Columna 1 Columna 2 Columna 3 Columna 4 Columna 5 Columna 6 Columna 7

Columna 1 0.02890764
Columna 2 0.00697076 0.17602239
Columna 3 0.02706147 0.07414079 0.10684303
Columna 4 0.0255421 0.09005705 0.0511119 0.19401092
Columna 5 0.009467 0.02669075 0.01931484 0.02966937 0.01697731
Columna 6 0.04124335 0.17559134 0.05726895 0.33281685 0.0657991 0.83324076
Columna 7 0.00921721 0.03016 0.0351131 0.0507095 0.01907205 0.10697561 0.05732962
Columna 8 0.00980634 0.02826277 0.02047798 0.02603385 0.02022295 0.04303328 0.03417624
Columna 9 0.01792619 0.00870391 0.03261909 0.05349037 0.00422291 0.06634728 0.01459927
Columna 10 0.0049278 0.17352912 0.04470677 0.0773296 0.04434891 0.27139883 0.03427213
Columna 11 0.01059343 0.0064049 0.0109921 -0.01247733 0.00791309 -0.03045407 0.00718495
Columna 12 0.01456751 0.02592231 0.00641892 0.0587391 0.01740237 0.13951449 0.02205559
Columna 13 0.01877689 0.05851866 0.04456283 0.06550342 0.02335546 0.12564613 0.04332897
Columna 14 0.0321103 0.03949799 0.01518703 0.0487752 0.01771631 0.04999332 0.00820882
Columna 15 0.01528388 0.01392472 0.01800371 0.00130058 0.01197534 0.01187119 0.01167125
Columna 16 0.01532399 0.01177682 0.00721348 0.01197478 0.01439412 0.01523542 0.02228493
Columna 17 0.01326422 0.00968438 0.01355463 0.00238178 0.00884787 -0.00016806 0.00971435
Columna 18 0.01344986 0.00852262 0.02322663 0.01264325 0.0055527 0.01778802 0.01435619
Columna 19 0.01734024 -0.0032699 0.01664884 0.00485558 0.00125958 0.00019493 0.00693703
Columna 20 0.0197054 0.01170475 0.02921825 0.00201984 0.01405663 0.01665441 0.02217684
Columna 21 0.02226788 0.03262661 0.03318597 0.0442297 0.01242408 0.0903857 0.03301832
Columna 22 0.02396605 0.02493858 0.03124743 0.06666416 0.01854526 0.1110351 0.03843651
Columna 23 0.01568362 0.04970729 0.03483793 0.04077144 0.01851892 0.0888835 0.02170266
Columna 24 0.00563246 0.14935602 0.05390813 0.12725663 0.04594851 0.32729816 0.03387741
Columna 25 0.01507757 0.03610651 0.02195203 0.02337587 0.0144756 0.02922749 0.01360636
Columna 26 0.02459264 0.04310551 0.04963571 0.04738426 0.01517212 0.11596194 0.0292617
Columna 27 0.01614787 0.02987657 0.03168328 0.0440165 0.01865172 0.06466188 0.01622682
Columna 28 -0.00020436 0.00230808 0.01790977 -0.00694377 0.00728006 -0.02632778 0.00150817
Columna 29 0.02527905 0.03265554 0.05273285 0.02268141 0.01832977 0.08973404 0.0183211
Columna 30 0.01035 -0.02281751 0.01104434 -0.01774851 -0.00069247 -0.01756358 0.00135162
Columna 31 0.03509567 0.0430089 0.07149631 0.05472785 0.00564994 -0.00511762 0.02594997
Columna 32 0.02222096 0.05113359 0.03058827 0.09123902 0.0233437 0.19958707 0.02659858
Columna 33 0.01200917 -0.00983059 0.00909226 0.00968788 0.01161438 0.00874517 0.01484787
Columna 34 0.03436842 0.09777372 0.07546158 0.13993031 0.03346761 0.28915211 0.06347719
Columna 35 0.07977092 0.14227538 0.15790975 0.12917379 0.01822435 0.18316249 -0.02110313
Columna 8 Columna 9 Columna 10 Columna 11 Columna 12 Columna 13 Columna 14 Columna 15
0.04262124
-0.00329417 0.04828129
0.04173062 -0.01025122 0.2916468
0.01378768 -0.00806975 0.01515013 0.02501579
0.01549486 0.00770393 0.05577475 0.01188288 0.04497416
0.03316244 0.02275259 0.05550626 -0.00209843 0.02118142
0.01811285 0.0248207 0.02991917 0.02104866 0.02586953
0.01677483 -0.00506366 0.03368646 0.02284418 0.02083283
0.02143491 0.00399146 0.02040212 0.0229153 0.02343774
0.01408821 0.00450521 0.016802 0.00914026 0.00644148
0.00763961 0.01383731 0.00096479 0.0051918 0.00635386
-0.00130377 0.02164712 -0.01446205 0.00583978 -0.00099454
0.0239417 0.00767656 0.0295422 0.01488037 0.00860135
0.01767098 0.02742538 0.02243473 0.00466942 0.01924333
0.02669206 0.02949314 0.01432786 0.00769596 0.0218444
0.02433416 0.01177996 0.07503225 -0.00059437 0.0156828
0.03633259 0.01362517 0.17762541 -0.01505276 0.0478359
0.02099339 0.01086761 0.0436321 0.01323466 0.00763084
0.01589147 0.02461969 0.04770094 0.00555992 0.02069409
0.01972449 0.01702863 0.02640147 0.00057146 0.00762898
0.00114777 -0.00436522 0.00504401 0.00858847 0.00282293
0.00926699 0.0159563 0.0799391 0.01135421 0.02494811
-0.00509862 0.01114348 -0.01552119 0.00178637 0.00188551
0.0147379 0.03674553 -0.03159219 0.01348206 0.0034983
0.01653546 0.04907665 0.08025659 -0.00622758 0.04102694
0.01948356 0.00173081 -0.00311476 0.01383427 0.0142005
0.03858742 0.04388558 0.11022519 0.00358707 0.05602697
-0.00866108 0.05806937 0.02309797 -0.00504879 -0.02424262
0.06509157
0.02727624 0.08777312
0.00741188 0.02031574 0.0267397
0.01846698 0.04289737 0.02361401
0.01801382 0.01888107 0.01103711
0.0177274 0.01192059 0.00678945
0.0070557 0.02499492 0.00360571
0.02181078 0.01961635 0.01852055
0.04009537 0.03437882 0.01133076
0.03832592 0.04092078 0.0090173
0.04312817 0.0120171 0.00867468
0.08182993 0.03924556 0.00444474
0.0198376 0.03390218 0.0095046
0.03549348 0.01843776 0.01325923
0.03446248 0.02777342 0.00251731
0.00130495 -0.00026111 0.00871449
0.02430689 0.01231667 0.02792434
0.00518347 -0.00671657 0.00536458
0.03762551 0.04785032 0.01272527
0.04832865 0.04485392 0.00810544
0.01041436 0.01814918 0.01557527
0.07485282 0.03547458 0.02042497
0.03967384 0.0997442 -0.00157267
Columna 16 Columna 17 Columna 18 Columna 19 Columna 20 Columna 21 Columna 22 Columna 23

0.03977374
0.01474513 0.01450457
0.00861958 0.00802114 0.01183478
0.01108618 0.0082357 0.01057538 0.02343217
0.01835827 0.0143557 0.01242756 0.01282656 0.02999148
0.02441839 0.01369093 0.01603202 0.01922552 0.0200275 0.04532877
0.02339808 0.0127569 0.01583109 0.02071951 0.02106093 0.03601289 0.05139642
0.00349822 0.01428782 0.01262753 -1.8528E-05 0.02113199 0.01515524 0.01674705 0.05112716
0.00618087 -0.00308995 0.00531158 -0.02069798 0.01359062 0.03364807 0.03553815 0.06154229
0.01344291 0.01286154 0.01024992 0.01365713 0.01916541 0.01065055 0.02712439 0.0234006
0.00843886 0.00871444 0.01883212 0.01472927 0.02485998 0.03050149 0.03092886 0.031736
0.00795269 0.01174666 0.0098026 0.00833286 0.01468936 0.01433229 0.02908967 0.02664722
0.00682958 0.00203512 0.00147076 -0.0041912 0.00271565 -0.00731089 -0.00495152 0.00287332
0.01626497 0.01391254 0.01080354 0.00923052 0.02915812 0.02560067 0.00857724 0.02959744
0.00171108 0.00908104 0.00977061 0.00947952 0.00779828 0.00934592 0.00061924 0.00468908
0.02209414 0.0185143 0.02384317 0.02805333 0.01739728 0.04040003 0.04048922 0.01532001
0.01779688 0.00827017 0.01412025 0.01223554 0.01885294 0.04353493 0.03984222 0.03595283
0.01937833 0.00763542 0.00578907 0.0031284 0.01533037 0.009462 0.01646184 0.00457281
0.02014877 0.01736608 0.02479301 0.01374006 0.02746789 0.05862621 0.06410999 0.05345284
-0.02300064 0.0056166 0.01934109 0.05888686 0.03054834 0.04971302 0.07253137 0.0212244
Columna 24 Columna 25 Columna 26 Columna 27 Columna 28 Columna 29 Columna 30 Columna 31

0.32786429
0.02381415 0.03805121
0.05916592 0.02083108 0.04773511
0.06002482 0.02467915 0.019999 0.03738461
0.01407534 -0.00050249 -0.00143496 0.00823099 0.0233114
0.03481598 0.00153736 0.03285681 0.0098528 0.01437228 0.08440657
-0.0286098 -0.00287309 0.00913326 -0.00076757 0.00218801 0.01754227 0.026863
-0.02780089 0.02114105 0.02898254 0.02251978 0.00151831 0.01422759 0.00631627 0.11154308
0.12026027 0.01865731 0.0443706 0.02770131 -0.0068169 0.04020396 0.0073303 0.00665357
0.0114825 0.00771382 0.00796402 0.01059691 0.007586 0.01032677 0.00189004 0.00851563
0.10702011 0.03093661 0.06742822 0.03736658 -0.00769263 0.05068693 0.00840325 0.05487232
0.16161556 0.05309157 0.08155671 0.08685416 -0.00451193 0.05375724 -0.03050123 0.14174391
Columna 32 Columna 33 Columna 34 Columna 35

0.10919361
0.01156744 0.0197293
0.08692831 0.01259145 0.15162938
0.03704539 -0.00410791 0.09581516 0.83526529
 año UPS GOOGL BA SBUX KO F
2004 85.46 96.49 51.77 15.59 20.82 14.64
2005 75.15 207.63 70.24 15.01 20.16 7.72
2006 74.98 230.46 88.84 17.71 24.13 7.51
2007 70.72 346.08 87.46 10.24 30.69 6.73
2008 55.16 153.97 42.67 4.73 22.64 2.29
2009 57.37 310.29 54.13 11.53 28.50 10.00
2010 72.58 297.27 65.26 16.07 32.89 16.79
2011 73.19 323.26 73.35 23.01 34.99 10.76
2012 73.73 354.03 75.36 26.82 36.25 12.95
2013 105.08 560.90 136.49 39.20 41.31 15.43
2014 111.17 530.66 129.98 41.03 42.22 15.50
2015 96.23 778.01 144.59 60.03 42.96 14.09
2016 114.64 792.45 155.68 55.52 41.46 12.13
2017 119.15 1,053.40 294.91 57.43 45.88 12.49
2018 97.53 1,044.96 322.50 64.40 47.35 7.65
2019 117.06 1,339.39 325.76 87.92 55.35 9.30

var%
2005 -12.1% 115.2% 35.7% -3.8% -3.2% -47.3%
2006 -0.2% 11.0% 26.5% 18.0% 19.7% -2.7%
2007 -5.7% 50.2% -1.6% -42.2% 27.2% -10.4%
2008 -22.0% -55.5% -51.2% -53.8% -26.2% -66.0%
2009 4.0% 101.5% 26.9% 143.8% 25.9% 336.7%
2010 26.5% -4.2% 20.6% 39.3% 15.4% 67.9%
2011 0.8% 8.7% 12.4% 43.2% 6.4% -35.9%
2012 0.7% 9.5% 2.7% 16.6% 3.6% 20.4%
2013 42.5% 58.4% 81.1% 46.2% 14.0% 19.2%
2014 5.8% -5.4% -4.8% 4.7% 2.2% 0.5%
2015 -13.4% 46.6% 11.2% 46.3% 1.8% -9.1%
2016 19.1% 1.9% 7.7% -7.5% -3.5% -13.9%
2017 3.9% 32.9% 89.4% 3.4% 10.7% 3.0%
2018 -18.1% -0.8% 9.4% 12.1% 3.2% -38.8%
2019 20.0% 28.2% 1.0% 36.5% 16.9% 21.6%

Promedio 3.5% 26.5% 17.8% 20.2% 7.6% 16.3%

Riesgo o DePob 17.0% 42.0% 32.7% 44.0% 13.0% 91.3%

Max Promed 63.7% NFLX

MaxRiesgo 91% NFLX

Min Prome -2.0% GE General Electric

Min Riesgo 10.9% JNJ Johnson and johnson
PASO 1 IR A ANALISIS DE DATOS Y LUEGO USAR COVARIANZA DE LA VARIACION PORCENTU
PASO 2 PEGADO ESPECIAL CON TRASPONER Y SALTAR BLANCOS

MATRIZ DE VARIANZAS Y COVARIANZAS SIN PONDEDAR

UPS GOOGL BA SBUX KO F

UPS 0.029 0.007 0.027 0.026 0.009 0.041
GOOGL 0.007 0.176 0.074 0.090 0.027 0.176
BA 0.027 0.074 0.107 0.051 0.019 0.057
SBUX 0.026 0.090 0.051 0.194 0.030 0.333
KO 0.009 0.027 0.019 0.030 0.017 0.066
F 0.041 0.176 0.057 0.333 0.066 0.833
CSCO 0.009 0.030 0.035 0.051 0.019 0.107
MRK 0.010 0.028 0.020 0.026 0.020 0.043
HD 0.018 0.009 0.033 0.053 0.004 0.066
AAPL 0.005 0.174 0.045 0.077 0.044 0.271
XOM 0.011 0.006 0.011 -0.012 0.008 -0.030
IBM 0.015 0.026 0.006 0.059 0.017 0.140
MSFT 0.019 0.059 0.045 0.066 0.023 0.126
GE 0.032 0.039 0.015 0.049 0.018 0.050
CVX 0.015 0.014 0.018 0.001 0.012 0.012
T 0.015 0.012 0.007 0.012 0.014 0.015
PG 0.013 0.010 0.014 0.002 0.009 0.000
JNJ 0.013 0.009 0.023 0.013 0.006 0.018
WFC 0.017 -0.003 0.017 0.005 0.001 0.000
BRK 0.020 0.012 0.029 0.002 0.014 0.017
JPM 0.022 0.033 0.033 0.044 0.012 0.090
DIS 0.024 0.025 0.031 0.067 0.019 0.111
INTC 0.016 0.050 0.035 0.041 0.019 0.089
AMZN 0.006 0.149 0.054 0.127 0.046 0.327
CVS 0.015 0.036 0.022 0.023 0.014 0.029
MMM 0.025 0.043 0.050 0.047 0.015 0.116
NKE 0.016 0.030 0.032 0.044 0.019 0.065
MCD 0.000 0.002 0.018 -0.007 0.007 -0.026
CAT 0.025 0.033 0.053 0.023 0.018 0.090
WMT 0.010 -0.023 0.011 -0.018 -0.001 -0.018
WEN 0.035 0.043 0.071 0.055 0.006 -0.005
EBAY 0.022 0.051 0.031 0.091 0.023 0.200
VZ 0.012 -0.010 0.009 0.010 0.012 0.009
AXP 0.034 0.098 0.075 0.140 0.033 0.289
NFLX 0.080 0.142 0.158 0.129 0.018 0.183
CSCO MRK HD AAPL XOM IBM MSFT
19.32 32.14 42.74 4.60 51.26 98.58 26.72
17.12 31.81 40.48 10.27 56.17 82.20 26.15
27.33 43.60 40.16 12.12 76.63 97.15 29.86
27.07 58.11 26.94 28.30 93.69 108.10 35.60
16.30 30.40 23.02 12.19 79.83 84.16 19.44
23.94 36.54 28.93 30.10 68.19 130.90 30.48
20.23 36.04 35.06 46.08 73.12 146.76 27.91
18.08 37.70 42.04 57.86 84.76 183.88 25.96
19.65 40.94 61.85 76.02 86.55 191.55 26.71
22.43 50.05 82.34 80.15 101.20 187.57 37.41
27.82 56.79 104.97 110.38 92.45 160.44 46.45
27.16 52.82 132.25 105.26 77.95 137.62 55.48
30.22 58.87 134.08 115.82 90.26 165.99 62.14
38.30 56.27 189.53 169.23 83.64 153.42 85.54
43.33 76.41 171.82 157.74 68.19 113.67 101.57
47.96 90.95 218.38 218.38 69.78 134.04 157.70

