MONTHLY RETURNS EXCESS RETURNS
Date Gold Oil Date Gold Oil
2015/01/01 -0.48% -4.64% 2015/01/01 -0.84% -5.13%
2015/02/01 0.97% 9.73% 2015/02/01 0.61% 9.25%
2015/03/01 1.36% -3.69% 2015/03/01 1.00% -4.18%
2015/04/01 0.41% 10.30% 2015/04/01 0.05% 9.81%
2015/05/01 0.06% -0.47% 2015/05/01 -0.30% -0.95%
2015/06/01 0.60% 5.58% 2015/06/01 0.24% 5.09%
2015/07/01 -0.77% -13.82% 2015/07/01 -1.13% -14.31%
2015/08/01 0.17% -13.82% 2015/08/01 -0.19% -14.31%
2015/09/01 -4.41% 4.52% 2015/09/01 -4.77% 4.03%
2015/10/01 -2.74% 2.37% 2015/10/01 -3.10% 1.89%
2015/11/01 -0.14% -4.84% 2015/11/01 -0.50% -5.33%
2015/12/01 -4.92% -11.84% 2015/12/01 -5.28% -12.32%
2016/01/01 -0.26% -13.06% 2016/01/01 -0.62% -13.54%
2016/02/01 3.65% 0.48% 2016/02/01 3.29% 0.00%
2016/03/01 9.59% 16.21% 2016/03/01 9.23% 15.73%
2016/04/01 0.60% 5.79% 2016/04/01 0.24% 5.30%
2016/05/01 4.72% 10.71% 2016/05/01 4.36% 10.22%
2016/06/01 -5.37% 4.63% 2016/06/01 -5.74% 4.14%
2016/07/01 1.55% -7.02% 2016/07/01 1.19% -7.51%
2016/08/01 9.83% 0.02% 2016/08/01 9.47% -0.47%
2016/09/01 -3.38% 0.36% 2016/09/01 -3.74% -0.12%
2016/10/01 0.18% 9.39% 2016/10/01 -0.18% 8.91%
2016/11/01 -2.68% -6.78% 2016/11/01 -3.04% -7.27%
2016/12/01 -7.15% 13.88% 2016/12/01 -7.51% 13.39%
2017/01/01 -0.31% 0.15% 2017/01/01 -0.68% -0.34%
2017/02/01 4.64% -0.15% 2017/02/01 4.28% -0.63%
2017/03/01 3.29% -6.83% 2017/03/01 2.93% -7.31%
2017/04/01 -0.34% 2.32% 2017/04/01 -0.70% 1.83%
2017/05/01 -0.59% -5.28% 2017/05/01 -0.95% -5.77%
2017/06/01 2.00% -7.03% 2017/06/01 1.64% -7.52%
2017/07/01 -2.56% 2.94% 2017/07/01 -2.92% 2.46%
2017/08/01 2.03% 3.09% 2017/08/01 1.67% 2.60%
2017/09/01 3.57% 4.52% 2017/09/01 3.21% 4.03%
2017/10/01 -2.23% 2.75% 2017/10/01 -2.59% 2.26%
2017/11/01 -0.73% 8.65% 2017/11/01 -1.09% 8.16%
2017/12/01 0.71% 1.94% 2017/12/01 0.35% 1.45%
2018/01/01 2.55% 8.83% 2018/01/01 2.19% 8.34%
2018/02/01 3.41% -2.86% 2018/02/01 3.05% -3.34%
2018/03/01 -1.40% 1.50% 2018/03/01 -1.76% 1.02%
2018/04/01 0.48% 5.41% 2018/04/01 0.12% 4.92%
2018/05/01 -0.48% 5.45% 2018/05/01 -0.84% 4.96%
2018/06/01 -1.70% -4.72% 2018/06/01 -2.06% -5.21%
2018/07/01 -3.68% 2.25% 2018/07/01 -4.04% 1.76%
2018/08/01 -2.52% -1.14% 2018/08/01 -2.88% -1.63%
2018/09/01 -2.45% 4.39% 2018/09/01 -2.81% 3.90%
2018/10/01 -0.70% 1.84% 2018/10/01 -1.06% 1.36%
2018/11/01 1.54% -19.23% 2018/11/01 1.18% -19.72%
2018/12/01 0.35% -13.20% 2018/12/01 -0.01% -13.69%
2019/01/01 4.21% 5.73% 2019/01/01 3.85% 5.24%
2019/02/01 2.74% 7.56% 2019/02/01 2.38% 7.07%
2019/03/01 -0.63% 4.84% 2019/03/01 -0.99% 4.36%
2019/04/01 -2.13% 8.05% 2019/04/01 -2.49% 7.57%
2019/05/01 -0.77% -4.60% 2019/05/01 -1.13% -5.09%
2019/06/01 1.04% -9.91% 2019/06/01 0.68% -10.40%
2019/07/01 7.20% 4.90% 2019/07/01 6.84% 4.41%
2019/08/01 1.35% -5.89% 2019/08/01 0.99% -6.38%
2019/09/01 6.20% 3.30% 2019/09/01 5.84% 2.82%
2019/10/01 -3.53% -3.98% 2019/10/01 -3.89% -4.47%
2019/11/01 -0.35% 5.38% 2019/11/01 -0.71% 4.89%
2019/12/01 -0.03% 4.27% 2019/12/01 -0.39% 3.79%
Mean Return 0.36% 0.49%
SUMMARY OF RETURNS AND RISK VARIANCE-COVARIANCE MATRI
Fund Name Gold Crude Oil
Average Return 0.36% 0.49% Gold
Annual Return 1.45% 1.96% Crude Oil
Variance 0.10% 0.54%
Annual Variance of Returns 0.42% 2.15%
Srandard Deviation of Returns 6.47% 14.68%
Q stdev 3.24% 7.34%
Annual stdev 6.47% 14.68%
Fund Name Average Return Weights
Gold 0.36% 0%
Crude Oil 0.49% 100%
Total Weights 100%
Return 0.49%
Variance 0.54%
Standard Deviation 7.34% Assuming Rf=2%
Sharpe Ratio -20.615221204291400%
VARIANCE-COVARIANCE MATRIX
Gold Crude Oil
0.10% 0.03%
0.03% 0.54%
Assuming Rf=2%
