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. 6. Continue to assume that you can invest in the risk-free asset. Suggest an efficient portfolio allocation to achieve the college's objective of a "floor" rate of return equal to 1.00% per month. What is the standard deviation of return on this portfolio? Year 1995 1995 1995 1995 1995 1995 . 1995 1995 1995 1995 1985 1995 1996 1996 1996 1996 1990 1996 1000 1996 1986 1000 1996 1996 1997 Month SMLSTK MEOSTK LRGSTK CBOND GBOND REIT PM EAFE WWRET SPRET TBILL 1 0.01190 -0.00130 0.02830 0.01491 0.02618 -0.02184 -0.23443 -0.06360 0.02040 0.02428 0.00481 2 0.03260 0.05020 0.03910 0.02800 003468 0.02470 0.05742 0.00085 0.00962 003607 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 002500 0.01940 0.02710 0.01875 0.01718 0.00026 -0.04762 0.03624 0.02505 0.02790 0.00473 5 0.02070 0.01750 0.03970 0.03354 007604 004250 0.02727 0.03021 003401 003631 0.00456 0.06490 0.04870 0.02450 0.00758 0.01150 0.01591 0.15625 0.01920 0.03117 0.02128 0.00452 7 006200 0.06280 0.0210 0.00347 0.01721 0.01724 0.07944 0.04996 0.04078 0.03178 0.00450 6 0.03200 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 0.01175 0.02.168 0.01715 0.00870 0.01101 003636 0.04010 0.00440 10 -005330 -0.02140 -0.00420 0.01479 0.02469 -0.02142 -0.16228 -0.02322 -0.01132 000198 0.00447 11 002750 0.04770 0.04430 0.01347 002462 0.00914 0.02094 -0.00074 004271 0.04105 0.00428 12 0.02280 001600 0.01480 001848 -0.03330 0.05400 0.17253 0.02692 0.01519 0.01744 0.00417 1 0.00580 0.00010 0.03300 000707 000161 0.01846 0.22166 0.02830 0.02814 003262 0.00403 2 0.00200 0.03300 0.01370 -0.01711 -001659 0.01170 -0.02954 0.01764 0.01631 0.00693 0.00413 3 0.02430 0.02020 0.00790 -0.00719 0.01823 000545 -0.06 0.02210 0.01093 0.00792 0.00413 4 007500 004340 0.01520 -0.00640 002221 0.00507 0.00461 004200 0.02551 0.01343 0.00410 5 0.00000 0.02390 0.02480 0.00081 0.00134 0.02504 0.02752 0.00911 002600 0.02285 0.00424 6 -0.04120 -0.03050 0.0020 0.01153 0.02025 0.01300 -0.05070 0.00000 -0.00030 0.00220 0.00429 7 0.10000 07760 -0.04720 0.00207 0.00320 0.00756 -0.01057 -0.06327 0.05382 0.04575 0.00421 0.04820 0.06100 0.02480 0.00185 -0.00092 0.03937 0.00549 0.03041 0.00240 0.01881 0.00424 . 0.00400 0.04470 0.05770 0.02217 0.02PBY 001741 -0.05840 0.02530 0.00302 00512 0.00410 10 001810 -001200 0.02100 0.02112 001200 00200 -0.01818 -0.00335 0.01374 0.02013 0.00410 11 002040 004480 0.07500 0.02455 00377a 004656 0.00700 0.00635 0.00667 0.0733 0.00400 12 001030 0.00300 -001830 -0.00820 002287 0.10390 0.17114 0.00513 -001130 002151 000419 1 004300 0.02510 006110 -0.00018 000192 001117 0.10000 0.03791 0.00347 0.00132 0.00418 2 -0.02810 0.01610 0.00510 0.00004 0.00231 0.00204 0.14250 0.00000 -0.00112 0.00500 0.00420 3 0.06310 0.04880 -0.04430 -0.01500 0.02486 0.00013 0.13600 -0.01000 0.01487 0.04201 0.00430 4 -0.02050 001540 0.05640 0.01352 0.02252 -0.02752 -0.0066 0.01272 0.01237 0.05841 0.00421 0.10070 0.10130 0.06350 0.01339 0.01201 002940 0.01754 0.06779 0.07162 0.05850 0.00411 6 0.06720 0.01440 0.04200 0.01635 0.01978 0.01600 0.06174 0.04572 0.01410 0.04345 0.00421 Y 004600 0.06210 0.00220 0.03472 005663 0.03080 0.03220 0.04560 O 07651 007812 0.00428 001140 0.01420 -0.05000 -0.01114 -0.02510 000230 0.01042 -0.04874 000620 0.05745 0.00413 0.09170 0.00940 0.05350 001817 002009 0.08727 0.02062 0.00007 OOSAO 0.05315 0.00414 10 -0.03770 -0.04330 000110 0.00993 0.03400 -0.02703 -0.22105 -0.06000 0.03444 003448 0.00428 11 -0.01830 -0.00190 0.04430 0.00599 0.00961 0.02162 -0.22973 -0.02069 0.03040 004459 0.00430 12 -0.00940 0.02140 0.02000 0.01000 001728 0.02361 0.2007 0.01044 0.01782 0 01573 0.00420 1 0.00500 -0.01160 0.00900 0.01396 001863 -0.00520 0.00000 0.00124 0.00450 0.01015 0.00424 2 0.06600 0.08280 0.07320 -0.00090 -0.00680 -0.01702 -0.07018 0.07526 0.07330 0.07045 0.00419 3 0.04900 0.04810 0.05170 0.00465 0.00487 0.01794 0.00000 0.06622 0.05130 0.01996 0.00413 4 0.01860 0.00950 0.01260 0.00565 0.00586 -0.03257 0.05660 0.01684 0.01090 0.00908 0.00417 5 -0.04840 -0.05200 0.01850 0.00867 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 -0.15556 -0.00430 003194 0.03944 0.00413 006760 -0.07020 -001140 0.00167 -0.00059 -0.06492 0.00520 -0.01574 0 02337 -0.01152 0.00400 -021530 -0.19490 -0.14690 -0.00626 0.01229 -0.09437 -0.23037 -0.17079 -0.15784 -0.14580 0.00354 9 004750 0.06350 0.00000 0.01781 0.04002 0.05601 0.39450 -0.00693 0.06383 0.06240 0.00330 1997 1997 1991 . 1997 1987 1987 1997 1997 1997 1987 1938 1996 1938 1998 1998 1996 1998 1986 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 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 1 2 3 4 5 6 7 0.02860 0.07740 0.03770 0.04190 -0.07110 -0.01790 009650 0.01860 0.07030 0.00450 -0.03540 -0.00810 -0.00760 0.10170 0.12540 0.04050 0.24220 -0.08850 -0.14090 -0.08600 0.17520 -0.01720 0.06160 -0.03640 -0.06310 -0.09820 0.02490 0.13730 -0.04830 -0.03100 0.06220 0.08380 0.05000 -0.04430 -0.03710 -0.13970 0.06290 0.07660 0.07460 0.00350 -0.04010 0.08630 0.01600 -0.03250 -0.02570 -0.14870 0.05500 0.05630 0.06430 0.00290 -0.06810 0.02170 0.08640 0.01310 0.05250 -0.01570 -0.03710 -0.00320 0.03030 0.06370 0.10730 -0.03730 0.13570 -0.01290 -0.05650 -0.04410 0.06520 -0.03560 0.07300 -0.04140 -0.04550 -0.09690 0.08770 0.04270 -0.06390 -0.06080 0.08290 0.02810 0.02220 -0.03840 -0.04290 -0.13670 0.06650 0.08140 0.06120 -0.01270 -0.02070 0.07140 -0.00670 -0.03150 -0.06680 -0.11570 0.07980 0.06380 0.06630 0.03970 -0.03240 0.04040 0.03860 -0.02200 0.05000 -0.03350 -0.00500 -0.02800 0.06790 0.02660 0.06580 -0.04430 -0.00300 0.09370 -0.03840 -0.02710 0.03160 -0.01770 0.07680 -0.04830 -0.01740 -0.09700 0.01170 0.03200 -0.09640 -0.06900 0.08120 0.00720 -0.02180 -0.01480 -0.06410 -0.08190 0.02190 0.07900 0.00990 -0.01630 -0.02140 0.03930 -0.06150 -0.00870 -0.07480 -0.07240 -0.02008 0.01909 0.00270 0.00878 -0.02143 0.00794 0.00585 -0.01373 -0.00551 -0.00462 -0.00572 0.00510 -0.00135 0.00294 -0.00145 -0.00029 0.00770 0.00434 -0.01472 -0.00806 0.02428 0.00899 0.01252 0.00001 -0.00686 -0.00462 0.02453 0.02759 0.01343 -0.00460 -0.00801 0.00998 -0.00155 0.02502 0.01290 -0.01633 0.02096 -0.00426 -0.00314 0.00716 0.00460 -0.00577 0.01635 0.00500 -0.01243 -0.00898 -0.02699 0.00370 0.00489 0.00761 -0.04530 0.00417 0.00149 -0.01800 -0.00920 -0.00577 -0.00767 0.01033 0.00228 -0.00627 -0.01498 0.00459 0.03030 0.02718 -0.00557 -0.00528 0.03073 0.01804 0.02259 -0.01152 0.01769 0.03321 0.02695 0.00580 0.01963 -0.00534 -0.02973 0.00574 0.00865 0.04284 0.02220 0.00960 0.04689 -0.04366 -0.02362 0.02304 0.01272 -0.04337 0.04401 0.00445 0.01972 0.03041 -0.01851 0.01473 -0.02521 -0.02089 -0.02349 -0.00451 0.09490 0.02197 -0.01619 -0.03182 -0.01271 -0.03796 -0.02480 -0.01627 0.03167 0.00329 -0.01191 0.03288 0.06719 0.00984 0.02565 0.08740 -0.04058 0.03182 -0.04329 0.01284 0.07039 0.01044 -0.01597 