OptimizacionGlobal

OPTIMIZACION MERCADOS RENTA VARIABLE
- Por Paises Europeos. (Ultimos 10,5,3,1 aos).

- Por Areas Geogrficas. (Ultimos 10,5,3,1 aos).
- Por Sectores Globales. (Ultimos 2,1 aos).
- Por Estilos de Gestin. (Ultimos 4,1 aos).
Dep. Mtodos Cuantitativos

JPSoria | 2001
Abril 2001
CONTENIDO
1 Optimizacin por Paises Europeos.

2 Optimizacin por Areas Geogrficas.
3 Optimizacin por Sectores Globales
4 Optimizacin por Estilos de Gestion
1 PAISES EUROPEOS
Paises Europeos. (Ultimos 10 aos).
Paises Europeos. (Ultimo ao).
2 AREAS GEOGRAFICAS
Areas Geogrficas. (Ultimos 10 aos).
Areas Geogrficas. (Ultimo ao).
3 SECTORES GLOBALES
Sectores MSCI EMU. (Ultimos 2 aos).
Sectores MSCI EMU. (Ultimo ao).
Sectores MSCI Europe. (Ultimos 2 aos).
Sectores MSCI Europe. (Ultimo ao).
Sectores MSCI World. (Ultimos 2 aos).
Sectores MSCI World. (Ultimo ao).
4 ESTILOS DE GESTION
Frontera Eficiente Renta Variable MSCI Estilos Gestin por Areas Geograficas
(Ultimos 4 aos TR) en Euros
35.00
U.S. Growth
30.00
AC Europe Value
U.S. Value
25.00
EM Latin America Growth
Rentabilidad
AC Europe Growth
EM Latin America Value
20.00
15.00
10.00
AC Asia Pacific Value
5.00
0.00
10.00
AC Asia Pacific Growth
15.00
20.00
25.00
30.00
35.00
Riesgo (Dt)
40.00
45.00
50.00
55.00
Sectores MSCI Estilos de Gestin. (Ultimos 4 aos).
Sectores MSCI Estilos de Gestin. (Ultimo ao).
APENDICE
1 SUMARIO ESTADISTICO.
- Rentabilidad.
- Riesgo.
- Correlacin

MSCI
TRBelgium
ECUMSCI
(EUR)
TRDenmark
ECU MSCI
(EUR)
TRFinland
ECUMSCI
(EUR)
TR ECU
France
MSCI
(EUR)
TRGermany
ECU (EUR)
MSCI
TR ECU
Italy
MSCI
(EUR)
TRNetherlands
ECU (EUR)
MSCITR
Norway
ECUMSCI
(EUR)
TR ECU
Spain
MSCI
(EUR)
TR ECU
Sweden
MSCI
(EUR)
TR
Switzerland
ECU (EUR)
MSCI
TRU.K.
ECUMSCI
TR
(EUR)
ECU
Ireland
(EUR)
MSCI
TRPortugal
ECU (EUR)
TR ECU (EUR)
Re
Activos MSCI Austria
1.00
0.63
0.62
0.42
0.60
0.61
0.50
0.74
0.57
0.55
0.44
0.59
0.66
0.62
0.51
5.68 MSCI Austria TR ECU (EUR)
Activos
MSCI Austria
Dt
21.53
MSCI Belgium
19.62
0.63
18.07 MSCI Belgium TR ECU (EUR)
1.00
0.56
0.41
0.69
0.63
0.59
0.71
0.40
0.57
0.36
0.62
0.62
0.50
0.46
MSCI Denmark
23.51
0.62
25.54 MSCI Denmark TR ECU (EUR)
0.56
1.00
0.39
0.68
0.67
0.58
0.68
0.61
0.59
0.52
0.60
0.64
0.52
0.55
MSCI Finland
54.68
0.42
68.26 MSCI Finland TR ECU (EUR)
0.41
0.39
1.00
0.63
0.66
0.48
0.58
0.48
0.53
0.72
0.40
0.52
0.49
0.50
MSCI France
24.64
0.60
29.34 MSCI France TR ECU (EUR)
0.69
0.68
0.63
1.00
0.85
0.77
0.80
0.62
0.76
0.80
0.66
0.67
0.53
0.67
MSCI Germany
26.37
0.61
23.70 MSCI Germany TR ECU (EUR)
0.63
0.67
0.66
0.85
1.00
0.62
0.78
0.50
0.66
0.80
0.57
0.65
0.55
0.62
MSCI Italy
34.06
30.45 MSCI Italy TR ECU (EUR)0.50
0.59
0.58
0.48
0.77
0.62
1.00
0.65
0.51
0.68
0.56
0.51
0.52
0.45
0.61
MSCI Netherlands
22.94
25.00 MSCI Netherlands TR ECU0.74

