Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
Cap Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Value Mid cap Small cap
Jun-05 0.00517 0.00486 0.01228 0.02488 0.04517 0.07514 -0.00608 0.10212
May-05 0.00322 0.00384 0.01090 0.00696 0.05551 0.03484 0.09388 0.00147
Apr-05 0.00445 -0.01241 -0.01366 -0.03740 0.08613 0.07198 -0.03665 0.08948
Mar-05 0.00647 0.00942 0.00202 -0.00119 -0.02455 -0.06622 0.03536 0.01056
Feb-05 0.00532 0.00909 0.01853 0.02846 -0.04618 -0.02968 0.04692 -0.01362
Jan-05 0.00442 -0.00094 -0.00630 -0.01927 0.02328 0.04653 -0.00399 0.07654
Dec-04 0.00253 0.00230 0.01944 0.05324 -0.00992 -0.02937 0.16739 -0.02727
Nov-04 0.00414 -0.00948 -0.00612 -0.02364 0.07031 0.09155 0.11859 0.13430
Oct-04 0.00877 -0.00556 -0.01217 -0.03500 0.11320 0.06898 0.01237 0.14345
Sep-04 0.00199 -0.00441 -0.00277 -0.00303 0.00794 0.01499 0.06316 0.01833
Aug-04 0.00289 0.00103 0.00383 -0.00278 0.07982 0.06975 0.10823 0.08217
Jul-04 0.00152 -0.00815 -0.02519 -0.01002 0.00981 0.00657 0.10430 0.11655
Jun-04 0.00640 0.00946 -0.00716 -0.02644 0.03700 0.12012 0.01261 0.09355
May-04 0.00233 -0.00149 -0.00955 -0.03003 -0.04063 0.03875 -0.10364 0.00614
Apr-04 0.00287 0.00128 0.00213 0.00774 -0.15170 -0.24325 0.02324 -0.15308
Mar-04 0.00669 0.01054 0.01073 0.02549 0.00053 0.02839 -0.00773 0.08251
Feb-04 0.00864 0.01209 0.00106 -0.00059 -0.04474 0.04927 0.05749 -0.07034
Jan-04 -0.00323 -0.00989 -0.00034 -0.00848 -0.00557 -0.01769 -0.13708 -0.08562
Dec-03 0.00617 0.01052 0.00493 0.02070 -0.06526 -0.02626 0.20489 -0.12846
Nov-03 0.00217 -0.00315 -0.00545 -0.01516 0.16249 0.21347 0.10947 0.20439
Oct-03 0.00239 0.00105 0.00412 0.00134 0.02602 0.04250 0.09206 0.14254
Sep-03 0.00558 0.01502 0.01133 0.01376 0.04502 0.08645 0.04226 0.02422
Aug-03 0.00384 0.00482 0.01782 0.02715 -0.01415 0.06453 0.13812 0.04566
Jul-03 0.00463 0.01131 0.01149 0.00970 0.19945 0.20721 0.07616 0.12772
Jun-03 0.00343 0.01880 0.00698 0.01092 0.03858 0.07859 0.11502 0.01212
May-03 0.00389 0.00924 0.01029 0.01723 0.09418 0.13311 0.18511 0.14035
Apr-03 0.00761 0.01629 0.02506 0.03667 0.15821 0.24185 0.09882 0.22649
Mar-03 0.00784 0.01679 0.00574 -0.00220 -0.01774 0.05771 -0.09262 0.06606
Feb-03 0.00374 0.00202 0.00794 0.00897 -0.08067 -0.07718 -0.00394 -0.12041
Jan-03 0.00187 -0.00647 -0.01145 -0.01523 0.01824 0.02363 -0.02184 0.01499
Dec-02 0.00404 0.00000 0.01153 0.02976 -0.03263 0.01006 0.03408 -0.05133
Nov-02 0.00240 -0.00120 0.00625 0.02620 0.03226 0.09053 0.09776 -0.04754
Oct-02 0.00615 0.01022 0.01614 0.02500 0.04966 0.08459 -0.02143 0.10555
Sep-02 0.00572 0.00342 0.00379 0.00463 0.00652 0.02084 -0.07312 -0.03680
Aug-02 0.00610 0.00877 0.01345 0.01755 -0.07806 -0.07176 0.02300 -0.06092
Jul-02 0.00632 0.00885 0.01065 0.02008 0.03405 0.03981 -0.14221 -0.02721
Jun-02 0.00701 0.01127 0.01419 0.02440 -0.05399 -0.10457 0.08835 -0.15208
May-02 0.00183 -0.00693 -0.01108 -0.01720 0.02176 0.09688 -0.04869 0.34845
Apr-02 0.00343 0.00220 0.00074 -0.00004 -0.06512 0.01644 0.09023 0.05175
Mar-02 0.00740 0.00772 0.00272 0.01141 -0.04078 0.10278 0.05502 0.18283
Feb-02 0.00473 0.00632 0.01836 0.02697 -0.00875 0.07819 0.10900 0.03505
Jan-02 0.00755 0.01361 0.02070 0.03488 0.07093 0.25369 0.04060 0.05825
Dec-01 0.00437 0.00067 0.00026 -0.00750 0.01119 0.04766 -0.04230 0.00042
Nov-01 0.00292 0.00276 0.02393 0.07648 0.02266 -0.05553 0.14037 -0.04508
Oct-01 0.00612 0.00660 0.01696 0.03702 0.10691 0.08424 0.07749 0.19011
Sep-01 0.00473 -0.00789 0.00091 0.00564 0.05496 0.05431 -0.10332 0.08776
Aug-01 0.00775 0.01565 0.01577 0.01666 -0.14783 -0.09267 -0.00154 -0.09043
Jul-01 0.00724 0.01635 0.02417 0.00349 -0.01331 -0.03139 -0.06853 -0.09619
Jun-01 0.00926 0.01924 0.02495 0.03050 -0.03641 -0.04410 -0.11257 0.11621
May-01 0.00999 0.01582 0.02265 0.04051 -0.06148 -0.05827 0.09003 -0.16463
Apr-01 0.00737 0.00950 0.00937 0.01629 0.04511 0.07212 0.01288 0.10882
Mar-01 0.00691 0.00000 -0.00006 0.00088 -0.03554 0.02362 -0.29894 -0.24323
Feb-01 0.00951 0.01718 0.02823 0.03389 -0.16478 -0.14740 0.06456 0.26142
Jan-01 0.01020 0.01499 0.02173 0.03313 -0.01358 0.05340 -0.00458 -0.21753
Dec-00 0.00850 0.01381 0.02279 0.03490 0.08962 0.12900 0.02102 -0.03305
Nov-00 0.00823 0.01061 0.01543 0.01559 -0.00962 0.04870 0.08340 0.00199
Oct-00 0.01048 0.00498 0.01289 0.00447 0.07855 0.12689 -0.03270 0.10784
Sep-00 0.00935 0.00281 0.00748 -0.00365 -0.11208 -0.01398 -0.06167 -0.05615
Aug-00 0.00639 0.00296 0.00461 -0.00309 -0.11589 -0.10542 0.02679 -0.07577
Jul-00 0.00504 -0.00833 -0.01327 -0.02244 0.06487 -0.01810 -0.10230 0.06952
Jun-00 0.00821 0.00676 -0.00305 0.00497 -0.10929 -0.02008 0.09343 -0.04696
May-00 0.00673 0.00838 -0.00368 -0.01622 0.06651 0.09731 0.01957 0.02774
Apr-00 0.00926 0.01624 0.02360 0.03207 -0.09190 -0.01164 -0.25296 -0.00367
Mar-00 0.00626 0.00275 -0.00244 -0.01138 -0.15175 -0.10467 -0.16719 -0.14176
Feb-00 0.01050 0.01461 0.02571 0.03750 -0.10315 -0.12432 0.06350 -0.07744
