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8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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Fecha liquidación 30-mar-11
Inicio período de renta 2-jun-12
Tasa fija 8.!"
#recio 10$.0!
Período Fecha Amortización Valor residual
0 30-mar-11 %&2%2 2-jun-11 0 %&2%
3 2-dic-11 0 %&2%
& 2-jun-12 0 %&2%
! 2-dic-12 0 %&2%
$ 2-jun-13 0 %&2%
2-dic-13 0 %&2%
8 2-jun-1& 0 %&2%
% 2-dic-1& 0 %&2%
10 2-jun-1! 0 %&2%
11 2-dic-1! 0 %&2%
12 2-jun-1$ 0 %&2%
13 2-dic-1$ 0 %&2%
1& 2-jun-1 %&2%.223&&2%22 0
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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TIR 8.23% 'uration &.80
(odified 'uration &.&3
T) referencia &.13 #rom. #ond. *ida 1+!2
(onto in,ersión 10+000 )on,eit 13.$2
Renta Cash lo! PV cash lo! t t . PV CF
-10000.00&13 &13 &0 $& 2$038
&13 &13 3%1 2& %$!8!
&13 &13 3$ &30 1$1$0
&13 &13 3$1 $13 221&2
&13 &13 3& %! 2$0$!
&13 &13 33& %8 32$&0%
&13 &13 321 11$0 32181
&13 &13 308 13&3 &1&1&!
&13 &13 2%$ 1!2! &!208&
&13 &13 28! 108 &8$$!0
&13 &13 2& 18%1 !18&$
&13 &13 2$3 20& !&!880
&13 %8&2 $03$ 22!$ 13$18188Total --/ 10000 Total3$!--/ &%8
Control "
Com#ro$ación
*ariación TI 0" *ariac. s('
*ariac. s)on,eit
Total
*ariación real
+ensi$ilidad a la tasa &ierencia
10+000.0
TIR ,,- 0"
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2"
3"
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8"
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10"
11"
12"
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1
0
2
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$
8
10
12
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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t t'/0 ) PV CF
8&
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8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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2 3
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Fecha liquidación 30-mar-11
Inicio período de renta
Tasa fija .00"
#recio %$.22
Período Fecha &ías cu#ón Amortización Valor residual
o 30-mar-11 103%3
12 3-oct-11 0 103%3
13 3-ar-12 0 103%3
1& 3-oct-12 0 103%3
1! 3-ar-13 0 103%3
1$ 3-oct-13 0 103%3
1 3-ar-1& 0 103%3
18 3-oct-1& 0 103%3
1% 3-ar-1! 0 103%3
20 3-oct-1! 103%3 0
/"312./83"
*ariac. TI 1.00"
Fluj
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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TIR 8./% 'uration 3.% Tasa rein,.
(odified 'uration 3.$
T) referencia &.13 #rom. #ond. *ida 1+&3.8
(onto in,ersión 10000 )on,eit 8.%
Renta Cash lo! PV cash lo! t t. PVCF t t'/0 ) PV CF
-10000
3$& 3$& 3&% 1 1% 21
3$& 3$& 33$ 1 3&1 $8$
3$& 3$& 323 2 &8% 1231
3$& 3$& 311 2 $2$ 188!
3$& 3$& 2%% 3 !1 2$&1
3$& 3$& 28 3 8$$ 3&!
3$& 3$& 2$ & %1 &38&
3$& 3$& 2$$ & 10$$ !3&$
3$& 10!$ !!3 ! 3&102 1880
/"""" 3%3%1 21
Control 11"
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*ariac. s(' -3.$&2"
+ensi$ilidad a la tasa *ariación real -3.!1$"
*ariac. s)on,eit 0.08%"
10000.0 *ariac 4('5)on, -3.!!&"
0" 131.! 'iferencia -0.03"1" 12$.!
2" 121.
3" 11.1
&" 112.8
!" 108.