0.00971 0.02386 0.02421 0.05861 -0.01986 0.03656 -0.04153 -0.02861 0.05503 0.02430 0.00190 0.01928 0.05999 0.00353 0.01354 0.02733 -0.06231 -0.02195 -0.06234 0.01596 -0.04450 -0.02192 -0.00560 0.11268 -0.15696 0.02703 -0.06433 0.05312 0.27300 -0.10489 -0.04167 0.01087 -0.12097 0.00612 -0.07599 -0.07895 0.00000 0.04286 -0.09589 0.06061 -0.06428 -0.09924 0.01695 0.08750 -0.01149 0.02326 -0.09091 0.13333 0.04412 -0.00352 -0.07420 0.02672 0.04089 -0.01429 -0.00725 0.05839 0.16552 0.14497 0.14212 0.09955 0.32510 -0.18012 -0.26136 0.08310 0.04513 0.06539 0.03185 -0.03311 0.04237 0.03508 -0.02582 0.05632 0.01018 0.00593 -0.01501 0.03047 0.06227 0.08779 -0.04198 0.04382 0.04103 -0.03254 -0.02369 0.04270 -0.03323 0.03749 -0.06641 -0.03870 -0.07182 0.03962 0.02770 -0.10176 -0.08267 0.08812 -0.02454 -0.03585 -0.01109 -0.03694 -0.09932 0.03422 0.05956 0.01268 -0.02963 -0.00142 0 05050 -0.02340 0.00607 -0.06895 -0.09285 0.07439 0.06202 0.06305 0.03846 -0.03809 0.03793 0.04911 -0.02071 0.05082 -0.03072 -0.00999 -0.02285 0.06215 0.03682 0.08376 -0.03961 0.03182 0.05353 -0.05953 -0.03897 0.05159 -0.01711 0.07591 -0.05105 -0.02460 -0.10249 0.02040 0.03950 -0.09926 -0.07026 0.08383 0.01058 -0.01746 -0.01830 -0.05898 -0.09153 0.02784 0.07877 0.01786 -0.01598 -0.02170 0.04469 -0.04963 -0.01052 007025 -0.08114 0 08029 0.05913 0.05638 0.04101 -0.03228 0.03879 0.03794 -0.02497 0.05444 -0.03205 -0.00625 -0.02855 0.06254 0.01900 0.06784 -0.05090 -0.02011 0.09672 -0.03080 -0.02192 0.02393 -0.01634 0.06070 -0.06348 -0.00495 -0.08007 0.00405 0.03464 -0.09229 -0.06421 0.07681 0.00509 -0.02500 -0.01077 -0.06411 -008172 0.01810 0.07518 0.00757 -0.01557 -0.02077 0.03674 -0.06142 -0.00908 -0.07247 -0.07900 0.00368 0.00366 0.00362 0.00370 0.00370 0.00358 0.00375 0.00381 0.00379 0.00393 0.00390 0.00405 0.00423 0.00433 0.00443 0.00463 0.00474 0.00472 0.00483 0.00474 0.00497 0.00508 0.00500 0.00509 0.00514 0.00481 0.00420 0.00407 0.00368 0.00323 0.00302 0.00291 0.00293 0.00280 0.00220 0.00180 0.00156 0.00141 0.00138 0.00144 0.00149 0.00143 0.00144 0.00142 0.00140 0.00135 2002 2002 2002 2002 2002 2003 2003 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 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 2006 2006 2006 -0.01040 -0.07850 0.03530 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 -0.04780 0.00350 0.04150 -0.07870 -0.01090 0.04940 0.01990 0.00110 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 0.03300 005630 -0.00070 0.04170 0.02180 0.07080 0.04040 -0.02550 0.02860 -0.01850 -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 0.00780 -0.10520 0.08690 0 05540 -0.05750 -0.02750 -0.01760 0.01100 0.08120 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 -0.03400 0.00370 0.01170 0.01390 0.04110 0.03480 -0.02420 0.02050 -0.01600 -0.01840 0.03310 0.00160 0.03740 -0.00960 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 0.0234B 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 0.00620 0.01073 0.01962 0.00043 0.00040 -0.00286 0.01350 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 -001624 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 0.00008 0.02114 0.03613 0.00583 0.01320 -0.02308 0.02336 0.01979 -0.01502 -0.00841 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 004709 0.00743 -0.02907 0.01654 0.02002 0.04397 0.06039 0.02175 0.05352 0.00636 0.03400 0.01807 0.04359 0.03498 0.04326 0.01749 0.05626 0.14581 0.07128 0.02933 0.00320 