8023e 005 42433e 005 22206e 006 0000165 56587e 005

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Unformatted text preview: 2.1125E-006 0.000179 5.1764E-005 5.1700E-005 0.000064197 9.1257E-006 0.0001921 5.5158E-005 6.1100E-005 0.000119171 -1.5312E-005 0.0002144 3.3717E-005 3.7018E-005 0.000114602 -8.2257E-006 0.0003093 0.000118268 0.000107458 0.000102638 -7.4519E-006 0.0003446 0.000112861 0.000101462 0.000117896 -1.0867E-005 0.0003299 9.8355E-005 8.7000E-005 0.000114537 0.000018374 0.0003006 0.000100714 9.2671E-005 0.000107056 1.8959E-005 0.000404 0.000172021 0.000148064 0.000130208 -8.1324E-005 0.0004289 -3.5007E-005 0.000032267 0.000119341 -6.3483E-005 0.0003876 -2.4324E-005 4.9062E-005 0.000106572 -5.9629E-005 0.0003493 -2.0585E-005 0.000048012 0.000116269 -0.000053715 0.0003475 -1.8606E-005 4.3130E-005 0.00010464 -4.8393E-005 0.0003128 -1.6365E-005 4.1262E-005 0.000103183 -4.8013E-005 0.0002846 -1.6274E-005 0.000033694 0.000135929 -4.9183E-005 0.0002885 -1.9140E-005 0.000026272 0.000138227 -7.6259E-005 0.0002638 -2.5517E-005 9.5206E-006 0.000119407 -7.1983E-005 0.0002545 -0.000011507 2.0134E-005 0.000118745 -4.1675E-005 0.0002475 2.7427E-005 5.0376E-005 0.000108078 -4.3626E-005 0.0002248 1.4225E-005 4.3751E-005 0.000120044 -2.2251E-005 0.0002379 3.9352E-005 7.3460E-005 0.000110004 -1.7373E-005 0.0002172 3.9560E-005 6.8869E-005 0.000148151 -1.2031E-007 0.0002463 5.1645E-005 0.000083774 0.000132448 -2.5530E-006 0.000229 6.6914E-005 9.3214E-005 0.000142823 7.5336E-006 0.0002472 7.7308E-005 9.6171E-005 0.000127873 7.4146E-006 0.0002246 6.7529E-005 8.3878E-005 0.000125633 8.1699E-006 0.0002118 6.2143E-005 7.7061E-005 0.000112431 9.8962E-006 0.0001963 3.3239E-005 5.9949E-005 0.000105347 -3.5683E-005 0.0001765 3.1841E-005 5.0152E-005 0.000112941 -1.1775E-005 0.0002508 0.000131832 0.000165111 0.000104243 -1.1294E-005 0.0002293 0.000117704 0.000147155 9.4631E-005 -1.2559E-005 0.0002072 0.000103278 0.000131151 8.8282E-005 -1.2946E-005 0.0001961 8.7890E-005 0.0001123762 8.5749E-005 -1.0154E-005 0.0001814 8.0271E-005 0.000102946 7.9050E-005 -3.0911E-006 0.0001695 9.2269E-005 0.00011071 7.1529E-005 -2.4380E-006 0.0001535 8.3877E-005 0.000100491 7.8287E-005 2.7649E-006 0.0001443 7.7677E-005 9.4058E-005 alpha's 3000 Variance-Covariance 3000 1000 3000 0.0006175 0.0005773 0.0005814 0.0000885 0.0005773 0.0012258 0.0011963 0.0005544 0.0005814 0.0011963 0.0012121 0.0005111 0.0000885 0.0005544 0.0005111 0.0004918 Standard Deviations 0.02485 0.0350108 0.0348149 Portfolio Variance 0.0221771 57926.204 Portfolio SD 240.67863 2.3263479 One-Day 99% VaR Correl Matrix 559.90222 0.022127 0.0301106 0.0299759 0.0205709 0.022127 0.0301106 0.0299759 0.0205709 1.261 0.867 0.877 0.194 0.867 1.352 1.325 0.895 0.877 1.325 1.349 0.829 0.194 0.895 0.829 1.162 alpha's 3000 3000 1000 3000...
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This document was uploaded on 04/10/2014.

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