knitr::opts_chunk$set(
echo = FALSE,
warning = FALSE,
message = FALSE
)
# =========================================================
# INSTALACION DE PAQUETES
# =========================================================
## [1] "PGR" "SYK" "WM"
## PGR SYK WM
## 2016-05-03 0.003326124 -0.0070040577 -0.002334140
## 2016-05-04 -0.010548473 -0.0053125693 0.009525222
## 2016-05-05 0.001523067 0.0140898485 -0.001820805
## 2016-05-06 0.002432971 0.0098979420 0.006467633
## 2016-05-09 0.005764826 0.0009892629 0.008403486
## 2016-05-10 0.013574441 0.0038628374 0.002450946
Retornos y volatilidades anualizadas
|
|
Accion
|
Retorno_Anual
|
Volatilidad_Anual
|
|
PGR
|
PGR
|
0.2386
|
0.2440
|
|
SYK
|
SYK
|
0.1510
|
0.2612
|
|
WM
|
WM
|
0.1722
|
0.1942
|
Matriz de Covarianzas
|
|
PGR
|
SYK
|
WM
|
|
PGR
|
0.059544
|
0.020981
|
0.021471
|
|
SYK
|
0.020981
|
0.068220
|
0.023533
|
|
WM
|
0.021471
|
0.023533
|
0.037711
|
Matriz de Correlaciones
|
|
PGR
|
SYK
|
WM
|
|
PGR
|
1.0000
|
0.3292
|
0.4531
|
|
SYK
|
0.3292
|
1.0000
|
0.4640
|
|
WM
|
0.4531
|
0.4640
|
1.0000
|
## PGR SYK WM
## 0.70 0.15 0.15
Distribucion optima del Capital
|
|
Accion
|
Peso
|
Inversion_USD
|
|
PGR
|
PGR
|
70%
|
$14,000,000
|
|
SYK
|
SYK
|
15%
|
$3,000,000
|
|
WM
|
WM
|
15%
|
$3,000,000
|
## [1] "TNX"
Metricas del Portafolio
|
Retorno_Portafolio
|
Volatilidad
|
Sharpe_Ratio
|
|
0.2155
|
0.2038
|
0.8406
|
VaR Mensual del Portafolio
|
Nivel_Confianza
|
VaR_Porcentaje
|
VaR_USD
|
|
95%
|
-0.0755
|
-1509676
|
|
99%
|
-0.1044
|
-2088443
|
## Interpretacion VaR:
## El VaR representa la pérdida maxima esperada
## del portafolio bajo condiciones normales de mercado.
## [1] "GSPC"
Betas CAPM
|
Accion
|
Beta
|
|
PGR
|
0.5986
|
|
SYK
|
0.9680
|
|
WM
|
0.5624
|
## [1] 0.6485449
Cobertura con Futuros
|
Beta_Portafolio
|
Contratos_Teoricos
|
Contratos_Redondeados
|
|
0.6485
|
47.17
|
47
|
Simulacion de Margin Calls
|
Mes
|
Precio_Inicial
|
Precio_Final
|
Variacion
|
Ganancia_Corto
|
Ganancia_Largo
|
Saldo_Margen
|
Margin_Call
|
|
1
|
5500
|
5450
|
-50
|
2500
|
-2500
|
17500
|
NO
|
|
2
|
5450
|
5480
|
30
|
-1500
|
1500
|
16000
|
NO
|
|
3
|
5480
|
5400
|
-80
|
4000
|
-4000
|
12500
|
NO
|
|
4
|
5400
|
5350
|
-50
|
2500
|
-2500
|
10000
|
SI
|
|
5
|
5350
|
5420
|
70
|
-3500
|
3500
|
14500
|
NO
|
## El roll-over consiste en cerrar el contrato proximo
## al vencimiento y abrir uno nuevo con vencimiento posterior.
## Riesgos asociados:
## - Riesgo de base
## - Contango
## - Backwardation
## [1] 36.36364
## [1] 145.4545
## Fuentes:
## - Yahoo Finance
## - CME Group
## - Slickcharts S&P500
## [1] 0.1928097
## Tracking Error:
## Mide que tanto se desvia el portafolio
## respecto al comportamiento del indice.
Comparacion Retorno vs Riesgo
|
|
Accion
|
Retorno_Anual
|
Volatilidad_Anual
|
Ratio_Retorno_Riesgo
|
|
PGR
|
PGR
|
0.2386
|
0.2440
|
0.9778
|
|
SYK
|
SYK
|
0.1510
|
0.2612
|
0.5779
|
|
WM
|
WM
|
0.1722
|
0.1942
|
0.8870
|
Comparacion Portafolio vs Mercado
|
Indicador
|
Portafolio
|
Mercado
|
|
Retorno
|
0.2155
|
0.1400
|
|
Volatilidad
|
0.2038
|
0.1807
|
|
Sharpe_Ratio
|
0.8406
|
0.5304
|
Comparacion de Betas
|
Activo
|
Beta
|
|
PGR
|
0.5986
|
|
SYK
|
0.9680
|
|
WM
|
0.5624
|
|
Portafolio
|
0.6485
|
Comparacion VaR
|
Nivel
|
VaR_Porcentaje
|
VaR_USD
|
|
95%
|
-0.0755
|
-1509676
|
|
99%
|
-0.1044
|
-2088443
|
Composicion del Portafolio
|
|
Accion
|
Peso
|
Inversion
|
|
PGR
|
PGR
|
70.00%
|
$14,000,000
|
|
SYK
|
SYK
|
15.00%
|
$3,000,000
|
|
WM
|
WM
|
15.00%
|
$3,000,000
|
Resumen de Cobertura
|
Concepto
|
Valor
|
|
Beta_Portafolio
|
6.485e-01
|
|
Valor_Portafolio
|
2.000e+07
|
|
Precio_Futuro
|
5.500e+03
|
|
Multiplicador
|
5.000e+01
|
|
Contratos_Requeridos
|
4.700e+01
|
Tracking Error y Riesgo
|
Indicador
|
Valor
|
|
Tracking_Error
|
0.1928
|
|
Volatilidad_Portafolio
|
0.2038
|
|
Volatilidad_Mercado
|
0.1807
|