Anlisis de carteras 5 - Modelo con precios de acciones correlacionados

Los precios de las 5 acciones del archivo Anlisis de carteras 1 - Modelo de @RISK bsico oscilan de manera independien
poco realista, especialmente cuando se trata de acciones de un mismo sector. Probablemente, sea ms realista incorpora
las acciones.

El ejemplo actual lo hace as, empleado la matriz de correlacin que aparece en amarillo. Para mayor simplicidad, todas la
correlacionadas positivamente con una correlacin 0.7, pero puede cambiar estos valores si lo desea. Los precios de las a
utilizan estas correlaciones, mientras que (como comparacin) los precios de las acciones de la fila 10 no tienen en cuent
Tal como indican los resultados de resumen y los histogramas, las correlaciones no suponen ninguna diferencia respecto
medios de la cartera, pero suponen una gran diferencia en la variabilidad. Concretamente, la cartera con los precios corre
variabilidad mucho mayor. Su desviacin estndar es mayor (aproximadamente del 18% respecto a aproximadamente el
probabilidad de ser positiva es menor (aproximadamente del 70% respecto a aproximadamente el 80%) y su VAR es una
(aproximadamente del 16% respecto a aproximadamente el 7%). Por otra parte, tambin tiene mayor potencial de aume

n de manera independiente, lo que puede ser

ea ms realista incorporar correlaciones entre

ayor simplicidad, todas las acciones estn

esea. Los precios de las acciones de la fila 11
la 10 no tienen en cuenta las correlaciones.
guna diferencia respecto a los resultados
tera con los precios correlacionados tiene una
o a aproximadamente el 12%), su
el 80%) y su VAR es una prdida mayor
mayor potencial de aumento.

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Entradas conocidas
Precio actual de las acciones
Acciones compradas
Tiempo que se conservarn (en aos)
Tasa de crecimiento anual media
Volatibilidad anual

Accin1
$25.47
1000
0.5
12.47%
25.34%

Accin2
$33.42
2000
0.5
24.14%
19.85%

Accin3
$92.97
1500
0.5
16.86%
29.74%

Accin4
$41.33
500
0.5
22.54%
22.36%

Accin5
$37.48
1500
0.5
18.22%
22.06%

Entradas inciertas
Precios independientes de las acciones
Precios correlacionados de las acciones

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

Salidas
Resultados independientes de las acciones
Resultados correlacionados de las acciones
Resultado de la cartera con independencia
Resultado de la cartera con correlaciones

#NAME?
#NAME?
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

Estadsticos de resumen con independencia

Resultado medio de la cartera
Probabilidad de retorno positivo
VAR del resultado de la cartera

#NAME?
#NAME?
#NAME?

Estadsticos de resumen con correlaciones

Resultado medio de la cartera
Probabilidad de retorno positivo
VAR del resultado de la cartera

#NAME?
#NAME?
#NAME?

Nota: Los histogramas de la derecha corresponden a una

ejecucin concreta de la simulacin. Si vuelve a ejecutar la
simulacin, obtendr resultados ligeramente diferentes.
Adems, los estadsticos de resumen anteriores "cobrarn vida"
al volver a ejecutar la simulacin.

Pgina 3

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Pgina 4

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Accin 1/Precios
Accin
correlacionados
2/Precios
Accin
correlacionados
en3/Precios
$C$11 Accin
correlacionados
en4/Precios
$D$11Accin
correlacionados
en5/Precios
$E$11 correlacionados
en $F$11
en $G$11
Correlaciones @RISK
Accin 1/Precios correlacionados
1
en $C$11
Accin 2/Precios correlacionados
0.7
en1 $D$11
Accin 3/Precios correlacionados
0.7
en
0.7$E$11

