Riesgo y rendimiento de un activo financiero: Ejercicio.

1 Dados los precios de los siguientes activos por periodo de tiempo:

ACTIVOS RENDIMIE
Periodo (t) A (PA) B (PB) C (PC) D (PD) Periodo (t)
1 $24.00 $94.00 $159.00 $57.00
2 $27.00 $95.00 $165.00 $56.00 1-2
3 $25.00 $96.00 $162.00 $58.00 2-3
4 $29.00 $98.00 $168.00 $57.00 3-4
5 $31.00 $101.00 $170.00 $62.00 4-5

RENDIMI
Periodo (t)

1-2
2-3
3-4
4-5

RENDIMIENTO

Re
Riesgo = Var
Riesgo (%) = Ri
(+VAR.S) Var (fx)
(+DESVET.M) Ri (fx)

ORDENAMIENTO DE LOS ACTIV

ORDEN
1
2
3
4

2 Dados los precios de los siguientes activos por periodo de tiempo: Portafolio óptimo de Markowitz con n
 ACTIVOS
Periodo (t) A (PA) B (PB) C (PC) D (PD) E (PE) F (PF)
1 $31.46 $49.72 $109.13 $51.29 $39.32 $41.00
2 $32.06 $49.65 $109.91 $52.25 $39.32 $40.81
3 $31.86 $49.04 $110.66 $52.68 $39.38 $43.22
4 $31.87 $49.90 $111.48 $54.25 $39.11 $43.52
5 $31.60 $49.68 $112.55 $53.88 $39.25 $43.95
6 $31.70 $49.70 $114.19 $54.15 $39.38 $44.27
7 $31.96 $49.88 $112.75 $54.16 $39.61 $44.77
8 $31.99 $49.02 $111.48 $54.66 $39.69 $44.72
9 $31.54 $49.34 $108.91 $54.97 $39.95 $45.06
10 $31.87 $51.18 $109.12 $55.61 $39.68 $44.22
11 $31.84 $51.02 $108.80 $55.68 $39.88 $44.93
12 $32.04 $51.23 $104.63 $55.72 $39.45 $44.70

(+DESVET.M)
 A B C D E F
A 0.000079 0.000035 0.000011 0.000027 -0.000020 -0.000084
B 0.000035 0.000197 0.000003 0.000046 -0.000041 -0.000140
C 0.000011 0.000003 0.000237 0.000044 0.000018 0.000069
D 0.000027 0.000046 0.000044 0.000091 -0.000023 -0.000024
E -0.000020 -0.000041 0.000018 -0.000023 0.000031 0.000041
F -0.000084 -0.000140 0.000069 -0.000024 0.000041 0.000347

𝑅𝑒(𝑃)=𝑊∗ 〖𝑅𝑒〗

𝑅𝑒=[¯( 〖𝑅𝑒〗 _1 ) ¯( 〖𝑅𝑒〗 _2 ) "

𝑊=[𝑤_1 𝑤_2 𝑤_3

𝑤=[𝑤_1 𝑤_2 𝑤_3

OTRO ESCENARIO:
3 Dados los precios de los siguientes activos por periodo de tiempo: Portafolio óptimo de Markowitz con n

Periodo (t) UPS GOOGLE BA SBUX KO CSCO

2007 $85.46 $96.49 $51.77 $15.59 $20.82 $19.32
2008 $75.15 $207.63 $70.24 $15.01 $20.16 $17.12
2009 $74.98 $230.46 $88.84 $17.71 $24.13 $27.33
2010 $70.72 $346.08 $87.46 $10.24 $30.69 $27.07
2011 $55.16 $153.97 $42.67 $4.73 $22.64 $16.30
2012 $57.37 $310.29 $54.13 $11.53 $28.50 $23.94
2013 $72.58 $297.27 $65.26 $16.07 $32.89 $20.23
2014 $73.19 $323.26 $73.35 $23.01 $34.99 $18.08
2015 $73.73 $354.03 $75.36 $26.82 $36.25 $19.65
2016 $105.08 $560.90 $136.49 $39.20 $41.31 $22.43
2017 $111.17 $530.66 $129.98 $41.03 $42.22 $27.82
2018 $96.23 $778.01 $144.59 $60.03 $42.96 $27.16
2019 $114.64 $792.45 $155.68 $55.52 $41.46 $30.22
2020 $119.15 $1,053.40 $294.91 $57.43 $45.88 $38.30
2021 $97.53 $1,044.96 $322.50 $64.40 $47.35 $43.33

Resolución:

Periodo (t) Ra (UPS) Ra (GOOGLE) Ra (BA) Ra (SBUX) Ra (KO) Ra (CSCO)

