ADMINISTRACIÓN DE PORTAFOLIOS
Usted esta a cargo de la administracion de portafolios para la gestión de Tesoreria de la empresa FINO S.A. en la
Recientemente contratado, usted ha hecho una sugerencia al Gerente Financiero de la empresa, la sugerencia v
en que la empresa administra sus recursos excedentes de corto plazo. Actualmente la empresa invierte en DPFs
estos DPFs son activos sumamente seguros ya que son emitidos por instituciones como el Banco BISA, el BMSC,
va de acuerdo al riesgo tomado y por ende este es muy bajo, llegando unicamente el 2.5% anual. La expectativa
es muy baja, llegando unicamente al 1.5% anual.
Chart
Usted quiere demostrar que si bien el riesgo es bastante bajo para esta forma pasiva deTitle
administración de tesor
alternativas viables con mejores condiciones invirtiendo en el exterior. 0.25
0.2
Actualmente la empresa cuenta con 2.8 Millones de Dólares en disponibilidades y usted quiere ver la posibilidad
0.15
inicialmente con 3 activos para probar su punto. Usted ha escogido invertir en tres bluechips, Apple, Microsoft y
los rendimientos en ganancias de capital provenientes de los cambios de precios 0.1de los activos distribuidos equ
datos sobre las cotizaciones diarias de precios de estas tres empresas.
f(x) = 1.755917575705710.05
x + 0.00446791750146136
Determine el riesgo y el rendimiento R² = 0.471130816943886
0
Comente sobre el grado de diversificación del portafolio
-0.03 -0.02 -0.01 0 0.01 0.02 0.03
-0.05
Como cambian los resultados si puede aplicar un apalancamiento del 100%
Como cambian los resultados si existen costos de transacción del 9%? -0.1
AAPL MSFT META NASDAQ
10 abr 2023 162.03 289.39 214.75 12084.36
06 abr 2023 164.66 291.6 216.1 12087.96
05 abr 2023 163.76 284.34 211.48 11996.86
04 abr 2023 165.63 287.18 214.72 12126.33
03 abr 2023 166.17 287.23 213.07 12189.45
31-Mar-23 164.9 288.3 211.94 12221.91
30-Mar-23 162.36 284.05 207.84 12013.47
29-Mar-23 160.77 280.51 205.35 11926.24
28-Mar-23 157.65 275.23 200.68 11716.08
27-Mar-23 158.28 276.38 202.84 11768.84
24-Mar-23 160.25 280.57 206.01 11823.96
23-Mar-23 158.93 277.66 204.28 11787.4
22-Mar-23 157.83 272.29 199.81 11669.96
21-Mar-23 159.28 273.78 202.16 11860.11
20-Mar-23 157.4 272.23 197.81 11675.54
17-Mar-23 155 279.43 195.61 11630.51
16-Mar-23 155.85 276.2 204.93 11717.28
15-Mar-23 152.99 265.44 197.75 11434.05
14-Mar-23 152.59 260.79 194.02 11428.15
13-Mar-23 150.47 253.92 180.9 11188.84
10-Mar-23 148.5 248.59 179.51 11138.89
9-Mar-23 150.59 252.32 181.69 11338.35
8-Mar-23 152.87 253.7 184.97 11576
7-Mar-23 151.6 254.15 184.51 11530.33
6-Mar-23 153.83 256.87 184.9 11675.74
3-Mar-23 151.03 255.29 185.25 11689.01