Accin 4/Precios correlacionados

0.7
en
0.7$F$11

0.7

Accin 5/Precios correlacionados

0.7
en
0.7$G$11

0.7

0.7

Pgina 5

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Pgina 6

Mes
1/1/1998
2/1/1998
3/1/1998
4/1/1998
5/1/1998
6/1/1998
7/1/1998
8/1/1998
9/1/1998
10/1/1998
11/1/1998
12/1/1998
1/1/1999
2/1/1999
3/1/1999
4/1/1999
5/1/1999
6/1/1999
7/1/1999
8/1/1999
9/1/1999
10/1/1999
11/1/1999
12/1/1999
1/1/2000
2/1/2000
3/1/2000
4/1/2000
5/1/2000
6/1/2000
7/1/2000
8/1/2000
9/1/2000
10/1/2000
11/1/2000
12/1/2000
1/1/2001
2/1/2001
3/1/2001
4/1/2001
5/1/2001
6/1/2001
7/1/2001
8/1/2001
9/1/2001
10/1/2001
11/1/2001
12/1/2001

Precios de cierre
Accin1 Accin2
7.32
2.99
7.70
2.98
7.81
3.10
7.78
3.09
9.08
3.35
9.03
3.37
8.29
3.48
7.21
3.02
6.38
2.67
6.42
2.55
7.03
2.69
7.16
2.84
7.65
3.17
8.72
3.39
8.41
3.47
8.15
3.53
8.21
3.88
7.89
3.72
8.56
3.68
8.42
3.76
8.08
3.51
8.43
3.49
7.44
3.28
8.13
3.90
9.70
3.84
10.93
4.01
10.78
3.89
10.38
3.94
10.82
3.92
10.29
4.02
10.27
3.96
9.84
3.83
10.34
4.08
11.25
4.00
12.05
4.34
12.28
4.49
13.05
4.52
12.69
4.42
12.72
4.72
11.67
4.80
12.60
4.91
11.67
5.10
10.75
5.25
11.26
5.24
10.83
5.14
12.35
5.20
11.46
5.28
12.25
5.66

Accin3
17.23
18.37
18.77
19.28
21.46
21.01
19.94
18.43
19.24
19.08
20.78
20.67
23.18
23.78
21.03
19.02
19.83
18.15
18.92
18.32
19.60
18.58
17.71
17.04
17.23
16.86
16.20
17.61
17.84
19.24
18.63
17.26
16.09
13.32
13.84
10.22
10.45
11.15
10.43
9.97
10.93
10.23
9.22
9.54
8.75
9.59
11.29
11.83

Accin4
4.34
4.47
4.68
4.72
5.35
5.68
5.92
5.53
5.33
5.42
5.91
6.08
6.48
6.98
8.15
8.04
7.74
7.13
7.82
7.97
7.58
8.16
8.30
9.86
9.26
8.75
8.43
8.20
8.41
7.77
8.56
8.62
8.23
8.73
8.84
8.86
7.72
7.49
7.51
7.69
7.91
7.36
6.47
7.28
7.03
7.52
7.84
8.06

Accin5
6.06
5.87
5.91
5.63
6.46
6.63
5.86
5.22
4.87
4.73
5.28
5.47
5.35
5.94
6.54
6.31
6.61
6.21
6.18
6.18
6.63
6.58
6.38
7.21
8.26
7.71
7.59
8.44
8.94
8.77
8.37
8.12
8.48
8.77
9.39
9.34
9.31
9.72
10.15
9.24
9.55
9.45
9.91
10.36
10.00
11.11
11.32
11.01

LN(1+devolucin)
Accin1 Accin2
5.06%
1.42%
-0.38%
15.45%
-0.55%
-8.55%
-13.96%
-12.23%
0.63%
9.08%
1.83%
6.62%
13.09%
-3.62%
-3.14%
0.73%
-3.98%
8.15%
-1.65%
-4.12%
4.24%
-12.49%
8.87%
17.66%
11.94%
-1.38%
-3.78%
4.15%
-5.02%
-0.19%
-4.28%
4.96%
8.43%
6.87%
1.89%
6.08%
-2.80%
0.24%
-8.62%
7.67%
-7.67%
-8.21%
4.64%
-3.89%
13.13%
-7.48%
6.67%