$" 10&.8
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8" 101.0
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12" 8&.%
13" 82.1
1&" %.&
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1" 2.0
18" $%.8
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20" $!.$
1-oct-11
1-abr-12
1-oct-12
1-abr-13
1-oct-13
1-abr-14
1-oct-14
1-abr-15
1-oct-15
0
2000
4000
6000
8000
10000
12000 de caja
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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Fecha 30-mar-11 TI
T) referencia &.13 onto in(ersión /"" 'uration
Tasa fija " (od. 'uration
#recio en 6 3%2.00 #r.#ond.*ida
#recio en 764 %&.%2 )on,eit
Fecha Amort. VR Renta Cash lo! PVCF
30-mar-11 10!3$ -10000
1-oct-11 0 10!3$ 3$% 3$% 3!3
1-ar-12 0 10!3$ 3$% 3$% 3&0
1-oct-12 0 10!3$ 3$% 3$% 32$
1-ar-13 0 10!3$ 3$% 3$% 31&
1-oct-13 0 10!3$ 3$% 3$% 302
1-ar-1& 0 10!3$ 3$% 3$% 2%0
1-oct-1& 0 10!3$ 3$% 3$% 2%
1-ar-1! 0 10!3$ 3$% 3$% 2$8
1-oct-1! 0 10!3$ 3$% 3$% 2!8
1-ar-1$ 0 10!3$ 3$% 3$% 2&8
1-oct-1$ 0 10!3$ 3$% 3$% 23%
1-ar-1 10!3!.1&28$ 0 3$% 10%0& $83Totales --/ /""""
Control "
*ariación TI 1.0"
4
TIR Precio10+000.00
8"
%"
10"
11"
12"
13"
1&"
1!"
1$"
1"
18"
1%"
20"
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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8.1$" --/TI.9:.#;<;=;2>?=?2@
!.03 --/28#recio
&.$! --/'uration<15TI@
1+83! --/'uration 3$! (onto in,ersión 10000
1&.2& --/I28<<2<15A1@B2@#recio@
t t ) PVCF PVCF ) tt'/0 CF rein(.
1 1%& 302 3$%
1 3! 33 3$%
2 !0 12%! 3$%
2 $&& 1%$$ 3$%
3 1 23% 3$%
3 88$ 3!%0 3$%
& %%2 &!1! 3$%
& 108 !&%& 3$%
! 11! $!2! 3$%
! 12!& !%3 3$%
$ 132! 8$88 3$%
$ &10$8 28%2$ 10%0&"25/ 333/5 /15/ --/Total#recio
Retorno total /3".5%
<C28D!@B<3$!<?2-D1@@-1
Com#ro$ación & ' Con(e)it*
*ariac. s(' -&.$&" --/ *ariación TI 'uration (odificada
*ariac. s)on,eit 0.1&2"
Total -&.!0!"
*ariación real -&.&!3"
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Fecha liquidación 30-mar-11
Inicio período de renta 3122011
Tasa fija .0"
#recio 10&.2328813!$
Período Fecha &ías cu#ón Amortización Valor residual
0 30-mar-11 %!%3
10 12-sep-11 18& 0 %!%3
11 12-mar-12 182 0 %!%3
12 12-sep-12 18& 0 %!%3
13 12-mar-13 181 0 %!%3
1& 12-sep-13 18& %!%3 0
*ariación TI
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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0.00
2.00
&.00
$.00
8.00
10.00
12.00
10+000.00
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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TIR .3% 'uration 2.3
(odified 'uration 2.2
#rom. #ond. *ida 838.!
T) referencia &.13 *alor tEcnico
(onto in,ersión 10000 )on,eit 3.!11
Renta Cash lo! PV cash lo! t t. PVCF
-10000
33$ 33$ 328 1$$ !&+&3!
33$ 33$ 320 3&8 111+1%$
33$ 33$ 311 !32 1$!+!%1
33$ 33$ 303 13 21$+28
33$ %%2% 838 8% +83+%&2
10000 22+%&
Control ".""
+ensi$ilidad a la tasa 10+000.00
0"
1"
2"
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8"
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10"
11"
12"
13"
1&"
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1$" *ariac. s(' -2.18"
1" 1" *ariac. s)on,. 0.0&"
18" Total -2.1&!8"
1%"
20"
8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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0.0"
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800000.0"
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8/16/2019 Estrategia Barbell y Bullet Con Bonos Argentinos en USD
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Tasa rein,ersión 8"
t t'/0PV CF Cash lo! rein(ertido
21 3%3.18
!%! 38.03
111! 3$3.31
1!0 3&%.38
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Fecha liquid. 30-mar-11
#recio en 6 &0.00 TIR /"./8%
T) ref. &.13
#recio en 764 113.80 (onto in,ersión 10+000
Fecha Amort. VR Tasa cu#ón Inter7s ca#it Inter7s
30-(ar-1131-'ec-03 0 88.23
30-Cun-0& 0 8%$.$0 3.%" &.31" 8.21
31-'ec-0& 0 %10.0& 3.%" &.31" 18.1%
30-Cun-0! 0 %3$.$$ 3.%" &.31" 182.03
31-'ec-0! 0 %!$%.!3 3.%" &.31" 18!.%!
