Incio

Selic x Ibov_94Selic x Ibov (1994)PortifoliosSelicIbovRetornoRisco (DP)100%0%22.36%10.36%ParametrosSelic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbov90%10%22.61%10.32%Dp Anual10.36%10.32%11.73%14.16%17.20%20.56%24.12%27.80%31.56%35.37%39.22%80%20%22.86%11.73%Retorno Media22.36%22.61%22.86%23.11%23.36%23.61%23.86%24.12%24.37%24.62%24.87%70%30%23.11%14.16%Sharpe Media-0.02440.04280.05320.05840.06110.06250.06330.06370.06390.064160%40%23.36%17.20%DP Sharpe-0.38770.68220.84720.93040.97260.99491.00711.01391.01771.019950%50%23.61%20.56%VAR IC 95%5.31%5.64%3.57%-0.19%-4.93%-10.21%-15.82%-21.62%-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%Retornos AnualizadosSharpeData Selic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbovSelic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbov07/94 a 06/9562.81%56.57%50.32%44.08%37.84%31.59%25.35%19.11%12.86%6.62%0.38%6.06-0.61-1.06-1.32-1.45-1.52-1.55-1.57-1.58-1.59-1.5908/94 a 07/9558.47%51.95%45.42%38.90%32.37%25.85%19.32%12.80%6.28%-0.25%-6.77%5.64-0.63-1.11-1.38-1.52-1.59-1.62-1.64-1.65-1.66-1.6609/94 a 08/9557.35%49.80%42.25%34.70%27.15%19.60%12.05%4.50%-3.05%-10.60%-18.15%5.54-0.73-1.29-1.60-1.76-1.84-1.88-1.90-1.91-1.92-1.9210/94 a 09/9557.19%49.98%42.76%35.55%28.34%21.12%13.91%6.70%-0.51%-7.73%-14.94%5.52-0.70-1.23-1.53-1.68-1.75-1.79-1.82-1.83-1.84-1.8411/94 a 10/9556.39%49.47%42.55%35.64%28.72%21.80%14.88%7.97%1.05%-5.87%-12.79%5.44-0.67-1.18-1.47-1.61-1.68-1.72-1.74-1.75-1.76-1.7612/94 a 11/9554.60%48.48%42.36%36.24%30.13%24.01%17.89%11.77%5.65%-0.47%-6.58%5.27-0.59-1.04-1.30-1.42-1.49-1.52-1.54-1.55-1.56-1.5601/95 a 12/9553.05%47.95%42.85%37.76%32.66%27.56%22.46%17.37%12.27%7.17%2.07%5.12-0.49-0.87-1.08-1.19-1.24-1.27-1.28-1.29-1.30-1.3002/95 a 01/9651.88%49.90%47.92%45.94%43.96%41.98%40.00%38.01%36.03%34.05%32.07%5.01-0.19-0.34-0.42-0.46-0.48-0.49-0.50-0.50-0.50-0.5103/95 a 02/9650.56%52.51%54.46%56.41%58.36%60.31%62.26%64.21%66.16%68.11%70.06%4.880.190.330.410.450.470.490.490.490.500.5004/95 a 03/9647.61%50.16%52.71%55.26%57.82%60.37%62.92%65.47%68.02%70.57%73.12%4.600.250.440.540.590.620.630.640.650.650.6505/95 a 04/9644.52%43.39%42.27%41.14%40.02%38.89%37.77%36.64%35.52%34.39%33.26%4.30-0.11-0.19-0.24-0.26-0.27-0.28-0.28-0.29-0.29-0.2906/95 a 05/9641.42%42.21%43.00%43.79%44.58%45.37%46.17%46.96%47.75%48.54%49.33%4.000.080.130.170.180.190.200.200.200.200.2007/95 a 06/9638.62%41.89%45.15%48.42%51.68%54.95%58.21%61.48%64.74%68.01%71.27%3.730.320.560.690.760.790.810.820.830.830.8308/95 a 07/9635.83%38.46%41.10%43.73%46.37%49.00%51.63%54.27%56.90%59.54%62.17%3.460.260.450.560.610.640.660.660.670.670.6709/95 a 08/9633.39%34.06%34.72%35.39%36.06%36.72%37.39%38.06%38.72%39.39%40.06%3.220.060.110.140.160.160.170.170.170.170.1710/95 a 09/9631.55%32.77%33.98%35.20%36.42%37.63%38.85%40.07%41.28%42.50%43.72%3.050.120.210.260.280.300.300.310.310.310.3111/95 a 10/9629.98%33.18%36.38%39.58%42.78%45.98%49.19%52.39%55.59%58.79%61.99%2.890.310.550.680.740.780.800.810.810.810.8212/95 a 11/9628.63%31.27%33.90%36.54%39.17%41.81%44.44%47.08%49.71%52.35%54.98%2.760.260.450.560.610.640.660.660.670.670.6701/96 a 12/9627.41%30.51%33.62%36.72%39.82%42.92%46.03%49.13%52.23%55.33%58.44%2.650.300.530.660.720.750.770.780.790.790.7902/96 a 01/9726.35%29.08%31.81%34.54%37.27%39.99%42.72%45.45%48.18%50.91%53.64%2.540.260.470.580.630.660.680.690.690.690.7003/96 a 02/9725.51%30.62%35.73%40.84%45.95%51.06%56.17%61.28%66.39%71.50%76.61%2.460.500.871.081.191.241.271.291.301.301.3004/96 a 03/9724.80%30.56%36.32%42.09%47.85%53.61%59.37%65.13%70.90%76.66%82.42%2.390.560.981.221.341.401.431.451.461.471.4705/96 a 04/9724.30%31.45%38.59%45.74%52.89%60.03%67.18%74.32%81.47%88.62%95.76%2.350.691.221.511.661.741.781.801.811.821.8206/96 a 05/9723.77%31.55%39.34%47.12%54.91%62.69%70.47%78.26%86.04%93.83%101.61%2.290.751.331.651.811.891.941.961.971.981.9807/96 a 06/9723.32%32.11%40.90%49.68%58.47%67.26%76.05%84.84%93.63%102.41%111.20%2.250.851.501.862.042.142.192.212.232.242.2408/96 a 07/9722.93%30.17%37.40%44.64%51.87%59.11%66.35%73.58%80.82%88.05%95.29%2.210.701.231.531.681.761.801.821.831.841.8409/96 a 08/9722.47%26.44%30.42%34.39%38.36%42.33%46.31%50.28%54.25%58.23%62.20%2.170.390.680.840.920.970.991.001.011.011.0110/96 a 09/9722.09%28.55%35.00%41.46%47.91%54.37%60.83%67.28%73.74%80.19%86.65%2.130.631.101.371.501.571.611.631.641.641.6511/96 a 10/9721.87%24.53%27.18%29.84%32.50%35.15%37.81%40.47%43.12%45.78%48.44%2.110.260.450.560.620.650.660.670.670.680.6812/96 a 11/9723.35%25.34%27.33%29.32%31.31%33.29%35.28%37.27%39.26%41.25%43.24%2.250.190.340.420.460.480.490.500.500.510.5101/97 a 12/9724.77%27.36%29.95%32.54%35.13%37.72%40.31%42.90%45.49%48.08%50.67%2.390.250.440.550.600.630.640.650.660.660.6602/97 a 01/9825.92%25.65%25.37%25.10%24.83%24.55%24.28%24.01%23.73%23.46%23.19%2.50-0.03-0.05-0.06-0.06-0.07-0.07-0.07-0.07-0.07-0.0703/97 a 02/9826.49%25.92%25.35%24.78%24.21%23.64%23.07%22.50%21.93%21.36%20.80%2.56-0.06-0.10-0.12-0.13-0.14-0.14-0.14-0.14-0.14-0.1504/97 a 03/9827.19%27.42%27.66%27.89%28.13%28.36%28.60%28.83%29.07%29.30%29.54%2.620.020.040.050.050.060.060.060.060.060.0605/97 a 04/9827.25%25.95%24.64%23.34%22.04%20.74%19.43%18.13%16.83%15.53%14.22%2.63-0.13-0.22-0.28-0.30-0.32-0.32-0.33-0.33-0.33-0.3306/97 a 05/9827.31%23.03%18.76%14.48%10.20%5.93%1.65%-2.63%-6.90%-11.18%-15.46%2.64-0.41-0.73-0.91-0.99-1.04-1.06-1.08-1.08-1.09-1.0907/97 