Caso Riesgo Rentabilidad

* Determinar los rendimientos del IGBVL de los últimos 2 años.
* Determinar los rendimientos de una acción que pertenezca al IGBVL en los últimos 2 años.

1RA ACCION: CEMLIMC1 “Cementos Lima SA”
DATOS:
Año | Acción | IGBVL |
Abr-09 | 8.57% | 8.30% |
May-09 | 12.91% | 34.20% |
Jun-09 | -3.57% | -2.48% |
Jul-09 | 3.70% | 7.90% |
Ago-09 | 10.97% | -9.70% |
Sep-09 | 14.08% |8.52% |
Oct-09 | | -6.15% |
Nov-09 | -10.49% | -5.90% |
Dic-09 | 35.00% | 2.70% |
Ene-10 | -0.07% | 1.93% |
Feb-10 | -1.48% | -3.03% |
Mar-10 | 25.01% | 8.05% |
Abr-10 | 2.57% | 4.71% |
May-10 | -4.81% | -8.55% |
Jun-10 | | -3.47% |
Jul-10 | -2.94% | 2.08% |
Ago-10 | 1.44% | 6.15% |
Sep-10 | 23.12% | 17.91% |
Oct-10 | 1.22% | 7.58% |
Nov-10 | 6.47% | 8.50% |
Dic-10 |0.10% | 12.08% |
Ene-11 | -0.03% | -2.08% |
Feb-11 | -0.04% | -1.90% |
Mar-11 | -13.24% | -3.88% |
RENT. ESP. | 4.93% | 3.48% |

COVARIANZA ACCION - MERCADO

Cov(I,m)= | (xi -X) | (xm - Xm) | | |
| 3.64% | 4.82% | | 0.1755% |
| 7.98% | 30.72% | | 0.4113% |
| -8.50% | -5.96% | | 0.0000% |
| -1.23% | 4.42% | | -0.0544% |
| 6.04% | -13.18% | | 0.0886% |
| 9.15% |5.04% | | 4.1408% |
| -4.93% | -9.63% | | 0.4747% |
| -15.42% | -9.38% | | 0.5500% |
| 30.07% | -0.78% | | 0.0123% |
| -5.00% | -1.55% | | 0.0774% |
| -6.41% | -6.51% | | 0.0008% |
| 20.08% | 4.57% | | 0.5137% |
| -2.36% | 1.23% | | -0.0291% |
| -9.74% | -12.03% | | 0.0000% |
| -4.93% | -6.95% | | 0.0000% |
| -7.87% | -1.40% | | 0.1100% |
| -3.49% | 2.67%| | 0.1755% |
| 18.19% | 14.43% | | 2.4516% |
| -3.71% | 4.10% | | -0.1522% |
| 1.54% | 5.02% | | -0.0544% |
| -4.83% | 8.60% | | -0.7959% |
| -4.96% | -5.56% | | 0.2757% |
| -4.97% | -5.38% | | 0.4747% |
| -18.17% | -7.36% | | 1.4461% |
| | | | 10.2926% |

===> | 10.29% | ===> | 0.4475% | ó | 0.004475 |
| 23 | | | | |

VARIANZA DE LAACCION

Var (i) | xi | Xi | xi - Xi | ===> | al 2 |
| 8.57% | 4.93% | 3.6400% | | 0.1325% |
| 12.91% | 4.93% | 7.9800% | | 0.6368% |
| -3.57% | 4.93% | -8.5000% | | 0.7225% |
| 3.70% | 4.93% | -1.2300% | | 0.0151% |
| 10.97% | 4.93% | 6.0400% | | 0.3648% |
| 14.08% | 4.93% | 9.1500% | | 0.8372% |
| 0.00% | 4.93% | -4.9300% | | 0.2430% |
| -10.49% | 4.93% |-15.4200% | | 2.3778% |
| 35.00% | 4.93% | 30.0700% | | 9.0420% |
| -0.07% | 4.93% | -5.0000% | | 0.2500% |
| -1.48% | 4.93% | -6.4100% | | 0.4109% |
| 25.01% | 4.93% | 20.0800% | | 4.0321% |
| 2.57% | 4.93% | -2.3600% | | 0.0557% |
| -4.81% | 4.93% | -9.7400% | | 0.9487% |
| 0.00% | 4.93% | -4.9300% | | 0.2430% |
| -2.94% | 4.93% | -7.8700% | | 0.6194% |
| 1.44% |4.93% | -3.4900% | | 0.1218% |
| 23.12% | 4.93% | 18.1900% | | 3.3088% |
| 1.22% | 4.93% | -3.7100% | | 0.1376% |
| 6.47% | 4.93% | 1.5400% | | 0.0237% |
| 0.10% | 4.93% | -4.8278% | | 0.2331% |
| -0.03% | 4.93% | -4.9609% | | 0.2461% |
| -0.04% | 4.93% | -4.9715% | | 0.2472% |
| -13.24% | 4.93% | -18.1700% | | 3.3015% |
| | | | | 28.5513% |

===> | 28.55% |===> | 1.2414% | ó | 0.012414 |
| 23 | | | | |


VARIANZA DEL MERCADO

Var (m) | xm | Xm | xm - Xm | ===> | al 2 |
| 8.30% | 3.48% | 4.8200% | | 0.2323% |
| 34.20% | 3.48% | 30.7200% | | 9.4372% |
| -2.48% | 3.48% | -5.9600% | | 0.3552% |
| 7.90% | 3.48% | 4.4200% | | 0.1954% |
| -9.70% | 3.48% | -13.1800% | | 1.7371% |
| 8.52% | 3.48% | 5.0400% || 0.2540% |
| -6.15% | 3.48% | -9.6300% | | 0.9274% |
| -5.90% | 3.48% | -9.3800% | | 0.8798% |
| 2.70% | 3.48% | -0.7800% | | 0.0061% |
| 1.93% | 3.48% | -1.5500% | | 0.0240% |
| -3.03% | 3.48% | -6.5100% | | 0.4238% |
| 8.05% | 3.48% | 4.5700% | | 0.2088% |
| 4.71% | 3.48% | 1.2300% | | 0.0151% |
| -8.55% | 3.48% | -12.0300% | | 1.4472% |
| -3.47% | 3.48% |...