Diversification Effect

reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New Y

2 classification #20501
V3
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not relate
Hanyang Financial Engineering Lab.
but it should be related to the marginal increase of the
Hanyang University
input initial wealth, the number of trials, the numb
leesb@hanyang.ac.kr
output expected payoff, standard deviation
Apr-04
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2004

Descriptions
financial model class
issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words
Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

http://finance.yahoo.com
N/A

Numerical example 1
Inputs
initial wealth (w)
the number of trials (n)
probability of landing on head (p)

100
2
0.5

n 10
0p1

Outputs
the number of heads (k)
0kn
payoff
probability of k heads = nCk pk(1-p)n-k
expected payoff
100
expected squared payoff
15000
variance
5000
standard deviation
70.7107
Numerical example 2
Inputs
the number of trial
probability of landing on head (p)

100
0.5

Outputs
expected payoff
standard deviation
Interim Calculations

100
10

0
0
0.25
0
0

1
100
0.5
50
5000

2
200
0.25
50
10000

3
N/A
N/A
0
0

4
N/A
N/A
0
0

5
N/A
N/A
0
0

expected payoff
standard deviation

2wp
2w p(1-p)/n

hts reserved by Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

sk premium assigned to the stock is not related to the standard deviation,

uld be related to the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.
initial wealth, the number of trials, the number of heads, probability of landing on head
expected payoff, standard deviation

l of Finance , Vol.7, No.1, 77-91.

" by Thomas S.Y. Ho and Sang Bin Lee, 2004, Oxford University Press

6
N/A
N/A
0
0

7
N/A
N/A
0
0

8
N/A
N/A
0
0

9
N/A
N/A
0
0

10
N/A
N/A
0
0

Diversification Effect
reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New York, N
2 classification #20503
1.0
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not related to the
Hanyang Financial Engineering Lab. but it should be related to the marginal increase of the risk to
Hanyang University
input stock price
leesb@hanyang.ac.kr
output average risk of portfolio with k securities, market ris
Apr-04
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2003, Oxf

Descriptions
financial model class
issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words
Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

http://finance.yahoo.com
N/A

Inputs
Stock Price
11-Nov
12-Nov
13-Nov
14-Nov
15-Nov
18-Nov
19-Nov
20-Nov
21-Nov
22-Nov
25-Nov
26-Nov
27-Nov
29-Nov
2-Dec
3-Dec
5-Dec
6-Dec
9-Dec
10-Dec
11-Dec
12-Dec
13-Dec
16-Dec
17-Dec
18-Dec
19-Dec
20-Dec
23-Dec
24-Dec
26-Dec
27-Dec

JP
37.83
38.67
39.01
37.98
38.18
38.73
39.14
38.98
38.31
37.04
38.02
38.15
37.60
37.42
36.84
36.94
36.53
37.14
37.44
37.48
37.15
37.83
37.52
37.37
36.89
37.80
37.97
38.01
38.21
37.54
38.30
38.11

Q
3.88
3.71
3.79
3.63
3.90
4.33
4.64
4.62
4.99
4.96
4.83
4.84
4.66
4.62
4.43
4.34
4.26
4.72
4.64
4.39
4.28
4.42
5.00
4.85
5.07
5.30
5.69
5.41
5.34
5.09
5.10
5.00

ABK
56.46
55.82
57.63
56.17
57.21
58.68
59.33
61.10
61.42
59.65
61.35
62.33
61.62
60.55
59.98
59.43
57.95
59.15
60.07
59.21
58.15
58.70
57.62
56.86
56.89
57.62
57.00
56.81
56.40
55.25
56.69
56.15

CVS
26.62
27.86
28.06
27.26
27.09
27.04
25.94
26.01
26.09
25.97
26.84
26.82
26.56
26.36
26.48
26.93
26.33
26.99
26.60
26.25
25.43
25.37
25.24
24.90
24.54
24.73
24.24
24.37
24.34
23.94
24.40
24.91

KEY
23.84
24.67
24.86
24.29
24.27
25.46
25.59
25.82
25.81
25.43
26.33
26.09
25.84
25.48
25.12
25.45
24.98
25.39
25.30
25.07
25.16
25.95
25.60
25.29
25.19
25.44
25.45
25.28
25.29
24.95
25.18
25.14

RATI
7.87
8.80
8.68
8.26
8.01
8.82
10.01
9.86
9.82
8.99
9.40
9.25
9.02
8.73
8.17
10.29
10.28
10.29
10.54
10.45
10.42
10.43
10.39
10.35
10.35
10.32
10.40
10.40
10.41
10.40
10.38
10.39

ADBE
27.12
28.05
28.94
27.79
27.38
28.39
30.19
29.80
30.27
28.86
29.97
29.52
28.74
27.68
25.84
26.08
24.85
26.00
25.93
25.86
25.78
26.55
26.83
26.02
25.53
25.73
26.54
26.22
25.68
25.17
24.88
24.79

30-Dec
31-Dec
2-Jan
3-Jan
6-Jan
7-Jan
8-Jan
9-Jan
10-Jan
13-Jan
14-Jan
15-Jan
16-Jan
17-Jan
21-Jan
22-Jan
23-Jan
24-Jan
27-Jan
28-Jan
29-Jan
30-Jan
31-Jan
3-Feb
4-Feb
5-Feb

39.38
39.31
40.62
40.07
39.85
40.60
40.48
40.55
40.78
40.02
39.64
39.84
39.47
39.22
39.56
38.33
37.95
38.26
38.46
37.85
38.50
38.19
37.91
38.24
37.51
37.12

5.35
5.38
5.93
5.93
5.51
5.75
5.75
5.86
6.02
5.94
5.63
5.47
5.18
5.44
5.16
4.95
4.52
4.49
4.64
4.53
4.52
4.52
4.55
4.54
4.40
4.22

57.71
57.47
58.97
58.13
57.11
58.69
58.19
58.20
58.91
57.75
56.61
56.41
55.42
54.66
55.56
53.32
52.52
53.13
54.05
53.42
53.49
53.42
51.62
51.87
50.80
50.35

25.35
25.83
25.56
24.91
24.89
25.37
25.25
25.35
25.53
25.05
25.47
25.30
24.72
24.51
24.21
23.80
23.20
23.55
22.69
21.99
22.62
23.34
24.55
25.00
25.10
24.90

25.92
25.68
26.77
26.68
26.43
27.00
26.77
26.80
27.00
25.80
25.36
24.98
24.70
24.41
24.60
23.96
23.82
23.91
24.02
23.50
24.05
24.16
24.12
23.84
23.84
23.59

10.39
10.39
10.37
10.42
10.41
10.38
10.38
10.38
10.39
10.38
10.37
10.35
10.37
10.40
10.42
10.40
10.41
10.42
10.41
10.41
10.40
10.40
10.41
10.40
10.39
10.39

25.59
26.29
27.50
28.51
27.13
28.24
28.65
28.55
29.11
27.97
27.20
25.86
25.67
25.78
26.81
25.87
25.81
26.68
26.71
26.42
26.42
27.06
26.43
26.52
26.52
26.14

8.6547%

8.1853%

7.8500%

7.5985%

5.8382%

5.8382%

5.8382%

5.8382%

Outputs
the number of stocks (k)
1
2
3
4
average risk of portfolio with k
19.9207% 12.8794% 10.5324% 9.3588%
securities
market risk

5.8382%

5.8382%

5.8382%

5.8382%

The average risk of a portfolio made up of k securities out of the market portfolio is

1
k 1
2 i2
ij
k
k
where

i2

= the average of variance of all the individual stocks which comprise the market portfolio

ij = the average of covariance of all the individual stocks which comprise the market portfolio
Diversification Effect
25.00%

20.00%

average risk of
portfolio with k
securities
market risk

15.00%
10.00%
5.00%

0.00%
1 3

5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39

the number of securities

Interim Calculations
Step 1

Calculate stock returns

12-Nov
13-Nov
14-Nov
15-Nov
18-Nov
19-Nov
20-Nov
21-Nov
22-Nov
25-Nov
26-Nov
27-Nov
29-Nov
2-Dec
3-Dec
5-Dec
6-Dec
9-Dec
10-Dec
11-Dec
12-Dec
13-Dec
16-Dec
17-Dec
18-Dec
19-Dec
20-Dec
23-Dec
24-Dec
26-Dec
27-Dec
30-Dec
31-Dec
2-Jan
3-Jan
6-Jan
7-Jan
8-Jan
9-Jan
10-Jan
13-Jan
14-Jan
15-Jan
16-Jan
17-Jan
21-Jan
22-Jan
23-Jan

JP
0.0222
0.0088
-0.0264
0.0053
0.0144
0.0106
-0.0041
-0.0172
-0.0332
0.0265
0.0034
-0.0144
-0.0048
-0.0155
0.0027
-0.0111
0.0167
0.0081
0.0011
-0.0088
0.0183
-0.0082
-0.0040
-0.0128
0.0247
0.0045
0.0011
0.0053
-0.0175
0.0202
-0.0050
0.0333
-0.0018
0.0333
-0.0135
-0.0055
0.0188
-0.0030
0.0017
0.0057
-0.0186
-0.0095
0.0050
-0.0093
-0.0063
0.0087
-0.0311
-0.0099

Q
-0.0438
0.0216
-0.0422
0.0744
0.1103
0.0716
-0.0043
0.0801
-0.0060
-0.0262
0.0021
-0.0372
-0.0086
-0.0411
-0.0203
-0.0184
0.1080
-0.0169
-0.0539
-0.0251
0.0327
0.1312
-0.0300
0.0454
0.0454
0.0736
-0.0492
-0.0129
-0.0468
0.0020
-0.0196
0.0700
0.0056
0.1022
0.0000
-0.0708
0.0436
0.0000
0.0191
0.0273
-0.0133
-0.0522
-0.0284
-0.0530
0.0502
-0.0515
-0.0407
-0.0869

ABK
-0.0113
0.0324
-0.0253
0.0185
0.0257
0.0111
0.0298
0.0052
-0.0288
0.0285
0.0160
-0.0114
-0.0174
-0.0094
-0.0092
-0.0249
0.0207
0.0156
-0.0143
-0.0179
0.0095
-0.0184
-0.0132
0.0005
0.0128
-0.0108
-0.0033
-0.0072
-0.0204
0.0261
-0.0095
0.0278
-0.0042
0.0261
-0.0142
-0.0175
0.0277
-0.0085
0.0002
0.0122
-0.0197
-0.0197
-0.0035
-0.0176
-0.0137
0.0165
-0.0403
-0.0150

CVS
0.0466
0.0072
-0.0285
-0.0062
-0.0018
-0.0407
0.0027
0.0031
-0.0046
0.0335
-0.0007
-0.0097
-0.0075
0.0046
0.0170
-0.0223
0.0251
-0.0144
-0.0132
-0.0312
-0.0024
-0.0051
-0.0135
-0.0145
0.0077
-0.0198
0.0054
-0.0012
-0.0164
0.0192
0.0209
0.0177
0.0189
-0.0105
-0.0254
-0.0008
0.0193
-0.0047
0.0040
0.0071
-0.0188
0.0168
-0.0067
-0.0229
-0.0085
-0.0122
-0.0169
-0.0252

KEY
0.0348
0.0077
-0.0229
-0.0008
0.0490
0.0051
0.0090
-0.0004
-0.0147
0.0354
-0.0091
-0.0096
-0.0139
-0.0141
0.0131
-0.0185
0.0164
-0.0035
-0.0091
0.0036
0.0314
-0.0135
-0.0121
-0.0040
0.0099
0.0004
-0.0067
0.0004
-0.0134
0.0092
-0.0016
0.0310
-0.0093
0.0424
-0.0034
-0.0094
0.0216
-0.0085
0.0011
0.0075
-0.0444
-0.0171
-0.0150
-0.0112
-0.0117
0.0078
-0.0260
-0.0058

RATI
0.1182
-0.0136
-0.0484
-0.0303
0.1011
0.1349
-0.0150
-0.0041
-0.0845
0.0456
-0.0160
-0.0249
-0.0322
-0.0641
0.2595
-0.0010
0.0010
0.0243
-0.0085
-0.0029
0.0010
-0.0038
-0.0038
0.0000
-0.0029
0.0078
0.0000
0.0010
-0.0010
-0.0019
0.0010
0.0000
0.0000
-0.0019
0.0048
-0.0010
-0.0029
0.0000
0.0000
0.0010
-0.0010
-0.0010
-0.0019
0.0019
0.0029
0.0019
-0.0019
0.0010

ADBE
0.0343
0.0317
-0.0397
-0.0148
0.0369
0.0634
-0.0129
0.0158
-0.0466
0.0385
-0.0150
-0.0264
-0.0369
-0.0665
0.0093
-0.0472
0.0463
-0.0027
-0.0027
-0.0031
0.0299
0.0105
-0.0302
-0.0188
0.0078
0.0315
-0.0121
-0.0206
-0.0199
-0.0115
-0.0036
0.0323
0.0274
0.0460
0.0367
-0.0484
0.0409
0.0145
-0.0035
0.0196
-0.0392
-0.0275
-0.0493
-0.0073
0.0043
0.0400
-0.0351
-0.0023

24-Jan
27-Jan
28-Jan
29-Jan
30-Jan
31-Jan
3-Feb
4-Feb
5-Feb

Step 2

-0.0066
0.0334
-0.0237
-0.0022
0.0000
0.0066
-0.0022
-0.0308
-0.0409

0.0116
0.0173
-0.0117
0.0013
-0.0013
-0.0337
0.0048
-0.0206
-0.0089

0.0151
-0.0365
-0.0309
0.0286
0.0318
0.0518
0.0183
0.0040
-0.0080

0.0038
0.0046
-0.0216
0.0234
0.0046
-0.0017
-0.0116
0.0000
-0.0105

0.0010
-0.0010
0.0000
-0.0010
0.0000
0.0010
-0.0010
-0.0010
0.0000

0.0337
0.0011
-0.0109
0.0000
0.0242
-0.0233
0.0034
0.0000
-0.0143

Calculate average returns of each asset

mean

Step 3

0.0082
0.0052
-0.0159
0.0172
-0.0081
-0.0073
0.0087
-0.0191
-0.0104

-0.0002

0.0026

-0.0018

-0.0010

0.0000

0.0059

-0.0002

ABK
-0.0095
0.0343
-0.0235
0.0204
0.0275
0.0129
0.0317
0.0071
-0.0270
0.0303
0.0178
-0.0095
-0.0155
-0.0076
-0.0073
-0.0231
0.0226
0.0174
-0.0125
-0.0161
0.0113
-0.0166
-0.0113
0.0024
0.0147
-0.0089
-0.0015
-0.0054
-0.0185
0.0279
-0.0077
0.0296
-0.0023
0.0279
-0.0124
-0.0157
0.0295
-0.0067
0.0020
0.0140

CVS
0.0476
0.0082
-0.0275
-0.0053
-0.0009
-0.0397
0.0037
0.0041
-0.0036
0.0345
0.0002
-0.0087
-0.0066
0.0055
0.0180
-0.0213
0.0260
-0.0135
-0.0122
-0.0303
-0.0014
-0.0041
-0.0125
-0.0135
0.0087
-0.0188
0.0063
-0.0003
-0.0155
0.0202
0.0219
0.0186
0.0199
-0.0095
-0.0245
0.0002
0.0203
-0.0038
0.0049
0.0081

KEY
0.0348
0.0077
-0.0229
-0.0008
0.0491
0.0051
0.0090
-0.0004
-0.0147
0.0354
-0.0091
-0.0095
-0.0139
-0.0141
0.0132
-0.0184
0.0164
-0.0035
-0.0091
0.0036
0.0314
-0.0135
-0.0121
-0.0039
0.0100
0.0004
-0.0066
0.0004
-0.0134
0.0093
-0.0016
0.0311
-0.0092
0.0425
-0.0033
-0.0093
0.0216
-0.0085
0.0012
0.0075

RATI
0.1123
-0.0195
-0.0543
-0.0362
0.0952
0.1290
-0.0209
-0.0100
-0.0904
0.0397
-0.0219
-0.0308
-0.0381
-0.0700
0.2536
-0.0069
-0.0049
0.0184
-0.0144
-0.0088
-0.0049
-0.0097
-0.0098
-0.0059
-0.0088
0.0018
-0.0059
-0.0049
-0.0069
-0.0078
-0.0049
-0.0059
-0.0059
-0.0078
-0.0011
-0.0069
-0.0088
-0.0059
-0.0059
-0.0049

ADBE
0.0345
0.0319
-0.0395
-0.0145
0.0371
0.0636
-0.0127
0.0160
-0.0464
0.0387
-0.0148
-0.0262
-0.0367
-0.0663
0.0095
-0.0469
0.0465
-0.0025
-0.0025
-0.0029
0.0301
0.0108
-0.0300
-0.0186
0.0080
0.0317
-0.0118
-0.0204
-0.0196
-0.0113
-0.0034
0.0325
0.0276
0.0462
0.0369
-0.0482
0.0411
0.0147
-0.0033
0.0198

Calculate excess returns

12-Nov
13-Nov
14-Nov
15-Nov
18-Nov
19-Nov
20-Nov
21-Nov
22-Nov
25-Nov
26-Nov
27-Nov
29-Nov
2-Dec
3-Dec
5-Dec
6-Dec
9-Dec
10-Dec
11-Dec
12-Dec
13-Dec
16-Dec
17-Dec
18-Dec
19-Dec
20-Dec
23-Dec
24-Dec
26-Dec
27-Dec
30-Dec
31-Dec
2-Jan
3-Jan
6-Jan
7-Jan
8-Jan
9-Jan
10-Jan

JP
0.0224
0.0090
-0.0262
0.0055
0.0146
0.0108
-0.0039
-0.0170
-0.0329
0.0267
0.0036
-0.0142
-0.0046
-0.0153
0.0029
-0.0109
0.0169
0.0083
0.0013
-0.0086
0.0185
-0.0080
-0.0038
-0.0126
0.0249
0.0047
0.0013
0.0055
-0.0173
0.0205
-0.0047
0.0335
-0.0016
0.0335
-0.0133
-0.0053
0.0190
-0.0027
0.0020
0.0059

Q
-0.0465
0.0189
-0.0449
0.0717
0.1076
0.0690
-0.0069
0.0775
-0.0086
-0.0288
-0.0006
-0.0398
-0.0112
-0.0438
-0.0230
-0.0211
0.1053
-0.0196
-0.0565
-0.0277
0.0301
0.1286
-0.0326
0.0427
0.0427
0.0709
-0.0518
-0.0156
-0.0495
-0.0007
-0.0222
0.0674
0.0030
0.0996
-0.0026
-0.0735
0.0409
-0.0026
0.0165
0.0247

13-Jan
14-Jan
15-Jan
16-Jan
17-Jan
21-Jan
22-Jan
23-Jan
24-Jan
27-Jan
28-Jan
29-Jan
30-Jan
31-Jan
3-Feb
4-Feb
5-Feb

Step 4

-0.0184
-0.0093
0.0053
-0.0091
-0.0061
0.0089
-0.0309
-0.0097
0.0084
0.0054
-0.0156
0.0174
-0.0078
-0.0071
0.0089
-0.0189
-0.0102

-0.0159
-0.0548
-0.0311
-0.0557
0.0476
-0.0541
-0.0433
-0.0895
-0.0093
0.0308
-0.0263
-0.0048
-0.0026
0.0040
-0.0048
-0.0335
-0.0435

-0.0178
-0.0179
-0.0017
-0.0157
-0.0119
0.0183
-0.0385
-0.0132
0.0135
0.0192
-0.0098
0.0032
0.0005
-0.0319
0.0067
-0.0188
-0.0070

