Credicorp Ltd. Compañía de Minas Buenaventura S.A.

BAP BVN
US$ US$

Fecha Retorno Fecha Retorno

1/2/2002 35.1% 1/2/2002 53.2%
2/4/2002 27.0% 2/4/2002 61.9%
3/1/2002 27.4% 3/1/2002 84.5%
4/1/2002 33.0% 4/1/2002 78.1%
5/1/2002 10.5% 5/1/2002 87.7%
6/3/2002 -2.8% 6/3/2002 40.0%
7/1/2002 -7.1% 7/1/2002 19.5%
8/1/2002 -21.0% 8/1/2002 35.8%
9/3/2002 -11.1% 9/3/2002 -0.4%
10/1/2002 -1.0% 10/1/2002 10.8%
11/1/2002 7.0% 11/1/2002 26.1%
12/2/2002 9.6% 12/2/2002 29.0%
1/2/2003 12.2% 1/2/2003 18.9%
2/3/2003 9.7% 2/3/2003 -1.5%
3/3/2003 2.2% 3/3/2003 -6.3%
4/1/2003 5.8% 4/1/2003 1.3%
5/1/2003 21.5% 5/1/2003 0.1%
6/2/2003 31.0% 6/2/2003 19.4%
7/1/2003 36.1% 7/1/2003 63.9%
8/1/2003 45.8% 8/1/2003 51.2%
9/2/2003 45.8% 9/2/2003 89.4%
10/1/2003 42.5% 10/1/2003 118.9%
11/3/2003 33.5% 11/3/2003 165.0%
12/1/2003 46.2% 12/1/2003 119.3%
1/2/2004 20.6% 1/2/2004 73.2%
2/2/2004 27.6% 2/2/2004 96.5%
3/1/2004 32.8% 3/1/2004 136.7%
4/1/2004 38.5% 4/1/2004 66.2%
5/3/2004 27.7% 5/3/2004 62.7%
6/1/2004 35.7% 6/1/2004 50.1%
7/1/2004 35.7% 7/1/2004 32.4%
8/2/2004 40.6% 8/2/2004 20.6%
9/1/2004 45.0% 9/1/2004 21.6%
10/1/2004 39.6% 10/1/2004 5.7%
11/1/2004 34.1% 11/1/2004 -18.3%
12/1/2004 22.3% 12/1/2004 -18.1%
1/3/2005 52.2% 1/3/2005 -8.1%
2/1/2005 50.2% 2/1/2005 -3.1%
3/1/2005 38.2% 3/1/2005 -20.2%
4/1/2005 41.6% 4/1/2005 0.2%
5/2/2005 55.4% 5/2/2005 -7.4%
6/1/2005 60.0% 6/1/2005 5.6%
7/1/2005 76.2% 7/1/2005 11.0%
8/1/2005 71.9% 8/1/2005 10.9%
9/1/2005 112.7% 9/1/2005 32.7%
10/3/2005 91.0% 10/3/2005 5.3%
11/1/2005 82.8% 11/1/2005 21.0%
12/1/2005 50.8% 12/1/2005 25.5%
1/3/2006 76.1% 1/3/2006 32.4%
2/1/2006 65.6% 2/1/2006 14.9%
3/1/2006 60.8% 3/1/2006 10.0%
4/3/2006 62.7% 4/3/2006 44.5%
5/1/2006 46.7% 5/1/2006 22.4%
6/1/2006 56.9% 6/1/2006 20.5%
7/3/2006 50.1% 7/3/2006 25.5%
8/1/2006 74.6% 8/1/2006 14.3%
9/1/2006 53.1% 9/1/2006 -11.7%
10/2/2006 67.2% 10/2/2006 1.9%
11/1/2006 56.7% 11/1/2006 3.7%
12/1/2006 87.1% 12/1/2006 1.0%
1/3/2007 47.6% 1/3/2007 6.2%
2/1/2007 66.5% 2/1/2007 7.6%
3/1/2007 91.7% 3/1/2007 23.5%
4/2/2007 97.5% 4/2/2007 9.5%
5/1/2007 128.1% 5/1/2007 32.9%
6/1/2007 109.4% 6/1/2007 40.2%
7/2/2007 114.4% 7/2/2007 40.0%
8/1/2007 69.1% 8/1/2007 39.7%
9/4/2007 65.4% 9/4/2007 80.8%
10/1/2007 80.6% 10/1/2007 126.7%
11/1/2007 82.8% 11/1/2007 98.5%
12/3/2007 91.2% 12/3/2007 104.8%
1/2/2008 74.2% 1/2/2008 135.2%
2/1/2008 59.3% 2/1/2008 178.5%
3/3/2008 51.0% 3/3/2008 132.2%
4/1/2008 57.0% 4/1/2008 93.3%
5/1/2008 46.0% 5/1/2008 97.5%
6/2/2008 36.9% 6/2/2008 75.6%
7/1/2008 17.3% 7/1/2008 35.7%
8/1/2008 16.9% 8/1/2008 22.2%
9/2/2008 -6.2% 9/2/2008 -1.1%
10/1/2008 -46.1% 10/1/2008 -55.7%
11/3/2008 -37.4% 11/3/2008 -34.9%
12/1/2008 -33.2% 12/1/2008 -29.0%
1/2/2009 -41.3% 1/2/2009 -43.3%
2/2/2009 -49.9% 2/2/2009 -48.9%
3/2/2009 -33.4% 3/2/2009 -29.3%
4/1/2009 -35.8% 4/1/2009 -31.9%
5/1/2009 -33.5% 5/1/2009 -20.5%
6/1/2009 -3.4% 6/1/2009 -15.2%
7/1/2009 14.6% 7/1/2009 8.4%
8/3/2009 7.1% 8/3/2009 -3.0%
9/1/2009 8.9% 9/1/2009 39.3%
10/1/2009 -11.2% 10/1/2009 -4.7%
11/2/2009 3.5% 11/2/2009 19.6%
12/1/2009 7.8% 12/1/2009 -16.6%
1/4/2010 -3.1% 1/4/2010 -5.9%
2/1/2010 4.6% 2/1/2010 6.8%
3/1/2010 12.9% 3/1/2010 -7.9%
4/1/2010 -1.5% 4/1/2010 6.2%
5/3/2010 1.6% 5/3/2010 9.5%
 6/1/2010 2.9% 6/1/2010 6.8%
7/1/2010 7.5% 7/1/2010 0.4%
8/2/2010 7.7% 8/2/2010 7.1%
9/1/2010 8.2% 9/1/2010 9.3%
10/1/2010 10.5% 10/1/2010 17.1%
11/1/2010 -4.8% 11/1/2010 -4.3%
12/1/2010 -0.8% 12/1/2010 -3.3%
1/3/2011 -12.3% 1/3/2011 -16.3%
2/1/2011 -3.7% 2/1/2011 13.8%
3/1/2011 4.5% 3/1/2011 -7.9%
4/1/2011 -8.0% 4/1/2011 -3.0%
5/2/2011 5.0% 5/2/2011 5.9%
6/1/2011 -15.1% 6/1/2011 -13.9%
7/1/2011 13.5% 7/1/2011 7.8%
8/1/2011 2.0% 8/1/2011 14.4%
9/1/2011 -7.5% 9/1/2011 -19.4%
10/3/2011 18.0% 10/3/2011 8.5%
11/1/2011 -0.1% 11/1/2011 -4.3%
12/1/2011 0.8% 12/1/2011 -2.1%
1/3/2012 3.8% 1/3/2012 11.9%
2/1/2012 8.1% 2/1/2012 -6.5%
3/1/2012 7.3% 3/1/2012 0.4%
4/2/2012 -0.7% 4/2/2012 2.4%
5/1/2012 -4.7% 5/1/2012 -5.2%
6/1/2012 0.9% 6/1/2012 -3.0%
7/2/2012 -7.9% 7/2/2012 -4.1%
8/1/2012 4.0% 8/1/2012 -4.8%
9/4/2012 3.9% 9/4/2012 12.4%
10/1/2012 3.2% 10/1/2012 -8.2%
11/1/2012 8.2% 11/1/2012 -8.4%

