LUSURC1 CVERDEC1 ALICORC1 FALABELLA ECOPETROL

Fecha Cierre Cierre Cierre Cierre Cierre

Jan-08 3.02081766 18.43781 2.24934316 2361.1134 1331.17708
Feb-08 3.20007497 21.201911 2.24934316 2216.90109 1515.95803
Mar-08 3.25318825 20.5737062 2.33113746 2221.88036 1576.29467
Apr-08 3.12040505 22.2227437 2.4538289 2330.29685 2011.11764
May-08 3.28669687 21.5395711 2.61943277 2440.12256 2173.55407
Jun-08 3.21278571 20.5547099 2.36996298 2079.64244 2022.72025
Jul-08 2.90517857 19.484067 2.24522809 2009.46296 2003.21434
Aug-08 2.81631428 18.1845843 1.9957583 1868.35242 2046.25214
Set-08 2.62824567 16.7083486 1.76291983 1815.36551 2007.12686
Oct-08 2.69833222 7.84944291 1.33050553 1660.82034 1574.15949
Nov-08 2.80346205 8.26715163 1.28892724 1493.87398 1598.01039
Dec-08 2.80437226 8.04959501 1.18913932 1568.18719 1616.00218
Jan-09 2.73246528 8.09310633 1.33050553 1670.12123 1644.21169
Feb-09 2.6605583 8.88501243 1.2556646 1697.36628 1696.60079
Mar-09 2.62460481 12.8010316 1.28892724 1694.45388 1724.8103
Apr-09 3.06272981 13.9236238 1.42434381 1795.07265 1769.76194
May-09 3.08460646 15.5509473 1.44226009 2074.72645 1990.98218
Jun-09 3.32425813 16.7083486 1.46017636 1979.45258 2153.76689
Jul-09 3.69777028 19.8237594 1.56767401 2122.64864 2316.5516
Aug-09 3.6305381 20.4068111 1.80954371 2192.95282 2299.58583
Set-09 3.75459332 21.1486825 1.9259995 2305.50708 2321.03719
Oct-09 3.40283916 20.0912484 1.9259995 2424.91165 2188.03876
Nov-09 3.28813672 21.4306649 2.12307851 2358.88235 2149.42631
Dec-09 3.40804868 21.4065123 2.46348773 2852.00893 2196.43436
Jan-10 3.74806282 21.130892 2.43661331 2823.84658 2169.91805
Feb-10 3.87457971 20.5796513 2.44557145 2831.45802 2262.72513
Mar-10 3.99318929 22.2149986 2.95618527 2929.16996 2386.46791
Apr-10 4.14553989 23.0694216 3.23935084 3136.86731 2471.42955
May-10 4.08941072 21.6821326 3.07179821 3258.44014 2413.33084
Jun-10 4.06162642 22.1536985 3.17419148 3397.71683 2462.49128
Jul-10 4.06162642 22.9724221 3.27658476 3919.45173 2775.33047
Aug-10 4.51291824 23.3095436 3.44413738 4027.48969 3143.13189
Set-10 5.09152686 28.8961285 4.4773786 4556.24128 3337.04103
Oct-10 5.38462463 33.7121499 4.93349409 4703.49587 3977.39214
Nov-10 5.7949615 41 5.35237567 4481.36445 3463.30745
Dec-10 6.03291879 54.1 5.86434203 5053.75415 3725.05875
Jan-11 6.18695076 53 5.86434203 4624.77426 3606.94713
Feb-11 6.24685209 50 5.32445023 4419.27146 3602.40437
Mar-11 5.8189855 45.3 5.02657889 4663.79865 3529.7203
Apr-11 4.91188148 39.5 5.09990163 4829.70035 3497.47411
May-11 5.90120037 39.8 5.19612619 5053.23465 3722.96915
 Jun-11 5.47849557 34.5 5.19612619 4764.82867 3534.28963
Jul-11 5.87612831 44.4 5.74460618 4323.26784 3482.83158
Aug-11 5.62871239 39.8 5.128769 4193.46569 3594.72978
Set-11 5.53652696 33.98 5.29235075 4036.90523 3599.3922
Oct-11 5.78859648 36.5 5.77347354 4485.27727 3776.1194
Nov-11 5.86961883 35.6 5.70611635 4263.91303 3870.52239
Dec-11 6.01423936 36 5.77347354 3958.38092 3979.08582
Jan-12 6.80510264 38.4 5.72536126 4120.5735 4342.53731
Feb-12 6.72233788 41.1 6.29308616 4682.71044 4918.39552
Mar-12 6.98902433 42.1 6.73571913 4621.85147 5126.08209
Apr-12 6.8962086 40.3 7.05274949 4641.45178 5700
May-12 6.49710097 37 6.66751527 4589.49527 5450
Jun-12 6.63649669 35.95 6.91446029 4587.02435 4985
Jul-12 6.70267258 37 6.69714868 4648.8963 5150
Aug-12 7.32661672 37 6.64775967 4323.82146 5270
Set-12 7.65104771 41.6 6.91446029 4733.99494 5300
Oct-12 7.95862752 41.3 7.2601833 4878.1981 5450
Nov-12 8.25659546 38 7.92199593 4769.66282 5290
Dec-12 8.41139832 38 8.19857434 4904.31928 5460
partic. %