(EUR)
0.71
0.68
0.58
0.80
0.78
0.65
1.00
0.53
0.65
0.68
0.73
0.75
0.64
0.55
MSCI Norway
27.90
0.57
15.13 MSCI Norway TR ECU (EUR)
0.40
0.61
0.48
0.62
0.50
0.51
0.53
1.00
0.58
0.53
0.50
0.53
0.48
0.51
MSCI Spain
30.59
30.24 MSCI Spain TR ECU (EUR)0.55
0.57
0.59
0.53
0.76
0.66
0.68
0.65
0.58
1.00
0.67
0.61
0.65
0.56
0.72
MSCI Sweden
35.25
0.44
32.90 MSCI Sweden TR ECU (EUR)
0.36
0.52
0.72
0.80
0.80
0.56
0.68
0.53
0.67
1.00
0.45
0.54
0.42
0.62
MSCI Switzerland
23.03
22.31 MSCI Switzerland TR ECU0.59

(EUR)
0.62
0.60
0.40
0.66
0.57
0.51
0.73
0.50
0.61
0.45
1.00
0.60
0.50
0.56
MSCI U.K.
18.51
21.24 MSCI U.K. TR ECU (EUR)0.66
0.62
0.64
0.52
0.67
0.65
0.52
0.75
0.53
0.65
0.54
0.60
1.00
0.74
0.38
MSCI Ireland
21.24
0.62
18.44 MSCI Ireland TR ECU (EUR)
0.50
0.52
0.49
0.53
0.55
0.45
0.64
0.48
0.56
0.42
0.50
0.74
1.00
0.43
MSCI Portugal
28.08
0.51
26.83 MSCI Portugal TR ECU (EUR)
0.46
0.55
0.50
0.67
0.62
0.61
0.55
0.51
0.72
0.62
0.56
0.38
0.43
1.00

MSCI
TRBelgium
ECUMSCI
(EUR)
TRDenmark
ECU MSCI
(EUR)
TRFinland
ECUMSCI
(EUR)
TR ECU
France
MSCI
(EUR)
TRGermany
ECU (EUR)
MSCI
TR ECU
Italy
MSCI
(EUR)
TRNetherlands
ECU (EUR)
MSCITR
Norway
ECUMSCI
(EUR)
TR ECU
Spain
MSCI
(EUR)
TR ECU
Sweden
MSCI
(EUR)
TR
Switzerland
ECU (EUR)
MSCI
TRU.K.
ECUMSCI
TR
(EUR)
ECU
Ireland
(EUR)
MSCI
TRPortugal
ECU (EUR)
TR ECU (EUR)
Re
1.00
0.56
0.49
0.38
0.57
0.60
0.41
0.66
0.45
0.48
0.35
0.57
0.55
0.47
0.48
Activos
MSCI Austria
Dt
20.81
MSCI Belgium
17.41
0.56
1.00
0.54
0.38
0.68
0.58
0.41
0.73
0.47
0.53
0.35
0.60
0.61
0.56
0.43
MSCI Denmark
20.46
0.49
0.54
1.00
0.41
0.54
0.58
0.51
0.61
0.57
0.61
0.50
0.49
0.58
0.51
0.47
MSCI Finland
48.42
0.38
0.38
0.41
1.00
0.48
0.54
0.50
0.52
0.54
0.53
0.68
0.35
0.51
0.51
0.39
MSCI France
21.53
0.57
0.68
0.54
0.48
1.00
0.75
0.51
0.78
0.57
0.68
0.63
0.60
0.72
0.50
0.61
MSCI Germany
21.13
0.60
0.58
0.58
0.54
0.75
1.00
0.51
0.74
0.48
0.62
0.66
0.49
0.59
0.48
0.56
0.51
0.50
0.51
0.51
1.00
0.47
0.43
0.57
0.46
0.30
0.37
0.37
0.43
MSCI Italy
31.76
0.41
MSCI Netherlands
19.06

(EUR)
0.73
0.61
0.52
0.78
0.74
0.47
1.00
0.56
0.63
0.61
0.69
0.76
0.63
0.54
MSCI Norway
26.51
0.45
0.47
0.57
0.54
0.57
0.48
0.43
0.56
1.00
0.59
0.57
0.45
0.57
0.56
0.48
MSCI Spain
27.39
0.48
21.17 MSCI Spain TR ECU (EUR)
0.53
0.61
0.53
0.68
0.62
0.57
0.63
0.59
1.00
0.67
0.52
0.62
0.58
0.63
MSCI Sweden
31.72
0.35
0.35
0.50
0.68
0.63
0.66
0.46
0.61
0.57
0.67
1.00
0.43
0.53
0.44
0.55
MSCI Switzerland
20.33

