Insights on the Relationship of Liquidity and Optimal Portfolio

Weights: A Test of the Modern Portfolio Theory in the

Philippine Case (2003-2008)
A thesis presented to the
Financial Management Department
College of Business of Economics
De La Salle University-Manila

In Partial Fulfillment
of the Requirements for the degree of
Bachelor of Science in Commerce,
Major in Management of Financial Institutions

Bullan, Camille
Chan, Hannah Cecille L.
Tan, Donnie Paul C.
Vida, Mila Roselle H.

August 2009
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Acknowledgement
Our utmost gratitude to the following:
To Ms. Eleanor Faigao and Mr. Marlon Galang of China Banking Corporation for
believing in our intelligence, supportive of all our requests, and providing us with all
the important data we used in the paper.
To Mr. Andrew Pua, who we are utterly grateful for his patience and who was the
mastermind for this thesis topic, and supported us for the last three weeks of the term.
To Dr. Lawrence Dacuycuy, for providing constructive insights, and for being
supportive in every way.
To Mr. Ruben Carlo Asuncion, for his great advice, encouragement and appreciation.
To Mr. Rene Hapitan, who have worked with us during the conceptualization of our
thesis.
To Ms. Lei of the Bangko Sentral ng Pilipinas (BSP) and Mr. Doven Penafrancia of
the Philippine Stock Exchange (PSE), for providing us the important data we needed.
To Ms. Margarita Esquejo, Ms. Nicole Lichengyao and Ms. Suzette San Gaspar, who
might as well be part of our thesis group for their incomparable support and help.
To the DLSU-SCoOp, for giving us special treatment in your printing services and
more.
To all our family and friends who sought time to pray for us especially in times of our
distress.
And most especially, to the Lord, the source of everything, for being our guiding
light, who, with a line, can provide mankind hope and inspiration to go on:

I can do all things through Christ who strengthens me. Philippians 4:13
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Abstract

The paper aims to study the effects of liquidity, specifically, on its impact to
optimal portfolio weights, in consideration of a risk-free asset. We examined
historical data of ninety (90) stocks listed in the Philippine Stock Exchange, equally
distributed as small-cap, mid-cap, and large-cap stock. Using these stocks daily last
prices, share volumes and shares outstanding, we obtain three common measures of
stock liquidity and study its relationship to optimal weight measure. The weights are
derived based on Markowitz Modern Portfolio Theory, which strongly assumes
mean- variance investors.

Ordinary Least Squares (OLS) and Fixed Effects (FE) panel regression are
utilized to capture the existence of this link between optimal portfolio weight and
liquidity. Whites Test was also employed for post-estimation.

It is found in the study that there is no direct link between liquidity and
optimal security weights, as evidenced by both overall regressions and regressions in
annual frequency. This is consistent with Markowitzs Modern Portfolio Theorys
position in the relationship of liquidity and portfolio weights. This study is only
limited to the assumptions and behaviors of mean-variance investors, and therefore
does not apply to other kinds of investment preference assumptions.

Table of Contents

CHAPTER 1: INTRODUCTION... 1
1.1 Problem Statement
1.2 Objectives of the Study
1.3 Hypothesis
1.4 Scope and Limitations
1.5 Significance of the Study

CHAPTER 2: REVIEW OF RELATED LITERATURE

2.1 Studies on Liquidity

2.2 Portfolio Choice
2.3 Effects of Liquidity on Portfolio Weights
2.4 Capital Asset Pricing and Portfolio Theories
2.5 Mean Variance Portfolio Studies
2.6 Characteristics and behavior of large and small stocks
2.7 Research Gap

CHAPTER 3: THEORETICAL FRAMEWORK..

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3.1 Expected Utility Hypothesis

3.2. Modern Portfolio Theory
3.3 The Optimal Portfolio Choice
3.4 Security Liquidity and Optimal Portfolio Weights

CHAPTER 4: OPERATIONAL FRAMEWORK

4.1 Empirical Application
4.2 Liquidity Measures
4.3 A priori expectations
4.4 Variables and Definitions of Terms

33

CHAPTER 5: METHODOLOGY

40

5.1 Data
5.2 Descriptive Statistics
5.3 Regression
5.4 Post-estimation tests

CHAPTER 6: RESULTS AND DISCUSSION.

48

6.1 Overall OLS Results

6.2 Panel Analysis
6.3 Post-Estimation and Robustness Tests

CHAPTER 7: CONCLUSION AND RECOMMENDATION.. 58

REFERENCES

59

APPENDICES
LIST OF APPENDICES
A. List of Companies......I-1
B. Computed Values..II-1
C. Covariances..................................................................III-1
D. Getting the optimal portfolio weights, liquidity and the regressionIV-1
E. Shapiro-Wilk Normality TestV-1

Chapter 1
Introduction

Its hard to thaw a frozen market.

-Tyler Cowen, The New York Times

Does market liquidity affect the financial asset allocation of an investor with a
mean-variance preference? Several authors (Amehed & Mendelson, 2008; Jones,
2002; Pereira & Zhang, 2004) have regarded the significant effects of liquidity on the
financial market. For example, in the case of the stock market, Mantecon and Poon
(2008) discussed that it is essential for a secondary market to maintain a level of
liquidity, since it affects the decision of firms whether to go public or not. It also
explains the reason why firms usually pursue their Initial Public Offering (IPO)
followed by the seasoned equity offerings, and why firms usually decide to go public
if the market has a satisfactory level of liquidity. Stock liquidity may be a powerful
tool to price a stock.
Ait-Sahalia and Brandt (2001) acknowledged four kinds of portfolio
preferences in their paper, namely: the Constant Relative Risk Aversion (CRRA; also
called the Power Utility), Ambiguity Aversion, Prospect Theory and of course, the
Mean-Variance. The Mean-Variance and CRRA preferences both make use of
expected utility objectives; while the Ambiguity and Prospect Theory preferences are
generalized non-expected utility objectives. The literature recognizes the flexibility of
the Mean Variance preferences as the simplest, yet the foundation of portfolio
preferences. This is due to the fact that Mean Variances preferences on optimal
portfolio choice could be easily compared to both parametric and semi-parametric
estimates. (Ait-Sahalia and Brandt, 2001)

The Constant Relative Risk Aversion (CRRA), was also considered as the
most popular objective function in the portfolio weight literature. (Ait-Sahalia and
Brandt, 2001) It has been developed to show that the investors preferences are
dependent on its wealth function.

The Ambiguity Aversion (AA) responds on the ambiguities that are not
captured by the expected utility models which assumed that its investors are
knowledgeable on the models parameters. The AA acknowledges that fact the
investors are not very keen not only to the idea of risks, but also in the existence of
ambiguities in the markets. Therefore, it also makes use of the CRRA preferences, but
assumed that the parameters of the return distribution is not dependent on its usual
predictors. (Ait-Sahalia and Brandt, 2001)

The Prospect Theory preferences, on the other hand, respond to the idea of the
certainty effect, wherein investors would prefer outcomes that are already certain,
than risk for outcomes that not yet sure. A risk-averse investor would sometimes
prefer having a small amount of capital gain, than having a risky gain. But in the case
of already losses, the investor would tend to risk for more, and prefers probably losses
than certain loss. These kinds of preferences violates the expected utility theories, to
the fact that investors tends to ignore the components usually used in portfolio
decision making, and would choose to simply their decisions based on how the
certainty effect has affected them. This theory is usually tested in experimental
studies. (Ait-Sahalia and Brandt, 2001)

Stock liquidity and firm value can be considered to have a positive

relationship. Liquidity increases both the value of stocks in the possession of the
owners and the stocks that are used in acquisitions. It is highly encouraged that firm
managers should hire highly skilled underwriters either in cases when they experience
2

under-pricing of stocks, or in cases where they are enjoying from the liquidity offered
by secondary market because they need to decrease the amount of IPO's that are
possible to be pulled out (Amehed & Mendelson, 2008; Pereira & Zhang, 2004).
However, they can also be considered to have a negative relationship. Some studies
(Amihud, 2002; Jones, 2002) found that high liquidity can also predict low stock
returns.

On the part of the investors, facing liquidity constraints are part of their
regular transactions. The liquidity or illiquidity of an asset reflects welfare of its
owners. The recent Madoff case and other hedge funds have showed the economy of
the importance of liquidity in the market. Lack of a brokers ability to unwind cash,
and vulnerability to the thin markets, exposes the investor to additional risks other
than the ordinary risks of a portfolio (Longstaff, 2001). Furthermore, mean-variance
investors, which are based on the mean-variance framework which says that these
kinds of investors does not allow any decisions affected by factors other that the
expected return and risk in its expected utility. Lim and Zhou (2002) argue that
analysis appended by the mean-variance theory can conclude better in stable financial
markets.

Moreover, liquidity has been a top priority for many financial and nonfinancial institutions all over the world. The ongoing liquidity crunch in the United
States, Iceland and elsewhere is caused by the securities backed up by subprime
mortgages. Business sentiments and confidence were also hampered in fast emerging
markets, such as India, where they experienced short-term liquidity crunch (Murali,
2008).

For the past two decades, researchers have been studying the relationship
between the stock liquidity and expected asset returns. However, its effects on the
3

portfolio choices, especially the allocation of portfolio weights, of investors were

rarely discussed in the literature. It is where this paper stands: on testing if liquidity
and optimal portfolio weights do have a relationship in a world of investors with
mean variance preferences.

1.1 Problem Statement

1. Does stock liquidity affect the optimal portfolio weights of a mean-variance
investor in the Philippine setting?
2. Will this relationship be different on stocks with varying market
capitalizations, such as large cap, mid cap, and small cap stocks?

1.2 Objectives of the Study

This study aims to empirically recognize whether there is an existence of the
relationship of liquidity and portfolio weights, in a mean variance investment setting.
Specifically, this paper would like to address the following goals:

To be able to determine if the dependence of portfolio weights on market

liquidity does exist in the Philippine setting.

If a certain relationship does exist, to be able to determine the effects of

market liquidity on the optimal portfolio choice,

To be able to differentiate the effects of liquidity on large cap, mid cap and
small cap stocks.

1.3 Hypothesis
1. Ho

Stock liquidity does not significantly affect

optimal portfolio weights taking into
consideration the stock and a risk-free asset.

H1

Stock liquidity does significantly affect optimal

portfolio weights taking into consideration the
stock and a risk-free asset.

1.4 Scope and Limitations

The study only covers the Modern Portfolio Theory developed by Harry
Markowitz, and its position on the relationship of portfolio weights and liquidity.
Other theories that may have affected the relationship, or any factors, are not covered
here. The relationship would only be examined through the Ordinary Least Squares
and Fixed Effects Regression methods. Other possible way to capture this relationship
would not be used.

The paper is also limited to the Philippine setting as a developing economy,

using only averaged daily 2003 to 2008 time series data and analyses. Related studies
used for the review were limited to foreign studies as there exists a dearth of similar
literature, and, might there be the existence, the constraint of access.

1.5 Significance of the Study

There is, generally, little literature available regarding the relationship
between liquidity and optimal portfolio choices, much so for the Philippine setting.
This study contributes to the study of the Philippine asset portfolios by recognizing its
relationship to liquidity, supported by the Modern Portfolio Theory of Harry
Markowitz. Our contribution to the literature is due to the absence of an empirical test
of the theory in the Philippine setting, or in any location heard of.

The Modern Portfolio Theory has been recognized and applied for the last few
decades, but it has been silent on the relationship of portfolio weights and liquidity.
This study attempts to derive its explanations regarding this relationship theoretically,
and see if this is really is so in the Philippine stock market. If the result does show
that liquidity do affect portfolio choice, it would mean that portfolio choice may be a
function of liquidity. And therefore assuming that Filipino investors are meanvariance investors and fundamentalists, knowing the right way to improve liquidity in
the market may lead to efforts in improving transactions positively, leading to a lesser
friction market.

Especially in an emerging market, such as the Philippines, studies of liquidity

and the equities market may further heighten economic activity, specifically the stock
trading. The study hopefully would be of assistance to BSP and the Department of
Finance policy makers, and speculative investors in determining the investing
behavior in response to a liquid-illiquid economy.

Chapter 2
Review of Related Literature

Liquidity is defined by several studies (Breen et al., 2002; Pstor &

Stambaugh, 2003; Chordia et al., 2005) as the capacity of investors to transact, i.e.
buy and sell, stocks at any amount and shortest possible time, at a low cost and
without changing the price of the stock. It has been utilized as one of the most
popular connection to other important variables to create better understanding and
forecasts in achieving relevant information. The great role of liquidity has been
utilized in interpreting and concluding the more relevant concepts in the financial
world, which includes asset pricing, market efficiency, among others (Goyenko et al,
2008). It has been linked to, the financial markets as a whole, the returns and prices of
securities, and even to the growth of an economy (Holl & Winn, n.d.). Conversely,
more liquid markets were also associated with well productive industries and
countries (Eisfeldt, 2004).

2.1 Studies on Liquidity

According to Myers and Rajan (1998), there is greater value in short notice
sales when the asset of the firm has greater liquidity, thus liquid assets is said to be
easier to finance than the more illiquid ones. Liquid assets were described as having
the ability to give creditors higher value in the process of liquidation, on the other
hand, it has the ability to offer the borrowers more benefits in the expense of the
creditor. It was further explained that nonfinancial institutions are the ones who
benefit from liquid assets. However, there is an opposite effect when it comes to the
financial institutions because it can lead to a decrease in the credibility of its
7

management with regards to protecting its investors and become more severe when
the firm is engaged in markets or trading. Thus it will be more advantageous to them
if they invest in more illiquid assets and prefer long term financing. Illiquidity was
described as giving the creditors less when they sell the asset but having more
assurance that the assets will remain and give the creditors more time to evaluate the
value of the asset and its risk.
Furthermore, on another study by Eisfeldt (2004) it was found out that market
liquidity depends on the condition of the economy which was proved by spread
variations that is between liquid and illiquid assets and the relationship of liquidity
crises and economic downturns. It was also explained that long term risky assets were
illiquid because of the adverse selection for the reason that the claims which are sold
to buyers tend to have low quality.
Amihud (2002), in his study, used both time series and cross sectional
analysis to prove that there is a positive relationship between stock excess returns and
expected market illiquidity. This implies that illiquidity premium is partially affected
by expected stock excess return. The author proposed that the compensation for
expected market illiquidity is reflected by expected stock excess return, which has a
positive relationship to expected market illiquidity. Furthermore, it was also
emphasized that a negative relationship can be established between stock returns and
contemporaneous unexpected illiquidity due to the correlation among realized
illiquidity, expected illiquidity, expected stock returns and prices of stocks.
It was also explained that a high level of realized returns will tend to increase
expected illiquidity, which will increase expected stock return that will result to lower
prices of stocks (Amihud, 2002). The daily ratio of absolute stock return in dollar
volume was used and averaged over a time period which allowed the structuring of
long time series of illiquidity, essential to determine the effects of illiquidity on
contemporaneous stock excess return.
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Baker and Stein (2003) presented propositions that linked investors

sentiments on returns and liquidity. Specifically, the response of the investors for
certain levels of returns, and also, for certain transaction expenses is found to have a
significant relationship (Bloomfield & Wilks, 2000). Volatility uses the data on
returns and the fluctuations of prices, while the transactions costs measure focuses on
the spreads, the market impact and the costs to measure liquidity (Baker & Stein,
2003; Holl & Winn, n.d.; Jun et al., 2002).
Furthermore, Datar et al. (1998) found out that liquidity has a big impact in
determining the cross sectional variation in relation to stock supported by several
determinants of stock returns including book to market ratio, firm beta and firm size.
He noted that some of the relevant characteristics of assets which affect investors'
portfolio decisions also include marketability, liquidity and transaction costs.
Investors give importance to expected holding returns which means that less liquid
assets are required to provide investors higher gross returns because it is more costly
and difficult to sell compared to the more liquid ones (Datar et al, 1998).
Balvers and Mitchell (1997) studied on the positive and negative
autocorrelation of stock returns based on frequency of observation. They had an
analysis regarding the dynamic portfolio dilemma of an individual who is aiming to
save for his retirement wherein investments that are risky tend to decrease for a
specified wealth when the investor becomes nearer to the horizon. They have shown
that conventional age effect do not acquire if there is no negative autocorrelation on
the returns; if there is purely aggressive returns process there will be no change in the
expected risky investment and if there is positive risk free rate, the expected risky
investment will increase. They also concluded that in a positive autocorrelation, a rise
in autocorrelation will tend to add up to the holdings of risky assets.
With regards to market changes, investors tend to consider the flight to
quality approach in deciding on the best alternative to choose to put their assets
9

(Investopedia, n.d). Negative information shocks tend to induce flight to quality

approach in trading, when they substitute safe assets, such as treasury bills, in
replacement for risky assets such as stocks (Chordia et al., 2005). When market
liquidity declines, investors tend to sell stocks and buy bonds instead. Furthermore,
these investors would more likely sell liquid stocks in order to save from transaction
costs. Therefore, it is the small cap stocks, which are more liquid as to be mentioned
later on, which would be greatly affected (Pstor & Stambaugh, 2003).
Pstor and Stambaugh (2003) explained that many investors expect higher
returns for the assets with higher sensitivities in response to aggregate liquidity. They
enlightened us in an example wherein an investor needed to liquidate his assets to
compensate for liquidity problems. If an investor faces liquidation problems, the more
likely would his wealth also drop, since greater costs in liquidating those assets were
needed. Therefore, an investor would prefer holding assets that are less likely to incur
more transaction costs during times when liquidity is low (Pstor & Stambaugh,
2003).
In addition, the adverse selection problem has impact on liquidity. Based on
the article by Pastor and Stambaugh (2003) it was explained that adverse selection
can result to market illiquidity due to the low quality of claims that are being sold.
Conversely, trade on the other hand which includes consumption, investment and
portfolio rebalancing can alleviate the adverse selection problem.

In a situation

wherein assets are being sold for two reasons either because it has low quality or the
owner has an exogenous income shock, if more investors are experiencing negative
income shocks during bad times then more of the high quality assets would be traded
in those times which makes the liquidity of assets countercyclical. In the study, the
economy's state was established by standard business cycle, fundamental and
productivity. Whereas liquidity was being endogenously determined as a function of
productivity wherein if productivity is high, relative return on risky investment is also
10

high thus investors will tend to initiate larger scale of risky investments at all
available income levels. In addition, investors tend to have less self insurance if they
are into riskless assets. Moreover, the result of those risky projects has larger effects
on the income of investors and more of those claims with regards to high quality
projects are being sold to complement current income to be used for consumption and
additional investments. Claims price together with market liquidity may tend to
increase (Pstor & Stambaugh, 2003).
Furthermore, liquidity also results to the magnification of the effect of the
changes in productivity in relation to volume and investment. Investment was
expected to increase with productivity; however investment tends to increase more
when liquidity increases because higher liquidity has the effect of making long term
risky investments more attractive. Likewise, liquidity can also lead to a magnification
effect of higher productivity on volume wherein higher productivity and investment
have an outcome of larger claims market but more liquid claims market can increase
the number of claims more (Pstor & Stambaugh, 2003).
Information assymetry also influence the concept of liquidity. Cheng et al
(2006) have found that insider trading and information asymmetry have positive
relation with liquidity. As Glosten and Milgrom (1985) have claimed that information
asymmetry increases along with the increase of informed traders and movements of
private information among investors, their study found that the more trade
participated by corporate directors, who were informed traders, in the equities market,
the wider is the bid-ask spread, therefore the lower liquidity for the stock (Cheng et
al, 2006).
The existence of information asymmetry further impaired the price and
quantity dimensions of market liquidity. Information asymmetry may impact trade
and liquidity characteristics conducted on the stock market such as the trading
volume, share price, stock returns, and volatility, which may lead to discrepancies and
11

changes in the liquidity patterns (Ho & Stoll, 1981; Copeland & Galai, 1983; Cheng
et al., 2006).
The acknowledgement of the relevance of liquidity has been, for most, easier
than to actually measure it (Holl & Winn, n.d.). There were several attempts to
measure liquidity in the literature. Most of them used measures of such variables:
trading volume, transaction costs, volatility, and others. The trading volume measure
makes use of securities trading volume, the value of the turnover and the number of
shares and trade to calculate liquidity.
Houweling et al. (2003) also considered indirect measures of liquidity such as
the bonds or stocks issued amount, age and maturity, number of contributors, and
yield dispersion, while Goyenko et al. (2008) regarded proxies such as the daily
return, effective and realized spread, temporary and permanent price impact, and
volume data as accurate measures of liquidity. Dollar volume and turnover have
shown meaningful results in determining liquidity cross-sectional differences in the
literature. However, they may fall short in determining relationships in time series
analysis (Pstor & Stambaugh, 2003).
The various ways of measuring liquidity has involved different records and
statistics and has not been proved that it may be used in lieu for one another. For
instance, the turnover ratio utilized for the trading volume measure does not capture
the cost (Jun et al., 2002), while the transaction costs measures leaves the relevance
of the price history and returns behind. But since there are limited availability of data,
most researchers, however, disregard this finding, and relies that this assumption is
true (Goyenko et al., 2008). Nevertheless, the use of most, if not all of these
measures, to researches have shown similar results, and thus, leaves the issue of
individual accuracy behind (Holl & Winn, n.d.).

12

Despite the consequences of whether researchers can actually measure what

they want to measure or not, many studies involving the measures of liquidity
conducted was proven to be contributing to most. To raise the debates on the most
accurate liquidity measures, Goyenko et al. (2008) conducted a study using data on a
monthly and annual basis regarding low frequency measures of transaction costs
which can be used to calculate high frequency measures. They came up with the
conclusion that the simplest measurement tool is the, for the price impact proxy,
effective tick, which assumes price clustering. This is since the other proxies fail to
capture the special rule of the price impact (Goyenko et al., 2008).
Several factors were found to have effects on liquidity. Based on the article by
Chordia et al. (2005), volatility shocks are useful in predicting shifts in assets'
liquidity. Furthermore, there are a lot of concepts that are reliant on the capacity of
investors in trading securities without the existence of price effects. Moreover,
several frictions were considered as affecting information regarding prices which
includes trading costs, short sale restrictions and circuit brakers. Severe market
conditions must also be taken into account because it can lead to a decline in
liquidity. Expected stock returns were also found to have a cross sectional
relationship with liquidity risk.
On another article by Bloomfield et al. (2000), it was found out that greater
disclosure quality can result to higher prices as well as greater liquidity in the
financial market which is more intense when investors have the risk of unpredictable
shocks. Moreover, disclosure quality is stronger in when the market depths are
greater.
Furthermore, studies (Knez & Ready, 1996; Breen et al., 2002; Baker & Stein,
2003) have found that transaction costs have affected the pricing of stocks in the
equities market. Brennan and Subrahmanyam (1996) claimed that transaction costs
may be the ones responsible for asset pricing anomalies in previous research. Also,
13

Knez and Ready (1996) asserts that trading costs may eliminate profitability for
investors, and more effective studies and measurements on their roles in asset pricing
are needed to improve portfolio and trading strategies (Breen et al., 2002).
The size of the stocks, i.e., whether its a small cap or large cap stock, affects
the liquidity of an asset. Size and liquiditys relationship is explained in Part III of the
Review of Related Literature.

