Lauren Buffett is a consultant for several college endowment funds. She has accumulated performance figures from a number of university endowments, as well as information about the typical stocks/bonds/cash mixtures common in the endowment universe. A firm believer in the broad policy approach, she makes recommendations about allocations across asset classes rather than which managers to choose or which stocks to pick. City College is a community college with a $100 million endowment. Since its establishment, it has had a fixed investment policy of 65% stocks (spread 30/20/15 amongst large, medium and small cap stock portfolio, labeled LRGSTK, MEDSTK and SMLSTK, respectively), 20% Corporate Bonds (CBOND), and 15% Government Bonds (GBOND) over the years 1995 - 2012. The monthly returns on these asset classes are listed in the Excel spreadsheet titled PROJECT.xlsx. The spreadsheet also includes returns on three additional asset classes: Real Estate (REITS), International Stocks (EAFE), and Precious Metals (PM). In addition, it provides the monthly returns on the value-weighted market portfolio (VWRET), the S&P 500 Index (SPRET), and the one-month U.S. Treasury bills (TBILL). Due to declining student enrollment, City College has been relying more and more heavily on its endowment to meet budget's need in the past several years. Sue Herrera, the chairperson of the endowment committee for the board of trustees of City College, decided to review the endowment's historical performance. She found out about Ms. Buffett from a friend who serves on the board of a well-known public university. The public university had hired Buffett in 2010 to review its investment policy and found her advice very helpful. Herrera decided to seek for Buffett's advice on whether City College should consider a change in its long-standing investment policy. In particular, Herrera was concerned about the economic outlook for small colleges like City College. She anticipated stronger needs to rely on the endowment fund in the coming years. She also felt that a return of 1% per month represented a "floor" below which the portfolio return should not drop. She wanted Lauren Buffett to suggest an efficient asset allocation to achieve this goal. Based on her conversation with Herrera, Buffett has drawn up a list of issues that need to be addressed. She has decided to hire your group for this task. You are invited to address the following questions. In your analysis, assume that short sales are allowed (except when explicitly ruled out) and borrowing at the risk-free rate is possible. 8. Now calculate the efficient portfolio allocations required to achieve the floor rate of return of 1.00% per month (mandated by the college) with the expanded universe of assets while also assuming that the college is not allowed to invest more than 25% in any asset class and that no short-sales are allowed. What is the standard deviation of such a portfolio? Year 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 Month SMLSTK MEDSTK LRGSTK CBOND GBOND REIT PM EAFE WWRET SPRET TBILL 1 0.01190 -0.00130 0.02830 0.01491 0.02618 -0.02184 -0.23443 -0.05360 0.02040 0.02428 0.00481 2 0.03260 0.05020 0.03910 0.02806 0.03468 0.02470 0.05742 0.00085 0.03962 0.03507 0.00478 3 0.02350 0.02430 0.02710 0.00902 0.01176 -0.00401 0.04525 0.02534 0.02704 0.02733 0.00471 4 0.02590 0.01940 0.02710 0.01875 0.01718 -0.00026 -0.04762 0.03624 0.02505 0.02796 0.00473 5 0.02070 0.01750 0.03970 0.03354 0.07664 0.04250 -0.02727 0.03021 0.03401 0.03631 0.00456 6 0.06490 0.04870 0.02450 0.00758 0.01150 0.01591 0.15625 0.01929 0.03117 002128 0.00452 7 0.06200 0.06280 0.036 10 0.00347 0.01721 0.01724 0.07944 0.04996 0.04078 0.03178 0.00450 8 0.03260 0.01530 0.00750 0.01187 0.02267 0.01200 -0.00433 -0.01375 0.00931 -0.00032 0.00440 9 0.02180 0.01990 0.04340 0.01176 0.02108 0.01715 -0.00870 0.01101 0.03636 0.04010 0.00440 10 -0.05330 -0.02640 -0.00420 0.01479 0.02469 -0.02142 -0.16228 -0.02322 -0.01132 -0.00498 0.00447 11 0.02750 0.04770 0.04430 0.01347 0.02462 0.00914 0.02094 -0.00074 0.04271 0.04105 0.00428 12 0.02280 0.01600 0.01480 0.01848 -0.03336 0.05460 0.17253 0.02692 0.01519 0.01744 0.00417 1 0.00580 0.00010 0.03390 0.00707 0.00161 0.01646 0.22165 0.02830 0.02814 0.03262 0.00403 2 0.03200 0.03300 0.01370 -0.01711 -0.04659 0.01170 -0.02954 0.01764 0.01631 0.00693 0.00413 3 0.02430 0.02620 0.00790 -0.00719 -0.01823 -0.00545 -0.05652 0.02219 0.01093 0.00792 0.00413 4 0.07560 0.04340 0.01520 -0.00648 -0.02221 0.00507 0.00461 0.04200 0.02551 0.01343 0.00418 5 0.06500 0.02390 002480 0.00081 0.00134 0.02584 0.02752 0.00911 0.02680 0.02285 0.00424 6 -0.04120 -0.03050 0.00280 0.01153 0.02025 0.01303 -0.08078 0.00000 -0.00830 0.00226 0.00429 7 -0.10060 -0.07760 -0.04720 0.00297 -0.00320 0.00755 -0.01087 -0.05327 -0.05382 -0.04575 0.00421 8 0.04820 0.06100 0.02480 0.00185 -0.00692 0.03937 -0.00549 0.03041 0.03246 0.01881 0.00424 0.03460 0.04470 0.05770 0.02217 0.02787 0.01741 -0.06840 0.02539 0.05302 0.05417 0.00416 10 -0.01810 -0.01260 0.02100 0.02182 0.04298 0.02968 -0.01818 -0.00335 0.01374 0.02013 0.00419 11 0.02640 0.04480 0.07500 0.02455 0.03773 0.04556 -0.06790 0.05635 0.06557 0.07338 0.00409 12 0.01830 0.00860 -0.01830 -0.00829 -0.02287 0.10393 0.17114 0.00513 -0.01139 -0.02151 0.00419 1 0.04300 0.02510 0.06510 -0.00018 -0.00492 0.01117 -0.10000 0.03791 0.05347 0.06132 0.00418 2 -0.02810 -0.01610 0.00510 0.00904 0.00231 -0.00204 0.14286 0.00000 -0.00112 0.00593 0.00428 3 -0.05310 -0.04880 -0.04430 -0.01569 -0.02488 -0.00213 -0.13889 -0.01008 -0.04487 -0.04261 0.00430 4 -0.02050 0.01540 005640 0.01352 0.02252 -0.02752 -0.08065 0.01272 0.04237 0.06841 0.00421 5 0.10970 0.10180 0.06350 0.01339 0.01201 0.02940 0.01754 0.05779 0.07162 0.05858 0.00411 6 0.05720 0.04440 0.04290 0.01635 0.01978 0.04860 0.06174 0.04572 0.04410 0.04345 0.00421 7 0.04660 0.06210 0.08220 0.03472 0.05563 0.03089 0.03226 0.04560 0.07651 0.07812 0.00428 8 0.04140 0.01420 -0.05090 -0.01114 -0.02519 -0.00239 0.01042 -0.04874 -0.03629 -0.05745 0.00413 0.09170 0.06940 0.05350 0.01817 0.02609 0.08727 -0.02062 0.06007 0.05850 0.05315 0.00414 10 -0.03770 -0.04330 -0.03110 0.00993 0.03406 -0.02703 -0.22105 -0.06000 -0.03444 -0.03448 0.00428 11 -0.01830 -0.00190 0.04430 0.00599 0.00951 002162 -0.22973 -0.02069 0.03040 0.04459 0.00430 12 -0.00940 0.02140 0.02000 0.01099 0.01728 0.02361 0.26087 0.01044 0.01782 0.01573 0.00420 1 -0.00600 -0.01160 0.00990 0.01396 0.01863 -0.00529 0.00000 0.00124 0.00450 0.01015 0.00424 2 0.06690 0.08280 0.07320 -0.00094 -0.00680 -0.01702 -0.07018 0.07520 0.07330 0.07045 0.00419 3 0.04900 0.04810 0.05170 0.00465 0.00487 0.01794 0.00000 0.05622 0.05130 0.01995 0.00413 4 0.01860 0.00950 0.01260 0.00505 0.00580 -0.03257 0.05660 0.01684 0.01090 0.00908 0.00417 5 -0.04840 -0.05200 -0.01850 0.00367 0.01951 -0.00701 -0.19643 -0.01923 -0.02575 -0.01883 0.00415 6 -0.00550 0.01050 0.04320 0.00862 0.02344 -0.00677 -0.15656 -0.00436 0.03194 0.03944 0.00413 7 -0.06760 -0.07020 -0.01140 0.00167 -0.00059 -0.06492 0.00520 -0.01574 -0.02337 -0.01162 0.00408 8 -0.21530 -0.19490 -0.14690 -0.00628 0.04229 -0.09437 -0.23037 -0.17079 -0.15784 -0.14580 0.00384 9 0.04750 0.06350 0.00600 0.01781 0.04002 0.05661 0.39456 -0.00693 0.06383 0.06240 0.00330 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 11 | 11 12 99 1994 199 1999 1999 199 1999 1999 19 99 199 199 1999 1999 99 200 200, 07 2006 200 0 00 3000 00 200 2000 2009 2011 2001 001 3091 061 2001 2001 001 001 001 001 001 09: 200 04 00: 300 002 200 0.020 0.07740 103770 004 1500 -0.07110 - 0.0 1790 0.09650 , .TD30 0.00450 -0.03540 -0.00410 -0.00/60 107 0.12.0 0.0-4050 024220 -0.050 A.1490 -0.0-UD 0.17520 - 01:30 0.06100 -0.0-700 - 0.06310 - 00420 0.02490 ( 123730 2. 04 30 003100 200220 0.0330 0.050UNO - 0444.10 - 0 03/10 - 10.123970 0.06290 107 0740 0.002160 - 0.04010 0.06630 011 - 46 4) 02570 - Thin 100) 0.05 30 ,E430 0.00290 -0.06810 0.02170 0.0% 40 0.41310 10626 -0.01%) 4.03716 -0.004.0 0.03030 0.06370 A.10730 - 0.007.0 0.13570 001:00 -0.00 104410 0.06%20 - 4,000 0.0T30D 004 ] 0.04B) 0.006/10 09770 03.04270 -0.0636D 406D) 100PINO 0.02810 002220 409640 0.04260 1.13676 0.06%) 0010 0.00 120 -1.01 TO -0.0270 70 007/10 4000 1 05 10/06 011/6 0.0TSA) 0.06380 0.066 30 0.03970 -3.03240 0040-40 0.03 0 02:00 4000 -0.03350 0 00500 402HANO 0.06790 4.0.00 0.0640 -0.04430 -0.00300 0.09370 -0.03H40 1.02710 0.03160 0.0170 00746 -0.0430 - 0.01740 -0.09700 0.0176 0.00CN) 0 00640 0090M) 20920 0.00720 002180 4.0140 006410 0.06190 0021600 007900 0000MIN 1.0 11310 102740 0.00 AMO 44 05180 - 0 00470 00740 -1.07246 002006 a.1909 0.00 70 0.00HTE -0.02] 0.00 94 0.0055 -0.1373 -0.00551 000462 -0.00572 0.00 10 - 0.00 135 0.00294 0.00 0 000 0.00770 000434 -0.0 1472 0.00 002426 0.0be99 0.012 0.00001 10006 0.0042 0.02453 0.02750 0.0 1343 -1 00460 -0.0001 00006A -0.00 155 002402 00126 0 0 100 002DH 0 0012 0.01.14 3. CHOP 0.00400 (0.00%" 001035 0.00 19 40.01243 - OTHING -0.02699 0.00370 0.00499 0.00761 -0.04530 0.00417 0.0014 0.01 BOD -0.00 26 0.0057 -0.00/67 00103 0.00226 0.00HZ/ -0.01496 0.0CM 0.03030 0.027 14 -0.00557 0.0052 003073 0.01804 0.02299 -0.0112 0.0769 0.03321 0.0205 0.0054) 0.019 -0.00534 -0.02073 0.00574 0.00H 0.04284 002220 0.0THERID 0.046 1013 0.00 0.02.104 001272 1.04.147 0.04401 0.00444 001072 0.0.04] -0.0151 0.0143 0.02] 000 -0.02349 100MB] 0.09490 a0219 -0.01618 0031 -0.0127] 0.03795 -0.02% 60 0.012 0.03157 000329 -0.01191 0.0328 0.06/11 0.0044 00255 0.067a5 -0.040 0312 0.04329 0.0 1234 0.07030: 0.0 10 001 00007 1.02% 0.02421 0.06MM 0.0 |||| 0030 0.0463 0028] 000 0.024.00 0.00 19M 001928 00600 4. CHOME) 0.01.JPBM 0.02733 0.0231 0.02 196 -0.02.4 0.01596 -0.0440 -0.02192 0 005BN 0.112 -0.1% 0.0270 -0.06433 0.05312 0.27300 -0.149 -0.04167 0.0103 - 01:09 0.00 12 -0.07599 0.07116 0.00 DCD 0.0426 -1.00% 0.00 -0.00 0.0924 0.01695 0.0670 10.15114 0.00 0 01/19] 0.11.1 0.04 12 -0.00352 -0.04 0.020 F2 0.00 0016 00072 0.01 | 0.11.1 0 1119 0.142 12 00005 0.32% 10 -0.18012 1. 2013 0.08310 0.04511 0.0655 0.03185 -0.33 1 0.04237 00350B -0.0 0.05 201018 0.00593 -0.011 0.0307 0.052 0.06779 -0.04199 0.04302 0.04103 0.03254 -0.02% 0.04270 -0.023323 0.037 -0.04 0.00 00 0.02962 0.0277TW) 0101 PM -0.0B267 0.00 12 -0.024 M -0.02350 - 3 4411 -0.0394 0.01977 0.03422 0.0NF 001: -0.02009 -0.001 42 0.06.0M) -0.023 00407 0.06M] -0.0024 0.07% 30 0.DL: 0.00% 0.0384 -0.0339 0.03799 00491 0.0207 9.00 -0.03072 -0.00999 -0.02285 0.06215 0.03592 0.08375 -0.0396 0.003182 0.05353 2.0 -0.0399 0.05159 01 0.07 -0.05108 0.024 -0.10249 0.02040 0.0389660 0.00 400026 9. CHAEL 00105 -0.017-4 0.010 900 -0.000 0.00 15.1 0.02 0047 0.01 PM -0.07696 -0.02170 004 150 004191) -0.0102 00702) - 11 0.00 2013 D. 0621 4101 -0.03224 0.03% 0.0379 -0.049 0.0% -0.03205 0.00625 -0.02355 DB2 0.21906 0.087 -0.00 40.020171 0.02 -0.030) 0.02 1 002393 -0.016 0.06070 0.0534 -0.00495 -0.0B007 0.0405 0.93414 -0.09220 0.0F42 207 0.00500 -0.02500 201077 4004 1 0.01 17: 0.01316 2011 000 BY -0.016: -0.02077 10.0.676 0.06 142 0 000H 0.034 -0.00 0.003E 0.003E 0.00362 0.00370 0.00STUS 00008 0.0037 0.0001 0.00371 0.00393 0.00390 0.00-405 0.00423 0.00 33 0.0CM43 0.00463 0.0C4 YA 0.00 porn 0.00474 0.00407 0.05 0.00 DJ 0.005 DDU 14 0.0CM 0.00429 2.10-407 0.003E 003 0.00 0.0TED 0.00293 0.002 BD 0.00Z 2001R) 0.00 18 000 14 0.00 1,31 0.06-114 0.00 41 0.00 110 0.00 11 0.00 142 0.00 146 0.00 1954 11 11 2002 2002 2002 2002 2002 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2006 2006 2000 2006 2006 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 -0.01040 -0.07850 003530 0.11280 -0.05770 -0.01370 -0.02860 0.01090 0.10060 0.12860 0.04120 0.08160 0.04960 0.00530 0.09090 0.04110 0.02430 0.06270 0.00140 -0.00200 -0.04760 0.00350 0.04150 -0.07870 -0.01090 0.04940 0.01990 0.09110 0.04490 -0.04140 0.01040 -0.03410 -0.06370 0.06050 0.04320 0.07250 -0.01440 0.00490 -0.02980 0.04700 0.00380 0.09410 0.00080 0.04950 0.00580 -0.05480 0.01020 -0.08270 0.04490 0.08490 -0.05320 -0.02360 -0.02510 0.01070 0.09350 0.09620 0.01960 0.04710 0.05200 -0.01890 0.08250 0.03400 0.02190 0.03340 0.01960 0.00650 -0.03520 0.02000 0.03390 -0.05630 -0.00970 0.04170 0.02180 0.07080 0.04040 -0.02550 0.02860 -0.01650 -0.04680 0.06260 0.03110 0.05670 -0.01050 0.00880 -0.03110 0.04810 0.00500 0.06560 -0.00500 0.03560 0.00900 -0.04600 0.00760 -0.10520 0.08690 