Jan-00 0.00753 0.00658 0.01699 0.01708 0.11064 -0.08392 0.03848 0.03673
Fund return
Large Large
Cap Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Value Mid cap Small cap
Jan-00 0.00753 0.00658 0.01699 0.01708 0.11064 -0.08392 0.03848 0.03673
Feb-00 0.01050 0.01461 0.02571 0.03750 -0.10315 -0.12432 0.06350 -0.07744
Mar-00 0.00626 0.00275 -0.00244 -0.01138 -0.15175 -0.10467 -0.16719 -0.14176
Apr-00 0.00926 0.01624 0.02360 0.03207 -0.09190 -0.01164 -0.25296 -0.00367
May-00 0.00673 0.00838 -0.00368 -0.01622 0.06651 0.09731 0.01957 0.02774
Jun-00 0.00821 0.00676 -0.00305 0.00497 -0.10929 -0.02008 0.09343 -0.04696
Jul-00 0.00504 -0.00833 -0.01327 -0.02244 0.06487 -0.01810 -0.10230 0.06952
Aug-00 0.00639 0.00296 0.00461 -0.00309 -0.11589 -0.10542 0.02679 -0.07577
Sep-00 0.00935 0.00281 0.00748 -0.00365 -0.11208 -0.01398 -0.06167 -0.05615
Oct-00 0.01048 0.00498 0.01289 0.00447 0.07855 0.12689 -0.03270 0.10784
Nov-00 0.00823 0.01061 0.01543 0.01559 -0.00962 0.04870 0.08340 0.00199
Dec-00 0.00850 0.01381 0.02279 0.03490 0.08962 0.12900 0.02102 -0.03305
Jan-01 0.01020 0.01499 0.02173 0.03313 -0.01358 0.05340 -0.00458 -0.21753
Feb-01 0.00951 0.01718 0.02823 0.03389 -0.16478 -0.14740 0.06456 0.26142
Mar-01 0.00691 0.00000 -0.00006 0.00088 -0.03554 0.02362 -0.29894 -0.24323
Apr-01 0.00737 0.00950 0.00937 0.01629 0.04511 0.07212 0.01288 0.10882
May-01 0.00999 0.01582 0.02265 0.04051 -0.06148 -0.05827 0.09003 -0.16463
Jun-01 0.00926 0.01924 0.02495 0.03050 -0.03641 -0.04410 -0.11257 0.11621
Jul-01 0.00724 0.01635 0.02417 0.00349 -0.01331 -0.03139 -0.06853 -0.09619
Aug-01 0.00775 0.01565 0.01577 0.01666 -0.14783 -0.09267 -0.00154 -0.09043
Sep-01 0.00473 -0.00789 0.00091 0.00564 0.05496 0.05431 -0.10332 0.08776
Oct-01 0.00612 0.00660 0.01696 0.03702 0.10691 0.08424 0.07749 0.19011
Nov-01 0.00292 0.00276 0.02393 0.07648 0.02266 -0.05553 0.14037 -0.04508
Dec-01 0.00437 0.00067 0.00026 -0.00750 0.01119 0.04766 -0.04230 0.00042
Jan-02 0.00755 0.01361 0.02070 0.03488 0.07093 0.25369 0.04060 0.05825
Feb-02 0.00473 0.00632 0.01836 0.02697 -0.00875 0.07819 0.10900 0.03505
Mar-02 0.00740 0.00772 0.00272 0.01141 -0.04078 0.10278 0.05502 0.18283
Apr-02 0.00343 0.00220 0.00074 -0.00004 -0.06512 0.01644 0.09023 0.05175
May-02 0.00183 -0.00693 -0.01108 -0.01720 0.02176 0.09688 -0.04869 0.34845
Jun-02 0.00701 0.01127 0.01419 0.02440 -0.05399 -0.10457 0.08835 -0.15208
Jul-02 0.00632 0.00885 0.01065 0.02008 0.03405 0.03981 -0.14221 -0.02721
Aug-02 0.00610 0.00877 0.01345 0.01755 -0.07806 -0.07176 0.02300 -0.06092
Sep-02 0.00572 0.00342 0.00379 0.00463 0.00652 0.02084 -0.07312 -0.03680
Oct-02 0.00615 0.01022 0.01614 0.02500 0.04966 0.08459 -0.02143 0.10555
Nov-02 0.00240 -0.00120 0.00625 0.02620 0.03226 0.09053 0.09776 -0.04754
Dec-02 0.00404 0.00000 0.01153 0.02976 -0.03263 0.01006 0.03408 -0.05133
Jan-03 0.00187 -0.00647 -0.01145 -0.01523 0.01824 0.02363 -0.02184 0.01499
Feb-03 0.00374 0.00202 0.00794 0.00897 -0.08067 -0.07718 -0.00394 -0.12041
Mar-03 0.00784 0.01679 0.00574 -0.00220 -0.01774 0.05771 -0.09262 0.06606
Apr-03 0.00761 0.01629 0.02506 0.03667 0.15821 0.24185 0.09882 0.22649
May-03 0.00389 0.00924 0.01029 0.01723 0.09418 0.13311 0.18511 0.14035
Jun-03 0.00343 0.01880 0.00698 0.01092 0.03858 0.07859 0.11502 0.01212
Jul-03 0.00463 0.01131 0.01149 0.00970 0.19945 0.20721 0.07616 0.12772
Aug-03 0.00384 0.00482 0.01782 0.02715 -0.01415 0.06453 0.13812 0.04566
Sep-03 0.00558 0.01502 0.01133 0.01376 0.04502 0.08645 0.04226 0.02422
Oct-03 0.00239 0.00105 0.00412 0.00134 0.02602 0.04250 0.09206 0.14254
Nov-03 0.00217 -0.00315 -0.00545 -0.01516 0.16249 0.21347 0.10947 0.20439
Dec-03 0.00617 0.01052 0.00493 0.02070 -0.06526 -0.02626 0.20489 -0.12846
Jan-04 -0.00323 -0.00989 -0.00034 -0.00848 -0.00557 -0.01769 -0.13708 -0.08562
Feb-04 0.00864 0.01209 0.00106 -0.00059 -0.04474 0.04927 0.05749 -0.07034
Mar-04 0.00669 0.01054 0.01073 0.02549 0.00053 0.02839 -0.00773 0.08251
Apr-04 0.00287 0.00128 0.00213 0.00774 -0.15170 -0.24325 0.02324 -0.15308
May-04 0.00233 -0.00149 -0.00955 -0.03003 -0.04063 0.03875 -0.10364 0.00614
Jun-04 0.00640 0.00946 -0.00716 -0.02644 0.03700 0.12012 0.01261 0.09355
Jul-04 0.00152 -0.00815 -0.02519 -0.01002 0.00981 0.00657 0.10430 0.11655
Aug-04 0.00289 0.00103 0.00383 -0.00278 0.07982 0.06975 0.10823 0.08217
Sep-04 0.00199 -0.00441 -0.00277 -0.00303 0.00794 0.01499 0.06316 0.01833
Oct-04 0.00877 -0.00556 -0.01217 -0.03500 0.11320 0.06898 0.01237 0.14345
Nov-04 0.00414 -0.00948 -0.00612 -0.02364 0.07031 0.09155 0.11859 0.13430
Dec-04 0.00253 0.00230 0.01944 0.05324 -0.00992 -0.02937 0.16739 -0.02727
Jan-05 0.00442 -0.00094 -0.00630 -0.01927 0.02328 0.04653 -0.00399 0.07654
Feb-05 0.00532 0.00909 0.01853 0.02846 -0.04618 -0.02968 0.04692 -0.01362
Mar-05 0.00647 0.00942 0.00202 -0.00119 -0.02455 -0.06622 0.03536 0.01056
Apr-05 0.00445 -0.01241 -0.01366 -0.03740 0.08613 0.07198 -0.03665 0.08948
May-05 0.00322 0.00384 0.01090 0.00696 0.05551 0.03484 0.09388 0.00147
