Ajuste de Distribucin de Variables Mltiples

Resumen Estadstico
Nombre de la Variable0 bu; cents per bu

Nombre de la Variable 00 bbls; $ per bbl

Distribucin Ajustada Gumbel Mnimo

Alfa
0.06
Beta
0.09

Distribucin Ajustada Gumbel Mxima

Alfa
-0.11
Beta
0.13

Estadstico Kolmogorov-Smirnov
Prueba Estadstica de P-Value

0.10
0.9699

Real
0.01
0.15
0.46
2.75

Terica
0.01
0.11
-1.14
2.40

Media
Desviacin Estndar
Asimetra
Curtsis

Estadstico Kolmogorov-Smirnov
Prueba Estadstica de P-Value

0.08
0.9963

Real
0.02
0.32
2.57
6.89

Terica
-0.03
0.17
1.14
2.40

Media
Desviacin Estndar
Asimetra
Curtsis

Matriz de Correlacin
Trigo (CBT) -50Petrleo (NYM)Oro (CMX)-100 troy oz; $per troy oz
Trigo (CBT) -50
1
Petrleo (NYM)
0.2612
1
Oro (CMX)-100 t
0.4265
0.4617
1

Nombre de la Variable y oz; $per troy oz

Distribucin Ajustada Normal
Media
Desv.Est

-0.03
0.08

Estadstico Kolmogorov-Smirnov
Prueba Estadstica de P-Value

0.08
0.9964

Real
-0.02
0.09
1.26
2.28

Terica
-0.03
0.08
0.00
0.00

Media
Desviacin Estndar
Asimetra
Curtsis

Simulacin - RETORNOS
General
Nmero de Intentos
Pausar por un Error
Valor Sembrado
Activar Correlaciones

10000
No
123
S

Nombre
Habilitado
Celda
Simulacin Dinmica

D33: E(Rj)
S
$D$33
No

Supuestos
Nombre
Habilitado
Celda
Simulacin Dinmica
Rango
Mnimo
Mximo
Distribucin
Alfa
Beta

C33: E(Rj)
S
$C$33
No

-Infinito
Infinito

Rango
Mnimo
Mximo

-Infinito
Infinito

Gumbel Mnimo
0.06
0.09

Distribucin
Alfa
Beta

Gumbel Mxima
-0.11
0.13

Nombre
Habilitado
Celda

F0 CORRECTO
S
$C$52

Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

95% Confidence
+/- 1% of Mean

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%
Percentil 75%
Precisin de Error 95%

5033
626.5919
635.2234
70.2362
4933.1277
0.1121
797.3388
274.0208
523.3180
-0.8103
1.0907
587.1659
675.7862
0.0031

Nombre
Habilitado
Celda

F0 CORRECTO
S
$D$52

Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

95% Confidence
+/- 1% of Mean

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%
Percentil 75%
Precisin de Error 95%

5033
84.2122
80.6335
15.4124
237.5431
0.1830
200.4372
58.7247
141.7125
1.8171
5.5341
73.9488
90.4374
0.0051

Nombre
Habilitado
Celda

F0 CORRECTO
S
$E$52

Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

95% Confidence
+/- 1% of Mean

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%
Percentil 75%
Precisin de Error 95%

5033
1565.5895
1560.4508
127.2092
16182.1896
0.0813
2111.8920
1193.8095
918.0825
0.2870
0.0746
1474.9321
1649.1453
0.0022

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%

5033
14.7310
23.2980
69.7114
4859.6830
4.7323
184.2021
-335.2057
519.4078
-0.8103
1.0907
-24.4004

Pronstico

Nombre
Habilitado
Celda
Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

f0
S
$C$53

95% Confidence
+/- 1% of Mean

Nombre
Habilitado
Celda
Simulacin Dinmica

E33: E(Rj)
S
$E$33
No

Rango
Mnimo
Mximo

-Infinito
Infinito

Distribucin
Media
Desviacin Estndar

Normal
-0.03
0.08

Nombre
Habilitado
Celda

f0
S
$D$53

Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

95% Confidence
+/- 1% of Mean

Nombre
Habilitado
Celda

f0
S
$E$53

Pronstico de la Precisin
Nivel de Precisin
Nivel de Error

95% Confidence
+/- 1% of Mean

Matriz de Correlacin
C33: E(Rj)
D33: E(Rj)
E33: E(Rj)

C33: E(Rj)
1.00
0.00
0.00

D33: E(Rj)

E33: E(Rj)

1.00
0.00

1.00

Percentil 75%
Precisin de Error 95%

63.5577
0.1307

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%
Percentil 75%
Precisin de Error 95%

5033
9.9871
6.4350
15.2973
234.0066
1.5317
125.3436
-15.3101
140.6537
1.8171
5.5341
-0.1997
16.1657
0.0423

