triade do dinheiro - fronteira eficiente

73

Upload: rafael-lima

Post on 11-Dec-2015

230 views

Category:

Documents


3 download

DESCRIPTION

Triade Do Dinheiro - Fronteira Eficiente

TRANSCRIPT

Page 1: Triade Do Dinheiro - Fronteira Eficiente
Page 2: Triade Do Dinheiro - Fronteira Eficiente
Page 3: Triade Do Dinheiro - Fronteira Eficiente
Page 4: Triade Do Dinheiro - Fronteira Eficiente

Selic x Ibov (1994)

Parametros Selic 90s/10i 80s/20i 70s/30i 60s/40i 50s/50i 40s/60i 30s/70iDp Anual 10.36% 10.32% 11.73% 14.16% 17.20% 20.56% 24.12% 27.80%

Retorno Media 22.36% 22.61% 22.86% 23.11% 23.36% 23.61% 23.86% 24.12%

Sharpe Media - 0.0244 0.0428 0.0532 0.0584 0.0611 0.0625 0.0633

DP Sharpe - 0.3877 0.6822 0.8472 0.9304 0.9726 0.9949 1.0071

VAR IC 95% 5.31% 5.64% 3.57% -0.19% -4.93% -10.21% -15.82% -21.62%

Retornos AnualizadosData Selic 90s/10i 80s/20i 70s/30i 60s/40i 50s/50i 40s/60i 30s/70i

07/94 a 06/95 62.81% 56.57% 50.32% 44.08% 37.84% 31.59% 25.35% 19.11%

08/94 a 07/95 58.47% 51.95% 45.42% 38.90% 32.37% 25.85% 19.32% 12.80%

09/94 a 08/95 57.35% 49.80% 42.25% 34.70% 27.15% 19.60% 12.05% 4.50%

10/94 a 09/95 57.19% 49.98% 42.76% 35.55% 28.34% 21.12% 13.91% 6.70%

11/94 a 10/95 56.39% 49.47% 42.55% 35.64% 28.72% 21.80% 14.88% 7.97%

12/94 a 11/95 54.60% 48.48% 42.36% 36.24% 30.13% 24.01% 17.89% 11.77%

01/95 a 12/95 53.05% 47.95% 42.85% 37.76% 32.66% 27.56% 22.46% 17.37%

02/95 a 01/96 51.88% 49.90% 47.92% 45.94% 43.96% 41.98% 40.00% 38.01%

03/95 a 02/96 50.56% 52.51% 54.46% 56.41% 58.36% 60.31% 62.26% 64.21%

04/95 a 03/96 47.61% 50.16% 52.71% 55.26% 57.82% 60.37% 62.92% 65.47%

05/95 a 04/96 44.52% 43.39% 42.27% 41.14% 40.02% 38.89% 37.77% 36.64%

06/95 a 05/96 41.42% 42.21% 43.00% 43.79% 44.58% 45.37% 46.17% 46.96%

07/95 a 06/96 38.62% 41.89% 45.15% 48.42% 51.68% 54.95% 58.21% 61.48%

08/95 a 07/96 35.83% 38.46% 41.10% 43.73% 46.37% 49.00% 51.63% 54.27%

09/95 a 08/96 33.39% 34.06% 34.72% 35.39% 36.06% 36.72% 37.39% 38.06%

10/95 a 09/96 31.55% 32.77% 33.98% 35.20% 36.42% 37.63% 38.85% 40.07%

11/95 a 10/96 29.98% 33.18% 36.38% 39.58% 42.78% 45.98% 49.19% 52.39%

12/95 a 11/96 28.63% 31.27% 33.90% 36.54% 39.17% 41.81% 44.44% 47.08%

01/96 a 12/96 27.41% 30.51% 33.62% 36.72% 39.82% 42.92% 46.03% 49.13%

02/96 a 01/97 26.35% 29.08% 31.81% 34.54% 37.27% 39.99% 42.72% 45.45%

03/96 a 02/97 25.51% 30.62% 35.73% 40.84% 45.95% 51.06% 56.17% 61.28%

04/96 a 03/97 24.80% 30.56% 36.32% 42.09% 47.85% 53.61% 59.37% 65.13%

05/96 a 04/97 24.30% 31.45% 38.59% 45.74% 52.89% 60.03% 67.18% 74.32%

06/96 a 05/97 23.77% 31.55% 39.34% 47.12% 54.91% 62.69% 70.47% 78.26%

07/96 a 06/97 23.32% 32.11% 40.90% 49.68% 58.47% 67.26% 76.05% 84.84%

08/96 a 07/97 22.93% 30.17% 37.40% 44.64% 51.87% 59.11% 66.35% 73.58%

09/96 a 08/97 22.47% 26.44% 30.42% 34.39% 38.36% 42.33% 46.31% 50.28%

10/96 a 09/97 22.09% 28.55% 35.00% 41.46% 47.91% 54.37% 60.83% 67.28%

11/96 a 10/97 21.87% 24.53% 27.18% 29.84% 32.50% 35.15% 37.81% 40.47%

12/96 a 11/97 23.35% 25.34% 27.33% 29.32% 31.31% 33.29% 35.28% 37.27%

01/97 a 12/97 24.77% 27.36% 29.95% 32.54% 35.13% 37.72% 40.31% 42.90%

02/97 a 01/98 25.92% 25.65% 25.37% 25.10% 24.83% 24.55% 24.28% 24.01%

03/97 a 02/98 26.49% 25.92% 25.35% 24.78% 24.21% 23.64% 23.07% 22.50%

04/97 a 03/98 27.19% 27.42% 27.66% 27.89% 28.13% 28.36% 28.60% 28.83%

05/97 a 04/98 27.25% 25.95% 24.64% 23.34% 22.04% 20.74% 19.43% 18.13%

06/97 a 05/98 27.31% 23.03% 18.76% 14.48% 10.20% 5.93% 1.65% -2.63%

07/97 a 06/98 27.30% 22.19% 17.09% 11.98% 6.88% 1.77% -3.33% -8.44%

08/97 a 07/98 27.43% 23.18% 18.93% 14.68% 10.43% 6.18% 1.93% -2.32%

09/97 a 08/98 27.29% 21.40% 15.52% 9.63% 3.74% -2.14% -8.03% -13.92%

10/97 a 09/98 28.42% 20.47% 12.53% 4.58% -3.36% -11.31% -19.26% -27.20%

Page 5: Triade Do Dinheiro - Fronteira Eficiente

11/97 a 10/98 30.02% 24.64% 19.25% 13.87% 8.48% 3.10% -2.29% -7.67%

12/97 a 11/98 29.50% 25.41% 21.31% 17.22% 13.12% 9.03% 4.93% 0.84%

01/98 a 12/98 28.79% 22.53% 16.28% 10.02% 3.77% -2.49% -8.75% -15.00%

02/98 a 01/99 28.17% 24.27% 20.37% 16.46% 12.56% 8.66% 4.76% 0.86%

03/98 a 02/99 28.49% 24.12% 19.75% 15.39% 11.02% 6.65% 2.28% -2.08%

04/98 a 03/99 29.91% 26.23% 22.55% 18.87% 15.19% 11.51% 7.83% 4.15%

05/98 a 04/99 30.72% 27.59% 24.45% 21.32% 18.19% 15.05% 11.92% 8.78%

06/98 a 05/99 31.22% 29.60% 27.98% 26.37% 24.75% 23.13% 21.51% 19.90%

07/98 a 06/99 31.31% 29.99% 28.67% 27.35% 26.02% 24.70% 23.38% 22.06%

08/98 a 07/99 31.26% 27.94% 24.62% 21.30% 17.98% 14.66% 11.35% 8.03%

09/98 a 08/99 31.38% 34.00% 36.63% 39.25% 41.87% 44.50% 47.12% 49.74%

10/98 a 09/99 30.10% 35.48% 40.86% 46.23% 51.61% 56.99% 62.37% 67.74%

11/98 a 10/99 28.13% 30.98% 33.83% 36.68% 39.53% 42.38% 45.24% 48.09%

12/98 a 11/99 26.58% 30.16% 33.74% 37.32% 40.90% 44.48% 48.06% 51.64%

01/99 a 12/99 25.59% 37.42% 49.25% 61.09% 72.92% 84.75% 96.58% 108.42%

02/99 a 01/00 24.70% 30.81% 36.93% 43.04% 49.15% 55.26% 61.38% 67.49%

03/99 a 02/00 23.57% 30.73% 37.89% 45.05% 52.22% 59.38% 66.54% 73.70%

04/99 a 03/00 21.32% 24.84% 28.35% 31.87% 35.38% 38.90% 42.41% 45.93%

05/99 a 04/00 20.08% 21.65% 23.21% 24.78% 26.35% 27.91% 29.48% 31.05%

06/99 a 05/00 19.45% 21.49% 23.52% 25.56% 27.60% 29.63% 31.67% 33.71%

07/99 a 06/00 19.13% 21.81% 24.49% 27.18% 29.86% 32.54% 35.22% 37.91%

08/99 a 07/00 18.72% 22.80% 26.88% 30.96% 35.04% 39.12% 43.20% 47.28%

09/99 a 08/00 18.53% 22.80% 27.07% 31.34% 35.61% 39.88% 44.15% 48.42%

10/99 a 09/00 18.21% 20.59% 22.96% 25.34% 27.72% 30.09% 32.47% 34.85%

11/99 a 10/00 18.11% 18.87% 19.64% 20.40% 21.17% 21.93% 22.70% 23.46%

12/99 a 11/00 17.91% 15.80% 13.70% 11.59% 9.49% 7.38% 5.27% 3.17%

01/00 a 12/00 17.45% 14.82% 12.18% 9.55% 6.91% 4.28% 1.65% -0.99%

02/00 a 01/01 17.23% 15.82% 14.41% 13.00% 11.59% 10.18% 8.77% 7.36%

03/00 a 02/01 16.73% 14.20% 11.67% 9.14% 6.61% 4.08% 1.56% -0.97%

04/00 a 03/01 16.51% 12.97% 9.42% 5.88% 2.34% -1.21% -4.75% -8.30%

05/00 a 04/01 16.38% 14.34% 12.30% 10.25% 8.21% 6.17% 4.13% 2.09%

06/00 a 05/01 16.21% 14.16% 12.11% 10.07% 8.02% 5.97% 3.92% 1.88%

07/00 a 06/01 16.07% 12.98% 9.89% 6.80% 3.71% 0.62% -2.47% -5.56%

08/00 a 07/01 16.29% 13.10% 9.91% 6.71% 3.52% 0.33% -2.86% -6.05%

09/00 a 08/01 16.51% 12.14% 7.77% 3.40% -0.97% -5.33% -9.70% -14.07%

10/00 a 09/01 16.63% 11.72% 6.80% 1.89% -3.03% -7.94% -12.85% -17.77%

11/00 a 10/01 16.90% 12.91% 8.92% 4.93% 0.93% -3.06% -7.05% -11.04%

12/00 a 11/01 17.10% 15.31% 13.53% 11.74% 9.96% 8.17% 6.39% 4.60%

01/01 a 12/01 17.32% 14.58% 11.84% 9.10% 6.36% 3.63% 0.89% -1.85%

02/01 a 01/02 17.62% 13.29% 8.95% 4.62% 0.29% -4.04% -8.38% -12.71%

03/01 a 02/02 17.89% 14.84% 11.79% 8.73% 5.68% 2.63% -0.42% -3.47%

04/01 a 03/02 18.02% 15.85% 13.68% 11.51% 9.34% 7.17% 5.00% 2.83%

05/01 a 04/02 18.35% 14.93% 11.51% 8.09% 4.68% 1.26% -2.16% -5.58%

06/01 a 05/02 18.44% 15.15% 11.87% 8.58% 5.30% 2.01% -1.27% -4.56%

07/01 a 06/02 18.50% 14.13% 9.77% 5.40% 1.03% -3.33% -7.70% -12.07%

08/01 a 07/02 18.55% 13.80% 9.04% 4.29% -0.47% -5.22% -9.97% -14.73%

09/01 a 08/02 18.37% 14.64% 10.91% 7.18% 3.45% -0.28% -4.01% -7.73%

10/01 a 09/02 18.44% 15.16% 11.89% 8.61% 5.34% 2.06% -1.22% -4.49%

11/01 a 10/02 18.58% 15.63% 12.67% 9.72% 6.77% 3.81% 0.86% -2.09%

12/01 a 11/02 18.75% 14.88% 11.01% 7.13% 3.26% -0.61% -4.48% -8.35%

01/02 a 12/02 19.16% 15.61% 12.06% 8.50% 4.95% 1.40% -2.15% -5.71%

02/02 a 01/03 19.68% 16.33% 12.98% 9.63% 6.28% 2.94% -0.41% -3.76%

03/02 a 02/03 20.36% 15.51% 10.66% 5.81% 0.95% -3.90% -8.75% -13.60%

04/02 a 03/03 20.85% 17.37% 13.90% 10.42% 6.94% 3.46% -0.01% -3.49%

05/02 a 04/03 21.31% 19.40% 17.48% 15.57% 13.65% 11.74% 9.83% 7.91%

06/02 a 05/03 21.98% 20.23% 18.48% 16.73% 14.99% 13.24% 11.49% 9.74%

07/02 a 06/03 22.62% 22.56% 22.50% 22.44% 22.38% 22.32% 22.26% 22.20%

08/02 a 07/03 23.27% 24.40% 25.52% 26.65% 27.77% 28.90% 30.03% 31.15%

Page 6: Triade Do Dinheiro - Fronteira Eficiente

09/02 a 08/03 23.67% 26.10% 28.52% 30.95% 33.37% 35.80% 38.22% 40.65%

10/02 a 09/03 24.04% 30.06% 36.08% 42.11% 48.13% 54.15% 60.17% 66.19%

11/02 a 10/03 24.03% 29.89% 35.75% 41.61% 47.46% 53.32% 59.18% 65.04%

12/02 a 11/03 23.78% 30.63% 37.48% 44.32% 51.17% 58.02% 64.87% 71.72%

01/03 a 12/03 23.33% 30.34% 37.35% 44.37% 51.38% 58.39% 65.40% 72.41%

02/03 a 01/04 22.49% 30.21% 37.93% 45.65% 53.37% 61.09% 68.81% 76.53%

03/03 a 02/04 21.59% 31.26% 40.94% 50.61% 60.28% 69.96% 79.63% 89.30%

04/03 a 03/05 21.11% 28.54% 35.96% 43.39% 50.81% 58.24% 65.66% 73.09%

05/03 a 04/04 20.29% 23.65% 27.00% 30.36% 33.71% 37.07% 40.43% 43.78%

06/03 a 05/04 19.41% 22.24% 25.08% 27.91% 30.75% 33.58% 36.42% 39.25%

07/03 a 06/04 18.68% 22.87% 27.07% 31.26% 35.46% 39.65% 43.84% 48.04%

08/03 a 07/04 17.76% 23.08% 28.40% 33.73% 39.05% 44.37% 49.69% 55.01%

09/03 a 08/04 17.20% 20.14% 23.09% 26.03% 28.98% 31.92% 34.86% 37.81%

10/03 a 09/04 16.71% 19.38% 22.05% 24.72% 27.40% 30.07% 32.74% 35.41%

11/03 a 10/04 16.21% 17.16% 18.10% 19.05% 20.00% 20.94% 21.89% 22.84%

12/03 a 11/04 16.11% 16.80% 17.48% 18.17% 18.86% 19.54% 20.23% 20.91%

01/04 a 12/04 16.24% 16.08% 15.91% 15.75% 15.59% 15.42% 15.26% 15.10%

02/04 a 01/05 16.36% 15.81% 15.26% 14.71% 14.15% 13.60% 13.05% 12.50%

03/04 a 02/05 16.52% 17.19% 17.87% 18.54% 19.21% 19.89% 20.56% 21.23%

04/04 a 03/05 16.70% 16.85% 17.00% 17.16% 17.31% 17.46% 17.61% 17.76%

05/04 a 04/05 16.96% 17.80% 18.64% 19.48% 20.32% 21.16% 21.99% 22.83%

06/04 a 05/05 17.27% 18.82% 20.37% 21.92% 23.47% 25.02% 26.56% 28.11%

07/04 a 06/05 17.69% 17.78% 17.86% 17.95% 18.04% 18.13% 18.21% 18.30%

08/04 a 07/05 17.95% 17.87% 17.79% 17.71% 17.63% 17.55% 17.47% 17.39%

09/04 a 08/05 18.38% 18.96% 19.55% 20.13% 20.71% 21.29% 21.88% 22.46%

10/04 a 09/05 18.67% 20.20% 21.73% 23.26% 24.79% 26.32% 27.85% 29.39%

11/04 a 10/05 18.90% 20.29% 21.67% 23.06% 24.45% 25.84% 27.22% 28.61%

12/04 a 11/05 19.06% 20.08% 21.10% 22.12% 23.14% 24.16% 25.18% 26.20%

01/05 a 12/05 19.04% 20.16% 21.29% 22.41% 23.53% 24.65% 25.78% 26.90%

02/05 a 01/06 19.10% 23.13% 27.15% 31.18% 35.20% 39.23% 43.26% 47.28%

03/05 a 02/06 19.02% 21.25% 23.47% 25.70% 27.93% 30.15% 32.38% 34.61%

04/05 a 03/06 18.89% 21.46% 24.03% 26.61% 29.18% 31.75% 34.32% 36.90%

05/05 a 04/06 18.50% 23.25% 28.01% 32.76% 37.51% 42.26% 47.02% 51.77%

06/05 a 05/06 18.25% 20.97% 23.70% 26.42% 29.14% 31.86% 34.59% 37.31%

07/05 a 06/06 17.77% 20.75% 23.73% 26.72% 29.70% 32.68% 35.66% 38.65%

08/05 a 07/06 17.38% 19.65% 21.92% 24.19% 26.46% 28.73% 31.00% 33.27%

09/05 a 08/06 16.91% 18.57% 20.23% 21.89% 23.55% 25.20% 26.86% 28.52%

10/05 a 09/06 16.41% 16.40% 16.39% 16.38% 16.38% 16.37% 16.36% 16.35%

11/05 a 10/06 16.04% 17.36% 18.68% 20.00% 21.31% 22.63% 23.95% 25.27%

12/05 a 11/06 15.63% 16.74% 17.84% 18.95% 20.06% 21.17% 22.27% 23.38%

01/06 a 12/06 15.08% 17.12% 19.15% 21.19% 23.22% 25.26% 27.30% 29.33%

02/06 a 01/07 14.68% 14.86% 15.03% 15.21% 15.39% 15.57% 15.74% 15.92%

03/06 a 02/07 14.37% 14.04% 13.71% 13.38% 13.05% 12.72% 12.39% 12.06%

04/06 a 03/07 13.95% 14.33% 14.71% 15.10% 15.48% 15.86% 16.24% 16.62%

05/06 a 04/07 13.79% 14.47% 15.15% 15.84% 16.52% 17.20% 17.88% 18.57%

06/06 a 05/07 13.51% 16.31% 19.11% 21.91% 24.72% 27.52% 30.32% 33.12%

07/06 a 06/07 13.21% 16.71% 20.21% 23.71% 27.21% 30.72% 34.22% 37.72%

08/06 a 07/07 12.98% 16.40% 19.83% 23.25% 26.67% 30.10% 33.52% 36.95%

09/06 a 08/07 12.68% 16.10% 19.52% 22.94% 26.36% 29.78% 33.21% 36.63%

10/06 a 09/07 12.39% 17.97% 23.56% 29.14% 34.72% 40.31% 45.89% 51.48%

11/06 a 10/07 12.21% 17.03% 21.85% 26.67% 31.49% 36.31% 41.13% 45.95%

12/06 a 11/07 12.01% 16.10% 20.19% 24.28% 28.38% 32.47% 36.56% 40.65%

01/07 a 12/07 11.85% 14.51% 17.16% 19.82% 22.48% 25.13% 27.79% 30.44%

02/07 a 01/08 11.68% 14.14% 16.60% 19.06% 21.52% 23.99% 26.45% 28.91%

03/07 a 02/08 11.60% 15.26% 18.92% 22.58% 26.24% 29.90% 33.56% 37.22%

04/07 a 03/08 11.37% 14.00% 16.63% 19.26% 21.89% 24.52% 27.15% 29.78%

05/07 a 04/08 11.33% 14.22% 17.11% 20.00% 22.88% 25.77% 28.66% 31.55%

06/07 a 05/08 11.16% 13.50% 15.84% 18.19% 20.53% 22.87% 25.21% 27.56%

Page 7: Triade Do Dinheiro - Fronteira Eficiente

07/07 a 06/08 11.21% 11.54% 11.87% 12.19% 12.52% 12.85% 13.18% 13.51%

08/07 a 07/08 11.32% 10.81% 10.31% 9.80% 9.30% 8.79% 8.29% 7.78%

09/07 a 08/08 11.35% 10.28% 9.20% 8.13% 7.05% 5.98% 4.90% 3.83%

10/07 a 09/08 11.68% 8.50% 5.32% 2.14% -1.04% -4.22% -7.40% -10.58%

11/07 a 10/08 11.96% 6.58% 1.20% -4.18% -9.56% -14.94% -20.32% -25.70%

12/07 a 11/08 12.16% 6.73% 1.31% -4.12% -9.54% -14.97% -20.39% -25.82%

01/08 a 12/08 12.47% 7.20% 1.93% -3.34% -8.61% -13.88% -19.14% -24.41%

02/08 a 01/09 12.60% 7.78% 2.95% -1.87% -6.70% -11.53% -16.35% -21.18%

03/08 a 02/09 12.67% 7.32% 1.97% -3.37% -8.72% -14.06% -19.41% -24.75%

04/08 a 03/09 12.81% 8.05% 3.29% -1.47% -6.24% -11.00% -15.76% -20.52%

05/08 a 04/09 12.74% 8.29% 3.83% -0.63% -5.08% -9.54% -13.99% -18.45%

06/08 a 05/09 12.62% 8.74% 4.86% 0.98% -2.90% -6.78% -10.66% -14.54%

07/08 a 06/09 12.41% 9.28% 6.16% 3.04% -0.08% -3.21% -6.33% -9.45%

08/08 a 07/09

09/08 a 08/09

10/08 a 09/09

11/08 a 10/09

12/08 a 11/09

01/09 a 12/09

Page 8: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosSelic Ibov Retorno Risco (DP)100% 0% 22.36% 10.36%

20s/80i 10s/90i Ibov 90% 10% 22.61% 10.32%

31.56% 35.37% 39.22% 80% 20% 22.86% 11.73%

24.37% 24.62% 24.87% 70% 30% 23.11% 14.16%

0.0637 0.0639 0.0641 60% 40% 23.36% 17.20%

1.0139 1.0177 1.0199 50% 50% 23.61% 20.56%

-27.55% -33.57% -39.65% 40% 60% 23.86% 24.12%

30% 70% 24.12% 27.80%

20% 80% 24.37% 31.56%

10% 90% 24.62% 35.37%

0% 100% 24.87% 39.22%

Sharpe20s/80i 10s/90i Ibov Selic 90s/10i 80s/20i 70s/30i 60s/40i12.86% 6.62% 0.38% 6.06 -0.61 -1.06 -1.32 -1.45

