PFE MSFT PHM

PFE 0.00159736
MSFT -0.00031969 0.00369119
PHM 0.00115017 0.00261274 0.01224421
 PFE MSFT PHM
PFE 1
MSFT -0.1316573 1
PHM 0.26007442 0.38864046 1
 Precios Ajustados (USD) Retornos mensuales PFE
Fecha PFE MSFT PHM
Diferencias con
8/1/2013 28.21 33.40 15.39 Probab. PFE MSFT PHM el promedio
7/1/2013 29.23 31.62 16.58 1/23 -3.49% 5.63% -7.18% -5.9%
6/3/2013 27.78 34.30 18.91 1/23 5.22% -7.81% -12.32% 2.8%
5/1/2013 27.01 34.66 21.53 1/23 2.85% -1.04% -12.17% 0.4%
4/1/2013 28.60 32.64 20.93 1/23 -5.56% 6.19% 2.87% -8.0%
3/1/2013 28.39 28.21 20.18 1/23 0.74% 15.70% 3.72% -1.7%
2/1/2013 26.92 27.41 19.12 1/23 5.46% 2.92% 5.54% 3.0%
1/2/2013 26.84 26.85 20.68 1/23 0.30% 2.09% -7.54% -2.2%
12/3/2012 24.46 26.12 18.11 1/23 9.73% 2.79% 14.19% 7.3%
11/1/2012 24.40 26.03 16.76 1/23 0.25% 0.35% 8.05% -2.2%
10/1/2012 24.04 27.68 17.29 1/23 1.50% -5.96% -3.07% -1.0%
9/4/2012 24.02 28.87 15.45 1/23 0.08% -4.12% 11.91% -2.4%
8/1/2012 23.06 29.90 13.64 1/23 4.16% -3.44% 13.27% 1.7%
7/2/2012 23.02 28.40 11.27 1/23 0.17% 5.28% 21.03% -2.3%
6/1/2012 22.03 29.48 10.67 1/23 4.49% -3.66% 5.62% 2.0%
5/1/2012 20.94 28.13 9.33 1/23 5.21% 4.80% 14.36% 2.7%
4/2/2012 21.72 30.65 9.81 1/23 -3.59% -8.22% -4.89% -6.0%
3/1/2012 21.48 30.88 8.82 1/23 1.12% -0.74% 11.22% -1.3%
2/1/2012 20.04 30.39 8.79 1/23 7.19% 1.61% 0.34% 4.7%
1/3/2012 20.08 28.09 7.43 1/23 -0.20% 8.19% 18.30% -2.7%
12/1/2011 20.31 24.69 6.29 1/23 -1.13% 13.77% 18.12% -3.6%
11/1/2011 18.84 24.33 6.09 1/23 7.80% 1.48% 3.28% 5.3%
10/3/2011 17.90 25.14 5.16 1/23 5.25% -3.22% 18.02% 2.8%
9/1/2011 16.43 23.50 3.94 1/23 8.95% 6.98% 30.96% 6.5%

Retorno esperado 2.5% 1.7% 6.7%

Varianza 0.16% 0.37% 1.22%

Desviación estándar 4.00% 6.1% 11.1%

Coeficiente de variación

Desempeño

Covarianzas
 A, B
PFE MSFT PHM  A, B 
PFE 0.16%  A * B
MSFT -0.03% 0.37%
PHM 0.12% 0.26% 1.22%

Correlaciones
PFE MSFT PHM
PFE 1
MSFT -0.13166 1
PHM 0.26007 0.38864 1

El retorno esperado del

Portafolio de 2 activos portafolio es el promedio
ponderado de los retornos
Retorno esperado del portafolio
WA 50.0% PFE
WB 50.0% MSFT R p  w A R A  w B RB
100.0%
Retorno esperado p {50% PFE; 50% MSFT} 2.09%

Portafolio de partes iguales Riesgo del portafolio

 p  w A2  2
A  w B2  2
B  2 w A w B A ,B
PFE
0.5 0.5 MSFT
Varianza 0.1162%
Desv. Est. 3.41%

El riesgo del portafolio NO es

el promedio de los riesgos
 w A * w A *  A, A  w A * w B *  A, B 0.0399% -0.0080%

 w A * w B *  A, B  wB * wB * B ,B
-0.0080% 0.0923%

 w A * w A *  A, A
σ A,A = Varianza A
Desempeño
portafolio 0.61 DP = Retorno P / Riesgo P
 w A * w A *  A, A
σ A,B Covarianza de A y B
varianza0=covarianza A.A

