15 4 12 11 6 13 2 5 9 10 8 7 14 1
Mart (2015) 2 14 4 7 13 12 11 3 9 10 8 6 5 15 1
Jun (2015) 1 3 4 5 13 15 8 9 11 6 12 7 10 14 2
Septembar (2015) 3 1 6 4 13 15 10 14 12 5 11 9 8 2 7
Decembar (2015) 5 1 9 4 3 15 11 13 10 6 7 14 8 2 12
Mart (2016) 14 1 11 8 2 15 13 4 10 5 7 12 6 3 9
Jun (2016) 14 2 10 6 1 12 9 7 5 13 4 8 3 11 15
Septembar (2016) 14 1 7 9 10 4 3 11 2 13 8 6 5 12 15
Decembar (2016) 9 2 6 13 12 1 10 8 4 11 14 5 7 3 15
18
7.2 Momentum 3m-1y PONDER 14-16 tabela
Mart (2014) 0.142857 0.142857 0 0 0.142857 0.142857 0 0 0 0.142857 0 0 0 0.142857 0.142857
Jun (2014) 0.142857 0.142857 0.142857 0 0.142857 0.142857 0 0 0 0.142857 0 0 0 0.142857 0
Septembar (2014) 0.142857 0 0.142857 0 0.142857 0.142857 0 0.142857 0 0 0 0 0 0.142857 0.142857
Decembar (2014) 0.142857 0 0.142857 0 0 0.142857 0 0.142857 0.142857 0 0 0 0.142857 0 0.142857
Mart (2015) 0.142857 0 0.142857 0.142857 0 0 0 0.142857 0 0 0 0.142857 0.142857 0 0.142857
Jun (2015) 0.142857 0.142857 0.142857 0.142857 0 0 0 0 0 0.142857 0 0.142857 0 0 0.142857
Septembar (2015) 0.142857 0.142857 0.142857 0.142857 0 0 0 0 0 0.142857 0 0 0 0.142857 0.142857
Decembar (2015) 0.142857 0.142857 0 0.142857 0.142857 0 0 0 0 0.142857 0.142857 0 0 0.142857 0
Mart (2016) 0 0.142857 0 0 0.142857 0 0 0.142857 0 0.142857 0.142857 0 0.142857 0.142857 0
Jun (2016) 0 0.142857 0 0.142857 0.142857 0 0 0.142857 0.142857 0 0.142857 0 0.142857 0 0
Septembar (2016) 0 0.142857 0.142857 0 0 0.142857 0.142857 0 0.142857 0 0 0.142857 0.142857 0 0
Decembar (2016) 0 0.142857 0.142857 0 0 0.142857 0 0 0.142857 0 0 0.142857 0.142857 0.142857 0
19
7.3. Momentum 3m-1y KOLIČINA 14-16 tabela
Mart (2014) 2.062952 0.424702 0 0 0.257194 3.369947 0 0 0 2.772091 0 0 0 4.407026 2.020039
Jun (2014) 1.847514 0.480087 5.316152 0 0.271782 3.309744 0 0 0 3.167913 0 0 0 4.725675 0
Septembar (2014) 1.664567 0 5.148843 0 0.265834 3.775435 0 5.112092 0 0 0 0 0 5.402222 1.362852
Decembar (2014) 1.547167 0 4.867993 0 0 3.765929 0 4.983821 1.717293 0 0 0 4.116873 0 1.317683
Mart (2015) 1.334028 0 4.567705 1.947257 0 0 0 5.603904 0 0 0 2.180094 4.357093 0 1.294878
Jun (2015) 1.318101 0.351958 4.583816 1.863845 0 0 0 0 0 2.569987 0 2.265342 0 0 1.237297
Septembar (2015) 1.398930 0.279819 4.827585 1.871173 0 0 0 0 0 2.660368 0 0 0 3.666179 1.375422
Decembar (2015) 1.636532 0.237601 0 1.915345 0.211618 0 0 0 0 2.734421 4.258144 0 0 4.105120 0
Mart (2016) 0 0.268096 0 0 0.213642 0 0 5.469925 0 3.001399 3.907952 0 3.705467 4.155422 0
Jun (2016) 0 0.234383 0 1.922809 0.242348 0 0 5.636904 1.518663 0 4.182233 0 3.724873 0 0
Septembar (2016) 0 0.209387 4.419864 0 0 4.209362 1.995272 0 1.619208 0 0 2.173556 4.027229 0 0
Decembar (2016) 0 0.255309 2.629311 0 0 4.483521 0 0 1.845635 0 0 2.577145 4.646862 3.412375 0
20
7.4 Momentum 3m-1y REZULTAT 14-16 tabela
Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX Vrednost portfolija Prinos Prosečan prinos Standardna devijacija Zarada
Mart (2014) 1000 0.115463 0.117797 373.719889
Jun (2014) 174.104865 137.934844 0 0 147.553477 158.758917 0 0 0 136.440602 0 0 0 145.408939 191.257269 1091.458913 0.087515
Septembar (2014) 169.884333 154.799299 158.035505 0 156.486454 134.182016 0 0 0 164.152164 0 0 0 133.893177 0 1071.432949 -0.018518
Decembar (2014) 168.419115 0 165.572046 0 139.552036 156.935827 0 160.569683 0 0 0 0 0 142.829448 161.906763 1095.784918 0.022474
Mart (2015) 177.162812 0 162.799213 0 0 142.047682 0 135.853900 151.651779 0 0 0 144.334799 0 155.447023 1069.297209 -0.024469
Jun (2015) 154.627612 0 152.244499 159.618898 0 0 0 149.679018 0 0 0 147.032054 146.376779 0 159.891524 1069.470384 0.000162
Septembar (2015) 134.960351 180.163829 136.003733 142.675494 0 0 0 0 0 138.370251 0 141.629434 0 0 128.852147 1002.655239 -0.064512
Decembar (2015) 137.276568 189.126750 168.120692 156.888666 0 0 0 0 0 156.243193 0 0 0 143.420915 173.069374 1124.146157 0.114372
Mart (2016) 167.185382 141.049606 0 172.552826 157.644478 0 0 0 0 144.995815 173.414316 0 0 157.226109 0 1114.068531 -0.009005
Jun (2016) 0 191.855020 0 0 147.861657 0 0 162.760397 0 168.236496 156.728888 0 166.855093 179.805097 0 1174.102648 0.052485
Septembar (2016) 0 196.250982 0 163.736090 188.374565 0 0 194.504955 164.435262 0 157.792236 0 162.159088 0 0 1227.253177 0.044274