2007-2008 -$10.31 $111.14 $18.47 -$0.58 -$0.66 -$2.20
2008-2009 -$0.17 $22.83 $18.60 $2.70 $3.97 $10.21
2009-2010 -$4.26 $115.62 -$1.38 -$7.47 $6.56 -$0.26
2010-2011 -$15.56 -$192.11 -$44.79 -$5.51 -$8.05 -$10.77
2011-2012 $2.21 $156.32 $11.46 $6.80 $5.86 $7.64
2012-2013 $15.21 -$13.02 $11.13 $4.54 $4.39 -$3.71
2013-2014 $0.61 $25.99 $8.09 $6.94 $2.10 -$2.15
2014-2015 $0.54 $30.77 $2.01 $3.81 $1.26 $1.57
2015-2016 $31.35 $206.87 $61.13 $12.38 $5.06 $2.78
2016-2017 $6.09 -$30.24 -$6.51 $1.83 $0.91 $5.39
2017-2018 -$14.94 $247.35 $14.61 $19.00 $0.74 -$0.66
2018-2019 $18.41 $14.44 $11.09 -$4.51 -$1.50 $3.06
 2019-2020 $4.51 $260.95 $139.23 $1.91 $4.42 $8.08
2020-2021 -$21.62 -$8.44 $27.59 $6.97 $1.47 $5.03

Periodo (t) Rr (UPS) Rr (GOOGLE) Rr (BA) Rr (SBUX) Rr (KO) Rr (CSCO)

2007-2008 -12.06% 115.18% 35.68% -3.72% -3.17% -11.39%
2008-2009 -0.23% 11.00% 26.48% 17.99% 19.69% 59.64%
2009-2010 -5.68% 50.17% -1.55% -42.18% 27.19% -0.95%
2010-2011 -22.00% -55.51% -51.21% -53.81% -26.23% -39.79%
2011-2012 4.01% 101.53% 26.86% 143.76% 25.88% 46.87%
2012-2013 26.51% -4.20% 20.56% 39.38% 15.40% -15.50%
2013-2014 0.84% 8.74% 12.40% 43.19% 6.38% -10.63%
2014-2015 0.74% 9.52% 2.74% 16.56% 3.60% 8.68%
2015-2016 42.52% 58.43% 81.12% 46.16% 13.96% 14.15%
2016-2017 5.80% -5.39% -4.77% 4.67% 2.20% 24.03%
2017-2018 -13.44% 46.61% 11.24% 46.31% 1.75% -2.37%
2018-2019 19.13% 1.86% 7.67% -7.51% -3.49% 11.27%
2019-2020 3.93% 32.93% 89.43% 3.44% 10.66% 26.74%
2020-2021 -18.15% -0.80% 9.36% 12.14% 3.20% 13.13%

UPS GOOGLE BA SBUX KO CSCO

Re 2.28% 26.43% 19.00% 19.03% 6.93% 8.85%
Riesgo = Var 0.0311 0.2031 0.1210 0.2216 0.0189 0.0661
Riesgo (%) = Ri 17.63% 45.06% 34.78% 47.08% 13.73% 25.72%
(+VAR.S) Var (fx) 0.0311 0.2031 0.1210 0.2216 0.0189 0.0661
(+DESVET.M) Ri (fx) 17.63% 45.06% 34.78% 47.08% 13.73% 25.72%

UPS GOOGLE BA SBUX KO CSCO

W 0.00% 2.24% 0.00% 1.42% 25.68% 0.00%

UPS GOOGLE BA SBUX KO CSCO

UPS 0.02887 0.00726 0.03112 0.02530 0.00896 0.00966
GOOGLE 0.00726 0.18858 0.07965 0.09632 0.02848 0.03229
BA 0.03112 0.07965 0.11232 0.05687 0.02189 0.03784
SBUX 0.02530 0.09632 0.05687 0.20582 0.03061 0.05410
KO 0.00896 0.02848 0.02189 0.03061 0.01752 0.02030
CSCO 0.00966 0.03229 0.03784 0.05410 0.02030 0.06141
AAPL 0.00550 0.18597 0.04770 0.08315 0.04763 0.03675
IBM 0.01386 0.02761 0.00865 0.06121 0.01765 0.02345
MSFT 0.01512 0.06221 0.05281 0.06525 0.02220 0.04591
GE 0.02813 0.04170 0.02263 0.04608 0.01546 0.00814
 DIS 0.02340 0.02650 0.03578 0.06917 0.01858 0.04095
INTC 0.01546 0.05314 0.03871 0.04238 0.01908 0.02312
AMZN 0.00811 0.16024 0.05566 0.13842 0.05036 0.03651
AABA 0.04858 0.06778 0.10718 0.06021 0.01799 0.03409
NKE 0.01488 0.03177 0.03641 0.04479 0.01862 0.01715
MCD 0.00011 0.00251 0.01885 -0.00711 0.00799 0.00165
CAT 0.02648 0.03492 0.05711 0.02374 0.01930 0.01956
WMT 0.00846 -0.02471 0.01450 -0.02161 -0.00222 0.00118
EBAY 0.02123 0.05442 0.03538 0.09508 0.02351 0.02817
NFLX 0.09082 0.15316 0.16365 0.14369 0.02254 -0.02222

