PRECIOS HISTORICOS MCDO3 4 5 6

Date GM HD HPQ IBM DJIAJul-99 24.32 28.88 11.74 13.02 646.64 Jul-99Aug-99 27.88 28.21 12.10 13.57 654.48 Aug-99Sep-99 24.56 28.69 12.94 13.42 640.55 Sep-99Oct-99 24.08 29.56 13.04 12.87 657.03 Oct-99Nov-99 24.05 30.84 12.87 13.12 668.87 Nov-99Dec-99 22.13 30.96 11.89 13.43 664.91 Dec-99Jan-00 23.90 29.75 11.99 13.07 631.19 Jan-00Feb-00 25.63 31.54 12.78 13.59 639.69 Feb-00Mar-00 27.75 32.19 12.07 14.80 670.79 Mar-00Apr-00 28.60 31.65 12.00 13.48 684.67 Apr-00May-00 35.53 32.24 12.96 15.46 731.00 May-00Jun-00 33.59 29.08 12.91 14.62 711.44 Jun-00Jul-00 34.60 28.76 13.90 15.08 751.00 Jul-00Aug-00 31.83 29.73 14.32 15.11 751.37 Aug-00Sep-00 30.22 28.60 13.60 15.42 715.43 Sep-00Oct-00 35.15 29.23 13.94 17.09 753.07 Oct-00Nov-00 37.68 31.36 14.61 18.64 792.80 Nov-00Dec-00 39.09 31.60 14.87 20.39 822.67 Dec-00Jan-01 45.55 36.01 17.37 21.24 882.01 Jan-01Feb-01 43.59 36.69 16.09 21.90 826.69 Feb-01Mar-01 45.32 35.41 15.96 20.24 865.73 Mar-01Apr-01 41.87 36.17 14.12 19.20 831.15 Apr-01May-01 46.47 39.37 12.98 17.85 863.27 May-01Jun-01 44.14 36.75 13.51 17.96 871.83 Jun-01Jul-01 41.42 41.60 14.58 17.76 875.61 Jul-01Aug-01 43.73 43.40 13.99 20.08 931.87 Aug-01Sep-01 43.24 46.20 13.04 20.14 972.72 Sep-01Oct-01 47.95 43.79 14.61 20.80 975.80 Oct-01Nov-01 48.53 43.99 13.04 19.95 951.79 Nov-01Dec-01 47.13 44.03 12.32 19.10 983.46 Dec-01Jan-02 54.07 36.08 12.87 17.51 966.24 Jan-02Feb-02 45.84 30.29 11.10 15.07 820.42 Feb-02Mar-02 51.99 27.30 13.08 15.87 866.35 Mar-02Apr-02 59.72 29.43 14.51 16.03 930.23 Apr-02May-02 66.19 33.87 13.56 17.52 979.22 May-02Jun-02 73.45 28.69 13.52 16.21 1028.06 Jun-02Jul-02 72.56 24.32 15.07 15.26 1063.61 Jul-02Aug-02 66.97 22.38 14.59 15.96 1022.87 Aug-02Sep-02 69.48 25.68 14.74 15.99 1055.90 Sep-02Oct-02 81.49 29.56 22.14 22.37 1089.06 Oct-02Nov-02 90.01 33.27 19.50 18.95 1055.13 Nov-02Dec-02 99.65 31.05 21.80 20.59 1105.47 Dec-02Jan-03 96.29 28.44 20.96 20.10 1063.17 Jan-03Feb-03 94.89 23.41 22.52 19.28 1049.70 Feb-03Mar-03 91.58 22.14 21.51 18.55 1013.09 Mar-03Apr-03 73.88 16.69 20.92 18.70 1069.40 Apr-03May-03 77.08 14.70 22.48 15.58 1082.61 May-03Jun-03 80.15 12.94 28.29 15.70 1137.63 Jun-03Jul-03 82.85 12.84 23.60 14.15 1072.51 Jul-03Aug-03 75.41 10.23 23.12 11.62 1043.88 Aug-03Sep-03 86.28 9.71 23.55 12.98 1137.09 Sep-03Oct-03 80.71 9.17 21.60 13.00 1094.57 Oct-03Nov-03 77.24 11.89 19.40 12.52 1063.23 Nov-03Dec-03 78.32 12.02 19.12 11.01 1081.16 Dec-03Jan-04 79.68 10.60 19.80 11.09 1056.09 Jan-04Feb-04 93.16 9.15 21.72 11.90 1112.35 Feb-04Mar-04 78.92 7.66 16.40 9.96 1045.43 Mar-04Apr-04 68.53 7.65 18.46 11.31 1032.86 Apr-04

May-04 64.67 6.22 18.09 12.59 943.36 May-04Jun-04 58.36 6.97 21.35 15.04 940.36 Jun-04Jul-04 76.34 8.99 23.33 14.06 965.87 Jul-04Aug-04 67.68 10.34 22.55 13.13 870.31 Aug-04Sep-04 64.68 10.14 22.50 13.91 808.44 Sep-04Oct-04 76.85 12.79 25.72 15.73 864.07 Oct-04Nov-04 74.15 13.17 26.70 16.84 861.98 Nov-04Dec-04 74.71 16.48 24.56 15.44 834.09 Dec-04Jan-05 68.73 17.73 23.91 16.98 818.85 Jan-05Feb-05 64.88 14.84 23.15 15.30 760.49 Feb-05Mar-05 59.08 13.44 18.68 13.60 692.96 Mar-05Apr-05 69.07 13.30 19.38 13.57 699.51 Apr-05May-05 73.39 15.40 23.00 14.28 746.75 May-05Jun-05 76.19 16.21 21.01 15.60 746.47 Jun-05Jul-05 67.42 14.94 21.02 15.01 729.00 Jul-05Aug-05 60.90 11.64 21.95 16.44 708.14 Aug-05Sep-05 64.03 12.24 21.88 16.70 728.22 Sep-05Oct-05 51.15 12.83 19.57 16.01 677.75 Oct-05Nov-05 48.82 14.32 20.03 15.19 666.25 Nov-05Dec-05 43.33 12.78 18.83 14.11 612.85 Dec-05Jan-06 42.02 10.19 15.33 12.88 559.73 Jan-06Feb-06 44.70 9.96 14.09 12.47 557.72 Feb-06Mar-06 34.29 9.06 10.75 10.55 492.15 Mar-06Apr-06 46.02 10.84 12.18 11.58 530.12 Apr-06May-06 50.33 13.39 14.07 14.03 555.52 May-06Jun-06 44.48 12.87 12.44 12.74 517.46 Jun-06Jul-06 44.49 10.80 10.70 12.24 498.84 Jul-06Aug-06 44.04 10.97 11.08 12.96 486.01 Aug-06Sep-06 43.91 10.75 10.39 13.45 485.69 Sep-06Oct-06 47.11 9.31 12.26 14.34 520.31 Oct-06Nov-06 48.49 9.37 13.03 14.09 541.81 Nov-06Dec-06 45.02 9.03 13.38 14.90 542.91 Dec-06Jan-07 43.93 9.95 14.44 18.00 546.59 Jan-07Feb-07 44.01 11.25 14.80 18.98 551.15 Feb-07Mar-07 46.96 11.22 13.42 18.02 539.42 Mar-07Apr-07 47.12 12.37 16.04 19.09 563.63 Apr-07May-07 47.30 12.89 16.59 19.62 562.18 May-07Jun-07 47.95 13.48 19.03 21.21 584.96 Jun-07Jul-07 50.83 13.36 16.95 19.85 589.22 Jul-07Aug-07 49.02 15.60 18.47 19.06 590.49 Aug-07Sep-07 46.18 17.40 16.93 19.70 575.01 Sep-07Oct-07 43.89 16.83 14.86 19.25 559.63 Oct-07Nov-07 43.74 17.60 15.04 18.47 560.60 Nov-07Dec-07 43.07 18.38 15.71 19.27 564.78 Dec-07Jan-08 42.10 19.33 15.07 17.73 539.72 Jan-08Feb-08 40.60 18.33 15.15 17.36 535.24 Feb-08Mar-08 40.67 16.69 14.45 17.66 534.49 Mar-08

Varianza Varianza

Promedio Mensual

Promedio Mensual

Prom. Anual compuesta

Prom. Anual compuesta

Promedio Anual simple

Promedio Anual simple

RmTasa Anual (%) Tasa Mensual 3 4 5 6Treasury 10y Treasury 10y GM HD HPQ IBM DJIA