0.07937 -0.00060 0.05350 0.04303 0.04653 0.08397 0.03067 -0.01550 0.05319 0.03466 0.05027 0.07137 -0.03657 0.00696 -0.02366 0.04213 -0.00199 0.07305 0.01789 0.05051 -0.03716 -0.02847 0.15897 0.02655 -0.13793 001000 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 -0.06857 0.05463 0.14388 0.01258 0.07578 -0,05353 -0.04785 0.06959 -0.06265 -0.13111 0.02219 0.10564 001178 0.06727 0.54303 -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 -0.02530 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 003165 -0.00120 0.02266 0.02708 0.05213 0.03773 -0.01508 0.02496 -0.01682 -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 0,04563 0.02305 0.01546 -0.01069 -0.02423 0.01413 0.02158 003767 0.00271 0.02065 0.01781 0.04821 0.03518 -0.02666 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 0.08644 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 0.01790 003420 0.00229 0.00936 0.01401 0.03860 0.03246 -0.02529 0.01890 -0.01912 -0.02011 0.02996 -0.00014 0.03597 -0.01122 0.00095 -0.01774 0.03510 -0.00095 0.02547 0.00045 0.01107 0.01219 -0.03092 0.00136 0.00132 0.00102 0.00099 0.00099 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 9 10 11 12 1 2 3 4 5 7 B 9 10 11 12 1 2 3 4 5 6 7 2006 2006 2006 2006 2006 2006 2007 2007 2007 2007 2007 2007 9 10 11 12 1 2 5 6 7 8 2007 2007 2007 2007 2007 2007 2008 2008 2000 2000 2008 2008 2000 2008 2008 2008 2006 2008 2009 2009 10 11 12 1 2 3 4 5 6 7 8 -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 -0.07460 -0.03510 -0.00530 0.02160 0.04150 -0,08570 0.04400 0.03910 -0.08010 -0.20910 -0.13000 0.04910 -0.10750 -0.12250 0.09600 0.16430 0.04300 0.03600 0.10400 0.04370 0.07180 -0.08230 0.02370 0.08840 -0.03090 0.05030 0.08290 -0.00300 -0.03980 0.02100 0.01310 0.04510 0.03730 0.00400 0.02880 0.00280 0.01550 0.03560 0.04780 -0.01220 -0.04900 0.00000 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 0.04590 -0.08230 -0.10170 0.10000 0.14910 0.02830 0.00830 0.00460 0.03750 0.06270 -0.05500 0.04250 0.06790 -0.03300 0.04790 0.07800 0.00170 0.00380 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 0.04600 0.01510 -0.08360 -0.01160 0.01160 -0.09040 -0.16380 -0.07170 0.01210 -0.07800 -0.09680 0.08580 0.09100 0.05630 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05800 0.00003 0.01280 0.01731 0.01024 0.00910 0.01467 -0.00658 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 -0.00538 -0.00688 -0.00821 0.00932 -0.06220 -0.09146 -0.00440 0.06518 0.01253 -0.01466 0.00958 0.04356 0.03932 0.03043 0.04471 0.01811 0.02830 0.00941 0.01405 0.00316 0.01920 0.00125 0.01482 0.00348 0.02158 0.02633 0.01557 0.00611 0.02153 -0.02524 -0.01024 003633 -0.00851 0.00696 -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 0.00945 -0.01406 -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 0.02165 -0.05594 0.03294 0.00139 -0.01165 0.05203 0.03373 0.03785 0.01848 0.06264 0.04649 -0.01563 0.08421 -0.02239 -0.02387 -0.00020 0.00052 -0.03009 -0.07802 0.06571 0.04406 0.01121 -0.09070 -0.05028 -0.01026 -0.03558 0.06231 0.05859 0.00771 -0.10876 0.03471 0.02209 -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 0.05339 0.10184 0.00584 0.01937 0.02217 -0.10781 0.06042 0.09889 -0.04231 -0.01058 0.00503 -0.04005 0.00456 -0.00454 -0.02282 0.03602 -0.07405 0.22949 0.14536 -0.09728 0.02736 021444 0.07718 -0.09242 -0.00753 0.05831 0.01777 -0.10244 -0.11479 -0.00744 0.33117 0.15898 0.23250 -0.00646 -0.00743 008614 -0.08406 