a 06/9827.30%22.19%17.09%11.98%6.88%1.77%-3.33%-8.44%-13.54%-18.65%-23.75%2.64-0.49-0.87-1.08-1.19-1.24-1.27-1.29-1.29-1.30-1.3008/97 a 07/9827.43%23.18%18.93%14.68%10.43%6.18%1.93%-2.32%-6.57%-10.82%-15.07%2.65-0.41-0.72-0.90-0.99-1.03-1.06-1.07-1.08-1.08-1.0809/97 a 08/9827.29%21.40%15.52%9.63%3.74%-2.14%-8.03%-13.92%-19.80%-25.69%-31.58%2.63-0.57-1.00-1.25-1.37-1.43-1.46-1.48-1.49-1.50-1.5010/97 a 09/9828.42%20.47%12.53%4.58%-3.36%-11.31%-19.26%-27.20%-35.15%-43.09%-51.04%2.74-0.77-1.36-1.68-1.85-1.93-1.98-2.00-2.01-2.02-2.0311/97 a 10/9830.02%24.64%19.25%13.87%8.48%3.10%-2.29%-7.67%-13.06%-18.44%-23.83%2.90-0.52-0.92-1.14-1.25-1.31-1.34-1.36-1.36-1.37-1.3712/97 a 11/9829.50%25.41%21.31%17.22%13.12%9.03%4.93%0.84%-3.25%-7.35%-11.44%2.85-0.40-0.70-0.87-0.95-1.00-1.02-1.03-1.04-1.04-1.0401/98 a 12/9828.79%22.53%16.28%10.02%3.77%-2.49%-8.75%-15.00%-21.26%-27.51%-33.77%2.78-0.61-1.07-1.32-1.46-1.52-1.56-1.57-1.59-1.59-1.5902/98 a 01/9928.17%24.27%20.37%16.46%12.56%8.66%4.76%0.86%-3.05%-6.95%-10.85%2.72-0.38-0.67-0.83-0.91-0.95-0.97-0.98-0.99-0.99-0.9903/98 a 02/9928.49%24.12%19.75%15.39%11.02%6.65%2.28%-2.08%-6.45%-10.82%-15.19%2.75-0.42-0.74-0.93-1.02-1.06-1.09-1.10-1.11-1.11-1.1104/98 a 03/9929.91%26.23%22.55%18.87%15.19%11.51%7.83%4.15%0.47%-3.21%-6.89%2.89-0.36-0.63-0.78-0.86-0.89-0.92-0.93-0.93-0.94-0.9405/98 a 04/9930.72%27.59%24.45%21.32%18.19%15.05%11.92%8.78%5.65%2.52%-0.62%2.97-0.30-0.53-0.66-0.73-0.76-0.78-0.79-0.79-0.80-0.8006/98 a 05/9931.22%29.60%27.98%26.37%24.75%23.13%21.51%19.90%18.28%16.66%15.04%3.01-0.16-0.28-0.34-0.38-0.39-0.40-0.41-0.41-0.41-0.4107/98 a 06/9931.31%29.99%28.67%27.35%26.02%24.70%23.38%22.06%20.74%19.42%18.10%3.02-0.13-0.23-0.28-0.31-0.32-0.33-0.33-0.33-0.34-0.3408/98 a 07/9931.26%27.94%24.62%21.30%17.98%14.66%11.35%8.03%4.71%1.39%-1.93%3.02-0.32-0.57-0.70-0.77-0.81-0.83-0.84-0.84-0.84-0.8509/98 a 08/9931.38%34.00%36.63%39.25%41.87%44.50%47.12%49.74%52.37%54.99%57.61%3.030.250.450.560.610.640.650.660.660.670.6710/98 a 09/9930.10%35.48%40.86%46.23%51.61%56.99%62.37%67.74%73.12%78.50%83.88%2.910.520.921.141.251.311.341.351.361.371.3711/98 a 10/9928.13%30.98%33.83%36.68%39.53%42.38%45.24%48.09%50.94%53.79%56.64%2.720.280.490.600.660.690.710.720.720.730.7312/98 a 11/9926.58%30.16%33.74%37.32%40.90%44.48%48.06%51.64%55.22%58.80%62.38%2.570.350.610.760.830.870.890.900.910.910.9101/99 a 12/9925.59%37.42%49.25%61.09%72.92%84.75%96.58%108.42%120.25%132.08%143.91%2.471.152.022.512.752.882.942.983.003.013.0202/99 a 01/0024.70%30.81%36.93%43.04%49.15%55.26%61.38%67.49%73.60%79.72%85.83%2.380.591.041.291.421.491.521.541.551.561.5603/99 a 02/0023.57%30.73%37.89%45.05%52.22%59.38%66.54%73.70%80.86%88.02%95.18%2.280.691.221.521.671.741.781.801.821.821.8304/99 a 03/0021.32%24.84%28.35%31.87%35.38%38.90%42.41%45.93%49.44%52.96%56.47%2.060.340.600.740.820.850.870.890.890.890.9005/99 a 04/0020.08%21.65%23.21%24.78%26.35%27.91%29.48%31.05%32.61%34.18%35.75%1.940.150.270.330.360.380.390.390.400.400.4006/99 a 05/0019.45%21.49%23.52%25.56%27.60%29.63%31.67%33.71%35.75%37.78%39.82%1.880.200.350.430.470.500.510.510.520.520.5207/99 a 06/0019.13%21.81%24.49%27.18%29.86%32.54%35.22%37.91%40.59%43.27%45.95%1.850.260.460.570.620.650.670.680.680.680.6808/99 a 07/0018.72%22.80%26.88%30.96%35.04%39.12%43.20%47.28%51.36%55.44%59.52%1.810.400.700.860.950.991.011.031.031.041.0409/99 a 08/0018.53%22.80%27.07%31.34%35.61%39.88%44.15%48.42%52.69%56.96%61.23%1.790.410.730.900.991.041.061.071.081.091.0910/99 a 09/0018.21%20.59%22.96%25.34%27.72%30.09%32.47%34.85%37.22%39.60%41.97%1.760.230.410.500.550.580.590.600.600.600.6111/99 a 10/0018.11%18.87%19.64%20.40%21.17%21.93%22.70%23.46%24.22%24.99%25.75%1.750.070.130.160.180.190.190.190.190.190.1912/99 a 11/0017.91%15.80%13.70%11.59%9.49%7.38%5.27%3.17%1.06%-1.04%-3.15%1.73-0.20-0.36-0.45-0.49-0.51-0.52-0.53-0.53-0.54-0.5401/00 a 12/0017.45%14.82%12.18%9.55%6.91%4.28%1.65%-0.99%-3.62%-6.26%-8.89%1.68-0.26-0.45-0.56-0.61-0.64-0.66-0.66-0.67-0.67-0.6702/00 a 01/0117.23%15.82%14.41%13.00%11.59%10.18%8.77%7.36%5.94%4.53%3.12%1.66-0.14-0.24-0.30-0.33-0.34-0.35-0.36-0.36-0.36-0.3603/00 a 02/0116.73%14.20%11.67%9.14%6.61%4.08%1.56%-0.97%-3.50%-6.03%-8.56%1.61-0.25-0.43-0.54-0.59-0.61-0.63-0.64-0.64-0.64-0.6404/00 a 03/0116.51%12.97%9.42%5.88%2.34%-1.21%-4.75%-8.30%-11.84%-15.38%-18.93%1.59-0.34-0.60-0.75-0.82-0.86-0.88-0.89-0.90-0.90-0.9005/00 a 04/0116.38%14.34%12.30%10.25%8.21%6.17%4.13%2.09%0.04%-2.00%-4.04%1.58-0.20-0.35-0.43-0.47-0.50-0.51-0.51-0.52-0.52-0.5206/00 a 05/0116.21%14.16%12.11%10.07%8.02%5.97%3.92%1.88%-0.17%-2.22%-4.27%1.56-0.20-0.35-0.43-0.48-0.50-0.51-0.52-0.52-0.52-0.5207/00 a 06/0116.07%12.98%9.89%6.80%3.71%0.62%-2.47%-5.56%-8.64%-11.73%-14.82%1.55-0.30-0.53-0.65-0.72-0.75-0.77-0.78-0.78-0.79-0.7908/00 a 07/0116.29%13.10%9.91%6.71%3.52%0.33%-2.86%-6.05%-9.25%-12.44%-15.63%1.57-0.31-0.54-0.68-0.74-0.78-0.79-0.80-0.81-0.81-0.8109/00 a 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EF_94

Retornos Anuais_94

