Portafolio Eficiente Acciones USA

Chapter 4.
Tool Kit for Risk and Return
The relationship between risk and return is a fundamental axiom in finance. Generally speaking, it is totally logical to assume
that investors are only willing to assume additional risk if they are adequately compensated with additional return. This idea is
rather fundamental, but the difficulty in finance arises from interpreting the exact nature of this relationship (accepting that risk
aversion differs from investor to investor). Risk and return interact to determine security prices, hence its paramount importance
in finance.
PROBABILITY DISTRIBUTION
The probability distribution is a listing of all possible outcomes and the corresponding probability.
Demand for the Probability of this Rate of Return on stock

company's products demand occurring if this demand occurs
Sale.com Basic Foods
Strong 0.30 100% 20%
Normal 0.40 15% 15%
Weak 0.30 -70% 10%
1.00
EXPECTED RATE OF RETURN
The expected rate of return is the rate of return that is expected to be realized from an investment. It is determined as the weighte
average of the probability distribution of returns.
Demand for the Probability of this Sale.com

company's products demand occurring Rate of Return Product
Strong 0.3 100% 30%

Normal 0.4 15% 6%
Weak 0.3 -70% -21%
1.0
EXPECTED RATE OF RETURN, r hat = 15%
MEASURING STAND-ALONE RISK: THE STANDARD DEVIATION
To calculate the standard deviation, there are a few steps. First find the differences of all the possible returns from the expected
return. Second, square that difference. Third, multiply the squared number by the probability of its occurrence. Fourth, find the
of all the weighted squares. And lastly, take the square root of that number. Let us apply this procedure to find the standard devia
of Sale.com's returns.
Demand for the Probability of this Deviation from r hat Squared deviation
company's products demand occurring Sale.com
Strong 0.3 85% 72.25%
Normal 0.4 0% 0.00%
Weak 0.3 -85% 72.25%
Sum:
Std. Dev. = Square root of sum
Probability of this
demand occurring Basic Foods
Strong 0.3 5% 0.25%
Normal 0.4 0% 0.00%
Weak 0.3 -5% 0.25%
Std. Dev. = Square root of sum
MEASURING STAND-ALONE RISK: THE COEFFICIENT OF VARIATION

The coefficient of variation indicates the risk per unit of return, and is calculated by dividing the standard deviation by the expect
return.
Std. Dev. Expected return CV
Sale.com 65.84% 15% 4.39
Basic Foods 3.87% 15% 0.26
PORTFOLIO RETURNS
The expected return on a portfolio is simply a weighted average of the expected returns of the individual assets in the portfolio.
Consider the following portfolio.
Stock Portfolio weight Expected Return

Microsoft 0.25 12.0%
General Electric 0.25 11.5%
Pfizer 0.25 10.0%
Coca-Cola 0.25 9.5%
Portfolio's Expected Return 10.75%
PORTFOLIO RISK
Perfect Negative Correlation. The standard deviation of a portfolio is generally not a weighted average of individual standard
deviations--usually, it is much lower than the weighted average. The portfolio's SD is a weighted average only if all the securities
are perfectly positively correlated, which is almost never the case. In the equally rare case where the stocks in a portfolio are perf
negatively correlated, we can create a portfolio with absolutely no risk. Such is the case for the next example of Portfolio WM, a
portfolio composed equally of Stocks W and M.
Portfolio WM
Year Stock W returns Stock M returns (Equally weighted avg.)
2000 40% -10% 15%
2001 -10% 40% 15%
2002 35% -5% 15%
2003 -5% 35% 15%
2004 15% 15% 15%
Average return 15% 15% 15%
Standard deviation 22.64% 22.64% 0.00%
Correlation Coefficient -1.00
These two stocks are perfectly negatively correlated--when one goes up, the other goes down by the same amount. We could use
Excel's correlation function to find the correlation, but when exact positive or negative correlation occurs, an error message is giv
We demonstrate correlation in a later section.
Perfect Positive Correlation. Now suppose the stocks were perfectly positively correlated, as in the following example:
Year Stock M returns Stock M' returns Portfolio MM'

2000 -10% -10% -10%
2001 40% 40% 40%
2002 -5% -5% -5%
2003 35% 35% 35%
2004 15% 15% 15%
Correlation Coefficient 1.00
With perfect positive correlation, the portfolio is exactly as risky as the individual stocks.
Partial Correlation. Now suppose the stocks are positively but not perfectly so, with the following returns. What is the portfolio's
expected return, standard deviation, and correlation coefficient?
Year Stock W returns Stock Y returns Portfolio WY

2000 40% 28% 34%
2001 -10% 20% 5%
2002 35% 41% 38%
2003 -5% -17% -11%
2004 15% 3% 9%
Correlation coefficient 0.67
Here the portfolio is less risky than the individual stocks contained in it.
We found the correlation coefficient by using Excel's "CORREL" function. Click the wizard, then Statistical, then CORREL, an
then use the mouse to select the ranges for stocks W and Y's returns. The correlation here is about what we would expect for two
randomly selected stocks. Stocks in the same industry would tend to be more highly correlated than stocks in different industries.
THE CONCEPT OF BETA

The beta coefficient reflects the tendency of a stock to move up and down with the market. An average-risk stock moves equally u
and down with the market and has a beta of 1.0. Beta is found by regressing the stock's returns against returns on some market in
It is also useful to show graphs with individual stocks' returns on the vertical axis and market returns on the horizontal axis. The
slopes of the lines represent the stocks betas. We show a graph of the illustrative stocks in the screen to the right, and we use
regression to calculate betas below. Beta Graphs
Returns on The Market and on Stocks L (for Low), A (for Average), and H (for High
Year rM rL rA
2001 10% 10% 10%
2002 20% 15% 20%
2003 -10% 0% -10%
Regression analysis is performed by following the command path: Tools => Data Analysis => Regression. This will yield the
Regression input box. If Data Analysis is not an option in your Tools menu, you will have to load that program. Click on the Add
option in the Tools menu. When the Add-Ins box appears, click on Analysis ToolPak and a check mark will appear next to the
Analysis ToolPak. Then, click OK and you will now be able to access Data Analysis. From this point, you must designate the Y in
range (stock returns) and the X input range (market returns). You can have the summary output placed in a new worksheet, or y
can have it shown directly in the worksheet, as we did here. The Regression dialog box for the regression of Stock H is as follows:
Regression Output of Stock H Returns
SUMMARY OUTPUT
Regression Statistics Beta Coefficient for Stock H = 2.00

Multiple R 1
R Square 1
Adjusted R Square 1
Standard Error 1.387778780781E-017
Observations 3
ANOVA
df SS MS
Regression 1 0.1866666667 0.1866666667
Residual 1 1.92592994438724E-034 1.92592994438724E-034
Total 2 0.1866666667
Coefficients Standard Error t Stat

Intercept -0.1 9.08514472969215E-018 -11006979302506800
X Variable 1 2.00 6.42416744642654E-017 31132438820730100
Regression Output of Stock A Returns
SUMMARY OUTPUT
Beta Coefficient for Stock A is 1
Regression Statistics
Multiple R 1
R Square 1
Adjusted R Square 1
Standard Error 0
Observations 3
ANOVA
df SS MS
Regression 1 0.0466666667 0.0466666667
Residual 1 0 0
Total 2 0.0466666667

Intercept 0 0 65535
X Variable 1 1.00 0 65535
Regression Output of Stock L Returns
SUMMARY OUTPUT
The beta coefficient for Stock L is .5
Regression Statistics
Multiple R 1
R Square 1
Adjusted R Square 1
Standard Error 2.08166817117217E-017
Observations 3
ANOVA
df SS MS
Regression 1 0.0116666667 0.0116666667
Residual 1 4.33334237487128E-034 4.33334237487128E-034
Total 2 0.0116666667

Intercept 0.05 1.36277170945382E-017 3668993100835590
X Variable 1 0.5 9.63625116963981E-017 5188739803455010
CALCULATING THE BETA COEFFICIENT FOR AN ACTUAL COMPANY

Now we show how to calculate beta for an actual company, General Electric.
Step 1. Acquire Data
We downloaded stock prices and dividends from http://finance.yahoo.com for General Electric, using its ticker symbol GE. We als
data for the S&P 500 Index (^SPX), which contains 500 actively traded large stocks.
Step 2. Calculate Returns

We used the percentage change in adjusted prices (which already reflect dividends) for GE to calculate returns. We used the perc
for the S&P 500 Index as the market return.
Now go to the bottom of the data, row 310.
Market Level (S&P 500

Date Index) Market Return GE Adjusted Stock Price
March 2003 848.18 0.8% 25.50
February 2003 841.15 -1.7% 24.05
January 2003 855.70 -2.7% 22.96
December 2002 879.82 -6.0% 24.16
November 2002 936.31 5.7% 26.70
October 2002 885.76 8.6% 24.86
September 2002 815.28 -11.0% 24.27
August 2002 916.07 0.5% 29.48
July 2002 911.62 -7.9% 31.48
June 2002 989.82 -7.2% 28.40
May 2002 1,067.14 -0.9% 30.26
April 2002 1,076.92 -6.1% 30.66
March 2002 1,147.39 3.7% 36.34
February 2002 1,106.73 -2.1% 37.41
January 2002 1,130.20 -1.6% 35.93
December 2001 1,148.08 0.8% 38.76
November 2001 1,139.45 7.5% 37.07
October 2001 1,059.78 1.8% 35.06
September 2001 1,040.94 -8.2% 35.82
August 2001 1,133.58 -6.4% 39.20
July 2001 1,211.23 -1.1% 41.70
June 2001 1,224.38 -2.5% 46.82
May 2001 1,255.82 0.5% 46.82
April 2001 1,249.46 7.7% 46.37
March 2001 1,160.33 -6.4% 40.00
February 2001 1,239.94 -9.2% 44.27
January 2001 1,366.01 3.5% 43.77
December 2000 1,320.28 0.4% 45.64
November 2000 1,314.95 -8.0% 47.03
October 2000 1,429.40 -0.5% 52.01
September 2000 1,436.51 -5.3% 54.86
August 2000 1,517.68 6.1% 55.51
July 2000 1,430.83 -1.6% 48.94
June 2000 1,454.60 2.4% 50.04
May 2000 1,420.60 -2.2% 49.69
April 2000 1,452.43 -3.1% 49.49
March 2000 1,498.58 9.7% 48.98
February 2000 1,366.42 -2.0% 41.54
January 2000 1,394.46 -5.1% 42.05
December 1999 1,469.25 5.8% 48.56
November 1999 1,388.91 1.9% 40.73
October 1999 1,362.93 6.3% 42.41
September 1999 1,282.71 -2.9% 37.11
August 1999 1,320.41 -0.6% 35.05
July 1999 1,328.72 -3.2% 34.02
June 1999 1,372.71 5.4% 35.16
May 1999 1,301.84 -2.5% 31.64
April 1999 1,335.18 3.8% 32.78
March 1999 1,286.37 NA 34.42
49.000
Average return (annual) -0.7%
Standard deviation (annual) 17.6%

Correlation between GE and the market. 66.0%
Beta (using the SLOPE function) 1.092
Step 3. Examine the Data
Using the AVERAGE function and the STDEV function, we found the average historical return and standard deviation for GE an
(We converted these from monthly figures to annual figures. Notice that you must multiply the monthly standard deviati
Using the AVERAGE function and the STDEV function, we found the average historical return and standard deviation for GE an
(We converted these from monthly figures to annual figures. Notice that you must multiply the monthly standard deviati
Step 4. Plot the Data and Calculate Beta
Using the Chart Wizard, we plotted the GE returns on the y-axis and the market returns on the x-axis. We also used the menu Ch
add a trend line, and to display the regression equation and R2 on the chart. The chart is shown below.
Step 4. Interpret the Results
The beta coefficient is about 1.09, as shown by the slope of the coefficient in the regression equation on the chart. The R 2 indicate
of the variance in the stock return can be explained by the market. The rest of the stock's variance is
THE SECURITY MARKET LINE

The Security Market Line shows the relationship between a stock's beta and its expected return.
Historic Realized Returns
Risk-free rate (Varies over time) on GE, 6%
rj(%)
Market return (Also varies over time) 11% Required Return for a stock with beta = 0.5
Beta (Varies by company) 30%0.5
With the above data, we can generate a Security Market Line that will be flexible enough to allow for changes in
any of the input factors. We generate a table of values for beta and expected returns, and then plot the graph as a scatter diagram
20%
10%
f(x) = 1.0924232783x + 0.0052517018
R = 0.4357997758
on GE, rj(%)
30%
20%
Required Return
Beta 8.5%
0.00 10%
f(x) = 1.0924232783x + 0.0052517018
0.50
R = 0.4357997758
1.00
1.50 0%
-30% 2.00
-20% -10% 0% 10% 20% 30%
on the Market, rM (%)
-10%
-20%
30%
20%
10%
f(x) = 1.0924232783x + 0.0052517018
R = 0.4357997758
0%
-30% -20% -10% 0% 10% 20% 30%
-10%
-20%
The Security Market Line shows the projected changes in expected return, due to changes in the beta coefficient. However, we can
look at the potential changes in the required return due to variation of other factors, namely the market return and risk-free rate.
other words, we can see how required returns can be influenced by changing inflation and risk aversion. The level of investor risk
aversion is measured by the market risk premium (rm-rrf), which is also the slope of the SML. Hence, an increase in the market
return results in an increase in the maturity risk premium, other things held constant.
We will look at two potential conditions as shown in the following columns:
OR
Scenario 1. Inflation Increases: Scenario 2. Investors become more risk ave
Risk-free Rate 6% Risk-free Rate
Change in inflation 2% Old Market Return
Old Market Return 11% Increase in MRP
New Market Return Se curity M arke t Line
13% New Market Return
Beta 0.50 Beta
Required Return 10.5% Required Return

Required Return
0.00 0.50 1.00 1.50 2.00 2.50

Beta
Se curity M arke t Line
Required Return
Now, we can see how these two factors can affect a Security Market Line, by creating a data table for the required return with
different beta coefficients.
Required Return
Beta Original Situation New Scenario 1 New Scenario 2
8.5% 10.5% 9.75%
0.00 0.00 0.50 1.00 1.50 2.006.00% 2.50
0.50 9.75%
Beta
1.00 13.50%
1.50 17.25%
2.00 21.00%
The graph shows that as risk as measured by beta increases, so does the required rate of return on securities. However, the requir
return for any given beta varies depending on the position and slope of the SML.
6/28/2006
r 4. Tool Kit for Risk and Return
ance. Generally speaking, it is totally logical to assume

uately compensated with additional return. This idea is
g the exact nature of this relationship (accepting that risk
determine security prices, hence its paramount importance
ealized from an investment. It is determined as the weighted
Basic Foods
Rate of Return Product
20% 6%
15% 6%
10% 3%
15%
differences of all the possible returns from the expected

mber by the probability of its occurrence. Fourth, find the sum
mber. Let us apply this procedure to find the standard deviation
Sq Dev * Prob.
Sale.com
21.68%
0.00%
21.68%
43.35%
65.84% Sq. root can be
65.84% found in two ways
Basic Foods
0.08%
0.00%
0.07%
0.15%
3.87% Sq. root can be
3.87% found in two ways
calculated by dividing the standard deviation by the expected
xpected returns of the individual assets in the portfolio.
generally not a weighted average of individual standard

rtfolio's SD is a weighted average only if all the securities in it
e equally rare case where the stocks in a portfolio are perfectly
Such is the case for the next example of Portfolio WM, a
the other goes down by the same amount. We could use

tive or negative correlation occurs, an error message is given.
sitively correlated, as in the following example:
ectly so, with the following returns. What is the portfolio's
tion. Click the wizard, then Statistical, then CORREL, and

he correlation here is about what we would expect for two
more highly correlated than stocks in different industries.
wn with the market. An average-risk stock moves equally up

ssing the stock's returns against returns on some market index.
rtical axis and market returns on the horizontal axis. The
ustrative stocks in the screen to the right, and we use
nd on Stocks L (for Low), A (for Average), and H (for High)
rH
10%
30%
-30%
s => Data Analysis => Regression. This will yield the

enu, you will have to load that program. Click on the Add-Ins
lysis ToolPak and a check mark will appear next to the
ata Analysis. From this point, you must designate the Y input
have the summary output placed in a new worksheet, or you
ssion dialog box for the regression of Stock H is as follows:
Note: When you get the menu box on the

screen, and the cursor blinking in the Y
Range slot, use the mouse to select the Y
range, and then click on the X range
box. Then fill in the X range the same
way.
Beta Graph
30%
Stocks returns
0%
-10% 0% 10%
-30%
Market returns
30%
Stocks returns
0%
-10% 0% 10%
-30%
Beta Coefficient for Stock H = 2.00 Market returns
F Significance F
9.69228746926501E+032 2.044876008347E-017
P-value Lower 95%

5.78378276875137E-017 -0.1
2.04487600834699E-017 2
Beta Coefficient for Stock A is 1
F Significance F
Err:512 Err:512
P-value Lower 95%