-0.0178
0.0177
-0.0057
-0.0219
-0.0075
-0.0113
-0.0160
-0.0242
0.0161
-0.0355
-0.0299
0.0296
0.0328
0.0528
0.0193
0.0050
-0.0070

-0.0444
-0.0170
-0.0150
-0.0112
-0.0117
0.0078
-0.0260
-0.0058
0.0038
0.0046
-0.0216
0.0234
0.0046
-0.0016
-0.0116
0.0000
-0.0105

-0.0069
-0.0069
-0.0078
-0.0040
-0.0030
-0.0040
-0.0078
-0.0049
-0.0049
-0.0069
-0.0059
-0.0069
-0.0059
-0.0049
-0.0069
-0.0069
-0.0059

-0.0389
-0.0273
-0.0491
-0.0071
0.0045
0.0402
-0.0348
-0.0021
0.0339
0.0013
-0.0106
0.0002
0.0244
-0.0231
0.0036
0.0002
-0.0141

15-Nov
0.0055
0.0717
0.0204
-0.0053
-0.0008
-0.0362
-0.0145
-0.0168
-0.0042
-0.0066
-0.0439
-0.0082
-0.0093
-0.0127
0.0119
-0.0072
-0.0197
-0.0627
-0.0133
-0.0396
-0.0250
-0.1418
0.0123
-0.0174
-0.0226
-0.0099
-0.0698
0.0017
0.0202
0.0031
0.0156
0.0231
0.0022
-0.0285
-0.0053
0.0020

18-Nov
0.0146
0.1076
0.0275
-0.0009
0.0491
0.0952
0.0371
-0.0003
0.0048
0.0408
0.0145
0.0293
0.0156
0.0394
0.0143
-0.0260
0.0853
0.1078
0.0157
-0.0251
0.0416
-0.0030
0.0065
0.0192
0.0387
0.0056
-0.0006
0.0266
-0.0005
0.0233
-0.0750
0.0061
0.0234
-0.0027
-0.0008
0.0350

19-Nov
0.0108
0.0690
0.0129
-0.0397
0.0051
0.1290
0.0636
0.0795
0.0082
0.0021
0.1078
0.0301
0.0059
0.0705
-0.0205
0.0235
0.0822
0.0392
0.0710
0.0359
0.0191
0.1086
0.0112
0.1257
0.0142
-0.0109
-0.0068
-0.0035
-0.0098
0.0199
0.0320
-0.0196
0.0287
-0.0550
0.0228
0.0331

20-Nov
-0.0039
-0.0069
0.0317
0.0037
0.0090
-0.0209
-0.0127
0.0072
0.0199
-0.0233
-0.0256
-0.0235
0.0216
-0.0116
0.0015
0.0102
-0.0229
0.1522
-0.0113
-0.0040
0.0110
0.1196
-0.0007
0.0584
0.0013
0.0116
-0.0090
-0.0022
-0.0516
0.0049
0.0002
0.0099
-0.0040
0.0130
0.0267
-0.0028

Transpose the excess return matrix

JP
Q
ABK
CVS
KEY
RATI
ADBE
DCN
KMI
RIG
ADSK
DG
KSE
RSH
aFl
DLX
LLTC
SANM
DPH
DPH
SCH
AMD
LTR
sFa
AOC
ED
MAS
SLE
SLM
APOL
EMN
MCO
SOTR
ATH
EQR
MEL

12-Nov
0.0224
-0.0465
-0.0095
0.0476
0.0348
0.1123
0.0345
0.0517
0.0307
0.0405
0.0415
0.0623
0.0175
0.0206
0.0092
0.0089
0.0823
0.0660
0.0324
0.0422
0.1409
0.0434
0.0257
0.0588
0.0024
0.0153
0.0459
0.0176
0.0178
0.0334
0.0181
0.0187
0.0145
0.0073
0.0343
0.0484

13-Nov
0.0090
0.0189
0.0343
0.0082
0.0077
-0.0195
0.0319
0.0353
0.0316
0.0153
0.0278
0.0103
0.0187
0.0242
-0.0029
0.0046
-0.0104
0.0804
-0.0041
0.0172
0.0490
-0.0144
0.0162
-0.0330
0.0313
0.0092
0.0076
0.0147
0.0056
-0.0020
0.0109
-0.0245
0.0147
0.0226
-0.0072
0.0187

14-Nov
-0.0262
-0.0449
-0.0235
-0.0275
-0.0229
-0.0543
-0.0395
-0.0355
0.0080
-0.0028
0.0111
-0.0129
-0.0024
0.0421
-0.0230
-0.0140
-0.0106
-0.0735
0.0011
-0.0397
-0.0150
0.0085
-0.0310
-0.0114
-0.0283
-0.0086
-0.0141
-0.0130
-0.0201
-0.0241
0.0013
-0.0155
-0.0145
-0.0028
-0.0036
-0.0154

STI
AW
F
MI

Step 5

0.0129
-0.0057
-0.0186
-0.0041

-0.0065
-0.0187
0.0161
-0.0167

-0.0086
-0.0190
-0.0301
0.0065

0.0173
0.0378
0.0435
0.0290

0.0163
0.0115
0.1536
0.0186

-0.0009
0.0519
-0.0122
-0.0012

Calculate the variance-covariance matrix

JP
Q
ABK
CVS
KEY
RATI
ADBE
DCN
KMI
RIG
ADSK
DG
KSE
RSH
aFl
DLX
LLTC
SANM
DPH
DPH
SCH
AMD
LTR
sFa
AOC
ED
MAS
SLE
SLM
APOL
EMN
MCO
SOTR
ATH
EQR
MEL
STI
AW
F
MI

Step 6

0.0259
0.0580
0.0318
0.0405

JP
0.000225
0.000300
0.000211
0.000120
0.000210
0.000232
0.000279
0.000239
0.000105
0.000122
0.000186
0.000167
0.000110
0.000185
0.000176
0.000093
0.000340
0.000327
0.000167
0.000148
0.000409
0.000225
0.000197
0.000206
0.000194
0.000104
0.000209
0.000097
0.000115
0.000148
0.000156
0.000128
0.000178
0.000087
0.000108
0.000244
0.000197
0.000143
0.000208
0.000203

Q
0.000300
0.002423
0.000434
0.000057
0.000376
0.000214
0.000762
0.000374
0.000107
0.000252
0.000285
0.000414
0.000142
0.000440
0.000183
########
0.000933
0.001088
0.000194
0.000083
0.000539
0.000906
0.000299
0.000480
0.000338
0.000130
0.000163
0.000175
0.000217
0.000124
0.000088
0.000094
0.000307
########
0.000059
0.000344
0.000213
0.000280
0.000592
0.000399

ABK
0.000211
0.000434
0.000335
0.000081
0.000218
0.000109
0.000318
0.000283
0.000112
0.000096
0.000198
0.000147
0.000104
0.000253
0.000159
0.000090
0.000342
0.000525
0.000153
0.000165
0.000398
0.000410
0.000219
0.000209
0.000235
0.000087
0.000184
0.000066
0.000091
0.000153
0.000133
0.000131
0.000197
0.000068
0.000097
0.000260
0.000195
0.000183
0.000277
0.000208

CVS
0.000120
0.000057
0.000081
0.000401
0.000149
0.000138
0.000119
0.000128
0.000118
0.000119
0.000015
0.000131
0.000050
0.000111
0.000107
0.000112
0.000202
0.000231
0.000061
0.000168
0.000336
0.000246
0.000130
0.000082
0.000116
0.000081
0.000220
0.000184
0.000058
0.000080
0.000108
0.000161
0.000094
0.000078
0.000034
0.000142
0.000115
0.000109
0.000036
0.000139

KEY
0.000210
0.000376
0.000218
0.000149
0.000310
0.000334
0.000364
0.000272
0.000123
0.000116
0.000216
0.000186
0.000102
0.000212
0.000175
0.000083
0.000483
0.000634
0.000184
0.000181
0.000493
0.000411
0.000183
0.000266
0.000214
0.000109
0.000254
0.000144
0.000093
0.000176
0.000127
0.000129
0.000207
0.000045
0.000120
0.000287
0.000216
0.000237
0.000289
0.000253

RATI
0.000232
0.000214
0.000109
0.000138
0.000334
0.002277
0.000601
0.000282
0.000192
0.000283
0.000486
0.000312
0.000156
0.000315
0.000183
0.000197
0.000868
0.000875
0.000354
0.000179
0.000745
0.000387
0.000230
0.000652
0.000202
0.000086
0.000280
0.000144
0.000074
0.000315
0.000197
0.000158
0.000280
########
0.000140
0.000387
0.000285
0.000227
0.000533
0.000279

ADBE
0.000279
0.000762
0.000318
0.000119
0.000364
0.000601
0.000877
0.000495
0.000195
0.000221
0.000522
0.000232
0.000145
0.000466
0.000210
0.000142
0.000918
0.001196
0.000357
0.000261
0.000778
0.000865
0.000221
0.000620
0.000310
0.000115
0.000293
0.000083
0.000099
0.000194
0.000258
0.000152
0.000287
########
0.000158
0.000403
0.000265
0.000388
0.000572
0.000315

Calculate average variance and average covariance

variance of each asset

sum of variance-covariance matrix
sum of variance
sum of covariance
the number of covariance

###### ###### ###### ###### ###### ###### ######

######
######
######
1560

annualized average variance

annualized average covariance

######
######

erved by Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

um assigned to the stock is not related to the standard deviation,

elated to the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.

e risk of portfolio with k securities, market risk

nance , Vol.7, No.1, 77-91.

omas S.Y. Ho and Sang Bin Lee, 2003, Oxford University Press

DCN
10.96
11.52
11.92
11.49
11.29
11.28
12.17
12.25
12.74
12.68
12.84
13.50
13.34
12.64
12.27
11.95
11.88
11.85
11.90
12.01
11.72
12.12
12.00
11.77
11.42
11.69
11.68
11.77
11.90
11.43
11.62
11.76

KMI
36.61
37.88
39.23
39.70
39.69
40.04
40.53
41.50
41.52
40.82
41.26
40.92
41.09
41.26
40.51
41.02
40.52
41.06
41.88
41.88
41.86
42.74
42.51
41.26
40.87
40.88
41.29
41.52
41.94
41.87
42.00
42.13

RIG
22.77
23.69
24.05
23.98
23.82
24.79
24.84
24.26
24.55
23.44
23.87
24.30
25.35
25.35
24.01
24.01
23.69
24.12
23.76
24.80
24.37
25.20
24.60
24.23
24.49
24.80
25.21
24.79
24.40
23.70
23.21
23.20

ADSK
12.91
13.47
13.87
14.05
13.46
13.68
15.18
14.82
14.65
14.26
15.63
15.46
15.78
15.38
14.96
14.77
14.33
14.64
14.49
14.57
14.46
15.08
15.06
14.78
14.84
14.82
14.71
14.32
14.27
14.10
14.10
14.30

DG
13.37
14.15
14.24
14.00
13.83
14.18
14.55
14.15
14.17
14.02
12.83
13.19
12.77
12.77
12.87
13.10
12.72
12.93
12.98
12.69
12.46
12.75
12.57
12.25
12.07
12.15
11.87
11.83
11.89
11.91
11.80
11.95

KSE
33.52
34.10
34.73
34.64
34.31
34.84
35.04
35.79
36.23
34.95
35.20
34.86
34.67
35.18
34.19
34.14
34.28
34.28
34.62
35.17
34.79
35.38
35.54
35.38
35.07
34.74
34.56
34.49
34.97
34.74
34.87
34.81

RSH
19.17
19.57
20.05
20.90
20.64
21.46
22.98
22.72
23.10
22.93
23.69
23.75
22.82
22.15
21.50
21.34
20.26
20.55
20.38
20.34
20.10
20.20
19.95
19.90
19.49
19.58
18.69
18.17
18.68
18.61
18.66
18.74

AFL
32.17
32.45
32.34
31.58
31.94
32.38
31.70
31.73
30.93
30.39
31.62
30.85
30.75
30.07
29.69
30.15
29.67
30.06
29.90
29.48
29.20
29.66
29.42
29.50
29.04
29.20
30.21
30.11
30.30
29.81
30.25
30.12

DLX
44.38
44.69
44.81
44.10
43.70
42.48
43.40
43.76
43.22
42.88
43.60
43.40
42.84
41.40
42.55
43.81
42.45
42.23
41.86
41.99
41.00
40.89
40.85
40.40
40.09
41.70
41.60
41.53
41.71
41.36
41.34
42.10

LLTC
28.19
30.49
30.15
29.81
29.20
31.67
34.25
33.44
34.89
32.30
33.47
33.17
33.18
31.80
29.50
29.79
27.75
29.20
29.29
29.28
28.12
29.41
29.16
26.91
26.95
26.75
27.32
26.69
26.75
26.35
25.70
25.67

SANM
2.92
3.13
3.40
3.17
2.99
3.33
3.48
4.03
4.60
4.74
4.99
4.80
4.90
4.86
4.27
4.51
3.84
4.04
4.11
4.24
3.96
4.33
4.41
4.11
3.77
4.05
4.30
4.21
4.03
4.09
4.08
4.49

12.23
12.06
12.34
12.53
12.03
12.40
12.02
11.78
11.73
11.59
11.50
11.30
11.38
10.77
11.25
10.91
10.63
10.94
11.09
10.48
10.77
10.73
10.68
10.47
10.50
10.36

43.46
43.61
44.19
43.26
43.33
43.73
43.74
42.81
43.31
42.96
44.71
44.60
44.10
44.35
45.40
45.60
44.80
45.63
45.89
45.06
45.11
45.95
46.28
46.25
46.00
45.66

24.08
23.91
23.20
21.98
21.76
22.00
21.70
21.45
21.09
21.90
22.68
22.00
21.25
22.11
22.80
22.61
21.59
21.70
22.05
22.41
22.77
22.55
22.95
22.81
22.66
22.24

14.60
14.19
14.60
15.23
15.07
15.28
14.91
14.78
14.89
15.95
15.50
15.10
15.06
14.71
15.38
15.05
14.86
15.21
15.27
15.00
14.94
15.07
14.96
14.84
14.41
14.00

12.72
12.65
12.94
12.56
12.38
12.65
12.49
12.14
12.14
12.12
12.12
12.08
11.75
11.64
11.58
11.02
10.68
10.87
11.00
10.95
11.26
11.31
11.23
10.91
10.80
10.47

35.45
35.98
37.54
36.47
36.54
36.20
36.01
35.86
33.95
34.40
34.60
34.66
34.63
34.31
34.45
33.76
33.12
34.27
34.00
33.73
34.00
34.12
33.67
33.32
32.99
32.90

19.33
19.74
20.03
20.53
20.00
21.10
21.14
20.91
21.93
22.41
22.35
21.90
21.12
20.81
21.20
20.34
20.00
20.16
20.36
19.74
19.95
20.30
19.99
20.44
19.66
19.12

31.59
31.60
32.00
31.73
31.80
32.20
31.80
31.80
31.95
32.05
32.04
32.09
31.45
31.50
32.20
31.15
31.12
31.21
31.04
31.27
32.39
31.68
30.96
31.10
30.97
30.97

42.06
41.83
42.04
42.16
41.63
41.89
41.31
40.95
40.26
40.21
40.43
39.82
39.23
38.46
39.49
39.51
39.29
39.99
40.25
38.90
40.24
40.31
39.87
40.51
40.16
39.60

27.34
28.13
29.62
29.29
28.69
29.44
30.02
29.65
30.76
29.32
28.31
26.59
26.76
27.02
27.30
26.29
26.07
26.60
27.37
25.95
26.13
26.09
26.30
26.22
26.28
25.98

4.51
4.21
4.58
5.05
4.82
5.10
5.28
4.90
5.07
5.00
4.80
4.31
4.32
3.99
4.03
3.84
3.90
3.92
4.06
3.74
3.66
3.67
3.57
3.57
3.62
3.62

10

11

12

13

14

15

16

17

18

19

7.4029%

7.2464%

7.1184%

7.0117%

6.9215%

6.8441%

6.7770%

6.7183%

6.6666%

6.6205%

6.5794%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

DCN
0.0511
0.0347
-0.0361
-0.0174
-0.0009
0.0789
0.0066
0.0400
-0.0047
0.0126
0.0514
-0.0119
-0.0525
-0.0293
-0.0261
-0.0059
-0.0025
0.0042
0.0092
-0.0241
0.0341
-0.0099
-0.0192
-0.0297
0.0236
-0.0009
0.0077
0.0110
-0.0395
0.0166
0.0120
0.0400
-0.0139
0.0232
0.0154
-0.0399
0.0308
-0.0306
-0.0200
-0.0042
-0.0119
-0.0078
-0.0174
0.0071
-0.0536
0.0446
-0.0302
-0.0257

KMI
0.0347
0.0356
0.0120
-0.0003
0.0088
0.0122
0.0239
0.0005
-0.0169
0.0108
-0.0082
0.0042
0.0041
-0.0182
0.0126
-0.0122
0.0133
0.0200
0.0000
-0.0005
0.0210
-0.0054
-0.0294
-0.0095
0.0002
0.0100
0.0056
0.0101
-0.0017
0.0031
0.0031
0.0316
0.0035
0.0133
-0.0210
0.0016
0.0092
0.0002
-0.0213
0.0117
-0.0081
0.0407
-0.0025
-0.0112
0.0057
0.0237
0.0044
-0.0175

RIG
0.0404
0.0152
-0.0029
-0.0067
0.0407
0.0020
-0.0233
0.0120
-0.0452
0.0183
0.0180
0.0432
0.0000
-0.0529
0.0000
-0.0133
0.0182
-0.0149
0.0438
-0.0173
0.0341
-0.0238
-0.0150
0.0107
0.0127
0.0165
-0.0167
-0.0157
-0.0287
-0.0207
-0.0004
0.0379
-0.0071
-0.0297
-0.0526
-0.0100
0.0110
-0.0136
-0.0115
-0.0168
0.0384
0.0356
-0.0300
-0.0341
0.0405
0.0312
-0.0083
-0.0451

ADSK
0.0434
0.0297
0.0130
-0.0420
0.0163
0.1096
-0.0237
-0.0115
-0.0266
0.0961
-0.0109
0.0207
-0.0253
-0.0273
-0.0127
-0.0298
0.0216
-0.0102
0.0055
-0.0075
0.0429
-0.0013
-0.0186
0.0041
-0.0013
-0.0074
-0.0265
-0.0035
-0.0119
0.0000
0.0142
0.0210
-0.0281
0.0289
0.0432
-0.0105
0.0139
-0.0242
-0.0087
0.0074
0.0712
-0.0282
-0.0258
-0.0026
-0.0232
0.0455
-0.0215
-0.0126

DG
0.0583
0.0064
-0.0169
-0.0121
0.0253
0.0261
-0.0275
0.0014
-0.0106
-0.0849
0.0281
-0.0318
0.0000
0.0078
0.0179
-0.0290
0.0165
0.0039
-0.0223
-0.0181
0.0233
-0.0141
-0.0255
-0.0147
0.0066
-0.0230
-0.0034
0.0051
0.0017
-0.0092
0.0127
0.0644
-0.0055
0.0229
-0.0294
-0.0143
0.0218
-0.0126
-0.0280
0.0000
-0.0016
0.0000
-0.0033
-0.0273
-0.0094
-0.0052
-0.0484
-0.0309

KSE
0.0173
0.0185
-0.0026
-0.0095
0.0154
0.0057
0.0214
0.0123
-0.0353
0.0072
-0.0097
-0.0055
0.0147
-0.0281
-0.0015
0.0041
0.0000
0.0099
0.0159
-0.0108
0.0170
0.0045
-0.0045
-0.0088
-0.0094
-0.0052
-0.0020
0.0139
-0.0066
0.0037
-0.0017
0.0184
0.0150
0.0434
-0.0285
0.0019
-0.0093
-0.0052
-0.0042
-0.0533
0.0133
0.0058
0.0017
-0.0009
-0.0092
0.0041
-0.0200
-0.0190

