Escenario Base

Florencia de Abaroa, Castor Sanchez Vallecillo, Francisco Muñoz, Javier Rodríguez

Universidad de San Andrés – Maestría en Finanzas 2020 Intensiva – Caso N°2

 Supuestos Escenario Base
Treasury Notes/Bills Rates

Fuente: Congressional Budget Office cbo.gov/publication/56368

Para el cálculo de rendimientos esperados, hacemos los siguientes supuestos:

 Aumento de la tasa Risk Free en 20bps
 Disminución de Spread sobre Risk Free en 10bps
 Asset Classes e Índices
Equity Asset Classes & Index

Rango de Inversión
Rendimientos
Nivel 1 Nivel 2 Nivel 3 Nivel 4 Index Stdev
Mínimo Máximo Esperados

Value 0% 30% MSCI Europe Value Index 1.7% 20.0%

Europa MSCI Europe Growth
Growth 0% 20% 6.0% 16.9%
Index
Value 5% 50% MSCI USA Value Index 10.4% 16.2%
Estados Unidos
Equity Growth 0% 40% MSCI USA Growth Index 10.0% 16.5%

MSCI Emerging Markets

Value 0% 20% -10.6% 18.2%
Mercados Value Index
Emergentes MSCI Emerging Markets
Growth 0% 15% -5.6% 25.3%
Growth Index
 Asset Classes e Índices
Fixed Income Asset Classes & Index

Rango de Inversión
Rendimientos
Nivel 1 Nivel 2 Nivel 3 Nivel 4 Index Stdev
Mínimo Máximo Esperados

Global Developed Sovereign Bond

Developed Markets 10% 50%
Index
-0.41% 1.8%
Sovereign Bonds
ICE BofA Investment Grade Emerging
Investment
Emerging Markets 0% 25%
Markets Index
2.19% 6.2%
Grade
Markit iBoxx USD Liquid FRN
Developed Markets 5% 35%
Investment Grade Corporates
1.46% 3.1%
Corporate Bonds
Fixed ICE BofA AAA US Emerging Markets
Emerging Markets 0% 20% Liquid Corporate Plus Index 1.70% 19.1%
Income
Developed Markets 0% 30% S&P Municipal Bond High Yield Index 4.59% 4.8%
Sovereign Bonds
Emerging Markets 0% 20% S&P Africa Sovereign Bonds Index 8.70% 4.2%
High Yield
Developed Markets 0% 25% ICE BofA B US High Yield Index 5.66% 33.9%
Corporate Bonds ICE BofA High Yield Emerging Markets
Emerging Markets 0% 15%
Corporate Plus Index
7.26% 36.8%
 Escenario Base
Ponderaciones y Rendimiento Esperado

Nivel 1 Nivel 2 Nivel 3 Nivel 4 Ponderación

Value 0.00%
Europa
Growth 0.00%
Value 50.00%
Equity Estados Unidos
Growth 5.74%
Value 0.00%
Mercados
Emergentes Growth 0.00%

Developed Markets 10.00%

Sovereign Bonds
Emerging Markets 0.00%

Investment Grade
Developed Markets 5.00%
Corporate Bonds
Fixed Income
Emerging Markets 0.00%

Developed Markets 7.97%

Sovereign Bonds
Emerging Markets 20.00%
High Yield Developed Markets 0.00%
Corporate Bonds
Emerging Markets 1.29%