Portafolio de mínimo riesgo

Portafolio de mínimo riesgo
Encontrar el portafolio de
mínima varianza significa
32% hallar las proporciones wA y
PFE
wB que minimizan el riesgo
MSFT de la cartera
68%

Con las nuevas proporciones, WA*= 67.7% PFE

67.7% y 32.3%, la desviación
estándar de la cartera es la WB*= 32.3% MSFT
más baja posible: 3.13% 100.0%

 w A * w A *  A, A  w A * wB *  A, B
Retorno 2.22%
0.0731% -0.0070%
Varianza 0.0977%
 w A * w B *  A, B  wB * wB * -0.0070% 0.0386% Desv. Est. 3.13%
B ,B

Desempeño
portafolio 0.71 DesempeñoPortafolio = Retorno P / Riesgo P

Portafolio de máximo desempeño

Portafolio de máximo desempeño

27% WA*= 73.1% PFE

PFE WB*= 26.9% MSFT
MSFT 100.0%
73%

 w A * w A *  A, A  w A * wB *  A, B
Retorno 2.26%
0.0854% -0.0063%
Varianza 0.0995%
 w A * w B *  A, B  wB * wB * -0.0063% 0.0266% Desv. Est. 3.15%
B ,B

Desempeño
portafolio 0.72 DP = Retorno P / Riesgo P

Portafolio de 3 (o más) activos

Retorno esperado del portafolio
WA 33.3% PFE
WB 33.3% MSFT R p  wA R A  wB RB  wC RC
WC 33.3% PHM
100.0%
Retorno esperado del portafolio de partes iguales
p {33% PFE; 33% MSFT; 33% PHM} 3.62%
Portafolio de partes iguales

Riesgo del portafolio

PFE
 w A * w A *  A, A
0.333333333333333
0.333333333333333
MSFT PFE MSFT PHM
PHM

0.333333333333333 PFE 0.0177% -0.0036% 0.0128%  w A * w B *  A, B

MSFT -0.0036% 0.0410% 0.0290%

PHM 0.0128% 0.0290% 0.1360%

 w C * w C *  C ,C

Varianza 0.2713%
Desv. Est. 5.21%

Desempeño
portafolio 0.69
 Portafolio de mínima varianza
Portafolio de mínimo riesgo
WA*= 67.7% PFE
WB*= 32.3% MSFT
0.323392511527191 PFE WC*= 0.0% PHM
MSFT 100.0%
PHM
0.676607472119486

Retorno del
2.22%
portafolio
 PFE MSFT PHM

PFE 0.0731% -0.0070% 0.0000% wA * wA * COVAR(A;A) wA * wB * COVAR(A;B) wA * wC * COVAR(A;C)

MSFT -0.0070% 0.0386% 0.0000% wB * wA * COVAR(B;A) wB * wB * COVAR(B;B) wB * wC * COVAR(B;C)

PHM 0.0000% 0.0000% 0.0000% wC * wA * COVAR(C;A) wC * wB * COVAR(C;B) wC * wC * COVAR(C;C)

Varianza 0.0977%
Desv. Estand. 3.13%

Desempeño
portafolio 0.71

Portafolio de máximo desempeño

Portafolio de máximo desempeño
WA*= 66.5% PFE
WB*= 16.6% MSFT
0.169586334584047 WC*= 17.0% PHM
PFE
MSFT
100.0%
0.1657894366229
0.664624228793053 PHM

Retorno del
3.05%
portafolio

PFE (A) MSFT (B) PHM (C)

PFE (A) 0.0706% -0.0035% 0.0130% wA * wA * COVAR(A;A) wA * wB * COVAR(A;B) wA * wC * COVAR(A;C)

MSFT (B) -0.0035% 0.0101% 0.0073% wB * wA * COVAR(B;A) wB * wB * COVAR(B;B) wB * wC * COVAR(B;C)

PHM (C) 0.0130% 0.0073% 0.0352% wC * wA * COVAR(C;A) wC * wB * COVAR(C;B) wC * wC * COVAR(C;C)