Err:512 0
Err:512 1
The beta coefficient for Stock L is .5
F Significance F
2.69230207479584E+031 1.2269256050082E-016
P-value Lower 95%

1.73513483062541E-016 0.05
1.2269256050082E-016 0.5
om for General Electric, using its ticker symbol GE. We also downloaded
large stocks.
t dividends) for GE to calculate returns. We used the percentage change
GE Return
6.0%
4.7%
-5.0%
-9.5%
7.4%
2.4%
-17.7%
-6.4%
10.8%
-6.1%
-1.3%
-15.6%
-2.9%
4.1%
-7.3%
4.6%
5.7%
-2.1%
-8.6%
-6.0%
-10.9%
0.0%
1.0%
15.9%
-9.6%
1.1%
-4.1%
-3.0%
-9.6%
-5.2%
-1.2%
13.4%
-2.2%
0.7%
0.4%
1.0%
17.9%
-1.2%
-13.4%
19.2%
-4.0%
14.3%
5.9%
3.0%
-3.2%
11.1%
-3.5%
-4.8%
NA
-3.4%
29.2%
verage historical return and standard deviation for GE and the market.
t you must multiply the monthly standard deviati
e market returns on the x-axis. We also used the menu Chart > Options to
hart. The chart is shown below.
nt in the regression equation on the chart. The R 2 indicates that about 44%
rest of the stock's variance is
Returns
%)
Required Return for a stock with beta = 0.50 8.5%
ected returns, and then plot the graph as a scatter diagram.
232783x + 0.0052517018
997758
Returns
%)
232783x + 0.0052517018
997758
% 10% 20% 30%

232783x + 0.0052517018
997758
% 10% 20% 30%

rn, due to changes in the beta coefficient. However, we can also

other factors, namely the market return and risk-free rate. In
nging inflation and risk aversion. The level of investor risk
the slope of the SML. Hence, an increase in the market
Scenario 2. Investors become more risk averse:

6%
11%
2.5%
ne 13.5%
0.50
9.75%
1.50 2.00 2.50

a
ne
e, by creating a data table for the required return with
1.50 2.00 2.50

a
required rate of return on securities. However, the required

350107540.xlsx Mode II
Ch 05 Tool Kit
Chapter 5. Tool Kit for Risk and Return: Portfolio Theory and Asset Pricing Models
PROBABILITY DISTRIBUTIONS
The probability distribution is a listing of all possible outcomes and the corresponding probability.
Probability of Occurrence Rate of Return Distribution

E F G H
0.10 10% 6% 14% 4%
0.20 10% 8% 12% 6%
0.40 10% 10% 10% 8%
0.20 10% 12% 8% 15%
0.10 10% 14% 6% 22%
1.00
EXPECTED RATE OF RETURN AND STANDARD DEVIATION
The expected rate of return is the rate of return that is expected to be realized from an investment. It is determined as the weighted
of the probability distribution of returns.
To calculate the standard deviation, there are a few steps. First
Calculation of expected return and standard deviation for E

Expected rate of return for E Standard deviation for E
Probability of Occurrence Rate of Return Product Deviation from r hat Squared deviation
10% 10% 1.00% 0% 0.00%

20% 10% 2.00% 0% 0.00%
40% 10% 4.00% 0% 0.00%
20% 10% 2.00% 0% 0.00%
10% 10% 1.00% 0% 0.00%
100% Sum:
Expected Rate of Std. Dev. = Square

Return, r hat = 10% root of sum =
If the probabilities are fairly simple, then a short-cut method is to use the excel functions for AVERAGE and STDEVP, but to "tric
Michael C.arguments
by entering Ehrhardtmore than once, in a way that Page 27 them like the probabilities. For example,
"weights" 04/01/2017
for stock E
If the probabilities are fairly simple, then a short-cut method is to use the excel functions for AVERAGE and STDEVP, but to "tric
by entering arguments more than once, in a way that "weights" them like the probabilities. For example, for stock E
Indirect method r hat = 10% =
Calculation of expected return and standard deviation for F

Expected rate of return for F Standard deviation for F
10% 6% 0.60% -4% 0.16%

20% 8% 1.60% -2% 0.04%
40% 10% 4.00% 0% 0.00%
20% 12% 2.40% 2% 0.04%
10% 14% 1.40% 4% 0.16%
100% Sum:

Indirect method r hat = 10% =
Calculation of expected return and standard deviation for G

Expected rate of return for G Standard deviation for G
10% 14% 1.40% 4% 0.16%

20% 12% 2.40% 2% 0.04%
40% 10% 4.00% 0% 0.00%
20% 8% 1.60% -2% 0.04%
10% 6% 0.60% -4% 0.16%
100% Sum:

Indirect method r hat = 10.00% =
Calculation of expected return and standard deviation for H

Expected rate of return for H Standard deviation for H
10% 4% 0.40% -6% 0.36%

20% 6% 1.20% -4% 0.16%
40% 8% 3.20% -2% 0.04%
20% 15% 3.00% 5% 0.25%
10% 22% 2.20% 12% 1.44%
100% Sum:
Michael C. Ehrhardt Page 28 04/01/2017


Return, r hat = 10.00% root of sum =
Indirect method r hat = 10.00% =

COVARIANCE
The covariance is a measure that combines the variance of a stock's return with the tendency of those returns to move up or down a
same time another stock moves up or down.
To calculate the covariance, there are a few steps. First find the differences of all the possible returns from the
expected return; do this for both stocks. Second, multiply the differences of both stocks. Third, multiplythe
previous product by the pr
Calculation of covariance between F and G
Deviation of F from r Deviation of G from r Product of

Probability of Occurrence hat hat deviations Product * Prob.
10% -4% 4% -0.1600% -0.02%

20% -2% 2% -0.0400% -0.01%
40% 0% 0% 0.0000% 0.00%
20% 2% -2% -0.0400% -0.01%
10% 4% -4% -0.1600% -0.02%
100%
Covariance = sum = -0.048%
Calculation of covariance between F and H
Deviation of F from r Deviation of H from r Product of

10% -4% -6% 0.2400% 0.02%

20% -2% -4% 0.0800% 0.02%
40% 0% -2% 0.0000% 0.00%
20% 2% 5% 0.1000% 0.02%
10% 4% 12% 0.4800% 0.05%
100%
Covariance = sum = 0.108%
Calculation of covariance between F and E
Deviation of F from r Deviation of E from r Product of

10% -4% 0% 0.0000% 0.00%

20% -2% 0% 0.0000% 0.00%
40% 0% 0% 0.0000% 0.00%
20% 2% 0% 0.0000% 0.00%
10% 4% 0% 0.0000% 0.00%
100%

Covariance = sum = 0.000%

CORRELATION COEFFICIENT
Like covariance, the correlation coefficient also measures the tendency of two stocks to move together, but it is standardized and it
in the range of -1 to +1. The correlation coefficient is equal to the covariance divided by the product of the
Calculation of the correlation between F and G
FG = Covariance FG SigmaF * SigmaG

= -0.048% 2.19% 2.19%
= -0.048% 0.048%
FG = -1.0
Calculation of the correlation between F and H
FH = Covariance FH SigmaF * SigmaH

= 0.108% 2.19% 5.27%
= 0.108% 0.116%
FH = 0.935
PORTFOLIO RISK AND RETURN: THE TWO-ASSET CASE
Suppose there are two assets, A and B. wA is the percent of the portfolio invested in asset A. Since the total percents
invested in the asset must add up to 1, (1-wA) is the percent of the portfolio invested in asset B.
The expected return on the portfolio is the weighted average of the expected returns on asset A and asset B.
^ ^ ^
r p w A r A (1 w A ) r B
The standard deviation of the portfolio, p, is not a weighted average. It is:
p WA2 A2 (1 WA ) 2 B2 2 WA (1 WA ) AB A B
ATTAINABLE PORTFOLIOS: THE TWO ASSET-CASE
Asset A Asset B
Expected return, r hat 5% 8%
Standard deviation, 4% 10%

Using the equations above, we can find the expected return and standard deviation of a portfolio with different
percents invested in each asset.

Correlation = 1
Proportion of
Proportion of Portfolio in Portfolio in Security
Security A B
(Value of wA) (Value of 1-wB) rp p
1.00 0.00 5.00% 4.0%
0.90 0.10 5.30% 4.6%
0.80 0.20 5.60% 5.2%
0.70 0.30 5.90% 5.8%
0.60 0.40 6.20% 6.4%
0.50 0.50 6.50% 7.0%
0.40 0.60 6.80% 7.6%
0.30 0.70 7.10% 8.2%
0.20 0.80 7.40% 8.8%
0.10 0.90 7.70% 9.4%
0.00 1.00 8.00% 10.0%

10%
B
Expected return
5% A
0%
3% 4% 5% 6% 7% 8% 9% 10% 11%
Risk, sp
Correlation = 0
Proportion of
Security A B
(Value of wA) (Value of 1-wA) rp p
1.00 0.00 5.00% 4.0%
0.90 0.10 5.30% 3.7%
0.80 0.20 5.60% 3.8%
0.70 0.30 5.90% 4.1%
0.60 0.40 6.20% 4.7%
0.50 0.50 6.50% 5.4%
0.40 0.60 6.80% 6.2%
0.30 0.70 7.10% 7.1%
0.20 0.80 7.40% 8.0%
0.10 0.90 7.70% 9.0%
0.00 1.00 8.00% 10.0%



10%
B
Expected return
5% A
0%
3% 4% 5% 6% 7% 8% 9% 10% 11%
Risk, sp
Correlation = -1
Proportion of
Security A B
(Value of wA) (Value of 1-wA) rp p
1.00 0.00 5.00% 4.0%
0.90 0.10 5.30% 2.6%
0.80 0.20 5.60% 1.2%
0.70 0.30 5.90% 0.2%
0.60 0.40 6.20% 1.6%
0.50 0.50 6.50% 3.0%
0.40 0.60 6.80% 4.4%
0.30 0.70 7.10% 5.8%
0.20 0.80 7.40% 7.2%
0.10 0.90 7.70% 8.6%
0.00 1.00 8.00% 10.0%

10%
B
Expected return
5% A
0%
0% 2% 4% 6% 8% 10% 12%
Risk, sp


ATTAINABLE AND EFFICIENT PORTFOLIOS: MANY ASSETS
OPTIMAL PORTFOLIOS


EFFICIENT SET WITH A RISK-FREE ASSET
OPTIMAL PORTFOLIO WITH A RISK-FREE ASSET

CALCULATING BETAS
We downloaded stock prices and dividends from http://finance.yahoo.com for General Electric using its ticker
symbol, GE. We also downloaded data for the S&P 500 (^SPX) which contains most actively traded stocks, and the
Fidelity Magellan mutual fund (FMA
rRF, Risk-free rate

RM, Market Return rp, Fidelity Magellan (Monthly return on
Date (S&P 500 Index) rj, GE Return Fund Return 3 month T-bill)
March 2003 0.8% 6.0% 1.1% 0.09%
February 2003 -1.7% 4.7% -1.2% 0.10%
January 2003 -2.7% -5.0% -2.8% 0.10%
December 2002 -6.0% -9.5% -7.2% 0.10%
November 2002 5.7% 7.4% 5.2% 0.10%
October 2002 8.6% 2.4% 9.4% 0.13%
September 2002 -11.0% -17.7% -10.8% 0.14%
August 2002 0.5% -6.4% 1.0% 0.14%
July 2002 -7.9% 10.8% -7.2% 0.14%
June 2002 -7.2% -6.1% -7.7% 0.14%
May 2002 -0.9% -1.3% -0.3% 0.14%
April 2002 -6.1% -15.6% -6.4% 0.14%
March 2002 3.7% -2.9% 3.4% 0.15%
February 2002 -2.1% 4.1% -1.7% 0.14%
January 2002 -1.6% -7.3% -3.1% 0.14%
December 2001 0.8% 4.6% 0.7% 0.14%
November 2001 7.5% 5.7% 7.5% 0.16%
October 2001 1.8% -2.1% 2.4% 0.18%
September 2001 -8.2% -8.6% -8.1% 0.22%
August 2001 -6.4% -6.0% -6.5% 0.28%
July 2001 -1.1% -10.9% -1.5% 0.29%
June 2001 -2.5% 0.0% -2.5% 0.29%
May 2001 0.5% 1.0% 0.9% 0.30%
April 2001 7.7% 15.9% 8.8% 0.32%
March 2001 -6.4% -9.6% -6.4% 0.37%
February 2001 -9.2% 1.1% -9.4% 0.41%
January 2001 3.5% -4.1% 3.3% 0.43%
December 2000 0.4% -3.0% 0.7% 0.48%
November 2000 -8.0% -9.6% -8.5% 0.51%
October 2000 -0.5% -5.2% -1.8% 0.51%
September 2000 -5.3% -1.2% -5.4% 0.50%
August 2000 6.1% 13.4% 6.4% 0.51%
July 2000 -1.6% -2.2% -1.2% 0.50%
June 2000 2.4% 0.7% 3.9% 0.47%
May 2000 -2.2% 0.4% -3.4% 0.48%
April 2000 -3.1% 1.0% -4.3% 0.47%
March 2000 9.7% 17.9% 9.0% 0.47%
February 2000 -2.0% -1.2% 1.0% 0.46%

January 2000 -5.1% -13.4% -4.8% 0.44%
December 1999 5.8% 19.2% 6.8% 0.43%
November 1999 1.9% -4.0% 2.1% 0.42%
October 1999 6.3% 14.3% 6.0% 0.41%
September 1999 -2.9% 5.9% -1.5% 0.39%
August 1999 -0.6% 3.0% -1.2% 0.39%
July 1999 -3.2% -3.2% -3.4% 0.38%
June 1999 5.4% 11.1% 6.5% 0.38%
May 1999 -2.5% -3.5% -3.0% 0.38%
April 1999 3.8% -4.8% 2.4% 0.36%
Average return (annual) -8.8% -3.4% -8.2% 3.7%
Standard deviation (annual) 17.6% 29.2% 18.2% 0.5%

Correlation with market return, 0.66 0.99 0.09
R-square 0.44 0.98 0.01
Slope 1.09 1.02 0.00
Using the AVERAGE function and the STDEV function, we found the average historical
returns and standard deviations. (We converted these from monthly figures to annual
figures. Notice that you must multiply the monthly standard deviation by the square root
of 12, and not 12, to convert it to an annual basis.) These are shown in the rows above.
We also use the CORREL function to find the correlation of the market with the other assets
Using the function Wizard for SLOPE, we found the slope of the regression line, which is
the beta coefficient. We also use the function Wizard and the RSQ function to find the
R-Squared of the regression.
Using the Chart Wizard, we plotted the Wal-Mart returns on the y-axis and the market returns on the x-axis. We
also used the menu Chart > Options to add a trend line, and to display the regression equation and R 2 on the chart.
The chart is shown below.
GE Analysis
The beta coefficient is about 1.10, as shown by the slope coefficient in the regression equation on the chart. The beta
coefficient has a t statistic of 7.07, and there is virtually a zero chance of getting this if the true beta coefficient is
equal to z
GE Regression Results
on GE, rj(%) Beta
30%
20%
350107540.xlsx on GE, rj(%) Mode II
30%
Lower 95% confidenc

Upper 95% confidenc
20%
Intercept
10%
f(x) = 1.0924232783x + 0.0052517018
R = 0.4357997758
Lower 95% confidenc
0%
-30% -20% -10% 0% 10% 20% 30% Upper 95% confidenc
-10% Historic Realized Returns

on the Market,
rM(%)
-20%
Magellan Analysis
The beta coefficient is about 1.04, as shown by the slope coefficient in the regression equation on the chart. The beta
coefficient has a t statistic of 42.22, and there is virtually a zero chance of getting this if the true beta coefficient is
equal to
Magellan Regression Results

on Magellan, rP(%)
Beta
20%
Lower 95% confidenc
Upper 95% confidenc
Intercept
10%
f(x) = 1.0205791691x + 0.0006942857
R = 0.9755680832
Lower 95% confidenc

0%
Upper 95% confidenc
-30% -20% -10% 0% 10% 20% 30%

on the M ark et, rM (%)
Michael C. Ehrhardt -10% Page 43 04/01/2017
0%
-30% -20% -10% 0% 10% 20% 30%
on the M ark et, rM (%)
-10%
-20%

The Market Model vs. CAPM
We have been regressing the stock (or portfolio) returns against the market returns. However, CAPM actually states
that we should regress the excess stock returns (the stock return minus the short-term risk free rate) against the
excess market returns (t
CAPM (excess return) Model Regr

Beta
Excess Returns
on GE, rS-rRF
30%
Lower 95% confidenc

Upper 95% confidenc
20%
Intercept
10%
f(x) = 1.0880917042x + 0.0054883946
R = 0.432643937 Lower 95% confidenc
Upper 95% confidenc
0%
-30% -20% -10% 0% 10% 20% 30%
Excess Returns
-10% on the Market, rM-rRF
-20%
Table 5-4
Regression Probability of
Coefficient t Statistic t Statistic
Panel a: General Electric
(Market model)

