Asset Allocation

Data
Client's Coefficient of Risk Aversion (A): 6
Tangency Portfolio Mean of Return: 0.147108
Tangency Portfolio Return Variance: 0.059526
Riskless Rate: 0.01

Broad Asset Alocation

Invest in the tangency portfolio (M): 38.39%
Invest in T-bills: 61.61%

Detailed Asset Allocation

Stock Weight in M Recommendation
SPTSX 60.01% SPTSX 23%
CAGATR 7.07% CAGATR 3%
SPX -7.54% SPX -3%
MXEU -9.80% MXEU -4%
MXEF 50.26% MXEF 19%
T-bills T-bills 62%
Total 100.00%
 Maximized Utility Level Indiff Curve
E(Rp) s(Rp) Utility Sig
0%
ER
Indiff Curve
Er
Chart Title
 Estimating The Efficient Frontier
Mean Mean
Var-Cov Matrix of Annualized Returns (monthly) (annual)
SPTSX CAGATR SPX MXEU MXEF returns returns
SPTSX 0.0522 -0.0070 0.0095 0.0161 0.0322 0.0094 0.1130
CAGATR -0.0070 0.0930 0.0049 0.0022 -0.0106 0.0002 0.0018
SPX 0.0095 0.0049 0.0741 0.0098 0.0510 0.0057 0.0678
MXEU 0.0161 0.0022 0.0098 0.0316 0.0261 0.0045 0.0539
MXEF 0.0322 -0.0106 0.0510 0.0261 0.1210 0.0148 0.1781
Riskless Rate (Rf): 0.0100
Portfolio x Portfolio M
z x z M
SPTSX 1.5199 0.5334 1.3822 0.6001
CAGATR 0.2645 0.0928 0.1628 0.0707
SPX -0.0658 -0.0231 -0.1737 -0.0754
MXEU 0.0157 0.0055 -0.2256 -0.0980
MXEF 1.1151 0.3913 1.1577 0.5026
Check: 1.0000 Check: 1.0000

