"Año del Fortalecimiento de la Soberanía Nacional"

FACULTAD DE ADMINISTRACIÓN

Tarea Académica 3
Curso:
Diseño de Portafolio de Inversión
Integrantes:
Quequezana Manrique, Glenis Carolina
Tolentino Sifuentes, Miguel A.

Docente:
Vidarte Dávila, Helber

2022
NOTA: Todos los cálculos son realizados con datos tomados hasta el 01/11/22
ACTIVOS SUBYACENTES A CONSIDERAR:

DATOS PARA REALIZAR LOS CÁLCULOS:

FUTURO: ORO FUTURO: PLATA

Valores: Valores de cierre ajustados. Valores:
Periodo de tiempo: 01/11/2017 - 01/11/2022 Periodo de tiempo:
Frecuencia: Mensual Frecuencia:

Periodos ORO Periodos

1-Oct-22 1635.9 1-Oct-22
1-Sep-22 1662.4 1-Sep-22
1-Aug-22 1712.8 1-Aug-22
1-Jul-22 1762.9 1-Jul-22
1-Jun-22 1804.1 1-Jun-22
1-Apr-22 1909.3 1-Apr-22
1-Mar-22 1949.2 1-Mar-22
1-Feb-22 1899.4 1-Feb-22
1-Jan-22 1795 1-Jan-22
1-Dec-21 1827.5 1-Dec-21
1-Nov-21 1773.6 1-Nov-21
1-Oct-21 1783 1-Oct-21
1-Sep-21 1755.3 1-Sep-21
1-Jul-21 1812.6 1-Jul-21
1-Jun-21 1770.8 1-Jun-21
1-May-21 1902.5 1-May-21
1-Apr-21 1767.3 1-Apr-21
1-Mar-21 1713.8 1-Mar-21
1-Feb-21 1728.1 1-Feb-21
1-Jan-21 1847.3 1-Jan-21
1-Dec-20 1893.1 1-Dec-20
1-Oct-20 1877.4 1-Oct-20
1-Sep-20 1887.5 1-Sep-20
1-Aug-20 1967.6 1-Aug-20
1-Jul-20 1962.8 1-Jul-20
1-Jun-20 1793 1-Jun-20
1-May-20 1736.9 1-May-20
1-Apr-20 1684.2 1-Apr-20
1-Feb-20 1564.1 1-Feb-20
1-Jan-20 1582.9 1-Jan-20
1-Nov-19 1465.6 1-Nov-19
1-Oct-19 1511.4 1-Oct-19
1-Aug-19 1519.1 1-Aug-19
1-Jul-19 1426.1 1-Jul-19
1-Jun-19 1409.7 1-Jun-19
1-May-19 1305.8 1-May-19
1-Apr-19 1282.8 1-Apr-19
1-Mar-19 1293 1-Mar-19
1-Feb-19 1312.8 1-Feb-19
1-Jan-19 1319.7 1-Jan-19
1-Dec-18 1278.3 1-Dec-18
1-Nov-18 1220.2 1-Nov-18
1-Oct-18 1212.3 1-Oct-18
1-Sep-18 1191.5 1-Sep-18
1-Aug-18 1200.3 1-Aug-18
1-Jun-18 1251.3 1-Jun-18
1-May-18 1300.1 1-May-18
1-Mar-18 1322.8 1-Mar-18
1-Feb-18 1315.5 1-Feb-18
1-Jan-18 1339 1-Jan-18
1-Dec-17 1306.3 1-Dec-17
1-Nov-17 1273.2 1-Nov-17
 FUTURO: PETRÓLEO
Valores de cierre ajustados. Valores: Valores de cierre ajustados.
01/11/2017 - 01/11/2022 Periodo de tiempo: 01/11/2017 - 01/11/2022
Mensual Frecuencia: Mensual