6.28% -0.25% -6.77% 5.64 -0.63 -1.11 -1.38 -1.52

-3.05% -10.60% -18.15% 5.54 -0.73 -1.29 -1.60 -1.76

-0.51% -7.73% -14.94% 5.52 -0.70 -1.23 -1.53 -1.68

1.05% -5.87% -12.79% 5.44 -0.67 -1.18 -1.47 -1.61

5.65% -0.47% -6.58% 5.27 -0.59 -1.04 -1.30 -1.42

12.27% 7.17% 2.07% 5.12 -0.49 -0.87 -1.08 -1.19

36.03% 34.05% 32.07% 5.01 -0.19 -0.34 -0.42 -0.46

66.16% 68.11% 70.06% 4.88 0.19 0.33 0.41 0.45

68.02% 70.57% 73.12% 4.60 0.25 0.44 0.54 0.59

35.52% 34.39% 33.26% 4.30 -0.11 -0.19 -0.24 -0.26

47.75% 48.54% 49.33% 4.00 0.08 0.13 0.17 0.18

64.74% 68.01% 71.27% 3.73 0.32 0.56 0.69 0.76

56.90% 59.54% 62.17% 3.46 0.26 0.45 0.56 0.61

38.72% 39.39% 40.06% 3.22 0.06 0.11 0.14 0.16

41.28% 42.50% 43.72% 3.05 0.12 0.21 0.26 0.28

55.59% 58.79% 61.99% 2.89 0.31 0.55 0.68 0.74

49.71% 52.35% 54.98% 2.76 0.26 0.45 0.56 0.61

52.23% 55.33% 58.44% 2.65 0.30 0.53 0.66 0.72

48.18% 50.91% 53.64% 2.54 0.26 0.47 0.58 0.63

66.39% 71.50% 76.61% 2.46 0.50 0.87 1.08 1.19

70.90% 76.66% 82.42% 2.39 0.56 0.98 1.22 1.34

81.47% 88.62% 95.76% 2.35 0.69 1.22 1.51 1.66

86.04% 93.83% 101.61% 2.29 0.75 1.33 1.65 1.81

93.63% 102.41% 111.20% 2.25 0.85 1.50 1.86 2.04

80.82% 88.05% 95.29% 2.21 0.70 1.23 1.53 1.68

54.25% 58.23% 62.20% 2.17 0.39 0.68 0.84 0.92

73.74% 80.19% 86.65% 2.13 0.63 1.10 1.37 1.50

43.12% 45.78% 48.44% 2.11 0.26 0.45 0.56 0.62

39.26% 41.25% 43.24% 2.25 0.19 0.34 0.42 0.46

45.49% 48.08% 50.67% 2.39 0.25 0.44 0.55 0.60

23.73% 23.46% 23.19% 2.50 -0.03 -0.05 -0.06 -0.06

21.93% 21.36% 20.80% 2.56 -0.06 -0.10 -0.12 -0.13

29.07% 29.30% 29.54% 2.62 0.02 0.04 0.05 0.05

16.83% 15.53% 14.22% 2.63 -0.13 -0.22 -0.28 -0.30

-6.90% -11.18% -15.46% 2.64 -0.41 -0.73 -0.91 -0.99

-13.54% -18.65% -23.75% 2.64 -0.49 -0.87 -1.08 -1.19

-6.57% -10.82% -15.07% 2.65 -0.41 -0.72 -0.90 -0.99

-19.80% -25.69% -31.58% 2.63 -0.57 -1.00 -1.25 -1.37

-35.15% -43.09% -51.04% 2.74 -0.77 -1.36 -1.68 -1.85

Page 9: Triade Do Dinheiro - Fronteira Eficiente

-13.06% -18.44% -23.83% 2.90 -0.52 -0.92 -1.14 -1.25

-3.25% -7.35% -11.44% 2.85 -0.40 -0.70 -0.87 -0.95

-21.26% -27.51% -33.77% 2.78 -0.61 -1.07 -1.32 -1.46

-3.05% -6.95% -10.85% 2.72 -0.38 -0.67 -0.83 -0.91

-6.45% -10.82% -15.19% 2.75 -0.42 -0.74 -0.93 -1.02

0.47% -3.21% -6.89% 2.89 -0.36 -0.63 -0.78 -0.86

5.65% 2.52% -0.62% 2.97 -0.30 -0.53 -0.66 -0.73

18.28% 16.66% 15.04% 3.01 -0.16 -0.28 -0.34 -0.38

20.74% 19.42% 18.10% 3.02 -0.13 -0.23 -0.28 -0.31

4.71% 1.39% -1.93% 3.02 -0.32 -0.57 -0.70 -0.77

52.37% 54.99% 57.61% 3.03 0.25 0.45 0.56 0.61

73.12% 78.50% 83.88% 2.91 0.52 0.92 1.14 1.25

50.94% 53.79% 56.64% 2.72 0.28 0.49 0.60 0.66

55.22% 58.80% 62.38% 2.57 0.35 0.61 0.76 0.83

120.25% 132.08% 143.91% 2.47 1.15 2.02 2.51 2.75

73.60% 79.72% 85.83% 2.38 0.59 1.04 1.29 1.42

80.86% 88.02% 95.18% 2.28 0.69 1.22 1.52 1.67

49.44% 52.96% 56.47% 2.06 0.34 0.60 0.74 0.82

32.61% 34.18% 35.75% 1.94 0.15 0.27 0.33 0.36

35.75% 37.78% 39.82% 1.88 0.20 0.35 0.43 0.47

40.59% 43.27% 45.95% 1.85 0.26 0.46 0.57 0.62

51.36% 55.44% 59.52% 1.81 0.40 0.70 0.86 0.95

52.69% 56.96% 61.23% 1.79 0.41 0.73 0.90 0.99

37.22% 39.60% 41.97% 1.76 0.23 0.41 0.50 0.55

24.22% 24.99% 25.75% 1.75 0.07 0.13 0.16 0.18

1.06% -1.04% -3.15% 1.73 -0.20 -0.36 -0.45 -0.49

-3.62% -6.26% -8.89% 1.68 -0.26 -0.45 -0.56 -0.61

5.94% 4.53% 3.12% 1.66 -0.14 -0.24 -0.30 -0.33

-3.50% -6.03% -8.56% 1.61 -0.25 -0.43 -0.54 -0.59

-11.84% -15.38% -18.93% 1.59 -0.34 -0.60 -0.75 -0.82

0.04% -2.00% -4.04% 1.58 -0.20 -0.35 -0.43 -0.47

-0.17% -2.22% -4.27% 1.56 -0.20 -0.35 -0.43 -0.48

-8.64% -11.73% -14.82% 1.55 -0.30 -0.53 -0.65 -0.72

-9.25% -12.44% -15.63% 1.57 -0.31 -0.54 -0.68 -0.74

-18.44% -22.81% -27.18% 1.59 -0.42 -0.75 -0.93 -1.02

-22.68% -27.59% -32.51% 1.61 -0.48 -0.84 -1.04 -1.14

-15.03% -19.02% -23.01% 1.63 -0.39 -0.68 -0.85 -0.93

2.82% 1.03% -0.75% 1.65 -0.17 -0.30 -0.38 -0.42

-4.59% -7.33% -10.07% 1.67 -0.27 -0.47 -0.58 -0.64

-17.04% -21.37% -25.71% 1.70 -0.42 -0.74 -0.92 -1.01

-6.52% -9.58% -12.63% 1.73 -0.30 -0.52 -0.65 -0.71

0.66% -1.51% -3.68% 1.74 -0.21 -0.37 -0.46 -0.50

-9.00% -12.42% -15.84% 1.77 -0.33 -0.58 -0.72 -0.80

-7.84% -11.13% -14.41% 1.78 -0.32 -0.56 -0.70 -0.76

-16.43% -20.80% -25.17% 1.79 -0.42 -0.74 -0.92 -1.02

-19.48% -24.24% -28.99% 1.79 -0.46 -0.81 -1.01 -1.11

-11.46% -15.19% -18.92% 1.77 -0.36 -0.64 -0.79 -0.87

-7.77% -11.05% -14.32% 1.78 -0.32 -0.56 -0.69 -0.76

-5.04% -8.00% -10.95% 1.79 -0.29 -0.50 -0.63 -0.69

-12.22% -16.10% -19.97% 1.81 -0.38 -0.66 -0.82 -0.90

-9.26% -12.81% -16.36% 1.85 -0.34 -0.61 -0.75 -0.83

-7.11% -10.46% -13.81% 1.90 -0.32 -0.57 -0.71 -0.78

-18.45% -23.30% -28.15% 1.97 -0.47 -0.83 -1.03 -1.13

-6.97% -10.45% -13.92% 2.01 -0.34 -0.59 -0.74 -0.81

6.00% 4.08% 2.17% 2.06 -0.19 -0.33 -0.41 -0.45

7.99% 6.24% 4.49% 2.12 -0.17 -0.30 -0.37 -0.41

22.14% 22.08% 22.03% 2.18 -0.01 -0.01 -0.01 -0.01

32.28% 33.41% 34.53% 2.25 0.11 0.19 0.24 0.26

Page 10: Triade Do Dinheiro - Fronteira Eficiente

43.08% 45.50% 47.93% 2.28 0.24 0.41 0.51 0.56

72.22% 78.24% 84.26% 2.32 0.58 1.03 1.28 1.40

70.90% 76.76% 82.61% 2.32 0.57 1.00 1.24 1.36

78.56% 85.41% 92.26% 2.30 0.66 1.17 1.45 1.59

79.43% 86.44% 93.45% 2.25 0.68 1.20 1.49 1.63

84.25% 91.97% 99.69% 2.17 0.75 1.32 1.63 1.80

98.97% 108.65% 118.32% 2.08 0.94 1.65 2.05 2.25

80.52% 87.94% 95.37% 2.04 0.72 1.27 1.57 1.73

47.14% 50.49% 53.85% 1.96 0.33 0.57 0.71 0.78

42.09% 44.92% 47.75% 1.87 0.27 0.48 0.60 0.66

52.23% 56.43% 60.62% 1.80 0.41 0.72 0.89 0.98

60.34% 65.66% 70.98% 1.71 0.52 0.91 1.13 1.24

40.75% 43.69% 46.64% 1.66 0.29 0.50 0.62 0.68

38.08% 40.75% 43.43% 1.61 0.26 0.46 0.57 0.62

23.79% 24.73% 25.68% 1.56 0.09 0.16 0.20 0.22

21.60% 22.29% 22.97% 1.55 0.07 0.12 0.15 0.16

14.93% 14.77% 14.61% 1.57 -0.02 -0.03 -0.03 -0.04

11.95% 11.40% 10.85% 1.58 -0.05 -0.09 -0.12 -0.13

21.90% 22.58% 23.25% 1.59 0.07 0.11 0.14 0.16

17.91% 18.07% 18.22% 1.61 0.01 0.03 0.03 0.04

23.67% 24.51% 25.35% 1.64 0.08 0.14 0.18 0.20

29.66% 31.21% 32.76% 1.67 0.15 0.26 0.33 0.36

18.39% 18.48% 18.56% 1.71 0.01 0.01 0.02 0.02

17.31% 17.23% 17.15% 1.73 -0.01 -0.01 -0.02 -0.02

23.04% 23.63% 24.21% 1.77 0.06 0.10 0.12 0.14

30.92% 32.45% 33.98% 1.80 0.15 0.26 0.32 0.36

30.00% 31.39% 32.77% 1.82 0.13 0.24 0.29 0.32

27.22% 28.24% 29.26% 1.84 0.10 0.17 0.22 0.24

28.02% 29.14% 30.27% 1.84 0.11 0.19 0.24 0.26

51.31% 55.33% 59.36% 1.84 0.39 0.69 0.85 0.94

36.83% 39.06% 41.29% 1.84 0.22 0.38 0.47 0.52

39.47% 42.04% 44.61% 1.82 0.25 0.44 0.54 0.60

56.52% 61.28% 66.03% 1.79 0.46 0.81 1.01 1.11

40.03% 42.75% 45.48% 1.76 0.26 0.46 0.58 0.63

41.63% 44.61% 47.59% 1.72 0.29 0.51 0.63 0.69

35.54% 37.81% 40.08% 1.68 0.22 0.39 0.48 0.53

30.18% 31.84% 33.50% 1.63 0.16 0.28 0.35 0.39

16.34% 16.33% 16.33% 1.58 0.00 0.00 0.00 0.00

26.59% 27.91% 29.23% 1.55 0.13 0.22 0.28 0.31

24.49% 25.60% 26.70% 1.51 0.11 0.19 0.23 0.26

31.37% 33.40% 35.44% 1.46 0.20 0.35 0.43 0.47

16.10% 16.27% 16.45% 1.42 0.02 0.03 0.04 0.04

11.73% 11.40% 11.08% 1.39 -0.03 -0.06 -0.07 -0.08

17.01% 17.39% 17.77% 1.35 0.04 0.07 0.08 0.09

19.25% 19.93% 20.61% 1.33 0.07 0.12 0.14 0.16

35.92% 38.72% 41.52% 1.30 0.27 0.48 0.59 0.65

41.22% 44.72% 48.22% 1.28 0.34 0.60 0.74 0.81

40.37% 43.79% 47.22% 1.25 0.33 0.58 0.73 0.80

40.05% 43.47% 46.89% 1.22 0.33 0.58 0.72 0.80

57.06% 62.64% 68.23% 1.20 0.54 0.95 1.18 1.30

50.77% 55.59% 60.41% 1.18 0.47 0.82 1.02 1.12

44.74% 48.83% 52.92% 1.16 0.40 0.70 0.87 0.95

33.10% 35.76% 38.41% 1.14 0.26 0.45 0.56 0.62

31.37% 33.83% 36.29% 1.13 0.24 0.42 0.52 0.57

40.88% 44.54% 48.20% 1.12 0.35 0.62 0.78 0.85

32.41% 35.04% 37.67% 1.10 0.25 0.45 0.56 0.61

34.44% 37.33% 40.22% 1.09 0.28 0.49 0.61 0.67

29.90% 32.24% 34.58% 1.08 0.23 0.40 0.50 0.54

Page 11: Triade Do Dinheiro - Fronteira Eficiente

13.84% 14.16% 14.49% 1.08 0.03 0.06 0.07 0.08

7.27% 6.77% 6.26% 1.09 -0.05 -0.09 -0.11 -0.12

2.75% 1.68% 0.60% 1.10 -0.10 -0.18 -0.23 -0.25

-13.76% -16.94% -20.12% 1.13 -0.31 -0.54 -0.67 -0.74

-31.07% -36.45% -41.83% 1.15 -0.52 -0.92 -1.14 -1.25

-31.24% -36.67% -42.10% 1.17 -0.53 -0.93 -1.15 -1.26

-29.68% -34.95% -40.22% 1.20 -0.51 -0.90 -1.12 -1.23

-26.00% -30.83% -35.66% 1.22 -0.47 -0.82 -1.02 -1.12

-30.10% -35.45% -40.79% 1.22 -0.52 -0.91 -1.13 -1.24

-25.28% -30.04% -34.81% 1.24 -0.46 -0.81 -1.01 -1.11

-22.91% -27.36% -31.82% 1.23 -0.43 -0.76 -0.94 -1.04

-18.42% -22.30% -26.18% 1.22 -0.38 -0.66 -0.82 -0.90

-12.57% -15.70% -18.82% 1.20 -0.30 -0.53 -0.66 -0.73

Page 12: Triade Do Dinheiro - Fronteira Eficiente

50s/50i 40s/60i 30s/70i 20s/80i 10s/90i Ibov-1.52 -1.55 -1.57 -1.58 -1.59 -1.59

-1.59 -1.62 -1.64 -1.65 -1.66 -1.66

-1.84 -1.88 -1.90 -1.91 -1.92 -1.92

-1.75 -1.79 -1.82 -1.83 -1.84 -1.84

-1.68 -1.72 -1.74 -1.75 -1.76 -1.76

-1.49 -1.52 -1.54 -1.55 -1.56 -1.56

-1.24 -1.27 -1.28 -1.29 -1.30 -1.30

-0.48 -0.49 -0.50 -0.50 -0.50 -0.51

0.47 0.49 0.49 0.49 0.50 0.50

0.62 0.63 0.64 0.65 0.65 0.65

-0.27 -0.28 -0.28 -0.29 -0.29 -0.29

0.19 0.20 0.20 0.20 0.20 0.20

0.79 0.81 0.82 0.83 0.83 0.83

0.64 0.66 0.66 0.67 0.67 0.67

0.16 0.17 0.17 0.17 0.17 0.17

0.30 0.30 0.31 0.31 0.31 0.31

0.78 0.80 0.81 0.81 0.81 0.82

0.64 0.66 0.66 0.67 0.67 0.67

0.75 0.77 0.78 0.79 0.79 0.79

0.66 0.68 0.69 0.69 0.69 0.70

1.24 1.27 1.29 1.30 1.30 1.30

1.40 1.43 1.45 1.46 1.47 1.47

1.74 1.78 1.80 1.81 1.82 1.82

1.89 1.94 1.96 1.97 1.98 1.98

2.14 2.19 2.21 2.23 2.24 2.24

1.76 1.80 1.82 1.83 1.84 1.84

0.97 0.99 1.00 1.01 1.01 1.01

1.57 1.61 1.63 1.64 1.64 1.65

0.65 0.66 0.67 0.67 0.68 0.68

0.48 0.49 0.50 0.50 0.51 0.51

0.63 0.64 0.65 0.66 0.66 0.66

-0.07 -0.07 -0.07 -0.07 -0.07 -0.07

-0.14 -0.14 -0.14 -0.14 -0.14 -0.15

0.06 0.06 0.06 0.06 0.06 0.06

-0.32 -0.32 -0.33 -0.33 -0.33 -0.33

-1.04 -1.06 -1.08 -1.08 -1.09 -1.09

-1.24 -1.27 -1.29 -1.29 -1.30 -1.30

-1.03 -1.06 -1.07 -1.08 -1.08 -1.08

-1.43 -1.46 -1.48 -1.49 -1.50 -1.50

-1.93 -1.98 -2.00 -2.01 -2.02 -2.03

Page 13: Triade Do Dinheiro - Fronteira Eficiente

-1.31 -1.34 -1.36 -1.36 -1.37 -1.37

-1.00 -1.02 -1.03 -1.04 -1.04 -1.04

-1.52 -1.56 -1.57 -1.59 -1.59 -1.59

-0.95 -0.97 -0.98 -0.99 -0.99 -0.99

-1.06 -1.09 -1.10 -1.11 -1.11 -1.11

-0.89 -0.92 -0.93 -0.93 -0.94 -0.94

-0.76 -0.78 -0.79 -0.79 -0.80 -0.80

-0.39 -0.40 -0.41 -0.41 -0.41 -0.41

-0.32 -0.33 -0.33 -0.33 -0.34 -0.34

-0.81 -0.83 -0.84 -0.84 -0.84 -0.85

0.64 0.65 0.66 0.66 0.67 0.67

1.31 1.34 1.35 1.36 1.37 1.37

0.69 0.71 0.72 0.72 0.73 0.73

0.87 0.89 0.90 0.91 0.91 0.91

2.88 2.94 2.98 3.00 3.01 3.02

1.49 1.52 1.54 1.55 1.56 1.56

1.74 1.78 1.80 1.82 1.82 1.83

0.85 0.87 0.89 0.89 0.89 0.90

0.38 0.39 0.39 0.40 0.40 0.40

0.50 0.51 0.51 0.52 0.52 0.52

0.65 0.67 0.68 0.68 0.68 0.68

0.99 1.01 1.03 1.03 1.04 1.04

1.04 1.06 1.07 1.08 1.09 1.09

0.58 0.59 0.60 0.60 0.60 0.61

0.19 0.19 0.19 0.19 0.19 0.19

-0.51 -0.52 -0.53 -0.53 -0.54 -0.54

-0.64 -0.66 -0.66 -0.67 -0.67 -0.67

-0.34 -0.35 -0.36 -0.36 -0.36 -0.36

-0.61 -0.63 -0.64 -0.64 -0.64 -0.64

-0.86 -0.88 -0.89 -0.90 -0.90 -0.90

-0.50 -0.51 -0.51 -0.52 -0.52 -0.52

-0.50 -0.51 -0.52 -0.52 -0.52 -0.52

-0.75 -0.77 -0.78 -0.78 -0.79 -0.79

-0.78 -0.79 -0.80 -0.81 -0.81 -0.81

-1.06 -1.09 -1.10 -1.11 -1.11 -1.11

-1.19 -1.22 -1.24 -1.25 -1.25 -1.25

-0.97 -0.99 -1.00 -1.01 -1.02 -1.02

-0.43 -0.44 -0.45 -0.45 -0.45 -0.46

-0.67 -0.68 -0.69 -0.69 -0.70 -0.70

-1.05 -1.08 -1.09 -1.10 -1.10 -1.10

-0.74 -0.76 -0.77 -0.77 -0.78 -0.78

-0.53 -0.54 -0.55 -0.55 -0.55 -0.55

-0.83 -0.85 -0.86 -0.87 -0.87 -0.87

-0.80 -0.82 -0.83 -0.83 -0.84 -0.84

-1.06 -1.09 -1.10 -1.11 -1.11 -1.11

-1.16 -1.18 -1.20 -1.20 -1.21 -1.21

-0.91 -0.93 -0.94 -0.95 -0.95 -0.95

-0.80 -0.81 -0.82 -0.83 -0.83 -0.84

-0.72 -0.73 -0.74 -0.75 -0.75 -0.75

-0.94 -0.96 -0.97 -0.98 -0.99 -0.99

-0.86 -0.88 -0.89 -0.90 -0.90 -0.91

-0.81 -0.83 -0.84 -0.85 -0.85 -0.85

-1.18 -1.21 -1.22 -1.23 -1.23 -1.24

-0.85 -0.86 -0.88 -0.88 -0.88 -0.89

-0.47 -0.48 -0.48 -0.49 -0.49 -0.49

-0.43 -0.43 -0.44 -0.44 -0.44 -0.45

-0.01 -0.01 -0.01 -0.02 -0.02 -0.02

0.27 0.28 0.28 0.29 0.29 0.29

Page 14: Triade Do Dinheiro - Fronteira Eficiente

0.59 0.60 0.61 0.61 0.62 0.62

1.46 1.50 1.52 1.53 1.53 1.54

1.42 1.46 1.47 1.48 1.49 1.49

1.67 1.70 1.72 1.74 1.74 1.75

1.70 1.74 1.77 1.78 1.78 1.79

1.88 1.92 1.94 1.96 1.96 1.97

2.35 2.41 2.44 2.45 2.46 2.47

1.81 1.85 1.87 1.88 1.89 1.89

0.82 0.83 0.84 0.85 0.85 0.86

0.69 0.70 0.71 0.72 0.72 0.72

1.02 1.04 1.06 1.06 1.07 1.07

1.29 1.32 1.34 1.35 1.35 1.36

0.72 0.73 0.74 0.75 0.75 0.75

0.65 0.66 0.67 0.68 0.68 0.68

0.23 0.24 0.24 0.24 0.24 0.24

0.17 0.17 0.17 0.17 0.17 0.17

-0.04 -0.04 -0.04 -0.04 -0.04 -0.04

-0.13 -0.14 -0.14 -0.14 -0.14 -0.14

0.16 0.17 0.17 0.17 0.17 0.17

0.04 0.04 0.04 0.04 0.04 0.04

0.20 0.21 0.21 0.21 0.21 0.21

0.38 0.39 0.39 0.39 0.39 0.39

0.02 0.02 0.02 0.02 0.02 0.02

-0.02 -0.02 -0.02 -0.02 -0.02 -0.02

0.14 0.14 0.15 0.15 0.15 0.15

0.37 0.38 0.39 0.39 0.39 0.39

0.34 0.35 0.35 0.35 0.35 0.35

0.25 0.25 0.26 0.26 0.26 0.26

0.27 0.28 0.28 0.28 0.29 0.29

0.98 1.00 1.01 1.02 1.02 1.03

0.54 0.55 0.56 0.56 0.57 0.57

0.63 0.64 0.65 0.65 0.65 0.66

1.16 1.18 1.20 1.20 1.21 1.21

0.66 0.68 0.69 0.69 0.69 0.69

0.73 0.74 0.75 0.76 0.76 0.76

0.55 0.56 0.57 0.58 0.58 0.58

0.40 0.41 0.42 0.42 0.42 0.42

0.00 0.00 0.00 0.00 0.00 0.00

0.32 0.33 0.33 0.33 0.34 0.34

0.27 0.28 0.28 0.28 0.28 0.28

0.50 0.51 0.51 0.52 0.52 0.52

0.04 0.04 0.04 0.04 0.05 0.05

-0.08 -0.08 -0.08 -0.08 -0.08 -0.08

0.09 0.10 0.10 0.10 0.10 0.10

0.17 0.17 0.17 0.17 0.17 0.17

0.68 0.70 0.71 0.71 0.71 0.71

0.85 0.87 0.88 0.89 0.89 0.89

0.83 0.85 0.86 0.87 0.87 0.87

0.83 0.85 0.86 0.87 0.87 0.87

1.36 1.39 1.41 1.42 1.42 1.42

1.17 1.20 1.21 1.22 1.23 1.23

0.99 1.02 1.03 1.04 1.04 1.04

0.65 0.66 0.67 0.67 0.68 0.68

0.60 0.61 0.62 0.62 0.63 0.63

0.89 0.91 0.92 0.93 0.93 0.93

0.64 0.65 0.66 0.67 0.67 0.67

0.70 0.72 0.73 0.73 0.73 0.74

0.57 0.58 0.59 0.59 0.60 0.60

Page 15: Triade Do Dinheiro - Fronteira Eficiente

0.08 0.08 0.08 0.08 0.08 0.08

-0.12 -0.13 -0.13 -0.13 -0.13 -0.13

-0.26 -0.27 -0.27 -0.27 -0.27 -0.27

-0.77 -0.79 -0.80 -0.81 -0.81 -0.81

-1.31 -1.34 -1.35 -1.36 -1.37 -1.37

-1.32 -1.35 -1.37 -1.38 -1.38 -1.38

-1.28 -1.31 -1.33 -1.34 -1.34 -1.34

-1.17 -1.20 -1.22 -1.22 -1.23 -1.23

-1.30 -1.33 -1.35 -1.35 -1.36 -1.36

-1.16 -1.18 -1.20 -1.21 -1.21 -1.21

-1.08 -1.11 -1.12 -1.13 -1.13 -1.14

-0.94 -0.97 -0.98 -0.98 -0.99 -0.99

-0.76 -0.78 -0.79 -0.79 -0.79 -0.80

Page 16: Triade Do Dinheiro - Fronteira Eficiente

5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00%

21.00%

21.50%

22.00%

22.50%

23.00%

23.50%

24.00%

24.50%

25.00%

25.50%

100% Selic

90% Selic / 10% Ibov

80% Selic / 20% Ibo

70% Selic / 30% Ibov

60% Selic / 40% Ibov

50% Selic / 50% Ibov

40% Selic / 60% Ibov

30% Selic / 70% Ibov

20% Selic / 80% Ibov

10% Selic / 90% Ibov

100% Ibov

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al

Page 17: Triade Do Dinheiro - Fronteira Eficiente

07

/94

a 0

6/9

51

0/9

4 a

09

/95

01

/95

a 1

2/9

50

4/9

5 a

03

/96

07

/95

a 0

6/9

61

0/9

5 a

09

/96

01

/96

a 1

2/9

60

4/9

6 a

03

/97

07

/96

a 0

6/9

71

0/9

6 a

09

/97

01

/97

a 1

2/9

70

4/9

7 a

03

/98

07

/97

a 0

6/9

81

0/9

7 a

09

/98

01

/98

a 1

2/9

80

4/9

8 a

03

/99

07

/98

a 0

6/9

91

0/9

8 a

09

/99

01

/99

a 1

2/9

90

4/9

9 a

03

/00

07

/99

a 0

6/0

01

0/9

9 a

09

/00

01

/00

a 1

2/0

00

4/0

0 a

03

/01

07

/00

a 0

6/0

11

0/0

0 a

09

/01

01

/01

a 1

2/0

10

4/0

1 a

03

/02

07

/01

a 0

6/0

21

0/0

1 a

09

/02

01

/02

a 1

2/0

20

4/0

2 a

03

/03

07

/02

a 0

6/0

31

0/0

2 a

09

/03

01

/03

a 1

2/0

30

4/0

3 a

03

/05

07

/03

a 0

6/0

41

0/0

3 a

09

/04

01

/04

a 1

2/0

40

4/0

4 a

03

/05

07

/04

a 0

6/0

51

0/0

4 a

09

/05

01

/05

a 1

2/0

50

4/0

5 a

03

/06

07

/05

a 0

6/0

61

0/0

5 a

09

/06

01

/06

a 1

2/0

60

4/0

6 a

03

/07

07

/06

a 0

6/0

71

0/0

6 a

09

/07

01

/07

a 1

2/0

70

4/0

7 a

03

/08

07

/07

a 0

6/0

81

0/0

7 a

09

/08

01

/08

a 1

2/0

80

4/0

8 a

03

/09

07

/08

a 0

6/0

9

-100.00%

-50.00%

0.00%

50.00%

100.00%

150.00%

200.00%

Retornos Anuais (12M)

SelicIbov70s/30i50s/50i30s/70i

Page 18: Triade Do Dinheiro - Fronteira Eficiente

Dolar x Ibov (1994)

Parametros Ibov 90i/10d 80i/20d 70i/30d 60i/40d 50i/50d 40i/60d 30i/70dDp Anual 39.22% 34.47% 29.88% 25.54% 21.62% 18.36% 16.19% 15.56%

Retorno Media 24.87% 23.23% 21.59% 19.94% 18.30% 16.66% 15.02% 13.38%

Sharpe Media - -0.0476 -0.1099 -0.1928 -0.3038 -0.4470 -0.6084 -0.7384

DP Sharpe - 0.1522 0.3513 0.6163 0.9710 1.4289 1.9446 2.3604

VAR IC 95% -39.65% -33.47% -27.56% -22.07% -17.26% -13.55% -11.62% -12.22%

Resolver o Sharpe: Incluir Selic para calcula-lo

Retornos AnualizadosData Ibov 90i/10d 80i/20d 70i/30d 60i/40d 50i/50d 40i/60d 30i/70d