-0.34%
3.95%
-0.32%
8.08%
0.60%
3.21%
-14.18%
-12.32%
-4.60%
5.34%
5.43%
10.99%
6.71%
2.33%
1.71%
9.45%
-4.21%
-1.08%
2.15%
-6.88%
-0.57%
-6.21%
17.31%
-1.55%
4.33%
-3.04%
1.28%
-0.51%
2.52%
-1.50%
-3.34%
6.32%
-1.98%
8.16%
3.40%
0.67%
-2.24%
6.57%
1.68%
2.27%
3.80%
2.90%
-0.19%
-1.93%
1.16%
1.53%
6.95%

Accin3
6.41%
2.15%
2.68%
10.71%
-2.12%
-5.23%
-7.87%
4.30%
-0.84%
8.54%
-0.53%
11.46%
2.56%
-12.29%
-10.05%
4.17%
-8.85%
4.15%
-3.22%
6.75%
-5.34%
-4.80%
-3.86%
1.11%
-2.17%
-3.99%
8.35%
1.30%
7.55%
-3.22%
-7.64%
-7.02%
-18.89%
3.83%
-30.32%
2.23%
6.48%
-6.68%
-4.51%
9.19%
-6.62%
-10.39%
3.41%
-8.64%
9.17%
16.32%
4.67%

1/1/2002
2/1/2002
3/1/2002
4/1/2002
5/1/2002
6/1/2002
7/1/2002
8/1/2002
9/1/2002
10/1/2002
11/1/2002
12/1/2002
1/1/2003
2/1/2003
3/1/2003
4/1/2003
5/1/2003
6/1/2003
7/1/2003
8/1/2003
9/1/2003
10/1/2003
11/1/2003
12/1/2003
1/1/2004
2/1/2004
3/1/2004
4/1/2004
5/1/2004
6/1/2004
7/1/2004
8/1/2004
9/1/2004
10/1/2004
11/1/2004
12/1/2004
1/1/2005
2/1/2005
3/1/2005
4/1/2005
5/1/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/1/2005
11/1/2005
12/1/2005
1/1/2006
2/1/2006

13.59
13.81
12.08
12.25
12.50
12.00
12.23
11.91
11.19
11.43
12.58
13.31
14.74
15.47
15.50
16.07
16.11
16.11
17.04
16.35
16.68
16.78
17.51
17.17
18.73
19.10
18.63
18.11
17.74
18.37
16.28
16.68
18.51
19.31
21.66
20.45
21.40
21.80
21.40
24.05
24.08
23.61
23.81
22.63
23.75
24.31
28.02
29.21
31.58
33.08

5.82
5.69
5.44
5.18
5.41
5.11
5.52
5.45
5.31
5.40
5.08
5.68
5.73
6.09
6.05
6.28
6.50
6.37
6.66
6.65
7.25
7.19
7.63
8.24
8.78
8.64
8.96
8.89
9.52
9.98
9.52
9.62
10.58
11.25
12.09
11.56
12.10
12.02
11.66
13.04
14.19
15.27
16.54
14.76
16.12
15.30
17.49
17.45
18.43
18.49

11.83
11.13
11.49
12.10
13.31
12.42
13.08
14.53
14.77
15.81
15.06
15.65
15.35
16.07
17.54
20.21
19.92
20.56
23.32
22.19
20.29
20.88
20.79
19.66
23.35
26.45
23.99
23.24
23.10
21.42
23.26
24.83
27.03
28.00
34.69
32.98
34.15
31.36
29.95
35.02
37.75
39.38
46.15
44.32
46.34
43.06
47.97
45.83
43.26
45.84

7.61
7.25
6.82
7.48
8.05
7.81
8.56
9.18
9.48
10.00
9.83
10.08
10.70
10.50
11.01
12.03
12.30
12.55
13.34
12.89
13.85
15.23
16.25
16.04
18.01
17.60
17.37
17.41
18.41
18.71
18.05
18.69
19.44
18.69
20.28
18.95
21.99
21.97
20.20
23.35
23.00
24.68
23.82
21.82
22.20
22.08
24.31
25.44
25.86
29.20

11.73
11.73
11.00
11.61
11.99
11.19
10.51
10.97
10.24
11.22
11.04
11.39
12.70
12.97
13.31
13.65
14.80
15.29
15.09
14.29
14.97
16.05
17.50
17.69
19.70
19.63
18.84
18.80
18.92
18.38
18.24
18.26
18.66
17.52
18.44
17.90
17.95
17.09
18.67
21.14
19.88
19.12
21.27
18.75
18.88
17.76
19.26
18.96
18.71
21.70