Promedio 27.19% Promedio 23.47%

Desv Est 36.22% Desv Est 43.57%
Max 128.10% Max 178.53%
Min -49.90% Min -55.69%

Coef de Correlacion
BAP-BVN 0.4573
Teoría Financiera y Costo de Capital

A B C D E F G H I J K L M N O P Q R S T U
1
2 PORTAFOLIO DE DOS ACTIVOS FINANCIEROS
3 CASO MI FONDO
4
5
6 I. ESTADIGRAFOS EN LA CONSTRUCCION DE PORTAFOLIOS DE DOS ACTIVOS
7
8 1. Promedio: Rendimiento Esperado
9
10 BAP R1 27.19% BVN R2 23.47%
11
12 2. Desviacion Estandar: Riesgo
13
14 BAP σ1 36.22% BVN σ2 43.57%
15
16 3. Indice de Correlacion
17
18 BAP-BVN CORR12 0.4573
19
20
21 II. PORTAFOLIOS DE UN ACTIVO LIBRE DE RIESGO Y UN ACTIVO RIESGOSO
22

P ro m e d io (R e to rn o )
23 1. Evaluacion Individual de Activos Riesgosos
24
25 Retorno Riesgo
26 Ri σi
27 BAP 27.19% 36.22%
Portafolio de dos Activos Financieros
28 BVN 23.47% 43.57% 28%
29 27%
26%
30
25%
31 24%
32 23%
33 22%
34 21%
35% 36% 37% 38% 39% 40% 41% 42% 43% 44% 45%
35
Desv Est (Riesgo)
36
37
38

Prof. Fénix Suto

488004960.xls / Portafolio 4
Universidad ESAN
Teoría Financiera y Costo de Capital