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 -0.16108 -0.06987 0.04873 -0.09953 -0.09672 0.08222 0.09629 0.08380 0.00297 0.09785 0.03106 0.04781 -0.01875 0.05032 0.02447 -0.04224 0.01304 0.06152 -0.00041 -0.00190 0.02506 0.01942 0.03713 0.02371 0.01083 0.01943 -0.01396 0.01296 0.03982 0.03893 -0.01476 -0.03176 0.01156 0.04086 0.02584 -0.04922 -0.00442 -0.06215 -0.02165 -0.01042 0.05111 0.02384 -0,07843 -0.01333 0.01056 -0.09801 -0.18480 -0.08451 0.02216 -0.07733 -0.10018 0.08660 0.10936 0.06779 -0.00310 0.08172 0.03140 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 0.03570 0.01482 -0.04404 -0.00863 -0.06116 -0.03476 -0.00596 0.04755 0.01067 -0.08506 -0.00986 0.01219 -0.09079 -0.16943 -0.07485 0.00782 -0.08566 -0.10993 0.08541 0.09393 0.05306 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 0.00006 0.00000 0.00013 0.00013 2000 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 10 11 12 1 2 3 4 5 6 7 . . 10 11 12 1 2 2010 2003 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 2010 2010 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 2010 6 7 B 9 10 2010 2010 2010 2010 2010 2010 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2012 2012 2012 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 0.09600 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 -0.00980 0.00470 0.08110 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 -0.05500 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 0.08680 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 -0.01680 -0.02030 -0.05460 -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 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 0.01444 -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 0.05148 -0.02970 -0.01028 0.01841 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 0.04034 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 0704062 0.31020 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 -0.05696 -0.10973 0.14277 -0.03759 0.04795 0.06358 -0.00911 0.04841 0.02673 -0.04411 0.05966 0.02170 0.00120 -0.01233 -0.00251 -0.00272 0.03648 0.08514 -0.06466 0.29677 -0.11656 0.04103 -0.00927 0.12481 -0.01526 0.14789 -0.04918 -0.09379 0.05425 0.02167 0.11995 -0.04200 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 0.08222 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 0.08405 -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 0.05530 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 0.00517 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 -0.00880 -0.06553 0.03816 0.01027 0.02627 0.02654 -0.01410 0.00619 0.01253 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 0.01476 -0.08198 -0.05388 0.06878 -0.04745 0.08755 0.03686 -0.00229 0.06530 0.02265 0.03190 -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 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 OTO0013 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 0.00008 0.00008 0.0000B 0.0000B 0.00009 0.00008 0.00008 0.00000 0.00006 2012 2012 2012 2012 2012 2012 2012 2012 2012 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. 6. Continue to assume that you can invest in the risk-free asset. Suggest an efficient portfolio allocation to achieve the college's objective of a "floor" rate of return equal to 1.00% per month. What is the standard deviation of return on this portfolio? Year 1995 1995 1995 1995 1995 1995 . 