Dolar x Ibov_94Dolar x Ibov (1994)PortifoliosIbovDolar RetornoRisco (DP)100%0%24.87%39.22%ParametrosIbov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar 90%10%23.23%34.47%Dp Anual39.22%34.47%29.88%25.54%21.62%18.36%16.19%15.56%16.65%19.17%22.64%80%20%21.59%29.88%Retorno Media24.87%23.23%21.59%19.94%18.30%16.66%15.02%13.38%11.74%10.09%8.45%70%30%19.94%25.54%Sharpe Media--0.0476-0.1099-0.1928-0.3038-0.4470-0.6084-0.7384-0.7887-0.7707-0.725060%40%18.30%21.62%DP Sharpe-0.15220.35130.61630.97101.42891.94462.36042.52102.46362.317450%50%16.66%18.36%VAR IC 95%-39.65%-33.47%-27.56%-22.07%-17.26%-13.55%-11.62%-12.22%-15.66%-21.44%-28.80%40%60%15.02%16.19%30%70%13.38%15.56%20%80%11.74%16.65%Resolver o Sharpe: Incluir Selic para calcula-lo10%90%10.09%19.17%0%100%8.45%22.64%Retornos AnualizadosSharpeData Ibov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar Ibov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar 07/94 a 06/950.38%0.23%0.09%-0.06%-0.20%-0.35%-0.49%-0.64%-0.78%-0.93%-1.08%0.01-0.00-0.01-0.02-0.03-0.04-0.05-0.07-0.07-0.07-0.0608/94 a 07/95-6.77%-6.10%-5.42%-4.74%-4.06%-3.39%-2.71%-2.03%-1.35%-0.68%0.00%-0.170.020.050.080.130.180.250.300.330.320.3009/94 a 08/95-18.15%-15.54%-12.93%-10.32%-7.71%-5.10%-2.49%0.12%2.73%5.34%7.95%-0.460.080.170.310.480.710.971.171.251.231.1510/94 a 09/95-14.94%-12.27%-9.60%-6.93%-4.26%-1.59%1.08%3.75%6.42%9.09%11.76%-0.380.080.180.310.490.730.991.201.281.251.1811/94 a 10/95-12.79%-10.08%-7.37%-4.67%-1.96%0.75%3.46%6.16%8.87%11.58%14.29%-0.330.080.180.320.500.741.001.221.301.271.2012/94 a 11/95-6.58%-4.51%-2.44%-0.37%1.70%3.77%5.84%7.91%9.98%12.05%14.12%-0.170.060.140.240.380.560.770.930.990.970.9101/95 a 12/952.07%3.41%4.75%6.09%7.43%8.77%10.11%11.45%12.80%14.14%15.48%0.050.040.090.160.250.360.500.600.640.630.5902/95 a 01/9632.07%30.53%28.99%27.45%25.91%24.37%22.83%21.29%19.75%18.21%16.67%0.82-0.04-0.10-0.18-0.29-0.42-0.57-0.69-0.74-0.72-0.6803/95 a 02/9670.06%64.59%59.11%53.63%48.16%42.68%37.20%31.73%26.25%20.77%15.29%1.79-0.16-0.37-0.64-1.01-1.49-2.03-2.46-2.63-2.57-2.4204/95 a 03/9673.12%66.81%60.50%54.19%47.87%41.56%35.25%28.94%22.62%16.31%10.00%1.86-0.18-0.42-0.74-1.17-1.72-2.34-2.84-3.03-2.96-2.7905/95 a 04/9633.26%30.82%28.37%25.92%23.48%21.03%18.58%16.13%13.69%11.24%8.79%0.85-0.07-0.16-0.29-0.45-0.67-0.91-1.10-1.18-1.15-1.0806/95 a 05/9649.33%45.51%41.69%37.86%34.04%30.22%26.40%22.58%18.75%14.93%11.11%1.26-0.11-0.26-0.45-0.71-1.04-1.42-1.72-1.84-1.79-1.6907/95 a 06/9671.27%65.01%58.76%52.50%46.24%39.98%33.73%27.47%21.21%14.95%8.70%1.82-0.18-0.42-0.73-1.16-1.70-2.32-2.81-3.01-2.94-2.7608/95 a 07/9662.17%56.81%51.46%46.10%40.74%35.39%30.03%24.67%19.32%13.96%8.60%1.59-0.16-0.36-0.63-0.99-1.46-1.99-2.41-2.57-2.51-2.3709/95 a 08/9640.06%36.79%33.52%30.25%26.98%23.71%20.44%17.17%13.91%10.64%7.37%1.02-0.09-0.22-0.38-0.60-0.89-1.21-1.47-1.57-1.53-1.4410/95 a 09/9643.72%40.08%36.45%32.81%29.18%25.54%21.91%18.27%14.64%11.00%7.37%1.11-0.11-0.24-0.43-0.67-0.99-1.35-1.63-1.75-1.71-1.6111/95 a 10/9661.99%56.52%51.05%45.58%40.11%34.64%29.17%23.70%18.23%12.76%7.29%1.58-0.16-0.37-0.64-1.01-1.49-2.03-2.46-2.63-2.57-2.4212/95 a 11/9654.98%50.10%45.22%40.34%35.46%30.58%25.70%20.83%15.95%11.07%6.19%1.40-0.14-0.33-0.57-0.90-1.33-1.81-2.19-2.34-2.29-2.1501/96 a 12/9658.44%53.31%48.19%43.07%37.95%32.83%27.70%22.58%17.46%12.34%7.22%1.49-0.15-0.34-0.60-0.95-1.39-1.90-2.30-2.46-2.40-2.2602/96 a 01/9753.64%48.99%44.34%39.69%35.04%30.39%25.74%21.09%16.44%11.79%7.14%1.37-0.13-0.31-0.55-0.86-1.27-1.72-2.09-2.23-2.18-2.0503/96 a 02/9776.61%69.67%62.72%55.77%48.83%41.88%34.93%27.98%21.04%14.09%7.14%1.95-0.20-0.47-0.82-1.29-1.89-2.57-3.12-3.34-3.26-3.0704/96 a 03/9782.42%74.89%67.35%59.82%52.28%44.75%37.21%29.68%22.14%14.61%7.07%2.10-0.22-0.50-0.88-1.39-2.05-2.79-3.39-3.62-3.54-3.3305/96 a 04/9795.76%86.89%78.03%69.16%60.29%51.42%42.55%33.68%24.81%15.94%7.07%2.44-0.26-0.59-1.04-1.64-2.42-3.29-3.99-4.26-4.16-3.9206/96 a 05/97101.61%92.15%82.69%73.23%63.77%54.31%44.84%35.38%25.92%16.46%7.00%2.59-0.27-0.63-1.11-1.75-2.58-3.51-4.26-4.55-4.44-4.1807/96 a 06/97111.20%100.88%90.56%80.24%69.92%59.60%49.28%38.96%28.64%18.32%8.00%2.84-0.30-0.69-1.21-1.91-2.81-3.82-4.64-4.96-4.85-4.5608/96 a 07/9795.29%86.45%77.62%68.78%59.95%51.11%42.27%33.44%24.60%15.77%6.93%2.43-0.26-0.59-1.04-1.64-2.41-3.27-3.97-4.24-4.15-3.9009/96 a 08/9762.20%56.66%51.13%45.60%40.06%34.53%29.00%23.46%17.93%12.40%6.86%1.59-0.16-0.37-0.65-1.02-1.51-2.05-2.49-2.66-2.60-2.4410/96 a 09/9786.65%78.77%70.89%63.01%55.13%47.25%39.37%31.49%23.60%15.72%7.84%2.21-0.23-0.53-0.93-1.46-2.15-2.92-3.54-3.79-3.70-3.4811/96 a 10/9748.44%44.27%40.11%35.94%31.78%27.62%23.45%19.29%15.12%10.96%6.80%1.23-0.12-0.28-0.49-0.77-1.13-1.54-1.87-2.00-1.95-1.8412/96 a 11/9743.24%39.69%36.14%32.60%29.05%25.50%21.96%18.41%14.86%11.31%7.77%1.10-0.10-0.24-0.42-0.66-0.97-1.31-1.60-1.70-1.67-1.5701/97 a 12/9750.67%46.37%42.08%37.78%33.48%29.18%24.88%20.59%16.29%11.99%7.69%1.29-0.12-0.29-0.50-0.80-1.17-1.59-1.93-2.06-2.02-1.9002/97 a 01/9823.19%21.53%19.88%18.23%16.58%14.93%13.27%11.62%9.97%8.32%6.67%0.59-0.05-0.11-0.19-0.31-0.45-0.61-0.74-0.79-0.78-0.7303/97 a 02/9820.80%19.48%18.16%16.84%15.52%14.21%12.89%11.57%10.25%8.94%7.62%0.53-0.04-0.09-0.15-0.24-0.36-0.49-0.59-0.63-0.62-0.5804/97 a 03/9829.54%27.24%24.95%22.66%20.36%18.07%15.78%13.48%11.19%8.90%6.60%0.75-0.07-0.15-0.27-0.42-0.62-0.85-1.03-1.10-1.08-1.0105/97 a 04/9814.22%13.56%12.89%12.22%11.55%10.89%10.22%9.55%8.88%8.21%7.55%0.36-0.02-0.04-0.08-0.12-0.18-0.25-0.30-0.32-0.31-0.2906/97 a 05/98-15.46%-13.16%-10.87%-8.58%-6.28%-3.99%-1.70%0.60%2.89%5.18%7.48%-0.390.070.150.270.420.620.851.031.101.081.0107/97 a 