RSH
0.0209
0.0245
0.0424
-0.0124
0.0397
0.0708
-0.0113
0.0167
-0.0074
0.0331
0.0025
-0.0392
-0.0294
-0.0293
-0.0074
-0.0506
0.0143
-0.0083
-0.0020
-0.0118
0.0050
-0.0124
-0.0025
-0.0206
0.0046
-0.0455
-0.0278
0.0281
-0.0037
0.0027
0.0043
0.0315
0.0212
0.0147
0.0250
-0.0258
0.0550
0.0019
-0.0109
0.0488
0.0219
-0.0027
-0.0201
-0.0356
-0.0147
0.0187
-0.0406
-0.0167

AFL
0.0087
-0.0034
-0.0235
0.0114
0.0138
-0.0210
0.0009
-0.0252
-0.0175
0.0405
-0.0244
-0.0032
-0.0221
-0.0126
0.0155
-0.0159
0.0131
-0.0053
-0.0140
-0.0095
0.0158
-0.0081
0.0027
-0.0156
0.0055
0.0346
-0.0033
0.0063
-0.0162
0.0148
-0.0043
0.0488
0.0003
0.0127
-0.0084
0.0022
0.0126
-0.0124
0.0000
0.0047
0.0031
-0.0003
0.0016
-0.0199
0.0016
0.0222
-0.0326
-0.0010

DLX
0.0070
0.0027
-0.0158
-0.0091
-0.0279
0.0217
0.0083
-0.0123
-0.0079
0.0168
-0.0046
-0.0129
-0.0336
0.0278
0.0296
-0.0310
-0.0052
-0.0088
0.0031
-0.0236
-0.0027
-0.0010
-0.0110
-0.0077
0.0402
-0.0024
-0.0017
0.0043
-0.0084
-0.0005
0.0184
-0.0010
-0.0055
0.0050
0.0029
-0.0126
0.0062
-0.0138
-0.0087
-0.0168
-0.0012
0.0055
-0.0151
-0.0148
-0.0196
0.0268
0.0005
-0.0056

LLTC
0.0816
-0.0112
-0.0113
-0.0205
0.0846
0.0815
-0.0236
0.0434
-0.0742
0.0362
-0.0090
0.0003
-0.0416
-0.0723
0.0098
-0.0685
0.0523
0.0031
-0.0003
-0.0396
0.0459
-0.0085
-0.0772
0.0015
-0.0074
0.0213
-0.0231
0.0022
-0.0150
-0.0247
-0.0012
0.0651
0.0289
0.0530
-0.0111
-0.0205
0.0261
0.0197
-0.0123
0.0374
-0.0468
-0.0344
-0.0608
0.0064
0.0097
0.0104
-0.0370
-0.0084

SANM
0.0719
0.0863
-0.0676
-0.0568
0.1137
0.0450
0.1580
0.1414
0.0304
0.0527
-0.0381
0.0208
-0.0082
-0.1214
0.0562
-0.1486
0.0521
0.0173
0.0316
-0.0660
0.0934
0.0185
-0.0680
-0.0827
0.0743
0.0617
-0.0209
-0.0428
0.0149
-0.0024
0.1005
0.0045
-0.0665
0.0879
0.1026
-0.0455
0.0581
0.0353
-0.0720
0.0347
-0.0138
-0.0400
-0.1021
0.0023
-0.0764
0.0100
-0.0471
0.0156

0.0292
0.0137
-0.0550
0.0277
-0.0037
-0.0047
-0.0197
0.0029
-0.0133

0.0185
0.0057
-0.0181
0.0011
0.0186
0.0072
-0.0006
-0.0054
-0.0074

0.0051
0.0161
0.0163
0.0161
-0.0097
0.0177
-0.0061
-0.0066
-0.0185

0.0236
0.0039
-0.0177
-0.0040
0.0087
-0.0073
-0.0080
-0.0290
-0.0285

0.0178
0.0120
-0.0045
0.0283
0.0044
-0.0071
-0.0285
-0.0101
-0.0306

0.0347
-0.0079
-0.0079
0.0080
0.0035
-0.0132
-0.0104
-0.0099
-0.0027

0.0080
0.0099
-0.0305
0.0106
0.0175
-0.0153
0.0225
-0.0382
-0.0275

0.0029
-0.0054
0.0074
0.0358
-0.0219
-0.0227
0.0045
-0.0042
0.0000

0.0178
0.0065
-0.0335
0.0344
0.0017
-0.0109
0.0161
-0.0086
-0.0139

0.0203
0.0289
-0.0519
0.0069
-0.0015
0.0080
-0.0030
0.0023
-0.0114

0.0051
0.0357
-0.0788
-0.0214
0.0027
-0.0272
0.0000
0.0140
0.0000

-0.0006

0.0040

-0.0001

0.0019

-0.0040

-0.0002

0.0003

-0.0005

-0.0019

-0.0007

0.0059

DCN
0.0517
0.0353
-0.0355
-0.0168
-0.0003
0.0795
0.0072
0.0406
-0.0041
0.0132
0.0520
-0.0113
-0.0519
-0.0287
-0.0255
-0.0053
-0.0019
0.0048
0.0098
-0.0236
0.0347
-0.0093
-0.0186
-0.0291
0.0242
-0.0003
0.0083
0.0116
-0.0389
0.0172
0.0126
0.0406
-0.0133
0.0238
0.0160
-0.0393
0.0313
-0.0301
-0.0194
-0.0037

KMI
0.0307
0.0316
0.0080
-0.0042
0.0048
0.0082
0.0199
-0.0035
-0.0208
0.0068
-0.0122
0.0002
0.0001
-0.0222
0.0086
-0.0162
0.0093
0.0160
-0.0040
-0.0045
0.0170
-0.0094
-0.0334
-0.0134
-0.0037
0.0060
0.0016
0.0061
-0.0057
-0.0009
-0.0009
0.0276
-0.0005
0.0093
-0.0250
-0.0024
0.0052
-0.0038
-0.0253
0.0077

RIG
0.0405
0.0153
-0.0028
-0.0066
0.0408
0.0021
-0.0233
0.0121
-0.0451
0.0184
0.0181
0.0433
0.0001
-0.0528
0.0001
-0.0132
0.0182
-0.0148
0.0439
-0.0172
0.0342
-0.0237
-0.0149
0.0108
0.0128
0.0166
-0.0166
-0.0156
-0.0286
-0.0206
-0.0003
0.0380
-0.0070
-0.0296
-0.0525
-0.0099
0.0111
-0.0135
-0.0114
-0.0167

ADSK
0.0415
0.0278
0.0111
-0.0439
0.0145
0.1078
-0.0256
-0.0133
-0.0285
0.0942
-0.0127
0.0188
-0.0272
-0.0292
-0.0146
-0.0317
0.0198
-0.0121
0.0037
-0.0094
0.0410
-0.0032
-0.0205
0.0022
-0.0032
-0.0093
-0.0284
-0.0054
-0.0138
-0.0019
0.0123
0.0191
-0.0299
0.0270
0.0413
-0.0124
0.0121
-0.0261
-0.0106
0.0056

DG
0.0623
0.0103
-0.0129
-0.0082
0.0293
0.0301
-0.0235
0.0054
-0.0066
-0.0809
0.0320
-0.0279
0.0040
0.0118
0.0219
-0.0250
0.0205
0.0079
-0.0184
-0.0141
0.0273
-0.0101
-0.0215
-0.0107
0.0106
-0.0191
0.0006
0.0091
0.0057
-0.0053
0.0167
0.0684
-0.0015
0.0269
-0.0254
-0.0103
0.0258
-0.0087
-0.0240
0.0040

KSE
0.0175
0.0187
-0.0024
-0.0093
0.0156
0.0059
0.0216
0.0125
-0.0351
0.0074
-0.0095
-0.0052
0.0149
-0.0279
-0.0013
0.0043
0.0002
0.0101
0.0161
-0.0106
0.0172
0.0047
-0.0043
-0.0086
-0.0092
-0.0050
-0.0018
0.0141
-0.0064
0.0039
-0.0015
0.0186
0.0152
0.0436
-0.0283
0.0021
-0.0091
-0.0050
-0.0040
-0.0531

RSH
0.0206
0.0242
0.0421
-0.0127
0.0394
0.0705
-0.0116
0.0164
-0.0077
0.0328
0.0022
-0.0395
-0.0297
-0.0296
-0.0077
-0.0509
0.0140
-0.0086
-0.0023
-0.0121
0.0047
-0.0127
-0.0028
-0.0209
0.0043
-0.0458
-0.0281
0.0278
-0.0040
0.0024
0.0040
0.0312
0.0209
0.0144
0.0247
-0.0261
0.0547
0.0016
-0.0112
0.0485

AFL
0.0092
-0.0029
-0.0230
0.0119
0.0143
-0.0205
0.0015
-0.0247
-0.0169
0.0410
-0.0238
-0.0027
-0.0216
-0.0121
0.0160
-0.0154
0.0137
-0.0048
-0.0135
-0.0090
0.0163
-0.0076
0.0032
-0.0151
0.0060
0.0351
-0.0028
0.0068
-0.0156
0.0153
-0.0038
0.0493
0.0008
0.0132
-0.0079
0.0027
0.0131
-0.0119
0.0005
0.0052

DLX
0.0089
0.0046
-0.0140
-0.0072
-0.0260
0.0235
0.0102
-0.0105
-0.0060
0.0187
-0.0027
-0.0110
-0.0317
0.0296
0.0315
-0.0292
-0.0033
-0.0069
0.0050
-0.0217
-0.0008
0.0009
-0.0091
-0.0058
0.0420
-0.0005
0.0002
0.0062
-0.0065
0.0014
0.0203
0.0009
-0.0036
0.0069
0.0047
-0.0107
0.0081
-0.0120
-0.0068
-0.0150

LLTC
0.0823
-0.0104
-0.0106
-0.0197
0.0853
0.0822
-0.0229
0.0441
-0.0735
0.0369
-0.0082
0.0010
-0.0409
-0.0716
0.0106
-0.0678
0.0530
0.0038
0.0004
-0.0389
0.0466
-0.0078
-0.0764
0.0022
-0.0067
0.0220
-0.0223
0.0030
-0.0142
-0.0239
-0.0004
0.0658
0.0296
0.0537
-0.0104
-0.0198
0.0269
0.0204
-0.0116
0.0382

SANM
0.0660
0.0804
-0.0735
-0.0627
0.1078
0.0392
0.1522
0.1356
0.0246
0.0469
-0.0440
0.0150
-0.0140
-0.1273
0.0503
-0.1544
0.0462
0.0114
0.0258
-0.0719
0.0876
0.0126
-0.0739
-0.0886
0.0684
0.0558
-0.0268
-0.0486
0.0090
-0.0083
0.0946
-0.0014
-0.0724
0.0820
0.0967
-0.0514
0.0522
0.0294
-0.0778
0.0288

-0.0113
-0.0072
-0.0168
0.0077
-0.0530
0.0452
-0.0296
-0.0251
0.0298
0.0143
-0.0544
0.0283
-0.0031
-0.0041
-0.0191
0.0035
-0.0127

-0.0121
0.0367
-0.0064
-0.0152
0.0017
0.0197
0.0004
-0.0215
0.0145
0.0017
-0.0221
-0.0029
0.0146
0.0032
-0.0046
-0.0094
-0.0114

0.0385
0.0357
-0.0299
-0.0340
0.0406
0.0313
-0.0082
-0.0450
0.0052
0.0162
0.0164
0.0162
-0.0096
0.0178
-0.0060
-0.0065
-0.0184

0.0693
-0.0301
-0.0277
-0.0045
-0.0251
0.0437
-0.0233
-0.0145
0.0217
0.0021
-0.0195
-0.0059
0.0068
-0.0092
-0.0099
-0.0308
-0.0303

0.0023
0.0040
0.0007
-0.0233
-0.0054
-0.0012
-0.0444
-0.0269
0.0218
0.0159
-0.0006
0.0323
0.0084
-0.0031
-0.0245
-0.0061
-0.0266

0.0135
0.0060
0.0019
-0.0007
-0.0090
0.0043
-0.0198
-0.0188
0.0349
-0.0077
-0.0077
0.0082
0.0037
-0.0130
-0.0102
-0.0097
-0.0025

0.0216
-0.0030
-0.0204
-0.0359
-0.0150
0.0184
-0.0409
-0.0170
0.0077
0.0096
-0.0307
0.0103
0.0172
-0.0156
0.0222
-0.0385
-0.0278

0.0037
0.0002
0.0021
-0.0194
0.0021
0.0228
-0.0321
-0.0004
0.0034
-0.0049
0.0079
0.0363
-0.0214
-0.0222
0.0051
-0.0037
0.0005

0.0006
0.0073
-0.0132
-0.0129
-0.0178
0.0287
0.0024
-0.0037
0.0197
0.0084
-0.0317
0.0363
0.0036
-0.0090
0.0179
-0.0068
-0.0121

-0.0461
-0.0337
-0.0600
0.0071
0.0104
0.0111
-0.0363
-0.0076
0.0211
0.0297
-0.0512
0.0077
-0.0008
0.0088
-0.0023
0.0030
-0.0107

-0.0197
-0.0459
-0.1080
-0.0036
-0.0823
0.0041
-0.0530
0.0097
-0.0008
0.0298
-0.0847
-0.0273
-0.0031
-0.0331
-0.0059
0.0081
-0.0059

21-Nov
-0.0170
0.0775
0.0071
0.0041
-0.0004
-0.0100
0.0160
0.0406
-0.0035
0.0121
-0.0133
0.0054
0.0125
0.0164
-0.0247
-0.0105
0.0441
0.1356
-0.0138
0.0284
0.0016
0.1612
0.0058
-0.0162
-0.0130
-0.0063
-0.0039
0.0167
0.0217
-0.0038
-0.0047
0.0140
-0.0006
-0.0739
-0.0050
0.0055

22-Nov
-0.0329
-0.0086
-0.0270
-0.0036
-0.0147
-0.0904
-0.0464
-0.0041
-0.0208
-0.0451
-0.0285
-0.0066
-0.0351
-0.0077
-0.0169
-0.0060
-0.0735
0.0246
-0.0311
-0.0036
-0.0512
0.0036
-0.0276
-0.0457
-0.0196
-0.0177
-0.0097
-0.0043
-0.0290
-0.0539
-0.0020
-0.0200
-0.0181
0.0309
-0.0101
-0.0155

25-Nov
0.0267
-0.0288
0.0303
0.0345
0.0354
0.0397
0.0387
0.0132
0.0068
0.0184
0.0942
-0.0809
0.0074
0.0328
0.0410
0.0187
0.0369
0.0469
0.0516
0.0494
0.0402
0.0765
0.0123
0.0316
0.0035
0.0089
0.0690
0.0076
-0.0035
0.0219
0.0586
0.0326
0.0269
0.0297
0.0130
0.0296

26-Nov
0.0036
-0.0006
0.0178
0.0002
-0.0091
-0.0219
-0.0148
0.0520
-0.0122
0.0181
-0.0127
0.0320
-0.0095
0.0022
-0.0238
-0.0027
-0.0082
-0.0440
0.0092
0.0027
-0.0002
0.0550
0.0151
-0.0231
-0.0063
-0.0064
0.0085
-0.0094
0.0020
-0.0272
0.0136
-0.0117
-0.0146
0.0191
-0.0004
-0.0051

27-Nov
-0.0142
-0.0398
-0.0095
-0.0087
-0.0095
-0.0308
-0.0262
-0.0113
0.0002
0.0433
0.0188
-0.0279
-0.0052
-0.0395
-0.0027
-0.0110
0.0010
0.0150
-0.0028
-0.0055
0.0102
-0.0054
-0.0087
-0.0021
0.0134
-0.0140
-0.0115
-0.0069
0.0227
0.0000
0.0119
0.0024
-0.0144
-0.0347
0.0226
0.0008

29-Nov
-0.0046
-0.0112
-0.0155
-0.0066
-0.0139
-0.0381
-0.0367
-0.0519
0.0001
0.0001
-0.0272
0.0040
0.0149
-0.0297
-0.0216
-0.0317
-0.0409
-0.0140
-0.0265
-0.0153
-0.0259
-0.0884
-0.0027
-0.0073
-0.0149
0.0264
-0.0305
0.0047
0.0143
-0.0206
0.0039
-0.0051
-0.0138
0.0375
-0.0187
-0.0150

2-Dec
-0.0153
-0.0438
-0.0076
0.0055
-0.0141
-0.0700
-0.0663
-0.0287
-0.0222
-0.0528
-0.0292
0.0118
-0.0279
-0.0296
-0.0121
0.0296
-0.0716
-0.1273
-0.0198
0.0207
-0.0550
0.0183
-0.0112
-0.0506
0.0216
-0.0141
0.0124
0.0008
-0.0077
0.0242
-0.0643
-0.0135
-0.0089
0.0403
-0.0198
-0.0305

3-Dec
0.0029
-0.0230
-0.0073
0.0180
0.0132
0.2536
0.0095
-0.0255
0.0086
0.0001
-0.0146
0.0219
-0.0013
-0.0077
0.0160
0.0315
0.0106
0.0503
-0.0102
-0.0056
0.0297
-0.0146
0.0098
0.0025
0.0126
0.0054
0.0164
0.0142
0.0022
0.0120
0.0232
0.0154
0.0109
0.0048
-0.0079
0.0080

5-Dec
-0.0109
-0.0211
-0.0231
-0.0213
-0.0184
-0.0069
-0.0469
-0.0053
-0.0162
-0.0132
-0.0317
-0.0250
0.0043
-0.0509
-0.0154
-0.0292
-0.0678
-0.1544
0.0059
-0.0209
-0.0486
-0.0963
-0.0084
-0.0514
-0.0141
0.0180
-0.0175
-0.0197
-0.0079
-0.0207
-0.0279
-0.0279
-0.0159
0.0001
0.0016
-0.0277

6-Dec
0.0169
0.1053
0.0226
0.0260
0.0164
-0.0049
0.0465
-0.0019
0.0093
0.0182
0.0198
0.0205
0.0002
0.0140
0.0137
-0.0033
0.0530
0.0462
0.0071
0.0215
0.0304
0.0899
0.0163
0.0036
0.0207
0.0142
0.0233
0.0051
0.0200
-0.0025
0.0110
-0.0034
0.0193
0.0206
-0.0164
0.0067

9-Dec
0.0083
-0.0196
0.0174
-0.0135
-0.0035
0.0184
-0.0025
0.0048
0.0160
-0.0148
-0.0121
0.0079
0.0101
-0.0086
-0.0048
-0.0069
0.0038
0.0114
-0.0163
-0.0175
0.0062
-0.0266
0.0341
-0.0104
-0.0045
0.0077
0.0040
-0.0439
0.0093
-0.0105
0.0106
-0.0010
-0.0014
0.0126
-0.0016
0.0162

-0.0124
0.0117
0.0649
-0.0001

-0.0310
-0.0004
-0.0070
-0.0165

0.0334
0.0365
0.0173
0.0257

DCN
0.000239
0.000374
0.000283
0.000128
0.000272
0.000282
0.000495
0.000810
0.000176
0.000189
0.000489
0.000326
0.000158
0.000393
0.000109
0.000228
0.000585
0.000952
0.000356
0.000356
0.000682
0.000934
0.000264
0.000382
0.000288
0.000092
0.000357
0.000101
0.000101
0.000174
0.000259
0.000122
0.000255
########
0.000204
0.000447
0.000232
0.000321
0.000710
0.000252