5.81 0.0017336.00 0.001761 0.146011 -0.023229 0.030387 0.041816 0.0121196.29 0.001801 -0.119094 0.017013 0.069455 -0.010387 -0.0212746.61 0.001843 -0.019426 0.030498 0.007470 -0.041063 0.0257216.81 0.001869 -0.001031 0.043146 -0.013160 0.018933 0.0180196.93 0.001883 -0.079897 0.003948 -0.075967 0.024095 -0.0059096.85 0.001874 0.079850 -0.038964 0.008889 -0.026841 -0.0507256.59 0.001840 0.072308 0.060051 0.065928 0.039731 0.0134736.74 0.001859 0.082865 0.020463 -0.055656 0.088806 0.0486176.41 0.001816 0.030684 -0.016646 -0.006102 -0.089245 0.0206946.05 0.001768 0.242090 0.018536 0.079977 0.146749 0.0676596.12 0.001777 -0.054553 -0.097976 -0.003873 -0.053951 -0.0267456.36 0.001809 0.030058 -0.010913 0.076761 0.031110 0.0556036.17 0.001784 -0.080102 0.033834 0.030132 0.002267 0.0004826.39 0.001814 -0.050369 -0.038164 -0.050320 0.020596 -0.0478256.55 0.001834 0.163050 0.022181 0.024937 0.107781 0.0526146.34 0.001807 0.071806 0.072677 0.048145 0.091169 0.0527526.10 0.001774 0.037652 0.007672 0.018009 0.093711 0.0376795.81 0.001734 0.165125 0.139519 0.167841 0.041856 0.0721255.85 0.001740 -0.043112 0.018918 -0.073335 0.030877 -0.0627195.74 0.001723 0.039789 -0.034728 -0.008466 -0.075987 0.0472285.54 0.001694 -0.076059 0.021271 -0.115002 -0.051270 -0.0399415.37 0.001669 0.109768 0.088546 -0.080551 -0.070225 0.0386435.28 0.001654 -0.050083 -0.066496 0.040635 0.006035 0.0099195.00 0.001611 -0.061592 0.131879 0.078861 -0.010808 0.0043365.00 0.001611 0.055700 0.043245 -0.040513 0.130293 0.0642525.04 0.001617 -0.011214 0.064470 -0.067683 0.003110 0.0438325.01 0.001611 0.108975 -0.052131 0.120009 0.032652 0.0031664.98 0.001608 0.011925 0.004565 -0.107453 -0.040832 -0.0246074.82 0.001582 -0.028732 0.000906 -0.055164 -0.042580 0.0332784.76 0.001571 0.147287 -0.180456 0.045140 -0.083449 -0.0175084.63 0.001549 -0.152253 -0.160495 -0.137821 -0.139260 -0.1509204.14 0.001462 0.134202 -0.098748 0.178176 0.053111 0.0559853.88 0.001412 0.148552 0.078062 0.109834 0.010188 0.0737374.11 0.001456 0.108460 0.150719 -0.065834 0.093069 0.0526583.93 0.001422 0.109699 -0.152839 -0.002443 -0.074988 0.0498843.97 0.001429 -0.012226 -0.152459 0.114280 -0.058270 0.0345734.18 0.001468 -0.077045 -0.079536 -0.031984 0.045446 -0.0383034.34 0.001498 0.037626 0.147321 0.010621 0.002099 0.0322914.27 0.001486 0.172843 0.150931 0.501616 0.398848 0.0314054.54 0.001533 0.104515 0.125605 -0.119106 -0.152813 -0.0311524.80 0.001578 0.107060 -0.066534 0.117926 0.086421 0.0477114.68 0.001558 -0.033740 -0.084224 -0.038721 -0.023790 -0.0382614.77 0.001573 -0.014465 -0.176665 0.074720 -0.040612 -0.0126764.73 0.001566 -0.034904 -0.054593 -0.045080 -0.038123 -0.0348714.85 0.001586 -0.193307 -0.245874 -0.027343 0.008492 0.0555834.75 0.001570 0.043393 -0.119383 0.074641 -0.167009 0.0123464.92 0.001597 0.039761 -0.119789 0.258585 0.008004 0.0508265.18 0.001639 0.033658 -0.007855 -0.165980 -0.098699 -0.0572425.04 0.001616 -0.089808 -0.202904 -0.020321 -0.179396 -0.0266964.80 0.001578 0.144206 -0.051549 0.018833 0.117302 0.0892964.56 0.001538 -0.064521 -0.055244 -0.082968 0.001442 -0.0374014.87 0.001590 -0.042996 0.296979 -0.101809 -0.036691 -0.0286264.58 0.001541 0.013933 0.010416 -0.014572 -0.120870 0.0168594.52 0.001529 0.017370 -0.117633 0.035900 0.008027 -0.0231854.32 0.001495 0.169213 -0.137033 0.096624 0.072165 0.0532684.27 0.001485 -0.152922 -0.162966 -0.244652 -0.163018 -0.0601614.19 0.001472 -0.131625 -0.001501 0.125486 0.135895 -0.012020

Tasa Libre de Riesgo (Rf) RENTABILIDAD MENSUAL (Rj)

4.15 0.001463 -0.056338 -0.186407 -0.019980 0.113325 -0.0866523.77 0.001391 -0.097511 0.120858 0.179777 0.194453 -0.0031843.69 0.001374 0.308116 0.288855 0.093107 -0.065039 0.0271253.62 0.001360 -0.113520 0.150403 -0.033785 -0.066124 -0.0989293.45 0.001324 -0.044327 -0.019375 -0.002114 0.058916 -0.0710993.59 0.001355 0.188217 0.261317 0.143202 0.130983 0.0688223.74 0.001385 -0.035126 0.029716 0.038159 0.070541 -0.0024253.64 0.001364 0.007549 0.251081 -0.079991 -0.082739 -0.0323493.58 0.001352 -0.080082 0.076092 -0.026580 0.099564 -0.0182823.37 0.001308 -0.056016 -0.162739 -0.032058 -0.099139 -0.0712673.18 0.001267 -0.089401 -0.094284 -0.192936 -0.111136 -0.0888013.05 0.001237 0.169160 -0.010686 0.037494 -0.001847 0.0094573.08 0.001243 0.062458 0.157533 0.186615 0.052006 0.0675353.35 0.001303 0.038201 0.053150 -0.086207 0.092939 -0.0003763.29 0.001290 -0.115129 -0.078448 0.000334 -0.038181 -0.0234033.18 0.001265 -0.096627 -0.220827 0.044337 0.095035 -0.0286173.39 0.001312 0.051388 0.051282 -0.003456 0.015844 0.0283603.32 0.001296 -0.201248 0.047861 -0.105693 -0.041082 -0.0693073.26 0.001283 -0.045520 0.116120 0.024015 -0.050991 -0.0169663.09 0.001245 -0.112396 -0.107197 -0.060202 -0.071196 -0.0801472.89 0.001198 -0.030354 -0.202876 -0.186072 -0.087012 -0.0866872.62 0.001132 0.063951 -0.022030 -0.080327 -0.031940 -0.0035822.36 0.001063 -0.232998 -0.090669 -0.237204 -0.154491 -0.1175732.38 0.001069 0.342225 0.196783 0.132829 0.098071 0.0771412.43 0.001082 0.093620 0.234595 0.155531 0.211488 0.0479242.40 0.001073 -0.116200 -0.038728 -0.116119 -0.091748 -0.0685222.39 0.001070 0.000152 -0.160389 -0.139547 -0.039462 -0.0359662.28 0.001040 -0.010026 0.014955 0.035396 0.059219 -0.0257232.21 0.001020 -0.002906 -0.019289 -0.062687 0.037261 -0.0006672.27 0.001038 0.072762 -0.133881 0.179986 0.066407 0.0712822.03 0.000968 0.029371 0.005828 0.063369 -0.017476 0.0413221.88 0.000920 -0.071576 -0.035689 0.026708 0.057473 0.0020322.22 0.001024 -0.024195 0.100798 0.078984 0.208202 0.0067812.46 0.001090 0.001832 0.131061 0.024713 0.054493 0.0083372.34 0.001057 0.066851 -0.002307 -0.092918 -0.050609 -0.0212892.33 0.001054 0.003446 0.102133 0.195497 0.059385 0.0448892.31 0.001049 0.003854 0.041813 0.034067 0.027668 -0.0025802.27 0.001038 0.013698 0.046045 0.146908 0.081231 0.0405382.19 0.001014 0.060122 -0.008681 -0.109476 -0.064201 0.0072772.13 0.000997 -0.035617 0.167377 0.090207 -0.040009 0.0021611.98 0.000952 -0.057825 0.115381 -0.083542 0.033513 -0.0262212.22 0.001024 -0.049632 -0.032847 -0.122369 -0.022638 -0.0267492.39 0.001070 -0.003581 0.045688 0.012324 -0.040584 0.0017282.37 0.001065 -0.015263 0.044536 0.044297 0.043570 0.0074662.23 0.001026 -0.022483 0.051831 -0.040385 -0.079892 -0.0443782.10 0.000988 -0.035608 -0.052010 0.004879 -0.021105 -0.0082922.00 0.000960 0.001598 -0.089162 -0.045809 0.017390 -0.001404

0.001427 0.009918 0.001254 0.007608 0.006849 -0.000686

0.017254

0.017119 0.119010 0.015048 0.091295 0.082183 -0.008237

Columna 1 Columna 2 Columna 3 Columna 4Columna 1 0.010229962

Columna 2 0.003780076 0.013085562Columna 3 0.004940368 0.002884167 0.011690376Columna 4 0.002929111 0.003251435 0.006070249 0.008128429

