Date

15/08/2016
12/08/2016
11/08/2016
10/08/2016
09/08/2016
08/08/2016
05/08/2016
04/08/2016
03/08/2016
02/08/2016
01/08/2016
29/07/2016
28/07/2016
27/07/2016
26/07/2016
25/07/2016
22/07/2016
21/07/2016
20/07/2016
19/07/2016
18/07/2016
15/07/2016
14/07/2016
13/07/2016
12/07/2016
11/07/2016
08/07/2016
07/07/2016
06/07/2016
05/07/2016
04/07/2016
01/07/2016
30/06/2016
29/06/2016
28/06/2016
27/06/2016
24/06/2016
23/06/2016
22/06/2016

Arca
Alfa
120.33
123.5
123.08
122.26
123.05
124.44
123.64
118.03
119.4
119.09
120.77
120.61
120.6
122.53
122.59
124.81
128.89
127.89
128.11
126.88
124.12
128.37
130.32001
130.71001
131.67999
130.09
127.75
127.9
130.08
131.3
133.89
132.61
131.05
129.42
128.47
127.29
126.71
129.13
128.91

Alpeka
Alsea
31.6
34.39
31.4
33.9
31.59
33.99
31.58
34.32
31.8
34.73
31.43
35.08
31.37
34.75
30.68
34.92
30.58
35.1
30.2
34.1
30.36
33.4
30.69
33.24
30.77
33.01
30.64
33.96
30.65
34.1
30.9
33.67
31.39
32.98
31.42
32.4
31.79
32.29
31.5
31.83
31.81
31.49
31.89
31.11
31.76
30.54
31.48
30.93
31.35
32.38
30.45
32.13
30.3
31.24
30.01
31.02
29.85
30.89
30.2
30.05
30.74
30.13
31.12
30.36
31.48
30.01
30.69
29.91
30.29
29.28
29.7
28.42
30.91
28.73
31.9
28.82
31.09
28.78

AMX
66.56
66.53
66.64
66.87
67.43
66.88
67.97
67.7
67.3
66.65
66.83
66.87
67.21
67.68
67.91
68.6
69.53
69.21
68.51
68.12
68.56
68.85
69.84
69.15
69.79
70.03
69.87
69.18
68.98
67.95
69.03
69.66
69.52
70.04
68.78
68.35
69.31
72.01
71.16

10.91
10.86063
11.08772
10.98899
10.95937
10.72241
10.66317
10.63355
10.68291
10.79152
10.79152
10.64342
10.91
11.2062
11.38392
11.43329
11.45303
11.70974
11.72948
11.5024
11.48265
11.23582
11.28519
11.04823
11.08772
11.04823
11.03847
10.93121
11.02872
11.18475
11.04823
11.12624
10.94096
11.03847
10.72643
10.67768
10.74594
11.00922
11.03847

_(=) (
_1^2&&_1
_21&_2^2
_1&&_^

21/06/2016
20/06/2016
17/06/2016
16/06/2016
15/06/2016
14/06/2016
13/06/2016
10/06/2016
09/06/2016
08/06/2016
07/06/2016
06/06/2016
03/06/2016
02/06/2016
01/06/2016
31/05/2016
30/05/2016
27/05/2016
26/05/2016
25/05/2016
24/05/2016
23/05/2016
20/05/2016
19/05/2016
18/05/2016
17/05/2016
16/05/2016
13/05/2016
12/05/2016
11/05/2016
10/05/2016
09/05/2016
06/05/2016
05/05/2016
04/05/2016
03/05/2016
02/05/2016
29/04/2016
28/04/2016
27/04/2016
26/04/2016
25/04/2016

127.9
127.96
126.07
125.88
124.77
124.53
124.5
122.37
122.99
123.85
123.9
123.5
123.13
121.38
121.67
122.67
124.74
126.64
126.61
123.81
123.14
121.66
121.79
120.81
123.58
123.61
123.35
120.81
119.2
120.2
121.02
120.21
120.36
121
123.21
121.7
119.58
118.76
118.28
118.97
116.11
117.96

31.5
31.39
31.15
31.57
31.72
30.98
31.84
31.65
32.1
32.22
32.3
32.3
32.61
32.45
32.54
32.36
32.77
32.82
33.13
32.91
32.7
33.34
33.26
32.3
33.02
32.27
32.47
32.32
32.58
32.35
32.04
32.15
32.16
32.25
32.17
32.31
32.91
32.34
32.77
32.88
32.59
32.03

28.65
28.47
28.05
27.58
27.53
27.44
27.33
27.15
27.51
27.48
27.42
27.09
27.12
27.36
27.77
27.69
27.53
27.86
27.76
27.89
27.68
27.38
27.24
27.82
28.44
28.23
28.26
28.14
28.43
28.52
28.97
28.74
28.36
28.59
28.67
28.57
28.81
28.73
29.26
29.35
28.96
28.68

