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Overview

Etap 1
Etap 2
Etap 3, 6

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Sheet 1: Etap 1

Data	Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamkniecia	Stopa zwrotu	Stopa zwrotu z WIG		Nazwa	Kurs zamknięcia	stopa zwrotu	rynkowa stopa zwrotu		Nazwa	Kurs zamknięcia	stopa zwrotu	rynkowa stopa zwrotu
2/27/2009	ATM	2.69				KREDYTB	5				TVN	9.05				OPTIMUS	0.87				ZYWIEC	570				OPERATERR	849.2				INVFIZ	2558				SECUSIFIZ	663.3				DS1015	102				DS1017	94.6
3/31/2009	ATM	3.39	23.13%	10.27%	0.0000	KREDYTB	6.05	19.06%	10.27%	0	TVN	8.51	-6.15%	10.27%	-0.061522815126552	OPTIMUS	1.03	16.88%	10.27%	0	ZYWIEC	585	2.60%	10.27%	0.025975486403261	OPERATERR	834	-1.81%	10.27%	-0.018061327470354	INVFIZ	2500	-2.29%	10.27%	-0.022934971282497	SECUSIFIZ	605	-9.20%	10.27%	-0.091998918500669	DS1015	101.8	-0.20%	0.405%	-0.001962709167849	DS1017	94.39	-0.22%	0.405%	-0.002222340720979
4/30/2009	ATM	4.44	26.98%	18.84%	0.0000	KREDYTB	5.92	-2.17%	18.84%	-0.021721823146836	TVN	9.7	13.09%	18.84%	0.130883942924054	OPTIMUS	1.21	16.11%	18.84%	0.161061557367105	ZYWIEC	594	1.53%	18.84%	0.015267472130788	OPERATERR	865.1	3.66%	18.84%	0.036611704827582	INVFIZ	2201	-12.74%	18.84%	-0.12737892932983	SECUSIFIZ	698.75	14.41%	18.84%	0.144064566438467	DS1015	102.6	0.78%	0.413%	0	DS1017	95.1	0.75%	0.413%	0
5/29/2009	ATM	5.02	12.28%	1.04%	0.0000	KREDYTB	5.88	-0.68%	1.04%	-0.006779686985379	TVN	10.8	10.74%	1.04%	0	OPTIMUS	1.24	2.45%	1.04%	0	ZYWIEC	564	-5.18%	1.04%	-0.051825067864586	OPERATERR	907	4.73%	1.04%	0	INVFIZ	2275	3.31%	1.04%	0	SECUSIFIZ	579	-18.80%	1.04%	-0.187990546896313	DS1015	101.75	-0.83%	0.423%	-0.008319108413964	DS1017	94.9	-0.21%	0.423%	-0.002105263935462
6/30/2009	ATM	5.44	8.03%	3.67%	0.0000	KREDYTB	6.45	9.25%	3.67%	0	TVN	10.02	-7.50%	3.67%	-0.074963038473456	OPTIMUS	1.27	2.39%	3.67%	0.023905520853555	ZYWIEC	523	-7.55%	3.67%	-0.075472787433136	OPERATERR	907	0.00%	3.67%	0	INVFIZ	2452	7.49%	3.67%	0	SECUSIFIZ	501	-14.47%	3.67%	-0.144696376488131	DS1015	102	0.25%	0.375%	0.002453988961566	DS1017	94.75	-0.16%	0.375%	-0.001581861653347
7/31/2009	ATM	7.1	26.63%	14.77%	0.0000	KREDYTB	8.23	24.37%	14.77%	0	TVN	13.5	29.81%	14.77%	0	OPTIMUS	1.75	32.06%	14.77%	0	ZYWIEC	516	-1.35%	14.77%	-0.013474698583361	OPERATERR	984	8.15%	14.77%	0.081483446937117	INVFIZ	2350	-4.25%	14.77%	-0.042488689917898	SECUSIFIZ	399	-22.76%	14.77%	-0.227644684195001	DS1015	103.35	1.31%	0.357%	0	DS1017	96.4	1.73%	0.357%	0
8/31/2009	ATM	8	11.93%	7.36%	0.0000	KREDYTB	10.8	27.18%	7.36%	0	TVN	14.28	5.62%	7.36%	0.056170271467055	OPTIMUS	1.49	-16.08%	7.36%	-0.160839667978055	ZYWIEC	498.8	-3.39%	7.36%	-0.033901551675681	OPERATERR	1000	1.61%	7.36%	0.016129381929884	INVFIZ	2311	-1.67%	7.36%	-0.016734996863824	SECUSIFIZ	370	-7.55%	7.36%	-0.075458411251594	DS1015	102.99	-0.35%	0.356%	-0.003489389990067	DS1017	95.55	-0.89%	0.356%	-0.008856530930218
9/30/2009	ATM	8.2	2.47%	-0.99%	0.0000	KREDYTB	11.69	7.92%	-0.99%	0	TVN	14.15	-0.91%	-0.99%	0	OPTIMUS	1.58	5.86%	-0.99%	0	ZYWIEC	499	0.04%	-0.99%	0	OPERATERR	1000	0.00%	-0.99%	0	INVFIZ	2508	8.18%	-0.99%	0	SECUSIFIZ	388.99	5.01%	-0.99%	0	DS1015	102.4	-0.57%	0.366%	-0.005745183532303	DS1017	95.09	-0.48%	0.366%	-0.004825859134929
10/30/2009	ATM	7.7	-6.29%	2.23%	-0.0629	KREDYTB	12.2	4.27%	2.23%	0	TVN	14.5	2.44%	2.23%	0	OPTIMUS	1.55	-1.92%	2.23%	-0.01916991610772	ZYWIEC	488.5	-2.13%	2.23%	-0.021266624268681	OPERATERR	1249.99	22.31%	2.23%	0	INVFIZ	2806.01	11.23%	2.23%	0	SECUSIFIZ	428.99	9.79%	2.23%	0	DS1015	102.22	-0.18%	0.352%	-0.001759359265273	DS1017	95.6	0.53%	0.352%	0
11/30/2009	ATM	8	3.82%	2.96%	0.0000	KREDYTB	11.3	-7.66%	2.96%	-0.076633226020916	TVN	12.46	-15.16%	2.96%	-0.151625136067222	OPTIMUS	1.46	-5.98%	2.96%	-0.05981849521091	ZYWIEC	479	-1.96%	2.96%	-0.019638874071923	OPERATERR	1215	-2.84%	2.96%	-0.028391474489698	INVFIZ	2675	-4.78%	2.96%	-0.047814165117824	SECUSIFIZ	414	-3.56%	2.96%	-0.03556763480771	DS1015	102.29	0.07%	0.352%	0.000684563128782	DS1017	95	-0.63%	0.352%	-0.006295928456815
