Efficient Portfolio Optimization Results 243
TABLE 9.6 Sector Exposures to CTEF Variable with R&D Quadratic Variable,
Lambda = 100. Attribution Report: Annualized Contributions to Sector Return
AverageContribution (% Return) TotalSource Active Average Variation Total Risk Info
of Return Weight (%) [1] [2] [1+2] (% Std Dev) Ratio T-Stat
Basic Materials 3.25 –0.01 –0.10 –0.11 0.87 –0.12 –0.43
Energy –3.35 –0.21 0.33 0.12 0.84 0.16 0.56
Consumer –2.41 –0.08 0.00 –0.09 0.36 –0.17 –0.58
(Noncyclical)
Consumer –6.84 0.09 –0.20 –0.11 1.13 –0.03 –0.11
(Cyclical)
Consumer Services –3.81 –0.09 0.01 –0.07 0.55 –0.07 –0.24
Industrials 6.02 –0.11 0.35 0.24 1.01 0.17 0.60
Utilities –4.65 –0.13 0.01 –0.12 0.72 –0.10 –0.33
Transportation –1.63 0.00 0.05 0.05 0.31 0.14 0.47
Health Care 0.20 0.01 –0.13 –0.11 0.90 –0.07 –0.23
Technology 34.53 3.54 0.07 3.61 4.94 0.62 2.13
Telecommunications –1.21 –0.11 0.01 –0.10 0.26 –0.28 –0.97
Commercial –2.64 –0.06 –0.04 –0.09 0.50 –0.09 –0.32
Services
Financial –17.45 –1.21 –0.01 –1.22 2.60 –0.34 –1.17
Total 2.00 6.08 0.33 1.15
TABLE 9.7 Risk Index Exposures to CTEF Variable with R&D Quadratic
Variable, Lambda = 100. Attribution Report: Annualized Contributions to
Risk Index Return
AverageContribution (% Return) TotalSource Active Average Variation Total Risk Info
of Return Exposure [1] [2] [1+2] (% Std Dev) Ratio T-Stat
Volatility 0.51 –0.33 –0.24 –0.56 2.28 –0.10 –0.36
Momentum –0.18 0.09 1.88 1.96 1.90 0.89 3.08
Size –0.28 0.31 0.20 0.51 1.32 0.30 1.04
Size Nonlinearity –0.56 0.27 –0.14 0.12 2.21 0.05 0.19
Trading Activity 0.22 0.13 –0.11 0.03 0.87 0.06 0.20
Growth –0.02 0.02 0.05 0.07 0.31 0.17 0.59
Earnings Yield 0.07 0.39 –0.65 –0.26 0.97 –0.23 –0.78
Value 0.03 0.01 0.15 0.17 0.48 0.27 0.94
Earnings Variation 0.19 –0.29 –0.05 –0.33 0.56 –0.47 –1.63
Leverage –0.04 0.00 –0.07 –0.06 0.22 –0.21 –0.72
Currency Sensitivity 0.16 –0.06 –0.28 –0.34 0.51 –0.53 –1.82
Yield –0.43 0.01 –0.08 –0.07 0.96 –0.09 –0.33
Non-Est Universe 0.16 –0.41 0.00 –0.41 1.09 –0.31 –1.07
Total 0.82 3.45 0.28 0.98