con = gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
source(con)
close(con)
library(tidyverse)
## Registered S3 methods overwritten by 'ggplot2':
## method from
## [.quosures rlang
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## print.quosures rlang
## Registered S3 method overwritten by 'rvest':
## method from
## read_xml.response xml2
## ── Attaching packages ────────────────────────────────────────────────────────────────── tidyverse 1.2.1 ──
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## ✔ tidyr 0.8.3 ✔ stringr 1.4.0
## ✔ readr 1.3.1 ✔ forcats 0.4.0
## ── Conflicts ───────────────────────────────────────────────────────────────────── tidyverse_conflicts() ──
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## ✖ .GlobalEnv::lst() masks dplyr::lst(), tibble::lst()
# Q1. Try to find the min variance portfolio for three stocks
#1a Using 2007-2009 daily returns as the insample data
#1b In other words, you have to compute optimal weights for 2010-01
#1c Give me weights, realized returns and standard deviation for 2010-01.
#1a Using 2007-2009 daily returns as the insample data
library(quantmod)
## Loading required package: xts
## Loading required package: zoo
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
##
## Attaching package: 'xts'
## The following objects are masked from 'package:dplyr':
##
## first, last
## Loading required package: TTR
##
## Attaching package: 'TTR'
## The following object is masked _by_ '.GlobalEnv':
##
## DVI
## Registered S3 method overwritten by 'quantmod':
## method from
## as.zoo.data.frame zoo
## Version 0.4-0 included new data defaults. See ?getSymbols.
library(plyr)
## -------------------------------------------------------------------------
## You have loaded plyr after dplyr - this is likely to cause problems.
## If you need functions from both plyr and dplyr, please load plyr first, then dplyr:
## library(plyr); library(dplyr)
## -------------------------------------------------------------------------
##
## Attaching package: 'plyr'
## The following objects are masked _by_ '.GlobalEnv':
##
## count, join
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##
## arrange, count, desc, failwith, id, mutate, rename, summarise,
## summarize
## The following object is masked from 'package:purrr':
##
## compact
tickers <- c("NKE", "ADS.DE", "PUM.DE")
data.env<-new.env()
getSymbols(tickers ,from = "2007/01/01" ,to = "2009/12/31", env = data.env, auto.assign = TRUE)
## 'getSymbols' currently uses auto.assign=TRUE by default, but will
## use auto.assign=FALSE in 0.5-0. You will still be able to use
## 'loadSymbols' to automatically load data. getOption("getSymbols.env")
## and getOption("getSymbols.auto.assign") will still be checked for
## alternate defaults.
##
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.
## [1] "NKE" "ADS.DE" "PUM.DE"
l_ply(tickers, function(sym) try(getSymbols(sym ,from = "2007/01/01" ,to = "2009/12/31", env=data.env, auto.assign = TRUE), silent=T))
stocks <- tickers[tickers %in% ls(data.env)]
stocks
## [1] "NKE" "ADS.DE" "PUM.DE"
data <- xts()
#Take adjusted value of 3 stocks
for(i in seq_along(stocks))
{
symbol <- stocks[i]
data <- merge(data, Ad(get(symbol, envir=data.env)))}
head(data)
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 2007-01-02 NA 30.93398 12.24304
## 2007-01-03 7.266537 31.03189 12.19294
## 2007-01-04 7.340934 30.84421 11.94572
## 2007-01-05 7.352838 30.43623 11.81172
## 2007-01-08 7.330519 30.58310 11.73393
## 2007-01-09 7.422033 30.17511 11.57101
tail(data)
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 2009-12-22 11.94493 32.76583 14.13108
## 2009-12-23 12.00732 32.64684 14.08156
## 2009-12-24 11.97246 NA NA
## 2009-12-28 12.01833 32.94432 14.20716
## 2009-12-29 12.14860 32.62984 14.16731
## 2009-12-30 12.13576 32.10287 13.99944
str(data)
## An 'xts' object on 2007-01-02/2009-12-30 containing:
## Data: num [1:773, 1:3] NA 7.27 7.34 7.35 7.33 ...
## - attr(*, "dimnames")=List of 2
## ..$ : NULL
## ..$ : chr [1:3] "NKE.Adjusted" "ADS.DE.Adjusted" "PUM.DE.Adjusted"
## Indexed by objects of class: [POSIXct,POSIXt] TZ: Etc/UTC
## xts Attributes:
## NULL
#data<-xts (coredata(data), order.by = as.Date(index(data), tz="", optional= TRUE))
head(data)
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 2007-01-02 NA 30.93398 12.24304
## 2007-01-03 7.266537 31.03189 12.19294
## 2007-01-04 7.340934 30.84421 11.94572
## 2007-01-05 7.352838 30.43623 11.81172
## 2007-01-08 7.330519 30.58310 11.73393
## 2007-01-09 7.422033 30.17511 11.57101
tail(data)
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 2009-12-22 11.94493 32.76583 14.13108
## 2009-12-23 12.00732 32.64684 14.08156
## 2009-12-24 11.97246 NA NA
## 2009-12-28 12.01833 32.94432 14.20716
## 2009-12-29 12.14860 32.62984 14.16731
## 2009-12-30 12.13576 32.10287 13.99944
bt.prep(data.env, align = 'remove.na', fill.gaps = T)
#1b In other words, you have to compute optimal weights for 2010-01
library(fBasics)
## Loading required package: timeDate
## Loading required package: timeSeries
##
## Attaching package: 'timeSeries'
## The following object is masked from 'package:zoo':
##
## time<-
##
## Attaching package: 'fBasics'
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##
## volatility
data.NA <- data[complete.cases(data), ]
data.NA
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 2007-01-03 7.266537 31.03189 12.192940
## 2007-01-04 7.340934 30.84421 11.945717
## 2007-01-05 7.352838 30.43623 11.811720
## 2007-01-08 7.330519 30.58310 11.733926
## 2007-01-09 7.422033 30.17511 11.571012
## 2007-01-10 7.422033 30.21591 11.536394
## 2007-01-11 7.438398 30.24039 11.810089
## 2007-01-12 7.422033 30.56679 11.974226
## 2007-01-16 7.437654 30.52598 11.833307
## 2007-01-17 7.426494 30.62390 11.748589
## 2007-01-18 7.415337 31.33381 11.735966
## 2007-01-19 7.435421 31.50516 11.648397
## 2007-01-22 7.268769 31.25221 11.573456
## 2007-01-23 7.198832 30.94214 11.658173
## 2007-01-24 7.204783 30.34647 11.596265
## 2007-01-25 7.130384 30.08535 11.428869
## 2007-01-26 7.082773 29.90584 11.273694
## 2007-01-29 7.166100 29.84056 11.342931
## 2007-01-30 7.272487 30.04455 11.167797
## 2007-01-31 7.351351 30.12615 11.351078
## 2007-02-01 7.490478 30.31383 11.790949
## 2007-02-02 7.454765 30.46071 11.817421
## 2007-02-05 7.396734 31.17060 11.811312
## 2007-02-06 7.526933 31.30117 11.900101
## 2007-02-07 7.655642 31.12981 11.824752
## 2007-02-08 7.692101 31.19509 11.773435
## 2007-02-09 7.707722 30.92582 11.786875
## 2007-02-12 7.765008 30.84421 11.811312
## 2007-02-13 7.826759 30.91765 11.811312
## 2007-02-14 7.840151 31.26037 12.055682
## 2007-02-15 7.849823 31.19509 11.984406
## 2007-02-16 7.908597 31.01557 11.810905
## 2007-02-20 7.946540 30.67285 11.281430
## 2007-02-21 7.968861 30.59126 11.419909
## 2007-02-22 8.052190 30.61574 11.402802
## 2007-02-23 8.038048 31.08902 11.581193
## 2007-02-26 8.022430 30.98294 11.517655
## 2007-02-27 7.735248 30.59942 11.145397
## 2007-02-28 7.772449 30.28935 10.935645
## 2007-03-01 7.833457 30.05271 10.874551
## 2007-03-02 7.727066 29.74264 10.856225
## 2007-03-05 7.622908 28.96746 10.834640
## 2007-03-06 7.819320 28.90218 10.711637
## 2007-03-07 7.781376 28.80426 10.823235
## 2007-03-08 8.008779 29.53864 10.891251
## 2007-03-09 8.104485 30.31383 10.961304
## 2007-03-12 8.085340 30.22407 10.839932
## 2007-03-13 8.008779 29.89767 10.792280
## 2007-03-14 8.025622 29.71000 10.595559
## 2007-03-15 8.089937 29.88951 10.741368
## 2007-03-16 8.228519 30.43623 10.827713
## 2007-03-19 8.293603 30.88502 10.867627
## 2007-03-20 8.364806 31.57861 10.988593
## 2007-03-21 8.334182 31.66020 10.874551
## 2007-03-22 8.315040 31.78259 10.895323
## 2007-03-23 8.349494 32.48435 10.952346
## 2007-03-26 8.329591 31.90500 10.888400
## 2007-03-27 8.159612 33.17793 11.152323
## 2007-03-28 8.049357 33.15346 11.032173
## 2007-03-29 8.037107 33.52065 11.119740
## 2007-03-30 8.135877 33.39825 11.147842
## 2007-04-02 8.148891 33.65936 11.228484
## 2007-04-03 8.146595 33.73281 11.324197
## 2007-04-04 8.206317 33.70832 11.607668
## 2007-04-05 8.189471 33.95312 12.798982
## 2007-04-10 8.270635 34.68751 14.007809
## 2007-04-11 8.267570 35.02205 14.259103
## 2007-04-12 8.304320 34.87518 14.934559
## 2007-04-13 8.215507 35.27501 14.956491
## 2007-04-16 8.325758 35.82172 14.885871
## 2007-04-17 8.292072 36.80091 14.912190
## 2007-04-18 8.252255 36.31131 14.912631
## 2007-04-19 8.189471 36.28684 14.912631
## 2007-04-20 8.197127 36.00940 14.874908
## 2007-04-23 8.201722 35.98492 14.737183
## 2007-04-24 8.194068 35.77276 14.719643
## 2007-04-25 8.210911 35.87068 14.756924
## 2007-04-26 8.244596 35.92780 14.752975
## 2007-04-27 8.287476 35.69933 14.722712
## 2007-04-30 8.247665 35.78093 14.693323
## 2007-05-02 8.189471 35.08734 14.759116
## 2007-05-03 8.158845 34.66303 14.684551
## 2007-05-04 8.160378 34.51615 14.737183
## 2007-05-07 8.249193 34.51615 14.693323
## 2007-05-08 8.230820 37.03754 14.561744
## 2007-05-09 8.256851 37.29050 14.605604
## 2007-05-10 8.163441 36.67035 14.592443
## 2007-05-11 8.120564 36.81861 14.592883
## 2007-05-14 8.096059 37.06572 14.616128
## 2007-05-15 8.051651 37.32106 14.605604
## 2007-05-16 8.114439 37.06572 14.561744
## 2007-05-17 8.108311 37.14808 14.620077
## 2007-05-18 8.154252 37.72466 14.531042
## 2007-05-21 8.373230 37.05747 14.535865
## 2007-05-22 8.442142 37.19750 14.561744
## 2007-05-23 8.394666 37.38695 14.540251
## 2007-05-24 8.341070 37.00806 14.552971
## 2007-05-25 8.311976 37.61758 14.557357
## 2007-05-29 8.379355 38.24359 14.543759
## 2007-05-30 8.534018 38.52363 14.558671
## 2007-05-31 8.690212 39.07550 14.534114
## 2007-06-01 8.681026 38.87781 14.597708
## 2007-06-04 8.763715 38.71308 14.539810
## 2007-06-05 8.711646 38.05413 14.561744
## 2007-06-06 8.530956 37.37872 14.539810
## 2007-06-07 8.395936 37.28811 14.511741
## 2007-06-08 8.219018 37.25516 14.515688
## 2007-06-11 8.287305 37.05747 14.552971
## 2007-06-12 8.254713 36.71977 14.517880
## 2007-06-13 8.299718 36.39853 14.507355
## 2007-06-14 8.330756 37.19750 14.506918
## 2007-06-15 8.290409 37.60111 14.511302
## 2007-06-18 8.322996 37.43637 14.520075
## 2007-06-19 8.458017 36.81861 14.513496
## 2007-06-20 8.322996 37.07395 14.476214
## 2007-06-21 8.315234 37.05747 14.476214
## 2007-06-22 8.217464 36.87627 14.476214
## 2007-06-25 8.350932 36.86802 14.478404
## 2007-06-26 8.352483 36.96687 14.479286
## 2007-06-27 9.046196 36.98334 14.495952
## 2007-06-28 9.046196 37.48579 14.495952
## 2007-06-29 9.046196 38.53187 14.482797
## 2007-07-02 9.063268 38.50715 14.474021
## 2007-07-03 9.153281 39.27319 14.475778
## 2007-07-05 9.210699 38.96018 14.474021
## 2007-07-06 9.260360 39.33908 14.476214
## 2007-07-09 9.168796 38.98490 14.476214
## 2007-07-10 9.071028 38.27652 14.474021
## 2007-07-11 9.071028 38.01295 14.474021
## 2007-07-12 9.227770 38.45774 14.409984
## 2007-07-13 9.157935 38.52363 14.292876
## 2007-07-16 9.122240 37.76584 13.947694
## 2007-07-17 9.226220 37.54345 13.870499
## 2007-07-18 9.261912 36.99983 13.766109
## 2007-07-19 9.285192 37.17279 13.573563
## 2007-07-20 9.081889 37.07395 13.686722
## 2007-07-23 9.218460 37.10690 13.645055
## 2007-07-24 9.055507 36.88450 13.442417
## 2007-07-25 8.974806 36.41500 13.336714
## 2007-07-26 8.830479 36.17613 12.787579
## 2007-07-27 8.603893 35.96198 12.939335
## 2007-07-30 8.821165 36.62917 12.901178
## 2007-07-31 8.760641 36.91745 12.901178
## 2007-08-01 8.830479 35.74782 12.938459
## 2007-08-02 8.838237 35.04769 12.851177
## 2007-08-03 8.768398 35.21243 12.656875
## 2007-08-06 8.918940 35.37716 12.705559
## 2007-08-07 9.010501 35.51719 12.745912
## 2007-08-08 8.785472 35.69841 12.917845
## 2007-08-09 8.364900 35.78077 12.965652
## 2007-08-10 8.656660 35.26185 12.502922
## 2007-08-13 8.714080 35.40187 12.379237
## 2007-08-14 8.482847 35.14653 12.298971
## 2007-08-15 8.313684 35.63250 12.195021
## 2007-08-16 8.254713 34.18282 11.658606
## 2007-08-17 8.453358 34.62762 11.704659
## 2007-08-20 8.439392 34.59467 11.961684
## 2007-08-21 8.399040 34.49582 11.941943
## 2007-08-22 8.409904 35.08887 11.900715
## 2007-08-23 8.385071 35.29479 12.106422
## 2007-08-24 8.399040 34.91590 12.403797
## 2007-08-27 8.361793 35.17125 12.408183
## 2007-08-28 8.307477 34.56995 12.493711
## 2007-08-29 8.607001 34.59467 12.536257
## 2007-08-30 8.653556 34.66880 12.634943
## 2007-08-31 8.743568 35.54190 12.927496
## 2007-09-04 8.755985 35.74782 13.167850
## 2007-09-05 8.608552 35.70664 13.211272
## 2007-09-06 8.776855 35.42658 13.245483
## 2007-09-07 8.603829 34.99004 12.945475
## 2007-09-10 8.674614 34.89943 12.752491
## 2007-09-11 8.734383 35.02298 12.912141
## 2007-09-12 8.820893 35.02298 12.912141
## 2007-09-13 8.946731 35.20419 13.029689
## 2007-09-14 9.001780 35.08887 12.859510
## 2007-09-17 8.857071 35.22067 12.634065
## 2007-09-18 9.247153 35.99493 12.812142
## 2007-09-19 9.210978 36.90097 13.247238
## 2007-09-20 9.173225 36.83508 13.175307
## 2007-09-21 9.006497 37.22221 13.822690
## 2007-09-24 9.093009 36.96687 13.684093
## 2007-09-25 9.193675 37.13161 13.444611
## 2007-09-26 9.184237 37.09866 13.158200
## 2007-09-27 9.149631 37.62582 13.253816
## 2007-09-28 9.226704 37.88940 13.217854
## 2007-10-01 9.341527 37.90586 13.280134
## 2007-10-02 9.305351 37.88116 13.434521
## 2007-10-03 9.314789 38.01295 13.371802
## 2007-10-04 9.336809 37.61758 13.313907
## 2007-10-05 9.492528 37.15632 13.276186
## 2007-10-08 9.439051 35.99493 13.195045
## 2007-10-09 9.715881 36.52208 13.193290
## 2007-10-10 9.730040 36.67035 13.119604
## 2007-10-11 9.596341 36.41500 13.145043
## 2007-10-12 9.932945 36.29146 13.158200
## 2007-10-15 10.054058 36.07730 13.235398
## 2007-10-16 10.052485 36.25027 13.120919
## 2007-10-17 9.934516 36.16790 13.289345
## 2007-10-18 9.950246 36.25027 13.026618
## 2007-10-19 9.961257 36.19262 12.936266
## 2007-10-22 9.936090 35.74782 12.850735
## 2007-10-23 10.085517 36.28322 12.974426
## 2007-10-24 9.981707 35.99493 12.887581
## 2007-10-25 10.041473 36.79390 12.978373
## 2007-10-26 10.162586 37.23869 12.908196
## 2007-10-29 10.258537 37.23045 12.946354
## 2007-10-30 10.212922 37.00806 12.997671
## 2007-10-31 10.422120 37.93058 12.979250
## 2007-11-01 10.038328 37.72466 12.865649
## 2007-11-02 10.046193 37.08219 12.717402
## 2007-11-05 9.969121 36.94216 12.588451
## 2007-11-06 10.065067 37.37872 13.065216
## 2007-11-07 9.874746 37.75761 12.983196
## 2007-11-08 9.956538 39.26494 12.851615
## 2007-11-09 9.785089 39.42968 12.811702
## 2007-11-12 9.846433 39.74268 12.885825
## 2007-11-13 10.065067 39.85800 12.806876
## 2007-11-14 9.943954 39.80034 12.849859
## 2007-11-15 9.917218 38.30948 12.570466
## 2007-11-16 9.852726 38.26005 12.560381
## 2007-11-19 9.752058 37.53521 12.478800
## 2007-11-20 9.796100 37.69171 12.477484
## 2007-11-21 9.890476 37.33753 11.995456
## 2007-11-23 10.027320 37.88940 12.072211
## 2007-11-26 9.780375 37.27987 12.021335
## 2007-11-27 9.972266 36.85980 11.965630
## 2007-11-28 10.256964 37.79880 12.009050
## 2007-11-29 10.178319 37.18927 12.091510
## 2007-11-30 10.326172 37.45285 12.054227
## 2007-12-03 10.538515 38.01295 12.013875
## 2007-12-04 10.349766 37.79056 12.068702
## 2007-12-05 10.371787 38.25182 12.193267
## 2007-12-06 10.433998 37.52697 12.369147
## 2007-12-07 10.432404 37.65053 12.421342
## 2007-12-10 10.505781 38.47421 12.328357
## 2007-12-11 10.240985 38.88605 12.368709
## 2007-12-12 10.280862 38.91077 12.340637
## 2007-12-13 10.362215 38.63895 12.280987
## 2007-12-14 10.260124 39.16610 12.346778
## 2007-12-17 10.057539 38.67189 12.039756
## 2007-12-18 10.169199 39.01784 12.128350
## 2007-12-19 10.177176 39.35555 11.989753
## 2007-12-20 10.529711 39.81681 12.039756
## 2007-12-21 10.571185 40.46753 11.936243
## 2007-12-27 10.368597 41.13470 12.017825
## 2007-12-28 10.258531 42.22197 11.973963
## 2008-01-02 10.094229 41.18413 11.985366
## 2008-01-03 10.003304 41.25827 11.911242
## 2008-01-04 9.848576 41.02763 11.750714
## 2008-01-07 9.907592 40.78051 11.009028
## 2008-01-08 9.862928 39.78386 11.274385
## 2008-01-09 9.885260 38.43303 11.554216
## 2008-01-10 9.976183 37.41990 11.503778
## 2008-01-11 9.682674 36.90097 11.404213
## 2008-01-14 9.687458 36.81037 11.381406
## 2008-01-15 9.102033 35.37716 11.066925
## 2008-01-16 9.199338 33.61449 10.388401
## 2008-01-17 8.929753 33.68038 10.351558
## 2008-01-18 9.012702 33.96867 10.472172
## 2008-01-22 9.138721 33.15323 9.933125
## 2008-01-23 9.175408 31.66236 9.530484
## 2008-01-24 9.157860 34.18282 10.439716
## 2008-01-25 8.932945 34.18282 10.488839
## 2008-01-28 9.138721 33.62272 10.404628
## 2008-01-29 9.148293 34.37228 10.494541
## 2008-01-30 9.475302 35.43483 10.584455
## 2008-01-31 9.783170 34.99004 10.537526
## 2008-02-01 9.971398 35.82196 10.787971
## 2008-02-04 9.689053 35.64075 10.837093
## 2008-02-05 9.539107 34.59467 10.431383
## 2008-02-06 9.575795 34.71822 10.602003
## 2008-02-07 9.692242 34.33109 10.371293
## 2008-02-08 9.673104 34.68527 10.366034
## 2008-02-11 9.676294 34.80882 10.195414
## 2008-02-12 9.789550 35.63250 10.437523
## 2008-02-13 9.977781 35.78077 10.504632
## 2008-02-14 9.937897 35.79724 10.434892
## 2008-02-15 9.936305 35.51719 10.187078
## 2008-02-19 9.749671 36.28322 10.202429
## 2008-02-20 9.762429 35.31951 9.809877
## 2008-02-21 9.622054 35.45130 9.950232
## 2008-02-22 9.665127 35.03945 9.983128
## 2008-02-25 9.824643 36.07730 10.166465
## 2008-02-26 9.987350 35.92903 10.784901
## 2008-02-27 9.950661 35.41011 10.702004
## 2008-02-28 9.896427 34.57819 10.465594
## 2008-02-29 9.602915 34.54524 10.331820
## 2008-03-03 9.585368 34.43816 9.971725
## 2008-03-04 9.639606 34.14164 9.835315
## 2008-03-05 9.700218 34.24872 10.044093
## 2008-03-06 9.650010 33.31796 9.973478
## 2008-03-07 9.432973 32.93907 9.917334
## 2008-03-10 9.227271 33.44150 9.863387
## 2008-03-11 9.381147 33.44150 10.257694
## 2008-03-12 9.679165 34.10046 10.524369
## 2008-03-13 9.884863 33.25206 10.338399
## 2008-03-14 9.711557 33.42504 10.255502
## 2008-03-17 9.598181 31.91770 9.853298
## 2008-03-18 9.988522 32.04125 10.223922
## 2008-03-19 10.014439 31.84357 10.250237
## 2008-03-20 10.895538 32.28012 10.418664
## 2008-03-25 11.073706 34.24872 10.833586
## 2008-03-26 10.733571 34.05927 10.647178
## 2008-03-27 10.686604 34.59467 10.757707
## 2008-03-28 10.667164 34.41345 10.756392
## 2008-03-31 11.013774 34.68527 10.699369
## 2008-04-01 11.268064 35.13006 10.965167
## 2008-04-02 11.008917 35.16300 10.894551
## 2008-04-03 11.159545 34.76764 10.948062
## 2008-04-04 11.096378 34.61114 10.934464
## 2008-04-07 10.824274 34.83354 10.993237
## 2008-04-08 10.775681 34.44640 10.826568
## 2008-04-09 10.761106 33.87807 10.609019
## 2008-04-10 10.911735 33.37561 10.607265
## 2008-04-11 10.801599 33.23558 10.361645
## 2008-04-14 10.699558 33.18617 10.248485
## 2008-04-15 10.660683 33.43327 10.105937
## 2008-04-16 10.701180 34.10046 10.167778
## 2008-04-17 10.940894 33.76275 10.128304
## 2008-04-18 10.995960 34.28167 10.451997
## 2008-04-21 11.114197 34.03456 10.295854
## 2008-04-22 11.018632 33.76275 10.223045
## 2008-04-23 10.945750 34.06751 11.634816
## 2008-04-24 11.023494 34.42169 11.505526
## 2008-04-25 11.133628 34.39698 11.629845
## 2008-04-28 10.984621 34.58643 11.564703
## 2008-04-29 11.051029 33.67215 11.268822
## 2008-04-30 10.819416 33.76275 11.375736
## 2008-05-02 10.958711 33.25206 11.472209
## 2008-05-05 10.848571 33.27678 11.231524
## 2008-05-06 10.945750 35.17125 11.259870
## 2008-05-07 10.811316 35.67368 11.413031
## 2008-05-08 10.495481 36.25851 11.213622
## 2008-05-09 10.506819 37.07499 11.276279
## 2008-05-12 10.582942 37.24162 11.488121
## 2008-05-13 10.634773 37.05832 11.492099
## 2008-05-14 10.923075 37.19163 11.610452
## 2008-05-15 11.017010 37.97479 11.934678
## 2008-05-16 10.937651 38.99122 11.884451
## 2008-05-19 10.978144 38.83293 11.969482
## 2008-05-20 10.858287 37.79150 12.157956
## 2008-05-21 10.548930 37.22495 11.967000
## 2008-05-22 10.529494 37.71650 12.688551
## 2008-05-23 10.490619 37.80816 12.431953
## 2008-05-27 10.693081 37.47490 12.431458
## 2008-05-28 10.913356 38.72462 12.468254
## 2008-05-29 11.076945 38.28305 12.508534
## 2008-05-30 11.073706 37.75817 12.498592
## 2008-06-02 10.874484 37.53322 12.188289
## 2008-06-03 10.846948 37.44157 12.191272
## 2008-06-04 11.004058 37.33326 12.035623
## 2008-06-05 11.504839 37.62487 12.332995
## 2008-06-06 11.153469 37.65819 12.167403
## 2008-06-09 11.260194 37.07499 12.009268
## 2008-06-10 11.243775 36.86671 11.836712
## 2008-06-11 11.073019 36.40847 11.631833
## 2008-06-12 10.964651 36.91670 11.817816
## 2008-06-13 11.327512 37.07499 11.700958
## 2008-06-16 11.227356 37.26661 11.551772
## 2008-06-17 11.164963 37.32494 11.748693
## 2008-06-18 11.145262 36.90836 11.586582
## 2008-06-19 11.138690 36.09187 11.454307
## 2008-06-20 10.956438 35.09211 11.288215
## 2008-06-23 10.984353 35.38370 11.219092
## 2008-06-24 10.831657 34.99212 11.127094
## 2008-06-25 10.831657 35.67531 11.139528
## 2008-06-26 9.769341 34.25896 10.838675
## 2008-06-27 9.907260 33.65909 10.646228
## 2008-06-30 9.787406 33.41748 10.599981
## 2008-07-01 9.685609 32.40937 10.180281
## 2008-07-02 9.537834 32.33439 10.172322
## 2008-07-03 9.608438 32.45103 9.995292
## 2008-07-07 9.270204 32.43437 9.969931
## 2008-07-08 9.575596 30.90138 9.791904
## 2008-07-09 9.350657 31.49291 9.880420
## 2008-07-10 9.140491 31.10967 9.473148
## 2008-07-11 9.237366 30.08490 9.421432
## 2008-07-14 9.163482 30.18487 9.344353
## 2008-07-15 9.463947 29.03513 9.234954
## 2008-07-16 9.549329 30.40982 9.337891
## 2008-07-17 9.615005 31.46792 9.589513
## 2008-07-18 9.555897 31.66787 9.723777
## 2008-07-21 9.442604 32.26774 9.909265
## 2008-07-22 9.633066 32.37605 9.790909
## 2008-07-23 9.720085 