189635 (Исследования систематического (рыночного) и собственного риска российских финансовых активов)
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Приложение 1 ОАО "Татнефть им.В.Д.Шашина" Дата Рыночная цена W i, руб Фактическая Случайная доходность ri = ошибка r-<r> ln(w1/w0)*100% 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 1/14/2009 119.20336 139.36389 123.43377 121.50529 121.28255 110.73586 109.61453 86.64997 86.94873 86.96213 86.03108 81.03205 76.81867 82.35219 87.91851 91.72658 91.72658 96.97564 98.26631 105.2441 99.88798 97.83799 96.53426 96.53426 97.95991 101.48455 114.44206 117.1691 112.82588 114.23334 115.91894 116.17655 112.55964 101.03723 101.95882 107.68116 112.09472 112.51255 112.51255 112.456 112.3759 112.24729 110.2143 113.18321 115.48244 117.44484 15.625748387921 -12.13836891153 -1.57469359899 -0.183485352884 -9.097522156808 -1.017778711095 -23.50932687785 0.3441964657037 0.0154101935055 -1.076411021844 -5.986387089029 -5.339704585629 6.9557340508766 6.5405312650048 4.2401832767997 0 5.5647617448329 1.3221429117774 6.8601171923003 -5.2233055889 -2.073641067212 -1.341497617811 0 1.466034209631 3.5348256805727 12.016209857203 2.3549521784558 -3.777244513108 1.2397453200101 1.464795516068 0.2219863089863 -3.16278023163 -10.79941517255 0.9079943493751 5.4605632223128 4.0169589667856 0.372054281219 0 -0.050273694871 -0.071253237098 -0.114511786654 -1.827773142643 2.6581180848061 2.0110650557795 1.6850292779675 -9.434552832937 15.363895834 -12.40022147 -1.836546153 -0.445337906 -9.35937471 -1.279631265 -23.77117943 0.0823439121 -0.24644236 -1.338263575 -6.248239643 -5.601557139 6.6938814973 6.2786787114 3.9783307232 -0.261852554 5.3029091912 1.0602903582 6.5982646387 -5.485158143 -2.335493621 -1.603350171 -0.261852554 1.204181656 3.272973127 11.754357304 2.0930996249 -4.039097067 0.9778927664 1.2029429625 -0.039866245 -3.424632785 -11.06126773 0.6461417958 5.1987106687 3.7551064132 0.1102017276 -0.261852554 -0.312126248 -0.333105791 -0.37636434 -2.089625696 2.3962655312 1.7492125022 1.4231767244 -9.696405387 (r-<r>)^2 236.0492952 153.7654924 3.372901771 0.198325851 87.59789497 1.637456174 565.0689716 0.00678052 0.060733837 1.790949397 39.04049863 31.37744238 44.8080495 39.42180636 15.82711534 0.06856676 28.12084589 1.124215644 43.53709624 30.08695985 5.454530453 2.570731772 0.06856676 1.450053461 10.71235309 138.1649156 4.38106604 16.31430511 0.956274263 1.447071771 0.001589317 11.72810971 122.3516437 0.41749922 27.02659262 14.10082417 0.012144421 0.06856676 0.097422795 0.110959468 0.141650117 4.36653555 5.742088496 3.059744378 2.025431989 94.02027742 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 3/27/2009 106.87108 107.21586 108.95687 103.90859 105.32536 106.65134 104.0976 110.30487 112.52154 111.86191 107.27796 108.77901 108.6518 108.65971 111.20606 110.43226 109.79304 110.64286 118.30738 124.87311 128.49505 129.77169 129.57311 122.02272 109.80752 112.90411 114.15261 111.7484 112.79279 119.82805 122.87434 122.01971 120.97337 125.41555 127.85411 129.448 144.97575 149.05533 142.27016 155.01144 151.35881 156.64562 158.66608 157.99763 158.82972 162.21323 163.02787 162.98145 166.6643 167.48848 0.3220937233021 1.6107930395862 -4.744054551316 1.3542655513767 1.2510783450456 -2.423608870151 5.7919156996534 1.989659238709 -0.5879505821 -4.184194103007 1.3895169883061 -0.11701194924 0.0072798721094 2.316380449006 -0.698257543163 -0.580516221467 0.7710397536536 6.6978616183909 5.4011948910415 2.8592280473483 0.9886293512577 -0.153139788273 -6.003802091948 -10.54782420124 2.780985949975 1.0997362975922 -2.128632164839 0.930250286357 6.0505379927154 2.5104408632071 -0.697961807928 -0.861215033094 3.6062184970479 1.9257224566959 1.2389407829696 11.328723095736 2.7751092241992 -4.658979401222 8.5771135362657 -2.384567742538 3.4332813364058 1.2815811491503 -0.422183516302 0.5252652039903 2.1079019368562 0.5009463463237 -0.028477713652 2.2345219003611 0.4932963127271 -7.596919269233 0.0602411697 1.348940486 -5.005907105 1.0924129978 0.9892257914 -2.685461424 5.530063146 1.7278066851 -0.849803136 -4.446046657 1.1276644347 -0.378864503 -0.254572681 2.0545278954 -0.960110097 -0.842368775 0.5091872 6.4360090648 5.1393423374 2.5973754937 0.7267767977 -0.414992342 -6.265654646 -10.80967675 2.5191333964 0.837883744 -2.390484718 0.6683977328 5.7886854391 2.2485883096 -0.959814362 -1.123067587 3.3443659434 1.6638699031 0.9770882294 11.066870542 2.5132566706 -4.920831955 8.3152609827 -2.646420296 3.1714287828 1.0197285955 -0.68403607 0.2634126504 1.8460493833 0.2390937927 -0.290330267 1.9726693468 0.2314437591 -7.858771823 0.003628999 1.819640435 25.05910594 1.193366158 0.978567666 7.211703058 30.5815984 2.985315941 0.722165369 19.76733087 1.271627077 0.143538312 0.06480725 4.221084873 0.921811398 0.709585153 0.259271605 41.42221268 26.41283966 6.746359455 0.528204514 0.172218644 39.25842814 116.8491115 6.346033069 0.702049168 5.714417189 0.446755529 33.50887911 5.056149386 0.921243609 1.261280804 11.18478356 2.768463054 0.954701408 122.4756236 6.316459092 24.21458713 69.14356521 7.003540384 10.05796052 1.039846409 0.467905345 0.069386224 3.407898325 0.057165842 0.084291664 3.891424352 0.053566214 61.76029456 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 155.23582 148.27691 148.59261 161.187 167.74025 175.03383 167.47108 164.5021 174.33175 178.09272 180.96431 180.64765 178.14486 175.8029 175.84061 177.50225 174.91866 174.13497 177.9156 176.50676 168.77996 160.34397 165.97081 179.52778 179.63804 180.12142 179.97164 190.42017 183.55127 186.19627 184.70489 173.3211 173.17079 171.85717 181.08266 184.18602 183.01966 184.81294 182.31411 179.01773 187.41802 195.6326 202.88965 217.10599 217.92877 211.60788 204.62938 207.55925 194.67526 200.35232 -4.586384097614 0.2126861113979 8.1356781433197 3.9851470297725 4.2562617569462 -4.416858988461 -1.788734356043 5.8036757056207 2.1344220410168 1.599551595463 -0.175138057348 -1.395140938423 -1.323355841146 0.0214478578857 0.940532517939 -1.466221902096 -0.449037769254 2.1478592362627 -0.795010461739 -4.476332118831 -5.127453454136 3.4490609327262 7.8518029664147 0.0613978264767 0.2687241585723 -0.083189611395 5.6433768699038 -3.673902260599 1.4307303404383 -0.804197019872 -6.361341872657 -0.086761054886 -0.761460808692 5.2289887241964 1.6992613075701 -0.635264641047 0.9750599636166 -1.361309982151 -1.824622736476 4.585667191742 4.2896887247688 3.6423824800733 6.7723432294754 0.3782598802135 -2.94333269113 -3.353449889499 1.4216400608643 -6.40840040586 2.8744579729148 0.7265496734129 -4.848236651 23.50539863 -0.049166442 0.002417339 7.8738255897 61.99712942 3.7232944762 13.86292176 3.9944092033 15.95530488 -4.678711542 21.89034169 -2.05058691 4.204906674 5.541823152 30.71180385 1.8725694874 3.506516485 1.3376990419 1.789438727 -0.436990611 0.190960794 -1.656993492 2.745627433 -1.585208395 2.512885655 -0.240404696 0.057794418 0.6786799643 0.460606494 -1.728074456 2.986241324 -0.710890323 0.505365051 1.8860066827 3.557021207 -1.056863015 1.116959433 -4.738184672 22.45039399 -5.389306008 29.04461925 3.1872083791 10.15829725 7.5899504128 57.60734727 -0.200454727 0.040182098 0.006871605 4.721895E-05 -0.345042165 0.119054096 5.3815243163 28.96080397 -3.935754814 15.49016596 1.1688777868 1.366275281 -1.066049573 1.136461693 -6.623194426 43.86670441 -0.348613608 0.121531448 -1.023313362 1.047170237 4.9671361706 24.67244174 1.437408754 2.066143926 -0.897117195 0.804819261 0.71320741 0.50866481 -1.623162536 2.634656617 -2.08647529 4.353379136 4.3238146381 18.69537302 4.0278361712 16.22346422 3.3805299265 11.42798258 6.5104906759 42.38648884 0.1164073266 0.013550666 -3.205185245 10.27321245 -3.615302443 13.07041176 1.1597875073 1.345107062 -6.670252959 44.49227454 2.6126054193 6.825707077 0.4646971198 0.215943413 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 8/19/2009 201.81328 200.98353 191.75552 189.91369 186.30944 176.44356 181.16422 174.61397 167.40637 171.5595 169.30848 173.42375 169.68527 177.04646 171.48015 170.09724 167.26913 164.01118 165.38026 158.32367 159.10325 157.47285 161.20485 163.33931 165.90024 166.78865 169.92173 175.05756 178.83278 176.12578 179.96572 185.56476 188.88791 185.47238 181.76816 186.21171 189.25399 196.65469 196.9616 203.49163 200.95483 198.35385 201.31323 200.8841 190.15725 197.96784 194.1847 182.04872 182.03057 178.78588 -0.411994908142 -4.700173708656 -0.965152152289 -1.91607585092 -5.440789542079 2.6402860878323 -3.682626108265 -4.215344175942 2.4505935312072 -1.320776872735 2.4015645033891 -2.179265328159 4.2466815769033 -3.194466753917 -0.809724294635 -1.676620138199 -1.966947590625 0.8312832197295 -4.36059465046 0.4911880614171 -1.030030008525 2.342285401456 1.315377713527 1.5556950246131 0.5340798195929 1.8610477217623 2.9776914865267 2.1336345140463 -1.525278038739 2.1567989427065 3.0637543325804 1.7749838706995 -1.824779425888 -2.017394719158 2.4152223340525 1.6205723086774 3.8359372753634 0.1559437807803 3.2616087935652 -1.254471737949 -1.30275995306 1.4809496382318 -0.21339284517 -5.487676339492 4.0253231818595 -1.92948252643 -6.453542443427 -0.009970355642 -1.798575130106 2.5820090063396 -0.673847462 -4.962026262 -1.227004706 -2.177928405 -5.702642096 2.3784335342 -3.944478662 -4.47719673 2.1887409776 -1.582629426 2.1397119498 -2.441117882 3.9848290233 -3.456319308 -1.071576848 -1.938472692 -2.228800144 0.5694306661 -4.622447204 0.2293355078 -1.291882562 2.0804328479 1.0535251599 1.293842471 0.272227266 1.5991951682 2.7158389329 1.8717819604 -1.787130592 1.8949463891 2.801901779 1.5131313171 -2.086631979 -2.279247273 2.1533697804 1.3587197551 3.5740847218 -0.105908773 2.99975624 -1.516324292 -1.564612507 1.2190970846 -0.475245399 -5.749528893 3.7634706283 -2.19133508 -6.715394997 -0.271822909 -2.060427684 2.3201564527 0.454070402 24.62170463 1.505540548 4.743372135 32.52012687 5.656946077 15.55891191 20.04529056 4.790587067 2.504715901 4.578367228 5.959056513 15.87886234 11.94614316 1.148276942 3.757676377 4.967550083 0.324251284 21.36701815 0.052594775 1.668960554 4.328200834 1.109915263 1.67402834 0.074107684 2.557425186 7.37578111 3.503567707 3.193835754 3.590821818 7.850653579 2.289566383 4.354033018 5.19496813 4.637001411 1.846119373 12.7740816 0.011216668 8.998537499 2.299239357 2.448012296 1.486197702 0.225858189 33.05708249 14.16371117 4.801949433 45.09652997 0.073887694 4.24536224 5.383125965 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 10/28/2009 183.46226 186.69916 201.36666 205.29745 204.90673 201.30716 202.47914 198.01041 200.61889 195.9064 200.87892 198.88926 200.40334 208.21991 210.97518 209.73474 212.586 209.36003 218.27348 229.44031 228.03318 227.65547 224.6524 228.44605 228.99768 226.53373 221.82021 223.99385 227.70375 228.99805 232.04349 220.0784 220.773 226.2429 236.18305 240.77846 242.30774 253.55382 248.09129 246.59438 244.67291 247.53004 243.95249 247.51762 243.63932 244.89017 247.35055 245.18296 238.76288 233.70706 1.7489572573767 7.5628874028501 1.9332477730725 -0.190500310436 -1.772299917987 0.5804968078806 -2.231726382472 1.3087433521808 -2.377004444556 2.5065344344486 -0.995415107216 0.7583848319861 3.8262745072889 1.3145715413945 -0.589690680237 1.3503022952532 -1.529121085976 4.1693370464307 4.9894136546068 -0.61517638438 -0.165775507685 -1.327907086124 1.6745758680042 0.2411795074299 -1.08180203404 -2.102666326845 0.9751407231293 1.6426845851297 0.5668046261853 1.3211322760871 -5.294096448873 0.3151177810831 2.4474176555048 4.2997939096832 1.9270117637373 0.6331313577149 4.5367537005937 -2.177932491973 -0.605198274241 -0.782254319532 1.1609691048917 -1.455845516153 1.4508278174524 -1.579283643264 0.5120889359092 0.9996736920724 -0.880185388424 -2.653378180714 -2.140247479067 -3.785485496124 1.4871047038 7.3010348492 1.6713952195 -0.452352864 -2.034152472 0.3186442543 -2.493578936 1.0468907986 -2.638856998 2.2446818808 -1.257267661 0.4965322784 3.5644219537 1.0527189878 -0.851543234 1.0884497416 -1.79097364 3.9074844928 4.727561101 -0.877028938 -0.427628061 -1.58975964 1.4127233144 -0.020673046 -1.343654588 -2.36451888 0.7132881695 1.3808320315 0.3049520726 1.0592797225 -5.555949002 0.0532652275 2.1855651019 4.0379413561 1.6651592101 0.3712788041 4.274901147 -2.439785046 -0.867050828 -1.044106873 0.8991165513 -1.71769807 1.1889752638 -1.841136197 0.2502363823 0.7378211385 -1.142037942 -2.915230734 -2.402100033 -4.04733805 2.2114804 53.30510987 2.79356198 0.204623114 4.137776278 0.101534161 6.21793591 1.095980344 6.963566257 5.038596746 1.580721971 0.246544303 12.70510386 1.108217267 0.725125879 1.18472284 3.207586578 15.26843506 22.34983396 0.769179758 0.182865759 2.527335712 1.995787163 0.000427375 1.805407651 5.590949536 0.508780013 1.906697099 0.092995767 1.12207353 30.86856932 0.002837184 4.776694815 16.3049704 2.772755195 0.13784795 18.27477982 5.952551069 0.751777138 1.090159163 0.808410573 2.950486659 1.413662178 3.389782495 0.062618247 0.544380032 1.304250661 8.498570234 5.770084567 16.38094529 10/29/2009 10/30/2009 225.02547 1.1393153760756 0.8774628225 0.769941005 227.60388 _ _ _ дневные показатели ожидаемая доходность, % <r> дисперсия (общий риск), %^2 рыночный риск собственный риск годовые показатели 0.2618525536053 65.463138401 15.257773694015 3814.4434235 1415.1841025 2399.259321 Приложение 2 ОАО "Лукойл" Дата 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 1/14/2009 Рыночная цена W i, руб Фактическая доходность ri = ln(w1/w0)*100% r-<r> (r-<r>)^2 1102.89267 1152.78041 1032.17467 1040.3493 1053.96111 1041.93807 957.00736 839.12891 899.37373 820.44147 738.1301 780.47823 746.72657 792.72791 813.51545 900.17598 891.89325 861.79083 856.4569 829.53005 795.50959 796.95308 798.79447 805.74872 851.87245 906.95305 910.72446 959.41579 944.0678 1051.15819 1062.85453 1060.42412 1012.41441 926.28388 940.84316 1011.87865 1055.66089 991.44863 967.95699 993.04751 957.97076 955.91964 982.96167 1023.14145 1061.53886 1115.81767 4.4240343958339 -11.05088655379 0.7888615534226 1.2999029757489 -1.147304412151 -8.502670464238 -13.14467402598 6.9334323685174 -9.185609211529 -10.5722477107 5.5786750863234 -4.420776654833 5.9780967361935 2.5884870485166 10.122535905491 -0.924382701299 -3.433386592522 -0.62085891814 -3.1944659807 -4.187643260058 0.1812903275591 0.2307872341477 0.8668253478849 5.5664876937179 6.2653875668601 0.4149707955616 5.2084154461957 -1.612656153525 10.744988774695 1.1065647088199 -0.228930014575 -4.63309582155 -8.891250853502 1.5595698403245 7.2787479647872 4.2358354209675 -6.275514957064 -2.397948175807 2.5590853343769 -3.596125223065 -0.214340464351 2.7896275567107 4.0062899679979 3.6841862858047 4.9867862411386 -11.93301283944 4.236539377 -11.2383816 0.601366534 1.112407956 -1.33479943 -8.69016548 -13.332169 6.745937349 -9.37310423 -10.7597427 5.391180067 -4.60827167 5.790601717 2.400992029 9.935040886 -1.11187772 -3.62088161 -0.80835394 -3.381961 -4.37513828 -0.00620469 0.043292215 0.679330329 5.378992674 6.077892548 0.227475776 5.020920427 -1.80015117 10.55749376 0.919069689 -0.41642503 -4.82059084 -9.07874587 1.372074821 7.091252945 4.048340402 -6.46300998 -2.5854432 2.371590315 -3.78362024 -0.40183548 2.602132537 3.818794949 3.496691266 4.799291222 -12.1205079 17.94827 126.3012 0.361642 1.237451 1.78169 75.51898 177.7467 45.50767 87.85508 115.7721 29.06482 21.23617 33.53107 5.764763 98.70504 1.236272 13.11078 0.653436 11.43766 19.14183 3.85E-05 0.001874 0.46149 28.93356 36.94078 0.051745 25.20964 3.240544 111.4607 0.844689 0.17341 23.2381 82.42363 1.882589 50.28587 16.38906 41.7705 6.684517 5.624441 14.31578 0.161472 6.771094 14.58319 12.22685 23.0332 146.9067 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 3/27/2009 990.30465 1037.08964 971.00288 955.5218 1001.36556 1034.73288 977.61308 1023.9632 1123.19225 1122.2324 1098.74106 1154.79065 1127.28656 1135.48722 1133.9071 1132.7891 1129.46196 1166.72656 1244.69802 1272.35948 1290.81595 1259.14076 1254.82195 1167.68153 1086.22212 1115.27265 1106.21248 1088.15106 1086.37634 1090.58389 1121.66722 1123.39926 1123.39926 1142.50161 1152.37092 1161.00564 1283.2673 1321.74876 1252.69776 1363.73019 1328.13159 1317.05362 1263.28222 1302.1743 1302.57251 1355.804 1334.88164 1363.05372 1402.12521 1405.50551 4.6161023089256 -6.584421185095 -1.607185560132 4.6862328753002 3.2778677979755 -5.678461739955 4.6321899420461 9.2494265865282 -0.085493856003 -2.115488231142 4.9754038668377 -2.410560142868 0.7248356841299 -0.139254799523 -0.098645781526 -0.294144399596 3.2460637912484 6.4690930626362 2.198008877535 1.4401502743234 -2.484498596637 -0.343586182206 -7.197350545335 -7.231445357058 2.6393173182689 -0.815690378704 -1.646201967278 -0.163228147324 0.3865532480783 2.810293602657 0.1542974659381 0 1.686111057424 0.8601236640596 0.7465070968894 10.012284317721 2.9546274220505 -5.365624425402 8.4924298208028 -2.645059693613 -0.837599932497 -4.168386517089 3.032213528937 0.0305757167317 4.0053473336511 -1.55520075523 2.0884936251423 2.8261527758757 0.2407938913915 -4.444118894806 4.42860729 -6.7719162 -1.79468058 4.498737856 3.090372779 -5.86595676 4.444694923 9.061931567 -0.27298888 -2.30298325 4.787908848 -2.59805516 0.537340665 -0.32674982 -0.2861408 -0.48163942 3.058568772 6.281598043 2.010513858 1.252655255 -2.67199362 -0.5310812 -7.38484556 -7.41894038 2.451822299 -1.0031854 -1.83369699 -0.35072317 0.199058229 2.622798583 -0.03319755 -0.18749502 1.498616038 0.672628645 0.559012078 9.824789298 2.767132403 -5.55311944 8.304934801 -2.83255471 -1.02509495 -4.35588154 2.84471851 -0.1569193 3.817852314 -1.74269577 1.900998606 2.638657757 0.053298872 -4.63161391 19.61256 45.85885 3.220878 20.23864 9.550404 34.40945 19.75531 82.1186 0.074523 5.303732 22.92407 6.749891 0.288735 0.106765 0.081877 0.231977 9.354843 39.45847 4.042166 1.569145 7.13955 0.282047 54.53594 55.04068 6.011433 1.006381 3.362445 0.123007 0.039624 6.879072 0.001102 0.035154 2.24585 0.452429 0.312495 96.52648 7.657022 30.83714 68.97194 8.023366 1.05082 18.9737 8.092423 0.024624 14.576 3.036989 3.613796 6.962515 0.002841 21.45185 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 1344.41079 1344.41079 1319.41757 1342.39279 1370.18445 1418.01659 1375.13997 1440.14886 1593.31103 1637.42024 1654.15245 1578.61792 1517.68381 1511.45476 1496.85179 1489.7039 1434.73115 1457.73424 1488.05209 1501.30029 1459.32628 1423.16924 1464.16305 1518.88932 1523.43712 1522.46329 1538.26079 1621.70898 1617.89693 1626.83513 1600.50242 1518.88686 1519.96636 1488.95343 1561.06353 1567.23921 1558.37385 1559.92487 1531.0721 1512.99347 1549.7976 1546.17292 1615.68243 1720.29937 1716.03447 1685.38667 1661.54316 1715.73269 1645.71311 1686.07166 0 -1.87654383447 1.7263281361972 2.049168007502 3.4313761804318 -3.070360531709 4.6190960943809 10.106777658425 2.7307719114697 1.0166783905797 -4.673903279136 -3.936436658884 -0.411275921276 -0.970850839668 -0.478672048343 -3.759989563411 1.5905860137426 2.0584602638538 0.8863650083417 -2.835671543834 -2.508863329365 2.8397538418394 3.6695574944377 0.2989687975391 -0.063943655543 1.0322812425583 5.2828098048536 -0.235340462101 0.5509374853329 -1.631889690508 -5.233985482715 0.0710465407347 -2.061472584574 4.7293861786893 0.3948267502158 -0.567273274309 0.0994786110747 -1.86694508756 -1.187809010141 2.4034222891313 -0.234154791379 4.3974630852169 6.2740903307616 -0.248223972899 -1.802107305347 -1.424823022078 3.2093428870939 -4.166642207085 2.4227569839583 -0.149003202807 -0.18749502 -2.06403885 1.538833117 1.861672988 3.243881161 -3.25785555 4.431601075 9.919282639 2.543276892 0.829183371 -4.8613983 -4.12393168 -0.59877094 -1.15834586 -0.66616707 -3.94748458 1.403090994 1.870965245 0.698869989 -3.02316656 -2.69635835 2.652258823 3.482062475 0.111473778 -0.25143867 0.844786223 5.095314786 -0.42283548 0.363442466 -1.81938471 -5.4214805 -0.11644848 -2.2489676 4.541891159 0.207331731 -0.75476829 -0.08801641 -2.05444011 -1.37530403 2.21592727 -0.42164981 4.209968066 6.086595311 -0.43571899 -1.98960232 -1.61231804 3.021847868 -4.35413723 2.235261965 -0.33649822 0.035154 4.260256 2.368007 3.465826 10.52276 10.61362 19.63909 98.39217 6.468257 0.687545 23.63319 17.00681 0.358527 1.341765 0.443779 15.58263 1.968664 3.500511 0.488419 9.139536 7.270348 7.034477 12.12476 0.012426 0.063221 0.713664 25.96223 0.17879 0.13209 3.310161 29.39245 0.01356 5.057855 20.62878 0.042986 0.569675 0.007747 4.220724 1.891461 4.910334 0.177789 17.72383 37.04664 0.189851 3.958517 2.599569 9.131565 18.95851 4.996396 0.113231 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 8/19/2009 1683.56123 1651.56583 1577.21181 1583.54934 1538.75624 1495.46087 1496.23298 1427.31808 1366.30561 1392.75977 1390.16292 1419.78352 1381.93806 1442.86884 1411.89007 1398.31617 1368.99278 1331.40532 1341.07848 1304.81365 1331.86957 1298.50888 1323.05053 1389.071 1420.6102 1447.47267 1463.88909 1493.9093 1521.48493 1493.56445 1505.68966 1555.97756 1580.01769 1518.05065 1468.94981 1507.67039 1549.53207 1599.70728 1588.59491 1618.83069 1597.7009 1583.88108 1583.44378 1566.47761 1506.32528 1556.41973 1532.78895 1457.06861 1457.86659 1417.90686 -1.918750382701 -4.606521484032 0.4010134389883 -2.869429158857 -2.854002016455 0.0516169137522 -4.715338787369 -4.36867525137 1.9176762459237 -0.186627588547 2.1083460379855 -2.701750404883 4.314647645141 -2.170409975712 -0.966050489276 -2.119350467002 -2.784025639945 0.7239110106657 -2.74138924337 2.0523413259922 -2.536705614598 1.8723487145813 4.8695100473473 2.2451319243997 1.8732551837195 1.1277605014849 2.0299720890442 1.8290410243484 -1.852127419771 0.8085527676631 3.2852964972926 1.5332039120353 -4.000899849052 -3.287931417953 2.6017940915692 2.7387323606148 3.1867667477825 -0.697074137564 1.8854171194934 -1.313843396664 -0.868744354466 -0.027613208124 -1.077254443702 -3.915644286688 3.2715043306525 -1.529921955846 -5.06623031641 0.0547511327136 -2.77923854517 3.5301402978063 -2.1062454 -4.7940165 0.21351842 -3.05692418 -3.04149704 -0.13587811 -4.90283381 -4.55617027 1.730181227 -0.37412261 1.920851019 -2.88924542 4.127152626 -2.357905 -1.15354551 -2.30684549 -2.97152066 0.536415991 -2.92888426 1.864846307 -2.72420063 1.684853695 4.682015028 2.057636905 1.685760164 0.940265482 1.84247707 1.641546005 -2.03962244 0.621057748 3.097801478 1.345708893 -4.18839487 -3.47542644 2.414299072 2.551237341 2.999271728 -0.88456916 1.6979221 -1.50133842 -1.05623937 -0.21510823 -1.26474946 -4.10313931 3.084009311 -1.71741698 -5.25372534 -0.13274389 -2.96673356 3.342645278 4.43627 22.98259 0.04559 9.344785 9.250704 0.018463 24.03778 20.75869 2.993527 0.139968 3.689669 8.347739 17.03339 5.559716 1.330667 5.321536 8.829935 0.287742 8.578363 3.477652 7.421269 2.838732 21.92126 4.23387 2.841787 0.884099 3.394722 2.694673 4.16006 0.385713 9.596374 1.810932 17.54265 12.07859 5.82884 6.508812 8.995631 0.782463 2.882939 2.254017 1.115642 0.046272 1.599591 16.83575 9.511113 2.949521 27.60163 0.017621 8.801508 11.17328 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 10/28/2009 1468.85494 1525.23105 1599.43773 1612.31393 1600.58797 1580.37569 1600.84401 1581.00165 1594.91971 1561.32258 1580.04067 1540.89671 1524.14956 1570.79891 1624.06593 1657.56284 1670.79533 1635.62418 1683.40889 1710.33407 1690.38669 1653.74727 1620.544 1642.97942 1640.91256 1608.54164 1585.72303 1591.55458 1641.93605 1643.59997 1680.04821 1617.69642 1627.82626 1668.38727 1717.51451 1763.36014 1840.17541 1950.55935 1912.8315 1936.06677 1936.46859 1937.78535 1936.13681 1941.45586 1882.88709 1886.23215 1906.96547 1891.29202 1831.55023 1780.57582 3.7662761911242 4.7506241953808 0.8018222047834 -0.729932779049 -1.270844573597 1.2868399158157 -1.247239454317 0.8764794541732 -2.129012664398 1.1917317446112 -2.508606102637 -1.092793725523 3.0147760875223 3.3348488398531 2.0415516671994 0.7951403690673 -2.127526560401 2.8796345795627 1.586787524652 -1.173140059418 -2.191352776069 -2.028189030762 1.3749417764968 -0.125878700366 -1.992457127104 -1.428748117248 0.3670788180319 3.116480202248 0.1012875909517 2.1933549657503 -3.781931509942 0.6242367651075 2.4611911263157 2.9020740157925 2.634296595024 4.2639739243897 5.8255278998137 -1.953157256561 1.2073871864629 0.0207522960587 0.0679748963849 -0.085109614051 0.2743482252476 -3.063184988053 0.1774982782575 1.0931951645575 -0.825301549672 -3.209747551524 -2.822592209509 -2.143832291472 3.578781172 4.563129176 0.614327185 -0.9174278 -1.45833959 1.099344896 -1.43473447 0.688984435 -2.31650768 1.004236725 -2.69610112 -1.28028874 2.827281068 3.147353821 1.854056648 0.60764535 -2.31502158 2.69213956 1.399292505 -1.36063508 -2.3788478 -2.21568405 1.187446757 -0.31337372 -2.17995215 -1.61624314 0.179583799 2.928985183 -0.08620743 2.005859946 -3.96942653 0.436741746 2.273696107 2.714578996 2.446801576 4.076478905 5.63803288 -2.14065228 1.019892167 -0.16674272 -0.11952012 -0.27260463 0.086853206 -3.25068001 -0.00999674 0.905700145 -1.01279657 -3.39724257 -3.01008723 -2.33132731 12.80767 20.82215 0.377398 0.841674 2.126754 1.208559 2.058463 0.4747 5.366208 1.008491 7.268961 1.639139 7.993518 9.905836 3.437526 0.369233 5.359325 7.247615 1.95802 1.851328 5.658917 4.909256 1.41003 0.098203 4.752191 2.612242 0.03225 8.578954 0.007432 4.023474 15.75635 0.190743 5.169694 7.368939 5.986838 16.61768 31.78741 4.582392 1.04018 0.027803 0.014285 0.074313 0.007543 10.56692 9.993E-05 0.820293 1.025757 11.54126 9.060625 5.435087 10/29/2009 10/30/2009 1742.80953 0.5550642471569 0.367569228 0.135107 1752.51014 _ _ _ дневные показатели ожидаемая доходность, % <r> дисперсия (общий риск), %^2 рыночный риск собственный риск годовые показатели 0.1874950193266 46.87375483 13.604418090919 3401.104523 1712.915685 1688.188838 Приложение 3 ОАО "Холдинг МРСК" Дата 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 Фактическая Рыночная доходность ri цена W i, = руб ln(w1/w0)*100 % 16.34072 18.06127 17.66866 17.30314 17.68981 17.42642 17.13418 15.23821 13.99801 14.34534 14.05342 15.17364 15.06738 14.59184 15.3474 18.03651 18.37153 18.42296 18.42296 15.96152 15.97291 15.97291 16.00688 15.923 16.00049 16.00091 16.03989 16.12865 16.12865 16.70581 17.35489 17.77919 16.80897 15.5217 15.88293 16.62159 16.87818 17.01402 17.01402 17.00836 16.87287 16.87287 16.17497 15.53297 r-<r> 10.010971456 9.819327 -2.197741796 -2.389386 -2.0904460784 -2.28209 2.2100779658 2.018434 -1.5001322147 -1.691776 -1.6912146521 -1.882859 -11.726920962 -11.91857 -8.4890912637 -8.680735 2.4509974136 2.259353 -2.0559368262 -2.247581 7.6693929313 7.477749 -0.702756966 -0.894401 -3.2069673822 -3.398612 5.048361022 4.856717 16.145195836 15.95355 1.8404146789 1.648771 0.2795529086 0.087909 0 -0.191644 -14.341688723 -14.53333 0.0713336702 -0.12031 0 -0.191644 0.2124467533 0.020803 -0.5254024942 -0.717047 0.4854741897 0.29383 0.0026248852 -0.189019 0.2433148937 0.051671 0.5518449097 0.360201 0 -0.191644 3.5159369453 3.324293 3.8117747953 3.620131 2.415436118 2.223792 -5.6115999751 -5.803244 -7.9673627653 -8.159007 2.3005902777 2.108946 4.5457505106 4.354106 1.5319210728 1.340277 0.8016046606 0.609961 0 -0.191644 -0.033272217 -0.224916 -0.7997981316 -0.991442 0 -0.191644 -4.2242020898 -4.415846 -4.0500124039 -4.241657 -7.4685124768 -7.660157 (r-<r>)^2 96.41919 5.709165 5.207936 4.074075 2.862107 3.545157 142.0522 75.35517 5.104677 5.05162 55.91673 0.799953 11.55056 23.5877 254.5158 2.718444 0.007728 0.036727 211.2178 0.014475 0.036727 0.000433 0.514156 0.086336 0.035728 0.00267 0.129745 0.036727 11.05092 13.10535 4.945251 33.67764 66.56939 4.447654 18.95824 1.796342 0.372052 0.036727 0.050587 0.982958 0.036727 19.4997 17.99165 58.678 1/13/2009 1/14/2009 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 14.41515 14.41515 13.97037 13.79388 13.79731 13.41525 13.64584 13.90536 13.87759 13.99158 14.49654 14.61559 14.61559 14.9311 15.07778 15.07778 15.32078 15.44082 16.09143 17.22636 18.65097 20.46412 21.57457 21.65642 21.4667 20.4715 18.11693 17.74268 17.50807 17.29948 17.60084 18.28196 19.02252 19.11693 19.4077 20.55759 21.67273 23.24434 25.12122 25.39612 24.89655 24.85121 24.91418 24.83813 24.83813 24.87839 24.58405 24.46185 24.73641 24.31769 0 -0.191644 -3.134107862 -3.325752 -1.2713642707 -1.463008 0.0248630089 -0.166781 -2.8081526067 -2.999797 1.7042593718 1.512615 1.8839664042 1.692322 -0.1999068439 -0.391551 0.8180411234 0.626397 3.5454280149 3.353784 0.8178766969 0.626233 0 -0.191644 2.1357518765 1.944108 0.9775850891 0.785941 0 -0.191644 1.5987939966 1.40715 0.780457514 0.588813 4.1272180138 3.935574 6.8153936657 6.62375 7.9457386671 7.754095 9.2774953314 9.085851 5.284219752 5.092576 0.3786639991 0.18702 -0.8799049051 -1.071549 -4.746922228 -4.938566 -12.218681474 -12.41033 -2.0873823715 -2.279027 -1.3311119004 -1.522756 -1.1985474244 -1.390192 1.7270184929 1.535374 