71.56
70.08
69.1
69.03
69.55
70.22
70.18
70.78
71.74
72.68
71.17
70.69
70.36
70.43
69.66
70.1
70.47
70.59
70.99
70.33
70.76
71.22
70.95
70.77
70.55
70.9
70.44
70.24
70.65
69.99
70.82
69.87
68.13908
67.21921
66.1411
66.5763
65.40916
65.17178
66.24001
66.30924
66.54663
65.96306

11.00922
11.09698
10.96046
10.96046
10.96046
10.67768
10.76544
11.02872
11.214
11.47728
11.214
11.01897
11.06773
11.00922
11.00922
11.00922
11.22375
11.214
11.24325
11.13599
11.27251
11.214
11.2335
11.253
11.41878
11.49679
11.42853
11.37002
11.39927
11.30176
11.52604
11.33101
11.22375
11.30176
11.44803
11.83808
11.63331
11.85758
11.80883
13.30078
13.26177
13.33978

22/04/2016
21/04/2016
20/04/2016
19/04/2016
18/04/2016
15/04/2016
14/04/2016
13/04/2016
12/04/2016
11/04/2016
08/04/2016
07/04/2016
06/04/2016
05/04/2016
04/04/2016
01/04/2016
31/03/2016
30/03/2016
29/03/2016
28/03/2016
25/03/2016
24/03/2016
23/03/2016
22/03/2016
21/03/2016
18/03/2016
17/03/2016
16/03/2016
15/03/2016
14/03/2016
11/03/2016
10/03/2016
09/03/2016
08/03/2016
07/03/2016
04/03/2016
03/03/2016
02/03/2016
01/03/2016
29/02/2016
26/02/2016
25/02/2016

117.95
117.39
116.32
115.59159
110.81752
115.07973
115.19785
115.38488
114.94192
114.3021
115.15847
115.33566
115.77861
115.03051
116.26094
117.77683
117.56028
117.71777
117.33387
116.10344
117.69808
117.69808
117.69808
118.09182
116.01486
116.01486
112.88464
111.27031
110.23675
112.422
109.87255
109.74458
111.25062
112.85511
109.78395
110.42378
110.96517
112.78621
111.03407
108.85867
110.49268
108.24838

31.92
31.97
32.98
32.98
32.34
32.47
32.46
32.02
32.04
31.88
32.44
32.06
31.83
32.55
32.97
33.56
34.69
34.85
34.6
34.63
34.5
34.5
34.5
33.8
33.82
33.82
33.99
33.46
32.59
32.51
32.39
32.48
32.3
32.44
32.74
32.37
32.75
32.81
32.727
32.797
32.637
33.056

28.79
28.59
28.08
28.24
27.68
28.27
29
28.77
28.3
27.43
27.53
27.08
27.54
27.51
27.26
27.26
27.25
27.22
27.14
26.86
26.66
26.66
26.66
26.51
26.92
26.92
26.43
26.55
26.83
26.85
26.35
26.55
26.31
26.36
27.07
26.84
26.24
26.25
26.45
27
26.46
26.18

66.32902
66.82357
66.85324
67.26867
66.66532
66.35869
66.75434
66.31914
65.60698
66.25979
65.18167
65.67622
65.67622
64.50908
64.24202
64.35082
64.13322
65.44872
65.66633
64.54865
64.65745
64.65745
64.65745
64.00464
65.50808
65.50808
65.36959
64.58821
63.77715
63.07489
63.15401
62.88696
63.79693
63.58922
65.54763
67.27856
65.71579
66.22022
67.28845
67.4566
64.91461
64.28159

13.28127
13.32028
13.21302
13.27152
12.77421
13.19351
13.32028
13.38854
13.27152
12.99849
13.18376
13.02774
13.13501
13.21302
13.34953
13.31053
13.096
13.096
13.0765
13.19351
13.08625
13.08625
13.08625
12.83271
12.68645
12.68645
12.93998
12.81321
12.63769
12.98874
13.12525
12.70595
12.62794
13.02774
12.94973
12.78396
12.7157
12.57918
12.25739
12.03311
11.92584
11.88684

24/02/2016
23/02/2016
22/02/2016
19/02/2016
18/02/2016
17/02/2016
16/02/2016
15/02/2016
12/02/2016
11/02/2016
10/02/2016
09/02/2016
08/02/2016
05/02/2016
04/02/2016
03/02/2016
02/02/2016
01/02/2016
29/01/2016
28/01/2016
27/01/2016
26/01/2016
25/01/2016
22/01/2016
21/01/2016
20/01/2016
19/01/2016
18/01/2016
15/01/2016
14/01/2016
13/01/2016
12/01/2016
11/01/2016
08/01/2016
07/01/2016
06/01/2016
05/01/2016
04/01/2016
01/01/2016

