Date

9/30/2008
10/1/2008
11/3/2008
12/1/2008
1/2/2009
2/2/2009
3/2/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/3/2009
9/1/2009
10/1/2009
11/2/2009
12/1/2009
1/4/2010
2/1/2010
3/1/2010
4/1/2010
5/3/2010
6/1/2010
7/1/2010
8/2/2010
9/1/2010
10/1/2010
11/1/2010
12/1/2010
1/3/2011
2/1/2011
3/1/2011
4/1/2011
5/2/2011
6/1/2011
7/1/2011
8/1/2011
9/1/2011
10/3/2011
11/1/2011
12/1/2011
1/3/2012
2/1/2012
3/1/2012
4/2/2012

Precio Cierre Precio Cierre Precio Cierre

Apple
Microsoft
S&P 500
110.54
23.51
1166.36
104.64
19.67
968.75
90.13
17.93
896.24
83.01
17.24
903.25
87.66
15.16
825.88
86.86
14.42
735.09
102.23
16.4
797.87
122.38
18.09
872.81
132.08
18.77
919.14
138.52
21.36
919.32
158.91
21.13
987.48
163.59
22.27
1020.62
180.26
23.24
1057.08
183.33
25.06
1036.19
194.42
26.69
1095.63
204.95
27.66
1115.1
186.79
25.58
1073.87
199
26.14
1104.49
228.55
26.71
1169.43
253.92
27.85
1186.69
249.83
23.63
1089.41
244.63
21.08
1030.71
250.19
23.64
1101.6
236.43
21.61
1049.33
275.96
22.55
1141.2
292.72
24.56
1183.26
302.61
23.4
1180.55
313.71
25.86
1257.64
330.01
25.69
1286.12
343.52
24.77
1327.22
338.94
23.66
1325.83
340.52
24.16
1363.61
338.28
23.46
1345.2
326.46
24.39
1320.64
379.76
25.7
1292.28
374.27
25.11
1218.89
370.85
23.5
1131.42
393.67
25.14
1253.3
371.71
24.33
1246.96
393.88
24.69
1257.6
443.95
28.09
1312.41
527.55
30.39
1365.68
583.09
30.88
1408.47
567.95
30.65
1397.91

Rent AAPL

Rent MSFT

Rent S&P
500

-0.05337434
-0.1386659
-0.078997
0.05601735
-0.00912617
0.17695142
0.19710457
0.07926132
0.04875833
0.14719896
0.02945063
0.10190109
0.01703096
0.06049201
0.05416109
-0.08860698
0.06536753
0.14849246
0.11100416
-0.01610744
-0.02081415
0.0227282
-0.0549982
0.16719536
0.06073344
0.03378655
0.03668088
0.05195882
0.04093815
-0.01333256
0.00466159
-0.00657817
-0.03494147
0.16326656
-0.0144565
-0.00913779
0.06153431
-0.05578276
0.05964327
0.12711994
0.18830949
0.10527912
-0.02596512

-0.16333475
-0.08845958
-0.03848299
-0.12064965
-0.04881266
0.13730929
0.10304878
0.03758983
0.13798615
-0.01076779
0.05395173
0.04355635
0.07831325
0.06504389
0.0363432
-0.07519884
0.0218921
0.02180566
0.04268064
-0.15152603
-0.10791367
0.12144213
-0.0858714
0.04349838
0.08913525
-0.04723127
0.10512821
-0.00657386
-0.0358116
-0.04481227
0.02113271
-0.02897351
0.03964194
0.05371054
-0.0229572
-0.06411788
0.06978723
-0.03221957
0.01479655
0.13770757
0.08187967
0.01612372
-0.00744819

-0.16942453
-0.07484903
0.00782157
-0.08565735
-0.10993122
0.08540451
0.09392508
0.05308143
0.00019584
0.07414176
0.03356017
0.03572338
-0.01976199
0.057364
0.0177706
-0.03697426
0.02851369
0.05879637
0.01475933
-0.08197592
-0.05388238
0.06877783
-0.04744916
0.0875511
0.03685594
-0.00229028
0.06530007
0.02264559
0.03195658
-0.0010473
0.02849536
-0.01350093
-0.01825751
-0.02147444
-0.0567911
-0.07176201
0.10772304
-0.00505865
0.00853275
0.04358302
0.04058945
0.03133238
-0.0074975

5/1/2012
6/1/2012
7/2/2012
8/1/2012
9/4/2012
10/1/2012
11/1/2012
12/3/2012
1/2/2013
2/1/2013
3/1/2013
4/1/2013
5/1/2013
6/3/2013
7/1/2013
8/1/2013

561.87
567.97
594
649.76
651.58
581.47
574.27
522.16
446.92
435.62
436.86
436.98
446.78
393.93
449.56
487.22

28.13
29.48
28.4
29.9
28.87
27.68
26.03
26.12
26.85
27.41
28.21
32.64
34.66
34.3
31.62
33.4