2-Mar-23 145.91 251.11 174.53 11462.98
1-Mar-23 145.31 246.27 173.42 11379.48
28-Feb-23 147.41 249.42 174.94 11455.54
27-Feb-23 147.92 250.16 169.54 11466.98
24-Feb-23 146.71 249.22 170.39 11394.94
23-Feb-23 149.4 254.77 172.04 11590.4
22-Feb-23 148.91 251.51 171.12 11507.07
21-Feb-23 148.48 252.67 172.08 11492.3
17-Feb-23 152.55 258.06 172.88 11787.27
16-Feb-23 153.71 262.15 172.44 11855.83
15-Feb-23 155.33 269.32 177.16 12070.59
14-Feb-23 153.2 271.49 179.48 11960.15
13-Feb-23 153.85 270.64 179.43 11891.79
10-Feb-23 151.01 262.44 174.15 11718.12
9-Feb-23 150.64 262.96 177.92 11789.58
8-Feb-23 151.69 266.06 183.43 11910.52
7-Feb-23 154.41 266.89 191.62 12113.79
6-Feb-23 151.5 256.13 186.06 11887.45
3-Feb-23 154.26 257.7 186.53 12006.95
2-Feb-23 150.59 263.94 188.77 12200.82
1-Feb-23 145.21 252.12 153.12 11816.32
31 ene 2023 144.07 247.19 148.97 11584.55
30 ene 2023 142.78 242.1 147.06 11393.81
27 ene 2023 145.71 247.54 151.74 11621.71
26 ene 2023 143.74 247.38 147.3 11512.41
25 ene 2023 141.64 240.01 141.5 11313.36
24 ene 2023 142.31 241.44 143.14 11334.27
23 ene 2023 140.89 241.97 143.27 11364.41
20 ene 2023 137.66 239.62 139.37 11140.43
19 ene 2023 135.06 231.35 136.15 10852.27
18 ene 2023 135 235.22 133.02 10957.01
17 ene 2023 135.73 239.75 135.36 11095.11
13 ene 2023 134.55 238.63 136.98 11079.16
12 ene 2023 133.21 237.91 136.71 11001.1
11 ene 2023 133.29 235.18 132.89 10931.67
10 ene 2023 130.53 228.28 132.99 10742.63
soreria de la empresa FINO S.A. en la ciudad de Santa Cruz de la Sierra.
nciero de la empresa, la sugerencia va en el espiritu de cambiar la forma
almente la empresa invierte en DPFs en varias instituciones financieras
iones como el Banco BISA, el BMSC, BNB, etc sin embargo el rendimiento
mente el 2.5% anual. La expectativa en cuanto a varianza sin embargo
Chart
ma pasiva deTitle
administración de tesoriería, usted puede encontrar
0.25
0.2
ades y usted quiere ver la posibilidad de armar un portafolio de inversión
0.15
en tres bluechips, Apple, Microsoft y Facebook y quiere ver unicamente
0.1de los activos distribuidos equitativamente. Para esto usted ha recabado los siguientes
ecios
05710.05
x + 0.00446791750146136
3886
0
0 0.01 0.02 0.03 0.04
-0.05
-0.1
AAPL MSFT META NASDAQ
-0.016101239 -0.007607741 -0.0062667 -0.00029786
0.0054808005 0.0252122949 0.021610832 0.007564967
-0.011354444 -0.009938492 -0.01520442 -0.01073417
-0.003254976 -0.000174092 0.007714104 -0.0051917
0.0076721311 -0.003718316 0.005317534 -0.00265942
0.0155231376 0.0148513256 0.019534663 0.017201722
0.0098413198 0.0125409041 0.012052713 0.007287506
0.0195973862 0.0190022632 0.023004241 0.017778757
-0.003988231 -0.004169619 -0.01070589 -0.0044931