(EUR)
0.60
0.49
0.35
0.60
0.49
0.30
0.69
0.45
0.52
0.43
1.00
0.60
0.47
0.50
MSCI U.K.
18.06
0.61
0.58
0.51
0.72
0.59
0.37
0.76
0.57
0.62
0.53
0.60
1.00
0.72
0.42
MSCI Ireland
21.25
0.47
0.56
0.51
0.51
0.50
0.48
0.37
0.63
0.56
0.58
0.44
0.47
0.72
1.00
0.45
MSCI Portugal
24.75
0.48
0.43
0.47
0.39
0.61
0.56
0.43
0.54
0.48
0.63
0.55
0.50
0.42
0.45
1.00

MSCI
TRBelgium
ECUMSCI
(EUR)
TRDenmark
ECU MSCI
(EUR)
TRFinland
ECUMSCI
(EUR)
TR ECU
France
MSCI
(EUR)
TRGermany
ECU (EUR)
MSCI
TR ECU
Italy
MSCI
(EUR)
TRNetherlands
ECU (EUR)
MSCITR
Norway
ECUMSCI
(EUR)
TR ECU
Spain
MSCI
(EUR)
TR ECU
Sweden
MSCI
(EUR)
TR
Switzerland
ECU (EUR)
MSCI
TRU.K.
ECUMSCI
TR
(EUR)
ECU
Ireland
(EUR)
MSCI
TRPortugal
ECU (EUR)
TR ECU (EUR)
Re
1.00
0.60
0.56
0.39
0.62
0.55
0.50
0.74
0.59
0.64
0.45
0.71
0.62
0.59
0.50
Activos
MSCI Austria
Dt
22.62
MSCI Belgium
21.83
0.60
1.00
0.48
0.35
0.66
0.56
0.55
0.68
0.36
0.59
0.31
0.67
0.57
0.45
0.38
MSCI Denmark
23.60
0.56
0.48
1.00
0.33
0.67
0.58
0.54
0.64
0.61
0.60
0.48
0.60
0.57
0.46
0.44
MSCI Finland
69.31
0.39
0.35
0.33
1.00
0.66
0.70
0.48
0.55
0.45
0.59
0.73
0.41
0.52
0.51
0.52
MSCI France
25.81
0.62
0.66
0.67
0.66
1.00
0.88
0.76
0.81
0.64
0.84
0.85
0.70
0.69
0.49
0.68
MSCI Germany
27.29
0.55
0.56
0.58
0.70
0.88
1.00
0.67
0.72
0.53
0.75
0.84
0.53
0.61
0.51
0.57
MSCI Italy
31.96
0.55
0.54
0.48
0.76
0.67
1.00
0.69
0.45
0.73
0.60
0.57
0.50
0.39
0.64
MSCI Netherlands
21.96

(EUR)
0.68
0.64
0.55
0.81
0.72
0.69
1.00
0.52
0.71
0.66
0.75
0.72
0.59
0.48
MSCI Norway
30.62
0.59
0.36
0.61
0.45
0.64
0.53
0.45
0.52
1.00
0.59
0.49
0.55
0.52
0.44
0.51
MSCI Spain
30.81
19.97 MSCI Spain TR ECU (EUR)0.64
0.59
0.60
0.59
0.84
0.75
0.73
0.71
0.59
1.00
0.71
0.68
0.64
0.64
0.77
MSCI Sweden
39.55
0.45
0.31
0.48
0.73
0.85
0.84
0.60
0.66
0.49
0.71
1.00
0.41
0.54
0.36
0.63
MSCI Switzerland
22.40

(EUR)
0.67
0.60
0.41
0.70
0.53
0.57
0.75
0.55
0.68
0.41
1.00
0.66
0.52
0.52
MSCI U.K.
18.44
0.57
0.57
0.52
0.69
0.61
0.50
0.72
0.52
0.64
0.54
0.66
1.00
0.73
0.30
MSCI Ireland
22.04
0.59
0.45
0.46
0.51
0.49
0.51
0.39
0.59
0.44
0.64
0.36
0.52
0.73
1.00
0.39
MSCI Portugal
26.57
0.50
0.38
0.44
0.52
0.68
0.57
0.64
0.48
0.51
0.77
0.63
0.52
0.30
0.39
1.00
Paises Europeos. (Ultimo ao).

