‫ﻭﺯﺍﺭﺓ ﺍﻟﺘﻌﻠﻴﻡ ﺍﻟﻌﺎﻟﻲ ﻭﺍﻟﺒﺤﺙ ﺍﻟﻌﻠﻤﻲ‬

‫ﺠﺎﻤﻌﺔ ﺍﻟﻘﺎﺩﺴﻴﺔ‬
‫ﻜﻠﻴ‪‬ﺔ ﺍﻹﺩﺍﺭﺓ ﻭﺍﻻﻗﺘﺼﺎﺩ‬
‫ﻗﺴﻡ ﺇﺩﺍﺭﺓ ﺍﻷﻋﻤﺎل ‪ /‬ﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﻌﻠﻴﺎ‬

‫ﺘﺄﺜﻴﺭ ﺍﺨﺘﻴﺎﺭ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻓﻲ ﺃﺩﺍﺀ ﻤﺤﺎﻓﻅ ﺍﻷﺴﻬﻡ‬

‫ﺍﻟﻌﺎﺩﻴﺔ‬
‫دراﺳﺔ ﺗﺤﻠﯿﻠﯿﺔ ﻓﻲ ﺳﻮق اﻟﻌﺮاق ﻟﻸوراق اﻟﻤﺎﻟﯿﺔ‬
‫ﻟﻠﻤﺪة ﻣﻦ ‪2012- 2005‬‬

‫ﺒﺤﺙ ﻤﻘﺩﻡ ﻤﻥ ﻗﺒل ﺍﻟﻁﺎﻟﺒﺔ‬

‫اﻷﺳﺘﺎذ اﻟﻤﺴﺎﻋﺪ اﻟﺪﻛﺘﻮر‬

‫ﻋﻠﻲ ﺟﯿﺮان ﻋﺒﺪ ﻋﻠﻲ اﻟﺨﻔﺎﺟﻲ‬ ‫ﺻﺎﺑﺮﯾﻦ ﺟﻤﺎل ﺟﻼل اﻟﺰﻟﺰﻟﻲ‬

‫‪2016‬م‬ ‫‪ 1438‬ھـ‬
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‫ﺍﻟﻤﺴﺘﺨﻠﺹ‬
‫ﺘﻬﺩﻑ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ ﺒﻨﺎﺀ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﻋﺎﺩﻴﺔ ﻤﺨﺘﺎﺭﺓ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﺅﺸﺭﺍﺕ ﺍﻟﻨﻤﻭ ﻭﻤﻥ ﺜﻡ‬
‫ﻗﻴﺎﺱ ﺘﺄﺜﻴﺭ ﻫﺫﻩ ﺍﻟﻤﺤﻔﻅﺔ )ﻜﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﻨﻤﻭ ( ﻋﻠﻰ ﺨﺼﺎﺌﺹ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ‬
‫ﻭﺘﺨﻔﻴﺽ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﻤﻥ ﺨﻼل ﺍﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﻜﻤﺅﺸﺭ ﻤﺭﺠﻌﻲ ﺃﺴﺎﺴﻲ‪ ،‬ﻟﻘﺩ‬
‫ﺍﻓﺘﺭﻀﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺒﺄﻥ )ﻻ ﻴﺅﺩﻱ ﺘﺭﻜﻴﺏ ﻤﺤﻔﻅﺔ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻤﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺇﻟﻰ ﺘﺤﺴﻴﻥ‬
‫ﺨﺼﺎﺌﺹ ﻤﺤﻔﻅﺘﻬﺎ ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺨﺘﻠﻑ‬
‫ﻤﺅﺸﺭﺍﺕ ﺍﻟﻘﻴﺎﺱ( ﻭﻟﻐﺭﺽ ﺍﺨﺘﺒﺎﺭ ﺍﻟﻔﺭﻀﻴﺎﺕ ﺘﻡ ﺍﺨﺘﻴﺎﺭ )‪ (3‬ﻤﺅﺸﺭﺍﺕ ﺃﺴﺎﺴﻴﺔ ﻟﻘﻴﺎﺱ ﺃﺴﻬﻡ‬
‫ﺍﻟﻨﻤﻭ ﻭﻋﻴﻨﺔ ﺸﻤﻠﺕ )‪ (30‬ﺴﻬﻡ ﻭﺯﻋﺕ ﻋﻠﻰ ﻗﻁﺎﻋﺎﺕ ﺍﻟﺴﻭﻕ ﺍﻟﺭﺌﻴﺴﻴﺔ ﺍﻟـــ )‪ (6‬ﻭﺒﻭﺍﻗﻊ‬
‫)‪ (2880‬ﻤﺸﺎﻫﺩﺓ‪ .‬ﻟﻘﺩ ﻗﺩﻡ ﺍﻟﺘﺤﻠﻴل ﺍﻟﻌﻤﻠﻲ ﺭﻓﻀﹰﺎ ﻟﻜل ﻓﺭﻀﻴﺎﺕ ﺍﻟﻌﺩﻡ ﻭﺃﻓﻀﻰ ﺇﻟﻰ ﺍﻟﻌﺩﻴﺩ ﻤﻥ‬
‫ﺍﻻﺴﺘﻨﺘﺎﺠﺎﺕ ﻜﺎﻥ ﻤﻥ ﺃﻫﻤﻬﺎ ﻫﻭ ﺃﻥ ﺍﺨﺘﻴﺎﺭ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻓﻲ ﺒﻨﺎﺀ ﻤﺤﺎﻓﻅ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻴﺅﺩﻱ‬
‫ﺇﻟﻰ ﺘﺤﺴﻴﻥ ﺨﺼﺎﺌﺹ ﺘﻠﻙ ﺍﻟﻤﺤﺎﻓﻅ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻨﺨﻔﺎﺽ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﻴﻘﻭﺩ ﺇﻟﻰ‬
‫ﺘﺨﻔﻴﺽ ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ‪ Cofficient of Variation‬ﻜﻤﻘﻴﺎﺱ ﻴﺠﻤﻊ ﺒﻴﻥ ﺒﻌﺩﻱ ﺍﻟﻌﺎﺌﺩ‬
‫ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﻓﻲ ﺁﻥ ﻭﺍﺤﺩ ﻭﻴﺴﺎﻫﻡ ﻓﻲ ﺘﺴﻬﻴل ﺍﺨﺘﻴﺎﺭ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻷﻓﻀل ‪ .‬ﺘﺄﺴﻴﺴﹰﺎ ﻋﻠﻰ ﺫﻟﻙ ﻜﺎﻥ‬
‫ﻤﻥ ﺃﻫﻡ ﺍﻟﺘﻭﺼﻴﺎﺕ ﺍﻟﺘﻲ ﺘﺒﻨﺘﻬﺎ ﻫﺫﻩ ﻫﻭ ﺃﻥ ﺘﻌﻅﻴﻡ ﺃﺭﺒﺎﺡ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻭﺘﺨﻔﻴﺽ ﻤﺨﺎﻁﺭ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭﺍﺕ ﺍﻟﻤﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﺘﺘﺤﻘﻕ ﺃﺫﺍ ﻤﺎ ﺘﻡ ﺍﻟﺘﺭﻜﻴﺯ ﻋﻠﻰ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻋﻨﺩ ﺘﺭﻜﻴﺏ ﻤﺤﺎﻓﻅ‬
‫ﻼ ﻋﻠﻰ ﺫﻟﻙ ﺃﻅﻬﺭﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺘﺒﺎﻴﻥ ﻤﺴﺘﻭﻴﺎﺕ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﺒﻴﻥ‬
‫ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ‪ ،‬ﻓﻀ ﹰ‬
‫ﺍﻟﻘﻁﺎﻋﺎﺕ ﻭﺘﻔﻭﻕ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﺘﻲ ﺭﺸﺤﺕ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻤﻥ ﺍﻷﺴﻬﻡ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﺎﻟﻴﺔ‬
‫ﻟﻔﺭﺹ ﺍﻟﻨﻤﻭ )‪ (PVGO‬ﻋﻠﻰ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﺘﻲ ﺸﻜﻠﺕ ﺒﺎﺴﺘﺨﺩﺍﻡ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺍﻷﺨﺭﻯ ﻤﻤﺎ ﻴﻌﻁﻲ‬
‫ﺃﻓﻀﻠﻴﺔ ﻻﺴﺘﺨﺩﺍﻡ ﻫﺫﺍ ﺍﻟﻤﻘﻴﺎﺱ ﻓﻲ ﺒﻨﺎﺀ ﻤﺤﺎﻓﻅ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ‪.‬‬
٢

Abstract
This study amis to build a portfolio of common stocks by using stocks
and then measure the impact of this portfolio on the characteristics of
such investment in term of increasing the return and reducing the risk
compared with the market portfolio benchmark index. The main
hypothesis of this study is construction a portfolio of growth stocks will
not improve purse characteristics in terms of return and risk by using a
different measurement indicators. For the purpose of testing hypotheses
were selected three key indicators to measure growth stockand a sample
of (30) stocks covered the key six sectors of the market; 2880
observations.
Apractical analysis presented rejected of all null hypothesis and it is reach
to many of conclusion, the most important of them is to choose growth
stocks in the construction of the portfolio lead to improve the
characteristics of the portfolio in terms of return and risk and then
reducting the coefficient of variation as a measure combines the two
dimensions of risk and return in the same time. Based on this basis, it was
the most important of the recommendations adopted by the study is that
to maximize the profits of investors and reduce the risk could be achieved
if what has been a focus on growth stocks in the building investment
portfolio. In addition, the study showed differing levels of return and risk
among the market segments and superiority of a portfolio performance
that is installed using a pointer of present value of growth opportunities
(PVGO) on the portfolios of other indexes wich gives prefernes to use
this indicator in the construction of the common stock portfolios.
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‫ﺍﻟﻤﻘﺩﻤﺔ‬
‫ﺤﻅﻰ ﻤﻭﻀﻭﻉ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻭﻟﻡ ﻴﺯل ﺒﺎﻫﺘﻤﺎﻡ ﻜﺒﻴﺭ ﻓﻲ ﺍﻷﺩﺒﻴﺎﺕ ﺍﻟﻤﺎﻟﻴﺔ‪ ،‬ﺭﺒﻤﺎ ﻜﺭﺩ ﻓﻌل‬
‫ﻟﻠﺼﻌﻭﺒﺎﺕ ﻭﺍﻟﻤﺸﺎﻜل ﺍﻟﺘﻲ ﺘﺼﺎﺤﺏ ﻋﻤﻠﻴﺔ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﻭﺍﻟﺘﻲ ﺘﺘﻁﻠﺏ ﺍﻟﻤﺯﻴﺩ ﻤﻥ‬
‫ﺍﻟﺒﺤﺙ ﺍﻷﻜﺎﺩﻴﻤﻲ ﻭﺍﻟﺘﻁﺒﻴﻘﻲ‪ ،‬ﻭﻷﻥ ﺍﻟﻬﺩﻑ ﺍﻷﺴﺎﺴﻲ ﻟﻠﻤﺴﺘﺜﻤﺭ ﻫﻭ ﺍﻟﺤﺼﻭل ﻋﻠﻰ ﺃﻋﻠﻰ ﻋﺎﺌﺩ‬
‫ﺒﺄﺩﻨﻰ ﺩﺭﺠﺔ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺃﻭ ﺘﻌﻅﻴﻡ ﺍﻟﻌﺎﺌﺩ ﻤﻘﺎﺒل ﺍﻟﻤﺨﺎﻁﺭﺓ ﻁﺒﻘﹰﺎ ﻻﻓﺘﺭﺍﻀﺎﺕ ﻨﻅﺭﻴﺔ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺍﻟﺤﺩﻴﺜﺔ‪ .‬ﻓﻘﺩ ﺤﺎﻭﻟﺕ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ –ﻜﻤﺎ ﻫﻭ ﺸﺄﻥ ﺍﻟﻌﺩﻴﺩ ﻤﻥ ﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﺴﺎﺒﻘﺔ –ﺘﺤﻘﻴﻕ ﻫﺫﻩ‬
‫ﺍﻟﻐﺎﻴﺔ ﻋﻥ ﻁﺭﻴﻕ ﺍﺴﺘﺨﺩﺍﻡ ﻋﺩﺩ ﻤﻥ ﻤﻨﺎﻫﺞ ﺍﻟﺘﺤﻠﻴل ﺍﻟﻜﻤﻲ ﻭﻟﻜﻥ ﺍﻟﻤﺸﻜﻠﺔ ﺍﻷﺴﺎﺴﻴﺔ ﻫﻲ ﺃﻥ ﺘﺤﻘﻴﻕ‬
‫ﻫﺫﻩ ﺍﻟﻐﺎﻴﺔ ﻴﺒﺩﻭ ﻤﺘﻌﺎﺭﺽ ﻓﻲ ﻅل ﺍﻟﻤﻨﻁﻠﻘﺎﺕ ﺍﻷﺴﺎﺴﻴﺔ ﻟﻨﻅﺭﻴﺎﺕ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﺘﻘﻠﻴﺩﻴﺔ ﺍﻟﺘﻲ‬
‫ﺘﻔﺘﺭﺽ ﺃﻥ ﻫﻨﺎﻟﻙ ﻋﻼﻗﺔ ﻁﺭﺩﻴﺔ ﺒﻴﻥ ﻤﺴﺘﻭﻯ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ‪ .‬ﻭﻷﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺘﺤﺘل ﺃﻫﻤﻴﺔ‬
‫ﻜﺒﻴﺭﺓ ﻓﻲ ﺍﻷﺴﻭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺍﻟﻌﺎﻟﻤﻴﺔ ﺠﺭﻯ ﺍﻟﺭﺒﻁ ﺒﻴﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻋﻠﻰ‬
‫ﺃﺴﺎﺴﻬﺎ‪ ،‬ﻟﻜﻥ ﺍﻟﺩﺭﺍﺴﺔ ﺘﻨﺎﻭﻟﺕ ﻓﻲ ﺠﺎﻨﺒﻬﺎ ﺍﻟﻨﻅﺭﻱ –ﻜﻤﺎ ﺘﻘﺘﻀﻲ ﺃﺼﻭل ﺍﻟﺒﺤﺙ ﺍﻟﻌﻠﻤﻲ‪ -‬ﻤﻔﺎﻫﻴﻡ‬
‫ﺍﻟﻨﻤﻭ ﻭﺍﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻭﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺘﻠﻙ ﺍﻟﻤﺤﻔﻅﺔ ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫‪.‬ﻟﻘﺩ ﺠﺭﻯ ﺘﺼﻨﻴﻑ ﺍﻷﺴﻬﻡ ﺒﺤﺴﺏ ﺩﺭﺠﺔ ﺍﻟﻨﻤﻭ ﺇﻟﻰ ﻋﺎﻟﻴﺔ ﻭﻤﻨﺨﻔﻀﺔ ﺒﺎﺴﺘﺨﺩﺍﻡ )‪ (3‬ﻤﻥ‬
‫ﻤﺅﺸﺭﺍﺕ ﺍﻟﻘﻴﺎﺱ ﺍﻟﺭﺌﻴﺴﻴﺔ ﻭﻫﻲ ﻨﺴﺒﺔ ﺍﻟﺴﻌﺭ ﻋﻠﻰ ﺍﻹﻴﺭﺍﺩ )‪ (P/E‬ﺃﻭ ﻜﻤﺎ ﺘﺴﻤﻰ ﻓﻲ ﺃﺩﺒﻴﺎﺕ‬
‫ﺍﻹﺩﺍﺭﺓ ﺍﻟﻤﺎﻟﻴﺔ ﺒـ )ﺍﻟﻤﻀﺎﻋﻑ( ﻭﻤﺅﺸﺭ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﺎﻟﻴﺔ ﻟﻔﺭﺹ ﺍﻟﻨﻤﻭ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ )‪(PVGO‬‬
‫ﻭﺃﺨﻴﺭﹰﺍ ﻤﺅﺸﺭ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﻜﻤﻘﻴﺎﺱ ﻟﺸﺭﻜﺎﺕ ﺍﻟﻨﻤﻭ ﺒﺎﻓﺘﺭﺍﺽ ﺃﻥ ﻤﻥ ﺍﻟﻤﻨﻁﻕ ﺍﺴﺘﺨﺩﺍﻡ ﺘﺭﺍﻜﻡ‬
‫ﺍﻷﺭﺒﺎﺡ ﻜﻤﺼﺩﺭ ﻟﺘﻤﻭﻴل ﺍﻟﺘﻭﺴﻌﺎﺕ ﻭﺍﻟﻨﻤﻭ ﻓﻲ ﻤﻨﻅﻤﺎﺕ ﺍﻷﻋﻤﺎل ﺍﻟﻬﺎﺩﻓﺔ ﻟﻠﺭﺒﺢ ‪ ،‬ﻻﻨﺠﺎﺯ ﻫﺫﺍ‬
‫ﺍﻟﺠﻬﺩ ﺍﻟﻤﺘﻭﺍﻀﻊ ﻗﺴﻤﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ )‪ (4‬ﻤﺤﺎﻭﺭ ﺃﺨﺘﺹ ﺍﻷﻭل ﻤﻨﻬﺎ‪ -‬ﻜﻤﺎ ﺃﺸﺭﻨﺎ ﺁﻨﻔﹰﺎ – ﺇﻟﻰ‬
‫ﺘﻨﺎﻭل ﺍﻷﻁﺭ ﺍﻟﻨﻅﺭﻴﺔ ﻟﻤﺘﻐﻴﺭﺍﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻭﺨﺎﺼﺔ ﻓﻴﻤﺎ ﻴﺘﻌﻠﻕ ﺒﻤﻔﻬﻭﻡ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺫﻱ ﻻﺯﺍل‬
‫ﻤﺤل ﺍﻫﺘﻤﺎﻡ ﺍﻟﺒﺎﺤﺜﻴﻥ ﻭﺍﻟﻤﺨﺘﺼﻴﻥ ﻓﻲ ﺍﻟﺤﻘل ﺍﻟﻤﺎﻟﻲ )‪(Open to Debate‬ﺒﺴﺒﺏ ﻋﺩﻡ ﻭﺠﻭﺩ‬
‫ﺘﻌﺭﻴﻑ ﻤﻘﺒﻭل ﻭﻤﺘﻔﻕ ﻋﻠﻴﻪ ﻟﻬﺫﺍ ﺍﻻﺴﻡ ﻭﻓﻴﻤﺎ ﺇﺫﺍ ﻜﺎﻥ ﺍﻟﻤﻘﺼﻭﺩ ﺒﻪ ﺍﺘﺠﺎﻩ ﻨﻤﻭ ﻭﺘﺯﺍﻴﺩ ﺍﻷﺭﺒﺎﺡ ﺍﻡ‬
‫ﺍﺘﺠﺎﻩ ﻤﻌﺩﻻﺕ ﺍﻟﻌﺎﺌﺩ ﺍﻟﻌﺎﻟﻴﺔ ﺍﻡ ﻨﻤﻭ ﻤﺒﻴﻌﺎﺕ ﺍﻟﺴﻬﻡ ﺒﺄﻋﻠﻰ ﻤﻥ ﺍﻟﻤﻌﺩل ﺍﻡ ﻤﻌﺩل ﻨﻤﻭ ﺍﻟﺸﺭﻜﺔ ﺍﻡ‬
‫ﻨﻤﻭ ﻤﻘﺴﻭﻡ ﺍﻻﺭﺒﺎﺡ ؟ ﻓﻴﻤﺎ ﺃﻨﺼﺭﻑ ﺍﻟﺜﺎﻨﻲ ﺇﻟﻰ ﺍﺴﺘﻌﺭﺍﺽ ﺃﻫﻡ ﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﺴﺎﺒﻘﺔ ﺫﺍﺕ ﺍﻟﺼﻠﺔ‬
‫ﻼ ﻋﻥ ﻤﻨﻬﺠﻴﺘﻬﺎ ﺃﻤﺎ ﺍﻟﺘﺤﻠﻴل ﺍﻟﺘﻁﺒﻴﻘﻲ ﻭﺍﺨﺘﺒﺎﺭ ﻓﺭﻀﻴﺎﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻓﻘﺩ‬
‫ﺒﻤﻭﻀﻭﻉ ﺍﻟﺩﺭﺍﺴﺔ ﻓﻀ ﹰ‬
‫ﺘﻜﻔل ﺒﻪ ﺍﻟﻤﺤﻭﺭ ﺍﻟﺜﺎﻟﺙ ﻤﻨﻬﺎ ﻭﺨﺼﺹ ﺍﻟﻤﺤﻭﺭ ﺍﻟﺭﺍﺒﻊ ﻭﺍﻷﺨﻴﺭ ﻷﻫﻡ ﺍﺴﺘﻨﺘﺎﺠﺎﺘﻬﺎ ﻭﺘﻭﺼﻴﺎﺘﻬﺎ ‪.‬‬

‫ﻭﻤﻥ ﺍﷲ ﺍﻟﺘﻭﻓﻴﻕ‬
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‫ﺍﻟﻤﺤﻭﺭ ﺍﻷﻭل ‪ -:‬ﺍﻹﻁﺎﺭ ﺍﻟﻨﻅﺭﻱ ﻟﻠﺩﺭﺍﺴﺔ‬

‫ﺃﻭﻻﹰ‪ -:‬ﻤﻔﻬﻭﻡ ﻭﻁﺒﻴﻌﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ‬
‫ﻴﺘﻡ ﺍﻟﻨﻅﺭ ﺇﻟﻰ ﻤﺼﻁﻠﺢ ﺍﻟﻨﻤﻭ ﻓﻲ ﺃﺩﺒﻴﺎﺕ ﺍﻹﺩﺍﺭﺓ ﺍﻟﻤﺎﻟﻴﺔ ﻤﻥ ﺯﻭﺍﻴﺎ ﻤﺘﻌﺩﺩﺓ ‪ ،‬ﺃﻤﺎ ﻓﻲ ﻤﺠﺎل ﺇﺩﺍﺭﺓ‬
‫ﺍﻟﻤﺎل ﻭﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻴﺘﻡ ﺘﻨﺎﻭﻟﻪ ﻤﻥ ﻋﺩﺓ ﺯﻭﺍﻴﺎ ‪،‬ﻤﻨﻬﺎ ﻨﻤﻭ ﺍﻟﻤﺒﻴﻌﺎﺕ ‪ ، Sales growth‬ﻨﻤﻭ ﻤﻘﺴﻭﻡ‬
‫ﺍﻷﺭﺒﺎﺡ ﻭﺍﻷﺭﺒﺎﺡ ‪ ، Dividend and earnings growth‬ﺘﻨﺎﻤﻲ ﺍﻟﺴﻌﺭ ‪price‬‬
‫‪ (Graber, 1969 : 52) .appreciation‬ﻭﺍﻟﻤﻘﺼﻭﺩ ﺒﻨﻤﻭ ﺍﻟﻤﺒﻴﻌﺎﺕ ﻫﻲ ﺍﻟﺯﻴﺎﺩﺓ ﺍﻟﺤﺎﺼﻠﺔ ﻓﻲ‬
‫ﺍﻟﻤﺒﻴﻌﺎﺕ ﻟﻔﺘﺭﺓ ﺯﻤﻨﻴﺔ ﻤﻌﻴﻨﺔ ﻜﺎﻥ ﺘﻜﻭﻥ ﺴﻨﺔ ) ‪ (Ahmed &Mehmood, 2010 : 6‬ﺃﻤﺎ ﻨﻤﻭ‬
‫ﺤﺼﺹ ﺃﻭ ﻤﻘﺴﻭﻡ ﺍﻷﺭﺒﺎﺡ ﻓﺎﻟﻤﻘﺼﻭﺩ ﺒﻬﺎ ﺃﻥ ﻴﺤﺩﺙ ﺍﻟﻨﻤﻭ ﻓﻲ ﺤﺼﺹ ﺍﻷﺭﺒﺎﺡ ﻤﻥ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﻷﺴﺎﺴﻴﺔ ﻤﻤﺎ ﻴﻨﻌﻜﺱ ﻋﻠﻰ ﻨﺼﻴﺏ ﺍﻟﺴﻬﻡ ﺍﻟﻭﺍﺤﺩ ﻤﻨﻬﺎ )‪ Erning per share (Eps‬ﻭﺘﻨﻤﻭ‬
‫ﺍﻷﺭﺒﺎﺡ ﺒﺩﻭﺭﻫﺎ ﻤﻥ ﻋﺩﺓ ﻤﺼﺎﺩﺭ ﺃﻫﻤﻬﺎ ﺘﺭﺍﻜﻡ ﺍﻷﺭﺒﺎﺡ ﺍﻟﺘﻲ ﺘﺤﺘﺠﺯﻫﺎ ﺍﻟﺸﺭﻜﺔ ﻭﺘﻌﻴﺩ ﺍﺴﺘﺜﻤﺎﺭﻫﺎ‬
‫‪ ،‬ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺫﻱ ﺘﻜﺘﺴﺒﻪ ﺍﻟﺸﺭﻜﺔ ﻋﻠﻰ ﺤﻘﻭﻕ ﻤﻠﻜﻴﺘﻬﺎ )‪، Return on equity (ROE‬‬
‫ﻭﺒﺎﻟﺭﻏﻡ ﻤﻥ ﺃﻥ ﻗﻴﻤﺔ ﺍﻟﺴﻬﻡ ﺘﺘﺄﺜﺭ ﺒﺤﺼﺹ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻓﻼ ﻴﻌﻨﻲ ﻫﺫﺍ ﺒﺎﻟﻀﺭﻭﺭﺓ ﺃﻥ‬
‫ﺍﻟﺸﺭﻜﺎﺕ ﻴﻤﻜﻥ ﺃﻥ ﺘﺯﻴﺩ ﺃﺴﻌﺎﺭ ﺃﺴﻬﻤﻬﺎ ﺒﺯﻴﺎﺩﺓ ﺤﺼﺹ ﺍﻷﺭﺒﺎﺡ ﺍﻟﺤﺎﻟﻴﺔ‪ ،‬ﺒﺒﺴﺎﻁﺔﻷﻥ ﺍﻫﺘﻤﺎﻤﺎﺕ‬
‫ﺤﻤﻠﺔ ﺍﻷﺴﻬﻡ ﻭﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻻ ﺘﻘﺘﺼﺭ ﻋﻠﻰ ﻤﻘﺴﻭﻡ ﺍﻷﺭﺒﺎﺡ ﺍﻟﺤﺎﻟﻴﺔ ﺃﻭ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﻁﺎﻟﻤﺎ ﻫﻡ‬
‫ﻴﻌﺭﻓﻭﻥ ﺃﻥ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺩﻓﻊ ﺤﺼﺹ ﺃﺭﺒﺎﺡ ﺤﺎﻟﻴﺔ ﻤﺭﺘﻔﻌﺔ ﺘﺤﺘﺠﺯ ﺒﺎﻟﻀﺭﻭﺭﺓ ﻤﻭﺍﺭﺩ ﻤﺎﻟﻴﺔ‬
‫ﺃﻗل ﻭﺘﻜﻭﻥ ﻋﺭﻀﺔ ﻟــ ﻓﺭﺹ ﺘﻭﺴﻊ ﺃﻗل ) ‪.(Ehrhat& Brigham, 2009 : 406-405‬‬
‫ﺃﻥ ﻤﺼﻁﻠﺢ ﺍﻟﻨﻤﻭ ﻴﻨﺼﺭﻑ ﺒﺩﺍﻫ ﹰﺔ ﺇﻟﻰ ﺍﻟﻨﻤﻭ ﻓﻲ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﻷﻥ ﺘﻨﺎﻤﻲ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﻫﻭ ﺍﻟﻤﻴﺯﺓ‬
‫ﺍﻷﺴﺎﺴﻴﺔ ﺍﻟﺘﻲ ﺘﻤﻴﺯ ﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﻟﻜﻥ ﻗﺒل ﺫﻟﻙ ﻴﺠﺏ ﺍﻟﺘﻤﻴﺯ ﺒﻴﻥ ﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﻨﻤﻭ ﺍﻟﺸﺭﻜﺔ ﻷﻨﻪ‬
‫ﻏﺎﻟﺒﹰﺎ ﻤﺎ ﻴﺩﻤﺞ ﺍﺼﻁﻼﺤﹰﺎ ﺒﻴﻥ ﻤﻔﻬﻭﻡ ﺍﻟﻨﻤﻭ ﻟﻠﺸﺭﻜﺎﺕ ﻤﻊ ﻨﻤﻭ ﺍﻷﺴﻬﻡ ﺃﻭ ﻨﻤﻭ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﻭ ﺒﻌﺽ‬
‫ﺍﻷﺩﺒﻴﺎﺕ ﺘﺴﺘﺨﺩﻡ ﻫﺫﺍ ﺍﻟﻤﺼﻁﻠﺢ ﺒﺎﻋﺘﺒﺎﺭﻩ ﺫﻭ ﺩﻻﻟﺔ ﻭﺍﺤﺩﺓ ﺒﺎﻟﺭﻏﻡ ﻤﻥ ﻭﺠﻭﺩ ﺸﺒﻪ ﺃﺠﻤﺎﻉ ﻋﻠﻰ ﺃﻥ‬
‫ﺍﻟﻨﻤﻭ ﺒﺎﻟﻨﺴﺒﺔ ﻟﻠﺸﺭﻜﺎﺕ ﻴﺘﺠﺴﺩ ﺒﻔﺭﺹ ﺩﺨﻭﻟﻬﺎ ﺒﻤﺸﺎﺭﻴﻊ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﺘﻲ ﻴﺭﺘﻔﻊ ﻓﻴﻬﺎ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ‬
‫ﻏﻴﺭ ﺍﻟﻁﺒﻴﻌﻲ ﻓﻲ ﻅل ﺘﻤﺎﺜل ﻤﺴﺘﻭﻴﺎﺕ ﺍﻟﻤﺨﺎﻁﺭﺓ ‪ ،‬ﻭﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻫﻭ ﺴﻬﻡ ﺫﻭ ﻤﻌﺩل ﻋﺎﺌﺩ ﺃﻋﻠﻰ‬
‫ﻤﻥ ﺒﻴﻥ ﻜل ﺍﻷﺴﻬﻡ ﻓﻲ ﺍﻟﺴﻭﻕ ﻓﻲ ﻅل ﺘﻤﺎﺜل ﺍﻟﻤﺨﺎﻁﺭﺓ ) ‪Friend & Puckett, 1964 :‬‬
‫‪ (695-658‬ﻭﻴﺅﺩﻱ ﺍﻟﻨﻤﻭ ﺍﻟﻤﺴﺘﺩﺍﻡ ﻟﺒﻌﺽ ﺍﻟﺸﺭﻜﺎﺕ ﺇﻟﻰ ﺍﺭﺘﻔﺎﻉ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﺍﻟﻭﺍﺤﺩ ﻭﺒﺫﻟﻙ‬
‫ﻴﻨﻤﻭ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﻓﻲ ﺍﻟﺴﻭﻕ ﺒﺴﺒﺏ ﺤﺼﺘﻪ ﺍﻟﻤﺘﺼﺎﻋﺩﺓ ﻓﻲ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺤﺘﺠﺯﺓ ﻭﺘﺤﺴﻴﻥ ﻓﺭﺹ‬
‫ﻭﺃﻓﺎﻕ ﺍﻟﺸﺭﻜﺔ ﻭﻤﺜل ﻫﺫﺍ ﺍﻻﺭﺘﻔﺎﻉ ﻓﻲ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﺍﻟﻭﺍﺤﺩ ﻴﻘﻠل ﻤﻥ ﺍﻨﺘﺸﺎﺭﻩ ﻟﺩﻯ ﺠﻤﻬﻭﺭ‬
‫ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻭﻴﺤﺩ ﻤﻥ ﺃﻤﻜﺎﻨﻴﺔ ﻨﻤﻭ ﺴﻌﺭﻩ ﺒﺎﻟﻤﺴﺘﻘﺒل ﺒﺴﺒﺏ ﻀﻌﻑ ﺍﻟﻁﻠﺏ ﻋﻠﻴﻪ ﻤﻥ ﻗﺒل ﺒﻌﺽ‬
‫ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﺍﻟﺫﻱ ﻴﺠﺩﻭﻥ ﺴﻌﺭﻩ ﻋﺎﻟﻴﹰﺎ )ﺍﻟﺸﻤﺎﻉ‪.(527:1992،‬‬
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‫ﻻ ﻴﺯﺍل ﻤﻭﻀﻭﻉ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻤﻭﻀﻭﻋﹰﺎ ﻤﺜﻴﺭﹰﺍ ﻟﻠﺠﺩل ﻭﺍﻻﻫﺘﻤﺎﻡ ﺒﻴﻥ ﺍﻟﺒﺎﺤﺜﻴﻥ ﻭﺍﻟﻤﺨﺘﺼﻴﻥ ﻓﻲ‬
‫ﻋﺎﻟﻡ ﺍﻟﻤﺎل ﻭﺍﻻﺴﺘﺜﻤﺎﺭ ﻋﻠﻰ ﺍﻟﺭﻏﻡ ﻤﻥ ﺃﻥ ﺒﺩﺍﻴﺔ ﻫﺫﺍ ﺍﻟﻤﻭﻀﻭﻉ ﻴﻌﻭﺩ ﺇﻟﻰ ﺃﻜﺜﺭ ﻤﻥ ﺴﺘﻴﻥ ﻋﺎﻤﹰﺎ‬
‫ﻤﻀﺕ ‪ .‬ﻭﺒﺸﻜل ﻋﺎﻡ ﻓﺎﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻫﻲ ﺘﻠﻙ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺘﺘﺩﺍﻭل ﺒﺄﺴﻌﺎﺭ ﻤﺭﺘﻔﻌﺔ ﻤﻘﺎﺭﻨﺔ ﻤﻊ‬
‫ﺍﻷﺴﻬﻡ ﺍﻷﺨﺭﻯ ‪ ،‬ﻜﻤﺎ ﺘﺘﻤﻴﺯ ﺒﺎﺭﺘﻔﺎﻉ ﺍﻹﻴﺭﺍﺩﺍﺕ ﻭﺍﻟﻘﻴﻤﺔ ﺍﻟﺩﻓﺘﺭﻴﺔ ﻭﺍﻟﺘﺩﻓﻕ ﺍﻟﻨﻘﺩﻱ ﻭﺍﻷﺭﺒﺎﺡ ﻭﻏﺎﻟﺒﹰﺎ‬
‫ﻤﺎ ﺘﻨﺼﺭﻑ ﺩﻻﻟﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺇﻟﻰ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﻜﻭﻥ ﺍﻟﻘﻴﻤﺔ ﺍﻻﺴﻤﻴﺔ ﻟﺭﺃﺴﻤﺎﻟﻬﺎ ﺃﻋﻠﻰ ﻤﻥ‬
‫ﻤﺘﻭﺴﻁ ﺍﻟﺴﻭﻕ )‪ (Hoekian , 2011 : 14‬ﺃﻭ ﻫﻲ ﻋﻠﻰ ﺤﺩ ﺘﻌﺒﻴﺭ ) ‪Sincere , 2004 :‬‬
‫‪ (31‬ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺠﻨﻲ ﺍﻟﻜﺜﻴﺭ ﻤﻥ ﺍﻟﻤﺎل )ﻋﺎﺩﺓ ‪ %15‬ﺃﻭ ﺃﻜﺜﺭ ﻓﻲ ﺍﻟﺴﻨﺔ( ﻭﻤﻥ ﺍﻟﻤﺘﻭﻗﻊ‬
‫ﺃﻥ ﺘﻨﻤﻭ ﺒﺼﻭﺭﺓ ﺃﺴﺭﻉ ﻤﻥ ﺍﻷﺴﻬﻡ ﺍﻟﻤﻨﺎﻓﺴﺔ ﻭﻴﻤﻜﻥ ﺃﻥ ﻴﻜﻭﻥ ﺴﻌﺭ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻋﺎﻟﻲ ﺠﺩﹰﺍ ﺤﺘﻰ‬
‫ﻟﻭ ﻜﺎﻨﺕ ﺃﺭﺒﺎﺡ ﺍﻟﺸﺭﻜﺔ ﻟﻴﺴﺕ ﻤﻤﺘﺎﺯﺓ ﻭﺫﻟﻙ ﻷﻥ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻫﻨﺎ ﻴﻔﻀﻠﻭﻥ ﺍﻟﻨﻤﻭ ﻭﻴﻌﺘﻘﺩﻭﻥ ﺃﻥ‬
‫ﻭﻴﺭﻯ‬ ‫ﻟﻠﻤﺨﺎﻁﺭﺓ‪،‬‬ ‫ﻤﺴﺘﻌﺩﺓ‬ ‫ﻭﻫﻲ‬ ‫ﺍﻟﻤﺴﺘﻘﺒل‬ ‫ﻓﻲ‬ ‫ﺍﻟﻤﺎل‬ ‫ﺘﻜﺴﺏ‬ ‫ﺴﻭﻑ‬ ‫ﺍﻟﺸﺭﻜﺎﺕ‬
‫)‪ (Yesica,2014:16‬ﺃﻨﻪ ﻏﺎﻟﺒﹰﺎ ﻤﺎ ﺘﻭﺠﺩ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﻓﻲ ﺸﺭﻜﺎﺕ ﺍﻟﺼﻨﺎﻋﺎﺕ ﺍﻟﻤﺘﻘﺩﻤﺔ‪ ،‬ﻭﺇﻀﺎﻓﺔ‬
‫ﻷﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻫﻨﺎﻟﻙ ﺃﻨﻭﺍﻉ ﻋﺩﻴﺩﺓ ﻤﻥ ﺍﻷـﺴﻬﻡ ﻻﺒﺩ ﻤﻥ ﺍﻟﺘﻌﺭﻴﻑ ﺒﻬﺎ ﺘﻤﺸﻴﹰﺎ ﻤﻊ ﻤﻨﻁﻠﻘﺎﺕ ﺍﻟﺒﺤﺙ‬
‫ﺍﻟﻌﻠﻤﻲ‪.‬‬
‫‪٦‬‬

