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braverock
GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/paper_analysis/riskcont/mES/MinRisk_RiskLimit.csv
1433 views
"Bond","SP500","EAFE","SPGSCI"
"Q1y_1984",0.399992416,0.20505235,0.191771496,0.203183738
"Q2y_1984",0.399996659,0.142858417,0.231335024,0.2258099
"Q3y_1984",0.399920935,0.173028744,0.027170681,0.39987964
"Q4y_1984",0.399994621,0.249061846,0.039367903,0.311575629
"Q1y_1985",0.399992693,0.260879558,0.054195022,0.284932727
"Q2y_1985",0.399997393,0.298451891,0.048487474,0.253063241
"Q3y_1985",0.399998293,0.219531074,0.019039896,0.361430737
"Q4y_1985",0.399934911,0.138431618,0.061710235,0.399923236
"Q1y_1986",0.399989724,0.18190174,0.064106546,0.354001989
"Q2y_1986",0.399996242,0.373140787,0.115374123,0.111488848
"Q3y_1986",0.399987165,0.397225061,0.09379965,0.108988124
"Q4y_1986",0.399996383,0.18032199,0.373631527,0.046050099
"Q1y_1987",0.399969885,0.39740554,0.088570725,0.114053851
"Q2y_1987",0.399998272,0.397819064,0.05311865,0.149064014
"Q3y_1987",0.399999375,0.159171719,0.399951357,0.04087755
"Q4y_1987",0.399971068,0.163875427,0.399925962,0.036227543
"Q1y_1988",0.39999133,0.077766567,0.159485801,0.362756302
"Q2y_1988",0.399961101,0.062146841,0.139366482,0.398525576
"Q3y_1988",0.399899573,0.082189042,0.117937335,0.39997405
"Q4y_1988",0.399999436,0.086798265,0.113204253,0.399998045
"Q1y_1989",0.399970052,0.066855782,0.133343745,0.399830421
"Q2y_1989",0.399814262,0.087527988,0.113212351,0.399445399
"Q3y_1989",0.399942792,0.134871834,0.065260669,0.399924705
"Q4y_1989",0.399993806,0.176943714,0.023063297,0.399999182
"Q1y_1990",0.399977954,0.148016553,0.052086122,0.399919371
"Q2y_1990",0.399900842,0.199060172,0.001100723,0.399938263
"Q3y_1990",0.399986874,0.156022702,0.044010765,0.399979659
"Q4y_1990",0.399873114,0.19978169,0.00038728,0.399957915
"Q1y_1991",0.399934839,0.199853216,0.000406192,0.399805753
"Q2y_1991",0.399980403,0.197690405,0.002640904,0.399688289
"Q3y_1991",0.399998885,0.200000997,1.505e-06,0.399998613
"Q4y_1991",0.399999043,0.199997346,4.226e-06,0.399999384
"Q1y_1992",0.399996793,0.200001007,4.727e-06,0.399997473
"Q2y_1992",0.399997932,0.200002133,6.78e-07,0.399999257
"Q3y_1992",0.399991692,0.196892086,0.003182321,0.399933901
"Q4y_1992",0.399998074,0.20000074,1.0574e-05,0.399990612
"Q1y_1993",0.399989209,0.200000212,1.331e-05,0.39999727
"Q2y_1993",0.399999907,0.199999996,1.179e-06,0.399998918
"Q3y_1993",0.39996854,0.200416492,0.002223958,0.39739101
"Q4y_1993",0.399999295,0.178780702,0.021225288,0.399994715
"Q1y_1994",0.399875374,0.200140611,0.001237688,0.398746327
"Q2y_1994",0.399923312,0.199790446,0.001450043,0.398836199
"Q3y_1994",0.399913397,0.182338573,0.017764096,0.399983934
"Q4y_1994",0.39997518,0.152532014,0.047752099,0.399740708
"Q1y_1995",0.399998314,0.199826377,0.000183061,0.399992248
"Q2y_1995",0.399935023,0.192127625,0.008478089,0.399459263
"Q3y_1995",0.399878084,0.200065448,0.000153647,0.39990282
"Q4y_1995",0.399999956,0.200001017,2.82e-07,0.399998744
"Q1y_1996",0.399999986,0.199999226,1.289e-06,0.399999499
"Q2y_1996",0.399999776,0.299827337,8.868e-06,0.300164019
"Q3y_1996",0.399999167,0.388968436,7.21e-07,0.211031676
"Q4y_1996",0.39998229,0.200587547,2.1671e-05,0.399408492
