Фондовый менеджмент в расплывчатых условиях - Недосекин А. О
..pdfНедосекин А.О. Фондовый менеджмент в расплывчатых условиях
Табл. П2.6. Финансовый, экономический и сводный рейтинги регионов
171
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Рис. П2.1. Гистограммы показателей Х1 – Х6
172
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Рис. П2.2. Гистограммы показателей Х7 – Х11
173
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Рис. П2.3. Гистограммы распределения финансового, экономического и итогового рейтингов регионов
174
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Приложение 3. Справочные материалы для оценки скоринга акций российских эмитентов
Таблица П3.1. Исходные данные по состоянию на 11.02.2002
# |
|
Ticker |
Cap |
P/S |
P/E |
P/B |
ROA |
ROE |
ROIC |
Liquidity |
|
|
1AFLT |
388.7 |
0.29 |
7.14 |
3.77 |
10.23 |
52.8 |
27.3 |
-0.21 |
|
|
2AHTC |
23.6 |
1.06 |
16.65 |
1.06 |
3.83 |
6.37 |
4.36 |
-1.45 |
|
|
3ALCO |
27.1 |
0.89 |
8.54 |
0.95 |
8.23 |
11.17 |
10.8 |
0.04 |
|
|
4ARHE |
13.7 |
0.11 |
-1.08 |
0.1 |
-4.66 |
-9.36 |
-7.87 |
0.08 |
|
|
5ASRE |
13.1 |
0.33 |
-5.02 |
0.12 |
-2.5 |
-3.07 |
-3.06 |
0.38 |
|
|
6AVAZ |
673.1 |
0.24 |
-4.84 |
0.8 |
-5.4 |
-16.4 |
-7.88 |
-0.83 |
|
|
7BEGY |
142.3 |
0.3 |
3.27 |
0.33 |
6.35 |
10.25 |
9.55 |
0.13 |
|
|
8BISV |
71.1 |
1.25 |
10.16 |
0.97 |
7.34 |
9.58 |
8.44 |
-0.31 |
|
|
9BYCM |
14.3 |
1.76 |
9.22 |
1.11 |
9.47 |
12.07 |
14.63 |
0.01 |
|
10CHMF |
1139 |
0.65 |
3.57 |
0.91 |
21.78 |
25.65 |
24.2 |
0.78 |
|
|
11CHNG |
4.6 |
0.02 |
-0.24 |
0.01 |
-3.08 |
-4.98 |
-4.91 |
-0.05 |
|
|
12DGEN |
17.7 |
0.71 |
-45.66 |
0.06 |
-0.13 |
-0.13 |
-0.13 |
0.64 |
|
|
13EESR |
6168.6 |
6.61 |
17.24 |
1.22 |
6.29 |
7.08 |
6.92 |
0.32 |
|
|
14ELCH |
4.8 |
0.45 |
12.09 |
0.53 |
3 |
4.35 |
3.62 |
0.08 |
|
|
15ELRO |
55.8 |
1.2 |
8.93 |
1.13 |
10.39 |
12.7 |
11.93 |
0.09 |
|
|
16ENCO |
53.5 |
1.35 |
10.55 |
1.3 |
9.26 |
12.32 |
10.71 |
0.03 |
|
|
17ESBL |
22.4 |
2.7 |
14.6 |
1.63 |
6.75 |
11.14 |
7.65 |
-1.39 |
|
|
18ESIR |
32.1 |
0.89 |
20.01 |
1.28 |
4.1 |
6.37 |
5.17 |
-0.29 |
|
|
19ESKG |
19.2 |
1.26 |
9.42 |
1 |
8.42 |
10.62 |
8.83 |
-0.02 |
|
|
20ESKK |
28.3 |
0.67 |
19.5 |
0.73 |
2.75 |
3.76 |
3.26 |
-0.37 |
|
|
21ESKM |
28 |
0.78 |
4.67 |
0.82 |
12.5 |
17.49 |
14.55 |
0.14 |
|
|
22ESKU |
11 |
1.05 |
11.4 |
0.89 |
6.25 |
7.78 |
7.21 |
0.28 |
|
|
23ESLP |
17 |
1.04 |
143.3 |
0.99 |
0.4 |
0.69 |
0.44 |
-1.4 |
|
|
24ESMO |
153.8 |
1.54 |
50.19 |
1.91 |
2.74 |
3.82 |
3.51 |
-0.38 |
|
|
25ESOB |
21.7 |
0.81 |
13.9 |
0.83 |
4.61 |
5.96 |
5.68 |
-0.21 |
|
|
26ESOM |
21 |
0.75 |
116.94 |
0.72 |
0.44 |
0.62 |
0.53 |
-0.32 |
|
|
27ESOR |
10.3 |
1.02 |
9.33 |
0.72 |
6.41 |
7.77 |
6.97 |
0.04 |
|
|
28ESPK |
23.5 |
0.61 |
4.73 |
0.75 |
10.21 |
15.94 |
13.73 |
-0.05 |
|
|
29ESTB |
17 |
1.21 |
10.95 |
1.92 |
8.49 |
17.5 |
9.74 |
-3 |
|
|
30ESTU |
24.8 |
1.04 |
-100.66 |
0.79 |
-0.56 |
-0.79 |
-0.61 |
-1.81 |
|
|
31ESTV |
22.3 |
1.55 |
9.36 |
1.04 |
9.35 |
11.14 |
13.8 |
0.23 |
|
|
32ESUL |
8.4 |
0.61 |
18.02 |
0.43 |
