Ejercicio Desarrollo BVC Risk Simulstor

fecha Bancolomb Ecopetrol Grupo SURA Grupo ARGOS
09/01/2018 00:00:00 30700 2555 41300 20880

10/01/2018 00:00:00 30400 2535 40380 20600
11/01/2018 00:00:00 30000 2425 39980 20760
12/01/2018 00:00:00 30100 2375 39800 20780
15/01/2018 00:00:00 30280 2335 39580 20580
16/01/2018 00:00:00 31260 2420 40620 20800
17/01/2018 00:00:00 31160 2465 40660 20780
18/01/2018 00:00:00 31360 2475 40500 20780
19/01/2018 00:00:00 31000 2465 40800 20920
22/01/2018 00:00:00 30620 2590 40800 21000
23/01/2018 00:00:00 30980 2705 40940 21280
24/01/2018 00:00:00 31300 2800 41280 21320
25/01/2018 00:00:00 31840 2745 41100 21200
26/01/2018 00:00:00 32380 2760 41000 21120
29/01/2018 00:00:00 32360 2775 41600 21400
30/01/2018 00:00:00 32400 2700 41240 21300
31/01/2018 00:00:00 32520 2660 40120 20640
01/02/2018 00:00:00 32380 2770 40700 21200
02/02/2018 00:00:00 32100 2665 40800 21300
05/02/2018 00:00:00 31040 2485 39660 20920
06/02/2018 00:00:00 31100 2500 39600 20700
07/02/2018 00:00:00 31700 2430 40000 20500
08/02/2018 00:00:00 31220 2335 39300 20400
09/02/2018 00:00:00 31100 2445 38400 20040
12/02/2018 00:00:00 31680 2420 38300 20400
13/02/2018 00:00:00 31620 2385 38220 19900
14/02/2018 00:00:00 32140 2500 38360 20360
15/02/2018 00:00:00 31900 2490 38800 20200
16/02/2018 00:00:00 32060 2485 39500 20520
19/02/2018 00:00:00 31840 2480 39820 20340
20/02/2018 00:00:00 32100 2485 39400 20400
21/02/2018 00:00:00 32460 2475 39660 20600
22/02/2018 00:00:00 32400 2565 39500 20380
23/02/2018 00:00:00 32400 2625 39480 20340
26/02/2018 00:00:00 31760 2655 39500 20120
27/02/2018 00:00:00 31500 2630 39200 20160
28/02/2018 00:00:00 30160 2510 38420 19320
01/03/2018 00:00:00 30660 2480 38320 18760
02/03/2018 00:00:00 30540 2480 38100 18500
05/03/2018 00:00:00 31000 2510 38500 18940
06/03/2018 00:00:00 31120 2505 39000 19020
07/03/2018 00:00:00 31920 2450 38620 19200
08/03/2018 00:00:00 32100 2475 38660 19000
09/03/2018 00:00:00 32600 2505 38500 19060
12/03/2018 00:00:00 32600 2480 38740 18980
13/03/2018 00:00:00 32000 2505 38000 19000
14/03/2018 00:00:00 31540 2505 37800 18800
15/03/2018 00:00:00 31660 2535 37500 18740
16/03/2018 00:00:00 32200 2590 38000 19000
20/03/2018 00:00:00 31660 2670 37500 19100
21/03/2018 00:00:00 31680 2750 37720 19340
22/03/2018 00:00:00 31400 2620 37540 19260
23/03/2018 00:00:00 30400 2700 37660 19120
26/03/2018 00:00:00 30500 2775 37020 19360
27/03/2018 00:00:00 29700 2645 36580 19200
28/03/2018 00:00:00 30220 2615 37280 18820
02/04/2018 00:00:00 30780 2690 37640 19360
03/04/2018 00:00:00 31800 2730 38500 19380
04/04/2018 00:00:00 32240 2740 37820 19260
05/04/2018 00:00:00 32960 2740 38040 19360
06/04/2018 00:00:00 33080 2730 38000 19800
09/04/2018 00:00:00 33460 2745 38000 20200
10/04/2018 00:00:00 34100 2790 37980 20240
11/04/2018 00:00:00 33800 2980 38000 19840
12/04/2018 00:00:00 34100 2955 38000 19820
13/04/2018 00:00:00 33720 2835 38000 19600
16/04/2018 00:00:00 33560 2760 38000 19520
17/04/2018 00:00:00 34500 2870 38100 19740
18/04/2018 00:00:00 34700 2935 38340 19840
19/04/2018 00:00:00 34900 3030 38360 19900
20/04/2018 00:00:00 34200 3030 38400 19800
23/04/2018 00:00:00 34280 3085 38680 20020
24/04/2018 00:00:00 33880 3060 38720 20360
25/04/2018 00:00:00 33160 3045 38680 19940
26/04/2018 00:00:00 33500 3010 38760 19880
27/04/2018 00:00:00 34000 3070 38980 20120
30/04/2018 00:00:00 33200 3100 38980 20000
Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