Decembar (2016) 0 160.947455 329.888426 0 0 184.245612 190.878267 0 172.169745 0 0 165.512972 170.077412 0 0 1373.719889 0.112744
21
8. Momentum 3m PRINOSI 14-16 tabela
Mart (2014) 0.056195 0.081128 0.048626 0.025792 0.082151 0.010784 0.018330 0.044622 0.020647 0.043587 0.033636 0.027318 0.003495 0.086258 -0.006750
Jun (2014) -0.012758 0.021311 0.021311 -0.038626 -0.001687 0.062889 0.025221 0.001232 0.025720 0.014648 -0.022100 -0.000823 0.026354 -0.006100 -0.016461
Septembar (2014) 0.065938 -0.011688 0.046168 0.035774 0.010782 0.035181 -0.021574 0.062850 0.023323 -0.015319 0.033097 -0.005767 0.014589 0.005902 0.097258
Decembar (2014) 0.028586 -0.002410 0.004486 0.002923 0.001203 -0.050054 -0.004763 0.042022 0.008465 0.017144 0.004850 0.023808 -0.008989 -0.050773 0.056920
Mart (2015) 0.031871 -0.012739 0.026188 0.007639 -0.030802 0.008332 0.030318 0.015962 -0.004214 0.014941 0.001260 0.030589 0.043078 -0.023064 0.018726
Jun (2015) 0.041236 0.060487 0.013067 0.030115 0.013405 -0.032384 -0.008162 -0.047245 -0.010576 -0.008690 -0.013453 -0.032926 -0.027060 0.054130 -0.002337
Septembar (2015) 0.004058 0.051363 -0.001120 0.014647 -0.016241 -0.022938 -0.040621 -0.006785 -0.008148 0.039544 -0.008277 -0.012732 -0.014221 0.067215 0.015216
Decembar (2015) -0.041343 0.054953 -0.038775 -0.022812 0.052019 -0.063759 0.013382 -0.000325 -0.011822 -0.033025 0.010216 -0.025265 0.025468 0.008824 -0.056781
Mart (2016) -0.014166 0.092640 0.053395 0.030347 0.073659 0.016483 -0.007301 0.046892 0.034332 0.028972 0.028220 0.035913 0.019272 0.000429 0.063065
Jun (2016) 0.013411 -0.043252 -0.005367 0.023945 -0.006176 0.028737 0.012525 -0.018044 0.019732 -0.034055 0.025605 0.014848 0.037151 -0.007061 -0.153100
Septembar (2016) -0.041671 0.062292 0.005852 -0.010748 -0.024529 0.028517 0.071797 0.007472 0.040467 0.018502 -0.005115 0.012140 0.015754 0.040670 0.026316
Decembar (2016) 0.057687 0.052348 0.042907 -0.008031 0.038694 0.046008 -0.055367 0.049369 -0.006611 0.025640 -0.020357 0.022022 -0.011257 0.025571 0.004580
22
8.1 Momentum 3m RANK 14-16 tabela
Mart (2014) 4 3 5 10 2 13 12 6 11 7 8 9 14 1 15
Jun (2014) 12 5.5 5.5 15 10 1 4 8 3 7 14 9 2 11 13
Septembar (2014) 2 13 4 5 10 6 15 3 8 14 7 12 9 11 1
Decembar (2014) 3 11 8 9 10 14 12 2 6 5 7 4 13 15 1
Mart (2015) 2 13 5 10 15 9 4 7 12 8 11 3 1 14 6
Jun (2015) 3 1 6 4 5 13 8 15 10 9 11 14 12 2 7
Septembar (2015) 6 2 7 5 13 14 15 8 9 3 10 11 12 1 4
Decembar (2015) 13 1 12 9 2 15 4 7 8 11 5 10 3 6 14
Mart (2016) 15 1 4 8 2 12 14 5 7 9 10 6 11 13 3
Jun (2016) 7 14 9 4 10 2 8 12 5 13 3 6 1 11 15
Septembar (2016) 15 2 11 13 14 5 1 10 4 7 12 9 8 3 6
Decembar (2016) 1 2 5 12 6 4 15 3 11 7 14 9 13 8 10
23
8.2 Momentum 3m PONDER 14-16 tabela
Mart (2014) 0.142857 0.142857 0.142857 0 0.142857 0 0 0.142857 0 0.142857 0 0 0 0.142857 0
Jun (2014) 0 0.142857 0.142857 0 0 0.142857 0.142857 0 0.142857 0.142857 0 0 0.142857 0 0
Septembar (2014) 0.142857 0 0.142857 0.142857 0 0.142857 0 0.142857 0 0 0.142857 0 0 0 0.142857
Decembar (2014) 0.142857 0 0 0 0 0 0 0.142857 0.142857 0.142857 0.142857 0.142857 0 0 0.142857
Mart (2015) 0.142857 0 0.142857 0 0 0 0.142857 0.142857 0 0 0 0.142857 0.142857 0 0.142857
Jun (2015) 0.142857 0.142857 0.142857 0.142857 0.142857 0 0 0 0 0 0 0 0 0.142857 0.142857
Septembar (2015) 0.142857 0.142857 0.142857 0.142857 0 0 0 0 0 0.142857 0 0 0 0.142857 0.142857
Decembar (2015) 0 0.142857 0 0 0.142857 0 0.142857 0.142857 0 0 0.142857 0 0.142857 0.142857 0
Mart (2016) 0 0.142857 0.142857 0 0.142857 0 0 0.142857 0.142857 0 0 0.142857 0 0 0.142857
Jun (2016) 0.142857 0 0 0.142857 0 0.142857 0 0 0.142857 0 0.142857 0.142857 0.142857 0 0
Septembar (2016) 0 0.142857 0 0 0 0.142857 0.142857 0 0.142857 0.142857 0 0 0 0.142857 0.142857
Decembar (2016) 0.142857 0.142857 0.142857 0 0.142857 0.142857 0 0.142857 0 0.142857 0 0 0 0 0
24
8.3 Momentm 3m KOLIČINA 14-16 tabela
Mart (2014) 2.062952 0.424702 5.594253 0 0.257194 0 0 6.535362 0 2.772091 0 0 0 4.407026 0
Jun (2014) 0 0.474177 5.250704 0 0 3.268997 1.815849 0 1.711142 3.128913 0 0 4.486247 0 0
Septembar (2014) 1.651982 0 5.109916 2.168618 0 3.746891 0 5.073443 0 0 4.250846 0 0 0 1.352548
Decembar (2014) 1.574523 0 0 0 0 0 0 5.071941 1.747657 2.939673 4.441216 2.059752 0 0 1.340981
Mart (2015) 1.351898 0 4.628891 0 0 0 1.732484 5.678970 0 0 0 2.209297 4.415458 0 1.312223