30-Cun-0$ 0 %!.$ 3.%" &.31" 18%.%$
31-'ec-0$ 0 %%8$.&2 3.%" &.31" 1%&.0!
30-Cun-0 0 10201.$3 3.%" &.31" 1%8.23
31-'ec-0 0 10&21.&8 3.%" &.31" 202.!0
30-Cun-08 0 10$&$.0$ 3.%" &.31" 20$.8
31-'ec-08 0 108!.&8 3.%" &.31" 211.32
30-Cun-0% 0 11011.% !." 2.!1" 313.$31-'ec-0% 0 111!0.1 !." 2.!1" 31.0
30-Cun-10 0 112%0.10 !." 2.!1" 321.$8
31-'ec-10 0 11&31.% !." 2.!1" 32!.2
30-Cun-11 0 11!!.2$ !." 2.!1" 32%.81
31-'ec-11 0 1120.!3 !." 2.!1" 333.%!
30-Cun-12 0 118$.$3 !." 2.!1" 338.1&
31-'ec-12 0 1201$.!$ !." 2.!1" 3&2.38
30-Cun-13 0 121$.3 !." 2.!1" 3&$.$8
31-'ec-13 0 12320.0 !." 2.!1" 3!1.03
30-Cun-1& 0 12320.0 8.28" 0.00" !10.0!
31-'ec-1& 0 12320.0 8.28" 0.00" !10.0!
30-Cun-1! 0 12320.0 8.28" 0.00" !10.0!
31-'ec-1! 0 12320.0 8.28" 0.00" !10.0!
30-Cun-1$ 0 12320.0 8.28" 0.00" !10.0!
31-'ec-1$ 0 12320.0 8.28" 0.00" !10.0!
30-Cun-1 0 12320.0 8.28" 0.00" !10.0!
31-'ec-1 0 12320.0 8.28" 0.00" !10.0!
30-Cun-18 0 12320.0 8.28" 0.00" !10.0!
31-'ec-18 0 12320.0 8.28" 0.00" !10.0!
30-Cun-1% 0 12320.0 8.28" 0.00" !10.0!
31-'ec-1% 0 12320.0 8.28" 0.00" !10.0!
30-Cun-20 0 12320.0 8.28" 0.00" !10.0!
31-'ec-20 0 12320.0 8.28" 0.00" !10.0!
30-Cun-21 0 12320.0 8.28" 0.00" !10.0!
31-'ec-21 0 12320.0 8.28" 0.00" !10.0!30-Cun-22 0 12320.0 8.28" 0.00" !10.0!
31-'ec-22 0 12320.0 8.28" 0.00" !10.0!
30-Cun-23 0 12320.0 8.28" 0.00" !10.0!
31-'ec-23 0 12320.0 8.28" 0.00" !10.0!
30-Cun-2& $1$.00 110&.0 8.28" 0.00" !10.0!
31-'ec-2& $1$.00 11088.0 8.28" 0.00" &8&.!!
30-Cun-2! $1$.00 10&2.0$ 8.28" 0.00" &!%.0!
31-'ec-2! $1$.00 %8!$.0$ 8.28" 0.00" &33.!&
30-Cun-2$ $1$.00 %2&0.0! 8.28" 0.00" &08.0&
31-'ec-2$ $1$.00 8$2&.0! 8.28" 0.00" 382.!&
30-Cun-2 $1$.00 8008.0! 8.28" 0.00" 3!.0&
31-'ec-2 $1$.00 3%2.0& 8.28" 0.00" 331.!3
30-Cun-28 $1$.00 $$.0& 8.28" 0.00" 30$.03
31-'ec-28 $1$.00 $1$0.0& 8.28" 0.00" 280.!3
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'uration %.&
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#rom. #ond. *ida 3+&33.0
)on,eit !$.1
Cash lo! PV cash lo! t t ) PVCF PVCF ) tt'/0
-10000.000.00 0.00 - 0 0.0
0.00 0.00 - 0 0.0
0.00 0.00 -$ 0 0.0
0.00 0.00 -$ 0 0.0
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0.00 0.00 -! 0 0.0
0.00 0.00 -& 0 0.0
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0.00 0.00 -3 0 0.0
0.00 0.00 -2 0 0.0
0.00 0.00 -2 0 0.00.00 0.00 -1 0 0.0
0.00 0.00 -1 0 0.0
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32%.81 321.8! 0 81 101.$
333.%! 310.3! 1 23! &12.1
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!10.0! 188.2 10 1%3$ 21803.0
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!10.0! 1$3.12 12 1%1% 2&&%&.%
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81.03 1&8.3$ 18 210 !2208.1
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$$.01 .08 22 11 3%%&0.
