ANALISIS MERCADO RENTA VARIABLE

- Optimizacin de Mercados - YTD (05/00)

- Ultimo Ao (05/99 - 05/00)

Dep. Mtodos Cuantitativos

Junio 2000

CONTENIDO
1 Optimizacin Rv. ESPAOLA (YTD,LY)

- Frontera Eficiente
- Composicion 25 Mejores Carteras.
2 Optimizacin Rv. EUROPEA (YTD,LY)
- Frontera Eficiente
- Composicion 25 Mejores Carteras

3 Optimizacin Rv. GLOBAL (YTD,LY)

- Frontera Eficiente
- Composicion 25 Mejores Carteras

1 Renta Variable Espaola (YTD 05/00)

- Frontera Eficiente

Frontera Eficiente Mercado Rv_Espaola

25 Mejores Carteras (YTD 05/00)
400.00

350.00

TECNOCOM

300.00

250.00

ZELTIA

Rentabilidad

200.00

150.00
GRUPO PICKING PACK

100.00

50.00

0.00
0.00

RED ELECTRICA DE ESPANA

MERCAPITAL LIMITED DATA
BNC. ZARAGOZANO
DINAMIA CAPITAL PRIVADO S C R

IBEX 35
20.00

40.00

60.00

80.00

-50.00

-100.00
Riesgo (Dt)

100.00

120.00

140.00

- Composicin 25 Mejores Carteras

m = 0.0692466666666642
Nivel Lambda
Dt
R(e)
BNC. ZARAGOZANO
TECNOCOM
PROSEGUR
ZELTIA
BANCO ESFINGE
RED ELECTRICA DE ESPANA
SOGECABLE

1
2
500.00
115.01
0.53%
1.89%
46.62% 59.42%
33.10% 38.90%
2.80%
2.50%
2.00%
2.00%
2.70%
7.70%
45.60% 42.50%
8.20%
6.40%
5.60%
0.00%

3
46.85
4.58%
72.44%
45.00%
3.20%
2.00%
12.60%
33.00%
4.20%
0.00%

4
29.90
7.23%
85.29%
51.80%
3.90%
2.00%
16.90%
22.60%
2.80%
0.00%

5
6
7
8
9
10
11
12
21.57
16.88
12.18
8.79
6.88
5.61
4.76
4.21
9.85% 12.64% 15.62% 19.59% 23.77% 28.24% 32.71% 36.70%
97.91% 111.33% 124.06% 138.29% 152.24% 166.61% 180.70% 193.12%
57.70% 64.60% 62.30% 54.00% 45.80% 37.50% 29.30% 22.00%
4.70%
5.60%
7.00%
8.90% 10.70% 12.70% 14.60% 16.20%
2.00%
2.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
20.90% 24.80% 30.70% 37.10% 43.50% 49.80% 56.10% 61.80%
12.70%
1.60%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
2.00%
1.40%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

m = 0.0692466666666642
Nivel Lambda
Dt
R(e)
BNC. ZARAGOZANO
TECNOCOM
PROSEGUR
ZELTIA
BANCO ESFINGE
RED ELECTRICA DE ESPANA
SOGECABLE

13
14
15
16
17
18
19
20
21
22
23
24
25
3.73
3.30
2.69
1.72
1.24
0.97
0.79
0.67
0.59
0.53
0.48
0.45
0.00
41.27% 46.37% 49.93% 54.96% 61.92% 70.06% 79.46% 89.01% 97.68% 107.65% 115.15% 123.37% 129.68%
207.21% 222.83% 233.50% 244.50% 256.18% 267.85% 280.07% 291.75% 301.93% 313.34% 321.76% 330.85% 337.78%
13.80%
4.70%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
18.10% 20.20% 23.20% 31.30% 39.90% 48.50% 57.50% 66.10% 73.60% 82.00% 88.20% 94.90% 100.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
68.10% 75.10% 76.80% 68.70% 60.10% 51.50% 42.50% 33.90% 26.40% 18.00% 11.80%
5.10%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

2 MEJORES CESTAS DE FONDOS

RV. Espaola (1 Cuatrimestre 2000)

- Frontera Eficiente

Frontera Eficiente Mercado Rv_Espaola (IBEX354)

24 Mejores Carteras (YTD 05/00)
80.00

60.00

HIDROCANTABRICO
TELE PIZZA
MAPFRE VIDA

40.00
UNION FENOSA

Rentabilidad

ACTIV.DE
INDRA
CONSTR.Y
SISTEMAS
SERV.

