Estrategia Barbell y Bullet Con Bonos Argentinos en USD

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



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"

1"

2"

3"

&"

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$"

"

8"

%"

10"

11"

12"

13"

1&"

1!"

1$"

1"

18"

1%"

20"



1

0

2

&

$

8

10

12



t t'/0 ) PV CF

8&

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1$2!

2&0&

32%0

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!310

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8$%

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0.00"

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3.88%



2 3




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



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"

Com#ro$ación & ' Con(e)it*

*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

" 101.0

8" 101.0

%" %.!

10" %0.%11" 8.8

12" 8&.%

13" 82.1

1&" %.&

1!" $.8

1$" &.&

1" 2.0

18" $%.8

1%" $.$

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



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"

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13"

1&"

1!"

1$"

1"

18"

1%"

20"



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


*ariac. s(' -&.$&" --/ *ariación TI 'uration (odificada

*ariac. s)on,eit 0.1&2"

Total -&.!0!"

*ariación real -&.&!3"

&ierencia ,"."/%

-&.&!3"

--/ <*ariación TI@2 )on,eit




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



0.00

2.00

&.00

$.00

8.00

10.00

12.00

10+000.00



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"

3"

&"

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$"

"

8"

%"

10"

11"

12"

13"

1&"

1!"

1$" *ariac. s(' -2.18"

1" 1" *ariac. s)on,. 0.0&"

18" Total -2.1&!8"

1%"

20"



0.0"

200000.0"

&00000.0"

$00000.0"

800000.0"

1000000.0"

1200000.0"

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)olumn F

)olumn



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

&2&$ %%2%.2

& ///3./6 ,,-FV

!!.8!" --/TI(



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



'uration %.&

(odified 'uration 8.!

#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

0.00 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

0.00 0.00 -3 0 0.0

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

0.00 0.00 0 0 0.0

32%.81 321.8! 0 81 101.$

333.%! 310.3! 1 23! &12.1

338.1& 2%%.&2 1 3$ 8&.2

3&2.38 288.3 2 !08 1&01.1

3&$.$8 28.$3 2 $28 20&&.%

3!1.03 2$8.$8 3 &1 28$.3

!10.0! 32.08 3 1211 !1!2.

!10.0! 3!&.3& & 1332 $338.!

!10.0! 33.1 & 1&3 !!0.$

!10.0! 321.$1 ! 1!31 881&.2

!10.0! 30$.&& ! 1$11 10081.

!10.0! 2%1.83 $ 1$81 113$%.3

!10.0! 28.1& $ 1&0 12$31.!

!10.0! 2$&.88 1%1 13%01.3

!10.0! 2!2.&! 1832 1!12%.3

!10.0! 2&0.&2 8 18$$ 1$3&%.&

!10.0! 22%.1& 8 18%2 1!1$.2

!10.0! 218.21 % 1%12 18$$3.2

!10.0! 20.%2 % 1%2! 1%!&.%

!10.0! 1%8.01 10 1%33 20811.%

!10.0! 188.2 10 1%3$ 21803.0

!10.0! 1%.2 11 1%3! 22!8.8!10.0! 11.2% 11 1%2% 23$&$.

!10.0! 1$3.12 12 1%1% 2&&%&.%

!10.0! 1!!.& 12 1%0$ 2!2&.%

!10.0! 1&8.0! 13 18%0 2$012.3

112$.0! 311.&! 13 &131 !8%1$.3

1100.!! 28%.88 1& 3%%1 !8%32.8

10!.0! 2$%.88 1& 38&% !8!1.3

10&%.!! 2!0.%1 1! 30! !8&21.&

102&.0& 233.33 1! 3!$1 !%1.%

%%8.!& 21$.$ 1$ 3&1$ !281.!

%3.0& 201.23 1$ 323 !$&%!.

%&.!& 18$.$2 1 312% !!!%3.&

%22.03 13.03 1 2%8 !&!$.8

8%$.!3 1$0.22 18 28& !3&3%.&



81.03 1&8.3$ 18 210 !2208.1

8&!.!3 13.1! 1% 2!& !08%3.0

820.02 12$. 1% 2&&2 &%&%$.1

%&.!2 11$.% 20 2313 &8031.2

$%.02 10.%1 20 218 &$!0&.1

&3.!2 %%.3! 21 20$& &&%23.

18.01 %1.&2 21 1%&& &32%8.3$%2.!1 83.% 22 1828 &1$33.

$$.01 .08 22 11 3%%&0.

$&1.!1 0.$0 23 1$08 38220.8

Totales 10000.00 1+3$1+11!.!

)ontrol 0.00

--/ *ariación TI 'uration (odificada


ono &iscount 9e:. Ar:entina



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!



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"

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10000.00

0"

1"2"

3"

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$"

"

8"

%.%0"

10.%0"

11"

12"

13"

1&"

1!"

1$"

1"

18"

1%"

20"



'uration 13.20 5I%D&

(od.'uration 12.01 I1<15F1@

#r.#ond. *ida &+818 I13$!

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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

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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!

1$!.$1 11 182& 21+%02

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

12&.8$ 1& 1!0 2$+21

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

8%.81 18 1!3 2%+132

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



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&&


*ariac. s(' -12.01" --/ *ariación TI 'uration (odificada

*ariac. s)on,eit 1.0!8"

Total -10.%!$"

*ariación real -11.002"

&ierencia "."5%




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 /"

Flu;o de ca;a



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



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



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.#



31-dic-38 1260.30 252.1



-

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



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



8.2%



oct-1!

3



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



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

314.1

30".6

301.0

2#4.5

288.0

281.4

2"4.#

268.4261.#



252.1



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%



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



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



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

#5#6

#256

8#4"

8665

8405

0 'ps en PA*

Bar'ell 2

13150

12331

116321102"

. .

-

Valore



10501

1003#

#62#

#263

8#34

8635

8362

-2" 0" 2" &" $"

-1+000

-!00

-

!00

1+000

1+!00

2+000

2+!00

(o,. #aralelo

(o,. 4teepeninH

(o,. FlateninH

)amio en TI

64@



1&"

Donar

12" 1&"



,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"



-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#"

Estrategia Barbell y Bullet Con Bonos Argentinos en USD

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