06/98-23.75%-20.73%-17.70%-14.68%-11.66%-8.63%-5.61%-2.59%0.44%3.46%6.48%-0.610.090.200.360.560.821.121.361.451.421.3408/97 a 07/98-15.07%-12.82%-10.57%-8.32%-6.08%-3.83%-1.58%0.67%2.91%5.16%7.41%-0.380.070.150.260.420.610.831.011.081.060.9909/97 a 08/98-31.58%-27.68%-23.79%-19.90%-16.01%-12.12%-8.23%-4.34%-0.44%3.45%7.34%-0.810.110.260.460.721.061.441.751.871.831.7210/97 a 09/98-51.04%-45.21%-39.38%-33.55%-27.71%-21.88%-16.05%-10.22%-4.39%1.44%7.27%-1.300.170.390.681.081.592.162.622.802.742.5811/97 a 10/98-23.83%-20.63%-17.43%-14.23%-11.02%-7.82%-4.62%-1.42%1.78%4.98%8.18%-0.610.090.210.380.590.871.191.441.541.501.4112/97 a 11/98-11.44%-9.49%-7.53%-5.58%-3.62%-1.67%0.29%2.24%4.20%6.15%8.11%-0.290.060.130.230.360.530.720.880.940.920.8601/98 a 12/98-33.77%-29.68%-25.59%-21.50%-17.40%-13.31%-9.22%-5.13%-1.04%3.05%7.14%-0.860.120.270.480.761.111.521.841.971.921.8102/98 a 01/99-10.85%-1.46%7.93%17.32%26.70%36.09%45.48%54.87%64.26%73.65%83.04%-0.280.270.631.101.742.563.484.224.514.414.1503/98 a 02/99-15.19%-5.70%3.78%13.26%22.75%32.23%41.71%51.20%60.68%70.16%79.65%-0.390.280.631.111.752.583.514.274.564.454.1904/98 a 03/99-6.89%-1.03%4.84%10.71%16.57%22.44%28.30%34.17%40.04%45.90%51.77%-0.180.170.390.691.091.602.172.642.822.752.5905/98 a 04/99-0.62%4.13%8.87%13.62%18.37%23.11%27.86%32.60%37.35%42.10%46.84%-0.020.140.320.560.881.291.762.132.282.232.1006/98 a 05/9915.04%18.68%22.31%25.95%29.58%33.22%36.85%40.49%44.12%47.76%51.39%0.380.110.240.430.670.991.351.631.751.711.6107/98 a 06/9918.10%21.65%25.21%28.76%32.32%35.87%39.43%42.99%46.54%50.10%53.65%0.460.100.240.420.660.971.321.601.711.671.5708/98 a 07/99-1.93%4.01%9.96%15.90%21.84%27.78%33.73%39.67%45.61%51.56%57.50%-0.050.170.400.701.101.622.202.672.862.792.6209/98 a 08/9957.61%58.37%59.13%59.89%60.65%61.41%62.17%62.93%63.69%64.45%65.21%1.470.020.050.090.140.210.280.340.370.360.3410/98 a 09/9983.88%81.90%79.91%77.93%75.95%73.97%71.99%70.01%68.03%66.05%64.07%2.14-0.06-0.13-0.23-0.37-0.54-0.73-0.89-0.95-0.93-0.8711/98 a 10/9956.64%57.55%58.45%59.36%60.27%61.18%62.08%62.99%63.90%64.81%65.71%1.440.030.060.110.170.250.340.410.440.430.4012/98 a 11/9962.38%62.14%61.91%61.67%61.43%61.19%60.95%60.71%60.48%60.24%60.00%1.59-0.01-0.02-0.03-0.04-0.06-0.09-0.11-0.11-0.11-0.1101/99 a 12/99143.91%134.61%125.31%116.01%106.71%97.41%88.12%78.82%69.52%60.22%50.92%3.67-0.27-0.62-1.09-1.72-2.53-3.45-4.18-4.47-4.37-4.1102/99 a 01/0085.83%76.01%66.19%56.38%46.56%36.74%26.93%17.11%7.29%-2.52%-12.34%2.19-0.28-0.66-1.15-1.82-2.67-3.64-4.42-4.72-4.61-4.3403/99 a 02/0095.18%84.41%73.64%62.87%52.11%41.34%30.57%19.80%9.03%-1.74%-12.51%2.43-0.31-0.72-1.26-1.99-2.93-3.99-4.84-5.17-5.06-4.7604/99 a 03/0056.47%51.02%45.56%40.11%34.65%29.20%23.74%18.29%12.83%7.38%1.92%1.44-0.16-0.37-0.64-1.01-1.49-2.02-2.45-2.62-2.56-2.4105/99 a 04/0035.75%32.96%30.17%27.39%24.60%21.82%19.03%16.24%13.46%10.67%7.89%0.91-0.08-0.19-0.33-0.52-0.76-1.03-1.25-1.34-1.31-1.2306/99 a 05/0039.82%36.35%32.88%29.41%25.94%22.47%18.99%15.52%12.05%8.58%5.11%1.02-0.10-0.23-0.41-0.64-0.95-1.29-1.56-1.67-1.63-1.5307/99 a 06/0045.95%41.60%37.25%32.90%28.54%24.19%19.84%15.49%11.14%6.79%2.43%1.17-0.13-0.29-0.51-0.81-1.18-1.61-1.96-2.09-2.04-1.9208/99 a 07/0059.52%53.34%47.16%40.98%34.79%28.61%22.43%16.25%10.07%3.88%-2.30%1.52-0.18-0.41-0.73-1.14-1.68-2.29-2.78-2.97-2.90-2.7309/99 a 08/0061.23%54.53%47.83%41.14%34.44%27.74%21.05%14.35%7.65%0.95%-5.74%1.56-0.19-0.45-0.79-1.24-1.82-2.48-3.01-3.22-3.14-2.9610/99 a 09/0041.97%37.30%32.62%27.94%23.26%18.59%13.91%9.23%4.55%-0.13%-4.80%1.07-0.14-0.31-0.55-0.87-1.27-1.73-2.10-2.25-2.20-2.0711/99 a 10/0025.75%22.87%19.98%17.10%14.21%11.33%8.44%5.56%2.68%-0.21%-3.09%0.66-0.08-0.19-0.34-0.53-0.79-1.07-1.30-1.39-1.35-1.2712/99 a 11/00-3.15%-2.65%-2.14%-1.64%-1.14%-0.64%-0.13%0.37%0.87%1.37%1.88%-0.080.010.030.060.090.140.190.230.240.240.2201/00 a 12/00-8.89%-7.28%-5.68%-4.07%-2.46%-0.86%0.75%2.36%3.96%5.57%7.18%-0.230.050.110.190.300.440.600.720.770.750.7102/00 a 01/013.12%3.86%4.60%5.34%6.08%6.82%7.56%8.30%9.04%9.78%10.52%0.080.020.050.090.140.200.270.330.360.350.3303/00 a 02/01-8.56%-6.30%-4.03%-1.77%0.49%2.76%5.02%7.29%9.55%11.81%14.08%-0.220.070.150.270.420.620.841.021.091.061.0004/00 a 03/01-18.93%-14.60%-10.27%-5.94%-1.61%2.72%7.05%11.38%15.71%20.04%24.37%-0.480.130.290.510.801.181.601.952.082.031.9105/00 a 04/01-4.04%-1.39%1.25%3.90%6.55%9.19%11.84%14.49%17.13%19.78%22.43%-0.100.080.180.310.490.720.981.191.271.241.1706/00 a 05/01-4.27%-0.83%2.60%6.03%9.46%12.89%16.33%19.76%23.19%26.62%30.05%-0.110.100.230.400.640.931.271.541.651.611.5207/00 a 06/01-14.82%-10.36%-5.89%-1.43%3.04%7.51%11.97%16.44%20.90%25.37%29.83%-0.380.130.300.520.831.221.652.012.152.101.9708/00 a 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10/08-41.83%-35.29%-28.75%-22.21%-15.67%-9.13%-2.59%3.95%10.49%17.03%23.57%-1.070.190.440.771.211.782.422.943.143.072.8912/07 a 11/08-42.10%-34.98%-27.87%-20.75%-13.64%-6.53%0.59%7.70%14.81%21.93%29.04%-1.070.210.480.841.321.942.643.203.423.343.1401/08 a 12/08-40.22%-33.02%-25.82%-18.62%-11.42%-4.22%2.99%10.19%17.39%24.59%31.79%-1.030.210.480.851.331.962.673.243.463.383.1802/08 a 01/09-35.66%-28.82%-21.97%-15.13%-8.29%-1.45%5.39%12.24%19.08%25.92%32.76%-0.910.200.460.801.271.862.543.083.293.213.0203/08 a 02/09-40.79%-32.54%-24.30%-16.05%-7.80%0.45%8.70%16.94%25.19%33.44%41.69%-1.040.240.550.971.532.253.063.713.963.873.6404/08 a 03/09-34.81%-28.04%-21.28%-14.51%-7.75%-0.98%5.78%12.54%19.31%26.07%32.84%-0.890.200.450.791.251.842.513.043.253.182.9905/08 a 04/09-31.82%-25.40%-18.97%-12.55%-6.12%0.30%6.73%13.15%19.57%26.00%32.42%-0.810.190.430.751.191.752.382.893.093.022.8406/08 a 05/09-26.18%-21.50%-16.82%-12.13%-7.45%-2.77%1.91%6.59%11.27%15.96%20.64%-0.670.140.310.550.871.271.732.112.252.202.0707/08 a 06/09-18.82%-14.70%-10.58%-6.46%-2.34%1.77%5.89%10.01%14.13%18.25%22.37%-0.480.120.280.480.761.121.531.851.981.931.82