-11.4% -1.0% -5.3% 123.3% 9.6% -16.6% -2.1%

59.6% 37.1% -0.8% 18.0% 36.4% 18.2% 14.2%
-1.0% 33.3% -32.9% 133.5% 22.3% 11.3% 19.2%
-39.8% -47.7% -14.6% -56.9% -14.8% -22.1% -45.4%
46.9% 20.2% 25.7% 146.9% -14.6% 55.5% 56.8%
-15.5% -1.4% 21.2% 53.1% 7.2% 12.1% -8.4%
-10.6% 4.6% 19.9% 25.6% 15.9% 25.3% -7.0%
8.7% 8.6% 47.1% 31.4% 2.1% 4.2% 2.9%
14.2% 22.3% 33.1% 5.4% 16.9% -2.1% 40.1%
24.0% 13.5% 27.5% 37.7% -8.6% -14.5% 24.2%
-2.4% -7.0% 26.0% -4.6% -15.7% -14.2% 19.4%
11.3% 11.5% 1.4% 10.0% 15.8% 20.6% 12.0%
26.7% -4.4% 41.4% 46.1% -7.3% -7.6% 37.7%
13.1% 35.8% -9.3% -6.8% -18.5% -25.9% 18.7%
10.7% 19.0% 27.1% 38.4% 2.3% 17.9% 55.3%

9.0% 9.6% 13.8% 40.1% 3.3% 4.1% 15.8%

23.9% 20.6% 22.0% 54.0% 15.8% 21.2% 25.5%
A DE LA VARIACION PORCENTUAL
SALTAR BLANCOS

ONDEDAR

CSCO MRK HD AAPL XOM IBM MSFT

0.009 0.010 0.018 0.005 0.011 0.015 0.019
0.030 0.028 0.009 0.174 0.006 0.026 0.059
0.035 0.020 0.033 0.045 0.011 0.006 0.045
0.051 0.026 0.053 0.077 -0.012 0.059 0.066
0.019 0.020 0.004 0.044 0.008 0.017 0.023
0.107 0.043 0.066 0.271 -0.030 0.140 0.126
0.057 0.034 0.015 0.034 0.007 0.022 0.043
0.034 0.043 -0.003 0.042 0.014 0.015 0.033
0.015 -0.003 0.048 -0.010 -0.008 0.008 0.023
0.034 0.042 -0.010 0.292 0.015 0.056 0.056
0.007 0.014 -0.008 0.015 0.025 0.012 -0.002
0.022 0.015 0.008 0.056 0.012 0.045 0.021
0.043 0.033 0.023 0.056 -0.002 0.021 0.065
0.008 0.018 0.025 0.030 0.021 0.026 0.027
0.012 0.017 -0.005 0.034 0.023 0.021 0.007
0.022 0.021 0.004 0.020 0.023 0.023 0.018
0.010 0.014 0.005 0.017 0.009 0.006 0.018
0.014 0.008 0.014 0.001 0.005 0.006 0.018
0.007 -0.001 0.022 -0.014 0.006 -0.001 0.007
0.022 0.024 0.008 0.030 0.015 0.009 0.022
0.033 0.018 0.027 0.022 0.005 0.019 0.040
0.038 0.027 0.029 0.014 0.008 0.022 0.038
0.022 0.024 0.012 0.075 -0.001 0.016 0.043
0.034 0.036 0.014 0.178 -0.015 0.048 0.082
0.014 0.021 0.011 0.044 0.013 0.008 0.020
0.029 0.016 0.025 0.048 0.006 0.021 0.035
0.016 0.020 0.017 0.026 0.001 0.008 0.034
0.002 0.001 -0.004 0.005 0.009 0.003 0.001
0.018 0.009 0.016 0.080 0.011 0.025 0.024
0.001 -0.005 0.011 -0.016 0.002 0.002 0.005
0.026 0.015 0.037 -0.032 0.013 0.003 0.038
0.027 0.017 0.049 0.080 -0.006 0.041 0.048
0.015 0.019 0.002 -0.003 0.014 0.014 0.010
0.063 0.039 0.044 0.110 0.004 0.056 0.075
-0.021 -0.009 0.058 0.023 -0.005 -0.024 0.040
 GE CVX T PG JNJ WFC BRK
36.50 52.51 25.77 55.08 63.42 31.08 87,900.00
35.05 56.77 24.49 57.88 60.10 31.42 88,620.00
37.21 73.53 35.75 64.27 66.02 35.56 109,990.00
37.07 93.33 41.56 73.42 66.70 30.19 141,600.00
16.20 73.97 28.50 61.82 59.83 29.48 96,600.00
15.13 76.99 28.03 60.63 64.41 26.99 99,200.00
18.29 91.25 29.38 64.33 61.85 30.99 120,450.00
17.91 106.40 30.24 66.71 65.58 27.56 114,755.00
20.99 108.14 33.71 67.89 70.10 34.18 134,060.00
28.03 124.91 35.16 81.41 91.59 45.40 177,900.00
25.27 112.18 33.59 91.09 104.57 54.82 226,000.00
31.15 89.96 34.41 79.41 102.72 54.36 197,800.00
31.60 117.70 42.53 84.08 115.21 55.11 244,121.00
17.45 125.19 38.88 91.88 139.72 60.67 297,600.00
7.57 108.79 28.54 91.92 129.05 46.08 306,000.00
11.16 120.51 39.08 124.90 145.87 53.80 339,590.00

-4.0% 8.1% -5.0% 5.1% -5.2% 1.1% 0.8%

6.2% 29.5% 46.0% 11.0% 9.9% 13.2% 24.1%
-0.4% 26.9% 16.3% 14.2% 1.0% -15.1% 28.7%
-56.3% -20.7% -31.4% -15.8% -10.3% -2.4% -31.8%
-6.6% 4.1% -1.6% -1.9% 7.7% -8.4% 2.7%
20.9% 18.5% 4.8% 6.1% -4.0% 14.8% 21.4%
-2.1% 16.6% 2.9% 3.7% 6.0% -11.1% -4.7%
17.2% 1.6% 11.5% 1.8% 6.9% 24.0% 16.8%
33.5% 15.5% 4.3% 19.9% 30.7% 32.8% 32.7%
-9.8% -10.2% -4.5% 11.9% 14.2% 20.7% 27.0%
23.3% -19.8% 2.4% -12.8% -1.8% -0.8% -12.5%
1.4% 30.8% 23.6% 5.9% 12.2% 1.4% 23.4%
-44.8% 6.4% -8.6% 9.3% 21.3% 10.1% 21.9%
-56.6% -13.1% -26.6% 0.0% -7.6% -24.0% 2.8%
47.4% 10.8% 36.9% 35.9% 13.0% 16.8% 11.0%

-2.0% 7.0% 4.7% 6.3% 6.3% 4.9% 11.0%

29.6% 16.4% 19.9% 12.0% 10.9% 15.3% 17.3%
 GE CVX T PG JNJ WFC BRK
0.032 0.015 0.015 0.013 0.013 0.017 0.020
0.039 0.014 0.012 0.010 0.009 -0.003 0.012
0.015 0.018 0.007 0.014 0.023 0.017 0.029
0.049 0.001 0.012 0.002 0.013 0.005 0.002
0.018 0.012 0.014 0.009 0.006 0.001 0.014
0.050 0.012 0.015 0.000 0.018 0.000 0.017
0.008 0.012 0.022 0.010 0.014 0.007 0.022
0.018 0.017 0.021 0.014 0.008 -0.001 0.024
0.025 -0.005 0.004 0.005 0.014 0.022 0.008
0.030 0.034 0.020 0.017 0.001 -0.014 0.030
0.021 0.023 0.023 0.009 0.005 0.006 0.015
0.026 0.021 0.023 0.006 0.006 -0.001 0.009
0.027 0.007 0.018 0.018 0.018 0.007 0.022
0.088 0.020 0.043 0.019 0.012 0.025 0.020
0.020 0.027 0.024 0.011 0.007 0.004 0.019
0.043 0.024 0.040 0.015 0.009 0.011 0.018
0.019 0.011 0.015 0.015 0.008 0.008 0.014
0.012 0.007 0.009 0.008 0.012 0.011 0.012
0.025 0.004 0.011 0.008 0.011 0.023 0.013
0.020 0.019 0.018 0.014 0.012 0.013 0.030
0.034 0.011 0.024 0.014 0.016 0.019 0.020
0.041 0.009 0.023 0.013 0.016 0.021 0.021
0.012 0.009 0.003 0.014 0.013 0.000 0.021
0.039 0.004 0.006 -0.003 0.005 -0.021 0.014
0.034 0.010 0.013 0.013 0.010 0.014 0.019
0.018 0.013 0.008 0.009 0.019 0.015 0.025
0.028 0.003 0.008 0.012 0.010 0.008 0.015
0.000 0.009 0.007 0.002 0.001 -0.004 0.003
0.012 0.028 0.016 0.014 0.011 0.009 0.029
-0.007 0.005 0.002 0.009 0.010 0.009 0.008
0.048 0.013 0.022 0.019 0.024 0.028 0.017
0.045 0.008 0.018 0.008 0.014 0.012 0.019
0.018 0.016 0.019 0.008 0.006 0.003 0.015
0.035 0.020 0.020 0.017 0.025 0.014 0.027
0.100 -0.002 -0.023 0.006 0.019 0.059 0.031
 JPM DIS INTC AMZN CVS MMM NKE
39.01 27.80 23.39 44.29 22.535 82.07 11.34
39.69 23.97 24.96 47.15 26.42 77.50 10.85
48.30 34.27 20.25 39.46 30.91 77.93 12.38
43.65 32.28 26.66 92.64 39.75 84.32 16.06
31.15 22.69 14.66 51.28 28.74 57.54 12.75
41.67 32.25 20.40 134.52 32.21 82.67 16.52
42.42 37.51 21.03 180.00 34.77 86.30 21.36
33.25 37.50 24.25 173.10 40.78 81.73 24.09
43.97 49.79 20.62 250.87 48.35 92.85 25.80
58.48 76.40 25.96 398.79 71.57 140.25 39.32
62.58 94.19 36.29 310.35 96.31 164.32 48.08
66.03 105.08 34.45 675.89 97.77 150.64 62.50
86.29 104.22 36.27 749.87 78.91 178.57 50.83
106.94 107.51 46.16 1,169.47 72.5 235.37 62.55
97.62 109.65 49.93 1,501.97 65.52 190.54 74.14
139.40 144.63 59.85 1,847.84 74.29 176.42 101.31

1.7% -13.8% 6.7% 6.5% 17.2% -5.6% -4.3%

21.7% 43.0% -18.9% -16.3% 17.0% 0.6% 14.1%
-9.6% -5.8% 31.7% 134.8% 28.6% 8.2% 29.7%
-28.6% -29.7% -45.0% -44.6% -27.7% -31.8% -20.6%
33.8% 42.1% 39.2% 162.3% 12.1% 43.7% 29.5%
1.8% 16.3% 3.1% 33.8% 7.9% 4.4% 29.3%
-21.6% 0.0% 15.3% -3.8% 17.3% -5.3% 12.8%
32.2% 32.8% -15.0% 44.9% 18.6% 13.6% 7.1%
33.0% 53.4% 25.9% 59.0% 48.0% 51.1% 52.4%
7.0% 23.3% 39.8% -22.2% 34.6% 17.2% 22.3%
5.5% 11.6% -5.1% 117.8% 1.5% -8.3% 30.0%
30.7% -0.8% 5.3% 10.9% -19.3% 18.5% -18.7%
23.9% 3.2% 27.3% 56.0% -8.1% 31.8% 23.1%
-8.7% 2.0% 8.2% 28.4% -9.6% -19.0% 18.5%
42.8% 31.9% 19.9% 23.0% 13.4% -7.4% 36.6%

11.0% 14.0% 9.2% 39.4% 10.1% 7.4% 17.5%

21.3% 22.7% 22.6% 57.3% 19.5% 21.8% 19.3%
JPM DIS INTC AMZN CVS MMM NKE
0.022 0.024 0.016 0.006 0.015 0.025 0.016
0.033 0.025 0.050 0.149 0.036 0.043 0.030
0.033 0.031 0.035 0.054 0.022 0.050 0.032
0.044 0.067 0.041 0.127 0.023 0.047 0.044
0.012 0.019 0.019 0.046 0.014 0.015 0.019
0.090 0.111 0.089 0.327 0.029 0.116 0.065
0.033 0.038 0.022 0.034 0.014 0.029 0.016
0.018 0.027 0.024 0.036 0.021 0.016 0.020
0.027 0.029 0.012 0.014 0.011 0.025 0.017
0.022 0.014 0.075 0.178 0.044 0.048 0.026
0.005 0.008 -0.001 -0.015 0.013 0.006 0.001
0.019 0.022 0.016 0.048 0.008 0.021 0.008
0.040 0.038 0.043 0.082 0.020 0.035 0.034
0.034 0.041 0.012 0.039 0.034 0.018 0.028
0.011 0.009 0.009 0.004 0.010 0.013 0.003
0.024 0.023 0.003 0.006 0.013 0.008 0.008
0.014 0.013 0.014 -0.003 0.013 0.009 0.012
0.016 0.016 0.013 0.005 0.010 0.019 0.010
0.019 0.021 0.000 -0.021 0.014 0.015 0.008
0.020 0.021 0.021 0.014 0.019 0.025 0.015
0.045 0.036 0.015 0.034 0.011 0.031 0.014
0.036 0.051 0.017 0.036 0.027 0.031 0.029
0.015 0.017 0.051 0.062 0.023 0.032 0.027
0.034 0.036 0.062 0.328 0.024 0.059 0.060
0.011 0.027 0.023 0.024 0.038 0.021 0.025
0.031 0.031 0.032 0.059 0.021 0.048 0.020
0.014 0.029 0.027 0.060 0.025 0.020 0.037
-0.007 -0.005 0.003 0.014 -0.001 -0.001 0.008
0.026 0.009 0.030 0.035 0.002 0.033 0.010
0.009 0.001 0.005 -0.029 -0.003 0.009 -0.001
0.040 0.040 0.015 -0.028 0.021 0.029 0.023
0.044 0.040 0.036 0.120 0.019 0.044 0.028
0.009 0.016 0.005 0.011 0.008 0.008 0.011
0.059 0.064 0.053 0.107 0.031 0.067 0.037
0.050 0.073 0.021 0.162 0.053 0.082 0.087
 MCD CAT WMT WEN EBAY VZ AXP
32.06 48.76 52.82 12.77 24.48 36.31 49.34
33.72 57.77 46.80 16.44 18.19 27.00 51.46
44.33 61.33 46.18 21.35 12.66 34.64 60.67
58.91 72.56 47.53 8.57 13.97 40.64 52.02
62.19 44.67 56.06 4.94 5.88 31.68 18.55
62.44 56.99 53.45 4.69 9.90 30.96 40.52
76.76 93.66 53.93 4.62 11.71 35.78 42.92
100.33 90.60 59.76 5.36 12.77 40.12 47.17
88.21 89.61 68.23 4.70 21.46 43.27 57.48
97.03 90.81 78.69 8.72 23.09 49.14 90.73
93.70 91.53 85.88 9.03 23.62 46.78 93.04
118.14 67.96 61.30 10.77 27.48 46.22 69.55
121.72 92.74 69.12 13.52 29.69 53.38 74.08
172.12 157.58 98.75 16.42 37.74 52.93 99.31
177.57 127.07 93.15 15.61 28.07 56.22 95.32
197.61 147.68 118.84 22.21 36.11 61.40 124.49

