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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. (4 Puntos)

BUENAVENTURA CREDICORP

Rentabilidad Rentabilidad
AÑO MES Cierre (Xi - Xmedio) (Xi - Xmedio)^2 MES Cierre (Yi - Ymedio) (Yi - Ymedio)^2
Xi Yi

2003 Dic. 28.45 Dic. 13.35


Ene. 23.40 -17.750% -0.185401 0.034374 Ene. 12.00 -10.112% -0.128747 0.016576
Feb. 24.21 3.462% 0.026719 0.000714 Feb. 13.00 8.333% 0.055710 0.003104
Mar. 28.90 19.372% 0.185825 0.034531 Mar. 12.86 -1.077% -0.038393 0.001474
Abr. 21.64 -25.121% -0.259108 0.067137 Abr. 12.81 -0.389% -0.031511 0.000993
May. 23.43 8.272% 0.074821 0.005598 May. 12.52 -2.264% -0.050262 0.002526
Jun. 22.10 -5.676% -0.064661 0.004181 Jun. 13.00 3.834% 0.010715 0.000115
2004
Jul. 21.53 -2.579% -0.033688 0.001135 Jul. 12.68 -2.462% -0.052239 0.002729
Ago. 22.72 5.527% 0.047375 0.002244 Ago. 13.50 6.467% 0.037045 0.001372
Set. 23.75 4.533% 0.037438 0.001402 Set. 14.04 4.000% 0.012377 0.000153
Oct. 24.84 4.589% 0.037998 0.001444 Oct. 14.40 2.564% -0.001982 0.000004
Nov. 23.50 -5.395% -0.061842 0.003824 Nov. 15.20 5.556% 0.027932 0.000780
Dic. 22.90 -2.553% -0.033428 0.001117 Dic. 15.81 4.013% 0.012508 0.000156
Ene. 21.27 -7.118% -0.079076 0.006253 Ene. 17.70 11.954% 0.091921 0.008450
Feb. 23.16 8.886% 0.080961 0.006555 Feb. 18.91 6.836% 0.040738 0.001660
Mar. 22.78 -1.641% -0.024304 0.000591 Mar. 17.22 -8.937% -0.116994 0.013688
Abr. 21.35 -6.277% -0.070671 0.004994 Abr. 17.35 0.755% -0.020074 0.000403
May. 21.38 0.141% -0.006491 0.000042 May. 18.60 7.205% 0.044423 0.001973
Jun. 22.99 7.530% 0.067407 0.004544 Jun. 19.89 6.935% 0.041732 0.001742
2005
Jul. 23.53 2.349% 0.015592 0.000243 Jul. 21.37 7.441% 0.046786 0.002189
Ago. 24.81 5.440% 0.046502 0.002162 Ago. 22.20 3.884% 0.011216 0.000126
Set. 31.05 25.151% 0.243615 0.059348 Set. 28.57 28.694% 0.259314 0.067244
Oct. 26.26 -15.427% -0.162164 0.026297 Oct. 26.39 -7.630% -0.103927 0.010801
Nov. 28.02 6.702% 0.059126 0.003496 Nov. 26.55 0.606% -0.021560 0.000465
Dic. 28.30 0.999% 0.002096 0.000004 Dic. 22.79 -14.162% -0.169243 0.028643
Ene. 27.72 -2.049% -0.028391 0.000806 Ene. 29.80 30.759% 0.279968 0.078382
Feb. 25.92 -6.494% -0.072832 0.005304 Feb. 29.90 0.336% -0.024268 0.000589
Mar. 24.69 -4.745% -0.055350 0.003064 Mar. 26.48 -11.438% -0.142005 0.020165
Abr. 30.39 23.086% 0.222966 0.049714 Abr. 27.10 2.341% -0.004209 0.000018
