Problem 1: Portfolio Optimisation and Factor Investing Working in a large investment fund as a quantitative analyst, your daily task involves tracking portfolio weights of different factor trading strategies that your fund invests in. The factor trading strategies your fund is implementing are value (HML high book to market firms minus low book to market firms), size (SMB Small firms minus big firms), momentum (UMD past winners minus losers), operating profitability (RMW Robust firms minus weak firms) and investments (CMA Conservative firms minus Aggressive firms). The monthly factor returns for 4 trading strategies from July 1963 to December 2020 can be found in equity_strategies.csv as attached. Using the provided strategy returns, complete the following tasks:

1. Report the annualised average return and annualised volatility for each strategy.
2. Report the correlation and covariance matrix.
3. Construct an efficient portfolio EP with a target return of 3%. Report and interpret the weights on each asset. What is the portfolio risk? You need to use and report the Excel Solver steps for this task.
4. Construct the global minimum-variance portfolio GMV. Report the weights on each asset and the portfolio risk and return. You need to use and report Excel Solver for this task.
5. Your fund caters to multiple investors with different risk preferences. Using Excel Solver to complete the following tasks:
   1. Low risk portfolio A for the group of investors who requires 2% rate of return. What is the portfolio risk? Is this portfolio efficient/inefficient? Explain why this portfolio is efficient/inefficient.
   2. Medium risk portfolio B for the group of investors who targets return at 4%. What is the portfolio risk? What are the weights on individual trading strategies?
   3. High risk portfolio C for the group of investors who requires 10% return. What is the portfolio risk? What are the weights on individual trading strategies?
   4. Repeat 5)a, 5)b, and 5)c with short sale constraints. Note that Excel Solver might not be able to find a solution. (6 marks) e. Based on the results from 5a, 5b, 5c and 5d, do you agree/disagree that the mean variance optimisation is a reliable framework? Why? Your answers should tie with theories and practical implementation above.
6. Now you construct the portfolios in 5)a, 5)b, and 5)c, using EP and GMV portfolios constructed in Parts 3) and 4).
   1. What is the covariance between EP and GMV? Hint: It depends on the weights on each asset put in to construct each portfolio, risk of each asset, and covariances.
   2. What are the weights on EP and GMV to construct portfolios A, B and, C? Are the portfolios created by combining EP and GMV similar to their equivalents in 5a, 5b, and 5c in terms of risk and return?
   3. What you just did in Part 6 is simple and in fact you can span the entire efficient frontier using the two efficient portfolios. This mathematical fact was thought to be an insult to investment professionals. Explain conceptually why?

Problem 2: Value Investing

Your boss is increasingly concerned with the publicity given to value investing. More and more people know about this value trading strategy (buy value and sell growth firms), the excess returns will disappear because quantitative investors bid up the price of value stocks to efficient levels. Another reason is that excess returns to value may become less stable as capital flows in and out of value stocks in response to shifting sentiment. Such shifting sentiment may cause the excess return to value to display a pattern of short-term positive autocorrelation (style momentum) and longer-term negative autocorrelation (style reversal). Your boss would like you to find evidence to support/refute his claims. Download the file size_value.csv which contains monthly returns on different size and value portfolios. Complete the following tasks:

1) Plot a one-year moving average of excess returns to small value stocks over small growth stocks (small-high small-low) over the entire period. Compare the behaviour of the plot in two subsamples: Jan 1964 - Dec 1993 and Jan 1994 Dec 2020.

2) Calculate the mean, standard deviation, and Sharpe ratio of the excess return on the market portfolio over the Treasury Bill, and the return on small HML, for each of the two subsamples.

3) Aggregate the small HML return to quarterly data frequency and plot its autocorrelation function out of 12 quarters (3 years) in each of the two subsamples.

4) What do your results suggest about the changing behaviour of value returns in recent years? Do they support your bosss concerns above?

Excel: Your Excel file should include all workings and calculations. Formulas for the calculations should have cell references wherever possible. If you have computed a number incorrectly and just typed that number into the spreadsheet (or typed a formula using numbers when cell references could have been used), you will not receive partial credit for any portion of your computation that is correct. You need to report Excel Solver steps for each optimisation.

Please provide written answers in the Excel file

Equity_Strategies Data.

Size_Value Datas