Rend. Prom. mensual

Rend. Anualizado
desv. Est. Mensual
desv. Est. Anualizada

Rend. Anualizado
desv. Est. Anualizada
 Rend. Del portafolio
LUSURC1 CVERDEC1 ALICORC1 FALABELLA ECOPETROL VECTOR
5.93% 14.99% 0.00% -6.11% 13.88% 11.88%
1.66% -2.96% 3.64% 0.22% 3.98% 3.93%
-4.08% 8.02% 5.26% 4.88% 27.59% 24.37%
5.33% -3.07% 6.75% 4.71% 8.08% 7.89%
-2.25% -4.57% -9.52% -14.77% -6.94% -7.31%
-9.57% -5.21% -5.26% -3.37% -0.96% -1.58%
-3.06% -6.67% -11.11% -7.02% 2.15% 0.24%
-6.68% -8.12% -11.67% -2.84% -1.91% -3.32%
2.67% -53.02% -24.53% -8.51% -21.57% -22.00%
3.90% 5.32% -3.12% -10.05% 1.52% 0.85%
0.03% -2.63% -7.74% 4.97% 1.13% -0.15%
-2.56% 0.54% 11.89% 6.50% 1.75% 3.21%
-2.63% 9.78% -5.63% 1.63% 3.19% 1.92%
-1.35% 44.07% 2.65% -0.17% 1.66% 1.80%
16.69% 8.77% 10.51% 5.94% 2.61% 3.74%
0.71% 11.69% 1.26% 15.58% 12.50% 10.88%
7.77% 7.44% 1.24% -4.59% 8.18% 7.18%
11.24% 18.65% 7.36% 7.23% 7.56% 7.53%
-1.82% 2.94% 15.43% 3.31% -0.73% 1.59%
3.42% 3.64% 6.44% 5.13% 0.93% 1.72%
-9.37% -5.00% 0.00% 5.18% -5.73% -4.91%
-3.37% 6.67% 10.23% -2.72% -1.76% -0.04%
3.65% -0.11% 16.03% 20.91% 2.19% 4.18%
9.98% -1.29% -1.09% -0.99% -1.21% -1.19%
3.38% -2.61% 0.37% 0.27% 4.28% 3.71%
3.06% 7.95% 20.88% 3.45% 5.47% 7.69%
3.82% 3.85% 9.58% 7.09% 3.56% 4.43%
-1.35% -6.01% -5.17% 3.88% -2.35% -2.76%
-0.68% 2.17% 3.33% 4.27% 2.04% 2.22%
0.00% 3.70% 3.23% 15.36% 12.70% 11.34%
11.11% 1.47% 5.11% 2.76% 13.25% 12.08%
12.82% 23.97% 30.00% 13.13% 6.17% 9.60%
5.76% 16.67% 10.19% 3.23% 19.19% 17.89%
7.62% 21.62% 8.49% -4.72% -12.93% -9.84%
4.11% 31.95% 9.57% 12.77% 7.56% 7.85%
2.55% -2.03% 0.00% -8.49% -3.17% -2.71%
0.97% -5.66% -9.21% -4.44% -0.13% -1.43%