32.63432 9.993302
## 2008-07-24 9.544402 32.61766 10.253877
## 2008-07-25 9.550969 32.49269 10.293161
## 2008-07-28 9.398273 32.00113 10.172322
## 2008-07-29 9.697103 32.60100 10.194201
## 2008-07-30 9.798894 33.32584 10.445826
## 2008-07-31 9.634707 32.83427 10.321507
## 2008-08-01 9.752923 32.70097 10.415989
## 2008-08-04 9.815319 31.96780 10.400075
## 2008-08-05 10.110860 34.41725 10.836189
## 2008-08-06 10.211018 36.35015 11.105219
## 2008-08-07 9.991001 35.18375 11.188760
## 2008-08-08 10.335800 35.11710 11.122124
## 2008-08-11 10.388341 36.57510 11.194725
## 2008-08-12 10.196238 35.82527 11.176328
## 2008-08-13 10.174895 35.10876 10.873982
## 2008-08-14 10.179818 35.31705 10.615397
## 2008-08-15 10.227437 34.99212 10.817292
## 2008-08-18 10.122354 34.14232 10.688000
## 2008-08-19 10.020555 33.09255 10.194201
## 2008-08-20 9.959803 33.24252 10.392616
## 2008-08-21 9.948309 32.61766 10.178290
## 2008-08-22 10.033689 33.15921 10.353333
## 2008-08-25 9.803822 32.49269 10.358304
## 2008-08-26 9.674113 32.56767 10.431903
## 2008-08-27 9.797253 32.13444 10.294154
## 2008-08-28 10.051753 32.81762 10.514449
## 2008-08-29 9.951597 33.36749 10.693469
## 2008-09-02 10.045185 34.05067 11.070407
## 2008-09-03 10.165043 33.44248 10.817788
## 2008-09-04 9.956711 32.68430 10.741209
## 2008-09-05 9.803376 31.82616 10.486107
## 2008-09-08 10.055044 32.39271 10.632802
## 2008-09-09 10.046706 32.31772 10.515446
## 2008-09-10 9.978374 31.97614 10.353830
## 2008-09-11 10.161708 30.90971 10.335432
## 2008-09-12 10.320040 31.32628 10.442346
## 2008-09-15 10.083375 31.56790 10.069386
## 2008-09-16 10.198376 30.87638 9.978880
## 2008-09-17 9.926709 30.37650 9.846108
## 2008-09-18 10.773381 30.85972 9.867490
## 2008-09-19 10.616711 32.21775 10.685017
## 2008-09-22 10.525045 32.45936 10.572136
## 2008-09-23 10.138374 32.45103 10.449804
## 2008-09-24 9.878373 32.81762 10.542795
## 2008-09-25 10.835048 33.90903 10.362282
## 2008-09-26 11.298379 32.05946 9.840140
## 2008-09-29 10.841715 31.29295 9.377671
## 2008-09-30 11.150049 31.40960 9.533319
## 2008-10-01 11.026713 31.00968 9.362754
## 2008-10-02 10.625045 30.73475 9.205611
## 2008-10-03 10.541714 30.97637 8.950510
## 2008-10-06 10.190041 28.90183 8.081766
## 2008-10-07 9.663372 29.10179 7.757539
## 2008-10-08 9.283375 28.38528 7.396019
## 2008-10-09 8.846703 27.94371 7.555645
## 2008-10-10 9.088369 25.80252 6.963883
## 2008-10-13 9.308373 29.32673 7.918161
## 2008-10-14 9.520041 28.62689 8.023583
## 2008-10-15 8.393366 25.41095 7.353252
## 2008-10-16 9.328373 25.74421 6.772930
## 2008-10-17 9.580041 26.26076 6.749060
## 2008-10-20 9.958373 26.96893 6.857964
## 2008-10-21 9.520041 25.92750 6.862440
## 2008-10-22 8.750037 23.96127 6.539207
## 2008-10-23 8.455032 24.28620 6.327865
## 2008-10-24 7.965034 22.99482 6.026017
## 2008-10-27 7.758369 21.45351 5.608303
## 2008-10-28 8.736704 20.04549 5.651567
## 2008-10-29 8.746704 22.38663 5.920595
## 2008-10-30 9.301704 23.72799 6.402954
## 2008-10-31 9.605042 22.93650 6.535727
## 2008-11-03 9.306706 23.79465 6.646620
## 2008-11-04 9.370038 25.30264 7.332864
## 2008-11-05 8.796703 24.55281 7.204566
## 2008-11-06 8.440036 22.19500 6.964878
## 2008-11-07 8.235035 22.91151 7.017591
## 2008-11-10 7.995032 22.74488 7.165779
## 2008-11-11 7.611699 21.04526 6.911172
## 2008-11-12 7.395032 20.95361 6.441742
## 2008-11-13 8.143367 20.52038 6.496939
## 2008-11-14 7.755031 20.53705 6.400467
## 2008-11-17 7.718367 19.92885 6.200562
## 2008-11-18 7.773367 19.78721 6.118014
## 2008-11-19 7.306696 18.60415 5.922086
## 2008-11-20 7.268363 18.28755 5.941978
## 2008-11-21 7.980033 17.89597 5.943469
## 2008-11-24 8.386700 19.82054 6.451190
## 2008-11-25 8.215035 20.49539 6.610319
## 2008-11-26 8.875039 20.69534 6.271673
## 2008-11-28 8.875039 20.37875 6.664025
## 2008-12-01 8.003364 19.73722 6.384057
## 2008-12-02 8.335037 20.18712 6.563575
## 2008-12-03 8.668369 19.96217 6.549153
## 2008-12-04 8.829806 20.17879 6.368642
## 2008-12-05 9.064320 19.00406 6.290569
## 2008-12-08 9.545231 19.31232 6.454670
## 2008-12-09 8.996346 21.09525 6.731158
## 2008-12-10 8.581704 22.44495 6.862936
## 2008-12-11 8.280919 22.06170 6.929572
## 2008-12-12 8.389679 22.51160 6.777902
## 2008-12-15 8.189155 22.29498 6.631205
## 2008-12-16 8.435558 22.68656 6.787351
## 2008-12-17 8.605494 22.19500 6.715742
## 2008-12-18 8.953856 22.31998 6.738616
## 2008-12-19 8.710851 22.65323 6.738119
## 2008-12-22 8.343792 22.00338 6.599876
## 2008-12-23 8.150072 21.77843 6.566559
## 2008-12-29 8.316605 21.97006 6.762983
## 2008-12-30 8.444054 22.61158 6.976813
## 2009-01-02 9.016738 23.16979 7.276670
## 2009-01-05 9.081313 23.22811 7.384579
## 2009-01-06 8.897782 24.32786 7.682451
## 2009-01-07 8.574905 24.02792 7.528295
## 2009-01-08 8.732945 23.72799 7.519842
## 2009-01-09 8.430461 22.99482 7.384579
## 2009-01-12 8.517128 22.36996 7.409445
## 2009-01-13 8.411767 22.56159 7.257277
## 2009-01-14 7.927455 21.16190 7.052400
## 2009-01-15 7.980135 21.27855 7.125997
## 2009-01-16 7.952944 21.68679 7.157324
## 2009-01-20 7.500918 20.77866 6.847520
## 2009-01-21 7.759222 21.33686 7.104117
## 2009-01-22 7.754122 21.83675 6.938522
## 2009-01-23 7.762618 21.62846 6.825143
## 2009-01-26 7.760917 22.94484 7.203074
## 2009-01-27 7.733728 22.92817 6.862440
## 2009-01-28 8.088892 23.91962 7.011622
## 2009-01-29 7.815297 23.02815 7.015103
## 2009-01-30 7.689545 22.60325 7.026541
## 2009-02-02 7.550199 22.67823 7.207551
## 2009-02-03 7.867978 22.87818 7.145390
## 2009-02-04 7.779610 23.64468 7.285623
## 2009-02-05 8.020920 23.72799 7.235397
## 2009-02-06 8.272421 24.22788 7.375132
## 2009-02-09 8.117783 24.31953 7.480059
## 2009-02-10 7.655556 23.90295 7.355739
## 2009-02-11 7.529807 23.61968 7.226943
## 2009-02-12 7.555299 22.74488 6.921616
## 2009-02-13 7.380264 22.59491 6.956922
## 2009-02-17 7.127059 21.87841 6.601367
## 2009-02-18 7.395561 21.53682 6.311952
## 2009-02-19 7.274907 21.25355 6.358696
## 2009-02-20 7.295299 21.08692 6.167742
## 2009-02-23 7.070984 20.32043 6.010105
## 2009-02-24 7.296997 20.36209 6.095140
## 2009-02-25 7.162748 20.21212 6.272170
## 2009-02-26 6.972420 20.15380 6.141882
## 2009-02-27 7.057389 19.17068 5.943469
## 2009-03-02 6.756604 19.16235 5.766936
## 2009-03-03 6.805886 19.07904 5.673944
## 2009-03-04 7.230723 19.10403 5.665988
## 2009-03-05 6.950541 18.93740 5.668474
## 2009-03-06 6.950541 19.11236 5.287062
## 2009-03-09 6.712130 19.68724 5.123955
## 2009-03-10 7.241165 20.78699 5.359169
## 2009-03-11 7.557888 20.62869 5.509842
## 2009-03-12 7.759757 20.77866 5.569018
## 2009-03-13 7.773680 20.32043 5.619244
## 2009-03-16 7.641419 20.32043 5.767930
## 2009-03-17 7.902456 19.86220 5.720192
## 2009-03-18 7.991210 19.82054 5.868379
## 2009-03-19 8.092140 20.29544 5.948441
## 2009-03-20 7.834584 20.01216 6.017066
## 2009-03-23 8.287055 20.52871 5.943469
## 2009-03-24 7.935521 21.18690 6.002148
## 2009-03-25 8.069519 22.05337 6.017066
## 2009-03-26 8.283569 21.87841 5.871860
## 2009-03-27 8.151312 20.97028 5.666485
## 2009-03-30 8.050377 20.36209 5.497906
## 2009-03-31 8.160015 20.87863 5.682398
## 2009-04-01 8.179155 20.94529 5.607806
## 2009-04-02 8.786501 21.98672 6.009109
## 2009-04-03 9.026657 22.54493 6.288580
## 2009-04-06 8.922242 22.23666 6.534236
## 2009-04-07 8.676867 21.92007 6.504399
## 2009-04-08 8.742995 21.89507 6.680933
## 2009-04-09 9.270289 23.00315 6.929075
## 2009-04-14 8.944865 22.99482 7.323416
## 2009-04-15 9.068421 22.97816 7.536749
## 2009-04-16 9.357303 23.11147 7.703833
## 2009-04-17 9.503484 23.09480 8.006677
## 2009-04-20 9.111929 22.64490 7.814726
## 2009-04-21 9.270289 23.46139 7.967392
## 2009-04-22 9.571355 24.36118 7.807268
## 2009-04-23 9.465199 25.07769 7.877384
## 2009-04-24 9.524364 25.50259 7.933577
## 2009-04-27 9.419951 25.13601 7.885340
## 2009-04-28 9.674028 24.51115 7.700352
## 2009-04-29 9.216345 23.90295 7.744113
## 2009-04-30 9.131069 23.84463 8.068340
## 2009-05-04 9.618340 24.57780 8.247357
## 2009-05-05 9.571355 21.82842 8.113094
## 2009-05-06 9.503484 20.86197 8.113094
## 2009-05-07 9.237226 21.06193 8.055907
## 2009-05-08 9.470420 21.00243 7.638193
## 2009-05-11 9.247666 21.36791 7.583493
## 2009-05-12 8.871774 22.22636 7.719747
## 2009-05-13 8.617699 21.24892 7.749086
## 2009-05-14 8.866554 20.57745 9.136107
## 2009-05-15 8.657723 20.39046 9.132483
## 2009-05-18 8.910060 21.65690 9.451312
## 2009-05-19 9.056242 22.80434 9.796106
## 2009-05-20 8.821308 23.33131 10.067833
## 2009-05-21 8.936164 22.31136 9.885473
## 2009-05-22 9.120628 22.34536 9.663865
## 2009-05-26 9.426911 22.37936 9.730286
## 2009-05-27 9.468679 22.31986 9.994165
## 2009-05-28 9.590495 21.97138 9.629443
## 2009-05-29 9.928102 21.93738 9.825090
## 2009-06-01 10.312698 22.66834 10.049718
## 2009-06-02 10.063841 22.77034 10.038246
## 2009-06-03 10.123012 22.35386 10.009865
## 2009-06-04 10.188523 22.03938 10.030395
## 2009-06-05 10.321328 22.14137 10.047904
## 2009-06-08 10.269979 21.85239 9.881851
## 2009-06-09 10.386842 21.94588 9.771348
## 2009-06-10 10.101761 23.55230 10.064210
## 2009-06-11 10.025623 23.69679 10.326278
## 2009-06-12 10.023852 22.83834 10.355864
## 2009-06-15 9.905215 22.71084 10.126406
## 2009-06-16 9.797203 22.54085 9.875209
## 2009-06-17 9.673258 22.81284 9.367982
## 2009-06-18 9.968961 22.78734 9.437425
## 2009-06-19 10.039789 22.78734 9.581139
## 2009-06-22 9.784809 22.33686 9.174150
## 2009-06-23 9.480248 22.85534 9.144561
## 2009-06-24 9.388179 23.56930 9.625822
## 2009-06-25 9.080073 23.40781 9.367377
## 2009-06-26 9.002166 23.28031 9.115577
## 2009-06-29 9.163298 23.29731 9.467012
## 2009-06-30 9.168610 23.03383 9.418100
## 2009-07-01 9.281937 23.41631 9.543096
## 2009-07-02 9.041121 22.81284 9.473052
## 2009-07-06 9.191630 22.37086 9.046136
## 2009-07-07 9.067681 22.16687 9.063647
## 2009-07-08 9.120801 21.84389 8.825733
## 2009-07-09 9.041121 21.48690 8.784068
## 2009-07-10 9.083619 21.52940 8.703154
## 2009-07-13 9.126116 21.82689 9.046740
## 2009-07-14 9.189858 22.30286 9.014734
## 2009-07-15 9.372240 22.52385 9.537663
## 2009-07-16 9.418273 22.81284 9.534642
## 2009-07-17 9.285473 22.99983 9.484523
## 2009-07-20 9.354537 23.44180 9.634878
## 2009-07-21 9.219959 23.79879 9.952499
## 2009-07-22 9.124343 23.79879 9.970613
## 2009-07-23 9.055289 24.32576 10.213965
## 2009-07-24 9.237668 24.69124 10.239929
## 2009-07-27 9.273083 24.69974 10.326880
## 2009-07-28 9.368698 24.38526 10.338353
## 2009-07-29 9.627217 25.56670 10.495956
## 2009-07-30 9.931777 25.37970 10.744134
## 2009-07-31 10.029162 25.20122 10.738095
## 2009-08-03 10.025623 25.85568 10.977219
## 2009-08-04 10.188523 25.86418 11.140860
## 2009-08-05 10.096450 27.39410 11.627553
## 2009-08-06 10.202691 27.37711 12.013408
## 2009-08-07 10.282373 28.36306 11.462707
## 2009-08-10 10.117701 28.41406 10.929514
## 2009-08-11 10.055725 27.05412 10.755005
## 2009-08-12 10.184985 26.88413 10.587740
## 2009-08-13 10.236336 26.96063 11.269475
## 2009-08-14 10.068118 26.99462 11.678880
## 2009-08-17 9.816681 27.11362 11.491691
## 2009-08-18 9.846781 27.37711 11.629968
## 2009-08-19 10.052185 27.35160 11.580455
## 2009-08-20 10.092910 27.51310 11.987442
## 2009-08-21 9.853867 27.98057 12.007372
## 2009-08-24 9.915839 27.69159 11.877544
## 2009-08-25 9.767102 28.18457 11.986236
## 2009-08-26 9.818454 28.58404 12.227773
## 2009-08-27 10.062810 28.04857 11.935512
## 2009-08-28 9.947713 28.04857 12.160746
## 2009-08-31 9.807831 27.92957 11.907735
## 2009-09-01 9.625450 27.15612 11.876939
## 2009-09-02 9.439527 26.76514 11.561131
## 2009-09-03 9.695770 26.75664 11.841313
## 2009-09-04 9.785996 26.82463 12.440322
## 2009-09-08 9.968255 27.70859 13.163724
## 2009-09-09 9.988106 28.90703 13.425790
## 2009-09-10 10.000733 28.09106 13.410695
## 2009-09-11 9.923141 27.97208 13.159498
## 2009-09-14 9.908705 28.66904 13.344272
## 2009-09-15 9.869005 28.64354 13.284492
## 2009-09-16 10.318336 30.59844 13.827347
## 2009-09-17 10.482547 31.02341 13.913693
## 2009-09-18 10.572776 30.88743 13.432433
## 2009-09-21 10.565555 30.51344 13.404053
## 2009-09-22 10.569166 30.47095 13.467455
## 2009-09-23 10.520442 30.72594 13.625058
## 2009-09-24 10.496985 30.17347 13.585808
## 2009-09-25 10.581797 30.59844 13.556223
## 2009-09-28 10.646759 30.80242 13.375669
## 2009-09-29 10.843455 30.52194 13.408883
## 2009-09-30 11.675342 30.74293 13.702955
## 2009-10-01 11.278347 30.17347 13.319515
## 2009-10-02 11.191730 29.67199 12.770020
## 2009-10-05 11.328876 29.78248 12.861803
## 2009-10-06 11.384815 30.59844 13.465642
## 2009-10-07 11.444361 29.85898 13.587014
## 2009-10-08 11.552634 29.32351 13.561655
## 2009-10-09 11.475040 29.62099 13.652834
## 2009-10-12 11.413691 29.53600 13.754883
## 2009-10-13 11.491281 29.16202 13.592450
## 2009-10-14 11.711439 30.39445 13.984945
## 2009-10-15 11.722261 30.85343 13.908263
## 2009-10-16 11.747526 30.72594 13.652232
## 2009-10-19 11.926175 31.10841 13.947509
## 2009-10-20 11.745722 30.43695 13.583395
## 2009-10-21 11.684367 29.97797 13.193915
## 2009-10-22 11.763769 29.72299 12.940904
## 2009-10-23 11.579703 29.49350 12.988608
## 2009-10-26 11.503914 28.66904 12.821346
## 2009-10-27 11.565268 28.38855 12.498894
## 2009-10-28 11.290979 27.32611 12.053261
## 2009-10-29 11.496696 27.84458 12.653478
## 2009-10-30 11.220604 26.77364 12.542974
## 2009-11-02 11.278347 27.79359 12.764585
## 2009-11-03 11.307220 27.74258 12.638988
## 2009-11-04 11.319852 28.78803 13.219882
## 2009-11-05 11.686173 29.07702 13.422772
## 2009-11-06 11.650083 29.10252 13.465642
## 2009-11-09 11.787227 29.57850 14.065864
## 2009-11-10 11.633841 29.79948 13.948716
## 2009-11-11 11.716849 30.49645 13.907654
## 2009-11-12 11.565268 30.22447 14.085186
## 2009-11-13 11.624821 30.40295 13.930601
## 2009-11-16 11.927979 31.08291 14.089411
## 2009-11-17 11.722261 30.67493 13.888330
## 2009-11-18 11.624821 30.79393 13.700538
## 2009-11-19 11.469626 30.18196 13.387748
## 2009-11-20 11.534590 30.02046 13.426999
## 2009-11-23 11.637449 30.99792 13.976495
## 2009-11-24 11.642862 30.82793 13.929999
## 2009-11-25 11.855798 32.03486 14.242787
## 2009-11-27 11.738504 32.16236 13.972265
## 2009-11-30 11.709633 32.40886 13.815872
## 2009-12-01 11.801664 32.72333 14.102695
## 2009-12-02 11.792639 32.21336 14.243995
## 2009-12-03 11.866034 31.60989 14.193268
## 2009-12-04 11.798142 32.06037 14.536860
## 2009-12-07 11.842180 32.47684 14.314643
## 2009-12-08 11.656859 32.08586 14.042916
## 2009-12-09 11.366953 32.07737 13.889539
## 2009-12-10 11.504567 31.75438 14.077938
## 2009-12-11 11.717410 32.06037 14.189046
## 2009-12-14 11.772458 32.00087 14.170327
## 2009-12-15 11.807319 32.30685 14.050163
## 2009-12-16 11.752271 32.46834 14.281431
## 2009-12-17 11.605490 32.83383 14.176971
## 2009-12-18 11.820166 32.78283 14.019365
## 2009-12-21 11.904565 32.93583 13.954149
## 2009-12-22 11.944933 32.76583 14.131076
## 2009-12-23 12.007320 32.64684 14.081564
## 2009-12-28 12.018329 32.94432 14.207159
## 2009-12-29 12.148602 32.62984 14.167309
## 2009-12-30 12.135762 32.10287 13.999437
#Sigma = cov(data.env[,])
Sigma = cov(data.NA)
Sigma
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## NKE.Adjusted 1.498566 2.360266 1.159875
## ADS.DE.Adjusted 2.360266 35.416822 11.836347
## PUM.DE.Adjusted 1.159875 11.836347 6.462393
ones = rep(1,3)
one.vec = matrix(ones, ncol=1)
a = inv(Sigma)%*%one.vec
b = t(one.vec)%*%a
mvp.w =a / as.numeric(b)
mvp.w
## [,1]
## NKE.Adjusted 0.86895831
## ADS.DE.Adjusted -0.09597124
## PUM.DE.Adjusted 0.22701293
#1c Give me weights, realized returns and standard deviation for 2010-01.
mvp.ret<-sum((mvp.w)*colMeans(data.NA))
mvp.ret
## [1] 7.707646
std = sqrt(diag(mvp.w))
std
## [1] 0.9321793
# Q2. Based on Q1, you have to use weekly and monthly returns to get the answers to Q1.
NKE.monthly_return <- monthlyReturn(data.NA$NKE.Adjusted,subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
NKE.monthly_return
## monthly.returns
## 2007-01-31 0.011671860
## 2007-02-28 0.057281716
## 2007-03-30 0.046758493
## 2007-04-30 0.013740129
## 2007-05-31 0.053657247
## 2007-06-29 0.040963788
## 2007-07-31 -0.031566307
## 2007-08-31 -0.001948830
## 2007-09-28 0.055256161
## 2007-10-31 0.129560458
## 2007-11-30 -0.009206188
## 2007-12-28 -0.006550443
## 2008-01-31 -0.046338116
## 2008-02-29 -0.018425009
## 2008-03-31 0.146919868
## 2008-04-30 -0.017646812
## 2008-05-30 0.023503117
## 2008-06-30 -0.116158041
## 2008-07-31 -0.015601580
## 2008-08-29 0.032890466
## 2008-09-30 0.120428108
## 2008-10-31 -0.138565041
## 2008-11-28 -0.076002062
## 2008-12-30 -0.048561477
## 2009-01-30 -0.089353881
## 2009-02-27 -0.082209806
## 2009-03-31 0.156237101
## 2009-04-30 0.119001497
## 2009-05-29 0.087288027
## 2009-06-30 -0.076499214
## 2009-07-31 0.093858502
## 2009-08-31 -0.022068743
## 2009-09-30 0.190410194
## 2009-10-30 -0.038948581
## 2009-11-30 0.043583126
## 2009-12-30 0.036391320
ADS.monthly_return <- monthlyReturn(data.NA$ADS.DE.Adjusted ,subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
ADS.monthly_return
## monthly.returns
## 2007-01-31 -0.0291875542
## 2007-02-28 0.0054173209
## 2007-03-30 0.1026402053
## 2007-04-30 0.0713412144
## 2007-05-31 0.0920761805
## 2007-06-29 -0.0139122735
## 2007-07-31 -0.0418983580
## 2007-08-31 -0.0372601344
## 2007-09-28 0.0660488099
## 2007-10-31 0.0010868212
## 2007-11-30 -0.0125947468
## 2007-12-28 0.1273365311
## 2008-01-31 -0.1712835921
## 2008-02-29 -0.0127121332
## 2008-03-31 0.0040535254
## 2008-04-30 -0.0265968537
## 2008-05-30 0.1183380536
## 2008-06-30 -0.1149602151
## 2008-07-31 -0.0174521239
## 2008-08-29 0.0162397073
## 2008-09-30 -0.0586766887
## 2008-10-31 -0.2697613873
## 2008-11-28 -0.1115146503
## 2008-12-30 0.1095668006
## 2009-01-30 -0.0003686164
## 2009-02-27 -0.1518614694
## 2009-03-31 0.0890918701
## 2009-04-30 0.1420589995
## 2009-05-29 -0.0799865949
## 2009-06-30 0.0499806677
## 2009-07-31 0.0940959138
## 2009-08-31 0.1082629902
## 2009-09-30 0.1007304980
## 2009-10-30 -0.1291125587
## 2009-11-30 0.2104764179
## 2009-12-30 -0.0094413703
PUM.monthly_return <- monthlyReturn(data.NA$PUM.DE.Adjusted,subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
PUM.monthly_return
## monthly.returns
## 2007-01-31 -0.069045038
## 2007-02-28 -0.036598550
## 2007-03-30 0.019404160
## 2007-04-30 0.318041913
## 2007-05-31 -0.010835466
## 2007-06-29 -0.003530797
## 2007-07-31 -0.109206737
## 2007-08-31 0.002039969
## 2007-09-28 0.022460498
## 2007-10-31 -0.018051644
## 2007-11-30 -0.071269372
## 2007-12-28 -0.006658577
## 2008-01-31 -0.119963374
## 2008-02-29 -0.019521280
## 2008-03-31 0.035574468
## 2008-04-30 0.063215597
## 2008-05-30 0.098706229
## 2008-06-30 -0.151905991
## 2008-07-31 -0.026271179
## 2008-08-29 0.036037567
## 2008-09-30 -0.108491454
## 2008-10-31 -0.314433200
## 2008-11-28 0.019630257
## 2008-12-30 0.046936799
## 2009-01-30 0.007127610
## 2009-02-27 -0.154140138
## 2009-03-31 -0.043925694
## 2009-04-30 0.419882944
## 2009-05-29 0.217733759
## 2009-06-30 -0.041423539
## 2009-07-31 0.140155127
## 2009-08-31 0.108924348
## 2009-09-30 0.150760829
## 2009-10-30 -0.084651887
## 2009-11-30 0.101482950
## 2009-12-30 0.013286530
monthly_return <- merge(ADS.monthly_return, NKE.monthly_return, PUM.monthly_return)
monthly_return
## monthly.returns monthly.returns.1 monthly.returns.2
## 2007-01-31 -0.0291875542 0.011671860 -0.069045038
## 2007-02-28 0.0054173209 0.057281716 -0.036598550
## 2007-03-30 0.1026402053 0.046758493 0.019404160
## 2007-04-30 0.0713412144 0.013740129 0.318041913
## 2007-05-31 0.0920761805 0.053657247 -0.010835466
## 2007-06-29 -0.0139122735 0.040963788 -0.003530797
## 2007-07-31 -0.0418983580 -0.031566307 -0.109206737
## 2007-08-31 -0.0372601344 -0.001948830 0.002039969
## 2007-09-28 0.0660488099 0.055256161 0.022460498
## 2007-10-31 0.0010868212 0.129560458 -0.018051644
## 2007-11-30 -0.0125947468 -0.009206188 -0.071269372
## 2007-12-28 0.1273365311 -0.006550443 -0.006658577
## 2008-01-31 -0.1712835921 -0.046338116 -0.119963374
## 2008-02-29 -0.0127121332 -0.018425009 -0.019521280
## 2008-03-31 0.0040535254 0.146919868 0.035574468
## 2008-04-30 -0.0265968537 -0.017646812 0.063215597
## 2008-05-30 0.1183380536 0.023503117 0.098706229
## 2008-06-30 -0.1149602151 -0.116158041 -0.151905991
## 2008-07-31 -0.0174521239 -0.015601580 -0.026271179
## 2008-08-29 0.0162397073 0.032890466 0.036037567
## 2008-09-30 -0.0586766887 0.120428108 -0.108491454
## 2008-10-31 -0.2697613873 -0.138565041 -0.314433200
## 2008-11-28 -0.1115146503 -0.076002062 0.019630257
## 2008-12-30 0.1095668006 -0.048561477 0.046936799
## 2009-01-30 -0.0003686164 -0.089353881 0.007127610
## 2009-02-27 -0.1518614694 -0.082209806 -0.154140138
## 2009-03-31 0.0890918701 0.156237101 -0.043925694
## 2009-04-30 0.1420589995 0.119001497 0.419882944
## 2009-05-29 -0.0799865949 0.087288027 0.217733759
## 2009-06-30 0.0499806677 -0.076499214 -0.041423539
## 2009-07-31 0.0940959138 0.093858502 0.140155127
## 2009-08-31 0.1082629902 -0.022068743 0.108924348
## 2009-09-30 0.1007304980 0.190410194 0.150760829
## 2009-10-30 -0.1291125587 -0.038948581 -0.084651887
## 2009-11-30 0.2104764179 0.043583126 0.101482950
## 2009-12-30 -0.0094413703 0.036391320 0.013286530
monthly_return.NA <- monthly_return[complete.cases(monthly_return), ]
monthly_return.NA