1995 1995 1995 1995 1985 1995 1996 1996 1996 1996 1990 1996 1000 1996 1986 1000 1996 1996 1997 Month SMLSTK MEOSTK LRGSTK CBOND GBOND REIT PM EAFE WWRET SPRET TBILL 1 0.01190 -0.00130 0.02830 0.01491 0.02618 -0.02184 -0.23443 -0.06360 0.02040 0.02428 0.00481 2 0.03260 0.05020 0.03910 0.02800 003468 0.02470 0.05742 0.00085 0.00962 003607 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 002500 0.01940 0.02710 0.01875 0.01718 0.00026 -0.04762 0.03624 0.02505 0.02790 0.00473 5 0.02070 0.01750 0.03970 0.03354 007604 004250 0.02727 0.03021 003401 003631 0.00456 0.06490 0.04870 0.02450 0.00758 0.01150 0.01591 0.15625 0.01920 0.03117 0.02128 0.00452 7 006200 0.06280 0.0210 0.00347 0.01721 0.01724 0.07944 0.04996 0.04078 0.03178 0.00450 6 0.03200 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 0.01175 0.02.168 0.01715 0.00870 0.01101 003636 0.04010 0.00440 10 -005330 -0.02140 -0.00420 0.01479 0.02469 -0.02142 -0.16228 -0.02322 -0.01132 000198 0.00447 11 002750 0.04770 0.04430 0.01347 002462 0.00914 0.02094 -0.00074 004271 0.04105 0.00428 12 0.02280 001600 0.01480 001848 -0.03330 0.05400 0.17253 0.02692 0.01519 0.01744 0.00417 1 0.00580 0.00010 0.03300 000707 000161 0.01846 0.22166 0.02830 0.02814 003262 0.00403 2 0.00200 0.03300 0.01370 -0.01711 -001659 0.01170 -0.02954 0.01764 0.01631 0.00693 0.00413 3 0.02430 0.02020 0.00790 -0.00719 0.01823 000545 -0.06 0.02210 0.01093 0.00792 0.00413 4 007500 004340 0.01520 -0.00640 002221 0.00507 0.00461 004200 0.02551 0.01343 0.00410 5 0.00000 0.02390 0.02480 0.00081 0.00134 0.02504 0.02752 0.00911 002600 0.02285 0.00424 6 -0.04120 -0.03050 0.0020 0.01153 0.02025 0.01300 -0.05070 0.00000 -0.00030 0.00220 0.00429 7 0.10000 07760 -0.04720 0.00207 0.00320 0.00756 -0.01057 -0.06327 0.05382 0.04575 0.00421 0.04820 0.06100 0.02480 0.00185 -0.00092 0.03937 0.00549 0.03041 0.00240 0.01881 0.00424 . 0.00400 0.04470 0.05770 0.02217 0.02PBY 001741 -0.05840 0.02530 0.00302 00512 0.00410 10 001810 -001200 0.02100 0.02112 001200 00200 -0.01818 -0.00335 0.01374 0.02013 0.00410 11 002040 004480 0.07500 0.02455 00377a 004656 0.00700 0.00635 0.00667 0.0733 0.00400 12 001030 0.00300 -001830 -0.00820 002287 0.10390 0.17114 0.00513 -001130 002151 000419 1 004300 0.02510 006110 -0.00018 000192 001117 0.10000 0.03791 0.00347 0.00132 0.00418 2 -0.02810 0.01610 0.00510 0.00004 0.00231 0.00204 0.14250 0.00000 -0.00112 0.00500 0.00420 3 0.06310 0.04880 -0.04430 -0.01500 0.02486 0.00013 0.13600 -0.01000 0.01487 0.04201 0.00430 4 -0.02050 001540 0.05640 0.01352 0.02252 -0.02752 -0.0066 0.01272 0.01237 0.05841 0.00421 0.10070 0.10130 0.06350 0.01339 0.01201 002940 0.01754 0.06779 0.07162 0.05850 0.00411 6 0.06720 0.01440 0.04200 0.01635 0.01978 0.01600 0.06174 0.04572 0.01410 0.04345 0.00421 Y 004600 0.06210 0.00220 0.03472 005663 0.03080 0.03220 0.04560 O 07651 007812 0.00428 001140 0.01420 -0.05000 -0.01114 -0.02510 000230 0.01042 -0.04874 000620 0.05745 0.00413 0.09170 0.00940 0.05350 001817 002009 0.08727 0.02062 0.00007 OOSAO 0.05315 0.00414 10 -0.03770 -0.04330 000110 0.00993 0.03400 -0.02703 -0.22105 -0.06000 0.03444 003448 0.00428 11 -0.01830 -0.00190 0.04430 0.00599 0.00961 0.02162 -0.22973 -0.02069 0.03040 004459 0.00430 12 -0.00940 0.02140 0.02000 0.01000 001728 0.02361 0.2007 0.01044 0.01782 0 01573 0.00420 1 0.00500 -0.01160 0.00900 0.01396 001863 -0.00520 0.00000 0.00124 0.00450 0.01015 0.00424 2 0.06600 0.08280 0.07320 -0.00090 -0.00680 -0.01702 -0.07018 0.07526 