EXAMEN PARCIAL 2

II parte. (10 puntos) Resuelva los siguientes incisos:

1) Determinar rendimientos, riesgos, e índices de desempeño para cada activo individual. (3 pts)
a) ¿Qué acción es la más rentable?
b) ¿Qué acción es la más riesgosa y cual es su desviación estándar?
c) Tomando en cuenta que la tasa libre de riesgo es del 3%. ¿Cúal acción es

2) Determinar retorno, riesgo y desempeño de los siguientes portafolios (7 pts):

a) Portafolio de 3 activos (CITY - INTC - JOY)
b) Portafolio de 5 activos (LOWES-GSK-MICROSOFT-PANDORA-QEP)
c) Para el primer portafolio determinar la combinación (w´s) que mejor ind
d) Para el segundo portafolio determinar qué porporción (w´s) daría el por

Fecha CITY LOWES GSK Microsoft

5/1/2014 32.95 40.53 58.42 29.8
6/1/2014 26.45 38.39 54.17 27.34
7/1/2014 27.35 40.38 56.48 28.66
8/1/2014 27.07 39.08 56.18 27.61
9/1/2014 29.65 40.19 56.75 29.06
10/1/2014 32.66 40.79 55.35 28.06
11/1/2014 37.32 41.8 54.68 26.91
12/1/2014 34.51 40.48 54.61 25.31
1/1/2015 39.49 40.35 56.15 25.39
2/1/2015 42.1 42.94 57.65 26.1
3/1/2015 41.91 42.69 60.93 26.65
4/1/2015 44.18 43.7 66.13 27.43
5/1/2015 46.59 44.3 67.26 31.73
6/1/2015 51.93 45.5 74.44 33.69
7/1/2015 47.91 44.09 73.51 33.34
8/1/2015 52.08 45.23 72.75 30.74
9/1/2015 48.28 44.21 70.92 32.47
10/1/2015 48.46 46.48 74.48 32.35
11/1/2015 48.74 48.04 80.92 34.42
12/1/2015 52.88 47.14 84.88 37.35
1/1/2016 52.07 48.03 89.75 36.64
2/1/2016 47.4 44.4 84.32 37.06
3/1/2016 48.6 43.35 90.53 37.81
4/1/2016 47.57 43.92 89.29 40.45
5/1/2016 47.88 43.84 86.93 39.87
6/1/2016 47.55 43.07 90.98 40.69
 7/1/2016 47.08 43.95 94.33 41.44
8/1/2016 48.9 42.07 87.74 42.89
9/1/2016 51.64 43.74 89.28 45.43
10/1/2016 51.81 41.66 87.28 46.36
11/1/2016 53.53 43.6 89.95 46.95
12/1/2016 53.75 43.51 92.26 48.68
 EXAMEN PARCIAL 2

ara cada activo individual. (3 pts)

al es su desviación estándar?
e de riesgo es del 3%. ¿Cúal acción es la más eficiente y por qué?

rtafolios (7 pts):

-MICROSOFT-PANDORA-QEP)
r la combinación (w´s) que mejor indice de desempeño se obtenga (usar solver)
nar qué porporción (w´s) daría el portafolio de mínima varianza (menor riesgo, usar solver)

INTC QEP JOY PANDORA CITY LOWES

132.86 30.6 68.57 8.6
124.88 26.16 54.28 10.74 -20% -5%
129.95 29.79 55.13 10.87 3% 5%
131.49 29.85 50.47 9.87 -1% -3%
134.78 28.54 52.04 11.99 10% 3%
138.2 31.49 54.65 10.95 10% 1%
135.68 28.85 60.88 8.42 14% 2%
136.45 27.99 55.73 8.72 -8% -3%
137.67 30.13 62.37 9.18 14% 0%
144.72 29.22 61.77 11.52 7% 6%
146.57 30.34 62.11 12.2 0% -1%
152.13 31.72 58.36 14.16 5% 2%
155.05 28.6 55.42 13.93 5% 1%
158.71 28.27 53.2 17.02 11% 3%
156.6 27.69 47.74 18.4 -8% -3%
164.69 30.39 48.69 18.34 9% 3%
159.75 27.25 48.49 18.42 -7% -2%
164.8 27.62 50.39 25.13 0% 5%
172.44 32.98 56.02 25.13 1% 3%
177.55 31.96 55.83 28.4 8% -2%
182.15 30.59 57.92 26.6 -2% 2%
175.73 30.83 52.27 36.07 -9% -8%
183.73 28.89 54.63 37.42 3% -2%
185.25 29.4 57.61 30.32 -2% 1%
186.54 30.65 59.98 23.42 1% 0%
190.87 31.92 56.77 24.53 -1% -2%
194.81 34.48 61.38 29.5 -1% 2%
192.19 33.03 59.07 25.12 4% -4%
199.78 35.57 62.95 27.04 6% 4%
197.02 30.78 54.54 24.16 0% -5%
201.66 25.07 52.63 19.28 3% 5%
203.34 25.87 54.78 18.51 0% 0%