## monthly.returns monthly.returns.1 monthly.returns.2
## 2007-01-31 -0.0291875542 0.011671860 -0.069045038
## 2007-02-28 0.0054173209 0.057281716 -0.036598550
## 2007-03-30 0.1026402053 0.046758493 0.019404160
## 2007-04-30 0.0713412144 0.013740129 0.318041913
## 2007-05-31 0.0920761805 0.053657247 -0.010835466
## 2007-06-29 -0.0139122735 0.040963788 -0.003530797
## 2007-07-31 -0.0418983580 -0.031566307 -0.109206737
## 2007-08-31 -0.0372601344 -0.001948830 0.002039969
## 2007-09-28 0.0660488099 0.055256161 0.022460498
## 2007-10-31 0.0010868212 0.129560458 -0.018051644
## 2007-11-30 -0.0125947468 -0.009206188 -0.071269372
## 2007-12-28 0.1273365311 -0.006550443 -0.006658577
## 2008-01-31 -0.1712835921 -0.046338116 -0.119963374
## 2008-02-29 -0.0127121332 -0.018425009 -0.019521280
## 2008-03-31 0.0040535254 0.146919868 0.035574468
## 2008-04-30 -0.0265968537 -0.017646812 0.063215597
## 2008-05-30 0.1183380536 0.023503117 0.098706229
## 2008-06-30 -0.1149602151 -0.116158041 -0.151905991
## 2008-07-31 -0.0174521239 -0.015601580 -0.026271179
## 2008-08-29 0.0162397073 0.032890466 0.036037567
## 2008-09-30 -0.0586766887 0.120428108 -0.108491454
## 2008-10-31 -0.2697613873 -0.138565041 -0.314433200
## 2008-11-28 -0.1115146503 -0.076002062 0.019630257
## 2008-12-30 0.1095668006 -0.048561477 0.046936799
## 2009-01-30 -0.0003686164 -0.089353881 0.007127610
## 2009-02-27 -0.1518614694 -0.082209806 -0.154140138
## 2009-03-31 0.0890918701 0.156237101 -0.043925694
## 2009-04-30 0.1420589995 0.119001497 0.419882944
## 2009-05-29 -0.0799865949 0.087288027 0.217733759
## 2009-06-30 0.0499806677 -0.076499214 -0.041423539
## 2009-07-31 0.0940959138 0.093858502 0.140155127
## 2009-08-31 0.1082629902 -0.022068743 0.108924348
## 2009-09-30 0.1007304980 0.190410194 0.150760829
## 2009-10-30 -0.1291125587 -0.038948581 -0.084651887
## 2009-11-30 0.2104764179 0.043583126 0.101482950
## 2009-12-30 -0.0094413703 0.036391320 0.013286530
Sigma_monthly <- cov(monthly_return.NA)
Sigma_monthly
## monthly.returns monthly.returns.1 monthly.returns.2
## monthly.returns 0.010235248 0.004069538 0.008699864
## monthly.returns.1 0.004069538 0.006262272 0.005157568
## monthly.returns.2 0.008699864 0.005157568 0.017473941
ones = rep(1,3)
one.vec = matrix(ones, ncol=1)
a = inv(Sigma_monthly) %*% one.vec
b = t(one.vec)%*%a
mvp.w.monthly =a / as.numeric(b)
mvp.w.monthly
## [,1]
## monthly.returns 0.29125627
## monthly.returns.1 0.75089081
## monthly.returns.2 -0.04214708
mvp.ret.monthly<-sum((mvp.w)*colMeans(monthly_return))
mvp.ret.monthly
## [1] 0.006374629
std.monthly = sqrt(diag(mvp.w.monthly))
std.monthly
## [1] 0.5396816
NKE.weekly_return <- weeklyReturn(data.NA$NKE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
ADS.weekly_return <- weeklyReturn(data.NA$ADS.DE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
PUM.weekly_return <- weeklyReturn(data.NA$PUM.DE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
weekly_return <- merge(ADS.weekly_return, NKE.weekly_return, PUM.weekly_return)
weekly_return
## weekly.returns weekly.returns.1 weekly.returns.2
## 2007-01-05 -0.019195253 0.0118764963 -3.126563e-02
## 2007-01-12 0.004289691 0.0094106521 1.375803e-02
## 2007-01-19 0.030699169 0.0018038184 -2.721086e-02
## 2007-01-26 -0.050763965 -0.0474281147 -3.216777e-02
## 2007-02-02 0.018553937 0.0525206723 4.822971e-02
## 2007-02-09 0.015269245 0.0339322568 -2.584828e-03
## 2007-02-16 0.002902300 0.0260615263 2.038708e-03
## 2007-02-23 0.002367939 0.0163683900 -1.944914e-02
## 2007-03-02 -0.043307093 -0.0386887463 -6.259873e-02
## 2007-03-09 0.019204245 0.0488437655 9.679147e-03
## 2007-03-16 0.004037695 0.0153043654 -1.218751e-02
## 2007-03-23 0.067292246 0.0147019166 1.151056e-02
## 2007-03-30 0.028133734 -0.0255844246 1.784969e-02
## 2007-04-05 0.016613773 0.0065873661 1.481130e-01
## 2007-04-13 0.038932617 0.0031792041 1.685688e-01
## 2007-04-20 0.020819102 -0.0022372326 -5.454689e-03
## 2007-04-27 -0.008611001 0.0110220325 -1.023173e-02
## 2007-05-04 -0.033142783 -0.0153361530 9.829031e-04
## 2007-05-11 0.066706743 -0.0048789407 -9.791559e-03
## 2007-05-18 0.024608424 0.0041484803 -4.237751e-03
## 2007-05-25 -0.002838435 0.0193425467 1.810951e-03
## 2007-06-01 0.033501225 0.0443997913 2.771863e-03
## 2007-06-08 -0.041737171 -0.0532204373 -5.618690e-03
## 2007-06-15 0.009285880 0.0086860742 -3.021558e-04
## 2007-06-22 -0.019277143 -0.0087987215 -2.417977e-03
## 2007-06-29 0.044896027 0.1008500920 4.547460e-04
## 2007-07-06 0.020949127 0.0236744815 -4.545393e-04
## 2007-07-13 -0.020728727 -0.0110605851 -1.266478e-02
## 2007-07-20 -0.037630931 -0.0083038371 -4.240952e-02
## 2007-07-27 -0.029993272 -0.0526317818 -5.460672e-02
## 2007-08-03 -0.020842846 0.0191198333 -2.182956e-02
## 2007-08-10 0.001403567 -0.0127432628 -1.216359e-02
## 2007-08-17 -0.017986435 -0.0234850393 -6.384612e-02
## 2007-08-24 0.008325262 -0.0064256122 5.973160e-02
## 2007-08-31 0.017928680 0.0410199261 4.222086e-02
## 2007-09-07 -0.015527055 -0.0159819195 1.390757e-03
## 2007-09-14 0.002824661 0.0462527788 -6.640544e-03
## 2007-09-21 0.060798166 0.0005240075 7.490021e-02
## 2007-09-28 0.017924433 0.0244497944 -4.375675e-02
## 2007-10-05 -0.019347761 0.0288102881 4.413122e-03
## 2007-10-12 -0.023276362 0.0463961760 -8.887040e-03
## 2007-10-19 -0.002723561 0.0028503128 -1.686659e-02
## 2007-10-26 0.028902857 0.0202112043 -2.169869e-03
## 2007-11-02 -0.004202484 -0.0114530888 -1.478084e-02
## 2007-11-09 0.063305132 -0.0259903428 7.415036e-03
## 2007-11-16 -0.029663743 0.0069122519 -1.961652e-02
## 2007-11-23 -0.009687781 0.0177203751 -3.886586e-02
## 2007-11-30 -0.011521614 0.0298037761 -1.489702e-03
## 2007-12-07 0.005278050 0.0102876458 3.045529e-02
## 2007-12-14 0.040253566 -0.0165139310 -6.002894e-03
## 2007-12-21 0.033228459 0.0303174698 -3.325038e-02
## 2007-12-28 0.043354295 -0.0295760598 3.160123e-03
## 2008-01-04 -0.028287172 -0.0399623494 -1.864454e-02
## 2008-01-11 -0.100582276 -0.0168452779 -2.948765e-02
## 2008-01-18 -0.079464136 -0.0691928697 -8.172778e-02
## 2008-01-25 0.006304427 -0.0088493994 1.591551e-03
## 2008-02-01 0.047951979 0.1162497922 2.851908e-02
## 2008-02-08 -0.031731628 -0.0299149628 -3.911180e-02
## 2008-02-15 0.023984967 0.0272095700 -1.726369e-02
## 2008-02-22 -0.013450894 -0.0272916341 -2.002046e-02
## 2008-02-29 -0.014104586 -0.0064367494 3.492813e-02
## 2008-03-07 -0.046494686 -0.0176969181 -4.011742e-02
## 2008-03-14 0.014753575 0.0295330009 3.409868e-02
## 2008-03-20 -0.034253246 0.1219146425 1.590970e-02
## 2008-03-28 0.066088073 -0.0209603234 3.241567e-02
## 2008-04-04 0.005744527 0.0402369365 1.655499e-02
## 2008-04-11 -0.039743186 -0.0265653351 -5.238656e-02
## 2008-04-18 0.031474759 0.0179937248 8.719851e-03
## 2008-04-25 0.003363722 0.0125198709 1.126912e-01
## 2008-05-02 -0.033285364 -0.0157106920 -1.355444e-02
## 2008-05-09 0.114968051 -0.0412358716 -1.707866e-02
## 2008-05-16 0.051685329 0.0410049892 5.393375e-02
## 2008-05-23 -0.030341778 -0.0408709329 4.606877e-02
## 2008-05-30 -0.001322254 0.0555817536 5.360300e-03
## 2008-06-06 -0.002647877 0.0072029183 -2.649810e-02
## 2008-06-13 -0.015486645 0.0156043828 -3.833563e-02
## 2008-06-20 -0.053483037 -0.0327586499 -3.527429e-02
## 2008-06-27 -0.040835794 -0.0957590414 -5.687232e-02
## 2008-07-03 -0.035891075 -0.0301619217 -6.114241e-02
## 2008-07-11 -0.072913955 -0.0386193885 -5.741303e-02
## 2008-07-18 0.052616931 0.0344828818 3.209119e-02
## 2008-07-25 0.026045766 -0.0005157025 5.855585e-02
## 2008-08-01 0.006410273 0.0211448702 1.193297e-02
## 2008-08-08 0.073885322 0.0597643394 6.779337e-02
## 2008-08-15 -0.003558751 -0.0104842392 -2.740771e-02
## 2008-08-22 -0.052380846 -0.0189439446 -4.289049e-02
## 2008-08-29 0.006281423 -0.0081816369 3.285280e-02
## 2008-09-05 -0.046192532 -0.0148941924 -1.939146e-02
## 2008-09-12 -0.015706731 0.0527026608 -4.173236e-03
## 2008-09-19 0.028457641 0.0287470785 2.323913e-02
## 2008-09-26 -0.004913285 0.0642070788 -7.907119e-02
## 2008-10-03 -0.033783792 -0.0669711115 -9.040827e-02
## 2008-10-10 -0.167025435 -0.1378661003 -2.219568e-01
## 2008-10-17 0.017759192 0.0540990358 -3.084816e-02
## 2008-10-24 -0.124365570 -0.1685803850 -1.071324e-01
## 2008-10-31 -0.002536267 0.2059009415 8.458489e-02
## 2008-11-07 -0.001089617 -0.1426341499 7.372768e-02
## 2008-11-14 -0.103636295 -0.0582880340 -8.793958e-02
## 2008-11-21 -0.128600433 0.0290136816 -7.140073e-02
## 2008-11-28 0.138733613 0.1121556765 1.212349e-01
## 2008-12-05 -0.067457095 0.0213273429 -5.604061e-02
## 2008-12-12 0.184568083 -0.0744281976 7.747042e-02
## 2008-12-19 0.006291735 0.0382817984 -5.869515e-03
## 2008-12-23 -0.038617135 -0.0643770626 -2.546111e-02
## 2009-01-02 0.063886926 0.1063384471 1.081405e-01
## 2009-01-09 -0.007551429 -0.0650209643 1.482945e-02
## 2009-01-16 -0.056884021 -0.0566418610 -3.077427e-02
## 2009-01-23 -0.002689426 -0.0239315152 -4.641134e-02
## 2009-01-30 0.045069552 -0.0094134479 2.950825e-02
## 2009-02-06 0.071876273 0.0758011040 4.961061e-02
## 2009-02-13 -0.067400403 -0.1078471466 -5.670543e-02
## 2009-02-20 -0.066740465 -0.0115124608 -1.134381e-01
## 2009-02-27 -0.090873166 -0.0326114118 -3.636225e-02
## 2009-03-06 -0.003042093 -0.0151398768 -1.104417e-01
## 2009-03-13 0.063208560 0.1184280475 6.282922e-02
## 2009-03-20 -0.015170152 0.0078346420 7.079636e-02
## 2009-03-27 0.047876829 0.0404269072 -5.826444e-02
## 2009-04-03 0.075089207 0.1073870071 1.097850e-01
## 2009-04-09 0.020325150 0.0269902800 1.018505e-01
## 2009-04-17 0.003984149 0.0251550949 1.555189e-01
## 2009-04-24 0.104256832 0.0021970890 -9.129880e-03
## 2009-04-30 -0.065011465 -0.0412935709 1.698641e-02
## 2009-05-08 -0.119196844 0.0371644328 -5.331295e-02
## 2009-05-15 -0.029138012 -0.0858142511 1.956340e-01
## 2009-05-22 0.095873418 0.0534672916 5.818593e-02
## 2009-05-29 -0.018257928 0.0885327195 1.668328e-02
## 2009-06-05 0.009298694 0.0396073691 2.267806e-02
## 2009-06-12 0.031478087 -0.0288214850 3.064918e-02
## 2009-06-19 -0.002233218 0.0015899078 -7.481027e-02
## 2009-06-26 0.021633815 -0.1033510764 -4.859151e-02
## 2009-07-02 -0.020080271 0.0043272919 3.921584e-02
## 2009-07-10 -0.056259375 0.0047005233 -8.127243e-02
## 2009-07-17 0.068298413 0.0222217599 8.977998e-02
## 2009-07-24 0.073540382 -0.0051483645 7.964618e-02
## 2009-07-31 0.020654044 0.0856811481 4.864936e-02
## 2009-08-07 0.125463787 0.0252474733 6.748050e-02
## 2009-08-14 -0.048247022 -0.0208371161 1.885881e-02
## 2009-08-21 0.036523977 -0.0212801439 2.812701e-02
## 2009-08-28 0.002430079 0.0095237738 1.277332e-02
## 2009-09-04 -0.043636379 -0.0162567014 2.299004e-02
## 2009-09-11 0.042775761 0.0140144141 5.781008e-02
## 2009-09-18 0.104223766 0.0654666703 2.074053e-02
## 2009-09-25 -0.009356233 0.0008532291 9.215754e-03
## 2009-10-02 -0.030277655 0.0576398319 -5.799573e-02
## 2009-10-09 -0.001718995 0.0253142276 6.913176e-02
## 2009-10-16 0.037303013 0.0237459739 -4.409341e-05
## 2009-10-23 -0.040110640 -0.0142858164 -4.860919e-02
## 2009-10-30 -0.092219099 -0.0310110717 -3.430960e-02
## 2009-11-06 0.086984226 0.0382759253 7.356054e-02
## 2009-11-13 0.044684309 -0.0021683966 3.452929e-02
## 2009-11-20 -0.012580426 -0.0077619260 -3.615077e-02
## 2009-11-27 0.071347898 0.0176784784 4.060967e-02
## 2009-12-04 -0.003171098 0.0050805452 4.040827e-02
## 2009-12-11 0.000000000 -0.0068427724 -2.392635e-02
## 2009-12-18 0.022534299 0.0087695148 -1.195859e-02
## 2009-12-23 -0.004148208 0.0158334494 4.436649e-03
## 2009-12-30 -0.016662195 0.0106969748 -5.832236e-03
weekly_return.NA <- weekly_return[complete.cases(weekly_return), ]
weekly_return.NA
## weekly.returns weekly.returns.1 weekly.returns.2
## 2007-01-05 -0.019195253 0.0118764963 -3.126563e-02
## 2007-01-12 0.004289691 0.0094106521 1.375803e-02
## 2007-01-19 0.030699169 0.0018038184 -2.721086e-02
## 2007-01-26 -0.050763965 -0.0474281147 -3.216777e-02
## 2007-02-02 0.018553937 0.0525206723 4.822971e-02
## 2007-02-09 0.015269245 0.0339322568 -2.584828e-03
## 2007-02-16 0.002902300 0.0260615263 2.038708e-03
## 2007-02-23 0.002367939 0.0163683900 -1.944914e-02
## 2007-03-02 -0.043307093 -0.0386887463 -6.259873e-02
## 2007-03-09 0.019204245 0.0488437655 9.679147e-03
## 2007-03-16 0.004037695 0.0153043654 -1.218751e-02
## 2007-03-23 0.067292246 0.0147019166 1.151056e-02
## 2007-03-30 0.028133734 -0.0255844246 1.784969e-02
## 2007-04-05 0.016613773 0.0065873661 1.481130e-01
## 2007-04-13 0.038932617 0.0031792041 1.685688e-01
## 2007-04-20 0.020819102 -0.0022372326 -5.454689e-03
## 2007-04-27 -0.008611001 0.0110220325 -1.023173e-02
## 2007-05-04 -0.033142783 -0.0153361530 9.829031e-04
## 2007-05-11 0.066706743 -0.0048789407 -9.791559e-03
## 2007-05-18 0.024608424 0.0041484803 -4.237751e-03
## 2007-05-25 -0.002838435 0.0193425467 1.810951e-03
## 2007-06-01 0.033501225 0.0443997913 2.771863e-03
## 2007-06-08 -0.041737171 -0.0532204373 -5.618690e-03
## 2007-06-15 0.009285880 0.0086860742 -3.021558e-04
## 2007-06-22 -0.019277143 -0.0087987215 -2.417977e-03
## 2007-06-29 0.044896027 0.1008500920 4.547460e-04
## 2007-07-06 0.020949127 0.0236744815 -4.545393e-04
## 2007-07-13 -0.020728727 -0.0110605851 -1.266478e-02
## 2007-07-20 -0.037630931 -0.0083038371 -4.240952e-02
## 2007-07-27 -0.029993272 -0.0526317818 -5.460672e-02
## 2007-08-03 -0.020842846 0.0191198333 -2.182956e-02
## 2007-08-10 0.001403567 -0.0127432628 -1.216359e-02
## 2007-08-17 -0.017986435 -0.0234850393 -6.384612e-02
## 2007-08-24 0.008325262 -0.0064256122 5.973160e-02
## 2007-08-31 0.017928680 0.0410199261 4.222086e-02
## 2007-09-07 -0.015527055 -0.0159819195 1.390757e-03
## 2007-09-14 0.002824661 0.0462527788 -6.640544e-03
## 2007-09-21 0.060798166 0.0005240075 7.490021e-02
## 2007-09-28 0.017924433 0.0244497944 -4.375675e-02
## 2007-10-05 -0.019347761 0.0288102881 4.413122e-03
## 2007-10-12 -0.023276362 0.0463961760 -8.887040e-03
## 2007-10-19 -0.002723561 0.0028503128 -1.686659e-02
## 2007-10-26 0.028902857 0.0202112043 -2.169869e-03
## 2007-11-02 -0.004202484 -0.0114530888 -1.478084e-02
## 2007-11-09 0.063305132 -0.0259903428 7.415036e-03
## 2007-11-16 -0.029663743 0.0069122519 -1.961652e-02
## 2007-11-23 -0.009687781 0.0177203751 -3.886586e-02
## 2007-11-30 -0.011521614 0.0298037761 -1.489702e-03
## 2007-12-07 0.005278050 0.0102876458 3.045529e-02
## 2007-12-14 0.040253566 -0.0165139310 -6.002894e-03
## 2007-12-21 0.033228459 0.0303174698 -3.325038e-02
## 2007-12-28 0.043354295 -0.0295760598 3.160123e-03
## 2008-01-04 -0.028287172 -0.0399623494 -1.864454e-02
## 2008-01-11 -0.100582276 -0.0168452779 -2.948765e-02
## 2008-01-18 -0.079464136 -0.0691928697 -8.172778e-02
## 2008-01-25 0.006304427 -0.0088493994 1.591551e-03
## 2008-02-01 0.047951979 0.1162497922 2.851908e-02
## 2008-02-08 -0.031731628 -0.0299149628 -3.911180e-02
## 2008-02-15 0.023984967 0.0272095700 -1.726369e-02
## 2008-02-22 -0.013450894 -0.0272916341 -2.002046e-02
## 2008-02-29 -0.014104586 -0.0064367494 3.492813e-02
## 2008-03-07 -0.046494686 -0.0176969181 -4.011742e-02
## 2008-03-14 0.014753575 0.0295330009 3.409868e-02
## 2008-03-20 -0.034253246 0.1219146425 1.590970e-02
## 2008-03-28 0.066088073 -0.0209603234 3.241567e-02
## 2008-04-04 0.005744527 0.0402369365 1.655499e-02
## 2008-04-11 -0.039743186 -0.0265653351 -5.238656e-02
## 2008-04-18 0.031474759 0.0179937248 8.719851e-03
## 2008-04-25 0.003363722 0.0125198709 1.126912e-01
## 2008-05-02 -0.033285364 -0.0157106920 -1.355444e-02
## 2008-05-09 0.114968051 -0.0412358716 -1.707866e-02
## 2008-05-16 0.051685329 0.0410049892 5.393375e-02
## 2008-05-23 -0.030341778 -0.0408709329 4.606877e-02
## 2008-05-30 -0.001322254 0.0555817536 5.360300e-03
## 2008-06-06 -0.002647877 0.0072029183 -2.649810e-02
## 2008-06-13 -0.015486645 0.0156043828 -3.833563e-02
## 2008-06-20 -0.053483037 -0.0327586499 -3.527429e-02
## 2008-06-27 -0.040835794 -0.0957590414 -5.687232e-02
## 2008-07-03 -0.035891075 -0.0301619217 -6.114241e-02
## 2008-07-11 -0.072913955 -0.0386193885 -5.741303e-02
## 2008-07-18 0.052616931 0.0344828818 3.209119e-02
## 2008-07-25 0.026045766 -0.0005157025 5.855585e-02
## 2008-08-01 0.006410273 0.0211448702 1.193297e-02
## 2008-08-08 0.073885322 0.0597643394 6.779337e-02
## 2008-08-15 -0.003558751 -0.0104842392 -2.740771e-02
## 2008-08-22 -0.052380846 -0.0189439446 -4.289049e-02
## 2008-08-29 0.006281423 -0.0081816369 3.285280e-02
## 2008-09-05 -0.046192532 -0.0148941924 -1.939146e-02
## 2008-09-12 -0.015706731 0.0527026608 -4.173236e-03
## 2008-09-19 0.028457641 0.0287470785 2.323913e-02
## 2008-09-26 -0.004913285 0.0642070788 -7.907119e-02
## 2008-10-03 -0.033783792 -0.0669711115 -9.040827e-02
## 2008-10-10 -0.167025435 -0.1378661003 -2.219568e-01
## 2008-10-17 0.017759192 0.0540990358 -3.084816e-02
## 2008-10-24 -0.124365570 -0.1685803850 -1.071324e-01
## 2008-10-31 -0.002536267 0.2059009415 8.458489e-02
## 2008-11-07 -0.001089617 -0.1426341499 7.372768e-02
## 2008-11-14 -0.103636295 -0.0582880340 -8.793958e-02
## 2008-11-21 -0.128600433 0.0290136816 -7.140073e-02
## 2008-11-28 0.138733613 0.1121556765 1.212349e-01
## 2008-12-05 -0.067457095 0.0213273429 -5.604061e-02
## 2008-12-12 0.184568083 -0.0744281976 7.747042e-02
## 2008-12-19 0.006291735 0.0382817984 -5.869515e-03
## 2008-12-23 -0.038617135 -0.0643770626 -2.546111e-02
## 2009-01-02 0.063886926 0.1063384471 1.081405e-01
## 2009-01-09 -0.007551429 -0.0650209643 1.482945e-02
## 2009-01-16 -0.056884021 -0.0566418610 -3.077427e-02
## 2009-01-23 -0.002689426 -0.0239315152 -4.641134e-02
## 2009-01-30 0.045069552 -0.0094134479 2.950825e-02
## 2009-02-06 0.071876273 0.0758011040 4.961061e-02
## 2009-02-13 -0.067400403 -0.1078471466 -5.670543e-02
## 2009-02-20 -0.066740465 -0.0115124608 -1.134381e-01
## 2009-02-27 -0.090873166 -0.0326114118 -3.636225e-02
## 2009-03-06 -0.003042093 -0.0151398768 -1.104417e-01
## 2009-03-13 0.063208560 0.1184280475 6.282922e-02
## 2009-03-20 -0.015170152 0.0078346420 7.079636e-02
## 2009-03-27 0.047876829 0.0404269072 -5.826444e-02
## 2009-04-03 0.075089207 0.1073870071 1.097850e-01
## 2009-04-09 0.020325150 0.0269902800 1.018505e-01
## 2009-04-17 0.003984149 0.0251550949 1.555189e-01
## 2009-04-24 0.104256832 0.0021970890 -9.129880e-03
## 2009-04-30 -0.065011465 -0.0412935709 1.698641e-02
## 2009-05-08 -0.119196844 0.0371644328 -5.331295e-02
## 2009-05-15 -0.029138012 -0.0858142511 1.956340e-01
## 2009-05-22 0.095873418 0.0534672916 5.818593e-02
## 2009-05-29 -0.018257928 0.0885327195 1.668328e-02
## 2009-06-05 0.009298694 0.0396073691 2.267806e-02
## 2009-06-12 0.031478087 -0.0288214850 3.064918e-02
## 2009-06-19 -0.002233218 0.0015899078 -7.481027e-02
## 2009-06-26 0.021633815 -0.1033510764 -4.859151e-02
## 2009-07-02 -0.020080271 0.0043272919 3.921584e-02
## 2009-07-10 -0.056259375 0.0047005233 -8.127243e-02
## 2009-07-17 0.068298413 0.0222217599 8.977998e-02
## 2009-07-24 0.073540382 -0.0051483645 7.964618e-02
## 2009-07-31 0.020654044 0.0856811481 4.864936e-02
## 2009-08-07 0.125463787 0.0252474733 6.748050e-02
## 2009-08-14 -0.048247022 -0.0208371161 1.885881e-02
## 2009-08-21 0.036523977 -0.0212801439 2.812701e-02
## 2009-08-28 0.002430079 0.0095237738 1.277332e-02
## 2009-09-04 -0.043636379 -0.0162567014 2.299004e-02
## 2009-09-11 0.042775761 0.0140144141 5.781008e-02
## 2009-09-18 0.104223766 0.0654666703 2.074053e-02
## 2009-09-25 -0.009356233 0.0008532291 9.215754e-03
## 2009-10-02 -0.030277655 0.0576398319 -5.799573e-02
## 2009-10-09 -0.001718995 0.0253142276 6.913176e-02
## 2009-10-16 0.037303013 0.0237459739 -4.409341e-05
## 2009-10-23 -0.040110640 -0.0142858164 -4.860919e-02
## 2009-10-30 -0.092219099 -0.0310110717 -3.430960e-02
## 2009-11-06 0.086984226 0.0382759253 7.356054e-02
## 2009-11-13 0.044684309 -0.0021683966 3.452929e-02
## 2009-11-20 -0.012580426 -0.0077619260 -3.615077e-02
## 2009-11-27 0.071347898 0.0176784784 4.060967e-02
## 2009-12-04 -0.003171098 0.0050805452 4.040827e-02
## 2009-12-11 0.000000000 -0.0068427724 -2.392635e-02
## 2009-12-18 0.022534299 0.0087695148 -1.195859e-02
## 2009-12-23 -0.004148208 0.0158334494 4.436649e-03
## 2009-12-30 -0.016662195 0.0106969748 -5.832236e-03
colnames(weekly_return.NA)
## [1] "weekly.returns" "weekly.returns.1" "weekly.returns.2"
Sigma_weekly = cov(weekly_return.NA)
Sigma_weekly
## weekly.returns weekly.returns.1 weekly.returns.2
## weekly.returns 0.002662307 0.001049950 0.001698605
## weekly.returns.1 0.001049950 0.002489786 0.001054079
## weekly.returns.2 0.001698605 0.001054079 0.003195982
ones = rep(1,3)
one.vec = matrix(ones, ncol=1)
a = inv(Sigma_weekly)%*%one.vec
b = t(one.vec)%*%a
mvp.w.weekly =a / as.numeric(b)
mvp.w.weekly
## [,1]
## weekly.returns 0.3283104
## weekly.returns.1 0.4616641
## weekly.returns.2 0.2100254
mvp.ret.weekly<-sum((mvp.w)*colMeans(weekly_return.NA))
mvp.ret.weekly
## [1] 0.001463769
std.weekly = sqrt(diag(mvp.w.weekly))
std.weekly
## [1] 0.5729838
# Q3. Find the tangency portfolio based on Q2. Risk free 0.005
mean <- apply(data.NA, 2, mean)
mean
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 9.420327 30.810479 10.918739
var <- apply(data.NA, 2, var)
var
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 1.498566 35.416822 6.462393
summary <- apply(data.NA, 2, summary)
apply(data.NA, 2, skewness)
## NKE.Adjusted ADS.DE.Adjusted PUM.DE.Adjusted
## 0.1114019 -0.4417538 -0.4742142
cov.matrix <- matrix(Sigma, ncol =3)
cov.matrix
## [,1] [,2] [,3]
## [1,] 1.498566 2.360266 1.159875
## [2,] 2.360266 35.416822 11.836347
## [3,] 1.159875 11.836347 6.462393
mu <- matrix(mean, ncol=1)
mu
## [,1]
## [1,] 9.420327
## [2,] 30.810479
## [3,] 10.918739
rf <- 0.005
numerator <- solve(cov.matrix)%*% (mu - rf*one.vec)
denominator <-t(one.vec)%*% numerator
tangency.weight <-numerator/as.numeric(denominator)
tangency.return<- t(mu)%*% tangency.weight
tangency.var <- t(tangency.weight) %*% cov.matrix %*%tangency.weight
tangency.std <- sqrt(as.numeric(tangency.var))
Sharperatio <- (tangency.return/tangency.std)
Sharperatio
## [,1]
## [1,] 8.252372
##HW_02
#Q1. By Homework 1, find the tangency portfolio with no short-sale constraint. Risk-free rate is assumed to be 1% per annum.
