FIN435 Individual Assignment
FIN435 Individual Assignment
Date
2019 01 34.88 90.08 34.29 139.42 51.01 17.91 57.16 73.28 7.23
2019 02 37.48 91 37.18 140.15 53.83 20.48 57.87 79.03 9.07
2019 03 30.76 86.62 41.22 127.17 54.41 21.79 58.04 80.8 9.23
2019 04 34.64 98.69 48.02 137.55 63.5 22.86 60.65 80.28 10.04
2019 05 29.91 103.63 35.52 142.3 66.78 15.86 53.52 70.77 15.17
2019 06 35.85 118.04 41.9 166.81 64.21 15.27 61.11 76.63 18.23
2019 07 40.88 115.11 39.15 162.69 70.22 15.14 67.83 74.36 28.15
2019 08 42.77 119.22 49.22 159.53 59.97 16.28 67.67 68.48 29.67
2019 09 45.47 90.37 51.15 165.91 56.78 16.94 68.81 70.61 22.23
2019 10 43.95 87 45.83 160.44 51.13 19.46 72.43 67.57 19.43
2019 11 43.03 81.01 48.01 165.88 73.8 16.07 73.73 68.13 21.87
2019 12 44.94 92.48 50.81 158.34 73.28 17.11 76.76 69.78 26.13
2020 01 49.12 93.28 49.31 155.51 76.81 17.8 71.37 62.12 31.52
2020 02 47.83 80.95 51.05 171.19 77.37 15.26 64.11 51.44 48.97
2020 03 40.07 58 32.09 112.79 70.77 12.3 59.5 37.97 32.29
2020 04 47.61 78.98 42.4 126.68 72.71 14.4 66.41 46.47 46.83
2020 05 60.06 85.88 52 140.65 75.96 17.61 74.78 45.47 58.19
2020 06 65.04 86.94 57.65 134.04 98.13 17.33 75.06 44.72 47.57
2020 07 69.67 94.75 65.9 122.42 83.13 17.86 81.59 42.08 60.36
2020 08 74.75 75.29 73.24 132.04 85.68 15.26 84.77 39.94 77.23
2020 09 71.6 101.95 74.8 121.21 90.7 15.39 82.84 34.33 82.59
2020 10 69.54 123.83 73 119.05 98.9 16.1 84.67 32.62 98.09
2020 11 74.82 121.06 80.09 168.84 125.69 18.27 88.01 38.13 136.57
2020 12 83.72 132.49 92.85 179.04 122.53 22.61 90.78 41.22 175.47
2021 01 91.77 137.16 92.07 167.33 164.16 23.13 82.47 44.84 182.35
2021 02 91.64 136.12 95.09 199.06 165.49 23.38 79.64 54.37 176.06
2021 03 91.54 131.78 95.48 196.77 142.42 21.54 91.85 55.83 162.16
2021 04 107.99 131.82 110.92 199.43 151.61 20.22 94.84 57.24 139.25
2021 05 97.41 110.53 98.31 195.79 140.59 19.05 93.53 58.37 143.05
2021 06 102.21 124.31 105.7 199.42 176.8 19.53 88.68 63.08 183.63
2021 07 97.1 107.84 122.01 235 186.02 19.52 86.59 57.57 189.6
2021 08 109.76 104.38 123.3 231.52 181.87 25.83 82.29 54.52 173.73
2021 09 101.93 95.45 120.79 212.2 175.02 25.16 77.65 58.82 149.97
2021 10 106.4 95.22 135.92 233.93 179.96 26.86 87.2 64.47 231.63
2021 11 132.77 85.37 128.91 197.69 168.79 30.97 91.04 59.84 250