-0.012369479 -0.015046518 -0.01550722 -0.00467262
0.0082712421 0.0104259046 0.00843311 0.003096817
0.0069453493 0.0195296688 0.022124687 0.010013146
-0.009145155 -0.005457189 -0.01169255 -0.01616265
0.0118733238 0.0056775669 0.021752489 0.015684613
0.0153652191 -0.026104517 0.011184093 0.003864237
-0.005468889 0.011626573 -0.04654558 -0.00743286 ALPHA R
0.0185214464 0.0397364145 0.035664851 0.02446893 ALPHA T
0.0026179739 0.0176733407 0.01904236 0.000516136 RF
0.0139908571 0.026696229 0.070016854 0.021162757 Rf diario
0.0131787705 0.0212143038 0.007713476 0.004474264 beta
-0.013975954 -0.01489317 -0.01207102 -0.0177482
-0.015026975 -0.005454343 -0.01789171 -0.0207432
0.0083424138 -0.001772177 0.002489987 0.003953034
-0.014602623 -0.010645476 -0.00211148 -0.01253223
0.018369604 0.0061699665 -0.00189113 -0.0011359
0.0344884993 0.0165090637 0.059609618 0.019526372
0.0041206019 0.0194625951 0.006380249 0.007310979
-0.014348429 -0.012709727 -0.00872666 -0.00666172
-0.003453767 -0.002962491 0.031354171 -0.00099815
0.0082137379 0.0037646726 -0.00500104 0.006302204
-0.018169424 -0.022025137 -0.00963708 -0.01700777
0.0032851761 0.0128784272 0.005361943 0.00721554
0.0028918276 -0.004601539 -0.00559442 0.001284383
-0.027042142 -0.021107827 -0.00463823 -0.02534289
-0.007575299 -0.015724743 0.002548362 -0.00579959
-0.010484176 -0.026983405 -0.02700393 -0.01795219
0.0138076287 -0.008025043 -0.0130105 0.009191625
-0.004233844 0.0031357818 0.000278621 0.005732044
0.018632042 0.03076704 0.029868163 0.014711884
0.0024531754 -0.001979445 -0.02141701 -0.00607973
-0.00694608 -0.011719918 -0.03049911 -0.01020595
-0.017772438 -0.003114741 -0.04368112 -0.01692243
0.0190257774 0.0411514604 0.029445042 0.018861251
-0.018053866 -0.00611099 -0.00252288 -0.01000243
0.0240785784 -0.023925687 -0.01193726 -0.01601751
0.0363799416 0.0458166399 0.209307415 0.032021536
0.007881678 0.019747893 0.027476984 0.019809313
0.0089943085 0.0208064077 0.012904277 0.016602088
-0.020313361 -0.022221321 -0.03132786 -0.01980468
0.013612233 0.0006465692 0.029697206 0.009449317
0.0147174848 0.0302450268 0.040171606 0.017441256
-0.004719149 -0.005940406 -0.01152346 -0.00184655
0.0100283326 -0.002192757 -0.00090779 -0.00265566
0.0231925671 0.0097594163 0.027598695 0.019905709
0.0190677528 0.0351226199 0.023375048 0.026206559
0.0004443457 -0.016589531 0.023257726 -0.00960516
-0.00539284 -0.019075467 -0.0174384 -0.01252504
0.0087317411 0.0046824786 -0.01189703 0.001438605
0.0100090468 0.0030217843 0.001973036 0.007070598
-0.000600375 0.0115412725 0.028340176 0.006331187
0.0209241202 0.0297782327 -0.00075222 0.017444143
#DIV/0! #DIV/0! #DIV/0! #DIV/0!