12/31/2009	ATM	9.45	16.66%	1.02%	0.0000	KREDYTB	11.85	4.75%	1.02%	0	TVN	14.29	13.70%	1.02%	0	OPTIMUS	1.3	-11.61%	1.02%	-0.116072171252754	ZYWIEC	480	0.21%	1.02%	0.002085506491022	OPERATERR	1279.9	5.20%	1.02%	0	INVFIZ	2495	-6.97%	1.02%	-0.069660651144488	SECUSIFIZ	381	-8.31%	1.02%	-0.083066598698613	DS1015	101.75	-0.53%	0.352%	-0.005293092146212	DS1017	94.76	-0.25%	0.352%	-0.002529512309956
1/29/2010	ATM	8.99	-4.99%	0.18%	-0.0499	KREDYTB	13.85	15.60%	0.18%	0	TVN	14	-2.05%	0.18%	-0.020502662326518	OPTIMUS	1.28	-1.55%	0.18%	-0.015504186535965	ZYWIEC	481	0.21%	0.18%	0	OPERATERR	1236	-3.49%	0.18%	-0.03490159084411	INVFIZ	2522	1.08%	0.18%	0	SECUSIFIZ	410	7.34%	0.18%	0	DS1015	103.3	1.51%	0.324%	0	DS1017	96.1	1.40%	0.324%	0
2/26/2010	ATM	8.01	-11.54%	-3.43%	-0.1154	KREDYTB	13.8	-0.36%	-3.43%	0	TVN	15.22	8.36%	-3.43%	0	OPTIMUS	1.25	-2.37%	-3.43%	0	ZYWIEC	478.5	-0.52%	-3.43%	0	OPERATERR	1236	0.00%	-3.43%	0	INVFIZ	2618	3.74%	-3.43%	0	SECUSIFIZ	390	-5.00%	-3.43%	-0.050010420574662	DS1015	103.7	0.39%	0.322%	0	DS1017	97	0.93%	0.322%	0
3/31/2010	ATM	8.95	11.10%	9.22%	0.0000	KREDYTB	14.8	7.00%	9.22%	0.06995858860691	TVN	18	16.78%	9.22%	0	OPTIMUS	1.25	0.00%	9.22%	0	ZYWIEC	510	6.38%	9.22%	0.063754514825362	OPERATERR	1230	-0.49%	9.22%	-0.004866189651173	INVFIZ	2732	4.26%	9.22%	0.042623274220836	SECUSIFIZ	380	-2.60%	9.22%	-0.025975486403261	DS1015	105.2	1.44%	0.326%	0	DS1017	99.8	2.85%	0.326%	0
4/30/2010	ATM	8.4	-6.34%	1.98%	-0.0634	KREDYTB	15.7	5.90%	1.98%	0	TVN	18.99	5.35%	1.98%	0	OPTIMUS	1.2	-4.08%	1.98%	-0.040821994520255	ZYWIEC	517	1.36%	1.98%	0.013632148790058	OPERATERR	1264	2.73%	1.98%	0	INVFIZ	2630	-3.81%	1.98%	-0.03805009551887	SECUSIFIZ	365.01	-4.02%	1.98%	-0.040246502252964	DS1015	105.05	-0.14%	0.308%	-0.0014268730126	DS1017	99.09	-0.71%	0.308%	-0.00713965524661
5/31/2010	ATM	9.04	7.34%	-4.16%	0.0000	KREDYTB	15.85	0.95%	-4.16%	0	TVN	17.37	-8.92%	-4.16%	-0.089167944571181	OPTIMUS	1.26	4.88%	-4.16%	0	ZYWIEC	491	-5.16%	-4.16%	-0.051598746713909	OPERATERR	1264	0.00%	-4.16%	0	INVFIZ	2487	-5.59%	-4.16%	-0.055906681368406	SECUSIFIZ	380	4.02%	-4.16%	0	DS1015	104.2	-0.81%	0.321%	-0.008124297971743	DS1017	98	-1.11%	0.321%	-0.011061049400236
6/30/2010	ATM	8.65	-4.41%	-5.28%	0.0000	KREDYTB	15.5	-2.23%	-5.28%	0	TVN	15.95	-8.53%	-5.28%	-0.08528575102216	OPTIMUS	1.46	14.73%	-5.28%	0	ZYWIEC	481.9	-1.87%	-5.28%	0	OPERATERR	1264.99	0.08%	-5.28%	0	INVFIZ	2200	-12.26%	-5.28%	-0.122619804456997	SECUSIFIZ	299.99	-23.64%	-5.28%	-0.236422111953131	DS1015	103.45	-0.72%	0.339%	-0.007223725127714	DS1017	97.86	-0.14%	0.339%	-0.001429592809595
7/30/2010	ATM	8.74	1.04%	7.51%	0.0104	KREDYTB	15.52	0.13%	7.51%	0.001289490829872	TVN	17.8	10.97%	7.51%	0	OPTIMUS	1.55	5.98%	7.51%	0.05981849521091	ZYWIEC	520	7.61%	7.51%	0	OPERATERR	1270	0.40%	7.51%	0.003952683460602	INVFIZ	2162	-1.74%	7.51%	-0.017423641147254	SECUSIFIZ	330	9.53%	7.51%	0	DS1015	103.77	0.31%	0.331%	0.003088507425635	DS1017	98.16	0.31%	0.331%	0.003060914541678
8/31/2010	ATM	8.7	-0.46%	-0.59%	0.0000	KREDYTB	14.47	-7.01%	-0.59%	-0.07005197411168	TVN	17.18	-3.55%	-0.59%	-0.03545254074193	OPTIMUS	2.92	63.33%	-0.59%	0	ZYWIEC	504	-3.13%	-0.59%	-0.031252543504104	OPERATERR	1207	-5.09%	-0.59%	-0.050878958355106	INVFIZ	2170	0.37%	-0.59%	0	SECUSIFIZ	275	-18.23%	-0.59%	-0.182321556793954	DS1015	105	1.18%	0.328%	0	DS1017	99.3	1.15%	0.328%	0
9/30/2010	ATM	8.9	2.27%	6.91%	0.0227	KREDYTB	14.98	3.46%	6.91%	0.034638437445681	TVN	17.39	1.21%	6.91%	0.012149411810083	OPTIMUS	3.05	4.36%	6.91%	0.04355797433913	ZYWIEC	556	9.82%	6.91%	0	OPERATERR	1207	0.00%	6.91%	0	INVFIZ	2187.1	0.78%	6.91%	0.007849297834001	SECUSIFIZ	300	8.70%	6.91%	0	DS1015	104.51	-0.47%	0.327%	-0.004677589551111	DS1017	98.91	-0.39%	0.327%	-0.003935225299378
10/29/2010	ATM	9.11	2.33%	2.17%	0.0000	KREDYTB	14.98	0.00%	2.17%	0	TVN	17.95	3.17%	2.17%	0	OPTIMUS	2.4	-23.97%	2.17%	-0.23967285326542	ZYWIEC	562	1.07%	2.17%	0.010733555643109	OPERATERR	1269.99	5.09%	2.17%	0	INVFIZ	2270	3.72%	2.17%	0	SECUSIFIZ	300	0.00%	2.17%	0	DS1015	104.5	-0.01%	0.338%	-9.56892015464561E-05	DS1017	99.29	0.38%	0.338%	0