Jun (2015) 1.305297 0.348539 4.539290 1.845740 0.290671 0 0 0 0 0 0 0 0 3.976380 1.225279
Septembar (2015) 1.461976 0.292429 5.045150 1.955501 0 0 0 0 0 2.780263 0 0 0 3.831403 1.437409
Decembar (2015) 0 0.248309 0 0 0.221155 0 2.083340 5.464208 0 0 4.450047 0 4.368192 4.290127 0
Mart (2016) 0 0.283615 4.913072 0 0.226009 0 0 5.786551 1.721190 0 0 2.312580 0 0 2.118067
Jun (2016) 1.980459 0 0 2.046800 0 4.921189 0 0 1.616592 0 4.451921 2.364690 3.965068 0 0
Septembar (2016) 0 0.221441 0 0 0 4.451687 2.110136 0 1.712422 3.062968 0 0 0 3.968639 2.126073
Decembar (2016) 1.777871 0.255296 2.629174 0 0.254250 4.483287 0 5.874637 0 2.506823 0 0 0 0 0
25
8.4 Momentum 3m REZULTAT 14-16 tabela
Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX Vrednost portfolija Prinos Prosečan prinos Standardna devijacija Zarada
Mart (2014) 1000 0.115444 0.092901 373.648222
Jun (2014) 174.104865 137.934844 164.079393 0 147.553477 0 0 172.499708 0 136.440602 0 0 0 145.408939 0 1078.021828 0.075128
Septembar (2014) 0 152.893546 156.089911 0 0 132.530085 151.818009 0 157.964259 162.131267 0 0 149.905492 0 0 1063.332569 -0.013720
Decembar (2014) 167.145812 0 164.320267 155.426126 0 155.749342 0 159.355724 0 0 152.479873 0 0 0 160.682695 1115.159840 0.047590
Mart (2015) 180.295284 0 0 0 0 0 0 138.255976 154.333182 155.209239 153.007112 144.324554 0 0 158.195532 1083.620879 -0.028690
Jun (2015) 156.698912 0 154.283876 0 0 0 137.042511 151.684030 0 0 0 149.001608 148.337556 0 162.033336 1059.081828 -0.022906
Septembar (2015) 133.649381 178.413765 134.682628 141.289581 176.850324 0 0 0 0 0 0 0 0 155.355940 127.600511 1047.842131 -0.010669
Decembar (2015) 143.463242 197.650168 175.697425 163.959203 0 0 0 0 0 163.284641 0 0 0 149.884499 180.869130 1174.808308 0.114372
Mart (2016) 0 147.406321 0 0 164.749077 0 174.255828 158.986314 0 0 181.229619 0 187.617228 164.311854 0 1178.556241 0.003185
Jun (2016) 0 202.960522 171.347196 0 156.420610 0 0 172.181761 190.097149 0 0 174.610213 0 0 182.196156 1249.813606 0.058704
Septembar (2016) 212.278627 0 0 174.294466 0 204.969836 0 0 175.038722 0 167.967327 190.739034 172.615771 0 0 1297.903782 0.037756
Decembar (2016) 0 170.212891 0 0 0 194.852277 201.866761 0 182.081226 239.770841 0 0 0 228.236431 156.627795 1373.648222 0.056720
26
9. Beta 3meseca 14-16 tabela
Mart (2014) 0.861833 0.594567 0.504900 1.277667 / 1.104000 0.203767 0.947033 0.583933 1.702667 0.465100 0.534667 0.222500 0.888900 0.315567
Jun (2014) 1.017133 0.819567 0.576000 1.203000 / 1.131000 0.195600 0.958033 0.548100 1.700333 0.491867 0.459033 0.105900 1.058233 0.335433
Septembar (2014) 0.930233 0.906900 0.796833 1.111667 / 1.122000 0.188633 0.998367 0.564133 1.624333 0.497133 0.440733 0.137000 1.184667 0.385767
Decembar (2014) 0.884700 0.999733 0.825333 1.105333 / 1.102667 0.182433 0.918633 0.564267 1.562000 0.507933 0.404733 0.169767 1.347333 0.472400
Mart (2015) 0.909233 1.085000 0.858433 1.153667 / 1.028667 0.203200 0.943900 0.543133 1.564000 0.480200 0.397867 0.177967 1.248000 0.344567
Jun (2015) 0.841333 0.981900 0.934867 1.253000 / 1.028167 0.219167 0.961033 0.553000 1.617333 0.486667 0.444400 0.106167 1.037333 0.320900
Septembar (2015) 0.857933 0.914100 1.013067 1.247667 0.342150 0.917233 0.222500 0.967067 0.535400 1.678667 0.505067 0.476133 0.049500 1.211333 0.252300
Decembar (2015) 0.901200 0.846667 1.064667 1.209667 0.568667 0.918500 0.315000 0.875833 0.607833 1.704333 0.489900 0.533200 0.029300 1.270000 0.285067
Mart (2016) 0.868000 0.903500 1.096667 1.037667 0.977700 0.752633 0.241367 0.870000 0.630267 1.690333 0.487200 0.562300 0.018400 1.095000 0.495267
Jun (2016) 0.955100 1.043667 1.130667 0.967500 0.933167 0.704367 0.226767 0.972033 0.610000 1.657667 0.491133 0.489867 -0.008633 1.014333 0.651367
Septembar (2016) 1.008000 1.037667 1.143333 0.948833 0.950833 0.661200 0.182533 0.958967 0.571333 1.631667 0.523500 0.475033 0.020967 1.013000 0.529933
Decembar (2016) 1.153333 1.135667 1.089000 0.940400 1.031000 0.799433 0.193067 1.000133 0.599200 1.610000 0.558033 0.500267 0.042567 0.761367 0.499533
9.1 Beta 3meseca RANK 14-16 tabela
27
Mart (2014) 6 7 10 2 / 3 14 4 8 1 11 9 13 5 12
Jun (2014) 5 7 8 2 / 3 13 6 9 1 10 11 14 4 12
Septembar (2014) 6 7 8 4 / 3 13 5 9 1 10 11 14 2 12
