Rendimiento Cotizaciones mensuales

Fecha anual de Bonos S&P500

10 Y USA JNJ JPM MSFT WMT
Mercado
1 5/1/2021 1.56 ### 169.03 161.85 249.1 141.47
2 4/1/2021 1.63 ### 161.72 152.91 251.6 139.36
3 3/1/2021 1.75 ### 163.33 151.34 235.23 134.74
4 2/1/2021 1.46 ### 156.50 146.31 231.31 128.87
5 1/1/2021 1.09 ### 161.11 127.00 230.89 139.36
6 12/1/2020 0.92 ### 155.43 125.42 221.4 142.47
7 11/1/2020 0.84 ### 141.91 116.35 212.53 151.01
8 10/1/2020 0.86 ### 134.48 95.88 201.01 137.13
9 9/1/2020 0.68 ### 146.03 94.15 208.82 138.28
10 8/1/2020 0.69 ### 149.47 97.98 223.37 136.67
11 7/1/2020 0.54 ### 142.02 93.60 203.04 127.37
12 6/1/2020 0.65 ### 137.02 91.10 201.56 117.9
13 5/1/2020 0.65 ### 143.94 94.25 180.99 121.58
14 4/1/2020 0.62 ### 145.18 91.79 177 119.12
15 3/1/2020 0.70 ### 126.89 86.30 155.76 110.85
16 2/1/2020 1.13 ### 129.30 111.30 159.57 105.06
17 1/1/2020 1.52 ### 143.14 126.07 167.67 111.7
18 12/1/2019 1.92 ### 140.25 132.77 155.33 115.43
19 11/1/2019 1.78 ### 131.29 125.49 148.6 115.67
20 10/1/2019 1.69 ### 126.08 118.03 140.74 113.89
21 9/1/2019 1.68 ### 123.54 111.20 136.48 115.27
22 8/1/2019 1.51 ### 121.66 103.80 134.88 110.44
23 7/1/2019 2.02 ### 123.42 108.84 133.32 106.69
24 6/1/2019 2.00 ### 132.01 104.89 131.06 106.79
25 5/1/2019 2.14 ### 123.46 99.42 120.56 97.53
26 4/1/2019 2.51 ### 132.92 108.06 127.3 98.87
27 3/1/2019 2.41 ### 131.59 94.26 114.96 93.27
28 2/1/2019 2.71 ### 127.78 97.17 108.74 94.66
29 1/1/2019 2.64 ### 124.45 95.59 101.36 91.64
30 12/1/2018 2.69 ### 120.68 90.16 98.59 88.6
31 11/1/2018 3.01 ### 136.50 102.70 107.17 92.88
32 10/1/2018 3.16 ### 130.08 99.99 103.23 95.38
33 9/1/2018 3.06 ### 128.39 103.50 110.53 89.32
34 8/1/2018 2.85 ### 124.33 105.09 108.14 90.65
35 7/1/2018 2.96 ### 122.33 104.86 102.13 84.38
36 6/1/2018 2.85 ### 112.01 95.05 94.94 80.99
37 5/1/2018 2.82 ### 109.60 97.62 94.75 77.56
38 4/1/2018 2.94 ### 115.90 98.73 89.65 83.12
39 3/1/2018 2.74 ### 117.42 99.81 87.49 83.11
40 2/1/2018 2.87 ### 118.25 104.83 89.47 84.08
41 1/1/2018 2.72 ### 125.81 104.44 90.65 99.58
42 12/1/2017 2.41 ### 127.21 96.56 81.61 91.76
43 11/1/2017 2.42 ### 126.08 94.37 79.91 90.35
44 10/1/2017 2.38 ### 126.15 90.32 78.97 81.13
45 9/1/2017 2.33 ### 117.65 85.74 70.72 72.61
46 8/1/2017 2.12 ### 119.03 81.59 70.61 72.09
47 7/1/2017 2.29 ### 119.34 81.96 68.65 73.86
48 6/1/2017 2.30 ### 118.95 81.60 65.09 69.88
49 5/1/2017 2.20 ### 114.56 73.34 65.57 72.1
50 4/1/2017 2.28 ### 110.29 77.23 64.28 68.96
51 3/1/2017 2.40 ### 111.26 77.97 61.84 65.63
52 2/1/2017 2.36 ### 108.45 80.44 59.71 64.59
53 1/1/2017 2.45 ### 100.50 74.71 60.34 60.77
54 12/1/2016 2.45 ### 102.24 76.18 57.99 62.49
55 11/1/2016 2.37 ### 98.09 70.77 55.86 63.68
56 10/1/2016 1.83 ### 102.22 60.70 55.55 63.31
57 9/1/2016 1.61 ### 104.11 58.36 53.4 65.2
58 8/1/2016 1.57 ### 104.48 59.16 52.94 64.15
59 7/1/2016 1.46 ### 109.63 55.63 52.22 65.52
60 6/1/2016 1.49 ### 106.19 54.04 47.14 65.57
61 5/1/2016 1.83 ### 97.96 56.76 48.49 63.1
62 4/1/2016 1.82 ### 97.43 54.56 45.62 59.61
63 3/1/2016 1.79 ### 94.05 51.12 50.53 60.61
mensuales
C BAC PG CL XOM GM