KMI
0.000105
0.000107
0.000112
0.000118
0.000123
0.000192
0.000195
0.000176
0.000217
0.000184
0.000141
0.000157
0.000116
0.000150
0.000077
0.000063
0.000295
0.000373
0.000106
0.000098
0.000360
0.000240
0.000114
0.000253
0.000129
0.000105
0.000165
0.000055
0.000061
0.000082
0.000142
0.000082
0.000114
0.000042
0.000074
0.000186
0.000120
0.000144
0.000158
0.000131

RIG
0.000122
0.000252
0.000096
0.000119
0.000116
0.000283
0.000221
0.000189
0.000184
0.000642
0.000274
0.000193
0.000145
0.000147
0.000140
0.000023
0.000426
0.000254
0.000143
0.000133
0.000437
0.000303
0.000104
0.000171
0.000150
0.000071
0.000267
0.000101
0.000061
0.000212
0.000139
0.000161
0.000110
0.000032
0.000118
0.000164
0.000118
0.000185
0.000193
0.000154

-0.0162
0.0265
0.0307
-0.0188

-0.0041
0.0472
0.0048
-0.0026

-0.0135
-0.0210
-0.1311
-0.0209

-0.0057
-0.0178
0.0047
-0.0102

0.0121
-0.0106
-0.0155
0.0021

-0.0226
-0.0266
-0.0454
-0.0220

0.0175
-0.0157
0.0168
0.0370

0.0072
0.0005
0.0049
-0.0037

ADSK
0.000186
0.000285
0.000198
0.000015
0.000216
0.000486
0.000522
0.000489
0.000141
0.000274
0.000926
0.000114
0.000137
0.000515
0.000135
0.000175
0.000615
0.000819
0.000449
0.000384
0.000596
0.000767
0.000125
0.000524
0.000250
0.000021
0.000405
0.000053
0.000019
0.000190
0.000283
0.000089
0.000251
########
0.000148
0.000372
0.000254
0.000306
0.000621
0.000254

DG
0.000167
0.000414
0.000147
0.000131
0.000186
0.000312
0.000232
0.000326
0.000157
0.000193
0.000114
0.000599
0.000123
0.000260
0.000082
0.000085
0.000419
0.000329
0.000154
0.000178
0.000473
0.000341
0.000209
0.000218
0.000233
0.000118
0.000191
0.000152
0.000149
0.000172
0.000055
0.000101
0.000182
0.000054
0.000087
0.000272
0.000168
0.000169
0.000330
0.000205

KSE
0.000110
0.000142
0.000104
0.000050
0.000102
0.000156
0.000145
0.000158
0.000116
0.000145
0.000137
0.000123
0.000257
0.000070
0.000070
0.000029
0.000207
0.000253
0.000100
0.000047
0.000239
0.000161
0.000098
0.000148
0.000158
0.000157
0.000077
0.000075
0.000058
0.000097
0.000098
0.000063
0.000098
0.000022
0.000078
0.000159
0.000104
0.000137
0.000120
0.000105

RSH
0.000185
0.000440
0.000253
0.000111
0.000212
0.000315
0.000466
0.000393
0.000150
0.000147
0.000515
0.000260
0.000070
0.000702
0.000102
0.000141
0.000574
0.000689
0.000308
0.000262
0.000614
0.000697
0.000178
0.000449
0.000241
0.000027
0.000255
0.000096
0.000043
0.000170
0.000166
0.000113
0.000232
########
0.000101
0.000353
0.000223
0.000213
0.000587
0.000237

aFl
0.000176
0.000183
0.000159
0.000107
0.000175
0.000183
0.000210
0.000109
0.000077
0.000140
0.000135
0.000082
0.000070
0.000102
0.000283
0.000085
0.000219
0.000215
0.000141
0.000112
0.000323
0.000102
0.000130
0.000120
0.000170
0.000056
0.000174
0.000098
0.000072
0.000136
0.000115
0.000152
0.000163
0.000134
0.000106
0.000189
0.000165
0.000150
0.000085
0.000185

DLX
0.000093
########
0.000090
0.000112
0.000083
0.000197
0.000142
0.000228
0.000063
0.000023
0.000175
0.000085
0.000029
0.000141
0.000085
0.000260
0.000119
0.000317
0.000096
0.000161
0.000266
0.000358
0.000083
0.000147
0.000127
0.000014
0.000196
0.000050
########
0.000106
0.000119
0.000125
0.000102
0.000083
0.000065
0.000156
0.000105
0.000044
0.000218
0.000090

LLTC
0.000340
0.000933
0.000342
0.000202
0.000483
0.000868
0.000918
0.000585
0.000295
0.000426
0.000615
0.000419
0.000207
0.000574
0.000219
0.000119
0.001437
0.001418
0.000444
0.000309
0.000979
0.001327
0.000293
0.000852
0.000327
0.000106
0.000382
0.000103
0.000193
0.000294
0.000296
0.000241
0.000350
########
0.000261
0.000546
0.000354
0.000410
0.000858
0.000449

SANM
0.000327
0.001088
0.000525
0.000231
0.000634
0.000875
0.001196
0.000952
0.000373
0.000254
0.000819
0.000329
0.000253
0.000689
0.000215
0.000317
0.001418
0.004289
0.000348
0.000580
0.001527
0.002414
0.000348
0.001166
0.000412
0.000109
0.000640
0.000103
0.000017
0.000184
0.000413
0.000270
0.000386
########
0.000295
0.000804
0.000390
0.000894
0.000793
0.000416

###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ######

DPH
7.38
7.64
7.63
7.66
7.58
7.72
8.29
8.22
8.13
7.90
8.33
8.43
8.43
8.23
8.09
8.03
8.10
8.18
8.07
8.12
8.23
8.28
8.14
8.01
7.96
7.81
7.92
7.91
7.92
7.91
7.75
8.05

DPH
40.27
41.86
42.47
40.67
38.95
37.87
39.13
38.87
39.87
39.62
41.47
41.47
41.13
40.39
41.12
40.78
39.82
40.57
39.75
39.76
38.88
39.89
38.77
38.17
37.78
38.33
37.47
36.83
37.30
36.78
37.82
37.48

SCH
9.62
10.96
11.48
11.29
10.99
11.43
11.63
11.74
11.74
11.12
11.55
11.53
11.63
11.31
10.67
10.97
10.42
10.72
10.77
11.01
10.70
11.41
11.39
11.10
10.75
11.39
11.49
11.18
11.22
10.77
10.78
10.84

AMD
6.33
6.59
6.48
6.52
5.58
5.55
6.14
6.86
7.95
7.96
8.55
9.00
8.93
8.12
8.25
8.11
7.31
7.95
7.72
7.75
7.32
7.47
7.34
6.67
6.47
6.62
6.76
6.57
6.46
6.35
6.35
6.46

LTR
37.90
38.95
39.66
38.51
39.06
39.39
39.91
39.96
40.27
39.24
39.80
40.48
40.21
40.18
39.81
40.28
40.02
40.75
42.22
42.30
41.74
42.37
42.28
42.17
42.22
43.14
43.02
43.00
43.30
42.88
44.74
44.46

SFA
11.64
12.34
11.95
11.83
11.64
11.88
13.39
14.19
13.98
13.36
13.80
13.50
13.49
13.41
12.75
12.80
12.16
12.22
12.11
12.29
12.10
12.38
12.47
11.92
11.83
11.86
12.18
12.15
12.21
12.03
11.63
11.86

AOC
18.30
18.34
18.91
18.37
17.95
18.64
18.90
18.92
18.67
18.30
18.36
18.24
18.48
18.20
18.59
18.82
18.55
18.93
18.84
19.00
18.94
19.48
19.58
19.56
19.19
19.19
19.19
18.91
18.93
18.55
18.90
18.89

ED
40.31
40.91
41.27
40.90
40.48
40.69
40.23
40.68
40.41
39.68
40.02
39.75
39.18
40.20
39.62
39.82
40.52
41.08
41.38
41.76
42.33
42.40
42.85
43.10
42.94
43.23
42.62
42.90
42.87
42.51
43.00
42.82

MAS
20.24
21.13
21.25
20.91
19.41
19.36
19.19
18.98
18.87
18.65
19.90
20.03
19.76
19.12
19.32
19.60
19.22
19.63
19.67
20.00
19.43
20.81
20.66
20.76
20.85
21.31
21.11
21.13
21.00
20.57
20.63
20.90

SLE
22.56
22.92
23.22
22.88
22.88
23.45
23.33
23.24
23.59
23.45
23.59
23.33
23.13
23.20
23.18
23.47
22.97
23.05
22.00
21.26
22.37
22.36
21.85
21.95
22.00
22.67
22.56
22.42
22.43
22.15
22.60
22.51

SLM
102.30
104.14
104.74
102.65
104.74
104.70
103.69
98.36
100.51
97.61
97.28
97.49
99.72
101.16
100.40
100.64
99.86
101.87
102.83
100.61
101.42
102.89
104.62
103.66
104.11
105.58
104.71
104.22
105.87
103.88
104.48
103.86

8.58
8.50
8.68
8.80
8.65
8.84
8.85
8.87
8.96
8.99
8.82
9.00
8.95
8.66
8.86
8.75
8.49
8.67
8.50
8.42
8.52
8.55
8.41
8.56
8.53
8.55

39.32
36.90
36.48
36.93
37.15
38.39
38.42
38.02
37.71
38.00
37.82
36.70
35.65
35.15
35.00
34.12
34.40
34.60
34.62
34.00
34.18
35.30
34.79
34.62
34.64
34.08

11.47
11.78
12.26
12.03
11.49
12.08
12.17
11.89
12.36
12.13
12.11
11.73
10.47
9.50
9.75
9.47
9.50
9.55
9.52
9.13
9.21
9.26
8.83
8.81
8.75
8.40

7.01
6.94
7.16
7.17
6.69
6.91
7.41
7.45
7.43
7.45
7.20
6.03
6.00
5.72
5.65
5.43
5.28
5.30
5.61
5.17
5.24
5.05
5.06
5.03
5.07
5.04

46.32
46.30
46.77
46.35
46.27
47.54
47.60
47.37
47.65
46.84
47.00
47.00
46.71
45.98
45.60
44.41
43.72
43.52
43.91
42.97
44.02
44.60
43.69
43.41
42.53
42.12

12.58
12.62
13.33
13.34
13.25
13.11
13.72
13.12
13.76
13.63
13.60
13.05
12.53
12.16
12.17
12.01
11.83
11.75
11.65
11.40
11.10
11.83
11.45
11.95
12.02
12.19

19.57
20.12
20.69
20.34
20.42
21.13
21.22
21.23
21.01
20.90
20.56
20.65
20.00
19.38
20.25
19.58
18.78
19.21
19.28
18.75
18.93
19.11
18.54
18.37
18.14
17.87

43.25
43.84
45.99
44.60
44.36
44.02
43.87
42.45
42.02
41.16
41.72
41.61
41.25
40.81
41.32
40.44
39.16
40.05
39.77
39.80
39.92
40.18
39.91
39.47
39.94
39.21

21.81
20.14
20.36
20.06
19.45
19.90
19.74
19.55
19.84
19.65
19.80
19.41
18.73
18.63
18.90
18.79
18.14
18.39
18.48
17.93
18.19
18.46
18.34
18.42
17.96
17.79

22.95
23.00
23.06
22.75
22.90
23.00
22.74
22.70
22.06
22.00
22.36
22.31
22.20
21.92
21.60
20.52
19.96
20.10
19.52
19.26
19.94
20.09
20.81
20.72
20.63
20.33

105.01
105.53
107.56
105.85
106.71
106.43
107.80
105.72
107.46
105.05
105.75
109.97
108.91
106.80
107.47
104.36
104.00
105.60
107.02
105.31
106.23
105.00
104.14
102.69
101.54
102.45

20

21

22

23

24

25

26

27

28

29

30

6.5423%

6.5088%

6.4783%

6.4505%

6.4250%

6.4015%

6.3798%

6.3598%

6.3411%

6.3238%

6.3076%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

DPH
0.0352
-0.0013
0.0039
-0.0104
0.0185
0.0738
-0.0084
-0.0109
-0.0283
0.0544
0.0120
0.0000
-0.0237
-0.0170
-0.0074
0.0087
0.0099
-0.0134
0.0062
0.0135
0.0061
-0.0169
-0.0160
-0.0062
-0.0188
0.0141
-0.0013
0.0013
-0.0013
-0.0202
0.0387
0.0658
-0.0093
0.0212
0.0138
-0.0170
0.0220
0.0011
0.0023
0.0101
0.0033
-0.0189
0.0204
-0.0056
-0.0324
0.0231
-0.0124
-0.0297

DPH
0.0395
0.0146
-0.0424
-0.0423
-0.0277
0.0333
-0.0066
0.0257
-0.0063
0.0467
0.0000
-0.0082
-0.0180
0.0181
-0.0083
-0.0235
0.0188
-0.0202
0.0003
-0.0221
0.0260
-0.0281
-0.0155
-0.0102
0.0146
-0.0224
-0.0171
0.0128
-0.0139
0.0283
-0.0090
0.0491
-0.0615
-0.0114
0.0123
0.0060
0.0334
0.0008
-0.0104
-0.0082
0.0077
-0.0047
-0.0296
-0.0286
-0.0140
-0.0043
-0.0251
0.0082

SCH
0.1393
0.0474
-0.0166
-0.0266
0.0400
0.0175
0.0095
0.0000
-0.0528
0.0387
-0.0017
0.0087
-0.0275
-0.0566
0.0281
-0.0501
0.0288
0.0047
0.0223
-0.0282
0.0664
-0.0018
-0.0255
-0.0315
0.0595
0.0088
-0.0270
0.0036
-0.0401
0.0009
0.0056
0.0581
0.0270
0.0407
-0.0188
-0.0449
0.0513
0.0075
-0.0230
0.0395
-0.0186
-0.0016
-0.0314
-0.1074
-0.0926
0.0263
-0.0287
0.0032

AMD
0.0411
-0.0167
0.0062
-0.1442
-0.0054
0.1063
0.1173
0.1589
0.0013
0.0741
0.0526
-0.0078
-0.0907
0.0160
-0.0170
-0.0986
0.0876
-0.0289
0.0039
-0.0555
0.0205
-0.0174
-0.0913
-0.0300
0.0232
0.0211
-0.0281
-0.0167
-0.0170
0.0000
0.0173
0.0851
-0.0100
0.0317
0.0014
-0.0669
0.0329
0.0724
0.0054
-0.0027
0.0027
-0.0336
-0.1625
-0.0050
-0.0467
-0.0122
-0.0389
-0.0276

LTR
0.0277
0.0182
-0.0290
0.0143
0.0084
0.0132
0.0013
0.0078
-0.0256
0.0143
0.0171
-0.0067
-0.0007
-0.0092
0.0118
-0.0065
0.0182
0.0361
0.0019
-0.0132
0.0151
-0.0021
-0.0026
0.0012
0.0218
-0.0028
-0.0005
0.0070
-0.0097
0.0434
-0.0063
0.0418
-0.0004
0.0102
-0.0090
-0.0017
0.0274
0.0013
-0.0048
0.0059
-0.0170
0.0034
0.0000
-0.0062
-0.0156
-0.0083
-0.0261
-0.0155

SFA
0.0601
-0.0316
-0.0100
-0.0161
0.0206
0.1271
0.0597
-0.0148
-0.0443
0.0329
-0.0217
-0.0007
-0.0059
-0.0492
0.0039
-0.0500
0.0049
-0.0090
0.0149
-0.0155
0.0231
0.0073
-0.0441
-0.0076
0.0025
0.0270
-0.0025
0.0049
-0.0147
-0.0333
0.0198
0.0607
0.0032
0.0563
0.0008
-0.0067
-0.0106
0.0465
-0.0437
0.0488
-0.0094
-0.0022
-0.0404
-0.0398
-0.0295
0.0008
-0.0131
-0.0150

AOC
0.0022
0.0311
-0.0286
-0.0229
0.0384
0.0139
0.0011
-0.0132
-0.0198
0.0033
-0.0065
0.0132
-0.0152
0.0214
0.0124
-0.0143
0.0205
-0.0048
0.0085
-0.0032
0.0285
0.0051
-0.0010
-0.0189
0.0000
0.0000
-0.0146
0.0011
-0.0201
0.0189
-0.0005
0.0360
0.0281
0.0283
-0.0169
0.0039
0.0348
0.0043
0.0005
-0.0104
-0.0052
-0.0163
0.0044
-0.0315
-0.0310
0.0449
-0.0331
-0.0409

ED
0.0149
0.0088
-0.0090
-0.0103
0.0052
-0.0113
0.0112
-0.0066
-0.0181
0.0086
-0.0067
-0.0143
0.0260
-0.0144
0.0050
0.0176
0.0138
0.0073
0.0092
0.0136
0.0017
0.0106
0.0058
-0.0037
0.0068
-0.0141
0.0066
-0.0007
-0.0084
0.0115
-0.0042
0.0100
0.0136
0.0490
-0.0302
-0.0054
-0.0077
-0.0034
-0.0324
-0.0101
-0.0205
0.0136
-0.0026
-0.0087
-0.0107
0.0125
-0.0213
-0.0317

MAS
0.0440
0.0057
-0.0160
-0.0717
-0.0026
-0.0088
-0.0109
-0.0058
-0.0117
0.0670
0.0065
-0.0135
-0.0324
0.0105
0.0145
-0.0194
0.0213
0.0020
0.0168
-0.0285
0.0710
-0.0072
0.0048
0.0043
0.0221
-0.0094
0.0009
-0.0062
-0.0205
0.0029
0.0131
0.0435
-0.0766
0.0109
-0.0147
-0.0304
0.0231
-0.0080
-0.0096
0.0148
-0.0096
0.0076
-0.0197
-0.0350
-0.0053
0.0145
-0.0058
-0.0346

SLE
0.0160
0.0131
-0.0146
0.0000
0.0249
-0.0051
-0.0039
0.0151
-0.0059
0.0060
-0.0110
-0.0086
0.0030
-0.0009
0.0125
-0.0213
0.0035
-0.0456
-0.0336
0.0522
-0.0004
-0.0228
0.0046
0.0023
0.0305
-0.0049
-0.0062
0.0004
-0.0125
0.0203
-0.0040
0.0195
0.0022
0.0026
-0.0134
0.0066
0.0044
-0.0113
-0.0018
-0.0282
-0.0027
0.0164
-0.0022
-0.0049
-0.0126
-0.0146
-0.0500
-0.0273

SLM
0.0180
0.0058
-0.0200
0.0204
-0.0004
-0.0096
-0.0514
0.0219
-0.0289
-0.0034
0.0022
0.0229
0.0144
-0.0075
0.0024
-0.0078
0.0201
0.0094
-0.0216
0.0081
0.0145
0.0168
-0.0092
0.0043
0.0141
-0.0082
-0.0047
0.0158
-0.0188
0.0058
-0.0059
0.0111
0.0050
0.0192
-0.0159
0.0081
-0.0026
0.0129
-0.0193
0.0165
-0.0224
0.0067
0.0399
-0.0096
-0.0194
0.0063
-0.0289
-0.0034