Jun-05 0.00517 0.00486 0.01228 0.02488 0.04517 0.07514 -0.00608 0.10212
US- European Japanese
Stocks Stocks Stocks
-0.00014 0.03006 0.02726
0.02995 0.03380 0.02432
-0.02011 -0.01894 -0.05656
-0.01912 -0.01491 -0.00610
0.01890 0.02395 0.03100
-0.02529 0.00789 -0.00881
0.03246 0.02362 0.05409
0.03859 0.01708 0.01187
0.01401 0.01168 -0.00482
0.00936 0.02500 -0.02330
0.00229 0.01047 -0.02154
-0.03429 -0.01142 -0.04495
0.01799 0.00754 0.05540
0.01208 -0.01314 -0.04467
-0.01679 0.02371 0.00396
-0.01636 -0.02371 0.06099
0.01221 0.02312 0.02395
0.01728 -0.01925 0.01002
0.05077 0.03093 0.05703
0.00713 0.01283 -0.04347
0.05496 0.04798 0.03332
-0.01194 -0.01677 -0.01204
0.01787 0.00099 0.08160
0.01622 0.03121 0.05286
0.01132 -0.00417 0.07818
0.05090 0.03110 0.07573
0.08104 0.08654 -0.01772
0.00836 -0.01157 -0.04667
-0.01700 0.02472 0.00277
-0.02741 -0.09466 -0.02786
-0.06033 -0.05492 -0.06908
0.05707 0.03211 0.06656
0.08645 0.08542 -0.07916
-0.11002 -0.11958 -0.02454
0.00488 -0.00445 -0.02618
-0.07900 -0.08809 -0.07003
-0.07246 -0.08431 -0.09707
-0.00908 -0.01558 0.02359
-0.06142 -0.02014 0.04241
0.03674 0.03348 0.04128
-0.02077 -0.01235 0.05902
-0.01557 -0.01008 -0.05168
0.00757 0.00265 -0.01447
0.07518 0.03252 0.03194
0.01810 0.02780 0.06053
-0.08172 -0.08262 -0.08763
-0.06411 -0.03330 -0.09673
-0.01074 -0.02010 -0.08546
-0.02504 -0.02650 -0.02210
0.00509 -0.02862 -0.04824
0.07681 0.05914 0.07190
-0.06420 -0.04802 0.00902
-0.09229 -0.06028 -0.06935
0.03464 0.01205 0.00420
0.00405 0.01307 -0.05890
-0.08007 -0.04601 0.00749
-0.00495 0.02291 -0.07669
-0.05348 -0.05672 -0.06607
0.06070 0.04829 0.07209
-0.01634 0.00833 -0.09669
0.02393 -0.00733 0.06604
-0.02191 0.00504 -0.09131
-0.03080 -0.03254 -0.11622
0.09672 0.04935 0.01893
-0.02011 -0.00573 0.02149
-0.05090 -0.09548 0.03197
Growth
0.00511
Growth
0.00310
Growth
0.00449
Growth 0.00358
Growth
0.00095
Growth -0.00084
Growth -0.00268
Growth -0.00534
R_fund TB Bond_1_3 Bond_3_8 Bond_8
66 Jun_05 0.0029 0.00517 0.00486 0.01228 0.02488
65 May_05 0.0803 0.00322 0.00384 0.01090 0.00696
64 Apr_05 -0.0048 0.00445 -0.01241 -0.01366 -0.03740
63 Mar_05 0.0004 0.00647 0.00942 0.00202 -0.00119
62 Feb_05 0.0528 0.00532 0.00909 0.01853 0.02846
61 Jan_05 0.0016 0.00442 -0.00094 -0.00630 -0.01927
60 Dec_04 0.0788 0.00253 0.00230 0.01944 0.05324
59 Nov_04 0.1382 0.00414 -0.00948 -0.00612 -0.02364
58 Oct_04 0.0022 0.00877 -0.00556 -0.01217 -0.03500
57 Sep_04 0.0516 0.00199 -0.00441 -0.00277 -0.00303
56 Aug_04 0.0455 0.00289 0.00103 0.00383 -0.00278
55 Jul_04 0.0298 0.00152 -0.00815 -0.02519 -0.01002
54 Jun_04 0.0258 0.00640 0.00946 -0.00716 -0.02644
53 May_04 -0.1182 0.00233 -0.00149 -0.00955 -0.03003
52 Apr_04 0.0524 0.00287 0.00128 0.00213 0.00774
51 Mar_04 -0.0171 0.00669 0.01054 0.01073 0.02549
50 Feb_04 -0.0825 0.00864 0.01209 0.00106 -0.00059
49 Jan_04 -0.0712 -0.00323 -0.00989 -0.00034 -0.00848
48 Dec_03 0.2095 0.00617 0.01052 0.00493 0.02070
47 Nov_03 0.1247 0.00217 -0.00315 -0.00545 -0.01516
46 Oct_03 0.0814 0.00239 0.00105 0.00412 0.00134
45 Sep_03 0.0801 0.00558 0.01502 0.01133 0.01376
44 Aug_03 0.1119 0.00384 0.00482 0.01782 0.02715
43 Jul_03 0.0436 0.00463 0.01131 0.01149 0.00970
42 Jun_03 0.1014 0.00343 0.01880 0.00698 0.01092
41 May_03 0.1911 0.00389 0.00924 0.01029 0.01723
40 Apr_03 0.0562 0.00761 0.01629 0.02506 0.03667
39 Mar_03 -0.0561 0.00784 0.01679 0.00574 -0.00220
38 Feb_03 0.0103 0.00374 0.00202 0.00794 0.00897
37 Jan_03 0.0025 0.00187 -0.00647 -0.01145 -0.01523
36 Dec_02 0.0679 0.00404 0.00000 0.01153 0.02976
35 Nov_02 0.0862 0.00240 -0.00120 0.00625 0.02620
34 Oct_02 0.0009 0.00615 0.01022 0.01614 0.02500
33 Sep_02 -0.0643 0.00572 0.00342 0.00379 0.00463
32 Aug_02 0.0225 0.00610 0.00877 0.01345 0.01755
31 Jul_02 -0.0581 0.00632 0.00885 0.01065 0.02008
30 Jun_02 0.0422 0.00701 0.01127 0.01419 0.02440
29 May_02 -0.0760 0.00183 -0.00693 -0.01108 -0.01720
28 Apr_02 0.0514 0.00343 0.00220 0.00074 -0.00004
27 Mar_02 -0.0332 0.00740 0.00772 0.00272 0.01141
26 Feb_02 0.0908 0.00473 0.00632 0.01836 0.02697
25 Jan_02 0.0095 0.00755 0.01361 0.02070 0.03488
24 Dec_01 0.0136 0.00437 0.00067 0.00026 -0.00750
23 Nov_01 0.1026 0.00292 0.00276 0.02393 0.07648
22 Oct_01 0.0755 0.00612 0.00660 0.01696 0.03702
21 Sep_01 -0.0496 0.00473 -0.00789 0.00091 0.00564
20 Aug_01 0.0085 0.00775 0.01565 0.01577 0.01666
19 Jul_01 -0.0495 0.00724 0.01635 0.02417 0.00349
18 Jun_01 -0.0885 0.00926 0.01924 0.02495 0.03050
17 May_01 0.0417 0.00999 0.01582 0.02265 0.04051
16 Apr_01 -0.0716 0.00737 0.00950 0.00937 0.01629
15 Mar_01 -0.1890 0.00691 0.00000 -0.00006 0.00088
14 Feb_01 -0.0230 0.00951 0.01718 0.02823 0.03389
13 Jan_01 0.0381 0.01020 0.01499 0.02173 0.03313
12 Dec_00 -0.1084 0.00850 0.01381 0.02279 0.03490
11 Nov_00 -0.0106 0.00823 0.01061 0.01543 0.01559
10 Oct_00 -0.1212 0.01048 0.00498 0.01289 0.00447
9 Sep_00 -0.1215 0.00935 0.00281 0.00748 -0.00365
8 Aug_00 0.1143 0.00639 0.00296 0.00461 -0.00309