0.45%
-0.47%
3.765
0.0062148577
1.7559175757
0.92%
0 -80
1 10 0
2 10 1
3 110 2
3
YTM 19% 4
5
YTM
-800
0
0
0
0
1200
8.45%
10 abr 2023 214.71 215.66 210.66 214.75 214.75 15,842,000
06 abr 2023 209.25 216.94 208.65 216.1 216.1 26,104,400
05 abr 2023 214.15 215.19 209.94 211.48 211.48 19,396,600
04 abr 2023 213.39 216.24 212.54 214.72 214.72 21,026,400
03 abr 2023 208.84 213.49 208.2 213.07 213.07 17,924,600
31-Mar-23 207.24 212.17 206.77 211.94 211.94 25,412,000
30-Mar-23 203.38 208.09 202.82 207.84 207.84 22,608,300
29-Mar-23 203.56 205.72 202.54 205.35 205.35 18,851,100
28-Mar-23 200.15 201.03 197.9 200.68 200.68 19,127,300
27-Mar-23 204.81 205.86 201.36 202.84 202.84 18,527,200
24-Mar-23 205.18 207.58 203.55 206.01 206.01 27,733,000
23-Mar-23 202.84 207.88 202.15 204.28 204.28 27,389,700
22-Mar-23 202.5 207.37 199.67 199.81 199.81 28,477,800
21-Mar-23 203.2 203.55 197.95 202.16 202.16 31,827,000
20-Mar-23 198.48 199.36 193.64 197.81 197.81 25,186,300
17-Mar-23 200.56 201.9 195.43 195.61 195.61 50,141,100
16-Mar-23 198.26 205.76 196.09 204.93 204.93 50,447,100
15-Mar-23 192.95 197.78 190.84 197.75 197.75 42,123,600
14-Mar-23 187.58 194.32 186.56 194.02 194.02 41,642,600
13-Mar-23 177.96 183.78 174.82 180.9 180.9 24,728,000
10-Mar-23 181.01 184.77 178.8 179.51 179.51 25,665,000
9-Mar-23 186.35 188.93 180.3 181.69 181.69 26,582,800
8-Mar-23 182.87 185.26 181.34 184.97 184.97 19,432,400
7-Mar-23 189 190.36 184.01 184.51 184.51 36,701,500
6-Mar-23 188 189.66 184.64 184.9 184.9 33,209,400
3-Mar-23 178.92 186.62 177.05 185.25 185.25 45,877,700
2-Mar-23 172.38 175.01 171.43 174.53 174.53 17,352,000
1-Mar-23 174.59 177.85 173.05 173.42 173.42 30,998,400
28-Feb-23 171.9 177.55 171.87 174.94 174.94 46,051,100
27-Feb-23 171.88 173.12 169.06 169.54 169.54 19,277,000
24-Feb-23 168.64 170.72 167.66 170.39 170.39 19,791,300
23-Feb-23 172 173.69 169.38 172.04 172.04 20,017,800
22-Feb-23 171.07 172.76 169.69 171.12 171.12 22,433,200
21-Feb-23 174.31 178.17 171.88 172.08 172.08 34,592,600
17-Feb-23 170.22 173.18 169.7 172.88 172.88 24,171,300
16-Feb-23 172.75 175.85 171.79 172.44 172.44 25,827,500
15-Feb-23 176.42 178.19 175.33 177.16 177.16 25,308,900
14-Feb-23 177.16 181.51 175.88 179.48 179.48 24,034,600
13-Feb-23 178.22 181 175.82 179.43 179.43 31,463,200
10-Feb-23 176.35 178.89 173.35 174.15 174.15 33,433,600
9-Feb-23 186.13 186.65 177.27 177.92 177.92 37,118,800
8-Feb-23 190 190.83 182.92 183.43 183.43 36,139,100
7-Feb-23 185.58 193.78 184.4 191.62 191.62 47,080,700
6-Feb-23 186.53 190.7 185.52 186.06 186.06 42,483,800
3-Feb-23 183.47 196.77 182.89 186.53 186.53 76,809,700
2-Feb-23 183.38 197.16 180.16 188.77 188.77 150,475,700
1-Feb-23 148.03 153.58 147.06 153.12 153.12 55,661,000