Bancolomb 1
Ecopetrol 0.29740779 1
Grupo SURA 0.43856728 0.3293156 1
Grupo ARGOS 0.41266611 0.3538672 0.43880062 1
Matriz de covar
Bancolomb 0.00023544 0.00012001 7.2775E-05 8.619755E-05
Ecopetrol 0.00012001 0.0006916 9.3658E-05 0.0001266838
Grupo SURA 7.2775E-05 9.3658E-05 0.00011695 6.4599376E-05
Grupo ARGOS 8.6198E-05 0.00012668 6.4599E-05 0.0001853142
Tasa libre de riesgo año 0.85%

Tasa libre de riesgo diaria 0.00232%
-0.9820% -0.7859% -2.2528% -1.3501%
-1.3245% -4.4362% -0.9955% 0.7737%
0.3328% -2.0834% -0.4512% 0.0963%
0.5962% -1.6986% -0.5543% -0.9671%
3.1852% 3.5756% 2.5937% 1.0633%
-0.3204% 1.8424% 0.0984% -0.0962%
0.6398% 0.4049% -0.3943% 0.0000%
-1.1546% -0.4049% 0.7380% 0.6715%
-1.2334% 4.9466% 0.0000% 0.3817%
1.1688% 4.3444% 0.3425% 1.3245%
1.0276% 3.4518% 0.8271% 0.1878%
1.7105% -1.9838% -0.4370% -0.5644%
1.6818% 0.5450% -0.2436% -0.3781%
-0.0618% 0.5420% 1.4528% 1.3170%
0.1235% -2.7399% -0.8692% -0.4684%
0.3697% -1.4926% -2.7534% -3.1476%
-0.4314% 4.0521% 1.4353% 2.6770%
-0.8685% -3.8643% 0.2454% 0.4706%
-3.3579% -6.9931% -2.8339% -1.8001%
0.1931% 0.6018% -0.1514% -1.0572%
1.9109% -2.8399% 1.0050% -0.9709%
-1.5258% -3.9879% -1.7655% -0.4890%
-0.3851% 4.6033% -2.3167% -1.7805%
1.8478% -1.0278% -0.2608% 1.7805%
-0.1896% -1.4568% -0.2091% -2.4815%
1.6312% 4.7092% 0.3656% 2.2852%
-0.7495% -0.4008% 1.1405% -0.7890%
0.5003% -0.2010% 1.7880% 1.5717%
-0.6886% -0.2014% 0.8069% -0.8811%
0.8133% 0.2014% -1.0603% 0.2946%
1.1153% -0.4032% 0.6577% 0.9756%
-0.1850% 3.5718% -0.4042% -1.0737%
0.0000% 2.3122% -0.0506% -0.1965%
-1.9951% 1.1364% 0.0506% -1.0875%
-0.8220% -0.9461% -0.7624% 0.1986%
-4.3471% -4.6701% -2.0099% -4.2560%
1.6442% -1.2024% -0.2606% -2.9414%
-0.3922% 0.0000% -0.5758% -1.3956%
1.4950% 1.2024% 1.0444% 2.3505%
0.3863% -0.1994% 1.2903% 0.4215%
2.5382% -2.2201% -0.9791% 0.9419%
0.5623% 1.0152% 0.1035% -1.0471%
1.5456% 1.2048% -0.4147% 0.3153%
0.0000% -1.0030% 0.6214% -0.4206%
-1.8576% 1.0030% -1.9286% 0.1053%
-1.4479% 0.0000% -0.5277% -1.0582%
0.3797% 1.1905% -0.7968% -0.3197%
1.6912% 2.1464% 1.3245% 1.3779%
-1.6912% 3.0421% -1.3245% 0.5249%
0.0632% 2.9522% 0.5850% 1.2487%
-0.8878% -4.8427% -0.4783% -0.4145%
-3.2365% 3.0077% 0.3191% -0.7295%
0.3284% 2.7399% -1.7140% 1.2474%
-2.6580% -4.7980% -1.1957% -0.8299%
1.7357% -1.1407% 1.8955% -1.9990%
1.8361% 2.8277% 0.9610% 2.8289%
3.2601% 1.4760% 2.2591% 0.1033%
1.3742% 0.3656% -1.7820% -0.6211%
2.2087% 0.0000% 0.5800% 0.5179%
0.3634% -0.3656% -0.1052% 2.2473%
1.1422% 0.5479% 0.0000% 2.0001%
1.8947% 1.6261% -0.0526% 0.1978%
-0.8837% 6.5882% 0.0526% -1.9961%
0.8837% -0.8425% 0.0000% -0.1009%
-1.1206% -4.1457% 0.0000% -1.1162%
-0.4756% -2.6811% 0.0000% -0.4090%
2.7624% 3.9081% 0.2628% 1.1207%
0.5780% 2.2395% 0.6279% 0.5053%
0.5747% 3.1855% 0.0522% 0.3020%
-2.0261% 0.0000% 0.1042% -0.5038%
0.2336% 1.7989% 0.7265% 1.1050%
-1.1737% -0.8137% 0.1034% 1.6840%
-2.1481% -0.4914% -0.1034% -2.0844%
1.0201% -1.1561% 0.2066% -0.3014%
1.4815% 1.9737% 0.5660% 1.2000%
-2.3811% 0.9725% 0.0000% -0.5982%
Rentabilidad esperado 0.103% 0.254% -0.076% -0.057%
Riesgo volatilidad 1.545% 2.647% 1.089% 1.370%
Riesgo Relativo 14.99 10.41 14.31 24.19
Participación o ponderación 25% 25% 25% 25%
Limite Inferior 0.00% 0.00% 0.00% 0.00%
Limite Superior 100.00% 100.00% 100.00% 100.00%
Riesgo de Portafolio 1.214%