7 Jul_00 -0.1624 0.00504 -0.00833 -0.01327 -0.02244
6 Jun_00 0.1193 0.00821 0.00676 -0.00305 0.00497
5 May_00 -0.1083 0.00673 0.00838 -0.00368 -0.01622
4 Apr_00 -0.2480 0.00926 0.01624 0.02360 0.03207
3 Mar_00 -0.1245 0.00626 0.00275 -0.00244 -0.01138
2 Feb_00 0.2399 0.01050 0.01461 0.02571 0.03750
1 Jan_00 0.0038 0.00753 0.00658 0.01699 0.01708
Growth
-0.00651
Growth -0.00914
Growth -0.01415
Growth -0.01595
-0.01490
Growth -0.01558
Growth -0.01608
Variance_ei
_rolling30
0.00257091
Intercept
0.01622617
Large Cap Large Cap European Japanese
Growth Value Mid cap Small cap US-Stocks Stocks Stocks ei
0.04517 0.07514 -0.00608 0.10212 -0.00014 0.03006 0.02726 -0.01709814
0.05551 0.03484 0.09388 0.00147 0.02995 0.03380 0.02432 -0.00916966
0.08613 0.07198 -0.03665 0.08948 -0.02011 -0.01894 -0.05656 0.02155227
-0.02455 -0.06622 0.03536 0.01056 -0.01912 -0.01491 -0.00610 -0.03887242
-0.04618 -0.02968 0.04692 -0.01362 0.01890 0.02395 0.03100 -0.00560169
0.02328 0.04653 -0.00399 0.07654 -0.02529 0.00789 -0.00881 -0.0091844
-0.00992 -0.02937 0.16739 -0.02727 0.03246 0.02362 0.05409 -0.07122134
0.07031 0.09155 0.11859 0.13430 0.03859 0.01708 0.01187 0.03502733
0.11320 0.06898 0.01237 0.14345 0.01401 0.01168 -0.00482 -0.02127388
0.00794 0.01499 0.06316 0.01833 0.00936 0.02500 -0.02330 -0.00214122
0.07982 0.06975 0.10823 0.08217 0.00229 0.01047 -0.02154 -0.04047864
0.00981 0.00657 0.10430 0.11655 -0.03429 -0.01142 -0.04495 -0.04648203
0.03700 0.12012 0.01261 0.09355 0.01799 0.00754 0.05540 -0.01568398
-0.04063 0.03875 -0.10364 0.00614 0.01208 -0.01314 -0.04467 -0.04822965
-0.15170 -0.24325 0.02324 -0.15308 -0.01679 0.02371 0.00396 0.01866946
0.00053 0.02839 -0.00773 0.08251 -0.01636 -0.02371 0.06099 -0.04593108
-0.04474 0.04927 0.05749 -0.07034 0.01221 0.02312 0.02395 -0.14625563
-0.00557 -0.01769 -0.13708 -0.08562 0.01728 -0.01925 0.01002 0.00610037
-0.06526 -0.02626 0.20489 -0.12846 0.05077 0.03093 0.05703 0.03221846
0.16249 0.21347 0.10947 0.20439 0.00713 0.01283 -0.04347 0.04433919
0.02602 0.04250 0.09206 0.14254 0.05496 0.04798 0.03332 -0.00945671
0.04502 0.08645 0.04226 0.02422 -0.01194 -0.01677 -0.01204 0.03773023
-0.01415 0.06453 0.13812 0.04566 0.01787 0.00099 0.08160 -0.02567591
0.19945 0.20721 0.07616 0.12772 0.01622 0.03121 0.05286 -0.04185156
0.03858 0.07859 0.11502 0.01212 0.01132 -0.00417 0.07818 -0.0189019
0.09418 0.13311 0.18511 0.14035 0.05090 0.03110 0.07573 0.02219622
0.15821 0.24185 0.09882 0.22649 0.08104 0.08654 -0.01772 -0.02428864
-0.01774 0.05771 -0.09262 0.06606 0.00836 -0.01157 -0.04667 0.00670751
-0.08067 -0.07718 -0.00394 -0.12041 -0.01700 0.02472 0.00277 -0.00394291
0.01824 0.02363 -0.02184 0.01499 -0.02741 -0.09466 -0.02786 0.00992576
-0.03263 0.01006 0.03408 -0.05133 -0.06033 -0.05492 -0.06908 0.04818613
0.03226 0.09053 0.09776 -0.04754 0.05707 0.03211 0.06656 -0.0185119
0.04966 0.08459 -0.02143 0.10555 0.08645 0.08542 -0.07916 0.02323555
0.00652 0.02084 -0.07312 -0.03680 -0.11002 -0.11958 -0.02454 -0.02177475
-0.07806 -0.07176 0.02300 -0.06092 0.00488 -0.00445 -0.02618 -0.00212912
0.03405 0.03981 -0.14221 -0.02721 -0.07900 -0.08809 -0.07003 0.04652663
-0.05399 -0.10457 0.08835 -0.15208 -0.07246 -0.08431 -0.09707 -0.007413
0.02176 0.09688 -0.04869 0.34845 -0.00908 -0.01558 0.02359 -0.06492316
-0.06512 0.01644 0.09023 0.05175 -0.06142 -0.02014 0.04241 -0.04086098
-0.04078 0.10278 0.05502 0.18283 0.03674 0.03348 0.04128 -0.10041068
-0.00875 0.07819 0.10900 0.03505 -0.02077 -0.01235 0.05902 -0.01965432
0.07093 0.25369 0.04060 0.05825 -0.01557 -0.01008 -0.05168 -0.02001901
0.01119 0.04766 -0.04230 0.00042 0.00757 0.00265 -0.01447 0.03139648
0.02266 -0.05553 0.14037 -0.04508 0.07518 0.03252 0.03194 -0.02190818
0.10691 0.08424 0.07749 0.19011 0.01810 0.02780 0.06053 -0.01322466
0.05496 0.05431 -0.10332 0.08776 -0.08172 -0.08262 -0.08763 0.03281436
-0.14783 -0.09267 -0.00154 -0.09043 -0.06411 -0.03330 -0.09673 0.02198113
-0.01331 -0.03139 -0.06853 -0.09619 -0.01074 -0.02010 -0.08546 0.00778157
-0.03641 -0.04410 -0.11257 0.11621 -0.02504 -0.02650 -0.02210 -0.01899241
-0.06148 -0.05827 0.09003 -0.16463 0.00509 -0.02862 -0.04824 -0.02362201
0.04511 0.07212 0.01288 0.10882 0.07681 0.05914 0.07190 -0.11822605
-0.03554 0.02362 -0.29894 -0.24323 -0.06420 -0.04802 0.00902 0.00248557
-0.16478 -0.14740 0.06456 0.26142 -0.09229 -0.06028 -0.06935 -0.06410278
-0.01358 0.05340 -0.00458 -0.21753 0.03464 0.01205 0.00420 0.02386316
0.08962 0.12900 0.02102 -0.03305 0.00405 0.01307 -0.05890 -0.12196052
-0.00962 0.04870 0.08340 0.00199 -0.08007 -0.04601 0.00749 -0.08772973
0.07855 0.12689 -0.03270 0.10784 -0.00495 0.02291 -0.07669 -0.09168142
-0.11208 -0.01398 -0.06167 -0.05615 -0.05348 -0.05672 -0.06607 -0.07474693
-0.11589 -0.10542 0.02679 -0.07577 0.06070 0.04829 0.07209 0.0578742
0.06487 -0.01810 -0.10230 0.06952 -0.01634 0.00833 -0.09669 -0.0779765
-0.10929 -0.02008 0.09343 -0.04696 0.02393 -0.00733 0.06604 0.01776523