78.71 42.21 134.85 83.78 57.53 59.31

70.75 40.36 132.57 80.25 56.42 57.22
72.25 38.34 134.57 78.39 55.03 57.46
65.42 34.39 122.74 74.78 52.69 51.33
57.1 29.38 126.63 77.13 43.46 50.68
60.72 29.85 137.43 84.56 39.95 41.64
54.23 27.73 137.16 84.69 36.08 43.84
40.29 23.34 134.66 77.58 30.87 34.53
41.93 23.56 136.52 75.87 32.49 29.59
49.72 25.17 135.87 77.95 37.07 29.63
48.15 24.33 127.98 75.48 39.05 24.89
49.2 23.07 116.71 71.63 41.5 25.3
45.65 23.42 113.15 70.72 41.4 25.88
46.27 23.36 114.29 68.29 42.31 22.29
40.13 20.49 106.66 64.49 34.57 20.53
60.46 27.5 109.79 65.66 46.17 30.13
70.43 31.68 120.12 71.27 55.75 32.99
75.62 33.8 120.39 66.49 62.63 35.78
70.6 31.98 117.65 65.51 60.42 35.19
67.53 30.01 119.25 65.84 59.92 36.32
64.92 27.81 119.13 70.56 62.62 36.27
60.02 26.23 115.15 71.17 59.98 35.89
66.38 29.25 112.33 68.46 65.13 39.04
65.32 27.5 104.34 68.39 67.12 36.89
57.6 25.23 97.93 66.44 61.29 31.92
65.53 29 100.62 69.03 69.52 37.29
57.67 26.17 98.32 65 69.97 35.17
58.88 27.44 93.12 62.47 67.69 37.43
59.33 26.86 90.44 60.93 62.76 36.99
47.91 23.12 86.18 56.07 58.4 31.38
59.22 26.65 88.6 59.84 67.41 35.61
59.83 25.8 82.41 55.72 67.56 34.33
65.57 27.51 77.35 62.65 72.09 31.25
64.71 28.88 77.09 62.14 67.28 33.46
65.3 28.84 74.49 62.3 68.41 35.18
60.78 26.32 71.89 60.26 69.43 36.25
60.29 27.01 67.39 58.66 67.5 39.29
61.72 27.83 66.01 60.3 64.6 33.8
61.02 27.79 72.34 66.26 61.99 33.1
67.97 29.74 71.65 63.75 62.29 35.84
70.66 29.65 78.19 68.27 71.8 38.63
 67 27.35 83.21 69.38 68.79 37
67.69 25.99 81.49 66.62 67.87 38.89
65.9 25.27 77.61 64.43 67.92 38.79
65.21 23.38 81.78 66.63 66.8 36.08
60.71 21.93 82.94 65.52 61.6 32.65
61.09 22.14 81 65.67 64.6 32.15
59.68 22.27 77.73 67.42 65.15 30.87
54.03 20.5 78.56 69.45 64.36 29.98
52.62 21.35 77.29 65.17 65.28 30.61
53.24 21.52 79.52 66.21 65.57 30.93
53.08 22.51 80.6 66.02 64.43 32.22
49.55 20.65 76.92 58.08 66.46 32.02
52.74 20.16 73.83 58.86 71.51 30.15
49.88 19.19 72.41 58.67 68.56 29.88
43.48 14.99 75.64 63.83 65.43 27.34
41.78 14.22 78.21 66.32 68.54 27.17
42.23 14.6 76.08 66.5 67.85 27.29
38.61 13.11 74 66.23 69.26 26.97
37.36 11.96 73.21 65.14 72.99 23.89
41.05 13.33 70.07 62.65 68.74 26.41
40.75 13.13 68.71 62.76 68.26 26.85
36.76 12.14 70.59 62.52 64.54 26.21
 GM
CL XOM GM

81.7 63.17 58.96

81.7 63.17 58.96
81.35 63.08 59.17
83.78 57.53 59.31
80.25 56.42 57.22
78.39 55.03 57.46
74.78 52.69 51.33
77.13 43.46 50.68
84.56 39.95 41.64
84.69 36.08 43.84
77.58 30.87 34.53
75.87 32.49 29.59
77.95 37.07 29.63
75.48 39.05 24.89
71.63 41.5 25.3
70.72 41.4 25.88
68.29 42.31 22.29
64.49 34.57 20.53
65.66 46.17 30.13
71.27 55.75 32.99
66.49 62.63 35.78
65.51 60.42 35.19
65.84 59.92 36.32
70.56 62.62 36.27
71.17 59.98 35.89
68.46 65.13 39.04
68.39 67.12 36.89
66.44 61.29 31.92
69.03 69.52 37.29
65 69.97 35.17
62.47 67.69 37.43
60.93 62.76 36.99
56.07 58.4 31.38
59.84 67.41 35.61
55.72 67.56 34.33
62.65 72.09 31.25
62.14 67.28 33.46
62.3 68.41 35.18
60.26 69.43 36.25
58.66 67.5 39.29
60.3 64.6 33.8
66.26 61.99 33.1
63.75 62.29 35.84
68.27 71.8 38.63
69.38 68.79 37
66.62 67.87 38.89
64.43 67.92 38.79
66.63 66.8 36.08
65.52 61.6 32.65
65.67 64.6 32.15
67.42 65.15 30.87
69.45 64.36 29.98
65.17 65.28 30.61
66.21 65.57 30.93
66.02 64.43 32.22
58.08 66.46 32.02
58.86 71.51 30.15
58.67 68.56 29.88
63.83 65.43 27.34
66.32 68.54 27.17
66.5 67.85 27.29
66.23 69.26 26.97
65.14 72.99 23.89
62.65 68.74 26.41
62.76 68.26 26.85
62.52 64.54 26.21
 S&P500
Rendimiento libre de riesgo Rf 1.56 Rend. Mercado
Rendimiento promedio mensual 1.1530%
Rendimiento promedio anual 14.75%
Beta del activo en relación mercado 1.00
Rendimiento minimo requerido por el accionista (Ke) 14.75%
Inversión
Proporción (Wi)
Rendimiento esperado del Portafolio E(Rp)
Rendimiento histórico del portafolio (Rp)
Varianza: Var(P)
Covarianza (JNJ,JPM)
Riesgo del portafolio (Desviación estándar; σ)
Coeficiente de correlación