Decembar (2014) 7 5 8 3 / 4 13 6 9 1 10 12 14 2 11
Mart (2015) 7 4 8 3 / 5 13 6 9 1 10 11 14 2 12
Jun (2015) 8 5 7 2 / 4 13 6 9 1 10 11 14 3 12
Septembar (2015) 8 7 4 2 12 6 14 5 9 1 10 11 15 3 13
Decembar (2015) 6 8 4 3 10 5 13 7 9 1 12 11 15 2 14
Mart (2016) 8 6 2 4 5 9 14 7 10 1 13 11 15 3 12
Jun (2016) 7 3 2 6 8 9 14 5 11 1 12 13 15 4 10
Septembar (2016) 5 3 2 8 7 9 14 6 10 1 12 13 15 4 11
Decembar (2016) 2 3 4 7 5 8 14 6 10 1 11 12 15 9 13
28
9.2 Beta 3m PONDER 14-16 tabela
Mart (2014) 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Jun (2014) 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Septembar (2014) 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Decembar (2014) 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Mart (2015) 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Jun (2015) 0 0.142857 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Septembar (2015) 0 0.142857 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Decembar (2015) 0.142857 0 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0.142857 0
Mart (2016) 0 0.142857 0.142857 0.142857 0.142857 0 0 0.142857 0 0.142857 0 0 0 0.142857 0
Jun (2016) 0.142857 0.142857 0.142857 0.142857 0 0 0 0.142857 0 0.142857 0 0 0 0.142857 0
Septembar (2016) 0.142857 0.142857 0.142857 0 0.142857 0 0 0.142857 0 0.142857 0 0 0 0.142857 0
Decembar (2016) 0.142857 0.142857 0.142857 0.142857 0.142857 0 0 0.142857 0 0.142857 0 0 0 0 0
29
9.3 Beta 3m KOLIČINA 14-16 tabela
Mart (2014) 140.884756 165.324781 0 118.553646 / 128.122998 0 150.963905 0 83.347225 0 0 0 132.766861 0
Jun (2014) 154.567688 155.534779 0 130.835517 / 123.021109 0 141.910177 0 89.497666 0 0 0 122.602670 0
Septembar (2014) 162.650143 143.206722 0 128.361342 / 134.743285 0 154.813906 0 92.668608 0 0 0 106.713478 0
Decembar (2014) 157.860647 134.109003 0 127.991751 / 139.493877 0 152.307511 0 92.995918 0 0 0 115.986165 0
Mart (2015) 167.873252 143.381211 0 109.750972 / 144.611694 0 145.586844 0 85.031676 0 0 0 135.866739 0
Jun (2015) 0 168.561933 131.043309 114.019239 / 165.366354 0 144.832424 0 83.685692 0 0 0 109.623740 0
Septembar (2015) 0 182.032956 122.493010 114.313003 0 153.133601 0 169.825798 0 76.836524 0 0 0 111.302291 0
Decembar (2015) 146.371753 0 121.194221 131.046444 0 183.536927 0 147.257781 0 80.262999 0 0 0 122.302029 0
Mart (2016) 0 126.072810 116.606212 141.979382 142.316153 0 0 133.981153 0 80.881270 0 0 0 131.998232 0
Jun (2016) 132.547251 126.756963 116.267493 138.589017 0 0 0 139.516130 0 82.037543 0 0 0 131.243935 0
Septembar (2016) 105.748329 108.051056 126.731789 0 125.1338126 0 0 118.360514 0 83.557617 0 0 0 250.900352 0
Decembar (2016) 79.370132 72.658070 101.278783 121.182183 110.3755498 0 0 97.449717 0 67.079897 0 0 0 0 0
30
9.4 Beta 3m REZULTAT 14-16 tabela
Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX Vrednost portfolijParinos Prosečan prinos Standardna devijaZarada
cija
Mart (2014) 1000 -0.118592 0.139731 -278.287392
Jun (2014) 131.417301 153.256072 0 130.646117 / 150.160154 0 153.379327 0 134.272379 0 0 0 156.133829 0 1009.265178 0.009223
Septembar (2014) 136.498726 156.001383 0 146.404944 / 131.140502 0 131.664262 0 138.721382 0 0 0 165.023194 0 1005.454392 -0.003783
Decembar (2014) 150.337528 155.808913 0 146.331930 / 140.941476 0 148.311722 0 145.397045 0 0 0 134.245556 0 1021.374169 0.015709
Mart (2015) 129.935098 129.240846 0 161.141614 / 133.286400 0 144.555059 0 151.118367 0 0 0 117.957930 0 967.235314 -0.054462
Jun (2015) 149.524705 120.942052 0 136.859462 / 124.337134 0 142.922605 0 144.468817 0 0 0 176.219160 0 995.273935 0.028576
Septembar (2015) 0 125.224660 144.671814 134.884759 / 146.035027 0 115.330059 0 147.286818 0 0 0 133.192844 0 946.625982 -0.050114
Decembar (2015) 0 168.853770 135.232283 116.713577 0 111.634395 0 154.303720 0 128.086486 0 0 0 121.764706 0 936.588937 -0.010660
Mart (2016) 143.971256 0 137.191858 121.833879 0 122.621021 0 145.078366 0 130.989215 0 0 0 122.302029 0 923.987623 -0.013546
Jun (2016) 0 132.754669 133.863931 136.740343 136.950834 0 0 128.179769 0 131.593826 0 0 0 134.242202 0 934.325574 0.011126
Septembar (2016) 161.707646 151.347814 118.360308 125.450778 0 0 0 152.072582 0 126.665966 0 0 0 67.485631 0 903.090726 -0.034002
Decembar (2016) 162.548823 0 0 100.701126 0 72.8288191 0 0 0 385.633840 0 0 0 0 0 721.712608 -0.224196