31 ene 2023 147.95 149.88 147.52 148.97 148.97 29,842,100
30 ene 2023 149.41 151.12 146.95 147.06 147.06 28,040,100
27 ene 2023 148.24 153.19 147.39 151.74 151.74 35,771,900
26 ene 2023 144.4 147.51 143.3 147.3 147.3 25,482,100
25 ene 2023 141.22 143.17 140.31 141.5 141.5 26,622,000
24 ene 2023 141.69 145 141.36 143.14 143.14 21,970,200
23 ene 2023 139.29 143.76 138.66 143.27 143.27 27,470,100
20 ene 2023 135.89 139.94 134.61 139.37 139.37 28,688,600
19 ene 2023 132.49 137.45 132.14 136.15 136.15 28,625,200
18 ene 2023 135.81 137.25 132.8 133.02 133.02 20,215,500
17 ene 2023 136.18 136.75 134.25 135.36 135.36 21,147,600
13 ene 2023 134.97 137.39 134.84 136.98 136.98 22,423,800
12 ene 2023 133.44 137.68 131.76 136.71 136.71 30,757,700
11 ene 2023 130.96 133.85 130.34 132.89 132.89 25,423,000
10 ene 2023 127.27 133.44 127.15 132.99 132.99 28,684,400
10 abr 2023 11,975.13 12,084.95 11,924.20 12,084.36 12,084.36 4,334,070,000
06 abr 2023 11,939.08 12,098.50 11,898.36 12,087.96 12,087.96 3,862,800,000
05 abr 2023 12,081.76 12,086.75 11,931.85 11,996.86 11,996.86 4,378,590,000
04 abr 2023 12,208.49 12,224.68 12,081.81 12,126.33 12,126.33 4,298,760,000
03 abr 2023 12,146.09 12,196.34 12,086.52 12,189.45 12,189.45 4,816,440,000
31-Mar-23 12,031.54 12,227.93 12,030.44 12,221.91 12,221.91 5,521,150,000
30-Mar-23 12,010.45 12,044.79 11,953.37 12,013.47 12,013.47 4,738,880,000
29-Mar-23 11,855.59 11,941.60 11,823.35 11,926.24 11,926.24 4,493,540,000
28-Mar-23 11,752.76 11,752.76 11,635.03 11,716.08 11,716.08 4,036,910,000
27-Mar-23 11,868.54 11,903.21 11,739.05 11,768.84 11,768.84 4,330,320,000
24-Mar-23 11,747.62 11,826.23 11,670.67 11,823.96 11,823.96 4,363,650,000
23-Mar-23 11,811.32 11,962.69 11,684.52 11,787.40 11,787.40 4,917,460,000
22-Mar-23 11,857.50 12,013.99 11,666.85 11,669.96 11,669.96 4,981,590,000
21-Mar-23 11,764.79 11,879.16 11,724.91 11,860.11 11,860.11 4,829,870,000
20-Mar-23 11,614.39 11,695.55 11,550.69 11,675.54 11,675.54 4,970,630,000
17-Mar-23 11,696.34 11,773.11 11,562.63 11,630.51 11,630.51 7,903,090,000
16-Mar-23 11,384.87 11,733.80 11,365.49 11,717.28 11,717.28 5,498,920,000
15-Mar-23 11,291.17 11,447.90 11,238.44 11,434.05 11,434.05 5,912,430,000
14-Mar-23 11,357.73 11,467.02 11,284.93 11,428.15 11,428.15 5,533,120,000
13-Mar-23 11,041.46 11,326.73 10,982.80 11,188.84 11,188.84 6,201,490,000
10-Mar-23 11,325.36 11,373.81 11,093.86 11,138.89 11,138.89 6,193,500,000
9-Mar-23 11,578.31 11,667.12 11,319.98 11,338.35 11,338.35 5,061,790,000
8-Mar-23 11,553.09 11,601.23 11,487.75 11,576.00 11,576.00 5,085,970,000
7-Mar-23 11,670.98 11,705.96 11,512.03 11,530.33 11,530.33 5,422,820,000
6-Mar-23 11,736.87 11,827.92 11,667.48 11,675.74 11,675.74 4,982,880,000