Rendimiento Cotizaciones mensuales Rendimiento mensual

Fecha anual de Bonos S&P500 S&P500
10 Y USA JNJ JPM
Rend. Mercado Rend. Mercado
1 5/1/2021 1.56 ### 169.03 161.85 0.1663%
2 4/1/2021 1.63 ### 161.72 152.91 5.1097%
3 3/1/2021 1.75 ### 163.33 151.34 4.1563%
4 2/1/2021 1.46 ### 156.50 146.31 2.5757%
5 1/1/2021 1.09 ### 161.11 127.00 -1.1199%
6 12/1/2020 0.92 ### 155.43 125.42 3.6449%
7 11/1/2020 0.84 ### 141.91 116.35 10.2146%
8 10/1/2020 0.86 ### 134.48 95.88 -2.8056%
9 9/1/2020 0.68 ### 146.03 94.15 -4.0018%
10 8/1/2020 0.69 ### 149.47 97.98 6.7719%
11 7/1/2020 0.54 ### 142.02 93.60 5.3637%
12 6/1/2020 0.65 ### 137.02 91.10 1.8221%
13 5/1/2020 0.65 ### 143.94 94.25 4.4286%
14 4/1/2020 0.62 ### 145.18 91.79 11.9421%
15 3/1/2020 0.70 ### 126.89 86.30 -13.3668%
16 2/1/2020 1.13 ### 129.30 111.30 -8.7860%
17 1/1/2020 1.52 ### 143.14 126.07 -0.1629%
18 12/1/2019 1.92 ### 140.25 132.77 2.8189%
19 11/1/2019 1.78 ### 131.29 125.49 3.3480%
20 10/1/2019 1.69 ### 126.08 118.03 2.0226%
21 9/1/2019 1.68 ### 123.54 111.20 1.7035%
22 8/1/2019 1.51 ### 121.66 103.80 -1.8257%
23 7/1/2019 2.02 ### 123.42 108.84 1.3043%
24 6/1/2019 2.00 ### 132.01 104.89 6.6658%
25 5/1/2019 2.14 ### 123.46 99.42 -6.8041%
26 4/1/2019 2.51 ### 132.92 108.06 3.8560%
27 3/1/2019 2.41 ### 131.59 94.26 1.7766%
28 2/1/2019 2.71 ### 127.78 97.17 2.9296%
29 1/1/2019 2.64 ### 124.45 95.59 7.5742%
30 12/1/2018 2.69 ### 120.68 90.16 -9.6265%
31 11/1/2018 3.01 ### 136.50 102.70 1.7702%
32 10/1/2018 3.16 ### 130.08 99.99 -7.1929%
33 9/1/2018 3.06 ### 128.39 103.50 0.4285%
34 8/1/2018 2.85 ### 124.33 105.09 2.9814%
35 7/1/2018 2.96 ### 122.33 104.86 3.5388%
36 6/1/2018 2.85 ### 112.01 95.05 0.4831%
37 5/1/2018 2.82 ### 109.60 97.62 2.1378%
38 4/1/2018 2.94 ### 115.90 98.73 0.2715%
39 3/1/2018 2.74 ### 117.42 99.81 -2.7253%
40 2/1/2018 2.87 ### 118.25 104.83 -3.9726%
41 1/1/2018 2.72 ### 125.81 104.44 5.4657%
42 12/1/2017 2.41 ### 127.21 96.56 0.9784%
43 11/1/2017 2.42 ### 126.08 94.37 2.7696%
44 10/1/2017 2.38 ### 126.15 90.32 2.1946%
45 9/1/2017 2.33 ### 117.65 85.74 1.9119%
46 8/1/2017 2.12 ### 119.03 81.59 0.0546%
47 7/1/2017 2.29 ### 119.34 81.96 1.9164%
48 6/1/2017 2.30 ### 118.95 81.60 0.4802%
49 5/1/2017 2.20 ### 114.56 73.34 1.1510%
50 4/1/2017 2.28 ### 110.29 77.23 0.9050%
51 3/1/2017 2.40 ### 111.26 77.97 -0.0389%
52 2/1/2017 2.36 ### 108.45 80.44 3.6523%
53 1/1/2017 2.45 ### 100.50 74.71 1.7726%
54 12/1/2016 2.45 ### 102.24 76.18 1.8037%
55 11/1/2016 2.37 ### 98.09 70.77 3.3603%
56 10/1/2016 1.83 ### 102.22 60.70 -1.9617%
57 9/1/2016 1.61 ### 104.11 58.36 -0.1235%
58 8/1/2016 1.57 ### 104.48 59.16 -0.1220%
59 7/1/2016 1.46 ### 109.63 55.63 3.4990%
60 6/1/2016 1.49 ### 106.19 54.04 0.0910%
61 5/1/2016 1.83 ### 97.96 56.76 1.5208%
62 4/1/2016 1.82 ### 97.43 54.56 0.2696%
63 3/1/2016 1.79 ### 94.05 51.12
 Rendimiento Rendimiento
JNJ JPM Portafolio Beta
histórico esperado
0.9092% 1.7464% 0 1.56%
11.47% 23.09% 1.00 14.75%
0.6849 1.2340 0.6849 11.47%
10.593% 17.832% 1.2340 23.09%
20,000 30,000 50,000
40% 60% 100%
2,118.64 5,349.55 14.94% 7,468.19 7,468.19
2,294.56 6,927.48 18.44% 9,222.04 9,222.04
0.002367 0.004990 0.002823
0.001351
5.31% 18.41% DE=VAR^(1/2)
0.393041 DEanual=DEmensual*12^(1/2)

Rendimiento mensual
JNJ JPM

4.4210% 5.6820% Rendimiento Pf/Pi-1

-0.9906% 1.0321% (Pf-Pi)/Pi
4.2717% 3.3801% ln(Pf/Pi)
-2.9031% 14.1541%
3.5892% 1.2519%
9.1002% 7.5065% C Rendi
5.3778% 19.3505%
25.00% histór
-8.2397% 1.8208%
20.00%
-2.3284% -3.9874%
5.1128% 4.5733%
15.00%
3.5841% 2.7073%
-4.9270% -3.3993%
10.00%
-0.8578% 2.6447%
13.4654% 6.1674%
5.00%
-1.8815% -25.4400%
-10.1688% -12.4608%
0.00%
2.0397% -5.1781% 0 0.2 0.4 0.
6.6018% 5.6392%
4.0492% 6.1287%
2.0352% 5.9608%
1.5335% 6.8864%
-1.4363% -4.7413%
-6.7285% 3.6967%
6.6960% 5.3559%
-7.3830% -8.3333%
1.0056% 13.6630%
2.9381% -3.0405%
2.6406% 1.6394%
3.0762% 5.8482%
-12.3182% -13.0226%
4.8175% 2.6742%
 1.3077% -3.4501%
3.2133% -1.5246%
1.6217% 0.2191%
8.8134% 9.8223%
2.1751% -2.6679%
-5.5890% -1.1306%
-1.3030% -1.0880%
-0.7044% -4.9072%
-6.1972% 0.3727%
-1.1066% 7.8448%
0.8923% 2.2941%
-0.0555% 4.3864%
6.9758% 5.2039%
-1.1661% 4.9613%
-0.2601% -0.4525%
0.3273% 0.4402%
3.7605% 10.6723%
3.7985% -5.1682%
-0.8757% -0.9536%
2.5581% -3.1187%
7.6132% 7.3898%
-1.7165% -1.9485%
4.1438% 7.3664%
-4.1242% 15.3491%
-1.8321% 3.9313%
-0.3548% -1.3615%
-4.8115% 6.1523%
3.1881% 2.8998%
8.0671% -4.9107%
0.5425% 3.9531%
3.5308% 6.5125%
 Rendimiento de JNJ JPM
15.0000% 30.0000%

10.0000% 20.0000%

f(x) = 0.684893679078981 x + 0.001195463167456

R² = 0.367444372830013 f(x) = 1.23396855405832 x + 0.003236919605469
5.0000% R² = 0.56577829959135910.0000%

