Date A B C D E A B

Sep 1, 2010 0.038 -0.189 -0.076 -0.454 0.044 0.79777 0.03579

Oct 1, 2010 0.068 -0.331 0.200 0.212 -0.180
Nov 1, 2010 -0.155 -0.304 0.222 -0.246 -0.075
Dec 1, 2010 0.071 -0.240 0.147 0.380 0.210
Jan 1, 2011 0.081 0.108 -0.061 0.008 0.415 annualized portfolio volatility 0.239026249
Feb 1, 2011 0.003 -0.400 0.239 -0.084 0.387 annualized portfolio return 0.02
Mar 1, 2011 -0.040 0.066 -0.085 0.289 -0.345
Apr 1, 2011 0.027 -0.014 -0.265 -0.459 -0.476 sum of weights 1.0
May 1, 2011 -0.070 0.420 -0.341 0.122 -0.049
Jun 1, 2011 0.043 0.231 -0.401 -0.406 -0.162
Jul 1, 2011 -0.078 -0.350 -0.387 -0.060 -0.167
Aug 1, 2011 -0.067 -0.188 0.302 0.179 -0.155 Minimum variance portfolio
Sep 1, 2011 -0.006 -0.138 0.094 -0.307 0.342 A B
Oct 1, 2011 0.066 -0.204 0.082 0.098 -0.411 0.80919 0.03258
Nov 1, 2011 -0.091 -0.243 0.278 -0.478 -0.180
Dec 1, 2011 0.009 0.032 0.006 -0.171 0.424
Jan 1, 2012 -0.004 0.107 0.348 0.049 0.308
Feb 1, 2012 -0.039 -0.378 0.121 -0.091 0.460 annualized portfolio volatility 0.239026249
Mar 1, 2012 -0.041 0.284 0.334 0.264 -0.422 annualized portfolio return 0.015497212
Apr 1, 2012 -0.104 0.118 0.254 0.306 0.293
May 1, 2012 -0.188 -0.294 0.273 0.330 -0.074 sum of weights 1.0
Jun 1, 2012 0.221 -0.035 -0.248 -0.474 -0.291
Jul 1, 2012 -0.110 -0.121 -0.443 -0.049 -0.255 Portfolio with R=0,02
Aug 1, 2012 0.088 0.262 -0.223 -0.498 -0.131 A B
Sep 1, 2012 0.033 0.330 -0.078 0.086 0.424 0.79777 0.03579
Oct 1, 2012 -0.021 0.183 0.204 -0.065 -0.305
Nov 1, 2012 -0.007 0.043 0.302 -0.278 -0.276
Dec 1, 2012 0.010 0.485 -0.190 0.144 0.450 annualized portfolio volatility 0.236065485
Jan 1, 2013 0.048 -0.311 0.069 0.046 -0.186 annualized portfolio return 0.015497212
Feb 1, 2013 -0.064 -0.247 -0.489 0.273 -0.275
Mar 1, 2013 0.049 0.007 -0.218 -0.179 0.023
Apr 1, 2013 0.062 -0.169 -0.137 0.150 0.075
May 1, 2013 -0.048 0.112 0.291 0.340 -0.296
Jun 1, 2013 -0.071 -0.079 0.091 -0.077 0.379
Jul 1, 2013 0.088 0.101 -0.141 0.201 0.275
Aug 1, 2013 -0.041 -0.292 0.277 -0.133 0.251
Sep 1, 2013 0.120 0.139 0.473 0.195 -0.350
Oct 1, 2013 0.128 0.298 -0.200 0.033 0.188
Nov 1, 2013 -0.067 -0.263 0.013 -0.320 -0.164
Dec 1, 2013 0.005 0.441 -0.176 0.388 -0.026
Jan 1, 2014 -0.033 -0.161 0.392 0.237 -0.305
Feb 1, 2014 -0.029 0.473 -0.250 -0.458 -0.129
Mar 1, 2014 0.034 0.126 -0.210 -0.029 0.483
Apr 1, 2014 0.051 -0.322 -0.046 0.417 -0.168
May 1, 2014 0.020 -0.323 -0.306 -0.218 -0.265
Jun 1, 2014 0.051 0.082 0.245 0.283 0.098
Jul 1, 2014 -0.025 -0.494 -0.322 -0.175 0.226
Aug 1, 2014 -0.011 0.077 0.015 0.445 0.496
Sep 1, 2014 0.015 -0.237 -0.436 -0.116 0.059