Retorno esperado 1.86% 0.29%

Varianza 0.00518 0.00117
Desviación estandar 0.07199 0.03415
Indice de desempeño 0.25775 0.08424
Tasa libre de riesgo 3%
Índice de Sharpe - 0.16 - 0.79

Acción más rentable Pandora

Acción más riesgosa INTC Desv Estandar
Acción más eficiente Pandora
GSK Microsoft INTC QEP JOY PANDORA

-7% -8% -6% -15% -21% 25%

4% 5% 4% 14% 2% 1%
-1% -4% 1% 0% -8% -9%
1% 5% 3% -4% 3% 21%
-2% -3% 3% 10% 5% -9%
-1% -4% -2% -8% 11% -23%
0% -6% 1% -3% -8% 4%
3% 0% 1% 8% 12% 5%
3% 3% 5% -3% -1% 25%
6% 2% 1% 4% 1% 6%
9% 3% 4% 5% -6% 16%
2% 16% 2% -10% -5% -2%
11% 6% 2% -1% -4% 22%
-1% -1% -1% -2% -10% 8%
-1% -8% 5% 10% 2% 0%
-3% 6% -3% -10% 0% 0%
5% 0% 3% 1% 4% 36%
9% 6% 5% 19% 11% 0%
5% 9% 3% -3% 0% 13%
6% -2% 3% -4% 4% -6%
-6% 1% -4% 1% -10% 36%
7% 2% 5% -6% 5% 4%
-1% 7% 1% 2% 5% -19%
-3% -1% 1% 4% 4% -23%
5% 2% 2% 4% -5% 5%
 4% 2% 2% 8% 8% 20%
-7% 3% -1% -4% -4% -15%
2% 6% 4% 8% 7% 8%
-2% 2% -1% -13% -13% -11%
3% 1% 2% -19% -4% -20%
3% 4% 1% 3% 4% -4%

1.58% 1.71% 1.42% -0.19% -0.43% 3.72%

0.00198 0.00242 0.00069 0.00702 0.00563 0.02528 Retorno
0.04447 0.04923 0.02629 0.08379 0.07503 0.15899 Varianza
0.35589 0.34825 0.53889 - 0.02214 - 0.05718 0.23402 Desempeño

- 0.32 - 0.26 - 0.60 - 0.38 - 0.46 0.05

Matriz Covarianza

0.02629 CITY
INTC
JOY

Matriz Correlación

CITY
INTC
JOY

Matriz Varianza-Covariancia

CITY
INTC
JOY

Maximizar desempeño

Desempeño Portafolio

Varianza

Desv Estandar

Índice desempeño
 Proporciones
Vendiendo en corto 9.86%

Desempeño Portafolio

Sin Vender en corto 0.00%

Desempeño Portafolio
 20.00%
20.00%
33.33% 20.00%
33.33% 20.00%
33.33% 20.00%

CITY INTC JOY Portafolio LOWES GSK

-20% -6% -21% -16% -5% -7%

3% 4% 2% 3% 5% 4%
-1% 1% -8% -3% -3% -1%
10% 3% 3% 5% 3% 1%
10% 3% 5% 6% 1% -2%
14% -2% 11% 8% 2% -1%
-8% 1% -8% -5% -3% 0%
14% 1% 12% 9% 0% 3%
7% 5% -1% 4% 6% 3%
0% 1% 1% 0% -1% 6%
5% 4% -6% 1% 2% 9%
5% 2% -5% 1% 1% 2%
11% 2% -4% 3% 3% 11%
-8% -1% -10% -6% -3% -1%
9% 5% 2% 5% 3% -1%
-7% -3% 0% -4% -2% -3%
0% 3% 4% 2% 5% 5%
1% 5% 11% 5% 3% 9%
8% 3% 0% 4% -2% 5%
-2% 3% 4% 2% 2% 6%
-9% -4% -10% -7% -8% -6%
3% 5% 5% 4% -2% 7%
-2% 1% 5% 1% 1% -1%
1% 1% 4% 2% 0% -3%
-1% 2% -5% -1% -2% 5%
 -1% 2% 8% 3% 2% 4%
4% -1% -4% 0% -4% -7%
6% 4% 7% 5% 4% 2%
0% -1% -13% -5% -5% -2%
3% 2% -4% 1% 5% 3%
0% 1% 4% 2% 0% 3%