0.0000% 0.0000%
-15.0000% -10.0000% -5.0000% 0.0000% 5.0000% 10.0000% 15.0000%
-15.0000% -10.0000% -5.0000% 0.0000% 5.0000

-5.0000% -10.0000%

-10.0000% -20.0000%

-15.0000% -30.0000%

Rendimiento
5.00% histórico

0.00%

5.00%

0.00%

5.00%

0.00%
0 0.2 0.4 0.6 0.8 1 1.2 1.4
 JPM
30.0000%

20.0000%

5405832 x + 0.003236919605469
959135910.0000%

0.0000%
5.0000% 0.0000% 5.0000% 10.0000% 15.0000%

-10.0000%

-20.0000%

-30.0000%
 Rendimiento mensual
Fecha Risk free S&P500
JNJ JPM MSFT WMT
Rf Rend. Mercado
1 5/1/2021 0.1294% 0.1663% 4.4210% 5.6820% -0.9986% 1.5027%
2 4/1/2021 0.1349% 5.1097% -0.9906% 1.0321% 6.7277% 3.3714%
3 3/1/2021 0.1443% 4.1563% 4.2717% 3.3801% 1.6805% 4.4543%
4 2/1/2021 0.1209% 2.5757% -2.9031% 14.1541% 0.1817% -7.8256%
5 1/1/2021 0.0906% -1.1199% 3.5892% 1.2519% 4.1970% -2.2071%
6 12/1/2020 0.0761% 3.6449% 9.1002% 7.5065% 4.0888% -5.8215%
7 11/1/2020 0.0701% 10.2146% 5.3778% 19.3505% 5.5728% 9.6417%
8 10/1/2020 0.0714% -2.8056% -8.2397% 1.8208% -3.8118% -0.8351%
9 9/1/2020 0.0562% -4.0018% -2.3284% -3.9874% -6.7357% 1.1711%
10 8/1/2020 0.0576% 6.7719% 5.1128% 4.5733% 9.5427% 7.0473%
11 7/1/2020 0.0446% 5.3637% 3.5841% 2.7073% 0.7316% 7.7259%
12 6/1/2020 0.0543% 1.8221% -4.9270% -3.3993% 10.7645% -3.0736%
13 5/1/2020 0.0538% 4.4286% -0.8578% 2.6447% 2.2292% 2.0441%
14 4/1/2020 0.0517% 11.9421% 13.4654% 6.1674% 12.7833% 7.1953%
15 3/1/2020 0.0580% -13.3668% -1.8815% -25.4400% -2.4166% 5.3646%
16 2/1/2020 0.0934% -8.7860% -10.1688% -12.4608% -4.9515% -6.1285%
17 1/1/2020 0.1258% -0.1629% 2.0397% -5.1781% 7.6446% -3.2848%
18 12/1/2019 0.1585% 2.8189% 6.6018% 5.6392% 4.4294% -0.2077%
19 11/1/2019 0.1468% 3.3480% 4.0492% 6.1287% 5.4344% 1.5508%
20 10/1/2019 0.1398% 2.0226% 2.0352% 5.9608% 3.0736% -1.2044%
21 9/1/2019 0.1385% 1.7035% 1.5335% 6.8864% 1.1793% 4.2805%
22 8/1/2019 0.1246% -1.8257% -1.4363% -4.7413% 1.1633% 3.4545%
23 7/1/2019 0.1669% 1.3043% -6.7285% 3.6967% 1.7097% -0.0937%
24 6/1/2019 0.1652% 6.6658% 6.6960% 5.3559% 8.3508% 9.0704%
25 5/1/2019 0.1768% -6.8041% -7.3830% -8.3333% -5.4399% -1.3646%
26 4/1/2019 0.2067% 3.8560% 1.0056% 13.6630% 10.1962% 5.8307%
27 3/1/2019 0.1990% 1.7766% 2.9381% -3.0405% 5.5625% -1.4793%
28 2/1/2019 0.2232% 2.9296% 2.6406% 1.6394% 7.0281% 3.2424%
29 1/1/2019 0.2170% 7.5742% 3.0762% 5.8482% 2.7709% 3.3736%
30 12/1/2018 0.2211% -9.6265% -12.3182% -13.0226% -8.3447% -4.7176%
31 11/1/2018 0.2477% 1.7702% 4.8175% 2.6742% 3.7457% -2.6561%
32 10/1/2018 0.2595% -7.1929% 1.3077% -3.4501% -6.8327% 6.5643%
33 9/1/2018 0.2512% 0.4285% 3.2133% -1.5246% 2.1860% -1.4781%
34 8/1/2018 0.2347% 2.9814% 1.6217% 0.2191% 5.7180% 7.1676%
35 7/1/2018 0.2437% 3.5388% 8.8134% 9.8223% 7.3001% 4.1005%
36 6/1/2018 0.2344% 0.4831% 2.1751% -2.6679% 0.2003% 4.3274%
37 5/1/2018 0.2322% 2.1378% -5.5890% -1.1306% 5.5329% -6.9234%
38 4/1/2018 0.2414% 0.2715% -1.3030% -1.0880% 2.4389% 0.0120%
39 3/1/2018 0.2256% -2.7253% -0.7044% -4.9072% -2.2379% -1.1604%
40 2/1/2018 0.2359% -3.9726% -6.1972% 0.3727% -1.3103% -16.9193%
41 1/1/2018 0.2239% 5.4657% -1.1066% 7.8448% 10.5054% 8.1785%
42 12/1/2017 0.1982% 0.9784% 0.8923% 2.2941% 2.1051% 1.5485%
43 11/1/2017 0.1992% 2.7696% -0.0555% 4.3864% 1.1833% 10.7638%
44 10/1/2017 0.1959% 2.1946% 6.9758% 5.2039% 11.0340% 11.0950%
45 9/1/2017 0.1918% 1.9119% -1.1661% 4.9613% 0.1557% 0.7187%
46 8/1/2017 0.1751% 0.0546% -0.2601% -0.4525% 2.8151% -2.4256%
47 7/1/2017 0.1890% 1.9164% 0.3273% 0.4402% 5.3250% 5.5392%
48 6/1/2017 0.1898% 0.4802% 3.7605% 10.6723% -0.7347% -3.1275%
49 5/1/2017 0.1812% 1.1510% 3.7985% -5.1682% 1.9870% 4.4527%
50 4/1/2017 0.1882% 0.9050% -0.8757% -0.9536% 3.8698% 4.9494%
51 3/1/2017 0.1975% -0.0389% 2.5581% -3.1187% 3.5051% 1.5973%
52 2/1/2017 0.1944% 3.6523% 7.6132% 7.3898% -1.0496% 6.0963%
53 1/1/2017 0.2020% 1.7726% -1.7165% -1.9485% 3.9725% -2.7910%
54 12/1/2016 0.2016% 1.8037% 4.1438% 7.3664% 3.7422% -1.8864%
55 11/1/2016 0.1952% 3.3603% -4.1242% 15.3491% 0.5565% 0.5827%
56 10/1/2016 0.1516% -1.9617% -1.8321% 3.9313% 3.9473% -2.9416%
57 9/1/2016 0.1330% -0.1235% -0.3548% -1.3615% 0.8652% 1.6235%
58 8/1/2016 0.1297% -0.1220% -4.8115% 6.1523% 1.3694% -2.1131%
59 7/1/2016 0.1207% 3.4990% 3.1881% 2.8998% 10.2344% -0.0763%
60 6/1/2016 0.1232% 0.0910% 8.0671% -4.9107% -2.8236% 3.8398%
61 5/1/2016 0.1516% 1.5208% 0.5425% 3.9531% 6.1011% 5.6897%
62 4/1/2016 0.1503% 0.2696% 3.5308% 6.5125% -10.2221% -1.6637%
63 3/1/2016
 Rendimiento promedio y riesgo individual
JNJ JPM MSFT