Transpose x
0.5334 0.0928 -0.0231 0.0055 0.3913

Transpose M
0.6001 0.0707 -0.0754 -0.0980 0.5026

Mean (x) 0.1289 Mean (M) 0.1471 Cov(x,M) 0.0516

Var (x) 0.0452 Var (M) 0.0595
 Sigma (x) 0.2127 Sigma (M) 0.2440

Covariance, cov(rx,rM) Means

x 0.0452 0.0516 0.1289
M 0.0516 0.0595 0.1471

Data Table
For The Markowitz Frontier and the CML

Prop. of x Prop. of M Sigma Return CML

Adjust for graph: -20.0 21.0 51.11% Sharpe Ratio
-19.9 20.9 50.92% 0.5620
-19.8 20.8 50.74%
-19.7 20.7 50.56%
-19.6 20.6 50.38%
-19.5 20.5 50.20%
-19.4 20.4 50.01%
-19.3 20.3 49.83%
-19.2 20.2 49.65%
-19.1 20.1 49.47%
-19.0 20.0 49.29%
-18.9 19.9 49.10%
-18.8 19.8 48.92%
-18.7 19.7 48.74%
-18.6 19.6 48.56%
-18.5 19.5 48.38%
-18.4 19.4 48.19%
-18.3 19.3 48.01%
-18.2 19.2 47.83%
-18.1 19.1 47.65%
-18.0 19.0 47.47%
-17.9 18.9 47.28%
-17.8 18.8 47.10%
-17.7 18.7 46.92%
-17.6 18.6 46.74%
-17.5 18.5 46.56%
-17.4 18.4 46.37%
-17.3 18.3 46.19%
-17.2 18.2 46.01%
-17.1 18.1 45.83%
-17.0 18.0 45.65%
-16.9 17.9 45.46%
-16.8 17.8 45.28%
-16.7 17.7 45.10%
-16.6 17.6 44.92%
-16.5 17.5 44.74%
-16.4 17.4 44.55%
-16.3 17.3 44.37%
-16.2 17.2 44.19%
-16.1 17.1 44.01%
-16.0 17.0 43.83%
-15.9 16.9 43.64%
-15.8 16.8 43.46%
-15.7 16.7 43.28%
-15.6 16.6 43.10%
-15.5 16.5 42.92%
-15.4 16.4 42.73%
-15.3 16.3 42.55%
-15.2 16.2 42.37%
-15.1 16.1 42.19%
-15.0 16.0 42.01%
-14.9 15.9 41.82%
-14.8 15.8 41.64%
-14.7 15.7 41.46%
-14.6 15.6 41.28%
-14.5 15.5 41.10%
-14.4 15.4 40.91%
-14.3 15.3 40.73%
-14.2 15.2 40.55%
-14.1 15.1 40.37%
-14.0 15.0 40.19%
-13.9 14.9 40.00%
-13.8 14.8 39.82%
-13.7 14.7 39.64%
-13.6 14.6 39.46%
-13.5 14.5 39.28%
-13.4 14.4 39.10%
-13.3 14.3 38.91%
-13.2 14.2 38.73%
-13.1 14.1 38.55%
-13.0 14.0 38.37%
-12.9 13.9 38.19%
-12.8 13.8 38.00%
-12.7 13.7 37.82%
-12.6 13.6 37.64%
-12.5 13.5 37.46%
-12.4 13.4 37.28%
-12.3 13.3 37.09%
-12.2 13.2 36.91%
-12.1 13.1 36.73%
-12.0 13.0 36.55%
-11.9 12.9 36.37%
-11.8 12.8 36.18%
-11.7 12.7 36.00%
-11.6 12.6 35.82%
-11.5 12.5 35.64%
-11.4 12.4 35.46%
-11.3 12.3 35.27%
-11.2 12.2 35.09%
-11.1 12.1 34.91%
-11.0 12.0 34.73%
-10.9 11.9 34.55%
-10.8 11.8 34.36%
-10.7 11.7 34.18%
-10.6 11.6 34.00%
-10.5 11.5 33.82%
-10.4 11.4 33.64%
-10.3 11.3 33.45%
-10.2 11.2 33.27%
-10.1 11.1 33.09%
-10.0 11.0 32.91%
-9.9 10.9 32.73%
-9.8 10.8 32.54%
-9.7 10.7 32.36%
-9.6 10.6 32.18%
-9.5 10.5 32.00%
-9.4 10.4 31.82%
-9.3 10.3 31.63%
-9.2 10.2 31.45%
-9.1 10.1 31.27%
-9.0 10.0 31.09%
-8.9 9.9 30.91%
-8.8 9.8 30.72%
-8.7 9.7 30.54%
-8.6 9.6 30.36%
-8.5 9.5 30.18%
-8.4 9.4 30.00%
-8.3 9.3 29.81%
