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    Risco e Retorno

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    fefskawa
    The document shows annual returns and statistics for several companies (DISB34, CPRI, BYD) from 2019-2023, correlations between them, CAPM calculations using SELIC as risk-free rate, portfolio expected return and risk combining the companies, and IBOVESPA index returns for the same period.

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    Download as XLSX, PDF, TXT or read online from Scribd

    Risco e Retorno

    Uploaded by

    fefskawa
    8 views2 pages
    The document shows annual returns and statistics for several companies (DISB34, CPRI, BYD) from 2019-2023, correlations between them, CAPM calculations using SELIC as risk-free rate, portfolio expected return and risk combining the companies, and IBOVESPA index returns for the same period.

    Original Description:

    excel risco e retorno

    Original Title

    RISCO E RETORNO

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    The document shows annual returns and statistics for several companies (DISB34, CPRI, BYD) from 2019-2023, correlations between them, CAPM calculations using SELIC as risk-free rate, portfolio expected return and risk combining the companies, and IBOVESPA index returns for the same period.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    8 views2 pages

    Risco e Retorno

    Uploaded by

    fefskawa
    The document shows annual returns and statistics for several companies (DISB34, CPRI, BYD) from 2019-2023, correlations between them, CAPM calculations using SELIC as risk-free rate, portfolio expected return and risk combining the companies, and IBOVESPA index returns for the same period.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 2

    ANO DISB34 r CPRI r BYD r

    2019 39.45 37.38 46.00


    2020 62.73 59.01% 42.00 12.36% 194.30 322.39%
    2021 57.75 -7.94% 64.91 54.55% 268.12 37.99%
    2022 30.38 -47.39% 57.32 -11.69% 256.97 -4.16%
    2023 29.18 -3.95% 50.24 -12.35% 198.00 -22.95%

    E(r) -0.07% E(r) 10.72% E(r) 83.32%


    𝜎 44.00% 𝜎 31.40% 𝜎 161.41%
    IS - 0.00154 IS 0.34124 IS 0.51621
    𝜎^2 19.36% 𝜎^2 9.86% 𝜎^2 260.52%
    CORRELAÇÃO 𝜌 DISB, CPRI 0.217673 CPRI, BYD 0.185320895

    SELIC 11.25% 11.25% 11.25%


    𝛽 - 0.15 - 1.92 - 2.92
    CAPM 12.29% 24.64% 31.57%

    DISB, BYD 0.8934260875


    𝑤^2 0% 𝑤^2 61% 𝑤^2 4%

    W w E(r) w*E(r)
    DISB34 2% -0.07% 0.00%
    CPRI 78% 10.72% 8.36%
    BYD 20% 83.32% 16.66%

    〖𝐸 (𝑟) 〗_𝑝 25.02%


    𝜎_𝑝 44.06% RAIZ(C14*C11+F14*F11+I14*I11)+(2*(B17*B18*F12*C9*F9))+(2*(B17*B19*I
    〖𝐼𝑆〗 _𝑝 0.57
    IBOVESPA r
    116,533.00
    119,017.00 2.13%
    104,822.00 -11.93%
    109,734.00 4.69%
    134,185.00 22.28%

    E(r) 4.29%
    𝜎 14.04%
    IS 0.30574
    𝜎^2 1.97%

    DISB, BYD -0.860494


    𝑤^2 0%

    12*C9*F9))+(2*(B17*B19*I13*C9*I9))+(2*(B18*B19*I12*F9*I9))

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