0.05540 -0.05750 -0.02750 -0.01760 0.01100 0.00120 0.05520 0.01240 0.01760 0.01940 -0.01160 0.05630 0.01030 0.04870 0.01790 0.01480 -0.01540 -0.01300 0.01200 0.01610 -0.03490 0.00370 0.01170 0.01390 0.04110 0.03480 -0.02420 0.02050 -0.01600 -0.01840 0.03310 0.00160 0.03740 -0.00360 0.00780 -0.01440 0.03780 0.00000 0.02420 0.00110 0.01360 0.01170 -0.02560 0.02020 0.00809 -0.01233 0.02017 0.02348 0.00913 0.01607 0.00680 0.02501 0.02424 0.00951 -0.03099 0.00989 0.03016 0.00190 0.00627 0.01511 0.01318 0.00618 0.00821 -0.01769 -0.01033 0.00629 0.01073 0.01962 0.00943 0.00940 -0.00286 0.01359 0.00588 0.00152 -0.01610 0.00466 0.00915 0.00908 0.00023 0.01020 -0.01079 -0.00875 0.00476 0.00929 0.00247 0.00588 -0.00656 -0.00205 -0.00116 0.04015 0.03863 -0.03053 -0.01624 0.05481 -0.00667 0.03400 -0.01183 0.01209 0.05094 -0.01523 -0.08929 0.01653 0.05971 -0.02199 0.00457 0.01246 0.01583 0.02393 0.01737 -0.05795 -0.01155 0.00908 0.02114 0.03813 0.00583 0.01326 -0.02398 0.02335 0.01979 -0.01502 -0.00641 0.03240 0.02618 0.01359 -0.02774 0.02988 -0.03021 -0.02136 0.00715 0.02251 -0.00871 0.00509 -0.03341 -0.01649 -0.00185 -0.00195 -0.03838 -0.04812 0.04709 0.00743 -0.02907 0.01654 0.02002 0.04397 0.06039 0.02175 0.05352 0.00536 0.03400 0.01807 0.04359 0.03498 0.04326 0.01749 0.05526 -0.14581 0.07128 0.02933 0.00329 0.07937 -0.00060 0.05359 0.04303 0.04853 -0,08397 0.03067 -0.01550 0.05319 0.03486 0.05027 0.07137 -0.03657 0.00596 -0.02366 0.04213 -0.00199 0.07305 0.01789 0.05051 -0.03716 -0.02847 0.15897 0.02655 -0.13793 0.01000 0.30198 0.02471 -0.06308 -0.06337 -0.04440 0.11283 0.02982 0.05212 0.16330 0.04416 0.15559 0.18824 -0.03320 -0.11301 0.03732 0.09677 -0.23190 0.08100 -0.04632 -0.05857 0.05463 0.14388 0.01258 0.07578 -0.05353 -0.04785 0.06959 -0.06265 -0.13111 0.02219 0.10564 0.01178 0.06727 0.14303 -0.06151 0.08249 0.12980 0.24579 -0.05251 0.14331 0.15028 -0.07285 0.00975 -0.07884 0.05677 0.03505 -0.02301 -0.03506 -0.02539 0.00353 0.08707 0.05340 0.01152 0.01063 0.01052 0.01115 0.05000 0.02451 0.05999 0.01810 0.02413 -0.00372 -0.00684 0.00815 0.02113 -0.03165 -0.00126 0.02266 0.02708 0.05213 0.03773 -0.01508 0.02496 -0.01882 -0.02256 0.01269 -0.00613 0.04124 0.01210 0.01630 -0.01658 0.02066 0.02699 0.04543 0.00268 0.02194 0.03194 -0.02029 0.00797 -0.09997 0.07493 0.06128 -0,05332 -0.02339 -0.01539 0.01033 0.08276 0.06347 0.01634 0.02311 0.02497 -0.00911 0.06032 0.01659 0.04553 0.02305 0.01546 -0.01069 -0.02423 0.01413 0,02158 -0.03767 0.00271 0.02055 0.01781 0.04821 0.03518 -0.02656 0.02267 -0.01694 -0.02519 0.03796 0.01153 0.04333 -0.00595 0.01057 -0.02080 0.04039 0.00346 0.04003 -0.00164 0.01906 0.01296 -0.03105 0.00488 -0.11001 008644 0.05707 -0.06033 -0.02742 -0.01700 0.00836 0.08104 0.05090 0.01132 0.01622 0.01787 -0.01194 0.05496 0.00713 0.05077 0.01728 0.01221 -0.01636 -0.01679 0.01208 0.01799 -0.03429 0.00229 0.00936 0.01401 0.03860 0.03246 -0.02529 0.01890 -0.01912 -0.02011 0.02995 -0.00014 0.03597 -0.01122 0.00696 -0.01774 0.03519 -0.00095 0.02547 0.00045 0.01107 0.01219 -0.03092 0.00136 0.00132 0.00102 0.00099 0.00098 0.00098 0.00094 0.00094 0.00089 0.00077 0.00075 0.00079 0.00078 0.00077 0.00078 0.00075 0.00073 0.00078 0.00078 0.00078 0.00085 0.00106 0.00111 0.00123 0.00138 0.00147 0.00173 0.00183 0.00194 0.00212 0.00228 0.00232 0.00237 0.00248 0.00268 0.00287 0.00285 0.00309 0.00323 0.00324 0.00353 0.00369 0.00376 0.00383 0.00393 0.00399 12 1 2 3 4 5 2006 2006 2006 2006 2006 2006 2006 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2008 2008 2008 2008 2008 2008 2000 2008 2008 2008 2008 2008 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 6 7 8 9 10 11 12 1 2 3 4 5 6 7 B 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 -0.00520 -0.03790 0.03070 0.00870 0.05800 0.02480 0.01170 0.01450 -0.00550 0.00860 0.01680 0.03070 -0.00580 -0.06720 0.00760 0.01260 0.01630 -0.08300 -0.00580 -0.07400 -0.03510 -0.00530 0.02160 0.04150 -0.08570 0.04400 0.03010 -0.08010 -0.20910 -0.13000 0.04910 -0.10750 -0.12250 0.09800 0.16430 0.04300 0.03800 0.10400 0.04370 0.07180 -0.08230 0.02370 0.08840 -0.03090 0.05030 0.08290 -0.00300 -0.03960 0.02100 0.01310 0.04510 0.03730 0.00400 0.02880 0.00280 0.01550 0.03660 0.04780 -0.01220 -0.04900 0.00090 0.02450 0.02580 -0.05920 -0.01000 -0.05830 -0.02330 -0.01340 0.06270 0.05240 -0.07150 0.00120 0.03250 -0.10300 -0.20750 -0.10220 0.04500 -0.08230 -0.10170 0.10000 0.14910 0.02830 0.00830 0.09460 0.03750 0.06270 -0.05500 0.04250 0.06790 -0.03300 0.04790 0.07890 0.00170 0.00360 0.02380 0.02490 0.03340 0.01920 0.01360 0.01700 -0.01950 0.01130 0.04340 0.03500 -0.01650 -0.02870 0.01540 0.03850 0.01970 -0.03960 -0.00510 -0.06020 -0.02910 -0.00560 0.04000 0.01510 -0.08300 -0.01160 0.01160 -0.00040 -0.16380 -0.07170 0.01210 -0.07800 -0.09680 0.08580 0.09100 0.05530 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05860 0.00003 0.01280 0.01731 0.01024 0.00910 0.01467 -0.00558 0.00113 0.01923 -0.00234 0.00775 -0.00806 -0.00586 0.00091 0.00908 0.00904 0.00885 0.01222 -0.00210 0.01027 0.00005 -0.00543 0.00812 -0.00638 -0.00688 -0.00821 0.00032 -0.00220 -0.09140 -0.00440 0.05518 0.01253 -0.01400 0.00958 0.04356 0.03932 0.03043 0.04471 0.01811 0.02839 0.00941 0.01405 0.00316 0.01929 0.00125 0.01482 0.00348 0.02158 0.02633 0.01557 0.00611 0.02153 -0.02524 -0.01024 0.03633 -0.00851 0.00598 -0.02845 -0.01204 0.02386 0.02105 0.00846 0.01349 0.04646 -0.00499 0.04021 -0.00027 -0.00385 -0.01652 -0.01450 0.01104 -0.00990 0.00045 -0.01400 -0.04469 0.09619 0.08473 -0.06426 -0.00207 0.05148 -0.02970 -0.01028 0.01641 0.01791 0.02582 0.02326 -0.00834 0.02155 -0.05594 0.03294 0.00139 -0.01165 0.05203 0.03373 0.03785 0.01848 0.06254 0.04649 -0.01563 0.08421 -0.02239 -0.02387 -0.00020 0.00052 -0.09069 -0.07802 0.06571 0.04406 0.01121 -0.09070 -0.06028 -0.01026 -0.03558 0.06231 0.06850 0.00771 -0.10870 0.03471 0.02200 -0.00193 -0.31668 -0.23055 0.16392 -0.17308 -0.20824 0.04062 0.31020 0.02157 -0.03732 0.10473 0.13390 0.06395 -0.04504 0.06911 0.07150 -0.05211 0.06339 0.10184 0.00584 0.01937 0.02217 -0.10781 0 06042 0.09889 -0.04231 -0.01058 0.00603 -0.04005 0.00456 -0.00454 -0.02282 0.03602 -0.07405 0.22949 0.14536 -0,09728 0.02736 