106.46672
105.60049
107.01795
107.27388
106.06313
105.16737
105.39378
106.19109
105.13784
105.5808
106.78171
105.42331
104.16335
104.38975
106.64389
106.79154
106.50608
106.7128
106.7128
108.17947
106.49624
103.28728
102.73605
102.45059
102.60808
102.09622
100.40315
100.52127
100.3933
101.42687
100.34409
101.46624
100.78704
99.48771
99.5763
100.89532
99.53693
100.49174
103.04119

32.487
32.647
32.617
32.297
32.897
33.186
32.217
32.387
31.728
32.157
32.547
32.357
31.278
31.498
32.307
31.998
31.988
33.686
33.686
32.087
31.448
31.638
31.268
31.019
36.963
31.148
30.869
30.289
30.449
30.559
30.859
31.288
31.328
30.779
31.428
33.616
33.956
33.706
34.065

26.12
25.11
25.36
25.54
25.22
24.41
24.16
24.33
24.35
24.05
24.25
24.22
23.58
23.95
24.07
23.94
23.04
23.26
23.26
22.82
22.64
22.72
22.96
23.32
22.96
21.95
22.68
22.38
22.36
22.27
22.24
21.73
22.34
22.71
22.22
22.48
23.47
23.81
24.14

64.58821
64.52886
64.14311
62.42208
63.32216
63.59911
62.56055
63.13423
62.12535
64.13322
64.35082
63.69802
63.64856
62.88696
61.43298
62.34295
62.59023
63.5002
63.5002
61.89786
60.58236
62.13524
62.11546
61.45276
60.84941
58.34699
58.75252
59.12838
58.85143
58.85143
58.64372
58.83165
57.18974
56.12152
56.30945
58.54481
58.76241
58.28764
59.19761

11.71132
11.70156
11.76982
11.63331
11.92584
12.11112
12.03311
12.12087
11.75032
11.52604
11.55529
12.24764
12.58893
12.6962
12.86197
12.56943
12.3744
12.47192
12.47192
12.13062
12.05261
11.77957
11.48703
11.67231
11.34077
11.10673
11.03847
10.97997
11.08723
11.42853
11.14574
10.97022
10.88245
10.64842
11.05798
11.44803
11.67231
11.73082
11.81858

Arca
Alfa
-2.6%
0.3%
0.7%
-0.6%
-1.1%
0.6%
4.6%
-1.2%
0.3%
-1.4%
0.1%
0.0%
-1.6%
0.0%
-1.8%
-3.2%
0.8%
-0.2%
1.0%
2.2%
-3.4%
-1.5%
-0.3%
-0.7%
1.2%
1.8%
-0.1%
-1.7%
-0.9%
-2.0%
1.0%
1.2%
1.3%
0.7%
0.9%
0.5%
-1.9%
0.2%
0.8%

Alpeka
0.6%
-0.6%
0.0%
-0.7%
1.2%
0.2%
2.2%
0.3%
1.3%
-0.5%
-1.1%
-0.3%
0.4%
0.0%
-0.8%
-1.6%
-0.1%
-1.2%
0.9%
-1.0%
-0.3%
0.4%
0.9%
0.4%
2.9%
0.5%
1.0%
0.5%
-1.2%
-1.8%
-1.2%
-1.2%
2.5%
1.3%
2.0%
-4.0%
-3.2%
2.6%
-1.3%

1.4%
-0.3%
-1.0%
-1.2%
-1.0%
0.9%
-0.5%
-0.5%
2.9%
2.1%
0.5%
0.7%
-2.8%
-0.4%
1.3%
2.1%
1.8%
0.3%
1.4%
1.1%
1.2%
1.8%
-1.3%
-4.6%
0.8%
2.8%
0.7%
0.4%
2.8%
-0.3%
-0.8%
1.2%
0.3%
2.1%
3.0%
-1.1%
-0.3%
0.1%
0.5%

=) ([8(_1^2
^2&&_1 _ _1@_2 _1
1&_2^2 _2^2&@_ _1
1&&_^ _^ )] )

Alsea

AMX
0.0%
-0.2%
-0.3%
-0.8%
0.8%
-1.6%
0.4%
0.6%
1.0%
-0.3%
-0.1%
-0.5%
-0.7%
-0.3%
-1.0%
-1.3%
0.5%
1.0%
0.6%
-0.6%
-0.4%
-1.4%
1.0%
-0.9%
-0.3%
0.2%
1.0%
0.3%
1.5%
-1.6%
-0.9%
0.2%
-0.7%
1.8%
0.6%
-1.4%
-3.8%
1.2%
-0.6%