May. 25.77 -15.202% -0.159920 0.025574 May. 26.20 -3.321% -0.060834 0.003701
Jun. 28.39 10.167% 0.093772 0.008793 Jun. 30.21 15.305% 0.125430 0.015733
2006
Jul. 29.11 2.536% 0.017465 0.000305 Jul. 30.79 1.920% -0.008424 0.000071
Ago. 27.95 -3.985% -0.047745 0.002280 Ago. 37.20 20.818% 0.180561 0.032602
Set. 27.00 -3.399% -0.041886 0.001754 Set. 41.98 12.849% 0.100871 0.010175
Oct. 25.85 -4.259% -0.050489 0.002549 Oct. 42.20 0.524% -0.022383 0.000501
Nov. 28.54 10.406% 0.096165 0.009248 Nov. 39.95 -5.332% -0.080941 0.006551
Dic. 28.06 -1.682% -0.024715 0.000611 Dic. 40.94 2.478% -0.002842 0.000008
Ene. 28.91 3.029% 0.022396 0.000502 Ene. 42.22 3.127% 0.003642 0.000013
Feb. 27.71 -4.151% -0.049405 0.002441 Feb. 47.85 13.335% 0.105726 0.011178
Mar. 29.95 8.084% 0.072941 0.005320 Mar. 48.73 1.839% -0.009232 0.000085
Abr. 32.58 8.781% 0.079916 0.006387 Abr. 52.18 7.080% 0.043175 0.001864
May. 33.53 2.916% 0.021262 0.000452 May. 58.28 11.690% 0.089280 0.007971
Jun. 37.46 11.721% 0.109312 0.011949 Jun. 61.17 4.959% 0.021965 0.000482
2007
Jul. 39.91 6.540% 0.057507 0.003307 Jul. 64.34 5.182% 0.024199 0.000586
Ago. 38.23 -4.209% -0.049991 0.002499 Ago. 61.35 -4.647% -0.074095 0.005490
Set 47.78 24.980% 0.241907 0.058519 Set 67.70 10.350% 0.075881 0.005758
Oct 57.41 20.155% 0.193652 0.037501 Oct 74.33 9.793% 0.070309 0.004943
Nov 55.83 -2.752% -0.035418 0.001254 Nov 71.19 -4.224% -0.069867 0.004881
Dic 56.60 1.379% 0.005895 0.000035 Dic 76.30 7.178% 0.044156 0.001950
2008 Ene 67.03 18.428% 0.176379 0.031110 Ene 71.72 -6.003% -0.087650 0.007682
Feb 76.03 13.427% 0.126372 0.015970 Feb 74.33 3.639% 0.008768 0.000077
Mar 68.50 -9.904% -0.106936 0.011435 Mar 71.74 -3.484% -0.062468 0.003902
Abr 63.50 -7.299% -0.080889 0.006543 Abr 80.55 12.280% 0.095181 0.009059
May 65.80 3.622% 0.028324 0.000802 May 83.46 3.613% 0.008503 0.000072
Jun 65.37 -0.653% -0.014431 0.000208 Jun 82.12 -1.606% -0.043679 0.001908
Jul 26.91 -58.834% -0.596240 0.355502 Jul 74.01 -9.876% -0.126381 0.015972
Ago 23.20 -13.787% -0.145764 0.021247 Ago 70.33 -4.972% -0.077346 0.005982
Set 23.48 1.207% 0.004172 0.000017 Set 62.25 -11.489% -0.142510 0.020309
Oct 12.64 -46.167% -0.469566 0.220492 Oct 39.27 -36.916% -0.396780 0.157434
Nov 18.00 42.405% 0.416154 0.173184 Nov 43.70 11.281% 0.085185 0.007257
Dic. 19.92 10.667% 0.098770 0.009756 Dic. 49.96 14.325% 0.115626 0.013369
Σ= Σ=
1.358666 0.624088