0.0212
-0.0196
-0.0094
0.0119
0.0035
-0.0164
0.0178
-0.0035
0.0023

0.0058
0.0006
-0.0179
0.0053
0.0328
-0.0144
-0.0049
0.0006
-0.0162

0.0053
-0.0031
-0.0410
0.0088
0.0054
-0.0464
-0.0023
-0.0068
-0.0400

0.0038
0.0585
-0.0784
0.0135
-0.0363
0.0020
-0.0059
0.0080
-0.0059

-0.0046
0.0090
-0.0214
0.0244
0.0132
-0.0204
-0.0064
-0.0203
-0.0096

-0.0068
-0.0085
-0.0215
-0.0263
0.0658
-0.0321
0.0437
0.0059
0.0141

0.0229
0.0036
-0.0275
0.0096
0.0095
-0.0298
-0.0092
-0.0125
-0.0149

0.0227
-0.0070
0.0008
0.0030
0.0065
-0.0067
-0.0110
0.0119
-0.0183

0.0138
0.0049
-0.0298
0.0145
0.0148
-0.0065
0.0044
-0.0250
-0.0095

0.0070
-0.0289
-0.0133
0.0353
0.0075
0.0358
-0.0043
-0.0043
-0.0145

0.0154
0.0134
-0.0160
0.0087
-0.0116
-0.0082
-0.0139
-0.0112
0.0090

0.0028

-0.0027

-0.0016

-0.0023

0.0020

0.0014

-0.0002

-0.0004

-0.0019

-0.0017

0.0002

DPH
0.0324
-0.0041
0.0011
-0.0133
0.0157
0.0710
-0.0113
-0.0138
-0.0311
0.0516
0.0092
-0.0028
-0.0265
-0.0198
-0.0102
0.0059
0.0071
-0.0163
0.0034
0.0107
0.0033
-0.0197
-0.0188
-0.0091
-0.0217
0.0113
-0.0041
-0.0015
-0.0041
-0.0230
0.0359
0.0630
-0.0121
0.0184
0.0110
-0.0199
0.0192
-0.0017
-0.0006
0.0073

DPH
0.0422
0.0172
-0.0397
-0.0396
-0.0251
0.0359
-0.0040
0.0284
-0.0036
0.0494
0.0027
-0.0055
-0.0153
0.0207
-0.0056
-0.0209
0.0215
-0.0175
0.0029
-0.0195
0.0286
-0.0254
-0.0128
-0.0075
0.0172
-0.0198
-0.0144
0.0154
-0.0113
0.0309
-0.0063
0.0518
-0.0589
-0.0087
0.0150
0.0086
0.0360
0.0035
-0.0077
-0.0055

SCH
0.1409
0.0490
-0.0150
-0.0250
0.0416
0.0191
0.0110
0.0016
-0.0512
0.0402
-0.0002
0.0102
-0.0259
-0.0550
0.0297
-0.0486
0.0304
0.0062
0.0239
-0.0266
0.0679
-0.0002
-0.0239
-0.0300
0.0611
0.0104
-0.0254
0.0052
-0.0385
0.0025
0.0071
0.0597
0.0286
0.0423
-0.0172
-0.0433
0.0529
0.0090
-0.0214
0.0411

AMD
0.0434
-0.0144
0.0085
-0.1418
-0.0030
0.1086
0.1196
0.1612
0.0036
0.0765
0.0550
-0.0054
-0.0884
0.0183
-0.0146
-0.0963
0.0899
-0.0266
0.0062
-0.0531
0.0228
-0.0151
-0.0889
-0.0276
0.0255
0.0235
-0.0258
-0.0144
-0.0147
0.0023
0.0197
0.0875
-0.0076
0.0340
0.0037
-0.0646
0.0352
0.0747
0.0077
-0.0003

LTR
0.0257
0.0162
-0.0310
0.0123
0.0065
0.0112
-0.0007
0.0058
-0.0276
0.0123
0.0151
-0.0087
-0.0027
-0.0112
0.0098
-0.0084
0.0163
0.0341
-0.0001
-0.0152
0.0131
-0.0041
-0.0046
-0.0008
0.0198
-0.0048
-0.0024
0.0050
-0.0117
0.0414
-0.0082
0.0399
-0.0024
0.0082
-0.0110
-0.0037
0.0255
-0.0007
-0.0068
0.0039

SFA
0.0588
-0.0330
-0.0114
-0.0174
0.0192
0.1257
0.0584
-0.0162
-0.0457
0.0316
-0.0231
-0.0021
-0.0073
-0.0506
0.0025
-0.0514
0.0036
-0.0104
0.0135
-0.0168
0.0218
0.0059
-0.0455
-0.0089
0.0012
0.0256
-0.0038
0.0036
-0.0161
-0.0346
0.0184
0.0593
0.0018
0.0549
-0.0006
-0.0081
-0.0119
0.0452
-0.0451
0.0474

AOC
0.0024
0.0313
-0.0283
-0.0226
0.0387
0.0142
0.0013
-0.0130
-0.0196
0.0035
-0.0063
0.0134
-0.0149
0.0216
0.0126
-0.0141
0.0207
-0.0045
0.0087
-0.0029
0.0287
0.0054
-0.0008
-0.0187
0.0002
0.0002
-0.0144
0.0013
-0.0199
0.0191
-0.0003
0.0362
0.0283
0.0285
-0.0167
0.0041
0.0350
0.0045
0.0007
-0.0101

ED
0.0153
0.0092
-0.0086
-0.0099
0.0056
-0.0109
0.0116
-0.0063
-0.0177
0.0089
-0.0064
-0.0140
0.0264
-0.0141
0.0054
0.0180
0.0142
0.0077
0.0096
0.0140
0.0020
0.0110
0.0062
-0.0033
0.0071
-0.0137
0.0069
-0.0003
-0.0080
0.0119
-0.0038
0.0104
0.0140
0.0494
-0.0298
-0.0050
-0.0073
-0.0030
-0.0320
-0.0098

MAS
0.0459
0.0076
-0.0141
-0.0698
-0.0006
-0.0068
-0.0090
-0.0039
-0.0097
0.0690
0.0085
-0.0115
-0.0305
0.0124
0.0164
-0.0175
0.0233
0.0040
0.0187
-0.0266
0.0730
-0.0053
0.0068
0.0063
0.0240
-0.0075
0.0029
-0.0042
-0.0185
0.0048
0.0150
0.0455
-0.0746
0.0129
-0.0128
-0.0285
0.0251
-0.0061
-0.0077
0.0168

SLE
0.0176
0.0147
-0.0130
0.0017
0.0266
-0.0035
-0.0022
0.0167
-0.0043
0.0076
-0.0094
-0.0069
0.0047
0.0008
0.0142
-0.0197
0.0051
-0.0439
-0.0320
0.0539
0.0012
-0.0212
0.0062
0.0039
0.0321
-0.0032
-0.0046
0.0021
-0.0108
0.0220
-0.0023
0.0212
0.0038
0.0043
-0.0118
0.0082
0.0060
-0.0097
-0.0001
-0.0265

SLM
0.0178
0.0056
-0.0201
0.0202
-0.0005
-0.0098
-0.0516
0.0217
-0.0290
-0.0035
0.0020
0.0227
0.0143
-0.0077
0.0022
-0.0079
0.0200
0.0093
-0.0217
0.0079
0.0143
0.0167
-0.0093
0.0042
0.0140
-0.0084
-0.0048
0.0157
-0.0190
0.0056
-0.0061
0.0109
0.0048
0.0191
-0.0161
0.0080
-0.0028
0.0127
-0.0195
0.0163

0.0005
-0.0217
0.0176
-0.0084
-0.0352
0.0203
-0.0152
-0.0325
0.0184
-0.0224
-0.0122
0.0091
0.0007
-0.0192
0.0150
-0.0063
-0.0005

0.0104
-0.0021
-0.0269
-0.0259
-0.0114
-0.0016
-0.0225
0.0109
0.0085
0.0032
-0.0152
0.0080
0.0354
-0.0118
-0.0022
0.0032
-0.0135

-0.0170
-0.0001
-0.0298
-0.1058
-0.0911
0.0279
-0.0271
0.0047
0.0068
-0.0016
-0.0394
0.0103
0.0070
-0.0449
-0.0007
-0.0052
-0.0384

0.0050
-0.0312
-0.1602
-0.0026
-0.0443
-0.0099
-0.0366
-0.0253
0.0061
0.0608
-0.0761
0.0159
-0.0339
0.0043
-0.0036
0.0103
-0.0036

-0.0190
0.0014
-0.0020
-0.0082
-0.0176
-0.0102
-0.0281
-0.0175
-0.0066
0.0070
-0.0234
0.0225
0.0112
-0.0224
-0.0084
-0.0223
-0.0116

-0.0108
-0.0036
-0.0418
-0.0412
-0.0309
-0.0006
-0.0145
-0.0164
-0.0081
-0.0099
-0.0228
-0.0277
0.0644
-0.0335
0.0423
0.0045
0.0128

-0.0050
-0.0161
0.0046
-0.0313
-0.0308
0.0451
-0.0329
-0.0406
0.0231
0.0039
-0.0273
0.0098
0.0097
-0.0296
-0.0090
-0.0123
-0.0147

-0.0201
0.0140
-0.0023
-0.0083
-0.0103
0.0129
-0.0209
-0.0313
0.0231
-0.0066
0.0011
0.0034
0.0069
-0.0063
-0.0106
0.0123
-0.0179

-0.0076
0.0096
-0.0178
-0.0331
-0.0034
0.0164
-0.0039
-0.0327
0.0157
0.0068
-0.0278
0.0164
0.0168
-0.0046
0.0063
-0.0230
-0.0075

-0.0011
0.0180
-0.0006
-0.0033
-0.0110
-0.0129
-0.0483
-0.0256
0.0087
-0.0272
-0.0117
0.0370
0.0092
0.0375
-0.0027
-0.0027
-0.0129

-0.0226
0.0065
0.0397
-0.0098
-0.0195
0.0061
-0.0291
-0.0036
0.0152
0.0133
-0.0161
0.0086
-0.0117
-0.0083
-0.0141
-0.0114
0.0088

10-Dec
0.0013
-0.0565
-0.0125
-0.0122
-0.0091
-0.0144
-0.0025
0.0098
-0.0040
0.0439
0.0037
-0.0184
0.0161
-0.0023
-0.0135
0.0050
0.0004
0.0258
0.0034
0.0029
0.0239
0.0062
-0.0001
0.0135
0.0087
0.0096
0.0187
-0.0320
-0.0217
0.0039
-0.0011
-0.0050
-0.0127
-0.0027
0.0000
-0.0070

11-Dec
-0.0086
-0.0277
-0.0161
-0.0303
0.0036
-0.0088
-0.0029
-0.0236
-0.0045
-0.0172
-0.0094
-0.0141
-0.0106
-0.0121
-0.0090
-0.0217
-0.0389
-0.0719
0.0107
-0.0195
-0.0266
-0.0531
-0.0152
-0.0168
-0.0029
0.0140
-0.0266
0.0539
0.0079
-0.0242
-0.0109
-0.0197
-0.0089
-0.0125
-0.0065
-0.0159

12-Dec
0.0185
0.0301
0.0113
-0.0014
0.0314
-0.0049
0.0301
0.0347
0.0170
0.0342
0.0410
0.0273
0.0172
0.0047
0.0163
-0.0008
0.0466
0.0876
0.0033
0.0286
0.0679
0.0228
0.0131
0.0218
0.0287
0.0020
0.0730
0.0012
0.0143
0.0434
0.0435
0.0183
0.0169
0.0168
0.0131
0.0224

13-Dec
-0.0080
0.1286
-0.0166
-0.0041
-0.0135
-0.0097
0.0108
-0.0093
-0.0094
-0.0237
-0.0032
-0.0101
0.0047
-0.0127
-0.0076
0.0009
-0.0078
0.0126
-0.0197
-0.0254
-0.0002
-0.0151
-0.0041
0.0059
0.0054
0.0110
-0.0053
-0.0212
0.0167
-0.0263
-0.0185
-0.0193
-0.0112
-0.0074
-0.0146
-0.0010

16-Dec
-0.0038
-0.0326
-0.0113
-0.0125
-0.0121
-0.0098
-0.0300
-0.0186
-0.0334
-0.0149
-0.0205
-0.0215
-0.0043
-0.0028
0.0032
-0.0091
-0.0764
-0.0739
-0.0188
-0.0128
-0.0239
-0.0889
-0.0046
-0.0455
-0.0008
0.0062
0.0068
0.0062
-0.0093
0.0658
-0.0116
-0.0255
-0.0137
-0.0170
-0.0066
-0.0216

17-Dec
-0.0126
0.0427
0.0024
-0.0135
-0.0039
-0.0059
-0.0186
-0.0291
-0.0134
0.0108
0.0022
-0.0107
-0.0086
-0.0209
-0.0151
-0.0058
0.0022
-0.0886
-0.0091
-0.0075
-0.0300
-0.0276
-0.0008
-0.0089
-0.0187
-0.0033
0.0063
0.0039
0.0042
0.0199
0.0013
-0.0004
-0.0106
-0.0138
-0.0112
-0.0110

18-Dec
0.0249
0.0427
0.0147
0.0087
0.0100
-0.0088
0.0080
0.0242
-0.0037
0.0128
-0.0032
0.0106
-0.0092
0.0043
0.0060
0.0420
-0.0067
0.0684
-0.0217
0.0172
0.0611
0.0255
0.0198
0.0012
0.0002
0.0071
0.0240
0.0321
0.0140
0.0156
0.0210
0.0581
0.0075
0.0207
0.0071
0.0206

19-Dec
0.0047
0.0709
-0.0089
-0.0188
0.0004
0.0018
0.0317
-0.0003
0.0060
0.0166
-0.0093
-0.0191
-0.0050
-0.0458
0.0351
-0.0005
0.0220
0.0558
0.0113
-0.0198
0.0104
0.0235
-0.0048
0.0256
0.0002
-0.0137
-0.0075
-0.0032
-0.0084
-0.0178
-0.0030
-0.0156
-0.0030
0.0218
0.0133
0.0015

20-Dec
0.0013
-0.0518
-0.0015
0.0063
-0.0066
-0.0059
-0.0118
0.0083
0.0016
-0.0166
-0.0284
0.0006
-0.0018
-0.0281
-0.0028
0.0002
-0.0223
-0.0268
-0.0041
-0.0144
-0.0254
-0.0258
-0.0024
-0.0038
-0.0144
0.0069
0.0029
-0.0046
-0.0048
-0.0064
-0.0060
0.0035
-0.0063
-0.0005
0.0029
-0.0084

23-Dec
0.0055
-0.0156
-0.0054
-0.0003
0.0004
-0.0049
-0.0204
0.0116
0.0061
-0.0156
-0.0054
0.0091
0.0141
0.0278
0.0068
0.0062
0.0030
-0.0486
-0.0015
0.0154
0.0052
-0.0144
0.0050
0.0036
0.0013
-0.0003
-0.0042
0.0021
0.0157
0.0080
0.0054
-0.0010
0.0043
-0.0076
0.0045
0.0106

24-Dec
-0.0173
-0.0495
-0.0185
-0.0155
-0.0134
-0.0069
-0.0196
-0.0389
-0.0057
-0.0286
-0.0138
0.0057
-0.0064
-0.0040
-0.0156
-0.0065
-0.0142
0.0090
-0.0041
-0.0113
-0.0385
-0.0147
-0.0117
-0.0161
-0.0199
-0.0080
-0.0185
-0.0108
-0.0190
-0.0109
-0.0133
-0.0058
-0.0127
-0.0179
-0.0037
-0.0100

-0.0064
-0.0140
0.0163
-0.0109

-0.0125
-0.0004
-0.0168
-0.0034

0.0382
0.0388
0.0236
0.0382

DPH
0.000167
0.000194
0.000153
0.000061
0.000184
0.000354
0.000357
0.000356
0.000106
0.000143
0.000449
0.000154
0.000100
0.000308
0.000141
0.000096
0.000444
0.000348
0.000472
0.000198
0.000423
0.000448
0.000114
0.000453
0.000198
0.000049
0.000242
0.000064
0.000042
0.000067
0.000180
0.000110
0.000192
########
0.000116
0.000286
0.000175
0.000248
0.000471
0.000213

DPH
0.000148
0.000083
0.000165
0.000168
0.000181
0.000179
0.000261
0.000356
0.000098
0.000133
0.000384
0.000178
0.000047
0.000262
0.000112
0.000161
0.000309
0.000580
0.000198
0.000515
0.000445
0.000721
0.000191
0.000283
0.000165
0.000010
0.000408
0.000109
0.000035
0.000193
0.000175
0.000139
0.000181
0.000018
0.000079
0.000231
0.000185
0.000232
0.000415
0.000189

SCH
0.000409
0.000539
0.000398
0.000336
0.000493
0.000745
0.000778
0.000682
0.000360
0.000437
0.000596
0.000473
0.000239
0.000614
0.000323
0.000266
0.000979
0.001527
0.000423
0.000445
0.001640
0.001006
0.000407
0.000801
0.000500
0.000220
0.000597
0.000155
0.000231
0.000410
0.000387
0.000309
0.000377
0.000078
0.000280
0.000774
0.000443
0.000603
0.000630
0.000482

-0.0124
-0.0080
-0.0075
-0.0096

-0.0031
-0.0166
-0.0188
-0.0104

-0.0095
-0.0303
0.0059
0.0067

0.0200
0.0155
-0.0014
-0.0016

-0.0151
0.0220
-0.0169
-0.0026

-0.0031
-0.0195
-0.0045
-0.0059

AMD
0.000225
0.000906
0.000410
0.000246
0.000411
0.000387
0.000865
0.000934
0.000240
0.000303
0.000767
0.000341
0.000161
0.000697
0.000102
0.000358
0.001327
0.002414
0.000448
0.000721
0.001006
0.003329
0.000271
0.000964
0.000341
########
0.000671
0.000107
########
0.000257
0.000374
0.000256
0.000290
########
0.000333
0.000595
0.000273
0.000610
0.001340
0.000335

LTR
0.000197
0.000299
0.000219
0.000130
0.000183
0.000230
0.000221
0.000264
0.000114
0.000104
0.000125
0.000209
0.000098
0.000178
0.000130
0.000083
0.000293
0.000348
0.000114
0.000191
0.000407
0.000271
0.000266
0.000169
0.000183
0.000091
0.000196
0.000088
0.000127
0.000145
0.000146
0.000124
0.000166
0.000035
0.000088
0.000252
0.000178
0.000133
0.000235
0.000187

sFa
0.000206
0.000480
0.000209
0.000082
0.000266
0.000652
0.000620
0.000382
0.000253
0.000171
0.000524
0.000218
0.000148
0.000449
0.000120
0.000147
0.000852
0.001166
0.000453
0.000283
0.000801
0.000964
0.000169
0.001182
0.000211
0.000109
0.000283
########
0.000018
0.000179
0.000309
0.000191
0.000220
########
0.000196
0.000421
0.000234
0.000446
0.000673
0.000291

AOC
0.000194
0.000338
0.000235
0.000116
0.000214
0.000202
0.000310
0.000288
0.000129
0.000150
0.000250
0.000233
0.000158
0.000241
0.000170
0.000127
0.000327
0.000412
0.000198
0.000165
0.000500
0.000341
0.000183
0.000211
0.000409
0.000134
0.000223
0.000114
0.000115
0.000190
0.000082
0.000074
0.000203
0.000108
0.000096
0.000291
0.000195
0.000182
0.000312
0.000224

ED
0.000104
0.000130
0.000087
0.000081
0.000109
0.000086
0.000115
0.000092
0.000105
0.000071
0.000021
0.000118
0.000157
0.000027
0.000056
0.000014
0.000106
0.000109
0.000049
0.000010
0.000220
########
0.000091
0.000109
0.000134
0.000221
0.000084
0.000088
0.000083
0.000084
0.000089
0.000017
0.000077
0.000069
0.000045
0.000120
0.000087
0.000087
0.000000
0.000091