Re
Activos
-4.88 MSCI Austria
MSCI Austria
MSCI Belgium
MSCI Denmark
MSCI Finland
MSCI France
MSCI Germany
MSCI Italy
MSCI Netherlands
MSCI Norway
MSCI Spain
MSCI Sweden
MSCI Switzerland
MSCI U.K.MSCI Ireland
MSCI Portugal
Activos
MSCI Austria
Dt
11.10
1.00
0.78
0.57
-0.41
0.28
0.07
-0.26
0.37
0.57
0.34
-0.18
0.56
0.66
0.33
-0.26
MSCI Belgium
18.90
-8.72 MSCI Belgium
0.78
1.00
0.34
-0.21
0.44
0.13
0.15
0.67
0.65
0.26
-0.09
0.77
0.61
0.08
-0.20
MSCI Denmark
23.19
12.91 MSCI Denmark
0.57
0.34
1.00
-0.02
0.53
0.41
0.19
0.53
0.70
0.50
0.31
0.44
0.64
0.43
0.07
MSCI Finland
22.31
-5.84 MSCI Finland
-0.41
-0.21
-0.02
1.00
0.46
0.45
0.35
0.36
-0.06
0.30
0.66
0.00
0.18
0.16
0.19
MSCI France
16.50
3.60 MSCI France
0.28
0.44
0.53
0.46
1.00
0.82
0.69
0.82
0.54
0.77
0.81
0.36
0.41
0.00
0.50
MSCI Germany
18.21
-7.96 MSCI Germany
0.07
0.13
0.41
0.45
0.82
1.00
0.63
0.51
0.30
0.76
0.78
0.06
0.36
0.23
0.57
MSCI Italy
21.46
7.74 MSCI Italy
-0.26
0.15
0.19
0.35
0.69
0.63
1.00
0.65
0.42
0.46
0.65
0.06
-0.03
-0.18
0.61
MSCI Netherlands
16.78
4.12 MSCI Netherlands
0.37
0.67
0.53
0.36
0.82
0.51
0.65
1.00
0.69
0.62
0.48
0.62
0.54
0.21
0.22
7.93 MSCI Norway
0.57
0.65
0.70
-0.06
0.54
0.30
0.42
0.69
1.00
0.47
0.25
0.40
0.62
0.24
0.13
0.68
MSCI Norway
17.24
MSCI Spain
16.99
-8.44 MSCI Spain
0.34
0.26
0.50
0.30
0.77
0.76
0.46
0.62
0.47
1.00
0.72
0.01
0.34
0.35
MSCI Sweden
30.76
-11.55 MSCI Sweden
-0.18
-0.09
0.31
0.66
0.81
0.78
0.65
0.48
0.25
0.72
1.00
-0.16
0.07
-0.08
0.74
MSCI Switzerland
17.78
15.00 MSCI Switzerland
0.56
0.77
0.44
0.00
0.36
0.06
0.06
0.62
0.40
0.01
-0.16
1.00
0.65
0.13
-0.44
MSCI U.K.
16.24
-4.49 MSCI U.K.
0.66
0.61
0.64
0.18
0.41
0.36
-0.03
0.54
0.62
0.34
0.07
0.65
1.00
0.63
-0.34
MSCI Ireland
17.75
-5.36 MSCI Ireland
0.33
0.08
0.43
0.16
0.00
0.23
-0.18
0.21
0.24
0.35
-0.08
0.13
0.63
1.00
-0.24
MSCI Portugal
17.75
-2.41 MSCI Portugal
-0.26
-0.20
0.07
0.19
0.50
0.57
0.61
0.22
0.13
0.68
0.74
-0.44
-0.34
-0.24
1.00
Areas Geograficas. (Ultimos 10 aos).

Activos
Dt
MSCI EMF LATIN AMERICA ECU44.27
(EUR)
Re
MSCI Japan
ECU TR
(EUR)
MSCI
ECU U.S.
(EUR)
TRMSCI
ECUEurope
(EUR) TR
MSCI
ECUEAFE
(EUR)
MSCI
TRPacific
ECU (EUR)
ex Japan TR ECU (
Activos MSCI EMF LATIN AMERICA
1.00
0.39
0.68
0.64
0.61
0.68
29.82 MSCI EMF LATIN AMERICA ECU (EUR)
MSCI Japan TR ECU (EUR)
25.82
0.39
1.00
0.46
0.50
0.85
0.48
MSCI U.S. TR ECU (EUR)
21.63
23.90 MSCI U.S. TR ECU (EUR)
0.68
0.46
1.00
0.75
0.70
0.66
MSCI Europe TR ECU (EUR)
17.33
19.40 MSCI Europe TR ECU (EUR)
0.64
0.50
0.75
1.00
0.87
0.67
MSCI EAFE TR ECU (EUR)
18.18
14.03 MSCI EAFE TR ECU (EUR)
0.61
0.85
0.70
0.87
1.00
0.70
0.68
16.86 MSCI Pacific ex Japan TR ECU (EUR)
0.48
0.66
0.67
0.70
1.00
7.15 MSCI Japan TR ECU (EUR)
MSCI Pacific ex Japan TR ECU (EUR)