6/28/2006
n: Portfolio Theory and Asset Pricing Models
be realized from an investment. It is determined as the weighted average
Standard deviation for E
Sq Dev * Prob.
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
use the excel functions for AVERAGE and STDEVP, but to "trick" them
Michael C. For
hem like the probabilities. Ehrhardt
example, for stock E Page 46 04/01/2017
0.00%
Standard deviation for F
Sq Dev * Prob.
0.02%
0.01%
0.00%
0.01%
0.02%
0.05%
2.19%
2.19%
Standard deviation for G
Sq Dev * Prob.
0.02%
0.01%
0.00%
0.01%
0.02%
0.05%
2.19%
2.19%
Standard deviation for H
Sq Dev * Prob.
0.04%
0.03%
0.02%
0.05%
0.14%
0.28%

5.27%
5.27%

's return with the tendency of those returns to move up or down at the


ency of two stocks to move together, but it is standardized and it is always

covariance divided by the product of the
2 WA (1 WA ) AB A B









Excess stock
Excess market return return
(rM-rRF) (rj-rRF)
0.7% 5.9%
-1.8% 4.6%
-2.8% -5.1%
-6.1% -9.6%
5.6% 7.3%
8.5% 2.3%
-11.1% -17.8%
0.4% -6.5%
-8.0% 10.7%
-7.4% -6.3%
-1.1% -1.4%
-6.3% -15.8%
3.5% -3.0%
-2.2% 4.0%
-1.7% -7.4%
0.6% 4.4%
7.4% 5.6%
1.6% -2.3%
-8.4% -8.8%
-6.7% -6.3%
-1.4% -11.2%
-2.8% -0.3%
0.2% 0.7%
7.4% 15.6%
-6.8% -10.0%
-9.6% 0.7%
3.0% -4.5%
-0.1% -3.4%
-8.5% -10.1%
-1.0% -5.7%
-5.8% -1.7%
5.6% 12.9%
-2.1% -2.7%
1.9% 0.2%
-2.7% -0.1%
-3.6% 0.6%
9.2% 17.4%
-2.5% -1.7%

-5.5% -13.8%
5.4% 18.8%
1.5% -4.4%
5.8% 13.9%
-3.2% 5.5%
-1.0% 2.6%
-3.6% -3.6%
5.1% 10.7%
-2.9% -3.9%
3.4% -5.1%
-12.5% -7.0%
17.6% 29.1%
1.00 0.66
1.00 0.44
1.00 1.09
GE Regression Results (See columns J-N)
Coefficient 1.09

t statistic 5.96
Probability of t stat. 0.0%
Lower 95% confidence interval 0.72
Upper 95% confidence interval 1.46
Coefficient 0.01
t statistic 0.56
Lower 95% confidence interval -0.01
Magellan Regression Results (See columns J-N)
Coefficient 1.02
t statistic 42.86
Coefficient 0.00
t statistic 0.57


CAPM (excess return) Model Regression Res(See columns J-N)
Coefficient 1.09
t statistic 5.92
Coefficient 0.01
t statistic 0.58
Lower 95% confidence interval -0.01
Upper 95%
Lower 95% Confidence
Confidence Interval Interval

MATRIZ DE PRECIOS
FECHA BOEING BANK OF AMERICA CISCO DISNEY JOHNSON

1/3/2000 44.5 48.44 109.5 36.31 86.06
2/1/2000 36.94 46 132.19 34 72
3/1/2000 37.81 52.44 77.31 41.25 70.25
4/3/2000 39.69 49 69.33 43.63 82.5
5/1/2000 39.06 55.44 56.94 42.19 89.5
6/1/2000 41.81 43 63.56 38.81 101.87
7/3/2000 48.81 47.38 65.44 38.56 93.06
8/1/2000 53.64 53.58 68.62 38.95 91.95
9/1/2000 64.5 52.38 55.25 38.25 93.94
10/2/2000 67.81 48.06 53.88 35.81 92.12
11/1/2000 69.06 39.94 47.88 28.94 100
12/1/2000 66 45.88 38.25 28.94 105.06
1/2/2001 58.5 53.82 37.44 30.45 93.13
2/1/2001 62.2 50.7 23.69 30.95 97.33
3/1/2001 55.71 54.75 15.81 28.6 87.47
4/2/2001 61.8 56 16.98 30.25 96.48
5/1/2001 62.89 59.25 19.26 31.62 96.95
6/1/2001 55.6 60.03 18.2 28.89 49.96
7/2/2001 58.53 63.62 19.22 26.35 54.1
8/1/2001 51.2 61.5 16.33 25.43 52.71
9/4/2001 33.5 58.4 12.18 18.62 55.4
10/1/2001 32.6 58.99 16.92 18.59 57.91
11/1/2001 35.1 61.38 20.44 20.47 58.25
12/3/2001 38.78 62.95 18.11 20.72 59.1
1/2/2002 40.95 63.03 19.8 21.06 57.51
2/1/2002 45.96 63.95 14.27 23 60.9
3/1/2002 48.25 68.02 16.93 23.08 64.95
4/1/2002 44.6 72.48 14.65 23.18 63.86
5/1/2002 42.65 75.81 15.78 22.91 61.35
6/3/2002 45 70.36 13.95 18.9 52.26
7/1/2002 41.52 66.5 13.19 17.73 52.6
8/1/2002 37.07 70.08 13.82 15.68 54.31
9/3/2002 34.13 63.8 10.48 15.14 54.08
10/1/2002 29.75 69.8 11.18 16.7 58.75
11/1/2002 34.05 70.08 14.92 19.82 57.02
12/2/2002 32.99 69.57 13.1 16.31 53.71
1/2/2003 31.59 70.05 13.37 17.5 53.61
2/3/2003 27.56 69.24 13.98 17.06 52.45
3/3/2003 25.06 66.84 12.98 17.02 57.87
4/1/2003 27.28 74.05 15 18.66 56.36
5/1/2003 30.67 74.2 16.41 19.65 54.35
6/2/2003 34.32 79.03 16.79 19.75 51.7
7/1/2003 33.12 82.57 19.49 21.92 51.79
8/1/2003 37.39 79.25 19.14 20.5 49.58
9/2/2003 34.33 78.04 19.59 20.17 49.52
10/1/2003 38.49 75.73 20.93 22.64 50.33
11/3/2003 38.39 75.43 22.7 23.09 49.3
12/1/2003 42.14 80.43 24.23 23.33 51.66
1/2/2004 41.75 81.46 25.71 24 53.42
2/2/2004 43.37 81.92 23.16 26.53 53.91
3/1/2004 41.07 80.98 23.57 24.99 50.72
4/1/2004 42.69 80.49 20.91 23.03 54.03
5/3/2004 45.8 83.13 22.37 23.47 55.71
6/1/2004 51.09 84.62 23.7 25.49 55.7
7/1/2004 50.75 85.01 20.92 23.09 55.27
8/2/2004 52.22 44.98 18.76 22.45 58.1
9/1/2004 51.62 43.33 18.1 22.55 56.33
10/1/2004 49.9 44.79 19.21 25.22 58.38
11/1/2004 53.57 46.27 18.75 26.88 60.32
12/1/2004 51.77 46.99 19.32 27.8 63.42
1/3/2005 50.6 46.37 18.04 28.63 64.7
2/1/2005 54.97 46.65 17.42 27.94 65.6
3/1/2005 58.46 44.1 17.89 28.73 67.16
4/1/2005 59.52 45.04 17.27 26.4 68.63
5/2/2005 63.9 46.32 19.4 27.44 67.1
6/1/2005 66 45.61 19.08 25.18 65
7/1/2005 66.01 43.6 19.15 25.64 63.96
8/1/2005 67.02 43.03 17.62 25.19 63.39
9/1/2005 67.95 42.1 17.92 24.13 63.28
10/3/2005 64.64 43.74 17.45 24.37 62.62
11/1/2005 68.19 45.89 17.54 24.93 61.75
12/1/2005 70.24 46.15 17.12 23.97 60.1
1/3/2006 68.31 44.23 18.57 25.31 57.54
2/1/2006 72.69 45.85 20.24 27.99 57.65
3/1/2006 77.93 45.54 21.67 27.89 59.22
4/3/2006 83.45 49.92 20.95 27.96 58.61
5/1/2006 83.25 48.4 19.68 30.5 60.22
6/1/2006 81.91 48.1 19.53 30 59.92
7/3/2006 77.42 51.53 17.88 29.69 62.55
8/1/2006 74.9 51.47 21.99 29.65 64.66
9/1/2006 78.85 53.57 22.98 30.91 64.94
10/2/2006 79.86 53.87 24.13 31.46 67.4
11/1/2006 88.53 53.85 26.91 33.05 65.91
12/1/2006 88.84 53.39 27.33 34.27 66.02
1/3/2007 89.56 52.58 26.62 35.17 66.8
2/1/2007 87.26 50.83 25.94 34.25 62.93
3/1/2007 88.91 51.02 25.53 34.43 60.26
4/2/2007 93 50.9 26.74 34.98 64.22
5/1/2007 100.59 50.71 26.92 35.44 63.27
6/1/2007 96.16 48.89 27.85 34.14 61.62
7/2/2007 103.43 47.42 28.91 33 60.5
8/1/2007 96.7 50.68 31.92 33.6 61.79
9/4/2007 104.99 50.27 33.13 34.39 65.7
10/1/2007 98.59 48.28 33.06 34.63 65.17
11/1/2007 92.54 46.13 28.02 33.15 67.74
12/3/2007 87.46 41.26 27.07 32.28 66.7
1/2/2008 83.18 44.15 24.5 29.84 63.14
2/1/2008 82.79 39.74 24.39 32.41 61.96
3/3/2008 74.37 37.91 24.09 31.38 64.87
4/1/2008 84.86 37.54 25.64 32.43 67.09
5/1/2008 82.77 34.01 26.72 33.6 66.74
6/2/2008 65.72 23.87 23.26 31.2 64.34
7/1/2008 61.11 32.9 21.99 30.35 68.47
8/1/2008 65.56 31.14 24.05 32.35 70.43
9/2/2008 57.35 35 22.56 30.69 69.28
10/1/2008 52.42 24.17 17.77 25.91 61.34
11/3/2008 42.63 16.25 16.54 22.52 58.58
12/1/2008 42.67 14.08 16.3 22.69 59.83
1/2/2009 42.31 6.58 14.97 20.68 57.69
2/2/2009 31.44 3.95 14.57 16.77 50
3/2/2009 35.58 6.82 16.77 18.16 52.6
4/1/2009 40.05 8.93 19.32 21.9 52.36
5/1/2009 44.85 11.27 18.5 24.22 55.16
6/1/2009 42.5 13.2 18.65 23.33 56.8
7/1/2009 42.91 14.79 22.01 25.12 60.89
8/3/2009 49.67 17.59 21.6 26.04 60.44
9/1/2009 54.15 16.92 23.54 27.46 60.89
10/1/2009 47.8 14.58 22.81 27.37 59.05
11/2/2009 52.41 15.85 23.4 30.22 62.84
12/1/2009 54.13 15.06 23.94 32.25 64.41
1/4/2010 60.6 15.18 22.47 29.55 62.86
2/1/2010 63.16 16.66 24.33 31.24 63
3/1/2010 72.61 17.85 26.03 34.91 65.2
4/1/2010 72.43 17.83 26.93 36.84 64.3
5/3/2010 64.18 15.74 23.16 33.42 58.3
6/1/2010 62.75 14.37 21.31 31.5 59.06
7/1/2010 68.14 14.04 23.07 33.69 58.09
8/2/2010 61.13 12.46 19.99 32.54 57.02
9/1/2010 66.54 13.1 21.9 33.1 61.96
10/1/2010 70.64 11.45 22.86 36.13 63.74
11/1/2010 63.77 10.95 19.16 36.51 61.55
12/1/2010 65.26 13.34 20.23 37.51 61.85
1/3/2011 69.48 13.73 21.15 38.87 59.77
2/1/2011 72.01 14.29 18.56 43.74 61.44
3/1/2011 73.93 13.33 17.15 43.09 59.25
4/1/2011 79.78 12.28 17.52 43.1 65.72
5/2/2011 78.03 11.75 16.8 41.63 67.29
6/1/2011 73.93 10.96 15.61 39.04 66.52
7/1/2011 70.47 9.71 15.97 38.62 64.79
8/1/2011 66.86 8.17 15.67 34.06 65.8
9/1/2011 60.51 6.12 15.5 30.16 63.69
10/3/2011 65.79 6.83 18.53 34.88 64.39
11/1/2011 68.69 5.44 18.64 35.85 64.72
12/1/2011 73.35 5.56 18.08 37.5 65.58
1/3/2012 74.18 7.13 19.65 38.9 65.91
2/1/2012 74.95 7.97 19.88 41.99 65.08
3/1/2012 74.13 7.97 19.6 42.7 64.91
Banco de Bogota
60000
57000
54000
51000
48000
45000
42000
Precio 39000
36000
33000
30000
27000
24000
21000
18000
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
24000
21000
18000
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
Fabricato
95
85
75
65
Precio
55
45
45
35
25
15
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
Aval
1680
1580
1480
1380
1280
1180
1080
Precio 980
880
780
680
580
480
380
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
780
680
580
480
380
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
Chocolates
28000
27000
26000
25000
24000
23000
22000
21000
20000
Precio
20000
Precio
19000
18000
17000
16000
15000
14000
13000
12000
11000
1/1/2000 1/1/2002 1/1/2004 1/1/2006 1/1/2008 1/1/2010
WAL- MART MERCK PFIZER JP MORGAN PROCTER S&P500
54.75 78.62 36.19 80.69 101.06 1,394.46
48.75 61.56 32.13 79.62 87.87 1,366.42
56.5 62.13 36.56 87.19 56.75 1,498.58
55.38 69.5 42.13 72.12 59.75 1,452.43
57.63 74.62 44.5 74.69 66.5 1,420.60
57.63 76.62 48 46.06 56.75 1,454.60
55.25 71.66 43.38 49.81 57 1,430.83
47.63 69.89 43.14 55.88 61.83 1,517.68
48.13 74.44 44.92 46.19 67 1,436.51
45.38 89.94 43.19 45.5 71.44 1,429.40
52.19 92.69 44.31 36.88 74.87 1,314.95
53.13 93.62 46 45.44 78.44 1,320.28
56.8 82.18 45.15 54.99 71.84 1,366.01
50.09 80.2 45 46.66 70.5 1,239.94
50.5 75.9 40.95 44.9 62.6 1,160.33
51.74 75.97 43.3 47.98 60.05 1,249.46
51.75 72.99 42.89 49.15 64.24 1,255.82
48.8 63.91 40.05 44.47 63.8 1,224.38
55.9 67.98 41.22 43.3 71.02 1,211.23
48.05 65.1 38.31 39.4 74.15 1,133.58
49.5 66.6 40.1 34.15 72.79 1,040.94
51.4 63.81 41.9 35.36 73.78 1,059.78
55.15 67.75 43.31 37.72 77.46 1,139.45
57.55 58.8 39.85 36.35 79.13 1,148.08
59.98 59.18 41.67 34.05 81.68 1,130.20
62.01 61.33 40.96 29.25 84.79 1,106.73
61.3 57.58 39.74 35.65 90.09 1,147.39
55.86 54.34 36.35 35.1 90.26 1,076.92
54.1 57.1 34.6 35.95 89.55 1,067.14
55.01 50.64 35 33.92 89.3 989.82
49.18 49.6 32.35 24.96 88.99 911.62
53.48 50.52 33.08 26.4 88.65 916.07
49.24 45.71 29.02 18.99 89.38 815.28
53.55 54.24 31.77 20.75 88.45 885.76
53.9 59.41 31.53 25.17 84.53 936.31
50.51 56.61 30.57 24 85.94 879.82
47.8 55.39 30.36 23.34 85.57 855.70
48.06 52.75 29.82 22.68 81.86 841.15
52.03 54.78 31.16 23.71 89.05 848.18
56.32 58.18 30.75 29.35 89.85 916.92
52.61 55.58 31.02 32.86 91.82 963.59
53.67 60.55 34.15 34.18 89.18 974.50
55.91 55.28 33.36 35.05 87.87 990.31
59.17 50.32 29.92 34.22 87.29 1,008.01
55.85 50.62 30.38 34.33 92.82 995.97
58.95 44.25 31.6 35.9 98.29 1,050.71
55.64 40.6 33.57 35.4 96.24 1,058.20
53.05 46.2 35.33 36.73 99.88 1,111.92
53.85 47.6 36.63 38.89 101.08 1,131.13
59.56 48.08 36.65 41.02 102.51 1,144.94
59.69 44.19 35.05 41.95 104.88 1,126.21
57 47 35.76 37.6 105.79 1,107.30
55.73 47.3 35.34 36.84 107.82 1,120.68
52.5 47.5 34.28 38.77 54.44 1,140.84
53.01 45.35 31.96 37.33 52.15 1,101.72
52.67 44.97 32.67 39.58 55.97 1,104.24
53.2 33 30.6 39.73 54.12 1,114.58
53.92 31.31 28.95 38.6 51.18 1,130.20
52.06 28.02 27.77 37.65 53.48 1,173.82
52.82 32.14 26.89 39.01 55.08 1,211.92
52.4 28.05 24.16 37.33 53.23 1,181.27
51.61 31.7 26.29 36.55 53.09 1,203.60
50.11 32.37 26.27 34.6 53 1,180.59
47.14 33.9 27.17 35.49 54.15 1,156.85
47.23 32.44 27.9 35.75 55.15 1,191.50
48.2 30.8 27.58 35.32 52.75 1,191.33
49.35 31.06 26.5 35.14 55.63 1,234.18
44.96 28.23 25.48 33.89 55.48 1,220.33
43.82 27.21 24.97 33.93 59.46 1,228.81
47.31 28.22 21.74 36.62 55.99 1,207.01
48.56 29.4 21.2 38.25 57.19 1,249.48
46.8 31.81 23.32 39.69 57.88 1,248.29
46.11 34.5 25.68 39.75 59.23 1,280.08
45.36 34.86 26.19 41.14 59.93 1,280.66
47.24 35.23 24.92 41.64 57.63 1,294.87
45.03 34.42 25.33 45.38 58.21 1,310.61
48.45 33.29 23.66 42.64 54.25 1,270.09
48.17 36.43 23.47 42 55.6 1,270.20
44.5 40.27 25.99 45.62 56.2 1,276.66
44.72 40.55 27.56 45.66 61.9 1,303.82
49.32 41.9 28.36 46.96 61.98 1,335.85
49.28 45.42 26.65 47.44 63.39 1,377.94
46.1 44.51 27.49 46.28 62.79 1,400.63
46.18 43.6 25.9 48.3 64.27 1,418.30
47.69 44.75 26.24 50.93 64.87 1,438.24
48.31 44.15 24.96 49.39 63.49 1,406.82
46.95 44.17 25.26 48.38 63.16 1,420.86
47.92 51.44 26.46 52.1 64.4 1,482.37
47.6 52.45 27.49 51.83 63.55 1,530.62
48.11 49.8 25.57 48.45 61.19 1,503.35
45.95 49.65 23.51 44.01 61.86 1,455.27
43.63 50.17 24.84 44.52 65.31 1,473.99
43.65 51.69 24.43 45.82 70.34 1,526.75
45.21 58.26 24.61 47 69.52 1,549.38
47.9 59.36 23.76 45.62 74 1,481.14
47.53 58.11 22.73 43.65 73.42 1,468.36
50.74 46.1 23.36 47.4 65.42 1,378.55
49.59 44.3 22.28 40.65 66.18 1,330.63
52.68 37.95 20.93 42.95 70.07 1,322.70
57.98 38.04 20.11 47.65 67.05 1,385.59
57.74 38.96 19.36 43 66.05 1,400.38
56.2 37.69 17.47 34.31 60.81 1,280.00
58.62 32.9 18.67 40.63 65.48 1,267.38
59.07 35.67 19.11 38.49 69.77 1,282.83
59.89 31.56 18.44 46.7 69.69 1,166.36
55.81 30.95 17.71 41.25 64.54 968.75
55.88 26.72 16.43 31.66 64.35 896.24
56.06 30.4 17.71 31.53 61.82 903.25
47.12 28.55 14.58 25.51 54.5 825.88
49.24 24.2 12.31 22.85 48.17 735.09
52.1 26.75 13.62 26.58 47.09 797.87
50.4 24.24 13.36 33 49.44 872.81
49.74 27.58 15.19 36.9 51.94 919.14
48.44 27.96 15 34.11 51.1 919.32
49.88 30.01 15.93 38.65 55.51 987.48
50.87 32.43 16.7 43.46 54.11 1,020.62
49.09 31.63 16.55 43.82 57.92 1,057.08
49.68 30.93 17.03 41.77 58 1,036.19
54.55 36.21 18.17 42.49 62.35 1,095.63
53.45 36.54 18.19 41.67 60.63 1,115.10
53.43 38.18 18.66 38.94 61.55 1,073.87
54.07 36.88 17.55 41.97 63.28 1,104.49
55.6 37.35 17.15 44.75 63.27 1,169.43
53.64 35.04 16.72 42.58 62.16 1,186.69
50.56 33.69 15.23 39.58 61.09 1,089.41
48.07 34.97 14.26 36.61 59.98 1,030.71
51.19 34.46 15 40.28 61.16 1,101.60
50.14 35.16 15.91 36.36 59.67 1,049.33
53.52 36.81 17.17 38.06 59.97 1,141.20
54.17 36.31 17.42 37.63 63.57 1,183.26
54.09 34.47 16.3 37.4 61.07 1,180.55
53.93 36.04 17.51 42.42 64.33 1,257.64
56.07 33.17 18.22 44.94 63.13 1,286.12
51.98 32.57 19.24 46.69 63.05 1,327.22
52.05 33.01 20.31 46.1 61.6 1,325.83
54.98 35.95 20.97 45.63 64.9 1,363.61
55.22 36.75 21.45 43.24 67 1,345.20
53.14 35.29 20.6 40.94 63.57 1,320.64
52.71 34.13 19.25 40.45 61.49 1,292.28
53.19 33.1 18.98 37.56 63.68 1,218.89
51.9 32.7 17.68 30.12 63.18 1,131.42
56.72 34.5 19.26 34.76 63.99 1,253.30
58.9 35.75 20.07 30.97 64.57 1,246.96
59.76 37.7 21.64 33.25 66.71 1,257.60
61.36 38.27 21.4 37.3 63.04 1,312.41
59.08 38.17 21.13 39.24 67.62 1,365.68
59.4 38.45 21.5 40.4 66.95 1,364.33
2008 1/1/2010 1/1/2012