11/30/2010	ATM	10.29	12.18%	-1.90%	0.0000	KREDYTB	15.5	3.41%	-1.90%	0	TVN	16.2	-10.26%	-1.90%	-0.10257887269595	OPTIMUS	2.74	13.25%	-1.90%	0	ZYWIEC	559	-0.54%	-1.90%	0	OPERATERR	1230	-3.20%	-1.90%	-0.031994857039426	INVFIZ	2315	1.96%	-1.90%	0	SECUSIFIZ	296.5	-1.17%	-1.90%	0	DS1015	103.7	-0.77%	0.338%	-0.007684956169384	DS1017	96.3	-3.06%	0.338%	-0.030576542241423
12/31/2010	ATM	11.38	10.07%	4.59%	0.0000	KREDYTB	14.71	-5.23%	4.59%	-0.052312489311855	TVN	17.1	5.41%	4.59%	0	OPTIMUS	3.1	12.34%	4.59%	0	ZYWIEC	566	1.24%	4.59%	0.012444605048084	OPERATERR	1227	-0.24%	4.59%	-0.002442003655552	INVFIZ	2335	0.86%	4.59%	0.008602203582663	SECUSIFIZ	300	1.17%	4.59%	0.011735256218421	DS1015	104.1	0.38%	0.338%	0	DS1017	97.5	1.24%	0.338%	0
1/31/2011	ATM	12.64	10.50%	-0.70%	0.0000	KREDYTB	15.33	4.13%	-0.70%	0	TVN	16.65	-2.67%	-0.70%	-0.026668247082162	OPTIMUS	4.95	46.80%	-0.70%	0	ZYWIEC	555	-1.96%	-0.70%	-0.019625964456749	OPERATERR	1265.12	3.06%	-0.70%	0	INVFIZ	2411	3.20%	-0.70%	0	SECUSIFIZ	379	23.38%	-0.70%	0	DS1015	102.59	-1.46%	0.358%	-0.014611513521302	DS1017	95.85	-1.71%	0.358%	-0.017067908512148
2/28/2011	ATM	12.35	-2.32%	0.81%	-0.0232	KREDYTB	16.8	9.16%	0.81%	0	TVN	17.3	3.83%	0.81%	0	OPTIMUS	5.92	17.89%	0.81%	0	ZYWIEC	568	2.32%	0.81%	0	OPERATERR	1265.12	0.00%	0.81%	0	INVFIZ	2430	0.78%	0.81%	0.007849658153424	SECUSIFIZ	380	0.26%	0.81%	0.002635047638005	DS1015	102.3	-0.28%	0.376%	-0.00283078914204	DS1017	96.39	0.56%	0.376%	0
3/31/2011	ATM	12.49	1.13%	2.47%	0.0113	KREDYTB	17.08	1.65%	2.47%	0.016529301951211	TVN	18.14	4.74%	2.47%	0	OPTIMUS	8.2	32.58%	2.47%	0	ZYWIEC	649.5	13.41%	2.47%	0	OPERATERR	1265.12	0.00%	2.47%	0	INVFIZ	2649	8.63%	2.47%	0	SECUSIFIZ	392	3.11%	2.47%	0	DS1015	102.4	0.10%	0.372%	0.000977039647826	DS1017	96.15	-0.25%	0.372%	-0.002492989761088
4/29/2011	ATM	12.5	0.08%	2.59%	0.0008	KREDYTB	17.34	1.51%	2.59%	0.015107782991972	TVN	17.58	-3.14%	2.59%	-0.03135755242996	OPTIMUS	9.09	10.30%	2.59%	0	ZYWIEC	714.5	9.54%	2.59%	0	OPERATERR	1230	-2.82%	2.59%	-0.028152809956154	INVFIZ	2649	0.00%	2.59%	0	SECUSIFIZ	430	9.25%	2.59%	0	DS1015	102.5	0.10%	0.372%	0.000976085973056	DS1017	97.25	1.14%	0.372%	0
5/31/2011	ATM	11.15	-11.43%	0.03%	-0.1143	KREDYTB	17.79	2.56%	0.03%	0	TVN	16.94	-3.71%	0.03%	-0.037084203033123	OPTIMUS	8.93	-1.78%	0.03%	-0.01775851330098	ZYWIEC	628	-12.90%	0.03%	-0.129042830901724	OPERATERR	1220	-0.82%	0.03%	-0.00816331063916	INVFIZ	2570	-3.03%	0.03%	-0.030276311382805	SECUSIFIZ	434.1	0.95%	0.03%	0	DS1015	104.1	1.55%	0.381%	0	DS1017	97.39	0.14%	0.381%	0.001438553474552
6/30/2011	ATM	10.75	-3.65%	-3.27%	-0.0365	KREDYTB	17.3	-2.79%	-3.27%	0	TVN	16.25	-4.16%	-3.27%	-0.041584780448162	OPTIMUS	7.5	-17.45%	-3.27%	-0.174513374346143	ZYWIEC	600	-4.56%	-3.27%	-0.045610511252052	OPERATERR	1210	-0.82%	-3.27%	0	INVFIZ	2552	-0.70%	-3.27%	0	SECUSIFIZ	499	13.93%	-3.27%	0	DS1015	104.25	0.14%	0.381%	0.001439885057987	DS1017	99.19	1.83%	0.381%	0
7/29/2011	ATM	9.99	-7.33%	-2.64%	-0.0733	KREDYTB	17.19	-0.64%	-2.64%	0	TVN	16.9	3.92%	-2.64%	0	OPTIMUS	6.8	-9.80%	-2.64%	-0.097980408360204	ZYWIEC	589	-1.85%	-2.64%	0	OPERATERR	1210	0.00%	-2.64%	0	INVFIZ	2452	-4.00%	-2.64%	-0.039973347408578	SECUSIFIZ	469.9	-6.01%	-2.64%	-0.060086189642749	DS1015	104.6	0.34%	0.381%	0.003351690951912	DS1017	99.29	0.10%	0.381%	0.001007658287601
8/31/2011	ATM	7.38	-30.28%	-11.04%	-0.3028	KREDYTB	14.5	-17.02%	-11.04%	-0.170179169968229	TVN	14.58	-14.77%	-11.04%	-0.147662895348515	OPTIMUS	5.1	-28.77%	-11.04%	-0.287682072451781	ZYWIEC	549	-7.03%	-11.04%	0	OPERATERR	1200	-0.83%	-11.04%	0	INVFIZ	2309	-6.01%	-11.04%	0	SECUSIFIZ	458	-2.57%	-11.04%	0	DS1015	104.87	0.26%	0.381%	0.002577936215491	DS1017	99.9	0.61%	0.381%	0
9/30/2011	ATM	7.1	-3.87%	-9.83%	0.0000	KREDYTB	12.5	-14.84%	-9.83%	-0.148420005118273	TVN	14.34	-1.66%	-9.83%	0	OPTIMUS	3.58	-35.39%	-9.83%	-0.353877739317671	ZYWIEC	550	0.18%	-9.83%	0	OPERATERR	1205	0.42%	-9.83%	0	INVFIZ	1741	-28.24%	-9.83%	-0.282354869586307	SECUSIFIZ	440	-4.01%	-9.83%	0	DS1015	104.6	-0.26%	0.381%	-0.002577936215491	DS1017	99.2	-0.70%	0.381%	-0.007031671363681