PLATA Periodos PETRÓLEO

19.125 1-Oct-22 86.53
18.96 1-Sep-22 79.49
17.762 1-Aug-22 89.55
20.156 1-Jul-22 98.62
20.282 1-Jun-22 105.76
23.04 1-Apr-22 104.69
25.121 1-Mar-22 100.28
24.361 1-Feb-22 95.72
22.395 1-Jan-22 88.15
23.328 1-Dec-21 75.21
22.765 1-Nov-21 66.18
23.945 1-Oct-21 83.57
22.021 1-Sep-21 75.03
25.528 1-Jul-21 73.95
26.165 1-Jun-21 73.47
27.993 1-May-21 66.32
25.853 1-Apr-21 63.58
24.517 1-Mar-21 59.16
26.402 1-Feb-21 61.5
26.9 1-Jan-21 52.2
26.332 1-Dec-20 48.52
23.617 1-Oct-20 35.79
23.433 1-Sep-20 40.22
28.437 1-Aug-20 42.61
24.189 1-Jul-20 40.27
18.541 1-Jun-20 39.27
18.44 1-May-20 35.49
14.898 1-Apr-20 18.84
16.387 1-Feb-20 44.76
17.972 1-Jan-20 51.56
16.969 1-Nov-19 55.17
18.014 1-Oct-19 54.18
18.185 1-Aug-19 55.1
16.346 1-Jul-19 58.58
15.253 1-Jun-19 58.47
14.53 1-May-19 53.5
14.9 1-Apr-19 63.91
15.06 1-Mar-19 60.14
15.538 1-Feb-19 57.22
16.022 1-Jan-19 53.79
15.433 1-Dec-18 45.41
14.094 1-Nov-18 50.93
14.229 1-Oct-18 65.31
14.623 1-Sep-18 73.25
14.438 1-Aug-18 69.8
16.104 1-Jun-18 74.15
16.402 1-May-18 67.04
16.223 1-Mar-18 64.94
16.324 1-Feb-18 61.64
17.204 1-Jan-18 64.73
17.06 1-Dec-17 60.42
16.382 1-Nov-17 57.4
Aplicación de los cálculos y fórmulas necesarios para el cálculo de Beta

Periodos ORO PLATA PETRÓLEO

1-Oct-22 1635.9 19.125 86.53
1-Sep-22 1662.4 18.96 79.49
1-Aug-22 1712.8 17.762 89.55
1-Jul-22 1762.9 20.156 98.62
1-Jun-22 1804.1 20.282 105.76
1-Apr-22 1909.3 23.04 104.69
1-Mar-22 1949.2 25.121 100.28
1-Feb-22 1899.4 24.361 95.72
1-Jan-22 1795 22.395 88.15
1-Dec-21 1827.5 23.328 75.21
1-Dec-17 1306.3 17.06 60.42
1-Nov-17 1273.2 16.382 57.4

Hallando la rentabilidad esperada:

Rent. Oro Rent. Plata Rent. Petróleo
R. Esp. = 0.5643% 0.6750% 2.4045%

PORTAFOLIO ORO vs PETRÓLEO

Hallando la covarianza: Oro vs Petróleo
Covarianza = -0.0362%

Portafolio Peso Oro (%W) Peso Petr. (%W) Peso Total

1 100% 0% 100%
2 95.00% 5% 100%
M 94.80% 5% 100%
3 90.00% 10% 100%
4 85.00% 15% 100%
5 80.00% 20% 100%
O 79.15% 21% 100%
6 75.00% 25% 100%
7 70.00% 30% 100%
8 65.00% 35% 100%
9 60.00% 40% 100%
 10 55.00% 45% 100%
11 50.00% 50% 100%
12 45.00% 55% 100%
13 40.00% 60% 100%
14 35.00% 65% 100%
15 30.00% 70% 100%
16 25.00% 75% 100%
17 20.00% 80% 100%
18 15.00% 85% 100%
19 10.00% 90% 100%
20 5.00% 95% 100%
21 0.00% 100% 100%
22 -5.00% 105% 100%
23 -10.00% 110% 100%
24 -15.00% 115% 100%
25 -20.00% 120% 100%
26 -25.00% 125% 100%
27 -30.00% 130% 100%
28 -35.00% 135% 100%
29 -40.00% 140% 100%
30 -45.00% 145% 100%

PORTAFOLIO ORO vs PLATA

Hallando la covarianza: Oro vs Plata
Covarianza = 0.2086%

Portafolio Peso Oro (%W) Peso Plata (%W) Peso Total

1 100% 0% 100%
2 95.00% 5% 100%
3 90.00% 10% 100%
4 85.00% 15% 100%
5 80.00% 20% 100%
 6 75.00% 25% 100%
7 70.00% 30% 100%
8 65.00% 35% 100%
9 60.00% 40% 100%
10 55.00% 45% 100%
11 50.00% 50% 100%
12 45.00% 55% 100%
13 40.00% 60% 100%
14 35.00% 65% 100%
15 30.00% 70% 100%
16 25.00% 75% 100%
17 20.00% 80% 100%
18 15.00% 85% 100%
19 10.00% 90% 100%
20 5.00% 95% 100%
21 0.00% 100% 100%
22 -5.00% 105% 100%
23 -10.00% 110% 100%
24 -15.00% 115% 100%
25 -20.00% 120% 100%
26 -25.00% 125% 100%
27 -30.00% 130% 100%
28 -35.00% 135% 100%
29 -40.00% 140% 100%
30 -45.00% 145% 100%