2.2 Portfolio Choice

Portfolio choice is the preference of investors on where to put their assets after
considering several external and internal factors. According to Campbell and Viceira
(1999), choosing the optimal portfolio of assets is considered to be one of the
problems especially faced in financial economics. In their study, they presented two
period settings: First is the single period, wherein systematic solutions were
accessible in exceptional cases. On the other hand, in a multi-period setting, the
solutions were less attainable and were only available during times when there were
constant investment opportunities. The study also emphasized the importance of time
variations affecting expected asset returns, making investment opportunities not
constant.
By also using and analyzing single and multi-period portfolio, and
consumption rules of investors, Brandt (1999) found that factors such as default
premium, term premium, dividend yield and lagged excess returns greatly affect
portfolio choice. According to Brandt (1999), certain investors tend to follow a
decision rule that shows the state of nature explained by forecasting variables that
were observable whenever investment opportunities varies through time.

14

Furthermore Ait-Sahalia and Brandt (2001) conducted a study on the effects

of partly predictable conditional moments of return on asset allocation wherein they
established the impact of optimal portfolio weights on several predictable variables
also using a single period and multi-period analysis. They examined investors which
have expected utility and those have no expected utility, and found that the optimal
index composition rely mostly on the personal preferences of investors.
The previous study was further supported by Garleanu (2008), who found
that optimal positions were dependent on liquidity based on a portfolio choice and
pricing in markets analysis. He concluded that in the case when there were high
expected future liquidity, agents tend to acquire intense positions with the condition
that they are not required to hold them for a long period of time until they become
unattractive. On the other hand, trading showed higher frequency with regards to
larger trades in which there were no effect of liquidity on prices because it has
balancing impacts on the demand of different agents (Garleanu, 2008).
The effects of time horizon on optimal portfolio choice depend on whether
stock returns are predictable or not. According to Xia (2001), who studied the
dynamic effects of predictable stock returns to optimal portfolio choice, and
moreover, the existence of this predictability (or the uncertainty of it) in stock returns.
Using past market returns, market dividend yield, and the earnings/price ratio, the
predictability is measured (Xia, 2001). However, the uncertainty of this predictability
created the more complicated association of hedge demands, which considered the
estimate of the parameter (market timing) and the level of uncertainty of it. Xia
(2001) found out that when there is no learning or predictability, a long-term-horizon
investor is more aggressive in timing the market than a myopic investor; while it is
the reverse when there is learning (Xia, 2001).
In terms of ways in selecting portfolios, Lim and Zhou (2002) presented two
methods investors can use in portfolio selection: the mean variance analysis and the
15

expected utility approach. The mean variance analysis can perform better in a
financial market which was more stable. The expected utility approach, on the other
hand, was capable to perform better when the financial market with less stable or
more exposed to changes. Lim and Zhou (2002) showed that the mean-variance
portfolio selection gave importance on wealth allocation among a basket of securities
in order to have a reasonable relationship between the risk associated with the asset
and the return on the asset. The study emphasized that the dynamic mean-variance
portfolio selection problem was regarded based on the hypothesis that there is a
complete market and the trading of securities varies over time.
Demir (2007) on the other hand discussed the two choices of investors with
regards to the term of their investments wherein they have the right to choose whether
to invest in either long-term or short term fixed investments and taking into account
the rates of returns and uncertainty in the economy and making use of the portfolio
choice it came up with a suggestion that the better decision is to invest in reversible
short term financial investments rather than in irreversible long term fixed
investments. The results shown by Demir (2007) explained that the return gap and
uncertainty having an increasing rate have a decreasing effect on fixed investment
and an increasing effect in financial investments.

2.3 Effects of Liquidity on Portfolio Weights

Though there are tons of studies regarding liquidity, there is an evident lack of
literature of it being linked with portfolio weights (Dimmock, n.d.; Gonzalez &
Rubio, 2007; Ghysels & Pereira, 2003). At times even, it takes several stages of
studies just to relate the two. For instance, various studies on liquidity as a risk factor
suggest that higher liquidity risk result positively to expected returns (Amihud, 2002;
Pastor & Stambuagh, 2003; Acharya & Pedersen, 2005). After analyzing these
16

studies, Gonzalez and Rubio (2007) suggested that, with these, liquidity should affect
optimal portfolio choices. By solving the mean-variance liquidity frontier, Gonzalez
and Rubio (2007) calculated for the portfolio choice by appending the objective
function for the different levels of risk aversion. She concluded that, indeed, optimal
portfolio choice was affected by liquidity. This was evidenced by observing the
Sharpe ratio, which becomes higher when liquidity factors are not considered
(Gonzalez & Rubio, 2007). Also, in 2002, Kahl, Liu and Longstaff studied the effects
on shareholders with the presence of restrictions in liquidity. Particularly by
analyzing a shareholder who was restricted to not sell his share for a period of time,
the optimal portfolio choice model was formulated. One of their many findings
showed that when there were liquidity restrictions, the shareholders optimal portfolio
choice is significantly affected. This was so because of the presence of the restrictions
can significantly affect the shareholders choices for consumption, or in this case, his
optimal portfolio choice (Kahl, Liu & Longstaff, 2002).
Also, Dimmock (n.d.) concluded the same as he conducted a test study of the
theories of portfolio choice in imperfect markets, and found out that there were
several variables that can affect asset allocation, including, of course, liquidity. His
study suggested that only in perfect markets can portfolio choice be simple, and with
it was almost non-existence, investors were faced with several things to account for
when choosing the right allocation for their portfolio (Dimmock, n.d; Campbell &
Viceira, 2002; Faig & Shum, 2002). By learning the effect of endowment fund
holdings to liquidity, where the latter affects the former to rebalance regularly,
Dimmock related the impact of the holdings to optimal portfolio choices; he
translated the existing relationship of liquidity and portfolio choices.
Another study by Ghysels and Pereira (2003) used both parametric and nonparametric approach to find out whether there is an effect by liquidity to portfolio
choices, using three liquidity measures: trade volume, price impact and turnover, and
17

selected NYSE stocks. They concluded that for daily and weekly (short horizons),
optimal allocation is an increasing function of liquidity, while it is decreasing for
longer time horizons. Also, the largest effects of liquidity were evidenced by shorttermed, small market capitalized stocks (Ghysels & Pereira, 2003).

2.4 Capital Asset Pricing and Portfolio Theories

Harry Markowitz derived the equation for expected return and expected risk
measure of an asset portfolio in 1952 and 1959. This has led to the development of
the most basic portfolio model (Reilly & Brown, 2006). To derive his formula for a
measure of a portfolios risk, the variance of the portfolio, he demonstrated that the
variance of a portfolios expected rate of return would be a good basis for the
portfolios risk, on some assumptions. Thus, a portfolio would be considered
efficient, if and only if, there is no other portfolio offering a higher return at the same
risk measure (Reilly & Brown, 2006).
Markowitzs theory has led to further development of different capital pricing
models. His basic theory has also considered the existence of a risk-free asset that
brings to the conclusion that the correlation and covariance of an asset with a risk-free
asset is zero. Combining a risk free asset and a risky portfolio on the efficient frontier
develops the Capital Market Line (CML), which is the most dominant straight line
possibility in the frontier. The CML states that in the portfolio, in order to be
efficient, its risky assets should be in accordance to its true market value. The CMLs
covariance value is also considered to be the portfolios systematic risk (Reilly &
Brown, 2006).
When the systematic risk of the portfolio, is standardized with the systematic
risk of the market, a new measure of systematic risk if formed, which is the beta. The
beta relates to the Security Market Line (SML) and the expected return of an asset.
18

Looking on the SML, expected rate of return of an asset could be easily determined
by just looking on its beta value. This model further developed the use of the basic
and popular Capital Asset Pricing Model (CAPM) (Reilly & Brown, 2006).

2.5 Mean Variance Portfolio Studies

Lim and Zhou (2002) defined Mean-variance portfolio selection as the
distribution of wealth among a collection of securities to attain a reasonable trade-off
between the return of the investment and the risk associated with it given that the
collection of securities consist of one bond and a number of stocks.
Being simple and easy to interpret were some of the main advantages of a
mean- variance model. It takes the assumption that investors maximize a preference
functional over the portfolios mean and variance. However, its flaw is sometimes
investors consider higher moments of distribution (Orniston and Schlee, 2001).
Risk-averse mean-variance investors decide to increase their investments with
regards to a risky asset in accordance to a change in the assets return distribution
given the condition that the change reduce both the mean and the standard deviation
of the return in equal percentage (Orniston and Schlee, 2001).
In addition Orniston and Schlee (2001) discussed a number of implications
that can be shown in the analysis of the mean-variance model. One is that meanvariance investors will not decide to hold more risky assets by increasing the mean
with the variance being kept constant. Another is that all risk-averse mean-variance
investors will not decide to hold more risky assets by decreasing the variance and
having the mean constant. Lastly, if the instance that the confiscation of all the capital
gains is chosen in order to decrease the mean and the standard deviation of the return

19

by the same proportion then it will lead to the mean-variance investors to raise their
investment on the asset.
The mean variance analysis is considered as the groundwork generally for
modern portfolio analysis and specifically for capital asset pricing model also known
as the CAPM as mentioned by Liu (2004) in his article.
In Fung and Hsie (1998) study it is found out that application of mean
variance analysis to hedge funds tends to maintain in standard utility functions the
status of preferences. To both mutual funds and hedge funds, the use of mean
variance will result to an almost correct ranking. In addition, it was mentioned in the
article that mean variance analysis is applicable when preferences of investors were
quadratic or if there is normal distribution of returns (Fung and Hsie, 1998).
Simaan (1993) conducted a study wherein the mean variance investor has the
choice of changing his optimal strategy to a best mean-variance investment strategy.
The investor will tend to have a second best optimum strategy by limiting his choice
to a mean variance efficient frontier. The dollar premium will then be considered as
the investors opportunity cost which is needed to substitute his optimal portfolio with
the second best optimal choice. The Constant Absolute Risk Aversion (CARA) is
used to obtain the mean variance efficient second best and the optimization premium
in a portfolio selection model in a single period (Simaan, 1993).
Furthermore, the optimization premium in an invested dollar tends to rise as
the relative risk aversions parameter increase, given that there were unavailable
riskless assets. On the other hand, in the presence of riskless assets, optimization
premium decreases ten times the investment management fee which is 0.5% of the
value of the asset per year given that the degree of relative risk aversion is lower than
a given level. Two cases were presented. One is when the opportunity of the investor
excludes the riskless asset. The other case is when there is a riskless asset. Mean
20

Variance efficient is not considered as the safest strategy if the riskless asset is
unavailable. On the second case, wherein there is presence of riskless assets, investors
will tend to choose to invest in riskless assets being the mean variance efficient and
the safest strategy (Simaan, 1993).
Using a general form of parametric quadratic programming Best and Grauer
(1991) had presented the use of sensitivity analysis for problems associated with
mean variance portfolio. The study shows the impact of parametric changes in the
constraints right hand side or the mean to mean and variance of the portfolio which
is optimal. As the constraints tend to be active or inactive due to changes on the mean
or the constraints right hand side, the securities rate of substitution also adjust. The
sensitivity analysis was used to determine the relationship between the optimal
portfolio and the inputs used in obtaining the optimal portfolio. The study also
concluded that portfolio composition is highly sensitive to modifications in the asset
means compwered to portfolio returns which were not sensitive to asset means
changes (Best and Grauer, 1991).

2.7 Characteristics and behavior of large and small stocks

Several studies (Chan & Chen, 1991; McQueen et al., 1996; Fama & French,
1992; Chan et al., 1985) have examined the differences in the risk and return behavior
of large and small stocks, and how they performed in varying times. Huberman et al.
(1987) found that there were indeed risk differences between large and small firms,
although they tend to respond to risk in the same way. However, there was a lack of
studies on the reason why this was so, and that economic news have different
intensities of effect on small and large stocks.
Stocks of larger firms tend to show lower bid-ask spread, or high liquidity, as
shown by evidences presented by Stoll and Whaley (1990) and Amihud and
21

Mendelson (1986). This is because large firms were usually the ones that were more
actively traded, compwered to small firms; and higher trading activities leads to high
liquidity for that certain stock (Cheng et al., 2006).
Chan and Chen (1991) in their study explored the reason why small stocks
tend to experience abnormal returns in the long run. They explained that theoretically,
and based on the previous empirical literature, small firms were the ones that have
poor performances, inefficient producers, have less access to external financing, cash
flow problems, and have high leverage ratios, therefore were exposed to higher risk
premiums. With higher financial leverage, they tend to be more sensitive to economic
changes. It was also possible that, smaller firms gives fewer dividends, therefore
decreases the shwereholders demand for smaller stocks. Chan and Chens (1991)
study focused on how these stocks respond to economic news, by conducting a crosssectional time series study on the NYSE stocks. They found evidences supporting the
a priori based on the data.
Pstor and Stambaugh (2003) used betas to represent stock liquidity, which
was based on the stocks simple historical data and other liquidity determinants.
They sorted stocks as large and small cap according to each of their own market
capitalization values. The stody showed that stocks of small firms tend to have
significantly high betas, which also means high liquidity. The studys result was in
line with previous studies that used different method from their study which used
decomposition method in determining the relationship between liquidity and stock
size.
Lo and MacKenley (1990) further found that portfolio of small stocks were
correlated with lagged returns of large stocks portfolios. However, portfolio of large
stocks was not correlated with lagged small stocks, due to information asymmetry.
Their study was extended and supported later by McQueen et al. (1996), using
sensitivity analyses and applications of directional asymmetry methods on the NYSE
22

time-series and cross-sectional data. It was found that during announcements of

certain economics news, investors tend to buy large stocks first, before deciding on
buying smaller stocks.

23

Research Gap
Since empirical evidences have showed different kinds of relationship
between portfolio choice and liquidity, using different liquidity measures, this paper
aims to find a resolution on a time series data and the Philippine setting, using the
three most common liquidity measures which were the price impact, peso volume and
turnover on the assumption of a mean variance investor, which was developed by
Harry Markowitz.
The existence of the link between liquidity and portfolio weight in the
Philippine setting mean variance investor could also be further studied. Furthermore,
the possibility of the different behaviors of large cap, mid cap, and small cap
portfolios could also be further explored in the literature, which is where this study
would like to explore.

24

Chapter 3
Theoretical Framework

In this chapter, we specify the theories that would serve as the guide of the
study. The first parts were about the derivation of the optimal portfolio weight. The
latter part identifies liquidity and its link with the derivation of the weight.

3.1 Expected Utility Hypothesis

Suppose an individual wants to enhance his future consumption possibilities
through the accumulation of future wealth, i.e. to maximize his expected utility by
using his current wealth today through investing. Assume further that there are two
asset classes that he may invest on risk-free asset and a risky asset. This is shown by
Equation 3.1 and 3.2:
, or

(Eq. 3.1)

(Eq. 3.2)

wherein
asset,

is future wealth,

is current wealth,

is the return of the risk-free

is the proportion allocated to investing in the risky portfolio/asset, and,

the return of the risky portfolio. Since

represents the risky portfolio,

is
is

the investment of the investor in the risky asset.

As the return of the risky asset is exogenous, the investor, then, opts to choose
a portfolio weight that would maximize the risky assets return, which in turn will

25

maximize his future wealth. The investors choice problem is, will therefore be, as
expressed in Eq. 3.3.
(Eq. 3.3)

However, let us suppose that we can invest in I risky assets with returns
The investors portfolio problem transforms to

(Eq. 3.4)

In this case, the individual in Eq. 3.4 now undertakes a dual problem: Selecting the
optimal proportion of wealth invested between a portfolio of risky assets and a riskfree asset, and, selecting the weights of each security with the proportion allocated to
the risky portfolio. We note that

or

. Placing the equation in a

summation operator, we show that

. The proportion, therefore,

invested in a portfolio of risky assets is

, and, the proportion invested in a

risky free asset is

. Furthermore, the sum of security weights

should equal to one (Eq. 3.5):

.

(Eq. 3.5)

We can rewrite the portfolio problem (Eq. 3.4) based on this information as

where

26

. (Eq. 3.6)

Clearly, with this redefinition of the function (Eq. 3.6), the utility of an
individual is the function of an individual is the function of the overall portfolio
return .
(Eq. 3.7)

An assumption of

having a normal distribution is a convenient rather than a

necessary one in the theory. Having a normal distribution implies that the expected
value and standard deviation are sufficient statistics as the sole determinants of the
investors utility since the investor would be able to calculate the probability of every
possible outcome in a normal distribution given only those two values. We take note,
however, that if other factors such as the health of the economy are non-normal, the
value of a diversified portfolio is most likely to possess a non-normal distribution
(Sharpe, n.d.). If this is such, then, the utility problem is written as:

(Eq. 3.8)

Where:

3.2 Modern Portfolio Theory

The framework is demonstrated by Markowitz (1952) in his seminal paper
Portfolio selection. James Tobin (1958) expanded the work Markowitz by integrating
a risk-free asset in the portfolio choice.
The rational investor wants to maximize his expected utility but, at the same
time, is risk-averse. The portfolio is characterized by the expected return and the
27

variability of

. First, the expected return of the portfolio is defined as

, which is the weight attributed to asset i multiplied by its expected

return.

The

variability,

on

the

other

, where

hand,

is

represented

by

. The first term shows the

individual securitys risk presented as the variance multiplied by its respective

weight. The last term, on the other hand, shows the contribution of the covariances of
two assets

since the returns of the assets may show a relationship that would

determine the variance of the portfolio. With this, in mind, the shape will be
determined by the correlation of the securities (Capinski & Zastawniak, 2003).
The investors objective is, therefore, to maximize the expected utility, which
is a function of the portfolios expected return and variance:

. The

investor should choose a combination that would maximize the portfolios expected
return with the least risk. That is the portfolio should be located in the efficient
frontier.
The efficient frontier is an investment opportunity set lying in the meanstandard deviation space, which presents the locus of all non-dominated portfolio.
This means that the portfolio to be chosen by the investor must offer a higher
expected return given a certain amount of risk.
Now, consider the risk-free asset with a return
portfolio, that is we draw a line originating from (0,
efficient frontier.

28

to be allocated with the risky

) through a point in the

The line is called as the capital allocation line (CAL), which denotes the
weight selection between a risk-free asset and the risky portfolio. The slope of the
CAL,

, measures the extra return per extra risk undertaken by the investor. The

slope is known as the Sharpe ratio. The slope is important as this measures the riskadjusted performance of a portfolio as well as the efficiency of the adjusted return of
the portfolio on its corresponding risk. We take note that as the line gets steeper, the
Sharpe ratio gets larger. As a result, an investor should choose the steepest CAL at
point T or the greatest Sharpe ratio.

(Capinski & Zastawniak, 2003).

Thus, the point where the CAL is tangent to the efficient frontier, the tangency
portfolio, offers the investor the most extra return. The tangency portfolio serves to be
the optimal risky portfolio choice by the investor. Furthermore, since investors are
assumed to be rational and will choose the most optimal, the tangency portfolio is
also known as the market portfolio (Copeland et al, 2004).

29

3.3 The Optimal Portfolio Choice

In order to get the optimal portfolio choice in the context showed at the
previous section, the investor should maximize the Sharpe ratio as the objective
function:
(Eq. 3.9)

However, there can be arguments that there are various studies documenting
the relationship between liquidity and expected returns such as Bekeart et al (2007)
and Pastor & Stambaugh (2002). However, it does not tackle the problem regarding
optimality or assumed the mean-variance framework. Same can be said with the
correlation of liquidity to risk. Such ambiguity on the relationship of liquidity to the
moments does not allow us to pinpoint a definitive effect to optimal choice. Thus, an
indirect effect cannot be accounted in a definitive manner.
Elton and Gruber (1995) presented an alternative solving the problem without
resorting to the Lagrangian method. The constraint of the problem can be substituted
to the objective function, (Eq. 3.10)
(Eq. 3.10)

Substituting the Eq. 3.10 to Eq. 3.9, and, the expected returns and standard deviation
of the portfolio shown in the previous section, this yields Eq. 3.11,
(Eq. 3.11)

To maximize

, we take the first derivative and set it equal to zero resulting to the

following system of simultaneous equations.

30

(Eq. 3.12)

(Eq. 3.13)

Multiplying the derivative (Eq. 3.13) by

(Eq. 3.14)

And rearranging the product of Eq. 13 and Eq. 3.14 yields

(Eq. 3.15)

Defining as
(Eq. 3.16)

Finally,

(Eq. 3.17)

31

Defining

would simplify the solution.

serves as the overall change to the

objective function. Transposing the risk-adjusted return to the left-hand side and
substituting the equation with , the solution yields systems of equation
,

(Eq. 3.18)

In matrix form, assuming that the covariance matrix is nonsingular,

(Eq. 3.19)

Where

is a vector of the expected values of the return;

risk-free rates and

are vectors.

is the

is a vector containing

covariance matrix of returns. Solving

for Y, we get

, assuming

is nonsingular.

(Eq. 3.20)

The Ys are proportional to the optimal amount to invest in such security.

Hence, to solve for optimal weight for security i,

, divide

tot the total sum of Ys.

