SOFIA CAROLINA OROZCO JIMÉNEZDIEGO REYES CABRAL

MATRIZ MARKOWITZ
Fecha tesla apple meta rushb lbtyb
1/12/2022 123.18 129.93 120.34 56.27 19
1/11/2022 194.7 148.03 118.1 52.99 19.6
1/10/2022 227.54 153.34 93.16 53.62 16.78
1/9/2022 265.25 138.2 135.68 47.91 17.25
1/8/2022 275.61 157.22 162.93 50.64 21
1/7/2022 297.15 162.51 159.1 54.25 21.75
1/6/2022 224.47 136.72 161.25 49.61 22.4
1/5/2022 252.75 148.84 193.64 49.51 23.89
1/4/2022 290.25 157.65 200.47 48.45 23.54
1/3/2022 359.2 174.61 222.36 48.35 26.26
1/2/2022 290.14 165.12 211.03 49.01 26.95
1/1/2022 312.24 174.78 313.26 50.74 27.05
1/12/2021 352.26 177.57 336.35 53.97 28.16
1/11/2021 381.59 165.3 324.46 48.78 26.96
1/10/2021 371.33 149.8 323.57 51.71 28.54
1/9/2021 258.49 141.5 339.39 45.77 29.76
1/8/2021 245.24 151.83 379.38 42.39 28.33
1/7/2021 229.07 145.86 356.3 43.88 26.86
1/6/2021 226.57 136.96 347.71 38.14 28.93
1/5/2021 208.41 124.61 328.73 43.36 26.92
1/4/2021 236.48 131.46 325.08 43.79 26.67
1/3/2021 222.64 122.15 294.53 45.09 28.7
1/2/2021 225.17 121.26 257.62 37.95 26.7
1/1/2021 264.51 131.96 258.33 38.73 25

CONCEPTO/DIVISA tesla apple meta rushb lbtyb

RENDIMIENTO -3.32% -0.07% -3.32% 1.62% -1.19%
VARIANZA -1.39% 0.52% -3.56% 1.42% -1.11%
RIESGO -0.72% 0.72% -4.86% 1.55% -1.90%

tesla apple meta rushb lbtyb

2.00%

1.00%

0.00%
-6.00% -5.00% -4.00% -3.00% -2.00% -1.00% 0.00% 1.00%
MIENTO

-1.00%
 2.00%

1.00%

0.00%
-6.00% -5.00% -4.00% -3.00% -2.00% -1.00% 0.00% 1.00%

RENDIMIENTO
-1.00%

-2.00%

-3.00%

-4.00%
RIESGO
EYES CABRAL

dominion BYG food soho coca bayer

61.32 11.15 1.81 63.61 48.33
61.11 13.28 1.946 63.61 55.38
69.97 16.38 2.25 59.85 53.22
69.11 16.49 1.88 56.02 47.42
81.8 21.66 2.39 61.71 52.6
81.98 24.71 2.13 64.17 57
79.81 23.78 1.74 62.91 56.72
84.22 22.61 1.8 63.38 66.58
81.64 26.93 1.96 64.61 62.9
84.97 26.98 2.06 62 62.1
79.53 29.6 2.35 62.24 51.51
80.66 31.1 1.99 61.01 53.84
78.56 30.73 2.09 59.21 47
71.2 30.13 2.24 52.45 44.52
75.93 29.44 2.3 56.37 48.67
73.02 29.89 2.56 52.47 47.01
77.84 30.36 2.4 56.31 47.15
74.87 28.72 2.33 57.03 50.29
73.57 32.8 3 54.11 51.21
76.14 30.6 3.72 55.29 51.48
79.9 29.18 3.11 53.98 53.82
75.96 31.06 3.48 52.71 53.96
68.32 30.33 3.68 48.99 50.12
72.89 38.08 2.69 48.15 49.92

dominion BYG food soho coca bayer

-0.75% -5.34% -1.72% 1.21% -0.14%
-0.80% -4.79% -1.47% 1.27% 0.47%
-0.19% -4.02% -0.85% 1.04% 0.30%