Rendimiento 0.91% 1.75% 2.73%

Riesgo 4.87% 7.06% 4.62%
Beta de acciones 0.68 1.23 0.77
Rendimiento esperado: CAPM 0.84% 1.38% 0.92%

Proporciones invertidas en acciones del portafolio

JNJ JPM MSFT
Inversión 30,000 30,000 30,000
Wi 25.0% 25.0% 25.0%

Matriz de varianzas y covarianzas

JNJ JPM MSFT
JNJ 0.00236684 0.0013507 0.0010869
JPM 0.0013507 0.00498971 0.00134886
MSFT 0.0010869 0.00134886 0.00213472
WMT 0.00115875 0.00057895 0.00067423

Matriz de MARKOWITZ
JNJ JPM MSFT
JNJ 0.00014793 8.4419E-05 6.7931E-05
JPM 8.4419E-05 0.00031186 8.4304E-05
MSFT 6.7931E-05 8.4304E-05 0.00013342
WMT 7.2422E-05 3.6185E-05 4.2139E-05

Resumen del portafolio

Rendimiento del portafolio 1.68%
Varianza del portafolio 0.00152701
Riesgo del portafolio 3.91%
Beta del portafolio 0.79
Rendimiento esperado del portafolio CAPM 0.9422%
individual
S&P500
WMT Rf
Rend. Mercado
1.35% 1.15% 0.16%
5.04% 4.31% 0.06%
0.47 1.00 - 0.00
0.62% 1.15% 0.16%

ortafolio
WMT Total
30,000 120,000
25.0% 100.0% A

WMT
0.001158746 B DATOS/ANALISIS DE DATOS/RANGO DE LA MATRIZ/ACTIVAR ROTULOS EN PRIMA FILA/ACTIVAR R
0.000578955
0.00067423
0.002544161

WMT
7.242162E-05
3.618468E-05
4.213936E-05
0.00015901

0.001527 VAR (P)=MatrizA*MatrizB*TranspuestaMatrizA

0.9422%
OS EN PRIMA FILA/ACTIVAR RANGO DE SALIDA/SELECCIONAR CELDA DE SALIDA/ACEPTAR
 Retorno esperado E(R ) y Riesgo (Desviación estándar)de un activo financiero (Acción de capital X)
Precio de Rentabilidad Rentabilidad de Rendimiento
Escenario Probabilidad Dividendo del dividendo ganancia de total de la acción
la acción Rdiv capital: Rgc Rt=Rdiv +Rgc

Actual 120 P0
Auge 180 P1 1/4 8 6.67% 50.00% 56.67%
Normal 140 P1 1/2 4 3.33% 16.67% 20.00%
Recesión 40 P1 1/4 0 0.00% -66.67% -66.67%
Total 1.00

Retorno esperado E(R ) y Riesgo (Desviación estándar)de acción de Johnson & Johnson
Rentabilidad Rentabilidad de Rendimiento
Precio de
Escenario Probabilidad Dividendo del dividendo ganancia de total de la acción
la acción Rdiv capital: Rgc Rt=Rdiv +Rgc

Actual 165.37 P0
Auge 210 P1 0.25 5.24 3.17% 26.99% 30.16%
Normal 186.65 P1 0.50 4.24 2.56% 12.87% 15.43%
Recesión 137.11 P1 0.25 1.3 0.79% -17.09% -16.30%
Total 1.00

RENDIMIENTO ESPERADO Y RIESGO DEL PORTAFOLIO CON DOS ACTIVOS FINANCIEROS

Retorno Riesgo Inversión Proporción
esperado
Rendimiento de X 7.50% 45.36% 30000 0.375
Rendimiento de JNJ 11.18% 16.97% 50000 0.625
80000 1.00
Portafolio 9.80% 27.61%

Retorno esperado E(R ) y Riesgo (Desviación estándar)de acción de CITIGRUP

Precio de Rentabilidad Rentabilidad de Rendimiento
Escenario Probabilidad Dividendo del dividendo ganancia de total de la acción
la acción
Rdiv capital: Rgc Rt=Rdiv +Rgc

Actual 71.46 P0
Auge 95 P1 0.25 3.4 4.76% 32.94% 37.70%
Normal 85.93 P1 0.50 2.04 2.85% 20.25% 23.10%
Recesión 55 P1 0.25 1.2 1.68% -23.03% -21.35%
Total 1.00

Retorno esperado E(R ) y Riesgo (Desviación estándar)de acción de MCD

Rentabilidad Rentabilidad de Rendimiento
Escenario Precio de Probabilidad Dividendo del dividendo ganancia de total de la acción
la acción
Rdiv capital: Rgc Rt=Rdiv +Rgc

Actual 235.58 P0
Auge 277 P1 0.25 6.16 2.61% 17.58% 20.20%
Normal 257.68 P1 0.50 5.16 2.19% 9.38% 11.57%
Recesión 215 P1 0.25 2.16 0.92% -8.74% -7.82%
Total 1.00