-8.2 9.2 29.63%
-8.1 9.1 29.45%
-8.0 9.0 29.27%
-7.9 8.9 29.09%
-7.8 8.8 28.90%
-7.7 8.7 28.72%
-7.6 8.6 28.54%
-7.5 8.5 28.36%
-7.4 8.4 28.18%
-7.3 8.3 27.99%
-7.2 8.2 27.81%
-7.1 8.1 27.63%
-7.0 8.0 27.45%
-6.9 7.9 27.27%
-6.8 7.8 27.08%
-6.7 7.7 26.90%
-6.6 7.6 26.72%
-6.5 7.5 26.54%
-6.4 7.4 26.36%
-6.3 7.3 26.18%
-6.2 7.2 25.99%
-6.1 7.1 25.81%
-6.0 7.0 25.63%
-5.9 6.9 25.45%
-5.8 6.8 25.27%
-5.7 6.7 25.08%
-5.6 6.6 24.90%
-5.5 6.5 24.72%
-5.4 6.4 24.54%
-5.3 6.3 24.36%
-5.2 6.2 24.17%
-5.1 6.1 23.99%
-5.0 6.0 23.81%
-4.9 5.9 23.63%
-4.8 5.8 23.45%
-4.7 5.7 23.26%
-4.6 5.6 23.08%
-4.5 5.5 22.90%
-4.4 5.4 22.72%
-4.3 5.3 22.54%
-4.2 5.2 22.35%
-4.1 5.1 22.17%
-4.0 5.0 21.99%
-3.9 4.9 21.81%
-3.8 4.8 21.63%
-3.7 4.7 21.44%
-3.6 4.6 21.26%
-3.5 4.5 21.08%
-3.4 4.4 20.90%
-3.3 4.3 20.72%
-3.2 4.2 20.53%
-3.1 4.1 20.35%
-3.0 4.0 20.17%
-2.9 3.9 19.99%
-2.8 3.8 19.81%
-2.7 3.7 19.62%
-2.6 3.6 19.44%
-2.5 3.5 19.26%
-2.4 3.4 19.08%
-2.3 3.3 18.90%
-2.2 3.2 18.71%
-2.1 3.1 18.53%
-2.0 3.0 18.35%
-1.9 2.9 18.17%
-1.8 2.8 17.99%
-1.7 2.7 17.80%
-1.6 2.6 17.62%
-1.5 2.5 17.44%
-1.4 2.4 17.26%
-1.3 2.3 17.08%
-1.2 2.2 16.89%
-1.1 2.1 16.71%
-1.0 2.0 16.53%
-0.9 1.9 16.35%
-0.8 1.8 16.17%
-0.7 1.7 15.98%
-0.6 1.6 15.80%
-0.5 1.5 15.62%
-0.4 1.4 15.44%
-0.3 1.3 15.26%
-0.2 1.2 15.07%
-0.1 1.1 14.89%
0.0 1.0 14.71%
0.1 0.9 14.53%
0.2 0.8 14.35%
0.3 0.7 14.16%
0.4 0.6 13.98%
0.5 0.5 13.80%
0.6 0.4 13.62%
0.7 0.3 13.44%
0.8 0.2 13.26%
0.9 0.1 13.07%
1.0 0.0 12.89%
1.1 -0.1 12.71%
1.2 -0.2 12.53%
1.3 -0.3 12.35%
1.4 -0.4 12.16%
1.5 -0.5 11.98%
1.6 -0.6 11.80%
1.7 -0.7 11.62%
1.8 -0.8 11.44%
1.9 -0.9 11.25%
2.0 -1.0 11.07%
2.1 -1.1 10.89%
2.2 -1.2 10.71%
2.3 -1.3 10.53%
2.4 -1.4 10.34%
2.5 -1.5 10.16%
2.6 -1.6 9.98%
2.7 -1.7 9.80%
2.8 -1.8 9.62%
2.9 -1.9 9.43%
3.0 -2.0 9.25%
3.1 -2.1 9.07%
3.2 -2.2 8.89%
3.3 -2.3 8.71%
3.4 -2.4 8.52%
3.5 -2.5 8.34%
3.6 -2.6 8.16%
3.7 -2.7 7.98%
3.8 -2.8 7.80%
3.9 -2.9 7.61%
4.0 -3.0 7.43%
4.1 -3.1 7.25%
4.2 -3.2 7.07%
4.3 -3.3 6.89%
4.4 -3.4 6.70%
4.5 -3.5 6.52%
4.6 -3.6 6.34%
4.7 -3.7 6.16%
4.8 -3.8 5.98%
4.9 -3.9 5.79%
5.0 -4.0 5.61%
5.1 -4.1 5.43%
5.2 -4.2 5.25%
5.3 -4.3 5.07%
5.4 -4.4 4.88%
5.5 -4.5 4.70%
5.6 -4.6 4.52%
5.7 -4.7 4.34%
5.8 -4.8 4.16%
5.9 -4.9 3.97%
6.0 -5.0 3.79%
6.1 -5.1 3.61%
6.2 -5.2 3.43%
6.3 -5.3 3.25%
6.4 -5.4 3.06%
6.5 -5.5 2.88%
6.6 -5.6 2.70%
6.7 -5.7 2.52%
6.8 -5.8 2.34%
6.9 -5.9 2.15%
7.0 -6.0 1.97%
0.00% 1.00% The Risk-Free Asset
Mean
minus
Rf
0.1030
-0.0082
0.0578
0.0439
0.1681
atio
 Global Minimum Variance Portfolio Construction

