DATA HOLDING PERIOD RETURN

Period HPG DCM APG PVD VnI Period HPG DCM

1 44000 10,200 3,390 20,800 680.39 1 0% 0%
2 43,200 9,700 4,000 20,900 702.11 2 -1.818% -4.902%
3 40,900 11,500 6,090 21,500 714.32 3 -5.324% 18.557%
4 31,950 10,250 5,300 19,700 727.9 4 -21.883% -10.870%
5 29,100 13,850 5,200 16,500 719.75 5 -8.920% 35.122%

6 30,300 13,400 4,760 15,450 750.97 6 4.124% -3.249%

7 33000 14,350 5,410 14,050 772.68 7 8.911% 7.090%
8 32,700 14,100 6,040 14,200 787.61 8 -0.909% -1.742%
9 35,100 13,450 5,210 13,500 801.19 9 7.339% -4.610%
10 39,050 13,600 5,250 14,250 807.97 10 11.254% 1.115%
11 35,700 13,100 5,930 15,650 844.62 11 -8.579% -3.676%
12 41,500 12,600 5,420 18,900 939.62 12 16.246% -3.817%

1 47,700 13,550 6,000 23,000 1012.91 1 14.940% 7.540%

2 61000 13,100 6,090 25,550 1002.06 2 27.883% -3.321%
3 66,700 12,250 5,520 22,000 1123.46 3 9.344% -6.489%
4 59000 12,400 5,580 19,000 1200.14 4 -11.544% 1.224%
5 54,400 11,850 5,640 15,850 1027.31 5 -7.797% -4.435%
6 57000 10,500 5,630 13,400 1039.48 6 4.779% -11.392%
7 38,400 10,250 5,190 13,250 916.55 7 -32.632% -2.381%

8 37,600 10,300 5,090 13,950 960.1 8 -2.083% 0.488%

9 39000 10,150 6,990 15,100 968.91 9 3.723% -1.456%
10 42,400 11,300 7,200 21,700 1007.44 10 8.718% 11.330%
11 39,600 9,680 7,650 15,950 913.45 11 -6.604% -14.336%
12 34,800 10,600 7,860 16,800 958.87 12 -12.121% 9.504%
1 30,800 9,810 8,880 14,200 879.81 1 -11.494% -7.453%
2 27,300 8,820 8,100 16,300 950.46 2 -11.364% -10.092%
3 34,250 8,990 8,800 17,450 985.78 3 25.458% 1.927%
4 31,950 9,050 7,670 18,400 989.15 4 -6.715% 0.667%
5 34000 8,600 7,530 19,500 974.01 5 6.416% -4.972%
6 31,500 8,380 9,990 17,750 958.03 6 -7.353% -2.558%
7 23000 8,250 9,000 19,000 975.4 7 -26.984% -1.551%