0.010229962 0.003780076 0.004940368 0.0029291110.013085562 0.002884167 0.003251435

0.011690376 0.0060702490.008128429

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Comportamiento Precios GM

GMLinear (GM)

0.0

10.0

20.0

30.0

40.0

50.0

Comportamiento Precios HD

HDLinear (HD)

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Comportamiento Precios HPQ

HPQ Linear (HPQ)

0.0

5.0

10.0

15.0

20.0

25.0

Comportamiento Precios IBM

IBMLinear (IBM)

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

Comportamiento Precios Mercado

DJIA Linear (DJIA)

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

Comportamiento Precios Mercado

DJIA Linear (DJIA)

y x ResumenPrima Inst Prima Riesgo GM(Rj-Rf) (Rm-Rf) Estadísticas de la regresión

Coeficiente de 0.6593328830.144250 0.010358 Coeficiente de 0.434719851

-0.120894 -0.023075 R^2 ajustado 0.429177889-0.021269 0.023878 Error típico 0.076763238-0.002899 0.016151 Observaciones 104-0.081780 -0.0077920.077977 -0.052598 ANÁLISIS DE VARIANZA0.070468 0.011633 Grados de libertadSuma de cuadradosPromedio de los cuadrados F0.081006 0.046757 Regresión 1 0.462223992 0.462223992 78.4415034510.028867 0.018878 Residuos 102 0.601044666 0.0058925950.240322 0.065891 Total 103 1.063268658

-0.056330 -0.0285220.028248 0.053794 Coeficientes Error típico Estadístico t Probabilidad

-0.081886 -0.001301 Intercepción 0.011464554 0.007534724 1.521562557 0.1312128612-0.052183 -0.049639 Variable X 1 1.407839655 0.158957213 8.856720807 2.739353E-140.161215 0.0507790.069999 0.0509450.035877 0.0359050.163391 0.070391

-0.044852 -0.0644590.038066 0.045505

-0.077753 -0.0416350.108100 0.036974

-0.051737 0.008264-0.063203 0.0027250.054089 0.062642

-0.012831 0.0422150.107364 0.0015550.010317 -0.026215

-0.030313 0.0316970.145716 -0.019079

-0.153801 -0.1524680.132740 0.0545230.147140 0.0723250.107004 0.0512020.108276 0.048462

-0.013655 0.033144-0.078513 -0.0397710.036127 0.0307930.171357 0.0299190.102982 -0.0326850.105482 0.046133

-0.035299 -0.039820-0.016039 -0.014250-0.036470 -0.036436-0.194892 0.0539970.041823 0.0107760.038164 0.0492290.032019 -0.058881

-0.091424 -0.0283120.142628 0.087718

-0.066059 -0.038939-0.044586 -0.0302160.012392 0.0153180.015841 -0.0247140.167718 0.051773

-0.154407 -0.061646-0.133096 -0.013491

-0.057801 -0.088115-0.098902 -0.0045750.306742 0.025751

-0.114880 -0.100289-0.045651 -0.0724230.186862 0.067467

-0.036511 -0.0038100.006185 -0.033713

-0.081434 -0.019634-0.057324 -0.072575-0.090668 -0.0900680.167923 0.0082200.061214 0.0662910.036899 -0.001679

-0.116419 -0.024693-0.097892 -0.0298820.050076 0.027049

-0.202544 -0.070603-0.046803 -0.018249-0.113641 -0.081392-0.031552 -0.0878850.062818 -0.004714

-0.234061 -0.1186360.341155 0.0760720.092538 0.046843

-0.117273 -0.069595-0.000919 -0.037036-0.011066 -0.026763-0.003925 -0.0016860.071724 0.0702440.028403 0.040354

-0.072496 0.001112-0.025219 0.0057570.000743 0.0072470.065794 -0.0223460.002392 0.0438350.002805 -0.0036290.012659 0.0395000.059108 0.006264

-0.036614 0.001164-0.058777 -0.027173-0.050656 -0.027773-0.004651 0.000658-0.016328 0.006401-0.023509 -0.045404-0.036596 -0.0092800.000638 -0.002364

0.0

10.0

20.0

30.0

40.0

50.0

Comportamiento Precios HD

HDLinear (HD)

0.0

5.0

10.0

15.0

20.0

25.0

Comportamiento Precios IBM

IBMLinear (IBM)

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

Comportamiento Precios Mercado

DJIA Linear (DJIA)

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

Comportamiento Precios Mercado

DJIA Linear (DJIA)

y xPrima Inst Prima Riesgo(Rj-Rf) (Rm-Rf)

-0.024990 0.0103580.015213 -0.0230750.028655 0.0238780.041278 0.0161510.002065 -0.007792

-0.040837 -0.052598Valor crítico de F 0.058212 0.011633

2.739353E-14 0.018604 0.046757-0.018462 0.0188780.016768 0.065891

-0.099753 -0.028522Inferior 95% Superior 95% Inferior 95,0% Superior 95,0% -0.012722 0.053794-0.003480535 0.026409644 -0.003480535 0.026409644 0.032050 -0.0013011.0925487853 1.723130524 1.092548785 1.723130524 -0.039979 -0.049639

0.020346 0.0507790.070870 0.0509450.005898 0.0359050.137785 0.0703910.017178 -0.064459

-0.036451 0.0455050.019577 -0.0416350.086878 0.036974

-0.068150 0.0082640.130268 0.0027250.041634 0.0626420.062853 0.042215

-0.053742 0.0015550.002957 -0.026215

-0.000675 0.031697-0.182027 -0.019079-0.162043 -0.152468-0.100210 0.0545230.076650 0.0723250.149263 0.051202

-0.154262 0.048462-0.153888 0.033144-0.081004 -0.0397710.145823 0.0307930.149445 0.0299190.124072 -0.032685

-0.068112 0.046133-0.085782 -0.039820-0.178238 -0.014250-0.056159 -0.036436-0.247460 0.053997-0.120953 0.010776-0.121386 0.049229-0.009494 -0.058881-0.204521 -0.028312-0.053127 0.087718-0.056782 -0.0389390.295389 -0.0302160.008875 0.015318

-0.119162 -0.024714-0.138527 0.051773-0.164451 -0.061646-0.002973 -0.013491

-0.187870 -0.0881150.119467 -0.0045750.287481 0.0257510.149043 -0.100289

-0.020699 -0.0724230.259962 0.0674670.028331 -0.0038100.249717 -0.0337130.074739 -0.019634

-0.164047 -0.072575-0.095550 -0.090068-0.011923 0.0082200.156290 0.0662910.051847 -0.001679

-0.079738 -0.024693-0.222092 -0.0298820.049971 0.0270490.046565 -0.0706030.114837 -0.018249

-0.108442 -0.081392-0.204074 -0.087885-0.023162 -0.004714-0.091732 -0.1186360.195714 0.0760720.233513 0.046843

-0.039801 -0.069595-0.161459 -0.0370360.013915 -0.026763

-0.020309 -0.001686-0.134919 0.0702440.004861 0.040354

-0.036609 0.0011120.099774 0.0057570.129971 0.007247

-0.003364 -0.0223460.101079 0.0438350.040764 -0.0036290.045007 0.039500

-0.009695 0.0062640.166380 0.0011640.114429 -0.027173

-0.033872 -0.0277730.044617 0.0006580.043471 0.0064010.050805 -0.045404

-0.052998 -0.009280-0.090121 -0.002364

ResumenHD

Estadísticas de la regresiónCoeficiente de 0.292458427Coeficiente de 0.085531932R^2 ajustado 0.076566558Error típico 0.110479907Observaciones 104

ANÁLISIS DE VARIANZAGrados de libertadSuma de cuadradosPromedio de los cuadrados F Valor crítico de F

Regresión 1 0.116446518 0.116446518 9.540253332 0.002590093Residuos 102 1.244992608 0.01220581Total 103 1.361439126

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%Intercepción 0.001321395 0.010844197 0.121852695 0.903255424 -0.020188017 0.022830806 -0.020188017Variable X 1 0.706626964 0.228775889 3.088730052 0.002590093 0.252851085 1.160402844 0.252851085

y x ResumenPrima Inst Prima Riesgo HPQ(Rj-Rf) (Rm-Rf) Estadísticas de la regresión

Coeficiente de 0.6003141580.028626 0.010358 Coeficiente de 0.3603770880.067654 -0.023075 R^2 ajustado 0.3541062750.005627 0.023878 Error típico 0.087310141

-0.015029 0.016151 Observaciones 104-0.077850 -0.0077920.007016 -0.052598 ANÁLISIS DE VARIANZA0.064088 0.011633 Grados de libertadSuma de cuadradosPromedio de los cuadrados

-0.057515 0.046757 Regresión 1 0.438089368 0.438089368-0.007919 0.018878 Residuos 102 0.777552199 0.0076230610.078209 0.065891 Total 103 1.215641567

