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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- Winter '09
- WER
- -1, 1.96, 0.99, Hitec, -4.12
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