3.7968153107 3.605171 3.970875917 3.779232 0.4950789423 0.303435 1.5095564661 1.317912 5.7560321279 5.564388 5.2824572414 5.090813 7.0006873305 6.809043 7.7651245763 7.57348 1.0883499151 0.896706 -1.9867166796 -2.178361 -0.1822796144 -0.373924 0.2530675781 0.061423 -0.3057146863 -0.497359 0 -0.191644 0.1619582738 -0.029686 -1.1901696497 -1.381814 -0.4983097583 -0.689954 1.1161486213 0.924504 -1.7072178266 -1.898862 -0.7717522648 -0.963396 0.036727 11.06063 2.140394 0.027816 8.998781 2.288005 2.863955 0.153312 0.392373 11.24787 0.392167 0.036727 3.779555 0.617703 0.036727 1.980071 0.346701 15.48874 43.87406 60.12598 82.55269 25.93433 0.034976 1.148217 24.38944 154.0162 5.193962 2.318786 1.932633 2.357374 12.99726 14.28259 0.092073 1.736893 30.96241 25.91638 46.36307 57.35761 0.804081 4.745256 0.139819 0.003773 0.247366 0.036727 0.000881 1.909409 0.476036 0.854709 3.605677 0.928133 3/26/2009 3/27/2009 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 24.13074 24.11591 21.80483 21.80483 21.63694 21.6355 21.6355 21.6355 21.65723 21.67495 21.67495 21.67346 21.67346 23.0942 23.75693 23.71951 23.80705 23.80705 23.69584 23.63161 24.06232 23.95607 23.35688 22.6473 23.22534 24.20984 24.06096 23.99442 24.11165 24.56066 25.25626 25.83446 25.67794 25.79825 25.46232 24.32346 24.96431 25.16546 24.57103 24.77879 24.12149 23.44998 24.20503 24.83312 25.47015 26.22474 25.9615 25.26169 25.23676 25.56213 -0.0614757728 -0.25312 -10.074028377 -10.26567 0 -0.191644 -0.7729465714 -0.964591 -0.0066555064 -0.1983 0 -0.191644 0 -0.191644 0.1003863782 -0.091258 0.0817867967 -0.109857 0 -0.191644 -0.0068745313 -0.198519 0 -0.191644 6.3493033204 6.157659 2.8292773642 2.637633 -0.1576361149 -0.34928 0.3683839057 0.17674 0 -0.191644 -0.4682249993 -0.659869 -0.2714282702 -0.463072 1.8061908894 1.614547 -0.4425395079 -0.634184 -2.5330149026 -2.724659 -3.0850947871 -3.276739 2.5203284464 2.328684 4.1515238099 3.95988 -0.6168552089 -0.808499 -0.2769306684 -0.468575 0.4873822869 0.295738 1.8450849697 1.653441 2.7928069904 2.601163 2.2635213857 2.071877 -0.6077002108 -0.799344 0.4674402634 0.275796 -1.3106947861 -1.502339 -4.5758395593 -4.767484 2.6005888161 2.408945 0.8025214541 0.610877 -2.3904312721 -2.582075 0.8419938611 0.65035 -2.6884900895 -2.880134 -2.8233502399 -3.014994 3.1690820791 2.977438 2.5617783272 2.370134 2.5328932179 2.341249 2.9196061774 2.727962 -1.0088568661 -1.200501 -2.7325652488 -2.924209 -0.0987357118 -0.29038 1.2810297608 1.089386 -2.6842326736 -2.875877 0.06407 105.384 0.036727 0.930435 0.039323 0.036727 0.036727 0.008328 0.012069 0.036727 0.03941 0.036727 37.91677 6.957109 0.121997 0.031237 0.036727 0.435427 0.214436 2.606761 0.402189 7.423767 10.73702 5.422771 15.68065 0.653671 0.219562 0.087461 2.733867 6.766048 4.292675 0.638951 0.076063 2.257022 22.7289 5.803014 0.373171 6.667114 0.422955 8.295173 9.090191 8.865137 5.617536 5.481447 7.441777 1.441203 8.551001 0.08432 1.186761 8.270668 6/8/2009 6/9/2009 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 24.88511 24.83957 24.84529 25.13871 24.45591 24.01028 23.67369 23.42544 22.90873 23.46528 22.92085 22.39545 21.90678 21.73686 21.69436 22.13668 21.90977 21.85279 21.45384 20.83969 20.86692 20.38629 20.18118 19.39835 19.68877 20.35038 20.34949 20.62657 21.26308 22.03613 22.3552 22.18322 22.24331 23.27173 23.94847 23.45453 23.40067 23.91713 24.17597 25.16287 25.31308 26.27811 26.27115 25.58398 25.16604 24.64646 23.73563 24.52486 24.61102 23.31843 -0.1831686508 -0.374813 0.0230251228 -0.168619 1.1740691842 0.982425 -2.7536984693 -2.945343 -1.8389832531 -2.030627 -1.4117767061 -1.603421 -1.0541693613 -1.245814 -2.2304550678 -2.422099 2.400382122 2.208738 -2.3474905167 -2.539135 -2.3189163445 -2.51056 -2.2061635278 -2.397808 -0.7786740912 -0.970318 -0.1957118108 -0.387356 2.0183642273 1.82672 -1.0303305141 -1.221975 -0.2604053885 -0.45205 -1.8424951847 -2.034139 -2.9044308796 -3.096075 0.1305788405 -0.061065 -2.3302513845 -2.521896 -1.0112129142 -1.202857 -3.9562476047 -4.147892 1.4860411536 1.294397 3.3051162491 3.113472 -0.0043734783 -0.196018 1.3524200386 1.160776 3.0392184886 2.847574 3.5711143609 3.37947 1.437557716 1.245914 -0.7722808971 -0.963925 0.2705142024 0.07887 4.5198029957 4.328159 2.8665119526 2.674868 -2.0840785518 -2.275723 -0.2298998776 -0.421544 2.1830284174 1.991384 1.0764226023 0.884778 4.001033065 3.809389 0.5951762905 0.403532 3.7415015037 3.549857 -0.0264894312 -0.218134 -2.6505004557 -2.842145 -1.6470907738 -1.838735 -2.0862186987 -2.277863 -3.7655984897 -3.957243 3.2710002244 3.079356 0.3507013136 0.159057 -5.395027508 -5.586672 -0.7035454461 -0.89519 0.140485 0.028432 0.965159 8.675043 4.123448 2.570958 1.552051 5.866565 4.878523 6.447205 6.302914 5.749482 0.941517 0.150045 3.336906 1.493222 0.204349 4.137723 9.585681 0.003729 6.359957 1.446865 17.20501 1.675464 9.693708 0.038423 1.347401 8.10868 11.42082 1.552301 0.929152 0.00622 18.73296 7.154918 5.178914 0.177699 3.965611 0.782833 14.51144 0.162838 12.60149 0.047582 8.077786 3.380946 5.188659 15.65977 9.482434 0.025299 31.2109 0.801364 8/18/2009 8/19/2009 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 23.15495 23.0837 23.94031 24.27761 25.72329 26.55342 26.4428 26.32939 26.87546 26.3837 25.92336 25.03882 25.05867 24.88098 24.76762 25.42336 26.20924 26.57307 26.433 26.7645 27.53501 28.16922 27.72615 27.24605 26.51732 26.34106 25.95941 25.56037 24.83032 24.70937 25.50902 25.96412 26.03629 25.00334 24.75129 25.54915 26.35166 26.91413 27.23924 27.99784 27.89887 28.54336 28.4934 28.54669 28.60789 28.94124 28.64903 28.85333 28.90088 28.96683 -0.308183982 -0.499828 0.249828 3.6436908336 3.452047 11.91663 1.3990877335 1.207444 1.45792 5.7842280787 5.592584 31.27699 3.1761745744 2.98453 8.907422 -0.4174643424 -0.609108 0.371013 -0.4298103777 -0.621455 0.386206 2.052779683 1.861136 3.463825 -1.8467207355 -2.038365 4.154931 -1.7601902512 -1.951834 3.809658 -3.4717072192 -3.663351 13.42014 0.0792454913 -0.112399 0.012633 -0.7116219271 -0.903266 0.81589 -0.456650125 -0.648294 0.420285 2.61312815 2.421484 5.863585 3.0443583936 2.852714 8.137979 1.3786276595 1.186984 1.40893 -0.5285067391 -0.720151 0.518617 1.2463153005 1.054671 1.112331 2.8381903331 2.646546 7.004207 2.2771606586 2.085517 4.349379 -1.5853881288 -1.777032 3.157844 -1.7467454712 -1.93839 3.757354 -2.711045207 -2.902689 8.425606 -0.6669165922 -0.858561 0.737127 -1.4594774177 -1.651122 2.726202 -1.5491059157 -1.74075 3.030211 -2.8977618075 -3.089406 9.544429 -0.4882963148 -0.67994 0.462319 3.1849591184 2.993315 8.959934 1.7683469836 1.576703 2.485992 0.2775749127 0.085931 0.007384 -4.0481918127 -4.239836 17.97621 -1.0131807076 -1.204825 1.451603 3.1726439126 2.981 8.88636 3.0927223111 2.901078 8.416254 2.1120156402 1.920371 3.687827 1.2007153238 1.009071 1.018225 2.7468783597 2.555234 6.529222 -0.3541178127 -0.545762 0.297856 2.2838148407 2.092171 4.377178 -0.1751853113 -0.366829 0.134564 0.1868510919 -0.004793 2.297E-05 0.2141561477 0.022512 0.000507 1.158501365 0.966857 0.934813 -1.0147981862 -1.206442 1.455503 0.7105825209 0.518938 0.269297 0.1646633579 -0.026981 0.000728 0.2279337771 0.03629 0.001317 -2.8063498823 -2.997994 8.987968 10/27/2009 10/28/2009 10/29/2009 10/30/2009 ожидаемая доходность, % 28.16522 -3.7645712215 -3.956215 15.65164 27.12463 -2.9939827484 -3.185627 10.14822 26.32456 -0.3481133947 -0.539758 0.291338 26.23308 _ _ _ годовые дневные показате показатели ли <r> дисперсия (общий риск), %^2 рыночный риск собственный риск 0.1916441529 47.91104 10.762845924 2690.711 745.8496 1944.862 Приложение 4 ОАО "ВолгаТелеком" Дата Рыночная цена W i, руб Фактическая доходность ri = ln(w1/w0)*100% r-<r> (r-<r>)^2 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 1/14/2009 2718.40998 3088.91455 3060.18902 2712.94783 2870.13145 2854.8253 2724.44848 2066.54541 2396.4472 2214.02461 1945.67675 1886.56925 1863.57751 1925.36747 1909.29112 2037.36781 2057.82307 2039.40567 2028.5006 2010.3651 2010.3651 1971.63512 1844.45628 1725.55207 1745.99208 1794.88286 1806.23546 1813.92026 1837.14706 1980.97337 1927.33135 1927.33135 1906.3308 1906.3308 1738.47895 1806.84195 1889.10433 1921.9735 1914.04521 1917.49131 1907.53832 1907.53832 1907.53832 1934.63415 1905.10653 1787.65074 12.7772607673808 -0.934306558146648 -12.0440881441542 5.63220262595935 -0.534717977384156 -4.67446353720661 -27.6387685889511 14.810897816366 -7.91753573921583 -12.9202089855633 -3.08498920585885 -1.22619350909351 3.26188101810607 -0.838481122111282 6.49266536932895 0.998997639820023 -0.899023472516824 -0.536152772421878 -0.898055208222754 0 -1.94531387329174 -6.66786737610789 -6.66374950121891 1.17758814636771 2.76168394332046 0.630506226136292 0.424556960390519 1.27234648422637 7.53744674549711 -2.74519990505306 0 -1.09559785092931 0 -9.21697831072575 3.85699781192092 4.45222749023247 1.7249705457117 -0.413360929047191 0.17988088649177 -0.520414920979271 0 0 1.41046657417829 -1.53803105633902 -6.36356061745962 -6.18459917224809 12.62483426 -1.08673307 -12.1965147 5.479776117 -0.68714449 -4.82689005 -27.7911951 14.65847131 -8.06996225 -13.0726355 -3.23741571 -1.37862002 3.109454509 -0.99090763 6.34023886 0.846571131 -1.05144998 -0.68857928 -1.05048172 -0.15242651 -2.09774038 -6.82029388 -6.81617601 1.025161637 2.609257434 0.478079717 0.272130451 1.119919975 7.385020237 -2.89762641 -0.15242651 -1.24802436 -0.15242651 -9.36940482 3.704571303 4.299800981 1.572544037 -0.56578744 0.027454378 -0.67284143 -0.15242651 -0.15242651 1.258040065 -1.69045757 -6.51598713 -6.33702568 159.3864 1.180989 148.755 30.02795 0.472168 23.29887 772.3505 214.8708 65.12429 170.8938 10.48086 1.900593 9.668707 0.981898 40.19863 0.716683 1.105547 0.474141 1.103512 0.023234 4.400515 46.51641 46.46026 1.050956 6.808224 0.22856 0.074055 1.254221 54.53852 8.396239 0.023234 1.557565 0.023234 87.78575 13.72385 18.48829 2.472895 0.320115 0.000754 0.452716 0.023234 0.023234 1.582665 2.857647 42.45809 40.15789 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 3/27/2009 1680.44112 1680.44112 1652.81551 1398.66829 1389.57296 1392.27268 1296.37141 1266.9236 1247.06689 1241.73101 1264.64957 1529.49095 1436.50471 1441.63429 1455.02434 1464.36059 1464.54464 1569.68509 1736.84648 1943.55019 2103.35444 2130.99278 2137.83722 1762.97684 1565.54237 1655.69877 1669.14469 1664.40316 1664.40316 1660.86038 1652.5572 1652.86438 1660.42563 1668.84953 1668.84953 1668.84953 1718.4257 1718.4257 1729.94925 1925.77348 1945.93321 2037.6901 1974.54167 2056.42653 2227.11241 2530.27302 2328.00061 2118.46644 2202.75946 2265.6463 0 -1.65761269631794 -16.6959640920277 -0.652408557608117 0.194095661437021 -7.13682948692382 -2.29775390636737 -1.57972936027581 -0.428792404203267 1.8288682084551 19.0139903585411 -6.27220893905098 0.356451542560731 0.924523534578798 0.639606085004691 0.012567835815046 6.93306514095306 10.1196081461146 11.2445194435296 7.90171271799137 1.3054542330071 0.320670809805038 -19.2790906497441 -11.8771440377044 5.59908109893549 0.808819630947879 -0.284473684550824 0 -0.213082740532334 -0.501186293607178 0.018586434041766 0.456420241117972 0.506051171639522 0 0 2.92740961598682 0 0.668349182590071 10.7235622009537 1.04139666604803 4.6075200904844 -3.14805567952855 4.0633476703672 7.9736080675479 12.7621346982702 -8.33174180640651 -9.43173423348629 3.9018424825405 2.81491860088295 -4.52393125537476 -0.15242651 -1.81003921 -16.8483906 -0.80483507 0.041669153 -7.289256 -2.45018042 -1.73215587 -0.58121891 1.6764417 18.86156385 -6.42463545 0.204025034 0.772097026 0.487179576 -0.13985867 6.780638632 9.967181637 11.09209293 7.749286209 1.153027724 0.168244301 -19.4315172 -12.0295705 5.44665459 0.656393122 -0.43690019 -0.15242651 -0.36550925 -0.6536128 -0.13384007 0.303993732 0.353624663 -0.15242651 -0.15242651 2.774983107 -0.15242651 0.515922674 10.57113569 0.888970157 4.455093582 -3.30048219 3.910921161 7.821181559 12.60970819 -8.48416832 -9.58416074 3.749415974 2.662492092 -4.67635776 0.023234 3.276242 283.8683 0.647759 0.001736 53.13325 6.003384 3.000364 0.337815 2.810457 355.7586 41.27594 0.041626 0.596134 0.237344 0.01956 45.97706 99.34471 123.0345 60.05144 1.329473 0.028306 377.5839 144.7106 29.66605 0.430852 0.190882 0.023234 0.133597 0.42721 0.017913 0.092412 0.12505 0.023234 0.023234 7.700531 0.023234 0.266176 111.7489 0.790268 19.84786 10.89318 15.2953 61.17088 159.0047 71.98111 91.85614 14.05812 7.088864 21.86832 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 2165.43388 2087.58163 2073.07582 2135.66307 2299.01455 2354.65735 2345.90152 2328.95019 2535.84704 2667.30266 2833.48627 2817.51598 2637.05386 2636.73773 2635.14674 2620.09491 2541.17069 2525.04449 2680.95924 2659.19933 2607.77635 2553.34876 2650.32222 2779.20335 2856.00029 2921.9045 2972.59922 3234.09167 3218.40051 3432.05668 3339.37513 3122.71989 3129.43449 3077.70079 3270.07647 3455.57326 3450.68155 3441.74044 3357.26049 3183.9374 3350.69273 3380.87295 3470.28059 3633.4914 3650.75837 3536.82823 3333.73894 3390.52132 3211.71888 3155.05753 -3.66144666723311 -0.697287337308845 2.97437620949832 7.37034047078066 2.39146433443119 -0.372544642837722 -0.725216770338976 8.51101154863281 5.05400027772026 6.04401289427606 -0.565221240800387 -6.61933067228411 -0.011988717983403 -0.060357546048425 -0.57283269395872 -3.05856658849861 -0.63661940486662 5.99159734818173 -0.814958213240901 -1.95271887043784 -2.10921481775109 3.72754882176024 4.7483096827623 2.72578241311281 2.28134836826835 1.72010986354354 8.43113781190325 -0.486360633783852 6.42751965235956 -2.73759939815191 -6.7079320984285 0.214793243206749 -1.66694926423272 6.06305484920369 5.51749953516824 -0.141660305118181 -0.25944769569886 -2.4851974244946 -5.30067040705563 5.10485025496751 0.896683584542474 2.61015069811686 4.59585518467383 0.474091440755484 -3.17045733259099 -5.91358663662101 1.68892123567961 -5.41774208190937 -1.77995400857192 3.42522819699994 -3.81387318 -0.84971385 2.821949701 7.217913962 2.239037826 -0.52497115 -0.87764328 8.35858504 4.901573769 5.891586385 -0.71764775 -6.77175718 -0.16441523 -0.21278405 -0.7252592 -3.2109931 -0.78904591 5.839170839 -0.96738472 -2.10514538 -2.26164133 3.575122313 4.595883174 2.573355904 2.128921859 1.567683355 8.278711303 -0.63878714 6.275093143 -2.89002591 -6.86035861 0.062366734 -1.81937577 5.91062834 5.365073026 -0.29408681 -0.4118742 -2.63762393 -5.45309692 4.952423746 0.744257076 2.457724189 4.443428676 0.321664932 -3.32288384 -6.06601315 1.536494727 -5.57016859 -1.93238052 3.272801688 14.54563 0.722014 7.9634 52.09828 5.01329 0.275595 0.770258 69.86594 24.02543 34.71079 0.515018 45.8567 0.027032 0.045277 0.526001 10.31048 0.622593 34.09592 0.935833 4.431637 5.115021 12.7815 21.12214 6.622161 4.532308 2.457631 68.53706 0.408049 39.37679 8.35225 47.06452 0.00389 3.310128 34.93553 28.78401 0.086487 0.16964 6.95706 29.73627 24.5265 0.553919 6.040408 19.74406 0.103468 11.04156 36.79652 2.360816 31.02678 3.734094 10.71123 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 8/19/2009 3264.99755 3377.00034 3323.60567 3278.82516 3152.33794 2893.63874 2857.26648 2696.2465 2536.13483 2619.27936 2666.21715 2810.69921 2851.0024 2957.07791 2879.79109 2901.20911 2813.78435 2682.32373 2702.53443 2576.82193 2633.71885 2576.9685 2496.59922 2585.01242 2699.14185 2738.80493 2856.78114 3090.52907 3115.48869 3021.81965 3082.04255 3182.09656 3201.72357 3107.98399 2953.42633 2995.21375 3087.32327 3282.06988 3296.60296 3390.44989 3405.4892 3330.27781 3402.76583 3351.785 3259.09628 3430.31962 3421.29325 3232.4606 3244.33513 3218.16065 3.37288297392391 -1.59376032958036 -1.35650634823032 -3.93407945908192 -8.5629590982458 -1.26493981704749 -5.800477094147 -6.1219419055693 3.22580249382753 1.77614435486605 5.27726115218853 1.42373701657688 3.653093643282 -2.64838348505037 0.740983125976886 -3.05972635102714 -4.78468387986381 0.750652823232931 -4.76331809512112 2.18400292694291 -2.17831507439903 -3.16842142699374 3.48008187811497 4.32035765662148 1.45877791643391 4.21738471625242 7.86467808338021 0.804372644173635 -3.05268397104652 1.97333597236037 3.19477323769338 0.614900527964386 -2.97149991598672 -5.10083171030432 1.40496338025785 3.02888618609491 6.11698245064494 0.441824787310045 2.80700912919825 0.442597685222996 -2.23328734147405 2.15328533998458 -1.5095540587563 -2.80430975276851 5.12034982864035 -0.2634817638771 -5.67749799900557 0.366679568101945 -0.810046892607283 2.1779410871031 3.220456465 -1.74618684 -1.50893286 -4.08650597 -8.71538561 -1.41736633 -5.9529036 -6.27436841 3.073375985 1.623717846 5.124834643 1.271310508 3.500667134 -2.80080999 0.588556617 -3.21215286 -4.93711039 0.598226314 -4.9157446 2.031576418 -2.33074158 -3.32084794 3.327655369 4.167931148 1.306351408 4.064958207 7.712251574 0.651946135 -3.20511048 1.820909463 3.042346729 0.462474019 -3.12392642 -5.25325822 1.252536871 2.876459677 5.964555942 0.289398278 2.65458262 0.290171176 -2.38571385 2.000858831 -1.66198057 -2.95673626 4.96792332 -0.41590827 -5.82992451 0.214253059 -0.9624734 2.025514578 10.37134 3.049168 2.276878 16.69953 75.95795 2.008927 35.43706 39.3677 9.44564 2.63646 26.26393 1.61623 12.25467 7.844537 0.346399 10.31793 24.37506 0.357875 24.16455 4.127303 5.432356 11.02803 11.07329 17.37165 1.706554 16.52389 59.47882 0.425034 10.27273 3.315711 9.255874 0.213882 9.758916 27.59672 1.568849 8.27402 35.57593 0.083751 7.046809 0.084199 5.691631 4.003436 2.762179 8.742289 24.68026 0.17298 33.98802 0.045904 0.926355 4.102709 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 11/1/2008 11/5/2008 11/6/2008 11/7/2008 3289.01912 3302.24949 3434.44178 3415.60786 3388.34463 3365.37739 3441.0266 3385.26065 3393.14495 3304.31541 3325.79968 3312.55635 3323.40674 3398.36876 3397.91153 3391.72002 3404.29018 3372.77943 3487.29602 3605.81931 3701.41502 3710.7145 3657.29682 3725.68048 3847.23038 3753.77143 3693.53036 3739.74195 3768.18204 3800.24562 3769.19272 3602.67358 3579.64862 3666.42588 3722.35189 3829.39114 3844.8608 4025.1664 4027.22748 4118.1296 4103.84599 4043.22134 4050.09472 4162.10266 4139.13651 4286.96204 4349.81814 4293.62036 4171.97234 4034.91214 0.401451937452926 3.92505031251234 -0.549892875189639 -0.801398185907538 -0.680138402746764 2.22297487280673 -1.63389522195391 0.232630031923854 -2.65278910186374 0.648083627673798 -0.398994796581655 0.32701808380851 2.23051566954812 -0.013455301464322 -0.182381375797423 0.369928059698262 -0.929929273040486 3.33894954321223 3.34223588245385 2.61661690047144 0.250926130050429 -1.45001449150044 1.85252135795353 3.21039932599066 -2.45924583454322 -1.61783114582683 1.24338739212648 0.757605592922321 0.847303383653931 -0.820485558131415 -4.5184614967387 -0.641158617936224 2.39526681255313 1.51383841243983 2.83501222684673 0.40315801655015 4.58288521894829 0.051191734426437 2.23209107233704 -0.347449933732594 -1.48828447257115 0.169853286379195 2.72801251939084 -0.55332000739965 3.50911392805133 1.45557044304015 -1.30037535193751 -2.87413766078957 -3.3404380191351 -3.36397903816965 0.249025429 3.772623804 -0.70231938 -0.95382469 -0.83256491 2.070548364 -1.78632173 0.080203523 -2.80521561 0.495657119 -0.55142131 0.174591575 2.078089161 -0.16588181 -0.33480788 0.217501551 -1.08235578 3.186523034 3.189809374 2.464190392 0.098499621 -1.602441 1.700094849 3.057972817 -2.61167234 -1.77025765 1.090960883 0.605179084 0.694876875 -0.97291207 -4.67088801 -0.79358513 2.242840304 1.361411904 2.682585718 0.250731508 4.43045871 -0.10123477 2.079664563 -0.49987644 -1.64071098 0.017426777 2.57558601 -0.70574652 3.356687419 1.303143934 -1.45280186 -3.02656417 -3.49286453 -3.51640555 0.062014 14.23269 0.493253 0.909782 0.693164 4.287171 3.190945 0.006433 7.869235 0.245676 0.304065 0.030482 4.318455 0.027517 0.112096 0.047307 1.171494 10.15393 10.17488 6.072234 0.009702 2.567817 2.890322 9.351198 6.820832 3.133812 1.190196 0.366242 0.482854 0.946558 21.81719 0.629777 5.030333 1.853442 7.196266 0.062866 19.62896 0.010248 4.325005 0.249876 2.691933 0.000304 6.633643 0.498078 11.26735 1.698184 2.110633 9.160091 12.2001 12.36511 10/29/2009 10/30/2009 3901.43618 3961.17469 1.51958835368716 1.367161845 1.869132 _ _ _ дневные показатели годовые показатели ожидаемая доходность, % <r> дисперсия (общий риск), %^ рыночный риск собственный риск 0.15242650889095 38.10662722 23.9043266023311 5976.081651 1845.461049 4130.620601 Приложение 5 ОАО "Газпром" Дата 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 1/14/2009 Рыночная цена W i, руб 139.88807 146.43099 129.4096 128.90939 140.9923 126.82894 112.61951 101.76546 116.8499 100.93816 95.7313 95.54473 88.25076 92.0024 92.70463 114.33477 112.60588 114.03902 114.96832 111.512 107.89395 109.61028 107.53466 105.19323 113.98919 112.77888 112.12431 112.11005 109.2418 116.37924 116.64747 115.66617 111.86655 100.81122 105.07817 110.97107 112.26052 110.6624 110.19758 106.38464 105.42314 106.01114 109.16507 112.62143 112.13002 112.67336 Фактическая доходность ri = ln(w1/w0)*100% 4.57116566152306 -12.3571691576399 -0.387281341729844 8.95955244976506 -10.5866029557591 -11.8824280497895 -10.1344215089651 13.8219451373693 -14.638215309118 -5.29627433692094 -0.195079393029555 -7.94122071214429 4.16323559909623 0.760375372181057 20.9712306629438 -1.52367894257233 1.26467359407456 0.81159416197007 -3.05244037236892 -3.29834081710904 1.5782365479324 -1.91179515291591 -2.20142695860002 8.03046747162994 -1.06745318460352 -0.582092097705246 -0.012718835792357 -2.59172042054194 6.32903949250008 0.230214054401667 -0.844811209814208 -3.34015543052301 -10.4056984049541 4.14548903964321 5.45649873485736 1.15527048957313 -1.43381163190908 -0.420918888318553 -3.52137308208425 -0.907904898134531 0.556202632676138 2.93169574163716 3.11708769668605 -0.437292647572678 0.483392249715861 -6.65764042617797 r-<r> (r-<r>)^2 4.468458347 19.96712 -12.4598765 155.248522 -0.48998866 0.24008888 8.856845136 78.4437058 -10.6893103 114.261354 -11.9851354 143.64347 -10.2371288 104.798807 13.71923782 188.217486 -14.7409226 217.2948 -5.39898165 29.1490029 -0.29778671 0.08867692 -8.04392803 64.7047781 4.060528285 16.48789 0.657668058 0.43252727 20.86852335 435.495267 -1.62638626 2.64513226 1.16196628 1.35016564 0.708886848 0.50252056 -3.15514769 9.95495692 -3.40104813 11.5671284 1.475529234 2.17718652 -2.01450247 4.05822019 -2.30413427 5.30903475 7.927760157 62.8493811 -1.1701605 1.36927559 -0.68479941 0.46895023 -0.11542615 0.0133232 -2.69442773 7.25994082 6.226332178 38.7672124 0.12750674 0.01625797 -0.94751852 0.89779135 -3.44286274 11.8533039 -10.5084057 110.426591 4.042781725 16.3440841 5.353791421 28.6630826 1.052563175 1.10788924 -1.53651895 2.36089047 -0.5236262 0.2741844 -3.6240804 13.1339587 -1.01061221 1.02133704 0.453495318 0.205658 2.828988427 8.00317552 3.014380382 9.08648909 -0.53999996 0.29159996 0.380684936 0.14492102 -6.76034774 45.7023016 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 3/27/2009 105.41623 108.05691 107.40719 103.54056 106.37607 107.32889 105.14003 105.56693 110.36996 110.72744 109.46355 112.90783 112.92538 114.12399 114.72434 115.12086 115.83933 122.92847 127.31976 127.91437 128.29982 127.70632 126.90892 116.78102 107.5146 112.10862 112.478 112.05481 111.15613 114.88987 116.14103 115.49989 114.7916 113.65578 112.38884 112.67259 123.62989 126.70622 122.79685 131.63418 127.13677 127.17981 125.47841 128.07121 126.8686 132.0482 133.60719 134.87502 137.08313 136.08101 2.47414237096426 -0.603090695193667 -3.66637058333644 2.70172256004634 0.891721290651398 -2.06047777787681 0.405207862253731 4.44928360197644 0.323369077616214 -1.14800690150898 3.09802050324013 0.015542443943777 1.05582423304211 0.524671844627377 0.345032563979957 0.622161176409123 5.93984967133547 3.50990759037225 0.46593382767431 0.300881298407742 -0.46366158504252 -0.626358899020388 -8.31691066285981 -8.26739048902453 4.18415704513737 0.328942421473871 -0.376952037523703 -0.805233700348357 3.30382277608121 1.08312111639017 -0.553565093098946 -0.615126710379216 -0.994390357426464 -1.12097626284278 0.252153512348598 9.28061648693177 2.45788341994621 -3.13398145479841 6.94953476936724 -3.47632754916458 0.03384757722908 -1.34681999924082 2.0452725451348 -0.943453217750716 4.00151022759432 1.17370695697796 0.944449484402494 1.62389582639599 -0.733715996299026 -5.56298235334572 2.371435057 5.62370423 -0.70579801 0.49815083 -3.7690779 14.2059482 2.599015246 6.75488025 0.789013976 0.62254306 -2.16318509 4.67936974 0.302500548 0.09150658 4.346576288 18.8927254 0.220661763 0.04869161 -1.25071422 1.56428605 2.995313189 8.9719011 -0.08716487 0.00759771 0.953116919 0.90843186 0.42196453 0.17805406 0.24232525 0.05872153 0.519453862 0.26983231 5.837142357 34.0722309 3.407200276 11.6090137 0.363226513 0.1319335 0.198173984 0.03927293 -0.5663689 0.32077373 -0.72906621 0.53153754 -8.41961798 70.8899669 -8.3700978 70.0585372 4.081449731 16.6582319 0.226235107 0.05118232 -0.47965935 0.23007309 -0.90794101 0.82435689 3.201115462 10.2471402 0.980413802 0.96121122 -0.65627241 0.43069347 -0.71783402 0.51528569 -1.09709767 1.2036233 -1.22368358 1.4974015 0.149446198 0.02233417 9.177909173 84.2340168 2.355176106 5.54685449 -3.23668877 10.4761542 6.846827455 46.8790462 -3.57903486 12.8094906 -0.06885974 0.00474166 -1.44952731 2.10112943 1.942565231 3.77355968 -1.04616053 1.09445186 3.898802913 15.2006642 1.070999643 1.14704023 0.84174217 0.70852988 1.521188512 2.31401449 -0.83642331 0.69960395 -5.66568967 32.1000394 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 128.71756 127.89023 127.93226 135.84192 140.0799 141.60522 136.37476 134.40396 139.64212 144.49039 145.89327 145.33054 144.67449 142.74368 142.34267 137.69822 133.18571 134.97445 144.51904 149.88332 146.35375 140.27808 143.94049 150.6045 153.03327 157.33747 166.21339 176.14183 173.34195 177.19533 174.73476 162.63742 164.94075 164.5287 175.26977 178.40489 176.07647 174.19586 171.11846 166.33846 173.65431 172.62452 177.31758 187.80015 189.46172 183.84782 176.41728 181.96889 175.87568 177.74512 -0.644822876712058 0.032858721981911 5.99909516548192 3.072111736079 1.08300708873661 -3.76363606885826 -1.45567923576409 3.82329720771963 3.41301361327108 0.966232682964929 -0.386459266752793 -0.452441200160017 -1.34357479599994 -0.281325475231987 -3.3172840599892 -3.3320008930066 1.33410311985256 6.83257623107863 3.64458611561695 -2.38304884194184 -4.23998980484938 2.57732120036368 4.52572451274113 1.59981533363217 2.77376402108988 5.48794558150611 5.8017078026521 -1.60232895760233 2.19864502116442 -1.39835164114404 -7.17458610724542 1.40630125649139 -0.250129543016407 6.32413067503941 1.77293002610139 -1.31372407724946 -1.07380909621206 -1.7824233148377 -2.83314369494439 4.30419706706635 -0.594776779056435 2.68235310092253 5.74360033548455 0.880863334373378 -3.00786486551628 -4.12562522257825 3.09836404412917 -3.40583565905163 1.0573232207289 2.74999396662509 -0.74753019 0.55880139 -0.06984859 0.00487883 5.896387851 34.7673897 2.969404422 8.81736262 0.980299775 0.96098765 -3.86634338 14.9486112 -1.55838655 2.42856864 3.720589894 13.8427892 3.310306299 10.9581278 0.863525369 0.74567606 -0.48916658 0.23928394 -0.55514851 0.30818987 -1.44628211 2.09173194 -0.38403279 0.14748118 -3.41999137 11.696341 -3.43470821 11.7972205 1.231395806 1.51633563 6.729868917 45.2911356 3.541878801 12.5449054 -2.48575616 6.17898367 -4.34269712 18.8590183 2.474613886 6.12371389 4.423017199 19.5630811 1.497108019 2.24133242 2.671056707 7.13454393 5.385238267 29.0007912 5.699000488 32.4786066 -1.70503627 2.90714869 2.095937707 4.39295487 -1.50105896 2.25317799 -7.27729342 52.9589995 1.303593942 1.69935717 -0.35283686 0.12449385 6.221423361 38.7061086 1.670222712 2.78964391 -1.41643139 2.00627789 -1.17651641 1.38419086 -1.88513063 3.55371749 -2.93585101 8.61922115 4.201489753 17.6525161 -0.69748409 0.48648406 2.579645787 6.65457238 5.640893021 31.8196741 0.77815602 0.60552679 -3.11057218 9.67565929 -4.22833254 17.878796 2.99565673 8.97395924 -3.50854297 12.3098738 0.954615907 0.91129153 2.647286652 7.00812662 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 8/19/2009 182.70093 182.59442 175.95748 175.41235 167.97397 158.56936 161.83196 157.59558 148.51975 149.08352 149.91086 152.3192 153.23022 160.91062 161.68339 160.57589 155.80644 147.56954 148.25245 141.62032 140.91402 135.8144 134.58292 137.94663 140.94381 145.16998 148.97545 157.7344 160.09686 158.19076 160.20673 165.6026 165.62094 160.37734 153.09683 156.87219 160.77395 168.12257 167.38826 171.67142 171.28608 168.62577 170.80603 168.69222 161.87574 167.43633 166.41453 154.91643 153.38273 149.54354 -0.058314458707603 -3.70250341546401 -0.310288699158782 -4.33304610271354 -5.76169268016188 2.03664128095213 -2.65263815852433 -5.93141853127293 0.378873978359533 0.553416496708865 1.59374681452557 0.596317741081121 4.89075592099778 0.479098466924211 -0.687337450860914 -3.01521980825365 -5.43149453215436 0.461704157379551 -4.5766890090627 -0.499975664065811 -3.68606693537357 -0.910873313792879 2.46863565672954 2.14944290894981 2.9544031390412 2.58761955657117 5.71310786120299 1.48664011867428 -1.19773605201527 1.26633971912319 3.31258985716202 0.011074092148604 -3.21722696003241 -4.6458816604177 2.43608003470378 2.4567943758461 4.46939555865683 -0.437727254574425 2.52662767583652 -0.224715985015731 -1.56532602195801 1.28467043179955 -1.24527140605558 -4.12468672484503 3.37741557265179 -0.612131531194003 -7.15960340572921 -0.994950912013619 -2.53487132215354 3.52648489527374 -0.16102177 0.02592801 -3.80521073 14.4796287 -0.41299601 0.17056571 -4.43575342 19.6759084 -5.86439999 34.3911873 1.933933967 3.74010059 -2.75534547 7.59192867 -6.03412585 36.4106747 0.276166664 0.07626803 0.450709183 0.20313877 1.4910395 2.22319879 0.493610427 0.24365125 4.788048607 22.9254095 0.376391153 0.1416703 -0.79004477 0.62417073 -3.11792712 9.72146954 -5.53420185 30.6273901 0.358996843 0.12887873 -4.67939632 21.89675 -0.60268298 0.36322677 -3.78877425 14.3548103 -1.01358063 1.02734569 2.365928343 5.59761692 2.046735595 4.18912659 2.851695825 8.13216908 2.484912242 6.17478885 5.610400547 31.4765943 1.383932804 1.91527001 -1.30044337 1.69115295 1.163632405 1.35404037 3.209882543 10.3033459 -0.09163322 0.00839665 -3.31993427 11.0219636 -4.74858897 22.5490972 2.333372721 5.44462825 2.354087062 5.54172589 4.366688244 19.0679662 -0.54043457 0.29206952 2.423920362 5.87538992 -0.3274233 0.10720602 -1.66803334 2.78233521 1.181963118 1.39703681 -1.34797872 1.81704663 -4.22739404 17.8708604 3.274708258 10.7237142 -0.71483885 0.51099457 -7.26231072 52.741157 -1.09765823 1.20485358 -2.63757864 6.95682106 3.423777581 11.7222529 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 10/28/2009 154.91126 157.57604 168.54858 169.065 168.04008 166.54416 167.62299 163.21132 164.12384 159.57636 160.19328 158.92677 160.26801 164.82169 167.47895 172.83486 174.47011 170.34805 175.71123 181.21842 182.45377 180.17643 177.88554 181.71346 184.58922 180.35789 177.56249 176.60128 179.27844 177.37688 177.19462 170.28869 171.30173 174.00432 175.93587 177.40915 179.40002 189.02117 191.90279 199.21379 199.54435 195.63634 193.60545 197.4462 193.67217 192.18999 194.17742 195.24007 189.58108 182.22358 1.70556985688483 6.73158814356936 0.305923951733342 -0.608073398395912 -0.894202289846087 0.645685099876356 -2.66715476088745 0.557546194466125 -2.80987110702205 0.38585324448306 -0.793755609951037 0.840394629193969 2.80167465113471 1.59934488333194 3.14789004090857 0.941686543742341 -2.39097405518781 3.09982118954168 3.08611351553993 0.679378179293698 -1.25602883571817 -1.27962277578174 2.12907410599002 1.57018730212906 -2.31897691706849 -1.56205513636713 -0.542806713449435 1.50455918205435 -1.06633935448293 -0.102805790117144 -3.97535032867423 0.59313312706612 1.56536219723618 1.10394271449145 0.83390932619127 1.11594142080458 5.22409582615264 1.51299223613336 3.73896279317865 0.165794772600773 -1.97789897226109 -1.04352023927575 1.96438168961911 -1.92992578655914 -0.768247028882716 1.02878631980016 0.545765233949993 -2.9413133739841 -3.95824011383524 -1.61601825911389 1.602862543 2.56916833 6.628880829 43.942061 0.203216638 0.041297 -0.71078071 0.50520922 -0.9969096 0.99382876 0.542977786 0.29482488 -2.76986208 7.67213592 0.45483888 0.20687841 -2.91257842 8.48311306 0.28314593 0.08017162 -0.89646292 0.80364577 0.737687315 0.54418257 2.698967337 7.28442469 1.496637569 2.23992401 3.045182727 9.27313784 0.83897923 0.70388615 -2.49368137 6.21844677 2.997113875 8.98269158 2.983406201 8.90071256 0.576670865 0.33254929 -1.35873615 1.84616393 -1.38233009 1.91083648 2.026366792 4.10616237 1.467479988 2.15349751 -2.42168423 5.86455452 -1.66476245 2.77143402 -0.64551403 0.41668836 1.401851868 1.96518866 -1.16904667 1.36667011 -0.2055131 0.04223564 -4.07805764 16.6305541 0.490425813 0.24051748 1.462654883 2.13935931 1.0012354 1.00247233 0.731202012 0.53465638 1.013234107 1.02664335 5.121388512 26.2286203 1.410284922 1.98890356 3.636255479 13.2223539 0.063087458 0.00398003 -2.08060629 4.32892252 -1.14622755 1.3138376 1.861674375 3.46583148 -2.0326331 4.13159732 -0.87095434 0.75856147 0.926079006 0.85762232 0.44305792 0.19630032 -3.04402069 9.26606195 -4.06094743 16.491294 -1.71872557 2.9540176 10/29/2009 10/30/2009 ожидаемая доходность, % 179.30248 0.545545683613607 0.442838369 0.19610582 180.28333 _ _ _ дневные показатели годовые показатели <r> дисперсия (общий риск), %^2 рыночный риск собственный риск 0.102707314202446 25.67682855 15.0759529969336 3768.988249 2332.805428 1436.182821 Дата 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 ОАО "Уралсвязь" Фактическая доходность ri Рыночная = r-<r> цена W i, руб ln(w1/w0)*10 0% 0.38243 0 -0.297798772 0.38243 0 -0.297798772 0.38243 0 -0.297798772 0.38243 0 -0.297798772 0.38243 -13.61534203 -13.9131408 0.33375 0 -0.297798772 0.33375 -2.761372883 -3.059171655 0.32466 0 -0.297798772 0.32466 -0.009240863 -0.307039635 0.32463 -8.224249886 -8.522048658 0.299 0 -0.297798772 0.299 -0.120473878 -0.418272651 0.29864 -0.020093098 -0.31789187 0.29858 0 -0.297798772 0.29858 0.7208200469 0.423021275 0.30074 0 -0.297798772 0.30074 0 -0.297798772 0.30074 4.2637197807 3.965921008 0.31384 0.9482050525 0.65040628 0.31683 3.7388400769 3.441041305 0.3289 0 -0.297798772 0.3289 0 -0.297798772 0.3289 0 -0.297798772 0.3289 -1.306768094 -1.604566867 0.32463 2.4975821781 2.199783406 0.33284 -10.84230594 -11.14010471 0.29864 4.0682686666 3.770469894 0.31104 4.6270089625 4.32921019 0.32577 0.3554469806 0.057648208 0.32693 1.7555214731 1.457722701 0.33272 0.0360598598 -0.261738912 0.33284 -6.976788975 -7.274587747 0.31041 0.3537436156 0.055944843 0.31151 0.8375472527 0.53974848 0.31413 0.5777060252 0.279907253 0.31595 -0.253525726 -0.551324498 0.31515 -0.171493944 -0.469292717 0.31461 -0.752962751 -1.050761523 0.31225 -4.379545277 -4.677344049 0.29887 0 -0.297798772 0.29887 0 -0.297798772 0.29887 0.026763909 -0.271034863 0.29895 -0.093705037 -0.391503809 0.29867 -0.090441663 -0.388240435 0.2984 0.8043967874 0.506598015 Приложение 6 (r-<r>)^2 0.0886841 0.0886841 0.0886841 0.0886841 193.57549 0.0886841 9.3585312 0.0886841 0.0942733 72.625313 0.0886841 0.174952 0.1010552 0.0886841 0.178947 0.0886841 0.0886841 15.728529 0.4230283 11.840765 0.0886841 0.0886841 0.0886841 2.5746348 4.839047 124.10193 14.216443 18.742061 0.0033233 2.1249555 0.0685073 52.919627 0.0031298 0.2913284 0.0783481 0.3039587 0.2202357 1.1040998 21.877547 0.0886841 0.0886841 0.0734599 0.1532752 0.1507306 0.2566415 1/14/2009 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 0.30081 0.29937 0.28514 0.26318 0.26167 0.26138 0.25775 0.23578 0.23578 0.24942 0.25779 0.25954 0.25078 0.25024 0.26191 0.27107 0.27107 0.29883 0.30732 0.3063 0.30837 0.31176 0.32822 0.33031 0.3136 0.31502 0.31502 0.30924 0.30924 0.3088 0.3088 0.3088 0.3088 0.3088 0.3088 0.3088 0.31267 0.31272 0.31284 0.30917 0.30779 0.3089 0.3089 0.30914 0.3113 0.32107 0.33347 0.33616 0.33934 0.3633 -0.479856964 -0.777655736 -4.869997884 -5.167796656 -8.0142079 -8.312006673 -0.575404084 -0.873202856 -0.110888072 -0.408686844 -1.398516427 -1.696315199 -8.909095603 -9.206894376 0 -0.297798772 5.6239055629 5.326106791 3.3007077501 3.002908978 0.6765533316 0.378754559 -3.433477255 -3.731276027 -0.215560341 -0.513359113 4.558047594 4.260248822 3.4376156811 3.139816909 0 -0.297798772 9.7497759717 9.451977199 2.8014700174 2.503671245 -0.332453616 -0.630252388 0.6735346854 0.375735913 1.0933300338 0.795531261 5.1450454221 4.84724665 0.6347492194 0.336950447 -5.191331897 -5.489130669 0.4517840397 0.153985267 0 -0.297798772 -1.851845442 -2.149644214 0 -0.297798772 -0.14238563 -0.440184402 0 -0.297798772 0 -0.297798772 0 -0.297798772 0 -0.297798772 0 -0.297798772 0 -0.297798772 1.2454503111 0.947651539 0.0159900223 -0.28180875 0.0383656249 -0.259433147 -1.180059031 -1.477857803 -0.447355518 -0.74515429 0.3599867677 0.062187995 0 -0.297798772 0.07766488 -0.220133892 0.6962828723 0.3984841 3.0902090445 2.792410272 3.7893738395 3.491575067 0.803433081 0.505634309 0.9415317518 0.64373298 6.8226384612 6.524839689 -3.521224254 -3.819023026 0.6047484 26.706122 69.089455 0.7624832 0.1670249 2.8774853 84.766904 0.0886841 28.367414 9.0174623 0.143455 13.922421 0.2635376 18.14972 9.8584502 0.0886841 89.339873 6.2683697 0.3972181 0.1411775 0.63287 23.4958 0.1135356 30.130556 0.0237115 0.0886841 4.6209702 0.0886841 0.1937623 0.0886841 0.0886841 0.0886841 0.0886841 0.0886841 0.0886841 0.8980434 0.0794162 0.0673056 2.1840637 0.5552549 0.0038673 0.0886841 0.0484589 0.1587896 7.7975551 12.191096 0.2556661 0.4143921 42.573533 14.584937 3/27/2009 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 0.35073 0.3473 0.34504 0.33727 0.35268 0.36597 0.36597 0.36653 0.36837 0.36909 0.39355 0.39495 0.38383 0.37237 0.37237 0.36173 0.35168 0.35167 0.35802 0.3615 0.3501 0.33733 0.34467 0.34778 0.36566 0.39624 0.39624 0.39692 0.41239 0.43841 0.4435 0.43076 0.43271 0.45006 0.45803 0.47107 0.48362 0.4747 0.47702 0.47381 0.47279 0.47143 0.4676 0.48013 0.51593 0.53698 0.53005 0.52894 0.52699 0.52705 -0.982773694 -1.280572466 -0.652860741 -0.950659513 -2.277655582 -2.575454355 4.4677333702 4.169934598 3.699023261 3.401224489 0 -0.297798772 0.1529010537 -0.144897719 0.5007494475 0.202950675 0.19526489 -0.102533882 6.4167607848 6.118962013 0.3551050022 0.05730623 -2.855942838 -3.15374161 -3.031176261 -3.328975033 0 -0.297798772 -2.898990644 -3.196789416 -2.817640597 -3.115439369 -0.002843535 -0.300642307 1.7895614892 1.491762717 0.9673190837 0.669520311 -3.204321364 -3.502120136 -3.715714825 -4.013513598 2.1525757826 1.85477701 0.8982658421 0.60046707 5.0133843946 4.715585622 8.031614838 7.733816066 0 -0.297798772 0.1714660766 -0.126332696 3.82347545 3.525676678 6.1185042046 5.820705432 1.1543256157 0.856526843 -2.914671129 -3.212469901 0.4516667203 0.153867948 3.9313149546 3.633516182 1.7553776943 1.457578922 2.8072018779 2.509403106 2.6292771447 2.331478372 -1.861644882 -2.159443654 0.4875393173 0.189740545 -0.675202128 -0.9730009 -0.215508218 -0.51330699 -0.288068658 -0.58586743 -0.81573991 -1.113538682 2.6443670969 2.346568325 7.1914196798 6.893620908 3.9989752503 3.701176478 -1.298950815 -1.596749587 -0.209633784 -0.507432557 -0.369343085 -0.667141857 0.0113847672 -0.286414005 0.9667566468 0.668957875 1.6398658 0.9037535 6.6329651 17.388355 11.568328 0.0886841 0.0209953 0.041189 0.0105132 37.441696 0.003284 9.9460861 11.082075 0.0886841 10.219463 9.7059625 0.0903858 2.225356 0.4482574 12.264845 16.108291 3.4401978 0.3605607 22.236748 59.811911 0.0886841 0.0159599 12.430396 33.880612 0.7336382 10.319963 0.0236753 13.20244 2.1245363 6.2971039 5.4357914 4.6631969 0.0360015 0.9467308 0.2634841 0.3432406 1.2399684 5.5063829 47.522009 13.698707 2.5496092 0.2574878 0.4450783 0.082033 0.4475046 6/9/2009 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 0.53217 0.53357 0.53363 0.54085 0.52036 0.48104 0.47817 0.4609 0.44028 0.43512 0.41909 0.41626 0.41544 0.43008 0.43176 0.43199 0.42249 0.42042 0.41689 0.41689 0.41364 0.39156 0.371 0.38062 0.40464 0.41183 0.42384 0.43928 0.45764 0.45214 0.44596 0.44463 0.47345 0.47174 0.44727 0.44337 0.46253 0.4957 0.49557 0.49557 0.48531 0.47794 0.47794 0.47456 0.47456 0.47456 0.47391 0.47391 0.47391 0.47391 0.2627283963 -0.035070376 0.0112443778 -0.286554394 1.3439261166 1.046127344 -3.862109634 -4.159908407 -7.8570453 -8.154844072 -0.598410893 -0.896209665 -3.678521807 -3.97632058 -4.577021157 -4.874819929 -1.178903304 -1.476702076 -3.753616112 -4.051414884 -0.677562896 -0.975361669 -0.197186549 -0.494985322 3.4633038359 3.165505064 0.3898640416 0.092065269 0.0532561518 -0.24454262 -2.223666195 -2.521464967 -0.491156627 -0.788955399 -0.843181358 -1.14098013 0 -0.297798772 -0.782636771 -1.080435544 -5.485726992 -5.783525765 -5.393669779 -5.691468551 2.5599439481 2.262145176 6.1196280833 5.821829311 1.7612859917 1.463487219 2.8745382685 2.576739496 3.5780997447 3.280300972 4.0945825862 3.796783814 -1.209098245 -1.506897017 -1.376260449 -1.674059221 -0.298678626 -0.596477398 6.2803834793 5.982584707 -0.361832407 -0.65963118 -5.326554725 -5.624353497 -0.875780321 -1.173579094 4.2306783819 3.93287961 6.9259485313 6.628149759 -0.026228979 -0.324027751 0 -0.297798772 -2.092075323 -2.389874095 -1.530266041 -1.828064813 0 -0.297798772 -0.709714265 -1.007513037 0 -0.297798772 0 -0.297798772 -0.13706287 -0.434861642 0 -0.297798772 0 -0.297798772 0 -0.297798772 0.8363150236 0.538516251 0.0012299 0.0821134 1.0943824 17.304838 66.501482 0.8031918 15.811125 23.763869 2.180649 16.413963 0.9513304 0.2450105 10.020422 0.008476 0.0598011 6.3577856 0.6224506 1.3018357 0.0886841 1.167341 33.44917 32.392814 5.1173008 33.893697 2.1417948 6.6395864 10.760374 14.415567 2.2707386 2.8024743 0.3557853 35.79132 0.4351133 31.633352 1.3772879 15.467542 43.932369 0.104994 0.0886841 5.7114982 3.341821 0.0886841 1.0150825 0.0886841 0.0886841 0.1891046 0.0886841 0.0886841 0.0886841 0.2899998 8/19/2009 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 0.47789 0.52624 0.54218 0.54165 0.5469 0.56805 0.59155 0.59726 0.60434 0.61758 0.64079 0.64339 0.65335 0.65575 0.66207 0.67172 0.69545 0.70117 0.70254 0.6987 0.6987 0.69609 0.66475 0.6564 0.65865 0.65146 0.65046 0.66091 0.66654 0.67578 0.67578 0.66122 0.66122 0.65972 0.65552 0.6577 0.66879 0.66879 0.68866 0.70116 0.73761 0.75206 0.75548 0.77631 0.77774 0.7635 0.7635 0.76396 0.75977 0.74766 9.6376801955 9.339881423 2.9840667186 2.686267946 -0.097801324 -0.395600096 0.9645933961 0.666794624 3.7943472663 3.496548494 4.0536767684 3.755877996 0.9606318773 0.662833105 1.1784423992 0.880643627 2.1671661301 1.869367358 3.6893175373 3.391518765 0.4049282114 0.107129439 1.5361901182 1.238391346 0.3666645312 0.068865759 0.9591671781 0.661368406 1.4470296499 1.149230878 3.4717531026 3.17395433 0.8191250279 0.521326256 0.1951970756 -0.102601697 -0.548087353 -0.845886125 0 -0.297798772 -0.374250324 -0.672049096 -4.60679322 -4.904591992 -1.264067091 -1.561865863 0.342192646 0.044393874 -1.097628777 -1.39542755 -0.1536193 -0.451418072 1.5937868343 1.295988062 0.8482479578 0.550449186 1.3767426466 1.078943874 0 -0.297798772 -2.178096576 -2.475895349 0 -0.297798772 -0.227111094 -0.524909867 -0.638668878 -0.93646765 0.3320086509 0.034209879 1.6721209198 1.374322148 