0.06651 0.09731 0.01957 0.02774 -0.02191 0.00504 -0.09131 -0.11123343
-0.09190 -0.01164 -0.25296 -0.00367 -0.03080 -0.03254 -0.11622 -0.05176893
-0.15175 -0.10467 -0.16719 -0.14176 0.09672 0.04935 0.01893 -0.02865379
-0.10315 -0.12432 0.06350 -0.07744 -0.02011 -0.00573 0.02149 0.17264423
0.11064 -0.08392 0.03848 0.03673 -0.05090 -0.09548 0.03197 -0.04895461
Variance_ei
_rolling30
0.00261107
Intercept
0.0168315
Variance_ei
_rolling30
0.00265133
Intercept
0.0169217
Variance_ei
_rolling30
0.0026686
Intercept
0.01743257
Variance_ei
_rolling30
0.00270545
Intercept
0.0173993
Variance_ei
_rolling30
0.00274785
Intercept
0.01643223
Variance_ei
_rolling30
0.00279296
Intercept
0.02026311
Variance_ei
_rolling30
0.00279149
Intercept
0.02132588
Variance_ei
_rolling30
0.00279189
Intercept
0.02576851
Variance_ei
_rolling30
0.00284163
Intercept
0.02505354
Variance_ei
_rolling30
0.00288833
Intercept
0.02649401
Variance_ei
_rolling30
0.00293282
Intercept
0.02674287
Variance_ei
_rolling30
0.00297174
Intercept
0.02670548
Variance_ei
_rolling30
0.00302871
Intercept
0.02969761
Variance_ei
_rolling30
0.00307076
Intercept
0.03001695
Variance_ei
_rolling30
0.00310299
Intercept
0.03009635
Variance_ei
_rolling30
0.00315349
Intercept
0.0289174
Variance_ei
_rolling30
0.00286647
Intercept
0.03969035
Variance_ei
_rolling30
0.0029161
Intercept
0.03969851
Variance_ei
_rolling30
0.00293155
Intercept
0.03215235
Variance_ei
_rolling30
0.00321944
Intercept
0.0305539
Variance_ei
_rolling30
0.00297342
Intercept
0.02656565
Variance_ei
_rolling30
0.00296659
Intercept
0.02914795
Large Cap Large Cap European Japanese
Growth Value Mid cap Small cap US-Stocks Stocks Stocks ei
0.04517 0.07514 -0.00608 0.10212 -0.00014 0.03006 0.02726 -0.03098271
0.05551 0.03484 0.09388 0.00147 0.02995 0.03380 0.02432 -0.02008261
0.08613 0.07198 -0.03665 0.08948 -0.02011 -0.01894 -0.05656 0.00920551
-0.02455 -0.06622 0.03536 0.01056 -0.01912 -0.01491 -0.00610 -0.05059698
-0.04618 -0.02968 0.04692 -0.01362 0.01890 0.02395 0.03100 -0.01806376
0.02328 0.04653 -0.00399 0.07654 -0.02529 0.00789 -0.00881 -0.02196702
-0.00992 -0.02937 0.16739 -0.02727 0.03246 0.02362 0.05409 -0.08087123
0.07031 0.09155 0.11859 0.13430 0.03859 0.01708 0.01187 0.02518749
0.11320 0.06898 0.01237 0.14345 0.01401 0.01168 -0.00482 -0.03369944
0.00794 0.01499 0.06316 0.01833 0.00936 0.02500 -0.02330 -0.01256632
0.07982 0.06975 0.10823 0.08217 0.00229 0.01047 -0.02154 -0.04965304
0.00981 0.00657 0.10430 0.11655 -0.03429 -0.01142 -0.04495 -0.05509372
0.03700 0.12012 0.01261 0.09355 0.01799 0.00754 0.05540 -0.02984155
-0.04063 0.03875 -0.10364 0.00614 0.01208 -0.01314 -0.04467 -0.06285428
-0.15170 -0.24325 0.02324 -0.15308 -0.01679 0.02371 0.00396 0.00630454
0.00053 0.02839 -0.00773 0.08251 -0.01636 -0.02371 0.06099 -0.06083731
-0.04474 0.04927 0.05749 -0.07034 0.01221 0.02312 0.02395 -0.1582089
-0.00557 -0.01769 -0.13708 -0.08562 0.01728 -0.01925 0.01002 -0.01106926
-0.06526 -0.02626 0.20489 -0.12846 0.05077 0.03093 0.05703 0.02356628
0.16249 0.21347 0.10947 0.20439 0.00713 0.01283 -0.04347 0.03583401
0.02602 0.04250 0.09206 0.14254 0.05496 0.04798 0.03332 -0.02068239
0.04502 0.08645 0.04226 0.02422 -0.01194 -0.01677 -0.01204 0.02637626
-0.01415 0.06453 0.13812 0.04566 0.01787 0.00099 0.08160 -0.0369654
0.19945 0.20721 0.07616 0.12772 0.01622 0.03121 0.05286 -0.05410054
0.03858 0.07859 0.11502 0.01212 0.01132 -0.00417 0.07818 -0.03075982
0.09418 0.13311 0.18511 0.14035 0.05090 0.03110 0.07573 0.01243297
0.15821 0.24185 0.09882 0.22649 0.08104 0.08654 -0.01772 -0.03384513
-0.01774 0.05771 -0.09262 0.06606 0.00836 -0.01157 -0.04667 -0.007541
-0.08067 -0.07718 -0.00394 -0.12041 -0.01700 0.02472 0.00277 -0.01705857
0.01824 0.02363 -0.02184 0.01499 -0.02741 -0.09466 -0.02786 -0.00282218
-0.03263 0.01006 0.03408 -0.05133 -0.06033 -0.05492 -0.06908 0.0382433
0.03226 0.09053 0.09776 -0.04754 0.05707 0.03211 0.06656 -0.03053266
0.04966 0.08459 -0.02143 0.10555 0.08645 0.08542 -0.07916 0.01198099
0.00652 0.02084 -0.07312 -0.03680 -0.11002 -0.11958 -0.02454 -0.03609942
-0.07806 -0.07176 0.02300 -0.06092 0.00488 -0.00445 -0.02618 -0.01363049
0.03405 0.03981 -0.14221 -0.02721 -0.07900 -0.08809 -0.07003 0.03152072
-0.05399 -0.10457 0.08835 -0.15208 -0.07246 -0.08431 -0.09707 -0.01498052
0.02176 0.09688 -0.04869 0.34845 -0.00908 -0.01558 0.02359 -0.07993234
-0.06512 0.01644 0.09023 0.05175 -0.06142 -0.02014 0.04241 -0.05240194
-0.04078 0.10278 0.05502 0.18283 0.03674 0.03348 0.04128 -0.1129358
-0.00875 0.07819 0.10900 0.03505 -0.02077 -0.01235 0.05902 -0.03113258
0.07093 0.25369 0.04060 0.05825 -0.01557 -0.01008 -0.05168 -0.03027613
0.01119 0.04766 -0.04230 0.00042 0.00757 0.00265 -0.01447 0.01767108
0.02266 -0.05553 0.14037 -0.04508 0.07518 0.03252 0.03194 -0.03169869
0.10691 0.08424 0.07749 0.19011 0.01810 0.02780 0.06053 -0.02565671
0.05496 0.05431 -0.10332 0.08776 -0.08172 -0.08262 -0.08763 0.01943939
-0.14783 -0.09267 -0.00154 -0.09043 -0.06411 -0.03330 -0.09673 0.01180809