𝑅𝑒(𝑃)=𝑊∗ 〖𝑅𝑒〗 ^𝑡
donde…
𝑅𝑒=[¯( 〖𝑅𝑒〗 _1 ) ¯( 〖𝑅𝑒〗 _2 ) " " ¯( 〖𝑅𝑒〗 _3 ) " " … ¯( 〖𝑅𝑒〗 _𝑛PORTAFOLIO
)] (P)
𝑊=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
Re (P) = 6.8484%
Var (P) = 0.007862
𝑅𝑖(𝑃)=√(𝑊 ∗ 𝑆 ∗ 𝑊^𝑡 ) Ri (P) = 8.8667%
donde…
𝑤=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
𝑆=𝑚𝑎𝑡𝑟𝑖𝑧 𝑑𝑒 𝑐𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎𝑠

OTRO ESCENARIO:

UPS GOOGLE BA SBUX KO CSCO

Re 2.28% 26.43% 19.00% 19.03% 6.93% 8.85%
Riesgo = Var 0.0311 0.2031 0.1210 0.2216 0.0189 0.0661
Riesgo (%) = Ri 17.63% 45.06% 34.78% 47.08% 13.73% 25.72%
(+VAR.S) Var (fx) 0.0311 0.2031 0.1210 0.2216 0.0189 0.0661
(+DESVET.M) Ri (fx) 17.63% 45.06% 34.78% 47.08% 13.73% 25.72%

UPS GOOGLE BA SBUX KO CSCO

W 11.40% 3.43% 4.34% 4.34% 5.82% 5.58%

UPS GOOGLE BA SBUX KO CSCO

UPS 0.02887 0.00726 0.03112 0.02530 0.00896 0.00966
GOOGLE 0.00726 0.18858 0.07965 0.09632 0.02848 0.03229
BA 0.03112 0.07965 0.11232 0.05687 0.02189 0.03784
 SBUX 0.02530 0.09632 0.05687 0.20582 0.03061 0.05410
KO 0.00896 0.02848 0.02189 0.03061 0.01752 0.02030
CSCO 0.00966 0.03229 0.03784 0.05410 0.02030 0.06141
AAPL 0.00550 0.18597 0.04770 0.08315 0.04763 0.03675
IBM 0.01386 0.02761 0.00865 0.06121 0.01765 0.02345
MSFT 0.01512 0.06221 0.05281 0.06525 0.02220 0.04591
GE 0.02813 0.04170 0.02263 0.04608 0.01546 0.00814
DIS 0.02340 0.02650 0.03578 0.06917 0.01858 0.04095
INTC 0.01546 0.05314 0.03871 0.04238 0.01908 0.02312
AMZN 0.00811 0.16024 0.05566 0.13842 0.05036 0.03651
AABA 0.04858 0.06778 0.10718 0.06021 0.01799 0.03409
NKE 0.01488 0.03177 0.03641 0.04479 0.01862 0.01715
MCD 0.00011 0.00251 0.01885 -0.00711 0.00799 0.00165
CAT 0.02648 0.03492 0.05711 0.02374 0.01930 0.01956
WMT 0.00846 -0.02471 0.01450 -0.02161 -0.00222 0.00118
EBAY 0.02123 0.05442 0.03538 0.09508 0.02351 0.02817
NFLX 0.09082 0.15316 0.16365 0.14369 0.02254 -0.02222

𝑅𝑒(𝑃)=𝑊∗ 〖𝑅𝑒〗 ^𝑡
donde…
𝑅𝑒=[¯( 〖𝑅𝑒〗 _1 ) ¯( 〖𝑅𝑒〗 _2 ) " " ¯( 〖𝑅𝑒〗 _3 ) " " … ¯( 〖𝑅𝑒〗 _𝑛PORTAFOLIO
)] (P)
𝑊=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
Re (P) = 10.0000%
Var (P) = 0.028674
𝑅𝑖(𝑃)=√(𝑊 ∗ 𝑆 ∗ 𝑊^𝑡 ) Ri (P) = 16.9335%
donde…
𝑤=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
𝑆=𝑚𝑎𝑡𝑟𝑖𝑧 𝑑𝑒 𝑐𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎𝑠
 RENDIMIENTO ABSOLUTO 𝑅𝑎=𝑃_𝑡−𝑃_(𝑡−1)
Ra (A) Ra (B) Ra (C) Ra (D)

$3.00 $1.00 $6.00 -$1.00

-$2.00 $1.00 -$3.00 $2.00
$4.00 $2.00 $6.00 -$1.00
$2.00 $3.00 $2.00 $5.00

𝑅𝑟=(𝑃_𝑡−𝑃_(𝑡−1))/𝑃_(𝑡−1)
RENDIMIENTO RELATIVO
Rr (A) Rr (B) Rr (C) Rr (D)

12.50% 1.06% 3.77% -1.75%

-7.41% 1.05% -1.82% 3.57%
16.00% 2.08% 3.70% -1.72%
6.90% 3.06% 1.19% 8.77%

𝑅𝑒=¯𝑅=1/𝑇 ∑24_(𝑡=1)^𝑇▒𝑅_𝑡
RENDIMIENTO ESPERADO Y RIESGO
Re (A) Re (B) Re (C) Re (D)

7.00% 1.82% 1.71% 2.22%

𝑅𝑖=√(1/(𝑇−1) ∑24_(𝑡=1)^𝑇▒(𝑅_𝑡−¯𝑅)^2 )
0.01063 0.00009 0.00070 0.00254
10.31% 0.96% 2.64% 5.04%
0.01063 0.00009 0.00070 0.00254
10.31% 0.96% 2.64% 5.04%

