DATE SIFPret

Data Inchidere SIF1 Inchidere SIF2 Inchidere SIF3 Inchidere SIF4 Inchidere SIF511/30/1999 0.0452 0.0319 0.0640 0.0610 0.047912/24/1999 0.0393 0.0305 0.0530 0.0520 0.0430

1/31/2000 0.0437 0.0335 0.0650 0.0640 0.04652/29/2000 0.0306 0.0224 0.0570 0.0570 0.03153/29/2000 0.0361 0.0275 0.0530 0.0530 0.03554/28/2000 0.0480 0.0361 0.0610 0.0600 0.05205/31/2000 0.0420 0.0320 0.0560 0.0530 0.05106/30/2000 0.0490 0.0330 0.0580 0.0530 0.04207/31/2000 0.0416 0.0302 0.0550 0.0500 0.03898/31/2000 0.0458 0.0337 0.0560 0.0510 0.03919/29/2000 0.0461 0.0335 0.0540 0.0494 0.0420

10/31/2000 0.0520 0.0328 0.0550 0.0450 0.041511/30/2000 0.0520 0.0324 0.0530 0.0384 0.043612/22/2000 0.0630 0.0445 0.0660 0.0510 0.0560

1/31/2001 0.0670 0.0476 0.0750 0.0580 0.06002/28/2001 0.0452 0.0367 0.0600 0.0432 0.06203/29/2001 0.0483 0.0380 0.0650 0.0455 0.04424/27/2001 0.0475 0.0380 0.0640 0.0436 0.04555/31/2001 0.0490 0.0387 0.0640 0.0459 0.04636/29/2001 0.0610 0.0550 0.0730 0.0560 0.06507/31/2001 0.0740 0.0670 0.0850 0.0760 0.07208/31/2001 0.1050 0.0960 0.1300 0.0970 0.09709/28/2001 0.1040 0.0900 0.1300 0.0900 0.0900

10/31/2001 0.1130 0.0980 0.1260 0.1040 0.108011/30/2001 0.1350 0.1150 0.1360 0.1310 0.125012/18/2001 0.1260 0.1120 0.1380 0.1230 0.1160

1/31/2002 0.1150 0.0810 0.1150 0.1040 0.10502/28/2002 0.1130 0.0910 0.1200 0.1040 0.09703/28/2002 0.1230 0.0970 0.1230 0.0970 0.10004/30/2002 0.2550 0.1770 0.2450 0.1780 0.17805/31/2002 0.2500 0.1750 0.2400 0.1740 0.18406/28/2002 0.2200 0.1760 0.2250 0.1770 0.18507/31/2002 0.2250 0.1810 0.2300 0.1820 0.18408/30/2002 0.2800 0.2300 0.2750 0.2300 0.22509/30/2002 0.3600 0.3200 0.3600 0.3150 0.3200

10/31/2002 0.3400 0.3050 0.3300 0.2950 0.300011/29/2002 0.3000 0.2450 0.3050 0.2450 0.250012/19/2002 0.3050 0.2550 0.2900 0.2650 0.2550

1/31/2003 0.3250 0.2400 0.3050 0.2850 0.2700

2/28/2003 0.2800 0.2300 0.2750 0.2300 0.23503/27/2003 0.2650 0.2150 0.2750 0.2200 0.22004/22/2003 0.3000 0.2400 0.3000 0.2600 0.24505/30/2003 0.3100 0.2400 0.3100 0.2600 0.24006/30/2003 0.3100 0.2450 0.3050 0.2800 0.25007/31/2003 0.3300 0.2500 0.3150 0.2700 0.24508/29/2003 0.3350 0.2500 0.3200 0.2900 0.25509/30/2003 0.3250 0.2400 0.3200 0.2800 0.2350

10/31/2003 0.3600 0.2650 0.3600 0.3100 0.260011/28/2003 0.4000 0.3000 0.4000 0.3400 0.290012/19/2003 0.4300 0.3050 0.4350 0.3550 0.3000

1/30/2004 0.4850 0.3700 0.4950 0.3950 0.33002/27/2004 0.4900 0.3150 0.4750 0.3800 0.33503/31/2004 0.4850 0.3150 0.4850 0.3700 0.31504/30/2004 0.6900 0.4250 0.6900 0.4200 0.43005/31/2004 0.6800 0.4840 0.6850 0.4780 0.54006/30/2004 0.7300 0.6050 0.7950 0.5600 0.69507/30/2004 0.8600 0.6650 0.8900 0.5900 0.75008/31/2004 0.8150 0.6050 0.8950 0.5050 0.68509/30/2004 0.8050 0.5750 0.8750 0.5050 0.6450

10/29/2004 0.8150 0.6200 0.9050 0.5200 0.740011/30/2004 0.7950 0.6300 0.9350 0.5200 0.740012/24/2004 0.8300 0.7250 1.0400 0.5800 0.8700