20.00

FOM.CONSTRC.CNTR.
SOL MELIA

ENDESA F E AGROMAN

ALTADIS

BBV ARGENTARIA
BNC.POPUL.ESPANOL R
ACESA

0.00
0.00

-20.00

AUMAR

NH HOTELES
(EX-COFIR)
AGUAS BARCEL.
IBERDROLA
REPSOL
VALLEHERMOSO
CONTINENTE
BANKINTER R
6.82
5.00
15.00
20.00
25.00
BSCH 10.00
ACERINOX
35 R
GRUPO IBEX
DRAGADOS
TELEFONICA
ACERALIA
GAS NATURAL SDG
CORP.FIN.ALBA

30.00

ACCIONA

-40.00

35.00

SOGECABLE

-60.00
Riesgo (Dt)

45.00
TERRA NETWORKS

TELF.PUBLCD.E INFMC.
AMADEUS GLOBAL TRAVEL

40.00

- Composicin 25 Mejores cestas de fondos

m = 0.00618934347888211
Nivel Lam bda
Dt
R(e)
ACESA
BNC.POPUL.ESPANOL R
CONTINENTE
HIDROCANTABRICO
MAPFRE VIDA
ALTADIS
TELE PIZZA
UNION FENOSA
SOGECABLE

1
319.12
0.91%
25.64%
9.79%
0.76%
2.76%
0.00%
29.13%
19.13%
0.00%
38.44%
0.00%

2
230.21
0.93%
27.43%
0.00%
0.76%
2.87%
0.00%
32.68%
23.94%
0.00%
39.77%
0.00%

3
62.35
1.34%
28.80%
0.00%
0.00%
0.00%
0.00%
34.95%
23.91%
0.00%
41.18%
0.00%

4
36.67
2.23%
30.26%
0.00%
0.00%
0.00%
2.91%
35.16%
20.51%
0.00%
41.46%
0.00%

5
26.45
3.09%
31.67%
0.00%
0.00%
0.00%
5.79%
35.41%
17.37%
0.00%
41.47%
0.00%

6
20.71
3.95%
33.07%
0.00%
0.00%
0.00%
8.66%
35.65%
14.25%
0.00%
41.48%
0.00%

7
16.88
4.84%
34.54%
0.00%
0.00%
0.00%
11.65%
35.90%
10.99%
0.00%
41.50%
0.00%

8
14.34
5.70%
35.94%
0.00%
0.00%
0.00%
14.52%
36.15%
7.86%
0.00%
41.51%
0.00%

9
12.18
6.71%
37.60%
0.00%
0.00%
0.00%
17.90%
36.44%
4.17%
0.00%
41.53%
0.00%

10
10.78
7.59%
39.03%
0.00%
0.00%
0.00%
20.83%
36.69%
0.99%
0.00%
41.53%
0.00%

11
9.15
8.59%
40.64%
0.00%
0.00%
0.00%
25.11%
38.59%
0.00%
0.00%
36.35%
0.00%

12
8.10
9.41%
41.91%
0.00%
0.00%
0.00%
28.77%
40.57%
0.00%
0.00%
30.71%
0.00%

m = 0.00618934347888211
Nivel Lam bda
Dt
R(e)
ACESA
BNC.POPUL.ESPANOL R
CONTINENTE
HIDROCANTABRICO
MAPFRE VIDA
ALTADIS
TELE PIZZA
UNION FENOSA
SOGECABLE

