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1COMM 3206 A, 2019
Investment and Money Management
Project Assignment No. 5
Date Due:
November 28, 2019.
Mark: 200 out of total 490 points for the assignments
Part One:
So far, you have formed optimum portfolios of risky securities based on assumptions made
by Markowitz, SIM, CCM, and your own model for your sample of 20 securities for period
(iii), using all period (iii) information. In fact, what you have done so far, implies that you
had 20-20 hindsight (an absolute crystal ball with respect to the return, risk, and covariance
structure of your sample). However, as you know, in real world, unlike what you have had in
your assignments so far, the investors do not have all the information about the period for
which they make investment decisions. All they have is information of the past and some
current information based on which they may or may not adjust the past information to make
decisions about the future. In this assignment, you will do just that. You will use the
information you obtain from period (ii) and form portfolios for period (iii) by all 4 methods
mentioned above. Then you will measure performances of each approach at the end of period
(iii).
Specific Tasks:
1. In order to find out whether or not the past is a good proxy for the future, find the
Markowitz Portfolio and Portfolios that could be obtained by the SIM and the CCM and the
portfolio you picked with your own model (based only on the second period information).
Then use the weights (X’s) which you obtain based on information in this period (Period ii)
to form portfolios for period (iii) and measure the performance of these portfolios at the end
of period (iii). To do this, you need to take the following steps:
I. Create a file, named esfile2, with 4 columns (and 20 lines) containing ticker symbols,
expected returns, standard deviations, and excess return of each stock for period (ii), just as
you did when you created esfile3 for period (iii).
II. You must follow the same process as in Assignment 2 to obtain the weight for each stock
by Markowitz method and to print the results. Basically, what this means is that you will
obtain the X’s by Markowitz method based on the data in period (ii).
III. Next, you must assume the “single index model” is the best way to forecast the
covariance structure of returns. Based on this assumption, using period (ii) data, calculate
the “excess return to beta” and use it as an index to measure the desirability of including a
stock in the optimal portfolio. Then determine your optimal portfolio (find the X’s) based
on the period (ii) data, just in the same way as you did based on period (iii) data in earlier
2
assignments. The details of regressions that you ran earlier to calculate beta for period (ii)
will give you all the information required for this step.
IV. Next, assume the “Constant Correlation Model” is the best way to forecast the
correlation structures of returns. Based on this assumption, using period (ii) data, calculate
the “excess return to standard deviation” and use it as an index to measure the desirability of
including a stock in the optimal portfolio for period (ii) in your sample. Then determine
your optimal portfolio (find X’s) based on the period (ii) data (just as you did in earlier
assignments for period iii.) Please remember that before you are able to do this part, you will
need to use the RHO2 matrix to calculate the period (ii) correlation (.
V. Next you form a portfolio based on your own model (the same model that you sued on
assignment 4) only this time you use period (ii) data to obtain the weights.
VI. Now you are in a position to compare and contrast period-iii performance of all
portfolios obtained (based on period-ii information) by various methods. To do this, type
each set of X’s that you have obtained based on period ii in a vector of weights and use it to
calculate expected return and variance of the portfolio in period (iii), using expected
return, and variance covariance of period iii, VAR-COV3. Note: This means that you
need to multiply the vector of Xs you obtained from period ii data to the vector of
return obtained from period iii data to obtain return performance of your portfolios
that you have formed based on the information you had at the end of second period,
during the third period. For the variance, you need to pre and post multiply
VAR_COV3 by the vector of X’s you obtained based on period ii data. (Remember
again to rearrange the X’s alphabetically for the cases of SIM and CCM.) Again, this
exercise gives you period(iii) Rp and p, which in fact explains performance of each
portfolio for the 3rd period. Which method provided you with a better result? Analyze and
interpret your findings.
Please note: You should use your creativity in analysing your results for this part. At the
minimum, in order for me to be able to evaluate your assignment, you must
report the following information:
i.
Complete set of tables for SIM and CCM including the beta for each security.
ii.
The columns on these tables should have clear labels so that I know what the figures on
these columns are.
iii.
You should clearly explain the nature of information that is available to you in this
assignment as compared to what you have done in the earlier assignments. Simply
reporting the results (expected return and variance of each portfolio) is not enough.
3
Part Two:
Summarizing results of all your assignments:
So far, in your assignments you have formed optimum portfolios of risky securities based
on various models for your sample of 20 securities for period three, using all period three
information, implying you had 20-20 hindsight. You have also formed various portfolios
for Period iii, using period ii information; somewhat more realistic situation. You are
now required to integrate all you have done on your assignment 2-4 and part one of
assignment 5 into one project and make a conclusion about your results.
In your concluding remarks discuss the similarities and contrasts between theory and your
project findings. Use your creativity in formatting various segments of this part of the
report. Please note that, while you are expected to address all of the questions/tasks
that you have done through Assignments 2-5, you do not have to address these issues in
exactly the same order. In other words, this part of your project should be designed so
that it has an introduction and a conclusion section as well as an executive summary
and the main body of the text. Needless to say that you must support your arguments
with data, which you may include in the body of the text, in the appendix, or both
(some in the main part and some in the appendix).
Good Luck!
1. I)
Tickers
AP-U CT Equity
BEI-U CT Equity
BMO CT Equity
BNS CT Equity
BYD-U CT Equity
CM CT Equity
CUF-U CT Equity
CWB CT Equity
D-U CT Equity
GRT-U CT Equity
HR-U CT Equity
KMP-U CT Equity
LB CT Equity
NA CT Equity
NVU-U CT Equity
REI-U CT Equity
RY CT Equity
SRU-U CT Equity
TD CT Equity
WTE CT Equity
Period II rf
1. II)
Exp. Return
0.02206539
0.01880056
0.01965341
0.01624231
0.05122668
0.01500304
0.01500304
0.02332896
0.02236866
0.03546505
0.0238598
0.02091328
0.01015961
0.02223399
0.01524847
0.01629977
0.01658681
0.02098098
0.01845642
0.02921884
0.0006
STD
0.0407
0.04364
0.0592
0.04882
0.09198
0.05059
0.05059
0.06979
0.0545
0.12881
0.05714
0.05619
0.05946
0.05073
0.04536
0.04468
0.05954
0.05917
0.0517
0.06469
Ri-Rf
0.02146539
0.01820056
0.01905341
0.01564231
0.05062668
0.01440304
0.01440304
0.02272896
0.02176866
0.03486505
0.0232598
0.02031328
0.00955961
0.02163399
0.01464847
0.01569977
0.01598681
0.02038098
0.01785642
0.02861884
Date
31-Jan-2009
28-Feb-2009
31-Mar-2009
30-Apr-2009
31-May-2009
30-Jun-2009
31-Jul-2009
31-Aug-2009
30-Sep-2009
31-Oct-2009
30-Nov-2009
31-Dec-2009
31-Jan-2010
28-Feb-2010
31-Mar-2010
30-Apr-2010
31-May-2010
30-Jun-2010
31-Jul-2010
31-Aug-2010
30-Sep-2010
31-Oct-2010
30-Nov-2010
31-Dec-2010
31-Jan-2011
28-Feb-2011
31-Mar-2011
30-Apr-2011
31-May-2011
30-Jun-2011
31-Jul-2011
31-Aug-2011
30-Sep-2011
31-Oct-2011
30-Nov-2011
31-Dec-2011
31-Jan-2012
29-Feb-2012
31-Mar-2012
30-Apr-2012
31-May-2012
30-Jun-2012
31-Jul-2012
31-Aug-2012
30-Sep-2012
31-Oct-2012
30-Nov-2012
31-Dec-2012
31-Jan-2013
28-Feb-2013
31-Mar-2013
30-Apr-2013
31-May-2013
30-Jun-2013
31-Jul-2013
31-Aug-2013
30-Sep-2013
31-Oct-2013
30-Nov-2013
31-Dec-2013
STD. P period 2
Variance-Cov Matrix Period II (VAR-COV2)
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
The inverse of Variance Covariance Matrix
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
STD for period 2
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
RHO for period 2
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
Average RHO
1. I)
Tickers
AP-U CT Equity
BEI-U CT Equity
BMO CT Equity
BNS CT Equity
BYD-U CT Equity
CM CT Equity
CUF-U CT Equity
CWB CT Equity
D-U CT Equity
GRT-U CT Equity
HR-U CT Equity
KMP-U CT Equity
LB CT Equity
NA CT Equity
NVU-U CT Equity
REI-U CT Equity
RY CT Equity
SRU-U CT Equity
TD CT Equity
WTE CT Equity
Period II rf
1. II)
Standard With Short Sale Original Results Markowitz
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
sum
E(Rp)
Variance Portfolio
STD
Sharpe
1. III)
SIM
Security
AP-U CT Equity
D-U CT Equity
BYD-U CT Equity
KMP-U CT Equity
BEI-U CT Equity
REI-U CT Equity
HR-U CT Equity
NVU-U CT Equity
NA CT Equity
WTE CT Equity
GRT-U CT Equity
LB CT Equity
SRU-U CT Equity
CUF-U CT Equity
CWB CT Equity
BMO CT Equity
TD CT Equity
BNS CT Equity
RY CT Equity
CM CT Equity
Period II rf
var market =
Std market
SIM
Security
AP-U CT Equity
BEI-U CT Equity
BMO CT Equity
BNS CT Equity
BYD-U CT Equity
CM CT Equity
CUF-U CT Equity
CWB CT Equity
D-U CT Equity
GRT-U CT Equity
HR-U CT Equity
KMP-U CT Equity
LB CT Equity
NA CT Equity
NVU-U CT Equity
REI-U CT Equity
RY CT Equity
SRU-U CT Equity
TD CT Equity
WTE CT Equity
Period II rf
var market =
Std market
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
Total Ret
-0.00873
0.01513
-0.01303
-0.00656
0.13010
-0.01806
0.03904
0.10413
-0.06518
0.00351
0.02364
0.08923
-0.00296
-0.04193
0.04646
0.01793
-0.08577
-0.01343
0.03081
0.00079
0.06949
-0.02790
-0.03244
-0.04335
-0.01611
0.01416
-0.02741
0.03518
0.01383
-0.01867
-0.03174
-0.00926
-0.03905
0.02592
-0.02785
0.03896
0.00046
0.01518
-0.04346
0.04050
0.02970
-0.00875
0.01621
0.00151
0.02634
-0.03018
-0.02801
0.03594
0.02658
-0.02423
-0.05579
0.02561
-0.04627
-0.06418
-0.03758
-0.02288
0.01992
0.01493
-0.04757
-0.01286
0.04036
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
0.00163
0.00081
0.00035
0.00046
0.00054
0.00025
0.00089
0.00035
0.00125
-0.00008