0.27 0.25 0.27 0.29 0.27 0.29 0.3 0.26 0.31 0.29 0.26 0.3 0.3 0.28 0.28 0.29 Equity Strategies date Mkt-RF SMB HML RMW RF 196307 -0.39 -0.45 -0.94 0.66 -1.15 196308 5.07 -0.82 1.82 0.4 -0.4 196309 -1.57 -0.48 0.17 -0.76 0.24 196310 2.53 -1.3 -0.04 2.75 -2.24 196311 -0.85 -0.85 1.7 -0.45 2.22 196312 1.83 -1.9 -0.06 0.07 -0.3 196401 2.24 0.08 1.53 0.22 1.5 196402 1.54 0.31 2.86 0.06 0.85 196403 1.41 1.4 3.37 -2.01 2.93 196404 0.1 -1.5 -0.66 -1.35 -1.08 196405 1.42 -0.7 1.99 -0.26 0.24 196406 1.27 0.08 0.72 -0.42 0.14 196407 1.74 0.52 0.73 0.14 1.84 196408 -1.44 0.31 0.07 0.06 0.36 196409 2.69 -0.32 1.72 -0.48 0.58 196410 0.59 0.88 1.15 -0.29 0.48 196411 0 -0.27 -1.95 0.6 -0.16 196412 0.03 -0.58 -2.52 1.13 -1.63 196501 3.54 2.49 0.16 0.84 0.11 196502 0.44 3.32 0.16 0.4 -0.69 196503 -1.34 2.04 1.05 -0.3 0.73 196504 3.11 1.18 0.68 0.26 -2.3 196505 -0.77 0.06 -1.63 -0.38 0.7 196506 -5.51 -4.3 0.56 0.12 0.41 196507 1.43 1.08 2.18 -1.41 -0.02 196508 2.73 2.71 -0.96 2.06 -0.75 196509 2.86 0.62 -0.09 -0.82 0.82 196510 2.6 3.42 1.54 1.22 -0.76 196511 -0.03 5.19 0.21 -1.06 -0.9 196512 1.01 2.64 1.96 -1.28 -0.45 196601 0.72 4.71 3.51 -2.83 -0.07 196602 -1.21 4.86 0.27 -0.15 -1.44 196603 -2.51 0.22 -2.07 1.3 -0.01 196604 2.14 3.36 -0.54 0.41 -0.91 196605 -5.66 -5.18 -1.57 1.66 -1.52 0.29 0.31 0.28 0.3 0.36 0.31 0.31 0.35 0.31 0.33 0.31 0.31 0.35 0.33 0.38 0.35 0.38 0.34 0.41 196606 -1.44 0.5 0.8 0.38 0.06 -0.45 196607 1.34 -0.5 -3.02 -1.63 -7.91 0.99 0.35 0.41 196608 0.44 1.77 0.77 2.5 0.05 -1.06 196609 196610 196611 -1.18 -6.52 0.49 2.86 -4.53 0.4 0.45 3.86 -1.65 -3.64 4.17 0.68 4.28 -6.53 1.4 0.4 0.13 3.37 1.94 8.97 -1.28 -0.13 0.4 0.62 196612 196701 196702 196703 8.15 0.78 2.45 -2.15 0.46 -2.97 -0.94 0.43 0.36 3.02 1.94 3.99 1.87 0.9 -1.51 0.39 3.89 0.46 -2.52 2.43 -3.75 0.32 196704 196705 196706 2.36 0.99 -1.75 1.61 0.33 -4.33 2.41 6.45 -0.64 -2.39 0.27 196707 196708 0.51 4.58 -0.89 0.95 2.8 1.39 3.46 0.76 2.72 1.41 -0.95 0.31 0.31 0.42 0.22 196709 -2.48 0.32 3.11 -3.09 2.47 0.47 0.81 -2.55 0.39 196710 196711 196712 -3.38 -1.7 -0.06 5.76 -0.45 0.37 3.05 -4.06 -3.75 1.29 -0.64 -4.58 0.36 0.33 -2.29 0.03 6.45 4.47 4.79 0.4 196801 196802 -2.92 1.18 -0.14 0.39 2.49 -1.15 0.2 -1.52 -0.62 0.38 196803 196804 1.17 2.79 0.43 196805 196806 196807 9.05 2.28 0.69 -2.72 6.26 7.03 -0.27 -1.33 -1.14 0.86 0.68 0.39 -1.33 -3.66 -1.82 2.68 3.61 0.4 0.45 0.43 0.48 5.41 -3 196808 1.34 2.29 1.01 -0.6 4.03 0.92 196809 196810 0.33 2.85 -2.03 -1.3 0.42 0.43 0.44 0.42 2.77 -0.43 2.41 3.6 0.42 5.43 2.81 -2.52 196811 -0.9 0.46 196812 -3.94 0 -1.78 0.43 -1.25 1.66 -0.46 -4.13 1.65 1.41 0.8 -0.42 0.53 0.46 -5.84 196901 196902 196903 196904 196905 -1.54 2.17 -1.34 0.86 2.64 0.46 -0.41 -0.82 -0.52 -0.03 0.06 1.46 -0.1 -7.18 0.38 -0.97 -0.18 0.71 1.49 0.53 0.48 0.51 196906 -5.49 -1.1 4.26 -1.55 196907 -7 1.22 1.4 1.97 0.53 -3.37 0.7 196908 -3.83 1.16 -4.08 0.5 4.68 -2.98 0.62 196909 196910 196911 1.29 3.9 -3.27 -3.04 -1.15 3.42 0.01 1.44 -0.83 -2.03 5.06 -3.79 -2.63 0.6 -2.41 0.32 0.52 -3.69 -3 -2.04 0.64 0.6 196912 197001 197002 197003 -8.1 5.13 -1.06 3.09 -2.58 -2.4 3.15 4.02 2.47 -1.77 -2.28 -0.87 3.92 3.06 0.62 0.57 4.09 4.43 -11 -6.29 6.21 -0.64 0.5 5.88 3.62 -6.92 -4.42 3.43 -1.3 -2.16 0.19 197004 197005 197006 197007 197008 197009 -5.79 6.93 4.49 0.6 1.01 -0.69 1.55 2.9 1.9 -0.15 -5.93 -0.07 0.57 0.24 0.53 0.58 0.52 0.53 0.54 1.02 -5.63 4.18 8.48 0.25 1.83 2.38 0.46 -4.5 -4 1.75 197010 197011 197012 197101 -2.28 4.6 5.72 4.84 1.67 0.86 1.33 1.59 0.28 0.46 0.42 3.03 7.54 0.14 -2.19 -0.14 0.38 197102 1.41 -1.22 0.65 -0.72 0.33 2.04 2.14 -0.38 -4.06 0.3 197103 197104 197105 197106 197107 4.13 3.15 -3.98 -0.1 1.97 -1.56 1.46 -2.69 0.72 0.3 0.71 -1.48 -1.82 0.17 2.56 0.28 0.29 0.37 0.4 -1.18 -1.45 -1.4 -0.18 1.52 -1.74 -4.5 0.48 1.62 3.79 -0.34 2.6 0.47 197108 197109 0.2 -0.85 -4.42 -0.46 2.59 1.48 0.37 0.37 197110 197111 -1.65 -2.88 -2.89 -0.37 -1.73 -0.41 -1.56 -1.24 -0.36 -1.83 2.45 0.37 0.37 197112 197201 197202 197203 8.71 2.49 2.87 3.26 6.31 0.96 -0.5 0.15 1.93 -2.8 -0.43 -1.48 1.65 0.29 -0.52 -0.19 0.29 0.25 0.63 -1.68 1.58 0.27 197204 0.29 -0.59 -0.89 0.24 -2.73 0.29 0.3 197205 1.25 2.33 -1.85 -3.14 -0.35 197206 -2.43 -2.6 1.75 0.29 -0.36 -0.59 197207 -0.8 -2.74 0.71 1.08 0.31 197208 3.26 4.64 0.51 2.95 -1.98 -2.02 1.67 -0.12 0.29 0.34 197209 -1.14 197210 0.52 1.3 -0.05 0.4 -3.53 -2.25 -2.52 -0.54 -1.82 -2.79 4.6 4.82 197211 197212 197301 0.62 -3.29 -1.98 2.6 0.4 0.37 0.37 -2.24 2.67 3.35 -2.2 0.92 0.44 -4.85 1.71 -0.34 -0.01 0.41 -1.3 -1.07 2.73 5.62 197302 197303 197304 197305 197306 197307 -4.01 -2.31 -2.99 -5.98 -2.53 -1.63 -5.68 -2.94 0.73 2.71 -1.79 0.46 0.52 0.51 0.25 2.02 -1.56 1.37 -0.27 0.22 0.51 -5.32 -0.1 -3.46 0.64 7.28 -1.79 197308 1.32 -1.36 1.2 0.7 5.05 -3.82 4.75 -0.83 -12.75 3.58 197309 197310 197311 2.01 1.82 2.59 2.03 -0.32 -7.24 0.68 0.65 0.56 3.91 1.5 -2.3 -1.94 -2.71 -2.8 -3.01 -1.93 197312 -4.59 3.9 2.3 0.64 10.38 197401 197402 197403 0.61 -0.17 -0.47 -2.81 -5.29 5.99 2.86 4.46 2.67 0.1 0.63 0.58 0.56 -0.28 2.82 0.36 2.67 -0.63 0.95 2.86 1.84 0.75 -2.08 0.78 197404 197405 197406 197407 197408 197409 -4.68 -2.83 -8.05 -9.35 -11.77 -3.17 -0.01 1.99 0.3 5.08 0.62 -3.26 -0.01 3.05 4.58 0.75 0.6 0.7 5.14 2.5 -0.26 2.55 0.6 5.49 5.91 0.81 1.46 -6.85 -4.28 -0.03 197410 -9.99 -2.94 0.51 2.95 197411 197412 -0.16 0 0.54 0.7 16.1 -4.51 -3.45 13.66 5.56 2.66 4.23 -3.39 -0.65 -0.89 -1.44 -4.36 12.79 -0.65 3.98 197501 3.23 -0.86 8.44 0.58 -4.56 1.15 -2.14 0.43 