13
7.16
10.36%
43.34%
0.00%
0.00%
0.00%
32.89%
42.83%
0.00%
0.00%
24.33%
0.00%

14
6.34
11.46%
44.95%
0.00%
0.00%
0.00%
37.56%
45.35%
0.00%
0.00%
17.14%
0.00%

15
5.61
12.73%
46.78%
0.00%
0.00%
0.00%
42.84%
48.22%
0.00%
0.00%
8.99%
0.00%

16
5.17
13.68%
48.13%
0.00%
0.00%
0.00%
46.73%
50.34%
0.00%
0.00%
2.98%
0.00%

17
4.21
14.59%
49.37%
0.00%
0.00%
0.00%
52.21%
47.85%
0.00%
0.00%
0.00%
0.00%

18
3.17
15.70%
50.58%
0.00%
0.00%
0.00%
59.86%
40.20%
0.00%
0.00%
0.00%
0.00%

19
2.58
16.89%
51.69%
0.00%
0.00%
0.00%
66.83%
33.23%
0.00%
0.00%
0.00%
0.00%

20
2.19
18.17%
52.76%
0.00%
0.00%
0.00%
73.53%
26.53%
0.00%
0.00%
0.00%
0.00%

21
1.86
19.81%
54.01%
0.00%
0.00%
0.00%
81.42%
18.64%
0.00%
0.00%
0.00%
0.00%

22
1.65
21.32%
55.09%
0.00%
0.00%
0.00%
88.24%
11.82%
0.00%
0.00%
0.00%
0.00%

23
1.46
23.10%
56.32%
0.00%
0.00%
0.00%
95.95%
4.11%
0.00%
0.00%
0.00%
0.00%

24
0.00
24.07%
56.96%
0.00%
0.00%
0.00%
100.00%
0.04%
0.00%
0.01%
0.00%
0.00%

3 MEJORES CESTAS DE FONDOS

RV. Global (1 Cuatrimestre 2000)

- Frontera Eficiente

15.00

Frontera Eficiente RV_GLOBAL (Areas Geograficas)

24 Mejores Cestas de Fondos YTD (05/00)

Curr = EUR

MSCI EMU TR EUR

MSCI North America TR EUR

10.00

MSCI Europe TR EUR

Rentabilidad

5.00

0.00
10.00

MSCI World TR EUR

12.00

EUR
14.00 MSCI EAFE TR
16.00

18.00

20.00

S&P/IFCG Emerging Composite TR EUR

-5.00

-10.00

MSCI Pacific TR EUR

-15.00
Riesgo (Dt)

22.00

24.00

26.00

- Composicin 25 Mejores cestas de fondos

0.00143883
Nivel Lam bda
Dt
R(e)

10

11

12

141.05

76.46

14.34

13.77

13.22

11.69

10.35

9.15

8.44

7.77

7.16

6.60

11.97%

11.86%

12.23%

12.71%

12.92%

13.02%

13.15%

13.31%

13.44%

13.59%

13.77%

13.97%

0.98%

1.83%

3.58%

5.26%

6.02%

6.34%

6.71%

7.13%

7.43%

7.77%

8.12%

8.51%

37.00%

40.90%

33.60%

9.90%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI EAFE TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI World TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI Pacific TR EUR

5.50%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI North Am erica TR EUR

0.00%

1.60%

10.60%

19.00%

22.70%

23.60%

24.70%

26.00%

26.90%

28.00%

29.00%

30.20%

12.00%

10.40%

17.80%

35.30%

42.80%

44.00%

45.30%

46.80%

47.90%

49.00%

50.30%

51.70%

S&P/IFCG Em erging Com posite TR

45.50%
EUR

47.10%

38.00%

35.80%

34.50%

32.40%

30.00%

27.20%

25.20%

23.00%

20.70%

18.10%

13

14

15

16

17

18

19

20

21

22

23

24

6.09

5.61

5.17

4.96

4.76

4.57

4.39

4.21

0.76

0.41

0.28

0.00

MSCI Europe TR EUR

MSCI EMU TR EUR

0.00146513
Nivel Lam bda
Dt

14.21%

14.49%

14.81%

14.98%

15.17%

15.37%

15.59%

15.76%

16.14%

17.05%

18.35%

19.86%

R(e)

8.93%

9.40%

9.91%

10.16%

10.44%

10.72%

11.03%

11.26%

11.41%

11.57%

11.73%

11.87%

MSCI Europe TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI EAFE TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI World TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI Pacific TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI North Am erica TR EUR

31.50%

32.90%

34.40%

35.20%

36.00%

36.90%

37.80%

38.40%

28.70%

18.70%

9.00%

0.00%

MSCI EMU TR EUR

53.20%

54.90%

56.70%

57.60%

58.60%

59.60%

60.70%

61.60%

71.30%

81.30%

91.00%

100.00%

S&P/IFCG Em erging Com posite TR

15.30%
EUR

12.20%

8.90%

7.20%

5.40%

3.50%

1.50%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00146513
Nivel Lam bda

10

11

12

500.00

17.33

8.06

6.79

6.24

5.98

5.73

5.49

5.26

5.04

4.83

4.63

Dt

19.02%

19.04%

19.20%

19.44%

19.86%

20.15%

20.45%

20.77%

21.11%

21.47%

21.85%

22.08%

R(e)