0.00099
0.00111
0.00047
0.00081
0.00058
0.00076
0.00058
0.00126
0.00064
0.00050
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
1602.347151
-114.2141484
241.1513964
-208.5360907
-55.10420843
252.655483
136.4012505
174.053923
-318.05505
70.92429798
4.40010172
-534.7562509
-76.52983037
137.3347203
-242.7978814
130.2297029
-312.947497
-297.4541821
-239.3392086
-103.4860273
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
0.001628916
0.001746679
0.002369377
0.001953855
0.003681319
0.002024672
0.001933524
0.002793249
0.002181019
0.005155348
0.00228681
0.002249015
0.002379712
0.002030332
0.001815347
0.001788084
0.00238306
0.002368172
0.002069332
0.002589081
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
1
0.465141757
0.149367556
0.23504047
0.147744631
0.122333512
0.46165914
0.124355045
0.573241452
-0.016356403
0.432655189
0.495663818
0.195461048
0.397677704
0.321864922
0.42680215
0.241808086
0.530846798
0.308352897
0.194505647
0.342055527
Exp. Return
0.02207
0.01880
0.01965
0.01624
0.05123
0.01500
0.01500
0.02333
0.02237
0.03547
0.02386
0.02091
0.01016
0.02223
0.01525
0.01630
0.01659
0.02098
0.01846
0.02922
0.00060
Z
7.634398609
12.64785539
3.707883072
0.121835616
6.750805042
3.863226689
-4.413956528
-1.296938513
7.512354745
3.133035906
-3.246679546
2.705557352
3.40221452
-0.579114755
-5.441450056
-0.232005608
-5.7696578
-6.87600967
0.337284924
4.390006908
28.3506463
Mean Return Ri bar (period II)
0.02207
0.02237
0.05123
0.02091
0.01880
0.01630
0.02386
0.01525
0.02223
0.02922
0.03547
0.01016
0.02098
0.01500
0.02333
0.01965
0.01846
0.01624
0.01659
0.01500
0.00060
0.00136
0.03684
Mean Return Ri bar (period II)
0.022065386
0.018800565
0.019653413
0.016242309
0.051226677
0.015003037
0.015003037
0.023328963
0.02236866
0.035465053
0.023859797
0.020913282
0.010159611
0.022233994
0.015248467
0.016299769
0.01658681
0.02098098
0.018456419
0.029218845
0.0006
0.001357267
0.036841099
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
Total Ret
0.03251
-0.05839
0.00572
0.03897
0.13282
0.02940
-0.00334
0.09620
0.03592
-0.05533
-0.01448
-0.01336
-0.00532
0.03929
0.00594
0.00356
-0.07623
0.02551
0.01790
0.07447
0.03872
-0.10394
-0.05850
-0.00904
0.05103
0.02357
0.03749
-0.01384
-0.01691
-0.01257
0.02117
-0.01484
-0.05458
-0.00525
0.05197
-0.04539
0.02484
0.04438
0.01002
0.01386
-0.01864
-0.01713
0.07580
-0.01102
-0.00621
-0.02737
-0.01328
-0.01521
0.00108
-0.03167
-0.04950
0.03799
-0.09033
-0.06045
-0.02749
-0.04179
0.01055
0.01356
-0.01872
-0.00413
0.04328
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
0.00081
0.00187
0.00085
0.00068
0.00031
0.00037
0.00129
0.00079
0.00083
0.00004
0.00133
0.00080
0.00016
0.00073
0.00052
0.00118
0.00053
0.00182
0.00089
0.00051
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
-114.2141484
1708.454047
-5.446598473
21.08896709
86.64139378
343.2608871
-250.0421448
-268.0912321
95.40697878
90.1176463
-109.8591686
401.3554881
193.8967464
-450.3304081
-268.3310758
-465.3190941
-113.953874
-626.6836384
119.9364945
171.3585901
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
0.001746679
0.001872956
0.002540671
0.00209511
0.00394746
0.002171046
0.002073309
0.002995187
0.002338696
0.005528055
0.002452136
0.002411608
0.002551753
0.002177115
0.001946588
0.001917354
0.002555344
0.00253938
0.002218935
0.002776259
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
0.465141757
1
0.335054628
0.325785633
0.078785093
0.171229243
0.620293167
0.262729717
0.356463179
0.006563535
0.541739224
0.331649221
0.061860115
0.337331581
0.267965039
0.616535309
0.205464414
0.717168604
0.40005418
0.185166425
STD
0.04036
0.04328
0.05871
0.04841
0.09121
0.05017
0.04791
0.06921
0.05404
0.12773
0.05666
0.05572
0.05896
0.05031
0.04498
0.04430
0.05905
0.05868
0.05127
0.06415
ABS Z
7.634398609
12.64785539
3.707883072
0.121835616
6.750805042
3.863226689
4.413956528
1.296938513
7.512354745
3.133035906
3.246679546
2.705557352
3.40221452
0.579114755
5.441450056
0.232005608
5.7696578
6.87600967
0.337284924
4.390006908
84.06227125
Ri bar- Rf
0.02147
0.02177
0.05063
0.02031
0.01820
0.01570
0.02326
0.01465
0.02163
0.02862
0.03487
0.00956
0.02038
0.01440
0.02273
0.01905
0.01786
0.01564
0.01599
0.01440
Ri bar- Rf
0.02147
0.01820
0.01905
0.01564
0.05063
0.01440
0.01440
0.02273
0.02177
0.03487
0.02326
0.02031
0.00956
0.02163
0.01465
0.01570
0.01599
0.02038
0.01786
0.02862
BMO CT Equity (Bank of Montreal)
Total Ret
0.04435
-0.15004
0.14648
0.19889
0.08921
0.09952
0.08235
-0.02590
0.00242
-0.09553
0.06911
0.01942
-0.07626
0.05727
0.08124
0.01496
-0.03455
-0.09061
0.08137
-0.08280
-0.00981
0.00478
-0.02015
-0.06484
-0.00227
0.05269
-0.00319
-0.02187
-0.02319
-0.02886
-0.02987
0.00317
-0.06412
-0.00414
-0.00658
-0.08301
0.03603
-0.02326
0.00135
-0.01844
-0.07829
-0.00100
0.01369
-0.01652
-0.01132
BNS CT Equity (Bank of Nova Scotia/The)
Total Ret
-0.11240
-0.04860
0.06596
0.09279
0.10868
0.12100
0.05328
-0.01755
0.04939
-0.08047
0.05558
0.00871
-0.10543
0.05001
0.04819
0.01125
-0.08442
0.00034
0.04620
-0.02283
0.05537
-0.01180
-0.04277
0.06587
-0.02745
0.04646
-0.02474
-0.03800
0.01271
-0.02871
-0.08371
-0.00978
-0.03990
-0.01985
-0.03490
-0.02003
-0.00247
0.01908
0.04149
-0.03557
-0.04964
-0.01007
-0.02364
-0.01815
0.02663
0.00855
-0.00864
0.00029
0.02710
-0.00029
-0.02386
-0.01972
-0.04846
-0.02568
0.03946
0.01542
0.02028
0.04737
-0.00602
-0.05769
0.05871
-0.01012
0.01602
0.02001
0.00447
0.03116
-0.04424
-0.03350
0.00011
-0.05377
0.01560
-0.00780
0.00288
0.05816
0.01247
0.00247
0.04841
BMO CT Equity (Bank of Montreal)
0.00035
0.00085
0.00345
0.00182
0.00123
0.00224
0.00112
0.00222
-0.00016
0.00157
0.00185
0.00091
0.00028
0.00150
0.00092
0.00093
0.00208
0.00121
0.00220
0.00183
BNS CT Equity (Bank of Nova Scotia/The)
0.00046
0.00068
0.00182
0.00234
0.00015
0.00181
0.00080
0.00202
0.00028
0.00166
0.00082
0.00020
0.00126
0.00133
0.00050
0.00075
0.00190
0.00100
0.00196
0.00136
BMO CT Equity (Bank of Montreal)
241.1513964
-5.446598473
1764.984082
50.88577996
40.86263507
BNS CT Equity (Bank of Nova Scotia/The)
-208.5360907
21.08896709
50.88577996
1987.91278
19.20719364
-638.5361381
304.0841966
-152.1447627
389.598691
52.52851299
-705.910069
-303.6365837
260.8853381
-26.72632131
-36.19145806
-48.25306109
81.92031376
59.58752696
-1138.129426
-4.974448864
-747.8395146
-63.27186737
-301.9313609
-24.39487331
-62.97117369
160.2121358
219.3871216
-107.8097164
-141.9879928
260.705322
-698.6423262
285.5505985
245.3113067
-1019.657412
145.3628537
BMO CT Equity (Bank of Montreal)
0.002369377
0.002540671
0.00344643
0.002842024
0.005354744
0.002945032
0.002812451
0.004062983
0.00317245
0.007498826
0.003326331
0.003271356
0.003461463
0.002953264
0.002640554
0.002600898
0.003466333
0.003444678
0.003009994
0.003766006
BNS CT Equity (Bank of Nova Scotia/The)
0.001953855
0.00209511
0.002842024
0.002343614
0.004415674
0.002428557
0.002319227
0.003350451
0.002616092
0.006183745
0.002742987
0.002697653
0.002854421
0.002435345
0.002177476
0.002144775
0.002858437
0.002840579
0.002482126
0.003105556
BMO CT Equity (Bank of Montreal)
0.149367556
0.335054628
1
0.639910015
0.229003573
0.761678642
0.397602235
BNS CT Equity (Bank of Nova Scotia/The)
0.23504047
0.325785633
0.639910015
1
0.034343999
0.743285457
0.346195103
0.546009884
-0.049850901
0.209435183
0.557264391
0.27691424
0.081948481
0.507087618
0.349456568
0.359175774
0.599696734
0.352019498
0.730555193
0.484975331
0.601676926
0.108607482
0.268504125
0.300188613
0.074450408
0.440830778
0.546924467
0.229164564
0.348220745
0.664904219
0.351916468
0.789350258
0.439114216
Ri-Rf
0.02147
0.01820
0.01905
0.01564
0.05063
0.01440
0.01440
0.02273
0.02177
0.03487
0.02326
0.02031
0.00956
0.02163
0.01465
0.01570
0.01599
0.02038
0.01786
0.02862
SSS Weight
LSS Weight
0.269284817
0.446122295
0.130786545
0.004297455
0.238118206
0.136265913
-0.155691566
-0.045746347
0.264980017
0.110510211
-0.114518714
0.095431946
0.120004831
-0.020426863
-0.191933898
-0.008183433
-0.203510627
-0.242534495
0.011896904
0.154846802
1
0.030903435
0.00106888
0.032693728
0.926888318
Betai
0.090818372
0.150458169
0.044108766
0.00144935
0.080307193
0.045956725
-0.052508176
-0.015428307
0.089366545
0.037270417
-0.038622315
0.032185156
0.040472551
-0.006889116
-0.064731181
-0.002759926
-0.068635521
-0.08179662
0.004012322
0.052223273
0.337257677
0.010422421
0.000121577
0.011026211
0.890824669
Unsystematic risk
0.33479
0.15333
0.56705
0.37190
0.45429
0.39869
0.61155
0.40064
0.73665
0.98264
1.25891
0.34901
0.76451
0.65995
1.05908
1.12054
0.00153
0.00299
0.00816
0.00302
0.00165
0.00181
0.00280
0.00187
0.00187
0.00292
0.01469
0.00343
0.00275
0.00177
0.00341
0.00183
1.07126
0.97103
0.99564
0.97264
Betai
0.00114
0.00112
0.00224
0.00130
Unsystematic risk
0.33479
0.45429
1.12054
0.97103
0.56705
0.97264
0.65995
1.05908
0.15333
1.25891
0.61155
0.37190
0.34901
0.73665
0.40064
0.39869
0.99564
0.76451
1.07126
0.98264
0.00153
0.00165
0.00183
0.00112
0.00816
0.00130
0.00177
0.00341
0.00299
0.01469
0.00280
0.00302
0.00343
0.00187
0.00187
0.00181
0.00224
0.00275
0.00114
0.00292
BYD-U CT Equity (Boyd Group Income Fund)
Total Ret
0.15275
-0.16055
0.02877
0.00706
0.00716
-0.01981
0.14746
-0.04055
-0.04277
-0.06536
0.07441
0.23874
-0.12117
-0.01778
-0.05226
-0.07248
-0.13436
0.01762
0.05522
-0.06792
0.07539
-0.03345
0.16377
-0.06189
0.06626
-0.04073
0.10336
0.02825
0.00024
0.26073
-0.03160
-0.20811
-0.23717
-0.06927
0.02865
0.02976
0.10575
-0.01912
-0.13179
-0.06721
0.03711
0.02548
-0.00026
-0.01586
0.01407
CM CT Equity (Canadian Imperial Bank of Commerce)
Total Ret
-0.10230
-0.08963
0.06809
0.15261
0.00348
0.07019
0.12219
-0.04607
0.01479
-0.06539
0.09355
-0.01055
-0.07737
0.08062
0.05698
-0.01015
-0.05256
-0.08224
0.05243
0.01191
0.02684
0.03295
-0.00452
-0.01318
-0.04130
0.06262
0.01276
-0.03522
-0.03454
-0.05598
-0.05663
0.03186
-0.04256
0.00844
-0.04416
0.00948
0.01833
-0.00923
-0.00927
-0.03743
-0.04801
-0.00821
0.00872
0.02426
0.00683
-0.01392
-0.03658
-0.06155
0.04627
-0.04002
0.01315
-0.02929
0.03904
0.08022
-0.05586
0.04237
0.01072
-0.09084
0.08828
0.05147
0.09121
0.00592
0.00587
-0.00635
0.02539
-0.01572
-0.04528
-0.00383
-0.04256
-0.05017
0.02908
0.04056
-0.00580
0.06591
0.01194
-0.00839
0.05017
BYD-U CT Equity (Boyd Group Income Fund)
0.00054
0.00031
0.00123
0.00015
0.00832
0.00035
0.00101
0.00095
-0.00040
0.00011
0.00150
0.00148
-0.00132
0.00057
0.00077
0.00071
0.00031
0.00053
0.00049
0.00096
CM CT Equity (Canadian Imperial Bank of Commerce)
0.00025
0.00037
0.00224
0.00181
0.00035
0.00252
0.00065
0.00202
0.00002
0.00177
0.00099
0.00035
0.00094
0.00133
0.00070
0.00049
0.00217
0.00073
0.00182
0.00174
BYD-U CT Equity (Boyd Group Income Fund)
-55.10420843
86.64139378
40.86263507
19.20719364
172.4487559