07/94 a 06/95 0.38% 0.23% 0.09% -0.06% -0.20% -0.35% -0.49% -0.64%

08/94 a 07/95 -6.77% -6.10% -5.42% -4.74% -4.06% -3.39% -2.71% -2.03%

09/94 a 08/95 -18.15% -15.54% -12.93% -10.32% -7.71% -5.10% -2.49% 0.12%

10/94 a 09/95 -14.94% -12.27% -9.60% -6.93% -4.26% -1.59% 1.08% 3.75%

11/94 a 10/95 -12.79% -10.08% -7.37% -4.67% -1.96% 0.75% 3.46% 6.16%

12/94 a 11/95 -6.58% -4.51% -2.44% -0.37% 1.70% 3.77% 5.84% 7.91%

01/95 a 12/95 2.07% 3.41% 4.75% 6.09% 7.43% 8.77% 10.11% 11.45%

02/95 a 01/96 32.07% 30.53% 28.99% 27.45% 25.91% 24.37% 22.83% 21.29%

03/95 a 02/96 70.06% 64.59% 59.11% 53.63% 48.16% 42.68% 37.20% 31.73%

04/95 a 03/96 73.12% 66.81% 60.50% 54.19% 47.87% 41.56% 35.25% 28.94%

05/95 a 04/96 33.26% 30.82% 28.37% 25.92% 23.48% 21.03% 18.58% 16.13%

06/95 a 05/96 49.33% 45.51% 41.69% 37.86% 34.04% 30.22% 26.40% 22.58%

07/95 a 06/96 71.27% 65.01% 58.76% 52.50% 46.24% 39.98% 33.73% 27.47%

08/95 a 07/96 62.17% 56.81% 51.46% 46.10% 40.74% 35.39% 30.03% 24.67%

09/95 a 08/96 40.06% 36.79% 33.52% 30.25% 26.98% 23.71% 20.44% 17.17%

10/95 a 09/96 43.72% 40.08% 36.45% 32.81% 29.18% 25.54% 21.91% 18.27%

11/95 a 10/96 61.99% 56.52% 51.05% 45.58% 40.11% 34.64% 29.17% 23.70%

12/95 a 11/96 54.98% 50.10% 45.22% 40.34% 35.46% 30.58% 25.70% 20.83%

01/96 a 12/96 58.44% 53.31% 48.19% 43.07% 37.95% 32.83% 27.70% 22.58%

02/96 a 01/97 53.64% 48.99% 44.34% 39.69% 35.04% 30.39% 25.74% 21.09%

03/96 a 02/97 76.61% 69.67% 62.72% 55.77% 48.83% 41.88% 34.93% 27.98%

04/96 a 03/97 82.42% 74.89% 67.35% 59.82% 52.28% 44.75% 37.21% 29.68%

05/96 a 04/97 95.76% 86.89% 78.03% 69.16% 60.29% 51.42% 42.55% 33.68%

06/96 a 05/97 101.61% 92.15% 82.69% 73.23% 63.77% 54.31% 44.84% 35.38%

07/96 a 06/97 111.20% 100.88% 90.56% 80.24% 69.92% 59.60% 49.28% 38.96%

08/96 a 07/97 95.29% 86.45% 77.62% 68.78% 59.95% 51.11% 42.27% 33.44%

09/96 a 08/97 62.20% 56.66% 51.13% 45.60% 40.06% 34.53% 29.00% 23.46%

10/96 a 09/97 86.65% 78.77% 70.89% 63.01% 55.13% 47.25% 39.37% 31.49%

11/96 a 10/97 48.44% 44.27% 40.11% 35.94% 31.78% 27.62% 23.45% 19.29%

12/96 a 11/97 43.24% 39.69% 36.14% 32.60% 29.05% 25.50% 21.96% 18.41%

01/97 a 12/97 50.67% 46.37% 42.08% 37.78% 33.48% 29.18% 24.88% 20.59%

02/97 a 01/98 23.19% 21.53% 19.88% 18.23% 16.58% 14.93% 13.27% 11.62%

03/97 a 02/98 20.80% 19.48% 18.16% 16.84% 15.52% 14.21% 12.89% 11.57%

04/97 a 03/98 29.54% 27.24% 24.95% 22.66% 20.36% 18.07% 15.78% 13.48%

05/97 a 04/98 14.22% 13.56% 12.89% 12.22% 11.55% 10.89% 10.22% 9.55%

06/97 a 05/98 -15.46% -13.16% -10.87% -8.58% -6.28% -3.99% -1.70% 0.60%

07/97 a 06/98 -23.75% -20.73% -17.70% -14.68% -11.66% -8.63% -5.61% -2.59%

08/97 a 07/98 -15.07% -12.82% -10.57% -8.32% -6.08% -3.83% -1.58% 0.67%

09/97 a 08/98 -31.58% -27.68% -23.79% -19.90% -16.01% -12.12% -8.23% -4.34%

Page 19: Triade Do Dinheiro - Fronteira Eficiente

10/97 a 09/98 -51.04% -45.21% -39.38% -33.55% -27.71% -21.88% -16.05% -10.22%

11/97 a 10/98 -23.83% -20.63% -17.43% -14.23% -11.02% -7.82% -4.62% -1.42%

12/97 a 11/98 -11.44% -9.49% -7.53% -5.58% -3.62% -1.67% 0.29% 2.24%

01/98 a 12/98 -33.77% -29.68% -25.59% -21.50% -17.40% -13.31% -9.22% -5.13%

02/98 a 01/99 -10.85% -1.46% 7.93% 17.32% 26.70% 36.09% 45.48% 54.87%

03/98 a 02/99 -15.19% -5.70% 3.78% 13.26% 22.75% 32.23% 41.71% 51.20%

04/98 a 03/99 -6.89% -1.03% 4.84% 10.71% 16.57% 22.44% 28.30% 34.17%

05/98 a 04/99 -0.62% 4.13% 8.87% 13.62% 18.37% 23.11% 27.86% 32.60%

06/98 a 05/99 15.04% 18.68% 22.31% 25.95% 29.58% 33.22% 36.85% 40.49%

07/98 a 06/99 18.10% 21.65% 25.21% 28.76% 32.32% 35.87% 39.43% 42.99%

08/98 a 07/99 -1.93% 4.01% 9.96% 15.90% 21.84% 27.78% 33.73% 39.67%

09/98 a 08/99 57.61% 58.37% 59.13% 59.89% 60.65% 61.41% 62.17% 62.93%

10/98 a 09/99 83.88% 81.90% 79.91% 77.93% 75.95% 73.97% 71.99% 70.01%

11/98 a 10/99 56.64% 57.55% 58.45% 59.36% 60.27% 61.18% 62.08% 62.99%

12/98 a 11/99 62.38% 62.14% 61.91% 61.67% 61.43% 61.19% 60.95% 60.71%

01/99 a 12/99 143.91% 134.61% 125.31% 116.01% 106.71% 97.41% 88.12% 78.82%

02/99 a 01/00 85.83% 76.01% 66.19% 56.38% 46.56% 36.74% 26.93% 17.11%

03/99 a 02/00 95.18% 84.41% 73.64% 62.87% 52.11% 41.34% 30.57% 19.80%

04/99 a 03/00 56.47% 51.02% 45.56% 40.11% 34.65% 29.20% 23.74% 18.29%

05/99 a 04/00 35.75% 32.96% 30.17% 27.39% 24.60% 21.82% 19.03% 16.24%

06/99 a 05/00 39.82% 36.35% 32.88% 29.41% 25.94% 22.47% 18.99% 15.52%

07/99 a 06/00 45.95% 41.60% 37.25% 32.90% 28.54% 24.19% 19.84% 15.49%

08/99 a 07/00 59.52% 53.34% 47.16% 40.98% 34.79% 28.61% 22.43% 16.25%

09/99 a 08/00 61.23% 54.53% 47.83% 41.14% 34.44% 27.74% 21.05% 14.35%

10/99 a 09/00 41.97% 37.30% 32.62% 27.94% 23.26% 18.59% 13.91% 9.23%

11/99 a 10/00 25.75% 22.87% 19.98% 17.10% 14.21% 11.33% 8.44% 5.56%

12/99 a 11/00 -3.15% -2.65% -2.14% -1.64% -1.14% -0.64% -0.13% 0.37%

01/00 a 12/00 -8.89% -7.28% -5.68% -4.07% -2.46% -0.86% 0.75% 2.36%

02/00 a 01/01 3.12% 3.86% 4.60% 5.34% 6.08% 6.82% 7.56% 8.30%

03/00 a 02/01 -8.56% -6.30% -4.03% -1.77% 0.49% 2.76% 5.02% 7.29%

04/00 a 03/01 -18.93% -14.60% -10.27% -5.94% -1.61% 2.72% 7.05% 11.38%

05/00 a 04/01 -4.04% -1.39% 1.25% 3.90% 6.55% 9.19% 11.84% 14.49%

06/00 a 05/01 -4.27% -0.83% 2.60% 6.03% 9.46% 12.89% 16.33% 19.76%

07/00 a 06/01 -14.82% -10.36% -5.89% -1.43% 3.04% 7.51% 11.97% 16.44%

08/00 a 07/01 -15.63% -10.11% -4.59% 0.92% 6.44% 11.96% 17.48% 23.00%

09/00 a 08/01 -27.18% -20.44% -13.70% -6.96% -0.21% 6.53% 13.27% 20.01%

10/00 a 09/01 -32.51% -24.58% -16.65% -8.72% -0.80% 7.13% 15.06% 22.99%

11/00 a 10/01 -23.01% -17.12% -11.22% -5.32% 0.57% 6.47% 12.36% 18.26%

12/00 a 11/01 -0.75% 1.77% 4.30% 6.82% 9.34% 11.87% 14.39% 16.92%

01/01 a 12/01 -10.07% -7.25% -4.43% -1.61% 1.21% 4.03% 6.85% 9.67%

02/01 a 01/02 -25.71% -20.93% -16.15% -11.38% -6.60% -1.83% 2.95% 7.73%

03/01 a 02/02 -12.63% -9.89% -7.16% -4.43% -1.69% 1.04% 3.77% 6.51%

04/01 a 03/02 -3.68% -2.74% -1.81% -0.88% 0.06% 0.99% 1.92% 2.86%

05/01 a 04/02 -15.84% -13.37% -10.90% -8.43% -5.96% -3.49% -1.02% 1.45%

06/01 a 05/02 -14.41% -12.07% -9.72% -7.38% -5.04% -2.69% -0.35% 2.00%

07/01 a 06/02 -25.17% -20.36% -15.55% -10.75% -5.94% -1.14% 3.67% 8.48%

08/01 a 07/02 -28.99% -24.05% -19.10% -14.16% -9.22% -4.28% 0.66% 5.61%

09/01 a 08/02 -18.92% -14.90% -10.89% -6.87% -2.85% 1.17% 5.18% 9.20%

10/01 a 09/02 -14.32% -9.36% -4.40% 0.57% 5.53% 10.49% 15.45% 20.42%

11/01 a 10/02 -10.95% -6.27% -1.59% 3.10% 7.78% 12.46% 17.14% 21.83%

12/01 a 11/02 -19.97% -12.86% -5.75% 1.36% 8.47% 15.58% 22.69% 29.80%

01/02 a 12/02 -16.36% -9.75% -3.13% 3.49% 10.10% 16.72% 23.34% 29.95%

02/02 a 01/03 -13.81% -7.74% -1.67% 4.39% 10.46% 16.53% 22.60% 28.66%

03/02 a 02/03 -28.15% -20.32% -12.49% -4.66% 3.18% 11.01% 18.84% 26.67%

04/02 a 03/03 -13.92% -8.34% -2.75% 2.83% 8.42% 14.00% 19.59% 25.17%

05/02 a 04/03 2.17% 4.56% 6.95% 9.35% 11.74% 14.13% 16.52% 18.91%

06/02 a 05/03 4.49% 5.39% 6.28% 7.17% 8.06% 8.95% 9.84% 10.74%

07/02 a 06/03 22.03% 19.57% 17.11% 14.66% 12.20% 9.75% 7.29% 4.84%

Page 20: Triade Do Dinheiro - Fronteira Eficiente

08/02 a 07/03 34.53% 31.31% 28.08% 24.85% 21.63% 18.40% 15.17% 11.95%

09/02 a 08/03 47.93% 42.69% 37.46% 32.22% 26.99% 21.75% 16.52% 11.28%

10/02 a 09/03 84.26% 73.75% 63.25% 52.74% 42.23% 31.72% 21.21% 10.70%

11/02 a 10/03 82.61% 72.45% 62.29% 52.13% 41.96% 31.80% 21.64% 11.48%

12/02 a 11/03 92.26% 81.00% 69.73% 58.47% 47.20% 35.94% 24.68% 13.41%

01/03 a 12/03 93.45% 82.41% 71.37% 60.33% 49.29% 38.25% 27.21% 16.17%

02/03 a 01/04 99.69% 87.91% 76.13% 64.35% 52.58% 40.80% 29.02% 17.24%

03/03 a 02/04 118.32% 104.77% 91.22% 77.67% 64.12% 50.56% 37.01% 23.46%

04/03 a 03/05 95.37% 84.70% 74.04% 63.38% 52.72% 42.05% 31.39% 20.73%

05/03 a 04/04 53.85% 48.24% 42.64% 37.03% 31.43% 25.82% 20.21% 14.61%

06/03 a 05/04 47.75% 43.62% 39.50% 35.37% 31.24% 27.11% 22.98% 18.85%

07/03 a 06/04 60.62% 55.36% 50.09% 44.83% 39.57% 34.31% 29.04% 23.78%

08/03 a 07/04 70.98% 63.83% 56.67% 49.52% 42.37% 35.21% 28.06% 20.91%

09/03 a 08/04 46.64% 41.89% 37.14% 32.38% 27.63% 22.88% 18.13% 13.38%

10/03 a 09/04 43.43% 38.83% 34.24% 29.65% 25.06% 20.47% 15.88% 11.29%

11/03 a 10/04 25.68% 23.01% 20.34% 17.67% 15.00% 12.33% 9.66% 6.99%

12/03 a 11/04 22.97% 19.97% 16.97% 13.96% 10.96% 7.95% 4.95% 1.95%

01/04 a 12/04 14.61% 12.57% 10.53% 8.49% 6.45% 4.41% 2.37% 0.33%

02/04 a 01/05 10.85% 8.76% 6.67% 4.58% 2.49% 0.40% -1.69% -3.78%

03/04 a 02/05 23.25% 20.06% 16.88% 13.69% 10.50% 7.32% 4.13% 0.94%

04/04 a 03/05 18.22% 15.59% 12.96% 10.33% 7.70% 5.07% 2.43% -0.20%

05/04 a 04/05 25.35% 21.24% 17.13% 13.01% 8.90% 4.79% 0.68% -3.43%

06/04 a 05/05 32.76% 27.21% 21.65% 16.10% 10.54% 4.99% -0.57% -6.12%

07/04 a 06/05 18.56% 14.51% 10.45% 6.39% 2.34% -1.72% -5.78% -9.84%

08/04 a 07/05 17.15% 13.14% 9.14% 5.13% 1.13% -2.88% -6.89% -10.89%

09/04 a 08/05 24.21% 19.72% 15.24% 10.75% 6.27% 1.78% -2.70% -7.19%

10/04 a 09/05 33.98% 28.57% 23.17% 17.77% 12.36% 6.96% 1.55% -3.85%

11/04 a 10/05 32.77% 27.34% 21.90% 16.46% 11.03% 5.59% 0.16% -5.28%

12/04 a 11/05 29.26% 24.44% 19.62% 14.80% 9.98% 5.15% 0.33% -4.49%

01/05 a 12/05 30.27% 25.90% 21.54% 17.18% 12.82% 8.46% 4.09% -0.27%

02/05 a 01/06 59.36% 51.91% 44.45% 37.00% 29.55% 22.09% 14.64% 7.19%

03/05 a 02/06 41.29% 35.15% 29.01% 22.87% 16.73% 10.59% 4.45% -1.69%

04/05 a 03/06 44.61% 38.17% 31.73% 25.29% 18.85% 12.42% 5.98% -0.46%

05/05 a 04/06 66.03% 57.72% 49.41% 41.10% 32.79% 24.47% 16.16% 7.85%

06/05 a 05/06 45.48% 40.33% 35.19% 30.05% 24.90% 19.76% 14.62% 9.48%

07/05 a 06/06 47.59% 41.97% 36.35% 30.73% 25.11% 19.49% 13.87% 8.25%

08/05 a 07/06 40.08% 35.34% 30.60% 25.85% 21.11% 16.36% 11.62% 6.88%

09/05 a 08/06 33.50% 29.26% 25.02% 20.78% 16.54% 12.31% 8.07% 3.83%

10/05 a 09/06 16.33% 14.31% 12.29% 10.27% 8.26% 6.24% 4.22% 2.20%

11/05 a 10/06 29.23% 25.94% 22.65% 19.36% 16.08% 12.79% 9.50% 6.21%

12/05 a 11/06 26.70% 23.83% 20.96% 18.08% 15.21% 12.33% 9.46% 6.58%

01/06 a 12/06 35.44% 31.08% 26.71% 22.35% 17.98% 13.62% 9.26% 4.89%

02/06 a 01/07 16.45% 14.26% 12.06% 9.87% 7.68% 5.48% 3.29% 1.10%

03/06 a 02/07 11.08% 10.06% 9.05% 8.04% 7.02% 6.01% 5.00% 3.99%

04/06 a 03/07 17.77% 15.53% 13.30% 11.06% 8.82% 6.59% 4.35% 2.11%

05/06 a 04/07 20.61% 18.33% 16.04% 13.75% 11.46% 9.17% 6.89% 4.60%

06/06 a 05/07 41.52% 35.84% 30.15% 24.46% 18.78% 13.09% 7.40% 1.72%

07/06 a 06/07 48.22% 42.21% 36.20% 30.18% 24.17% 18.16% 12.14% 6.13%

08/06 a 07/07 47.22% 41.09% 34.96% 28.84% 22.71% 16.59% 10.46% 4.33%

09/06 a 08/07 46.89% 41.37% 35.86% 30.35% 24.83% 19.32% 13.81% 8.29%

10/06 a 09/07 68.23% 59.80% 51.37% 42.94% 34.51% 26.08% 17.65% 9.22%

11/06 a 10/07 60.41% 52.54% 44.67% 36.80% 28.93% 21.06% 13.19% 5.32%

12/06 a 11/07 52.92% 45.92% 38.92% 31.91% 24.91% 17.91% 10.90% 3.90%

01/07 a 12/07 38.41% 32.85% 27.29% 21.73% 16.16% 10.60% 5.04% -0.52%

02/07 a 01/08 36.29% 30.96% 25.62% 20.28% 14.95% 9.61% 4.27% -1.06%

03/07 a 02/08 48.20% 41.22% 34.24% 27.26% 20.28% 13.30% 6.32% -0.66%

04/07 a 03/08 37.67% 32.47% 27.27% 22.07% 16.86% 11.66% 6.46% 1.26%

05/07 a 04/08 40.22% 34.33% 28.44% 22.55% 16.67% 10.78% 4.89% -1.00%

Page 21: Triade Do Dinheiro - Fronteira Eficiente

06/07 a 05/08 34.58% 29.59% 24.59% 19.60% 14.60% 9.61% 4.61% -0.38%

07/07 a 06/08 14.49% 11.44% 8.39% 5.34% 2.28% -0.77% -3.82% -6.87%

08/07 a 07/08 6.26% 3.97% 1.67% -0.63% -2.93% -5.22% -7.52% -9.82%

09/07 a 08/08 0.60% -0.98% -2.57% -4.15% -5.74% -7.33% -8.91% -10.50%

10/07 a 09/08 -20.12% -17.52% -14.92% -12.32% -9.72% -7.12% -4.53% -1.93%

11/07 a 10/08 -41.83% -35.29% -28.75% -22.21% -15.67% -9.13% -2.59% 3.95%

12/07 a 11/08 -42.10% -34.98% -27.87% -20.75% -13.64% -6.53% 0.59% 7.70%

01/08 a 12/08 -40.22% -33.02% -25.82% -18.62% -11.42% -4.22% 2.99% 10.19%

02/08 a 01/09 -35.66% -28.82% -21.97% -15.13% -8.29% -1.45% 5.39% 12.24%

03/08 a 02/09 -40.79% -32.54% -24.30% -16.05% -7.80% 0.45% 8.70% 16.94%

04/08 a 03/09 -34.81% -28.04% -21.28% -14.51% -7.75% -0.98% 5.78% 12.54%

05/08 a 04/09 -31.82% -25.40% -18.97% -12.55% -6.12% 0.30% 6.73% 13.15%

06/08 a 05/09 -26.18% -21.50% -16.82% -12.13% -7.45% -2.77% 1.91% 6.59%

07/08 a 06/09 -18.82% -14.70% -10.58% -6.46% -2.34% 1.77% 5.89% 10.01%

Page 22: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosIbov Dolar Retorno Risco (DP)100% 0% 24.87% 39.22%

20i/80d 10i/90d Dolar 90% 10% 23.23% 34.47%

16.65% 19.17% 22.64% 80% 20% 21.59% 29.88%

11.74% 10.09% 8.45% 70% 30% 19.94% 25.54%

-0.7887 -0.7707 -0.7250 60% 40% 18.30% 21.62%

2.5210 2.4636 2.3174 50% 50% 16.66% 18.36%

-15.66% -21.44% -28.80% 40% 60% 15.02% 16.19%

30% 70% 13.38% 15.56%

20% 80% 11.74% 16.65%

10% 90% 10.09% 19.17%

0% 100% 8.45% 22.64%

Sharpe20i/80d 10i/90d Dolar Ibov 90i/10d 80i/20d 70i/30d 60i/40d-0.78% -0.93% -1.08% 0.01 0.00 -0.01 -0.02 -0.03

-1.35% -0.68% 0.00% -0.17 0.02 0.05 0.08 0.13

2.73% 5.34% 7.95% -0.46 0.08 0.17 0.31 0.48

6.42% 9.09% 11.76% -0.38 0.08 0.18 0.31 0.49

8.87% 11.58% 14.29% -0.33 0.08 0.18 0.32 0.50

9.98% 12.05% 14.12% -0.17 0.06 0.14 0.24 0.38

12.80% 14.14% 15.48% 0.05 0.04 0.09 0.16 0.25

19.75% 18.21% 16.67% 0.82 -0.04 -0.10 -0.18 -0.29

26.25% 20.77% 15.29% 1.79 -0.16 -0.37 -0.64 -1.01

22.62% 16.31% 10.00% 1.86 -0.18 -0.42 -0.74 -1.17

13.69% 11.24% 8.79% 0.85 -0.07 -0.16 -0.29 -0.45

18.75% 14.93% 11.11% 1.26 -0.11 -0.26 -0.45 -0.71

21.21% 14.95% 8.70% 1.82 -0.18 -0.42 -0.73 -1.16

19.32% 13.96% 8.60% 1.59 -0.16 -0.36 -0.63 -0.99

13.91% 10.64% 7.37% 1.02 -0.09 -0.22 -0.38 -0.60

14.64% 11.00% 7.37% 1.11 -0.11 -0.24 -0.43 -0.67

18.23% 12.76% 7.29% 1.58 -0.16 -0.37 -0.64 -1.01

15.95% 11.07% 6.19% 1.40 -0.14 -0.33 -0.57 -0.90

17.46% 12.34% 7.22% 1.49 -0.15 -0.34 -0.60 -0.95

16.44% 11.79% 7.14% 1.37 -0.13 -0.31 -0.55 -0.86

21.04% 14.09% 7.14% 1.95 -0.20 -0.47 -0.82 -1.29

22.14% 14.61% 7.07% 2.10 -0.22 -0.50 -0.88 -1.39

24.81% 15.94% 7.07% 2.44 -0.26 -0.59 -1.04 -1.64

25.92% 16.46% 7.00% 2.59 -0.27 -0.63 -1.11 -1.75

28.64% 18.32% 8.00% 2.84 -0.30 -0.69 -1.21 -1.91

24.60% 15.77% 6.93% 2.43 -0.26 -0.59 -1.04 -1.64

17.93% 12.40% 6.86% 1.59 -0.16 -0.37 -0.65 -1.02

23.60% 15.72% 7.84% 2.21 -0.23 -0.53 -0.93 -1.46

15.12% 10.96% 6.80% 1.23 -0.12 -0.28 -0.49 -0.77

14.86% 11.31% 7.77% 1.10 -0.10 -0.24 -0.42 -0.66

16.29% 11.99% 7.69% 1.29 -0.12 -0.29 -0.50 -0.80

9.97% 8.32% 6.67% 0.59 -0.05 -0.11 -0.19 -0.31

10.25% 8.94% 7.62% 0.53 -0.04 -0.09 -0.15 -0.24

11.19% 8.90% 6.60% 0.75 -0.07 -0.15 -0.27 -0.42

8.88% 8.21% 7.55% 0.36 -0.02 -0.04 -0.08 -0.12

2.89% 5.18% 7.48% -0.39 0.07 0.15 0.27 0.42

0.44% 3.46% 6.48% -0.61 0.09 0.20 0.36 0.56

2.91% 5.16% 7.41% -0.38 0.07 0.15 0.26 0.42

-0.44% 3.45% 7.34% -0.81 0.11 0.26 0.46 0.72

Page 23: Triade Do Dinheiro - Fronteira Eficiente

-4.39% 1.44% 7.27% -1.30 0.17 0.39 0.68 1.08

1.78% 4.98% 8.18% -0.61 0.09 0.21 0.38 0.59

4.20% 6.15% 8.11% -0.29 0.06 0.13 0.23 0.36

-1.04% 3.05% 7.14% -0.86 0.12 0.27 0.48 0.76

64.26% 73.65% 83.04% -0.28 0.27 0.63 1.10 1.74

60.68% 70.16% 79.65% -0.39 0.28 0.63 1.11 1.75

40.04% 45.90% 51.77% -0.18 0.17 0.39 0.69 1.09

37.35% 42.10% 46.84% -0.02 0.14 0.32 0.56 0.88

44.12% 47.76% 51.39% 0.38 0.11 0.24 0.43 0.67

46.54% 50.10% 53.65% 0.46 0.10 0.24 0.42 0.66

45.61% 51.56% 57.50% -0.05 0.17 0.40 0.70 1.10

63.69% 64.45% 65.21% 1.47 0.02 0.05 0.09 0.14

68.03% 66.05% 64.07% 2.14 -0.06 -0.13 -0.23 -0.37

63.90% 64.81% 65.71% 1.44 0.03 0.06 0.11 0.17

60.48% 60.24% 60.00% 1.59 -0.01 -0.02 -0.03 -0.04

69.52% 60.22% 50.92% 3.67 -0.27 -0.62 -1.09 -1.72

7.29% -2.52% -12.34% 2.19 -0.28 -0.66 -1.15 -1.82

9.03% -1.74% -12.51% 2.43 -0.31 -0.72 -1.26 -1.99

12.83% 7.38% 1.92% 1.44 -0.16 -0.37 -0.64 -1.01

13.46% 10.67% 7.89% 0.91 -0.08 -0.19 -0.33 -0.52

12.05% 8.58% 5.11% 1.02 -0.10 -0.23 -0.41 -0.64

11.14% 6.79% 2.43% 1.17 -0.13 -0.29 -0.51 -0.81

10.07% 3.88% -2.30% 1.52 -0.18 -0.41 -0.73 -1.14

7.65% 0.95% -5.74% 1.56 -0.19 -0.45 -0.79 -1.24

4.55% -0.13% -4.80% 1.07 -0.14 -0.31 -0.55 -0.87

2.68% -0.21% -3.09% 0.66 -0.08 -0.19 -0.34 -0.53

0.87% 1.37% 1.88% -0.08 0.01 0.03 0.06 0.09

3.96% 5.57% 7.18% -0.23 0.05 0.11 0.19 0.30

9.04% 9.78% 10.52% 0.08 0.02 0.05 0.09 0.14

9.55% 11.81% 14.08% -0.22 0.07 0.15 0.27 0.42

15.71% 20.04% 24.37% -0.48 0.13 0.29 0.51 0.80

17.13% 19.78% 22.43% -0.10 0.08 0.18 0.31 0.49

23.19% 26.62% 30.05% -0.11 0.10 0.23 0.40 0.64

20.90% 25.37% 29.83% -0.38 0.13 0.30 0.52 0.83

28.52% 34.03% 39.55% -0.40 0.16 0.37 0.65 1.02

26.75% 33.49% 40.23% -0.69 0.20 0.45 0.79 1.25

30.92% 38.84% 46.77% -0.83 0.23 0.53 0.93 1.47

24.16% 30.05% 35.95% -0.59 0.17 0.39 0.69 1.09

19.44% 21.96% 24.49% -0.02 0.07 0.17 0.30 0.47

12.49% 15.31% 18.13% -0.26 0.08 0.19 0.33 0.52

12.50% 17.28% 22.05% -0.66 0.14 0.32 0.56 0.88

9.24% 11.98% 14.71% -0.32 0.08 0.18 0.32 0.51

3.79% 4.72% 5.66% -0.09 0.03 0.06 0.11 0.17

3.92% 6.39% 8.86% -0.40 0.07 0.17 0.29 0.46

4.34% 6.69% 9.03% -0.37 0.07 0.16 0.28 0.43

13.28% 18.09% 22.89% -0.64 0.14 0.32 0.56 0.89

10.55% 15.49% 20.43% -0.74 0.14 0.33 0.58 0.91

13.22% 17.24% 21.25% -0.48 0.12 0.27 0.47 0.74

25.38% 30.34% 35.30% -0.37 0.14 0.33 0.58 0.92

26.51% 31.19% 35.87% -0.28 0.14 0.31 0.55 0.87

36.91% 44.02% 51.13% -0.51 0.21 0.48 0.84 1.32

36.57% 43.19% 49.80% -0.42 0.19 0.44 0.78 1.22

34.73% 40.80% 46.86% -0.35 0.18 0.41 0.71 1.12

34.51% 42.34% 50.17% -0.72 0.23 0.52 0.92 1.45

30.75% 36.34% 41.92% -0.35 0.16 0.37 0.66 1.03

21.31% 23.70% 26.09% 0.06 0.07 0.16 0.28 0.44

11.63% 12.52% 13.41% 0.11 0.03 0.06 0.10 0.16

2.38% -0.07% -2.53% 0.56 -0.07 -0.16 -0.29 -0.45

Page 24: Triade Do Dinheiro - Fronteira Eficiente

8.72% 5.49% 2.27% 0.88 -0.09 -0.22 -0.38 -0.60

6.05% 0.81% -4.42% 1.22 -0.15 -0.35 -0.61 -0.97

0.20% -10.31% -20.82% 2.15 -0.30 -0.70 -1.23 -1.94

1.32% -8.85% -19.01% 2.11 -0.29 -0.68 -1.19 -1.88

2.15% -9.12% -20.38% 2.35 -0.33 -0.75 -1.32 -2.08

5.14% -5.90% -16.94% 2.38 -0.32 -0.74 -1.30 -2.04

5.47% -6.31% -18.09% 2.54 -0.34 -0.79 -1.38 -2.18

9.91% -3.64% -17.19% 3.02 -0.39 -0.91 -1.59 -2.51

10.07% -0.60% -11.26% 2.43 -0.31 -0.71 -1.25 -1.97

9.00% 3.40% -2.21% 1.37 -0.16 -0.38 -0.66 -1.04

14.72% 10.59% 6.46% 1.22 -0.12 -0.28 -0.49 -0.76

18.52% 13.26% 7.99% 1.55 -0.15 -0.35 -0.62 -0.97

13.75% 6.60% -0.55% 1.81 -0.21 -0.48 -0.84 -1.32

8.63% 3.87% -0.88% 1.19 -0.14 -0.32 -0.56 -0.88

6.70% 2.11% -2.48% 1.11 -0.13 -0.31 -0.54 -0.85

4.32% 1.66% -1.01% 0.65 -0.08 -0.18 -0.31 -0.49

-1.06% -4.06% -7.06% 0.59 -0.09 -0.20 -0.35 -0.56

-1.71% -3.74% -5.78% 0.37 -0.06 -0.14 -0.24 -0.38

-5.87% -7.96% -10.05% 0.28 -0.06 -0.14 -0.25 -0.39

-2.24% -5.43% -8.62% 0.59 -0.09 -0.21 -0.37 -0.59

-2.83% -5.46% -8.09% 0.46 -0.08 -0.18 -0.31 -0.49

-7.54% -11.66% -15.77% 0.65 -0.12 -0.28 -0.48 -0.76

-11.68% -17.23% -22.79% 0.84 -0.16 -0.37 -0.65 -1.03

-13.89% -17.95% -22.01% 0.47 -0.12 -0.27 -0.48 -0.75

-14.90% -18.90% -22.91% 0.44 -0.12 -0.27 -0.47 -0.74

-11.68% -16.16% -20.65% 0.62 -0.13 -0.30 -0.53 -0.83

-9.26% -14.66% -20.06% 0.87 -0.16 -0.36 -0.63 -1.00

-10.72% -16.15% -21.59% 0.84 -0.16 -0.36 -0.64 -1.01

-9.31% -14.13% -18.95% 0.75 -0.14 -0.32 -0.57 -0.89

-4.63% -8.99% -13.36% 0.77 -0.13 -0.29 -0.51 -0.81

-0.27% -7.72% -15.17% 1.51 -0.22 -0.50 -0.88 -1.38

-7.83% -13.97% -20.11% 1.05 -0.18 -0.41 -0.72 -1.14

-6.90% -13.34% -19.78% 1.14 -0.19 -0.43 -0.76 -1.19

-0.46% -8.77% -17.08% 1.68 -0.24 -0.56 -0.98 -1.54

4.33% -0.81% -5.95% 1.16 -0.15 -0.34 -0.60 -0.95

2.64% -2.98% -8.60% 1.21 -0.16 -0.38 -0.66 -1.04

2.13% -2.61% -7.36% 1.02 -0.14 -0.32 -0.56 -0.88

-0.41% -4.65% -8.89% 0.85 -0.12 -0.28 -0.50 -0.78

0.18% -1.83% -3.85% 0.42 -0.06 -0.14 -0.24 -0.37

2.93% -0.36% -3.65% 0.75 -0.10 -0.22 -0.39 -0.61

3.71% 0.84% -2.04% 0.68 -0.08 -0.19 -0.34 -0.53

0.53% -3.84% -8.20% 0.90 -0.13 -0.29 -0.51 -0.81

-1.10% -3.29% -5.48% 0.42 -0.06 -0.15 -0.26 -0.41

2.97% 1.96% 0.95% 0.28 -0.03 -0.07 -0.12 -0.19

-0.12% -2.36% -4.59% 0.45 -0.06 -0.15 -0.26 -0.41

2.31% 0.02% -2.27% 0.53 -0.07 -0.15 -0.27 -0.42

-3.97% -9.65% -15.34% 1.06 -0.16 -0.38 -0.67 -1.05

0.12% -5.89% -11.91% 1.23 -0.17 -0.40 -0.71 -1.11

-1.79% -7.92% -14.04% 1.20 -0.18 -0.41 -0.72 -1.13

2.78% -2.73% -8.25% 1.20 -0.16 -0.37 -0.65 -1.02

0.79% -7.64% -16.07% 1.74 -0.24 -0.56 -0.99 -1.56

-2.55% -10.42% -18.29% 1.54 -0.23 -0.53 -0.92 -1.46

-3.11% -10.11% -17.11% 1.35 -0.20 -0.47 -0.82 -1.30

-6.09% -11.65% -17.21% 0.98 -0.16 -0.37 -0.65 -1.03

-6.40% -11.73% -17.07% 0.93 -0.15 -0.36 -0.63 -0.99

-7.64% -14.62% -21.60% 1.23 -0.20 -0.47 -0.82 -1.29

-3.94% -9.15% -14.35% 0.96 -0.15 -0.35 -0.61 -0.96

-6.88% -12.77% -18.66% 1.03 -0.17 -0.39 -0.69 -1.09

Page 25: Triade Do Dinheiro - Fronteira Eficiente

-5.38% -10.37% -15.37% 0.88 -0.14 -0.33 -0.59 -0.92

-9.92% -12.98% -16.03% 0.37 -0.09 -0.20 -0.36 -0.56

-12.12% -14.41% -16.71% 0.16 -0.07 -0.15 -0.27 -0.43

-12.08% -13.67% -15.25% 0.02 -0.05 -0.11 -0.19 -0.29

0.67% 3.27% 5.87% -0.51 0.08 0.17 0.31 0.48

10.49% 17.03% 23.57% -1.07 0.19 0.44 0.77 1.21

14.81% 21.93% 29.04% -1.07 0.21 0.48 0.84 1.32

17.39% 24.59% 31.79% -1.03 0.21 0.48 0.85 1.33

19.08% 25.92% 32.76% -0.91 0.20 0.46 0.80 1.27

25.19% 33.44% 41.69% -1.04 0.24 0.55 0.97 1.53

19.31% 26.07% 32.84% -0.89 0.20 0.45 0.79 1.25

19.57% 26.00% 32.42% -0.81 0.19 0.43 0.75 1.19

11.27% 15.96% 20.64% -0.67 0.14 0.31 0.55 0.87

14.13% 18.25% 22.37% -0.48 0.12 0.28 0.48 0.76

Page 26: Triade Do Dinheiro - Fronteira Eficiente

50i/50d 40i/60d 30i/70d 20i/80d 10i/90d Dolar -0.04 -0.05 -0.07 -0.07 -0.07 -0.06