5.2% 18.5% -11.4% 28.8% -25.7% -25.6% 4.3%

31.5% 6.2% -1.3% 29.9% -30.4% 28.3% 17.9%
32.9% 18.3% 2.9% -59.8% 10.4% 17.3% -14.3%
5.6% -38.4% 17.9% -42.4% -57.9% -22.1% -64.3%
0.4% 27.6% -4.7% -5.1% 68.6% -2.3% 118.4%
22.9% 64.3% 0.9% -1.5% 18.3% 15.6% 5.9%
30.7% -3.3% 10.8% 16.0% 9.0% 12.1% 9.9%
-12.1% -1.1% 14.2% -12.3% 68.1% 7.9% 21.9%
10.0% 1.3% 15.3% 85.5% 7.6% 13.6% 57.8%
-3.4% 0.8% 9.1% 3.6% 2.3% -4.8% 2.5%
26.1% -25.8% -28.6% 19.3% 16.3% -1.2% -25.2%
3.0% 36.5% 12.8% 25.5% 8.0% 15.5% 6.5%
41.4% 69.9% 42.9% 21.4% 27.1% -0.8% 34.1%
3.2% -19.4% -5.7% -4.9% -25.6% 6.2% -4.0%
11.3% 16.2% 27.6% 42.3% 28.6% 9.2% 30.6%

13.9% 11.4% 6.9% 9.7% 8.3% 4.6% 13.5%

15.3% 29.1% 16.4% 33.4% 33.0% 14.0% 38.9%
MCD CAT WMT WEN EBAY VZ AXP
0.000 0.025 0.010 0.035 0.022 0.012 0.034
0.002 0.033 -0.023 0.043 0.051 -0.010 0.098
0.018 0.053 0.011 0.071 0.031 0.009 0.075
-0.007 0.023 -0.018 0.055 0.091 0.010 0.140
0.007 0.018 -0.001 0.006 0.023 0.012 0.033
-0.026 0.090 -0.018 -0.005 0.200 0.009 0.289
0.002 0.018 0.001 0.026 0.027 0.015 0.063
0.001 0.009 -0.005 0.015 0.017 0.019 0.039
-0.004 0.016 0.011 0.037 0.049 0.002 0.044
0.005 0.080 -0.016 -0.032 0.080 -0.003 0.110
0.009 0.011 0.002 0.013 -0.006 0.014 0.004
0.003 0.025 0.002 0.003 0.041 0.014 0.056
0.001 0.024 0.005 0.038 0.048 0.010 0.075
0.000 0.012 -0.007 0.048 0.045 0.018 0.035
0.009 0.028 0.005 0.013 0.008 0.016 0.020
0.007 0.016 0.002 0.022 0.018 0.019 0.020
0.002 0.014 0.009 0.019 0.008 0.008 0.017
0.001 0.011 0.010 0.024 0.014 0.006 0.025
-0.004 0.009 0.009 0.028 0.012 0.003 0.014
0.003 0.029 0.008 0.017 0.019 0.015 0.027
-0.007 0.026 0.009 0.040 0.044 0.009 0.059
-0.005 0.009 0.001 0.040 0.040 0.016 0.064
0.003 0.030 0.005 0.015 0.036 0.005 0.053
0.014 0.035 -0.029 -0.028 0.120 0.011 0.107
-0.001 0.002 -0.003 0.021 0.019 0.008 0.031
-0.001 0.033 0.009 0.029 0.044 0.008 0.067
0.008 0.010 -0.001 0.023 0.028 0.011 0.037
0.023 0.014 0.002 0.002 -0.007 0.008 -0.008
0.014 0.084 0.018 0.014 0.040 0.010 0.051
0.002 0.018 0.027 0.006 0.007 0.002 0.008
0.002 0.014 0.006 0.112 0.007 0.009 0.055
-0.007 0.040 0.007 0.007 0.109 0.012 0.087
0.008 0.010 0.002 0.009 0.012 0.020 0.013
-0.008 0.051 0.008 0.055 0.087 0.013 0.152
-0.005 0.054 -0.031 0.142 0.037 -0.004 0.096

VAMOS A MODERAR EL RENDIMIENTO Y EL RIESG

 Condiciones del Solver para SRp
Rp >= Prom Benchmark Rp 16.22%
Wi <= 0.05 sp 14.86%
Wi >= 0 Rf 2.00%
100 % wi = 1 SRp 0.956648321

OPTIMIZACION Limite de inversion individua

Este portafolio, si lo hubiesemos lanzado a inicios del 2005 y lo hubiesem

hasta el 2019, obtendriamos una rentabilidad de 16.2% y una volatilid
NFLX S&P500
1.76 1,211.92
3.87 1,248.29
3.69 1,418.30
3.80 1,468.36
4.27 903.25
7.87 1,115.10
25.10 1,257.64
9.90 1,257.60
13.23 1,426.19
52.60 1,848.36
48.80 2,058.90
114.38 2,043.94
123.80 2,238.83
191.96 2,673.61 BACKTEST
267.66 2,506.85 REHACIENDO EL MODELO PARA PASSIVE MANAGEME
323.57 3,230.78

Ctrl + Shift + Enter

Pesos al max. Rendimiento
UPS GOOGL BA
0.00% 5.00% 0.00%
119.5% 3.0% 2005 0.0% 5.8% 0.0%
-4.4% 13.6% 2006 0.0% 0.5% 0.0%
3.0% 3.5% 2007 0.0% 2.5% 0.0%
12.3% -38.5% 2008 0.0% -2.8% 0.0%
84.3% 23.5% 2009 0.0% 5.1% 0.0%
218.9% 12.8% 2010 0.0% -0.2% 0.0%
-60.6% 0.0% 2011 0.0% 0.4% 0.0%
33.6% 13.4% 2012 0.0% 0.5% 0.0%
297.6% 29.6% 2013 0.0% 2.9% 0.0%
-7.2% 11.4% 2014 0.0% -0.3% 0.0%
134.4% -0.7% 2015 0.0% 2.3% 0.0%
8.2% 9.5% 2016 0.0% 0.1% 0.0%
55.1% 19.4% 2017 0.0% 1.6% 0.0%
39.4% -6.2% 2018 0.0% 0.0% 0.0%
20.9% 28.9% 2019 0.0% 1.4% 0.0%

63.7% 8.2%
91.4% 16.2%

Hallar el W_i
 1 fila es 100%
el resto es 0%
Formula SUMA

NFLX W_i R_i

0.080 UPS 0.00% 3.5%
0.142 GOOGL 5.00% 26.5%
0.158 BA 0.00% 17.8%
0.129 SBUX 0.00% 20.2%
0.018 KO 0.79% 7.6%
0.183 F 0.00% 16.3%
-0.021 CSCO 0.08% 9.0%
-0.009 MRK 5.00% 9.6%
0.058 HD 5.00% 13.8%
0.023 AAPL 5.00% 40.1%
-0.005 XOM 5.00% 3.3%
-0.024 IBM 0.00% 4.1%
0.040 MSFT 4.45% 15.8%
0.100 GE 0.00% -2.0%
-0.002 CVX 5.00% 7.0%
-0.023 T 0.00% 4.7%
0.006 PG 5.00% 6.3%
0.019 JNJ 5.00% 6.3%
0.059 WFC 5.00% 4.9%
0.031 BRK 5.00% 11.0%
0.050 JPM 4.68% 11.0%
0.073 DIS 5.00% 14.0%
0.021 INTC 0.00% 9.2%
0.162 AMZN 5.00% 39.4%
0.053 CVS 5.00% 10.1%
0.082 MMM 0.00% 7.4%
0.087 NKE 5.00% 17.5%
-0.005 MCD 5.00% 13.9%
0.054 CAT 0.00% 11.4%
-0.031 WMT 5.00% 6.9%
0.142 WEN 0.00% 9.7%
0.037 EBAY 0.00% 8.3%
-0.004 VZ 5.00% 4.6%
0.096 AXP 0.00% 13.5%
0.835 NFLX 5.00% 63.7%
100.00%

DERAR EL RENDIMIENTO Y EL RIESGO DEL PORTAFOLIO

 =+MMULT(TRANSPONER(AL57:AL91);AM57:AM91)
=+MMULT(TRANSPONER(AL57:AL91);MMULT(B57:AJ91;AL57:AL91))^(1/2)

Limite de inversion individual 5.0%

do a inicios del 2005 y lo hubiesemos mantenido

tabilidad de 16.2% y una volatilidad de 14.9%
BACKTEST
ARA PASSIVE MANAGEMENT

SBUX KO F CSCO MRK HD AAPL XOM

0.00% 0.79% 0.00% 0.08% 5.00% 5.00% 5.00% 5.00%
0.0% 0.0% 0.0% 0.0% -0.1% -0.3% 6.2% 0.5%
0.0% 0.2% 0.0% 0.0% 1.9% 0.0% 0.9% 1.8%
0.0% 0.2% 0.0% 0.0% 1.7% -1.6% 6.7% 1.1%
0.0% -0.2% 0.0% 0.0% -2.4% -0.7% -2.8% -0.7%
0.0% 0.2% 0.0% 0.0% 1.0% 1.3% 7.3% -0.7%
0.0% 0.1% 0.0% 0.0% -0.1% 1.1% 2.7% 0.4%
0.0% 0.1% 0.0% 0.0% 0.2% 1.0% 1.3% 0.8%
0.0% 0.0% 0.0% 0.0% 0.4% 2.4% 1.6% 0.1%
0.0% 0.1% 0.0% 0.0% 1.1% 1.7% 0.3% 0.8%
0.0% 0.0% 0.0% 0.0% 0.7% 1.4% 1.9% -0.4%
0.0% 0.0% 0.0% 0.0% -0.3% 1.3% -0.2% -0.8%
0.0% 0.0% 0.0% 0.0% 0.6% 0.1% 0.5% 0.8%
0.0% 0.1% 0.0% 0.0% -0.2% 2.1% 2.3% -0.4%
0.0% 0.0% 0.0% 0.0% 1.8% -0.5% -0.3% -0.9%
0.0% 0.1% 0.0% 0.0% 1.0% 1.4% 1.9% 0.1%
RESULTADOS

PASIVA ACTIVO

W_i R_i W_i

3% 3% 0%
1% 27% 5%
3% 18% 0%
1% 20% 0%
1% 8% 1%
0% 16% 0%
0% 9% 0%
5% 10% 5%
5% 14% 5%
3% 40% 5%
0% 3% 5%
0% 4% 0%
5% 16% 4%
5% -2% 0%
1% 7% 5%
5% 5% 0%
5% 6% 5%
5% 6% 5%
5% 5% 5%
5% 11% 5%
5% 11% 5%
5% 14% 5%
5% 9% 0%
0% 39% 5%
0% 10% 5%
0% 7% 0%
3% 17% 5%
0% 14% 5%
5% 11% 0%
5% 7% 5%
5% 10% 0%
4% 8% 0%
4% 5% 5%
2% 13% 0%
0% 64% 5%
100% 100%
Rp 10.4% Rp 16.22%
sp 15.0% sp 14.86%
Rf 2.0% Rf 2.00%
SRp 56.2% SRp 95.66%

PROM 10.41% PROM 16.22%

RISGO 14.97% RISGO 14.86%

R2 99.46% R2 77.77%
IBM MSFT GE CVX T PG JNJ WFC
0.00% 4.45% 0.00% 5.00% 0.00% 5.00% 5.00% 5.00%
0.0% -0.1% 0.0% 0.4% 0.0% 0.3% -0.3% 0.1%
0.0% 0.6% 0.0% 1.5% 0.0% 0.6% 0.5% 0.7%
0.0% 0.9% 0.0% 1.3% 0.0% 0.7% 0.1% -0.8%
0.0% -2.0% 0.0% -1.0% 0.0% -0.8% -0.5% -0.1%
0.0% 2.5% 0.0% 0.2% 0.0% -0.1% 0.4% -0.4%
0.0% -0.4% 0.0% 0.9% 0.0% 0.3% -0.2% 0.7%
0.0% -0.3% 0.0% 0.8% 0.0% 0.2% 0.3% -0.6%
0.0% 0.1% 0.0% 0.1% 0.0% 0.1% 0.3% 1.2%
0.0% 1.8% 0.0% 0.8% 0.0% 1.0% 1.5% 1.6%
0.0% 1.1% 0.0% -0.5% 0.0% 0.6% 0.7% 1.0%
0.0% 0.9% 0.0% -1.0% 0.0% -0.6% -0.1% 0.0%
0.0% 0.5% 0.0% 1.5% 0.0% 0.3% 0.6% 0.1%
0.0% 1.7% 0.0% 0.3% 0.0% 0.5% 1.1% 0.5%
0.0% 0.8% 0.0% -0.7% 0.0% 0.0% -0.4% -1.2%
0.0% 2.5% 0.0% 0.5% 0.0% 1.8% 0.7% 0.8%

TENEMOS QUE ESPECIFICA

Y --> nuestro potafolio GP

x --> benchmark

R2 - COEFICIENTE DE DETERMINA
 BRK JPM DIS INTC AMZN CVS MMM NKE
5.00% 4.68% 5.00% 0.00% 5.00% 5.00% 0.00% 5.00%
0.0% 0.1% -0.7% 0.0% 0.3% 0.9% 0.0% -0.2%
1.2% 1.0% 2.1% 0.0% -0.8% 0.8% 0.0% 0.7%
1.4% -0.5% -0.3% 0.0% 6.7% 1.4% 0.0% 1.5%
-1.6% -1.3% -1.5% 0.0% -2.2% -1.4% 0.0% -1.0%
0.1% 1.6% 2.1% 0.0% 8.1% 0.6% 0.0% 1.5%
1.1% 0.1% 0.8% 0.0% 1.7% 0.4% 0.0% 1.5%
-0.2% -1.0% 0.0% 0.0% -0.2% 0.9% 0.0% 0.6%
0.8% 1.5% 1.6% 0.0% 2.2% 0.9% 0.0% 0.4%
1.6% 1.5% 2.7% 0.0% 2.9% 2.4% 0.0% 2.6%
1.4% 0.3% 1.2% 0.0% -1.1% 1.7% 0.0% 1.1%
-0.6% 0.3% 0.6% 0.0% 5.9% 0.1% 0.0% 1.5%
1.2% 1.4% 0.0% 0.0% 0.5% -1.0% 0.0% -0.9%
1.1% 1.1% 0.2% 0.0% 2.8% -0.4% 0.0% 1.2%
0.1% -0.4% 0.1% 0.0% 1.4% -0.5% 0.0% 0.9%
0.5% 2.0% 1.6% 0.0% 1.2% 0.7% 0.0% 1.8%

TENEMOS QUE ESPECIFICAR EL MODELO

Y --> nuestro potafolio GP MI PORTAFOLIO TIENE R2 DE RIESGO SISTEMATICO O NO DIVERSIFICABLE EN EL MERC

x --> benchmark

2 - COEFICIENTE DE DETERMINACION
 MCD CAT WMT WEN EBAY VZ AXP NFLX
5.00% 0.00% 5.00% 0.00% 0.00% 5.00% 0.00% 5.00%
0.3% 0.0% -0.6% 0.0% 0.0% -1.3% 0.0% 6.0%
1.6% 0.0% -0.1% 0.0% 0.0% 1.4% 0.0% -0.2%
1.6% 0.0% 0.1% 0.0% 0.0% 0.9% 0.0% 0.1%
0.3% 0.0% 0.9% 0.0% 0.0% -1.1% 0.0% 0.6%
0.0% 0.0% -0.2% 0.0% 0.0% -0.1% 0.0% 4.2%
1.1% 0.0% 0.0% 0.0% 0.0% 0.8% 0.0% 10.9%
1.5% 0.0% 0.5% 0.0% 0.0% 0.6% 0.0% -3.0%
-0.6% 0.0% 0.7% 0.0% 0.0% 0.4% 0.0% 1.7%
0.5% 0.0% 0.8% 0.0% 0.0% 0.7% 0.0% 14.9%
-0.2% 0.0% 0.5% 0.0% 0.0% -0.2% 0.0% -0.4%
1.3% 0.0% -1.4% 0.0% 0.0% -0.1% 0.0% 6.7%
0.2% 0.0% 0.6% 0.0% 0.0% 0.8% 0.0% 0.4%
2.1% 0.0% 2.1% 0.0% 0.0% 0.0% 0.0% 2.8%
0.2% 0.0% -0.3% 0.0% 0.0% 0.3% 0.0% 2.0%
0.6% 0.0% 1.4% 0.0% 0.0% 0.5% 0.0% 1.0%

NO DIVERSIFICABLE EN EL MERCADO
Ese portafolio de gestion activa tiene

Le quedan diversificar

SOLVER PARA PASIVO

Se busca el maximo R2
Wi original <= 0.05
Wi original >= 0
100% = 1
 TRACKING ERROR

TE >= 5% ES GA

TE<=5% ES GP

SPREAD
MARGEN
Y F(x) Y-F(x)