PORTAFOLIO PLATA vs PETRÓLEO

Hallando la covarianza: Plata vs Petróleo
Covarianza = 0.7287%

Portafolio Peso Plata (%W) Peso Petr. (%W) Peso Total

1 100% 0% 100%
2 95.00% 5% 100%
3 90.00% 10% 100%
4 85.00% 15% 100%
5 80.00% 20% 100%
6 75.00% 25% 100%
7 70.00% 30% 100%
8 65.00% 35% 100%
9 60.00% 40% 100%
10 55.00% 45% 100%
11 50.00% 50% 100%
12 45.00% 55% 100%
13 40.00% 60% 100%
14 35.00% 65% 100%
15 30.00% 70% 100%
16 25.00% 75% 100%
17 20.00% 80% 100%
18 15.00% 85% 100%
19 10.00% 90% 100%
20 5.00% 95% 100%
21 0.00% 100% 100%
22 -5.00% 105% 100%
23 -10.00% 110% 100%
24 -15.00% 115% 100%
25 -20.00% 120% 100%
26 -25.00% 125% 100%
27 -30.00% 130% 100%
28 -35.00% 135% 100%
29 -40.00% 140% 100%
30 -45.00% 145% 100%
 Rent. Oro Rent. Plata Rent. Petróleo

-1.5941% 0.8703% 8.8565%

-2.9426% 6.7447% -11.2339%
-2.8419% -11.8774% -9.1969%
-2.2837% -0.6212% -6.7511%
-5.5099% -11.9705% 1.0221%
-2.0470% -8.2839% 4.3977%
2.6219% 3.1197% 4.7639%
5.8162% 8.7787% 8.5876%
-1.7784% -3.9995% 17.2052%
2.5033% 0.8441% 7.1334%
2.5997% 4.1387% 5.2613%

Hallando la desviación (riesgo):

Desv. Oro Desv. Plata
Desviación = 3.8492% 8.8924%

V. Porcentual = 5.0%
Rend. Libre R. = 0.20%

Var. Port. Desv. Port. (Sp) Rend. Port. (%P) Rent/ Volatilidad
0.15% 3.85% 0.56% 0.095
0.14% 3.72% 0.66% 0.123
0.14% 3.72% 0.66% 0.124
0.15% 3.83% 0.75% 0.143
0.17% 4.15% 0.84% 0.154
0.22% 4.65% 0.93% 0.158
0.23% 4.75% 0.95% 0.158
0.28% 5.27% 1.02% 0.157
0.36% 5.97% 1.12% 0.154
0.45% 6.73% 1.21% 0.150
0.57% 7.53% 1.30% 0.146
 0.70% 8.36% 1.39% 0.143
0.85% 9.22% 1.48% 0.139
1.02% 10.08% 1.58% 0.136
1.20% 10.96% 1.67% 0.134
1.41% 11.85% 1.76% 0.132
1.63% 12.75% 1.85% 0.130
1.86% 13.65% 1.94% 0.128
2.12% 14.56% 2.04% 0.126
2.39% 15.47% 2.13% 0.125
2.69% 16.39% 2.22% 0.123
2.99% 17.30% 2.31% 0.122
3.32% 18.22% 2.40% 0.121
3.67% 19.15% 2.50% 0.120
4.03% 20.07% 2.59% 0.119
4.41% 21.00% 2.68% 0.118
4.81% 21.92% 2.77% 0.117
5.22% 22.85% 2.86% 0.117
5.65% 23.78% 2.96% 0.116
6.11% 24.71% 3.05% 0.115
6.57% 25.64% 3.14% 0.115
7.06% 26.57% 3.23% 0.114