0.21444 0.07718 -0.09242 -0.00753 0.05831 0.01777 -0.10244 -0.11479 -0.09744 -0.33117 0.15898 0.23250 -0.00646 -0.00743 0.08614 -0.06466 0.29677 -0.11656 0.04103 -0.00927 0.12481 -0.01526 0.14789 -0.04918 -0.09379 0.05425 0.02167 0.00673 0.01543 0.02786 0.01676 0.02666 0.02455 0.01872 0.02004 -0.01130 0.01093 0.04226 0.01697 -0.00464 -0.02096 0.00571 0.04021 0.02365 -0.01777 -0.01373 -0.06893 0.00159 0.01531 0.03068 0.01615 -0.08441 -0.01410 -0.01210 -0.08742 -0.16168 -0.06987 0.04873 -0.09953 -0.09672 0.08222 0.09620 0.08380 0.00297 0.09785 0.03106 0.04781 -0.01875 0.05032 0.02447 -0.04224 0.01304 0.06152 -0.00041 -0.00190 0.02506 0.01942 0.03713 0.02371 0.01083 0.01943 -0.01396 0.01295 0.03982 0.03893 -0.01476 -0.03176 0.01166 0.04086 0.02584 -0.04922 -0.00442 -0.06215 -0.02165 -0.01042 0.05111 0.02384 -0.07843 -0.01333 0.01050 -0.00801 -0.18480 -0.08461 0.02215 -0.07733 -0.10018 0.08689 0.10936 0.06779 -0.00310 0.08172 0.03146 0.04524 -0.02800 0.05710 0.02842 -0.03710 0.03478 0.06361 0.00009 0.00509 0.02127 0.02457 0.03151 0.01647 0.01262 0.01406 -0.02185 0.00998 0.04329 0.03255 -0.01782 -0.03198 0.01286 0.03579 0.01482 -0.04404 -0.00863 -0.05116 -0.03470 -0.00596 0.04755 0.01067 -0.08590 -0.00986 0.01219 -0.00079 -0.16943 -0.07485 0.00782 -0.08566 -0.10993 0.08541 0.09393 0.05308 0.00020 0.07414 0.03356 0.03572 -0.01976 0.05736 0.01777 -0.03697 0.02851 0.05880 0.00413 0.00413 0.00401 0.00410 0.00412 0.00404 0.00415 0.00419 0.00412 0.00406 0.00394 0.00384 0.00402 0.00350 0.00324 0.00325 0.00273 0.00250 0.00229 0.00177 0.00105 0.00108 0.00144 0.00155 0.00136 0.00143 0.00094 0.00056 0.00016 0.00003 0.00011 0.00025 0.00018 0.00013 0.00015 0.00015 0.00015 0.00014 0.00010 0.00006 0.00004 0.00004 0.00005 0.00009 0.00013 0.00013 3 4 5 6 7 8 9 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 0909600 0.16430 0.04300 0.03600 0.10400 0.04370 0.07180 -0.08230 0.02370 0.08840 -0.03090 0.05030 0.08290 0.07450 -0.08110 -0.08270 0.06330 -0.08380 0.12170 0.04780 0.03860 0.09020 -0.00600 0.05420 0.02900 0.01560 -0.02880 -0.02440 -0.03240 -0.10320 -0.11190 0.14280 -0.00990 0.00470 0.00110 0.02410 0.03020 -0.01940 -0.06940 0.05930 -0.02010 0.03010 0.04800 -0.03100 0.00630 0.03610 0-10000 0.14910 0.02830 0.00830 0.09460 0.03750 0.06270 -005500 0.04250 0.06790 -0.03300 0.04790 0.07890 0.04840 -0.07500 -0.07200 0.07000 -0.05930 0.12030 0.03300 0.03330 0.07530 0.01830 0.04900 0.02740 0.03120 -0.01230 -0.01590 -0.04090 -0.08220 -0.10990 0.14970 0.00000 0.00060 0.06320 0.04190 0.01870 -0.00840 -0.07030 0.03010 -0.00850 0.03820 0.02520 -0.01250 0.01890 0.02590 0108580 0.09100 0.05530 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05860 0.01180 -0.07900 -0.05120 0.06960 -0.04380 0.09070 0.03890 0.00120 0.06490 0.02300 0.03300 0.00050 0.03000 -0.01190 -0.016.80 -0.02030 -0.05400 -0.06910 0.10720 -0.00230 0.00830 0.04750 0.04530 0.03230 -0.00700 -0.06000 0.03900 0.01170 0.02380 0.02670 -0.01720 0.00600 0.00890 000958 0.04356 0.03932 0.03043 0.04471 0.01811 0.02839 0.00941 0.01405 0.00316 0.01929 0.00125 0.01482 0.01444 -0.01612 0.01702 0.02136 0.01566 0.01121 0.01112 -0.00872 -0.00188 0.01102 0.00769 0.00106 0.01646 0.01070 -0.00936 0.01725 -0.01489 -0.00242 0.02145 -0.01932 0.01993 0.02282 0.01162 -0.00115 0.01127 -0.00346 0.00819 0.02000 0.00689 0.00852 0.00878 0.00207 0.00279 0905148 -0.02970 -0.01028 0.01641 0.01791 0.02582 0.02326 -0.00834 0.02155 -0.05594 0.03294 0.00139 -0.01165 0.02688 0.03794 0.04811 0.00607 0.06829 -0.01322 -0.02518 -0.01717 -0.03765 -0.01100 0.00588 0.00039 0.02350 0.03228 -0.01897 0.04064 0.08055 0.09067 -0.03073 0.01488 0.03036 0.00315 -0.01923 -0.03366 0.04555 0.07714 -0.01279 0.03359 -0.01093 -0.01845 -0.00365 0.01366 -0.01983 0104062 031020 0.02157 -0.03732 0.10473 0.13390 0.06395 -0.04504 0.06911 0.07150 -0.05211 0.05339 0.10184 0.06942 -0.05545 -0.05017 0.09522 -0.01388 0.04467 0.04701 -0.01958 0.04657 0.04125 0.04583 -0.01281 0.05114 0.00999 -0.03071 0.01052 -0.05596 -0.10973 0.14277 -0.03759 0.04795 0.06358 -0.00911 0.04841 0.02673 -0.04411 0.05066 0.02170 0.00120 -0.01233 -0.00251 -0.00272 0.03648 D03614 -0.06466 0.29677 -0.11656 0.04103 -0.00927 0.12481 -0.01526 0.14789 -0.04918 -0.09379 0.05425 0.02167 0.11996 -0.04260 0.02472 -0.05247 0.08975 0.10105 0.03024 0.06231 0.02588 -0.11888 0.07817 0.01504 0.02646 -0.07835 -0.07271 0.05066 0.04937 -0.13020 0.05472 0.01908 -0.12637 0.11023 -0.00857 -0.10951 -0.04612 -0.09924 0.01789 0.01018 0.08883 0.13457 -0.01260 -0.09234 -0.02417 0708222 0.09629 0.08380 0.00297 0.09785 0.03106 0.04781 -0.01875 0.05032 0.02447 -0.04224 0.01304 0.06152 -0.00232 -0.10157 -0.02390 0.08406 -0.04457 0.10096 0.04295 -0.02337 0.07192 0.00695 0.03133 -0.00412 0.06360 -0.00778 -0.01323 -0.02185 -0.07513 -0.09385 0.11629 -0.01519 -0.01460 0.05630 0.05294 0.02895 -0.00790 -0.08408 0.04237 0.01563 0.03181 0.02486 0.00146 0.03052 0.02809 0.00669 0.10936 0.06779 -0.00310 0.08172 0.03146 0.04524 -0.02800 0.05710 0.02842 -0.03710 0.03478 0.06361 0.02001 -0.07914 -0.05072 0.07029 -0.04282 0.09152 0.03853 0.00617 0.06715 0.01916 0.03816 0.00337 0.02869 -0.01493 -0.01840 -0.02247 -0.05747 -0.08487 0.11398 -0.00623 0.00370 0.05408 0.04119 0.02399 -0.00680 -0.06653 0.03816 0.01027 0.02627 0.02654 -0.01410 0.00619 0.01253 O 08.541 0.09393 0.05308 0.00020 0.07414 0.03356 0.03572 -0.01976 0.05736 0.01777 -0.03697 0.02851 0.05880 0.01476 -0.08198 -0.05388 0.06878 -0.04745 0.08755 0.03686 -0.00229 0.06530 0.02265 0.03196 -0.00105 0.02850 -0.01350 -0.01826 -0.02147 -0.05679 -0.07176 0.10772 -0.00506 0.00853 0.04358 0.04059 0.03133 -0.00750 -0.06265 0.03956 0.01280 0.01976 0.02424 -0.01979 0.00285 0.00707 0.00013 0.00015 0.00015 0.00015 0.00014 0.00010 0.00006 0.00004 0.00004 0.00005 0.00009 0.00013 0.00013 0.00013 0.00010 0.00013 0.00013 0.00013 0.00011 0.00012 0.00012 0.00013 0.00011 0.00008 0.00005 0.00003 0.00003 0.00003 0.00002 0.00001 0.00002 0.00001 0.00001 0.00003 0.00008 0.00007 0.00007 0.00003 0.00008 0.00008 0.00008 0.00009 0.00008 0.00008 0.00006 0.00006 Lauren Buffett is a consultant for several college endowment funds. She has accumulated performance figures from a number of university endowments, as