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DATE S&P 500 % S&P 500 RBS % RBS

1 2003.37 12.04
2 1972.29 -1.564% 11.93 -0.00918
3 2018.05 2.294% 12.43 0.04106
4 2067.56 2.424% 12.34 -0.00727
5 2058.9 -0.420% 12.11 -0.01881
6 1994.99 -3.153% 10.86 -0.10895
7 2104.5 5.344% 11.29 0.03883
8 2067.89 -1.755% 10.09 -0.11237
9 2085.51 0.848% 10.34 0.02448
10 2107.39 1.044% 10.64 0.02860
11 2063.11 -2.124% 11.07 0.03962
12 2103.84 1.955% 10.66 -0.03774
13 2096.92 -0.329% 10.62 -0.00376

Rendimiento Proyectado a un mes CAPM


RBS - 4.66%
NGB - 19.17%
NBK - 8.52%
S&P500 5% -

CAPM Portafolio Optimizado 18.92%

Restricciones
Inversión 100.00% 100%
Varianza Ponderada 4.280% 4.217%
Inversión Mínima RBS 1%
NGB 1%
BK 1%
NGB % NGB BK % BK
3.43 38.51 MEDIA
3.01 -13.062% 38.07 -1.149% VAR
2.43 -21.405% 38.24 0.446% DESVEST
2.33 -4.202% 39.53 3.318% COEF CORR S&P y ACCIÓN
1.79 -26.365% 40.06 1.332% % DE INVERSIÓN
1.1 -48.691% 35.72 -11.467%
1.57 35.577% 38.83 8.348%
1.28 -20.422% 39.92 2.768%
1.46 13.158% 42.18 5.507%
1.32 -10.080% 43.19 2.366%
1.05 -22.884% 41.81 -3.247%
0.91 -14.310% 43.4 3.732%
0.8 -12.883% 44.35 2.165%

RIESGO MATRICIAL PORTAFOLIO


S&P 500 RBS NGB BK
0.380% -1.0457952% -12.131% 1.177%
0.00058045 0.00284490 4.362% 0.247%
0.02409255 0.053337567 0.2088575 0.0496918
0.55798 0.78151 0.77046
1.00% 98.00% 1.00%

3X3 3X1
RBS NGB BK 1.00%
RBS 0.284% 0.0057848 0.0010954 98.00%
NGB 0.005784822 4.362% 0.0080675 1.00%
BK 0.001095382 0.0080675 0.247%
3X1
0.0057085
0.0428875
0.0079418
1X3
1.00% 98.00% 1.00%

0.04216628
Resumen

Estadísticas de la regresión
Coeficiente de correlación múltiple 0.557975781774181
Coeficiente de determinación R^2 0.311336973046509
R^2 ajustado 0.24247067035116
Error típico 0.046422970759715
Observaciones 12

ANÁLISIS DE VARIANZA
Grados de libertad Suma de cuadrados
Regresión 1 0.009742934647734
Residuos 10 0.021550922141573
Total 11 0.031293856789307

Coeficientes Error típico


Intercepción -0.015156017731357 0.013582091259865
Variable X 1 1.23528095917094 0.58097009957711

1 0.001279748234723 1.6377555442776E-06
2 0.051514621418369 0.002653756219878
3 0.003191064960196 1.0182895580188E-05
4 -0.008356508906667 6.9831241107211E-05
5 -0.098487291053638 0.009699746499084
6 0.049289015661355 0.002429407064865
7 -0.101914591790479 0.01038658401982
8 0.034932986720339 0.001220313561203
9 0.039058566838789 0.0015255716435
10 0.050076214812621 0.00250762728996
11 -0.027282375977274 0.000744328038965
12 0.006698549081668 4.4870559799511E-05
Total -1.21430643318E-17 0.031293856789307
0.557975781774181 1.235280959171
0.311336973046509
0.046422970759715
-0.015156017731357

Promedio de los cuadrados F Valor crítico de F


0.009742934647734 4.5208899108 0.059396405395
0.002155092214157

Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%


-1.11588248388103 0.2905686424 -0.0454188029587 0.0151067675 -0.045418803
2.12623844165148 0.0593964054 -0.0592010915392 2.5297630099 -0.0592010915

-0.0091782038 0.0012797482347 1.6377555E-06


0.0410566694 0.0515146214184 0.0026537562
-0.007266887 0.0031910649602 1.0182896E-05
-0.0188144609 -0.0083565089067 6.9831241E-05
-0.1089452431 -0.0984872910536 0.0096997465
0.0388310637 0.0492890156614 0.0024294071
-0.1123725438 -0.1019145917905 0.010386584
0.0244750347 0.0349329867203 0.0012203136
0.0286006148 0.0390585668388 0.0015255716
0.0396182628 0.0500762148126 0.0025076273
-0.037740328 -0.0272823759773 0.000744328
-0.0037594029 0.0066985490817 4.487056E-05
Promedio -0.010457952 0.0312938568
Superior 95,0%
0.015106767496
2.529763009881
Resumen

Estadísticas de la regresión
Coeficiente de correlación múltiple 0.781505056775726
Coeficiente de determinación R^2 0.610750153766031
R^2 ajustado 0.571825169142634
Error típico 0.136666021598078
Observaciones 12

ANÁLISIS DE VARIANZA
Grados de libertad Suma de cuadrados
Regresión 1 0.293059793695609
Residuos 10 0.186776014594463
Total 11 0.479835808290071

Coeficientes Error típico


Intercepción -0.14707496612631 0.039984739173102
Variable X 1 6.77483889554819 1.71033587203222
0.039452082179363

Promedio de los cuadrados F Valor crítico de F


0.293059793695609 15.690440463 0.0026815985702
0.018677601459446

Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%


-3.67827749206002 0.0042584771 -0.2361665169644 -0.0579834153 -0.236166517
3.96111606283409 0.0026815986 2.9639730891274 10.585704702 2.96397308913
Superior 95,0%
-0.05798341529
10.58570470197
Resumen

Estadísticas de la regresión
Coeficiente de correlación múltiple 0.770462759935274
Coeficiente de determinación R^2 0.59361286444708
R^2 ajustado 0.552974150891788
Error típico 0.033223953233348
Observaciones 12

ANÁLISIS DE VARIANZA
Grados de libertad Suma de cuadrados
Regresión 1 0.016123746671207
Residuos 10 0.011038310684517
Total 11 0.027162057355724

Coeficientes Error típico


Intercepción 0.005722470542771 0.009720419814675
Variable X 1 1.58910954224408 0.415788199299678
Promedio de los cuadrados F Valor crítico de F
0.016123746671207 14.607078141 0.0033629816506
0.001103831068452

Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%


0.588706110628289 0.5691165695 -0.0159359745039 0.0273809156 -0.0159359745
3.8219207397436 0.0033629817 0.6626757011871 2.5155433833 0.66267570119
Superior 95,0%
0.027380915589
2.515543383301

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