Rentabilidad de Portafolio 0.0562%
Índice de Sharpe 4.44%
100%
09/01/2018 00:00:00 30700 2555 41300 20880
10/01/2018 00:00:00 30400 2535 40380 20600
11/01/2018 00:00:00 30000 2425 39980 20760
12/01/2018 00:00:00 30100 2375 39800 20780
15/01/2018 00:00:00 30280 2335 39580 20580
16/01/2018 00:00:00 31260 2420 40620 20800
17/01/2018 00:00:00 31160 2465 40660 20780
18/01/2018 00:00:00 31360 2475 40500 20780
19/01/2018 00:00:00 31000 2465 40800 20920
22/01/2018 00:00:00 30620 2590 40800 21000
23/01/2018 00:00:00 30980 2705 40940 21280
24/01/2018 00:00:00 31300 2800 41280 21320
25/01/2018 00:00:00 31840 2745 41100 21200
26/01/2018 00:00:00 32380 2760 41000 21120
29/01/2018 00:00:00 32360 2775 41600 21400
30/01/2018 00:00:00 32400 2700 41240 21300
31/01/2018 00:00:00 32520 2660 40120 20640
01/02/2018 00:00:00 32380 2770 40700 21200
02/02/2018 00:00:00 32100 2665 40800 21300
05/02/2018 00:00:00 31040 2485 39660 20920
06/02/2018 00:00:00 31100 2500 39600 20700
07/02/2018 00:00:00 31700 2430 40000 20500
08/02/2018 00:00:00 31220 2335 39300 20400
09/02/2018 00:00:00 31100 2445 38400 20040
12/02/2018 00:00:00 31680 2420 38300 20400
13/02/2018 00:00:00 31620 2385 38220 19900
14/02/2018 00:00:00 32140 2500 38360 20360
15/02/2018 00:00:00 31900 2490 38800 20200
16/02/2018 00:00:00 32060 2485 39500 20520
19/02/2018 00:00:00 31840 2480 39820 20340
20/02/2018 00:00:00 32100 2485 39400 20400
21/02/2018 00:00:00 32460 2475 39660 20600
22/02/2018 00:00:00 32400 2565 39500 20380
23/02/2018 00:00:00 32400 2625 39480 20340
26/02/2018 00:00:00 31760 2655 39500 20120
27/02/2018 00:00:00 31500 2630 39200 20160
28/02/2018 00:00:00 30160 2510 38420 19320
01/03/2018 00:00:00 30660 2480 38320 18760
02/03/2018 00:00:00 30540 2480 38100 18500
05/03/2018 00:00:00 31000 2510 38500 18940
06/03/2018 00:00:00 31120 2505 39000 19020
07/03/2018 00:00:00 31920 2450 38620 19200
08/03/2018 00:00:00 32100 2475 38660 19000
09/03/2018 00:00:00 32600 2505 38500 19060
12/03/2018 00:00:00 32600 2480 38740 18980
13/03/2018 00:00:00 32000 2505 38000 19000
14/03/2018 00:00:00 31540 2505 37800 18800
15/03/2018 00:00:00 31660 2535 37500 18740
16/03/2018 00:00:00 32200 2590 38000 19000
20/03/2018 00:00:00 31660 2670 37500 19100
21/03/2018 00:00:00 31680 2750 37720 19340
22/03/2018 00:00:00 31400 2620 37540 19260
23/03/2018 00:00:00 30400 2700 37660 19120
26/03/2018 00:00:00 30500 2775 37020 19360
27/03/2018 00:00:00 29700 2645 36580 19200
28/03/2018 00:00:00 30220 2615 37280 18820
02/04/2018 00:00:00 30780 2690 37640 19360
03/04/2018 00:00:00 31800 2730 38500 19380
04/04/2018 00:00:00 32240 2740 37820 19260
05/04/2018 00:00:00 32960 2740 38040 19360
06/04/2018 00:00:00 33080 2730 38000 19800
09/04/2018 00:00:00 33460 2745 38000 20200
10/04/2018 00:00:00 34100 2790 37980 20240
11/04/2018 00:00:00 33800 2980 38000 19840
12/04/2018 00:00:00 34100 2955 38000 19820
13/04/2018 00:00:00 33720 2835 38000 19600
16/04/2018 00:00:00 33560 2760 38000 19520
17/04/2018 00:00:00 34500 2870 38100 19740
18/04/2018 00:00:00 34700 2935 38340 19840
19/04/2018 00:00:00 34900 3030 38360 19900
20/04/2018 00:00:00 34200 3030 38400 19800
23/04/2018 00:00:00 34280 3085 38680 20020
24/04/2018 00:00:00 33880 3060 38720 20360
25/04/2018 00:00:00 33160 3045 38680 19940
26/04/2018 00:00:00 33500 3010 38760 19880
27/04/2018 00:00:00 34000 3070 38980 20120
30/04/2018 00:00:00 33200 3100 38980 20000

