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Portfolio Optimization

Combined Portfolio Divided Portfolio Asset Allocation
 
Conclusions

Combined Portfolio/Initial Data

We used data provided by Fundata Canada Inc., a leading provider of mutual funds information in Canada.

TABLE 2.1: The initial set of mutual funds (743 funds).

LEGEND:ID-Fund's identification #; Return - The three-year average annual compound return %; Std Dev - The three-year average standard deviation

		
	ID	Return	Std Dev
	======================           
	A00	12.7	6.0
	A01	4.3	5.3
	A02	4.5	5.5
	A03	14.2	5.4
	A04	11.8	8.1
	A05	9.6	5.3
	A06	6.7	7.8
	A07	5.4	7.3
	A08	5.2	4.8
	A09	4.3	4.7
	A10	6.8	4.1
	A11	9.5	4.2
	A12	8.7	4.2
	A13	6.0	6.2
	A14	8.3	3.0
	A15	7.5	4.6
	A16	10.8	6.7
	A17	6.1	4.5
	A18	8.3	4.6
	A19	7.5	4.6
	A20	6.4	5.0
	A33	5.2	4.9
	A34	6.8	5.7
	A36	10.7	5.5
	A37	5.8	5.3
	A40	8.2	5.6
	A41	8.3	5.4	
	A44	10.3	6.7	
	A45	10.6	6.7	
	A46	5.2	3.0	
	A47	4.9	3.0	
	A50	7.8	4.2	
	A51	5.4	7.6	
	A59	8.2	6.3	
	A60	7.3	5.5	
	A63	4.4	4.7	
	A64	5.2	6.3	
	A66	8.7	4.2	
	A69	10.0	5.4	
	A70	4.8	4.7	
	A71	5.1	4.0	
	A72	9.5	3.7	
	A73	9.1	3.7	
	A74	5.8	3.1	
	A76	6.9	5.5	
	A78	10.9	6.7	
	A79	7.0	7.1	
	A80	4.3	5.5	
	A81	4.3	5.5	
	A84	7.0	7.1	
	A85	17.6	2.8	
	A87	4.6	6.1	
	A88	4.9	5.8	
	A89	9.6	4.3	
	A91	6.8	5.1	
	A93	6.3	5.4	
	A94	5.9	5.4	
	A95	6.2	5.1	
	A96	4.9	5.6	
	A97	4.1	7.0	
	A99	6.1	5.9	
	B00	6.2	4.1	
	B01	6.0	5.2	
	B04	4.6	5.1	
	B05	7.8	5.5	
	B06	6.3	4.1	
	B07	4.8	5.2	
	B13	7.8	4.9	
	B14	6.5	5.2	
	B15	7.7	6.0	
	B16	10.1	8.7	
	B17	12.9	6.8	
	B18	6.7	6.0	
	B20	7.3	5.7	
	B24	9.1	4.8	
	B25	5.4	6.4	
	B28	6.2	5.5	
	B29	10.5	12.3
	B30	17.0	12.2	
	B31	6.8	4.1	
	B32	5.4	4.5	
	B33	6.1	4.1	
	B35	4.0	3.5	
	B37	9.4	6.0	
	B38	17.6	8.3	
	B39	8.9	9.1	
	B40	6.8	5.5	
	B43	9.4	6.0	
	B45	5.2	3.2	
	B46	5.5	3.2	
	B47	11.1	4.6	
	B48	6.7	5.4	
	B49	4.6	5.0	
	B50	9.0	7.3	
	B51	8.2	5.6	