0.41 0.44 -0.59 197502 197503 197504 197505 197506 197507 2.49 -1.11 -4.02 1.32 -1.25 -1.35 -0.61 1.07 2.89 1.23 1.37 -1.05 -2.62 0.43 0.44 5.19 4.83 -6.59 -2.85 0.41 1.32 3.42 -2.8 1.7 1.19 0.48 197508 -0.95 1.03 -0.89 0.48 0.02 0.34 0.5 0.53 197509 197510 0.53 -0.46 0.34 0.56 -4.26 5.31 2.64 -1.6 12.16 -4.24 -1.07 2.27 1.71 197511 197512 1.96 -0.62 -0.12 0.6 -0.03 6.35 1.74 8.65 0.41 0.48 0.47 197601 -1.9 2.36 197602 0.32 5.85 -2.58 3.84 0.34 7.97 -1.33 0.15 1.09 0.4 197603 197604 197605 2.32 -1.49 -1.34 4.05 -0.08 -0.14 -1.3 -0.38 0.39 -1.1 -1.42 0.42 0.37 -1.12 2.47 197606 -1.13 0.65 -0.59 0.93 0.43 -1.07 1.69 197607 197608 197609 0.62 -2.03 -0.56 2.07 -2.42 0.36 0.81 -0.24 -0.15 1.51 0.12 0.16 -1.09 -0.46 0.99 -0.22 -1.39 0.29 -0.59 -1.14 -0.32 0.07 0.47 0.42 0.44 0.41 197610 197611 2.66 0.4 197612 3.6 2.2 2.23 0.4 197701 5.89 4.25 5.65 -4.05 -1.94 -1.37 1.11 197702 197703 197704 0.52 1.06 -0.62 -0.53 -0.13 -0.32 -2.05 1.93 -0.19 -0.09 0.36 0.35 0.38 1.29 0.15 0.6 3.44 1.14 0.38 197705 0.11 0.37 0.84 -0.68 0.33 0.88 197706 -1.22 1.28 2.08 1.82 0.89 -0.6 0.01 -1.45 4.71 -1.69 -1.75 -0.27 -4.38 197707 197708 197709 0.83 0.96 0.4 0.42 0.44 -2.76 1.56 -0.51 1.23 -0.62 -0.84 -0.46 0.43 197710 1.5 1.73 -0.3 0.49 0.5 4 3.62 197711 197712 0.27 1.61 0.29 -0.38 3.31 0.71 -0.05 0.94 -1.67 0.65 -0.65 1.53 1.04 0.49 0.49 197801 -6.01 2.69 197802 -1.38 3.67 0.46 0.36 -0.6 2.85 3.72 1.23 197803 197804 -3.56 -0.31 4.56 2.82 0.27 1.88 -1.35 0.36 197805 -0.59 7.88 1.76 -1.69 5.11 0.53 0.54 0.51 0.54 0.56 197806 1.59 0.55 -1.44 -0.02 197807 0.15 -0.78 -1.08 -0.57 1.58 1.39 0.42 0.56 197808 197809 3.75 -1.43 4.93 -0.29 1.87 -0.68 1.8 0.62 197810 -11.91 -10.05 1.4 0.17 1.03 0.68 2.71 2.84 1.09 0.7 197811 197812 0.88 1.08 -2.19 -2.17 2.29 1.16 -1.21 -1.38 1.57 0.78 0.77 197901 4.23 1.96 -2.5 -1.14 3.84 197902 -3.56 0.55 1.04 0.73 197903 5.68 3.16 -0.69 0.62 0.28 0.81 2.4 1 1.05 0.21 0.8 197904 197905 197906 -0.06 -2.21 3.85 0.15 1.3 0.82 -1.39 -1.61 -0.35 -0.45 0.99 1.45 0.81 0.82 1.24 1.75 -0.2 0.59 0.77 197907 197908 1.98 0.77 5.53 -0.82 -0.27 0.83 197909 197910 197911 -8.1 -3.46 -1.52 -0.87 -1.81 -3.38 -2.04 1.58 1.02 1.04 0.11 -0.67 0.87 5.21 0.99 2.44 4.35 -1.45 0.54 0.24 -2 -1.01 2.01 3.03 -1.34 197912 1.79 0.95 5.51 1.9 1.72 -1.67 0.8 198001 198002 0.11 0.89 -1.22 -12.9 -1.5 -6.97 0.66 -1.02 1.38 1.21 198003 198004 3.97 1 1.01 -2.09 0.54 1.26 198005 5.26 2.1 0.31 0.81 198006 3.06 6.49 1.8 1.47 3.93 198007 198008 -0.09 3.94 2.1 2.19 0.61 0.53 0.64 0.75 198009 198010 0.38 -0.85 -6.29 -2.64 -4.77 -2.77 -8.36 2.73 6.83 4.26 0.58 2.33 -0.47 -0.95 -2.46 -0.8 -2.81 -1.22 -5.74 1.18 4.35 2.03 1.67 4.53 1.06 0.95 198011 -3.41 0.96 9.59 -4.52 -0.3 198012 198101 198102 -1.25 -3.54 1.31 1.04 -5.04 0.57 3.56 3.38 -0.49 1 0.19 2.25 1.07 198103 -2.34 1.21 3.07 4.6 -0.53 1.2 198104 198105 198106 0.69 2.29 -0.47 -2.11 0.11 -2.36 0.82 0.33 -1.35 1.08 1.15 2.45 -0.96 5.1 -1.6 2.68 -3.04 1.35 198107 1.08 -1.54 -7.04 -1.97 -1.81 -0.68 4.84 5.2 1.24 1.28 198108 1.46 198109 -2.5 -0.25 -0.02 3.29 -7.17 4.92 1.24 2.79 -2.76 198110 2.24 -4.22 1.21 198111 -1.38 0.1 0.63 1.07 198112 2.41 0.87 3.36 -3.65 -3.24 -5.86 1.19 -1.18 1.89 0.75 3.19 6.1 0.19 -1.52 -3.38 2.08 198201 198202 0.8 0.36 4.57 0.92 0.98 198203 -1.87 0 -1.44 2.37 3.79 -2.77 198204 198205 1.51 0.91 1.8 3.27 -3.99 -3.09 -3.19 1.15 0.56 -0.51 0.95 -0.15 -0.09 2.72 198206 1.54 0.03 1.13 1.06 0.96 1.05 0.76 198207 0.12 1.03 1.54 0.18 198208 11.14 -4.29 1 -1.96 1.29 2.58 0.33 0.51 198209 198210 198211 2.12 0.3 11.3 1.92 -3.73 0.59 -0.04 -0.37 0.32 1.03 0.63 4.67 0.55 4.53 -0.01 -1.89 -0.03 -1.05 -0.07 198212 0.67 198301 3.6 -1.5 -0.46 -0.81 0.7 198302 198303 2.59 2.82 6.67 3.28 2.91 1.41 0.48 -0.57 -0.07 0.69 0.62 0.63 0.71 1.02 2.81 1.6 2.05 0.56 198304 -0.16 6.22 -1.42 -1.85 -1.53 0.69 1.15 -3.93 2.52 198305 198306 198307 198308 0.52 3.07 -4.07 -0.5 -0.89 2.84 0.67 0.74 0.98 -4.34 5.61 5.56 -0.03 0.45 1.95 0.76 198309 1.08 1.21 0.59 0.76 0.91 -3.44 198310 5.07 -0.81 2.97 0.76 198311 2.16 0.25 -3.82 1.88 -0.47 -0.07 -0.64 -0.48 0.64 0.7 1.68 1.59 198312 198401 198402 1.21 3 -0.93 7.62 3.36 0.73 0.76 0.71 0.82 1.57 -1.78 -1.92 -4.82 0.63 -0.51 -5.97 -1.62 -0.28 0.51 1.09 0.73 198403 198404 -0.93 3.27 -1.02 0.76 0.81 0.78 2.32 0.08 0.07 -0.5 -1.51 1.82 1.27 0.26 -2.62 0.48 -1.82 3.08 198405 198406 198407 198408 0.75 -2.74 -2.22 3.69 0.82 -2.17 -0.81 10.28 -0.3 -0.89 0.83 198409 -0.8 0 5.32 1.4 2.53 0.86 -1.16 1 198410 198411 -0.84 -1.76 -1.43 -0.98 0.51 4.08 1.17 0.81 2.08 0.73 198412 1.84 1.21 -1.26 0.64 -0.69 3.5 198501 7.99 -0.2 -5.41 -0.13 -0.83 -3.36 0.65 198502 1.22 1 1.26 1.03 0.58 0.62 -0.84 -1.48 1.18 198503 198504 4.1 3.72 -0.96 -0.1 1.59 0.72 2.94 0.71 -1.39 -0.59 5.09 1.3 0.66 198505 198506 -0.92 0.5 1.69 1.27 -0.74 -2.33 0.35 2.89 -0.32 0.55 0.62 -1.68 198507 198508 -0.45 -0.04 -0.31 1.88 -1.02 2.32 0.55 0.6 198509 -4.54 -1.81 1.31 1.16 1.61 198510 -1.55 0.78 0.92 -1.11 0.65 0 0.29 -2.33 0.61 198511 198512 4.02 6.48 3.88 0.65 -0.39 -1.8 0.65 -2.88 -1.52 0.52 -0.85 0.97 -2.02 0.56 198601 198602 1.01 -0.75 -2.05 -1.39 7.13 1.15 0.53 -0.57 -0.44 1.12 0.99 0.6 198603 198604 4.88 -1.31 4.62 1.03 -6.45 198605 198606 2.92 -1.26 -0.88 -3.54 -2.86 -0.14 1.36 0.02 1.11 2.91 2.08 1.83 0.52 0.49 0.52 0.87 198607 4.76 -0.57 0.61 0.52 3.5 3.24 198608 198609 6.07 -8.6 -4.37 1.96 -1.74 -0.05 0.46 0.45 3.62 