hc investimentos - otimização de carteiras

8/15/2019 HC Investimentos - Otimização de Carteiras

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Otimização de Carteiras 1994 Gráfco Alocação

Ativos Alocação Retorno RiscoIbov 39.18% #REF! #REF!lar ".""% #REF! #REF!

$ro ".""% #REF! #REF!I &".8'% #REF! #REF!

Carteira 1""% #REF! #REF!#REF!

Estat(sticas

Tipo Valor

Retor)o #REF! Retorno Anual Esperado da CarteRisco #REF! Risco Anual Esperado da CarteiraRetor)o * Risco #REF! Relação entre Retorno x Risco. 1+tress ,est #REF! Retorno Esperado em um cenári+-are #REF! Gano em Excesso da Carteira e/ote)cial de iversifcação #REF! Redução do Risco gana soment

ados 39.18% ".""% ".""% &".8'%

"s Carteira $%OV &'AR O(RO C$ 0$l92 1".3'% 1.9&% &.""% 2.2% &.&8%A$492 13."% '&.8% .23% 1.2"% 2.1&%+e92 3.28% '.9"% 2."% '.31% 3.8%ct92 '.&8% 1'.1% ".8'% .3&% 3.&%5ov92 1.32% '.9&% ".1'% ".8% 2.11%ec92 ".'1% &.29% ".1'% 1.82% 3.82% 0a)9 '.11% 1".66% ".26% 3.1% 3.26%

Feb9 2.'3% 1.81% 1.13% 1."8% 3.'3%7ar9 ".81% 8.9'% .'3% 9.8'% 2.21%Ar9 13.% '8."'% 1.9"% "."9% 2.''%7a9 1.&2% '.22% ".66% '."2% 2.'6% 0$)9 1.'3% 3.1% 1.66% '.61% 2."% 0$l9 .2'% 6.&1% 1.'% ".18% 2."1%A$49 &.&9% 11.16% 1.&"% 1.92% 3.81%+e9 .'2% 8.32% ".3'% 1.&% 3.'%ct9 '.&8% 11.&"% ".83% ".16% 3."&%

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5ov"3 .&1% 1'.'2% 3.'&% .36% 1.32%ec"3 2.8'% 1".16% '."2% '.93% 1.36% 0a)"2 "."9% 1.63% 1.69% 1.81% 1.'&%Feb"2 ".28% ".22% ".9'% '.36% 1."8%7ar"2 1.3% 1.68% ".18% &.''% 1.36%Ar"2 3.66% 11.2% 1.'2% 6.38% 1.16%7a"2 ".&'% ".3'% &.'&% 8.93% 1.''% 0$)"2 3.9&% 8.'1% ".&9% '.9"% 1.''% 0$l"2 '.98% .&'% '.&"% 1.3"% 1.'8%A$4"2 1.&"% '."9% 3."6% 1."% 1.'9%+e"2 1.1% 1.92% '.&% ".'&% 1.'2%ct"2 ".21% ".83% "."6% 1.&% 1.'1%5ov"2 2.'9% 9."1% 2.2"% "."% 1.'%ec"2 '.6% 2.'% '.69% 2.12% 1.28% 0a)" 1.9'% 6."% 1.1'% ."6% 1.38%Feb" &.82% 1.&% 1.12% '.3% 1.''%7ar" 1.'"% .23% '.62% 1.1"% 1.'%Ar" 1.62% &.&2% ."&% 2.32% 1.21%7a" 1.29% 1.26% ."2% 6.&% 1."% 0$)" ".6'% ".&'% '.''% 1.3% 1.8% 0$l" '.26% 3.9&% 1.61% ".""% 1.1%A$4" 2."'% 6.&9% 1.1'% ".3"% 1.&%+e" .8&% 1'.&'% .99% '.'6% 1."%ct" ".86% 2.2"% 1.22% ".22% 1.2"%5ov" 3."8% .61% '.1"% 2.6&% 1.38%ec" '.68% 2.8'% &."&% 9.&&% 1.26% 0a)"& &.&2% 12.63% .33% .6"% 1.23%Feb"& ".9'% ".9% 3.&3% 2.16% 1.12%7ar"& ".19% 1.61% 1.63% 3."6% 1.2'%Ar"& 3.1% &.3&% 3.83% 9.18% 1."8%7a"& '.92% 9."% 1".11% 1'.63% 1.'8% 0$)"& ".8'% ".'6% .9'% 13.31% 1.18% 0$l"& 1.19% 1.''% ".% 3.29% 1.16%A$4"& ".13% '.'8% 1.6'% 1.8"% 1.'%+e"& ".86% ".&"% 1.&&% ."3% 1."%ct"& 3.&9% 6.6'% 1.22% 1.&9% 1."9%5ov"& 3.'8% &.8"% 1.11% 6.'3% 1."'%ec"& '.96% &."&% 1.33% 3.86% ".98% 0a)"6 ".81% ".38% ".&'% 3.''% 1."8%