CM CT Equity (Canadian Imperial Bank of Commerce)
252.655483
343.2608871
-638.5361381
-747.8395146
61.02639014
61.02639014
-61.5869882
-70.71746893
83.19134506
10.58068781
-94.22351734
-16.68576274
86.33742263
-77.56661423
-2.683418915
4.132664039
-7.40208275
19.52959144
-23.01076321
-18.46178612
2088.054846
-79.76774549
-44.82930029
226.7727311
38.57332229
-71.84844982
-95.21466782
-153.906023
-114.1295383
-257.1128636
504.8004884
-783.6256296
-479.5479566
669.6272659
-261.7156242
BYD-U CT Equity (Boyd Group Income Fund)
0.003681319
0.00394746
0.005354744
0.004415674
0.008319707
0.004575719
0.004369726
0.006312687
0.004929059
0.011650983
0.005168146
0.00508273
0.005378101
0.004588509
0.004102649
0.004041035
0.005385668
0.005352022
0.00467665
0.005851272
CM CT Equity (Canadian Imperial Bank of Commerce)
0.002024672
0.002171046
0.002945032
0.002428557
0.004575719
0.002516579
0.002403286
0.003471887
0.002710911
0.006407873
0.002842406
0.002795428
0.002957878
0.002523614
0.002256398
0.002222511
0.00296204
0.002943535
0.00257209
0.003218115
BYD-U CT Equity (Boyd Group Income Fund)
0.147744631
0.078785093
0.229003573
0.034343999
1
0.076077531
0.230277197
CM CT Equity (Canadian Imperial Bank of Commerce)
0.122333512
0.171229243
0.761678642
0.743285457
0.076077531
1
0.270584145
0.15115503
-0.082093086
0.009185203
0.289399591
0.290546543
-0.246188914
0.124114816
0.188869719
0.17632081
0.057700125
0.099059757
0.103894769
0.1635344
ABS LSS Weight
0.580409294
0.008633746
0.276211516
0.347749142
0.126987034
0.317505419
0.526303206
0.309951414
0.219029744
0.731153009
0.248634168
0.709449864
0.539166405
0.090818372
0.150458169
0.044108766
0.00144935
0.080307193
0.045956725
0.052508176
0.015428307
0.089366545
0.037270417
0.038622315
0.032185156
0.040472551
0.006889116
0.064731181
0.002759926
0.068635521
0.08179662
0.004012322
0.052223273
1
Excess return over beta
[(Ri-Rf)beta]/unsystematic risk
0.06412
0.14197
0.08928
0.05462
0.04006
0.03938
0.03803
0.03656
0.02937
0.02912
0.02769
0.02739
0.02666
0.02182
0.02146
0.01700
4.69588
1.11692
3.51698
2.50042
5.00319
3.45619
5.07158
3.13627
8.52810
9.61774
2.98775
0.97321
5.65615
5.36145
7.06667
11.65582
0.01667
0.01611
0.01606
0.01481
Excess return over beta
16.85344
13.53024
7.11248
10.79933
[(Ri-Rf)beta]/unsystematic risk
0.064116896
0.040063978
0.017003839
0.016109029
0.08928071
0.01480819
0.021824333
0.021461069
0.141968343
0.027694712
0.038034107
0.05462045
0.027390544
0.029368233
0.036562578
0.03937883
0.016056802
0.026658991
0.016668575
0.029124461
4.695882318
5.003193792
11.65582467
13.53024409
3.516983456
10.79933088
5.361454059
7.066674085
1.116916261
2.987748524
5.07157689
2.500416462
0.973207356
8.528099575
3.136265252
3.456191601
7.112482914
5.656145966
16.85343664
9.617735901
CUF-U CT Equity (Cominar Real Estate Investment Trust)
Total Ret
-0.00202
-0.17505
0.03820
-0.03640
0.13178
0.02908
0.10066
0.05808
0.07515
-0.07858
0.01442
0.05205
-0.01161
-0.00946
0.00466
-0.00371
-0.04504
0.00459
0.05613
0.04188
0.05196
-0.00344
0.00339
-0.05073
0.02742
0.02368
0.02450
-0.00244
-0.02149
-0.01892
0.02275
-0.03113
-0.02737
0.04649
-0.00811
-0.02415
-0.01996
0.05502
0.01483
0.02554
-0.02115
0.00824
0.01989
-0.02053
-0.00783
CWB CT Equity (Canadian Western Bank)
Total Ret
-0.05968
-0.09039
-0.07836
0.26032
0.05532
0.16071
0.05046
-0.00629
0.05571
0.05375
0.04823
-0.06090
-0.08623
-0.01166
0.14534
-0.03201
-0.08669
0.03341
0.07523
-0.08378
-0.00092
-0.00239
0.02912
0.04404
0.02181
0.01986
-0.01156
-0.05030
-0.03290
0.00738
-0.03469
-0.03055
-0.16952
0.08648
-0.05736
-0.08072
0.00264
0.01558
0.04316
-0.04012
-0.09583
-0.02459
-0.02901
0.04747
0.04762
-0.01570
-0.08418
0.02420
-0.00905
0.00117
0.01796
0.03558
-0.06583
-0.07909
-0.03595
-0.07894
0.02920
-0.01683
-0.05167
0.01786
0.04791
-0.03668
-0.03889
-0.04016
0.06106
-0.03111
-0.09117
-0.01945
-0.02544
-0.03929
0.01808
0.00917
0.01820
0.05817
0.02003
0.09024
0.06921
CUF-U CT Equity (Cominar Real Estate Investment Trust)
0.00089
0.00129
0.00112
0.00080
0.00101
0.00065
0.00230
0.00064
0.00076
0.00115
0.00174
0.00121
0.00000
0.00049
0.00080
0.00137
0.00062
0.00207
0.00112
0.00093
CWB CT Equity (Canadian Western Bank)
0.00035
0.00079
0.00222
0.00202
0.00095
0.00202
0.00064
0.00479
0.00041
0.00173
0.00126
0.00076
0.00163
0.00107
0.00097
0.00069
0.00191
0.00086
0.00173
0.00157
CUF-U CT Equity (Cominar Real Estate Investment Trust)
136.4012505
-250.0421448
304.0841966
-63.27186737
-61.5869882
CWB CT Equity (Canadian Western Bank)
174.053923
-268.0912321
-152.1447627
-301.9313609
-70.71746893
-79.76774549
1751.433061
211.7823283
33.24400761
3.73702532
-174.0212144
-522.1342029
33.32363832
663.7475143
-234.4088237
-218.1594767
-7.563744704
-469.0845166
-959.1833327
-20.202775
-44.82930029
211.7823283
535.206296
-73.19766278
0.573923314
19.72457797
-244.1262646
-210.1558558
316.0781769
-114.5669766
192.9955663
-65.65895575
-5.77123008
-11.74924825
-78.65671121
CUF-U CT Equity (Cominar Real Estate Investment Trust)
0.001933524
0.002073309
0.002812451
0.002319227
0.004369726
0.002403286
0.002295094
0.003315587
0.00258887
0.006119399
0.002714444
0.002669582
0.002824718
0.002410004
0.002154818
0.002122457
0.002828693
0.002811021
0.002456298
0.00307324
CWB CT Equity (Canadian Western Bank)
0.002793249
0.002995187
0.004062983
0.003350451
0.006312687
0.003471887
0.003315587
0.004789834
0.003739988
0.008840337
0.003921399
0.003856588
0.004080705
0.003481591
0.003112939
0.003066189
0.004086447
0.004060917
0.00354847
0.00443973
CUF-U CT Equity (Cominar Real Estate Investment Trust)
0.46165914
0.620293167
0.397602235
0.346195103
0.230277197
0.270584145
1
CWB CT Equity (Canadian Western Bank)
0.124355045
0.262729717
0.546009884
0.601676926
0.15115503
0.580409294
0.194400846
0.194400846
0.294251602
0.188440983
0.641511194
0.454585655
0.001588856
0.202225063
0.369527006
0.646119614
0.217511003
0.734671769
0.454344422
0.301360672
1
0.109468616
0.196183816
0.322236214
0.196069443
0.398598911
0.306581383
0.31127796
0.223477093
0.466397556
0.211925575
0.488629363
0.352794411
betai^2/unsystematic risk
sum([(Ri-Rf)beta]/unsystematic risk)
73.23939
7.86736
39.39242
45.77803
124.88010
87.76776
133.34287
85.77801
290.38518
330.22880
107.88155
35.53078
212.16654
245.66406
329.27876
685.48195
4.69588
5.81280
9.32978
11.83020
16.83339
20.28958
25.36116
28.49743
37.02553
46.64326
49.63101
50.60422
56.26036
61.62182
68.68849
80.34432
1011.09046
839.91681
442.95763
729.28096
betai^2/unsystematic risk
97.19775
110.72800
117.84048
128.63981
sum([(Ri-Rf)beta]/unsystematic risk)
73.23938983
124.8801041
685.4819471
839.9168144
39.39242259
729.280962
245.6640555
329.2787595
7.867361409
107.8815524
133.3428677
45.77802727
35.53077864
290.3851755
85.77801226
87.76775696
442.9576263
212.1665449
1011.090458
330.2288032
4.69588
16.83339
80.34432
110.72800
9.32978
128.63981
61.62182
68.68849
5.81280
49.63101
25.36116
11.83020
50.60422
37.02553
28.49743
20.28958
117.84048
56.26036
97.19775
46.64326
D-U CT Equity (Dream Office Real Estate Investment Trust)
Total Ret
-0.06368
0.14979
-0.08172
0.04265
0.11447
-0.00352
0.07920
0.15826
-0.00466
-0.02324
-0.01712
0.06944
0.16897
0.00939
0.01475
-0.02253
-0.07595
-0.00211
0.03016
-0.01989
0.08957
0.02395
0.00263
-0.00142
-0.01365
0.02384
0.03452
-0.01832
-0.00715
-0.04292
-0.01920
-0.03280
-0.02072
0.02215
-0.02627
-0.01738
0.00774
0.01089
0.00616
0.03058
-0.04071
0.04297
-0.01140
-0.02259
-0.03277
-0.04434
-0.02956
0.01669
-0.01861
-0.03270
-0.02199
-0.00732
-0.09633
-0.05931
-0.07187
-0.06946
-0.02147
-0.02044
-0.04737
0.01373
0.05404
D-U CT Equity (Dream Office Real Estate Investment Trust)
0.00125
0.00083
-0.00016
0.00028
-0.00040
0.00002
0.00076
0.00041
0.00292
0.00032
0.00123
0.00060
0.00081
0.00067
0.00065
0.00060
0.00058
0.00134
0.00047
0.00044
D-U CT Equity (Dream Office Real Estate Investment Trust)
-318.05505
95.40697878
389.598691
-24.39487331
83.19134506
226.7727311
33.24400761
-73.19766278
901.1488207
32.28016666
-477.9675945
153.4208611
-85.09329751
-230.4420376
-247.3794812
256.9067255
-236.9898158
-315.468895
172.529532
-33.06010568
D-U CT Equity (Dream Office Real Estate Investment Trust)
0.002181019
0.002338696
0.00317245
0.002616092
0.004929059
0.002710911
0.00258887
0.003739988
0.00292025
0.006902693
0.003061898
0.003011293
0.003186287
0.002718489
0.002430638
0.002394135
0.003190771
0.003170837
0.002770709
0.00346662
D-U CT Equity (Dream Office Real Estate Investment Trust)
0.573241452
0.356463179
-0.049850901
0.108607482
-0.082093086
0.008633746
0.294251602
0.109468616
1
0.046471601
0.402637404
0.200689796
0.255366908
0.247154789
0.269058389
0.250936654
0.181702801
0.423701676
0.170604226
0.1270241
sum(betai^2/unsystematic risk)
73.23939
81.10675
120.49917
166.27720
291.15731
378.92506
512.26793
598.04594
888.43112
1218.65992
1326.54147
1362.07225
1574.23880
1819.90285
2149.18161
2834.66356
3845.75402
4685.67083
5128.62846
5857.90942
sum(betai^2/unsystematic risk)
73.23939
291.15731
2834.66356
4685.67083
120.49917
5857.90942
1819.90285
2149.18161
81.10675
1326.54147
512.26793
166.27720
1362.07225
888.43112
598.04594
378.92506
5128.62846
1574.23880
3845.75402
1218.65992
GRT-U CT Equity (Granite Real Estate Investment Trust)
Total Ret
-0.21258
-0.29081
0.38553
0.08241
-0.01660
0.00384
0.23595
0.26169
-0.05456
0.03547
-0.10332
-0.12842
-0.04012
-0.02298
-0.01158
-0.00343
-0.00674
-0.09851
-0.02618
-0.11024
-0.09562
0.28009
0.10105
0.58415
-0.01626
-0.05684
0.00674
0.00030
-0.00697
-0.04722
-0.05891
-0.08095
-0.01680
0.10103
0.01237
-0.03608
0.04002
0.02188
-0.08982
-0.02476
-0.05424
-0.00614
-0.00525
-0.02452
-0.04891
0.00429
-0.01671
-0.00910
0.00730
-0.01719
-0.05318
-0.00281
-0.07314
-0.08389
-0.08294
0.00312
0.01032
-0.05047
-0.04082
0.04809
0.12773
GRT-U CT Equity (Granite Real Estate Investment Trust)
-0.00008
0.00004
0.00157
0.00166
0.00011
0.00177
0.00115
0.00173
0.00032
0.01632
0.00129
-0.00051
0.00002
0.00030
0.00252
0.00069
0.00230
0.00067
0.00185
0.00275
GRT-U CT Equity (Granite Real Estate Investment Trust)
70.92429798
90.1176463
52.52851299
-62.97117369
10.58068781
38.57332229
3.73702532
0.573923314
32.28016666
99.91345289
-33.41103858
15.95682925
11.25813476
23.34712079
-147.0647053
11.202848
-70.65538099
-87.17344652
4.223204565
-25.86409653
GRT-U CT Equity (Granite Real Estate Investment Trust)
0.005155348
0.005528055
0.007498826
0.006183745
0.011650983
0.006407873
0.006119399
0.008840337
0.006902693
0.016316128
0.007237512
0.007117895
0.007531535
0.006425784
0.005745382
0.005659097
0.007542132
0.007495014
0.006549217
0.008194167
GRT-U CT Equity (Granite Real Estate Investment Trust)
-0.016356403
0.006563535
0.209435183
0.268504125
0.009185203
0.276211516
0.188440983