1/31/2005 1.1300 0.9750 1.3500 0.7100 1.34002/28/2005 1.6100 1.3600 1.8300 1.0700 1.58003/31/2005 1.1000 0.9500 1.2300 0.7500 1.13004/29/2005 1.1800 1.0500 1.3000 0.8000 1.25005/31/2005 1.2200 1.0100 1.2500 0.8200 1.23006/24/2005 1.3000 1.0900 1.3200 0.8850 1.32007/29/2005 1.5000 1.2900 1.5700 1.0600 1.49008/31/2005 1.4500 1.3700 1.5200 1.0500 1.63009/30/2005 1.6000 1.5700 1.7200 1.2300 1.8700

10/31/2005 1.8000 1.8500 1.7700 1.2700 2.150011/30/2005 2.2100 2.1900 2.1000 1.6200 2.500012/23/2005 2.4500 2.2500 2.1000 1.7100 2.5700

1/31/2006 2.6600 2.6300 2.3700 1.9300 3.00002/28/2006 2.4000 2.3900 2.3000 1.6900 2.74003/31/2006 2.3600 2.2400 2.0700 1.5200 2.61004/27/2006 2.3600 2.2500 2.2200 1.5700 2.64005/31/2006 1.9400 1.9000 1.9100 1.3900 2.35006/30/2006 1.9200 1.6200 1.8100 1.3000 1.96007/31/2006 2.2800 1.8900 1.9700 1.4100 2.40008/31/2006 2.3300 2.1400 2.1500 1.4900 2.73009/29/2006 2.4900 2.4200 2.3800 1.6200 2.9000

10/31/2006 2.7300 3.0100 2.5800 1.7500 3.2800

11/30/2006 3.1000 2.9600 2.9100 1.8600 3.300012/19/2006 3.2600 3.2700 2.9800 1.8400 3.5300

1/31/2007 3.3300 3.2400 3.1100 1.8600 3.54002/28/2007 3.0600 2.8700 3.0700 1.8700 3.18003/30/2007 2.8400 2.9200 3.2600 1.7700 3.18004/26/2007 3.1300 3.1700 3.7100 1.9500 3.56005/31/2007 3.2500 3.1200 2.2000 2.3200 3.57006/29/2007 3.8700 3.7000 2.9700 2.8400 4.30007/31/2007 4.0500 3.6500 2.6900 2.6900 4.44008/31/2007 3.9900 3.7100 2.4600 2.5900 4.58009/28/2007 3.5000 3.5000 2.2700 2.3800 4.3200

10/31/2007 3.5700 3.5900 2.3900 2.5000 4.330011/30/2007 3.1400 3.1700 2.1400 2.1000 3.950012/21/2007 3.5500 3.4800 2.3200 2.4100 4.340031/01/2008 2.7100 2.7100 1.8000 1.8100 3.4800

2.7900 2.7600 1.7400 1.8100 3.36002.5000 2.3800 1.5000 1.6100 2.86002.4600 2.2700 1.5300 1.6300 2.86002.5700 2.3400 1.7000 1.7600 3.02001.9800 1.9100 1.3900 1.4600 2.67001.5500 1.6200 0.9700 1.0600 1.93001.5100 1.6000 0.8150 1.0100 1.63001.2400 1.2300 0.6600 0.8450 1.29000.4690 0.4700 0.2620 0.4800 0.58000.6550 0.6500 0.3210 0.6800 0.70000.5450 0.5300 0.2720 0.6250 0.58500.4500 0.3920 0.2340 0.4600 0.43000.3870 0.2730 0.2100 0.4110 0.34500.4810 0.4310 0.2890 0.4800 0.48801.0200 0.7750 0.4550 0.6750 0.91000.7900 0.6600 0.4150 0.5900 0.85500.8350 0.7050 0.4220 0.6100 0.86000.9400 0.8300 0.4730 0.6400 0.96501.0100 0.9850 0.6150 0.6750 1.13001.2500 1.1700 0.7300 0.7700 1.28001.0300 0.9600 0.6400 0.6550 1.06001.1100 1.1200 0.6800 0.7050 1.27001.1300 1.1400 0.6800 0.7100 1.2700

1/29/2010 1.3300 1.3200 0.7850 0.7950 1.54002/26/2010 1.4200 1.4000 0.8350 0.8500 1.59003/31/2010 1.6200 1.5000 0.8600 0.9100 1.81004/28/2010 1.4700 1.3200 0.7650 0.8200 1.81005/31/2010 1.0000 0.9100 0.5150 0.6400 1.15006/30/2010 0.9900 0.9400 0.4720 0.6000 1.18007/30/2010 1.1400 1.0300 0.5650 0.6300 1.3300

29/02/200831/03/200830/04/200830/05/200830/06/200831/07/200829/08/200830/09/200831/10/200828/11/200823/12/200830/01/200927/02/200931/03/200930/04/200929/05/200930/06/200931/07/200931/08/200930/09/200930/10/200930/11/200924/12/2009