Średnia stopa zwrotu			3.13%	1.83%				2.96%					1.48%					4.56%					-0.12%					1.13%					-1.24%					-1.32%					0.08%					0.15%	0.357%
Wariancja			0.013764132145013	0.00383579052235	0.003744401500206			0.008844301989547	0.00383579052235	0.002136644551108			0.009012197595301	0.00383579052235	0.002927919832994			0.041293409342174	0.00383579052235	0.010608328402729			0.002820774373617	0.00383579052235	0.001123074099796			0.002268176534091	0.00383579052235	0.000482282561319			0.005380565743809	0.00383579052235	0.003452111259789			0.011782328500714	0.00383579052235	0.00631485067577			0.000054	7.99125881604809E-08	1.61091540817339E-05			0.000125293274967	7.99125881604809E-08	4.18811754973783E-05
Odchylenie standardowe			0.117320638188739	0.061933759149193	0.06119151493635			0.09404414915106	0.061933759149193	0.046223852620783			0.094932595009833	0.061933759149193	0.054110256264353			0.203207798428539	0.061933759149193	0.102996739767473			0.053110962838353	0.061933759149193	0.033512297739731			0.047625376996836	0.061933759149193	0.021960932614965			0.073352339729617	0.061933759149193	0.05875467011046			0.1085464347674	0.061933759149193	0.079466034730381			0.007347647490947	0.00028268814648	0.004013621068528			0.011193447858774	0.00028268814648	0.006471566695737
Kowariancja			0.005398314520697	0.001767542383057				0.003251722925741					0.003527411845444					0.004196249848544					0.001163073703252					0.000613777402704					0.000782496206384					0.000269976768124					-1.64229762915748E-07					-2.94615014326404E-08
Beta			1.40735383990398	0.472049373700914				0.847732144598046					0.919604922346742					1.09397263069864					0.303216167951656					0.160013274741574					0.203998680799865					0.070383605817665					-2.05511755652239					-0.368671596188021
Beta nachylenie			1.40735383990398	0.472049373700914				0.847732144598046					0.919604922346742					1.09397263069864					0.303216167951656					0.160013274741574					0.203998680799865					0.070383605817665					-2.05511755652239					-0.368671596188021
WZ			0.266859955928627	0.295710179379109				0.314296697999254					0.156405737114425					0.22456352857896					-0.021694131520024					0.237024703080989					-0.169208069765155					-0.121979207153185					0.110506022846368					0.13683275116879
korelacja z WIG		0.742944422259988		1		0.558282880333471					0.599947676213176					0.333421443219489					0.353586455836161					0.20808703769792					0.172242701595933					0.040159046219288					-0.079067126392258					-0.009310722799735
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
Średnia stopa zwrotu	3.13%	2.96%	1.48%	4.56%	-0.12%	1.13%	-1.24%	-1.32%	0.08%	0.15%
Wariancja	0.013764132145013	0.008844301989547	0.009012197595301	0.041293409342174	0.002820774373617	0.002268176534091	0.005380565743809	0.011782328500714	5.39879236512238E-05	0.000125293274967
Odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
Kowariancja	0.005398314520697	0.003251722925741	0.003527411845444	0.004196249848544	0.001163073703252	0.000613777402704	0.000782496206384	0.000269976768124	-1.64229762915748E-07	-2.94615014326404E-08
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021
Beta nachylenie	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021
WZ	0.266859955928627	0.314296697999254	0.156405737114425	0.22456352857896	-0.021694131520024	0.237024703080989	-0.169208069765155	-0.121979207153185	0.110506022846368	0.13683275116879
	Inwestycje nieefektywne:		Inwestycje efektywne:
	3) TVN		1) ATM
	5) ŻYWIEC		2) KREDYTB
	7) INVFIZ		4) OPTIMUS
	8)SECUIFIZ		6) OPERATERR
	ATM	KREDYTB	OPTIMUS	OPERATERR
Beta	1.41	0.85	1.09	0.16
Współczynnik zmienności	0.27	0.31	0.22	0.24
Współczynnik beta wskazuje nam, w jakim stopniu zmiana stóp zwrotu jednego instrumentu finansowego np. akcji, zależy od zmian drugiego instrumentu np. indeksu giełdowego.
Informuje on zatem, o ile punktów procentowych może wzrosnąć w przybliżeniu stopa zwrotu akcji, gdyby stopa zwrotu indeksu giełdowego wzrosła o np. jeden punkt procentowy.
Wzrost stóp zwrotu z WIG o jeden punkt procentowy spowoduje wzrost stóp zwrotu z ATM o 1,41 pkt. Proc.