Bancolomb 1
Grupo SURA 0.43856728 0.3293156 1
Grupo ARGOS 0.41266611 0.3538672 0.43880062 1
Matriz de covar
Bancolomb 0.00023544 0.00012001 7.2775E-05 8.619755E-05
Ecopetrol 0.00012001 0.0006916 9.3658E-05 0.0001266838
Grupo SURA 7.2775E-05 9.3658E-05 0.00011695 6.4599376E-05
Grupo ARGOS 8.6198E-05 0.00012668 6.4599E-05 0.0001853142

-0.9820% -0.7859% -2.2528% -1.3501%
-1.3245% -4.4362% -0.9955% 0.7737%
0.3328% -2.0834% -0.4512% 0.0963%
0.5962% -1.6986% -0.5543% -0.9671%
3.1852% 3.5756% 2.5937% 1.0633%
-0.3204% 1.8424% 0.0984% -0.0962%
0.6398% 0.4049% -0.3943% 0.0000%
-1.1546% -0.4049% 0.7380% 0.6715%
-1.2334% 4.9466% 0.0000% 0.3817%
1.1688% 4.3444% 0.3425% 1.3245%
1.0276% 3.4518% 0.8271% 0.1878%
1.7105% -1.9838% -0.4370% -0.5644%
1.6818% 0.5450% -0.2436% -0.3781%
-0.0618% 0.5420% 1.4528% 1.3170%
0.1235% -2.7399% -0.8692% -0.4684%
0.3697% -1.4926% -2.7534% -3.1476%
-0.4314% 4.0521% 1.4353% 2.6770%
-0.8685% -3.8643% 0.2454% 0.4706%
-3.3579% -6.9931% -2.8339% -1.8001%
0.1931% 0.6018% -0.1514% -1.0572%
1.9109% -2.8399% 1.0050% -0.9709%
-1.5258% -3.9879% -1.7655% -0.4890%
-0.3851% 4.6033% -2.3167% -1.7805%
1.8478% -1.0278% -0.2608% 1.7805%
-0.1896% -1.4568% -0.2091% -2.4815%
1.6312% 4.7092% 0.3656% 2.2852%
-0.7495% -0.4008% 1.1405% -0.7890%
0.5003% -0.2010% 1.7880% 1.5717%
-0.6886% -0.2014% 0.8069% -0.8811%
0.8133% 0.2014% -1.0603% 0.2946%
1.1153% -0.4032% 0.6577% 0.9756%
-0.1850% 3.5718% -0.4042% -1.0737%
0.0000% 2.3122% -0.0506% -0.1965%
-1.9951% 1.1364% 0.0506% -1.0875%
-0.8220% -0.9461% -0.7624% 0.1986%
-4.3471% -4.6701% -2.0099% -4.2560%
1.6442% -1.2024% -0.2606% -2.9414%
-0.3922% 0.0000% -0.5758% -1.3956%
1.4950% 1.2024% 1.0444% 2.3505%
0.3863% -0.1994% 1.2903% 0.4215%
2.5382% -2.2201% -0.9791% 0.9419%
0.5623% 1.0152% 0.1035% -1.0471%
1.5456% 1.2048% -0.4147% 0.3153%
0.0000% -1.0030% 0.6214% -0.4206%
-1.8576% 1.0030% -1.9286% 0.1053%
-1.4479% 0.0000% -0.5277% -1.0582%
0.3797% 1.1905% -0.7968% -0.3197%
1.6912% 2.1464% 1.3245% 1.3779%
-1.6912% 3.0421% -1.3245% 0.5249%
0.0632% 2.9522% 0.5850% 1.2487%
-0.8878% -4.8427% -0.4783% -0.4145%
-3.2365% 3.0077% 0.3191% -0.7295%
0.3284% 2.7399% -1.7140% 1.2474%
-2.6580% -4.7980% -1.1957% -0.8299%
1.7357% -1.1407% 1.8955% -1.9990%
1.8361% 2.8277% 0.9610% 2.8289%
3.2601% 1.4760% 2.2591% 0.1033%
1.3742% 0.3656% -1.7820% -0.6211%
2.2087% 0.0000% 0.5800% 0.5179%
0.3634% -0.3656% -0.1052% 2.2473%
1.1422% 0.5479% 0.0000% 2.0001%
1.8947% 1.6261% -0.0526% 0.1978%
-0.8837% 6.5882% 0.0526% -1.9961%
0.8837% -0.8425% 0.0000% -0.1009%
-1.1206% -4.1457% 0.0000% -1.1162%
-0.4756% -2.6811% 0.0000% -0.4090%
2.7624% 3.9081% 0.2628% 1.1207%
0.5780% 2.2395% 0.6279% 0.5053%
0.5747% 3.1855% 0.0522% 0.3020%
-2.0261% 0.0000% 0.1042% -0.5038%
0.2336% 1.7989% 0.7265% 1.1050%
-1.1737% -0.8137% 0.1034% 1.6840%
-2.1481% -0.4914% -0.1034% -2.0844%
1.0201% -1.1561% 0.2066% -0.3014%
1.4815% 1.9737% 0.5660% 1.2000%
-2.3811% 0.9725% 0.0000% -0.5982%
Riesgo Relativo 14.99 10.41 14.31 24.19
Limite Inferior 0% 0% 0% 0%
Limite Superior 100% 100% 100% 100%

100%
Ajuste de Distribución de Variables Múltiples
Resumen Estadístico
Nombre de la Variable Bancolomb Nombre de la Variable Ecopetrol Nombre de la Variable Grupo SURA
Mejor Supuesto Ajustado 0.00 Mejor Supuesto Ajustado 0.00 Mejor Supuesto Ajustado 0.00
Distribución Ajustada Coseno Distribución Ajustada Logística Distribución Ajustada Laplace

