Excess Returns

Month Jane Q Market

1 3.58 2.81 2.20
2 -4.91 -1.15 -8.41
3 6.51 2.53 3.27
4 11.13 37.09 14.41
5 8.78 12.88 7.71
6 9.38 39.08 14.36
7 -3.66 -8.84 -6.15
8 5.56 0.83 2.74
9 -7.72 0.85 -15.27
10 7.76 12.09 6.49
11 -4.01 -5.68 -3.13
12 0.78 -1.77 1.41
Average 2.77 7.56 1.64
Std dev 6.17 14.89 8.46

Sharpe 0.45 0.51 0.19

M squared 2.16 2.66
SCL regression statistics
Alpha 1.63 5.26 0.00
Beta 0.70 1.40 1.00
Treynor 3.97 5.38 1.64
T squared 2.34 3.74 0.00
σ(e) 1.84 8.96 0.00
Information ratio 0.88 0.59 0.00
R-square 0.91 0.64 1.00
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.95456776
R Square 0.91119961
Adjusted R Square 0.90231957
Standard Error 2.01520881
Observations 12

ANOVA
df SS MS F Significance F
Regression 1 416.71463461 416.714635 102.612117 1.41221E-06
Residual 10 40.610665392 4.06106654
Total 11 457.3253

Coefficients Standard Error t Stat P-value Lower 95%

Intercept 1.62620727 0.5925036469 2.74463673 0.02066762 0.30602688
Market 0.69615449 0.0687236643 10.1297639 1.41221E-06 0.54302863

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.79885767
R Square 0.63817357
Adjusted R Square 0.60199093
Standard Error 9.80995298
Observations 12

ANOVA
df SS MS F Significance F
Regression 1 1697.3538251 1697.35383 17.6375611 0.00182954
Residual 10 962.3517749 96.2351775
Total 11 2659.7056
 Coefficients Standard Error t Stat P-value Lower 95%
Intercept 5.26167469 2.8842832042 1.8242573 0.09809231 -1.16490878
Market 1.40498746 0.3345439505 4.19970965 0.00182954 0.65957708
nificance F

Upper 95% Lower 95.0%Upper 95.0%

2.94638767 0.30602688 2.94638767
0.84928036 0.54302863 0.84928036

nificance F
Upper 95% Lower 95.0%Upper 95.0%
11.6882582 -1.16490878 11.6882582
2.15039783 0.65957708 2.15039783
A. Contribution of Asset Allocation to Performance

(1) (2) (3) (4)

Actual Benchmark Active or Market
Market
Weight in Weight in Excess Return
Market Market Weight

Equity 0.70 0.60 0.10 5.81

Fixed Income 0.07 0.30 -0.23 1.45
Cash 0.23 0.10 0.13 0.48
Contribution of asset allocation 4.2789 3.969

B. Contribution of Selection to Total Performance

(1) (2) (3)
(4)
Portfolio Index Excess
Porfolio
Market Performanc Performanc Performanc
Weight
e e e
(%) (%) (%)
Equity 7.28 5.81 1.47 0.70
Fixed -income 1.89 1.45 0.44 0.07
Contribution of selection within markets

C. Contribution of Sector Selection

(1) (2) (3) (4)
Sector Portfolio S&P 500 Over/Under Sector
Weights (%) (%) Weights (%) Return (%)
Basic materials 1.96 8.3 -6.34 6.90
Business sevices 7.84 4.1 3.74 7.00
Capital goods 1.87 7.8 -5.93 4.10
Consumer cyclical 8.47 12.5 -4.03 8.80
Consumer noncylclical 40.37 20.4 19.97 10.00
Credit sensitive 24.01 21.8 2.21 5.00
Energy 13.53 14.2 -0.67 2.60
Technology 1.95 10.9 -8.95 0.30
Total 100.00 100.00 0.00
7.10 5.81
0.18 Stock selection
 (5)=(3)x(4)
Contribution to
Performance

0.5810
-0.3335
0.0624
0.3099 0.3099

(5)=(3)x(4)
Contribution

(%)
1.0290
0.0308
1.0598

(5)=(3)x(4)
Sector Allocation
Contribution
-0.4375
0.2618
-0.2431
-0.3546
1.9970
0.1105
-0.0174
-0.0269
1.2898
0.18
1.47