|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------||
| TAU => 1.00000000 ||
| DELTA => 1.00000000 ||
|------------------------||
|------------------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00091000 | 0.00030000 | 0.00060000 ||
| B | 0.00030000 | 0.00011000 | 0.00020000 ||
| C | 0.00060000 | 0.00020000 | 0.00041000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| #0 | 1.00000000 |-1.00000000 | 0.00000000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00010000 | 2.00%
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00019442 | 0.00007712 | 0.00013077 ||
| B | 0.00007712 | 0.00004058 | 0.00005385 ||
| C | 0.00013077 | 0.00005385 | 0.00010231 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00110442 | 0.00037712 | 0.00073077 ||
| B | 0.00037712 | 0.00015058 | 0.00025385 ||
| C | 0.00073077 | 0.00025385 | 0.00051231 ||
|------------------------------------------------------------------------------------------------||
|------------------------||
| JOINT/POSTERIOR RETURN ||
|------------------------||
| ID => RIOC | DJ05 ||
|------------------------||
| [A] => 3.35% | 3.35% ||
| [B] => 1.73% | 1.73% ||
| [C] => 2.54% | 2.54% ||
|------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 39 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------||
| TAU => 1.00000000 ||
| DELTA => 1.00000000 ||
|------------------------||
|------------------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00091000 | 0.00030000 | 0.00060000 ||
| B | 0.00030000 | 0.00011000 | 0.00020000 ||
| C | 0.00060000 | 0.00020000 | 0.00041000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| #0 | 1.00000000 |-1.00000000 | 0.00000000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00000001 | 2.00%
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00002407 | 0.00002405 | 0.00001906 ||
| B | 0.00002405 | 0.00002405 | 0.00001905 ||
| C | 0.00001906 | 0.00001905 | 0.00002906 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00093407 | 0.00032405 | 0.00061906 ||
| B | 0.00032405 | 0.00013405 | 0.00021905 ||
| C | 0.00061906 | 0.00021905 | 0.00043906 ||
|------------------------------------------------------------------------------------------------||
|------------------------||
| JOINT/POSTERIOR RETURN ||
|------------------------||
| ID => RIOC | DJ05 ||
|------------------------||
| [A] => 3.90% | 3.90% ||
| [B] => 1.90% | 1.90% ||
| [C] => 2.90% | 2.90% ||
|------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------||
| TAU => 1.00000000 ||
| DELTA => 1.00000000 ||
|------------------------||
|------------------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00091000 | 0.00030000 | 0.00060000 ||
| B | 0.00030000 | 0.00011000 | 0.00020000 ||
| C | 0.00060000 | 0.00020000 | 0.00041000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| #0 | 1.00000000 |-1.00000000 | 0.00000000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00001000 | 2.00%
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00004465 | 0.00003047 | 0.00003256 ||
| B | 0.00003047 | 0.00002605 | 0.00002326 ||
| C | 0.00003256 | 0.00002326 | 0.00003791 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | A | B | C ||
|------------------------------------------------------------------------------------------------||
| A | 0.00095465 | 0.00033047 | 0.00063256 ||
| B | 0.00033047 | 0.00013605 | 0.00022326 ||
| C | 0.00063256 | 0.00022326 | 0.00044791 ||
|------------------------------------------------------------------------------------------------||
|------------------------||
| JOINT/POSTERIOR RETURN ||
|------------------------||
| ID => RIOC | DJ05 ||
|------------------------||
| [A] => 3.84% | 3.84% ||
| [B] => 1.88% | 1.88% ||
| [C] => 2.86% | 2.86% ||
|------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 0 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 43 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------||
| HISTORICAL COVARIANCE MATRIX ||
|---------------------------------------------------------------------------------------------||