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Totales 10000.00 1+3$1+11!.!
)ontrol 0.00
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Fecha liquid. 30-mar-11 TIR 1.85%
#recio en 6 1$$.00
T) ref. &.13 (onto in,ersió 10000
#recio en 764 &0.1%
Fecha Amort. VR Tasa cu#ón Inter7s Cash lo!
30-(ar-11 2&8%.!181 -10000.00
30-4ep-11 0 2&8%.!181 2.!0" 310.%% 310.%%31-(ar-12 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-12 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-13 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-13 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-1& 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-1& 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-1! 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-1! 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-1$ 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-1$ 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-1 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-1 0 2&8%.!181 2.!0" 310.%% 310.%%31-(ar-18 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-18 0 2&8%.!181 2.!0" 310.%% 310.%%
31-(ar-1% 0 2&8%.!181 2.!0" 310.%% 310.%%
30-4ep-1% 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-20 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-20 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-21 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-21 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-22 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-22 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-23 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-23 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-2& 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-2& 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-2! 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-2! 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-2$ 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-2$ 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-2 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-2 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-28 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-28 0 2&8%.!181 3.!" &$$.&% &$$.&%
31-(ar-2% 0 2&8%.!181 3.!" &$$.&% &$$.&%
30-4ep-2% 12&3.%!%03$1 23$3!.!&22 .2% $!3.0% 18%.0$
31-(ar-30 12&3.%!%03$1 223%1.!$$3 .2% $20.&3 18$&.&130-4ep-30 12&3.%!%03$1 211&.!%0& .2% !8.8 1831.!
31-(ar-31 12&3.%!%03$1 1%%03.$1&! .2% !!!.12 1%%.10
30-4ep-31 12&3.%!%03$1 18$!%.$38$ .2% !22.& 1$$.&!
31-(ar-32 12&3.%!%03$1 1&1!.$$2 .2% &8%.82 133.%
30-4ep-32 12&3.%!%03$1 1$11.$8$ .2% &!.1$ 101.1&
31-(ar-33 12&3.%!%03$1 1&%2.108 .2% &2&.!1 1$$8.&8
30-4ep-33 12&3.%!%03$1 13$83.3&% .2% 3%1.8! 1$3!.83
31-(ar-3& 12&3.%!%03$1 12&3%.!% .2% 3!%.20 1$03.1
30-4ep-3& 12&3.%!%03$1 111%!.831 .2% 32$.!& 1!0.!2
31-(ar-3! 12&3.%!%03$1 %%!1.8023 .2% 2%3.8% 1!3.8
30-4ep-3! 12&3.%!%03$1 80.83133 .2% 2$1.23 1!0!.21
31-(ar-3$ 12&3.%!%03$1 &$3.8!!&2 .2% 228.!8 1&2.!$
30-4ep-3$ 12&3.%!%03$1 $21%.8%!2 .2% 1%!.%3 1&3%.%0
31-(ar-3 12&3.%!%03$1 &%!.%03$1 .2% 1$3.2 1&0.2!
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30-4ep-3 12&3.%!%03$1 331.%21 .2% 130.$2 13&.!%
31-(ar-38 12&3.%!%03$1 2&8.%!181 .2% %.%$ 13&1.%&
30-4ep-38 12&3.%!%03$1 12&3.%!% .2% $!.31 130%.28
31-'ec-38 12&3.%!%03$1 0.00 .2% 1$.33 12$0.30
Total
*ariación TI 1"
+ensi$ilidad a la tasa
10000.00
0"
1"2"
3"
&"
!"
$"
"
8"
%.%0"
10.%0"
11"
12"
13"
1&"
1!"
1$"
1"
18"
1%"
20"
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'uration 13.20 5I%D&
(od.'uration 12.01 I1<15F1@
#r.#ond. *ida &+818 I13$!
