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braverock
GitHub Repository: braverock/portfolioanalytics
Path: blob/master/sandbox/paper_analysis/riskcont/mES/MinRisk_RiskLimit_CC.csv
1433 views
"Bond","SP500","NAREIT","SPGSCI"
"Q1y_1981",0.347124810154775,0.395085455631017,0.176230284911144,0.0815594493030641
"Q2y_1981",0.39995739583258,0.373463453088838,0.198147596645441,0.028431554433141
"Q3y_1981",0.399980492308174,0.351535103587342,0.192392673518761,0.0560917305857225
"Q4y_1981",0.399955172573215,0.372424762063254,0.18169505341346,0.0459250119500697
"Q1y_1982",0.134779365723376,0.399971069792623,0.275313753193388,0.189935811290613
"Q2y_1982",0.191164332985832,0.399898180373554,0.257411387394186,0.151526099246427
"Q3y_1982",0.242629136805615,0.399679409677807,0.234652576044767,0.123038877471812
"Q4y_1982",0.202318707211354,0.399873536885069,0.251731440499978,0.146076315403599
"Q1y_1983",0.247421053735434,0.381444615973222,0.233314324482717,0.137820005808627
"Q2y_1983",0.323033174314376,0.357738400328221,0.218094205280883,0.101134220076519
"Q3y_1983",0.399998755071285,0.328005339490105,0.205165275947431,0.0668306294911795
"Q4y_1983",0.39999871815982,0.323362227185019,0.216312246020632,0.060326808634528
"Q1y_1984",0.399945842530502,0.317043750749661,0.237792656058849,0.0452177506609885
"Q2y_1984",0.399977303536696,0.31043306522517,0.254201220391222,0.0353884108469122
"Q3y_1984",0.356162729552924,0.21197125387699,0.185185450472402,0.246680566097683
"Q4y_1984",0.399961642396672,0.274228595135064,0.228181498011826,0.0976282644564377
"Q1y_1985",0.36353979616155,0.237218769778663,0.254815225016265,0.144426209043522
"Q2y_1985",0.399863718773034,0.0122807084613702,0.189237964467629,0.398617608297967
"Q3y_1985",0.398954367969149,0.00683871164288805,0.194425678704457,0.399781241683506
"Q4y_1985",0.399471675264668,0.137750960549522,0.0633711829423643,0.399406181243447
"Q1y_1986",0.398373182968388,0.0027357284913053,0.198936317533862,0.399954771006445
"Q2y_1986",0.399594499497112,0.0044862247119598,0.198654196819137,0.397265078971791
"Q3y_1986",0.399529440479196,0.00410485616109123,0.196391063084376,0.399974640275337
"Q4y_1986",0.399490545556635,0.0262358541977269,0.174487639794641,0.399785960450998
"Q1y_1987",0.399944632970215,0.0103096298770971,0.189997336750374,0.399748400402315
"Q2y_1987",0.399625183192028,0.0105172865548974,0.191065096558376,0.398792433694699
"Q3y_1987",0.399874486133516,0.00315000761178112,0.197552765983056,0.399422740271646
"Q4y_1987",0.398827934225757,0.0203575282617381,0.22348065334803,0.357333884164475
"Q1y_1988",0.399747627251652,0.198259893539191,0.00226288977964009,0.399729589429518
"Q2y_1988",0.399904457849839,0.200019298078513,0.00117818768199552,0.398898056389653
"Q3y_1988",0.399826204861515,0.198806117462619,0.00270504525168367,0.398662632424183
"Q4y_1988",0.399682293975784,0.200056163513616,0.000787667166536322,0.399473875344063
"Q1y_1989",0.399944411201325,0.182548187519309,0.0186794112556727,0.398827990023693
"Q2y_1989",0.399213233103074,0.00267038014999882,0.199187818510608,0.398928568236318
"Q3y_1989",0.399441233209567,0.00131807926091572,0.199363941533847,0.399876745995672
"Q4y_1989",0.399785532957848,0.00368733503086559,0.197538976204801,0.398988155806485
"Q1y_1990",0.399914257061218,0.0457878771877935,0.154327505314054,0.399970360436935
"Q2y_1990",0.399780058810318,0.00209816774515569,0.199310350287188,0.398811423157337