con = gzcon(url('https://github.com/systematicinvestor/SIT/raw/master/sit.gz', 'rb'))
source(con)
close(con)
NKE.daily_return <- dailyReturn(data.NA$NKE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
ADS.daily_return <- dailyReturn(data.NA$ADS.DE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
PUM.daily_return <- dailyReturn(data.NA$PUM.DE.Adjusted, subset=NULL, type='arithmetic',
leading=TRUE, from = "2007/01/01", to = "2009/12/31")
daily_return <- merge(ADS.daily_return, NKE.daily_return, PUM.daily_return)
daily_return
## daily.returns daily.returns.1 daily.returns.2
## 2007-01-03 0.0000000000 0.0000000000 0.000000e+00
## 2007-01-04 -0.0060479073 0.0102383020 -2.027591e-02
## 2007-01-05 -0.0132273435 0.0016215920 -1.121716e-02
## 2007-01-08 0.0048256640 -0.0030354266 -6.586170e-03
## 2007-01-09 -0.0133404065 0.0124839728 -1.388401e-02
## 2007-01-10 0.0013520415 0.0000000000 -2.991787e-03
## 2007-01-11 0.0008102024 0.0022049215 2.372448e-02
## 2007-01-12 0.0107934789 -0.0022000705 1.389803e-02
## 2007-01-16 -0.0013350438 0.0021046794 -1.176853e-02
## 2007-01-17 0.0032077922 -0.0015004731 -7.159284e-03
## 2007-01-18 0.0231813707 -0.0015023240 -1.074427e-03
## 2007-01-19 0.0054687900 0.0027084406 -7.461593e-03
## 2007-01-22 -0.0080289697 -0.0224132568 -6.433589e-03
## 2007-01-23 -0.0099216667 -0.0096215742 7.319940e-03
## 2007-01-24 -0.0192510633 0.0008266619 -5.310266e-03
## 2007-01-25 -0.0086043627 -0.0103263346 -1.443534e-02
## 2007-01-26 -0.0059669565 -0.0066772000 -1.357746e-02
## 2007-01-29 -0.0021828181 0.0117647424 6.141465e-03
## 2007-01-30 0.0068360989 0.0148458715 -1.543992e-02
## 2007-01-31 0.0027158337 0.0108441583 1.641156e-02
## 2007-02-01 0.0062298709 0.0189253649 3.875147e-02
## 2007-02-02 0.0048452805 -0.0047677865 2.245112e-03
## 2007-02-05 0.0233053685 -0.0077844171 -5.169487e-04
## 2007-02-06 0.0041886258 0.0176022282 7.517285e-03
## 2007-02-07 -0.0054743965 0.0170997935 -6.331795e-03
## 2007-02-08 0.0020968646 0.0047623700 -4.339795e-03
## 2007-02-09 -0.0086317438 0.0020307846 1.141553e-03
## 2007-02-12 -0.0026387660 0.0074322867 2.073238e-03
## 2007-02-13 0.0023810301 0.0079524709 0.000000e+00
## 2007-02-14 0.0110847350 0.0017110531 2.068949e-02
## 2007-02-15 -0.0020882992 0.0012336497 -5.912233e-03
## 2007-02-16 -0.0057544959 0.0074873026 -1.447723e-02
## 2007-02-20 -0.0110499322 0.0047976904 -4.482933e-02
## 2007-02-21 -0.0026601371 0.0028088954 1.227495e-02
## 2007-02-22 0.0008001958 0.0104568269 -1.497998e-03
## 2007-02-23 0.0154586497 -0.0017562924 1.564449e-02
## 2007-02-26 -0.0034121695 -0.0019430090 -5.486309e-03
## 2007-02-27 -0.0123782971 -0.0357973831 -3.232064e-02
## 2007-02-28 -0.0101332636 0.0048092834 -1.881961e-02
## 2007-03-01 -0.0078126143 0.0078492635 -5.586685e-03
## 2007-03-02 -0.0103174389 -0.0135816154 -1.685219e-03
## 2007-03-05 -0.0260631175 -0.0134796312 -1.988260e-03
## 2007-03-06 -0.0022535288 0.0257660200 -1.135275e-02
## 2007-03-07 -0.0033880492 -0.0048525959 1.041839e-02
## 2007-03-08 0.0254958503 0.0292240087 6.284258e-03
## 2007-03-09 0.0262430115 0.0119501362 6.432043e-03
## 2007-03-12 -0.0029608600 -0.0023622722 -1.107277e-02
## 2007-03-13 -0.0107993387 -0.0094691132 -4.395969e-03
## 2007-03-14 -0.0062771440 0.0021030671 -1.822794e-02
## 2007-03-15 0.0060422078 0.0080137091 1.376133e-02
## 2007-03-16 0.0182910629 0.0171301705 8.038548e-03
## 2007-03-19 0.0147454221 0.0079095643 3.686282e-03
## 2007-03-20 0.0224570675 0.0085852916 1.113086e-02
## 2007-03-21 0.0025838378 -0.0036610532 -1.037822e-02
## 2007-03-22 0.0038657681 -0.0022968061 1.910148e-03
## 2007-03-23 0.0220798536 0.0041435760 5.233714e-03
## 2007-03-26 -0.0178347738 -0.0023837373 -5.838566e-03
## 2007-03-27 0.0398975747 -0.0204066442 2.423891e-02
## 2007-03-28 -0.0007375686 -0.0135122847 -1.077354e-02
## 2007-03-29 0.0110754963 -0.0015218607 7.937421e-03
## 2007-03-30 -0.0036513315 0.0122892479 2.527217e-03
## 2007-04-02 0.0078180434 0.0015995817 7.233866e-03
## 2007-04-03 0.0021819783 -0.0002817561 8.524125e-03
## 2007-04-04 -0.0007257920 0.0073309156 2.503233e-02
## 2007-04-05 0.0072623308 -0.0020528088 1.026316e-01
## 2007-04-10 0.0216293198 0.0099107745 9.444712e-02
## 2007-04-11 0.0096445383 -0.0003705882 1.793956e-02
## 2007-04-12 -0.0041936434 0.0044450788 4.737016e-02
## 2007-04-13 0.0114644846 -0.0106947950 1.468540e-03
## 2007-04-16 0.0154986495 0.0134198656 -4.721696e-03
## 2007-04-17 0.0273348932 -0.0040459980 1.768052e-03
## 2007-04-18 -0.0133039384 -0.0048018155 2.957312e-05
## 2007-04-19 -0.0006739223 -0.0076081023 0.000000e+00
## 2007-04-20 -0.0076456370 0.0009348589 -2.529601e-03
## 2007-04-23 -0.0006799891 0.0005605623 -9.258881e-03
## 2007-04-24 -0.0058956646 -0.0009332187 -1.190187e-03
## 2007-04-25 0.0027372782 0.0020555114 2.532738e-03
## 2007-04-26 0.0015923032 0.0041024680 -2.676032e-04
## 2007-04-27 -0.0063592262 0.0052009826 -2.051315e-03
## 2007-04-30 0.0022857574 -0.0048037545 -1.996168e-03
## 2007-05-02 -0.0193843223 -0.0070558152 4.477748e-03
## 2007-05-03 -0.0120929098 -0.0037396799 -5.052132e-03
## 2007-05-04 -0.0042373100 0.0001878942 3.584175e-03
## 2007-05-07 0.0000000000 0.0108836870 -2.976145e-03
## 2007-05-08 0.0730494544 -0.0022272482 -8.955020e-03
## 2007-05-09 0.0068299358 0.0031626254 3.012002e-03
## 2007-05-10 -0.0166302941 -0.0113130296 -9.010925e-04
## 2007-05-11 0.0040431031 -0.0052523195 3.015259e-05
## 2007-05-14 0.0067115242 -0.0030176475 1.592900e-03
## 2007-05-15 0.0068887371 -0.0054851379 -7.200265e-04
## 2007-05-16 -0.0068416071 0.0077981522 -3.002957e-03
## 2007-05-17 0.0022220801 -0.0007551970 4.005908e-03
## 2007-05-18 0.0155210163 0.0056659149 -6.089913e-03
## 2007-05-21 -0.0176857000 0.0268544558 3.319101e-04
## 2007-05-22 0.0037787251 0.0082300379 1.780355e-03
## 2007-05-23 0.0050929764 -0.0056236912 -1.475991e-03
## 2007-05-24 -0.0101343121 -0.0063845304 8.748130e-04
## 2007-05-25 0.0164700081 -0.0034880417 3.013818e-04
## 2007-05-29 0.0166413416 0.0081062554 -9.340981e-04
## 2007-05-30 0.0073225610 0.0184576259 1.025320e-03
## 2007-05-31 0.0143254680 0.0183025159 -1.686761e-03
## 2007-06-01 -0.0050589760 -0.0010570513 4.375499e-03
## 2007-06-04 -0.0042372237 0.0095252566 -3.966239e-03
## 2007-06-05 -0.0170213009 -0.0059414301 1.508548e-03
## 2007-06-06 -0.0177488732 -0.0207412009 -1.506276e-03
## 2007-06-07 -0.0024241336 -0.0158270656 -1.930493e-03
## 2007-06-08 -0.0008833916 -0.0210718614 2.719867e-04
## 2007-06-11 -0.0053064588 0.0083084135 2.568462e-03
## 2007-06-12 -0.0091130609 -0.0039327622 -2.411260e-03
## 2007-06-13 -0.0087483131 0.0054520369 -7.249681e-04
## 2007-06-14 0.0219506948 0.0037396451 -3.012265e-05
## 2007-06-15 0.0108504598 -0.0048431379 3.022006e-04
## 2007-06-18 -0.0043812800 0.0039306867 6.045633e-04
## 2007-06-19 -0.0165015995 0.0162226439 -4.530968e-04
## 2007-06-20 0.0069349982 -0.0159636709 -2.568781e-03
## 2007-06-21 -0.0004444091 -0.0009325969 0.000000e+00
## 2007-06-22 -0.0048897561 -0.0117579373 0.000000e+00
## 2007-06-25 -0.0002236398 0.0162419939 1.512826e-04
## 2007-06-26 0.0026811853 0.0001857278 6.091832e-05
## 2007-06-27 0.0004455881 0.0830547036 1.151024e-03
## 2007-06-28 0.0135858182 0.0000000000 0.000000e+00
## 2007-06-29 0.0279058782 0.0000000000 -9.074947e-04
## 2007-07-02 -0.0006415209 0.0018872021 -6.059603e-04
## 2007-07-03 0.0198933710 0.0099316273 1.213899e-04
## 2007-07-05 -0.0079699162 0.0062729419 -1.213752e-04
## 2007-07-06 0.0097251856 0.0053916646 1.515128e-04
## 2007-07-09 -0.0090030582 -0.0098877365 0.000000e+00
## 2007-07-10 -0.0181706484 -0.0106631231 -1.514899e-04
## 2007-07-11 -0.0068861269 0.0000000000 0.000000e+00
## 2007-07-12 0.0117010133 0.0172794087 -4.424272e-03
## 2007-07-13 0.0017133353 -0.0075679173 -8.126865e-03
## 2007-07-16 -0.0196707589 -0.0038977127 -2.415063e-02
## 2007-07-17 -0.0058885492 0.0113985162 -5.534607e-03
## 2007-07-18 -0.0144799681 0.0038685399 -7.526045e-03
## 2007-07-19 0.0046746708 0.0025135199 -1.398696e-02
## 2007-07-20 -0.0026589074 -0.0218954008 8.336720e-03
## 2007-07-23 0.0008888991 0.0150377306 -3.044337e-03
## 2007-07-24 -0.0059935209 -0.0176768137 -1.485065e-02
## 2007-07-25 -0.0127289505 -0.0089118147 -7.863392e-03
## 2007-07-26 -0.0065596318 -0.0160813504 -4.117469e-02
## 2007-07-27 -0.0059197318 -0.0256595367 1.186745e-02
## 2007-07-30 0.0185525663 0.0252527548 -2.948915e-03
## 2007-07-31 0.0078702311 -0.0068612252 0.000000e+00
## 2007-08-01 -0.0316821483 0.0079717911 2.889736e-03
## 2007-08-02 -0.0195852771 0.0008785480 -6.745935e-03
## 2007-08-03 0.0047003952 -0.0079019153 -1.511939e-02
## 2007-08-06 0.0046782913 0.0171687006 3.846447e-03
## 2007-08-07 0.0039582032 0.0102659060 3.176011e-03
## 2007-08-08 0.0051021205 -0.0249740830 1.348927e-02
## 2007-08-09 0.0023071058 -0.0478713039 3.700849e-03
## 2007-08-10 -0.0145025962 0.0348790781 -3.568891e-02
## 2007-08-13 0.0039708351 0.0066330432 -9.892488e-03
## 2007-08-14 -0.0072126414 -0.0265355608 -6.483921e-03
## 2007-08-15 0.0138270834 -0.0199417719 -8.451927e-03
## 2007-08-16 -0.0406842303 -0.0070932453 -4.398639e-02
## 2007-08-17 0.0130122079 0.0240644345 3.950129e-03
## 2007-08-20 -0.0009515815 -0.0016521245 2.195920e-02
## 2007-08-21 -0.0028571746 -0.0047813871 -1.650353e-03
## 2007-08-22 0.0171918786 0.0012934812 -3.452370e-03
## 2007-08-23 0.0058685559 -0.0029528280 1.728526e-02
## 2007-08-24 -0.0107350399 0.0016659370 2.456341e-02
## 2007-08-27 0.0073131437 -0.0044346735 3.536014e-04
## 2007-08-28 -0.0170961245 -0.0064957360 6.892871e-03
## 2007-08-29 0.0007148404 0.0360547492 3.405393e-03
## 2007-08-30 0.0021429315 0.0054089688 7.872047e-03
## 2007-08-31 0.0251839406 0.0104017354 2.315428e-02
## 2007-09-04 0.0057938663 0.0014201296 1.859246e-02
## 2007-09-05 -0.0011520702 -0.0168379685 3.297577e-03
## 2007-09-06 -0.0078433315 0.0195506747 2.589531e-03
## 2007-09-07 -0.0123224712 -0.0197138952 -2.264983e-02
## 2007-09-10 -0.0025893943 0.0082271510 -1.490745e-02
## 2007-09-11 0.0035402008 0.0068901049 1.251912e-02
## 2007-09-12 0.0000000000 0.0099045348 0.000000e+00
## 2007-09-13 0.0051740023 0.0142659026 9.103680e-03
## 2007-09-14 -0.0032758030 0.0061529736 -1.306086e-02
## 2007-09-17 0.0037561197 -0.0160755984 -1.753138e-02
## 2007-09-18 0.0219830293 0.0440418734 1.409499e-02
## 2007-09-19 0.0251715478 -0.0039120149 3.395966e-02
## 2007-09-20 -0.0017856168 -0.0040986961 -5.429887e-03
## 2007-09-21 0.0105097361 -0.0181755053 4.913608e-02
## 2007-09-24 -0.0068598023 0.0096055103 -1.002677e-02
## 2007-09-25 0.0044564765 0.0110707028 -1.750076e-02
## 2007-09-26 -0.0008875186 -0.0010265753 -2.130303e-02
## 2007-09-27 0.0142095698 -0.0037679777 7.266647e-03
## 2007-09-28 0.0070053232 0.0084236184 -2.713332e-03
## 2007-10-01 0.0004346335 0.0124446390 4.711809e-03
## 2007-10-02 -0.0006518253 -0.0038726003 1.162541e-02
## 2007-10-03 0.0034790384 0.0010142551 -4.668495e-03
## 2007-10-04 -0.0104008511 0.0023639827 -4.329633e-03
## 2007-10-05 -0.0122617670 0.0166779678 -2.833203e-03
## 2007-10-08 -0.0312570227 -0.0056335889 -6.111770e-03
## 2007-10-09 0.0146452030 0.0293281602 -1.330045e-04
## 2007-10-10 0.0040597360 0.0014573048 -5.585112e-03
## 2007-10-11 -0.0069633371 -0.0137408479 1.939007e-03
## 2007-10-12 -0.0033926403 0.0350762858 1.000910e-03
## 2007-10-15 -0.0059011407 0.0121930606 5.866912e-03
## 2007-10-16 0.0047944279 -0.0001564542 -8.649457e-03
## 2007-10-17 -0.0022721764 -0.0117353072 1.283645e-02
## 2007-10-18 0.0022773509 0.0015833685 -1.976975e-02
## 2007-10-19 -0.0015903607 0.0011066058 -6.935952e-03
## 2007-10-22 -0.0122896339 -0.0025264884 -6.611722e-03
## 2007-10-23 0.0149770243 0.0150388131 9.625208e-03
## 2007-10-24 -0.0079456017 -0.0102929775 -6.693552e-03
## 2007-10-25 0.0221967396 0.0059875530 7.044922e-03
## 2007-10-26 0.0120886899 0.0120612783 -5.407226e-03
## 2007-10-29 -0.0002211678 0.0094415929 2.956106e-03
## 2007-10-30 -0.0059734169 -0.0044465405 3.963819e-03
## 2007-10-31 0.0249275178 0.0204836579 -1.417254e-03
## 2007-11-01 -0.0054287865 -0.0368247535 -8.752509e-03
## 2007-11-02 -0.0170304522 0.0007834970 -1.152270e-02
## 2007-11-05 -0.0037761792 -0.0076717618 -1.013973e-02
## 2007-11-06 0.0118172293 0.0096243189 3.787321e-02
## 2007-11-07 0.0101366243 -0.0189090644 -6.277738e-03
## 2007-11-08 0.0399211709 0.0082829472 -1.013472e-02
## 2007-11-09 0.0041957535 -0.0172197404 -3.105680e-03
## 2007-11-12 0.0079381564 0.0062691305 5.785570e-03
## 2007-11-13 0.0029015404 0.0222043861 -6.126810e-03
## 2007-11-14 -0.0014466105 -0.0120330048 3.356244e-03
## 2007-11-15 -0.0374584749 -0.0026886689 -2.174288e-02
## 2007-11-16 -0.0012902029 -0.0065030334 -8.022773e-04
## 2007-11-19 -0.0189450605 -0.0102172739 -6.495106e-03
## 2007-11-20 0.0041693649 0.0045161749 -1.054589e-04
## 2007-11-21 -0.0093967345 0.0096340380 -3.863183e-02
## 2007-11-23 0.0147804359 0.0138359367 6.398673e-03
## 2007-11-26 -0.0160870335 -0.0246272184 -4.214307e-03
## 2007-11-27 -0.0112680385 0.0196200043 -4.633845e-03
## 2007-11-28 0.0254749090 0.0285489777 3.628727e-03
## 2007-11-29 -0.0161256980 -0.0076674735 6.866488e-03
## 2007-11-30 0.0070876365 0.0145262690 -3.083403e-03
## 2007-12-03 0.0149547231 0.0205635738 -3.347539e-03
## 2007-12-04 -0.0058503488 -0.0179103982 4.563640e-03
## 2007-12-05 0.0122056414 0.0021276810 1.032133e-02
## 2007-12-06 -0.0189492180 0.0059980985 1.442435e-02
## 2007-12-07 0.0032924051 -0.0001527698 4.219774e-03
## 2007-12-10 0.0218771168 0.0070335658 -7.485906e-03
## 2007-12-11 0.0107042605 -0.0252047896 3.273104e-03
## 2007-12-12 0.0006356007 0.0038938637 -2.269598e-03
## 2007-12-13 -0.0069857271 0.0079130524 -4.833624e-03
## 2007-12-14 0.0136429443 -0.0098522372 5.357143e-03
## 2007-12-17 -0.0126181073 -0.0197448881 -2.486657e-02
## 2007-12-18 0.0089456958 0.0111021195 7.358455e-03
## 2007-12-19 0.0086553226 0.0007844276 -1.142752e-02
## 2007-12-20 0.0117202774 0.0346397665 4.170478e-03
## 2007-12-21 0.0163426950 0.0039387596 -8.597599e-03
## 2007-12-27 0.0164868002 -0.0191641713 6.834814e-03
## 2007-12-28 0.0264317199 -0.0106153224 -3.649745e-03
## 2008-01-02 -0.0245804281 -0.0160161333 9.523163e-04
## 2008-01-03 0.0018000622 -0.0090076221 -6.184542e-03
## 2008-01-04 -0.0055901525 -0.0154676895 -1.347702e-02
## 2008-01-07 -0.0060230636 0.0059923384 -6.311838e-02
## 2008-01-08 -0.0244393928 -0.0045080581 2.410358e-02
## 2008-01-09 -0.0339543196 0.0022642363 2.482007e-02
## 2008-01-10 -0.0263609199 0.0091978360 -4.365333e-03
## 2008-01-11 -0.0138676216 -0.0294209719 -8.654983e-03
## 2008-01-14 -0.0024553010 0.0004940784 -1.999875e-03
## 2008-01-15 -0.0389348969 -0.0604312297 -2.763112e-02
## 2008-01-16 -0.0498251372 0.0106904688 -6.131098e-02
## 2008-01-17 0.0019601963 -0.0293048261 -3.546552e-03
## 2008-01-18 0.0085595229 0.0092890587 1.165177e-02
## 2008-01-22 -0.0240056794 0.0139823773 -5.147423e-02
## 2008-01-23 -0.0449691944 0.0040144567 -4.053518e-02
## 2008-01-24 0.0796045651 -0.0019125035 9.540250e-02
## 2008-01-25 0.0000000000 -0.0245597771 4.705396e-03
## 2008-01-28 -0.0163855396 0.0230356282 -8.028629e-03
## 2008-01-29 0.0222931703 0.0010474113 8.641635e-03
## 2008-01-30 0.0309131115 0.0357453571 8.567692e-03
## 2008-01-31 -0.0125524519 0.0324916293 -4.433766e-03
## 2008-02-01 0.0237759401 0.0192399805 2.376696e-02
## 2008-02-04 -0.0050586293 -0.0283154880 4.553405e-03
## 2008-02-05 -0.0293507036 -0.0154758159 -3.743716e-02
## 2008-02-06 0.0035715911 0.0038460623 1.635641e-02
## 2008-02-07 -0.0111507720 0.0121605569 -2.176098e-02
## 2008-02-08 0.0103165676 -0.0019745689 -5.070727e-04
## 2008-02-11 0.0035621752 0.0003297804 -1.645953e-02
## 2008-02-12 0.0236629949 0.0117044811 2.374685e-02
## 2008-02-13 0.0041608639 0.0192277480 6.429591e-03
## 2008-02-14 0.0004604429 -0.0039972816 -6.638976e-03
## 2008-02-15 -0.0078231727 -0.0001601949 -2.374859e-02
## 2008-02-19 0.0215677236 -0.0187830386 1.506909e-03
## 2008-02-20 -0.0265606816 0.0013085570 -3.847633e-02
## 2008-02-21 0.0037313937 -0.0143791059 1.430752e-02
## 2008-02-22 -0.0116172602 0.0044764870 3.306054e-03
## 2008-02-25 0.0296192392 0.0165042839 1.836468e-02
## 2008-02-26 -0.0041097591 0.0165611107 6.083098e-02
## 2008-02-27 -0.0144427509 -0.0036735470 -7.686394e-03
## 2008-02-28 -0.0234938526 -0.0054502912 -2.209026e-02
## 2008-02-29 -0.0009530862 -0.0296583807 -1.278227e-02
## 2008-03-03 -0.0030995300 -0.0018272577 -3.485301e-02
## 2008-03-04 -0.0086102151 0.0056584160 -1.367968e-02
## 2008-03-05 0.0031362872 0.0062878089 2.122738e-02
## 2008-03-06 -0.0271765761 -0.0051759661 -7.030500e-03
## 2008-03-07 -0.0113719751 -0.0224908575 -5.629330e-03
## 2008-03-10 0.0152535281 -0.0218066987 -5.439668e-03
## 2008-03-11 0.0000000000 0.0166762199 3.997684e-02
## 2008-03-12 0.0197045857 0.0317677572 2.599756e-02
## 2008-03-13 -0.0248791981 0.0212516266 -1.767042e-02
## 2008-03-14 0.0052018726 -0.0175324635 -8.018360e-03
## 2008-03-17 -0.0450959860 -0.0116743381 -3.921836e-02
## 2008-03-18 0.0038708927 0.0406682266 3.761421e-02
## 2008-03-19 -0.0061696403 0.0025946782 2.573865e-03
## 2008-03-20 0.0137092673 0.0879828615 1.643152e-02
## 2008-03-25 0.0609849325 0.0163523820 3.982488e-02
## 2008-03-26 -0.0055316809 -0.0307155527 -1.720649e-02
## 2008-03-27 0.0157195681 -0.0043757106 1.038106e-02
## 2008-03-28 -0.0052382064 -0.0018190999 -1.222379e-04
## 2008-03-31 0.0078985392 0.0324931725 -5.301313e-03
## 2008-04-01 0.0128237152 0.0230883619 2.484240e-02
## 2008-04-02 0.0009376585 -0.0229983607 -6.440030e-03
## 2008-04-03 -0.0112436077 0.0136823631 4.911721e-03
## 2008-04-04 -0.0045013693 -0.0056603562 -1.242046e-03
## 2008-04-07 0.0064257055 -0.0245218755 5.375023e-03
## 2008-04-08 -0.0111140578 -0.0044892618 -1.516105e-02
## 2008-04-09 -0.0164989375 -0.0013525827 -2.009399e-02
## 2008-04-10 -0.0148313344 0.0139975389 -1.653310e-04
## 2008-04-11 -0.0041955782 -0.0100933536 -2.315583e-02
## 2008-04-14 -0.0014868100 -0.0094468421 -1.092105e-02
## 2008-04-15 0.0074459935 -0.0036333277 -1.390918e-02
## 2008-04-16 0.0199556591 0.0037987247 6.119274e-03
## 2008-04-17 -0.0099032987 0.0224007072 -3.882264e-03
## 2008-04-18 0.0153695127 0.0050330439 3.195925e-02
## 2008-04-21 -0.0072080803 0.0107527674 -1.493906e-02
## 2008-04-22 -0.0079863525 -0.0085984619 -7.071681e-03
## 2008-04-23 0.0090265162 -0.0066144327 1.380969e-01
## 2008-04-24 0.0103965042 0.0071026654 -1.111234e-02
## 2008-04-25 -0.0007179194 0.0099908432 1.080516e-02
## 2008-04-28 0.0055078382 -0.0133835081 -5.601278e-03
## 2008-04-29 -0.0264347295 0.0060455431 -2.558483e-02
## 2008-04-30 0.0026906212 -0.0209585008 9.487593e-03
## 2008-05-02 -0.0151256937 0.0128745396 8.480594e-03
## 2008-05-05 0.0007432621 -0.0100504521 -2.097983e-02
## 2008-05-06 0.0569306002 0.0089577696 2.523789e-03
## 2008-05-07 0.0142854478 -0.0122818446 1.360238e-02
## 2008-05-08 0.0163938217 -0.0292133724 -1.747205e-02
## 2008-05-09 0.0225182441 0.0010802745 5.587579e-03
## 2008-05-12 0.0044944046 0.0072451043 1.878652e-02
## 2008-05-13 -0.0049218054 0.0048975984 3.462707e-04
## 2008-05-14 0.0035971676 0.0271093704 1.029864e-02
## 2008-05-15 0.0210574541 0.0085996846 2.792536e-02
## 2008-05-16 0.0267659947 -0.0072033156 -4.208492e-03
## 2008-05-19 -0.0040596317 0.0037021660 7.154811e-03
## 2008-05-20 -0.0268183716 -0.0109177836 1.574621e-02
## 2008-05-21 -0.0149912827 -0.0284904055 -1.570626e-02
## 2008-05-22 0.0132048521 -0.0018424617 6.029506e-02
## 2008-05-23 0.0024301299 -0.0036920103 -2.022280e-02
## 2008-05-27 -0.0088143937 0.0192993378 -3.981675e-05
## 2008-05-28 0.0333481317 0.0205997691 2.959910e-03
## 2008-05-29 -0.0114027456 0.0149897978 3.230605e-03
## 2008-05-30 -0.0137106878 -0.0002924091 -7.948174e-04
## 2008-06-02 -0.0059575191 -0.0179905444 -2.482704e-02
## 2008-06-03 -0.0024417834 -0.0025321661 2.447431e-04
## 2008-06-04 -0.0028928004 0.0144842586 -1.276725e-02
## 2008-06-05 0.0078108094 0.0455087569 2.470765e-02
## 2008-06-06 0.0008856377 -0.0305410619 -1.342675e-02
## 2008-06-09 -0.0154866453 0.0095687718 -1.299661e-02
## 2008-06-10 -0.0056178574 -0.0014581454 -1.436857e-02
## 2008-06-11 -0.0124296699 -0.0151867144 -1.730878e-02
## 2008-06-12 0.0139591709 -0.0097866715 1.598914e-02
## 2008-06-13 0.0042877887 0.0330937118 -9.888291e-03
## 2008-06-16 0.0051684439 -0.0088418357 -1.274990e-02
## 2008-06-17 0.0015651276 -0.0055572300 1.704682e-02
## 2008-06-18 -0.0111609033 -0.0017645379 -1.379822e-02
## 2008-06-19 -0.0221219011 -0.0005896676 -1.141622e-02
## 2008-06-20 -0.0277006128 -0.0163620677 -1.450040e-02
## 2008-06-23 0.0083095326 0.0025478171 -6.123466e-03
## 2008-06-24 -0.0110667326 -0.0139012284 -8.200129e-03
## 2008-06-25 0.0195239654 0.0000000000 1.117453e-03
## 2008-06-26 -0.0397010448 -0.0980751145 -2.700770e-02
## 2008-06-27 -0.0175098422 0.0141175336 -1.775558e-02
## 2008-06-30 -0.0071782091 -0.0120975931 -4.343980e-03
## 2008-07-01 -0.0301671461 -0.0104008151 -3.959441e-02
## 2008-07-02 -0.0023135593 -0.0152571717 -7.818055e-04
## 2008-07-03 0.0036073668 0.0074025193 -1.740311e-02
## 2008-07-07 -0.0005134814 -0.0352017674 -2.537295e-03
## 2008-07-08 -0.0472642476 0.0329433959 -1.785639e-02
## 2008-07-09 0.0191425743 -0.0234908616 9.039713e-03
## 2008-07-10 -0.0121690867 -0.0224760677 -4.122011e-02
## 2008-07-11 -0.0329407502 0.0105984460 -5.459220e-03
## 2008-07-14 0.0033230626 -0.0079983840 -8.181240e-03
## 2008-07-15 -0.0380901400 0.0327893916 -1.170750e-02
## 2008-07-16 0.0473459630 0.0090218172 1.114646e-02
## 2008-07-17 0.0347947449 0.0068775513 2.694634e-02
## 2008-07-18 0.0063540575 -0.0061474747 1.400113e-02
## 2008-07-21 0.0189425100 -0.0118558205 1.907572e-02
## 2008-07-22 0.0033566340 0.0201704953 -1.194397e-02
## 2008-07-23 0.0079770687 0.0090333649 2.067152e-02
## 2008-07-24 -0.0005104442 -0.0180742247 2.607497e-02
## 2008-07-25 -0.0038314826 0.0006880473 3.831136e-03
## 2008-07-28 -0.0151281425 -0.0159874878 -1.173974e-02
## 2008-07-29 0.0187452426 0.0317962673 2.150836e-03
## 2008-07-30 0.0222334884 0.0104970526 2.468315e-02
## 2008-07-31 -0.0147501776 -0.0167556665 -1.190131e-02
## 2008-08-01 -0.0040597822 0.0122698075 9.153896e-03
## 2008-08-04 -0.0224204943 0.0063976718 -1.527843e-03
## 2008-08-05 0.0766224090 0.0301101778 4.193374e-02
## 2008-08-06 0.0561607591 0.0099059823 2.482699e-02
## 2008-08-07 -0.0320880373 -0.0215470191 7.522679e-03
## 2008-08-08 -0.0018943406 0.0345109564 -5.955620e-03
## 2008-08-11 0.0415184672 0.0050833994 6.527620e-03
## 2008-08-12 -0.0205012677 -0.0184921731 -1.643363e-03
## 2008-08-13 -0.0199999341 -0.0020932230 -2.705236e-02
## 2008-08-14 0.0059324787 0.0004838379 -2.378016e-02
## 2008-08-15 -0.0092002030 0.0046777850 1.901907e-02
## 2008-08-18 -0.0242855799 -0.0102746172 -1.195234e-02
## 2008-08-19 -0.0307469156 -0.0100568504 -4.620125e-02
## 2008-08-20 0.0045317756 -0.0060627380 1.946352e-02
## 2008-08-21 -0.0187968624 -0.0011540389 -2.062291e-02
## 2008-08-22 0.0166028153 0.0085823631 1.719768e-02
## 2008-08-25 -0.0201005718 -0.0229095201 4.801352e-04
## 2008-08-26 0.0023076577 -0.0132304524 7.105314e-03
## 2008-08-27 -0.0133023951 0.0127288156 -1.320459e-02
## 2008-08-28 0.0212598999 0.0259766692 2.140001e-02
## 2008-08-29 0.0167555437 -0.0099640331 1.702609e-02
## 2008-09-02 0.0204743581 0.0094043197 3.524937e-02
## 2008-09-03 -0.0178614101 0.0119318858 -2.281931e-02
## 2008-09-04 -0.0226710174 -0.0204949453 -7.078989e-03
## 2008-09-05 -0.0262553863 -0.0154001658 -2.374984e-02
## 2008-09-08 0.0178012028 0.0256715646 1.398946e-02
## 2008-09-09 -0.0023149037 -0.0008292356 -1.103717e-02
## 2008-09-10 -0.0105694640 -0.0068014332 -1.536939e-02
## 2008-09-11 -0.0333509600 0.0183731337 -1.776927e-03
## 2008-09-12 0.0134770936 0.0155812389 1.034442e-02
## 2008-09-15 0.0077129812 -0.0229325662 -3.571611e-02
## 2008-09-16 -0.0219055764 0.0114050107 -8.988234e-03
## 2008-09-17 -0.0161899782 -0.0266382608 -1.330530e-02
## 2008-09-18 0.0159078580 0.0852923159 2.171619e-03
## 2008-09-19 0.0440065209 -0.0145423243 8.285055e-02
## 2008-09-22 0.0074993130 -0.0086341241 -1.056442e-02
## 2008-09-23 -0.0002566594 -0.0367381802 -1.157117e-02
## 2008-09-24 0.0112965594 -0.0256452366 8.898827e-03
## 2008-09-25 0.0332569861 0.0968454016 -1.712193e-02
## 2008-09-26 -0.0545452036 0.0427622471 -5.038871e-02
## 2008-09-29 -0.0239088274 -0.0404185415 -4.699821e-02
## 2008-09-30 0.0037275806 0.0284395965 1.659772e-02
## 2008-10-01 -0.0127323179 -0.0110614761 -1.789146e-02
## 2008-10-02 -0.0088660374 -0.0364268119 -1.678384e-02
## 2008-10-03 0.0078613624 -0.0078428844 -2.771147e-02
## 2008-10-06 -0.0669716712 -0.0333601348 -9.706084e-02
## 2008-10-07 0.0069185592 -0.0516846792 -4.011834e-02
## 2008-10-08 -0.0246206539 -0.0393234370 -4.660241e-02
## 2008-10-09 -0.0155563371 -0.0470380654 2.158269e-02
## 2008-10-10 -0.0766249363 0.0273170694 -7.832051e-02
## 2008-10-13 0.1365838421 0.0242072037 1.370325e-01
## 2008-10-14 -0.0238636537 0.0227395271 1.331395e-02
## 2008-10-15 -0.1123398315 -0.1183477046 -8.354509e-02
## 2008-10-16 0.0131146218 0.1113983353 -7.892046e-02
## 2008-10-17 0.0200647874 0.0269787668 -3.524324e-03
## 2008-10-20 0.0269669302 0.0394916890 1.613617e-02
## 2008-10-21 -0.0386158086 -0.0440164272 6.526718e-04
## 2008-10-22 -0.0758356513 -0.0808824248 -4.710176e-02
## 2008-10-23 0.0135605483 -0.0337147146 -3.231921e-02
## 2008-10-24 -0.0531733226 -0.0579534176 -4.770140e-02
## 2008-10-27 -0.0670288699 -0.0259465308 -6.931842e-02
## 2008-10-28 -0.0656312306 0.1261006018 7.714276e-03
## 2008-10-29 0.1167916308 0.0011445964 4.760237e-02
## 2008-10-30 0.0599179930 0.0634524731 8.147137e-02
## 2008-10-31 -0.0333568456 0.0326110141 2.073621e-02
## 2008-11-03 0.0374139439 -0.0310603535 1.696720e-02
## 2008-11-04 0.0633752625 0.0068049856 1.032471e-01
## 2008-11-05 -0.0296345373 -0.0611881190 -1.749630e-02
## 2008-11-06 -0.0960299570 -0.0405455317 -3.326890e-02
## 2008-11-07 0.0322824030 -0.0242891144 7.568402e-03
## 2008-11-10 -0.0072727201 -0.0291441384 2.111665e-02
## 2008-11-11 -0.0747252975 -0.0479463997 -3.553096e-02
## 2008-11-12 -0.0043548042 -0.0284649984 -6.792336e-02
## 2008-11-13 -0.0206759072 0.1011942883 8.568645e-03
## 2008-11-14 0.0008121682 -0.0476874001 -1.484884e-02
## 2008-11-17 -0.0296145804 -0.0047277696 -3.123288e-02
## 2008-11-18 -0.0071072842 0.0071258597 -1.331299e-02
## 2008-11-19 -0.0597892780 -0.0600346028 -3.202477e-02
## 2008-11-20 -0.0170174424 -0.0052462837 3.358952e-03
## 2008-11-21 -0.0214123246 0.0979133816 2.509265e-04
## 2008-11-24 0.1075418475 0.0509605662 8.542503e-02
## 2008-11-25 0.0340479641 -0.0204687183 2.466661e-02
## 2008-11-26 0.0097561949 0.0803409845 -5.122990e-02
## 2008-11-28 -0.0152980779 0.0000000000 6.255938e-02
## 2008-12-01 -0.0314800037 -0.0982164698 -4.201185e-02
## 2008-12-02 0.0227944428 0.0414416988 2.811974e-02
## 2008-12-03 -0.0111432427 0.0399916641 -2.197278e-03
## 2008-12-04 0.0108514745 0.0186236880 -2.756250e-02
## 2008-12-05 -0.0582163718 0.0265593604 -1.225897e-02
## 2008-12-08 0.0162210644 0.0530553864 2.608683e-02
## 2008-12-09 0.0923209592 -0.0575035848 4.283534e-02
## 2008-12-10 0.0639809819 -0.0460900459 1.957731e-02
## 2008-12-11 -0.0170748892 -0.0350495659 9.709547e-03
## 2008-12-12 0.0203925327 0.0131338080 -2.188735e-02
## 2008-12-15 -0.0096223293 -0.0239012720 -2.164342e-02
## 2008-12-16 0.0175634581 0.0300889408 2.354715e-02
## 2008-12-17 -0.0216673661 0.0201451996 -1.055036e-02
## 2008-12-18 0.0056308623 0.0404813483 3.406027e-03
## 2008-12-19 0.0149307936 -0.0271397038 -7.375402e-05
## 2008-12-22 -0.0286869416 -0.0421381332 -2.051656e-02
## 2008-12-23 -0.0102234738 -0.0232172614 -5.048125e-03
## 2008-12-29 0.0087988891 0.0204333164 2.991277e-02
## 2008-12-30 0.0291998787 0.0153246427 3.161770e-02
## 2009-01-02 0.0246868198 0.0678209779 4.297908e-02
## 2009-01-05 0.0025169846 0.0071616809 1.482945e-02
## 2009-01-06 0.0473457457 -0.0202097428 4.033703e-02
## 2009-01-07 -0.0123287878 -0.0362873579 -2.006599e-02
## 2009-01-08 -0.0124826426 0.0184305249 -1.122831e-03
## 2009-01-09 -0.0308989471 -0.0346371127 -1.798748e-02
## 2009-01-12 -0.0271739426 0.0102802207 3.367287e-03
## 2009-01-13 0.0085661742 -0.0123704845 -2.053703e-02
## 2009-01-14 -0.0620384079 -0.0575755367 -2.823056e-02
## 2009-01-15 0.0055118861 0.0066452600 1.043574e-02
## 2009-01-16 0.0191855223 -0.0034073358 4.396157e-03
## 2009-01-20 -0.0418747638 -0.0568375686 -4.328489e-02
## 2009-01-21 0.0268644421 0.0344363183 3.747298e-02
## 2009-01-22 0.0234285143 -0.0006572824 -2.330972e-02
## 2009-01-23 -0.0095386888 0.0010956753 -1.634051e-02
## 2009-01-26 0.0608631405 -0.0002191271 5.537335e-02
## 2009-01-27 -0.0007262201 -0.0035033231 -4.729009e-02
## 2009-01-28 0.0432412125 0.0459240356 2.173892e-02
## 2009-01-29 -0.0372691199 -0.0338235447 4.964614e-04
## 2009-01-30 -0.0184516326 -0.0160904953 1.630482e-03
## 2009-02-02 0.0033174440 -0.0181214883 2.576090e-02
## 2009-02-03 0.0088169579 0.0420888244 -8.624427e-03
## 2009-02-04 0.0335034911 -0.0112313481 1.962566e-02
## 2009-02-05 0.0035234561 0.0310182644 -6.893851e-03
## 2009-02-06 0.0210674792 0.0313556300 1.931269e-02
## 2009-02-09 0.0037826253 -0.0186931976 1.422714e-02
## 2009-02-10 -0.0171291572 -0.0569400537 -1.662019e-02
## 2009-02-11 -0.0118510039 -0.0164258481 -1.750959e-02
## 2009-02-12 -0.0370368693 0.0033854785 -4.224843e-02
## 2009-02-13 -0.0065934836 -0.0231671837 5.100832e-03
## 2009-02-17 -0.0317108988 -0.0343083933 -5.110809e-02
## 2009-02-18 -0.0156130647 0.0376736042 -4.384168e-02
## 2009-02-19 -0.0131527780 -0.0163143810 7.405633e-03
## 2009-02-20 -0.0078401961 0.0028030599 -3.003037e-02
## 2009-02-23 -0.0363490293 -0.0307478830 -2.555830e-02
## 2009-02-24 0.0020500551 0.0319634438 1.414867e-02
## 2009-02-25 -0.0073650113 -0.0183978423 2.904445e-02
## 2009-02-26 -0.0028855459 -0.0265719246 -2.077240e-02
## 2009-02-27 -0.0487805846 0.0121864432 -3.230492e-02
## 2009-03-02 -0.0004344655 -0.0426198698 -2.970201e-02
## 2009-03-03 -0.0043478479 0.0072939009 -1.612503e-02
## 2009-03-04 0.0013100241 0.0624219977 -1.402199e-03
## 2009-03-05 -0.0087221374 -0.0387488222 4.387584e-04
## 2009-03-06 0.0092388054 0.0000000000 -6.728654e-02
## 2009-03-09 0.0300786967 -0.0343010710 -3.085022e-02
## 2009-03-10 0.0558609564 0.0788177523 4.590477e-02
## 2009-03-11 -0.0076151488 0.0437392326 2.811499e-02
## 2009-03-12 0.0072697293 0.0267097104 1.074005e-02
## 2009-03-13 -0.0220527738 0.0017942572 9.018825e-03
## 2009-03-16 0.0000000000 -0.0170139496 2.646014e-02
## 2009-03-17 -0.0225501637 0.0341608018 -8.276453e-03
## 2009-03-18 -0.0020975018 0.0112311919 2.590595e-02
## 2009-03-19 0.0239597924 0.0126301274 1.364295e-02
## 2009-03-20 -0.0139573259 -0.0318279219 1.153664e-02
## 2009-03-23 0.0258116001 0.0577530345 -1.223138e-02
## 2009-03-24 0.0320617305 -0.0424196533 9.872854e-03
## 2009-03-25 0.0408966448 0.0168858478 2.485444e-03
## 2009-03-26 -0.0079335721 0.0265257446 -2.413236e-02
## 2009-03-27 -0.0415077733 -0.0159661856 -3.497614e-02
## 2009-03-30 -0.0290028023 -0.0123826692 -2.975019e-02
## 2009-03-31 0.0253681266 0.0136189895 3.355678e-02
## 2009-04-01 0.0031924022 0.0023455839 -1.312685e-02
## 2009-04-02 0.0497214934 0.0742553479 7.156150e-02
## 2009-04-03 0.0253883720 0.0273323818 4.650789e-02
## 2009-04-06 -0.0136733206 -0.0115674053 3.906383e-02
## 2009-04-07 -0.0142376135 -0.0275014957 -4.566257e-03
## 2009-04-08 -0.0011401426 0.0076211840 2.714071e-02
## 2009-04-09 0.0506087374 0.0603104543 3.714182e-02
## 2009-04-14 -0.0003622112 -0.0351039757 5.691106e-02
## 2009-04-15 -0.0007245979 0.0138130648 2.913026e-02
## 2009-04-16 0.0058014216 0.0318558214 2.216924e-02
## 2009-04-17 -0.0007210274 0.0156221296 3.931082e-02
## 2009-04-20 -0.0194805732 -0.0412012058 -2.397387e-02
## 2009-04-21 0.0360560167 0.0173794155 1.953568e-02
## 2009-04-22 0.0383521640 0.0324764417 -2.009742e-02
## 2009-04-23 0.0294118311 -0.0110910106 8.980862e-03
## 2009-04-24 0.0169435064 0.0062507930 7.133460e-03
## 2009-04-27 -0.0143744201 -0.0109627268 -6.080107e-03
## 2009-04-28 -0.0248591175 0.0269722210 -2.345974e-02
## 2009-04-29 -0.0248130341 -0.0473104895 5.682987e-03
## 2009-04-30 -0.0024399076 -0.0092526918 4.186755e-02
## 2009-05-04 0.0307477158 0.0533640694 2.218759e-02
## 2009-05-05 -0.1118642388 -0.0048849386 -1.627952e-02
## 2009-05-06 -0.0442748867 -0.0070910545 0.000000e+00
## 2009-05-07 0.0095845681 -0.0280168831 -7.048729e-03
## 2009-05-08 -0.0028249078 0.0252450249 -5.185189e-02
## 2009-05-11 0.0174019880 -0.0235210265 -7.161380e-03
## 2009-05-12 0.0401748191 -0.0406472293 1.796718e-02
## 2009-05-13 -0.0439768286 -0.0286385789 3.800513e-03
## 2009-05-14 -0.0316000546 0.0288771980 1.789916e-01
## 2009-05-15 -0.0090872767 -0.0235526677 -3.966679e-04
## 2009-05-18 0.0621093424 0.0291458851 3.491154e-02
## 2009-05-19 0.0529826595 0.0164063991 3.648107e-02
## 2009-05-20 0.0231085429 -0.0259416654 2.773827e-02
## 2009-05-21 -0.0437158870 0.0130202913 -1.811313e-02
## 2009-05-22 0.0015238424 0.0206424144 -2.241754e-02
## 2009-05-26 0.0015214790 0.0335813499 6.873130e-03
## 2009-05-27 -0.0026586104 0.0044307197 2.711935e-02
## 2009-05-28 -0.0156129998 0.0128651526 -3.649349e-02
## 2009-05-29 -0.0015474675 0.0352022497 2.031758e-02
## 2009-06-01 0.0333203844 0.0387381193 2.286269e-02
## 2009-06-02 0.0044995788 -0.0241311246 -1.141525e-03
## 2009-06-03 -0.0182905026 0.0058795643 -2.827287e-03
## 2009-06-04 -0.0140684421 0.0064714929 2.050977e-03
## 2009-06-05 0.0046278078 0.0130347647 1.745594e-03
## 2009-06-08 -0.0130518115 -0.0049750381 -1.652613e-02
## 2009-06-09 0.0042784802 0.0113790885 -1.118242e-02
## 2009-06-10 0.0731992486 -0.0274463595 2.997150e-02
## 2009-06-11 0.0061347716 -0.0075371017 2.603960e-02
## 2009-06-12 -0.0362265085 -0.0001766474 2.865118e-03
## 2009-06-15 -0.0055825864 -0.0118354700 -2.215730e-02
## 2009-06-16 -0.0074850593 -0.0109045589 -2.480614e-02
## 2009-06-17 0.0120664482 -0.0126510597 -5.136367e-02
## 2009-06-18 -0.0011178793 0.0305691216 7.412802e-03
## 2009-06-19 0.0000000000 0.0071048528 1.522809e-02
## 2009-06-22 -0.0197685241 -0.0253969481 -4.247814e-02
## 2009-06-23 0.0232116290 -0.0311259014 -3.225258e-03
## 2009-06-24 0.0312382590 -0.0097116658 5.262811e-02
## 2009-06-25 -0.0068518794 -0.0328185051 -2.684914e-02
## 2009-06-26 -0.0054466019 -0.0085799971 -2.688052e-02
## 2009-06-29 0.0007301878 0.0178992478 3.855324e-02
## 2009-06-30 -0.0113096738 0.0005797039 -5.166572e-03
## 2009-07-01 0.0166051000 0.0123603251 1.327189e-02
## 2009-07-02 -0.0257712724 -0.0259445846 -7.339756e-03
## 2009-07-06 -0.0193740472 0.0166471613 -4.506636e-02
## 2009-07-07 -0.0091187818 -0.0134849858 1.935744e-03
## 2009-07-08 -0.0145704404 0.0058581681 -2.624926e-02
## 2009-07-09 -0.0163423768 -0.0087360748 -4.720854e-03
## 2009-07-10 0.0019778559 0.0047005233 -9.211450e-03
## 2009-07-13 0.0138175227 0.0046784217 3.947833e-02
## 2009-07-14 0.0218069138 0.0069845704 -3.537849e-03
## 2009-07-15 0.0099086386 0.0198460085 5.800826e-02
## 2009-07-16 0.0128301761 0.0049116327 -3.167443e-04
## 2009-07-17 0.0081966128 -0.0141002496 -5.256516e-03
## 2009-07-20 0.0192166236 0.0074378548 1.585267e-02
## 2009-07-21 0.0152283922 -0.0143863881 3.296575e-02
## 2009-07-22 0.0000000000 -0.0103705450 1.820045e-03
## 2009-07-23 0.0221428942 -0.0075681065 2.440692e-02
## 2009-07-24 0.0150244843 0.0201406051 2.542010e-03
## 2009-07-27 0.0003442111 0.0038337598 8.491367e-03
## 2009-07-28 -0.0127322388 0.0103110260 1.110984e-03
## 2009-07-29 0.0484489440 0.0275939090 1.524450e-02
## 2009-07-30 -0.0073139676 0.0316353106 2.364511e-02
## 2009-07-31 -0.0070327061 0.0098053953 -5.620742e-04
## 2009-08-03 0.0259696199 -0.0003528710 2.226875e-02
## 2009-08-04 0.0003287479 0.0162483668 1.490733e-02
## 2009-08-05 0.0591521510 -0.0090369330 4.368541e-02
## 2009-08-06 -0.0006204985 0.0105226094 3.318454e-02
## 2009-08-07 0.0360136678 0.0078099003 -4.584053e-02
## 2009-08-10 0.0017980785 -0.0160149802 -4.651545e-02
## 2009-08-11 -0.0478613841 -0.0061255022 -1.596677e-02
## 2009-08-12 -0.0062833316 0.0128543690 -1.555229e-02
## 2009-08-13 0.0028454706 0.0050418336 6.438910e-02
## 2009-08-14 0.0012609499 -0.0164334191 3.632867e-02
## 2009-08-17 0.0044082112 -0.0249735849 -1.602799e-02
## 2009-08-18 0.0097178094 0.0030662094 1.203278e-02
## 2009-08-19 -0.0009315082 0.0208600151 -4.257363e-03
## 2009-08-20 0.0059043704 0.0040513580 3.514430e-02
## 2009-08-21 0.0169910346 -0.0236842496 1.662573e-03
## 2009-08-24 -0.0103281298 0.0062891046 -1.081236e-02
## 2009-08-25 0.0178024828 -0.0149999410 9.151050e-03
## 2009-08-26 0.0141736438 0.0052576496 2.015120e-02
## 2009-08-27 -0.0187333535 0.0248874212 -2.390141e-02
## 2009-08-28 0.0000000000 -0.0114378588 1.887091e-02
## 2009-08-31 -0.0042424268 -0.0140617245 -2.080555e-02
## 2009-09-01 -0.0276930458 -0.0185954468 -2.586218e-03
## 2009-09-02 -0.0143976754 -0.0193157722 -2.659002e-02
## 2009-09-03 -0.0003174279 0.0271457458 2.423483e-02
## 2009-09-04 0.0025411263 0.0093057075 5.058637e-02
## 2009-09-08 0.0329531840 0.0186244711 5.814978e-02
## 2009-09-09 0.0432517168 0.0019914218 1.990820e-02
## 2009-09-10 -0.0282273185 0.0012642036 -1.124329e-03
## 2009-09-11 -0.0042358310 -0.0077586313 -1.873109e-02
## 2009-09-14 0.0249164211 -0.0014547813 1.404111e-02
## 2009-09-15 -0.0008893915 -0.0040065781 -4.479825e-03
## 2009-09-16 0.0682492084 0.0455295139 4.086381e-02
## 2009-09-17 0.0138887800 0.0159144847 6.244582e-03
## 2009-09-18 -0.0043833021 0.0086075455 -3.458895e-02
## 2009-09-21 -0.0121081294 -0.0006829805 -2.112797e-03
## 2009-09-22 -0.0013926977 0.0003417710 4.730062e-03
## 2009-09-23 0.0083683653 -0.0046100137 1.170251e-02
## 2009-09-24 -0.0179804443 -0.0022296592 -2.880722e-03
## 2009-09-25 0.0140841934 0.0080796533 -2.177640e-03
## 2009-09-28 0.0066664510 0.0061390329 -1.331890e-02
## 2009-09-29 -0.0091058096 0.0184747302 2.483166e-03
## 2009-09-30 0.0072404633 0.0767178911 2.193113e-02
## 2009-10-01 -0.0185234103 -0.0340028583 -2.798229e-02
## 2009-10-02 -0.0166198977 -0.0076799375 -4.125488e-02
## 2009-10-05 0.0037237474 0.0122542270 7.187381e-03
## 2009-10-06 0.0273972465 0.0049377361 4.694824e-02
## 2009-10-07 -0.0241665915 0.0052303002 9.013458e-03
## 2009-10-08 -0.0179333989 0.0094608166 -1.866415e-03
## 2009-10-09 0.0101446938 -0.0067165635 6.723294e-03
## 2009-10-12 -0.0028690471 -0.0053462994 7.474565e-03
## 2009-10-13 -0.0126620053 0.0067979762 -1.180912e-02
## 2009-10-14 0.0422616530 0.0191586995 2.887596e-02
## 2009-10-15 0.0151006182 0.0009240538 -5.483182e-03
## 2009-10-16 -0.0041320857 0.0021553009 -1.840855e-02
## 2009-10-19 0.0124480175 0.0152073722 2.162848e-02
## 2009-10-20 -0.0215846748 -0.0151308362 -2.610602e-02
## 2009-10-21 -0.0150795338 -0.0052236040 -2.867324e-02
## 2009-10-22 -0.0085057783 0.0067955757 -1.917634e-02
## 2009-10-23 -0.0077208927 -0.0156468560 3.686296e-03
## 2009-10-26 -0.0279539899 -0.0065449865 -1.287759e-02
## 2009-10-27 -0.0097835508 0.0053333153 -2.514962e-02
## 2009-10-28 -0.0374251890 -0.0237166143 -3.565379e-02
## 2009-10-29 0.0189735406 0.0182195893 4.979706e-02
## 2009-10-30 -0.0384614887 -0.0240148996 -8.733093e-03
## 2009-11-02 0.0380954234 0.0051461579 1.766814e-02
## 2009-11-03 -0.0018351354 0.0025600383 -9.839489e-03
## 2009-11-04 0.0376838365 0.0011171623 4.596048e-02
## 2009-11-05 0.0100384774 0.0323609355 1.534734e-02
## 2009-11-06 0.0008770156 -0.0030882651 3.193826e-03
## 2009-11-09 0.0163551129 0.0117719333 4.457433e-02
## 2009-11-10 0.0074711374 -0.0130128995 -8.328532e-03
## 2009-11-11 0.0233885625 0.0071350468 -2.943783e-03
## 2009-11-12 -0.0089183832 -0.0129370106 1.276506e-02
## 2009-11-13 0.0059050833 0.0051492970 -1.097501e-02
## 2009-11-16 0.0223652011 0.0260785091 1.140008e-02
## 2009-11-17 -0.0131255390 -0.0172466769 -1.427178e-02
## 2009-11-18 0.0038793238 -0.0083123896 -1.352157e-02
## 2009-11-19 -0.0198731036 -0.0133503131 -2.283049e-02
## 2009-11-20 -0.0053507789 0.0056640033 2.931860e-03
## 2009-11-23 0.0325595567 0.0089174388 4.092471e-02
## 2009-11-24 -0.0054838201 0.0004651363 -3.326728e-03
## 2009-11-25 0.0391506339 0.0182889740 2.245427e-02
## 2009-11-27 0.0039799764 -0.0098933872 -1.899361e-02
## 2009-11-30 0.0076640518 -0.0024595127 -1.119310e-02
## 2009-12-01 0.0097033974 0.0078594265 2.076040e-02
## 2009-12-02 -0.0155842020 -0.0007647227 1.001936e-02
## 2009-12-03 -0.0187336535 0.0062237977 -3.561290e-03
## 2009-12-04 0.0142512676 -0.0057215410 2.420810e-02
## 2009-12-07 0.0129901803 0.0037326216 -1.528645e-02
## 2009-12-08 -0.0120386093 -0.0156492301 -1.898245e-02
## 2009-12-09 -0.0002648830 -0.0248699929 -1.092202e-02
## 2009-12-10 -0.0100688130 0.0121064985 1.356409e-02
## 2009-12-11 0.0096360235 0.0185007397 7.892349e-03
## 2009-12-14 -0.0018559049 0.0046979665 -1.319257e-03
## 2009-12-15 0.0095616150 0.0029612338 -8.479974e-03
## 2009-12-16 0.0049986922 -0.0046621930 1.646016e-02
## 2009-12-17 0.0112566881 -0.0124895861 -7.314393e-03
## 2009-12-18 -0.0015532456 0.0184977972 -1.111704e-02
## 2009-12-21 0.0046669554 0.0071402551 -4.651851e-03
## 2009-12-22 -0.0051614921 0.0033909681 1.267917e-02
## 2009-12-23 -0.0036314664 0.0052228840 -3.503767e-03
## 2009-12-28 0.0091120001 0.0009168574 8.919109e-03
## 2009-12-29 -0.0095458042 0.0108395269 -2.804924e-03
## 2009-12-30 -0.0161498202 -0.0010569117 -1.184925e-02
daily_return.NA <- daily_return[complete.cases(daily_return), ]
daily_return.NA