10.38%
1.61%
-13.38%
1.40%
2.02%
-4.08%
1.90%
-2.65%
-6.24%
2.12%
9.59%
5.64%
10.20%
4.83%
0.19%
3.61%
0.25%
0.00%
5.61%
-4.13%
2.00%
0.60%
4.26%
-1.96%
8.70%
1.96%
-2.49%
-2.83%
-2.06%
3.49%
-12.08%
2.43%
10.41%
4.23%
11.48%
-5.75%
4.54%
1.85%
-1.85%
11.67%
0.12%
-1.97%
0.84%
-5.08%
4.83%
2.33%
14.20%
4.16%
7.80%
4.64%

2.79%
-2.26%
-4.49%
-4.90%
4.34%
-5.70%
7.72%
-1.28%
-2.60%
1.68%
-6.11%
11.16%
0.88%
6.09%
-0.66%
3.73%
3.44%
-2.02%
4.45%
-0.15%
8.64%
-0.83%
5.94%
7.69%
6.35%
-1.61%
3.64%
-0.78%
6.85%
4.72%
-4.72%
1.04%
9.51%
6.14%
7.20%
-4.48%
4.57%
-0.66%
-3.04%
11.19%
8.45%
7.34%
7.99%
-11.39%
8.81%
-5.22%
13.38%
-0.23%
5.46%
0.33%

0.00%
-6.10%
3.18%
5.17%
9.53%
-6.92%
5.18%
10.51%
1.64%
6.80%
-4.86%
3.84%
-1.94%
4.58%
8.75%
14.17%
-1.45%
3.16%
12.60%
-4.97%
-8.95%
2.87%
-0.43%
-5.59%
17.20%
12.47%
-9.76%
-3.18%
-0.60%
-7.55%
8.24%
6.53%
8.49%
3.53%
21.42%
-5.06%
3.49%
-8.52%
-4.60%
15.64%
7.51%
4.23%
15.86%
-4.05%
4.46%
-7.34%
10.80%
-4.56%
-5.77%
5.79%

3/1/2006
4/1/2006
5/1/2006
6/1/2006
7/1/2006
8/1/2006
9/1/2006
10/1/2006
11/1/2006
12/1/2006
1/1/2007
2/1/2007
3/1/2007
4/1/2007
5/1/2007
6/1/2007
7/1/2007
8/1/2007
9/1/2007
10/1/2007
11/1/2007
12/1/2007

31.54
36.86
33.51
31.09
30.62
24.39
22.55
24.00
28.68
26.72
29.40
31.35
27.72
28.28
25.94
27.45
24.55
24.72
23.16
23.66
25.10
25.21

20.58
20.34
19.90
21.69
21.42
19.16
19.12
21.03
21.72
24.60
25.30
24.20
26.78
25.51
24.62
27.35
26.47
27.27
28.87
33.00
31.69
32.76

45.59
50.86
51.67
50.49
58.27
49.61
56.60
65.41
72.85
81.34
80.84
74.98
78.30
92.41
102.60
114.32
111.17
110.28
107.13
86.98
91.36
91.68

28.46
27.70
26.85
28.77
30.04
26.92
30.53
31.79
31.79
32.82
33.30
33.50
36.69
38.26
36.45
38.57
35.84
40.36
36.27
41.35
41.07
40.57

23.86
24.61
26.13
27.48
26.60
22.48
23.80
26.74
27.97
30.67
31.47
33.94
36.22
33.88
30.82
32.92
33.37
33.16
34.66
33.06
36.70
36.92

Medias mensuales
Desv est mensuales
Medias anuales
Desv est anuales

-4.77%
15.59%
-9.53%
-7.50%
-1.52%
-22.75%
-7.84%
6.23%
17.81%
-7.08%
9.56%
6.42%
-12.31%
2.00%
-8.64%
5.66%
-11.17%
0.69%
-6.52%
2.14%
5.91%
0.44%

