Сергей Азарин, Portfolio Manager
"Инвестиционный Клуб HavardAR" (ИК HavardAR)

ИНДЕКС ЭФФЕКТИВНОСТИ ТОРГОВЫХ СИГНАЛОВ, 2006-2008 годы,
INETS, Index of Efficiency of Trade Signals,
в сравнении с динамикой Индексf РТС (RTS Index)


Индекс Эффективности 2006 | Индекс Эффективности 2007 | Индекс Эффективности 2008


ИНДЕКС ЭФФЕКТИВНОСТИ ТОРГОВЫХ СИГНАЛОВ, 2008

Portfolio 2008

*** AVAZ GAZP GMKN LKOH ROSN SBER SNGS SNGSP TRNFP TATN VTBR TotalLong Cash Капитал
%
Доход
%
RTSIndex
%
52 week
31dec2008
* 51.259 * * * * * * * * * 51.259 48.741 +133.298 +133.298 -72.412
51 week
26dec2008
* * * * * * * * * * * * 100 +129.253 +130.685 -71.863
50 week
19dec2008
2.475 * * * * 5.637 8.38 15.642 2.837 * 8.151 43.122 56.878 +118.776 +122.466 -72.311
49 week
12dec2008
2.407 * * * * 5.664 8.726 14.166 2.856 * 8.700 42.519 57.481 +116.474 +122.516 -71.525
48 week
5dec2008
2.39 * * * * 5.422 8.25 13.853 2.705 * 7.958 40.578 59.422 +109.412 +117.456 -74.25
47 week
28nov2008
2.462 * * * * 5.955 9.031 14.265 2.687 * 8.133 42.533 57.467 +116.53 +127.72 -71.266
46 week
21nov2008
2.822 30.072 * * * 7.130 8.814 14.524 3.381 * 9.376 76.119 23.881 +77.166 +86.397 -74.672
45 week
14nov2008
3.057 * * * * 7.656 8.751 15.629 3.256 * 9.76 48.109 51.891 +82.704 +94.629 -71.883
44 week
7nov2008
3.350 * * * * 8.072 9.221 16.481 3.889 * 11.155 52.168 47.832 +98.208 +114.89 -66.792
43 week
1nov2008
3.244 40.134 * * * 12.044 15.055 18.622 4.001 * 12.162 105.242 leverage +96.421 +115.011 -64.969
43 week
31oct2008
3.314 59.929 * * * 18.914 15.892 18.599 4.109 * 12.683 133.44 leverage +83.521 +99.951 -66.236
43 week
30oct2008
3.294 78.882 * * * 19.970 16.390 18.685 4.078 * 12.931 154.23 leverage +79.579 +95.547 -66.876
43 week
29oct2008
3.864 87.560 * * * 20.879 18.729 22.329 4.588 * 15.459 173.408 leverage +32.607 +39.279 -71.884
43 week
28oct2008
4.719 97.159 * * * 21.741 22.421 24.615 5.281 * 17.563 193.499 leverage +4.066 +4.914 -74.868
42 week
24oct2008
5.106 49.959 * * * 15.144 22.497 26.197 5.235 * 17.249 141.387 leverage -3.699 -4.53 -76.012
41 week
17oct2008
(читать)
5.217 84.397 * * * 14.252 21.068 30.786 7.266 * 16.822 179.808 leverage +2.047 +2.567 -70.853
40 week
10oct2008
отдых
6.822 * * * * 16.876 16.698 33.02 8.588 * 17.55 99.554 0.446 +3.825 +4.933 -63.119
39 week
3oct2008
(читать)
6.40 * * * * 17.989 16.703 25.869 9.614 * 19.527 96.102 3.898 +30.017 +43.825 -53.242
38 week
26sep2008
(читать)
7.06 * * * * 17.114 16.300 25.331 9.909 * 20.719 96.433 3.567 +42.113 +63.256 -43.878