Varianza 0.1495%
Desv. Estand. 3.87%

Desempeño
portafolio 0.79
 PFE MSFT PHM

Cuadrado de las Cuadrad * Prob Diferencias con Cuadrado de las Cuadrad * Prob Diferencias con Cuadrado de las Cuadrad * Prob
diferencias el promedio diferencias el promedio diferencias
0.004 0.0002 3.9% 0.002 0.0001 -13.9% 0.019 0.0008
0.001 0.0000 -9.5% 0.009 0.0004 -19.0% 0.036 0.0016
0.000 0.0000 -2.8% 0.001 0.0000 -18.9% 0.036 0.0015
0.006 0.0003 4.5% 0.002 0.0001 -3.8% 0.001 0.0001
0.000 0.0000 14.0% 0.020 0.0009 -3.0% 0.001 0.0000
0.001 0.0000 1.2% 0.000 0.0000 -1.1% 0.000 0.0000
0.000 0.0000 0.4% 0.000 0.0000 -14.2% 0.020 0.0009
0.005 0.0002 1.1% 0.000 0.0000 7.5% 0.006 0.0002
0.000 0.0000 -1.4% 0.000 0.0000 1.4% 0.000 0.0000
0.000 0.0000 -7.7% 0.006 0.0003 -9.7% 0.009 0.0004
0.001 0.0000 -5.8% 0.003 0.0001 5.2% 0.003 0.0001
0.000 0.0000 -5.2% 0.003 0.0001 6.6% 0.004 0.0002
0.001 0.0000 3.6% 0.001 0.0001 14.3% 0.021 0.0009
0.000 0.0000 -5.4% 0.003 0.0001 -1.1% 0.000 0.0000
0.001 0.0000 3.1% 0.001 0.0000 7.7% 0.006 0.0003
0.004 0.0002 -9.9% 0.010 0.0004 -11.6% 0.013 0.0006
0.000 0.0000 -2.5% 0.001 0.0000 4.5% 0.002 0.0001
0.002 0.0001 -0.1% 0.000 0.0000 -6.3% 0.004 0.0002
0.001 0.0000 6.5% 0.004 0.0002 11.6% 0.014 0.0006
0.001 0.0001 12.1% 0.015 0.0006 11.4% 0.013 0.0006
0.003 0.0001 -0.2% 0.000 0.0000 -3.4% 0.001 0.0001
0.001 0.0000 -4.9% 0.002 0.0001 11.3% 0.013 0.0006
0.004 0.0002 5.3% 0.003 0.0001 24.3% 0.059 0.0026

Varianza 0.16% Varianza 0.37% Varianza 1.22%

Desv. Estand. 4.0% Desv. Estand. 6.1% Desv. Estand. 11.1%

peñoPortafolio = Retorno P / Riesgo P
 Distribución de frecuecias PFE y MSFT
Intervalos PFE MSFT PHM (A) = PFE (B) = MSFT (C)
Diferencias con Diferencias con
-15% 0 0 0 el promedio el promedio (A) * (B) * P
-10% 0 0 2 -5.9% 3.9% -0.01%
-5% 1 3 2 2.8% -9.5% -0.01%
0% 4 6 2 0.4% -2.8% 0.00%
5% 10 7 4 -8.0% 4.5% -0.02%
10% 8 5 3 -1.7% 14.0% -0.01%
15% 0 1 5 3.0% 1.2% 0.00%
20% 0 1 3 -2.2% 0.4% 0.00%
25% 0 0 1 7.3% 1.1% 0.00%
30% 0 0 0 -2.2% -1.4% 0.00%
35% 0 0 1 -1.0% -7.7% 0.00%
-2.4% -5.8% 0.01%
1.7% -5.2% 0.00%
Retornos esperados -2.3% 3.6% 0.00%
12 2.0% -5.4% 0.00%
2.7% 3.1% 0.00%
10
-6.0% -9.9% 0.03%
8 -1.3% -2.5% 0.00%
4.7% -0.1% 0.00%
6 -2.7% 6.5% -0.01%
4
-3.6% 12.1% -0.02%
5.3% -0.2% 0.00%
2 2.8% -4.9% -0.01%
6.5% 5.3% 0.01%
0
-15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35%