8/31/2010 1.0500 1.0400 0.5450 0.6150 1.32009/30/2010 1.1400 1.1900 0.5850 0.6500 1.5100

10/29/2010 1.1500 1.2500 0.5850 0.6800 1.470011/30/2010 0.9800 1.0200 0.5100 0.5900 1.250012/30/2010 1.0140 1.1620 0.5435 0.6440 1.2600

1/31/2011 0.9950 1.2110 0.5275 0.6280 1.34802/28/2011 1.0700 1.3350 0.5480 0.6515 1.45903/31/2011 1.2780 1.4720 0.6220 0.8450 1.65804/29/2011 1.2570 1.4100 0.5810 0.8550 1.57005/31/2011 1.0410 1.3290 0.5545 0.7190 1.42106/30/2011 1.0260 1.2540 0.5130 0.6895 1.37007/29/2011 0.9900 1.1900 0.4860 0.6620 1.33008/31/2011 0.8900 0.9260 0.4799 0.5385 1.05609/30/2011 0.8095 0.8180 0.4380 0.5100 0.9300

10/31/2011 0.7650 0.7985 0.4500 0.5000 0.918011/30/2011 0.8900 0.9480 0.5190 0.5390 1.041012/30/2011 0.9030 1.0800 0.5670 0.5710 1.0570

1/31/2012 0.9955 1.3490 0.6200 0.6570 1.23902/29/2012 1.2380 1.4300 0.7065 0.7855 1.43003/16/2012 1.0690 1.3370 0.6750 0.7300 1.3700

ERsigma

RandamentSIF1 SIF2 SIF3 SIF4 SIF5

-0.1305 -0.0439 -0.1719 -0.1475 -0.1023 -0.11920.1120 0.0984 0.2264 0.2308 0.0814 0.1498-0.2998 -0.3313 -0.1231 -0.1094 -0.3226 -0.23720.1797 0.2277 -0.0702 -0.0702 0.1270 0.07880.3296 0.3127 0.1509 0.1321 0.4648 0.2780-0.1250 -0.1136 -0.0820 -0.1167 -0.0192 -0.09130.1667 0.0313 0.0357 0.0000 -0.1765 0.0114-0.1510 -0.0848 -0.0517 -0.0566 -0.0738 -0.08360.1010 0.1159 0.0182 0.0200 0.0051 0.05200.0066 -0.0059 -0.0357 -0.0314 0.0742 0.00150.1280 -0.0209 0.0185 -0.0891 -0.0119 0.00490.0000 -0.0122 -0.0364 -0.1467 0.0506 -0.02890.2115 0.3735 0.2453 0.3281 0.2844 0.28860.0635 0.0697 0.1364 0.1373 0.0714 0.0956-0.3254 -0.2290 -0.2000 -0.2552 0.0333 -0.19520.0686 0.0354 0.0833 0.0532 -0.2871 -0.0093-0.0166 0.0000 -0.0154 -0.0418 0.0294 -0.00890.0316 0.0184 0.0000 0.0528 0.0176 0.02410.2449 0.4212 0.1406 0.2200 0.4039 0.28610.2131 0.2182 0.1644 0.3571 0.1077 0.21210.4189 0.4328 0.5294 0.2763 0.3472 0.4009-0.0095 -0.0625 0.0000 -0.0722 -0.0722 -0.04330.0865 0.0889 -0.0308 0.1556 0.2000 0.10000.1947 0.1735 0.0794 0.2596 0.1574 0.1729-0.0667 -0.0261 0.0147 -0.0611 -0.0720 -0.0422-0.0873 -0.2768 -0.1667 -0.1545 -0.0948 -0.1560-0.0174 0.1235 0.0435 0.0000 -0.0762 0.01470.0885 0.0659 0.0250 -0.0673 0.0309 0.02861.0732 0.8247 0.9919 0.8351 0.7800 0.9010-0.0196 -0.0113 -0.0204 -0.0225 0.0337 -0.0080-0.1200 0.0057 -0.0625 0.0172 0.0054 -0.03080.0227 0.0284 0.0222 0.0282 -0.0054 0.01920.2444 0.2707 0.1957 0.2637 0.2228 0.23950.2857 0.3913 0.3091 0.3696 0.4222 0.3556-0.0556 -0.0469 -0.0833 -0.0635 -0.0625 -0.0624-0.1176 -0.1967 -0.0758 -0.1695 -0.1667 -0.14530.0167 0.0408 -0.0492 0.0816 0.0200 0.02200.0656 -0.0588 0.0517 0.0755 0.0588 0.0386

