Matriz de CORRELA

Australia
Australia 1.000
Canada 0.488
France 0.478
Germany 0.515
Japan 0.439
UK 0.512
USA 0.491

Australia
Desv. Estándar 16%
Germany equities will outperform the rest of European equities by 5%.
Canadian equities will outperform the US market by 4%.

𝛴 ̅=𝛴+H^(−1)=𝛴+(𝑃′𝛺^(−1
 Matriz de CORRELACIONES

Canada France Germany Japan UK USA

0.488 0.478 0.515 0.439 0.512 0.491
1.000 0.664 0.655 0.310 0.608 0.779
0.664 1.000 0.861 0.355 0.783 0.668
0.655 0.861 1.000 0.354 0.777 0.653
0.310 0.355 0.354 1.000 0.405 0.306
0.608 0.783 0.777 0.405 1.000 0.652
0.779 0.668 0.653 0.306 0.652 1.000

Canada France Germany Japan UK USA

20.30% 24.80% 27.10% 21.00% 20% 18.70%

Pesos de los activos en el mundo 𝑾_𝒆

𝑾_𝒆 view 1
Australia 1.60% market cao weights
Canada 2.20% France 5.20%
France 5.20% UK 12.40%
Germany 5.50% Suma 17.60%
Japan 11.60%
UK 12.40%
USA 61.50%
Suma 100%

Aversión al riesgo (𝜹) 2.5

CASO BLACK & LITTERMAN

Paso 1 : Ingeniería inversa (𝝅=𝜹𝜮𝒘_𝒆)

Retornos de equilibrio π
Australia 3.9%
Canada 6.9%
France 8.4%
Germany 9.0%
Japan 4.3%
UK 6.8%
USA 7.6%

Paso 2: Formulación de Expectativas 0.5 0.5

 P
views (P)
Australia Canada France Germany Japan
View 1 0 0 -0.295 1.00 0.00
View 2 0 1 0 0 0

Paso 3: Combinar equilibrio con expectativas (Bayes)

Matriz de Varianzas y Covarianzas

𝛴 ̅=𝛴+H^(−1)=𝛴+(𝑃′𝛺^(−1) 𝑃+ 〖 ("τΣ" ) 〗 ^(−1) )^(−1)

Tau 0.05

Australia Canada France Germany Japan

Australia 0.026847232 0.016574303 0.0198378464503656 0.02328237 0.015470054
Canada 0.016574303 0.042993851 0.0349420924361409 0.037532923 0.013830592
France 0.019837846 0.034942092 0.0643955514042761 0.060368655 0.0193708
Germany 0.02328237 0.037532923 0.0603686547237712 0.076273761 0.021066277
Japan 0.015470054 0.013830592 0.0193708000203413 0.021066277 0.046294758
UK 0.017188003 0.025890716 0.0407425665653748 0.044141685 0.017852424
USA 0.015391835 0.031075077 0.0324460050973442 0.034549245 0.012605049

Pasos 4 y 5: calcular retornos combinados BL (𝜇 ̅) y los nuevos pesos óptimos (𝑤^∗). Incluyendo restricción de enunciad

𝑾_BL 𝑾_BL_reponderados
Retornos 𝝁 ̅=𝛑+ 〖 ("τΣ" )𝐏′(𝐏("τΣ" )𝐏′+
Actualizados
Australia 4.4% 1.5% 1.6%
Canada 9.1% 53.3% 56.0%
France 9.5% -3.3% -3.4%
Germany 11.3% 33.1% 34.7%
Japan 4.6% 11.0% 11.6%
UK 7.0% -7.8% -8.2%
USA 7.3% 7.3% 7.7%
Suma 53.24% 95.24% 100.00%
 Matriz de desviaciones estándar

Australia Canada France Germany Japan UK

Australia 0.160 0.000 0.000 0.000 0.000 0.000
Canada 0.000 0.203 0.000 0.000 0.000 0.000
France 0.000 0.000 0.248 0.000 0.000 0.000
Germany 0.000 0.000 0.000 0.271 0.000 0.000
Japan 0.000 0.000 0.000 0.000 0.210 0.000
UK 0.000 0.000 0.000 0.000 0.000 0.200
USA 0.000 0.000 0.000 0.000 0.000 0.000

29.5%
70.5%
100.0%
 Omega
UK USA Q View 1 View 2
-0.705 0.00 5.00% 0.1065% 0.0000%
0 -1.00 4.00% 0.0000% 0.0852%

UK USA
0.01718800299 0.015391835
0.02589071622 0.031075077
0.04074256657 0.032446005
0.0441416852 0.034549245
0.01785242435 0.012605049
0.04199286367 0.025586097
0.02558609675 0.036615749

ndo restricción de enunciado.

