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Portfolio Optimization

Combined Portfolio Divided Portfolio Asset Allocation
 
Conclusions

Divided Portfolio/Initial Data

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

TABLE 2.3: The initial set of Equity funds (173 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	
	


	
	

TABLE 2.4: The initial set of Balanced funds (122 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
	======================           
	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	


	
	

TABLE 2.5: The initial set of Money Market funds (110 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
	======================           
	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	


	
	

TABLE 2.6: The initial set of Science and Technology funds (26 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
	======================           
	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	


	
	

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