-0.005650 -0.028522Superior 95,0% 0.074951 0.053794 Coeficientes Error típico Estadístico t

0.022830806 0.028349 -0.001301 Intercepción 0.009076332 0.00856996 1.0590869021.160402844 -0.052134 -0.049639 Variable X 1 1.370592366 0.180797176 7.580828395

0.023103 0.0507790.046338 0.0509450.016234 0.0359050.166107 0.070391

-0.075075 -0.064459-0.010189 0.045505-0.116696 -0.041635-0.082220 0.0369740.038981 0.0082640.077250 0.002725

-0.042124 0.062642-0.069300 0.0422150.118398 0.001555

-0.109061 -0.026215-0.056746 0.0316970.043569 -0.019079

-0.139370 -0.1524680.176714 0.0545230.108422 0.072325

-0.067290 0.051202-0.003866 0.0484620.112851 0.033144

-0.033452 -0.0397710.009123 0.0307930.500130 0.029919

-0.120639 -0.0326850.116347 0.046133

-0.040279 -0.0398200.073147 -0.014250

-0.046646 -0.036436-0.028928 0.0539970.073071 0.0107760.256988 0.049229

-0.167618 -0.058881-0.021937 -0.0283120.017255 0.087718

-0.084505 -0.038939-0.103399 -0.030216-0.016113 0.0153180.034371 -0.0247140.095129 0.051773

-0.246137 -0.0616460.124014 -0.013491

-0.021443 -0.0881150.178386 -0.0045750.091733 0.025751

-0.035145 -0.100289-0.003437 -0.0724230.141847 0.0674670.036774 -0.003810

-0.081355 -0.033713-0.027933 -0.019634-0.033366 -0.072575-0.194203 -0.0900680.036258 0.0082200.185372 0.066291

-0.087510 -0.001679-0.000955 -0.0246930.043072 -0.029882

-0.004768 0.027049-0.106989 -0.0706030.022732 -0.018249

-0.061446 -0.081392-0.187270 -0.087885-0.081460 -0.004714-0.238267 -0.1186360.131759 0.0760720.154449 0.046843

-0.117191 -0.069595-0.140617 -0.0370360.034356 -0.026763

-0.063707 -0.0016860.178948 0.0702440.062401 0.0403540.025788 0.0011120.077960 0.0057570.023623 0.007247

-0.093975 -0.0223460.194444 0.0438350.033018 -0.0036290.145870 0.039500

-0.110490 0.0062640.089210 0.001164

-0.084494 -0.027173-0.123394 -0.0277730.011254 0.0006580.043232 0.006401

-0.041411 -0.0454040.003891 -0.009280

-0.046769 -0.002364

y xPrima Inst Prima Riesgo(Rj-Rf) (Rm-Rf)

0.040055 0.010358-0.012188 -0.023075-0.042906 0.0238780.017065 0.0161510.022212 -0.007792

-0.028715 -0.052598F Valor crítico de F 0.037891 0.011633

57.46895916 1.633791E-11 0.086946 0.046757-0.091061 0.0188780.144981 0.065891

-0.055728 -0.028522Probabilidad Inferior 95% Superior 95% Inferior 95,0% Superior 95,0% 0.029300 0.0537940.292061799 -0.007922142 0.026074806 -0.007922142 0.026074806 0.000483 -0.001301

1.633791E-11 1.011982034 1.729202698 1.011982034 1.729202698 0.018782 -0.0496390.105947 0.0507790.089362 0.0509450.091937 0.0359050.040122 0.0703910.029137 -0.064459

-0.077710 0.045505-0.052964 -0.041635-0.071894 0.0369740.004380 0.008264

-0.012419 0.0027250.128682 0.0626420.001492 0.0422150.031040 0.001555

-0.042440 -0.026215-0.044162 0.031697-0.085020 -0.019079-0.140809 -0.1524680.051648 0.0545230.008776 0.0723250.091613 0.051202

-0.076410 0.048462-0.059699 0.0331440.043978 -0.0397710.000601 0.0307930.397362 0.029919

-0.154346 -0.0326850.084843 0.046133

-0.025348 -0.039820-0.042185 -0.014250-0.039689 -0.0364360.006907 0.053997

-0.168579 0.0107760.006407 0.049229

-0.100338 -0.058881-0.181012 -0.0283120.115724 0.087718

-0.000096 -0.038939-0.038281 -0.030216-0.122411 0.0153180.006498 -0.0247140.070671 0.051773

-0.164504 -0.0616460.134423 -0.013491

0.111862 -0.0881150.193062 -0.004575

-0.066413 0.025751-0.067484 -0.1002890.057592 -0.0724230.129628 0.0674670.069157 -0.003810

-0.084103 -0.0337130.098212 -0.019634

-0.100447 -0.072575-0.112403 -0.090068-0.003084 0.0082200.050762 0.0662910.091637 -0.001679

-0.039470 -0.0246930.093770 -0.0298820.014532 0.027049

-0.042378 -0.070603-0.052274 -0.018249-0.072441 -0.081392-0.088210 -0.087885-0.033072 -0.004714-0.155555 -0.1186360.097001 0.0760720.210407 0.046843

-0.092821 -0.069595-0.040533 -0.0370360.058179 -0.0267630.036241 -0.0016860.065368 0.070244

-0.018444 0.0403540.056553 0.0011120.207178 0.0057570.053403 0.007247

-0.051666 -0.0223460.058331 0.0438350.026619 -0.0036290.080193 0.039500

-0.065215 0.006264-0.041006 0.0011640.032561 -0.027173

-0.023663 -0.027773-0.041655 0.0006580.042505 0.006401

-0.080918 -0.045404-0.022093 -0.0092800.016431 -0.002364

Resumen

Estadísticas de la regresiónCoeficiente de 0.468817552Coeficiente de 0.219789897R^2 ajustado 0.212140779Error típico 0.080418408Observaciones 104

ANÁLISIS DE VARIANZAGrados de libertadSuma de cuadradosPromedio de los cuadrados F Valor crítico de F

Regresión 1 0.185826337 0.185826337 28.73401594 5.183351E-07Residuos 102 0.659646268 0.00646712Total 103 0.845472605

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%Intercepción 0.007308526 0.007893499 0.925891758 0.356687737 -0.008348192 0.022965243 -0.008348192Variable X 1 0.892648716 0.166526142 5.360411919 5.183351E-07 0.562344912 1.222952521 0.562344912

Superior 95,0%0.0229652431.222952521

Tasa Anual (%) Tasa Mensual 3 4 5 6Date Treasury 10y Treasury 10y GM HD HPQ IBM

Jul-99 0.00 0.000000Aug-99 0.00 0.000000 0.146011 -0.023229 0.030387 0.041816Sep-99 0.00 0.000000 -0.119094 0.017013 0.069455 -0.010387Oct-99 0.00 0.000000 -0.019426 0.030498 0.007470 -0.041063Nov-99 0.00 0.000000 -0.001031 0.043146 -0.013160 0.018933Dec-99 0.00 0.000000 -0.079897 0.003948 -0.075967 0.024095Jan-00 0.00 0.000000 0.079850 -0.038964 0.008889 -0.026841Feb-00 0.00 0.000000 0.072308 0.060051 0.065928 0.039731Mar-00 0.00 0.000000 0.082865 0.020463 -0.055656 0.088806Apr-00 0.00 0.000000 0.030684 -0.016646 -0.006102 -0.089245

May-00 0.00 0.000000 0.242090 0.018536 0.079977 0.146749Jun-00 0.00 0.000000 -0.054553 -0.097976 -0.003873 -0.053951Jul-00 0.00 0.000000 0.030058 -0.010913 0.076761 0.031110

Aug-00 0.00 0.000000 -0.080102 0.033834 0.030132 0.002267Sep-00 0.00 0.000000 -0.050369 -0.038164 -0.050320 0.020596Oct-00 0.00 0.000000 0.163050 0.022181 0.024937 0.107781Nov-00 0.00 0.000000 0.071806 0.072677 0.048145 0.091169Dec-00 0.00 0.000000 0.037652 0.007672 0.018009 0.093711Jan-01 0.00 0.000000 0.165125 0.139519 0.167841 0.041856Feb-01 0.00 0.000000 -0.043112 0.018918 -0.073335 0.030877Mar-01 0.00 0.000000 0.039789 -0.034728 -0.008466 -0.075987Apr-01 0.00 0.000000 -0.076059 0.021271 -0.115002 -0.051270

May-01 0.00 0.000000 0.109768 0.088546 -0.080551 -0.070225Jun-01 0.00 0.000000 -0.050083 -0.066496 0.040635 0.006035Jul-01 0.00 0.000000 -0.061592 0.131879 0.078861 -0.010808