31
10. Beta portfolija 14-16 tabela
Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX Ponderisana betaBeta portfolija
Mart (2014) 0.144857 0.123443 0 0 / 0.159286 0 0 0 0.244857 0 0 0 0.153714 0.051500 0.877657 0.830624
Jun (2014) 0.133257 0.132429 0.115843 0 / 0.167429 0 0 0 0.230143 0 0 0 0.168000 0 0.947100
Septembar (2014) 0.126157 0 0.119271 0 / 0.152286 0 0.132543 0 0 0 0 0 0.192286 0.062557 0.785100
Decembar (2014) 0.132043 0 0.123800 0 / 0.149429 0 0.136857 0.077186 0 0 0 0.024629 0 0.046014 0.689957
Mart (2015) 0.117586 0 0.139543 0.179857 / 0 0 0.135586 0 0 0 0.065500 0.012329 0 0.049486 0.699886
Jun (2015) 0.127243 0.120500 0.155000 0.178143 0 0 0 0 0 0.242714 0 0.069300 0 0 0.026857 0.919757
Septembar (2015) 0.120943 0.106129 0.157714 0.169000 0 0 0 0 0 0.251429 0 0 0 0.173571 0.055243 1.034029
Decembar (2015) 0.130586 0.132514 0 0.145857 0.136814 0 0 0 0 0.238143 0.068814 0 0 0.156286 0 1.009014
Mart (2016) 0 0.149571 0 0 0.132500 0 0 0.140743 0 0.233143 0.074314 0 0.003529 0.142857 0 0.876657
Jun (2016) 0 0.150429 0 0.137586 0.137471 0 0 0.136671 0.081071 0 0.075114 0 0.002429 0 0 0.720771
Septembar (2016) 0 0.170571 0.145429 0 0 0.118786 0.033314 0 0.089186 0 0 0.076714 0.010914 0 0 0.644914
Decembar (2016) 0 0.202714 0.145429 0 0 0.124514 0 0 0.103143 0 0 0.084429 0.005243 0.097171 0 0.762643
Mart (2014) 0.144857 0.123443 0.087814 0 / 0 0 0.135186 0 0.244857 0 0 0 0.153714 0 0.889871 0.806143
Jun (2014) 0 0.132429 0.115843 0 / 0.167429 0.027829 0 0.080386 0.230143 0 0 0.021414 0 0 0.775471
Septembar (2014) 0.126157 0 0.119271 0.159857 / 0.152286 0 0.132543 0 0 0.070414 0 0 0 0.062557 0.823086
Decembar (2014) 0.132043 0 0 0 / 0 0 0.136857 0.077186 0.224143 0.069057 0.056043 0 0 0.046014 0.741343
Mart (2015) 0.117586 0 0.139543 0 / 0 0.028900 0.135586 0 0 0 0.065500 0.012329 0 0.049486 0.548929
Jun (2015) 0.127243 0.120500 0.155000 0.178143 0.051886 0 0 0 0 0 0 0 0 0.185286 0.026857 0.844914
Septembar (2015) 0.120943 0.106129 0.157714 0.169000 0 0 0 0 0 0.251429 0 0 0 0.173571 0.055243 1.034029
Decembar (2015) 0 0.132514 0 0 0.136814 0 0.034586 0.129800 0 0 0.068814 0 0.000557 0.156286 0 0.659371
Mart (2016) 0 0.149571 0.161714 0 0.132500 0 0 0.140743 0.084943 0 0 0.069343 0 0 0.081114 0.819929
Jun (2016) 0.143857 0 0 0.137586 0 0.093571 0 0 0.081071 0 0.075114 0.066329 0.002429 0 0 0.599957
Septembar (2016) 0 0.170571 0 0 0 0.118786 0.033314 0 0.089186 0.220571 0 0 0 0.073457 0.068543 0.774429
Decembar (2016) 0.185571 0.202714 0.145429 0 0.133443 0.124514 0 0.151143 0 0.219571 0 0 0 0 0 1.162386
Mart (2014) 0.144857 0.123443 0 0.172143 / 0.159286 0 0.135186 0 0.244857 0 0 0 0.153714 0 1.133486 1.114632
Jun (2014) 0.133257 0.132429 0 0.157429 / 0.167429 0 0.145143 0 0.230143 0 0 0 0.168000 0 1.133829
Septembar (2014) 0.126157 0.143286 0 0.159857 / 0.152286 0 0.132543 0 0.221429 0 0 0 0.192286 0 1.127843
Decembar (2014) 0.132043 0.155429 0 0.162857 / 0.149429 0 0.136857 0 0.224143 0 0 0 0.179714 0 1.140471
Mart (2015) 0.117586 0.137671 0 0.179857 / 0.136500 0 0.135586 0 0.232143 0 0 0 0.145286 0 1.084629
Jun (2015) 0 0.120500 0.155000 0.178143 / 0.122829 0 0.140243 0 0.242714 0 0 0 0.185286 0 1.144714
Septembar (2015) 0 0.106129 0.157714 0.169000 0 0.126157 0 0.113757 0 0.251429 0 0 0 0.173571 0 1.097757
Decembar (2015) 0.130586 0 0.157714 0.145857 0 0.104143 0 0.129800 0 0.238143 0 0 0 0.156286 0 1.062529
Mart (2016) 0 0.149571 0.161714 0.132814 0.132500 0 0 0.140743 0 0.233143 0 0 0 0.142857 0 1.093343
Jun (2016) 0.143857 0.150429 0.164000 0.137586 0 0 0 0.136671 0 0.232429 0 0 0 0.145286 0 1.110257
Septembar (2016) 0.174286 0.170571 0.145429 0 0.147286 0 0 0.155714 0 0.220571 0 0 0 0.073457 0 1.087314
Decembar (2016) 0.185571 0.202714 0.145429 0.121543 0.133443 0 0 0.151143 0 0.219571 0 0 0 0 0 1.159414
32
Sharpova Mera Trejnerova Mera
MOM 3m1y 0.980186 0.139007
MOM 3m 1.242659 0.143205
BETA 3m -0.848715 -0.106396
Najbolje performanse daje MOM 3m signal
10.1 Performanse portfolija tabela
33
11. Momentum 3m PRINOSI 17-19 tabela
Mart (2017) 0.009776 -0.028515 0.210710 -0.047396 -0.002354 0.016549 0.028337 -0.010817 -0.006048 0.085696 0.002988 -0.019191 -0.010123 0.069262 -0.056241