Rent. Anual Index Error

17.2% 3.0% 14.2%

16.9% 13.6% 3.3%
25.9% 3.5% 22.4%
-22.6% -38.5% 15.9%
34.7% 23.5% 11.3%
23.7% 12.8% 11.0%
3.9% 0.0% 4.0%
16.5% 13.4% 3.1%
44.3% 29.6% 14.7%
10.4% 11.4% -1.0%
15.6% -0.7% 16.3%
8.2% 9.5% -1.3%
22.4% 19.4% 3.0% TE
2.5% -6.2% 8.7% 7.64%
23.4% 28.9% -5.5%

PROM 16.22%
RISGO 14.86%

R2 77.77%
77.8% De riesgo sistematico

22.2%
TE PASIVO
1.65%
 USDPEN Precios en US$
Año S/ X US$ BAP US$ BVN US$ SCCO US$ CVERDEC1 US$ VOLCABC1 MINSURI1
2000 3.53 6.00 3.63 2.09 0.29 0.19 0.48
2001 3.44 8.75 5.18 1.92 0.16 0.06 0.37
2002 3.52 9.40 6.58 2.37 0.17 0.03 0.68
2003 3.47 13.35 14.14 8.05 2.70 0.11 1.16
2004 3.28 15.81 11.45 7.78 3.63 0.24 1.76
2005 3.42 22.79 14.15 11.17 4.25 0.22 1.44
2006 3.18 40.94 14.03 18.00 14.35 1.89 2.66
2007 2.96 76.30 28.30 35.42 26.60 2.27 3.29
2008 3.11 49.96 19.92 16.29 9.25 0.40 1.41
2009 2.88 77.02 33.47 32.75 23.30 1.87 2.60
2010 2.80 118.91 48.96 49.13 54.10 2.45 4.37
2011 2.69 109.47 38.34 30.00 36.00 2.29 2.60
2012 2.55 146.56 35.95 37.86 38.00 2.16 2.35
2013 2.79 132.73 11.22 28.71 24.50 1.05 1.43
2014 2.98 160.18 9.56 28.20 24.00 0.72 1.80
2015 3.41 97.32 4.28 26.12 14.50 0.19 0.50
2016 3.36 157.86 11.28 31.94 19.11 0.72 1.45
2017 3.24 207.43 14.08 47.45 29.70 1.32 1.80
2018 3.37 221.67 16.22 30.77 20.80 0.71 1.38
2019 3.31 213.13 15.1 42.48 19.30 0.45 1.56
 Precios en S/.
BROCALC1 UNACEMC1 CORAREI1 FERREYC1 CONTINC1 CREDITC1 GRAMONC1 ALICORC1
6.31 1.22 0.06 0.08 0.28 0.17 0.12 0.40
4.09 1.37 0.07 0.07 0.24 0.21 0.06 0.37
1.91 1.97 0.12 0.08 0.28 0.29 0.04 0.37
6.10 2.27 0.16 0.17 0.33 0.37 0.17 0.51
5.78 2.15 0.54 0.46 0.54 0.51 0.45 1.32
6.47 1.41 0.52 0.43 0.95 1.01 0.44 1.68
32.36 1.92 1.34 1.12 1.39 1.61 2.41 2.50
31.44 2.95 2.18 2.15 1.82 1.86 4.60 2.88
13.04 1.59 1.03 0.93 1.30 1.52 2.00 1.43
40.69 2.06 1.16 1.23 3.03 2.49 2.83 2.75
53.18 3.50 2.06 2.26 3.23 2.84 6.65 6.30
44.39 2.04 1.29 1.56 2.43 2.15 6.70 6.00
32.14 3.24 0.93 1.74 3.37 2.70 9.70 8.30
9.25 3.77 0.77 1.80 3.28 2.92 11.90 9.10
9.71 2.93 0.53 1.62 3.43 3.55 7.26 7.11
4.60 1.70 0.27 1.35 2.39 3.19 1.97 5.80
6.70 2.56 0.49 1.69 3.61 4.96 4.70 7.30
11.79 3.00 0.72 2.55 4.15 6.00 1.87 10.60
6.02 2.60 0.70 2.54 3.95 5.85 1.99 9.95
4.54 2.00 0.91 2.19 3.43 5.4 1.70 9.20
cios en S/.
CASAGRC1 ENDISPC1 LUSURC1 ENGEPEC1 SCOTIAC1 TELEFBC1 POMALCC1 CPACASC1
0.65 0.82 2.03 0.62 39.33 2.15 0.07 0.96
0.90 0.76 1.97 0.64 12.02 0.88 0.08 0.85
0.95 1.08 3.45 0.77 6.41 0.57 0.08 1.14
0.85 1.28 3.50 0.96 4.81 1.38 0.05 1.29
1.05 1.65 4.47 1.29 3.93 1.51 0.05 1.98
1.60 1.17 3.81 1.07 7.21 2.05 0.05 2.25
6.60 1.77 4.06 1.11 11.46 2.40 0.29 3.93
12.05 2.65 5.05 1.25 11.34 4.35 0.85 5.11
4.60 2.30 3.90 0.85 6.00 2.80 0.29 1.77
6.58 2.46 4.31 0.98 12.58 3.45 0.55 3.17
16.60 3.82 7.05 1.59 19.63 3.20 0.68 7.45
15.15 3.85 6.54 1.39 13.54 2.43 0.48 5.75
14.45 4.41 8.60 1.78 16.41 2.45 0.39 6.74
8.15 4.85 9.35 2.02 14.03 2.90 0.20 6.30
7.50 6.00 10.83 2.97 14.97 2.67 0.18 5.26
3.50 4.95 9.15 2.44 13.96 1.40 0.20 4.96
6.84 6.16 13.09 2.60 23.52 1.92 0.18 6.25
6.19 5.64 12.05 1.98 29.72 1.94 0.15 8.15
4.06 5.33 10.95 1.94 31.50 0.60 0.09 6.45
3.03 7.35 25.75 2.30 32.45 1.12 0.07 6.15
 benchmark
BACKUSI1 S&P/BVL Lima 25 S/
0.80 2,046.59
0.83 1,917.16
1.08 2,202.32
0.94 3,993.86
1.12 6,159.63
1.94 7,681.11
3.15 22,159.28
3.62 29,035.46
2.39 11,691.34
3.90 22,434.09
5.68 32,050.41
5.84 27,335.20
15.95 31,000.60
12.10 22,877.82
12.20 20,265.02
12.80 12,901.70
16.00 23,578.41
18.41 30,766.81
20.55 26,508.09
28.50 25,752.88
 Año BAP BVN SCCO CVERDEC1 VOLCABC1 MINSURI1 BROCALC1
2000 21.18 12.80 7.37 1.02 0.19 0.48 6.31
2001 30.10 17.83 6.62 0.55 0.06 0.37 4.09
2002 33.09 23.16 8.33 0.60 0.03 0.68 1.91
2003 46.26 49.00 27.89 9.36 0.11 1.16 6.10
2004 51.81 37.52 25.51 11.88 0.24 1.76 5.78
2005 77.94 48.39 38.19 14.53 0.22 1.44 6.47
2006 130.19 44.62 57.24 45.63 1.89 2.66 32.36
2007 225.85 83.77 104.83 78.74 2.27 3.29 31.44
2008 155.38 61.95 50.66 28.77 0.40 1.41 13.04
2009 222.20 96.56 94.48 67.22 1.87 2.60 40.69
2010 332.95 137.09 137.56 151.48 2.45 4.37 53.18
2011 294.47 103.13 80.70 96.84 2.29 2.60 44.39
2012 373.73 91.67 96.54 96.90 2.16 2.35 32.14
2013 370.32 31.30 80.10 68.36 1.05 1.43 9.25
2014 477.34 28.49 84.04 71.52 0.72 1.80 9.71
2015 331.86 14.59 89.07 49.45 0.19 0.50 4.60
2016 529.78 37.86 107.19 64.13 0.72 1.45 6.70
2017 671.53 45.58 153.61 96.15 1.32 1.80 11.79
2018 746.70 54.64 103.65 70.06 0.71 1.38 6.02
2019 706.10 50.03 140.74 63.94 0.45 1.56 4.54

VAR
2005 50.4% 29.0% 49.7% 22.3% -8.3% -18.1% 12.0%
2006 67.0% -7.8% 49.9% 214.0% 750.5% 84.6% 399.8%
2007 73.5% 87.8% 83.1% 72.5% 20.2% 23.5% -2.8%
2008 -31.2% -26.0% -51.7% -63.5% -82.4% -57.1% -58.5%
2009 43.0% 55.9% 86.5% 133.7% 367.3% 84.7% 212.1%
2010 49.8% 42.0% 45.6% 125.3% 31.0% 68.1% 30.7%
2011 -11.6% -24.8% -41.3% -36.1% -6.5% -40.5% -16.5%
2012 26.9% -11.1% 19.6% 0.1% -5.6% -9.6% -27.6%
2013 -0.9% -65.9% -17.0% -29.5% -51.6% -39.1% -71.2%
2014 28.9% -9.0% 4.9% 4.6% -31.2% 25.9% 5.0%
2015 -30.5% -48.8% 6.0% -30.9% -73.6% -72.2% -52.7%
2016 59.6% 159.4% 20.3% 29.7% 278.9% 190.0% 45.8%
2017 26.8% 20.4% 43.3% 49.9% 83.3% 24.1% 76.0%
2018 11.2% 19.9% -32.5% -27.1% -46.2% -23.3% -48.9%
2019 -5.4% -8.4% 35.8% -8.7% -37.3% 13.0% -24.6%

PROM 23.8% 14.2% 20.2% 30.4% 79.2% 16.9% 31.9%

RIESGO 32.9% 54.8% 40.9% 74.2% 217.5% 66.0% 119.4%

MATRIZ DE VARIANZA SIN PONDERAR

BAP BVN SCCO CVERDEC1 VOLCABC1 MINSURI1 BROCALC1

BAP 0.1084554 0.1281457 0.10103476 0.1884287066608 0.418770838 0.1606287 0.22587293
BVN 0.1281457 0.2998028 0.11285799 0.1522967962916 0.372366397 0.29028668 0.139157167
SCCO 0.1010348 0.112858 0.16724948 0.2289462066609 0.413924932 0.14354233 0.262855919
CVERDEC1 0.1884287 0.1522968 0.22894621 0.5505672227619 1.345257928 0.31668536 0.786607491
VOLCABC1 0.4187708 0.3723664 0.41392493 1.3452579279369 4.730045044 0.96262122 2.503830657
MINSURI1 0.1606287 0.2902867 0.14354233 0.3166853627965 0.962621219 0.43587504 0.452402414
BROCALC1 0.2258729 0.1391572 0.26285592 0.7866074914048 2.503830657 0.45240241 1.425765219
UNACEMC1 0.0957425 0.1171188 0.09414682 0.188990203621 0.378490037 0.17329471 0.176480271
CORAREI1 0.1426895 0.1663302 0.14016127 0.3530257492126 0.942965378 0.28229504 0.493283167
FERREYC1 0.1369777 0.1019644 0.14535952 0.359972970595 0.855397468 0.19775896 0.479798188
CONTINC1 0.0991591 0.1269909 0.12652311 0.1974493776382 0.538091154 0.16405028 0.299897446
CREDITC1 0.0819348 0.0882008 0.0873257 0.1446026562017 0.410626967 0.12221879 0.226915739
GRAMONC1 0.265099 0.1808136 0.18715791 0.7372885031338 2.325962085 0.48063341 1.179354186
ALICORC1 0.0917417 0.0946809 0.11994912 0.2507657920503 0.439449379 0.16181108 0.267907944
CASAGRC1 0.2398281 0.2011015 0.20977116 0.6308954312814 1.716729444 0.40559607 0.92846289
ENDISPC1 0.0457963 0.0428242 0.04515983 0.113361829471 0.228018385 0.09425082 0.115694784
LUSURC1 0.0196334 0.0469832 0.0516394 0.0413246754371 -0.00475248 0.09753605 -0.01632185
ENGEPEC1 0.033473 0.0220724 0.03279566 0.0651149458213 0.025418554 0.06474485 0.019354976
SCOTIAC1 0.1010644 0.133872 0.12690868 0.2246053463252 0.563465767 0.19557621 0.317250374
TELEFBC1 0.0703435 0.0933622 0.11476144 0.1032628706138 0.200357427 0.11773971 0.099133307
POMALCC1 0.2509521 0.1067357 0.27817692 0.7738012165268 2.277034963 0.32098933 1.27415248
CPACASC1 0.1091805 0.1076098 0.14423823 0.3078479837168 0.579215583 0.19407059 0.344606914
BACKUSI1 0.0672551 0.0408213 0.09110523 0.1286179725236 0.283315044 0.07237475 0.165768479
UNACEMC1 CORAREI1 FERREYC1 CONTINC1 CREDITC1 GRAMONC1 ALICORC1 CASAGRC1
1.22 0.06 0.08 0.28 0.17 0.12 0.40 0.65
1.37 0.07 0.07 0.24 0.21 0.06 0.37 0.90
1.97 0.12 0.08 0.28 0.29 0.04 0.37 0.95
2.27 0.16 0.17 0.33 0.37 0.17 0.51 0.85
2.15 0.54 0.46 0.54 0.51 0.45 1.32 1.05
1.41 0.52 0.43 0.95 1.01 0.44 1.68 1.60
1.92 1.34 1.12 1.39 1.61 2.41 2.50 6.60
2.95 2.18 2.15 1.82 1.86 4.60 2.88 12.05
1.59 1.03 0.93 1.30 1.52 2.00 1.43 4.60
2.06 1.16 1.23 3.03 2.49 2.83 2.75 6.58
3.50 2.06 2.26 3.23 2.84 6.65 6.30 16.60
2.04 1.29 1.56 2.43 2.15 6.70 6.00 15.15
3.24 0.93 1.74 3.37 2.70 9.70 8.30 14.45
3.77 0.77 1.80 3.28 2.92 11.90 9.10 8.15
2.93 0.53 1.62 3.43 3.55 7.26 7.11 7.50
1.70 0.27 1.35 2.39 3.19 1.97 5.80 3.50
2.56 0.49 1.69 3.61 4.96 4.70 7.30 6.84
3.00 0.72 2.55 4.15 6.00 1.87 10.60 6.19
2.60 0.70 2.54 3.95 5.85 1.99 9.95 4.06
2.00 0.91 2.19 3.43 5.4 1.70 9.20 3.03

-34.4% -2.4% -5.3% 75.0% 99.2% -2.4% 27.1% 52.4%

36.3% 155.3% 159.6% 45.9% 59.7% 450.7% 48.5% 312.5%
53.7% 63.2% 91.9% 31.5% 15.4% 90.7% 15.2% 82.6%
-46.1% -53.0% -56.5% -28.8% -18.5% -56.5% -50.3% -61.8%
30.0% 12.7% 32.0% 133.1% 63.9% 41.5% 92.3% 43.0%
69.6% 78.4% 82.9% 6.6% 14.1% 135.0% 129.1% 152.3%
-41.7% -37.4% -30.7% -24.5% -24.2% 0.8% -4.8% -8.7%
58.8% -27.8% 11.5% 38.4% 25.7% 44.8% 38.3% -4.6%
16.4% -17.5% 3.3% -2.6% 8.1% 22.7% 9.6% -43.6%
-22.3% -31.2% -9.9% 4.5% 21.5% -39.0% -21.9% -8.0%
-42.0% -49.2% -16.7% -30.3% -10.1% -72.9% -18.4% -53.3%
50.6% 82.2% 25.2% 50.8% 55.6% 138.6% 25.9% 95.4%
17.2% 46.9% 50.9% 15.1% 20.9% -60.2% 45.2% -9.5%
-13.3% -2.8% -0.4% -4.8% -2.5% 6.4% -6.1% -34.4%
-23.1% 30.0% -13.8% -13.2% -7.7% -14.6% -7.5% -25.4%