## daily.returns daily.returns.1 daily.returns.2
## 2007-01-03 0.0000000000 0.0000000000 0.000000e+00
## 2007-01-04 -0.0060479073 0.0102383020 -2.027591e-02
## 2007-01-05 -0.0132273435 0.0016215920 -1.121716e-02
## 2007-01-08 0.0048256640 -0.0030354266 -6.586170e-03
## 2007-01-09 -0.0133404065 0.0124839728 -1.388401e-02
## 2007-01-10 0.0013520415 0.0000000000 -2.991787e-03
## 2007-01-11 0.0008102024 0.0022049215 2.372448e-02
## 2007-01-12 0.0107934789 -0.0022000705 1.389803e-02
## 2007-01-16 -0.0013350438 0.0021046794 -1.176853e-02
## 2007-01-17 0.0032077922 -0.0015004731 -7.159284e-03
## 2007-01-18 0.0231813707 -0.0015023240 -1.074427e-03
## 2007-01-19 0.0054687900 0.0027084406 -7.461593e-03
## 2007-01-22 -0.0080289697 -0.0224132568 -6.433589e-03
## 2007-01-23 -0.0099216667 -0.0096215742 7.319940e-03
## 2007-01-24 -0.0192510633 0.0008266619 -5.310266e-03
## 2007-01-25 -0.0086043627 -0.0103263346 -1.443534e-02
## 2007-01-26 -0.0059669565 -0.0066772000 -1.357746e-02
## 2007-01-29 -0.0021828181 0.0117647424 6.141465e-03
## 2007-01-30 0.0068360989 0.0148458715 -1.543992e-02
## 2007-01-31 0.0027158337 0.0108441583 1.641156e-02
## 2007-02-01 0.0062298709 0.0189253649 3.875147e-02
## 2007-02-02 0.0048452805 -0.0047677865 2.245112e-03
## 2007-02-05 0.0233053685 -0.0077844171 -5.169487e-04
## 2007-02-06 0.0041886258 0.0176022282 7.517285e-03
## 2007-02-07 -0.0054743965 0.0170997935 -6.331795e-03
## 2007-02-08 0.0020968646 0.0047623700 -4.339795e-03
## 2007-02-09 -0.0086317438 0.0020307846 1.141553e-03
## 2007-02-12 -0.0026387660 0.0074322867 2.073238e-03
## 2007-02-13 0.0023810301 0.0079524709 0.000000e+00
## 2007-02-14 0.0110847350 0.0017110531 2.068949e-02
## 2007-02-15 -0.0020882992 0.0012336497 -5.912233e-03
## 2007-02-16 -0.0057544959 0.0074873026 -1.447723e-02
## 2007-02-20 -0.0110499322 0.0047976904 -4.482933e-02
## 2007-02-21 -0.0026601371 0.0028088954 1.227495e-02
## 2007-02-22 0.0008001958 0.0104568269 -1.497998e-03
## 2007-02-23 0.0154586497 -0.0017562924 1.564449e-02
## 2007-02-26 -0.0034121695 -0.0019430090 -5.486309e-03
## 2007-02-27 -0.0123782971 -0.0357973831 -3.232064e-02
## 2007-02-28 -0.0101332636 0.0048092834 -1.881961e-02
## 2007-03-01 -0.0078126143 0.0078492635 -5.586685e-03
## 2007-03-02 -0.0103174389 -0.0135816154 -1.685219e-03
## 2007-03-05 -0.0260631175 -0.0134796312 -1.988260e-03
## 2007-03-06 -0.0022535288 0.0257660200 -1.135275e-02
## 2007-03-07 -0.0033880492 -0.0048525959 1.041839e-02
## 2007-03-08 0.0254958503 0.0292240087 6.284258e-03
## 2007-03-09 0.0262430115 0.0119501362 6.432043e-03
## 2007-03-12 -0.0029608600 -0.0023622722 -1.107277e-02
## 2007-03-13 -0.0107993387 -0.0094691132 -4.395969e-03
## 2007-03-14 -0.0062771440 0.0021030671 -1.822794e-02
## 2007-03-15 0.0060422078 0.0080137091 1.376133e-02
## 2007-03-16 0.0182910629 0.0171301705 8.038548e-03
## 2007-03-19 0.0147454221 0.0079095643 3.686282e-03
## 2007-03-20 0.0224570675 0.0085852916 1.113086e-02
## 2007-03-21 0.0025838378 -0.0036610532 -1.037822e-02
## 2007-03-22 0.0038657681 -0.0022968061 1.910148e-03
## 2007-03-23 0.0220798536 0.0041435760 5.233714e-03
## 2007-03-26 -0.0178347738 -0.0023837373 -5.838566e-03
## 2007-03-27 0.0398975747 -0.0204066442 2.423891e-02
## 2007-03-28 -0.0007375686 -0.0135122847 -1.077354e-02
## 2007-03-29 0.0110754963 -0.0015218607 7.937421e-03
## 2007-03-30 -0.0036513315 0.0122892479 2.527217e-03
## 2007-04-02 0.0078180434 0.0015995817 7.233866e-03
## 2007-04-03 0.0021819783 -0.0002817561 8.524125e-03
## 2007-04-04 -0.0007257920 0.0073309156 2.503233e-02
## 2007-04-05 0.0072623308 -0.0020528088 1.026316e-01
## 2007-04-10 0.0216293198 0.0099107745 9.444712e-02
## 2007-04-11 0.0096445383 -0.0003705882 1.793956e-02
## 2007-04-12 -0.0041936434 0.0044450788 4.737016e-02
## 2007-04-13 0.0114644846 -0.0106947950 1.468540e-03
## 2007-04-16 0.0154986495 0.0134198656 -4.721696e-03
## 2007-04-17 0.0273348932 -0.0040459980 1.768052e-03
## 2007-04-18 -0.0133039384 -0.0048018155 2.957312e-05
## 2007-04-19 -0.0006739223 -0.0076081023 0.000000e+00
## 2007-04-20 -0.0076456370 0.0009348589 -2.529601e-03
## 2007-04-23 -0.0006799891 0.0005605623 -9.258881e-03
## 2007-04-24 -0.0058956646 -0.0009332187 -1.190187e-03
## 2007-04-25 0.0027372782 0.0020555114 2.532738e-03
## 2007-04-26 0.0015923032 0.0041024680 -2.676032e-04
## 2007-04-27 -0.0063592262 0.0052009826 -2.051315e-03
## 2007-04-30 0.0022857574 -0.0048037545 -1.996168e-03
## 2007-05-02 -0.0193843223 -0.0070558152 4.477748e-03
## 2007-05-03 -0.0120929098 -0.0037396799 -5.052132e-03
## 2007-05-04 -0.0042373100 0.0001878942 3.584175e-03
## 2007-05-07 0.0000000000 0.0108836870 -2.976145e-03
## 2007-05-08 0.0730494544 -0.0022272482 -8.955020e-03
## 2007-05-09 0.0068299358 0.0031626254 3.012002e-03
## 2007-05-10 -0.0166302941 -0.0113130296 -9.010925e-04
## 2007-05-11 0.0040431031 -0.0052523195 3.015259e-05
## 2007-05-14 0.0067115242 -0.0030176475 1.592900e-03
## 2007-05-15 0.0068887371 -0.0054851379 -7.200265e-04
## 2007-05-16 -0.0068416071 0.0077981522 -3.002957e-03
## 2007-05-17 0.0022220801 -0.0007551970 4.005908e-03
## 2007-05-18 0.0155210163 0.0056659149 -6.089913e-03
## 2007-05-21 -0.0176857000 0.0268544558 3.319101e-04
## 2007-05-22 0.0037787251 0.0082300379 1.780355e-03
## 2007-05-23 0.0050929764 -0.0056236912 -1.475991e-03
## 2007-05-24 -0.0101343121 -0.0063845304 8.748130e-04
## 2007-05-25 0.0164700081 -0.0034880417 3.013818e-04
## 2007-05-29 0.0166413416 0.0081062554 -9.340981e-04
## 2007-05-30 0.0073225610 0.0184576259 1.025320e-03
## 2007-05-31 0.0143254680 0.0183025159 -1.686761e-03
## 2007-06-01 -0.0050589760 -0.0010570513 4.375499e-03
## 2007-06-04 -0.0042372237 0.0095252566 -3.966239e-03
## 2007-06-05 -0.0170213009 -0.0059414301 1.508548e-03
## 2007-06-06 -0.0177488732 -0.0207412009 -1.506276e-03
## 2007-06-07 -0.0024241336 -0.0158270656 -1.930493e-03
## 2007-06-08 -0.0008833916 -0.0210718614 2.719867e-04
## 2007-06-11 -0.0053064588 0.0083084135 2.568462e-03
## 2007-06-12 -0.0091130609 -0.0039327622 -2.411260e-03
## 2007-06-13 -0.0087483131 0.0054520369 -7.249681e-04
## 2007-06-14 0.0219506948 0.0037396451 -3.012265e-05
## 2007-06-15 0.0108504598 -0.0048431379 3.022006e-04
## 2007-06-18 -0.0043812800 0.0039306867 6.045633e-04
## 2007-06-19 -0.0165015995 0.0162226439 -4.530968e-04
## 2007-06-20 0.0069349982 -0.0159636709 -2.568781e-03
## 2007-06-21 -0.0004444091 -0.0009325969 0.000000e+00
## 2007-06-22 -0.0048897561 -0.0117579373 0.000000e+00
## 2007-06-25 -0.0002236398 0.0162419939 1.512826e-04
## 2007-06-26 0.0026811853 0.0001857278 6.091832e-05
## 2007-06-27 0.0004455881 0.0830547036 1.151024e-03
## 2007-06-28 0.0135858182 0.0000000000 0.000000e+00
## 2007-06-29 0.0279058782 0.0000000000 -9.074947e-04
## 2007-07-02 -0.0006415209 0.0018872021 -6.059603e-04
## 2007-07-03 0.0198933710 0.0099316273 1.213899e-04
## 2007-07-05 -0.0079699162 0.0062729419 -1.213752e-04
## 2007-07-06 0.0097251856 0.0053916646 1.515128e-04
## 2007-07-09 -0.0090030582 -0.0098877365 0.000000e+00
## 2007-07-10 -0.0181706484 -0.0106631231 -1.514899e-04
## 2007-07-11 -0.0068861269 0.0000000000 0.000000e+00
## 2007-07-12 0.0117010133 0.0172794087 -4.424272e-03
## 2007-07-13 0.0017133353 -0.0075679173 -8.126865e-03
## 2007-07-16 -0.0196707589 -0.0038977127 -2.415063e-02
## 2007-07-17 -0.0058885492 0.0113985162 -5.534607e-03
## 2007-07-18 -0.0144799681 0.0038685399 -7.526045e-03
## 2007-07-19 0.0046746708 0.0025135199 -1.398696e-02
## 2007-07-20 -0.0026589074 -0.0218954008 8.336720e-03
## 2007-07-23 0.0008888991 0.0150377306 -3.044337e-03
## 2007-07-24 -0.0059935209 -0.0176768137 -1.485065e-02
## 2007-07-25 -0.0127289505 -0.0089118147 -7.863392e-03
## 2007-07-26 -0.0065596318 -0.0160813504 -4.117469e-02
## 2007-07-27 -0.0059197318 -0.0256595367 1.186745e-02
## 2007-07-30 0.0185525663 0.0252527548 -2.948915e-03
## 2007-07-31 0.0078702311 -0.0068612252 0.000000e+00
## 2007-08-01 -0.0316821483 0.0079717911 2.889736e-03
## 2007-08-02 -0.0195852771 0.0008785480 -6.745935e-03
## 2007-08-03 0.0047003952 -0.0079019153 -1.511939e-02
## 2007-08-06 0.0046782913 0.0171687006 3.846447e-03
## 2007-08-07 0.0039582032 0.0102659060 3.176011e-03
## 2007-08-08 0.0051021205 -0.0249740830 1.348927e-02
## 2007-08-09 0.0023071058 -0.0478713039 3.700849e-03
## 2007-08-10 -0.0145025962 0.0348790781 -3.568891e-02
## 2007-08-13 0.0039708351 0.0066330432 -9.892488e-03
## 2007-08-14 -0.0072126414 -0.0265355608 -6.483921e-03
## 2007-08-15 0.0138270834 -0.0199417719 -8.451927e-03
## 2007-08-16 -0.0406842303 -0.0070932453 -4.398639e-02
## 2007-08-17 0.0130122079 0.0240644345 3.950129e-03
## 2007-08-20 -0.0009515815 -0.0016521245 2.195920e-02
## 2007-08-21 -0.0028571746 -0.0047813871 -1.650353e-03
## 2007-08-22 0.0171918786 0.0012934812 -3.452370e-03
## 2007-08-23 0.0058685559 -0.0029528280 1.728526e-02
## 2007-08-24 -0.0107350399 0.0016659370 2.456341e-02
## 2007-08-27 0.0073131437 -0.0044346735 3.536014e-04
## 2007-08-28 -0.0170961245 -0.0064957360 6.892871e-03
## 2007-08-29 0.0007148404 0.0360547492 3.405393e-03
## 2007-08-30 0.0021429315 0.0054089688 7.872047e-03
## 2007-08-31 0.0251839406 0.0104017354 2.315428e-02
## 2007-09-04 0.0057938663 0.0014201296 1.859246e-02
## 2007-09-05 -0.0011520702 -0.0168379685 3.297577e-03
## 2007-09-06 -0.0078433315 0.0195506747 2.589531e-03
## 2007-09-07 -0.0123224712 -0.0197138952 -2.264983e-02
## 2007-09-10 -0.0025893943 0.0082271510 -1.490745e-02
## 2007-09-11 0.0035402008 0.0068901049 1.251912e-02
## 2007-09-12 0.0000000000 0.0099045348 0.000000e+00
## 2007-09-13 0.0051740023 0.0142659026 9.103680e-03
## 2007-09-14 -0.0032758030 0.0061529736 -1.306086e-02
## 2007-09-17 0.0037561197 -0.0160755984 -1.753138e-02
## 2007-09-18 0.0219830293 0.0440418734 1.409499e-02
## 2007-09-19 0.0251715478 -0.0039120149 3.395966e-02
## 2007-09-20 -0.0017856168 -0.0040986961 -5.429887e-03
## 2007-09-21 0.0105097361 -0.0181755053 4.913608e-02
## 2007-09-24 -0.0068598023 0.0096055103 -1.002677e-02
## 2007-09-25 0.0044564765 0.0110707028 -1.750076e-02
## 2007-09-26 -0.0008875186 -0.0010265753 -2.130303e-02
## 2007-09-27 0.0142095698 -0.0037679777 7.266647e-03
## 2007-09-28 0.0070053232 0.0084236184 -2.713332e-03
## 2007-10-01 0.0004346335 0.0124446390 4.711809e-03
## 2007-10-02 -0.0006518253 -0.0038726003 1.162541e-02
## 2007-10-03 0.0034790384 0.0010142551 -4.668495e-03
## 2007-10-04 -0.0104008511 0.0023639827 -4.329633e-03
## 2007-10-05 -0.0122617670 0.0166779678 -2.833203e-03
## 2007-10-08 -0.0312570227 -0.0056335889 -6.111770e-03
## 2007-10-09 0.0146452030 0.0293281602 -1.330045e-04
## 2007-10-10 0.0040597360 0.0014573048 -5.585112e-03
## 2007-10-11 -0.0069633371 -0.0137408479 1.939007e-03
## 2007-10-12 -0.0033926403 0.0350762858 1.000910e-03
## 2007-10-15 -0.0059011407 0.0121930606 5.866912e-03
## 2007-10-16 0.0047944279 -0.0001564542 -8.649457e-03
## 2007-10-17 -0.0022721764 -0.0117353072 1.283645e-02
## 2007-10-18 0.0022773509 0.0015833685 -1.976975e-02
## 2007-10-19 -0.0015903607 0.0011066058 -6.935952e-03
## 2007-10-22 -0.0122896339 -0.0025264884 -6.611722e-03
## 2007-10-23 0.0149770243 0.0150388131 9.625208e-03
## 2007-10-24 -0.0079456017 -0.0102929775 -6.693552e-03
## 2007-10-25 0.0221967396 0.0059875530 7.044922e-03
## 2007-10-26 0.0120886899 0.0120612783 -5.407226e-03
## 2007-10-29 -0.0002211678 0.0094415929 2.956106e-03
## 2007-10-30 -0.0059734169 -0.0044465405 3.963819e-03
## 2007-10-31 0.0249275178 0.0204836579 -1.417254e-03
## 2007-11-01 -0.0054287865 -0.0368247535 -8.752509e-03
## 2007-11-02 -0.0170304522 0.0007834970 -1.152270e-02
## 2007-11-05 -0.0037761792 -0.0076717618 -1.013973e-02
## 2007-11-06 0.0118172293 0.0096243189 3.787321e-02
## 2007-11-07 0.0101366243 -0.0189090644 -6.277738e-03
## 2007-11-08 0.0399211709 0.0082829472 -1.013472e-02
## 2007-11-09 0.0041957535 -0.0172197404 -3.105680e-03
## 2007-11-12 0.0079381564 0.0062691305 5.785570e-03
## 2007-11-13 0.0029015404 0.0222043861 -6.126810e-03
## 2007-11-14 -0.0014466105 -0.0120330048 3.356244e-03
## 2007-11-15 -0.0374584749 -0.0026886689 -2.174288e-02
## 2007-11-16 -0.0012902029 -0.0065030334 -8.022773e-04
## 2007-11-19 -0.0189450605 -0.0102172739 -6.495106e-03
## 2007-11-20 0.0041693649 0.0045161749 -1.054589e-04
## 2007-11-21 -0.0093967345 0.0096340380 -3.863183e-02
## 2007-11-23 0.0147804359 0.0138359367 6.398673e-03
## 2007-11-26 -0.0160870335 -0.0246272184 -4.214307e-03
## 2007-11-27 -0.0112680385 0.0196200043 -4.633845e-03
## 2007-11-28 0.0254749090 0.0285489777 3.628727e-03
## 2007-11-29 -0.0161256980 -0.0076674735 6.866488e-03
## 2007-11-30 0.0070876365 0.0145262690 -3.083403e-03
## 2007-12-03 0.0149547231 0.0205635738 -3.347539e-03
## 2007-12-04 -0.0058503488 -0.0179103982 4.563640e-03
## 2007-12-05 0.0122056414 0.0021276810 1.032133e-02
## 2007-12-06 -0.0189492180 0.0059980985 1.442435e-02
## 2007-12-07 0.0032924051 -0.0001527698 4.219774e-03
## 2007-12-10 0.0218771168 0.0070335658 -7.485906e-03
## 2007-12-11 0.0107042605 -0.0252047896 3.273104e-03
## 2007-12-12 0.0006356007 0.0038938637 -2.269598e-03
## 2007-12-13 -0.0069857271 0.0079130524 -4.833624e-03
## 2007-12-14 0.0136429443 -0.0098522372 5.357143e-03
## 2007-12-17 -0.0126181073 -0.0197448881 -2.486657e-02
## 2007-12-18 0.0089456958 0.0111021195 7.358455e-03
## 2007-12-19 0.0086553226 0.0007844276 -1.142752e-02
## 2007-12-20 0.0117202774 0.0346397665 4.170478e-03
## 2007-12-21 0.0163426950 0.0039387596 -8.597599e-03
## 2007-12-27 0.0164868002 -0.0191641713 6.834814e-03
## 2007-12-28 0.0264317199 -0.0106153224 -3.649745e-03
## 2008-01-02 -0.0245804281 -0.0160161333 9.523163e-04
## 2008-01-03 0.0018000622 -0.0090076221 -6.184542e-03
## 2008-01-04 -0.0055901525 -0.0154676895 -1.347702e-02
## 2008-01-07 -0.0060230636 0.0059923384 -6.311838e-02
## 2008-01-08 -0.0244393928 -0.0045080581 2.410358e-02
## 2008-01-09 -0.0339543196 0.0022642363 2.482007e-02
## 2008-01-10 -0.0263609199 0.0091978360 -4.365333e-03
## 2008-01-11 -0.0138676216 -0.0294209719 -8.654983e-03
## 2008-01-14 -0.0024553010 0.0004940784 -1.999875e-03
## 2008-01-15 -0.0389348969 -0.0604312297 -2.763112e-02
## 2008-01-16 -0.0498251372 0.0106904688 -6.131098e-02
## 2008-01-17 0.0019601963 -0.0293048261 -3.546552e-03
## 2008-01-18 0.0085595229 0.0092890587 1.165177e-02
## 2008-01-22 -0.0240056794 0.0139823773 -5.147423e-02
## 2008-01-23 -0.0449691944 0.0040144567 -4.053518e-02
## 2008-01-24 0.0796045651 -0.0019125035 9.540250e-02
## 2008-01-25 0.0000000000 -0.0245597771 4.705396e-03
## 2008-01-28 -0.0163855396 0.0230356282 -8.028629e-03
## 2008-01-29 0.0222931703 0.0010474113 8.641635e-03
## 2008-01-30 0.0309131115 0.0357453571 8.567692e-03
## 2008-01-31 -0.0125524519 0.0324916293 -4.433766e-03
## 2008-02-01 0.0237759401 0.0192399805 2.376696e-02
## 2008-02-04 -0.0050586293 -0.0283154880 4.553405e-03
## 2008-02-05 -0.0293507036 -0.0154758159 -3.743716e-02
## 2008-02-06 0.0035715911 0.0038460623 1.635641e-02
## 2008-02-07 -0.0111507720 0.0121605569 -2.176098e-02
## 2008-02-08 0.0103165676 -0.0019745689 -5.070727e-04
## 2008-02-11 0.0035621752 0.0003297804 -1.645953e-02
## 2008-02-12 0.0236629949 0.0117044811 2.374685e-02
## 2008-02-13 0.0041608639 0.0192277480 6.429591e-03
## 2008-02-14 0.0004604429 -0.0039972816 -6.638976e-03
## 2008-02-15 -0.0078231727 -0.0001601949 -2.374859e-02
## 2008-02-19 0.0215677236 -0.0187830386 1.506909e-03
## 2008-02-20 -0.0265606816 0.0013085570 -3.847633e-02
## 2008-02-21 0.0037313937 -0.0143791059 1.430752e-02
## 2008-02-22 -0.0116172602 0.0044764870 3.306054e-03
## 2008-02-25 0.0296192392 0.0165042839 1.836468e-02
## 2008-02-26 -0.0041097591 0.0165611107 6.083098e-02
## 2008-02-27 -0.0144427509 -0.0036735470 -7.686394e-03
## 2008-02-28 -0.0234938526 -0.0054502912 -2.209026e-02
## 2008-02-29 -0.0009530862 -0.0296583807 -1.278227e-02
## 2008-03-03 -0.0030995300 -0.0018272577 -3.485301e-02
## 2008-03-04 -0.0086102151 0.0056584160 -1.367968e-02
## 2008-03-05 0.0031362872 0.0062878089 2.122738e-02
## 2008-03-06 -0.0271765761 -0.0051759661 -7.030500e-03
## 2008-03-07 -0.0113719751 -0.0224908575 -5.629330e-03
## 2008-03-10 0.0152535281 -0.0218066987 -5.439668e-03
## 2008-03-11 0.0000000000 0.0166762199 3.997684e-02
## 2008-03-12 0.0197045857 0.0317677572 2.599756e-02
## 2008-03-13 -0.0248791981 0.0212516266 -1.767042e-02
## 2008-03-14 0.0052018726 -0.0175324635 -8.018360e-03
## 2008-03-17 -0.0450959860 -0.0116743381 -3.921836e-02
## 2008-03-18 0.0038708927 0.0406682266 3.761421e-02
## 2008-03-19 -0.0061696403 0.0025946782 2.573865e-03
## 2008-03-20 0.0137092673 0.0879828615 1.643152e-02
## 2008-03-25 0.0609849325 0.0163523820 3.982488e-02
## 2008-03-26 -0.0055316809 -0.0307155527 -1.720649e-02
## 2008-03-27 0.0157195681 -0.0043757106 1.038106e-02
## 2008-03-28 -0.0052382064 -0.0018190999 -1.222379e-04
## 2008-03-31 0.0078985392 0.0324931725 -5.301313e-03
## 2008-04-01 0.0128237152 0.0230883619 2.484240e-02
## 2008-04-02 0.0009376585 -0.0229983607 -6.440030e-03
## 2008-04-03 -0.0112436077 0.0136823631 4.911721e-03
## 2008-04-04 -0.0045013693 -0.0056603562 -1.242046e-03
## 2008-04-07 0.0064257055 -0.0245218755 5.375023e-03
## 2008-04-08 -0.0111140578 -0.0044892618 -1.516105e-02
## 2008-04-09 -0.0164989375 -0.0013525827 -2.009399e-02
## 2008-04-10 -0.0148313344 0.0139975389 -1.653310e-04
## 2008-04-11 -0.0041955782 -0.0100933536 -2.315583e-02
## 2008-04-14 -0.0014868100 -0.0094468421 -1.092105e-02
## 2008-04-15 0.0074459935 -0.0036333277 -1.390918e-02
## 2008-04-16 0.0199556591 0.0037987247 6.119274e-03
## 2008-04-17 -0.0099032987 0.0224007072 -3.882264e-03
## 2008-04-18 0.0153695127 0.0050330439 3.195925e-02
## 2008-04-21 -0.0072080803 0.0107527674 -1.493906e-02
## 2008-04-22 -0.0079863525 -0.0085984619 -7.071681e-03
## 2008-04-23 0.0090265162 -0.0066144327 1.380969e-01
## 2008-04-24 0.0103965042 0.0071026654 -1.111234e-02
## 2008-04-25 -0.0007179194 0.0099908432 1.080516e-02
## 2008-04-28 0.0055078382 -0.0133835081 -5.601278e-03
## 2008-04-29 -0.0264347295 0.0060455431 -2.558483e-02
## 2008-04-30 0.0026906212 -0.0209585008 9.487593e-03
## 2008-05-02 -0.0151256937 0.0128745396 8.480594e-03
## 2008-05-05 0.0007432621 -0.0100504521 -2.097983e-02
## 2008-05-06 0.0569306002 0.0089577696 2.523789e-03
## 2008-05-07 0.0142854478 -0.0122818446 1.360238e-02
## 2008-05-08 0.0163938217 -0.0292133724 -1.747205e-02
## 2008-05-09 0.0225182441 0.0010802745 5.587579e-03
## 2008-05-12 0.0044944046 0.0072451043 1.878652e-02
## 2008-05-13 -0.0049218054 0.0048975984 3.462707e-04
## 2008-05-14 0.0035971676 0.0271093704 1.029864e-02
## 2008-05-15 0.0210574541 0.0085996846 2.792536e-02
## 2008-05-16 0.0267659947 -0.0072033156 -4.208492e-03
## 2008-05-19 -0.0040596317 0.0037021660 7.154811e-03
## 2008-05-20 -0.0268183716 -0.0109177836 1.574621e-02
## 2008-05-21 -0.0149912827 -0.0284904055 -1.570626e-02
## 2008-05-22 0.0132048521 -0.0018424617 6.029506e-02
## 2008-05-23 0.0024301299 -0.0036920103 -2.022280e-02
## 2008-05-27 -0.0088143937 0.0192993378 -3.981675e-05
## 2008-05-28 0.0333481317 0.0205997691 2.959910e-03
## 2008-05-29 -0.0114027456 0.0149897978 3.230605e-03
## 2008-05-30 -0.0137106878 -0.0002924091 -7.948174e-04
## 2008-06-02 -0.0059575191 -0.0179905444 -2.482704e-02
## 2008-06-03 -0.0024417834 -0.0025321661 2.447431e-04
## 2008-06-04 -0.0028928004 0.0144842586 -1.276725e-02
## 2008-06-05 0.0078108094 0.0455087569 2.470765e-02
## 2008-06-06 0.0008856377 -0.0305410619 -1.342675e-02
## 2008-06-09 -0.0154866453 0.0095687718 -1.299661e-02
## 2008-06-10 -0.0056178574 -0.0014581454 -1.436857e-02
## 2008-06-11 -0.0124296699 -0.0151867144 -1.730878e-02
## 2008-06-12 0.0139591709 -0.0097866715 1.598914e-02
## 2008-06-13 0.0042877887 0.0330937118 -9.888291e-03
## 2008-06-16 0.0051684439 -0.0088418357 -1.274990e-02
## 2008-06-17 0.0015651276 -0.0055572300 1.704682e-02
## 2008-06-18 -0.0111609033 -0.0017645379 -1.379822e-02
## 2008-06-19 -0.0221219011 -0.0005896676 -1.141622e-02
## 2008-06-20 -0.0277006128 -0.0163620677 -1.450040e-02
## 2008-06-23 0.0083095326 0.0025478171 -6.123466e-03
## 2008-06-24 -0.0110667326 -0.0139012284 -8.200129e-03
## 2008-06-25 0.0195239654 0.0000000000 1.117453e-03
## 2008-06-26 -0.0397010448 -0.0980751145 -2.700770e-02
## 2008-06-27 -0.0175098422 0.0141175336 -1.775558e-02
## 2008-06-30 -0.0071782091 -0.0120975931 -4.343980e-03
## 2008-07-01 -0.0301671461 -0.0104008151 -3.959441e-02
## 2008-07-02 -0.0023135593 -0.0152571717 -7.818055e-04
## 2008-07-03 0.0036073668 0.0074025193 -1.740311e-02
## 2008-07-07 -0.0005134814 -0.0352017674 -2.537295e-03
## 2008-07-08 -0.0472642476 0.0329433959 -1.785639e-02
## 2008-07-09 0.0191425743 -0.0234908616 9.039713e-03
## 2008-07-10 -0.0121690867 -0.0224760677 -4.122011e-02
## 2008-07-11 -0.0329407502 0.0105984460 -5.459220e-03
## 2008-07-14 