Позиция 25 week
27 jun
26 week
4 jul
27 week
11 jul
28 week
18 jul
29 week
25 jul
30 week
1 aug
31 week
8 aug
32 week
15 aug
33 week
22 aug
34 week
29 aug
35 week
5 sep
36 week
12 sep
37 week
19 sep
AVAZ 11.18 11.592 11.383 10.321 8.773 7.918 7.134 6.20 7.998 8.792 7.949 7.368 7.262
TRNFP 15.894 15.828 19.568 19.546 17.047 15.947 19.582 12.748 16.711 16.816 11.706 10.575 8.28
SNGSP 21.142 20.665 19.489 26.351 16.925 16.542 21.385 29.522 28.607 35.503 28.768 30.107 26.503
SNGS 17.405 17.00 16.853 16.129 14.839 14.979 14.663 12.933 18.596 23.346 17.711 17.88 18.153
LKOH 26.855 23.268 15.358 26.368 13.953 14.268 21.839 12.271 21.248 30.556 12.525 27.725 17.972
GAZP 28.315 16.679 * 25.734 * * 9.646 * 20.255 32.33 12.146 25.824 17.23
TATN 14.779 8.436 * * * * * * * 21.512 * * *
VTBR 13.685 28.436 14.394 29.753 * * 7.49 * 24.728 33.819 21.847 20.905 17.43
SBER 12.62 25.232 12.964 26.163 * * 5.92 * 21.197 28.716 19.941 19.511 26.441
GMKN * * * * * * * * * * * 19.982 *
ROSN * * * * * * * * * * * * 13.183
Total LONG % 161.875 167.136 110.009 180.365 71.537 69.654 107.659 73.674 159.34 231.39 132.593 179.877 152.454
капитализация, % +67.255 +59.228 +55.924 +60.018 +54.957 +51.541 +40.189 +72.244 +64.903 +66.569 +51.555 +35.533 +38.642
доходность
% годовых
+137.14 +116.227 +105.763 +109.532 +96.904 +87.908 +66.375 +115.65 +100.806 +100.403 +75.572 +50.662 +59.764
RTS Index, % 1.226 -4.49 -5.384 -6.772 -14.81 -15.227 -24.789 -22.054 -25.71 -28.132 -35.859 -41.421 -43.422

Позиция 16 week
25 apr
17 week
30 apr
18 week
8 may
19 week
16 may
20 week
23 may
21 week
30 may
22 week
7 jun
23 week
11 jun
24 week
20 jun
AVAZ 16.722 16.896 15.236 13.345 11.891 11.278 11.374 11.432 11.195
TRNFP 12.941 12.620 12.162 12.482 16.476 17.084 16.64 16.187 15.898
SNGSP 25.116 24.986 24.008 23.469 22.638 22.014 22.079 21.624 21.869
SNGS 15.345 10.068 17.05 17.533 16.404 15.894 17.584 17.700 17.662
LKOH 13.95 13.991 * 13.816 * 14.528 7.716 16.003 15.494
GAZP 17.174 10.229 * 12.525 * 14.052 10.744 16.423 16.643
TATN 15.079 * * 16.214 * * 8.774 * *
VTBR 15.598 9.646 9.17 13.662 7.889 15.184 6.872 13.533 6.812
SBER 14.731 15.142 * 14.694 6.92 13.296 6.282 12.527 6.324
GMKN * * * 9.732 * * * * *
ROSN * * * * * * * * *
Total LONG % 146.656 113.578 77.626 147.492 94.47 123.33 108.065 125.429 111.79
капитализация, % +27.077 +27.289 +41.151 62.005 +73.236 +77.993 +73.807 +74.061 +73.497
доходность
% годовых
+85.199 +83.701 +116.435 +165.196 +185.633 +188.526 +169.431 +165.842 +155.967
RTS Index, % -7.044 -7.33 -0.284 8.22 6.316 7.394 2.227 2.89 4.114