DENAMIENTO DE LOS ACTIVOS SEGÚN EL RENDIMIENTO Y RIESGO

ACTIVO RENDIMIENTO Re RIESGO Ri
A 7.00% 10.31%
D 2.22% 5.04%
B 1.82% 0.96%
C 1.71% 2.64%

óptimo de Markowitz con n activos financieros

 RENDIMIENTO ABSOLUTO
Periodo (t) Ra (A) Ra (B) Ra (C) Ra (D) Ra (E) Ra (F)

1-2 $0.60 -$0.07 $0.78 $0.96 $0.00 -$0.19

2-3 -$0.20 -$0.61 $0.75 $0.43 $0.06 $2.41
3-4 $0.01 $0.86 $0.82 $1.57 -$0.27 $0.30
4-5 -$0.27 -$0.22 $1.07 -$0.37 $0.14 $0.43
5-6 $0.10 $0.02 $1.64 $0.27 $0.13 $0.32
6 -7 $0.26 $0.18 -$1.44 $0.01 $0.23 $0.50
7-8 $0.03 -$0.86 -$1.27 $0.50 $0.08 -$0.05
8-9 -$0.45 $0.32 -$2.57 $0.31 $0.26 $0.34
9 - 10 $0.33 $1.84 $0.21 $0.64 -$0.27 -$0.84
10 - 11 -$0.03 -$0.16 -$0.32 $0.07 $0.20 $0.71
11 - 12 $0.20 $0.21 -$4.17 $0.04 -$0.43 -$0.23

RENDIMIENTO RELATIVO
Periodo (t) Rr (A) Rr (B) Rr (C) Rr (D) Rr (E) Rr (F)

1-2 1.91% -0.14% 0.71% 1.87% 0.00% -0.46%

2-3 -0.62% -1.23% 0.68% 0.82% 0.15% 5.91%
3-4 0.03% 1.75% 0.74% 2.98% -0.69% 0.69%
4-5 -0.85% -0.44% 0.96% -0.68% 0.36% 0.99%
5-6 0.32% 0.04% 1.46% 0.50% 0.33% 0.73%
6 -7 0.82% 0.36% -1.26% 0.02% 0.58% 1.13%
7-8 0.09% -1.72% -1.13% 0.92% 0.20% -0.11%
8-9 -1.41% 0.65% -2.31% 0.57% 0.66% 0.76%
9 - 10 1.05% 3.73% 0.19% 1.16% -0.68% -1.86%
10 - 11 -0.09% -0.31% -0.29% 0.13% 0.50% 1.61%
11 - 12 0.63% 0.41% -3.83% 0.07% -1.08% -0.51%

RENDIMIENTO ESPERADO
A B C D E F

Re 0.17% 0.28% -0.37% 0.76% 0.03% 0.81%

Riesgo = Var 0.00009 0.00022 0.00026 0.00010 0.00003 0.00038
Riesgo (%) = Ri 0.93% 1.47% 1.61% 1.00% 0.58% 1.95%
(+VAR.S) Var (fx) 0.00009 0.00022 0.00026 0.00010 0.00003 0.00038
(+DESVET.M) Ri (fx) 0.93% 1.47% 1.61% 1.00% 0.58% 1.95%

PROPORCIONES INVERTIDAS
A B C D E F
W 20.01% 13.14% 0.00% 9.42% 50.57% 6.86%

MATRIZ VARIANZA - COVARIANZA

 A B C D E F
A 0.000079 0.000035 0.000011 0.000027 -0.000020 -0.000084
B 0.000035 0.000197 0.000003 0.000046 -0.000041 -0.000140
C 0.000011 0.000003 0.000237 0.000044 0.000018 0.000069
D 0.000027 0.000046 0.000044 0.000091 -0.000023 -0.000024
E -0.000020 -0.000041 0.000018 -0.000023 0.000031 0.000041
F -0.000084 -0.000140 0.000069 -0.000024 0.000041 0.000347

𝑅𝑒(𝑃)=𝑊∗ 〖𝑅𝑒〗 ^𝑡
donde…
¯( 〖𝑅𝑒〗 _1 ) ¯( 〖𝑅𝑒〗 _2 ) " " ¯( 〖𝑅𝑒〗 _3 ) " " … ¯( 〖𝑅𝑒〗 _𝑛PORTAFOLIO
)] (P)
𝑊=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
Re (P) = 0.2140%
Var (P) = 0.000007
𝑅𝑖(𝑃)=√(𝑊 ∗ 𝑆 ∗ 𝑊^𝑡 ) Ri (P) = 0.2634%
donde…
𝑤=[𝑤_1 𝑤_2 𝑤_3… 𝑤_𝑛 ]
𝑆=𝑚𝑎𝑡𝑟𝑖𝑧 𝑑𝑒 𝑐𝑜𝑣𝑎𝑟𝑖𝑎𝑛𝑧𝑎𝑠

OTRO ESCENARIO:

RENDIMIENTO ESPERADO
Re (A) Re (B) Re (C) Re (D) Re (E) Re (F)