Oct 1, 2014 -0.021 0.105 -0.361 -0.414 0.162
Nov 1, 2014 0.074 -0.285 -0.475 -0.219 -0.367
Dec 1, 2014 -0.049 0.357 0.147 0.181 0.256
Jan 1, 2015 0.116 0.262 -0.466 -0.121 0.187
Feb 1, 2015 0.044 0.246 0.018 -0.397 0.448
Mar 1, 2015 -0.035 -0.023 -0.269 0.050 0.178
Apr 1, 2015 0.029 0.016 0.457 -0.163 -0.170
May 1, 2015 -0.056 -0.220 -0.136 0.408 0.115
Jun 1, 2015 0.019 0.335 0.129 0.097 -0.319
Jul 1, 2015 0.093 0.350 0.418 0.004 0.083
Aug 1, 2015 -0.097 -0.146 0.282 0.280 -0.462
Sep 1, 2015 -0.140 -0.226 0.341 0.390 0.464
Oct 1, 2015 0.111 0.205 0.131 0.048 -0.395
Nov 1, 2015 -0.029 0.331 -0.063 -0.380 -0.392
Dec 1, 2015 -0.098 -0.286 0.272 0.442 -0.462
Jan 1, 2016 -0.054 0.302 -0.161 -0.338 -0.163
Feb 1, 2016 -0.045 -0.191 0.319 0.468 0.015
Mar 1, 2016 0.066 -0.419 -0.044 -0.249 -0.193
Apr 1, 2016 -0.033 -0.080 0.212 -0.144 -0.320
May 1, 2016 -0.014 -0.303 -0.247 -0.116 0.253
Jun 1, 2016 -0.060 -0.214 0.143 -0.469 -0.329
Jul 1, 2016 0.036 0.109 -0.079 0.377 -0.098
Aug 1, 2016 0.030 -0.379 0.048 0.181 -0.364
Sep 1, 2016 -0.002 0.121 0.167 0.366 0.167
Oct 1, 2016 0.027 0.269 -0.252 -0.448 0.256
Nov 1, 2016 -0.152 0.150 -0.015 -0.094 -0.394
Dec 1, 2016 0.171 0.307 0.319 0.062 -0.278
Jan 1, 2017 0.012 0.499 -0.306 -0.189 0.219
Feb 1, 2017 0.081 -0.314 0.181 -0.256 -0.178
Mar 1, 2017 0.087 0.364 -0.032 -0.201 -0.429
Apr 1, 2017 -0.031 -0.467 0.074 0.123 -0.473
May 1, 2017 -0.024 -0.407 0.216 -0.347 -0.233
Jun 1, 2017 -0.088 -0.036 -0.035 0.159 -0.439
Jul 1, 2017 0.079 0.010 -0.086 -0.170 0.452
Aug 1, 2017 -0.052 0.427 0.033 0.123 0.214
Sep 1, 2017 0.015 0.338 0.264 0.064 0.132
Oct 1, 2017 -0.020 -0.170 0.312 0.034 0.437
Nov 1, 2017 -0.045 0.337 -0.367 -0.258 0.011
Dec 1, 2017 -0.056 0.224 0.324 0.360 0.187
Jan 1, 2018 0.040 0.312 -0.429 -0.146 0.170
Feb 1, 2018 -0.032 0.069 0.347 0.466 0.278
Mar 1, 2018 0.004 0.212 0.158 0.373 0.210
Apr 1, 2018 0.050 0.249 -0.162 -0.159 -0.039
May 1, 2018 -0.105 -0.421 0.196 -0.330 -0.448
Jun 1, 2018 -0.036 0.436 -0.467 -0.060 0.148
Jul 1, 2018 0.085 0.223 0.429 -0.397 -0.337
Aug 1, 2018 -0.092 -0.290 -0.399 0.114 -0.312
Sep 1, 2018 -0.024 0.160 0.353 -0.272 0.192
Oct 1, 2018 0.062 -0.213 0.489 -0.404 0.414
Nov 1, 2018 0.095 -0.221 -0.031 0.191 0.277
Dec 1, 2018 -0.074 0.061 0.419 0.221 -0.249
Jan 1, 2019 0.048 0.422 0.104 0.468 -0.145
Feb 1, 2019 0.013 -0.428 -0.020 0.262 0.218
Mar 1, 2019 -0.016 -0.414 0.068 0.201 0.411
Apr 1, 2019 -0.005 -0.068 -0.403 0.418 0.245
May 1, 2019 -0.034 0.199 0.301 -0.302 0.307
Jun 1, 2019 0.006 0.132 -0.373 0.298 0.405
Jul 1, 2019 -0.015 -0.364 0.450 0.364 0.338
Aug 1, 2019 -0.090 0.495 0.484 -0.407 0.029