-0.01331 -0.03139 -0.06853 -0.09619 -0.01074 -0.02010 -0.08546 -0.00465132
-0.03641 -0.04410 -0.11257 0.11621 -0.02504 -0.02650 -0.02210 -0.03452678
-0.06148 -0.05827 0.09003 -0.16463 0.00509 -0.02862 -0.04824 -0.03255108
0.04511 0.07212 0.01288 0.10882 0.07681 0.05914 0.07190 -0.13285198
-0.03554 0.02362 -0.29894 -0.24323 -0.06420 -0.04802 0.00902 -0.0193292
-0.16478 -0.14740 0.06456 0.26142 -0.09229 -0.06028 -0.06935 -0.07315778
-0.01358 0.05340 -0.00458 -0.21753 0.03464 0.01205 0.00420 0.01068787
0.08962 0.12900 0.02102 -0.03305 0.00405 0.01307 -0.05890 -0.13257433
-0.00962 0.04870 0.08340 0.00199 -0.08007 -0.04601 0.00749 -0.09845938
0.07855 0.12689 -0.03270 0.10784 -0.00495 0.02291 -0.07669 -0.10333302
-0.11208 -0.01398 -0.06167 -0.05615 -0.05348 -0.05672 -0.06607 -0.08754159
-0.11589 -0.10542 0.02679 -0.07577 0.06070 0.04829 0.07209 0.04364423
0.06487 -0.01810 -0.10230 0.06952 -0.01634 0.00833 -0.09669 -0.09106022
-0.10929 -0.02008 0.09343 -0.04696 0.02393 -0.00733 0.06604 0.00563447
0.06651 0.09731 0.01957 0.02774 -0.02191 0.00504 -0.09131 -0.12095329
-0.09190 -0.01164 -0.25296 -0.00367 -0.03080 -0.03254 -0.11622 -0.06863938
-0.15175 -0.10467 -0.16719 -0.14176 0.09672 0.04935 0.01893 -0.04695007
-0.10315 -0.12432 0.06350 -0.07744 -0.02011 -0.00573 0.02149 0.16093584
0.11064 -0.08392 0.03848 0.03673 -0.05090 -0.09548 0.03197 -0.06168834
Variance_ei
_rolling30
0.0030365
Intercept
0.02853123
Intercept
0.0320892
Variance_ei
_rolling30
0.00317512
Intercept
0.02403146
Variance_ei
_rolling30
0.00320473
Intercept
0.02264087
Variance_ei
_rolling30
0.00328906
Intercept
0.01731874
Variance_ei
_rolling30
0.00336277
Intercept
0.02595148
Variance_ei
_rolling30
0.00344908
Intercept
0.02103253
Variance_ei
_rolling30
0.0035202
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18902777264 0.558370
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18760019013 0.558322
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18887845155 0.553285
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18868080557 0.553098
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18837029538 0.553023
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18825793842 0.551085
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.18593846645 0.551038
Style Selection
R_sq 0.66 0.34
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.19033229597 0.546016
Style Selection
R_sq 0.65 0.35
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00311631314 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.19183920121 0.528597
Style Selection
R_sq 0.64 0.36
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00206902473 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20421757305 0.528589
Style Selection
R_sq 0.61 0.39
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00288551217 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.2017185136 0.526391
Style Selection
R_sq 0.62 0.38
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00025079892 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20390316967 0.524664
Style Selection
R_sq 0.61 0.39
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20177366096 0.523962
Style Selection
R_sq 0.61 0.39
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00158541131 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20111502551 0.523436
Style Selection
R_sq 0.62 0.38
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00238479143 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20667421998 0.508552
Style Selection
R_sq 0.59 0.41
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.00790927408 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.2062638429 0.506258
Style Selection
R_sq 0.59 0.41
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20389297473 0.505802
Style Selection
R_sq 0.60 0.40
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.17518485403 0.498086
Style Selection
R_sq 0.65 0.35
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.21070162784 0.491965
Style Selection
R_sq 0.57 0.43
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.20933735487 0.450436
Style Selection
R_sq 0.54 0.46
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.15831115391 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.21548940355 0.435441
Style Selection
R_sq 0.51 0.49
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.17613739411 0.428821
Style Selection
R_sq 0.59 0.41
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.1643672354 0.422117
Style Selection
R_sq 0.61 0.39
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
ei_sq y_dif y_dif_sq
0.00095992816 0.00827 0.000068
0.0004033113 0.08567 0.007339
8.4741441E-05 0.00057 0.000000
0.00256005435 0.00577 0.000033
0.00032629959 0.05817 0.003384
0.00048255012 0.00697 0.000049
0.00654015626 0.08417 0.007085
0.0006344098 0.14357 0.020613
0.00113565216 0.00757 0.000057
0.00015791235 0.05697 0.003246
0.00246542481 0.05087 0.002588