PFE MSFT PHM

Covarianza -0.03%

Covarianza
 PFE y PHM MSFT Y PHM
(A) = PFE (B) = PHM (A) = MSFT (B) = PHM
(A) * (B) * P (A) * (B) * P
Diferencias con Diferencias con Diferencias con Diferencias con
el promedio el promedio el promedio el promedio Corelación
-5.9% -13.9% 0.04% 3.9% -13.9% -0.02% PFE, MSFT -0.1317
2.8% -19.0% -0.02% -9.5% -19.0% 0.08% PFE, PHM 0.2601
0.4% -18.9% 0.00% -2.8% -18.9% 0.02% MSFT, PHM 0.39
-8.0% -3.8% 0.01% 4.5% -3.8% -0.01%
-1.7% -3.0% 0.00% 14.0% -3.0% -0.02%
3.0% -1.1% 0.00% 1.2% -1.1% 0.00%
-2.2% -14.2% 0.01% 0.4% -14.2% 0.00%
7.3% 7.5% 0.02% 1.1% 7.5% 0.00%
-2.2% 1.4% 0.00% -1.4% 1.4% 0.00%
-1.0% -9.7% 0.00% -7.7% -9.7% 0.03%
-2.4% 5.2% -0.01% -5.8% 5.2% -0.01%
1.7% 6.6% 0.00% -5.2% 6.6% -0.01%
-2.3% 14.3% -0.01% 3.6% 14.3% 0.02%
2.0% -1.1% 0.00% -5.4% -1.1% 0.00%
2.7% 7.7% 0.01% 3.1% 7.7% 0.01%
-6.0% -11.6% 0.03% -9.9% -11.6% 0.05%
-1.3% 4.5% 0.00% -2.5% 4.5% 0.00%
4.7% -6.3% -0.01% -0.1% -6.3% 0.00%
-2.7% 11.6% -0.01% 6.5% 11.6% 0.03%
-3.6% 11.4% -0.02% 12.1% 11.4% 0.06%
5.3% -3.4% -0.01% -0.2% -3.4% 0.00%
2.8% 11.3% 0.01% -4.9% 11.3% -0.02%
6.5% 24.3% 0.07% 5.3% 24.3% 0.06%

Covarianza 0.12% Covarianza 0.26%

Covarianza Covarianza
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
1 2 3 4 5 6 7
-5.00%
-10.00%
-15.00%
 1 2 3

PFE MSFT PFE PHM MSFT PHM PFE y MSF

-3.5% 5.6% -3.5% -7.18% 5.6% -7.18%
20.0%
5.2% -7.8% 5.2% -12.32% -7.8% -12.32%
2.9% -1.0% 2.9% -12.17% -1.0% -12.17% 15.0%
-5.6% 6.2% -5.6% 2.87% 6.2% 2.87%
0.7% 15.7% 0.7% 3.72% 15.7% 3.72% 10.0%

5.5% 2.9% 5.5% 5.54% 2.9% 5.54%

5.0%
0.3% 2.1% 0.3% -7.54% 2.1% -7.54%
9.7% 2.8% 9.7% 14.19% 2.8% 14.19% 0.0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
0.2% 0.3% 0.2% 8.05% 0.3% 8.05%
-5.0%
1.5% -6.0% 1.5% -3.07% -6.0% -3.07%
0.1% -4.1% 0.1% 11.91% -4.1% 11.91% -10.0%
4.2% -3.4% 4.2% 13.27% -3.4% 13.27%
0.2% 5.3% 0.2% 21.03% 5.3% 21.03% PFE MSFT

4.5% -3.7% 4.5% 5.62% -3.7% 5.62%

5.2% 4.8% 5.2% 14.36% 4.8% 14.36%
-3.6% -8.2% -3.6% -4.89% -8.2% -4.89% PFE y PHM
1.1% -0.7% 1.1% 11.22% -0.7% 11.22% 35.0%
7.2% 1.6% 7.2% 0.34% 1.6% 0.34% 30.0%
-0.2% 8.2% -0.2% 18.30% 8.2% 18.30% 25.0%
-1.1% 13.8% -1.1% 18.12% 13.8% 18.12% 20.0%
7.8% 1.5% 7.8% 3.28% 1.5% 3.28% 15.0%
5.3% -3.2% 5.3% 18.02% -3.2% 18.02% 10.0%
8.9% 7.0% 8.9% 30.96% 7.0% 30.96% 5.0%
0.0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
-5.0%
-10.0%
PFE, MSFT y PHM -15.0%
35.00%
PFE PHM
30.00%
25.00%
20.00% MSFT y PHM
15.00%
35.0%
10.00% 30.0%
5.00% 25.0%
0.00% 20.0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 15.0%
-5.00% 10.0%
-10.00% 5.0%
-15.00% 0.0%
-5.0% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
PFE MSFT PHM -10.0%
-15.0%

MSFT PHM