7.3% 16.5% 21.6% 19.8% 21.4% 45.7% 21.5% 32.6%

39.8% 57.1% 53.5% 42.8% 33.5% 125.3% 44.2% 95.2%

UNACEMC1 CORAREI1 FERREYC1 CONTINC1 CREDITC1 GRAMONC1 ALICORC1 CASAGRC1

0.095742545 0.14268953 0.136977689 0.09915909 0.08193477 0.2650990328 0.09174168 0.239828129
0.117118823 0.16633025 0.101964444 0.12699093 0.08820085 0.1808135985 0.09468091 0.201101503
0.094146825 0.14016127 0.145359519 0.12652311 0.0873257 0.1871579111 0.11994912 0.20977116
0.188990204 0.35302575 0.359972971 0.19744938 0.14460266 0.7372885031 0.25076579 0.630895431
0.378490037 0.94296538 0.855397468 0.53809115 0.41062697 2.325962085 0.43944938 1.716729444
0.17329471 0.28229504 0.197758955 0.16405028 0.12221879 0.4806334079 0.16181108 0.405596073
0.176480271 0.49328317 0.479798188 0.29989745 0.22691574 1.1793541863 0.26790794 0.92846289
0.158247461 0.14857847 0.155108965 0.07995611 0.04639935 0.2843591428 0.13051121 0.217536259
0.148578466 0.32598782 0.274126704 0.09013602 0.08536803 0.598579858 0.14429257 0.481015946
0.155108965 0.2741267 0.286093925 0.09148609 0.07555896 0.5599208398 0.1515979 0.44968804
0.079956115 0.09013602 0.091486092 0.18302052 0.12435553 0.185421781 0.11397643 0.177655354
0.046399345 0.08536803 0.075558959 0.12435553 0.11241553 0.1783100105 0.07279231 0.174596133
0.284359143 0.59857986 0.55992084 0.18542178 0.17831001 1.5707740164 0.25080154 1.124337083
0.130511215 0.14429257 0.151597902 0.11397643 0.07279231 0.2508015393 0.19552424 0.247483531
0.217536259 0.48101595 0.44968804 0.17765535 0.17459613 1.1243370832 0.24748353 0.907222492
0.068095277 0.10197265 0.0936397 0.00825648 0.00097798 0.2108447914 0.04695827 0.156875787
0.05047471 0.07571237 0.027563773 -0.00336555 -0.0103635 0.0671349968 0.04029368 0.050692402
0.056663435 0.03496601 0.041888186 0.01704831 0.00707263 0.0801141729 0.05504546 0.06915409
0.081926852 0.12963201 0.110437356 0.16137959 0.12606649 0.2282493377 0.14167863 0.232800717
0.060835833 0.11028362 0.075237482 0.07326115 0.05441744 0.1303267882 0.03883554 0.12103792
0.1978733 0.53555432 0.577222401 0.20502434 0.17219457 1.3696416544 0.18004335 1.033892
0.142751478 0.19297203 0.198442886 0.1121488 0.07743606 0.3528837766 0.20140977 0.332205126
0.090843345 0.05295659 0.073455144 0.11068021 0.07972019 0.1815209383 0.10502844 0.144897674
ENDISPC1 LUSURC1 ENGEPEC1 SCOTIAC1 TELEFBC1 POMALCC1 CPACASC1 BACKUSI1
0.82 2.03 0.62 39.33 2.15 0.07 0.96 0.80
0.76 1.97 0.64 12.02 0.88 0.08 0.85 0.83
1.08 3.45 0.77 6.41 0.57 0.08 1.14 1.08
1.28 3.50 0.96 4.81 1.38 0.05 1.29 0.94
1.65 4.47 1.29 3.93 1.51 0.05 1.98 1.12
1.17 3.81 1.07 7.21 2.05 0.05 2.25 1.94
1.77 4.06 1.11 11.46 2.40 0.29 3.93 3.15
2.65 5.05 1.25 11.34 4.35 0.85 5.11 3.62
2.30 3.90 0.85 6.00 2.80 0.29 1.77 2.39
2.46 4.31 0.98 12.58 3.45 0.55 3.17 3.90
3.82 7.05 1.59 19.63 3.20 0.68 7.45 5.68
3.85 6.54 1.39 13.54 2.43 0.48 5.75 5.84
4.41 8.60 1.78 16.41 2.45 0.39 6.74 15.95
4.85 9.35 2.02 14.03 2.90 0.20 6.30 12.10
6.00 10.83 2.97 14.97 2.67 0.18 5.26 12.20
4.95 9.15 2.44 13.96 1.40 0.20 4.96 12.80
6.16 13.09 2.60 23.52 1.92 0.18 6.25 16.00
5.64 12.05 1.98 29.72 1.94 0.15 8.15 18.41
5.33 10.95 1.94 31.50 0.60 0.09 6.45 20.55
7.35 25.75 2.30 32.45 1.12 0.07 6.15 28.50

-29.0% -14.8% -17.2% 83.7% 35.8% 6.0% 13.3% 73.7%

51.5% 6.6% 3.7% 58.9% 17.1% 449.1% 74.8% 62.4%
49.8% 24.4% 12.2% -1.0% 81.3% 192.1% 30.0% 14.9%
-13.2% -22.8% -31.9% -47.1% -35.6% -65.9% -65.4% -34.0%
7.0% 10.5% 15.9% 109.7% 23.2% 89.7% 79.8% 63.2%
55.3% 63.6% 61.3% 56.1% -7.2% 23.6% 134.7% 45.6%
0.8% -7.2% -12.5% -31.0% -24.1% -29.4% -22.8% 2.8%
14.5% 31.5% 28.6% 21.2% 0.8% -18.8% 17.2% 173.1%
10.0% 8.7% 13.3% -14.5% 18.4% -48.7% -6.6% -24.1%
23.7% 15.8% 47.0% 6.7% -7.9% -10.5% -16.5% 0.8%
-17.5% -15.5% -17.9% -6.7% -47.6% 8.9% -5.7% 4.9%
24.4% 43.1% 6.5% 68.5% 37.1% -5.6% 26.0% 25.0%
-8.4% -7.9% -23.8% 26.4% 1.0% -19.0% 30.4% 15.1%
-5.5% -9.1% -2.0% 6.0% -69.1% -37.6% -20.9% 11.6%
37.9% 135.2% 18.6% 3.0% 86.7% -24.7% -4.7% 38.7%

13.4% 17.5% 6.8% 22.6% 7.3% 33.9% 17.6% 31.6%

25.6% 39.0% 25.1% 42.7% 41.7% 126.6% 47.6% 48.2%

ENDISPC1 LUSURC1 ENGEPEC1 SCOTIAC1 TELEFBC1 POMALCC1 CPACASC1 BACKUSI1

0.04579635 0.0196334 0.03347302 0.10106435 0.07034348 0.250952068 0.109180471 0.067255092
0.04282422 0.0469832 0.022072419 0.13387203 0.09336218 0.106735724 0.107609817 0.040821319
0.04515983 0.0516394 0.032795656 0.12690868 0.11476144 0.278176916 0.144238232 0.091105226
0.11336183 0.0413247 0.065114946 0.22460535 0.10326287 0.773801217 0.307847984 0.128617973
0.22801838 -0.0047525 0.025418554 0.56346577 0.20035743 2.277034963 0.579215583 0.283315044
0.09425082 0.097536 0.064744848 0.19557621 0.11773971 0.32098933 0.194070591 0.072374753
0.11569478 -0.0163218 0.019354976 0.31725037 0.09913331 1.27415248 0.344606914 0.165768479
0.06809528 0.0504747 0.056663435 0.08192685 0.06083583 0.1978733 0.142751478 0.090843345
0.10197265 0.0757124 0.034966014 0.12963201 0.11028362 0.535554324 0.19297203 0.052956588
0.0936397 0.0275638 0.041888186 0.11043736 0.07523748 0.577222401 0.198442886 0.073455144
0.00825648 -0.0033656 0.017048315 0.16137959 0.07326115 0.205024336 0.112148802 0.110680213
0.00097798 -0.0103635 0.007072632 0.12606649 0.05441744 0.172194566 0.077436058 0.079720189
0.21084479 0.067135 0.080114173 0.22824934 0.13032679 1.369641654 0.352883777 0.181520938
0.04695827 0.0402937 0.055045459 0.14167863 0.03883554 0.180043352 0.201409772 0.105028443
0.15687579 0.0506924 0.06915409 0.23280072 0.12103792 1.033892 0.332205126 0.144897674
0.06577197 0.0655585 0.045977023 0.01620642 0.05350437 0.177198816 0.069886715 0.019813729
0.06555852 0.1522171 0.05811132 0.02036618 0.10100029 -0.0106829 0.054864844 0.046602814
0.04597702 0.0581113 0.062968089 0.02834637 0.02511047 0.026635381 0.064396621 0.039117731
0.01620642 0.0203662 0.028346371 0.18217037 0.05620311 0.195910658 0.149612941 0.109224267
0.05350437 0.1010003 0.025110474 0.05620311 0.17422667 0.157984272 0.05564385 0.04450061
0.17719882 -0.0106829 0.026635381 0.19591066 0.15798427 1.602948392 0.307460767 0.135198716
0.06988671 0.0548648 0.064396621 0.14961294 0.05564385 0.307460767 0.227038998 0.099314761
0.01981373 0.0466028 0.039117731 0.10922427 0.04450061 0.135198716 0.099314761 0.232519792

Rp 27.6%
Rs 58.0%
Rf 5.0%
RSp 0.390

Situacion optima Retorno a cambio de eficiencia

Rp 23.3% Mayor Rp 28.96%
GA Rs 40.5% a 29% Rs 59.94%
Rf 5.0% no hay Rf 5.00%
RSp 0.45203559 RSp 0.400

TE 24.9%
S&P/BVL Lima 25 S/
2,046.59
1,917.16
2,202.32
3,993.86
6,159.63
7,681.11
22,159.28
29,035.46
11,691.34
22,434.09
32,050.41
27,335.20
31,000.60
22,877.82
20,265.02
12,901.70
23,578.41
30,766.81
26,508.09
25,752.88 BACKTEST

BAP BVN SCCO CVERDEC1

6.00% 6.00% 1.38% 5.59%
24.7% 2005 3.03% 1.74% 0.69% 1.25%
188.5% 2006 4.02% -0.47% 0.69% 11.96%
31.0% 2007 4.41% 5.27% 1.15% 4.05%
-59.7% 2008 -1.87% -1.56% -0.71% -3.55%
91.9% 2009 2.58% 3.35% 1.20% 7.47%
42.9% 2010 2.99% 2.52% 0.63% 7.01%
-14.7% 2011 -0.69% -1.49% -0.57% -2.02%
13.4% 2012 1.61% -0.67% 0.27% 0.00%
-26.2% 2013 -0.05% -3.95% -0.24% -1.65%
-11.4% 2014 1.73% -0.54% 0.07% 0.26%
-36.3% 2015 -1.83% -2.93% 0.08% -1.73%
82.8% 2016 3.58% 9.56% 0.28% 1.66%
30.5% 2017 1.61% 1.22% 0.60% 2.79%
-13.8% 2018 0.67% 1.19% -0.45% -1.52%
-2.8% 2019 -0.33% -0.51% 0.49% -0.49%

22.7%
59.9%

W_i R_i
BAP 6% 24%
BVN 6% 14%
SCCO 1% 20%
CVERDEC1 6% 30%
VOLCABC1 6% 79%
MINSURI1 6% 17%
BROCALC1 6% 32%
UNACEMC1 0% 7%
 CORAREI1 6% 16%
FERREYC1 6% 22%
CONTINC1 6% 20%
CREDITC1 6% 21%
GRAMONC1 6% 46%
ALICORC1 6% 21%
CASAGRC1 3% 33%
ENDISPC1 0% 13%
LUSURC1 5% 17%
ENGEPEC1 0% 7%
SCOTIAC1 6% 23%
TELEFBC1 2% 7%
POMALCC1 5% 34%
CPACASC1 0% 18%
BACKUSI1 6% 32%
100%

Limite individual 6%
VOLCABC1 MINSURI1 BROCALC1 UNACEMC1 CORAREI1 FERREYC1 CONTINC1
6.00% 6.00% 6.00% 0.00% 6.00% 6.00% 6.00%
-0.50% -1.09% 0.72% 0.00% -0.15% -0.32% 4.50%
45.03% 5.08% 23.99% 0.00% 9.32% 9.58% 2.75%
1.21% 1.41% -0.17% 0.00% 3.79% 5.51% 1.89%
-4.94% -3.43% -3.51% 0.00% -3.18% -3.39% -1.73%
22.04% 5.08% 12.72% 0.00% 0.76% 1.92% 7.98%
1.86% 4.09% 1.84% 0.00% 4.70% 4.97% 0.40%
-0.39% -2.43% -0.99% 0.00% -2.24% -1.84% -1.47%
-0.34% -0.58% -1.66% 0.00% -1.67% 0.69% 2.30%
-3.09% -2.35% -4.27% 0.00% -1.05% 0.20% -0.16%
-1.87% 1.55% 0.30% 0.00% -1.87% -0.60% 0.27%
-4.42% -4.33% -3.16% 0.00% -2.95% -1.00% -1.82%
16.74% 11.40% 2.75% 0.00% 4.93% 1.51% 3.05%
5.00% 1.45% 4.56% 0.00% 2.82% 3.05% 0.91%
-2.77% -1.40% -2.94% 0.00% -0.17% -0.02% -0.29%
-2.24% 0.78% -1.48% 0.00% 1.80% -0.83% -0.79%
CREDITC1 GRAMONC1 ALICORC1 CASAGRC1 ENDISPC1 LUSURC1 ENGEPEC1
6.00% 6.00% 6.00% 2.65% 0.00% 5.02% 0.00%
5.95% -0.14% 1.62% 1.39% 0.00% -0.74% 0.00%
3.58% 27.04% 2.91% 8.29% 0.00% 0.33% 0.00%
0.92% 5.44% 0.91% 2.19% 0.00% 1.22% 0.00%
-1.11% -3.39% -3.02% -1.64% 0.00% -1.14% 0.00%
3.83% 2.49% 5.54% 1.14% 0.00% 0.53% 0.00%
0.84% 8.10% 7.75% 4.04% 0.00% 3.19% 0.00%
-1.45% 0.05% -0.29% -0.23% 0.00% -0.36% 0.00%
1.54% 2.69% 2.30% -0.12% 0.00% 1.58% 0.00%
0.49% 1.36% 0.58% -1.16% 0.00% 0.44% 0.00%
1.29% -2.34% -1.31% -0.21% 0.00% 0.79% 0.00%
-0.61% -4.37% -1.11% -1.41% 0.00% -0.78% 0.00%
3.33% 8.31% 1.55% 2.53% 0.00% 2.16% 0.00%
1.26% -3.61% 2.71% -0.25% 0.00% -0.40% 0.00%
-0.15% 0.39% -0.37% -0.91% 0.00% -0.46% 0.00%
-0.46% -0.87% -0.45% -0.67% 0.00% 6.78% 0.00%
 Rent Anual
Y
SCOTIAC1 TELEFBC1 POMALCC1 CPACASC1 BACKUSI1
6.00% 2.21% 5.15% 0.00% 6.00%
5.02% 0.79% 0.31% 0.00% 4.42% 2005 28.50%
3.53% 0.38% 23.11% 0.00% 3.74% 2006 184.87%
-0.06% 1.80% 9.89% 0.00% 0.90% 2007 51.73%
-2.83% -0.79% -3.39% 0.00% -2.04% 2008 -47.22%
6.58% 0.51% 4.61% 0.00% 3.79% 2009 94.14%
3.36% -0.16% 1.22% 0.00% 2.74% 2010 62.08%
-1.86% -0.53% -1.51% 0.00% 0.17% 2011 -20.17%
1.27% 0.02% -0.97% 0.00% 10.39% 2012 18.68%
-0.87% 0.41% -2.51% 0.00% -1.45% 2013 -19.33%
0.40% -0.18% -0.54% 0.00% 0.05% 2014 -2.73%
-0.40% -1.05% 0.46% 0.00% 0.30% 2015 -33.06%
4.11% 0.82% -0.29% 0.00% 1.50% 2016 79.49%
1.58% 0.02% -0.98% 0.00% 0.90% 2017 25.24%
0.36% -1.53% -1.93% 0.00% 0.70% 2018 -11.60%
0.18% 1.92% -1.27% 0.00% 2.32% 2019 3.89%

PROM 27.63%
RIESGO 58%
R2 0.984
Ese portafolio de gestion activa tiene 98.4% De riesgo sistematico

Le quedan diversificar 1.6%

 Index TE
X Error

24.7% 3.79%
188.5% -3.62%
31.0% 20.70%
-59.7% 12.51%
91.9% 2.25%
42.9% 19.22%
-14.7% -5.46%
13.4% 5.27%
-26.2% 6.88%
-11.4% 8.69%
-36.3% 3.27%
82.8% -3.26%
30.5% -5.25%
-13.8% 2.24%
-2.8% 6.74%