𝛑+ 〖 ("τΣ" )𝐏′(𝐏("τΣ" )𝐏′+𝜴) 〗 ^(−𝟏) (𝐪−𝑷𝝅)

Suma
 Matriz de Varianzas y Covarianzas Σ
USA Australia Canada France Germany Japan
0.000 Australia 0.0256 0.0159 0.0190 0.0223 0.0148
0.000 Canada 0.0159 0.0412 0.0334 0.0360 0.0132
0.000 France 0.0190 0.0334 0.0615 0.0579 0.0185
0.000 Germany 0.0223 0.0360 0.0579 0.0734 0.0201
0.000 Japan 0.0148 0.0132 0.0185 0.0201 0.0441
0.000 UK 0.0164 0.0247 0.0388 0.0421 0.0170
0.187 USA 0.0147 0.0296 0.0310 0.0331 0.0120
 1.50%
53.90%
-0.50%
23.60%
11.00%
-1.10%
6.80%
95.20%
arianzas Σ
UK USA
0.0164 0.0147
0.0247 0.0296
0.0388 0.0310
0.0421 0.0331
0.0170 0.0120
0.0400 0.0244
0.0244 0.0350
 Australia
Australia 1.000
Canada 0.488
France 0.478
Germany 0.515
Japan 0.439
UK 0.512
USA 0.491

Australia
Desv. Estándar 16%

3.1
Las acciones del Reino Unido (UK) tendrán un retorno absoluto de 2.5%.
El retorno de las acciones de Estados Unidos (USA) superará a las de Australia en 1%.
El retorno de las acciones de Francia superará al resto de las acciones de Europa en 3.3%.

𝛴 ̅=𝛴+H^(−1)=𝛴+

3.3.

3.2

3.4
3.5
 Matriz de CORRELACIONES

Canada France Germany

0.488 0.478 0.515
1.000 0.664 0.655
0.664 1.000 0.861
0.655 0.861 1.000
0.310 0.355 0.354
0.608 0.783 0.777
0.779 0.668 0.653

Canada France Germany

20.30% 24.80% 27.10%

Pesos de los activos en el mundo 𝑾_𝒆

𝑾_𝒆
Australia
Canada
France
Germany
Japan
UK
USA
Suma 0%

Aversión al riesgo (𝜹) 1.5

CASO BLACK & LITTERMAN

Paso 1 : Ingeniería inversa (𝝅=𝜹𝜮𝒘_𝒆)

Retornos de equilibrio π
Australia
Canada
France
Germany
Japan
UK
USA

Paso 2: Formulación de Expectativas: (P, Q, Omega)

 P
views (P)
Australia Canada
View 1
View 2
View 3

Paso 3: Combinar equilibrio con expectativas (Bayes)

Matriz de Varianzas y Covarianzas

𝛴 ̅=𝛴+H^(−1)=𝛴+(𝑃′𝛺^(−1) 𝑃+ 〖 ("τΣ" ) 〗 ^(−1) )^(−1)

Tau 0.05

Australia Canada
Australia
Canada
France
Germany
Japan
UK
USA

Pasos 4 y 5: calcular retornos combinados BL (𝜇 ̅) y los nuevos pesos óptimos (𝑤^∗). Incluyendo restricción de enunciad

𝑾_BL
Retornos
Actualizados
Australia
Canada
France
Germany
Japan
UK
USA
Suma

Rf 0.5%

Datos del Portafolio

Retorno
Riesgo (Desv. Estándar)
Ratio de Sharpe 23%
 Retorno USA
Omega infinito
Matriz de CORRELACIONES

Japan UK USA
0.439 0.512 0.491
0.310 0.608 0.779
0.355 0.783 0.668
0.354 0.777 0.653
1.000 0.405 0.306
0.405 1.000 0.652
0.306 0.652 1.000

Japan UK USA
21.00% 20% 18.70%
 P
France Germany Japan

France Germany Japan

𝜇 ̅) y los nuevos pesos óptimos (𝑤^∗). Incluyendo restricción de enunciado.

𝑾_BL_reponderados
𝝁 ̅=𝛑+ 〖 ("τΣ" )𝐏′(𝐏("τΣ" )𝐏′+𝜴) 〗
 Matriz de desviaciones estándar

Australia Canada France Germany Japan

Australia 0.160 0.000 0.000 0.000 0.000
Canada 0.000 0.203 0.000 0.000 0.000
France 0.000 0.000 0.248 0.000 0.000
Germany 0.000 0.000 0.000 0.271 0.000
Japan 0.000 0.000 0.000 0.000 0.210
UK 0.000 0.000 0.000 0.000 0.000
USA 0.000 0.000 0.000 0.000 0.000
 Omega
UK USA Q View 1 View 2 View 3

UK USA

+ 〖 ("τΣ" )𝐏′(𝐏("τΣ" )𝐏′+𝜴) 〗 ^(−𝟏) (𝐪−𝑷𝝅)

ándar Matriz de Varianzas y Covarianzas
UK USA Australia Canada France
0.000 0.000 Australia
0.000 0.000 Canada
0.000 0.000 France
0.000 0.000 Germany
0.000 0.000 Japan
0.200 0.000 UK
0.000 0.187 USA
Matriz de Varianzas y Covarianzas Σ
Germany Japan UK USA