Sep 1, 2019 0.111 -0.498 0.069 0.049 -0.405
Oct 1, 2019 -0.018 -0.334 -0.297 0.331 0.194
Nov 1, 2019 0.011 0.326 0.419 -0.179 -0.183
Dec 1, 2019 -0.104 -0.381 -0.479 -0.052 -0.057
Jan 1, 2020 0.011 0.136 0.310 0.115 -0.357
Feb 1, 2020 -0.123 0.398 -0.347 -0.466 -0.491
Mar 1, 2020 -0.221 -0.374 -0.050 0.459 -0.003
Apr 1, 2020 0.002 -0.400 -0.183 -0.385 0.271
May 1, 2020 0.015 0.426 -0.024 -0.144 -0.443
Jun 1, 2020 0.001 0.060 0.126 -0.214 0.022
Jul 1, 2020 -0.129 0.374 -0.086 0.369 0.207
Aug 1, 2020 -0.067 0.119 -0.485 -0.160 0.380
Sep 1, 2020 -0.113 0.327 -0.220 0.175 0.256
Oct 1, 2020 -0.045 0.184 -0.311 0.236 0.483
Nov 1, 2020 0.303 0.399 0.487 0.313 0.165
Dec 1, 2020 -0.113 -0.141 -0.362 0.070 -0.061
Jan 1, 2021 0.153 -0.160 0.181 0.492 -0.177
Feb 1, 2021 -0.008 0.003 0.315 0.369 -0.128
Mar 1, 2021 0.083 -0.447 0.118 0.247 0.271
Apr 1, 2021 0.010 0.062 -0.336 -0.303 0.174
May 1, 2021 0.043 0.298 -0.366 -0.059 0.007
Jun 1, 2021 -0.020 -0.261 0.167 -0.376 0.460
Jul 1, 2021 0.032 -0.160 -0.152 0.402 0.139
Aug 1, 2021 0.082 0.399 0.271 0.489 0.383
Sep 1, 2021 -0.032 -0.031 -0.217 -0.492 0.197
Oct 1, 2021 -0.070 -0.128 -0.087 -0.259 0.174
Nov 1, 2021 0.062 0.295 0.232 -0.102 -0.452
Dec 1, 2021 -0.036 -0.187 -0.080 -0.310 -0.006
Jan 1, 2022 0.113 -0.456 -0.379 -0.298 -0.168
Feb 1, 2022 0.036 0.184 0.337 0.007 -0.258
Mar 1, 2022 0.026 -0.272 -0.142 -0.440 -0.390
Apr 1, 2022 0.056 0.414 -0.204 0.177 -0.490
May 1, 2022 0.092 0.149 0.257 -0.084 -0.011
Jun 1, 2022 -0.039 0.220 -0.416 0.464 0.102
Jul 1, 2022 -0.077 0.410 0.479 0.028 0.490
Aug 1, 2022 -0.055 0.394 0.241 -0.444 -0.021
Sep 1, 2022 -0.180 0.326 -0.280 -0.190 -0.025
Oct 1, 2022 0.032 -0.464 -0.132 0.429 -0.350
Nov 1, 2022 0.029 0.014 -0.167 0.470 0.141
Dec 1, 2022 -0.056 -0.196 -0.227 0.419 0.005
Jan 1, 2023 0.077 -0.133 -0.073 -0.422 0.143
Feb 1, 2023 0.104 0.050 -0.020 0.365 0.055
Mar 1, 2023 0.032 -0.400 0.490 0.310 0.418
Apr 1, 2023 0.038 0.162 0.262 0.318 -0.357
May 1, 2023 -0.038 -0.446 -0.064 -0.038 -0.370
Jun 1, 2023 -0.064 -0.084 -0.409 -0.068 -0.091
Jul 1, 2023 0.086 -0.481 -0.484 0.296 -0.089
Aug 1, 2023 -0.014 -0.091 0.335 -0.357 -0.177
Sep 1, 2023 0.011 -0.188 0.286 -0.016 0.352
Oct 1, 2023 -0.057 -0.085 -0.254 0.308 0.452
Nov 1, 2023 0.084 0.390 -0.095 -0.075 -0.489
Dec 1, 2023 -0.106 -0.130 0.482 0.321 0.314
Jan 1, 2024 0.108 -0.214 0.156 0.326 -0.438
Feb 1, 2024 0.006 0.392 0.335 0.453 0.279
Mar 1, 2024 0.078 0.079 -0.139 0.393 -0.182
Apr 1, 2024 0.029 0.326 -0.200 0.177 -0.241
May 1, 2024 0.019 0.405 0.004 0.268 -0.095
Jun 1, 2024 -0.076 -0.467 0.316 0.159 -0.176
Jul 1, 2024 0.095 0.437 -0.389 0.214 -0.101
