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TAREA VIRTUAL N°02

CURSO: FINANZAS

Profesor:
HIDALGO CHAVEZ, ALBERTO ANTONIO

Integrantes de Grupo:

 SONCO TAMI, KARLA KAREN


 QUINTO VILLEGAS, EDWARD FERNANDO
 TINEO COAQUIRA, JORGE ANTONIO
 CUYA ARCE, GRETA

2018
1. Calcule la rentabilidad mensual y la rentabilidad mensual esperada de cada una
de las acciones asignadas a su grupo. Luego calcule sus respectivas varianzas y
desviación estándar. Comente los resultados obtenidos.

BUENAVENTURA
BUENAVC1
AÑO MES Cierre Xi (Xi - Xm) (Xi - Xm)^2

2011 Dic. 38.18


Ene. 42.90 12.362% 0.131895 0.017396
Feb. 40.13 -6.457% -0.056299 0.003170
Mar. 40.31 0.449% 0.012755 0.000163
Abr. 41.27 2.382% 0.032085 0.001029
May. 39.14 -5.161% -0.043341 0.001878
Jun. 37.98 -2.964% -0.021367 0.000457
2012
Jul. 36.42 -4.107% -0.032804 0.001076
Ago. 34.66 -4.833% -0.040055 0.001604
Set. 38.96 12.406% 0.132332 0.017512
Oct. 35.76 -8.214% -0.073866 0.005456
Nov. 32.77 -8.361% -0.075343 0.005677
Dic. 35.95 9.704% 0.105310 0.011090
Ene. 25.59 -28.818% -0.279908 0.078349
Feb. 25.62 0.117% 0.009442 0.000089
Mar. 25.96 1.327% 0.021541 0.000464
Abr. 21.22 -18.259% -0.174319 0.030387
May. 17.95 -15.410% -0.145830 0.021266
Jun. 13.46 -25.014% -0.241869 0.058501
2013
Jul. 14.30 6.241% 0.070677 0.004995
Ago. 12.63 -11.678% -0.108513 0.011775
Set. 11.63 -7.918% -0.070907 0.005028
Oct. 14.50 24.678% 0.255046 0.065048
Nov. 11.80 -18.621% -0.177937 0.031662
Dic. 11.22 -4.915% -0.040883 0.001671
Ene. 12.40 10.517% 0.113439 0.012868
Feb. 12.60 1.613% 0.024399 0.000595
Mar. 12.57 -0.238% 0.005889 0.000035
Abr. 13.00 3.421% 0.042478 0.001804
May. 10.69 -17.769% -0.169422 0.028704
Jun. 11.81 10.477% 0.113041 0.012778
2014
Jul. 11.71 -0.847% -0.000197 0.000000
Ago. 14.56 24.338% 0.251652 0.063329
Set. 11.58 -20.467% -0.196400 0.038573
Oct. 9.20 -20.553% -0.197257 0.038910
Nov. 9.25 0.543% 0.013705 0.000188
Dic. 9.56 3.351% 0.041783 0.001746
2015 Ene. 11.42 19.456% 0.202831 0.041140
Feb. 11.58 1.401% 0.022280 0.000496
Mar. 10.13 -12.522% -0.116946 0.013676
Abr. 11.18 10.365% 0.111922 0.012527
May. 11.20 0.179% 0.010059 0.000101
Jun. 10.38 -7.321% -0.064944 0.004218
Jul. 7.12 -31.407% -0.305796 0.093511
Ago. 6.32 -11.236% -0.104090 0.010835
Set 5.96 -5.696% -0.048692 0.002371
Oct 6.41 7.550% 0.083773 0.007018
Nov 4.74 -26.053% -0.252260 0.063635
Dic 4.28 -9.705% -0.088776 0.007881
Ene 4.00 -6.542% -0.057151 0.003266
Feb 5.22 30.500% 0.313270 0.098138
Mar 7.36 40.996% 0.418232 0.174918
Abr 10.15 37.908% 0.387346 0.150037
May 9.56 -5.813% -0.049858 0.002486
Jun 11.95 25.000% 0.258270 0.066703
2016
Jul 14.65 22.594% 0.234211 0.054855
Ago 12.36 -15.631% -0.148044 0.021917
Set 13.84 11.974% 0.128011 0.016387
Oct 13.29 -3.974% -0.031470 0.000990
Nov 11.17 -15.952% -0.151248 0.022876
Dic. 11.28 0.985% 0.018118 0.000328
SUMATORIA 1.445585
MEDIA -0.827%
VARIANZA 0.02450
DESV. ESTANDAR 15.6529%

