Gráfico de los precios del los activos que conforman índice Dow Jones.

Estadísticas básicas para los retornos anualizados

symbol AnnualizedReturn AnnualizedSharpe(Rf=0%) AnnualizedStdDev
UNH 0.1704 0.5339 0.3191
MSFT 0.2458 0.8545 0.2877
GS 0.1295 0.3522 0.3678
HD 0.1109 0.3278 0.3384
MCD 0.1315 0.5652 0.2326
V 0.0512 0.1743 0.2937
CRM 0.0818 0.1938 0.4220
AMGN 0.0037 0.0151 0.2478
CAT 0.1285 0.3743 0.3434
BA -0.1306 -0.1854 0.7042
HON 0.0428 0.1369 0.3129
AAPL 0.2923 0.9324 0.3135
TRV 0.0933 0.3029 0.3081
AXP 0.0827 0.1871 0.4419
JNJ 0.0440 0.2291 0.1921
CVX 0.1206 0.3139 0.3842
WMT 0.0788 0.3374 0.2336
PG 0.0706 0.3329 0.2121
JPM 0.0237 0.0684 0.3467
IBM 0.0520 0.1816 0.2863
MRK 0.0984 0.4125 0.2385
NKE 0.0211 0.0590 0.3577
MMM -0.1328 -0.5093 0.2607
DIS -0.1410 -0.4144 0.3403
KO 0.0552 0.2168 0.2547
CSCO 0.0407 0.1538 0.2645
DOW 0.0293 0.0721 0.4064
VZ -0.1063 -0.5247 0.2026
INTC -0.1605 -0.4489 0.3574
WBA -0.1417 -0.4169 0.3398

Valor en riesgos los 30 activos por separados

symbol ES
UNH -0.1371481
MSFT -0.0773137
GS -0.0997661
HD -0.1167430
MCD -0.0933186
V -0.0938879
CRM -0.0799894
AMGN -0.0644258
CAT -0.1046535
BA -0.0705106
HON -0.1310154
AAPL -0.1011701
TRV -0.0888266
AXP -0.1118046
JNJ -0.0639735
CVX -0.1744986
WMT -0.1201617
PG -0.0755408
JPM -0.0995446
IBM -0.1044696
MRK -0.0608009
NKE -0.0764744
MMM -0.0862151
DIS -0.1031039
KO -0.1437406
CSCO -0.0944090
DOW -0.1633138
VZ -0.0809395
INTC -0.1138942
WBA -0.0881063

Diagrama de puntos del valor en riesgos, para los 30 que conforman el índice Dow Jones.

A continuación se presentan las estadísticas básicas

symbol ArithmeticMean Kurtosis Median Quartile1 Quartile3 Skewness Stdev Variance
UNH 0.0040 6.7876 0.0045 -0.0188 0.0243 -0.4839 0.0443 0.0020
MSFT 0.0050 0.7093 0.0044 -0.0209 0.0279 0.1198 0.0399 0.0016
GS 0.0036 4.2122 -0.0007 -0.0233 0.0314 0.2334 0.0510 0.0026
HD 0.0031 8.7695 0.0054 -0.0187 0.0271 -0.2061 0.0469 0.0022
MCD 0.0029 6.1030 0.0051 -0.0122 0.0169 -0.3668 0.0323 0.0010
V 0.0018 2.3775 0.0002 -0.0193 0.0227 -0.0349 0.0407 0.0017
CRM 0.0032 3.4649 0.0011 -0.0352 0.0332 0.9026 0.0585 0.0034
AMGN 0.0007 0.6289 -0.0009 -0.0222 0.0191 0.3388 0.0344 0.0012
CAT 0.0035 1.0389 0.0036 -0.0255 0.0332 -0.1044 0.0476 0.0023
BA 0.0019 18.1256 -0.0017 -0.0331 0.0343 1.6944 0.0977 0.0095
HON 0.0018 6.8586 -0.0010 -0.0192 0.0237 -0.4053 0.0434 0.0019
AAPL 0.0059 1.7965 0.0042 -0.0204 0.0322 -0.2236 0.0435 0.0019
TRV 0.0026 3.3420 0.0011 -0.0181 0.0257 0.1679 0.0427 0.0018
AXP 0.0034 4.4686 0.0034 -0.0316 0.0304 0.3219 0.0613 0.0038
JNJ 0.0012 2.4016 0.0011 -0.0158 0.0168 -0.1264 0.0266 0.0007
CVX 0.0037 5.2568 0.0022 -0.0217 0.0338 -0.7076 0.0533 0.0028
WMT 0.0020 7.3787 0.0012 -0.0137 0.0189 -0.8895 0.0324 0.0010
PG 0.0017 2.0896 0.0018 -0.0134 0.0174 -0.3907 0.0294 0.0009
JPM 0.0016 3.5892 0.0021 -0.0220 0.0282 0.1936 0.0481 0.0023
IBM 0.0018 2.8867 0.0022 -0.0182 0.0218 -0.3089 0.0397 0.0016
MRK 0.0023 0.3689 0.0004 -0.0190 0.0219 0.2938 0.0331 0.0011
NKE 0.0016 3.4125 -0.0010 -0.0295 0.0343 0.6462 0.0496 0.0025
MMM -0.0021 0.7436 0.0007 -0.0239 0.0200 -0.2713 0.0362 0.0013
DIS -0.0018 1.3128 -0.0053 -0.0268 0.0234 0.0861 0.0472 0.0022
KO 0.0017 8.0772 0.0040 -0.0119 0.0186 -1.2124 0.0353 0.0012
CSCO 0.0014 1.7106 0.0037 -0.0178 0.0220 -0.4865 0.0367 0.0013
DOW 0.0022 11.0093 0.0022 -0.0255 0.0302 -0.4578 0.0564 0.0032
VZ -0.0018 2.6465 -0.0005 -0.0168 0.0124 -0.5452 0.0281 0.0008
INTC -0.0021 0.9988 0.0018 -0.0299 0.0247 -0.0906 0.0496 0.0025
WBA -0.0018 0.5194 -0.0051 -0.0321 0.0254 0.4246 0.0471 0.0022

