assignment 1 asspet pricingmanager 1e

assignment 1 asspet pricingmanager 1e - NoDur 195401 195402...

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NoDur Durbl Manuf E nrgy HiTec Telcm Shops Hlth Utils Other Mkt-RF SMB HML RF Rf Excess return: NoDur Durbl HiTec Telcm Shops Hlth Utils Sample Covariance matrix NoDur Durbl HiTec Telcm Shops Hlth Utils N/N-1 195401 4.17 5.29 4.52 8.64 6.85 1.89 3.05 5.65 3.32 6.64 5.11 0.47 3.48 0.11 0.0011 0.0406 0.0518 0.0674 0.0178 0.0294 0.0554 0.0321 NoDur 0.00200 0.00186 0.00195 0.00122 0.00214 0.001901 0.001192 1.002193 195402 -0.3 1.71 0.95 2.8 5.01 2.58 0.47 -0.19 1.59 1.54 1.66 -0.19 -0.24 0.07 0.0007 -0.0037 0.0164 0.0494 0.0251 0.004 -0.0026 0.0152 Durbl 0.00186 0.00305 0.002351 0.001207 0.002329 0.001791 0.001134 195403 1.37 3.51 4.85 4.28 8.84 1.72 0.51 0.28 2.96 1.8 3.64 -0.5 -1.53 0.08 0.0008 0.0129 0.0343 0.0876 0.0164 0.0043 0.002 0.0288 HiTec 0.00195 0.00235 0.003343 0.001259 0.002378 0.002307 0.001109 195404 0.99 4.1 5.72 6.15 9.08 1.96 1.3 1.2 1.24 2.87 4.24 -3.45 -0.5 0.09 0.0009 0.009 0.0401 0.0899 0.0187 0.0121 0.0111 0.0115 Telcm 0.0012171 0.001207 0.001259 0.001567 0.001345 0.001193 0.001 195405 2.38 4.47 4.47 2.97 -0.41 1.23 2.63 1.61 2.64 4.39 3.08 0.38 2.54 0.05 0.0005 0.0233 0.0442 -0.0046 0.0118 0.0258 0.0156 0.0259 Shops 0.0021424 0.002329 0.002378 0.001345 0.002811 0.002046 0.00122 195406 0.57 1.2 3.6 -5.86 9.71 0.54 2.17 -2.43 1.29 1.5 1.06 0.4 0.01 0.06 0.0006 0.0051 0.0114 0.0965 0.0048 0.0211 -0.0249 0.0123 Hlth 0.0019005 0.00179 0.002307 0.001193 0.002046 0.00279 0.00109 195407 6.39 9.84 5.2 4.23 -0.5 4.36 3.76 8.21 5.41 6.83 4.96 1 4.25 0.05 0.0005 0.0634 0.0979 -0.0055 0.0431 0.0371 0.0816 0.0536 Utils 0.0011923 0.001134 0.001109 0.001 0.001222 0.001094 0.001441 195408 -2.7 -3.36 -3.75 0.52 -4.67 -1.43 0.04 -2.56 -1.72 -2.26 -2.32 2.68 -1.48 0.05 0.0005 -0.0275 -0.0341 -0.0472 -0.0148 -0.0001 -0.0261 -0.0177 195409 3.88 14.47 6.6 10.01 6.43 2.49 4.38 2.82 2.01 4.32 6.35 -2.55 0.73 0.09 0.0009 0.0379 0.1438 0.0634 0.024 0.0429 0.0273 0.0192 Variance 0.0019989 0.003055 0.003343 0.001567 0.002811 0.00279 0.001441 195410 -2.22 -0.76 -1.11 -1.98 -1.97 -0.85 -2.45 -1.62 -3.8 0.59 -1.67 0.57 0.72 0.07 0.0007 -0.0229 -0.0083 -0.0204 -0.0092 -0.0252 -0.0169 -0.0387 195411 6.09 4.46 13.68 8.04 13.2 3.43 8.32 12.56 5.67 11.15 9.37 -2.55 4.05 0.06 0.0006 0.0603 0.044 0.1314 0.0337 0.0826 0.125 0.0561 The Inverse of variance-C NoDur Durbl HiTec Telcm Shops Hlth Utils 195412 4.34 7.25 6.54 6.47 3.06 1.58 2.16 6.12 3.57 9.36 5.46 2.19 5.69 0.08 0.0008 0.0426 0.0717 0.0298 0.015 0.0208 0.0604 0.0349 NoDur 4487.1932 -181.6063 125.6173 -283.1886 -2094.245 -1028.616 -913.7313 195501 0.3 0.54 -0.12 0.41 3.49 0.8 1.99 -2.88 1.44 0.89 0.62 0.21 2.25 0.08 0.0008 0.0022 0.0046 0.0341 0.0072 