Jun (2017) 0.073246 0.047559 -0.241245 0.035691 0.024048 0.010602 0.020152 0.000528 0.028182 0.010879 0.003474 0.024754 0.007858 0.038700 0.131653
Septembar (2017) 0.002207 0.029302 0.043564 0.042534 0.030384 0.002731 -0.003954 -0.019789 0.022300 0.017067 0.021340 -0.007629 -0.009072 -0.021145 0.054750
Decembar (2017) 0.023899 -0.002298 -0.006410 0.039908 0.017986 0.021975 0.007577 0.042828 -0.003681 0.016490 0.003919 0.016940 0.012628 0.005670 0.055113
Mart (2018) 0.032372 0.065322 -0.028233 0.056155 0.029035 0.039444 0.014987 0.066111 0.026045 0.039622 0.011745 0.005768 -0.003457 0.009854 -0.004814
Jun (2018) -0.001512 0.071059 0.016825 0.055116 -0.004687 0.001999 -0.043484 0.042476 -0.026685 0.011045 -0.018293 -0.046636 -0.020298 -0.013223 0.027975
Septembar (2018) 0.034048 0.053594 -0.036002 -0.015186 0.026047 0.017098 -0.018108 -0.013607 -0.015739 -0.016279 0.006214 -0.002098 0.016710 -0.007120 0.013979
Decembar (2018) 0.067312 0.054712 0.071805 0.006992 0.022476 0.048976 0.032987 -0.014615 0.045510 0.028359 0.020209 0.024389 -0.015863 0.053631 0.041926
Mart (2019) -0.118318 -0.095956 0.015421 -0.035854 -0.047291 -0.031078 0.018741 -0.000456 -0.020646 -0.045970 0.013717 0.036037 0.006704 -0.032764 -0.050368
Jun (2019) 0.063364 0.056752 0.077208 0.081241 0.041613 0.106079 0.025163 0.047025 0.028851 0.014800 -0.003467 0.043944 0.058324 0.027595 0.034808
Septembar (2019) 0.014982 0.020487 0.064262 0.033367 -0.027342 -0.024184 0.053373 -0.036273 0.001055 0.035646 0.030594 0.019819 0.026292 0.023467 -0.001034
Decembar (2019) 0.042481 -0.028988 0.013789 0.029476 0.040076 0.022194 0.050059 0.026801 -0.022089 0.019466 0.024873 0.044168 0.040608 0.020192 -0.026393
34
11.1 Momentum 3m RANK 17-19 tabela
Mart (2017) 6 13 1 14 8 5 4 11 9 2 7 12 10 3 15
Jun (2017) 2 3 15 5 8 11 9 14 6 10 13 7 12 4 1
Septembar (2017) 10 5 2 3 4 9 11 14 6 8 7 12 13 15 1
Decembar (2017) 4 13 15 3 6 5 10 2 14 8 12 7 9 11 1
Mart (2018) 6 2 15 3 7 5 9 1 8 4 10 12 13 11 14
Jun (2018) 8 1 5 2 9 7 14 3 13 6 11 15 12 10 4
Septembar (2018) 2 1 15 11 3 4 14 10 12 13 7 8 5 9 6
Decembar (2018) 2 3 1 13 11 5 8 14 6 9 12 10 15 4 7
Mart (2019) 15 14 3 10 12 8 2 6 7 11 4 1 5 9 13
Jun (2019) 4 6 3 2 9 1 13 7 11 14 15 8 5 12 10
Septembar (2019) 10 8 1 4 14 13 2 15 11 3 5 9 6 7 12
Decembar (2019) 3 15 12 6 5 9 1 7 13 11 8 2 4 10 14
35
11.2 Momentum 3m PONDER 17-19 tabela
Mart (2017) 0.142857 0 0.142857 0 0 0.142857 0.142857 0 0 0.142857 0.142857 0 0 0.142857 0
Jun (2017) 0.142857 0.142857 0 0.142857 0 0 0 0 0.142857 0 0 0.142857 0 0.142857 0.142857
Septembar (2017) 0 0.142857 0.142857 0.142857 0.142857 0 0 0 0.142857 0 0.142857 0 0 0 0.142857
Decembar (2017) 0.142857 0 0 0.142857 0.142857 0.142857 0 0.142857 0 0 0 0.142857 0 0 0.142857
Mart (2018) 0.142857 0.142857 0 0.142857 0.142857 0.142857 0 0.142857 0 0.142857 0 0 0 0 0
Jun (2018) 0 0.142857 0.142857 0.142857 0 0.142857 0 0.142857 0 0.142857 0 0 0 0 0.142857
Septembar (2018) 0.142857 0.142857 0 0 0.142857 0.142857 0 0 0 0 0.142857 0 0.142857 0 0.142857
Decembar (2018) 0.142857 0.142857 0.142857 0 0 0.142857 0 0 0.142857 0 0 0 0 0.142857 0.142857
Mart (2019) 0 0 0.142857 0 0 0 0.142857 0.1428571 0.142857 0 0.142857 0.142857 0.142857 0 0
Jun (2019) 0.142857 0.142857 0.142857 0.142857 0 0.142857 0 0.1428571 0 0 0 0 0.142857 0 0
Septembar (2019) 0 0 0.142857 0.142857 0 0 0.142857 0 0 0.142857 0.142857 0 0.142857 0.142857 0
Decembar (2019) 0.142857 0 0 0.142857 0.142857 0 0.142857 0.142857 0 0 0 0.142857 0.142857 0 0
36
11.3 Momentum 3m KOLIČINA 17-19 tabela
Mart (2017) 1.038947 0 3.946918 0 0 3.161609 1.405696 0 0 1.766341 3.713684 0 0 2.211753 0
Jun (2017) 1.061561 0.151794 0 1.573094 0 0 0 0 1.187690 0 0 1.832975 0 2.423891 1.140190
Septembar (2017) 0 0.162293 3.855932 1.481873 0.162672 0 0 0 1.275119 0 3.759878 0 0 0 1.026177
Decembar (2017) 1.021812 0 0 1.343811 0.160019 3.057008 0 3.830305 0 0 0 1.951246 0 0 1.117338
Mart (2018) 1.064616 0.119992 0 1.181355 0.168318 3.151697 0 3.497384 0 1.667863 0 0 0 0 0
Jun (2018) 1.000195 0.106311 5.148661 0 0.161975 0 2.022855 0 1.551264 0 0 0 0 3.024387 0
Septembar (2018) 0.950079 0 0 1.464482 0.176010 0 0 0 0 1.945575 0 2.633353 0 2.993200 0
Decembar (2018) 1.037227 0.107065 3.526818 0 0 2.627463 0 0 1.281223 0 0 0 0 2.528042 0.970423
Mart (2019) 0 0 3.324027 0 0 0 1.698221 3.641669 1.396079 0 4.206580 1.884245 3.852966 0 0