0.196183816
0.046471601
1
0.178292441
-0.072017394
0.00244761
0.046711734
0.437942997
0.121481005
0.30493632
0.089325043
0.283189938
0.335270851
Ci
0.00580
0.00711
0.01088
0.01310
0.01638
0.01819
0.02030
0.02135
0.02278
0.02385
0.02405
0.02411
0.02434
0.02410
0.02380
0.02250
0.02121
0.02042
0.02009
0.01951
Ci
0.005797283
0.016375975
0.022496346
0.020420305
0.010883079
0.019506591
0.024102301
0.023800944
0.007107139
0.024053999
0.020304476
0.013100239
0.024110482
0.02278205
0.021349251
0.018185519
0.020090772
0.024344452
0.021210505
0.02385314
HR-U CT Equity (H&R Real Estate Investment Trust)
Total Ret
0.07695
-0.12796
0.04930
0.20161
0.08233
0.04819
0.14171
0.05182
0.00199
-0.07625
-0.00837
0.14541
0.06882
-0.04514
-0.00617
0.02613
-0.08375
0.02289
0.05098
0.03241
0.01112
0.01384
-0.05051
-0.03893
0.04140
0.01582
0.00993
-0.02463
-0.02489
-0.02748
-0.00460
-0.05518
-0.03077
0.01876
0.05069
-0.02191
-0.01822
-0.00611
-0.01843
0.01157
-0.03638
0.00103
0.00064
-0.00791
-0.02417
-0.06185
-0.05606
0.01724
-0.03791
-0.03812
-0.00834
0.03683
-0.08582
-0.06529
-0.03830
-0.06968
0.01494
0.00096
-0.03292
-0.01329
0.05666
HR-U CT Equity (H&R Real Estate Investment Trust)
0.00099
0.00133
0.00185
0.00082
0.00150
0.00099
0.00174
0.00126
0.00123
0.00129
0.00321
0.00159
0.00000
0.00066
0.00103
0.00167
0.00093
0.00200
0.00102
0.00120
HR-U CT Equity (H&R Real Estate Investment Trust)
4.40010172
-109.8591686
-705.910069
160.2121358
-94.22351734
-71.84844982
-174.0212144
19.72457797
-477.9675945
-33.41103858
1265.352841
-114.434987
13.58810058
264.4964046
13.28413487
-408.6225526
-51.12555383
-84.68268947
250.7658951
12.64516778
HR-U CT Equity (H&R Real Estate Investment Trust)
0.00228681
0.002452136
0.003326331
0.002742987
0.005168146
0.002842406
0.002714444
0.003921399
0.003061898
0.007237512
0.003210418
0.003157358
0.00334084
0.002850351
0.002548538
0.002510264
0.003345541
0.00332464
0.002905104
0.003634771
HR-U CT Equity (H&R Real Estate Investment Trust)
0.432655189
0.541739224
0.557264391
0.300188613
0.289399591
0.347749142
0.641511194
0.322236214
0.402637404
0.178292441
1
0.504581145
-0.00130914
0.231195405
0.402363174
0.664840451
0.278075826
0.601056695
0.351785929
0.330653621
no short-sale cut-off rate
with short-sale cutt-off rate
sum
with short-sale cutt-off rate
no short-sale cut-off rate
sum
exp using matrix
var portfolio using matrix
std portfolio
Sharpe ratio
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
Total Ret
0.21819
-0.05244
-0.08241
0.04998
0.09968
0.02516
0.10383
-0.00058
0.00656
0.04662
0.07662
0.08215
-0.06675
-0.03442
-0.01649
0.02767
-0.02001
-0.02496
0.03098
0.03563
0.03387
-0.00795
0.06050
-0.02501
-0.02887
0.00019
-0.02599
0.03271
-0.01932
-0.02473
-0.00534
-0.02738
-0.02387
-0.01552
-0.00604
0.05295
0.02302
0.02977
-0.04257
0.08009
-0.06634
0.00879
-0.02334
-0.02343
-0.01105
-0.02947
-0.08466
0.02222
0.02389
-0.02485
-0.08693
0.03904
-0.06051
-0.13419
-0.03518
-0.05251
0.06191
-0.00737
-0.04559
-0.03596
0.05572
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
0.00111
0.00080
0.00091
0.00020
0.00148
0.00035
0.00121
0.00076
0.00060
-0.00051
0.00159
0.00311
0.00015
0.00103
0.00074
0.00131
-0.00009
0.00138
0.00009
0.00011
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
-534.7562509
401.3554881
-303.6365837
219.3871216
-16.68576274
-95.21466782
-522.1342029
-244.1262646
153.4208611
15.95682925
-114.434987
1281.176411
12.23937222
-827.3537538
-148.2369313
-369.8645711
209.5060748
-98.20633007
871.8912676
213.2323307
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
0.002249015
0.002411608
0.003271356
0.002697653
0.00508273
0.002795428
0.002669582
0.003856588
0.003011293
0.007117895
0.003157358
0.003105175
0.003285625
0.002803242
0.002506417
0.002468776
0.003290248
0.003269693
0.00285709
0.003574697
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
0.495663818
0.331649221
0.27691424
0.074450408
0.290546543
0.126987034
0.454585655
0.196069443
0.200689796
-0.072017394
0.504581145
1
0.046729272
0.367746316
0.295697426
0.528679879
-0.026738817
0.421438833
0.030546115
0.030941973
zi no short sale
8.70083196
6.035099861
4.511055406
3.726753926
4.321175541
3.309710595
2.984898673
2.615924479
1.980369608
1.606384264
0.287099339
0.310104562
0.642332604
41.03174082
zi no short sale
8.70083196
4.321175541
0
0
4.511055406
0
0
0
6.035099861
0.287099339
2.984898673
3.726753926
0.310104562
1.980369608
2.615924479
3.309710595
0
0.642332604
0
1.606384264
41.03174082
LB CT Equity (Laurentian Bank of Canada)
Total Ret
-0.16755
0.08685
-0.16523
0.07255
0.09192
0.10553
0.00894
0.04606
0.01493
0.02007
0.07079
-0.00120
-0.12057
0.04033
0.07783
0.01327
-0.05164
-0.00542
0.08170
0.00071
-0.06076
0.00035
0.02261
0.04996
0.09471
0.00001
-0.05924
-0.01707
0.03022
-0.15006
-0.04831
-0.00059
0.03475
0.01641
-0.05866
0.09335
-0.04424
-0.02531
0.01950
-0.06124
-0.03696
0.08575
0.01264
-0.01226
-0.02491
NA CT Equity (National Bank of Canada)
Total Ret
0.07106
0.08472
0.05593
0.06197
0.15005
0.04084
0.05888
0.03524
-0.04339
-0.07514
0.09818
-0.05892
-0.08415
0.04395
0.01432
-0.01803
-0.08922
-0.07251
0.06115
0.02167
0.04229
0.01165
-0.01166
-0.00259
-0.00341
0.05011
0.03934
-0.02795
0.01108
-0.04706
-0.07555
-0.04276
-0.04873
-0.00435
-0.08971
0.07652
0.02046
0.00249
0.01711
-0.05083
-0.06685
-0.02348
0.00401
-0.03121
-0.00624
-0.04970
0.00244
-0.01638
-0.01332
0.01297
-0.02504
-0.00447
-0.01152
-0.00351
0.01510
-0.02614
0.01022
0.03030
0.00810
-0.00955
0.05896
0.01513
-0.01705
-0.01595
0.00470
-0.03182
-0.06196
-0.00159
-0.02040
-0.02728
0.03067
0.01042
0.03113
0.04136
-0.00035
-0.05628
0.05031
LB CT Equity (Laurentian Bank of Canada)
0.00047
0.00016
0.00028
0.00126
-0.00132
0.00094
0.00000
0.00163
0.00081
0.00002
0.00000
0.00015
0.00348
0.00103
-0.00013
0.00028
0.00112
0.00046
0.00091
0.00025
NA CT Equity (National Bank of Canada)
0.00081
0.00073
0.00150
0.00133
0.00057
0.00133
0.00049
0.00107
0.00067
0.00030
0.00066
0.00103
0.00103
0.00253
0.00055
0.00052
0.00166
0.00094
0.00167
0.00111
LB CT Equity (Laurentian Bank of Canada)
-76.52983037
193.8967464
260.8853381
-107.8097164
86.33742263
NA CT Equity (National Bank of Canada)
137.3347203
-450.3304081
-26.72632131
-141.9879928
-77.56661423
-153.906023
33.32363832
-210.1558558
-85.09329751
11.25813476
13.58810058
12.23937222
589.6975154
-163.436476
125.0906198
-196.7654887
27.38161352
4.46143456
-141.528233
84.66251387
-114.1295383
663.7475143
316.0781769
-230.4420376
23.34712079
264.4964046
-827.3537538
-163.436476
1518.729019
2.448174372
137.762069
-146.6282181
22.25238531
-937.1174678
-132.2790096
LB CT Equity (Laurentian Bank of Canada)
0.002379712
0.002551753
0.003461463
0.002854421
0.005378101
0.002957878
0.002824718
0.004080705
0.003186287
0.007531535
0.00334084
0.003285625
0.003476561
0.002966146
0.002652072
0.002612243
0.003481453
0.003459703
0.003023123
0.003782433
NA CT Equity (National Bank of Canada)
0.002030332
0.002177115
0.002953264
0.002435345
0.004588509
0.002523614
0.002410004
0.003481591
0.002718489
0.006425784
0.002850351
0.002803242
0.002966146
0.002530668
0.002262705
0.002228723
0.002970319
0.002951763
0.00257928
0.00322711
LB CT Equity (Laurentian Bank of Canada)
0.195461048
0.061860115
0.081948481
0.440830778
-0.246188914
0.317505419
0.001588856
NA CT Equity (National Bank of Canada)
0.397677704
0.337331581
0.507087618
0.546924467
0.124114816
0.526303206
0.202225063
0.398598911
0.255366908
0.00244761
-0.00130914
0.046729272
1
0.347859236
-0.047717853
0.108935884
0.320501577
0.133618027
0.301831725
0.066375597
0.306581383
0.247154789
0.046711734
0.231195405
0.367746316
0.347859236
1
0.240916542
0.231955545
0.557414361
0.317780195
0.648893087
0.343607487
xi no short sale
zi standard with short sale
0.212051251
0.14708369
0.109940629
0.090826123
0.105312996
0.080662203
0.072746089
0.06375368
0.048264333
0.039149796
0.006997006
0.007557675
0.01565453
9.759188289
6.283323035
4.847136674
4.322259255
5.651065974
4.374731073
4.039748174
3.651719976
3.887449788
3.232210584
0.70167816
0.802618552
1.98493974
0.862767019
0.607667707
-1.53104536
-2.678607181
-2.938814733
-1.534800611
-3.522839746
42.80239637
xi no short sale
zi standard with short sale
0.212051251
0.105312996
0
0
0.109940629
0
0
0
0.14708369
0.006997006
0.072746089
0.090826123
0.007557675
0.048264333
0.06375368
0.080662203
0
0.01565453
0
0.039149796
9.759188289
5.651065974
-1.53104536
-2.938814733
4.847136674
-3.522839746
0.862767019
0.607667707
6.283323035
0.70167816
4.039748174
4.322259255
0.802618552
3.887449788
3.651719976
4.374731073
-1.534800611
1.98493974
-2.678607181
3.232210584
42.80239637
0.024373395
0.001059236
0.032545901
0.73045744
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
Total Ret
0.00055
-0.04126
0.08476
0.01546
-0.05090
0.10034
0.02461
0.08266
-0.03879
-0.01312
0.03388
0.01882
0.03387
-0.04833
0.09164
-0.00999
-0.02792
-0.03494
0.07299
0.01385
-0.01300
0.04508
-0.00090
0.04844
-0.03953
-0.01391
0.07868
-0.03750
-0.01230
0.02016
-0.00588
-0.03124
-0.10718
0.04793
0.00198
0.00766
0.04162
0.05025
-0.07221
0.04177
-0.02907
0.00982
-0.00196
-0.05355
-0.02575
-0.01240
-0.03158
0.01384
0.02156
-0.01310
-0.01781
0.00942
-0.06050
-0.11836
-0.01832
-0.04287
0.04137
0.00105
-0.00837
-0.02150
0.04498
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
0.00058
0.00052
0.00092
0.00050
0.00077
0.00070
0.00080
0.00097
0.00065
0.00252
0.00103
0.00074
-0.00013
0.00055
0.00202
0.00059
0.00083
0.00037
0.00074
0.00102
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
-242.7978814
-268.3310758
-36.19145806
260.705322
-2.683418915
-257.1128636
-234.4088237
-114.5669766
-247.3794812
-147.0647053
13.28413487
-148.2369313
125.0906198
2.448174372
1117.512743
-139.6339471
223.6247661
602.215059
-308.7157277
-51.12154473
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
0.001815347
0.001946588
0.002640554
0.002177476
0.004102649
0.002256398
0.002154818
0.003112939
0.002430638
0.005745382
0.002548538
0.002506417
0.002652072
0.002262705
0.002023115
0.001992732
0.002655803
0.002639212
0.002306169
0.002885404
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
0.321864922
0.267965039
0.349456568
0.229164564
0.188869719
0.309951414
0.369527006
0.31127796
0.269058389
0.437942997
0.402363174
0.295697426
-0.047717853
0.240916542
1
0.296825281
0.3139591
0.141105945
0.322329809
0.354271414
xi standard with short sale
0.228005652
0.146798394
0.113244516
0.100981712
0.13202686
0.10220762
0.094381355
0.085315783
0.090823181
0.075514711
0.016393432
0.01875172
0.0463745
0.020156979
0.014197049
-0.035770085
-0.062580776
-0.068660051
-0.03585782
-0.082304732
1
xi standard with short sale
0.228005652
0.13202686
-0.035770085
-0.068660051
0.113244516