	B52	10.1	5.6	
	B53	11.4	6.7	
	B55	7.0	4.6	
	B56	6.5	5.5	
	B57	6.4	6.0	
	B64	5.1	6.0	
	B65	4.6	5.7	
	B67	5.8	5.2	
	B68	4.3	5.5	
	B70	6.4	5.5	
	B72	9.4	6.4	
	B74	5.6	6.6	
	B75	5.0	5.1	
	B77	5.1	5.9	
	B78	5.1	5.9	
	B79	5.4	4.7	
	B82	6.4	5.3	
	B83	5.8	5.2	
	B84	6.9	6.7	
	B85	7.1	4.7	
	B86	7.7	5.0	
	B87	8.4	5.5	
	B88	4.8	4.1	
	B89	5.5	5.6	
	B90	5.5	5.2	
	B91	6.2	3.6	
	B92	5.4	5.8	
	B93	5.5	5.7	
	B94	5.2	5.1	
	B99	8.5	5.0	
	C00	14.0	6.6	
	C01	15.1	9.7	
	C02	6.3	6.1	
	C03	6.8	6.8	
	C04	19.5	7.5	
	C05	6.6	6.8	
	C06	6.0	6.5	
	C10	8.9	5.7	
	C11	4.0	7.0	
	C12	4.7	6.1	
	C13	4.1	6.2	
	C14	14.1	8.9	
	C15	14.3	8.9	
	C16	7.9	5.1	
	C20	20.2	6.3	
	C22	10.9	5.3	
	C23	20.8	9.1	
	C24	11.8	6.2	
	C25	30.1	8.6	
	C26	4.1	6.7	
	C27	6.1	5.0	
	C30	7.3	7.1	
	C31	6.0	7.2	
	C37	8.7	4.2	
	C40	4.9	3.9	
	C42	4.9	4.0	
	C43	4.8	4.0	
	C45	4.2	2.4	
	C46	8.3	3.3	
	C47	6.2	4.1	
	C52	6.8	3.5	
	C55	7.7	4.2	
	C56	5.3	2.4	
	C58	6.6	3.3	
	C59	6.2	4.0	
	C65	7.1	4.1	
	C66	7.7	1.8	
	C67	11.7	4.7	
	C68	7.8	4.2	
	C69	6.0	3.9	
	C70	6.4	3.6	
	C71	7.4	2.5	
	C72	7.6	2.5	
	C73	5.7	3.5	
	C75	8.3	4.9	
	C77	4.5	4.4	
	C78	5.5	3.1	
	C80	6.4	4.0
	D01	13.1	6.2
	D02	14.4	9.7
	D03	12.2	5.1
	D04	14.7	7.7
	D05	4.7	6.1
	D06	25.0	8.2
	D07	12.5	6.2
	D08	21.2	6.5
	E00	6.2	6.5	
	E01	13.1	7.0	
	E02	4.5	5.3	
	E03	5.7	4.6	
	E04	13.0	7.1	
	E05	13.9	7.1	
	E06	5.0	4.0	
	E07	4.1	4.6	
	E08	16.7	6.2	
	E09	5.9	4.8	
	E10	6.7	4.5	
	E11	4.0	6.0	
	E12	16.3	18.9	
	E13	6.1	3.4
	E14	4.7	5.4
	E15	4.1	4.3	
	E16	4.5	4.9	
	E17	5.7	7.4	
	E18	6.1	4.7	
	E19	10.1	4.6	
	E20	10.8	5.6	
	E21	10.0	5.6	
	E22	6.1	6.4	
	E23	5.8	6.4	
	E24	7.0	5.4	
	E25	5.5	4.5	
	E26	4.2	4.7	
	E27	5.9	6.5	
	E28	5.0	4.7	
	E29	6.6	6.5	
	E30	9.7	5.0	
	E31	20.9	8.3	
	E32	4.3	5.0	
	E33	5.0	4.8	
	E34	4.6	4.8	
	E35	11.7	5.3	
	E36	9.1	6.5	
	E37	5.0	6.1	
	E38	5.6	6.4	
	E40	5.3	4.7	
	E41	4.9	4.3	
	E42	4.9	4.3	
	E43	5.1	5.5	
	E44	6.5	3.8	
	E45	5.9	6.5	
