MATRIZ DE COTIZACIÓN DE PRECIOS DE CIERRE

Date TOY R US BANK OF A PEPSICO

3-Jan-00 10.31 47.91 34.12

1-Feb-00 12.38 45.50 32.12
1-Mar-00 14.81 52.44 34.88
3-Apr-00 15.25 49.00 36.69
1-May-00 15.75 55.44 40.69
1-Jun-00 14.56 43.00 44.44
3-Jul-00 16.50 47.38 45.81
1-Aug-00 18.19 53.58 42.64
1-Sep-00 16.25 52.38 46.00
2-Oct-00 17.19 48.06 48.44
1-Nov-00 18.94 39.94 45.38
1-Dec-00 16.69 45.88 49.56
2-Jan-01 26.40 53.82 44.07
1-Feb-01 24.60 50.70 46.08
1-Mar-01 25.10 54.75 43.95
2-Apr-01 24.80 55.47 43.67
1-May-01 27.70 59.25 44.76
1-Jun-01 24.75 60.03 44.20
2-Jul-01 23.03 63.62 46.63
1-Aug-01 23.93 61.50 47.00
4-Sep-01 17.23 58.40 48.50
1-Oct-01 19.00 58.99 48.71
1-Nov-01 21.51 61.38 48.63
3-Dec-01 20.74 62.95 48.69
2-Jan-02 19.56 63.03 50.09
4-Feb-02 17.81 63.95 50.50
1-Mar-02 17.96 68.02 51.50
1-Apr-02 17.27 72.48 51.90
1-May-02 18.25 75.81 51.98
3-Jun-02 17.47 70.36 48.20
1-Jul-02 13.48 66.50 42.94
1-Aug-02 13.33 70.08 39.55
3-Sep-02 10.18 63.80 36.95
1-Oct-02 9.99 69.80 44.10
1-Nov-02 13.61 70.08 42.48
2-Dec-02 10.00 69.57 42.22
2-Jan-03 9.04 70.05 40.48
3-Feb-03 8.08 69.24 38.32
3-Mar-03 8.37 66.84 40.00
1-Apr-03 10.25 74.05 43.28
1-May-03 11.64 74.20 44.20
2-Jun-03 12.12 79.03 44.50
1-Jul-03 11.15 82.57 46.07
1-Aug-03 13.62 79.25 44.54
2-Sep-03 12.03 78.04 45.83
1-Oct-03 13.00 75.73 47.82
3-Nov-03 11.74 75.43 48.12
1-Dec-03 12.64 80.43 46.62
2-Jan-04 14.12 81.46 47.26
2-Feb-04 15.70 81.92 51.90
1-Mar-04 16.80 80.98 53.85
1-Apr-04 15.45 80.49 54.49
3-May-04 15.72 83.13 53.37
1-Jun-04 15.93 84.62 53.88
1-Jul-04 16.46 85.01 50.00
2-Aug-04 16.38 89.01 49.27

