Date K L M Index K L M Index 2/22/2016 176.39999 82.39 15.86121 112.48 -0.031307544 -0.001334223 -0.457107096 0.017850409 2/19/2016 182.01 82.5 25.05275 110.49 -0.022813492 0.000606244 0.976114914 -0.007663564 CovarM 2/18/2016 186.21001 82.45 9.439176 111.34 0.019522392 0.005472802 -1.120849346 0.021424204 0.000536299 -2.30182E-05 0.001282236 2/17/2016 182.61 82 28.95428 108.98 0.039770613 0.009557725 0.430190752 0.027442306 -2.30182E-05 0.000410808 0.005627359 2/16/2016 175.49001 81.22 18.83143 106.03 -0.01279595 0.002342066 1.823424731 -0.012186128 0.001282236 0.005627359 0.927890632 2/12/2016 177.75 81.03 3.040745 107.33 -0.012856521 0.017805364 -1.05806002 0.00093214 VRS 2/11/2016 180.05 79.6 8.759708 107.23 -0.015978301 0.003145646 -1.236435865 -0.012787424 0.001072598 -4.60364E-05 0.002564472 1 0 0.421498598 0.582392092 -0.00389069 2/10/2016 182.95 79.35 30.16247 108.61 0.002627116 -0.009157688 2.286753824 0.005354518 -4.60364E-05 0.000821616 0.011254718 1 0 2/9/2016 182.47 80.08 3.064378 108.03 0.004669184 -0.01339638 -1.40065036 0.011263791 0.002564472 0.011254718 1.855781263 1 0 9.52795E-05 -5.65044E-06 -2.10277E-06 2/8/2016 181.62 81.16 12.43475 106.82 -0.01046155 0.01339638 -0.828640047 -0.017814537 1 1 1 0 1 -5.65044E-06 0.000139338 -1.27511E-05 2/5/2016 183.53 80.08 28.47809 108.74 0.008316511 0.003126761 0.391722665 0.013144686 -2.10277E-06 -1.27511E-05 1.40459E-05 2/4/2016 182.01 79.83 19.2481 107.32 0.009827818 0.017055558 -0.479922466 0.019381546 Inversion wi E(ri) Rp Var(P) Sigma(P) 2/3/2016 180.23 78.48 31.10395 105.26 0.017293433 0.050837365 0.051235849 -0.00085466 512.0529641 -514.2369216 2.183957441 0.421498598 0.421498598 0.003700396 0.002454233 0.000207655 0.014410237 2/2/2016 177.14 74.59 29.55045 105.35 0.017367974 -0.022535418 0.158600033 0.025378657 -514.2369216 516.9754223 -2.73850073 0.582392092 0.582392092 0.001746436 2/1/2016 174.09 76.29 25.21651 102.71 0.024715589 -0.02024203 -0.145711435 0.019763683 2.183957441 -2.73850073 0.554543289 -0.00389069 -0.00389069 0.03150853 1/29/2016 169.84 77.85 29.17203 100.7 0.03121703 0.011108355 0.859134156 0.04312106 0.421498598 0.582392092 -0.00389069 -0.00041531 -0.00041531 1/28/2016 164.62 76.99 12.35519 96.45 0.00413928 0.022328219 1.421392133 -0.005273783 1/27/2016 163.94 75.29 2.982268 96.96 -0.010859451 -0.018554385 -2.359650862 -0.016062548 1/26/2016 165.73 76.7 31.57403 98.53 0.000120625 0.036106922 0.959342741 -0.014409036 rf 0.00016 1/25/2016 165.71001 73.98 12.09742 99.96 0.041397963 -0.034410569 -0.621321894 0.02604657 Tang_port VRS 0.609468646 0.390757705 -0.000226351 1/22/2016 158.99001 76.57 22.51798 97.39 -0.014982426 0.032789823 0.414464097 -0.021635093 1879.665002 153.6673103 -3.529419451 0.003600396 1/21/2016 161.39 74.1 14.8775 99.52 0.036470919 0.012493373 -0.187017287 0.024308342 153.6673103 2667.336252 -16.38888844 0.001646436 0.000199209 -5.48188E-06 -1.7689E-07 1/20/2016 155.61 73.18 17.93703 97.13 -0.007745838 -0.043060537 -0.553140142 0.004850621 -3.529419451 -16.38888844 1.181983811 0.03140853 -5.48188E-06 6.27269E-05 -4.97731E-07 1/19/2016 156.82001 76.4 31.18719 96.66 0.019770808 -0.015326966 1.196224281 -0.001344017 -1.7689E-07 -4.97731E-07 4.75404E-08 1/15/2016 153.75 77.58 9.428935 96.79 0.013752738 -0.019656025 -0.341882442 0.005075364 Zi wi Rp Var(P) Sigma(P) 1/14/2016 151.64999 