-0.082304732
0.020156979
0.014197049
0.146798394
0.016393432
0.094381355
0.100981712
0.01875172
0.090823181
0.085315783
0.10220762
-0.03585782
0.0463745
-0.062580776
0.075514711
1
0.025730223
0.001339444
0.036598411
0.686647937
REI-U CT Equity (RioCan Real Estate Investment Trust)
Total Ret
0.05647
-0.13531
-0.01814
0.08245
0.07195
0.02608
0.00707
0.07674
0.05893
0.00915
-0.01221
0.07473
-0.04887
-0.01232
-0.04027
0.03990
-0.03883
-0.00022
0.06133
0.01284
0.08694
-0.00549
-0.07601
0.00944
0.04388
0.03235
0.03979
-0.01605
-0.00823
0.00785
-0.01110
-0.02687
0.00504
-0.03915
-0.00296
0.02435
-0.02898
0.03206
-0.01534
-0.00792
-0.02828
0.02553
0.02177
-0.04797
-0.01032
RY CT Equity (Royal Bank of Canada)
Total Ret
-0.16020
0.00018
0.17293
0.14738
0.01651
0.07197
0.07217
0.08423
0.00290
-0.05596
0.02009
-0.02380
-0.08087
0.07006
0.02971
0.02803
-0.12164
-0.09678
0.05317
-0.06722
0.03420
0.00744
-0.00629
-0.06445
0.01901
0.04135
0.03976
-0.01480
-0.06659
-0.04290
-0.07479
-0.04149
-0.05769
0.00643
-0.04456
0.08329
0.00103
0.04662
0.02167
-0.01908
-0.11363
-0.00475
-0.02049
0.05718
0.00825
-0.02764
-0.02195
0.00983
-0.03667
0.02422
-0.01380
0.04954
-0.08046
-0.09298
-0.04852
-0.04402
0.02056
0.03583
-0.04354
-0.00620
0.04430
0.00110
0.01784
0.00005
0.03090
0.01400
-0.06064
-0.01300
-0.00425
-0.02065
0.04055
-0.00505
0.00036
0.05460
-0.01059
-0.00282
0.05905
REI-U CT Equity (RioCan Real Estate Investment Trust)
0.00076
0.00118
0.00093
0.00075
0.00071
0.00049
0.00137
0.00069
0.00060
0.00069
0.00167
0.00131
0.00028
0.00052
0.00059
0.00196
0.00052
0.00162
0.00059
0.00086
RY CT Equity (Royal Bank of Canada)
0.00058
0.00053
0.00208
0.00190
0.00031
0.00217
0.00062
0.00191
0.00058
0.00230
0.00093
-0.00009
0.00112
0.00166
0.00083
0.00052
0.00349
0.00043
0.00232
0.00172
REI-U CT Equity (RioCan Real Estate Investment Trust)
130.2297029
-465.3190941
-48.25306109
-698.6423262
4.132664039
RY CT Equity (Royal Bank of Canada)
-312.947497
-113.953874
81.92031376
285.5505985
-7.40208275
504.8004884
-218.1594767
192.9955663
256.9067255
11.202848
-408.6225526
-369.8645711
-196.7654887
137.762069
-139.6339471
1813.254105
-460.4918993
-333.3503838
782.4287827
-270.3651473
-783.6256296
-7.563744704
-65.65895575
-236.9898158
-70.65538099
-51.12555383
209.5060748
27.38161352
-146.6282181
223.6247661
-460.4918993
1368.786016
704.6383714
-971.2614836
97.01778256
REI-U CT Equity (RioCan Real Estate Investment Trust)
0.001788084
0.001917354
0.002600898
0.002144775
0.004041035
0.002222511
0.002122457
0.003066189
0.002394135
0.005659097
0.002510264
0.002468776
0.002612243
0.002228723
0.001992732
0.001962805
0.002615919
0.002599576
0.002271535
0.002842071
RY CT Equity (Royal Bank of Canada)
0.00238306
0.002555344
0.003466333
0.002858437
0.005385668
0.00296204
0.002828693
0.004086447
0.003190771
0.007542132
0.003345541
0.003290248
0.003481453
0.002970319
0.002655803
0.002615919
0.003486352
0.003464571
0.003027377
0.003787755
REI-U CT Equity (RioCan Real Estate Investment Trust)
0.42680215
0.616535309
0.359175774
0.348220745
0.17632081
0.219029744
0.646119614
RY CT Equity (Royal Bank of Canada)
0.241808086
0.205464414
0.599696734
0.664904219
0.057700125
0.731153009
0.217511003
0.223477093
0.250936654
0.121481005
0.664840451
0.528679879
0.108935884
0.231955545
0.296825281
1
0.199910157
0.622798502
0.259360644
0.304144209
0.466397556
0.181702801
0.30493632
0.278075826
-0.026738817
0.320501577
0.557414361
0.3139591
0.199910157
1
0.12399456
0.766059305
0.453209644
zi lintnerian short sale
zi ABS lintnerian short sale
9.759188289
6.283323035
4.847136674
4.322259255
5.651065974
4.374731073
4.039748174
3.651719976
3.887449788
3.232210584
0.70167816
0.802618552
1.98493974
0.862767019
0.607667707
-1.53104536
9.759188289
6.283323035
4.847136674
4.322259255
5.651065974
4.374731073
4.039748174
3.651719976
3.887449788
3.232210584
0.70167816
0.802618552
1.98493974
0.862767019
0.607667707
1.53104536
-2.678607181
-2.938814733
-1.534800611
-3.522839746
42.80239637
zi lintnerian short sale
2.678607181
2.938814733
1.534800611
3.522839746
67.21461163
zi ABS lintnerian short sale
9.759188289
5.651065974
-1.53104536
-2.938814733
4.847136674
-3.522839746
0.862767019
0.607667707
6.283323035
0.70167816
4.039748174
4.322259255
0.802618552
3.887449788
3.651719976
4.374731073
-1.534800611
1.98493974
-2.678607181
3.232210584
9.759188289
5.651065974
1.53104536
2.938814733
4.847136674
3.522839746
0.862767019
0.607667707
6.283323035
0.70167816
4.039748174
4.322259255
0.802618552
3.887449788
3.651719976
4.374731073
1.534800611
1.98493974
2.678607181
3.232210584
42.80239637
67.21461163
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
Total Ret
0.02900
-0.13300
-0.04272
0.05821
0.25800
-0.05965
0.08884
0.14775
0.14698
-0.08363
0.03222
0.04115
0.00043
0.01503
0.02599
-0.00343
-0.05744
0.00363
0.01961
0.05300
0.03002
-0.02236
-0.02487
-0.03283
0.00117
0.02803
0.02503
-0.04584
0.00968
-0.03396
-0.02178
-0.01222
0.00719
0.00625
0.02279
-0.03636
-0.01321
-0.00838
-0.01430
-0.00261
0.03545
-0.04766
0.03891
-0.02516
0.00291
-0.04745
-0.03896
0.00659
0.00554
-0.03012
-0.01346
0.01526
-0.08630
-0.10165
-0.03312
-0.05232
-0.01568
0.01504
-0.01309
-0.01616
0.05868
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
0.00126
0.00182
0.00121
0.00100
0.00053
0.00073
0.00207
0.00086
0.00134
0.00067
0.00200
0.00138
0.00046
0.00094
0.00037
0.00162
0.00043
0.00344
0.00132
0.00105
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
-297.4541821
-626.6836384
59.58752696
245.3113067
19.52959144
-479.5479566
-469.0845166
-5.77123008
-315.468895
-87.17344652
-84.68268947
-98.20633007
4.46143456
22.25238531
602.215059
-333.3503838
704.6383714
1542.989253
-754.0072361
-25.9091213
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
0.002368172
0.00253938
0.003444678
0.002840579
0.005352022
0.002943535
0.002811021
0.004060917
0.003170837
0.007495014
0.00332464
0.003269693
0.003459703
0.002951763
0.002639212
0.002599576
0.003464571
0.003442927
0.003008464
0.003764092
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
0.530846798
0.717168604
0.352019498
0.351916468
0.099059757
0.248634168
0.734671769
0.211925575
0.423701676
0.089325043
0.601056695
0.421438833
0.133618027
0.317780195
0.141105945
0.622798502
0.12399456
1
0.439348639
0.278695633
xi lintnerian short sale
0.145194446
0.093481505
0.07211433
0.064305352
0.084074963
0.065086013
0.060102232
0.054329258
0.05783638
0.048087916
0.010439369
0.011941132
0.029531373
0.012836004
0.009040708
-0.02277846
-0.039851561
-0.043722855
-0.02283433
-0.052411814
0.636801959
xi lintnerian short sale
0.145194446
0.084074963
-0.02277846
-0.043722855
0.07211433
-0.052411814
0.012836004
0.009040708
0.093481505
0.010439369
0.060102232
0.064305352
0.011941132
0.05783638
0.054329258
0.065086013
-0.02283433
0.029531373
-0.039851561
0.048087916
0.636801959
TD CT Equity (Toronto-Dominion Bank/The)
Total Ret
-0.08979
-0.07901
0.14389
0.08014
0.16201
0.06230
0.04273
0.05396
0.00474
-0.11962
0.05904
-0.02598
-0.05446
0.04885
0.10736
-0.01300
-0.06813
-0.05706
0.05158
-0.03226
0.01342
-0.02371
-0.00157
-0.02435
-0.00059
0.06612
0.03689
-0.05634
0.00095
-0.03917
-0.07561
-0.00564
-0.05563
-0.00031
-0.04145
0.01950
0.00695
0.02397
0.02893
-0.02388
-0.07140
-0.01074
-0.01905
0.00334
-0.00172
-0.01840
0.00309
-0.00918
-0.01474
0.00027
-0.02164
-0.03255
-0.00151
-0.01274
0.01620
0.01689
0.01636
0.02231
-0.00654
0.01595
0.05127
TD CT Equity (Toronto-Dominion Bank/The)
0.00064
0.00089
0.00220
0.00196
0.00049
0.00182
0.00112
0.00173
0.00047
0.00185
0.00102
0.00009
0.00091
0.00167
0.00074
0.00059
0.00232
0.00132
0.00263
0.00172
TD CT Equity (Toronto-Dominion Bank/The)
-239.3392086
119.9364945
-1138.129426
-1019.657412
-23.01076321
669.6272659
-959.1833327
-11.74924825
172.529532
4.223204565
250.7658951
871.8912676
-141.528233
-937.1174678
-308.7157277
782.4287827
-971.2614836
-754.0072361
3782.089007
-129.0154134
TD CT Equity (Toronto-Dominion Bank/The)
0.002069332
0.002218935
0.003009994
0.002482126
0.00467665
0.00257209
0.002456298
0.00354847
0.002770709
0.006549217
0.002905104
0.00285709
0.003023123
0.00257928
0.002306169
0.002271535
0.003027377
0.003008464
0.002628825
0.0032891
TD CT Equity (Toronto-Dominion Bank/The)
0.308352897
0.40005418
0.730555193
0.789350258
0.103894769
0.709449864
0.454344422
0.488629363
0.170604226
0.283189938
0.351785929
0.030546115
0.301831725
0.648893087
0.322329809
0.259360644
0.766059305
0.439348639
1
0.52354358
xi lintnerian abs short sale
0.145194446
0.093481505
0.07211433
0.064305352
0.084074963
0.065086013
0.060102232
0.054329258
0.05783638
0.048087916
0.010439369
0.011941132
0.029531373
0.012836004
0.009040708
0.02277846
0.039851561
0.043722855
0.02283433
0.052411814
1
xi lintnerian abs short sale
0.145194446
0.084074963
0.02277846
0.043722855
0.07211433
0.052411814
0.012836004
0.009040708
0.093481505
0.010439369
0.060102232
0.064305352
0.011941132
0.05783638
0.054329258
0.065086013
0.02283433
0.029531373
0.039851561
0.048087916
1
0.02250193
0.000966138
0.031082754
0.704632869
WTE CT Equity (Westshore Terminals Investment Corp)
Total Ret
-0.09172
-0.14144
0.12209
0.11475
0.08688
0.00465
0.04097
0.01936
-0.05375
0.00403
0.04770
0.04225
-0.05020
0.09435
0.01740
0.02374
-0.01088
-0.00007
0.04819
-0.02386
0.10027
0.10067
-0.05187
-0.00361
-0.03662
-0.08402
0.18330
-0.09189
0.00132
-0.06405
-0.09209
-0.00060
-0.06178
0.07729
-0.07570
-0.03084
0.05164
-0.03892
-0.02653
-0.01107
-0.05514
0.00807
-0.02110
-0.01995
0.10134
-0.01743
0.01633
-0.08939
0.00817
-0.10934
0.06941
-0.01310
-0.01991
-0.03622
-0.03235
-0.00443
0.03744
0.07892
-0.02776
-0.01291
0.06415
WTE CT Equity (Westshore Terminals Investment Corp)
0.00050
0.00051
0.00183
0.00136
0.00096
0.00174
0.00093
0.00157
0.00044
0.00275
0.00120
0.00011
0.00025
0.00111
0.00102
0.00086
0.00172
0.00105
0.00172
0.00412
WTE CT Equity (Westshore Terminals Investment Corp)
-103.4860273
171.3585901
-4.974448864
145.3628537
-18.46178612
-261.7156242
-20.202775
-78.65671121
-33.06010568
-25.86409653
12.64516778
213.2323307
84.66251387
-132.2790096
-51.12154473
-270.3651473
97.01778256
-25.9091213
-129.0154134
468.8871259
WTE CT Equity (Westshore Terminals Investment Corp)
0.002589081
0.002776259
0.003766006
0.003105556
0.005851272
0.003218115
0.00307324
0.00443973
0.00346662
0.008194167
0.003634771
0.003574697
0.003782433
0.00322711
0.002885404
0.002842071
0.003787755
0.003764092
0.0032891
0.004115215
WTE CT Equity (Westshore Terminals Investment Corp)
0.194505647
0.185166425
0.484975331
0.439114216
0.1635344
0.539166405
0.301360672
0.352794411
0.1270241
0.335270851
0.330653621
0.030941973
0.066375597
0.343607487
0.354271414
0.304144209
0.453209644
0.278695633
0.52354358
1
IV.