Nmero de Intentos
Media
Mediana
Desviacin Estndar
Variacin
Coeficiente de Variacin
Mximo
Mnimo
Rango
Asimetra
Curtsis
Percentil 25%
Percentil 75%
Precisin de Error 95%

5033
893.8603
888.7601
126.2587
15941.2682
0.1413
1436.0809
524.8583
911.2226
0.2870
0.0746
803.8803
976.7918
0.0039

Trimestre

-25
-24
-23
-22
-21
-20
-19
-18
-17
-16
-15
-14
-13
-12
-11
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0

Petrleo (NYM) Oro (CMX)-100

Trigo (CBT) -5000 bu;
S&P500 (CME)-1000 bbls; $ per troy oz; $per
cents per bu
$250 x index
bbl
troy oz

685.75
669.50
693.75
782.75
848.25
884.50
616.25
602.25
622.75
694.75
744.25
772.50
704.50
596.25
480.25
510.00
505.00
560.50
515.25
568.75
555.75
811.00
895.75
932.00
833.50
611.75

101.21
106.32
88.71
93.28
91.85
88.43
102.93
100.71
86.38
97.24
109.66
91.54
81.25
76.62
85.51
78.00
77.58
61.54
49.25
35.40
74.54
138.74
113.79
91.90
86.13
74.15

TRIGO
E(Rj)
DESV.ESTANDAR
CR(j,m)
j
SUPUESTOS
Rf
Rm
T

1273.00
1283.80
1360.60
1683.90
1736.00
1591.20
1648.70
1655.20
1675.50
1589.80
1485.30
1360.40
1371.10
1208.10
1159.70
1130.10
1049.80
939.10
892.80
806.70
835.50
977.70
928.70
901.00
757.10
665.00

1692.00
1677.50
1543.50
1465.20
1435.50
1347.40
1363.90
1288.90
1219.20
1314.90
1318.70
1289.40
1174.90
1090.40
1208.50
1132.30
1089.80
927.20
848.50
839.30
903.30
1211.50
1335.90
1388.00
1560.20
1559.70

PETROLEO
ORO
0.55%
7.99%
-2.32%
14.81%
30.89%
8.71%
0.36
0.62
0.23
0.54
1.97
0.21

3%
10%
0.25 AOS

TRIGO
E(S0)
F0 MERCADO

PETROLEO
ORO
625.14
89.35
1614.30
611.75
74.15
665

CALCULOS
TRIGO
E(Rj) EN AOS
E(ST)
RRRj
F0 CORRECTO
f0

2.20%
628.59
7%
622.62
10.79

PETROLEO
ORO
31.94%
-9.29%
96.78
1577.22
17%
4%
93.49
1571.51
19.20
899.73

RISK SIMULATOR
TRIGO
F0 CORRECTO
f0

PETROLEO

ORO

626.59

84.21

1565.59

14.73

9.99

893.86

TAREA
1. CONSTRUIR UNA BASE DE DATOS CON FUTUROS EN: EURO/USD, MAIZ, SOYA, COBRE Y EL S&P500.
EURO/USD
S0
Rm
Rf

MAIZ
1.25
10%
3%

SOYA
427.25

COBRE
1266

3.2935

2. REPORTE DE DISTRIBUCIONES EN RISK SIMULATOR (RENDIMIENTOS)

3. RESUMEN DEL RS DEL F0 CORRECTO Y f0. QUE POSICION SE DEBERIA TOMAR?

Trigo (CBT)
-5000 bu;
cents per bu

Petrleo (NYM) Oro (CMX)-100

S&P500 (CME)-1000 bbls; $
troy oz; $per
$250 x index
per bbl
troy oz

-0.023696682 0.050489082 0.008483896 -0.00856974

0.03622106 -0.165632054 0.059822402 -0.079880775
0.128288288 0.051516176 0.237615758 -0.050728863
0.083679336 -0.015330189 0.03094008 -0.02027027
0.042735043 -0.037234622 -0.083410138 -0.061372344
-0.303278689 0.163971503 0.036136249 0.012245807
-0.022718053 -0.021568056
0.0039425 -0.054989369
0.03403902 -0.142289743 0.012264379 -0.05407712
0.115616218 0.125723547 -0.051148911 0.078494094
0.071248651 0.127725216 -0.065731539 0.002889954
0.037957676 -0.165238008 -0.084090756 -0.022218852
-0.08802589 -0.112409875 0.007865334 -0.088800993
-0.153655075 -0.056984615 -0.118882649 -0.071921015
-0.194549266 0.116027147 -0.040062909 0.108308877
0.061946903 -0.087825985 -0.025523842 -0.063053372
-0.009803922 -0.005384615 -0.071055659 -0.037534222
0.10990099 -0.206754318 -0.105448657 -0.149201688
-0.08073149 -0.199707507 -0.049302524 -0.084879206
0.103833091 -0.281218274 -0.096438172 -0.010842664
-0.022857143 1.105649718 0.035701004 0.076254021
0.459289249 0.861282533 0.170197487 0.341193402
0.104500617 -0.179832781 -0.050117623 0.102682625
0.040468881 -0.192371913 -0.029826639 0.038999925
-0.105686695 -0.062785637 -0.159711432 0.124063401
-0.266046791 -0.13909207 -0.121648395 -0.000320472
0.00634701 0.02122899 -0.0219772 0.00105885