"Q1y_1997",0.399946115,0.201035309,2.1677e-05,0.398996898
"Q2y_1997",0.399972861,0.197626498,0.003054356,0.399346285
"Q3y_1997",0.399998621,0.199977378,2.6065e-05,0.399997936
"Q4y_1997",0.399918664,0.198240066,0.002298829,0.399542441
"Q1y_1998",0.399964555,0.200064819,0.002128882,0.397841744
"Q2y_1998",0.39999993,0.199974543,2.9335e-05,0.399996193
"Q3y_1998",0.399988993,0.141979816,0.05809816,0.399933031
"Q4y_1998",0.399995455,0.002754738,0.197323628,0.39992618
"Q1y_1999",0.399977007,0.215991631,0.162486087,0.221545275
"Q2y_1999",0.399975169,0.158054352,0.259267425,0.182703054
"Q3y_1999",0.39999095,0.29519325,0.163099094,0.141716706
"Q4y_1999",0.39999898,0.092277135,0.311388414,0.196335471
"Q1y_2000",0.399960454,0.17530577,0.392554112,0.032179665
"Q2y_2000",0.399972353,0.204477005,0.187800202,0.207750439
"Q3y_2000",0.399972811,0.133501576,0.078541106,0.387984507
"Q4y_2000",0.399914792,0.200532758,0.193697303,0.205855148
"Q1y_2001",0.399834628,0.000329425,0.202412866,0.397423081
"Q2y_2001",0.39999473,6.172e-06,0.200008742,0.399990356
"Q3y_2001",0.399997852,0.004231634,0.196370738,0.399399776
"Q4y_2001",0.399997539,4.035e-06,0.200021734,0.399976693
"Q1y_2002",0.399982949,1.7549e-05,0.357045957,0.242953546
"Q2y_2002",0.399750608,0.000169934,0.295897305,0.304182153
"Q3y_2002",0.399999991,8.5e-08,0.340529886,0.259470038
"Q4y_2002",0.39999944,3.03e-06,0.225786639,0.374210891
"Q1y_2003",0.399521964,0.000898704,0.282210073,0.317369259
"Q2y_2003",0.399877322,0.009300559,0.365153744,0.225668375
"Q3y_2003",0.39999448,0.085559923,0.399961398,0.1144842
"Q4y_2003",0.399999873,0.047424649,0.399993022,0.152582456
"Q1y_2004",0.39978999,0.008425822,0.397541737,0.19424245
"Q2y_2004",0.399372083,0.007769736,0.393234047,0.199624133
"Q3y_2004",0.399929089,0.021970196,0.348717335,0.229383381
"Q4y_2004",0.399884487,0.039872558,0.334236605,0.22600635
"Q1y_2005",0.399925691,0.076099388,0.367167476,0.156807444
"Q2y_2005",0.399982499,0.092806217,0.347828558,0.159382726
"Q3y_2005",0.399999741,0.140807532,0.316452325,0.142740403
"Q4y_2005",0.399890024,0.161372156,0.339648382,0.099089437
"Q1y_2006",0.399999825,0.261515442,0.296770383,0.04171435
"Q2y_2006",0.399989456,0.323928372,0.249071553,0.027010618
"Q3y_2006",0.399973432,0.377790455,0.175613367,0.046622746
"Q4y_2006",0.399988387,0.399981282,0.143973326,0.056057005
"Q1y_2007",0.399999247,0.399997282,0.171562447,0.028441024
"Q2y_2007",0.399999973,0.399997756,0.126759822,0.07324245
"Q3y_2007",0.399999965,0.399998438,0.119024221,0.080977376
"Q4y_2007",0.399810325,0.398049424,0.105504356,0.096635896
"Q1y_2008",0.399738253,0.399727882,0.107959304,0.092574561
"Q2y_2008",0.39863457,0.398465152,0.062033665,0.140866613
"Q3y_2008",0.399999459,0.399939717,0.056269139,0.143791684
"Q4y_2008",0.399928738,0.397105171,0.004005212,0.198960879
"Q1y_2009",0.399789593,0.398559605,0.20112786,0.000522942
"Q2y_2009",0.399976706,0.392378935,0.206906478,0.00073788
"Q3y_2009",0.3999925,0.399993068,0.199979169,3.5263e-05
"Q4y_2009",0.399814135,0.390120718,0.205081183,0.004983964
"Q1y_2010",0.399997072,0.399964656,0.200025239,1.3033e-05
"Q2y_2010",0.399635087,0.394845881,0.204203567,0.001315465
"Q3y_2010",0.399568602,0.398923151,0.007446524,0.194061723