b = -1.000 | b = -5.000 | b = -10.000 | b = -11.000 | b = -12.500 | b = -14.000 | b = -15.500 | ||
a = 0.000 | P/D sd(P/D) R sd(R) rf sd(rf) ep corr(x,R) Sharpe | 16.66 0.53 8.00 4.60 7.88 2.53 0.11 0.83 0.02 | 17.59 2.06 8.14 10.36 7.73 6.94 0.42 0.38 0.04 | 19.91 3.68 8.21 15.78 6.20 6.78 2.00 0.25 0.13 | 20.26 3.96 8.26 16.66 5.75 6.26 2.51 0.24 0.15 | 20.51 4.29 8.42 17.92 4.82 5.27 3.60 0.22 0.20 | 20.22 4.45 8.72 19.17 3.28 4.39 5.44 0.21 0.28 | 19.12 4.38 9.27 20.53 0.66 5.21 8.62 0.20 0.42 |