0%
MATRIZ DE COVARIANZA
empresa
0%
tesla

0%
0.00% 1.00% 2.00%

0%
0%

0%

apple
0%
0.00% 1.00% 2.00% meta
rushb
0% lbtyb
dominion
0% BYG food
soho
0% coca
bayer
0%
MATRIZ DE CORRELACIÓN
empresa
tesla
apple
meta
rushb
lbtyb
dominion
BYG food
soho
coca
bayer

DISTRIBUCIÓN DE LA INVERSIÓN
empresa
PONDERACIÓN

ESPERADO DE
PORTAFOLIO
(MENSUAL)

REND. ESPERADO
VARIANZA
RIESGO
SHARPE
*cuantas veces es mayor el rendimiento con
 MATRIZ DE RENDIMIENTOS
tesla apple meta rushb lbtyb dominion BYG food
-45.78% -13.04% 1.88% 6.01% -3.11% 0.34% -17.48%
-15.59% -3.52% 23.72% -1.18% 15.53% -13.54% -20.98%
-15.33% 10.40% -37.60% 11.26% -2.76% 1.24% -0.67%
-3.83% -12.89% -18.30% -5.54% -19.67% -16.86% -27.27%
-7.53% -3.31% 2.38% -6.89% -3.51% -0.22% -13.17%
28.05% 17.28% -1.34% 8.94% -2.94% 2.68% 3.84%
-11.87% -8.49% -18.30% 0.20% -6.44% -5.38% 5.05%
-13.83% -5.75% -3.47% 2.16% 1.48% 3.11% -17.48%
-21.31% -10.22% -10.36% 0.21% -10.93% -4.00% -0.19%
21.35% 5.59% 5.23% -1.36% -2.59% 6.62% -9.27%
-7.34% -5.69% -39.50% -3.47% -0.37% -1.41% -4.94%
-12.06% -1.58% -7.11% -6.17% -4.02% 2.64% 1.20%
-8.00% 7.16% 3.60% 10.11% 4.35% 9.84% 1.97%
2.73% 9.85% 0.27% -5.83% -5.70% -6.43% 2.32%
36.22% 5.70% -4.77% 12.20% -4.19% 3.91% -1.52%
5.26% -7.05% -11.14% 7.67% 4.92% -6.39% -1.56%
6.82% 4.01% 6.28% -3.45% 5.33% 3.89% 5.55%
1.10% 6.30% 2.44% 14.02% -7.42% 1.75% -13.28%
8.35% 9.45% 5.61% -12.83% 7.20% -3.43% 6.94%
-12.64% -5.35% 1.12% -0.99% 0.93% -4.82% 4.75%
6.03% 7.35% 9.87% -2.93% -7.34% 5.06% -6.24%
-1.13% 0.73% 13.39% 17.24% 7.22% 10.60% 2.38%
-16.10% -8.46% -0.28% -2.03% 6.58% -6.47% -22.76%

COVARIANZA
tesla apple meta rushb lbtyb dominion BYG food
2.87% 0.92% 0.31% 0.14% -0.04% 0.30% 0.58%
 0.27% -0.27% -0.96% 0.19% -0.04% 0.08% 0.71%
0.14% -0.10% 1.26% -0.34% 0.35% 0.15% 0.03%
-0.47% 0.33% 0.77% 0.56% 0.31% 0.47% 0.67%
0.61% 0.41% 0.64% -0.33% 0.15% -0.11% 0.09%
-0.40% -0.56% -0.42% -0.11% 0.15% -0.10% -0.07%
0.00% 0.09% 0.64% -0.18% 0.20% 0.15% -0.22%
-0.06% 0.34% 0.79% 0.44% 0.40% 0.51% 0.54%
-0.12% 0.33% 0.60% 0.12% 0.20% -0.18% -0.76%
0.41% 0.11% 0.07% 0.01% 0.25% -0.21% 0.34%