| CORPORATE BOND | 0.0050 | 0.0047 | 0.0024 | 0.0036 | 0.0023 | 0.0031 | 0.0032 | 0.0030 ||
| LONG TERM GOVVIE | 0.0047 | 0.0062 | 0.0030 | 0.0033 | 0.0016 | 0.0024 | 0.0026 | 0.0020 ||
| MEDIUM TERM GOVVIE | 0.0024 | 0.0030 | 0.0020 | 0.0015 | 0.0006 | 0.0009 | 0.0012 | 0.0008 ||
| STRONG BUY EQUITY | 0.0036 | 0.0033 | 0.0015 | 0.0468 | 0.0354 | 0.0371 | 0.0379 | 0.0414 ||
| BUY EQUITY | 0.0023 | 0.0016 | 0.0006 | 0.0354 | 0.0354 | 0.0323 | 0.0317 | 0.0371 ||
| NEUTRAL EQUITY | 0.0031 | 0.0024 | 0.0009 | 0.0371 | 0.0323 | 0.0349 | 0.0342 | 0.0364 ||
| SELL EQUITY | 0.0032 | 0.0026 | 0.0012 | 0.0379 | 0.0317 | 0.0342 | 0.0432 | 0.0384 ||
| STRONG SELL EQUITY | 0.0030 | 0.0020 | 0.0008 | 0.0414 | 0.0371 | 0.0364 | 0.0384 | 0.0498 ||
|---------------------------------------------------------------------------------------------||
||---------------------------------||
|| MARKET WEIGHT ||
||---------------------------------||
|| CORPORATE BOND => 16.67% ||
|| LONG TERM GOVVIE => 08.33% ||
|| MEDIUM TERM GOVVIE => 08.33% ||
|| STRONG BUY EQUITY => 22.06% ||
|| BUY EQUITY => 11.84% ||
|| NEUTRAL EQUITY => 10.65% ||
|| SELL EQUITY => 05.91% ||
|| STRONG SELL EQUITY => 16.22% ||
||---------------------------------||
||---------------------------------||
|| HISTORICAL RETURNS ||
||---------------------------------||
|| CORPORATE BOND => 05.95% ||
|| LONG TERM GOVVIE => 05.53% ||
|| MEDIUM TERM GOVVIE => 05.45% ||
|| STRONG BUY EQUITY => 13.02% ||
|| BUY EQUITY => 11.14% ||
|| NEUTRAL EQUITY => 11.16% ||
|| SELL EQUITY => 12.17% ||
|| STRONG SELL EQUITY => 12.20% ||
||---------------------------------||
||---------------------------------------------||
|| HISTORICAL PARAM OPTIMAL WEIGHTS ||
||---------------------------------------------||
|| ASSET => CALC | PAPER ||
||---------------------------------------------||
|| CORPORATE BOND => 021.54% | 025.11% ||
|| LONG TERM GOVVIE => -054.34% | -060.54% ||
|| MEDIUM TERM GOVVIE => 119.76% | 119.75% ||
|| STRONG BUY EQUITY => 006.24% | 009.32% ||
|| BUY EQUITY => 008.08% | 007.50% ||
|| NEUTRAL EQUITY => -004.50% | -005.09% ||
|| SELL EQUITY => 004.72% | 005.43% ||
|| STRONG SELL EQUITY => -001.49% | -001.49% ||
||---------------------------------------------||
||----------------------------------------||
|| MARKET IMPLIED RETURNS ||
||----------------------------------------||
|| ASSET => CALC | PAPER ||
||----------------------------------------||
|| CORPORATE BOND => 3.35% | 3.35% ||
|| LONG TERM GOVVIE => 3.32% | 3.32% ||
|| MEDIUM TERM GOVVIE => 3.15% | 3.15% ||
|| STRONG BUY EQUITY => 5.84% | 5.84% ||
|| BUY EQUITY => 5.39% | 5.39% ||
|| NEUTRAL EQUITY => 5.44% | 5.44% ||
|| SELL EQUITY => 5.54% | 5.54% ||
|| STRONG SELL EQUITY => 5.85% | 5.85% ||
||----------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 43 ms
| Run Duration => 20 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------||
| TAU => 0.00250000 ||
| DELTA => 1.00000000 ||
|------------------------||
|------------------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | CORPORATE BOND | LONG TERM GOVVIE | MEDIUM TERM GOVVIE | STRONG BUY EQUITY | BUY EQUITY | NEUTRAL EQUITY | SELL EQUITY | STRONG SELL EQUITY ||
|------------------------------------------------------------------------------------------------||
| CORPORATE BOND | 0.00500000 | 0.00470000 | 0.00240000 | 0.00360000 | 0.00230000 | 0.00310000 | 0.00320000 | 0.00300000 ||
| LONG TERM GOVVIE | 0.00470000 | 0.00620000 | 0.00300000 | 0.00330000 | 0.00160000 | 0.00240000 | 0.00260000 | 0.00200000 ||
| MEDIUM TERM GOVVIE | 0.00240000 | 0.00300000 | 0.00200000 | 0.00150000 | 0.00060000 | 0.00090000 | 0.00120000 | 0.00080000 ||
| STRONG BUY EQUITY | 0.00360000 | 0.00330000 | 0.00150000 | 0.04680000 | 0.03540000 | 0.03710000 | 0.03790000 | 0.04140000 ||
| BUY EQUITY | 0.00230000 | 0.00160000 | 0.00060000 | 0.03540000 | 0.03540000 | 0.03230000 | 0.03170000 | 0.03710000 ||
| NEUTRAL EQUITY | 0.00310000 | 0.00240000 | 0.00090000 | 0.03710000 | 0.03230000 | 0.03490000 | 0.03420000 | 0.03640000 ||