Mínimo -0.03 Alfa 0.00 Alfa 0.00
Máximo 0.03 Beta 0.02 Beta 0.01
Estadístico Kolmogorov-Smirnov 0.05 Estadístico Kolmogorov-Smirnov 0.05 Estadístico Kolmogorov-Smirnov 0.06

Prueba Estadística de P-Value 0.9939 Prueba Estadística de P-Value 0.9912 Prueba Estadística de P-Value 0.9482
Real Teórica Real Teórica Real Teórica

Media 0.00 0.00 Media 0.00 0.00 Media 0.00 0.00
Desviación Estándar 0.02 0.01 Desviación Estándar 0.03 0.03 Desviación Estándar 0.01 0.01
Asimetría -0.40 0.00 Asimetría -0.21 0.00 Asimetría -0.30 0.00
Curtósis 0.10 -0.59 Curtósis 0.05 1.20 Curtósis 0.47 3.00
Nombre de la Variable rupo ARGOS

Mejor Supuesto Ajustado 0.00
Distribución Ajustada Logística

Alfa 0.00
Beta 0.01
Estadístico Kolmogorov-Smirnov 0.05

Prueba Estadística de P-Value 0.9890
Real Teórica
Media 0.00 0.00
Desviación Estándar 0.01 0.01
Asimetría -0.31 0.00
Curtósis 0.46 1.20
Matriz de Correlación

Bancolomb 1
Ecopetrol 0.2974 1
Grupo SUR 0.4386 0.3293 1
Grupo ARG 0.4127 0.3539 0.4388 1
09/01/2018 00:00:00 30700 2555 41300 20880
10/01/2018 00:00:00 30400 2535 40380 20600
11/01/2018 00:00:00 30000 2425 39980 20760
12/01/2018 00:00:00 30100 2375 39800 20780
15/01/2018 00:00:00 30280 2335 39580 20580
16/01/2018 00:00:00 31260 2420 40620 20800
17/01/2018 00:00:00 31160 2465 40660 20780
18/01/2018 00:00:00 31360 2475 40500 20780
19/01/2018 00:00:00 31000 2465 40800 20920
22/01/2018 00:00:00 30620 2590 40800 21000
23/01/2018 00:00:00 30980 2705 40940 21280
24/01/2018 00:00:00 31300 2800 41280 21320
25/01/2018 00:00:00 31840 2745 41100 21200
26/01/2018 00:00:00 32380 2760 41000 21120
29/01/2018 00:00:00 32360 2775 41600 21400
30/01/2018 00:00:00 32400 2700 41240 21300
31/01/2018 00:00:00 32520 2660 40120 20640
01/02/2018 00:00:00 32380 2770 40700 21200
02/02/2018 00:00:00 32100 2665 40800 21300
05/02/2018 00:00:00 31040 2485 39660 20920
06/02/2018 00:00:00 31100 2500 39600 20700
07/02/2018 00:00:00 31700 2430 40000 20500
08/02/2018 00:00:00 31220 2335 39300 20400
09/02/2018 00:00:00 31100 2445 38400 20040
12/02/2018 00:00:00 31680 2420 38300 20400
13/02/2018 00:00:00 31620 2385 38220 19900
14/02/2018 00:00:00 32140 2500 38360 20360
