Академический Документы
Профессиональный Документы
Культура Документы
Beta (mensual
0.9800000 0.8700000 0.8200000 1.1200000
por 5 años)
Rendimiento
0.0046696 0.0006921 -0.0004426 0.0006861
Promedio
Pesos 0.1000000 0.1000000 0.1000000 0.1000000
0.0133766
0.0011818
-0.0078940
0.0028328
-0.0090257
0.0237231
0.0053812
-0.0120796
0.0039897
-0.0012826
-0.0092976
0.0057827
0.0073106
-0.0034587
0.0154323
-0.0017409
-0.0154651
0.0031313
0.0042248
0.0061029
-0.0073781
-0.0110680
-0.0066824
-0.0169422
0.0012110
-0.0028090
-0.0153789
0.0056125
-0.0006047
0.0011107
0.6300000
-0.0006901
0.1000000 100%
(CAT) (MSFT) (NKE) (HD) (VZ) (AMGN) (GS)
(CAT) 0.000292 0.000061 0.000051 0.000048 0.000039 0.000006 0.000123
(MSFT) 0.000061 0.000153 0.000071 0.000076 0.000038 0.000098 0.000050
(NKE) 0.000051 0.000071 0.000142 0.000069 0.000018 0.000038 0.000026
(HD) 0.000048 0.000076 0.000069 0.000108 0.000015 0.000054 0.000048
(VZ) 0.000039 0.000038 0.000018 0.000015 0.000038 0.000038 0.000033
(AMGN) 0.000006 0.000098 0.000038 0.000054 0.000038 0.000223 0.000011
(GS) 0.000123 0.000050 0.000026 0.000048 0.000033 0.000011 0.000177
(MRK) 0.000029 0.000047 0.000023 0.000052 0.000022 0.000048 0.000030
(DIS) 0.000102 0.000132 0.000090 0.000083 0.000048 0.000090 0.000073
(MCD) 0.000092 0.000062 0.000061 0.000060 0.000018 0.000031 0.000067
(MRK) (DIS) (MCD)
0.000029 0.000102 0.000092
0.000047 0.000132 0.000062
0.000023 0.000090 0.000061
0.000052 0.000083 0.000060
0.000022 0.000048 0.000018
0.000048 0.000090 0.000031
0.000030 0.000073 0.000067
0.000079 0.000045 0.000033
0.000045 0.000193 0.000087
0.000033 0.000087 0.000086
(CAT) (MSFT) (NKE) (HD)
Rendimiento
0.0046696 0.0006921 -0.0004426 0.0006861
Promedio
Pesos 0.0000000 0.0000000 0.0000000 0.0000000
0.0133766
0.0011818
-0.0078940
0.0028328
-0.0090257
0.0237231
0.0053812
-0.0120796
0.0039897
-0.0012826
-0.0092976
0.0057827
0.0073106
-0.0034587
0.0154323
-0.0017409
-0.0154651
0.0031313
0.0042248
0.0061029
-0.0073781
-0.0110680
-0.0066824
-0.0169422
0.0012110
-0.0028090
-0.0153789
0.0056125
-0.0006047
0.0011107
-0.0006901
0.0000000 1.0000000
Microsoft
Caterpillar Inc. The Home Depot
Corporation NIKE Inc. (NKE)
(CAT) Inc. (HD)
(MSFT)
9/25/2020 0.0140385 0.0209777 0.0046907 0.0165032
9/28/2020 -0.0021622 -0.0068285 -0.0067114 0.0014709
9/29/2020 -0.0064703 -0.0099833 0.0161654 -0.0047184
9/30/2020 0.0077702 0.0125163 -0.0044409 0.0154672
10/1/2020 -0.0214114 -0.0048246 -0.0085337 -0.0065131
10/2/2020 0.0393013 -0.0087019 0.0184158 0.0158944