(Eq. 3.21)

3.4 Security Liquidity and Optimal Portfolio Weights

There are numerous studies where optimal portfolio weights and liquidity
were investigated together such as those of Longstaff (2001), Vath et al (2007),
Gonzalez and Rubio (2007), and Ghysels and Pereira (2008). These studies, however,
used liquidity to condition the optimal portfolio weights or integrating them into the
mean-variance framework. There is, yet, an established literature wherein there exists
32

a proof of impact on the portfolio weights. It may be the case that there is no effect of
liquidity in the mean-variance investor framework.
A mean-variance investor makes its expected utility depend onto the two
moments of the return distribution argued earlier. Hence, any other moments will not
determine the investment decision. In this instance, a liquidity measure Z does not
affect the expected utility of the investor.
(Eq. 3.22)

(Eq. 3.23)

Based on its assumptions, the mean-variance framework does not allow any
decisions affected by factors other that the expected return and risk in its expected
utility. It is, in this light, that we debunk any possibility of effect by liquidity
measures in attaining the optimal weights.
Proving that there is zero impact, it implies that liquidity is another moment
the mean-variance investment paradigm. The holdings of an investor focusing on the
risk-reward characteristics of stocks are not affected by liquidity measures.

33

Chapter 4
Operational Framework

In this chapter, we present a structure for the theoretical framework. The

optimal portfolio weight is based on the Markowitz model which assumes that the
investor relies on only two moments of return in decision making. After finding the
weights, we ask if liquidity serves as an essential factor in its derivation.

4.1 Empirical application

Returns are calculated through the formula,
time t-1 and

, where

is the price in

is the price of price in time t.

To examine the relationship empirically, we must derive the first-order

condition solution of general portfolio model, and obtain the optimal portfolio weight
suited for testing shown in the previous chapter with I equations solving for

(Eq. 4.1)

In this case, we assume that the resulting optimal portfolio weights are
regressed against the liquidity measures parametrically.
(Eq. 4.2)

However, we must take note that we do not expect that the parameters would
have a significant value; instead, we use the equation to evaluate the coefficients and
other statistics to prove its insignificance.
34

4.2 Liquidity Measures

Examples of the different measures of liquidity, especially linked to
conditional returns of portfolios, include the movement of the price impact of trade,
the share or dollar volume, turnover, the bid-ask spread, transaction costs, and many
more (Holl & Winn, n.d.; Sang et al., 2002). While these several measures may be
used for estimating liquidity, this paper focuses on the use of the first three.

Price Impact of Trading

The price impact measure of liquidity has been studied by several other
researchers (Brennan & Subrahmanyan, 1996; Pereira & Zhang, 2004). The price
impact of trading pertains to the price change induced by a given signed (buy/sell)
order size, and generally, the more liquid the asset, the less the impact of the price to
it. The liquidity measure of price impact of trading for daily stock measure is
equivalent to the proportion of the absolute value of the return over the dollar or share
volume. The equation, for the portfolio with I number of stocks, can be shown as
(Ghysels & Pereira, 2008):

Where
(1) Price of stock i for day t (

35

(2) Return of stock i for day t (

(3) Volume of stock i for day t (

Peso volume
The impact of peso volume as a liquidity measure shown as:

The concept of the dollar volume liquidity measure has been found to be
consistent with the visibility hypothesis, which states that more exposed (or more in
quantity) stocks draw attention, then potential consumers will be attracted, and hence,
the demand and price will increase with it (Ghysels & Pereira, 2008). Gervais,
Kaniel, and Mingelgrin (2001) studied the stocks reaction relative to the trading
volume, and found out that high-volume stocks tend to appreciate its price or value
over the next period (Ghysels & Pereira, 2008).

Turnover
The turnover measure of liquidity is defined as the value-weighted average:

Where
(1) Number of shares outstanding of stock i for day t (
(2)
the total market size.

36

, which serves as a weight of the stock to

Studies of other countries conducted by researchers show that using time

series data, stocks at high turnover, is expected to have low stock returns for the
following years (Ghysels & Pereira, 2008).

4.3 A priori expectations

Presented below are our a priori expectations. These expectations are based on
our review and framework.
Table 4.3.1: A priori expectations with the Optimal portfolio weight

Liquidity Measures

Relationship

Reference

Price Impact

None

Mean-variance investment
paradigm

Peso Volume

None

Turnover

None

4.4 Variables and Definitions of Terms

The following are descriptions of the variables used and terms recurring in the
study.

37

Portfolio Weights
Portfolio weight is the corresponding load of a stock in an investors portfolio.
It is the magnitude of the influence a certain stock impacts the overall portfolio of the
investor

Optimal Portfolio Weight

Optimal Portfolio Weight is the weight of stock that would provide the
portfolio the highest utility, based on the efficient frontier (Reilly & Brown, 2006).
The Markowitz Model tells us that the optimal portfolio is the tangency portfolio. In
order to attain the optimal weight, one must maximize the allocation of a risk-asset
and the tangency portfolio, represented by maximizing the Sharpe ratio,
is the expected return of the portfolio,

, where

is the return of the risk-free asset and

is the standard deviation of the returns or the risk of the portfolio.

Liquidity Measures
Liquidity
Liquidity, in this context, describes the availability and the activity of a
market in trading, (buying or selling), a certain company stock. This does not refer to
financial liquidity of the company.
Price Impact
The Price Impact of Trading, as mentioned in the Theoretical Framework,
defines the relationship of liquidity and the demand for stocks. It refers to the
quantified value of the changes in a stock price in relation to the stock volume (Breen
38

et. al, 2002). An investor can trade as many shares as he want, in the condition that he
is willing to pay the necessary price. High levels of price impact to the portfolio
imply less acquisition of stocks, since there is low liquidity in the market.(Pereira and
Zhang, 2004; Ghysels & Pereira, 2008)

Peso Volume
The Peso Volume is the summation of the products of a stocks daily share
volume and share price. It is the total amount of shares, as measured in peso currency,
in a day. Higher Peso Volume implies higher stock price in the future. If the volume
is low, the harder it is to sell the stock. (Nielsson, 2008)
Turnover
Value-weighted stock turnover rate measures liquidity risk factor. It implies
that a high turnover is expected to have low stock returns, which therefore implies
lower level of liquidity (Ghysels & Pereira, 2008; Nielsson, 2008).
Classifications
Small-Cap stocks
Small Cap stocks refer to stocks of companies with small market
capitalization, as listed in the Philippine Stock Exchange. These are the stocks being
in the bottom 30 in terms of market capitalization.
Mid-Cap stocks
Mid Cap stocks refer to stocks of companies with having a mid-sized market
capitalization relative to other companies, as listed in the Philippine Stock Exchange.
These are the stocks being in the middle 30 in terms of market capitalization.
39

Large-Cap stocks
Large Cap stocks refer to stocks of companies with large market
capitalization, as listed in the Philippine Stock Exchange. These are the stocks being
in the top 30 in terms of market capitalization.

40

Chapter 5
Methodology

Chapter 5 explains the methodology used by the study. The chapter tackles the
setting up of data, estimation procedures and tests for validity of results.

5.1 Data
Individual Stock Prices and Daily Stock Volume
We supposed that the risky portfolio to be chosen by an investor would be a
portfolio of stocks listed in the Philippine Stock Exchange (PSE). Thirty (30) stocks
are chosen for each classification of stock: 30 Large-cap stocks, 30 Mid-cap stocks
and 30 Small-cap stocks. Daily closing prices of stock I are used for the calculation of
returns. In contrast, daily closing prices, its corresponding returns and volumes are
used for liquidity measures. Number of outstanding shares is also applied in
calculating turnover. The data are from Bloomberg.

Treasury Bill Rates

Treasury Bills are assumed to be risk-free assets, therefore used by the study
to solely focus on the relationship between stock returns and liquidity. It is the
interest rate generated on the short-term debt instruments issued by the government to
generate funds with different kinds of maturities such as of 91, 182 and 364 days
(BSP, n.d). We use 91-day T-bill rates in our study.

41

Market Capitalization of a stock

The Market Capitalization figure is needed in order to sort the stocks into
small, medium or large stocks. Market Capitalization is computed by multiplying the
last price with the number of stocks outstanding. 2008 year-end market capitalization
is used to classify the stocks.
5.2 Descriptive Statistics
Table 5.2.1 shows the descriptive statistics of the variables. It can be observed
that each of the liquidity measures have different characteristics in terms of their
value.
Table 5.2.1. Descriptive Statistics of Overall Data
Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.0758998

-0.0637243

0.2685204

Price Impact

1.00E-07

1.70E-07

1.27E-10

7.35E-07

Peso Volume

3.96E+07

5.56E+07

160402.9

2.85E+08

Turnover

23.22525

32.96788

0.0807624

171.0151

Security weight

0.0333333

0.0983989

-0.0251724

0.4105262

Price Impact

0.0000131

0.0000678

2.96E-08

0.0003719

Peso Volume

2220429

2318659

1235.55

1.02E+07

Turnover

32.08687

32.17689

0.0164053

133.351

Overall
Large-cap

Mid-cap

Small-cap
42

Security weight

0.0333333

0.2846358

-0.2246971

1.50603

Price Impact

0.0001093

0.0005919

9.70E-11

0.0032433

Peso Volume

2275595

1.03E+07

10742.2

5.68E+07

Turnover

141.4362

643.5477

0.8409356

3544.82

Table 5.2.2. Descriptive Statistics of 2003 Data

2003

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.0698049

-0.0208502

0.3230229

Price Impact

1.83E-07

2.48E-07

4.28E-10

8.69E-07

Peso Volume

1.21E+07

1.88E+07

53498.79

8.76E+07

Turnover

15.5733

22.76138

0.0662178

105.27

Security weight

0.0333333

0.1097579

-0.0186504

0.5967225

Price Impact

2.83E-05

1.49E-04

3.74E-10

8.17E-04

Peso Volume

5.96E+05

1.79E+06

40.33603

9.88E+06

Turnover

17.59398

53.84932

0.0011402

297.4196

Large-cap

Mid-cap

43

Table 5.2.2. Descriptive Statistics of 2004 Data

2004

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.0647395

-0.0284786

0.2678066

Price Impact

1.57E-07

3.05E-07

1.13E-10

1.16E-06

Peso Volume

1.88E+07

3.25E+07

79629.44

1.66E+08

Turnover

18.96287

31.18002

0.0752018

160.2489

Security weight

0.0333333

0.0997837

-0.0077255

0.5358807

Price Impact

1.19E-05

5.85E-05

3.22E-10

3.21E-04

Peso Volume

5.84E+05

7.53E+05

52.20565

2.51E+06

Turnover

14.9495

19.00271

0.0013639

62.88521

Large-cap

Mid-cap

Table 5.2.2. Descriptive Statistics of 2005 Data

2005

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.1028358

-0.0483388

0.5464613

Price Impact

1.38E-07

2.93E-07

7.97E-11

1.36E-06

Peso Volume

2.39E+07

4.43E+07

20237.15

2.27E+08

Turnover

18.86215

33.43895

0.0151568

170.8337

0.0333333

0.157276

-0.4559914

0.4713248

Large-cap

Mid-cap
Security weight

44

Price Impact

6.65E-06

3.35E-05

7.01E-10

1.84E-04

Peso Volume

1.34E+06

1.95E+06

503.2886

9.10E+06

Turnover

25.11729

35.66906

0.0091135

160.8222

Table 5.2.2. Descriptive Statistics of 2006 Data

2006

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.1018425

-0.03298

0.521431

Price Impact

5.12E-08

1.16E-07

6.04E-11

5.33E-07

Peso Volume

4.02E+07

6.31E+07

79701.2

3.22E+08

Turnover

23.85307

35.79653

0.0472011

182.0733

Security weight

0.1515006

2.28E+17

-8.70E+17

8.70E+17

Price Impact

2.72E-06

1.31E-05

9.65E-10

7.22E-05

Peso Volume

2.22E+06

2.67E+06

1873.373

1.09E+07

Turnover

39.67674

47.12781

0.0335298

186.6021

Large-cap

Mid-cap

Table 5.2.2. Descriptive Statistics of 2007 Data

2007

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.4479871

-0.570511

1.625453

Price Impact

2.81E-08

1.19E-07

3.76E-11

6.49E-07

Large-cap

45

Peso Volume

8.73E+07

1.03E+08

661858.8

4.60E+08

Turnover

34.16183

39.18561

0.2472958

181.3749

Security weight

0.0333333

0.0568537

-0.0286013

0.2211218

Price Impact

5.24E-06

2.68E-05

4.38E-09

1.47E-04

Peso Volume

7.12E+06

9.12E+06

4592.565

4.05E+07

Turnover

75.64402

96.48712

0.0485501

422.5788

Mid-cap

Table 5.2.2. Descriptive Statistics of 2008 Data

2008

Mean

Std. Dev.

Min

Max

Security weight

0.0333333

0.1475254

-0.3327744

0.1897149

Price Impact

4.42E-08

1.14E-07

4.45E-11

5.32E-07

Peso Volume

5.58E+07

8.68E+07

66853.87

4.52E+08

Turnover

28.05718

43.60303

0.0331925

228.1587

Security weight

0.0333333

0.0786283

-0.0597028

0.2852298

Price Impact

2.40E-05

1.29E-04

1.12E-08

7.04E-04

Peso Volume

1.44E+06

2.07E+06

334.1086

7.93E+06

Turnover

19.27049

28.40856

0.0043976

117.3403

Large-cap

Mid-cap

46

The security weights' standard deviation reflect the riskiness of the stock, the
higher the standard deviation, the riskier the asset. As the table show, small-cap
stocks are the most risky among the three, and the large cap stocks are the least risky
at 0.07590 at the overall level. For the individual liquidity measures, the high levels
of price impact show that there is low liquidity in the market, and this is mostly
reflected by small cap stocks; while lower Peso volume equals lower liquidity due to
lower transactions, the lowest level of Peso volume can be seen in small cap stocks as
well.
High turnover reflects low levels of liquidity as explained by Ghysels and
Pereira (2003). As reflected by Table 1, this is shown by small cap stocks, while large
cap stocks have shown low levels of turnover rates. The three measures of liquidity
altogether show similar results, that large cap stocks seemed to have higher liquidity,
mid cap stocks in between, and small cap stocks having poor liquidity levels.

47

5.3 Regression
The relationship between liquidity and the optimal weights for security i is
tested through Ordinary Least Squares (OLS) wherein the optimal portfolio choice of
the mean-variance investor serves as the dependent variable and a liquidity measure
as the independent variable. OLS can be considered an appropriate estimator since it
minimizes the squared errors. It allows giving some benefit of the doubt as it
diminishes effectively the errors that could have been greater using other estimation
techniques.
This procedure is done to the three liquidity measures and applied the same
with regressions on the portfolio of small-cap, mid-cap and large-cap stocks. The
range of observation spans from the years 2003-2008 of stocks in the PSE. We used
thirty stocks for each category, resulting to ninety stocks that are evaluated in the
study. Ergo, there are 30 observations for each stock category, which corresponds to
each security.
To test the hypothesis, the t-statistic is of great interest. If the coefficient of
the independent variable is insignificant, it suggests that liquidity has no effect on the
holdings of the investor.
It is also important to see the effects of liquidity to the weights in an annual
basis. Thus, the same arrangement is applied but in a longitudinal setting. This results
to 180 observations as there are six years and thirty stocks in observation. Fixedeffect regression model (FE) is applied to evaluate the relationship holding the time
dimension constant.
The Fixed Effects Model, also named as the Least Squares Dummy Variable
Model, is used to capture significant cross-sectional-varying differences of the
portfolio weight and liquidity measures year by year. This type of panel model
establishes a constant slopes and varying intercepts in the cross section (Gujarati,
48

2004). In this study, it enables us to investigate their relationship further in taking into
consideration that the security may show idiosyncrasy from one security to another.
This permits the analysis to isolate the characteristics of a security that may distort the
relationship.

5.4 Post-estimation tests

Since the study relies heavily on the statistics governing significance, the
problem of heteroskedasticity may invalidate the results of the study.
Heteroskedasticity, though may not affect the coefficients, can produce erroneous
measures on some statistics such as the t-statistics, which is used intensively in this
study and verifies our hypothesis. Whites test is used, and considered where the null
hypothesis states that the residuals are homoskedastic.
To augment the results from OLS, robust regression was also done. Robust
regression has desirable properties as they fare better compared to other regression
estimators when heteroskedasticity exists. [Wilcox & Keselman, 2004]

49

Chapter 6
Results and Discussion

Overall OLS Results

Using the Ordinary Least Squares regression to capture the relationship of the
three liquidity proxies and the companys portfolio weights, Table 6.1 shows that,
there is no significant relationship between them at 5% significance level. Though
there were some years from the mid cap level that showed significant relationship in
years 2004, 2005 and 2006 in some, not all, liquidity proxies; it can still be shown in
Table 6.1, that there is no direct linkage between the computed Optimal Portfolio
weights of the stocks from the Full Results of the Small Cap, Mid Cap, or Large Cap,
and any of the liquidity measures Price Impact, Peso Volume or Turnover. This is
consistent with the Theoretical Framework (Chapter 3) that there is no link between
liquidity and portfolio weights in a mean-variance investment setting.
Table 6.1. Summary of OLS Results
Small Cap
Full Results
Price Impact
Peso Volume
Turnover
2003
Price Impact
Peso Volume
Turnover
50

(p-value)
-0.0153
(0.778)
0.0004
(0.995)
0.0004
(0.994)

Mid Cap
(p-value)

Large Cap
(p-value)

-0.0066
(0.726)
-0.0247
(0.181)
-0.0188
(0.312)

0.0005
(0.974)
-0.0136
(0.345)
-0.0116
(0.419)

-0.0100
(0.631)
0.0070
(0.738)
0.0064

-0.0038
(0.775)
-0.0091
(0.493)
-0.0099

2004
Price Impact
Peso Volume
Turnover
2005
Price Impact
Peso Volume
Turnover
2006
Price Impact
Peso Volume
Turnover
2007
Price Impact
Peso Volume
Turnover
2008
Price Impact
Peso Volume
Turnover

51

(0.758)

(0.455)

-0.0068
(0.719)
0.0436**
(0.016)
0.0436**
(0.016)

-0.0059
(0.631)
-0.0059
(0.415)
-0.0061
(0.623)

-0.0925**
(0.001)
-0.0925**
(0.000)
0.0111
(0.712)

-0.0099
(0.614)
-0.0078
(0.691)
-0.0083
(0.672)

1.64E+17**
(0.000)
-8.97E+15
(0.837)
-8.89E+15
(0.838)

-0.0082
(0.672)
-0.0168
(0.384)
-0.0169
(0.381)

0.0025
(0.821)
-0.0164
(0.123)
-0.0161
(0.129)

-0.0205
(0.81)
0.0154
(0.857)
0.0204
(0.811)

-0.0090
(0.549)
-0.0089
(0.552)
-0.0074
(0.621)

0.0067
(0.811)
-0.0167
(0.551)
-0.0140
(0.618)

Yearly results for the Small Cap stocks were not available due to errors from
deriving their respective optimal portfolio weights, since data on these stocks were
very limited, irregular, and are not enough to capture any movement, if there is
movement at all. Almost all if its available data showed zero stock returns, which
gave us difficulties in developing its optimal portfolio weights.

Panel Analysis
It is in the use of a Fixed Effects Panel Regression (FE) model that we can
capture the individuality of the stocks and key variables (Gujarati, 2004). In our
case, they are the liquidity measures and the optimal portfolio weight itself. The
model used was time-invariant, while allowing the intercepts to vary from each other.
Using this model, we can focus on the relationship of the liquidity and portfolio
weight throughout the years, while also considering the uniqueness of each stock.
Applying FE on the stocks annual returns, and liquidity measures, has also
shown absence of significant relationship between portfolio weights of the Large Cap
and Mid Cap Stocks and the three liquidity proxies. The result is also consistent with
the theories that there is no link between them. However, performing FE has also
exhibited a significantly higher goodness of fit value in modeling for the Mid Cap and
Large Cap stocks from just performing an OLS. For example, for the Mid Cap
regression on the Price Impact, R2 have risen from 0.0045 to 0.3789, almost the same
scenario for the other regressions.

52

Table 6.2. Panel Regression Results

Mid Cap
(p-value)
Price Impact

Peso Volume

Turnover

Large Cap
(p-value)

4.15E+15

-0.0065

(0.555)

(0.684)

-1.09E+15

-0.0044

(0.891)

(0.792)

-1.40E+15

-0.0053

(0.853)

(0.735)

Post-Estimation and Robustness Tests

To detect heteroskedasticity, Whites general heteroskedasticity tests were
used. In addition, the White test also does not assume any particular form of
heteroskedasticity, follows this process: first, obtaining the residuals of the estimated
regression equation, and then utilizing its squares as dependent variables to estimate
the explanatory variables of the original model. After which, a Chi-square test should
assure that all coefficients are zero (Economist View, 2009).
After Performing Whites Heteroskedasticity Tests on the Overall
Relationship (Refer to Table 3), where Ho shows that there is no heteroskedasticity,
and relationship is Homoskedasticity, and H1 refers to the existence of Unrestricted
Heteroskedasticity,

no

relationship

on

the

regression

has

exhibited

any

heteroskedastic relationship in 10%, 5% and 1% confidence intervals. By this, it

53

therefore supports the results from the OLS regressions that there is no relationship in
existence in any of the portfolio and liquidity measure.
However, observing the results from the per-year basis, all tests showed
acceptance of the null hypothesis, except for the 2004s Mid Cap Peso Volume and
Turnover. As remembered, it was also in this time that the results showed significant
relationships of liquidity and portfolio weights. This may be due to the error variance
being non-constant, or heteroskedasticity. (Gujarati, 2004). Hence, the significant
effect is subject to suspicion with a strong evidence of heteroskedaticity.