| SELL EQUITY | 0.00320000 | 0.00260000 | 0.00120000 | 0.03790000 | 0.03170000 | 0.03420000 | 0.04320000 | 0.03840000 ||
| STRONG SELL EQUITY | 0.00300000 | 0.00200000 | 0.00080000 | 0.04140000 | 0.03710000 | 0.03640000 | 0.03840000 | 0.04980000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|------------------------------------------------------------------------------------------------||
| | CORPORATE BOND | LONG TERM GOVVIE | MEDIUM TERM GOVVIE | STRONG BUY EQUITY | BUY EQUITY | NEUTRAL EQUITY | SELL EQUITY | STRONG SELL EQUITY ||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00000000 | 0.00000000 | 0.00000000 | 0.33000000 | 0.18000000 | 0.16000000 | 0.09000000 | 0.24000000 ||
| #1 |-0.50000000 |-0.25000000 |-0.25000000 | 0.33000000 | 0.18000000 | 0.16000000 | 0.09000000 | 0.24000000 ||
| #2 | 0.00000000 | 0.00000000 | 0.00000000 | 1.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 ||
| #3 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 1.00000000 | 0.00000000 | 0.00000000 | 0.00000000 ||
| #4 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 1.00000000 | 0.00000000 ||
| #5 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 1.00000000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00120000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 6.34%
| #1 | 0.00000000 | 0.00090000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 4.00%
| #2 | 0.00000000 | 0.00000000 | 0.00090000 | 0.00000000 | 0.00000000 | 0.00000000 | 8.34%
| #3 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00360000 | 0.00000000 | 0.00000000 | 7.84%
| #4 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00360000 | 0.00000000 | 4.84%
| #5 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00090000 | 4.34%
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | CORPORATE BOND | LONG TERM GOVVIE | MEDIUM TERM GOVVIE | STRONG BUY EQUITY | BUY EQUITY | NEUTRAL EQUITY | SELL EQUITY | STRONG SELL EQUITY ||
|------------------------------------------------------------------------------------------------||
| CORPORATE BOND | 0.00001231 | 0.00001158 | 0.00000592 | 0.00000712 | 0.00000421 | 0.00000618 | 0.00000634 | 0.00000560 ||
| LONG TERM GOVVIE | 0.00001158 | 0.00001534 | 0.00000742 | 0.00000696 | 0.00000297 | 0.00000494 | 0.00000537 | 0.00000374 ||
| MEDIUM TERM GOVVIE | 0.00000592 | 0.00000742 | 0.00000496 | 0.00000327 | 0.00000113 | 0.00000186 | 0.00000259 | 0.00000155 ||
| STRONG BUY EQUITY | 0.00000712 | 0.00000696 | 0.00000327 | 0.00008249 | 0.00005944 | 0.00006342 | 0.00006408 | 0.00006824 ||
| BUY EQUITY | 0.00000421 | 0.00000297 | 0.00000113 | 0.00005944 | 0.00006383 | 0.00005594 | 0.00005330 | 0.00006277 ||
| NEUTRAL EQUITY | 0.00000618 | 0.00000494 | 0.00000186 | 0.00006342 | 0.00005594 | 0.00006224 | 0.00005932 | 0.00006085 ||
| SELL EQUITY | 0.00000634 | 0.00000537 | 0.00000259 | 0.00006408 | 0.00005330 | 0.00005932 | 0.00008048 | 0.00006443 ||
| STRONG SELL EQUITY | 0.00000560 | 0.00000374 | 0.00000155 | 0.00006824 | 0.00006277 | 0.00006085 | 0.00006443 | 0.00008782 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | CORPORATE BOND | LONG TERM GOVVIE | MEDIUM TERM GOVVIE | STRONG BUY EQUITY | BUY EQUITY | NEUTRAL EQUITY | SELL EQUITY | STRONG SELL EQUITY ||
|------------------------------------------------------------------------------------------------||
| CORPORATE BOND | 0.00501231 | 0.00471158 | 0.00240592 | 0.00360712 | 0.00230421 | 0.00310618 | 0.00320634 | 0.00300560 ||
| LONG TERM GOVVIE | 0.00471158 | 0.00621534 | 0.00300742 | 0.00330696 | 0.00160297 | 0.00240494 | 0.00260537 | 0.00200374 ||
| MEDIUM TERM GOVVIE | 0.00240592 | 0.00300742 | 0.00200496 | 0.00150327 | 0.00060113 | 0.00090186 | 0.00120259 | 0.00080155 ||
| STRONG BUY EQUITY | 0.00360712 | 0.00330696 | 0.00150327 | 0.04688249 | 0.03545944 | 0.03716342 | 0.03796408 | 0.04146824 ||
| BUY EQUITY | 0.00230421 | 0.00160297 | 0.00060113 | 0.03545944 | 0.03546383 | 0.03235594 | 0.03175330 | 0.03716277 ||
| NEUTRAL EQUITY | 0.00310618 | 0.00240494 | 0.00090186 | 0.03716342 | 0.03235594 | 0.03496224 | 0.03425932 | 0.03646085 ||