)on,eit 10!.8& 5C%<2D&<15F1@B2@
PVCF t PV CF ) t t t'/0 PV CF
2%$.!% 1 1!0 22!282.%3 1 28& !1
2$%.%0 2 &0 1+020
2!.!3 2 !1$ 1+!!2
2&!.$ 3 $1$ 2+1$0
23&.&2 3 0! 2+822
223.$2 & 8& 3+!3&
213.3 & 8!! &+28
203.!! ! %1 !+0!2
1%&.1 ! %2 !+8&3
18!.23 $ 1021 $+$&3
1$.& $ 10$2 +&&2
1$8.$0 10%8 8+2&21$0.88 112 %+02%
1!3.& 8 11!2 %+80
1&$.&& 8 113 10+!$&
20%.!& % 183 1$+%!$
1%%.88 % 1801 18+031
1%0.$8 10 181& 1%+0$
181.%& 10 1821 20+0!$
13.!$ 11 182! 21+00!
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1!.%8 12 181% 22+!
1!0.& 12 1811 23+!!
1&3.80 13 1%% 2&+313
13.18 13 18! 2!+01
130.8$ 1& 1$% 2!+$1
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11%.11 1! 12% 2$+82&
113.$$ 1! 10$ 2+32$
108.&2 1$ 1$82 2+81
103.&! 1$ 1$! 28+18$
%8.$% 1 1$30 28+!&
%&.1& 1 1$02 28+8$2
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8!.$% 18 1!&& 2%+3!%
332.&3 1% $1!$ 120+1&%
311.& 1% !%28 118+$$12%2.1 20 !03 11+00&
23.82 20 !&81 11!+188
2!$.&$ 21 !2$2 113+228
2&0.13 21 !0& 111+13
22&.! 22 &83 108+%28
210.3& 22 &$32 10$+$1&
1%$.2 23 &&30 10&+20&
183.%$ 23 &23! 101+1&
11.%2 2& &0&& %%+1!1
1$0.$3 2& 38!8 %$+!2%
1&%.%8 2! 3$8 %3+8!3
13%.% 2! 3!02 %1+13&
130.!$ 2$ 3332 88+383
121.! 2$ 31$8 8!+$11
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113.&! 2 300% 82+818
10!.$8 2 28!$ 80+021
%8.3$ 28 20 +21
%2.&$ 28 2!$8 3+8%%
10000.00 131%%3.$2 2+!!&+8&&
Com#ro$ación & ' Con(e)it*
*ariac. s(' -12.01" --/ *ariación TI 'uration (odificada
*ariac. s)on,eit 1.0!8"
Total -10.%!$"
*ariación real -11.002"
&ierencia "."5%
--/ <*ariación TI@2 )on,eit
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1-4ep-11 1-4ep-1! 1-4ep-1% 1-4ep-23 1-4ep-2 1-4ep-31 1-4ep-3!
-
200
&00
$00
800
1+000
1+200
1+&00
1+$00
1+800
2+000
Par 9e:. Ar:entina
Flu;o de ca;a
2-jun-112-dic-11
2-jun-122-dic-12
2-jun-132-dic-13
2-jun-1&2-dic-1&
2-jun-1!2-dic-1!
2-jun-1$2-dic-1$
2-j
-
2+000
&+000
$+000
8+000
10+000
12+000
>lo$al 2"/6
Flu;o de ca;a
1-oct-111-ar-12
1-oct-121-ar-13
1-oct-131-ar-1&
1-oct-1&1-ar-1!
1-oct-1!1-ar-1$
1-oct-1$1-a
-
2+000
&+000
$+000
8+000
10+000
12+000
onar /"
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TIR Barbell 1 8.61%
Flujo de caja Barbell 1 Flujo con proporcione
3!30!2011 -10000
3-oct-11 324 288.11"#03#
3-ar-12 364 323."2"#81#
3-oct-12 364 323."2"#81#
3-ar-13 364 323."2"#81#
3-oct-13 364 323."2"#81#
3-ar-1& 364 323."2"#81#
3-oct-1& 364 323."2"#81#
3-ar-1! 364 323."2"#81#
3-oct-1! 10"56 #5"3.0#88#3
30-ep-11 310.## 34.20#33"35
31-$ar-12 310.## 34.20#33"35
30-ep-12 310.## 34.20#33"35
31-$ar-13 310.## 34.20#33"35
30-ep-13 310.## 34.20#33"35
31-$ar-14 310.## 34.20#33"35
30-ep-14 310.## 34.20#33"35
31-$ar-15 310.## 34.20#33"35
30-ep-15 310.## 34.20#33"35
31-$ar-16 310.## 34.20#33"35
30-ep-16 310.## 34.20#33"35
31-$ar-1" 310.## 34.20#33"35
30-ep-1" 310.## 34.20#33"35
31-$ar-18 310.## 34.20#33"35
30-ep-18 310.## 34.20#33"35
31-$ar-1# 310.## 34.20#33"35
30-ep-1# 466.4# 51.31400602
31-$ar-20 466.4# 51.3140060230-ep-20 466.4# 51.31400602
31-$ar-21 466.4# 51.31400602
30-ep-21 466.4# 51.31400602
31-$ar-22 466.4# 51.31400602
30-ep-22 466.4# 51.31400602
31-$ar-23 466.4# 51.31400602
30-ep-23 466.4# 51.31400602
31-$ar-24 466.4# 51.31400602
30-ep-24 466.4# 51.31400602
