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braverock
GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/paper_analysis/riskcont/mES/EqualWeight_CC.csv
1433 views
"Bond","SP500","NAREIT","SPGSCI"
"Q1y_1981",0.205045001755518,0.155963049118548,0.310513625693101,0.328478323432833
"Q2y_1981",0.122534251661154,0.188255018836575,0.324967092465078,0.364243637037193
"Q3y_1981",0.164925045143408,0.182732397706326,0.301400726377775,0.350941830772491
"Q4y_1981",0.145046623043631,0.185340850069532,0.31933679695213,0.350275729934707
"Q1y_1982",0.377434166847633,0.121387329844256,0.214681853190084,0.286496650118027
"Q2y_1982",0.315154846764165,0.146550576633706,0.228930568105447,0.309364008496683
"Q3y_1982",0.269085049101344,0.162174895207563,0.24487406449706,0.323865991194033
"Q4y_1982",0.293087749133591,0.166141222485757,0.227938339640736,0.312832688739916
"Q1y_1983",0.264135971204595,0.175535029463172,0.242468257118439,0.317860742213794
"Q2y_1983",0.226254682250947,0.181223055325941,0.25615158488524,0.336370677537872
"Q3y_1983",0.190983654388826,0.190894133074983,0.263291759468947,0.354830453067245
"Q4y_1983",0.180144914521337,0.19649878514521,0.258211710804925,0.365144589528527
"Q1y_1984",0.152124412263269,0.209542044318184,0.252321955052052,0.386011588366494
"Q2y_1984",0.136876007752826,0.217909045577782,0.246766442825574,0.398448503843817
"Q3y_1984",0.182443530992799,0.281050554308479,0.313904046865873,0.22260186783285
"Q4y_1984",0.17890953187648,0.22570480979311,0.25669701236117,0.338688645969241
"Q1y_1985",0.208846917066761,0.249555501615083,0.233521947403476,0.308075633914679
"Q2y_1985",0.19848615855631,0.263914596463305,0.246144898965234,0.291454346015149
"Q3y_1985",0.220330611056948,0.268214364613149,0.214211717591073,0.29724330673883
"Q4y_1985",0.163727459285625,0.243542232679012,0.319497010833059,0.273233297202303
"Q1y_1986",0.19059192669937,0.235999849575841,0.272909906839936,0.300498316884854
"Q2y_1986",0.170237842974304,0.209533219325747,0.224586866870494,0.395642070829457
"Q3y_1986",0.148093243522985,0.218238742575414,0.214711616181377,0.418956397720223
"Q4y_1986",0.123422609619766,0.240066165937928,0.218715847089148,0.417795377353157
"Q1y_1987",0.112408795486599,0.254312609743519,0.221442655851274,0.411835938918608
"Q2y_1987",0.0969278544244587,0.259757640126296,0.187982374122706,0.45533213132654
"Q3y_1987",0.117069700151786,0.252229574402184,0.195149463697121,0.435551261748908
"Q4y_1987",0.128635504818579,0.249900163303917,0.207076144310862,0.414388187566642
"Q1y_1988",0.0962897609620694,0.262118258337074,0.377310223189915,0.264281757510942
"Q2y_1988",0.111640527434777,0.273966088390574,0.340913057806646,0.273480326368002
"Q3y_1988",0.110224600304491,0.293193444473834,0.311089512326771,0.285492442894904
"Q4y_1988",0.102746051605706,0.318182979373786,0.294369272386375,0.284701696634134
"Q1y_1989",0.0970366154380852,0.311253837378482,0.269693409527864,0.322016137655569
"Q2y_1989",0.0891773484273089,0.316666809554596,0.261793298646951,0.332362543371144
"Q3y_1989",0.0999942485363095,0.325558165714289,0.245451167127259,0.328996418622142
"Q4y_1989",0.0988089558484932,0.322547257059688,0.240837659021008,0.337806128070812
"Q1y_1990",0.0870651026685076,0.302183245772607,0.273354464338966,0.33739718721992
"Q2y_1990",0.0798304791983596,0.31630346087309,0.288653707361586,0.315212352566964