Randament portofoliu

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 85 88 91 94 97 100

-0.4000

-0.2000

0.0000

0.2000

0.4000

0.6000

0.8000

1.0000

Randament portofoliu SIF-uri

Randament portofoliu SIF-uri

Outlier

1 5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77 81 85 89 93 97 101

105

109

113

117

121

125

129

133

137

141

145

-0.8000

-0.6000

-0.4000

-0.2000

0.0000

0.2000

0.4000

0.6000

0.8000

1.0000

Rp

=B7/B6-1 =0.2*G7+0.2*H7+0.2*I7+0.2*J7+0.2*K7

-0.1385 -0.0417 -0.0984 -0.1930 -0.1296 -0.1202-0.0536 -0.0652 0.0000 -0.0435 -0.0638 -0.04520.1321 0.1163 0.0909 0.1818 0.1136 0.12690.0333 0.0000 0.0333 0.0000 -0.0204 0.00930.0000 0.0208 -0.0161 0.0769 0.0417 0.02470.0645 0.0204 0.0328 -0.0357 -0.0200 0.01240.0152 0.0000 0.0159 0.0741 0.0408 0.0292-0.0299 -0.0400 0.0000 -0.0345 -0.0784 -0.03660.1077 0.1042 0.1250 0.1071 0.1064 0.11010.1111 0.1321 0.1111 0.0968 0.1154 0.11330.0750 0.0167 0.0875 0.0441 0.0345 0.05160.1279 0.2131 0.1379 0.1127 0.1000 0.13830.0103 -0.1486 -0.0404 -0.0380 0.0152 -0.0403-0.0102 0.0000 0.0211 -0.0263 -0.0597 -0.01500.4227 0.3492 0.4227 0.1351 0.3651 0.3390-0.0145 0.1388 -0.0072 0.1381 0.2558 0.10220.0735 0.2500 0.1606 0.1715 0.2870 0.18850.1781 0.0992 0.1195 0.0536 0.0791 0.1059-0.0523 -0.0902 0.0056 -0.1441 -0.0867 -0.0735-0.0123 -0.0496 -0.0223 0.0000 -0.0584 -0.02850.0124 0.0783 0.0343 0.0297 0.1473 0.0604-0.0245 0.0161 0.0331 0.0000 0.0000 0.00490.0440 0.1508 0.1123 0.1154 0.1757 0.11960.3614 0.3448 0.2981 0.2241 0.5402 0.35370.4248 0.3949 0.3556 0.5070 0.1791 0.3723-0.3168 -0.3015 -0.3279 -0.2991 -0.2848 -0.30600.0727 0.1053 0.0569 0.0667 0.1062 0.08160.0339 -0.0381 -0.0385 0.0250 -0.0160 -0.00670.0656 0.0792 0.0560 0.0793 0.0732 0.07060.1538 0.1835 0.1894 0.1977 0.1288 0.1707-0.0333 0.0620 -0.0318 -0.0094 0.0940 0.01630.1034 0.1460 0.1316 0.1714 0.1472 0.13990.1250 0.1783 0.0291 0.0325 0.1497 0.10290.2278 0.1838 0.1864 0.2756 0.1628 0.20730.1086 0.0274 0.0000 0.0556 0.0280 0.04390.0857 0.1689 0.1286 0.1287 0.1673 0.1358-0.0977 -0.0913 -0.0295 -0.1244 -0.0867 -0.0859-0.0167 -0.0628 -0.1000 -0.1006 -0.0474 -0.06550.0000 0.0045 0.0725 0.0329 0.0115 0.0243-0.1780 -0.1556 -0.1396 -0.1146 -0.1098 -0.1395-0.0103 -0.1474 -0.0524 -0.0647 -0.1660 -0.08810.1875 0.1667 0.0884 0.0846 0.2245 0.15030.0219 0.1323 0.0914 0.0567 0.1375 0.08800.0687 0.1308 0.1070 0.0872 0.0623 0.09120.0964 0.2438 0.0840 0.0802 0.1310 0.1271

