TB3MS - 3-Month Treasury Bill Secondary Market Rate, Discount Basis, Percent, Monthly, Not Seasonally Adjusted

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\begin{tabular}{|r|r|r|r|} \hline observation_: & CE & SPY & TB3MS \\ \hline 20170901 & 52.98441 & 229.4049 & 1.03 \\ \hline 20171001 & 53.23533 & 235.9759 & 1.07 \\ \hline 20171101 & 54.16818 & 243.1887 & 1.23 \\ \hline 20171201 & 56.64534 & 244.8864 & 1.32 \\ \hline 20180101 & 59.06638 & 260.0102 & 1.41 \\ \hline 20180201 & 52.66653 & 250.5562 & 1.57 \\ \hline 20180301 & 53.19525 & 242.7162 & 1.70 \\ \hline 20180401 & 58.66038 & 244.9478 & 1.76 \\ \hline 20180501 & 60.41678 & 250.9022 & 1.86 \\ \hline 20180601 & 60.3532 & 251.217 & 1.90 \\ \hline 20180701 & 61.705 & 261.6936 & 1.96 \\ \hline 20180801 & 59.5607 & 270.0468 & 2.03 \\ \hline 20180901 & 60.60085 & 270.4282 & 2.13 \\ \hline 20181001 & 54.10534 & 252.8801 & 2.25 \\ \hline 20181101 & 53.25943 & 257.5708 & 2.33 \\ \hline 20181201 & 46.20221 & 233.5284 & 2.37 \\ \hline 20190101 & 51.86297 & 253.6989 & 2.37 \\ \hline 20190201 & 53.0583 & 261.9227 & 2.39 \\ \hline \end{tabular} \begin{tabular}{|l|l|l} \hline Performance Metrics & XLE & SP500 \\ \hline Average & & \\ \hline Sharpe Ratio & & \\ \hline Treynor Ratio & & \\ \hline Alpha & & \\ \hline CML Expected Return & & \\ \hline SML Expected Return & & \\ \hline Cumulative Return & & \\ \hline & XLE & SP500 \\ \hline Risk Metrics & & \\ \hline Standard Deviation & & \\ \hline Beta & & \\ \hline \end{tabular} Arbitrage Combine XIE and T-Bills so that the beta is equal to the SP500's Beta W_XLE w_T-Bills R_P R_SP500 Net Return from Arbitrage \begin{tabular}{|r|r|r|r|} \hline observation_: & CE & SPY & TB3MS \\ \hline 20170901 & 52.98441 & 229.4049 & 1.03 \\ \hline 20171001 & 53.23533 & 235.9759 & 1.07 \\ \hline 20171101 & 54.16818 & 243.1887 & 1.23 \\ \hline 20171201 & 56.64534 & 244.8864 & 1.32 \\ \hline 20180101 & 59.06638 & 260.0102 & 1.41 \\ \hline 20180201 & 52.66653 & 250.5562 & 1.57 \\ \hline 20180301 & 53.19525 & 242.7162 & 1.70 \\ \hline 20180401 & 58.66038 & 244.9478 & 1.76 \\ \hline 20180501 & 60.41678 & 250.9022 & 1.86 \\ \hline 20180601 & 60.3532 & 251.217 & 1.90 \\ \hline 20180701 & 61.705 & 261.6936 & 1.96 \\ \hline 20180801 & 59.5607 & 270.0468 & 2.03 \\ \hline 20180901 & 60.60085 & 270.4282 & 2.13 \\ \hline 20181001 & 54.10534 & 252.8801 & 2.25 \\ \hline 20181101 & 53.25943 & 257.5708 & 2.33 \\ \hline 20181201 & 46.20221 & 233.5284 & 2.37 \\ \hline 20190101 & 51.86297 & 253.6989 & 2.37 \\ \hline 20190201 & 53.0583 & 261.9227 & 2.39 \\ \hline \end{tabular} \begin{tabular}{|l|l|l} \hline Performance Metrics & XLE & SP500 \\ \hline Average & & \\ \hline Sharpe Ratio & & \\ \hline Treynor Ratio & & \\ \hline Alpha & & \\ \hline CML Expected Return & & \\ \hline SML Expected Return & & \\ \hline Cumulative Return & & \\ \hline & XLE & SP500 \\ \hline Risk Metrics & & \\ \hline Standard Deviation & & \\ \hline Beta & & \\ \hline \end{tabular} Arbitrage Combine XIE and T-Bills so that the beta is equal to the SP500's Beta W_XLE w_T-Bills R_P R_SP500 Net Return from Arbitrage