1310.33
1362.16
1379.32
1406.58
1440.67
1412.16
1416.18
1426.19
1498.11
1514.68
1569.19
1597.57
1630.74
1606.28
1685.73
1632.97

-0.01070517
0.0108566
0.04582989
0.09387205
0.00280103
-0.10759999
-0.01238241
-0.09074129
-0.14409376
-0.02528417
0.00284652
0.00027469
0.02242666
-0.11829088
0.14121798
0.0837708

-0.0822186
0.04799147
-0.03663501
0.0528169
-0.03444816
-0.04121926
-0.05960983
0.00345755
0.02794793
0.02085661
0.02918643
0.15703651
0.06188725
-0.01038661
-0.07813411
0.05629349

-0.06265067
0.03955492
0.01259764
0.01976336
0.02423609
-0.0197894
0.0028467
0.00706831
0.05042806
0.0110606
0.0359878
0.01808576
0.02076278
-0.01499933
0.04946211
-0.03129801

Resumen
Estadsticas de la regresin
Coeficiente de correlacin mltiple
0.526839305
Coeficiente de determinacin R^2
0.277559654
R^2 ajustado
0.265103786
Error tpico
0.069516415
Observaciones
60
ANLISIS DE VARIANZA
Regresin
Residuos
Total

Intercepcin
Variable X 1

Grados de libertad
Suma de cuadrados
Promedio de los cuadrados F
Valor crtico de F
1 0.10768546 0.10768546 22.2834453 1.5302E-05
58 0.28028685 0.00483253
59 0.38797231
Coeficientes
Error tpico Estadstico t Probabilidad Inferior 95%
0.023451048 0.00903032 2.59692185 0.01190051 0.00537489
0.818174271 0.17332238 4.72053443 1.5302E-05 0.47123183

or crtico de F

Superior 95% Inferior 95.0%Superior 95.0%

0.04152721 0.00537489 0.04152721
1.16511671 0.47123183 1.16511671

Resumen
Estadsticas de la regresin
Coeficiente de correlacin
0.52683931mltiple
Coeficiente de determinacin
0.27755965 R^2
R^2 ajustado 0.26510379
Error tpico
0.06951641
Observaciones
60
ANLISIS DE VARIANZA
Grados de libertad
Suma de cuadrados
Promedio de los cuadrados F
Valor crtico de F
Regresin
1 0.10768546 0.10768546 22.2834453 1.5302E-05
Residuos
58 0.28028685 0.00483253
Total
59 0.38797231
Coeficientes Error tpico Estadstico t Probabilidad Inferior 95% Superior 95%
Intercepcin 0.02345105 0.00903032 2.59692185 0.01190051 0.00537489 0.04152721
Variable X 1
0.81817427 0.17332238 4.72053443 1.5302E-05 0.47123183 1.16511671

Inferior 95.0%Superior 95.0%

0.00537489 0.04152721
0.47123183 1.16511671

Resumen
Estadsticas de la regresin
Coeficiente de correlacin
0.69670127mltiple
Coeficiente de determinacin
0.48539266 R^2
R^2 ajustado 0.47652012
Error tpico
0.0523486
Observaciones
60
ANLISIS DE VARIANZA
Grados de libertad
Suma de cuadrados
Promedio de los cuadrados F
Valor crtico de F
Regresin
1 0.14991855 0.14991855
54.707293 6.3203E-10
Residuos
58
0.1589418 0.00274038
Total
59 0.30886035
Coeficientes Error tpico Estadstico t Probabilidad Inferior 95% Superior 95%
Intercepcin 0.00287022 0.00680019 0.42207928 0.67452763 -0.01074184 0.01648228
Variable X 1
0.96537259 0.13051858 7.39643786 6.3203E-10 0.70411126 1.22663392

Inferior 95.0%Superior 95.0%

-0.01074184 0.01648228
0.70411126 1.22663392

Rent AAPL

Date
9/30/2008
10/1/2008
11/3/2008
12/1/2008
1/2/2009
2/2/2009
3/2/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/3/2009
9/1/2009
10/1/2009
11/2/2009
12/1/2009
1/4/2010
2/1/2010
3/1/2010
4/1/2010
5/3/2010
6/1/2010
7/1/2010
8/2/2010
9/1/2010
10/1/2010
11/1/2010
12/1/2010
1/3/2011
2/1/2011
3/1/2011
4/1/2011
5/2/2011
6/1/2011
7/1/2011
8/1/2011
9/1/2011
10/3/2011
11/1/2011
12/1/2011
1/3/2012
2/1/2012
3/1/2012
4/2/2012
5/1/2012