Xmedio: Media (Xi): 0.790% Ymedio: Media (Yi): 2.762%


Varianza (Xi): 0.02303 Varianza (Yi): 0.01058
Desv Estandar (Xi): 15.1751% Desv Estandar (Yi): 10.2848%

 Credicorp ha obtenido mayor rentabilidad promedio que Buenaventura debido a


que sus precios han ido en aumento desde el inicio del periodo y tiene más
rentabilidades positivas, en cambio Buenaventura ha tenido altos y bajos en sus
precios.
 Buenaventura posee mayor riesgo debido a la variabilidad de sus datos.
 La mejor opción para invertir es Credicorp por darme mayor rentabilidad con
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 (2 Puntos)

SP BVL GENERAL
Rentabilidad
AÑO MES Cierre (Zi - Zmedio) (Zi - Zmedio)^2
Zi
2003 Dic. 2435.04
Ene. 2730.00 12.113% 0.097957 0.009596
Feb. 2748.11 0.663% -0.016541 0.000274
Mar. 3035.72 10.466% 0.081483 0.006639
Abr. 2827.74 -6.851% -0.091685 0.008406
May. 2926.83 3.504% 0.011868 0.000141
Jun. 2885.90 -1.398% -0.037159 0.001381
2004
Jul. 2825.45 -2.095% -0.044121 0.001947
Ago. 2850.68 0.893% -0.014245 0.000203
Set. 3278.80 15.018% 0.127007 0.016131
Oct. 3545.37 8.130% 0.058127 0.003379
Nov. 3616.72 2.012% -0.003049 0.000009
Dic. 3710.39 2.590% 0.002725 0.000007
Ene. 3881.96 4.624% 0.023066 0.000532
Feb. 4078.26 5.057% 0.027393 0.000750
Mar. 4158.85 1.976% -0.003413 0.000012
Abr. 3986.29 -4.149% -0.064667 0.004182
May. 3925.34 -1.529% -0.038464 0.001479
2005 Jun. 4038.07 2.872% 0.005544 0.000031
Jul. 4210.83 4.278% 0.019609 0.000384
Ago. 4611.76 9.521% 0.072040 0.005190
Set. 5070.83 9.954% 0.076369 0.005832
Oct. 4764.35 -6.044% -0.083614 0.006991
Nov. 5034.30 5.666% 0.033486 0.001121
Dic. 4802.25 -4.609% -0.069268 0.004798
Ene. 5633.51 17.310% 0.149924 0.022477
Feb. 6080.68 7.938% 0.056202 0.003159
Mar. 5920.50 -2.634% -0.049517 0.002452
Abr. 7142.92 20.647% 0.183298 0.033598
May. 7211.67 0.962% -0.013549 0.000184
Jun. 8155.80 13.092% 0.107743 0.011608
2006
Jul. 8973.69 10.028% 0.077109 0.005946
Ago. 10011.95 11.570% 0.092526 0.008561
Set. 10390.34 3.779% 0.014620 0.000214
Oct. 10694.54 2.928% 0.006103 0.000037
Nov. 11482.41 7.367% 0.050496 0.002550
Dic. 12884.20 12.208% 0.098907 0.009783
Ene. 13633.78 5.818% 0.035004 0.001225
Feb. 15150.74 11.126% 0.088091 0.007760
Mar. 17152.82 13.214% 0.108970 0.011874
Abr. 20674.78 20.533% 0.182154 0.033180
May. 20129.50 -2.637% -0.049548 0.002455
Jun. 22365.90 11.110% 0.087926 0.007731
2007
Jul. 23418.17 4.705% 0.023874 0.000570
Ago. 20846.26 -10.983% -0.133000 0.017689
Set 21823.44 4.688% 0.023701 0.000562
Oct 21696.27 -0.583% -0.029002 0.000841
Nov 18255.97 -15.857% -0.181741 0.033030
Dic 17524.79 -4.005% -0.063226 0.003998
Ene 15009.98 -14.350% -0.166674 0.027780
Feb 17766.94 18.368% 0.160501 0.025761
Mar 17387.47 -2.136% -0.044533 0.001983
Abr 17429.94 0.244% -0.020732 0.000430
May 17130.79 -1.716% -0.040337 0.001627
Jun 16293.97 -4.885% -0.072023 0.005187
2008
Jul 13765.45 -15.518% -0.178356 0.031811
Ago 13287.42 -3.473% -0.057901 0.003353
Set 11248.42 -15.345% -0.176628 0.031197
Oct 7055.04 -37.280% -0.395972 0.156793
Nov 7405.50 4.968% 0.026501 0.000702
Dic. 7048.67 -4.818% -0.071359 0.005092
Σ= 0.592615

Zmedio: Media (Zi): 2.317%


Varianza (Zi): 0.010044
Desv Estandar (Zi): 10.02%

BUENAVENTURA CREDICORP SP BVL GENERAL


Xmedio: Media (Xi): 0.7897% Ymedio: Media (Yi): 2.2087% Zmedio: Media (Zi): 2.3174%
Varianza (Xi): 0.02303 Varianza (Yi): 0.01112 Varianza (Zi): 0.010044
Desv Estandar (Xi): 15.1751% Desv Estandar (Yi): 10.5456% Desv Estandar (Zi): 10.0221%