---

Sheet 2: Etap 2

	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017	11)WIG
stopa zwrotu	3.13%	2.96%	1.48%	4.56%	-0.12%	1.13%	-1.24%	-1.32%	0.08%	0.15%	1.83%
odchylenie standardowe	0.117	0.094	0.095	0.203	0.053	0.048	0.073	0.109	0.007347647490947	0.011193447858774	0.062
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9)WIG
korelacja z WIG	0.742944422259988	0.558282880333471	0.599947676213176	0.333421443219489	0.353586455836161	0.20808703769792	0.172242701595933	0.040159046219288	1			Korelacja pokozaje zależność pomiędzy stopą zwrotu z inwestycji, a stopą zwrotu z WIG
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	0.472049373700914
												Współczynnik koelacji jes takiego samego znaku jak Beta, oddziełowuje z podobną siłą.
	korelacja pomiedzy KREDYTB i OPTIMUS
	0.207820342059714
KREDYTB - OPTIMUS
	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS	KREDYTB	OPTIMUS
udział w portfelu	100%	0%	90%	10%	80%	20%	70%	30%	60%	40%	50%	50%	40%	60%	30%	70%	20%	80%	10%	90%	0%	100%
stopa zwrotu	2.96%		3.12%		3.28%		3.44%		3.60%		3.76%		3.92%		4.08%		4.24%		4.40%		4.56%
ryzyko	0.094		0.091		0.093		0.099		0.108		0.120		0.135		0.151		0.167		0.185		0.203
														Średnia stopa zwrotu		KREDYTB	0.029557765544328			OPTIMUS	0.045633060249875
														Wariancja			0.008844301989547	0.00383579052235	0.002136644551108		0.041293409342174	0.00383579052235	0.010608328402729
														Odchylenie standardowe			0.09404414915106	0.061933759149193	0.046223852620783		0.203207798428539	0.061933759149193	0.102996739767473
														Kowariancja			0.003251722925741				0.004196249848544
														Beta			0.847732144598046				1.09397263069864
														Beta nachylenie			0.847732144598046				1.09397263069864
														WZ			0.314296697999254				0.22456352857896					KREDYTB	5
																										KREDYTB	6.05	0.19062035960865
																										KREDYTB	5.92	-0.021721823146836
														Kowariancja AB		0.00397155158297										KREDYTB	5.88	-0.006779686985379
																										KREDYTB	6.45	0.092523368897146
																										KREDYTB	8.23	0.243705883881297
																										KREDYTB	10.8	0.271760119441196
																										KREDYTB	11.69	0.079187641353803
																										KREDYTB	12.2	0.042702176255234
																										KREDYTB	11.3	-0.076633226020916
																										KREDYTB	11.85	0.047525141862845
																										KREDYTB	13.85	0.155957365052207
																										KREDYTB	13.8	-0.003616640470189
ATM - KREDYTB																										KREDYTB	14.8	0.06995858860691
	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB	ATM	KREDYTB				KREDYTB	15.7	0.059033531584193
udział w portfelu	100%	0%	90%	10%	80%	20%	70%	30%	60%	40%	50%	50%	40%	60%	30%	70%	20%	80%	10%	90%	0%	100%				KREDYTB	15.85	0.009508787969027
stopa zwrotu	3.13%		3.27%		3.42%		3.56%		3.70%		3.85%		3.99%		4.13%		4.28%		4.42%		4.56%					KREDYTB	15.5	-0.022329476398089
ryzyko	0.117		0.111		0.105		0.100		0.095		0.092		0.090		0.089		0.090		0.091		0.094					KREDYTB	15.52	0.001289490829872
																										KREDYTB	14.47	-0.07005197411168
																										KREDYTB	14.98	0.034638437445681
																										KREDYTB	14.98	0
																										KREDYTB	15.5	0.034124045836128
														Średnia stopa zwrotu		ATM	3.13%	1.83%		KREDYTB	0.029557765544328					KREDYTB	14.71	-0.052312489311855
														Wariancja			0.013764132145013	0.00383579052235	0.003744401500206		0.008844301989547	0.00383579052235	0.002136644551108			KREDYTB	15.33	0.041284158270377
														Odchylenie standardowe			0.117320638188739	0.061933759149193	0.06119151493635		0.09404414915106	0.061933759149193	0.046223852620783			KREDYTB	16.8	0.091567193525491
														Kowariancja			0.005398314520697	0.001767542383057			0.003251722925741					KREDYTB	17.08	0.016529301951211
														Beta			1.40735383990398	0.472049373700914			0.847732144598046					KREDYTB	17.34	0.015107782991972
														Beta nachylenie			1.40735383990398	0.472049373700914			0.847732144598046					KREDYTB	17.79	0.025620530325348
														WZ			0.266859955928627	0.295710179379109			0.314296697999254					KREDYTB	17.3	-0.02793000017401
																										KREDYTB	17.19	-0.006378682108975
														Kowariancja AB												KREDYTB	14.5	-0.170179169968229
															0.00562332589924											KREDYTB	12.5	-0.148420005118273
																										ATM	2.69
																										ATM	3.39	0.231288727778611
																										ATM	4.44	0.269824455051775
OPTIMUS - OPERATTER																										ATM	5.02	0.122775557259504
	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTE	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER	OPTIMUS	OPERATTER				ATM	5.44	0.080349127164214
udział w portfelu	100%	0%	90%	10%	80%	20%	70%	30%	60%	40%	50%	50%	40%	60%	30%	70%	20%	80%	10%	90%	0%	100%				ATM	7.1	0.266315723179418
stopa zwrotu	4.56%		4.22%		3.88%		3.53%		3.19%		2.85%		2.50%		2.16%		1.82%		1.47%		1.13%					ATM	8	0.119346757632566
ryzyko	0.203		0.182		0.162		0.141		0.121		0.102		0.083		0.066		0.053		0.045		0.048					ATM	8.2	0.024692612590372
																										ATM	7.7	-0.062913825410569
																										ATM	8	0.038221212820198
																										ATM	9.45	0.166573199825816
														Średnia stopa zwrotu		OPTIMUS	0.045633060249875			OPERATTER	0.011288390841795					ATM	8.99	-0.049901893022122