A B C D E F G H I J K L M N O P Q R S T U V W X
39 III. PORTAFOLIO DE ACTIVOS RIESGOSOS
40
41 BAP R1 27.19% BVN R2 23.47%
42 σ1 36.22% σ2 43.57%
43
44 Portafolio w1 40.0% Rp12 24.96%
45 BAP-BVN w2 60.0% σp12 35.21% σ T =√ w21 σ 21 +w22 σ 22+2w1 w 2 ρ12 σ 1 σ 2
46 CORR12 0.4573
47
48 w1 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100%
49 w2 60.00% 100% 95% 90% 85% 80% 75% 70% 65% 60% 55% 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0%
50 Rp12 24.96% 23.47% 23.65% 23.84% 24.03% 24.21% 24.40% 24.58% 24.77% 24.96% 25.14% 25.33% 25.51% 25.70% 25.89% 26.07% 26.26% 26.44% 26.63% 26.82% 27.00% 27.19%
51 σp12 35.21% 43.57% 42.25% 41.00% 39.82% 38.71% 37.69% 36.76% 35.93% 35.21% 34.60% 34.11% 33.74% 33.50% 33.39% 33.42% 33.57% 33.86% 34.27% 34.80% 35.45% 36.22%
52
53

Promedio (Retorno)
54 Portafolio de 2 Activos Riesgosos
55
56
28.00%
57
58
27.00%
59
60 26.00%
61
62 25.00% BAP-BVN
63
64 24.00%
65
66 23.00%
67
22.00%
68
69
21.00%
70
32.00% 34.00% 36.00% 38.00% 40.00% 42.00% 44.00% 46.00%
71
Desv Est (Riesgo)
72
73
74
75 IV. DETERMINACION DEL PUNTO TANGENTE O RETORNO DE MERCADO
76
77 Activo Libre de rf 6.00%
78 Riesgo (T-Bill) σf 0.00%
79 σ 11 w1 + σ 12 w2 =R1 −r f
80 BAP R1 27.19% BVN R2 23.47%
81 σ1 36.22% σ2 43.57% σ 21 w 1 +σ 22 w2 =R2 −r f
82 Donde :
83 Indice Correlación CORR12 0.4573
84 σ 11 =ρ 11 σ 1 σ 1=σ 21
85 (1) 13.12% w1 + 7.22% w2 = 21.19% …. (R1 - rf) σ 12 =σ 21=ρ12 σ 1 σ 2
86 (2) 7.22% w1 + 18.99% w2 = 17.47% …. (R2 - rf)
87 σ 22 =ρ22 σ 2 σ 2 =σ 22
88 (1)* -7.22% w1 + -3.97% w2 = -11.66%
Se puede _exp resar :
89
90 (1)*+(2) 0.00% w1 + 15.02% w2 = 5.81% σ 21 w1 + ρ12 σ 1 σ 2 w2 =R 1−r f
91
92 w2 0.39 21.62%
ρ12 σ 1 σ 2 w 1 +σ 22 w2 =R 2 −r f
93 w1 1.40 78.38%
94 1.79 RT =w1 R1 +w 2 R2
95
96 RT12 26.38%
σT =√ w21 σ21+w22 σ22+2w1 w 2 ρ12 σ1 σ 2
97 σT12 33.75% 0.6765255
98
99

Prof. Fénix Suto

488004960.xls / Portafolio 5
Universidad ESAN
Teoría Financiera y Costo de Capital

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z AA AB
100 V. DETERMINACION DE LA LÍNEA DE MERCADO
101
102 Activo Libre de rf 6.00%
103 Riesgo (T-Bill) σf 0.00%
104
105 Portafolio RT12 26.38%
106 BAP-BVN σT12 33.75%
107
108 Portafolio wf 40.00% RpT12 18.23%
109 rf-BAP-BVN wT12 60.00% σpT12 20.25%
110
111 wf 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100%
112 wT12 60.0% 100% 95% 90% 85% 80% 75% 70% 65% 60% 55% 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0%
113 RpT12 18.23% 26.38% 25.36% 24.35% 23.33% 22.31% 21.29% 20.27% 19.25% 18.23% 17.21% 16.19% 15.17% 14.15% 13.13% 12.12% 11.10% 10.08% 9.06% 8.04% 7.02% 6.00%
114 σpT12 20.25% 33.75% 32.06% 30.38% 28.69% 27.00% 25.31% 23.63% 21.94% 20.25% 18.56% 16.88% 15.19% 13.50% 11.81% 10.13% 8.44% 6.75% 5.06% 3.38% 1.69% 0.00%
115
116
117
118
Portafolio de Activo Libre de Riesgo y Portafolio de Mercado
Promedio (Retorno)

119
120 30.00%
121
122
123 25.00%
124
125 .
20.00%
126
127
128 15.00%
129
130
131 10.00%
132
133
5.00%
134
135
136 0.00%
137 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 50.00%
138
Desv Est (Riesgo)
BAP-BVN RpT12

Prof. Fénix Suto

488004960.xls / Portafolio 6
Universidad ESAN