Материал: Анализ эффективности модификаций высокодивидендных стратегий

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Приложение 5

Доходность портфелей при тестировании на рынке России

2006

12

11

10

9

8

7

"1"

1.116082

1.02077432

1.081569

1.027364

1.119

1.294929

"3"

1.186003

1.08573604

1.159804

1.040401

1.269634

1.502507

"5"

1.196336

1.13360896

1.199213

1.106928

1.414807

1.61992

"7"

1.196336

1.13360896

1.199213

1.106928

1.414807

1.61992

"10"

1.196336

1.13360896

1.199213

1.106928

1.414807

1.61992

div

1.196336

1.13360896

1.199213

1.106928

1.414807

1.61992

"3" - 1

1.220963

1.1182169

1.198921

1.046919

1.344951

1.606297

"5" - 1

1.223088

1.17122051

1.238427

1.133449

1.513409

1.72825

"7" - 1

1.223088

1.17122051

1.238427

1.133449

1.513409

1.72825

"10" - 1

1.223088

1.17122051

1.238427

1.133449

1.513409

1.72825

div - 1

1.223088

1.17122051

1.238427

1.133449

1.513409

1.72825

"3" + 1

1.168523

1.06949561

1.140245

1.037141

1.231975

1.450613

"5" + 1

1.180286

1.11104203

1.175684

1.091015

1.355645

1.554922

"7" + 1

1.180286

1.11104203

1.175684

1.091015

1.355645

1.554922

"10" + 1

1.180286

1.11104203

1.175684

1.091015

1.355645

1.554922

div + 1

1.180286

1.11104203

1.175684

1.091015

1.355645

1.554922

2007

12

11

10

9

8

7

"1"

1.275106

1.20555042

1.081371

0.988626

0.866488

0.915493

"3"

0.844247

0.87522618

0.905888

0.90139

0.771179

0.758547

"5"

0.916192

0.92105957

0.951112

0.914063

0.79038

0.816859

"7"

0.916192

0.92105957

0.951112

0.914063

0.79038

0.816859

"10"

0.916192

0.92105957

0.951112

0.914063

0.79038

0.816859

div

0.916192

0.92105957

0.951112

0.914063

0.79038

0.816859

"3" - 1

0.71006406

0.818146

0.857772

0.723525

0.680074

"5" - 1

0.796554

0.82622929

0.907693

0.889209

0.765011

0.783981

"7" - 1

0.796554

0.82622929

0.907693

0.889209

0.765011

0.783981

"10" - 1

0.796554

0.82622929

0.907693

0.889209

0.765011

0.783981

div - 1

0.796554

0.82622929

0.907693

0.889209

0.765011

0.783981

"3" + 1

0.951962

0.95780724

0.949759

0.923199

0.795006

0.797783

"5" + 1

0.987975

0.97795774

0.977164

0.928976

0.805602

0.836586

"7" + 1

0.987975

0.97795774

0.977164

0.928976

0.805602

0.836586

"10" + 1

0.987975

0.97795774

0.977164

0.928976

0.805602

0.836586

div + 1

0.987975

0.97795774

0.977164

0.928976

0.805602

0.836586

2008

12

11

10

9

8

7

"1"

0.295788

0.3017146

0.397037

0.777739

0.917494

0.998115

"3"

0.335582

0.34419257

0.385594

0.809556

1.088285

1.21971

"5"

0.391735

0.40088788

0.413514

0.644834

0.868348

0.977873

"7"

0.338886

0.36114431

0.417684

0.662426

0.948802

1.023083

"10"

0.367535

0.36323795

0.41829

0.648365

0.888648

0.989707

div

0.36212

0.35726317

0.405642

0.626342

0.86408

0.941067

"3" - 1

0.355479

0.36543155

0.379873

0.825464

1.17368

1.330508

"5" - 1

0.415722

0.42568121

0.417634

0.611608

0.856062

0.972812

"7" - 1

0.346069

0.37104926

0.421125

0.643207

0.95402

1.027244

"10" - 1

0.375507

0.34468428

0.390697

0.572371

0.815745

0.907445

div - 1

0.36815

0.36231304

0.406424

0.612579

0.859224

0.935881

"3" + 1

0.325634

0.33357307

0.388455

0.801602

1.045587

1.164312

"5" + 1

0.375744

0.384359

0.410768

0.666985

0.876539

0.981246

"7" + 1

0.333499

0.3537156

0.415103

0.67684

0.944888

1.019962

"10" + 1

0.361012

0.35764492

0.416358

0.660127

0.89127

0.990471

div + 1

0.357017

0.35299021

0.40498

0.637988

0.868189

0.945455

2009

12

11

10

9

8

7

"1"

1.985402

2.01008249

1.518582

0.907871

0.708199

0.667296

"3"

2.996158

2.7451611

2.458105

1.176949

0.856964

0.713626

"5"

2.887949

2.7300254

2.486453

1.325333

0.916914

0.795079

"7"

2.795719

2.5518614

2.179079

1.375474

0.963655

0.832814

"10"