TE 7.75%

e riesgo sistematico
en US$ EEUU EEUU EEUU Brazil Chile Colombia México Perú
Fecha S&P 500 DJIA nasdaq IBOV IPSA IGBC IPC ISBVL
2002 879.82 8,341.63 1,335.51 3,189.09 1.40 0.84 594.14 625.66
2003 1,111.92 10,453.92 2,003.37 7,696.25 2.48 1.80 782.78 1,152.63
2004 1,211.92 10,783.01 2,175.44 9,868.90 3.21 4.17 1,158.61 1,879.66
2005 1,248.29 10,717.50 2,205.32 14,292.73 3.82 5.00 1,674.07 2,245.94
2006 1,418.30 12,463.15 2,415.29 20,801.22 5.04 5.34 2,446.29 6,968.33
2007 1,468.36 13,264.82 2,652.28 36,067.30 6.16 3.38 2,705.90 9,809.28
2008 903.25 8,776.39 1,577.03 16,067.61 3.78 5.67 1,617.95 3,759.27
2009 1,115.10 10,428.05 2,269.14 39,391.22 7.07 7.79 2,458.34 7,776.11
2010 1,257.64 11,577.51 2,652.87 41,594.05 10.52 6.53 3,121.62 11,446.58
2011 1,257.60 12,217.56 2,605.15 30,255.89 8.01 8.41 2,658.34 10,161.78
2012 1,426.19 13,104.14 3,019.51 29,820.00 8.97 8.30 3,381.65 12,145.19
2013 1,848.36 16,576.66 4,176.59 21,820.44 7.04 6.77 3,262.51 8,180.29
2014 2,058.90 17,823.07 4,736.05 18,887.11 6.34 4.89 2,925.63 6,799.20
2015 2,043.94 17,425.03 5,007.41 10,960.52 5.19 2.69 2,494.57 3,780.72
2016 2,238.83 19,762.60 5,383.12 18,530.90 6.19 3.37 2,211.00 7,034.55
2017 2,673.61 24,719.22 6,903.39 23,108.73 9.04 3.84 2,506.60 9,494.46
2018 2,506.85 23,327.46 6,635.28 22,694.05 7.37 3.43 2,117.43 7,856.57
2019 3,230.78 28,538.44 8,972.60 28,801.16 6.21 3.88 2,306.27 7,780.33

2003 26.4% 25.3% 50.0% 141.3% 76.5% 114.7% 31.7% 84.2%

2004 9.0% 3.1% 8.6% 28.2% 29.5% 131.3% 48.0% 63.1%
2005 3.0% -0.6% 1.4% 44.8% 19.1% 19.9% 44.5% 19.5%
2006 13.6% 16.3% 9.5% 45.5% 31.9% 6.9% 46.1% 210.3%
2007 3.5% 6.4% 9.8% 73.4% 22.1% -36.7% 10.6% 40.8%
2008 -38.5% -33.8% -40.5% -55.5% -38.6% 67.5% -40.2% -61.7%
2009 23.5% 18.8% 43.9% 145.2% 87.2% 37.3% 51.9% 106.9%
2010 12.8% 11.0% 16.9% 5.6% 48.8% -16.1% 27.0% 47.2%
2011 0.0% 5.5% -1.8% -27.3% -23.9% 28.6% -14.8% -11.2%
2012 13.4% 7.3% 15.9% -1.4% 12.0% -1.3% 27.2% 19.5%
2013 29.6% 26.5% 38.3% -26.8% -21.5% -18.4% -3.5% -32.6%
2014 11.4% 7.5% 13.4% -13.4% -9.9% -27.8% -10.3% -16.9%
2015 -0.7% -2.2% 5.7% -42.0% -18.2% -45.0% -14.7% -44.4%
2016 9.5% 13.4% 7.5% 69.1% 19.3% 25.0% -11.4% 86.1%
2017 19.4% 25.1% 28.2% 24.7% 45.9% 14.1% 13.4% 35.0%
2018 -6.2% -5.6% -3.9% -1.8% -18.5% -10.7% -15.5% -17.3%
2019 28.9% 22.3% 35.2% 26.9% -15.8% 13.1% 8.9% -1.0%

PROM 9.3% 8.6% 14.0% 25.7% 14.5% 17.8% 11.7% 31.0%

RIESGO 16% 14% 21% 56% 35% 47% 27% 65%

MATRIZ DE VARIANZA SIN PONDERAR

S&P 500 DJIA nasdaq IBOV IPSA IGBC IPC ISBVL

 S&P 500 0.024865 0.0218986 0.031216 0.0442677 0.02867 -0.002411 0.023433 0.0419689
DJIA 0.021899 0.0206197 0.027474 0.0414315 0.026832 -0.003468 0.018338 0.0433992
nasdaq 0.031216 0.0274742 0.043106 0.0698231 0.044271 0.003916 0.02913 0.0473308
IBOV 0.044268 0.0414315 0.069823 0.3101273 0.167726 0.098037 0.097405 0.2519572
IPSA 0.02867 0.0268319 0.044271 0.167726 0.124618 0.057825 0.074043 0.1672918
IGBC -0.002411 -0.0034682 0.003916 0.0980366 0.057825 0.223996 0.039718 0.079402
IPC 0.023433 0.0183382 0.02913 0.0974053 0.074043 0.039718 0.071611 0.1248479
ISBVL 0.041969 0.0433992 0.047331 0.2519572 0.167292 0.079402 0.124848 0.418652
euro stoxx - 50 0.028683 0.0255459 0.037464 0.0806179 0.047604 0.015739 0.041579 0.0827561
dax 0.031712 0.0287199 0.042693 0.0949594 0.060304 0.0174 0.047225 0.0956007
cac 40 0.028443 0.0253547 0.036938 0.0782793 0.047406 0.016357 0.041259 0.0837524
ibex 35 0.02868 0.0267715 0.038472 0.1005597 0.057876 0.040144 0.047502 0.1134766
ftse mib 0.030765 0.0269091 0.040097 0.0741993 0.047346 0.022675 0.044107 0.0811931
ftse 100 0.027486 0.0243615 0.035154 0.0733609 0.049877 0.013081 0.042822 0.0839818
csi 300 0.033633 0.0337592 0.043778 0.1654144 0.085349 -0.089545 0.06778 0.2122406
hang seng 0.027667 0.0252607 0.037931 0.1049386 0.069861 0.00441 0.05014 0.1090286
bse sensex 0.037764 0.0330888 0.055211 0.1803881 0.114132 0.014856 0.079026 0.1624998
nikkei 225 0.021017 0.0180023 0.028197 0.0452143 0.032161 0.014583 0.026575 0.0325346
kospi 0.028121 0.0238855 0.037883 0.1156457 0.0833 0.013363 0.067293 0.1008123
 Europa Alemania Francia España Italia U.K. China Hong Kong
euro stoxx - 50 dax cac 40 ibex 35 ftse mib ftse 100 csi 300 hang seng
2,500.24 3,030.61 3,218.33 6,324.86 24,629.33 6,346.01 133.34 1,195.27
3,468.49 4,971.12 4,470.15 9,700.13 33,708.23 7,984.10 144.35 1,619.86
4,000.39 5,804.02 5,179.96 12,383.49 42,142.42 9,223.24 120.82 1,830.71
4,234.95 6,399.59 5,579.53 12,701.42 42,248.54 9,657.03 114.43 1,918.62
5,433.79 8,700.68 7,309.03 18,657.82 54,647.30 12,173.48 261.50 2,566.46
6,416.11 11,868.64 8,187.01 22,336.20 56,720.64 12,802.10 730.86 3,565.95
3,415.16 6,789.12 4,490.03 12,978.95 27,465.84 6,462.80 266.31 1,856.43
4,249.08 8,542.36 5,641.15 17,120.77 33,335.87 8,740.72 523.75 2,821.02
3,732.88 9,170.29 5,085.47 13,076.12 26,755.83 9,198.60 474.72 2,963.60
3,002.25 7,644.26 4,095.11 11,101.92 19,556.30 8,642.05 372.36 2,373.55
3,478.64 10,065.10 4,805.12 10,778.65 21,516.66 9,579.22 404.64 2,923.13
4,287.00 13,181.98 5,923.69 13,674.14 26,175.44 11,180.54 384.98 3,005.80
3,807.18 11,920.61 5,170.03 12,438.20 23,112.84 10,230.62 569.27 3,044.28
3,550.49 11,721.70 5,038.63 10,370.73 23,369.58 9,197.43 575.11 2,827.63
3,470.51 12,109.07 5,128.28 9,863.66 20,286.71 8,817.82 476.98 2,837.35
4,212.46 15,529.59 6,386.76 12,074.78 26,272.09 10,396.94 619.49 3,829.75
3,437.23 12,080.51 5,417.59 9,779.89 20,964.52 8,575.67 437.71 3,299.93
4,205.43 14,853.47 6,712.76 10,722.80 26,352.99 10,003.54 588.30 3,619.08

38.7% 64.0% 38.9% 53.4% 36.9% 25.8% 8.3% 35.5%

15.3% 16.8% 15.9% 27.7% 25.0% 15.5% -16.3% 13.0%
5.9% 10.3% 7.7% 2.6% 0.3% 4.7% -5.3% 4.8%
28.3% 36.0% 31.0% 46.9% 29.3% 26.1% 128.5% 33.8%
18.1% 36.4% 12.0% 19.7% 3.8% 5.2% 179.5% 38.9%
-46.8% -42.8% -45.2% -41.9% -51.6% -49.5% -63.6% -47.9%
24.4% 25.8% 25.6% 31.9% 21.4% 35.2% 96.7% 52.0%
-12.1% 7.4% -9.9% -23.6% -19.7% 5.2% -9.4% 5.1%
-19.6% -16.6% -19.5% -15.1% -26.9% -6.1% -21.6% -19.9%
15.9% 31.7% 17.3% -2.9% 10.0% 10.8% 8.7% 23.2%
23.2% 31.0% 23.3% 26.9% 21.7% 16.7% -4.9% 2.8%
-11.2% -9.6% -12.7% -9.0% -11.7% -8.5% 47.9% 1.3%
-6.7% -1.7% -2.5% -16.6% 1.1% -10.1% 1.0% -7.1%
-2.3% 3.3% 1.8% -4.9% -13.2% -4.1% -17.1% 0.3%
21.4% 28.2% 24.5% 22.4% 29.5% 17.9% 29.9% 35.0%
-18.4% -22.2% -15.2% -19.0% -20.2% -17.5% -29.3% -13.8%
22.3% 23.0% 23.9% 9.6% 25.7% 16.7% 34.4% 9.7%

5.7% 13.0% 6.9% 6.4% 3.6% 4.9% 21.6% 9.8%

22% 25% 21% 26% 24% 20% 60% 24%

euro stoxx - 50 dax cac 40 ibex 35 ftse mib ftse 100 csi 300 hang seng
0.028683294 0.0317118 0.0284429 0.0286796 0.0307652 0.0274856 0.0336328 0.0276666
0.025545895 0.0287199 0.0253547 0.0267715 0.0269091 0.0243615 0.0337592 0.0252607
0.0374644 0.0426934 0.0369381 0.0384718 0.0400968 0.0351539 0.0437778 0.0379305
0.080617937 0.0949594 0.0782793 0.1005597 0.0741993 0.0733609 0.1654144 0.1049386
0.047604454 0.0603041 0.0474056 0.0578761 0.0473464 0.0498769 0.0853486 0.0698612
0.01573944 0.0173996 0.016357 0.0401435 0.0226747 0.0130806 -0.0895453 0.0044105
0.041579043 0.0472246 0.0412591 0.0475024 0.0441074 0.0428219 0.0677796 0.05014
0.082756062 0.0956007 0.0837524 0.1134766 0.0811931 0.0839818 0.2122406 0.1090286
0.046630999 0.0526289 0.0457298 0.0514416 0.0497477 0.0391826 0.0716111 0.0461301
0.052628939 0.0644135 0.0511419 0.057161 0.0539257 0.0434442 0.0822626 0.0535981
0.045729764 0.0511419 0.0453785 0.0500638 0.0494525 0.0387679 0.0640491 0.0446901
0.051441584 0.057161 0.0500638 0.0655886 0.0554956 0.0432528 0.0855308 0.050961
0.049747704 0.0539257 0.0494525 0.0554956 0.0570041 0.0418372 0.0655207 0.0471727
0.039182646 0.0434442 0.0387679 0.0432528 0.0418372 0.0380635 0.0606983 0.0419947
0.071611075 0.0822626 0.0640491 0.0855308 0.0655207 0.0606983 0.3571308 0.1073958
0.0461301 0.0535981 0.0446901 0.050961 0.0471727 0.0419947 0.1073958 0.0588524
0.064166483 0.0764263 0.0614584 0.0739521 0.0636685 0.058607 0.1584915 0.0858301
0.028450055 0.0326856 0.0289544 0.0287263 0.0319056 0.0250447 0.0091289 0.0241875
0.044595136 0.0511029 0.04369 0.0461627 0.0448738 0.0454566 0.0819541 0.0584052

limite por indice 8%

GA GP

Rp 15.9% Rp
Sp 25.3% Sp
Rf 1.5% Rf
RSp 0.5684839 RSp

PROM 0.1587795 PROM

R2 77.0% RIESG
TE 12.9% R2
TE
 India Japón Korea benchmark
bse sensex nikkei 225 kospi msci acwi
70.40 72.41 0.53 190.80
127.98 99.74 0.68 251.13
151.93 111.49 0.86 284.52 Rendimiento Y y Riesgo X
208.61 136.57 1.37 309.63 35.0%
311.50 144.66 1.54 367.78
514.70 135.71 2.03 403.25 30.0%
198.20 98.08 0.87 227.68
25.0%
375.37 114.16 1.45 299.44
458.77 125.14 1.82 330.64 20.0%
291.03 109.82 1.58 299.51
354.57 120.76 1.87 339.75 15.0%
342.26 155.04 1.91 408.55 10.0%
434.95 146.08 1.75 417.12
394.33 157.81 1.66 399.36 5.0%
391.70 163.87 1.68 421.84
0.0%
533.38 202.21 2.30 513.03 10% 20% 30% 40% 50%
517.55 181.28 1.83 455.66
579.21 217.25 1.90 565.24

BACKTEST

S&P 500 DJIA nasdaq

81.8% 37.7% 28.8% 31.6% 0.08 0.08 0.08
18.7% 11.8% 27.0% 13.3% 0.02110432 0.02025782 0.04000629
37.3% 22.5% 58.9% 8.8% 0.00719476 0.0025184 0.00687122
49.3% 5.9% 12.9% 18.8% 0.00240082 -0.00048602 0.00109881
65.2% -6.2% 31.4% 9.6% 0.01089555 0.01303028 0.00761685
-61.5% -27.7% -57.2% -43.5% 0.00282366 0.00514586 0.00784966
89.4% 16.4% 66.5% 31.5% -0.03078863 -0.02706968 -0.03243247
22.2% 9.6% 25.6% 10.4% 0.01876335 0.01505548 0.03510954
-36.6% -12.2% -13.0% -9.4% 0.01022617 0.00881822 0.01352865
21.8% 10.0% 18.5% 13.4% -2.5444E-06 0.00442271 -0.00143905
-3.5% 28.4% 1.9% 20.3% 0.01072455 0.00580528 0.01272433
27.1% -5.8% -8.4% 2.1% 0.023681 0.02119953 0.0306561
-9.3% 8.0% -4.7% -4.3% 0.00911251 0.00601525 0.01071611
-0.7% 3.8% 0.9% 5.6% -0.00058128 -0.00178663 0.00458374
36.2% 23.4% 37.2% 21.6% 0.00762801 0.01073201 0.00600246
-3.0% -10.4% -20.5% -11.2% 0.01553597 0.02006465 0.02259314
11.9% 19.8% 3.8% 24.0% -0.00498981 -0.00450422 -0.003107
0.02310246 0.01787072 0.02818056
20.4% 7.9% 12.3% 8.4%
38% 16% 29% 18%

bse sensex nikkei 225 kospi WI RI

0.0377638 0.0210174 0.028120985 8% 9%
0.0330888 0.0180023 0.023885484 8% 9%
0.0552108 0.0281972 0.037882532 8% 14%
0.1803881 0.0452143 0.115645667 8% 26%
0.1141319 0.0321606 0.083300228 0% 14%
0.0148557 0.0145832 0.013362737 8% 18%
0.0790256 0.0265753 0.067292967 8% 12%
0.1624998 0.0325346 0.100812292 8% 31%
0.0641665 0.0284501 0.044595136 0% 6%
0.0764263 0.0326856 0.051102862 8% 13%
0.0614584 0.0289544 0.043690024 0% 7%
0.0739521 0.0287263 0.046162701 0% 6%
0.0636685 0.0319056 0.044873803 0% 4%
0.058607 0.0250447 0.045456649 0% 5%
0.1584915 0.0091289 0.08195413 8% 22%
0.0858301 0.0241875 0.058405153 4% 10%
0.1437049 0.0359493 0.092036007 8% 20%
0.0359493 0.0259656 0.031989077 8% 8%
0.092036 0.0319891 0.084543028 8% 12%
100%
Rp 15.88%
Sp 25.29%
Rf 1.50%
RSp 0.568