15/02/2018 00:00:00 31900 2490 38800 20200
16/02/2018 00:00:00 32060 2485 39500 20520
19/02/2018 00:00:00 31840 2480 39820 20340
20/02/2018 00:00:00 32100 2485 39400 20400
21/02/2018 00:00:00 32460 2475 39660 20600
22/02/2018 00:00:00 32400 2565 39500 20380
23/02/2018 00:00:00 32400 2625 39480 20340
26/02/2018 00:00:00 31760 2655 39500 20120
27/02/2018 00:00:00 31500 2630 39200 20160
28/02/2018 00:00:00 30160 2510 38420 19320
01/03/2018 00:00:00 30660 2480 38320 18760
02/03/2018 00:00:00 30540 2480 38100 18500
05/03/2018 00:00:00 31000 2510 38500 18940
06/03/2018 00:00:00 31120 2505 39000 19020
07/03/2018 00:00:00 31920 2450 38620 19200
08/03/2018 00:00:00 32100 2475 38660 19000
09/03/2018 00:00:00 32600 2505 38500 19060
12/03/2018 00:00:00 32600 2480 38740 18980
13/03/2018 00:00:00 32000 2505 38000 19000
14/03/2018 00:00:00 31540 2505 37800 18800
15/03/2018 00:00:00 31660 2535 37500 18740
16/03/2018 00:00:00 32200 2590 38000 19000
20/03/2018 00:00:00 31660 2670 37500 19100
21/03/2018 00:00:00 31680 2750 37720 19340
22/03/2018 00:00:00 31400 2620 37540 19260
23/03/2018 00:00:00 30400 2700 37660 19120
26/03/2018 00:00:00 30500 2775 37020 19360
27/03/2018 00:00:00 29700 2645 36580 19200
28/03/2018 00:00:00 30220 2615 37280 18820
02/04/2018 00:00:00 30780 2690 37640 19360
03/04/2018 00:00:00 31800 2730 38500 19380
04/04/2018 00:00:00 32240 2740 37820 19260
05/04/2018 00:00:00 32960 2740 38040 19360
06/04/2018 00:00:00 33080 2730 38000 19800
09/04/2018 00:00:00 33460 2745 38000 20200
10/04/2018 00:00:00 34100 2790 37980 20240
11/04/2018 00:00:00 33800 2980 38000 19840
12/04/2018 00:00:00 34100 2955 38000 19820
13/04/2018 00:00:00 33720 2835 38000 19600
16/04/2018 00:00:00 33560 2760 38000 19520
17/04/2018 00:00:00 34500 2870 38100 19740
18/04/2018 00:00:00 34700 2935 38340 19840
19/04/2018 00:00:00 34900 3030 38360 19900
20/04/2018 00:00:00 34200 3030 38400 19800
23/04/2018 00:00:00 34280 3085 38680 20020
24/04/2018 00:00:00 33880 3060 38720 20360
25/04/2018 00:00:00 33160 3045 38680 19940
26/04/2018 00:00:00 33500 3010 38760 19880
27/04/2018 00:00:00 34000 3070 38980 20120
30/04/2018 00:00:00 33200 3100 38980 20000