| SELL EQUITY | 0.00320634 | 0.00260537 | 0.00120259 | 0.03796408 | 0.03175330 | 0.03425932 | 0.04328048 | 0.03846443 ||
| STRONG SELL EQUITY | 0.00300560 | 0.00200374 | 0.00080155 | 0.04146824 | 0.03716277 | 0.03646085 | 0.03846443 | 0.04988782 ||
|------------------------------------------------------------------------------------------------||
|------------------------||
| JOINT/POSTERIOR RETURN ||
|------------------------||
| ID => RIOC | HL99 ||
|------------------------||
| [CORPORATE BOND ] => 03.36% | 03.36% ||
| [LONG TERM GOVVIE ] => 03.33% | 03.33% ||
| [MEDIUM TERM GOVVIE ] => 03.15% | 03.15% ||
| [STRONG BUY EQUITY ] => 06.14% | 06.14% ||
| [BUY EQUITY ] => 05.62% | 05.62% ||
| [NEUTRAL EQUITY ] => 05.68% | 05.68% ||
| [SELL EQUITY ] => 05.77% | 05.77% ||
| [STRONG SELL EQUITY ] => 06.08% | 06.08% ||
|------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 65 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------------||
| CO-VARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------------||
| US Bonds | 0.0014 | 0.0015 | -0.0008 | -0.0017 | -0.0010 | -0.0007 | -0.0015 | -0.0006 ||
| Global Bonds xUSD | 0.0015 | 0.0076 | 0.0026 | -0.0006 | -0.0013 | -0.0003 | -0.0002 | 0.0005 ||
| World Equity xUS | -0.0008 | 0.0026 | 0.0251 | 0.0292 | 0.0208 | 0.0147 | 0.0248 | 0.0134 ||
| Emerging Equity | -0.0017 | -0.0006 | 0.0292 | 0.0663 | 0.0359 | 0.0244 | 0.0490 | 0.0268 ||
| US Large Cap Growth | -0.0010 | -0.0013 | 0.0208 | 0.0359 | 0.0468 | 0.0283 | 0.0520 | 0.0260 ||
| US Large Cap Value | -0.0007 | -0.0003 | 0.0147 | 0.0244 | 0.0283 | 0.0252 | 0.0314 | 0.0215 ||
| US Small Cap Growth | -0.0015 | -0.0002 | 0.0248 | 0.0490 | 0.0520 | 0.0314 | 0.0809 | 0.0411 ||
| US Small Cap Value | -0.0006 | 0.0005 | 0.0134 | 0.0268 | 0.0260 | 0.0215 | 0.0411 | 0.0276 ||
|------------------------------------------------------------------------------------------------------||
||-------------------------------------------------------------||
|| MARKET CAPITALIZATION AND EQUILIBRIUM WEIGHTS ||
||-------------------------------------------------------------||
|| ASSET CLASS => CAPITALIZATION | OUTPUT | PAPER ||
||-------------------------------------------------------------||
|| US Bonds => 08360741000000 | 20.16% | 20.16% ||
|| Global Bonds xUSD => 11583275710000 | 27.93% | 27.93% ||
|| World Equity xUS => 09212460000000 | 22.21% | 22.21% ||
|| Emerging Equity => 00964647000000 | 02.33% | 02.33% ||
|| US Large Cap Growth => 05217844438500 | 12.58% | 12.58% ||
|| US Large Cap Value => 05217844438500 | 12.58% | 12.58% ||
|| US Small Cap Growth => 00459897061500 | 01.11% | 01.11% ||
|| US Small Cap Value => 00459897061500 | 01.11% | 01.11% ||
||-------------------------------------------------------------||
||-------------------------------------------||
|| RISK PREMIUM IMPLIED RETURNS ||
||-------------------------------------------||
|| ASSET CLASS => OUTPUT | PAPER ||
||-------------------------------------------||
|| US Bonds => 00.08% | 00.08% ||
|| Global Bonds xUSD => 00.94% | 00.94% ||
|| World Equity xUS => 03.95% | 03.95% ||
|| Emerging Equity => 05.37% | 05.37% ||
|| US Large Cap Growth => 05.12% | 05.13% ||
|| US Large Cap Value => 03.68% | 03.68% ||
|| US Small Cap Growth => 06.11% | 06.12% ||
|| US Small Cap Value => 03.49% | 03.49% ||
||-------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 96 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------------------------||
| G7 CORRELATION MATRIX INPUT ||
|-----------------------------------------------------------------------------------||
| Australia | 1.000 | 0.488 | 0.478 | 0.515 | 0.439 | 0.512 | 0.491 ||
| Canada | 0.488 | 1.000 | 0.664 | 0.655 | 0.310 | 0.608 | 0.779 ||
| France | 0.478 | 0.664 | 1.000 | 0.861 | 0.355 | 0.783 | 0.668 ||
| Germany | 0.515 | 0.655 | 0.861 | 1.000 | 0.354 | 0.777 | 0.653 ||
| Japan | 0.439 | 0.310 | 0.355 | 0.354 | 1.000 | 0.405 | 0.306 ||
| United Kingdom | 0.512 | 0.608 | 0.783 | 0.777 | 0.405 | 1.000 | 0.652 ||