Re 0.17% 0.28% -0.37% 0.76% 0.03% 0.81%

Riesgo = Var 0.00009 0.00022 0.00026 0.00010 0.00003 0.00038
Riesgo (%) = Ri 0.93% 1.47% 1.61% 1.00% 0.58% 1.95%
(+VAR.S) Var (fx) 0.00009 0.00022 0.00026 0.00010 0.00003 0.00038
(+DESVET.M) Ri (fx) 0.93% 1.47% 1.61% 1.00% 0.58% 1.95%

PROPORCIONES INVERTIDAS
A B C D E F
W 12.45% 17.38% 13.12% 20.51% 15.74% 20.80%

MATRIZ VARIANZA - COVARIANZA

A B C D E F
A 0.000079 0.000035 0.000011 0.000027 -0.000020 -0.000084
B 0.000035 0.000197 0.000003 0.000046 -0.000041 -0.000140
C 0.000011 0.000003 0.000237 0.000044 0.000018 0.000069
D 0.000027 0.000046 0.000044 0.000091 -0.000023 -0.000024
E -0.000020 -0.000041 0.000018 -0.000023 0.000031 0.000041
F -0.000084 -0.000140 0.000069 -0.000024 0.000041 0.000347
 PORTAFOLIO (P)

Re (P) = 0.3501%
Var (P) = 0.000026
Ri (P) = 0.5097%

óptimo de Markowitz con n activos financieros

ACTIVOS
AAPL IBM MSFT GE DIS INTC AMZN AABA
$4.60 $98.58 $26.72 $36.50 $27.80 $23.39 $44.29 $37.68
$10.27 $82.20 $26.15 $35.05 $23.97 $24.96 $47.15 $39.18
$12.12 $97.15 $29.86 $37.21 $34.27 $20.25 $39.46 $25.54
$28.30 $108.10 $35.60 $37.07 $32.28 $26.66 $92.64 $23.26
$12.19 $84.16 $19.44 $16.20 $22.69 $14.66 $51.28 $12.20
$30.10 $130.90 $30.48 $15.13 $32.25 $20.40 $134.52 $16.78
$46.08 $146.76 $27.91 $18.29 $37.51 $21.03 $180.00 $16.63
$57.86 $183.88 $25.96 $17.91 $37.50 $24.25 $173.10 $16.13
$76.02 $191.55 $26.71 $20.99 $49.79 $20.62 $250.87 $19.90
$80.15 $187.57 $37.41 $28.03 $76.40 $25.96 $398.79 $40.44
$110.38 $160.44 $46.45 $25.27 $94.19 $36.29 $310.35 $50.51
$105.26 $137.62 $55.48 $31.15 $105.08 $34.45 $675.89 $33.26
$115.82 $165.99 $62.14 $31.60 $104.22 $36.27 $749.87 $38.67
$169.23 $153.42 $85.54 $17.45 $107.51 $46.16 $1,169.47 $69.85
$157.74 $113.67 $101.57 $7.57 $109.65 $49.93 $1,501.97 $57.94

RENDIMIENTO ABSOLUTO
Ra (AAPL) Ra (IBM) Ra (MSFT) Ra (GE) Ra (DIS) Ra (INTC) Ra (AMZN) Ra (AABA)
$5.67 -$16.38 -$0.57 -$1.45 -$3.83 $1.57 $2.86 $1.50
$1.85 $14.95 $3.71 $2.16 $10.30 -$4.71 -$7.69 -$13.64
$16.18 $10.95 $5.74 -$0.14 -$1.99 $6.41 $53.18 -$2.28
-$16.11 -$23.94 -$16.16 -$20.87 -$9.59 -$12.00 -$41.36 -$11.06
$17.91 $46.74 $11.04 -$1.07 $9.56 $5.74 $83.24 $4.58
$15.98 $15.86 -$2.57 $3.16 $5.26 $0.63 $45.48 -$0.15
$11.78 $37.12 -$1.95 -$0.38 -$0.01 $3.22 -$6.90 -$0.50
$18.16 $7.67 $0.75 $3.08 $12.29 -$3.63 $77.77 $3.77
$4.13 -$3.98 $10.70 $7.04 $26.61 $5.34 $147.92 $20.54
$30.23 -$27.13 $9.04 -$2.76 $17.79 $10.33 -$88.44 $10.07
-$5.12 -$22.82 $9.03 $5.88 $10.89 -$1.84 $365.54 -$17.25
$10.56 $28.37 $6.66 $0.45 -$0.86 $1.82 $73.98 $5.41
 $53.41 -$12.57 $23.40 -$14.15 $3.29 $9.89 $419.60 $31.18
-$11.49 -$39.75 $16.03 -$9.88 $2.14 $3.77 $332.50 -$11.91