Risky Asset Weights GMV VAR GMV MEAN

SPTSX 20% 2.90% 8.43%
CAGATR 20%
SPX 30%
MXEU 10%
MXEF 20%
 SPTSX CAGATR SPX MXEU MXEF
SPTSX 0.0043495158
CAGATR -0.000582768 0.0077480708
SPX 0.0007906248 0.0004050626 0.0061716333
MXEU 0.0013377696 0.0001806384 0.0008196022 0.0026299648
MXEF 0.0026855246 -0.000886084 0.0042474751 0.0021729956 0.010082228

Transpose the above matrix

SPTSX CAGATR SPX MXEU MXEF
SPTSX 0 -0.000582768 0.0007906248 0.0013377696 0.0026855246
CAGATR 0 0.0004050626 0.0001806384 -0.000886084
SPX 0 0.0008196022 0.0042474751
MXEU 0 0.0021729956
MXEF 0

Var-Cov Matrix of Monthly Returns

SPTSX CAGATR SPX MXEU MXEF
SPTSX 0.0043 -0.0006 0.0008 0.0013 0.0027
CAGATR -0.0006 0.0077 0.0004 0.0002 -0.0009
SPX 0.0008 0.0004 0.0062 0.0008 0.0042
MXEU 0.0013 0.0002 0.0008 0.0026 0.0022
MXEF 0.0027 -0.0009 0.0042 0.0022 0.0101

Var-Cov Matrix of Annualized Returns

SPTSX CAGATR SPX MXEU MXEF
SPTSX 0.0522 -0.0070 0.0095 0.0161 0.0322
CAGATR -0.0070 0.0930 0.0049 0.0022 -0.0106
SPX 0.0095 0.0049 0.0741 0.0098 0.0510
MXEU 0.0161 0.0022 0.0098 0.0316 0.0261
MXEF 0.0322 -0.0106 0.0510 0.0261 0.1210
 Data for Portfolio Selection

We select the following total-return indices:

Canadian Equity: SPTSX Index S&P/TSX Composite Index
Canadian Gov Bonds: CAGATR Index Bloomberg/EFFAS Bond Ind
US Equity SPX Index S&P 500 Index
European Developed Equity: MXEU Index MSCI Europe Index
Emerging Markets Equity: MXEF Index MSCI Emerging Markets Ind