0.1355 -0.0166 0.1279 0.0629 0.0061 0.06320.0516 0.1047 0.0241 -0.0108 0.0697 0.04790.0215 -0.0092 0.0436 0.0109 0.0028 0.0139-0.0811 -0.1142 -0.0129 0.0054 -0.1017 -0.0609-0.0719 0.0174 0.0619 -0.0535 0.0000 -0.00920.1021 0.0856 0.1380 0.1017 0.1195 0.10940.0383 -0.0158 -0.4070 0.1897 0.0028 -0.03840.1908 0.1859 0.3500 0.2241 0.2045 0.23110.0465 -0.0135 -0.0943 -0.0528 0.0326 -0.0163-0.0148 0.0164 -0.0855 -0.0372 0.0315 -0.0179-0.1228 -0.0566 -0.0772 -0.0811 -0.0568 -0.07890.0200 0.0257 0.0529 0.0504 0.0023 0.0303-0.1204 -0.1170 -0.1046 -0.1600 -0.0878 -0.11800.1306 0.0978 0.0841 0.1476 0.0987 0.1118-0.2366 -0.2213 -0.2241 -0.2490 -0.1982 -0.22580.0295 0.0185 -0.0333 0.0000 -0.0345 -0.0040-0.1039 -0.1377 -0.1379 -0.1105 -0.1488 -0.1278-0.0160 -0.0462 0.0200 0.0124 0.0000 -0.00600.0447 0.0308 0.1111 0.0798 0.0559 0.0645-0.2296 -0.1838 -0.1824 -0.1705 -0.1159 -0.1764-0.2172 -0.1518 -0.3022 -0.2740 -0.2772 -0.2445-0.0258 -0.0123 -0.1598 -0.0472 -0.1554 -0.0801-0.1788 -0.2313 -0.1902 -0.1634 -0.2086 -0.1944-0.6218 -0.6179 -0.6030 -0.4320 -0.5504 -0.56500.3966 0.3830 0.2252 0.4167 0.2069 0.3257-0.1679 -0.1846 -0.1526 -0.0809 -0.1643 -0.1501-0.1743 -0.2604 -0.1397 -0.2640 -0.2650 -0.2207-0.1400 -0.3036 -0.1026 -0.1065 -0.1977 -0.17010.2429 0.5788 0.3762 0.1679 0.4145 0.35601.1206 0.7981 0.5744 0.4063 0.8648 0.7528-0.2255 -0.1484 -0.0879 -0.1259 -0.0604 -0.12960.0570 0.0682 0.0169 0.0339 0.0058 0.03640.1257 0.1773 0.1209 0.0492 0.1221 0.11900.0745 0.1867 0.3002 0.0547 0.1710 0.15740.2376 0.1878 0.1870 0.1407 0.1327 0.1772-0.1760 -0.1795 -0.1233 -0.1494 -0.1719 -0.16000.0777 0.1667 0.0625 0.0763 0.1981 0.11630.0180 0.0179 0.0000 0.0071 0.0000 0.00860.1770 0.1579 0.1544 0.1197 0.2126 0.16430.0677 0.0606 0.0637 0.0692 0.0325 0.05870.1408 0.0714 0.0299 0.0706 0.1384 0.0902-0.0926 -0.1200 -0.1105 -0.0989 0.0000 -0.0844-0.3197 -0.3106 -0.3268 -0.2195 -0.3646 -0.3083-0.0100 0.0330 -0.0835 -0.0625 0.0261 -0.01940.1515 0.0957 0.1970 0.0500 0.1271 0.1243

-0.0789 0.0097 -0.0354 -0.0238 -0.0075 -0.02720.0857 0.1442 0.0734 0.0569 0.1439 0.10080.0088 0.0504 0.0000 0.0462 -0.0265 0.0158-0.1478 -0.1840 -0.1282 -0.1324 -0.1497 -0.14840.0347 0.1392 0.0657 0.0915 0.0080 0.0678-0.0187 0.0422 -0.0294 -0.0248 0.0698 0.00780.0754 0.1024 0.0389 0.0374 0.0823 0.06730.1944 0.1026 0.1350 0.2970 0.1364 0.1731-0.0164 -0.0421 -0.0659 0.0118 -0.0531 -0.0331-0.1718 -0.0574 -0.0456 -0.1591 -0.0949 -0.1058-0.0144 -0.0564 -0.0748 -0.0410 -0.0359 -0.0445-0.0351 -0.0510 -0.0526 -0.0399 -0.0292 -0.0416-0.1010 -0.2218 -0.0126 -0.1866 -0.2060 -0.1456-0.0904 -0.1166 -0.0873 -0.0529 -0.1193 -0.0933-0.0550 -0.0238 0.0274 -0.0196 -0.0129 -0.01680.1634 0.1872 0.1533 0.0780 0.1340 0.14320.0146 0.1392 0.0925 0.0594 0.0154 0.06420.1024 0.2491 0.0935 0.1506 0.1722 0.15360.2436 0.0600 0.1395 0.1956 0.1542 0.1586-0.1365 -0.0650 -0.0446 -0.0707 -0.0420 -0.0717

0.0390 0.0432 0.0307 0.0291 0.03880.198489 0.192274 0.17547 0.162348 0.184691

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 85 88 91 94 97 100

-0.4000

-0.2000

0.0000

0.2000

0.4000

0.6000

0.8000

1.0000

Randament portofoliu SIF-uri

Randament portofoliu SIF-uri

Outlier

1 5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77 81 85 89 93 97 101

105

109

113

117

121

125

129

133

137

141

145

-0.8000

-0.6000

-0.4000

-0.2000

0.0000

0.2000

0.4000

0.6000

0.8000

1.0000

Rp

RandamentSIF1 SIF2 SIF3 SIF4 SIF5

-0.130531 -0.043887 -0.171875 -0.147541 -0.1022960.111959 0.098361 0.226415 0.230769 0.081395

-0.2998 -0.3313 -0.1231 -0.1094 -0.32260.1797 0.2277 -0.0702 -0.0702 0.12700.3296 0.3127 0.1509 0.1321 0.4648

-0.1250 -0.1136 -0.0820 -0.1167 -0.01920.1667 0.0313 0.0357 0.0000 -0.1765

-0.1510 -0.0848 -0.0517 -0.0566 -0.07380.1010 0.1159 0.0182 0.0200 0.00510.0066 -0.0059 -0.0357 -0.0314 0.07420.1280 -0.0209 0.0185 -0.0891 -0.01190.0000 -0.0122 -0.0364 -0.1467 0.05060.2115 0.3735 0.2453 0.3281 0.28440.0635 0.0697 0.1364 0.1373 0.0714