| United States of America | 0.491 | 0.779 | 0.668 | 0.653 | 0.306 | 0.652 | 1.000 ||
|-----------------------------------------------------------------------------------||
|-----------------------------------------------------------------------------------||
| G7 COVARIANCE MATRIX INPUT ||
|-----------------------------------------------------------------------------------||
| Australia | 0.026 | 0.016 | 0.019 | 0.022 | 0.015 | 0.016 | 0.015 ||
| Canada | 0.016 | 0.041 | 0.033 | 0.036 | 0.013 | 0.025 | 0.030 ||
| France | 0.019 | 0.033 | 0.062 | 0.058 | 0.018 | 0.039 | 0.031 ||
| Germany | 0.022 | 0.036 | 0.058 | 0.073 | 0.020 | 0.042 | 0.033 ||
| Japan | 0.015 | 0.013 | 0.018 | 0.020 | 0.044 | 0.017 | 0.012 ||
| United Kingdom | 0.016 | 0.025 | 0.039 | 0.042 | 0.017 | 0.040 | 0.024 ||
| United States of America | 0.015 | 0.030 | 0.031 | 0.033 | 0.012 | 0.024 | 0.035 ||
|-----------------------------------------------------------------------------------||
||----------------------------------------------||
|| BENCHMARK WEIGHT AND RETURNS VOLATILITY ||
||----------------------------------------------||
|| ASSET CLASS => WEIGHT | VOL ||
||----------------------------------------------||
|| Australia => 01.6% | 16.0% ||
|| Canada => 02.2% | 20.3% ||
|| France => 05.2% | 24.8% ||
|| Germany => 05.5% | 27.1% ||
|| Japan => 11.6% | 21.0% ||
|| United Kingdom => 12.4% | 20.0% ||
|| United States of America => 61.5% | 18.7% ||
||----------------------------------------------||
||----------------------------------------------||
|| RISK PREMIUM IMPLIED RETURNS ||
||----------------------------------------------||
|| ASSET CLASS => OUTPUT | PAPER ||
||----------------------------------------------||
|| Australia => 3.94% | 3.94% ||
|| Canada => 6.92% | 6.92% ||
|| France => 8.36% | 8.36% ||
|| Germany => 9.03% | 9.03% ||
|| Japan => 4.30% | 4.30% ||
|| United Kingdom => 6.77% | 6.77% ||
|| United States of America => 7.56% | 7.56% ||
||----------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------||
| TAU => 0.30000000 ||
| DELTA => 1.25000000 ||
|------------------------||
||-------------------------------------------||
|| MARKET CAPITALIZATION RECONCILER #1 ||
||-------------------------------------------||
|| SECTOR => WT. | PAPER ||
||-------------------------------------------||
|| AGRO & FOOD INDUSTRY => 07% | 07% ||
|| CONSUMER PRODUCTS => 01% | 01% ||
|| FINANCIALS => 20% | 20% ||
|| INDUSTRIALS => 11% | 11% ||
|| PROPERTY & CONSTRUCTION => 14% | 14% ||
|| RESOURCES => 29% | 29% ||
|| SERVICES => 05% | 05% ||
|| TECHNOLOGY => 12% | 12% ||
||-------------------------------------------||
||----------------------------------------------||
|| MARKET CAPITALIZATION RECONCILER #2 ||
||----------------------------------------------||
|| SECTOR => WEIGHT | PAPER ||
||----------------------------------------------||
|| ZRR3Y => 50.0% | 50.0% ||
|| AGRO & FOOD INDUSTRY => 03.6% | 03.6% ||
|| CONSUMER PRODUCTS => 00.5% | 00.5% ||
|| FINANCIALS => 10.2% | 10.2% ||
|| INDUSTRIALS => 05.6% | 05.6% ||
|| PROPERTY & CONSTRUCTION => 06.8% | 06.8% ||
|| RESOURCES => 14.7% | 14.7% ||
|| SERVICES => 02.7% | 02.7% ||
|| TECHNOLOGY => 05.9% | 05.9% ||
||----------------------------------------------||
||----------------------------------------------||
|| IMPLIED EXCESS RETURN ||
||----------------------------------------------||
|| SECTOR => RETURN | PAPER ||
||----------------------------------------------||
|| ZRR3Y => 0.02% | 0.01% ||
|| AGRO & FOOD INDUSTRY => 2.53% | 2.21% ||
|| CONSUMER PRODUCTS => 1.04% | 0.96% ||
|| FINANCIALS => 3.67% | 3.12% ||
|| INDUSTRIALS => 4.50% | 3.97% ||
|| PROPERTY & CONSTRUCTION => 4.10% | 3.61% ||
|| RESOURCES => 4.37% | 3.50% ||
|| SERVICES => 3.15% | 2.80% ||
|| TECHNOLOGY => 2.68% | 2.44% ||
||----------------------------------------------||
||----------------------------------------------||
|| IMPLIED MARKET RETURN ||
||----------------------------------------------||
|| SECTOR => RETURN | PAPER ||
||----------------------------------------------||