121-Months Historical Monthly Prices

Month SPTSX CAGATR SPX MXEU MXEF
1 100.00 100.00 100.00 100.00 100.00
2 102.68 98.41 105.69 100.08 114.33
3 106.23 107.63 108.08 99.24 128.17
4 113.34 95.97 90.12 98.04 154.33
5 97.85 107.59 102.34 94.90 145.33
6 98.02 126.79 92.32 91.88 136.67
7 88.52 121.59 94.01 91.82 145.83
8 91.70 119.04 94.87 100.45 166.17
9 100.95 116.44 90.21 101.09 179.25
10 90.21 125.95 90.66 99.52 165.67
11 97.15 121.55 93.30 95.15 183.58
12 100.12 114.09 94.94 92.02 166.58
13 90.50 105.83 82.88 90.28 149.25
14 86.91 101.43 92.65 90.39 150.08
15 90.26 96.23 103.44 86.22 159.17
16 89.02 97.23 117.00 90.59 175.33
17 91.37 85.45 120.77 90.00 170.00
18 87.74 82.35 130.48 95.77 187.67
19 93.31 74.68 131.05 101.62 192.17
20 95.50 65.66 116.53 93.14 185.83
21 100.66 69.06 121.68 93.14 177.83
22 95.66 78.49 120.53 95.43 166.50
23 83.20 81.64 115.01 85.74 153.33
24 79.89 89.56 106.88 83.22 149.67
25 59.37 107.04 113.14 74.87 127.67
26 60.90 109.43 120.21 79.02 141.42
27 63.09 102.73 118.80 82.21 172.75
28 54.83 109.90 122.64 82.55 158.25
29 48.55 113.12 118.97 80.67 153.33
30 46.41 113.50 116.27 80.92 163.92
31 49.30 112.96 124.68 83.14 171.58
32 58.30 108.26 135.57 83.73 184.67
33 63.87 129.27 144.86 87.20 183.08
34 75.19 141.13 140.55 86.02 195.42
35 78.45 133.21 145.89 85.24 238.25
36 76.42 145.45 152.05 90.92 253.67
37 80.26 116.44 146.10 88.29 243.08
38 85.22 113.54 171.79 88.24 260.00
39 88.73 114.17 164.86 87.93 269.83
40 85.96 116.06 153.20 99.58 294.58
41 89.10 120.84 152.68 99.08 278.42
42 97.98 117.53 155.87 103.08 270.00
43 98.93 109.39 170.73 101.65 281.83
44 94.26 110.57 163.33 104.01 278.33
45 91.41 120.71 167.13 106.39 269.75
46 90.01 116.81 185.72 109.24 284.42
47 95.21 114.84 186.16 113.89 264.50
48 93.56 111.91 186.42 114.09 261.67
49 97.03 106.62 194.99 119.61 289.50
50 100.91 100.17 207.35 121.79 291.33
51 108.42 93.46 216.25 127.51 331.17
52 113.05 90.48 224.28 127.54 352.75
53 114.20 87.97 217.79 128.38 323.75
54 116.64 93.42 222.66 158.29 345.33
55 109.83 105.28 214.07 149.02 332.25
56 103.34 103.94 193.56 142.58 321.42
57 109.12 108.55 203.77 141.23 343.50
58 97.85 100.84 184.76 144.43 347.92
59 109.91 106.71 191.78 147.65 395.42
60 114.45 98.78 185.74 151.26 407.00
61 118.08 98.91 198.92 160.45 430.92