2008 1/1/2010 1/1/2012
008 1/1/2010 1/1/2012
2008 1/1/2010 1/1/2012

2008 1/1/2010 1/1/2012
2008 1/1/2010 1/1/2012
MATRIZ DE RENDIMIENTOS
% de Participacion
FECHA BOEING
% de Participacion 10%
2/1/2000 -18.619421%
3/1/2000 2.327864%
4/3/2000 4.852565%
5/1/2000 -1.600034%
6/1/2000 6.803662%
7/3/2000 15.479966%
8/1/2000 9.435985%
9/1/2000 18.437017%
10/2/2000 5.004445%
11/1/2000 1.826602%
12/1/2000 -4.532095%
1/2/2001 -12.062799%
2/1/2001 6.132825%
3/1/2001 -11.019534%
4/2/2001 10.374370%
5/1/2001 1.748380%
6/1/2001 -12.320397%
7/2/2001 5.135624%
8/1/2001 -13.379991%
9/4/2001 -42.419409%
10/1/2001 -2.723315%
11/1/2001 7.388884%
12/3/2001 9.970352%
1/2/2002 5.444716%
2/1/2002 11.541964%
3/1/2002 4.862437%
4/1/2002 -7.866197%
5/1/2002 -4.470659%
6/3/2002 5.363522%
7/1/2002 -8.048725%
8/1/2002 -11.336722%
9/3/2002 -8.263125%
10/1/2002 -13.734763%
11/1/2002 13.500090%
12/2/2002 -3.162555%
1/2/2003 -4.336387%
2/3/2003 -13.647517%
3/3/2003 -9.509250%
4/1/2003 8.488088%
5/1/2003 11.713115%
6/2/2003 11.244330%
7/1/2003 -3.559095%
8/1/2003 12.126596%
9/2/2003 -8.538368%
10/1/2003 11.437886%
11/3/2003 -0.260146%
12/1/2003 9.320040%
1/2/2004 -0.929796%
2/2/2004 3.806851%
3/1/2004 -5.449003%
4/1/2004 3.868677%
5/3/2004 7.031939%
6/1/2004 10.930469%
7/1/2004 -0.667717%
8/2/2004 2.855395%
9/1/2004 -1.155637%
10/1/2004 -3.388819%
11/1/2004 7.096821%
12/1/2004 -3.417838%
1/3/2005 -2.285925%
2/1/2005 8.283601%
3/1/2005 6.155518%
4/1/2005 1.796963%
5/2/2005 7.100697%
6/1/2005 3.233538%
7/1/2005 0.015150%
8/1/2005 1.518484%
9/1/2005 1.378106%
10/3/2005 -4.993873%
11/1/2005 5.346451%
12/1/2005 2.962002%
1/3/2006 -2.786178%
2/1/2006 6.214765%
3/1/2006 6.960716%
4/3/2006 6.843666%
5/1/2006 -0.239952%
6/1/2006 -1.622705%
7/3/2006 -5.637594%
8/1/2006 -3.309125%
9/1/2006 5.139342%
10/2/2006 1.272779%
11/1/2006 10.306638%
12/1/2006 0.349552%
1/3/2007 0.807179%
2/1/2007 -2.601662%
3/1/2007 1.873245%
4/2/2007 4.497487%
5/1/2007 7.845336%
6/1/2007 -4.503938%
7/2/2007 7.288158%
8/1/2007 -6.728165%
9/4/2007 8.225171%
10/1/2007 -6.289527%
11/1/2007 -6.332885%
12/3/2007 -5.645944%
1/2/2008 -5.017461%
2/1/2008 -0.469965%
3/3/2008 -10.725465%
4/1/2008 13.195021%
5/1/2008 -2.493716%
6/2/2008 -23.066238%
7/1/2008 -7.272777%
8/1/2008 7.029023%
9/2/2008 -13.379291%
10/1/2008 -8.988465%
11/3/2008 -20.672997%
12/1/2008 0.093787%
1/2/2009 -0.847263%
2/2/2009 -29.694250%
3/2/2009 12.370271%
4/1/2009 11.834499%
5/1/2009 11.319491%
6/1/2009 -5.381951%
7/1/2009 0.960082%
8/3/2009 14.629623%
9/1/2009 8.635684%
10/1/2009 -12.473233%
11/2/2009 9.207177%
12/1/2009 3.229115%
1/4/2010 11.290633%
2/1/2010 4.137630%
3/1/2010 13.943146%
4/1/2010 -0.248208%
5/3/2010 -12.092894%
6/1/2010 -2.253306%
7/1/2010 8.240583%
8/2/2010 -10.856167%
9/1/2010 8.480053%
10/1/2010 5.979329%
11/1/2010 -10.231370%
12/1/2010 2.309643%
1/3/2011 6.265965%
2/1/2011 3.576606%
3/1/2011 2.631370%
4/1/2011 7.615415%
5/2/2011 -2.217948%
6/1/2011 -5.397467%
7/1/2011 -4.793161%
8/1/2011 -5.258621%
9/1/2011 -9.979224%
10/3/2011 8.365921%
11/1/2011 4.313578%
12/1/2011 6.563888%
1/3/2012 1.125207%
2/1/2012 1.032665%
3/1/2012 -1.100092%
Rentabilidad Esperada 0.349542%
Rentabilidad Esperada(Anual) 4.28%
Desviacion Estandar 9.0937%
Varianza Poblacional 0.821295%
Varianza Muestral 0.826959%
Coeficiente de Variacion 212.6647%
Maximo 18.4370%
Minimo -42.4194%
Coeficiente de Asimetra (1.13)
Curtosis 2.98
Factor Beta 1.049009
CAPM (Linea SML)
BOEING
10.00%
5.00%
0.00%
4.0000% 6.0000% 8.0000%
Rentabilidad
-5.00%
0.00%
4.0000% 6.0000% 8.0000%
Rentabilidad
-5.00%
-10.00%
-15.00%
Escogencia de 2 Activos
BANK OF AMERICA
Retorno Medio -1.236056%
Varianza 2.122818%
Desviacin Estandar 14.6200%
Covarianza 0.0017950845
% Participacin 100%
Retorno Medio Portafolio -1.236056%

Varianza Portafolio 2.122818%
Desviacin Estndar Portafolio 14.569894%
Portafolio % participacin
Bank of America
1 0%
2 10%
3 20%
4 30%
5 40%
6 50%
7 60%
8 70%
9 80%
10 90%
11 100%
Frontera Eficiente
1.400%
1.200%
1.000%
1.200%
1.000%
0.800%
0.600%
0.400%
0.200%
0.000%
5.000% 7.000% 9.000% 11.000%
Anlisis de Portafolio
Rentabilidad del Portafolio
n
Rp
Donde:
K
i 1
i * Wi
Ki: Rentabilidad Individual del activo i
Wi: Participacin porcentual del activo I dentro del portafol
Riesgo del Portafolio: Para el caso de un portafolio de 2 activos( Activo a,
p
Matriz de Correlaciones
W * a
2 2
a W * b
2
BOEING
BOEING 1
BANK OF AMERICA 0.308191347
CISCO 0.2808467425
DISNEY 0.5339473761
JOHNSON 0.2588137678
WAL- MART 0.0957328679
MERCK 0.3008517974
PFIZER 0.319379647
JP MORGAN 0.2739251624
PROCTER 0.1006274333
BOEING
Rentabilidad Esperada 0.35%
Vector de Participaciones 0.00%
Matriz Varianza - Covarianza
BOEING
BOEING 0.000000%
BANK OF AMERICA 0.000000%
CISCO 0.000000%
DISNEY 0.000000%
JOHNSON 0.000000%
WAL- MART 0.000000%
MERCK 0.000000%
PFIZER 0.000000%
JP MORGAN 0.000000%
PROCTER 0.000000%
BOEING
BOEING 0.8269591%
CISCO 0.3166352%
DISNEY 0.3799691%
JOHNSON 0.1760096%
WAL- MART 0.0483218%
MERCK 0.2198417%
PFIZER 0.1783392%
JP MORGAN 0.2657008%
PROCTER 0.0761116%
BOEING
BOEING 0.0082695913
BANK OF AMERICA 0.0040693631
CISCO 0.0031446643
DISNEY 0.0037736661
JOHNSON 0.001748041
WAL- MART 0.000479908
MERCK 0.0021833592
PFIZER 0.001771177
JP MORGAN 0.0026388096
PROCTER 0.0007559028
BOEING
BOEING 0.8269591%
CISCO 0.3166352%
DISNEY 0.3799691%
JOHNSON 0.1760096%
WAL- MART 0.0483218%
MERCK 0.2198417%
PFIZER 0.1783392%
PROCTER 0.0761116%
BOEING
BOEING 0.8269591%
CISCO 0.3166352%
DISNEY 0.3799691%
JOHNSON 0.1760096%
WAL- MART 0.0483218%
MERCK 0.2198417%
PFIZER 0.1783392%
PROCTER 0.0761116%
BOEING
BOEING 0.8269591%
CISCO 0.3166352%
DISNEY 0.3799691%
JOHNSON 0.1760096%
WAL- MART 0.0483218%
MERCK 0.2198417%
PFIZER 0.1783392%
PROCTER 0.0761116%
Procesos de Optimizacin de Portafolios

Rentabilidad del portafolio -1.4257%
Varianza del Portafolio 2.2500%
Riesgo del portafolio 15.0000%
Riesgo Dado 15.0000%
Desviacin Estandar Minima 5.55%

Desviacin Estandar Mxima 14.62%
Rango 9.07%
Intervalo 0.45%
Portafolio Riesgo del