CREDICORP
AÑO MES Cierre Yi (Yi - Ym) (Yi - Ym)^2

2011 Dic. 108.08


Ene. 113.66 5.163% 0.043189 0.001865
Feb. 122.89 8.121% 0.072768 0.005295
Mar. 131.82 7.267% 0.064228 0.004125
Abr. 130.91 -0.690% -0.015342 0.000235
May. 124.77 -4.690% -0.055341 0.003063
Jun. 125.89 0.898% 0.000538 0.000000
2012
Jul. 115.94 -7.904% -0.087476 0.007652
Ago. 120.53 3.959% 0.031151 0.000970
Set. 125.28 3.941% 0.030970 0.000959
Oct. 129.34 3.241% 0.023968 0.000574
Nov. 139.90 8.165% 0.073206 0.005359
Dic. 146.56 4.761% 0.039166 0.001534
Ene. 156.73 6.939% 0.060952 0.003715
Feb. 149.98 -4.307% -0.051507 0.002653
Mar. 166.05 10.715% 0.098709 0.009743
Abr. 150.43 -9.407% -0.102507 0.010508
May. 137.62 -8.516% -0.093595 0.008760
Jun. 125.99 -8.451% -0.092947 0.008639
2013
Jul. 118.79 -5.715% -0.065586 0.004302
Ago. 121.24 2.062% 0.012186 0.000148
Set. 130.77 7.860% 0.070165 0.004923
Oct. 136.60 4.458% 0.036143 0.001306
Nov. 128.50 -5.930% -0.067736 0.004588
Dic. 132.73 3.292% 0.024479 0.000599
2014 Ene. 131.92 -0.610% -0.014542 0.000211
Feb. 129.90 -1.531% -0.023751 0.000564
Mar. 137.92 6.174% 0.053301 0.002841
Abr. 149.25 8.215% 0.073710 0.005433
May. 156.25 4.690% 0.038462 0.001479
Jun. 155.47 -0.499% -0.013431 0.000180
Jul. 147.92 -4.856% -0.057001 0.003249
Ago. 155.07 4.834% 0.039898 0.001592
Set. 153.39 -1.083% -0.019273 0.000371
Oct. 161.00 4.961% 0.041173 0.001695
Nov. 165.66 2.894% 0.020505 0.000420
Dic. 160.18 -3.308% -0.041519 0.001724
Ene. 144.12 -10.026% -0.108701 0.011816
Feb. 145.22 0.763% -0.000806 0.000001
Mar. 140.63 -3.161% -0.040046 0.001604
Abr. 152.55 8.476% 0.076322 0.005825
May. 141.14 -7.480% -0.083234 0.006928
Jun. 138.32 -1.998% -0.028419 0.000808
2015
Jul. 131.90 -4.641% -0.054853 0.003009
Ago. 109.98 -16.619% -0.174625 0.030494
Set 106.36 -3.292% -0.041354 0.001710
Oct 113.18 6.412% 0.055683 0.003101
Nov 105.61 -6.688% -0.075324 0.005674
Dic 97.32 -7.850% -0.086935 0.007558
Ene 101.36 4.151% 0.033074 0.001094
Feb 117.24 15.667% 0.148230 0.021972
Mar 131.01 11.745% 0.109012 0.011884
Abr 145.42 10.999% 0.101553 0.010313
May 140.20 -3.590% -0.044335 0.001966
Jun 154.33 10.078% 0.092346 0.008528
2016
Jul 160.33 3.888% 0.030439 0.000927
Ago. 156.68 -2.277% -0.031204 0.000974
Set 152.22 -2.847% -0.036905 0.001362
Oct 148.68 -2.326% -0.031695 0.001005
Nov 156.69 5.387% 0.045435 0.002064
Dic. 157.86 0.747% -0.000972 0.000001
SUMATORIA 0.251894
MEDIA 0.844%
VARIANZA 0.00427
DESV. ESTANDAR 6.5341%

BUENAVENTURA CREDICORP
MEDIA -0.8270% 0.8439%
D. EST. 15.6529% 6.5341%

- Credicorp ha obtenido mayor rentabilidad que Buenaventura ya que sus precios se


han mantenido y han subido un poco, Buenaventura en cambio ha tenido
rentabilidad media negativa ya que sus precios cayeron notablemente en todo el
periodo.

- Buenaventura posee más del doble de riesgo que Credicorp, debido a que sus
datos se alejan más de su media (Desviación estándar).