0.00303531765 0.03517 0.001237
0.0008905181 0.03117 0.000972
0.00395066007 -0.11283 0.012730
3.9747271E-05 0.05777 0.003337
0.00370117803 -0.01173 0.000138
0.02503005589 -0.07713 0.005949
0.0001225285 -0.06583 0.004334
0.00055536976 0.21487 0.046169
0.00128407628 0.13007 0.016918
0.00042776141 0.08677 0.007529
0.00069570721 0.08547 0.007305
0.00136644061 0.11727 0.013752
0.00292686854 0.04897 0.002398
0.00094616637 0.10677 0.011400
0.00015457872 0.19647 0.038601
0.0011454927 0.06157 0.003791
5.6866737E-05 -0.05073 0.002573
0.00029099482 0.01567 0.000246
7.9647233E-06 0.00787 0.000062
0.00146254981 0.07327 0.005369
0.00093224344 0.09157 0.008385
0.00014354418 0.00627 0.000039
0.00130316808 -0.05893 0.003473
0.00018579022 0.02787 0.000777
0.0009935558 -0.05273 0.002780
0.00022441589 0.04757 0.002263
0.00638917863 -0.07063 0.004988
0.00274596323 0.05677 0.003223
0.01275449601 -0.02789 0.000778
0.00096923773 0.09611 0.009237
0.00091664435 0.01481 0.000219
0.00031226705 0.01891 0.000358
0.00100480686 0.10791 0.011645
0.00065826669 0.08081 0.006530
0.00037788988 -0.04429 0.001962
0.00013943109 0.01381 0.000191
2.1634817E-05 -0.04419 0.001953
0.00119209879 -0.08319 0.006921
0.001059573 0.04701 0.002210
0.01764964819 -0.06629 0.004394
0.00037361806 -0.18365 0.033727
0.00535206029 -0.01765 0.000311
0.0001142306 0.04345 0.001888
0.01757595356 -0.10305 0.010619
0.00969425043 -0.00525 0.000028
0.01067771303 -0.11585 0.013421
0.00766352946 -0.11615 0.013490
0.00190481855 0.11965 0.014317
0.00829196324 -0.15705 0.024664
3.1747223E-05 0.12465 0.015538
0.01462969874 -0.10295 0.010598
0.00471136484 -0.24265 0.058878
0.00220430876 -0.11913 0.014192
0.02590034395 0.24527 0.060157
0.00380545129 0.00917 0.000084
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.16989638837 0.408677
Style Selection
R_sq 0.58 0.42
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
Style Selection
R_sq 0.59 0.41
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.17383857701 0.394287
Style Selection
R_sq 0.56 0.44
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.02096705644 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.15488760737 0.353177
Style Selection
R_sq 0.56 0.44
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.0209469572 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.15122059699 0.348097
Style Selection
R_sq 0.57 0.43
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.01653156347 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.14139583589 0.346445
Style Selection
R_sq 0.59 0.41
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.01983524086 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.15816297136 0.345791
Style Selection
R_sq 0.54 0.46
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth Large Cap Value
0 0 0 0.02549584874 0 0
sum_ei_sq_rol sum_y_dif_sq_r
ling30 olling30
0.14836703683 0.345454
Style Selection
R_sq 0.57 0.43
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.703647948 0 0 0 0.29635205165 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.703726289 0 0 0 0.29627371116 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.702925464 0 0 0 0.29707453623 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.70332955 0 0 0 0.29667044956 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.70404562 0 0 0 0.29595438048 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.704276114 0 0 0 0.29572388558 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.704664852 0 0 0 0.29533514836 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.714704516 0 0 0 0.28529548429 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.704829516 0 0 0 0.29205417103 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.704936353 0 0 0 0.29299462209 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.702498742 0 0 0 0.29461574587 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.708230385 0 0 0 0.2915188165 1.00000
European Japanese
Mid cap Small cap US-Stocks Stocks Stocks sum_bij
0.02674287383336
Intercept
0.026705475373507
Intercept
0.029697613177795
Intercept
0.030016946486527
Intercept
0.030096350464776
Intercept
0.028917404082546
Intercept
0.039690347171952
Intercept
0.039698510998799
Intercept
0.03215235253589
Intercept
0.03055389989906
Intercept
0.02656565204929
Intercept
0.02914794928212
Intercept
0.028531231329054
Intercept
0.032089197116767
Intercept
0.024031461006352
Intercept
0.022640868978145
Intercept
0.017318738836149
Intercept
0.025951484872992
Intercept
0.021032530576887
Large Cap
TB Bond_1_3 Bond_3_8 Bond_8 Growth
100% 36 D_02 0% 0% 0% 3% 0%
100% 37 J_03 0% 0% 0% 2% 0%
100% 38 F_03 0% 0% 0% 2% 0%
100% 39 M_03 0% 0% 0% 2% 0%
100% 40 A_03 0% 0% 0% 2% 0%
100% 41 M_03 0% 0% 0% 0% 0%
100% 42 J_03 0% 0% 0% 0% 0%
100% 43 J_03 0% 0% 0% 0% 0%
100% 44 A_03 0% 0% 0% 0% 0%
100% 45 S_03 0% 0% 0% 0% 0%
100% 46 O_03 0% 0% 0% 16% 0%
100% 47 N_03 0% 0% 0% 0% 0%
100% 48 D_03 0% 0% 0% 0% 0%
