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).

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. 4. Calculate the weights required to achieve the optimal (tangency) risky portfolio, given the possibility of investing in risk-free T-bills. What is the expected return and the standard deviation of the tangency 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 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 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 0.03607 0.00478 3 0.02350 0.02430 0.02710 0.00902 0.01176 -0.00401 0.04525 0.02534 0.02704 0.02733 000471 4 0.02590 0.01940 0.02710 0.01875 0.01718 -0.00026 -0.04762 0.03624 0.02506 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 0.02128 0.00452 7 0.06200 0.06280 0.03610 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 0.02168 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 -0.03338 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 0.00893 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 0.04206 0.02551 0.01343 0.00418 5 0.06500 0.02390 0.02480 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 0.06160 0.02480 0.00185 -0.00692 0.03937 -0.00549 0.03041 0.03246 0.01881 0.00424 9 0.03460 0.04470 0.05770 0.02217 0.02787 0.01741 -0.088-40 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 0.02613 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 0.06110 -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 -0.02650 0.01540 0.05640 0.01352 0.02252 -0.02752 -0.08065 0.01272 0.04237 0.05841 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 0.03080 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 9 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 000599 0.00951 0.02162 -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 -0.00099 -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 0.05622 0.05130 0.04995 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 -0.00436 0.03194 0.03944 0.00413 7 -0.06760 -0.07020 -0.01140 0.00167 -0.00050 -0.06492 0.00526 -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 0.06600 0.01781 0.04002 0.05661 0.39456 -0.00693 0.06383 0.06240 0.00330 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 6 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 7 8 9 0.02860 0.07740 0.03770 0.04190 -0.07110 -0.01790 0.09650 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 -0.09920 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 0.05060 -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 -0.06990 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 -0.0200B 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 0.00569 -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 0.00226 -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 -0.02460 -0.01627 0.03167 0.00329 -0.01191 0.03288 0.06719 0.00 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 0.02436 0.00196 0.01928 0.05999 0.00853 0.01354 0.02733 -0.05231 -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 -0.06429 -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 0.05227 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 0.05958 0.01268 -0.02963 -0.00142 0.05050 -0.02340 0.00607 -0.05895 -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 -0.01062 -0.07025 -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 0.01906 0.05784 -0.05090 -0.02011 0.09672 -0.03080 -0.02192 0.02393 -0.01634 0.06070 -0.05348 -0.00495 -0.08007 0.00405 0.03464 -0.09229 -0.06421 0.07681 0.00509 -0.02500 -0.01077 -0.08411 -0.08172 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 0.00429 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 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 GR 6 7 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 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 11 12 1 2 3 4 5 -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 -0.04760 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 0.06680 -0.00500 0.03560 0.00900 -0.04600 0.00760 -0.10520 0.08690 0.05540 -0.05750 -0.02750 -0.01760 0.01100 0.08120 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 -0.03490 0.00370 0.01170 0.01390 0.04110 0.03480 -0.02420 0.02050 -0.01600 -0.01840 0.03310 0.00160 0.03740 -0.00860 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 0.03466 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 -0.00513 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 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 0.01799 -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 0.00695 -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 0.00108 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 2004 2004 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2006 2006 2006 2006 2006 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 2008 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 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 -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 -0.03960 0.02100 0.01310 0.04510 0.03730 0.00400 0.02880 0.00280 0.01550 0.03560 0.04780 -0.01220 -0.04900 0.00090 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 0.04590 -0.08230 -0.10170 0.10000 0.14910 0.02830 0.00830 0.09460 0.037 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 0.04600 0.01510 -0.08360 -0.01160 0.01560 -0.09040 -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 -0.00538 -0.00688 -0.00821 0.00932 -0.06220 -0.09146 -0.00440 0.05518 0.01253 -0.01466 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 0.00596 -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 -0.00999 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 0.02155 -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 -0.09069 -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 0.08042 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 0.21444 0.07718 -0.09242 -0.08753 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 0.09629 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 0.01295 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 0.01056 -0.09801 -0.18460 -0.08461 0.02215 -0.07733 -0.10018 0.08869 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 -0.06116 -0.03476 -0.00596 