Portafolio
1 4.00%
2 4.50%
3 5.00%
4 5.55%
5 6.00%
6 6.50%
7 7.00%
8 7.50%
9 8.00%
10 8.50%
11 9.00%
12 9.50%
13 10.00%
14 10.50%
15 11.00%
16 11.50%
17 12.00%
18 12.50%
19 13.00%
20 13.50%
21 14.00%
14.62%
15.00%
BANK OF AMERICA CISCO DISNEY JOHNSON
10% 10% 10% 10%
-5.168452% 18.831573% -6.573266% -17.837861%
13.102826% -53.641697% 19.329059% -2.460581%
-6.784936% -10.894560% 5.609387% 16.073799%
12.348106% -19.687963% -3.356176% 8.144033%
-25.410124% 10.998626% -8.350528% 12.945887%
9.700008% 2.914935% -0.646248% -9.045304%
12.297567% 4.745035% 1.006330% -1.199950%
-2.265103% -21.671570% -1.813521% 2.141133%
-8.607461% -2.510899% -6.591638% -1.956421%
-18.507190% -11.806147% -21.300246% 8.207811%
13.865096% -22.455432% 0.000000% 4.936143%
15.961585% -2.140391% 5.086127% -12.053525%
-5.971923% -45.768663% 1.628700% 4.411090%
7.685146% -40.441037% -7.896628% -10.681139%
2.257432% 7.139353% 5.608947% 9.803986%
5.641409% 12.599423% 4.429365% 0.485965%
1.307866% -5.660881% -9.029432% -66.297270%
5.808345% 5.452981% -9.202724% 7.961150%
-3.389071% -16.294750% -3.553870% -2.602899%
-5.172128% -29.320864% -31.169331% 4.977440%
1.005205% 32.870109% -0.161247% 4.431049%
3.971611% 18.899741% 9.633660% 0.585401%
2.525671% -12.102949% 1.213902% 1.448683%
0.127004% 8.921767% 1.627609% -2.727208%
1.449072% -32.752251% 8.811871% 5.727433%
6.170025% 17.092776% 0.347223% 6.438457%
6.350888% -14.464686% 0.432340% -1.692456%
4.491955% 7.430298% -1.171634% -4.009802%
-7.460529% -12.326381% -19.241157% -16.036391%
-5.642297% -5.602054% -6.390380% 0.648486%
5.243550% 4.665785% -12.287211% 3.199225%
-9.388426% -27.664814% -3.504577% -0.424394%
8.988082% 6.465779% 9.806847% 8.282672%
0.400344% 28.857613% 17.128281% -2.988907%
-0.730401% -13.009036% -19.491311% -5.980288%
0.687583% 2.040116% 7.042246% -0.186359%
-1.163054% 4.461435% -2.546434% -2.187528%
-3.527703% -7.421803% -0.234742% 9.833878%
10.243884% 14.464049% 9.199307% -2.643943%
0.202361% 8.984070% 5.169514% -3.631507%
6.306338% 2.289257% 0.507615% -4.998683%
4.381889% 14.911804% 10.424597% 0.173930%
-4.103901% -1.812113% -6.697458% -4.360955%
-1.538590% 2.323885% -1.622853% -0.121090%
-3.004713% 6.616430% 11.552190% 1.622469%
-0.396931% 8.118139% 1.968137% -2.067724%
6.418217% 6.522661% 1.034046% 4.675971%
1.272486% 5.928849% 2.831374% 3.350142%
0.563106% -10.445337% 10.022234% 0.913078%
-1.154095% 1.754806% -5.980042% -6.099568%
-0.606926% -11.974720% -8.167803% 6.321914%
3.227269% 6.749326% 1.892530% 3.062022%
1.776500% 5.775427% 8.256321% -0.017952%
0.459825% -12.476941% -9.888660% -0.774988%
-63.655095% -10.897870% -2.810901% 4.993540%
-3.737271% -3.581501% 0.444445% -3.093841%
3.313966% 5.951904% 11.190226% 3.574611%
3.250890% -2.423722% 6.374519% 3.269036%
1.544101% 2.994708% 3.365351% 5.011555%
-1.328211% -6.854931% 2.941910% 1.998193%
0.602023% -3.497254% -2.439577% 1.381449%
-5.621314% 2.662293% 2.788252% 2.350214%
2.109120% -3.527101% -8.457786% 2.165192%
2.802285% 11.630217% 3.863779% -2.254571%
-1.544684% -1.663240% -8.595177% -3.179677%
-4.506984% 0.366205% 1.810360% -1.612938%
-1.315960% -8.326810% -1.770654% -0.895177%
-2.184981% 1.688279% -4.299121% -0.173680%
3.821527% -2.657776% 0.989699% -1.048461%
4.798421% 0.514434% 2.271903% -1.399074%
0.564973% -2.423662% -3.926885% -2.708413%
-4.249367% 8.130000% 5.439653% -4.352948%
3.597191% 8.611347% 10.064773% 0.190989%
-0.678414% 6.826797% -0.357910% 2.686908%
9.183066% -3.379017% 0.250672% -1.035399%
-3.092191% -6.253575% 8.695177% 2.709919%
-0.621764% -0.765115% -1.652930% -0.499418%
6.888199% -8.826898% -1.038709% 4.295590%
-0.116505% 20.690503% -0.134816% 3.317654%
3.999010% 4.403647% 4.161763% 0.432099%
0.558453% 4.883161% 1.763714% 3.718125%
-0.037133% 10.904209% 4.930467% -2.235484%
-0.857894% 1.548704% 3.624877% 0.166755%
-1.528764% -2.632219% 2.592311% 1.174535%
-3.384909% -2.587663% -2.650688% -5.968008%
0.373098% -1.593195% 0.524171% -4.335446%
-0.235479% 4.630634% 1.584819% 6.364615%
-0.373979% 0.670893% 1.306466% -1.490341%
-3.655025% 3.396346% -3.737141% -2.642479%
-3.052880% 3.735459% -3.396216% -1.834313%
6.648727% 9.904522% 1.801851% 2.109817%
-0.812288% 3.720644% 2.323976% 6.135739%
-4.039108% -0.211512% 0.695453% -0.809969%
-4.555390% -16.540555% -4.367764% 3.867761%
-11.156999% -3.449244% -2.659487% -1.547189%
6.769942% -9.975299% -7.859807% -5.485047%
-10.523469% -0.449991% 8.261724% -1.886547%
-4.714331% -1.237640% -3.229627% 4.589625%
-0.980790% 6.235682% 3.291317% 3.364973%
-9.875243% 4.125872% 3.544215% -0.523053%
-35.403216% -13.867720% -7.410797% -3.662295%
32.085022% -5.614734% -2.762158% 6.221417%
-5.497949% 8.954719% 6.381750% 2.822362%
11.685490% -6.395657% -5.267715% -1.646304%
-37.023587% -23.866678% -16.930787% -12.172411%
-39.701929% -7.172995% -14.022519% -4.603882%
-14.333756% -1.461658% 0.752050% 2.111387%
-76.072061% -8.511691% -9.275725% -3.642336%
-51.031917% -2.708358% -20.957547% -14.306084%
54.614389% 14.062696% 7.962980% 5.069311%
26.955692% 14.154925% 18.726526% -0.457318%
23.272793% -4.337010% 10.069210% 5.209511%
15.807250% 0.807541% -3.743865% 2.929827%
11.373445% 16.565075% 7.392426% 6.953263%
17.337928% -1.880358% 3.596948% -0.741782%
-3.883420% 8.600779% 5.309658% 0.741782%
-14.884563% -3.150207% -0.328288% -3.068441%
8.351877% 2.553699% 9.905643% 6.220727%
-5.112728% 2.281468% 6.501409% 2.467709%
0.793655% -6.336961% -8.743430% -2.435887%
9.303186% 7.952907% 5.561558% 0.222470%
6.899287% 6.753956% 11.107400% 3.432474%
-0.112108% 3.399119% 5.381089% -1.389984%
-12.467719% -15.081425% -9.742969% -9.795754%
-9.106254% -8.325021% -5.916698% 1.295178%
-2.323230% 7.935663% 6.721351% -1.656034%
-11.938689% -14.330092% -3.473096% -1.859145%
5.008872% 9.125449% 1.706318% 8.308693%
-13.462250% 4.290202% 8.759026% 2.832329%
-4.465027% -17.656389% 1.046265% -3.496246%
19.742758% 5.434188% 2.702137% 0.486225%
2.881618% 4.447325% 3.561518% -3.420824%
3.997677% -13.063118% 11.804027% 2.755723%
-6.954286% -7.901055% -1.497206% -3.629531%
-8.204521% 2.134491% 0.023205% 10.363751%
-4.411868% -4.196420% -3.470194% 2.360834%
-6.960096% -7.346715% -6.423430% -1.150898%
-12.109600% 2.280023% -1.081648% -2.635138%
-17.268737% -1.896391% -12.564660% 1.546857%
-28.890681% -1.090803% -12.160713% -3.259227%
10.976258% 17.855102% 14.539706% 1.093078%
-22.754561% 0.591877% 2.742997% 0.511193%
2.181905% -3.050345% 4.499737% 1.320050%
24.871313% 8.327098% 3.665332% 0.501940%
11.137326% 1.163686% 7.643724% -1.267289%
0.000000% -1.418463% 1.676743% -0.261559%
-1.236056% -1.178353% 0.111031% -0.193180%
-13.86% -13.26% 1.34% -2.29%
14.6200% 12.3979% 7.8254% 7.4784%
2.122818% 1.526549% 0.608178% 0.555430%
2.137458% 1.537076% 0.612373% 0.559260%
-105.4479% -93.5064% 583.7505% -326.0412%
54.6144% 32.8701% 19.3291% 16.0738%
-76.0721% -53.6417% -31.1693% -66.2973%
(1.51) (1.04) (0.69) (4.88)
8.37 3.27 1.77 41.87
1.645200 1.449419 1.198106 0.423563
Merc JP Morgan
00% 8.0000% Pfiz k
10.0000% 12.0000%
er Johnson
S&P Wal-Mart Proct
500 er
00% 8.0000% 10.0000% 12.0000%
S&P Wal-Mart Proct

500 er
Boeing
Disne
y
Riesgo
MERCK
-0.489909%
0.641277%
8.0355%
% participacin Rentabilidad del Riesgo del

Merck Portafolio Portafolio
100% 0.490% 8.008%
90% 0.565% 7.570%
80% 0.639% 7.435%
70% 0.714% 7.620%
60% 0.788% 8.104%
50% 0.863% 8.836%
40% 0.938% 9.762%
30% 1.012% 10.832%
20% 1.087% 12.007%
10% 1.161% 13.260%
0% 1.236% 14.570%
Frontera Eficiente
00% 11.000% 13.000% 15.000% 17.000%
Individual del activo i

n porcentual del activo I dentro del portafolio
ortafolio de 2 activos( Activo a, Activo b )
2
a W * b
2 2
b 2WaWb a b Corr
1
0.1928151426 1
0.4396960888 0.3382406027 1
0.1170931822 0.0811481212 0.2417988551 1
0.2157539117 0.0999291234 0.1591666326 0.2359723081
0.153852836 0.0956112756 0.2079222093 0.4155907398
0.376259501 0.1234708697 0.2956366182 0.3724973887
0.6103699725 0.3562007567 0.4847117477 0.0585094528
0.1081603976 0.1830741417 -0.0243704044 0.1970645649

-1.24% -1.18% 0.11% -0.19%
14.62% 12.40% 7.83% 7.48%
0.00% 0.00% 0.00% 0.00%

0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%
0.000000% 0.000000% 0.000000% 0.000000%

0.4097428% 0.3166352% 0.3799691% 0.1760096%
2.1374583% 0.3494924% 0.5030478% 0.1280229%
0.3494924% 1.5370765% 0.3281567% 0.0752373%
0.5030478% 0.3281567% 0.6123725% 0.1415041%
0.1280229% 0.0752373% 0.1415041% 0.5592605%
0.1750843% 0.0687669% 0.0691353% 0.0979508%
0.1807464% 0.0952516% 0.1307447% 0.2497401%
0.3377800% 0.0939961% 0.1420573% 0.1710519%
0.9518334% 0.4710441% 0.4045855% 0.0466715%
0.1315254% 0.1887848% -0.0158622% 0.1225767%
0.0213745834
0.0034709859 0.0153707646
0.0049960229 0.0032590908 0.006123725
0.0012714598 0.0007472199 0.0014053493 0.0055926048
0.0017388513 0.0006829592 0.0006866174 0.0009727988
0.0017950845 0.0009459919 0.001298492 0.0024802958
0.0033546639 0.0009335229 0.0014108433 0.001698803
0.0094531402 0.0046781774 0.004018144 0.0004635186
0.0013062449 0.0018749179 -0.0001575354 0.0012173715

0.4097428% 0.3166352% 0.3799691% 0.1760096%
2.1374583% 0.3494924% 0.5030478% 0.1280229%
0.3494924% 1.5370765% 0.3281567% 0.0752373%
0.5030478% 0.3281567% 0.6123725% 0.1415041%
0.1280229% 0.0752373% 0.1415041% 0.5592605%
0.1750843% 0.0687669% 0.0691353% 0.0979508%
0.1807464% 0.0952516% 0.1307447% 0.2497401%
0.3377800% 0.0939961% 0.1420573% 0.1710519%
0.9518334% 0.4710441% 0.4045855% 0.0466715%
0.1315254% 0.1887848% -0.0158622% 0.1225767%

0.4097428% 0.3166352% 0.3799691% 0.1760096%
2.1374583% 0.3494924% 0.5030478% 0.1280229%
0.3494924% 1.5370765% 0.3281567% 0.0752373%
0.5030478% 0.3281567% 0.6123725% 0.1415041%
0.1280229% 0.0752373% 0.1415041% 0.5592605%
0.1750843% 0.0687669% 0.0691353% 0.0979508%
0.1807464% 0.0952516% 0.1307447% 0.2497401%
0.3377800% 0.0939961% 0.1420573% 0.1710519%
0.9518334% 0.4710441% 0.4045855% 0.0466715%
0.1315254% 0.1887848% -0.0158622% 0.1225767%

0.4097428% 0.3166352% 0.3799691% 0.1760096%
2.1374583% 0.3494924% 0.5030478% 0.1280229%
0.3494924% 1.5370765% 0.3281567% 0.0752373%
0.5030478% 0.3281567% 0.6123725% 0.1415041%
0.1280229% 0.0752373% 0.1415041% 0.5592605%
0.1750843% 0.0687669% 0.0691353% 0.0979508%
0.1807464% 0.0952516% 0.1307447% 0.2497401%
0.3377800% 0.0939961% 0.1420573% 0.1710519%
0.9518334% 0.4710441% 0.4045855% 0.0466715%
0.1315254% 0.1887848% -0.0158622% 0.1225767%
de Portafolios
BOEING
Rentabilidad Esperada (Diaria) 0.35%
Vector de Participaciones 0.00%
Rentabilidad del % Prticipacin % Prticipacin % Prticipacin

Portafolio (diaria) BOEING BANK OF AMERICA CISCO
0.20% 0.00% 0.00% 5.52%
0.42% 0.00% 5.24% 14.18%
0.54% 0.00% 9.15% 18.98%
0.64% 0.00% 12.25% 22.82%
0.72% 0.00% 15.35% 26.39%
1.18% 0.00% 40.78% 55.65%
1.22% 0.00% 75.50% 24.50%
1.24% 0.00% 100.00% 0.00%