"Q3y_1990",0.086112874710225,0.332817633222486,0.270263429824899,0.310806062242389
"Q4y_1990",0.0283385941756945,0.113151240293256,0.182970129563759,0.67554003596729
"Q1y_1991",0.0433322636257006,0.288381757426639,0.329870089096485,0.338415889851175
"Q2y_1991",0.0299144561879137,0.269364442651044,0.363570441743597,0.337150659417446
"Q3y_1991",0.0289090570651858,0.321691700472723,0.309209466050004,0.340189776412086
"Q4y_1991",0.0349428598055247,0.357225235818174,0.267562806288424,0.340269098087877
"Q1y_1992",0.0240059018113052,0.272013042362355,0.190165930682273,0.513815125144067
"Q2y_1992",0.0369756625989398,0.345202985673397,0.279951092328089,0.337870259399575
"Q3y_1992",0.0310071381011344,0.359369022964605,0.261084360398026,0.348539478536235
"Q4y_1992",0.0232109830158627,0.377575461801878,0.256136486723983,0.343077068458276
"Q1y_1993",0.0308103555520597,0.383245713951459,0.230636484811407,0.355307445685074
"Q2y_1993",0.0188743661333153,0.336490423506909,0.346448740488737,0.298186469871038
"Q3y_1993",0.0138259977160945,0.31987642819759,0.290719858055288,0.375577716031027
"Q4y_1993",0.0120573048563384,0.376478091614656,0.291549410558537,0.319915192970468
"Q1y_1994",0.0156485980010317,0.314475018963044,0.284897190681151,0.384979192354773
"Q2y_1994",0.0561705862718874,0.314814764232909,0.294021224813554,0.33499342468165
"Q3y_1994",0.0553469135608449,0.348579417632138,0.276864431570258,0.319209237236759
"Q4y_1994",0.0526127694841547,0.313080237800879,0.230214278408273,0.404092714306694
"Q1y_1995",0.0399394980516587,0.300703736893876,0.319816704762535,0.339540060291931
"Q2y_1995",0.0433505936777836,0.345321789656517,0.281380851084842,0.329946765580857
"Q3y_1995",0.0561860318018779,0.341970342312234,0.251645431758613,0.350198194127275
"Q4y_1995",0.0604107944731183,0.27747986297598,0.26749154537551,0.394617797175392
"Q1y_1996",0.0382610687308714,0.135016575936592,0.235721938676826,0.59100041665571
"Q2y_1996",0.0714745117036368,0.0925871827325482,0.257848169885259,0.578090135678556
"Q3y_1996",0.0934799213195629,-0.031985898983448,0.329151507758704,0.609354469905181
"Q4y_1996",0.0541009052287404,0.193187803577534,0.259502567946375,0.49320872324735
"Q1y_1997",0.0419400054757139,0.170141212807717,0.416551067144498,0.371367714572071
"Q2y_1997",0.0462207403427821,0.227320572826227,0.274859844198113,0.451598842632877
"Q3y_1997",0.0310488387407764,0.228340700998501,0.263328643610434,0.477281816650289
"Q4y_1997",0.0351623696849221,0.296043028361657,0.327493279063074,0.341301322890347
"Q1y_1998",0.0207807686910648,0.205913014456054,0.181295525328753,0.592010691524129
"Q2y_1998",0.0212519722215807,0.2784529391968,0.215065115920241,0.485229972661378
"Q3y_1998",0.0143538374569265,0.262693814247655,0.23804155407094,0.484910794224478
"Q4y_1998",0.00740264028753292,0.184361012455546,0.399028689553919,0.409207657703002
"Q1y_1999",0.00742384539279133,0.202929071614929,0.222234312998988,0.567412769993291
"Q2y_1999",0.0202161433625902,0.192221380730534,0.151645784484718,0.635916691422157
"Q3y_1999",0.0230684452821738,0.218994674328684,0.200572327490582,0.55736455289856
"Q4y_1999",0.0194983053153872,0.242584133054572,0.246840451643162,0.491077109986878
"Q1y_2000",0.0205307964631321,0.283359035338156,0.2276052720029,0.468504896195812
"Q2y_2000",0.017303799752068,0.320255862869646,0.203318130717618,0.459122206660668
"Q3y_2000",0.0171702379382931,0.26909955231118,0.192520238494003,0.521209971256523
