When using the excel charts attached, you can observe the effect on risk and return of introducing screens. How does the screen affect risk and return? What would be the expected return of a portfolio without screens with similarrisk?

Indicator (enter 1 for Subindustry/Industry Number of screened Name of filter subindustry Actual Index vs Replicated Replicated Index vs Replicated with Filters filter, 0 otherwise) code out firms 3000 3000 Tobacco producers 1 302030 3 Weapon producers 201010 10 2500 2500 Oil & Gas 101020 19 Commercial Banks 401010 25 2000 2000 1500 1500 Industry 1 2010 36 enter 4 digit or 0 --> Industry 2 6010 5 1000 1000 500 Actual Index 500 Calculated Index Filtered Index Mean 3.74% 3.79% 4.29% O 1/1/08 7/1/13 1/1/05 1/1/07 7/1/15 7/1/06 1/1/09 1/1/10 7/1/11 7/1/16 7/1/05 7/1/08 7/1/09 1/1/15 1/1/12 7/1/12 1/1/13 1/1/16 Volatility (SD) 1/1/06 7/1/17 16.6% 1/1/11 14.0% 14.3% 1/1/14 7/1/06 1/1/10 7/1/07 7/1/07 7/1/10 7/1/14 1/1/17 1/1/07 7/1/15 1/1/09 7/1/12 7/1/09 7/1/05 7/1/11 1/1/05 7/1/10 1/1/13 7/1/08 1/1/06 1/1/14 1/1/08 1/1/11 1/1/15 1/1/16 7/1/13 7/1/14 7/1/16 7/1/17 1/1/17 1/1/12 Sharpe Ratio 0.2667 0.26435 0.25825 -Actual Index Calculated Index Calculated Index - Index after Filter Note: See sheet 12 for detailed industry informationIndustry name Code Energy 1010 Materials 1510 Capital Goods 2010 Commercial & Professiona 2020 Transportation 2030 Automobiles & Componen 2510 Consumer Durables & App 2520 Consumer Services 2530 Media 2540 Retailing 2550 Food & Staples Retailing 3010 Food, Beverage & Tobacco 3020 Household & Personal Pro. 3030 Health Care Equipment & 3510 Pharmaceuticals, Biotechno 3520 Banks 4010 Diversified Financials 4020 Insurance 4030 Mortgage Real Estate Inves 4040 Software & Services 4510 Technology Hardware & E 4520 Semiconductors & Semico: 4530 Telecommunication Servic 5010 Utilities 5510 Real Estate 6010