- La mejor opción para invertir es Credicorp por darme mayor rentabilidad con
mucho menor riesgo.
2. Con el Índice SP BVL General, calcule la rentabilidad del mercado y el riesgo
del mercado (Variancia y Desviación Estándar). Compare estos resultados con
los de la pregunta anterior

BVL GENERAL
AÑO MES Cierre Zi (Zi - Zm) (Zi - Zm)^2

2011 Dic. 19,473.71


Ene. 21,948.07 12.706% 0.128959 0.016630
Feb. 22,728.75 3.557% 0.037467 0.001404
Mar. 23,612.02 3.886% 0.040759 0.001661
Abr. 22,677.93 -3.956% -0.037663 0.001418
May. 20,997.56 -7.410% -0.072200 0.005213
Jun. 20,207.16 -3.764% -0.035745 0.001278
2012
Jul. 19,627.50 -2.869% -0.026789 0.000718
Ago. 20,311.66 3.486% 0.036755 0.001351
Set. 21,674.79 6.711% 0.069008 0.004762
Oct. 20,789.41 -4.085% -0.038951 0.001517
Nov. 20,044.62 -3.583% -0.033928 0.001151
Dic. 20,629.35 2.917% 0.031069 0.000965
Ene. 21,435.29 3.907% 0.040965 0.001678
Feb. 20,611.68 -3.842% -0.036526 0.001334
Mar. 19,858.95 -3.652% -0.034622 0.001199
Abr. 17,352.92 -12.619% -0.124294 0.015449
May. 16,049.65 -7.510% -0.073206 0.005359
Jun. 15,549.55 -3.116% -0.029262 0.000856
2013
Jul. 15,118.46 -2.772% -0.025826 0.000667
Ago. 16,652.22 10.145% 0.103347 0.010681
Set. 15,919.71 -4.399% -0.042091 0.001772
Oct. 16,322.01 2.527% 0.027168 0.000738
Nov. 15,200.40 -6.872% -0.066820 0.004465
Dic. 15,753.65 3.640% 0.038294 0.001466
Ene. 15,452.05 -1.914% -0.017247 0.000297
Feb. 15,441.26 -0.070% 0.001199 0.000001
Mar. 14,298.92 -7.398% -0.072082 0.005196
Abr. 15,528.38 8.598% 0.087880 0.007723
May. 15,753.25 1.448% 0.016379 0.000268
Jun. 16,662.28 5.770% 0.059602 0.003552
2014
Jul. 16,866.07 1.223% 0.014128 0.000200
Ago. 17,010.82 0.858% 0.010480 0.000110
Set. 16,226.61 -4.610% -0.044203 0.001954
Oct. 15,673.23 -3.410% -0.032206 0.001037
Nov. 15,106.46 -3.616% -0.034264 0.001174
Dic. 14,794.32 -2.066% -0.018765 0.000352
2015 Ene. 13,669.78 -7.601% -0.074114 0.005493
Feb. 13,397.42 -1.992% -0.018027 0.000325
Mar. 12,461.81 -6.984% -0.067938 0.004616
Abr. 13,366.86 7.263% 0.074523 0.005554
May. 13,180.61 -1.393% -0.012036 0.000145
Jun. 13,113.17 -0.512% -0.003219 0.000010
Jul. 11,987.88 -8.581% -0.083916 0.007042
Ago. 10,340.55 -13.742% -0.135519 0.018365
Set 10,030.57 -2.998% -0.028080 0.000788
Oct 10,545.69 5.136% 0.053252 0.002836
Nov 10,226.89 -3.023% -0.028333 0.000803
Dic 9,848.59 -3.699% -0.035093 0.001232
Ene 9,391.84 -4.638% -0.044480 0.001978
Feb 10,742.19 14.378% 0.145676 0.021222
Mar 12,057.93 12.248% 0.124381 0.015471
Abr 13,702.47 13.639% 0.138284 0.019122
May 13,535.97 -1.215% -0.010254 0.000105
Jun 13,856.90 2.371% 0.025607 0.000656
2016
Jul 15,210.97 9.772% 0.099615 0.009923
Ago 15,130.24 -0.531% -0.003410 0.000012
Set 15,296.98 1.102% 0.012918 0.000167
Oct 15,171.04 -0.823% -0.006336 0.000040
Nov 15,414.97 1.608% 0.017976 0.000323
Dic. 15,566.96 0.986% 0.011757 0.000138
SUMATORIA 0.221963
MEDIA -0.190%
VARIANZA 0.003762
DESV. ESTANDAR 6.1336%

BUENAVENTURA CREDICORP SP BVL GENERAL


MEDIA -0.8270% 0.8439% -0.1897%
D. EST. 15.6529% 6.5341% 6.1336%

- Todas las rentabilidades son bajas, la que ha obtenido mayor rentabilidad y la


única positiva es Credicorp. Es porque sus precios han ido en aumento.