-6.85% -9.40% -5.59% 5.53% -2.02% -2.53%
-15.59% -12.80% 1.46% 3.56% -0.91% -0.57%
20.14% 0.76% 1.89% 4.63% 6.45% 5.79%
 -7.16% -13.32% 0.00% -5.71% -5.07% -4.34%
7.26% 28.70% 10.56% -9.27% -1.46% 0.27%
-4.21% -10.36% -10.72% -3.00% 3.21% 1.21%
-1.64% -14.62% 3.19% -3.73% 0.13% 0.57%
4.55% 7.42% 9.09% 11.11% 4.91% 5.51%
1.40% -2.47% -1.17% -4.94% 2.50% 1.97%
2.46% 1.12% 1.18% -7.17% 2.80% 2.57%
13.15% 6.67% -0.83% 4.10% 9.13% 7.70%
-1.22% 7.03% 9.92% 13.64% 13.26% 12.78%
3.97% 2.43% 7.03% -1.30% 4.22% 4.63%
-1.33% -4.28% 4.71% 0.42% 11.20% 10.26%
-5.79% -8.19% -5.46% -1.12% -4.39% -4.54%
2.15% -2.84% 3.70% -0.05% -8.53% -6.77%
1.00% 2.92% -3.14% 1.35% 3.31% 2.38%
9.31% 0.00% -0.74% -6.99% 2.33% 1.89%
4.43% 12.43% 4.01% 9.49% 0.57% 1.06%
4.02% -0.72% 5.00% 3.05% 2.83% 3.14%
3.74% -7.99% 9.12% -2.22% -2.94% -1.20%
1.87% 0.00% 3.49% 2.82% 3.21% 3.25%
0.00% 0.00% 14.39% 0.00% 85.61% 100.00% Rend port
min riesgo 26.07%
1.95% 2.19% 2.58% 1.49% 2.69% 2.67% portaf. 2 32.60%
26.08% 29.73% 35.71% 19.39% 37.44% 37.19% portaf. 3 34.92%
6.43% 13.36% 8.62% 7.09% 7.42% 6.90% portaf. 4 36.41%
22.29% 46.28% 29.86% 24.57% 25.69% 23.90% portaf. 5 37.19%
LUSURC1 CVERDEC1 ALICORC1 FALABELLA ECOPETROL max rend 37.44%
26.08% 29.73% 35.71% 19.39% 37.44% 37.19%
22.29% 46.28% 29.86% 24.57% 25.69% 23.90%

RSHARP =

R (f) =
R (f) =
R (f) =
 Ds Rsharp LUSURC1 CVERDEC1 ALICORC1 FALABELLA ECOPETROL
16.72% 1.30 47.27% 0.00% 0.00% 32.42% 20.31%
18.51% 1.76 37.41% 0.00% 17.98% 0.97% 43.64%
20.31% 1.72 17.65% 0.00% 26.11% 0.00% 56.24%
22.10% 1.65 4.13% 0.00% 31.36% 0.00% 64.51%
23.90% 1.56 0.00% 0.00% 14.39% 0.00% 85.61%
25.69% 1.46 0.00% 0.00% 0.00% 0.00% 100.00%