 La BVL ha tenido mejor rentabilidad promedio que las dos empresas, 1.5277%
más que Buenaventura y 0.1087% más que Credicorp.
 La BVL ha tenido menor riesgo que las dos empresas, 5.153%menos que
Buenaventura y 0.5235% menos que Credicorp.
 La mejor opción es el índice BVL ya que me da mayor rentabilidad con menor
riesgo.
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. (4 Puntos)

BUENAVENTURA BVL GENERAL

Rentabilidad (Xi - Ymedio)* Rentabilidad


AÑO MES Cierre (Xi - Xmedio) (Xi - Xmedio)^2 MES Cierre (Zi - Zmedio) (Zi - Zmedio)^2
Xi (Zi - Zmedio) Zi

2003 Dic. 28.45 Dic. 2435.04


Ene. 23.40 -17.750% -0.185401 0.034374 -0.018161 Ene. 2730.00 12.113% 0.097957 0.009596
Feb. 24.21 3.462% 0.026719 0.000714 -0.000442 Feb. 2748.11 0.663% -0.016541 0.000274
Mar. 28.90 19.372% 0.185825 0.034531 0.015142 Mar. 3035.72 10.466% 0.081483 0.006639
Abr. 21.64 -25.121% -0.259108 0.067137 0.023756 Abr. 2827.74 -6.851% -0.091685 0.008406
May. 23.43 8.272% 0.074821 0.005598 0.000888 May. 2926.83 3.504% 0.011868 0.000141
Jun. 22.10 -5.676% -0.064661 0.004181 0.002403 Jun. 2885.90 -1.398% -0.037159 0.001381
2004
Jul. 21.53 -2.579% -0.033688 0.001135 0.001486 Jul. 2825.45 -2.095% -0.044121 0.001947
Ago. 22.72 5.527% 0.047375 0.002244 -0.000675 Ago. 2850.68 0.893% -0.014245 0.000203
Set. 23.75 4.533% 0.037438 0.001402 0.004755 Set. 3278.80 15.018% 0.127007 0.016131
Oct. 24.84 4.589% 0.037998 0.001444 0.002209 Oct. 3545.37 8.130% 0.058127 0.003379
Nov. 23.50 -5.395% -0.061842 0.003824 0.000189 Nov. 3616.72 2.012% -0.003049 0.000009
Dic. 22.90 -2.553% -0.033428 0.001117 -0.000091 Dic. 3710.39 2.590% 0.002725 0.000007
Ene. 21.27 -7.118% -0.079076 0.006253 -0.001824 Ene. 3881.96 4.624% 0.023066 0.000532
Feb. 23.16 8.886% 0.080961 0.006555 0.002218 Feb. 4078.26 5.057% 0.027393 0.000750
Mar. 22.78 -1.641% -0.024304 0.000591 0.000083 Mar. 4158.85 1.976% -0.003413 0.000012
Abr. 21.35 -6.277% -0.070671 0.004994 0.004570 Abr. 3986.29 -4.149% -0.064667 0.004182
May. 21.38 0.141% -0.006491 0.000042 0.000250 May. 3925.34 -1.529% -0.038464 0.001479
Jun. 22.99 7.530% 0.067407 0.004544 0.000374 Jun. 4038.07 2.872% 0.005544 0.000031
2005
Jul. 23.53 2.349% 0.015592 0.000243 0.000306 Jul. 4210.83 4.278% 0.019609 0.000384
Ago. 24.81 5.440% 0.046502 0.002162 0.003350 Ago. 4611.76 9.521% 0.072040 0.005190
Set. 31.05 25.151% 0.243615 0.059348 0.018605 Set. 5070.83 9.954% 0.076369 0.005832
Oct. 26.26 -15.427% -0.162164 0.026297 0.013559 Oct. 4764.35 -6.044% -0.083614 0.006991
Nov. 28.02 6.702% 0.059126 0.003496 0.001980 Nov. 5034.30 5.666% 0.033486 0.001121
Dic. 28.30 0.999% 0.002096 0.000004 -0.000145 Dic. 4802.25 -4.609% -0.069268 0.004798
Ene. 27.72 -2.049% -0.028391 0.000806 -0.004257 Ene. 5633.51 17.310% 0.149924 0.022477
Feb. 25.92 -6.494% -0.072832 0.005304 -0.004093 Feb. 6080.68 7.938% 0.056202 0.003159
Mar. 24.69 -4.745% -0.055350 0.003064 0.002741 Mar. 5920.50 -2.634% -0.049517 0.002452
Abr. 30.39 23.086% 0.222966 0.049714 0.040869 Abr. 7142.92 20.647% 0.183298 0.033598