"Q3y_1990",0.399308529277783,0.000171406692672988,0.200728354825135,0.399791709204408
"Q4y_1990",0.399781080521117,0.194237520296751,0.00645820336387068,0.399523195818261
"Q1y_1991",0.399718453064628,0.0122280381913014,0.18841154168576,0.399641967058311
"Q2y_1991",0.399866985586978,0.0134125507400479,0.188037481923215,0.39868298174976
"Q3y_1991",0.399601940079304,0.00169503023100819,0.199071952432978,0.39963107725671
"Q4y_1991",0.399726794260292,0.00165640785421218,0.19952372673979,0.399093071145706
"Q1y_1992",0.399867720510784,0.000687514752120347,0.199850935759795,0.399593828977301
"Q2y_1992",0.399975097967545,0.000147178799181546,0.200494048647606,0.399383674585668
"Q3y_1992",0.399710036562126,0.00067727742321488,0.199707172302494,0.399905513712166
"Q4y_1992",0.399957148261521,0.00148602149101898,0.198660803768529,0.39989602647893
"Q1y_1993",0.397436168841273,0.00402235691181244,0.199749612559756,0.398791861687158
"Q2y_1993",0.399933813128563,0.000342293731937508,0.201866190891571,0.397857702247928
"Q3y_1993",0.397424474202154,0.000828582803032675,0.254795883559556,0.346951059435258
"Q4y_1993",0.399794051602131,0.000825622433479418,0.200110208834499,0.39927011712989
"Q1y_1994",0.399200196759335,0.0171307075948208,0.190249964466143,0.393419131179702
"Q2y_1994",0.399984525782874,0.227069971871937,0.235829401397095,0.137116100948094
"Q3y_1994",0.399888048149029,0.200782419738019,0.24985245309198,0.149477079020972
"Q4y_1994",0.399973003900243,0.210836780148275,0.281942939955999,0.107247275995483
"Q1y_1995",0.399934704295215,0.244716906338003,0.219931723483421,0.135416665883359
"Q2y_1995",0.399923455683264,0.210221792853064,0.251213233229561,0.138641518234111
"Q3y_1995",0.399982033262136,0.201824399255197,0.264508767318504,0.133684800164164
"Q4y_1995",0.399958825850556,0.239558961324316,0.249875922198874,0.110606290626255
"Q1y_1996",0.399985009987262,0.35668910300378,0.217841140030858,0.0254847469781012
"Q2y_1996",0.399954356521137,0.385581563251998,0.175446495080786,0.039017585146081
"Q3y_1996",0.39966579770024,0.399661097812334,0.162985231238516,0.0376878732489088
"Q4y_1996",0.399987648554277,0.298032715390397,0.232894553610234,0.0690850824450922
"Q1y_1997",0.39993177367943,0.364707584851306,0.13764051539695,0.0977201260723145
"Q2y_1997",0.399985716430644,0.284477819818022,0.237954644523715,0.0775818192276193
"Q3y_1997",0.399979455973211,0.286669088490066,0.247698984440863,0.0656524710958585
"Q4y_1997",0.39993759064142,0.244126065211763,0.219651743059153,0.136284601087664
"Q1y_1998",0.399979320557083,0.256272885903356,0.312553935154141,0.031193858385419
"Q2y_1998",0.399989571126913,0.231649983956164,0.302303008423654,0.0660574364932686
"Q3y_1998",0.399982956076009,0.252874930353994,0.281324991685509,0.0658171218844868
"Q4y_1998",0.399949185417151,0.399597933436016,0.155655601167902,0.0447972799789304
"Q1y_1999",0.39988116951256,0.31253780423625,0.280722320444356,0.00685870580683451
"Q2y_1999",0.39999991612194,0.258513228361984,0.340659814233167,0.000827041282908946
"Q3y_1999",0.399991011833408,0.27620446150656,0.308467902120782,0.01533662453925
"Q4y_1999",0.399999883329808,0.287411622526785,0.274698523361539,0.0378899707818665
"Q1y_2000",0.399988192133187,0.253293784727962,0.296293189358579,0.0504248337802742
"Q2y_2000",0.399958578154707,0.211870919990104,0.335876123909963,0.052294377945225