- La BVL ha tenido menor riesgo que las dos empresas, menos de la mitad que
Buenaventura y un poco menos que Credicorp. Sus rentabilidades se alejan poco
de su media.

- La mejor opción es Credicorp ya que da rentabilidad positiva y mayor con un


poco más de riesgo que la BVL.

3. Calcule los Betas de las dos acciones que le han sido asignadas y compare la
rentabilidad esperada de cada acción (pregunta 1) versus el valor del Beta.
Luego, si la tasa de interés pagada por los Certificados de Depósito del BCRP
promedio durante su periodo de análisis fue 3.6% Compare la rentabilidad
esperada versus la rentabilidad requerida de cada acción (modelo CAPM) y
comente los resultados obtenidos.

BUENAVENTURA SP BVL GENERAL


(Xi - Ym)*
AÑO MES Cierre Xi (Xi - Xm) (Xi - Xm)^2 AÑO MES Cierre Zi (Zi - Zm) (Zi - Zm)^2
(Zi - Zm)
201
Dic. 38.18 Dic. 19,473.71
1 2011
Ene. 42.90 12.362% 0.131895 0.017396 0.017009 Ene. 21,948.07 12.706% 0.128959 0.016630
Feb. 40.13 -6.457% -0.056299 0.003170 -0.002109 Feb. 22,728.75 3.557% 0.037467 0.001404
Mar. 40.31 0.449% 0.012755 0.000163 0.000520 Mar. 23,612.02 3.886% 0.040759 0.001661
Abr. 41.27 2.382% 0.032085 0.001029 -0.001208 Abr. 22,677.93 -3.956% -0.037663 0.001418
May. 39.14 -5.161% -0.043341 0.001878 0.003129 May. 20,997.56 -7.410% -0.072200 0.005213
201 Jun. 37.98 -2.964% -0.021367 0.000457 0.000764 Jun. 20,207.16 -3.764% -0.035745 0.001278
2012
2 Jul. 36.42 -4.107% -0.032804 0.001076 0.000879 Jul. 19,627.50 -2.869% -0.026789 0.000718
Ago. 34.66 -4.833% -0.040055 0.001604 -0.001472 Ago. 20,311.66 3.486% 0.036755 0.001351
Set. 38.96 12.406% 0.132332 0.017512 0.009132 Set. 21,674.79 6.711% 0.069008 0.004762
Oct. 35.76 -8.214% -0.073866 0.005456 0.002877 Oct. 20,789.41 -4.085% -0.038951 0.001517
Nov. 32.77 -8.361% -0.075343 0.005677 0.002556 Nov. 20,044.62 -3.583% -0.033928 0.001151
Dic. 35.95 9.704% 0.105310 0.011090 0.003272 Dic. 20,629.35 2.917% 0.031069 0.000965
Ene. 25.59 -28.818% -0.279908 0.078349 -0.011466 Ene. 21,435.29 3.907% 0.040965 0.001678
Feb. 25.62 0.117% 0.009442 0.000089 -0.000345 Feb. 20,611.68 -3.842% -0.036526 0.001334
Mar. 25.96 1.327% 0.021541 0.000464 -0.000746 Mar. 19,858.95 -3.652% -0.034622 0.001199
Abr. 21.22 -18.259% -0.174319 0.030387 0.021667 Abr. 17,352.92 -12.619% -0.124294 0.015449
May. 17.95 -15.410% -0.145830 0.021266 0.010676 May. 16,049.65 -7.510% -0.073206 0.005359
201 Jun. 13.46 -25.014% -0.241869 0.058501 0.007078 Jun. 15,549.55 -3.116% -0.029262 0.000856
2013
3 Jul. 14.30 6.241% 0.070677 0.004995 -0.001825 Jul. 15,118.46 -2.772% -0.025826 0.000667
Ago. 12.63 -11.678% -0.108513 0.011775 -0.011215 Ago. 16,652.22 10.145% 0.103347 0.010681
Set. 11.63 -7.918% -0.070907 0.005028 0.002985 Set. 15,919.71 -4.399% -0.042091 0.001772
Oct. 14.50 24.678% 0.255046 0.065048 0.006929 Oct. 16,322.01 2.527% 0.027168 0.000738
Nov. 11.80 -18.621% -0.177937 0.031662 0.011890 Nov. 15,200.40 -6.872% -0.066820 0.004465
Dic. 11.22 -4.915% -0.040883 0.001671 -0.001566 Dic. 15,753.65 3.640% 0.038294 0.001466
Ene. 12.40 10.517% 0.113439 0.012868 -0.001957 Ene. 15,452.05 -1.914% -0.017247 0.000297
Feb. 12.60 1.613% 0.024399 0.000595 0.000029 Feb. 15,441.26 -0.070% 0.001199 0.000001