торговая неделя общий long, % общий cash, % прибыль портфеля, % доходность, %годовых сравнительно RTS Index, %
25apr2008 146.656 leverage AA+27.077 AA+85.199 -7.044
15 153.399 leverage AA+29.30 AA+98.114 -5.002
14 71.785 28.215 AA+22.779 AA+81.513 -7.789
13 112.095 leverage AA+19.683 AA+75.624 -10.105
12 127.47 leverage AA+15.779 AA+65.447 -10.526
Так Был Завершен Первый Период Работы
11 133.796 leverage AA+10.411 AA+46.913 -14.226
10 119.199 leverage AA+17.355 AA+85.602 -9.884
9 100.66 leverage AA+13.853 AA+75.467 -12.131
8 113.162 leverage AA+13.693 AA+83.299 -9.891
7 133.79 leverage AA+16.704 AA+115.036 -9.202
6 144.368 leverage AA+13.795 AA+111.893 -11.585
5 123.871 leverage AA+1.849 AA+17.304 -18.318
4 134.00 leverage AA+4.43 AA+50.529 -14.037
3 102.82 leverage AA+3.242 AA+47.333 -11.233
2 105.654 leverage AA-0.843 AA-17.094 -5.737
1 81.171 18.829 AA+0.317* AA+10.518* +1.021*

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ИНДЕКС ЭФФЕКТИВНОСТИ ТОРГОВЫХ СИГНАЛОВ, 2007

Portfolio 2007

торговая неделя общий long, % общий cash, % прибыль портфеля, % доходность, %годовых сравнительно RTS Index, %
Так Был Завершен Торговый Период 2007 года
51 48.180 51.820 AA+144.531 AA+144.531 +19.178
50 79.218 20.782 AA+145.882 AA+149.991 +19.468
49 115.754 leverage AA+142.469 AA+149.428 +18.086
48 144.976 leverage AA+143.718 AA+153.833 +18.935
47 149.002 leverage AA+122.301 AA+133.652 +15.515
46 134.914 leverage AA+113.979 AA+127.224 +11.965
45 131.616 leverage AA+120.345 AA+137.268 +13.916
44 128.543 leverage AA+128.257 AA+149.565 +17.70
43 145.184 leverage AA+128.516 AA+153.295 +15.933
42 176.142 leverage AA+122.486 AA+149.523 +14.163
41 149.588 leverage AA+113.40 AA+141.75 +11.473
40 176.71 leverage AA+119.714 AA+153.318 +12.549
39 155.664 leverage AA+117.789 AA+154.651 +10.068
38 157.509 leverage AA+111.015 AA+149.522 +7.798
Так Был Завершен Третий Период Работы
37 179.269 leverage AA+99.858 AA+138.061 +5.43
36 147.703 leverage AA+89.318 AA+126.852 +1.109
35 115.525 leverage AA+85.359 AA+124.624 -1.235
34 113.637 leverage AA+89.597 AA+134.579 -0.105
33 92.766 7.233 AA+82.384 AA+127.416 -2.975
32 109.814 leverage AA+85.34 AA+136.022 -3.18
31 54.70 45.30 AA+80.90 AA+133.011 -1.286
30 68.56 31.43 AA+83.299 AA+141.414 +2.54
29 80.846 19.153 AA+81.259 AA+142.594 +2.348
28 141.023 leverage AA+90.689 AA+164.684 +7.70
27 150.351 leverage AA+88.672 AA+166.831 +7.257
26 141.795 leverage AA+76.973 AA+150.241 +2.744
25 99.141 0.858 AA+65.82 AA+133.468 -1.26
24 128.103 leverage AA+65.367 AA+137.913 -1.343
Так Был Завершен Второй Период Работы
23 150.115 leverage AA+60.546 AA+133.128 -2.011
22 94.099 5.90 AA+46.301 AA+105.624 -6.422
21 142.191 leverage AA+44.212 AA+106.167 -4.808
20 69.123 30.876 AA+34.183 AA+86.046 -6.616
19 144.353 leverage AA+35.777 AA+94.627 -3.237
18 93.711 6.288 AA+27.82 AA+77.513 -3.979
17 152.015 leverage AA+31.396 AA+92.415 +0.423
16 107.19 leverage AA+31.672 AA+97.968 +0.707
15 169.453 leverage AA+31.422 AA+104.264 +2.58
14 119.152 leverage AA+24.497 AA+86.809 +4.145
13 97.14 2.85 AA+22.929 AA+87.178 +1.277
Так Был Завершен Первый Период Работы
12 55.176 44.823 AA+22.438 AA+92.02 +0.718
11 74.75 25.24 AA+23.123 AA+102.925 -0.387
10 34.827 65.172 AA+18.143 AA+88.296 -5.233
9 20.389 79.61 AA+12.805 AA+68.733 -5.893
8 16.555 83.444 AA+10.688 AA+63.953 -6.557
7 51.722 48.277 AA+11.796 AA+81.236 +0.642
6 32.816 67.183 AA+11.207 AA+87.033 -1.292
5 14.789 85.21 AA+7.735 AA+70.581 -1.872
4 62.303 37.696 AA+7.00 AA+77.42 -1.306
3 45.97 54.02 AA+5.476 AA+76.875 -3.05
2 30.563 69.436 AA+3.943 AA+75.747 -5.67
1 15.723 84.276 AA+1.054* AA+32.059* -6.469*