2021 12 135.03 77.83 130.01 201.97 157 32.55 101 61.19 182.94
2022 01 91.47 76.36 108.72 180.47 139.93 26.49 88.61 75.96 140.47
2022 02 91.84 78.06 95.62 193.85 140.25 25.94 84.57 78.42 166.7
2022 03 65.33 69.92 81 193.88 137.73 35.31 81.44 82.59 201.78
2022 04 58.19 55.05 79.72 168.35 112.2 29.3 82.9 85.25 161.4
2022 05 63.72 49.81 75.44 186.39 101.36 23.73 88.1 96 186.19
2022 06 54.42 39.39 62.96 184.95 93.17 25.71 78.72 85.64 195.24
2022 07 64.52 45.1 80.57 236 110.19 28.35 90.4 96.93 284.18
2022 08 46.79 35.55 81.36 240.68 116.68 28.97 93.16 95.59 286.44
2022 09 43.94 32.49 70.26 207.81 115.75 27.37 83.31 87.31 277.47
2022 10 48.09 34.78 73.37 253.53 145.44 30.86 94.57 110.81 307
2022 11 45.89 44.95 74.63 236.97 184.03 29.19 103.62 111.34 320.59
2022 12 42.33 49.51 69.63 209.35 165.93 26.76 97.45 110.3 264.96
2023 01 52.72 67.52 90.77 243.97 195.44 28.94 89.91 116.01 221.38
2023 02 51.13 62.33 91.81 229.81 200.31 28.54 88.63 109.91 210.53
2023 03 48.67 67.81 98.22 232.73 224.85 25.51 87.24 109.66 210.28
2023 04 54.66 64.07 99.34 227.01 210.71 22.83 82.03 118.34 164.2
2023 05 51.35 81.58 91.31 198.29 192.91 28.79 79.79 102.18 173.88
2023 06 65.56 93.9 103.96 217.47 195.12 36.82 89.73 107.25 167.48
2023 07 69.14 97.54 114.85 226.05 185.93 36.99 103.31 107.24 151.83
2023 08 71.37 83.67 99.7 230.54 212.91 36.59 99.74 111.19 126.53
2023 09 61.63 68.22 90.5 234.13 198.99 35.62 94.81 117.58 120.15
2023 10 56.21 61.59 82.4 219.84 204.49 33.81 91.27 105.85 79.58
2023 11 70.27 64 91.71 257.74 229.87 33.31 102.93 102.74 101.02
2023 12 82.79 73.98 111.56 284.89 258.33 35.66 111.63 99.98 132.14
GNRC TREX EXAS FND RBC AXON PSTG RPM
5.04% 0.28% 5.48% -1.37% 1.97% 12.34% -0.19% 6.83% 18.02% -5.34%
-20.34% -5.55% 7.92% -11.16% -2.48% 4.38% -1.14% 1.22% -5.67% -3.40%
10.20% 13.19% 13.55% 6.27% 13.15% 2.90% 3.06% -1.66% 1.35% 4.58%
-16.06% 4.27% -28.98% 1.56% 1.61% -32.64% -13.19% -12.87% 43.67% -2.47%
17.45% 13.17% 15.02% 15.33% -7.40% -5.73% 12.75% 7.26% 12.74% 23.10%
11.62% -3.22% -9.51% -4.36% 5.80% -2.87% 9.56% -3.98% 46.99% 1.41%
2.21% 2.83% 22.78% -3.84% -18.15% 5.52% -1.67% -8.93% -2.03% 5.11%
3.90% -24.94% 0.98% 2.11% -8.88% 2.04% 0.25% 2.09% -32.51% -2.31%
-5.75% -4.47% -13.35% -5.19% -13.51% 12.86% 3.83% -5.32% -20.03% 20.53%
-4.50% -7.63% 1.81% 1.50% 40.78% -19.43% 0.36% -0.19% 5.13% -0.77%
