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braverock
GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/paper_analysis/riskcont/mES/MinRiskConc_PositionLimit_CC.csv
1433 views
"Bond","SP500","NAREIT","SPGSCI"
"Q1y_1981",0.25020659954426,0.249952259922376,0.250202349007415,0.249638791525949
"Q2y_1981",0.250193267467292,0.249782673880409,0.249780309968596,0.250243748683704
"Q3y_1981",0.24988213649627,0.249813150462644,0.250159685116532,0.250145027924554
"Q4y_1981",0.250255736056933,0.250080216812501,0.249998667733637,0.249665379396928
"Q1y_1982",0.249439971910388,0.250053862392011,0.250244968357646,0.250261197339954
"Q2y_1982",0.250084900962412,0.25006028257562,0.249975439409112,0.249879377052856
"Q3y_1982",0.249873601024141,0.249947210875631,0.25014256465517,0.250036623445058
"Q4y_1982",0.250057999043628,0.249775365641282,0.250223060178575,0.249943575136515
"Q1y_1983",0.249906334766062,0.250237856593366,0.249902620865817,0.249953187774754
"Q2y_1983",0.250142930707684,0.249937274359093,0.250073005181978,0.249846789751245
"Q3y_1983",0.250035700971758,0.249899674639244,0.2500456313052,0.250018993083798
"Q4y_1983",0.250063043289884,0.249963585799394,0.250019353370143,0.249954017540579
"Q1y_1984",0.250084141360853,0.249957798869343,0.249973082578221,0.249984977191584
"Q2y_1984",0.25000746705444,0.250022076140378,0.250017617953687,0.249952838851496
"Q3y_1984",0.250415597367871,0.250164910109796,0.249399378114797,0.250020114407535
"Q4y_1984",0.250266568954239,0.250266634428383,0.249819809029784,0.249646987587591
"Q1y_1985",0.249963815630309,0.250145013320862,0.249926400829402,0.249964770219425
"Q2y_1985",0.25000064387652,0.249942496128443,0.249892652403113,0.250164207591924
"Q3y_1985",0.250227272753886,0.249959111221102,0.249670428691775,0.250143187333237
"Q4y_1985",0.249930027206089,0.249947660959176,0.24998797486734,0.250134336967396
"Q1y_1986",0.250154436459902,0.249878453372987,0.249993291415074,0.249973818752035
"Q2y_1986",0.250082184792947,0.250233419872241,0.250233011901479,0.249451383433332
"Q3y_1986",0.250154187656287,0.249972745503161,0.249873252194252,0.2499998146463
"Q4y_1986",0.250226962413982,0.249971792659688,0.249651129572174,0.250150115354155
"Q1y_1987",0.250299177701448,0.250184515161307,0.250090819787235,0.24942548735001
"Q2y_1987",0.25018986149345,0.249726940378275,0.250357923387375,0.249725274740901
"Q3y_1987",0.249998114537995,0.250157642039449,0.249989385029559,0.249854858392996
"Q4y_1987",0.249911857652035,0.250006503567537,0.249898862768606,0.250182776011821
"Q1y_1988",0.250017635834953,0.250031134329023,0.249850542162512,0.250100687673511
"Q2y_1988",0.250295746739054,0.250078588892948,0.250108576484442,0.249517087883555
"Q3y_1988",0.250323761114231,0.250014428776681,0.249741677883317,0.249920132225772
"Q4y_1988",0.250265498940071,0.250144680517926,0.249677786319367,0.249912034222635
"Q1y_1989",0.249884315494106,0.24962947241218,0.250371149115142,0.250115062978572
"Q2y_1989",0.244943842029127,0.251845862452209,0.251746983039613,0.251463312479051
"Q3y_1989",0.250129930724373,0.250052838430771,0.249684026359728,0.250133204485127
"Q4y_1989",0.249982509273503,0.249924224917653,0.250036170428183,0.250057095380661
"Q1y_1990",0.243302201019507,0.252142738049944,0.252286169241234,0.252268891689314
"Q2y_1990",0.226688193152724,0.258232045008375,0.25681693723738,0.258262824601521