0.0033230626 -0.0079983840 -8.181240e-03
## 2008-07-15 -0.0380901400 0.0327893916 -1.170750e-02
## 2008-07-16 0.0473459630 0.0090218172 1.114646e-02
## 2008-07-17 0.0347947449 0.0068775513 2.694634e-02
## 2008-07-18 0.0063540575 -0.0061474747 1.400113e-02
## 2008-07-21 0.0189425100 -0.0118558205 1.907572e-02
## 2008-07-22 0.0033566340 0.0201704953 -1.194397e-02
## 2008-07-23 0.0079770687 0.0090333649 2.067152e-02
## 2008-07-24 -0.0005104442 -0.0180742247 2.607497e-02
## 2008-07-25 -0.0038314826 0.0006880473 3.831136e-03
## 2008-07-28 -0.0151281425 -0.0159874878 -1.173974e-02
## 2008-07-29 0.0187452426 0.0317962673 2.150836e-03
## 2008-07-30 0.0222334884 0.0104970526 2.468315e-02
## 2008-07-31 -0.0147501776 -0.0167556665 -1.190131e-02
## 2008-08-01 -0.0040597822 0.0122698075 9.153896e-03
## 2008-08-04 -0.0224204943 0.0063976718 -1.527843e-03
## 2008-08-05 0.0766224090 0.0301101778 4.193374e-02
## 2008-08-06 0.0561607591 0.0099059823 2.482699e-02
## 2008-08-07 -0.0320880373 -0.0215470191 7.522679e-03
## 2008-08-08 -0.0018943406 0.0345109564 -5.955620e-03
## 2008-08-11 0.0415184672 0.0050833994 6.527620e-03
## 2008-08-12 -0.0205012677 -0.0184921731 -1.643363e-03
## 2008-08-13 -0.0199999341 -0.0020932230 -2.705236e-02
## 2008-08-14 0.0059324787 0.0004838379 -2.378016e-02
## 2008-08-15 -0.0092002030 0.0046777850 1.901907e-02
## 2008-08-18 -0.0242855799 -0.0102746172 -1.195234e-02
## 2008-08-19 -0.0307469156 -0.0100568504 -4.620125e-02
## 2008-08-20 0.0045317756 -0.0060627380 1.946352e-02
## 2008-08-21 -0.0187968624 -0.0011540389 -2.062291e-02
## 2008-08-22 0.0166028153 0.0085823631 1.719768e-02
## 2008-08-25 -0.0201005718 -0.0229095201 4.801352e-04
## 2008-08-26 0.0023076577 -0.0132304524 7.105314e-03
## 2008-08-27 -0.0133023951 0.0127288156 -1.320459e-02
## 2008-08-28 0.0212598999 0.0259766692 2.140001e-02
## 2008-08-29 0.0167555437 -0.0099640331 1.702609e-02
## 2008-09-02 0.0204743581 0.0094043197 3.524937e-02
## 2008-09-03 -0.0178614101 0.0119318858 -2.281931e-02
## 2008-09-04 -0.0226710174 -0.0204949453 -7.078989e-03
## 2008-09-05 -0.0262553863 -0.0154001658 -2.374984e-02
## 2008-09-08 0.0178012028 0.0256715646 1.398946e-02
## 2008-09-09 -0.0023149037 -0.0008292356 -1.103717e-02
## 2008-09-10 -0.0105694640 -0.0068014332 -1.536939e-02
## 2008-09-11 -0.0333509600 0.0183731337 -1.776927e-03
## 2008-09-12 0.0134770936 0.0155812389 1.034442e-02
## 2008-09-15 0.0077129812 -0.0229325662 -3.571611e-02
## 2008-09-16 -0.0219055764 0.0114050107 -8.988234e-03
## 2008-09-17 -0.0161899782 -0.0266382608 -1.330530e-02
## 2008-09-18 0.0159078580 0.0852923159 2.171619e-03
## 2008-09-19 0.0440065209 -0.0145423243 8.285055e-02
## 2008-09-22 0.0074993130 -0.0086341241 -1.056442e-02
## 2008-09-23 -0.0002566594 -0.0367381802 -1.157117e-02
## 2008-09-24 0.0112965594 -0.0256452366 8.898827e-03
## 2008-09-25 0.0332569861 0.0968454016 -1.712193e-02
## 2008-09-26 -0.0545452036 0.0427622471 -5.038871e-02
## 2008-09-29 -0.0239088274 -0.0404185415 -4.699821e-02
## 2008-09-30 0.0037275806 0.0284395965 1.659772e-02
## 2008-10-01 -0.0127323179 -0.0110614761 -1.789146e-02
## 2008-10-02 -0.0088660374 -0.0364268119 -1.678384e-02
## 2008-10-03 0.0078613624 -0.0078428844 -2.771147e-02
## 2008-10-06 -0.0669716712 -0.0333601348 -9.706084e-02
## 2008-10-07 0.0069185592 -0.0516846792 -4.011834e-02
## 2008-10-08 -0.0246206539 -0.0393234370 -4.660241e-02
## 2008-10-09 -0.0155563371 -0.0470380654 2.158269e-02
## 2008-10-10 -0.0766249363 0.0273170694 -7.832051e-02
## 2008-10-13 0.1365838421 0.0242072037 1.370325e-01
## 2008-10-14 -0.0238636537 0.0227395271 1.331395e-02
## 2008-10-15 -0.1123398315 -0.1183477046 -8.354509e-02
## 2008-10-16 0.0131146218 0.1113983353 -7.892046e-02
## 2008-10-17 0.0200647874 0.0269787668 -3.524324e-03
## 2008-10-20 0.0269669302 0.0394916890 1.613617e-02
## 2008-10-21 -0.0386158086 -0.0440164272 6.526718e-04
## 2008-10-22 -0.0758356513 -0.0808824248 -4.710176e-02
## 2008-10-23 0.0135605483 -0.0337147146 -3.231921e-02
## 2008-10-24 -0.0531733226 -0.0579534176 -4.770140e-02
## 2008-10-27 -0.0670288699 -0.0259465308 -6.931842e-02
## 2008-10-28 -0.0656312306 0.1261006018 7.714276e-03
## 2008-10-29 0.1167916308 0.0011445964 4.760237e-02
## 2008-10-30 0.0599179930 0.0634524731 8.147137e-02
## 2008-10-31 -0.0333568456 0.0326110141 2.073621e-02
## 2008-11-03 0.0374139439 -0.0310603535 1.696720e-02
## 2008-11-04 0.0633752625 0.0068049856 1.032471e-01
## 2008-11-05 -0.0296345373 -0.0611881190 -1.749630e-02
## 2008-11-06 -0.0960299570 -0.0405455317 -3.326890e-02
## 2008-11-07 0.0322824030 -0.0242891144 7.568402e-03
## 2008-11-10 -0.0072727201 -0.0291441384 2.111665e-02
## 2008-11-11 -0.0747252975 -0.0479463997 -3.553096e-02
## 2008-11-12 -0.0043548042 -0.0284649984 -6.792336e-02
## 2008-11-13 -0.0206759072 0.1011942883 8.568645e-03
## 2008-11-14 0.0008121682 -0.0476874001 -1.484884e-02
## 2008-11-17 -0.0296145804 -0.0047277696 -3.123288e-02
## 2008-11-18 -0.0071072842 0.0071258597 -1.331299e-02
## 2008-11-19 -0.0597892780 -0.0600346028 -3.202477e-02
## 2008-11-20 -0.0170174424 -0.0052462837 3.358952e-03
## 2008-11-21 -0.0214123246 0.0979133816 2.509265e-04
## 2008-11-24 0.1075418475 0.0509605662 8.542503e-02
## 2008-11-25 0.0340479641 -0.0204687183 2.466661e-02
## 2008-11-26 0.0097561949 0.0803409845 -5.122990e-02
## 2008-11-28 -0.0152980779 0.0000000000 6.255938e-02
## 2008-12-01 -0.0314800037 -0.0982164698 -4.201185e-02
## 2008-12-02 0.0227944428 0.0414416988 2.811974e-02
## 2008-12-03 -0.0111432427 0.0399916641 -2.197278e-03
## 2008-12-04 0.0108514745 0.0186236880 -2.756250e-02
## 2008-12-05 -0.0582163718 0.0265593604 -1.225897e-02
## 2008-12-08 0.0162210644 0.0530553864 2.608683e-02
## 2008-12-09 0.0923209592 -0.0575035848 4.283534e-02
## 2008-12-10 0.0639809819 -0.0460900459 1.957731e-02
## 2008-12-11 -0.0170748892 -0.0350495659 9.709547e-03
## 2008-12-12 0.0203925327 0.0131338080 -2.188735e-02
## 2008-12-15 -0.0096223293 -0.0239012720 -2.164342e-02
## 2008-12-16 0.0175634581 0.0300889408 2.354715e-02
## 2008-12-17 -0.0216673661 0.0201451996 -1.055036e-02
## 2008-12-18 0.0056308623 0.0404813483 3.406027e-03
## 2008-12-19 0.0149307936 -0.0271397038 -7.375402e-05
## 2008-12-22 -0.0286869416 -0.0421381332 -2.051656e-02
## 2008-12-23 -0.0102234738 -0.0232172614 -5.048125e-03
## 2008-12-29 0.0087988891 0.0204333164 2.991277e-02
## 2008-12-30 0.0291998787 0.0153246427 3.161770e-02
## 2009-01-02 0.0246868198 0.0678209779 4.297908e-02
## 2009-01-05 0.0025169846 0.0071616809 1.482945e-02
## 2009-01-06 0.0473457457 -0.0202097428 4.033703e-02
## 2009-01-07 -0.0123287878 -0.0362873579 -2.006599e-02
## 2009-01-08 -0.0124826426 0.0184305249 -1.122831e-03
## 2009-01-09 -0.0308989471 -0.0346371127 -1.798748e-02
## 2009-01-12 -0.0271739426 0.0102802207 3.367287e-03
## 2009-01-13 0.0085661742 -0.0123704845 -2.053703e-02
## 2009-01-14 -0.0620384079 -0.0575755367 -2.823056e-02
## 2009-01-15 0.0055118861 0.0066452600 1.043574e-02
## 2009-01-16 0.0191855223 -0.0034073358 4.396157e-03
## 2009-01-20 -0.0418747638 -0.0568375686 -4.328489e-02
## 2009-01-21 0.0268644421 0.0344363183 3.747298e-02
## 2009-01-22 0.0234285143 -0.0006572824 -2.330972e-02
## 2009-01-23 -0.0095386888 0.0010956753 -1.634051e-02
## 2009-01-26 0.0608631405 -0.0002191271 5.537335e-02
## 2009-01-27 -0.0007262201 -0.0035033231 -4.729009e-02
## 2009-01-28 0.0432412125 0.0459240356 2.173892e-02
## 2009-01-29 -0.0372691199 -0.0338235447 4.964614e-04
## 2009-01-30 -0.0184516326 -0.0160904953 1.630482e-03
## 2009-02-02 0.0033174440 -0.0181214883 2.576090e-02
## 2009-02-03 0.0088169579 0.0420888244 -8.624427e-03
## 2009-02-04 0.0335034911 -0.0112313481 1.962566e-02
## 2009-02-05 0.0035234561 0.0310182644 -6.893851e-03
## 2009-02-06 0.0210674792 0.0313556300 1.931269e-02
## 2009-02-09 0.0037826253 -0.0186931976 1.422714e-02
## 2009-02-10 -0.0171291572 -0.0569400537 -1.662019e-02
## 2009-02-11 -0.0118510039 -0.0164258481 -1.750959e-02
## 2009-02-12 -0.0370368693 0.0033854785 -4.224843e-02
## 2009-02-13 -0.0065934836 -0.0231671837 5.100832e-03
## 2009-02-17 -0.0317108988 -0.0343083933 -5.110809e-02
## 2009-02-18 -0.0156130647 0.0376736042 -4.384168e-02
## 2009-02-19 -0.0131527780 -0.0163143810 7.405633e-03
## 2009-02-20 -0.0078401961 0.0028030599 -3.003037e-02
## 2009-02-23 -0.0363490293 -0.0307478830 -2.555830e-02
## 2009-02-24 0.0020500551 0.0319634438 1.414867e-02
## 2009-02-25 -0.0073650113 -0.0183978423 2.904445e-02
## 2009-02-26 -0.0028855459 -0.0265719246 -2.077240e-02
## 2009-02-27 -0.0487805846 0.0121864432 -3.230492e-02
## 2009-03-02 -0.0004344655 -0.0426198698 -2.970201e-02
## 2009-03-03 -0.0043478479 0.0072939009 -1.612503e-02
## 2009-03-04 0.0013100241 0.0624219977 -1.402199e-03
## 2009-03-05 -0.0087221374 -0.0387488222 4.387584e-04
## 2009-03-06 0.0092388054 0.0000000000 -6.728654e-02
## 2009-03-09 0.0300786967 -0.0343010710 -3.085022e-02
## 2009-03-10 0.0558609564 0.0788177523 4.590477e-02
## 2009-03-11 -0.0076151488 0.0437392326 2.811499e-02
## 2009-03-12 0.0072697293 0.0267097104 1.074005e-02
## 2009-03-13 -0.0220527738 0.0017942572 9.018825e-03
## 2009-03-16 0.0000000000 -0.0170139496 2.646014e-02
## 2009-03-17 -0.0225501637 0.0341608018 -8.276453e-03
## 2009-03-18 -0.0020975018 0.0112311919 2.590595e-02
## 2009-03-19 0.0239597924 0.0126301274 1.364295e-02
## 2009-03-20 -0.0139573259 -0.0318279219 1.153664e-02
## 2009-03-23 0.0258116001 0.0577530345 -1.223138e-02
## 2009-03-24 0.0320617305 -0.0424196533 9.872854e-03
## 2009-03-25 0.0408966448 0.0168858478 2.485444e-03
## 2009-03-26 -0.0079335721 0.0265257446 -2.413236e-02
## 2009-03-27 -0.0415077733 -0.0159661856 -3.497614e-02
## 2009-03-30 -0.0290028023 -0.0123826692 -2.975019e-02
## 2009-03-31 0.0253681266 0.0136189895 3.355678e-02
## 2009-04-01 0.0031924022 0.0023455839 -1.312685e-02
## 2009-04-02 0.0497214934 0.0742553479 7.156150e-02
## 2009-04-03 0.0253883720 0.0273323818 4.650789e-02
## 2009-04-06 -0.0136733206 -0.0115674053 3.906383e-02
## 2009-04-07 -0.0142376135 -0.0275014957 -4.566257e-03
## 2009-04-08 -0.0011401426 0.0076211840 2.714071e-02
## 2009-04-09 0.0506087374 0.0603104543 3.714182e-02
## 2009-04-14 -0.0003622112 -0.0351039757 5.691106e-02
## 2009-04-15 -0.0007245979 0.0138130648 2.913026e-02
## 2009-04-16 0.0058014216 0.0318558214 2.216924e-02
## 2009-04-17 -0.0007210274 0.0156221296 3.931082e-02
## 2009-04-20 -0.0194805732 -0.0412012058 -2.397387e-02
## 2009-04-21 0.0360560167 0.0173794155 1.953568e-02
## 2009-04-22 0.0383521640 0.0324764417 -2.009742e-02
## 2009-04-23 0.0294118311 -0.0110910106 8.980862e-03
## 2009-04-24 0.0169435064 0.0062507930 7.133460e-03
## 2009-04-27 -0.0143744201 -0.0109627268 -6.080107e-03
## 2009-04-28 -0.0248591175 0.0269722210 -2.345974e-02
## 2009-04-29 -0.0248130341 -0.0473104895 5.682987e-03
## 2009-04-30 -0.0024399076 -0.0092526918 4.186755e-02
## 2009-05-04 0.0307477158 0.0533640694 2.218759e-02
## 2009-05-05 -0.1118642388 -0.0048849386 -1.627952e-02
## 2009-05-06 -0.0442748867 -0.0070910545 0.000000e+00
## 2009-05-07 0.0095845681 -0.0280168831 -7.048729e-03
## 2009-05-08 -0.0028249078 0.0252450249 -5.185189e-02
## 2009-05-11 0.0174019880 -0.0235210265 -7.161380e-03
## 2009-05-12 0.0401748191 -0.0406472293 1.796718e-02
## 2009-05-13 -0.0439768286 -0.0286385789 3.800513e-03
## 2009-05-14 -0.0316000546 0.0288771980 1.789916e-01
## 2009-05-15 -0.0090872767 -0.0235526677 -3.966679e-04
## 2009-05-18 0.0621093424 0.0291458851 3.491154e-02
## 2009-05-19 0.0529826595 0.0164063991 3.648107e-02
## 2009-05-20 0.0231085429 -0.0259416654 2.773827e-02
## 2009-05-21 -0.0437158870 0.0130202913 -1.811313e-02
## 2009-05-22 0.0015238424 0.0206424144 -2.241754e-02
## 2009-05-26 0.0015214790 0.0335813499 6.873130e-03
## 2009-05-27 -0.0026586104 0.0044307197 2.711935e-02
## 2009-05-28 -0.0156129998 0.0128651526 -3.649349e-02
## 2009-05-29 -0.0015474675 0.0352022497 2.031758e-02
## 2009-06-01 0.0333203844 0.0387381193 2.286269e-02
## 2009-06-02 0.0044995788 -0.0241311246 -1.141525e-03
## 2009-06-03 -0.0182905026 0.0058795643 -2.827287e-03
## 2009-06-04 -0.0140684421 0.0064714929 2.050977e-03
## 2009-06-05 0.0046278078 0.0130347647 1.745594e-03
## 2009-06-08 -0.0130518115 -0.0049750381 -1.652613e-02
## 2009-06-09 0.0042784802 0.0113790885 -1.118242e-02
## 2009-06-10 0.0731992486 -0.0274463595 2.997150e-02
## 2009-06-11 0.0061347716 -0.0075371017 2.603960e-02
## 2009-06-12 -0.0362265085 -0.0001766474 2.865118e-03
## 2009-06-15 -0.0055825864 -0.0118354700 -2.215730e-02
## 2009-06-16 -0.0074850593 -0.0109045589 -2.480614e-02
## 2009-06-17 0.0120664482 -0.0126510597 -5.136367e-02
## 2009-06-18 -0.0011178793 0.0305691216 7.412802e-03
## 2009-06-19 0.0000000000 0.0071048528 1.522809e-02
## 2009-06-22 -0.0197685241 -0.0253969481 -4.247814e-02
## 2009-06-23 0.0232116290 -0.0311259014 -3.225258e-03
## 2009-06-24 0.0312382590 -0.0097116658 5.262811e-02
## 2009-06-25 -0.0068518794 -0.0328185051 -2.684914e-02
## 2009-06-26 -0.0054466019 -0.0085799971 -2.688052e-02
## 2009-06-29 0.0007301878 0.0178992478 3.855324e-02
## 2009-06-30 -0.0113096738 0.0005797039 -5.166572e-03
## 2009-07-01 0.0166051000 0.0123603251 1.327189e-02
## 2009-07-02 -0.0257712724 -0.0259445846 -7.339756e-03
## 2009-07-06 -0.0193740472 0.0166471613 -4.506636e-02
## 2009-07-07 -0.0091187818 -0.0134849858 1.935744e-03
## 2009-07-08 -0.0145704404 0.0058581681 -2.624926e-02
## 2009-07-09 -0.0163423768 -0.0087360748 -4.720854e-03
## 2009-07-10 0.0019778559 0.0047005233 -9.211450e-03
## 2009-07-13 0.0138175227 0.0046784217 3.947833e-02
## 2009-07-14 0.0218069138 0.0069845704 -3.537849e-03
## 2009-07-15 0.0099086386 0.0198460085 5.800826e-02
## 2009-07-16 0.0128301761 0.0049116327 -3.167443e-04
## 2009-07-17 0.0081966128 -0.0141002496 -5.256516e-03
## 2009-07-20 0.0192166236 0.0074378548 1.585267e-02
## 2009-07-21 0.0152283922 -0.0143863881 3.296575e-02
## 2009-07-22 0.0000000000 -0.0103705450 1.820045e-03
## 2009-07-23 0.0221428942 -0.0075681065 2.440692e-02
## 2009-07-24 0.0150244843 0.0201406051 2.542010e-03
## 2009-07-27 0.0003442111 0.0038337598 8.491367e-03
## 2009-07-28 -0.0127322388 0.0103110260 1.110984e-03
## 2009-07-29 0.0484489440 0.0275939090 1.524450e-02
## 2009-07-30 -0.0073139676 0.0316353106 2.364511e-02
## 2009-07-31 -0.0070327061 0.0098053953 -5.620742e-04
## 2009-08-03 0.0259696199 -0.0003528710 2.226875e-02
## 2009-08-04 0.0003287479 0.0162483668 1.490733e-02
## 2009-08-05 0.0591521510 -0.0090369330 4.368541e-02
## 2009-08-06 -0.0006204985 0.0105226094 3.318454e-02
## 2009-08-07 0.0360136678 0.0078099003 -4.584053e-02
## 2009-08-10 0.0017980785 -0.0160149802 -4.651545e-02
## 2009-08-11 -0.0478613841 -0.0061255022 -1.596677e-02
## 2009-08-12 -0.0062833316 0.0128543690 -1.555229e-02
## 2009-08-13 0.0028454706 0.0050418336 6.438910e-02
## 2009-08-14 0.0012609499 -0.0164334191 3.632867e-02
## 2009-08-17 0.0044082112 -0.0249735849 -1.602799e-02
## 2009-08-18 0.0097178094 0.0030662094 1.203278e-02
## 2009-08-19 -0.0009315082 0.0208600151 -4.257363e-03
## 2009-08-20 0.0059043704 0.0040513580 3.514430e-02
## 2009-08-21 0.0169910346 -0.0236842496 1.662573e-03
## 2009-08-24 -0.0103281298 0.0062891046 -1.081236e-02
## 2009-08-25 0.0178024828 -0.0149999410 9.151050e-03
## 2009-08-26 0.0141736438 0.0052576496 2.015120e-02
## 2009-08-27 -0.0187333535 0.0248874212 -2.390141e-02
## 2009-08-28 0.0000000000 -0.0114378588 1.887091e-02
## 2009-08-31 -0.0042424268 -0.0140617245 -2.080555e-02
## 2009-09-01 -0.0276930458 -0.0185954468 -2.586218e-03
## 2009-09-02 -0.0143976754 -0.0193157722 -2.659002e-02
## 2009-09-03 -0.0003174279 0.0271457458 2.423483e-02
## 2009-09-04 0.0025411263 0.0093057075 5.058637e-02
## 2009-09-08 0.0329531840 0.0186244711 5.814978e-02
## 2009-09-09 0.0432517168 0.0019914218 1.990820e-02
## 2009-09-10 -0.0282273185 0.0012642036 -1.124329e-03
## 2009-09-11 -0.0042358310 -0.0077586313 -1.873109e-02
## 2009-09-14 0.0249164211 -0.0014547813 1.404111e-02
## 2009-09-15 -0.0008893915 -0.0040065781 -4.479825e-03
## 2009-09-16 0.0682492084 0.0455295139 4.086381e-02
## 2009-09-17 0.0138887800 0.0159144847 6.244582e-03
## 2009-09-18 -0.0043833021 0.0086075455 -3.458895e-02
## 2009-09-21 -0.0121081294 -0.0006829805 -2.112797e-03
## 2009-09-22 -0.0013926977 0.0003417710 4.730062e-03
## 2009-09-23 0.0083683653 -0.0046100137 1.170251e-02
## 2009-09-24 -0.0179804443 -0.0022296592 -2.880722e-03
## 2009-09-25 0.0140841934 0.0080796533 -2.177640e-03
## 2009-09-28 0.0066664510 0.0061390329 -1.331890e-02
## 2009-09-29 -0.0091058096 0.0184747302 2.483166e-03
## 2009-09-30 0.0072404633 0.0767178911 2.193113e-02
## 2009-10-01 -0.0185234103 -0.0340028583 -2.798229e-02
## 2009-10-02 -0.0166198977 -0.0076799375 -4.125488e-02
## 2009-10-05 0.0037237474 0.0122542270 7.187381e-03
## 2009-10-06 0.0273972465 0.0049377361 4.694824e-02
## 2009-10-07 -0.0241665915 0.0052303002 9.013458e-03
## 2009-10-08 -0.0179333989 0.0094608166 -1.866415e-03
## 2009-10-09 0.0101446938 -0.0067165635 6.723294e-03
## 2009-10-12 -0.0028690471 -0.0053462994 7.474565e-03
## 2009-10-13 -0.0126620053 0.0067979762 -1.180912e-02
## 2009-10-14 0.0422616530 0.0191586995 2.887596e-02
## 2009-10-15 0.0151006182 0.0009240538 -5.483182e-03
## 2009-10-16 -0.0041320857 0.0021553009 -1.840855e-02
## 2009-10-19 0.0124480175 0.0152073722 2.162848e-02
## 2009-10-20 -0.0215846748 -0.0151308362 -2.610602e-02
## 2009-10-21 -0.0150795338 -0.0052236040 -2.867324e-02
## 2009-10-22 -0.0085057783 0.0067955757 -1.917634e-02
## 2009-10-23 -0.0077208927 -0.0156468560 3.686296e-03
## 2009-10-26 -0.0279539899 -0.0065449865 -1.287759e-02
## 2009-10-27 -0.0097835508 0.0053333153 -2.514962e-02
## 2009-10-28 -0.0374251890 -0.0237166143 -3.565379e-02
## 2009-10-29 0.0189735406 0.0182195893 4.979706e-02
## 2009-10-30 -0.0384614887 -0.0240148996 -8.733093e-03
## 2009-11-02 0.0380954234 0.0051461579 1.766814e-02
## 2009-11-03 -0.0018351354 0.0025600383 -9.839489e-03
## 2009-11-04 0.0376838365 0.0011171623 4.596048e-02
## 2009-11-05 0.0100384774 0.0323609355 1.534734e-02
## 2009-11-06 0.0008770156 -0.0030882651 3.193826e-03
## 2009-11-09 0.0163551129 0.0117719333 4.457433e-02
## 2009-11-10 0.0074711374 -0.0130128995 -8.328532e-03
## 2009-11-11 0.0233885625 0.0071350468 -2.943783e-03
## 2009-11-12 -0.0089183832 -0.0129370106 1.276506e-02
## 2009-11-13 0.0059050833 0.0051492970 -1.097501e-02
## 2009-11-16 0.0223652011 0.0260785091 1.140008e-02
## 2009-11-17 -0.0131255390 -0.0172466769 -1.427178e-02
## 2009-11-18 0.0038793238 -0.0083123896 -1.352157e-02
## 2009-11-19 -0.0198731036 -0.0133503131 -2.283049e-02
## 2009-11-20 -0.0053507789 0.0056640033 2.931860e-03
## 2009-11-23 0.0325595567 0.0089174388 4.092471e-02
## 2009-11-24 -0.0054838201 0.0004651363 -3.326728e-03
## 2009-11-25 0.0391506339 0.0182889740 2.245427e-02
## 2009-11-27 0.0039799764 -0.0098933872 -1.899361e-02
## 2009-11-30 0.0076640518 -0.0024595127 -1.119310e-02
## 2009-12-01 0.0097033974 0.0078594265 2.076040e-02
## 2009-12-02 -0.0155842020 -0.0007647227 1.001936e-02
## 2009-12-03 -0.0187336535 0.0062237977 -3.561290e-03
## 2009-12-04 0.0142512676 -0.0057215410 2.420810e-02
## 2009-12-07 0.0129901803 0.0037326216 -1.528645e-02
## 2009-12-08 -0.0120386093 -0.0156492301 -1.898245e-02
## 2009-12-09 -0.0002648830 -0.0248699929 -1.092202e-02
## 2009-12-10 -0.0100688130 0.0121064985 1.356409e-02
## 2009-12-11 0.0096360235 0.0185007397 7.892349e-03
## 2009-12-14 -0.0018559049 0.0046979665 -1.319257e-03
## 2009-12-15 0.0095616150 0.0029612338 -8.479974e-03
## 2009-12-16 0.0049986922 -0.0046621930 1.646016e-02
## 2009-12-17 0.0112566881 -0.0124895861 -7.314393e-03
## 2009-12-18 -0.0015532456 0.0184977972 -1.111704e-02
## 2009-12-21 0.0046669554 0.0071402551 -4.651851e-03
## 2009-12-22 -0.0051614921 0.0033909681 1.267917e-02
## 2009-12-23 -0.0036314664 0.0052228840 -3.503767e-03
## 2009-12-28 0.0091120001 0.0009168574 8.919109e-03
## 2009-12-29 -0.0095458042 0.0108395269 -2.804924e-03
## 2009-12-30 -0.0161498202 -0.0010569117 -1.184925e-02
n <- length(tickers)
constraints <- new.constraints(n, lb = -Inf, ub= +Inf)
# sum x.i = 1
constraints <- add.constraints(rep(1,n) , 1 , type = "=", constraints)
ia <- create.historical.ia(daily_return.NA, 250)
weight <- min.risk.portfolio(ia, constraints)
## Loading required package: kernlab
##
## Attaching package: 'kernlab'
## The following object is masked _by_ '.GlobalEnv':
##
## cross
## The following object is masked from 'package:purrr':
##
## cross
## The following object is masked from 'package:ggplot2':
##
## alpha
weight
## [1] 0.3284075 0.4226184 0.2489741
#ef= portopt(ia, constraints, 50, 'Efficient Frontier')
#ef
#Q2. Plot the efficient frontier with and without short-sale constraint.
