Security Return_i Excessive return beta_i VarEpsilon_i (r_i-r_fú/beta_i (r_i-r_f)*beta_i/var_epsi cum_sum beta_i^2/var_esp_i cum_sum C_i C* 1 15 10 1 50 10 0.2 0.2 0.02 0.02 1.666666667 long 2 17 12 1.5 40 8 0.45 0.65 0.05625 0.07625 3.687943262 long 3 12 7 1 20 7 0.35 1 0.05 0.12625 4.419889503 long 4 17 12 2 10 6 2.4 3.4 0.4 0.52625 5.429141717 long 5 11 6 1 40 6 0.15 3.55 0.025 0.55125 5.451055662 long C* 6 11 6 1.5 30 4 0.3 3.85 0.075 0.62625 5.301204819 short 7 11 6 2 40 3 0.3 4.15 0.1 0.72625 5.02269289 short 8 7 2 0.8 16 2.5 0.1 4.25 0.04 0.76625 4.906204906 short 9 7 2 1 20 2 0.1 4.35 0.05 0.81625 4.747612551 short 10 5.6 0.6 0.6 6 1 0.06 4.41 0.06 0.87625 4.517285531 short C** rf 5 var_M 10 long only portfolio Zi wi Rp beta_p SysVarP UnsysVarP VarP SigmaP ratio 1 0.090978887 0.234769688 15.31872214 1.406636949 19.78627506 6.84103665 26.62731171 5.160165861 2.968649178 2 0.095585413 0.246656761 3 0.077447217 0.199851412 4 0.109788868 0.283308569 5 0.013723608 0.035413571 Sum_Zi 0.387523992 1 also short positions Zi wi Rp beta_p SysVarP UnsysVarP VarP SigmaP ratio 1 0.109654289 6.154509522 343.9349623 25.3539346 6428.219999 12595.00713 19023.22713 137.9247154 2.493642718 2 0.130601793 7.330219188 3 0.124135723 6.967301473 4 0.296542894 16.64390945 5 0.037067862 2.080488681 6 -0.025864277 -1.451670859 7 -0.075864277 -4.257994969 8 -0.100864277 -5.661157025 9 -0.125864277 -7.06431908 10 -0.351728553 -19.74128638 Sum_Zi 0.017816901 1 ##### Sheet/List 2 ##### Security Return_i Beta_i Var_Epsi (r_i-rf)/beta_i (r_i-r_f)*beta_i/var_Epsi cum_sum beta_i^2/var_Epsi cum_sum C_i selection 1 19 1 20 16 0.8 0.8 0.05 0.05 5.333333333 long 3 11 0.5 10 16 0.4 1.2 0.025 0.075 6.857142857 long 2 23 1.5 30 13.33333333 1 2.2 0.075 0.15 8.8 long 6 9 0.5 50 12 0.06 2.26 0.005 0.155 8.862745098 long 4 25 2 40 11 1.1 3.36 0.1 0.255 9.464788732 long 5 13 1 20 10 0.5 3.86 0.05 0.305 9.530864198 long C* 7 14 1.5 30 7.333333333 0.55 4.41 0.075 0.38 9.1875 short 8 10 1 50 7 0.14 4.55 0.02 0.4 9.1 short 9 9.5 1 50 6.5 0.13 4.68 0.02 0.42 9 short 11 11 1.5 30 5.333333333 0.4 5.08 0.075 0.495 8.537815126 short 10 13 2 20 5 1 6.08 0.2 0.695 7.647798742 short 12 8 1 20 5 0.25 6.33 0.05 0.745 7.49112426 short 14 7 1 20 4 0.2 6.53 0.05 0.795 7.296089385 short 13 10 2 40 3.5 0.35 6.88 0.1 0.895 6.914572864 short r_f 3 var_m 10 long only portfolio Zi wi Rp Beta_p SysVarP UnsysVarP VarP SigmaP ratios 1 0.32345679 0.337411462 17.14938828 0.994204765 9.884431147 4.875394362 14.75982551 3.841851833 4.463833855 2 0.32345679 0.337411462 3 0.190123457 0.198325821 4 0.024691358 0.0257566 5 0.07345679 0.076625885 6 0.02345679 0.02446877 sum_Zi 0.958641975 1 long/short portfolio Rp Beta_p SysVarP UnsysVarP VarP SigmaP ratios Zi wi 22.62616822 0.712455019 5.075921534 15.1462416 20.22216313 4.496905951 5.031496872 1 0.454271357 0.468066378 2 0.454271357 0.468066378 3 0.320938023 0.330684064 4 0.050854271 0.052398581 5 0.204271357 0.210474539 6 0.154271357 0.158956171 7 0.020938023 0.021573856 8 0.001708543 0.001760427 9 -0.008291457 -0.008543247 10 -0.079061977 -0.08146288 11 -0.191457286 -0.197271339 12 -0.095728643 -0.098635669 13 -0.145728643 -0.150154037 14 -0.170728643 -0.175913221 sum_Zi 0.970527638 1