Aug 1, 2024 -0.020 0.164 0.201 0.493 -0.385
 C D E portfolio return
0.05252 0.05888 0.05503 -0.0047440904
0.055511135
-0.1416249229
0.08986157061
0.08889153571
0.02 0.01696599228
-0.0359430764
-0.0457418297
-0.0543992317
-0.0113240162
-0.1075835923
-0.042250932
C D E -0.0039059671
0.05141 0.04673 0.06009 0.03300740944
-0.1047718582
0.02217432366
0.0386453206
-0.018313059
-0.0126228972
-0.0310783381
-0.1310471811
0.11842843863
-0.1324534875
C D E 0.03138626507
0.05252 0.05888 0.05503 0.06269941576
-0.0198688349
-0.0196064078
0.04851521975
0.02332201656
-0.0844056229
0.01857350983
0.04912729342
-0.0156748701
-0.0385261933
0.09367482695
-0.022717558
0.11792441932
0.11467320721
-0.0903565083
0.03175613335
-0.0146335533
-0.053279317
0.04532719542
0.04199769053
-0.0391825484
0.07877696358
-0.0522549935
0.04791143759
-0.022731122
-0.0475494949
-0.0094043237
0.00611464466
0.0807509267
0.04637084904
-0.0299625764
0.02848835971
-0.0291026702
0.02238451574
0.11373960059
-0.0766323198
-0.0532050256
0.08363885169
-0.0589528621
-0.0737719362
-0.0699337046
0.00253143702
0.00988719383
-0.044531205
-0.0277737176
-0.0937671003
0.04559767272
0.00345751899
0.042571192
0.00581416948
-0.1439357359
0.15247419872
0.01219746671
0.0381232543
0.04498896143
-0.0567312414
-0.0554643179
-0.0884486124
0.07390082529
-0.0058104973
0.0487823776
0.02026020734
-0.057315741
0.01201193335
0.02126519977
0.03827321033
0.05288003911
0.02913634036
-0.1326547865
-0.0326628341
0.05630403559
-0.1147481407
-0.0004818827
0.06616864666
0.09301755781
-0.0357607929
0.07852622538
0.02105160602
0.01060713837
0.01059195231
-0.0052074221
0.02976754825
0.0387496586
-0.0506945985
0.05503673124
-0.0117174882
0.02201808835
-0.1281356799
0.01665402368
-0.1562192646
-0.1657605355
-0.0304575289
-0.0072251229
-0.0014438585
-0.0610218805
-0.0630143678
-0.0655030293
-0.0048332298
0.30934858846
-0.1131668574
0.14516211764
0.02507977976
0.08548692755
-0.0161257186
0.02280346481
-0.0130277112
0.04297516294
0.1434621269
-0.056306036
-0.0705148822
 0.0410593154
-0.0583396387
0.02708772912
0.03895431743
-0.0435648633
0.031988222
0.08679944324
-0.0122595607
0.00711112673
-0.0446558737
-0.1590220746
0.00823602757
0.05006694683
-0.0384839636
0.03564138043
0.10808993612
0.07839503458
0.04918852363
-0.0718912595
-0.0844784232
0.03821319228
-0.0273189511
0.03592092797
-0.0191513861
0.04498275832
-0.0278872967
0.08193794243
0.07851608826
0.07087829806
0.02112006473
0.04026546879
-0.0609649525
0.07795504386
0.00802554935
minimium variance portfolio
annualized portfolio volatility
then 0,2 plage (A to E)
then 1,0 = 1 : condition