8 22,600 8,250 8,900 16,600 973.79 8 -1.739% 0.000%

9 21,650 8,470 8,850 17,700 984.93 9 -4.204% 2.667%
10 21,900 7,450 8,760 17,800 992.01 10 1.155% -12.043%
11 21,900 7,360 9,700 16,400 1022.39 11 0.000% -1.208%
12 22,950 6,800 9,900 15,050 962.97 12 4.795% -7.609%
1 24000 6,510 10,000 15,050 965.71 1 4.575% -4.265%
2 24,550 5,680 9,600 12,500 916.35 2 2.292% -12.750%
3 22,300 6,020 8,090 11,850 891.67 3 -9.165% 5.986%
4 17,250 5,550 9,090 7,050 758.21 4 -22.646% -7.807%
5 21000 7,900 9,100 9,230 813.97 5 21.739% 42.342%
6 27,650 8,510 8,700 10,900 886.19 6 31.667% 7.722%
 7 27,400 8,810 11,800 10,300 872.42 7 -0.904% 3.525%
8 22,900 8,120 11,600 9,410 842.1 8 -16.423% -7.832%
9 24,800 9,300 10,150 11,450 901.85 9 8.297% 14.532%
10 27000 11,750 10,200 11,650 925.75 10 8.871% 26.344%
11 30,600 12,700 10,300 10,750 937.93 11 13.333% 8.085%
12 35,600 12,150 11,500 13,150 1045.27 12 16.340% -4.331%
1 42,300 14,100 8,190 17,300 1167.94 1 18.820% 16.049%
2 38,350 11,950 9,180 16,500 1126.54 2 -9.338% -15.248%
3 46,200 14,000 9,700 24,400 1186.2 3 20.469% 17.155%
4 48,500 18,100 8,900 23,200 1216.1 4 4.978% 29.286%
5 59,800 15,900 10,350 18,550 1242.2 5 23.299% -12.155%
6 55,500 16,650 11,200 22,400 1337.8 6 -7.191% 4.717%
7 52,800 20,650 9,720 22,250 1417.1 7 -4.865% 24.024%
8 47,250 20,600 18,000 18,350 1314.2 8 -10.511% -0.242%
9 49,200 26,000 17,700 19,200 1334.7 9 4.127% 26.214%
10 53,400 28,200 18,100 23,600 1334.9 10 8.537% 8.462%
11 55,700 34,000 25,700 27,500 1439 11 4.307% 20.567%
12 49000 40,250 20,700 27,750 1485.2 12 -12.029% 18.382%
G PERIOD RETURN
APG PVD VNI 2. Avarage return Variance
0% 0% 0% HPG 1.060% 1.741%
17.994% 0.481% 3.192% DCM 3.031% 1.581%
52.250% 2.871% 1.739% APG 4.388% 3.230%
-12.972% -8.372% 1.901% PVD 1.762% 2.632%
-1.887% -16.244% -1.120% VNI 1.482% 0.338%
Arithmetic
return
-8.462% -6.364% 4.338% APR
13.655% -9.061% 2.891% 3. HPG 1.060% 12.72%
11.645% 1.068% 1.932% DCM 3.031% 36.37%
-13.742% -4.930% 1.724% APG 4.388% 52.66%
0.768% 5.556% 0.846% PVD 1.762% 21.14%
12.952% 9.825% 4.536% VNI 1.482% 17.78%
-8.600% 20.767% 11.248%
Variance -
10.701% 21.693% 7.800% 4. Covariance HPG DCM
1.500% 11.087% -1.071% HPG 1.74% 0.37%
-9.360% -13.894% 12.115% DCM 0.37% 1.58%
1.087% -13.636% 6.825% APG -0.11% -0.12%
1.075% -16.579% -14.401% PVD 0.98% 0.83%
-0.177% -15.457% 1.185% VNI 0.38% 0.25%
-7.815% -1.119% -11.826%
Covariance (Re,
-1.927% 5.283% 4.752% VNI) Variance (VNI)
37.328% 8.244% 0.918% HPG 0.383%
3.004% 43.709% 3.977% DCM 0.246%
0.338%
6.250% -26.498% -9.330% APG -0.221%
2.745% 5.329% 4.972% PVD 0.593%
12.977% -15.476% -8.245%
-8.784% 14.789% 8.030% 5. Correlation HPG DCM
8.642% 7.055% 3.716% HPG 1
-12.841% 5.444% 0.342% DCM 0.22519583017 1
-1.825% 5.978% -1.531% APG -0.0470230166 -0.0552163058
32.669% -8.974% -1.641% PVD 0.45722371576 0.40793117412
-9.910% 7.042% 1.813%
Variance -
-1.111% -12.632% -0.165% Covariance HPG DCM
-0.562% 6.627% 1.144% HPG 1.741% 0.374%
-1.017% 0.565% 0.719% DCM 0.374% 1.581%
10.731% -7.865% 3.062% APG -0.112% -0.125%
2.062% -8.232% -5.812% PVD 0.979% 0.832%
1.010% 0.000% 0.285%
-4.000% -16.944% -5.111%
-15.729% -5.200% -2.693% 6. Weight of securities
12.361% -40.506% -14.967% HPG 0.4
0.110% 30.922% 7.354% DCM 0.15
-4.396% 18.093% 8.873% APG 0.2
 35.632% -5.505% -1.554% PVD 0.25
-1.695% -8.641% -3.475% sum 1
-12.500% 21.679% 7.095%
0.493% 1.747% 2.650% Portfolio mean 2.1967%
0.980% -7.725% 1.316% Portfolio variance 0.843%
11.650% 22.326% 11.444% SD 9.179%
-28.783% 31.559% 11.736%
12.088% -4.624% -3.545% Weight
5.664% 47.879% 5.296% Securities 20%
-8.247% -4.918% 2.521% oil and gas 25%
16.292% -20.043% 2.146% real estate 15%
8.213% 20.755% 7.696% steel manufactoring 40%
-13.214% -0.670% 5.928% sum of weights 100%
85.185% -17.528% -7.261%
-1.667% 4.632% 1.560% 8. Avarage return Variance
2.260% 22.917% 0.015% HPG 1.060% 0.786%
41.989% 16.525% 7.798% DCM 3.031% 0.277%
-19.455% 0.909% 3.211% APG 4.388% 6.473%
PVD 1.762% 0.855%

