0242435 0019645 00196462 00252441 00041184 001263189

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Unformatted text preview: -0.019645 -0.0196462 0.0252441 -0.0041184 0.01263189 0.0004892 0.0184514 0.0263464 0.0276088 0.0099641 0.0043602 0.0170441 0.0173616 -0.0065371 0.0092141 -0.0022878 0.0064893 0.02977733 0.0025753 0.0159952 0.0188295 0.0097058 -0.0243372 -0.0160737 -0.0137794 0.0218119 0.0018865 -0.0018089 0.0067134 -0.0197415 -0.0210726 -0.007473 -0.0120466 0.0014263 0.0239402 0.0012423 -0.0009157 -0.0145524 0.0163307 0.0190818 0.0185303 0.015832 -0.0177551 -0.0016234 -0.0018611 0.0006748 -0.0045438 -0.0105693 -0.0177627 -0.0210977 -0.0037232 -0.0064429 -0.0078135 -0.0123265 0.0293881 0.0252434 0.0246973 -0.001432 0.0034694 0.0057934 0.0141302 0.0263445 -0.0192724 -0.0015676 0.0020457 -0.0098002 0.0264962 0.002136 0.0077219 0.0033082 0.0040931 0.0095825 0.0103832 0.0199341 -0.011872 -0.0013173 -0.004409 -0.0094789 -0.0094061 -0.0155208 -0.0255639 -0.0210883 0.0071942 0.0089564 0.0040745 -0.0050871 0.0037853 -0.0077491 0.0073989 0.0048322 -0.0154813 -0.0008433 -0.0010733 0.0112171 -0.0113978 -0.0238156 -0.0260855 -0.0228173 0.0060695 0.0096609 0.0076348 -0.0010385 0.0011193 -0.0002979 -0.0140316 -0.0077406 0.0173094 0.0252132 0.0222645 -0.0067573 -0.0185061 -0.006339 -0.0072493 0.0088954 0.0078543 0.0104923 0.001037 -0.0020151 0.018489 0.0132233 0.0202169 0.0011989 -0.0146502 0.0063201 0.0047316 0.0238576 -0.0023069 -0.0028208 0.0125976 -0.0354475 0.0013858 -0.0215276 -0.0202553 0.006354 -0.0298841 -0.0250195 -0.0321826 -0.0103967 0.0029254 -0.0226404 -0.0249419 -0.0275075 0.0258249 0.0392314 0.0341986 0.0337555 -0.024326 -0.0056369 -0.0107922 -0.0177283 0.0034005 -0.0091218 -0.0022547 -0.0043562 0.0146234 -0.0089076 -0.0080749 -0.019773 -0.001025 0.018483 0.0196725 0.0092758 -0.0317782 -0.0722026 -0.0566073 -0.0495335 -0.0406329 -0.0225247 -0.0213559 0.0120649 0.0386469 -0.0065956 -0.0105622 -0.0221698 0.0334628 0.0883811 0.0927294 0.0375619 -0.0327306 -0.0141208 -0.0234365 0.0142381 -0.0172953 -0.0268701 -0.0258008 0.0020214 0.0181882 0.0198995 0.0272862 -0.0089558 CORRELATIONS (Calculated using the Correlation Tool) Column 1 Column 2 Column 3 Column 4 Column 1 Column 2 Column 3 Column 4 1 0.5340906 1 0.5690653 0.9263209 1 0.1243885 0.4015798 0.4085776 1 COVARIANCES (Calculated using the Covariance Tool) Column 1 Column 2 Column 3 Column 4 Std Devs alpha's Variance-Covariance Portfolio Variance Column 1 Column 2 Column 3 Column 4 0.0001227 7.597E-005 0.0001649 8.446E-005 0.0001594 0.0001795 2.023E-005 7.571E-005 8.038E-005 0.0002156 0.0110773 0.0128404 0.0133988 0.0146831 3000 3000 1000 3000 0.0001227 0.0000760 0.0000845 0.0000202 0.0000760 0.0001649 0.0001594 0.0000757 0.0000845 0.0001594 0.0001795 0.0000804 0.0000202 0.0000757 0.0000804 0.0002156 9747.8129 Portfolio SD 98.731013 One-Day 99% VaR 229.68268 2.3263479 alpha's 3000 3000 1000 3000 Day 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75...
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This document was uploaded on 04/10/2014.

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