Feb"6 ".13% 1.&8% ".6"% 1.32% ".86%7ar"6 '.3% 2.3&% '.8'% 1.2% 1."%Ar"6 3.'6% &.88% ".8"% 3.91% ".92%7a"6 3.'6% &.66% .1&% .28% 1."'% 0$)"6 '.12% 2."&% ".12% 3.21% ".9"% 0$l"6 ".22% ".39% '.'% '.9% ".96%A$4"6 ".93% ".82% 2."% '.2'% ".99%+e"6 2.&6% 1".&6% &.'6% 3.66% ".8"%ct"6 3.6"% 8."'% .1&% 6.9% ".9'%


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5ov"6 ".88% 3.2% '.'8% .89% ".82%ec"6 1."&% 1.2"% ".6"% 3.68% ".82% 0a)"8 '.12% &.88% ".&'% 6."'% ".9'%Feb"8 3.1'% &.6'% 2.36% 1.93% ".69%7ar"8 1."% 3.96% 3.91% '.2&% ".82%Ar"8 2.98% 11.3'% 3.2% 9.61% ".9"%7a"8 3.'&% &.9&% 3.23% ".''% ".86% 0$)"8 3.1% 1".22% '.3"% ".8&% ".9% 0$l"8 '.&8% 8.28% 1.9% 1."&% 1."&%A$4"8 1.9"% &.23% 2.33% .38% 1."1%+e"8 3.&% 11."3% 16.13% ''."% 1.1"%ct"8 9.""% '2.8"% 1"."% .38% 1.16%5ov"8 "."9% 1.66% 1".3"% 13.33% 1.""%ec"8 1.6"% '.&1% ".16% 1".&2% 1.11% 0a)"9 '.2&% 2.&&% ".89% .% 1."2%Feb"9 ".9% '.82% '.&9% 3.6"% ".8%7ar"9 3.2"% 6.18% '.&&% 2.'9% ".96%Ar"9 &.&"% 1.% .91% &.92% ".82%7a"9 .3&% 1'.29% 9.2'% 1."2% ".66% 0$)"9 ".8'% 3.'% 1."8% 2.6&% ".6% 0$l"9 '.99% &.21% 2."% 2.83% ".68%A$4"9 1.&% 3.1% ".62% ".3% ".&9%+e"9 3.91% 8.9"% .62% ".96% ".&9%ct"9 ".22% "."2% 1.9'% 3.''% ".&9%5ov"9 3.9"% 8.93% ".36% 1."3% ".&&%ec"9 1.32% '.3"% ".3% 9.1"% ".6'% 0a)1" 1.2'% 2.&% 6.&6% &.2% ".&&%Feb1" 1."'% 1.&8% 3.2"% 1.'"% ".9%7ar1" '.62% .8'% 1.&&% 2.'8% ".6&%Ar1" 1.18% 2."2% '.83% 1.26% ".&&%7a1" '.1% &.&2% 2.98% 2.3% ".6% 0$)1" ".83% 3.32% ".82% '.9'% ".69% 0$l1" 2.6% 1".8"% '.2&% 3.91% ".8&%A$41" ".82% 3.1% "."6% 3.8% ".89%+e1" 3."9% &.8% 3.'% ".6% ".82%ct1" 1.19% 1.69% ".2'% 6.&6% ".81%5ov1" 1.1&% 2.'"% ".8&% &.'% ".81%ec1" 1.29% '.3&% '.91% 3.3% ".93% 0a)11 1."'% 3.92% ".6'% 9.39% ".8&%

Feb11 ".99% 1.''% ".63% .'% ".82%7ar11 1.'&% 1.69% 1.9&% ".""% ".9'%Ar11 ".89% 3.8% 3.2"% 1.2"% ".82%7a11 ".3"% '.'9% ".2'% ".88% ".99% 0$)11 ".6&% 3.23% 1.19% '.1&% ".9% 0$l11 1.&&% .62% ".31% 9.3'% ".96%


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de Ativos

ira

0% signigica que Retorno = Risco

muito raro

relação a taxa li!re de risco "C#$

pela di!ersi&cação

9%


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Otimização de Carteiras 1999 Gráfco

Ativos Alocação Retorno RiscoIbov 12.63% #REF! #REF!lar ".""% #REF! #REF!

$ro 1'.''% #REF! #REF!E$ro ".""% #REF! #REF!I 63."% #REF! #REF!

Carteira 1))* #REF! #REF!#REF!