0.18 0.25 0.30 0.33 0.32 0.30

0.71 0.97 1.17 1.25 1.23 1.15

0.73 0.99 1.20 1.28 1.25 1.18

0.74 1.00 1.22 1.30 1.27 1.20

0.56 0.77 0.93 0.99 0.97 0.91

0.36 0.50 0.60 0.64 0.63 0.59

-0.42 -0.57 -0.69 -0.74 -0.72 -0.68

-1.49 -2.03 -2.46 -2.63 -2.57 -2.42

-1.72 -2.34 -2.84 -3.03 -2.96 -2.79

-0.67 -0.91 -1.10 -1.18 -1.15 -1.08

-1.04 -1.42 -1.72 -1.84 -1.79 -1.69

-1.70 -2.32 -2.81 -3.01 -2.94 -2.76

-1.46 -1.99 -2.41 -2.57 -2.51 -2.37

-0.89 -1.21 -1.47 -1.57 -1.53 -1.44

-0.99 -1.35 -1.63 -1.75 -1.71 -1.61

-1.49 -2.03 -2.46 -2.63 -2.57 -2.42

-1.33 -1.81 -2.19 -2.34 -2.29 -2.15

-1.39 -1.90 -2.30 -2.46 -2.40 -2.26

-1.27 -1.72 -2.09 -2.23 -2.18 -2.05

-1.89 -2.57 -3.12 -3.34 -3.26 -3.07

-2.05 -2.79 -3.39 -3.62 -3.54 -3.33

-2.42 -3.29 -3.99 -4.26 -4.16 -3.92

-2.58 -3.51 -4.26 -4.55 -4.44 -4.18

-2.81 -3.82 -4.64 -4.96 -4.85 -4.56

-2.41 -3.27 -3.97 -4.24 -4.15 -3.90

-1.51 -2.05 -2.49 -2.66 -2.60 -2.44

-2.15 -2.92 -3.54 -3.79 -3.70 -3.48

-1.13 -1.54 -1.87 -2.00 -1.95 -1.84

-0.97 -1.31 -1.60 -1.70 -1.67 -1.57

-1.17 -1.59 -1.93 -2.06 -2.02 -1.90

-0.45 -0.61 -0.74 -0.79 -0.78 -0.73

-0.36 -0.49 -0.59 -0.63 -0.62 -0.58

-0.62 -0.85 -1.03 -1.10 -1.08 -1.01

-0.18 -0.25 -0.30 -0.32 -0.31 -0.29

0.62 0.85 1.03 1.10 1.08 1.01

0.82 1.12 1.36 1.45 1.42 1.34

0.61 0.83 1.01 1.08 1.06 0.99

1.06 1.44 1.75 1.87 1.83 1.72

Page 27: Triade Do Dinheiro - Fronteira Eficiente

1.59 2.16 2.62 2.80 2.74 2.58

0.87 1.19 1.44 1.54 1.50 1.41

0.53 0.72 0.88 0.94 0.92 0.86

1.11 1.52 1.84 1.97 1.92 1.81

2.56 3.48 4.22 4.51 4.41 4.15

2.58 3.51 4.27 4.56 4.45 4.19

1.60 2.17 2.64 2.82 2.75 2.59

1.29 1.76 2.13 2.28 2.23 2.10

0.99 1.35 1.63 1.75 1.71 1.61

0.97 1.32 1.60 1.71 1.67 1.57

1.62 2.20 2.67 2.86 2.79 2.62

0.21 0.28 0.34 0.37 0.36 0.34

-0.54 -0.73 -0.89 -0.95 -0.93 -0.87

0.25 0.34 0.41 0.44 0.43 0.40

-0.06 -0.09 -0.11 -0.11 -0.11 -0.11

-2.53 -3.45 -4.18 -4.47 -4.37 -4.11

-2.67 -3.64 -4.42 -4.72 -4.61 -4.34

-2.93 -3.99 -4.84 -5.17 -5.06 -4.76

-1.49 -2.02 -2.45 -2.62 -2.56 -2.41

-0.76 -1.03 -1.25 -1.34 -1.31 -1.23

-0.95 -1.29 -1.56 -1.67 -1.63 -1.53

-1.18 -1.61 -1.96 -2.09 -2.04 -1.92

-1.68 -2.29 -2.78 -2.97 -2.90 -2.73

-1.82 -2.48 -3.01 -3.22 -3.14 -2.96

-1.27 -1.73 -2.10 -2.25 -2.20 -2.07

-0.79 -1.07 -1.30 -1.39 -1.35 -1.27

0.14 0.19 0.23 0.24 0.24 0.22

0.44 0.60 0.72 0.77 0.75 0.71

0.20 0.27 0.33 0.36 0.35 0.33

0.62 0.84 1.02 1.09 1.06 1.00

1.18 1.60 1.95 2.08 2.03 1.91

0.72 0.98 1.19 1.27 1.24 1.17

0.93 1.27 1.54 1.65 1.61 1.52

1.22 1.65 2.01 2.15 2.10 1.97

1.50 2.04 2.48 2.65 2.59 2.44

1.84 2.50 3.03 3.24 3.16 2.98

2.16 2.94 3.57 3.81 3.72 3.50

1.61 2.19 2.65 2.83 2.77 2.60

0.69 0.94 1.14 1.21 1.18 1.11

0.77 1.05 1.27 1.35 1.32 1.25

1.30 1.77 2.15 2.29 2.24 2.11

0.74 1.01 1.23 1.31 1.28 1.21

0.25 0.35 0.42 0.45 0.44 0.41

0.67 0.92 1.11 1.19 1.16 1.09

0.64 0.87 1.05 1.13 1.10 1.04

1.31 1.78 2.16 2.31 2.26 2.12

1.35 1.83 2.22 2.37 2.32 2.18

1.09 1.49 1.81 1.93 1.89 1.77

1.35 1.84 2.23 2.38 2.33 2.19

1.28 1.74 2.11 2.25 2.20 2.07

1.94 2.63 3.20 3.42 3.34 3.14

1.80 2.45 2.98 3.18 3.11 2.92

1.65 2.25 2.73 2.91 2.85 2.68

2.13 2.90 3.52 3.76 3.68 3.46

1.52 2.07 2.51 2.68 2.62 2.47

0.65 0.89 1.08 1.15 1.12 1.06

0.24 0.33 0.40 0.43 0.42 0.39

-0.67 -0.91 -1.10 -1.18 -1.15 -1.08

Page 28: Triade Do Dinheiro - Fronteira Eficiente

-0.88 -1.20 -1.45 -1.55 -1.51 -1.42

-1.43 -1.94 -2.35 -2.51 -2.46 -2.31

-2.86 -3.89 -4.73 -5.05 -4.93 -4.64

-2.77 -3.77 -4.57 -4.88 -4.77 -4.49

-3.07 -4.17 -5.07 -5.41 -5.29 -4.97

-3.01 -4.09 -4.97 -5.30 -5.18 -4.88

-3.21 -4.36 -5.30 -5.66 -5.53 -5.20

-3.69 -5.02 -6.10 -6.51 -6.36 -5.98

-2.90 -3.95 -4.80 -5.12 -5.01 -4.71

-1.53 -2.08 -2.52 -2.69 -2.63 -2.48

-1.12 -1.53 -1.86 -1.98 -1.94 -1.82

-1.43 -1.95 -2.37 -2.53 -2.47 -2.32

-1.95 -2.65 -3.22 -3.44 -3.36 -3.16

-1.29 -1.76 -2.14 -2.28 -2.23 -2.10

-1.25 -1.70 -2.06 -2.21 -2.16 -2.03

-0.73 -0.99 -1.20 -1.28 -1.25 -1.18

-0.82 -1.11 -1.35 -1.44 -1.41 -1.33

-0.56 -0.76 -0.92 -0.98 -0.96 -0.90

-0.57 -0.77 -0.94 -1.00 -0.98 -0.92

-0.87 -1.18 -1.43 -1.53 -1.50 -1.41

-0.72 -0.97 -1.18 -1.26 -1.24 -1.16

-1.12 -1.52 -1.85 -1.98 -1.93 -1.82

-1.51 -2.06 -2.50 -2.67 -2.61 -2.45

-1.10 -1.50 -1.82 -1.95 -1.90 -1.79

-1.09 -1.48 -1.80 -1.92 -1.88 -1.77

-1.22 -1.66 -2.02 -2.15 -2.11 -1.98

-1.47 -2.00 -2.43 -2.60 -2.54 -2.39

-1.48 -2.01 -2.45 -2.61 -2.55 -2.40

-1.31 -1.79 -2.17 -2.32 -2.26 -2.13

-1.19 -1.62 -1.96 -2.10 -2.05 -1.93

-2.03 -2.76 -3.35 -3.58 -3.50 -3.29

-1.67 -2.28 -2.76 -2.95 -2.88 -2.71

-1.75 -2.39 -2.90 -3.09 -3.02 -2.84

-2.26 -3.08 -3.74 -3.99 -3.90 -3.67

-1.40 -1.91 -2.31 -2.47 -2.41 -2.27

-1.53 -2.08 -2.53 -2.70 -2.64 -2.48

-1.29 -1.76 -2.13 -2.28 -2.23 -2.09

-1.15 -1.57 -1.91 -2.04 -1.99 -1.87

-0.55 -0.75 -0.91 -0.97 -0.95 -0.89

-0.90 -1.22 -1.48 -1.58 -1.54 -1.45

-0.78 -1.07 -1.29 -1.38 -1.35 -1.27

-1.19 -1.62 -1.96 -2.10 -2.05 -1.93

-0.60 -0.81 -0.99 -1.05 -1.03 -0.97

-0.28 -0.38 -0.46 -0.49 -0.48 -0.45

-0.61 -0.83 -1.01 -1.07 -1.05 -0.99

-0.62 -0.85 -1.03 -1.10 -1.07 -1.01

-1.55 -2.11 -2.56 -2.73 -2.67 -2.51

-1.64 -2.23 -2.70 -2.89 -2.82 -2.66

-1.67 -2.27 -2.76 -2.94 -2.88 -2.71

-1.50 -2.04 -2.48 -2.65 -2.59 -2.43

-2.30 -3.12 -3.79 -4.05 -3.96 -3.72

-2.14 -2.92 -3.54 -3.78 -3.69 -3.48

-1.91 -2.60 -3.15 -3.36 -3.29 -3.09

-1.51 -2.06 -2.50 -2.67 -2.61 -2.46

-1.45 -1.98 -2.40 -2.56 -2.51 -2.36

-1.90 -2.59 -3.14 -3.35 -3.28 -3.08

-1.42 -1.93 -2.34 -2.50 -2.44 -2.30

-1.60 -2.18 -2.65 -2.83 -2.76 -2.60

Page 29: Triade Do Dinheiro - Fronteira Eficiente

-1.36 -1.85 -2.25 -2.40 -2.35 -2.21

-0.83 -1.13 -1.37 -1.47 -1.43 -1.35

-0.63 -0.85 -1.03 -1.10 -1.08 -1.01

-0.43 -0.59 -0.71 -0.76 -0.74 -0.70

0.71 0.96 1.17 1.25 1.22 1.15

1.78 2.42 2.94 3.14 3.07 2.89

1.94 2.64 3.20 3.42 3.34 3.14

1.96 2.67 3.24 3.46 3.38 3.18

1.86 2.54 3.08 3.29 3.21 3.02

2.25 3.06 3.71 3.96 3.87 3.64

1.84 2.51 3.04 3.25 3.18 2.99

1.75 2.38 2.89 3.09 3.02 2.84

1.27 1.73 2.11 2.25 2.20 2.07

1.12 1.53 1.85 1.98 1.93 1.82

Page 30: Triade Do Dinheiro - Fronteira Eficiente

10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

100% Ibov

10% Dólar / 90% Ibov

20% Dólar / 80% Ibov

30% Dólar / 70% Ibov

40% Dólar / 60% Ibov

50% Dólar / 50% Ibov

60% Dólar / 40% Ibov

70% Dólar / 30% Ibov

80% Dólar / 20% Ibovv

90% Dólar / 10% Ibov

100% Dólar

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al

Page 31: Triade Do Dinheiro - Fronteira Eficiente

Ouro x Ibov (1994)

Parametros Ibov 90i/10o 80i/20o 70i/30o 60i/40o 50i/50o 40i/60o 30i/70oDp Anual 39.22% 34.65% 30.23% 26.04% 22.20% 18.95% 16.61% 15.61%

Retorno Media 24.87% 23.82% 22.78% 21.73% 20.69% 19.64% 18.60% 17.55%

Sharpe Media - -0.0302 -0.0691 -0.1204 -0.1883 -0.2758 -0.3776 -0.4687

DP Sharpe - 0.1456 0.3338 0.5814 0.9090 1.3317 1.8231 2.2633

VAR IC 95% -39.65% -33.18% -26.95% -21.10% -15.84% -11.52% -8.72% -8.12%

Resolver o Sharpe: Incluir Selic para calcula-lo

Retornos AnualizadosData Ibov 90i/10o 80i/20o 70i/30o 60i/40o 50i/50o 40i/60o 30i/70o

07/94 a 06/95 0.38% -0.17% -0.72% -1.27% -1.81% -2.36% -2.91% -3.46%

08/94 a 07/95 -6.77% -6.17% -5.58% -4.98% -4.38% -3.78% -3.18% -2.58%

09/94 a 08/95 -18.15% -16.08% -14.01% -11.93% -9.86% -7.79% -5.72% -3.64%

10/94 a 09/95 -14.94% -12.78% -10.63% -8.47% -6.31% -4.15% -1.99% 0.16%

11/94 a 10/95 -12.79% -10.22% -7.66% -5.09% -2.52% 0.04% 2.61% 5.17%

12/94 a 11/95 -6.58% -4.33% -2.08% 0.17% 2.43% 4.68% 6.93% 9.18%

01/95 a 12/95 2.07% 3.41% 4.75% 6.09% 7.43% 8.77% 10.11% 11.45%

02/95 a 01/96 32.07% 31.52% 30.97% 30.41% 29.86% 29.31% 28.76% 28.21%

03/95 a 02/96 70.06% 65.35% 60.64% 55.93% 51.22% 46.51% 41.80% 37.09%

04/95 a 03/96 73.12% 66.96% 60.80% 54.64% 48.48% 42.32% 36.16% 30.00%

05/95 a 04/96 33.26% 31.08% 28.89% 26.71% 24.52% 22.34% 20.15% 17.96%

06/95 a 05/96 49.33% 45.80% 42.27% 38.74% 35.21% 31.68% 28.15% 24.62%

07/95 a 06/96 71.27% 65.04% 58.81% 52.59% 46.36% 40.13% 33.90% 27.67%

08/95 a 07/96 62.17% 57.04% 51.91% 46.78% 41.64% 36.51% 31.38% 26.25%

09/95 a 08/96 40.06% 36.97% 33.88% 30.79% 27.70% 24.62% 21.53% 18.44%

10/95 a 09/96 43.72% 39.97% 36.23% 32.49% 28.75% 25.01% 21.27% 17.53%

11/95 a 10/96 61.99% 56.47% 50.95% 45.43% 39.92% 34.40% 28.88% 23.36%

12/95 a 11/96 54.98% 49.82% 44.65% 39.49% 34.32% 29.16% 23.99% 18.83%

01/96 a 12/96 58.44% 52.66% 46.88% 41.10% 35.32% 29.55% 23.77% 17.99%

02/96 a 01/97 53.64% 47.34% 41.05% 34.75% 28.45% 22.16% 15.86% 9.57%

03/96 a 02/97 76.61% 68.72% 60.82% 52.92% 45.02% 37.12% 29.22% 21.32%

04/96 a 03/97 82.42% 73.67% 64.92% 56.17% 47.42% 38.67% 29.92% 21.17%

05/96 a 04/97 95.76% 85.43% 75.10% 64.77% 54.44% 44.11% 33.78% 23.45%

06/96 a 05/97 101.61% 90.85% 80.10% 69.34% 58.59% 47.83% 37.07% 26.32%

07/96 a 06/97 111.20% 99.60% 88.01% 76.41% 64.81% 53.22% 41.62% 30.02%

08/96 a 07/97 95.29% 84.84% 74.39% 63.93% 53.48% 43.03% 32.57% 22.12%

09/96 a 08/97 62.20% 55.10% 48.00% 40.90% 33.80% 26.71% 19.61% 12.51%

10/96 a 09/97 86.65% 77.42% 68.20% 58.97% 49.75% 40.52% 31.29% 22.07%

11/96 a 10/97 48.44% 42.60% 36.76% 30.92% 25.08% 19.24% 13.40% 7.56%

12/96 a 11/97 43.24% 37.53% 31.82% 26.11% 20.39% 14.68% 8.97% 3.26%

01/97 a 12/97 50.67% 44.16% 37.65% 31.14% 24.62% 18.11% 11.60% 5.09%

02/97 a 01/98 23.19% 20.41% 17.64% 14.87% 12.09% 9.32% 6.55% 3.78%

03/97 a 02/98 20.80% 17.61% 14.43% 11.25% 8.07% 4.89% 1.71% -1.48%

04/97 a 03/98 29.54% 25.95% 22.37% 18.79% 15.21% 11.63% 8.05% 4.47%

05/97 a 04/98 14.22% 12.59% 10.95% 9.31% 7.68% 6.04% 4.40% 2.77%

06/97 a 05/98 -15.46% -14.71% -13.97% -13.22% -12.48% -11.74% -10.99% -10.25%

07/97 a 06/98 -23.75% -21.87% -19.98% -18.10% -16.22% -14.34% -12.45% -10.57%

08/97 a 07/98 -15.07% -14.01% -12.95% -11.89% -10.83% -9.77% -8.71% -7.65%

09/97 a 08/98 -31.58% -29.07% -26.57% -24.06% -21.56% -19.06% -16.55% -14.05%

Page 32: Triade Do Dinheiro - Fronteira Eficiente

10/97 a 09/98 -51.04% -45.99% -40.93% -35.88% -30.83% -25.77% -20.72% -15.67%

11/97 a 10/98 -23.83% -21.46% -19.10% -16.73% -14.37% -12.00% -9.64% -7.27%

12/97 a 11/98 -11.44% -9.48% -7.53% -5.57% -3.61% -1.65% 0.31% 2.27%

01/98 a 12/98 -33.77% -29.58% -25.39% -21.21% -17.02% -12.83% -8.64% -4.45%

02/98 a 01/99 -10.85% -3.97% 2.92% 9.80% 16.69% 23.57% 30.45% 37.34%

03/98 a 02/99 -15.19% -5.27% 4.64% 14.56% 24.48% 34.39% 44.31% 54.22%

04/98 a 03/99 -6.89% -2.10% 2.70% 7.50% 12.29% 17.09% 21.89% 26.68%

05/98 a 04/99 -0.62% 3.21% 7.03% 10.86% 14.68% 18.51% 22.33% 26.16%

06/98 a 05/99 15.04% 17.48% 19.93% 22.37% 24.81% 27.25% 29.69% 32.13%

07/98 a 06/99 18.10% 19.90% 21.71% 23.52% 25.32% 27.13% 28.93% 30.74%

08/98 a 07/99 -1.93% 2.27% 6.46% 10.66% 14.86% 19.05% 23.25% 27.45%

09/98 a 08/99 57.61% 56.87% 56.14% 55.40% 54.66% 53.92% 53.18% 52.45%

10/98 a 09/99 83.88% 81.71% 79.55% 77.39% 75.23% 73.07% 70.90% 68.74%

11/98 a 10/99 56.64% 57.02% 57.40% 57.79% 58.17% 58.55% 58.93% 59.31%

12/98 a 11/99 62.38% 61.82% 61.25% 60.68% 60.11% 59.55% 58.98% 58.41%

01/99 a 12/99 143.91% 134.53% 125.14% 115.75% 106.37% 96.98% 87.59% 78.20%

02/99 a 01/00 85.83% 76.65% 67.47% 58.29% 49.11% 39.93% 30.75% 21.57%

03/99 a 02/00 95.18% 83.86% 72.53% 61.21% 49.88% 38.56% 27.23% 15.91%

04/99 a 03/00 56.47% 50.98% 45.50% 40.01% 34.52% 29.03% 23.54% 18.05%

05/99 a 04/00 35.75% 32.91% 30.08% 27.24% 24.41% 21.57% 18.73% 15.90%

06/99 a 05/00 39.82% 37.03% 34.24% 31.45% 28.65% 25.86% 23.07% 20.28%

07/99 a 06/00 45.95% 42.96% 39.97% 36.99% 34.00% 31.01% 28.02% 25.03%

08/99 a 07/00 59.52% 54.87% 50.22% 45.56% 40.91% 36.25% 31.60% 26.95%

09/99 a 08/00 61.23% 55.85% 50.47% 45.09% 39.71% 34.33% 28.95% 23.57%

10/99 a 09/00 41.97% 36.87% 31.77% 26.67% 21.56% 16.46% 11.36% 6.26%

11/99 a 10/00 25.75% 22.38% 19.00% 15.62% 12.25% 8.87% 5.49% 2.12%

12/99 a 11/00 -3.15% -3.56% -3.97% -4.38% -4.78% -5.19% -5.60% -6.01%

01/00 a 12/00 -8.89% -7.79% -6.69% -5.59% -4.49% -3.39% -2.29% -1.18%

02/00 a 01/01 3.12% 2.90% 2.67% 2.44% 2.21% 1.98% 1.76% 1.53%

03/00 a 02/01 -8.56% -7.31% -6.05% -4.80% -3.54% -2.29% -1.03% 0.22%

04/00 a 03/01 -18.93% -15.94% -12.95% -9.96% -6.97% -3.98% -0.99% 2.00%

05/00 a 04/01 -4.04% -2.66% -1.28% 0.09% 1.47% 2.85% 4.22% 5.60%

06/00 a 05/01 -4.27% -2.40% -0.54% 1.32% 3.18% 5.04% 6.90% 8.76%

07/00 a 06/01 -14.82% -11.66% -8.49% -5.33% -2.16% 1.01% 4.17% 7.34%

08/00 a 07/01 -15.63% -12.06% -8.50% -4.93% -1.37% 2.20% 5.76% 9.33%

09/00 a 08/01 -27.18% -22.43% -17.67% -12.92% -8.17% -3.42% 1.34% 6.09%

10/00 a 09/01 -32.51% -26.80% -21.10% -15.39% -9.69% -3.99% 1.72% 7.42%

11/00 a 10/01 -23.01% -15.81% -8.60% -1.39% 5.82% 13.03% 20.24% 27.44%

12/00 a 11/01 -0.75% 3.40% 7.56% 11.71% 15.87% 20.02% 24.18% 28.33%

01/01 a 12/01 -10.07% -6.64% -3.20% 0.23% 3.66% 7.09% 10.52% 13.96%

02/01 a 01/02 -25.71% -20.51% -15.31% -10.10% -4.90% 0.30% 5.50% 10.70%

03/01 a 02/02 -12.63% -8.26% -3.90% 0.47% 4.83% 9.20% 13.57% 17.93%

04/01 a 03/02 -3.68% -0.71% 2.25% 5.21% 8.17% 11.13% 14.09% 17.06%

05/01 a 04/02 -15.84% -12.21% -8.59% -4.97% -1.35% 2.28% 5.90% 9.52%

06/01 a 05/02 -14.41% -10.67% -6.92% -3.18% 0.56% 4.31% 8.05% 11.80%

07/01 a 06/02 -25.17% -19.66% -14.15% -8.64% -3.13% 2.38% 7.89% 13.40%

08/01 a 07/02 -28.99% -22.04% -15.10% -8.15% -1.20% 5.74% 12.69% 19.63%

09/01 a 08/02 -18.92% -12.36% -5.79% 0.78% 7.34% 13.91% 20.48% 27.04%

10/01 a 09/02 -14.32% -8.41% -2.49% 3.43% 9.34% 15.26% 21.18% 27.09%

11/01 a 10/02 -10.95% -5.06% 0.84% 6.73% 12.62% 18.52% 24.41% 30.30%

12/01 a 11/02 -19.97% -13.23% -6.49% 0.25% 6.99% 13.73% 20.46% 27.20%

01/02 a 12/02 -16.36% -8.08% 0.20% 8.48% 16.76% 25.04% 33.32% 41.60%

02/02 a 01/03 -13.81% -5.42% 2.97% 11.35% 19.74% 28.13% 36.52% 44.90%

03/02 a 02/03 -28.15% -16.56% -4.96% 6.63% 18.23% 29.83% 41.42% 53.02%

04/02 a 03/03 -13.92% -4.90% 4.12% 13.14% 22.16% 31.18% 40.20% 49.22%

05/02 a 04/03 2.17% 7.17% 12.18% 17.18% 22.18% 27.19% 32.19% 37.19%

06/02 a 05/03 4.49% 7.83% 11.17% 14.50% 17.84% 21.18% 24.51% 27.85%

07/02 a 06/03 22.03% 22.58% 23.13% 23.68% 24.23% 24.78% 25.33% 25.89%

Page 33: Triade Do Dinheiro - Fronteira Eficiente

08/02 a 07/03 34.53% 31.72% 28.91% 26.10% 23.29% 20.48% 17.68% 14.87%

09/02 a 08/03 47.93% 44.02% 40.11% 36.19% 32.28% 28.37% 24.46% 20.55%

10/02 a 09/03 84.26% 76.89% 69.53% 62.16% 54.79% 47.42% 40.06% 32.69%

11/02 a 10/03 82.61% 73.63% 64.64% 55.66% 46.67% 37.69% 28.70% 19.71%

12/02 a 11/03 92.26% 82.93% 73.59% 64.26% 54.92% 45.59% 36.25% 26.91%

01/03 a 12/03 93.45% 84.41% 75.38% 66.34% 57.31% 48.27% 39.23% 30.20%

02/03 a 01/04 99.69% 90.32% 80.96% 71.59% 62.22% 52.86% 43.49% 34.12%

03/03 a 02/04 118.32% 105.22% 92.12% 79.02% 65.92% 52.82% 39.72% 26.62%

04/03 a 03/05 95.37% 84.87% 74.38% 63.88% 53.39% 42.89% 32.40% 21.90%

05/03 a 04/04 53.85% 49.96% 46.07% 42.18% 38.29% 34.41% 30.52% 26.63%

06/03 a 05/04 47.75% 43.99% 40.23% 36.47% 32.71% 28.95% 25.19% 21.43%

07/03 a 06/04 60.62% 55.89% 51.17% 46.44% 41.72% 36.99% 32.27% 27.54%

08/03 a 07/04 70.98% 66.15% 61.31% 56.48% 51.64% 46.81% 41.98% 37.14%

09/03 a 08/04 46.64% 43.22% 39.79% 36.37% 32.95% 29.53% 26.11% 22.68%

10/03 a 09/04 43.43% 40.05% 36.68% 33.31% 29.94% 26.57% 23.20% 19.83%

11/03 a 10/04 25.68% 24.04% 22.40% 20.76% 19.12% 17.48% 15.84% 14.20%

12/03 a 11/04 22.97% 21.82% 20.66% 19.51% 18.36% 17.20% 16.05% 14.89%

01/04 a 12/04 14.61% 13.56% 12.51% 11.46% 10.41% 9.36% 8.31% 7.26%

02/04 a 01/05 10.85% 9.45% 8.06% 6.66% 5.27% 3.87% 2.48% 1.08%

03/04 a 02/05 23.25% 20.73% 18.20% 15.68% 13.15% 10.62% 8.10% 5.57%

04/04 a 03/05 18.22% 16.42% 14.63% 12.84% 11.04% 9.25% 7.46% 5.66%

05/04 a 04/05 25.35% 22.12% 18.89% 15.66% 12.43% 9.20% 5.97% 2.73%

06/04 a 05/05 32.76% 29.05% 25.34% 21.63% 17.92% 14.21% 10.50% 6.78%

07/04 a 06/05 18.56% 15.01% 11.45% 7.90% 4.34% 0.79% -2.77% -6.32%

08/04 a 07/05 17.15% 14.03% 10.91% 7.80% 4.68% 1.56% -1.56% -4.68%

09/04 a 08/05 24.21% 20.34% 16.48% 12.61% 8.74% 4.87% 1.01% -2.86%

10/04 a 09/05 33.98% 29.17% 24.37% 19.56% 14.76% 9.96% 5.15% 0.35%

11/04 a 10/05 32.77% 28.38% 23.99% 19.61% 15.22% 10.83% 6.44% 2.05%

12/04 a 11/05 29.26% 24.82% 20.38% 15.94% 11.50% 7.07% 2.63% -1.81%

01/05 a 12/05 30.27% 26.40% 22.54% 18.68% 14.82% 10.95% 7.09% 3.23%

02/05 a 01/06 59.36% 54.03% 48.69% 43.36% 38.03% 32.69% 27.36% 22.03%

03/05 a 02/06 41.29% 38.08% 34.88% 31.67% 28.47% 25.26% 22.06% 18.86%

04/05 a 03/06 44.61% 40.86% 37.12% 33.37% 29.62% 25.88% 22.13% 18.38%

05/05 a 04/06 66.03% 60.70% 55.38% 50.05% 44.73% 39.40% 34.08% 28.75%

06/05 a 05/06 45.48% 43.79% 42.11% 40.42% 38.74% 37.05% 35.37% 33.68%

07/05 a 06/06 47.59% 47.43% 47.26% 47.10% 46.94% 46.77% 46.61% 46.45%

08/05 a 07/06 40.08% 39.00% 37.93% 36.85% 35.77% 34.69% 33.61% 32.53%

09/05 a 08/06 33.50% 34.03% 34.57% 35.10% 35.63% 36.17% 36.70% 37.23%

10/05 a 09/06 16.33% 17.96% 19.60% 21.24% 22.88% 24.52% 26.16% 27.79%

11/05 a 10/06 29.23% 28.15% 27.07% 26.00% 24.92% 23.85% 22.77% 21.69%

12/05 a 11/06 26.70% 27.05% 27.41% 27.76% 28.11% 28.46% 28.81% 29.16%

01/06 a 12/06 35.44% 34.21% 32.98% 31.75% 30.52% 29.29% 28.06% 26.83%

02/06 a 01/07 16.45% 15.70% 14.95% 14.20% 13.45% 12.69% 11.94% 11.19%

03/06 a 02/07 11.08% 10.86% 10.65% 10.44% 10.23% 10.02% 9.81% 9.60%

04/06 a 03/07 17.77% 17.53% 17.29% 17.05% 16.82% 16.58% 16.34% 16.10%

05/06 a 04/07 20.61% 19.64% 18.66% 17.68% 16.70% 15.73% 14.75% 13.77%

06/06 a 05/07 41.52% 37.42% 33.31% 29.20% 25.09% 20.99% 16.88% 12.77%

07/06 a 06/07 48.22% 42.50% 36.78% 31.06% 25.34% 19.62% 13.90% 8.18%

08/06 a 07/07 47.22% 42.05% 36.89% 31.72% 26.56% 21.39% 16.22% 11.06%

09/06 a 08/07 46.89% 41.72% 36.55% 31.38% 26.21% 21.04% 15.87% 10.70%

10/06 a 09/07 68.23% 61.29% 54.35% 47.42% 40.48% 33.55% 26.61% 19.67%

11/06 a 10/07 60.41% 55.67% 50.94% 46.20% 41.47% 36.73% 32.00% 27.26%

12/06 a 11/07 52.92% 48.71% 44.49% 40.28% 36.06% 31.84% 27.63% 23.41%

01/07 a 12/07 38.41% 35.57% 32.72% 29.87% 27.02% 24.17% 21.33% 18.48%

02/07 a 01/08 36.29% 34.65% 33.01% 31.37% 29.73% 28.09% 26.45% 24.81%

03/07 a 02/08 48.20% 45.43% 42.67% 39.90% 37.13% 34.37% 31.60% 28.84%

04/07 a 03/08 37.67% 35.86% 34.05% 32.25% 30.44% 28.63% 26.82% 25.01%

05/07 a 04/08 40.22% 37.14% 34.07% 31.00% 27.93% 24.85% 21.78% 18.71%

Page 34: Triade Do Dinheiro - Fronteira Eficiente

06/07 a 05/08 34.58% 32.15% 29.71% 27.27% 24.84% 22.40% 19.97% 17.53%

07/07 a 06/08 14.49% 13.62% 12.74% 11.87% 10.99% 10.12% 9.24% 8.37%

08/07 a 07/08 6.26% 7.06% 7.85% 8.64% 9.44% 10.23% 11.03% 11.82%

09/07 a 08/08 0.60% 1.16% 1.72% 2.28% 2.84% 3.40% 3.97% 4.53%

10/07 a 09/08 -20.12% -15.91% -11.70% -7.50% -3.29% 0.92% 5.12% 9.33%

11/07 a 10/08 -41.83% -36.91% -31.99% -27.07% -22.15% -17.23% -12.31% -7.39%

12/07 a 11/08 -42.10% -35.99% -29.89% -23.79% -17.69% -11.58% -5.48% 0.62%

01/08 a 12/08 -40.22% -33.23% -26.23% -19.24% -12.25% -5.25% 1.74% 8.73%

02/08 a 01/09 -35.66% -28.93% -22.21% -15.49% -8.76% -2.04% 4.68% 11.41%

03/08 a 02/09 -40.79% -33.46% -26.12% -18.78% -11.45% -4.11% 3.23% 10.57%

04/08 a 03/09 -34.81% -27.93% -21.04% -14.16% -7.28% -0.40% 6.48% 13.36%

05/08 a 04/09 -31.82% -24.88% -17.93% -10.98% -4.04% 2.91% 9.85% 16.80%

06/08 a 05/09 -26.18% -20.04% -13.90% -7.77% -1.63% 4.51% 10.64% 16.78%

07/08 a 06/09 -18.82% -14.69% -10.57% -6.44% -2.31% 1.81% 5.94% 10.07%

Page 35: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosIbov Ouro Retorno Risco (DP)100% 0% 24.87% 39.22%