No hay solucion
WAL- MART MERCK PFIZER JP MORGAN
10% 10% 10% 10%
-11.607217% -24.461381% -11.899266% -1.334933%
14.753544% 0.921666% 12.916457% 9.082433%
-2.002212% 11.209779% 14.180533% -18.975825%
3.982475% 7.108182% 5.472911% 3.501482%
0.000000% 2.644957% 7.571182% -48.340132%
-4.217493% -6.692543% -10.120251% 7.827087%
-14.840553% -2.501013% -0.554786% 11.499077%
1.044287% 6.307085% 4.043249% -19.044321%
-5.883420% 18.914935% -3.927414% -1.505100%
13.981943% 3.011781% 2.560140% -21.004293%
1.785083% 0.998344% 3.743101% 20.872338%
6.679459% -13.033207% -1.865112% 19.075858%
-12.571494% -2.438845% -0.332779% -16.426408%
0.815195% -5.510683% -9.431068% -3.844947%
2.425784% 0.092184% 5.580082% 6.634646%
0.019326% -4.001608% -0.951394% 2.409259%
-5.869412% -13.284660% -6.851003% -10.006204%
13.583407% 6.173770% 2.879490% -2.666217%
-15.132224% -4.328900% -7.321262% -9.438682%
2.973053% 2.278003% 4.566538% -14.300323%
3.766550% -4.279466% 4.390949% 3.481865%
7.041857% 5.991454% 3.309773% 6.460922%
4.259739% -14.168260% -8.326115% -3.699625%
4.135704% 0.644179% 4.465904% -6.536417%
3.328449% 3.568547% -1.718546% -15.195046%
-1.151582% -6.309383% -3.023774% 19.786957%
-9.293128% -5.791468% -8.916403% -1.554802%
-3.201437% 4.954351% -4.934052% 2.392795%
1.668080% -12.006234% 1.149438% -5.812427%
-11.202795% -2.075094% -7.873404% -30.673027%
8.382072% 1.837846% 2.231485% 5.608947%
-8.260145% -10.005221% -13.094362% -32.945149%
8.390950% 17.110155% 9.053720% 8.863372%
0.651468% 9.104392% -0.758297% 19.310656%
-6.495914% -4.827691% -3.092034% -4.759898%
-5.514570% -2.178658% -0.689318% -2.788520%
0.542459% -4.883530% -1.794664% -2.868515%
7.937024% 3.776139% 4.395591% 4.441342%
7.922924% 6.021649% -1.324523% 21.339565%
-6.814350% -4.571823% 0.874216% 11.296357%
1.994797% 8.564605% 9.613043% 3.938457%
4.088907% -9.105829% -2.340501% 2.513494%
5.667140% -9.400857% -10.883042% -2.396535%
-5.774513% 0.594414% 1.525734% 0.320934%
5.402010% -13.449138% 3.937262% 4.471769%
-5.778726% -8.608730% 6.047569% -1.402548%
-4.766750% 12.921173% 5.109965% 3.688204%
1.496754% 2.985296% 3.613512% 5.714329%
10.078180% 1.003353% 0.054585% 5.332260%
0.218029% -8.436777% -4.463781% 2.241868%
-4.611323% 6.164908% 2.005434% -10.947438%
-2.253267% 0.636269% -1.181448% -2.041984%
-5.970543% 0.421942% -3.045337% 5.106254%
0.966741% -4.631953% -7.007697% -3.784946%
-0.643454% -0.841458% 2.197210% 5.852665%
1.001236% -30.948804% -6.545722% 0.378263%
1.344307% -5.257003% -5.542980% -2.885429%
-3.510457% -11.101899% -4.161390% -2.491932%
1.449301% 13.718282% -3.220183% 3.548507%
-0.798332% -13.611273% -10.705610% -4.402073%
-1.519114% 12.232805% 8.449027% -2.111611%
-2.949486% 2.091539% -0.076104% -5.482750%
-6.109869% 4.618295% 3.368582% 2.539728%
0.190739% -4.402279% 2.651327% 0.729930%
2.032974% -5.187754% -1.153582% -1.210089%
2.357874% 0.840613% -3.994614% -0.510929%
-9.316456% -9.553558% -3.925090% -3.622010%
-2.568287% -3.680069% -2.021873% 0.117959%
7.663136% 3.644639% -13.852122% 7.629496%
2.607846% 4.096373% -2.515270% 4.354902%
-3.691694% 7.878603% 9.531018% 3.695571%
-1.485336% 8.117862% 9.640112% 0.151057%
-1.639919% 1.038072% 1.966518% 3.437104%
4.061033% 1.055795% -4.970696% 1.208036%
-4.791206% -2.326020% 1.631877% 8.601024%
7.320340% -3.338074% -6.820361% -6.227870%
-0.579592% 9.013556% -0.806285% -1.512316%
-7.924723% 10.021416% 10.198884% 8.267660%
0.493164% 0.692901% 5.865360% 0.087642%
9.790885% 3.275005% 2.861426% 2.807353%
-0.081136% 8.066671% -6.219055% 1.016958%
-6.670537% -2.023865% 3.103315% -2.475585%
0.173385% -2.065673% -5.957933% 4.272166%
3.217493% 2.603429% 1.304200% 5.302058%
1.291685% -1.349852% -5.001042% -3.070417%
-2.855537% 0.045290% 1.194757% -2.066147%
2.044975% 15.237025% 4.641204% 7.407844%
-0.670019% 1.944425% 3.818814% -0.519582%
1.065729% -5.184535% -7.240251% -6.743679%
-4.593621% -0.301659% -8.399393% -9.611546%
-5.180886% 1.041885% 5.502939% 1.152165%
0.045830% 2.984710% -1.664337% 2.878215%
3.511502% 11.965141% 0.734098% 2.542692%
5.779720% 1.870485% -3.514937% -2.980138%
-0.775441% -2.128283% -4.431786% -4.414293%
6.535346% -23.152482% 2.733952% 8.241895%
-2.292535% -3.982827% -4.733574% -15.362339%
6.044668% -15.471517% -6.250588% 5.503781%
9.586225% 0.236873% -3.996633% 10.384598%
-0.414795% 2.389724% -3.800812% -10.268251%
-2.703342% -3.314067% -10.272396% -22.576326%
4.215918% -13.592215% 6.643283% 16.906985%
0.764725% 8.083734% 2.329380% -5.410824%
1.378636% -12.241950% -3.568954% 19.334570%
-7.055648% -1.951750% -4.039277% -12.409305%
0.125347% -14.696065% -7.502052% -26.459706%
0.321601% 12.903026% 7.502052% -0.411458%
-17.372501% -6.278567% -19.447873% -21.186894%
4.400876% -16.530430% -16.923879% -11.011941%
5.645865% 10.018184% 10.112736% 15.120794%
-3.317377% -9.853031% -1.927413% 21.634851%
-1.318174% 12.908671% 12.837215% 11.170399%
-2.648352% 1.368405% -1.258712% -7.862095%
2.929420% 7.075574% 6.015392% 12.495618%
1.965324% 7.755326% 4.720460% 11.729420%
-3.561801% -2.497788% -0.902262% 0.824936%
1.194709% -2.237945% 2.859039% -4.791196%
9.351527% 15.760874% 6.479539% 1.709038%
-2.037107% 0.907223% 0.110011% -1.948731%
-0.037425% 4.390427% 2.551020% -6.775945%
1.190712% -3.464242% -6.132825% 7.493308%
2.790370% 1.266351% -2.305578% 6.413637%
-3.588814% -6.384265% -2.539257% -4.970679%
-5.913431% -3.928921% -9.333844% -7.306072%
-5.050247% 3.728949% -6.580875% -7.800251%
6.288592% -1.469132% 5.059179% 9.553364%
-2.072511% 2.010984% 5.889764% -10.238580%
6.523632% 4.586047% 7.621583% 4.569459%
1.207183% -1.367636% 1.445530% -1.136226%
-0.147792% -5.200380% -6.645386% -0.613090%
-0.296242% 4.454005% 7.160704% 12.594924%
3.891400% -8.298358% 3.974775% 5.770832%
-7.574188% -1.825423% 5.447155% 3.820174%
0.134577% 1.341893% 5.412193% -1.271706%
5.476469% 8.531854% 3.197947% -1.024756%
0.435572% 2.200914% 2.263180% -5.379940%
-3.839527% -4.053859% -4.043357% -5.465841%
-0.812475% -3.342287% -6.778002% -1.204094%
0.906522% -3.064348% -1.412527% -7.412699%
-2.455162% -1.215820% -7.095174% -22.075025%
8.880809% 5.358425% 8.559635% 14.327790%
3.771421% 3.559095% 4.119576% -11.544831%
1.449545% 5.310983% 7.531729% 7.103577%
2.642162% 1.500620% -1.115253% 11.493856%
-3.786570% -0.261643% -1.269709% 5.070331%
0.540177% 0.730883% 1.735910% 2.913315%
0.055833% -0.489909% -0.356664% -0.473825%
0.67% -5.72% -4.20% -5.54%
5.5506% 8.0355% 6.1404% 10.6664%
0.305981% 0.641277% 0.374464% 1.129934%
0.308091% 0.645700% 0.377047% 1.137727%
825.9046% -140.4064% -146.3047% -192.5333%
14.7535% 18.9149% 14.1805% 21.6349%
-17.3725% -30.9488% -19.4479% -48.3401%
(0.23) (0.54) (0.24) (0.96)
0.78 1.37 0.04 2.92
0.397977 0.547996 0.620482 1.426896
Bank of
Americ
Cisco
a
P Morgan
12.0000% 14.0000% 16.0000%
12.0000% 14.0000% 16.0000%
Fabricato
b Corr a ,b
1
0.1546977393 1
0.2873330147 0.5282441241 1
0.2900566682 0.0937510547 0.2861782289 1
0.0193560131 0.1718970595 0.1547341331 0.0837661574

0.06% -0.49% -0.36% -0.47%
5.55% 8.04% 6.14% 10.67%
0.00% 0.00% 0.00% 100.00%

0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 0.00000000%
0.000000% 0.00000000% 0.00000000% 1.13772663%
0.000000% 0.00000000% 0.00000000% 0.00000000%

0.0483218% 0.2198417% 0.1783392% 0.2657008%
0.1750843% 0.1807464% 0.3377800% 0.9518334%
0.0687669% 0.0952516% 0.0939961% 0.4710441%
0.0691353% 0.1307447% 0.1420573% 0.4045855%
0.0979508% 0.2497401% 0.1710519% 0.0466715%
0.3080914% 0.0689984% 0.0979316% 0.1717282%
0.0689984% 0.6457000% 0.2606439% 0.0803546%
0.0979316% 0.2606439% 0.3770467% 0.1874360%
0.1717282% 0.0803546% 0.1874360% 1.1377266%
0.0089361% 0.1148884% 0.0790271% 0.0743156%
0.003080914
0.0006852583 0.0064570004
0.0009726084 0.0025885872 0.0037704669
0.0017055197 0.0007980419 0.0018615224 0.0113772663
8.8748946624E-005 0.001141015 0.0007848582 0.0007380658

0.0483218% 0.2198417% 0.1783392% 0.2657008%
0.1750843% 0.1807464% 0.3377800% 0.9518334%
0.0687669% 0.0952516% 0.0939961% 0.4710441%
0.0691353% 0.1307447% 0.1420573% 0.4045855%
0.0979508% 0.2497401% 0.1710519% 0.0466715%
0.3080914% 0.0689984% 0.0979316% 0.1717282%
0.0689984% 0.6457000% 0.2606439% 0.0803546%
0.0979316% 0.2606439% 0.3770467% 0.1874360%
0.1717282% 0.0803546% 0.1874360% 1.1377266%
0.0089361% 0.1148884% 0.0790271% 0.0743156%

0.0483218% 0.2198417% 0.1783392% 0.2657008%
0.1750843% 0.1807464% 0.3377800% 0.9518334%
0.0687669% 0.0952516% 0.0939961% 0.4710441%
0.0691353% 0.1307447% 0.1420573% 0.4045855%
0.0979508% 0.2497401% 0.1710519% 0.0466715%
0.3080914% 0.0689984% 0.0979316% 0.1717282%
0.0689984% 0.6457000% 0.2606439% 0.0803546%
0.0979316% 0.2606439% 0.3770467% 0.1874360%
0.1717282% 0.0803546% 0.1874360% 1.1377266%
0.0089361% 0.1148884% 0.0790271% 0.0743156%

0.0483218% 0.2198417% 0.1783392% 0.2657008%
0.1750843% 0.1807464% 0.3377800% 0.9518334%
0.0687669% 0.0952516% 0.0939961% 0.4710441%
0.0691353% 0.1307447% 0.1420573% 0.4045855%
0.0979508% 0.2497401% 0.1710519% 0.0466715%
0.3080914% 0.0689984% 0.0979316% 0.1717282%
0.0689984% 0.6457000% 0.2606439% 0.0803546%
0.0979316% 0.2606439% 0.3770467% 0.1874360%
0.1717282% 0.0803546% 0.1874360% 1.1377266%
0.0089361% 0.1148884% 0.0790271% 0.0743156%
-1.24% -1.18% 0.11% -0.19%
14.62% 12.40% 7.83% 7.48%
0.00% 120.99% 0.00% 0.00%
% Prticipacin % Prticipacin % Prticipacin % Prticipacin

DISNEY JOHNSON WAL- MART MERCK
10.10% 6.43% 34.65% 7.08%
0.00% 7.21% 23.70% 12.85%
0.00% 5.79% 14.10% 17.16%
0.00% 5.31% 5.69% 19.83%
0.00% 4.44% 0.00% 23.30%
0.00% 0.00% 0.00% 3.57%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%

PROCTER S&P500 Retorno Portafolio
10%
-13.985595% -2.031306% -9.265582%
-43.720279% 9.232381% -2.738871%
5.151353% -3.127998% 1.841988%
10.703276% -2.215870% 2.661629%
-15.854629% 2.365163% -5.699110%
0.439561% -1.647625% 0.563972%
8.133742% 5.892816% 2.802143%
8.030394% -5.496629% -0.479135%
6.416532% -0.496178% -0.064644%
4.689534% -8.345613% -3.834007%
4.658073% 0.404519% 2.387065%
-8.789258% 3.405025% -0.314126%
-1.882871% -9.683109% -7.322037%
-11.884743% -6.635854% -9.220944%
-4.158773% 7.400701% 4.575801%
6.744852% 0.507729% 2.912498%
-0.687288% -2.535415% -12.869868%
10.720834% -1.079822% 4.584666%
4.312854% -6.625561% -7.112879%
-1.851149% -8.525662% -10.943817%
1.350911% 1.793719% 4.413261%
4.867398% 7.248435% 6.815070%
2.133040% 0.754529% -1.674556%
3.171710% -1.569637% 1.927497%
3.736844% -2.098489% -1.150166%
6.063156% 3.608008% 5.027629%
0.188522% -6.338468% -4.260739%
-0.789727% -0.912294% 0.069209%
-0.279564% -7.521434% -6.498164%
-0.347748% -8.229987% -7.720704%
-0.382797% 0.486954% 0.716218%
0.820091% -11.656117% -11.273012%
-1.045952% 8.291442% 6.218086%
-4.533092% 5.550058% 8.067255%
1.654288% -6.222928% -5.989484%
-0.431462% -2.779749% -0.635533%
-4.432428% -1.714984% -2.851978%
8.418754% 0.832287% 1.810923%
0.894360% 7.792735% 7.460536%
2.168853% 4.964567% 2.539081%
-2.917334% 1.125863% 3.654242%
-1.479835% 1.609351% 2.000936%
-0.662254% 1.771534% -2.252338%
6.142623% -1.201623% -0.668782%
5.726016% 5.350427% 3.431218%
-2.107722% 0.710323% -0.448868%
3.712439% 4.951890% 4.863597%
1.194282% 1.712888% 2.745723%
1.404807% 1.213510% 2.273312%
2.285648% -1.649422% -2.508291%
0.863916% -1.693339% -1.708336%
1.900717% 1.201102% 1.902337%
-68.336399% 1.782919% -4.510332%
-4.297500% -3.489224% -4.210384%
7.069165% 0.228472% -5.588080%
-3.361203% 0.932034% -5.060003%
-5.585497% 1.391696% 0.271529%
4.395892% 3.786878% 0.069776%
2.947892% 3.194249% 2.794167%
-3.416453% -2.561575% -3.846271%
-0.263356% 1.872693% 2.111799%
-0.169667% -1.930275% 0.174849%
2.146606% -2.031352% 0.064973%
1.829877% 2.951222% 2.414200%
-4.449297% -0.014269% -2.171699%
5.315885% 3.533645% 0.008062%
-0.270003% -1.128547% -3.747723%
6.928122% 0.692491% -0.481554%
-6.013071% -1.789999% -0.481681%
2.120595% 3.458124% 2.219658%
1.199284% -0.095285% 1.308080%
2.305627% 2.514796% 2.091048%
1.174904% 0.045299% 3.465574%
-3.913395% 1.103473% 1.287887%
1.001390% 1.208237% 1.598005%
-7.045417% -3.140491% -1.429200%
2.458021% 0.008660% 0.341145%
1.073356% 0.507292% 1.731718%
9.660342% 2.105112% 3.724712%
0.129157% 2.426938% 3.699969%
2.249437% 3.102184% 1.722911%
-0.951030% 1.633251% 1.485099%
2.329713% 1.253684% 0.358365%
0.929231% 1.396117% 1.376945%
-2.150285% -2.208831% -2.747284%
-0.521122% 0.993048% -0.736089%
1.944244% 4.237984% 4.811737%
-1.328664% 3.203072% 1.120335%
-3.784322% -1.797693% -3.302930%
1.088999% -3.250450% -1.907701%
5.427140% 1.278156% 2.167999%
7.419546% 3.516828% 3.125721%
-1.172615% 1.471356% 0.692616%
6.245061% -4.504279% -2.052864%
-0.786872% -0.866593% -3.699554%
-11.536836% -6.311391% -3.874580%
1.155028% -3.537971% -3.028450%
5.711644% -0.597741% -1.977945%
-4.405613% 4.645094% 3.691165%
-1.502658% 1.061759% -1.881872%
-8.265778% -8.988355% -13.054218%
7.399050% -0.990830% 4.422979%
6.345937% 1.211680% 3.180286%
-0.114728% -9.518079% -1.021590%
-7.677165% -18.563649% -13.211507%
-0.294825% -7.779835% -13.500162%
-4.011000% 0.779114% 0.346603%
-12.602624% -8.954989% -17.523753%
-12.346428% -11.645654% -17.110996%
-2.267576% 8.195274% 13.270965%
4.869915% 8.977221% 8.262127%
4.932939% 5.172056% 8.606505%
-1.630471% 0.019582% -0.161242%
8.277869% 7.152198% 8.003816%
-2.554417% 3.300932% 5.655847%
6.804374% 3.510010% 2.007194%
0.138026% -1.995987% -3.674210%
7.232066% 5.577902% 7.677217%
-2.797385% 1.761455% 0.360098%
1.506003% -3.767514% -0.379791%
2.771947% 2.811474% 2.903665%
-0.015804% 5.713276% 5.028524%
-1.769958% 1.465147% -1.222306%
-1.736352% -8.553165% -8.739938%
-1.833701% -5.538838% -4.184223%
1.948221% 6.651578% 4.029856%
-2.466400% -4.861180% -4.933393%
0.501506% 8.392848% 5.643161%
5.829722% 3.619300% 1.437721%
-4.012091% -0.229291% -5.142151%
5.200534% 6.325652% 5.978888%
-1.882999% 2.239299% 1.719125%
-0.126803% 3.145660% 0.881183%
-2.326619% -0.104785% -1.406037%
5.218575% 2.809692% 3.333243%
3.184500% -1.359289% -0.923137%
-5.255096% -1.842623% -4.993629%
-3.326710% -2.170837% -3.380309%
3.499598% -5.846749% -4.292501%
-0.788275% -7.446713% -8.901010%
1.273903% 10.230659% 9.123062%
0.902309% -0.507148% -1.378735%
3.260496% 0.849655% 3.617156%
-5.658542% 4.266000% 4.735373%
7.013435% 3.978733% 2.647596%
-0.995773% -0.098901% 0.382114%
-0.282033% -0.014961% Rentabilidad Media -0.369361%
-3.33% -0.18% del Portafolio -0.369361%
8.3175% 4.7441%
0.687068% 0.223521% Varianza del Portafolio 0.263594%
0.691807% 0.225063% Desvest Portafolio 5.134143%
-249.5954% -2644.5577%
10.7208% 10.2307%
-68.3364% -18.5636%
(4.86) (0.66)
34.95 1.11
0.134694 1.000000
PROCTER S&P500
PROCTER
1
PROCTER
-0.28%
8.32%
0.00%
PROCTER
0.00000000% Rentabilidad del Portafolio
0.00000000% Varianza del Portafolio
0.00000000% Riesgo del Portafolio
0.00000000%
0.00000000%
0.00000000%
0.00000000%
0.00000000%
0.00000000%
0.00000000%
PROCTER
0.0761116% MMULT(TRANSPONER(AE5:AN150);AE5:AN150)/145
0.1315254% Factor de Ajuste
0.1887848% 1.0068965517
-0.0158622%
0.1225767% Rentabilidad del Portafolio
0.0790271%
0.0743156%
0.6918067%
PROCTER
VAR('Acciones USA Actuali'!$O$5:$O$150)
0.0069180666
PROCTER
0.0761116% VAR('Acciones USA Actuali'!$O$5:$O$150)
0.1315254%
0.1887848%
-0.0158622% Rentabilidad del Portafolio
0.1148884%
0.0790271%
0.0743156%
0.6918067%
PROCTER
0.0761116%
0.1315254% MMULT(TRANSPONER(O5:U150-O151:U151);O5:U150-O151:U151)/1271
0.1887848%
0.1148884%
0.0790271%
0.0743156%
0.6918067%
PROCTER
0.0761116% MMULT(TRANSPONER(AE5:AN150);AE5:AN150)/145
0.1315254%
0.1887848%
0.1148884%
0.0790271%
0.0743156%
0.6918067%
0.06% -0.49% -0.36% -0.47%
5.55% 8.04% 6.14% 10.67%
0.00% 0.00% 0.00% 0.00%
% Prticipacin % Prticipacin % Prticipacin