198610 0.13 0.46 4.66 1.17 3.16 -1.37 -0.13 0.27 -2.33 -1.88 0.07 0.89 0.61 198611 1.12 0.39 198612 -3.27 0.83 -0.03 0.49 -1.52 0.2 -1.09 0.42 198701 198702 12.47 4.39 -3.26 -5.97 3.41 -0.9 -2.76 1.62 4.03 198703 198704 1.64 -2.11 0.22 -1.55 1.36 -0.46 0.43 0.47 0.44 -0.34 1.22 198705 0.11 -0.6 0.22 0.52 1.32 1.01 0.83 198706 198707 198708 3.94 3.85 -2.29 -1.11 -0.9 0.38 0.48 0.46 1.73 -0.5 2.03 0.67 -0.92 1.56 -1.59 198709 0.37 0.27 1.89 3.52 -2.59 -23.24 -7.77 6.81 -0.9 2.01 0.47 0.45 0.6 198710 -8.08 4.2 2.39 198711 2.83 3.13 -1.92 0.71 0.35 198712 0.09 -4.45 3.01 -2.36 0.39 -0.54 -1.12 0.29 4.21 4.75 4.99 -1.62 2.09 -0.11 3.32 1.56 0.46 -2.27 6.25 0.72 1.91 198801 198802 198803 198804 198805 198806 -0.16 -0.23 0.44 0.46 1.7 0.56 -0.29 2.33 -0.7 1.12 -2.59 2.19 -0.17 1.9 0.38 -3.25 4.79 -1.09 1.42 0.51 0.49 0.51 0.59 198807 -1.25 2.2 -0.59 1.44 198808 1.73 -3.31 3.3 -0.01 -1.31 -2.95 2.12 -0.68 -0.74 1.73 198809 198810 198811 -0.49 1.15 1.7 1.4 1.05 0.62 0.61 0.57 -2.29 -1.66 1.3 -0.28 1.6 198812 2.01 -1.54 0.63 -0.37 0.63 1.49 6.1 198901 0.49 -1.03 0.16 0.55 -2.23 2.67 198902 0.9 -0.81 1.9 -2.25 1.57 0 198903 198904 0.77 -0.69 0.47 -1.42 0.79 -0.54 0.61 0.67 0.67 0.79 4.33 0.75 198905 -0.9 0.5 -0.03 198906 3.35 -1.35 7.2 1.44 -0.01 -1.07 -4.05 2.27 0.71 0.7 -2.79 0.22 1.97 0.34 198907 198908 0.43 0.63 1.52 -0.61 -0.5 0.59 0.01 0.74 1.36 0.65 198909 198910 -0.76 -3.67 1.03 0.44 -3.32 -1.33 -1.25 -1.07 198911 1.47 0.01 -0.97 -0.06 -1.13 -1.07 0.21 0.78 198912 199001 199002 1.44 1.16 -7.85 1.11 -2.3 -1.32 1.19 1.66 0.65 -0.2 0.68 0.69 0.61 0.57 0.57 0.64 0.69 0.68 0.63 199003 1.83 -3.03 1.32 -0.64 -1.03 -0.97 -1.57 -3.36 8.42 -1.09 -0.39 -2.39 2.18 1.72 1.63 -1.05 -2.47 -3.89 -1.99 1.37 -0.34 -3.26 -0.11 -0.26 3.1 0.68 199004 199005 199006 199007 199008 199009 199010 199011 1.63 2.99 -3.85 -3.78 -5.1 -0.43 -0.15 -1.9 -10.15 -6.12 -1.92 6.35 2.46 3.71 0.71 0.19 -0.49 2.83 0.83 0.66 0.6 0.68 0.57 0.6 -0.04 0.59 -3.21 -1.72 -1.74 -4.75 -2 199012 2.84 199101 4.69 3.86 1.56 -4.08 0.52 199102 3.97 7.19 2.65 -0.55 -1.32 -0.25 -0.37 -0.16 -0.99 0.48 0.44 199103 3.85 199104 0.32 1.48 0.71 -0.28 3.65 0.52 2.1 0.16 -0.57 199105 199106 199107 0.53 0.47 0.42 -4.94 0.18 1.23 -1.25 1.75 1.6 -2.45 0.63 -1.41 -0.55 4.24 -0.96 0.49 199108 1.44 -0.83 0.46 2.32 -1.59 1.29 0.16 199109 199110 199111 199112 199201 1.56 0.94 -0.87 0.87 -1.81 -1.73 1.06 -0.29 0.46 0.42 0.39 -4.19 0.12 10.84 3.57 -3.12 -2.42 9.26 0.38 0.34 -0.59 -1.33 3.15 -0.98 -0.47 -1.85 -4.11 4.61 6.37 3.61 4.27 1.25 3.36 199202 1.09 1.35 0.28 2.04 1.93 199203 -0.9 -2.66 1.07 0.3 0.34 0.32 -5.73 0.11 -0.1 1.69 -0.98 -0.05 199204 199205 2.22 0.43 0.28 0.22 -2.71 199206 -2.34 0.32 0.31 199207 199208 3.77 -2.38 1.19 -0.61 -0.43 -0.37 -1.06 -0.28 1.4 3.73 1.63 1.3 1.07 -0.72 -1.62 -0.5 0.26 0.26 199209 0.5 199210 1.02 2.03 0.23 -2.01 -1.4 4.13 0.23 199211 199212 3.93 1.64 -0.77 -0.41 0.28 1.53 0.93 0.12 2.63 5.92 -0.8 -1.91 0.75 2.78 4.05 0.92 2.07 199301 199302 199303 -1.73 6.41 -0.59 0.23 0.22 0.25 -3.47 0.06 -0.86 2.3 1.31 -0.14 -3.58 -3.05 2.52 1.52 0.24 199304 199305 2.89 1.9 -3.45 0 -1.18 0.22 0.31 0.11 2.72 -0.97 1.09 0.25 199306 199307 -0.34 0.89 2.82 -1.84 2.03 0.24 199308 3.71 0.13 0.13 -1.59 -0.04 0.25 0.26 0.26 199309 199310 -0.12 1.41 2.98 1.9 -0.25 -2.72 0.55 -0.08 0.59 -0.96 -1.89 -1.26 199311 199312 -0.77 0.36 0.22 0.25 0.23 1.65 2.87 2.25 1.13 -1.59 1.39 -0.01 2.66 -0.32 1.45 1.13 199401 199402 0.25 -2.55 -1.59 2.2 -1.03 0.21 -4.78 -1.11 1.63 0.55 1.27 0.27 199403 199404 0.68 -1.06 1.66 1.11 1.12 0.27 199405 0.58 -2.52 0.66 0.66 0.7 0.31 -3.03 -0.52 1.15 199406 199407 1.53 0.11 2.82 1.72 0.56 -2.47 -1.84 -0.63 0.9 0.31 0.28 0.37 199408 4.01 1.34 -1.45 199409 -2.31 -1.87 0.37 2.78 -2.3 0.38 0.93 -0.62 -0.44 1.34 -4.04 0.86 0.51 0.22 0.45 0.5 199410 199411 199412 199501 0.09 0.37 -1.66 -0.69 -0.2 2.54 0.07 0.31 0.44 1.8 0.09 -0.83 0.42 -3.11 -0.52 199502 3.63 1.12 -0.33 0.4 0.61 -0.09 199503 2.19 -0.51 -2.15 0.16 0.46 199504 2.11 -0.29 1 1.71 2.23 0.44 0.54 -2.2 199505 199506 0.24 0.37 -0.33 2.9 2.72 0.09 -2.44 3.03 -2.5 0.47 199507 3.72 2.07 -1.63 -1.71 0.45 1.64 0.55 3.35 0.47 0.28 -1.17 1.06 1.78 -1.97 -4.09 2.84 0.02 199508 199509 199510 199511 199512 0.36 -0.03 -1.52 -0.46 1.84 3.96 -1.14 0.61 -0.54 1.03 0.69 -1.35 0.33 0.22 -2.49 199601 199602 199603 0.13 0.24 1.19 2.99 2.27 -1.8 -0.97 2.26 1.33 0.73 2.06 -1.16 1.76 1.63 0.43 0.47 0.42 0.49 0.43 0.39 0.39 0.46 0.42 0.4 0.45 0.41 1.46 199604 4.7 0.31 -4.08 -0.8 -0.14 -2.2 199605 2.36 0.15 -0.22 199606 199607 199608 -1.14 -5.97 2.77 3.13 -3.57 -3.82 2.26 5.16 1.09 2.59 -2.42 2.58 3.34 2.95 -0.41 1.24 1.52 -0.78 199609 5.01 -1.37 -2.76 0.44 199610 199611 0.86 6.25 -3.84 -3.82 4.92 1.46 2.05 -2.18 2.97 -0.73 1.52 -0.28 3.41 0.41 3.16 -1.85 199612 199701 199702 199703 -1.7 4.98 -0.49 -5.02 1.33 -1.43 5.7 1.23 0.42 0.41 0.46 0.45 0.39 0.43 0.67 -2.66 -0.5 3.43 0.46 1.66 4.04 -5.72 0.09 3.36 -0.9 0.43 6.74 -1.03 -2.91 199704 199705 199706 199707 -4.08 1.62 0.2 0.49 0.37 4.1 0.61 0.55 -2.56 7.33 0.09 0.43 199708 1.12 -1.01 -0.02 0.41 -4.15 5.35 199709 199710 199711 4.74 1.17 -2.76 7.65 2.5 -0.54 -5.09 -2.14 -1.3 0.29 2.33 1.24 -1.59 1.07 0.44 0.42 -3.8 -0.93 1.87 1.66 1.92 2.98 2.83 0.39 199712 1.32 4.03 0.76 0.48 0.43 -0.85 0.15 7.04 4.76 -1.65 -0.78 199801 199802 199803 199804 199805 0.14 0.87 -0.31 -0.3 0.39 0.39 -0.67 1.54 0.89 0.73 -0.05 -1.63 -2.41 -0.47 -0.23 2.54 -2.93 0.43 0.4 -3.07 -2.95 3.43 1.05 199806 3.18 -3.72 -1.8 -0.29 0.41 199807 1.83 0.4 -2.46 -16.08 -5.25 -5.17 -0.8 -1.71 3.56 -3.42 0.45 5.84 199808 199809 199810 0.43 3.45 -1.69 6.15 -2.91 0.46 7.13 0.77 0.29 0.32 6.1 199811 199812 199901 -3.43 0.71 -1.57 -0.62 -5.22 -1.15 -3.33 6.16 -2.21 -3.16 -4.2 -4.66 1.91 -2.77 0.31 0.38 0.35 3.5 -6.86 -1.08 -0.66 -2.66 -1.24 -3.9 -2.26 -4.08 4.09 0.35 199902 199903 3.45 -1.4 0.43 199904 4.33 2.34 0.92 0.37 -2.46 4.77 -3.49 -4.18 4.67 3.64 2.27 2.49 199905 199906 199907 199908 2.36 -3.4 -0.48 0.76 1.11 0.45 3.36 -3.38 0.34 0.4 3.11 0.38 -1.38 -1.83 -0.2 0.31 0.39 0.39 -1.72 -3.42 -3.16 -2.79 6.12 3.37 199909 199910 199911 199912 2.57 -7.05 5.81 -0.77 -1.88 -1.07 -1.25 -1.58 -5.29 0.39 0.36 -6.07 -4.01 -7.53 7.72 5.42 0.44 -8.4 -1.75 200001 -4.74 4.38 4.73 0.41 200002 18.08 -8.94 0.43 2.45 5.2 -6.07 -18.48 11.53 7.66 200003 -14.89 -5.25 7.66 7.41 -0.51 -1.05 5.27 0.47 0.46 200004 -6.4 -4.42 5.01 0.5 200005 200006 200007 -4.11 9.89 4.36 -8.05 0.74 -3.07 0.4 4.64 -2.51 -8.22 8.4 -1.03 6.28 2.99 0.48 200008 7.03 -3.17 0.61 0.5 -5.45 200009 200010 200011 -0.94 0.02 -2.86 -0.69 -1.47 7.28 5.71 6.43 4.67 0.51 0.56 -2.76 -10.72 2.77 9.44 13.38 2.35 0.51 1.19 200012 200101 200102 12.53 7.67 -5.33 0.5 8.51 5.68 -6.55 3.16 5.78 2.63 3.13 -10.05 0.54 0.38 12.58 -5.31 9.09 3.27 -3.42 9.56 3.94 -7.26 2.27 6.52 0.42 200103 200104 7.94 -0.66 -4.8 0.39 -3.95 2.18 0.72 3.56 3.34 0.17 0.32 200105 200106 6.63 -1.16 1.32 0.28 -1.94 -2.13 -6.46 -1.79 3.01 5.35 200107 200108 200109 0.3 -2.83 2.73 -5.74 2.33 7.42 3.94 4.89 6.5 0.31 0.28 -9.25 1.57 3.28 200110 5.37 -2.98 2.46 7.54 -0.35 -7.66 2.16 0.9 200111 200112 -3.88 -4.64 -1.66 -0.29 2.84 0.22 0.17 0.15 0.14 5.21 0.24 1.61 -1.44 1.23 3.38 4.66 200201 200202 -2.29 -0.38 2.21 8.04 5.12 0.13 0.13 200203 4.2 1.08 -1.75 0.61 4.24 -5.2 200204 6.65 3.96 4.46 5.41 200205 -3.08 -1.38 -7.21 2.16 3.79 1.57 0.04 -3.71 2.42 2.51 0.15 0.14 0.13 200206 200207 3.8 -6.26 -8.18 3.72 0.15 200208 0.5 -1.42 3.23 1.25 -0.72 -1.62 -2.28 0.91 200209 200210 200211 -10.35 7.84 3.03 -4.32 3.02 1.49 -4.07 3.19 -3.35 -8.93 0.14 0.14 0.14 0.12 0.11 0.1 5.96 -1.51 5.1 200212 -5.76 0.51 2.28 6.18 -0.86 200301 200302 200303 -2.57 -1.88 0.72 -0.95 0.59 -1.33 -1.6 0.79 -0.55 -0.71 1.11 3.14 -0.94 0.87 1.89 -4.59 -7.07 0.09 0.1 1.09 8.22 6.05 1.05 -2.15 0.89 0.11 200304 200305 0.1 4.67 0.09 200306 0.39 0.48 0.1 1.42 2.35 1.68 4.71 -0.36 1.87 200307 -4.22 0.07 -1.08 1.61 2.34 2.2 200308 200309 200310 2.58 0.46 -2.29 1.07 -1.24 0.31 0.05 1.92 0.07 0.08 0.07 6.08 2.66 1.55 200311 1.35 2.22 1.8 -1.37 0.14 0.49 1.67 0.07 4.29 1.58 0.08 200312 200401 -2.58 2.44 0.97 3.4 0.07 2.15 1.4 -3.67 2.16 200402 -0.96 0.06 -1.34 -1.04 200403 2.13 2.45 0.86 0.24 -3.07 -0.29 1.7 -1.32 -1.83 1.17 1.86 -4.06 200404 200405 -2.05 -0.43 3.48 -1.19 -2.8 -0.08 -0.41 0.09 0.08 0.06 2.57 200406 200407 1.23 3.28 1.18 5.07 -1.62 -1.45 0.08 0.1 0.11 -3.05 -1.26 3.28 200408 0.96 0.08 1.6 1.14 200409 -0.07 -1.32 0.11 -1.89 0.4 200410 200411 1.43 4.54 3.43 -2.76 0.2 4.08 -0.06 -0.29 1.43 -0.3 -0.66 -1.17 0.11 0.15 0.16 200412 -0.23 0.51 -1.38 -0.18 200501 -1.21 2.01 0.16 2.73 1.47 200502 1.89 -1.97 1.63 2.14 0.16 0.21 200503 0.56 -0.04 1.12 -0.9 200504 200505 -0.3 -1.35 -4.02 2.72 3.26 -2.61 3.65 0.57 0.05 -0.66 2.82 0.82 -1.09 1.1 0.21 0.24 0.28 -0.52 200506 0.23 200507 3.92 -0.83 -1.21 0.24 -1.22 1.38 200508 200509 200510 0.3 2.79 -0.88 -0.34 -1.41 -0.98 0.44 -0.57 0.74 0.49 -2.02 3.61 -1.25 0.45 -1.16 -2.1 0.34 -0.86 -0.77 0.17 -0.6 0.29 0.27 0.31 0.32 200511 0.81 -1.18 200512 -0.25 200601 3.04 -0.25 5.8 -0.44 0.24 0.99 -0.26 0.22 -0.54 2.03 -0.52 0.35 0.34 200602 -0.3 -0.58 1.46 0.68 -0.03 0.37 200603 200604 3.42 -0.8 2.37 1.8 -0.2 0.36 0.73 -3.57 200605 2.45 1.07 1.31 0.43 -3 -0.23 200606 -0.35 0.92 1.36 -0.11 0.4 200607 -0.78 -3.63 2.67 1.67 0.4 0.93 2.15 200608 2.03 0.47 -1.79 0.42 200609 200610 0.41 1.84 3.23 -1.98 -0.04 -0.3 -1.4 1.94 0.8 0.91 -0.09 0.53 0.26 0.41 200611 1.71 0.07 -0.88 0.19 -0.61 0.42 0.4 200612 0.87 -0.8 2.72 2.05 1.4 0.44 200701 200702 0.12 1.39 0.15 -1.96 -0.69 -0.17 -0.83 0.54 -0.45 0.38 0.24 -0.74 -0.59 1.01 200703 0.68 0.55 0.43 200704 3.49 -2.06 -1.38 1.05 0.44 200705 3.24 -0.63 -1.29 0.41 1.57 0.57 200706 0.4 -1.96 -3.73 0.41 0.75 -2.9 -0.4 -2.39 200707 200708 -1.1 -3.55 -1.91 0.4 0.07 -1.04 -0.56 -3.17 0.19 -1.33 -0.54 0.92 3.22 0.42 0.32 200709 -2.21 1.8 -0.01 -2.91 -0.25 -0.1 0.32 200710 200711 200712 -4.83 -2.93 -1 1.72 -0.34 -0.59 0.83 0.15 -0.48 -1.09 2.2 0.34 0.27 0.21 200801 3.67 2.28 -0.87 -6.36 -3.09 -0.93 4.6 -0.51 -0.88 1.06 -1.06 200802 200803 0.13 0.66 0.17 0.14 -0.96 0.95 1.99 0.47 -2.54 -1.07 0.18 200804 200805 200806 3.14 0.18 1.86 -8.44 1.19 -1.45 -2.77 5.27 1.04 4.94 -1.2 0.04 -0.42 1.06 0.17 200807 0.15 -0.77 1.53 3.63 3.4 1.45 1.88 0.81 0.13 200808 200809 6.07 2.31 0.15 -9.24 -17.23 0.28 -3.31 -3.88 1.78 1.92 200810 -2.37 0.08 2.94 4.5 200811 -7.86 -6.31 0.03 2.72 -1.41 1.74 3.36 0.14 0.06 0 200812 200901 200902 -1.9 0.44 0 -1.16 -1.11 -8.12 -10.1 8.95 10.18 -11.12 -7.03 3.4 0.01 -1.2 0.68 1.32 -2.45 200903 -2.22 0.02 6.94 5.21 1.38 0.14 0.01 200904 200905 5.21 -2.46 0.49 -1.2 -2.16 0 200906 0.43 2.28 -1.38 -0.18 0.01 -2.62 4.87 200907 7.72 2.4 -0.41 3.21 0.01 200908 3.33 -2.81 3.23 7.5 0.89 -0.1 2.72 -4.79 0.01 