-0.3254 -0.2290 -0.2000 -0.2552 0.03330.0686 0.0354 0.0833 0.0532 -0.2871

-0.0166 0.0000 -0.0154 -0.0418 0.02940.0316 0.0184 0.0000 0.0528 0.01760.2449 0.4212 0.1406 0.2200 0.40390.2131 0.2182 0.1644 0.3571 0.10770.4189 0.4328 0.5294 0.2763 0.3472

-0.0095 -0.0625 0.0000 -0.0722 -0.07220.0865 0.0889 -0.0308 0.1556 0.20000.1947 0.1735 0.0794 0.2596 0.1574

-0.0667 -0.0261 0.0147 -0.0611 -0.0720-0.0873 -0.2768 -0.1667 -0.1545 -0.0948-0.0174 0.1235 0.0435 0.0000 -0.07620.0885 0.0659 0.0250 -0.0673 0.0309

-0.0196 -0.0113 -0.0204 -0.0225 0.0337-0.1200 0.0057 -0.0625 0.0172 0.00540.0227 0.0284 0.0222 0.0282 -0.00540.2444 0.2707 0.1957 0.2637 0.22280.2857 0.3913 0.3091 0.3696 0.4222

-0.0556 -0.0469 -0.0833 -0.0635 -0.0625-0.1176 -0.1967 -0.0758 -0.1695 -0.16670.0167 0.0408 -0.0492 0.0816 0.02000.0656 -0.0588 0.0517 0.0755 0.0588

-0.1385 -0.0417 -0.0984 -0.1930 -0.1296-0.0536 -0.0652 0.0000 -0.0435 -0.06380.1321 0.1163 0.0909 0.1818 0.11360.0333 0.0000 0.0333 0.0000 -0.02040.0000 0.0208 -0.0161 0.0769 0.0417

0.0645 0.0204 0.0328 -0.0357 -0.02000.0152 0.0000 0.0159 0.0741 0.0408

-0.0299 -0.0400 0.0000 -0.0345 -0.07840.1077 0.1042 0.1250 0.1071 0.10640.1111 0.1321 0.1111 0.0968 0.11540.0750 0.0167 0.0875 0.0441 0.03450.1279 0.2131 0.1379 0.1127 0.10000.0103 -0.1486 -0.0404 -0.0380 0.0152

-0.0102 0.0000 0.0211 -0.0263 -0.05970.4227 0.3492 0.4227 0.1351 0.3651

-0.0145 0.1388 -0.0072 0.1381 0.25580.0735 0.2500 0.1606 0.1715 0.28700.1781 0.0992 0.1195 0.0536 0.0791

-0.0523 -0.0902 0.0056 -0.1441 -0.0867-0.0123 -0.0496 -0.0223 0.0000 -0.05840.0124 0.0783 0.0343 0.0297 0.1473

-0.0245 0.0161 0.0331 0.0000 0.00000.0440 0.1508 0.1123 0.1154 0.17570.3614 0.3448 0.2981 0.2241 0.54020.4248 0.3949 0.3556 0.5070 0.1791

-0.3168 -0.3015 -0.3279 -0.2991 -0.28480.0727 0.1053 0.0569 0.0667 0.10620.0339 -0.0381 -0.0385 0.0250 -0.01600.0656 0.0792 0.0560 0.0793 0.07320.1538 0.1835 0.1894 0.1977 0.1288

-0.0333 0.0620 -0.0318 -0.0094 0.09400.1034 0.1460 0.1316 0.1714 0.14720.1250 0.1783 0.0291 0.0325 0.14970.2278 0.1838 0.1864 0.2756 0.16280.1086 0.0274 0.0000 0.0556 0.02800.0857 0.1689 0.1286 0.1287 0.1673

-0.0977 -0.0913 -0.0295 -0.1244 -0.0867-0.0167 -0.0628 -0.1000 -0.1006 -0.04740.0000 0.0045 0.0725 0.0329 0.0115

-0.1780 -0.1556 -0.1396 -0.1146 -0.1098-0.0103 -0.1474 -0.0524 -0.0647 -0.16600.1875 0.1667 0.0884 0.0846 0.22450.0219 0.1323 0.0914 0.0567 0.13750.0687 0.1308 0.1070 0.0872 0.06230.0964 0.2438 0.0840 0.0802 0.13100.1355 -0.0166 0.1279 0.0629 0.00610.0516 0.1047 0.0241 -0.0108 0.06970.0215 -0.0092 0.0436 0.0109 0.0028

-0.0811 -0.1142 -0.0129 0.0054 -0.1017-0.0719 0.0174 0.0619 -0.0535 0.00000.1021 0.0856 0.1380 0.1017 0.11950.0383 -0.0158 -0.4070 0.1897 0.00280.1908 0.1859 0.3500 0.2241 0.2045