EF_94 (2)

Ouro x Ibov_94Ouro x Ibov (1994)PortifoliosIbovOuroRetornoRisco (DP)100%0%24.87%39.22%ParametrosIbov90i/10o80i/20o70i/30o60i/40o50i/50o40i/60o30i/70o20i/80do10i/90oOuro90%10%23.82%34.65%Dp Anual39.22%34.65%30.23%26.04%22.20%18.95%16.61%15.61%16.19%18.22%21.27%80%20%22.78%30.23%Retorno Media24.87%23.82%22.78%21.73%20.69%19.64%18.60%17.55%16.51%15.46%14.42%70%30%21.73%26.04%Sharpe Media--0.0302-0.0691-0.1204-0.1883-0.2758-0.3776-0.4687-0.5162-0.5163-0.491360%40%20.69%22.20%DP Sharpe-0.14560.33380.58140.90901.33171.82312.26332.49262.49282.372250%50%19.64%18.95%VAR IC 95%-39.65%-33.18%-26.95%-21.10%-15.84%-11.52%-8.72%-8.12%-10.13%-14.50%-20.57%40%60%18.60%16.61%30%70%17.55%15.61%20%80%16.51%16.19%Resolver o Sharpe: Incluir Selic para calcula-lo10%90%15.46%18.22%0%100%14.42%21.27%Retornos AnualizadosSharpeData Ibov90i/10o80i/20o70i/30o60i/40o50i/50o40i/60o30i/70o20i/80do10i/90oOuroIbov90i/10o80i/20o70i/30o60i/40o50i/50o40i/60o30i/70o20i/80do10i/90oDolar 07/94 a 06/950.38%-0.17%-0.72%-1.27%-1.81%-2.36%-2.91%-3.46%-4.00%-4.55%-5.10%0.01-0.02-0.04-0.06-0.10-0.14-0.20-0.25-0.27-0.27-0.2608/94 a 07/95-6.77%-6.17%-5.58%-4.98%-4.38%-3.78%-3.18%-2.58%-1.99%-1.39%-0.79%-0.170.020.040.070.110.160.220.270.300.300.2809/94 a 08/95-18.15%-16.08%-14.01%-11.93%-9.86%-7.79%-5.72%-3.64%-1.57%0.50%2.58%-0.460.060.140.240.370.550.750.931.021.020.9710/94 a 09/95-14.94%-12.78%-10.63%-8.47%-6.31%-4.15%-1.99%0.16%2.32%4.48%6.64%-0.380.060.140.250.390.570.780.971.071.071.0111/94 a 10/95-12.79%-10.22%-7.66%-5.09%-2.52%0.04%2.61%5.17%7.74%10.31%12.87%-0.330.070.170.300.460.680.931.151.271.271.2112/94 a 11/95-6.58%-4.33%-2.08%0.17%2.43%4.68%6.93%9.18%11.44%13.69%15.94%-0.170.070.150.260.410.590.811.011.111.111.0601/95 a 12/952.07%3.41%4.75%6.09%7.43%8.77%10.11%11.45%12.79%14.13%15.46%0.050.040.090.150.240.350.480.600.660.660.6302/95 a 01/9632.07%31.52%30.97%30.41%29.86%29.31%28.76%28.21%27.65%27.10%26.55%0.82-0.02-0.04-0.06-0.10-0.15-0.20-0.25-0.27-0.27-0.2603/95 a 02/9670.06%65.35%60.64%55.93%51.22%46.51%41.80%37.09%32.38%27.67%22.96%1.79-0.14-0.31-0.54-0.85-1.24-1.70-2.11-2.33-2.33-2.2104/95 a 03/9673.12%66.96%60.80%54.64%48.48%42.32%36.16%30.00%23.84%17.68%11.51%1.86-0.18-0.41-0.71-1.11-1.63-2.23-2.76-3.04-3.04-2.9005/95 a 04/9633.26%31.08%28.89%26.71%24.52%22.34%20.15%17.96%15.78%13.59%11.41%0.85-0.06-0.14-0.25-0.39-0.58-0.79-0.98-1.08-1.08-1.0306/95 a 05/9649.33%45.80%42.27%38.74%35.21%31.68%28.15%24.62%21.09%17.56%14.03%1.26-0.10-0.23-0.41-0.64-0.93-1.28-1.58-1.74-1.74-1.6607/95 a 06/9671.27%65.04%58.81%52.59%46.36%40.13%33.90%27.67%21.44%15.22%8.99%1.82-0.18-0.41-0.72-1.12-1.64-2.25-2.79-3.08-3.08-2.9308/95 a 07/9662.17%57.04%51.91%46.78%41.64%36.51%31.38%26.25%21.12%15.99%10.86%1.59-0.15-0.34-0.59-0.92-1.35-1.85-2.30-2.53-2.54-2.4109/95 a 08/9640.06%36.97%33.88%30.79%27.70%24.62%21.53%18.44%15.35%12.27%9.18%1.02-0.09-0.20-0.36-0.56-0.81-1.12-1.39-1.53-1.53-1.4510/95 a 09/9643.72%39.97%36.23%32.49%28.75%25.01%21.27%17.53%13.79%10.05%6.31%1.11-0.11-0.25-0.43-0.67-0.99-1.35-1.68-1.85-1.85-1.7611/95 a 10/9661.99%56.47%50.95%45.43%39.92%34.40%28.88%23.36%17.84%12.33%6.81%1.58-0.16-0.37-0.64-0.99-1.46-1.99-2.47-2.73-2.73-2.5912/95 a 11/9654.98%49.82%44.65%39.49%34.32%29.16%23.99%18.83%13.66%8.50%3.33%1.40-0.15-0.34-0.60-0.93-1.36-1.87-2.32-2.55-2.55-2.4301/96 a 12/9658.44%52.66%46.88%41.10%35.32%29.55%23.77%17.99%12.21%6.44%0.66%1.49-0.17-0.38-0.67-1.04-1.52-2.09-2.59-2.85-2.85-2.7202/96 a 01/9753.64%47.34%41.05%34.75%28.45%22.16%15.86%9.57%3.27%-3.03%-9.32%1.37-0.18-0.42-0.73-1.13-1.66-2.27-2.82-3.11-3.11-2.9603/96 a 02/9776.61%68.72%60.82%52.92%45.02%37.12%29.22%21.32%13.42%5.53%-2.37%1.95-0.23-0.52-0.91-1.42-2.08-2.85-3.54-3.90-3.90-3.7104/96 a 03/9782.42%73.67%64.92%56.17%47.42%38.67%29.92%21.17%12.42%3.67%-5.08%2.10-0.25-0.58-1.01-1.58-2.31-3.16-3.92-4.32-4.32-4.1105/96 a 04/9795.76%85.43%75.10%64.77%54.44%44.11%33.78%23.45%13.12%2.79%-7.54%2.44-0.30-0.68-1.19-1.86-2.73-3.73-4.63-5.10-5.10-4.8606/96 a 05/97101.61%90.85%80.10%69.34%58.59%47.83%37.07%26.32%15.56%4.80%-5.95%2.59-0.31-0.71-1.24-1.94-2.84-3.89-4.82-5.31-5.31-5.0607/96 a 06/97111.20%99.60%88.01%76.41%64.81%53.22%41.62%30.02%18.42%6.83%-4.77%2.84-0.33-0.77-1.34-2.09-3.06-4.19-5.20-5.73-5.73-5.4508/96 a 07/9795.29%84.84%74.39%63.93%53.48%43.03%32.57%22.12%11.67%1.22%-9.24%2.43-0.30-0.69-1.20-1.88-2.76-3.78-4.69-5.16-5.16-4.9109/96 a 08/9762.20%55.10%48.00%40.90%33.80%26.71%19.61%12.51%5.41%-1.69%-8.79%1.59-0.20-0.47-0.82-1.28-1.87-2.56-3.18-3.51-3.51-3.3410/96 a 09/9786.65%77.42%68.20%58.97%49.75%40.52%31.29%22.07%12.84%3.61%-5.61%2.21-0.27-0.61-1.06-1.66-2.44-3.33-4.14-4.56-4.56-4.3411/96 a 10/9748.44%42.60%36.76%30.92%25.08%19.24%13.40%7.56%1.72%-4.12%-9.96%1.23-0.17-0.39-0.67-1.05-1.54-2.11-2.62-2.88-2.88-2.7512/96 a 11/9743.24%37.53%31.82%26.11%20.39%14.68%8.97%3.26%-2.45%-8.16%-13.87%1.10-0.16-0.38-0.66-1.03-1.51-2.06-2.56-2.82-2.82-2.6801/97 