10/5/2020 0.0086746 0.0152495 0.0066106 0.0042005
10/6/2020 -0.0160390 -0.0139355 -0.0092362 -0.0213451
10/7/2020 0.0097208 0.0133778 0.0129284 0.0069076
10/8/2020 0.0058427 0.0003326 -0.0052913 0.0023957
10/9/2020 0.0067778 0.0216825 0.0076159 0.0015764
10/12/2020 0.0165031 0.0119293 -0.0131869 -0.0016702
10/13/2020 0.0024734 0.0006286 0.0089808 0.0163107
10/14/2020 0.0058404 -0.0095964 -0.0144368 -0.0083590
10/15/2020 0.0297622 0.0117918 0.0199241 0.0120372
10/16/2020 0.0089686 -0.0022257 -0.0116593 -0.0020468
10/19/2020 -0.0071708 -0.0281281 -0.0129358 -0.0208103
10/20/2020 0.0046968 -0.0053290 0.0038282 0.0031563
10/21/2020 -0.0141924 0.0078829 0.0072373 -0.0030835
10/22/2020 0.0100012 0.0044875 0.0032407 -0.0097559
10/23/2020 -0.0046053 0.0055806 -0.0000769 0.0021956
10/26/2020 -0.0206433 -0.0176292 -0.0053464 -0.0128737
10/27/2020 -0.0189488 0.0078454 -0.0061345 -0.0005415
10/28/2020 -0.0171651 -0.0240285 -0.0255428 -0.0019611
10/29/2020 0.0270252 0.0031852 0.0047432 -0.0002225
10/30/2020 0.0200701 -0.0050614 -0.0289504 -0.0078492
11/2/2020 0.0255654 -0.0095942 0.0001634 0.0021840
11/3/2020 0.0163030 0.0124577 0.0046770 0.0091686
11/4/2020 -0.0248147 0.0110737 0.0160376 0.0215349
11/5/2020 0.0343756 0.0056296 0.0039476 -0.0086700
Rendimiento
0.0046696 0.0006921 -0.0004426 0.0006861
Promedio
Pesos 0.0002898 0.0008737 0.0017918 0.0017903
0.0133766
0.0011818
-0.0078940
0.0028328
-0.0090257
0.0237231
0.0053812
-0.0120796
0.0039897
-0.0012826
-0.0092976
0.0057827
0.0073106
-0.0034587
0.0154323
-0.0017409
-0.0154651
0.0031313
0.0042248
0.0061029
-0.0073781
-0.0110680
-0.0066824
-0.0169422
0.0012110
-0.0028090
-0.0153789
0.0056125
-0.0006047
0.0011107
-0.0006901
0.0017950 1.000000
Microsoft
Caterpillar Inc. The Home Depot
Corporation NIKE Inc. (NKE)
(CAT) Inc. (HD)
(MSFT)
9/25/2020 0.0140385 0.0209777 0.0046907 0.0165032
9/28/2020 -0.0021622 -0.0068285 -0.0067114 0.0014709
9/29/2020 -0.0064703 -0.0099833 0.0161654 -0.0047184
9/30/2020 0.0077702 0.0125163 -0.0044409 0.0154672
10/1/2020 -0.0214114 -0.0048246 -0.0085337 -0.0065131
10/2/2020 0.0393013 -0.0087019 0.0184158 0.0158944
10/5/2020 0.0086746 0.0152495 0.0066106 0.0042005
10/6/2020 -0.0160390 -0.0139355 -0.0092362 -0.0213451
10/7/2020 0.0097208 0.0133778 0.0129284 0.0069076
10/8/2020 0.0058427 0.0003326 -0.0052913 0.0023957
10/9/2020 0.0067778 0.0216825 0.0076159 0.0015764
10/12/2020 0.0165031 0.0119293 -0.0131869 -0.0016702
10/13/2020 0.0024734 0.0006286 0.0089808 0.0163107
10/14/2020 0.0058404 -0.0095964 -0.0144368 -0.0083590