54

Table 6.3. Whites Heteroskedasticity Test Results (P-Values)

Small
Cap
Full Results
Zi
Price Impact
Peso Volume
Turnover
2003
Price Impact
Peso Volume
Turnover
2004
Price Impact
Peso Volume
Turnover
2005
Price Impact
Peso Volume
Turnover
2006
Price Impact
Peso Volume
Turnover
2007
Price Impact
Peso Volume
Turnover
2008
Price Impact
Peso Volume
Turnover

55

Mid
Cap

0.8821
0.7412
0.7328

Large
Cap

0.9085
0.2066
0.282

0.8664
0.3435
0.4522

0.7197
0.0687
0.0749

0.4037
0.8845
0.8799

0.8563
0.0000
0.0001

0.6999
0.8148
0.8498

0.9340
0.9085
0.9302

0.7637
0.9159
0.8974

0.8078
0.6542
0.6296
0.9086
0.1916
0.1972

0.9172
0.7660
0.7145

0.6760
0.9086
0.9149

0.6022
0.7193
0.7258

Chapter 7
Conclusion and Recommendation
The study concludes that indeed there is no relationship of liquidity to optimal
security weights in a mean-variance setting. All results suggest that liquidity is an
insignificant factor in selecting securities. However, we point out that the model itself
does not allow any factors to be affected by the investors choice as it is the
consequence of the underlying theories of a mean-variance investment debacle. Based
on the results, Philippine investors are to be considered as mean-variance investors.
More so, many studies have expressed that liquidity should be a factor of
optimal portfolio weights. This is done by including liquidity as a part of the efficient
frontier resulting to a mean-variance-liquidity framework. Liquidity is perceived as
an important factor in the investors arsenal of considerations in deriving its optimal
portfolio choice as proposed by Fong (2006). It can important as well to investigate if
the normality and the non-normality of returns is an issue in the mean-variance
paradigm. As stated earlier, possessing normal distribution is a sufficient but not a
necessary condition in the optimal investment decision process.
The study recommends examining the effects of liquidity on different
paradigms of optimal portfolio choice. Other studies especially those built upon the
non-expected utility hypothesis are seemingly good recommendations for extensions
as these offer more flexibility in assuming a specification of the investors problem of
optimal choices. Researches integrating ambiguous decision-making under Knightian
uncertainty (Orszag & Yang, 2000) and Loss averse behavior under prospect theory
(Berkelaar, 2000) are of great interest.
The study, nonetheless, offers an insight in evaluating the literature of
investment optimality.
56

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61

Appendix A
List of Companies

A. Small Cap
1. AGP INDUSTRIAL CORPORATION "B" (AGPB)
2. ORIENTAL PETROLEUM & MINERAL CORPORATION "A" (OPM)
3. ATOK-BIG WEDGE COMPANY, INC. "A" (AB)
4. KEPPEL PHILIPPINE HOLDINGS, INC. "B" (KPHB)
5. UNIOIL RESOURCES & HOLDINGS COMPANY, INC. (UNI)
6. MRC ALLIED INDUSTRIES, INC. (MRC)
7. PREMIERE ENTERTAINMENT PHILIPPINES, INC. (PEP)
8. ISLAND INFORMATION AND TECHNOLOGY, INC. (IS)
9. MARSTEEL CONSOLIDATED, INC. "B" (MCB)
10. PHILIPPINE ESTATES CORPORATION (PHES)
11. KEPPEL PHILIPPINE HOLDINGS, INC. "A" (KPH)
12. BOULEVARD HOLDINGS, INC. (BHI)
13. GOTESCO LAND, INC. "B" (GOB)
14. VITARICH CORPORATION (VITA)
15. MONDRAGON INTERNATIONAL PHILIPPINES, INC. (MON)
16. IONICS, INC. (ION)
17. CENTRAL AZUCARERA DE TARLAC (CAT)
18. INTERPORT RESOURCES CORPORATION "B" (IRCB)
19. DIZON COPPER SILVER MINES, INC. (DIZ)
20. ATOK-BIG WEDGE COMPANY, INC. "B" (ABB)
21. GOTESCO LAND, INC. "A" (GO)
22. FILIPINO FUND, INC. (FFI)
23. ASIA AMALGAMATED HOLDINGS (AAA)
24. SWIFT FOODS, INC. (SFI)
25. F & J PRINCE HOLDINGS CORPORATION "B" (FJPB)
26. AJO.NET HOLDINGS, INC. (AJO)
27. MUSX CORPORATION (MUSX)
28. ISLAND INFORMATION AND TECHNOLOGY, INC. (IS)
29. MABUHAY VINYL CORPORATION (MVC)
30. LIBERTY TELECOMS HOLDINGS, INC. (LIB)

62

B. Mid Cap
1. ABACUS CONSOLIDATED RESOURCES & HOLDINGS, INC.
"Common" (ABA)
2. ALSONS CONSOLIDATED RESOURCES, INC. (ACR)
3. APC GROUP, INC. (APC)
4. VANTAGE EQUITIES, INC. (V)
5. CEBU PROPERTY VENTURE & DEVELOPMENT "A" (CPV)
6. ACESITE (PHILIPPINES) HOTEL CORPORATION (DHC)
7. EEI CORPORATION (EEI)
8. LEPANTO CONSOLIDATED MINING COMPANY "B" (LCB)
9. LEPANTO CONSOLIDATED MINING COMPANY "A" (LC)
10. LIBERTY FLOUR MILLS, INC. (LFM)
11. FIL-ESTATE LAND, INC. (LND)
12. MANILA BULLETIN PUBLISHING CORPORATION (MB)
13. MANILA JOCKEY CLUB, INC. (MJC)
14. OMICO CORPORATION (OM)
15. THE PHILODRILL CORPORATION (OV)
16. PHILIPPINE BANK OF COMMUNICATIONS (PBC)
17. PICOP RESOURCES, INC. (PCP)
18. PHILCOMSAT HOLDINGS CORPORATION (PHC)
19. PHILIPPINE RACING CLUB, INC. (PRC)
20. Eton Properties Philippines, Inc. (ETON)
21. RFM CORPORATION (RFM)
22. PHILIPPINE REALTY & HOLDINGS CORPORATION (RLT)
23. SINOPHIL CORPORATION (SINO)
24. SOUTH CHINA RESOURCES, INC. (SOC)
25. TRANS-ASIA OIL AND ENERGY DEVELOPMENT CORP. (TA)
26. UNITED PARAGON MINING CORPORATION (UPM)
27. SOUTHEAST ASIA CEMENT HOLDINGS, INC. (CMT)
28. MANILA MINING CORPORATION "A" (MA)
29. SOLID GROUP, INC. (SGI)
30. BANKARD, INC. (BKD)

63

C. Large Cap
1. PHILIPPINE LONG DISTANCE TELEPHONE COMPANY "Common" (TEL)
2. BANK OF THE PHILIPPINE ISLANDS (BPI)
3. AYALA CORPORATION (AC)
4. GLOBE TELECOM, INC. (GLO)
5. SM PRIME HOLDINGS, INC. (SMPH)
6. AYALA LAND, INC. (ALI)
7. PILIPINO TELEPHONE CORPORATION (PLTL)
8. SAN MIGUEL CORPORATION "A" (SMC)
9. MANILA ELECTRIC COMPANY (MER)
10. SAN MIGUEL CORPORATION "B" (SMCB)
11. PETRON CORPORATION (PCOR)
12. JOLLIBEE FOODS CORPORATION (JFC)
13. METROPOLITAN BANK & TRUST COMPANY (MBT)
14. CHINA BANKING CORPORATION (CHIB)
15. ABOITIZ EQUITY VENTURES, INC. (AEV)
16. INTERNATIONAL CONTAINER TERMINAL SERVICES, INC. (ICT)
17. PHILEX MINING CORPORATION (PX)
18. POLAR PROPERTY HOLDINGS CORPORATION (PO)
19. MEGAWORLD CORPORATION (MEG)
20. ROBINSONS LAND CORPORATION (RLC)
21. UNIVERSAL ROBINA CORPORATION (URC)
22. JG SUMMIT HOLDINGS, INC. (JGS)
23. PHILIPPINE SAVINGS BANK (PSB)
24. ABS-CBN BROADCASTING CORPORATION (ABS)
25. FILINVEST LAND, INC. (FLI)
26. RIZAL COMMERCIAL BANKING CORPORATION (RCB)
27. PHILIPPINE NATIONAL BANK (PNB)
28. SM DEVELOPMENT CORPORATION (SMDC)
29. FIRST PHILIPPINE HOLDINGS CORPORATION (FPH)
30. SECURITY BANK CORPORATION (SECB)

64

Appendix B
Computed Values
Top 30
2003
Tick
Optimal Security Weight Price Impact
Peso Volume
-0.008605456
4.27643E-10
87557233.3
TEL
0.013548166
9.99968E-10
27401808.77
BPI
0.006212056
2.76514E-09
38832189.15
AC
0.011876575
4.61394E-09
37469374.15
GLO
0.008189753
1.9132E-09
37985049.94
SMPH
-0.01967102
1.08842E-09
30244702.01
ALI
-0.000940323
2.64928E-07
3231225.911
PLTL
0.323022898
1.53036E-09
5575998.862
SMC
-0.008321845
1.58884E-08
4932949.345
MER
0.185489022
8.2988E-10
13739844.41
SMCB
0.023367653
4.53694E-09
7801875.385
PCOR
0.055416248
1.88539E-08
7259333.704
JFC
-0.015613645
6.17989E-09
9270928.138
MBT
0.127323149
4.68019E-08
17192980.26
CHIB
0.002866694
1.34121E-07
2069419.109
AEV
0.057285154
2.97021E-08
3125201.134
ICT
0.035019965
6.39139E-07
212388.9211
PX
0.024523077
5.6868E-07
53498.78543
PO
-0.020850229
6.89325E-08
2561845.482
MEG
0.032676007
4.40169E-07
96827.28745
RLC
0.007317231
6.1086E-07
3732552.858
URC
0.033229804
1.36895E-07
732422.5911
JGS
0.043633522
4.62038E-07
192345.4782
PSB
-0.020411257
1.83332E-07
655940.7895
ABS
-0.001979956
6.54013E-09
7259363.388
FLI
0.030169136
5.06941E-07
198056.1567
RCB
0.004058602
1.99765E-07
1353280.466
PNB
0.058326268
8.69383E-07
133593.8979
SMDC
-0.006724932
7.12407E-09
9042215.498
FPH
65

Turnover
105.2700081
34.83642852
46.07636092
45.21021728
46.5337777
37.43695091
3.745295367
7.283929954
6.018352807
17.40557382
9.803868991
16.91093117
28.6194332
19.78973828
2.676294917
3.77097675
0.253292648
0.066217804
3.055323904
0.118296145
4.620312299
0.909958511
0.239147915
0.805080224
9.087133516
0.239994999
1.689445544
0.169821883
10.93178502

3055500.409

3.6249755

Tick
Optimal Security Weight Price Impact
Peso Volume
0.00401036
1.12785E-10
166493626.5
TEL
-0.002210751
8.67495E-10
40788989.72
BPI
0.007354482
1.92423E-09
36362292.86
AC
0.00673811
4.87633E-10
60647021.52
GLO
0.025905077
6.07413E-10
54362829.85
SMPH
0.01087576
2.37896E-09
36744450.68
ALI
-0.003047989
1.48987E-09
26517950.69
PLTL
0.267806554
1.4981E-09
19929202.55
SMC
0.00220394
2.21688E-08
3173021.021
MER
0.096332483
3.34358E-09
19003536.54
SMCB
-0.014241559
3.29938E-09
11657106.09
PCOR
-0.028478577
4.55389E-09
8199050.605
JFC
0.061612932
6.78135E-09
10026171.37
MBT
0.187469415
6.17464E-08
13327499.12
CHIB
0.012459072
1.20601E-07
3471339.153
AEV
0.002071804
3.10875E-08
4227468.145
ICT
0.004102864
4.5126E-07
614536.3093
PX
0.00417729
7.76861E-07
79629.43548
PO
-0.025623623
2.91379E-08
3565978.968
MEG
0.031356094
2.65434E-07
269467.7419
RLC
0.067188611
5.47421E-08
1881857.774
URC
-0.000759078
1.53141E-07
5330837.54
JGS
0.091208901
1.18097E-07
7068286.73
PSB
6.15696E-08
623377.621
-0.01871881
ABS
0.023559624
6.41279E-09
7840302.232
FLI
0.047251194
1.04723E-06
163259.6712
RCB
0.116411556
2.15372E-07
287457.6613
PNB
-0.012323872
1.15739E-06
235107.4972
SMDC
-0.00316414
1.72935E-09
19158329.15
FPH
0.038472276
9.76302E-08
1601454.577
SECB

Turnover
160.2489265
37.44364055
34.68250719
58.40061039
52.20435548
34.85887696
25.9576701
18.17750054
3.150017049
17.22091981
11.26843424
23.31350806
26.44959677
13.02614215
3.112908255
3.967821911
0.550891228
0.075201847
3.422046142
0.263771218
1.866503727
4.598742961
6.087668124
0.601672536
7.466561814
0.15618208
0.279763075
0.215664093
18.37426137
1.443833094

SECB

0.019567684

2.67949E-07

2004

66

2005
Tick
Optimal Security Weight Price Impact
Peso Volume
0.026876643
7.96776E-11
226823467.1
TEL
3.81615E-10
64398801.05
0.001083177
BPI
6.32169E-10
50422269.37
-0.043263011
AC
0.07491313
1.88531E-09
41639608.77
GLO
0.032944218
5.31723E-10
53294011.56
SMPH
-0.010798378
3.86053E-10
86394705.22
ALI
0.007212187
3.34454E-09
16255287.97
PLTL
0.54646127
7.14792E-10
8039753.347
SMC
0.036104853
1.40897E-07
991500.4984
MER
0.090222799
1.47777E-09
13796954.29
SMCB
-0.048338817
3.65031E-09
12423903.05
PCOR
0.006594586
3.83065E-09
12192229.27
JFC
0.041054301
8.1961E-10
33201327.64
MBT
0.091173215
7.15723E-08
3246892.837
CHIB
-0.007303305
1.38176E-08
7859273.821
AEV
0.020363667
7.94201E-09
7033945.122
ICT
0.011906808
5.64019E-08
3130439.853
PX
-0.000328623
1.35954E-06
20237.15447
PO
0.01299309
7.61724E-09
8075441.339
MEG
0.016731332
2.95096E-07
2144251.585
RLC
0.064016352
9.50479E-08
1461103.259
URC
-0.025180306
1.3087E-07
3164596.341
JGS
0.034407422
6.8988E-07
83647.45431
PSB
0.024262639
5.48462E-08
769883.9431
ABS
-0.019493992
9.68307E-09
9549978.339
FLI
0.008332464
4.11278E-07
307577.4994
RCB
0.00144935
7.70432E-08
3018265.041
PNB
0.005538639
6.38314E-07
432540.7895
SMDC
-0.032106085
9.38009E-10
40382965.01
FPH
0.032170377
5.63943E-08
6606503.285
SECB

67

Turnover
170.8336693
48.12365428
37.3559408
31.10539181
39.77019165
64.88233514
12.38719883
6.03487703
0.741132593
10.34759796
9.206273095
31.96341463
30.45731707
2.394778697
5.872432149
5.290316996
2.365034182
0.015156798
5.950821008
1.59518727
1.087344862
2.322692411
0.062647319
0.573746167
7.184579082
0.225939827
2.229176031
0.327060188
30.24220382
4.916320445

2006
Tick
Optimal Security Weight Price Impact
Peso Volume
0.009480122
6.03544E-11 322437472.1
TEL
2.1883E-10
110725995
0.010470274
BPI
2.73811E-10 100200734.8
-0.027597243
AC
-0.00414296
1.74761E-09 52136280.94
GLO
0.031198166
5.39046E-10 54420134.55
SMPH
-0.016508187
2.4005E-10 115678304.7
ALI
-0.023496171
2.05432E-09 19435068.92
PLTL
0.521430998
4.38665E-10 6751088.645
SMC
0.003356759
3.99019E-08 5267334.556
MER
0.105653681
7.94532E-10 16894511.35
SMCB
-0.012557022
1.22299E-09 18606693.43
PCOR
0.029888611
2.06551E-09 16683618.53
JFC
0.023302701
5.75888E-10 58557460.76
MBT
0.10009134
2.87332E-08 3994610.213
CHIB
-0.032980044
1.49455E-08 6677917.888
AEV
-0.007693958
5.98629E-09 46653238.05
ICT
-0.002718037
1.80133E-09 29479440.68
PX
0.002555573
5.3283E-07 79701.19522
PO
0.005739906
7.88631E-10 84016888.52
MEG
0.013061189
4.56644E-08 20865584.06
RLC
0.018130748
1.66421E-08 41366747.53
URC
-0.030644978
1.62846E-08 7128751.494
JGS
0.17634149
5.17076E-08 1831396.804
PSB
0.013650572
1.55385E-07
1342300
ABS
0.001427696
2.75504E-09 15414883.17
FLI
0.009803677
3.07932E-07 1440969.271
RCB
0.02559253
4.99615E-08 1418502.789
PNB
0.011381404
2.33335E-07 1097858.778
SMDC
0.002639534
7.51063E-10 36550852.19
FPH
0.04314163
2.10771E-08
9189228.53
SECB

68

Turnover
182.073257
63.94125209
56.27953467
30.2933606
31.06215197
66.54927133
10.65641053
3.953979726
2.647656788
9.517743788
10.86674313
36.33266932
39.03585657
2.423797725
3.795137707
27.61124032
16.71851603
0.047201132
45.17793382
10.66359595
23.43024486
4.012245948
0.914329717
0.736986267
8.593780682
0.758690923
0.790535204
0.566460858
20.89251499
5.249101467

2007
Tick
Optimal Security Weight Price Impact
Peso Volume
0.3355744
3.75907E-11
459761634.4
TEL
1.57263E-10
138283556.5
-0.316188463
BPI
1.56032E-10
193782103.5
-0.050140615
AC
-0.186356677
2.09543E-10
122461972
GLO
0.156860114
2.7448E-10
114263927.3
SMPH
0.187651358
1.1208E-10
297107018.1
ALI
-0.570511047
1.14203E-09
25202391.5
PLTL
-0.49214741
2.80443E-09
9975406.478
SMC
0.035803421
7.86811E-10
67402836.18
MER
0.60047269
1.06885E-09
29514372.47
SMCB
0.085182139
7.19612E-10
45041831.17
PCOR
-0.157422323
8.92471E-10
35649717
JFC
-0.286938152
1.01712E-10
250814853.8
MBT
0.992922219
1.19906E-08
4831183.917
CHIB
-0.013579669
1.55747E-09
41963896.76
AEV
-0.226543216
1.49273E-09
59407676.32
ICT
-0.015206277
4.76177E-10
76591866.12
PX
-0.015792111
6.49189E-07
661858.8259
PO
-0.097932978
1.78302E-10
197737122.7
MEG
0.045786064
7.17193E-10
85544964.27
RLC
1.62545341
5.00014E-10
61256020.24
URC
-0.331557803
1.7172E-08
10887146.66
JGS
-0.414812204
9.96519E-08
1002910.14
PSB
0.168591377
1.78444E-08
3768908.502
ABS
-0.453941173
2.98538E-10
108181178.8
FLI
0.403916542
1.13229E-09
57868939.24
RCB
0.19409534
1.65517E-08
23540415.79
PNB
-0.261511607
8.24845E-09
9556388.992
SMDC
0.131101614
4.32065E-10
69403525.3
FPH
-0.072828961
8.51656E-09
16500885.2
SECB

69

Turnover
181.3749327
54.04298787
75.45073521
47.56156004
44.83683632
116.5243241
9.811739714
3.84694265
25.79155784
11.48373793
17.49286627
51.18218623
60.84008097
1.929888641
16.4195453
23.26685746
29.45018022
0.247295815
77.67865692
33.44039392
23.88500925
4.344292834
0.385350161
1.476129372
42.71244853
22.64117164
9.206857648
3.768799718
27.19978083
6.561749698

2008
Tick
Optimal Security Weight Price Impact
Peso Volume
Turnover
0.039395411
4.45288E-11
451570303.6
228.1586734
TEL
2.96804E-10
93128864.77
46.84668961
0.182941701
BPI
2.21517E-10
151661839.8
75.0067717
0.033264195
AC
0.003939145
3.26471E-10
95251283.7
47.07558243
GLO
-0.284847966
5.9499E-10
64507559.88
32.06603002
SMPH
0.073684814
2.93716E-10
135002528.4
65.68936534
ALI
0.103624978
1.88654E-09
21908115.23
11.01034721
PLTL
0.095347945
1.37047E-08
3765932.51
1.87529796
SMC
0.059335414
4.11215E-10
109984050.2
53.51698864
MER
-0.031843798
5.9624E-09
17146117.9
7.71546581
SMCB
0.189714931
5.67001E-09
29755310.91
14.25460466
PCOR
0.132047984
1.86403E-09
34306824.28
42.53909465
JFC
0.017960545
3.7397E-10
94276030.14
35.06893004
MBT
0.159051497
2.44444E-08
2954334.287
1.477805865
CHIB
0.063278033
1.11502E-08
13945947.61
6.817935021
AEV
-0.332774364
7.73596E-09
32805133.85
15.42329883
ICT
0.005336682
6.61444E-10
64430201.64
31.10083145
PX
-0.029026542
5.31857E-07
66853.86831
0.033192483
PO
-0.279096662
4.2604E-10
109224464.8
53.9894856
MEG
0.101723608
1.41726E-08
27237162.16
13.02206958
RLC
0.012516724
2.20899E-08
16900893.83
8.119947015
URC
0.094445413
7.04374E-08
4489098.395
2.285426793
JGS
0.185464263
8.78923E-08
2304983.327
0.993136292
PSB
0.12181175
3.51382E-07
741586.8313
0.375694128
ABS
-0.305423418
1.19213E-09
33692536.22
16.19041528
FLI
0.151585667
5.10821E-09
10616154.18
4.982228824
RCB
0.16802249
5.82182E-09
9573640.432
4.654489876
PNB
0.027767977
1.26712E-07
1216983.247
0.57263481
SMDC
0.089177233
1.90155E-09
34382072.74
17.03664281
FPH
0.15157435
3.26417E-08
7627160.263
3.81623754
SECB