S&P 500
0.11%
9.70%
1.00

Trigo (CBT)
-5000 bu;
cents per bu

Petrleo (NYM)
-1000 bbls; $
per bbl

0.000902624
0.000892459
0.014869675
0.005980288
0.001324089
0.095868075
0.000844778
0.000766847
0.011939759
0.004212223
0.000999234
0.008906245
0.025600668
0.040359315
0.003091348
0.000260853
0.010723426
0.007582666
0.009503535
0.000852883
0.205156669
0.00963413
0.001164302
0.012551552
0.074198384
0.02192744
0.14807917

0.000856153
0.034917048
0.000917314
0.001336573
0.003417993
0.020375426
0.001831587
0.026738375
0.010919113
0.011341447
0.03476994
0.017859345
0.006117367
0.008986691
0.011892987
0.000708284
0.051976387
0.048812934
0.091474345
1.175968322
0.705689961
0.040425834
0.045625344
0.007058457
0.025702841
0.0954288
0.30891553

S&P 500
0.42%

Z, SOYA, COBRE Y EL S&P500. ULTIMOS 25 SEMESTRES

A TOMAR?

Oro (CMX)-100
S&P500 (CME)troy oz; $per
$250 x index
troy oz

Trigo (CBT)
-5000 bu;
cents per bu

Petrleo (NYM) Oro (CMX)-100

S&P500 (CME)-1000 bbls; $
troy oz; $per
$250 x index
per bbl
troy oz

0.00092788 9.27097E-005 0.000289278 -0.000281733 -0.000293298 9.27097E-005

0.00669118 0.0063809382 -0.002417994 0.015124462 -0.006620831 0.0065512222
0.067388519 0.0025734175 -0.006315059 -0.001568504 -0.013443726 0.0026819668
0.002800242 0.0004108839 -0.00164943 0.000779775 -0.001128679 0.0004549312
0.003774002 0.0037665646 -0.002271748 0.003649953 0.00383533 0.0038976535
0.003377177 0.0001499598 -0.003463771 0.001596855 0.000650113 0.0001251481
0.000671832 0.0030238307 0.001629045 0.002398698 -0.001452755 0.0031414023
0.001172488 0.0029243349 -0.001526826 0.009015763 -0.001887944 0.0030399747
0.000850987 0.0061613229 0.008461288 0.008091562 -0.002258916 0.0059962178
0.001914439 8.35183E-006 0.000118842 0.000195006 -8.0119E-005 0.000003353
0.00385809 0.0004936774 -0.000735823 0.004340522 0.00144586 0.0005418512
0.000890579 0.0078856163 0.008480334 0.012008767 -0.002681648 0.0080747906
0.00939066 0.0051726323 0.01167693 0.005708018 0.007072144
0.00532606
0.000327092 0.0117308129 -0.021546132 0.010167106 -0.00193969 0.0115025693
1.25785E-005 0.0039757277 -0.003564632 0.006991756 0.000227381 0.0041103764
0.002408692 0.0014088178 0.000623314 0.001027101 0.001894087 0.0014894249
0.006967479 0.0222611438 -0.015560076 0.034256893 0.012542461 0.0225782281
0.000746672 0.0072044796 0.007483357 0.018986852 0.002348282 0.0073853488
0.005544432 0.0001175634 -0.001160231 0.003599579 0.000886198 0.0001416459
0.003326779 0.0058146758 -0.002196012 0.081543207 0.004337125 0.0056543144
0.036931122 0.1164129375 0.154061306 0.28573124 0.065365262 0.1156915164
0.000791882 0.0105437214 0.00997474 -0.020432657 -0.002859733 0.0103273925
6.16132E-005 0.0015209942 0.00129462 -0.008104249 -0.000297815 0.0014395255
0.01897071 0.0153917274 -0.013780656 -0.010334181 -0.016941934 0.0151301205
0.009934341 1.02702E-007 0.000375718 0.000221134 0.000137478 1.90252E-006
0.00758926 0.009417078 0.00513122 0.01858852 0.00195419 0.009415186
0.08711635 0.097041629