ia <- create.historical.ia(daily_return.NA, 250)
constraints<- new.constraints(n, lb = 0 , ub = 1)
constraints<- add.constraints(diag(n), type = ">=" , b=0 ,constraints)
constraints<- add.constraints(diag(n), type = "<=" , b=1, constraints)
# sum x.i = 1
constraints <- add.constraints(rep(1,n) , 1 , type = "=", constraints)
weight1 <- min.risk.portfolio(ia, constraints)
weight1
## [1] 0.3284075 0.4226183 0.2489743
# create efficient frontier
library(quadprog)
#without shortsale constraints
Amat = cbind(rep(1,3), mu)
muP = seq(0.1 , 0.8 , length = 300)
sdP=muP
weights= matrix(0, nrow= 300 , ncol= 3)
i=1
for (i in 1: length(muP))
{bvec = c(1, muP[i])
result = solve.QP(Dmat= 2*Sigma, dvec= rep (0,3), Amat = Amat, bvec = bvec, meq=2)
sdP[i] =sqrt (result$value)
weights[i,]= result$solution
}
weights
## [,1] [,2] [,3]
## [1,] 0.6594740 -0.4942039 0.8347298
## [2,] 0.6595385 -0.4940813 0.8345428
## [3,] 0.6596030 -0.4939588 0.8343558
## [4,] 0.6596674 -0.4938362 0.8341688
## [5,] 0.6597319 -0.4937137 0.8339818
## [6,] 0.6597964 -0.4935911 0.8337947
## [7,] 0.6598608 -0.4934686 0.8336077
## [8,] 0.6599253 -0.4933460 0.8334207
## [9,] 0.6599898 -0.4932235 0.8332337
## [10,] 0.6600542 -0.4931009 0.8330467
## [11,] 0.6601187 -0.4929784 0.8328597
## [12,] 0.6601832 -0.4928558 0.8326726
## [13,] 0.6602476 -0.4927333 0.8324856
## [14,] 0.6603121 -0.4926107 0.8322986
## [15,] 0.6603766 -0.4924882 0.8321116
## [16,] 0.6604410 -0.4923656 0.8319246
## [17,] 0.6605055 -0.4922431 0.8317376
## [18,] 0.6605700 -0.4921205 0.8315506
## [19,] 0.6606344 -0.4919980 0.8313635
## [20,] 0.6606989 -0.4918754 0.8311765
## [21,] 0.6607634 -0.4917529 0.8309895
## [22,] 0.6608278 -0.4916303 0.8308025
## [23,] 0.6608923 -0.4915078 0.8306155
## [24,] 0.6609568 -0.4913852 0.8304285
## [25,] 0.6610212 -0.4912627 0.8302414
## [26,] 0.6610857 -0.4911401 0.8300544
## [27,] 0.6611502 -0.4910176 0.8298674
## [28,] 0.6612146 -0.4908950 0.8296804
## [29,] 0.6612791 -0.4907725 0.8294934
## [30,] 0.6613435 -0.4906499 0.8293064
## [31,] 0.6614080 -0.4905274 0.8291193
## [32,] 0.6614725 -0.4904048 0.8289323
## [33,] 0.6615369 -0.4902823 0.8287453
## [34,] 0.6616014 -0.4901597 0.8285583
## [35,] 0.6616659 -0.4900372 0.8283713
## [36,] 0.6617303 -0.4899146 0.8281843
## [37,] 0.6617948 -0.4897921 0.8279973
## [38,] 0.6618593 -0.4896695 0.8278102
## [39,] 0.6619237 -0.4895470 0.8276232
## [40,] 0.6619882 -0.4894244 0.8274362
## [41,] 0.6620527 -0.4893019 0.8272492
## [42,] 0.6621171 -0.4891793 0.8270622
## [43,] 0.6621816 -0.4890568 0.8268752
## [44,] 0.6622461 -0.4889342 0.8266881
## [45,] 0.6623105 -0.4888117 0.8265011
## [46,] 0.6623750 -0.4886891 0.8263141
## [47,] 0.6624395 -0.4885666 0.8261271
## [48,] 0.6625039 -0.4884440 0.8259401
## [49,] 0.6625684 -0.4883215 0.8257531
## [50,] 0.6626329 -0.4881989 0.8255661
## [51,] 0.6626973 -0.4880764 0.8253790
## [52,] 0.6627618 -0.4879538 0.8251920
## [53,] 0.6628263 -0.4878313 0.8250050
## [54,] 0.6628907 -0.4877087 0.8248180
## [55,] 0.6629552 -0.4875862 0.8246310
## [56,] 0.6630197 -0.4874636 0.8244440
## [57,] 0.6630841 -0.4873411 0.8242569
## [58,] 0.6631486 -0.4872185 0.8240699
## [59,] 0.6632131 -0.4870960 0.8238829
## [60,] 0.6632775 -0.4869734 0.8236959
## [61,] 0.6633420 -0.4868509 0.8235089
## [62,] 0.6634064 -0.4867283 0.8233219
## [63,] 0.6634709 -0.4866058 0.8231348
## [64,] 0.6635354 -0.4864832 0.8229478
## [65,] 0.6635998 -0.4863607 0.8227608
## [66,] 0.6636643 -0.4862381 0.8225738
## [67,] 0.6637288 -0.4861156 0.8223868
## [68,] 0.6637932 -0.4859930 0.8221998
## [69,] 0.6638577 -0.4858705 0.8220128
## [70,] 0.6639222 -0.4857479 0.8218257
## [71,] 0.6639866 -0.4856254 0.8216387
## [72,] 0.6640511 -0.4855028 0.8214517
## [73,] 0.6641156 -0.4853803 0.8212647
## [74,] 0.6641800 -0.4852577 0.8210777
## [75,] 0.6642445 -0.4851352 0.8208907
## [76,] 0.6643090 -0.4850126 0.8207036
## [77,] 0.6643734 -0.4848901 0.8205166
## [78,] 0.6644379 -0.4847675 0.8203296
## [79,] 0.6645024 -0.4846450 0.8201426
## [80,] 0.6645668 -0.4845224 0.8199556
## [81,] 0.6646313 -0.4843999 0.8197686
## [82,] 0.6646958 -0.4842773 0.8195816
## [83,] 0.6647602 -0.4841548 0.8193945
## [84,] 0.6648247 -0.4840322 0.8192075
## [85,] 0.6648892 -0.4839097 0.8190205
## [86,] 0.6649536 -0.4837871 0.8188335
## [87,] 0.6650181 -0.4836646 0.8186465
## [88,] 0.6650826 -0.4835420 0.8184595
## [89,] 0.6651470 -0.4834195 0.8182724
## [90,] 0.6652115 -0.4832969 0.8180854
## [91,] 0.6652759 -0.4831744 0.8178984
## [92,] 0.6653404 -0.4830518 0.8177114
## [93,] 0.6654049 -0.4829293 0.8175244
## [94,] 0.6654693 -0.4828067 0.8173374
## [95,] 0.6655338 -0.4826842 0.8171503
## [96,] 0.6655983 -0.4825616 0.8169633
## [97,] 0.6656627 -0.4824391 0.8167763
## [98,] 0.6657272 -0.4823165 0.8165893
## [99,] 0.6657917 -0.4821940 0.8164023
## [100,] 0.6658561 -0.4820714 0.8162153
## [101,] 0.6659206 -0.4819489 0.8160283
## [102,] 0.6659851 -0.4818263 0.8158412
## [103,] 0.6660495 -0.4817038 0.8156542
## [104,] 0.6661140 -0.4815812 0.8154672
## [105,] 0.6661785 -0.4814587 0.8152802
## [106,] 0.6662429 -0.4813361 0.8150932
## [107,] 0.6663074 -0.4812136 0.8149062
## [108,] 0.6663719 -0.4810910 0.8147191
## [109,] 0.6664363 -0.4809685 0.8145321
## [110,] 0.6665008 -0.4808459 0.8143451
## [111,] 0.6665653 -0.4807234 0.8141581
## [112,] 0.6666297 -0.4806008 0.8139711
## [113,] 0.6666942 -0.4804783 0.8137841
## [114,] 0.6667587 -0.4803557 0.8135971
## [115,] 0.6668231 -0.4802332 0.8134100
## [116,] 0.6668876 -0.4801106 0.8132230
## [117,] 0.6669521 -0.4799881 0.8130360
## [118,] 0.6670165 -0.4798655 0.8128490
## [119,] 0.6670810 -0.4797430 0.8126620
## [120,] 0.6671455 -0.4796204 0.8124750
## [121,] 0.6672099 -0.4794979 0.8122879
## [122,] 0.6672744 -0.4793753 0.8121009
## [123,] 0.6673388 -0.4792528 0.8119139
## [124,] 0.6674033 -0.4791302 0.8117269
## [125,] 0.6674678 -0.4790077 0.8115399
## [126,] 0.6675322 -0.4788851 0.8113529
## [127,] 0.6675967 -0.4787626 0.8111659
## [128,] 0.6676612 -0.4786400 0.8109788
## [129,] 0.6677256 -0.4785175 0.8107918
## [130,] 0.6677901 -0.4783949 0.8106048
## [131,] 0.6678546 -0.4782724 0.8104178
## [132,] 0.6679190 -0.4781498 0.8102308
## [133,] 0.6679835 -0.4780273 0.8100438
## [134,] 0.6680480 -0.4779047 0.8098567
## [135,] 0.6681124 -0.4777822 0.8096697
## [136,] 0.6681769 -0.4776596 0.8094827
## [137,] 0.6682414 -0.4775371 0.8092957
## [138,] 0.6683058 -0.4774145 0.8091087
## [139,] 0.6683703 -0.4772920 0.8089217
## [140,] 0.6684348 -0.4771694 0.8087346
## [141,] 0.6684992 -0.4770469 0.8085476
## [142,] 0.6685637 -0.4769243 0.8083606
## [143,] 0.6686282 -0.4768018 0.8081736
## [144,] 0.6686926 -0.4766792 0.8079866
## [145,] 0.6687571 -0.4765567 0.8077996
## [146,] 0.6688216 -0.4764341 0.8076126
## [147,] 0.6688860 -0.4763116 0.8074255
## [148,] 0.6689505 -0.4761890 0.8072385
## [149,] 0.6690150 -0.4760665 0.8070515
## [150,] 0.6690794 -0.4759439 0.8068645
## [151,] 0.6691439 -0.4758214 0.8066775
## [152,] 0.6692083 -0.4756988 0.8064905
## [153,] 0.6692728 -0.4755763 0.8063034
## [154,] 0.6693373 -0.4754537 0.8061164
## [155,] 0.6694017 -0.4753312 0.8059294
## [156,] 0.6694662 -0.4752086 0.8057424
## [157,] 0.6695307 -0.4750861 0.8055554
## [158,] 0.6695951 -0.4749635 0.8053684
## [159,] 0.6696596 -0.4748410 0.8051814
## [160,] 0.6697241 -0.4747184 0.8049943
## [161,] 0.6697885 -0.4745959 0.8048073
## [162,] 0.6698530 -0.4744733 0.8046203
## [163,] 0.6699175 -0.4743508 0.8044333
## [164,] 0.6699819 -0.4742282 0.8042463
## [165,] 0.6700464 -0.4741057 0.8040593
## [166,] 0.6701109 -0.4739831 0.8038722
## [167,] 0.6701753 -0.4738606 0.8036852
## [168,] 0.6702398 -0.4737380 0.8034982
## [169,] 0.6703043 -0.4736155 0.8033112
## [170,] 0.6703687 -0.4734929 0.8031242
## [171,] 0.6704332 -0.4733704 0.8029372
## [172,] 0.6704977 -0.4732478 0.8027501
## [173,] 0.6705621 -0.4731253 0.8025631
## [174,] 0.6706266 -0.4730027 0.8023761
## [175,] 0.6706911 -0.4728802 0.8021891
## [176,] 0.6707555 -0.4727576 0.8020021
## [177,] 0.6708200 -0.4726351 0.8018151
## [178,] 0.6708845 -0.4725125 0.8016281
## [179,] 0.6709489 -0.4723900 0.8014410
## [180,] 0.6710134 -0.4722674 0.8012540
## [181,] 0.6710779 -0.4721449 0.8010670
## [182,] 0.6711423 -0.4720223 0.8008800
## [183,] 0.6712068 -0.4718998 0.8006930
## [184,] 0.6712712 -0.4717772 0.8005060
## [185,] 0.6713357 -0.4716547 0.8003189
## [186,] 0.6714002 -0.4715321 0.8001319
## [187,] 0.6714646 -0.4714096 0.7999449
## [188,] 0.6715291 -0.4712870 0.7997579
## [189,] 0.6715936 -0.4711645 0.7995709
## [190,] 0.6716580 -0.4710419 0.7993839
## [191,] 0.6717225 -0.4709194 0.7991969
## [192,] 0.6717870 -0.4707968 0.7990098
## [193,] 0.6718514 -0.4706743 0.7988228
## [194,] 0.6719159 -0.4705517 0.7986358
## [195,] 0.6719804 -0.4704292 0.7984488
## [196,] 0.6720448 -0.4703066 0.7982618
## [197,] 0.6721093 -0.4701841 0.7980748
## [198,] 0.6721738 -0.4700615 0.7978877
## [199,] 0.6722382 -0.4699390 0.7977007
## [200,] 0.6723027 -0.4698164 0.7975137
## [201,] 0.6723672 -0.4696939 0.7973267
## [202,] 0.6724316 -0.4695713 0.7971397
## [203,] 0.6724961 -0.4694488 0.7969527
## [204,] 0.6725606 -0.4693262 0.7967656
## [205,] 0.6726250 -0.4692037 0.7965786
## [206,] 0.6726895 -0.4690811 0.7963916
## [207,] 0.6727540 -0.4689586 0.7962046
## [208,] 0.6728184 -0.4688360 0.7960176
## [209,] 0.6728829 -0.4687135 0.7958306
## [210,] 0.6729474 -0.4685909 0.7956436
## [211,] 0.6730118 -0.4684684 0.7954565
## [212,] 0.6730763 -0.4683458 0.7952695
## [213,] 0.6731408 -0.4682233 0.7950825
## [214,] 0.6732052 -0.4681007 0.7948955
## [215,] 0.6732697 -0.4679782 0.7947085
## [216,] 0.6733341 -0.4678556 0.7945215
## [217,] 0.6733986 -0.4677331 0.7943344
## [218,] 0.6734631 -0.4676105 0.7941474
## [219,] 0.6735275 -0.4674880 0.7939604
## [220,] 0.6735920 -0.4673654 0.7937734
## [221,] 0.6736565 -0.4672429 0.7935864
## [222,] 0.6737209 -0.4671203 0.7933994
## [223,] 0.6737854 -0.4669978 0.7932124
## [224,] 0.6738499 -0.4668752 0.7930253
## [225,] 0.6739143 -0.4667527 0.7928383
## [226,] 0.6739788 -0.4666301 0.7926513
## [227,] 0.6740433 -0.4665076 0.7924643
## [228,] 0.6741077 -0.4663850 0.7922773
## [229,] 0.6741722 -0.4662625 0.7920903
## [230,] 0.6742367 -0.4661399 0.7919032
## [231,] 0.6743011 -0.4660174 0.7917162
## [232,] 0.6743656 -0.4658948 0.7915292
## [233,] 0.6744301 -0.4657723 0.7913422
## [234,] 0.6744945 -0.4656497 0.7911552
## [235,] 0.6745590 -0.4655272 0.7909682
## [236,] 0.6746235 -0.4654046 0.7907811
## [237,] 0.6746879 -0.4652821 0.7905941
## [238,] 0.6747524 -0.4651595 0.7904071
## [239,] 0.6748169 -0.4650370 0.7902201
## [240,] 0.6748813 -0.4649144 0.7900331
## [241,] 0.6749458 -0.4647919 0.7898461
## [242,] 0.6750103 -0.4646693 0.7896591
## [243,] 0.6750747 -0.4645468 0.7894720
## [244,] 0.6751392 -0.4644242 0.7892850
## [245,] 0.6752036 -0.4643017 0.7890980
## [246,] 0.6752681 -0.4641791 0.7889110
## [247,] 0.6753326 -0.4640566 0.7887240
## [248,] 0.6753970 -0.4639340 0.7885370
## [249,] 0.6754615 -0.4638115 0.7883499
## [250,] 0.6755260 -0.4636889 0.7881629
## [251,] 0.6755904 -0.4635664 0.7879759
## [252,] 0.6756549 -0.4634438 0.7877889
## [253,] 0.6757194 -0.4633213 0.7876019
## [254,] 0.6757838 -0.4631987 0.7874149
## [255,] 0.6758483 -0.4630762 0.7872279
## [256,] 0.6759128 -0.4629536 0.7870408
## [257,] 0.6759772 -0.4628311 0.7868538
## [258,] 0.6760417 -0.4627085 0.7866668
## [259,] 0.6761062 -0.4625860 0.7864798
## [260,] 0.6761706 -0.4624634 0.7862928
## [261,] 0.6762351 -0.4623409 0.7861058
## [262,] 0.6762996 -0.4622183 0.7859187
## [263,] 0.6763640 -0.4620958 0.7857317
## [264,] 0.6764285 -0.4619732 0.7855447
## [265,] 0.6764930 -0.4618507 0.7853577
## [266,] 0.6765574 -0.4617281 0.7851707
## [267,] 0.6766219 -0.4616056 0.7849837
## [268,] 0.6766864 -0.4614830 0.7847967
## [269,] 0.6767508 -0.4613605 0.7846096
## [270,] 0.6768153 -0.4612379 0.7844226
## [271,] 0.6768798 -0.4611154 0.7842356
## [272,] 0.6769442 -0.4609928 0.7840486
## [273,] 0.6770087 -0.4608703 0.7838616
## [274,] 0.6770732 -0.4607477 0.7836746
## [275,] 0.6771376 -0.4606252 0.7834875
## [276,] 0.6772021 -0.4605026 0.7833005
## [277,] 0.6772665 -0.4603801 0.7831135
## [278,] 0.6773310 -0.4602575 0.7829265
## [279,] 0.6773955 -0.4601350 0.7827395
## [280,] 0.6774599 -0.4600124 0.7825525
## [281,] 0.6775244 -0.4598899 0.7823654
## [282,] 0.6775889 -0.4597673 0.7821784
## [283,] 0.6776533 -0.4596448 0.7819914
## [284,] 0.6777178 -0.4595222 0.7818044
## [285,] 0.6777823 -0.4593997 0.7816174
## [286,] 0.6778467 -0.4592771 0.7814304
## [287,] 0.6779112 -0.4591546 0.7812434
## [288,] 0.6779757 -0.4590320 0.7810563
## [289,] 0.6780401 -0.4589095 0.7808693
## [290,] 0.6781046 -0.4587869 0.7806823
## [291,] 0.6781691 -0.4586644 0.7804953
## [292,] 0.6782335 -0.4585418 0.7803083
## [293,] 0.6782980 -0.4584193 0.7801213
## [294,] 0.6783625 -0.4582967 0.7799342
## [295,] 0.6784269 -0.4581742 0.7797472
## [296,] 0.6784914 -0.4580516 0.7795602
## [297,] 0.6785559 -0.4579291 0.7793732
## [298,] 0.6786203 -0.4578065 0.7791862
## [299,] 0.6786848 -0.4576840 0.7789992
## [300,] 0.6787493 -0.4575614 0.7788122
#no short sale constraints
Amat1 = cbind (rep(1,3), mu, diag(1, nrow=3))
t(Amat1)
## [,1] [,2] [,3]
## [1,] 1.000000 1.00000 1.00000
## [2,] 9.420327 30.81048 10.91874
## [3,] 1.000000 0.00000 0.00000
## [4,] 0.000000 1.00000 0.00000
## [5,] 0.000000 0.00000 1.00000
muP1= seq(min(mu)+ .0001, max(mu)- .0001, length = 300)
sdP1=muP1
weights1= matrix(0, nrow= 300 , ncol= 3)
i=1
for (i in 1: length(muP1))
{bvec1 = c(1, muP1[i], rep(0,3))
result = solve.QP(Dmat= 2*Sigma, dvec= rep (0,3), Amat=Amat1, bvec = bvec1, meq=2)
sdP1[i] =sqrt (result$value)
weights1[i,]= result$solution
}
weights1
## [,1] [,2] [,3]
## [1,] 9.999333e-01 -2.795573e-18 6.673733e-05
## [2,] 9.521905e-01 -5.700664e-19 4.780949e-02
## [3,] 9.200612e-01 1.176136e-03 7.876264e-02
## [4,] 9.220311e-01 4.920906e-03 7.304799e-02
## [5,] 9.240010e-01 8.665676e-03 6.733334e-02
## [6,] 9.259709e-01 1.241045e-02 6.161869e-02
## [7,] 9.279407e-01 1.615522e-02 5.590404e-02
## [8,] 9.299106e-01 1.989999e-02 5.018939e-02
## [9,] 9.318805e-01 2.364476e-02 4.447474e-02
## [10,] 9.338504e-01 2.738953e-02 3.876009e-02
## [11,] 9.358203e-01 3.113430e-02 3.304544e-02
## [12,] 9.377901e-01 3.487907e-02 2.733079e-02
## [13,] 9.397600e-01 3.862384e-02 2.161614e-02
## [14,] 9.417299e-01 4.236861e-02 1.590150e-02
## [15,] 9.436998e-01 4.611338e-02 1.018685e-02
## [16,] 9.456697e-01 4.985815e-02 4.472196e-03
## [17,] 9.464841e-01 5.351588e-02 0.000000e+00
## [18,] 9.431397e-01 5.686033e-02 0.000000e+00
## [19,] 9.397952e-01 6.020478e-02 0.000000e+00
## [20,] 9.364508e-01 6.354923e-02 0.000000e+00
## [21,] 9.331063e-01 6.689368e-02 0.000000e+00
## [22,] 9.297619e-01 7.023813e-02 -3.469447e-18
## [23,] 9.264174e-01 7.358258e-02 0.000000e+00
## [24,] 9.230730e-01 7.692703e-02 0.000000e+00
## [25,] 9.197285e-01 8.027148e-02 0.000000e+00
## [26,] 9.163841e-01 8.361593e-02 0.000000e+00
## [27,] 9.130396e-01 8.696038e-02 0.000000e+00
## [28,] 9.096952e-01 9.030483e-02 0.000000e+00
## [29,] 9.063507e-01 9.364928e-02 0.000000e+00
## [30,] 9.030063e-01 9.699373e-02 0.000000e+00
## [31,] 8.996618e-01 1.003382e-01 0.000000e+00
## [32,] 8.963174e-01 1.036826e-01 0.000000e+00
## [33,] 8.929729e-01 1.070271e-01 0.000000e+00
## [34,] 8.896285e-01 1.103715e-01 0.000000e+00
## [35,] 8.862840e-01 1.137160e-01 0.000000e+00
## [36,] 8.829396e-01 1.170604e-01 0.000000e+00
## [37,] 8.795951e-01 1.204049e-01 0.000000e+00
## [38,] 8.762507e-01 1.237493e-01 -1.387779e-17
## [39,] 8.729062e-01 1.270938e-01 0.000000e+00
## [40,] 8.695618e-01 1.304382e-01 0.000000e+00
## [41,] 8.662173e-01 1.337827e-01 0.000000e+00
## [42,] 8.628729e-01 1.371271e-01 0.000000e+00
## [43,] 8.595284e-01 1.404716e-01 0.000000e+00
## [44,] 8.561840e-01 1.438160e-01 0.000000e+00
## [45,] 8.528395e-01 1.471605e-01 0.000000e+00
## [46,] 8.494951e-01 1.505049e-01 0.000000e+00
## [47,] 8.461506e-01 1.538494e-01 0.000000e+00
## [48,] 8.428062e-01 1.571938e-01 0.000000e+00
## [49,] 8.394617e-01 1.605383e-01 0.000000e+00
## [50,] 8.361173e-01 1.638827e-01 0.000000e+00
## [51,] 8.327728e-01 1.672272e-01 0.000000e+00
## [52,] 8.294284e-01 1.705716e-01 0.000000e+00
## [53,] 8.260839e-01 1.739161e-01 0.000000e+00
## [54,] 8.227395e-01 1.772605e-01 0.000000e+00
## [55,] 8.193950e-01 1.806050e-01 0.000000e+00
## [56,] 8.160506e-01 1.839494e-01 0.000000e+00
## [57,] 8.127061e-01 1.872939e-01 2.775558e-17
## [58,] 8.093617e-01 1.906383e-01 -2.775558e-17
## [59,] 8.060172e-01 1.939828e-01 0.000000e+00
## [60,] 8.026728e-01 1.973272e-01 0.000000e+00
## [61,] 7.993283e-01 2.006717e-01 0.000000e+00
## [62,] 7.959839e-01 2.040161e-01 0.000000e+00
## [63,] 7.926394e-01 2.073606e-01 0.000000e+00
## [64,] 7.892950e-01 2.107050e-01 0.000000e+00
## [65,] 7.859505e-01 2.140495e-01 0.000000e+00
## [66,] 7.826061e-01 2.173939e-01 0.000000e+00
## [67,] 7.792616e-01 2.207384e-01 0.000000e+00
## [68,] 7.759172e-01 2.240828e-01 0.000000e+00
## [69,] 7.725727e-01 2.274273e-01 0.000000e+00
## [70,] 7.692283e-01 2.307717e-01 0.000000e+00
## [71,] 7.658838e-01 2.341162e-01 0.000000e+00
## [72,] 7.625394e-01 2.374606e-01 0.000000e+00
## [73,] 7.591949e-01 2.408051e-01 0.000000e+00
## [74,] 7.558505e-01 2.441495e-01 0.000000e+00
## [75,] 7.525060e-01 2.474940e-01 0.000000e+00
## [76,] 7.491615e-01 2.508385e-01 0.000000e+00
## [77,] 7.458171e-01 2.541829e-01 0.000000e+00
## [78,] 7.424726e-01 2.575274e-01 0.000000e+00
## [79,] 7.391282e-01 2.608718e-01 0.000000e+00
## [80,] 7.357837e-01 2.642163e-01 0.000000e+00
## [81,] 7.324393e-01 2.675607e-01 0.000000e+00
## [82,] 7.290948e-01 2.709052e-01 0.000000e+00
## [83,] 7.257504e-01 2.742496e-01 0.000000e+00
## [84,] 7.224059e-01 2.775941e-01 0.000000e+00
## [85,] 7.190615e-01 2.809385e-01 0.000000e+00
## [86,] 7.157170e-01 2.842830e-01 0.000000e+00
## [87,] 7.123726e-01 2.876274e-01 0.000000e+00
## [88,] 7.090281e-01 2.909719e-01 0.000000e+00
## [89,] 7.056837e-01 2.943163e-01 0.000000e+00
## [90,] 7.023392e-01 2.976608e-01 0.000000e+00
## [91,] 6.989948e-01 3.010052e-01 0.000000e+00
## [92,] 6.956503e-01 3.043497e-01 0.000000e+00
## [93,] 6.923059e-01 3.076941e-01 0.000000e+00
## [94,] 6.889614e-01 3.110386e-01 0.000000e+00
## [95,] 6.856170e-01 3.143830e-01 0.000000e+00
## [96,] 6.822725e-01 3.177275e-01 0.000000e+00
## [97,] 6.789281e-01 3.210719e-01 5.551115e-17
## [98,] 6.755836e-01 3.244164e-01 0.000000e+00
## [99,] 6.722392e-01 3.277608e-01 5.551115e-17
## [100,] 6.688947e-01 3.311053e-01 0.000000e+00
## [101,] 6.655503e-01 3.344497e-01 -5.551115e-17
## [102,] 6.622058e-01 3.377942e-01 0.000000e+00
## [103,] 6.588614e-01 3.411386e-01 5.551115e-17
## [104,] 6.555169e-01 3.444831e-01 0.000000e+00
## [105,] 6.521725e-01 3.478275e-01 0.000000e+00
## [106,] 6.488280e-01 3.511720e-01 0.000000e+00
## [107,] 6.454836e-01 3.545164e-01 0.000000e+00
## [108,] 6.421391e-01 3.578609e-01 0.000000e+00
## [109,] 6.387947e-01 3.612053e-01 0.000000e+00
## [110,] 6.354502e-01 3.645498e-01 0.000000e+00
## [111,] 6.321058e-01 3.678942e-01 0.000000e+00
## [112,] 6.287613e-01 3.712387e-01 0.000000e+00
## [113,] 6.254169e-01 3.745831e-01 0.000000e+00
## [114,] 6.220724e-01 3.779276e-01 0.000000e+00
## [115,] 6.187280e-01 3.812720e-01 0.000000e+00
## [116,] 6.153835e-01 3.846165e-01 0.000000e+00
## [117,] 6.120391e-01 3.879609e-01 0.000000e+00
## [118,] 6.086946e-01 3.913054e-01 0.000000e+00
## [119,] 6.053502e-01 3.946498e-01 0.000000e+00
## [120,] 6.020057e-01 3.979943e-01 0.000000e+00
## [121,] 5.986613e-01 4.013387e-01 0.000000e+00
## [122,] 5.953168e-01 4.046832e-01 0.000000e+00
## [123,] 5.919724e-01 4.080276e-01 0.000000e+00
## [124,] 5.886279e-01 4.113721e-01 0.000000e+00
## [125,] 5.852835e-01 4.147165e-01 0.000000e+00
## [126,] 5.819390e-01 4.180610e-01 0.000000e+00
## [127,] 5.785946e-01 4.214054e-01 0.000000e+00
## [128,] 5.752501e-01 4.247499e-01 0.000000e+00
## [129,] 5.719057e-01 4.280943e-01 0.000000e+00
## [130,] 5.685612e-01 4.314388e-01 0.000000e+00
## [131,] 5.652168e-01 4.347832e-01 0.000000e+00
## [132,] 5.618723e-01 4.381277e-01 0.000000e+00
## [133,] 5.585279e-01 4.414721e-01 0.000000e+00
## [134,] 5.551834e-01 4.448166e-01 0.000000e+00
## [135,] 5.518390e-01 4.481610e-01 0.000000e+00
## [136,] 5.484945e-01 4.515055e-01 0.000000e+00
## [137,] 5.451501e-01 4.548499e-01 0.000000e+00
## [138,] 5.418056e-01 4.581944e-01 0.000000e+00
## [139,] 5.384612e-01 4.615388e-01 0.000000e+00
## [140,] 5.351167e-01 4.648833e-01 0.000000e+00
## [141,] 5.317723e-01 4.682277e-01 0.000000e+00
## [142,] 5.284278e-01 4.715722e-01 0.000000e+00
## [143,] 5.250834e-01 4.749166e-01 0.000000e+00
## [144,] 5.217389e-01 4.782611e-01 0.000000e+00
## [145,] 5.183945e-01 4.816055e-01 0.000000e+00
## [146,] 5.150500e-01 4.849500e-01 0.000000e+00
## [147,] 5.117056e-01 4.882944e-01 0.000000e+00
## [148,] 5.083611e-01 4.916389e-01 0.000000e+00
## [149,] 5.050167e-01 4.949833e-01 0.000000e+00
## [150,] 5.016722e-01 4.983278e-01 0.000000e+00
## [151,] 4.983278e-01 5.016722e-01 0.000000e+00
## [152,] 4.949833e-01 5.050167e-01 0.000000e+00
## [153,] 4.916389e-01 5.083611e-01 0.000000e+00
## [154,] 4.882944e-01 5.117056e-01 0.000000e+00
## [155,] 4.849500e-01 5.150500e-01 0.000000e+00
## [156,] 4.816055e-01 5.183945e-01 0.000000e+00
## [157,] 4.782611e-01 5.217389e-01 0.000000e+00
## [158,] 4.749166e-01 5.250834e-01 0.000000e+00
## [159,] 4.715722e-01 5.284278e-01 0.000000e+00
## [160,] 4.682277e-01 5.317723e-01 0.000000e+00
## [161,] 4.648833e-01 5.351167e-01 0.000000e+00
## [162,] 4.615388e-01 5.384612e-01 0.000000e+00
## [163,] 4.581944e-01 5.418056e-01 0.000000e+00
## [164,] 4.548499e-01 5.451501e-01 0.000000e+00
## [165,] 4.515055e-01 5.484945e-01 0.000000e+00
## [166,] 4.481610e-01 5.518390e-01 0.000000e+00
## [167,] 4.448166e-01 5.551834e-01 0.000000e+00
## [168,] 4.414721e-01 5.585279e-01 0.000000e+00
## [169,] 4.381277e-01 5.618723e-01 0.000000e+00
## [170,] 4.347832e-01 5.652168e-01 0.000000e+00
## [171,] 4.314388e-01 5.685612e-01 0.000000e+00
## [172,] 4.280943e-01 5.719057e-01 0.000000e+00
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