0
-0.053374344
-0.138665902
-0.078997004
0.056017347
-0.009126169
0.176951416
0.197104568
0.079261317
0.048758328
0.14719896
0.029450632
0.101901094
0.017030955
0.060492009
0.054161095
-0.088606977
0.065367525
0.148492462
0.111004157
-0.016107435
-0.020814154
0.022728202
-0.054998201
0.167195364
0.06073344
0.033786554
0.036680876
0.051958815
0.040938153
-0.013332557
0.004661592
-0.006578175
-0.034941469
0.163266556
-0.014456499
-0.009137788
0.061534313
-0.055782762
0.05964327
0.127119935
0.188309494
0.10527912
-0.025965117
-0.010705168

Rent MSFT

Rent S&P
500

0
-0.16333475
-0.08845958
-0.03848299
-0.12064965
-0.04881266
0.13730929
0.10304878
0.03758983
0.13798615
-0.01076779
0.05395173
0.04355635
0.07831325
0.06504389
0.0363432
-0.07519884
0.0218921
0.02180566
0.04268064
-0.15152603
-0.10791367
0.12144213
-0.0858714
0.04349838
0.08913525
-0.04723127
0.10512821
-0.00657386
-0.0358116
-0.04481227
0.02113271
-0.02897351
0.03964194
0.05371054
-0.0229572
-0.06411788
0.06978723
-0.03221957
0.01479655
0.13770757
0.08187967
0.01612372
-0.00744819
-0.0822186

0
-0.16942453
-0.07484903
0.00782157
-0.08565735
-0.10993122
0.08540451
0.09392508
0.05308143
0.00019584
0.07414176
0.03356017
0.03572338
-0.01976199
0.057364
0.0177706
-0.03697426
0.02851369
0.05879637
0.01475933
-0.08197592
-0.05388238
0.06877783
-0.04744916
0.0875511
0.03685594
-0.00229028
0.06530007
0.02264559
0.03195658
-0.0010473
0.02849536
-0.01350093
-0.01825751
-0.02147444
-0.0567911
-0.07176201
0.10772304
-0.00505865
0.00853275
0.04358302
0.04058945
0.03133238
-0.0074975
-0.06265067

PR(RM-RF)
-0.0012161
-0.17064063
-0.07606513
0.00660547
-0.08687345
-0.11114732
0.08418841
0.09270898
0.05186533
-0.00102026
0.07292566
0.03234407
0.03450728
-0.02097809
0.0561479
0.0165545
-0.03819036
0.02729759
0.05758027
0.01354323
-0.08319202
-0.05509848
0.06756173
-0.04866526
0.086335
0.03563984
-0.00350638
0.06408397
0.02142949
0.03074048
-0.0022634
0.02727926
-0.01471703
-0.01947361
-0.02269054
-0.0580072
-0.07297811
0.10650694
-0.00627475
0.00731665
0.04236692
0.03937335
0.03011628
-0.0087136
-0.06386677

RF
0.0012161

6/1/2012
7/2/2012
8/1/2012
9/4/2012
10/1/2012
11/1/2012
12/3/2012
1/2/2013
2/1/2013
3/1/2013
4/1/2013
5/1/2013
6/3/2013
7/1/2013
8/1/2013
RENTABILIDAD
RIESGO
CORRELACION

0.010856604
0.045829885
0.093872054
0.002801034
-0.107599988
-0.01238241
-0.090741289
-0.144093764
-0.025284167
0.002846518
0.000274688
0.022426656
-0.118290881
0.141217983
0.083770798
0.03
8.109%
0.471114306

BETA AAPL
BETA MSFT

0.04799147
-0.03663501
0.0528169
-0.03444816
-0.04121926
-0.05960983
0.00345755
0.02794793
0.02085661
0.02918643
0.15703651
0.06188725
-0.01038661
-0.07813411
0.05629349
0.01
7.235%

0.03955492
0.01259764
0.01976336
0.02423609
-0.0197894
0.0028467
0.00706831
0.05042806
0.0110606
0.0359878
0.01808576
0.02076278
-0.01499933
0.04946211
-0.03129801
0.700%
5.222%

0.03833882
0.01138154
0.01854726
0.02301999
-0.0210055
0.0016306
0.00585221
0.04921196
0.0098445
0.0347717
0.01686966
0.01954668
-0.01621543
0.04824601
-0.03251411

0.81817427
0.9653

RENT
CAPM AAPL

0.59474%
0.67982%

0.5947
0.6799

10%
PORTAFOLIO
a
b
c
d
e
f
g
h
i
j
k

WAAPL

WMSFT
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

RENTAB P
RIESGO P
min var
2.818%
0.658%
0.426%
2.621%
0.588%
2.424%
0.530%
2.226%
0.485%
2.029%
0.453%
1.832%
0.433%
1.634%
0.426%
1.437%
0.432%
1.240%
0.450%
1.043%
0.480%
0.845%
0.523%

Frontera efciente
3.000%
y = 5.4249x - 0.0086
2.500%

2.000%
Frontera efciente
1.500%
Linear (Frontera
efciente)
1.000%

0.500%

0.000%
0.000%

0.200%

0.400%

0.600%

0.800%

0.0086

Frontera efciente
Linear (Frontera
efciente)