28.75

Activos
Dt
(EUR)
26.08
25.94
19.91
19.37
Re
MSCI Japan
ECU TR
(EUR)
MSCI
ECU U.S.
(EUR)
TRMSCI
ECUEurope
(EUR) TR
MSCI
ECUEAFE
(EUR)
MSCI
TRPacific
ECU (EUR)
ex Japan TR ECU (E
0.51
0.70
0.72
0.74
0.78
20.48 MSCI EMF LATIN AMERICA ECU 1.00
(EUR)
0.51
1.00
0.61
0.55
0.82
0.64
0.70
0.61
1.00
0.80
0.82
0.68
0.72
0.55
0.80
1.00
0.92
0.67
0.74
0.82
0.82
0.92
1.00
0.78
0.78
0.64
0.68
0.67
0.78
1.00

29.39

Activos
Dt
(EUR)
Re
MSCI Japan
ECU TR
(EUR)
MSCI
ECU U.S.
(EUR)
TRMSCI
ECUEurope
(EUR) TR
MSCI
ECUEAFE
(EUR)
MSCI
TRPacific
ECU (EUR)
ex Japan TR ECU (E
1.00
0.52
0.66
0.65
0.71
0.77
7.59 MSCI EMF LATIN AMERICA ECU (EUR)
30.42
0.52
1.00
0.68
0.59
0.81
0.63
25.05
0.66
0.68
1.00
0.79
0.85
0.67
20.63
0.65
0.59
0.79
1.00
0.95
0.60
20.70
0.71
0.81
0.85
0.95
1.00
0.72
0.77
0.63
0.67
0.60
0.72
1.00

32.22
Areas Geograficas. (Ultimo ao).

Activos
MSCI EMF Latin America
Dt
Re
20.18
MSCI Japan
ECU TR
(EUR)
MSCI
ECU U.S.
(EUR)
TRMSCI
ECUEurope
(EUR) TR
MSCI
ECUEAFE
(EUR)
MSCI
TRPacific
ECU (EUR)
ex Japan TR ECU (E
1.00
0.60
0.62
0.80
0.84
0.71
-8.87 MSCI EMF Latin America
MSCI Japan
20.44
-21.14 MSCI Japan
0.60
1.00
0.83
0.48
0.82
0.61
MSCI U.S.
21.58
-4.42 MSCI U.S.
0.62
0.83
1.00
0.72
0.89
0.58
MSCI Europe
12.72
-1.12 MSCI Europe
0.80
0.48
0.72
1.00
0.89
0.56
MSCI EAFE
12.96
-7.26 MSCI EAFE
0.84
0.82
0.89
0.89
1.00
0.72
MSCI Pacific ex Japan
17.99
-7.81 MSCI Pacific ex Japan
0.71
0.61
0.58
0.56
0.72
1.00
Sectores MSCI World. (Ultimos 2 aos).

Activos
Consumer Discretionary
Dt
Re
22.47
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EURMSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR MSCI EMU Utilities
TR EUR TR EUR
ActivosMSCI EMU Consumer
1.00
0.01
0.46
0.62
0.14
0.88
0.84
0.63
0.78
0.21
14.35 Consumer Discretionary
0.01
1.00
0.35
0.37
0.61
0.26
-0.15
0.26
-0.04
0.39
29.88 Energy
0.46
0.35
1.00
0.72
0.27
0.66
0.27
0.67
0.16
0.40
23.88 Financials
0.62
0.37
0.72
1.00
0.46
0.77
0.34
0.67
0.32
0.51
21.85
20.76 Health Care
0.14
0.61
0.27
0.46
1.00
0.27
-0.01
0.02
0.03
0.36
Industrials
21.77
26.64 Industrials
0.88
0.26
0.66
0.77
0.27
1.00
0.73
0.73
0.54
0.41
Information Technology
54.30
30.13 Information Technology
0.84
-0.15
0.27
0.34
-0.01
0.73
1.00
0.37
0.76
0.10
Materials
27.36
20.65 Materials
0.63
0.26
0.67
0.67
0.02
0.73
0.37
1.00
0.36
0.18
Telecommunication
28.76
0.78
-0.04
0.16
0.32
0.03
0.54
0.76
0.36
1.00
0.06
Utilities
13.37
0.21
0.39
0.40
0.51
0.36
0.41
0.10
0.18
0.06
1.00
Consumer Staples
15.52
Energy
28.12
Financials
22.83
Health Care
8.82 Consumer Staples
6.42 Telecommunication
16.43 Utilities
Sectores MSCI World. (Ultimo ao).