Mar. 12.57 -0.238% 0.005889 0.000035 -0.000424 Mar. 14,298.92 -7.398% -0.072082 0.005196
Abr. 13.00 3.421% 0.042478 0.001804 0.003733 Abr. 15,528.38 8.598% 0.087880 0.007723
May. 10.69 -17.769% -0.169422 0.028704 -0.002775 May. 15,753.25 1.448% 0.016379 0.000268
201 Jun. 11.81 10.477% 0.113041 0.012778 0.006737 Jun. 16,662.28 5.770% 0.059602 0.003552
2014
4 Jul. 11.71 -0.847% -0.000197 0.000000 -0.000003 Jul. 16,866.07 1.223% 0.014128 0.000200
Ago. 14.56 24.338% 0.251652 0.063329 0.002637 Ago. 17,010.82 0.858% 0.010480 0.000110
Set. 11.58 -20.467% -0.196400 0.038573 0.008682 Set. 16,226.61 -4.610% -0.044203 0.001954
Oct. 9.20 -20.553% -0.197257 0.038910 0.006353 Oct. 15,673.23 -3.410% -0.032206 0.001037
Nov. 9.25 0.543% 0.013705 0.000188 -0.000470 Nov. 15,106.46 -3.616% -0.034264 0.001174
Dic. 9.56 3.351% 0.041783 0.001746 -0.000784 Dic. 14,794.32 -2.066% -0.018765 0.000352
Ene. 11.42 19.456% 0.202831 0.041140 -0.015033 Ene. 13,669.78 -7.601% -0.074114 0.005493
Feb. 11.58 1.401% 0.022280 0.000496 -0.000402 Feb. 13,397.42 -1.992% -0.018027 0.000325
Mar. 10.13 -12.522% -0.116946 0.013676 0.007945 Mar. 12,461.81 -6.984% -0.067938 0.004616
Abr. 11.18 10.365% 0.111922 0.012527 0.008341 Abr. 13,366.86 7.263% 0.074523 0.005554
May. 11.20 0.179% 0.010059 0.000101 -0.000121 May. 13,180.61 -1.393% -0.012036 0.000145
201 Jun. 10.38 -7.321% -0.064944 0.004218 0.000209 Jun. 13,113.17 -0.512% -0.003219 0.000010
2015
5 Jul. 7.12 -31.407% -0.305796 0.093511 0.025661 Jul. 11,987.88 -8.581% -0.083916 0.007042
Ago. 6.32 -11.236% -0.104090 0.010835 0.014106 Ago. 10,340.55 -13.742% -0.135519 0.018365
Set 5.96 -5.696% -0.048692 0.002371 0.001367 Set 10,030.57 -2.998% -0.028080 0.000788
Oct 6.41 7.550% 0.083773 0.007018 0.004461 Oct 10,545.69 5.136% 0.053252 0.002836
Nov 4.74 -26.053% -0.252260 0.063635 0.007147 Nov 10,226.89 -3.023% -0.028333 0.000803
Dic 4.28 -9.705% -0.088776 0.007881 0.003115 Dic 9,848.59 -3.699% -0.035093 0.001232
201 Ene 4.00 -6.542% -0.057151 0.003266 0.002542 2016 Ene 9,391.84 -4.638% -0.044480 0.001978
6 Feb 5.22 30.500% 0.313270 0.098138 0.045636 Feb 10,742.19 14.378% 0.145676 0.021222
Mar 7.36 40.996% 0.418232 0.174918 0.052020 Mar 12,057.93 12.248% 0.124381 0.015471
Abr 10.15 37.908% 0.387346 0.150037 0.053564 Abr 13,702.47 13.639% 0.138284 0.019122
May 9.56 -5.813% -0.049858 0.002486 0.000511 May 13,535.97 -1.215% -0.010254 0.000105
Jun 11.95 25.000% 0.258270 0.066703 0.006613 Jun 13,856.90 2.371% 0.025607 0.000656
Jul 14.65 22.594% 0.234211 0.054855 0.023331 Jul 15,210.97 9.772% 0.099615 0.009923
Ago 12.36 -15.631% -0.148044 0.021917 0.000505 Ago 15,130.24 -0.531% -0.003410 0.000012
Set 13.84 11.974% 0.128011 0.016387 0.001654 Set 15,296.98 1.102% 0.012918 0.000167
Oct 13.29 -3.974% -0.031470 0.000990 0.000199 Oct 15,171.04 -0.823% -0.006336 0.000040
Nov 11.17 -15.952% -0.151248 0.022876 -0.002719 Nov 15,414.97 1.608% 0.017976 0.000323
Dic. 11.28 0.985% 0.018118 0.000328 0.000213 Dic. 15,566.96 0.986% 0.011757 0.000138
MEDIA -0.8270% Sumatoria X,Z 0.332036 MEDIA -0.190%
VARIANZA 0.02450 Covarianza(X,Z): 0.005628 VARIANZA 0.003762
DESV. ESTANDAR 15.6529% DESV. ESTANDAR 6.1336%
COV(ri ; rm)
BETA = 1.4959
ơ^2