0.5%
-2.1%
0.9%
0.3%
2.2%
0.6%
0.3%
-0.5%
-1.0%
0.0%
1.4%
-2.5%
-2.7%
-1.6%
-0.4%
-0.2%
-2.2%
-0.2%
2.0%
0.2%
2.2%
-0.4%
2.1%
-0.4%
0.4%
0.1%
1.0%
-0.9%
-1.4%
1.2%
-0.7%
1.7%
-0.9%
2.9%
0.5%
-0.6%
-2.4%
-0.3%
0.3%

0.0%
1.5%
0.2%
0.9%
0.2%
0.0%
1.7%
-0.5%
-0.7%
0.0%
0.3%
0.3%
1.4%
-0.2%
-0.8%
-1.7%
-1.5%
0.0%
2.2%
0.5%
1.2%
-0.1%
0.8%
-2.3%
0.0%
0.2%
2.1%
1.3%
-0.8%
-0.7%
0.7%
-0.1%
-0.5%
-1.8%
1.2%
1.8%
0.7%
0.4%
-0.6%
2.4%
-1.6%
0.0%

0.3%
0.8%
-1.3%
-0.5%
2.4%
-2.7%
0.6%
-1.4%
-0.4%
-0.2%
0.0%
-1.0%
0.5%
-0.3%
0.6%
-1.3%
-0.2%
-0.9%
0.7%
0.6%
-1.9%
0.2%
2.9%
-2.2%
2.3%
-0.6%
0.5%
-0.8%
0.7%
1.0%
-0.3%
0.0%
-0.3%
0.2%
-0.4%
-1.8%
1.7%
-1.3%
-0.3%
0.9%
1.7%
0.3%

0.6%
1.5%
1.7%
0.2%
0.3%
0.4%
0.7%
-1.3%
0.1%
0.2%
1.2%
-0.1%
-0.9%
-1.5%
0.3%
0.6%
-1.2%
0.4%
-0.5%
0.8%
1.1%
0.5%
-2.1%
-2.2%
0.7%
-0.1%
0.4%
-1.0%
-0.3%
-1.6%
0.8%
1.3%
-0.8%
-0.3%
0.3%
-0.8%
0.3%
-1.8%
-0.3%
1.3%
1.0%
-0.4%

2.1%
1.4%
0.1%
-0.8%
-1.0%
0.1%
-0.9%
-1.3%
-1.3%
2.1%
0.7%
0.5%
-0.1%
1.1%
-0.6%
-0.5%
-0.2%
-0.6%
0.9%
-0.6%
-0.6%
0.4%
0.3%
0.3%
-0.5%
0.7%
0.3%
-0.6%
0.9%
-1.2%
1.4%
2.5%
1.4%
1.6%
-0.7%
1.8%
0.4%
-1.6%
-0.1%
-0.4%
0.9%
-0.6%

-0.8%
1.2%
0.0%
0.0%
2.6%
-0.8%
-2.4%
-1.7%
-2.3%
2.3%
1.8%
-0.4%
0.5%
0.0%
0.0%
-1.9%
0.1%
-0.3%
1.0%
-1.2%
0.5%
-0.2%
-0.2%
-1.5%
-0.7%
0.6%
0.5%
-0.3%
0.9%
-2.0%
1.7%
1.0%
-0.7%
-1.3%
-3.4%
1.7%
-1.9%
0.4%
-11.9%
0.3%
-0.6%
0.4%

0.5%
0.9%
0.6%
4.2%
-3.8%
-0.1%
-0.2%
0.4%
0.6%
-0.7%
-0.2%
-0.4%
0.6%
-1.1%
-1.3%
0.2%
-0.1%
0.3%
1.1%
-1.4%
0.0%
0.0%
-0.3%
1.8%
0.0%
2.7%
1.4%
0.9%
-2.0%
2.3%
0.1%
-1.4%
-1.4%
2.8%
-0.6%
-0.5%
-1.6%
1.6%
2.0%
-1.5%
2.1%
1.7%

-0.2%
-3.1%
0.0%
2.0%
-0.4%
0.0%
1.4%
-0.1%
0.5%
-1.7%
1.2%
0.7%
-2.2%
-1.3%
-1.8%
-3.3%
-0.5%
0.7%
-0.1%
0.4%
0.0%
0.0%
2.0%
-0.1%
0.0%
-0.5%
1.6%
2.6%
0.2%
0.4%
-0.3%
0.6%
-0.4%
-0.9%
1.1%
-1.2%
-0.2%
0.3%
-0.2%
0.5%
-1.3%
1.7%