PFIZER JP MORGAN PROCTER
18.74% 0.00% 17.48%
21.54% 0.00% 15.28%
20.95% 0.00% 13.87%
20.94% 0.00% 13.17%
18.87% 0.00% 11.65%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00%
0.00% 0.00% 0.00%

MATRIZ DE RENDIMIENTOS AJUSTADOS (menos la media)
FECHA BOEING
% de Participacion 10%
2/1/2000 -18.968963%
3/1/2000 1.978322%
4/3/2000 4.503023%
5/1/2000 -1.949576%
6/1/2000 6.454120%
7/3/2000 15.130425%
8/1/2000 9.086443%
9/1/2000 18.087475%
10/2/2000 4.654903%
11/1/2000 1.477060%
12/1/2000 -4.881637%
1/2/2001 -12.412341%
2/1/2001 5.783283%
3/1/2001 -11.369075%
4/2/2001 10.024828%
5/1/2001 1.398839%
6/1/2001 -12.669939%
7/2/2001 4.786082%
8/1/2001 -13.729533%
9/4/2001 -42.768951%
10/1/2001 -3.072857%
11/1/2001 7.039342%
12/3/2001 9.620810%
1/2/2002 5.095174%
2/1/2002 11.192422%
3/1/2002 4.512896%
4/1/2002 -8.215739%
5/1/2002 -4.820200%
6/3/2002 5.013980%
7/1/2002 -8.398267%
8/1/2002 -11.686264%
9/3/2002 -8.612667%
10/1/2002 -14.084305%
11/1/2002 13.150548%
12/2/2002 -3.512097%
1/2/2003 -4.685929%
2/3/2003 -13.997059%
3/3/2003 -9.858792%
4/1/2003 8.138546%
5/1/2003 11.363573%
6/2/2003 10.894788%
7/1/2003 -3.908636%
8/1/2003 11.777054%
9/2/2003 -8.887910%
10/1/2003 11.088344%
11/3/2003 -0.609688%
12/1/2003 8.970498%
1/2/2004 -1.279338%
2/2/2004 3.457309%
3/1/2004 -5.798545%
4/1/2004 3.519135%
5/3/2004 6.682397%
6/1/2004 10.580927%
7/1/2004 -1.017258%
8/2/2004 2.505853%
9/1/2004 -1.505179%
10/1/2004 -3.738361%
11/1/2004 6.747279%
12/1/2004 -3.767380%
1/3/2005 -2.635467%
2/1/2005 7.934059%
3/1/2005 5.805976%
4/1/2005 1.447421%
5/2/2005 6.751155%
6/1/2005 2.883996%
7/1/2005 -0.334391%
8/1/2005 1.168942%
9/1/2005 1.028564%
10/3/2005 -5.343415%
11/1/2005 4.996909%
12/1/2005 2.612460%
1/3/2006 -3.135720%
2/1/2006 5.865224%
3/1/2006 6.611175%
4/3/2006 6.494124%
5/1/2006 -0.589494%
6/1/2006 -1.972246%
7/3/2006 -5.987136%
8/1/2006 -3.658667%
9/1/2006 4.789800%
10/2/2006 0.923237%
11/1/2006 9.957096%
12/1/2006 0.000010%
1/3/2007 0.457637%
2/1/2007 -2.951204%
3/1/2007 1.523704%
4/2/2007 4.147945%
5/1/2007 7.495794%
6/1/2007 -4.853480%
7/2/2007 6.938617%
8/1/2007 -7.077707%
9/4/2007 7.875629%
10/1/2007 -6.639069%
11/1/2007 -6.682427%
12/3/2007 -5.995486%
1/2/2008 -5.367003%
2/1/2008 -0.819507%
3/3/2008 -11.075007%
4/1/2008 12.845479%
5/1/2008 -2.843258%
6/2/2008 -23.415780%
7/1/2008 -7.622319%
8/1/2008 6.679482%
9/2/2008 -13.728833%
10/1/2008 -9.338006%
11/3/2008 -21.022539%
12/1/2008 -0.255755%
1/2/2009 -1.196805%
2/2/2009 -30.043792%
3/2/2009 12.020730%
4/1/2009 11.484957%
5/1/2009 10.969950%
6/1/2009 -5.731493%
7/1/2009 0.610540%
8/3/2009 14.280081%
9/1/2009 8.286143%
10/1/2009 -12.822775%
11/2/2009 8.857635%
12/1/2009 2.879573%
1/4/2010 10.941091%
2/1/2010 3.788088%
3/1/2010 13.593605%
4/1/2010 -0.597749%
5/3/2010 -12.442436%
6/1/2010 -2.602848%
7/1/2010 7.891042%
8/2/2010 -11.205709%
9/1/2010 8.130511%
10/1/2010 5.629787%
11/1/2010 -10.580911%
12/1/2010 1.960101%
1/3/2011 5.916423%
2/1/2011 3.227064%
3/1/2011 2.281828%
4/1/2011 7.265873%
5/2/2011 -2.567490%
6/1/2011 -5.747009%
7/1/2011 -5.142703%
8/1/2011 -5.608162%
9/1/2011 -10.328766%
10/3/2011 8.016379%
11/1/2011 3.964036%
12/1/2011 6.214346%
1/3/2012 0.775665%
2/1/2012 0.683123%
3/1/2012 -1.449633%
f(x) = 1.049008
R = 0.2994868
-25.000000% -20.000000% -15.000000%

-0.4738%
1.1377%
10.67%
-0.4738% SUMAPRODUCTO(O298:X298;O300:X300)
1.1377% MMULT(MMULT(O300:X300;O318:X327);TRANSPONER(O300:X300))
10.67% RAIZ(AB323)
1.1377% MMULT(MMULT(O300:X300;O345:X354);TRANSPONER(O300:X300))
10.67% AB347^(1/2)
1:U151)/1271
1.1377% MMULT(MMULT(S467:X467;P413:U418);TRANSPONER(S467:X467))
10.67% RAIZ(AB363)
1.1377% MMULT(MMULT(S467:X467;P413:U418);TRANSPONER(S467:X467))
10.67% RAIZ(AB363)
PROCTER
-0.28%
8.32% TOTAL
0.00% 120.99%
USTADOS (menos la media)

10% 10% 10% 10%
-3.932396% 20.009926% -6.684297% -17.644681%
14.338882% -52.463344% 19.218027% -2.267401%
-5.548880% -9.716207% 5.498356% 16.266979%
13.584161% -18.509610% -3.467207% 8.337213%
-24.174068% 12.176979% -8.461559% 13.139067%
10.936064% 4.093288% -0.757279% -8.852124%
13.533622% 5.923387% 0.895299% -1.006769%
-1.029047% -20.493217% -1.924553% 2.334313%
-7.371405% -1.332546% -6.702669% -1.763240%
-17.271134% -10.627794% -21.411278% 8.400991%
15.101152% -21.277079% -0.111031% 5.129323%
17.197641% -0.962038% 4.975096% -11.860345%
-4.735868% -44.590311% 1.517669% 4.604270%
8.921202% -39.262684% -8.007659% -10.487959%
3.493488% 8.317706% 5.497915% 9.997166%
6.877465% 13.777775% 4.318333% 0.679145%
2.543921% -4.482529% -9.140463% -66.104089%
7.044401% 6.631334% -9.313755% 8.154330%
-2.153015% -15.116397% -3.664901% -2.409719%
-3.936073% -28.142512% -31.280362% 5.170620%
2.241261% 34.048462% -0.272278% 4.624229%
5.207667% 20.078094% 9.522628% 0.778581%
3.761727% -10.924597% 1.102870% 1.641863%
1.363060% 10.100119% 1.516578% -2.534028%
2.685128% -31.573898% 8.700840% 5.920613%
7.406081% 18.271129% 0.236191% 6.631637%
7.586944% -13.286333% 0.321308% -1.499275%
5.728011% 8.608651% -1.282665% -3.816621%
-6.224473% -11.148028% -19.352189% -15.843211%
-4.406241% -4.423701% -6.501412% 0.841666%
6.479606% 5.844138% -12.398242% 3.392405%
-8.152370% -26.486461% -3.615608% -0.231214%
10.224138% 7.644132% 9.695816% 8.475852%
1.636399% 30.035965% 17.017250% -2.795727%
0.505655% -11.830684% -19.602343% -5.787108%
1.923639% 3.218469% 6.931215% 0.006822%
0.073002% 5.639787% -2.657465% -1.994348%
-2.291647% -6.243450% -0.345773% 10.027058%
11.479939% 15.642402% 9.088276% -2.450763%
1.438417% 10.162423% 5.058483% -3.438327%
7.542393% 3.467609% 0.396584% -4.805503%
5.617945% 16.090157% 10.313566% 0.367110%
-2.867845% -0.633760% -6.808489% -4.167775%
-0.302534% 3.502237% -1.733885% 0.072090%
-1.768657% 7.794783% 11.441159% 1.815649%
0.839125% 9.296492% 1.857106% -1.874544%
7.654272% 7.701014% 0.923015% 4.869151%
2.508542% 7.107201% 2.720343% 3.543322%
1.799162% -9.266984% 9.911202% 1.106258%
0.081961% 2.933159% -6.091074% -5.906388%
0.629130% -10.796368% -8.278834% 6.515094%
4.463325% 7.927679% 1.781498% 3.255202%
3.012556% 6.953780% 8.145290% 0.175228%
1.695881% -11.298588% -9.999691% -0.581808%
-62.419039% -9.719517% -2.921932% 5.186720%
-2.501215% -2.403148% 0.333414% -2.900661%
4.550022% 7.130257% 11.079195% 3.767791%
4.486946% -1.245370% 6.263487% 3.462216%
2.780157% 4.173060% 3.254319% 5.204735%
-0.092156% -5.676579% 2.830879% 2.191373%
1.838079% -2.318902% -2.550608% 1.574630%
-4.385259% 3.840645% 2.677221% 2.543394%
3.345176% -2.348748% -8.568818% 2.358373%
4.038341% 12.808570% 3.752748% -2.061391%
-0.308628% -0.484887% -8.706209% -2.986497%
-3.270928% 1.544558% 1.699329% -1.419758%
-0.079905% -7.148457% -1.881685% -0.701997%
-0.948925% 2.866631% -4.410152% 0.019500%
5.057583% -1.479423% 0.878667% -0.855281%
6.034477% 1.692787% 2.160872% -1.205894%
1.801029% -1.245309% -4.037916% -2.515233%
-3.013311% 9.308353% 5.328621% -4.159768%
4.833246% 9.789700% 9.953742% 0.384169%
0.557642% 8.005150% -0.468942% 2.880088%
10.419122% -2.200664% 0.139640% -0.842219%
-1.856135% -5.075223% 8.584145% 2.903099%
0.614292% 0.413238% -1.763962% -0.306238%
8.124254% -7.648545% -1.149741% 4.488770%
1.119551% 21.868856% -0.245848% 3.510834%
5.235065% 5.582000% 4.050732% 0.625280%
1.794508% 6.061513% 1.652683% 3.911305%
1.198922% 12.082561% 4.819436% -2.042304%
0.378162% 2.727056% 3.513846% 0.359935%
-0.292709% -1.453866% 2.481280% 1.367716%
-2.148853% -1.409311% -2.761720% -5.774828%
1.609154% -0.414842% 0.413140% -4.142266%
1.000577% 5.808987% 1.473788% 6.557796%
0.862076% 1.849246% 1.195434% -1.297160%
-2.418970% 4.574699% -3.848172% -2.449299%
-1.816824% 4.913812% -3.507247% -1.641133%
7.884783% 11.082874% 1.690819% 2.302998%
0.423768% 4.898997% 2.212944% 6.328919%
-2.803052% 0.966840% 0.584422% -0.616788%
-3.319334% -15.362202% -4.478796% 4.060941%
-9.920943% -2.270891% -2.770519% -1.354009%
8.005998% -8.796946% -7.970838% -5.291867%
-9.287413% 0.728362% 8.150693% -1.693367%
-3.478275% -0.059287% -3.340658% 4.782805%
0.255266% 7.414034% 3.180286% 3.558154%
-8.639187% 5.304224% 3.433183% -0.329873%
-34.167160% -12.689367% -7.521829% -3.469115%
33.321078% -4.436382% -2.873189% 6.414597%
-4.261893% 10.133072% 6.270719% 3.015542%
12.921545% -5.217304% -5.378747% -1.453124%
-35.787531% -22.688326% -17.041819% -11.979230%
-38.465873% -5.994643% -14.133550% -4.410702%
-13.097700% -0.283305% 0.641018% 2.304567%
-74.836005% -7.333338% -9.386756% -3.449156%
-49.795861% -1.530005% -21.068579% -14.112904%
55.850445% 15.241048% 7.851948% 5.262492%
28.191748% 15.333278% 18.615495% -0.264138%
24.508849% -3.158657% 9.958179% 5.402691%
17.043306% 1.985894% -3.854897% 3.123007%
12.609500% 17.743428% 7.281394% 7.146443%
18.573984% -0.702005% 3.485916% -0.548602%
-2.647365% 9.779131% 5.198627% 0.934962%
-13.648507% -1.971854% -0.439319% -2.875261%
9.587933% 3.732051% 9.794612% 6.413907%
-3.876672% 3.459821% 6.390377% 2.660889%
2.029711% -5.158609% -8.854461% -2.242707%
10.539242% 9.131260% 5.450527% 0.415650%
8.135343% 7.932309% 10.996368% 3.625654%
1.123948% 4.577472% 5.270058% -1.196804%
-11.231663% -13.903073% -9.854000% -9.602574%
-7.870199% -7.146668% -6.027729% 1.488358%
-1.087174% 9.114015% 6.610320% -1.462854%
-10.702633% -13.151740% -3.584127% -1.665965%
6.244927% 10.303802% 1.595287% 8.501873%
-12.226194% 5.468555% 8.647995% 3.025510%
-3.228972% -16.478036% 0.935234% -3.303065%
20.978814% 6.612541% 2.591106% 0.679405%
4.117674% 5.625678% 3.450487% -3.227643%
5.233733% -11.884765% 11.692996% 2.948903%
-5.718230% -6.722703% -1.608238% -3.436351%
-6.968465% 3.312844% -0.087827% 10.556931%
-3.175812% -3.018067% -3.581225% 2.554015%
-5.724040% -6.168362% -6.534461% -0.957718%
-10.873544% 3.458375% -1.192680% -2.441958%
-16.032682% -0.718038% -12.675692% 1.740037%
-27.654625% 0.087549% -12.271745% -3.066047%
12.212313% 19.033454% 14.428674% 1.286258%
-21.518506% 1.770230% 2.631965% 0.704373%
3.417961% -1.871993% 4.388705% 1.513230%
26.107368% 9.505451% 3.554300% 0.695121%
12.373382% 2.342039% 7.532693% -1.074109%
1.236056% -0.240111% 1.565711% -0.068379%
Factor Beta Boeing