‫ﺜﺎﻨﻴﺎﹰ‪ -:‬ﺃﻨﻭﺍﻉ ﺍﻷﺴﻬﻡ‬

‫‪-1‬ﺃﺴﻬﻡ ﺍﻟﺩﺨل ‪Income stocks‬‬
‫ﻫﻲ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺩﻓﻊ ﻤﻘﺴﻭﻤﺎﺕ ﺃﺭﺒﺎﺡ ﻤﻘﺎﺒل ﻤﻜﺎﺴﺏ ﺭﺃﺱ ﺍﻟﻤﺎل ﻟﺫﺍ ﻓﻬﻲ ﺒﻤﺜﺎﺒﺔ ﻤﺤﺎﻓﻅ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﺘﻲ ﻴﻤﻜﻥ ﺍﻻﻋﺘﻤﺎﺩ ﻋﻠﻴﻬﺎ ﻓﻲ ﺘﻭﻟﻴﺩ ﺍﻟﺩﺨل ﻭﻏﺎﻟﺒﹰﺎ ﻤﺎ ﻴﺸﺎﺭ ﻟﻬﺎ ﺒﺄﺴﻬﻡ )ﺍﻟﻔﻘﺭﺍﺀ(‬
‫ﺍﻟﺒﺎﺤﺜﻴﻥ ﻋﻥ ﺩﺨل ﺍﻟﻤﻌﻴﺸﺔ ﻭﻫﻲ ﻤﻨﺎﺴﺒﺔ ﻻﺴﺘﻜﻤﺎل ﺍﻹﻴﺭﺍﺩﺍﺕ ﺍﻷﺨﺭﻯ‪ ،‬ﻭﻤﻥ ﺍﻷﻤﺜﻠﺔ ﻋﻠﻰ ﺃﺴﻬﻡ‬
‫ﺍﻟﺩﺨل ﺃﺴﻬﻡ ﺍﻟﻤﺭﺍﻓﻕ ﺍﻟﻌﺎﻤﺔ ﻤﺜل ﺍﻻﺘﺼﺎﻻﺕ ﺍﻟﺴﻠﻜﻴﺔ ﻭﺍﻟﻼﺴﻠﻜﻴﺔ ﻟﻠﺸﺭﻜﺎﺕ ﻭﺸﺭﻜﺎﺕ ﺍﻟﻜﻬﺭﺒﺎﺀ‬
‫ﻭﻏﻴﺭﻫﺎ ) ‪(Levisauskaite , 2010 : 83‬‬
‫‪ -2‬ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ‪Value stocks‬‬
‫ﻫﻲ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻤﺭﺒﺤﺔ ﺍﻟﺘﻲ ﻴﺘﻡ ﺒﻴﻌﻬﺎ ﺒﺴﻌﺭ ﻤﻌﻘﻭل ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﻘﻴﻘﻴﺔ ﻟﻬﺎ‪،‬‬
‫ﻭﺘﺴﺘﺨﺩﻡ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﻤﻥ ﻗﺒل ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻘﺩﻴﻤﺔ ﻤﺜل ﺸﺭﻜﺎﺕ ﺍﻟﺒﻨﻭﻙ ﻭﺍﻟﺘﺄﻤﻴﻥ ﻭﺍﻟﺘﻲ ﻤﻥ ﺍﻟﻤﺭﺠﺢ‬
‫ﺃﻥ ﻴﺯﻴﺩ ﺴﻌﺭﻫﺎ ﻓﻲ ﺍﻟﻤﺴﺘﻘﺒل ﻭﻟﻜﻥ ﻟﻴﺱ ﺒﺴﺭﻋﺔ ﺯﻴﺎﺩﺓ ﺃﺴﻌﺎﺭ ﺍﻷﺴﻬﻡ ﺍﻷﺨﺭﻯ‪Sindell, ) .‬‬
‫‪(2004:162‬‬
‫‪-3‬ﺍﻷﺴﻬﻡ ﺍﻟﺩﻭﺭﻴﺔ ‪Cyclical stocks‬‬
‫ﻫﻲ ﺘﻠﻙ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺘﺘﻐﻴﺭ ﺼﻌﻭﺩﹰﺍ ﻭﻫﺒﻭﻁﹰﺎ ﻤﻊ ﺍﺘﺠﺎﻩ ﺍﻷﻋﻤﺎل ﻭﺍﻻﻗﺘﺼﺎﺩ ﺤﻴﺙ ﺘﺭﺘﻔﻊ ﺒﺼﻭﺭﺓ‬
‫ﺴﺭﻴﻌﺔ ﻓﻲ ﻓﺘﺭﺍﺕ ﺘﺤﺴﻴﻥ ﺍﻷﻋﻤﺎل ﻭﺘﻌﺎﻨﻲ ﻫﺒﻭﻁﹰﺎ ﻤﻠﺤﻭﻅﹰﺎ ﻋﻨﺩ ﺘﺩﻫﻭﺭ ﺍﻟﻅﺭﻭﻑ ﺍﻻﻗﺘﺼﺎﺩﻴﺔ‬
‫ﺇﺫﺘﺘﺄﺜﺭ ﺇﻴﺭﺍﺩﺍﺘﻬﺎ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﺘﺄﺜﺭﹰﺍ ﻜﺒﻴﺭﹰﺍ ﺒﺎﻟﺘﻘﻠﺒﺎﺕ ﺍﻟﺩﻭﺭﻴﺔ ﺍﻟﻤﺼﺎﺤﺒﺔ ﻟﺤﺎﻟﺔ ﺍﻻﻨﻜﻤﺎﺵ ﻭﺍﻻﻨﺘﻌﺎﺵ‬
‫ﺍﻻﻗﺘﺼﺎﺩﻱ ﻭﻫﻭ ﺍﻷﺴﺎﺱ ﺍﻟﺫﻱ ﺍﻜﺘﺴﺒﺕ ﻤﻨﻪ ﺍﺴﻤﻬﺎ)ﺍﻟﻘﺭﺸﻲ ‪(10:2002،‬‬

‫‪-4‬ﺃﺴﻬﻡ ﺍﻟﻤﻀﺎﺭﺒﺔ ‪Speculative stocks‬‬

‫ﻫﻲ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﻴﺸﺘﺭﻴﻬﺎ ﺍﻟﻤﻀﺎﺭﺒﻭﻥ ﻟﺘﻭﻓﺭ ﺃﻤﻜﺎﻨﻴﺔ ﺘﻨﺎﻤﻲ ﺴﻌﺭﻫﺎ ﻭﺘﺤﻤل ﺩﺭﺠﺔ ﻋﺎﻟﻴﺔ‬
‫ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ‪ .‬ﻭﻋﺎﺩﺓ ﻤﺎ ﻴﺘﻡ ﺇﺼﺩﺍﺭﻫﺎ ﻤﻥ ﻗﺒل ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺠﺩﻴﺩﺓ ﻭﺍﻟﻤﻌﻤﻭﺭﺓ ﺍﻟﺘﻲ ﻟﺩﻴﻬﺎ ﺃﻓﻜﺎﺭ‬
‫ﻭﺘﻁﻠﻌﺎﺕ ﻤﺴﺘﻘﺒﻠﻴﺔ ﻁﻤﻭﺤﺔ‪ .‬ﻭﻴﻤﻜﻥ ﺃﻥ ﺘﺘﻼﺸﻰ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﻷﻨﻬﺎ ﺘﺘﻭﺴﻊ ﺒﺴﺭﻋﺔ ﻭﺘﻘﺩﻡ‬
‫ﻟﻠﻤﺴﺘﺜﻤﺭ ﻋﻭﺍﺌﺩ ﻜﺒﻴﺭﺓ ﺃﻭ ﺃﻨﻬﺎ ﻴﻤﻜﻥ ﺃﻥ ﺘﺘﻀﺎﻋﻑ ﺒﻨﻔﺱ ﺍﻟﺴﺭﻋﺔ ) ‪Piccolomini et al,‬‬
‫‪(2007:16‬‬
‫‪ -5‬ﺍﻷﺴﻬﻡ ﺍﻟﺩﻓﺎﻋﻴﺔ ‪Defensive stocks‬‬
‫‪٧‬‬

‫ﻫﻲ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﻴﺘﻭﻗﻊ ﺒﻘﺎﺀ ﺃﺴﻌﺎﺭﻫﺎ ﻤﺴﺘﻘﺭﺓ ﺒل ﻭﺤﺘﻰ ﻤﺘﺯﺍﻴﺩﺓ ﺨﻼل ﺍﻟﺭﻜﻭﺩ‬
‫ﺍﻻﻗﺘﺼﺎﺩﻱ ‪ ،‬ﻭﻻ ﺘﺭﺘﻔﻊ ﺃﺴﻌﺎﺭﻫﺎ ﺒﺴﺭﻋﺔ ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻷﺴﻬﻡ ﺍﻷﺨﺭﻯ ﻋﻨﺩﻤﺎ ﻴﺯﺩﻫﺭ ﺍﻻﻗﺘﺼﺎﺩ‬
‫ﻻ ﻋﻠﻰ ﺃﺴﻌﺎﺭﻫﺎ ﻋﻨﺩ ﺘﺒﺎﻁﺅ‬
‫) ‪ (Piccolomini el at , 2007 :15‬ﻭﺘﺤﺎﻓﻅ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﺃﺠﻤﺎ ﹰ‬
‫ﺤﺭﻜﺔ ﺍﻻﻗﺘﺼﺎﺩ ﻟﺫﺍ ﺘﻭﺼﻑ ﺒﺄﻨﻬﺎ ﻤﻘﺎﻭﻤﺔ ﻟﻠﺭﻜﻭﺩ )‪.(Faerber , 2000 : 28‬‬

‫ﺜﺎﻟﺜﺎﹰ‪ -:‬ﺨﺼﺎﺌﺹ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ‬

‫ﺘﺘﻤﻴﺯ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺒﺨﻼﻑ ﺃﻨﻭﺍﻉ ﺍﻷﺴﻬﻡ ﺍﻷﺨﺭﻯ ﺒﺎﻟﺨﺼﺎﺌﺹ ﺍﻵﺘﻴﺔ ‪Levisauskait , ) :‬‬
‫‪) (Hoekjan ,2011: 15-14 ) (Yazdi & Ardekani ,2014:151) (2010:83‬ﺍﻟﺸﻴﺦ‬
‫‪Sindell , ) (The Journal of Finance , September , 1957 : 6 ) (18: 2002،‬‬
‫‪(2004: 144‬‬
‫‪ -1‬ﺘﺤﺼل ﻋﻠﻰ ﺯﻴﺎﺩﺓ ﻤﻠﻤﻭﺴﺔ ﻓﻲ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺴﻭﻗﻴﺔ ﻤﻊ ﺍﻟﻭﻗﺕ‪ ،‬ﻭﻴﻜﻭﻥ ﻤﻌﺩل ﺘﻠﻙ ﺍﻟﺯﻴﺎﺩﺓ ﺃﻋﻠﻰ‬
‫ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻷﻨﻭﺍﻉ ﺍﻷﺨﺭﻯ ﻤﻥ ﺍﻷﺴﻬﻡ ﻜﺄﺴﻬﻡ ﺍﻟﺩﺨل‪.‬‬
‫‪ -2‬ﺴﻌﺭﻫﺎ ﺃﻋﻠﻰ ﻤﻥ ﻤﺘﻭﺴﻁ ﺴﻌﺭ ﺍﻟﺴﻭﻕ ﻨﺴﺒﺔ ﺇﻟﻰ ﺍﻟﺘﺩﻓﻘﺎﺕ ﺍﻟﻨﻘﺩﻴﺔ ﻭﻤﻘﺴﻭﻡ ﺍﻷﺭﺒﺎﺡ ﻭﺍﻟﻘﻴﻤﺔ‬
‫ﺍﻻﺴﻤﻴﺔ‪.‬‬
‫‪-3‬ﻻ ﻴﺘﻭﻗﻊ ﺍﻟﻤﺴﺘﺜﻤﺭﻭﻥ ﻓﻲ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻤﻜﺎﺴﺏ ﻗﺼﻴﺭﺓ ﺍﻷﺠل ‪ ،‬ﻭﻴﺄﻤﻠﻭﻥ ﺒﺨﻠﻕ ﺍﻟﻘﻴﻤﺔ‬
‫ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﻤﻊ ﺍﻟﻭﻗﺕ ﻤﻥ ﺨﻼل ﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺘﻁﻠﻊ ﺇﻟﻰ ﺍﻟﺴﻭﻕ ﺃﻭ ﻓﺭﺹ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﺘﻲ ﺘﺴﺘﻬﺩﻑ ﺍﻜﺘﺴﺎﺏ )ﺃﻜﺒﺭ( ﺤﺼﺔ ﻓﻲ ﺍﻟﺴﻭﻕ ﻭﺘﻜﻭﻴﻥ ﺍﻻﺘﺤﺎﺩﺍﺕ ﻭﺘﻘﻠﻴﺹ ﺍﻟﻌﺎﺌﺩ‬
‫ﻋﻠﻰ ﺤﻕ ﺍﻟﻤﻠﻜﻴﺔ ‪.‬‬
‫‪ -4‬ﻴﺘﻭﻗﻊ ﺍﻟﻤﺴﺘﺜﻤﺭﻭﻥ ﺃﻥ ﺒﺎﻹﻤﻜﺎﻥ ﺍﻟﺤﺼﻭل ﻋﻠﻰ ﺇﻴﺭﺍﺩﺍﺕ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﻋﻨﺩ ﺯﻴﺎﺩﺓ ﺍﻟﻘﻴﻤﺔ‬
‫ﺍﻟﺴﻭﻗﻴﺔ ﻟﻠﺸﺭﻜﺔ ‪.‬‬
‫ﺭﺍﺒﻌﺎﹰ‪ -:‬ﺒﻌﺽ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺍﻷﺴﺎﺴﻴﺔ ﻟﻘﻴﺎﺱ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ‬
‫ﻫﻨﺎﻙ ﻤﺠﻤﻭﻋﺔ ﻤﻥ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺍﻟﺘﻲ ﺘﺴﺘﺨﺩﻡ ﻟﻘﻴﺎﺱ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﻟﺘﻲ ﺘﺴﺘﻭﻋﺏ ﺨﺼﺎﺌﺹ ﻫﺫﻩ‬
‫ﺍﻷﺴﻬﻡ ‪ .‬ﻭﺘﺸﻤل ﻫﺫﻩ ﺍﻟﻤﺅﺸﺭﺍﺕ ‪:‬ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ‪ ،‬ﻤﺅﺸﺭ ﻨﺴﺒﺔ ‪ ، ، PVGO‬ﻤﺅﺸﺭ ﻨﺴﺒﺔ‬
‫ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ‪ ،‬ﺇﻀﺎﻓﺔ ﺇﻟﻰ ﻤﺅﺸﺭﺍﺕ ﺃﺨﺭﻯ ﺃﻗل ﺸﻴﻭﻋﹰﺎ ﻭﺍﺴﺘﺨﺩﺍﻤﹰﺎ ﻓﻲ ﻤﺠﺎل ﺘﺼﻨﻴﻑ ﺃﺴﻬﻡ‬
‫ﺍﻟﻨﻤﻭ ﻤﺜل ﻤﺅﺸﺭ ﻜﻴﻑ ‪ ،‬ﻤﺅﺸﺭ ﺃﻤﻠﻠﻨﻙ‪(Hoekian, 2011 :17) (Strahel, 2011: 29) ،‬‬
‫)‪) (Cave , 1964: 1039‬ﺍﻷﻋﺭﺠﻲ‪) (150:2003،‬ﺍﻟﺸﻴﺦ‪) (74-73:2002،‬ﺍﻟﻌﺎﻤﺭﻱ‪،‬‬
‫‪(497-496: 2010‬‬

‫‪P/E,Price /Earning‬‬ ‫‪ -1‬ﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ‬

‫‪٨‬‬

‫ﻴﻌﺩ ﻤﺅﺸﺭ ‪ P/ E‬ﻤﻥ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺫﺍﺕ ﺍﻷﻫﻤﻴﺔ ﺍﻟﻜﺒﻴﺭﺓ ﻟﻘﻴﺎﺱ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺒﺎﻷﺴﻬﻡ‪ ،‬ﺇﺫ ﻴﻤﻜﻥ‬
‫ﺍﺴﺘﺨﺩﺍﻤﻪ ﻟﻘﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﺸﺭﻜﺎﺕ ﻭﺫﻟﻙ ﻤﻥ ﺨﻼل ﺍﻟﺘﻨﺒﺅ ﺒﻤﻌﺩﻻﺕ ﻨﻤﻭ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻟﻬﺎ‬
‫ﻭﺍﺴﺘﺨﺩﺍﻤﻪ ﻤﺅﺸﺭﹰﺍ ﻟﺘﻭﻗﻴﺕ ﺍﻟﺴﻭﻕ ﻭﺍﺘﺠﺎﻫﻪ ﻋﻨﺩ ﺍﺭﺘﻔﺎﻉ ﻭﺍﻨﺨﻔﺎﺽ ﺃﺴﻌﺎﺭ ﺍﻷﺴﻬﻡ ﻓﻲ ﺍﻷﺴﻭﺍﻕ‬
‫ﺍﻟﻤﺎﻟﻴﺔ‪ ،‬ﻭﻴﺤﺴﺏ ﻤﺅﺸﺭ‪(P/ E)‬ﻭﻓﻕ ﺍﻟﺼﻴﻐﺔ ﺍﻵﺘﻴﺔ ‪(Strahel,2011:33) :‬‬

‫‪P‬‬
‫=‪P/E‬‬ ‫)‪..................................(1-1‬‬
‫) ‪EPS ( E‬‬

‫‪-2‬ﻤﺅﺸﺭ ﻨﺴﺒﺔ ‪PVGO‬‬

‫‪Present Value Growth Opportunities‬‬
‫ﻴﺴﺘﻤﺩ ﺍﻟﻨﻤﻭﺫﺝ ﺍﻓﺘﺭﺍﻀﺎﺘﻪ ﻤﻥ ﻁﺒﻴﻌﺔ ﺍﻟﻌﻼﻗﺔ ﺒﻴﻥ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﻭﺍﻟﻔﺭﺹ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬
‫ﺍﻟﻤﺘﺎﺤﺔ ‪،‬ﺇﺫ ﺃﻥ ﺍﻟﺯﻴﺎﺩﺓ ﻓﻲ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﺘﺭﺘﺒﻁ ﺒﻤﺩﻯ ﺘﻭﻓﺭ ﺍﻟﻔﺭﺹ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ‬
‫ﻭﻫﻲ ﺍﻟﻔﺭﺹ ﺍﻟﺘﻲ ﺘﻤﺘﻠﻙ ﺼﺎﻓﻲ ﻗﻴﻤﺔ ﺤﺎﻟﻴﺔ ﻤﻭﺠﺒﺔ ﺘﺠﻌل ﻤﻥ ﺍﻟﺯﻴﺎﺩﺓ ﻓﻲ ﺴﻌﺭ ﺍﻟﺴﻬﻡ ﺘﻌﻜﺱ‬
‫ﻜﺎﻓﺔ ﺤﻘﺎﺌﻕ ﺍﻻﺴﺘﺜﻤﺎﺭﺍﺕ ﺍﻟﻤﺨﻁﻁﺔ‪ ،‬ﻴﺘﻀﺢ ﻤﻤﺎ ﺘﻘﺩﻡ ﺃﻥ ﻁﺭﻴﻘﺔ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻁﺭﻴﻘﺔ ﻓﻲ ﺘﻘﺩﻴﺭ‬
‫ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﻘﻴﻘﻴﺔ ﻟﻠﺴﻬﻡ ﻫﻲ ﺘﻘﺩﻴﺭ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﺎﻟﻴﺔ ﻟﻸﺭﺒﺎﺡ ﺍﻟﻤﺴﺘﻘﺒﻠﻴﺔ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻤﻥ ﺍﻟﻔﺭﺹ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬
‫ﻭﻴﺤﺴﺏ ﺒﺎﻟﻤﻌﺎﺩﻟﺔ ﺃﺩﻨﺎﻩ ‪(Hoekian,2011:44) :‬‬
‫‪NPV1‬‬
‫= ‪PVGO‬‬
‫)‪2‬ــــ‪K - g ................................(1‬‬
‫ﺇﺫ ﺃﻥ ‪:‬‬

‫=‪NPV1‬‬ ‫ﺼﺎﻓﻲ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺤﺎﻟﻴﺔ ﻟﻼﺴﺘﺜﻤﺎﺭﺍﺕ ﻓﻲ ﺃﻭل ﻤﺩﺓ‬

‫=‪K‬‬ ‫ﻤﻌﺩل ﺍﻟﺨﺼﻡ‬
‫=‪g‬‬ ‫ﻤﻌﺩل ﻨﻤﻭ ﺍﻷﺭﺒﺎﺡ‬

‫‪ -3‬ﻗﻴﺎﺱ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ‬

‫ﻴﻤﺜل ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﺼﺩﺭ ﺍﻷﺴﺎﺴﻲ ﻟﻨﻤﻭ ﺍﻷﺭﺒﺎﺡ ﻭﻴﺘﻌﺎﻅﻡ ﺃﺜﺭﻩ ﺨﺎﺼﺔ ﻓﻲ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ‬
‫ﻻ ﺘﺩﻓﻊ ﺃﻱ ﺠﺯﺀ ﻤﻥ ﺃﺭﺒﺎﺤﻬﺎ ﻋﻠﻰ ﺸﻜل ﻤﻘﺴﻭﻡ‪ ،‬ﻭﺘﻌﻴﺩ ﺍﺴﺘﺜﻤﺎﺭﻫﺎ ﺒﺎﻟﻜﺎﻤل‪.‬ﺤﻴﺙ ﻴﺘﺤﻘﻕ ﺍﻟﻨﻤﻭ ﺇﺫﺍ‬
‫ﺘﻡ ﺍﺴﺘﺜﻤﺎﺭ ﺍﻷﺭﺒﺎﺡ ﻓﻲ ﺍﻟﻤﺸﺎﺭﻴﻊ ﺍﻟﺘﻲ ﺘﺤﻘﻕ ﺼﺎﻓﻲ ﻗﻴﻤﺔ ﺤﺎﻟﻴﺔ ﻤﻭﺠﺏ ﺃﻭ ﻤﺴﺎﻭﻱ ﻟﻠﺼﻔﺭ‪.‬‬
‫ﻭﺘﺤﺴﺏ ﻜﺎﻵﺘﻲ‪) -:‬ﺍﻟﻌﺎﻤﺭﻱ ‪(497-496:2010 ،‬‬
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‫=‬ ‫)‪…………………………………………(1-3‬‬
‫ﺇﺫ ﺃﻥ‪:‬‬
‫=‪EPS‬‬ ‫ﺃﺭﺒﺎﺡ ﺍﻟﺴﻬﻡ ﺍﻟﻭﺍﺤﺩ‬
‫=‪Div‬‬ ‫ﻤﻘﺴﻭﻡ ﺃﺭﺒﺎﺡ ﺍﻟﺴﻬﻡ ﺍﻟﻭﺍﺤﺩ‬

‫ﺜﺎﻨﻴﺎﹰ‪ -:‬ﻤﻔﻬﻭﻡ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻭﻨﻅﺭﻴﺔ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬

‫ﻋﺭﻓﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻭﻤﺼﻁﻠﺤﻬﺎ )‪ ( Portfolio‬ﻓﻲ ﺤﻘل ﺍﻻﺴﺘﺜﻤﺎﺭﺍﺕ ﺍﻟﻤﺎﻟﻴﺔ ﺒﺄﻨﻬﺎ‬
‫ﻤﺠﻤﻭﻋﺔ ﻤﻥ ﺍﻟﻤﻭﺠﻭﺩﺍﺕ ﺍﻟﻤﺎﻟﻴﺔ ﻭﺍﻟﻤﺎﺩﻴﺔ ﺍﻟﺘﻲ ﻴﻤﺘﻠﻜﻬﺎ ﺍﻟﻤﺴﺘﺜﻤﺭ ﻤﺜل ﺍﻷﺴﻬﻡ ﻭﺍﻟﺴﻨﺩﺍﺕ‬
‫ﻭﺍﻟﻌﻘﺎﺭﺍﺕ ﻭﻏﻴﺭﻫﺎ )‪ (Mayo, 2008: 8‬ﺃﻤﺎ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺎﻟﻴﺔ ﻓﻘﺩ ﻋﺭﻓﻬﺎ) ‪Jordan &Jr,‬‬
‫‪ (2008: 360‬ﺒﺄﻨﻬﺎ ﻤﺠﻤﻭﻋﺔ ﻤﻥ ﺍﻟﻤﻭﺠﻭﺩﺍﺕ ﺍﻟﻤﺘﻤﺜﻠﺔ ﺒﺎﻷﺴﻬﻡ ﻭﺍﻟﺴﻨﺩﺍﺕ ﺍﻟﺘﻲ ﻴﺤﺘﻔﻅ ﺒﻬﺎ‬
‫ﻼ ﻟﻼﺴﺘﺜﻤﺎﺭ ﺒﺘﺨﻔﻴﺽ ﻤﺨﺎﻁﺭ‬
‫ﺍﻟﻤﺴﺘﺜﻤﺭ ‪،‬ﺤﻴﺙ ﺘﻘﻭﻡ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺒﻭﺼﻔﻬﺎ ﻤﺩﺨ ﹰ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭ ﻤﻥ ﺨﻼل ﻨﻅﺭﻴﺎﺕ ﺍﻟﺘﻨﻭﻴﻊ‪.‬‬

‫*ﻨﻅﺭﻴﺎﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻷﺴﺘﺜﻤﺎﺭﻴﺔ‬

‫‪-1‬ﻨﻅﺭﻴﺔ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺘﻘﻠﻴﺩﻴﺔ ‪Traditional ProtfolioTheory‬‬
‫ﻗﺒل ﺃﻥ ﻴﻀﻊ ﻤﺎﺭﻜﻭﻴﺘﺯ ﻤﻘﺎﻟﺘﻪ ﺍﻟﺭﺍﺌﺩﺓ ﺴﻨﺔ ‪1952‬ﺤﻭل ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻜﺎﻥ ﻫﻨﺎﻙ ﺍﻋﺘﻘﺎﺩﹰﺍ‬
‫ﺸﺎﺌﻌﹰﺎ ﺒﺄﻥ ﺘﻭﺯﻴﻊ ﺍﻟﻤﺨﺎﻁﺭ ﻴﻤﻜﻥ ﺃﻥ ﻴﺘﺤﻘﻕ ﻤﻥ ﺨﻼل ﺍﻟﺘﻨﻭﻴﻊ ﺍﻟﺫﻱ ﻴﺘﻴﺢ ﻟﻠﻤﺴﺘﺜﻤﺭ ﺘﻘﺩﻴﺭ‬
‫ﺍﻟﻤﺨﺎﻁﺭ ﻭﺍﻟﻌﻭﺍﺌﺩ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻟﻠﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻤﻥ ﺨﻼل ﺸﺭﺍﺀ ﻤﺤﻔﻅﺔ ﺘﺤﺘﻭﻱ ﻋﻠﻰ ﻋﺩﺩ‬
‫ﻜﺒﻴﺭ ﻤﻥ ﺍﻷﺴﻬﻡ ﺒﺤﻴﺙ ﻴﺘﻡ ﺍﺨﺘﻴﺎﺭﻫﺎ ﻤﻥ ﻗﻁﺎﻋﺎﺕ ﺍﻗﺘﺼﺎﺩﻴﺔ ﻤﺨﺘﻠﻔﺔ ﻭﺘﻡ ﺍﻟﺘﻘﺎﻁ ﻫﺫﻩ ﺍﻟﻔﻜﺭﺓ‬
‫ﺍﻟﺭﺍﺌﺩﺓ ﺒﺩﻗﺔ ﻤﻥ ﺍﻟﻤﻘﻭﻟﺔ ﺍﻟﻘﺩﻴﻤﺔ )ﻻ ﺘﻀﻊ ﻜل ﺍﻟﺒﻴﺽ ﻓﻲ ﺴﻠﺔ ﻭﺍﺤﺩﺓ ( ﻭﺒﺎﻟﺘﺎﻟﻲ ﻓﺄﻥ ﺍﻟﺘﻨﻭﻴﻊ ﻴﺯﻴﺩ‬
‫ﻤﻥ ﻜﻔﺎﺀﺓ ﺍﻟﻤﺤﻔﻅﺔ ﻭﻴﺤﺩ ﻤﻥ ﻤﺨﺎﻁﺭﺘﻬﺎ ﻭﻴﺤﺴﻥ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ )ِ ‪Aleemkhanm,‬‬
‫‪،(2011:19‬ﻟﻜﻥ ﻫﺫﺍ ﺍﻟﺘﻨﻭﻴﻊ ﻟﻡ ﻴﻬﺘﻡ ﺒﺎﻟﻌﻼﻗﺎﺕ ﺒﻴﻥ ﻤﻜﻭﻨﺎﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺒل ﻴﺨﺘﺎﺭﻫﺎ ﺒﺸﻜل‬
‫ﻋﺸﻭﺍﺌﻲ ﻟﺫﺍ ﺴﻤﻲ ﺒﺎﻟﺘﻨﻭﻴﻊ ﺍﻟﺒﺴﻴﻁ ﺃﻭ ﺍﻟﺴﺎﺫﺝ )‪(Naïve Diversification‬‬
‫‪Efficient Portfolio‬‬ ‫‪ -2‬ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ‬
‫ﻗﺩ ﺫﻫﺏ )ﻤﺎﺭﻜﻭﻴﺘﺯ( ﻓﻲ ﻤﻘﺎﻟﺘﻪ ﺍﻟﺭﺍﺌﺩﺓ ﺴﻨﺔ ‪ 1952‬ﻭﻤﻥ ﺜﻡ ﻜﺘﺎﺒﻪ ﺍﻟﻼﺤﻕ ﺴﻨﺔ ‪ 1959‬ﺃﺒﻌﺩ ﻓﻲ‬
‫ﺘﻔﺴﻴﺭﻩ ﻟﻠﻜﻴﻔﻴﺔ ﺍﻟﺘﻲ ﺘﺨﻔﺽ ﺒﻬﺎ ﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﻤﻥ ﺨﻼل ﺍﻟﺘﻨﻭﻴﻊ ﺍﻟﻤﺩﺭﻭﺱ‪ ،‬ﺤﻴﺙ ﻗﺩﻡ ﻤﻔﻬﻭﻡ‬
‫‪١٠‬‬

‫ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ‪ ،‬ﺒﺎﻋﺘﺒﺎﺭﻫﺎ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺘﻲ ﺘﺤﻘﻕ ﺃﻋﻠﻰ ﻋﺎﺌﺩ ﻤﻤﻜﻥ ﻋﻨﺩ ﻤﺴﺘﻭﻯ ﻤﻌﻴﻥ ﻤﻥ‬
‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺃﻭ ﺍﻟﺘﻲ ﺘﺤﻘﻕ ﺃﺩﻨﻰ ﻤﺨﺎﻁﺭﺓ ﻋﻨﺩ ﻤﺴﺘﻭﻯ ﻤﻌﻴﻥ ﻤﻥ ﺍﻟﻌﺎﺌﺩ ‪،‬ﻭﻟﻘﺩ ﺃﻭﻀﺢ )ﻤﺎﺭﻜﻭﻴﺘﺯ(‬
‫ﺃﻨﻪ ﺒﻌﺩﺩ ﻤﺤﺩﺩ ﻤﻥ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺒﻨﺎﺀ ﻋﺩﺩ ﻜﺒﻴﺭ ﻤﻥ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻭﺃﻥ ﺍﻫﺘﻤﺎﻡ‬
‫ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻴﻨﺹ ﻋﻠﻰ ﻤﺠﻤﻭﻋﺔ ﻤﺤﺩﺩﺓ ﻤﻥ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻤﺜﻠﻰ ﺘﺸﻜل ﻤﻨﺤﻨﻴﹰﺎ ﻴﺴﻤﻰ ﺍﻟﺤﺩ ﺍﻟﻜﻔﻭﺀ‬
‫‪ Efficient Frontiers‬ﻭﻤﻥ ﻫﺫﺍ ﺍﻟﻤﻨﺤﻨﻲ ﻴﺴﺘﻁﻴﻊ ﺍﻟﻤﺴﺘﺜﻤﺭ ﺃﻥ ﻴﺨﺘﺎﺭ ﻤﺤﻔﻅﺘﻪ ﺍﻟﻜﻔﻭﺀﺓ ‪ ،‬ﻟﻴﺘﻼﺌﻡ‬
‫ﻤﻊ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺫﻱ ﻴﻔﻀﻠﻪ ﻭﻤﺴﺘﻭﻯ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﺘﻲ ﻴﺴﺘﻁﻴﻊ ﺘﺤﻤﻠﻬﺎ )ﺍﻟﻌﻠﻲ ‪(5:1997،‬‬
‫ﻭﻴﺴﺘﺨﺩﻡ ﻓﻲ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻋﺩﺩ ﻤﻥ ﺍﻟﻨﻤﺎﺫﺝ ‪:‬‬

‫‪Markowitz Model‬‬ ‫‪ 1‬ﻨﻤﻭﺫﺝ ﻤﺎﺭﻜﻭﻴﺘﺯ‬

‫ﻭﻀﻊ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻤﻥ ﻗﺒل ﻤﺎﺭﻜﻭﻴﺘﺯ‪ ،‬ﻭﻴﻌﺩ ﻤﻥ ﺍﻟﻨﻤﺎﺫﺝ ﺍﻟﺭﺍﺌﺩﺓ ﻭﺍﻟﻤﻬﻤﺔ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬
‫‪ .‬ﺤﻴﺙ ﺴﻌﻰ ﻟﻴﺤﻘﻕ ﺍﻓﺘﺭﺍﻀﺎﺕ ﺃﺴﺎﺴﻴﺔ ﺃﻫﻤﻬﺎ ﺃﻥ ﻫﺩﻑ ﺍﻟﻤﺴﺘﺜﻤﺭ ﻫﻭ ﺘﻌﻅﻴﻡ ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ‬
‫ﻟﻠﻤﺤﻔﻅﺔ ﻷﻱ ﻤﺴﺘﻭﻯ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﺍﻟﺘﻌﺭﺽ ﻷﻗل ﻤﺨﺎﻁﺭﺓ ﻋﺒﺭ ﻤﺴﺘﻭﻯ ﻤﻌﻴﻥ ﻤﻥ ﺍﻟﻌﺎﺌﺩ‬
‫ﻜﻭﻥ ﺍﻟﻤﺴﺘﺜﻤﺭ ﻤﺘﺠﻨﺏ ﻟﻠﻤﺨﺎﻁﺭﺓ ﺒﻁﺒﻴﻌﺘﻪ ﻭﻋﻘﻼﻨﻴﹰﺎ ﻓﻲ ﺃﺘﺒﺎﻉ ﺴﻴﺎﺴﺔ ﻤﺘﻨﻭﻋﺔ ﻭﺍﻀﺤﺔ ﻤﻥ ﺨﻼل‬
‫ﺍﻻﻋﺘﻤﺎﺩ ﻋﻠﻰ ﻤﻌﻠﻭﻤﺎﺕ ﺍﺴﺘﺜﻤﺎﺭﻴﺔ ﺩﻗﻴﻘﺔ ) ‪(Paudel&Koirala, 2006 : 20-19‬‬

‫‪Rp = å wi ri‬‬ ‫) ‪...............................(1-4‬‬

‫ﺇﺫ ﺇﻥ‪:‬‬
‫=‪RP‬‬ ‫ﻋﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ‬
‫=‪Wi‬‬ ‫ﻨﺴﺒﺔ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﺍﻟﻭﺭﻗﺔ ﺍﻟﻤﺎﻟﻴﺔ )‪(I‬‬
‫=‪Ri‬‬ ‫ﻋﺎﺌﺩ ﺍﻟﻭﺭﻗﺔ ﺍﻟﻤﺎﻟﻴﺔ )‪( i‬‬

‫‪é‬‬ ‫‪n‬‬ ‫‪ù‬‬

‫‪sp = êå wi si + åi =1 aiai å wi wj a is js ij ú‬‬
‫‪2‬‬ ‫‪n‬‬

‫‪ë i =1‬‬ ‫‪j =1‬‬ ‫‪û‬‬

‫ﺇﺫ ﺇﻥ‪:‬‬
‫=‪sp‬‬ ‫ﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ‪.‬‬
‫=‪si2‬‬ ‫ﺘﺒﺎﻴﻥ ﻋﺎﺌﺩ ﺍﻟﻭﺭﻗﺔ)‪(i‬‬
‫‪١١‬‬

‫=‪sij‬‬ ‫ﺘﺒﺎﻴﻥ ﻤﺸﺘﺭﻙ ﺒﻴﻥ ﻤﻌﺩﻻﺕ ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ )‪ (i‬ﻤﻥ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ‪.‬‬

‫‪Tobin Model‬‬ ‫‪ -2‬ﻨﻤﻭﺫﺝ ﺘﻭﺒﻥ‬

‫ﺴﺎﻫﻡ )‪ (Tobin‬ﺒﺈﻀﺎﻓﺔ ﺍﻓﺘﺭﺍﺽ ﺃﺨﺭ ﻟﻨﻤﺎﺫﺝ ﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺃﻻ ﻭﻫﻭ ﺃﻤﻜﺎﻨﻴﺔ ﺍﻟﻤﺴﺘﺜﻤﺭ ﻹﻗﺭﺍﺽ‬
‫‪Lend‬ﻭﺍﻻﻗﺘﺭﺍﺽ ‪ Borrow‬ﺒﻤﻌﺩل ﻋﺎﺌﺩ ﺨﺎﻟﻲ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ )‪ (Rf‬ﻭﺃﻥ ﺘﺒﺎﻴﻥ ﻫﺫﺍ ﺍﻟﻌﺎﺌﺩ‬
‫ﺴﻴﻜﻭﻥ ﻤﺴﺎﻭﻴﹰﺎ ﻟﻠﻘﻴﻤﺔ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻟﺫﻟﻙ ﻓﺄﻥ ﺍﻟﺘﺒﺎﻴﻥ ﺍﻟﻤﺸﺘﺭﻙ ﺒﻴﻥ ﺍﻟﻤﻭﺠﻭﺩﺍﺕ ﺍﻟﺨﺎﻟﻴﺔ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫ﻭﻤﻭﺠﻭﺩﺍﺕ ﺃﺨﺭﻯ ﻴﺴﺎﻭﻱ ﺼﻔﺭ )ﻋﺒﺩ ﺍﻟﺭﺴﻭل‪ (41:2011،‬ﺇﺫ ﺘﺘﻜﻭﻥ ﺍﻟﻤﺤﻔﻅﺔ ﻤﻥ ﻋﺎﺌﺩ ﻴﻤﺜل‬
‫ﺍﻟﻤﻌﺩل ﺍﻟﻤﻭﺯﻭﻥ ﻟﻠﻤﺤﻔﻅﺔ ﻭﺍﻟﺫﻱ ﻋﻨﺩ ﺇﻀﺎﻓﺔ )‪ (Rf‬ﻟﻪ ﻟﻥ ﻴﻐﻴﺭ ﻤﻌﺎﺩﻟﺔ ﻋﺎﺌﺩﻫﺎ ﻭﻴﺤﺴﺏ ﻋﺎﺌﺩ‬
‫ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺤﺴﺏ ﻨﻤﻭﺫﺝ ﺘﻭﺒﻥ ﻭﺍﻟﻤﻜﻭﻥ ﻤﻥ ﻤﻭﺠﻭﺩ ﺨﻁﺭ )‪ (2‬ﻭﺃﺨﺭ ﻋﺩﻴﻡ ﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫)‪ (1‬ﻜﺎﻷﺘﻲ ‪(Paudel&Kairala, 2006 : 22) :‬‬

‫)‪Rp=w1r1 + w2r2 ................(1-5‬‬

‫ﺇﺫ ﺇﻥ ‪:‬‬
‫=‪w1‬‬ ‫ﺍﻟﻭﺯﻥ ﺍﻟﻤﺴﺘﺜﻤﺭ‬
‫=‪r1‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ ﻋﻠﻰ ﺍﻟﻤﻭﺠﻭﺩ‬

‫‪Sharpe Model‬‬ ‫‪ -3‬ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ‬

‫ﺤﺎﻭل ﻭﻟﻴﻡ ﺸﺎﺭﺏ )‪ (William Sharpe‬ﻓﻲ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﺘﺒﺴﻴﻁ ﻋﻤﻠﻴﺔ ﺘﺨﻔﻴﺽ ﻭﺇﺩﺨﺎل‬
‫ﺍﻟﺒﻴﺎﻨﺎﺕ‬
‫ﻭﺘﺒﻭﻴﺒﻬﺎ ﻟﻨﻤﻭﺫﺝ )‪ (Markwits‬ﻟﻠﺘﻭﺼل ﺍﻟﻰ ﺤل ﻭﻟﻠﺘﻘﻠﻴل ﺇﻟﻰ ﺤﺩ ﻜﺒﻴﺭ ﻤﻥ ﻫﺫﻩ ﺍﻟﺒﻴﺎﻨﺎﺕ‬
‫ﻭﺍﻟﻤﺘﻁﻠﺒﺎﺕ ﻟﺘﺴﻬﻴل ﺍﻟﻌﻤﻠﻴﺎﺕ ﺍﻟﺤﺴﺎﺒﻴﺔ ﻤﻥ ﺨﻼل ﺍﻟﺭﺒﻁ ﺒﻴﻥ ﻤﺅﺸﺭﺍﺕ ﺍﻟﺴﻭﻕ ﻭﻋﻭﺍﺌﺩ ﺍﻷﻭﺭﺍﻕ‬
‫ﺍﻟﻤﺎﻟﻴﺔ ) ‪ (Paudel &Kairala, 2006 : 20-19‬ﻭﻴﻌﺭﻑ ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ ﺒﻨﻤﻭﺫﺝ ﺍﻟﻤﺅﺸﺭ‬
‫ﺍﻟﻭﺍﺤﺩ ﺤﻴﺙ ﻴﻘﻭﻡ ﻋﻠﻰ ﻓﻜﺭﺓ ﺃﺴﺎﺴﻴﺔ ﻫﻲ ﺃﻥ ﺍﻟﺘﺤﺭﻜﺎﺕ ﻓﻲ ﺴﻭﻕ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻴﺅﺜﺭ ﻋﻠﻰ‬
‫ﺠﻤﻴﻊ ﺍﻷﺴﻬﻡ ﺒﺸﻜل ﻋﺭﻀﻲ‪ ،‬ﺇﺫ ﻴﺴﺘﻌﻤل ﺍﻟﻨﻤﻭﺫﺝ ﻜﻤﻤﺜل ﻟﻠﻌﺎﻤل ﺍﻟﻤﺸﺘﺭﻙ ﺍﻟﻌﺎﻡ‪ ،‬ﻓﻌﻨﺩﻤﺎ ﻴﺘﺤﺭﻙ‬
‫ﻤﺅﺸﺭ ﺍﻟﺴﻭﻕ ﺼﻌﻭﺩﹰﺍ ﻓﺄﻥ ﻤﻌﻅﻡ ﺍﻷﺴﻬﻡ ﺘﻤﻴل ﻟﻠﺯﻴﺎﺩﺓ ﻭﻋﻨﺩﻤﺎ ﻴﻨﺨﻔﺽ ﻤﺅﺸﺭ ﺍﻟﺴﻭﻕ ﺘﻤﻴل‬
‫ﻤﻌﻅﻡ ﺍﻷﺴﻬﻡ ﻟﻼﻨﺨﻔﺎﺽ )‪ (Dileep& Rao, 2013 : 48‬ﻭﻴﺤﺴﺏ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻋﺎﺌﺩ‬
‫ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﻜﻤﺎ ﻴﻠﻲ‪) :‬ﺍﻟﻌﻠﻲ ‪) (138:2002،‬ﺍﻟﺨﻔﺎﺠﻲ ‪(19:2008،‬‬

‫)‪R(p)=α(p) +β(p)R(m)………………….(1-6‬‬
‫‪١٢‬‬

‫ﺇﺫ ﺇﻥ ‪:‬‬
‫=)‪R(p‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ ﻟﻠﻤﺤﻔﻅﺔ‬
‫=)‪α(p‬‬ ‫إﺣﺼﺎﺋﯿﺎ ً ﯾﻤﺜﻞ ﺣﺪ اﻟﺘﻘﺎطﻊ ﻟﻠﻤﺤﻔﻈﺔ اﻻﺳﺘﺜﻤﺎرﯾﺔ‬
‫ﺃﻤﺎ ﻤﺎﻟﻴﹰﺎ ﻓﻴﻤﺜل ﻤﻌﺩل ﻋﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺘﻭﻗﻊ ﻋﻨﺩﻤﺎ ﺘﻜﻭﻥ ﺍﻟﻘﻴﻤﺔ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻟﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺼﻔﺭﹰﺍ‬
‫‪.‬‬

‫ﺍﻟﻨﻅﺎﻤﻴﺔ‬ ‫ﺃﻤﺎ ﻤﺨﺎﻁﺭ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻠﻴﺔ ﻤﻘﺎﺴﻪ ﺒﺎﻟﺘﺒﺎﻴﻥ ﺍﻟﺘﻲ ﺘﺘﻜﻭﻥ ﻤﻥ ﻤﺠﻤﻭﻉ ﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﺍﻟﻼﻨﻅﺎﻤﻴﺔ ﻓﺘﺤﺴﺏ ﻋﻠﻰ ﺍﻟﻨﺤﻭ ﺍﻵﺘﻲ‪:‬‬
‫)‪s2(p)=b2ps2(Rm)+s2(ep)…………….……….…….……………….(1-7‬‬

‫ﺇﺫ ﺇﻥ ‪:‬‬
‫‪b2p‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﻅﺎﻤﻴﺔ ﻟﻠﻤﺤﻔﻅﺔ‬
‫=)‪s2(Rm‬‬
‫=)‪s2(ep‬‬ ‫ﺘﺒﺎﻴﻥ ﺤﺩ ﺍﻟﺨﻁﺄ ﺍﻟﻌﺸﻭﺍﺌﻲ ﻟﻠﻤﺤﻔﻅﺔ‬

‫ﺃﻤﺎ ﻤﻥ ﺍﻟﻨﺎﺤﻴﺔ ﺍﻟﻤﺎﻟﻴﺔ ﻓﺘﻤﺜل ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻼﻨﻅﺎﻤﻴﺔ )ﺃﻭ ﺍﻟﻤﺘﺒﻘﻴﺔ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ ﺒﻌﺩ ﻁﺭﺡ‬
‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﻅﺎﻤﻴﺔ (‪ ،‬ﺃﻱ ﺃﻨﻬﺎ ﺍﻟﺠﺯﺀ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ ﺍﻟﻐﻴﺭ ﻤﺭﺘﺒﻁﺔ ﺒﺘﺤﺭﻜﺎﺕ ﻤﺤﻔﻅﺔ‬
‫ﺍﻟﺴﻭﻕ ﺤﻴﺙ ﺘﻌﺭﻑ ﺒﺄﻨﻬﺎ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻘﺎﺒﻠﺔ ﻟﻠﺘﻨﻭﻴﻊ ‪.‬‬

‫‪ -4‬ﻨﻤﻭﺫﺝ ﺍﻟﺘﺩﺭﻴﺞ ﺍﻟﺒﺴﻴﻁ ‪Simple Ranking Model‬‬

‫ﻭﻅﻑ )ﺃﻟﺘﻭﻥ ﻭﺯﻤﻼﺌﻪ( ﻤﻌﻴﺎﺭ ﺘﺭﻴﻨﻭﺭ ﻟﺘﺩﺭﻴﺞ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺍﻟﻤﺭﺸﺤﺔ ﻟﺘﻀﻤﻴﻨﻬﺎ ﻓﻲ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﻭﻓﻲ ﺍﺨﺘﻴﺎﺭ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺜﻡ ﺍﺴﺘﺨﺭﺍﺝ ﺍﻷﻭﺯﺍﻥ ﺍﻟﻀﺭﻴﺒﻴﺔ ﻟﺘﺤﻘﻴﻕ ﺃﻤﺜﻠﻴﺔ ﻤﺤﻔﻅﺔ ﺠﻤﻴﻊ‬
‫ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﺍﻟﻜﻔﻭﺀﺓ )‪ ،(C‬ﻭﻤﻌﻴﺎﺭ ﺘﺭﻴﻨﻭﺭ ﻋﺒﺎﺭﺓ ﻋﻥ ﻨﺴﺒﺔ ﺍﺴﺘﺨﺩﻤﺕ ﺃﺴﺎﺴﹰﺎ ﻓﻲ ﻤﻘﺎﺭﻨﺔ ﺃﺩﺍﺀ‬
‫ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺤﻴﺙ ﻜﺎﻨﺕ ﺘﻌﺩ )‪ (RP-RF/Bp‬ﺍﻟﻤﺭﺘﻔﻌﺔ ﺃﻓﻀل ﻤﻥ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺫﺍﺕ‬
‫ﺍﻟﻨﺴﺒﺔ ﺍﻟﻤﻨﺨﻔﻀﺔ‪ ،‬ﻭﻫﻜﺫﺍ ﻜﺎﻥ ﻴﺘﻡ ﺘﺩﺭﻴﺞ ﺍﻟﻤﺤﺎﻓﻅﺔ ﺘﻨﺎﺯﻟﻴﹰﺎ ﺤﺴﺏ ﺍﻷﻓﻀﻠﻴﺔ ﻓﻲ ﻀﻭﺀ ﻫﺫﻩ ﺍﻟﻨﺴﺒﺔ‬
‫ﻤﻥ ﺍﻟﻤﺤﻔﻅﺔ‪ .‬ﺃﻱ ﺤﺴﺏ ﺃﺩﺍﺀ ﺍﻟﻤﺴﺘﻭﻯ ﺍﻟﻤﺘﺤﻘﻕ )ﺍﻟﻌﻠﻲ‪ (32:1997،‬ﻭﻴﻌﺩ ﻨﻤﻭﺫﺝ ﺍﻟﺘﺩﺭﻴﺞ‬
‫ﺍﻟﺒﺴﻴﻁ ﻤﻥ ﺍﻟﻨﻤﺎﺫﺝ ﺍﻷﺴﺎﺴﻴﺔ ﻟﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺜﻠﻰ ﻭﺍﺨﺘﻴﺎﺭﻫﺎ ﻭﻴﺘﻤﻴﺯ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﺒﺎﻟﺒﺴﺎﻁﺔ ﻓﻲ‬
‫ﺍﻟﻔﻬﻡ ﻭﺍﻟﺘﻁﺒﻴﻕ‪ ،‬ﺇﺫ ﻴﻌﺘﻤﺩ ﻋﻠﻰ ﺘﺩﺭﻴﺞ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻭﺘﺭﺘﻴﺒﻬﺎ‪ .‬ﺤﻴﺙ ﺃﻋﺘﻤﺩ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻋﻠﻰ‬
‫ﺍﻓﺘﺭﺍﻀﺎﺕ ﻨﻤﻭﺫﺝ )‪ (Sharpe‬ﺍﻹﺤﺼﺎﺌﻲ ﻭﻤﻌﺎﺩﻻﺘﻪ ﺍﻟﺭﻴﺎﻀﻴﺔ ﻓﻲ ﺍﺴﺘﺨﺭﺍﺝ ﻗﻴﻡ ﺍﻟﻌﺎﺌﺩ‬
‫‪١٣‬‬

‫ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﺒﺎﻟﺘﺎﻟﻲ ﻓﺄﻥ ﺍﻟﻤﺭﺤﻠﺔ ﺍﻷﻭﻟﻰ ﻋﻨﺩ ﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﺠﻤﻴﻊ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﺘﺸﺎﺒﻪ‬
‫ﺍﻟﻤﺭﺤﻠﺔ ﺍﻷﻭﻟﻰ ﻟﻨﻤﻭﺫﺝ )‪ ،(Sharpe‬ﺃﻤﺎ ﺘﻁﺒﻴﻕ ﺍﻟﻤﺭﺤﻠﺔ ﺍﻟﺜﺎﻨﻴﺔ ﻓﻴﺅﺩﻱ ﺇﻟﻰ ﺍﺨﺘﻼﻑ ﻓﻲ ﺒﻨﺎﺀ‬
‫ﺍﻟﻤﺤﻔﻅﺔ ﺤﻴﺙ ﻴﺴﺘﻨﺩ ﺍﻟﻨﻤﻭﺫﺝ ﻓﻲ ﻫﺫﻩ ﺍﻟﻤﺭﺤﻠﺔ ﻋﻠﻰ ﺃﺒﺴﻁ ﺍﻟﻁﺭﻕ ﺍﻟﺤﺴﺎﺒﻴﺔ ﺩﻭﻥ ﺍﻟﺤﺎﺠﺔ ﺇﻟﻰ‬
‫ﺃﺠﺭﺍﺀ ﻋﻤﻠﻴﺎﺕ ﺭﻴﺎﻀﻴﺔ ﻤﻌﻘﺩﺓ ﺃﻭ ﺍﺴﺘﺨﺩﺍﻡ ﺃﺠﻬﺯﺓ ﺍﻟﺤﺎﺴﺏ ﺍﻵﻟﻲ ) ‪Ealeset et al, 1995:‬‬
‫‪ (161-160‬ﻭﺘﺒﻨﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺤﺴﺏ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﺒﺎﺴﺘﺨﺩﺍﻡ ﺍﻟﻌﻼﻗﺔ ﺍﻵﺘﻴﺔ ‪Elton & ) :‬‬
‫‪Bason , 2004 : ) (Paudel&Koirala, 2006 : 22) (Gruber, 1995 :188-187‬‬
‫‪(85‬‬

‫‪i‬‬
‫‪( Ri - RF ) b i‬‬
‫‪s m[ 2 å‬‬
‫‪s 2ei‬‬ ‫)‪......................................(1-8‬‬
‫= ‪Ci‬‬ ‫‪i =1‬‬
‫‪i‬‬
‫‪b 2i‬‬
‫‪1 + s 2m å 2‬‬
‫‪i =1 s ei‬‬

‫ﺇﺫ ﺇﻥ ‪:‬‬
‫=‪Ci‬‬ ‫ﻤﻌﺩل ﺍﻟﻘﻁﻊ‬
‫=‪s2m‬‬ ‫ﺘﺒﺎﻴﻥ ﻤﺅﺸﺭ ﺍﻟﺴﻭﻕ‬
‫=‪s2ei‬‬ ‫ﺍﻟﻭﺭﻗﺔ ﺍﻟﻤﺎﻟﻴﺔ ﺍﻟﺘﻲ ﻻ ﺘﺭﺘﺒﻁ ﻤﻊ ﻤﺅﺸﺭ ﺍﻟﺴﻭﻕ )ﺍﻟﻤﺨﺎﻁﺭﺓ ﻏﻴﺭ ﺍﻟﻨﻅﺎﻤﻴﺔ(‬
‫=‪Ri‬‬ ‫ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ‪.‬‬
‫=‪RF‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺨﺎﻟﻲ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ‪.‬‬
‫=‪β i‬‬ ‫اﻟﺒﯿﺘﺎ وھﻲ ﻣﻘﯿﺎس اﻟﻤﺨﺎطﺮة اﻟﻨﻈﺎﻣﯿﺔ‪.‬‬

