Creciemento

esperado
(anual)

Emisora Bursatil
Femsa
Bimbo
ICA
America Movil
Alsea

KOEFL.MX
BIMBOA.MX
ICA.MX
AMXL.MX
ALSEA.MX

BIMBO
Close
40.61
40.66
40.83
41.14
41.39
41.51
41.38
41.08
41.77
42.58
42.1
42.05
41.82
42
42.5
42.5
43.63
42.5
43.08
41.91
42.12
42.35
41.9
42.49
43.23
43.64
43.87
43.87
43.12
43.54
43.75
43
42.65

ICA
Close
12.05
11.98
11.82
12.17
12.17
12.03
12.19
11.96
11.95
12.03
12.05
11.97
11.83
11.78
11.73
11.73
11.42
11.06
11.66
11.4
11.06
10.91
10.25
10.11
10.22
10.13
10.49
10.32
10.13
10.2
10.28
10.12
9.7

Ganancias
estimadas
(promedio
anual)

12.90%
19.20%
20.20%
18.70%
15.60%
Am. Movil
Close
16.58
16.76
16.4
16.53
16.5
16.36
16.71
16.31
16.23
16.31
16.51
16.56
16.31
16.45
16.23
16.4
16.11
15.85
15.76
15.45
15.19
15.45
15.36
15.26
15.67
15.75
15.99
15.87
15.84
15.66
15.88
15.52
15.35

5.66
1.55
1.15
1.01
1.37
ALSEA
Close
47.32
47.46
48.3
49.12
48.67
48.2
48.85
49.08
50.09
50.38
51.01
51.29
50.61
51.34
51.39
53.62
52.74
51.95
52.17
51.73
50.45
51.2
53.14
53.22
52.42
52.91
53.01
53.44
53
52.37
53.2
52.34
52.13

42.02
41.8
42.1
41.79
40.98
41.14
40.36
39.12
39.69
40.1
42.33

8.86
8.26
8.24
8.13
8.03
7.35
6.35
6.35
6.71
6.75
6.76

15.08
15.16
15.47
15.52
15.56
15.28
15.04
14.91
15.06
15
15.56

Desv. Estd
Rent. Esperada
Covarianza
Varianza
Beta

BIMBO
0.0155720365
0.109%
0.00010435
0.000242488
0.4303373283

ICA
0.0342976924
-1.274%
0.00017068
0.001176332
0.1450945185

Am. Movil
0.0144989364
-0.137%
0.00010848
0.000210219
0.5160481687

0.5096167545

0.2810390367

0.6353128005

13%
0.0555135154
0.3532457708

19%
0.0278581475

20%
0.1042417301

Coeficiente de
correlacin
Rend. Esperado
Beta Portafolio

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

51.9
51.55
51.99
51.71
51.2
50.46
49.01
48.56
48.94
48.76
50.52

Matriz de Desviaciones Estandar

BIMBO
ICA
Am. Movil
1.231%
2.411%
1.305%
2.411%
1.305%
1.438%
0.983%

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

BIMBO
1.00
0.3960221708
0.4509274102
0.356589193
0.4791267453

Matriz de Correlaciones
ICA
Am. Movil
0.396022171
0.450927410
1
0.4527159874
0.4527159874
1
0.343153572
0.5061054556
0.280203098
0.5165921644

BIMBO
ICA

BIMBO
0.000151484
0.000117525

Matriz Varianza Covarianza

ICA
Am. Movil
0.000117525
0.000072410
0.000581367
0.000142416

Am. Movil
ALSEA
FEMSA

0.000072410
0.000063133
0.000057987

Emisora
BIMBO
ICA
Am. Movil
ALSEA
FEMSA
Total

0.000170222
0.000094985
0.000066276

%Participacion Rend. Anual

Beta
24%
12.90%
0.0279496616
20%
19.20%
-0.0052348254
20%
20.20%
0.1000496087
20%
18.70%
0.0357062818
20%
15.60%
0.1385319698
104%
0.2970026964

Rend. Portafolio
Desv. Estd
Act. Libre de riesgo

17.87%
1.1277%
3.37%

BIMBO
0.000008930
0.000005707
0.000003516
0.000003066
0.000002816

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

PORTAFOLIO DE
MARKOWITZ

0.000142416
0.000119020
0.000066435

Radio Sharpe

Matriz Varianza Covarianza

ICA
Am. Movil
0.000005707
0.000003516
0.000023255
0.000005697
0.000005697
0.000006809
0.000004761
0.000003799
0.000002657
0.000002651