"Q4y_2000",0.00767921547267006,0.220279500229367,0.206767150611194,0.565274133686769
"Q1y_2001",0.00779078046053116,0.243262188583199,0.24845304773092,0.500493983225349
"Q2y_2001",0.00501272211284529,0.328419710892282,0.189346114097546,0.477221452897326
"Q3y_2001",0.00360181950776108,0.283985181261611,0.211286723647491,0.501126275583137
"Q4y_2001",0.00510292615168229,0.26958516591154,0.195055401228287,0.53025650670849
"Q1y_2002",0.0185700630693062,0.271428249772717,0.200350230154246,0.509651457003729
"Q2y_2002",0.0260871900236134,0.246341742459387,0.186463962495749,0.541107105021251
"Q3y_2002",0.0210981882386692,0.356282818593087,0.160272810763261,0.462346182404984
"Q4y_2002",0.0129781413290682,0.432726072917191,0.205609290993616,0.348686494760125
"Q1y_2003",0.0138145487231985,0.436578257876818,0.183264094705041,0.366343098694941
"Q2y_2003",0.00744720168595978,0.259705186667892,0.104824698583254,0.628022913062894
"Q3y_2003",0.00701626403794404,0.281638056638977,0.137502834003536,0.573842845319543
"Q4y_2003",0.0359789760563737,0.299714702947358,0.152005167934837,0.512301153061431
"Q1y_2004",0.0360924504564533,0.326760070798455,0.176697394684032,0.46045008406106
"Q2y_2004",0.0299058185153756,0.320452716035593,0.22096986387544,0.428671601573591
"Q3y_2004",0.0298714003737912,0.20838076130365,0.445635398962403,0.316112439360156
"Q4y_2004",0.0275843914659666,0.207534355371435,0.255002535291657,0.509878717870941
"Q1y_2005",0.022941428938383,0.180197601155699,0.203887372555798,0.592973597350119
"Q2y_2005",0.0208908997184158,0.178839730635846,0.253062597537293,0.547206772108446
"Q3y_2005",0.0174830408635098,0.179588364560566,0.231391204546633,0.571537390029291
"Q4y_2005",0.0219743990635899,0.151867887446698,0.228158682681645,0.597999030808066
"Q1y_2006",0.0213872625447372,0.150479337489647,0.206589523819356,0.621543876146259
"Q2y_2006",0.0215561467819259,0.119378983647434,0.218952239704032,0.640112629866608
"Q3y_2006",0.0220473001160773,0.141758437543548,0.278321818773426,0.557872443566949
"Q4y_2006",0.015720621853435,0.09970257887132,0.191883013635915,0.69269378563933
"Q1y_2007",0.0158016570802518,0.0869096098441189,0.229899989824976,0.667388743250653
"Q2y_2007",0.0167213543318682,0.0891051801409855,0.311068714780737,0.58310475074641
"Q3y_2007",0.0140763461551488,0.102913913036618,0.45900927076849,0.424000470039743
"Q4y_2007",0.00777198663748937,0.107491418186341,0.392468814867319,0.492267780308851
"Q1y_2008",0.00675112510725575,0.116119274867826,0.417009222320703,0.460120377704215
"Q2y_2008",0.0054025401764419,0.199228349943409,0.306928468215365,0.488440641664785
"Q3y_2008",0.000677698064164667,0.209682204698794,0.380235629363481,0.40940446787356
"Q4y_2008",0.00431227213173157,0.208441479499219,0.177205793192666,0.610040455176384
"Q1y_2009",0.00693928142576997,0.0921925594434577,0.469158760600822,0.43170939852995
"Q2y_2009",0.00584077548335285,0.128441301375333,0.569628363532451,0.296089559608863
"Q3y_2009",0.00539142416667967,0.128515569936086,0.583255828951678,0.282837176945556
"Q4y_2009",0.00499471474366575,0.152038075352045,0.656655946575658,0.186311263328632
"Q1y_2010",0.0101477991020968,0.180228524788863,0.660020243744429,0.149603432364611
"Q2y_2010",0.0103818867953383,0.18649276067411,0.572001709284976,0.231123643245575
"Q3y_2010",0.0087008620150706,0.21575478661219,0.391787007308444,0.383757344064295