62 111.44 105.28 209.88 141.76 387.50
63 121.80 98.16 222.85 147.28 425.75
64 121.35 95.22 236.22 142.58 425.67
65 126.01 98.91 231.12 159.27 502.25
66 125.64 96.69 245.02 151.48 540.58
67 123.66 92.37 258.23 155.29 531.17
68 124.40 96.14 263.24 160.95 562.08
69 119.36 100.13 249.85 156.22 541.33
70 120.93 101.80 267.41 157.34 552.67
71 127.37 102.14 239.62 173.73 528.17
72 129.19 95.60 231.19 174.34 494.50
73 140.79 94.51 248.91 172.89 490.42
74 150.87 93.29 262.35 184.01 454.42
75 154.75 97.11 264.39 198.74 464.33
76 163.42 97.32 248.98 198.29 459.08
77 163.50 89.39 253.06 191.74 482.00
78 161.07 89.06 261.84 186.27 484.75
79 166.10 84.95 246.45 196.08 504.25
80 177.99 90.40 241.89 206.27 548.75
81 186.37 94.21 256.05 217.06 593.75
82 187.12 93.25 254.81 218.91 591.67
83 176.47 87.63 254.27 222.18 597.92
84 181.59 89.10 251.84 224.62 574.92
85 200.83 94.21 240.74 242.52 595.08
86 220.27 89.85 237.49 241.04 568.75
87 221.22 89.48 226.29 234.54 548.08
88 222.87 86.88 205.13 246.44 553.17
89 202.73 83.40 214.68 225.43 544.25
90 206.11 86.67 202.74 229.86 554.50
91 212.47 82.05 213.42 223.45 600.17
92 226.96 80.29 220.79 245.88 630.58
93 225.97 80.17 211.22 235.55 636.42
94 215.57 87.34 181.69 233.87 568.50
95 229.23 97.40 181.81 213.42 538.58
96 239.18 90.31 190.99 213.39 548.00
 97 238.03 73.88 182.51 207.14 461.75
98 223.45 82.89 150.95 197.70 298.92
99 228.65 81.05 163.12 215.01 320.75
100 242.03 92.37 148.37 214.15 349.58
101 225.81 86.00 117.82 205.15 244.00
102 205.24 88.26 99.95 183.05 194.67
103 214.33 101.84 103.23 183.59 221.17
104 209.33 98.53 129.83 179.75 285.08
105 231.71 107.59 128.61 188.10 284.08
106 227.66 111.91 129.31 189.61 264.67
107 218.04 108.43 157.74 190.90 357.42
108 224.69 98.20 159.75 188.68 367.58
109 228.03 86.42 175.16 187.23 416.42
110 234.19 96.35 169.28 195.57 449.92
111 254.87 111.78 196.65 206.02 477.08
112 251.61 123.31 194.57 187.14 465.67
113 251.57 116.86 182.67 176.83 429.75
114 259.50 114.42 197.61 179.55 469.33
115 271.14 92.37 218.05 185.04 517.08
116 286.87 99.66 210.14 187.20 563.67
117 274.03 103.14 194.90 168.15 503.00
118 269.94 73.25 163.92 158.71 497.25
119 285.76 96.90 193.00 165.99 581.25
120 301.65 116.31 182.49 165.57 543.00
121 309.70 101.84 197.05 171.43 593.83