Proporciones Proporciones
33.33% 33.33% 33.33% 100.00% 20.00% 20.00%
2% 1% 0% 0% 2%
0.00518242 0.000691371 0.0056298 0.00116651 0.001977798
0.25774837 0.538885733 -0.05718309 0.08424428 0.355888877

Matriz Covarianza Matriz Covarianza

CITY INTC JOY LOWES GSK
0.00518242 0.001090894 0.00325353 LOWES 0.00116651 0.000838637
0.00109089 0.000691371 0.00099672 GSK 0.00083864 0.001977798
0.00325353 0.000996721 0.0056298 Microsoft 0.00037371 0.000802498
PANDORA 4.71923E-05 0.001509981
QEP 0.0009065 0.001165257

Matriz Correlación
CITY INTC JOY Matriz Correlación
1 0.576315759 0.6023401 LOWES GSK
0.57631576 1 0.50521 LOWES 1 0.55212653
0.6023401 0.505209996 1 GSK 0.55212653 1
Microsoft 0.22224174 0.366515734
PANDORA 0.00869102 0.213562066
Matriz Varianza-Covariancia QEP 0.31677961 0.312726199
CITY INTC JOY
0.00057582 0.00012121 0.0003615
0.00012121 7.681897E-05 0.00011075 Matriz Varianza-Covariancia
0.0003615 0.000110747 0.00062553 LOWES GSK
LOWES 4.66605E-05 3.354549E-05
GSK 3.35455E-05 7.911193E-05
Maximizar desempeño Microsoft 1.49483E-05 3.209992E-05
PANDORA 1.88769E-06 6.039923E-05
esempeño Portafolio 0.95% QEP 3.626E-05 4.661027E-05

0.002465098
Minimizar varianza
esv Estandar 0.049649749
Desempeño Portafolio 1.42%
dice desempeño 19.09%
Varianza 0.00211418
roporciones Desv Estandar 0.045980214
120.62% -30.48% 100.00%
Índice desempeño 30.97%
esempeño Portafolio 67.04%

100.00% 0.00% 100.00% Proporciones

63.96% 4.71% 25.60%
esempeño Portafolio 53.89%
Menor riesgo 0.030178755
Microsoft PANDORA QEP Portafolio

-8% 25% -15% -2%

5% 1% 14% 6%
-4% -9% 0% -3%
5% 21% -4% 5%
-3% -9% 10% -1%
-4% -23% -8% -7%
-6% 4% -3% -2%
0% 5% 8% 3%
3% 25% -3% 7%
2% 6% 4% 3%
3% 16% 5% 7%
16% -2% -10% 1%
6% 22% -1% 8%
-1% 8% -2% 0%
-8% 0% 10% 1%
6% 0% -10% -2%
0% 36% 1% 10%
6% 0% 19% 8%
9% 13% -3% 4%
-2% -6% -4% -1%
1% 36% 1% 5%
2% 4% -6% 1%
7% -19% 2% -2%
-1% -23% 4% -5%
2% 5% 4% 3%
 2% 20% 8% 7%
3% -15% -4% -5%
6% 8% 8% 5%
2% -11% -13% -6%
1% -20% -19% -6%
4% -4% 3% 1%

20.00% 20.00% 20.00% 100.00%

2% 4% 0%
0.00242393 0.02527625 0.007019928
0.34824935 0.23401682 -0.02213727

Microsoft PANDORA QEP

0.00037371 4.71923E-05 0.0009065
0.0008025 0.00150998 0.001165257
0.00242393 0.00041662 8.36952E-05
0.00041662 0.02527625 0.001350957
8.36952E-05 0.00135096 0.007019928

Microsoft PANDORA QEP

0.22224174 0.00869102 0.31677961
0.36651573 0.21356207 0.312726199
1 0.05322575 0.020289617
0.05322575 1 0.101418891
0.02028962 0.10141889 1

Microsoft PANDORA QEP

1.49483E-05 1.88769E-06 3.626002E-05
3.20999E-05 6.03992E-05 4.661027E-05
9.69573E-05 1.66647E-05 3.347808E-06
1.66647E-05 0.00101105 5.403827E-05
3.34781E-06 5.40383E-05 0.000280797
2.61% 3.13% 100.00%