ORRELACIÓN
tesla apple meta rushb lbtyb dominion BYG food
100.00% 65.92% 13.00% 11.11% -3.64% 26.54% 33.86%
10.78% -20.03% -38.49% 14.38% -3.09% 6.95% 41.75%
5.55% -7.12% 52.89% -24.84% 30.60% 13.23% 1.95%
-17.88% 23.45% 36.98% 40.19% 25.58% 41.38% 38.83%
22.37% 29.98% 30.68% -22.82% 15.55% -11.81% 5.69%
-14.22% -39.32% -19.50% -7.65% 14.34% -9.62% -4.55%
-0.08% 6.71% 27.84% -12.10% 18.06% 14.64% -13.85%
-2.34% 26.31% 34.88% 27.80% 36.63% 47.41% 33.35%
-4.31% 24.74% 24.99% 7.42% 17.27% -16.12% -49.69%
17.68% 10.36% 3.24% 0.79% 27.83% -21.60% 25.13%

E LA INVERSIÓN
tesla apple meta rushb lbtyb dominion BYG food
10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00%

ANUALIZADO

-1.30% -15.63%
0.08% 0.92%
2.78% 33.30%
-0.47 -5.63
eces es mayor el rendimiento con respecto al riesgo, mientras más grande el sharpe mejor
 soho coca bayer
-7.24% 0.00% -13.62%
-14.52% 6.09% 3.98%
17.97% 6.61% 11.54%
-24.00% -9.67% -10.37%
11.52% -3.91% -8.03%
20.22% 1.98% 0.49%
-3.39% -0.74% -16.03%
-8.52% -1.92% 5.69%
-4.98% 4.12% 1.28%
-13.17% -0.39% 18.70%
16.63% 2.00% -4.42%
-4.90% 2.99% 13.59%
-6.93% 12.12% 5.42%
-2.64% -7.21% -8.91%
-10.71% 7.17% 3.47%
6.45% -7.06% -0.30%
2.96% -1.27% -6.45%
-25.27% 5.26% -1.81%
-21.51% -2.16% -0.53%
17.91% 2.40% -4.45%
-11.24% 2.38% -0.26%
-5.59% 7.32% 7.38%
31.34% 1.73% 0.40%

soho coca bayer

-0.28% -0.03% 0.39%
 0.71% -0.20% -0.59%
-0.47% -0.13% -0.07%
-0.47% 0.54% 0.13%
-0.93% -0.13% 0.35%
0.22% 0.20% -0.04%
0.45% -0.04% 0.64%
0.38% 0.51% -0.08%
0.40% -0.11% -0.24%
0.04% 0.14% -0.42%

soho coca bayer

-11.17% -3.04% 27.32%
27.69% -22.97% -43.52%
-17.75% -14.62% -4.76%
-17.82% 58.69% 9.26%
-35.60% -15.58% 24.77%
8.17% 23.45% -2.94%
17.03% -4.68% 42.42%
13.91% 53.52% -5.84%
13.91% -11.48% -16.77%
1.40% 15.64% -33.05%