120-Months Historical Monthly Returns

Month SPTSX CAGATR SPX MXEU MXEF
2 0.0264 -0.0160 0.0553 0.0008 0.1339
3 0.0340 0.0896 0.0224 -0.0084 0.1143
4 0.0648 -0.1147 -0.1817 -0.0122 0.1857
5 -0.1470 0.1143 0.1272 -0.0326 -0.0601
6 0.0017 0.1642 -0.1030 -0.0323 -0.0614
7 -0.1019 -0.0419 0.0181 -0.0007 0.0649
8 0.0353 -0.0212 0.0091 0.0898 0.1306
 9 0.0961 -0.0221 -0.0504 0.0064 0.0758
10 -0.1125 0.0785 0.0050 -0.0157 -0.0788
11 0.0741 -0.0356 0.0287 -0.0449 0.1027
12 0.0301 -0.0633 0.0174 -0.0334 -0.0972
13 -0.1010 -0.0752 -0.1359 -0.0191 -0.1099
14 -0.0405 -0.0425 0.1114 0.0012 0.0055
15 0.0378 -0.0526 0.1102 -0.0472 0.0588
16 -0.0138 0.0103 0.1232 0.0494 0.0967
17 0.0261 -0.1291 0.0317 -0.0065 -0.0309
18 -0.0405 -0.0370 0.0773 0.0621 0.0989
19 0.0615 -0.0978 0.0044 0.0593 0.0237
20 0.0232 -0.1287 -0.1174 -0.0871 -0.0335
21 0.0526 0.0505 0.0432 0.0000 -0.0440
22 -0.0509 0.1280 -0.0095 0.0243 -0.0658
23 -0.1396 0.0393 -0.0469 -0.1071 -0.0824
24 -0.0406 0.0926 -0.0733 -0.0298 -0.0242
25 -0.2969 0.1783 0.0569 -0.1057 -0.1590
26 0.0254 0.0221 0.0606 0.0539 0.1023
27 0.0353 -0.0632 -0.0118 0.0396 0.2001
28 -0.1403 0.0675 0.0318 0.0041 -0.0877
29 -0.1216 0.0289 -0.0304 -0.0230 -0.0316
30 -0.0451 0.0034 -0.0230 0.0031 0.0668
31 0.0604 -0.0048 0.0698 0.0271 0.0457
32 0.1677 -0.0425 0.0837 0.0071 0.0735
33 0.0912 0.1774 0.0663 0.0406 -0.0086
34 0.1632 0.0878 -0.0302 -0.0136 0.0652
35 0.0424 -0.0578 0.0373 -0.0091 0.1982
36 -0.0262 0.0879 0.0414 0.0645 0.0627
37 0.0490 -0.2225 -0.0399 -0.0294 -0.0426
38 0.0600 -0.0252 0.1620 -0.0006 0.0673
39 0.0404 0.0055 -0.0412 -0.0035 0.0371
40 -0.0317 0.0164 -0.0734 0.1244 0.0878
41 0.0359 0.0404 -0.0034 -0.0050 -0.0564
42 0.0950 -0.0278 0.0207 0.0396 -0.0307
43 0.0096 -0.0718 0.0911 -0.0140 0.0429
44 -0.0484 0.0107 -0.0443 0.0230 -0.0125
45 -0.0307 0.0877 0.0230 0.0226 -0.0313
46 -0.0154 -0.0328 0.1055 0.0264 0.0530
47 0.0562 -0.0170 0.0024 0.0417 -0.0726
48 -0.0175 -0.0258 0.0014 0.0018 -0.0108
49 0.0364 -0.0484 0.0449 0.0472 0.1011
50 0.0392 -0.0624 0.0615 0.0181 0.0063
51 0.0718 -0.0693 0.0420 0.0459 0.1282
52 0.0418 -0.0324 0.0365 0.0002 0.0631
53 0.0101 -0.0281 -0.0294 0.0066 -0.0858
54 0.0211 0.0601 0.0221 0.2094 0.0645
55 -0.0602 0.1195 -0.0393 -0.0603 -0.0386
56 -0.0609 -0.0128 -0.1007 -0.0442 -0.0331
57 0.0544 0.0434 0.0514 -0.0095 0.0664
58 -0.1090 -0.0737 -0.0979 0.0224 0.0128
59 0.1162 0.0566 0.0373 0.0220 0.1280
60 0.0405 -0.0772 -0.0320 0.0242 0.0289
61 0.0312 0.0013 0.0686 0.0590 0.0571
62 -0.0579 0.0624 0.0536 -0.1238 -0.1062
63 0.0889 -0.0700 0.0600 0.0382 0.0941
64 -0.0037 -0.0304 0.0583 -0.0324 -0.0002
65 0.0377 0.0380 -0.0218 0.1107 0.1654
66 -0.0029 -0.0227 0.0584 -0.0501 0.0735