100% 49 J_04 0% 0% 0% 0% 0%
100% 50 F_04 0% 0% 0% 0% 0%
100% 51 M_04 0% 0% 0% 1% 0%
100% 52 A_04 0% 0% 0% 0% 0%
100% 53 M_04 0% 0% 0% 0% 0%
100% 54 J_04 0% 0% 0% 0% 0%
100% 55 J_04 0% 0% 0% 0% 0%
100% 56 A_04 0% 0% 0% 0% 0%
100% 57 S_04 0% 0% 0% 0% 0%
100% 58 O_04 0% 0% 0% 0% 0%
100% 59 N_04 0% 0% 0% 0% 0%
100% 60 D_04 0% 0% 0% 0% 0%
100% 61 J_05 0% 0% 0% 0% 0%
100% 62 F_05 0% 0% 0% 0% 0%
100% 63 M_05 0% 0% 0% 0% 0%
100% 64 A_05 0% 0% 0% 0% 0%
100% 65 M_05 0% 0% 0% 0% 0%
100% 66 J_05 0% 0% 0% 0% 0%
100% mean 0% 0% 0% 1% 0%
100%
90%
80%
70%
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2 3 3 3 3 3 3 3 3 3 3 3 3 4 4 4 4 4 4 4 4 4 4 4 4 5 5
_0 J _0 F_0 _0 A_0 _0 J _0 J _0 A_0 S_0 _0 _0 _0 J _0 F _0 _0 A_0 _0 J _0 J _0 A_0 S_0 _0 _0 _0 J _0 F_0
D M M O N D M M O N D M
month
Style Selection
D_02 57.1% 42.9%
J_03 54.3% 45.7%
F_03 59.2% 40.8%
M_03 56.6% 43.4%
A_03 56.1% 43.9%
M_03 55.9% 44.1% 100.0%
J_03 59.3% 40.7%
Style/Selection
10.0%
0.0%
0 2 03 03 _03 _03 _03 03 03 0 3 0 3 3 3
_0 N_0 D_0
3
D_ J_ F_ M A M J_ J_ A_ S_ O
61% 39%
Large Cap European Japanese Index
Value Mid cap Small cap US-Stocks Stocks Stocks returns
0% 66% 0% 0% 0% 31%
0% 66% 0% 0% 0% 32%
0% 66% 0% 0% 0% 32%
0% 66% 0% 0% 0% 32%
0% 66% 0% 0% 0% 32%
0% 68% 0% 0% 0% 32%
0% 68% 0% 0% 0% 32%
0% 67% 0% 0% 0% 33%
0% 67% 0% 0% 0% 33%
0% 68% 0% 0% 0% 32%
0% 76% 0% 8% 0% 0%
0% 70% 0% 0% 0% 30%
0% 72% 0% 0% 0% 28%
0% 71% 0% 0% 0% 29%
0% 71% 0% 0% 0% 29%
0% 71% 0% 0% 0% 28%
0% 71% 0% 0% 0% 29%
0% 72% 0% 0% 0% 28%
0% 72% 0% 0% 0% 28%
0% 71% 0% 0% 0% 29%
0% 70% 0% 0% 0% 29%
0% 70% 0% 0% 0% 29%
0% 70% 0% 0% 0% 29%
0% 71% 0% 0% 0% 29%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 30%
0% 70% 0% 0% 0% 29%
Japanese Stocks
European Stocks
US-Stocks
Small cap
Mid cap
Large Cap Value
Large Cap Growth
4 04 04 04 04 04 05 05 05 05 05 05 Bond_8
A_ S_ O _ N_ D_ J _ F_ M_ A_ M_ J _
Bond_3_8
Bond_1_3
TB
Selection
Style
1 12 1
0.9 0.9
10
0.8 0.8
0.7 0.7
8
0.6 0.6
0.5 6 0.5
0.4 0.4
4
0.3 0.3
0.2 0.2
2
0.1 0.1
0 0 0
Month
Month
Style return of Actual
US- European Japanese the style fund
Mid cap Small cap Stocks Stocks Stocks benchmark return
0.03848 0.03673 -0.05090 -0.09548 0.03197 37 Jan_03 -2.35% 0.25%
0.06350 -0.07744 -0.02011 -0.00573 0.02149 38 Feb_03 -0.16% 1.03%
-0.16719 -0.14176 0.09672 0.04935 0.01893 39 Mar_03 -7.64% -5.61%
-0.25296 -0.00367 -0.03080 -0.03254 -0.11622 40 Apr_03 6.02% 5.62%
0.01957 0.02774 -0.02191 0.00504 -0.09131 41 May_03 14.65% 19.11%
0.09343 -0.04696 0.02393 -0.00733 0.06604 42 Jun_03 10.31% 10.14%
-0.10230 0.06952 -0.01634 0.00833 -0.09669 43 Jul_03 6.86% 4.36%
0.02679 -0.07577 0.06070 0.04829 0.07209 44 Aug_03 11.97% 11.19%
-0.06167 -0.05615 -0.05348 -0.05672 -0.06607 45 Sep_03 2.46% 8.01%
-0.03270 0.10784 -0.00495 0.02291 -0.07669 46 Oct_03 7.33% 8.14%
0.08340 0.00199 -0.08007 -0.04601 0.00749 47 Nov_03 8.19% 12.47%
0.02102 -0.03305 0.00405 0.01307 -0.05890 48 Dec_03 16.12% 20.95%
-0.00458 -0.21753 0.03464 0.01205 0.00420 49 Jan_04 -9.59% -7.12%
0.06456 0.26142 -0.09229 -0.06028 -0.06935 50 Feb_04 4.78% -8.25%
-0.29894 -0.24323 -0.06420 -0.04802 0.00902 51 Mar_04 1.25% -1.71%
0.01288 0.10882 0.07681 0.05914 0.07190 52 Apr_04 1.77% 5.24%
0.09003 -0.16463 0.00509 -0.02862 -0.04824 53 May_04 -8.66% -11.82%
-0.11257 0.11621 -0.02504 -0.02650 -0.02210 54 Jun_04 2.46% 2.58%
-0.06853 -0.09619 -0.01074 -0.02010 -0.08546 55 Jul_04 6.21% 2.98%
-0.00154 -0.09043 -0.06411 -0.03330 -0.09673 56 Aug_04 7.04% 4.55%
-0.10332 0.08776 -0.08172 -0.08262 -0.08763 57 Sep_04 3.75% 5.16%
0.07749 0.19011 0.01810 0.02780 0.06053 58 Oct_04 0.72% 0.22%
0.14037 -0.04508 0.07518 0.03252 0.03194 59 Nov_04 8.70% 13.82%
-0.04230 0.00042 0.00757 0.00265 -0.01447 60 Dec_04 13.51% 7.88%
0.04060 0.05825 -0.01557 -0.01008 -0.05168 61 Jan_05 -0.54% 0.16%
0.10900 0.03505 -0.02077 -0.01235 0.05902 62 Feb_05 4.22% 5.28%
0.05502 0.18283 0.03674 0.03348 0.04128 63 Mar_05 2.31% 0.04%
0.09023 0.05175 -0.06142 -0.02014 0.04241 64 Apr_05 -4.26% -0.48%
-0.04869 0.34845 -0.00908 -0.01558 0.02359 65 May_05 7.32% 8.03%
0.08835 -0.15208 -0.07246 -0.08431 -0.09707 66 Jun_05 0.38% 0.29%
-0.14221 -0.02721 -0.07900 -0.08809 -0.07003 3.84% 4.09%
0.02300 -0.06092 0.00488 -0.00445 -0.02618 Mean
Colu
mn R
Month
Month Month
Timing
compone
Selection nt=
Compone Std.bench
nt=Fund mark
return- return-
S E le c tio n R e tu r n a c h ie v e d ( % )
Mean Announced std.bench style
Selection Selection benchmarkRet mark benchmar
Return return urn(BSE 200) return k return
2.61% 0.25% -1.84% 2.09% 0.51% 2.61% 0.00%
1.19% 0.25% 2.25% -1.21% 2.40% 1.19% 0.00%
2.04% 0.25% -5.69% 0.08% 1.95% 2.04% 0.00%
-0.39% 0.25% -7.49% 13.11% -13.50% -0.39% 0.00%
4.46% 0.25% 13.90% 5.21% -0.75% 4.46% 0.00% 10.00%
-0.16% 0.25% 7.21% 2.93% -3.09% -0.16% 0.00%
-2.50% 0.25% 1.20% 3.16% -5.66% -2.50% 0.00% 5.00%
10.00%
Selec
tion
5.00% Retur
n
Mean
0.00% Selec
1 2 3 4 5 6 7 8 9 101112131415161718192021222324252627282930 tion
retur
-5.00%
n
-10.00%