RENDIMIENTO RELATIVO
Rr (AAPL) Rr (IBM) Rr (MSFT) Rr (GE) Rr (DIS) Rr (INTC) Rr (AMZN) Rr (AABA)
123.26% -16.62% -2.13% -3.97% -13.78% 6.71% 6.46% 3.98%
18.01% 18.19% 14.19% 6.16% 42.97% -18.87% -16.31% -34.81%
133.50% 11.27% 19.22% -0.38% -5.81% 31.65% 134.77% -8.93%
-56.93% -22.15% -45.39% -56.30% -29.71% -45.01% -44.65% -47.55%
146.92% 55.54% 56.79% -6.60% 42.13% 39.15% 162.32% 37.54%
53.09% 12.12% -8.43% 20.89% 16.31% 3.09% 33.81% -0.89%
25.56% 25.29% -6.99% -2.08% -0.03% 15.31% -3.83% -3.01%
31.39% 4.17% 2.89% 17.20% 32.77% -14.97% 44.93% 23.37%
5.43% -2.08% 40.06% 33.54% 53.44% 25.90% 58.96% 103.22%
37.72% -14.46% 24.16% -9.85% 23.29% 39.79% -22.18% 24.90%
-4.64% -14.22% 19.44% 23.27% 11.56% -5.07% 117.78% -34.15%
10.03% 20.61% 12.00% 1.44% -0.82% 5.28% 10.95% 16.27%
46.11% -7.57% 37.66% -44.78% 3.16% 27.27% 55.96% 80.63%
-6.79% -25.91% 18.74% -56.62% 1.99% 8.17% 28.43% -17.05%

RENDIMIENTO ESPERADO
AAPL IBM MSFT GE DIS INTC AMZN AABA
40.19% 3.16% 13.02% -5.58% 12.68% 8.46% 40.53% 10.25%
0.3366 0.0503 0.0623 0.0811 0.0567 0.0581 0.3761 0.1812
58.02% 22.43% 24.96% 28.48% 23.80% 24.09% 61.33% 42.57%
0.3366 0.0503 0.0623 0.0811 0.0567 0.0581 0.3761 0.1812
58.02% 22.43% 24.96% 28.48% 23.80% 24.09% 61.33% 42.57%

PROPORCIONES INVERTIDAS
AAPL IBM MSFT GE DIS INTC AMZN AABA
0.00% 0.00% 0.00% 11.07% 0.00% 0.00% 0.00% 0.00%

MATRIZ VARIANZA - COVARIANZA

AAPL IBM MSFT GE DIS INTC AMZN AABA
0.00550 0.01386 0.01512 0.02813 0.02340 0.01546 0.00811 0.04858
0.18597 0.02761 0.06221 0.04170 0.02650 0.05314 0.16024 0.06778
0.04770 0.00865 0.05281 0.02263 0.03578 0.03871 0.05566 0.10718
0.08315 0.06121 0.06525 0.04608 0.06917 0.04238 0.13842 0.06021
0.04763 0.01765 0.02220 0.01546 0.01858 0.01908 0.05036 0.01799
0.03675 0.02345 0.04591 0.00814 0.04095 0.02312 0.03651 0.03409
0.31254 0.05995 0.05997 0.03268 0.01558 0.08053 0.19015 0.05279
0.05995 0.04673 0.01854 0.02250 0.02151 0.01568 0.05298 0.01410
0.05997 0.01854 0.05784 0.01430 0.03565 0.04300 0.09260 0.06307
0.03268 0.02250 0.01430 0.07532 0.03705 0.00885 0.04823 0.02280
 0.01558 0.02151 0.03565 0.03705 0.05260 0.01649 0.04032 0.04526
0.08053 0.01568 0.04300 0.00885 0.01649 0.05391 0.06728 0.05986
0.19015 0.05298 0.09260 0.04823 0.04032 0.06728 0.34924 0.06099
0.05279 0.01410 0.06307 0.02280 0.04526 0.05986 0.06099 0.16828
0.02854 0.00615 0.03114 0.02249 0.02855 0.02699 0.06672 0.03777
0.00538 0.00330 0.00219 0.00071 -0.00495 0.00329 0.01475 -0.00462
0.08572 0.02623 0.02460 0.01139 0.00854 0.03132 0.03790 0.06064
-0.01638 -0.00017 -0.00070 -0.01504 -0.00218 0.00334 -0.02806 0.03587
0.08607 0.04175 0.04557 0.04034 0.03984 0.03683 0.13116 0.06989
0.02447 -0.02154 0.05533 0.12301 0.08343 0.02627 0.16777 0.17307

RENDIMIENTO ESPERADO
AAPL IBM MSFT GE DIS INTC AMZN AABA
40.19% 3.16% 13.02% -5.58% 12.68% 8.46% 40.53% 10.25%
0.3366 0.0503 0.0623 0.0811 0.0567 0.0581 0.3761 0.1812
58.02% 22.43% 24.96% 28.48% 23.80% 24.09% 61.33% 42.57%
0.3366 0.0503 0.0623 0.0811 0.0567 0.0581 0.3761 0.1812
58.02% 22.43% 24.96% 28.48% 23.80% 24.09% 61.33% 42.57%

