Академический Документы
Профессиональный Документы
Культура Документы
MAXIMAR RENTABILIDAD
LINDLEY Portafolio
Rendimiento Sumaproducto
-0.2253691275387 -0.210278723718083
0.3575135509252 0.342065302165825
0.1418579703884 0.136166483495883
0.0829789145411 0.0826240443644369
-0.0435505319186 -0.0484942374847355
-0.03165217392 -0.0267351675558753
0.0194426183866 0.0237457153360124
0.239759511134 0.219954293105538
-0.0977516474851 -0.0876054972460288
0.0204081632618 0.0294716132834047
0.0399999999932 0.0371138776385463
-0.048076923069 -0.0442204053487722
0.0681280893862 0.066834356098527
0.0095238095218 0.0136724309504849
0.1919253398204 0.183331116561058
0.1079712230391 0.105556863626778
0.0416048708172 0.0465190008327817
0.1796197793371 0.162726790422474
0.2882059800683 0.26545629414859
-0.0333716915893 -0.0399596995732009
0.0972222222122 0.0872133233578854
-0.0168157423921 -0.0117827849998122
-0.1588573378754 -0.151839575312862
92% 100%
x = Ds
18.2
LINDLEY 22.07
50% 22.84
86.9223% 58.859% 24.06
46.8544% 29.74% 25.86
28.26
29.74
32.99
LINDLEY 35.29
3% 37.88
86.9223% 25.89% 40.92
46.8544% 18.20% 43.98
46.85
LINDLEY
100%
86.9223% 86.922%
46.8544% 46.85%
CREDICORP CO
Fecha Cierre Rendimiento Varianza Fecha
May-09 57.31071793 May-09
Jun-09 55.74464132 -0.0273260687259846 0.000127 Jun-09
Jul-09 64.37247446 0.154774215784017 0.000760 Jul-09
Aug-09 68.69599887 0.0671641791029707 0.000079 Aug-09
Sep-09 74.07638479 0.0783216783203549 0.000127 Sep-09
Oct-09 66.04423723 -0.108430609603458 0.000815 Oct-09
Nov-09 68.21560726 0.0328775094553394 0.000003 Nov-09
Dec-09 73.39422872 0.0759154929598195 0.000116 Dec-09
Jan-10 71.91462259 -0.0201597067625739 0.000095 Jan-10
Feb-10 74.46069807 0.0354041416109004 0.000005 Feb-10
Mar-10 84.83715664 0.13935483871297 0.000590 Mar-10
Apr-10 85.01728125 0.00212318065731903 0.000025 Apr-10
May-10 85.2328125 0.00253514634708456 0.000024 May-10
Jun-10 89.59242188 0.0511494252873564 0.000030 Jun-10
Jul-10 95.32359375 0.0639693821760525 0.000067 Jul-10
Aug-10 102.8671875 0.079136690647482 0.000131 Aug-10
Sep-10 110.7144844 0.0762857142371079 0.000117 Sep-10
Oct-10 122.4609375 0.106096805642378 0.000296 Oct-10
Nov-10 117.3077813 -0.04208 0.000207 Nov-10
Dec-10 116.0929688 -0.0103557708368132 0.000058 Dec-10
Jan-11 102.1814063 -0.119831223628692 0.000959 Jan-11
Feb-11 98.69371875 -0.0341323106423777 0.000161 Feb-11
Mar-11 103.5529688 0.0492356561445305 0.000026 Mar-11
Apr-11 96.64 -0.0667578035999089 0.000386 Apr-11
COV Buenaventura-Volcan
COV Buenaventura-Credicorp
COV Volcan-Credicorp
COV Credicorp-Buenaventura
COV Buenaventura-Lindey
Cov Volca-Lindley
COV Credicorp-Lindley
Varienza Buenaventura
Varianza Volcan
Varianza Credicorp
Varianza Lindley
MATRIZ COVARIANZA
BUENAVENTURA
BUENAVENTURA 0.0142372512824235
VOLCAN -0.00489722276860555
CREDICORP 0.00257451145668276
LINDLEY 0.00326068344469395
MATRIZ PESOS
VOLCAN CREDICORP LINDLEY
0 0.432590373334295 0.497896046352241
-0.00489722276860555
0.00257451145668276
-0.00173311498731554
0.00257451145668276
0.00326068344469395
-0.000942707054561281
0.00337911412293138
0.0142372512824235
0.0188994798155149
0.00520345888858161
0.019126011678949
MATRIZ COVARIANZA
VOLCAN CREDICORP LINDLEY
-0.00489722276860555 0.00257451145668276 0.00326068344469395
0.0188994798155149 -0.00173311498731554 -0.000942707054561281