‫ﻭﺒﻌﺩ ﺍﻟﺤﺼﻭل ﻋﻠﻰ ﻤﻌﺩل ﺍﻟﻘﻁﻊ ﺍﻷﻤﺜل )‪ (Ci‬ﻴﺘﻡ ﺘﺤﺩﻴﺩ ﺃﻋﻠﻰ ﻗﻴﻤﺔ ﻟﻬﺎ ﺒﻌﺩ ﺘﺭﺘﻴﺏ ﻭﺘﺼﻨﻴﻑ‬
‫ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻭﻤﻥ ﺜﻡ ﻤﻘﺎﺭﻨﺔ )‪ (Ci‬ﻤﻊ ﺍﻟﻌﻭﺍﺌﺩ ﺍﻟﻤﻀﺎﻓﺔ ﻟﻠﺒﻴﺘﺎ ﻓﻲ ﻜل ﻭﺤﺩﺓ ﻭﻤﻥ ﺜﻡ ﺃﺨﺘﻴﺎﺭ‬
‫ﺍﻟﻭﺭﻗﺔ ﺍﻟﻤﺎﻟﻴﺔ ﺫﺍﺕ ﺍﻟﻘﻴﻤﺔ ﺍﻷﻜﺒﺭ ﻤﻥ )‪ (C‬ﻟﺘﺩﺭﺝ ﻓﻲ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺜﻠﻰ ﻭﺍﻟﺘﻲ ﺘﻜﻭﻥ ﻓﻴﻬﺎ ﻨﺴﺒﺔ )‬
‫‪ (Ri-RF/βi‬ﺃﻜﺒﺭ ﻤﻥ ﻨﺴﺒﺔ ﺤﺩ ﻗﻁﻊ ﺃﺨﺭ ﺴﻬﻡ ﻴﺘﻡ ﻀﻤﻪ ﺍﻟﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺜﻠﻰ ﻭﻴﺘﻡ ﺍﺴﺘﺨﺭﺍﺝ‬
‫ﻨﺴﺒﺔ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻜﺎﻷﺘﻲ ‪:‬‬

‫‪ℎ‬‬ ‫=) (‬
‫∑‬

‫=‪Zi‬‬ ‫ﺍﻟﻘﻴﻤﺔ ﺍﻟﻌﺩﺩﻴﺔ ﺍﻟﺼﺤﻴﺤﺔ ﻟﻭﺯﻥ ﺍﻟﻤﻭﺠﻭﺩﺍﺕ ﻭﺍﻟﺘﻲ ﻀﻤﺕ ﺇﻟﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺜﻠﻰ‬
‫‪١٤‬‬

‫ﻭﺒﻘﺴﻤﺘﻬﺎ ﻋﻠﻰ )‪ (Z‬ﻨﺤﺼل ﻋﻠﻰ ﺍﻟﻭﺯﻥ ﺍﻟﻨﺴﺒﻲ ﻷﻱ ﻤﻨﻬﺎ ﻭﻴﺴﺘﺨﺭﺝ )‪ (Z‬ﻟﻠﺴﻬﻡ ﺤﺴﺏ ﺍﻟﺼﻴﻐﺔ‬
‫ﺍﻵﺘﻴﺔ‪:‬‬

‫=‬ ‫‪−‬‬ ‫∗‬

‫)‪……………………………………….(1-9‬‬

‫=‪C‬‬ ‫ﻤﻌﺩل ﺍﻟﻘﻁﻊ ﺍﻷﻤﺜل‪.‬‬

‫=‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻼﻨﻅﺎﻤﻴﺔ ﻟﻠﻭﺭﻗﺔ ﺍﻟﻤﺎﻟﻴﺔ )‪.(i‬‬
‫‪s2ei‬‬
‫‪١٤‬‬

‫ﺍﻟﻤﺤﻭﺭ ﺍﻟﺜﺎﻨﻲ‪ -:‬ﻤﻨﻬﺠﻴﺔ ﺍﻟﺒﺤﺙ ﻭﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﺴﺎﺒﻘﺔ‬

‫ﺃﻭﻟﹰﺎ‪ -:‬ﻤﻨﻬﺠﻴﺔ ﺍﻟﺒﺤﺙ‬

‫‪2-1‬ﻤﺸﻜﻠﺔ ﺍﻟﺒﺤﺙ‬
‫ﻴﺩﺨل ﺍﻟﻤﻭﻀﻭﻉ ﻓﻲ ﺃﻁﺎﺭ ﺍﻟﻤﺤﺎﻭﻻﺕ ﺍﻟﺒﺤﺜﻴﺔ ﺍﻟﺭﺍﻤﻴﺔ ﺇﻟﻰ ﺤل ﻭﺍﺤﺩﺓ ﻤﻥ ﺃﻋﻘﺩ ﺍﻹﺸﻜﺎﻟﻴﺎﺕ ﺍﻟﺘﻲ‬
‫ﺘﻭﺍﺠﻪ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺃﻻ ﻭﻫﻲ ﻤﺤﺎﻭﻟﺔ ﺍﻟﺠﻤﻊ ﺒﻴﻥ ﺯﻴﺎﺩﺓ ﻋﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ ﻭﺘﻘﻠﻴل‬
‫ﻤﺨﺎﻁﺭﺓ ﻓﻲ ﺃﻥ ﻭﺍﺤﺩ‪ .‬ﻟﺫﺍ ﻓﺄﻥ ﺍﻟﺘﺴﺎﺅل ﺍﻟﺭﺌﻴﺴﻲ ﺍﻟﺫﻱ ﺘﺜﻴﺭﻩ ﺍﻟﻤﺸﻜﻠﺔ ﻫﻭ )ﻫل ﻴﺅﺩﻱ ﺍﻟﺘﺭﻜﻴﺯ‬
‫ﻋﻠﻰ ﺨﺎﺼﻴﺔ ﺍﻟﻨﻤﻭ ﻟﻸﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻓﻲ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺇﻟﻰ ﺭﻓﻊ ﺃﻭ ﺯﻴﺎﺩﺓ ﻜﻔﺎﺀﺓ ﺃﺩﺍﺀ‬
‫ﺘﻠﻙ ﺍﻟﻤﺤﺎﻓﻅ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻭﺘﺨﻔﻴﺽ ﺍﻟﻤﺨﺎﻁﺭﺓ (؟‬
‫‪2 -2‬ﺃﻫﻤﻴﺔ ﺍﻟﺒﺤﺙ‬
‫ﺘﻨﺎﻭل ﻫﺫﺍ ﺍﻟﺒﺤﺙ ﻤﻭﻀﻭﻉ ﻤﻬﻡ ﻭﺤﻴﻭﻱ ﻭﻫﻭ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﻗﻴﺎﺱ ﺘﺄﺜﻴﺭﻫﺎ ﻋﻠﻰ ﻜﻔﺎﺀﺓ ﺃﺩﺍﺀ‬
‫ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺤﻴﺙ ﻴﻔﻀل ﺍﻟﻤﺴﺘﺜﻤﺭﻭﻥ ﻓﻲ ﺍﻟﻐﺎﻟﺏ ــــــ ﺒل ﻴﺴﻌﻭﻥ ـــ ﻟﺯﻴﺎﺩﺓ‬
‫ﻜﻔﺎﺀﺓ ﻭﻓﺎﻋﻠﻴﺔ ﻤﺤﺎﻓﻅﻬﻡ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ‪ ،‬ﻭﻟﻜﻨﻬﻡ ﻴﺼﻁﺩﻤﻭﻥ ﺒﺄﻫﺩﺍﻑ ﻤﺘﻌﺎﺭﻀﺔ ﺒل ﻭﻤﺘﻘﺎﻁﻌﺔ ﻷﻥ‬
‫ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻴﺭﺘﺒﻁ ﻋﺎﺩﺓ ﺒﻤﺨﺎﻁﺭ ﺃﻋﻠﻰ ﺘﺤﺩ ﻤﻥ ﺠﺎﺫﺒﻴﺔ ﺫﻟﻙ ﺍﻟﻌﺎﺌﺩ ﻟﺫﺍ ﺘﺘﺠﻠﻰ ﺃﻫﻤﻴﺔ ﺍﻟﺩﺭﺍﺴﺔ‬
‫ﺒﻤﺤﺎﻭﻟﺘﻬﺎ ﺤل ﻫﺫﺍ ﺍﻟﺘﻌﺎﺭﺽ ﺒﺎﻟﺘﺠﺭﻴﺏ ﻭﻤﻥ ﺨﻼل ﺍﻻﺴﺘﻔﺎﺩﺓ ﻤﻥ ﺍﻟﺘﻤﺎﻴﺯ ﻓﻲ ﺨﺼﺎﺌﺹ ﺍﻷﺴﻬﻡ‬
‫ﺒﺸﻜل ﺨﺎﺹ ﻭﻤﺤﺎﻭﻟﺔ ﺭﺒﻁ ﺨﺎﺼﻴﺔ ﺍﻟﺴﻬﻡ ﺒﺄﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻭﺘﺨﻔﻴﺽ‬
‫ﺍﻟﻤﺨﺎﻁﺭﺓ ‪ ،‬ﻭﻫﻭ ﻤﺎ ﻴﻭﻓﺭ ﺒﺎﻟﻨﺘﻴﺠﺔ ﺘﺒﺭﻴﺭﹰﺍ ﻤﻭﻀﻭﻋﻴﹰﺎ ﻭﻤﻨﻁﻘﻴﹰﺎ ﻟﻭﺠﻭﺩ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﺘﻲ ﺘﺤﺎﻭل‬
‫ﺍﺨﺘﺭﺍﻕ ﺘﻠﻙ ﺍﻟﻌﻼﻗﺔ ﻭﺍﺜﺒﺎﺕ ﺃﻥ ﺒﺎﻹﻤﻜﺎﻥ ﺍﻟﺭﺒﻁ ﺒﻴﻥ ﺍﻟﻌﺎﺌﺩ ﺍﻷﻋﻠﻰ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻷﺩﻨﻰ ﺃﺫﺍ ﺘﻡ‬
‫ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺕ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺒﺎﻟﺘﺭﻜﻴﺯ ﻋﻠﻰ ﺨﺎﺼﻴﺔ ﻨﻤﻭ ﺍﻟﺴﻬﻡ ‪.‬‬

‫‪ 3-2‬ﺃﻫﺩﺍﻑ ﺍﻟﺒﺤﺙ‬
‫ﺘﺘﻤﺜل ﺃﻫﺩﺍﻑ ﺍﻟﺒﺤﺙ ﻓﻲ ﺍﻵﺘﻲ ‪-:‬‬
‫‪ -1‬ﻗﻴﺎﺱ ﺘﺄﺜﻴﺭ ﺍﻟﺘﻨﺎﻤﻲ ﺍﻟﺭﺃﺴﻤﺎﻟﻲ ﻟﺴﻌﺭ ﺍﻟﺴﻬﻡ ﻋﻠﻰ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻟﻬﺎ ﻓﻲ‬
‫ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻭﺃﻴﹰﺎ ﻤﻥ ﻤﻘﺎﻴﻴﺱ ﺍﻟﻨﻤﻭ ﺍﻟﺴﻌﺭﻱ ﺃﻜﺜﺭ ﻗﺩﺭﺓ ﻓﻲ ﺍﻟﺘﺄﺜﻴﺭ ﻋﻠﻰ‬
‫ﺍﻟﻤﺤﺎﻓﻅ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻭﺘﺨﻔﻴﺽ ﺍﻟﻤﺨﺎﻁﺭﺓ ‪.‬‬
‫‪-2‬ﺍﺴﺘﺨﺩﺍﻡ ﻋﺩﺩ ﻤﻥ ﺍﻟﻨﻤﺎﺫﺝ ﺍﻟﺨﺎﺼﺔ ﺒﻘﻴﺎﺱ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻟﻠﺘﻭﺼل ﺇﻟﻰ ﺒﻨﺎﺀ ﺍﻟﺘﺸﻜﻴﻠﺔ ﺍﻷﻓﻀل‬
‫ﻟﻤﺤﺎﻓﻅ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻋﻠﻰ ﻭﻓﻕ ﺘﻠﻙ ﺍﻟﻨﻤﺎﺫﺝ ﻭﺍﺨﺘﻴﺎﺭ ﻨﻤﻭﺫﺝ ﺍﻟﻘﻴﺎﺱ ﺍﻷﻓﻀل ﻟﺒﻴﺌﺔ ﺍﻟﺩﺭﺍﺴﺔ ‪.‬‬
‫‪-3‬ﺍﻟﻤﺴﺎﻫﻤﺔ ﺍﻟﻔﻜﺭﻴﺔ ﻭﺍﻟﻨﻅﺭﻴﺔ ﺒﺘﺴﻠﻴﻁ ﺍﻟﻀﻭﺀ ﻋﻠﻰ ﺨﺼﺎﺌﺹ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺭﺒﻁﻬﺎ ﺒﺄﺩﺍﺀ‬
‫ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‪.‬‬
‫‪١٥‬‬

‫‪-4‬ﺍﺴﺘﻨﺒﺎﻁ ﺃﻫﻡ ﺍﻟﺤﻘﺎﺌﻕ ﻭﺍﻟﻨﺘﺎﺌﺞ ﺍﻟﺘﺠﺭﻴﺒﻴﺔ ﺍﻟﺘﻲ ﻴﻤﻜﻥ ﺃﻥ ﺘﺩﻋﻡ ﺍﻟﻤﻌﺭﻓﺔ ﺍﻟﻨﻅﺭﻴﺔ ﻭﺍﻟﺘﻁﺒﻴﻘﻴﺔ ﻓﻲ‬
‫ﻤﺠﺎل ﺍﻻﺴﺘﺜﻤﺎﺭ ﺒﺄﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺴﻌﺭﻱ ‪.‬‬

‫‪ 4-2‬ﻓﺭﻀﻴﺎﺕ ﺍﻟﺒﺤﺙ‬
‫ﺘﻤﺎﺸﻴﹰﺎ ﻤﻊ ﺍﺸﺘﺭﺍﻁﺎﺕ ﺍﻟﻤﻨﻬﺞ ﺍﻹﺤﺼﺎﺌﻲ ﺒﻭﻀﻊ ﻓﺭﻀﻴﺎﺕ ﺍﻟﻌﺩﻡ )ﺍﻟﻨﻔﻲ( ﻟﻘﺒﻭﻟﻬﺎ ﺃﻭ ﺃﺜﺒﺎﺕ‬
‫ﻓﺭﻀﻴﺎﺕ ﺍﻟﻭﺠﻭﺩ ﺍﻓﺘﺭﻀﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻤﺎ ﻴﻠﻲ ‪-:‬‬
‫)ﻻ ﻴﺅﺩﻱ ﺘﺭﻜﻴﺏ ﻤﺤﻔﻅﺔ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻤﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺇﻟﻰ ﺘﺤﺴﻴﻥ ﺨﺼﺎﺌﺹ ﻤﺤﻔﻅﺘﻬﺎ‬
‫ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺨﺘﻠﻑ ﻤﺅﺸﺭﺍﺕ ﺍﻟﻘﻴﺎﺱ ‪،‬‬
‫ﻭﻴﻤﻜﻥ ﺃﻥ ﺘﺘﻔﺭﻉ ﻋﻥ ﻫﺫﻩ ﺍﻟﻔﺭﻀﻴﺔ ﺍﻟﻔﺭﻀﻴﺎﺕ ﺍﻟﻔﺭﻋﻴﺔ ﺍﻵﺘﻴﺔ ‪-:‬‬
‫‪ -1‬ﻻ ﺘﺘﻔﻭﻕ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ‬
‫)‪ (P/E‬ﺍﻷﻋﻠﻰ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺭﺠﻌﻴﺔ‪.‬‬
‫‪-2‬ﻻ ﺘﺘﻔﻭﻕ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻋﻠﻰ ﻭﻓﻕ ﻗﻴﻡ ﻤﺅﺸﺭ )‪(PVGO‬‬
‫ﺍﻷﻋﻠﻰ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺭﺠﻌﻴﺔ‪.‬‬
‫‪ -3‬ﻻ ﺘﺘﻔﻭﻕ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻷﻋﻠﻰ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺭﺠﻌﻴﺔ‪.‬‬
‫‪ 5-2‬ﺤﺩﻭﺩ ﺍﻟﺒﺤﺙ ﺍﻟﺯﻤﺎﻨﻴﺔ ﻭﺍﻟﻤﻜﺎﻨﻴﺔ‬
‫ﺍﻟﺤﺩﻭﺩ ﺍﻟﻤﻜﺎﻨﻴﺔ‪-:‬ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ‬
‫ﺍﻟﺤﺩﻭﺩ ﺍﻟﺯﻤﺎﻨﻴﺔ‪-:‬ﺸﻤل ﺍﻟﺒﺤﺙ ﺒﻴﺎﻨﺎﺕ ﺍﻟﺴﻭﻕ ﻟﻠﻔﺘﺭﺓ ﻤﻥ )‪(1/ 12/2012 - 2005/1/ 1‬‬
‫‪ 6-2‬ﻤﺠﺘﻤﻊ ﻭﻋﻴﻨﺔ ﺍﻟﺒﺤﺙ‬
‫ﻟﻘﺩ ﺸﻤﻠﺕ ﻋﻴﻨﺔ ﺍﻟﺒﺤﺙ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻤﺩﺭﺠﺔ ﻓﻲ ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻟــﻠﻘﻁﺎﻋﺎﺕ‬
‫ﺍﻟﺴﺘﺔ ﺍﻟﻤﺩﺭﺠﺔ ﻓﻲ ﺍﻟﺴﻭﻕ ﻋﺩﺍ ﻤﻥ ﺍﺴﺘﺜﻨﺎﺀﺍﺕ ﻟﻴﺴﺕ ﻜﺒﻴﺭﺓ ﻓﺭﻀﻬﺎ ﻭﺍﻗﻊ ﺃﺤﺠﺎﻡ ﺒﻌﺽ ﺍﻷﺴﻬﻡ‬
‫ﻋﻥ ﺍﻟﺘﺩﺍﻭل ﺃﻭ ﺒﺴﺒﺏ ﺤﺩﻭﺙ ﺍﻨﻘﻁﺎﻋﺎﺕ ﻤﺘﻜﺭﺭﺓ ﻓﻲ ﻋﻤﻠﻴﺎﺕ ﺘﺩﺍﻭﻟﻬﺎ ‪،‬ﻓﺒﻌﺩ ﺇﺠﺭﺍﺀ ﺍﻟﻤﺴﺢ‬
‫ﺍﻟﺩﺭﺍﺴﻲ ﻟﻠﺒﻴﺎﻨﺎﺕ ﺍﻟﺸﻬﺭﻴﺔ ﻟﻌﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﺘﻜﻭﻥ ﺒﺎﻟﻤﺘﻭﺴﻁ )‪ (80‬ﺴﻬﻤﹰﺎ ﺍﻟﺘﻲ ﺘﻡ ﺍﻟﺤﺼﻭل ﻋﻠﻴﻬﺎ‬
‫ﻤﻥ ﺍﻟﺘﻘﺎﺭﻴﺭ ﺍﻟﺴﻨﻭﻴﺔ ﻭﺍﻟﺸﻬﺭﻴﺔ ﺍﻟﺼﺎﺩﺭﺓ ﻤﻥ ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺤﺩﺩﺕ ﺍﻟﻌﻴﻨﺔ ﺒﻤﺎ‬
‫ﻴﺤﻘﻕ ﺍﻟﺤﺩ ﺍﻷﺩﻨﻰ ﻤﻥ ﺍﻟﻤﺸﺎﻫﺩﺓ ﺍﻟﺸﻬﺭﻴﺔ )‪ 96‬ﻤﺸﺎﻫﺩﺓ( ﻟﻜل ﺴﻬﻡ ﻭﺒﺎﻟﺘﺎﻟﻲ ﻓﻘﺩ ﺸﻤﻠﺕ ﺍﻟﻌﻴﻨﺔ‬
‫)‪ (30‬ﺴﻬﻤﹰﺎ ﺃﻱ ﺒﻭﺍﻗﻊ )‪ (2880‬ﻤﺸﺎﻫﺩﺓ ﺸﻬﺭﻴﺔ ﻟﻠﻌﻴﻨﺔ ﻜﻜل )‪ (30×96‬ﻭﻟﻠﻔﺘﺭﺓ ﺃﻋﻼﻩ‪.‬‬
‫‪١٦‬‬

‫ﺍﻟﺠﺩﻭل )‪(2-1‬‬
‫ﺍﻟﺸﺭﻜﺎﺕ ﻋﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺤﺴﺏ ﺍﻟﻘﻁﺎﻋﺎﺕ ﺍﻷﻗﺘﺼﺎﺩﻴﺔ‬
‫ﺍﻟﻘﻁﺎﻋﺎﺕ‬ ‫ﺕ‬ ‫ﺍﻟﻘﻁﺎﻋﺎﺕ‬ ‫ﺕ‬
‫ﻗﻁﺎﻉ ﺍﻟﺨﺩﻤﺎﺕ‬ ‫‪4‬‬ ‫ﺍﻟﻘﻁﺎﻉ ﺍﻟﻤﺼﺭﻓﻲ‬ ‫‪1‬‬
‫ﺍﻟﻤﻌﻤﻭﺭﺓ ﺍﻟﻌﻘﺎﺭﻴﺔ‬ ‫‪41‬‬ ‫ﺍﻟﻤﺼﺭﻑ ﺍﻟﺘﺠﺎﺭﻱ‬ ‫‪11‬‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻟﻠﻨﻘل ﺍﻟﺒﺭﻱ‬ ‫‪42‬‬ ‫ﻤﺼﺭﻑ ﺒﻐﺩﺍﺩ‬ ‫‪12‬‬
‫ﺍﻟﺒﺎﺩﻴﺔ ﻟﻠﻨﻘل ﺍﻟﺒﺭﻱ‬ ‫‪43‬‬ ‫ﺍﻟﻤﺼﺭﻑ ﺍﻹﺴﻼﻤﻲ‬ ‫‪13‬‬
‫ﺍﻷﻤﻴﻥ ﺍﻟﻌﻘﺎﺭﻴﺔ‬ ‫‪44‬‬ ‫ﻤﺼﺭﻑ ﺍﻟﺸﺭﻕ ﺍﻷﻭﺴﻁ‬ ‫‪13‬‬
‫ﺍﻟﻘﻁﺎﻉ ﺍﻟﺼﻨﺎﻋﻲ‬ ‫‪5‬‬ ‫ﻤﺼﺭﻑ ﺍﻻﺴﺘﺜﻤﺎﺭ‬ ‫‪14‬‬
‫ﺍﻟﻤﻨﺼﻭﺭ ﺍﻟﺩﻭﺍﺌﻴﺔ‬ ‫‪51‬‬ ‫ﻤﺼﺭﻑ ﺒﺎﺒل‬ ‫‪15‬‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻟﻠﺴﺠﺎﺩ ﻭﺍﻟﻜﺎﺭﺒﺕ‬ ‫‪52‬‬ ‫ﻤﺼﺭﻑ ﺍﻟﺨﻠﻴﺞ‬ ‫‪16‬‬
‫ﺒﻐﺩﺍﺩ ﻟﺼﻨﺎﻋﺔ ﻤﻭﺍﺩ ﺍﻟﺘﻐﻠﻴﻑ‬ ‫‪53‬‬ ‫ﻤﺼﺭﻑ ﺍﻟﻭﺭﻜﺎﺀ‬ ‫‪17‬‬
‫ﺍﻟﺼﻨﺎﻋﺎﺕ ﺍﻟﻜﻴﻤﻴﺎﻭﻴﺔ‬ ‫‪54‬‬ ‫ﻤﺼﺭﻑ ﺍﻟﻤﻭﺼل‬ ‫‪18‬‬
‫ﺍﻟﻜﻨﺩﻱ ﻟﻠﻘﺎﺤﺎﺕ ﺍﻟﺒﻴﻁﺭﻴﺔ‬ ‫‪55‬‬ ‫ﻗﻁﺎﻉ ﺍﻟﺘﺄﻤﻴﻥ‬ ‫‪2‬‬
‫ﺼﻨﺎﻋﺎﺕ ﺍﻷﺼﺒﺎﻍ ﺍﻟﺤﺩﻴﺜﺔ‬ ‫‪56‬‬ ‫ﺍﻷﻤﻴﻥ ﻟﻠﺘﺄﻤﻴﻥ‬ ‫‪21‬‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻟﺼﻨﺎﻋﺔ ﺍﻟﻜﺎﺭﺘﻭﻥ‬ ‫‪57‬‬ ‫ﺩﺍﺭ ﺍﻟﺴﻼﻡ ﻟﻠﺘﺄﻤﻴﻥ‬ ‫‪22‬‬
‫ﺍﻟﺼﻨﺎﻋﺎﺕ ﺍﻟﻤﻌﺩﻨﻴﺔ ﻭﺍﻟﺩﺭﺍﺠﺎﺕ‬ ‫‪58‬‬ ‫ﺍﻷﻫﻠﻴﺔ ﻟﻠﺘﺄﻤﻴﻥ‬ ‫‪23‬‬
‫ﻗﻁﺎﻉ ﺍﻟﺯﺭﺍﻋﺔ‬ ‫‪6‬‬ ‫ﻗﻁﺎﻉ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ‬ ‫‪3‬‬
‫ﺍﻟﺸﺭﻕ ﺍﻷﻭﺴﻁ ﻟﻸﺴﻤﺎﻙ‬ ‫‪61‬‬ ‫ﺍﻟﻭﺌﺎﻡ ﻟﻼﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ‬ ‫‪31‬‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻹﻨﺘﺎﺝ ﺍﻟﺒﺫﻭﺭ‬ ‫‪62‬‬ ‫ﺍﻟﺒﺎﺘﻙ ﻟﻼﺴﺘﺜﻤﺎﺭﺍﺕ‬ ‫‪32‬‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻟﻠﻤﻨﺘﺠﺎﺕ ﺍﻟﺯﺭﺍﻋﻴﺔ‬ ‫‪63‬‬ ‫ﺍﻟﻘﻤﺔ ﻟﻼﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ‬ ‫‪33‬‬

‫ﺍﻋﺘﻤﺩﺕ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﻋﻠﻰ ﺼﻴﻐﺔ ﺍﻟﺘﺭﻤﻴﺯ ﻟﻠﻘﻁﺎﻋﺎﺕ )ﺍﻟﻤﺼﺭﻓﻲ ‪ ،‬ﺍﻟﺘﺄﻤﻴﻥ ‪ ،‬ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ ‪،‬‬
‫ﺍﻟﺨﺩﻤﺎﺕ ‪ ،‬ﺍﻟﺼﻨﺎﻋﺔ ‪ ،‬ﺍﻟﺯﺭﺍﻋﺔ( ﻟﺴﻬﻭﻟﺔ ﺍﻹﺸﺎﺭﺓ ﺇﻟﻰ ﺃﺴﻤﺎﺀ ﺍﻟﺸﺭﻜﺎﺕ ﻋﻨﺩ ﺘﻔﺴﻴﺭ ﻨﺘﺎﺌﺞ ﺍﻟﺘﺤﻠﻴل‪،‬‬
‫ﺤﻴﺙ ﻴﺭﻤﺯ ﻟﻬﺎ ﺒﺎﻟﺭﻤﺯ )‪ (6 ،5 ،4 ،3 ، 2 ،1‬ﻋﻠﻰ ﺍﻟﺘﻭﺍﻟﻲ ﻭﻴﻜﺘﺏ ﺩﺍﺌﻤﹰﺎ ﻋﻠﻰ ﺍﻟﻴﺴﺎﺭ ﺭﻤﺯ‬
‫ﻼ )‪ (18‬ﺭﻗﻤﹰﺎ ﻭﺍﺤﺩﹰﺍ ﻤﻥ ﺍﻟﻴﺴﺎﺭ ﺭﻤﺯ ﺍﻟﻘﻁﺎﻉ ﺍﻟﻤﺼﺭﻓﻲ‪ ،‬ﻭﺍﻷﺭﻗﺎﻡ ﺍﻟﺘﻲ ﺒﻌﺩﻫﺎ‬
‫ﺍﻟﺸﺭﻜﺔ ﻓﻴﻜﻭﻥ ﻤﺜ ﹰ‬
‫ﺘﻤﺜل ﺘﺴﻠﺴل ﺍﻟﺸﺭﻜﺔ ﻀﻤﻥ ﺃﺴﻬﻡ ﺍﻟﻘﻁﺎﻉ ﻭﻴﻌﻨﻲ ﻫﺫﺍ ﺍﻟﺭﻗﻡ ﻤﺼﺭﻑ ﺍﻟﻤﻭﺼل ﻭﻫﻜﺫﺍ ﻟﺒﻘﻴﺔ‬
‫ﺍﻟﻘﻁﺎﻋﺎﺕ‪.‬‬
‫‪١٧‬‬

‫‪7-2‬ﺃﺴﺎﻟﻴﺏ ﺠﻤﻊ ﺍﻟﺒﻴﺎﻨﺎﺕ‪-:‬‬

‫‪-1‬ﺍﻟﻤﻭﻗﻊ ﺍﻻﻟﻜﺘﺭﻭﻨﻲ ﻟﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ‪.‬‬
‫‪ -2‬ﺍﻟﻤﻭﻗﻊ ﺍﻻﻟﻜﺘﺭﻭﻨﻲ ﻟﻠﺸﺭﻜﺎﺕ ﻋﻴﻨﺔ ﺍﻟﺒﺤﺙ‪.‬‬
‫‪ -3‬ﺍﻟﺯﻴﺎﺭﺍﺕ ﺍﻟﻤﻴﺩﺍﻨﻴﺔ‪.‬‬
‫‪ 8-2‬ﺇﺠﺭﺍﺀﺍﺕ ﻭﺃﺴﺎﻟﻴﺏ ﺍﻟﺩﺭﺍﺴﺔ‬
‫‪-1‬ﺤﺴﺎﺏ ﻋﻭﺍﺌﺩ ﺍﻷﺴﻬﻡ ﻟﻠﻔﺘﺭﺓ )‪ (2012-2005‬ﺒﺎﻋﺘﻤﺎﺩ ﻁﺭﻴﻘﺔ ﻋﻭﺍﺌﺩ ﻓﺘﺭﺓ ﺍﻻﺤﺘﻔﺎﻅ ﻭﺤﺴﺏ‬
‫ﺍﻟﻤﻌﺎﺩﻟﺔ ﺍﻵﺘﻴﺔ‪(Gitman,2009:230):‬‬
‫)‪Pt - P(t -1‬‬
‫= ‪Rit‬‬
‫)‪P( t -1‬‬
‫‪ -2‬ﻓﺤﺹ ﺍﻻﺭﺘﺒﺎﻁﺎﺕ ﺒﻴﻥ ﺒﻴﺎﻨﺎﺕ ﺴﻠﺴﻠﺔ ﻋﻭﺍﺌﺩ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻟﻠﺴﻠﺴﻠﺔ‬
‫ﺒﺎﺴﺘﺨﺩﺍﻡ ﺍﻻﺭﺘﺒﺎﻁ ﺍﻟﺫﺍﺘﻲ )ﺩﺭﺒﻥ‪-‬ﻭﺍﺘﺴﻭﻥ‪.(D-W،‬‬
‫‪ -3‬ﺍﺴﺘﺨﺭﺍﺝ ﺨﺼﺎﺌﺹ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﻭﻓﻘﹰﺎ ﻟﻠﻤﺸﺎﻫﺩﺍﺕ ﺍﻟﺸﻬﺭﻴﺔ‪.‬‬
‫‪ -4‬ﺍﺴﺘﺨﺩﺍﻡ ﻤﺠﻤﻭﻋﺔ ﻤﻥ ﺍﻷﺴﺎﻟﻴﺏ ﻭﺍﻟﻭﺴﺎﺌل ﺍﻹﺤﺼﺎﺌﻴﺔ ﻓﻲ ﺘﺤﻠﻴل ﺍﻟﺒﻴﺎﻨﺎﺕ ﻭﺘﺒﻭﻴﺒﻬﺎ ﻭﺠﺩﻭﻟﺘﻬﺎ‬
‫ﺒﻤﺴﺎﻋﺩﺓ ﺍﻟﺒﺭﻤﺠﻴﺎﺕ ﺍﻟﺠﺎﻫﺯﺓ ﻟﻨﻅﺎﻡ )‪ (SPSS,v20‬ﻭﻫﻲ ﻜﺎﻷﺘﻲ‪-:‬‬
‫ﺃ‪ -‬ﺍﻻﻨﺤﺩﺍﺭ ﺍﻟﺨﻁﻲ ﺍﻟﺒﺴﻴﻁ‪.‬‬
‫ﺏ‪ -‬ﺍﺨﺘﺒﺎﺭ ﺍﻻﺭﺘﺒﺎﻁ ﺍﻟﺫﺍﺘﻲ )‪.(D-W‬‬
‫ﺕ‪-‬ﺍﺨﺘﺒﺎﺭ ﺍﻟﺘﺒﺎﻴﻥ )‪.(ANOVA‬‬
‫‪Market Risk & Return‬‬ ‫‪ -5‬ﻋﺎﺌﺩ ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﺴﻭﻕ‬
‫ﺤﺴﺏ ﻋﺎﺌﺩ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﻤﻥ ﺨﻼل ﻗﺴﻤﺔ ﺍﻟﻌﺎﺌﺩ ﺍﻟﺤﺎﻟﻲ ﻟﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺨﻼل ﺍﻟﻔﺘﺭﺓ ﺍﻟﺯﻤﻨﻴﺔ‬
‫ﻋﻠﻰ ﻋﺩﺩ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺩﺍﻭل ﺃﺴﻬﻤﻬﺎ ﺨﻼل ﺘﻠﻙ ﺍﻟﻔﺘﺭﺓ ﻜﻤﺎ ﻓﻲ ﺍﻟﺼﻴﻐﺔ ﺍﻵﺘﻴﺔ‪):‬ﺍﻟﻌﻠﻲ‬
‫‪(220:2010،‬‬
‫‪n‬‬