diferncia Ds 8.97%
5
frecuencia 1.79%

Ranualizado - R(f)
Danualizada

bonos del tesoro americano a 10 años + riesgo pais

2.80% + 1.60%
4.40%
PORTAFOLIO RENDIMIENTO PROYECTADO
t=0
Cant. Acc. P de compra T.C. Total de inversion Part. %
LUSURC1 5,000.00 8.41 1.00 42,056.99 8.53%
CVERDEC1 500.00 38.00 2.81 53,390.00 10.83%
ALICORC1 5,000.00 8.20 1.00 40,992.87 8.32%
FALABELLA 10,000.00 4,904.32 0.0056 275,622.74 55.93%
ECOPETROL 10,000.00 5,460.00 0.0015 80,750.53 16.39%
Wo 492,813.13 100%

METODO 1 t=1
Cant. Acc. P proyectado T.C. Retorno El tipo de cambio afecta una carter
LUSURC1 5,000.00 10.61 1.00 53,025.67
CVERDEC1 500.00 49.30 2.85 70,248.89
ALICORC1 5,000.00 11.13 1.00 55,631.14
FALABELLA 10,000.00 5,855.40 0.0061 355,061.63
ECOPETROL 10,000.00 7,504.26 0.0013 97,214.31
W1 631,181.63 28.08% Rend. De una cartera

METODO 2
Part. % Rend. Proyectado Contribucion
LUSURC1 8.53% 26.08% 2.23%
CVERDEC1 10.83% 29.73% 3.22%
ALICORC1 8.32% 35.71% 2.97%
FALABELLA 55.93% 19.39% 10.85%
ECOPETROL 16.39% 37.44% 6.13%
100% 25.40% Rend. De una cartera
tipo de cambio afecta una cartera