23.76%

24.34%

24.96%

25.63%

26.73%

27.47%

28.24%

29.04%

29.87%

30.74%

31.64%

32.18%

MSCI Europe TR EUR

46.50%

23.80%

9.50%

2.60%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI EAFE TR EUR

47.40%

75.40%

87.80%

89.00%

77.10%

66.70%

55.80%

44.50%

32.70%

20.40%

7.70%

0.00%

MSCI World TR EUR

0.00%

0.80%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI Pacific TR EUR

0.10%

0.00%

0.00%

1.10%

7.20%

12.10%

17.30%

22.60%

28.20%

34.00%

40.00%

43.70%

MSCI North Am erica TR EUR

6.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI EMU TR EUR

0.00%

0.00%

0.00%

2.50%

10.80%

16.40%

22.20%

28.30%

34.60%

41.20%

48.00%

52.20%

S&P/IFCG Em erging Com posite TR0.00%

EUR

0.00%

2.70%

4.80%

4.90%

4.80%

4.70%

4.60%

4.50%

4.40%

4.30%

4.10%

13

14

15

16

17

18

19

20

21

22

23

24

2.66

1.98

1.53

1.29

1.09

0.96

0.84

0.71

0.58

0.49

0.43

0.00

Dt

22.38%

22.78%

23.37%

23.95%

24.74%

25.52%

26.49%

27.35%

28.49%

29.77%

31.02%

32.01%

R(e)

32.63%

33.04%

33.50%

33.89%

34.35%

34.74%

35.19%

35.56%

35.97%

36.36%

36.70%

36.96%

MSCI Europe TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI EAFE TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI World TR EUR

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

MSCI Pacific TR EUR

37.30%

31.70%

25.30%

20.00%

13.80%

8.30%

2.20%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

0.00%

51.20%

49.70%

48.10%

46.80%

45.10%

43.80%

42.10%

36.20%

25.70%

15.50%

6.60%

0.00%

S&P/IFCG Em erging Com posite TR

11.50%
EUR

18.60%

26.60%

33.20%

41.10%

47.90%

55.70%

63.80%

74.30%

84.50%

93.40%

100.00%

0.00146513
Nivel Lam bda

MSCI North Am erica TR EUR

MSCI EMU TR EUR

Frontera Eficiente RV_GLOBAL (Areas Geograficas)

24 Mejores Cestas de Fondos Ultimo Ao (05/00)

Curr = EUR
40.00

S&P/IFCG Emerging Composite TR EUR

35.00
MSCI EMU TR EUR

MSCI Pacific TR EUR

Rentabilidad

30.00

25.00

MSCI EAFE TR EUR

MSCI World TR EUR
MSCI Europe TR EUR

MSCI North America TR EUR

20.00

15.00
15.00

17.00

19.00

21.00

23.00

25.00

Riesgo (Dt)

27.00

29.00

31.00

33.00

m = 0.0105584340000695
Nivel Lam bda
Dt
R(e)
MSCI World Consum er Discretionary TR EUR
MSCI World Consum er Staples TR EUR
MSCI World Energy TR EUR
MSCI World Financials TR EUR
MSCI World Health Care TR EUR
MSCI World Industrials TR EUR
MSCI World Inform ation Technology TR EUR
MSCI World Materials TR EUR
MSCI World Telecom m unication TR EUR
MSCI World Utilities TR EUR

1
500.00
11.91%
3.16%
0.00%
65.84%
0.00%
0.00%
0.00%
0.00%
1.87%
0.00%
8.53%
23.76%

2
62.13
11.07%
6.45%
0.00%
48.86%
0.00%
0.00%
0.00%
0.00%
1.38%
0.00%
9.82%
39.94%

3
32.81
10.73%
9.61%
0.00%
33.28%
0.00%
0.00%
0.00%
0.00%
1.23%
0.00%
10.61%
54.88%

4
23.34
10.84%
12.79%
0.00%
18.96%
2.50%
0.00%
0.00%
0.00%
1.15%
0.00%
11.10%
66.29%

5
18.87
11.32%
16.39%
0.00%
5.34%
9.89%
0.00%
0.00%
0.56%
1.10%
0.00%
11.10%
72.01%