a 12/9750.67%44.16%37.65%31.14%24.62%18.11%11.60%5.09%-1.42%-7.94%-14.45%1.29-0.19-0.43-0.75-1.17-1.72-2.35-2.92-3.22-3.22-3.0602/97 a 01/9823.19%20.41%17.64%14.87%12.09%9.32%6.55%3.78%1.00%-1.77%-4.54%0.59-0.08-0.18-0.32-0.50-0.73-1.00-1.24-1.37-1.37-1.3003/97 a 02/9820.80%17.61%14.43%11.25%8.07%4.89%1.71%-1.48%-4.66%-7.84%-11.02%0.53-0.09-0.21-0.37-0.57-0.84-1.15-1.43-1.57-1.57-1.5004/97 a 03/9829.54%25.95%22.37%18.79%15.21%11.63%8.05%4.47%0.89%-2.69%-6.28%0.75-0.10-0.24-0.41-0.65-0.95-1.29-1.61-1.77-1.77-1.6805/97 a 04/9814.22%12.59%10.95%9.31%7.68%6.04%4.40%2.77%1.13%-0.51%-2.15%0.36-0.05-0.11-0.19-0.29-0.43-0.59-0.73-0.81-0.81-0.7706/97 a 05/98-15.46%-14.71%-13.97%-13.22%-12.48%-11.74%-10.99%-10.25%-9.50%-8.76%-8.02%-0.390.020.050.090.130.200.270.330.370.370.3507/97 a 06/98-23.75%-21.87%-19.98%-18.10%-16.22%-14.34%-12.45%-10.57%-8.69%-6.81%-4.92%-0.610.050.120.220.340.500.680.840.930.930.8908/97 a 07/98-15.07%-14.01%-12.95%-11.89%-10.83%-9.77%-8.71%-7.65%-6.59%-5.53%-4.47%-0.380.030.070.120.190.280.380.480.520.520.5009/97 a 08/98-31.58%-29.07%-26.57%-24.06%-21.56%-19.06%-16.55%-14.05%-11.55%-9.04%-6.54%-0.810.070.170.290.450.660.901.121.241.241.1810/97 a 09/98-51.04%-45.99%-40.93%-35.88%-30.83%-25.77%-20.72%-15.67%-10.62%-5.56%-0.51%-1.300.150.330.580.911.331.832.272.502.502.3811/97 a 10/98-23.83%-21.46%-19.10%-16.73%-14.37%-12.00%-9.64%-7.27%-4.91%-2.54%-0.18%-0.610.070.160.270.430.620.851.061.171.171.1112/97 a 11/98-11.44%-9.48%-7.53%-5.57%-3.61%-1.65%0.31%2.27%4.23%6.19%8.15%-0.290.060.130.230.350.520.710.880.970.970.9201/98 a 12/98-33.77%-29.58%-25.39%-21.21%-17.02%-12.83%-8.64%-4.45%-0.27%3.92%8.11%-0.860.120.280.480.751.111.511.882.072.071.9702/98 a 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06/0647.59%47.43%47.26%47.10%46.94%46.77%46.61%46.45%46.28%46.12%45.95%1.21-0.00-0.01-0.02-0.03-0.04-0.06-0.07-0.08-0.08-0.0808/05 a 07/0640.08%39.00%37.93%36.85%35.77%34.69%33.61%32.53%31.45%30.37%29.29%1.02-0.03-0.07-0.12-0.19-0.28-0.39-0.48-0.53-0.53-0.5109/05 a 08/0633.50%34.03%34.57%35.10%35.63%36.17%36.70%37.23%37.77%38.30%38.83%0.850.020.040.060.100.140.190.240.260.260.2510/05 a 09/0616.33%17.96%19.60%21.24%22.88%24.52%26.16%27.79%29.43%31.07%32.71%0.420.050.110.190.300.430.590.730.810.810.7711/05 a 10/0629.23%28.15%27.07%26.00%24.92%23.85%22.77%21.69%20.62%19.54%18.46%0.75-0.03-0.07-0.12-0.19-0.28-0.39-0.48-0.53-0.53-0.5112/05 a 11/0626.70%27.05%27.41%27.76%28.11%28.46%28.81%29.16%29.51%29.86%30.21%0.680.010.020.040.060.090.130.160.170.170.1701/06 a 12/0635.44%34.21%32.98%31.75%30.52%29.29%28.06%26.83%25.60%24.37%23.14%0.90-0.04-0.08-0.14-0.22-0.32-0.44-0.55-0.61-0.61-0.5802/06 a 01/0716.45%15.70%14.95%14.20%13.45%12.69%11.94%11.19%10.44%9.69%8.94%0.42-0.02-0.05-0.09-0.14-0.20-0.27-0.34-0.37-0.37-0.3503/06 a 02/0711.08%10.86%10.65%10.44%10.23%10.02%9.81%9.60%9.39%9.18%8.97%0.28-0.01-0.01-0.02-0.04-0.06-0.08-0.09-0.10-0.10-0.1004/06 a 03/0717.77%17.53%17.29%17.05%16.82%16.58%16.34%16.10%15.86%15.62%15.39%0.45-0.01-0.02-0.03-0.04-0.06-0.09-0.11-0.12-0.12-0.1105/06 a 04/0720.61%19.64%18.66%17.68%16.70%15.73%14.75%13.77%12.79%11.82%10.84%0.53-0.03-0.06-0.11-0.18-0.26-0.35-0.44-0.48-0.48-0.4606/06 a 05/0741.52%37.42%33.31%29.20%25.09%20.99%16.88%12.77%8.66%4.55%0.45%1.06-0.12-0.27-0.47-0.74-1.08-1.48-1.84-2.03-2.03-1.9307/06 a 06/0748.22%42.50%36.78%31.06%25.34%19.62%13.90%8.18%2.45%-3.27%-8.99%1.23-0.17-0.38-0.66-1.03-1.51-2.07-2.57-2.83-2.83-2.6908/06 a 07/0747.22%42.05%36.89%31.72%26.56%21.39%16.22%11.06%5.89%0.73%-4.44%1.20-0.15-0.34-0.60-0.93-1.36-1.87-2.32-2.55-2.55-2.4309/06 a 08/0746.89%41.72%36.55%31.38%26.21%21.04%15.87%10.70%5.53%0.36%-4.81%1.20-0.15-0.34-0.60-0.93-1.36-1.87-2.32-2.55-2.55-2.4310/06 a 09/0768.23%61.29%54.35%47.42%40.48%33.55%26.61%19.67%12.74%5.80%-1.14%1.74-0.20-0.46-0.80-1.25-1.83-2.51-3.11-3.43-3.43-3.2611/06 a 10/0760.41%55.67%50.94%46.20%41.47%36.73%32.00%27.26%22.53%17.80%13.06%1.54-0.14-0.31-0.55-0.85-1.25-1.71-2.12-2.34-2.34-2.2312/06 a 11/0752.92%48.71%44.49%40.28%36.06%31.84%27.63%23.41%19.20%14.98%10.77%1.35-0.12-0.28-0.49-0.76-1.11-1.52-1.89-2.08-2.08-1.9801/07 a 12/0738.41%35.57%32.72%29.87%27.02%24.17%21.33%18.48%15.63%12.78%9.94%0.98-0.08-0.19-0.33-0.51-0.75-1.03-1.28-1.41-1.41-1.3402/07 a 01/0836.29%34.65%33.01%31.37%29.73%28.09%26.45%24.81%23.17%21.53%19.89%0.93-0.05-0.11-0.19-0.30-0.43-0.59-0.74-0.81-0.81-0.7703/07 a 02/0848.20%45.43%42.67%39.90%37.13%34.37%31.60%28.84%26.07%23.30%20.54%1.23-0.08-0.18-0.32-0.50-0.73-1.00-1.24-1.37-1.37-1.3004/07 a 03/0837.67%35.86%34.05%32.25%30.44%28.63%26.82%25.01%23.20%21.39%19.58%0.96-0.05-0.12-0.21-0.33-0.48-0.65-0.81-0.89-0.89-0.8505/07 a 04/0840.22%37.14%34.07%31.00%27.93%24.85%21.78%18.71%15.64%12.56%9.49%1.03-0.09-0.20-0.35-0.55-0.81-1.11-1.38-1.52-1.52-1.4406/07 a 05/0834.58%32.15%29.71%27.27%24.84%22.40%19.97%17.53%15.09%12.66%10.22%0.88-0.07-0.16-0.28-0.44-0.64-0.88-1.09-1.20-1.20-1.1507/07 a 06/0814.49%13.62%12.74%11.87%10.99%10.12%9.24%8.37%7.49%6.62%5.74%0.37-0.03-0.06-0.10-0.16-0.23-0.32-0.39-0.43-0.43-0.4108/07 a 07/086.26%7.06%7.85%8.64%9.44%10.23%11.03%11.82%12.61%13.41%14.20%0.160.020.050.090.140.210.290.360.390.390.3709/07 a 08/080.60%1.16%1.72%2.28%2.84%3.40%3.97%4.53%5.09%5.65%6.21%0.020.020.040.060.100.150.200.250.280.280.2610/07 a 