Estat(sticas

Tipo ValorRetor)o #REF! Retorno Anual EsperRisco #REF! Risco Anual EsperadRetor)o * Risco #REF! Relação entre Retor+tress ,est #REF! Retorno Esperado e+-are #REF! Gano em Excesso d/ote)cial de iversifcação #REF! Redução do Risco ga

ados 12.63% ".""% 1'.''% ".""%

"s Carteira $%OV &'AR O(RO E(RO 0a)99 13.1% '".2% &2."8% 6".""% &8."%Feb99 3.18% 9."2% 2.11% 1."6% &.1"%7ar99 3.3% '"."2% 1&.&"% 1&.2"% 18.&8%Ar99 '.2% &.11% 3.&% ".9% 2."%7a99 ".62% '.3"% 3.81% '.88% '.&2%

0$)99 1.8'% 2.82% '.&2% ".&&% ".3% 0$l99 ".3'% 1".19% 1.11% ".""% '.6%A$499 1.83% 1.18% 6."8% 2.3"% 9.""%+e99 2.'"% .13% ".33% 19.36% "."1%ct99 1.6'% .3% 1.&"% ".3% '.6%5ov99 3.39% 16.66% 1.1% 1.86% 2.9'%ec99 3.&6% '2."% &.9% 8.2% 6.92% 0a)"" ".6'% 2.11% ".6% 9.2% 3."'%Feb"" 3.2% 6.81% 1.88% 1".92% '.28%



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7ar"" ".3% ".91% 1.'"% .2"% '."6%Ar"" ".3"% 1'.81% 3.2"% .33% 1.3%7a"" ".&"% 3.62% 1.1"% ".3% 3.93% 0$)"" 3.'6% 11.82% 1.2&% 2.'1% ".19% 0$l"" ".'% 1.&3% 1.2"% 1.9% 2.18%A$4"" 1.9% .2'% '.62% 1."2% 1."%+e"" ".31% 8.16% 1.11% ".""% ".6%ct"" ".1% &.&&% 3.2% ".8&% ".1%5ov"" ".36% 1".&3% '.&% '.28% .3%ec"" 3.'"% 12.82% ".'1% 1.1% 6.1% 0a)"1 '.82% 1.81% ".8"% 3.33% ".11%Feb"1 ".33% 1"."8% 3.6&% 3.2% '.9%7ar"1 ".36% 9.12% .&9% ".&% ".2%Ar"1 '."9% 3.3'% 1."6% &."8% '.1"%7a"1 1.9'% 1.8"% 8."'% 9.9"% 3."6% 0$)"1 ".68% ".&1% '.33% ".26% 1.88% 0$l"1 ".'8% .3% .28% ".""% 8.&'%A$4"1 ".&8% &.&% 2.9% 2."% 9.'6%+e"1 ".'% 16.16% 2.&9% 12.86% 2.1%ct"1 1.2% &.8% 1.32% .8% ".'2%5ov"1 '.16% 13.69% &.9% 6.16% 6."1%ec"1 1.2"% 2.26% 8.'2% '.'6% 9.1'% 0a)"' ".6"% .83% 2.''% 3.&2% ".9'%Feb"' '.21% 1".31% '.9"% ".''% 1.82%7ar"' ".'6% .% 1."% ".6"% ".89%Ar"' 1.31% 1.'8% 1.&6% 3.2% .1"%7a"' '.'6% 1.61% &.6% 1'.'2% 1".8'% 0$)"' "."9% 13.39% 1'.68% 9."'% 19.&9% 0$l"' 1.68% 1'.3&% '".2% '".32% 18.88%A$4"' ".&3% &.3% 11.8% 11.16% 11.22%+e"' 1."6% 1&.9% '8.86% '".96% '9.9%ct"' 3.&1% 16.9'% &.2'% 1.86% &.'1%5ov"' 1.88% 3.3% ".'3% '.''% ".'1%ec"' '.99% 6.'3% '.82% .2'% '.19% 0a)"3 1.8% '.9"% 3."2% 2.&3% '.&1%Feb"3 ".1"% &."2% 1."&% '.83% 1.26%7ar"3 1.&3% 9.&&% .9"% 8.8% 2.8&%Ar"3 1.3% 11.38% 13.8'% 1'.32% 11.69%7a"3 3.6&% &.89% '.&'% 1".6&% 8.16%

0$)"3 "."% 3.3% 3.1&% 6.23% .3&% 0$l"3 '.&3% 2.&'% 3.'&% 3.% ".8"%A$4"3 3.81% 11.81% "."3% &.21% '.3"%+e"3 '."8% .1% 1.2% ".2'% 2.&6%ct"3 '.9'% 1'.3'% '.3"% ".63% 3."&%5ov"3 3.22% 1'.'2% 3.'&% .36% &.9&%ec"3 '.8&% 1".16% '."2% '.93% 3.12% 0a)"2 ".22% 1.63% 1.69% 1.81% ".28%Feb"2 ".23% ".22% ".9'% '.36% ".&3%


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27/42

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39/42

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