9.140%
19.8%
1.5%
0.3866095

9.1%
19.8%
96.2% De riesgo sistematico
4.1%
to Y y Riesgo X

40% 50% 60% 70%

IBOV IPSA IGBC IPC ISBVL euro stoxx - 50 dax

0.08 0.00272917 0.08 0.08 0.08 0 0.08
0.11306463 0.00208675 0.09174941 0.02539928 0.06738111 0 0.05122437
0.02258398 0.00080641 0.10507989 0.03840987 0.05046036 0 0.01340374
0.03586083 0.00051997 0.01591861 0.03559186 0.01558939 0 0.00820918
0.03642961 0.00087087 0.00552136 0.03690282 0.16821078 0 0.02876537
0.05871226 0.00060422 -0.02932153 0.00848999 0.03261558 0 0.02912843
-0.04436083 -0.00105427 0.05403009 -0.03216527 -0.04934108 0 -0.03423829
0.11612739 0.00238024 0.02987889 0.04155335 0.08548122 0 0.02065945
0.00447373 0.00133092 -0.01288263 0.02158459 0.03776139 0 0.00588064
-0.02180727 -0.00065096 0.02291464 -0.01187276 -0.00897939 0 -0.01331281
-0.00115254 0.00032663 -0.00100099 0.02176711 0.01561462 0 0.02533498
-0.02146091 -0.00058782 -0.01471778 -0.00281859 -0.02611667 0 0.02477375
-0.01075443 -0.00026984 -0.02222627 -0.00826067 -0.01350651 0 -0.00765514
-0.0335746 -0.0004955 -0.03596107 -0.01178695 -0.03551574 0 -0.00133489
0.05525563 0.00052751 0.02000275 -0.00909423 0.06885113 0 0.00264382
0.01976299 0.00125401 0.01127021 0.01069581 0.02797515 0 0.02259801
-0.00143558 -0.00050417 -0.00854167 -0.01242065 -0.01380081 0 -0.01776779
0.0215285 -0.00043035 0.0104709 0.00713474 -0.00077636 0 0.0183632
cac 40 ibex 35 ftse mib ftse 100 csi 300 hang seng bse sensex
0 0 0 0 0.08 0.037271 0.08
0 0 0 0 0.00660695 0.0132397 0.06543555
0 0 0 0 -0.01303843 0.00485151 0.01497046
0 0 0 0 -0.00423541 0.00178972 0.02984903
0 0 0 0 0.10282473 0.01258475 0.03945604
0 0 0 0 0.14358861 0.01451505 0.05218755
0 0 0 0 -0.05084932 -0.01786782 -0.04919408
0 0 0 0 0.07733302 0.01936595 0.07151089
0 0 0 0 -0.00748891 0.00188371 0.01777462
0 0 0 0 -0.0172501 -0.00742063 -0.02925059
0 0 0 0 0.0069365 0.00862991 0.01746678
0 0 0 0 -0.00388844 0.0010541 -0.00277605
0 0 0 0 0.038298 0.0004771 0.02166341
0 0 0 0 0.00081982 -0.00265246 -0.00747131
0 0 0 0 -0.01365022 0.0001282 -0.00053229
0 0 0 0 0.02390309 0.01303594 0.0289351
0 0 0 0 -0.02347512 -0.00515619 -0.00237307
0 0 0 0 0.02752371 0.00360465 0.00952995
 nikkei 225 kospi Y X E
0.08 0.08
0.03019267 0.02306741 57.1% 32% 25.46%
0.00941835 0.0216298 28.5% 13% 15.22%
0.01800028 0.04709214 20.7% 9% 11.89%
0.00473617 0.0103276 47.8% 19% 29.04%
-0.00494981 0.0251301 34.7% 10% 25.01%
-0.02218148 -0.04575526 -38.3% -44% 5.21%
0.01311889 0.05318832 60.0% 32% 28.43%
0.00769144 0.02048469 13.1% 10% 2.69%
-0.00979111 -0.01041541 -10.5% -9% -1.07%
0.0079662 0.01481862 14.6% 13% 1.16%
0.02270766 0.0015079 5.3% 20% -14.93%
-0.00462174 -0.00669128 1.2% 2% -0.87%
0.00642474 -0.00377008 -12.3% -4% -8.05%
0.00307346 0.00069731 15.2% 6% 9.60%
0.01871432 0.02973368 26.6% 22% 4.99%
-0.0082805 -0.01643791 -12.3% -11% -1.10%
0.01587487 0.00302288 18.5% 24% -5.55%

PROM 15.9% BETAS

RIESG 25.29% RIESGO INDEX
R2 77.0% RIESGO
TE 0.12884128 COEF CORRE

BETA
 GP GA
Y Y

0.38365023 0.57081625
0.17413849 0.28516032
0.13373913 0.20719921
0.24881636 0.47817276
0.15350835 0.34651962
-0.43754999 -0.38326838
0.35028632 0.59952599
0.06226125 0.13106721
-0.126741 -0.10485526
0.16156736 0.145962
0.19642196 0.05321378
-0.03273757 0.0122965
-0.03432866 -0.1231022
0.00988948 0.15226553
0.2576493 0.26607209
-0.14077875 -0.12279447
0.19393187 0.18500043

1.087 1.245
0.17826904
0.19760389 0.25291738
0.98106861 0.87770734

1.10845879 1.41873978
1.087 1.245
 Date S&P 500 MA30 volatilidad BB30+ = MA30 + 2*volatilidad
8/20/2019 2,900.5
8/21/2019 2,924.4
8/22/2019 2,923.0 Chart Title
8/23/2019 2,847.1 3,800.0
3,600.0
8/26/2019 2,878.4 3,400.0
8/27/2019 2,869.2 3,200.0
8/28/2019 2,887.9 3,000.0
2,800.0
8/29/2019 2,924.6
2,600.0
8/30/2019 2,926.5 2,400.0
9/3/2019 2,906.3 2,200.0
9/4/2019 2,937.8 2,000.0
10/2/2019 12/2/2019 2/2/2020 4/2/2020 6/2/2020 8/2/2020
9/5/2019 2,976.0
9/6/2019 2,978.7
9/9/2019 2,978.4
S&P 500 MA30
9/10/2019 2,979.4
BB30+ = MA30 + 2*volatilidad BB30- = MA30 - 2*volatilidad
9/11/2019 3,000.9
9/12/2019 3,009.6
9/13/2019 3,007.4 Chart Title
9/16/2019 2,998.0 40.00%
9/17/2019 3,005.7
30.00%
9/18/2019 3,006.7
9/19/2019 3,006.8 20.00%
9/20/2019 2,992.1 10.00%
9/23/2019 2,991.8 0.00%
9/24/2019 2,966.6 1 9 17 25 33 41 49 57 65 73 81 89 97 105113121129137145153161169177185193201209217
-10.00%
9/25/2019 2,984.9
9/26/2019 2,977.6 -20.00%
9/27/2019 2,961.8 -30.00%
9/30/2019 2,976.7 -40.00%
10/1/2019 2,940.3
10/2/2019 2,887.6 2,955.1 46.6 3,048.2
10/3/2019 2,910.6 2,954.6 46.9 3,048.5
10/4/2019 2,952.0 2,955.6 46.6 3,048.7
10/7/2019 2,938.8 2,958.6 42.1 3,042.9
10/8/2019 2,893.1 2,959.1 41.3 3,041.7
10/9/2019 2,919.4 2,960.8 38.5 3,037.9
10/10/2019 2,938.1 2,962.5 36.4 3,035.2
10/11/2019 2,970.3 2,964.0 35.7 3,035.4
10/14/2019 2,966.2 2,965.3 35.0 3,035.3
10/15/2019 2,995.7 2,968.3 33.6 3,035.6
10/16/2019 2,989.7 2,970.0 33.4 3,036.7
10/17/2019 2,998.0 2,970.8 33.7 3,038.2
10/18/2019 2,986.2 2,971.0 33.8 3,038.6
10/21/2019 3,006.7 2,971.9 34.4 3,040.7
10/22/2019 2,996.0 2,972.5 34.6 3,041.8
10/23/2019 3,004.5 2,972.6 34.7 3,042.1
10/24/2019 3,010.3 2,972.6 34.8 3,042.2
10/25/2019 3,022.6 2,973.2 35.4 3,043.9
10/28/2019 3,039.4 2,974.5 37.1 3,048.7
10/29/2019 3,036.9 2,975.6 38.4 3,052.3
10/30/2019 3,046.8 2,976.9 40.1 3,057.1
10/31/2019 3,037.6 2,977.9 41.2 3,060.3
11/1/2019 3,066.9 2,980.4 44.1 3,068.7
11/4/2019 3,078.3 2,983.3 47.5 3,078.3
11/5/2019 3,074.6 2,986.9 50.1 3,087.1
11/6/2019 3,076.8 2,990.0 52.6 3,095.2
11/7/2019 3,085.2 2,993.6 55.3 3,104.1
11/8/2019 3,093.1 2,997.9 57.7 3,113.4
11/11/2019 3,087.0 3,001.6 59.7 3,121.1
11/12/2019 3,091.8 3,006.7 60.7 3,128.1
11/13/2019 3,094.0 3,013.5 58.5 3,130.6
11/14/2019 3,096.6 3,019.7 57.1 3,134.0
11/15/2019 3,120.5 3,025.4 58.4 3,142.2
11/18/2019 3,122.0 3,031.5 58.6 3,148.8
11/19/2019 3,120.2 3,039.0 54.8 3,148.7
11/20/2019 3,108.5 3,045.3 51.5 3,148.3
11/21/2019 3,103.5 3,050.9 48.5 3,147.8
11/22/2019 3,110.3 3,055.5 47.2 3,149.9
11/25/2019 3,133.6 3,061.1 46.2 3,153.5
11/26/2019 3,140.5 3,065.9 46.7 3,159.3
11/27/2019 3,153.6 3,071.4 47.0 3,165.5
11/29/2019 3,141.0 3,076.2 46.6 3,169.3
12/2/2019 3,113.9 3,080.4 43.9 3,168.3
12/3/2019 3,093.2 3,083.3 41.8 3,166.9
12/4/2019 3,112.8 3,087.2 38.8 3,164.8
12/5/2019 3,117.4 3,091.0 36.0 3,162.9
12/6/2019 3,145.9 3,095.5 34.0 3,163.5
12/9/2019 3,136.0 3,099.3 31.9 3,163.1
12/10/2019 3,132.5 3,102.4 30.5 3,163.3
12/11/2019 3,141.6 3,105.9 28.7 3,163.3
12/12/2019 3,168.6 3,109.9 28.7 3,167.3
12/13/2019 3,168.8 3,114.3 27.3 3,168.9
12/16/2019 3,191.5 3,118.4 29.2 3,176.8
12/17/2019 3,192.5 3,122.3 31.1 3,184.4
12/18/2019 3,191.1 3,126.1 32.1 3,190.4
12/19/2019 3,205.4 3,130.4 33.8 3,198.0
12/20/2019 3,221.2 3,135.0 36.5 3,207.9
12/23/2019 3,224.0 3,139.3 38.9 3,217.2
12/24/2019 3,223.4 3,143.9 40.5 3,224.8
12/26/2019 3,239.9 3,148.8 42.8 3,234.4
12/27/2019 3,240.0 3,153.7 44.6 3,242.8
12/30/2019 3,221.3 3,157.8 44.9 3,247.5
12/31/2019 3,230.8 3,161.5 46.2 3,253.8
1/2/2020 3,257.9 3,166.0 48.7 3,263.3
 1/3/2020 3,234.9 3,169.9 49.4 3,268.6
1/6/2020 3,246.3 3,174.4 49.9 3,274.2
1/7/2020 3,237.2 3,178.9 49.3 3,277.5
1/8/2020 3,253.1 3,183.7 49.4 3,282.4
1/9/2020 3,274.7 3,188.4 51.1 3,290.5
1/10/2020 3,265.4 3,192.5 52.1 3,296.6
1/13/2020 3,288.1 3,197.0 54.3 3,305.5
1/14/2020 3,283.2 3,201.7 55.4 3,312.5
1/15/2020 3,289.3 3,207.6 55.0 3,317.7
1/16/2020 3,316.8 3,215.0 54.2 3,323.4
1/17/2020 3,329.6 3,222.3 54.5 3,331.3
1/21/2020 3,320.8 3,229.1 53.7 3,336.4
1/22/2020 3,321.8 3,234.9 53.9 3,342.7
1/23/2020 3,325.5 3,241.2 53.0 3,347.3
1/24/2020 3,295.5 3,246.7 49.9 3,346.4
1/27/2020 3,243.6 3,250.1 45.9 3,341.9
1/28/2020 3,276.2 3,253.7 43.5 3,340.7
1/29/2020 3,273.4 3,257.1 40.7 3,338.5
1/30/2020 3,283.7 3,260.2 39.1 3,338.4
1/31/2020 3,225.5 3,261.3 37.6 3,336.5
2/3/2020 3,248.9 3,263.2 35.4 3,334.0
2/4/2020 3,297.6 3,266.3 34.2 3,334.7
2/5/2020 3,334.7 3,270.1 35.2 3,340.6
2/6/2020 3,345.8 3,274.2 36.7 3,347.5
2/7/2020 3,327.7 3,277.6 36.7 3,350.9
2/10/2020 3,352.1 3,281.4 38.3 3,358.0
2/11/2020 3,357.8 3,285.3 39.9 3,365.0
2/12/2020 3,379.5 3,290.6 41.5 3,373.5
2/13/2020 3,373.9 3,295.3 42.5 3,380.4
2/14/2020 3,380.2 3,299.4 44.6 3,388.6
2/18/2020 3,370.3 3,303.9 44.7 3,393.2
2/19/2020 3,386.2 3,308.6 45.7 3,400.0
2/20/2020 3,373.2 3,313.1 45.1 3,403.4
2/21/2020 3,337.8 3,316.0 43.9 3,403.8
2/24/2020 3,225.9 3,314.3 46.2 3,406.8
2/25/2020 3,128.2 3,309.8 56.5 3,422.8
2/26/2020 3,116.4 3,304.0 66.3 3,436.6
2/27/2020 2,978.8 3,293.9 88.3 3,470.5
2/28/2020 2,954.2 3,282.7 107.3 3,497.4
3/2/2020 3,090.2 3,275.2 112.5 3,500.2
3/3/2020 3,003.4 3,264.3 122.1 3,508.5
3/4/2020 3,130.1 3,257.9 123.9 3,505.8
3/5/2020 3,023.9 3,248.0 130.2 3,508.4
3/6/2020 2,972.4 3,236.2 138.4 3,512.9
3/9/2020 2,746.6 3,217.9 163.3 3,544.6
3/10/2020 2,882.2 3,205.9 174.0 3,553.9
3/11/2020 2,741.4 3,188.1 192.3 3,572.7
3/12/2020 2,480.6 3,161.6 229.6 3,620.9
3/13/2020 2,711.0 3,142.5 242.1 3,626.8
3/16/2020 2,386.1 3,114.6 276.9 3,668.4
3/17/2020 2,529.2 3,090.6 294.8 3,680.3
3/18/2020 2,398.1 3,060.6 317.2 3,694.9
3/19/2020 2,409.4 3,029.7 333.6 3,696.9
3/20/2020 2,304.9 2,995.1 352.5 3,700.0
3/23/2020 2,237.4 2,958.7 372.0 3,702.7
3/24/2020 2,447.3 2,928.6 375.5 3,679.6
3/25/2020 2,475.6 2,899.1 375.3 3,649.8
3/26/2020 2,630.1 2,874.2 367.4 3,608.9
3/27/2020 2,541.5 2,846.4 359.9 3,566.3
3/30/2020 2,626.7 2,821.3 347.9 3,517.1
3/31/2020 2,584.6 2,795.1 334.9 3,464.9
4/1/2020 2,470.5 2,764.6 321.1 3,406.8
4/2/2020 2,526.9 2,736.4 303.1 3,342.5
4/3/2020 2,488.7 2,708.1 284.7 3,277.4
4/6/2020 2,663.7 2,689.3 268.0 3,225.3
4/7/2020 2,659.4 2,673.7 255.3 3,184.3
4/8/2020 2,750.0 2,661.5 242.3 3,146.0
4/9/2020 2,789.8 2,655.2 236.3 3,127.8
4/13/2020 2,761.6 2,648.8 230.7 3,110.1
4/14/2020 2,846.1 2,640.6 218.9 3,078.5
4/15/2020 2,783.4 2,633.3 210.2 3,053.7
4/16/2020 2,799.6 2,622.3 191.7 3,005.7
4/17/2020 2,874.6 2,617.3 182.9 2,983.2
4/20/2020 2,823.2 2,612.3 175.1 2,962.5
4/21/2020 2,736.6 2,612.0 174.8 2,961.7
4/22/2020 2,799.3 2,609.2 171.1 2,951.5
4/23/2020 2,797.8 2,611.1 172.9 2,956.9
4/24/2020 2,836.7 2,623.0 175.7 2,974.4
4/27/2020 2,878.5 2,628.6 181.0 2,990.6
4/28/2020 2,863.4 2,644.5 180.0 3,004.4
4/29/2020 2,939.5 2,658.2 186.2 3,030.5
4/30/2020 2,912.4 2,675.3 185.1 3,045.5
5/1/2020 2,830.7 2,689.3 180.3 3,050.0
5/4/2020 2,842.7 2,707.3 167.5 3,042.3
5/5/2020 2,868.4 2,728.3 145.3 3,019.0
5/6/2020 2,848.4 2,741.7 137.1 3,015.9
5/7/2020 2,881.2 2,755.2 130.0 3,015.2
5/8/2020 2,929.8 2,765.2 131.5 3,028.2
5/11/2020 2,930.3 2,778.1 127.9 3,034.0
5/12/2020 2,870.1 2,786.3 125.8 3,037.8
5/13/2020 2,820.0 2,794.1 120.2 3,034.4
5/14/2020 2,852.5 2,806.8 104.4 3,015.6
5/15/2020 2,863.7 2,818.1 90.9 2,999.9
5/18/2020 2,953.9 2,833.6 70.9 2,975.4
5/19/2020 2,922.9 2,842.2 65.2 2,972.7
5/20/2020 2,971.6 2,852.6 59.9 2,972.5
5/21/2020 2,948.5 2,859.2 59.2 2,977.6
5/22/2020 2,955.5 2,864.8 60.2 2,985.1
5/26/2020 2,991.8 2,872.4 61.2 2,994.8
5/27/2020 3,036.1 2,878.8 67.6 3,014.0
5/28/2020 3,029.7 2,887.0 70.5 3,027.9
5/29/2020 3,044.3 2,895.1 73.9 3,043.0
6/1/2020 3,055.7 2,901.2 79.2 3,059.6
6/2/2020 3,080.8 2,909.8 84.1 3,078.0
6/3/2020 3,122.9 2,922.6 86.2 3,095.0
6/4/2020 3,112.4 2,933.1 89.5 3,112.0
6/5/2020 3,193.9 2,946.3 97.4 3,141.1
6/8/2020 3,232.4 2,959.5 107.9 3,175.3
6/9/2020 3,207.2 2,970.4 115.6 3,201.5
6/10/2020 3,190.1 2,981.3 120.3 3,221.8
6/11/2020 3,002.1 2,983.4 120.1 3,223.5
6/12/2020 3,041.3 2,987.7 119.7 3,227.2
6/15/2020 3,066.6 2,995.6 116.9 3,229.3
6/16/2020 3,124.7 3,005.0 115.5 3,236.1
6/17/2020 3,113.5 3,013.1 114.3 3,241.7
6/18/2020 3,115.3 3,022.0 111.4 3,244.9
6/19/2020 3,097.7 3,029.3 109.1 3,247.4
6/22/2020 3,117.9 3,035.5 108.6 3,252.7
6/23/2020 3,131.3 3,042.2 108.1 3,258.4
6/24/2020 3,050.3 3,048.2 103.3 3,254.7
6/25/2020 3,083.8 3,057.0 94.3 3,245.6
6/26/2020 3,009.1 3,062.2 86.9 3,236.0
6/29/2020 3,053.2 3,068.6 78.7 3,226.0
6/30/2020 3,100.3 3,073.4 75.9 3,225.3
7/1/2020 3,115.9 3,079.9 70.9 3,221.7
7/2/2020 3,130.0 3,085.1 68.5 3,222.2
7/6/2020 3,179.7 3,092.9 65.7 3,224.2
7/7/2020 3,145.3 3,099.2 61.1 3,221.4
7/8/2020 3,169.9 3,105.1 59.0 3,223.1
7/9/2020 3,152.1 3,109.0 58.1 3,225.3
7/10/2020 3,185.0 3,114.2 57.8 3,229.7
7/13/2020 3,155.2 3,117.9 56.7 3,231.3
7/14/2020 3,197.5 3,122.6 57.2 3,237.1
7/15/2020 3,226.6 3,127.4 59.6 3,246.7
7/16/2020 3,215.6 3,130.5 61.7 3,253.9
7/17/2020 3,224.7 3,134.3 63.8 3,262.0
7/20/2020 3,251.8 3,136.2 66.4 3,269.1
7/21/2020 3,257.3 3,137.0 67.8 3,272.6
7/22/2020 3,276.0 3,139.3 71.2 3,281.7
7/23/2020 3,235.7 3,140.8 72.7 3,286.3
7/24/2020 3,215.6 3,148.0 69.2 3,286.3
7/27/2020 3,239.4 3,154.6 68.1 3,290.8
7/28/2020 3,218.4 3,159.6 67.0 3,293.7
7/29/2020 3,258.4 3,164.1 69.0 3,302.0
7/30/2020 3,246.2 3,168.5 69.8 3,308.2
7/31/2020 3,271.1 3,173.7 71.5 3,316.6
8/3/2020 3,294.6 3,180.3 73.2 3,326.7
8/4/2020 3,306.5 3,186.6 75.6 3,337.8
8/5/2020 3,327.8 3,193.1 79.0 3,351.1
8/6/2020 3,349.2 3,203.1 79.2 3,361.5
8/7/2020 3,351.3 3,212.0 80.3 3,372.6
8/10/2020 3,360.5 3,223.7 75.3 3,374.4
8/11/2020 3,333.7 3,233.0 70.9 3,374.8
8/12/2020 3,380.4 3,242.4 71.2 3,384.8
8/13/2020 3,373.4 3,251.0 71.0 3,392.9
8/14/2020 3,372.9 3,259.1 70.6 3,400.2
8/17/2020 3,382.0 3,265.8 72.3 3,410.4
8/18/2020 3,389.8 3,274.0 72.0 3,418.0
8/19/2020 3,374.9 3,280.8 71.6 3,423.9
8/20/2020 3,385.5 3,288.6 69.8 3,428.2
8/21/2020 3,397.2 3,295.6 69.7 3,435.1
8/24/2020 3,431.3 3,304.8 68.8 3,442.4
8/25/2020 3,443.6 3,313.0 70.2 3,453.4
8/26/2020 3,478.7 3,321.4 74.3 3,470.0
8/27/2020 3,484.6 3,330.4 77.1 3,484.7
8/28/2020 3,508.0 3,339.9 80.9 3,501.6
8/31/2020 3,500.3 3,348.1 84.1 3,516.3
9/1/2020 3,526.7 3,357.1 88.2 3,533.5
9/2/2020 3,580.8 3,367.3 95.5 3,558.3
9/3/2020 3,455.1 3,374.6 93.5 3,561.7
9/4/2020 3,427.0 3,381.6 89.2 3,560.0
9/8/2020 3,331.8 3,384.7 85.7 3,556.2
9/9/2020 3,399.0 3,390.7 80.0 3,550.7
9/10/2020 3,339.2 3,393.4 76.8 3,547.0
9/11/2020 3,341.0 3,396.6 72.5 3,541.6
9/14/2020 3,383.5 3,400.3 68.7 3,537.8
9/15/2020 3,401.2 3,403.9 65.9 3,535.6
9/16/2020 3,385.5 3,406.5 63.4 3,533.4
9/17/2020 3,357.0 3,407.5 62.4 3,532.4
9/18/2020 3,319.5 3,406.5 63.6 3,533.7
9/21/2020 3,281.1 3,404.2 66.8 3,537.7
9/22/2020 3,315.6 3,402.7 68.2 3,539.1
9/23/2020 3,236.9 3,399.4 73.5 3,546.4
9/24/2020 3,246.6 3,395.0 78.4 3,551.8
9/25/2020 3,298.5 3,392.5 80.2 3,553.0
9/28/2020 3,351.6 3,391.8 80.5 3,552.8
9/29/2020 3,335.5 3,390.2 81.1 3,552.5
9/30/2020 3,363.0 3,389.3 81.3 3,551.9
10/1/2020 3,380.8 3,389.5 81.2 3,552.0
 BB30- = MA30 - 2*volatilidad ROC30