2.06 |
2.36 |
2.27 |
0.07 |
|
|
33ESVD |
17.7 |
0.9 |
7.7 |
1.06 |
8.98 |
13.8 |
11.03 |
-0.71 |
|
|
34ESVL |
7.1 |
0.59 |
5.16 |
0.54 |
8.41 |
10.56 |
9.36 |
-0.28 |
|
|
35GAZA |
140.5 |
0.15 |
-0.77 |
0.71 |
-20.57 |
-92.06 |
-33.59 |
-0.68 |
|
|
36GAZP |
14107.2 |
2.19 |
8.34 |
0.63 |
5.18 |
7.57 |
5.68 |
-0.11 |
|
|
37GUMM |
102 |
1.41 |
8.22 |
2.97 |
26.85 |
36.18 |
36.11 |
0.64 |
175
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Продолжение таблицыП3.1
# |
|
Ticker |
Cap |
P/S |
P/E |
P/B |
ROA |
ROE |
ROIC |
Liquidity |
|
38HTCM |
31.7 |
0.5 |
4.55 |
1.38 |
13.24 |
30.22 |
15.89 |
-0.9 |
|
|
39IRGZ |
381.3 |
1.29 |
13.34 |
0.58 |
3.58 |
4.38 |
4.05 |
0.37 |
|
|
40IVTL |
12.4 |
0.9 |
20.78 |
1.38 |
0.03 |
1.04 |
27.54 |
-0.7 |
|
|
41KABB |
4.9 |
0.68 |
6.16 |
0.72 |
8.57 |
11.69 |
11.07 |
0.06 |
|
|
42KCHS |
7.8 |
0.5 |
33.44 |
0.57 |
1.25 |
1.71 |
1.58 |
-0.25 |
|
|
43KGTS |
10.9 |
1.6 |
8.4 |
0.9 |
6.95 |
10.7 |
7.05 |
-0.89 |
|
|
44KOEN |
19.2 |
0.12 |
-5.12 |
0.12 |
-1.48 |
-2.38 |
-2.34 |
-0.1 |
|
|
45KOLE |
50.4 |
0.4 |
28.33 |
0.25 |
0.71 |
0.87 |
0.86 |
0.15 |
|
|
46KRNG |
62.7 |
0.22 |
6.33 |
0.18 |
1.92 |
2.82 |
2.78 |
0.13 |
|
|
47KUBE |
50 |
0.27 |
7.23 |
0.35 |
2.35 |
4.81 |
4.66 |
-0.35 |
|
|
48KUBN |
101.8 |
1.38 |
7.93 |
1.58 |
14.07 |
19.88 |
16.5 |
-1.52 |
|
|
49KZBE |
115.2 |
0.29 |
18.61 |
0.23 |
0.86 |
1.22 |
1.02 |
0.1 |
|
|
50LKOH |
12078 |
0.93 |
3.91 |
3.47 |
45.21 |
88.76 |
66.83 |
0.04 |
|
|
51LNTC |
23.9 |
0.94 |
12.89 |
0.82 |
5.33 |
6.35 |
5.96 |
0.35 |
|
|
52LSNG |
291.1 |
0.67 |
10.69 |
0.55 |
3.74 |
5.12 |
5.01 |
-0.15 |
|
|
53MGTS |
578.8 |
2.64 |
41.73 |
1.43 |
2.23 |
3.42 |
2.42 |
-1.76 |
|
|
54MSNG |
1144.8 |
0.92 |
17.86 |
0.65 |
2.79 |
3.66 |
3.27 |
0.22 |
|
|
55MUEL |
26.1 |
0.97 |
551.8 |
0.8 |
0.11 |
0.15 |
0.12 |
-0.13 |
|
|
56NNGE |
19.6 |
0.08 |
1.57 |
0.12 |
3.52 |
7.82 |
7.7 |
-0.04 |
|
|
57NNSI |
120.8 |
2.42 |
12.58 |
1.91 |
12.1 |
15.21 |
13.73 |
0.04 |
|
|
58NVGT |
8.7 |
0.85 |
6.72 |
0.87 |
10.73 |
12.78 |
12.16 |
0.35 |
|
|
59NVNG |
24.3 |
0.13 |
-1.63 |
0.13 |
-4.56 |
-7.73 |
-7.36 |
-0.05 |
|
|
60PKBA |
18.7 |
0.06 |
0.27 |
0.1 |
29.15 |
35.31 |
33.01 |
0.5 |
|
|
61PMNG |
71 |
0.23 |
2.76 |
0.23 |
4.78 |
8.33 |
8.29 |
0.09 |
|
|
62PNZE |
10 |
0.1 |
-11.51 |
0.12 |
-0.52 |
-1.08 |
-1.05 |
-0.01 |
|
|
63PSEN |
8.5 |
0.3 |
2.12 |
0.19 |
7.37 |
8.85 |
8.75 |
0.36 |
|
|
64RTKM |
832.2 |
1.4 |
15.75 |
1.75 |
4.23 |
11.14 |
5.14 |
-0.86 |
|
|
65RTSE |
53.2 |
0.32 |
48.05 |
0.21 |
0.32 |
0.43 |
0.35 |
0.14 |
|
|
66SAGO |
129.1 |
0.38 |
22.33 |
0.4 |
1.32 |
1.81 |
1.64 |
0.29 |
|
|
67SARE |
48.2 |
0.79 |
6.69 |
0.24 |
4.2 |
7.21 |
|
-0.73 |
|
|
68SMSI |
17.2 |
1.27 |
22.47 |
0.94 |
3.74 |
4.2 |
4.07 |
-0.02 |
|
|
69SNGS |
11846.8 |
2.54 |
5.51 |
2.08 |
35 |
37.78 |
37.47 |
0.85 |
|
|
70SPTL |
231.8 |
2.56 |
16.45 |
1.24 |
5.87 |
7.55 |
6.36 |
-0.29 |
|
|
71SRES |
30.1 |
1.17 |
21.23 |
1.45 |
4.88 |
6.83 |
5.6 |
-0.28 |
|
|
72STRG |
6 |
0.06 |
5.72 |
0.07 |
1.04 |
1.21 |
1.2 |
0.47 |
|
|
73SVER |
67.5 |
0.1 |
