ASSET COMBINATIONS | PORTFOLIO RETURNS | PORTFOLIO COVARIANCE | PORTFOLIO RISK | PORTFOLIO SHARPE RATIO |
CAL-EBG | 0.027 | 0.000 | 0.074 | 0.159 |
CAL-GCB | 0.039 | 0.007 | 0.106 | 0.216 |
CAL-SCB | 0.025 | −0.001 | 0.094 | 0.101 |
CAL-HFC | 0.025 | 0.000 | 0.072 | 0.136 |
CAL-UGL | 0.028 | 0.001 | 0.070 | 0.179 |
CAL-GGL | 0.027 | 0.004 | 0.086 | 0.131 |
CAL-FMGL | 0.024 | −0.003 | 0.082 | 0.096 |
CAL-PZC | 0.019 | 0.001 | 0.105 | 0.030 |
CAL-TOTAL | 0.030 | 0.003 | 0.109 | 0.130 |
EBG-GCB | 0.032 | 0.000 | 0.080 | 0.198 |
EBG-SCB | 0.018 | 0.003 | 0.096 | 0.025 |
EBG-HFC | 0.018 | 0.002 | 0.067 | 0.041 |
EBG-UGL | 0.021 | 0.001 | 0.059 | 0.093 |
EBG-GGL | 0.020 | 0.001 | 0.066 | 0.064 |
EBG-FMGL | 0.016 | 0.000 | 0.081 | 0.010 |
EBG-PZC | 0.012 | 0.001 | 0.096 | −0.041 |
EBG-TOTAL | 0.023 | 0.001 | 0.097 | 0.073 |
GCB-SCB | 0.029 | 0.000 | 0.101 | 0.134 |
GCB-HFC | 0.030 | 0.000 | 0.078 | 0.179 |
GCB-UGL | 0.032 | 0.003 | 0.082 | 0.202 |
GCB-GGL | 0.031 | 0.004 | 0.092 | 0.167 |
GCB-FMGL | 0.028 | 0.005 | 0.106 | 0.113 |
GCB-PZC | 0.023 | 0.003 | 0.114 | 0.064 |
GCB-TOTAL | 0.034 | 0.008 | 0.123 | 0.149 |
SCB-HFC | 0.016 | 0.001 | 0.089 | 0.005 |
SCB-UGL | 0.019 | 0.001 | 0.087 | 0.036 |
SCB-GGL | 0.018 | 0.000 | 0.089 | 0.022 |
SCB-FMGL | 0.014 | 0.003 | 0.108 | −0.013 |
SCB-PZC | 0.009 | 0.001 | 0.114 | −0.055 |
SCB-TOTAL | 0.020 | 0.000 | 0.112 | 0.043 |
HFC-UGL | 0.019 | −0.001 | 0.052 | 0.068 |
HFC-GGL | 0.018 | 0.001 | 0.067 | 0.034 |
HFC-FMGL | 0.015 | 0.002 | 0.087 | −0.013 |
HFC-PZC | 0.010 | 0.001 | 0.095 | −0.062 |
HFC-TOTAL | 0.021 | 0.001 | 0.096 | 0.054 |