RENDIMIENTO ESPERADO Y RIESGO DEL PORTAFOLIO CON CUATRO ACTIVOS FINANCIEROS

Retorno
Riesgo Inversión Proporción
esperado
Rendimiento de X 7.50% 45.36% 15000 0.1875
Rendimiento de JNJ 11.18% 16.97% 25000 0.3125
Rendimiento de C 15.64% 22.17% 30000 0.375
Rendimiento de MCD 8.88% 10.26% 10000 0.125
Portafolio 11.87% 23.39% 80000 1.00

Matriz de varianzas y covarianzas

X JNJ C MCD
X 0.205764 0.076941 0.100374 0.046555
JNJ 0.076941 0.028789 0.037470 0.017415
C 0.100374 0.037470 0.049166 0.022690
MCD 0.046555 0.017415 0.022690 0.010535

X JNJ C MCD
Proporción (Wi) 0.1875 0.3125 0.375 0.125
Matriz de Markowitz
X JNJ C MCD
X 0.007234 0.004508 0.007058 0.001091
JNJ 0.004508 0.002811 0.004391 0.000680
C 0.007058 0.004391 0.006914 0.001064
MCD 0.001091 0.000680 0.001064 0.000165

Var(P) 0.0547075 0.0547075

financiero (Acción de capital X)
Retorno Desviación Covarianza Covarianza
esperado Varianza
E(R ) estándar Cov(Rx,Rc) Cov(Rx,Rmcd)

14.17% 0.060434 0.027117006017 0.013910172058

10.00% 0.007813 0.004666071928 0.001682018847
-16.67% 0.137517 0.06859067427 0.030963119393
7.50% 0.205764 45.36% 0.100373752216 0.046555310298

ón de Johnson & Johnson

Retorno
Desviación Covarianza Covarianza
esperado Varianza
E(R ) estándar Cov(Rx,Rjnj) Cov(Rjnj,Rmcd)

7.54% 0.009003 0.023326070579 0.005368989411

7.72% 0.000904 0.002657865695 0.000572234265
-4.08% 0.018882 0.050956787557 0.011473322963
11.18% 0.028789 16.97% 0.076941 0.017414546638

OS ACTIVOS FINANCIEROS
Coefciente de
Varianza correlación

0.076247 1.00

e acción de CITIGRUP
Retorno Desviación Covarianza
esperado Varianza
estándar Cov(Rc,Rjnj)
E(R )

9.42% 0.012168 0.010466507355

11.55% 0.002787 0.001587429441
-5.34% 0.034212 0.02541613938
15.64% 0.049166 22.17% 0.037470

)de acción de MCD

Retorno
esperado Varianza Desviación Covarianza
estándar Cov(Rc,Rmcd)
E(R )

5.05% 0.003202 0.00624155353

5.79% 0.000362 0.001004597878
-1.95% 0.006972 0.015443731755
8.88% 0.010535 10.26% 0.022690

TRO ACTIVOS FINANCIEROS

Varianza Desviación
estándar Rentabilidad y Riesgo
18.00%
16.00%
perado: E( R)

14.00%
12.00%
Potafoli
10.00% o
 Rentabilidad y Riesgo
18.00%
0.205764 45.36%
16.00%

Rendimiento esperado: E( R)
C
0.028789 16.97%
14.00%
0.049166 22.17%
12.00%
0.010535 10.26% Potafoli
10.00% o
0.054707 23.39% JNJ
8.00%
MCD
6.00% X

4.00%
2.00%
0.00%
5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 50.00%
Riesgo (Desviación estándar)
 X

45.00% 50.00%
 PORTAFOLIO 1
Precios o cotizaciones Rendimientos
Fecha
JNJ JPM JNJ JPM RP
1 5/1/2021 169.03 161.85 4.52% 5.85% 5.77%
2 4/1/2021 161.72 152.91 -0.99% 1.04% 0.93%
3 3/1/2021 163.33 151.34 4.36% 3.44% 3.49%
4 2/1/2021 156.50 146.31 -2.86% 15.20% 14.23%
5 1/1/2021 161.11 127.00 3.65% 1.26% 1.39%
6 ### 155.43 125.42 9.53% 7.80% 7.89%
7 ### 141.91 116.35 5.52% 21.35% 20.49%
8 ### 134.48 95.88 -7.91% 1.84% 1.31%
9 9/1/2020 146.03 94.15 -2.30% -3.91% -3.82%
10 8/1/2020 149.47 97.98 5.25% 4.68% 4.71%
11 7/1/2020 142.02 93.60 3.65% 2.74% 2.79%
12 6/1/2020 137.02 91.10 -4.81% -3.34% -3.42%
13 5/1/2020 143.94 94.25
Rdto. Promedio 1.468% 4.828% 4.647%
Varianza 0.002410 0.004799 0.004432
Desviación Estándar 4.909% 6.928% 6.657%
Covarianza(Rjnj,Rjpm) 0.0012812
Wjnj Wjpm Portafolio
Proporción (Wi) 5.42% 94.58% 100.0%
.
Rp  R f Portafolio1 Portafolio2 Mercado
S
 Ratio de Sharpe 0.68 0.56 0.66

Rdto. Promedio 1.468% 4.828%

Proporción (Wi) 75.71% 24.3% 100.0%

Gestión del Portafolio

Mensual Anual
Rdto.(P) 2.28464% 31.14%
Var(P) 0.002136 0.00739881
Ri(P) 4.62153% 16.01%
Sharpe 0.48 1.88
JNJ JPM
JNJ 0.0024101 0.0012812
JPM 0.0012812 0.00479925

Rdto. Promedio 1.468% 4.828%

Proporción (Wi) 5.4% 94.6% 100.0%

Portafolio
R(P) 4.64651% 0.0464651
Var(P) 0.004432
Ri(P) 6.65723%
 JNJ JPM
JNJ 0.0024101 0.0012812
JPM 0.0012812 0.00479925
 PORTAFOLIO 2
entos Precios o cotizaciones Rendimient
Fecha
Rf MSFT WMT MSFT
0.13% 1 5/1/2021 249.1 141.47 -0.99%
0.13% 2 4/1/2021 251.6 139.36 6.96%
0.14% 3 3/1/2021 235.23 134.74 1.69%
0.12% 4 2/1/2021 231.31 128.87 0.18%
0.09% 5 1/1/2021 230.89 139.36 4.29%
0.08% 6 ### 221.4 142.47 4.17%
0.07% 7 ### 212.53 151.01 5.73%
0.07% 8 ### 201.01 137.13 -3.74%
0.06% 9 9/1/2020 208.82 138.28 -6.51%
0.06% 10 8/1/2020 223.37 136.67 10.01%
0.04% 11 7/1/2020 203.04 127.37 0.73%
0.05% 12 6/1/2020 201.56 117.9 11.37%
13 5/1/2020 180.99 121.58
0.09% 1.055% Rdto. Promedio 2.824%
0.000000 Varianza 0.002597
0.034% Desviación Estándar 5.096%
Covarianza(Rjnj,Rjpm) 0.00038374
Wmsft
Proporción (Wi) 75.0%