0.7%
1.8%
-0.6%
2.0%
-2.1%
-2.5%
0.8%
1.6%
3.1%
-0.4%
1.6%
-1.7%
0.1%
0.9%
0.0%
0.0%
0.1%
0.3%
1.0%
0.7%
0.0%
0.0%
0.6%
-1.5%
0.0%
1.8%
-0.5%
-1.0%
-0.1%
1.9%
-0.8%
0.9%
-0.2%
-2.7%
0.9%
2.3%
0.0%
-0.8%
-2.1%
2.0%
1.1%
0.2%

-0.7%
0.0%
-0.6%
0.9%
0.5%
-0.6%
0.7%
1.1%
-1.0%
1.6%
-0.8%
0.0%
1.8%
0.4%
-0.2%
0.3%
-2.0%
-0.3%
1.7%
-0.2%
0.0%
0.0%
1.0%
-2.3%
0.0%
0.2%
1.2%
1.3%
1.1%
-0.1%
0.4%
-1.4%
0.3%
-3.0%
-2.6%
2.4%
-0.8%
-1.6%
-0.2%
3.8%
1.0%
-0.5%

-0.3%
0.8%
-0.4%
3.8%
-3.2%
-1.0%
-0.5%
0.9%
2.1%
-1.4%
1.2%
-0.8%
-0.6%
-1.0%
0.3%
1.6%
0.0%
0.1%
-0.9%
0.8%
0.0%
0.0%
2.0%
1.1%
0.0%
-2.0%
1.0%
1.4%
-2.7%
-1.0%
3.2%
0.6%
-3.1%
0.6%
1.3%
0.5%
1.1%
2.6%
1.8%
0.9%
0.3%
1.5%

0.8%
-1.3%
-0.2%
1.1%
0.8%
-0.2%
-0.8%
1.0%
-0.4%
-1.1%
1.3%
1.2%
-0.2%
-2.1%
-0.1%
0.3%
-0.2%
0.0%
-1.4%
1.6%
3.1%
0.5%
0.3%
-0.2%
0.5%
1.7%
-0.1%
0.1%
-1.0%
1.1%
-1.1%
0.7%
1.3%
-0.1%
-1.3%
1.4%
-1.0%
-2.5%

-0.5%
0.1%
1.0%
-1.8%
-0.9%
3.0%
-0.5%
2.1%
-1.3%
-1.2%
0.6%
3.4%
-0.7%
-2.5%
1.0%
0.0%
-5.2%
0.0%
4.9%
2.0%
-0.6%
1.2%
0.8%
-17.5%
17.1%
0.9%
1.9%
-0.5%
-0.4%
-1.0%
-1.4%
-0.1%
1.8%
-2.1%
-6.7%
-1.0%
0.7%
-1.1%

3.9%
-1.0%
-0.7%
1.3%
3.3%
1.0%
-0.7%
-0.1%
1.2%
-0.8%
0.1%
2.7%
-1.6%
-0.5%
0.5%
3.8%
-1.0%
0.0%
1.9%
0.8%
-0.4%
-1.1%
-1.6%
1.6%
4.5%
-3.3%
1.3%
0.1%
0.4%
0.1%
2.3%
-2.8%
-1.6%
2.2%
-1.2%
-4.3%
-1.4%
-1.4%

0.1%
0.6%
2.7%
-1.4%
-0.4%
1.6%
-0.9%
1.6%
-3.2%
-0.3%
1.0%
0.1%
1.2%
2.3%
-1.5%
-0.4%
-1.4%
0.0%
2.6%
2.1%
-2.5%
0.0%
1.1%
1.0%
4.2%
-0.7%
-0.6%
0.5%
0.0%
0.4%
-0.3%
2.8%
1.9%
-0.3%
-3.9%
-0.4%
0.8%
-1.5%

0.1%
-0.6%
1.2%
-2.5%
-1.5%
0.6%
-0.7%
3.1%
1.9%
-0.3%
-5.8%
-2.7%
-0.8%
-1.3%
2.3%
1.6%
-0.8%
0.0%
2.8%
0.6%
2.3%
2.5%
-1.6%
2.9%
2.1%
0.6%
0.5%
-1.0%
-3.0%
2.5%
1.6%
0.8%
2.2%
-3.8%
-3.5%
-1.9%
-0.5%
-0.7%