	E46	4.2	4.7	
	E47	6.6	4.7	
	E48	15.2	5.0	
	E49	5.3	5.9	
	E50	6.7	5.1	
	E51	20.9	8.3	
	E52	5.4	4.7	
	E53	6.2	4.7	
	E54	4.9	5.7	
	E55	7.9	9.2	
	E56	6.1	4.6	
	E57	10.0	6.8	
	E58	8.5	4.4	
	E59	6.4	5.3	
	E60	4.7	4.5	
	E61	7.0	4.7	
	E62	4.5	4.7	
	E63	7.7	5.8	
	E64	23.9	5.1	
	E65	22.9	5.1	
	E66	27.8	14.3	
	E67	8.1	10.1	
	E68	6.9	9.3	
	E69	8.4	8.0	
	E70	12.2	7.8	
	E71	10.0	6.3	
	E72	13.9	7.0	
	E73	7.9	11.6	
	E74	14.3	7.5	
	E75	14.2	7.0	
	E76	9.1	11.0	
	E77	11.1	7.2	
	E78	6.3	9.3	
	E79	5.4	10.6	
	E80	5.4	10.6	
	E81	5.7	8.9	
	E82	8.2	4.8	
	E83	11.5	6.4	
	E84	5.1	5.4
	F00	4.1	5.2
	F01	8.2	9.4	
	F02	17.3	5.0	
	F03	6.6	6.1	
	F04	14.4	6.0	
	F05	7.3	6.0	
	F06	6.6	6.0	
	F07	31.6	6.9	
	F08	6.2	4.1	
	F09	4.4	4.1	
	F10	10.3	3.8	
	F11	5.7	5.5	
	F12	8.0	5.4	
	F13	7.1	5.4	
	F14	5.8	5.3	
	F15	5.6	3.3	
	F16	5.8	3.3	
	F17	5.4	4.6	
	F18	9.5	8.4	
	F19	4.6	5.3	
	F20	11.5	4.4	
	F21	11.3	4.4	
	F22	4.3	4.7	
	F23	4.0	4.4	
	F24	5.7	7.7	
	F25	5.1	5.8	
	F26	4.4	5.7	
	F27	12.0	10.4	
	F28	12.6	10.5	
	F29	6.6	8.0	
	F30	6.5	4.6	
	F31	5.7	4.2	
	F32	4.2	5.0	
	F33	4.7	4.4	
	F34	5.6	3.6	
	F35	4.1	3.9	
	F36	10.1	6.2	
	F37	5.6	5.2	
	F38	6.3	4.0	
	F39	15.7	7.0	
	F40	8.3	3.9	
	F41	15.3	4.2	
	F42	15.7	4.2	
	F43	7.3	3.3	
	F44	9.1	5.0	
	F45	5.9	3.9	
	F46	9.2	3.9	
	F47	21.5	6.7	
	F48	7.6	4.5	
	F49	7.2	5.1	
	F50	7.4	3.4	
	F51	7.6	3.3	
	F52	10.1	6.2	
	F53	8.1	3.6	
	F54	14.0	8.7	
	F55	6.2	4.1	
	F56	6.7	6.3	
	F57	16.6	8.9	
	F58	12.1	4.9	
	F59	33.4	10.2	
	F60	4.4	3.8	
	F61	10.4	3.8	
	F62	9.6	3.9	
	F63	7.8	6.9	
	F64	15.4	5.2	
	F65	5.1	5.9	
	F66	4.4	5.9	
	F67	5.1	3.7	
	F68	12.2	6.9	
	F69	14.8	8.5	
	F70	4.1	4.1	
	F71	8.7	5.4	
	F72	8.4	5.4	
	F73	8.2	8.7	
	F74	8.5	8.7	
	F75	4.0	4.1	
	F76	7.1	4.4	
	F77	5.1	4.9	
	F78	10.5	7.4	
	F79	4.0	4.7	
	F80	9.3	5.4	
	F81	10.9	5.7	
	F82	4.7	4.5	
	F83	4.4	4.4
	F84	10.4	7.3	
	F85	12.1	5.3	
	F86	11.2	5.3	
	F87	5.0	7.7	
	F88	10.5	6.5	
	F89	12.5	9.8	