0.01 200909 4.08 1.57 0.38 200910 -2.59 -4.03 3.98 -1.68 0 -2.76 -0.25 0.16 0 5.56 2.75 -3.36 200911 200912 201001 201002 -0.08 0.01 0.99 0.82 -1.18 6.27 0.34 -0.11 0.33 0.43 0 3.4 1.48 3.19 -0.4 1.43 0 201003 6.31 1.8 2.11 2.91 1.69 1.69 0.01 0.01 4.99 201004 201005 2 -7.89 -0.67 0.88 1.24 -0.31 0.09 -2.39 -0.19 0.01 201006 -1.5 0.01 -5.57 6.93 -4.52 -0.36 201007 0.01 2.03 -1.67 201008 -4.77 -1.9 0.01 -2.46 0.09 -3.15 3.72 0.71 3.67 9.54 201009 201010 201011 0.29 0.49 -0.32 1.16 0.34 -3.23 -2.46 -0.95 0.49 -0.16 3.88 0.01 0.01 0.01 0.01 0.6 1.6 201012 6.82 0.99 3.64 -3.42 3.18 0.75 0.01 201101 201102 1.99 3.49 -2.43 1.63 0.82 1.29 -0.64 -1.96 1.58 0.95 0.01 0.46 -1.76 0.01 201103 201104 201105 2.66 -0.56 -0.01 -0.79 2.9 -2.43 0.88 0 -0.6 0 -2.05 -0.42 -0.88 2.08 2.38 201106 0 -1.59 -1.48 -1.68 -0.2 2.64 0 201107 201108 201109 0.15 -1.31 -3.16 -3.68 -1.27 -1.75 -2.35 -5.99 -7.59 11.35 -0.28 0.74 0.01 -2.56 -1.71 3.41 2.12 -2.41 0 0.27 -0.85 201110 3.47 0.13 0 1.49 0 201111 201112 201201 -0.25 -0.39 -0.48 1.68 -0.9 1.83 1.01 -2.05 2.36 0 5.05 0 -1.41 -0.06 4.42 2.11 -1.69 -0.5 0.46 -0.38 201202 201203 0 3.11 0.81 0 -0.57 1.26 -0.85 -0.52 0 201204 201205 201206 0 2.5 0.01 -6.19 3.89 1.21 -0.77 -1.04 0.58 -0.05 1.12 0.67 2.41 0.32 0.1 0 -1.26 0.93 0.79 0.94 -2.69 0.44 201207 201208 0 2.55 -1.42 -0.72 0.01 201209 2.73 0.65 1.56 -1.32 0.01 1.6 2.27 201210 201211 -1.76 0.78 1.18 -0.8 0.31 3.61 -0.83 -1.5 0.39 -1.79 0.01 0.01 0.92 201212 1.88 0.89 0.01 3.53 0.98 201301 5.57 0.55 1.46 0.13 0.47 0 201302 201303 1.29 4.03 -0.36 0.85 -1.72 -0.65 0.55 0.13 -0.23 1.32 0 201304 1.55 -2.28 0.53 0.48 0 201305 2.8 2 2.61 -2.01 -0.74 0 201306 -1.2 1.35 -0.02 0 201307 201308 201309 201310 201311 5.65 -2.71 3.77 -0.09 0.56 -2.66 -1.15 1.81 -0.03 2.65 -1.49 0 0.55 -2.18 -1.26 4.18 1.21 -0.35 -1.33 0.59 -0.6 2.78 0.13 -0.47 -3.93 -0.24 0.84 0 3.13 1.33 0.29 0.07 0 0 201312 201401 201402 2.81 -3.32 4.65 -0.58 0.58 -0.05 -2.02 0.09 -1.36 -0.41 0 0.11 -0.36 0 0.43 -1.12 4.9 2.17 1.83 0 201403 201404 1.02 0 -0.19 2.06 -4.13 -1.91 1.12 -0.12 3.53 0.03 0 201405 201406 201407 -1.05 -1.95 2.61 3.09 -0.67 -1.91 0 -2.04 -4.27 0.92 0.47 0 0.02 -0.42 201408 0 -0.61 1.24 201409 0.29 -3.74 3.8 0 4.24 -1.97 2.52 2.55 -0.06 -1.38 -1.8 201410 201411 0 -0.7 -0.53 -0.19 0.2 0.88 -0.48 1.49 -1.16 -3.07 0 201412 2.23 0 -3.56 1.68 -1.65 0 -3.11 6.14 -1.12 -2.27 2.85 -0.86 0.23 3.04 -3.06 201501 201502 201503 201504 201505 -1.81 0 -1.16 0.1 -0.41 0 -1.78 -0.51 -0.45 -0.74 1.88 0 0.59 1.36 -0.04 -1.82 0.8 -1.1 0 2.86 -0.74 0.42 -1.5 0 201506 201507 -4.51 -4.21 0.1 -2.5 -1.53 1.54 -6.04 -3.07 201508 0.38 2.73 0.69 1.24 -0.45 O O O 201509 -2.77 0.39 1.86 201510 7.75 -2.18 -0.25 0.87 0.41 oo -2.64 201511 201512 201601 0.56 -2.17 -0.49 -2.45 0.45 0.01 3.37 -3.01 -3.41 0.98 2.01 2.81 0.01 201602 -0.6 3.34 -5.77 -0.08 6.96 0.92 -1.08 0.04 3.05 2.12 -0.08 2.01 -2.52 1.11 201603 201604 201605 1.07 1.18 -0.72 0.5 3.28 0.02 0.02 0.01 0.01 0.77 -2.89 -1.19 1.78 -1.6 201606 -1.4 1.41 1.98 0.02 2.6 -0.05 3.95 0.5 0.25 -2.02 201607 201608 201609 201610 201611 1.14 -1.81 -1.23 3.31 -1.21 0.02 0.02 1.66 1.79 -4.08 -1.24 -0.35 -0.06 0.21 4.07 -2.13 0.91 -0.07 0.02 0.02 0.01 6.8 8.22 201612 1.14 0.03 4.86 1.81 1.94 3.57 201701 201702 201703 0.41 -1.35 -2.18 0.8 3.51 -2.81 -1.79 -3.33 -0.5 0.27 3.78 -0.29 -0.94 -1.74 -1.04 -1.58 0.04 0.04 0.03 0.17 0.8 201704 0.48 -2.11 1.96 1.09 1.06 -3.11 1.02 -1.93 201705 201706 201707 -3.67 1.45 0.05 0.06 0.06 0.78 1.87 2.46 -1.65 -1.81 -2.23 -0.77 -0.05 -0.21 -2.42 -0.36 -2.19 0.07 201708 0.16 0.14 -1.38 0.09 0.09 2.51 4.78 201709 201710 1.64 -3.35 -1.96 0.09 -0.33 201711 201712 201801 2.25 3.12 1.06 5.58 -3.65 3.14 0.12 -0.09 0.17 -1.32 -1.01 0.93 3.3 0.72 -0.82 0.05 1.67 -1.02 -3.19 0.08 0.09 0.11 -0.86 -2.23 201802 0.37 0.58 0.11 3.6 0 0.12 -2.35 0.29 2.65 -0.12 0.5 -0.45 -2.33 1.18 201803 201804 201805 201806 0.14 0.96 4.74 -2.01 -1.44 0.14 -3.15 -2.31 0.48 0.89 0.83 0.34 0.14 3.19 1.53 0.4 0.16 201807 201808 0.57 -3.92 3.44 -0.15 -2.47 0.16 -1.95 0.64 -2.49 -4.51 0.06 1.26 0.15 201809 201810 -1.63 3.46 0.59 0.91 -7.68 3.45 0.19 201811 -0.8 0.18 1.69 -9.55 201812 -2.99 0.34 -1.89 -0.46 0.19 0.33 0.15 -1.36 -1.47 201901 8.41 3.05 0.21 201902 3.4 1.79 -0.63 -0.09 -0.65 0.09 0.86 1.64 -0.54 -2.71 0.18 201903 1.1 -3.56 -1.03 -2.18 0.19 0.21 201904 201905 201906 -4.19 2.02 -2.28 3.96 -6.94 -1.16 -1.5 1.78 0.21 6.93 0.33 -0.79 0.99 -0.38 0.18 0.34 201907 201908 1.19 -2.58 1.43 0.34 -4.85 6.77 -0.16 0.42 0.19 0.16 -1.91 -3.28 0.24 0.2 -0.89 201909 1.99 3.5 0.18 201910 2.06 -1.88 0.25 0.15 201911 3.87 0.52 -2.05 -0.99 -1.24 1.29 -1.58 0.09 0.12 2.77 0.94 1.91 0.14 201912 202001 -0.11 -6.27 -3.92 -4.4 -0.03 -8.38 -1.36 -1.61 -2.34 -2.49 0.13 0.12 -8.13 202002 202003 -13.38 -13.96 -1.38 1.21 0.12 13.65 2.79 -1.39 2.51 -1.03 0 202004 202005 0.71 0.01 5.58 2.46 -3.28 0.34 202006 -5.05 -2.35 -1.39 0.03 0.01 1.93 1.94 -3.03 -0.94 202007 5.77 0.55 1.06 0.01 202008 -2.94 -1.44 0.01 7.63 -3.63 -2.1 4.27 -1.15 202009 0.07 0.01 202010 -2.51 4.03 2.11 -0.6 4.76 6.75 0.01 -1.77 -0.53 1.05 0 202011 12.47 -2.78 0.01 202012 4.63 4.67 -1.36 -2.15 0.01 This file was created by CMPT_ME_BEME_OP_INV_RETS using the 202101 CRSP database. It contains value- and equal-weighted returns for portfolios formed on ME and BEME. The portfolios are constructed at the end of June. BEME