														Wariancja			0.041293409342174	0.00383579052235	0.010608328402729		0.002268176534091	0.00383579052235	0.000482282561319			ATM	8.01	-0.115422087403261
														Odchylenie standardowe			0.203207798428539	0.061933759149193	0.102996739767473		0.047625376996836	0.061933759149193	0.021960932614965			ATM	8.95	0.110962771206496
														Kowariancja			0.004196249848544				0.000613777402704					ATM	8.4	-0.063421826437496
														Beta			1.09397263069864				0.160013274741574					ATM	9.04	0.073427468554817
														Beta nachylenie			1.09397263069864				0.160013274741574					ATM	8.65	-0.044099853460297
														WZ			0.22456352857896				0.237024703080989					ATM	8.74	0.010350868723656
																										ATM	8.7	-0.004587164006906
														Kowariancja AB	-0.001042410290529											ATM	8.9	0.022728251077556
																										ATM	9.11	0.023321434533773
																										ATM	10.29	0.121799838574091
																	OPTIMUS	0.87			OPERATERR	849.2				ATM	11.38	0.100684878852227
																	OPTIMUS	1.03	0.168820869575052		OPERATERR	834	-0.018061327470354			ATM	12.64	0.105008960020526
																	OPTIMUS	1.21	0.161061557367105		OPERATERR	865.1	0.036611704827582			ATM	12.35	-0.023210325644725
																	OPTIMUS	1.24	0.024491020008296		OPERATERR	907	0.047297342928808			ATM	12.49	0.0112722610635
																	OPTIMUS	1.27	0.023905520853555		OPERATERR	907	0			ATM	12.5	0.000800320170769
																	OPTIMUS	1.75	0.320598887464923		OPERATERR	984	0.081483446937117			ATM	11.15	-0.114289146402128
																	OPTIMUS	1.49	-0.160839667978055		OPERATERR	1000	0.016129381929884			ATM	10.75	-0.036533743332456
																	OPTIMUS	1.58	0.058648727081508		OPERATERR	1000	0			ATM	9.99	-0.07332116191321
Portfele możliwe																	OPTIMUS	1.55	-0.01916991610772		OPERATERR	1249.99	0.22313555128221			ATM	7.38	-0.302810954048081
																	OPTIMUS	1.46	-0.05981849521091		OPERATERR	1215	-0.028391474489698			ATM	7.1	-0.038678854565111
																	OPTIMUS	1.3	-0.116072171252754		OPERATERR	1279.9	0.052037873087097
																	OPTIMUS	1.28	-0.015504186535965		OPERATERR	1236	-0.03490159084411
																	OPTIMUS	1.25	-0.023716526617316		OPERATERR	1236	0
																	OPTIMUS	1.25	0		OPERATERR	1230	-0.004866189651173
																	OPTIMUS	1.2	-0.040821994520255		OPERATERR	1264	0.02726712634034
																	OPTIMUS	1.26	0.048790164169432		OPERATERR	1264	0
																	OPTIMUS	1.46	0.147324714756858		OPERATERR	1264.99	0.000782921285232
																	OPTIMUS	1.55	0.05981849521091		OPERATERR	1270	0.003952683460602
																	OPTIMUS	2.92	0.633328685349035		OPERATERR	1207	-0.050878958355106
																	OPTIMUS	3.05	0.04355797433913		OPERATERR	1207	0
																	OPTIMUS	2.4	-0.23967285326542		OPERATERR	1269.99	0.050871084308358
																	OPTIMUS	2.74	0.132489183046079		OPERATERR	1230	-0.031994857039426
																	OPTIMUS	3.1	0.123444191091122		OPERATERR	1227	-0.002442003655552
																	OPTIMUS	4.95	0.467985465089498		OPERATERR	1265.12	0.030594813611706
																	OPTIMUS	5.92	0.178948872315315		OPERATERR	1265.12	0
																	OPTIMUS	8.2	0.325797705374293		OPERATERR	1265.12	0
																	OPTIMUS	9.09	0.10304075391918		OPERATERR	1230	-0.028152809956154
																	OPTIMUS	8.93	-0.01775851330098		OPERATERR	1220	-0.00816331063916
																	OPTIMUS	7.5	-0.174513374346143		OPERATERR	1210	-0.008230499136516
																	OPTIMUS	6.8	-0.097980408360204		OPERATERR	1210	0
																	OPTIMUS	5.1	-0.287682072451781		OPERATERR	1200	-0.008298802814695
																	OPTIMUS	3.58	-0.353877739317671		OPERATERR	1205	0.004158010148664
Portfele efektywne

---

Sheet 3: Etap 3, 6

	ATM	KREDYTB	TVN	OPTIMUS	ŻYWIEC	OPERATERR	INVFIZ	SECUIFIZ	DS1015	DS1017	ATM	KREDYTB	TVN	OPTIMUS	ZYWIEC	OPERATTERR	INVFIZ	SECUFIZ	DS1015	DS1017
ATM	0.01399	0.00562	0.00514	0.00904	0.00122	0.00069	-0.00006	-0.00138	-7.85616084038467E-05	-0.00012214936116	23.13%	19.06%	-6.15%	16.88%	2.60%	-1.81%	-2.29%	-9.20%	-0.20%	-0.22%
KREDYTB	0.00562	0.00899	0.00355	0.00397	0.00040	0.00076	0.00236	-0.00138	5.69724941502911E-05	1.18624025044936E-05	26.98%	-2.17%	13.09%	16.11%	1.53%	3.66%	-12.74%	14.41%	0.78%	0.75%
TVN	0.00514	0.00355	0.00916	0.00250	0.00156	0.00187	0.00041	-0.00136	0.000212850484044	0.000456985190278	12.28%	-0.68%	10.74%	2.45%	-5.18%	4.73%	3.31%	-18.80%	-0.83%	-0.21%
OPTIMUS	0.00904	0.00397	0.00250	0.04197	0.00224	-0.00104	0.00458	-0.00111	7.31667382598589E-05	-1.32501689857099E-05	8.03%	9.25%	-7.50%	2.39%	-7.55%	0.00%	7.49%	-14.47%	0.25%	-0.16%
ZYWIEC	0.00122	0.00040	0.00156	0.00224	0.00287	-0.00021	0.00051	0.00162	-1.98272545434075E-05	7.36287729809553E-05	26.63%	24.37%	29.81%	32.06%	-1.35%	8.15%	-4.25%	-22.76%	1.31%	1.73%
OPERATERR	0.00069	0.00076	0.00187	-0.00104	-0.00021	0.00231	0.00066	0.00036	-5.38923643456315E-05	2.71585476160664E-05	11.93%	27.18%	5.62%	-16.08%	-3.39%	1.61%	-1.67%	-7.55%	-0.35%	-0.89%
INVFIZ	-0.00006	0.00236	0.00041	0.00458	0.00051	0.00066	0.00547	0.00141	4.40329808090737E-06	8.60487247126766E-05	2.47%	7.92%	-0.91%	5.86%	0.04%	0.00%	8.18%	5.01%	-0.57%	-0.48%
SECUIFIZ	-0.00138	-0.00138	-0.00136	-0.00111	0.00162	0.00036	0.00141	0.01198	-0.00010	-6.53372860765444E-05	-6.29%	4.27%	2.44%	-1.92%	-2.13%	22.31%	11.23%	9.79%	-0.18%	0.53%
DS1015	-7.85616084038467E-05	5.69724941502911E-05	0.000212850484044	7.31667382598589E-05	-1.98272545434075E-05	-5.38923643456315E-05	4.40329808090737E-06	-0.00010281392423	5.48729715799324E-05	6.01640251016885E-05	3.82%	-7.66%	-15.16%	-5.98%	-1.96%	-2.84%	-4.78%	-3.56%	0.07%	-0.63%