the weight of
each stock to get
minimum risk HPG 30.018%
DCM 35.356%
APG 25.677%
PVD 8.949%

9. Risk free (monthly) 0.417%

W_HPG 54.29% 43.49%

W_DCM 22.02% 27.95%
W_APG 12.94% 18.61%
W_PVD 10.75% 9.95%

Portfolio
variance 0.88% 0.77%
Port Stdv 9.39% 8.75%
Portfolio mean 2.00% 2.30%

Equal Weight
HPG 0.25
DCM 0.25
APG 0.25
PVD 0.25
sum of weights 100%
 Optimal risky
11. portfolio => optimal portfolio when sharpe ratio max

Weight
HPG -0.0059606449
DCM 0.52181755633
APG 0.4173977746
PVD 0.06674531395
sum 1

7. Capital Allocation line

Weight of rísky Return SD

0% 0.4167% 0.00%
100% 3.5243% 9.91%
150% 5.0780% 14.87%
SD
13.193%
12.573%
17.973%
16.224%
5.813%

EAR
13.49%
43.08%
67.42%
23.32%
19.30%

APG PVD VNI

-0.11% 0.98% 0.38%
-0.12% 0.83% 0.25%
3.23% -0.43% -0.22%
-0.43% 2.63% 0.59%
-0.22% 0.59% 0.34%

Beta
1.13
0.73
-0.65
1.75

APG PVD

1
-0.1469712615 1

APG PVD
-0.112% 0.979%
-0.125% 0.832%
3.230% -0.429%
-0.429% 2.632%
SD Weight Portfolio mean 2.0000%
8.867% 0.542898 Portfolio variance 0.882%
5.268% 0.220161 SD (min) 9.394%
25.441% 0.129417
9.244% 0.107524
sum 1

30.02% 21.88% 18.28% 0.28% -17.73% -28.53% -35.73% -53.74%

35.36% 39.83% 41.81% 51.70% 61.60% 67.53% 71.49% 81.39%
25.68% 29.95% 31.83% 41.28% 50.73% 56.40% 60.17% 69.62%
8.95% 8.34% 8.08% 6.74% 5.40% 4.60% 4.06% 2.73%

0.71% 0.73% 0.75% 0.97% 1.37% 1.70% 1.95% 2.72%

8.45% 8.56% 8.68% 9.83% 11.69% 13.02% 13.98% 16.51%
2.67% 2.90% 3.00% 3.50% 4.00% 4.30% 4.50% 5.00%

Portfolio return 0.025601

Variance 0.007639
Stdv 0.087404
Efficient frontier
Sharpe ratio (1) 0.245237 6.00%

5.00%

4.00%
rtfolio mean

3.00%
 Efficient frontier
6.00%

5.00%

hen sharpe ratio max 4.00%

portfolio mean
Portfolio return 0.035243 3.00%

Variance 0.009822 2.00%

Stdv 0.099108
1.00%

Sharpe ratio (2) 0.313556 0.00%

0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 1
risk
 -68.14%
89.30%
77.18%
1.66%

3.48%
18.64%
5.40%

ontier
ontier

8.00% 10.00% 12.00% 14.00% 16.00%

isk
VNindex