67 -0.0159 -0.0457 0.0525 0.0248 -0.0176
68 0.0060 0.0400 0.0192 0.0358 0.0566
69 -0.0414 0.0407 -0.0522 -0.0298 -0.0376
70 0.0131 0.0165 0.0679 0.0071 0.0207
71 0.0519 0.0033 -0.1097 0.0991 -0.0453
72 0.0142 -0.0662 -0.0358 0.0035 -0.0659
73 0.0860 -0.0115 0.0739 -0.0084 -0.0083
74 0.0691 -0.0130 0.0526 0.0623 -0.0762
75 0.0254 0.0401 0.0077 0.0770 0.0216
76 0.0545 0.0022 -0.0601 -0.0023 -0.0114
 77 0.0005 -0.0850 0.0163 -0.0336 0.0487
78 -0.0150 -0.0037 0.0341 -0.0289 0.0057
79 0.0308 -0.0472 -0.0606 0.0513 0.0394
80 0.0691 0.0622 -0.0187 0.0507 0.0846
81 0.0460 0.0413 0.0569 0.0510 0.0788
82 0.0040 -0.0102 -0.0049 0.0085 -0.0035
83 -0.0586 -0.0622 -0.0021 0.0148 0.0105
84 0.0286 0.0166 -0.0096 0.0109 -0.0392
85 0.1007 0.0558 -0.0451 0.0767 0.0345
86 0.0924 -0.0474 -0.0136 -0.0061 -0.0453
87 0.0043 -0.0041 -0.0483 -0.0273 -0.0370
88 0.0074 -0.0295 -0.0982 0.0495 0.0092
89 -0.0947 -0.0409 0.0455 -0.0891 -0.0163
90 0.0165 0.0385 -0.0572 0.0195 0.0187
91 0.0304 -0.0548 0.0513 -0.0283 0.0791
92 0.0660 -0.0217 0.0339 0.0957 0.0494
93 -0.0044 -0.0015 -0.0443 -0.0429 0.0092
94 -0.0471 0.0857 -0.1506 -0.0072 -0.1129
95 0.0614 0.1090 0.0007 -0.0915 -0.0541
96 0.0425 -0.0756 0.0493 -0.0001 0.0173
97 -0.0048 -0.2008 -0.0454 -0.0297 -0.1713
98 -0.0632 0.1151 -0.1899 -0.0466 -0.4348
99 0.0230 -0.0224 0.0775 0.0839 0.0705
100 0.0569 0.1307 -0.0948 -0.0040 0.0861
101 -0.0694 -0.0715 -0.2306 -0.0429 -0.3596
102 -0.0955 0.0259 -0.1645 -0.1140 -0.2259
103 0.0433 0.1431 0.0323 0.0029 0.1276
104 -0.0236 -0.0330 0.2293 -0.0211 0.2538
105 0.1016 0.0880 -0.0094 0.0454 -0.0035
106 -0.0176 0.0394 0.0054 0.0080 -0.0708
107 -0.0432 -0.0316 0.1987 0.0068 0.3004
108 0.0300 -0.0991 0.0127 -0.0117 0.0280
109 0.0148 -0.1278 0.0921 -0.0077 0.1248
110 0.0267 0.1088 -0.0341 0.0436 0.0774
 111 0.0846 0.1485 0.1499 0.0521 0.0586
112 -0.0129 0.0982 -0.0106 -0.0961 -0.0242
113 -0.0002 -0.0537 -0.0631 -0.0567 -0.0803
114 0.0310 -0.0211 0.0786 0.0153 0.0881
115 0.0439 -0.2141 0.0984 0.0301 0.0969
116 0.0564 0.0760 -0.0370 0.0116 0.0863
117 -0.0458 0.0343 -0.0753 -0.1073 -0.1139
118 -0.0150 -0.3422 -0.1731 -0.0578 -0.0115
119 0.0570 0.2798 0.1633 0.0448 0.1561
120 0.0541 0.1826 -0.0560 -0.0025 -0.0681
121 0.0263 -0.1329 0.0768 0.0348 0.0895

SPTSX CAGATR SPX MXEU MXEF

Mean: 0.0094 0.0002 0.0057 0.0045 0.0148
site Index
S Bond Indices Canada Govt All > 1 Yr TR

Markets Index
Variance covariance Matrix
Column 1 Column 2 Column 3 Column 4 Column 5

Column 1 0.0043495158

Column 2 -0.000582768 0.0077480708

Column 3 0.0007906248 0.0004050626 0.0061716333

Column 4 0.0013377696 0.0001806384 0.0008196022 0.0026299648

Column 5 0.0026855246 -0.000886084 0.0042474751 0.0021729956 0.010082228