	F90	4.7	8.1	
	F91	4.3	8.0	
	F92	19.0	9.4	
	F93	15.1	8.6	
	F94	17.5	8.1	
	F95	4.3	8.1	
	F96	4.1	8.1	
	F97	5.2	7.0	
	F98	7.7	6.7	
	F99	8.0	8.2	
	G00	10.2	7.1	
	G01	6.1	12.8	
	G02	10.2	9.8	
	G03	5.2	6.9	
	G04	4.7	9.8	
	G05	5.6	6.5	
	G06	18.4	7.2	
	G07	8.2	6.2	
	G08	20.0	7.6	
	G09	9.4	7.8	
	G10	9.6	7.5	
	G11	7.3	5.6	
	G12	6.8	5.7	
	G13	6.5	6.3	
	G14	5.6	4.4	
	G15	8.6	6.4	
	G16	8.5	5.2	
	G17	4.7	4.2	
	G18	6.5	5.7	
	G19	7.6	5.0	
	G20	4.2	6.4	
	G21	14.3	8.2	
	G22	8.0	9.7	
	G23	5.6	12.3	
	G24	35.8	12.9
	H01	25.7	10.2	
	H02	15.6	7.4	
	H03	6.8	6.6	
	H04	10.7	9.8	
	H05	9.1	9.9	
	H06	10.4	7.5	
	H07	5.4	8.7	
	H08	4.1	8.8	
	H09	36.2	50.4
	I01	8.9	8.3
	I02	23.3	14.6	
	I03	7.7	12.0	
	I04	34.1	15.3	
	I05	11.4	8.0	
	I06	7.5	4.1	
	I07	16.0	12.9	
	I08	22.2	14.6	
	I09	4.6	10.5	
	I10	5.0	6.6	
	I11	11.9	5.0	
	I12	12.3	12.4	
	I13	16.1	13.1	
	I14	16.0	5.0	
	I15	4.2	9.1	
	I16	10.2	13.2	
	I17	5.8	11.5	
	I18	13.1	12.1	
	I19	7.1	11.4	
	I20	26.5	11.4	
	I21	14.2	8.9	
	I22	9.5	13.3	
	I23	27.6	14.5	
	I24	44.2	5.8	
	I25	14.1	12.1	
	I26	8.7	12.9
	J01	4.2	1.3
	J02	4.6	1.2	
	J03	4.1	1.3	
	J04	4.2	1.0	
	J05	4.1	1.2	
	J06	5.7	1.1	
	J07	4.5	1.1	
	J08	4.2	1.2	
	J09	4.4	1.2	
	J10	5.5	1.7	
	J11	5.2	1.7	
	J12	4.1	1.2	
	J13	4.7	1.0	
	J14	4.3	1.0	
	J15	4.7	1.4	
	J16	4.1	1.1	
	J17	4.1	1.2	
	J18	4.9	1.1	
	J19	5.2	1.1	
	J20	5.8	1.1	
	J21	4.0	1.2	
	J22	5.0	1.5	
	J23	4.5	1.3	
	J24	4.3	1.3	
	J25	4.8	1.2	
	J26	5.0	1.2	
	J27	4.3	1.3	
	J28	4.3	1.3	
	J29	5.3	1.2	
	J30	4.3	1.2	
	J31	4.2	1.2	
	J32	6.7	1.4	
	J33	4.3	1.1	
	J34	4.4	0.7	
	J35	5.5	0.2	
	J36	4.8	0.7	
	J37	4.2	0.4	
	J38	5.5	0.9	
	J39	4.7	0.6	
	J40	5.3	0.4	
	J41	5.5	1.1	
	J42	4.5	0.7	
	J43	4.9	0.5	
	J44	4.1	0.5	
	J45	4.2	0.7	
	J46	4.9	0.5	
	J47	4.3	0.7	
	J48	4.3	0.5	
	J49	5.1	0.6	
	J50	4.8	0.8	
	J51	5.0	0.6	
	J52	4.4	0.5	
	J53	4.2	0.5	
	J54	6.2	0.5	
	J55	4.9	0.5	
	J56	5.1	0.6	
	J57	4.7	0.6	
	J58	4.5	0.4	
	J59	4.7	0.4	
	J60	4.6	0.4	