0 -0.297798772 2.9277570917 2.629958319 1.7988425932 1.501043821 5.067912328 4.770113556 1.9400878367 1.642289064 0.4537200827 0.15592131 2.7198616119 2.42206284 0.1840353146 -0.113763458 -1.847915343 -2.145714116 0 -0.297798772 0.0602307116 -0.237568061 -0.549967588 -0.84776636 -1.606742672 -1.904541444 -5.900587812 -6.198386584 87.233385 7.2160355 0.1564994 0.4446151 12.225851 14.10662 0.4393477 0.7755332 3.4945343 11.5024 0.0114767 1.5336131 0.0047425 0.4374082 1.3207316 10.073986 0.2717811 0.0105271 0.7155233 0.0886841 0.45165 24.055023 2.439425 0.0019708 1.947218 0.2037783 1.6795851 0.3029943 1.1641199 0.0886841 6.1300578 0.0886841 0.2755304 0.8769717 0.0011703 1.8887614 0.0886841 6.9166808 2.2531326 22.753983 2.6971134 0.0243115 5.8663884 0.0129421 4.6040891 0.0886841 0.0564386 0.7187078 3.6272781 38.419996 10/28/2009 10/29/2009 10/30/2009 0.70482 0.2437366585 -0.054062114 0.0029227 0.70654 12.17287798 11.87507921 141.01751 0.798 _ _ _ дневные показатели ожидаемая доходность, % <r> дисперсия (общий риск), %^2 рыночный риск собственный риск годовые показатели 0.2977987723 74.44969306 9.4326702522 2358.167563 1845.461049 512.7065138 Приложение 7 ОАО "Мосэнерго" Дата 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 Фактическая Рыночная доходность ri = цена W i, руб ln(w1/w0)*100% 22.77951 12.307829454495 25.76301 14.012230318633 29.63814 7.3737676012616 31.90618 0 31.90618 0 31.90618 -4.3479553993268 30.54864 -18.736110262689 25.32923 0.0635821894206 25.34534 0 25.34534 -0.7527071839855 25.15528 -3.1132023197333 24.38421 -3.9173191725837 23.44747 -0.1012988872914 23.42373 0 23.42373 2.1064811387435 23.92238 0.2040773145029 23.97125 0 23.97125 0.0020440944547 23.97174 -11.662609208436 21.33288 0.8477117151547 21.51449 -0.3926919358824 21.43017 -0.1206504249355 21.40433 -1.5573114801693 21.07358 -0.0231596393067 21.0687 0 21.0687 0.0034647954244 21.06943 0.0005220820537 21.06954 -0.1584107767472 21.03619 0.474197619756 21.13618 -0.003595794813 21.13542 0.0910851538851 21.15468 0.003308905731 21.15538 1.2702023402967 21.42581 5.6815116243603 22.678365 -3.1445330245119 21.976332 -0.9696651448611 21.764265 -3.3072926284599 21.05623 1.3792027489771 21.34865 -0.527087356353 21.23642 1.6249492890618 21.58432 0.415502657372 21.67419 0.7770713217613 21.84327 0.4833727058383 21.94911 -2.6786254273447 21.36898 -4.2268417919136 r-<r> (r-<r>)^2 11.87761388 13.58201474 6.943552027 -0.43021557 -0.43021557 -4.77817097 -19.1663258 -0.36663339 -0.43021557 -1.18292276 -3.54341789 -4.34753475 -0.53151446 -0.43021557 1.676265564 -0.22613826 -0.43021557 -0.42817148 -12.0928248 0.417496141 -0.82290751 -0.550866 -1.98752705 -0.45337521 -0.43021557 -0.42675078 -0.42969349 -0.58862635 0.043982045 -0.43381137 -0.33913042 -0.42690667 0.839986766 5.25129605 -3.5747486 -1.39988072 -3.7375082 0.948987174 -0.95730293 1.194733714 -0.01471292 0.346855747 0.053157131 -3.108841 -4.65705737 141.0777115 184.4711245 48.21291475 0.185085441 0.185085441 22.83091786 367.3480461 0.134420039 0.185085441 1.399306253 12.55581037 18.90105838 0.282507623 0.185085441 2.809866241 0.051138513 0.185085441 0.183330816 146.2364112 0.174303027 0.677176771 0.303453349 3.950263794 0.205549085 0.185085441 0.182116228 0.184636498 0.346480982 0.00193442 0.188192304 0.115009442 0.182249304 0.705577767 27.5761102 12.77882755 1.959666029 13.96896757 0.900576657 0.916428902 1.427388648 0.00021647 0.120308909 0.002825681 9.664892376 21.68818332 1/14/2009 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 20.48457 -1.4012582999781 20.19953 -0.0242114147853 20.19464 -8.9923134219233 18.45793 -8.5511841114849 16.94516 2.6930389741349 17.4077 -6.2999774053473 16.34485 -4.7984516267419 15.57907 6.316586730383 16.59488 1.4748895568373 16.84145 0 16.84145 0 16.84145 -8.6423768274354 15.44707 -0.1635303209688 15.42183 -0.0681084936211 15.41133 -0.2146178659047 15.37829 -0.2016560164709 15.34731 0 15.34731 11.790849313202 17.26789 7.7310526293499 18.65584 2.5513518426345 19.13794 0.2744697051447 19.19054 0.0823504241801 19.20635 -14.722958705417 16.57692 -0.4400713851139 16.50413 0 16.50413 0 16.50413 -0.0025448499509 16.50371 0 16.50371 -11.316143993161 14.73792 0 14.73792 -0.1905746952234 14.70986 -0.4003281807204 14.65109 0.0976924335367 14.66541 0 14.66541 0.0692546766064 14.67557 0 14.67557 0.1557159177188 14.69844 0 14.69844 12.027000076307 16.57692 -0.4400713851139 16.50413 -11.586928691194 14.69844 0 14.69844 46.742503423104 23.45694 0.1382429901037 23.48939 0.3810200186449 23.57906 -0.6609418949726 23.42373 0 23.42373 2.1064811387435 23.92238 0.2040773145029 23.97125 -6.6462980402525 -1.83147387 -0.45442699 -9.422529 -8.98139969 2.2628234 -6.73019298 -5.2286672 5.886371156 1.044673982 -0.43021557 -0.43021557 -9.0725924 -0.5937459 -0.49832407 -0.64483344 -0.63187159 -0.43021557 11.36063374 7.300837055 2.121136268 -0.15574587 -0.34786515 -15.1531743 -0.87028696 -0.43021557 -0.43021557 -0.43276042 -0.43021557 -11.7463596 -0.43021557 -0.62079027 -0.83054376 -0.33252314 -0.43021557 -0.3609609 -0.43021557 -0.27449966 -0.43021557 11.5967845 -0.87028696 -12.0171443 -0.43021557 46.31228785 -0.29197258 -0.04919556 -1.09115747 -0.43021557 1.676265564 -0.22613826 -7.07651361 3.354296553 0.206503889 88.78405269 80.66554032 5.120369737 45.29549755 27.3389607 34.64936538 1.091343729 0.185085441 0.185085441 82.31193289 0.352534189 0.248326877 0.415810166 0.399261708 0.185085441 129.0639989 53.3022217 4.499219067 0.024256776 0.121010163 229.6186908 0.757399392 0.185085441 0.185085441 0.187281585 0.185085441 137.9769631 0.185085441 0.385380559 0.68980293 0.110571639 0.185085441 0.13029277 0.185085441 0.075350062 0.185085441 134.4854108 0.757399392 144.4117563 0.185085441 2144.828006 0.08524799 0.002420203 1.190624623 0.185085441 2.809866241 0.051138513 50.07704494 3/27/2009 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 22.42984 -6.2625996610943 21.06823 -0.0209816567924 21.06381 -0.1859416257228 21.02468 0 21.02468 -0.0001426895506 21.02465 3.9079111088508 21.86254 -0.564286762749 21.73952 14.292934400846 25.07976 -6.8311535267818 23.42373 0 23.42373 2.1064811387435 23.92238 0.2040773145029 23.97125 1.092493060057 24.23457 -0.7188684984559 24.06098 4.2227200518371 25.098765 0.5395841799591 25.23456 3.3673320081927 26.09876 7.027956300676 27.99896 0.072619181295 28.0193 -3.7887037077584 26.97759 -4.1753231417816 25.87438 1.7016924199692 26.31845 5.5837174877086 27.8298 3.0383727988868 28.68835 2.268864607153 29.34669 -1.2114304457531 28.99332 7.7067522319895 31.31612 1.691382018075 31.8503 5.8053905253727 33.75406 0.9056438641054 34.06114 -9.3731004624123 31.01361 3.3672593717167 32.0757 1.1539457483805 32.44798 9.6345763370539 35.72976 5.5432950826232 37.76629 2.0685746380872 38.55565 1.0605296324803 38.96672 0.3536505935294 39.10477 -2.4307247940939 38.1657 7.2923541698119 41.05287 -0.0772960836555 41.02115 5.8552453799799 43.49475 11.841282393123 48.96242 7.9236584311498 52.99988 -3.1937517541112 51.33394 -5.1203340508281 48.77163 4.669421686879 51.10299 -5.0268243932736 48.59763 0.4739394496062 48.8285 2.6583510837631 -6.69281524 -0.45119723 -0.6161572 -0.43021557 -0.43035826 3.477695534 -0.99450234 13.86271883 -7.2613691 -0.43021557 1.676265564 -0.22613826 0.662277485 -1.14908407 3.792504477 0.109368605 2.937116434 6.597740726 -0.35759639 -4.21891928 -4.60553872 1.271476845 5.153501913 2.608157224 1.838649033 -1.64164602 7.276536657 1.261166443 5.375174951 0.475428289 -9.80331604 2.937043797 0.723730174 9.204360762 5.113079508 1.638359063 0.630314058 -0.07656498 -2.86094037 6.862138595 -0.50751166 5.425029805 11.41106682 7.493442857 -3.62396733 -5.55054963 4.239206112 -5.45703997 0.043723875 2.228135509 44.79377578 0.203578942 0.379649696 0.185085441 0.185208236 12.09436623 0.989034899 192.1749733 52.72748123 0.185085441 2.809866241 0.051138513 0.438611468 1.320394207 14.38309021 0.011961492 8.626652944 43.53018269 0.127875181 17.79927991 21.21098687 1.616653368 26.55858197 6.802484106 3.380630265 2.695001656 52.94798573 1.590540798 28.89250575 0.226032058 96.10500532 8.626226266 0.523785364 84.72025704 26.14358206 2.684220421 0.397295812 0.005862196 8.184979793 47.0889461 0.257568083 29.43094839 130.2124459 56.15168584 13.1331392 30.80860114 17.97086846 29.77928521 0.001911777 4.964587847 6/9/2009 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 50.14394 -4.011329496784 48.17231 -5.6549328193537 45.52379 -1.2214540492564 44.97112 -1.4036328580857 44.3443 -6.2855212587588 41.64282 1.3226088245215 42.19725 -6.9617684190468 39.3595 -9.7393981546457 35.70688 10.809453851161 39.78293 4.4312420655184 41.58545 -0.729785790865 41.28307 -2.289678221623 40.34856 -1.1348820363666 39.89324 -3.5708397708964 38.49385 -0.9949354074237 38.11276 -1.8701440095445 37.40662 -0.2794047558175 37.30225 0.8168465178826 37.6082 -3.3513872071651 36.36869 0.2693195300301 36.46677 -4.0864819813154 35.0066 -1.1630333304273 34.60182 7.6042352436815 37.33565 -0.334502399319 37.21097 1.3220396469074 37.70618 -0.1249647380765 37.65909 4.4045877151706 39.35489 1.1750066635892 39.82004 0.2890591797584 39.93531 -1.1470986375172 39.47983 3.9444921310253 41.06823 2.7792789588019 42.22564 -1.5527391752483 41.57505 -4.2644608385734 39.83937 2.2678744872748 40.7532 3.8151844695765 42.33805 5.0075078074821 44.51211 2.0314755939056 45.42561 4.1291390414942 47.34056 -0.3523480068684 47.17405 -2.117177824801 46.18579 3.1579327228399 47.66758 -0.0415253075855 47.64779 -2.963814590003 46.25632 4.4451969358066 48.35889 -1.6095081059058 47.58678 -5.3877200551282 45.09078 1.5269999016551 45.7846 -1.2768848140735 45.2037 2.7881250818557 -4.44154507 -6.08514839 -1.65166962 -1.83384843 -6.71573683 0.89239325 -7.39198399 -10.1696137 10.37923828 4.001026491 -1.16000137 -2.7198938 -1.56509761 -4.00105535 -1.42515098 -2.30035958 -0.70962033 0.386630943 -3.78160278 -0.16089604 -4.51669756 -1.59324891 7.174019669 -0.76471797 0.891824072 -0.55518031 3.974372141 0.744791089 -0.14115639 -1.57731421 3.514276556 2.349063384 -1.98295475 -4.69467641 1.837658913 3.384968895 4.577292233 1.601260019 3.698923467 -0.78256358 -2.5473934 2.727717148 -0.47174088 -3.39403016 4.014981361 -2.03972368 -5.81793563 1.096784327 -1.70710039 2.357909507 19.72732262 37.02903098 2.728012546 3.363000074 45.10112122 0.796365712 54.64142736 103.4210434 107.7285872 16.00821298 1.345603168 7.397822263 2.449530532 16.00844388 2.031055322 5.291654216 0.503561013 0.149483486 14.3005196 0.025887537 20.40055681 2.538442073 51.46655821 0.58479358 0.795350176 0.30822518 15.79563391 0.554713766 0.019925128 2.487920124 12.35013971 5.518098783 3.93210954 22.03998662 3.376990279 11.45801442 20.95160418 2.564033649 13.68203481 0.612405759 6.489213131 7.440440841 0.22253946 11.51944076 16.12007533 4.160472693 33.84837499 1.20293586 2.914191737 5.559737244 8/19/2009 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 46.48177 1.707159564152 47.2821 4.1325652393705 49.277 -0.3217215881398 49.11872 -0.8861650588834 48.68537 -1.179041487821 48.11472 0.9285090115355 48.56355 -2.507308857765 47.36105 2.1880628143001 48.40876 1.3867199386144 49.08473 5.0113402941305 51.60721 6.0330581822997 54.81654 -0.9220815455613 54.31341 5.4502116675893 57.35576 1.649072689459 58.30944 -2.6174684065636 56.80301 2.8759600440155 58.46036 -0.2006103911423 58.3432 4.1021456314098 60.78629 2.329100607745 62.21868 -3.4231377298632 60.12489 -2.8564321276799 58.43176 -4.2207753363619 56.01681 3.5739701818536 58.05504 4.7893207240462 60.90314 -1.2661602342821 60.13687 -2.0320007855065 58.92722 0.9839394103101 59.50989 1.9443785844514 60.67831 -0.0852397464676 60.62661 -0.8177790670425 60.13284 -4.0225687408782 57.76196 1.1932445284232 58.45533 2.730560678516 60.07348 3.5741530219517 62.25943 4.3288314729359 65.01372 2.8489276148894 66.89255 4.5303635946976 69.99272 -0.2374635313695 69.82671 1.9105642818499 71.17362 -3.0554831290307 69.03181 -3.413085257405 66.71545 -0.0079145219678 66.71017 3.8617076708631 69.33671 -1.1701281037504 68.53011 1.3529807590723 69.46361 0.7307149594228 69.97305 0.2421142793377 70.14267 -2.8772758240585 68.15323 -2.1736074967286 66.68783 -1.9009819428057 1.27694399 3.702349665 -0.75193716 -1.31638063 -1.60925706 0.498293437 -2.93752443 1.75784724 0.956504364 4.58112472 5.602842608 -1.35229712 5.019996093 1.218857115 -3.04768398 2.445744469 -0.63082597 3.671930057 1.898885033 -3.8533533 -3.2866477 -4.65099091 3.143754607 4.359105149 -1.69637581 -2.46221636 0.553723836 1.51416301 -0.51545532 -1.24799464 -4.45278432 0.763028954 2.300345104 3.143937447 3.898615898 2.41871204 4.10014802 -0.66767911 1.480348707 -3.4856987 -3.84330083 -0.4381301 3.431492096 -1.60034368 0.922765184 0.300499385 -0.1881013 -3.3074914 -2.60382307 -2.33119752 1.630585952 13.70739304 0.565409497 1.732857972 2.589708293 0.248296349 8.629049791 3.090026918 0.914900598 20.9867037 31.39184529 1.828707501 25.20036077 1.485612666 9.288377649 5.98166601 0.397941399 13.48307034 3.605764369 14.84833169 10.80205312 21.63171645 9.88319303 19.0017977 2.877690885 6.062509404 0.306610086 2.29268962 0.265694188 1.557490626 19.82728816 0.582213184 5.291587597 9.884342673 15.19920592 5.850167934 16.81121379 0.445795389 2.191432295 12.15009545 14.77096129 0.191957982 11.77513801 2.561099889 0.851495586 0.09029988 0.035382097 10.93949935 6.779894587 5.434481865 10/28/2009 10/29/2009 10/30/2009 ожидаемая доходность, % 65.43208 0.7481258939269 0.317910319 0.101066971 65.92343 0 -0.43021557 0.185085441 65.92343 _ _ _ дневные годовые показатели показатели <r> дисперсия (общий риск), %^2 рыночный риск собственный риск 0.4302155746249 107.5538937 27.15143450776 6787.858627 233.2402515 6554.618375 Приложение 7 Бета-коэффициент Ковариация акции и ИНДЕКСА РТС (ri - <ri>)*(rI - <rI>) ВолгаТелек ом 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 Газпром 39.7530508 14.07027197 7.30037892 83.70208135 29.366076 1.179766884 35.0587994 56.6647889 7.8965159 122.8392429 65.6311938 162.9618107 72.4187287 26.6760696 52.8489484 49.46268114 51.3879761 93.86737587 10.9769752 4.533476632 -1.5071059 -0.13862789 10.8562813 63.34388332 9.68986695 12.65365958 -7.1613593 4.753013426 63.7910981 209.9646481 -4.4244105 8.499935964 -2.2263327 2.460339129 1.79871268 -1.85176028 4.5048262 13.53035635 0.36321823 8.104382138 5.56881388 -3.917047 5.25386333 1.551827652 13.0859677 4.423569276 6.90478353 53.39593852 