Matriz de Varianza Covarianza mocha

Arca
Alfa
Alpeka
Alsea
AMX

Arca
0.00018
4.71485E-005
1.23691E-005
4.37572E-006
5.12792E-005

Matriz de Varianza Covarianza completa

Arca
Alfa
Alpeka
Alsea
AMX

Arca
0.00018
4.71485E-005
1.23691E-005
4.37572E-006
5.12792E-005

Matriz de ponderaciones

20%
Arca

20% Arca
20% Alfa
20% Alpeka
20% Alsea
20% AMX

4%
4%
4%
4%
4%

Matriz ponderada de varianza covarianza

Arca
Arca
Alfa
Alpeka
Alsea
AMX

Varianza del portafolio

Desviacin estandar del portafolio

0%
0%
0%
0%
0%

0.00949%
0.009740349

Alfa

Alpeka

Alsea

AMX

0.0006
5.4992E-005
0.00022
9.5741E-005 3.4049E-005
0.00017
5.7338E-005 3.5336E-005 3.6738E-005 0.00034312

Alfa
4.7148E-005
0.0006
5.4992E-005
9.5741E-005
5.7338E-005

Alpeka
1.2369E-005
5.4992E-005
0.00022
3.4049E-005
3.5336E-005

Alsea
4.3757E-006
9.5741E-005
3.4049E-005
0.00017
3.6738E-005

AMX
5.1279E-005
5.7338E-005
3.5336E-005
3.6738E-005
0.00034312

20%
4%
4%
4%
4%
4%

20%
Alpeka
4%
4%
4%
4%
4%

20%
Alsea
4%
4%
4%
4%
4%

20%
AMX
4%
4%
4%
4%
4%

Alsea

AMX

0%
0%
0%
0%
0%

Alpeka
0%
0%
0%
0%
0%

Alfa

Alfa

0%
0%
0%
0%
0%

0%
0%
0%
0%
0%

% del VaR
88%
Date
8/15/2016
8/12/2016
8/11/2016
8/10/2016
8/9/2016
8/8/2016
8/5/2016
8/4/2016
8/3/2016
8/2/2016
8/1/2016
7/29/2016
7/28/2016
7/27/2016
7/26/2016
7/25/2016
7/22/2016
7/21/2016
7/20/2016
7/19/2016
7/18/2016
7/15/2016
7/14/2016
7/13/2016
7/12/2016
7/11/2016
7/8/2016
7/7/2016
7/6/2016
7/5/2016
7/4/2016
7/1/2016
6/30/2016
6/29/2016
6/28/2016
6/27/2016
6/24/2016
6/23/2016
6/22/2016

6/21/2016
6/20/2016
6/17/2016
6/16/2016
6/15/2016
6/14/2016
6/13/2016
6/10/2016
6/9/2016
6/8/2016
6/7/2016
6/6/2016
6/3/2016
6/2/2016
6/1/2016
5/31/2016
5/30/2016
5/27/2016
5/26/2016
5/25/2016
5/24/2016
5/23/2016
5/20/2016
5/19/2016
5/18/2016
5/17/2016
5/16/2016
5/13/2016
5/12/2016
5/11/2016
5/10/2016
5/9/2016
5/6/2016
5/5/2016
5/4/2016
5/3/2016
5/2/2016
4/29/2016
4/28/2016
4/27/2016
4/26/2016
4/25/2016

4/22/2016
4/21/2016
4/20/2016
4/19/2016
4/18/2016
4/15/2016
4/14/2016
4/13/2016
4/12/2016
4/11/2016
4/8/2016
4/7/2016
4/6/2016
4/5/2016
4/4/2016
4/1/2016
3/31/2016
3/30/2016
3/29/2016
3/28/2016
3/25/2016
3/24/2016
3/23/2016
3/22/2016
3/21/2016
3/18/2016
3/17/2016
3/16/2016
3/15/2016
3/14/2016
3/11/2016
3/10/2016
3/9/2016
3/8/2016
3/7/2016
3/4/2016
3/3/2016
3/2/2016
3/1/2016
2/29/2016
2/26/2016
2/25/2016

2/24/2016
2/23/2016
2/22/2016
2/19/2016
2/18/2016
2/17/2016
2/16/2016
2/15/2016
2/12/2016
2/11/2016
2/10/2016
2/9/2016
2/8/2016
2/5/2016
2/4/2016
2/3/2016
2/2/2016
2/1/2016
1/29/2016
1/28/2016
1/27/2016
1/26/2016
1/25/2016
1/22/2016
1/21/2016
1/20/2016
1/19/2016
1/18/2016
1/15/2016
1/14/2016
1/13/2016
1/12/2016
1/11/2016
1/8/2016
1/7/2016
1/6/2016