6
10.40
12.12%
19.64%
0.00%
0.00%
12.87%
0.00%
0.00%
2.80%
4.21%
0.00%
7.23%
72.90%

7
6.24
13.55%
22.97%
0.00%
0.00%
13.03%
0.00%
0.00%
2.80%
10.82%
0.00%
0.46%
72.90%

8
5.49
14.99%
26.22%
0.00%
0.00%
30.47%
0.00%
0.00%
2.77%
13.22%
0.00%
0.00%
53.56%

9
4.08
17.20%
29.74%
0.00%
0.00%
39.79%
0.00%
0.00%
2.67%
17.39%
0.00%
0.00%
40.17%

10
3.30
19.49%
32.98%
0.00%
0.00%
48.30%
0.00%
0.00%
2.60%
21.22%
0.00%
0.00%
27.90%

11
2.78
21.88%
36.12%
0.00%
0.00%
56.32%
0.00%
0.31%
2.56%
24.95%
0.00%
0.00%
15.88%

12
2.34
24.91%
39.95%
0.00%
0.00%
62.93%
0.00%
4.85%
2.50%
29.75%
0.00%
0.00%
0.00%

m = 0.0105584340000695
Nivel Lam bda
Dt
R(e)
MSCI World Consum er Discretionary TR EUR
MSCI World Consum er Staples TR EUR
MSCI World Energy TR EUR
MSCI World Financials TR EUR
MSCI World Health Care TR EUR
MSCI World Industrials TR EUR
MSCI World Inform ation Technology TR EUR
MSCI World Materials TR EUR
MSCI World Telecom m unication TR EUR
MSCI World Utilities TR EUR

13
1.90
27.62%
42.98%
0.00%
0.00%
62.15%
0.00%
2.24%
0.00%
35.65%
0.00%
0.00%
0.00%

14
1.53
31.20%
46.55%
0.00%
0.00%
57.66%
0.00%
0.00%
0.00%
42.39%
0.00%
0.00%
0.00%

15
1.29
34.85%
49.93%
0.00%
0.00%
51.02%
0.00%
0.00%
0.00%
49.03%
0.00%
0.00%
0.00%

16
1.14
38.18%
52.87%
0.00%
0.00%
45.24%
0.00%
0.00%
0.00%
54.81%
0.00%
0.00%
0.00%

17
1.00
42.09%
56.21%
0.00%
0.00%
38.67%
0.00%
0.00%
0.00%
61.38%
0.00%
0.00%
0.00%

18
0.88
46.65%
60.00%
0.00%
0.00%
31.21%
0.00%
0.00%
0.00%
68.84%
0.00%
0.00%
0.00%

19
0.81
50.10%
62.82%
0.00%
0.00%
25.68%
0.00%
0.00%
0.00%
74.37%
0.00%
0.00%
0.00%

20
0.74
53.91%
65.89%
0.00%
0.00%
19.65%
0.00%
0.00%
0.00%
80.40%
0.00%
0.00%
0.00%

21
0.68
58.09%
69.22%
0.00%
0.00%
13.10%
0.00%
0.00%
0.00%
86.95%
0.00%
0.00%
0.00%

22
0.63
62.69%
72.85%
0.00%
0.00%
5.96%
0.00%
0.00%
0.00%
94.09%
0.00%
0.00%
0.00%

23
0.60
65.17%
74.79%
0.00%
0.00%
2.15%
0.00%
0.00%
0.00%
97.90%
0.00%
0.00%
0.00%

24
0.00
66.53%
75.85%
0.00%
0.00%
0.03%
0.00%
0.00%
0.01%
100.00%
0.00%
0.00%
0.00%

Frontera Eficiente Mercado Sectorial Global (MSCI)

24 Mejores Carteras (LY 05/00)

Curr = EUR
80.00

MSCI World Information Technology TR

EUR

70.00

60.00

Rentabilidad

50.00

40.00

MSCI World Industrials TR EUR

30.00

MSCI World
Telecommunication TR EUR
MSCI World Energy MSCI
TR EUR
World Consumer
Discretionary
TR EUR

20.00
MSCI World Utilities TR EUR

MSCI World Health Care TR EUR

MSCI World Financials TR EUR

10.00
MSCI World Materials TR EUR

0.00
0.00

10.00

20.00

30.00

40.00

MSCI World Consumer Staples TR EUR

-10.00
Riesgo (Dt)

50.00

60.00

70.00