well as information about the typical stocks/bonds/cash mixtures common in the endowment universe. A firm believer in the broad policy approach, she makes recommendations about allocations across asset classes rather than which managers to choose or which stocks to pick. City College is a community college with a $100 million endowment. Since its establishment, it has had a fixed investment policy of 65% stocks (spread 30/20/15 amongst large, medium and small cap stock portfolio, labeled LRGSTK, MEDSTK and SMLSTK, respectively), 20% Corporate Bonds (CBOND), and 15% Government Bonds (GBOND) over the years 1995 - 2012. The monthly returns on these asset classes are listed in the Excel spreadsheet titled PROJECT.xlsx. The spreadsheet also includes returns on three additional asset classes: Real Estate (REITS), International Stocks (EAFE), and Precious Metals (PM). In addition, it provides the monthly returns on the value-weighted market portfolio (VWRET), the S&P 500 Index (SPRET), and the one-month U.S. Treasury bills (TBILL). Due to declining student enrollment, City College has been relying more and more heavily on its endowment to meet budget's need in the past several years. Sue Herrera, the chairperson of the endowment committee for the board of trustees of City College, decided to review the endowment's historical performance. She found out about Ms. Buffett from a friend who serves on the board of a well-known public university. The public university had hired Buffett in 2010 to review its investment policy and found her advice very helpful. Herrera decided to seek for Buffett's advice on whether City College should consider a change in its long-standing investment policy. In particular, Herrera was concerned about the economic outlook for small colleges like City College. She anticipated stronger needs to rely on the endowment fund in the coming years. She also felt that a return of 1% per month represented a "floor" below which the portfolio return should not drop. She wanted Lauren Buffett to suggest an efficient asset allocation to achieve this goal. Based on her conversation with Herrera, Buffett has drawn up a list of issues that need to be addressed. She has decided to hire your group for this task. You are invited to address the following questions. In your analysis, assume that short sales are allowed (except when explicitly ruled out) and borrowing at the risk-free rate is possible. 8. Now calculate the efficient portfolio allocations required to achieve the floor rate of return of 1.00% per month (mandated by the college) with the expanded universe of assets while also assuming that the college is not allowed to invest more than 25% in any asset class and that no short-sales are allowed. What is the standard deviation of such a portfolio? Year 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1995 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 1996 Month SMLSTK MEDSTK LRGSTK CBOND GBOND REIT PM EAFE WWRET SPRET TBILL 1 0.01190 -0.00130 0.02830 0.01491 0.02618 -0.02184 -0.23443 -0.05360 0.02040 0.02428 0.00481 2 0.03260 0.05020 0.03910 0.02806 0.03468 0.02470 0.05742 0.00085 0.03962 0.03507 0.00478 3 0.02350 0.02430 0.02710 0.00902 0.01176 -0.00401 0.04525 0.02534 0.02704 0.02733 0.00471 4 0.02590 0.01940 0.02710 0.01875 0.01718 -0.00026 -0.04762 0.03624 0.02505 0.02796 0.00473 5 0.02070 0.01750 0.03970 0.03354 0.07664 0.04250 -0.02727 0.03021 0.03401 0.03631 0.00456 6 0.06490 0.04870 0.02450 0.00758 0.01150 0.01591 0.15625 0.01929 0.03117 002128 0.00452 7 0.06200 0.06280 0.036 10 0.00347 0.01721 0.01724 0.07944 0.04996 0.04078 0.03178 0.00450 8 0.03260 0.01530 0.00750 0.01187 0.02267 0.01200 -0.00433 -0.01375 0.00931 -0.00032 0.00440 9 0.02180 0.01990 0.04340 0.01176 0.02108 0.01715 -0.00870 0.01101 0.03636 0.04010 0.00440 10 -0.05330 -0.02640 -0.00420 0.01479 0.02469 -0.02142 -0.16228 -0.02322 -0.01132 -0.00498 0.00447 11 0.02750 0.04770 0.04430 0.01347 0.02462 0.00914 0.02094 -0.00074 0.04271 0.04105 0.00428 12 0.02280 0.01600 0.01480 0.01848 -0.03336 0.05460 0.17253 0.02692 0.01519 0.01744 0.00417 1 0.00580 0.00010 0.03390 0.00707 0.00161 0.01646 0.22165 0.02830 0.02814 0.03262 0.00403 2 0.03200 0.03300 0.01370 -0.01711 -0.04659 0.01170 -0.02954 0.01764 0.01631 0.00693 0.00413 3 0.02430 0.02620 0.00790 -0.00719 -0.01823 -0.00545 -0.05652 0.02219 0.01093 0.00792 0.00413 4 0.07560 0.04340 0.01520 -0.00648 -0.02221 0.00507 0.00461 0.04200 0.02551 0.01343 0.00418 5 0.06500 0.02390 002480 0.00081 0.00134 0.02584 0.02752 0.00911 0.02680 0.02285 0.00424 6 -0.04120 -0.03050 0.00280 0.01153 0.02025 0.01303 -0.08078 0.00000 -0.00830 0.00226 0.00429 7 -0.10060 -0.07760 -0.04720 0.00297 -0.00320 0.00755 -0.01087 -0.05327 -0.05382 -0.04575 0.00421 8 0.04820 0.06100 0.02480 0.00185 -0.00692 0.03937 -0.00549 0.03041 0.03246 0.01881 0.00424 0.03460 0.04470 0.05770 0.02217 0.02787 0.01741 -0.06840 0.02539 0.05302 0.05417 0.00416 10 -0.01810 -0.01260 0.02100 0.02182 0.04298 0.02968 -0.01818 -0.00335 0.01374 0.02013 0.00419 11 0.02640 0.04480 0.07500 0.02455 0.03773 0.04556 -0.06790 0.05635 0.06557 0.07338 0.00409 12 0.01830 0.00860 -0.01830 -0.00829 -0.02287 0.10393 0.17114 0.00513 -0.01139 -0.02151 0.00419 1 0.04300 0.02510 0.06510 -0.00018 -0.00492 0.01117 -0.10000 0.03791 0.05347 0.06132 0.00418 2 -0.02810 -0.01610 0.00510 0.00904 0.00231 -0.00204 0.14286 0.00000 -0.00112 0.00593 0.00428 3 -0.05310 -0.04880 -0.04430 -0.01569 -0.02488 -0.00213 -0.13889 -0.01008 -0.04487 -0.04261 0.00430 4 -0.02050 0.01540 005640 0.01352 0.02252 -0.02752 -0.08065 0.01272 0.04237 0.06841 0.00421 5 0.10970 0.10180 0.06350 0.01339 0.01201 0.02940 0.01754 0.05779 0.07162 0.05858 0.00411 6 0.05720 0.04440 0.04290 0.01635 0.01978 0.04860 0.06174 0.04572 0.04410 0.04345 0.00421 7 0.04660 0.06210 0.08220 0.03472 0.05563 0.03089 0.03226 0.04560 0.07651 0.07812 0.00428 8 0.04140 0.01420 -0.05090 -0.01114 -0.02519 -0.00239 0.01042 -0.04874 -0.03629 -0.05745 0.00413 0.09170 0.06940 0.05350 0.01817 0.02609 0.08727 -0.02062 0.06007 0.05850 0.05315 0.00414 10 -0.03770 -0.04330 -0.03110 0.00993 0.03406 -0.02703 -0.22105 -0.06000 -0.03444 -0.03448 0.00428 11 -0.01830 -0.00190 0.04430 0.00599 0.00951 002162 -0.22973 -0.02069 0.03040 0.04459 0.00430 12 -0.00940 0.02140 0.02000 0.01099 0.01728 0.02361 0.26087 0.01044 0.01782 0.01573 0.00420 1 -0.00600 -0.01160 0.00990 0.01396 0.01863 -0.00529 0.00000 0.00124 0.00450 0.01015 0.00424 2 0.06690 0.08280 0.07320 -0.00094 -0.00680 -0.01702 -0.07018 0.07520 0.07330 0.07045 0.00419 3 0.04900 0.04810 0.05170 0.00465 0.00487 0.01794 0.00000 0.05622 0.05130 0.01995 0.00413 4 0.01860 0.00950 0.01260 0.00505 0.00580 -0.03257 0.05660 0.01684 0.01090 0.00908 0.00417 5 -0.04840 -0.05200 -0.01850 0.00367 0.01951 -0.00701 -0.19643 -0.01923 -0.02575 -0.01883 0.00415 6 -0.00550 0.01050 0.04320 0.00862 0.02344 -0.00677 -0.15656 -0.00436 0.03194 0.03944 0.00413 7 -0.06760 -0.07020 -0.01140 0.00167 -0.00059 -0.06492 0.00520 -0.01574 -0.02337 -0.01162 0.00408 8 -0.21530 -0.19490 -0.14690 -0.00628 0.04229 -0.09437 -0.23037 -0.17079 -0.15784 -0.14580 0.00384 9 0.04750 0.06350 0.00600 0.01781 0.04002 0.05661 0.39456 -0.00693 0.06383 0.06240 0.00330 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 11 | 11 12 99 1994 199 1999 1999 199 1999 1999 19 99 199 199 1999 1999 99 200 200, 07 2006 200 0 00 3000 00 200 2000 2009 2011 2001 001 3091 061 2001 2001 001 001 001 001 001 09: 200 04 00: 300 002 200 0.020 0.07740 103770 004 1500 -0.07110 - 0.0 1790 0.09650 , .TD30 0.00450 -0.03540 -0.00410 -0.00/60 107 0.12.0 0.0-4050 024220 -0.050 A.1490 -0.0-UD 0.17520 - 01:30 0.06100 -0.0-700 - 0.06310 - 00420 0.02490 ( 123730 2. 04 30 003100 200220 0.0330 0.050UNO - 0444.10 - 0 03/10 - 10.123970 0.06290 107 0740 0.002160 - 0.04010 0.06630 011 - 46 4) 02570 - Thin 100) 0.05 30 ,E430 0.00290 -0.06810 0.02170 0.0% 40 0.41310 10626 -0.01%) 4.03716 -0.004.0 0.03030 0.06370 A.10730 - 0.007.0 0.13570 001:00 -0.00 104410 0.06%20 - 4,000 0.0T30D 004 ] 0.04B) 0.006/10 09770 03.04270 -0.0636D 406D) 100PINO 0.02810 002220 409640 0.04260 1.13676 0.06%) 0010 0.00 120 -1.01 TO -0.0270 70 007/10 4000 1 05 10/06 011/6 0.0TSA) 0.06380 0.066 30 0.03970 -3.03240 0040-40 0.03 0 02:00 4000 -0.03350 0 00500 402HANO 0.06790 4.0.00 0.0640 -0.04430 -0.00300 0.09370 -0.03H40 1.02710 0.03160 0.0170 00746 -0.0430 - 0.01740 -0.09700 0.0176 0.00CN) 0 00640 0090M) 20920 0.00720 002180 4.0140 006410 0.06190 0021600 007900 0000MIN 1.0 11310 102740 0.00 AMO 44 05180 - 0 00470 00740 -1.07246 002006 a.1909 0.00 70 0.00HTE -0.02] 0.00 94 0.0055 -0.1373 -0.00551 000462 -0.00572 0.00 10 - 0.00 135 0.00294 0.00 0 000 0.00770 000434 -0.0 1472 0.00 002426 0.0be99 0.012 0.00001 10006 0.0042 0.02453 0.02750 0.0 1343 -1 00460 -0.0001 00006A -0.00 155 002402 00126 0 0 100 002DH 0 0012 0.01.14 3. CHOP 0.00400 (0.00%" 001035 0.00 19 40.01243 - OTHING -0.02699 0.00370 0.00499 0.00761 -0.04530 0.00417 0.0014 0.01 BOD -0.00 26 0.0057 -0.00/67 00103 0.00226 0.00HZ/ -0.01496 0.0CM 0.03030 0.027 14 -0.00557 0.0052 003073 0.01804 0.02299 -0.0112 0.0769 0.03321 0.0205 0.0054) 0.019 -0.00534 -0.02073 0.00574 0.00H 0.04284 002220 0.0THERID 0.046 1013 0.00 0.02.104 001272 1.04.147 0.04401 0.00444 001072 0.0.04] -0.0151 0.0143 0.02] 000 -0.02349 100MB] 0.09490 a0219 -0.01618 0031 -0.0127] 0.03795 -0.02% 60 0.012 0.03157 000329 -0.01191 0.0328 0.06/11 0.0044 00255 0.067a5 -0.040 0312 0.04329 0.0 1234 0.07030: 0.0 10 001 00007 1.02% 0.02421 0.06MM 0.0 |||| 0030 0.0463 0028] 000 0.024.00 0.00 19M 001928 00600 4. CHOME) 0.01.JPBM 0.02733 0.0231 0.02 196 -0.02.4 0.01596 -0.0440 -0.02192 0 005BN 0.112 -0.1% 0.0270 -0.06433 0.05312 0.27300 -0.149 -0.04167 0.0103 - 01:09 0.00 12 -0.07599 0.07116 0.00 DCD 0.0426 -1.00% 0.00 -0.00 0.0924 0.01695 0.0670 10.15114 0.00 0 01/19] 0.11.1 0.04 12 -0.00352 -0.04 0.020 F2 0.00 0016 00072 0.01 | 0.11.1 0 1119 0.142 12 00005 0.32% 10 -0.18012 1. 2013 0.08310 0.04511 0.0655 0.03185 -0.33 1 0.04237 00350B -0.0 0.05 201018 0.00593 -0.011 0.0307 0.052 0.06779 -0.04199 0.04302 0.04103 0.03254 -0.02% 0.04270 -0.023323 0.037 -0.04 0.00 00 0.02962 0.0277TW) 0101 PM -0.0B267 0.00 12 -0.024 M -0.02350 - 3 4411 -0.0394 0.01977 0.03422 0.0NF 001: -0.02009 -0.001 42 0.06.0M) -0.023 00407 0.06M] -0.0024 0.07% 30 0.DL: 0.00% 0.0384 -0.0339 0.03799 00491 0.0207 9.00 -0.03072 -0.00999 -0.02285 0.06215 0.03592 0.08375 -0.0396 0.003182 0.05353 2.0 -0.0399 0.05159 01 0.07 -0.05108 0.024 -0.10249 0.02040 0.0389660 0.00 400026 9. CHAEL 00105 -0.017-4 0.010 900 -0.000 0.00 15.1 0.02 0047 0.01 PM -0.07696 -0.02170 004 150 004191) -0.0102 00702) - 11 0.00 2013 D. 0621 4101 -0.03224 0.03% 0.0379 -0.049 0.0% -0.03205 0.00625 -0.02355 DB2 0.21906 0.087 -0.00 40.020171 0.02 -0.030) 0.02 1 002393 -0.016 0.06070 0.0534 -0.00495 -0.0B007 0.0405 0.93414 -0.09220 0.0F42 207 0.00500 -0.02500 201077 4004 1 0.01 17: 0.01316 2011 000 BY -0.016: -0.02077 10.0.676 0.06 142 0 000H 0.034 -0.00 0.003E 0.003E 0.00362 0.00370 0.00STUS 00008 0.0037 0.0001 0.00371 0.00393 0.00390 0.00-405 0.00423 0.00 33 0.0CM43 0.00463 0.0C4 YA 0.00 porn 0.00474 0.00407 0.05 0.00 DJ 0.005 DDU 14 0.0CM 0.00429 2.10-407 0.003E 003 0.00 0.0TED 0.00293 0.002 BD 0.00Z 2001R) 0.00 18 000 14 0.00 1,31 0.06-114 0.00 41 0.00 110 0.00 11 0.00 142 0.00 146 0.00 1954 11 11 2002 2002 2002 2002 2002 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2003 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2004 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2006 2006 2000 2006 2006 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 -0.01040 -0.07850 003530 0.11280 -0.05770 -0.01370 -0.02860 0.01090 0.10060 0.12860 0.04120 0.08160 0.04960 0.00530 0.09090 0.04110 0.02430 0.06270 0.00140 -0.00200 -0.04760 0.00350 0.04150 -0.07870 -0.01090 0.04940 0.01990 0.09110 0.04490 -0.04140 0.01040 -0.03410 -0.06370 0.06050 0.04320 0.07250 -0.01440 0.00490 -0.02980 0.04700 0.00380 0.09410 0.00080 0.04950 0.00580 -0.05480 0.01020 -0.08270 0.04490 0.08490 -0.05320 -0.02360 -0.02510 0.01070 0.09350 0.09620 0.01960 0.04710 0.05200 -0.01890 0.08250 0.03400 0.02190 0.03340 0.01960 0.00650 -0.03520 0.02000 0.03390 -0.05630 -0.00970 0.04170 0.02180 0.07080 0.04040 -0.02550 0.02860 -0.01650 -0.04680 0.06260 0.03110 0.05670 -0.01050 0.00880 -0.03110 0.04810 0.00500 0.06560 -0.00500 0.03560 0.00900 -0.04600 