CREDICORP SP BVL GENERAL


(Yi - Xm)*
AÑO MES Cierre Yi (Yi - Ym) (Yi - Ym)^2 AÑO MES Cierre Zi (Zi - Zm) (Zi - Zm)^2
(Zi - Zm)
201 19,473.7
Dic. 108.08 Dic.
1 2011 1
21,948.0
Ene. 113.66 5.163% 0.043189 0.001865 0.005570 Ene. 12.706% 0.128959 0.016630
7
22,728.7
Feb. 122.89 8.121% 0.072768 0.005295 0.002726 Feb. 3.557% 0.037467 0.001404
5
23,612.0
Mar. 131.82 7.267% 0.064228 0.004125 0.002618 Mar. 3.886% 0.040759 0.001661
2
22,677.9
Abr. 130.91 -0.690% -0.015342 0.000235 0.000578 Abr. -3.956% -0.037663 0.001418
3
20,997.5
May. 124.77 -4.690% -0.055341 0.003063 0.003996 May. -7.410% -0.072200 0.005213
6
20,207.1
Jun. 125.89 0.898% 0.000538 0.000000 -0.000019 Jun. -3.764% -0.035745 0.001278
201 6
2012
2 19,627.5
Jul. 115.94 -7.904% -0.087476 0.007652 0.002343 Jul. -2.869% -0.026789 0.000718
0
20,311.6
Ago. 120.53 3.959% 0.031151 0.000970 0.001145 Ago. 3.486% 0.036755 0.001351
6
21,674.7
Set. 125.28 3.941% 0.030970 0.000959 0.002137 Set. 6.711% 0.069008 0.004762
9
20,789.4
Oct. 129.34 3.241% 0.023968 0.000574 -0.000934 Oct. -4.085% -0.038951 0.001517
1
20,044.6
Nov. 139.90 8.165% 0.073206 0.005359 -0.002484 Nov. -3.583% -0.033928 0.001151
2
20,629.3
Dic. 146.56 4.761% 0.039166 0.001534 0.001217 Dic. 2.917% 0.031069 0.000965
5
21,435.2
Ene. 156.73 6.939% 0.060952 0.003715 0.002497 Ene. 3.907% 0.040965 0.001678
9
20,611.6
Feb. 149.98 -4.307% -0.051507 0.002653 0.001881 Feb. -3.842% -0.036526 0.001334
8
19,858.9
Mar. 166.05 10.715% 0.098709 0.009743 -0.003418 Mar. -3.652% -0.034622 0.001199
5
17,352.9
Abr. 150.43 -9.407% -0.102507 0.010508 0.012741 Abr. -12.619% -0.124294 0.015449
2
16,049.6
May. 137.62 -8.516% -0.093595 0.008760 0.006852 May. -7.510% -0.073206 0.005359
5
15,549.5
Jun. 125.99 -8.451% -0.092947 0.008639 0.002720 Jun. -3.116% -0.029262 0.000856
201 5
2013
3 15,118.4
Jul. 118.79 -5.715% -0.065586 0.004302 0.001694 Jul. -2.772% -0.025826 0.000667
6
16,652.2
Ago. 121.24 2.062% 0.012186 0.000148 0.001259 Ago. 10.145% 0.103347 0.010681
2
15,919.7
Set. 130.77 7.860% 0.070165 0.004923 -0.002953 Set. -4.399% -0.042091 0.001772
1
16,322.0
Oct. 136.60 4.458% 0.036143 0.001306 0.000982 Oct. 2.527% 0.027168 0.000738
1
15,200.4
Nov. 128.50 -5.930% -0.067736 0.004588 0.004526 Nov. -6.872% -0.066820 0.004465
0
15,753.6
Dic. 132.73 3.292% 0.024479 0.000599 0.000937 Dic. 3.640% 0.038294 0.001466
5
201 Ene. 131.92 -0.610% -0.014542 0.000211 0.000251 2014 Ene. 15,452.0 -1.914% -0.017247 0.000297
4 5
15,441.2
Feb. 129.90 -1.531% -0.023751 0.000564 -0.000028 Feb. -0.070% 0.001199 0.000001
6
14,298.9
Mar. 137.92 6.174% 0.053301 0.002841 -0.003842 Mar. -7.398% -0.072082 0.005196
2
15,528.3
Abr. 149.25 8.215% 0.073710 0.005433 0.006478 Abr. 8.598% 0.087880 0.007723
8
15,753.2
May. 156.25 4.690% 0.038462 0.001479 0.000630 May. 1.448% 0.016379 0.000268
5
16,662.2
Jun. 155.47 -0.499% -0.013431 0.000180 -0.000801 Jun. 5.770% 0.059602 0.003552