20i/80do 10i/90o Ouro 90% 10% 23.82% 34.65%

16.19% 18.22% 21.27% 80% 20% 22.78% 30.23%

16.51% 15.46% 14.42% 70% 30% 21.73% 26.04%

-0.5162 -0.5163 -0.4913 60% 40% 20.69% 22.20%

2.4926 2.4928 2.3722 50% 50% 19.64% 18.95%

-10.13% -14.50% -20.57% 40% 60% 18.60% 16.61%

30% 70% 17.55% 15.61%

20% 80% 16.51% 16.19%

10% 90% 15.46% 18.22%

0% 100% 14.42% 21.27%

Sharpe20i/80do 10i/90o Ouro Ibov 90i/10o 80i/20o 70i/30o 60i/40o

-4.00% -4.55% -5.10% 0.01 -0.02 -0.04 -0.06 -0.10

-1.99% -1.39% -0.79% -0.17 0.02 0.04 0.07 0.11

-1.57% 0.50% 2.58% -0.46 0.06 0.14 0.24 0.37

2.32% 4.48% 6.64% -0.38 0.06 0.14 0.25 0.39

7.74% 10.31% 12.87% -0.33 0.07 0.17 0.30 0.46

11.44% 13.69% 15.94% -0.17 0.07 0.15 0.26 0.41

12.79% 14.13% 15.46% 0.05 0.04 0.09 0.15 0.24

27.65% 27.10% 26.55% 0.82 -0.02 -0.04 -0.06 -0.10

32.38% 27.67% 22.96% 1.79 -0.14 -0.31 -0.54 -0.85

23.84% 17.68% 11.51% 1.86 -0.18 -0.41 -0.71 -1.11

15.78% 13.59% 11.41% 0.85 -0.06 -0.14 -0.25 -0.39

21.09% 17.56% 14.03% 1.26 -0.10 -0.23 -0.41 -0.64

21.44% 15.22% 8.99% 1.82 -0.18 -0.41 -0.72 -1.12

21.12% 15.99% 10.86% 1.59 -0.15 -0.34 -0.59 -0.92

15.35% 12.27% 9.18% 1.02 -0.09 -0.20 -0.36 -0.56

13.79% 10.05% 6.31% 1.11 -0.11 -0.25 -0.43 -0.67

17.84% 12.33% 6.81% 1.58 -0.16 -0.37 -0.64 -0.99

13.66% 8.50% 3.33% 1.40 -0.15 -0.34 -0.60 -0.93

12.21% 6.44% 0.66% 1.49 -0.17 -0.38 -0.67 -1.04

3.27% -3.03% -9.32% 1.37 -0.18 -0.42 -0.73 -1.13

13.42% 5.53% -2.37% 1.95 -0.23 -0.52 -0.91 -1.42

12.42% 3.67% -5.08% 2.10 -0.25 -0.58 -1.01 -1.58

13.12% 2.79% -7.54% 2.44 -0.30 -0.68 -1.19 -1.86

15.56% 4.80% -5.95% 2.59 -0.31 -0.71 -1.24 -1.94

18.42% 6.83% -4.77% 2.84 -0.33 -0.77 -1.34 -2.09

11.67% 1.22% -9.24% 2.43 -0.30 -0.69 -1.20 -1.88

5.41% -1.69% -8.79% 1.59 -0.20 -0.47 -0.82 -1.28

12.84% 3.61% -5.61% 2.21 -0.27 -0.61 -1.06 -1.66

1.72% -4.12% -9.96% 1.23 -0.17 -0.39 -0.67 -1.05

-2.45% -8.16% -13.87% 1.10 -0.16 -0.38 -0.66 -1.03

-1.42% -7.94% -14.45% 1.29 -0.19 -0.43 -0.75 -1.17

1.00% -1.77% -4.54% 0.59 -0.08 -0.18 -0.32 -0.50

-4.66% -7.84% -11.02% 0.53 -0.09 -0.21 -0.37 -0.57

0.89% -2.69% -6.28% 0.75 -0.10 -0.24 -0.41 -0.65

1.13% -0.51% -2.15% 0.36 -0.05 -0.11 -0.19 -0.29

-9.50% -8.76% -8.02% -0.39 0.02 0.05 0.09 0.13

-8.69% -6.81% -4.92% -0.61 0.05 0.12 0.22 0.34

-6.59% -5.53% -4.47% -0.38 0.03 0.07 0.12 0.19

-11.55% -9.04% -6.54% -0.81 0.07 0.17 0.29 0.45

Page 36: Triade Do Dinheiro - Fronteira Eficiente

-10.62% -5.56% -0.51% -1.30 0.15 0.33 0.58 0.91

-4.91% -2.54% -0.18% -0.61 0.07 0.16 0.27 0.43

4.23% 6.19% 8.15% -0.29 0.06 0.13 0.23 0.35

-0.27% 3.92% 8.11% -0.86 0.12 0.28 0.48 0.75

44.22% 51.11% 57.99% -0.28 0.20 0.46 0.79 1.24

64.14% 74.06% 83.97% -0.39 0.29 0.66 1.14 1.79

31.48% 36.27% 41.07% -0.18 0.14 0.32 0.55 0.86

29.98% 33.81% 37.63% -0.02 0.11 0.25 0.44 0.69

34.57% 37.01% 39.45% 0.38 0.07 0.16 0.28 0.44

32.55% 34.35% 36.16% 0.46 0.05 0.12 0.21 0.33

31.64% 35.84% 40.04% -0.05 0.12 0.28 0.48 0.76

51.71% 50.97% 50.23% 1.47 -0.02 -0.05 -0.09 -0.13

66.58% 64.42% 62.25% 2.14 -0.06 -0.14 -0.25 -0.39

59.70% 60.08% 60.46% 1.44 0.01 0.03 0.04 0.07

57.84% 57.28% 56.71% 1.59 -0.02 -0.04 -0.07 -0.10

68.82% 59.43% 50.04% 3.67 -0.27 -0.62 -1.08 -1.69

12.39% 3.21% -5.97% 2.19 -0.26 -0.61 -1.06 -1.65

4.58% -6.74% -18.07% 2.43 -0.33 -0.75 -1.30 -2.04

12.56% 7.07% 1.58% 1.44 -0.16 -0.36 -0.63 -0.99

13.06% 10.23% 7.39% 0.91 -0.08 -0.19 -0.33 -0.51

17.49% 14.70% 11.91% 1.02 -0.08 -0.18 -0.32 -0.50

22.04% 19.05% 16.07% 1.17 -0.09 -0.20 -0.34 -0.54

22.29% 17.64% 12.98% 1.52 -0.13 -0.31 -0.54 -0.84

18.19% 12.81% 7.43% 1.56 -0.16 -0.36 -0.62 -0.97

1.15% -3.95% -9.05% 1.07 -0.15 -0.34 -0.59 -0.92

-1.26% -4.63% -8.01% 0.66 -0.10 -0.22 -0.39 -0.61

-6.42% -6.83% -7.24% -0.08 -0.01 -0.03 -0.05 -0.07

-0.08% 1.02% 2.12% -0.23 0.03 0.07 0.13 0.20

1.30% 1.07% 0.85% 0.08 -0.01 -0.02 -0.03 -0.04

1.48% 2.73% 3.99% -0.22 0.04 0.08 0.14 0.23

4.99% 7.98% 10.97% -0.48 0.09 0.20 0.34 0.54

6.98% 8.36% 9.73% -0.10 0.04 0.09 0.16 0.25

10.62% 12.48% 14.34% -0.11 0.05 0.12 0.21 0.34

10.50% 13.67% 16.84% -0.38 0.09 0.21 0.36 0.57

12.89% 16.46% 20.02% -0.40 0.10 0.24 0.41 0.64

10.84% 15.59% 20.35% -0.69 0.14 0.31 0.55 0.86

13.13% 18.83% 24.54% -0.83 0.16 0.38 0.66 1.03

34.65% 41.86% 49.07% -0.59 0.21 0.48 0.83 1.30

32.49% 36.64% 40.80% -0.02 0.12 0.27 0.48 0.75

17.39% 20.82% 24.25% -0.26 0.10 0.23 0.40 0.62

15.90% 21.10% 26.30% -0.66 0.15 0.34 0.60 0.94

22.30% 26.66% 31.03% -0.32 0.13 0.29 0.50 0.79

20.02% 22.98% 25.94% -0.09 0.09 0.20 0.34 0.53

13.14% 16.77% 20.39% -0.40 0.10 0.24 0.42 0.65

15.54% 19.29% 23.03% -0.37 0.11 0.25 0.43 0.67

18.91% 24.42% 29.93% -0.64 0.16 0.36 0.63 0.99

26.58% 33.53% 40.47% -0.74 0.20 0.46 0.80 1.25

33.61% 40.18% 46.74% -0.48 0.19 0.43 0.76 1.18

33.01% 38.93% 44.84% -0.37 0.17 0.39 0.68 1.07

36.20% 42.09% 47.99% -0.28 0.17 0.39 0.68 1.06

33.94% 40.68% 47.42% -0.51 0.19 0.45 0.78 1.21

49.88% 58.15% 66.43% -0.42 0.24 0.55 0.95 1.49

53.29% 61.68% 70.07% -0.35 0.24 0.55 0.97 1.51

64.61% 76.21% 87.80% -0.72 0.33 0.77 1.34 2.09

58.24% 67.26% 76.28% -0.35 0.26 0.60 1.04 1.63

42.19% 47.20% 52.20% 0.06 0.14 0.33 0.58 0.90

31.19% 34.52% 37.86% 0.11 0.10 0.22 0.38 0.60

26.44% 26.99% 27.54% 0.56 0.02 0.04 0.06 0.10

Page 37: Triade Do Dinheiro - Fronteira Eficiente

12.06% 9.25% 6.44% 0.88 -0.08 -0.19 -0.32 -0.51

16.64% 12.72% 8.81% 1.22 -0.11 -0.26 -0.45 -0.70

25.32% 17.95% 10.59% 2.15 -0.21 -0.49 -0.85 -1.33

10.73% 1.74% -7.24% 2.11 -0.26 -0.59 -1.04 -1.62

17.58% 8.24% -1.09% 2.35 -0.27 -0.62 -1.08 -1.68

21.16% 12.13% 3.09% 2.38 -0.26 -0.60 -1.04 -1.63

24.76% 15.39% 6.03% 2.54 -0.27 -0.62 -1.08 -1.69

13.52% 0.42% -12.68% 3.02 -0.38 -0.87 -1.51 -2.36

11.41% 0.91% -9.59% 2.43 -0.30 -0.69 -1.21 -1.89

22.74% 18.85% 14.96% 1.37 -0.11 -0.26 -0.45 -0.70

17.67% 13.91% 10.15% 1.22 -0.11 -0.25 -0.43 -0.68

22.82% 18.09% 13.36% 1.55 -0.14 -0.31 -0.54 -0.85

32.31% 27.47% 22.64% 1.81 -0.14 -0.32 -0.56 -0.87

19.26% 15.84% 12.42% 1.19 -0.10 -0.23 -0.39 -0.62

16.46% 13.09% 9.72% 1.11 -0.10 -0.22 -0.39 -0.61

12.56% 10.92% 9.28% 0.65 -0.05 -0.11 -0.19 -0.30

13.74% 12.58% 11.43% 0.59 -0.03 -0.08 -0.13 -0.21

6.21% 5.16% 4.11% 0.37 -0.03 -0.07 -0.12 -0.19

-0.31% -1.71% -3.10% 0.28 -0.04 -0.09 -0.16 -0.25

3.05% 0.52% -2.00% 0.59 -0.07 -0.17 -0.29 -0.45

3.87% 2.07% 0.28% 0.46 -0.05 -0.12 -0.21 -0.32

-0.50% -3.73% -6.96% 0.65 -0.09 -0.21 -0.37 -0.58

3.07% -0.64% -4.35% 0.84 -0.11 -0.25 -0.43 -0.67

-9.88% -13.43% -16.99% 0.47 -0.10 -0.24 -0.41 -0.64

-7.79% -10.91% -14.03% 0.44 -0.09 -0.21 -0.36 -0.56

-6.73% -10.59% -14.46% 0.62 -0.11 -0.26 -0.45 -0.70

-4.46% -9.26% -14.07% 0.87 -0.14 -0.32 -0.55 -0.87

-2.34% -6.73% -11.12% 0.84 -0.13 -0.29 -0.51 -0.79

-6.25% -10.69% -15.13% 0.75 -0.13 -0.29 -0.51 -0.80

-0.63% -4.49% -8.36% 0.77 -0.11 -0.26 -0.45 -0.70

16.69% 11.36% 6.03% 1.51 -0.15 -0.35 -0.61 -0.96

15.65% 12.45% 9.24% 1.05 -0.09 -0.21 -0.37 -0.58

14.64% 10.89% 7.14% 1.14 -0.11 -0.25 -0.43 -0.68

23.43% 18.10% 12.78% 1.68 -0.15 -0.35 -0.61 -0.96

31.99% 30.31% 28.62% 1.16 -0.05 -0.11 -0.19 -0.30

46.28% 46.12% 45.95% 1.21 0.00 -0.01 -0.02 -0.03

31.45% 30.37% 29.29% 1.02 -0.03 -0.07 -0.12 -0.19

37.77% 38.30% 38.83% 0.85 0.02 0.04 0.06 0.10

29.43% 31.07% 32.71% 0.42 0.05 0.11 0.19 0.30

20.62% 19.54% 18.46% 0.75 -0.03 -0.07 -0.12 -0.19

29.51% 29.86% 30.21% 0.68 0.01 0.02 0.04 0.06

25.60% 24.37% 23.14% 0.90 -0.04 -0.08 -0.14 -0.22

10.44% 9.69% 8.94% 0.42 -0.02 -0.05 -0.09 -0.14

9.39% 9.18% 8.97% 0.28 -0.01 -0.01 -0.02 -0.04

15.86% 15.62% 15.39% 0.45 -0.01 -0.02 -0.03 -0.04

12.79% 11.82% 10.84% 0.53 -0.03 -0.06 -0.11 -0.18

8.66% 4.55% 0.45% 1.06 -0.12 -0.27 -0.47 -0.74

2.45% -3.27% -8.99% 1.23 -0.17 -0.38 -0.66 -1.03

5.89% 0.73% -4.44% 1.20 -0.15 -0.34 -0.60 -0.93

5.53% 0.36% -4.81% 1.20 -0.15 -0.34 -0.60 -0.93

12.74% 5.80% -1.14% 1.74 -0.20 -0.46 -0.80 -1.25

22.53% 17.80% 13.06% 1.54 -0.14 -0.31 -0.55 -0.85

19.20% 14.98% 10.77% 1.35 -0.12 -0.28 -0.49 -0.76

15.63% 12.78% 9.94% 0.98 -0.08 -0.19 -0.33 -0.51

23.17% 21.53% 19.89% 0.93 -0.05 -0.11 -0.19 -0.30

26.07% 23.30% 20.54% 1.23 -0.08 -0.18 -0.32 -0.50

23.20% 21.39% 19.58% 0.96 -0.05 -0.12 -0.21 -0.33

15.64% 12.56% 9.49% 1.03 -0.09 -0.20 -0.35 -0.55

Page 38: Triade Do Dinheiro - Fronteira Eficiente

15.09% 12.66% 10.22% 0.88 -0.07 -0.16 -0.28 -0.44

7.49% 6.62% 5.74% 0.37 -0.03 -0.06 -0.10 -0.16

12.61% 13.41% 14.20% 0.16 0.02 0.05 0.09 0.14

5.09% 5.65% 6.21% 0.02 0.02 0.04 0.06 0.10

13.54% 17.74% 21.95% -0.51 0.12 0.28 0.48 0.76

-2.47% 2.45% 7.37% -1.07 0.14 0.33 0.57 0.89

6.72% 12.83% 18.93% -1.07 0.18 0.40 0.70 1.10

15.73% 22.72% 29.72% -1.03 0.20 0.46 0.81 1.26

18.13% 24.86% 31.58% -0.91 0.19 0.44 0.77 1.21

17.90% 25.24% 32.58% -1.04 0.21 0.49 0.85 1.32

20.24% 27.12% 34.00% -0.89 0.20 0.46 0.79 1.24

23.75% 30.69% 37.64% -0.81 0.20 0.46 0.80 1.25

22.92% 29.06% 35.19% -0.67 0.18 0.41 0.71 1.11

14.20% 18.32% 22.45% -0.48 0.12 0.27 0.48 0.74

Page 39: Triade Do Dinheiro - Fronteira Eficiente

50i/50o 40i/60o 30i/70o 20i/80do 10i/90o Dolar -0.14 -0.20 -0.25 -0.27 -0.27 -0.26

0.16 0.22 0.27 0.30 0.30 0.28

0.55 0.75 0.93 1.02 1.02 0.97

0.57 0.78 0.97 1.07 1.07 1.01

0.68 0.93 1.15 1.27 1.27 1.21

0.59 0.81 1.01 1.11 1.11 1.06

0.35 0.48 0.60 0.66 0.66 0.63

-0.15 -0.20 -0.25 -0.27 -0.27 -0.26

-1.24 -1.70 -2.11 -2.33 -2.33 -2.21

-1.63 -2.23 -2.76 -3.04 -3.04 -2.90

-0.58 -0.79 -0.98 -1.08 -1.08 -1.03

-0.93 -1.28 -1.58 -1.74 -1.74 -1.66

-1.64 -2.25 -2.79 -3.08 -3.08 -2.93

-1.35 -1.85 -2.30 -2.53 -2.54 -2.41

-0.81 -1.12 -1.39 -1.53 -1.53 -1.45

-0.99 -1.35 -1.68 -1.85 -1.85 -1.76

-1.46 -1.99 -2.47 -2.73 -2.73 -2.59

-1.36 -1.87 -2.32 -2.55 -2.55 -2.43

-1.52 -2.09 -2.59 -2.85 -2.85 -2.72

-1.66 -2.27 -2.82 -3.11 -3.11 -2.96

-2.08 -2.85 -3.54 -3.90 -3.90 -3.71

-2.31 -3.16 -3.92 -4.32 -4.32 -4.11

-2.73 -3.73 -4.63 -5.10 -5.10 -4.86

-2.84 -3.89 -4.82 -5.31 -5.31 -5.06

-3.06 -4.19 -5.20 -5.73 -5.73 -5.45

-2.76 -3.78 -4.69 -5.16 -5.16 -4.91

-1.87 -2.56 -3.18 -3.51 -3.51 -3.34

-2.44 -3.33 -4.14 -4.56 -4.56 -4.34

-1.54 -2.11 -2.62 -2.88 -2.88 -2.75

-1.51 -2.06 -2.56 -2.82 -2.82 -2.68

-1.72 -2.35 -2.92 -3.22 -3.22 -3.06

-0.73 -1.00 -1.24 -1.37 -1.37 -1.30

-0.84 -1.15 -1.43 -1.57 -1.57 -1.50

-0.95 -1.29 -1.61 -1.77 -1.77 -1.68

-0.43 -0.59 -0.73 -0.81 -0.81 -0.77

0.20 0.27 0.33 0.37 0.37 0.35

0.50 0.68 0.84 0.93 0.93 0.89

0.28 0.38 0.48 0.52 0.52 0.50

0.66 0.90 1.12 1.24 1.24 1.18

Page 40: Triade Do Dinheiro - Fronteira Eficiente

1.33 1.83 2.27 2.50 2.50 2.38

0.62 0.85 1.06 1.17 1.17 1.11

0.52 0.71 0.88 0.97 0.97 0.92

1.11 1.51 1.88 2.07 2.07 1.97

1.82 2.49 3.09 3.40 3.40 3.24

2.62 3.58 4.45 4.90 4.90 4.66

1.27 1.73 2.15 2.37 2.37 2.25

1.01 1.38 1.72 1.89 1.89 1.80

0.64 0.88 1.09 1.21 1.21 1.15

0.48 0.65 0.81 0.89 0.89 0.85

1.11 1.52 1.88 2.07 2.07 1.97

-0.19 -0.27 -0.33 -0.36 -0.36 -0.35

-0.57 -0.78 -0.97 -1.07 -1.07 -1.02

0.10 0.14 0.17 0.19 0.19 0.18

-0.15 -0.20 -0.25 -0.28 -0.28 -0.27

-2.48 -3.39 -4.21 -4.64 -4.64 -4.41

-2.42 -3.32 -4.12 -4.53 -4.53 -4.32

-2.99 -4.09 -5.08 -5.59 -5.59 -5.32

-1.45 -1.98 -2.46 -2.71 -2.71 -2.58

-0.75 -1.02 -1.27 -1.40 -1.40 -1.33

-0.74 -1.01 -1.25 -1.38 -1.38 -1.31

-0.79 -1.08 -1.34 -1.48 -1.48 -1.41

-1.23 -1.68 -2.09 -2.30 -2.30 -2.19

-1.42 -1.94 -2.41 -2.66 -2.66 -2.53

-1.35 -1.84 -2.29 -2.52 -2.52 -2.40

-0.89 -1.22 -1.51 -1.67 -1.67 -1.59

-0.11 -0.15 -0.18 -0.20 -0.20 -0.19

0.29 0.40 0.49 0.54 0.54 0.52

-0.06 -0.08 -0.10 -0.11 -0.11 -0.11

0.33 0.45 0.56 0.62 0.62 0.59

0.79 1.08 1.34 1.48 1.48 1.41

0.36 0.50 0.62 0.68 0.68 0.65

0.49 0.67 0.83 0.92 0.92 0.87

0.84 1.14 1.42 1.56 1.56 1.49

0.94 1.29 1.60 1.76 1.76 1.68

1.25 1.72 2.13 2.35 2.35 2.23

1.51 2.06 2.56 2.82 2.82 2.68

1.90 2.60 3.23 3.56 3.56 3.39

1.10 1.50 1.86 2.05 2.05 1.95

0.91 1.24 1.54 1.70 1.70 1.61

1.37 1.88 2.33 2.57 2.57 2.45

1.15 1.58 1.96 2.16 2.16 2.05

0.78 1.07 1.33 1.46 1.46 1.39

0.96 1.31 1.62 1.79 1.79 1.70

0.99 1.35 1.68 1.85 1.85 1.76

1.45 1.99 2.47 2.72 2.72 2.59

1.83 2.51 3.12 3.43 3.43 3.27

1.73 2.37 2.95 3.24 3.24 3.09

1.56 2.14 2.65 2.92 2.92 2.78

1.56 2.13 2.64 2.91 2.91 2.77

1.78 2.43 3.02 3.33 3.33 3.17

2.19 2.99 3.71 4.09 4.09 3.89

2.21 3.03 3.76 4.14 4.14 3.94

3.06 4.19 5.20 5.73 5.73 5.45

2.38 3.26 4.05 4.46 4.46 4.24

1.32 1.81 2.24 2.47 2.47 2.35

0.88 1.21 1.50 1.65 1.65 1.57

0.15 0.20 0.25 0.27 0.27 0.26

Page 41: Triade Do Dinheiro - Fronteira Eficiente

-0.74 -1.02 -1.26 -1.39 -1.39 -1.32

-1.03 -1.41 -1.75 -1.93 -1.93 -1.84

-1.94 -2.66 -3.30 -3.64 -3.64 -3.46

-2.37 -3.25 -4.03 -4.44 -4.44 -4.22

-2.46 -3.37 -4.19 -4.61 -4.61 -4.39

-2.38 -3.26 -4.05 -4.46 -4.46 -4.25

-2.47 -3.38 -4.20 -4.63 -4.63 -4.40

-3.46 -4.73 -5.88 -6.47 -6.47 -6.16

-2.77 -3.79 -4.71 -5.18 -5.18 -4.93

-1.03 -1.40 -1.74 -1.92 -1.92 -1.83

-0.99 -1.36 -1.69 -1.86 -1.86 -1.77

-1.25 -1.71 -2.12 -2.33 -2.33 -2.22

-1.28 -1.75 -2.17 -2.39 -2.39 -2.27

-0.90 -1.24 -1.53 -1.69 -1.69 -1.61

-0.89 -1.22 -1.51 -1.67 -1.67 -1.58

-0.43 -0.59 -0.74 -0.81 -0.81 -0.77

-0.30 -0.42 -0.52 -0.57 -0.57 -0.54

-0.28 -0.38 -0.47 -0.52 -0.52 -0.49

-0.37 -0.50 -0.63 -0.69 -0.69 -0.66

-0.67 -0.91 -1.13 -1.25 -1.25 -1.19

-0.47 -0.65 -0.80 -0.89 -0.89 -0.84

-0.85 -1.17 -1.45 -1.60 -1.60 -1.52

-0.98 -1.34 -1.66 -1.83 -1.83 -1.74

-0.94 -1.28 -1.59 -1.76 -1.76 -1.67

-0.82 -1.13 -1.40 -1.54 -1.54 -1.47

-1.02 -1.40 -1.73 -1.91 -1.91 -1.82

-1.27 -1.74 -2.15 -2.37 -2.37 -2.26

-1.16 -1.59 -1.97 -2.17 -2.17 -2.06

-1.17 -1.60 -1.99 -2.19 -2.19 -2.09

-1.02 -1.40 -1.73 -1.91 -1.91 -1.82

-1.41 -1.93 -2.39 -2.63 -2.63 -2.51

-0.85 -1.16 -1.44 -1.58 -1.58 -1.51

-0.99 -1.35 -1.68 -1.85 -1.85 -1.76

-1.41 -1.92 -2.39 -2.63 -2.63 -2.50

-0.44 -0.61 -0.76 -0.83 -0.83 -0.79

-0.04 -0.06 -0.07 -0.08 -0.08 -0.08

-0.28 -0.39 -0.48 -0.53 -0.53 -0.51

0.14 0.19 0.24 0.26 0.26 0.25

0.43 0.59 0.73 0.81 0.81 0.77

-0.28 -0.39 -0.48 -0.53 -0.53 -0.51

0.09 0.13 0.16 0.17 0.17 0.17

-0.32 -0.44 -0.55 -0.61 -0.61 -0.58

-0.20 -0.27 -0.34 -0.37 -0.37 -0.35

-0.06 -0.08 -0.09 -0.10 -0.10 -0.10

-0.06 -0.09 -0.11 -0.12 -0.12 -0.11

-0.26 -0.35 -0.44 -0.48 -0.48 -0.46

-1.08 -1.48 -1.84 -2.03 -2.03 -1.93

-1.51 -2.07 -2.57 -2.83 -2.83 -2.69

-1.36 -1.87 -2.32 -2.55 -2.55 -2.43

-1.36 -1.87 -2.32 -2.55 -2.55 -2.43

-1.83 -2.51 -3.11 -3.43 -3.43 -3.26

-1.25 -1.71 -2.12 -2.34 -2.34 -2.23

-1.11 -1.52 -1.89 -2.08 -2.08 -1.98

-0.75 -1.03 -1.28 -1.41 -1.41 -1.34

-0.43 -0.59 -0.74 -0.81 -0.81 -0.77

-0.73 -1.00 -1.24 -1.37 -1.37 -1.30

-0.48 -0.65 -0.81 -0.89 -0.89 -0.85

-0.81 -1.11 -1.38 -1.52 -1.52 -1.44

Page 42: Triade Do Dinheiro - Fronteira Eficiente

-0.64 -0.88 -1.09 -1.20 -1.20 -1.15

-0.23 -0.32 -0.39 -0.43 -0.43 -0.41

0.21 0.29 0.36 0.39 0.39 0.37

0.15 0.20 0.25 0.28 0.28 0.26

1.11 1.52 1.89 2.08 2.08 1.98

1.30 1.78 2.21 2.43 2.43 2.31

1.61 2.20 2.74 3.01 3.01 2.87

1.85 2.53 3.14 3.45 3.46 3.29

1.77 2.43 3.02 3.32 3.32 3.16

1.94 2.65 3.29 3.62 3.62 3.45

1.82 2.49 3.09 3.40 3.40 3.23

1.83 2.51 3.12 3.43 3.43 3.27

1.62 2.22 2.75 3.03 3.03 2.89

1.09 1.49 1.85 2.04 2.04 1.94

Page 43: Triade Do Dinheiro - Fronteira Eficiente

10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

100% Ibov10% Ouro / 90% Ibov

20% Ouro / 80% Ibov

30% Ouro / 70% Ibovv

40% Ouro / 60% Ibov

50% Ouro / 50% Ibov60% Ouro / 40% Ibov

70% Ouro / 30% Ibov

80% Ouro / 20% Ibov

90% Ouro / 10% Ibov

100% Ouro

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al

Page 44: Triade Do Dinheiro - Fronteira Eficiente

Selic x Ibov (1999)

Parametros Selic 90s/10i 80s/20i 70s/30i 60s/40i 50s/50i 40s/60i 30s/70iDp Anual 3.52% 5.90% 9.19% 12.69% 16.27% 19.89% 23.53% 27.18%

Retorno Media 17.14% 17.65% 18.17% 18.68% 19.19% 19.71% 20.22% 20.73%

Sharpe Media - 0.0869 0.1117 0.1213 0.1262 0.1290 0.1309 0.1322

DP Sharpe - 0.6233 0.8011 0.8700 0.9047 0.9252 0.9386 0.9480

VAR IC 95% 11.35% 7.94% 3.05% -2.20% -7.57% -13.01% -18.48% -23.97%

Retornos AnualizadosData Selic 90s/10i 80s/20i 70s/30i 60s/40i 50s/50i 40s/60i 30s/70i