0.0191 -0.0296 0.0136 Durbl -181.6063 1011.191 -322.0822 -16.30791 -480.7168 131.2974 -78.43604 195502 1.53 -1.03 4.17 2.42 4.42 3.99 1.31 2.85 3.64 3.77 3 1.55 0.6 0.09 0.0009 0.0144 -0.0112 0.0433 0.039 0.0122 0.0276 0.0355 HiTec 125.617 -322.0822 1033.668 -42.10289 -362.5904 -467.3569 45.50479 195503 -0.85 0.05 0.36 -0.23 -1.1 -0.19 -1.57 6.09 -0.73 0.93 -0.17 -0.66 1.97 0.1 0.001 -0.0095 -0.0005 -0.012 -0.0029 -0.0167 0.0599 -0.0083 Telcm -283.1886 -16.30791 -42.10289 1405.361 -133.2277 -52.44172 -542.6973 195504 4.07 5.67 4.33 0.58 5.37 1.97 1.83 0.02 2.56 3.43 3.11 -1.84 0.84 0.1 0.001 0.0397 0.0557 0.0527 0.0187 0.0173 -0.0008 0.0246 Shops -2094.245 -480.7168 -362.5904 -133.2277 2492.362 169.3644 241.1967 195505 -0.27 -1.11 3 -0.62 0.07 1.29 2.46 3.15 -0.14 1.63 0.91 -0.22 -0.92 0.14 0.0014 -0.0041 -0.0125 -0.0007 0.0115 0.0232 0.0301 -0.0028 Hlth -1028.616 131.2974 -467.3569 -52.44172 169.3644 1235.071 62.44417 195506 2.49 10.09 9.58 11.2 2.73 0.69 3.99 0.17 1.67 2.37 6.52 -4.71 2.03 0.1 0.001 0.0239 0.0999 0.0263 0.0059 0.0389 0.0007 0.0157 Utils -913.7313 -78.43604 45.50479 -542.6973 241.1967 62.44417 1601.203 195507 2.06 19.61 -1.17 2.76 -2.74 2.61 2.11 0.13 3.76 -1.42 1.9 -1.32 0.62 0.1 0.001 0.0196 0.1951 -0.0284 0.0251 0.0201 0.0003 0.0366 195508 -0.68 -4.27 3.03 -1.1 0.86 -2.44 1.64 0.15 0.1 0.57 0.22 -0.39 0.58 0.16 0.0016 -0.0084 -0.0443 0.007 -0.026 0.0148 -0.0001 -0.0006 Average excess returns NoDur Durbl HiTec Telcm Shops Hlth Utils 195509 -1.58 9.24 -0.75 -0.38 -4.22 1.07 3.09 -3.17 -2.69 -2.7 -0.37 0.31 -1.06 0.16 0.0016 -0.0174 0.0908 -0.0438 0.0091 0.0293 -0.0333 -0.0285 0.00787 0.005457 0.005992 0.005693 0.006942 0.009198 0.004938 195510 -0.83 -4.98 -3.05 -0.99 -5.17 -1.15 -2.46 0.82 -0.97 -2.6 -2.67 1.49 0.02 0.18 0.0018 -0.0101 -0.0516 -0.0535 -0.0133 -0.0264 0.0064 -0.0115 195511 3.5 9.25 8 8.58 10.12 1.63 5.47 6.29 3.33 8.3 7 -2.43 0.48 0.17 0.0017 0.0333 0.0908 0.0995 0.0146 0.053 0.0612 0.0316 Average Rf 0.0046145 195512 1.2 -4.06 2.89 3.7 4.85 0.86 -0.82 6.23 -0.05 -0.65 1.48 2.11 -2.3 0.18 0.0018 0.0102 -0.0424 0.0467 0.0068 -0.01 0.0605 -0.0023 1/λ 0.25 195601 -1.53 -6.74 -4.57 0.54 -5.21 1.87 -3.98 -6.5 -0.29 -2.76 -3.02 0.4 1.14 0.22 0.0022 -0.0175 -0.0696 -0.0543 0.0165 -0.042 -0.0672 -0.0051 Portfolio Weights NoDur Durbl HiTec Telcm Shops Hlth Utils 195602 1.1 5.6 4.88 4.27 6.27 0.16 2.73 8.27 2.01 3.37 3.76 -1.02 -0.51 0.19 0.0019 0.0091 0.0541 0.0608 -0.0003 0.0254 0.0808 0.0182 195603 1.76 3.75 7.72 11.44 10.48 1.43 0.25 7.26 3.82 5.7 6.61 -2.27 -0.4 0.15 0.0015 0.0161 0.036 0.1033 0.0128 0.001 0.0711 0.0367 195604 0.86 -5.15 1.02 3.62 0.09 -0.88 -1.62 2.76 -2.17 0.89 0.28 0.04 -0.1 0.19 0.0019 0.0067 -0.0534 -0.001 -0.0107 -0.0181 0.0257 -0.0236 Portfolio Weights NoDur Durbl HiTec Telcm Shops Hlth Utils 