DS1017	-0.00012214936116	1.18624025044936E-05	0.000456985190278	-1.32501689857099E-05	7.36287729809553E-05	2.71585476160664E-05	8.60487247126766E-05	-6.53372860765444E-05	6.01640251016885E-05	0.000127347263081	16.66%	4.75%	13.70%	-11.61%	0.21%	5.20%	-6.97%	-8.31%	-0.53%	-0.25%
											-4.99%	15.60%	-2.05%	-1.55%	0.21%	-3.49%	1.08%	7.34%	1.51%	1.40%
stopa zwrotu z WIG		1.83%									-11.54%	-0.36%	8.36%	-2.37%	-0.52%	0.00%	3.74%	-5.00%	0.39%	0.93%
Średnia stopa zwrotu z bonów skarbowych (stopa wolna od ryzyka)				0.003572284946237							11.10%	7.00%	16.78%	0.00%	6.38%	-0.49%	4.26%	-2.60%	1.44%	2.85%
odchylenie WIG		0.061933759149193									-6.34%	5.90%	5.35%	-4.08%	1.36%	2.73%	-3.81%	-4.02%	-0.14%	-0.71%
											7.34%	0.95%	-8.92%	4.88%	-5.16%	0.00%	-5.59%	4.02%	-0.81%	-1.11%
1 Maksymalizacja stopy zwrotu, krótka sprzedaż dozwolona Markowitz											-4.41%	-2.23%	-8.53%	14.73%	-1.87%	0.08%	-12.26%	-23.64%	-0.72%	-0.14%
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017	1.04%	0.13%	10.97%	5.98%	7.61%	0.40%	-1.74%	9.53%	0.31%	0.31%
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581	-0.46%	-7.01%	-3.55%	63.33%	-3.13%	-5.09%	0.37%	-18.23%	1.18%	1.15%
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774	2.27%	3.46%	1.21%	4.36%	9.82%	0.00%	0.78%	8.70%	-0.47%	-0.39%
udział w portfelu	-1363521%	8502459%	-2923489%	3215298%	849743%	12251047%	-12463899%	-641622%	-9790082%	2364164%	2.33%	0.00%	3.17%	-23.97%	1.07%	5.09%	3.72%	0.00%	-0.01%	0.38%
	100%										12.18%	3.41%	-10.26%	13.25%	-0.54%	-3.20%	1.96%	-1.17%	-0.77%	-3.06%
stopa zwrotu z portfela	608122.56%										10.07%	-5.23%	5.41%	12.34%	1.24%	-0.24%	0.86%	1.17%	0.38%	1.24%
											10.50%	4.13%	-2.67%	46.80%	-1.96%	3.06%	3.20%	23.38%	-1.46%	-1.71%
											-2.32%	9.16%	3.83%	17.89%	2.32%	0.00%	0.78%	0.26%	-0.28%	0.56%
wektor bierzący wyników	542.833861175353	517.614446262198	235.008512735077	811.063982259745	-27.7658149575827	168.599580630189	-266.499900742488	-280.647370067837	-8.56460216369655	-20.3441694514989	1.13%	1.65%	4.74%	32.58%	13.41%	0.00%	8.63%	3.11%	0.10%	-0.25%
											0.08%	1.51%	-3.14%	10.30%	9.54%	-2.82%	0.00%	9.25%	0.10%	1.14%
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021	-11.43%	2.56%	-3.71%	-1.78%	-12.90%	-0.82%	-3.03%	0.95%	1.55%	0.14%
	-19189.5611722321	72078.081216663	-26884.5461145235	35174.4839426128	2576.55957107731	19603.3019484725	-25426.1895032707	-451.596794929296	201197.701905271	-8716.00285693233	-3.65%	-2.79%	-4.16%	-17.45%	-4.56%	-0.82%	-0.70%	13.93%	0.14%	1.83%
Beta portfela	249962.232142209										-7.33%	-0.64%	3.92%	-9.80%	-1.85%	0.00%	-4.00%	-6.01%	0.34%	0.10%
											-30.28%	-17.02%	-14.77%	-28.77%	-7.03%	-0.83%	-6.01%	-2.57%	0.26%	0.61%
wariancja portfela	111609747.554337										-3.87%	-14.84%	-1.66%	-35.39%	0.18%	0.42%	-28.24%	-4.01%	-0.26%	-0.70%
ryzyko portfela	10564.5514601585										udzieł w portfelu
			S>Sr	portfel efektywny							-1363520.72%
			T>Tr	portfel efektywny							8502459.38%
Markowitz Fi	0.575625196059007		J>0	portfel efektywny							-2923488.71%
											3215298.35%
			wskaźniki efektywności								849743.46%
			Sharpe	Treynor	Jensen		Sharpe rynkowy	Treynor rynkowy			12251047.28%
			0.575625196059007	0.024328563373004	2396.23926491066		0.238031055823389	0.014742158081394			-12463898.98%
											-641622.14%
											-9790082.39%
											2364164.46%
2 Maksymalizacja stopy zwrotu, krótka sprzedaż niedozwolona Markowitz
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	9%	32%	0%	12%	0%	47%	0%	0%	0%	0%
	100%
stopa zwrotu z portfela	2.32%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		9%
												32%
Beta portfela	0.607624874088447											0%
												12%
												0%
wektor wyników bierzących	0.00449856425059	0.004214117989145	0.002778325973686	0.006822093430508	0.000420926697745	0.001251124888073	0.001625592546188	-0.000535434167779	-5.07759836750816E-06	3.76279642786361E-06		47%
												0%
wariancja portfela	0.003180097460316											0%
			wskaźniki efektywności				Sharpe rynkowy	Treynor rynkowy				0%
ryzyko portfela	0.056392352853163		Sharpe	Treynor	Jensen		0.238031055823389	0.014742158081394				0%
			0.347723000225303	0.0322714	0.010651216175867
Markowitz	0.347723000225303
3 Minimalizacja ryzyka, krótka sprzedaż niedozwolona Markowitz
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	1%	0%	0%	0%	2%	4%	0%	1%	93%	0%
	100%
stopa zwrotu z portfela	0.13%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		1%
	0.00824831914832	0	0	0	0.00551993287969	0.006488043594169	0	0.000625376335853	-1.90407125051105	0		0%
Beta portfela	-1.88318957855302											0%
												0%
												2%
wektor wyników bierzących	4.69667393462222E-05	0.000111592716791	0.000319466536902	0.000109512809099	4.69715334799802E-05	4.69852373319612E-05	5.2561849190728E-05	4.69658771491333E-05	4.69198535496715E-05	5.6887249088235E-05		4%
												0%
wariancja portfela	4.6924129196065E-05											1%
			wskaźniki efektywności				Sharpe rynkowy	Treynor rynkowy				93%
ryzyko portfela	0.006850118918389		Sharpe	Treynor	Jensen		0.238031055823389	0.014742158081394				0%
			-0.338303599671756	0.00123058	0.035744433304603
Markowitz	-0.338303599671756
4 Minimalizacja ryzyka, krótka sprzedaż dozwolona Markowitz
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	2%	0%	-5%	0%	5%	8%	0%	0%	96%	-4%
	100%
stopa zwrotu z portfela	0.12%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		2%