0.00760 -0.10520 0.08690 0.05540 -0.05750 -0.02750 -0.01760 0.01100 0.00120 0.05520 0.01240 0.01760 0.01940 -0.01160 0.05630 0.01030 0.04870 0.01790 0.01480 -0.01540 -0.01300 0.01200 0.01610 -0.03490 0.00370 0.01170 0.01390 0.04110 0.03480 -0.02420 0.02050 -0.01600 -0.01840 0.03310 0.00160 0.03740 -0.00360 0.00780 -0.01440 0.03780 0.00000 0.02420 0.00110 0.01360 0.01170 -0.02560 0.02020 0.00809 -0.01233 0.02017 0.02348 0.00913 0.01607 0.00680 0.02501 0.02424 0.00951 -0.03099 0.00989 0.03016 0.00190 0.00627 0.01511 0.01318 0.00618 0.00821 -0.01769 -0.01033 0.00629 0.01073 0.01962 0.00943 0.00940 -0.00286 0.01359 0.00588 0.00152 -0.01610 0.00466 0.00915 0.00908 0.00023 0.01020 -0.01079 -0.00875 0.00476 0.00929 0.00247 0.00588 -0.00656 -0.00205 -0.00116 0.04015 0.03863 -0.03053 -0.01624 0.05481 -0.00667 0.03400 -0.01183 0.01209 0.05094 -0.01523 -0.08929 0.01653 0.05971 -0.02199 0.00457 0.01246 0.01583 0.02393 0.01737 -0.05795 -0.01155 0.00908 0.02114 0.03813 0.00583 0.01326 -0.02398 0.02335 0.01979 -0.01502 -0.00641 0.03240 0.02618 0.01359 -0.02774 0.02988 -0.03021 -0.02136 0.00715 0.02251 -0.00871 0.00509 -0.03341 -0.01649 -0.00185 -0.00195 -0.03838 -0.04812 0.04709 0.00743 -0.02907 0.01654 0.02002 0.04397 0.06039 0.02175 0.05352 0.00536 0.03400 0.01807 0.04359 0.03498 0.04326 0.01749 0.05526 -0.14581 0.07128 0.02933 0.00329 0.07937 -0.00060 0.05359 0.04303 0.04853 -0,08397 0.03067 -0.01550 0.05319 0.03486 0.05027 0.07137 -0.03657 0.00596 -0.02366 0.04213 -0.00199 0.07305 0.01789 0.05051 -0.03716 -0.02847 0.15897 0.02655 -0.13793 0.01000 0.30198 0.02471 -0.06308 -0.06337 -0.04440 0.11283 0.02982 0.05212 0.16330 0.04416 0.15559 0.18824 -0.03320 -0.11301 0.03732 0.09677 -0.23190 0.08100 -0.04632 -0.05857 0.05463 0.14388 0.01258 0.07578 -0.05353 -0.04785 0.06959 -0.06265 -0.13111 0.02219 0.10564 0.01178 0.06727 0.14303 -0.06151 0.08249 0.12980 0.24579 -0.05251 0.14331 0.15028 -0.07285 0.00975 -0.07884 0.05677 0.03505 -0.02301 -0.03506 -0.02539 0.00353 0.08707 0.05340 0.01152 0.01063 0.01052 0.01115 0.05000 0.02451 0.05999 0.01810 0.02413 -0.00372 -0.00684 0.00815 0.02113 -0.03165 -0.00126 0.02266 0.02708 0.05213 0.03773 -0.01508 0.02496 -0.01882 -0.02256 0.01269 -0.00613 0.04124 0.01210 0.01630 -0.01658 0.02066 0.02699 0.04543 0.00268 0.02194 0.03194 -0.02029 0.00797 -0.09997 0.07493 0.06128 -0,05332 -0.02339 -0.01539 0.01033 0.08276 0.06347 0.01634 0.02311 0.02497 -0.00911 0.06032 0.01659 0.04553 0.02305 0.01546 -0.01069 -0.02423 0.01413 0,02158 -0.03767 0.00271 0.02055 0.01781 0.04821 0.03518 -0.02656 0.02267 -0.01694 -0.02519 0.03796 0.01153 0.04333 -0.00595 0.01057 -0.02080 0.04039 0.00346 0.04003 -0.00164 0.01906 0.01296 -0.03105 0.00488 -0.11001 008644 0.05707 -0.06033 -0.02742 -0.01700 0.00836 0.08104 0.05090 0.01132 0.01622 0.01787 -0.01194 0.05496 0.00713 0.05077 0.01728 0.01221 -0.01636 -0.01679 0.01208 0.01799 -0.03429 0.00229 0.00936 0.01401 0.03860 0.03246 -0.02529 0.01890 -0.01912 -0.02011 0.02995 -0.00014 0.03597 -0.01122 0.00696 -0.01774 0.03519 -0.00095 0.02547 0.00045 0.01107 0.01219 -0.03092 0.00136 0.00132 0.00102 0.00099 0.00098 0.00098 0.00094 0.00094 0.00089 0.00077 0.00075 0.00079 0.00078 0.00077 0.00078 0.00075 0.00073 0.00078 0.00078 0.00078 0.00085 0.00106 0.00111 0.00123 0.00138 0.00147 0.00173 0.00183 0.00194 0.00212 0.00228 0.00232 0.00237 0.00248 0.00268 0.00287 0.00285 0.00309 0.00323 0.00324 0.00353 0.00369 0.00376 0.00383 0.00393 0.00399 12 1 2 3 4 5 2006 2006 2006 2006 2006 2006 2006 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2007 2008 2008 2008 2008 2008 2008 2000 2008 2008 2008 2008 2008 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 6 7 8 9 10 11 12 1 2 3 4 5 6 7 B 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 -0.00520 -0.03790 0.03070 0.00870 0.05800 0.02480 0.01170 0.01450 -0.00550 0.00860 0.01680 0.03070 -0.00580 -0.06720 0.00760 0.01260 0.01630 -0.08300 -0.00580 -0.07400 -0.03510 -0.00530 0.02160 0.04150 -0.08570 0.04400 0.03010 -0.08010 -0.20910 -0.13000 0.04910 -0.10750 -0.12250 0.09800 0.16430 0.04300 0.03800 0.10400 0.04370 0.07180 -0.08230 0.02370 0.08840 -0.03090 0.05030 0.08290 -0.00300 -0.03960 0.02100 0.01310 0.04510 0.03730 0.00400 0.02880 0.00280 0.01550 0.03660 0.04780 -0.01220 -0.04900 0.00090 0.02450 0.02580 -0.05920 -0.01000 -0.05830 -0.02330 -0.01340 0.06270 0.05240 -0.07150 0.00120 0.03250 -0.10300 -0.20750 -0.10220 0.04500 -0.08230 -0.10170 0.10000 0.14910 0.02830 0.00830 0.09460 0.03750 0.06270 -0.05500 0.04250 0.06790 -0.03300 0.04790 0.07890 0.00170 0.00360 0.02380 0.02490 0.03340 0.01920 0.01360 0.01700 -0.01950 0.01130 0.04340 0.03500 -0.01650 -0.02870 0.01540 0.03850 0.01970 -0.03960 -0.00510 -0.06020 -0.02910 -0.00560 0.04000 0.01510 -0.08300 -0.01160 0.01160 -0.00040 -0.16380 -0.07170 0.01210 -0.07800 -0.09680 0.08580 0.09100 0.05530 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05860 0.00003 0.01280 0.01731 0.01024 0.00910 0.01467 -0.00558 0.00113 0.01923 -0.00234 0.00775 -0.00806 -0.00586 0.00091 0.00908 0.00904 0.00885 0.01222 -0.00210 0.01027 0.00005 -0.00543 0.00812 -0.00638 -0.00688 -0.00821 0.00032 -0.00220 -0.09140 -0.00440 0.05518 0.01253 -0.01400 0.00958 0.04356 0.03932 0.03043 0.04471 0.01811 0.02839 0.00941 0.01405 0.00316 0.01929 0.00125 0.01482 0.00348 0.02158 0.02633 0.01557 0.00611 0.02153 -0.02524 -0.01024 0.03633 -0.00851 0.00598 -0.02845 -0.01204 0.02386 0.02105 0.00846 0.01349 0.04646 -0.00499 0.04021 -0.00027 -0.00385 -0.01652 -0.01450 0.01104 -0.00990 0.00045 -0.01400 -0.04469 0.09619 0.08473 -0.06426 -0.00207 0.05148 -0.02970 -0.01028 0.01641 0.01791 0.02582 0.02326 -0.00834 0.02155 -0.05594 0.03294 0.00139 -0.01165 0.05203 0.03373 0.03785 0.01848 0.06254 0.04649 -0.01563 0.08421 -0.02239 -0.02387 -0.00020 0.00052 -0.09069 -0.07802 0.06571 0.04406 0.01121 -0.09070 -0.06028 -0.01026 -0.03558 0.06231 0.06850 0.00771 -0.10870 0.03471 0.02200 -0.00193 -0.31668 -0.23055 0.16392 -0.17308 -0.20824 0.04062 0.31020 0.02157 -0.03732 0.10473 0.13390 0.06395 -0.04504 0.06911 0.07150 -0.05211 0.06339 0.10184 0.00584 0.01937 0.02217 -0.10781 0 06042 0.09889 -0.04231 -0.01058 0.00603 -0.04005 0.00456 -0.00454 -0.02282 0.03602 -0.07405 