DESVIACION
RENDIMIENTO
ESTNDAR
ESPERADO
Radio SHARPE
1
0.9099%
15.65%
4.55%
2
1.0397%
16.00%
4.20%
3
1.0515%
16.50%
3.70%
4
1.0726%
17.00%
3.20%
5
1.1024%
17.50%
2.70%
6
1.1485%
18.00%
2.20%
7
1.4607%
19.00%
1.20%
8
1.3047%
20.20%
0.00%

Rendimiento
esperado del
portafolio
Rendimiento CETE 91
dias

17.87%
3.37%

Activo Libre de Riesgo

Portafolio
1
2
3
4
5
6
7
8

Acciones
0%
14.3%
28.56%
42.84%
57.12%
71.40%
85.68%
100.00%

Cetes
100.00%
85.68%
71.40%
57.12%
42.84%

28.56%
14.28%
0%

Riesgo

3.3700%
5.4395%
7.5104%
9.5813%
11.6522%
13.7231%
15.7940%
17.8720%

Precio actual
118.54
41.92
8.17
15.54
51.63
FEMSA
Close
125.09
124.78
126.27
127.07
127.32
126.5
128.28
127.64
126.58
127.03
126.71
126.02
127.11
126.7
126.21
128.08
125.72
123.01
121.64
120.68
120.59
119.99
122.26
120.97
121.8
123.08
123.85
123.86
122.36
121.94
123.4
120.95
120.1

Precio Objetivo
133.83166
49.96864
9.82034
18.44598
59.68428
IPC
Close
44710.351562
45053.699219
44928.519531
45175.578125
45065.46875
44794.011719
45017.75
44497.738281
44564.320312
44915.980469
44990.390625
45136.691406
45107.128906
45344.898438
45325.378906
45567.988281
45401.230469
44670.421875
44836.328125
44249.488281
43713.71875
44222.96875
44471.289062
44373.308594
44752.929688
44903.949219
45177.980469
44937.609375
44921.21875
44862.140625
45320.691406
44379.789062
44032.378906

Rendimiento
esperado
13%
19%
20%
19%
16%

BIMBO

ICA

Am. Movil

0.0012312238
0.0041810133
0.0075924565
0.0060768109
0.002899251
-0.0031317755
-0.0072498792
0.0167964946
0.0193919081
-0.0112728981
-0.0011876485
-0.005469679
0.0043041607
0.0119047619
0
0.0265882353
-0.0258996104
0.0136470588
-0.0271587744
0.0050107373
0.0054605888
-0.0106257379
0.0140811456
0.0174158626
0.0094841545
0.0052703941
0
-0.0170959654
0.0097402597
0.0048231511
-0.0171428571
-0.0081395349

-0.00580913
-0.01335559
0.02961083
0
-0.0115037
0.01330008
-0.01886792
-0.00083612
0.00669456
0.00166251
-0.006639
-0.01169591
-0.00422654
-0.00424448
0
-0.02642796
-0.03152364
0.05424955
-0.02229846
-0.02982456
-0.01356239
-0.06049496
-0.01365854
0.01088032
-0.00880626
0.03553801
-0.01620591
-0.01841085
0.00691017
0.00784314
-0.0155642
-0.04150198

0.01085645
-0.02147971
0.00792683
-0.00181488
-0.00848485
0.02139364
-0.02393776
-0.00490497
0.00492914
0.01226242
0.00302847
-0.01509662
0.00858369
-0.01337386
0.01047443
-0.01768293
-0.01613904
-0.00567823
-0.01967005
-0.01682848
0.01711652
-0.00582524
-0.00651042
0.02686763
0.0051053
0.0152381
-0.00750469
-0.00189036
-0.01136364
0.01404853
-0.02267003
-0.01095361

119.35
119.18
120.23
118.77
117.53
117.15
115.7
113.51
115.04
118.06
120.93

43870.53125
43746.71875
43953.480469
43872.121094
43473.738281
43036.589844
42163.820312
41471.46875
42010.890625
42323.039062
43452.359375

-0.0147713951
-0.0052356021
0.0071770335
-0.0073634204
-0.0193826274
0.0039043436
-0.01895965
-0.0307234886
0.0145705521
0.0103300579
0.0556109726