‫‪åR‬‬ ‫‪it‬‬
‫= ‪Rmt‬‬ ‫‪i =1‬‬
‫‪n‬‬

‫‪åi‬‬
‫‪i =1‬‬

‫ﺇﻤﺎ ﺤﺴﺎﺏ ﻤﺨﺎﻁﺭﺓ ﺍﻟﺴﻭﻕ ﻓﺄﻨﻪ ﻴﺘﻡ ﻤﻥ ﺨﻼل ﺤﺴﺎﺏ ﻜل ﻤﻥ ‪-:‬‬

‫‪ -1‬ﺍﻟﺘﺒﺎﻴﻥ ﺍﻟﻤﺸﺘﺭﻙ ﻟﻜل ﺯﻭﺝ ﻤﻥ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻭﻓﻘﹰﺎ ﻷﻨﻤﻭﺫﺝ ﺍﻟﻤﺅﺸﺭ ﺍﻟﻭﺍﺤﺩ ﻤﻥ ﺨﻼل‬
‫ﺍﻟﺼﻴﻐﺔ ﺍﻵﺘﻴﺔ‪(Fabazzi et al,2003:147):‬‬
‫‪Cov (i , j ) = b i b js m‬‬
‫‪١٨‬‬

‫ﺇﺫ ﺃﻥ‪:‬‬
‫= ) ‪Cov(i, j‬‬ ‫ﺍﻟﺘﺒﺎﻴﻥ ﺍﻟﻤﺸﺘﺭﻙ ﺒﻴﻥ ﺍﻟﺴﻬﻡ)‪ (i‬ﻭﺍﻟﺴﻬﻡ )‪(j‬‬

‫‪ -2‬ﻤﺘﻭﺴﻁ ﺍﻟﺘﺒﺎﻴﻨﺎﺕ ﺍﻟﻤﺸﺘﺭﻜﺔ ﺒﻘﺴﻤﺔ ﻤﺠﻤﻭﻉ ﺍﻟﺘﺒﺎﻴﻨﺎﺕ ﺍﻟﻤﺸﺘﺭﻜﺔ ﺒﻴﻥ ﻜل ﺯﻭﺝ ﻤﻥ ﺍﻷﺴﻬﻡ‬
‫ﺍﻟﻌﺎﺩﻴﺔ ﻋﻠﻰ ﻋﺩﺩﻫﺎ ‪ ،‬ﻭﺍﻟﻨﺎﺘﺞ ﻴﻤﺜل ﺘﺒﺎﻴﻥ ﺍﻟﺴﻭﻕ ﻭﺍﻟﺒﺎﻟﻎ )‪(.0254‬‬

‫)‪(Rf‬‬ ‫‪ -6‬ﻤﺘﻭﺴﻁ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺨﺎﻟﻲ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ‬

‫ﻴﺤﺴﺏ ) ‪ ( R f‬ﻤﻥ ﺨﻼل ﻗﺴﻤﺔ ﻤﺠﻤﻭﻉ ﻤﻌﺩﻻﺕ ﺍﻟﻌﻭﺍﺌﺩ ﺍﻟﺸﻬﺭﻴﺔ ﺍﻟﺨﺎﻟﻴﺔ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺨﻼل‬
‫ﻓﺘﺭﺓ ﺍﻟﺩﺭﺍﺴﺔ ﻋﻠﻰ ﻋﺩﺩﻫﺎ)‪(n‬ﻭﺤﺴﺏ ﺍﻟﺼﻴﻐﺔ ﺍﻵﺘﻴﺔ ‪:‬‬
‫‪n‬‬

‫‪å‬‬ ‫‪R‬‬ ‫‪f‬‬

‫‪R‬‬ ‫‪f‬‬ ‫=‬ ‫‪i=1‬‬
‫‪n‬‬
‫ﻭﻗﺩ ﺃﺴﺘﺨﺩﻡ ﻤﺘﻭﺴﻁ ﺍﻟﻌﺎﺌﺩ ﻋﻠﻰ ﺤﻭﺍﻻﺕ ﺍﻟﺨﺯﻴﻨﺔ ﻟــ )‪ (96‬ﺸﻬﺭ ﺍﻟﺫﻱ ﻴﺒﻴﻌﻬﺎ ﺍﻟﺒﻨﻙ ﺍﻟﻤﺭﻜﺯﻱ‬
‫ﻓﻲ‬

‫ﺍﻟﺴﻭﻕ ﺍﻟﻤﻔﺘﻭﺤﺔ ﺨﻼل ﻤﺩﺓ ﺍﻟﺩﺭﺍﺴﺔ ﻤﻘﻴﺎﺴﹰﺎ ﻓﻲ ﺘﻘﺩﻴﺭ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺨﺎﻟﻲ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﺍﻟﺫﻱ‬
‫ﻜﺎﻥ‬

‫ﺒﻨﺴﺒﺔ )‪.(3%‬‬

‫‪ -7‬ﺤﺴﺎﺏ ﺍﻟﻨﻤﻭ ﻟﻸﺴﻬﻡ‬

‫‪ -1‬ﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ )‪(1-1‬‬

‫‪ -2‬ﻤﺅﺸﺭ)‪ (PVGO‬ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ )‪(1-2‬‬

‫‪ -3‬ﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ )‪(1-3‬‬

‫‪ -8‬ﺍﺨﺘﺒﺎﺭ ﺍﻟﻔﺭﻀﻴﺎﺕ ﻤﻥ ﺨﻼل ﺍﻟﻤﻘﺎﺭﻨﺔ )ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ( ﺒﻴﻥ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ‬
‫ﺍﻟﺘﻲ ﺘﻡ ﺒﻨﺎﺌﻬﺎ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻌﺎﻴﻴﺭ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ ﻭﺒﺎﻟﻨﻅﺭ ﻟﺘﻁﺎﺒﻕ ﺒﻴﺎﻨﺎﺕ‬
‫ﺍﻟﺩﺭﺍﺴﺔ ﻤﻊ ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ‪ -‬ﻟﻨﺘﺭ ﺍﻟﺫﻱ ﻴﻘﻴﺱ ﺍﺴﺘﺠﺎﺒﺔ ﺘﺤﺭﻜﺎﺕ ﻋﻭﺍﺌﺩ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻷﺤﺩ‬
‫ﻤﺅﺸﺭﺍﺕ ﺍﻟﺴﻭﻕ )‪ (The Market Index‬ﺒﺎﻋﺘﺒﺎﺭ ﺃﻥ ﻫﺫﻩ ﺍﻟﺘﺤﺭﻜﺎﺕ ﻴﺠﺴﺩﻫﺎ ﻭﻓﻕ ﺍﻓﺘﺭﺍﺽ‬
‫ﺍﻟﻨﻤﻭﺫﺝ ﺍﻟﻭﺍﺤﺩ ﻤﺅﺸﺭ ﻋﺎﻡ ﻭﺍﺤﺩ ﻓﻘﺩ ﺘﻡ ﺍﺴﺘﺨﺩﺍﻡ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻟﺤﺴﺎﺏ ﻋﺎﺌﺩ ﻭﻤﺨﺎﻁﺭﺓ‬
‫ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺒﺴﻴﻁﺔ ﻭﺍﻟﻜﻔﻭﺀﺓ‪.‬‬
‫‪١٩‬‬

‫‪ -9‬ﻫﻨﺎﻟﻙ ﺍﻟﻌﺩﻴﺩ ﻤﻥ ﺍﻷﺴﺎﻟﻴﺏ ﺍﻟﺭﻴﺎﻀﻴﺔ ﺍﻟﺘﻲ ﺘﺴﺘﺨﺩﻡ ﻻﺴﺘﺨﺭﺍﺝ ﺃﻭﺯﺍﻥ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ‬
‫ﺍﻟﻤﻜﻭﻨﺔ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻤﺜل ﺍﻟﺒﺭﻤﺠﺔ ﺍﻟﺭﺒﺎﻋﻴﺔ ﺃﻭ ﻤﻀﺎﻋﻑ ﻻﻜﺭﺍﻨﺞ ﺃﻭ ﻨﻤﻭﺫﺝ ﺍﻟﺘﺩﺭﻴﺞ‬
‫ﺍﻟﺒﺴﻴﻁ ﺜﻡ ﺍﺴﺘﺨﺩﺍﻡ ﺍﻟﻨﻤﻭﺫﺝ ﺍﻷﺨﻴﺭ )ﺍﻟﺘﺩﺭﻴﺞ ( ﻟﺒﺴﺎﻁﺘﻪ ﻭﻋﺩﻡ ﺤﺎﺠﺘﻪ ﺇﻟﻰ ﺒﻨﺎﺀ ﻨﻤﺎﺫﺝ‬
‫ﺭﻴﺎﻀﻴﺔ ﻤﻌﻘﺩﺓ ﺤﻴﺙ ﻴﺴﺘﻨﺩ ﻫﺫﺍ ﺍﻟﻨﻤﻭﺫﺝ ﻓﻲ ﻗﺒﻭﻟﻪ ﻟﺴﻬﻡ ﻤﻌﻴﻥ ﻋﻠﻰ ﻤﻘﺎﺭﻨﺔ ﻨﺎﺘﺞ – ‪Ri‬‬
‫)‪ (RF/βi‬ﻭﺍﻟﺫﻱ ﻴﻤﺜل ﺍﻟﻌﻤﻭﺩ ﺍﻷﻭل ﻤﻥ ﺠﺩﻭل ﺒﻨﺎﺀ ﺃﻭﺯﺍﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻤﻊ ﺤﺩ ﺍﻟﻘﻁﻊ‬
‫)‪ (Ci‬ﺍﻟﺨﺎﺹ ﺒﻜل ﻭﺭﻗﺔ ﻤﺎﻟﻴﺔ ﻭﺍﻟﺫﻱ ﻴﻤﺜل ﺍﻟﻌﻤﻭﺩ ﺍﻟﺜﺎﻤﻥ ﻤﻥ ﺍﻟﺠﺩﻭل ﻭﻴﺤﺴﺏ ﻭﻓﻕ ﺍﻟﻤﻌﺎﺩﻟﺔ‬
‫)‪.(1-8‬‬

‫‪ -10‬ﻤﻌﺎﻤل ﺍﻟﺘﺤﺩﻴﺩ ‪Determination Coefficient , R 2‬‬

‫ﻴﻭﻀﺢ ﻤﻌﺎﻤل ﺍﻟﺘﺤﺩﻴﺩ ﻤﻘﺩﺍﺭ ﻤﺎ ﻴﻔﺴﺭﻩ ﺍﻟﻤﺘﻐﻴﺭ ﺍﻟﻤﺴﺘﻘل ﻤﻥ ﺘﺫﺒﺫﺏ ﺃﻭ ﺍﻀﻁﺭﺍﺏ ﻓﻲ ﺍﻟﻤﺘﻐﻴﺭ‬
‫ﺍﻟﺘﺎﺒﻊ ﺃﻱ ﺩﺭﺠﺔ ﻤﺴﺎﻫﻤﺔ ﺍﻟﻤﺘﻐﻴﺭ ﺍﻷﻭل )ﺍﻟﻤﺴﺘﻘل( ﻓﻲ ﺍﻟﺘﻐﻴﺭ ﺍﻟﺤﺎﺼل ﻓﻲ ﺍﻟﻤﺘﻐﻴﺭ ﺍﻟﺜﺎﻨﻲ )ﺍﻟﺘﺎﺒﻊ(‬
‫ﻭﻴﺴﺘﺨﺭﺝ ﻤﻥ ﺘﺤﻠﻴل ﺠﺩﻭل ﺍﻟﺘﺒﺎﻴﻥ )‪ (ANOVA‬ﺃﻭ ﺒﺎﺴﺘﺨﺩﺍﻡ ﺍﻟﺼﻴﻐﺔ ﺍﻵﺘﻴﺔ ‪):‬ﺍﻟﻤﺸﻬﺩﺍﻨﻲ‬
‫ﻭﻫﺭﻤﺯ‪(Jones , 2000 : 585) (1989 :340،‬‬
‫‪R 2 = ( Rim ) 2‬‬
‫ﺇﺫ ﺃﻥ ‪:‬‬

‫‪( R im ) 2‬‬ ‫=‬ ‫ﻤﺭﺒﻊ ﻤﻌﺎﻤل ﺍﻻﺭﺘﺒﺎﻁ ﺒﻴﻥ ﻋﺎﺌﺩ ﺍﻟﺴﻬﻡ)‪ ( i‬ﻭﻋﺎﺌﺩ ﺍﻟﺴﻭﻕ)‪(m‬‬

‫‪Return/ Risk Ratio‬‬ ‫‪ -11‬ﻨﺴﺒﺔ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ‬

‫ﻴﻤﺜل ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﺴﺒﺔ ﺍﻟﻤﺌﻭﻴﺔ ﻟﻠﻌﻭﺍﺌﺩ ﺍﻟﻜﻠﻴﺔ ﺍﻟﻤﺘﻭﻗﻌﺔ ﻤﻘﺎﺒل ﺍﻟﻨﺴﺒﺔ ﺍﻟﻤﺌﻭﻴﺔ‬
‫ﻟﻠﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ ﻤﻘﺎﺴﻪ ﺒﺎﻻﻨﺤﺭﺍﻑ ﺍﻟﻤﻌﻴﺎﺭﻱ ﻟﻜل ﻤﺤﻔﻅﺔ ﻭﻴﺴﺘﺨﺭﺝ ﻤﻥ ﺨﻼل ﻗﺴﻤﺔ ﻤﻌﺩل‬
‫ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ ﻟﻠﻤﺤﻔﻅﺔ ﻋﻠﻰ ﻤﺨﺎﻁﺭﺘﻬﺎ ﺍﻟﻜﻠﻴﺔ ﻓﺈﺫﺍ ﻜﺎﻥ ﺍﻟﻨﺎﺘﺞ ﻤﺭﺘﻔﻌﹰﺎ ﻓﻬﻭ ﻴﺩل ﻋﻠﻰ ﻤﺒﺎﺩﻟﺔ‬
‫ﺃﻓﻀل ﺒﻴﻥ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ‪) .‬ﺍﻟﺨﻔﺎﺠﻲ‪. (142:2006 ،‬‬

‫‪ -12‬ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ‪Cofficient of Variation ,C.V‬‬

‫ﻴﻌﺘﺒﺭ ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ﻤﻥ ﻤﻘﺎﻴﻴﺱ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﻴﺴﺘﺨﺩﻡ ﻟﻠﻤﻔﺎﻀﻠﺔ ﺒﻴﻥ ﺍﻟﺒﺩﺍﺌل ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﺘﻲ‬
‫ﺘﺨﺘﻠﻑ ﻤﻥ ﺤﻴﺙ )ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ( ﻭﻫﻭ ﻋﻜﺱ ﺍﻟﻨﻤﻭﺫﺝ ﻓﻲ)‪ (11‬ﺃﻋﻼﻩ ﻭﻴﺤﺴﺏ ﺒﻘﺴﻤﺔ‬
‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﻋﻠﻰ ﺍﻟﻌﺎﺌﺩ ﺃﻱ ‪:‬‬
‫‪٢٠‬‬

‫‪s Ri‬‬
‫= ‪C. V‬‬
‫‪Ri‬‬

‫‪ -13‬ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﺍﻟﺘﻲ ﺘﻡ ﺒﻨﺎﺌﻬﺎ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﻤﻭ ﺍﻷﺴﻬﻡ ﻭﺫﻟﻙ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻋﺩﺩ ﻤﻥ‬
‫)‪(Paudel&Koirala,2006:22‬‬ ‫ﻭﻫﻲ‬ ‫ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬ ‫ﺍﻟﻤﺤﺎﻓﻅ‬ ‫ﺃﺩﺍﺀ‬ ‫ﻤﻘﺎﻴﻴﺱ‬
‫)‪) (Bason,2004:85‬ﺍﻟﺨﻔﺎﺠﻲ ‪(19:2008 ،‬‬

‫‪ 1-13‬ﻤﻘﻴﺎﺱ ﺸﺎﺭﺏ ‪ Sharp‘s Measure‬ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ‪-:‬‬

‫‪Ri - Rf‬‬
‫= ‪Si‬‬
‫‪si‬‬
‫‪ 2-13‬ﻤﻘﻴﺎﺱ ﺠﻨﺴﻥ‪Measures Jensen’s‬ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ ‪-:‬‬

‫‪ap = ( Rp - Rf ) - ( Rm - Rf ) bp‬‬
‫‪ 3-13‬ﻤﻘﻴﺎﺱ ﺘﺭﻴﻨﻭﺭ‪Trenyor’s Measure‬ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ‪-:‬‬
‫) ‪E ( Rp - Rf‬‬
‫= ‪Tp‬‬
‫‪bp‬‬
‫‪ 4-13‬ﻤﻘﻴﺎﺱ ﺃﻡ ﺘﺭﺒﻴﻊ ‪Measure M2‬ﺤﺴﺏ ﺍﻟﻤﻌﺎﺩﻟﺔ ‪-:‬‬
‫‪M2 = R p - Rm‬‬
‫‪٢١‬‬

‫ﺛﺎﻧﯿ ًﺎ‪ -:‬اﻟﺪراﺳﺎت اﻟﺴﺎﺑﻘﺔ‬

‫أوﻻً‪ -:‬اﻟﺪراﺳﺎت اﻟﻌﺮﺑﯿﺔ‬

‫‪-1‬ﺩﺭﺍﺴﺔ )ﺍﻟﻌﻠﻲ ‪(120-1 :1997 ،‬‬

‫ﺘﻌﺩ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﻤﻥ ﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﺭﺍﺌﺩﺓ ﻋﻠﻰ ﺍﻟﺼﻌﻴﺩ ﺍﻟﻤﺤﻠﻲ ﺍﻟﺘﻲ ﺒﺤﺜﺕ ﻓﻲ " ﺒﻨﺎﺀ‬
‫ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻤﻥ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ " ﺤﻴﺙ ﺍﺨﺘﺒﺭﺕ ﻤﺩﻯ ﺃﻤﻜﺎﻨﻴﺔ ﺍﻻﻋﺘﻤﺎﺩ ﻋﻠﻰ ﻋﺩﺩ ﻤﻥ‬
‫ﺍﻟﻤﺅﺸﺭﺍﺕ ﻓﻲ ﺘﺠﻤﻴﻊ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻟﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ‪ .‬ﺒﺎﻓﺘﺭﺍﺽ ﺍﻨﻪ ﺒﺎﻹﻤﻜﺎﻥ ﺘﺨﻔﻴﺽ‬
‫ﻋﺩﺩ ﺃﺴﻬﻡ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺩﻭﻥ ﺍﻟﺘﺄﺜﻴﺭ ﻓﻲ ﺨﺼﺎﺌﺼﻬﺎ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻋﺩﺩ ﻤﻥ ﺍﻟﻤﻌﺎﻴﻴﺭ ﻭﻗﺩ ﺘﻭﺼل‬
‫ﺍﻟﺒﺎﺤﺙ ﺇﻟﻰ ﻨﺘﺎﺌﺞ ﺘﺩﻋﻡ ﺍﻟﻔﺭﻀﻴﺎﺕ ﺍﻟﺭﺌﻴﺴﻴﺔ ﻭﺍﻟﻔﺭﻋﻴﺔ ﻟﻠﺩﺭﺍﺴﺔ‪.‬‬
‫‪ -2‬ﺩﺭﺍﺴﺔ )ﺍﻟﺸﻴﺦ ‪(182-1 :2002،‬‬
‫ﺒﺎﻟﺭﻏﻡ ﻤﻥ ﺘﺭﻜﻴﺯ ﺍﻟﺩﺭﺍﺴﺔ ﻭﺍﻋﺘﻤﺎﺩﻫﺎ ﻋﻠﻰ ﻓﺭﻀﻴﺔ ﻭﺍﺤﺩﺓ ﻓﻲ ﻗﻴﺎﺱ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﻋﺘﻤﺎﺩﻫﺎ‬
‫ﻗﻁﺎﻉ ﺃﻨﺘﺎﺠﻲ ﻭﺍﺤﺩ ﺩﻭﻥ ﺍﻟﻘﻁﺎﻋﺎﺕ ﺍﻷﺨﺭﻯ ﻓﻘﺩ ﺃﺴﻬﻤﺕ ﺒﺈﺒﺭﺍﺯ ﺃﻫﻤﻴﺔ ﻤﻭﻀﻭﻉ ﻤﻬﻡ ﻭﺤﻴﻭﻱ ﻫﻭ‬
‫ﻻ ﻟﺩﻯ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ‪،‬‬
‫ﺘﻘﻴﻴﻡ ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﺒﺎﻋﺘﺒﺎﺭﻫﺎ ﻭﺍﺤﺩﺓ ﻤﻥ ﺃﻜﺜﺭ ﺍﻷﺩﻭﺍﺕ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻗﺒﻭ ﹰ‬
‫ﻭﻟﻘﺩ ﺍﻋﺘﻤﺩﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻋﻠﻰ ﻓﺭﻀﻴﺔ ﻤﺅﺩﺍﻫﺎ ﺃﻥ ﺍﺤﺘﺠﺎﺯ ﻨﺴﺏ ﻋﺎﻟﻴﺔ ﻤﻥ ﺍﻷﺭﺒﺎﺡ ﻴﺅﺩﻱ ﺇﻟﻰ ﺯﻴﺎﺩﺓ‬
‫ﻤﺴﺎﻫﻤﺔ ﻓﺭﺹ ﺍﻟﻨﻤﻭ ﻓﻲ ﺍﻟﻘﻴﻡ ﺍﻟﺴﻭﻗﻴﺔ ﻟﻸﺴﻬﻡ ﻭﻗﺩ ﺃﻋﺘﻤﺩ ﺍﻟﺒﺎﺤﺙ ﻋﻠﻰ ﺍﻟﻜﺸﻭﻓﺎﺕ ﺍﻟﻤﺎﻟﻴﺔ‬
‫ﺍﻟﺨﺎﺼﺔ ﺒﺎﻟﺸﺭﻜﺎﺕ ﻋﻴﻨﺔ ﺍﻟﺒﺤﺙ ﻭﺃﺴﺘﻨﺘﺞ ﺃﻥ ﺃﺴﻬﻡ ﻨﻤﻭ ﺍﻟﻘﻁﺎﻉ ﺍﻟﺼﻨﺎﻋﻲ ﺘﺅﺜﺭ ﻓﻲ ﺍﻟﻤﺤﻔﻅﺔ ‪.‬‬
‫ﺜﺎﻨﻴﺎﹰ‪ -:‬ﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻷﺠﻨﺒﻴﺔ‬
‫‪-1‬ﺩﺭﺍﺴﺔ )‪(Yazdi & Ardekani , 2004:149-174‬‬
‫‪"An examination of stock categories; growth stocks and value stocks in‬‬
‫"‪Tehran stock Exchange approved companies‬‬
‫ﺘﻨﺎﻭﻟﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻭﺴﻭﻤﺔ )ﺘﻔﺤﺹ ﺃﺼﻨﺎﻑ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻓﻲ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻤﺴﺠﻠﺔ ﻓﻲ‬
‫ﺴﻭﻕ ﻁﻬﺭﺍﻥ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ( ﻤﻭﻀﻭﻉ ﺘﺼﻨﻴﻑ ﺍﻷﺴﻬﻡ ﺇﻟﻰ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻓﻲ‬
‫ﺍﻟﺴﻭﻕ ﺍﻟﻤﺫﻜﻭﺭﺓ ﻟﻠﻔﺘﺭﺓ )‪ (2010-2006‬ﻭﺍﺴﺘﻨﺘﺠﺕ ﺃﻥ ﻫﻨﺎﻟﻙ ﻓﺭﻭﻕ ﺫﺍﺕ ﺩﻻﻟﺔ ﺇﺤﺼﺎﺌﻴﺔ ﻓﻲ‬
‫ﺍﻟﺤﺠﻡ ﻭﺍﻹﻴﺭﺍﺩﺍﺕ ﻭﻤﺨﺎﻁﺭ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻴﻤﻜﻥ ﻤﻼﺤﻅﺘﻬﺎ ﺒﻴﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻋﻨﺩ‬
‫ﺍﺴﺘﺨﺩﺍﻡ ﻤﻘﻴﺎﺱ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺩﻓﺘﺭﻴﺔ ﻭﺍﻟﻘﻴﻤﺔ ﺍﻟﺴﻭﻗﻴﺔ ﻟﺘﺼﻨﻴﻑ ﺍﻟﺸﺭﻜﺎﺕ‪.‬‬
‫‪٢٢‬‬

‫‪ -2‬ﺩﺭﺍﺴﺔ )‪(Breuer &Gurtler , 2006:649-669‬‬

‫"‪"Performance Evaluation and portfolio selection‬‬
‫ﻫﺩﻓﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻭﺴﻭﻤﺔ )ﺘﻘﻴﻴﻡ ﺍﻷﺩﺍﺀ ﻭﺍﺨﺘﻴﺎﺭ ﺍﻟﻤﺤﻔﻅﺔ( ﺇﻟﻰ ﺘﻘﺼﻲ ﺃﺴﻠﻭﺏ ﺍﻟﺒﺎﺤﺜﻴﻥ ﻟﺘﻘﻴﻴﻡ‬
‫ﺃﺩﺍﺀ ﺍﻟﺼﻨﺎﺩﻴﻕ ﺤﻴﺙ ﺒﺩﺃﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻓﻲ ﺘﺤﺩﻴﺩ ﻤﺸﻜﻠﺔ ﺍﺨﺘﻴﺎﺭ ﺍﻟﻤﺤﻔﻅﺔ ﻟﻠﻤﺴﺘﺜﻤﺭ ﺍﻟﺫﻱ ﻴﻭﺍﺠﻪ ﻗﻴﻭﺩ‬
‫ﺍﻟﺒﻴﻊ ﺍﻟﻘﺼﻴﺭ ﻋﻨﺩﻤﺎ ﻴﺨﺘﺎﺭ ﺼﻨﺎﺩﻴﻕ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺨﺘﻠﻔﺔ ﻭﻴﻔﺘﺭﺽ ﺘﺤﻘﻴﻕ ﺩﺍﻟﺔ ﻤﻨﻔﻌﺔ ‪ .‬ﻭﻗﺩ‬
‫ﺍﺴﺘﻨﺩﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ ﻗﺎﻋﺩﺓ ﺒﻴﺎﻨﺎﺕ ﺍﻟﻌﻭﺍﺌﺩ ﺍﻟﺸﻬﺭﻴﺔ ﻟﺴﻭﻕ ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺍﻟﻔﺭﻨﺴﻴﺔ ﻟـــ)‪(24‬‬
‫ﺼﻨﺩﻭﻕ ﻟﻠﻔﺘﺭﺓ )‪ (1999-1994‬ﻭﺍﺴﺘﻨﺘﺠﺕ ﺒﺄﻥ ﻤﻌﻅﻡ ﺍﻟﻤﺼﺎﻋﺏ ﺍﻟﺘﻲ ﺘﻭﺍﺠﻬﻬﺎ ﺍﻟﻤﺤﺎﻓﻅ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻨﺎﺘﺠﺔ ﻋﻥ ﻤﺸﻜﻠﺔ ﺍﻟﺒﻴﻊ ﺍﻟﻘﺼﻴﺭ ﻜﻤﺎ ﺃﺸﺎﺭﺕ ﺇﻟﻰ ﺃﻥ ﻤﻘﺎﻴﻴﺱ )‪(Sharpe‬‬
‫‪ (Jonsen)، (Treynor)،‬ﻫﻲ ﺍﻷﻓﻀل ﻓﻲ ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﻨﺴﺒﻴﹰﺎ ‪.‬‬
‫‪-3‬ﺩﺭﺍﺴﺔ )‪(Shahid , 2007:1-40‬‬
‫"‪"Measuring portfolio Performance‬‬
‫ﻫﺩﻓﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻭﺴﻭﻤﺔ )ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ( ﺇﻟﻰ ﻗﻴﺎﺱ ﻭﺘﻘﻴﻴﻡ ﻤﺠﻤﻭﻋﺔ ﻤﻥ ﺍﻟﻤﺤﺎﻓﻅ‬
‫ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﻤﻨﻭﻋﺔ ﺍﻟﻤﺸﻜﻠﺔ ﻓﻲ ﺴﻭﻕ ﻤﺎﻟﻴﺯﻴﺎ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻟﻠﻔﺘﺭﺓ )‪(2007-2004‬‬
‫ﻭﺍﺴﺘﻨﺘﺠﺕ ﺒﺄﻥ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻴﺘﻐﻴﺭ ﻭﻴﺨﺘﻠﻑ ﺒﺎﺨﺘﻼﻑ ﻨﻭﻉ ﺍﻟﻤﺅﺸﺭ ﺍﻟﻤﺴﺘﺨﺩﻡ ﻭﻫﺫﺍ‬
‫ﻴﻌﻨﻲ ﺃﻨﻪ ﻻ ﻴﻭﺠﺩ ﻤﺅﺸﺭ ﻭﺍﺤﺩ ﻟﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﻴﺸﻜل ﻟﻭﺤﺩﻩ ﻤﻌﻴﺎﺭﹰﺍ‬
‫ﻼ ﻟﻘﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻤﻥ ﺒﻴﻥ ﻤﺅﺸﺭﺍﺕ ﺸﺎﺭﺏ ﻭﺘﺭﻴﻨﻭﺭ ﻭﺠﻴﻨﺴﻥ‪.‬‬
‫ﻤﻔﻀ ﹰ‬
‫‪ -4‬ﺩﺭﺍﺴﺔ )‪(Strahle , 2011:1-79‬‬