4.78 |
0.13 |
1.6 |
2.64 |
2.57 |
0.01 |
176
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях
Окончание таблицы П3.1
# |
|
Ticker |
Cap |
P/S |
P/E |
P/B |
ROA |
|
ROE |
ROIC |
Liquidity |
|
74SVIC |
83.4 |
1.63 |
52.24 |
0.92 |
1.38 |
|
1.75 |
1.65 |
-0.62 |
|
|
75SVIM |
4 |
0.45 |
150.22 |
0.49 |
0.23 |
|
0.32 |
0.31 |
0.27 |
|
|
76SVLN |
53.5 |
1.28 |
27.63 |
1.48 |
5.11 |
|
7.12 |
5.88 |
-0.42 |
|
|
77SVPN |
6.8 |
0.58 |
6.04 |
0.56 |
7.58 |
|
9.33 |
8.38 |
-0.18 |
|
|
78SVZK |
5.7 |
0.22 |
3.49 |
0.29 |
4.33 |
|
8.31 |
5.1 |
-0.97 |
|
|
79TATN |
1132.9 |
0.34 |
1.7 |
0.66 |
22.02 |
|
38.94 |
26.58 |
0.1 |
|
|
80TLEN |
44.7 |
0.22 |
5.64 |
0.29 |
3.38 |
|
5.14 |
5 |
0.06 |
|
|
81TMTK |
22.2 |
0.93 |
5.25 |
0.77 |
12.57 |
|
14.67 |
13.89 |
0.21 |
|
|
82TOME |
34.8 |
0.39 |
12.07 |
0.17 |
1.36 |
|
1.44 |
1.44 |
0.64 |
|
|
83TUTE |
56.1 |
2.14 |
35.27 |
1.29 |
2.99 |
|
3.66 |
3.25 |
-0.43 |
|
|
84UDMN |
200.4 |
0.44 |
4.6 |
0.77 |
13.79 |
|
16.74 |
16.64 |
0.61 |
|
|
82TOME |
34.8 |
0.39 |
12.07 |
0.17 |
1.36 |
|
1.44 |
1.44 |
0.64 |
|
|
83TUTE |
56.1 |
2.14 |
35.27 |
1.29 |
2.99 |
|
3.66 |
3.25 |
-0.43 |
|
|
84UDMN |
200.4 |
0.44 |
4.6 |
0.77 |
13.79 |
|
16.74 |
16.64 |
0.61 |
|
|
85URSI |
120.7 |
1.94 |
25.68 |
1.29 |
3.13 |
|
5.04 |
3.37 |
-1.91 |
|
|
86URTC |
74.6 |
0.84 |
5.46 |
1.24 |
16.56 |
|
22.72 |
19.3 |
-0.13 |
|
|
87VGEN |
32.1 |
0.16 |
-1.65 |
0.24 |
-7.5 |
|
-14.71 |
-13.8 |
-0.04 |
|
|
88VZCM |
44.7 |
1.45 |
9.94 |
0.98 |
7.4 |
9.87 |
8.19 |
1.95 |
||
|
89YARE |
18 |
0.14 |
2.46 |
0.12 |
3.92 |
|
5.01 |
4.99 |
0.17 |
|
|
90YATK |
36.5 |
1.36 |
8.89 |
1.17 |
10.77 |
|
13.13 |
12.24 |
-0.01 |
|
|
91YUKO |
14898.3 |
2.93 |
7.85 |
8.82 |
32.44 |
|
112.36 |
55.95 |
-0.83 |
|
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Cap |
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35 |
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30 |
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25 |
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20 |
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15 |
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10 |
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5 |
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0 |
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<10 |
10.0130 |
30.0150 |
50.0170 |
70.01- |
90 |
90.01110 |
110.01130 |
130.01- |
150 |
150.01- |
170 |
170.01- |
190 |
Рис. П3.1. Гистограмма фактора Cap |
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177
P/E фактора Гистограмма .3.3П .Рис
0 |
2 |
4 |
6 |
8 |
10 |
12 |
<-5 -4.99--3 -2.99--1 -0.99-1 1.01-3 3.01-5
5.01-7
7.01-9
9.01-11
11.01-13
13.01-15
15.01-17
17.01-19
19.01-21
P/E
P/S фактора Гистограмма .2.3П .Рис
<0.3
0.31-0.6
0.61-0.9
0.91-1.2
1.21-1.5
1.51-1.8
1.81-2.1
2.11-2.4
2.41-2.7
2.71-3
3.01-3.3
3.31-3.6
3.61-3.9
0 |
5 |
10 |
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20 |
25 |
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Недосекин |
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.О.А |