Aug-01 0.00 0.000000 0.055700 0.043245 -0.040513 0.130293Sep-01 0.00 0.000000 -0.011214 0.064470 -0.067683 0.003110Oct-01 0.00 0.000000 0.108975 -0.052131 0.120009 0.032652Nov-01 0.00 0.000000 0.011925 0.004565 -0.107453 -0.040832Dec-01 0.00 0.000000 -0.028732 0.000906 -0.055164 -0.042580Jan-02 0.00 0.000000 0.147287 -0.180456 0.045140 -0.083449Feb-02 0.00 0.000000 -0.152253 -0.160495 -0.137821 -0.139260Mar-02 0.00 0.000000 0.134202 -0.098748 0.178176 0.053111Apr-02 0.00 0.000000 0.148552 0.078062 0.109834 0.010188

May-02 0.00 0.000000 0.108460 0.150719 -0.065834 0.093069Jun-02 0.00 0.000000 0.109699 -0.152839 -0.002443 -0.074988Jul-02 0.00 0.000000 -0.012226 -0.152459 0.114280 -0.058270

Aug-02 0.00 0.000000 -0.077045 -0.079536 -0.031984 0.045446Sep-02 0.00 0.000000 0.037626 0.147321 0.010621 0.002099Oct-02 0.00 0.000000 0.172843 0.150931 0.501616 0.398848Nov-02 0.00 0.000000 0.104515 0.125605 -0.119106 -0.152813Dec-02 0.00 0.000000 0.107060 -0.066534 0.117926 0.086421Jan-03 0.00 0.000000 -0.033740 -0.084224 -0.038721 -0.023790Feb-03 0.00 0.000000 -0.014465 -0.176665 0.074720 -0.040612Mar-03 0.00 0.000000 -0.034904 -0.054593 -0.045080 -0.038123Apr-03 0.00 0.000000 -0.193307 -0.245874 -0.027343 0.008492

May-03 0.00 0.000000 0.043393 -0.119383 0.074641 -0.167009Jun-03 0.00 0.000000 0.039761 -0.119789 0.258585 0.008004Jul-03 0.00 0.000000 0.033658 -0.007855 -0.165980 -0.098699

Aug-03 0.00 0.000000 -0.089808 -0.202904 -0.020321 -0.179396Sep-03 0.00 0.000000 0.144206 -0.051549 0.018833 0.117302Oct-03 0.00 0.000000 -0.064521 -0.055244 -0.082968 0.001442Nov-03 0.00 0.000000 -0.042996 0.296979 -0.101809 -0.036691Dec-03 0.00 0.000000 0.013933 0.010416 -0.014572 -0.120870Jan-04 0.00 0.000000 0.017370 -0.117633 0.035900 0.008027Feb-04 0.00 0.000000 0.169213 -0.137033 0.096624 0.072165Mar-04 0.00 0.000000 -0.152922 -0.162966 -0.244652 -0.163018Apr-04 0.00 0.000000 -0.131625 -0.001501 0.125486 0.135895

Tasa Libre de Riesgo (Rf) RENTABILIDAD MENSUAL (Rj)

May-04 0.00 0.000000 -0.056338 -0.186407 -0.019980 0.113325Jun-04 0.00 0.000000 -0.097511 0.120858 0.179777 0.194453Jul-04 0.00 0.000000 0.308116 0.288855 0.093107 -0.065039

Aug-04 0.00 0.000000 -0.113520 0.150403 -0.033785 -0.066124Sep-04 0.00 0.000000 -0.044327 -0.019375 -0.002114 0.058916Oct-04 0.00 0.000000 0.188217 0.261317 0.143202 0.130983Nov-04 0.00 0.000000 -0.035126 0.029716 0.038159 0.070541Dec-04 0.00 0.000000 0.007549 0.251081 -0.079991 -0.082739Jan-05 0.00 0.000000 -0.080082 0.076092 -0.026580 0.099564Feb-05 0.00 0.000000 -0.056016 -0.162739 -0.032058 -0.099139Mar-05 0.00 0.000000 -0.089401 -0.094284 -0.192936 -0.111136Apr-05 0.00 0.000000 0.169160 -0.010686 0.037494 -0.001847

May-05 0.00 0.000000 0.062458 0.157533 0.186615 0.052006Jun-05 0.00 0.000000 0.038201 0.053150 -0.086207 0.092939Jul-05 0.00 0.000000 -0.115129 -0.078448 0.000334 -0.038181

Aug-05 0.00 0.000000 -0.096627 -0.220827 0.044337 0.095035Sep-05 0.00 0.000000 0.051388 0.051282 -0.003456 0.015844Oct-05 0.00 0.000000 -0.201248 0.047861 -0.105693 -0.041082Nov-05 0.00 0.000000 -0.045520 0.116120 0.024015 -0.050991Dec-05 0.00 0.000000 -0.112396 -0.107197 -0.060202 -0.071196Jan-06 0.00 0.000000 -0.030354 -0.202876 -0.186072 -0.087012Feb-06 0.00 0.000000 0.063951 -0.022030 -0.080327 -0.031940Mar-06 0.00 0.000000 -0.232998 -0.090669 -0.237204 -0.154491Apr-06 0.00 0.000000 0.342225 0.196783 0.132829 0.098071

May-06 0.00 0.000000 0.093620 0.234595 0.155531 0.211488Jun-06 0.00 0.000000 -0.116200 -0.038728 -0.116119 -0.091748Jul-06 0.00 0.000000 0.000152 -0.160389 -0.139547 -0.039462

Aug-06 0.00 0.000000 -0.010026 0.014955 0.035396 0.059219Sep-06 0.00 0.000000 -0.002906 -0.019289 -0.062687 0.037261Oct-06 0.00 0.000000 0.072762 -0.133881 0.179986 0.066407Nov-06 0.00 0.000000 0.029371 0.005828 0.063369 -0.017476Dec-06 0.00 0.000000 -0.071576 -0.035689 0.026708 0.057473Jan-07 0.00 0.000000 -0.024195 0.100798 0.078984 0.208202Feb-07 0.00 0.000000 0.001832 0.131061 0.024713 0.054493Mar-07 0.00 0.000000 0.066851 -0.002307 -0.092918 -0.050609Apr-07 0.00 0.000000 0.003446 0.102133 0.195497 0.059385

May-07 0.00 0.000000 0.003854 0.041813 0.034067 0.027668Jun-07 0.00 0.000000 0.013698 0.046045 0.146908 0.081231Jul-07 0.00 0.000000 0.060122 -0.008681 -0.109476 -0.064201

Aug-07 0.00 0.000000 -0.035617 0.167377 0.090207 -0.040009Sep-07 0.00 0.000000 -0.057825 0.115381 -0.083542 0.033513Oct-07 0.00 0.000000 -0.049632 -0.032847 -0.122369 -0.022638Nov-07 0.00 0.000000 -0.003581 0.045688 0.012324 -0.040584Dec-07 0.00 0.000000 -0.015263 0.044536 0.044297 0.043570Jan-08 0.00 0.000000 -0.022483 0.051831 -0.040385 -0.079892Feb-08 0.00 0.000000 -0.035608 -0.052010 0.004879 -0.021105Mar-08 0.00 0.000000 0.001598 -0.089162 -0.045809 0.017390

0.00142661381

0.01725433157

0.01711936577

Rm y x ResumenPrima Inst Prima Riesgo GM

DJIA Rj Rm Estadísticas de la regresiónCoeficiente de 0.659628055

0.012119 0.146011 0.012119 Coeficiente de 0.435109171-0.021274 -0.119094 -0.021274 R^2 ajustado 0.4295710260.025721 -0.019426 0.025721 Error típico 0.0767601570.018019 -0.001031 0.018019 Observaciones 104

-0.005909 -0.079897 -0.005909-0.050725 0.079850 -0.050725 ANÁLISIS DE VARIANZA0.013473 0.072308 0.013473 Grados de libertadSuma de cuadradosPromedio de los cuadrados0.048617 0.082865 0.048617 Regresión 1 0.462919626 0.4629196260.020694 0.030684 0.020694 Residuos 102 0.600996413 0.0058921220.067659 0.242090 0.067659 Total 103 1.06391604

-0.026745 -0.054553 -0.0267450.055603 0.030058 0.055603 Coeficientes Error típico Estadístico t0.000482 -0.080102 0.000482 Intercepción 0.010883876 0.007527742 1.445835393

-0.047825 -0.050369 -0.047825 Variable X 1 1.407764821 0.158822916 8.8637386590.052614 0.163050 0.0526140.052752 0.071806 0.0527520.037679 0.037652 0.0376790.072125 0.165125 0.072125

-0.062719 -0.043112 -0.0627190.047228 0.039789 0.047228

-0.039941 -0.076059 -0.0399410.038643 0.109768 0.0386430.009919 -0.050083 0.0099190.004336 -0.061592 0.0043360.064252 0.055700 0.0642520.043832 -0.011214 0.0438320.003166 0.108975 0.003166

-0.024607 0.011925 -0.0246070.033278 -0.028732 0.033278

-0.017508 0.147287 -0.017508-0.150920 -0.152253 -0.1509200.055985 0.134202 0.0559850.073737 0.148552 0.0737370.052658 0.108460 0.0526580.049884 0.109699 0.0498840.034573 -0.012226 0.034573