70

Overall
Tick
Optimal Security Weight Price Impact
Peso Volume
0.047431
1.27067E-10
285237213.2
TEL
4.8646E-10
79152494.38
0.0097309
BPI
9.95569E-10
95204964.05
-0.0423377
AC
0.0587202
1.54541E-09
68132119.29
GLO
0.0186756
7.42109E-10
63082178.88
SMPH
-0.007872
7.49833E-10
116692769.1
ALI
0.0083709
4.57201E-08
18739650.31
PLTL
0.2685204
3.4163E-09
9010238.468
SMC
-0.0120736
3.66284E-08
31823652.45
MER
0.0430727
2.23899E-09
18324493.12
SMCB
0.0084162
3.16634E-09
20881708.94
PCOR
-0.0085228
5.34202E-09
18990732.44
JFC
-0.0056778
2.47227E-09
75939290.89
MBT
0.2244344
4.08091E-08
7610582.515
CHIB
0.0965268
4.93725E-08
12633629.57
AEV
0.0121147
1.39779E-08
25545282.16
ICT
-0.0022011
1.91506E-07
29146111.95
PX
0.0124846
7.34616E-07
160402.8687
PO
-0.0592155
1.78273E-08
67606092.69
MEG
0.0216964
1.7659E-07
22646013.02
RLC
0.0481631
1.33004E-07
21137067.82
URC
0.0201653
8.74951E-08
5291054.512
JGS
0.2068683
2.50809E-07
2080230.075
PSB
0.0479205
1.36657E-07
1320321.162
ABS
0.0053664
4.47432E-09
30329339.55
FLI
0.007232
3.80421E-07
11725520.31
RCB
0.0387117
9.4207E-08
6495522.222
PNB
0.0160408
5.05179E-07
2109281.86
SMDC
-0.019038
2.14248E-09
34775682.41
FPH
-0.0637243
8.19704E-08
7492249.855
SECB

71

Turnover
171.0150726
47.54331209
54.11021926
43.20114734
41.03915757
64.23460044
12.25214299
6.864386875
15.22553951
12.27017406
12.14472444
33.71565657
36.78771044
6.845797539
6.43266245
13.23441197
13.42599088
0.080762427
31.56601834
9.829861484
10.52738928
3.080555169
1.448126685
0.762702679
15.20041739
4.816045716
3.123873845
0.93548993
20.75302045
4.290608853

Mid 30
2003
Tick
Optimal Security Weight Price Impact
Peso Volume
0.020483817
9.73684E-07
29682.18623
ABA
0.064414435
1.75153E-06
27646.15385
ACR
1.03229E-06
62881.17409
-0.002011361
APC
4.62351E-07
602922.2672
-6.61727E-06
V
CPV
0.002596728
2.75727E-07
25108.50202
0.014782539
2.36287E-08
9876011.984
DHC
4.74754E-07
358791.498
1.19836E-06
EEI
4.00423E-07
573743.5349
-0.017523037
LCB
0.050051031
3.48596E-07
426146.5775
LC
0.596722471
3.74109E-10
1077545.749
LFM
0.001625088
9.63575E-07
136469.4332
LND
0.01844141
5.91103E-07
83980.01842
MB
1.65296E-07
192047.1234
0.008015566
MJC
1.35974E-06
122906.5355
-4.02814E-07
OM
-0.018033356
2.13262E-06
13483.89442
OV
0.055744833
6.59877E-08
32224.69636
PBC
-1.27139E-07
2.39545E-06
73775.7085
PCP
0.032642139
2.02821E-07
136129.5547
PHC
4.3332E-07
1448262.753
0.052954004
PRC
-0.00094235
1.90091E-06
25111.03897
ETON
-0.00190311
6.79176E-06
8491.740891
RFM
0.003810111
4.06149E-08
383076.9231
RLT
0.070114178
3.38741E-08
903845.1822
SINO
-0.01865041
0.000817191
40.33603239
SOC
0.001698034
1.55322E-07
606194.786
TA
-0.006472503
1.86181E-06
15945.34413
UPM
-0.002659736
3.72622E-06
50714.97976
CMT
-0.005324277
1.02968E-06
135347.7524
MA
0.076968261
1.46415E-06
51178.54251
SGI
0.002461442
1.94062E-07
410455.9514
BKD

72

Turnover
0.8468944
0.8020891
1.8008521
17.277236
0.7171609
297.41964
10.272767
16.139915
12.17833
30.679405
3.9155331
2.4010468
5.5352674
3.5438772
0.3892863
0.9346078
2.1000452
3.9543001
42.657173
0.7236417
0.244811
11.020284
26.093615
0.0011402
17.172893
0.4551115
1.4462074
3.815509
1.459729
11.820941

2004
Tick
Optimal Security Weight
Price Impact
Peso Volume
0.001033355
6.51086E-07
113539.6653
ABA
2.23565E-06
35033.87097
0.00434993
ACR
1.29645E-06
33402.21774
0.001830207
APC
0.001356758
4.23284E-07
1637338.71
V
0.042401649
3.25524E-07
10420.96774
CPV
-0.000925774
1.87005E-06
249376.6129
DHC
0.00665268
3.74115E-07
339198.3871
EEI
0.001314065
2.62694E-07
1876379.73
LCB
-0.004267869
5.01815E-07
1250547.656
LC
0.53588074
3.22168E-10
2508344.758
LFM
-0.000196295
7.19013E-07
390084.0726
LND
0.041153547
5.69748E-07
64578.22718
MB
0.006380955
8.57786E-07
1326114.893
MJC
0.007684103
1.36965E-06
958677.6496
OM
0.001306497
2.06033E-06
33545.46152
OV
0.091580018
7.11575E-08
15493.95161
PBC
0.006321904
1.21752E-06
184109.6774
PCP
0.011629986
1.45048E-07
94596.77419
PHC
0.137960933
1.28816E-07
363800.8871
PRC
-0.007725462
2.94569E-06
42157.17151
ETON
0.000313359
1.49683E-05
8351.612903
RFM
0.012536226
2.81562E-08
449005.2419
RLT
0.027008917
3.2805E-08
2065562.339
SINO
0.000706712
0.00032132
52.20564516
SOC
0.048534691
3.46647E-07
1039277.933
TA
0.005460721
1.36235E-06
42732.45968
UPM
0.00121723
9.95737E-07
173188.1048
CMT
0.001928829
5.04194E-07
1955241.021
MA
0.017183605
3.70343E-07
186576.2097
SGI
-0.000612218
3.00516E-07
84968.3871
BKD

73

Turnover
2.915426373
0.912897502
0.909868463
40.63462615
0.280175365
6.499798591
8.879490508
45.7988564
30.48269253
62.88521204
10.19130401
1.753439535
36.17894696
23.60110779
0.879024091
0.432864357
4.765401483
2.646317499
10.33338059
1.116678905
0.216722991
11.85913413
53.59312569
0.001363889
29.40963802
1.081287689
4.355032133
48.72795105
4.869022298
2.274244129

2005
Tick
ABA
ACR
APC
V
CPV
DHC
EEI
LCB
LC
LFM
LND
MB
MJC
OM
OV
PBC
PCP
PHC
PRC
ETON
RFM
RLT
SINO
SOC
TA
UPM
CMT
MA
SGI
BKD

74

Optimal security Weight Price Impact

Peso Volume
-0.01999242
5.8625E-07
630014.9187
1.95525E-07
2083657.317
0.028731939
7.17908E-07
1352859.959
0.004843923
0.042319475
1.07876E-07
1407829.675
0.00252955
1.2191E-06
12563.41463
-0.001335671
2.85715E-06
38579.65447
-0.005644169
2.31907E-07
1064026.016
0.017588985
6.64939E-08
5271061.071
0.02849822
8.64565E-08
4287387.082
0.321054903
7.01353E-10
1125609.756
0.010489508
7.74064E-07
289540.6504
0.027071591
7.63301E-07
64508.47382
-0.032325495
3.54315E-07
500880.0813
0.006722012
1.98868E-07
1787499.768
0.002698896
1.30915E-06
83969.16322
0.005986743
7.73126E-08
1541144.715
0.001925446
8.45268E-07
340447.1545
-0.000603198
1.77115E-07
78243.90244
0.471324771
6.73707E-08
2430215.854
0.014845006
4.38125E-07
33075.20325
0.006618154
1.47503E-06
113677.6423
0.004237712
2.2994E-07
562930.0813
-0.010891315
1.29564E-08
9101937.484
-0.455991361 0.000183936
503.2886179
-6.11963E-06
7.22427E-07
812330.8355
0.455893235
1.23123E-06
194555.6911
0.052739302
2.3617E-07
2290394.512
0.004916805
1.71156E-07
2476490.16
-0.001289028
2.31578E-07
202114.6341
0.017042598
3.29162E-07
52071.95122

Turnover
11.01550496
42.19499517
22.965511
25.68429236
0.249664576
0.710914316
20.17921806
99.81093853
84.07650227
21.14471492
5.489911152
1.260425975
10.12388076
32.00171823
1.614138023
32.07964718
6.215788668
1.580902029
48.93438563
0.632409126
2.036054392
10.26931489
160.8221824
0.009113488
14.43045684
3.785570057
41.45656099
47.86296904
3.891243402
0.98987787

2006
Tick
ABA
ACR
APC
V
CPV
DHC
EEI
LCB
LC
LFM
LND
MB
MJC
OM
OV
PBC
PCP
PHC
PRC
ETON
RFM
RLT
SINO
SOC
TA
UPM
CMT
MA
SGI
BKD

75

Optimal security Weight Price Impact

Peso Volume
0
3.37415E-07 503448.2072
1.62704E-07 952456.9721
0
2.69473E-07 1630756.375
0
0
1.66887E-08 5127818.835
0
8.01385E-07
73891.4741
0
7.546E-07 5675743.825
0
4.15187E-08 5570369.761
0
3.81406E-08 3313788.299
0
2.28078E-08 4981501.147
2.797220796
9.65132E-10 1262908.367
-0.003039267
1.82515E-07 857952.1912
0
1.04422E-06 72548.56916
0
3.10443E-07 411100.5976
0
2.53024E-07 3283870.746
-0.008104723
1.91322E-07 1722845.461
0
6.29957E-07
201959.761
0
5.85608E-07 1619593.825
0
2.17765E-07 100505.1793
0
2.69363E-07 217145.4183
0
7.88708E-07
106236.255
0.022287949
7.0065E-07
122237.49
0.73399271
1.48141E-07 10900916.73
-0.172368409
1.49033E-08
5207099.59
8.69971E+17
7.22286E-05 1873.372908
0.175029007
8.94368E-08 614620.1226
-8.69971E+17
4.36546E-07 801310.3586
0.731812253
2.19891E-07 4948627.809
0.003974913
4.16704E-08 5983764.459
0.436509819
4.11546E-07
370498.008
-0.172296986
4.42145E-07 106176.0956

Turnover
9.613327356
15.84644441
27.35288799
95.03798252
1.36480059
98.05922402
105.0376306
61.82479078
91.81216109
23.31650757
15.58856216
1.377744932
7.555728826
59.19854723
30.20588948
4.132387791
27.93984911
1.915051429
4.228713453
1.921534972
2.232838173
186.6020634
93.95783286
0.033529768
11.0156551
14.00312407
80.95351694
109.3188363
6.828705511
2.02634349

2007
Tick
ABA
ACR
APC
V
CPV
DHC
EEI
LCB
LC
LFM
LND
MB
MJC
OM
OV
PBC
PCP
PHC
PRC
ETON
RFM
RLT
SINO
SOC
TA
UPM
CMT
MA
SGI
BKD

76

Optimal security Weight Price Impact

Peso Volume
0.019902169
7.06513E-08 2541690.688
2.67023E-07 657419.8381
2.1784E-07
1.11034E-08 18574556.36
-0.028601318
0.103309196
7.97739E-08 2740620.445
0.221121793
2.80928E-07 161766.4777
-2.49757E-05
5.41998E-07 2417129.879
-0.005229647
1.26097E-08 9580874.291
0.007526782
3.99251E-08 8221836.376
-0.002660511
6.98841E-08 18210134.97
0.062835054
1.70571E-07 270031.5789
0.038716172
6.05622E-09 13662480.16
0.109994132
9.95643E-07 76000.46872
0.082863929
1.10872E-07 281972.1457
0.009238463
7.20394E-08 12378750.03
0.014273595
9.1434E-09
8927996.77
0.182937364
1.76479E-07 83446.15385
1.78762E-07
9.18535E-09 14687697.57
1.57061E-07
2.3873E-06 43669.02834
0.014407067
2.25267E-06 303681.9433
0.001138066
1.11717E-07 2340223.603
-0.025194081
1.918E-06 479613.2389
0.031192192
9.81473E-09 14339402.43
0.020990035
4.38046E-09 40548727.33
0.047073832
0.000146901 4592.565182
0.030686083
6.09273E-08 3282163.141
0.029020661
5.30079E-08 2450421.943
0.038268483
3.1209E-08 21045279.68
-0.008084873
4.49016E-09 10082373.28
0.012985997
2.8669E-07 370949.7976
-0.008686213
1.87258E-07 4772261.943

Turnover
27.62189575
6.951442775
188.0922244
29.86791694
1.720437977
27.60255391
104.9041885
85.10535839
189.1291837
2.927533565
139.6835954
0.832637277
2.953034027
134.9171367
93.06629735
0.924462073
148.9519927
0.531178622
3.168126352
24.30811942
4.887319006
155.4657399
422.5787706
0.048550104
33.6394646
25.27329886
247.1329687
110.3696624
3.852584046
52.81281787

2008
Tick
ABA
ACR
APC
V
CPV
DHC
EEI
LCB
LC
LFM
LND
MB
MJC
OM
OV
PBC
PCP
PHC
PRC
ETON
RFM
RLT
SINO
SOC
TA
UPM
CMT
MA
SGI
BKD

77

Peso
Optimal security Weight Price Impact
Volume
0.01591927
1.17348E-06 223540.3292
0.024478276
6.77426E-07 132637.8601
3.63788E-07
1040182.51
0.015901467
0.06353937
3.71315E-07 835733.5288
6.00214E-07 76077.44856
0.068741971
0.09775375
2.76436E-07 7927446.811
-0.059702806
9.57967E-08 3877859.218
-0.025193716
6.52564E-08
4806126.47
0.047550196
3.91171E-08 4862249.719
0.284705297
1.11973E-08 256240.3292
-0.014800905
5.02631E-07 657770.5761
-0.001646375
3.30339E-07 77949.23374
0.28522979
4.8172E-07 650541.5638
-0.03866803
6.73768E-07 1176067.901
-0.010723825
1.98247E-08 6018209.079
0.057597417
3.49462E-07 93042.38683
0.092850921
1.81238E-07 402472.8395
0.023039892
8.54303E-07 6373.909465
0.027143851
5.3634E-07
139542.716
0.038210822
1.058E-06 99140.82305
-0.043067921
2.25756E-06
94921.8107
0.028787058
5.66337E-08 2144583.539
-0.045095465
7.89487E-08 3360909.877
-0.013773737
0.00070407
334.108642
0.044781468
9.84082E-08 1138884.033
0.015888901
6.37003E-07 225360.9053
0.006769988
1.9604E-07 1807841.975
0.011133034
6.11915E-07 766598.3539
-0.014317866
6.2647E-07 131927.1605
0.016967907
2.00286E-06 148701.2346

Turnover
3.084795567
1.834278261
13.92589391
11.1245722
1.123377135
117.340279
52.75185203
57.43056718
62.14346555
3.355558281
8.59212422
1.197881131
8.941596051
17.48052467
80.51583023
1.265191447
5.893672426
0.093049019
2.038372477
1.242008251
1.330162711
26.34939155
44.16077223
0.00439755
14.74476864
3.128130538
22.86390346
9.983850123
2.20131398
1.97313183

Overall
Peso
Tick
Optimal Security Weight
Price Impact
Volume
-0.003902318
6.30876E-07 677512.8667
ABA
-0.002986804
8.79994E-07 648363.6364
ACR
6.14104E-07 3778167.859
-5.58025E-06
APC
0.011327634
2.42378E-07 2073070.034
V
5.82574E-07 59916.43098
0.243733453
CPV
0.117199494
1.06123E-06 4349355.091
DHC
-0.006448357
2.04715E-07 3464043.603
EEI
0.015543963
1.4526E-07 4014647.059
LCB
-0.008116071
1.77992E-07 5701012.033
LC
0.264077463
4.78653E-08 1084912.795
LFM
-0.002782555
5.22745E-07 2666524.747
LND
0.410526259
7.16073E-07 73393.67655
MB
2.89927E-07
3.79182E-07 559312.1905
MJC
-0.004307283
6.52939E-07 3284826.753
OM
-0.010997721
9.52779E-07 2834818.404
OV
-0.013470459
2.28683E-07 326544.4444
PBC
-0.007692711
8.72067E-07 2883355.185
PCP
-0.019894856
6.62336E-07
76710.3771
PHC
0.014563834
6.14354E-07
814320.0269
PRC
0.0145961
1.20573E-06 441368.8587
ETON
0.000226505
4.68384E-06 137699.5556
RFM
0.000218502
8.55016E-08 4814773.333
RLT
-0.025172409
2.95662E-08 10180033.53
SINO
-0.001109911
0.00037194 1235.549899
SOC
-2.76281E-06
2.4477E-07 1257870.082
TA
-1.2177E-05
9.28044E-07 623039.5084
UPM
-0.003804
8.99649E-07 5054277.818
CMT
0.008487432
3.91771E-07 3585147.223
MA
-0.005552428
5.63502E-07 219154.9495
SGI
0.015757476
5.76983E-07 927472.2694
BKD

78

Turnover
9.225421981
11.41774136
42.47063421
36.83568451
0.908856473
91.04011978
50.38737434
61.06059526
78.6437617
24.08489879
30.594566
1.471399767
11.87214973
45.15696347
34.77292388
6.601784237
32.65053452
1.78896011
18.50289424
4.995533278
1.823123116
67.26911553
133.3510154
0.01640534
20.15862754
7.97735139
66.41435032
55.29357678
3.856708226
11.96313717

Bottom 30
Overall
Tick
AGPB
OPM
AB
KPHB
UNI
MRC
PEP
IS
MCB
PHES
KPH
BHI
GOB
VITA
MON
ION
CAT
IRCB
DIZ
ABB
GO
FFI
AAA
SFI
FJPB
AJO
MUSX
IS
MVC
LIB

79

Peso
Optimal Security Weight
Price Impact Volume
-8.90158E-05 2.17756E-06
11747.61
0.021663781 3.60509E-07 1775193.232
1.506029964 5.66081E-07 34163.18182
-0.053018757 3.67324E-07 26300.50505
0.01644238 9.28751E-07 562873.0303
-0.053555058 1.45365E-06
1114774.31
-0.053718998
5.5947E-07 1360874.545
0.006906388 3.31829E-07 1368767.912
-0.028949595 9.20498E-10 31884.84848
-0.046119867
3.1409E-06 31220.83555
-0.047450286 0.003243297 22447.16907
0.033338008 1.57037E-06 939460.5919
-0.036228913 2.40995E-07 64592.79461
-0.050086916 3.73402E-07 224410.1684
0.066972605 5.48436E-07 15268.48485
0.000136702 9.40723E-07 579673.6902
0.025425953 8.86803E-07 25751.88552
-0.004947366 6.72482E-07 49152.16498
-0.024036296 1.59775E-06 774340.4411
0.037960819 6.63677E-08 17364.44444
-0.000123436 5.86322E-07 22124.86961
0.016083718 3.98324E-07 82605.73013
-0.224697081 2.64487E-07 18005.58923
0.006805701 2.80825E-06 10742.19529
0.042998697 9.70134E-11 56820719.19
-0.031191035 5.40252E-06
263163.869
0.047048012 7.42557E-06 27473.98222
-0.018374498 3.05677E-07 1349280.842
0.021946397 9.85131E-07 569088.9226
-0.177172008 1.38005E-06 74368.11448

Turnover
0.840935562
110.7327874
2.357033806
1.944436947
36.16123681
67.31054283
79.84623608
75.03624699
2.252308608
2.077179417
1.640488352
59.33911225
4.671806632
15.59116263
1.158334086
41.25545465
1.970736716
3.376116851
42.86660606
1.262931221
1.547603386
6.401273193
1.284212841
0.84756901
3544.820415
16.28839372
1.87820024
74.0037824
39.2523904
5.071391311

Appendix C
Covariances

TOP 30
2003
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000586
bpi | .000224 .000489
ac | .000193 .000183
.0004
glo | .000197 .000126 .000166 .000401
smph | .000193 .000178 .000184
.00017 .000528
ali | .000229 .000235 .000227 .000186 .000265 .000566
pltl | .000579 .000359 .000285 .000335 .000327 .000359 .002381
smc | .000026 .000012 .000015 .000023 .000028 .000017 .000046
.00005
mer | .000286
.00021
.00021
.00014 .000154 .000226 .000477 .000034
smcb | .000027 .000016 .000021 5.6e-06 .000046 .000038 .000059 .000024
pcor | .000145 .000115 .000119 .000136
.00009 .000121 .000192 .000019
jfc | .000054 .000028 .000063 .000055 .000024
.00005 .000011 3.8e-06
mbt | .000096 .000177 .000111 .000111 .000185 .000172 .000196 .000028
chib | 9.1e-06 .000027 -2.8e-06 -2.3e-06 -4.9e-06 -1.9e-06 -.000046 -2.1e-06
aev | .000098 .000053
.00006 .000064 .000081 .000087 .000095
.00002
ict | .000122 .000113 .000116 .000073 .000097 .000106 .000162 2.8e-06
px | 6.4e-06 .000054 1.0e-05 -1.4e-06 .000017 .000032 .000025 1.1e-06
po | .000051 .000033 .000026 2.5e-06 -6.4e-06 .000059 .000037 -.000022
meg | .000175 .000198 .000189 .000141
.00024
.00025 .000174 .000034
rlc | -.000014 -.00001 -.000044 -.000025 -.000064 .000016 -.00001 -8.9e-06
urc |
.00007 .000077 .000021 .000026 .000021 .000035
.00016 .000022
jgs | .000081 .000062 .000076
.00007
.00007 .000139 .000088 -7.1e-06
psb | -3.5e-06 -.000038
.00003 -1.5e-06 -.000014 3.7e-06 -.000123 8.2e-06
abs | .000263 .000251 .000213 .000191 .000205 .000221 .000349
.00002
fli |
.00031 .000304 .000236 .000223 .000313 .000339 .000536 .000026
rcb | .000012 .000071 .000014
.00004 6.5e-06 .000103 .000155 4.6e-08
pnb | .000085 .000163 .000086 .000063 .000146
.00015 .000179 .000023
smdc |
.00003 .000027 .000041 .000067
.00001 .000058 5.4e-06 5.7e-06
fph |
.00027 .000203 .000184 .000156 .000141 .000192 .000553 .000029
secb | .000077 .000104 .000115 .000062 .000176 .000014 .000104 -.00001
|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer | .000979
smcb | .000043 .000073
pcor | .000188 .000028 .000422
jfc | .000089 4.7e-06 .000081 .000246
mbt |
.00019 .000041 .000179 .000059 .000438
chib | 9.4e-06 -1.2e-06 -.000012 -3.0e-06 .000015
.00017
aev | .000075 9.0e-06 .000066 .000011
.00007 6.8e-06 .000319
ict | .000136 1.2e-06 .000072 .000047 .000077 -8.0e-06 .000061 .000336
px | -6.0e-06 -.000016 -.000027 9.8e-07 .000022 -6.3e-06 .000019 .000035
po | .000047 4.2e-06 .000027 .000034 -.000034 -5.3e-06 .000028 -.000014
meg | .000285 .000037 .000145 .000071 .000145 .000024 .000046
.00009
rlc | .000086 .000014 -.000036 6.5e-06 .000049 .000012 -.000019 -.000032
urc | -6.8e-06 -.000011 .000041 1.1e-06 -1.1e-06 .000029 .000034 -.000024
jgs | .000075 .000015 .000086 .000093 .000103 -.000018 .000056 .000065
psb | -.000028 -2.3e-06 8.5e-06 .000036 -1.3e-06 6.1e-06 .000011 -5.4e-06
abs | .000363 7.8e-07 .000204 .000175 .000196 .000025 .000069 .000235