# de desviaciones
88
1.1749867921
Desviacin acumulada Limite inferior
Limite Superior
0.00667924
0.785%
-0.785%
0.00659002
0.774%
-0.774%
0.00668101
0.785%del VaR-0.785%
Back testing
0.00709157
0.833%
-0.833%
0.00737370
0.866%
-0.866%
0.00774350
0.910%
-0.910%
0.00725848
0.853%
-0.853%
0.00726293
0.853%
-0.853%
0.00700027
0.823%
-0.823%
0.00723665
0.850%
-0.850%
0.00728131
0.856%
-0.856%
0.00737989
0.867%
-0.867%
0.00669188
0.786%
-0.786%
0.00754297
0.886%
-0.886%
0.00780231
0.917%
-0.917%
0.00820618
0.964%
-0.964%
0.00992358
1.166%
-1.166%
0.01001521
1.177%
-1.177%
0.00974838
1.145%
-1.145%
0.00976138
1.147%
-1.147%
0.01007544
1.184%
-1.184%
0.01003677
1.179%
-1.179%
0.01002205
1.178%
-1.178%
0.00961130
1.129%
-1.129%
0.00964499
1.133%
-1.133%
0.00942979
1.108%
-1.108%
0.00978724
1.150%
-1.150%
0.00998624
1.173% Rendimiento
-1.173%
Limite inferior
Limite Superior
del portafolio
0.01016287
1.194%
-1.194%
0.01007052
1.183%
-1.183%
0.00998254
1.173%
-1.173%
0.00992996
1.167%
-1.167%
0.00991060
1.164%
-1.164%
0.00912772
1.072%
-1.072%
0.00875629
1.029%
-1.029%
0.00838749
0.986%
-0.986%
0.00667907
0.785%
-0.785%
0.00674145
0.792%
-0.792%
0.00673821
0.792%
-0.792%

0.00666865
0.00601479
0.00606587
0.00691481
0.00660797
0.00654555
0.00680961
0.00627133
0.00594565
0.00595389
0.00598523
0.00633966
0.00631887
0.00634034
0.00645120
0.00619873
0.00604519
0.00629291
0.00833014
0.00863506
0.00866840
0.00865136
0.00859921
0.00791723
0.00787566
0.00973875
0.01042558
0.01055665
0.01058842
0.01057376
0.01066888
0.01052090
0.01061564
0.01063753
0.01056230
0.01053168
0.01057816
0.01045881
0.00869526
0.00848085
0.00854651
0.00854571

0.784%
0.707%
0.713%
0.812%
0.776%
0.769%
0.800%
0.737%
0.699%
0.700%
0.703%
0.745%
0.742%
0.745%
0.758%
0.728%
0.710%
0.739%
0.979%
1.015%
1.019%
1.017%
1.010%
0.930%
0.925%
1.144%
1.225%
1.240%
1.244%
1.242%
1.254%
1.236%
1.247%
1.250%
1.241%
1.237%
1.243%
1.229%
1.022%
0.996%
1.004%
1.004%

-0.784%
-0.707%
-0.713%
-0.812%
-0.776%
-0.769%
-0.800%
-0.737%
-0.699%
-0.700%
-0.703%
-0.745%
-0.742%
-0.745%
-0.758%
-0.728%
-0.710%
-0.739%
-0.979%
-1.015%
-1.019%
-1.017%
-1.010%
-0.930%
-0.925%
-1.144%
-1.225%
-1.240%
-1.244%
-1.242%
-1.254%
-1.236%
-1.247%
-1.250%
-1.241%
-1.237%
-1.243%
-1.229%
-1.022%
-0.996%
-1.004%
-1.004%

0.00854561
0.00854574
0.00880211
0.00672723
0.00536086
0.00502233
0.00530418
0.00547818
0.00536159
0.00533491
0.00530435
0.00518821
0.00571497
0.00584380
0.00564167
0.00572393
0.00562584
0.00564936
0.00558299
0.00597897
0.00602300
0.00617051
0.00608085
0.00619993
0.00626312
0.00660574
0.00641147
0.00653755
0.00656550
0.00710611
0.00720141
0.00747370
0.00720451
0.00707277
0.00722298
0.00753052
0.00745677
0.00766545
0.00879085
0.00849956
0.00954396
0.00980069

1.004%
1.004%
1.034%
0.790%
0.630%
0.590%
0.623%
0.644%
0.630%
0.627%
0.623%
0.610%
0.672%
0.687%
0.663%
0.673%
0.661%
0.664%
0.656%
0.703%
0.708%
0.725%
0.714%
0.728%
0.736%
0.776%
0.753%
0.768%
0.771%
0.835%
0.846%
0.878%
0.847%
0.831%
0.849%
0.885%
0.876%
0.901%
1.033%
0.999%
1.121%
1.152%

-1.004%
-1.004%
-1.034%
-0.790%
-0.630%
-0.590%
-0.623%
-0.644%
-0.630%
-0.627%
-0.623%
-0.610%
-0.672%
-0.687%
-0.663%
-0.673%
-0.661%
-0.664%
-0.656%
-0.703%
-0.708%
-0.725%
-0.714%
-0.728%
-0.736%
-0.776%
-0.753%
-0.768%
-0.771%
-0.835%
-0.846%
-0.878%
-0.847%
-0.831%
-0.849%
-0.885%
-0.876%
-0.901%
-1.033%
-0.999%
-1.121%
-1.152%