-0.038303 -0.077045 -0.0383030.032291 0.037626 0.0322910.031405 0.172843 0.031405

-0.031152 0.104515 -0.0311520.047711 0.107060 0.047711

-0.038261 -0.033740 -0.038261-0.012676 -0.014465 -0.012676-0.034871 -0.034904 -0.0348710.055583 -0.193307 0.0555830.012346 0.043393 0.0123460.050826 0.039761 0.050826

-0.057242 0.033658 -0.057242-0.026696 -0.089808 -0.0266960.089296 0.144206 0.089296

-0.037401 -0.064521 -0.037401-0.028626 -0.042996 -0.0286260.016859 0.013933 0.016859

-0.023185 0.017370 -0.0231850.053268 0.169213 0.053268

-0.060161 -0.152922 -0.060161-0.012020 -0.131625 -0.012020

-0.086652 -0.056338 -0.086652-0.003184 -0.097511 -0.0031840.027125 0.308116 0.027125

-0.098929 -0.113520 -0.098929-0.071099 -0.044327 -0.0710990.068822 0.188217 0.068822

-0.002425 -0.035126 -0.002425-0.032349 0.007549 -0.032349-0.018282 -0.080082 -0.018282-0.071267 -0.056016 -0.071267-0.088801 -0.089401 -0.0888010.009457 0.169160 0.0094570.067535 0.062458 0.067535

-0.000376 0.038201 -0.000376-0.023403 -0.115129 -0.023403-0.028617 -0.096627 -0.0286170.028360 0.051388 0.028360

-0.069307 -0.201248 -0.069307-0.016966 -0.045520 -0.016966-0.080147 -0.112396 -0.080147-0.086687 -0.030354 -0.086687-0.003582 0.063951 -0.003582-0.117573 -0.232998 -0.1175730.077141 0.342225 0.0771410.047924 0.093620 0.047924

-0.068522 -0.116200 -0.068522-0.035966 0.000152 -0.035966-0.025723 -0.010026 -0.025723-0.000667 -0.002906 -0.0006670.071282 0.072762 0.0712820.041322 0.029371 0.0413220.002032 -0.071576 0.0020320.006781 -0.024195 0.0067810.008337 0.001832 0.008337

-0.021289 0.066851 -0.0212890.044889 0.003446 0.044889

-0.002580 0.003854 -0.0025800.040538 0.013698 0.0405380.007277 0.060122 0.0072770.002161 -0.035617 0.002161

-0.026221 -0.057825 -0.026221-0.026749 -0.049632 -0.0267490.001728 -0.003581 0.0017280.007466 -0.015263 0.007466

-0.044378 -0.022483 -0.044378-0.008292 -0.035608 -0.008292-0.001404 0.001598 -0.001404

y xPrima Inst Prima Riesgo

Rj Rm

-0.023229 0.0121190.017013 -0.0212740.030498 0.0257210.043146 0.0180190.003948 -0.005909

-0.038964 -0.050725F Valor crítico de F 0.060051 0.013473

78.565863014 2.643638E-14 0.020463 0.048617-0.016646 0.0206940.018536 0.067659

-0.097976 -0.026745Probabilidad Inferior 95% Superior 95% Inferior 95,0% Superior 95,0% -0.010913 0.055603

0.1512890397 -0.004047364 0.025815117 -0.004047364 0.025815117 0.033834 0.0004822.643638E-14 1.0927403289 1.722789314 1.092740329 1.722789314 -0.038164 -0.047825

0.022181 0.0526140.072677 0.0527520.007672 0.0376790.139519 0.0721250.018918 -0.062719

-0.034728 0.0472280.021271 -0.0399410.088546 0.038643

-0.066496 0.0099190.131879 0.0043360.043245 0.0642520.064470 0.043832

-0.052131 0.0031660.004565 -0.0246070.000906 0.033278

-0.180456 -0.017508-0.160495 -0.150920-0.098748 0.0559850.078062 0.0737370.150719 0.052658

-0.152839 0.049884-0.152459 0.034573-0.079536 -0.0383030.147321 0.0322910.150931 0.0314050.125605 -0.031152

-0.066534 0.047711-0.084224 -0.038261-0.176665 -0.012676-0.054593 -0.034871-0.245874 0.055583-0.119383 0.012346-0.119789 0.050826-0.007855 -0.057242-0.202904 -0.026696-0.051549 0.089296-0.055244 -0.0374010.296979 -0.0286260.010416 0.016859

-0.117633 -0.023185-0.137033 0.053268-0.162966 -0.060161-0.001501 -0.012020

-0.186407 -0.0866520.120858 -0.0031840.288855 0.0271250.150403 -0.098929

-0.019375 -0.0710990.261317 0.0688220.029716 -0.0024250.251081 -0.0323490.076092 -0.018282

-0.162739 -0.071267-0.094284 -0.088801-0.010686 0.0094570.157533 0.0675350.053150 -0.000376

-0.078448 -0.023403-0.220827 -0.0286170.051282 0.0283600.047861 -0.0693070.116120 -0.016966

-0.107197 -0.080147-0.202876 -0.086687-0.022030 -0.003582-0.090669 -0.1175730.196783 0.0771410.234595 0.047924

-0.038728 -0.068522-0.160389 -0.0359660.014955 -0.025723

-0.019289 -0.000667-0.133881 0.0712820.005828 0.041322

-0.035689 0.0020320.100798 0.0067810.131061 0.008337

-0.002307 -0.0212890.102133 0.0448890.041813 -0.0025800.046045 0.040538

-0.008681 0.0072770.167377 0.0021610.115381 -0.026221

-0.032847 -0.0267490.045688 0.0017280.044536 0.0074660.051831 -0.044378

-0.052010 -0.008292-0.089162 -0.001404

ResumenHD

Estadísticas de la regresiónCoeficiente de 0.29213487Coeficiente de 0.085342782R^2 ajustado 0.076375554Error típico 0.110469388Observaciones 104

ANÁLISIS DE VARIANZAGrados de libertadSuma de cuadradosPromedio de los cuadrados F Valor crítico de F

Regresión 1 0.116142856 0.116142856 9.517186975 0.002620002Residuos 102 1.24475555 0.012203486Total 103 1.360898406

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%Intercepción 0.001738037 0.010833551 0.160430932 0.872858922 -0.01975026 0.023226333 -0.01975026Variable X 1 0.705137095 0.228570017 3.084993837 0.002620002 0.251769562 1.158504628 0.251769562

y x ResumenPrima Inst Prima Riesgo HPQ

Rj Rm Estadísticas de la regresiónCoeficiente de 0.600292606

0.030387 0.012119 Coeficiente de 0.3603512130.069455 -0.021274 R^2 ajustado 0.3540801460.007470 0.025721 Error típico 0.087317565

-0.013160 0.018019 Observaciones 104-0.075967 -0.0059090.008889 -0.050725 ANÁLISIS DE VARIANZA0.065928 0.013473 Grados de libertadSuma de cuadradosPromedio de los cuadrados

-0.055656 0.048617 Regresión 1 0.438114687 0.438114687-0.006102 0.020694 Residuos 102 0.777684431 0.0076243570.079977 0.067659 Total 103 1.215799118

-0.003873 -0.026745Superior 95,0% 0.076761 0.055603 Coeficientes Error típico Estadístico t

0.023226333 0.030132 0.000482 Intercepción 0.008548003 0.00856309 0.9982381111.158504628 -0.050320 -0.047825 Variable X 1 1.369528951 0.180667039 7.58040291

0.024937 0.0526140.048145 0.0527520.018009 0.0376790.167841 0.072125

-0.073335 -0.062719-0.008466 0.047228-0.115002 -0.039941-0.080551 0.0386430.040635 0.0099190.078861 0.004336

-0.040513 0.064252-0.067683 0.0438320.120009 0.003166

-0.107453 -0.024607-0.055164 0.0332780.045140 -0.017508

-0.137821 -0.1509200.178176 0.0559850.109834 0.073737

-0.065834 0.052658-0.002443 0.0498840.114280 0.034573

-0.031984 -0.0383030.010621 0.0322910.501616 0.031405

-0.119106 -0.0311520.117926 0.047711

-0.038721 -0.0382610.074720 -0.012676

-0.045080 -0.034871-0.027343 0.0555830.074641 0.0123460.258585 0.050826

-0.165980 -0.057242-0.020321 -0.0266960.018833 0.089296

-0.082968 -0.037401-0.101809 -0.028626-0.014572 0.0168590.035900 -0.0231850.096624 0.053268

-0.244652 -0.0601610.125486 -0.012020

-0.019980 -0.0866520.179777 -0.0031840.093107 0.027125

-0.033785 -0.098929-0.002114 -0.0710990.143202 0.0688220.038159 -0.002425

-0.079991 -0.032349-0.026580 -0.018282-0.032058 -0.071267-0.192936 -0.0888010.037494 0.0094570.186615 0.067535