30.000000%
20.000000%
10.000000%
f(x) = 1.0490085768x + 0.003652366
R = 0.2994868355
0.000000%
000000% -15.000000% -10.000000% -5.000000% 0.000000%
-10.000000%
-20.000000%
-30.000000%
-40.000000%
-50.000000%
-30.000000%
-40.000000%
-50.000000%
10% 10% 10% 10%
-11.663051% -23.971472% -11.542602% -0.861108%
14.697711% 1.411575% 13.273122% 9.556258%
-2.058046% 11.699688% 14.537197% -18.501999%
3.926641% 7.598091% 5.829576% 3.975307%
-0.055833% 3.134866% 7.927846% -47.866307%
-4.273326% -6.202634% -9.763586% 8.300913%
-14.896386% -2.011104% -0.198122% 11.972902%
0.988453% 6.796995% 4.399913% -18.570496%
-5.939254% 19.404844% -3.570750% -1.031275%
13.926109% 3.501690% 2.916804% -20.530467%
1.729250% 1.488254% 4.099765% 21.346163%
6.623625% -12.543298% -1.508447% 19.549683%
-12.627327% -1.948936% 0.023885% -15.952583%
0.759361% -5.020774% -9.074404% -3.371122%
2.369951% 0.582093% 5.936747% 7.108472%
-0.036508% -3.511699% -0.594729% 2.883084%
-5.925245% -12.794751% -6.494338% -9.532379%
13.527573% 6.663679% 3.236155% -2.192392%
-15.188058% -3.838990% -6.964597% -8.964857%
2.917220% 2.767912% 4.923202% -13.826498%
3.710717% -3.789557% 4.747614% 3.955690%
6.986024% 6.481363% 3.666437% 6.934747%
4.203905% -13.678351% -7.969451% -3.225800%
4.079870% 1.134088% 4.822568% -6.062592%
3.272615% 4.058456% -1.361882% -14.721221%
-1.207415% -5.819474% -2.667110% 20.260783%
-9.348962% -5.301559% -8.559739% -1.080976%
-3.257271% 5.444260% -4.577388% 2.866621%
1.612247% -11.516325% 1.506102% -5.338602%
-11.258628% -1.585185% -7.516740% -30.199201%
8.326238% 2.327756% 2.588149% 6.082772%
-8.315979% -9.515311% -12.737698% -32.471323%
8.335116% 17.600064% 9.410384% 9.337197%
0.595635% 9.594301% -0.401633% 19.784481%
-6.551748% -4.337782% -2.735369% -4.286073%
-5.570403% -1.688748% -0.332654% -2.314695%
0.486626% -4.393621% -1.438000% -2.394690%
7.881191% 4.266048% 4.752255% 4.915167%
7.867090% 6.511558% -0.967858% 21.813390%
-6.870183% -4.081914% 1.230881% 11.770182%
1.938964% 9.054514% 9.969707% 4.412282%
4.033073% -8.615920% -1.983837% 2.987319%
5.611307% -8.910948% -10.526378% -1.922709%
-5.830347% 1.084323% 1.882399% 0.794759%
5.346177% -12.959229% 4.293927% 4.945594%
-5.834559% -8.118821% 6.404233% -0.928722%
-4.822584% 13.411082% 5.466629% 4.162029%
1.440920% 3.475206% 3.970176% 6.188154%
10.022347% 1.493262% 0.411249% 5.806086%
0.162196% -7.946868% -4.107117% 2.715693%
-4.667157% 6.654817% 2.362098% -10.473613%
-2.309100% 1.126179% -0.824784% -1.568159%
-6.026377% 0.911851% -2.688673% 5.580079%
0.910907% -4.142044% -6.651033% -3.311121%
-0.699288% -0.351548% 2.553875% 6.326490%
0.945403% -30.458895% -6.189057% 0.852088%
1.288474% -4.767093% -5.186316% -2.411604%
-3.566290% -10.611990% -3.804726% -2.018107%
1.393467% 14.208191% -2.863519% 4.022332%
-0.854165% -13.121364% -10.348945% -3.928248%
-1.574947% 12.722714% 8.805691% -1.637785%
-3.005320% 2.581448% 0.280561% -5.008925%
-6.165703% 5.108204% 3.725246% 3.013554%
0.134905% -3.912369% 3.007991% 1.203755%
1.977140% -4.697845% -0.796917% -0.736264%
2.302041% 1.330522% -3.637950% -0.037104%
-9.372289% -9.063648% -3.568426% -3.148184%
-2.624121% -3.190160% -1.665208% 0.591785%
7.607302% 4.134549% -13.495458% 8.103321%
2.552012% 4.586282% -2.158606% 4.828727%
-3.747528% 8.368512% 9.887682% 4.169396%
-1.541169% 8.607771% 9.996776% 0.624883%
-1.695752% 1.527981% 2.323182% 3.910930%
4.005200% 1.545704% -4.614032% 1.681861%
-4.847039% -1.836111% 1.988541% 9.074849%
7.264507% -2.848165% -6.463696% -5.754045%
-0.635425% 9.503465% -0.449621% -1.038491%
-7.980557% 10.511326% 10.555548% 8.741485%
0.437331% 1.182810% 6.222024% 0.561468%
9.735051% 3.764914% 3.218090% 3.281179%
-0.136969% 8.556580% -5.862391% 1.490783%
-6.726370% -1.533956% 3.459979% -2.001760%
0.117552% -1.575764% -5.601269% 4.745991%
3.161659% 3.093339% 1.660864% 5.775883%
1.235851% -0.859943% -4.644378% -2.596591%
-2.911371% 0.535199% 1.551422% -1.592322%
1.989141% 15.726935% 4.997868% 7.881670%
-0.725853% 2.434335% 4.175479% -0.045756%
1.009896% -4.694626% -6.883587% -6.269854%
-4.649454% 0.188250% -8.042728% -9.137721%
-5.236720% 1.531794% 5.859604% 1.625990%
-0.010004% 3.474619% -1.307673% 3.352040%
3.455668% 12.455050% 1.090762% 3.016518%
5.723887% 2.360394% -3.158273% -2.506313%
-0.831275% -1.638374% -4.075121% -3.940468%
6.479513% -22.662572% 3.090616% 8.715720%
-2.348369% -3.492918% -4.376910% -14.888514%
5.988834% -14.981608% -5.893924% 5.977606%
9.530391% 0.726783% -3.639969% 10.858423%
-0.470628% 2.879633% -3.444148% -9.794426%
-2.759175% -2.824158% -9.915731% -22.102501%
4.160084% -13.102306% 6.999948% 17.380811%
0.708891% 8.573643% 2.686044% -4.936999%
1.322803% -11.752041% -3.212290% 19.808395%
-7.111482% -1.461840% -3.682612% -11.935480%
0.069513% -14.206156% -7.145388% -25.985881%
0.265768% 13.392935% 7.858716% 0.062367%
-17.428334% -5.788658% -19.091208% -20.713069%
4.345043% -16.040521% -16.567214% -10.538116%
5.590031% 10.508093% 10.469400% 15.594619%
-3.373211% -9.363122% -1.570749% 22.108676%
-1.374007% 13.398580% 13.193879% 11.644224%
-2.704185% 1.858314% -0.902047% -7.388270%
2.873587% 7.565483% 6.372057% 12.969443%
1.909490% 8.245235% 5.077124% 12.203245%
-3.617635% -2.007879% -0.545597% 1.298761%
1.138875% -1.748036% 3.215704% -4.317370%
9.295694% 16.250783% 6.836203% 2.182863%
-2.092941% 1.397132% 0.466675% -1.474906%
-0.093259% 4.880336% 2.907685% -6.302119%
1.134878% -2.974333% -5.776160% 7.967133%
2.734536% 1.756260% -1.948913% 6.887462%
-3.644648% -5.894355% -2.182592% -4.496853%
-5.969264% -3.439012% -8.977180% -6.832247%
-5.106080% 4.218859% -6.224211% -7.326426%
6.232758% -0.979223% 5.415843% 10.027189%
-2.128344% 2.500893% 6.246428% -9.764755%
6.467799% 5.075957% 7.978248% 5.043285%
1.151350% -0.877727% 1.802194% -0.662400%
-0.203626% -4.710471% -6.288722% -0.139265%
-0.352075% 4.943914% 7.517368% 13.068750%
3.835567% -7.808449% 4.331439% 6.244657%
-7.630022% -1.335514% 5.803820% 4.293999%
0.078743% 1.831802% 5.768857% -0.797881%
5.420635% 9.021763% 3.554611% -0.550930%
0.379739% 2.690823% 2.619844% -4.906115%
-3.895360% -3.563950% -3.686693% -4.992016%
-0.868308% -2.852378% -6.421337% -0.730268%
0.850688% -2.574439% -1.055862% -6.938874%
-2.510995% -0.725911% -6.738509% -21.601200%
8.824976% 5.848334% 8.916299% 14.801615%
3.715587% 4.049004% 4.476240% -11.071005%
1.393712% 5.800892% 7.888393% 7.577403%
2.586328% 1.990530% -0.758589% 11.967681%
-3.842403% 0.228266% -0.913045% 5.544156%
0.484343% 1.220792% 2.092575% 3.387140%
eing
30.000000%
20.000000%
10.000000%
0.000000%
0.000000% 5.000000% 10.000000% 15.000000%
-10.000000%
-20.000000%
-30.000000%
-40.000000%
-50.000000%
-30.000000%
-40.000000%
-50.000000%
PROCTER S&P500
10%
-13.703562% -2.016345%
-43.438246% 9.247343%
5.433387% -3.113036%
10.985309% -2.200908%
-15.572596% 2.380125%
0.721594% -1.632664%
8.415775% 5.907777%
8.312427% -5.481668%
6.698565% -0.481217%
4.971567% -8.330652%
4.940106% 0.419481%
-8.507225% 3.419986%
-1.600838% -9.668148%
-11.602710% -6.620893%
-3.876740% 7.415663%
7.026885% 0.522690%
-0.405255% -2.520454%
11.002867% -1.064861%
4.594887% -6.610599%
-1.569115% -8.510700%
1.632944% 1.808680%
5.149431% 7.263397%
2.415073% 0.769491%
3.453744% -1.554676%
4.018877% -2.083527%
6.345189% 3.622969%
0.470555% -6.323507%
-0.507693% -0.897333%
0.002469% -7.506473%
-0.065715% -8.215026%
-0.100764% 0.501916%
1.102124% -11.641155%
-0.763919% 8.306404%
-4.251059% 5.565020%
1.936321% -6.207966%
-0.149429% -2.764788%
-4.150395% -1.700023%
8.700787% 0.847249%
1.176393% 7.807696%
2.450886% 4.979528%
-2.635301% 1.140824%
-1.197802% 1.624312%
-0.380221% 1.786496%
6.424656% -1.186662%
6.008049% 5.365388%
-1.825689% 0.725284%
3.994472% 4.966851%
1.476315% 1.727850%
1.686840% 1.228472%
2.567682% -1.634461%
1.145949% -1.678378%
2.182750% 1.216064%
-68.054366% 1.797880%
-4.015467% -3.474262%
7.351198% 0.243434%
-3.079170% 0.946995%
-5.303464% 1.406657%
4.677925% 3.801839%
3.229925% 3.209211%
-3.134420% -2.546613%
0.018677% 1.887655%
0.112366% -1.915314%
2.428639% -2.016390%
2.111910% 2.966184%
-4.167264% 0.000693%
5.597918% 3.548607%
0.012030% -1.113585%
7.210155% 0.707452%
-5.731038% -1.775038%
2.402629% 3.473085%
1.481317% -0.080324%
2.587660% 2.529758%
1.456938% 0.060261%
-3.631362% 1.118435%
1.283423% 1.223199%
-6.763384% -3.125530%
2.740054% 0.023622%
1.355389% 0.522254%
9.942375% 2.120074%
0.411190% 2.441899%
2.531470% 3.117145%
-0.668996% 1.648212%
2.611747% 1.268645%
1.211264% 1.411079%
-1.868252% -2.193869%
-0.239089% 1.008010%
2.226277% 4.252945%
-1.046630% 3.218034%
-3.502289% -1.782732%
1.371032% -3.235489%
5.709173% 1.293117%
7.701579% 3.531790%
-0.890582% 1.486317%
6.527094% -4.489317%
-0.504838% -0.851631%
-11.254802% -6.296429%
1.437061% -3.523009%
5.993677% -0.582780%
-4.123580% 4.660055%
-1.220625% 1.076720%
-7.983745% -8.973394%
7.681083% -0.975869%
6.627970% 1.226641%
0.167305% -9.503117%
-7.395132% -18.548687%
-0.012792% -7.764873%
-3.728967% 0.794075%
-12.320590% -8.940027%
-12.064395% -11.630693%
-1.985543% 8.210235%
5.151948% 8.992183%
5.214972% 5.187017%
-1.348438% 0.034543%
8.559902% 7.167159%
-2.272384% 3.315894%
7.086407% 3.524972%
0.420059% -1.981025%
7.514099% 5.592863%
-2.515352% 1.776416%
1.788036% -3.752553%
3.053980% 2.826436%
0.266229% 5.728238%
-1.487925% 1.480108%
-1.454319% -8.538204%
-1.551668% -5.523877%
2.230254% 6.666540%
-2.184367% -4.846219%
0.783539% 8.407809%
6.111755% 3.634262%
-3.730058% -0.214329%
5.482567% 6.340613%
-1.600966% 2.254260%
0.155230% 3.160621%
-2.044586% -0.089824%
5.500608% 2.824653%
3.466533% -1.344328%
-4.973063% -1.827662%
-3.044677% -2.155875%
3.781631% -5.831788%
-0.506242% -7.431751%
1.555936% 10.245621%
1.184342% -0.492187%
3.542529% 0.864617%
-5.376509% 4.280961%
7.295468% 3.993695%
-0.713739% -0.083939%
15.000000%

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Chapter 4.

Tool Kit for Risk and Return

Demand for the Probability of this Rate of Return on stock

EXPECTED RATE OF RETURN

Demand for the Probability of this Sale.com

Strong 0.3 100% 30%

MEASURING STAND-ALONE RISK: THE STANDARD DEVIATION

Std. Dev. = Square root of sum

MEASURING STAND-ALONE RISK: THE COEFFICIENT OF VARIATION

Stock Portfolio weight Expected Return

Portfolio's Expected Return 10.75%

Year Stock M returns Stock M' returns Portfolio MM'

Year Stock W returns Stock Y returns Portfolio WY

THE CONCEPT OF BETA

Regression Statistics Beta Coefficient for Stock H = 2.00

Coefficients Standard Error t Stat

Regression Output of Stock A Returns

Coefficients Standard Error t Stat

Coefficients Standard Error t Stat

CALCULATING THE BETA COEFFICIENT FOR AN ACTUAL COMPANY

Step 1. Acquire Data

Step 2. Calculate Returns

Now go to the bottom of the data, row 310.

Market Level (S&P 500

Average return (annual) -0.7%

Standard deviation (annual) 17.6%

Step 3. Examine the Data

Step 4. Plot the Data and Calculate Beta

Step 4. Interpret the Results

THE SECURITY MARKET LINE

We will look at two potential conditions as shown in the following columns:

Required Return 10.5% Required Return

0.00 0.50 1.00 1.50 2.00 2.50

r 4. Tool Kit for Risk and Return

ance. Generally speaking, it is totally logical to assume

ealized from an investment. It is determined as the weighted

differences of all the possible returns from the expected

calculated by dividing the standard deviation by the expected

xpected returns of the individual assets in the portfolio.

generally not a weighted average of individual standard

the other goes down by the same amount. We could use

ectly so, with the following returns. What is the portfolio's

tion. Click the wizard, then Statistical, then CORREL, and

wn with the market. An average-risk stock moves equally up

s => Data Analysis => Regression. This will yield the

Note: When you get the menu box on the

P-value Lower 95%

Beta Coefficient for Stock A is 1

P-value Lower 95%

P-value Lower 95%

t dividends) for GE to calculate returns. We used the percentage change

ected returns, and then plot the graph as a scatter diagram.

% 10% 20% 30%

% 10% 20% 30%

rn, due to changes in the beta coefficient. However, we can also

Scenario 2. Investors become more risk averse:

1.50 2.00 2.50

e, by creating a data table for the required return with

1.50 2.00 2.50

required rate of return on securities. However, the required

Probability of Occurrence Rate of Return Distribution

EXPECTED RATE OF RETURN AND STANDARD DEVIATION

To calculate the standard deviation, there are a few steps. First