end. De una cartera

 LUSURC1 CVERDEC1 ALICORC1 FALABELLA ECOPETROL
Fecha Cierre Cierre Cierre Cierre Cierre
Jan-08 3.02081766 18.43781 2.24934316 2361.1134 1331.17708 LUSURC1
Feb-08 3.20007497 21.201911 2.24934316 2216.90109 1515.95803 5.93%
Mar-08 3.25318825 20.5737062 2.33113746 2221.88036 1576.29467 1.66%
Apr-08 3.12040505 22.2227437 2.4538289 2330.29685 2011.11764 -4.08%
May-08 3.28669687 21.5395711 2.61943277 2440.12256 2173.55407 5.33%
Jun-08 3.21278571 20.5547099 2.36996298 2079.64244 2022.72025 -2.25%
Jul-08 2.90517857 19.484067 2.24522809 2009.46296 2003.21434 -9.57%
Aug-08 2.81631428 18.1845843 1.9957583 1868.35242 2046.25214 -3.06%
Set-08 2.62824567 16.7083486 1.76291983 1815.36551 2007.12686 -6.68%
Oct-08 2.69833222 7.84944291 1.33050553 1660.82034 1574.15949 2.67%
Nov-08 2.80346205 8.26715163 1.28892724 1493.87398 1598.01039 3.90%
Dec-08 2.80437226 8.04959501 1.18913932 1568.18719 1616.00218 0.03%
Jan-09 2.73246528 8.09310633 1.33050553 1670.12123 1644.21169 -2.56%
Feb-09 2.6605583 8.88501243 1.2556646 1697.36628 1696.60079 -2.63%
Mar-09 2.62460481 12.8010316 1.28892724 1694.45388 1724.8103 -1.35%
Apr-09 3.06272981 13.9236238 1.42434381 1795.07265 1769.76194 16.69%
May-09 3.08460646 15.5509473 1.44226009 2074.72645 1990.98218 0.71%
Jun-09 3.32425813 16.7083486 1.46017636 1979.45258 2153.76689 7.77%
Jul-09 3.69777028 19.8237594 1.56767401 2122.64864 2316.5516 11.24%
Aug-09 3.6305381 20.4068111 1.80954371 2192.95282 2299.58583 -1.82%
Set-09 3.75459332 21.1486825 1.9259995 2305.50708 2321.03719 3.42%
Oct-09 3.40283916 20.0912484 1.9259995 2424.91165 2188.03876 -9.37%
Nov-09 3.28813672 21.4306649 2.12307851 2358.88235 2149.42631 -3.37%
Dec-09 3.40804868 21.4065123 2.46348773 2852.00893 2196.43436 3.65%
Jan-10 3.74806282 21.130892 2.43661331 2823.84658 2169.91805 9.98%
Feb-10 3.87457971 20.5796513 2.44557145 2831.45802 2262.72513 3.38%
Mar-10 3.99318929 22.2149986 2.95618527 2929.16996 2386.46791 3.06%
Apr-10 4.14553989 23.0694216 3.23935084 3136.86731 2471.42955 3.82%
May-10 4.08941072 21.6821326 3.07179821 3258.44014 2413.33084 -1.35%
Jun-10 4.06162642 22.1536985 3.17419148 3397.71683 2462.49128 -0.68%
Jul-10 4.06162642 22.9724221 3.27658476 3919.45173 2775.33047 0.00%
Aug-10 4.51291824 23.3095436 3.44413738 4027.48969 3143.13189 11.11%
Set-10 5.09152686 28.8961285 4.4773786 4556.24128 3337.04103 12.82%
Oct-10 5.38462463 33.7121499 4.93349409 4703.49587 3977.39214 5.76%
Nov-10 5.7949615 41 5.35237567 4481.36445 3463.30745 7.62%
Dec-10 6.03291879 54.1 5.86434203 5053.75415 3725.05875 4.11%
Jan-11 6.18695076 53 5.86434203 4624.77426 3606.94713 2.55%
Feb-11 6.24685209 50 5.32445023 4419.27146 3602.40437 0.97%
Mar-11 5.8189855 45.3 5.02657889 4663.79865 3529.7203 -6.85%
Apr-11 4.91188148 39.5 5.09990163 4829.70035 3497.47411 -15.59%
May-11 5.90120037 39.8 5.19612619 5053.23465 3722.96915 20.14%
 Jun-11 5.47849557 34.5 5.19612619 4764.82867 3534.28963 -7.16%
