Informe creado: 29/08/2004 15:11:03

Celda objetivo (Máximo)

Celda Nombre Valor original Valor final
$D$191 Portafolio BANK OF A 1.41% 1.30%

Celdas cambiantes
Celda Nombre Valor original Valor final
$C$157 % PARTICIPACIÓN TOY R US 20% 0%
$D$157 % PARTICIPACIÓN BANK OF A 20% 29%
$E$157 % PARTICIPACIÓN PEPSICO 20% 28%
$F$157 % PARTICIPACIÓN FEDEX 20% 35%
$G$157 % PARTICIPACIÓN CATERPILAR 20% 7%

Restricciones
Celda Nombre Valor de la celda fórmula Estado
$H$157 % PARTICIPACIÓN DOW JONES 100% $H$157=$I$157 Opcional
$D$187 Volatilidad (Rp) BANK OF A 4.20% $D$187=$E$187 Opcional
$C$157 % PARTICIPACIÓN TOY R US 0% $C$157>=0 Obligatorio
$D$157 % PARTICIPACIÓN BANK OF A 29% $D$157>=0 Opcional
$E$157 % PARTICIPACIÓN PEPSICO 28% $E$157>=0 Opcional
$F$157 % PARTICIPACIÓN FEDEX 35% $F$157>=0 Opcional
$G$157 % PARTICIPACIÓN CATERPILAR 7% $G$157>=0 Opcional
Divergencia
0
0
0%
29%
28%
35%
7%
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

GESTIÓN DE ACTIVOS FINANCIEROS DE RENTA VARIABLE

www.gacetafinanciera.com

MATRIZ DE COTIZACIÓN DE PRECIOS DE CIERRE

Date TOY R US BANK OF A PEPSICO FEDEX CATERPILAR

3-Jan-00 10.31 47.91 34.12 39.56 42.44

1-Feb-00 12.38 45.50 32.12 34.94 35.06
1-Mar-00 14.81 52.44 34.88 38.81 39.44
3-Apr-00 15.25 49.00 36.69 37.69 39.44
1-May-00 15.75 55.44 40.69 35.50 38.25
1-Jun-00 14.56 43.00 44.44 38.00 33.88
3-Jul-00 16.50 47.38 45.81 39.62 34.06
1-Aug-00 18.19 53.58 42.64 40.35 36.77
1-Sep-00 16.25 52.38 46.00 44.34 31.00
2-Oct-00 17.19 48.06 48.44 46.86 35.06
1-Nov-00 18.94 39.94 45.38 47.92 39.31
1-Dec-00 16.69 45.88 49.56 39.96 47.31
2-Jan-01 26.40 53.82 44.07 45.38 44.22
1-Feb-01 24.60 50.70 46.08 40.93 41.60
1-Mar-01 25.10 54.75 43.95 41.68 44.38
2-Apr-01 24.80 55.47 43.67 42.07 50.20
1-May-01 27.70 59.25 44.76 40.00 54.16
1-Jun-01 24.75 60.03 44.20 40.20 50.05
2-Jul-01 23.03 63.62 46.63 41.37 55.10
1-Aug-01 23.93 61.50 47.00 42.10 50.00
4-Sep-01 17.23 58.40 48.50 36.75 44.80
1-Oct-01 19.00 58.99 48.71 41.08 44.72
1-Nov-01 21.51 61.38 48.63 45.86 47.42
3-Dec-01 20.74 62.95 48.69 51.88 52.25
2-Jan-02 19.56 63.03 50.09 53.55 50.28
4-Feb-02 17.81 63.95 50.50 57.86 55.51
1-Mar-02 17.96 68.02 51.50 58.10 56.85
1-Apr-02 17.27 72.48 51.90 51.67 54.62
1-May-02 18.25 75.81 51.98 53.95 52.27
3-Jun-02 17.47 70.36 48.20 53.40 48.95
1-Jul-02 13.48 66.50 42.94 50.95 44.70
1-Aug-02 13.33 70.08 39.55 47.35 43.64
3-Sep-02 10.18 63.80 36.95 50.07 37.22
1-Oct-02 9.99 69.80 44.10 53.19 40.85
1-Nov-02 13.61 70.08 42.48 52.57 49.90
2-Dec-02 10.00 69.57 42.22 54.22 45.72
2-Jan-03 9.04 70.05 40.48 52.60 43.98
3-Feb-03 8.08 69.24 38.32 51.40 47.00
3-Mar-03 8.37 66.84 40.00 55.07 49.20
1-Apr-03 10.25 74.05 43.28 59.88 52.60
1-May-03 11.64 74.20 44.20 63.98 52.15
2-Jun-03 12.12 79.03 44.50 62.03 55.66
1-Jul-03 11.15 82.57 46.07 64.39 67.47
1-Aug-03 13.62 79.25 44.54 67.10 71.83
2-Sep-03 12.03 78.04 45.83 64.43 68.84
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