0.00968597
0.00962279
0.00958284
0.01105553
0.01644369
0.01636369
0.01620163
0.01601166
0.01613029
0.01597532
0.01584723
0.01579740
0.01577825
0.01577610
0.01774422
0.01791692
0.01745442
0.01781159
0.01763411
0.01778351
0.01826475
0.01872903
0.01934276
0.01897734
0.01106333
0.01148837
0.01154476
0.01204601
0.01267108
0.01271460
0.01308876
0.01327955
0.01029552
0.01101067
0.00516184
0.00589292

1.138%
1.131%
1.126%
1.299%
1.932%
1.923%
1.904%
1.881%
1.895%
1.877%
1.862%
1.856%
1.854%
1.854%
2.085%
2.105%
2.051%
2.093%
2.072%
2.090%
2.146%
2.201%
2.273%
2.230%
1.300%
1.350%
1.356%
1.415%
1.489%
1.494%
1.538%
1.560%
1.210%
1.294%
0.607%
0.692%

-1.138%
-1.131%
-1.126%
-1.299%
-1.932%
-1.923%
-1.904%
-1.881%
-1.895%
-1.877%
-1.862%
-1.856%
-1.854%
-1.854%
-2.085%
-2.105%
-2.051%
-2.093%
-2.072%
-2.090%
-2.146%
-2.201%
-2.273%
-2.230%
-1.300%
-1.350%
-1.356%
-1.415%
-1.489%
-1.494%
-1.538%
-1.560%
-1.210%
-1.294%
-0.607%
-0.692%

Back testing

88.68%

Rendimiento del portafolio

Cuantas veces perd ms que el lmite
-0.006%
1
-0.552%
1
0.057%
1
R
-0.618%
1
0.410%
1
0.144%
1
1.411%
0
-0.242%
1
0.872%
0
-0.025%
1
0.171%
1
-0.508%
1
-1.475%
1
-0.481%
1
-0.556%
1
-0.848%
1
0.140%
1
-0.031%
1
1.168%
0
0.364%
1
-0.131%
1
-0.223%
1
0.487%
1
-1.237%
1
0.983%
1
1.087%
1
0.704%
1
-0.267%
1
nto del portafolio
0.151%
1
-0.868%
1
-0.528%
1
0.615%
1
0.499%
1
1.772%
0
1.391%
0
-1.331%
1
-2.320%
1
0.761%
1
-0.073%
1

0.446%
1.278%
0.121%
-0.031%
0.907%
-0.615%
-0.057%
-1.250%
-0.917%
0.870%
0.793%
-0.148%
0.295%
-0.181%
-0.121%
-0.962%
-0.588%
-0.276%
0.866%
0.022%
0.047%
0.170%
0.342%
-1.565%
0.368%
0.147%
0.753%
-0.265%
0.271%
-0.885%
0.837%
0.927%
-0.190%
-0.302%
-0.572%
0.519%
0.233%
-0.792%
-2.645%
0.919%
0.284%
-0.029%

1
0
1
1
0
1
1
1
1
0
0
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

-0.004%
0.074%
-0.200%
2.580%
-1.811%
-0.834%
0.428%
0.785%
1.054%
-0.525%
0.621%
-0.434%
-0.056%
-0.409%
-0.589%
-0.225%
-0.503%
0.232%
0.566%
0.081%
0.000%
0.000%
1.050%
-0.199%
0.000%
0.461%
0.949%
1.032%
-0.685%
0.675%
0.551%
-0.144%
-0.969%
-0.650%
0.018%
0.698%
-0.307%
0.410%
0.261%
1.151%
0.630%
0.927%

1
1
1
0
1
1
1
0
0
1
1
1
1
1
1
1
1
1
1
1
1
1
0
1
1
1
0
0
1
1
1
1
1
1
1
1
1
1
1
0
1
1

0.889%
-0.443%
0.785%
-0.672%
0.252%
1.214%
-0.724%
1.537%
-0.355%
-0.751%
-0.562%
0.920%
-0.424%
-0.826%
0.439%
1.060%
-1.709%
0.000%
2.148%
1.433%
0.373%
0.641%
-0.201%
-2.452%
5.680%
-0.155%
0.601%
-0.163%
-0.803%
0.618%
0.219%
0.282%
1.096%
-0.821%
-3.314%
-1.254%

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
0
1
1
1
1
1
0
1
1
1
1
1
1
1
1
1
1
1