31-$ar-25 466.4# 51.3140060230-ep-25 466.4# 51.31400602
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31-$ar-26 466.4# 51.31400602
30-ep-26 466.4# 51.31400602
31-$ar-2" 466.4# 51.31400602
30-ep-2" 466.4# 51.31400602
31-$ar-28 466.4# 51.31400602
30-ep-28 466.4# 51.31400602
31-$ar-2# 466.4# 51.31400602
30-ep-2# 18#".06 208.6"6#5"8
31-$ar-30 1864.41 205.084#""4
30-ep-30 1831."5 201.4#2##"
31-$ar-31 1"##.10 1#".#010166
30-ep-31 1"66.45 1#4.30#0361
31-$ar-32 1"33."# 1#0."1"055"
30-ep-32 1"01.14 18".1250"53
31-$ar-33 1668.48 183.5330#4#
30-ep-33 1635.83 1"#.#411145
31-$ar-34 1603.1" 1"6.34#134
30-ep-34 15"0.52 1"2."5"1536
31-$ar-35 153".8" 16#.1651"32
30-ep-35 1505.21 165.5"31#28
31-$ar-36 14"2.56 161.#812123
30-ep-36 143#.#0 158.38#231#
31-$ar-3" 140".25 154."#"2515
30-ep-3" 13"4.5# 151.2052"11
31-$ar-38 1341.#4 14".6132#0"
30-ep-38 130#.28 144.0213102
31-dic-38 1260.30 138.63333#6
Flujo de caja Barbell 2 Flujo con proporcione
30-$ar-11 -10000
12-ep-11 336 268.6
12-$ar-12 336 268.6
12-ep-12 336 268.612-$ar-13 336 268.6
12-ep-13 ##2# "#43.4
30-ep-11 310.## 62.2
31-$ar-12 310.## 62.2
30-ep-12 310.## 62.2
31-$ar-13 310.## 62.2
30-ep-13 310.## 62.2
31-$ar-14 310.## 62.2
30-ep-14 310.## 62.2
31-$ar-15 310.## 62.230-ep-15 310.## 62.2
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31-$ar-16 310.## 62.2
30-ep-16 310.## 62.2
31-$ar-1" 310.## 62.2
30-ep-1" 310.## 62.2
31-$ar-18 310.## 62.2
30-ep-18 310.## 62.2
31-$ar-1# 310.## 62.2
30-ep-1# 466.4# #3.3
31-$ar-20 466.4# #3.3
30-ep-20 466.4# #3.3
31-$ar-21 466.4# #3.3
30-ep-21 466.4# #3.3
31-$ar-22 466.4# #3.3
30-ep-22 466.4# #3.3
31-$ar-23 466.4# #3.3
30-ep-23 466.4# #3.3
31-$ar-24 466.4# #3.3
30-ep-24 466.4# #3.3
31-$ar-25 466.4# #3.3
30-ep-25 466.4# #3.3
31-$ar-26 466.4# #3.3
30-ep-26 466.4# #3.3
31-$ar-2" 466.4# #3.3
30-ep-2" 466.4# #3.3
31-$ar-28 466.4# #3.3
30-ep-28 466.4# #3.3
31-$ar-2# 466.4# #3.3
30-ep-2# 18#".06 3"#.4
31-$ar-30 1864.41 3"2.#
30-ep-30 1831."5 366.4
31-$ar-31 1"##.10 35#.8
30-ep-31 1"66.45 353.3
31-$ar-32 1"33."# 346.8
30-ep-32 1"01.14 340.2
31-$ar-33 1668.48 333."30-ep-33 1635.83 32".2
31-$ar-34 1603.1" 320.6
30-ep-34 15"0.52 314.1
31-$ar-35 153".8" 30".6
30-ep-35 1505.21 301.0
31-$ar-36 14"2.56 2#4.5
30-ep-36 143#.#0 288.0
31-$ar-3" 140".25 281.4
30-ep-3" 13"4.5# 2"4.#
31-$ar-38 1341.#4 268.430-ep-38 130#.28 261.#
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31-dic-38 1260.30 252.1
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-
200
&00
$00
800
1+000
1+200
ono &iscount 9e:. Ar:entina
Flu;o de ca;a
n-1
3-oct-11 3-ar-12 3-oct-12 3-ar-13 3-oct-13 3-ar-1& 3-oct-1& 3-ar-1! 3-
-
2+000
&+000
$+000
8+000
10+000
12+000
oden 2"/
Flu;o de ca;a
r-1 12-sep-11 12-mar-12 12-sep-12 12-mar-13 12-sep-1
-
2+000
&+000
$+000
8+000
10+000
12+000
onar 6
Flu;o de ca;a
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6.24%
TIR 8.1"501%
-4.4% -8000
-4.1% 268.6
-3.8% 268.6
-3.6% 268.6-3.3% 268.6
-3.0% "#43.4
-2."%
-2.4%
-2.1%
-1.8%
-1.6%
-1.3%
-1.0%
-0."%-0.5%
0.0
1000.0
2000.0
3000.0
4000.0
5000.0
6000.0
"000.0
8000.0
#000.0
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8.2%
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oct-1!