CCM
Security
BYD-U CT Equity
AP-U CT Equity
WTE CT Equity
NA CT Equity
BEI-U CT Equity
HR-U CT Equity
D-U CT Equity
KMP-U CT Equity
REI-U CT Equity
TD CT Equity
SRU-U CT Equity
CWB CT Equity
NVU-U CT Equity
BMO CT Equity
BNS CT Equity
CUF-U CT Equity
CM CT Equity
GRT-U CT Equity
RY CT Equity
LB CT Equity
Period II rf
var market =
Std market
Average RHO
Mean Return Ri bar (period II)
0.05123
0.02207
0.02922
0.02223
0.01880
0.02386
0.02237
0.02091
0.01630
0.01846
0.02098
0.02333
0.01525
0.01965
0.01624
0.01500
0.01500
0.03547
0.01659
0.01016
0.00060
0.00136
0.03684
0.342055527
Mean Return Ri bar (period II)
AP-U CT Equity
BEI-U CT Equity
BMO CT Equity
BNS CT Equity
BYD-U CT Equity
CM CT Equity
CUF-U CT Equity
CWB CT Equity
D-U CT Equity
0.022065386
0.018800565
0.019653413
0.016242309
0.051226677
0.015003037
0.015003037
0.023328963
0.02236866
GRT-U CT Equity
HR-U CT Equity
KMP-U CT Equity
LB CT Equity
NA CT Equity
NVU-U CT Equity
REI-U CT Equity
RY CT Equity
SRU-U CT Equity
TD CT Equity
WTE CT Equity
Period II rf
var market =
Equally Weighted Method
AP-U CT Equity
BEI-U CT Equity
BMO CT Equity
BNS CT Equity
BYD-U CT Equity
CM CT Equity
CUF-U CT Equity
CWB CT Equity
D-U CT Equity
GRT-U CT Equity
HR-U CT Equity
KMP-U CT Equity
LB CT Equity
NA CT Equity
NVU-U CT Equity
REI-U CT Equity
RY CT Equity
SRU-U CT Equity
TD CT Equity
WTE CT Equity
exp using matrix
var portfolio using matrix
std portfolio
0.035465053
0.023859797
0.020913282
0.010159611
0.022233994
0.015248467
0.016299769
0.01658681
0.02098098
0.018456419
0.029218845
0.0006
0.001357267
Mean Return Ri bar (period II)
0.02207
0.01880
0.01965
0.01624
0.05123
0.01500
0.01500
0.02333
0.02237
0.03547
0.02386
0.02091
0.01016
0.02223
0.01525
0.01630
0.01659
0.02098
0.01846
0.02922
Ri bar- Rf
STD i
0.05063
0.02147
0.02862
0.02163
0.01820
0.02326
0.02177
0.02031
0.01570
0.01786
0.02038
0.02273
0.01465
0.01905
0.01564
0.01440
0.01440
0.03487
0.01599
0.00956
Ri bar- Rf
0.09121
0.04036
0.06415
0.05031
0.04328
0.05666
0.05404
0.05572
0.04430
0.05127
0.05868
0.06921
0.04498
0.05871
0.04841
0.04791
0.05017
0.12773
0.05905
0.05896
STD i
0.021465386
0.018200565
0.019053413
0.015642309
0.050626677
0.014403037
0.014403037
0.022728963
0.02176866
Excess return over std
corr/(1-corr+i*corr)
0.555041445
0.342055527
0.53185016
0.254874348
0.446124239
0.203107465
0.430050205
0.168819055
0.420553355
0.144435577
0.410511336
0.126206822
0.402829911
0.112063628
0.364533202
0.100770878
0.354368111
0.091545734
0.348267945
0.083867978
0.347345077
0.077378408
0.32841227
0.071821012
0.325673064
0.067008401
0.324554796
0.062800256
0.323115531
0.059089425
0.300644914
0.055792668
0.287110282
0.052844342
0.272949171
0.050191979
0.270754823
0.047793147
0.162130705
0.045613151
Excess return over std
0.040359837
0.043277659
0.058706304
0.048410885
0.091212426
0.05016552
0.047907136
0.069208629
0.054039333
0.53185016
0.420553355
0.324554796
0.323115531
0.555041445
0.287110282
0.300644914
0.32841227
0.402829911
corr/(1-corr+i*corr)
0.254874348
0.144435577
0.062800256
0.059089425
0.342055527
0.052844342
0.055792668
0.071821012
0.112063628
0.034865053
0.023259797
0.020313282
0.009559611
0.021633994
0.014648467
0.015699769
0.01598681
0.02038098
0.017856419
0.028618845
xi (equally weighted)
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.021655754
0.001088093
0.032986252
0.1277346
0.056660547
0.055724093
0.058962372
0.050305741
0.044979055
0.04430356
0.059045337
0.058676461
0.051272071
0.064149944
0.272949171
0.410511336
0.364533202
0.162130705
0.430050205
0.325673064
0.354368111
0.270754823
0.347345077
0.348267945
0.446124239
0.050191979
0.126206822
0.100770878
0.045613151
0.168819055
0.067008401
0.091545734
0.047793147
0.077378408
0.083867978
0.203107465
sum excess return over std
0.555041445
1.086891605
1.533015844
1.963066049
2.383619403
2.794130739
3.19696065
3.561493852
3.915861963
4.264129909
4.611474985
4.939887255
5.265560319
5.590115115
5.913230646
6.213875559
6.500985841
6.773935012
7.044689835
7.20682054
sum excess return over std
1.086891605
2.383619403
5.590115115
5.913230646
0.555041445
6.500985841
6.213875559
4.939887255
3.19696065
Ci
0.189854994
0.277020789
0.311366962
0.331402955
0.344279444
0.352638361
0.358263008
0.358894861 no short-sale cut-off rate
0.358480456
0.357623954
0.356828591
0.354787702
0.352836776
0.351060661
0.349409399
0.346688698
0.343540316
0.339997207
0.336687895
0.328725792 with short-sale cutt-off rate
SUM
Ci
zi no short sale
3.268417278
6.513212197
2.066699114
2.149813197
2.165408823
1.384580895
1.235696739
0.153786803
18.93761505
zi no short sale
0.277020789
0.344279444
0.351060661
0.349409399
0.189854994
0.343540316
0.346688698
0.354787702
0.358263008
6.513212197
2.165408823
0
0
3.268417278
0
0
0
1.235696739
6.773935012
2.794130739
3.561493852
7.20682054
1.963066049
5.265560319
3.915861963
7.044689835
4.611474985
4.264129909
1.533015844
0.339997207
0.352638361
0.358894861 no short-sale cut-off rate
0.328725792 with short-sale cutt-off rate
0.331402955
0.352836776
0.358480456
0.336687895
0.356828591
0.357623954
0.311366962
SUM
0
1.384580895
0.153786803
0
2.149813197
0
0
0
0
0
2.066699114
18.93761505
E(Rp)
Variance Portfolio
STD
Sharpe
xi no short sale
zi standard with short sale
xi standard with short sale
zi lintnerian short sale
0.172588643
3.77112859
0.201793755
3.77112859
0.343929908
7.649329735
0.409316982
7.649329735
0.109131963
2.781485687
0.148837789
2.781485687
0.113520799
3.061309921
0.163811233
3.061309921
0.114344326
3.224928193
0.172566476
3.224928193
0.073112738
2.193848032
0.117393195
2.193848032
0.065250917
2.084217912
0.111526868
2.084217912
0.008120706
0.976653822
0.052260918
0.976653822
0.87968957
0.047072344
0.87968957
0.579298371
0.030998358
0.579298371
0.482291755
0.025807517
0.482291755
-0.00688524
-0.00036843
-0.00688524
-0.103154575
-0.00551982
-0.103154575
-0.107985584
-0.005778328
-0.107985584
-0.176137097
-0.009425127
-0.176137097
-0.890884164
-0.047671369
-0.890884164
-1.26084198
-0.067467877
-1.26084198
-0.663673393
-0.03551328
-0.663673393
-1.492229808
-0.07984948
-1.492229808
-4.294355595
-0.229791725
-4.294355595
1
18.68803415
1
18.68803415
xi no short sale
0.343929908
0.114344326
0
0
0.172588643
0
0
0
0.065250917
zi standard with short sale
7.649329735
3.224928193
-0.107985584
-0.176137097
3.77112859
-1.26084198
-0.890884164
-0.00688524
2.084217912
xi standard with short sale
0.409316982
0.172566476
-0.005778328
-0.009425127
0.201793755
-0.067467877
-0.047671369
-0.00036843
0.111526868
zi lintnerian short sale
7.649329735
3.224928193
-0.107985584
-0.176137097
3.77112859
-1.26084198
-0.890884164
-0.00688524
2.084217912
0
0.073112738
0.008120706
0
0.113520799
0
0
0
0
0
0.109131963
-0.663673393
2.193848032
0.976653822
-4.294355595
3.061309921
-0.103154575
0.87968957
-1.492229808
0.482291755
0.579298371
2.781485687
-0.03551328
0.117393195
0.052260918
-0.229791725
0.163811233
-0.00551982
0.047072344
-0.07984948
0.025807517
0.030998358
0.148837789
-0.663673393
2.193848032
0.976653822
-4.294355595
3.061309921
-0.103154575
0.87968957
-1.492229808
0.482291755
0.579298371
2.781485687
1
0.027666419
0.001179484
0.034343614
0.788106298
18.68803415
1
0.031868465
0.002137599
0.046234171
0.676306385
18.68803415
zi ABS lintnerian short sale
xi lintnerian short sale xi lintnerian abs short sale
3.77112859
0.102810653
0.102810653
7.649329735
0.208540379
0.208540379
2.781485687
0.075830445
0.075830445
3.061309921
0.083459173
0.083459173
3.224928193
0.087919827
0.087919827
2.193848032
0.059809933
0.059809933
2.084217912
0.056821135
0.056821135
0.976653822
0.026626092
0.026626092
0.87968957
0.023982598
0.023982598
0.579298371
0.015793162
0.015793162
0.482291755
0.013148512
0.013148512
0.00688524
-0.000187709
0.000187709
0.103154575
-0.002812259
0.002812259
0.107985584
-0.002943964
0.002943964
0.176137097
-0.00480195
0.00480195
0.890884164
-0.024287791
0.024287791
1.26084198
-0.034373791
0.034373791
0.663673393
-0.018093442
0.018093442
1.492229808
-0.040682018
0.040682018
4.294355595
-0.117075166
0.117075166
36.68032902
0.50948382
1
zi ABS lintnerian short sale
7.649329735
3.224928193
0.107985584
0.176137097
3.77112859
1.26084198
0.890884164
0.00688524
2.084217912
xi lintnerian short sale
0.208540379
0.087919827
-0.002943964
-0.00480195
0.102810653
-0.034373791
-0.024287791
-0.000187709
0.056821135
xi lintnerian abs short sale
0.208540379
0.087919827
0.002943964
0.00480195
0.102810653
0.034373791
0.024287791
0.000187709
0.056821135
0.663673393
2.193848032
0.976653822
4.294355595
3.061309921
0.103154575
0.87968957
1.492229808
0.482291755
0.579298371
2.781485687
-0.018093442
0.059809933
0.026626092
-0.117075166
0.083459173
-0.002812259
0.023982598
-0.040682018
0.013148512
0.015793162
0.075830445
0.018093442
0.059809933
0.026626092
0.117075166
0.083459173
0.002812259
0.023982598
0.040682018
0.013148512
0.015793162
0.075830445
36.68032902
0.50948382
1
0.023374718
0.000920128
0.030333617
0.75080783
III Return
Date
31-Jan-2014
28-Feb-2014
31-Mar-2014
30-Apr-2014
31-May-2014
30-Jun-2014
31-Jul-2014
31-Aug-2014
30-Sep-2014
31-Oct-2014
30-Nov-2014
31-Dec-2014
31-Jan-2015
28-Feb-2015
31-Mar-2015
30-Apr-2015
31-May-2015
30-Jun-2015
31-Jul-2015
31-Aug-2015
30-Sep-2015
31-Oct-2015
30-Nov-2015
31-Dec-2015
31-Jan-2016
29-Feb-2016
31-Mar-2016
30-Apr-2016
31-May-2016
30-Jun-2016
31-Jul-2016
31-Aug-2016
30-Sep-2016
31-Oct-2016
30-Nov-2016
31-Dec-2016
31-Jan-2017
28-Feb-2017
31-Mar-2017
30-Apr-2017
31-May-2017
30-Jun-2017
31-Jul-2017
31-Aug-2017
30-Sep-2017
31-Oct-2017
30-Nov-2017
31-Dec-2017
31-Jan-2018
28-Feb-2018
31-Mar-2018
30-Apr-2018
31-May-2018
30-Jun-2018
31-Jul-2018
31-Aug-2018
30-Sep-2018
31-Oct-2018
30-Nov-2018
31-Dec-2018
average
STD.P
STD III
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
period 3 return
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
BMO CT Equity (Bank of Montreal)
BNS CT Equity (Bank of Nova Scotia/The)
BYD-U CT Equity (Boyd Group Income Fund)
CM CT Equity (Canadian Imperial Bank of Commerce)
CUF-U CT Equity (Cominar Real Estate Investment Trust)
CWB CT Equity (Canadian Western Bank)
D-U CT Equity (Dream Office Real Estate Investment Trust)
GRT-U CT Equity (Granite Real Estate Investment Trust)
HR-U CT Equity (H&R Real Estate Investment Trust)
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
LB CT Equity (Laurentian Bank of Canada)
NA CT Equity (National Bank of Canada)
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
REI-U CT Equity (RioCan Real Estate Investment Trust)
RY CT Equity (Royal Bank of Canada)
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
TD CT Equity (Toronto-Dominion Bank/The)
WTE CT Equity (Westshore Terminals Investment Corp)
E(Rp)
Var(Rp)
STD(Rp)
Rf
Sharpe
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
Total Ret
0.001825648
0.028119192
0.033446808
-0.004993017
0.027085677
0.012769892
-0.007724713
0.024537473
-0.039281858
0.044123201
0.064602362
-0.004968203
0.071594164
0.01783022
-0.004577732
-0.003974887
-0.090036776
-0.019822222
0.031128379
-0.039533596
0.005602256
0.030653455
-0.083826377
-0.032268555
0.059038405
-0.048565092
0.11206749
0.014478758
0.030059444
0.069360789
0.027579941
-0.067335997
0.026489275
-0.039715313
-0.056671728
0.064612002
-0.053445385
0.036829724
0.034149909
0.018482934
0.04776039
0.020823333
-0.016530397
0.018058511