May. 25.77 -15.202% -0.159920 0.025574 0.002167 May. 7211.67 0.962% -0.013549 0.000184
Jun. 28.39 10.167% 0.093772 0.008793 0.010103 Jun. 8155.80 13.092% 0.107743 0.011608
2006
Jul. 29.11 2.536% 0.017465 0.000305 0.001347 Jul. 8973.69 10.028% 0.077109 0.005946
Ago. 27.95 -3.985% -0.047745 0.002280 -0.004418 Ago. 10011.95 11.570% 0.092526 0.008561
Set. 27.00 -3.399% -0.041886 0.001754 -0.000612 Set. 10390.34 3.779% 0.014620 0.000214
Oct. 25.85 -4.259% -0.050489 0.002549 -0.000308 Oct. 10694.54 2.928% 0.006103 0.000037
Nov. 28.54 10.406% 0.096165 0.009248 0.004856 Nov. 11482.41 7.367% 0.050496 0.002550
Dic. 28.06 -1.682% -0.024715 0.000611 -0.002444 Dic. 12884.20 12.208% 0.098907 0.009783
Ene. 28.91 3.029% 0.022396 0.000502 0.000784 Ene. 13633.78 5.818% 0.035004 0.001225
Feb. 27.71 -4.151% -0.049405 0.002441 -0.004352 Feb. 15150.74 11.126% 0.088091 0.007760
Mar. 29.95 8.084% 0.072941 0.005320 0.007948 Mar. 17152.82 13.214% 0.108970 0.011874
Abr. 32.58 8.781% 0.079916 0.006387 0.014557 Abr. 20674.78 20.533% 0.182154 0.033180
2007 May. 33.53 2.916% 0.021262 0.000452 -0.001054 May. 20129.50 -2.637% -0.049548 0.002455
Jun. 37.46 11.721% 0.109312 0.011949 0.009611 Jun. 22365.90 11.110% 0.087926 0.007731
Jul. 39.91 6.540% 0.057507 0.003307 0.001373 Jul. 23418.17 4.705% 0.023874 0.000570
Ago. 38.23 -4.209% -0.049991 0.002499 0.006649 Ago. 20846.26 -10.983% -0.133000 0.017689
Set 47.78 24.980% 0.241907 0.058519 0.005734 Set 21823.44 4.688% 0.023701 0.000562
Oct 57.41 20.155% 0.193652 0.037501 -0.005616 Oct 21696.27 -0.583% -0.029002 0.000841
Nov 55.83 -2.752% -0.035418 0.001254 0.006437 Nov 18255.97 -15.857% -0.181741 0.033030
Dic 56.60 1.379% 0.005895 0.000035 -0.000373 Dic 17524.79 -4.005% -0.063226 0.003998
Ene 67.03 18.428% 0.176379 0.031110 -0.029398 Ene 15009.98 -14.350% -0.166674 0.027780
Feb 76.03 13.427% 0.126372 0.015970 0.020283 Feb 17766.94 18.368% 0.160501 0.025761
Mar 68.50 -9.904% -0.106936 0.011435 0.004762 Mar 17387.47 -2.136% -0.044533 0.001983
Abr 63.50 -7.299% -0.080889 0.006543 0.001677 Abr 17429.94 0.244% -0.020732 0.000430
May 65.80 3.622% 0.028324 0.000802 -0.001143 May 17130.79 -1.716% -0.040337 0.001627
Jun 65.37 -0.653% -0.014431 0.000208 0.001039 Jun 16293.97 -4.885% -0.072023 0.005187
2008
Jul 26.91 -58.834% -0.596240 0.355502 0.106343 Jul 13765.45 -15.518% -0.178356 0.031811
Ago 23.20 -13.787% -0.145764 0.021247 0.008440 Ago 13287.42 -3.473% -0.057901 0.003353
Set 23.48 1.207% 0.004172 0.000017 -0.000737 Set 11248.42 -15.345% -0.176628 0.031197
Oct 12.64 -46.167% -0.469566 0.220492 0.185935 Oct 7055.04 -37.280% -0.395972 0.156793
Nov 18.00 42.405% 0.416154 0.173184 0.011028 Nov 7405.50 4.968% 0.026501 0.000702
Dic. 19.92 10.667% 0.098770 0.009756 -0.007048 Dic. 7048.67 -4.818% -0.071359 0.005092
Σ= Σ=
1.358666 0.592615
Xmedio: Media (Xi): 0.7897% Sumatoria X,Z 0.463613 Zmedio: Media (Zi): 2.317%
Varianza (Xi): 0.02303 Covarianza(X,Z): 0.007858 Varianza (Zi): 0.010044
Desv Estandar (Xi): 15.1751% Desv Estandar (Zi): 10.0221%

