Portafolios de referencia para determinación de VaR


Portafolios de referencia para determinación de VaR

Instrumento

Serie

SBP

SB1

SB2

SB3

SB4

Renta Variable

NAFTRAC

0.00%

10.00%

30.00%

35.00%

45.00%

Bondes D

181213

2.39%

0.00%

0.00%

0.00%

0.00%

Bondes D

190207

2.57%

0.00%

0.00%

0.00%

0.00%

Bondes D

190411

2.68%

0.00%

0.00%

0.00%

0.00%

Bondes D

190606

3.35%

0.00%

0.00%

0.00%

0.00%

Bondes D

190808

6.05%

0.57%

0.44%

0.00%

0.00%

Bondes D

191003

2.68%

0.25%

0.19%

0.00%

0.00%

Bondes D

191205

0.00%

0.29%

0.22%

0.00%

0.00%

Bondes D

200130

0.00%

0.32%

0.24%

0.00%

0.00%

Bondes D

200402

0.00%

0.25%

0.19%

0.00%

0.00%

Bondes D

200528

0.00%

0.30%

0.23%

0.00%

0.00%

Bondes D

200702

0.00%

0.28%

0.21%

0.00%

0.00%

Bondes D

200730

0.00%

0.34%

0.26%

0.00%

0.00%

Bondes D

200924

0.00%

0.53%

0.41%

0.00%

0.00%

Bondes D

201126

0.00%

0.40%

0.31%

0.00%

0.00%

Bondes D

210121

0.00%

0.38%

0.29%

0.00%

0.00%

Bondes D

210325

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

210520

0.00%

0.72%

0.55%

0.00%

0.00%

Bondes D

210722

0.00%

0.25%

0.19%

0.00%

0.00%

Bondes D

210915

0.00%

0.25%

0.19%

0.00%

0.00%

Bondes D

211118

0.00%

0.35%

0.27%

0.00%

0.00%

Bondes D

220113

0.00%

0.52%

0.40%

0.00%

0.00%

Bondes D

220317

0.00%

0.41%

0.32%

0.00%

0.00%

Bondes D

220512

0.00%

0.37%

0.28%

0.00%

0.00%

Bondes D

220714

0.00%

0.32%

0.24%

0.00%

0.00%

Bondes D

220908

0.00%

0.40%

0.30%

0.00%

0.00%

Bondes D

221110

0.00%

0.33%

0.26%

0.00%

0.00%

Bondes D

230105

0.00%

0.40%

0.31%

0.00%

0.00%

Bondes D

230309

0.00%

0.40%

0.31%

0.00%

0.00%

Bondes D

230504

0.00%

0.42%

0.32%

0.00%

0.00%

CETES

181108

5.65%

0.00%

0.00%

0.00%

0.00%

CETES

181122

6.44%

0.00%

0.00%

0.00%

0.00%

CETES

181206

12.09%

0.00%

0.00%

0.00%

0.00%

CETES

181220

6.45%

0.00%

0.00%

0.00%

0.00%

CETES

190131

7.38%

0.00%

0.00%

0.00%

0.00%

CETES

190328

6.33%

0.00%

0.00%

0.00%

0.00%

CETES

190523

4.08%

0.00%

0.00%

0.00%

0.00%

Bonos M

181213

31.84%

0.00%

0.00%

0.00%

0.00%

Bonos M

191211

0.00%

4.41%

3.38%

3.00%

0.00%

Bonos M

200611

0.00%

7.26%

5.56%

5.57%

0.00%

Bonos M

210610

0.00%

6.43%

4.93%

4.94%

4.84%

Bonos M

211209

0.00%

1.07%

0.82%

0.82%

0.80%

Bonos M

220609

0.00%

5.74%

4.40%

4.40%

4.31%

Bonos M

231207

0.00%

2.55%

1.95%

1.96%

1.92%

Bonos M

241205

0.00%

5.48%

4.20%

4.21%

4.12%

Bonos M

260305

0.00%

3.28%

2.51%

2.52%

2.47%

Bonos M

270603

0.00%

4.38%

3.36%

3.36%

3.29%

Bonos M

290531

0.00%

2.11%

1.62%

1.62%

1.59%

Bonos M

310529

0.00%

2.79%

2.14%

2.14%

2.10%

Bonos M

341123

0.00%

1.90%

1.45%

1.46%

1.43%

Bonos M

361120

0.00%

1.84%

1.41%

1.41%

1.38%

Bonos M

381118

0.00%

2.33%

1.78%

1.78%

1.75%

Bonos M

421113

0.00%

4.08%

3.13%

3.13%

3.07%

Bonos M

471107

0.00%

0.00%

0.00%

1.15%

1.13%

Udibonos

190613

0.00%

0.00%

0.00%

0.00%

0.00%

Udibonos

201210

0.00%

4.77%

3.65%

3.66%

3.30%

Udibonos

220609

0.00%

2.78%

2.13%

2.14%

2.09%

Udibonos

251204

0.00%

5.19%

3.97%

3.98%

3.90%

Udibonos

281130

0.00%

1.89%

1.45%

1.45%

1.42%

Udibonos

351122

0.00%

3.16%

2.42%

2.42%

2.37%

Udibonos

401115

0.00%

5.87%

4.50%

4.50%

4.41%

Udibonos

461108

0.00%

1.28%

2.02%

3.37%

3.30%

TOTAL

100%

100%

100%

100%

100%

* Portafolios de referencia determinados por el CAR el 06 de julio de 2018.

Fuente Banco de México  

 

Autor:
Comisión Nacional del Sistema de Ahorro para el Retiro
Fecha de publicación:
16 de agosto de 2018

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