hart Title

4/2/2020 6/2/2020 8/2/2020

4,000.0

MA30
3,500.0
tilidad BB30- = MA30 - 2*volatilidad

3,000.0
hart Title
2,500.0

2,000.0

1,500.0
05113121129137145153161169177185193201209217225233241249

1,000.0

500.0

2,861.9 -1.26% 0.0

10/2/2019 11/2/2019 12/2/2019 1/2/2
2,860.7 -0.42%
2,862.4 3.68% Column B
2,874.3 2.10%
2,876.5 0.83%
2,883.7 1.09%
2,889.7 0.46%
2,892.6 1.50%
2,895.3 2.06%
2,901.0 1.97%
2,903.3 0.46%
2,903.3 0.65%
2,903.4 0.26%
2,903.2 0.92%
2,903.2 -0.16%
2,903.2 -0.17%
2,903.1 0.10%
2,902.4 0.82%
2,900.4 1.12%
2,898.9 1.00%
2,896.8 1.33%
2,895.5 1.52%
2,892.1 2.51%
2,888.3 3.76%
2,886.7 3.01%
2,884.7 3.33%
2,883.0 4.17%
2,882.5 3.91%
2,882.1 4.99%
2,885.2 7.07%
2,896.5 6.30%
2,905.5 4.90%
2,908.5 6.18%
2,914.2 7.91%
2,929.4 6.88%
2,942.4 5.80%
2,953.9 4.49%
2,961.1 4.86%
2,968.7 4.61%
2,972.6 5.05%
2,977.3 5.19%
2,983.0 5.18%
2,992.6 3.56%
2,999.7 3.24%
3,009.6 3.60%
3,019.0 3.56%
3,027.4 4.08%
3,035.4 3.18%
3,041.4 3.15%
3,048.4 3.11%
3,052.6 4.31%
3,059.7 3.32%
3,060.1 3.68%
3,060.1 3.83%
3,061.9 3.72%
3,062.8 3.90%
3,062.1 4.14%
3,061.5 4.44%
3,062.9 4.25%
3,063.2 4.71%
3,064.5 4.63%
3,068.1 3.23%
3,069.2 3.48%
3,068.7 4.41%
3,071.1 4.07%
3,074.7 4.60%
3,080.3 4.08%
3,085.0 3.81%
3,086.3 4.27%
3,088.4 3.54%
3,088.5 4.68%
3,091.0 5.44%
3,097.5 6.34%
3,106.7 6.56%
3,113.3 6.81%
3,121.7 5.56%
3,127.1 5.92%
3,135.2 6.16%
3,146.9 4.90%
3,158.3 2.37%
3,166.6 3.39%
3,175.7 2.57%
3,182.1 2.85%
3,186.1 1.08%
3,192.5 1.36%
3,197.9 2.37%
3,199.6 3.43%
3,200.8 3.80%
3,204.3 2.71%
3,204.8 3.46%
3,205.6 4.24%
3,207.6 4.60%
3,210.3 3.56%
3,210.3 4.49%
3,214.6 3.82%
3,217.2 4.60%
3,222.9 3.69%
3,228.1 1.93%
3,221.8 -1.21%
3,196.7 -4.86%
3,171.5 -5.08%
3,117.3 -9.44%
3,068.1 -10.93%
3,050.1 -7.19%
3,020.1 -9.56%
3,010.1 -5.77%
2,987.6 -9.07%
2,959.5 -9.80%
2,891.2 -15.32%
2,857.9 -12.03%
2,803.4 -16.25%
2,702.4 -24.46%
2,658.3 -15.95%
2,560.7 -26.56%
2,500.9 -23.30%
2,426.3 -28.09%
2,362.6 -27.99%
2,290.1 -30.74%
2,214.7 -33.25%
2,177.5 -27.11%
2,148.5 -26.75%
2,139.4 -22.05%
2,126.5 -24.81%
2,125.5 -22.06%
2,125.3 -23.67%
2,122.4 -26.76%
2,130.3 -24.29%
2,138.7 -22.85%
2,153.4 -14.85%
2,163.1 -14.66%
2,177.0 -7.68%
2,182.6 -5.56%
2,187.5 -10.63%
2,202.8 -5.24%
2,212.9 -11.08%
2,238.9 -7.42%
2,251.4 -3.29%
2,262.2 2.79%
2,262.3 -5.05%
2,266.9 2.11%
2,265.3 12.79%
2,271.5 4.64%
2,266.5 20.63%
2,284.5 13.21%
2,285.8 22.58%
2,305.0 20.88%
2,328.7 22.81%
2,372.2 27.06%
2,437.6 17.21%
2,467.5 15.06%
2,495.2 9.55%
2,502.2 15.28%
2,522.3 11.56%
2,534.7 11.05%
2,553.8 14.15%
2,598.0 12.89%
2,636.2 15.07%
2,691.8 10.90%
2,711.7 9.91%
2,732.8 8.06%
2,740.9 5.69%
2,744.4 7.02%
2,750.0 5.12%
2,743.5 9.08%
2,746.1 8.22%
2,747.3 5.91%
2,742.7 8.24%
2,741.5 12.58%
2,750.3 11.56%
2,754.1 11.24%
2,751.4 12.59%
2,743.6 12.30%
2,739.3 12.01%
2,740.8 8.53%
2,743.3 3.08%
2,748.2 7.44%
2,761.8 7.87%
2,773.9 8.94%
2,784.6 9.31%
2,799.1 8.13%
2,811.1 5.73%
2,818.4 6.40%
2,826.0 9.10%
2,841.7 8.17%
2,868.4 8.11%
2,888.5 5.08%
2,911.1 3.36%
2,921.6 6.07%
2,938.0 4.85%
2,948.1 6.16%
2,961.5 7.59%
2,977.0 5.13%
2,987.1 4.41%
2,992.7 4.04%
2,998.6 4.62%
3,004.4 3.26%
3,008.1 3.79%
3,008.2 3.32%
3,007.2 3.32%
3,006.6 0.96%
3,003.3 0.60%
3,001.5 1.56%
2,996.9 2.69%
2,995.4 7.78%
3,009.6 5.73%
3,018.3 5.64%
3,025.6 3.00%
3,026.2 4.66%
3,028.9 4.20%
3,030.8 5.60%
3,033.9 5.67%
3,035.3 5.60%
3,035.1 9.10%
3,044.7 8.61%
3,051.3 11.37%
3,073.0 10.06%
3,091.3 7.53%
3,099.9 8.49%
3,109.0 7.78%
3,117.9 6.07%
3,121.2 7.52%
3,129.9 6.94%
3,137.7 7.07%
3,148.9 6.29%
3,156.2 7.67%
3,167.3 7.31%
3,172.7 6.73%
3,172.9 8.18%
3,176.1 8.06%
3,178.1 7.88%
3,180.0 7.46%
3,180.7 7.65%
3,176.2 10.67%
3,187.5 7.45%
3,203.3 5.79%
3,213.3 3.52%
3,230.8 4.31%
3,239.9 2.86%
3,251.6 2.14%
3,262.9 2.70%
3,272.2 2.86%
3,279.6 1.73%
3,282.6 0.23%
3,279.3 -0.95%
3,270.6 -2.36%
3,266.2 -0.54%
3,252.4 -4.24%
3,238.1 -3.76%
3,232.0 -2.21%
3,230.8 -0.90%
3,228.0 -1.60%
3,226.8 -0.35%
3,227.1 -0.14%
 Chart Title

19 11/2/2019 12/2/2019 1/2/2020 2/2/2020 3/2/2020 4/2/2020 5/2/2020 6/2/2020 7/2/2020 8/2/2020 9/2/2020

Column B Column C BB30+ = MA30 + 2*volatilidad BB30- = MA30 - 2*volatilidad

0 8/2/2020 9/2/2020

atilidad