Análisis de Correlación

Ratio de Sharpe

symbol ESSharpe(Rf=0%,p=95%) StdDevSharpe(Rf=0%,p=95%) VaRSharpe(Rf=0%,p=95%)
UNH 0.0293362 0.0909199 0.0588281
MSFT 0.0649648 0.1259017 0.0858891
GS 0.0364291 0.0712656 0.0502915
HD 0.0268774 0.0668636 0.0459686
MCD 0.0310761 0.0899193 0.0588104
V 0.0190431 0.0439013 0.0281713
CRM 0.0395735 0.0540903 0.0434343
AMGN 0.0101678 0.0190644 0.0126224
CAT 0.0330627 0.0726559 0.0460992
BA 0.0269134 0.0194313 0.0269134
HON 0.0134421 0.0405931 0.0257988
AAPL 0.0581899 0.1354277 0.0884501
TRV 0.0295296 0.0613922 0.0419491
AXP 0.0303150 0.0553065 0.0394531
JNJ 0.0184853 0.0443919 0.0280420
CVX 0.0209297 0.0685454 0.0413642
WMT 0.0165960 0.0615524 0.0369126
PG 0.0231179 0.0593774 0.0360582
JPM 0.0160663 0.0332606 0.0224858
IBM 0.0169189 0.0445145 0.0274202
MRK 0.0385946 0.0709369 0.0480276
NKE 0.0209920 0.0323633 0.0240047
MMM -0.0241135 -0.0574988 -0.0327010
DIS -0.0175346 -0.0383083 -0.0235367
KO 0.0116570 0.0474378 0.0271631
CSCO 0.0153011 0.0393887 0.0231710
DOW 0.0134519 0.0389807 0.0258913
VZ -0.0217507 -0.0626729 -0.0348446
INTC -0.0186553 -0.0428641 -0.0253853
WBA -0.0208683 -0.0390195 -0.0252541

Tabla de CAPM para cada unos de los activos que conforman el índice.

symbol Alpha Beta
UNH -0.0039 0.2558
MSFT 0.0157 0.6290
GS -0.0005 1.7328
HD -0.0028 1.1114
MCD 0.0040 0.7146
V 0.0033 0.8588
CRM 0.0240 1.6654
AMGN -0.0072 0.6636
CAT -0.0044 2.0930
BA 0.0042 1.6895
HON -0.0036 1.0595
AAPL 0.0146 0.7252
TRV -0.0029 0.7937
AXP 0.0043 1.6016
JNJ -0.0052 0.4541
CVX -0.0060 0.6615
WMT 0.0019 0.6813
PG -0.0017 0.5263
JPM 0.0024 1.4965
IBM -0.0024 0.6837
MRK -0.0001 0.0523
NKE -0.0036 1.1606
MMM -0.0082 1.4316
DIS 0.0013 1.6711
KO -0.0024 0.2164
CSCO 0.0036 0.8862
DOW 0.0011 1.6755
VZ -0.0036 1.1785
INTC 0.0080 1.3466
WBA -0.0082 1.3955