09/08-20.12%-15.91%-11.70%-7.50%-3.29%0.92%5.12%9.33%13.54%17.74%21.95%-0.510.120.280.480.761.111.521.892.082.081.9811/07 a 10/08-41.83%-36.91%-31.99%-27.07%-22.15%-17.23%-12.31%-7.39%-2.47%2.45%7.37%-1.070.140.330.570.891.301.782.212.432.432.3112/07 a 11/08-42.10%-35.99%-29.89%-23.79%-17.69%-11.58%-5.48%0.62%6.72%12.83%18.93%-1.070.180.400.701.101.612.202.743.013.012.8701/08 a 12/08-40.22%-33.23%-26.23%-19.24%-12.25%-5.25%1.74%8.73%15.73%22.72%29.72%-1.030.200.460.811.261.852.533.143.453.463.2902/08 a 01/09-35.66%-28.93%-22.21%-15.49%-8.76%-2.04%4.68%11.41%18.13%24.86%31.58%-0.910.190.440.771.211.772.433.023.323.323.1603/08 a 02/09-40.79%-33.46%-26.12%-18.78%-11.45%-4.11%3.23%10.57%17.90%25.24%32.58%-1.040.210.490.851.321.942.653.293.623.623.4504/08 a 03/09-34.81%-27.93%-21.04%-14.16%-7.28%-0.40%6.48%13.36%20.24%27.12%34.00%-0.890.200.460.791.241.822.493.093.403.403.2305/08 a 04/09-31.82%-24.88%-17.93%-10.98%-4.04%2.91%9.85%16.80%23.75%30.69%37.64%-0.810.200.460.801.251.832.513.123.433.433.2706/08 a 05/09-26.18%-20.04%-13.90%-7.77%-1.63%4.51%10.64%16.78%22.92%29.06%35.19%-0.670.180.410.711.111.622.222.753.033.032.8907/08 a 06/09-18.82%-14.69%-10.57%-6.44%-2.31%1.81%5.94%10.07%14.20%18.32%22.45%-0.480.120.270.480.741.091.491.852.042.041.94

EF_94 (3)

Selic x Ibov_99Selic x Ibov (1999)PortifoliosSelicIbovRetornoRisco (DP)100%0%17.14%3.52%ParametrosSelic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbov90%10%17.65%5.90%Dp Anual3.52%5.90%9.19%12.69%16.27%19.89%23.53%27.18%30.83%34.49%38.16%80%20%18.17%9.19%Retorno Media17.14%17.65%18.17%18.68%19.19%19.71%20.22%20.73%21.25%21.76%22.27%70%30%18.68%12.69%Sharpe Media-0.08690.11170.12130.12620.12900.13090.13220.13320.13390.134560%40%19.19%16.27%DP Sharpe-0.62330.80110.87000.90470.92520.93860.94800.95490.96030.964550%50%19.71%19.89%VAR IC 95%11.35%7.94%3.05%-2.20%-7.57%-13.01%-18.48%-23.97%-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%Retornos AnualizadosSharpeData Selic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbovSelic90s/10i80s/20i70s/30i60s/40i50s/50i40s/60i30s/70i20s/80i10s/90iIbov01/99 a 12/9925.59%37.42%49.25%61.09%72.92%84.75%96.58%108.42%120.25%132.08%143.91%7.272.002.582.802.912.973.023.053.073.093.1002/99 a 01/0024.70%30.81%36.93%43.04%49.15%55.26%61.38%67.49%73.60%79.72%85.83%7.021.041.331.451.501.541.561.571.591.591.6003/99 a 02/0023.57%30.73%37.89%45.05%52.22%59.38%66.54%73.70%80.86%88.02%95.18%6.691.211.561.691.761.801.831.841.861.871.8804/99 a 03/0021.32%24.84%28.35%31.87%35.38%38.90%42.41%45.93%49.44%52.96%56.47%6.060.600.770.830.860.880.900.910.910.920.9205/99 a 04/0020.08%21.65%23.21%24.78%26.35%27.91%29.48%31.05%32.61%34.18%35.75%5.700.270.340.370.390.390.400.400.410.410.4106/99 a 05/0019.45%21.49%23.52%25.56%27.60%29.63%31.67%33.71%35.75%37.78%39.82%5.520.340.440.480.500.510.520.520.530.530.5307/99 a 06/0019.13%21.81%24.49%27.18%29.86%32.54%35.22%37.91%40.59%43.27%45.95%5.430.450.580.630.660.670.680.690.700.700.7008/99 a 07/0018.72%22.80%26.88%30.96%35.04%39.12%43.20%47.28%51.36%55.44%59.52%5.320.690.890.961.001.031.041.051.061.061.0709/99 a 08/0018.53%22.80%27.07%31.34%35.61%39.88%44.15%48.42%52.69%56.96%61.23%5.260.720.931.011.051.071.091.101.111.111.1210/99 a 09/0018.21%20.59%22.96%25.34%27.72%30.09%32.47%34.85%37.22%39.60%41.97%5.170.400.520.560.580.600.610.610.620.620.6211/99 a 10/0018.11%18.87%19.64%20.40%21.17%21.93%22.70%23.46%24.22%24.99%25.75%5.140.130.170.180.190.190.190.200.200.200.2012/99 a 11/0017.91%15.80%13.70%11.59%9.49%7.38%5.27%3.17%1.06%-1.04%-3.15%5.09-0.36-0.46-0.50-0.52-0.53-0.54-0.54-0.55-0.55-0.5501/00 a 12/0017.45%14.82%12.18%9.55%6.91%4.28%1.65%-0.99%-3.62%-6.26%-8.89%4.96-0.45-0.57-0.62-0.65-0.66-0.67-0.68-0.68-0.69-0.6902/00 a 01/0117.23%15.82%14.41%13.00%11.59%10.18%8.77%7.36%5.94%4.53%3.12%4.89-0.24-0.31-0.33-0.35-0.35-0.36-0.36-0.37-0.37-0.3703/00 a 02/0116.73%14.20%11.67%9.14%6.61%4.08%1.56%-0.97%-3.50%-6.03%-8.56%4.75-0.43-0.55-0.60-0.62-0.64-0.64-0.65-0.66-0.66-0.6604/00 a 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05/0912.62%8.74%4.86%0.98%-2.90%-6.78%-10.66%-14.54%-18.42%-22.30%-26.18%3.58-0.66-0.84-0.92-0.95-0.98-0.99-1.00-1.01-1.01-1.0207/08 a 06/0912.41%9.28%6.16%3.04%-0.08%-3.21%-6.33%-9.45%-12.57%-15.70%-18.82%3.52-0.53-0.68-0.74-0.77-0.78-0.80-0.80-0.81-0.81-0.8208/08 a 07/0909/08 a 08/0910/08 a 09/0911/08 a 10/0912/08 a 11/0901/09 a 12/09

EF_99

Dolar x Ibov_99Dolar x Ibov (1999)PortifoliosIbovDolar RetornoRisco (DP)100%0%22.27%38.16%ParametrosIbov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar 90%10%20.39%33.02%Dp Anual38.16%33.02%27.98%23.12%18.57%14.62%11.91%11.33%13.19%16.68%21.00%80%20%18.51%27.98%Retorno Media22.27%20.39%18.51%16.63%14.75%12.86%10.98%9.10%7.22%5.34%3.45%70%30%16.63%23.12%Sharpe Media--0.0570-0.1345-0.2442-0.4054-0.6435-0.9484-1.1625-1.1417-1.0156-0.896060%40%14.75%18.57%DP Sharpe-0.16420.38750.70361.16801.85362.73223.34883.28902.92572.581250%50%12.86%14.62%VAR IC 95%-40.50%-33.92%-27.52%-21.40%-15.80%-11.19%-8.60%-9.54%-14.47%-22.10%-31.10%40%60%10.98%11.91%30%70%9.10%11.33%20%80%7.22%13.19%Resolver o Sharpe: Incluir Selic para calcula-lo10%90%5.34%16.68%0%100%3.45%21.00%Retornos AnualizadosSharpeData Ibov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar Ibov90i/10d80i/20d70i/30d60i/40d50i/50d40i/60d30i/70d20i/80d10i/90dDolar 01/99 a 12/99143.91%134.61%125.31%116.01%106.71%97.41%88.12%78.82%69.52%60.22%50.92%3.77-0.28-0.66-1.21-2.00-3.18-4.69-5.74-5.64-5.02-4.4302/99 