1-Oct-03 13.00 75.73 47.82 75.76 73.28

3-Nov-03 11.74 75.43 48.12 72.70 76.05
1-Dec-03 12.64 80.43 46.62 67.50 83.02
2-Jan-04 14.12 81.46 47.26 67.28 78.13
2-Feb-04 15.70 81.92 51.90 68.68 75.75
1-Mar-04 16.80 80.98 53.85 75.16 79.07
1-Apr-04 15.45 80.49 54.49 71.91 77.73
3-May-04 15.72 83.13 53.37 73.58 75.35
1-Jun-04 15.93 84.62 53.88 81.69 79.44
1-Jul-04 16.46 85.01 50.00 81.88 73.49
2-Aug-04 16.38 89.01 49.27 81.33 73.70

MATRIZ DE RENDIMIENTOS

Date TOY R US BANK OF A PEPSICO FEDEX CATERPILAR

3-Jan-00
1-Feb-00 20.08% -5.03% -5.86% -11.68% -17.39%
1-Mar-00 19.63% 15.25% 8.59% 11.08% 12.49%
3-Apr-00 2.97% -6.56% 5.19% -2.89% 0.00%
1-May-00 3.28% 13.14% 10.90% -5.81% -3.02%
1-Jun-00 -7.56% -22.44% 9.22% 7.04% -11.42%
3-Jul-00 13.32% 10.19% 3.08% 4.26% 0.53%
1-Aug-00 10.24% 13.09% -6.92% 1.84% 7.96%
1-Sep-00 -10.67% -2.24% 7.88% 9.89% -15.69%
2-Oct-00 5.78% -8.25% 5.30% 5.68% 13.10%
1-Nov-00 10.18% -16.90% -6.32% 2.26% 12.12%
1-Dec-00 -11.88% 14.87% 9.21% -16.61% 20.35%
2-Jan-01 58.18% 17.31% -11.08% 13.56% -6.53%
1-Feb-01 -6.82% -5.80% 4.56% -9.81% -5.92%
1-Mar-01 2.03% 7.99% -4.62% 1.83% 6.68%
2-Apr-01 -1.20% 1.32% -0.64% 0.94% 13.11%
1-May-01 11.69% 6.81% 2.50% -4.92% 7.89%
1-Jun-01 -10.65% 1.32% -1.25% 0.50% -7.59%
2-Jul-01 -6.95% 5.98% 5.50% 2.91% 10.09%
1-Aug-01 3.91% -3.33% 0.79% 1.76% -9.26%
4-Sep-01 -28.00% -5.04% 3.19% -12.71% -10.40%
1-Oct-01 10.27% 1.01% 0.43% 11.78% -0.18%
1-Nov-01 13.21% 4.05% -0.16% 11.64% 6.04%
3-Dec-01 -3.58% 2.56% 0.12% 13.13% 10.19%
2-Jan-02 -5.69% 0.13% 2.88% 3.22% -3.77%
4-Feb-02 -8.95% 1.46% 0.82% 8.05% 10.40%
1-Mar-02 0.84% 6.36% 1.98% 0.41% 2.41%
1-Apr-02 -3.84% 6.56% 0.78% -11.07% -3.92%
1-May-02 5.67% 4.59% 0.15% 4.41% -4.30%
3-Jun-02 -4.27% -7.19% -7.27% -1.02% -6.35%
1-Jul-02 -22.84% -5.49% -10.91% -4.59% -8.68%
1-Aug-02 -1.11% 5.38% -7.89% -7.07% -2.37%
3-Sep-02 -23.63% -8.96% -6.57% 5.74% -14.71%
1-Oct-02 -1.87% 9.40% 19.35% 6.23% 9.75%
1-Nov-02 36.24% 0.40% -3.67% -1.17% 22.15%
2-Dec-02 -26.52% -0.73% -0.61% 3.14% -8.38%
2-Jan-03 -9.60% 0.69% -4.12% -2.99% -3.81%
3-Feb-03 -10.62% -1.16% -5.34% -2.28% 6.87%
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