0.032497594
0.040850904
0.00645888
0.017625886
-0.014216142
0.005800324
-0.018513848
0.025907008
0.027929571
-0.012463264
0.017469074
0.029957405
-0.00826154
-0.015526589
0.069273969
-0.014345898
0.009171352
0.039112981
AP-U CT Equity (Allied Properties Real Estate Investment Trust)
0.001529825
0.002207188
0.001497647
0.001669344
0.002278128
0.001611807
0.001512723
0.003184981
0.002275003
0.001421634
0.001473622
0.001241575
0.001677286
0.001809041
0.00195533
0.001381917
0.001377459
0.001662004
0.001273528
0.003447558
0.009171
-0.002190
0.007913
0.004986
0.022906
0.006578
0.006578
-0.000691
0.003500
0.010733
0.005356
0.011784
0.001400
0.008628
0.005025
0.004525
0.008355
0.008875
0.008652
-0.001529
Markowitz SSS Weight
0.269284817
0.446122295
0.130786545
0.004297455
0.238118206
0.136265913
-0.155691566
-0.045746347
0.264980017
0.110510211
-0.114518714
0.095431946
0.120004831
-0.020426863
-0.191933898
-0.008183433
-0.203510627
-0.242534495
0.011896904
0.154846802
0.005535245
0.003559446
0.059661095
0.0006
0.082721329
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
Total Ret
-0.019796668
0.020713841
0.021388331
0.021597016
0.042262627
0.018828967
-0.002930556
0.063648209
0.00307464
0.038806927
-0.078230158
-0.038867454
-0.000642758
-0.031154643
-0.002164093
0.033580684
-0.03753568
-0.025926134
0.019386738
-0.049650543
0.008558676
-0.016993208
-0.114263984
0.02516327
-0.068132381
0.128313645
0.050139588
0.040488002
-0.007494687
0.087512893
-0.022226777
-0.098280214
0.030795778
-0.045304299
-0.089999395
0.095148638
-0.026176528
-0.053624501
0.064907418
-0.019717332
0.0453611
-0.004487631
0.009427711
-0.151391575
-0.054089001
BMO CT Equity (Bank of Montreal)
Total Ret
-0.028306059
0.07170144
0.013984097
0.031831377
0.009662475
0.030152071
0.044089685
0.029408146
-0.014702367
0.001033457
0.026061422
-0.020033389
-0.103244488
0.062114356
-0.020139427
0.048903332
-0.036919564
-0.02502964
-0.002811585
-0.027130721
0.025070423
0.055929011
0.014071541
0.012579432
-0.025777126
-0.007577772
0.056530476
0.047074729
0.006850991
-0.004252734
0.031809964
0.039187575
-0.011611865
0.002909163
0.037136832
0.090816672
0.028313419
0.02397643
-0.014485564
-0.018014318
-0.061969791
0.050181979
0.002557608
-0.052347716
0.05378864
0.052312527
0.016793003
0.074196822
0.034672153
0.025674037
-0.026481688
0.043441327
0.031728056
-0.036566929
0.003812907
0.084871895
0.013980125
-0.021462762
-0.151752629
-0.086672569
-0.002190487
0.056431099
0.056126231
0.004452089
0.013297069
0.016602048
-0.038389421
-0.001231527
0.011508426
0.0300482
0.011748307
0.024109427
0.037435748
-0.004019819
-0.067110944
0.007111653
-0.10027237
0.007913129
0.038290284
BEI-U CT Equity (Boardwalk Real Estate Investment Trust)
0.002207188
0.003184469
0.002160763
0.002408482
0.003286819
0.002325469
0.002182513
0.0045952
0.003282309
0.002051093
0.002126099
0.001791308
0.002419941
0.002610033
0.002821095
0.001993791
0.001987359
0.002397892
0.00183741
0.004974038
BMO CT Equity (Bank of Montreal)
0.001497647
0.002160763
0.001466146
0.001634231
0.00223021
0.001577904
0.001480904
0.003117989
0.00222715
0.001391731
0.001442626
0.001215459
0.001642007
0.00177099
0.001914202
0.00135285
0.001348486
0.001627045
0.001246741
0.003375042
SIM xi no short sale
CCM xi no short sale
0.212051251
0.105312996
0
0
0.109940629
0
0
0
0.14708369
0.006997006
0.072746089
0.090826123
0.007557675
0.048264333
0.06375368
0.080662203
0
0.01565453
0
0.039149796
0.007473571
0.002283231
0.047783165
0.343929908
0.114344326
0
0
0.172588643
0
0
0
0.065250917
0
0.073112738
0.008120706
0
0.113520799
0
0
0
0
0
0.109131963
0.008385387
0.002666131
0.051634589
0.143849227
0.150778526
BNS CT Equity (Bank of Nova Scotia/The)
Total Ret
-0.07152334
0.036333879
0.021388614
0.040137436
0.045495495
0.030859443
0.040342986
-0.026618025
-0.038450861
0.005985594
0.02144306
-0.059432624
-0.069900685
0.094169669
-0.048944769
0.058342417
-0.016984819
-0.014220183
0.006201151
-0.06184764
-0.023082033
0.058001648
-0.009757684
-0.069305305
0.025370734
-0.045826799
0.159057706
0.048611267
-0.025227964
-0.001714998
0.047385879
0.052782386
0.006446068
0.036823936
0.028579356
0.018260266
0.040128411
-0.009259259
0.01973001
-0.024678663
0.004480759
0.03340745
-0.004358416
0.0002575
0.03230789
BYD-U CT Equity (Boyd Group Income Fund)
Total Ret
-0.043988471
0.069852936
0.055029783
0.117025233
0.096097678
0.004835256
0.010753348
0.033954697
-0.103939982
0.081097599
0.062163221
0.017955605
-0.052725113
0.041522788
0.131431846
-0.027342466
0.026791506
-0.001686651
0.076469283
0.120297181
-0.02532277
-0.036054283
0.143245063
-0.028168637
-0.038365752
0.005551872
0.19683383
-0.012018866
0.006385455
-0.02013303
0.037317497
0.12069572
-0.050187071
0.012719212
0.046133697
-0.012086491
-0.004296372
0.013653898
-0.016420191
0.04119205
0.133510404
-0.038077082
-0.013081833
-0.014303625
-0.018483314
0.048664642
-0.021253602
0.004907373
0.00739645
-0.027165932
-0.001761006
0.004943795
-0.00861632
-0.038087935
0.03559914
-0.020236088
0.019330068
-0.072110742
0.023354565
-0.047026279
0.004985585
0.042680045
0.048687528
0.02773035
0.022430629
0.058729591
-0.008673198
-0.014892325
0.044284388
0.046108325
0.031068596
0.005580239
0.104599951
-0.031332753
-0.044655603
-0.044757572
-0.016403119
0.022905661
0.058244812
BNS CT Equity (Bank of Nova Scotia/The)
0.001669344
0.002408482
0.001634231
0.001821586
0.002485891
0.001758802
0.001650682
0.003475448
0.00248248
0.001551285
0.001608014
0.001354805
0.001830253
0.001974024
0.002133654
0.001507947
0.001503082
0.001813577
0.001389672
0.003761971
BYD-U CT Equity (Boyd Group Income Fund)
0.002278128
0.003286819
0.00223021
0.002485891
0.003392458
0.002400211
0.00225266
0.004742891
0.003387803
0.002117016
0.002194433
0.001848882
0.002497719
0.002693921
0.002911766
0.002057872
0.002051234
0.002474961
0.001896465
0.005133905
xi (equally weighted)
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.006527568
0.002175649
0.04664385
0.127081451
CM CT Equity (Canadian Imperial Bank of Commerce)
Total Ret
-0.04574515
0.070578722
0.038421704
0.025931759
-0.021080639
0.025627887
0.042327497
0.026677206
-0.022416113
0.022865096
0.034988823
-0.052858464
-0.116786859
0.084939896
-0.029184425
0.05510782
-0.020437655
-0.018641085
0.015097209
0.03456024
0.003608654
0.045890697
0
-0.079365102
0.000548306
-0.014138536
0.091782846
0.044526902
0.004045786
-0.034775366
0.022155812
0.049500958
-0.011006725
-0.012090829
0.054527363
0.045332654
0.011409273
0.052341846
-0.005875157
-0.038545391
-0.041995465
0.009906242
0.026852643
-0.030585844
0.05302625
0.040212513
0.040331103
0.048313787
-0.005549208
-0.038240604
-0.018267348
-0.016619768
0.012250738
0.021978003
0.038125219
0.030154987
0.000618621
-0.060728745
-0.019176636
-0.075799609
0.006577572
0.041209003
CM CT Equity (Canadian Imperial Bank of Commerce)
0.001611807
0.002325469
0.001577904
0.001758802
0.002400211
0.001698182
0.001593788
0.003355661
0.002396917
0.001497818
0.001552591
0.001308109
0.00176717
0.001905986
0.002060114
0.001455973
0.001451276
0.001751069
0.001341775
0.003632308
CUF-U CT Equity (Cominar Real Estate Investment Trust)
Total Ret
0.014235656
-0.018256189
0.027717809
0.033489704
-0.00269467
0.007434944
0.004677929
0.032562063
-0.014898712
0.016060103
-0.005082713
-0.006498933
0.049583717
0.022327455
-0.020598877
0.002663185
-0.047495106
-0.013200599
-0.001605631
-0.069962521
0.001485884
-0.03899052
-0.016076377
-0.011502461
0.021557209
0.033768103
0.133794513
0.011752707
-0.006282889
-0.005067392
0.069131037
-0.073257131
-0.064903364
-0.018254415
-0.049510406
0.060256536
-0.000515211
0.024879892
-0.020825769
-0.008860174
-0.066980941
-0.019059959
0.043477049
0.03776316
0.009257853
CWB CT Equity (Canadian Western Bank)
Total Ret
-0.057682359
0.003019489
0.023809446
-0.001881215
0.007000539
0.07206405
0.043369265
-0.022825565
-0.026391545
-0.041878173
-0.043708609
-0.086436767
-0.213129771
0.127667831
-0.038030357
0.131265777
-0.107427478
0.035567452
-0.144942649
0.004065041
-0.039883299
0.069816943
0.02109033
-0.079490373
-0.017964072
-0.132839721
0.224621373
0.146169772
-0.067557803
-0.036237402
0.023123732
0.044012688
-0.032306717
0.007920792
0.145776031
0.048068275
-0.024719842
-0.006083136
0.008349365
-0.088345226
-0.09541558
0.138230098
0.022644266
0.035714286
0.171427664
0.02691786
0.020607194
0.033248318
0.012860909
-0.036926742
-0.065683267
-0.023255207
-0.025538707
0.060082305
-0.013241869
-0.033371586
-0.032217504
-0.0574895
-0.025627914
0.063015853
-0.000652072
0.038675721
0.078018392
0.007429829
0.079024576
-0.014012739
-0.019896641
-0.122400212
0.03086233
-0.009685941
0.034094782
0.053102453
-0.027130721
-0.03218498
-0.102052786
-0.05813194
-0.088134012
-0.000691346
0.081430279
CUF-U CT Equity (Cominar Real Estate Investment Trust)
0.001512723
0.002182513
0.001480904
0.001650682
0.00225266
0.001593788
0.001495811
0.003149375
0.002249569
0.001405741
0.001457147
0.001227694
0.001658535
0.001788817
0.001933471
0.001366468
0.00136206
0.001643424
0.001259291
0.003409016
CWB CT Equity (Canadian Western Bank)
0.003184981
0.0045952
0.003117989
0.003475448
0.004742891
0.003355661
0.003149375
0.00663089
0.004736384
0.002959735
0.003067969
0.002584865
0.003491984
0.003766287
0.00407085
0.002877048
0.002867767
0.003460167
0.002651389
0.007177555
D-U CT Equity (Dream Office Real Estate Investment Trust)
Total Ret
0.023534553
0.013935409
-0.009475305
0.000147929
0.016099291
0.01084196
-0.002891125
0.008183959
-0.03173728
0.027142751
-0.048467734
-0.060134958
0.087301581
0.016074813
-0.031796865
0.057502396
-0.055072686
-0.047994122
-0.025432897
-0.096258486
0.006165399
-0.001084132
-0.120574337
-0.039183575
-0.061843397
0.235265879
0.056554639
0.015215444
-0.092416347
-0.009200664
0.025051894
-0.144689047
0.061350947
-0.005050073
0.08958079
0.088330422
-0.010889129
-0.018871751
0.033885531
0.016338875
0.031661788
-0.012421929
0.022711257
0.078130153
-0.012480271
0.044095236
0.004784852
0.01617059
0.027324772
-0.048354056
0.08987478
0.021991674
0.044719558
-0.05036304
0.027066685
0.015161432
0.000560861
-0.03338382
0.046550147
-0.079241628
0.003499993
0.058164897
D-U CT Equity (Dream Office Real Estate Investment Trust)
0.002275003
0.003282309
0.00222715
0.00248248
0.003387803
0.002396917
0.002249569
0.004736384
0.003383155
0.002114111
0.002191422
0.001846345
0.002494292
0.002690224
0.002907771
0.002055049
0.002048419
0.002471565
0.001893863
0.005126861
GRT-U CT Equity (Granite Real Estate Investment Trust)
Total Ret
-0.007305545
0.007694792
0.066493987
0.042855987
-0.052984368
-0.00288075
0.030172986
0.005881381
-0.046091812
0.083550078
-0.042301914
0.046339941
0.085541719
0.020480971
-0.014131
-0.055103005
-0.030817797
0.069140049
-0.057714597
-0.040684803
-0.017787055
0.019208328
0.072186137
-0.061957309
-0.003129939
0.021039859
-0.016673382
0.004557051
0.054078604
-0.006283589
0.054076838
0.030547572
-0.033577285
0.057972319
0.038685682
0.03252356
-0.005201771
0.041355597
0.016039041
0.057152675
0.049571945
0.00653524
-0.017201452
0.017540077
-0.011065805
-0.000262244
0.028480152
-0.030593039
0.032643138
-0.019044696
0.032319014
-0.001429638
0.023897131
0.045781642
0.010574413
0.020713598
0.015430212
-0.015937995
0.012821928
-0.019769795
0.010732551
0.036346855
GRT-U CT Equity (Granite Real Estate Investment Trust)
0.001421634