0.04755 0.01067 -0.08596 -0.00986 0.01219 -0.09079 -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 0.05738 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 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 4 $ 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 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 0.07450 -0.08110 -0.08270 0.06330 -0.08380 0.12170 0.04780 0.03960 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 0.08320 0.04190 0.01870 -0.00840 -0.07030 0.03010 -0.00850 0.03820 0.02520 -0.01250 0.01890 0.02590 0.08580 0.09100 0.05530 0.00190 0.07400 0.03210 0.03700 -0.01660 0.05930 0.01990 -0.03420 0.03140 0.05880 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 0905148 -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 0.04084 0.08056 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 0.31020 0.02157 -0.03732 0.10473 0.13390 0.06395 -0.04504 0.06911 0.07150 -0.05211 0.06339 0.10184 0.06942 -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 0.05966 0.02170 0.00120 -0.01233 -0.00251 -0.00272 0.03648 0.08814 -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 -0.04260 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 0.08383 0.13457 -0.01260 -0.09234 -0.02417 0.08222 0.09629 0.08380 0.00297 009785 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 0.10098 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 D.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 0.02001 -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 -0.06553 0.038 16 0.01027 0.02627 0.02654 -0.01410 0.00619 0.01253 008541 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 0.01260 0.01976 0.02424 -0.01979 0.00285 0.00707 O100013 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 0.00008 0.00008 0.00009 0.00008 0.00008 0.00006 0.00006 7 8 9 10 11 12 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. 4. Calculate the weights required to achieve the optimal (tangency) risky portfolio, given the possibility of investing in risk-free T-bills. What is the expected return and the standard deviation of the tangency 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 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1997 1998 1998 1998 1998 1998 1998 1998 1998 1998 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 0.03607 0.00478 3 0.02350 0.02430 0.02710 0.00902 0.01176 -0.00401 0.04525 0.02534 0.02704 0.02733 000471 4 0.02590 0.01940 0.02710 0.01875 0.01718 -0.00026 -0.04762 0.03624 0.02506 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 0.02128 0.00452 7 0.06200 0.06280 0.03610 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 0.02168 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 -0.03338 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 0.00893 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 0.04206 0.02551 0.01343 0.00418 5 0.06500 0.02390 0.02480 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 0.06160 0.02480 0.00185 -0.00692 0.03937 -0.00549 0.03041 0.03246 0.01881 0.00424 9 0.03460 0.04470 0.05770 0.02217 0.02787 0.01741 -0.088-40 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 0.02613 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 0.06110 -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 -0.02650 0.01540 0.05640 0.01352 0.02252 -0.02752 -0.08065 0.01272 0.04237 0.05841 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 0.03080 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 9 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 000599 0.00951 0.02162 -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 -0.00099 -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 0.05622 0.05130 0.04995 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 -0.00436 0.03194 0.03944 0.00413 7 -0.06760 -0.07020 -0.01140 0.00167 -0.00050 -0.06492 0.00526 -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 0.06600 0.01781 0.04002 0.05661 0.39456 -0.00693 0.06383 0.06240 0.00330 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 6 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 7 8 9 0.02860 0.07740 0.03770 0.04190 -0.07110 -0.01790 0.09650 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 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0.02421 0.05861 -0.01986 0.03656 -0.04153 -0.02861 0.05503 0.02436 0.00196 0.01928 0.05999 0.00853 0.01354 0.02733 -0.05231 -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 -0.06429 -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 0.05227 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 0.05958 0.01268 -0.02963 -0.00142 0.05050 -0.02340 0.00607 -0.05895 -0.09285 0.07439 0.06202 0.06305 0.03846 -0.03809 0.03793 0.04911 -0.02071 0.05082 -0.03072 -0.00999 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0.00138 0.00144 0.00149 0.00143 0.00144 0.00142 0.00140 0.00135 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 GR 6 7 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 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 11 12 1 2 3 4 5 -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 -0.04760 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 0.06680 -0.00500 0.03560 0.00900 -0.04600 0.00760 -0.10520 0.08690 0.05540 -0.05750 -0.02750 -0.01760 0.01100 0.08120 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 -0.03490 0.00370 0.01170 0.01390 0.04110 0.03480 -0.02420 0.02050 -0.01600 -0.01840 0.03310 0.00160 0.03740 -0.00860 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 0.03466 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 -0.00513 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 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 0.01799 -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 0.00695 -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 0.00108 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 2004 2004 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2005 2006 2006 2006 2006 2006 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 2008 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 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 -0.00520 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