-0.086207 -0.0003760.000334 -0.0234030.044337 -0.028617

-0.003456 0.028360-0.105693 -0.0693070.024015 -0.016966

-0.060202 -0.080147-0.186072 -0.086687-0.080327 -0.003582-0.237204 -0.1175730.132829 0.0771410.155531 0.047924

-0.116119 -0.068522-0.139547 -0.0359660.035396 -0.025723

-0.062687 -0.0006670.179986 0.0712820.063369 0.0413220.026708 0.0020320.078984 0.0067810.024713 0.008337

-0.092918 -0.0212890.195497 0.0448890.034067 -0.0025800.146908 0.040538

-0.109476 0.0072770.090207 0.002161

-0.083542 -0.026221-0.122369 -0.0267490.012324 0.0017280.044297 0.007466

-0.040385 -0.0443780.004879 -0.008292

-0.045809 -0.001404

y xPrima Inst Prima Riesgo

Rj Rm

0.041816 0.012119-0.010387 -0.021274-0.041063 0.0257210.018933 0.0180190.024095 -0.005909

-0.026841 -0.050725F Valor crítico de F 0.039731 0.013473

57.46250827 1.637221E-11 0.088806 0.048617-0.089245 0.0206940.146749 0.067659

-0.053951 -0.026745Probabilidad Inferior 95% Superior 95% Inferior 95,0% Superior 95,0% 0.031110 0.0556030.320526182 -0.008436845 0.02553285 -0.008436845 0.02553285 0.002267 0.000482

1.637221E-11 1.011176745 1.727881158 1.011176745 1.727881158 0.020596 -0.0478250.107781 0.0526140.091169 0.0527520.093711 0.0376790.041856 0.0721250.030877 -0.062719

-0.075987 0.047228-0.051270 -0.039941-0.070225 0.0386430.006035 0.009919

-0.010808 0.0043360.130293 0.0642520.003110 0.0438320.032652 0.003166

-0.040832 -0.024607-0.042580 0.033278-0.083449 -0.017508-0.139260 -0.1509200.053111 0.0559850.010188 0.0737370.093069 0.052658

-0.074988 0.049884-0.058270 0.0345730.045446 -0.0383030.002099 0.0322910.398848 0.031405

-0.152813 -0.0311520.086421 0.047711

-0.023790 -0.038261-0.040612 -0.012676-0.038123 -0.0348710.008492 0.055583

-0.167009 0.0123460.008004 0.050826

-0.098699 -0.057242-0.179396 -0.0266960.117302 0.0892960.001442 -0.037401

-0.036691 -0.028626-0.120870 0.0168590.008027 -0.0231850.072165 0.053268

-0.163018 -0.0601610.135895 -0.012020

0.113325 -0.0866520.194453 -0.003184

-0.065039 0.027125-0.066124 -0.0989290.058916 -0.0710990.130983 0.0688220.070541 -0.002425

-0.082739 -0.0323490.099564 -0.018282

-0.099139 -0.071267-0.111136 -0.088801-0.001847 0.0094570.052006 0.0675350.092939 -0.000376

-0.038181 -0.0234030.095035 -0.0286170.015844 0.028360

-0.041082 -0.069307-0.050991 -0.016966-0.071196 -0.080147-0.087012 -0.086687-0.031940 -0.003582-0.154491 -0.1175730.098071 0.0771410.211488 0.047924

-0.091748 -0.068522-0.039462 -0.0359660.059219 -0.0257230.037261 -0.0006670.066407 0.071282

-0.017476 0.0413220.057473 0.0020320.208202 0.0067810.054493 0.008337

-0.050609 -0.0212890.059385 0.0448890.027668 -0.0025800.081231 0.040538

-0.064201 0.007277-0.040009 0.0021610.033513 -0.026221

-0.022638 -0.026749-0.040584 0.0017280.043570 0.007466

-0.079892 -0.044378-0.021105 -0.0082920.017390 -0.001404

ResumenIBM

Estadísticas de la regresiónCoeficiente de 0.468764769Coeficiente de 0.219740409R^2 ajustado 0.212090805Error típico 0.080415442Observaciones 104

ANÁLISIS DE VARIANZAGrados de libertadSuma de cuadradosPromedio de los cuadrados F Valor crítico de F

Regresión 1 0.185759013 0.185759013 28.72572405 5.200686E-07Residuos 102 0.659597626 0.006466643Total 103 0.845356639

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0%Intercepción 0.007460754 0.00788621 0.946050595 0.346358566 -0.008181506 0.023103013 -0.008181506Variable X 1 0.891768771 0.166385995 5.359638425 5.200686E-07 0.561742948 1.221794593 0.561742948

Superior 95,0%0.0231030131.221794593

Resumen Análisis de Regresión

Beta Modelo CAPM Ex - Post Beta Modelo FactorResumen Resumen

GM GMEstadísticas de la regresión Estadísticas de la regresiónCoeficiente de0.659332883 Coeficiente de0.659628055Coeficiente d 0.434719851 Coeficiente d 0.435109171R^2 ajustado0.429177889 R^2 ajustado0.429571026Error típico 0.076763238 Error típico 0.076760157Observacione 104 Observacione 104

ANÁLISIS DE VARIANZA ANÁLISIS DE VARIANZA

F F

Regresión 1 0.4622240 0.4622240 78.4415035 0.0000000 Regresión 1 0.4629196 0.4629196 78.5658630 0.0000000Residuos 102 0.6010447 0.0058926 Residuos 102 0.6009964 0.0058921Total 103 1.0632687 Total 103 1.0639160

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Coeficientes Error típico Estadístico t Probabilidad Inferior 95%

Intercepción 0.0114646 0.0075347 1.5215626 0.1312129 -0.0034805 0.0264096 -0.0034805 0.0264096 Intercepción 0.0108839 0.0075277 1.4458354 0.1512890 -0.0040474 0.0258151 -0.0040474 0.0258151Variable X 1 1.4078397 0.1589572 8.8567208 0.0000000 1.0925488 1.7231305 1.0925488 1.7231305 Variable X 1 1.4077648 0.1588229 8.8637387 0.0000000 1.0927403 1.7227893 1.0927403 1.7227893

Resumen ResumenHD HD

Estadísticas de la regresión Estadísticas de la regresiónCoeficiente de0.292458427 Coeficiente de 0.29213487Coeficiente d 0.085531932 Coeficiente d 0.085342782R^2 ajustado0.076566558 R^2 ajustado0.076375554Error típico 0.110479907 Error típico 0.110469388Observacione 104 Observacione 104

ANÁLISIS DE VARIANZA ANÁLISIS DE VARIANZA

F F

Regresión 1 0.1164465 0.1164465 9.5402533 0.0025901 Regresión 1 0.1161429 0.1161429 9.5171870 0.0026200Residuos 102 1.2449926 0.0122058 Residuos 102 1.2447556 0.0122035Total 103 1.3614391 Total 103 1.3608984

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Coeficientes Error típico Estadístico t Probabilidad Inferior 95%

Intercepción 0.0013214 0.0108442 0.1218527 0.9032554 -0.0201880 0.0228308 -0.0201880 0.0228308 Intercepción 0.0017380 0.0108336 0.1604309 0.8728589 -0.0197503 0.0232263 -0.0197503 0.0232263Variable X 1 0.7066270 0.2287759 3.0887301 0.0025901 0.2528511 1.1604028 0.2528511 1.1604028 Variable X 1 0.7051371 0.2285700 3.0849938 0.0026200 0.2517696 1.1585046 0.2517696 1.1585046

Resumen ResumenHPQ HPQ

Estadísticas de la regresión Estadísticas de la regresiónCoeficiente de0.600314158 Coeficiente de0.600292606Coeficiente d 0.360377088 Coeficiente d 0.360351213R^2 ajustado0.354106275 R^2 ajustado0.354080146Error típico 0.087310141 Error típico 0.087317565Observacione 104 Observacione 104

ANÁLISIS DE VARIANZA ANÁLISIS DE VARIANZA

F F

Regresión 1 0.4380894 0.4380894 57.4689592 0.0000000 Regresión 1 0.4381147 0.4381147 57.4625083 0.0000000Residuos 102 0.7775522 0.0076231 Residuos 102 0.7776844 0.0076244Total 103 1.2156416 Total 103 1.2157991

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Coeficientes Error típico Estadístico t Probabilidad Inferior 95%

Intercepción 0.0090763 0.0085700 1.0590869 0.2920618 -0.0079221 0.0260748 -0.0079221 0.0260748 Intercepción 0.0085480 0.0085631 0.9982381 0.3205262 -0.0084368 0.0255329 -0.0084368 0.0255329Variable X 1 1.3705924 0.1807972 7.5808284 0.0000000 1.0119820 1.7292027 1.0119820 1.7292027 Variable X 1 1.3695290 0.1806670 7.5804029 0.0000000 1.0111767 1.7278812 1.0111767 1.7278812