0.0465 -0.0135 -0.0943 -0.0528 0.0326-0.0148 0.0164 -0.0855 -0.0372 0.0315-0.1228 -0.0566 -0.0772 -0.0811 -0.05680.0200 0.0257 0.0529 0.0504 0.0023

-0.1204 -0.1170 -0.1046 -0.1600 -0.08780.1306 0.0978 0.0841 0.1476 0.0987

-0.2366 -0.2213 -0.2241 -0.2490 -0.19820.0295 0.0185 -0.0333 0.0000 -0.0345

-0.0143 -0.0399 -0.0345 -0.0331 -0.0298

Medie 0.0444 0.0505 0.0357 0.0375 0.0481Dev stand 0.14215 0.153583 0.139437 0.140996 0.151445

0.201625

=AVERAGE(D7:D105

=STDEV(D7:D105)

Matricea de Varianta CovariantaColumn 1 Column 2 Column 3 Column 4 Column 5

Column 1 0.020002 0.020002Column 2 0.019063 0.02335 0.019063Column 3 0.016138 0.017118 0.019246 0.016138Column 4 0.016238 0.017777 0.014809 0.019679 0.016238Column 5 0.016434 0.019855 0.01452 0.015272 0.022704 0.016434

Matricea de Varianta Covarianta

0.019063 0.016138 0.016238 0.0164340.02335 0.017118 0.017777 0.0198550.017118 0.019246 0.014809 0.014520.017777 0.014809 0.019679 0.0152720.019855 0.01452 0.015272 0.022704

Matricea Sigma0.0200 0.0191 0.0161 0.0162 0.01640.0191 0.0233 0.0171 0.0178 0.01990.0161 0.0171 0.0192 0.0148 0.01450.0162 0.0178 0.0148 0.0197 0.01530.0164 0.0199 0.0145 0.0153 0.0227

OPTIMIZAREA PORTOFOLIULUI DE ACTIUNI

Riscul portofoliului

0.0165967988

0.1288285637Rentabilitatea portofoliuluiE(Rp) 0.0399999997Restrictie 1 1

REZULTATE (I) Frontiera MARKOWITZ (se admit operatiuni short selling)

Ponderi (w)SIF1 SIF2 SIF3 SIF4 SIF5

18.84 1 -0.05 -2.23 1.52 1.35 0.4215.28 2 0.07 -1.57 1.11 0.99 0.4113.02 3 0.19 -0.91 0.70 0.63 0.4012.75 4 0.31 -0.25 0.29 0.27 0.3914.59 5 0.43 0.41 -0.12 -0.09 0.3817.89 6 0.55 1.07 -0.53 -0.45 0.3722.02 7 0.67 1.73 -0.94 -0.81 0.3626.58 8 0.79 2.39 -1.35 -1.17 0.3531.39 9 0.91 3.05 -1.76 -1.53 0.34

REZULTATE (II) Frontiera MARKOWITZ (nu se admit operatiuni short selling)

Ponderi (w)SIF1 SIF2 SIF3 SIF4 SIF5

13.48 3.6 0.00 0.00 0.86 0.14 0.0012.93 3.8 0.00 0.00 0.48 0.39 0.1312.88 4 0.12 0.00 0.36 0.30 0.2213.11 4.3 0.31 0.00 0.18 0.17 0.3513.64 4.6 0.38 0.15 0.04 0.05 0.38

σp2

σp

Risc port -σp

Rentab port -E(Rp)

Risc port - σp

Rentab port - E(Rp)

=MMULT(MMULT(TRANSPOSE($I$4:$I$8),B4:F8),I4:I8)

=MMULT(TRANSPOSE(($I$4:$I$8),L4:L8)

=MMULT(TRANSPOSE($I$4:$I$8),K4:K8)

13.85 4.7 0.39 0.21 0.00 0.02 0.3814.11 4.8 0.27 0.38 0.00 0.00 0.3514.9 5 0.00 0.80 0.00 0.00 0.20

Ponderi (w) Vector u0.11751985 1 0.0444

0 1 0.05050.36240149 1 0.03570.30139854 1 0.03750.21868012 1 0.0481

OPTIMIZAREA PORTOFOLIULUI DE ACTIUNI

REZULTATE (I) Frontiera MARKOWITZ (se admit operatiuni short selling)

REZULTATE (II) Frontiera MARKOWITZ (nu se admit operatiuni short selling)

Vector Rentabilitati

11.00 16.00 21.00 26.00 31.00 36.000

1

2

3

4

5

6

7

8

9

10Frontiera Markowitz (cu short sell-

ing)

Risc - σp - (%)

Re

nta

bili

tate

ast

ep

tata

-E(

Rp

) -

(%)

12 12.5 13 13.5 14 14.5 15 15.53.4

3.6

3.8

4

4.2

4.4

4.6

4.8

5

5.2

Frontiera Markowitz (fara short selling)