|| ZRR3Y => 3.02% | 3.01% ||
|| AGRO & FOOD INDUSTRY => 5.53% | 5.21% ||
|| CONSUMER PRODUCTS => 4.04% | 3.96% ||
|| FINANCIALS => 6.67% | 6.12% ||
|| INDUSTRIALS => 7.50% | 6.97% ||
|| PROPERTY & CONSTRUCTION => 7.10% | 6.61% ||
|| RESOURCES => 7.37% | 6.50% ||
|| SERVICES => 6.15% | 5.80% ||
|| TECHNOLOGY => 5.68% | 5.44% ||
||----------------------------------------------||
|------------------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | ZRR3Y | AGRO & FOOD INDUSTRY | CONSUMER PRODUCTS | FINANCIALS | INDUSTRIALS | PROPERTY & CONSTRUCTION | RESOURCES | SERVICES | TECHNOLOGY ||
|------------------------------------------------------------------------------------------------||
| ZRR3Y | 0.00130000 |-0.00100000 |-0.00050000 |-0.00090000 |-0.00190000 |-0.00040000 |-0.00140000 |-0.00080000 |-0.00060000 ||
| AGRO & FOOD INDUSTRY |-0.00100000 | 0.03910000 | 0.01580000 | 0.03980000 | 0.04960000 | 0.04620000 | 0.04540000 | 0.03700000 | 0.02650000 ||
| CONSUMER PRODUCTS |-0.00050000 | 0.01580000 | 0.01180000 | 0.01500000 | 0.02030000 | 0.02040000 | 0.01910000 | 0.01610000 | 0.01110000 ||
| FINANCIALS |-0.00090000 | 0.03980000 | 0.01500000 | 0.06830000 | 0.06960000 | 0.06670000 | 0.06230000 | 0.04890000 | 0.04030000 ||
| INDUSTRIALS |-0.00190000 | 0.04960000 | 0.02030000 | 0.06960000 | 0.10290000 | 0.08090000 | 0.08290000 | 0.06290000 | 0.04710000 ||
| PROPERTY & CONSTRUCTION |-0.00040000 | 0.04620000 | 0.02040000 | 0.06670000 | 0.08090000 | 0.07910000 | 0.06990000 | 0.05660000 | 0.04530000 ||
| RESOURCES |-0.00140000 | 0.04540000 | 0.01910000 | 0.06230000 | 0.08290000 | 0.06990000 | 0.09430000 | 0.05570000 | 0.04810000 ||
| SERVICES |-0.00080000 | 0.03700000 | 0.01610000 | 0.04890000 | 0.06290000 | 0.05660000 | 0.05570000 | 0.05000000 | 0.03840000 ||
| TECHNOLOGY |-0.00060000 | 0.02650000 | 0.01110000 | 0.04030000 | 0.04710000 | 0.04530000 | 0.04810000 | 0.03840000 | 0.04730000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|------------------------------------------------------------------------------------------------||
| | ZRR3Y | AGRO & FOOD INDUSTRY | CONSUMER PRODUCTS | FINANCIALS | INDUSTRIALS | PROPERTY & CONSTRUCTION | RESOURCES | SERVICES | TECHNOLOGY ||
|------------------------------------------------------------------------------------------------||
| #0 | 1.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 ||
| #1 | 0.00000000 | 0.00000000 |-1.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 1.00000000 | 0.00000000 | 0.00000000 ||
| #2 | 0.00000000 | 0.00000000 | 0.00000000 |-0.41000000 | 0.49000000 | 0.00000000 |-0.59000000 | 0.00000000 | 0.51000000 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| #0 | 0.00130000 | 0.00000000 | 0.00000000 | 0.00%
| #1 | 0.00000000 | 0.06790000 | 0.00000000 | 2.00%
| #2 | 0.00000000 | 0.00000000 | 0.01320000 | 0.10%
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | ZRR3Y | AGRO & FOOD INDUSTRY | CONSUMER PRODUCTS | FINANCIALS | INDUSTRIALS | PROPERTY & CONSTRUCTION | RESOURCES | SERVICES | TECHNOLOGY ||
|------------------------------------------------------------------------------------------------||
| ZRR3Y | 0.00029949 |-0.00021133 |-0.00011080 |-0.00017712 |-0.00039447 |-0.00005860 |-0.00027445 |-0.00015695 |-0.00011098 ||
| AGRO & FOOD INDUSTRY |-0.00021133 | 0.01071329 | 0.00446649 | 0.01031538 | 0.01290781 | 0.01228319 | 0.01103930 | 0.00985959 | 0.00689340 ||
| CONSUMER PRODUCTS |-0.00011080 | 0.00446649 | 0.00346213 | 0.00406792 | 0.00558053 | 0.00571840 | 0.00504411 | 0.00451329 | 0.00307391 ||
| FINANCIALS |-0.00017712 | 0.01031538 | 0.00406792 | 0.01785365 | 0.01779197 | 0.01746937 | 0.01450128 | 0.01270784 | 0.01045530 ||
| INDUSTRIALS |-0.00039447 | 0.01290781 | 0.00558053 | 0.01779197 | 0.02671891 | 0.02108783 | 0.01996331 | 0.01628064 | 0.01172422 ||
| PROPERTY & CONSTRUCTION |-0.00005860 | 0.01228319 | 0.00571840 | 0.01746937 | 0.02108783 | 0.02116514 | 0.01693183 | 0.01496133 | 0.01179089 ||