‫" ‪"Value and growth stocks on the Swedish stock market‬‬

‫ﺒﺤﺜﺕ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻌﻨﻭﻨﺔ )ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻭﺍﻟﻨﻤﻭ ﻓﻲ ﺴﻭﻕ ﺍﻷﺴﻬﻡ ﺍﻟﺴﻭﻴﺩﻴﺔ( ﺇﻤﻜﺎﻨﻴﺔ ﺍﻟﻤﺴﺘﺜﻤﺭ‬
‫ﺒﺎﻟﺤﺼﻭل ﻋﻠﻰ ﻋﻭﺍﺌﺩ ﻋﺎﻟﻴﺔ ﻋﻨﺩ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻤﻘﺎﺭﻨﺔ ﺒﺎﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ‬
‫ﻭﺒﺄﺠﺭﺍﺀ ﺘﺤﻠﻴل ﺘﺠﺭﻴﺒﻲ ﺒﻴﻥ ﺍﻟﻨﻭﻋﻴﻥ ﻭﺍﺴﺘﻨﺘﺠﺕ ﺃﻥ ﺍﻟﻤﺴﺘﺜﻤﺭ ﻴﺴﺘﻁﻴﻊ ﺍﻟﺤﺼﻭل ﻋﻠﻰ ﻋﻭﺍﺌﺩ‬
‫ﺃﻋﻠﻰ ﻤﻥ ﺨﻼل ﺍﻻﺴﺘﺜﻤﺎﺭ ﻓﻲ ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺤﺘﻰ ﻋﻨﺩﻤﺎ ﺘﻜﻭﻥ ﺍﻟﻌﻭﺍﺌﺩ‬
‫ﻤﻌﺩﻟﺔ ﺒﺎﻟﻤﺨﺎﻁﺭﺓ ‪.‬‬
‫‪٢٣‬‬

‫‪ -5‬ﺩﺭﺍﺴﺔ )‪(Hoekian , 2011:1-78‬‬

‫‪"The Performance of Value VS. Growth Stocks During the Financial‬‬

‫"‪Crisis‬‬

‫ﻫﺩﻓﺕ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻌﻨﻭﻨﺔ )ﺃﺩﺍﺀ ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻤﻘﺎﺒل ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺨﻼل ﺍﻷﺯﻤﺔ ﺍﻟﻤﺎﻟﻴﺔ( ﺇﻟﻰ ﺘﻘﻴﻴﻡ‬
‫ﺃﺩﺍﺀ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺍﻟﻘﻴﻤﺔ ﺨﻼل ﺍﻷﺯﻤﺔ ‪ 2010-2007‬ﻀﻤﻥ ﺍﻷﺴﻭﺍﻕ ﺍﻟﺨﻤﺴﺔ ﺍﻷﻜﺜﺭ ﺘﺄﺜﻴﺭﹰﺍ‬
‫ﻋﻠﻰ ﺍﻟﻨﻁﺎﻕ ﺍﻟﻌﺎﻟﻤﻲ ‪ ،‬ﻭﻗﺩ ﺃﻭﻀﺤﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺒﺄﻥ ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﺘﺘﺩﺍﻭل ﺒﺄﺴﻌﺎﺭ ﻤﻨﺨﻔﻀﺔ ﻤﻘﺎﺭﻨﺔ‬
‫ﻤﻊ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻓﻲ ﺍﻟﺒﻠﺩﺍﻥ ﺍﻷﻜﺜﺭ ﻨﻔﻭﺫﹰﺍ ﻓﻲ ﺠﻤﻴﻊ ﺃﻨﺤﺎﺀ ﺍﻟﻌﺎﻟﻡ ) ﺍﻟﻭﻻﻴﺎﺕ ﺍﻟﻤﺘﺤﺩﺓ ‪ ،‬ﻭﺃﻟﻤﺎﻨﻴﺎ ‪،‬‬
‫ﻭﻓﺭﻨﺴﺎ ‪ ،‬ﻭﺍﻟﺼﻴﻥ ﻭﺍﻟﻤﻤﻠﻜﺔ ﺍﻟﻤﺘﺤﺩﺓ( ﺒﻌﺩ ﺍﻟﺠﻤﻊ ﺒﻴﻥ ﻫﺫﻩ ﺍﻟﺒﻠﺩﺍﻥ ﺍﻟﺨﻤﺴﺔ ﻭﺍﺴﺘﺨﺩﺍﻡ ﻤﻘﺎﻴﻴﺱ‬
‫ﺘﺩﻓﻕ ﺍﻟﺴﻌﺭ ﺇﻟﻰ ﺍﻷﺭﺒﺎﺡ ﻭﺍﻟﺴﻌﺭ ﺇﻟﻰ ﺍﻟﻘﻴﻤﺔ ﺍﻟﺩﻓﺘﺭﻴﺔ ﻭﺍﻟﺴﻌﺭ ﺇﻟﻰ ﺍﻟﺘﺩﻓﻕ ﺍﻟﻨﻘﺩﻱ‬

‫‪ -6‬ﺩﺭﺍﺴﺔ )‪(Hilsted , 2012:1-117‬‬

‫‪"Active portfolio managment and portfolio construction – Implementing an‬‬
‫"‪Investment Strategy‬‬
‫ﻫﺩﻓﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻭﺴﻭﻤﺔ )ﺃﺩﺍﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻨﺸﻁﺔ ﻭﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ‪ -‬ﺘﻁﺒﻴﻕ ﺴﺘﺭﺍﺘﻴﺠﻴﺔ ﺍﻻﺴﺘﺜﻤﺎﺭ(‬
‫ﺇﻟﻰ ﺨﻠﻕ ﺇﺴﺘﺭﺍﺘﻴﺠﻴﺔ ﺍﺴﺘﺜﻤﺎﺭﻴﺔ ﻹﺩﺍﺭﺓ ﻤﺤﻔﻅﺔ ﻨﺸﻁﺔ ﻭﺍﻟﺘﻔﻭﻕ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺅﺸﺭ ‪ MSCI‬ﺨﻼل‬
‫ﺍﻟﻤﺩﺓ ‪ 2011-1992‬ﻭﺍﻟﺘﺤﻘﻕ ﻓﻴﻤﺎ ﺇﺫﺍ ﻜﺎﻨﺕ ﺃﺩﺍﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻨﺸﻁﺔ ﺘﺸﻜل ﺇﺴﺘﺭﺍﺘﻴﺠﻴﺔ ﻨﺎﺠﺤﺔ‪،‬‬
‫ﻟﻘﺩ ﺃﺸﺎﺭﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ ﺃﻥ ﻤﺘﻭﺴﻁ ﺍﻟﻌﺎﺌﺩ ﺍﻟﺸﻬﺭﻱ ﻟــ‪ MSCI‬ﺍﻟﺩﻨﻤﺎﺭﻙ ‪ 0.65%‬ﻓﻲ ﺤﻴﻥ‬
‫ﺃﻥ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻨﺸﻁﺔ ﺘﻨﺘﺞ ﻤﺘﻭﺴﻁ ﻋﺎﺌﺩ ﺸﻬﺭﻱ ﻤﻥ ‪0.34%‬ﻭ‪ 0.37%‬ﻋﻠﻰ ﺍﻟﺘﻭﺍﻟﻲ ﻤﺎ ﻴﻌﻨﻲ ﺃﻥ‬
‫ﺃﺩﺍﺭﺓ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻨﺸﻁﺔ ﻟﻡ ﺘﺘﻔﻭﻕ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﻤﺅﺸﺭ‪.‬‬

‫‪-7‬ﺩﺭﺍﺴﺔ )‪(Yesica & Elma , 2014:1-77‬‬

‫"‪"Value Vs Growth stocks Returns on the Indonesia stock Exchange‬‬
‫ﻫﺩﻓﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻤﻌﻨﻭﻨﺔ )ﻋﻭﺍﺌﺩ ﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ ﻤﻘﺎﺒل ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻓﻲ ﺴﻭﻕ ﺍﻨﺩﻭﻨﻴﺴﻴﺎ ﻟﻸﻭﺭﺍﻕ‬
‫ﺍﻟﻤﺎﻟﻴﺔ( ﺇﻟﻰ ﺘﺤﺩﻴﺩ ﺍﻟﻔﺭﻕ ﻓﻲ ﺍﻟﻌﺎﺌﺩ ﺒﻴﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﺃﺴﻬﻡ ﺍﻟﻘﻴﻤﺔ‪،‬ﻭﺒﺎﺴﺘﺨﺩﺍﻡ ﻋﻴﻨﺔ ﻤﻥ )‪(30‬‬
‫ﺴﻬ ‪‬ﻡ ﻤﺩﺭﺝ ﻓﻲ ﺍﻟﺒﻭﺭﺼﺔ ﻓﻲ ﺍﻻﻨﺩﻭﻨﻴﺴﻴﺔ ﻟﻠﻔﺘﺭﺓ )‪ (2013-2003‬ﺍﺴﺘﻨﺘﺠﺕ ﻋﺩﻡ ﻭﺠﻭﺩ ﻓﺭﻭﻗﺎﺕ‬
‫ﻤﻌﻨﻭﻴﺔ ﻓﻲ ﺍﻟﻌﻭﺍﺌﺩ ﺒﻴﻥ ﻨﻭﻋﻲ ﺍﻷﺴﻬﻡ ﺍﻟﻤﺫﻜﻭﺭﻴﻥ‪.‬‬
‫‪٢٤‬‬

‫ﺍﻟﻤﺤﻭﺭ ﺍﻟﺜﺎﻟﺙ‪-:‬ﺍﻟﺠﺎﻨﺏ ﺍﻟﻌﻤﻠﻲ‬

‫ﺃﻭﻻﹰ‪ -:‬ﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻭﺍﺨﺘﺒﺎﺭ ﺍﻟﻔﺭﻀﻴﺎﺕ‬
‫ﻟﻐﺭﺽ ﺍﺨﺘﺒﺎﺭ ﻓﺭﻀﻴﺎﺕ ﺍﻟﺩﺭﺍﺴﺔ ﺘﻁﺒﻴﻘﻴﹰﺎ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭﺍﺕ ﻓﺭﺯ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻭﻨﻤﺎﺫﺝ ﺍﻟﻘﻴﺎﺱ‬
‫ﺍﻟﻜﻤﻲ ﺍﻟﻤﻘﺎﺭﻥ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ ﺜﻡ ﺘﺼﻨﻴﻑ ﺍﻷﺴﻬﻡ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭﺍﺕ‬
‫ﺍﻟﻘﻴﺎﺱ ﺍﻟﺘﻲ ﺃﺸﺎﺭﺕ ﺃﻟﻴﻬﺎ ﻓﺭﻀﻴﺎﺕ ﺍﻟﺩﺭﺍﺴﺔ ﻭﻋﻠﻰ ﻭﻓﻕ ﺍﻟﺘﺴﻠﺴل ﻭﻜﺎﻵﺘﻲ ‪:‬‬
‫‪ -1‬ﻤﺅﺸﺭ ‪P/E‬‬
‫ﺘﻡ ﺘﻁﺒﻴﻕ ﻫﺫﺍ ﺍﻟﻤﺅﺸﺭ ﻋﻠﻰ ﻜل ﺃﺴﻬﻡ ﺍﻟﻌﻴﻨﺔ ﻭﺍﻟﺠﺩﻭل ‪ 3-1‬ﻴﺒﻴﻥ ﻤﺎﻫﻴﺔ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺤﺼﻠﺕ‬
‫ﻋﻠﻰ ﻤﻀﺎﻋﻑ ﺃﺭﺒﺎﺡ ﻋﺎﻟﻲ ﻭﻤﻘﺩﺍﺭ ﺫﻟﻙ ﺍﻟﻤﻀﺎﻋﻑ ﺍﺴﺘﻨﺎﺩﹰﺍ ﺇﻟﻰ ﻤﻘﻴﺎﺱ )‪ (P/E‬ﺠﺭﻯ ﻓﺤﺹ‬
‫ﻋﻴﻨﺔ ﺍﻟﺒﺤﺙ ﻭﻗﺩ ﺃﻅﻬﺭ ﻫﺫﺍ ﺍﻟﻤﻘﻴﺎﺱ ﺃﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻷﻋﻠﻰ ﻤﻥ )‪ (P/E‬ﻀﻤﺕ ﺍﻟﺸﺭﻜﺎﺕ‬
‫ﺍﻵﺘﻴﺔ‪-:‬‬
‫ﺍﻟﺠﺩﻭل‪3-1‬‬
‫ﺘﻘﺴﻴﻡ ﻋﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ ﻤﺠﻤﻭﻋﺘﻴﻥ ﻭﻓﻘﹰﺎ ﻟﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ *‬
‫ﺍﻷﺭﺒﺎﺡ‬ ‫ﺭﻤﺯ ﺍﻷﺴﻬﻡ ﺫﺍﺕ ﻤﻀﺎﻋﻑ ﻤﻀﺎﻋﻑ‬ ‫ﺕ‬
‫ﺍﻟﻌﺎﻟﻲ*‬ ‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ‬
‫‪165‬‬ ‫‪56‬‬ ‫‪1‬‬
‫‪126‬‬ ‫‪11‬‬ ‫‪2‬‬
‫‪106‬‬ ‫‪13‬‬ ‫‪3‬‬
‫‪86‬‬ ‫‪44‬‬ ‫‪4‬‬
‫‪79‬‬ ‫‪31‬‬ ‫‪5‬‬
‫‪54‬‬ ‫‪41‬‬ ‫‪6‬‬
‫‪44‬‬ ‫‪12‬‬ ‫‪7‬‬
‫‪44‬‬ ‫‪54‬‬ ‫‪8‬‬

‫*ﻤﻘﺭﺒﺔ ﺇﻟﻰ ﺍﻷﻋﺩﺍﺩ ﺍﻟﺼﺤﻴﺤﺔ‬

‫ﺍﻟﻤﺼﺩﺭ ‪ :‬ﺩﻟﻴل ﺍﻟﺸﺭﻜﺎﺕ ﻟﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻲ‪ -‬ﺍﻟﺘﻘﺎﺭﻴﺭ ﺍﻟﺴﻨﻭﻴﺔ ﻟﻠﻔﺘﺭﺓ )‪2012-‬‬
‫‪(2005‬‬

‫ﻭﺒﺎﺴﺘﺨﺩﺍﻡ ﻨﻤﻭﺫﺝ ﺍﻟﺘﺩﺭﻴﺞ ﺍﻟﺒﺴﻴﻁ ﺍﻟﻤﺸﺎﺭ ﺇﻟﻴﻪ ﺒﺎﻟﻔﻘﺭﺓ )‪ (9‬ﻤﻥ ﻤﻨﻬﺠﻴﺔ ﺍﻟﺒﺤﺙ ﻓﻘﺩ ﺃﺠﺘﺎﺯ )‪ (6‬ﻤﻥ‬
‫ﺍﻷﺴﻬﻡ ﺤﺩ ﺍﻟﻘﻁﻊ ﻭﺒﻠﻐﺕ ﻨﺴﺒﺔ ﺍﺴﺘﺜﻤﺎﺭ ﻜل ﻤﻨﻬﻡ ﻜﻤﺎ ﻓﻲ ﺍﻟﻌﻤﻭﺩ )‪ (11‬ﻤﻥ ﺍﻟﺠﺩﻭل ‪3-2‬‬
‫ﻭﻤﺠﻤﻭﻋﻬﻤﺎ ‪ 100%‬ﻤﻥ ﻤﺒﻠﻎ ﺍﻷﺴﺘﺜﻤﺎﺭ ‪.‬‬
 ‫‪٢٥‬‬

‫ﺍﻟﺠﺩﻭل ‪3-2‬‬
‫ﺃﻭﺯﺍﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺠﻤﻭﻋﺔ ﺍﻷﺴﻬﻡ ﺫﺍﺕ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ‬
‫_ ﻣﻜﻮﻧﺎت‬ ‫_‬ ‫‪4‬‬ ‫‪4‬‬
‫اﻟﻤﺤﻔﻈﺔ‬
‫– ‪R i – (R i‬‬ ‫)‪å(2‬‬ ‫*‪3‬‬ ‫‪βi2/IRi‬‬
‫)‪å (5‬‬
‫‪i =1‬‬ ‫*‪6‬‬ ‫‪Ci‬‬ ‫‪Zi‬‬
‫‪Wi‬‬
‫‪i=1‬‬
‫‪RF/ βi RF)βi/IRi‬‬ ‫)‪σ2(M‬‬ ‫‪σ2(M)+1‬‬

‫‪12‬‬ ‫‪.1515‬‬ ‫‪0.854‬‬ ‫‪0.854‬‬ ‫‪0.004‬‬ ‫‪5.752‬‬ ‫‪5.752‬‬ ‫‪1.033‬‬ ‫‪.0039‬‬ ‫‪.662‬‬ ‫‪.147‬‬
‫‪41‬‬ ‫‪.1181‬‬ ‫‪0.342‬‬ ‫‪1.196‬‬ ‫‪0.006‬‬ ‫‪3.108‬‬ ‫‪8.86‬‬ ‫‪1.051‬‬ ‫‪.0057‬‬ ‫‪.654‬‬ ‫‪.144‬‬
‫‪56‬‬ ‫‪.0787‬‬ ‫‪0.030‬‬ ‫‪1.221‬‬ ‫‪0.007‬‬ ‫‪0.614‬‬ ‫‪9.474‬‬ ‫‪1.054‬‬ ‫‪.0066‬‬ ‫‪.257‬‬ ‫‪.057‬‬
‫‪13‬‬ ‫‪.0769‬‬ ‫‪2.367‬‬ ‫‪3.593‬‬ ‫‪0.020‬‬ ‫‪31.39‬‬ ‫‪40.86‬‬ ‫‪1.233‬‬ ‫‪.0162‬‬ ‫‪.674‬‬ ‫‪.149‬‬
‫‪31‬‬ ‫‪.0753‬‬ ‫‪3.691‬‬ ‫‪7.284‬‬ ‫‪0.042‬‬ ‫‪49.84‬‬ ‫‪90.70‬‬ ‫‪1.517‬‬ ‫‪.0277‬‬ ‫‪.870‬‬ ‫‪.192‬‬

‫‪11‬‬ ‫‪.0605‬‬ ‫‪4.010‬‬ ‫‪11.294‬‬ ‫‪0.064‬‬ ‫‪69.06‬‬ ‫‪159.8‬‬ ‫‪1.911‬‬ ‫‪.0335‬‬ ‫‪1.419‬‬ ‫‪.313‬‬
‫ﻭﻋﻨﺩ ﺍﺴﺘﺨﺩﺍﻡ ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ ﻟﺤﺴﺎﺏ ﻤﻌﺩل ﻋﺎﺌﺩ ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻜﺎﻨﺕ ﺍﻟﻨﺘﺎﺌﺞ‬
‫ﻜﺎﻷﺘﻲ‬

‫)‪R(P‬‬
‫‪0.309‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ‬
‫)‪σ2 (P‬‬
‫‪1.0795‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ‬
‫‪SR‬‬
‫‪0.0673‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﻅﺎﻤﻴﺔ‬
‫‪IR‬‬
‫‪1.0122‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻼﻨﻅﺎﻤﻴﺔ‬
‫‪C.V‬‬
‫‪3.362‬‬ ‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ‬
‫‪R/R‬‬
‫‪0.298‬‬ ‫ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﻋﻠﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ‬

‫ﻭﻋﻨﺩ ﻤﻘﺎﺭﻨﺔ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ )‪ (P/E‬ﺍﻟﻌﺎﻟﻲ ﻤﻊ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺍﻟﻤﺭﺠﻌﻴﺔ ﻟﻸﺴﻬﻡ ﻴﻼﺤﻅ ﺒﺎﻥ ﻫﻨﺎﻟﻙ ﺘﻔﻭﻗﹰﺎ ﻭﺍﻀﺤﹰﺎ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ‬
‫ﺤﻴﺙ ﺍﺴﺘﻁﺎﻋﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻤﻥ )‪ (0.093‬ﺇﻟﻰ )‪ (0.303‬ﻭﻜﺫﻟﻙ ﺨﻔﻀﺕ‬
‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ﻤﻥ )‪ (4.150‬ﺇﻟﻰ )‪ ،(3.429‬ﻭﺭﻓﻌﺕ ﻨﺴﺒﺔ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻤﻥ‬
‫)‪ (0.2791‬ﻤﺭﺓ ﺇﻟﻰ )‪ (0.2912‬ﻤﺭﺓ ‪.‬ﻤﻤﺎ ﻴﻌﻨﻲ ﺭﻓﺽ ﻓﺭﻀﻴﺔ ﺍﻟﻌﺩﻡ ﻭﻗﺒﻭل ﻓﺭﻀﻴﺔ ﺍﻟﻭﺠﻭﺩ‬
 ‫‪٢٦‬‬

‫ﺒﺘﻔﻭﻕ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﻴﺘﻡ ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭ ‪P/E‬ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ‬
‫ﺍﻟﻤﺭﺠﻌﻴﺔ ﻤﻥ ﺤﻴﺙ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻨﺨﻔﺎﺽ ﺍﻟﻤﺨﺎﻁﺭﺓ ‪.‬‬

‫‪ .2‬ﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘﹰﺎ ﻟﻤﺅﺸﺭ‪PVGO‬‬

‫ﻟﻐﺭﺽ ﺍﺨﺘﺒﺎﺭ ﺍﻟﻔﺭﻀﻴﺔ ﺍﻟﺜﺎﻨﻴﺔ ﺍﻟﺘﻲ ﺘﺸﻴﺭ ﺇﻟﻰ ﻋﺩﻡ ﺘﻔﻭﻕ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺍﺨﺘﻴﺎﺭ‬
‫ﻤﻜﻭﻨﺎﺘﻬﺎ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻗﻴﻡ ﻤﺅﺸﺭ )‪ (PVGO‬ﺍﻷﻋﻠﻰ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺭﺠﻌﻴﺔ ﺠﺭﻯ‬
‫ﻓﺤﺹ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻗﻴﻡ ﺍﻟﻤﺅﺸﺭ ﺍﻷﻋﻠﻰ ﻭﺍﻟﻤﺒﻴﻨﺔ ﻓﻲ ﺍﻟﺠﺩﻭل ‪.3-3‬‬
‫ﺍﻟﺠﺩﻭل ‪3-3‬‬
‫ﺘﻘﺴﻴﻡ ﻋﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺇﻟﻰ ﻤﺠﻤﻭﻋﺘﻴﻥ ﻭﻓﻘﹰﺎ ﻟﻤﺅﺸﺭ)‪*(PVGO‬‬
‫ﺭﻤﺯ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺘﺘﻤﻴﺯ ﻨﺴﺒﺔ )‪(PVGO‬‬ ‫ﺕ‬
‫ﺍﻟﻌﺎﻟﻴﺔ‬ ‫ﺒﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ‬
‫‪33.520‬‬ ‫‪12‬‬ ‫‪1‬‬
‫‪30.441‬‬ ‫‪11‬‬ ‫‪2‬‬
‫‪27.310‬‬ ‫‪31‬‬ ‫‪3‬‬
‫‪25.992‬‬ ‫‪13‬‬ ‫‪4‬‬
‫‪22.441‬‬ ‫‪42‬‬ ‫‪5‬‬
‫‪20.240‬‬ ‫‪62‬‬ ‫‪6‬‬
‫‪17.330‬‬ ‫‪61‬‬ ‫‪7‬‬

‫‪ -:2-1‬ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺅﺸﺭ)‪ (PVGO‬ﺍﻟﻌﺎﻟﻲ‬

‫ﺍﻟﺠﺩﻭل ‪3-4‬‬
‫ﺃﻭﺯﺍﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺠﻤﻭﻋﺔ ﺍﻷﺴﻬﻡ ﻟﻨﺴﺒﺔ)‪(PVGO‬ﺍﻟﻌﺎﻟﻴﺔ‬
‫_ ﻣﻜﻮﻧﺎت‬ ‫_‬ ‫‪4‬‬ ‫‪4‬‬
‫‪ R‬اﻟﻤﺤﻔﻈﺔ‬ ‫‪i‬‬ ‫– ‪–RF/ (R i‬‬
‫‪βi RF)βi/IRi‬‬
‫)‪å(2‬‬ ‫*‪3‬‬
‫)‪σ2(M‬‬
‫‪βi2/IRi‬‬ ‫)‪å (5‬‬
‫‪i =1‬‬
‫*‪6‬‬
‫‪σ2(M)+1‬‬
‫‪Ci‬‬ ‫‪Zi‬‬ ‫‪Wi‬‬
‫‪i=1‬‬

‫‪62‬‬ ‫‪.4437‬‬ ‫‪0.168‬‬ ‫‪0.168‬‬ ‫‪0.001‬‬ ‫‪0.187‬‬ ‫‪0.187‬‬ ‫‪1.001‬‬ ‫‪.0009‬‬ ‫‪1.144‬‬ ‫‪.105‬‬
‫‪61‬‬ ‫‪.2305‬‬ ‫‪0.157‬‬ ‫‪0.325‬‬ ‫‪0.002‬‬ ‫‪0.042‬‬ ‫‪0.23‬‬ ‫‪1.001‬‬ ‫‪.0002‬‬ ‫‪1.183‬‬ ‫‪.108‬‬
‫‪43‬‬ ‫‪.1731‬‬ ‫‪0.352‬‬ ‫‪0.677‬‬ ‫‪0.004‬‬ ‫‪2.032‬‬ ‫‪2.262‬‬ ‫‪1.013‬‬ ‫‪.0039‬‬ ‫‪1.082‬‬ ‫‪.099‬‬
‫‪11‬‬ ‫‪.1516‬‬ ‫‪0.872‬‬ ‫‪1.549‬‬ ‫‪0.009‬‬ ‫‪5.752‬‬ ‫‪8.014‬‬ ‫‪1.046‬‬ ‫‪.0086‬‬ ‫‪7.516‬‬ ‫‪.688‬‬
‫‪٢٧‬‬

‫ﻭﺒﺎﺴﺘﺨﺩﺍﻡ ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ ﻟﺤﺴﺎﺏ ﻤﻌﺩل ﻋﺎﺌﺩ ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻜﺎﻨﺕ ﺍﻟﻨﺘﺎﺌﺞ ﻜﺎﻷﺘﻲ‬
‫‪:‬ــ‬
‫)‪R(P‬‬
‫‪0.47465‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ‬
‫)‪σ2 (P‬‬
‫‪1.04402‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ‬
‫‪SR‬‬
‫‪0.01327‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﻅﺎﻤﻴﺔ‬
‫‪IR‬‬
‫‪1.03075‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻼﻨﻅﺎﻤﻴﺔ‬
‫‪C.V‬‬
‫‪2.1527‬‬ ‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ‬
‫‪R/R‬‬
‫‪0.4645‬‬ ‫ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﻋﻠﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫ﻭﻋﻨﺩ ﻤﻘﺎﺭﻨﺔ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﻘﻴﺎﺱ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻲ ﻤﻊ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ‬
‫ﻟﻸﺴﻬﻡ ﻴﻼﺤﻅ ﺒﺎﻥ ﻫﻨﺎﻟﻙ ﺘﻔﻭﻗﹰﺎ ﻭﺍﻀﺤﹰﺎ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ ﺤﻴﺙ‬
‫ﺍﺴﺘﻁﺎﻋﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻤﻥ )‪ (0.093‬ﺇﻟﻰ )‪ (0.47465‬ﻭﻜﺫﻟﻙ ﺨﻔﻀﺕ‬
‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ﻤﻥ )‪ (4.150‬ﺇﻟﻰ )‪ (2.1527‬ﻭﺭﻓﻌﺕ ﻨﺴﺒﺔ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻤﻥ‬
‫)‪ (0.2791‬ﻤﺭﺓ ﺇﻟﻰ )‪ (0.4645‬ﻤﺭﺓ ‪،‬ﻤﻤﺎ ﻴﻌﻨﻲ ﺭﻓﺽ ﻓﺭﻀﻴﺔ ﺍﻟﻌﺩﻡ ﺍﻟﺜﺎﻨﻴﺔ ﻭﻗﺒﻭل ﻓﺭﻀﻴﺔ‬
‫ﺍﻟﻭﺠﻭﺩ ﺒﺘﻔﻭﻕ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ ﻋﻠﻰ ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺇﺫ‬
‫ﺘﻡ ﺘﺭﻜﻴﺏ ﺘﻠﻙ ﺍﻟﻤﺤﻔﻅﺔ ﺒﺎﺴﺘﺨﺩﺍﻡ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺘﺘﻤﻴﺯ ﺒﺘﻘﻴﻴﻡ ﺃﻋﻠﻰ ﻟﻤﺅﺸﺭ )‪.(PVGO‬‬
‫‪:3‬ــــ ﺒﻨﺎﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘﹰﺎ ﻟﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﺴﺘﻨﺎﺩﹰﺍ ﺇﻟﻰ ﻓﺭﻀﻴﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﻔﺭﻋﻴﺔ ﺍﻟﺘﻲ ﺘﺸﻴﺭ ﺇﻟﻰ ﻋﺩﻡ ﺘﻔﻭﻕ ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ‬
‫ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻋﻠﻰ ﻭﻓﻕ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻷﻋﻠﻰ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ‪ .‬ﻓﻘﺩ ﺘﻡ ﻓﺤﺹ‬
‫ﻋﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﺘﻲ ﺘﺘﻜﻭﻥ ﻤﻥ ﻤﺠﻤﻭﻋﺔ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺤﺘﺠﺯ ﺃﺭﺒﺎﺤﻬﺎ ﺃﻭ ﻨﺴﺏ ﻜﺒﻴﺭﺓ ﻤﻨﻬﺎ‬
‫ﻭﻜﻤﺎ ﻴﻠﻲ‪-:‬‬
‫‪٢٨‬‬