80

fli
rcb
pnb
smdc
fph
secb

| .000476 .000035 .000234

| .000105 -.000014 -.000052
| .000193 .000019 .000085
| -6.8e-06 -7.8e-07 5.8e-07
| .000652 .000046 .000268
| .000156 -.000034 .000134

.000069 .000219 .000041

7.5e-06 -.000052 2.1e-06
7.9e-07 .000146 .000011
-.00001 .000017 -1.4e-06
.000053 .000205 .000032
.000035 -.000041 .000027

.000077
.00003
.000021
.000044
.000106
.000084

.000182
.000019
.000073
.000018
.000133
.000067

|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .000615
po | .000078 .000895
meg | .000028 -4.1e-06 .000751
rlc | -.000039 -.000022 -4.0e-06
.00137
urc | -9.6e-06 -.000031 -2.5e-06
.00004 .000694
jgs | .000039 .000016 .000082
.00014 .000014 .000494
psb | 3.5e-06 .000023 .000046 -.000027 -.000021 .000022 .000352
abs | .000038 -.000023 .000212 -.000029 -.000014 .000217 -.00001 .001263
fli | -1.9e-06 .000033 .000367 -.000021 -.00002 .000035 -1.2e-06 .000401
rcb | .000033 .000033 .000088 .000146 .000017 -.000023 6.6e-06 .000054
pnb | .000055 -.000012 .000116 .000053 5.7e-06 .000079 9.5e-06 .000182
smdc | -.000014 -.000049 -9.7e-06 .000074 .000076 3.2e-06 -.000036 .000077
fph | -.000019 9.0e-06 .000198 .000022 -.000041 .000049 -.000042 .000314
secb | -.000086 -1.4e-06 .000165 -.001693 -.000013 -.00022 -.000011 .000265
|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .000909
rcb | .000082 .000526
pnb | .000194 .000069 .000494
smdc | -.000039
.00003 -1.0e-05 .000329
fph | .000494 4.9e-06 .000129 5.5e-06 .001014
secb | .000221 .000028 .000044 -.000074 .000297 .004813

2004
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000389
bpi |
.0001 .000332
ac | .000164 .000159 .000568
glo | .000234 .000138 .000172 .000432
smph | .000139 .000084 .000079 .000137 .000363
ali | .000117 .000125 .000213 .000148 .000081 .000372
pltl | .000197
.00018
.00025 .000166 .000027 .000189 .002101
smc | .000021 .000023 .000013 .000019 .000016 .000019 .000028 .000051
mer | .000156 .000149 .000145 .000151 .000087 .000142 .000413
.00003
smcb | .000037 .000041 .000042 .000033 .000019 .000036 .000057 .000018
pcor | .000192
.00016 .000186 .000204 .000168 .000152 .000432 .000046
jfc | .000094 .000142 .000103 .000162 .000041
.00011 .000104 .000032
mbt | .000077 .000106 .000113 .000097 .000058 .000078 .000111 5.5e-06
chib | -6.4e-06 6.6e-06
.00001 -.000014 -7.2e-06 -8.0e-06 8.1e-06 -1.7e-06
aev | .000082 .000045 .000098 .000077 .000051
.00004 .000042 4.9e-06
ict | .000051 .000105
.00007 .000088 -1.8e-06
.00008 .000172 .000011
px | .000011 .000037 .000067 .000076 .000034 .000082 -.000084 5.1e-06
po | .000045
.00002 .000182
.00011 .000064 .000116 .000029 .000033
meg | .000164 .000186 .000181 .000186 .000082 .000159
.00032 .000053
rlc | 2.8e-07 .000023 -.000104 -.00003 2.6e-06 .000028 -.000125 8.2e-06
urc | -.000036 .000014 -.000013 -.000016 -.000017 -2.2e-06 8.1e-06 9.4e-06
jgs | .000059 .000098 .000064 .000095 .000057 .000049
.00013 6.1e-07
psb | .000011 -2.8e-06 -6.4e-06 5.5e-06 7.4e-06 1.8e-07 -.000024 7.3e-06
abs | .000181 .000188 .000163 .000208 .000124 .000181 .000255 .000029
fli | .000126
.00012 .000146 .000185
.00009 .000151 .000296 .000025

81

rcb
pnb
smdc
fph
secb

| .000057 .000011 -.000013 .000052

| .000027 .000027 .000024 .000046
| .000083 .000106 .000024 .000103
| .000183 .000152 .000223 .000147
| -.000014 -8.7e-06 3.6e-07 -.000018

9.5e-07
6.6e-06
.000062
.000104
2.0e-06

.000031 .000109
5.4e-06 -3.8e-06
.000106 .000131
.000143 .000438
.000039 .000087

7.7e-08
5.1e-06
.000028
.000026
7.6e-07

|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer | .000678
smcb | .000056 .000126
pcor | .000253 .000072
.00084
jfc | .000152 .000064 .000133 .000489
mbt | .000111 .000019 .000127 .000081 .000261
chib | .000011 9.3e-07 -.000027 1.4e-06 -3.0e-06 .000104
aev |
.00009 .000022 .000082 .000041 .000046 6.7e-07 .000448
ict | .000107 .000033 .000099 .000053 .000063 5.9e-06 .000038 .000444
px | .000147 -.000035 .000021 .000089 .000031
.00002
.00006
.00002
po | .000022 -.000019 .000046 -7.2e-06 .000053 -.000015 .000044 -.000073
meg | .000256
.00007 .000329 .000208 .000095 -2.5e-06 .000033
.00011
rlc | 7.5e-06 9.8e-06 .000019 .000044 .000013 1.5e-06 .000018 .000027
urc | -.000027 2.6e-06 .000041 .000041 -.000021 -1.6e-06 5.7e-06 .000038
jgs | .000032 .000043 .000118 .000045 .000051 .000014 -5.2e-06 .000124
psb | -.000011 .000016 -8.4e-06 5.2e-06 4.1e-06 -6.8e-06 -2.4e-06
.00002
abs | .000274 .000072 .000214 .000187 .000098 .000018 .000111 .000114
fli | .000223 .000047 .000268 .000136 .000063 -7.4e-06 .000049 .000097
rcb | 1.8e-06 -2.6e-06 .000048 .000062 1.4e-07 -1.0e-06 -.000016 -3.1e-06
pnb | .000035 -1.0e-06 .000022 .000047 .000016 .000014
.00002 9.5e-06
smdc | .000104 .000052 .000168 .000101 .000086
.00003 -.000038 .000041
fph | .000523 .000089 .000393 .000161 .000107 -5.1e-06 .000121 .000105
secb | 8.4e-06 -.000011 .000023 -6.8e-08 9.9e-06 3.4e-06 .000034 .000031
|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .001519
po | .000174 .003909
meg | .000093 .000096 .000738
rlc | .000065 -.000097 9.5e-06 .000446
urc | .000035 .000035 7.0e-06 .000027 .000261
jgs | -.000133 -.00005 .000087 .000149 .000062 .000732
psb | 6.3e-06 -.000057 -4.4e-06 -4.2e-06 -.000018 -.000028 .000247
abs | .000061 -.000041 .000215 .000056 -.000026 .000112 -9.3e-06 .000596
fli | .000059 -.000012
.00034 -.000023 -6.4e-06 .000072 -.000011 .000169
rcb | -.000016 -.000059 .000062 -5.1e-06 2.1e-06 .000028 -4.1e-06 .000031
pnb | .000015 -3.0e-06 .000052 2.1e-06 -4.2e-06 .000013 -.000032 .000043
smdc | .000116 -.000122 .000132
.00008 .000016 .000094 .000047 .000121
fph | .000164 .000069 .000333 9.4e-06 -4.2e-06 .000026 -5.0e-06
.00031
secb | .000019 -.000125 -.000017 .000012 -.000011 .000027 4.0e-07
.00002
|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli |
.0005
rcb | .000063 .000348
pnb | .000025 9.7e-06 .000139
smdc | .000122 .000011 -.000016 .000909
fph | .000277 .000036 .000045 .000086 .000856
secb | 4.7e-06 -7.7e-06 -.000022 .000041 -.000022 .000472

2005
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000177

82

bpi
ac
glo
smph
ali
pltl
smc
mer
smcb
pcor
jfc
mbt
chib
aev
ict
px
po
meg
rlc
urc
jgs
psb
abs
fli
rcb
pnb
smdc
fph
secb

| .000079
| .000108
| .000077
| .000096
| .000103
| .000133
| .000018
| .000101
| .000039
| .000111
| .000078
|
.00005
| -1.0e-06
| .000077
| .000086
| .000116
| .000044
|
.0001
| .000027
| 2.6e-06
|
.0001
| 6.8e-06
| .000102
| .000117
| .000059
| .000114
| .000036
| .000149
| .000033

.000305
.000212 .000724
.00009 .000184 .000245
.000133
.00023 .000104 .000384
.000169 .000319 .000113 .000196 .000615
.000204 .000266
.00013 .000168 .000213 .000737
.000013 .000036 5.0e-06 .000016 .000039 .000014
.000113 .000189 .000086 .000106 .000151 .000165
.000042 .000123 .000056 .000076 .000075 .000058
.000221
.00025 .000142 .000185 .000199 .000302
.000133 .000188 .000092 .000125 .000084 .000107
.000142
.00013 .000076 .000083
.0001 .000156
.000066 -1.6e-06 2.0e-06 .000018 .000018 .000043
.000082 .000193 .000079 .000091 .000118
.00014
.000089 .000177 .000104 .000091 .000151 .000215
.000105 .000242 .000121 .000128 .000191 .000278
.000044 .000303 .000055 .000058 .000108 .000141
.000178 .000338 .000136 .000174 .000315 .000275
.000096 .000087 .000043 .000024 .000079 .000098
.000056 .000066
.00002 .000023 .000074 9.1e-06
.000133 .000193 .000093 .000167 .000234 .000161
.000033 .000017 -4.0e-06 -.000027 -.000013 -.000027
.00014 .000273 .000104 .000141 .000172
.00025
.000229 .000322 .000141 .000235 .000347 .000212
.000016 .000038 6.6e-06 -.00002 .000065 .000105
.000154 .000298 .000082 .000123 .000209 .000219
.000076 .000123 .000048 .000105 .000071 .000082
.00018 .000399 .000138 .000241 .000393 .000386
5.9e-06 -9.9e-06 -7.7e-06 .000028 -.000032 -.000061

.000045
6.1e-06
.000024
.000031
.000012
4.4e-07
-7.3e-06
.000029
.000019
-.000012
.000034
.000025
-.000011
-1.8e-08
.000032
-5.1e-07
.000017
.000029
.000027
.000034
.000021
.00004
5.8e-06

|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer | .000433
smcb |
.00006 .000178
pcor | .000213 .000116 .000769
jfc | .000136 .000051 .000219 .000567
mbt |
.00012 .000032 .000183 .000108 .000413
chib | .000037 -.000018 .000096 .000023 .000037 .000277
aev | .000109 .000045 .000097 .000103 .000083 3.7e-06 .000378
ict | .000113 .000029 .000243 .000141 .000096 .000023 .000132 .000445
px | .000213 -2.3e-06 .000201 .000159 .000129 .000038
.00017 .000184
po | -.000019 -6.0e-06 .000059 -6.5e-06 .000031 .000046 .000077 .000156
meg | .000206 .000104 .000331 .000156 .000136 .000026 .000102 .000171
rlc | .000091 .000064 .000162 .000056 .000081 .000058 .000127 .000033
urc | .000017 7.2e-06 .000047 .000021 .000048 .000044 .000026 .000043
jgs | .000158 .000105 .000238 .000089 .000171 .000013
.00016 .000123
psb | .000038 -.000022 -.000051 .000013 3.6e-06 .000035
.00002 -.000028
abs | .000175 .000057
.00025 .000124 .000123 -.000012 .000107 .000109
fli | .000205 .000099 .000306 .000152 .000182 .000052 .000111 .000149
rcb | .000033 -.000021 .000025 .000019 -.000051 .000021 .000041 -4.1e-06
pnb | .000126 .000064 .000223 .000165 .000085 2.3e-07 .000091 .000178
smdc | .000058 .000056 .000066
.00016 .000055 3.1e-06 .000096 .000021
fph | .000349 .000133 .000383 .000149
.00017 .000069 .000224 .000239
secb | -.000025 -5.5e-06 1.2e-06 -.000043 -5.2e-06 .000027 -.00005 .000013
|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .001147
po |
.00032 .004417
meg | .000129 .000036 .000883
rlc | .000062
.00012 .000186
.00082
urc |
.00009 2.3e-06 .000053 .000125
.0003
jgs | .000202 3.9e-06 .000198 .000205 .000093 .000809
psb | .000053 -.000028 2.1e-06 -.000053 -.000027 -.000084 .000626

83

abs
fli
rcb
pnb
smdc
fph
secb

| .000095 -.000078
| .000119 .000182
|
.00004 .000169
| .000207 .000226
| -5.0e-07 -.000027
| .000156 -.00017
| -.000058 -1.6e-06

.00022
.000692
.000029
.000183
.000121
.000481
.000048

.00011 -.000014 .000221 -.000034

.00086
.000146 .000066 .000167 .000025 .000226
.000036 .000026 9.7e-06 .000012 .000097
.000147 -.000014 .000223 .000035 .000125
.00007 .000029 .000045 .000027 -6.3e-07
.000101 .000034 .000218 .000031 .000341
.000043 -2.6e-06 -.000037 .000013 .000013

|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .001172
rcb | -.000056 .000798
pnb | .000086 .000112 .001388
smdc | .000139
.00004 .000194 .001184
fph | .000501 .000049
.00029 .000155 .001096
secb | .000109 -.000044 -.000038 -.000075 8.6e-06 .000558

2006
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000351
bpi | .000166
.00037
ac | .000212 .000212 .000446
glo |
.00017 .000139 .000225 .000421
smph | .000166 .000152 .000223 .000156 .000434
ali | .000176
.00019 .000221 .000188 .000159 .000598
pltl | .000192 .000171 .000202 .000146 .000146
.00018 .000557
smc | .000012 6.4e-06
.00002 .000023 1.7e-06 .000017 .000028 .000035
mer | .000078 .000081
.00014 .000077 .000114
.00008 .000128 .000018
smcb | .000052 .000064 .000061
.00003 .000039 .000078 .000046 8.4e-06
pcor |
.0002 .000217 .000223 .000177 .000198
.0002 .000219 .000021
jfc | .000159 .000169 .000164 .000169 .000112 .000173 .000158 5.2e-06
mbt | .000159 .000174 .000206 .000143
.00015 .000186 .000124 4.9e-06
chib | -6.8e-06 .000021 .000014 -4.9e-06 -.00002 .000024 .000027 3.3e-06
aev | .000126 .000109 .000167 .000088 .000153 .000148
.00013 9.7e-06
ict | .000086 .000109 .000109 .000089 .000063 .000092 .000114 .000024
px | .000217 .000173 .000163
.00027 .000186 .000217 .000251 8.4e-06
po | .000151 -.000111 .000109 .000162 -4.5e-06 .000161 .000181 .000018
meg | .000195 .000164 .000231 .000179 .000225 .000204 .000131 9.8e-06
rlc |
.00014 .000129 .000136 .000116 .000092 .000098 .000108 .000012
urc |
.00008 .000066 .000054 .000066 .000085 .000038 .000033 .000012
jgs | .000082 .000144 .000122 .000061 .000055 .000131 .000076 .000025
psb | 4.1e-06 -2.0e-06 -2.7e-06 -5.9e-06 1.7e-06 .000015 1.1e-06 1.6e-06
abs | .000113 .000114 .000146 .000168 .000085 .000125 .000188 9.0e-06
fli | .000217 .000214 .000309 .000241 .000211 .000233
.00018 .000019
rcb | .000143 .000126 .000165 .000154 .000134
.00011
.00024 -1.8e-06
pnb | .000078 .000095 .000074 .000048 .000085 .000064 .000075 -4.1e-07
smdc | .000055 .000054 .000101
.00005 .000131 .000082 .000094 -1.2e-06
fph | .000099 .000129 .000158 .000127 .000098
.00016 .000143 5.3e-06
secb | 8.9e-06 .000042 .000027 -8.0e-06 .000019 .000022 -1.5e-07 7.7e-06
|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer | .001107
smcb | -6.2e-07
.00012
pcor | .000149 .000059 .000494
jfc | .000079
.00005 .000178 .000487
mbt |
.00013
.00004 .000193
.0001 .000542
chib | -.000016 8.3e-06 .000019 5.5e-06 -.000011 .000184
aev | .000072 .000022 .000175 .000114 .000142 9.0e-06 .000403
ict | .000064 .000016
.00017 .000102 .000074 .000064 .000091 .000635
px | .000051 6.3e-06 .000232 .000135 .000139 .000078 .000065 .000115

84

po
meg
rlc
urc
jgs
psb
abs
fli
rcb
pnb
smdc
fph
secb

| 8.3e-06 .000019 .000103 .000211 -.000116 4.2e-06 .000081 -.000101

| .000146 .000049 .000201 .000129 .000214 -3.3e-06 .000143 .000091
| -2.9e-07 .000044 .000139 .000099 .000121 -.00003 .000113 .000013
| .000045 .000042 .000088 .000044 .000015 8.3e-06 .000028 7.8e-06
| .000053 .000073 .000132 .000082
.00007 .000033 .000046 .000085
| -4.0e-06 5.0e-06 -1.2e-06 -7.5e-06 -5.0e-06 2.8e-06 -3.2e-06 .000024
| .000174 .000032 .000157 .000087 .000091 .000045 .000088 .000049
|
.00016 .000079 .000263 .000238 .000222 -.000035 .000189 .000117
| .000236 .000047 .000168 .000101 .000107 .000011 .000103 .000076
| .000029 .000028 .000078 .000058 .000136 .000015 .000074 .000011
| .000129 .000023 .000065 .000061 .000076 5.5e-06 .000019 .000034
| .000347
.00006 .000143 .000124 .000101 .000033
.00011 .000038
| 5.6e-06 -7.3e-06 -3.5e-06 -1.3e-06 .000041 -9.0e-06 .000017 -4.7e-06

|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .001695
po | .000165 .005615
meg | .000077 .000082 .000656
rlc | .000179 .000054 .000137 .000542
urc | .000077 -.00011 .000086 .000111
.00043
jgs | .000164 -.00002 .000129 .000203 .000254 .000787
psb |
.00001 -7.8e-07 -4.1e-06 -5.7e-06 5.2e-06
.00002 .000095
abs | .000261 .000123 .000086 .000113 .000069 .000125 4.2e-06 .000562
fli | .000159 -.00027 .000315 .000239 .000091 .000131 -.000013 .000154
rcb | .000267 .000047 .000142 .000202 .000078 .000161 9.0e-06 .000203
pnb | .000072
.00002 .000067 .000087 .000029 .000107 .000016 .000028
smdc | -.000016 .000146 .000072 .000024 -6.2e-06 -.000061 -5.5e-07 .000027
fph | .000131 .000034 .000132 .000055 .000073 .000052
.00001 .000187
secb | .000053 -.000042 7.5e-06
.00006 .000015
.00007 -4.7e-06 -7.1e-07
|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .000848
rcb | .000172 .001041
pnb | .000045 .000122 .000362
smdc | .000051 .000047 .000094 .000675
fph | .000174 .000185 .000059
.00008 .000504
secb |
.00004 -.000034 -.000023 -1.9e-06 -.00003 .000404

2007
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000386
bpi | .000282 .000536
ac | .000262 .000372
.00067
glo | .000201 .000229 .000251 .000415
smph | .000331 .000374 .000428 .000293 .001047
ali | .000244
.00033 .000349 .000256 .000392 .000661
pltl | .000224
.00025 .000257 .000159 .000319
.00024 .000415
smc | .000091 .000109 .000113 .000049 .000078 .000054 .000075 .000382
mer | .000335 .000425 .000432 .000286 .000412 .000403 .000323 .000154
smcb | .000119 .000158
.00018 .000098 .000188 .000108 .000109 .000309
pcor | .000217 .000374 .000367 .000217
.00038
.00033 .000279 .000114
jfc | .000258 .000331 .000387 .000229
.0004 .000264 .000225 .000125
mbt | .000236 .000351 .000343 .000254 .000402
.00034 .000246 .000083
chib | .000074 .000112 .000145 .000095 .000127 .000124 .000109 .000057
aev | .000151 .000227 .000234 .000099 .000255 .000219 .000172 .000086

85

ict
px
po
meg
rlc
urc
jgs
psb
abs
fli
rcb
pnb
smdc
fph
secb

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

.000161
.000237
.000177
.000308
.000228
.000114
.000167
.000067
.000154
.000243
.000246
.000165
.000269
.000166
.000038

.000239
.00034
.000162
.000449
.000284
.000179
.000191
.000089
.000202
.000302
.000376
.000235
.000361
.000247
3.3e-06

.000292 .000181 .000276

.000378 .000237 .000382
.000299 .000177 .000098
.000505 .000268 .000542
.000376 .000262 .000353
.000149 .000118 .000159
.000211 .000106 .000219
.000074 .000072 .000106
.000182 .000156 .000184
.000353 .000231 .000525
.000453 .000222 .000408
.000249 .000113 .000232
.000413 .000242 .000379
.000263 .000184 .000288
.000031 -2.6e-06 -5.5e-06