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ИНДЕКС ЭФФЕКТИВНОСТИ ТОРГОВЫХ СИГНАЛОВ, 2006

Portfolio 2006

торговая неделя общий long, % общий cash, % прибыль портфеля, % доходность, %годовых сравнительно RTS Index, %
Так Был Завершен Торговый Период 2006 года
34 36.568 63.431 A +44.669 +68.505 +8.869
33 12.19 87.80 A +43.216 +68.285 +5.497
32 19.405 80.594 A +43.328 +70.6 +4.978
31 23.709 76.29 A +42.965 +72.268 +4.834
30 42.143 57.856 A +41.144 +71.512 +0.858
29 45.782 54.218 A +40.124 +72.1441 -2.414
28 22.678 77.321 A +39.168 +72.94 -4.326
27 45.699 54.300 A +38.808 +74.946 -3.32
Так Был Завершен Второй Период Работы
26 30.636 69.363 A +36.72 +73.641 -7.016
25 16.467 83.532 A +36.241 +75.588 -7.823
24 13.091 86.918 A +36.322 +78.9138 -7.64
23 17.657 82.342 A +36.15 +81.955 -8.775
22 5.878 94.121 A +35.512 +84.168 -11.916
21 5.86 94.139 A +35.488 +88.116 -12.199
20 5.752 94.247 A +35.38 +92.24 -14.75
19 7.827 92.172 A +35.314 +96.914 -12.16
18 2.15 97.84 A +35.329 +102.342 -9.869
17 zero 100 A +35.299 +108.27 -8.233
16 6.262 93.737 A +35.368 +115.26 -6.92
15 3.431 96.568 A +35.179 +122.289 -9.637
14 62.049 37.95 A +35.65 +132.778 -6.126
Так Был Завершен Первый Период Работы
13 71.563 28.436 A +35.27 +141.467 -7.71
12 91.79 8.209 A +32.02 +139.134 -11.88
11 51.339 48.66 A +26.815 +127.11 -15.59
10 16.527 83.472 A +25.103 +130.89 -15.89
9 41.032 58.967 A +26.459 +153.29 -12.21
8 99.512 0.487 A +22.87 +149.063 -15.33
7 81.449 18.55 A +11.528 +85.871 -23.81
6 28.889 71.11 A +9.402 +81.707 -24.66
5 17.451 82.548 A +4.622 +48.2 -22.81
4 32.753 67.246 A +5.20 +67.78 -13.02
3 wait wait A A -15.31
2 wait wait A A -17.87
1 wait wait A A -4.77
начало анализ анализ A* A* 1765.35*


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© Сергей Азарин, 2006-2008.