MAS
0.000209
0.000163
0.000184
0.000220
0.000254
0.000280
0.000293
0.000357
0.000165
0.000267
0.000405
0.000191
0.000077
0.000255
0.000174
0.000196
0.000382
0.000640
0.000242
0.000408
0.000597
0.000671
0.000196
0.000283
0.000223
0.000084
0.000667
0.000067
0.000050
0.000240
0.000229
0.000179
0.000201
0.000181
0.000086
0.000281
0.000262
0.000268
0.000387
0.000262

0.0065
0.0044
0.0186
0.0013

SLE
0.000097
0.000175
0.000066
0.000184
0.000144
0.000144
0.000083
0.000101
0.000055
0.000101
0.000053
0.000152
0.000075
0.000096
0.000098
0.000050
0.000103
0.000103
0.000064
0.000109
0.000155
0.000107
0.000088
########
0.000114
0.000088
0.000067
0.000352
0.000076
0.000093
0.000051
0.000108
0.000101
0.000005
0.000040
0.000121
0.000090
0.000106
0.000093
0.000111

-0.0158
-0.0294
-0.0231
-0.0200

SLM
0.000115
0.000217
0.000091
0.000058
0.000093
0.000074
0.000099
0.000101
0.000061
0.000061
0.000019
0.000149
0.000058
0.000043
0.000072
########
0.000193
0.000017
0.000042
0.000035
0.000231
########
0.000127
0.000018
0.000115
0.000083
0.000050
0.000076
0.000271
0.000077
0.000111
0.000059
0.000091
########
0.000016
0.000160
0.000106
0.000018
0.000062
0.000120

###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ######

APOL
41.01
42.43
42.40
41.43
41.61
42.63
43.53
43.80
43.69
41.39
42.35
41.25
41.30
40.50
41.53
42.08
41.26
41.21
40.83
41.04
40.10
41.89
40.84
43.58
44.50
45.25
44.50
44.27
44.68
44.25
44.74
44.00

EMN
37.05
37.65
37.99
37.97
38.49
35.53
36.60
36.54
36.30
36.16
38.21
38.66
39.05
39.13
36.54
37.32
36.21
36.54
36.86
36.75
36.28
37.79
37.02
36.52
36.50
37.20
37.02
36.73
36.86
36.30
36.60
36.77

MCO
43.73
44.53
43.42
42.73
43.70
43.95
43.07
43.48
44.07
43.17
44.56
44.02
44.11
43.87
43.26
43.91
42.67
42.51
42.45
42.22
41.37
42.11
41.28
40.21
40.18
42.50
41.82
41.95
41.89
41.63
40.95
41.29

SOTR
24.53
24.90
25.28
24.93
25.00
25.60
26.35
26.26
26.26
25.80
26.51
26.14
25.78
25.44
25.23
25.52
25.13
25.63
25.61
25.30
25.09
25.53
25.26
24.93
24.68
24.88
24.82
24.68
24.80
24.50
24.86
24.85

ATH
62.95
63.33
64.68
64.42
62.50
62.25
58.75
59.44
54.97
56.60
58.21
59.25
57.12
59.19
61.50
61.72
61.65
62.84
63.55
63.30
62.43
63.40
62.85
61.70
60.77
61.95
63.22
63.11
62.55
61.35
61.40
62.90

EQR
24.20
25.02
24.83
24.73
24.59
24.56
25.11
25.77
25.63
25.36
25.68
25.66
26.23
25.73
25.21
25.00
25.03
24.61
24.56
24.55
24.38
24.69
24.32
24.15
23.87
24.03
24.34
24.40
24.50
24.40
24.65
24.58

MEL
27.54
28.75
29.16
28.58
28.51
29.38
30.22
30.00
30.03
29.43
30.17
29.88
29.77
29.19
28.17
28.27
27.36
27.42
27.74
27.42
26.86
27.34
27.19
26.48
26.07
26.49
26.41
26.07
26.23
25.85
26.02
25.96

STI
57.47
58.92
59.64
59.21
58.66
59.63
60.56
60.46
59.67
57.78
59.67
58.66
58.38
57.55
57.18
57.83
56.48
57.43
57.80
57.39
56.63
58.75
57.98
57.76
57.17
58.27
57.35
57.13
57.46
56.51
57.26
56.92

AW
8.76
9.28
9.24
9.08
8.92
9.27
9.39
9.89
10.02
10.03
10.41
10.70
11.22
11.00
10.82
10.72
10.45
10.30
10.32
10.19
10.20
10.61
10.54
10.38
10.08
10.25
10.49
10.30
10.36
10.07
9.92
10.00

F
8.43
8.71
8.56
8.71
8.46
8.84
10.21
10.10
10.77
10.71
10.91
11.26
11.33
9.86
9.92
9.78
9.35
9.52
9.58
9.75
9.60
9.84
9.78
9.61
9.68
9.68
9.53
9.50
9.69
9.48
9.50
9.20

MI
26.81
27.89
27.77
27.30
27.47
28.26
28.78
28.74
28.73
28.25
28.97
28.42
28.34
27.74
27.45
27.50
26.89
27.88
27.77
27.46
27.36
28.40
28.12
27.82
28.00
27.95
27.87
27.70
27.73
27.17
27.52
27.38

45.26
45.77
45.90
44.68
43.63
43.90
44.43
43.54
43.23
43.24
43.56
42.87
41.64
41.52
42.26
41.25
41.64
41.97
44.08
44.09
44.46
44.90
45.29
44.05
44.21
43.48

37.73
37.57
38.35
38.40
38.17
37.10
38.14
37.87
38.00
37.19
37.20
36.90
36.11
35.64
36.15
35.29
34.17
34.81
34.61
33.94
34.23
33.90
33.95
33.72
33.23
32.87

43.70
43.78
42.88
42.54
41.85
40.64
40.25
41.81
41.87
41.88
42.51
42.30
42.20
41.81
42.22
41.00
40.76
41.37
41.40
41.01
41.88
42.90
41.99
43.05
42.70
42.33

25.72
25.50
26.20
25.99
25.79
26.30
25.93
26.01
26.18
26.04
25.96
26.27
26.00
25.83
26.32
25.71
25.48
25.63
25.82
25.41
26.06
26.28
25.76
25.51
25.50
25.25

63.35
62.60
62.22
61.20
61.15
61.10
60.36
60.64
59.59
59.45
59.72
60.98
60.30
61.00
62.50
61.25
60.09
60.75
61.57
61.25
62.08
59.75
58.07
58.25
58.00
57.82

25.06
25.47
25.91
25.50
25.41
25.64
25.54
25.23
25.10
24.90
24.54
24.08
23.99
23.95
24.25
23.74
23.76
23.66
24.02
23.88
24.44
23.92
23.88
23.90
23.75
23.55

27.15
27.03
27.94
27.45
26.82
27.08
27.16
27.13
27.34
26.97
27.18
26.68
25.91
23.32
23.86
23.06
22.78
22.89
23.14
22.50
22.87
22.65
22.24
22.01
21.48
20.99

58.70
58.23
59.85
59.05
58.29
59.13
58.45
58.20
58.83
58.12
57.71
58.45
58.13
57.41
57.65
56.36
55.96
56.06
56.27
55.54
56.65
56.80
55.88
55.79
55.23
54.82

10.41
10.32
10.77
11.09
10.70
11.08
11.10
11.00
11.00
10.84
11.09
10.72
10.52
10.36
10.24
9.92
9.83
10.15
9.57
10.00
9.78
9.98
9.70
9.48
9.30
9.30

9.84
9.58
9.96
10.02
9.91
10.12
10.39
10.47
10.42
10.19
10.32
10.05
10.03
9.64
9.91
9.65
9.37
9.47
9.39
9.01
9.11
9.20
9.01
9.09
8.99
8.80

31

32

33

34

35

36

37

38

39

40

6.2925%

6.2783%

6.2649%

6.2524%

6.2405%

6.2294%

6.2188%

6.2088%

6.1993%

6.1902%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

5.8382%

28.34
28.20
29.15
28.58
28.32
28.92
28.53
28.48
28.80
28.40
28.11
28.45
27.93
27.81
28.04
27.60
27.11
27.15
27.14
26.41
27.10
27.28
26.59
26.74
26.57
26.24

APOL
0.0346
-0.0007
-0.0229
0.0043
0.0245
0.0211
0.0062
-0.0025
-0.0526
0.0232
-0.0260
0.0012
-0.0194
0.0254
0.0132
-0.0195
-0.0012
-0.0092
0.0051
-0.0229
0.0446
-0.0251
0.0671
0.0211
0.0169
-0.0166
-0.0052
0.0093
-0.0096
0.0111
-0.0165
0.0286
0.0113
0.0028
-0.0266
-0.0235
0.0062
0.0121
-0.0200
-0.0071
0.0002
0.0074
-0.0158
-0.0287
-0.0029
0.0178
-0.0239
0.0095

EMN
0.0162
0.0090
-0.0005
0.0137
-0.0769
0.0301
-0.0016
-0.0066
-0.0039
0.0567
0.0118
0.0101
0.0020
-0.0662
0.0213
-0.0297
0.0091
0.0088
-0.0030
-0.0128
0.0416
-0.0204
-0.0135
-0.0005
0.0192
-0.0048
-0.0078
0.0035
-0.0152
0.0083
0.0046
0.0261
-0.0042
0.0208
0.0013
-0.0060
-0.0280
0.0280
-0.0071
0.0034
-0.0213
0.0003
-0.0081
-0.0214
-0.0130
0.0143
-0.0238
-0.0317

MCO
0.0183
-0.0249
-0.0159
0.0227
0.0057
-0.0200
0.0095
0.0136
-0.0204
0.0322
-0.0121
0.0020
-0.0054
-0.0139
0.0150
-0.0282
-0.0037
-0.0014
-0.0054
-0.0201
0.0179
-0.0197
-0.0259
-0.0007
0.0577
-0.0160
0.0031
-0.0014
-0.0062
-0.0163
0.0083
0.0584
0.0018
-0.0206
-0.0079
-0.0162
-0.0289
-0.0096
0.0388
0.0014
0.0002
0.0150
-0.0049
-0.0024
-0.0092
0.0098
-0.0289
-0.0059

SOTR
0.0151
0.0153
-0.0138
0.0028
0.0240
0.0293
-0.0034
0.0000
-0.0175
0.0275
-0.0140
-0.0138
-0.0132
-0.0083
0.0115
-0.0153
0.0199
-0.0008
-0.0121
-0.0083
0.0175
-0.0106
-0.0131
-0.0100
0.0081
-0.0024
-0.0056
0.0049
-0.0121
0.0147
-0.0004
0.0350
-0.0086
0.0275
-0.0080
-0.0077
0.0198
-0.0141
0.0031
0.0065
-0.0053
-0.0031
0.0119
-0.0103
-0.0065
0.0190
-0.0232
-0.0089

ATH
0.0060
0.0213
-0.0040
-0.0298
-0.0040
-0.0562
0.0117
-0.0752
0.0297
0.0284
0.0179
-0.0359
0.0362
0.0390
0.0036
-0.0011
0.0193
0.0113
-0.0039
-0.0137
0.0155
-0.0087
-0.0183
-0.0151
0.0194
0.0205
-0.0017
-0.0089
-0.0192
0.0008
0.0244
0.0072
-0.0118
-0.0061
-0.0164
-0.0008
-0.0008
-0.0121
0.0046
-0.0173
-0.0023
0.0045
0.0211
-0.0112
0.0116
0.0246
-0.0200
-0.0189

EQR
0.0339
-0.0076
-0.0040
-0.0057
-0.0012
0.0224
0.0263
-0.0054
-0.0105
0.0126
-0.0008
0.0222
-0.0191
-0.0202
-0.0083
0.0012
-0.0168
-0.0020
-0.0004
-0.0069
0.0127
-0.0150
-0.0070
-0.0116
0.0067
0.0129
0.0025
0.0041
-0.0041
0.0102
-0.0028
0.0195
0.0164
0.0173
-0.0158
-0.0035
0.0091
-0.0039
-0.0121
-0.0052
-0.0080
-0.0145
-0.0187
-0.0037
-0.0017
0.0125
-0.0210
0.0008

MEL
0.0439
0.0143
-0.0199
-0.0024
0.0305
0.0286
-0.0073
0.0010
-0.0200
0.0251
-0.0096
-0.0037
-0.0195
-0.0349
0.0035
-0.0322
0.0022
0.0117
-0.0115
-0.0204
0.0179
-0.0055
-0.0261
-0.0155
0.0161
-0.0030
-0.0129
0.0061
-0.0145
0.0066
-0.0023
0.0458
-0.0044
0.0337
-0.0175
-0.0230
0.0097
0.0030
-0.0011
0.0077
-0.0135
0.0078
-0.0184
-0.0289
-0.1000
0.0232
-0.0335
-0.0121

STI
0.0252
0.0122
-0.0072
-0.0093
0.0165
0.0156
-0.0017
-0.0131
-0.0317
0.0327
-0.0169
-0.0048
-0.0142
-0.0064
0.0114
-0.0233
0.0168
0.0064
-0.0071
-0.0132
0.0374
-0.0131
-0.0038
-0.0102
0.0192
-0.0158
-0.0038
0.0058
-0.0165
0.0133
-0.0059
0.0313
-0.0080
0.0278
-0.0134
-0.0129
0.0144
-0.0115
-0.0043
0.0108
-0.0121
-0.0071
0.0128
-0.0055
-0.0124
0.0042
-0.0224
-0.0071

AW
0.0594
-0.0043
-0.0173
-0.0176
0.0392
0.0129
0.0532
0.0131
0.0010
0.0379
0.0279
0.0486
-0.0196
-0.0164
-0.0092
-0.0252
-0.0144
0.0019
-0.0126
0.0010
0.0402
-0.0066
-0.0152
-0.0289
0.0169
0.0234
-0.0181
0.0058
-0.0280
-0.0149
0.0081
0.0410
-0.0086
0.0436
0.0297
-0.0352
0.0355
0.0018
-0.0090
0.0000
-0.0145
0.0231
-0.0334
-0.0187
-0.0152
-0.0116
-0.0313
-0.0091

F
0.0332
-0.0172
0.0175
-0.0287
0.0449
0.1550
-0.0108
0.0663
-0.0056
0.0187
0.0321
0.0062
-0.1297
0.0061
-0.0141
-0.0440
0.0182
0.0063
0.0177
-0.0154
0.0250
-0.0061
-0.0174
0.0073
0.0000
-0.0155
-0.0031
0.0200
-0.0217
0.0021
-0.0316
0.0696
-0.0264
0.0397
0.0060
-0.0110
0.0212
0.0267
0.0077
-0.0048
-0.0221
0.0128
-0.0262
-0.0020
-0.0389
0.0280
-0.0262
-0.0290

MI
0.0403
-0.0043
-0.0169
0.0062
0.0288
0.0184
-0.0014
-0.0003
-0.0167
0.0255
-0.0190
-0.0028
-0.0212
-0.0105
0.0018
-0.0222
0.0368
-0.0039
-0.0112
-0.0036
0.0380
-0.0099
-0.0107
0.0065
-0.0018
-0.0029
-0.0061
0.0011
-0.0202
0.0129
-0.0051
0.0351
-0.0049
0.0337
-0.0196
-0.0091
0.0212
-0.0135
-0.0018
0.0112
-0.0139
-0.0102
0.0121
-0.0183
-0.0043
0.0083
-0.0157
-0.0178

0.0079
0.0503
0.0002
0.0084
0.0099
0.0087
-0.0274
0.0036
-0.0165

0.0187
-0.0057
-0.0194
0.0085
-0.0096
0.0015
-0.0068
-0.0145
-0.0108

0.0150
0.0007
-0.0094
0.0212
0.0244
-0.0212
0.0252
-0.0081
-0.0087

0.0059
0.0074
-0.0159
0.0256
0.0084
-0.0198
-0.0097
-0.0004
-0.0098

0.0110
0.0135
-0.0052
0.0136
-0.0375
-0.0281
0.0031
-0.0043
-0.0031

-0.0042
0.0152
-0.0058
0.0235
-0.0213
-0.0017
0.0008
-0.0063
-0.0084

0.0048
0.0109
-0.0277
0.0164
-0.0096
-0.0181
-0.0103
-0.0241
-0.0228

0.0018
0.0037
-0.0130
0.0200
0.0026
-0.0162
-0.0016
-0.0100
-0.0074

0.0326
-0.0571
0.0449
-0.0220
0.0204
-0.0281
-0.0227
-0.0190
0.0000

0.0107
-0.0084
-0.0405
0.0111
0.0099
-0.0207
0.0089
-0.0110
-0.0211

0.0015
-0.0004
-0.0269
0.0261
0.0066
-0.0253
0.0056
-0.0064
-0.0124

0.0013

-0.0019

-0.0004

0.0006

-0.0013

-0.0004

-0.0045

-0.0007

0.0014

0.0014

-0.0002

APOL
0.0334
-0.0020
-0.0241
0.0031
0.0233
0.0199
0.0049
-0.0038
-0.0539
0.0219
-0.0272
0.0000
-0.0206
0.0242
0.0120
-0.0207
-0.0025
-0.0105
0.0039
-0.0242
0.0434
-0.0263
0.0658
0.0199
0.0156
-0.0178
-0.0064
0.0080
-0.0109
0.0098
-0.0178
0.0274
0.0100
0.0016
-0.0278
-0.0248
0.0049
0.0108
-0.0213
-0.0084

EMN
0.0181
0.0109
0.0013
0.0156
-0.0750
0.0320
0.0002
-0.0047
-0.0020
0.0586
0.0136
0.0119
0.0039
-0.0643
0.0232
-0.0279
0.0110
0.0106
-0.0011
-0.0109
0.0435
-0.0185
-0.0116
0.0013
0.0210
-0.0030
-0.0060
0.0054
-0.0133
0.0101
0.0065
0.0280
-0.0024
0.0226
0.0032
-0.0041
-0.0262
0.0299
-0.0052
0.0053

MCO
0.0187
-0.0245
-0.0155
0.0231
0.0061
-0.0196
0.0099
0.0140
-0.0200
0.0326
-0.0117
0.0024
-0.0051
-0.0135
0.0154
-0.0279
-0.0034
-0.0010
-0.0050
-0.0197
0.0183
-0.0193
-0.0255
-0.0004
0.0581
-0.0156
0.0035
-0.0010
-0.0058
-0.0160
0.0087
0.0588
0.0022
-0.0202
-0.0075
-0.0158
-0.0285
-0.0092
0.0391
0.0018

SOTR
0.0145
0.0147
-0.0145
0.0022
0.0234
0.0287
-0.0040
-0.0006
-0.0181
0.0269
-0.0146
-0.0144
-0.0138
-0.0089
0.0109
-0.0159
0.0193
-0.0014
-0.0127
-0.0089
0.0169
-0.0112
-0.0137
-0.0106
0.0075
-0.0030
-0.0063
0.0043
-0.0127
0.0141
-0.0010
0.0344
-0.0092
0.0268
-0.0086
-0.0083
0.0192
-0.0147
0.0025
0.0059

ATH
0.0073
0.0226
-0.0028
-0.0285
-0.0027
-0.0550
0.0130
-0.0739
0.0309
0.0297
0.0191
-0.0347
0.0375
0.0403
0.0048
0.0001
0.0206
0.0126
-0.0027
-0.0125
0.0168
-0.0074
-0.0170
-0.0138
0.0207
0.0218
-0.0005
-0.0076
-0.0179
0.0021
0.0257
0.0084
-0.0106
-0.0048
-0.0151
0.0004
0.0004
-0.0108
0.0059
-0.0161