‫ﺍﻟﺠﺩﻭل ‪3-5‬‬
‫ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﺘﻲ ﺘﺤﺘﺠﺯ ﺍﻷﺭﺒﺎﺡ ﺒﻨﺴﺒﺔ ﻋﺎﻟﻴﺔ‬
‫ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ‬ ‫ﺭﻤﺯ ﺍﻷﺴﻬﻡ ﺍﻟﺘﻲ ﺘﺤﺘﺠﺯ ﺍﻷﺭﺒﺎﺡ ﺒﻨﺴﺒﺔ ﻋﺎﻟﻴﺔ‬ ‫ﺕ‬
‫‪99%‬‬ ‫‪11‬‬ ‫‪1‬‬
‫‪100%‬‬ ‫‪14‬‬ ‫‪2‬‬
‫‪100%‬‬ ‫‪16‬‬ ‫‪3‬‬
‫‪100%‬‬ ‫‪17‬‬ ‫‪4‬‬
‫‪100%‬‬ ‫‪23‬‬ ‫‪5‬‬
‫‪70%‬‬ ‫‪21‬‬ ‫‪6‬‬
‫‪100%‬‬ ‫‪41‬‬ ‫‪7‬‬
‫‪100%‬‬ ‫‪44‬‬ ‫‪8‬‬
‫‪100%‬‬ ‫‪53‬‬ ‫‪9‬‬
‫‪100%‬‬ ‫‪55‬‬ ‫‪10‬‬
‫‪100%‬‬ ‫‪18‬‬ ‫‪11‬‬
‫‪100%‬‬ ‫‪62‬‬ ‫‪12‬‬
‫‪100%‬‬ ‫‪13‬‬ ‫‪13‬‬
‫‪57%‬‬ ‫‪12‬‬ ‫‪14‬‬
‫‪85%‬‬ ‫‪15‬‬ ‫‪15‬‬
‫‪90%‬‬ ‫‪19‬‬ ‫‪16‬‬
‫‪100%‬‬ ‫‪57‬‬ ‫‪17‬‬
‫‪80%‬‬ ‫‪22‬‬ ‫‪18‬‬
‫‪90%‬‬ ‫‪31‬‬ ‫‪19‬‬
‫‪72%‬‬ ‫‪32‬‬ ‫‪20‬‬
‫‪90%‬‬ ‫‪51‬‬ ‫‪21‬‬
‫‪85%‬‬ ‫‪56‬‬ ‫‪22‬‬
‫‪67%‬‬ ‫‪58‬‬ ‫‪23‬‬
 ‫‪٢٩‬‬

‫ﺍﻟﻤﺼﺩﺭ ‪) :‬ﺩﻟﻴل ﺍﻟﺸﺭﻜﺎﺕ ﻟﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻲ (‬

‫‪ -:3-2‬ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘﹰﺎ ﻟﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ‬

‫ﺍﻟﺠﺩﻭل ‪3-6‬‬
‫ﺃﻭﺯﺍﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺠﻤﻭﻋﺔ ﺍﻷﺴﻬﻡ ﺫﺍﺕ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ‬
‫– ‪ R i – (R i‬ﻣﻜﻮﻧﺎت‬ ‫‪4‬‬ ‫)‪3* σ2(M‬‬ ‫‪βi2/IRi‬‬ ‫‪4‬‬ ‫*‪6‬‬ ‫‪Ci‬‬ ‫‪Zi‬‬ ‫‪Wi‬‬
‫‪ RF/ βi RF)βi/IRi‬اﻟﻤﺤﻔﻈﺔ‬
‫)‪å(2‬‬ ‫)‪å (5‬‬
‫‪i =1‬‬
‫‪σ2(M)+1‬‬
‫‪i=1‬‬

‫‪62‬‬ ‫‪.4437‬‬ ‫‪0.0828‬‬ ‫‪0.0828‬‬ ‫‪0.001‬‬ ‫‪0.1867‬‬ ‫‪0.1867‬‬ ‫‪1.001‬‬ ‫‪0.0015‬‬ ‫‪16.27‬‬ ‫‪.664‬‬
‫‪55‬‬ ‫‪.2891‬‬ ‫‪0.1184‬‬ ‫‪0.2012‬‬ ‫‪0.001‬‬ ‫‪0.4096‬‬ ‫‪0.5963‬‬ ‫‪1.003‬‬ ‫‪0.0009‬‬ ‫‪1.457‬‬ ‫‪.059‬‬
‫‪12‬‬ ‫‪.1516‬‬ ‫‪0.8718‬‬ ‫‪1.073‬‬ ‫‪0.006‬‬ ‫‪5.7523‬‬ ‫‪6.3486‬‬ ‫‪1.036‬‬ ‫‪0.0058‬‬ ‫‪0.506‬‬ ‫‪.027‬‬
‫‪58‬‬ ‫‪.1409‬‬ ‫‪0.1137‬‬ ‫‪1.1867‬‬ ‫‪0.007‬‬ ‫‪0.8067‬‬ ‫‪7.1553‬‬ ‫‪1.041‬‬ ‫‪0.0067‬‬ ‫‪0.583‬‬ ‫‪.024‬‬
‫‪41‬‬ ‫‪.1182‬‬ ‫‪0.3672‬‬ ‫‪1.5539‬‬ ‫‪0.009‬‬ ‫‪3.1078‬‬ ‫‪10.263‬‬ ‫‪1.058‬‬ ‫‪0.0085‬‬ ‫‪0.439‬‬ ‫‪.018‬‬
‫‪14‬‬ ‫‪.1148‬‬ ‫‪1.202‬‬ ‫‪2.7559‬‬ ‫‪0.016‬‬ ‫‪10.463‬‬ ‫‪20.726‬‬ ‫‪1.118‬‬ ‫‪0.0143‬‬ ‫‪0.560‬‬ ‫‪.023‬‬
‫‪17‬‬ ‫‪.1063‬‬ ‫‪2.065‬‬ ‫‪4.8209‬‬ ‫‪0.027‬‬ ‫‪19.427‬‬ ‫‪40.153‬‬ ‫‪1.229‬‬ ‫‪0.0219‬‬ ‫‪0.295‬‬ ‫‪.012‬‬
‫‪18‬‬ ‫‪.0957‬‬ ‫‪3.283‬‬ ‫‪8.1039‬‬ ‫‪0.046‬‬ ‫‪34.293‬‬ ‫‪74.446‬‬ ‫‪1.424‬‬ ‫‪0.0323‬‬ ‫‪0.738‬‬ ‫‪.030‬‬
‫‪15‬‬ ‫‪.0826‬‬ ‫‪3.941‬‬ ‫‪12.045‬‬ ‫‪0.068‬‬ ‫‪122.14‬‬ ‫‪122.14‬‬ ‫‪1.696‬‬ ‫‪0.0406‬‬ ‫‪0.391‬‬ ‫‪.002‬‬
‫‪32‬‬ ‫‪.0804‬‬ ‫‪3.848‬‬ ‫‪15.893‬‬ ‫‪0.0906‬‬ ‫‪47.849‬‬ ‫‪170.03‬‬ ‫‪1.969‬‬ ‫‪0.0460‬‬ ‫‪0.886‬‬ ‫‪.036‬‬
‫‪22‬‬ ‫‪.0789‬‬ ‫‪5.963‬‬ ‫‪21.856‬‬ ‫‪0.1246‬‬ ‫‪75.600‬‬ ‫‪245.63‬‬ ‫‪2.4001‬‬ ‫‪0.0519‬‬ ‫‪0.491‬‬ ‫‪.020‬‬
‫‪56‬‬ ‫‪.0787‬‬ ‫‪0.4832‬‬ ‫‪22.339‬‬ ‫‪0.1273‬‬ ‫‪0.1614‬‬ ‫‪245.79‬‬ ‫‪2.4010‬‬ ‫‪0.0530‬‬ ‫‪0.098‬‬ ‫‪.004‬‬
‫‪53‬‬ ‫‪.0770‬‬ ‫‪0.7552‬‬ ‫‪23.094‬‬ ‫‪0.1316‬‬ ‫‪9.8083‬‬ ‫‪255.59‬‬ ‫‪2.4569‬‬ ‫‪0.0536‬‬ ‫‪0.428‬‬ ‫‪.014‬‬
‫‪13‬‬ ‫‪.0769‬‬ ‫‪2.416‬‬ ‫‪25.510‬‬ ‫‪0.1454‬‬ ‫‪31.388‬‬ ‫‪286.99‬‬ ‫‪2.6358‬‬ ‫‪0.0552‬‬ ‫‪0.241‬‬ ‫‪.009‬‬
‫‪31‬‬ ‫‪.0754‬‬ ‫‪3.758‬‬ ‫‪29.268‬‬ ‫‪0.1668‬‬ ‫‪49.837‬‬ ‫‪336.82‬‬ ‫‪2.9199‬‬ ‫‪0.0571‬‬ ‫‪0.291‬‬ ‫‪.012‬‬
‫‪23‬‬ ‫‪.0729‬‬ ‫‪1729‬‬ ‫‪30.997‬‬ ‫‪0.1767‬‬ ‫‪23.702‬‬ ‫‪360.53‬‬ ‫‪3.0550‬‬ ‫‪0.0578‬‬ ‫‪0.151‬‬ ‫‪.004‬‬
‫‪21‬‬ ‫‪.0708‬‬ ‫‪5.963‬‬ ‫‪36.69‬‬ ‫‪0.2107‬‬ ‫‪80.385‬‬ ‫‪440.92‬‬ ‫‪3.5132‬‬ ‫‪0.0599‬‬ ‫‪0.299‬‬ ‫‪.012‬‬
‫‪19‬‬ ‫‪.0701‬‬ ‫‪4.196‬‬ ‫‪41.16‬‬ ‫‪0.2346‬‬ ‫‪59.865‬‬ ‫‪500.79‬‬ ‫‪3.8545‬‬ ‫‪0.0609‬‬ ‫‪0.243‬‬ ‫‪.009‬‬
‫‪16‬‬ ‫‪.0674‬‬ ‫‪4.291‬‬ ‫‪45.45‬‬ ‫‪0.2591‬‬ ‫‪63.691‬‬ ‫‪564.48‬‬ ‫‪4.2175‬‬ ‫‪0.0614‬‬ ‫‪0.199‬‬ ‫‪.008‬‬
‫‪٣٠‬‬

‫ﻭﺒﺎﺴﺘﺨﺩﺍﻡ ﻨﻤﻭﺫﺝ ﺸﺎﺭﺏ ﻟﺤﺴﺎﺏ ﻤﻌﺩل ﻋﺎﺌﺩ ﻭﻤﺨﺎﻁﺭﺓ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻜﺎﻨﺕ ﺍﻟﻨﺘﺎﺌﺞ ﻜﺎﻷﺘﻲ‬
‫‪:‬ــ‬
‫) ‪R(P‬‬
‫‪0.3765‬‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ‬
‫)‪σ2 (P‬‬
‫‪1.0974‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ‬
‫‪SR‬‬
‫‪0.0342‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻨﻅﺎﻤﻴﺔ‬
‫‪IR‬‬
‫‪1.0632‬‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻼﻨﻅﺎﻤﻴﺔ‬
‫‪C.V‬‬
‫‪2.7824‬‬ ‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ‬
‫‪R/R‬‬
‫‪0.3594‬‬ ‫ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﻋﻠﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫ﻭﻋﻨﺩ ﻤﻘﺎﺭﻨﺔ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ ﻤﻊ ﻨﺘﺎﺌﺞ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺍﻟﻤﺭﺠﻌﻴﺔ ﻟﻸﺴﻬﻡ ﻴﻼﺤﻅ ﺒﺎﻥ ﻫﻨﺎﻟﻙ ﺘﻔﻭﻗﹰﺎ ﻭﺍﻀﺤﹰﺎ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﺭﺠﻌﻴﺔ‬
‫ﺤﻴﺙ ﺍﺴﺘﻁﺎﻋﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺯﻴﺎﺩﺓ ﺍﻟﻌﺎﺌﺩ ﻤﻥ )‪ (0.093‬ﺇﻟﻰ )‪ (0.3765‬ﻭﻜﺫﻟﻙ ﺨﻔﻀﺕ‬
‫ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ ﻤﻥ )‪ (4.150‬ﺇﻟﻰ )‪، (2.7824‬ﻭﺭﻓﻌﺕ ﻨﺴﺒﺔ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ ﻤﻥ‬
‫)‪ (0.2791‬ﻤﺭﺓ ﺇﻟﻰ )‪ (0.3594‬ﻤﺭﺓ‪ ،‬ﻟﺫﺍ ﺘﺭﻓﺽ ﻓﺭﻀﻴﺔ ﺍﻟﻌﺩﻡ ﻭﺘﻘﺒل ﻓﺭﻀﻴﺔ ﺍﻟﻭﺠﻭﺩ ﺒﺘﻔﻭﻕ‬
‫ﻤﺤﻔﻅﺔ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺍﺨﺘﻴﺎﺭ ﻤﻜﻭﻨﺎﺘﻬﺎ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻷﻋﻠﻰ ﻋﻠﻰ‬
‫ﺃﺩﺍﺀ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺍﻟﻤﺭﺠﻌﻴﺔ ‪.‬‬

‫ﺜﺎﻨﻴﺎﹰ‪ - :‬ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻸﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ‬

‫‪-1‬ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪Sharp‬‬
‫ﺘﻡ ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﺅﺸﺭﺍﺕ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺍﻟﺘﻲ ﺘﻡ ﺘﻨﺎﻭﻟﻬﺎ ﻓﻲ ﺍﻟﺠﺎﻨﺏ‬
‫ﺍﻟﻨﻅﺭﻱ ‪ ،‬ﻭﻤﻥ ﺨﻼل ﺘﻠﻙ ﺍﻟﻨﺘﺎﺌﺞ ﻴﻤﻜﻥ ﺘﺤﺩﻴﺩ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﺘﻲ ﺘﺤﻘﻕ ﺃﻓﻀل ﺃﺩﺍﺀ ﻤﻥ ﺨﻼل‬
‫ﺍﻟﻨﺴﺒﺔ ﺍﻟﻤﺌﻭﻴﺔ ﺒﺎﻋﺘﺒﺎﺭﻫﺎ ﻗﺎﻋﺩﺓ ﺍﻟﻘﺭﺍﺭ ﻭﻓﻕ ﻫﺫﺍ ﺍﻟﻤﻘﻴﺎﺱ ﻓﻜﻠﻤﺎ ﻜﺎﻨﺕ ﺍﻟﻨﺴﺒﺔ ﺃﻜﺒﺭ ﻜﻠﻤﺎ ﻜﺎﻨﺕ‬
‫ﺍﻟﻤﺤﻔﻅﺔ ﺃﻓﻀل ﻭﻓﻲ ﺃﻁﺎﺭ ﺍﻟﻤﻘﺎﺭﻨﺔ ﺘﺒﻴﻥ ﺃﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪(PVGO‬‬
‫ﺍﻟﻌﺎﻟﻴﺔ ﻫﻲ ﺍﻷﻓﻀل )‪. (0.4621‬ﻴﻠﻴﻬﺎ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﺘﻲ ﺘﻡ ﺘﺸﻜﻴﻠﻬﺎ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﺒﻨﺴﺒﺔ )‪ ،(0.3570‬ﺃﻤﺎ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﻟﻌﺎﻟﻲ ﻓﻜﺎﻨﺕ )‪ .(0.2951‬ﻤﻤﺎ ﻭﺭﺩ ﺃﻨﻔﹰﺎ ﻴﻤﻜﻥ ﺍﻟﺘﺄﻜﻴﺩ ﻋﻠﻰ ﺃﻥ ﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬
‫ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﻴﻌﻁﻲ ﺃﺩﺍﺀ ﺃﻓﻀل ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺒﻘﻴﺔ ﺍﻟﻤﻌﺎﻴﻴﺭ‬
‫ﻭﻓﻘﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪ Sharp‬ﻭﻜﻤﺎ ﻤﺒﻴﻥ ﺒﺎﻟﺠﺩﻭل ‪. 3-7‬‬
 ‫‪٣١‬‬

‫ﺍﻟﺠﺩﻭل‪3-7‬‬
‫ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘ ﹰﺎ ﻟﻤﻘﻴﺎﺱ‪Sharpe‬‬

‫ﻨﺴﺒﺔ ﺘﺴﻠﺴل‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺨﺎﻟﻲ ﻤﻥ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻻﻨﺤﺭﺍﻑ‬ ‫ﻋﺩﺩ‬ ‫ﻨﻭﻉ ﺍﻟﻤﺤﻔﻅﺔ‬
‫‪ Sharpe‬ﺍﻷﺩﺍﺀ‬ ‫ﺍﻟﻤﻌﻴﺎﺭﻱ‬ ‫ﻭﻋﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻨﺸﻁﺔ‬ ‫ﺍﻟﻤﻌﺩل‬ ‫ﺍﻷﺴﻬﻡ‬
‫ﻟﻠﻤﺤﻔﻅﺔ‬ ‫ﺒﺎﻟﺘﻜﺎﻟﻴﻑ‬

‫ﺍﻟﺨﻴﺎﺭﺍﺕ‬ ‫ﻤﻌﻴﺎﺭ‬
‫ﺍﻟﺘﺭﻜﻴﺏ‬
‫‪Rp-Rf‬‬ ‫‪Rf‬‬
‫‪4 .2951‬‬ ‫‪1.0388‬‬ ‫‪.3065‬‬ ‫‪.0025 .309‬‬ ‫‪6‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ‬
‫‪1 .4621‬‬ ‫‪1.0217‬‬ ‫‪.4721‬‬ ‫‪.0025 .4746‬‬ ‫‪4‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫)‪(PVGO‬‬

‫‪2 .3570‬‬ ‫‪1.0476‬‬ ‫‪.374‬‬ ‫‪.0025 .3765‬‬ ‫‪19‬‬ ‫ﺍﻟﻌﺎﻟﻴﺔ‬ ‫ﻨﺴﺒﺔ ﺃﺤﺘﺠﺎﺯ‬
‫ﺍﻷﺭﺒﺎﺡ‬

‫‪-2‬ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘ ﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪Treynor‬‬

‫ﺘﻡ ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺃﺴﺎﺱ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺫﺍﺘﻬﺎ ﻟﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﻭﻟﻜﻥ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﻘﻴﺎﺱ ﺘﺭﻴﻨﻭﺭ ﻭﻓﻲ ﺃﻁﺎﺭ ﺍﻟﻤﻘﺎﺭﻨﺔ ﺘﺒﻴﻥ ﺃﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ‬
‫ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﻫﻲ ﺍﻷﻓﻀل )‪ (1.0118‬ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ‬
‫ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ )‪ (0.4939‬ﻴﻠﻴﻬﺎ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ ﻫﻲ ﺒﻨﺴﺒﺔ )‪ .0.2210‬ﻤﻤﺎ ﻭﺭﺩ ﺃﻨﻔﹰﺎ ﻴﻤﻜﻥ ﺍﻟﺘﺄﻜﻴﺩ ﻋﻠﻰ ﺃﻥ ﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ‬
 ‫‪٣٢‬‬

‫ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﻴﻌﻁﻲ ﺃﺩﺍﺀ ﺃﻓﻀل ﻟﻠﻤﺤﻔﻅﺔ‬
‫ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺒﻘﻴﺔ ﺍﻟﻤﻌﺎﻴﻴﺭ ﻭﻓﻘﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪ Treynor‬ﻭﻜﻤﺎ ﻤﺒﻴﻥ ﺒﺎﻟﺠﺩﻭل‪. 3-8‬‬

‫ﺍﻟﺠﺩﻭل ‪3-8‬‬
‫ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﻘﻴﺎﺱ ‪Treynor‬‬
‫ﻨﻭﻉ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺘﺴﻠﺴل‬ ‫ﻨﺴﺒﺔ‬ ‫ﻤﻥ ﺒﻴﺘﺎ ﺍﻟﻤﺤﻔﻅﺔ‬ ‫ﺍﻟﺨﺎﻟﻲ‬ ‫ﺍﻟﻌﺎﺌﺩ‬ ‫ﺍﻟﻌﺎﺌﺩ ﻤﻌﺩل‬ ‫ﻋﺩﺩ ﺍﻷﺴﻬﻡ ﻤﻌﺩل‬
‫ﺍﻷﺩﺍﺀ‬ ‫‪Treynor‬‬ ‫ﺍﻟﻤﺤﻔﻅﺔ‬ ‫ﻭﻋﺎﺌﺩ‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ‬ ‫ﺍﻟﻤﻌﺩل‬
‫ﺍﻟﻨﺸﻁﺔ‬ ‫ﺒﺎﻟﺘﻜﺎﻟﻴﻑ‬

‫‪Rp-Rf‬‬ ‫‪Rf‬‬ ‫ﺍﻟﺨﻴﺎﺭﺍﺕ‬ ‫ﻤﻌﻴﺎﺭ‬

‫ﺍﻟﺘﺭﻜﻴﺏ‬
‫‪5‬‬ ‫‪0.2210‬‬ ‫‪1.3868‬‬ ‫‪.3065‬‬ ‫‪.0025 .309‬‬ ‫‪6‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ‬
‫‪4‬‬ ‫‪0.4939‬‬ ‫‪0.9559‬‬ ‫‪.4721‬‬ ‫‪.0025 .4746‬‬ ‫‪4‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫)‪(PVGO‬‬

‫‪1‬‬ ‫‪1.0118‬‬ ‫‪0.3699‬‬ ‫‪.374‬‬ ‫‪.0025 .3765‬‬ ‫‪19‬‬ ‫ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻟﻌﺎﻟﻴﺔ‬
‫ﺍﻷﺭﺒﺎﺡ‬

‫‪-3‬ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪Jenson‬‬

‫ﺘﻡ ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺃﺴﺎﺱ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺫﺍﺘﻬﺎ ﻟﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﻭﻓﻲ ﺃﻁﺎﺭ ﺍﻟﻤﻘﺎﺭﻨﺔ ﺘﺒﻴﻥ ﺃﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ ﻫﻲ‬
‫ﺍﻷﻓﻀل )‪ (0.38559‬ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﻟﻌﺎﻟﻴﺔ )‪ (0.34052‬ﻭﺍﻅﻬﺭ ﺍﻟﻘﻴﺎﺱ ﺃﻴﻀﹰﺎ ﺃﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ ﻜﺎﻨﺕ ﺒﻨﺴﺒﺔ )‪ . (0.18099‬ﻤﻤﺎ ﻭﺭﺩ ﺃﻨﻔﹰﺎ ﻴﻤﻜﻥ ﺍﻟﺘﺄﻜﻴﺩ ﻋﻠﻰ ﺃﻥ ﺘﻜﻭﻴﻥ‬
 ‫‪٣٣‬‬

‫ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﻴﻌﻁﻲ ﺃﺩﺍﺀ ﺃﻓﻀل‬
‫ﻟﻠﻤﺤﻔﻅﺔ ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺒﻘﻴﺔ ﺍﻟﻤﻌﺎﻴﻴﺭ ﺍﺴﺘﻨﺎﺩﹰﺍ ﻟﻤﻘﻴﺎﺱ ‪ Jonsen‬ﻭﻜﻤﺎ ﻤﺒﻴﻥ ﺒﺎﻟﺠﺩﻭل ‪. 3-9‬‬

‫ﺍﻟﺠﺩﻭل ‪3-9‬‬
‫ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﻘﻴﺎﺱ ‪Jonsen‬‬

‫ﺘﺴﻠﺴل‬ ‫ﻨﺴﺒﺔ‬ ‫ﺒﻴﺘﺎ‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﺨﺎﻟﻲ ﻤﻥ ﻋﺎﺌﺩ‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ‬ ‫ﻋﺩﺩ‬ ‫ﻨﻭﻉ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺍﻷﺩﺍﺀ‬ ‫‪Jonsen‬‬ ‫ﺍﻟﻤﺤﻔﻅﺔ‬ ‫ﺍﻟﻤﺨﺎﻁﺭﺓ ﻭﻋﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ ﻤﺤﻔﻅﺔ‬ ‫ﺍﻟﻤﻌﺩل‬ ‫ﺍﻷﺴﻬﻡ‬
‫ﺍﻟﺴﻭﻕ‬ ‫ﺍﻟﻨﺸﻁﺔ‬ ‫ﺒﺎﻟﺘﻜﺎﻟﻴﻑ‬

‫ﺍﻟﺨﻴﺎﺭﺍﺕ‬ ‫ﻤﻌﻴﺎﺭ‬
‫‪Rp-Rf‬‬ ‫‪Rf‬‬ ‫ﺍﻟﺘﺭﻜﻴﺏ‬
‫‪5‬‬ ‫‪0.18099‬‬ ‫‪1.3868‬‬ ‫‪0.093 .3065‬‬ ‫‪.0025 .309‬‬ ‫‪6‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ‬

‫‪1‬‬ ‫‪0.38559‬‬ ‫‪0.9559‬‬ ‫‪0.093 .4721‬‬ ‫‪.0025 .4746‬‬ ‫‪4‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫)‪(PVGO‬‬

‫‪2‬‬ ‫‪0.34052‬‬ ‫‪0.3699‬‬ ‫‪0.093 .374‬‬ ‫‪.0025 .3765‬‬ ‫‪19‬‬ ‫ﺍﺤﺘﺠﺎﺯ ﺍﻟﻌﺎﻟﻴﺔ‬ ‫ﻨﺴﺒﺔ‬
‫ﺍﻷﺭﺒﺎﺡ‬

‫‪-4‬ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻜﻔﻭﺀﺓ ﻭﻓﻘ ﹰﺎ ﻟﻤﻘﻴﺎﺱ ‪M2‬‬

‫ﺘﻡ ﻗﻴﺎﺱ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻋﻠﻰ ﺃﺴﺎﺱ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﺫﺍﺘﻬﺎ ﻟﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﻭﻤﻥ ﺨﻼل ﺍﻟﻨﺘﺎﺌﺞ ﻭﺠﺩ ﺃﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ‬
‫ﻫﻲ ﺍﻷﻓﻀل )‪ (0.09991‬ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﻟﻌﺎﻟﻲ )‪ (0.00748‬ﺃﻤﺎ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪(PVGO‬ﺍﻟﻌﺎﻟﻴﺔ ﻓﻜﺎﻨﺕ ﺒﻨﺴﺒﺔ‬
 ‫‪٣٤‬‬

‫)‪ . (0.00087‬ﻤﻤﺎ ﻭﺭﺩ ﺃﻨﻔﹰﺎ ﻴﻤﻜﻥ ﺍﻟﺘﺄﻜﻴﺩ ﻋﻠﻰ ﺃﻥ ﺘﻜﻭﻴﻥ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻋﻠﻰ ﺃﺴﺎﺱ‬
‫ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﻴﻤﻜﻥ ﺃﻥ ﻴﻌﻁﻲ ﺃﺩﺍﺀ ﺃﻓﻀل ﻟﻠﻤﺤﻔﻅﺔ ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺒﻘﻴﺔ‬
‫ﺍﻟﻤﻌﺎﻴﻴﺭ ﺍﺴﺘﻨﺎﺩﹰﺍ ﻟﻤﻘﻴﺎﺱ ‪ M2‬ﻭﻜﻤﺎ ﻤﺒﻴﻥ ﺒﺎﻟﺠﺩﻭل )‪.(3-10‬‬

‫ﺍﻟﺠﺩﻭل )‪(3-10‬‬
‫ﺘﻘﻴﻴﻡ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﻟﻤﻘﻴﺎﺱ ‪M2‬‬
‫ﺘﺴﻠﺴل‬ ‫ﻨﺴﺒﺔ‬ ‫ﻋﺎﺌﺩ‬ ‫ﻤﻌﺩل ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻌﺩﻟﺔ‬ ‫ﻨﻭﻉ ﺍﻟﻤﺤﻔﻅﺔ‬
‫ﺍﻷﺩﺍﺀ‬ ‫ﺍﻟﻤﻌﺩل‬
‫ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ‪M2‬‬ ‫ﻋﺩﺩ‬
‫ﺍﻟﻤﺭﺠﻌﻴﺔ‬ ‫ﺒﺎﻟﺘﻜﺎﻟﻴﻑ‬ ‫ﺍﻷﺴﻬﻡ‬

‫*‪1-P‬‬ ‫*‪P‬‬ ‫ﺍﻟﺨﻴﺎﺭﺍﺕ‬ ‫ﻤﻌﻴﺎﺭ ﺍﻟﺘﺭﻜﻴﺏ‬

‫‪4‬‬ ‫‪0.00748‬‬ ‫‪0.093 0.92733‬‬ ‫‪0.07267‬‬ ‫‪.309‬‬ ‫‪6‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫ﻤﻀﺎﻋﻑ‬

‫ﺍﻷﺭﺒﺎﺡ‬
‫‪1‬‬ ‫‪0.00087‬‬ ‫‪0.093 0.92611‬‬ ‫‪0.07389‬‬ ‫‪.4746‬‬ ‫‪4‬‬ ‫ﺍﻟﻌﺎﻟﻲ‬ ‫)‪(PVGO‬‬

‫‪2‬‬ ‫‪0.09991‬‬ ‫‪0.093 0.92793‬‬ ‫‪0.07207‬‬ ‫‪.3765‬‬ ‫‪19‬‬ ‫ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻟﻌﺎﻟﻴﺔ‬
‫ﺍﻷﺭﺒﺎﺡ‬
‫‪٣٥‬‬

‫ﺍﻟﻤﺤﻭﺭ ﺍﻟﺭﺍﺒﻊ ‪ -:‬ﺍﻻﺴﺘﻨﺘﺎﺠﺎﺕ ﻭﺍﻟﺘﻭﺼﻴﺎﺕ‬

‫ﺃﻭﻻﹰ‪ -:‬ﺍﻻﺴﺘﻨﺘﺎﺠﺎﺕ‬
‫ﻤﻥ ﺨﻼل ﺩﺭﺍﺴﺘﻨﺎ ﺍﻟﺘﻁﺒﻴﻘﻴﺔ ﺘﻡ ﺍﺴﺘﻨﺘﺎﺝ ﻤﺎ ﻴﺄﺘﻲ ‪-:‬‬
‫‪ -1‬ﺘﻔﺎﻭﺕ ﻤﻌﺩﻻﺕ ﻋﻭﺍﺌﺩ ﺃﺴﻬﻡ ﺍﻟﺸﺭﻜﺎﺕ ﻋﻴﻨﺔ ﺍﻟﺩﺭﺍﺴﺔ ﺒﻤﺩﻯ ﻴﺘﺭﺍﻭﺡ ﺒﻴﻥ ) ‪-0.001 -‬‬
‫‪ (0.216‬ﺤﻴﺙ ﺒﻠﻎ ﻤﺼﺭﻑ ﺍﻻﺴﺘﺜﻤﺎﺭ ﻤﻌﺩل ﻋﺎﻟﻲ ﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﻌﺩل ﺍﻟﺫﻱ ﺤﻘﻘﺘﻪ ﺍﻟﺸﺭﻜﺔ‬
‫ﺍﻟﻌﺭﺍﻗﻴﺔ ﻟﻠﻤﻨﺘﺠﺎﺕ ﺍﻟﺯﺭﺍﻋﻴﺔ‪ ،‬ﻗﺩ ﻴﻌﻭﺩ ﺍﻟﺴﺒﺏ ﻓﻲ ﻫﺫﺍ ﺍﻟﺘﻔﺎﻭﺕ ﺇﻟﻰ ﺤﺴﺎﺴﻴﺔ ﻋﺎﺌﺩ ﻜل ﺴﻬﻡ ﺃﻭ ﺇﻟﻰ‬
‫ﺍﻟﻅﺭﻭﻑ ﺍﻟﺨﺎﺼﺔ ﺒﻜل ﺸﺭﻜﺔ ﺃﻭ ﺇﻟﻰ ﻫﺫﻩ ﺍﻷﺴﺒﺎﺏ ﻤﺠﺘﻤﻌﺔ ‪.‬‬
‫‪ -2‬ﺘﻤﻴﺯ ﻗﻁﺎﻉ ﺍﻟﺘﺄﻤﻴﻥ ﺒﺎﺭﺘﻔﺎﻉ ﻤﺘﻭﺴﻁ ﻤﻌﺩﻻﺕ ﺍﻟﻌﺎﺌﺩ ﺍﻟﻤﺘﻭﻗﻊ ﻤﺘﻔﻭﻗﹰﺎ ﺒﻬﺫﻩ ﺍﻟﻨﺴﺒﺔ ﻋﻠﻰ ﻤﺘﻭﺴﻁ‬
‫ﻤﻌﺩﻻﺕ ﻋﺎﺌﺩ ﺍﻟﺴﻭﻕ ﻜﻜل ﻭﺒﻠﻐﺕ ﻋﻭﺍﺌﺩﻩ ﺍﻹﻀﺎﻓﻴﺔ )‪ (9.3%‬ﻴﻠﻴﻪ ﻗﻁﺎﻉ ﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ‬
‫)‪ (0.152‬ﺜﻡ ﻗﻁﺎﻉ ﺍﻟﻤﺼﺎﺭﻑ )‪ ، (0.147‬ﺃﻤﺎ ﻗﻁﺎﻋﺎﺕ ﺍﻟﺨﺩﻤﺎﺕ ﻭﺍﻟﺼﻨﺎﻋﺔ ﻭﺍﻟﺯﺭﺍﻋﺔ ﻓﻘﺩ‬
‫ﻜﺎﻨﺕ ﻤﺘﻭﺴﻁ ﻋﻭﺍﺌﺩ ﺃﺴﻬﻤﻬﺎ ﺃﺩﻨﻰ ﻤﻥ ﻤﺘﻭﺴﻁ ﻋﻭﺍﺌﺩ ﺍﻟﺴﻭﻕ ‪.‬‬