2.03% 13.42% 2.89% -6.44% -4.26% 4.46% 2.68% 1.40% 12.05% -0.63%
6.89% 0.12% -5.90% -3.68% 1.26% 2.02% -8.46% -12.00% 13.20% 0.23%
-5.04% -13.96% 0.58% 8.19% -2.83% -16.28% -11.61% -18.21% 47.93% -3.34%
-18.63% -29.09% -40.08% -36.01% -12.09% -21.41% -8.62% -27.21% -41.49% -12.29%
16.41% 35.43% 29.18% 10.42% -0.81% 15.06% 10.18% 21.37% 37.60% 1.83%
23.74% 8.00% 19.70% 9.13% 0.91% 20.28% 11.17% -3.17% 16.83% 11.44%
5.88% 0.49% 7.92% -6.59% 25.63% -3.60% -1.06% -2.67% -25.68% 6.82%
4.71% 8.24% 11.37% -10.56% -18.84% 1.04% 7.27% -6.92% 19.46% 26.48%
4.88% -21.28% 8.19% 5.96% -0.49% -16.57% 2.46% -6.11% 20.52% 17.80%
-6.62% 34.67% -0.81% -10.10% 2.30% -1.16% -3.71% -15.07% -0.49% -0.83%
-5.29% 20.72% -5.35% -3.68% 5.48% 2.60% 0.78% -6.00% 11.34% 5.77%
5.18% -2.98% 6.77% 39.93% 23.53% 11.46% 2.51% 15.87% 31.80% -0.16%
9.49% 8.70% 12.99% 4.15% -6.07% 21.74% 1.71% 7.08% 21.05% 2.72%
7.21% 2.78% -3.78% -8.43% 30.42% 0.29% -10.59% 7.76% -3.51% 5.60%
-2.55% -1.50% 0.34% 17.07% -2.75% -0.93% -4.87% 20.23% -10.88% 30.98%
-2.52% -3.93% -2.53% -3.04% -17.50% -9.88% 13.90% 1.67% -15.33% -3.40%
15.56% -0.71% 13.23% -0.54% 2.90% -8.14% 1.82% 1.51% -21.56% -3.83%
-12.21% -16.89% -14.31% -3.72% -10.82% -7.80% -2.82% 0.95% -4.70% -1.28%
2.52% 11.73% 4.57% -0.04% 22.20% 0.51% -6.62% 7.05% 20.94% 23.54%
-7.41% -13.99% 12.49% 15.95% 1.66% -2.07% -3.79% -9.75% -4.18% -1.74%
10.63% -3.95% -1.89% -3.37% -5.79% 30.31% -6.40% -6.32% -15.80% 1.45%
-9.54% -9.30% -4.98% -10.24% -7.32% -4.61% -7.07% 6.87% -21.11% -9.24%
1.98% -0.98% 9.58% 8.35% -0.73% 4.74% 10.86% 8.59% 47.02% 19.24%
22.37% -11.08% -8.10% -17.39% -9.76% 13.29% 2.97% -8.20% 0.50% -18.27%
-0.71% -9.57% -2.09% 0.27% -10.54% 3.09% 9.51% 1.24% -34.25% -19.21%
-34.67% -2.63% -19.32% -12.54% -14.43% -20.63% -13.70% 23.12% -30.65% -22.52%
-2.00% 1.49% -14.99% 5.52% -3.33% -4.09% -5.99% 2.22% 11.24% 8.96%
-31.27% -11.17% -18.23% -1.88% -5.35% 34.11% -5.14% 4.30% 13.61% -8.53%
-13.34% -22.01% -4.52% -15.06% -22.09% -19.03% 0.36% 2.20% -27.44% -28.96%
7.09% -10.26% -8.31% 8.82% -13.22% -21.02% 4.84% 11.59% 7.93% 9.87%
-17.00% -21.66% -19.49% -2.67% -11.64% 6.33% -12.08% -11.81% -2.57% -17.53%
16.15% 13.76% 25.03% 25.71% 14.71% 8.25% 13.40% 12.16% 38.12% 24.65%
-29.89% -21.92% -1.96% 0.09% 2.33% 0.17% 1.62% -2.40% -6.63% -20.61%