Jun (2019) 1.047434 0.108478 2.947084 1.130749 0 2.625215 0 4.365299 0 0 0 0 3.828197 0 0
Septembar (2019) 0 0 3.017291 1.104466 0 0 1.428494 0 0 1.889440 4.086071 0 3.616408 2.782707 0
Decembar (2019) 0.763945 0 0 1.083557 0.167386 0 1.530032 3.757518 0 0 0 1.802495 3.545031 0 0
37
11.4 Momentum 3m REZULTAT 17-19 tabela
Datum AAPL AMZN BLL EL ALPH GRMN HSY INTC JNJ JPM KO PG SO TMUS VRTX Vrednost portfolijParinos Prosečan prinos Standardna devijaZarada
cija
Mart (2017) 1000 0.163236 0.225956 566.584596
Jun (2017) 143.806251 0 162.802458 0 0 144.032420 141.172466 0 0 150.362070 152.301929 0 0 134.076489 0 1028.554084 0.028154
Septembar (2017) 157.858274 145.926866 0 165.624249 0 0 0 0 145.322451 0 0 154.596455 0 149.457147 173.354501 1092.139943 0.059985
Decembar (2017) 0 189.796328 143.349226 184.647343 170.219605 0 0 0 168.699406 0 161.615390 0 0 0 153.782934 1172.110232 0.070667
Mart (2018) 166.686457 0 0 197.551279 165.106438 168.451248 0 190.200692 0 0 0 145.582602 0 0 182.103792 1215.682507 0.036500
Jun (2018) 192.346047 203.962070 0 165.934420 187.784082 182.809358 0 166.722498 0 165.391191 0 0 0 0 0 1264.949666 0.039727
Septembar (2018) 221.143572 212.940523 224.144877 0 193.311959 0 199.504638 0 207.142647 0 0 0 0 212.251447 0 1470.439663 0.150529
Decembar (2018) 147.297453 0 0 188.640580 182.277852 0 0 0 0 183.001898 0 234.045846 0 190.397485 0 1125.661114 -0.267191
Mart (2019) 194.475840 190.656373 202.722660 0 0 221.064133 0 0 175.347067 0 0 0 0 174.687672 178.509229 1337.462973 0.172404
Jun (2019) 0 0 231.691354 0 0 0 224.244866 171.365903 191.671662 0 209.432793 202.770590 206.746797 0 0 1437.923965 0.072426
Septembar (2019) 233.337759 188.308520 214.093566 224.409855 0 219.560185 0 222.616297 0 0 0 0 232.030499 0 0 1534.356681 0.064911
Decembar (2019) 0 0 195.128231 228.116441 0 0 208.945880 0 0 261.706303 226.164006 0 228.303863 218.219872 0 1566.584596 0.020787
38
12. Literatura
Project Management Srbija, „Portfolio menadžment – upravljanje portfeljom projekata“
Preuzeto sa:
http://project-management-srbija.com/upravljanje-projektima/portfolio-menadzment-upravljanje-
porfeljom-projekata
Tandem Financial, (2009), „Akcije“
Preuzeto sa:
http://www.tandemfin.com/srpski/faq/akcije.html
Slavnić, P. (2016), „Investiranje: Šta su akcije (deonice)“
Preuzeto sa:
http://onlinetrziste.com/2016/09/investiranje-sta-su-akcije-deonice/
Deretić, R. (2017), „Savjeti velikih majstora berzanskog poslovanja: Voren Bafet i Bendžamin Grejem“
Preuzeto sa:
https://blog.erstebank.me/savjeti-velikih-majstora-berzanskog-poslovanja/
Yahoo finance, „Stocks prices“
Preuzeto sa:
https://finance.yahoo.com/quote/AAPL/history?p=AAPL
https://finance.yahoo.com/quote/AMZN/history?p=AMZN
https://finance.yahoo.com/quote/BLL/history?p=BLL
https://finance.yahoo.com/quote/EL?p=EL&.tsrc=fin-srch
https://finance.yahoo.com/quote/GOOG?p=GOOG&.tsrc=fin-srch
https://finance.yahoo.com/quote/GRMN?p=GRMN&.tsrc=fin-srch
https://finance.yahoo.com/quote/HSY?p=HSY&.tsrc=fin-srch
https://finance.yahoo.com/quote/INTC/history?p=INTC
https://finance.yahoo.com/quote/JNJ/history?p=JNJ
https://finance.yahoo.com/quote/JPM/history?p=JPM
39
https://finance.yahoo.com/quote/KO/history?p=KO
https://finance.yahoo.com/quote/PG/history?p=PG
https://finance.yahoo.com/quote/SO/history?p=SO
https://finance.yahoo.com/quote/TMUS/history?p=TMUS
https://finance.yahoo.com/quote/VRTX/history?p=VRTX
Zacks, „Fundamental Charts Beta“
Preuzeto sa:
https://www.zacks.com/stock/chart/AAPL/fundamental/beta
https://www.zacks.com/stock/chart/AMZN/fundamental/beta
https://www.zacks.com/stock/chart/BLL/fundamental/beta
https://www.zacks.com/stock/chart/EL/fundamental/beta
https://www.zacks.com/stock/chart/GOOG/fundamental/beta
https://www.zacks.com/stock/chart/GRMN/fundamental/beta
https://www.zacks.com/stock/chart/HSY/fundamental/beta
https://www.zacks.com/stock/chart/INTC/fundamental/beta
https://www.zacks.com/stock/chart/JNJ/fundamental/beta
https://www.zacks.com/stock/chart/JPM/fundamental/beta
https://www.zacks.com/stock/chart/KO/fundamental/beta
https://www.zacks.com/stock/chart/PG/fundamental/beta
https://www.zacks.com/stock/chart/SO/fundamental/beta
https://www.zacks.com/stock/chart/TMUS/fundamental/beta
https://www.zacks.com/stock/chart/VRTX/fundamental/beta
40