‫‪ -3‬ﺘﺘﺒﺎﻴﻥ ﻤﺴﺘﻭﻴﺎﺕ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺒﻴﻥ ﺍﻟﻘﻁﺎﻋﺎﺕ ﺒﺸﻜل ﻭﺍﻀﺢ ﺇﺫ ﻜﺎﻨﺕ ﺃﻋﻠﻰ ﺍﻟﻤﺨﺎﻁﺭ ﻓﻲ‬
‫ﻗﻁﺎﻋﺎﺕ ﺍﻟﺘﺄﻤﻴﻥ ﻭﺍﻻﺴﺘﺜﻤﺎﺭ ﺍﻟﻤﺎﻟﻲ ﻭﻗﻁﺎﻉ ﺍﻟﻤﺼﺎﺭﻑ ﻭﻫﺫﺍ ﻴﺩل ﻋﻠﻰ ﺇﻥ ﺍﺭﺘﻔﺎﻉ ﻤﻌﺩﻻﺕ ﺍﻟﻌﺎﺌﺩ‬
‫ﺼﺎﺤﺒﻪ ﺍﺭﺘﻔﺎﻉ ﻓﻲ ﻤﺴﺘﻭﻴﺎﺕ ﺍﻟﻤﺨﺎﻁﺭﺓ ﺍﻟﻜﻠﻴﺔ ﻟﻬﺫﻩ ﺍﻟﻘﻁﺎﻋﺎﺕ ﻭﻫﺫﻩ ﺍﻟﻌﻼﻗﺔ ﺍﻟﻁﺭﺩﻴﺔ ﻗﺩ ﺘﻔﻀﻲ‬
‫ﺍﻟﻰ ﺍﻟﺤﺩ ﻤﻥ ﺠﺎﺫﺒﻴﺔ ﻫﺫﻩ ﺍﻟﻘﻁﺎﻋﺎﺕ ﺒﺘﺤﻘﻴﻕ ﻤﻌﺩﻻﺕ ﻓﻭﻕ ﺍﻟﻤﻌﺩل ‪.‬‬
‫‪٣٦‬‬

‫‪ -4‬ﻴﺴﺘﻨﺘﺞ ﺇﻤﻜﺎﻨﻴﺔ ﺍﺴﺘﺨﺩﺍﻡ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ ﻓﻲ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﻟﻠﺤﺼﻭل ﻋﻠﻰ ﺃﻓﻀل ﻤﺤﺎﻓﻅ ﻤﻥ‬
‫ﺍﻷﺴﻬﻡ ﺍﻟﻌﺎﺩﻴﺔ ﻋﻨﺩﻤﺎ ﺘﻘﺎﺱ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭ )‪ (PVGO‬ﻭﻤﻥ ﺜﻡ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ‬
‫ﻭﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﻋﻠﻰ ﺍﻟﺘﻭﺍﻟﻲ ﻭﻜﺎﻷﺘﻲ ‪:‬‬

‫* ﺘﻔﻭﻕ ﺇﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺘﻲ ﺭﺸﺤﺕ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﺍﻨﺨﻔﺎﺽ‬
‫ﻨﺴﺒﺔ )‪ (PVGO‬ﺇﺫ ﺒﻠﻐﺕ ﻗﻴﻤﺔ ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ )‪ (2.1527‬ﻤﺭﺓ‪.‬ﻭﺃﻋﻠﻰ ﻗﻴﻤﺔ ﻟﻨﺴﺒﺔ ﻤﺅﺸﺭ‬
‫ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ )‪ (0.4645‬ﻤﺭﺓ ‪.‬‬

‫* ﺘﻔﻭﻕ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺘﻲ ﺭﺸﺤﺕ ﻋﻠﻰ ﺃﺴﺎﺱ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﻨﺴﺒﺔ‬
‫ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﻨﺨﻔﻀﺔ ﺇﺫ ﺒﻠﻐﺕ ﻓﻴﻬﺎ ﻗﻴﻤﺔ ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ )‪ (2.7824‬ﻤﺭﺓ ‪ .‬ﻭﺃﻋﻠﻰ ﻗﻴﻤﺔ‬
‫ﻟﻨﺴﺒﺔ ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ )‪ (0.3594‬ﻤﺭﺓ‪.‬‬

‫* ﺘﻔﻭﻕ ﺃﺩﺍﺀ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﺘﻲ ﺭﺸﺤﺕ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻲ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﻤﻀﺎﻋﻑ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﻨﺨﻔﺽ ﺇﺫ ﺒﻠﻐﺕ ﻓﻴﻬﺎ ﻗﻴﻤﺔ ﻤﻌﺎﻤل ﺍﻻﺨﺘﻼﻑ )‪ (3.362‬ﻤﺭﺓ ‪ .‬ﻭﺃﻋﻠﻰ ﻗﻴﻤﺔ ﻟﻨﺴﺒﺔ‬
‫ﻤﺅﺸﺭ ﺍﻟﻌﺎﺌﺩ ﺇﻟﻰ ﺍﻟﻤﺨﺎﻁﺭﺓ )‪ (0.298‬ﻤﺭﺓ‪ .‬ﻭﺘﻭﺤﻲ ﻫﺫﻩ ﺍﻟﻨﺘﺎﺌﺞ ﺃﻥ ﺒﺈﻤﻜﺎﻥ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻓﻲ‬
‫ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﺘﺤﻘﻴﻕ ﻋﻭﺍﺌﺩ ﺃﻀﺎﻓﻴﺔ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ﺃﺫﺍ ﺘﻡ ﺘﺭﻜﻴﺏ ﻤﺤﺎﻓﻅﻬﻡ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ‬
‫ﻋﻠﻰ ﻭﻓﻕ ﺨﺎﺼﻴﺔ ﺍﻟﻨﻤﻭ ﻭﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺨﺘﻠﻑ ﻤﻘﺎﻴﻴﺱ ﻫﺫﺍ ﺍﻟﻤﺘﻐﻴﺭ‪.‬‬

‫* ﺃﻥ ﻗﻴﻡ ﺍﻷﺩﺍﺀ ﻋﻠﻰ ﻭﻓﻕ ﻤﻘﻴﺎﺱ ‪ Sharpe‬ﺍﻷﻋﻠﻰ ﻜﺎﻨﺕ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺍﻟﻤﻜﻭﻨﺔ ﺒﺎﺴﺘﺨﺩﺍﻡ‬
‫ﻤﺅﺸﺭ)‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ )‪ (.4621‬ﺒﻴﻨﻤﺎ ﻜﺎﻨﺕ ﺍﻟﻘﻴﻤﺔ ﺍﻷﻗل ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﺃﺴﺎﺱ ﻤﺅﺸﺭ‬
‫)‪ (PVGO‬ﺍﻟﻤﻨﺨﻔﻀﺔ )‪.(.2795‬‬

‫* ﺃﻥ ﻗﻴﻡ ﺍﻷﺩﺍﺀ ﻋﻠﻰ ﻭﻓﻕ ﻤﻘﻴﺎﺱ ‪ Treynor‬ﺍﻷﻋﻠﻰ ﻜﺎﻨﺕ ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺍﻟﻤﻜﻭﻨﺔ ﺒﺎﺴﺘﺨﺩﺍﻡ‬
‫ﻤﺅﺸﺭ ﻨﺴﺏ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ )‪ (1.0118‬ﺒﻴﻨﻤﺎ ﻜﺎﻨﺕ ﺍﻟﻘﻴﻤﺔ ﺍﻷﻗل ﻟﻠﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ‬
‫ﻭﻓﻕ ﻤﺅﺸﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ )‪ (P/E‬ﺍﻟﻤﻨﺨﻔﺽ )‪.(0.1852‬‬

‫* ﺃﻥ ﻗﻴﻡ ﺍﻷﺩﺍﺀ ﻋﻠﻰ ﻭﻓﻕ ﻤﻘﻴﺎﺱ ‪ Jonsen‬ﺍﻷﻋﻠﻰ ﻜﺎﻨﺕ ﻤﻥ ﻨﺼﻴﺏ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺍﻟﻤﻜﻭﻨﺔ‬
‫ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭ ﻨﺴﺒﺔ )‪ (PVGO‬ﺍﻟﻌﺎﻟﻴﺔ )‪ (0.38559‬ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﻭﻓﻕ‬
‫ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻤﻨﺨﻔﺽ )‪.(0.15108‬‬
‫‪٣٧‬‬

‫* ﺤﺼﻠﺕ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻜﻔﻭﺀﺓ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﻭﻓﻕ ﻤﻘﻴﺎﺱ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﺍﻟﻌﺎﻟﻴﺔ ﺒﻤﻘﻴﺎﺱ‬
‫‪ (0.09991)M2‬ﺒﺎﻟﻤﻘﺎﺭﻨﺔ ﻤﻊ ﺍﻟﻤﺤﻔﻅﺔ ﺍﻟﻤﻜﻭﻨﺔ ﻋﻠﻰ ﻭﻓﻕ ﻤﺅﺸﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ‬
‫ﺍﻟﻤﻨﺨﻔﻀﺔ )‪.(0.00761‬‬

‫ﺜﺎﻨﻴﺎﹰ‪ -:‬ﺍﻟﺘﻭﺼﻴﺎﺕ‬

‫ﺘﺄﺴﻴﺴﹰﺎ ﻋﻠﻰ ﺍﻻﺴﺘﻨﺘﺎﺠﺎﺕ ﺍﻟﻤﺒﻴﻨﺔ ﺒﺎﻟﻤﺒﺤﺙ ﺍﻷﻭل ﻭﺍﻟﺘﻲ ﻗﺩ ﺘﺘﻔﻕ ﺃﻭ ﺘﻔﺘﺭﻕ ﺠﺯﺌﻴﹰﺎ ‪ ،‬ﺃﻭ ﻜﻠﻴﹰﺎ ﻤﻊ‬
‫ﺍﻟﺘﺭﺍﻜﻡ ﺍﻟﻤﻌﺭﻓﻲ ﺍﻟﺨﺎﺹ ﺒﺨﻴﺎﺭﺍﺕ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻭﺇﻋﺎﺩﺓ ﺍﻟﻨﻅﺭ ﺒﻬﺎ ﻴﻤﻜﻥ ﺘﺤﺩﻴﺩ‬
‫ﺒﻌﺽ ﺍﻟﺘﻭﺼﻴﺎﺕ ﻟﻴﺴﺘﺭﺸﺩ ﺒﻬﺎ ﺍﻟﻤﺴﺘﺜﻤﺭ ﺴﻭﺍﺀ ﻜﺎﻥ ﻓﺭﺩ ﺃﻭ ﻤﺅﺴﺴﺎﺕ ﻭﻜﻤﺎ ﻴﻠﻲ ‪-:‬‬

‫‪ -1‬ﻴﺠﺏ ﻋﻠﻰ ﺍﻟﻤﺴﺘﺜﻤﺭ ﺃﻥ ﻴﻭﺍﺯﻥ ﺒﻴﻥ ﺃﺩﻭﺍﺘﻪ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﻤﺨﺘﺎﺭﺓ ﻤﻥ ﺤﻴﺙ ﺍﻟﻌﺎﺌﺩ ﻭﺍﻟﻤﺨﺎﻁﺭﺓ‬
‫ﻭﻓﻕ ﺃﺴﺱ ﺴﻠﻴﻤﺔ ﻭﺒﻤﻭﺠﺏ ﻗﻭﺍﻋﺩ ﺼﺤﻴﺤﺔ ‪.‬‬

‫‪ -2‬ﻀﺭﻭﺭﺓ ﺍﻻﺴﺘﻔﺎﺩﺓ ﻤﻥ ﻨﺘﺎﺌﺞ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ﻟﺠﻬﺔ ﺒﻨﺎﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﻤﻥ ﺃﺴﻬﻡ ﺍﻟﻨﻤﻭ‬
‫ﺍﻟﺘﻲ ﻴﺭﻴﺩ ﺍﻟﻤﺴﺘﺜﻤﺭ ﺸﺭﺍﺌﻬﺎ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻭﺍﺤﺩﺓ ﻤﻥ ﻤﺅﺸﺭﺍﺕ ﻗﻴﺎﺱ ﻫﺫﻩ ﺍﻷﺴﻬﻡ ﺤﻴﺙ ﺃﺜﺒﺘﺕ ﺍﻟﻨﺘﺎﺌﺞ‬
‫ﺍﻟﺘﻁﺒﻴﻘﻴﺔ ﺘﻔﻭﻕ ﺃﺩﺍﺀ ﺍﻟﻤﺤﺎﻓﻅ ﺍﻟﻤﺴﺘﻨﺩﺓ ﻋﻠﻰ ﺨﺎﺼﻴﺔ ﺍﻟﻨﻤﻭ ﻋﻠﻰ ﻤﺤﻔﻅﺔ ﺍﻟﺴﻭﻕ ‪.‬‬

‫‪-3‬ﺍﺴﺘﺨﺩﺍﻡ ﻤﻌﺎﻴﻴﺭ ﺍﻟﺘﺭﻜﻴﺏ ﺍﻟﺘﻲ ﺍﺴﺘﺨﺩﻤﺘﻬﺎ ﺩﺭﺍﺴﺘﻨﺎ ﺍﻟﺤﺎﻟﻴﺔ ﻭﺍﻟﺘﻲ ﺤﺼﻠﺕ ﻋﻠﻰ ﻨﺘﺎﺌﺞ ﺠﻴﺩﺓ‬
‫ﻤﺜل ﻤﻌﻴﺎﺭ ﻤﻀﺎﻋﻑ ﺍﻷﺭﺒﺎﺡ ﻭﻤﻌﻴﺎﺭ )‪ (PVGO‬ﻭﻤﻌﻴﺎﺭ ﻨﺴﺒﺔ ﺍﺤﺘﺠﺎﺯ ﺍﻷﺭﺒﺎﺡ ﻤﻊ ﺃﻤﻜﺎﻨﻴﺔ‬
‫ﺍﺴﺘﺨﺩﺍﻡ ﻤﺅﺸﺭﺍﺕ ﺃﺨﺭﻯ ﺘﺩﻋﻡ ﻫﺫﻩ ﺍﻟﻤﺅﺸﺭﺍﺕ ﺍﻟﻤﺴﺘﺨﺩﻤﺔ ﻓﻲ ﻫﺫﻩ ﺍﻟﺩﺭﺍﺴﺔ ‪.‬‬

‫‪ -4‬ﻨﺸﺭ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﺤﺎﻟﻴﺔ ﻭﺍﻟﺩﺭﺍﺴﺎﺕ ﺍﻟﻤﻤﺎﺜﻠﺔ ﺍﻟﺘﻲ ﻁﺒﻘﺕ ﻓﻲ ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻋﻠﻰ‬
‫ﺍﻟﻤﻭﻗﻊ ﺍﻹﻟﻜﺘﺭﻭﻨﻲ ﻟﻠﺴﻭﻕ ﻤﻥ ﺃﺠل ﺯﻴﺎﺩﺓ ﻭﻋﻲ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻭﺠﺫﺏ ﺍﻻﺴﺘﺜﻤﺎﺭﺍﺕ ﺍﻟﺩﺍﺨﻠﻴﺔ‬
‫ﻭﺍﻟﺨﺎﺭﺠﻴﺔ‪.‬‬

‫‪ -5‬ﺍﻻﺴﺘﻔﺎﺩﺓ ﻤﻥ ﺍﻟﺩﺭﺍﺴﺔ ﺍﻟﺤﺎﻟﻴﺔ ﻟﻤﺎ ﺘﻘﺩﻤﻪ ﻤﻥ ﻤﻌﻠﻭﻤﺎﺕ ﻷﻏﻠﺏ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻌﺎﻤﻠﺔ ﻓﻲ‬
‫ﺍﻟﻘﻁﺎﻋﺎﺕ ﺍﻻﻗﺘﺼﺎﺩﻴﺔ‪.‬‬
‫‪٣٨‬‬

‫‪ -6‬ﺇﻟﺯﺍﻡ ﺍﻟﺸﺭﻜﺎﺕ ﺍﻟﻤﺩﺭﺠﺔ ﻓﻲ ﺴﻭﻕ ﺍﻟﻌﺭﺍﻕ ﻟﻸﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻟﻺﻋﻼﻥ ﻋﻥ ﺴﻴﺎﺴﺔ ﺘﻭﺯﻴﻊ‬
‫ﺍﻷﺭﺒﺎﺡ ﺍﻟﺴﻨﻭﻴﺔ ﺃﻭ ﺍﺤﺘﺠﺎﺯﻫﺎ ﻤﻊ ﺘﺴﻴﺏ ﻗﺭﺍﺭﻫﺎ ﺒﺨﺼﻭﺹ ﺍﻻﺤﺘﺠﺎﺯ ﺍﻟﻜﻠﻲ ﻟﻸﺭﺒﺎﺡ ﻤﻥ ﻋﺩﻤﻪ‬
‫ﻟﺘﺴﻬﻴل ﻋﻤل ﺍﻟﺒﺎﺤﺜﻴﻥ ﻓﻲ ﺃﻁﺎﺭ ﺘﻘﻴﻴﻡ ﺴﻴﺎﺴﺎﺕ ﺍﻟﺸﺭﻜﺎﺕ ﻓﻲ ﻫﺫﺍ ﺍﻟﺠﺎﻨﺏ ﻭﺘﺄﺜﻴﺭ ﺍﻻﺤﺘﺠﺎﺯ ﻋﻠﻰ‬
‫ﻓﺭﺹ ﺍﻟﻨﻤﻭ ‪.‬‬

‫‪ -7‬ﺇﻟﺯﺍﻡ ﺍﻟﺸﺭﻜﺎﺕ ﻟﺘﻀﻤﻴﻥ ﻓﺭﺹ ﺍﻟﺘﻭﺴﻊ ﻭﺍﻟﻨﻤﻭ ﻓﻲ ﺘﻘﺎﺭﻴﺭﻫﺎ ﺍﻟﺴﻨﻭﻴﺔ ﻭﻤﻥ ﺍﻟﻀﺭﻭﺭﻱ ﻗﻴﺎﻡ‬
‫ﺍﻟﺴﻭﻕ ﺒﺘﺜﺒﻴﺕ ﺍﻟﻤﺸﺭﻭﻋﺎﺕ ﺍﻻﺴﺘﺜﻤﺎﺭﻴﺔ ﺍﻟﺠﺩﻴﺩﺓ ﺃﻭ ﻤﺸﺭﻭﻋﺎﺕ ﺍﻟﺘﻭﺴﻊ ﻭﺍﻻﺴﺘﺒﺩﺍل ﻟﻬﺫﻩ‬
‫ﺍﻟﺸﺭﻜﺎﺕ ﻀﻤﻥ ﺘﻘﺎﺭﻴﺭﻩ ﺍﻟﺩﻭﺭﻴﺔ ﺍﻟﺴﻨﻭﻴﺔ ﻷﻥ ﻤﺜل ﻫﺫﻩ ﺍﻷﻨﺸﻁﺔ ﺘﺸﺠﻊ ﺍﻟﻤﺴﺘﺜﻤﺭﻴﻥ ﻋﻠﻰ ﺘﺩﺍﻭل‬
‫ﺍﻷﻭﺭﺍﻕ ﺍﻟﻤﺎﻟﻴﺔ ﻭﺘﺒﺩﺩ ﻤﺨﺎﻭﻓﻬﻡ ﻤﻥ ﺍﻟﺨﺴﺎﺌﺭ ﻷﻥ ﻓﺭﺹ ﺍﻟﺘﻭﺴﻊ ﻫﻲ ﺍﻨﻌﻜﺎﺱ ﻟﺭﺒﺤﻴﺔ ﺍﻟﺸﺭﻜﺎﺕ‬
‫ﻭﻨﻤﻭﻫﺎ‪.‬‬

‫‪ -8‬ﺘﺸﺠﻴﻊ ﺍﻟﺒﺎﺤﺜﻴﻥ ﻋﻠﻰ ﺍﺴﺘﺨﺩﺍﻡ ﻤﻌﺎﻴﻴﺭ ﺍﺨﺘﻴﺎﺭ ﺃﺨﺭﻯ ﻓﻲ ﻤﺠﺎل ﺘﺭﻜﻴﺏ ﻤﺤﺎﻓﻅ ﻤﻥ ﺍﻷﺴﻬﻡ‬
‫ﺍﻟﻌﺎﺩﻴﺔ ﻭﺃﺠﺭﺍﺀ ﻤﻘﺎﺭﻨﺎﺕ ﻜﻤﻴﺔ ﻓﻲ ﻤﺠﺎل ﺃﺩﺍﺀ ﻫﺫﻩ ﺍﻟﻤﺤﺎﻓﻅ ﺒﺎﺴﺘﺨﺩﺍﻡ ﻤﺨﺘﻠﻑ ﺃﺴﺱ ﺍﻟﺘﺭﻜﻴﺏ ‪.‬‬
‫‪٣٩‬‬

‫اﻟﻤﺼﺎدر‬

‫‪ .١‬اﻻﻋﺮﺟﻲ ‪ ،‬ﻋﺪﻧﺎن ﺳﺎﻟﻢ ﻗﺎﺳﻢ ﻏﺎزي ‪ ، (2003) ،‬ادارة ﻣﺤﻔﻈﺔ ﺻﻨﺎدﯾﻖ اﻻﺳﺘﺜﻤﺎر واﻣﻜﺎﻧﯿﺔ اﻟﺘﻄﺒﯿﻖ‬
‫ﻓﻲ اﻟﻤﺼﺎرف اﻟﻌﺮاﻗﯿﺔ ‪ :‬دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ‪ ،‬اطﺮوﺣﺔ دﻛﺘﻮراه ‪ ،‬ﻛﻠﯿﺔ اﻻدارة واﻻﻗﺘﺼﺎد ‪ ،‬ﺟﺎﻣﻌﺔ اﻟﻤﻮﺻﻞ‬
‫‪.‬‬
‫‪ .٢‬اﻟﺸﻤﺎع ‪ ، ،‬ﺧﻠﯿﻞ ﻣﺤﻤﻮد ﺣﺴﻦ ‪ " (1992 ) ،‬اﻻدارة اﻟﻤﺎﻟﯿﺔ" ‪ ،‬ط‪ ، ٤‬ﻣﻄﺒﻌﺔ اﻟﺨﻠﻮد ‪ ،‬ﺑﻐﺪاد ‪ ،‬اﻟﻌﺮاق ‪.‬‬
‫‪ .٣‬اﻟﺸﯿﺦ ‪ ،‬ﺑﺎﺑﻜﺮ ﻣﺒﺎرك ﻋﺜﻤﺎن ‪ ، (2002) ،‬اﺧﺘﺒﺎر وﺗﻘﯿﯿﻢ اﺳﮭﻢ اﻟﻨﻤﻮ وﺑﻨﺎء ﻣﺤﻔﻈﺘﮭﺎ – دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ‬
‫ﻓﻲ ﺳﻮق ﺑﻐﺪاد ﻟﻸوراق اﻟﻤﺎﻟﯿﺔ ‪ ،‬اطﺮوﺣﺔ دﻛﺘﻮراه ‪ ،‬ﻛﻠﯿﺔ اﻻدارة واﻻﻗﺘﺼﺎد ‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد ‪.‬‬
‫‪ .٤‬اﻟﻌﺎﻣﺮي ‪ ،‬ﻣﺤﻤﺪ ﻋﻠﻲ اﺑﺮاھﯿﻢ ‪ ، (2010) ،‬اﻻدارة اﻟﻤﺎﻟﯿﺔ اﻟﻤﺘﻘﺪﻣﺔ ‪ ،‬أﺛﺮاء ﻟﻠﻨﺸﺮ واﻟﺘﻮزﯾﻊ ‪ ،‬اﻟﻄﺒﻌﺔ‬
‫اﻻوﻟﻰ ‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد ‪ ،‬اﻟﻌﺮاق ‪.‬‬
‫‪ .٥‬اﻟﻌﻠﻲ ‪ ،‬اﺳﻌﺪ ﺣﻤﯿﺪ ﻋﺒﯿﺪ‪ " (1997)،‬ﺑﻨﺎء اﻟﻤﺤﻔﻈﺔ اﻟﻜﻔﻮءة ﻣﻦ اﻻﺳﮭﻢ اﻟﻌﺎدﯾﺔ دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ ﻓﻲ‬
‫ﺳﻮق ﺑﻐﺪاد ﻟﻼوراق اﻟﻤﺎﻟﯿﺔ" ‪ ،‬رﺳﺎﻟﺔ ﻣﺎﺟﺴﺘﯿﺮ ‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد‪.‬‬
‫‪ .٦‬اﻟﻌﻠﻲ ‪،‬اﺳﻌﺪ ﺣﻤﯿﺪ ‪"( 2010) ،‬اﻻدارة اﻟﻤﺎﻟﯿﺔ ‪:‬اﻻﺳﺲ اﻟﻌﻠﻤﯿﺔ واﻟﺘﻄﺒﯿﻘﯿﺔ"‪،‬ط‪ ، ١‬دار واﺋﻞ ﻟﻠﻨﺸﺮ‪،‬‬
‫ﻋﻤﺎن ‪ ،‬اﻻردن‪.‬‬
‫‪ .٧‬اﻟﺨﻔﺎﺟﻲ‪ ،‬ﻋﻠﻲ ﺟﯿﺮان ﻋﺒﺪ ﻋﻠﻲ‪"( 2006) ،‬ﺗﺤﻠﯿﻞ اﻹﺳﺘﺜﻤﺎرات اﻟﻤﺎﻟﯿﺔ اﻟﺪوﻟﯿﺔ وﺑﻨﺎء اﻟﻤﺤﻔﻈﺔ‬
‫اﻟﻜﻔﻮءة ﻓﻲ أﺳﻮاق اﻻﺳﮭﻢ اﻟﻨﺎﺷﺌﺔ‪:‬دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ"‪،‬اطﺮوﺣﺔ دﻛﺘﻮراه‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد‪.‬‬
‫‪ .٨‬اﻟﺨﻔﺎﺟﻲ‪ ،‬ﻋﻠﻲ ﺟﯿﺮان ﻋﺒﺪ ﻋﻠﻲ‪"( 2008)،‬ﺗﺤﺪﯾﺪ اﺗﺠﺎه ﺑﺄﺳﺘﺨﺪام اﻟﺘﺤﻠﯿﻞ اﻟﻔﻨﻲ )ﻧﻈﺮﯾﺔ اﻟﺪاو –‬
‫ﺟﻮﻧﺰ( – دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ ﻓﻲ ﺳﻮق اﻟﻌﺮاق ﻟﻸوراق اﻟﻤﺎﻟﯿﺔ – ﻣﺠﻠﺔ اﻟﻘﺎدﺳﯿﺔ ﻟﻠﻌﻠﻮم اﻻدارﯾﺔ‬
‫واﻻﻗﺘﺼﺎدﯾﺔ ‪ -‬ﺟﺎﻣﻌﺔ اﻟﻘﺎدﺳﯿﺔ ‪ ،‬اﻟﻤﺠﻠﺪ ‪ ،١٠‬اﻟﻌﺪد ‪٣‬‬
‫‪ .٩‬ﻗﺎﺳﻢ‪ ،‬ﻣﻨﻰ‪" (2007) ،‬دﻟﯿﻞ اﻷﺳﺘﺜﻤﺎر ﻓﻲ اﻟﺒﻮرﺻﺔ اﻟﻤﺼﺮﯾﺔ واﻟﺒﻮرﺻﺎت اﻟﻌﺮﺑﯿﺔ" ‪ ،‬اﻟﺪار اﻟﻤﺼﺮﯾﺔ‬
‫اﻟﻠﺒﻨﺎﻧﯿﺔ ‪،‬ط ‪. 1‬‬
‫‪ .١٠‬اﻟﻘﺮﺷﻲ ‪ ،‬ﻋﺒﺪ ﷲ ﻋﻠﻲ اﺣﻤﺪ ‪ ، (2002) ،‬ﺗﻘﯿﯿﻢ اﻻﺳﺘﺜﻤﺎر ﺑﺎﻷﺳﮭﻢ اﻟﻌﺎدﯾﺔ ﺑﺎﺳﺘﺨﺪام اﺳﻠﻮﺑﻲ ﺻﺎﻓﻲ‬
‫اﻟﻘﯿﻤﺔ اﻟﺤﺎﻟﯿﺔ وﻣﻌﺪل اﻟﻌﺎﺋﺪ اﻟﺪاﺧﻠﻲ ‪ :‬دراﺳﺔ ﺗﻄﺒﯿﻘﯿﺔ ﻓﻲ ﺳﻮق ﺑﻐﺪاد ﻟﻸوراق اﻟﻤﺎﻟﯿﺔ ‪ ،‬رﺳﺎﻟﺔ‬
‫ﻣﺎﺟﺴﺘﯿﺮ ‪ ،‬ﻛﻠﯿﺔ اﻻدارة واﻻﻗﺘﺼﺎد ‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد ‪.‬‬
‫‪ .١١‬اﻟﻤﺸﮭﺪاﻧﻲ وھﺮﻣﺰ ‪ ،‬ﻣﺤﻤﺪ ﺣﺴﻦ وأﻣﯿﺮ ﺣﻨﺎ ‪ ، (١٩٨٩) ،‬اﻹﺣﺼﺎء ‪ ،‬ﺟﺎﻣﻌﺔ ﺑﻐﺪاد ‪ ،‬ﺑﯿﺖ اﻟﺤﻜﻤﺔ‪.‬‬

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 Ministry of Higher Education and Scientific Research
University of Qadisiya
Administration and economics college

The effect of selection growth stocks on the efficiency of

the performance of a portfolios of common stocks

Empirical study in Iraqi stock Exchange

Search Introduction by :

Assistant Professor Dr.

Sabreen Jamal Jalal Al Zalzaly
Ali jeeran Abid Ali al-Khafaji

2016 A.D. 1438 A.H.