8
16,866.0
Jul. 147.92 -4.856% -0.057001 0.003249 -0.000805 Jul. 1.223% 0.014128 0.000200
7
17,010.8
Ago. 155.07 4.834% 0.039898 0.001592 0.000418 Ago. 0.858% 0.010480 0.000110
2
16,226.6
Set. 153.39 -1.083% -0.019273 0.000371 0.000852 Set. -4.610% -0.044203 0.001954
1
15,673.2
Oct. 161.00 4.961% 0.041173 0.001695 -0.001326 Oct. -3.410% -0.032206 0.001037
3
15,106.4
Nov. 165.66 2.894% 0.020505 0.000420 -0.000703 Nov. -3.616% -0.034264 0.001174
6
14,794.3
Dic. 160.18 -3.308% -0.041519 0.001724 0.000779 Dic. -2.066% -0.018765 0.000352
2
13,669.7
Ene. 144.12 -10.026% -0.108701 0.011816 0.008056 Ene. -7.601% -0.074114 0.005493
8
13,397.4
Feb. 145.22 0.763% -0.000806 0.000001 0.000015 Feb. -1.992% -0.018027 0.000325
2
12,461.8
Mar. 140.63 -3.161% -0.040046 0.001604 0.002721 Mar. -6.984% -0.067938 0.004616
1
13,366.8
Abr. 152.55 8.476% 0.076322 0.005825 0.005688 Abr. 7.263% 0.074523 0.005554
6
13,180.6
May. 141.14 -7.480% -0.083234 0.006928 0.001002 May. -1.393% -0.012036 0.000145
1
13,113.1
201 Jun. 138.32 -1.998% -0.028419 0.000808 0.000091 Jun. -0.512% -0.003219 0.000010
2015 7
5
11,987.8
Jul. 131.90 -4.641% -0.054853 0.003009 0.004603 Jul. -8.581% -0.083916 0.007042
8
10,340.5
Ago. 109.98 -16.619% -0.174625 0.030494 0.023665 Ago. -13.742% -0.135519 0.018365
5
10,030.5
Set 106.36 -3.292% -0.041354 0.001710 0.001161 Set -2.998% -0.028080 0.000788
7
10,545.6
Oct 113.18 6.412% 0.055683 0.003101 0.002965 Oct 5.136% 0.053252 0.002836
9
10,226.8
Nov 105.61 -6.688% -0.075324 0.005674 0.002134 Nov -3.023% -0.028333 0.000803
9
Dic 97.32 -7.850% -0.086935 0.007558 0.003051 Dic 9,848.59 -3.699% -0.035093 0.001232
Ene 101.36 4.151% 0.033074 0.001094 -0.001471 Ene 9,391.84 -4.638% -0.044480 0.001978
10,742.1
Feb 117.24 15.667% 0.148230 0.021972 0.021594 Feb 14.378% 0.145676 0.021222
9
12,057.9
Mar 131.01 11.745% 0.109012 0.011884 0.013559 Mar 12.248% 0.124381 0.015471
3
13,702.4
Abr 145.42 10.999% 0.101553 0.010313 0.014043 Abr 13.639% 0.138284 0.019122
7
13,535.9
May 140.20 -3.590% -0.044335 0.001966 0.000455 May -1.215% -0.010254 0.000105
7
13,856.9
Jun 154.33 10.078% 0.092346 0.008528 0.002365 Jun 2.371% 0.025607 0.000656
0
201
2016 15,210.9
6 Jul 160.33 3.888% 0.030439 0.000927 0.003032 Jul 9.772% 0.099615 0.009923
7
15,130.2
Ago 156.68 -2.277% -0.031204 0.000974 0.000106 Ago -0.531% -0.003410 0.000012
4
15,296.9
Set 152.22 -2.847% -0.036905 0.001362 -0.000477 Set 1.102% 0.012918 0.000167
8
15,171.0
Oct 148.68 -2.326% -0.031695 0.001005 0.000201 Oct -0.823% -0.006336 0.000040
4
15,414.9
Nov 156.69 5.387% 0.045435 0.002064 0.000817 Nov 1.608% 0.017976 0.000323
7
15,566.9
Dic. 157.86 0.747% -0.000972 0.000001 -0.000011 Dic. 0.986% 0.011757 0.000138
6
MEDIA 0.8439% Sumatoria Y,Z 0.159879 MEDIA -0.190%
VARIANZA 0.00427 Covarianza(Y,Z): 0.002710 VARIANZA 0.003762
DESV.
DESV. ESTANDAR 6.5341% ESTANDAR 6.1336%
COV(ri ; rm)
BETA = 0.7203
ơ^2