El portafolio1 genera una prima de riesgo Ratio de Sharpe 0.56

adicional de 0.68%por unidad porcentual de
riesgo total
0.68/1 0.68%/1%
 Rendimientos
WMT RP Rf
1.51% -0.37% 0.13%
3.43% 6.08% 0.13%
4.55% 2.41% 0.14%
-7.53% -1.74% 0.12%
-2.18% 2.67% 0.09%
-5.66% 1.72% 0.08%
10.12% 6.83% 0.07%
-0.83% -3.01% 0.07%
1.18% -4.59% 0.06%
7.30% 9.34% 0.06%
8.03% 2.56% 0.04%
-3.03% 7.77% 0.05%

1.409% 2.470811% 0.09%

0.002799 0.001780 0.000000
5.291% 4.219% 0.034%

Wwmt Portafolio
25.0% 100.0%
.
 PORTAFOLIO 1
Precios o cotizaciones Rendimientos
Fecha S&P500
JNJ JPM JNJ
Mercado
1 5/1/2021 169.03 161.85 4,188.13 4.52%
2 4/1/2021 161.72 152.91 4,181.17 -0.99%
3 3/1/2021 163.33 151.34 3,972.89 4.36%
4 2/1/2021 156.50 146.31 3,811.15 -2.86%
5 1/1/2021 161.11 127.00 3,714.24 3.65%
6 ### 155.43 125.42 3,756.07 9.53%
7 ### 141.91 116.35 3,621.63 5.52%
8 ### 134.48 95.88 3,269.96 -7.91%
9 9/1/2020 146.03 94.15 3,363.00 -2.30%
10 8/1/2020 149.47 97.98 3,500.31 5.25%
11 7/1/2020 142.02 93.60 3,271.12 3.65%
12 6/1/2020 137.02 91.10 3,100.29 -4.81%
13 5/1/2020 143.94 94.25 3,044.31
Rdto. Promedio 1.468%
Varianza 0.002410
Desviación Estándar 4.909%
Beta del patrimonio (Be) 0.65
Covarianza(Rjnj,Rjpm) 0.00139767
Wjnj
Proporción (Wi) 75.7%
R p  R f
RT  Portafolio1
 p Ratio de Treynor 0.0293

Rdto. Promedio 1.468% 4.828%

Proporción (Wi) 75.71% 24.3%

Gestión del Portafolio

Mensual Anual
Rdto.(P) 2.28464% 31.14%
Var(P) 0.002136 0.0073988084
Ri(P) 4.62153% 16.01%
Sharpe - 0.51 1.94
JNJ JPM
JNJ 0.0024101016 0.0012811969
JPM 0.0012811969 0.0047992485
 PORTAFOLIO 2
Rendimientos Precios o cotizaciones
S&P500 Fecha
JPM RP Rf MSFT
Mercado
5.85% 4.84% 0.13% 0.17% 1 5/1/2021 249.1
1.04% -0.49% 0.13% 5.24% 2 4/1/2021 251.6
3.44% 4.14% 0.14% 4.24% 3 3/1/2021 235.23
15.20% 1.53% 0.12% 2.61% 4 2/1/2021 231.31
1.26% 3.07% 0.09% -1.11% 5 1/1/2021 230.89
7.80% 9.11% 0.08% 3.71% 6 ### 221.4
21.35% 9.37% 0.07% 10.75% 7 ### 212.53
1.84% -5.54% 0.07% -2.77% 8 ### 201.01
-3.91% -2.69% 0.06% -3.92% 9 9/1/2020 208.82
4.68% 5.11% 0.06% 7.01% 10 8/1/2020 223.37
2.74% 3.43% 0.04% 5.51% 11 7/1/2020 203.04
-3.34% -4.45% 0.05% 1.84% 12 6/1/2020 201.56
13 5/1/2020 180.99
4.828% 2.285% 0.09% 2.77%
0.004799 0.002136 0.000000 0.001638
6.928% 4.622% 0.034% 4.047%
1.06 0.75 0.00 1.00

Wjpm Portafolio
24.3% 100.0%
.
Portafolio2 Mercado
0.0268 0.0269
El ratio de Treynor del portafolio1
genera una prima de riesgo de 0.0293% por
unidad de riesgo no diversificable

100.0%
ORTAFOLIO 2
Precios o cotizaciones Rendimientos
WMT MSFT WMT RP Rf

141.47 -0.99% 1.51% ### 0.13%

139.36 6.96% 3.43% 5.27% 0.13%
134.74 1.69% 4.55% 3.06% 0.14%
128.87 0.18% -7.53% -3.50% 0.12%
139.36 4.29% -2.18% 1.19% 0.09%
142.47 4.17% -5.66% -0.53% 0.08%
151.01 5.73% 10.12% 7.83% 0.07%
137.13 -3.74% -0.83% -2.35% 0.07%
138.28 -6.51% 1.18% -2.84% 0.06%
136.67 10.01% 7.30% 8.72% 0.06%
127.37 0.73% 8.03% 4.22% 0.04%
117.9 11.37% -3.03% 4.48% 0.05%
121.58
Rdto. Promedio 2.824% 1.409% 2.15% 0.09%
Varianza 0.002597 0.002799 0.001539 0.000000
Desviación Estándar 5.096% 5.291% 3.923% 0.034%
Beta del patrimonio (Be) 0.78 0.76 0.77 0.00
Covarianza(Rjnj,Rjpm) 0.00038374
Wmsft Wwmt Portafolio
Proporción (Wi) 52.2% 47.8% 100.0%
.
Ratio de Treynor 2.68%