Activos
Dt
14.18
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EURMSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR TR EUR
Re
1.00
0.08
0.65
0.76
0.46
0.90
0.79
0.58
0.73
0.57
-17.11 Consumer Discretionary
Consumer Staples
19.86
0.08
1.00
0.35
0.30
0.61
0.36
-0.21
0.39
-0.07
0.15
Energy
21.89
15.57 Energy
0.65
0.35
1.00
0.87
0.60
0.80
0.37
0.54
0.27
0.71
Financials
24.18
20.30 Financials
0.76
0.30
0.87
1.00
0.42
0.81
0.41
0.76
0.39
0.66
Health Care
23.65
37.50 Health Care
0.46
0.61
0.60
0.42
1.00
0.57
0.12
0.39
0.13
0.33
Industrials
20.23
7.15 Industrials
0.90
0.36
0.80
0.81
0.57
1.00
0.72
0.62
0.52
0.61
29.31
0.79
-0.21
0.37
0.41
0.12
0.72
1.00
0.24
0.71
0.26
Materials
19.36
0.58
0.39
0.54
0.76
0.39
0.62
0.24
1.00
0.30
0.28
Telecommunication
16.07
-35.12 Telecommunication
0.73
-0.07
0.27
0.39
0.13
0.52
0.71
0.30
1.00
0.34
Utilities
17.04
32.57 Utilities
0.57
0.15
0.71
0.66
0.33
0.61
0.26
0.28
0.34
1.00
-32.50 Information Technology

-5.18 Materials
Sectores MSCI Europe. (Ultimos 2 aos).

Activos
Dt
Re
21.18
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EUR
MSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR TR EUR
1.00
0.06
0.17
0.50
-0.18
0.89
0.83
0.58
0.73
0.36
0.06
1.00
0.36
0.63
0.45
0.08
-0.24
0.35
-0.35
0.19
0.17
0.36
1.00
0.60
0.29
0.33
0.12
0.51
-0.07
-0.05
17.72 Financials
0.50
0.63
0.60
1.00
0.40
0.51
0.30
0.64
0.13
0.36
13.54 Health Care
-0.18
0.45
0.29
0.40
1.00
-0.27
-0.08
-0.13
-0.19
0.25
20.02
20.58 Industrials
0.89
0.08
0.33
0.51
-0.27
1.00
0.76
0.68
0.59
0.22
61.65
0.83
-0.24
0.12
0.30
-0.08
0.76
1.00
0.37
0.78
0.35
Materials
28.06
23.02 Materials
0.58
0.35
0.51
0.64
-0.13
0.68
0.37
1.00
0.30
0.09
Telecommunication
40.69
0.73
-0.35
-0.07
0.13
-0.19
0.59
0.78
0.30
1.00
0.39
Utilities
12.70
0.36
0.19
-0.05
0.36
0.25
0.22
0.35
0.09
0.39
1.00
Consumer Staples
12.43
Energy
31.31
27.69 Energy
Financials
17.64
Health Care
18.58
Industrials
4.49 Utilities
Sectores MSCI Europe. (Ultimo ao).

Activos
Dt
14.50
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EUR
MSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR TR EUR
Re
1.00
-0.06
0.06
0.31
-0.16
0.89
0.92
0.29
0.73
0.39
-0.06
1.00
0.59
0.76
0.81
-0.01
-0.29
0.46
-0.33
0.11
0.06
0.59
1.00
0.75
0.74
0.11
0.01
0.37
-0.08
0.31
17.49 Financials
0.31
0.76
0.75
1.00
0.60
0.36
0.10
0.72
0.07
0.41
24.63 Health Care
-0.16
0.81
0.74
0.60
1.00
-0.20
-0.26
0.24
-0.39
0.12
16.56
1.33 Industrials
0.89
-0.01
0.11
0.36
-0.20
1.00
0.86
0.38
0.57
0.31
32.65
-8.66 Information Technology
0.92
-0.29
0.01
0.10
-0.26
0.86
1.00
0.01
0.65
0.32
Materials
20.83
-4.58 Materials
0.29
0.46
0.37
0.72
0.24
0.38
0.01
1.00
0.10
0.15
Telecommunication
21.59
0.73
-0.33
-0.08
0.07
-0.39
0.57
0.65
0.10
1.00
0.62
Utilities
14.08
11.98 Utilities
0.39
0.11
0.31
0.41
0.12
0.31
0.32
0.15
0.62
1.00
Consumer Staples
16.35
Energy
23.69