COV(ri ; rm)
BETA = 0.7823 #¡REF!
ơ^2

CREDICORP BVL GENERAL

Rentabilidad (Yi - Xmedio)* Rentabilidad


MES Cierre (Yi - Ymedio) (Yi - Ymedio)^2 MES Cierre (Zi - Zmedio) (Zi - Zmedio)^2
Yi (Zi - Zmedio) Zi

Dic. 13.35 Dic. 2435.04


Ene. 12.00 -10.112% -0.128747 0.016576 -0.012612 Ene. 2730.00 12.113% 0.097957 0.009596
Feb. 13.00 8.333% 0.055710 0.003104 -0.000921 Feb. 2748.11 0.663% -0.016541 0.000274
Mar. 12.86 -1.077% -0.038393 0.001474 -0.003128 Mar. 3035.72 10.466% 0.081483 0.006639
Abr. 12.81 -0.389% -0.031511 0.000993 0.002889 Abr. 2827.74 -6.851% -0.091685 0.008406
May. 12.52 -2.264% -0.050262 0.002526 -0.000596 May. 2926.83 3.504% 0.011868 0.000141
Jun. 13.00 3.834% 0.010715 0.000115 -0.000398 Jun. 2885.90 -1.398% -0.037159 0.001381
Jul. 12.68 -2.462% -0.052239 0.002729 0.002305 Jul. 2825.45 -2.095% -0.044121 0.001947
Ago. 13.50 6.467% 0.037045 0.001372 -0.000528 Ago. 2850.68 0.893% -0.014245 0.000203
Set. 14.04 4.000% 0.012377 0.000153 0.001572 Set. 3278.80 15.018% 0.127007 0.016131
Oct. 14.40 2.564% -0.001982 0.000004 -0.000115 Oct. 3545.37 8.130% 0.058127 0.003379
Nov. 15.20 5.556% 0.027932 0.000780 -0.000085 Nov. 3616.72 2.012% -0.003049 0.000009
Dic. 15.81 4.013% 0.012508 0.000156 0.000034 Dic. 3710.39 2.590% 0.002725 0.000007
Ene. 17.70 11.954% 0.091921 0.008450 0.002120 Ene. 3881.96 4.624% 0.023066 0.000532
Feb. 18.91 6.836% 0.040738 0.001660 0.001116 Feb. 4078.26 5.057% 0.027393 0.000750
Mar. 17.22 -8.937% -0.116994 0.013688 0.000399 Mar. 4158.85 1.976% -0.003413 0.000012
Abr. 17.35 0.755% -0.020074 0.000403 0.001298 Abr. 3986.29 -4.149% -0.064667 0.004182
May. 18.60 7.205% 0.044423 0.001973 -0.001709 May. 3925.34 -1.529% -0.038464 0.001479
Jun. 19.89 6.935% 0.041732 0.001742 0.000231 Jun. 4038.07 2.872% 0.005544 0.000031
Jul. 21.37 7.441% 0.046786 0.002189 0.000917 Jul. 4210.83 4.278% 0.019609 0.000384
Ago. 22.20 3.884% 0.011216 0.000126 0.000808 Ago. 4611.76 9.521% 0.072040 0.005190
Set. 28.57 28.694% 0.259314 0.067244 0.019804 Set. 5070.83 9.954% 0.076369 0.005832
Oct. 26.39 -7.630% -0.103927 0.010801 0.008690 Oct. 4764.35 -6.044% -0.083614 0.006991
Nov. 26.55 0.606% -0.021560 0.000465 -0.000722 Nov. 5034.30 5.666% 0.033486 0.001121
Dic. 22.79 -14.162% -0.169243 0.028643 0.011723 Dic. 4802.25 -4.609% -0.069268 0.004798
Ene. 29.80 30.759% 0.279968 0.078382 0.041974 Ene. 5633.51 17.310% 0.149924 0.022477
Feb. 29.90 0.336% -0.024268 0.000589 -0.001364 Feb. 6080.68 7.938% 0.056202 0.003159
Mar. 26.48 -11.438% -0.142005 0.020165 0.007032 Mar. 5920.50 -2.634% -0.049517 0.002452
Abr. 27.10 2.341% -0.004209 0.000018 -0.000772 Abr. 7142.92 20.647% 0.183298 0.033598
May. 26.20 -3.321% -0.060834 0.003701 0.000824 May. 7211.67 0.962% -0.013549 0.000184
Jun. 30.21 15.305% 0.125430 0.015733 0.013514 Jun. 8155.80 13.092% 0.107743 0.011608