0.22949 0.14536 -0,09728 0.02736 0.21444 0.07718 -0.09242 -0.00753 0.05831 0.01777 -0.10244 -0.11479 -0.09744 -0.33117 0.15898 0.23250 -0.00646 -0.00743 0.08614 -0.06466 0.29677 -0.11656 0.04103 -0.00927 0.12481 -0.01526 0.14789 -0.04918 -0.09379 0.05425 0.02167 0.00673 0.01543 0.02786 0.01676 0.02666 0.02455 0.01872 0.02004 -0.01130 0.01093 0.04226 0.01697 -0.00464 -0.02096 0.00571 0.04021 0.02365 -0.01777 -0.01373 -0.06893 0.00159 0.01531 0.03068 0.01615 -0.08441 -0.01410 -0.01210 -0.08742 -0.16168 -0.06987 0.04873 -0.09953 -0.09672 0.08222 0.09620 0.08380 0.00297 0.09785 0.03106 0.04781 -0.01875 0.05032 0.02447 -0.04224 0.01304 0.06152 -0.00041 -0.00190 0.02506 0.01942 0.03713 0.02371 0.01083 0.01943 -0.01396 0.01295 0.03982 0.03893 -0.01476 -0.03176 0.01166 0.04086 0.02584 -0.04922 -0.00442 -0.06215 -0.02165 -0.01042 0.05111 0.02384 -0.07843 -0.01333 0.01050 -0.00801 -0.18480 -0.08461 0.02215 -0.07733 -0.10018 0.08689 0.10936 0.06779 -0.00310 0.08172 0.03146 0.04524 -0.02800 0.05710 0.02842 -0.03710 0.03478 0.06361 0.00009 0.00509 0.02127 0.02457 0.03151 0.01647 0.01262 0.01406 -0.02185 0.00998 0.04329 0.03255 -0.01782 -0.03198 0.01286 0.03579 0.01482 -0.04404 -0.00863 -0.05116 -0.03470 -0.00596 0.04755 0.01067 -0.08590 -0.00986 0.01219 -0.00079 -0.16943 -0.07485 0.00782 -0.08566 -0.10993 0.08541 0.09393 0.05308 0.00020 0.07414 0.03356 0.03572 -0.01976 0.05736 0.01777 -0.03697 0.02851 0.05880 0.00413 0.00413 0.00401 0.00410 0.00412 0.00404 0.00415 0.00419 0.00412 0.00406 0.00394 0.00384 0.00402 0.00350 0.00324 0.00325 0.00273 0.00250 0.00229 0.00177 0.00105 0.00108 0.00144 0.00155 0.00136 0.00143 0.00094 0.00056 0.00016 0.00003 0.00011 0.00025 0.00018 0.00013 0.00015 0.00015 0.00015 0.00014 0.00010 0.00006 0.00004 0.00004 0.00005 0.00009 0.00013 0.00013 3 4 5 6 7 8 9 2009 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2010 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 2012 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 0909600 0.16430 0.04300 0.03600 0.10400 0.04370 0.07180 -0.08230 0.02370 0.08840 -0.03090 0.05030 0.08290 0.07450 -0.08110 -0.08270 0.06330 -0.08380 0.12170 0.04780 0.03860 0.09020 -0.00600 0.05420 0.02900 0.01560 -0.02880 -0.02440 -0.03240 -0.10320 -0.11190 0.14280 -0.00990 0.00470 0.00110 0.02410 0.03020 -0.01940 -0.06940 0.05930 -0.02010 0.03010 0.04800 -0.03100 0.00630 0.03610 0-10000 0.14910 0.02830 0.00830 0.09460 0.03750 0.06270 -005500 0.04250 0.06790 -0.03300 0.04790 0.07890 0.04840 -0.07500 -0.07200 0.07000 -0.05930 0.12030 0.03300 0.03330 0.07530 0.01830 0.04900 0.02740 0.03120 -0.01230 -0.01590 -0.04090 -0.08220 -0.10990 0.14970 0.00000 0.00060 0.06320 0.04190 0.01870 -0.00840 -0.07030 0.03010 -0.00850 0.03820 0.02520 -0.01250 0.01890 0.02590 0108580 0.09100 0.05530 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05860 0.01180 -0.07900 -0.05120 0.06960 -0.04380 0.09070 0.03890 0.00120 0.06490 0.02300 0.03300 0.00050 0.03000 -0.01190 -0.016.80 -0.02030 -0.05400 -0.06910 0.10720 -0.00230 0.00830 0.04750 0.04530 0.03230 -0.00700 -0.06000 0.03900 0.01170 0.02380 0.02670 -0.01720 0.00600 0.00890 000958 0.04356 0.03932 0.03043 0.04471 0.01811 0.02839 0.00941 0.01405 0.00316 0.01929 0.00125 0.01482 0.01444 -0.01612 0.01702 0.02136 0.01566 0.01121 0.01112 -0.00872 -0.00188 0.01102 0.00769 0.00106 0.01646 0.01070 -0.00936 0.01725 -0.01489 -0.00242 0.02145 -0.01932 0.01993 0.02282 0.01162 -0.00115 0.01127 -0.00346 0.00819 0.02000 0.00689 0.00852 0.00878 0.00207 0.00279 0905148 -0.02970 -0.01028 0.01641 0.01791 0.02582 0.02326 -0.00834 0.02155 -0.05594 0.03294 0.00139 -0.01165 0.02688 0.03794 0.04811 0.00607 0.06829 -0.01322 -0.02518 -0.01717 -0.03765 -0.01100 0.00588 0.00039 0.02350 0.03228 -0.01897 0.04064 0.08055 0.09067 -0.03073 0.01488 0.03036 0.00315 -0.01923 -0.03366 0.04555 0.07714 -0.01279 0.03359 -0.01093 -0.01845 -0.00365 0.01366 -0.01983 0104062 031020 0.02157 -0.03732 0.10473 0.13390 0.06395 -0.04504 0.06911 0.07150 -0.05211 0.05339 0.10184 0.06942 -0.05545 -0.05017 0.09522 -0.01388 0.04467 0.04701 -0.01958 0.04657 0.04125 0.04583 -0.01281 0.05114 0.00999 -0.03071 0.01052 -0.05596 -0.10973 0.14277 -0.03759 0.04795 0.06358 -0.00911 0.04841 0.02673 -0.04411 0.05066 0.02170 0.00120 -0.01233 -0.00251 -0.00272 0.03648 D03614 -0.06466 0.29677 -0.11656 0.04103 -0.00927 0.12481 -0.01526 0.14789 -0.04918 -0.09379 0.05425 0.02167 0.11996 -0.04260 0.02472 -0.05247 0.08975 0.10105 0.03024 0.06231 0.02588 -0.11888 0.07817 0.01504 0.02646 -0.07835 -0.07271 0.05066 0.04937 -0.13020 0.05472 0.01908 -0.12637 0.11023 -0.00857 -0.10951 -0.04612 -0.09924 0.01789 0.01018 0.08883 0.13457 -0.01260 -0.09234 -0.02417 0708222 0.09629 0.08380 0.00297 0.09785 0.03106 0.04781 -0.01875 0.05032 0.02447 -0.04224 0.01304 0.06152 -0.00232 -0.10157 -0.02390 0.08406 -0.04457 0.10096 0.04295 -0.02337 0.07192 0.00695 0.03133 -0.00412 0.06360 -0.00778 -0.01323 -0.02185 -0.07513 -0.09385 0.11629 -0.01519 -0.01460 0.05630 0.05294 0.02895 -0.00790 -0.08408 0.04237 0.01563 0.03181 0.02486 0.00146 0.03052 0.02809 0.00669 0.10936 0.06779 -0.00310 0.08172 0.03146 0.04524 -0.02800 0.05710 0.02842 -0.03710 0.03478 0.06361 0.02001 -0.07914 -0.05072 0.07029 -0.04282 0.09152 0.03853 0.00617 0.06715 0.01916 0.03816 0.00337 0.02869 -0.01493 -0.01840 -0.02247 -0.05747 -0.08487 0.11398 -0.00623 0.00370 0.05408 0.04119 0.02399 -0.00680 -0.06653 0.03816 0.01027 0.02627 0.02654 -0.01410 0.00619 0.01253 O 08.541 0.09393 0.05308 0.00020 0.07414 0.03356 0.03572 -0.01976 0.05736 0.01777 -0.03697 0.02851 0.05880 0.01476 -0.08198 -0.05388 0.06878 -0.04745 0.08755 0.03686 -0.00229 0.06530 0.02265 0.03196 -0.00105 0.02850 -0.01350 -0.01826 -0.02147 -0.05679 -0.07176 0.10772 -0.00506 0.00853 0.04358 0.04059 0.03133 -0.00750 -0.06265 0.03956 0.01280 0.01976 0.02424 -0.01979 0.00285 0.00707 0.00013 0.00015 0.00015 0.00015 0.00014 0.00010 0.00006 0.00004 0.00004 0.00005 0.00009 0.00013 0.00013 0.00013 0.00010 0.00013 0.00013 0.00013 0.00011 0.00012 0.00012 0.00013 0.00011 0.00008 0.00005 0.00003 0.00003 0.00003 0.00002 0.00001 0.00002 0.00001 0.00001 0.00003 0.00008 0.00007 0.00007 0.00003 0.00008 0.00008 0.00008 0.00009 0.00008 0.00008 0.00006 0.00006