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P/S |
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менеджмент Фондовый |
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условиях расплывчатых в |
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178
ROA фактора Гистограмма .5.3П .Рис
<-5 -4.99--2 -1.99-1 1.01-4 4.01-7
7.01-10
10.01-13
13.01-16
16.01-19
19.01-22
22.01-25
25.01-28
0 |
5 |
10 |
15 |
20 |
25 |
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.Рис |
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ROA |
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фактора Гистограмма .4.3П |
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ВP/ |
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<0.2 0.21-0.4 0.41-0.6 0.61-0.8 0.81-1 1.01-1.2 1.21-1.4 1.41-1.6 1.61-1.8 1.81-2 2.01-2.2 2.21-2.4 2.41-2.6 2.61-2.8 2.81-3
16 14 12 10 8 6 4 2 0 |
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Недосекин |
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.О.А |
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P/B |
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менеджмент Фондовый |
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условиях расплывчатых в |
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179
Недосекин А.О. Фондовый менеджмент в расплывчатых условиях |
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ROE |
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16 |
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14 |
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12 |
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10 |
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8 |
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6 |
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4 |
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2 |
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0 |
-4.99--2 |
-1.99-1 |
1.01-4 |
4.01-7 |
7.01-10 |
10.01-13 |
13.01-16 |
16.01-19 |
19.01-22 |
22.01-25 |
25.01-28 |
<-5 |
|||||||||||
Рис. П3.6. Гистограмма фактора ROЕ |
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ROIC |
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20 |
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18 |
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16 |
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14 |
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12 |
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10 |
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8 |
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6 |
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4 |
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2 |
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0 |
-4.99--2 |
-1.99-1 |
1.01-4 |
4.01-7 |
7.01-10 |
10.01-13 |
13.01-16 |
16.01-19 |
19.01-22 |
22.01-25 |
25.01-28 |
<-5 |
|||||||||||
Рис. П3.7. Гистограмма фактора ROIC |
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180