Bancolomb 1
Grupo SURA 0.43856728 0.3293156 1
Grupo ARGOS 0.41266611 0.3538672 0.43880062 1
Matriz de covar
Bancolomb 0.00023544 0.00012001 7.2775E-05 8.619755E-05
Ecopetrol 0.00012001 0.0006916 9.3658E-05 0.0001266838
Grupo SURA 7.2775E-05 9.3658E-05 0.00011695 6.4599376E-05
Grupo ARGOS 8.6198E-05 0.00012668 6.4599E-05 0.0001853142

-0.9820% -0.7859% -2.2528% -1.3501%
-1.3245% -4.4362% -0.9955% 0.7737%
0.3328% -2.0834% -0.4512% 0.0963%
0.5962% -1.6986% -0.5543% -0.9671%
3.1852% 3.5756% 2.5937% 1.0633%
-0.3204% 1.8424% 0.0984% -0.0962%
0.6398% 0.4049% -0.3943% 0.0000%
-1.1546% -0.4049% 0.7380% 0.6715%
-1.2334% 4.9466% 0.0000% 0.3817%
1.1688% 4.3444% 0.3425% 1.3245%
1.0276% 3.4518% 0.8271% 0.1878%
1.7105% -1.9838% -0.4370% -0.5644%
1.6818% 0.5450% -0.2436% -0.3781%
-0.0618% 0.5420% 1.4528% 1.3170%
0.1235% -2.7399% -0.8692% -0.4684%
0.3697% -1.4926% -2.7534% -3.1476%
-0.4314% 4.0521% 1.4353% 2.6770%
-0.8685% -3.8643% 0.2454% 0.4706%
-3.3579% -6.9931% -2.8339% -1.8001%
0.1931% 0.6018% -0.1514% -1.0572%
1.9109% -2.8399% 1.0050% -0.9709%
-1.5258% -3.9879% -1.7655% -0.4890%
-0.3851% 4.6033% -2.3167% -1.7805%
1.8478% -1.0278% -0.2608% 1.7805%
-0.1896% -1.4568% -0.2091% -2.4815%
1.6312% 4.7092% 0.3656% 2.2852%
-0.7495% -0.4008% 1.1405% -0.7890%
0.5003% -0.2010% 1.7880% 1.5717%
-0.6886% -0.2014% 0.8069% -0.8811%
0.8133% 0.2014% -1.0603% 0.2946%
1.1153% -0.4032% 0.6577% 0.9756%
-0.1850% 3.5718% -0.4042% -1.0737%
0.0000% 2.3122% -0.0506% -0.1965%
-1.9951% 1.1364% 0.0506% -1.0875%
-0.8220% -0.9461% -0.7624% 0.1986%
-4.3471% -4.6701% -2.0099% -4.2560%
1.6442% -1.2024% -0.2606% -2.9414%
-0.3922% 0.0000% -0.5758% -1.3956%
1.4950% 1.2024% 1.0444% 2.3505%
0.3863% -0.1994% 1.2903% 0.4215%
2.5382% -2.2201% -0.9791% 0.9419%
0.5623% 1.0152% 0.1035% -1.0471%
1.5456% 1.2048% -0.4147% 0.3153%
0.0000% -1.0030% 0.6214% -0.4206%
-1.8576% 1.0030% -1.9286% 0.1053%
-1.4479% 0.0000% -0.5277% -1.0582%
0.3797% 1.1905% -0.7968% -0.3197%
1.6912% 2.1464% 1.3245% 1.3779%
-1.6912% 3.0421% -1.3245% 0.5249%