2.65785

2.44118245

2.049552

1.338997

0.926102

0.792324

div

2.65785

2.44118245

2.049552

1.338997

0.926102

0.792324

"3" - 1

3.501536

3.1127004

2.927866

1.311488

0.931346

0.736791

"5" - 1

3.113585

2.91001113

2.728421

1.429698

0.969093

0.827025

"7" - 1

2.930772

2.64215788

2.289161

1.453407

1.006231

0.8604

"10" - 1

2.741906

2.49506994

2.115923

1.392888

0.95334

0.807953

div - 1

2.741906

2.49506994

2.115923

1.392888

0.95334

0.807953

"3" + 1

2.743469

2.56139145

2.223224

1.10968

0.819773

0.702044

"5" + 1

2.737524

2.61003492

2.325141

1.255756

0.882128

0.773782

"7" + 1

2.69443

2.48413903

2.096517

1.317023

0.931723

0.812124

"10" + 1

2.590605

2.39807245

1.996455

1.295885

0.904312

0.779821

div + 1

2.590605

2.39807245

1.996455

1.295885

0.904312

0.779821

2010

12

11

10

9

8

7

"1"

1.172268

1.15868673

1.229544

1.234975

1.369341

1.361064

"3"

1.280722

1.2557013

1.323447

1.285335

1.38464

1.350037

"5"

1.334182

1.22960747

1.27761

1.265642

1.301518

1.313552

"7"

1.314865

1.2315555

1.256634

1.256457

1.27656

1.294654

"10"

1.349151

1.28078829

1.335267

1.312112

1.358187

1.384

div

1.389829

1.35396

1.32832

1.367262

1.435528

"3" - 1

1.334949

1.30420858

1.370398

1.310515

1.392289

1.344523

"5" - 1

1.374661

1.24733765

1.289626

1.273308

1.284562

1.301674

"7" - 1

1.338631

1.24370029

1.261149

1.260037

1.261096

1.283586

"10" - 1

1.368804

1.20868246

1.255946

1.234071

1.259104

1.303194

div - 1

1.409607

1.35481551

1.365271

1.336806

1.367073

1.442298

"3" + 1

1.253608

1.23144765

1.299971

1.272745

1.380815

1.352793

"5" + 1

1.307197

1.21778734

1.269599

1.260531

1.312822

1.32147

"7" + 1

1.29704

1.2224469

1.253248

1.253771

1.288157

1.302955

"10" + 1

1.333071

1.26968815

1.325656

1.305099

1.359201

1.381915

div + 1

1.373094

1.32464185

1.34439

1.32114

1.367422

1.4298

2011

12

11

10

9

8

7

"1"

0.704864

0.83419913

0.77498

0.706542

0.877217

1

"3"

0.937306

1.14563184

1.173108

1.109292

1.320349

1.383247

"5"

0.80804

1.01181547

1.030467

0.965344

1.155769

1.231305

"7"

0.885716

1.09895147

1.107943

1.043891

1.238185

1.305857

"10"

0.807112

1.01203252

1.043872

1.00285

1.173563

1.245394

div

0.842229

1.00533189

1.025797

0.970488

1.149388

1.222224

"3" - 1

1.053527

1.3013482

1.372173

1.310667

1.541915

1.574871

"5" - 1

0.833834

1.05621955

1.094339

1.030044

1.225407

1.289131

"7" - 1

0.915858

1.14307686

1.163437

1.100116

1.298346

1.356833

"10" - 1

0.818473

0.94734571

0.97094

0.938227

1.089864

1.148478

div - 1

0.854717

1.02088942

1.048599

0.994484

1.174131

1.242426

"3" + 1

0.879195

1.06777367

1.073576

1.008605

1.209566

1.287435

"5" + 1

0.790844

0.98221275

0.987886

0.92221

1.109344

1.192754

"7" + 1

0.86311

1.06585743

1.066323

1.001722

1.193064

1.267625

"10" + 1

0.797817

0.99586585

1.019428

0.975913

1.146622

1.223085

div + 1

0.831663

0.99216783

1.006504

0.950185

1.128452

1.205129

2012

12

11

10

9

8

7

"1"

1.342941

1.09322074

1.189789

1.29786

1.103101

1.02736

"3"

0.95921

0.91371129

1.000789

1.176576

0.939036

0.872806

"5"

1.028296

0.95313358

0.998076

1.158609

0.906617

0.889687

"7"

0.982127

0.88550999

0.886641

1.05398

0.790116

0.749891

"10"