3-Mar-03 3.59% -3.47% 4.38% 7.14% 4.68%

1-Apr-03 22.46% 10.79% 8.20% 8.73% 6.91%
1-May-03 13.56% 0.20% 2.13% 6.85% -0.86%
2-Jun-03 4.12% 6.51% 0.68% -3.05% 6.73%
1-Jul-03 -8.00% 4.48% 3.53% 3.80% 21.22%
1-Aug-03 22.15% -4.02% -3.32% 4.21% 6.46%
2-Sep-03 -11.67% -1.53% 2.90% -3.98% -4.16%
1-Oct-03 8.06% -2.96% 4.34% 17.58% 6.45%
3-Nov-03 -9.69% -0.40% 0.63% -4.04% 3.78%
1-Dec-03 7.67% 6.63% -3.12% -7.15% 9.17%
2-Jan-04 11.71% 1.28% 1.37% -0.33% -5.89%
2-Feb-04 11.19% 0.56% 9.82% 2.08% -3.05%
1-Mar-04 7.01% -1.15% 3.76% 9.44% 4.38%
1-Apr-04 -8.04% -0.61% 1.19% -4.32% -1.69%
3-May-04 1.75% 3.28% -2.06% 2.32% -3.06%
1-Jun-04 1.34% 1.79% 0.96% 11.02% 5.43%
1-Jul-04 3.33% 0.46% -7.20% 0.23% -7.49%
2-Aug-04 -0.49% 4.71% -1.46% -0.67% 0.29%

MATRIZ DE INDICADORES

RENDIMIENTO ESPERADO 1.84% 1.41% 0.83% 1.57% 1.41%

VOLATILIDAD 14.58% 7.33% 5.78% 7.15% 9.07%
RIESGO MARGINAL 7.91 5.22 6.93 4.54 6.42
RIESGO TOTAL 2.12% 0.54% 0.33% 0.51% 0.82%

MATRIZ DE CORRELACIÓN

TOY R US BANK OF A PEPSICO FEDEX CATERPILAR

TOY R US 1
BANK OF A 34.01% 1
PEPSICO -10.61% 12.19% 1
FEDEX 32.89% -0.53% 11.90% 1
CATERPILAR 24.50% 34.02% 19.81% 13.45% 1
DOW JONES 44.30% 17.47% 17.57% 33.20% 23.46%

MATRIZ DE VARIANZAS COVARIANZAS

TOY R US BANK OF A PEPSICO FEDEX CATERPILAR

TOY R US 2.12%
BANK OF A 0.36% 0.54%
PEPSICO -0.09% 0.05% 0.33%
FEDEX 0.34% 0.00% 0.05% 0.51%
CATERPILAR 0.32% 0.23% 0.10% 0.09% 0.82%
DOW JONES 0.51% 0.10% 0.08% 0.19% 0.17%