ALSEA
0.0156424573
0.164%
0.00009897
0.000244686
0.4044882641

FEMSA
0.0114708937
-0.072%
0.00007591
0.000131581
0.5768786696

IPC
0.0093871246
-0.062%
0.00008812
0.000088118
1

0.4543145445

0.496933541

19%
0.0756393054

16%
0.0899930725

andar
ALSEA
1.438%

FEMSA
0.983%

ALSEA
0.356589193
0.343153572
0.5061054556
1
0.5909638065

FEMSA
0.479126745
0.280203098
0.5165921644
0.5909638065
1

ALSEA
0.000063133
0.000119020

FEMSA
0.000057987
0.000066435

nza

-0.08659794
-0.06772009
-0.00242131
-0.01334951
-0.01230012
-0.08468244
-0.13605442
0
0.05669291
0.00596125
0.00148148

-0.01758958
0.00530504
0.02044855
0.00323206
0.00257732
-0.01799486
-0.01570681
-0.00864362
0.01006036
-0.00398406
0.03733333

0.000094985
0.000206925
0.000083592

0.000066276
0.000083592
0.000096694
0.002974250

12.8601311596

nza
ALSEA
0.000003066
0.000004761
0.000003799
0.000008277
0.000003344
Varianza port.
Desv. Estd. Port.
Beta del
portafolio
0.3532457708
0.3532457708
0.3532457708
0.3532457708
0.3532457708
0.3532457708
0.3532457708
0.3532457708

FEMSA
0.000002816
0.000002657
0.000002651
0.000003344
0.000003868
0.01272%
1.1277%

Frontera Eficiente
21.00%
20.00%
19.00%
18.00%

rendi 17.00%
16.00%
15.00%

14.00%
0.8000%0.9000%1.0000%1.1000%1.2000%1.3000%1.40

riesgo

activo libre de riesgo

1.2000%
1.0000%
0.8000%

activo libre de riesgo

1.2000%

Rendimiento

0.0000%
0.1610%
0.3221%
0.4831%
0.6441%
0.8052%
0.9662%
1.1277%

1.0000%
0.8000%
0.6000%
0.4000%
0.2000%
0.0000%
0.0000%

5.0000%

10.0000%

15.0000%

ALSEA

FEMSA

IPC

0.00295858
0.01769912
0.01697723
-0.00916124
-0.00965687
0.01348548
0.00470829
0.02057865
0.00578958
0.01250496
0.00548912
-0.01325795
0.01442403
0.0009739
0.04339366
-0.01641179
-0.01497914
0.00423484
-0.00843397
-0.02474386
0.0148662
0.03789063
0.00150546
-0.01503194
0.00934758
0.00189
0.00811168
-0.00823353
-0.01188679
0.01584877
-0.01616541
-0.00401223

-0.00247822
0.01194102
0.00633563
0.00196742
-0.00644046
0.01407115
-0.00498909
-0.00830461
0.00355506
-0.00251909
-0.00544551
0.00864942
-0.00322555
-0.0038674
0.01481658
-0.01842598
-0.02155584
-0.01113731
-0.00789214
-0.00074577
-0.00497554
0.01891824
-0.01055128
0.00686121
0.01050903
0.00625609
8.0743E-005
-0.01211045
-0.00343249
0.0119731
-0.01985413
-0.0070277

0.00767938
-0.00277846
0.00549893
-0.00243737
-0.00602361
0.00499483
-0.01155126
0.0014963
0.00789107
0.00165665
0.00325182
-0.00065495
0.00527122
-0.00043047
0.00535262
-0.00365954
-0.01609667
0.00371401
-0.01308849
-0.01210793
0.01164966
0.00561519
-0.00220323
0.00855517
0.00337452
0.00610261
-0.00532054
-0.00036474
-0.00131515
0.01022133
-0.02076099
-0.00782812

-0.00441205
-0.00674374
0.0085354
-0.00538565
-0.0098627
-0.01445313
-0.02873563
-0.0091818
0.00782537
-0.00367797
0.03609516

-0.0062448
-0.00142438
0.0088102
-0.01214339
-0.01044035
-0.00323322
-0.01237729
-0.01892826
0.01347899
0.02625174
0.02430967