	J61	4.1	0.6	
	J62	4.1	0.5	
	J63	4.5	0.4	
	J64	5.3	0.7	
	J65	5.3	0.8	
	J66	4.1	0.6	
	J67	4.9	0.5	
	J68	5.0	0.6
	K01	5.7	2.0	
	K02	4.2	1.9	
	K03	5.6	1.5	
	K04	4.7	2.0	
	K05	7.5	2.0
	L01	6.1	2.6
	L02	6.2	3.5	
	L03	4.6	4.6	
	L04	11.0	4.9	
	L05	4.8	3.6	
	L06	8.1	3.3	
	L07	5.6	2.8	
	L08	5.5	2.5	
	L09	4.5	7.7	
	L10	4.3	2.5	
	L11	7.1	3.5	
	L12	4.0	3.5	
	L13	4.6	3.5	
	L14	4.3	7.0	
	L15	4.7	3.3	
	L16	4.7	2.2	
	L17	4.9	2.2	
	L18	8.7	2.8	
	L19	8.1	2.3	
	L20	4.8	3.0	
	L21	5.8	3.0	
	L22	4.0	2.9	
	L23	4.4	2.4	
	L24	4.8	2.9	
	L25	5.0	4.6	
	L26	4.3	3.1	
	L27	4.4	3.2	
	L28	4.1	3.2	
	L29	7.4	3.7	
	L30	4.7	2.7	
	L31	4.4	2.7	
	L32	7.1	3.7	
	L33	4.2	3.2	
	L34	4.4	3.9	
	L35	4.1	3.9	
	L36	5.1	2.2	
	L37	5.3	2.2	
	L38	6.1	3.5	
	L39	5.3	2.2	
	L40	4.1	3.1	
	L41	4.2	1.4	
	L42	5.6	3.8	
	L43	5.3	3.7
	L44	5.9	3.7	
	L45	6.0	3.3	
	L46	6.9	2.9	
	L47	6.3	2.1	
	L48	8.4	3.8	
	L49	5.6	1.7	
	L50	5.2	1.6	
	L51	5.7	2.2	
	L52	4.0	2.5	
	L53	4.0	2.5	
	L54	4.8	2.4	
	L55	5.8	7.3	
	L56	4.2	3.0	
	L57	5.8	3.0	
	L58	4.0	3.2	
	L59	4.5	3.1	
	L60	4.1	3.8	
	L61	6.5	3.1	
	L62	4.2	2.8	
	L63	5.1	2.9	
	L64	5.4	2.9	
	L65	5.2	2.6	
	L66	6.0	3.3	
	L67	4.8	1.7	
	L68	4.9	2.9	
	L69	4.2	3.6	
	L70	4.3	1.9	
	L71	5.1	2.8	
	L72	4.4	2.8	
	L73	4.7	3.5	
	L74	4.0	3.0	
	L75	4.2	4.1	
	L76	5.3	2.8	
	L77	4.7	3.1	
	L78	4.8	3.4	
	L79	6.9	3.0	
	L80	8.4	3.9	
	L81	6.3	3.0	
	L82	4.4	2.3	
	L83	4.8	2.9	
	L84	13.2	8.0	
	L85	12.8	7.5	
	L86	7.2	2.7	
	L87	4.7	2.8	
	L88	5.4	5.8	
	L89	7.3	2.8	
	L90	8.2	2.8	
	L91	4.2	4.2	
	L92	8.4	5.4	
	L93	5.4	2.7	
	L94	6.1	3.7	
	L95	4.9	2.4	
	L96	4.0	4.6	
	L97	5.3	3.6	
	L98	4.5	2.4	
	L99	4.4	3.3	
	M01	4.5	2.6	
	M02	6.9	3.1	
	M03	9.5	4.1	
	M04	5.9	3.2	
	M05	5.1	3.3	
	M06	12.6	2.1	
	M07	4.0	2.0	
	M08	4.9	2.3	
	M09	4.3	2.2	
	M10	4.9	3.3	
	M11	4.5	3.4	
	M12	4.4	2.3	
	M13	8.1	5.0	
	M14	10.5	3.1	
	M15	8.3	5.0	
	M16	7.8	5.0	
	M17	7.3	4.1	
	M18	7.1	4.1	
	M19	7.9	5.1	
	M20	5.0	2.1	
	M21	8.2	3.3	