0.0632% 2.9522% 0.5850% 1.2487%
-0.8878% -4.8427% -0.4783% -0.4145%
-3.2365% 3.0077% 0.3191% -0.7295%
0.3284% 2.7399% -1.7140% 1.2474%
-2.6580% -4.7980% -1.1957% -0.8299%
1.7357% -1.1407% 1.8955% -1.9990%
1.8361% 2.8277% 0.9610% 2.8289%
3.2601% 1.4760% 2.2591% 0.1033%
1.3742% 0.3656% -1.7820% -0.6211%
2.2087% 0.0000% 0.5800% 0.5179%
0.3634% -0.3656% -0.1052% 2.2473%
1.1422% 0.5479% 0.0000% 2.0001%
1.8947% 1.6261% -0.0526% 0.1978%
-0.8837% 6.5882% 0.0526% -1.9961%
0.8837% -0.8425% 0.0000% -0.1009%
-1.1206% -4.1457% 0.0000% -1.1162%
-0.4756% -2.6811% 0.0000% -0.4090%
2.7624% 3.9081% 0.2628% 1.1207%
0.5780% 2.2395% 0.6279% 0.5053%
0.5747% 3.1855% 0.0522% 0.3020%
-2.0261% 0.0000% 0.1042% -0.5038%
0.2336% 1.7989% 0.7265% 1.1050%
-1.1737% -0.8137% 0.1034% 1.6840%
-2.1481% -0.4914% -0.1034% -2.0844%
1.0201% -1.1561% 0.2066% -0.3014%
1.4815% 1.9737% 0.5660% 1.2000%
-2.3811% 0.9725% 0.0000% -0.5982%
Riesgo Relativo 14.99 10.41 14.31 24.19
Limite Inferior 0.00% 0.00% 0.00% 0.00%
Limite Superior 100.00% 100.00% 100.00% 100.00%

100%

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fecha Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

09/01/2018 00:00:00 30700 2555 41300 20880

Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

Tasa libre de riesgo año 0.85%

Riesgo de Portafolio 1.214%

Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

Tasa libre de riesgo año 0.85%

Riesgo de Portafolio 1.7719%

Distribución Ajustada Coseno Distribución Ajustada Logística Distribución Ajustada Laplace

Estadístico Kolmogorov-Smirnov 0.05 Estadístico Kolmogorov-Smirnov 0.05 Estadístico Kolmogorov-Smirnov 0.06

Real Teórica Real Teórica Real Teórica

Nombre de la Variable rupo ARGOS

Distribución Ajustada Logística

Estadístico Kolmogorov-Smirnov 0.05

Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

Bancolomb Ecopetrol Grupo SURA Grupo ARGOS

Tasa libre de riesgo año 0.85%

Riesgo de Portafolio 1.214%

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