Jul. 30.79 1.920% -0.008424 0.000071 -0.000650 Jul. 8973.69 10.028% 0.077109 0.005946
Ago. 37.20 20.818% 0.180561 0.032602 0.016707 Ago. 10011.95 11.570% 0.092526 0.008561
Set. 41.98 12.849% 0.100871 0.010175 0.001475 Set. 10390.34 3.779% 0.014620 0.000214
Oct. 42.20 0.524% -0.022383 0.000501 -0.000137 Oct. 10694.54 2.928% 0.006103 0.000037
Nov. 39.95 -5.332% -0.080941 0.006551 -0.004087 Nov. 11482.41 7.367% 0.050496 0.002550
Dic. 40.94 2.478% -0.002842 0.000008 -0.000281 Dic. 12884.20 12.208% 0.098907 0.009783
Ene. 42.22 3.127% 0.003642 0.000013 0.000127 Ene. 13633.78 5.818% 0.035004 0.001225
Feb. 47.85 13.335% 0.105726 0.011178 0.009313 Feb. 15150.74 11.126% 0.088091 0.007760
Mar. 48.73 1.839% -0.009232 0.000085 -0.001006 Mar. 17152.82 13.214% 0.108970 0.011874
Abr. 52.18 7.080% 0.043175 0.001864 0.007864 Abr. 20674.78 20.533% 0.182154 0.033180
May. 58.28 11.690% 0.089280 0.007971 -0.004424 May. 20129.50 -2.637% -0.049548 0.002455
Jun. 61.17 4.959% 0.021965 0.000482 0.001931 Jun. 22365.90 11.110% 0.087926 0.007731
Jul. 64.34 5.182% 0.024199 0.000586 0.000578 Jul. 23418.17 4.705% 0.023874 0.000570
Ago. 61.35 -4.647% -0.074095 0.005490 0.009855 Ago. 20846.26 -10.983% -0.133000 0.017689
Set 67.70 10.350% 0.075881 0.005758 0.001798 Set 21823.44 4.688% 0.023701 0.000562
Oct 74.33 9.793% 0.070309 0.004943 -0.002039 Oct 21696.27 -0.583% -0.029002 0.000841
Nov 71.19 -4.224% -0.069867 0.004881 0.012698 Nov 18255.97 -15.857% -0.181741 0.033030
Dic 76.30 7.178% 0.044156 0.001950 -0.002792 Dic 17524.79 -4.005% -0.063226 0.003998
Ene 71.72 -6.003% -0.087650 0.007682 0.014609 Ene 15009.98 -14.350% -0.166674 0.027780
Feb 74.33 3.639% 0.008768 0.000077 0.001407 Feb 17766.94 18.368% 0.160501 0.025761
Mar 71.74 -3.484% -0.062468 0.003902 0.002782 Mar 17387.47 -2.136% -0.044533 0.001983
Abr 80.55 12.280% 0.095181 0.009059 -0.001973 Abr 17429.94 0.244% -0.020732 0.000430
May 83.46 3.613% 0.008503 0.000072 -0.000343 May 17130.79 -1.716% -0.040337 0.001627
Jun 82.12 -1.606% -0.043679 0.001908 0.003146 Jun 16293.97 -4.885% -0.072023 0.005187
Jul 74.01 -9.876% -0.126381 0.015972 0.022541 Jul 13765.45 -15.518% -0.178356 0.031811
Ago 70.33 -4.972% -0.077346 0.005982 0.004478 Ago 13287.42 -3.473% -0.057901 0.003353
Set 62.25 -11.489% -0.142510 0.020309 0.025171 Set 11248.42 -15.345% -0.176628 0.031197
Oct 39.27 -36.916% -0.396780 0.157434 0.157114 Oct 7055.04 -37.280% -0.395972 0.156793
Nov 43.70 11.281% 0.085185 0.007257 0.002257 Nov 7405.50 4.968% 0.026501 0.000702
Dic. 49.96 14.325% 0.115626 0.013369 -0.008251 Dic. 7048.67 -4.818% -0.071359 0.005092
Σ= 0.624088 Σ= 0.592615
Ymedio: Media (Yi): 2.7623% Sumatoria Y,Z 0.364170 Zmedio: Media (Zi): 2.317%
Varianza (Yi): 0.01058 Covarianza(Y,Z): 0.006172 Varianza (Zi): 0.010044
Desv Estandar (Yi): 10.2848% Desv Estandar (Zi): 10.0221%