-0.00367565
-0.00282222
0.00472634
-0.00185103
-0.00908055
-0.01005546
-0.02027971
-0.01642051
0.01300706
0.00743018
0.02668335

ntera Eficiente

0000%1.1000%1.2000%1.3000%1.4000%1.5000%

riesgo

re de riesgo

re de riesgo

0.0000%

15.0000%

20.0000%

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

24%
0%
14%
2%
60%

port 1
Conjunto factible

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

42%
14%
13%
14%
17%

port 2

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

34%
16%
16%
16%
18%

port 3

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

25%
18%
18%
19%
19%

port 4
Conjunto eficiente

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

17%
21%
21%
21%
20%

port 5

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

12%
23%
26%
22%
17%

port 6

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

4%
43%
23%
30%
0%

port 7

PORCENTAJE DE INVERSION
1.00
0.00
0.85
0.25
0.70
0.40
0.55
0.55
0.40
0.70
0.25
0.85
0.00
1.00

BIMBO
Desv. Estd
0.01557204
Rent. Esperada
0.00108563
Covarianza
0.00010435
Varianza
0.00024249
Beta
0.43033733
Coeficiente de corre 0.50961675
Rend. Esperado
0.129
0.00360551
Beta Portafolio
0.0510985

BIMBO
Varianza
Riesgo
0.00024249
0.00033861
0.00042548
0.00055716
0.00073365
0.00095495
0.00117633

Bimbo

Rendimiento
0.0155720365
0.131989831
0.0184013604 0.1131830612
0.0206271096
0.094260405
0.0236041582 0.0754819984
0.0270858998 0.0568004928
0.0309022119 0.0381832247
0.0342976924 0.0065851569

0.14
0.12
0.1
0.08
0.06
0.04
0.02
0
0.01

ICA
Varianza
Riesgo
0.00117633
0.00094674
0.00072032
0.00053858
0.0004015
0.0003091
0.00021022

0.015

0.02

Rendimiento
0.0342976924 0.1989281339
0.0307690636 0.1694153508
0.25
0.0268387891 0.1398214354
0.2
0.0232072545 0.1102878654
0.15
0.0200375512 0.0808475853
0.0175812682 0.05155141620.1
0.0144989364 0.0029287851
0.05

0.03

ICA

0
0.01

America Movil
Varianza
Riesgo
Rendimiento
0.00021022
0.0144989364 0.2047113011
0.00021064
0.0145134746 0.1744140197
0.00019943
0.0141219105 0.1440407973
0.00019948
0.0141238178 0.1137411539
0.0002108
0.0145190416 0.0835150608
0.00023339
0.0152770865 0.0533568152
0.00024469
0.0156424573 0.0029251395

0.025

0.015

0.02

0.025

0.03

America Movil
0.25
0.2
0.15
0.1
0.05

0
0.014 0.0142 0.0144 0.0146 0.0148 0.015 0.015

ALSEA

ALSEA
0.2
0.15

Varianza
Riesgo
0.00024469
0.0002122
0.00017678
0.00015253
0.00013946
0.00013755
0.00013158

Rendimiento
0.0156424573 0.1894402233
0.0145671875 0.1612224812
0.0132958773 0.1329741569
0.0123503548 0.1047766554
0.0118091355 0.0766422251
0.011728325 0.0485796187
0.0114708937 0.0017894594

ALSEA
0.2
0.15
0.1
0.05

0
0.011 0.0115 0.012 0.0125 0.013 0.0135 0.014 0

ICA
Am. Movil
ALSEA
FEMSA
IPC
0.03429769 0.01449894 0.01564246 0.01147089 0.00938712
-0.01273858 -0.00137071 0.00164433 -0.00072058 -0.00061941
0.00017068 0.00010848 9.8973E-005 7.5907E-005 8.8118E-005
0.00117633 0.00021022 0.00024469 0.00013158 8.8118E-005
0.14509452 0.51604817 0.40448826 0.57687867
1
0.28103904 0.6353128 0.45431454 0.49693354
1
0.192
0.202
0.187
0.156
-0.00100509 0.02021002 0.00667707 0.02161099

Bimbo

0.02

02

0.025

0.03

0.035

0.04

ICA

0.025

0.03

0.035

0.04

America Movil

4 0.0146 0.0148 0.015 0.0152 0.0154 0.0156 0.0158

ALSEA

ALSEA

0.0125 0.013 0.0135 0.014 0.0145 0.015 0.0155 0.016

BIMBO
ICA
Am. Movil
ALSEA
FEMSA

Matriz de Correlaciones
BIMBO
ICA
Am. Movil
ALSEA
FEMSA
1 0.39602217 0.45092741 0.35658919 0.47912675
0.39602217
1 0.45271599 0.34315357 0.2802031
0.45092741 0.45271599
1 0.50610546 0.51659216
0.35658919 0.34315357 0.50610546
1 0.59096381
0.47912675 0.2802031 0.51659216 0.59096381
1