3.42859357 -1.53760404 0.94627748 -1.35544396 0.52343312 -0.22201804 -3.2960247 7.929942019 39.1549515 33.01165422 1.12668574 -0.04957852 -0.2298094 -1.42854853 6.01923807 16.60497277 0.83008727 57.22688176 -31.307351 13.50873276 13.172631 19.03689065 -10.242143 -2.50720978 -3.1344449 3.062638535 1.11444659 1.031400481 -0.0127661 1.685170416 1.98884089 2.987251977 -0.1248365 0.371410341 0.1541033 -2.86010911 0.26428083 0.633241311 2.6507797 0.846765375 Уралсвязь Мосэнерго Татнефть Лукойл Холдинг МРСК -0.93770813 37.4002049 48.3778 13.34001 30.91908 2.000531636 -91.2403029 83.30134 75.49641 16.05125 0.717022987 -16.7182906 4.421932 -1.447936 5.494687 -1.90527262 -2.7524558 -2.849206 7.117022 12.91364 159.8868064 4.94394438 107.5559 15.33923 19.44153 4.049168046 64.9687609 17.39914 118.1601 25.60122 7.971637106 49.9439101 61.94331 34.74117 31.05758 -1.07366939 -1.3218424 0.296879 24.32148 -31.29711 1.955169673 2.73953049 1.569298 59.68614 -14.38713 7.155888081 0.99328967 1.123728 9.03486 1.887274 -0.1386335 -1.64955829 -2.908727 2.509742 3.481097 3.293790533 34.2357282 44.11083 36.28897 7.043181 -0.99063354 -1.65633696 20.85987 18.04502 -10.59096 -2.15221272 -3.10919829 45.37645 17.35214 35.09984 4.25614748 16.8654247 40.02721 99.95951 160.5136 1.556377204 1.18185992 1.368513 5.810975 -8.616922 -0.630557 -0.9109354 11.22834 -7.666829 0.186137 -10.3598127 1.1184732 -2.7697 2.111589 0.500614 -2.78916539 51.8581838 -28.29562 14.50301 62.32392 -8.19968216 -0.99485457 13.07062 10.42555 0.286689 0.790558236 2.18455001 6.199971 0.016471 0.508752 0.229402732 0.4243475 1.235106 -0.033349 -0.016025 0.571726012 3.81573406 0.502715 -1.304206 1.376615 -10.8072586 -3.05362354 8.110539 36.22919 1.979037 2.8905401 -0.5653081 4.300723 7.986419 -0.248373 -22.0499425 -0.84468058 23.26575 0.45025 0.102273 7.252363067 -0.82649996 4.026002 9.65756 0.692833 -12.7412531 1.73238004 11.88742 5.298006 0.564026 0.305647477 0.23319027 5.184731 55.97522 17.62521 -0.56680715 0.16867912 -0.467741 -0.357362 -1.407617 -0.39461681 -0.51129794 -0.060105 -0.627833 3.352752 35.08543337 2.05897654 16.51705 23.24977 27.98912 -0.30466552 -4.57441639 60.23767 49.44121 44.43248 1.803539858 17.5469169 2.159047 4.584713 7.046927 0.99528789 -12.7110104 18.48546 25.21492 15.48223 1.313257203 3.33452158 -8.944679 -9.643163 -3.192545 0.9354092 7.44972047 -0.219658 12.88228 -1.215793 2.069712966 -1.86924532 0.515778 5.092616 0.377487 2.174930176 0.44513874 0.145136 -1.102772 0.104584 0.880258481 -3.53149369 0.984622 11.18394 2.930588 -0.24389567 -0.0120498 -0.30824 -0.329101 -0.156956 0.27401642 -0.35067138 2.112613 -2.630758 4.464423 -0.08224456 0.0111669 0.503392 0.802227 -0.891059 0.608793669 4.87492427 -2.742912 -5.483106 12.01177 1/13/2009 1/14/2009 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 33.2588294 -1.94308784 25.6027216 27.31301868 0.09510936 -1.47970104 11.9555526 4.661890852 59.5065514 13.31194373 -2.2662175 7.31818736 -0.1249744 -2.36641523 26.4286953 7.843072015 -18.944004 2.338836632 -2.0785244 5.215734424 0.19127188 -0.07261703 -5.2368807 3.906990102 11.3974112 1.809967427 34.3525344 0.466070679 0.12064121 0.563583662 0.22104079 0.120802659 -0.2701657 -0.13438159 -0.181335 0.67350261 58.6167304 50.4604682 55.2745927 18.89517161 29.8017603 0.97590144 -13.114345 -0.33537567 2.13906348 -1.0507111 -0.4418371 1.914647181 195.921638 84.89225683 64.6187674 44.9613227 24.1783435 18.11803777 -4.0771545 -1.40524855 -0.5346496 -0.58697548 -0.3529197 -2.10219511 -0.5588207 4.894129699 0.4928817 -0.73931847 0.1567939 0.768824382 0.01321839 -0.03121318 1.34406257 -4.16986728 0.13474792 1.081759437 -0.432466 0.424010208 26.254819 86.83452639 0.20879294 -3.22610644 -0.8261364 5.182843626 53.6622338 34.75653576 -0.8679069 3.494233237 11.298507 -0.17463432 8.19676143 3.599907192 24.8100989 12.32324393 0.87387377 -0.11688928 68.166481 21.07643339 19.8709546 -2.50841149 -2.58577199 23.7705007 -7.264163 -24.49649 0.978188 3.141868801 7.39948329 39.17522 48.96903 13.43664 3.224542895 0.28354818 -0.037589 -2.763312 0.912871 54.90192287 62.2370723 -8.909933 44.72942 1.101612 3.084050688 31.7212566 17.68028 6.338603 10.59493 -1.15076158 6.37155385 3.075966 12.66734 4.259152 5.087598237 20.1852332 -2.966892 -9.268664 -5.075623 33.38148727 18.9576073 9.736692 21.26823 1.419649 -2.30248402 45.5115225 42.75666 34.36495 4.843099 6.391135619 1.25357102 2.073306 10.87399 4.024419 -0.98821981 0.14157857 0.27966 0.089837 -0.206085 -1.18315623 1.34391052 13.88859 7.194076 0.598659 -2.25468512 -5.48226369 0.68141 2.893173 1.174759 2.744931871 3.17476011 2.025789 13.8918 -4.202427 2.519110285 -0.29466196 -0.15053 0.317733 -0.11332 0.898886528 -0.18460697 0.588183 -0.093544 0.402848 0.165144466 0.35040472 0.53243 0.15868 -0.326527 12.25504665 -0.5577999 -1.092181 -0.624474 5.102704 21.64353986 98.2095112 4.401781 26.44047 57.26047 -3.49516497 40.4879543 35.69191 34.8356 43.00157 1.00951116 5.69897808 13.80816 5.401763 24.41148 -1.34630099 0.26357332 -4.395615 -2.119905 -8.618316 8.992470925 -0.6453493 1.348295 -4.957005 0.346954 -0.88488701 39.7947153 1.089838 1.394706 2.814063 55.34511089 8.77481904 63.17455 74.45898 49.79395 -0.82715656 2.31097195 58.06591 39.85203 66.66405 -1.32196395 -1.90977779 11.18273 10.88393 -10.11687 13.35241222 2.68807068 -5.204475 6.231238 9.458526 -0.3644265 -0.52646945 -2.925318 -2.243957 -1.701225 -1.01917799 -27.1968545 1.54757 -0.812045 3.554919 -0.45529936 -0.6577491 8.85022 0.304337 5.511883 0.224566539 0.46813061 -1.695634 -1.977821 -2.849874 0.348871832 0.9729836 1.124424 0.038891 -0.355474 -0.01294902 -0.01445892 -0.048834 -0.008153 0.057306 -1.13187858 -1.63517059 12.71132 5.695965 21.14922 0.26325975 0.31909626 -1.470892 -0.594616 -4.500375 2.68868617 -1.22061182 2.772204 1.586035 19.31868 -2.66626406 -2.59711087 104.7065 92.95482 71.65462 0.355370006 0.58930677 -3.442644 -3.790402 -1.228302 2.366463519 -18.5696942 7.879628 8.892097 3.488165 -3.78262515 -4.41783586 42.21074 42.15832 -1.898148 -0.06071451 11.7324101 2.583716 2.76544 -0.059968 -0.75524374 -1.09106433 8.043021 -2.59973 -1.261346 0.546703449 -115.016762 -2.5325 10.81785 0.475949 2.52790315 -1.85221547 -4.339388 18.04632 -0.188321 0.312000696 -0.0054967 0.029432 -0.017533 -0.154392 18.87501137 -5.8986587 9.979509 20.63882 -3.729803 -1.18425708 1.00761723 -0.559987 4.081606 -2.165302 3/24/2009 3/25/2009 3/26/2009 3/27/2009 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 -23.281168 2.044700752 5.08125848 2.061534938 -11.93187 3.748403305 26.4681396 32.06774855 -2.9329398 -0.5748647 0.68776609 0.056536084 18.6668061 39.0037883 10.2856732 4.231461302 0.30534703 0.133687616 0.6850006 5.04493921 -2.167272 -3.84831478 51.7910352 23.05332795 2.88904024 1.951130094 -3.2165925 -0.47145353 0.77547653 0.52858412 2.90075218 0.237803604 -0.2430096 -2.13763908 -0.341706 -0.61671128 3.2024438 15.1012633 10.85829 11.61480468 -0.834392 1.302163475 24.6450204 28.40433367 -1.050915 3.847707436 7.71717089 9.112437194 5.93603452 11.39809381 13.0114457 9.006210541 9.12626298 8.782994823 6.40901098 3.728587142 3.47459487 4.359408445 4.19476424 14.40967326 38.9637658 26.8223534 0.40872853 1.090968995 25.8716892 8.641377552 10.2920291 5.345606906 12.6983323 13.47006697 0.01466309 0.306488931 -0.2731999 -0.05298246 16.8638171 17.75055708 28.5473139 8.88718045 0.71874449 3.461740577 -0.4044761 -1.15538367 -0.6272174 -0.44827722 16.1689936 8.705100412 18.8248 15.97040329 1.48172624 -1.38860687 7.25668462 7.616670732 30.5396813 38.76985264 0.2924179 0.707403029 1.563710783 4.07186616 -0.70525 4.617772 -4.612582 8.842549676 -0.30646558 2.673388 3.575944 -1.305608 17.11482494 31.7131609 -1.037208 -0.238857 1.134349 7.248027732 37.8812693 44.48057 26.21489 58.10361 -0.73107494 -0.34697911 -3.728385 -0.144187 -0.147378 2.08459611 0.49872323 0.039796 1.670652 0.780748 27.58353935 -2.84581639 52.08426 10.17917 -1.311725 4.846813623 -0.61326922 5.30577 2.652922 -0.273097 -0.04061207 0.47426801 0.544734 0.442382 -0.026135 0.189067579 1.29766121 6.104945 4.250963 0.119076 0.50117096 34.2329095 -5.063765 10.9435 -0.271284 -0.63531517 -44.9925222 34.33796 61.46135 -1.187456 3.606581944 -0.25357368 1.103713 1.499035 -0.117009 -0.03128712 -0.9151802 -0.730335 -0.452704 0.104631 3.407873304 0.24436071 0.472204 5.253135 -6.65385 1.426000861 -0.28369341 0.70979 1.766529 -1.129857 -0.44015361 -1.69837337 -2.342975 -0.884998 -0.516244 -5.13366602 6.09031401 -0.386062 -1.860167 0.283823 13.75648798 -0.4829264 -2.996769 2.941517 0.846221 1.016651622 -9.932149 5.843654 13.34881 2.231413 1.577493536 6.97690942 -0.751745 1.483726 -0.489685 2.825802191 -1.50928456 7.96015 7.896665 6.814416 -3.80451575 -4.58320795 -1.148119 0.759215 -0.688943 14.71298401 16.883266 17.36953 11.08251 9.988222 -4.86815492 -3.3371916 14.14508 7.077018 8.600318 2.185364304 18.7558647 11.59966 9.652739 8.475108 9.363961805 5.17914138 15.07172 6.914496 7.863321 19.26127358 4.57920407 -0.499238 0.277628 -2.013589 -0.48603479 -2.67931621 0.011215 -0.410371 -0.764757 -0.33803757 19.4703578 -0.923254 2.260456 0.791328 16.59360198 5.93568155 25.32815 23.98111 7.781921 -3.72438362 -3.43931054 2.518296 0.270552 -1.664356 3.531389227 1.96015146 4.819186 1.498443 8.542178 11.44032433 34.9118026 3.796441 6.479236 2.846644 -0.28480528 -5.43638608 12.25935 10.03501 -0.510491 0.854278663 0.17015673 -0.081963 -0.027378 -0.353216 0.218872018 1.38213923 -0.153662 -0.337708 -0.715892 7.159664354 14.5883031 14.17191 12.95863 6.873043 12.40569229 8.7176354 7.648388 1.103203 3.250451 5.27765324 -1.54047966 2.192543 1.844644 6.31056 0.1863324 -0.07518971 0.700397 -0.086435 0.638668 -0.23137608 -0.68032123 -0.385982 -0.488538 -0.684885 1.522008057 -20.3469472 6.186614 4.077918 8.939769 -2.2269575 -1.92911713 16.43538 8.423025 11.31762 -2.21692147 10.8005813 8.018937 -0.839454 4.718652 6.928485442 33.6923538 9.981364 12.43037 6.91278 47.37985027 51.502426 44.7466 41.83316 18.74928 3.364651024 -3.29446203 0.105823 -0.396102 -1.091347 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 6/10/2009 6/11/2009 6/15/2009 6/16/2009 6/17/2009 6/18/2009 6/19/2009 6/22/2009 6/23/2009 6/24/2009 6/25/2009 6/26/2009 6/29/2009 6/30/2009 7/1/2009 7/2/2009 7/3/2009 7/6/2009 7/7/2009 7/8/2009 7/9/2009 7/10/2009 7/13/2009 7/14/2009 7/15/2009 7/16/2009 7/17/2009 7/20/2009 7/21/2009 7/22/2009 7/23/2009 7/24/2009 7/27/2009 7/28/2009 7/29/2009 7/30/2009 7/31/2009 8/3/2009 8/4/2009 8/5/2009 8/6/2009 8/7/2009 15.9584763 14.93882867 11.4960741 8.013372681 5.28574029 10.30544602 27.5907075 17.37886053 -1.1067519 0.546746872 4.15870881 3.363874556 0.88102558 -0.04405099 8.29928028 18.08541312 -0.3844125 -0.10521398 17.7346285 19.25029342 36.7051499 24.69812471 -1.6351411 2.231078024 31.6438128 14.64657286 20.0726432 19.30407125 7.94477101 0.713899281 -2.3272201 -0.6459863 3.19401895 0.929280406 -0.7992402 -0.31032016 12.1090527 16.56219534 3.17722199 -0.42697586 -1.1852316 1.590987225 4.11146177 3.990855576 16.2326641 18.19583368 0.04734918 0.028414343 19.6482633 18.70357771 -1.5328471 0.454731048 13.9645603 22.70031424 0.54697506 0.166946313 11.3991691 8.104690592 9.24490613 4.539873089 1.96899321 4.298207731 8.82687561 5.395876208 36.8483595 26.80592747 0.8861411 1.881075248 8.76761939 3.557378924 2.04013444 1.303725743 10.5790771 11.16164526 1.03025358 -0.20413137 11.6283679 12.35797901 16.0067887 14.46905084 3.22742099 6.012418682 4.00346882 3.276428389 27.6444668 20.23868489 0.11504048 -0.21483144 4.28190806 3.909844077 -0.3399684 0.383613525 1.31953843 0.922589311 -3.2075412 -1.89478405 7.668546859 26.6570602 15.39322 9.555261 14.0438 0.961666603 -8.03397986 6.851582 3.055603 0.550317 -2.29505414 -18.7729222 3.989819 10.39555 3.747627 1.418694052 -0.2165774 33.03975 21.56734 14.24508 0.383139044 1.2761427 1.496344 1.280224 -0.21467 -0.04456349 -5.64381664 0.590485 -0.427584 -0.214262 -0.07839316 -1.66472407 -0.184346 -0.576209 0.268764 -4.97203612 7.85005867 23.58353 22.78501 13.99863 -1.05976935 -0.4671873 -0.312589 0.054395 -0.517318 35.39041205 29.144971 9.451779 13.26645 6.95853 3.774418202 -3.75834523 24.01688 12.80937 5.246787 -4.58727217 -8.52774362 2.743874 -0.156755 -2.794249 25.9130501 54.0585527 20.96764 26.06196 -11.74097 4.724190849 -33.2047359 14.32322 14.57587 8.123072 -10.4730315 10.342776 5.657962 4.472571 -6.489876 1.397953055 1.66259092 2.268329 0.536217 3.436697 -0.30849629 -1.69515564 1.333561 1.197158 -0.604744 -1.99007146 0.98393654 1.534668 1.816394 0.243521 0.318460212 -13.8399306 13.7838 14.27611 6.318753 0.277407676 1.61668269 3.920828 2.674793 1.386201 5.077710439 4.6324498 2.157935 2.323003 0.910335 1.009839849 0.90829328 2.481188 2.952695 2.603639 3.751414433 -1.27119909 7.328044 9.770026 10.17955 -0.02357056 -0.29931115 0.04507 0.042457 -0.004833 4.318507935 0.64310254 18.47595 11.70677 10.08003 4.36373488 3.40789883 -0.173036 -1.407047 0.907569 34.10024354 9.54589755 7.740271 16.32196 24.85195 -0.3725967 -1.18162887 -0.342667 -0.277511 -0.213199 19.94317596 -2.61960705 3.608941 16.03864 10.66547 3.246167341 1.97815884 2.869878 4.564053 -0.434788 3.883780846 -0.83679342 0.410314 2.540856 1.749575 7.123027393 8.63017201 3.472581 2.041745 6.183381 18.1406498 3.55853664 12.976 8.803169 16.14677 -2.04821121 -0.19186322 2.544172 2.231229 1.693476 4.579409719 4.31476255 4.888718 5.579412 2.636829 -0.66828917 3.93737128 2.123085 0.695829 0.088365 20.80309398 8.16834007 9.742984 10.77191 15.0502 -1.46946068 -4.41742919 3.370803 2.997836 5.958804 20.93584894 17.4752594 7.767188 15.5907 8.471051 3.57592027 -5.5993855 6.944915 10.5897 1.284454 10.13387987 8.72207429 5.548604 6.220942 5.131215 9.225087037 6.37069481 1.891072 3.550823 1.231438 -1.50180072 7.42150461 16.56513 13.901 17.65572 -0.11837981 1.47038165 -0.0421 -0.35163 0.160411 -3.8549266 -1.2622946 4.838682 2.738791 5.726009 2.141785232 2.98456024 1.776546 1.758988 0.255568 0.164712514 -1.50870047 0.865387 0.584206 1.57199 1.61512623 0.75623942 -1.954313 0.344836 2.947643 8/10/2009 8/11/2009 8/12/2009 8/13/2009 8/14/2009 8/17/2009 8/18/2009 8/19/2009 8/20/2009 8/21/2009 8/24/2009 8/25/2009 8/26/2009 8/27/2009 8/28/2009 8/31/2009 9/1/2009 9/2/2009 9/3/2009 9/4/2009 9/7/2009 9/8/2009 9/9/2009 9/10/2009 9/11/2009 9/14/2009 9/15/2009 9/16/2009 9/17/2009 9/18/2009 9/21/2009 9/22/2009 9/23/2009 9/24/2009 9/25/2009 9/28/2009 9/29/2009 9/30/2009 10/1/2009 10/2/2009 10/5/2009 10/6/2009 