01/99 a 12/99 25.59% 37.42% 49.25% 61.09% 72.92% 84.75% 96.58% 108.42%

02/99 a 01/00 24.70% 30.81% 36.93% 43.04% 49.15% 55.26% 61.38% 67.49%

03/99 a 02/00 23.57% 30.73% 37.89% 45.05% 52.22% 59.38% 66.54% 73.70%

04/99 a 03/00 21.32% 24.84% 28.35% 31.87% 35.38% 38.90% 42.41% 45.93%

05/99 a 04/00 20.08% 21.65% 23.21% 24.78% 26.35% 27.91% 29.48% 31.05%

06/99 a 05/00 19.45% 21.49% 23.52% 25.56% 27.60% 29.63% 31.67% 33.71%

07/99 a 06/00 19.13% 21.81% 24.49% 27.18% 29.86% 32.54% 35.22% 37.91%

08/99 a 07/00 18.72% 22.80% 26.88% 30.96% 35.04% 39.12% 43.20% 47.28%

09/99 a 08/00 18.53% 22.80% 27.07% 31.34% 35.61% 39.88% 44.15% 48.42%

10/99 a 09/00 18.21% 20.59% 22.96% 25.34% 27.72% 30.09% 32.47% 34.85%

11/99 a 10/00 18.11% 18.87% 19.64% 20.40% 21.17% 21.93% 22.70% 23.46%

12/99 a 11/00 17.91% 15.80% 13.70% 11.59% 9.49% 7.38% 5.27% 3.17%

01/00 a 12/00 17.45% 14.82% 12.18% 9.55% 6.91% 4.28% 1.65% -0.99%

02/00 a 01/01 17.23% 15.82% 14.41% 13.00% 11.59% 10.18% 8.77% 7.36%

03/00 a 02/01 16.73% 14.20% 11.67% 9.14% 6.61% 4.08% 1.56% -0.97%

04/00 a 03/01 16.51% 12.97% 9.42% 5.88% 2.34% -1.21% -4.75% -8.30%

05/00 a 04/01 16.38% 14.34% 12.30% 10.25% 8.21% 6.17% 4.13% 2.09%

06/00 a 05/01 16.21% 14.16% 12.11% 10.07% 8.02% 5.97% 3.92% 1.88%

07/00 a 06/01 16.07% 12.98% 9.89% 6.80% 3.71% 0.62% -2.47% -5.56%

08/00 a 07/01 16.29% 13.10% 9.91% 6.71% 3.52% 0.33% -2.86% -6.05%

09/00 a 08/01 16.51% 12.14% 7.77% 3.40% -0.97% -5.33% -9.70% -14.07%

10/00 a 09/01 16.63% 11.72% 6.80% 1.89% -3.03% -7.94% -12.85% -17.77%

11/00 a 10/01 16.90% 12.91% 8.92% 4.93% 0.93% -3.06% -7.05% -11.04%

12/00 a 11/01 17.10% 15.31% 13.53% 11.74% 9.96% 8.17% 6.39% 4.60%

01/01 a 12/01 17.32% 14.58% 11.84% 9.10% 6.36% 3.63% 0.89% -1.85%

02/01 a 01/02 17.62% 13.29% 8.95% 4.62% 0.29% -4.04% -8.38% -12.71%

03/01 a 02/02 17.89% 14.84% 11.79% 8.73% 5.68% 2.63% -0.42% -3.47%

04/01 a 03/02 18.02% 15.85% 13.68% 11.51% 9.34% 7.17% 5.00% 2.83%

05/01 a 04/02 18.35% 14.93% 11.51% 8.09% 4.68% 1.26% -2.16% -5.58%

06/01 a 05/02 18.44% 15.15% 11.87% 8.58% 5.30% 2.01% -1.27% -4.56%

07/01 a 06/02 18.50% 14.13% 9.77% 5.40% 1.03% -3.33% -7.70% -12.07%

08/01 a 07/02 18.55% 13.80% 9.04% 4.29% -0.47% -5.22% -9.97% -14.73%

09/01 a 08/02 18.37% 14.64% 10.91% 7.18% 3.45% -0.28% -4.01% -7.73%

10/01 a 09/02 18.44% 15.16% 11.89% 8.61% 5.34% 2.06% -1.22% -4.49%

11/01 a 10/02 18.58% 15.63% 12.67% 9.72% 6.77% 3.81% 0.86% -2.09%

12/01 a 11/02 18.75% 14.88% 11.01% 7.13% 3.26% -0.61% -4.48% -8.35%

01/02 a 12/02 19.16% 15.61% 12.06% 8.50% 4.95% 1.40% -2.15% -5.71%

02/02 a 01/03 19.68% 16.33% 12.98% 9.63% 6.28% 2.94% -0.41% -3.76%

03/02 a 02/03 20.36% 15.51% 10.66% 5.81% 0.95% -3.90% -8.75% -13.60%

Page 45: Triade Do Dinheiro - Fronteira Eficiente

04/02 a 03/03 20.85% 17.37% 13.90% 10.42% 6.94% 3.46% -0.01% -3.49%

05/02 a 04/03 21.31% 19.40% 17.48% 15.57% 13.65% 11.74% 9.83% 7.91%

06/02 a 05/03 21.98% 20.23% 18.48% 16.73% 14.99% 13.24% 11.49% 9.74%

07/02 a 06/03 22.62% 22.56% 22.50% 22.44% 22.38% 22.32% 22.26% 22.20%

08/02 a 07/03 23.27% 24.40% 25.52% 26.65% 27.77% 28.90% 30.03% 31.15%

09/02 a 08/03 23.67% 26.10% 28.52% 30.95% 33.37% 35.80% 38.22% 40.65%

10/02 a 09/03 24.04% 30.06% 36.08% 42.11% 48.13% 54.15% 60.17% 66.19%

11/02 a 10/03 24.03% 29.89% 35.75% 41.61% 47.46% 53.32% 59.18% 65.04%

12/02 a 11/03 23.78% 30.63% 37.48% 44.32% 51.17% 58.02% 64.87% 71.72%

01/03 a 12/03 23.33% 30.34% 37.35% 44.37% 51.38% 58.39% 65.40% 72.41%

02/03 a 01/04 22.49% 30.21% 37.93% 45.65% 53.37% 61.09% 68.81% 76.53%

03/03 a 02/04 21.59% 31.26% 40.94% 50.61% 60.28% 69.96% 79.63% 89.30%

04/03 a 03/05 21.11% 28.54% 35.96% 43.39% 50.81% 58.24% 65.66% 73.09%

05/03 a 04/04 20.29% 23.65% 27.00% 30.36% 33.71% 37.07% 40.43% 43.78%

06/03 a 05/04 19.41% 22.24% 25.08% 27.91% 30.75% 33.58% 36.42% 39.25%

07/03 a 06/04 18.68% 22.87% 27.07% 31.26% 35.46% 39.65% 43.84% 48.04%

08/03 a 07/04 17.76% 23.08% 28.40% 33.73% 39.05% 44.37% 49.69% 55.01%

09/03 a 08/04 17.20% 20.14% 23.09% 26.03% 28.98% 31.92% 34.86% 37.81%

10/03 a 09/04 16.71% 19.38% 22.05% 24.72% 27.40% 30.07% 32.74% 35.41%

11/03 a 10/04 16.21% 17.16% 18.10% 19.05% 20.00% 20.94% 21.89% 22.84%

12/03 a 11/04 16.11% 16.80% 17.48% 18.17% 18.86% 19.54% 20.23% 20.91%

01/04 a 12/04 16.24% 16.08% 15.91% 15.75% 15.59% 15.42% 15.26% 15.10%

02/04 a 01/05 16.36% 15.81% 15.26% 14.71% 14.15% 13.60% 13.05% 12.50%

03/04 a 02/05 16.52% 17.19% 17.87% 18.54% 19.21% 19.89% 20.56% 21.23%

04/04 a 03/05 16.70% 16.85% 17.00% 17.16% 17.31% 17.46% 17.61% 17.76%

05/04 a 04/05 16.96% 17.80% 18.64% 19.48% 20.32% 21.16% 21.99% 22.83%

06/04 a 05/05 17.27% 18.82% 20.37% 21.92% 23.47% 25.02% 26.56% 28.11%

07/04 a 06/05 17.69% 17.78% 17.86% 17.95% 18.04% 18.13% 18.21% 18.30%

08/04 a 07/05 17.95% 17.87% 17.79% 17.71% 17.63% 17.55% 17.47% 17.39%

09/04 a 08/05 18.38% 18.96% 19.55% 20.13% 20.71% 21.29% 21.88% 22.46%

10/04 a 09/05 18.67% 20.20% 21.73% 23.26% 24.79% 26.32% 27.85% 29.39%

11/04 a 10/05 18.90% 20.29% 21.67% 23.06% 24.45% 25.84% 27.22% 28.61%

12/04 a 11/05 19.06% 20.08% 21.10% 22.12% 23.14% 24.16% 25.18% 26.20%

01/05 a 12/05 19.04% 20.16% 21.29% 22.41% 23.53% 24.65% 25.78% 26.90%

02/05 a 01/06 19.10% 23.13% 27.15% 31.18% 35.20% 39.23% 43.26% 47.28%

03/05 a 02/06 19.02% 21.25% 23.47% 25.70% 27.93% 30.15% 32.38% 34.61%

04/05 a 03/06 18.89% 21.46% 24.03% 26.61% 29.18% 31.75% 34.32% 36.90%

05/05 a 04/06 18.50% 23.25% 28.01% 32.76% 37.51% 42.26% 47.02% 51.77%

06/05 a 05/06 18.25% 20.97% 23.70% 26.42% 29.14% 31.86% 34.59% 37.31%

07/05 a 06/06 17.77% 20.75% 23.73% 26.72% 29.70% 32.68% 35.66% 38.65%

08/05 a 07/06 17.38% 19.65% 21.92% 24.19% 26.46% 28.73% 31.00% 33.27%

09/05 a 08/06 16.91% 18.57% 20.23% 21.89% 23.55% 25.20% 26.86% 28.52%

10/05 a 09/06 16.41% 16.40% 16.39% 16.38% 16.38% 16.37% 16.36% 16.35%

11/05 a 10/06 16.04% 17.36% 18.68% 20.00% 21.31% 22.63% 23.95% 25.27%

12/05 a 11/06 15.63% 16.74% 17.84% 18.95% 20.06% 21.17% 22.27% 23.38%

01/06 a 12/06 15.08% 17.12% 19.15% 21.19% 23.22% 25.26% 27.30% 29.33%

02/06 a 01/07 14.68% 14.86% 15.03% 15.21% 15.39% 15.57% 15.74% 15.92%

03/06 a 02/07 14.37% 14.04% 13.71% 13.38% 13.05% 12.72% 12.39% 12.06%

04/06 a 03/07 13.95% 14.33% 14.71% 15.10% 15.48% 15.86% 16.24% 16.62%

05/06 a 04/07 13.79% 14.47% 15.15% 15.84% 16.52% 17.20% 17.88% 18.57%

06/06 a 05/07 13.51% 16.31% 19.11% 21.91% 24.72% 27.52% 30.32% 33.12%

07/06 a 06/07 13.21% 16.71% 20.21% 23.71% 27.21% 30.72% 34.22% 37.72%

08/06 a 07/07 12.98% 16.40% 19.83% 23.25% 26.67% 30.10% 33.52% 36.95%

09/06 a 08/07 12.68% 16.10% 19.52% 22.94% 26.36% 29.78% 33.21% 36.63%

10/06 a 09/07 12.39% 17.97% 23.56% 29.14% 34.72% 40.31% 45.89% 51.48%

11/06 a 10/07 12.21% 17.03% 21.85% 26.67% 31.49% 36.31% 41.13% 45.95%

12/06 a 11/07 12.01% 16.10% 20.19% 24.28% 28.38% 32.47% 36.56% 40.65%

01/07 a 12/07 11.85% 14.51% 17.16% 19.82% 22.48% 25.13% 27.79% 30.44%

Page 46: Triade Do Dinheiro - Fronteira Eficiente

02/07 a 01/08 11.68% 14.14% 16.60% 19.06% 21.52% 23.99% 26.45% 28.91%

03/07 a 02/08 11.60% 15.26% 18.92% 22.58% 26.24% 29.90% 33.56% 37.22%

04/07 a 03/08 11.37% 14.00% 16.63% 19.26% 21.89% 24.52% 27.15% 29.78%

05/07 a 04/08 11.33% 14.22% 17.11% 20.00% 22.88% 25.77% 28.66% 31.55%

06/07 a 05/08 11.16% 13.50% 15.84% 18.19% 20.53% 22.87% 25.21% 27.56%

07/07 a 06/08 11.21% 11.54% 11.87% 12.19% 12.52% 12.85% 13.18% 13.51%

08/07 a 07/08 11.32% 10.81% 10.31% 9.80% 9.30% 8.79% 8.29% 7.78%

09/07 a 08/08 11.35% 10.28% 9.20% 8.13% 7.05% 5.98% 4.90% 3.83%

10/07 a 09/08 11.68% 8.50% 5.32% 2.14% -1.04% -4.22% -7.40% -10.58%

11/07 a 10/08 11.96% 6.58% 1.20% -4.18% -9.56% -14.94% -20.32% -25.70%

12/07 a 11/08 12.16% 6.73% 1.31% -4.12% -9.54% -14.97% -20.39% -25.82%

01/08 a 12/08 12.47% 7.20% 1.93% -3.34% -8.61% -13.88% -19.14% -24.41%

02/08 a 01/09 12.60% 7.78% 2.95% -1.87% -6.70% -11.53% -16.35% -21.18%

03/08 a 02/09 12.67% 7.32% 1.97% -3.37% -8.72% -14.06% -19.41% -24.75%

04/08 a 03/09 12.81% 8.05% 3.29% -1.47% -6.24% -11.00% -15.76% -20.52%

05/08 a 04/09 12.74% 8.29% 3.83% -0.63% -5.08% -9.54% -13.99% -18.45%

06/08 a 05/09 12.62% 8.74% 4.86% 0.98% -2.90% -6.78% -10.66% -14.54%

07/08 a 06/09 12.41% 9.28% 6.16% 3.04% -0.08% -3.21% -6.33% -9.45%

08/08 a 07/09

09/08 a 08/09

10/08 a 09/09

11/08 a 10/09

12/08 a 11/09

01/09 a 12/09

Page 47: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosSelic Ibov Retorno Risco (DP)100% 0% 17.14% 3.52%

20s/80i 10s/90i Ibov 90% 10% 17.65% 5.90%

30.83% 34.49% 38.16% 80% 20% 18.17% 9.19%

21.25% 21.76% 22.27% 70% 30% 18.68% 12.69%

0.1332 0.1339 0.1345 60% 40% 19.19% 16.27%

0.9549 0.9603 0.9645 50% 50% 19.71% 19.89%

-29.47% -34.98% -40.50% 40% 60% 20.22% 23.53%

30% 70% 20.73% 27.18%

20% 80% 21.25% 30.83%

10% 90% 21.76% 34.49%

0% 100% 22.27% 38.16%

Sharpe20s/80i 10s/90i Ibov Selic 90s/10i 80s/20i 70s/30i 60s/40i120.25% 132.08% 143.91% 7.27 2.00 2.58 2.80 2.91

73.60% 79.72% 85.83% 7.02 1.04 1.33 1.45 1.50

80.86% 88.02% 95.18% 6.69 1.21 1.56 1.69 1.76

49.44% 52.96% 56.47% 6.06 0.60 0.77 0.83 0.86

32.61% 34.18% 35.75% 5.70 0.27 0.34 0.37 0.39

35.75% 37.78% 39.82% 5.52 0.34 0.44 0.48 0.50

40.59% 43.27% 45.95% 5.43 0.45 0.58 0.63 0.66

51.36% 55.44% 59.52% 5.32 0.69 0.89 0.96 1.00

52.69% 56.96% 61.23% 5.26 0.72 0.93 1.01 1.05

37.22% 39.60% 41.97% 5.17 0.40 0.52 0.56 0.58

24.22% 24.99% 25.75% 5.14 0.13 0.17 0.18 0.19

1.06% -1.04% -3.15% 5.09 -0.36 -0.46 -0.50 -0.52

-3.62% -6.26% -8.89% 4.96 -0.45 -0.57 -0.62 -0.65

5.94% 4.53% 3.12% 4.89 -0.24 -0.31 -0.33 -0.35

-3.50% -6.03% -8.56% 4.75 -0.43 -0.55 -0.60 -0.62

-11.84% -15.38% -18.93% 4.69 -0.60 -0.77 -0.84 -0.87

0.04% -2.00% -4.04% 4.65 -0.35 -0.44 -0.48 -0.50

-0.17% -2.22% -4.27% 4.60 -0.35 -0.45 -0.48 -0.50

-8.64% -11.73% -14.82% 4.56 -0.52 -0.67 -0.73 -0.76

-9.25% -12.44% -15.63% 4.63 -0.54 -0.69 -0.75 -0.78

-18.44% -22.81% -27.18% 4.69 -0.74 -0.95 -1.03 -1.07

-22.68% -27.59% -32.51% 4.72 -0.83 -1.07 -1.16 -1.21

-15.03% -19.02% -23.01% 4.80 -0.68 -0.87 -0.94 -0.98

2.82% 1.03% -0.75% 4.86 -0.30 -0.39 -0.42 -0.44

-4.59% -7.33% -10.07% 4.92 -0.46 -0.60 -0.65 -0.67

-17.04% -21.37% -25.71% 5.00 -0.73 -0.94 -1.02 -1.07

-6.52% -9.58% -12.63% 5.08 -0.52 -0.66 -0.72 -0.75

0.66% -1.51% -3.68% 5.12 -0.37 -0.47 -0.51 -0.53

-9.00% -12.42% -15.84% 5.21 -0.58 -0.74 -0.81 -0.84

-7.84% -11.13% -14.41% 5.24 -0.56 -0.72 -0.78 -0.81

-16.43% -20.80% -25.17% 5.25 -0.74 -0.95 -1.03 -1.07

-19.48% -24.24% -28.99% 5.27 -0.81 -1.03 -1.12 -1.17

-11.46% -15.19% -18.92% 5.22 -0.63 -0.81 -0.88 -0.92

-7.77% -11.05% -14.32% 5.24 -0.55 -0.71 -0.77 -0.81

-5.04% -8.00% -10.95% 5.28 -0.50 -0.64 -0.70 -0.73

-12.22% -16.10% -19.97% 5.33 -0.66 -0.84 -0.92 -0.95

-9.26% -12.81% -16.36% 5.44 -0.60 -0.77 -0.84 -0.87

-7.11% -10.46% -13.81% 5.59 -0.57 -0.73 -0.79 -0.82

-18.45% -23.30% -28.15% 5.78 -0.82 -1.06 -1.15 -1.19

Page 48: Triade Do Dinheiro - Fronteira Eficiente

-6.97% -10.45% -13.92% 5.92 -0.59 -0.76 -0.82 -0.85

6.00% 4.08% 2.17% 6.05 -0.32 -0.42 -0.45 -0.47

7.99% 6.24% 4.49% 6.24 -0.30 -0.38 -0.41 -0.43

22.14% 22.08% 22.03% 6.42 -0.01 -0.01 -0.01 -0.01

32.28% 33.41% 34.53% 6.61 0.19 0.25 0.27 0.28

43.08% 45.50% 47.93% 6.72 0.41 0.53 0.57 0.60

72.22% 78.24% 84.26% 6.83 1.02 1.31 1.42 1.48

70.90% 76.76% 82.61% 6.83 0.99 1.28 1.38 1.44

78.56% 85.41% 92.26% 6.75 1.16 1.49 1.62 1.68

79.43% 86.44% 93.45% 6.63 1.19 1.53 1.66 1.72

84.25% 91.97% 99.69% 6.39 1.31 1.68 1.82 1.90

98.97% 108.65% 118.32% 6.13 1.64 2.11 2.29 2.38

80.52% 87.94% 95.37% 6.00 1.26 1.62 1.76 1.83

47.14% 50.49% 53.85% 5.76 0.57 0.73 0.79 0.82

42.09% 44.92% 47.75% 5.51 0.48 0.62 0.67 0.70

52.23% 56.43% 60.62% 5.31 0.71 0.91 0.99 1.03

60.34% 65.66% 70.98% 5.04 0.90 1.16 1.26 1.31

40.75% 43.69% 46.64% 4.89 0.50 0.64 0.70 0.72

38.08% 40.75% 43.43% 4.75 0.45 0.58 0.63 0.66

23.79% 24.73% 25.68% 4.60 0.16 0.21 0.22 0.23

21.60% 22.29% 22.97% 4.58 0.12 0.15 0.16 0.17

14.93% 14.77% 14.61% 4.61 -0.03 -0.04 -0.04 -0.04

11.95% 11.40% 10.85% 4.65 -0.09 -0.12 -0.13 -0.14

21.90% 22.58% 23.25% 4.69 0.11 0.15 0.16 0.17

17.91% 18.07% 18.22% 4.74 0.03 0.03 0.04 0.04

23.67% 24.51% 25.35% 4.82 0.14 0.18 0.20 0.21

29.66% 31.21% 32.76% 4.91 0.26 0.34 0.37 0.38

18.39% 18.48% 18.56% 5.02 0.01 0.02 0.02 0.02

17.31% 17.23% 17.15% 5.10 -0.01 -0.02 -0.02 -0.02

23.04% 23.63% 24.21% 5.22 0.10 0.13 0.14 0.14

30.92% 32.45% 33.98% 5.30 0.26 0.33 0.36 0.38

30.00% 31.39% 32.77% 5.37 0.23 0.30 0.33 0.34

27.22% 28.24% 29.26% 5.41 0.17 0.22 0.24 0.25

28.02% 29.14% 30.27% 5.41 0.19 0.24 0.27 0.28

51.31% 55.33% 59.36% 5.42 0.68 0.88 0.95 0.99

36.83% 39.06% 41.29% 5.40 0.38 0.48 0.53 0.55

39.47% 42.04% 44.61% 5.37 0.44 0.56 0.61 0.63

56.52% 61.28% 66.03% 5.25 0.80 1.03 1.12 1.17

40.03% 42.75% 45.48% 5.18 0.46 0.59 0.64 0.67

41.63% 44.61% 47.59% 5.05 0.51 0.65 0.70 0.73

35.54% 37.81% 40.08% 4.94 0.38 0.49 0.54 0.56

30.18% 31.84% 33.50% 4.80 0.28 0.36 0.39 0.41

16.34% 16.33% 16.33% 4.66 0.00 0.00 0.00 0.00

26.59% 27.91% 29.23% 4.56 0.22 0.29 0.31 0.32

24.49% 25.60% 26.70% 4.44 0.19 0.24 0.26 0.27

31.37% 33.40% 35.44% 4.28 0.34 0.44 0.48 0.50

16.10% 16.27% 16.45% 4.17 0.03 0.04 0.04 0.04

11.73% 11.40% 11.08% 4.08 -0.06 -0.07 -0.08 -0.08

17.01% 17.39% 17.77% 3.96 0.06 0.08 0.09 0.09

19.25% 19.93% 20.61% 3.92 0.12 0.15 0.16 0.17

35.92% 38.72% 41.52% 3.84 0.47 0.61 0.66 0.69

41.22% 44.72% 48.22% 3.75 0.59 0.76 0.83 0.86

40.37% 43.79% 47.22% 3.69 0.58 0.75 0.81 0.84

40.05% 43.47% 46.89% 3.60 0.58 0.74 0.81 0.84

57.06% 62.64% 68.23% 3.52 0.95 1.22 1.32 1.37

50.77% 55.59% 60.41% 3.47 0.82 1.05 1.14 1.18

44.74% 48.83% 52.92% 3.41 0.69 0.89 0.97 1.01

33.10% 35.76% 38.41% 3.37 0.45 0.58 0.63 0.65

Page 49: Triade Do Dinheiro - Fronteira Eficiente

31.37% 33.83% 36.29% 3.32 0.42 0.54 0.58 0.60

40.88% 44.54% 48.20% 3.29 0.62 0.80 0.87 0.90

32.41% 35.04% 37.67% 3.23 0.45 0.57 0.62 0.65

34.44% 37.33% 40.22% 3.22 0.49 0.63 0.68 0.71

29.90% 32.24% 34.58% 3.17 0.40 0.51 0.55 0.58

13.84% 14.16% 14.49% 3.18 0.06 0.07 0.08 0.08

7.27% 6.77% 6.26% 3.22 -0.09 -0.11 -0.12 -0.12

2.75% 1.68% 0.60% 3.22 -0.18 -0.23 -0.25 -0.26

-13.76% -16.94% -20.12% 3.32 -0.54 -0.69 -0.75 -0.78

-31.07% -36.45% -41.83% 3.40 -0.91 -1.17 -1.27 -1.32

-31.24% -36.67% -42.10% 3.45 -0.92 -1.18 -1.28 -1.33

-29.68% -34.95% -40.22% 3.54 -0.89 -1.15 -1.25 -1.30

-26.00% -30.83% -35.66% 3.58 -0.82 -1.05 -1.14 -1.19

-30.10% -35.45% -40.79% 3.60 -0.91 -1.16 -1.26 -1.31

-25.28% -30.04% -34.81% 3.64 -0.81 -1.04 -1.13 -1.17

-22.91% -27.36% -31.82% 3.62 -0.75 -0.97 -1.05 -1.10

-18.42% -22.30% -26.18% 3.58 -0.66 -0.84 -0.92 -0.95

-12.57% -15.70% -18.82% 3.52 -0.53 -0.68 -0.74 -0.77

Page 50: Triade Do Dinheiro - Fronteira Eficiente

50s/50i 40s/60i 30s/70i 20s/80i 10s/90i Ibov2.97 3.02 3.05 3.07 3.09 3.10

1.54 1.56 1.57 1.59 1.59 1.60

1.80 1.83 1.84 1.86 1.87 1.88

0.88 0.90 0.91 0.91 0.92 0.92

0.39 0.40 0.40 0.41 0.41 0.41

0.51 0.52 0.52 0.53 0.53 0.53

0.67 0.68 0.69 0.70 0.70 0.70

1.03 1.04 1.05 1.06 1.06 1.07

1.07 1.09 1.10 1.11 1.11 1.12

0.60 0.61 0.61 0.62 0.62 0.62

0.19 0.19 0.20 0.20 0.20 0.20

-0.53 -0.54 -0.54 -0.55 -0.55 -0.55

-0.66 -0.67 -0.68 -0.68 -0.69 -0.69

-0.35 -0.36 -0.36 -0.37 -0.37 -0.37

-0.64 -0.64 -0.65 -0.66 -0.66 -0.66

-0.89 -0.90 -0.91 -0.92 -0.92 -0.93

-0.51 -0.52 -0.53 -0.53 -0.53 -0.54

-0.51 -0.52 -0.53 -0.53 -0.53 -0.54

-0.78 -0.79 -0.80 -0.80 -0.81 -0.81

-0.80 -0.81 -0.82 -0.83 -0.83 -0.84

-1.10 -1.11 -1.13 -1.13 -1.14 -1.14

-1.24 -1.25 -1.27 -1.28 -1.28 -1.29

-1.00 -1.02 -1.03 -1.04 -1.04 -1.05

-0.45 -0.46 -0.46 -0.46 -0.47 -0.47

-0.69 -0.70 -0.71 -0.71 -0.71 -0.72

-1.09 -1.10 -1.12 -1.12 -1.13 -1.14

-0.77 -0.78 -0.79 -0.79 -0.80 -0.80

-0.55 -0.55 -0.56 -0.56 -0.57 -0.57

-0.86 -0.87 -0.88 -0.89 -0.89 -0.90

-0.83 -0.84 -0.85 -0.85 -0.86 -0.86

-1.10 -1.11 -1.12 -1.13 -1.14 -1.14

-1.20 -1.21 -1.22 -1.23 -1.24 -1.25

-0.94 -0.95 -0.96 -0.97 -0.97 -0.98

-0.82 -0.84 -0.84 -0.85 -0.85 -0.86

-0.74 -0.75 -0.76 -0.77 -0.77 -0.77

-0.97 -0.99 -1.00 -1.00 -1.01 -1.01

-0.89 -0.91 -0.92 -0.92 -0.93 -0.93

-0.84 -0.85 -0.86 -0.87 -0.87 -0.88

-1.22 -1.24 -1.25 -1.26 -1.27 -1.27

Page 51: Triade Do Dinheiro - Fronteira Eficiente

-0.87 -0.89 -0.90 -0.90 -0.91 -0.91

-0.48 -0.49 -0.49 -0.50 -0.50 -0.50

-0.44 -0.45 -0.45 -0.45 -0.46 -0.46

-0.01 -0.02 -0.02 -0.02 -0.02 -0.02

0.28 0.29 0.29 0.29 0.29 0.30

0.61 0.62 0.62 0.63 0.63 0.64

1.51 1.54 1.55 1.56 1.57 1.58

1.47 1.49 1.51 1.52 1.53 1.54

1.72 1.75 1.76 1.78 1.79 1.79

1.76 1.79 1.81 1.82 1.83 1.84

1.94 1.97 1.99 2.00 2.01 2.02

2.43 2.47 2.49 2.51 2.52 2.54

1.87 1.89 1.91 1.93 1.94 1.95

0.84 0.86 0.86 0.87 0.88 0.88

0.71 0.72 0.73 0.74 0.74 0.74

1.05 1.07 1.08 1.09 1.09 1.10

1.34 1.36 1.37 1.38 1.39 1.39

0.74 0.75 0.76 0.76 0.77 0.77

0.67 0.68 0.69 0.69 0.70 0.70

0.24 0.24 0.24 0.25 0.25 0.25

0.17 0.18 0.18 0.18 0.18 0.18

-0.04 -0.04 -0.04 -0.04 -0.04 -0.04

-0.14 -0.14 -0.14 -0.14 -0.14 -0.14

0.17 0.17 0.17 0.17 0.18 0.18

0.04 0.04 0.04 0.04 0.04 0.04

0.21 0.21 0.22 0.22 0.22 0.22

0.39 0.40 0.40 0.40 0.40 0.41

0.02 0.02 0.02 0.02 0.02 0.02

-0.02 -0.02 -0.02 -0.02 -0.02 -0.02

0.15 0.15 0.15 0.15 0.15 0.15

0.38 0.39 0.39 0.40 0.40 0.40

0.35 0.35 0.36 0.36 0.36 0.36

0.26 0.26 0.26 0.26 0.27 0.27

0.28 0.29 0.29 0.29 0.29 0.29

1.01 1.03 1.04 1.04 1.05 1.06

0.56 0.57 0.57 0.58 0.58 0.58

0.65 0.66 0.66 0.67 0.67 0.67

1.19 1.21 1.22 1.23 1.24 1.25

0.68 0.69 0.70 0.71 0.71 0.71

0.75 0.76 0.77 0.77 0.78 0.78

0.57 0.58 0.58 0.59 0.59 0.59

0.42 0.42 0.43 0.43 0.43 0.43

0.00 0.00 0.00 0.00 0.00 0.00

0.33 0.34 0.34 0.34 0.34 0.35

0.28 0.28 0.29 0.29 0.29 0.29

0.51 0.52 0.52 0.53 0.53 0.53

0.04 0.05 0.05 0.05 0.05 0.05

-0.08 -0.08 -0.08 -0.09 -0.09 -0.09

0.10 0.10 0.10 0.10 0.10 0.10

0.17 0.17 0.18 0.18 0.18 0.18

0.70 0.71 0.72 0.73 0.73 0.73

0.88 0.89 0.90 0.91 0.91 0.92

0.86 0.87 0.88 0.89 0.89 0.90

0.86 0.87 0.88 0.89 0.89 0.90

1.40 1.42 1.44 1.45 1.46 1.46

1.21 1.23 1.24 1.25 1.26 1.26

1.03 1.04 1.05 1.06 1.07 1.07

0.67 0.68 0.68 0.69 0.69 0.70

Page 52: Triade Do Dinheiro - Fronteira Eficiente

0.62 0.63 0.63 0.64 0.64 0.64

0.92 0.93 0.94 0.95 0.95 0.96

0.66 0.67 0.68 0.68 0.69 0.69

0.73 0.74 0.74 0.75 0.75 0.76

0.59 0.60 0.60 0.61 0.61 0.61

0.08 0.08 0.08 0.09 0.09 0.09

-0.13 -0.13 -0.13 -0.13 -0.13 -0.13

-0.27 -0.27 -0.28 -0.28 -0.28 -0.28

-0.80 -0.81 -0.82 -0.83 -0.83 -0.83

-1.35 -1.37 -1.39 -1.40 -1.40 -1.41

-1.36 -1.38 -1.40 -1.41 -1.42 -1.42

-1.32 -1.34 -1.36 -1.37 -1.37 -1.38

-1.21 -1.23 -1.24 -1.25 -1.26 -1.26

-1.34 -1.36 -1.38 -1.39 -1.39 -1.40

-1.20 -1.21 -1.23 -1.24 -1.24 -1.25

-1.12 -1.14 -1.15 -1.16 -1.16 -1.17

-0.98 -0.99 -1.00 -1.01 -1.01 -1.02

-0.78 -0.80 -0.80 -0.81 -0.81 -0.82

Page 53: Triade Do Dinheiro - Fronteira Eficiente

0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00%

21.00%

21.50%

22.00%

22.50%

23.00%

23.50%

24.00%

24.50%

25.00%

25.50%

100% Selic

90% Selic / 10% Ibov

80% Selic / 20% Ibo

70% Selic / 30% Ibov

60% Selic / 40% Ibov

50% Selic / 50% Ibov

40% Selic / 60% Ibov

30% Selic / 70% Ibov

20% Selic / 80% Ibov

10% Selic / 90% Ibov

100% Ibov

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al

Page 54: Triade Do Dinheiro - Fronteira Eficiente

Dolar x Ibov (1999)

Parametros Ibov 90i/10d 80i/20d 70i/30d 60i/40d 50i/50d 40i/60d 30i/70dDp Anual 38.16% 33.02% 27.98% 23.12% 18.57% 14.62% 11.91% 11.33%

Retorno Media 22.27% 20.39% 18.51% 16.63% 14.75% 12.86% 10.98% 9.10%

Sharpe Media - -0.0570 -0.1345 -0.2442 -0.4054 -0.6435 -0.9484 -1.1625

DP Sharpe - 0.1642 0.3875 0.7036 1.1680 1.8536 2.7322 3.3488

VAR IC 95% -40.50% -33.92% -27.52% -21.40% -15.80% -11.19% -8.60% -9.54%

Resolver o Sharpe: Incluir Selic para calcula-lo

Retornos AnualizadosData Ibov 90i/10d 80i/20d 70i/30d 60i/40d 50i/50d 40i/60d 30i/70d