3-Mar-23 11,524.65 11,699.63 11,514.74 11,689.01 11,689.01 5,102,210,000
2-Mar-23 11,273.77 11,487.59 11,273.61 11,462.98 11,462.98 5,313,760,000
1-Mar-23 11,447.58 11,479.00 11,349.87 11,379.48 11,379.48 4,927,530,000
28-Feb-23 11,451.05 11,548.23 11,435.39 11,455.54 11,455.54 5,340,950,000
27-Feb-23 11,517.19 11,565.23 11,444.60 11,466.98 11,466.98 4,494,000,000
24-Feb-23 11,404.18 11,434.36 11,334.47 11,394.94 11,394.94 4,432,650,000
23-Feb-23 11,636.93 11,638.98 11,432.58 11,590.40 11,590.40 4,714,580,000
22-Feb-23 11,517.20 11,582.52 11,445.17 11,507.07 11,507.07 4,671,270,000
21-Feb-23 11,640.37 11,684.14 11,491.18 11,492.30 11,492.30 5,002,540,000
17-Feb-23 11,777.50 11,803.22 11,673.21 11,787.27 11,787.27 4,925,230,000
16-Feb-23 11,896.31 12,040.34 11,853.36 11,855.83 11,855.83 5,159,410,000
15-Feb-23 11,905.12 12,071.29 11,876.82 12,070.59 12,070.59 5,056,640,000
14-Feb-23 11,808.20 11,999.85 11,760.56 11,960.15 11,960.15 5,032,430,000
13-Feb-23 11,759.09 11,910.92 11,719.73 11,891.79 11,891.79 4,752,880,000
10-Feb-23 11,714.60 11,775.80 11,630.54 11,718.12 11,718.12 4,885,030,000
9-Feb-23 12,069.10 12,070.96 11,745.11 11,789.58 11,789.58 5,536,290,000
8-Feb-23 12,069.12 12,096.39 11,890.09 11,910.52 11,910.52 5,052,870,000
7-Feb-23 11,891.25 12,150.22 11,836.78 12,113.79 12,113.79 5,720,240,000
6-Feb-23 11,904.41 11,973.41 11,843.49 11,887.45 11,887.45 5,538,350,000
3-Feb-23 11,946.86 12,231.31 11,946.86 12,006.95 12,006.95 5,954,490,000
2-Feb-23 12,065.15 12,269.55 12,024.14 12,200.82 12,200.82 7,038,210,000
1-Feb-23 11,573.14 11,904.02 11,500.33 11,816.32 11,816.32 6,336,040,000
31 ene 2023 11,398.58 11,586.01 11,398.37 11,584.55 11,584.55 5,695,150,000
30 ene 2023 11,512.34 11,553.31 11,388.54 11,393.81 11,393.81 5,122,320,000
27 ene 2023 11,470.47 11,691.89 11,470.27 11,621.71 11,621.71 6,243,800,000
26 ene 2023 11,458.40 11,516.05 11,341.19 11,512.41 11,512.41 5,732,890,000
25 ene 2023 11,146.53 11,334.22 11,069.18 11,313.36 11,313.36 5,485,570,000
24 ene 2023 11,302.93 11,378.15 11,282.65 11,334.27 11,334.27 5,670,860,000
23 ene 2023 11,171.94 11,405.50 11,144.03 11,364.41 11,364.41 5,997,810,000
20 ene 2023 10,924.66 11,143.17 10,885.65 11,140.43 11,140.43 5,980,110,000
19 ene 2023 10,890.40 10,932.52 10,804.57 10,852.27 10,852.27 4,660,800,000
18 ene 2023 11,170.95 11,223.41 10,952.05 10,957.01 10,957.01 5,288,630,000
17 ene 2023 11,070.00 11,145.44 11,024.72 11,095.11 11,095.11 5,138,410,000
13 ene 2023 10,906.37 11,084.01 10,900.16 11,079.16 11,079.16 5,077,990,000
12 ene 2023 10,969.26 11,027.75 10,797.12 11,001.10 11,001.10 5,681,240,000
11 ene 2023 10,794.99 10,932.44 10,762.73 10,931.67 10,931.67 5,284,390,000
10 ene 2023 10,607.72 10,743.67 10,589.59 10,742.63 10,742.63 4,710,680,000