3
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5.3% #.86%
-2000
0
0
00
0
62.2
62.2
62.2
62.2
62.2
62.2
62.2
62.262.2
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62.2
62.2
62.2
62.2
62.2
62.2
62.2
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
#3.3
3"#.4
3"2.#
366.4
35#.8
353.3
346.8
340.2
333."32".2
320.6
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288.0
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268.4261.#
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252.1
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Análisis del retorno total para un período de seis meses cuando se produce un traslado
Fecha de análisis 3!30!2011
Feca de &aluaci'n (a 6 $ee de la )eca de co$pra de lo bono*
+recio TIR ,uration od. ,uration
Bonar " 430.5 5.3% 2.3 2.2Bonar 10 3#2 8.2% 5.0 4.6
Boden 15 3#".4 8.1% 3.# 3.6
lobal 1" 438 8.2% 4.8 4.4
,icount (,I/* 4"0 10.2% #.4 8.5
+ar (+R* 166 #.#% 13.2 12.0
Barbell port)olio 1 8.6% 5.0 4.563
Barbell port)olio 2 8.2% 4.5 4.148
4.563 -- /o$proba
ar$ell #ortolio /? ar$ell #ortolio 2? ar$ell #ortolio
Doden 1! 8%.00" Donar 80" Donar 10
#ar 11.00" #ar 20" #ar )osto con,eit -0.&$" )osto con,eit 0.0% )osto con,eit
(onto in,ersión 10000
Parallel shift
Boden 15 Bonar 10
3.1% 1206" 3% 12,727 4.#%
4.1% 11611 4% 12,111 5.#%
5.1% 111"8 5% 11,532 6.#%
6.1% 10"66 6% 10,! ".#%
".1% 103"3 "% 10,"7 8.#%
8.1% 10000 8% 10,000 #.#%
#.1% #644 #% ,5" 10.#%
10.1% #306 10% ,125 11.#%11.1% 8#83 11% !,725 12.#%
12.1% 86"5 12% !,3" 13.#%
13.1% 8381 13% 7," 14.#%
#teepenin$ shift% &100 'ps en Boden 15( )100 'ps
Boden 15
2.65% 12304 5.4%
3.65% 11836 6.4%
4.65% 113#2 ".4%
5.65% 10#6# 8.4%
6.65% 1056" #.4%".65% 10184 10.4%
8.65% #820 11.4%
#.65% #4"3 12.4%
10.65% #142 13.4%
11.65% 882" 14.4%
12.65% 8526 15.4%
Flatenin$ shift% )100 'ps en Boden 15( &100 'ps e
Boden 15
3.6% 11836.40 4.4%
4.6% 113#1."5 5.4%
5.6% 10#6#.04 6.4%6.6% 10566.#8 ".4%
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de la curva de rendimientos 6!3!2016 11-jun-21
26-ep-11
/on&eit Gos resultados se eponen en ,alores monetarios Darell 1 - Dullet Donar 10
3.514.2 )amio en TI (o,. #aralelo 4teepeninH
8.# -5% 201.00 250.24
13.6 -4% 103.61 1"1.32
56.1 -3% 43.0# 124.15
105.8 -2% 10.14 100.5#
1#.6 -1% -2.40 #4.41
24.0 0% 0.00 100.82
1% 13.11 116.15
i'n , Barbell port)oli 2% 33."0 13".58
3? 3% 5#.31 162.#8
80" 4% 88.05 1#0."3
20" 5% 118.50 21#.60
Par Bar'ell 1 Bonar 7
1#8#3 12,2! 0.34% 11185
1"0#2 12,21" 1.34% 10#32
14"#1 11,575 2.34% 1068"
128#1 10, 3.34% 10451
11315 10,"77 4.34% 10222
10000 10,000 5.34% 10000
88#8 ,5+2 6.34% #"85
"#68 ,15 ".34% #5"""181 !,7!5 8.34% #3"6