EQR
0.0343
-0.0072
-0.0036
-0.0053
-0.0008
0.0228
0.0267
-0.0050
-0.0101
0.0130
-0.0004
0.0226
-0.0187
-0.0198
-0.0079
0.0016
-0.0164
-0.0016
0.0000
-0.0065
0.0131
-0.0146
-0.0066
-0.0112
0.0071
0.0133
0.0029
0.0045
-0.0037
0.0106
-0.0024
0.0199
0.0168
0.0177
-0.0154
-0.0031
0.0094
-0.0035
-0.0117
-0.0048

MEL
0.0484
0.0187
-0.0154
0.0020
0.0350
0.0331
-0.0028
0.0055
-0.0155
0.0296
-0.0051
0.0008
-0.0150
-0.0305
0.0080
-0.0277
0.0067
0.0162
-0.0070
-0.0159
0.0224
-0.0010
-0.0216
-0.0110
0.0206
0.0015
-0.0084
0.0106
-0.0100
0.0111
0.0022
0.0503
0.0001
0.0382
-0.0131
-0.0185
0.0142
0.0074
0.0034
0.0122

STI
0.0259
0.0129
-0.0065
-0.0086
0.0173
0.0163
-0.0009
-0.0124
-0.0310
0.0334
-0.0162
-0.0041
-0.0135
-0.0057
0.0121
-0.0226
0.0175
0.0072
-0.0064
-0.0125
0.0382
-0.0124
-0.0031
-0.0095
0.0200
-0.0151
-0.0031
0.0065
-0.0158
0.0140
-0.0052
0.0320
-0.0073
0.0285
-0.0127
-0.0122
0.0151
-0.0108
-0.0036
0.0115

AW
0.0580
-0.0057
-0.0187
-0.0190
0.0378
0.0115
0.0519
0.0117
-0.0004
0.0365
0.0265
0.0472
-0.0210
-0.0178
-0.0106
-0.0266
-0.0157
0.0005
-0.0140
-0.0004
0.0388
-0.0080
-0.0166
-0.0303
0.0155
0.0220
-0.0195
0.0044
-0.0294
-0.0163
0.0067
0.0396
-0.0100
0.0422
0.0283
-0.0366
0.0341
0.0004
-0.0104
-0.0014

F
0.0318
-0.0186
0.0161
-0.0301
0.0435
0.1536
-0.0122
0.0649
-0.0070
0.0173
0.0307
0.0048
-0.1311
0.0047
-0.0155
-0.0454
0.0168
0.0049
0.0163
-0.0168
0.0236
-0.0075
-0.0188
0.0059
-0.0014
-0.0169
-0.0045
0.0186
-0.0231
0.0007
-0.0330
0.0682
-0.0278
0.0383
0.0046
-0.0124
0.0198
0.0253
0.0063
-0.0062

MI
0.0405
-0.0041
-0.0167
0.0065
0.0290
0.0186
-0.0012
-0.0001
-0.0165
0.0257
-0.0188
-0.0026
-0.0209
-0.0102
0.0021
-0.0220
0.0370
-0.0037
-0.0109
-0.0034
0.0382
-0.0096
-0.0104
0.0067
-0.0016
-0.0026
-0.0059
0.0013
-0.0200
0.0131
-0.0049
0.0353
-0.0047
0.0339
-0.0193
-0.0089
0.0214
-0.0133
-0.0015
0.0115

-0.0010
0.0061
-0.0171
-0.0299
-0.0041
0.0166
-0.0252
0.0082
0.0067
0.0490
-0.0010
0.0071
0.0086
0.0074
-0.0286
0.0024
-0.0178

-0.0195
0.0021
-0.0062
-0.0195
-0.0112
0.0162
-0.0219
-0.0299
0.0206
-0.0039
-0.0175
0.0104
-0.0078
0.0033
-0.0049
-0.0127
-0.0090

0.0006
0.0154
-0.0046
-0.0020
-0.0089
0.0102
-0.0285
-0.0055
0.0153
0.0011
-0.0090
0.0216
0.0247
-0.0208
0.0256
-0.0077
-0.0083

-0.0060
-0.0037
0.0113
-0.0109
-0.0071
0.0184
-0.0238
-0.0096
0.0053
0.0068
-0.0165
0.0250
0.0078
-0.0204
-0.0103
-0.0010
-0.0104

-0.0011
0.0058
0.0224
-0.0099
0.0129
0.0259
-0.0187
-0.0177
0.0122
0.0148
-0.0039
0.0148
-0.0363
-0.0269
0.0044
-0.0030
-0.0018

-0.0076
-0.0141
-0.0184
-0.0033
-0.0013
0.0129
-0.0206
0.0012
-0.0038
0.0156
-0.0054
0.0238
-0.0209
-0.0013
0.0012
-0.0059
-0.0080

-0.0090
0.0123
-0.0139
-0.0244
-0.0955
0.0276
-0.0290
-0.0077
0.0093
0.0154
-0.0232
0.0209
-0.0051
-0.0136
-0.0059
-0.0196
-0.0183

-0.0114
-0.0063
0.0135
-0.0048
-0.0117
0.0049
-0.0217
-0.0064
0.0025
0.0045
-0.0123
0.0207
0.0034
-0.0155
-0.0009
-0.0093
-0.0067

-0.0159
0.0217
-0.0348
-0.0201
-0.0166
-0.0130
-0.0326
-0.0105
0.0312
-0.0585
0.0435
-0.0234
0.0191
-0.0295
-0.0241
-0.0204
-0.0014

-0.0235
0.0114
-0.0276
-0.0034
-0.0403
0.0266
-0.0276
-0.0304
0.0093
-0.0098
-0.0419
0.0097
0.0085
-0.0221
0.0075
-0.0124
-0.0225

-0.0137
-0.0100
0.0123
-0.0180
-0.0041
0.0085
-0.0155
-0.0175
0.0017
-0.0001
-0.0267
0.0264
0.0069
-0.0251
0.0059
-0.0061
-0.0122

26-Dec
0.0205
-0.0007
0.0279
0.0202
0.0093
-0.0078
-0.0113
0.0172
-0.0009
-0.0206
-0.0019
-0.0053
0.0039
0.0024
0.0153
0.0014
-0.0239
-0.0083
-0.0230
0.0309
0.0025
0.0023
0.0414
-0.0346
0.0191
0.0119
0.0048
0.0220
0.0056
0.0098
0.0101
-0.0160
0.0141
0.0021
0.0106
0.0111

27-Dec
-0.0047
-0.0222
-0.0077
0.0219
-0.0016
-0.0049
-0.0034
0.0126
-0.0009
-0.0003
0.0123
0.0167
-0.0015
0.0040
-0.0038
0.0203
-0.0004
0.0946
0.0359
-0.0063
0.0071
0.0197
-0.0082
0.0184
-0.0003
-0.0038
0.0150
-0.0023
-0.0061
-0.0178
0.0065
0.0087
-0.0010
0.0257
-0.0024
0.0022

30-Dec
0.0335
0.0674
0.0296
0.0186
0.0311
-0.0059
0.0325
0.0406
0.0276
0.0380
0.0191
0.0684
0.0186
0.0312
0.0493
0.0009
0.0658
-0.0014
0.0630
0.0518
0.0597
0.0875
0.0399
0.0593
0.0362
0.0104
0.0455
0.0212
0.0109
0.0274
0.0280
0.0588
0.0344
0.0084
0.0199
0.0503

31-Dec
-0.0016
0.0030
-0.0023
0.0199
-0.0092
-0.0059
0.0276
-0.0133
-0.0005
-0.0070
-0.0299
-0.0015
0.0152
0.0209
0.0008
-0.0036
0.0296
-0.0724
-0.0121
-0.0589
0.0286
-0.0076
-0.0024
0.0018
0.0283
0.0140
-0.0746
0.0038
0.0048
0.0100
-0.0024
0.0022
-0.0092
-0.0106
0.0168
0.0001

2-Jan
0.0335
0.0996
0.0279
-0.0095
0.0425
-0.0078
0.0462
0.0238
0.0093
-0.0296
0.0270
0.0269
0.0436
0.0144
0.0132
0.0069
0.0537
0.0820
0.0184
-0.0087
0.0423
0.0340
0.0082
0.0549
0.0285
0.0494
0.0129
0.0043
0.0191
0.0016
0.0226
-0.0202
0.0268
-0.0048
0.0177
0.0382

3-Jan
-0.0133
-0.0026
-0.0124
-0.0245
-0.0033
-0.0011
0.0369
0.0160
-0.0250
-0.0525
0.0413
-0.0254
-0.0283
0.0247
-0.0079
0.0047
-0.0104
0.0967
0.0110
0.0150
-0.0172
0.0037
-0.0110
-0.0006
-0.0167
-0.0298
-0.0128
-0.0118
-0.0161
-0.0278
0.0032
-0.0075
-0.0086
-0.0151
-0.0154
-0.0131

6-Jan
-0.0053
-0.0735
-0.0157
0.0002
-0.0093
-0.0069
-0.0482
-0.0393
-0.0024
-0.0099
-0.0124
-0.0103
0.0021
-0.0261
0.0027
-0.0107
-0.0198
-0.0514
-0.0199
0.0086
-0.0433
-0.0646
-0.0037
-0.0081
0.0041
-0.0050
-0.0285
0.0082
0.0080
-0.0248
-0.0041
-0.0158
-0.0083
0.0004
-0.0031
-0.0185

7-Jan
0.0190
0.0409
0.0295
0.0203
0.0216
-0.0088
0.0411
0.0313
0.0052
0.0111
0.0121
0.0258
-0.0091
0.0547
0.0131
0.0081
0.0269
0.0522
0.0192
0.0360
0.0529
0.0352
0.0255
-0.0119
0.0350
-0.0073
0.0251
0.0060
-0.0028
0.0049
-0.0262
-0.0285
0.0192
0.0004
0.0094
0.0142

8-Jan
-0.0027
-0.0026
-0.0067
-0.0038
-0.0085
-0.0059
0.0147
-0.0301
-0.0038
-0.0135
-0.0261
-0.0087
-0.0050
0.0016
-0.0119
-0.0120
0.0204
0.0294
-0.0017
0.0035
0.0090
0.0747
-0.0007
0.0452
0.0045
-0.0030
-0.0061
-0.0097
0.0127
0.0108
0.0299
-0.0092
-0.0147
-0.0108
-0.0035
0.0074

9-Jan
0.0020
0.0165
0.0020
0.0049
0.0012
-0.0059
-0.0033
-0.0194
-0.0253
-0.0114
-0.0106
-0.0240
-0.0040
-0.0112
0.0005
-0.0068
-0.0116
-0.0778
-0.0006
-0.0077
-0.0214
0.0077
-0.0068
-0.0451
0.0007
-0.0320
-0.0077
-0.0001
-0.0195
-0.0213
-0.0052
0.0391
0.0025
0.0059
-0.0117
0.0034

10-Jan
0.0059
0.0247
0.0140
0.0081
0.0075
-0.0049
0.0198
-0.0037
0.0077
-0.0167
0.0056
0.0040
-0.0531
0.0485
0.0052
-0.0150
0.0382
0.0288
0.0073
-0.0055
0.0411
-0.0003
0.0039
0.0474
-0.0101
-0.0098
0.0168
-0.0265
0.0163
-0.0084
0.0053
0.0018
0.0059
-0.0161
-0.0048
0.0122

0.0140
-0.0163
0.0007
0.0131

-0.0052
0.0067
-0.0330
-0.0049

0.0320
0.0396
0.0682
0.0353

-0.0073
-0.0100
-0.0278
-0.0047

APOL
0.000148
0.000124
0.000153
0.000080
0.000176
0.000315
0.000194
0.000174
0.000082
0.000212
0.000190
0.000172
0.000097
0.000170
0.000136
0.000106
0.000294
0.000184
0.000067
0.000193
0.000410
0.000257
0.000145
0.000179
0.000190
0.000084
0.000240
0.000093
0.000077
0.000473
0.000085
0.000116
0.000144
########
0.000116
0.000205
0.000188
0.000101
0.000236
0.000174

EMN
0.000156
0.000088
0.000133
0.000108
0.000127
0.000197
0.000258
0.000259
0.000142
0.000139
0.000283
0.000055
0.000098
0.000166
0.000115
0.000119
0.000296
0.000413
0.000180
0.000175
0.000387
0.000374
0.000146
0.000309
0.000082
0.000089
0.000229
0.000051
0.000111
0.000085
0.000480
0.000161
0.000121
0.000032
0.000113
0.000233
0.000151
0.000156
0.000220
0.000137

MCO
0.000128
0.000094
0.000131
0.000161
0.000129
0.000158
0.000152
0.000122
0.000082
0.000161
0.000089
0.000101
0.000063
0.000113
0.000152
0.000125
0.000241
0.000270
0.000110
0.000139
0.000309
0.000256
0.000124
0.000191
0.000074
0.000017
0.000179
0.000108
0.000059
0.000116
0.000161
0.000385
0.000120
0.000051
0.000060
0.000198
0.000140
0.000146
0.000140
0.000138

SOTR
0.000178
0.000307
0.000197
0.000094
0.000207
0.000280
0.000287
0.000255
0.000114
0.000110
0.000251
0.000182
0.000098
0.000232
0.000163
0.000102
0.000350
0.000386
0.000192
0.000181
0.000377
0.000290
0.000166
0.000220
0.000203
0.000077
0.000201
0.000101
0.000091
0.000144
0.000121
0.000120
0.000209
0.000047
0.000085
0.000245
0.000196
0.000134
0.000285
0.000219

0.0285
0.0422
0.0383
0.0339

ATH
0.000087
########
0.000068
0.000078
0.000045
########
########
########
0.000042
0.000032
########
0.000054
0.000022
########
0.000134
0.000083
########
########
########
0.000018
0.000078
########
0.000035
########
0.000108
0.000069
0.000181
0.000005
########
########
0.000032
0.000051
0.000047
0.000458
0.000000
0.000013
0.000064
########
########
0.000038

-0.0127
0.0283
0.0046
-0.0193

-0.0122
-0.0366
-0.0124
-0.0089

0.0151
0.0341
0.0198
0.0214

EQR
0.000108
0.000059
0.000097
0.000034
0.000120
0.000140
0.000158
0.000204
0.000074
0.000118
0.000148
0.000087
0.000078
0.000101
0.000106
0.000065
0.000261
0.000295
0.000116
0.000079
0.000280
0.000333
0.000088
0.000196
0.000096
0.000045
0.000086
0.000040
0.000016
0.000116
0.000113
0.000060
0.000085
0.000000
0.000169
0.000158
0.000098
0.000145
0.000191
0.000109

MEL
0.000244
0.000344
0.000260
0.000142
0.000287
0.000387
0.000403
0.000447
0.000186
0.000164
0.000372
0.000272
0.000159
0.000353
0.000189
0.000156
0.000546
0.000804
0.000286
0.000231
0.000774
0.000595
0.000252
0.000421
0.000291
0.000120
0.000281
0.000121
0.000160
0.000205
0.000233
0.000198
0.000245
0.000013
0.000158
0.000535
0.000253
0.000287
0.000478
0.000267

STI
0.000197
0.000213
0.000195
0.000115
0.000216
0.000285
0.000265
0.000232
0.000120
0.000118
0.000254
0.000168
0.000104
0.000223
0.000165
0.000105
0.000354
0.000390
0.000175
0.000185
0.000443
0.000273
0.000178
0.000234
0.000195
0.000087
0.000262
0.000090
0.000106
0.000188
0.000151
0.000140
0.000196
0.000064
0.000098
0.000253
0.000233
0.000163
0.000258
0.000228

-0.0108
0.0004
0.0253
-0.0133

-0.0036
-0.0104
0.0063
-0.0015

0.0115
-0.0014
-0.0062
0.0115

AW
0.000143
0.000280
0.000183
0.000109
0.000237
0.000227
0.000388
0.000321
0.000144
0.000185
0.000306
0.000169
0.000137
0.000213
0.000150
0.000044
0.000410
0.000894
0.000248
0.000232
0.000603
0.000610
0.000133
0.000446
0.000182
0.000087
0.000268
0.000106
0.000018
0.000101
0.000156
0.000146
0.000134
########
0.000145
0.000287
0.000163
0.000709
0.000376
0.000177

F
0.000208
0.000592
0.000277
0.000036
0.000289
0.000533
0.000572
0.000710
0.000158
0.000193
0.000621
0.000330
0.000120
0.000587
0.000085
0.000218
0.000858
0.000793
0.000471
0.000415
0.000630
0.001340
0.000235
0.000673
0.000312
0.000000
0.000387
0.000093
0.000062
0.000236
0.000220
0.000140
0.000285
########
0.000191
0.000478
0.000258
0.000376
0.001326
0.000333

MI
0.000203
0.000399
0.000208
0.000139
0.000253
0.000279
0.000315
0.000252
0.000131
0.000154
0.000254
0.000205
0.000105
0.000237
0.000185
0.000090
0.000449
0.000416
0.000213
0.000189
0.000482
0.000335
0.000187
0.000291
0.000224
0.000091
0.000262
0.000111
0.000120
0.000174
0.000137
0.000138
0.000219
0.000038
0.000109
0.000267
0.000228
0.000177
0.000333
0.000298

###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ######

13-Jan
-0.0184
-0.0159
-0.0178
-0.0178
-0.0444
-0.0069
-0.0389
-0.0113
-0.0121
0.0385
0.0693
0.0023
0.0135
0.0216
0.0037
0.0006
-0.0461
-0.0197
0.0005
0.0104
-0.0170
0.0050
-0.0190
-0.0108
-0.0050
-0.0201
-0.0076
-0.0011
-0.0226
-0.0010
-0.0195
0.0006
-0.0060
-0.0011
-0.0076
-0.0090

14-Jan
-0.0093
-0.0548
-0.0179
0.0177
-0.0170
-0.0069
-0.0273
-0.0072
0.0367
0.0357
-0.0301
0.0040
0.0060
-0.0030
0.0002
0.0073
-0.0337
-0.0459
-0.0217
-0.0021
-0.0001
-0.0312
0.0014
-0.0036
-0.0161
0.0140
0.0096
0.0180
0.0065
0.0061
0.0021
0.0154
-0.0037
0.0058
-0.0141
0.0123

15-Jan
0.0053
-0.0311
-0.0017
-0.0057
-0.0150
-0.0078
-0.0491
-0.0168
-0.0064
-0.0299
-0.0277
0.0007
0.0019
-0.0204
0.0021
-0.0132
-0.0600
-0.1080
0.0176
-0.0269
-0.0298
-0.1602
-0.0020
-0.0418
0.0046
-0.0023
-0.0178
-0.0006
0.0397
-0.0171
-0.0062
-0.0046
0.0113
0.0224
-0.0184
-0.0139

16-Jan
-0.0091
-0.0557
-0.0157
-0.0219
-0.0112
-0.0040
-0.0071
0.0077
-0.0152
-0.0340
-0.0045
-0.0233
-0.0007
-0.0359
-0.0194
-0.0129
0.0071
-0.0036
-0.0084
-0.0259
-0.1058
-0.0026
-0.0082
-0.0412
-0.0313
-0.0083
-0.0331
-0.0033
-0.0098
-0.0299
-0.0195
-0.0020
-0.0109
-0.0099
-0.0033
-0.0244

17-Jan
-0.0061
0.0476
-0.0119
-0.0075
-0.0117
-0.0030
0.0045
-0.0530
0.0017
0.0406
-0.0251
-0.0054
-0.0090
-0.0150
0.0021
-0.0178
0.0104
-0.0823
-0.0352
-0.0114
-0.0911
-0.0443
-0.0176
-0.0309
-0.0308
-0.0103
-0.0034
-0.0110
-0.0195
-0.0041
-0.0112
-0.0089
-0.0071
0.0129
-0.0013
-0.0955