Uvod U Portfolio Menadzment-Seminarski

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Uvod U Portfolio Menadzment-Seminarski

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Univerzitet Metropolitan

Mentor: Doc. dr Milan Nedeljković

Portfolio je grupa projekata, programa i drugih povezanih operativnih poslova

Akcija predstavlja jedno od sledeća dva značenja:

2.1 Podijela akcija

2) u odnosu na sadržaj prava koje daju imaocima, na:

3.Odabir akcija za ulaganje

3. Ne ulažite u sektor koji ne razumijete-Razumijevanje sektora nam

4. Ne vezujte vaše emocije za kretanje berze-Cijene akcija variraju i upravo u

5. Kupujte akcije kompanija koje redovno isplaćuju dividendu-Redovna isplata

(Izvor: Erste Bank)

4.1. Prvi signal-Momentum 3m-1y

Pustupak rađenja signala momentum 3m je isti kao i za prethodni signal i njega

4.3 Treći signal – beta 3m

4.4. Mere performansi portfolija

Performanse portfolija procjenjujemo kroz odgovarajući odnos prinosa i rizika. Da

(Izvor: Yahoo finance)

6.Portfolio –CENE tabela

9.1 Beta 3meseca RANK 14-16 tabela

Najbolje performanse daje MOM 3m signal

10.1 Performanse portfolija tabela

Project Management Srbija, „Portfolio menadžment – upravljanje portfeljom projekata“

Tandem Financial, (2009), „Akcije“

Slavnić, P. (2016), „Investiranje: Šta su akcije (deonice)“

Yahoo finance, „Stocks prices“

Zacks, „Fundamental Charts Beta“

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