MATRIZ DE RENDIMIENTOS

Date TOY R US BANK OF A PEPSICO

3-Jan-00
1-Feb-00 20.08% -5.03% -5.86%
1-Mar-00 19.63% 15.25% 8.59%
3-Apr-00 2.97% -6.56% 5.19%
1-May-00 3.28% 13.14% 10.90%
1-Jun-00 -7.56% -22.44% 9.22%
3-Jul-00 13.32% 10.19% 3.08%
1-Aug-00 10.24% 13.09% -6.92%
1-Sep-00 -10.67% -2.24% 7.88%
2-Oct-00 5.78% -8.25% 5.30%
1-Nov-00 10.18% -16.90% -6.32%
1-Dec-00 -11.88% 14.87% 9.21%
2-Jan-01 58.18% 17.31% -11.08%
1-Feb-01 -6.82% -5.80% 4.56%
1-Mar-01 2.03% 7.99% -4.62%
2-Apr-01 -1.20% 1.32% -0.64%
1-May-01 11.69% 6.81% 2.50%
1-Jun-01 -10.65% 1.32% -1.25%
2-Jul-01 -6.95% 5.98% 5.50%
1-Aug-01 3.91% -3.33% 0.79%
4-Sep-01 -28.00% -5.04% 3.19%
1-Oct-01 10.27% 1.01% 0.43%
1-Nov-01 13.21% 4.05% -0.16%
3-Dec-01 -3.58% 2.56% 0.12%
2-Jan-02 -5.69% 0.13% 2.88%
4-Feb-02 -8.95% 1.46% 0.82%
1-Mar-02 0.84% 6.36% 1.98%
1-Apr-02 -3.84% 6.56% 0.78%
1-May-02 5.67% 4.59% 0.15%
3-Jun-02 -4.27% -7.19% -7.27%
1-Jul-02 -22.84% -5.49% -10.91%
 1-Aug-02 -1.11% 5.38% -7.89%
3-Sep-02 -23.63% -8.96% -6.57%
1-Oct-02 -1.87% 9.40% 19.35%
1-Nov-02 36.24% 0.40% -3.67%
2-Dec-02 -26.52% -0.73% -0.61%
2-Jan-03 -9.60% 0.69% -4.12%
3-Feb-03 -10.62% -1.16% -5.34%
3-Mar-03 3.59% -3.47% 4.38%
1-Apr-03 22.46% 10.79% 8.20%
1-May-03 13.56% 0.20% 2.13%
2-Jun-03 4.12% 6.51% 0.68%
1-Jul-03 -8.00% 4.48% 3.53%
1-Aug-03 22.15% -4.02% -3.32%
2-Sep-03 -11.67% -1.53% 2.90%
1-Oct-03 8.06% -2.96% 4.34%
3-Nov-03 -9.69% -0.40% 0.63%
1-Dec-03 7.67% 6.63% -3.12%
2-Jan-04 11.71% 1.28% 1.37%
2-Feb-04 11.19% 0.56% 9.82%
1-Mar-04 7.01% -1.15% 3.76%
1-Apr-04 -8.04% -0.61% 1.19%
3-May-04 1.75% 3.28% -2.06%
1-Jun-04 1.34% 1.79% 0.96%
1-Jul-04 3.33% 0.46% -7.20%
2-Aug-04 -0.49% 4.71% -1.46%

MATRIZ DE INDICADORES

RENDIMIENTO ESPERADO: m 1.84% 1.41% 0.83%

VOLATILIDAD: 14.58% 7.33% 5.78%
RIESGO MARGINAL 7.91 5.22 6.93
RIESGO TOTAL 2.12% 0.54% 0.33%

MATRIZ DE CORRELACIÓN

TOY R US BANK OF A PEPSICO

TOY R US 1
BANK OF A 34.01% 1
PEPSICO -10.61% 12.19% 1

MATRIZ DE VARIANZAS COVARIANZAS

TOY R US BANK OF A PEPSICO

TOY R US 2.12%
BANK OF A 0.36% 0.54%
PEPSICO -0.09% 0.05% 0.33%

MATRIZ DE PARTICIPACION DE RIQUEZAS EN EL PORTAFOLIO

TOY R US BANK OF A PEPSICO

% PARTICIPACIÓN 92% 8% 0% 100%

MATRIZ DE RIESGO Y RENDIMIENTO ESPERADO PORTAFOLIO

TOY R US TOY R US 1.787856%

TOY R US BANK OF A 0.027546%
TOY R US PEPSICO 0.000000%

BANK OF A TOY R US 0.027546%

BANK OF A BANK OF A 0.003669%
BANK OF A PEPSICO 0.000000%

PEPSICO TOY R US 0.000000%

PEPSICO BANK OF A 0.000000%
PEPSICO PEPSICO 0.000000%

VAR (Rp) 1.85%

Volatilidad (Rp) 13.59% 4.7%

Rendimiento
Esperado
Portafolio 1.81%

DIVERSIFICACIÓN: FRONTERA EFICIENTE

Volatilidad (Rp) E (Rp)

4.67% 1.08% 0.00991 FRONTERA EFICIENTE
5.66% 1.32% 2.00%
6.65% 1.43% 1.80%
7.64% 1.52% 1.60%
8.63% 1.59% 1.40%
9.63% 1.64% 1.20%
10.62% 1.69% 1.00%
11.61% 1.73% 0.80%
12.60% 1.77% 0.60%
13.59% 1.81%
0.40%
14.58% 1.84%
0.20%
0.00%
4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
 0.80%
0.60%
0.40%
0.20%
0.00%
4.00% 6.00% 8.00% 10.00% 12.00% 14.00%

FRONTERA EFICIENTE
2.00%
1.80%
1.60%
1.40%
1.20%
1.00%
0.80%
0.60%
0.40%
0.20%
0.00%
6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00%
FICIENTE

% 12.00% 14.00% 16.00%

% 12.00% 14.00% 16.00%