01/99 a 12/99 143.91% 134.61% 125.31% 116.01% 106.71% 97.41% 88.12% 78.82%

02/99 a 01/00 85.83% 76.01% 66.19% 56.38% 46.56% 36.74% 26.93% 17.11%

03/99 a 02/00 95.18% 84.41% 73.64% 62.87% 52.11% 41.34% 30.57% 19.80%

04/99 a 03/00 56.47% 51.02% 45.56% 40.11% 34.65% 29.20% 23.74% 18.29%

05/99 a 04/00 35.75% 32.96% 30.17% 27.39% 24.60% 21.82% 19.03% 16.24%

06/99 a 05/00 39.82% 36.35% 32.88% 29.41% 25.94% 22.47% 18.99% 15.52%

07/99 a 06/00 45.95% 41.60% 37.25% 32.90% 28.54% 24.19% 19.84% 15.49%

08/99 a 07/00 59.52% 53.34% 47.16% 40.98% 34.79% 28.61% 22.43% 16.25%

09/99 a 08/00 61.23% 54.53% 47.83% 41.14% 34.44% 27.74% 21.05% 14.35%

10/99 a 09/00 41.97% 37.30% 32.62% 27.94% 23.26% 18.59% 13.91% 9.23%

11/99 a 10/00 25.75% 22.87% 19.98% 17.10% 14.21% 11.33% 8.44% 5.56%

12/99 a 11/00 -3.15% -2.65% -2.14% -1.64% -1.14% -0.64% -0.13% 0.37%

01/00 a 12/00 -8.89% -7.28% -5.68% -4.07% -2.46% -0.86% 0.75% 2.36%

02/00 a 01/01 3.12% 3.86% 4.60% 5.34% 6.08% 6.82% 7.56% 8.30%

03/00 a 02/01 -8.56% -6.30% -4.03% -1.77% 0.49% 2.76% 5.02% 7.29%

04/00 a 03/01 -18.93% -14.60% -10.27% -5.94% -1.61% 2.72% 7.05% 11.38%

05/00 a 04/01 -4.04% -1.39% 1.25% 3.90% 6.55% 9.19% 11.84% 14.49%

06/00 a 05/01 -4.27% -0.83% 2.60% 6.03% 9.46% 12.89% 16.33% 19.76%

07/00 a 06/01 -14.82% -10.36% -5.89% -1.43% 3.04% 7.51% 11.97% 16.44%

08/00 a 07/01 -15.63% -10.11% -4.59% 0.92% 6.44% 11.96% 17.48% 23.00%

09/00 a 08/01 -27.18% -20.44% -13.70% -6.96% -0.21% 6.53% 13.27% 20.01%

10/00 a 09/01 -32.51% -24.58% -16.65% -8.72% -0.80% 7.13% 15.06% 22.99%

11/00 a 10/01 -23.01% -17.12% -11.22% -5.32% 0.57% 6.47% 12.36% 18.26%

12/00 a 11/01 -0.75% 1.77% 4.30% 6.82% 9.34% 11.87% 14.39% 16.92%

01/01 a 12/01 -10.07% -7.25% -4.43% -1.61% 1.21% 4.03% 6.85% 9.67%

02/01 a 01/02 -25.71% -20.93% -16.15% -11.38% -6.60% -1.83% 2.95% 7.73%

03/01 a 02/02 -12.63% -9.89% -7.16% -4.43% -1.69% 1.04% 3.77% 6.51%

04/01 a 03/02 -3.68% -2.74% -1.81% -0.88% 0.06% 0.99% 1.92% 2.86%

05/01 a 04/02 -15.84% -13.37% -10.90% -8.43% -5.96% -3.49% -1.02% 1.45%

06/01 a 05/02 -14.41% -12.07% -9.72% -7.38% -5.04% -2.69% -0.35% 2.00%

07/01 a 06/02 -25.17% -20.36% -15.55% -10.75% -5.94% -1.14% 3.67% 8.48%

08/01 a 07/02 -28.99% -24.05% -19.10% -14.16% -9.22% -4.28% 0.66% 5.61%

09/01 a 08/02 -18.92% -14.90% -10.89% -6.87% -2.85% 1.17% 5.18% 9.20%

10/01 a 09/02 -14.32% -9.36% -4.40% 0.57% 5.53% 10.49% 15.45% 20.42%

11/01 a 10/02 -10.95% -6.27% -1.59% 3.10% 7.78% 12.46% 17.14% 21.83%

12/01 a 11/02 -19.97% -12.86% -5.75% 1.36% 8.47% 15.58% 22.69% 29.80%

01/02 a 12/02 -16.36% -9.75% -3.13% 3.49% 10.10% 16.72% 23.34% 29.95%

02/02 a 01/03 -13.81% -7.74% -1.67% 4.39% 10.46% 16.53% 22.60% 28.66%

03/02 a 02/03 -28.15% -20.32% -12.49% -4.66% 3.18% 11.01% 18.84% 26.67%

Page 55: Triade Do Dinheiro - Fronteira Eficiente

04/02 a 03/03 -13.92% -8.34% -2.75% 2.83% 8.42% 14.00% 19.59% 25.17%

05/02 a 04/03 2.17% 4.56% 6.95% 9.35% 11.74% 14.13% 16.52% 18.91%

06/02 a 05/03 4.49% 5.39% 6.28% 7.17% 8.06% 8.95% 9.84% 10.74%

07/02 a 06/03 22.03% 19.57% 17.11% 14.66% 12.20% 9.75% 7.29% 4.84%

08/02 a 07/03 34.53% 31.31% 28.08% 24.85% 21.63% 18.40% 15.17% 11.95%

09/02 a 08/03 47.93% 42.69% 37.46% 32.22% 26.99% 21.75% 16.52% 11.28%

10/02 a 09/03 84.26% 73.75% 63.25% 52.74% 42.23% 31.72% 21.21% 10.70%

11/02 a 10/03 82.61% 72.45% 62.29% 52.13% 41.96% 31.80% 21.64% 11.48%

12/02 a 11/03 92.26% 81.00% 69.73% 58.47% 47.20% 35.94% 24.68% 13.41%

01/03 a 12/03 93.45% 82.41% 71.37% 60.33% 49.29% 38.25% 27.21% 16.17%

02/03 a 01/04 99.69% 87.91% 76.13% 64.35% 52.58% 40.80% 29.02% 17.24%

03/03 a 02/04 118.32% 104.77% 91.22% 77.67% 64.12% 50.56% 37.01% 23.46%

04/03 a 03/05 95.37% 84.70% 74.04% 63.38% 52.72% 42.05% 31.39% 20.73%

05/03 a 04/04 53.85% 48.24% 42.64% 37.03% 31.43% 25.82% 20.21% 14.61%

06/03 a 05/04 47.75% 43.62% 39.50% 35.37% 31.24% 27.11% 22.98% 18.85%

07/03 a 06/04 60.62% 55.36% 50.09% 44.83% 39.57% 34.31% 29.04% 23.78%

08/03 a 07/04 70.98% 63.83% 56.67% 49.52% 42.37% 35.21% 28.06% 20.91%

09/03 a 08/04 46.64% 41.89% 37.14% 32.38% 27.63% 22.88% 18.13% 13.38%

10/03 a 09/04 43.43% 38.83% 34.24% 29.65% 25.06% 20.47% 15.88% 11.29%

11/03 a 10/04 25.68% 23.01% 20.34% 17.67% 15.00% 12.33% 9.66% 6.99%

12/03 a 11/04 22.97% 19.97% 16.97% 13.96% 10.96% 7.95% 4.95% 1.95%

01/04 a 12/04 14.61% 12.57% 10.53% 8.49% 6.45% 4.41% 2.37% 0.33%

02/04 a 01/05 10.85% 8.76% 6.67% 4.58% 2.49% 0.40% -1.69% -3.78%

03/04 a 02/05 23.25% 20.06% 16.88% 13.69% 10.50% 7.32% 4.13% 0.94%

04/04 a 03/05 18.22% 15.59% 12.96% 10.33% 7.70% 5.07% 2.43% -0.20%

05/04 a 04/05 25.35% 21.24% 17.13% 13.01% 8.90% 4.79% 0.68% -3.43%

06/04 a 05/05 32.76% 27.21% 21.65% 16.10% 10.54% 4.99% -0.57% -6.12%

07/04 a 06/05 18.56% 14.51% 10.45% 6.39% 2.34% -1.72% -5.78% -9.84%

08/04 a 07/05 17.15% 13.14% 9.14% 5.13% 1.13% -2.88% -6.89% -10.89%

09/04 a 08/05 24.21% 19.72% 15.24% 10.75% 6.27% 1.78% -2.70% -7.19%

10/04 a 09/05 33.98% 28.57% 23.17% 17.77% 12.36% 6.96% 1.55% -3.85%

11/04 a 10/05 32.77% 27.34% 21.90% 16.46% 11.03% 5.59% 0.16% -5.28%

12/04 a 11/05 29.26% 24.44% 19.62% 14.80% 9.98% 5.15% 0.33% -4.49%

01/05 a 12/05 30.27% 25.90% 21.54% 17.18% 12.82% 8.46% 4.09% -0.27%

02/05 a 01/06 59.36% 51.91% 44.45% 37.00% 29.55% 22.09% 14.64% 7.19%

03/05 a 02/06 41.29% 35.15% 29.01% 22.87% 16.73% 10.59% 4.45% -1.69%

04/05 a 03/06 44.61% 38.17% 31.73% 25.29% 18.85% 12.42% 5.98% -0.46%

05/05 a 04/06 66.03% 57.72% 49.41% 41.10% 32.79% 24.47% 16.16% 7.85%

06/05 a 05/06 45.48% 40.33% 35.19% 30.05% 24.90% 19.76% 14.62% 9.48%

07/05 a 06/06 47.59% 41.97% 36.35% 30.73% 25.11% 19.49% 13.87% 8.25%

08/05 a 07/06 40.08% 35.34% 30.60% 25.85% 21.11% 16.36% 11.62% 6.88%

09/05 a 08/06 33.50% 29.26% 25.02% 20.78% 16.54% 12.31% 8.07% 3.83%

10/05 a 09/06 16.33% 14.31% 12.29% 10.27% 8.26% 6.24% 4.22% 2.20%

11/05 a 10/06 29.23% 25.94% 22.65% 19.36% 16.08% 12.79% 9.50% 6.21%

12/05 a 11/06 26.70% 23.83% 20.96% 18.08% 15.21% 12.33% 9.46% 6.58%

01/06 a 12/06 35.44% 31.08% 26.71% 22.35% 17.98% 13.62% 9.26% 4.89%

02/06 a 01/07 16.45% 14.26% 12.06% 9.87% 7.68% 5.48% 3.29% 1.10%

03/06 a 02/07 11.08% 10.06% 9.05% 8.04% 7.02% 6.01% 5.00% 3.99%

04/06 a 03/07 17.77% 15.53% 13.30% 11.06% 8.82% 6.59% 4.35% 2.11%

05/06 a 04/07 20.61% 18.33% 16.04% 13.75% 11.46% 9.17% 6.89% 4.60%

06/06 a 05/07 41.52% 35.84% 30.15% 24.46% 18.78% 13.09% 7.40% 1.72%

07/06 a 06/07 48.22% 42.21% 36.20% 30.18% 24.17% 18.16% 12.14% 6.13%

08/06 a 07/07 47.22% 41.09% 34.96% 28.84% 22.71% 16.59% 10.46% 4.33%

09/06 a 08/07 46.89% 41.37% 35.86% 30.35% 24.83% 19.32% 13.81% 8.29%

10/06 a 09/07 68.23% 59.80% 51.37% 42.94% 34.51% 26.08% 17.65% 9.22%

11/06 a 10/07 60.41% 52.54% 44.67% 36.80% 28.93% 21.06% 13.19% 5.32%

12/06 a 11/07 52.92% 45.92% 38.92% 31.91% 24.91% 17.91% 10.90% 3.90%

01/07 a 12/07 38.41% 32.85% 27.29% 21.73% 16.16% 10.60% 5.04% -0.52%

Page 56: Triade Do Dinheiro - Fronteira Eficiente

02/07 a 01/08 36.29% 30.96% 25.62% 20.28% 14.95% 9.61% 4.27% -1.06%

03/07 a 02/08 48.20% 41.22% 34.24% 27.26% 20.28% 13.30% 6.32% -0.66%

04/07 a 03/08 37.67% 32.47% 27.27% 22.07% 16.86% 11.66% 6.46% 1.26%

05/07 a 04/08 40.22% 34.33% 28.44% 22.55% 16.67% 10.78% 4.89% -1.00%

06/07 a 05/08 34.58% 29.59% 24.59% 19.60% 14.60% 9.61% 4.61% -0.38%

07/07 a 06/08 14.49% 11.44% 8.39% 5.34% 2.28% -0.77% -3.82% -6.87%

08/07 a 07/08 6.26% 3.97% 1.67% -0.63% -2.93% -5.22% -7.52% -9.82%

09/07 a 08/08 0.60% -0.98% -2.57% -4.15% -5.74% -7.33% -8.91% -10.50%

10/07 a 09/08 -20.12% -17.52% -14.92% -12.32% -9.72% -7.12% -4.53% -1.93%

11/07 a 10/08 -41.83% -35.29% -28.75% -22.21% -15.67% -9.13% -2.59% 3.95%

12/07 a 11/08 -42.10% -34.98% -27.87% -20.75% -13.64% -6.53% 0.59% 7.70%

01/08 a 12/08 -40.22% -33.02% -25.82% -18.62% -11.42% -4.22% 2.99% 10.19%

02/08 a 01/09 -35.66% -28.82% -21.97% -15.13% -8.29% -1.45% 5.39% 12.24%

03/08 a 02/09 -40.79% -32.54% -24.30% -16.05% -7.80% 0.45% 8.70% 16.94%

04/08 a 03/09 -34.81% -28.04% -21.28% -14.51% -7.75% -0.98% 5.78% 12.54%

05/08 a 04/09 -31.82% -25.40% -18.97% -12.55% -6.12% 0.30% 6.73% 13.15%

06/08 a 05/09 -26.18% -21.50% -16.82% -12.13% -7.45% -2.77% 1.91% 6.59%

07/08 a 06/09 -18.82% -14.70% -10.58% -6.46% -2.34% 1.77% 5.89% 10.01%

Page 57: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosIbov Dolar Retorno Risco (DP)100% 0% 22.27% 38.16%

20i/80d 10i/90d Dolar 90% 10% 20.39% 33.02%

13.19% 16.68% 21.00% 80% 20% 18.51% 27.98%

7.22% 5.34% 3.45% 70% 30% 16.63% 23.12%

-1.1417 -1.0156 -0.8960 60% 40% 14.75% 18.57%

3.2890 2.9257 2.5812 50% 50% 12.86% 14.62%

-14.47% -22.10% -31.10% 40% 60% 10.98% 11.91%

30% 70% 9.10% 11.33%

20% 80% 7.22% 13.19%

10% 90% 5.34% 16.68%

0% 100% 3.45% 21.00%

Sharpe20i/80d 10i/90d Dolar Ibov 90i/10d 80i/20d 70i/30d 60i/40d69.52% 60.22% 50.92% 3.77 -0.28 -0.66 -1.21 -2.00

7.29% -2.52% -12.34% 2.25 -0.30 -0.70 -1.27 -2.11

9.03% -1.74% -12.51% 2.49 -0.33 -0.77 -1.40 -2.32

12.83% 7.38% 1.92% 1.48 -0.17 -0.39 -0.71 -1.18

13.46% 10.67% 7.89% 0.94 -0.08 -0.20 -0.36 -0.60

12.05% 8.58% 5.11% 1.04 -0.11 -0.25 -0.45 -0.75

11.14% 6.79% 2.43% 1.20 -0.13 -0.31 -0.56 -0.94

10.07% 3.88% -2.30% 1.56 -0.19 -0.44 -0.80 -1.33

7.65% 0.95% -5.74% 1.60 -0.20 -0.48 -0.87 -1.44

4.55% -0.13% -4.80% 1.10 -0.14 -0.33 -0.61 -1.01

2.68% -0.21% -3.09% 0.67 -0.09 -0.21 -0.37 -0.62

0.87% 1.37% 1.88% -0.08 0.02 0.04 0.07 0.11

3.96% 5.57% 7.18% -0.23 0.05 0.11 0.21 0.35

9.04% 9.78% 10.52% 0.08 0.02 0.05 0.10 0.16

9.55% 11.81% 14.08% -0.22 0.07 0.16 0.29 0.49

15.71% 20.04% 24.37% -0.50 0.13 0.31 0.56 0.93

17.13% 19.78% 22.43% -0.11 0.08 0.19 0.34 0.57

23.19% 26.62% 30.05% -0.11 0.10 0.25 0.45 0.74

20.90% 25.37% 29.83% -0.39 0.14 0.32 0.58 0.96

28.52% 34.03% 39.55% -0.41 0.17 0.39 0.72 1.19

26.75% 33.49% 40.23% -0.71 0.20 0.48 0.87 1.45

30.92% 38.84% 46.77% -0.85 0.24 0.57 1.03 1.71

24.16% 30.05% 35.95% -0.60 0.18 0.42 0.77 1.27

19.44% 21.96% 24.49% -0.02 0.08 0.18 0.33 0.54

12.49% 15.31% 18.13% -0.26 0.09 0.20 0.37 0.61

12.50% 17.28% 22.05% -0.67 0.14 0.34 0.62 1.03

9.24% 11.98% 14.71% -0.33 0.08 0.20 0.35 0.59

3.79% 4.72% 5.66% -0.10 0.03 0.07 0.12 0.20

3.92% 6.39% 8.86% -0.41 0.07 0.18 0.32 0.53

4.34% 6.69% 9.03% -0.38 0.07 0.17 0.30 0.51

13.28% 18.09% 22.89% -0.66 0.15 0.34 0.62 1.04

10.55% 15.49% 20.43% -0.76 0.15 0.35 0.64 1.06

13.22% 17.24% 21.25% -0.50 0.12 0.29 0.52 0.87

25.38% 30.34% 35.30% -0.38 0.15 0.35 0.64 1.07

26.51% 31.19% 35.87% -0.29 0.14 0.33 0.61 1.01

36.91% 44.02% 51.13% -0.52 0.22 0.51 0.92 1.53

36.57% 43.19% 49.80% -0.43 0.20 0.47 0.86 1.43

34.73% 40.80% 46.86% -0.36 0.18 0.43 0.79 1.31

34.51% 42.34% 50.17% -0.74 0.24 0.56 1.02 1.69

Page 58: Triade Do Dinheiro - Fronteira Eficiente

30.75% 36.34% 41.92% -0.36 0.17 0.40 0.72 1.20

21.31% 23.70% 26.09% 0.06 0.07 0.17 0.31 0.52

11.63% 12.52% 13.41% 0.12 0.03 0.06 0.12 0.19

2.38% -0.07% -2.53% 0.58 -0.07 -0.18 -0.32 -0.53

8.72% 5.49% 2.27% 0.90 -0.10 -0.23 -0.42 -0.70

6.05% 0.81% -4.42% 1.26 -0.16 -0.37 -0.68 -1.13

0.20% -10.31% -20.82% 2.21 -0.32 -0.75 -1.36 -2.26

1.32% -8.85% -19.01% 2.17 -0.31 -0.73 -1.32 -2.19

2.15% -9.12% -20.38% 2.42 -0.34 -0.81 -1.46 -2.43

5.14% -5.90% -16.94% 2.45 -0.33 -0.79 -1.43 -2.38

5.47% -6.31% -18.09% 2.61 -0.36 -0.84 -1.53 -2.54

9.91% -3.64% -17.19% 3.10 -0.41 -0.97 -1.76 -2.92

10.07% -0.60% -11.26% 2.50 -0.32 -0.76 -1.38 -2.30

9.00% 3.40% -2.21% 1.41 -0.17 -0.40 -0.73 -1.21

14.72% 10.59% 6.46% 1.25 -0.13 -0.30 -0.54 -0.89

18.52% 13.26% 7.99% 1.59 -0.16 -0.38 -0.68 -1.13

13.75% 6.60% -0.55% 1.86 -0.22 -0.51 -0.93 -1.54

8.63% 3.87% -0.88% 1.22 -0.14 -0.34 -0.62 -1.02

6.70% 2.11% -2.48% 1.14 -0.14 -0.33 -0.60 -0.99

4.32% 1.66% -1.01% 0.67 -0.08 -0.19 -0.35 -0.58

-1.06% -4.06% -7.06% 0.60 -0.09 -0.21 -0.39 -0.65

-1.71% -3.74% -5.78% 0.38 -0.06 -0.15 -0.26 -0.44

-5.87% -7.96% -10.05% 0.28 -0.06 -0.15 -0.27 -0.45

-2.24% -5.43% -8.62% 0.61 -0.10 -0.23 -0.41 -0.69

-2.83% -5.46% -8.09% 0.48 -0.08 -0.19 -0.34 -0.57

-7.54% -11.66% -15.77% 0.66 -0.12 -0.29 -0.53 -0.89

-11.68% -17.23% -22.79% 0.86 -0.17 -0.40 -0.72 -1.20

-13.89% -17.95% -22.01% 0.49 -0.12 -0.29 -0.53 -0.87

-14.90% -18.90% -22.91% 0.45 -0.12 -0.29 -0.52 -0.86

-11.68% -16.16% -20.65% 0.63 -0.14 -0.32 -0.58 -0.97

-9.26% -14.66% -20.06% 0.89 -0.16 -0.39 -0.70 -1.16

-10.72% -16.15% -21.59% 0.86 -0.16 -0.39 -0.71 -1.17

-9.31% -14.13% -18.95% 0.77 -0.15 -0.34 -0.63 -1.04

-4.63% -8.99% -13.36% 0.79 -0.13 -0.31 -0.57 -0.94

-0.27% -7.72% -15.17% 1.56 -0.23 -0.53 -0.97 -1.61

-7.83% -13.97% -20.11% 1.08 -0.19 -0.44 -0.80 -1.32

-6.90% -13.34% -19.78% 1.17 -0.20 -0.46 -0.84 -1.39

-0.46% -8.77% -17.08% 1.73 -0.25 -0.59 -1.08 -1.79

4.33% -0.81% -5.95% 1.19 -0.16 -0.37 -0.67 -1.11

2.64% -2.98% -8.60% 1.25 -0.17 -0.40 -0.73 -1.21

2.13% -2.61% -7.36% 1.05 -0.14 -0.34 -0.62 -1.02

-0.41% -4.65% -8.89% 0.88 -0.13 -0.30 -0.55 -0.91

0.18% -1.83% -3.85% 0.43 -0.06 -0.14 -0.26 -0.43

2.93% -0.36% -3.65% 0.77 -0.10 -0.24 -0.43 -0.71

3.71% 0.84% -2.04% 0.70 -0.09 -0.21 -0.37 -0.62

0.53% -3.84% -8.20% 0.93 -0.13 -0.31 -0.57 -0.94

-1.10% -3.29% -5.48% 0.43 -0.07 -0.16 -0.28 -0.47

2.97% 1.96% 0.95% 0.29 -0.03 -0.07 -0.13 -0.22

-0.12% -2.36% -4.59% 0.47 -0.07 -0.16 -0.29 -0.48

2.31% 0.02% -2.27% 0.54 -0.07 -0.16 -0.30 -0.49

-3.97% -9.65% -15.34% 1.09 -0.17 -0.41 -0.74 -1.23

0.12% -5.89% -11.91% 1.26 -0.18 -0.43 -0.78 -1.30

-1.79% -7.92% -14.04% 1.24 -0.19 -0.44 -0.80 -1.32

2.78% -2.73% -8.25% 1.23 -0.17 -0.39 -0.72 -1.19

0.79% -7.64% -16.07% 1.79 -0.26 -0.60 -1.09 -1.82

-2.55% -10.42% -18.29% 1.58 -0.24 -0.56 -1.02 -1.70

-3.11% -10.11% -17.11% 1.39 -0.21 -0.50 -0.91 -1.51

-6.09% -11.65% -17.21% 1.01 -0.17 -0.40 -0.72 -1.20

Page 59: Triade Do Dinheiro - Fronteira Eficiente

-6.40% -11.73% -17.07% 0.95 -0.16 -0.38 -0.69 -1.15

-7.64% -14.62% -21.60% 1.26 -0.21 -0.50 -0.91 -1.50

-3.94% -9.15% -14.35% 0.99 -0.16 -0.37 -0.68 -1.12

-6.88% -12.77% -18.66% 1.05 -0.18 -0.42 -0.76 -1.27

-5.38% -10.37% -15.37% 0.91 -0.15 -0.36 -0.65 -1.08

-9.92% -12.98% -16.03% 0.38 -0.09 -0.22 -0.40 -0.66

-12.12% -14.41% -16.71% 0.16 -0.07 -0.16 -0.30 -0.49

-12.08% -13.67% -15.25% 0.02 -0.05 -0.11 -0.21 -0.34

0.67% 3.27% 5.87% -0.53 0.08 0.19 0.34 0.56

10.49% 17.03% 23.57% -1.10 0.20 0.47 0.85 1.41

14.81% 21.93% 29.04% -1.10 0.22 0.51 0.92 1.53

17.39% 24.59% 31.79% -1.05 0.22 0.51 0.93 1.55

19.08% 25.92% 32.76% -0.93 0.21 0.49 0.89 1.47

25.19% 33.44% 41.69% -1.07 0.25 0.59 1.07 1.78

19.31% 26.07% 32.84% -0.91 0.20 0.48 0.88 1.46

19.57% 26.00% 32.42% -0.83 0.19 0.46 0.83 1.38

11.27% 15.96% 20.64% -0.69 0.14 0.33 0.61 1.01

14.13% 18.25% 22.37% -0.49 0.12 0.29 0.53 0.89

Page 60: Triade Do Dinheiro - Fronteira Eficiente

50i/50d 40i/60d 30i/70d 20i/80d 10i/90d Dolar -3.18 -4.69 -5.74 -5.64 -5.02 -4.43

-3.36 -4.95 -6.06 -5.96 -5.30 -4.67

-3.68 -5.43 -6.65 -6.53 -5.81 -5.13

-1.87 -2.75 -3.37 -3.31 -2.94 -2.60

-0.95 -1.40 -1.72 -1.69 -1.50 -1.33

-1.19 -1.75 -2.14 -2.11 -1.87 -1.65

-1.49 -2.19 -2.69 -2.64 -2.35 -2.07

-2.11 -3.12 -3.82 -3.75 -3.34 -2.94

-2.29 -3.38 -4.14 -4.06 -3.61 -3.19

-1.60 -2.36 -2.89 -2.84 -2.52 -2.23

-0.99 -1.45 -1.78 -1.75 -1.56 -1.37

0.17 0.25 0.31 0.30 0.27 0.24

0.55 0.81 0.99 0.97 0.87 0.77

0.25 0.37 0.46 0.45 0.40 0.35

0.77 1.14 1.40 1.37 1.22 1.08

1.48 2.18 2.67 2.63 2.34 2.06

0.90 1.33 1.63 1.61 1.43 1.26

1.17 1.73 2.12 2.08 1.85 1.63

1.53 2.25 2.76 2.71 2.41 2.13

1.89 2.78 3.41 3.35 2.98 2.63

2.30 3.40 4.16 4.09 3.64 3.21

2.71 4.00 4.90 4.81 4.28 3.77

2.02 2.97 3.64 3.58 3.18 2.81

0.86 1.27 1.56 1.53 1.36 1.20

0.96 1.42 1.74 1.71 1.52 1.34

1.63 2.41 2.95 2.90 2.58 2.27

0.93 1.38 1.69 1.66 1.48 1.30

0.32 0.47 0.58 0.57 0.50 0.44

0.84 1.24 1.53 1.50 1.33 1.18

0.80 1.18 1.45 1.42 1.27 1.12

1.64 2.42 2.97 2.92 2.59 2.29

1.69 2.49 3.05 3.00 2.67 2.35

1.37 2.02 2.48 2.44 2.17 1.91

1.70 2.50 3.07 3.01 2.68 2.36

1.60 2.36 2.89 2.84 2.53 2.23

2.43 3.58 4.39 4.31 3.84 3.39

2.26 3.33 4.09 4.01 3.57 3.15

2.07 3.06 3.75 3.68 3.27 2.89

2.68 3.95 4.84 4.75 4.23 3.73

Page 61: Triade Do Dinheiro - Fronteira Eficiente

1.91 2.81 3.45 3.39 3.01 2.66

0.82 1.21 1.48 1.45 1.29 1.14

0.30 0.45 0.55 0.54 0.48 0.42

-0.84 -1.24 -1.52 -1.49 -1.33 -1.17

-1.10 -1.63 -1.99 -1.96 -1.74 -1.54

-1.79 -2.64 -3.23 -3.18 -2.83 -2.49

-3.59 -5.30 -6.49 -6.38 -5.67 -5.00

-3.47 -5.12 -6.28 -6.17 -5.48 -4.84

-3.85 -5.68 -6.96 -6.83 -6.08 -5.36

-3.77 -5.56 -6.82 -6.70 -5.96 -5.26

-4.03 -5.94 -7.28 -7.15 -6.36 -5.61

-4.63 -6.83 -8.37 -8.22 -7.31 -6.45

-3.65 -5.37 -6.59 -6.47 -5.75 -5.08

-1.92 -2.83 -3.46 -3.40 -3.03 -2.67

-1.41 -2.08 -2.55 -2.51 -2.23 -1.97

-1.80 -2.65 -3.25 -3.19 -2.84 -2.51

-2.45 -3.61 -4.42 -4.34 -3.86 -3.41

-1.62 -2.39 -2.94 -2.88 -2.56 -2.26

-1.57 -2.31 -2.84 -2.79 -2.48 -2.19

-0.91 -1.35 -1.65 -1.62 -1.44 -1.27

-1.03 -1.51 -1.86 -1.82 -1.62 -1.43

-0.70 -1.03 -1.26 -1.24 -1.10 -0.97

-0.71 -1.05 -1.29 -1.27 -1.13 -0.99

-1.09 -1.61 -1.97 -1.93 -1.72 -1.52

-0.90 -1.33 -1.63 -1.60 -1.42 -1.25

-1.41 -2.07 -2.54 -2.49 -2.22 -1.96

-1.90 -2.80 -3.43 -3.37 -3.00 -2.64

-1.39 -2.04 -2.51 -2.46 -2.19 -1.93

-1.37 -2.02 -2.47 -2.43 -2.16 -1.91

-1.53 -2.26 -2.77 -2.72 -2.42 -2.14

-1.85 -2.72 -3.34 -3.28 -2.92 -2.57

-1.86 -2.74 -3.36 -3.30 -2.93 -2.59

-1.65 -2.43 -2.98 -2.92 -2.60 -2.30

-1.49 -2.20 -2.69 -2.65 -2.35 -2.08

-2.55 -3.76 -4.60 -4.52 -4.02 -3.55

-2.10 -3.09 -3.79 -3.72 -3.31 -2.92

-2.20 -3.25 -3.98 -3.91 -3.48 -3.07

-2.84 -4.19 -5.13 -5.04 -4.49 -3.96

-1.76 -2.59 -3.18 -3.12 -2.78 -2.45

-1.92 -2.83 -3.47 -3.41 -3.03 -2.68

-1.62 -2.39 -2.93 -2.88 -2.56 -2.26

-1.45 -2.14 -2.62 -2.57 -2.29 -2.02

-0.69 -1.02 -1.25 -1.22 -1.09 -0.96

-1.12 -1.66 -2.03 -1.99 -1.77 -1.57

-0.98 -1.45 -1.78 -1.74 -1.55 -1.37

-1.49 -2.20 -2.70 -2.65 -2.36 -2.08

-0.75 -1.11 -1.35 -1.33 -1.18 -1.04

-0.35 -0.51 -0.63 -0.61 -0.55 -0.48

-0.76 -1.13 -1.38 -1.36 -1.21 -1.06

-0.78 -1.15 -1.41 -1.39 -1.23 -1.09

-1.94 -2.87 -3.51 -3.45 -3.07 -2.71

-2.06 -3.03 -3.71 -3.65 -3.24 -2.86

-2.09 -3.09 -3.78 -3.72 -3.31 -2.92

-1.89 -2.78 -3.41 -3.35 -2.98 -2.63

-2.88 -4.25 -5.21 -5.11 -4.55 -4.01

-2.69 -3.97 -4.86 -4.77 -4.25 -3.75

-2.39 -3.53 -4.33 -4.25 -3.78 -3.33

-1.90 -2.80 -3.44 -3.37 -3.00 -2.65

Page 62: Triade Do Dinheiro - Fronteira Eficiente

-1.82 -2.69 -3.30 -3.24 -2.88 -2.54

-2.39 -3.52 -4.31 -4.23 -3.77 -3.32

-1.78 -2.62 -3.21 -3.16 -2.81 -2.48

-2.01 -2.97 -3.64 -3.57 -3.18 -2.80

-1.71 -2.52 -3.09 -3.03 -2.70 -2.38

-1.04 -1.54 -1.89 -1.85 -1.65 -1.45

-0.79 -1.16 -1.42 -1.39 -1.24 -1.09

-0.54 -0.80 -0.98 -0.96 -0.86 -0.75

0.89 1.31 1.61 1.58 1.40 1.24

2.24 3.30 4.04 3.97 3.53 3.11

2.43 3.59 4.39 4.32 3.84 3.39

2.46 3.63 4.45 4.37 3.89 3.43

2.34 3.45 4.23 4.15 3.69 3.26

2.82 4.16 5.09 5.00 4.45 3.93

2.31 3.41 4.18 4.10 3.65 3.22

2.20 3.24 3.97 3.90 3.47 3.06

1.60 2.36 2.89 2.84 2.53 2.23

1.41 2.08 2.54 2.50 2.22 1.96

Page 63: Triade Do Dinheiro - Fronteira Eficiente

5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

100% Ibov

10% Dólar / 90% Ibov

20% Dólar / 80% Ibov

30% Dólar / 70% Ibov

40% Dólar / 60% Ibov

50% Dólar / 50% Ibov

60% Dólar / 40% Ibov

70% Dólar / 30% Ibov

80% Dólar / 20% Ibovv

90% Dólar / 10% Ibov

100% Dólar

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al

Page 64: Triade Do Dinheiro - Fronteira Eficiente

Ouro x Ibov (1999)

Parametros Ibov 90i/10o 80i/20o 70i/30o 60i/40o 50i/50o 40i/60o 30i/70oDp Anual 38.16% 33.47% 28.91% 24.55% 20.52% 17.05% 14.56% 13.59%

Retorno Media 22.27% 21.63% 20.98% 20.34% 19.69% 19.05% 18.41% 17.76%

Sharpe Media - -0.0193 -0.0446 -0.0788 -0.1257 -0.1891 -0.2657 -0.3321

DP Sharpe - 0.1515 0.3509 0.6198 0.9887 1.4871 2.0899 2.6124

VAR IC 95% -40.50% -33.43% -26.57% -20.04% -14.05% -9.00% -5.54% -4.59%

Resolver o Sharpe: Incluir Selic para calcula-lo

Retornos AnualizadosData Ibov 90i/10o 80i/20o 70i/30o 60i/40o 50i/50o 40i/60o 30i/70o