soho coca bayer

10.00% 10.00% 10.00% 100.00%

MATRIZ MARKOWITZ
% empresa tesla apple meta rushb lbtyb dominion
10% tesla 0.0287% 0.0092% 0.0031% 0.0014% -0.0004% 0.0030%
10% apple 0.0027% -0.0027% -0.0096% 0.0019% -0.0004% 0.0008%
10% meta 0.0014% -0.0010% 0.0126% -0.0034% 0.0035% 0.0015%
10% rushb -0.0047% 0.0033% 0.0077% 0.0056% 0.0031% 0.0047%
10% lbtyb 0.0061% 0.0041% 0.0064% -0.0033% 0.0015% -0.0011%
10% dominion -0.0040% -0.0056% -0.0042% -0.0011% 0.0015% -0.0010%
10% BYG food 0.0000% 0.0009% 0.0064% -0.0018% 0.0020% 0.0015%
10% soho -0.0006% 0.0034% 0.0079% 0.0044% 0.0040% 0.0051%
10% coca -0.0012% 0.0033% 0.0060% 0.0012% 0.0020% -0.0018%
10% bayer 0.0041% 0.0011% 0.0007% 0.0001% 0.0025% -0.0021%
BYG food soho coca bayer
0.0058% -0.0028% -0.0003% 0.0039%
0.0071% 0.0071% -0.0020% -0.0059%
0.0003% -0.0047% -0.0013% -0.0007%
0.0067% -0.0047% 0.0054% 0.0013%
0.0009% -0.0093% -0.0013% 0.0035%
-0.0007% 0.0022% 0.0020% -0.0004%
-0.0022% 0.0045% -0.0004% 0.0064%
0.0054% 0.0038% 0.0051% -0.0008%
-0.0076% 0.0040% -0.0011% -0.0024%
0.0034% 0.0004% 0.0014% -0.0042%
 ESCENARIO
REND. ESPERADO -1.30%
∝ 5% VARIANZA 0.08%
Z ALPHA -1.64 RIESGO 2.78%
SHARPE -0.47
Z ALPHA ESCENARIOS *cuantas veces es mayor el rendimiento con respecto al riesgo, mientras m
-4 0.00013383023
-3.9 0.00019865547
-3.8 0.00029194693 DISTRIBUCIÓN NORMAL
-3.7 0.00042478027
0.45
-3.6 0.00061190193
-3.5 0.0008726827 0.4
-3.4 0.00123221917
-3.3 0.00172256894 0.35
-3.2 0.0023840882
0.3
-3.1 0.00326681906
-3 0.00443184841 0.25
-2.9 0.00595253242
-2.8 0.00791545158 0.2
-2.7 0.01042093481
0.15
-2.6 0.01358296923
-2.5 0.01752830049 0.1
-2.4 0.02239453029
-2.3 0.02832703774 0.05
-2.2 0.03547459285
0
-2.1 0.04398359598 -5 -4 -3 -2 -1 0 1 2
-2 0.05399096651
-1.9 0.06561581477
-1.8 0.0789501583
-1.7 0.09404907738
-1.6 0.11092083468
-1.5 0.12951759567
-1.4 0.14972746564
-1.3 0.17136859205
-1.2 0.19418605498
-1.1 0.21785217703
-1 0.24197072452
-0.9 0.2660852499
-0.8 0.28969155276
-0.7 0.31225393337
-0.6 0.33322460289
-0.5 0.35206532676
-0.4 0.3682701403
-0.3 0.38138781546
-0.2 0.39104269398
-0.1 0.39695254748
0 0.3989422804
0.1 0.39695254748
0.2 0.39104269398
0.3 0.38138781546
0.4 0.3682701403
0.5 0.35206532676
0.6 0.33322460289
0.7 0.31225393337
0.8 0.28969155276
0.9 0.2660852499
1 0.24197072452
1.1 0.21785217703
1.2 0.19418605498
1.3 0.17136859205
1.4 0.14972746564
1.5 0.12951759567
1.6 0.11092083468
1.7 0.09404907738
1.8 0.0789501583
1.9 0.06561581477
2 0.05399096651
2.1 0.04398359598
2.2 0.03547459285
2.3 0.02832703774
2.4 0.02239453029
2.5 0.01752830049
2.6 0.01358296923
2.7 0.01042093481
2.8 0.00791545158
2.9 0.00595253242
3 0.00443184841
3.1 0.00326681906
3.2 0.0023840882
3.3 0.00172256894
3.4 0.00123221917
3.5 0.0008726827
3.6 0.00061190193
3.7 0.00042478027