| RESOURCES |-0.00027445 | 0.01103930 | 0.00504411 | 0.01450128 | 0.01996331 | 0.01693183 | 0.02163477 | 0.01359168 | 0.01183111 ||
| SERVICES |-0.00015695 | 0.00985959 | 0.00451329 | 0.01270784 | 0.01628064 | 0.01496133 | 0.01359168 | 0.01337462 | 0.01002153 ||
| TECHNOLOGY |-0.00011098 | 0.00689340 | 0.00307391 | 0.01045530 | 0.01172422 | 0.01179089 | 0.01183111 | 0.01002153 | 0.01269331 ||
|------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | ZRR3Y | AGRO & FOOD INDUSTRY | CONSUMER PRODUCTS | FINANCIALS | INDUSTRIALS | PROPERTY & CONSTRUCTION | RESOURCES | SERVICES | TECHNOLOGY ||
|------------------------------------------------------------------------------------------------||
| ZRR3Y | 0.00159949 |-0.00121133 |-0.00061080 |-0.00107712 |-0.00229447 |-0.00045860 |-0.00167445 |-0.00095695 |-0.00071098 ||
| AGRO & FOOD INDUSTRY |-0.00121133 | 0.04981329 | 0.02026649 | 0.05011538 | 0.06250781 | 0.05848319 | 0.05643930 | 0.04685959 | 0.03339340 ||
| CONSUMER PRODUCTS |-0.00061080 | 0.02026649 | 0.01526213 | 0.01906792 | 0.02588053 | 0.02611840 | 0.02414411 | 0.02061329 | 0.01417391 ||
| FINANCIALS |-0.00107712 | 0.05011538 | 0.01906792 | 0.08615365 | 0.08739197 | 0.08416937 | 0.07680128 | 0.06160784 | 0.05075530 ||
| INDUSTRIALS |-0.00229447 | 0.06250781 | 0.02588053 | 0.08739197 | 0.12961891 | 0.10198783 | 0.10286331 | 0.07918064 | 0.05882422 ||
| PROPERTY & CONSTRUCTION |-0.00045860 | 0.05848319 | 0.02611840 | 0.08416937 | 0.10198783 | 0.10026514 | 0.08683183 | 0.07156133 | 0.05709089 ||
| RESOURCES |-0.00167445 | 0.05643930 | 0.02414411 | 0.07680128 | 0.10286331 | 0.08683183 | 0.11593477 | 0.06929168 | 0.05993111 ||
| SERVICES |-0.00095695 | 0.04685959 | 0.02061329 | 0.06160784 | 0.07918064 | 0.07156133 | 0.06929168 | 0.06337462 | 0.04842153 ||
| TECHNOLOGY |-0.00071098 | 0.03339340 | 0.01417391 | 0.05075530 | 0.05882422 | 0.05709089 | 0.05993111 | 0.04842153 | 0.05999331 ||
|------------------------------------------------------------------------------------------------||
|------------------------||
| JOINT/POSTERIOR RETURN ||
|------------------------||
| ID => RIOC | HL99 ||
|------------------------||
| [ZRR3Y ] => 02.32% | 03.36% ||
| [AGRO & FOOD INDUSTRY ] => 05.85% | 03.33% ||
| [CONSUMER PRODUCTS ] => 04.25% | 03.15% ||
| [FINANCIALS ] => 06.79% | 06.14% ||
| [INDUSTRIALS ] => 08.13% | 05.62% ||
| [PROPERTY & CONSTRUCTION ] => 06.97% | 05.68% ||
| [RESOURCES ] => 07.55% | 05.77% ||
| [SERVICES ] => 06.33% | 06.08% ||
|------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 7 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------||
| TAU => 1.00 ||
| RISK AVERSION => 2.60 ||
| RISK FREE RATE => 0.00% ||
|-------------------------||
|----------------------------------------------------------------------------------------||
| PRIOR CROSS ASSET COVARIANCE MATRIX ||
|----------------------------------------------------------------------------------------||
| ID | ASSET A | ASSET B | ASSET C | ASSET D | ASSET E | ASSET F ||
|----------------------------------------------------------------------------------------||
| ASSET A | 0.00273000 | 0.00208000 | 0.00159000 | 0.00049000 | 0.00117000 | 0.00071000 ||
| ASSET B | 0.00208000 | 0.00277000 | 0.00130000 | 0.00046000 | 0.00111000 | 0.00056000 ||
| ASSET C | 0.00159000 | 0.00130000 | 0.00146000 | 0.00064000 | 0.00105000 | 0.00052000 ||
| ASSET D | 0.00049000 | 0.00046000 | 0.00064000 | 0.00061000 | 0.00066000 | 0.00037000 ||
| ASSET E | 0.00117000 | 0.00111000 | 0.00105000 | 0.00066000 | 0.00139000 | 0.00066000 ||
| ASSET F | 0.00071000 | 0.00056000 | 0.00052000 | 0.00037000 | 0.00066000 | 0.00070000 ||
|----------------------------------------------------------------------------------------||
|-----------------------------------------------------------------------------------||
| VIEW SCOPING ASSET PROJECTION LOADING ||
|-----------------------------------------------------------------------------------||
| | ASSET A | ASSET B | ASSET C | ASSET D | ASSET E | ASSET F ||
|-----------------------------------------------------------------------------------||