01/99 a 12/99 143.91% 134.53% 125.14% 115.75% 106.37% 96.98% 87.59% 78.20%

02/99 a 01/00 85.83% 76.65% 67.47% 58.29% 49.11% 39.93% 30.75% 21.57%

03/99 a 02/00 95.18% 83.86% 72.53% 61.21% 49.88% 38.56% 27.23% 15.91%

04/99 a 03/00 56.47% 50.98% 45.50% 40.01% 34.52% 29.03% 23.54% 18.05%

05/99 a 04/00 35.75% 32.91% 30.08% 27.24% 24.41% 21.57% 18.73% 15.90%

06/99 a 05/00 39.82% 37.03% 34.24% 31.45% 28.65% 25.86% 23.07% 20.28%

07/99 a 06/00 45.95% 42.96% 39.97% 36.99% 34.00% 31.01% 28.02% 25.03%

08/99 a 07/00 59.52% 54.87% 50.22% 45.56% 40.91% 36.25% 31.60% 26.95%

09/99 a 08/00 61.23% 55.85% 50.47% 45.09% 39.71% 34.33% 28.95% 23.57%

10/99 a 09/00 41.97% 36.87% 31.77% 26.67% 21.56% 16.46% 11.36% 6.26%

11/99 a 10/00 25.75% 22.38% 19.00% 15.62% 12.25% 8.87% 5.49% 2.12%

12/99 a 11/00 -3.15% -3.56% -3.97% -4.38% -4.78% -5.19% -5.60% -6.01%

01/00 a 12/00 -8.89% -7.79% -6.69% -5.59% -4.49% -3.39% -2.29% -1.18%

02/00 a 01/01 3.12% 2.90% 2.67% 2.44% 2.21% 1.98% 1.76% 1.53%

03/00 a 02/01 -8.56% -7.31% -6.05% -4.80% -3.54% -2.29% -1.03% 0.22%

04/00 a 03/01 -18.93% -15.94% -12.95% -9.96% -6.97% -3.98% -0.99% 2.00%

05/00 a 04/01 -4.04% -2.66% -1.28% 0.09% 1.47% 2.85% 4.22% 5.60%

06/00 a 05/01 -4.27% -2.40% -0.54% 1.32% 3.18% 5.04% 6.90% 8.76%

07/00 a 06/01 -14.82% -11.66% -8.49% -5.33% -2.16% 1.01% 4.17% 7.34%

08/00 a 07/01 -15.63% -12.06% -8.50% -4.93% -1.37% 2.20% 5.76% 9.33%

09/00 a 08/01 -27.18% -22.43% -17.67% -12.92% -8.17% -3.42% 1.34% 6.09%

10/00 a 09/01 -32.51% -26.80% -21.10% -15.39% -9.69% -3.99% 1.72% 7.42%

11/00 a 10/01 -23.01% -15.81% -8.60% -1.39% 5.82% 13.03% 20.24% 27.44%

12/00 a 11/01 -0.75% 3.40% 7.56% 11.71% 15.87% 20.02% 24.18% 28.33%

01/01 a 12/01 -10.07% -6.64% -3.20% 0.23% 3.66% 7.09% 10.52% 13.96%

02/01 a 01/02 -25.71% -20.51% -15.31% -10.10% -4.90% 0.30% 5.50% 10.70%

03/01 a 02/02 -12.63% -8.26% -3.90% 0.47% 4.83% 9.20% 13.57% 17.93%

04/01 a 03/02 -3.68% -0.71% 2.25% 5.21% 8.17% 11.13% 14.09% 17.06%

05/01 a 04/02 -15.84% -12.21% -8.59% -4.97% -1.35% 2.28% 5.90% 9.52%

06/01 a 05/02 -14.41% -10.67% -6.92% -3.18% 0.56% 4.31% 8.05% 11.80%

07/01 a 06/02 -25.17% -19.66% -14.15% -8.64% -3.13% 2.38% 7.89% 13.40%

08/01 a 07/02 -28.99% -22.04% -15.10% -8.15% -1.20% 5.74% 12.69% 19.63%

09/01 a 08/02 -18.92% -12.36% -5.79% 0.78% 7.34% 13.91% 20.48% 27.04%

10/01 a 09/02 -14.32% -8.41% -2.49% 3.43% 9.34% 15.26% 21.18% 27.09%

11/01 a 10/02 -10.95% -5.06% 0.84% 6.73% 12.62% 18.52% 24.41% 30.30%

12/01 a 11/02 -19.97% -13.23% -6.49% 0.25% 6.99% 13.73% 20.46% 27.20%

01/02 a 12/02 -16.36% -8.08% 0.20% 8.48% 16.76% 25.04% 33.32% 41.60%

02/02 a 01/03 -13.81% -5.42% 2.97% 11.35% 19.74% 28.13% 36.52% 44.90%

03/02 a 02/03 -28.15% -16.56% -4.96% 6.63% 18.23% 29.83% 41.42% 53.02%

Page 65: Triade Do Dinheiro - Fronteira Eficiente

04/02 a 03/03 -13.92% -4.90% 4.12% 13.14% 22.16% 31.18% 40.20% 49.22%

05/02 a 04/03 2.17% 7.17% 12.18% 17.18% 22.18% 27.19% 32.19% 37.19%

06/02 a 05/03 4.49% 7.83% 11.17% 14.50% 17.84% 21.18% 24.51% 27.85%

07/02 a 06/03 22.03% 22.58% 23.13% 23.68% 24.23% 24.78% 25.33% 25.89%

08/02 a 07/03 34.53% 31.72% 28.91% 26.10% 23.29% 20.48% 17.68% 14.87%

09/02 a 08/03 47.93% 44.02% 40.11% 36.19% 32.28% 28.37% 24.46% 20.55%

10/02 a 09/03 84.26% 76.89% 69.53% 62.16% 54.79% 47.42% 40.06% 32.69%

11/02 a 10/03 82.61% 73.63% 64.64% 55.66% 46.67% 37.69% 28.70% 19.71%

12/02 a 11/03 92.26% 82.93% 73.59% 64.26% 54.92% 45.59% 36.25% 26.91%

01/03 a 12/03 93.45% 84.41% 75.38% 66.34% 57.31% 48.27% 39.23% 30.20%

02/03 a 01/04 99.69% 90.32% 80.96% 71.59% 62.22% 52.86% 43.49% 34.12%

03/03 a 02/04 118.32% 105.22% 92.12% 79.02% 65.92% 52.82% 39.72% 26.62%

04/03 a 03/05 95.37% 84.87% 74.38% 63.88% 53.39% 42.89% 32.40% 21.90%

05/03 a 04/04 53.85% 49.96% 46.07% 42.18% 38.29% 34.41% 30.52% 26.63%

06/03 a 05/04 47.75% 43.99% 40.23% 36.47% 32.71% 28.95% 25.19% 21.43%

07/03 a 06/04 60.62% 55.89% 51.17% 46.44% 41.72% 36.99% 32.27% 27.54%

08/03 a 07/04 70.98% 66.15% 61.31% 56.48% 51.64% 46.81% 41.98% 37.14%

09/03 a 08/04 46.64% 43.22% 39.79% 36.37% 32.95% 29.53% 26.11% 22.68%

10/03 a 09/04 43.43% 40.05% 36.68% 33.31% 29.94% 26.57% 23.20% 19.83%

11/03 a 10/04 25.68% 24.04% 22.40% 20.76% 19.12% 17.48% 15.84% 14.20%

12/03 a 11/04 22.97% 21.82% 20.66% 19.51% 18.36% 17.20% 16.05% 14.89%

01/04 a 12/04 14.61% 13.56% 12.51% 11.46% 10.41% 9.36% 8.31% 7.26%

02/04 a 01/05 10.85% 9.45% 8.06% 6.66% 5.27% 3.87% 2.48% 1.08%

03/04 a 02/05 23.25% 20.73% 18.20% 15.68% 13.15% 10.62% 8.10% 5.57%

04/04 a 03/05 18.22% 16.42% 14.63% 12.84% 11.04% 9.25% 7.46% 5.66%

05/04 a 04/05 25.35% 22.12% 18.89% 15.66% 12.43% 9.20% 5.97% 2.73%

06/04 a 05/05 32.76% 29.05% 25.34% 21.63% 17.92% 14.21% 10.50% 6.78%

07/04 a 06/05 18.56% 15.01% 11.45% 7.90% 4.34% 0.79% -2.77% -6.32%

08/04 a 07/05 17.15% 14.03% 10.91% 7.80% 4.68% 1.56% -1.56% -4.68%

09/04 a 08/05 24.21% 20.34% 16.48% 12.61% 8.74% 4.87% 1.01% -2.86%

10/04 a 09/05 33.98% 29.17% 24.37% 19.56% 14.76% 9.96% 5.15% 0.35%

11/04 a 10/05 32.77% 28.38% 23.99% 19.61% 15.22% 10.83% 6.44% 2.05%

12/04 a 11/05 29.26% 24.82% 20.38% 15.94% 11.50% 7.07% 2.63% -1.81%

01/05 a 12/05 30.27% 26.40% 22.54% 18.68% 14.82% 10.95% 7.09% 3.23%

02/05 a 01/06 59.36% 54.03% 48.69% 43.36% 38.03% 32.69% 27.36% 22.03%

03/05 a 02/06 41.29% 38.08% 34.88% 31.67% 28.47% 25.26% 22.06% 18.86%

04/05 a 03/06 44.61% 40.86% 37.12% 33.37% 29.62% 25.88% 22.13% 18.38%

05/05 a 04/06 66.03% 60.70% 55.38% 50.05% 44.73% 39.40% 34.08% 28.75%

06/05 a 05/06 45.48% 43.79% 42.11% 40.42% 38.74% 37.05% 35.37% 33.68%

07/05 a 06/06 47.59% 47.43% 47.26% 47.10% 46.94% 46.77% 46.61% 46.45%

08/05 a 07/06 40.08% 39.00% 37.93% 36.85% 35.77% 34.69% 33.61% 32.53%

09/05 a 08/06 33.50% 34.03% 34.57% 35.10% 35.63% 36.17% 36.70% 37.23%

10/05 a 09/06 16.33% 17.96% 19.60% 21.24% 22.88% 24.52% 26.16% 27.79%

11/05 a 10/06 29.23% 28.15% 27.07% 26.00% 24.92% 23.85% 22.77% 21.69%

12/05 a 11/06 26.70% 27.05% 27.41% 27.76% 28.11% 28.46% 28.81% 29.16%

01/06 a 12/06 35.44% 34.21% 32.98% 31.75% 30.52% 29.29% 28.06% 26.83%

02/06 a 01/07 16.45% 15.70% 14.95% 14.20% 13.45% 12.69% 11.94% 11.19%

03/06 a 02/07 11.08% 10.86% 10.65% 10.44% 10.23% 10.02% 9.81% 9.60%

04/06 a 03/07 17.77% 17.53% 17.29% 17.05% 16.82% 16.58% 16.34% 16.10%

05/06 a 04/07 20.61% 19.64% 18.66% 17.68% 16.70% 15.73% 14.75% 13.77%

06/06 a 05/07 41.52% 37.42% 33.31% 29.20% 25.09% 20.99% 16.88% 12.77%

07/06 a 06/07 48.22% 42.50% 36.78% 31.06% 25.34% 19.62% 13.90% 8.18%

08/06 a 07/07 47.22% 42.05% 36.89% 31.72% 26.56% 21.39% 16.22% 11.06%

09/06 a 08/07 46.89% 41.72% 36.55% 31.38% 26.21% 21.04% 15.87% 10.70%

10/06 a 09/07 68.23% 61.29% 54.35% 47.42% 40.48% 33.55% 26.61% 19.67%

11/06 a 10/07 60.41% 55.67% 50.94% 46.20% 41.47% 36.73% 32.00% 27.26%

12/06 a 11/07 52.92% 48.71% 44.49% 40.28% 36.06% 31.84% 27.63% 23.41%

01/07 a 12/07 38.41% 35.57% 32.72% 29.87% 27.02% 24.17% 21.33% 18.48%

Page 66: Triade Do Dinheiro - Fronteira Eficiente

02/07 a 01/08 36.29% 34.65% 33.01% 31.37% 29.73% 28.09% 26.45% 24.81%

03/07 a 02/08 48.20% 45.43% 42.67% 39.90% 37.13% 34.37% 31.60% 28.84%

04/07 a 03/08 37.67% 35.86% 34.05% 32.25% 30.44% 28.63% 26.82% 25.01%

05/07 a 04/08 40.22% 37.14% 34.07% 31.00% 27.93% 24.85% 21.78% 18.71%

06/07 a 05/08 34.58% 32.15% 29.71% 27.27% 24.84% 22.40% 19.97% 17.53%

07/07 a 06/08 14.49% 13.62% 12.74% 11.87% 10.99% 10.12% 9.24% 8.37%

08/07 a 07/08 6.26% 7.06% 7.85% 8.64% 9.44% 10.23% 11.03% 11.82%

09/07 a 08/08 0.60% 1.16% 1.72% 2.28% 2.84% 3.40% 3.97% 4.53%

10/07 a 09/08 -20.12% -15.91% -11.70% -7.50% -3.29% 0.92% 5.12% 9.33%

11/07 a 10/08 -41.83% -36.91% -31.99% -27.07% -22.15% -17.23% -12.31% -7.39%

12/07 a 11/08 -42.10% -35.99% -29.89% -23.79% -17.69% -11.58% -5.48% 0.62%

01/08 a 12/08 -40.22% -33.23% -26.23% -19.24% -12.25% -5.25% 1.74% 8.73%

02/08 a 01/09 -35.66% -28.93% -22.21% -15.49% -8.76% -2.04% 4.68% 11.41%

03/08 a 02/09 -40.79% -33.46% -26.12% -18.78% -11.45% -4.11% 3.23% 10.57%

04/08 a 03/09 -34.81% -27.93% -21.04% -14.16% -7.28% -0.40% 6.48% 13.36%

05/08 a 04/09 -31.82% -24.88% -17.93% -10.98% -4.04% 2.91% 9.85% 16.80%

06/08 a 05/09 -26.18% -20.04% -13.90% -7.77% -1.63% 4.51% 10.64% 16.78%

07/08 a 06/09 -18.82% -14.69% -10.57% -6.44% -2.31% 1.81% 5.94% 10.07%

Page 67: Triade Do Dinheiro - Fronteira Eficiente

PortifoliosIbov Ouro Retorno Risco (DP)100% 0% 22.27% 38.16%

20i/80do 10i/90o Ouro 90% 10% 21.63% 33.47%

14.45% 16.86% 20.28% 80% 20% 20.98% 28.91%

17.12% 16.47% 15.83% 70% 30% 20.34% 24.55%

-0.3570 -0.3442 -0.3179 60% 40% 19.69% 20.52%

2.8080 2.7069 2.5006 50% 50% 19.05% 17.05%

-6.65% -11.27% -17.53% 40% 60% 18.41% 14.56%

30% 70% 17.76% 13.59%

20% 80% 17.12% 14.45%

10% 90% 16.47% 16.86%

0% 100% 15.83% 20.28%

Sharpe20i/80do 10i/90o Ouro Ibov 90i/10o 80i/20o 70i/30o 60i/40o68.82% 59.43% 50.04% 3.77 -0.28 -0.65 -1.15 -1.83

12.39% 3.21% -5.97% 2.25 -0.27 -0.64 -1.12 -1.79

4.58% -6.74% -18.07% 2.49 -0.34 -0.78 -1.38 -2.21

12.56% 7.07% 1.58% 1.48 -0.16 -0.38 -0.67 -1.07

13.06% 10.23% 7.39% 0.94 -0.08 -0.20 -0.35 -0.55

17.49% 14.70% 11.91% 1.04 -0.08 -0.19 -0.34 -0.54

22.04% 19.05% 16.07% 1.20 -0.09 -0.21 -0.37 -0.58

22.29% 17.64% 12.98% 1.56 -0.14 -0.32 -0.57 -0.91

18.19% 12.81% 7.43% 1.60 -0.16 -0.37 -0.66 -1.05

1.15% -3.95% -9.05% 1.10 -0.15 -0.35 -0.62 -0.99

-1.26% -4.63% -8.01% 0.67 -0.10 -0.23 -0.41 -0.66

-6.42% -6.83% -7.24% -0.08 -0.01 -0.03 -0.05 -0.08

-0.08% 1.02% 2.12% -0.23 0.03 0.08 0.13 0.21

1.30% 1.07% 0.85% 0.08 -0.01 -0.02 -0.03 -0.04

1.48% 2.73% 3.99% -0.22 0.04 0.09 0.15 0.24

4.99% 7.98% 10.97% -0.50 0.09 0.21 0.37 0.58

6.98% 8.36% 9.73% -0.11 0.04 0.10 0.17 0.27

10.62% 12.48% 14.34% -0.11 0.06 0.13 0.23 0.36

10.50% 13.67% 16.84% -0.39 0.09 0.22 0.39 0.62

12.89% 16.46% 20.02% -0.41 0.11 0.25 0.44 0.70

10.84% 15.59% 20.35% -0.71 0.14 0.33 0.58 0.93

13.13% 18.83% 24.54% -0.85 0.17 0.39 0.70 1.11

34.65% 41.86% 49.07% -0.60 0.22 0.50 0.88 1.41

32.49% 36.64% 40.80% -0.02 0.12 0.29 0.51 0.81

17.39% 20.82% 24.25% -0.26 0.10 0.24 0.42 0.67

15.90% 21.10% 26.30% -0.67 0.16 0.36 0.64 1.01

22.30% 26.66% 31.03% -0.33 0.13 0.30 0.53 0.85

20.02% 22.98% 25.94% -0.10 0.09 0.20 0.36 0.58

13.14% 16.77% 20.39% -0.41 0.11 0.25 0.44 0.71

15.54% 19.29% 23.03% -0.38 0.11 0.26 0.46 0.73

18.91% 24.42% 29.93% -0.66 0.16 0.38 0.67 1.07

26.58% 33.53% 40.47% -0.76 0.21 0.48 0.85 1.35

33.61% 40.18% 46.74% -0.50 0.20 0.45 0.80 1.28

33.01% 38.93% 44.84% -0.38 0.18 0.41 0.72 1.15

36.20% 42.09% 47.99% -0.29 0.18 0.41 0.72 1.15

33.94% 40.68% 47.42% -0.52 0.20 0.47 0.82 1.31

49.88% 58.15% 66.43% -0.43 0.25 0.57 1.01 1.61

53.29% 61.68% 70.07% -0.36 0.25 0.58 1.03 1.64

64.61% 76.21% 87.80% -0.74 0.35 0.80 1.42 2.26

Page 68: Triade Do Dinheiro - Fronteira Eficiente

58.24% 67.26% 76.28% -0.36 0.27 0.62 1.10 1.76

42.19% 47.20% 52.20% 0.06 0.15 0.35 0.61 0.98

31.19% 34.52% 37.86% 0.12 0.10 0.23 0.41 0.65

26.44% 26.99% 27.54% 0.58 0.02 0.04 0.07 0.11

12.06% 9.25% 6.44% 0.90 -0.08 -0.19 -0.34 -0.55

16.64% 12.72% 8.81% 1.26 -0.12 -0.27 -0.48 -0.76

25.32% 17.95% 10.59% 2.21 -0.22 -0.51 -0.90 -1.44

10.73% 1.74% -7.24% 2.17 -0.27 -0.62 -1.10 -1.75

17.58% 8.24% -1.09% 2.42 -0.28 -0.65 -1.14 -1.82

21.16% 12.13% 3.09% 2.45 -0.27 -0.63 -1.10 -1.76

24.76% 15.39% 6.03% 2.61 -0.28 -0.65 -1.14 -1.83

13.52% 0.42% -12.68% 3.10 -0.39 -0.91 -1.60 -2.55

11.41% 0.91% -9.59% 2.50 -0.31 -0.73 -1.28 -2.05

22.74% 18.85% 14.96% 1.41 -0.12 -0.27 -0.48 -0.76

17.67% 13.91% 10.15% 1.25 -0.11 -0.26 -0.46 -0.73

22.82% 18.09% 13.36% 1.59 -0.14 -0.33 -0.58 -0.92

32.31% 27.47% 22.64% 1.86 -0.14 -0.33 -0.59 -0.94

19.26% 15.84% 12.42% 1.22 -0.10 -0.24 -0.42 -0.67

16.46% 13.09% 9.72% 1.14 -0.10 -0.23 -0.41 -0.66

12.56% 10.92% 9.28% 0.67 -0.05 -0.11 -0.20 -0.32

13.74% 12.58% 11.43% 0.60 -0.03 -0.08 -0.14 -0.23

6.21% 5.16% 4.11% 0.38 -0.03 -0.07 -0.13 -0.20

-0.31% -1.71% -3.10% 0.28 -0.04 -0.10 -0.17 -0.27

3.05% 0.52% -2.00% 0.61 -0.08 -0.17 -0.31 -0.49

3.87% 2.07% 0.28% 0.48 -0.05 -0.12 -0.22 -0.35

-0.50% -3.73% -6.96% 0.66 -0.10 -0.22 -0.39 -0.63

3.07% -0.64% -4.35% 0.86 -0.11 -0.26 -0.45 -0.72

-9.88% -13.43% -16.99% 0.49 -0.11 -0.25 -0.43 -0.69

-7.79% -10.91% -14.03% 0.45 -0.09 -0.22 -0.38 -0.61

-6.73% -10.59% -14.46% 0.63 -0.12 -0.27 -0.47 -0.75

-4.46% -9.26% -14.07% 0.89 -0.14 -0.33 -0.59 -0.94

-2.34% -6.73% -11.12% 0.86 -0.13 -0.30 -0.54 -0.86

-6.25% -10.69% -15.13% 0.77 -0.13 -0.31 -0.54 -0.87

-0.63% -4.49% -8.36% 0.79 -0.12 -0.27 -0.47 -0.75

16.69% 11.36% 6.03% 1.56 -0.16 -0.37 -0.65 -1.04

15.65% 12.45% 9.24% 1.08 -0.10 -0.22 -0.39 -0.62

14.64% 10.89% 7.14% 1.17 -0.11 -0.26 -0.46 -0.73

23.43% 18.10% 12.78% 1.73 -0.16 -0.37 -0.65 -1.04

31.99% 30.31% 28.62% 1.19 -0.05 -0.12 -0.21 -0.33

46.28% 46.12% 45.95% 1.25 0.00 -0.01 -0.02 -0.03

31.45% 30.37% 29.29% 1.05 -0.03 -0.07 -0.13 -0.21

37.77% 38.30% 38.83% 0.88 0.02 0.04 0.07 0.10

29.43% 31.07% 32.71% 0.43 0.05 0.11 0.20 0.32

20.62% 19.54% 18.46% 0.77 -0.03 -0.07 -0.13 -0.21

29.51% 29.86% 30.21% 0.70 0.01 0.02 0.04 0.07

25.60% 24.37% 23.14% 0.93 -0.04 -0.09 -0.15 -0.24

10.44% 9.69% 8.94% 0.43 -0.02 -0.05 -0.09 -0.15

9.39% 9.18% 8.97% 0.29 -0.01 -0.01 -0.03 -0.04

15.86% 15.62% 15.39% 0.47 -0.01 -0.02 -0.03 -0.05

12.79% 11.82% 10.84% 0.54 -0.03 -0.07 -0.12 -0.19

8.66% 4.55% 0.45% 1.09 -0.12 -0.28 -0.50 -0.80

2.45% -3.27% -8.99% 1.26 -0.17 -0.40 -0.70 -1.12

5.89% 0.73% -4.44% 1.24 -0.15 -0.36 -0.63 -1.01

5.53% 0.36% -4.81% 1.23 -0.15 -0.36 -0.63 -1.01

12.74% 5.80% -1.14% 1.79 -0.21 -0.48 -0.85 -1.35

22.53% 17.80% 13.06% 1.58 -0.14 -0.33 -0.58 -0.92

19.20% 14.98% 10.77% 1.39 -0.13 -0.29 -0.52 -0.82

15.63% 12.78% 9.94% 1.01 -0.09 -0.20 -0.35 -0.56

Page 69: Triade Do Dinheiro - Fronteira Eficiente

23.17% 21.53% 19.89% 0.95 -0.05 -0.11 -0.20 -0.32

26.07% 23.30% 20.54% 1.26 -0.08 -0.19 -0.34 -0.54

23.20% 21.39% 19.58% 0.99 -0.05 -0.13 -0.22 -0.35

15.64% 12.56% 9.49% 1.05 -0.09 -0.21 -0.38 -0.60

15.09% 12.66% 10.22% 0.91 -0.07 -0.17 -0.30 -0.47

7.49% 6.62% 5.74% 0.38 -0.03 -0.06 -0.11 -0.17

12.61% 13.41% 14.20% 0.16 0.02 0.05 0.10 0.15

5.09% 5.65% 6.21% 0.02 0.02 0.04 0.07 0.11

13.54% 17.74% 21.95% -0.53 0.13 0.29 0.51 0.82

-2.47% 2.45% 7.37% -1.10 0.15 0.34 0.60 0.96

6.72% 12.83% 18.93% -1.10 0.18 0.42 0.75 1.19

15.73% 22.72% 29.72% -1.05 0.21 0.48 0.85 1.36

18.13% 24.86% 31.58% -0.93 0.20 0.47 0.82 1.31

17.90% 25.24% 32.58% -1.07 0.22 0.51 0.90 1.43

20.24% 27.12% 34.00% -0.91 0.21 0.48 0.84 1.34

23.75% 30.69% 37.64% -0.83 0.21 0.48 0.85 1.35

22.92% 29.06% 35.19% -0.69 0.18 0.42 0.75 1.20

14.20% 18.32% 22.45% -0.49 0.12 0.29 0.50 0.80

Page 70: Triade Do Dinheiro - Fronteira Eficiente

50i/50o 40i/60o 30i/70o 20i/80do 10i/90o Dolar -2.75 -3.87 -4.84 -5.20 -5.01 -4.63

-2.69 -3.78 -4.73 -5.08 -4.90 -4.53

-3.32 -4.67 -5.83 -6.27 -6.05 -5.58

-1.61 -2.26 -2.83 -3.04 -2.93 -2.71

-0.83 -1.17 -1.46 -1.57 -1.51 -1.40

-0.82 -1.15 -1.44 -1.55 -1.49 -1.38

-0.88 -1.23 -1.54 -1.65 -1.60 -1.47

-1.36 -1.92 -2.40 -2.58 -2.48 -2.29

-1.58 -2.22 -2.77 -2.98 -2.87 -2.65

-1.50 -2.10 -2.63 -2.83 -2.72 -2.52

-0.99 -1.39 -1.74 -1.87 -1.80 -1.66

-0.12 -0.17 -0.21 -0.23 -0.22 -0.20

0.32 0.45 0.57 0.61 0.59 0.54

-0.07 -0.09 -0.12 -0.13 -0.12 -0.11

0.37 0.52 0.65 0.69 0.67 0.62

0.88 1.23 1.54 1.66 1.60 1.47

0.40 0.57 0.71 0.76 0.74 0.68

0.55 0.77 0.96 1.03 0.99 0.92

0.93 1.30 1.63 1.75 1.69 1.56

1.05 1.47 1.84 1.97 1.90 1.76

1.39 1.96 2.45 2.63 2.54 2.34

1.67 2.35 2.94 3.16 3.04 2.81

2.11 2.97 3.71 3.99 3.85 3.55

1.22 1.71 2.14 2.30 2.22 2.05

1.01 1.41 1.77 1.90 1.83 1.69

1.53 2.14 2.68 2.88 2.78 2.56

1.28 1.80 2.25 2.42 2.33 2.15

0.87 1.22 1.53 1.64 1.58 1.46

1.06 1.49 1.87 2.01 1.93 1.79

1.10 1.54 1.93 2.07 2.00 1.85

1.62 2.27 2.84 3.05 2.94 2.72

2.04 2.86 3.58 3.85 3.71 3.43

1.93 2.71 3.38 3.64 3.51 3.24

1.73 2.44 3.05 3.28 3.16 2.92

1.73 2.43 3.04 3.26 3.15 2.91

1.98 2.78 3.47 3.73 3.60 3.32

2.43 3.41 4.27 4.58 4.42 4.08

2.46 3.46 4.32 4.64 4.48 4.14

3.40 4.78 5.97 6.42 6.19 5.72

Page 71: Triade Do Dinheiro - Fronteira Eficiente

2.65 3.72 4.65 4.99 4.81 4.45

1.47 2.06 2.58 2.77 2.67 2.47

0.98 1.38 1.72 1.85 1.78 1.65

0.16 0.23 0.28 0.31 0.29 0.27

-0.82 -1.16 -1.45 -1.56 -1.50 -1.39

-1.15 -1.61 -2.02 -2.17 -2.09 -1.93

-2.16 -3.04 -3.80 -4.08 -3.93 -3.63

-2.63 -3.70 -4.63 -4.98 -4.80 -4.43

-2.74 -3.85 -4.81 -5.17 -4.98 -4.60

-2.65 -3.72 -4.65 -5.00 -4.82 -4.46

-2.75 -3.86 -4.83 -5.19 -5.00 -4.62

-3.84 -5.40 -6.75 -7.25 -6.99 -6.46

-3.08 -4.33 -5.41 -5.81 -5.60 -5.18

-1.14 -1.60 -2.00 -2.15 -2.08 -1.92

-1.10 -1.55 -1.94 -2.08 -2.01 -1.85

-1.39 -1.95 -2.43 -2.62 -2.52 -2.33

-1.42 -1.99 -2.49 -2.68 -2.58 -2.38

-1.00 -1.41 -1.76 -1.89 -1.83 -1.69

-0.99 -1.39 -1.74 -1.87 -1.80 -1.66

-0.48 -0.68 -0.85 -0.91 -0.88 -0.81

-0.34 -0.48 -0.59 -0.64 -0.62 -0.57

-0.31 -0.43 -0.54 -0.58 -0.56 -0.52

-0.41 -0.57 -0.72 -0.77 -0.74 -0.69

-0.74 -1.04 -1.30 -1.40 -1.35 -1.25

-0.53 -0.74 -0.92 -0.99 -0.96 -0.88

-0.95 -1.33 -1.66 -1.79 -1.72 -1.59

-1.09 -1.53 -1.91 -2.05 -1.98 -1.83

-1.04 -1.47 -1.83 -1.97 -1.90 -1.75

-0.91 -1.28 -1.61 -1.73 -1.66 -1.54

-1.13 -1.59 -1.99 -2.14 -2.06 -1.91

-1.41 -1.98 -2.48 -2.66 -2.56 -2.37

-1.29 -1.81 -2.26 -2.43 -2.34 -2.16

-1.30 -1.83 -2.29 -2.46 -2.37 -2.19

-1.13 -1.59 -1.99 -2.14 -2.06 -1.90

-1.56 -2.20 -2.75 -2.95 -2.85 -2.63

-0.94 -1.32 -1.65 -1.77 -1.71 -1.58

-1.10 -1.54 -1.93 -2.07 -2.00 -1.85

-1.56 -2.19 -2.74 -2.95 -2.84 -2.63

-0.49 -0.69 -0.87 -0.93 -0.90 -0.83

-0.05 -0.07 -0.08 -0.09 -0.09 -0.08

-0.32 -0.44 -0.56 -0.60 -0.58 -0.53

0.16 0.22 0.27 0.30 0.28 0.26

0.48 0.68 0.84 0.91 0.87 0.81

-0.32 -0.44 -0.55 -0.60 -0.57 -0.53

0.10 0.14 0.18 0.19 0.19 0.17

-0.36 -0.51 -0.63 -0.68 -0.66 -0.61

-0.22 -0.31 -0.39 -0.42 -0.40 -0.37

-0.06 -0.09 -0.11 -0.12 -0.11 -0.10

-0.07 -0.10 -0.12 -0.13 -0.13 -0.12

-0.29 -0.40 -0.50 -0.54 -0.52 -0.48

-1.20 -1.69 -2.12 -2.27 -2.19 -2.03

-1.68 -2.36 -2.95 -3.17 -3.05 -2.82

-1.51 -2.13 -2.66 -2.86 -2.76 -2.55

-1.52 -2.13 -2.66 -2.86 -2.76 -2.55

-2.03 -2.86 -3.57 -3.84 -3.70 -3.42

-1.39 -1.95 -2.44 -2.62 -2.53 -2.33

-1.24 -1.74 -2.17 -2.33 -2.25 -2.08

-0.84 -1.17 -1.47 -1.58 -1.52 -1.40

Page 72: Triade Do Dinheiro - Fronteira Eficiente

-0.48 -0.68 -0.85 -0.91 -0.88 -0.81

-0.81 -1.14 -1.42 -1.53 -1.48 -1.36

-0.53 -0.75 -0.93 -1.00 -0.97 -0.89

-0.90 -1.27 -1.58 -1.70 -1.64 -1.51

-0.71 -1.00 -1.26 -1.35 -1.30 -1.20

-0.26 -0.36 -0.45 -0.48 -0.47 -0.43

0.23 0.33 0.41 0.44 0.42 0.39

0.16 0.23 0.29 0.31 0.30 0.28

1.23 1.73 2.17 2.33 2.25 2.07

1.44 2.03 2.53 2.72 2.63 2.43

1.79 2.51 3.14 3.38 3.26 3.01

2.05 2.88 3.60 3.87 3.73 3.45

1.97 2.77 3.46 3.72 3.59 3.32

2.15 3.02 3.78 4.06 3.92 3.62

2.02 2.84 3.54 3.81 3.67 3.39

2.04 2.86 3.58 3.85 3.71 3.43

1.80 2.53 3.16 3.40 3.28 3.03

1.21 1.70 2.13 2.29 2.20 2.03

Page 73: Triade Do Dinheiro - Fronteira Eficiente

10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

100% Ibov10% Ouro / 90% Ibov

20% Ouro / 80% Ibov30% Ouro / 70% Ibovv

40% Ouro / 60% Ibov50% Ouro / 50% Ibov

60% Ouro / 40% Ibov70% Ouro / 30% Ibov

80% Ouro / 20% Ibov90% Ouro / 10% Ibov

100% Ouro

Fronteira Eficiente

Risco (Desvio Padrao)

Ret

orn

o A

nu

al