BUENAVENTURA CREDICORP
MEDIA -0.8270% 0.8439%
BETA 1.4959 0.7203

- Buenaventura tiene mucho menor rentabilidad esperada y mucho mayor Beta,


sus datos se relacionan mucho con la variación del mercado, casi 1.5 es decir si
el mercado sube o baja 1, Buenaventura subiría y bajaría en esta magnitud

Rk =rf +B∗(Rmv −rf )

BUENAVENTURA
rf = 3.60%
Beta = 1.4959
Rm = -0.19%
R. ESPERADA -0.83%
Re = -2.077%
R. REQUERIDA -2.077%

- La rentabilidad esperada de Buenaventura es igual de negativa que la requerida


por los accionistas, pero cumple con lo mínimo exigido.

CREDICORP
rf = 3.60%
Beta = 0.7203
Rm = -0.19%
R. ESPERADA 0.84%
Re = 0.87%
R. REQUERIDA 0.87%

- La rentabilidad esperada de Credicorp es casi igual a la rentabilidad exigida por


los accionistas, no cumple con lo exigido, pero por 0.03%.

4. Con los datos de las preguntas anteriores calcular la beta, la rentabilidad


esperada y la desviación estándar de los siguientes portafolios:

a. 30% Acción 1 y 70% Acción 2

b. 50% Acción 1 y 50% Acción 2


c. 70% Acción 1 y 30% Acción 2

Comente los resultados encontrados

BUENAVENTURA CREDICORP
R. ESPERADA -0.83% 0.84%
RIESGO 15.65% 6.53%
BETA 1.4957 0.7203
COVARIANZA 0.0045663265407

PORTAFOLIOS
PORTAFOLIO 1 ACCION 1 ACCION 2
PESOS (W) 30% 70%
RENTABILIDAD 0.34%
RIEGO 7.88%
BETA 0.95
PORTAFOLIO 2 ACCION 1 ACCION 2
PESOS (W) 50% 50%
RENTABILIDAD 0.01%
RIEGO 9.73%
BETA 1.11
PORTAFOLIO 3 ACCION 1 ACCION 2
PESOS (W) 70% 30%
RENTABILIDAD -0.33%
RIEGO 11.96%
BETA 1.26

- Portafolio 01 tiene la mayor rentabilidad debido a que se invierte más en


Credicorp que tiene la mayor rentabilidad.

- Portafolio 03 tiene la menor rentabilidad debido a que se invierte más en


Buenaventura que tiene la menor rentabilidad.

- Portafolio 03 tiene el mayor riesgo por ser más cercano a Buenaventura.

- Portafolio 01 tiene el menor riesgo por ser más cercano a Credicorp.

- Portafolio 01 tiene la menor beta por el de Credicorp, es menor a 1 así que tiene
menor relación con el mercado.

- La mejor diversificación es el primer portafolio que me da mayor rentabilidad con


menor riesgo y menor beta, el segundo portafolio también da rentabilidad
positiva, el ultimo portafolio no se recomienda por dar rentabilidad negativa y
mucho riesgo.