1.0013

0.90349731

0.937352

1.091643

0.913252

0.841872

div

1.079822

0.96957685

1.006327

1.151189

0.960722

0.867326

"3" - 1

0.767345

0.82395656

0.90629

1.115934

0.857004

0.795529

"5" - 1

0.949634

0.91811179

0.950147

1.123796

0.857496

0.855268

"7" - 1

0.921991

0.85089153

0.836116

1.013333

0.737951

0.703646

"10" - 1

0.96334

0.84381295

0.873271

1.017255

0.861505

0.793129

div - 1

1.057896

0.95927319

0.991039

1.138966

0.948857

0.85399

"3" + 1

1.055143

0.95858865

1.048039

1.206897

0.980053

0.911444

"5" + 1

1.080737

0.97648144

1.030028

1.181817

0.939364

0.912632

"7" + 1

1.027229

0.91147383

0.924534

1.084465

0.829239

0.784575

"10" + 1

1.032359

0.92074489

0.9603

1.11039

0.930511

0.858735

div + 1

1.098616

0.97840855

1.019432

1.161665

0.970892

0.878757

2013

12

11

10

9

8

7

"1"

0.895988

1.00211864

0.969966

0.904652

0.952352

1.011597

"3"

1.088787

1.13556692

1.130528

1.07901

1.014296

0.960021

"5"

0.986174

1.02025617

1.034509

1.029378

0.992446

0.922323

"7"

1.001487

1.02776231

1.027712

1.008597

0.969716

0.930927

"10"

1.061154

1.07543625

1.067961

1.025639

1.016085

div

1.061154

1.07543625

1.076623

1.067961

1.025639

1.016085

"3" - 1

1.185186

1.20229105

1.210809

1.16619

1.045267

0.934233

"5" - 1

1.008721

1.02479055

1.050644

1.060559

1.00247

0.900005

"7" - 1

1.019071

1.03203625

1.037337

1.025921

0.97261

0.917482

"10" - 1

1.079506

1.02196531

1.033044

1.031875

0.981362

0.972059

div - 1

1.079506

1.08358265

1.088474

1.086106

1.033782

1.016584

"3" + 1

1.040587

1.10220485

1.090388

1.035421

0.99881

0.972915

"5" + 1

0.971143

1.01723325

1.023752

1.00859

0.985764

0.937202

"7" + 1

0.9883

1.02455685

1.020494

0.995604

0.967546

0.941011

"10" + 1

1.046139

1.06877101

1.066927

1.053115

1.018977

1.015677

div + 1

1.046139

1.06877101

1.066927

1.053115

1.018977

1.015677

2014

12

11

10

9

8

7

"1"

0.625

0.65751559

0.685271

0.660735

1.019832

0.9815

"3"

0.746999

0.77715231

0.770194

0.769605

1.063735

1.111567

"5"

0.634007

0.77223234

0.766793

0.781984

0.976544

1.039384

"7"

0.717578

0.81968362

0.860768

0.895515

1.028707

1.056335

"10"

0.670656

0.7778025

0.815222

0.844915

0.958969

0.978663

div

0.905811

0.97374993

0.944575

0.946602

1.010344

1.004172

"3" - 1

0.807999

0.83697068

0.812655

0.82404

1.085686

1.176601

"5" - 1

0.636258

0.80091153

0.787174

0.812297

0.965722

1.053855

"7" - 1

0.733007

0.84671163

0.890017

0.934644

1.030186

1.068808

"10" - 1

0.675729

0.75440173

0.793305

0.828434

0.883039

0.893517

div - 1

0.917043

0.98639931

0.954947

0.958037

1.009965

1.005079

"3" + 1

0.716499

0.74724313

0.748963

0.742388

1.052759

1.079051

"5" + 1

0.632505

0.75311288

0.753206

0.761776

0.983759

1.029737

"7" + 1

0.706005

0.79941262

0.838831

0.866167

1.027597

1.046981

"10" + 1

0.666505

0.76686732

0.803408

0.828171

0.964502

0.97892

div + 1

0.895411

0.96203755

0.934971

0.936015

1.010695

1.003332

2015

12

11

10

9

8

7

"1"

1.700972

0.98084112

0.990562

1.022388

1.103521

0.856315

"3"

1.826666

1.25897491

1.254054

1.260218

1.183574

0.983196

"5"

1.610874

1.16728698

1.159052

1.138159

1.105766

0.968983

"7"

1.519734

1.22370208

1.207592

1.184617

1.164326

0.998426

"10"

1.513729

1.33515991

1.331162

1.370065

1.291135

1.147203

div

1.367366

1.25814794

1.320453

1.354832

1.367012

1.298121

"3" - 1

1.889512

1.3980418

1.385799

1.379132

1.2236

1.046637

"5" - 1

1.58835

1.21389844

1.201174

1.167102

1.106328

0.99715

"7" - 1

1.489528

1.26417891

1.243764

1.211655

1.174461

1.022111

"10" - 1

1.492924

1.27001205

1.261214

1.298118

1.228113

1.117985

div - 1

1.354022

1.26924021

1.333648

1.36813

1.377552

1.315793

"3" + 1

1.795242

1.18944146

1.188181

1.20076

1.16356

0.951476

"5" + 1

1.62589

1.13621267

1.13097

1.118864

1.105392

0.950205

"7" + 1

1.542389

1.19334446

1.180464

1.164338

1.156726

0.980662

"10" + 1

1.530751

1.30294911

1.300199

1.338458

1.274079

1.120759

div + 1

1.379722

1.24787732

1.308235

1.342519

1.357253

1.281758