10.71%
-1.17%
-2.19%
8.61%
-1.25%
-11.15%
-0.21%
9.52%
3.23%
12.45%
2.81%
-4.45%
10.13%
-4.86%
-3.55%
10.52%
-3.27%
2.98%
5.70%
13.37%
-4.05%
3.32%

-0.55%
10.94%
1.58%
-2.31%
14.33%
-16.09%
13.18%
14.47%
10.77%
11.02%
-0.62%
-7.53%
4.33%
16.57%
10.46%
10.82%
-2.79%
-0.80%
-2.90%
-20.84%
4.91%
0.35%

1.04%
7.31%

2.01%
5.73%

1.40%
8.58%

12.47%
25.34%

24.14%
19.85%

16.86%
29.74%

Accin4

Accin5

2.95%
4.59%
0.85%
12.53%
5.99%
4.14%
-6.81%
-3.68%
1.67%
8.66%
2.84%
6.37%
7.43%
15.50%
-1.36%
-3.80%
-8.21%
9.24%
1.90%
-5.02%
7.37%
1.70%
17.22%
-6.28%
-5.67%
-3.73%
-2.77%
2.53%
-7.92%
9.68%
0.70%
-4.63%
5.90%
1.25%
0.23%
-13.77%
-3.02%
0.27%
2.37%
2.82%
-7.21%
-12.89%
11.80%
-3.49%
6.74%
4.17%
2.77%

-3.19%
0.68%
-4.85%
13.75%
2.60%
-12.35%
-11.57%
-6.94%
-2.92%
11.00%
3.54%
-2.22%
10.46%
9.62%
-3.58%
4.64%
-6.24%
-0.48%
0.00%
7.03%
-0.76%
-3.09%
12.23%
13.60%
-6.89%
-1.57%
10.62%
5.76%
-1.92%
-4.67%
-3.03%
4.34%
3.36%
6.83%
-0.53%
-0.32%
4.31%
4.33%
-9.39%
3.30%
-1.05%
4.75%
4.44%
-3.54%
10.53%
1.87%
-2.78%

-5.75%
-4.85%
-6.11%
9.24%
7.34%
-3.03%
9.17%
6.99%
3.22%
5.34%
-1.71%
2.51%
5.97%
-1.89%
4.74%
8.86%
2.22%
2.01%
6.10%
-3.43%
7.18%
9.50%
6.48%
-1.30%
11.58%
-2.30%
-1.32%
0.23%
5.58%
1.62%
-3.59%
3.48%
3.93%
-3.93%
8.16%
-6.78%
14.88%
-0.09%
-8.40%
14.49%
-1.51%
7.05%
-3.55%
-8.77%
1.73%
-0.54%
9.62%
4.54%
1.64%
12.15%

6.33%
0.00%
-6.43%
5.40%
3.22%
-6.91%
-6.27%
4.28%
-6.89%
9.14%
-1.62%
3.12%
10.89%
2.10%
2.59%
2.52%
8.09%
3.26%
-1.32%
-5.45%
4.65%
6.97%
8.65%
1.08%
10.76%
-0.36%
-4.11%
-0.21%
0.64%
-2.90%
-0.76%
0.11%
2.17%
-6.30%
5.12%
-2.97%
0.28%
-4.91%
8.84%
12.42%
-6.15%
-3.90%
10.66%
-12.61%
0.69%
-6.12%
8.11%
-1.57%
-1.33%
14.83%

-2.57%
-2.71%
-3.12%
6.91%
4.32%
-10.97%
12.58%
4.04%
0.00%
3.19%
1.45%
0.60%
9.10%
4.19%
-4.85%
5.65%
-7.34%
11.88%
-10.68%
13.11%
-0.68%
-1.22%

9.49%
3.09%
5.99%
5.04%
-3.25%
-16.83%
5.71%
11.65%
4.50%
9.22%
2.57%
7.56%
6.50%
-6.68%
-9.47%
6.59%
1.36%
-0.63%
4.42%
-4.73%
10.45%
0.60%

1.88%
6.46%

1.52%
6.37%

22.54%
22.36%

18.22%
22.06%