| #0 | 0.00000000 | 0.00000000 |-1.00000000 | 0.00000000 | 1.00000000 | 0.00000000 ||
| #1 | 0.00000000 | 1.00000000 | 0.00000000 | 0.00000000 |-1.00000000 | 0.00000000 ||
| #2 |-1.00000000 | 1.00000000 | 1.00000000 | 0.00000000 | 0.00000000 |-1.00000000 ||
|-----------------------------------------------------------------------------------||
|----------------------------------------------------||
| #0 | 0.00075000 |-0.00053000 |-0.00033000 | 0.02% ||
| #1 |-0.00053000 | 0.00195000 | 0.00110000 | 0.03% ||
| #2 |-0.00033000 | 0.00110000 | 0.00217000 | 0.01% ||
|----------------------------------------------------||
|----------------------------------------------------------------------------------------||
| JOINT CROSS ASSET COVARIANCE MATRIX ||
|----------------------------------------------------------------------------------------||
| ID | ASSET A | ASSET B | ASSET C | ASSET D | ASSET E | ASSET F ||
|----------------------------------------------------------------------------------------||
| ASSET A | 0.00246525 | 0.00177615 | 0.00152944 | 0.00056495 | 0.00131991 | 0.00072414 ||
| ASSET B | 0.00177615 | 0.00192356 | 0.00118739 | 0.00049592 | 0.00109158 | 0.00062173 ||
| ASSET C | 0.00152944 | 0.00118739 | 0.00126869 | 0.00058710 | 0.00106289 | 0.00060106 ||
| ASSET D | 0.00056495 | 0.00049592 | 0.00058710 | 0.00055889 | 0.00059653 | 0.00039852 ||
| ASSET E | 0.00131991 | 0.00109158 | 0.00106289 | 0.00059653 | 0.00123209 | 0.00067149 ||
| ASSET F | 0.00072414 | 0.00062173 | 0.00060106 | 0.00039852 | 0.00067149 | 0.00066366 ||
|----------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------||
| POSTERIOR CROSS ASSET COVARIANCE MATRIX ||
|----------------------------------------------------------------------------------------||
| ID | ASSET A | ASSET B | ASSET C | ASSET D | ASSET E | ASSET F ||
|----------------------------------------------------------------------------------------||
| ASSET A | 0.00519525 | 0.00385615 | 0.00311944 | 0.00105495 | 0.00248991 | 0.00143414 ||
| ASSET B | 0.00385615 | 0.00469356 | 0.00248739 | 0.00095592 | 0.00220158 | 0.00118173 ||
| ASSET C | 0.00311944 | 0.00248739 | 0.00272869 | 0.00122710 | 0.00211289 | 0.00112106 ||
| ASSET D | 0.00105495 | 0.00095592 | 0.00122710 | 0.00116889 | 0.00125653 | 0.00076852 ||
| ASSET E | 0.00248991 | 0.00220158 | 0.00211289 | 0.00125653 | 0.00262209 | 0.00133149 ||
| ASSET F | 0.00143414 | 0.00118173 | 0.00112106 | 0.00076852 | 0.00133149 | 0.00136366 ||
|----------------------------------------------------------------------------------------||
|---------------------------------||
| IMPLIED/PRIOR RETURN ||
|---------------------------------||
| ID => RIOCEE | YAMABE ||
|---------------------------------||
| [ASSET A ] => 0.3954% | 0.3954% ||
| [ASSET B ] => 0.3542% | 0.3540% ||
| [ASSET C ] => 0.2783% | 0.2782% ||
| [ASSET D ] => 0.1302% | 0.1299% ||
| [ASSET E ] => 0.2477% | 0.2476% ||
| [ASSET F ] => 0.1593% | 0.1594% ||
|---------------------------------||
|---------------------------------||
| JOINT/POSTERIOR RETURN ||
|---------------------------------||
| ID => RIOCEE | YAMABE ||
|---------------------------------||
| [ASSET A ] => 0.3755% | 0.3755% ||
| [ASSET B ] => 0.3242% | 0.3241% ||
| [ASSET C ] => 0.2613% | 0.2612% ||
| [ASSET D ] => 0.1307% | 0.1305% ||
| [ASSET E ] => 0.2559% | 0.2559% ||
| [ASSET F ] => 0.1660% | 0.1662% ||
|---------------------------------||
|-------------------------------------------||
| PRIOR/POSTERIOR/HISTORICAL RETURN ||
|-------------------------------------------||
| ID => PRIOR | POST | HIST ||
|-------------------------------------------||
| [ASSET A ] => 0.3954% | 0.3755% | 0.3559% ||
| [ASSET B ] => 0.3542% | 0.3242% | 0.0469% ||
| [ASSET C ] => 0.2783% | 0.2613% | 0.4053% ||
| [ASSET D ] => 0.1302% | 0.1307% | 0.4527% ||
| [ASSET E ] => 0.2477% | 0.2559% | 0.0904% ||
| [ASSET F ] => 0.1593% | 0.1660% | 0.1581% ||
|-------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 8 ms
|-----------------------------------------------------------------|