	M22	7.1	3.6	
	M23	6.8	3.6
	N01	4.4	0.0	
	N02	4.4	0.0	
	N03	4.1	0.0	
	N04	4.2	0.3	
	N05	4.8	0.0	
	N06	4.0	0.0	
	N07	4.9	0.0	
	N08	4.2	0.1	
	N09	4.7	0.0	
	N10	4.6	0.0	
	N11	4.7	0.1	
	N12	4.4	0.0	
	N13	4.4	0.1	
	N14	4.3	0.1	
	N15	4.2	0.0	
	N16	4.3	0.0	
	N17	4.7	0.0	
	N18	4.1	0.0	
	N19	4.6	0.0	
	N20	4.1	0.0	
	N21	4.3	0.0	
	N22	4.2	0.1	
	N23	4.2	0.0	
	N24	4.2	0.0	
	N25	4.0	0.0	
	N26	4.6	0.1	
	N27	4.3	0.1	
	N28	4.1	0.1	
	N29	4.0	0.0	
	N30	5.0	0.0	
	N31	5.1	0.1	
	N32	4.2	0.1	
	N33	4.3	0.0	
	N34	4.4	0.1	
	N35	4.2	0.1	
	N36	4.5	0.0	
	N37	4.1	0.0	
	N38	4.4	0.0	
	N39	5.0	0.1	
	N40	4.9	0.1	
	N41	5.6	0.8	
	N42	4.2	0.0	
	N43	4.8	0.0	
	N44	4.1	0.1	
	N45	4.5	0.1	
	N46	4.4	0.0	
	N47	4.5	0.0	
	N48	4.3	0.1	
	N49	4.7	0.1	
	N50	4.2	0.0	
	N51	4.7	0.0
	N52	4.0	0.0
	N53	4.2	0.0
	N54	4.5	0.0
	N55	4.6	0.0
	N56	5.3	0.1
	N57	5.0	0.0
	N58	4.4	0.0
	N59	4.5	0.0
	N60	5.2	0.0
	N61	4.9	0.0
	N62	4.3	0.1
	N63	4.7	0.1
	N64	5.0	0.1
	N65	4.3	0.1
	N66	4.5	0.0
	N67	5.3	0.1
	N68	4.4	0.0
	N69	4.4	0.0
	N70	4.2	0.0
	N71	5.0	0.0
	N72	5.1	0.0
	N73	4.5	0.0
	N74	4.3	0.0
	N75	4.7	0.0
	N76	4.1	0.0
	N77	4.8	0.0
	N78	4.3	0.1
	N79	4.2	0.1
	N80	4.5	0.1
	N81	4.7	0.1
	N82	4.2	0.1
	N83	4.4	0.0
	N84	4.4	0.0
	N85	4.2	0.0
	N86	4.5	0.0
	N87	5.1	0.0
	N88	4.4	0.0
	N89	4.5	0.0
	N90	4.3	0.1
	N91	4.2	0.1
	N92	4.5	0.0
	N93	6.0	0.6
	N94	4.5	0.0
	N95	4.8	0.1
	N96	4.9	0.1
	N97	4.6	0.1
	N98	4.7	0.1
	N99	4.4	0.1
	P01	4.9	0.1
	P02	4.7	0.1
	P03	4.6	0.0
	P04	4.7	0.1
	P05	4.2	0.1
	P06	4.8	0.1
	P07	5.0	0.1
	P08	4.7	0.1
	P09	4.8	0.1
	P10	4.3	0.1
	P11	4.7	0.0
	Q00	25.0	4.4
	Q01	12.0	7.1
	Q02	8.0	6.9
	Q03	7.2	2.9
	Q04	6.2	6.4
	Q05	4.4	2.3
	Q06	5.0	4.4
	Q07	6.4	6.8
	Q08	15.6	10.3
	Q09	31.5	5.1
	Q10	6.9	5.8
	Q11	17.6	8.7
	Q12	19.2	9.8

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An Exact Polynomial Search Algorithm
for the 0/1 Knapsack Problem

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