they spend on R&D. See Table 9.9 for capital expenditures, dividends, and
R&D for all traded U.S. companies in 2000. Asset selection was not en-
hanced with these long-held variables of security valuation relative to the use
of expectation data. These trading evaluation measures, coupled with tradi-
tional and alternative means of trading, allow an investment firm to manage
client portfolios while tightly controlling trading costs.^1 (See Figures 9.1, 9.2,
and 9.3.)
244 THE OPTIMIZATION OF EFFICIENT PORTFOLIOS
TABLE 9.8 CTEF Variable with Various Quadratic Variables
Total Asset Risk
Active T-Stat Selection T-Stat Index T-Stat Sectors T-StatR1000 CTEF Analysis
CTEF 2.47 2.52 1.85 2.12 0.82 2.13 –0.11 –0.23
CTEF with 4.71 2.88 1.35 2.12 2.20 3.93 0.65 0.70
R&D
CTEF with 1.73 1.60 1.13 1.24 1.12 2.87 –0.37 –0.91
DIV
CTEF with 1.40 1.00 0.99 0.90 1.75 2.73 –1.17 –2.01
CE
R2000 CTEF Analysis
CTEF 9.68 5.83 8.81 5.57 0.90 2.36 –0.02 –0.07
CTEF with 9.17 5.18 7.01 4.98 1.06 2.84 0.86 1.00
R&D
CTEF with 4.41 2.56 3.46 2.21 1.75 4.01 –0.77 –1.91
DIV
CTEF with 8.98 4.86 7.89 4.57 1.39 3.11 –0.34 –0.70
CE
Note:Bold figures denote statistically significant at 10% level.
TABLE 9.9 Average Companies Expenditures for Year 2000 ($ millions)
Average Expenditures Number of CompaniesR&D Expenditures $ 68.46 4,671
Capital Expenditures 151.78 8,461
Dividends 36.41 9,622
Average Expenditures, by I/B/E/S Sectors
Financials
R&D Expenditures $ 1.41 173
Capital Expenditures 65.01 429
Dividends 65.35 932