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 Exces return: NoDur Durbl HiTec Telcm Shops Hlth Utils Sample Covariance matri 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 5.1 0.47 3.48 0.1 0.0 1 0.0406 0.0518 0.0674 0.0178 0.0294 0.05 4 0.0321 NoDur 0.0 20 0.0 186 0.0 195 0.0 12 0.0 214 0.0 1901 0.0 1 92 1.0 2193 195402 -0.3 1.71 0.95 2.8 5.01 2.58 0.47 -0.19 1.59 1.54 1.6 -0.19 -0.24 0.07 0.0 07 -0.0 37 0.0164 0.0494 0.0251 0.0 4 -0.0 26 0.0152 Durbl 0.0 186 0.0 305 0.0 2351 0.0 1207 0.0 2329 0.0 1791 0.0 1 34 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 0.0 08 0.0129 0.0343 0.0876 0.0164 0.0 43 0.0 2 0.028 HiTec 0.0 195 0.0 235 0.0 3 43 0.0 1259 0.0 2378 0.0 2307 0.0 1 09 195404 0.9 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 0.0 09 0.0 9 0.0401 0.089 0.0187 0.0121 0.01 1 0.01 5 Telcm 0.0 12171 0.0 1207 0.0 1259 0.0 1567 0.0 1345 0.0 1 93 0.0 1 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 0.0 05 0.023 0.04 2 -0.0 46 0.01 8 0.0258 0.0156 0.0259 Shops 0.0 21424 0.0 2329 0.0 2378 0.0 1345 0.0 281 0.0 2046 0.0 12 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 0.0 06 0.0 51 0.01 4 0.0965 0.0 48 0.021 -0.0249 0.0123 Hlth 0.0 190 5 0.0 179 0.0 2307 0.0 1 93 0.0 2046 0.0 279 0.0 109 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 0.0 05 0.0634 0.0979 -0.0 5 0.0431 0.0371 0.0816 0.0536 Utils 0.0 1 923 0.0 1 34 0.0 1 09 0.0 1 0.0 12 2 0.0 1094 0.0 14 1 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 0.0 05 -0.0275 -0.0341 -0.0472 -0.0148 -0.0 01 -0.0261 -0.017 195409 3.8 14.47 6.6 10.01 6.43 2.49 4.38 2.82 2.01 4.32 6.35 -2.5 0.73 0.09 0.0 09 0.0379 0.1438 0.0634 0.024 0.0429 0.0273 0.0192 Variance 0.0 19 89 0.0 305 0.0 3 43 0.0 1567 0.0 281 0.0 279 0.0 14 1 195410 -2.2 -0.76 -1.1 -1.98 -1.97 -0.85 -2.45 -1.62 -3.8 0.59 -1.67 0.57 0.72 0.07 0.0 07 -0.02 9 -0.0 83 -0.0204 -0.0 92 -0.0252 -0.0169 -0.0387 19541 6.09 4.46 13.68 8.04 13.2 3.43 8.32 12.56 5.67 1 .15 9.37 -2.5 4.05 0.06 0.0 06 0.0603 0.04 0.1314 0.03 7 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 0.0 08 0.0426 0.0717 0.0298 0.015 0.0208 0.0604 0.0349 NoDur 4 87.1932 -181.6063 125.6173 -283.18 6 -2094.245 -1028.616 -913.7313 195 01 0.3 0.54 -0.12 0.41 3.49 0.8 1.9 -2.8 1.4 0.89 0.62 0.21 2.25 0.08 0.0 08 0.0 2 0.0 46 0.0341 0.0 72 0.0191 -0.0296 0.0136 Durbl -181.6063 101 .191 -32 .082 -16.30791 -480.7168 131.2974 -78.43604 195 02 1.53 -1.03 4.17 2.42 4.42 3.9 1.31 2.85 3.64 3.7 3 1.5 0.6 0.09 0.0 09 0.014 -0.01 2 0.043 0.039 0.012 0.0276 0.035 HiTec 125.617 -32 .082 103 .6 8 -42.10289 -362.5904 -467.3569 45.50479 195 03 -0.85 0.05 0.36 -0.23 -1.1 -0.19 -1.57 6.09 -0.73 0.93 -0.17 -0.6 1.97 0.1 0.0 1 -0.0 95 -0.0 05 -0.012 -0.0 29 -0.0167 0.059 -0.0 83 Telcm -283.18 6 -16.30791 -42.10289 1405.361 -13 .2 7 -52.4 172 -542.6973 195 04 4.07 5.67 4.3 0.58 5.37 1.97 1.83 0.02 2.56 3.43 3.1 -1.84 0.84 0.1 0.0 1 0.0397 0.05 7 0.0527 0.0187 0.0173 -0.0 08 0.0246 Shops -2094.245 -480.7168 -362.5904 -13 .2 7 2492.362 169.364 241.1967 195 05 -0.27 -1.1 3 -0.62 0.07 1.29 2.46 3.15 -0.14 1.63 0.91 -0.2 -0.92 0.14 0.0 14 -0.0 41 -0.0125 -0.0 07 0.01 5 0.0232 0.0301 -0.0 28 Hlth -1028.616 131.2974 -467.3569 -52.4 172 169.364 1235.071 62.4 417 195 06 2.49 10.09 9.58 1 .2 2.73 0.69 3.9 0.17 1.67 2.37 6.52 -4.71 2.03 0.1 0.0 1 0.0239 0.09 9 0.0263 0.0 59 0.0389 0.0 07 0.0157 Utils -913.7313 -78.43604 45.50479 -542.6973 241.1967 62.4 417 1601.203 195 07 2.06 19.61 -1.17 2.76 -2.74 2.61 2.1 0.13 3.76 -1.42 1.9 -1.32 0.62 0.1 0.0 1 0.0196 0.1951 -0.0284 0.0251 0.0201 0.0 03 0.036 195 08 -0.68 -4.27 3.03 -1.1 0.86 -2.4 1.64 0.15 0.1 0.57 0.2 -0.39 0.58 0.16 0.0 16 -0.0 84 -0.04 3 0.0 7 -0.026 0.0148 -0.0 01 -0.0 06 Average exces returns NoDur Durbl HiTec Telcm Shops Hlth Utils 195 09 -1.58 9.24 -0.75 -0.38 -4.2 1.07 3.09 -3.17 -2.69 -2.7 -0.37 0.31 -1.06 0.16 0.0 16 -0.0174 0.0908 -0.0438 0.0 91 0.0293 -0.03 3 -0.0285 0.0 787 0.0 5457 0.0 59 2 0.0 5693 0.0 6942 0.0 9198 0.0 4938 195 10 -0.83 -4.98 -3.05 -0.9 -5.17 -1.15 -2.46 0.82 -0.97 -2.6 -2.67 1.49 0.02 0.18 0.0 18 -0.0101 -0.0516 -0.0535 -0.013 -0.0264 0.0 64 -0.01 5 195 1 3.5 9.25 8 8.58 10.12 1.63 5.47 6.29 3.3 8.3 7 -2.43 0.48 0.17 0.0 17 0.03 3 0.0908 0.09 5 0.0146 0.053 0.0612 0.0316 Average Rf 0.0 46145 195 12 1.2 -4.06 2.89 3.7 4.85 0.86 -0.82 6.23 -0.05 -0.65 1.48 2.1 -2.3 0.18 0.0 18 0.0102 -0.0424 0.0467 0.0 68 -0.01 0.0605 -0.0 23 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 0.2 0.0 2 -0.0175 -0.0696 -0.0543 0.0165 -0.042 -0.0672 -0.0 51 Portfolio Weights NoDur Durbl HiTec Telcm Shops Hlth Utils 195602 1.1 5.6 4.8 4.27 6.27 0.16 2.73 8.27 2.01 3.37 3.76 -1.02 -0.51 0.19 0.0 19 0.0 91 0.0541 0.0608 -0.0 03 0.0254 0.0808 0.0182 195603 1.76 3.75 7.72 1 .4 10.48 1.43 0.25 7.26 3.82 5.7 6.61 -2.27 -0.4 0.15 0.0 15 0.0161 0.036 0.103 0.0128 0.0 1 0.071 0.0367 195604 0.86 -5.15 1.02 3.62 0.09 -0.8 -1.62 2.76 -2.17 0.89 0.28 0.04 -0.1 0.19 0.0 19 0.0 67 -0.0534 -0.0 1 -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 1.4 -1.25 0.23 0.0 23 -0.0348 -0.0468 -0.05 1 -0.0129 -0.045 -0.0146 -0.0 98 M 1.23 -0.1 2604 -0.351586 0.3 6085 -0.494615 0.592549 -0.069475 0.13- 195606 0.6 7.02 4.62 2.74 7.12 1.28 2.07 3.6 2.39 1.5 3.47 -1.42 -1.31 0.2 0.0 2 0.0 46 0.0682 0.0692 0.0108 0.0187 0.034 0.0219 S 195607 1.9 4.35 6.06 6 5.28 2.65 4.4 3.09 5.23 2.42 4.83 -1.7 0.12 0.2 0.0 2 0.017 0.0413 0.0506 0.0243 0.042 0.0287 0.0501 B 195608 -1.38 0.81 -3 -5.27 -3.5 -1.39 -4.07 -3.07 -2.48 -3.5 -3.23 2.29 -1.19 0.17 0.0 17 -0.015 0.0 64 -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 0.0 18 -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 1.1 0.58 1.14 1.1 0.51 -0.1 -0.02 0.25 0.0 25 0.0 16 -0.0126 0.03 -0.0165 0.0 86 0.0 3 0.0 89 19561 -0.42 -3.4 -0.76 5.31 0.69 1.53 -2.19 -1.3 0.42 0.2 0.36 -0.07 1.6 0.2 0.0 2 -0.0 62 -0.0364 0.0 49 0.013 -0.0239 -0.015 0.0 2 195612 1.26 1.04 4.86 4.14 4.4 2.56 -0.29 6.06 1.82 2 3.16 -0.09 -2.05 0.24 0.0 24 0.0102 0.0 8 0.042 0.0232 -0.0 53 0.0582 0.0158 195701 1.78 -6.21 -5.86 -4.12 -5.64 2.9 -1.3 -2.27 2.63 -0.5 -3.57 3.65 2.4 0.27 0.0 27 0.0151 -0.0648 -0.0591 0.0263 -0.0157 -0.0254 0.0236 195702 -1.41 -1.85 -2.74 -2.27
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