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

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