analisi della performance di un portafoglio ... - Marco Marchioro

Data Totale Crude Oil Gold Wheat
02/11/11 0,08% 0,07% 0,98% -0,97%
03/11/11 3,32% 0,39% 1,97% 0,96%
04/11/11 -0,70% 0,16% -0,48% -0,38%
07/11/11 2,72% 0,37% 1,95% 0,41%
08/11/11 2,07% 0,27% 0,45% 1,36%
09/11/11 -2,70% -0,36% -0,38% -1,96%
10/11/11 -2,44% 0,67% -1,64% -1,47%
14/11/11 0,20% 0,22% 0,92% -0,93%
15/11/11 1,20% 0,37% 0,19% 0,64%
16/11/11 0,04% 1,03% -0,37% -0,62%
17/11/11 -5,52% -1,33% -2,26% -1,93%
18/11/11 -0,06% -0,46% 0,25% 0,15%
21/11/11 -3,04% -0,16% -2,37% -0,50%
22/11/11 1,18% 0,46% 1,28% -0,55%
23/11/11 -1,67% -0,52% -0,35% -0,81%
25/11/11 -1,08% 0,06% -0,56% -0,57%
28/11/11 2,14% 0,48% 1,28% 0,38%
Totale -8,06% 1,49% -0,46% -9,09%
Tabella 5.34 – Performance contribution fattore
Data Totale Crude Oil Gold Wheat
02/11/11 -0,11% 0,61% 1,30% -2,02%
03/11/11 -0,19% 1,67% -0,10% -1,77%
04/11/11 -4,10% -0,42% -1,29% -2,39%
07/11/11 1,26% -0,75% 0,71% 1,30%
08/11/11 -0,19% 6,47% -3,32% -3,33%
09/11/11 0,76% 5,11% -2,37% -1,99%
10/11/11 5,73% 2,60% -3,25% 6,38%
14/11/11 -1,05% 0,90% -0,94% -1,00%
15/11/11 6,41% 2,70% 4,82% -1,12%
16/11/11 15,15% 14,42% 0,96% -0,22%
17/11/11 -6,53% -3,45% 0,06% -3,14%
18/11/11 -4,82% -7,87% 1,29% 1,76%
21/11/11 -0,31% -1,25% -0,91% 1,85%
22/11/11 4,06% -1,27% 4,26% 1,06%
23/11/11 -2,28% -1,68% -0,19% -0,41%
25/11/11 15,16% 11,24% 1,76% 2,16%
28/11/11 0,18% 2,33% 0,96% -3,12%
Totale 36,36% 36,49% 7,15% -7,28%
Tabella 5.35 – Performance contribution fattore
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