COV(ri ; rm)
BETA = 0.6145
ơ^2

BUENAVENTURA CREDICORP
Media (Xi): 0.7897% Media (Yi): 2.7623%
BETA (B): 0.7823 BETA (B): 0.6145

 Buenaventura tiene menor rentabilidad esperada y mayor Beta, sus datos se


relacionan más con el comportamiento del mercado.
 Credicorp tiene menor beta, su relación es menos volátil ante los cambios en las
condiciones macroeconómicas.

CAPM:

BUENAVENTURA CREDICORP

rf = 3.60% rf = 3.60%
Beta = 0.7823 Beta = 0.6145
Rm = 2.317% Rm = 2.317%
Re = 2.597% Re = 2.812%

BUENAVENTURA CREDICORP
R. ESPERADA 0.7897% R. ESPERADA 2.7623%
R. REQUERIDA 2.597% R. REQUERIDA 2.812%

 La rentabilidad esperada de Buenaventura es muy diferente a la rentabilidad


exigida por los inversionistas, la empresa no está funcionando correctamente.
 La rentabilidad esperada de Credicorp es casi igual a la rentabilidad exigida por
los inversionistas, la empresa ha ido funcionando correctamente.

4. Con los datos de las preguntas anteriores calcular el beta, la rentabilidad esperada y
la desviación estándar de los siguientes portafolios: (10 Puntos)

a. 30% Acción 1 y 70% Acción 2 (3 puntos)


b. 50% Acción 1 y 50% Acción 2 (3 puntos)
c. 70% Acción 1 y 30% Acción 2 (3 puntos)

Comente los resultados encontrados (1 punto)

BUENAVENTURA CREDICORP
R. ESPERADA 0.7897% 2.7623%

RIESGO 15.1751% 10.2848%

BETA 0.7823 0.6145

COVARIANZA 0.0075877685602

PORTAFOLIOS
PESOS
RENTABILIDAD RIESGO BETA
ACCION 1 ACCION 2

30% 70% 2.1705% 10.2189% 0.6649

50% 50% 1.7760% 11.0433% 0.6984

70% 30% 1.3815% 12.4188% 0.7320


 El primer portafolio tiene la mayor rentabilidad porque se invierte más en Credicorp que
tienen la mayor rentabilidad.
 El tercer portafolio tiene la menor rentabilidad porque se invierte más en Buenaventura.
 El tercer portafolio tiene el mayor riesgo ya que se invierte más en Buenaventura.
 El primer portafolio tiene el menor riesgo por invertir más en Credicorp.
 El primer portafolio tiene la menor beta por invertir más en Credicorp.
 El mejor portafolio para invertir sea cual sea el perfil, es el primero ya que posee mayor
rentabilidad con mucho menor riesgo, además de ser menos sensible ante cambios en las
condiciones macroeconómicas.