21-Jan
0.0089
-0.0541
0.0183
-0.0113
0.0078
-0.0040
0.0402
0.0452
0.0197
0.0313
0.0437
-0.0012
0.0043
0.0184
0.0228
0.0287
0.0111
0.0041
0.0203
-0.0016
0.0279
-0.0099
-0.0102
-0.0006
0.0451
0.0129
0.0164
-0.0129
0.0061
0.0166
0.0162
0.0102
0.0184
0.0259
0.0129
0.0276

22-Jan
-0.0309
-0.0433
-0.0385
-0.0160
-0.0260
-0.0078
-0.0348
-0.0296
0.0004
-0.0082
-0.0233
-0.0444
-0.0198
-0.0409
-0.0321
0.0024
-0.0363
-0.0530
-0.0152
-0.0225
-0.0271
-0.0366
-0.0281
-0.0145
-0.0329
-0.0209
-0.0039
-0.0483
-0.0291
-0.0252
-0.0219
-0.0285
-0.0238
-0.0187
-0.0206
-0.0290

23-Jan
-0.0097
-0.0895
-0.0132
-0.0242
-0.0058
-0.0049
-0.0021
-0.0251
-0.0215
-0.0450
-0.0145
-0.0269
-0.0188
-0.0170
-0.0004
-0.0037
-0.0076
0.0097
-0.0325
0.0109
0.0047
-0.0253
-0.0175
-0.0164
-0.0406
-0.0313
-0.0327
-0.0256
-0.0036
0.0082
-0.0299
-0.0055
-0.0096
-0.0177
0.0012
-0.0077

24-Jan
0.0084
-0.0093
0.0135
0.0161
0.0038
-0.0049
0.0339
0.0298
0.0145
0.0052
0.0217
0.0218
0.0349
0.0077
0.0034
0.0197
0.0211
-0.0008
0.0184
0.0085
0.0068
0.0061
-0.0066
-0.0081
0.0231
0.0231
0.0157
0.0087
0.0152
0.0067
0.0206
0.0153
0.0053
0.0122
-0.0038
0.0093

27-Jan
0.0054
0.0308
0.0192
-0.0355
0.0046
-0.0069
0.0013
0.0143
0.0017
0.0162
0.0021
0.0159
-0.0077
0.0096
-0.0049
0.0084
0.0297
0.0298
-0.0224
0.0032
-0.0016
0.0608
0.0070
-0.0099
0.0039
-0.0066
0.0068
-0.0272
0.0133
0.0490
-0.0039
0.0011
0.0068
0.0148
0.0156
0.0154

-0.0114
-0.0159
-0.0235
-0.0137

-0.0063
0.0217
0.0114
-0.0100

0.0135
-0.0348
-0.0276
0.0123

-0.0048
-0.0201
-0.0034
-0.0180

-0.0117
-0.0166
-0.0403
-0.0041

0.0049
-0.0130
0.0266
0.0085

-0.0217
-0.0326
-0.0276
-0.0155

-0.0064
-0.0105
-0.0304
-0.0175

0.0025
0.0312
0.0093
0.0017

0.0045
-0.0585
-0.0098
-0.0001

28-Jan
-0.0156
-0.0263
-0.0098
-0.0299
-0.0216
-0.0059
-0.0106
-0.0544
-0.0221
0.0164
-0.0195
-0.0006
-0.0077
-0.0307
0.0079
-0.0317
-0.0512
-0.0847
-0.0122
-0.0152
-0.0394
-0.0761
-0.0234
-0.0228
-0.0273
0.0011
-0.0278
-0.0117
-0.0161
-0.0010
-0.0175
-0.0090
-0.0165
-0.0039
-0.0054
-0.0232

29-Jan
0.0174
-0.0048
0.0032
0.0296
0.0234
-0.0069
0.0002
0.0283
-0.0029
0.0162
-0.0059
0.0323
0.0082
0.0103
0.0363
0.0363
0.0077
-0.0273
0.0091
0.0080
0.0103
0.0159
0.0225
-0.0277
0.0098
0.0034
0.0164
0.0370
0.0086
0.0071
0.0104
0.0216
0.0250
0.0148
0.0238
0.0209

30-Jan
-0.0078
-0.0026
0.0005
0.0328
0.0046
-0.0059
0.0244
-0.0031
0.0146
-0.0096
0.0068
0.0084
0.0037
0.0172
-0.0214
0.0036
-0.0008
-0.0031
0.0007
0.0354
0.0070
-0.0339
0.0112
0.0644
0.0097
0.0069
0.0168
0.0092
-0.0117
0.0086
-0.0078
0.0247
0.0078
-0.0363
-0.0209
-0.0051

31-Jan
-0.0071
0.0040
-0.0319
0.0528
-0.0016
-0.0049
-0.0231
-0.0041
0.0032
0.0178
-0.0092
-0.0031
-0.0130
-0.0156
-0.0222
-0.0090
0.0088
-0.0331
-0.0192
-0.0118
-0.0449
0.0043
-0.0224
-0.0335
-0.0296
-0.0063
-0.0046
0.0375
-0.0083
0.0074
0.0033
-0.0208
-0.0204
-0.0269
-0.0013
-0.0136

3-Feb
0.0089
-0.0048
0.0067
0.0193
-0.0116
-0.0069
0.0036
-0.0191
-0.0046
-0.0060
-0.0099
-0.0245
-0.0102
0.0222
0.0051
0.0179
-0.0023
-0.0059
0.0150
-0.0022
-0.0007
-0.0036
-0.0084
0.0423
-0.0090
-0.0106
0.0063
-0.0027
-0.0141
-0.0286
-0.0049
0.0256
-0.0103
0.0044
0.0012
-0.0059

4-Feb
-0.0189
-0.0335
-0.0188
0.0050
0.0000
-0.0069
0.0002
0.0035
-0.0094
-0.0065
-0.0308
-0.0061
-0.0097
-0.0385
-0.0037
-0.0068
0.0030
0.0081
-0.0063
0.0032
-0.0052
0.0103
-0.0223
0.0045
-0.0123
0.0123
-0.0230
-0.0027
-0.0114
0.0024
-0.0127
-0.0077
-0.0010
-0.0030
-0.0059
-0.0196

5-Feb
-0.0102
-0.0435
-0.0070
-0.0070
-0.0105
-0.0059
-0.0141
-0.0127
-0.0114
-0.0184
-0.0303
-0.0266
-0.0025
-0.0278
0.0005
-0.0121
-0.0107
-0.0059
-0.0005
-0.0135
-0.0384
-0.0036
-0.0116
0.0128
-0.0147
-0.0179
-0.0075
-0.0129
0.0088
-0.0178
-0.0090
-0.0083
-0.0104
-0.0018
-0.0080
-0.0183

-0.0123
0.0435
-0.0419
-0.0267

0.0207
-0.0234
0.0097
0.0264

0.0034
0.0191
0.0085
0.0069

-0.0155
-0.0295
-0.0221
-0.0251

-0.0009
-0.0241
0.0075
0.0059

-0.0093
-0.0204
-0.0124
-0.0061

-0.0067
-0.0014
-0.0225
-0.0122

Diversification Effect
reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New York, N
2 classification #20504
1.0
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not related to the
Hanyang Financial Engineering Lab. but it should be related to the marginal increase of the risk to
Hanyang University
input expected rate of returns of Asset A and B, volatilitie
leesb@hanyang.ac.kr
correlation between Asset A and B, investment wei
Apr-04
output volatility of portfolio
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2004, Oxf

Descriptions
financial model class
issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words
Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

http://finance.yahoo.com
N/A

Inputs
E(RA)

0.1

E(RB)

0.2

0.15

0.25

AB

0.5

investment weight

wA
0.5

wB
0.5

0.175

0.5
0.175

Outputs
AB
P

-1
0.05

Interim Calculations
variance-covariance matrix
A
B
Var(RP)
P

0.03063
0.175

A
B
0.0225 0.01875
0.01875 0.0625

erved by Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

um assigned to the stock is not related to the standard deviation,

elated to the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.
ed rate of returns of Asset A and B, volatilities of Asset A and B,
ion between Asset A and B, investment weight of Asset A

nance , Vol.7, No.1, 77-91.

omas S.Y. Ho and Sang Bin Lee, 2004, Oxford University Press

Diversification Effect
reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New Yo

2 classification #20502
1.0
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not related
Hanyang Financial Engineering Lab. but it should be related to the marginal increase of the ris
Hanyang University
input expected rate of returns of Asset A and B, vola
leesb@hanyang.ac.kr
correlation between Asset A and B, investmen
Apr-04
output expected rate of return and volatility of portfolio
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2004

Descriptions

Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

Diversification Effect

http://finance.yahoo.com
N/A
Expected Rate of Return

financial model class

issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words

Inputs
E(RA)

0.1

E(RB)

0.2

0.15

0.25

AB

-1

0.25
0.2
0.15
0.1
0.05
0
0.00

wA
wB
minimum variance portfolio
0.625
0.375
changing cell
Outputs

0.05

0.10

0.15

0.20

Volatility

E(Rp)
investment weight
0.1375

1
0.1

0.99
0.101

0.98
0.102

0.97
0.103

0.96
0.104

0.95
0.105

0.94
0.106

0.93
0.107

P
1.68486E-09
1
0.5
0
-1

1
0.15
0.15
0.15
0.15

0.99
0.15
0.15
0.15
0.15

0.98
0.15
0.15
0.15
0.14

0.97
0.15
0.15
0.15
0.14

0.96
0.15
0.15
0.14
0.13

0.95
0.16
0.15
0.14
0.13

0.94
0.16
0.15
0.14
0.13

0.93
0.16
0.15
0.14
0.12

Interim Calculations

variance-covariance matrix
A
B
E(Rp)
Var(RP)
P

0.1375
2.8E-18
1.7E-09
target cell

Checking AB

-1

A
B
0.0225 -0.0375
-0.0375 0.0625

Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

ned to the stock is not related to the standard deviation,

the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.
returns of Asset A and B, volatilities of Asset A and B,
een Asset A and B, investment weight of Asset A
return and volatility of portfolio which is composed of Asset A and B
ol.7, No.1, 77-91.
Y. Ho and Sang Bin Lee, 2004, Oxford University Press

fication Effect

=1
=0.
5
=0

0.25

0.30

0.92
0.108

0.91
0.109

0.9
0.11

0.92
0.16
0.15
0.14
0.12

0.91
0.16
0.15
0.14
0.11

0.9
0.16
0.15
0.14
0.11

0.89
0.111

0.88
0.112

0.87
0.113

0.86
0.114

0.85
0.115

0.84
0.116

0.83
0.117

0.82
0.118

0.89
0.88
0.87
0.86
0.85
0.84
0.83
0.82
0.161
0.162
0.163
0.164
0.165
0.166
0.167
0.168
0.14916 0.14928 0.14942 0.1496 0.14981 0.15005 0.15033 0.15063
0.1363 0.13537 0.13449 0.13366 0.1329 0.1322 0.13155 0.13097
0.106
0.102
0.098
0.094
0.09
0.086
0.082
0.078

0.81
0.119

0.8
0.12

0.79
0.121

0.78
0.122

0.77
0.123

0.76
0.124

0.81
0.8
0.79
0.78
0.77
0.76
0.169
0.17
0.171
0.172
0.173
0.174
0.15096 0.15133 0.15172 0.15215 0.1526 0.15309
0.13045
0.13
0.12961 0.12928 0.12902 0.12883
0.074
0.07
0.066
0.062
0.058
0.054

0.75
0.125

0.75
0.175
0.1536
0.1287
0.05

0.74
0.126

0.73
0.127

0.72
0.128

0.71
0.129

0.74
0.73
0.72
0.71
0.176
0.177
0.178
0.179
0.15415 0.15472 0.15532 0.15595
0.12863 0.12863 0.1287 0.12884
0.046
0.042
0.038
0.034

0.7
0.13

0.69
0.131

0.68
0.132

0.67
0.133

0.66
0.134

0.65
0.135

0.64
0.136

0.63
0.137

0.62
0.138

0.61
0.139

0.6
0.14

0.7
0.69
0.68
0.67
0.66
0.65
0.64
0.63
0.62
0.61
0.6
0.18
0.181
0.182
0.183
0.184
0.185
0.186
0.187
0.188
0.189
0.19
0.1566 0.15729 0.158 0.15874 0.1595 0.16029 0.16111 0.16195 0.16282 0.16371 0.16462
0.12903 0.1293 0.12963 0.13002 0.13048 0.13101 0.13159 0.13224 0.13294 0.13371 0.13454
0.03
0.026
0.022
0.018
0.014
0.01
0.006
0.002
0.002
0.006
0.01

0.59
0.141

0.58
0.142

0.59
0.58
0.191
0.192
0.16556 0.16652
0.13542 0.13636
0.014
0.018

0.57
0.143

0.56
0.144

0.55
0.145

0.54
0.146

0.53
0.147

0.52
0.148

0.51
0.149

0.5
0.15

0.57
0.193
0.1675
0.13736
0.022

0.56
0.194
0.16851
0.13841
0.026

0.55
0.195
0.16954
0.13951
0.03

0.54
0.196
0.17059
0.14066
0.034

0.53
0.197
0.17166
0.14187
0.038

0.52
0.198
0.17275
0.14312
0.042

0.51
0.199
0.17387
0.14442
0.046

0.5
0.2
0.175
0.14577
0.05

0.49
0.151

0.48
0.152

0.47
0.153

0.46
0.154

0.45
0.155

0.44
0.156

0.43
0.157

0.42
0.158

0.41
0.159

0.4
0.16

0.49
0.201
0.17615
0.14717
0.054

0.48
0.202
0.17732
0.14861
0.058

0.47
0.203
0.17852
0.15009
0.062

0.46
0.204
0.17972
0.15161
0.066

0.45
0.205
0.18095
0.15317
0.07

0.44
0.206
0.1822
0.15478
0.074

0.43
0.207
0.18346
0.15642
0.078

0.42
0.208
0.18474
0.15809
0.082

0.41
0.209
0.18604
0.15981
0.086

0.4
0.21
0.18735
0.16155
0.09

0.39
0.161

0.38
0.162

0.37
0.163

0.36
0.164

0.35
0.165

0.34
0.166

0.33
0.167

0.32
0.168

0.31
0.169

0.3
0.17

0.39
0.211
0.18868
0.16334
0.094

0.38
0.212
0.19002
0.16515
0.098

0.37
0.213
0.19138
0.16699
0.102

0.36
0.214
0.19276
0.16887
0.106

0.35
0.215
0.19415
0.17077
0.11

0.34
0.216
0.19555
0.1727
0.114

0.33
0.217
0.19697
0.17466
0.118

0.32
0.218
0.1984
0.17665
0.122

0.31
0.219
0.19985
0.17866
0.126

0.3
0.22
0.20131
0.18069
0.13

0.29
0.171

0.28
0.172

0.27
0.173

0.26
0.174

0.25
0.175

0.24
0.176

0.23
0.177

0.22
0.178

0.21
0.179

0.2
0.18

0.29
0.221
0.20278
0.18275
0.134

0.28
0.222
0.20426
0.18484
0.138

0.27
0.223
0.20576
0.18694
0.142

0.26
0.224
0.20727
0.18907
0.146

0.25
0.225
0.20879
0.19121
0.15

0.24
0.226
0.21032
0.19338
0.154

0.23
0.227
0.21187
0.19557
0.158

0.22
0.228
0.21342
0.19777
0.162

0.21
0.229
0.21499
0.2
0.166

0.2
0.23
0.21656
0.20224
0.17

0.19
0.181

0.18
0.182

0.17
0.183

0.16
0.184

0.15
0.185

0.14
0.186

0.13
0.187

0.12
0.188

0.11
0.189

0.1
0.19

0.19
0.231
0.21815
0.2045
0.174

0.18
0.232
0.21975
0.20677
0.178

0.17
0.233
0.22135
0.20906
0.182

0.16
0.234
0.22297
0.21137
0.186

0.15
0.235
0.2246
0.21369
0.19

0.14
0.236
0.22623
0.21602
0.194

0.13
0.237
0.22788
0.21837
0.198

0.12
0.238
0.22953
0.22074
0.202

0.11
0.239
0.23119
0.22311
0.206

0.1
0.24
0.23286
0.2255
0.21

0.09
0.191

0.08
0.192

0.07
0.193

0.06
0.194

0.05
0.195

0.04
0.196

0.03
0.197

0.02
0.198

0.09
0.241
0.23454
0.2279
0.214

0.08
0.242
0.23623
0.23031
0.218

0.07
0.243
0.23792
0.23274
0.222

0.06
0.244
0.23963
0.23517
0.226

0.05
0.245
0.24134
0.23762
0.23

0.04
0.246
0.24306
0.24007
0.234

0.03
0.247
0.24478
0.24254
0.238

0.02
0.248
0.24651
0.24502
0.242

0.01
0.199

-7.5E-16
0.2

0.01
-7.5E-16
0.249
0.25
0.24825
0.25
0.2475
0.25
0.246
0.25

Diversification Effect
reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New York, N
2 classification #20505
1.0
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not related to the
Hanyang Financial Engineering Lab. but it should be related to the marginal increase of the risk to
Hanyang University
input variance-covariance matrix
leesb@hanyang.ac.kr
output minimum variance portfolio
Apr-04
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2004, Oxf

Descriptions
financial model class
issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words
Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

http://finance.yahoo.com
N/A

Inputs
variance-covariance matrix
A
C

A
C
0.0036 -0.0048
-0.0048 0.0064

Outputs

investment weight

wA
wC
0.57143 0.42857
changing cell for solver

Interim Calculations
AC
Var(RP)
P

-1
0.00000
0.00000
target cell for solver

erved by Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

um assigned to the stock is not related to the standard deviation,

elated to the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.

nance , Vol.7, No.1, 77-91.

omas S.Y. Ho and Sang Bin Lee, 2004, Oxford University Press

Diversification Effect
reference number
Version
publication date
author
affiliation
email address
last revised date
references

copyright THC 2003. All rights reserved by Thomas Ho Company, New York, N
2 classification #20506
1.0
level
basic
Instructions
Jul-03
1. The risk premium assigned to the stock is not related to the
Hanyang Financial Engineering Lab. but it should be related to the marginal increase of the risk to
Hanyang University
input variance-covariance matrix, investment weight of A
leesb@hanyang.ac.kr
output the risk of Stock A and B as part of the portfolio
Apr-04
Markowitz, H.M., 1952, Portfolio Selection, Journal of Finance , Vol.7, No.1, 77-91.
Ch. 2 of "The Oxford Guide to Financial Modeling " by Thomas S.Y. Ho and Sang Bin Lee, 2004, Oxf

Descriptions
financial model class
issuer/modeler
model type
risk sources
risk distribution
economic assumptions
technical assumptions
key words
Links
data
financial models

equity market
practitioner
diversification
stock returns
normal
perfect capital market
N/A
diversification effect

http://finance.yahoo.com
N/A

Inputs
variance-covariance matrix

investment weight

A
B

A
0.0036
0.0021

wA
0.5

wB
0.5

Outputs
wAAP
wBBP
sum

#######
#######
#######

Interim Calculations
Var(RP)
P

#######
#######

B
0.0021
0.0049

erved by Thomas Ho Company, New York, NY. USA

www. thomasho.com

tom.ho@thomasho.com

um assigned to the stock is not related to the standard deviation,

elated to the marginal increase of the risk to the portfolio, when we add the stock to the portfolio.
e-covariance matrix, investment weight of Asset A
of Stock A and B as part of the portfolio

nance , Vol.7, No.1, 77-91.

omas S.Y. Ho and Sang Bin Lee, 2004, Oxford University Press