1-sum weights E[SR] SR AUM(bio) CE 195605 -3.25 -4.45 -6.17 -6.37 -5.28 -1.06 -4.27 -1.23 -0.75 -5.4 -5.19 1.44 -1.25 0.23 0.0023 -0.0348 -0.0468 -0.0551 -0.0129 -0.045 -0.0146 -0.0098 M 1.23 -0.112604 -0.351586 0.336085 -0.494615 0.592549 -0.069475 0.13- 195606 0.66 7.02 4.62 2.74 7.12 1.28 2.07 3.6 2.39 1.55 3.47 -1.42 -1.31 0.2 0.002 0.0046 0.0682 0.0692 0.0108 0.0187 0.034 0.0219 S 195607 1.99 4.35 6.06 6 5.28 2.65 4.44 3.09 5.23 2.42 4.83 -1.77 0.12 0.22 0.0022 0.0177 0.0413 0.0506 0.0243 0.0422 0.0287 0.0501 B 195608 -1.38 0.81 -3 -5.27 -3.55 -1.39 -4.07 -3.07 -2.48 -3.55 -3.23 2.29 -1.19 0.17 0.0017 -0.0155 0.0064 -0.0372 -0.0156 -0.0424 -0.0324 -0.0265 195609 -3.23 -1.21 -6.05 -5.81 -6.85 -2.84 -4.62 -3.68 -3.86 -4.4 -5.14 1.63 1.75 0.18 0.0018 -0.0341 -0.0139 -0.0703 -0.0302 -0.048 -0.0386 -0.0404 195610 0.41 -1.01 1.07 0.54 3.25 -1.4 1.11 0.58 1.14 1.11 0.51 -0.11 -0.02 0.25 0.0025 0.0016 -0.0126 0.03 -0.0165 0.0086 0.0033 0.0089 195611 -0.42 -3.44 -0.76 5.31 0.69 1.53 -2.19 -1.3 0.42 0.22 0.36 -0.07 1.66 0.2 0.002 -0.0062 -0.0364 0.0049 0.0133 -0.0239 -0.015 0.0022 195612 1.26 1.04 4.86 4.14 4.44 2.56 -0.29 6.06 1.82 2 3.16 -0.09 -2.05 0.24 0.0024 0.0102 0.008 0.042 0.0232 -0.0053 0.0582 0.0158 195701 1.78 -6.21 -5.86 -4.12 -5.64 2.9 -1.3 -2.27 2.63 -0.55 -3.57 3.65 2.44 0.27 0.0027 0.0151 -0.0648 -0.0591 0.0263 -0.0157 -0.0254 0.0236 195702 -1.41 -1.85 -2.74 -2.27 -0.65 0.33 -0.96 -0.35 -0.3 -2.55 -2.07 -0.77 -0.64 0.24 0.0024 -0.0165 -0.0209 -0.0089 0.0009 -0.012 -0.0059 -0.0054 195703 1.58 0.54 2.03 3.17 4.77 1.51 1.96 8.22 1.71 2.3 2.13 0.22 -0.38 0.23 0.0023 0.0135 0.0031 0.0454 0.0128 0.0173 0.0799 0.0148 195704 1.39 7.95 3.69 6.94 8.39 0.44 0.13 5.43 3.17 3.15 4.25 -1.77 -1.26 0.25 0.0025 0.0114 0.077 0.0814 0.0019 -0.0012 0.0518 0.0292 195705 1.39 1.05 3.17 7.61 5.79 1.04 2.37 4.79 2.25 1.36 3.44 -1.08 -2.06 0.26 0.0026 0.0113 0.0079 0.0553 0.0078 0.0211 0.0453 0.0199 195706 -0.64 0.08 0.34 -1.74 5.26 -2.09 -2 6.46 -5.09 -1.1 -0.75 0.6 -0.09 0.24 0.0024 -0.0088 -0.0016 0.0502 -0.0233 -0.0224 0.0622 -0.0533 195707 0.92 3.64 0.47 1 1.07 -0.24 2.61 2.6 0.02 1.12 0.65 -0.52 -0.01 0.3 0.003 0.0062 0.0334 0.0077 -0.0054 0.0231 0.023 -0.0028 195708 -1.99 -3.09 -6.23 -5.74 -7.04 -0.12 -2.63 -2.98 -2.58 -5.45 -5.11 -0.01 -0.32 0.25 0.0025 -0.0224 -0.0334 -0.0729 -0.0037 -0.0288 -0.0323 -0.0283 195709 -1.14 -7.09 -6.88 -7.97 -6.36 -2.22 0.03 -3.04 -1.73 -6.66 -5.99 0.06 0.91 0.26 0.0026 -0.014 -0.0735 -0.0662 -0.0248 -0.0023 -0.033 -0.0199 195710 -2.12 -3.94 -4.73 -5.76 -1.77 -2.1 -3.49 -0.68 -0.7 -6.87 -4.3 -2.56 -1.8 0.29 0.0029 -0.0241 -0.0423 -0.0206 -0.0239 -0.0378 -0.0097 -0.0099 195711 3.36 -5.26 3.35 2.41 6.46 1.49 1.43 8.58 4.38 0.33 2.28 0.33 -2.78 0.28 0.0028 0.0308 -0.0554
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