MATRIZ DE PARTICIPACION DE RIQUEZAS EN EL PORTAFOLIO

TOY R US BANK OF A PEPSICO FEDEX CATERPILAR

% PARTICIPACIÓN 5% 32% 0% 54% 9%

MATRIZ DE RIESGO Y RENDIMIENTO ESPERADO PORTAFOLIO

TOY R US TOY R US 0.006050%

 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

TOY R US BANK OF A 0.006149%

TOY R US PEPSICO 0.000000%
TOY R US FEDEX 0.009798%
TOY R US CATERPILAR 0.001621%
BANK OF A TOY R US 0.006149%
BANK OF A BANK OF A 0.054023%
BANK OF A PEPSICO 0.000000%
BANK OF A FEDEX -0.000474%
BANK OF A CATERPILAR 0.006725%
PEPSICO TOY R US 0.000000%
PEPSICO BANK OF A 0.000000%
PEPSICO PEPSICO 0.000000%
PEPSICO FEDEX 0.000000%
PEPSICO CATERPILAR 0.000000%
FEDEX TOY R US 0.009798%
FEDEX BANK OF A -0.000474%
FEDEX PEPSICO 0.000000%
FEDEX FEDEX 0.146706%
FEDEX CATERPILAR 0.004382%
CATERPILAR TOY R US 0.001621%
CATERPILAR BANK OF A 0.006725%
CATERPILAR PEPSICO 0.000000%
CATERPILAR FEDEX 0.004382%
CATERPILAR CATERPILAR 0.007232%
VAR (Rp) 0.27%
Volatilidad (Rp) 5.20% 4.7%

Rendimiento
Esperado
Portafolio 1.52%

DIVERSIFICACIÓN: FRONTERA EFICIENTE

Volatilidad (Rp) E (Rp)

4.20% 1.30%
4.70% 1.44%
5.20% 1.52%
5.70% 1.56%
6.20% 1.59%
6.70% 1.61%
7.20% 1.64%
7.70% 1.66%
8.20% 1.68%
8.70% 1.70%
9.20% 1.71%
9.70% 1.73%
10.20% 1.74%
10.70% 1.75%
11.20% 1.76%
11.70% 1.78%
12.20% 1.79%
12.70% 1.80%
13.20% 1.81%
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

13.70% 1.82%
14.20% 1.83%
14.50% 1.84%

Frontera Eficiente
2.00%
1.80%
1.60%
1.40%
Valor Esperado

1.20%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00%

Volatilidad
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

DOW JONES

62.00
62.38
71.81
64.88
68.00
73.25
65.94
62.58
60.50
58.88
56.56
56.62
60.65
61.60
52.35
54.27
55.75
59.71
56.92
54.88
45.43
45.00
50.62
54.73
51.75
55.81
58.22
54.37
55.05
48.45
41.20
42.55
38.41
35.12
41.45
43.23
40.36
35.88
35.44
39.60
45.55
43.03
42.33
42.47
47.35
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

51.97
49.60
49.85
49.48
48.70
47.91
46.09
47.93
45.10
42.38
41.52

DOW JONES

0.61%
15.12%
-9.65%
4.81%
7.72%
-9.98%
-5.10%
-3.32%
-2.68%
-3.94%
0.11%
7.12%
1.57%
-15.02%
3.67%
2.73%
7.10%
-4.67%
-3.58%
-17.22%
-0.95%
12.49%
8.12%
-5.44%
7.85%
4.32%
-6.61%
1.25%
-11.99%
-14.96%
3.28%
-9.73%
-8.57%
18.02%
4.29%
-6.64%
-11.10%
 ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS

-1.23%
11.74%
15.03%
-5.53%
-1.63%
0.33%
11.49%
9.76%
-4.56%
0.50%
-0.74%
-1.58%
-1.62%
-3.80%
3.99%
-5.90%
-6.03%
-2.03%

-0.41%
7.90%
19.05
0.62%

DOW JONES

DOW JONES

0.62%

OLIO

100% 100%

OLIO
ELABORADO POR : FERNANDO DE JESÚS FRANCO CUARTAS