5.63 Energy
Financials
18.50
Health Care
22.06
Industrials
Sectores MSCI EMU (Ultimos 2 aos).

Activos
Dt
Re
22.47
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EURMSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR TR EUR
1.00
0.35
0.20
0.67
-0.13
0.83
0.77
0.56
0.60
0.44
0.35
1.00
0.28
0.68
0.55
0.01
0.01
0.33
-0.16
0.04
0.20
0.28
1.00
0.43
-0.17
0.13
0.16
0.44
-0.15
-0.03
13.97 Financials
0.67
0.68
0.43
1.00
0.27
0.40
0.46
0.58
0.17
0.34
27.75 Health Care
-0.13
0.55
-0.17
0.27
1.00
-0.36
-0.28
-0.20
-0.25
0.09
26.75
29.85 Industrials
0.83
0.01
0.13
0.40
-0.36
1.00
0.78
0.48
0.65
0.40
54.38
0.77
0.01
0.16
0.46
-0.28
0.78
1.00
0.41
0.74
0.40
Materials
27.57
20.10 Materials
0.56
0.33
0.44
0.58
-0.20
0.48
0.41
1.00
0.21
0.15
Telecommunication
49.93
0.60
-0.16
-0.15
0.17
-0.25
0.65
0.74
0.21
1.00
0.48
Utilities
14.07
0.44
0.04
-0.03
0.34
0.09
0.40
0.40
0.15
0.48
1.00
Consumer Staples
12.25
Energy
28.60
30.56 Energy
Financials
17.04
Health Care
20.02
Industrials
1.83 Utilities
Sectores MSCI EMU. (Ultimo ao).

Activos
Dt
14.88
MSCIDiscretionary
EMU Consumer
TR
MSCI
Staples
EUREMUTR
Energy
MSCI
EUREMU
TR EUR
Financials
MSCI EMU
TRHealth
EUR
MSCI
Care
EMU
MSCI
TRIndustrials
EUR
EMU Information
TR EURMSCI
Technology
EMU
MSCI
Materials
TR
EMU
EUR
Telecommunication
TR EUR TR EUR
Re
1.00
0.08
0.18
0.52
-0.26
0.85
0.81
0.29
0.59
0.42
0.08
1.00
0.35
0.69
0.78
-0.27
-0.32
0.22
-0.45
-0.32
0.18
0.35
1.00
0.58
0.33
-0.10
0.14
0.25
-0.08
0.32
14.60 Financials
0.52
0.69
0.58
1.00
0.42
0.18
0.24
0.64
0.01
0.19
51.10 Health Care
-0.26
0.78
0.33
0.42
1.00
-0.46
-0.57
0.01
-0.61
-0.25
10.20 Industrials
0.85
-0.27
-0.10
0.18
-0.46
1.00
0.81
0.16
0.67
0.44
0.81
-0.32
0.14
0.24
-0.57
0.81
1.00
0.11
0.65
0.33
0.29
0.22
0.25
0.64
0.01
0.16
0.11
1.00
-0.08
0.15
0.59
-0.45
-0.08
0.01
-0.61
0.67
0.65
-0.08
1.00
0.62
0.42
-0.32
0.32
0.19
-0.25
0.44
0.33
0.15
0.62
1.00
Consumer Staples
15.07
Energy
21.20
15.01 Energy
Financials
16.14
Health Care
25.41
Industrials
26.32
29.22
Materials
22.00
-1.94 Materials
Telecommunication
23.17
Utilities
15.53
8.28 Utilities
Sectores MSCI Estilos Gestin (Ultimos 4 aos).

28.28
AC Asia PacificAC
Growth
Asia Pacific AC
Value
Europe Growth
AC EuropeEM
Value
Latin America
EM Growth
Latin America Value
U.S. Growth U.S. Value
Activos
1.00
0.89
0.66
0.57
0.70
0.65
0.73
0.54
4.88 AC Asia Pacific Growth
26.78
7.68 AC Asia Pacific Value
AC Europe Growth
23.00
AC Europe Value
Activos
Dt
Re
0.89
1.00
0.53
0.56
0.59
0.60
0.64
0.62
21.33 AC Europe Growth
0.66
0.53
1.00
0.82
0.68
0.59
0.77
0.63
22.71
27.02 AC Europe Value
0.57
0.56
0.82
1.00
0.73
0.73
0.68
0.76
46.05
22.01 EM Latin America Growth
0.70
0.59
0.68
0.73
1.00
0.94
0.66
0.64
0.60
0.59
0.73
0.94
1.00
0.62
0.67
49.26
20.70 EM Latin America Value
0.65
U.S. Growth
32.82
30.30 U.S. Growth
0.73
0.64
0.77
0.68
0.66
0.62
1.00
0.77
U.S. Value
25.93
25.87 U.S. Value
0.54
0.62
0.63
0.76
0.64
0.67
0.77
1.00
Sectores MSCI Estilos Gestin (Ultimo ao).