0.07330 0.07045 0.00419 3 0.04900 0.04810 0.05170 0.00465 0.00487 0.01794 0.00000 0.06622 0.05130 0.01996 0.00413 4 0.01860 0.00950 0.01260 0.00565 0.00586 -0.03257 0.05660 0.01684 0.01090 0.00908 0.00417 5 -0.04840 -0.05200 0.01850 0.00867 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 -0.15556 -0.00430 003194 0.03944 0.00413 006760 -0.07020 -001140 0.00167 -0.00059 -0.06492 0.00520 -0.01574 0 02337 -0.01152 0.00400 -021530 -0.19490 -0.14690 -0.00626 0.01229 -0.09437 -0.23037 -0.17079 -0.15784 -0.14580 0.00354 9 004750 0.06350 0.00000 0.01781 0.04002 0.05601 0.39450 -0.00693 0.06383 0.06240 0.00330 1997 1997 1991 . 1997 1987 1987 1997 1997 1997 1987 1938 1996 1938 1998 1998 1996 1998 1986 1998 1998 1998 1998 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2000 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2001 2002 2002 2002 2002 2002 2002 2002 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 1 2 3 4 5 6 7 0.02860 0.07740 0.03770 0.04190 -0.07110 -0.01790 009650 0.01860 0.07030 0.00450 -0.03540 -0.00810 -0.00760 0.10170 0.12540 0.04050 0.24220 -0.08850 -0.14090 -0.08600 0.17520 -0.01720 0.06160 -0.03640 -0.06310 -0.09820 0.02490 0.13730 -0.04830 -0.03100 0.06220 0.08380 0.05000 -0.04430 -0.03710 -0.13970 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8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 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 2006 2006 2006 -0.01040 -0.07850 0.03530 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 -0.04780 0.00350 0.04150 -0.07870 -0.01090 0.04940 0.01990 0.00110 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 0.03300 005630 -0.00070 0.04170 0.02180 0.07080 0.04040 -0.02550 0.02860 -0.01850 -0.04680 0.06260 0.03110 0.05670 -0.01050 0.00880 -0.03110 0.04810 0.00500 0.06560 -0.00500 0.03560 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0.00095 -0.01774 0.03510 -0.00095 0.02547 0.00045 0.01107 0.01219 -0.03092 0.00136 0.00132 0.00102 0.00099 0.00099 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 9 10 11 12 1 2 3 4 5 7 B 9 10 11 12 1 2 3 4 5 6 7 2006 2006 2006 2006 2006 2006 2007 2007 2007 2007 2007 2007 9 10 11 12 1 2 5 6 7 8 2007 2007 2007 2007 2007 2007 2008 2008 2000 2000 2008 2008 2000 2008 2008 2008 2006 2008 2009 2009 10 11 12 1 2 3 4 5 6 7 8 -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 -0.07460 -0.03510 -0.00530 0.02160 0.04150 -0,08570 0.04400 0.03910 -0.08010 -0.20910 -0.13000 0.04910 -0.10750 -0.12250 0.09600 0.16430 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2 3 4 5 6 7 . . 10 11 12 1 2 2010 2003 2009 2009 2009 2009 2009 2009 2009 2009 2009 2010 2010 2010 2010 2010 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 2010 6 7 B 9 10 2010 2010 2010 2010 2010 2010 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2011 2012 2012 2012 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 0.09600 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 -0.00980 0.00470 0.08110 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 -0.05500 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 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-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 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 OTO0013 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 0.00008 0.00008 0.0000B 0.0000B 0.00009 0.00008 0.00008 0.00000 0.00006 2012 2012 2012 2012 2012 2012 2012 2012 2012