6511 !,"37 #.34% #181
5#38 !,112 10.34% 8##2
n PA* 0.5% #teepenin$ shift% &1
+ar Barbell 1 Bonar 7
18423 12#"" 0.3384% 11185
15886 12282 1.3384% 10#32
13"#6 11656 2.3384% 1068"
1206" 110#0 2.84% 10568
10628 105"4 3.84% 10335#425 10101 4.84% 10110
8413 #665 5.84% #8#2
"55# #263 6.84% #681
6833 8888 ".84% #4"6
6213 8540 8.84% #2"8
5682 8213 #.84% #085
PA* 0.5% Flatenin$ shift% )100 'ps en Bonar 7( &10
+ar Barbell 1 Bonar 7
21518.46 12#01.43 0.8384% 1105"
18422."2 12165.15 1.8384% 1080#
15885.83 1150#.88 2.8384% 1056813"#6.48 10#22.22 3.8384% 10335
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1206".00 103#1.46 4.8384% 10110
10628.12 ##08.#6 5.8384% #8#2
#424.85 #46"."6 6.8384% #681
8413.43 #062.1" ".8384% #4"6
"558.85 868".52 8.8384% #2"8
6833.05 833#.#5 #.8384% #085
6213.42 8016.28 10.8384% 88##
-$" -&"
Darell 2 - Darell 1 <,alores en 7
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Barbell 2 &eru Barbell 1FlatteninH (o,. #aralelo 4teepeninH FlatteninH
1"4.26 - 1.8 1448 20#2
54.64 - 50.2 ##1 1523
-22.23 - 6".2 622 1064
-6".00 - 60.6 300 6#2
-8".83 - 36.6 5# 3#1
-#1.04 - 0.0 - 13" 14"
-81.44 45.5 - 2#6 - 51
-62."6 #".0 - 424 - 213
-3".83 152.5 - 52# - 344
-8.84 210.0 - 613 - 450
22.58 268.5 - 681 - 53"
Bar'ell 2 Barbell 3 (+ar 7 Bonar 10*
12#26 14160
12164 1310"
11508 12184
10#3# 113"0
10440 10646
10000 10000
#608 #41#
#256 88#48#3" 841"
864" "#81
8381 "582
0 'ps en Bonar 7( )100 'ps en PA*
Bar'ell 2
12632
11#23
1130#
10868
103#4##"3
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8405
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116321102"
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10501
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1&"
Donar
12" 1&"
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,uration odicada TIR
A12 30-(ar-11 0.8& -0.%8"
?13 30-(ar-11 1.0$ 1.18"
?413 30-(ar-11 2.20 !"
:1! 30-(ar-11 3.3 .$!"
AC1 30-(ar-11 &.3% .83"
??1 30-(ar-11 &.!$ 8.$"
'I)? 30-(ar-11 8.8% %.%"
#?? 30-(ar-11 12.&8 %.2"
,uration odicada TIR
A12 2$-4ep-11 0.8 -!.38"
?13 2$-4ep-11 1.10 -1.1"
Donar 13 2$-4ep-11 1.80 3.$1"
Doden 1! 2$-4ep-11 3.2! 8.&8"
Aloal 1 2$-4ep-11 &.11 .88"
Donar 1 2$-4ep-11 &.1% 10.1"
'iscount 2$-4ep-11 8.0& 11.%2"
#ar 2$-4ep-11 11.32 10.83"
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-0.#%
0.8%
0.0%
1.5%
1.#%
1.1%
0 2 4 6 8 10 12 14
0%
2%
4%
6%
8%
10%
12%
4.50%
".65%".83%
8.5"%
#.#"% #."2%)(* 9 0.028#31#821 ln(* 7 0.03308#"8"#
R: 9 0.835"0#264"
0 2 4 6 8 10 12-2%
0%
2%
4%
6%8%
10%
12%
3.61%
8.48%
".88%
10.10%
11.#2%10.83)(* 9 0.03#"632662 ln(* 7 0.02"544#422
R: 9 0."81#28"5#"
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