PROPORCIONES INVERTIDAS
AAPL IBM MSFT GE DIS INTC AMZN AABA
1.75% 6.28% 5.07% 7.35% 5.11% 5.63% 1.71% 5.41%

MATRIZ VARIANZA - COVARIANZA

AAPL IBM MSFT GE DIS INTC AMZN AABA
0.00550 0.01386 0.01512 0.02813 0.02340 0.01546 0.00811 0.04858
0.18597 0.02761 0.06221 0.04170 0.02650 0.05314 0.16024 0.06778
0.04770 0.00865 0.05281 0.02263 0.03578 0.03871 0.05566 0.10718
 0.08315 0.06121 0.06525 0.04608 0.06917 0.04238 0.13842 0.06021
0.04763 0.01765 0.02220 0.01546 0.01858 0.01908 0.05036 0.01799
0.03675 0.02345 0.04591 0.00814 0.04095 0.02312 0.03651 0.03409
0.31254 0.05995 0.05997 0.03268 0.01558 0.08053 0.19015 0.05279
0.05995 0.04673 0.01854 0.02250 0.02151 0.01568 0.05298 0.01410
0.05997 0.01854 0.05784 0.01430 0.03565 0.04300 0.09260 0.06307
0.03268 0.02250 0.01430 0.07532 0.03705 0.00885 0.04823 0.02280
0.01558 0.02151 0.03565 0.03705 0.05260 0.01649 0.04032 0.04526
0.08053 0.01568 0.04300 0.00885 0.01649 0.05391 0.06728 0.05986
0.19015 0.05298 0.09260 0.04823 0.04032 0.06728 0.34924 0.06099
0.05279 0.01410 0.06307 0.02280 0.04526 0.05986 0.06099 0.16828
0.02854 0.00615 0.03114 0.02249 0.02855 0.02699 0.06672 0.03777
0.00538 0.00330 0.00219 0.00071 -0.00495 0.00329 0.01475 -0.00462
0.08572 0.02623 0.02460 0.01139 0.00854 0.03132 0.03790 0.06064
-0.01638 -0.00017 -0.00070 -0.01504 -0.00218 0.00334 -0.02806 0.03587
0.08607 0.04175 0.04557 0.04034 0.03984 0.03683 0.13116 0.06989
0.02447 -0.02154 0.05533 0.12301 0.08343 0.02627 0.16777 0.17307
 TOTAL
100.00% Resultado de acuerdo a la minimización del riesgo.
 TOTAL
100.00% Resultado de acuerdo a requerimiento de rendimiento: 0.3500%
 NKE MCD CAT WMT EBAY NFLX
$11.34 $32.06 $48.76 $52.82 $24.48 $1.76
$10.85 $33.72 $57.77 $46.80 $18.19 $3.87
$12.38 $44.33 $61.33 $46.18 $12.66 $3.69
$16.06 $58.91 $72.56 $47.53 $13.97 $3.80
$12.75 $62.19 $44.67 $56.06 $5.88 $4.27
$16.52 $62.44 $56.99 $53.45 $9.90 $7.87
$21.36 $76.76 $93.66 $53.93 $11.71 $25.10
$24.09 $100.33 $90.60 $59.76 $12.77 $9.90
$25.80 $88.21 $89.61 $68.23 $21.46 $13.23
$39.32 $97.03 $90.81 $78.69 $23.09 $52.60
$48.08 $93.70 $91.53 $85.88 $23.62 $48.80
$62.50 $118.14 $67.96 $61.30 $27.48 $114.38
$50.83 $121.72 $92.74 $69.12 $29.69 $123.80
$62.55 $172.12 $157.58 $98.75 $37.74 $191.96
$74.14 $177.57 $127.07 $93.15 $28.07 $267.66

Ra (NKE) Ra (MCD) Ra (CAT) Ra (WMT) Ra (EBAY) Ra (NFLX)

-$0.49 $1.66 $9.01 -$6.02 -$6.29 $2.11
$1.53 $10.61 $3.56 -$0.62 -$5.53 -$0.18
$3.68 $14.58 $11.23 $1.35 $1.31 $0.11
-$3.31 $3.28 -$27.89 $8.53 -$8.09 $0.47
$3.77 $0.25 $12.32 -$2.61 $4.02 $3.60
$4.84 $14.32 $36.67 $0.48 $1.81 $17.23
$2.73 $23.57 -$3.06 $5.83 $1.06 -$15.20
$1.71 -$12.12 -$0.99 $8.47 $8.69 $3.33
$13.52 $8.82 $1.20 $10.46 $1.63 $39.37
$8.76 -$3.33 $0.72 $7.19 $0.53 -$3.80
$14.42 $24.44 -$23.57 -$24.58 $3.86 $65.58
-$11.67 $3.58 $24.78 $7.82 $2.21 $9.42
$11.72 $50.40 $64.84 $29.63 $8.05 $68.16
$11.59 $5.45 -$30.51 -$5.60 -$9.67 $75.70

Re (NKE) Re (MCD) Re (CAT) Re (WMT) Re (EBAY) Re (NFLX)

