EXCESS RETURN | Vector 1 | min var | tangent | required return | min var | tagent | required | |||
FI0009000103 | 0.0320787 | 1 | 0.2649 | 0.264986 | -0.01653 | 0.147859 | 0.238692 | 0 | 0.159103 | |
FI0009000160 | 0.0465667 | 1 | 0.15943 | 0.159479 | -0.05793 | 0.069014 | 0.108119 | 0 | 0.065987 | |
FI0009000202 | 0.059613 | 1 | 0.047479 | 0.047522 | -0.0219 | 0.01877 | 0.032165 | 0 | 0.029203 | |
FI0009000236 | 0.0936882 | 1 | -0.00843 | -0.00927 | 0.166432 | 0.063525 | 0 | 0.060066 | 0.030589 | |
FI0009000251 | 0.095708 | 1 | 0.014029 | 0.014963 | -0.11432 | -0.03852 | 0 | 0 | 0 | |
FI0009000277 | 0.1219235 | 1 | -0.01802 | -0.01802 | 0.067013 | 0.017514 | 0 | 0.065221 | 0.001669 | |
FI0009000285 | 0.0877058 | 1 | 0.002602 | 0.002507 | 0.043967 | 0.019825 | 0 | 0.031018 | 0.009161 | |
FI0009000400 | 0.0806684 | 1 | 0.063693 | 0.063591 | 0.09161 | 0.075005 | 0 | 0.073956 | 0.057232 | |
FI0009000459 | 0.0769492 | 1 | 0.057493 | 0.05757 | 0.033103 | 0.047146 | 0 | 0.027524 | 0.031741 | |
FI0009000640 | 0.1190216 | 1 | -0.09962 | -0.09966 | 0.037998 | -0.04222 | 0 | 0.026725 | 0 | |
FI0009000665 | 0.150203 | 1 | 0.036241 | 0.03625 | 0.023041 | 0.030715 | 0 | 0.029903 | 0 | |
FI0009000681 | 0.1064475 | 1 | 0.00921 | 0.009251 | 0.124284 | 0.057204 | 0.020462 | 0.120207 | 0.052644 | |
FI0009001127 | 0.0363603 | 1 | 0.341447 | 0.341252 | 0.036103 | 0.213314 | 0.283392 | 0.007939 | 0.20408 | |
FI0009002158 | 0.0814224 | 1 | -0.07062 | -0.07061 | 0.056503 | -0.01745 | 0 | 0.060372 | 0 | |
FI0009002349 | 0.0189696 | 1 | 0.102808 | 0.102785 | -0.0157 | 0.053476 | 0.081291 | 0 | 0.055457 | |
FI0009002422 | 0.1112655 | 1 | 0.039179 | 0.039169 | 0.033241 | 0.036648 | 0 | 0.030776 | 0 | |
FI0009002471 | 0.0762606 | 1 | -0.00076 | -0.00088 | 0.061406 | 0.025037 | 0 | 0.038768 | 0.010211 | |
FI0009002943 | 0.0620909 | 1 | -0.02419 | -0.02415 | 0.052978 | 0.008175 | 0 | 0.054698 | 0.00278 | |
FI0009003222 | 0.0708981 | 1 | 0.004342 | 0.004339 | 0.028751 | 0.01426 | 0 | 0.011087 | 0.001472 | |
FI0009003230 | 0.0759657 | 1 | 0.030458 | 0.030538 | 0.036267 | 0.032961 | 0 | 0.038233 | 0.024712 | |
FI0009003305 | 0.0792018 | 1 | 0.124489 | 0.124475 | -0.02316 | 0.063184 | 0.058013 | 0 | 0.085008 | |
FI0009003503 | 0.0357119 | 1 | 0.194309 | 0.194369 | 0.003613 | 0.114558 | 0.230106 | 0.003023 | 0.140663 | |
FI0009003552 | 0.1141295 | 1 | -0.14123 | -0.14128 | 0.094743 | -0.04298 | 0 | 0.069706 | 0 | |
FI0009003644 | 0.078074 | 1 | -0.0917 | -0.09162 | 0.035116 | -0.03867 | 0 | 0.040229 | 0 | |
FI0009003727 | 0.1199166 | 1 | -0.08983 | -0.08989 | 0.017524 | -0.04517 | 0 | 0 | 0 | |
FI0009003859 | 0.0803956 | 1 | 0.036413 | 0.036465 | 0.050876 | 0.042561 | 0.029156 | 0.04964 | 0.015668 | |
FI0009004204 | 0.1028066 | 1 | 0.006021 | 0.006029 | 0.013987 | 0.009319 | 0.00672 | 0.013106 | 0.007337 | |
FI0009004741 | 0.0727774 | 1 | 0.085717 | 0.085849 | 0.029009 | 0.062348 | 0 | 0.052909 | 0.015282 | |
FI0009004824 | 0.0773955 | 1 | -0.00088 | -0.00098 | 0.03444 | 0.013838 | 0 | 0.017042 | 0 | |
FI0009005078 | 0.0828473 | 1 | -0.07499 | -0.07502 | 0.077536 | -0.01125 | -0.08812 | 0.077853 | 0 | |
sum | 1 | 1 | 1 | 1 | 1 | 1 | ||||
Unconstrained | Constrained | |||||||||
min var | tangent | required return | min var | tangent | required return | |||||
return | 0.0490111 | 0.1233128 | 0.08 | 0.06444 | 0.118945 | 0.08 | ||||
variance | 0.0106193 | 0.04699701 | 0.016946 | 0.014451 | 0.04301 | 0.017513 | ||||
std. dev | 0.1030499 | 0.21678794 | 0.130178 | 0.120212 | 0.207388 | 0.132335 | ||||
excess return | 0.0217521 | 0.0960538 | 0.052741 | 0.037181 | 0.091686 | 0.052741 | ||||
Sharpe ratio | 0.2110836 | 0.44307724 | 0.405146 | 0.30929 | 0.442096 | 0.398542 |