10/7/2009 10/8/2009 10/9/2009 10/12/2009 10/13/2009 10/14/2009 5.32569293 4.319497403 3.09162939 4.420257503 13.0266234 8.586765259 -0.1230414 -0.21147629 31.7975578 39.61007469 -0.135762 0.695534091 0.96936116 2.656453955 4.59381898 7.76504627 0.71660085 4.612431191 14.5357778 25.54082885 -0.4290619 0.12414937 2.91690319 2.173647361 0.29624086 0.354717521 3.20183749 0.839645507 4.17529988 6.474200357 0.03628225 0.20575876 5.9844809 6.213522364 0.8688835 0.496352854 0.65659564 1.067448133 0.44048888 1.861161162 7.56335956 9.823091715 -0.3099521 2.796485088 -0.0437463 0.397886752 0.5586379 2.15486093 0.43938154 1.012308139 7.26747794 6.835493969 5.13322569 4.801069767 -3.5805649 -0.8379253 0.09183532 -1.26680652 4.90280613 4.229357861 4.97482365 5.929561776 0.62026406 0.297656372 3.07639975 2.852604688 2.80277043 2.635744551 1.83799947 -1.0875316 0.44341933 1.027147552 -0.479812 0.807225901 -0.7470524 -0.15780364 16.748821 14.62305614 0.0121036 -0.00747988 7.33047276 4.780523947 1.49572629 1.100015436 9.16988647 2.49946885 0.63589017 2.569703385 16.7760308 19.39225193 0.22203128 -3.09308106 5.59749544 9.787118466 0.34461606 -0.04349265 0.954273984 10.8759169 1.522888 4.052795 7.299242 0.311385039 -4.19815407 6.011836 4.290334 4.137781 -1.14027099 -5.3484546 9.868372 8.086725 8.074523 -0.08810011 -1.72116474 -0.64828 -0.508077 0.047055 1.624253226 -5.98207799 36.62709 28.65485 30.47081 0.188700994 1.08170876 0.172241 0.084114 0.567239 -0.54237004 -2.37478343 2.075173 2.987964 0.503405 21.18262933 2.89607865 5.26206 7.58104 7.82916 7.730061521 10.6539598 4.279324 10.29838 3.474565 -1.52423231 -2.89718565 28.13061 17.58157 21.54802 0.407359031 -0.80420495 1.021091 0.375306 1.823313 -10.6928386 4.92128909 1.383346 2.805597 1.862722 -1.33640575 -0.17730134 0.723786 0.518902 0.221124 1.024986387 -4.54250479 0.492742 1.699996 2.878007 -2.05839249 -4.10874438 5.828424 3.353509 4.764419 0.845659256 0.43270081 0.47359 0.311681 -0.882965 -7.23526534 -9.77310025 5.629581 4.9419 7.815177 0.187797165 9.82174428 3.934912 1.76042 -0.197034 -1.47459364 1.61022503 1.49707 3.210337 1.075549 0.173746076 12.6652873 1.252735 -3.230127 -1.635625 2.407099345 4.43612083 12.97298 10.2901 8.813171 2.147351555 -5.69463375 1.967018 5.880868 5.33033 0.414712184 0.31956352 -0.111264 0.242253 0.155093 1.338990932 -1.62023347 2.795609 1.560696 -1.849658 0.041651084 -1.49061734 0.727044 0.939781 -0.428143 -1.92920581 4.33077211 8.911769 6.139941 6.035957 -0.479235 -6.20103895 7.607865 2.251822 3.356134 0.976513594 4.77562752 1.274357 1.977056 2.582097 -4.57275617 -4.33631328 -0.398696 -2.217899 -1.807242 4.778663007 -9.61858774 4.864006 6.779076 8.881028 0.129905513 12.7556291 4.133916 3.474711 -2.512324 -0.28304161 -0.34408447 -0.004193 -0.063563 -0.334905 0.531744516 2.9003492 1.582748 2.567858 2.050503 -2.05188042 -0.87668639 3.743638 2.558926 4.891319 0.927370838 2.55099046 1.201714 0.302554 -1.145532 0.790550403 -0.37767804 1.011746 2.14609 2.193225 0.205629843 0.86173942 -0.210569 0.059526 -1.088712 -1.90112108 -3.41907914 0.81337 1.540203 0.065982 1.067843701 -2.73606118 19.92246 14.23353 15.20316 0.00800582 -0.0350844 -0.000812 -0.006661 0.018376 -3.06073981 10.275608 7.143275 7.431322 9.743064 0.037584962 4.28324614 4.436317 2.982394 3.187293 4.6978473 8.26788672 5.692016 8.363905 6.564409 -0.75525933 10.3985487 0.941615 10.33852 2.559146 9.958395886 -2.52818184 16.18701 21.34854 9.675451 -3.29213632 -3.24674715 5.351013 4.694946 1.196982 12.83894015 -9.38188924 -2.3337 2.745078 5.631156 -1.13219816 2.64958113 0.71981 0.114953 0.252893 10/15/2009 10/16/2009 10/19/2009 10/20/2009 10/21/2009 10/22/2009 10/23/2009 10/26/2009 10/27/2009 10/28/2009 10/29/2009 10/30/2009 βiI 3.30777913 4.194636434 0.02661638 -1.75066358 1.74307089 1.259919255 0.12394796 0.356984716 -0.3113357 0.080781769 0.88697474 0.63032844 -1.1546825 0.352141091 12.0800531 12.14972805 13.8856521 16.14402814 -1.4097009 -0.68902431 -3.1585318 -1.02308229 _ _ -0.31434742 0.88329853 -1.812677 0.24096 0.009663 3.699280472 5.24100841 -2.623486 -0.416356 0.034383 -0.07699132 -1.08305934 0.804659 0.058779 0.654337 0.376844766 -0.16206224 0.323353 0.570906 0.211884 0.027621094 -0.02787158 -0.02321 0.000927 -0.048132 -0.16169884 -0.12802968 0.502192 0.616458 -0.018364 -0.67380213 -2.62878413 -0.907688 -0.804968 0.028843 7.601676527 10.3927488 11.63568 13.55956 11.96602 24.64127626 9.26752168 9.54939 11.9664 15.72767 -0.0216731 0.12744788 -1.622548 -0.934612 -1.277094 -27.4348025 0.99392005 -2.027188 -0.849189 1.246993 _ _ _ _ _ 0.79273347 0.891279695 0.311751005 0.28182305 0.694195 0.763735 0.503965 Приложение 8 Индекс РТС Дата Значение индекса Фактическая доходность rI = ln(w1/w0)*100% r-<r> (r-<r>)^2 11/1/2008 11/5/2008 11/6/2008 11/7/2008 11/10/2008 11/11/2008 11/12/2008 11/13/2008 11/14/2008 11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008 11/24/2008 11/25/2008 11/26/2008 11/27/2008 11/28/2008 12/1/2008 12/2/2008 12/3/2008 12/4/2008 12/5/2008 12/8/2008 12/9/2008 12/10/2008 12/11/2008 12/12/2008 12/15/2008 12/16/2008 12/17/2008 12/18/2008 12/19/2008 12/22/2008 12/23/2008 12/24/2008 12/25/2008 12/26/2008 12/29/2008 12/30/2008 12/31/2008 1/11/2009 1/12/2009 1/13/2009 1/14/2009 802.39 829.8 777.52 760.62 812.58 725.89 634.94 619.91 644.02 605.56 601.76 605.84 561.14 580.12 624.91 692.51 658.63 674.14 658.14 631.84 618.26 603.33 599.96 589.79 632.21 641.92 656.13 670.28 652.21 689.17 687.94 699.86 668.31 634.22 657.15 682.37 667.71 655.91 644.47 642.83 625.42 631.89 626.85 629.49 621 591.34 3.35899339408642 -6.50753407035524 -2.19754770165248 6.60804807166447 -11.2815882701634 -13.3867981954276 -2.39562000275304 3.81554753108555 -6.15761317790722 -0.629495502165167 0.675723008354097 -7.66454960491811 3.3264549935663 7.43726606753567 10.2715039023038 -5.01607583164569 2.32758844020492 -2.4020129824739 -4.07814771129585 -2.17271165810071 -2.4444770242711 -0.560132438746244 -1.7096444989685 6.94550760981277 1.52420678979146 2.18952547090546 2.13365954899528 -2.73289395748249 5.51213790197123 -0.178635014934491 1.71786902126718 -4.61281772958455 -5.23562403447626 3.55164055278876 3.7659729797728 -2.17180851880912 -1.78303631276279 -1.75953108255666 -0.254796999496699 -2.74568795439872 1.02919043198716 -0.800805080334269 0.420269017267914 -1.35788858012345 -4.89399338384552 -3.82998398948785 3.1487978351 -6.7177296294 -2.4077432607 6.3978525126 -11.491783829 -13.596993754 -2.6058155618 3.6053519721 -6.3678087369 -0.8396910612 0.4655274493 -7.8747451639 3.1162594346 7.2270705085 10.061308343 -5.2262713907 2.1173928812 -2.6122085415 -4.2883432703 -2.3829072171 -2.6546725833 -0.7703279978 -1.919840058 6.7353120508 1.3140112308 1.9793299119 1.92346399 -2.9430895165 5.301942343 -0.388830574 1.5076734623 -4.8230132886 -5.4458195935 3.3414449938 3.5557774208 -2.3820040778 -1.9932318718 -1.9697266416 -0.4649925585 -2.9558835134 0.818994873 -1.0110006394 0.2100734583 -1.5680841391 -5.1041889429 -4.0401795485 9.9149278061429 45.127891373335 5.7972276092955 40.9325167736 132.0610955766 184.87823915838 6.7902747419588 12.998562842504 40.548988110038 0.7050810782279 0.216715806087 62.011611396907 9.7110728634225 52.230548135112 101.22992557871 27.313912648851 4.4833526133087 6.8236334642338 18.389888004031 5.6782468053879 7.0472865244573 0.5934052241367 3.6857858482427 45.364428421606 1.7266255146035 3.9177469000996 3.6997137207462 8.6617759021245 28.11059260802 0.1511892152388 2.2730792687759 23.26145718202 29.656951044867 11.165254646408 12.643553065963 5.6739434267764 3.9729732946756 3.8798230425219 0.2162180794724 8.7372473448782 0.6707526019527 1.0221222927671 0.0441308578618 2.4588878674214 26.052744764432 16.323050784151 1/15/2009 1/16/2009 1/19/2009 1/20/2009 1/21/2009 1/22/2009 1/23/2009 1/26/2009 1/27/2009 1/28/2009 1/29/2009 1/30/2009 2/2/2009 2/3/2009 2/4/2009 2/5/2009 2/6/2009 2/9/2009 2/10/2009 2/11/2009 2/12/2009 2/13/2009 2/16/2009 2/17/2009 2/18/2009 2/19/2009 2/20/2009 2/24/2009 2/25/2009 2/26/2009 2/27/2009 3/2/2009 3/3/2009 3/4/2009 3/5/2009 3/6/2009 3/10/2009 3/11/2009 3/12/2009 3/13/2009 3/16/2009 3/17/2009 3/18/2009 3/19/2009 3/20/2009 3/23/2009 3/24/2009 3/25/2009 3/26/2009 3/27/2009 569.12 566.77 531.66 514.29 530.09 515.51 498.2 539.38 547.04 546.39 530.7 535.04 508.25 512.34 514.89 513.12 520.91 569.14 602.86 620.58 611.45 624.21 609.31 552.03 524.26 549.21 517.22 524.69 538.11 547.55 544.58 539.37 540.74 562.87 559.09 576.39 634.92 627.6 618.93 652.53 647.55 665.58 650.62 694.69 696.93 737.19 721.64 740.94 752.63 721.16 -0.413773050704747 -6.39493904058317 -3.32168785997667 3.02594947631127 -2.78901015396536 -3.41550990828784 7.94187289550588 1.41015941078522 -0.118891941242906 -2.91361166447127 0.814462062243271 -5.13680579478261 0.801501463911392 0.496481846908692 -0.344354967181192 1.50675461647451 8.85491674466638 5.75585477437529 2.89695273177608 -1.48213389823884 2.06536645792212 -2.41596808184488 -9.87247767697588 -5.1614648157426 4.64931375620665 -6.00125661207391 1.4339296091132 2.52553882276065 1.73907814927357 -0.543892635770736 -0.96130635577474 0.253678002183346 4.01101237872242 -0.673823363076006 3.04740529271088 9.6714491792321 -1.1595985845163 -1.39108401909136 5.28649344834683 -0.766110448183618 2.74628303090272 -2.27330865572669 6.55399484711248 0.321927240850185 5.61606855627471 -2.13192612791279 2.63932507731838 1.56540888194736 -4.27127125032603 -5.44979473817494 -0.6239686097 -6.6051345996 -3.531883419 2.8157539173 -2.999205713 -3.6257054673 7.7316773365 1.1999638518 -0.3290875003 -3.1238072235 0.6042665032 -5.3470013538 0.5913059049 0.2862862879 -0.5545505262 1.2965590575 8.6447211857 5.5456592154 2.6867571728 -1.6923294573 1.8551708989 -2.6261636409 -10.082673236 -5.3716603748 4.4391181972 -6.2114521711 1.2237340501 2.3153432637 1.5288825903 -0.7540881948 -1.1715019148 0.0434824432 3.8008168197 -0.8840189221 2.8372097337 9.4612536202 -1.3697941435 -1.6012795781 5.0762978893 -0.9763060072 2.5360874719 -2.4835042147 6.3437992881 0.1117316818 5.4058729973 -2.3421216869 2.4291295183 1.3552133229 -4.4814668093 -5.6599902972 0.3893368259171 43.627803078825 12.474200485357 7.9284701227625 8.9952349087812 13.145740135639 59.778834435588 1.4399132455523 0.1082985828268 9.7581715695125 0.3651380069223 28.590423477526 0.3496426731639 0.0819598386353 0.3075262861058 1.6810653894772 74.731204377629 30.754336132897 7.2186641053767 2.8639789918931 3.4416590641474 6.8967354685807 101.66029958379 28.854735181754 19.705770368627 38.58213807374 1.4975250253668 5.3608144289668 2.3374819747921 0.568649005517 1.3724167363589 0.0018907228638 14.446208496962 0.7814894546171 8.0497590729718 89.515320066049 1.876335995656 2.5640962872643 25.768800261223 0.9531734196945 6.4317396650598 6.1677931846457 40.243789407651 0.0124839687255 29.223462862489 5.4855339963831 5.900670216687 1.8366031506501 20.083544763236 32.035490164298 3/30/2009 3/31/2009 4/1/2009 4/2/2009 4/3/2009 4/6/2009 4/7/2009 4/8/2009 4/9/2009 4/10/2009 4/13/2009 4/14/2009 4/15/2009 4/16/2009 4/17/2009 4/20/2009 4/21/2009 4/22/2009 4/23/2009 4/24/2009 4/27/2009 4/28/2009 4/29/2009 4/30/2009 5/4/2009 5/5/2009 5/6/2009 5/7/2009 5/8/2009 5/12/2009 5/13/2009 5/14/2009 5/15/2009 5/18/2009 5/19/2009 5/20/2009 5/21/2009 5/22/2009 5/25/2009 5/26/2009 5/27/2009 5/28/2009 5/29/2009 6/1/2009 6/2/2009 6/3/2009 6/4/2009 6/5/2009 6/8/2009 6/9/2009 682.91 689.63 685.51 733.93 746.03 748.62 740.47 760.58 810.9 817.41 814.67 807.61 805.85 819.57 834.59 800.22 775.24 785.13 820.7 831.41 803.17 784.01 814.78 832.87 855.67 871.58 897.1 942.31 938.27 979.82 947.53 932.11 936.27 939.65 968.88 1023.98 1001.36 1013.37 1017.92 990.26 1030.79 1053.73 1087.59 1167.42 1180.56 1127.57 1108.73 1149.95 1096.68 1105.3 0.979214259126262 -0.599213509549639 6.82505694312854 1.63521576530905 0.346569777859278 -1.09463919305912 2.67961803978059 6.40634418323119 0.799606301723671 -0.335768169971514 -0.870385453850297 -0.218164776080311 1.68821915050198 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6.3653652893961 13.246499894667 3.4913366708706 0.0170723082285 6.5968418957789 0.1647948123179 5.2015565019932 2.5897107394943 2.111322539393 0.8692612495351 9.361066801132 8.5626674356886 0.0411420561817 1.3875484459983 2.5066984433275 2.8383921901329 0.5368604630207 0.4767892774921 0.5895966230978 12.857886095764 0.0002326173571 10.682361365283 1.2070497371202 11.684784357159 6.4320052904816 14.337751305836 4.8102636222118 7.2443748308946 0.47527578284 4.0645159935057 2.3327258750459 0.4580131893373 0.0308447502583 0.0086027230353 0.4632737877738 0.6317022187441 15.930812096859 15.804074826754 0.1607148514155 10/29/2009 10/30/2009 1377.16 1348.54 -2.10008818766613 -2.3102837467 5.3374109901845 _ _ _ годовые дневные показатели показатели ожидаемая доходность, % <rI> дисперсия (по индексу), %^2 0.210195559016201 52.548889754 11.7465541134186 2936.6385284 Приложение 8 КОВАРИАЦИИ AB 10.02255177 AC 6.964941986 BC 6.188886 AD 11.76455562 BD 11.0289388 CD 6.95025529639 AE 10.14957026 BE 11.377237 CE 6.53881948735 DE 11.97268066 AF 2.092063712 BF 3.34112199 CF 2.15971390323 DF 3.949463039 EF 3.609024976 AG 2.927160114 BG 1.84620137 CG 3.18223603885 DG 2.776312886 EG 1.706282892 FG 3.455379 DE DF DG 0.630682462 0.263016183 0.108976727 EF EG 0.30264268 0.084335856 FG 0.215915 Дисперсия Стандарт.откло нение Стандартное отклонение A B C D E F G 3.906120031 3.688416746 3.280677662 4.889205109 3.882776455 3.071265253 5.21070384 AB AC AD AE AF AG 0.695653122 0.543511024 0.616015565 0.669205779 0.174386152 0.143815106 A B C D E F G 3814.4434 3401.105 2690.711 5976.082 3768.988 2358.168 6787.86 61.7611803644 58.3189934755 51.8720637723 77.3051227281 61.3920841803 48.5609719837 82.3884700671 КОРРЕЛЯЦИИ BC BD BE BF BG 0.322015 0.61158311 0.7944278 0.29494091 0.09606002 CD CE CF CG 0.43331022646 0.51332616246 0.21434597672 0.18615402817 Xa 0.3 Xc 0.3 Xa 0.15 Xf 0.4 Xb 0.1 ОБЩИЙ РИСК ПОРТФЕЛЯ РЫНОЧНЫЙ РИСК ПОРТФЕЛЯ Xc 551.586236 2125.58 330.405076 1652.576 СОБСТВЕННЫЙ РИСК ПОРТФЕЛЯ 0.12 Xd Xe 221.18116 473.004 Xf Xg Xa 0.17 Xb 0.13 Xc Xf Xg ОБЩИЙ РИСК ПОРТФЕЛЯ РЫНОЧНЫЙ РИСК ПОРТФЕЛЯ 0.06 0.25 0.15 0.3 2494.866616 1729.393 1516.604075 908.5182 СОБСТВЕННЫЙ РИСК ПОРТФЕЛЯ 978.2625406 820.8744 0.06 0.35 0.16 1 ОБЩИЙ РИСК 1467.46579092 ПОРТФЕЛЯ РЫНОЧНЫЙ РИСК ПОРТФЕЛЯ 1117.94928534 СОБСТВЕНН ЫЙ РИСК ПОРТФЕЛЯ 349.516505577 349.51651 .