"Q3y_1990",0.242600097802215,0.252388756743312,0.252511697136954,0.252499448317519
"Q4y_1990",0.11993158696473,0.293689612546671,0.29398466022331,0.292394140265289
"Q1y_1991",0.168998792227442,0.27670294609915,0.277403350574462,0.276894911098945
"Q2y_1991",0.136038696630235,0.288125714998246,0.288103762495366,0.287731825876153
"Q3y_1991",0.133528532993434,0.289220941816485,0.288561964616389,0.288688560573692
"Q4y_1991",0.156713388859946,0.280792759622003,0.280999156082697,0.281494695435354
"Q1y_1992",0.129560407964294,0.290275244802973,0.289990415157702,0.290173932075031
"Q2y_1992",0.172203212912791,0.275875419084373,0.276178237805598,0.275743130197238
"Q3y_1992",0.159675987410376,0.280122376364968,0.280144229385551,0.280057406839104
"Q4y_1992",0.143762691723634,0.285598613390583,0.28536708095481,0.285271613930973
"Q1y_1993",0.167764514119161,0.277416378131629,0.277384621190166,0.277434486559043
"Q2y_1993",0.126897485058718,0.290984011232124,0.290883057625295,0.291235446083862
"Q3y_1993",0.106690698947558,0.297819770013508,0.297778101157011,0.297711429881923
"Q4y_1993",0.109202806343249,0.297005925326939,0.296920866528439,0.296870401801373
"Q1y_1994",0.102552036811648,0.298426373064476,0.299551889601644,0.299469700522232
"Q2y_1994",0.211464648295433,0.262582075189032,0.263118337331855,0.262834939183681
"Q3y_1994",0.212928630214169,0.262347818504322,0.262267905738827,0.262455645542681
"Q4y_1994",0.201948169975329,0.266199360418173,0.265811582266467,0.266040887340031
"Q1y_1995",0.162193073820055,0.279275424811593,0.279248029614246,0.279283471754106
"Q2y_1995",0.175852220056458,0.274789092924641,0.274927972879383,0.274430714139517
"Q3y_1995",0.211005043276729,0.262751213389419,0.263542260004592,0.262701483329259
"Q4y_1995",0.223425909773393,0.259132213659795,0.259031964709581,0.258409911857231
"Q1y_1996",0.16513784130173,0.278678412110568,0.278406949198139,0.277776797389562
"Q2y_1996",0.25008019775042,0.249569116314803,0.250196783952037,0.25015390198274
"Q3y_1996",0.284482893400051,0.148536305881293,0.282895117572372,0.284085683146285
"Q4y_1996",0.208920004414126,0.264146632388288,0.26350466710713,0.263428696090456
"Q1y_1997",0.168219529073183,0.277644412423506,0.27683952194611,0.277296536557201
"Q2y_1997",0.175344505177735,0.274684612024007,0.275187186226695,0.274783696571564
"Q3y_1997",0.134530761263691,0.288749031269308,0.28875444351927,0.287965763947732
"Q4y_1997",0.144412115047081,0.285095300899851,0.285494022431299,0.284998561621768
"Q1y_1998",0.107369724747655,0.297639552506844,0.29736958839581,0.297621134349691
"Q2y_1998",0.111565714459922,0.296136535936227,0.296269645795389,0.296028103808462
"Q3y_1998",0.0906346417665979,0.303143038162974,0.303138191183895,0.303084128886533
"Q4y_1998",0.0523253386041897,0.316071163109544,0.316477263261625,0.315126235024641
"Q1y_1999",0.0538837106295082,0.315422792280409,0.315740936832083,0.314952560257999
"Q2y_1999",0.0955898928424842,0.301374821479528,0.301767091023553,0.301268194654435
"Q3y_1999",0.100087963715159,0.299812322352666,0.29959795540741,0.300501758524765
"Q4y_1999",0.0894468982604483,0.303795959349727,0.303630377738141,0.303126764651684
"Q1y_2000",0.0954143558797615,0.30171634391465,0.301168235916825,0.301701064288763
"Q2y_2000",0.0903020754483189,0.303646437075298,0.302726681724845,0.303324805751538
"Q3y_2000",0.0893692587114421,0.303692523284228,0.303674148768215,0.303264069236113
