#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?#NAME?MealsSharpe Ratio0.77Optimal Portfolio0.55Riskfree asset1.550.55
omnal ServicessAssets
Variance Covariance MatrixShipsTelecomPersonal ServicesOilShips0.06900.02160.02930.0239Telecom0.02160.03240.01740.0132Personal Services0.02930.01740.04270.0139Oil0.02390.01320.01390.0338Meals0.02590.01600.01950.0126Coal0.03510.01880.02180.0421Expected Return15.68%8.66%9.42%11.57%SD26.27%18.00%20.67%18.40%Sharpe Ratio48.01%31.08%30.77%46.25%Using SolverAllocated IndustriesAnnualized valuesShipsTelecomPersonal ServicesOilExpected Return12.96%7.26%7.52%10.35%Standard Deviation26.27%18.00%20.67%18.40%a.(with Short-Selling)5 IndustriesShipsTelecomPersonal ServicesOilWeights2.83%3.86%-6.16%39.23%b.(with Short-Selling)5 Industries + Risk-FreeShipsTelecomPersonal ServicesOilWeights12.20%-11.21%-17.77%35.98%c.(without Short-Selling)5 IndustriesShipsTelecomPersonal ServicesOilWeights5.57%0.00%0.00%36.10%d.5 Industries + Extra IndustryShipsTelecomPersonal ServicesOil
Weights5.57%0.00%0.00%36.10%
MealsCoali0.02590.035110.01600.018810.01950.021810.01260.042110.02930.017110.01710.1659112.14%3.02%17.13%0.66%53.01%-6.05%Desired ReturnMealsRFExtra Industry (Coal)11%11.21%3.06%7.11%17.13%0.00%40.73%MealsConstrainE(rp)11.00%60.24%100%Standard Deviation14.96%Sharpe Ratio0.5304MealsRFConstrainE(rp)11.00%65.88%15%100%Standard Deviation14.56%Sharpe Ratio0.5451MealsConstrainE(rp)11.00%58.33%100%Standard Deviation15.02%Sharpe Ratio0.5283MealsExtra IndustryConstrainE(rp)11.00%
58.33%0.00%100%Standard Deviation15.02%Sharpe Ratio0.5283
ScalarsgA5.6848277618Ships-0.898001803B0.7850335606Telecom1.01311096879C53.5716555424Personal Services0.66256312044D9.73828081626Oil-0.1353030628Meals-0.0496862458Risk free0.40731702242Annualize dataAllocated Industries12Annualized valuesShipsTelecom3.464Expected Return12.96%7.26%Standard Deviation26.27%18.00%SR37.67%23.31%11%111%111%111%1
h7.3053046365-7.01321532693-4.905966645225.076434436153.84671539576-4.30927249625Personal ServicesOilMealsExtra IndustryRF7.52%10.35%11.21%7.11%3.06%20.67%18.40%17.13%40.73%0.00%21.57%39.63%47.58%9.93%
In-Sample (annualized)ShipsTelecomExpected Return year12.96%7.26%SD year26.27%18.00%5b(with Short-Selling)5 Industries +ShipsTelecomWeights12.20%-11.21%Holdout-Sample (annualized)ShipsTelecomExpected Return6.38%8.41%Standard Deviation23.33%13.35%Re-scaled weights5 IndustShipsTelecomWeights14.33%-13.17%Tangency PortfolioGeometric Average Excess Return (annua10.14%Standard deviation (year)16.58%Sharpe Ratio (year)0.4267Skewness-7.90%Kurtosis3.06%DateReturn_ ShipsReturn_Telcm01-2015-2.21%-4.90%02-201518.24%9.10%03-20150.67%-2.21%04-2015-7.47%3.40%05-20153.06%0.81%06-2015-9.17%-0.51%07-20155.11%1.41%08-2015-4.97%-8.42%09-2015-9.94%-2.61%10-20157.49%8.85%11-20151.31%-1.92%12-2015-8.83%-3.02%01-2016-6.32%-0.36%
02-2016-1.04%1.17%03-20169.05%6.02%04-20165.50%0.60%05-2016-2.23%0.30%06-20160.37%3.12%07-20165.15%2.29%08-20163.06%-3.55%09-2016-0.29%0.54%10-2016-3.09%-2.83%11-201615.06%6.26%12-20161.40%4.68%01-20172.96%3.40%02-20171.70%-0.07%03-2017-4.16%0.83%04-20173.11%-0.12%05-2017-2.16%-1.92%06-20174.43%-2.27%07-2017-3.05%5.30%08-20170.38%-2.56%09-20177.88%-1.68%10-20172.24%-5.74%11-20173.45%3.72%12-20171.55%4.59%01-2018-1.33%3.18%02-20182.97%-7.32%03-2018-0.82%-2.52%04-2018-0.52%-2.42%05-20182.96%-0.93%06-2018-0.27%6.23%07-20188.88%2.70%08-20181.16%2.94%09-20182.46%1.75%10-2018-16.96%-0.53%11-20187.37%2.53%12-2018-18.24%-8.86%01-20196.41%5.69%02-20193.06%3.32%03-2019-3.62%0.30%04-20194.07%6.34%05-2019-11.50%-3.05%06-201910.44%5.03%07-20191.50%1.86%08-2019-9.77%0.43%09-20194.50%1.30%10-20191.72%2.23%
11-201911.20%1.75%12-20190.69%1.23%
Personal ServicesOilMealsRF7.52%10.35%11.21%3.06%20.67%18.40%17.13%0.00%+ Risk-FreePersonal ServicesOilMealsRFConstraintE(rp)-17.77%35.98%65.88%14.92%100% Standard DeviatiSharpe RatioPersonal ServicesOilMeals2.57%-2.03%15.14%14.01%21.21%11.56%triesPersonal ServicesOilMealsConstrainE(rp)10.14%-20.88%42.29%77.43%100.00%Standard Dev16.58%Sharpe Ratio0.42668614073PerSvOilMealsRescale Tangency Portfolio-6.95%-4.28%0.66%0.48%5.64%4.74%6.82%7.52%-2.70%-2.54%-0.29%-0.35%-3.24%6.96%0.51%2.50%0.18%-5.03%1.56%-0.62%-3.69%-3.74%0.29%-1.83%2.25%-8.95%4.17%-0.48%-1.28%-3.69%-6.48%-5.91%-1.53%-5.66%0.44%-2.81%4.41%12.54%5.05%8.20%-3.96%1.06%-1.01%0.93%-6.66%-9.76%-0.94%-4.33%-9.08%-4.64%-0.93%-1.64%
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Term
Spring
Professor
Pedro SC
Tags
following sheets