79.12 13.27212 96.3 -0.03377852 0.044848247 -0.505558206 -0.051801992 1 6.90968883 0.609468646 0.002930577 0.000249671 0.015800977 1/13/2016 156.86 75.65 22.00399 101.42 0.037279465 0.005966209 -0.175854587 0.019715863 2 4.430111657 0.390757705 1/12/2016 151.12 75.2 26.23458 99.44 -0.021796196 0.020284126 2.101191325 -0.005515734 3 -0.002566197 -0.000226351 1/11/2016 154.45 73.69 3.208768 99.99 0.004737654 -0.01347911 0.009005552 0.067964726 0.732644273 1/8/2016 153.72 74.69 3.180001 93.42 -0.021495132 -0.020408872 -1.399741742 -0.007146316 sum(Zi) 11.33723429 1 1/7/2016 157.06 76.23 12.89221 94.09 -0.028248693 -0.016135679 -0.619145886 -0.033958233 1/6/2016 161.56 77.47 23.94523 97.34 0.011892734 -0.008355341 0.118362912 0.009392648 1/5/2016 159.64999 78.12 21.27231 96.43 0.05107897 0.008484432 0.159413582 0.020429185 1/4/2016 151.7 77.46 18.1377 94.48 -0.006439276 -0.006305921 -0.353102517 -0.019599223 0.715785501 0.282368281 0.001846218 12/31/2015 152.67999 77.95 25.8186 96.35 -0.024648012 -0.002050494 0.315984823 -0.002591346 E(Rp)=13% p.a. 12/30/2015 156.49001 78.11 18.82358 96.6 0.000127876 -0.013353031 0.200394838 0.027071216 Systém of Eq VRS 0.000274772 -4.65232E-06 1.69447E-06 12/29/2015 156.47 79.16 15.40536 94.02 0.047241546 0.005319835 0.715257536 -0.010474624 0.001072598 -4.60364E-05 0.002564472 1 0.003700396 0 -4.65232E-06 3.27545E-05 2.93362E-06 12/28/2015 149.25 78.74 7.53424 95.01 0.006722714 -0.007465082 -0.42056899 0.000210526 -4.60364E-05 0.000821616 0.011254718 1 0.001746436 0 1.69447E-06 2.93362E-06 3.16274E-06 12/24/2015 148.25 79.33 11.47335 94.99 0.006904048 -0.010782452 0.393358378 0.007608617 0.002564472 0.011254718 1.855781263 1 0.03150853 0 12/23/2015 147.23 80.19 7.742066 94.27 0.045437101 0.032187269 -0.652825794 0.006064816 1 1 1 0 0 1 12/22/2015 140.69 77.65 14.87221 93.7 -0.037937817 0.005035192 -0.547282572 -0.003090204 0.003700396 0.001746436 0.03150853 0 0 0.0032 Rp Var(P) Sigma(P) 12/21/2015 146.13001 77.26 25.70735 93.99 -0.01958382 -0.000258833 0.353399152 -0.027804341 wi 0.0032 0.000310641 0.017625011 12/18/2015 149.02 77.28 18.05419 96.64 -0.012801882 -0.008760685 -0.745527498 -0.015198485 91.58454766 -85.57177988 -6.012767776 -0.546965089 394.6095592 1 0.715785501 12/17/2015 150.94 77.96 38.05016 98.12 0.021496124 -0.015148912 -0.037471835 0.019138356 -85.57177988 79.95376622 5.618013669 1.569735272 -402.3021849 2 0.282368281 12/16/2015 147.73 79.15 39.50302 96.26 0.005566129 -0.003531344 0.242882299 0.002288093 -6.012767776 5.618013669 0.394754107 -0.022770184 7.692625649 3 0.001846218 12/15/2015 146.91 79.43 30.98474 96.04 -0.012715694 0.043748131 2.119010693 -0.008708328 -0.546965089 1.569735272 -0.022770184 -0.002645969 0.908903056 lambda1 0.00026252 12/14/2015 148.78999 76.03 3.72283 96.88 394.6095592 -402.3021849 7.692625649 0.908903056 -370.3410248 lambda2 -0.276188223 E(ri) 0.003700396 0.001746436 0.03150853 0.003245703 1 "rf=2,5% p.a." VRS K 46 0.149302329 0.170218238 250day/year 0.149302329 0.020321122 0.013347291 0.0001 InvM 0.0222702 -0.163622498 alfa 0.001606877 -0.163622498 50.41203946 beta 0.645012608 L VRS 0.080336071 -0.005410289 alfa 0.002674345 beta -0.285888485 M VRS 1.449392374 0.02554391 alfa 0.0280987 1.050567402 0.0280987 beta 1.050567402 6.991280004 0.146943921 0.000512931 0.984667406 0.022580547 44 0.021893418 42.66107563