"Q4y_2000",0.0547195601308437,0.31511074388606,0.314867797972617,0.315301898010479
"Q1y_2001",0.056720976132047,0.314704799226534,0.314529933673899,0.314044290967521
"Q2y_2001",0.0536411690694884,0.315472783021326,0.315375430587077,0.315510617322109
"Q3y_2001",0.0469843669447259,0.318011576710133,0.318069569864288,0.316934486480854
"Q4y_2001",0.0440475641380471,0.318748648505362,0.31878358421282,0.318420203143772
"Q1y_2002",0.0904842005028329,0.30363291980397,0.303401812839081,0.302481066854117
"Q2y_2002",0.107863818750547,0.29767712782661,0.297770039035737,0.296689014387105
"Q3y_2002",0.0967443558033691,0.300907508622921,0.301306775604512,0.301041359969198
"Q4y_2002",0.0700863915012763,0.309859488430933,0.31004354132589,0.3100105787419
"Q1y_2003",0.0732936141913096,0.308972862079766,0.309088400650556,0.308645123078369
"Q2y_2003",0.0542396535116601,0.31514805069352,0.315365934441932,0.315246361352888
"Q3y_2003",0.0513490118381269,0.31643670380497,0.31722643050165,0.314987853855254
"Q4y_2003",0.148827024142773,0.28413798803308,0.283929167216161,0.283105820607985
"Q1y_2004",0.146433667530869,0.284592769008006,0.284711962620365,0.284261600840759
"Q2y_2004",0.125729752351611,0.291600847655114,0.291527989658594,0.291141410334681
"Q3y_2004",0.12521401971402,0.291494720456876,0.291550847446364,0.29174041238274
"Q4y_2004",0.116980811702024,0.294622351593881,0.293982472384456,0.294414364319638
"Q1y_2005",0.108322486279877,0.296994665133575,0.297483851162957,0.297198997423591
"Q2y_2005",0.100633285126432,0.299863890837547,0.299841078817138,0.299661745218883
"Q3y_2005",0.092973442933802,0.302400650679627,0.302361041768504,0.302264864618067
"Q4y_2005",0.108478829463853,0.297304772027276,0.297078736182644,0.297137662326228
"Q1y_2006",0.107748874644103,0.297774549915635,0.297537641903838,0.296938933536425
"Q2y_2006",0.111771558099654,0.295967002326778,0.296146142522581,0.296115297050986
"Q3y_2006",0.107216784099969,0.297724365915801,0.297540447185728,0.297518402798502
"Q4y_2006",0.100856449210129,0.300162958449711,0.299525539017273,0.299455053322886
"Q1y_2007",0.104170761480623,0.298673039841367,0.298647474665038,0.298508724012971
"Q2y_2007",0.103677740324676,0.299342434144831,0.297956889062861,0.299022936467632
"Q3y_2007",0.0930376193142702,0.302496060592117,0.302234605328232,0.30223171476538
"Q4y_2007",0.0662595550963503,0.311255905462423,0.311245445538967,0.31123909390226
"Q1y_2008",0.0578428873827101,0.31429237407458,0.313505138130988,0.314359600411722
"Q2y_2008",0.0491707087808771,0.317229590959879,0.316450022043238,0.317149678216006
"Q3y_2008",0.0304664408386467,0.323321891425043,0.323070516004782,0.323141151731528
"Q4y_2008",0.0354878403313347,0.32169385229883,0.321590241180696,0.32122806618914
"Q1y_2009",0.0285745912427642,0.323451909448994,0.324101964832067,0.323871534476174
"Q2y_2009",0.0259747631922658,0.325160599397785,0.324143888485252,0.324720748924697
"Q3y_2009",0.0265242169986922,0.324964924880162,0.324210255453927,0.32430060266722
"Q4y_2009",0.03559760569845,0.321591516210096,0.321222849155061,0.321588028936393
"Q1y_2010",0.0664631340544685,0.311166630994996,0.310349190387528,0.312021044563008
"Q2y_2010",0.0570345046861039,0.314695309311966,0.314701211248081,0.31356897475385
"Q3y_2010",0.0390478419950157,0.320258394512794,0.320355585654953,0.320338177837237