Risc - σp -(%)

Rent

abili

tate

a as

tept

ata

- E(R

p) -

(%)

12 12.5 13 13.5 14 14.5 15 15.53.4

3.6

3.8

4

4.2

4.4

4.6

4.8

5

5.2

Frontiera Markowitz (fara short selling)

Risc - σp -(%)

Rent

abili

tate

a as

tept

ata

- E(R

p) -

(%)

11.00 16.00 21.00 26.00 31.00 36.000

1

2

3

4

5

6

7

8

9

10Frontiera Markowitz (cu short sell-

ing)

Risc - σp - (%)

Re

nta

bili

tate

ast

ep

tata

-E(

Rp

) -

(%)

12 12.5 13 13.5 14 14.5 15 15.53.4

3.6

3.8

4

4.2

4.4

4.6

4.8

5

5.2

Frontiera Markowitz (fara short selling)

Risc - σp -(%)

Rent

abili

tate

a as

tept

ata

- E(R

p) -

(%)

12 12.5 13 13.5 14 14.5 15 15.53.4

3.6

3.8

4

4.2

4.4

4.6

4.8

5

5.2

Frontiera Markowitz (fara short selling)

Risc - σp -(%)

Rent

abili

tate

a as

tept

ata

- E(R

p) -

(%)

Matricea Sigma0.0200 0.0191 0.0161 0.0162 0.0164 0.00000.0191 0.0233 0.0171 0.0178 0.0199 0.00000.0161 0.0171 0.0192 0.0148 0.0145 0.00000.0162 0.0178 0.0148 0.0197 0.0153 0.00000.0164 0.0199 0.0145 0.0153 0.0227 0.00000.0000 0.0000 0.0000 0.0000 0.0000 0.0000 Activ fara risc

OPTIMIZAREA PORTOFOLIUL CU ACTIVE RISCANTE SI UN ACTIV FARA RISC

Ponderi (w) Riscul portofoliului

0.8732 0.081721

1.5139 0.285869-0.7182 Rentabilitatea portofoliului-0.6028 E(Rp) 0.090.6228 Suma ponderilor-0.6888 Restrictie 1

REZULTATE Capital Market Line (se admit operatiuni short selling)

Ponderi (w)SIF1 SIF2 SIF3 SIF4 SIF5 Activ fara risc

0.00 1 0.00 0.00 0.00 0.00 0.00 1.003.57 2 0.11 0.19 -0.09 -0.08 0.08 0.797.15 3 0.22 0.38 -0.18 -0.15 0.16 0.58

10.72 4 0.33 0.57 -0.27 -0.23 0.23 0.3714.29 5 0.44 0.76 -0.36 -0.30 0.31 0.1617.86 6 0.55 0.95 -0.45 -0.38 0.39 -0.0621.44 7 0.65 1.14 -0.54 -0.45 0.47 -0.2725.01 8 0.76 1.32 -0.63 -0.53 0.54 -0.4828.59 9 0.87 1.51 -0.72 -0.60 0.62 -0.69

REZULTATE Frontiera Markowitz (se admit operatiuni short selling)

σp2

σp

Risc port -σp

Rentab port -E(Rp)

18.84 115.28 213.02 312.75 414.59 517.89 622.02 726.58 831.39 9

Risc port -σp

Rentab port -E(Rp)

Active individuale

Vector e Dev stand Rentab1 0.0444 14.21498 4.44401 0.0505 15.35832 5.04781 0.0357 13.94373 3.57461 0.0375 14.0996 3.75121 0.0481 15.14453 4.80931 0.0100 0 1.0000

OPTIMIZAREA PORTOFOLIUL CU ACTIVE RISCANTE SI UN ACTIV FARA RISC

REZULTATE Capital Market Line (se admit operatiuni short selling)

REZULTATE Frontiera Markowitz (se admit operatiuni short selling)

Vector Rentabilitati

0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.000

1

2

3

4

5

6

7

8

9

10

Capital Market Line

Active individuale CML Frontiera Markowitz

Risc - σp

Rent

abili

tate

- E(

Rp)

Microsoft Excel 12.0 Answer ReportWorksheet: [Frontiera_Markowitz_A.xlsx]Optimizare portReport Created: 3/6/2008 5:56:14 AM

Target Cell (Min)Cell Name Original Value Final Value

$C$16 Risc port 0.02468469937 0.0234448673

Adjustable CellsCell Name Original Value Final Value

$I$4 Ponderi (x) 0.2 -0.040850893$I$5 Ponderi (x) 0.2 0.0235422632$I$6 Ponderi (x) 0.2 0.1905963385$I$7 Ponderi (x) 0.2 0.3607489801$I$8 Ponderi (x) 0.2 0.4659633116

ConstraintsCell Name Cell Value Formula Status Slack

$C$17 Rentab. port 0.05000000056 $C$17=0.05 Not Binding 0$C$18 Restrictie 1 1 $C$18=1 Not Binding 0