"Q3y_2000",0.399991319225086,0.232308172444274,0.330750228697934,0.0369502796327066
"Q4y_2000",0.399991450181079,0.282483063193354,0.306609266369586,0.0109162202559818
"Q1y_2001",0.399991010091411,0.301756844597368,0.266254553254253,0.031997592056968
"Q2y_2001",0.399982688705078,0.19029444397841,0.376003979521061,0.0337188877954514
"Q3y_2001",0.399990459336348,0.232546549863865,0.340529456914892,0.0269335338848949
"Q4y_2001",0.3999984228874,0.234440533517025,0.360697100204089,0.00486394339148554
"Q1y_2002",0.399962305984412,0.230220512784064,0.33833506010047,0.0314821211310547
"Q2y_2002",0.399996845021567,0.23686400175257,0.343977693268918,0.0191614599569444
"Q3y_2002",0.399970428291091,0.161911259779093,0.396576706231864,0.0415416056979526
"Q4y_2002",0.399987250045462,0.128406071040532,0.382154865576409,0.089451813337596
"Q1y_2003",0.399982656201486,0.126073579424271,0.397326601608073,0.0766171627661704
"Q2y_2003",0.399979406579814,0.201019557700505,0.398310452472098,0.000690583247584403
"Q3y_2003",0.399996804616609,0.20144025247994,0.396706343532723,0.00185659937072804
"Q4y_2003",0.399970366668253,0.184685639230577,0.374961197563786,0.0403827965373835
"Q1y_2004",0.399979043256509,0.182123515582279,0.357576334285661,0.0603211068755502
"Q2y_2004",0.399953851621988,0.207994947421266,0.313007767557525,0.0790434333992215
"Q3y_2004",0.399996350352201,0.323155582322148,0.145001948529493,0.131846118796158
"Q4y_2004",0.399974567107783,0.303267210020898,0.256301064455055,0.0404571584162644
"Q1y_2005",0.399959190613788,0.301891004207151,0.27785606268259,0.0202937424964695
"Q2y_2005",0.399958547931357,0.33118901673806,0.235828911402962,0.0330235239276204
"Q3y_2005",0.399999008410464,0.317473833282549,0.257013627769735,0.0255135305372525
"Q4y_2005",0.399993736372237,0.34193272748732,0.236515720978378,0.0215578151620654
"Q1y_2006",0.399977457018838,0.340437974829202,0.248676687685931,0.0109078804660287
"Q2y_2006",0.399998327131901,0.384328993122127,0.209828422378254,0.00584425736771828
"Q3y_2006",0.399978233039861,0.385105733680037,0.191160957520474,0.0237550757596294
"Q4y_2006",0.399989211068772,0.395421310696814,0.204543228002579,4.62502318347817e-05
"Q1y_2007",0.399990142993963,0.399995374182547,0.195909265410147,0.00410521741334401
"Q2y_2007",0.399980087398451,0.399008706403392,0.188614667992736,0.0123965382054216
"Q3y_2007",0.399974739186242,0.398593720298614,0.140701958597412,0.0607295819177316
"Q4y_2007",0.399947828315155,0.398273967341436,0.174148536463506,0.027629667879902
"Q1y_2008",0.399980115558353,0.399625584505009,0.164265218499959,0.0361290814366769
"Q2y_2008",0.399995495502632,0.342141268840678,0.229206875371798,0.0286563602848909
"Q3y_2008",0.399989895873447,0.353869962999407,0.184710988666917,0.0614291524602291
"Q4y_2008",0.399950535541715,0.257784495114683,0.341864654121713,0.000400315221889497
"Q1y_2009",0.399714828247954,0.399729693811045,0.197075265703836,0.00348021223716523
"Q2y_2009",0.399287769561448,0.396621929351861,0.000315829937673432,0.203774471149017
"Q3y_2009",0.399768818509728,0.399862711037569,0.00127218337054362,0.199096287082159
"Q4y_2009",0.399923481147597,0.399119669575913,0.000261615111419371,0.200695234165071
"Q1y_2010",0.399996632495421,0.251278277287469,0.00583998164285874,0.34288510857425
"Q2y_2010",0.399979110158863,0.368412029419622,0.062867278395885,0.16874158202563
"Q3y_2010",0.399875799189933,0.399348424401843,0.179144086978635,0.0216316894295907