	0.029466144343039	-0.002915035714093	-0.045747838148828	-0.003094875196357	0.013989076656817	0.012039068031159	0.000113112950887	-0.000122843564321	-1.96564051829138	0.015324157262587		0%
Beta portfela	-1.94658955167049											-5%
												0%
												5%
wektor wyników bierzących	3.25543879367752E-05	3.25590487689707E-05	3.25562174613186E-05	3.25472825660939E-05	3.25579595693976E-05	3.25599227954272E-05	3.25575877505182E-05	3.25584219826676E-05	3.25590054573661E-05	3.25587306184226E-05		8%
												0%
wariancja portfela	3.25591306028428E-05		wskaźniki efektywności									0%
			Sharpe	Treynor	Jensen							96%
ryzyko portfela	0.00570606086568		-0.413740953558157	0.001212804	0.036862157324859		Sharpe rynkowy	Treynor rynkowy				-4%
							0.238031055823389	0.014742158081394
Markowitz	-0.413740953558157
5 Maksymalizacja stopy zwrotu, krótka sprzedaż dozwolona Sharpe
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	3683393665.8666%	3477458096.1949%	1746860877.0026%	5368709130.0000%	-135555361.1768%	1328074137.2819%	-1460243648.1622%	-1557728127.5718%	95526663.9983%	180195633.1095%
	12726691067%
stopa zwrotu z portfela	543285048.82%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		3683393665.8666%
	51838382.1953536	29479530.0963712	16064218.6114651	58732208.5040188	-411025.771613241	2125094.9180607	-2978877.7787146	-1096385.22502105	-1963185.24298914	-664330.116846055		3477458096.1949%
Beta portfela	151125630.190085											1746860877.0026%
												5368709130.0000%
												-135555361.1768%
wektor wyników bierzących	1315664.04291254	791628.251337714	646204.541479314	2701842.6653995	167425.032486342	44067.9989079585	239418.482876308	-387207.94182037	7743.01264707751	3493.88175195864		1328074137.2819%
												-1460243648.1622%
wariancja portfela	235239543300733		wskaźniki efektywności				Sharpe rynkowy	Treynor rynkowy				-1557728127.5718%
			Sharpe	Treynor	Jensen		0.238031055823389	0.014742158081394				95526663.9983%
ryzyko portfela	15337520.767736		0.354219600868126	0.035949232951556	2665068.74409525							180195633.1095%
Sharpe	0.035949232951556
6 Maksymalizacja stopy zwrotu, krótka sprzedaż niedozwolona Sharpe
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	0%	0%	0%	100%	0%	0%	0%	0%	0%	0%
	100%
stopa zwrotu z portfela	4.56%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		0%
	0	0	0	1.09397153850065	0	0	0	0	0	0		0%
Beta portfela	1.09397153850065											0%
												100%
												0%
wektor wyników bierzących	0.009043920677103	0.003971547617861	0.002503357432318	0.041970308576665	0.002244224456454	-0.00104240924981	0.0045780294814	-0.001110874452604	7.31666652118117E-05	-1.32501557570353E-05		0%
												0%
wariancja portfela	0.04197026667444		wskaźniki efektywności									0%
			Sharpe	Treynor	Jensen		Sharpe rynkowy	Treynor rynkowy				0%
ryzyko portfela	0.204866460589429		0.205308031503006	0.03844774	0.025597535275121		0.238031055823389	0.014742158081394				0%
Sharpe	0.038447736768592
7 Minimalizacja ryzyka, krótka sprzedaż dozwolona Sharpe
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	2%	0%	-5%	0%	5%	8%	0%	0%	96%	-4%
	100%
stopa zwrotu z portfela	0.12%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		2%
	0.029466128480404	-0.002915034287261	-0.045747813196951	-0.003094873586655	0.013989069013041	0.012039061453121	0.00011311297459	-0.000122843509369	-1.96563944895847	0.015324148643565		0%
Beta portfela	-1.94658849297398											-5%
												0%
												5%
wektor wyników bierzących	3.25543704430592E-05	3.25590310676525E-05	3.25562004116656E-05	3.25472645572833E-05	3.25579416038596E-05	3.25599050712316E-05	3.25575712462926E-05	3.25584026191323E-05	3.25589878119434E-05	3.25587130538131E-05		8%
												0%
wariancja portfela	3.2559095220659E-05		wskaźniki efektywności									0%
			Sharpe	Treynor	Jensen		Sharpe rynkowy	Treynor rynkowy				96%
ryzyko portfela	0.005706057765275		-0.413741295185603	0.001212804729264	0.036862137268841		0.238031055823389	0.014742158081394				-4%
Sharpe	0.001212804729264
8 Minimalizacja ryzyka, krótka sprzedaż niedozwolona Markowitz
	1) ATM	2) KREDYTB	3) TVN	4) OPTIMUS	5) ŻYWIEC	6) OPERATERR	7) INVFIZ	8)SECUIFIZ	9) DS1015	10) DS1017
stopa zwrotu	0.031308180336565	0.029557765544328	0.014848002498698	0.045633060249875	-0.00115219621297	0.011288390841795	-0.012411807818407	-0.013240408052232	0.000811959301502	0.001531630265581
odchylenie standardowe	0.117320638188739	0.09404414915106	0.094932595009833	0.203207798428539	0.053110962838353	0.047625376996836	0.073352339729617	0.1085464347674	0.007347647490947	0.011193447858774
udział w porftelu	1%	0%	0%	0%	2%	4%	0%	1%	93%	0%
	100%
stopa zwrotu z portfela	0.13%											udział w portfelu
Beta	1.40735383990398	0.847732144598046	0.919604922346742	1.09397263069864	0.303216167951656	0.160013274741574	0.203998680799865	0.070383605817665	-2.05511755652239	-0.368671596188021		1%
	0.008248538256975	0	0	0	0.005514534210486	0.006483728809125	0	0.00062535735037	-1.90416349222592	0		0%
Beta portfela	-1.88329133359897											0%
												0%
												2%
wektor wyników bierzących	4.692552434596E-05	0.000111568877101	0.000319399046859	0.000109505951809	4.69249150991172E-05	4.69243376986082E-05	5.25345781991724E-05	4.69194057792285E-05	4.69241382002884E-05	5.68879048199087E-05		4%
												0%
wariancja portfela	4.69241264900007E-05		wskaźniki efektywności									1%
			Sharpe	Treynor	Jensen		Sharpe rynkowy	Treynor rynkowy				93%
ryzyko portfela	0.006850118720869		-0.338338497747392	0.001230642777388	0.035746057902455		0.238031055823389	0.014742158081394				0%
Sharpe	0.001230642777388