3.8 0.00029194693
3.9 0.00019865547
4 0.00013383023
 -15.63%
0.92%
33.30%
-5.63
cto al riesgo, mientras más grande el sharpe mejor Z ALPHA ESCENARIOS
-0.11100891 0.02823206099
-0.108233687 0.03998581422
N NORMAL -0.105458464 0.05606945817
-0.102683242 0.07784017972
-0.099908019 0.10698880971
-0.097132796 0.14558946056
-0.094357573 0.19614560124
-0.091582351 0.26162802602
-0.088807128 0.34549917211
-0.086031905 0.45171739277
-0.083256682 0.58471423874
-0.08048146 0.74933769806
-0.077706237 0.9507548492
-0.074931014 1.19430863311
-0.072155791 1.48532554182
-0.069380569 1.82887398431
-0.066605346 2.2294768653
-0.063830123 2.69078633422
-0.0610549 3.21523345222
1 2 3 4 5 -0.058279678 3.80367029826
-0.055504455 4.45502631874
-0.052729232 5.16600399831
-0.049954009 5.93084067075
-0.047178787 6.74116304562
-0.044403564 7.58595847067
-0.041628341 8.45168194941
-0.038853118 9.32251058856
-0.036077896 10.1807478279
-0.033302673 11.0073691252
-0.03052745 11.7826895726
-0.027752227 12.4871231965
-0.024977005 13.1019944815
-0.022201782 13.6103559402
-0.019426559 13.9977621332
-0.016651336 14.2529509467
-0.013876114 14.3683873341
-0.011100891 14.3406328981
-0.008325668 14.1705160198
-0.005550445 13.8630907876
-0.002775223 13.4273875679
0 12.8759723952
0.002775223 12.224345176
0.005550445 11.4902169077
0.008325668 10.6927128745
0.011100891 9.8515516405
0.013876114 8.9862485484
0.016651336 8.11538765356
0.019426559 7.25599823724
0.022201782 6.42306212129
0.024977005 5.62916697825
0.027752227 4.88430972267
0.03052745 4.19584382582
0.033302673 3.56855577853
0.036077896 3.0048494598
0.038853118 2.50501311539
0.041628341 2.06754201686
0.044403564 1.68949044275
0.047178787 1.36682901623
0.049954009 1.09478716049
0.052729232 0.86816496585
0.055504455 0.68160359474
0.058279678 0.52980803855
0.0610549 0.40772023863
0.063830123 0.31064405829
0.066605346 0.23432622061
0.069380569 0.17499908577
0.072155791 0.12939208972
0.074931014 0.09471891818
0.077706237 0.06864719348
0.08048146 0.04925676654
0.083256682 0.03499178256
0.086031905 0.02461066166
0.088807128 0.01713710936
0.091582351 0.01181432467
0.094357573 0.00806375436
0.097132796 0.00544907435
0.099908019 0.00364556824
0.102683242 0.00241470892
0.105458464 0.00158351213
0.108233687 0.00102809929
0.11100891 0.00066085439
 VALOR
MES
VAR

MES
VAR 1
16 2
3
14
4
12 5
10 6
7
8
8
6 9
4 10
11
2
12
0
-0.15 -0.1 -0.05 0 0.05 0.1 0.15
$ 1,000,000.00
1
-$ 45,648.35
VAR PORTAFOLIO
$-
VAR PORTAFOLIO 0 2 4 6 8 10 12 14
-$ 45,648.35 $(20,000.00)
-$ 64,556.52 $(40,000.00)
-$ 79,065.26 $(60,000.00)
-$ 91,296.70
$(80,000.00)
-$ 102,072.82
-$ 111,815.17 $(100,000.00)

-$ 120,774.19 $(120,000.00)
-$ 129,113.04 $(140,000.00)
-$ 136,945.06
$(160,000.00)
-$ 144,352.76
-$ 151,398.46 $(180,000.00)

-$ 158,130.53