Historical risk vs. return for 12 industry classifications

Data source: Kenneth R. French Data Library

Input: KFrench_12_ind_daily_vw.csv with 22731 observations

Outputs
INDR.D Daily 12 industry gross returns, decimal format
INDR.Q Quarterly 12 industry gross returns, decimal format
INDR.Y Annual 12 industry gross returns, decimal format

1. Industry definitions

Industry	Details
`NoDur`	Consumer NonDurables – Food, Tobacco, Textiles, Apparel, Leather, Toys
`Durbl`	Consumer Durables – Cars, TV's, Furniture, Household Appliances
`Manuf`	Manufacturing – Machinery, Trucks, Planes, Off Furn, Paper, Com Printing
`Enrgy`	Oil, Gas, and Coal Extraction and Products
`Chems`	Chemicals and Allied Products
`BusEq`	Business Equipment – Computers, Software, and Electronic Equipment
`Utils`	Utilities
`Shops`	Wholesale, Retail, and Some Services (Laundries, Repair Shops)
`Hlth`	Healthcare, Medical Equipment, and Drugs
`Money`	Finance
`Other`	Other – Mines, Constr, BldMt, Trans, Hotels, Bus Serv, Entertainment

2. Average returns \( \mu \) vs. risk \( \sigma \)

2.1 Based on daily returns from 1927-01-03 to 2012-12-31

plot of chunk summaryD

2.2 Based on quarterly returns from 1927 Q1 to 2012 Q4

plot of chunk summaryQ

2.3 Based on annual returns from 1927 to 2012

plot of chunk summaryY

##  NoDur  Durbl  Manuf  Enrgy  Chems  BusEq  Telcm  Utils  Shops   Hlth 
## 0.1260 0.1487 0.1302 0.1360 0.1281 0.1385 0.1100 0.1116 0.1296 0.1343 
##  Money  Other 
## 0.1259 0.1035

3. Efficient frontier plot of industry portfolios

3.1 Based on annual returns from 1927 to 2012

plot of chunk FrontierPlot

3.2 Minimum variance portfolio

The minimum variance portfolio, indicated by the red point, has a mean of 0.1244 and standard deviation of 0.161. The portfolio weights are: plot of chunk unnamed-chunk-1

3.3 Maximum return/risk ratio portfolio

The maximum return/risk ratio portfolio, indicated by the blue point, has a mean of 0.1283 and standard deviation of 0.1635. The portfolio weights are: plot of chunk unnamed-chunk-2