V. Porcentual = 5.0%
Rend. Libre R. = 0.20%

Var. Port. Desv. Port. (Sp) Rend. Port. (%P) Rent/ Volatilidad
0.15% 3.85% 0.56% 0.095
0.16% 3.94% 0.57% 0.094
0.17% 4.07% 0.58% 0.092
0.18% 4.22% 0.58% 0.090
0.19% 4.40% 0.59% 0.088
 0.21% 4.59% 0.59% 0.085
0.23% 4.81% 0.60% 0.083
0.25% 5.04% 0.60% 0.080
0.28% 5.29% 0.61% 0.077
0.31% 5.55% 0.61% 0.075
0.34% 5.82% 0.62% 0.072
0.37% 6.10% 0.63% 0.070
0.41% 6.39% 0.63% 0.067
0.45% 6.69% 0.64% 0.065
0.49% 6.99% 0.64% 0.063
0.53% 7.30% 0.65% 0.061
0.58% 7.61% 0.65% 0.060
0.63% 7.92% 0.66% 0.058
0.68% 8.24% 0.66% 0.056
0.73% 8.57% 0.67% 0.055
0.79% 8.89% 0.67% 0.053
0.85% 9.22% 0.68% 0.052
0.91% 9.55% 0.69% 0.051
0.98% 9.88% 0.69% 0.050
1.04% 10.22% 0.70% 0.049
1.11% 10.56% 0.70% 0.048
1.19% 10.89% 0.71% 0.047
1.26% 11.23% 0.71% 0.046
1.34% 11.58% 0.72% 0.045
1.42% 11.92% 0.72% 0.044

V. Porcentual = 5.0%
Rend. Libre R. = 0.20%

Var. Port. Desv. Port. (Sp) Rend. Port. (%P) Rent/ Volatilidad
0.79% 8.89% 0.67% 0.053
0.79% 8.89% 0.76% 0.063
0.80% 8.97% 0.85% 0.072
0.83% 9.12% 0.93% 0.081
0.87% 9.34% 1.02% 0.088
0.93% 9.62% 1.11% 0.094
0.99% 9.96% 1.19% 0.100
1.07% 10.36% 1.28% 0.104
1.17% 10.80% 1.37% 0.108
1.27% 11.28% 1.45% 0.111
1.39% 11.80% 1.54% 0.114
1.53% 12.35% 1.63% 0.115
1.67% 12.93% 1.71% 0.117
1.83% 13.53% 1.80% 0.118
2.00% 14.16% 1.89% 0.119
2.19% 14.80% 1.97% 0.120
2.39% 15.46% 2.06% 0.120
2.60% 16.13% 2.15% 0.121
2.83% 16.82% 2.23% 0.121
3.07% 17.52% 2.32% 0.121
3.32% 18.22% 2.40% 0.121
3.59% 18.94% 2.49% 0.121
3.87% 19.66% 2.58% 0.121
4.16% 20.39% 2.66% 0.121
4.46% 21.13% 2.75% 0.121
4.78% 21.87% 2.84% 0.121
5.12% 22.62% 2.92% 0.120
5.46% 23.37% 3.01% 0.120
5.82% 24.13% 3.10% 0.120
6.19% 24.88% 3.18% 0.120
 Desv. Petróleo
18.2249%

Frontera Eficiente - Máximo - Mínimo

Chart Title

3.50%

3.00%

2.50%
IMIENTO

2.00%
 2.50%

RENDIMIENTO
2.00%

1.50%

1.00%

0.50%

0.00%
0.00% 5.00% 10.00% 15.00% 20.00% 25.0
RIESGO (Desviación Estándar)

Frontera Eficiente - Máximo - Mínimo

Chart Title

0.75%

0.70%
 0.75%

0.70%

0.65%
RENDIMIENTO

0.60%

0.55%

0.50%
2.00% 4.00% 6.00% 8.00%
RIESGO (Desviación Es

Frontera Eficiente - Máximo - Mínimo

Chart Title

3.60%
 Chart Title

3.60%

3.10%

2.60%
RENDIMIENTO

2.10%

1.60%

1.10%

0.60%

0.10%
7.00% 9.00% 11.00% 13.00% 15.00% 17.00% 1
RIESGO (Desviación Es
0.00% 25.00% 30.00%
dar)

Chart Title
 8.00% 10.00% 12.00% 14.00%
O (Desviación Estándar)

Chart Title
 Chart Title

.00% 17.00% 19.00% 21.00% 23.00% 25.00% 27.00%

O (Desviación Estándar)