Jul-11 5.87612831 44.4 5.74460618 4323.26784 3482.83158 7.26%
Aug-11 5.62871239 39.8 5.128769 4193.46569 3594.72978 -4.21%
Set-11 5.53652696 33.98 5.29235075 4036.90523 3599.3922 -1.64%
Oct-11 5.78859648 36.5 5.77347354 4485.27727 3776.1194 4.55%
Nov-11 5.86961883 35.6 5.70611635 4263.91303 3870.52239 1.40%
Dec-11 6.01423936 36 5.77347354 3958.38092 3979.08582 2.46%
Jan-12 6.80510264 38.4 5.72536126 4120.5735 4342.53731 13.15%
Feb-12 6.72233788 41.1 6.29308616 4682.71044 4918.39552 -1.22%
Mar-12 6.98902433 42.1 6.73571913 4621.85147 5126.08209 3.97%
Apr-12 6.8962086 40.3 7.05274949 4641.45178 5700 -1.33%
May-12 6.49710097 37 6.66751527 4589.49527 5450 -5.79%
Jun-12 6.63649669 35.95 6.91446029 4587.02435 4985 2.15%
Jul-12 6.70267258 37 6.69714868 4648.8963 5150 1.00%
Aug-12 7.32661672 37 6.64775967 4323.82146 5270 9.31%
Set-12 7.65104771 41.6 6.91446029 4733.99494 5300 4.43%
Oct-12 7.95862752 41.3 7.2601833 4878.1981 5450 4.02%
Nov-12 8.25659546 38 7.92199593 4769.66282 5290 3.74%
Dec-12 8.41139832 38 8.19857434 4904.31928 5460 1.87%
Rend. Prom. 1.95%
Rend. Anuali 26.08%
desv. Est. Me 6.43%
desv. Est. An 22.29%
LUSURC1
Rend. Anuali 26.08%
desv. Est. An 22.29%
CVERDEC1 ALICORC1 FALABELLA ECOPETROL
14.99% 0.00% -6.11% 13.88%
-2.96% 3.64% 0.22% 3.98%
8.02% 5.26% 4.88% 27.59%
-3.07% 6.75% 4.71% 8.08%
-4.57% -9.52% -14.77% -6.94%
-5.21% -5.26% -3.37% -0.96%
-6.67% -11.11% -7.02% 2.15%
-8.12% -11.67% -2.84% -1.91%
-53.02% -24.53% -8.51% -21.57%
5.32% -3.12% -10.05% 1.52%
-2.63% -7.74% 4.97% 1.13%
0.54% 11.89% 6.50% 1.75%
9.78% -5.63% 1.63% 3.19%
44.07% 2.65% -0.17% 1.66%
8.77% 10.51% 5.94% 2.61%
11.69% 1.26% 15.58% 12.50%
7.44% 1.24% -4.59% 8.18%
18.65% 7.36% 7.23% 7.56%
2.94% 15.43% 3.31% -0.73%
3.64% 6.44% 5.13% 0.93%
-5.00% 0.00% 5.18% -5.73%
6.67% 10.23% -2.72% -1.76%
-0.11% 16.03% 20.91% 2.19%
-1.29% -1.09% -0.99% -1.21%
-2.61% 0.37% 0.27% 4.28%
7.95% 20.88% 3.45% 5.47%
3.85% 9.58% 7.09% 3.56%
-6.01% -5.17% 3.88% -2.35%
2.17% 3.33% 4.27% 2.04%
3.70% 3.23% 15.36% 12.70%
1.47% 5.11% 2.76% 13.25%
23.97% 30.00% 13.13% 6.17%
16.67% 10.19% 3.23% 19.19%
21.62% 8.49% -4.72% -12.93%
31.95% 9.57% 12.77% 7.56%
-2.03% 0.00% -8.49% -3.17%
-5.66% -9.21% -4.44% -0.13%
-9.40% -5.59% 5.53% -2.02%
-12.80% 1.46% 3.56% -0.91%
0.76% 1.89% 4.63% 6.45%
 -13.32% 0.00% -5.71% -5.07%
28.70% 10.56% -9.27% -1.46%
-10.36% -10.72% -3.00% 3.21%
-14.62% 3.19% -3.73% 0.13%
7.42% 9.09% 11.11% 4.91%
-2.47% -1.17% -4.94% 2.50%
1.12% 1.18% -7.17% 2.80%
6.67% -0.83% 4.10% 9.13%
7.03% 9.92% 13.64% 13.26%
2.43% 7.03% -1.30% 4.22%
-4.28% 4.71% 0.42% 11.20%
-8.19% -5.46% -1.12% -4.39%
-2.84% 3.70% -0.05% -8.53%
2.92% -3.14% 1.35% 3.31%
0.00% -0.74% -6.99% 2.33%
12.43% 4.01% 9.49% 0.57%
-0.72% 5.00% 3.05% 2.83%
-7.99% 9.12% -2.22% -2.94%
0.00% 3.49% 2.82% 3.21%
2.19% 2.58% 1.49% 2.69%
29.73% 35.71% 19.39% 37.44%
13.36% 8.62% 7.09% 7.42%
46.28% 29.86% 24.57% 25.69%
CVERDEC1 ALICORC1 FALABELLA ECOPETROL
29.73% 35.71% 19.39% 37.44%
46.28% 29.86% 24.57% 25.69%