.000179
.000344
.000334
.000443
.000265
.000122
.000215
.000074
.000244
.000359
.000335
.000161
.000392
.000277
8.9e-07

.000146
.000262
.000232
.000315
.000194
.000069
.000147
.000066
.000161
.000248
.000259
.000174
.000251
.000184
6.6e-06

.0001
.000095
.000196
.00014
.000121
.000068
.000089
.000048
.000071
.000118
.000174
.0001
.000201
.000079
.000022

|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer |
.00109
smcb | .000212 .000445
pcor | .000507 .000172 .000906
jfc | .000442 .000189 .000363 .000788
mbt | .000377 .000173
.00037
.00029
.00064
chib | .000161 .000061 .000137 .000191 .000163 .000263
aev | .000302 .000146 .000282 .000239 .000249 .000093 .000447
ict |
.00027 .000144 .000287 .000275
.00022 .000148 .000178 .000773
px | .000439
.0002 .000499 .000385 .000326 .000134 .000279 .000225
po | .000507 .000095 .000248 .000203 .000264 .000211 .000185 3.1e-06
meg |
.00051 .000248 .000506 .000466 .000528 .000236 .000322 .000334
rlc | .000383 .000187 .000373 .000373 .000386 .000139 .000201 .000231
urc | .000168 .000105
.0002 .000172 .000191 .000094 .000125 .000132
jgs | .000257 .000129 .000252 .000236 .000261 .000118 .000193 .000213
psb | .000095
.00005
.00008 .000112 .000092 .000078 .000065 .000092
abs | .000264 .000089 .000231 .000197 .000224 .000123 .000138 .000114
fli | .000413 .000177 .000497 .000375 .000393 .000126 .000264 .000173
rcb | .000436 .000286 .000427
.00038 .000393 .000132 .000292 .000345
pnb |
.00033 .000097 .000229 .000247
.00023 .000126 .000134
.0002
smdc |
.00057 .000263 .000469 .000432 .000404 .000192 .000341 .000247
fph | .000451 .000129 .000297 .000233 .000312 .000114 .000202 .000195
secb | .000048 5.7e-06 5.4e-06 .000047 .000039
.00003 9.7e-06 .000049
|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .001095
po | .000323 .004664
meg | .000501 .000437 .001201
rlc | .000402 .000231 .000454 .000864
urc | .000196 .000183 .000203 .000161 .000413
jgs | .000231
.00026 .000264 .000274 .000176 .000687
psb | .000123 .000212 .000123 .000138 .000083 .000085 .000239
abs | .000186
.00012 .000269
.00018 .000063
.00016 .000069 .000549
fli | .000425 .000346 .000567 .000375 .000156 .000201 .000105 .000178
rcb | .000383 .000292 .000562 .000387 .000217 .000326 .000125 .000197
pnb | .000164 .000294
.00034
.0002 .000104 .000148 .000081 .000124
smdc | .000389 .000344 .000515 .000363 .000228 .000314 .000078 .000306
fph | .000222 .000374 .000346 .000247 .000103 .000199 .000043 .000134
secb | -.00006 3.6e-06 .000031
.00002 .000036 .000022 .000018 3.1e-06
|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .001106
rcb | .000464 .001178
pnb | .000298 .000225 .000542
smdc | .000372 .000417 .000263 .001069

86

fph |
secb |

.000301
.000023

.000283
.000023

.000176
.000057

.000317
.000055

.000544
.000024

.000317

2008
|
tel
bpi
ac
glo
smph
ali
pltl
smc
-------------+----------------------------------------------------------------------tel | .000572
bpi | .000358 .000789
ac |
.00043 .000607 .000934
glo | .000387 .000471 .000605 .000774
smph | .000349 .000574 .000629 .000502 .000969
ali | .000387 .000493
.00056 .000482 .000513 .000923
pltl | .000266 .000303 .000315 .000313 .000257
.00031 .000506
smc | .000187 .000234 .000279 .000232 .000259 .000281 .000155 .000683
mer | .000414 .000565 .000637 .000499 .000542 .000504 .000263 .000345
smcb | .000226 .000295 .000342 .000276 .000299 .000316 .000166 .000655
pcor |
.00018 .000171 .000282 .000292 .000256
.00019 .000129 .000197
jfc | .000427 .000497 .000661 .000516 .000634
.00047 .000226 .000362
mbt | .000434 .000654 .000748 .000586 .000579 .000555 .000364 .000301
chib | .000084 .000207 .000223 .000179 .000225 .000235
.00013 .000121
aev | .000166 .000187 .000206 .000168 .000169 .000249 .000125 .000033
ict | .000354 .000425
.00046 .000381 .000442 .000454 .000323
.00026
px | .000392 .000372 .000454 .000398 .000381 .000389 .000333 .000238
po | .000011 6.2e-06 .000106 .000066 -.000054 -.000086 .000088 .000032
meg | .000469 .000676
.00084 .000666 .000761
.00079 .000444 .000408
rlc | .000391 .000483 .000555 .000362 .000444 .000442 .000346 .000155
urc | .000382 .000316 .000366 .000384 .000308
.0004 .000261 .000314
jgs |
.00021 .000223
.00025 .000285 .000231 .000301 .000259 .000133
psb | .000037 -3.0e-06 .000051 5.5e-06 .000011 .000023
.00004 -.000026
abs | .000123 .000118 .000176 .000128 .000149 .000186 .000112 .000103
fli | .000416 .000505 .000583 .000462 .000442 .000514 .000302
.00029
rcb | .000307 .000393 .000448 .000355 .000366 .000429 .000258 .000254
pnb | .000295 .000343 .000423 .000329 .000358
.00041 .000228 .000161
smdc | .000254 .000274 .000296 .000291 .000314 .000308 .000176 .000089
fph | .000467 .000609 .000663 .000553 .000623 .000604 .000303 .000411
secb | -.000082 -.000055 -.000026 1.0e-06 -6.5e-07 -7.2e-06 .000017 .000042
|
mer
smcb
pcor
jfc
mbt
chib
aev
ict
-------------+----------------------------------------------------------------------mer | .001231
smcb | .000376
.00084
pcor | .000193 .000214 .000798
jfc | .000695 .000391 .000233 .001223
mbt |
.00064 .000379 .000262 .000572 .001198
chib | .000193 .000135
.00014
.00022
.00024 .000497
aev | .000183
.00007 .000121 .000145 .000193 .000173 .000449
ict | .000471 .000304 .000281 .000468 .000557 .000185 .000169 .001123
px | .000402 .000312
.00032 .000321 .000545
.00014 .000158 .000421
po | .000039 -.000062
.00009 .000065 -.000032 -.000055 -.00008 -.00019
meg | .000777 .000485 .000468 .000715 .000923 .000357 .000298 .000844
rlc | .000471 .000212 .000165 .000378 .000633 .000074 .000198 .000437
urc | .000392 .000347 .000265 .000383 .000491 .000212 .000171 .000416
jgs | .000197 .000131 .000095 .000206 .000199 .000126 .000141 .000292
psb | .000015 -.000012 .000012 -.000033
.00006 -1.3e-06 .000034 .000025
abs | .000243 .000105
.00011 .000132 .000148 .000028 -6.6e-06 .000158
fli | .000694 .000358 .000312 .000542
.0006
.00021 .000252 .000561
rcb | .000376 .000274 .000179 .000323 .000566 .000156 .000154 .000412
pnb | .000361 .000234 .000159 .000355 .000488 .000171 .000166 .000401
smdc | .000344 .000115
.00022 .000267 .000326 .000189 .000149 .000274
fph |
.00095 .000557 .000315 .000675 .000743 .000216 .000254 .000583
secb | .000013 .000055 .000035 5.8e-06 -.000027 -6.5e-06 .000074 .000015

87

|
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------px | .000969
po | .000074 .003225
meg | .000614 -.000069 .002111
rlc | .000488 .000177 .000742
.00122
urc | .000333 -.000019 .000541 .000316 .000896
jgs | .000243 -.000018 .000357 .000172 .000317 .000946
psb | .000037 9.6e-06 .000054 .000059 -.00003 -.000054 .000397
abs | .000066 -.000019
.00032 .000113 .000037 .000019 .000067 .000959
fli | .000436
.00004 .000977 .000435 .000413 .000221 .000025 .000222
rcb | .000367 .000018 .000589 .000351 .000385 .000226 -.000016 .000124
pnb | .000344 .000174 .000677 .000294 .000288 .000223 .000023 .000108
smdc | .000256 .000043 .000413 .000234 .000261 .000152 .000029 .000109
fph | .000501 -.00006 .000971 .000536 .000515 .000192 -4.4e-06 .000188
secb | .000073 -8.3e-06 .000105 .000064 -.000038 -.000027
.00003 -.000047
|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .001079
rcb | .000445 .000668
pnb | .000451 .000395 .000908
smdc | .000306 .000278 .000271 .000574
fph | .000817 .000436 .000501 .000399 .001882
secb | .000081 -5.5e-06 -7.5e-06 -.000046 .000027 .000797

Overall
|
tel
bpi
ac
glo
smph
ali
pltl
smc
mer
smcb
pcor
jfc
-------------+----------------------------------------------------------------------------------------------------------tel | .000413
bpi | .000203 .000468
ac | .000229
.00029 .000621
glo | .000214 .000199 .000269
.00045
smph | .000214 .000249 .000294 .000228 .000618
ali | .000211 .000257 .000314 .000231 .000265 .000621
pltl |
.00027 .000245 .000264 .000211 .000207
.00025 .001123
smc |
.00006 .000067
.00008 .000059 .000066 .000072 .000058 .000206
mer |
.00023 .000259 .000294
.00021 .000237 .000253 .000297 .000098 .000926
smcb | .000084 .000102 .000128 .000083
.00011 .000109 .000083 .000171 .000124 .000295
pcor | .000176 .000209 .000237 .000194 .000215
.0002 .000259 .000072
.00025
.00011 .000702
jfc | .000179 .000217
.00026 .000204 .000221 .000191 .000139
.00009 .000264 .000125 .000201 .000633
mbt | .000176 .000267 .000275 .000212 .000242
.00024 .000199 .000071 .000263 .000114 .000219 .000202
chib | .000027 .000073 .000066 .000043 .000057 .000068 .000046 .000028 .000067 .000031 .000058 .000073
aev |
.00012 .000118 .000161 .000097 .000135 .000144 .000118 .000032
.00014 .000053 .000136 .000108
ict | .000145 .000181 .000207 .000157 .000165 .000181 .000191 .000072 .000197
.00009
.00019 .000182
px | .000165 .000181 .000222 .000186 .000188 .000212 .000178 .000056 .000211 .000077 .000208 .000182
po | .000084 .000031 .000178 .000104
.00003 .000124
.00012 .000034 .000102 -1.9e-06
.0001 .000085
meg | .000241 .000311 .000385 .000268
.00034 .000365 .000281 .000112 .000368 .000165
.00033 .000291
rlc | .000133 .000168 .000172 .000125 .000145
.00016 .000105 .000049 .000177
.00009 .000135
.00016
urc | .000104 .000119 .000106 .000102 .000096 .000112 .000094
.00007 .000098 .000082 .000116 .000111
jgs |
.00012 .000146
.00016 .000126 .000137 .000184 .000149 .000047 .000134 .000084 .000155 .000127
psb | .000021 .000012
.00003 .000012 .000015 .000019 -.000011 6.9e-06 .000019 6.1e-06 6.6e-06 .000022
abs | .000158
.00017 .000192 .000163 .000148 .000188 .000221 .000042 .000253 .000059 .000195
.00015
fli | .000242 .000279 .000328 .000249 .000306 .000329 .000299 .000086 .000365 .000133 .000311 .000252
rcb | .000139 .000167 .000185 .000141 .000148 .000179
.00019 .000075 .000201 .000093 .000135 .000149
pnb |
.00013 .000171 .000194 .000116
.00016 .000169 .000146 .000054 .000181 .000074 .000131 .000146
smdc | .000121
.00015 .000168 .000135 .000168 .000171 .000124 .000057 .000202 .000084 .000164 .000169
fph | .000227 .000255 .000315
.00022
.00025 .000298
.00034 .000099 .000547
.00017
.0003 .000232
secb | -1.6e-06 .000029 .000041 .000019 .000015 .000025
.00003 -2.3e-07 -1.0e-06 9.0e-06 .000024 2.7e-06
|
mbt
chib
aev
ict
px
po
meg
rlc
urc
jgs
psb
abs
-------------+----------------------------------------------------------------------------------------------------------mbt | .000584
chib | .000074 .000249
aev | .000133 .000049 .000402
ict | .000185 .000072 .000112 .000629
px | .000202 .000069 .000125 .000173
.00118
po | .000034 .000026 .000061 -.000031 .000187 .003631
meg | .000345 .000108 .000156 .000281 .000245 .000096 .001063
rlc | .000218 .000046 .000108 .000122 .000198 .000097 .000263 .000882
urc | .000121 .000065 .000068 .000106 .000122 1.9e-06 .000152 .000137 .000501
jgs | .000149 .000051 .000103 .000158 .000133 .000026 .000198 .000201 .000159 .000754
psb | .000027 .000019 .000021 .000024
.00004 .000025 .000039 .000019 2.9e-07 -3.0e-06 .000325
abs | .000148
.00004 .000085 .000133 .000122 .000022 .000227 .000095
.00002 .000148 .000016 .000802
fli | .000283 .000065 .000157 .000217 .000203 .000062 .000548 .000197 .000122 .000149 .000023 .000229

88

rcb
pnb
smdc
fph
secb

|
|
|
|
|

.000162
.000187
.000162
.000275
.000027

.000055
.000058
.00007
.000078
4.3e-06

.000103
.000085
.000105
.00017
6.7e-06

.000148 .000182
.000147 .000147
.000109 .000124
.00022 .000196
.000016 -.000019

.000086
.000113
.000051
.000044
7.9e-06

|
fli
rcb
pnb
smdc
fph
secb
-------------+----------------------------------------------------fli | .000938
rcb | .000201 .000761
pnb | .000187
.00016 .000639
smdc | .000161
.00014 .000134 .000791
fph | .000431
.00017 .000203 .000175 .000987
secb | .000016 .000029
.00004 9.3e-06 .000024 .001232

89

.000249
.000244
.000211
.000417
.000036

.000193
.000135
.000143
.00017
.000032

.000121
.000072
.000101
.000118
.000018

.000129 .000025
.000138 .000025
.000094 .000025
.000133 8.0e-06
.000028 -.000014

.000121
.000104
.000109
.000249
.000021

Mid 30
2003
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .001054
acr | -.00019 .001992
apc |
.00034 -.000216 .005943
v | -.000051 .000017 -.000013
.00138
cpv | 4.2e-06 7.4e-06 1.5e-06 -.000022 .000415
dhc | -.000018 5.9e-06 3.0e-06 .000068 -2.7e-06 .000341
eei | -.000028 .000232 .000252 .000395 .000022 3.6e-06 .002002
lcb | .000012 .000013 .000039 .000073
.00006 .000034 .000092 .001219
lc | -.000021 -.000034 .000024 -.000154 .000036 -.000039 -.000045 .000317
lfm | 2.0e-08 5.0e-07 2.6e-07 1.7e-06 -2.3e-07 -1.8e-07 -5.4e-06 3.9e-06
lnd |
.00032 -.000202 .000538 .000163 .000034 3.4e-06 .000451 .000094
mb | -.000016 .000036 -.000174 4.5e-06
.00007 -1.5e-06 -.000055 -1.0e-06
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om | -.000048 .000269 .000147 -.000081 .000093 4.8e-06 .000646 .000059
ov | 2.3e-06 .000068 .000382 .000114 9.9e-07 7.9e-07 .000032 .000045
pbc | -5.4e-08 -1.7e-06 -.000032 .000074 7.8e-07 6.2e-07 -.000014 .000042
pcp | .000197 .000128 .000229 7.5e-06 .000071 .000036
.00054 .000076
phc | 4.8e-06 .000157 1.9e-06 .000044
.00005 -1.4e-06 -.000037 .000036
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rfm | .000276 2.7e-06 .001094 .000137 .000065
.00007 .000343 -.000132
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ta | -.000093 .000016
.00002
.00005 -1.8e-06 3.9e-07 .000021 .000041
upm | -.000083 .000421 -.000159 -.000057
.00025 8.9e-06 .000213 -.000133
cmt | .000225 .000434 .000433 .000346 .000134 .000037 .000236 .000033
ma | 4.8e-06 .000176 .000115 .000061 .000011 9.0e-06 .000061 .000041
sgi | -.000094 -.000098 .000279 .000043 6.6e-06 .000042 .000083 .000029
bkd | -.000054 -.000148 .000025 .000029 -9.3e-06 -.000019 .000182 .000031
|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc | .000688
lfm | 7.0e-06
.00002
lnd | .000022 .000013 .001935
mb | -.000026 -1.2e-07 -.000012
.00058
mjc | -3.3e-06 2.9e-07 -.000035 -2.3e-06 .000701
om | .000033 -.000014 .000072 .000053
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ov | -2.4e-06 6.7e-08 -.000129 .000047 -1.3e-06 .000018 .001089
pbc | 2.8e-06 -.00003 -.000071 4.2e-07 -1.0e-06 .000049 .000045 .000391
pcp | 2.6e-06 6.1e-07 .000686 -.000053 9.6e-06 .000043 -.000155 .000025
phc | -.00008 -1.1e-07 -.000021 .000031 -6.8e-06 .000036 -.000055 3.9e-07
prc | 2.4e-06 1.1e-08 -5.6e-06 5.8e-06 -.000038
.00009 .000053 5.4e-06
eton | -.000158 3.3e-07 .000347 -.000033 .000028 .000026 -.000089 -9.9e-06
rfm | 8.1e-06 1.3e-07
.00017 -.000046 .000035 .000355 .000028 -.000014
rlt | -.000145 1.5e-07 -.000021 -5.3e-06
.00002 -.000122 .000367 -5.2e-07
sino | -.00003 7.9e-09 .000067 9.0e-06 .000072 -.000037 .000039 2.1e-06
soc | -.000095 1.1e-06 -.000046 .000206 .000182 .000015 .000073 .000025
ta | -.000035 5.3e-06 -.000021 .000034 .000012 .000054 -.000033 -5.3e-06
upm | .000132 7.5e-07 .000149 -.000068 -.00004 .000654 -.000118
.00003
cmt | .000165 9.0e-07 .000309 .000043 .000026 .000586 .000568
.00002
ma | -7.1e-06 -8.3e-06 .000127 .000051 -.000046 .000221 .000054 -.000051
sgi | -.000279 -.000014
.00002 -.000061 5.0e-06 -.000054 .000193
.00002
bkd | .000102 2.3e-07 .000028 .000038 6.3e-07 -8.2e-07 -1.5e-06 -8.0e-07

90

|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .007097
phc | 2.8e-06 .000582
prc | .000095 .000011
.00017
eton | -.000151 2.5e-06 .000044 .004888
rfm | .000371 8.3e-06 -1.1e-06 .000073 .003175
rlt |
.00018 -.00002 -.000098 -.000058 -.000073 .003351
sino | .000056 -.000033 -7.7e-06 -6.6e-07 -.000183 -.000061
.00029
soc | .001042 .000085 .000054 -.000217 -.000258 -.000027 .000111 .005491
ta | -.000189 .000026 -2.7e-06 .000187 .000086 -.000014 -.000059 .000019
upm | .000338 .000026 5.9e-06 .000195 .000193 .000318 -.000187
.00009
cmt | .001675 .000129 .000025 -.000414 .000448 .000273 -.000078 .001048
ma | .000066 -.000069 -5.9e-06 .000028 .000117 -.000011 .000038 -.000051
sgi | -.00078 -.00024 -.000016 -.000045 .000193 .000186 -.00012 .001137
bkd | .000164 -.000055 2.9e-06 -.000021 .000028 .000015 -.000123 -.000032
|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .000358
upm |
.00011 .004593
cmt |
-.0002 -.000111 .008019
ma | .000015 -.000266
.00013 .002579
sgi | .000093 .000082 .000664 .000166 .004698
bkd | -.000074 -.000145 .000326 9.8e-06 .000228 .000638

2004
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .001721
acr | .000169 .004555
apc | .000085 -.000089 .005736
v | .000044 -.000105 .000454 .001198
cpv | 9.2e-06 6.4e-06 5.7e-06 -.000016 .000151
dhc | .000094 .000119 .000153 -.000099 .000017 .005277
eei | .000231 .000082 -.000241 3.0e-06 7.3e-06 .000146 .001258
lcb | .000132 .000188 -.000025 -.000068 .000027 .000199 -.000013 .001589
lc | .000292 .000251 -.00022 -.000045 .000042 .000108 -5.0e-06 .000896
lfm | 6.4e-07 1.2e-06 1.1e-06 7.4e-07 -3.8e-07 3.2e-06 2.9e-07 6.1e-06
lnd | -.00005 .000019
.00022 -.000073 .000019
.00005 .000163 -.000116
mb | 7.3e-06 .000113 -.000061 -.00006 .000045 -7.7e-06 -.000026 -.000045
mjc | .000173 -.000177 .000121 .000036 -4.1e-06 -.000087 -.000168 .000084
om | .000124 -.000197 .000058 .000078 .000039
.00061 -.000072
.00025
ov | -3.4e-06 .000014 .000123 -.000155 4.5e-06 .000113 .000076 .000158
pbc | -1.7e-06 -.000289 -2.9e-06 -2.0e-06 1.0e-06 -8.4e-06 -7.7e-07 .000013
pcp | .000231 .000266 .000041 .000039 .000011 .000439 .000193 .000036
phc | .000127 .000236 -.00003 -.00006 8.9e-06 .000386 .000035 -5.4e-06
prc | .000018 -.000026
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rfm | .000271 .000291 .000865 .000303 .000015 .000125 .000259 -.00002
rlt | -.000093
.00038 7.4e-06 -.000119 .000027 -.000194 9.4e-07 .000201
sino | -.000031 -2.8e-06 -7.6e-06 -.00003 -5.2e-06 -3.0e-07 -8.8e-06 -.000011
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ta | -.000047
.00009 -.000103 .000106 4.4e-06 -.000107 -.000052 -.000017
upm | -.000018 .000018 -.00015 -.000329 6.3e-06 -.000103 .000271 .000168
cmt | .000284 .000269 -.000257 -.000071 .000033 .001727 .000197 -.000057
ma | .000119 -.000141 -.000131 .000045 -4.1e-06 -.000272 .000223 -.000142
sgi | -.000012 .000095 -.000031 .000031 2.0e-06 .000312 4.8e-06
.0001
bkd | -.000053 6.6e-06 .000079 -.000047 3.0e-06 .000098 .000024 7.1e-06
|