-0.00173311498731554 0.00520345888858161 0.00337911412293138
-0.000942707054561281 0.00337911412293138 0.019126011678949
MATRIZ TRANSPUESTA
PESOS
0.069514 BUENAVENTURA
0.000000 VOLCAN
0.432590 CREDICORP
0.497896 LINDLEY
COV Buenaventura-Lindey Cov Volca-Lindley Cov Lindley- Credicorp
0.00169068482027154 -0.000606664 0.00063987611668484
0.000689334102285334 0.000024653 0.001709398
-0.000131107582392659 0.000153001 0.000160247
0.00124716414340031 0.000088220 0.000067748
6.46632916215661E-05 -0.000145712 0.000564961
-0.000202688711505325 -0.000042541 -0.000027514
-0.000181814350477574 -0.000516820 -0.000074753
-0.000574808788117921 0.000808029 -0.000369312
-4.16918236610039E-05 -0.000007041 -0.000065487
-8.24498625333474E-05 0.000083076 -0.000163935
8.60770695272302E-05 -0.000000507 0.000013699
-0.000144351014813121 -0.000009010 0.000101195
0.000127559120098603 0.000001918 0.000016337
-8.98891494984427E-06 0.000113348 -0.000073672
0.000200307603826552 -0.000032350 0.000323112
0.000424152688597793 0.000006947 0.000120382
0.000202774572267519 0.000263149 -0.000041744
-0.000318955088932316 -0.000109402 -0.000370252
-0.00080995374713513 -0.000319022 -0.000365334
0.00024609524959116 0.000026206 0.000548778
0.000393063749047 -0.000073855 -0.000113233
6.93659307433257E-05 0.000035015 -0.000072738
0.000316250987934258 -0.000683345 0.000851354
(5) UPA
(7) P/VC
(9) ROE
(10) Beta
154.31254545 89.05214426
9.8551550995 3.416118139
125.4 75.92578125
2.31 0.96
moneda original
1
Volumen en miles - 2
01/05/2011 3
790 4
7046 5
646 6
220 7
8
9
10
Capitalizacion Bursátil - 01/05/2011 11
12
31,973,660
12,759,902
7,708,103
1,266,709.42
275635 7.910559254
2967419 0.284847876
79761 5.609658856
652943 0.062899824
VC
27.5610717071489
1.02399458923731
35.7970562054137
0.936467654910153
P/VC
4.2088348824952
4.19924093857049
2.69966333112567
2.07161452915972
1.18137931034483
1.71958316718605
2.01779801324503
0
ROE - 12 meses
0.287019290764159
0.278173223972322
0.156707267313881
0.0671671082327544
Beta - 12 meses
0.49
-0.20
0.54
1.47
6/1/2010
7/1/2010
8/1/2010
9/1/2010
10/1/2010
11/1/2010
12/1/2010
1/1/2011
2/1/2011
3/1/2011
4/1/2011
5/1/2011
x = Ds y= Rp( e ) W BUENAVENTURA W VOLCAN
Min Ds ======> 1 0.18 25.89% 18.74% 25.53%
2 0.21 28.89% 0.00% 15.36%
3 0.22 31.88% 0.00% 7.99%
4 0.24 34.88% 0.04% 0.75%
5 0.24 37.88% 0.00% 0.00%
6 0.24 40.88% 0.00% 0.00%
7 0.24 43.87% 0.00% 0.00%
8 0.25 46.87% 0.00% 0.00%
9 0.26 49.87% 0.00% 0.00%
10 0.27 52.86% 0.00% 0.00%
11 0.28 55.86% 0.00% 0.00%
Max Ratio Sharpe 12 0.30 58.86% 6.95% 0.00%
13 0.31 61.41% 0.00% 0.00%
14 0.32 63.41% 0.00% 0.00%
15 0.34 66.51% 0.00% 0.00%
16 0.36 69.06% 0.00% 0.00%
17 0.37 71.61% 0.00% 0.00%
18 0.39 74.17% 0.00% 0.00%
19 0.40 76.72% 0.00% 0.00%
20 0.42 79.27% 0.00% 0.00%
21 0.44 81.82% 0.00% 0.00%
22 0.45 84.37% 0.00% 0.00%
Max Rp ======> 23 0.47 86.92% 0.00% 0.00%
Frontera eficiente
100.00%
90.00%
80.00%
70.00%
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50
W CREDICORP W LINDLEY
52.34% 3.39%
84.64% 0.00%
92.01% 0.00%
99.22% 0.00%
94.00% 6.00%
87.43% 12.57%
81.01% 18.99%
74.69% 25.31%
68.48% 31.52%
62.41% 37.59%
56.43% 43.57%
43.26% 49.79%
45.63% 54.37%
41.82% 58.18%
36.00% 64.00%
31.29% 68.71%
26.64% 73.36%
22.04% 77.96%
17.52% 82.48%
13.05% 86.95%
8.65% 91.35%
4.30% 95.70%
0.00% 100.00%
y= Rp( e )
(Ds,Rp)