Resumen ResumenIBM IBM

Estadísticas de la regresión Estadísticas de la regresiónCoeficiente de0.468817552 Coeficiente de0.468764769Coeficiente d 0.219789897 Coeficiente d 0.219740409R^2 ajustado0.212140779 R^2 ajustado0.212090805Error típico 0.080418408 Error típico 0.080415442Observacione 104 Observacione 104

ANÁLISIS DE VARIANZA ANÁLISIS DE VARIANZA

F F

Regresión 1 0.1858263 0.1858263 28.7340159 0.0000005 Regresión 1 0.1857590 0.1857590 28.7257240 0.0000005Residuos 102 0.6596463 0.0064671 Residuos 102 0.6595976 0.0064666Total 103 0.8454726 Total 103 0.8453566

Coeficientes Error típico Estadístico t Probabilidad Inferior 95% Coeficientes Error típico Estadístico t Probabilidad Inferior 95%

Intercepción 0.0073085 0.0078935 0.9258918 0.3566877 -0.0083482 0.0229652 -0.0083482 0.0229652 Intercepción 0.0074608 0.0078862 0.9460506 0.3463586 -0.0081815 0.0231030 -0.0081815 0.0231030Variable X 1 0.8926487 0.1665261 5.3604119 0.0000005 0.5623449 1.2229525 0.5623449 1.2229525 Variable X 1 0.8917688 0.1663860 5.3596384 0.0000005 0.5617429 1.2217946 0.5617429 1.2217946

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Superior 95%

Inferior 95,0%

Superior 95,0%

Superior 95%

Inferior 95,0%

Superior 95,0%

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Superior 95%

Inferior 95,0%

Superior 95,0%

Superior 95%

Inferior 95,0%

Superior 95,0%

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Superior 95%

Inferior 95,0%

Superior 95,0%

Superior 95%

Inferior 95,0%

Superior 95,0%

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Grados de libertad

Suma de cuadrados

Promedio de los

cuadrados

Valor crítico de F

Superior 95%

Inferior 95,0%

Superior 95,0%

Superior 95%

Inferior 95,0%

Superior 95,0%

Estimación de Betas según ModelosCAPM expost vs Modelo Factor

Instrumentos

Beta CAPM expost Beta Modelo Factor

t Calculado Beta t Calculado t Calculado Beta t Calculado

GM 0.429178 1.521563 1.407840 8.856721 0.429571 1.445835 1.407765 8.863739 0.000075HD 0.076567 0.121853 0.706627 3.088730 0.076376 0.160431 0.705137 3.084994 0.001490

HPQ 0.354106 1.059087 1.370592 7.580828 0.354080 0.998238 1.369529 7.580403 0.001063IBM 0.212141 0.925892 0.892649 5.360412 0.212091 0.946051 0.891769 5.359638 0.000880

NotasNivel de Conf 95%t Crito 1.96

R^2 ajustado Alfa

R^2 ajustado Alfa

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Comportamiento Precios GM

GMLinear (GM)

0.0

10.0

20.0

30.0

40.0

50.0

Comportamiento Precios HD

HDLinear (HD)

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Comportamiento Precios HPQ

HPQ Linear (HPQ)

0.0

5.0

10.0

15.0

20.0

25.0

Comportamiento Precios IBM

IBMLinear (IBM)

0.0

200.0

400.0

600.0

800.0

1000.0

1200.0

Comportamiento Precios Mercado

DJIA Linear (DJIA)

Estimación Rentabilidad y Riesgo del PortfolioBeta Modelo CAPM Ex - Post

Matriz de Varianzas y Covarianzas25% 25% 25% 25%

Inst. Rentab Beta % inversión GM HD HPQ IBM

GM 11.90% 1.408 25% 0.030 0.352 GM 0.010230 0.003780 0.004940 0.002929HD 1.50% 0.707 25% 0.004 0.177 HD 0.003780 0.013086 0.002884 0.003251HPQ 9.13% 1.371 25% 0.023 0.343 HPQ 0.004940 0.002884 0.011690 0.006070IBM 8.22% 0.893 25% 0.021 0.223 IBM 0.002929 0.003251 0.006070 0.008128

1 7.69% 1.094

Rentab Mdo -0.8% Varianza Portfolio 0.00567782 Rf 0.01711937

Desv St Portfolio 0.07535132

Índice Treynor port 0.0546081 Índice Treynor Mdo -0.02535682

Índice Sharpe port 0.7931457 Índice Sharpe Mdo -0.53246457

Treynor Sharp Var Mdo 0.00226782Portfolio 5.46% 0.7931457Mdo -2.54% -0.53246457 St Mdo 0.04762161

Rentab Portfolio

Beta Portafolio

Estimación Rentabilidad y Riesgo del PortfolioBeta Modelo Factor

Matriz de Varianzas y Covarianzas25% 25% 25% 25%

Inst. Rentab Beta % inversión GM HD HPQ IBM

GM 11.90% 1.408 25% 0.030 0.352 GM 0.010230 0.003780 0.004940 0.002929HD 1.50% 0.705 25% 0.004 0.176 HD 0.003780 0.013086 0.002884 0.003251HPQ 9.13% 1.370 25% 0.023 0.342 HPQ 0.004940 0.002884 0.011690 0.006070IBM 8.22% 0.892 25% 0.021 0.223 IBM 0.002929 0.003251 0.006070 0.008128

1 7.69% 1.094

Rentab Mdo -0.8% Varianza Portfolio 0.00567782 Rf 0.01711937

Desv St Portfolio 0.07535132

Índice Treynor port 0.05465189 Índice Treynor Mdo -0.02535682

Índice Sharpe port 0.7931457 Índice Sharpe Mdo -0.53246457

Treynor Sharp Var Mdo 0.00226782Portfolio 5.47% 0.7931457Mdo -2.54% -0.53246457 St Mdo 0.04762161

Rentab Portfolio

Beta Portafolio

Informe de Rentabilidad y Riesgo del Portfolio

Conclusión Estimación Betas Portfolio

1.

2.

3.

4.

Análisis Rentabilidad y Riesgo Portfolio.

Luego del análisis determinado por los indicadores:

1.- Treynor los resultados obtenidos del portfolio con respecto al mercado fueron de 5,46% contra un -2,54%.

2.- Sharp los resultados obtenidos del portfolio con respecto al mercado fueron de 0,79% contra un -0,53%.

Utilizando las técnicas de análisis de beta Modelo CAPM ex-post y Modelo Factor, se estimo que los betas obtenidos del portfolio lo siguiente:

Dado que estadísticamente los betas de los instrumentos GM, HPQ Y IBM sus valores promedios (esperanza) poblacional son iguales al mostrar, por lo contrario el instrumento HD no es estadísticamente recomendable según modelo CAPM ex - post se analiza lo siguiente:

GM: R2 superior al 15% de un 42,92%, un Alfa que es estadísticamente no significativo con un t calculado de 1,52 lo que es menor al t critico de 1,96 con un 95% de significancia, en tanto un tercer variable analizada del modelo CAPM ex - post el Beta de un 1,41 es significativo dado por un t calculado de 8,857 que es mayor que el t critico, por lo tanto el Beta de GM dio como resultado que el valor esperado del poblacional es igual al muestrar.

HPQ: R2 superior al 15% de un 35,41%, un Alfa que es estadísticamente no significativo con un t calculado de 1,059 lo que es menor al t critico de 1,96 con un 95% de significancia, en tanto un tercer variable analizada del modelo CAPM ex - post el Beta de un 1,37 es significativo dado por un t calculado de 7,58 que es mayor que el t critico, por lo tanto el Beta del instrumento dio como resultado que el valor esperado del poblacional es igual al muestrar.

IBM: R2 es levemente superior al 15% de un 21,21%, un Alfa que es estadísticamente no significativo con un t calculado de 0,9258 lo que es menor al t critico de 1,96 con un 95% de significancia, en tanto un tercer variable analizada del modelo CAPM ex - post el Beta de un 0,8926 es significativo dado por un t calculado de 7,58 que es mayor que el t critico, por lo tanto el Beta de IBM dio como resultado que el valor esperado del poblacional es igual al muestrar.

HD: R2 inferior al 15% de un 7,65% no es suficientemente robusto, pero las demás variables como el Alfa que es estadísticamente no significativo con un t calculado de 0,1258 lo que es menor al t critico de 1,96 con un 95% de significancia, en tanto un tercer variable analizada del modelo CAPM ex - post el Beta de un 0,7066 es significativo dado por un t calculado de 3,0887que es mayor que el t critico, como no cumple una de las variable el Beta de HD no es un buen valor esperado del poblacional.

Como inversionistas nuestra decisión se baso en diversificar el riesgo de nuestra inversión en un porfolio conformado por cuatro

Por lo tanto, se puede concluir una acertada decisión debido a que de nuestra cartera diversifico el riesgo, ya que, solo un instrumento HD no obtuvo los resultados esperado evaluados de acuerdo al modelo CAPM ex – post. No obstante nuestra cartera cumplió nuestras expectativas, dado que, la rentabilidad obtenida fue considerablemente mayor a la rentabilidad de mercado.