Activos
Dt
17.76
AC Asia PacificAC
Growth
Asia Pacific AC
Value
Europe Growth
AC EuropeEM
Value
Latin America
EM Growth
Latin America Value
U.S. Growth U.S. Value
Re
Activos
1.00
0.78
0.57
0.28
0.81
0.56
0.86
0.35
-33.91 AC Asia Pacific Growth
0.78
1.00
0.39
0.32
0.49
0.38
0.84
0.73
-10.46 AC Europe Growth
0.57
0.39
1.00
0.64
0.79
0.74
0.71
0.35
13.57
6.85 AC Europe Value
0.28
0.32
0.64
1.00
0.45
0.73
0.68
0.58
28.12
-2.61 EM Latin America Growth
0.81
0.49
0.79
0.45
1.00
0.81
0.76
0.14
17.80
-8.77 EM Latin America Value
0.56
0.38
0.74
0.73
0.81
1.00
0.75
0.35
U.S. Growth
23.16
-19.14 U.S. Growth
0.86
0.84
0.71
0.68
0.76
0.75
1.00
0.65
U.S. Value
24.37
12.21 U.S. Value
0.35
0.73
0.35
0.58
0.14
0.35
0.65
1.00
19.40
AC Europe Growth
14.17
AC Europe Value
-6.85 AC Asia Pacific Value

OptimizacionGlobal

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

OptimizacionGlobal

Uploaded by

Copyright:

Available Formats

OPTIMIZACION MERCADOS RENTA VARIABLE

- Por Paises Europeos. (Ultimos 10,5,3,1 aos).

Dep. Mtodos Cuantitativos

1 Optimizacin por Paises Europeos.

Paises Europeos. (Ultimos 10 aos).

Paises Europeos. (Ultimos 5 aos).

Paises Europeos. (Ultimos 3 aos).

Paises Europeos. (Ultimo ao).

Areas Geogrficas. (Ultimos 10 aos).

Areas Geogrficas. (Ultimos 5 aos).

Areas Geogrficas. (Ultimos 3 aos).

Areas Geogrficas. (Ultimo ao).

Sectores MSCI EMU. (Ultimos 2 aos).

Sectores MSCI EMU. (Ultimo ao).

Sectores MSCI Europe. (Ultimos 2 aos).

Sectores MSCI Europe. (Ultimo ao).

Sectores MSCI World. (Ultimos 2 aos).

Sectores MSCI World. (Ultimo ao).

EM Latin America Value

AC Asia Pacific Growth

Sectores MSCI Estilos de Gestin. (Ultimos 4 aos).

Sectores MSCI Estilos de Gestin. (Ultimo ao).

Paises Europeos. (Ultimos 10 aos).

30.45 MSCI Italy TR ECU (EUR)0.50

25.00 MSCI Netherlands TR ECU0.74

30.24 MSCI Spain TR ECU (EUR)0.55

22.31 MSCI Switzerland TR ECU0.59

21.24 MSCI U.K. TR ECU (EUR)0.66

Paises Europeos. (Ultimos 5 aos).

18.63 MSCI Italy TR ECU (EUR)0.41

23.40 MSCI Netherlands TR ECU0.66

24.93 MSCI Switzerland TR ECU0.57

17.26 MSCI U.K. TR ECU (EUR)0.55

Paises Europeos. (Ultimos 3 aos).

25.01 MSCI Italy TR ECU (EUR)0.50

16.53 MSCI Netherlands TR ECU0.74

19.97 MSCI Spain TR ECU (EUR)0.64

15.15 MSCI Switzerland TR ECU0.71

12.14 MSCI U.K. TR ECU (EUR)0.62

Paises Europeos. (Ultimo ao).

-8.72 MSCI Belgium

12.91 MSCI Denmark

-5.84 MSCI Finland

3.60 MSCI France

-7.96 MSCI Germany

7.74 MSCI Italy

4.12 MSCI Netherlands

7.93 MSCI Norway

-8.44 MSCI Spain

-11.55 MSCI Sweden

15.00 MSCI Switzerland

-4.49 MSCI U.K.

-5.36 MSCI Ireland

-2.41 MSCI Portugal

Areas Geograficas. (Ultimos 10 aos).

MSCI Japan TR ECU (EUR)

MSCI U.S. TR ECU (EUR)

23.90 MSCI U.S. TR ECU (EUR)

MSCI Europe TR ECU (EUR)

19.40 MSCI Europe TR ECU (EUR)

MSCI EAFE TR ECU (EUR)

14.03 MSCI EAFE TR ECU (EUR)

7.15 MSCI Japan TR ECU (EUR)

MSCI Pacific ex Japan TR ECU (EUR)