is book value at the last fiscal year end of the prior calendar year divided by ME at the end of December of the prior year. Annual returns are from January to December. Missing data are indicated by -99.99 or -999. The break points include utilities and include financials. HiMB LOBM Value Growth The portfolios include utilities and include financials. Average Value Weighted Returns -- Monthly SMALL LOB ME1 BM2 SMALL HIBIBIG LOBM ME2 BM2 BIG HIBM 192607 1.3724 0.9081 -0.0695 5.7168 1.9642 1.4222 192608 0.6095 1.5075 5.3842 2.7154 2.6838 6.3154 192609 -2.6779 -0.1359 -0.4374 1.4287 0.0709 -0.7967 192610 -3.5365 -4.3572 -2.0112 -3.5898 -2.346 -4.097 192611 3.121 3.6608 2.0944 3.1292 2.8965 3.4614 192612 2.7364 1.8411 3.2639 2.9678 2.6067 2.395 192701 -1.0001 -0.3782 3.9316 -0.2621 0.0347 4.4635 192702 3.9022 6.3784 6.6192 5.0044 3.5568 8.6305 192703 -1.6 -0.9889 -3.1676 1.3025 0.2071 -2.4764 192704 -1.3184 0.8741 3.4796 3.051 -0.7634 -0.5452 192705 5.5482 3.3467 13.3256 5.4076 5.1017 7.4921 192706 -1.5484 1.304 -3.9474 -0.9628 -3.0156 -1.6326 192707 4.3331 5.2347 3.9846 9.2369 6.7429 7.2603 192708 2.3503 -2.2044 0.86 3.9191 1.2181 -1.9651 192709 2.3981 2.2316 0.399 5.3864 4.3919 5.9674 192710 -0.1633 -2.1458 -5.8357 -3.6349 -4.284 -6.6219 192711 10.4346 8.062 10.2275 7.056 6.7676 6.6346 192712 5.5505 2.6016 2.4506 2.4954 1.8547 3.4755 192801 3.2031 2.7804 3.5948 -0.4774 -0.3667 -2.3168 192802 -4.7913 -1.7203 -4.1271 -0.6762 -1.1395 -2.7296 192803 7.393 8.6229 9.457 12.28 6.1327 7.8254 10.6845 2.9145 4.4979 192804 192805 4.2158 7.5326 9.9723 2.574 1.954 192806 -8.3044 -6.8294 2.6065 -3.6094 1.359 8.7368 -8.5131 -0.4048 6.124 5.7317 6 -0.1128 -4.1224 0.1098 5.3867 0.6388 -5.4164 0.9017 6.9468 192807 192808 192809 192810 -0.4017 5.0517 4.4538 3.1244 1.9153 -0.8867 3.699 6.1762 1.6621 12.2831 -0.6462 1.448 2.9576 1.359 4.4896 2.0067 1.4325 6.8299 8.6705 0.9055 -0.034 192811 192812 11.1936 -0.5953 11.1602 0.9332 13.1497 1.2917 2.6307 192901 1.9379 13.2781 0.0018 4.8294 0.8403 2.2097 6.5262 -0.5791 192902 0.7414 1.1014 0.382 3.1476 -3.4602 2.7549 -4.0571 0.5004 -0.0642 2.8362 192903 192904 192905 192906 192907 -5.9533 -0.0822 -10.2009 6.9673 -12.5598 -9.3603 9.4356 1.1096 -4.1597 9.3446 6.2018 -0.0681 192908 -1.3835 2.2172 -5.7297 12.4593 3.5656 7.272 -4.4211 -24.1865 -14.2535 3.3988 -0.7029 -0.4641 -4.3105 -19.3351 -0.8885 -4.2569 6.4064 3.8633 -0.4544 -3.6218 -19.8329 -12.3366 -1.8488 -6.1709 7.5052 4.9529 6.9497 -6.3175 -10.3723 -7.6677 192909 192910 192911 192912 -21.7261 12.543 -4.9685 -14.0943 -10.9314 0.551 -16.4096 -2.7511 -9.7926 -3.1295 1.317 193001 6.2347 2.9221 8.4631 4.3779 7.1735 3.4639 3.3849 1.9009 193002 1.2221 193003 1.3502 9.0009 -6.0956 -3.7611 193004 6.816 -2.361 0.7061 -17.849 8.3445 -1.7312 -2.2694 193005 193006 -13.1218 -16.933 6.5208 10.7647 -3.4814 -2.9578 -18.9287 2.5406 -2.5073 -19.1619 -10.7443 4.2198 193007 193008 193009 9.4133 1.2599 11.0406 -1.772 -2.3202 -16.66 3.728 -1.6135 -14.6721 -7.6801 -2.7838 -11.0266 11.3602 11.6577 -2.9204 -14.0212 -3.7646 -13.6823 -10.1007 4.4017 1.1969 -12.0325 -9.4278 -0.8 -11.7394 -7.3264 5.3573 -6.6523 -1.365 -11.8439 5.2644 -1.6232 -17.0858 -11.4835 -6.6002 -9.7245 13.5911 12.1756 -8.8826 -11.349 193010 193011 0.2231 193012 193101 -2.6023 -17.2866 15.3447 17.0974 -6.9747 -18.244 -10.4113 9.8982 13.1802 -4.3393 -12.8802 -2.3616 -5.8057 4.717 12.8706 -4.1971 -8.8412 -2.8339 -9.1776 6.9823 6.7357 -10.3577 -11.107 193102 193103 193104 193105 -11.3932 12.8509 -15.9343 16.1956 -20.363 25.2657 193106 193107 -5.1668 -10.1775 193108 -13.8368 20.3215 -5.7363 -3.7504 -33.8286 5.4593 193109 -9.6516 10.1107 -8.5867 -1.6114 -26.5722 4.2319 -7.7335 -13.7987 2.4924 -2.4754 -10.5259 193110 -8.7006 7.7295 -8.9411 -1.1797 -30.0521 9.2071 -7.2915 -16.5088 3.9264 1.9822 -12.1366 -1.5948 -28.1493 3.2588 193111 0.8986 -28.8671 9.5401 -6.1288 -11.5667 -3.4347 7.1142 -9.3902 -22.4192 10.5116 1.3833 193112 193201 -16.6307 -18.8221 1.9132 1.7366 -12.2143 0.0531 -35.1131 11.7214 -14.5665 -20.6686 6.6353 0.3507 -14.746 -18.5418 -25.436 8.8476 67.7847 62.5277 193202 193203 -10.6244 -10.2031 193204 -19.3072 -17.1449 -18.1275 -16.043 -16.9055 -24.84 -19.2184 193205 193206 -17.1387 0.954 31.9157 48.7253 6.2481 36.1125 55.3725 0.9954 63.2475 193207 193208 -1.711 28.1955 31.3211 -15.1403 -20.1476 -25.9531 0.0545 48.6209 50.9661 -6.5149 -17.5126 -8.9288 1.0438 83.5754 193209 -2.8086 -16.2523 -1.0366 -10.7514 193210 193211 -4.5841 -19.645 -8.2786 -4.2529 -5.0087 -23.2272 -16.3816 -3.5633 -0.2993 -5.157 -2.7223 6.8503 193212 -0.012 3.0297 1.3914 -18.4137 193301 193302 193303 193304 -14.9493 0.9569 33.739 -16.5816 9.8608 51.8933 26.7781 15.5089 193305 193306 16.9717 11.3683 6.1577 54.8024 62.1965 23.3035 -12.7712 10.1102 -13.3352 -12.42 -12.4737 -23.8672 -13.2053 -11.0792 8.0722 -20.8881 16.0332 56.561 73.3394 18.2645 -7.2418 8.2144 -20.9042 -13.8362 6.1086 0.4565 38.3403 5.3723 -0.0727 -1.8303 4.3939 -17.8502 7.0768 45.443 59.9375 32.939 -14.1385 10.5585 -7.6121 -8.4949 4.4492 4.7702 21.5203 -0.2935 4.7722 2.8356 -7.3381 8.7685 -17.3738 6.7577 57.4905 41.626 21.9496 -9.2208 18.8615 -19.3866 -17.7448 12.6924 193307 -8.8583 193308 193309 193310 10.5958 -9.1454 -6.1614 -13.0573 15.7784 -12.3603 -10.5922 12.2772 193311 4.6618 9.69 4.0567 28.5643 3.3536 24.1368 193312 193401 193402 193403 193404 2.1093 9.8669 -2.3815 -0.0029 1.1796 1.8286 16.8246 -3.1241 -0.1362 -2.3152 -8.5879 2.0674 -1.317 -9.8907 -3.81 -0.62 -4.616 -1.778 193405 -12.0504 -6.4033 -13.5106 193406 193407 0.0811 -21.5042 9.4125 193408 2.628 -8.311 6.0718 -0.2597 -0.4115 10.2402 2.4811 -11.7051 4.4464 -0.1487 -2.708 5.0137 -0.5806 -2.31 -24.4253 12.1272 -3.5104 -4.1891 12.5328 1.5191 193409 193410 193411 3.7672 -18.0226 10.9235 -0.9255 -0.925 17.4218 4.9409 -5.5523 -3.5225 -5.9234 6.7174 -2.6657 -1.638 15.4433 2.8615 -23.179 5.7691 -0.105 -7.369 10.6573 -2.2372 -9.3128 -12.9875 -7.7499 13.0598 193412 0.7507 0.5333 193501 1.7554 -3.3988 -4.8589 193502 -2.9638 -5.9285 -11.3546 10.3838 -3.0099 -0.8581 -2.9715 8.0311 193503 193504 -7.4692 9.3484 -2.8838 -1.6838 -3.3289 9.8871 4.339 5.6136 193505 2.3317 1.6295 3.137 3.957 193506 5.9262 8.0813 193507 193508 5.8129 9.1528 4.2227 5.0917 10.9064 12.9358 8.6796 5.5331 0.806 12.7537 14.4462 0.5575 6.8068 6.3821 6.9882 2.5694 4.6757 6.6016 3.0389 2.9835 3.2881 193509 6.3196 2.2001 0.6768 7.9769 5.6087 5.8064 17.1148 3.7475 1.1198 6.0328 193510 10.8105 10.385 6.6969 5.7713 193511 193512 193601 193602 18.9743 2.2152 22.3771 6.7824 14.5739 8.6858 12.2406 10.3194 9.5299 1.901 1.9137 2.806 7.1039 2.6378 0.0632 0.8324 -15.464 -7.1563 193603 193604 193605 193606 193607 0.5096 -14.3931 4.9011 -2.208 10.1904 7.7731 6.5497 2.3088 -14.0147 5.6286 -0.2832 7.6218 2.2704 4.9643 6.4885 9.0679 5.0578 3.6325 8.6767 -1.2498 9.4742 4.615 -8.3505 5.1107 2.1402 6.1995 -1.0088 -10.2494 6.5508 0.2676 12.2012 10.6321 5.919 193608 0.6464 0.2916 0.7816 4.3069 2.2261 3.7136 4.4676 6.5107 13.0248 1.0988 8.7962 0.4333 8.6599 -0.5944 10.8717 3.1473 2.3561 2.0356 3.414 1.1085 193609 193610 193611 193612 193701 193702 193703 193704 7.0026 9.716 0.9227 6.4225 3.3927 -1.8345 3.6451 -0.2192 -1.7373 -6.8235 7.178 3.2757 -3.0069 -10.089 -0.3362 -7.2192 7.3432 1.6855 -0.057 -11.5677 -0.9886 -7.7152 6.2355 1.8986 -13.3505 -4.1008 -10.3393 1.3462 0.8159 -0.2096 -6.1092 -0.7186 -2.7006 6.3247 6.9216 6.1275 -10.7778 -2.9798 -7.4626 193705 0.2432 -4.1579 193706 10.9193 8.9913 10.7833 7.9646 10.9736 9.2027 -4.21 -5.0783 -5.5789 -4.5854 193707 193708 193709 193710 -4.641 -20.8237 -10.7815 -11.5268 -20.8254 -10.2588 -12.2952 -23.052 -9.7797 -11.7113 -12.3496 -10.1749 -12.4049 -7.5754 -7.6937 193711 -8.7393 -4.1175 193712 -10.5934 -12.2906 -14.1157 4.9809 3.7399 193801 193802 193803 8.4291 6.5079 5.6035 -28.9745 -2.8726 -0.3348 5.3825 -22.4597 1.3091 6.3853 -23.5181 -29.9158 22.0838 193804 13.8077 20.7285 -7.6475 193805 -7.7724 -19.2657 -14.4157 -8.1625 -6.7316 -0.6467 5.995 -30.3243 15.8488 -6.0495 30.0253 9.2224 -5.1808 -0.971 14.1797 -2.8592 8.8637 -11.0166 4.7735 -30.1419 20.397 -5.5424 27.5574 15.3633 -9.2856 -2.7862 -7.4715 193806 193807 193808 193809 31.2478 13.4374 -4.5933 -1.8834 30.0194 14.4896 -5.1113 -2.5023 14.4371 -3.6497 20.9273 7.3085 -6.067 -3.5564 25.7265 6.7918 -0.432 1.36 0.6107 193810 14.7573 7.2132 6.9259 -1.1168 193811 193812 193901 14.1329 -5.1969 6.0349 -8.0596 16.9041 -5.9225 1.5522 -10.1457 -2.1445 4.4694 3.3787 -5.2583 193902 3.3494 6.2899 -22.8516 1.9743 -6.1505 3.1479 -13.6458 -0.0485 -9.8437 -0.1355 193903 193904 193905 193906 3.9273 -17.7969 -0.4922 11.2969 -6.8167 16.1292 6.8947 -21.3665 -3.1968 9.2768 -11.3783 13.7364 5.6072 9.8655 -10.6753 -2.6663 3.7143 -8.9052 5.0675 -18.4864 0.1285 9.0561 -7.9144 16.6985 -11.9915 39.2998 -0.5783 -9.3925 3.0379 -2.1344 4.3883 2.8608 193907 13.6444 -12.61 193908 -12.3681 193909 193910 54.9528 -5.0048 -13.814 6.8972 -4.4207 11.3137 -6.309 13.5797 0.028 -2.6176 3.5574 -2.1568 1.2492 2.3725 -0.1263 -6.5532 8.4488 -5.9193 16.9053 -0.8229 -3.6667 2.3632 -2.4994 1.345 1.4575 193911 37.6978 0.4561 -7.8325 5.9303 -4.1988 4.0588 4.6939 4.7401 -27.7724 4.4242 -10.9033 40.771 -4.2992 -9.5542 1.0169 -5.1435 1.489 2.2556 193912 194001 194002 194003 194004 0.3533 -2.7571 3.1703 2.2719 4.0938 -32.4414 7.9865 3.3227 3.1906 0.2697 0.1167 -20.8034 194005 -27.44 -24.7879 194006 -22.0718 4.9455 3.3873 5.0042 4.7178 8.2385 10.6339 3.299 194007 4.717 3.0418 1.8886 2.1928 1.7831 3.4847 194008 194009 2.0524 5.3698 3.1824 4.5125 5.2039 3.1522 1.21 1.0582 6.2944 194010 194011 4.2145 1.1473 5.6715 0.5385 -1.4655 0.1738 -2.2785 0.8953 -1.9212 0.5934 6.3562 -1.3367 1.017 194012 -0.8918 -4.4429 -0.3066 -5.0365 -1.5847 194101 194102 194103 194104 -3.4695 -2.6498 -1.8055 1.13 -5.4015 8.0971 -0.7062 0.1971 -1.5198 -0.389 3.378 -2.035 -2.8879 3.7745 -5.2001 0.5444 -6.497 -3.8489 -1.4892 1.212 -4.5637 2.6345 0.5236 -7.5563 1.7628 4.1184 194105 1.5458 0.9481 2.3634 3.0109 10.1236 194106 194107 194108 194109 194110 10.4387 -1.1591 -3.0405 -5.8203 0.667 6.1938 10.1575 -2.1235 -1.8377 -6.269 6.1753 3.7262 0.6862 -0.0105 5.6174 8.1838 -0.8566 -2.1937 -3.2927 -2.2697 -1.6652 -2.6528 -6.0976 -1.0629 -2.2704 -1.6913 -4.6824 194111 194112 194201 194202 -5.4399 6.7111 -4.1846 -8.4826 10.7165 -1.103 -0.5645 -3.5964 0.505 -2.7966 -9.3443 10.6422 -1.7916 -2.3068 194203 194204 194205 194206 194207 194208 0.5247 -4.7636 -6.1855 0.1524 1.0092 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-1.8044 3.2432 1.1867 196306 196307 196308 -1.9336 -0.6453 4.4599 -1.7724 -1.1208 5.7598 -1.9766 -1.4666 0.5459 4.6233 -1.7019 196309 -0.4674 196310 1.1626 1.7174 3.8443 1.2355 196311 2.7084 -0.3618 0.2025 3.9768 -0.248 2.0377 2.6875 196312 196401 196402 196403