a 01/0085.83%76.01%66.19%56.38%46.56%36.74%26.93%17.11%7.29%-2.52%-12.34%2.25-0.30-0.70-1.27-2.11-3.36-4.95-6.06-5.96-5.30-4.6703/99 a 02/0095.18%84.41%73.64%62.87%52.11%41.34%30.57%19.80%9.03%-1.74%-12.51%2.49-0.33-0.77-1.40-2.32-3.68-5.43-6.65-6.53-5.81-5.1304/99 a 03/0056.47%51.02%45.56%40.11%34.65%29.20%23.74%18.29%12.83%7.38%1.92%1.48-0.17-0.39-0.71-1.18-1.87-2.75-3.37-3.31-2.94-2.6005/99 a 04/0035.75%32.96%30.17%27.39%24.60%21.82%19.03%16.24%13.46%10.67%7.89%0.94-0.08-0.20-0.36-0.60-0.95-1.40-1.72-1.69-1.50-1.3306/99 a 05/0039.82%36.35%32.88%29.41%25.94%22.47%18.99%15.52%12.05%8.58%5.11%1.04-0.11-0.25-0.45-0.75-1.19-1.75-2.14-2.11-1.87-1.6507/99 a 06/0045.95%41.60%37.25%32.90%28.54%24.19%19.84%15.49%11.14%6.79%2.43%1.20-0.13-0.31-0.56-0.94-1.49-2.19-2.69-2.64-2.35-2.0708/99 a 07/0059.52%53.34%47.16%40.98%34.79%28.61%22.43%16.25%10.07%3.88%-2.30%1.56-0.19-0.44-0.80-1.33-2.11-3.12-3.82-3.75-3.34-2.9409/99 a 08/0061.23%54.53%47.83%41.14%34.44%27.74%21.05%14.35%7.65%0.95%-5.74%1.60-0.20-0.48-0.87-1.44-2.29-3.38-4.14-4.06-3.61-3.1910/99 a 09/0041.97%37.30%32.62%27.94%23.26%18.59%13.91%9.23%4.55%-0.13%-4.80%1.10-0.14-0.33-0.61-1.01-1.60-2.36-2.89-2.84-2.52-2.2311/99 a 10/0025.75%22.87%19.98%17.10%14.21%11.33%8.44%5.56%2.68%-0.21%-3.09%0.67-0.09-0.21-0.37-0.62-0.99-1.45-1.78-1.75-1.56-1.3712/99 a 11/00-3.15%-2.65%-2.14%-1.64%-1.14%-0.64%-0.13%0.37%0.87%1.37%1.88%-0.080.020.040.070.110.170.250.310.300.270.2401/00 a 12/00-8.89%-7.28%-5.68%-4.07%-2.46%-0.86%0.75%2.36%3.96%5.57%7.18%-0.230.050.110.210.350.550.810.990.970.870.7702/00 a 01/013.12%3.86%4.60%5.34%6.08%6.82%7.56%8.30%9.04%9.78%10.52%0.080.020.050.100.160.250.370.460.450.400.3503/00 a 02/01-8.56%-6.30%-4.03%-1.77%0.49%2.76%5.02%7.29%9.55%11.81%14.08%-0.220.070.160.290.490.771.141.401.371.221.0804/00 a 03/01-18.93%-14.60%-10.27%-5.94%-1.61%2.72%7.05%11.38%15.71%20.04%24.37%-0.500.130.310.560.931.482.182.672.632.342.0605/00 a 04/01-4.04%-1.39%1.25%3.90%6.55%9.19%11.84%14.49%17.13%19.78%22.43%-0.110.080.190.340.570.901.331.631.611.431.2606/00 a 05/01-4.27%-0.83%2.60%6.03%9.46%12.89%16.33%19.76%23.19%26.62%30.05%-0.110.100.250.450.741.171.732.122.081.851.6307/00 a 06/01-14.82%-10.36%-5.89%-1.43%3.04%7.51%11.97%16.44%20.90%25.37%29.83%-0.390.140.320.580.961.532.252.762.712.412.1308/00 a 07/01-15.63%-10.11%-4.59%0.92%6.44%11.96%17.48%23.00%28.52%34.03%39.55%-0.410.170.390.721.191.892.783.413.352.982.6309/00 a 08/01-27.18%-20.44%-13.70%-6.96%-0.21%6.53%13.27%20.01%26.75%33.49%40.23%-0.710.200.480.871.452.303.404.164.093.643.2110/00 a 09/01-32.51%-24.58%-16.65%-8.72%-0.80%7.13%15.06%22.99%30.92%38.84%46.77%-0.850.240.571.031.712.714.004.904.814.283.7711/00 a 10/01-23.01%-17.12%-11.22%-5.32%0.57%6.47%12.36%18.26%24.16%30.05%35.95%-0.600.180.420.771.272.022.973.643.583.182.8112/00 a 11/01-0.75%1.77%4.30%6.82%9.34%11.87%14.39%16.92%19.44%21.96%24.49%-0.020.080.180.330.540.861.271.561.531.361.2001/01 a 12/01-10.07%-7.25%-4.43%-1.61%1.21%4.03%6.85%9.67%12.49%15.31%18.13%-0.260.090.200.370.610.961.421.741.711.521.3402/01 a 01/02-25.71%-20.93%-16.15%-11.38%-6.60%-1.83%2.95%7.73%12.50%17.28%22.05%-0.670.140.340.621.031.632.412.952.902.582.2703/01 a 02/02-12.63%-9.89%-7.16%-4.43%-1.69%1.04%3.77%6.51%9.24%11.98%14.71%-0.330.080.200.350.590.931.381.691.661.481.3004/01 a 03/02-3.68%-2.74%-1.81%-0.88%0.06%0.99%1.92%2.86%3.79%4.72%5.66%-0.100.030.070.120.200.320.470.580.570.500.4405/01 a 04/02-15.84%-13.37%-10.90%-8.43%-5.96%-3.49%-1.02%1.45%3.92%6.39%8.86%-0.410.070.180.320.530.841.241.531.501.331.1806/01 a 05/02-14.41%-12.07%-9.72%-7.38%-5.04%-2.69%-0.35%2.00%4.34%6.69%9.03%-0.380.070.170.300.510.801.181.451.421.271.1207/01 a 06/02-25.17%-20.36%-15.55%-10.75%-5.94%-1.14%3.67%8.48%13.28%18.09%22.89%-0.660.150.340.621.041.642.422.972.922.592.2908/01 a 07/02-28.99%-24.05%-19.10%-14.16%-9.22%-4.28%0.66%5.61%10.55%15.49%20.43%-0.760.150.350.641.061.692.493.053.002.672.3509/01 a 08/02-18.92%-14.90%-10.89%-6.87%-2.85%1.17%5.18%9.20%13.22%17.24%21.25%-0.500.120.290.520.871.372.022.482.442.171.9110/01 a 09/02-14.32%-9.36%-4.40%0.57%5.53%10.49%15.45%20.42%25.38%30.34%35.30%-0.380.150.350.641.071.702.503.073.012.682.3611/01 a 10/02-10.95%-6.27%-1.59%3.10%7.78%12.46%17.14%21.83%26.51%31.19%35.87%-0.290.140.330.611.011.602.362.892.842.532.2312/01 a 11/02-19.97%-12.86%-5.75%1.36%8.47%15.58%22.69%29.80%36.91%44.02%51.13%-0.520.220.510.921.532.433.584.394.313.843.3901/02 a 12/02-16.36%-9.75%-3.13%3.49%10.10%16.72%23.34%29.95%36.57%43.19%49.80%-0.430.200.470.861.432.263.334.094.013.573.1502/02 a 01/03-13.81%-7.74%-1.67%4.39%10.46%16.53%22.60%28.66%34.73%40.80%46.86%-0.360.180.430.791.312.073.063.753.683.272.8903/02 a 02/03-28.15%-20.32%-12.49%-4.66%3.18%11.01%18.84%26.67%34.51%42.34%50.17%-0.740.240.561.021.692.683.954.844.754.233.7304/02 a 03/03-13.92%-8.34%-2.75%2.83%8.42%14.00%19.59%25.17%30.75%36.34%41.92%-0.360.170.400.721.201.912.813.453.393.012.6605/02 a 04/032.17%4.56%6.95%9.35%11.74%14.13%16.52%18.91%21.31%23.70%26.09%0.060.070.170.310.520.821.211.481.451.291.1406/02 a 05/034.49%5.39%6.28%7.17%8.06%8.95%9.84%10.74%11.63%12.52%13.41%0.120.030.060.120.190.300.450.550.540.480.4207/02 a 06/0322.03%19.57%17.11%14.66%12.20%9.75%7.29%4.84%2.38%-0.07%-2.53%0.58-0.07-0.18-0.32-0.53-0.84-1.24-1.52-1.49-1.33-1.1708/02 a 07/0334.53%31.31%28.08%24.85%21.63%18