10/15/2020 0.0297622 0.0117918 0.0199241 0.0120372
10/16/2020 0.0089686 -0.0022257 -0.0116593 -0.0020468
10/19/2020 -0.0071708 -0.0281281 -0.0129358 -0.0208103
10/20/2020 0.0046968 -0.0053290 0.0038282 0.0031563
10/21/2020 -0.0141924 0.0078829 0.0072373 -0.0030835
10/22/2020 0.0100012 0.0044875 0.0032407 -0.0097559
10/23/2020 -0.0046053 0.0055806 -0.0000769 0.0021956
10/26/2020 -0.0206433 -0.0176292 -0.0053464 -0.0128737
10/27/2020 -0.0189488 0.0078454 -0.0061345 -0.0005415
10/28/2020 -0.0171651 -0.0240285 -0.0255428 -0.0019611
10/29/2020 0.0270252 0.0031852 0.0047432 -0.0002225
10/30/2020 0.0200701 -0.0050614 -0.0289504 -0.0078492
11/2/2020 0.0255654 -0.0095942 0.0001634 0.0021840
11/3/2020 0.0163030 0.0124577 0.0046770 0.0091686
11/4/2020 -0.0248147 0.0110737 0.0160376 0.0215349
11/5/2020 0.0343756 0.0056296 0.0039476 -0.0086700
Rendimiento
0.0046696 0.0006921 -0.0004426 0.0006861
Promedio
Pesos 1.0000000 0.0000000 0.0000000 0.0000000
0.0133766
0.0011818
-0.0078940
0.0028328
-0.0090257
0.0237231
0.0053812
-0.0120796
0.0039897
-0.0012826
-0.0092976
0.0057827
0.0073106
-0.0034587
0.0154323
-0.0017409
-0.0154651
0.0031313
0.0042248
0.0061029
-0.0073781
-0.0110680
-0.0066824
-0.0169422
0.0012110
-0.0028090
-0.0153789
0.0056125
-0.0006047
0.0011107
-0.0006901
0.0000000 1.00
COEFICIENTE BETA DE LA CARTERA
=∑24_(𝑗=1)^𝑁▒ 〖𝑊 _𝑗 𝛽_𝑗 〗
𝐶𝑜𝑒𝑓𝑖𝑐𝑖𝑒𝑛𝑡𝑒 𝑏𝑒𝑡𝑎=𝛽_𝑝=(0,98∗0,10)+(0,87∗0,10)+(0,82∗0,10)+(1,12∗0,10)+(0,39∗0,10)+(0,81∗0,10)+
Coeficiente beta de la
0.855
cartera
RIESGO MÍNIMO
(CAT) (MSFT) (NKE) (HD) (VZ) (AMGN)
𝐶𝑜𝑒𝑓𝑖𝑐𝑖𝑒𝑛𝑡𝑒 𝑏𝑒𝑡𝑎=𝛽_𝑝=(0,98∗0,00)+(0,87∗0,00)+(0,82∗0,0456574)+(1,12∗0,0450284)+(0,39∗0,6692704
Coeficiente beta de la
carteracon con riesgo 0.47620924
mínimo
RIESGO MÁXIMO
(CAT) (MSFT) (NKE) (HD) (VZ) (AMGN)
𝐶𝑜𝑒𝑓𝑖𝑐𝑖𝑒𝑛𝑡𝑒 𝑏𝑒𝑡𝑎=𝛽_𝑝=(0,98∗1,00)+(0,87∗0,00)+(0,82∗0,00)+(1,12∗0,00)+(0,39∗0,00)+(0,81∗0,00)+(1,
Coeficiente beta de la
cartera con riesgo 0.980000
máximo
MÁXIMO RENDIMIENTO
(CAT) (MSFT) (NKE) (HD) (VZ) (AMGN)
𝐶𝑜𝑒𝑓𝑖𝑐𝑖𝑒𝑛𝑡𝑒 𝑏𝑒𝑡𝑎=𝛽_𝑝=(0,98∗0,00)+(0,87∗0,00)+(0,82∗0,00)+(1,12∗0,00)+(0,39∗0,00)+(0,81∗0,00)+(1,
Coeficiente beta de la
cartera con máximo 1.420000
rendimiento
BETA DE LA CARTERA
10)+(0,39∗0,10)+(0,81∗0,10)+(1,42∗0,10)+(0,43∗0,10)+(1,08∗0,10)+(0,63∗0,10)
GO MÍNIMO
(GS) (MRK) (DIS) (MCD)
0,0450284)+(0,39∗0,6692704)+(0,81∗0,00)+(1,42∗0,00)+(0,43∗0,1195234)+(1,08∗0,00)+(0,63∗0,1205204)
GO MÁXIMO
(GS) (MRK) (DIS) (MCD)
O RENDIMIENTO
(GS) (MRK) (DIS) (MCD)
+(0,39∗0,00)+(0,81∗0,00)+(1,42∗1,00)+(0,43∗0,00)+(1,08∗0,00)+(0,63∗0,00)
0,1205204)