-8.50% -9.35% -16.59% -15.55% -4.35% -7.54% -12.01% -9.68% -10.56% -21.93%
7.04% 6.31% 1.48% 20.11% 22.09% 10.74% 12.08% 25.90% 3.21% -37.69%
-6.98% 28.50% -1.23% -8.43% 22.98% -7.43% 8.14% -0.54% -3.00% -11.72%
-10.17% 9.40% -9.64% -13.55% -13.39% -10.34% -7.39% -1.95% -24.78% -7.36%
22.14% 35.64% 27.42% 14.64% 14.23% 6.13% -9.17% 4.16% -23.88% 17.05%
-5.43% -8.43% -1.80% -7.70% -1.06% -3.40% -2.86% -6.28% -12.33% -3.25%
-7.22% 8.05% 4.04% -0.62% 8.70% -12.63% -3.00% -1.25% -7.55% -12.76%
9.90% -6.26% -1.80% -4.35% -9.84% -12.52% -7.41% 6.90% -29.34% -8.12%
-8.46% 26.59% -11.03% -14.55% -12.00% 24.09% -4.16% -14.68% -1.53% 3.80%
25.26% 14.36% 10.91% 7.78% -2.41% 25.88% 11.02% 3.94% -11.11% 34.16%
3.05% 3.14% 7.53% 2.05% -8.27% -1.55% 13.70% -1.03% -16.77% 0.31%
0.82% -14.96% -16.14% 0.09% 10.95% -3.10% -4.89% 2.66% -24.09% -25.46%
-16.06% -19.21% -12.17% -0.34% -10.09% -4.66% -6.38% 4.73% -12.47% -11.05%
-11.20% -10.46% -11.89% -8.00% -0.79% -7.10% -5.17% -11.00% -41.20% -25.60%
22.60% 3.17% 8.35% 15.35% 8.86% -3.49% 11.34% -3.96% 19.51% 36.50%
Variance Covariance Matrix
TREX EXAS FND RBC AXON PSTG
TREX 0.289114
EXAS 0.088821
FND 0.353317
RBC 0.227268
AXON 0.426718
PSTG 0.241675
RPM 0.172083
XOM 0.122358
ENPH 0.891607
GNRC 0.330785
Equal Weight 1 2 3 4 5 6
TREX 0.1 0 0 0 0 0
EXAS 0.1 0 0 0 0 0
FND 0.1 0.088165 0.072835 0.119456 0.11378 0.093085
RBC 0.1 0 0 0 0 0
AXON 0.1 0.36863 0.358349 0.389614 0.390457 0.389864
PSTG 0.1 0.145454 0.147027 0.142243 0.121308 0.061941
RPM 0.1 0.10874 0.159476 0.005184 0 0
XOM 0.1 0 0 0 0 0
ENPH 0.1 0.28901 0.262312 0.343504 0.374456 0.455111
GNRC 0.1 0 0 0 0 0
Total Weight 1 1 1 1 1
Expected Return #NAME? 0.5 0.475503 0.55 0.57 0.62
ST Daviation 0.288531 0.352347 0.33407 0.391553 0.408076 0.453074
Sharpe Ratio 1.024412 1.365698 1.367087 1.356649 1.350729 1.326936
Optimal Weight
TREX 0
EXAS 0
FND 0.11378
RBC 0
AXON 0.390457
PSTG 0.121308
RPM 0
XOM 0
ENPH 0.374456
GNRC 0
Total Weight 1
7 8 9 10 11 12 13 14 15 16
0 0 0 0
0 0 0 0
0.080668 0.07239 0.029217 0.101363
0 0 0 0
0.389508 0.38927 0.378327 0.390101
0.02632 0.002574 0 0.085687
0 0 0 0
0 0 0 0
0.503504 0.535766 0.592456 0.422849
0 0 0 0
1 1 1 1
0.65 0.67 0.7 0.6
0.482136 0.502207 0.533518 0.434504
1.309174 1.296676 1.276808 1.337618
17 18 19 20