0.002051093
0.001391731
0.001551285
0.002117016
0.001497818
0.001405741
0.002959735
0.002114111
0.001321094
0.001369405
0.001153769
0.001558666
0.001681103
0.001817047
0.001284186
0.001280043
0.001544465
0.001183462
0.003203741
HR-U CT Equity (H&R Real Estate Investment Trust)
Total Ret
-0.006387684
0.057103602
0.033037726
0.014525941
0.016194425
-0.002843683
0.003593883
0.004872239
-0.050219086
0.031454028
0.018521882
-0.038873264
0.129215699
-0.00524388
-0.030289879
-0.002866039
-0.018434068
-0.002477978
-4.72978E-05
-0.070506198
0.00162734
0.025424632
0.028435373
-0.060389765
-0.054271955
0.002367982
0.123808992
0.0497084
-0.026999672
0.06625095
0.037808391
0.007828802
-0.033275082
0.022108982
-0.038848869
0.031011111
0.013772387
0.051387265
-0.017509679
0.008864568
-0.005277427
-0.034410563
-0.036725371
0.017842287
0.013858774
-0.000296154
-0.007819849
0.015903348
-0.010564269
-0.044049172
0.05848897
-0.014011621
-0.014342144
0.001237011
0.008732005
0.012168931
-0.01617598
0.008011602
0.062564523
-0.013191977
0.005356391
0.037676022
HR-U CT Equity (H&R Real Estate Investment Trust)
0.001473622
0.002126099
0.001442626
0.001608014
0.002194433
0.001552591
0.001457147
0.003067969
0.002191422
0.001369405
0.001419483
0.001195961
0.001615665
0.001742579
0.001883494
0.001331148
0.001326853
0.001600944
0.00122674
0.003320899
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
Total Ret
0.014358502
-0.016081698
-0.010555455
0.029454349
0.010508175
0.008558768
-0.014245326
0.023134024
-0.013259704
0.071591259
-0.029887052
-0.032837588
0.087781492
-0.016205753
0.020262557
-0.016335131
-0.034204803
-0.015417416
-0.013801929
-1.00301E-05
0.00509684
0.051203737
0.02976112
-0.010340282
0.039988322
0.011067497
0.073945469
0.009318833
0.015161663
0.070601521
0.033943072
-0.049778044
-0.018566447
-0.0149057
0.018592224
-0.003268569
0.020958823
0.048609438
0.004039875
0.017481861
-0.007636247
0.00713674
-0.033624185
0.066214464
0.017028357
0.005398397
0.075125722
0.008616651
-0.044175591
0.00972172
0.02300514
0.025477852
0.077059708
-0.012278762
0.022296554
0.043475164
0.019743541
0.005775921
0.021848957
-0.028917151
0.011783524
0.031743285
KMP-U CT Equity (Killam Apartment Real Estate Investment Trust)
0.001241575
0.001791308
0.001215459
0.001354805
0.001848882
0.001308109
0.001227694
0.002584865
0.001846345
0.001153769
0.001195961
0.001007636
0.001361251
0.00146818
0.001586906
0.001121535
0.001117917
0.001348848
0.001033569
0.002797966
LB CT Equity (Laurentian Bank of Canada)
Total Ret
-0.025362319
0.013339165
0.030087339
-0.002964845
0.008283772
0.061326095
0.033894906
-0.034529583
-0.016233722
0.023534269
0.028640581
-0.009565294
-0.063237943
0.046998505
-0.024904526
0.022010582
-0.010354111
0.018873693
0.02783548
-0.021422797
0.051097632
0.052453805
0.025108552
-0.099977017
-0.01242236
-0.042976939
0.055424357
0.045798319
0.014664524
-0.033376812
0.003524046
0.015492667
0.009307607
0.01121991
0.0762558
0.093491829
0.019573878
-0.024804621
0.031037739
-0.046610893
-0.067335244
0.051984998
0
0.036920805
0.084742745
NA CT Equity (National Bank of Canada)
Total Ret
-0.05600181
0.065196548
0.007214759
0.026862302
0.000219829
0.005258434
0.078214759
0.07192623
-0.015469804
0.032333921
0.008542141
-0.060079324
-0.10578479
0.088215336
-0.028583184
0.054282007
-0.004923077
-0.022263451
-0.02514919
-0.053344993
-0.003930129
0.016666667
0.010621104
-0.066794446
-0.008434632
-0.077808356
0.167216369
0.055307131
-0.029438002
0.028218811
0.011767368
0.030865578
0.02114842
0.029234738
0.050960735
0.09464035
0.030075188
0.00907958
-0.004908063
-0.049964183
0.004335533
0.034502764
0.029708417
0.023686554
0.05516192
-0.005140109
0.006833333
-0.05379904
-0.058906775
-0.044924812
-0.055500886
0.041173986
-0.083350233
0.006710138
0.03923317
-0.002145002
-0.070507309
-0.024413146
0.002887392
-0.071017274
0.001399633
0.042883115
0.042631141
0.015333014
-0.003876663
0.017857143
-0.024749373
-0.016330179
0.00560686
0.017054772
0.027801559
0.010297845
0.024149286
-0.00280003
-0.073631995
0.014056225
-0.06431224
0.00862789
0.046251683
LB CT Equity (Laurentian Bank of Canada)
0.001677286
0.002419941
0.001642007
0.001830253
0.002497719
0.00176717
0.001658535
0.003491984
0.002494292
0.001558666
0.001615665
0.001361251
0.001838962
0.001983416
0.002143806
0.001515122
0.001510234
0.001822206
0.001396284
0.003779871
NA CT Equity (National Bank of Canada)
0.001809041
0.002610033
0.00177099
0.001974024
0.002693921
0.001905986
0.001788817
0.003766287
0.002690224
0.001681103
0.001742579
0.00146818
0.001983416
0.002139218
0.002312207
0.001634138
0.001628866
0.001965344
0.001505966
0.004076788
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
Total Ret
0.053100403
0.01388571
-0.051281812
0.014127198
-0.018525667
0.054596211
0.024033813
-0.005455082
-0.024464333
0.037517804
-0.091927286
-0.08888517
0.042686279
0.051378834
-0.080213248
0.07004911
-0.03607734
-0.064304558
-0.041023052
-0.023091414
-0.040262736
-0.055976684
0.001439569
-0.037199913
-0.013717534
0.03539861
0.066075784
0.060832671
0.057647319
0.091169125
0.012859398
-0.097242033
0.08729638
-0.082998864
-0.032760199
0.055873149
0.040687091
0.052324696
0.01224026
0.048436553
-0.060404396
-0.003070852
-0.000643859
0.067277803
0.018807546
0.043435857
0.096085852
-0.009981282
-0.00046115
0.005574713
0.044076454
-0.005899277
0.078600908
-0.035217372
0.010149616
-0.03463386
0.016397988
-0.007590791
0.046863288
-0.066119575
0.005024944
0.049991851
NVU-U CT Equity (Northview Apartment Real Estate Investment Trust)
0.00195533
0.002821095
0.001914202
0.002133654
0.002911766
0.002060114
0.001933471
0.00407085
0.002907771
0.001817047
0.001883494
0.001586906
0.002143806
0.002312207
0.002499185
0.001766283
0.001760585
0.002124273
0.001627747
0.00440646
REI-U CT Equity (RioCan Real Estate Investment Trust)
Total Ret
0.005182065
0.064467312
0.018658719
0.026940059
0.00796396
0.003562791
-0.004215671
0.004693904
-0.048073703
0.038903858
0.032721716
-0.027658084
0.118292523
-0.00177372
-0.006198699
0.034746354
-0.068461319
-0.029346343
0.005236902
-0.088260379
0.052699051
0.005744564
0.006640053
-0.068303955
0.049424698
0.041080051
0.042099479
0.029981203
0.009706015
0.073666347
-0.007897795
-0.045708639
-0.007407104
-0.03752925
0.031361051
-0.001141582
-0.018832057
0.030256589
-0.013561597
-0.005796265
-0.019735912
-0.044035144
0.005734898
-0.007133859
0.010403289
RY CT Equity (Royal Bank of Canada)
Total Ret
-0.025673701
0.043812563
0.013064628
0.01340048
0.020369105
0.021972133
0.064362454
0.003728097
-0.008914201
0.00895215
0.039370079
-0.035113035
-0.096956821
0.091580708
-0.026433406
0.060836544
-0.01298215
-0.034020488
0.008607516
-0.03829006
0.006135806
0.024041679
0.017520396
-0.025368034
-0.010430587
-0.047966919
0.083393659
0.052175392
0.011678645
-0.031586959
0.053181795
0.024374921
-0.003311664
0.041473038
0.039140811
0.043523197
0.038754263
0.031209919
0.004249585
-0.026421071
-0.001069862
0.008460962
-0.003038764
-0.003548006
0.041648684
0.027486025
0.022382062
-0.017030943
-0.006132974
-0.01992528
0.011496415
-0.007180308
0.013687098
0.030533472
0.032712215
0.022545285
-0.018193222
-0.022712621
0.03543493
-0.032722964
0.004524593
0.035331424
0.05433537
-0.000198275
0.01784829
0.03481809
-0.040163312
-0.015530715
-0.009338705
0.003687014
0.010102041
0.035420174
0.020777942
-0.001157631
-0.063997736
0.015638032
-0.040854034
0.008354667
0.035217447
REI-U CT Equity (RioCan Real Estate Investment Trust)
0.001381917
0.001993791
0.00135285
0.001507947
0.002057872
0.001455973
0.001366468
0.002877048
0.002055049
0.001284186
0.001331148
0.001121535
0.001515122
0.001634138
0.001766283
0.001248309
0.001244283
0.001501316
0.0011504
0.003114238
RY CT Equity (Royal Bank of Canada)
0.001377459
0.001987359
0.001348486
0.001503082
0.002051234
0.001451276
0.00136206
0.002867767
0.002048419
0.001280043
0.001326853
0.001117917
0.001510234
0.001628866
0.001760585
0.001244283
0.001240269
0.001496473
0.001146688
0.003104191
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
Total Ret
-0.007095116
0.045487389
0.00162771
0.044563233
0.007375938
-0.005978118
-0.006893038
0.020892273
-0.030789287
0.07750013
0.014598912
-0.015002173
0.167136044
-0.037025607
-0.039041621
0.054382555
-0.049302239
0.004947492
0.052375142
-0.029661793
0.049473746
0.020159885
0.034696461
-0.052345248
0.030221086
0.043885882
0.05874971
-0.003306001
0.028382544
0.111360032
0.011767774
-0.076257486
0.001352404
-0.04974777
-0.065430432
0.04224377
-0.003935591
0.048456755
-0.018519482
-0.005126822
-0.044476038
0.048058556
-0.019302055
-0.025088546
-0.02786062
-0.01068177
0.009856106
0.066477679
-0.016606181
-0.023266842
-0.004890072
-0.005616927
0.026577588
0.042692771
-0.001378103
0.024896517
-0.009492298
-0.009183848
0.049887733
-0.0142848
0.008874965
0.042492383
SRU-U CT Equity (SmartCentres Real Estate Investment Trust)
0.001662004
0.002397892
0.001627045
0.001813577
0.002474961
0.001751069
0.001643424
0.003460167
0.002471565
0.001544465
0.001600944
0.001348848
0.001822206
0.001965344
0.002124273
0.001501316
0.001496473
0.001805603
0.001383562
0.00374543
TD CT Equity (Toronto-Dominion Bank/The)
Total Ret
-0.029489368
0.041528239
0.033293461
0.026629357
0.019533472
0.021763393
0.046910964
0.004033672
-0.034585153
0.012300741
0.03875969
-0.036619229
-0.080693978
0.083003953
-0.010766423
0.03716643
-0.027827648
-0.020498615
0.004499445
-0.005495547
0.002286585
0.030615068
0.016020864
-0.00550055
-0.010518425
-0.013546566
0.069235171
0.006229249
0.02256043
-0.028541411
0.035700502
0.028651784
-0.004784689
0.054864958
0.044528426
0.04168633
0.026283449
0.015576324
-0.027023079
-0.02700921
0.002646738
0.014751553
-0.00746908
0.043410611
0.047569341
0.052848123
-0.001363512
0.005598034
0.024130659
-0.010959636
-0.012027027
-0.00436654
0.049785051
0.005151915
0.023148776
0.019178437
-0.002034329
-0.061415141
0.007257292
-0.077487765
0.008651926
0.032560239
TD CT Equity (Toronto-Dominion Bank/The)
0.001273528
0.00183741
0.001246741
0.001389672
0.001896465
0.001341775
0.001259291
0.002651389
0.001893863
0.001183462
0.00122674
0.001033569
0.001396284
0.001505966
0.001627747
0.0011504
0.001146688
0.001383562
0.001060169
0.002869975
WTE CT Equity (Westshore Terminals Investment Corp)
Total Ret
0.023403641
0.065499718
-0.114207718
0.076132931
-0.062043796
-0.014088801
0.01809261
0.089457831
-0.066870648
0.027827648
-0.019796215
-0.050645599
0.011697755
0.0134375
-0.026810694
0.021773935
0.040112817
-0.073904916
-0.049983558
-0.083073728
-0.028561235
-0.141338583
-0.14351215
-0.367802327
0.125321888
0.110602593
0.204507118
0.055843408
-0.004907306
0.034364211
0.01656868
0.16508938
0.083382272
0.084696017
0.070351759
-0.059291165
-0.014677482
0.058408467
-0.013959938
-0.097883598
-0.088814411
-0.026725712
0.123274631
0.069915254
-0.043621938
0.025844102
0.012596505
0.061391588
-0.04260175
-0.009137863
-0.100205837
-0.004937163
0.037437979
0.043014408
0.01888376
0.106260297
0.005245689
-0.105812221
-0.00875
-0.12819531
-0.001528755
0.088143564
WTE CT Equity (Westshore Terminals Investment Corp)
0.003447558
0.004974038
0.003375042
0.003761971
0.005133905
0.003632308
0.003409016
0.007177555
0.005126861
0.003203741
0.003320899
0.002797966
0.003779871
0.004076788
0.00440646
0.003114238
0.003104191
0.00374543
0.002869975
0.007769288