-4.32% 5.18% 18.48% -11.40% -25.69% 119.89%
14.10% 31.47% 6.16% -1.32% -30.40% -4.65%
29.73% 32.89% 18.31% 2.92% 10.35% 2.98%
-20.61% 5.57% -38.44% 17.95% -57.91% 12.37%
29.57% 0.40% 27.58% -4.66% 68.37% 84.31%
29.30% 22.93% 64.34% 0.90% 18.28% 218.93%
12.78% 30.71% -3.27% 10.81% 9.05% -60.56%
7.10% -12.08% -1.09% 14.17% 68.05% 33.64%
52.40% 10.00% 1.34% 15.33% 7.60% 297.58%
22.28% -3.43% 0.79% 9.14% 2.30% -7.22%
29.99% 26.08% -25.75% -28.62% 16.34% 134.39%
-18.67% 3.03% 36.46% 12.76% 8.04% 8.24%
23.06% 41.41% 69.92% 42.87% 27.11% 55.06%
18.53% 3.17% -19.36% -5.67% -25.62% 39.44%

NKE MCD CAT WMT EBAY NFLX

16.09% 14.09% 11.11% 5.37% 6.85% 66.74%
0.0401 0.0268 0.0972 0.0275 0.1223 0.9489
20.03% 16.38% 31.18% 16.57% 34.97% 97.41%
0.0401 0.0268 0.0972 0.0275 0.1223 0.9489
20.03% 16.38% 31.18% 16.57% 34.97% 97.41%

NKE MCD CAT WMT EBAY NFLX TOTAL

0.00% 18.61% 0.00% 40.98% 0.00% 0.00% 100.00%

NKE MCD CAT WMT EBAY NFLX

0.01488 0.00011 0.02648 0.00846 0.02123 0.09082
0.03177 0.00251 0.03492 -0.02471 0.05442 0.15316
0.03641 0.01885 0.05711 0.01450 0.03538 0.16365
0.04479 -0.00711 0.02374 -0.02161 0.09508 0.14369
0.01862 0.00799 0.01930 -0.00222 0.02351 0.02254
0.01715 0.00165 0.01956 0.00118 0.02817 -0.02222
0.02854 0.00538 0.08572 -0.01638 0.08607 0.02447
0.00615 0.00330 0.02623 -0.00017 0.04175 -0.02154
0.03114 0.00219 0.02460 -0.00070 0.04557 0.05533
0.02249 0.00071 0.01139 -0.01504 0.04034 0.12301
 0.02855 -0.00495 0.00854 -0.00218 0.03984 0.08343
0.02699 0.00329 0.03132 0.00334 0.03683 0.02627
0.06672 0.01475 0.03790 -0.02806 0.13116 0.16777
0.03777 -0.00462 0.06064 0.03587 0.06989 0.17307
0.03725 0.00919 0.00987 -0.00386 0.02669 0.09929
0.00919 0.02492 0.01550 0.00276 -0.00686 -0.00574
0.00987 0.01550 0.09026 0.01804 0.04231 0.05915
-0.00386 0.00276 0.01804 0.02549 0.00464 -0.02592
0.02669 -0.00686 0.04231 0.00464 0.11354 0.04624
0.09929 -0.00574 0.05915 -0.02592 0.04624 0.88110

NKE MCD CAT WMT EBAY NFLX

16.09% 14.09% 11.11% 5.37% 6.85% 66.74%
0.0401 0.0268 0.0972 0.0275 0.1223 0.9489
20.03% 16.38% 31.18% 16.57% 34.97% 97.41%
0.0401 0.0268 0.0972 0.0275 0.1223 0.9489
20.03% 16.38% 31.18% 16.57% 34.97% 97.41%

NKE MCD CAT WMT EBAY NFLX TOTAL

4.70% 4.94% 5.31% 6.01% 5.83% 0.00% 100.00%

NKE MCD CAT WMT EBAY NFLX

0.01488 0.00011 0.02648 0.00846 0.02123 0.09082
0.03177 0.00251 0.03492 -0.02471 0.05442 0.15316
0.03641 0.01885 0.05711 0.01450 0.03538 0.16365
 0.04479 -0.00711 0.02374 -0.02161 0.09508 0.14369
0.01862 0.00799 0.01930 -0.00222 0.02351 0.02254
0.01715 0.00165 0.01956 0.00118 0.02817 -0.02222
0.02854 0.00538 0.08572 -0.01638 0.08607 0.02447
0.00615 0.00330 0.02623 -0.00017 0.04175 -0.02154
0.03114 0.00219 0.02460 -0.00070 0.04557 0.05533
0.02249 0.00071 0.01139 -0.01504 0.04034 0.12301
0.02855 -0.00495 0.00854 -0.00218 0.03984 0.08343
0.02699 0.00329 0.03132 0.00334 0.03683 0.02627
0.06672 0.01475 0.03790 -0.02806 0.13116 0.16777
0.03777 -0.00462 0.06064 0.03587 0.06989 0.17307
0.03725 0.00919 0.00987 -0.00386 0.02669 0.09929
0.00919 0.02492 0.01550 0.00276 -0.00686 -0.00574
0.00987 0.01550 0.09026 0.01804 0.04231 0.05915
-0.00386 0.00276 0.01804 0.02549 0.00464 -0.02592
0.02669 -0.00686 0.04231 0.00464 0.11354 0.04624
0.09929 -0.00574 0.05915 -0.02592 0.04624 0.88110
Resultado de acuerdo a la minimización del riesgo.
Resultado de acuerdo a requerimiento de rendimiento:10.0000%