Mensual Anual
Rdto.(P) 2.14756% 29.04%
Var(P) 0.001539 0.0053301
Ri(P) 3.92258% 13.59%
Sharpe 0.53 2.14
MSFT WMT
MSFT 0.00259685 0.00038374
WMT 0.00038374 0.00279919
 Rendimientos de un portafolio: Diez ac
S&P500
Fecha JNJ JPM
Mercado
1 5/1/2021 0.17% 4.52% 5.85%
2 4/1/2021 5.24% -0.99% 1.04%
3 3/1/2021 4.24% 4.36% 3.44%
4 2/1/2021 2.61% -2.86% 15.20%
5 1/1/2021 -1.11% 3.65% 1.26%
6 12/1/2020 3.71% 9.53% 7.80%
7 11/1/2020 10.75% 5.52% 21.35%
8 10/1/2020 -2.77% -7.91% 1.84%
9 9/1/2020 -3.92% -2.30% -3.91%
10 8/1/2020 7.01% 5.25% 4.68%
11 7/1/2020 5.51% 3.65% 2.74%
12 6/1/2020 1.84% -4.81% -3.34%

Rdto. Promedio mensual 2.77% 1.47% 4.83%

Beta (riesgo sistemático) 1.00 0.65 1.06
Desviación estándar (Riesgo) 4.05% 4.91% 6.93%
Alfa de Jensen -0.36% 1.88%
Inversión (Proporción - Wi) 10% 10%

Rendimiento del portafolio 3.51%

Beta del portafolio 0.95
Alfa de Jensen del Portafolio 0.8741%

ALFA DE JENSEN (IMAGINARIO)

Rf 2.5%
Rm 10%

Beta Rendimiento esperado :CAPM Rendimiento Real: R Alfa de Jensen

0 Err:522 1.5% -1.00%
0.1 Err:522 3.0% Err:522
0.2 Err:522 4.0% Err:522
0.3 Err:522 5.0% Err:522
0.4 Err:522 4.8% Err:522
0.5 Err:522 7.0% Err:522
0.6 Err:522 9.0% Err:522
0.7 Err:522 8.0% Err:522
0.8 Err:522 7.5% Err:522
0.9 Err:522 9.0% Err:522
1.0 Err:522 12.0% Err:522
 1.1 Err:522 14.0% Err:522
1.2 Err:522 10.0% Err:522
1.3 Err:522 11.0% Err:522
1.4 Err:522 15.0% Err:522
1.5 Err:522 14.0% Err:522
1.6 Err:522 12.0% Err:522
1.7 Err:522 17.0% Err:522
1.8 Err:522 18.0% Err:522
1.9 Err:522 15.0% Err:522
2.0 Err:522 18.0% Err:522

Empresa Beta Rendimiento esperado :CAPM Rendimiento Real: R Alfa de Jensen

Rf 0.00 0.09% 0.0875% 0.00%
PG 0.54 1.54% 1.590% 0.05%
GM 0.61 1.72% 7.655% 5.93%
JNJ 0.65 1.83% 1.468% -0.36%
CL 0.72 2.03% 1.525% -0.50%
WMT 0.76 2.12% 1.409% -0.71%
MSFT 0.78 2.18% 2.824% 0.64%
XOM
S&P500 0.95 2.65% 3.207% 0.56%
1.00 3% 2.7734% 0.00%
JPM 1.06 2.94% 4.828% 1.88%
BAC 1.31 3.61% 5.280% 1.67%
C 2.12 5.78% 5.343% -0.43%
s de un portafolio: Diez acciones de empresas que cotizan en NYSE
MSFT WMT C BAC PG CL XOM

-0.99% 1.51% 11.25% 4.58% 1.72% 4.40% 1.97%

6.96% 3.43% -2.08% 5.27% -1.49% 2.37% 2.53%
1.69% 4.55% 10.44% 11.49% 9.64% 4.83% 4.44%
0.18% -7.53% 14.57% 17.05% -3.07% -3.05% 21.24%
4.29% -2.18% -5.96% -1.57% -7.86% -8.79% 8.79%
4.17% -5.66% 11.97% 7.65% 0.20% -0.15% 10.73%
5.73% 10.12% 34.60% 18.81% 1.86% 9.16% 16.88%
-3.74% -0.83% -3.91% -0.93% -1.36% 2.25% -4.99%
-6.51% 1.18% -15.67% -6.40% 0.48% -2.67% -12.36%
10.01% 7.30% 3.26% 3.45% 6.17% 3.27% -5.07%
0.73% 8.03% -2.13% 5.46% 9.66% 5.37% -5.90%
11.37% -3.03% 7.78% -1.49% 3.15% 1.29% 0.24%

2.82% 1.41% 5.34% 5.28% 1.59% 1.52% 3.21%

0.78 0.76 2.12 1.31 0.54 0.72 0.95
5.10% 5.29% 12.32% 7.29% 4.88% 4.51% 9.46%
0.64% -0.71% -0.43% 1.67% 0.05% -0.50% 0.56%
10% 10% 10% 10% 10% 10% 10%

Situacion / Condicion
sobrevalorado Alfa de Jensen: Rendimiento esp
sobrevalorado
20.00%
Adecuadamente Valuado
subvaluado 18.00%
sobrevalorado 16.00%
subvaluado
14.00%
subvaluado
subvaluado 12.00%
rendimiento

sobrevalorado
10.00%
sobrevalorado
subvaluado 8.00%

6.00%

4.00%

2.00%
 12.00%

rendimiento
10.00%

8.00%

subvaluado 6.00%
sobrevalorado
4.00%
sobrevalorado
subvaluado 2.00%

subvaluado 0.00%
0 0.5 1
sobrevalorado
subvaluado Beta(B)
Rendimiento esperado: Re
subvaluado
sobrevalorado
subvaluado

Situacion / Condicion
Adecuadamente Valuado 9.00% Alfa de Jensen: Rendimiento espera
subvaluado GM
8.00%
subvaluado
sobrevalorado 7.00%
sobrevalorado
sobrevalorado 6.00%
BAC
subvaluado
RENDIMIENTO

5.00%
subvaluado
Adecuadamente Valuado
4.00%
subvaluado
subvaluado 3.00%
sobrevalorado
2.00%

1.00%

0.00%
0.00 0.50 1.00
Rendimiento esperado :CAPM

BETA
 GM Rf

3.65% 0.13%
-0.42% 0.13%
11.94% 0.14%
1.28% 0.12%
21.71% 0.09%
-5.02% 0.08%
26.96% 0.07%
16.69% 0.07%
-0.13% 0.06%
19.04% 0.06%
-1.62% 0.04%
-2.24% 0.05%

7.65% 0.09%
0.61 0.00
10.52% 0.03%
5.93%
10%

endimiento esperado y rendimiento real

 1 1.5 2 2.5

Beta(B)
dimiento esperado: Re

dimiento esperado y rendimiento real

BAC

1.00 1.50 2.00 2.50

do :CAPM Linear (Rendimiento esperado :CAPM)

BETA