91

lc

lfm

lnd

mb

mjc

om

ov

pbc

-------------+----------------------------------------------------------------------lc | .001312
lfm | 7.3e-06 .000018
lnd | .000079 1.6e-06 .002613
mb | .000021 -.000014 .000132 .000387
mjc | 2.9e-06 -4.5e-07 -.000018 .000038 .002271
om | .000336 -.00002 .000083 -.00004 .000058
.0032
ov | -.000051 8.6e-07 .000135 -6.8e-06 -.000114 -.000089 .004355
pbc | -2.1e-06 1.9e-07 .000016 -1.2e-07 1.2e-06 -2.1e-06 -2.3e-06 .000126
pcp |
.00009 5.3e-07 .000043 .000062 -.000236 -.000159 .000251 -1.4e-06
phc | -.000018 -2.9e-07 -.000034 5.8e-06
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prc | -9.0e-06 1.6e-07 8.2e-06 -9.8e-06 -3.2e-07 -.000025 .000035 -4.2e-07
eton | -.000263 1.8e-06 -.000417 -.000168 -.000115
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rfm | .000018 1.7e-06 -.000402 -.00003 .000112 .000074 -.000439 -4.5e-06
rlt | .000176 5.3e-07
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upm | .000207 1.2e-06 .000132 -.000195 -.000091
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cmt | -.000016 1.5e-06 .000161 -.000044 .000106 .000048 -.000175 -.000054
ma | .000039 1.7e-06 -.000191 .000106 -.000103 -.000182 -.000379 -4.4e-06
sgi | .000056 -7.8e-06 -.000193 5.9e-06 .000023
.00019 .000146 -1.0e-06
bkd | -.000065
.00001 .000024 -.000032 -.000025 .000098 .000061 4.4e-07
|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .003324
phc | -.000043 .000675
prc | -.000023 -5.0e-06 .000066
eton | .000453 .000094 -.000051 .009065
rfm | -.000427 .000159 6.7e-06 -.000149 .006264
rlt | -.000275 .000036 -.000011 .000012 .000018 .001355
sino | -.000047 4.3e-06 -6.8e-06 -.000021 .000107 -.000052 .000377
soc | .000089 -.000081 -.000034 -.000126 .000557 .000393 -.000019 .004143
ta | -.000019 -.000036 6.1e-06 .000051 -.000018 2.2e-08 .000032 -.000062
upm | -.000237
.00002 -.000061 -.000235 -.000183
.00041 -.000177 .000206
cmt | .000269 .000432 -.000048 -.000297 -.000185 .000064 -.000063 .000233
ma | .000123 -.000094 .000048 .000483 1.0e-05 .000058 -.000051 -.000285
sgi | -.000129 .000029 -9.8e-06 .000123 -.000168 .000034 -.000027 -.000067
bkd | .000208 4.0e-06 -2.8e-06 .000102 -.000075 2.0e-06 9.4e-06 .000018
|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .000375
upm | -.000019 .004143
cmt | .000047 .000021 .003797
ma | -.000042 -.000125 -.000145 .003942
sgi | -.000052 -5.3e-06 .000141 -.000099 .000921
bkd | .000033 .000018 -.000024
.00016 .000052 .000524

2005
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba |
.00406
acr | .001056 .004199
apc |
.00061 .001404 .006121
v | .000063 .000135
.00008 .000607
cpv | .000298 -.000056 -9.3e-06 -.000022 .002997
dhc | .000265 -.000089 .000732 -.000085 .000098 .009184
eei | .001027 .000687 .000622 .000063 .000022 -.000076 .002935
lcb | .000503 .000605 .000286 2.1e-06 .000101 .000284 .000317 .001301

92

lc
lfm
lnd
mb
mjc
om
ov
pbc
pcp
phc
prc
eton
rfm
rlt
sino
soc
ta
upm
cmt
ma
sgi
bkd

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

.00057
.00002
.000417
.000285
-.000046
.00108
.000552
.000199
.000509
.000209
8.9e-06
.000173
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.000875
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.000875
-.000558
-.000156
-.000079
-.000168

.000591
-1.1e-06
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.001076
.000125
5.9e-06
.000702
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.000083
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.001316
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-.000015
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.000337
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.00042
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.000133
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-.000406

.000019
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6.1e-06
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.000149
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5.0e-06
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.000295
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.0003
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5.5e-06
.000015
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-.000061

.000891
-9.6e-06
.000026
4.7e-06
.000047
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.000201
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.000105
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-9.2e-06
.000254
.000233
.000202
.000693
.000202
.000693
-3.2e-06
-.000024
-.000013
.000089

|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc | .001206
lfm | 5.4e-07 .000021
lnd | .000083 -1.0e-07 .001677
mb | -.000031 2.9e-07 .000025 .000801
mjc | .000049 -2.2e-07 .000066 -6.1e-06 .001028
om | .000529 -6.4e-07
.00013 .000041 .000262 .002986
ov | 1.1e-06 -9.6e-07 .000104 .000017 2.1e-06 .000092 .002957
pbc | -8.1e-06 5.5e-08 -.000062 .000019 1.4e-07 4.2e-07 -.000116 .001517
pcp |
.00025 -1.2e-06 -.000161 .000098 .000232 .000483 .000676 -.000445
phc | .000069 -3.0e-07 .000071 .000011 .000077 .000134 .000068 2.0e-07
prc | -.00002 2.5e-08 2.2e-06 -2.2e-06 -.000014 -.000022 4.8e-06 -1.7e-08
eton | .000037 3.1e-07 2.0e-06 -.000074 -.000017 .000071 .000033 -2.0e-07
rfm | .000385 -1.7e-06 .000325 2.9e-07 .000534 .000671 .000238 -.000134
rlt | .000251 -9.5e-07 .000135 .000257 -.000041 .000373 .000389 -.000034
sino | .000207 -3.7e-07 .000172 .000105 .000067 .000279 .000427 -.000122
soc | .000646 -.000012 .000193 .000096 -8.5e-07 .000816 .000387 -.000354
ta | .000207 -3.7e-07 .000172 .000105 .000067 .000279 .000427 -.000122
upm | .000646 -.000012 .000193 .000096 -8.5e-07 .000816 .000387 -.000354
cmt | -.000233 -1.9e-06 -.000112 -.000091 .000523 -.000249 .000308 .000101
ma | -.000081 -.000018 .000047 -.000085
.00004 -.000022 .000178 3.9e-08
sgi | .000043 -4.6e-07 .000067 2.8e-06 .000054 .000162 .000034 -.000034
bkd | .000014 -.000012 .000042 -.000016 .000018 .000205 -7.8e-06 -8.5e-08
|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .005102
phc | -.000028 .000864
prc | -.000043 7.1e-06 .000018
eton | .000171 .000037 -2.8e-06 .000535
rfm | .001267 .000463 -.000044 .000073 .004364
rlt | .000087 .000146 -3.0e-06 -.000187 .000534
.00246
sino | .000255 .000098 3.4e-06 .000052 .000451 .000492 .001014
soc | .000235 .000034 .000012 -.000193 .000346 .000779 .000372
.00407
ta | .000255 .000098 3.4e-06 .000052 .000451 .000492 .001014 .000372
upm | .000235 .000034 .000012 -.000193 .000346 .000779 .000372
.00407
cmt | -.000052 -.000056 .000036 -.000053 -.000304 .000476
.00032 .000073
ma | .000184 9.6e-06 -4.1e-06 .000134 .000066 -.000225 -.000017 .000073
sgi | .000045 .000018 7.7e-06 .000071
.00024 -.000099 5.2e-06 .000043
bkd | -.000203 -.000063 -2.6e-06 5.0e-06 -.000199 .000075 -.00003 .000022

93

|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .001014
upm | .000372
.00407
cmt |
.00032 .000073 .004839
ma | -.000017 .000073 .000281
.00207
sgi | 5.2e-06 .000043 1.8e-06
.00024 .000858
bkd | -.00003 .000022 .000159 -.00002 .000086 .000813

2006
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .002567
acr | .000192 .001408
apc | .000145 .000275 .002974
v |
.00015 .000036 .000104 .000902
cpv | -.000186 .000016 .000143 -.000063 .001466
dhc | -.000086 .000125 -.000027 .000096 -.000045 .006164
eei | .000072 .000114 .000337 .000098 .000291
.00005 .001448
lcb | .000166 .000097 .000402 .000181 -5.3e-06 -.000165 .000233 .001343
lc | .000215 .000203 .000299 .000085 -.000014 -.000139 .000225 .000956
lfm | -.000016 4.8e-06 -7.3e-06 -5.0e-06 6.2e-06 -.000028 2.3e-06 -3.1e-07
lnd | 8.5e-06 .000096 2.0e-06 .000118 .000057 -2.2e-06 .000074 -.000046
mb | -9.5e-06 .000053
.00006 .000053 -3.5e-06 5.6e-06 .000016 -.000031
mjc | -.000033 .000024 .000107 .000013 -.00006 -.000082 .000077 -6.9e-06
om | .000383
.0002 .000386 -.000141 -6.9e-06 -.000122 -6.3e-06
.00016
ov | .000164 .000271 .000654 .000257
.00014 .000309 .000321 .000545
pbc | .000013 -.000341 .000323 -.000063 -.000131 .000323 -8.6e-06 .000079
pcp | .000137 .000197 .000993 .000077 .000209
.00057 .000249 .000246
phc | .000037 -.000023 -.000018 -8.3e-06 .000035 .000041 .000018 .000021
prc |
.00003 -.000017 .000039 -.000013 -.000046 4.2e-06 .000012 -.00003
eton | .000157
.0005 .000095 .000242 1.3e-06
.00056 -6.4e-07 .000187
rfm | .000183 .000076
.00121 .000059 .000019 .000135 .000218 .000284
rlt | .000174 .000255 .000293 .000115 -.000071 .000059 .000218
.00036
sino | .000078 .000153 .000202 -.00002 .000032 .000213 .000058 .000127
soc | .000777 .000553 .000643 .000397 .000102 -.000183 .000261 .000474
ta | .000078 .000153 .000202 -.00002 .000032 .000213 .000058 .000127
upm | .000777 .000553 .000643 .000397 .000102 -.000183 .000261 .000474
cmt | .000162 -.000016 .000021 .000112 .000022 .000072 .000379 -.000024
ma | -.000119 -8.3e-06 .000029 .000087 5.9e-06 .000109 -.000023 .000347
sgi | .000198 .000126 .000051 .000067 -1.1e-06 .000111 .000139 .000096
bkd | -.00011 .000065 .000132 .000092 -.000121 .000085
.00004 .000126
|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc | .001429
lfm | -6.5e-06 .000018
lnd | -.000024 -5.0e-07 .001587
mb | -.000031 2.0e-07 -.000012 .000401
mjc | -.000027 -3.8e-08 .000023 .000039 .000429
om | .000308 -1.3e-06
.00019 5.9e-06 -.000078 .002998
ov | .000572
.00002 .000061 .000076 .000141 .000224 .002293
pbc | -.000062 -2.2e-07 -.000143 .000066 .000048 .000097 -.000079 .002692
pcp | .000158 -1.5e-06 -.000039 1.6e-07 .000072 -.00003 .000508 -.000384
phc | 1.6e-06 -1.2e-07 -.000064
.00003 .000013 -.000103 -6.9e-06 -9.6e-06
prc | -.000017 -6.6e-08 -.000015 -.000018 .000017 -.000021 .000062 .000044
eton |
.0001 -1.0e-06 .000107 -.000012 -1.6e-06 -.000194 -.000068 .000036
rfm | .000246 9.4e-06 .000154 -.000023 .000073 .000226 .000396 .000227
rlt | .000255 -.000023 .000118 .000087 .000047 -.00001 .000939 .000113
sino | .000226 -2.5e-07 .000112 .000037 .000034 .000138
.00041 .000128

94

soc
ta
upm
cmt
ma
sgi
bkd

|
|
|
|
|
|
|

.00045
.000226
.00045
.000097
.000225
.000022
.000128

-1.6e-06
.0001 .000164
-2.5e-07 .000112 .000037
-1.6e-06
.0001 .000164
-1.4e-06 .000171 -.000064
.00003 -.000028 -.000068
-4.1e-07 .000156 .000012
-1.9e-07 -.000052 2.8e-07

.000167 .000232 .000772 .000068

.000034 .000138
.00041 .000128
.000167 .000232 .000772 .000068
.000013 .000048 .000187 .000217
9.9e-06 -.000031 .000233 -.000117
.000017 -.000033
.00021 -.000014
.00007 -.000051 -5.8e-06 .000024

|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .004486
phc | .000054 .000256
prc | .000039 .000026 .000401
eton | .000335 -.000013 .000084 .003261
rfm | .000389 .000039 .000021 -.000016 .001277
rlt | .000482 .000013 3.3e-06 .000466
.00011 .002356
sino | .000039 -.000011 -1.7e-06 -.00006 .000227
.00019 .000633
soc | .000591 -.000035 .000094 .000653 .000278 .000455 .000188 .003377
ta | .000039 -.000011 -1.7e-06 -.00006 .000227
.00019 .000633 .000188
upm | .000591 -.000035 .000094 .000653 .000278 .000455 .000188 .003377
cmt | -.000157 -.000062 -5.7e-06 .000193 .000093 .000165 .000033 .000097
ma | .000055 .000051 -.000011 .000077 .000116 .000041 -.000059 .000332
sgi | .000165 -.000013 .000034 .000096 3.6e-07
.00011 .000032 .000176
bkd | .000252 -2.1e-06 .000031 .000026 .000151 -2.1e-06 .000081 -.00005
|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .000633
upm | .000188 .003377
cmt | .000033 .000097
.00205
ma | -.000059 .000332 .000276 .002078
sgi | .000032 .000176 .000216 .000059 .000836
bkd | .000081 -.00005 9.1e-08
.00016 .000071 .001116

2007
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .003464
acr | .000306 .002119
apc | .000925 .000271 .002678
v | 9.6e-06
.0001 .000168 .000649
cpv | -.000031 .000066
.00012 .000048 .000402
dhc | -.000396 .000122 -.000065 .000274 .000309 .009107
eei | .000573 .000282 .000744 .000037 .000039 .000117 .001281
lcb | .000524 .000361 .000749 .000091 .000045 -.000406 .000487 .001848
lc | .000489 .000138 .000787 .000026 .000042 -.000158 .000498 .001438
lfm | .000105
.00001 -.000094 .000024 -6.3e-07 -.00003 -.000014 -.000034
lnd | .000594 .000464 .000792 -.000015 9.6e-07 -.000176 .000457 .000541
mb | .000131 -3.5e-06 .000132 .000023 -9.6e-07 .000106 .000126 .000096
mjc | .000121
.00008 .000151 .000021 -1.1e-06 -.000275 .000183 .000052
om | .000312
.00023 .000694 -.00006 .000032 -.00039 .000516 .000524
ov | .000604
.00035 .000782 .000045 -.000049 .000165 .000489 .000564
pbc | -.000109 .000032 .000046 .000021 .000083 .000105 .000053 -.000015
pcp | .000836 .000625 .001035 .000111
.00005 .000239 .000782 .000775
phc | .000384 .000245 .000035 -.000035 -.000047 .000595 .000016 -.000167
prc | .000054
.00015 .000061 .000072 .000012 -.000029
.00008 .000055
eton |
.00034 -.000023 .000172 .000252
.00002 .000132 .000164 .000115
rfm | .001164 .000673 .002206 .000195 .000062 -.000102
.00094 .000805
rlt | .000376 .000235 .000442 .000036 .000036 -.000138 .000289 .000535
sino | .000359 .000208 .000463 .000056 .000014 .000146 .000286
.00045
soc | .000356 .000115 .000778 .000039 -.00003 -.000068 .000357
.00052

95

ta
upm
cmt
ma
sgi
bkd

| -.000118 -.00013 -.000053

| .000028 -.000042 .000219
| .000303 .000138 .000622
| .000488 .000281 .000585
| .000025 .000262
.00024
| .000152 .000623 .000332

.00025
.00001 -.000227 -.000017 -.000202
.000192 -.000107 -.000154 .000094 -.000063
.000035 .000044 4.8e-06 .000608 .000387
.000053 .000047 -.000105 .000494 .000744
.00028 7.3e-06 .000745 .000152
.00009
-.00002 4.3e-06 .000136 .000103 .000139

|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc |
.002
lfm | -.000117 .001451
lnd | .000567
.00003 .001431
mb | .000138 3.1e-06 .000068 .000818
mjc | .000141 -8.7e-06 .000081 -.000134 .001119
om | .000646 .000195 .000261 .000143 .000139
.00303
ov |
.0008 -.000258 .000513 .000065 .000156 .000481 .002203
pbc | -3.2e-08 -2.1e-06 -.000018 .000097 -7.4e-06 .000013 -.000055 .000442
pcp | .000793 -.000225 .000753 .000194 .000351 .000472 .000889 .000141
phc | -.000138 -.000121 .000207 .000122 .000234 -.000203 -.000145 .000064
prc | .000083 -.000032 .000086 .000036 .000064 6.3e-07 .000068 .000229
eton | -.000041 -.000021 .000077 .000023
.00019 .000456 .000013 -.000029
rfm | .001078 -.000027 .000923
.0002 .000178 .001008 .000906
.00003
rlt | .000491 -.000019 .000319 .000084 -.000075 .000209
.00049 -.00008
sino | .000533 -5.4e-06 .000362 2.7e-07 .000014 .000307 .000576 -4.1e-06
soc | .000585 -.000135 .000432 -.000066 .000226 .000397 .000737 -.000095
ta | -.000208 .000062 .000017 -.000027
.00001 -.000031 .000088 .000073
upm | -.000042 .000163 .000064 .000052 .000049 .000083 -.000158 .000025
cmt | .000437 -.000051
.00042 .000099 .000079
.00049
.00047 -.000012
ma | .000759 -.000091
.00043
.00017 .000114 .000628 .000606 .000069
sgi | .000032 -.000036 .000235
.00016 .000011 .000133 .000181 .000074
bkd |
.00018
.00004 .000453 .000045 -.000143 .000223 .000053 8.7e-06
|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .003487
phc | .000232
.00464
prc | .000211 .000129 .001436
eton | .000243 .000259 .000163 .004816
rfm | .001311 1.8e-06 .000145
.00049 .003936
rlt | .000563 -.00035 -8.9e-06 -.000046 .000391
.00175
sino | .000486 -.000112 .000075 .000249 .000559 .000776 .001748
soc |
.00092 .000027 .000182 .000166 .000825 .000503 .000262 .001849
ta | 3.7e-06 .000049 .000135 .000365 .000113 -.000271 -.000079 -.000101
upm | .000129 .000514 .000074 .000358 .000213 7.1e-06 .000034 .000049
cmt | .000668 .000017
.00008 -.000026 .000693 .000179 .000348
.00039
ma |
.00081 .000069 .000089 .000081 .000682 .000305 .000348 .000379
sgi | .000354 .000204 .000115 .000189 .000288 -2.8e-06 .000039 .000055
bkd | .000431 .000068 .000047 -.000011 .000377 .000283 .000263
.00014
|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .001748
upm |
.00026 .001849
cmt | .000052 -.000021 .001277
ma | -.000014 -.000073 .000454 .001504
sgi | .000333 .000111 .000081 .000131 .001873
bkd | -.000103
.00015 .000174 .000162 .000743 .003068

2008
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .003052

96

acr
apc
v
cpv
dhc
eei
lcb
lc
lfm
lnd
mb
mjc
om
ov
pbc
pcp
phc
prc
eton
rfm
rlt
sino
soc
ta
upm
cmt
ma
sgi
bkd

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

.000521 .001472
.000189
.00036 .002136
-.000244 .000112 .000127
.00085
-.000051 .000023 -.000034 .000011 .000335
-.000296 -.00014 -.000148
.00013 .000023 .003034
.000174 .000267 .000512 .000145 .000031 -.000123 .001147
.000282 .000223 .000782 .000114 -.000023 -.000012 .000519 .001827
.000486
.00018 .000616 .000011 .000011 .000019 .000477 .001242
-.000019 1.2e-06 .000023 6.0e-06 4.9e-07 -.000084 -.000029 .000034
.000364 .000218 .000531 .000072 .000017 .000083 .000285 .000407
.000086 .000034 7.7e-06 .000014 9.5e-06 -1.2e-06 -2.8e-06 -.000076
.000046 .000029 .000156 8.5e-06 .000021 -.000854 .000409 .000102
.000071
.00028 .000712 .000502 -.000044 -.000231 .000567 .000781
.000379 .000273 .000508 -.000119 .000023 -.000095 .000394 .000693
-.000014 .000027
.00007 7.1e-06 .000023 .000024 .000073 .000029
.00009 .000053 .000294 5.7e-06 .000027 -.000097 .000134 .000283
-.000048 -.000051 .000128 -.000013 -9.7e-06 -.000023 .000084 .000143
.000236 .000123
.00014 9.8e-07 -.000043 -.000033 -.000034 .000016
.000067 .000048 .000089 .000123 -.000024 .000215 .000114 .000041
.000365 .000146 .001225 -3.4e-06 -4.8e-06 -.000123 .000574 .000671
.00008 .000114 .000055 .000021 .000017 .000089 .000062 .000033
.000114 .000125 .000389 .000033 .000019 -.000094 .000205
.00049
-.000012 .000148 .000751 -.000119 -.000073 .000022 .000531 .000866
.000114 .000125 .000389 .000033 .000019 -.000094 .000205
.00049
-.000012 .000148
.00073 -.000147 -.000073 .000022 .000535 .000845
.000331 .000199
.00048 -.000169 .000011 -.000121 .000396 .000561
.000324 .000104 .000282 .000077 .000018 -.000125
.00034 .000814
.000226 .000252 .000159 -.000089 .000042
-.0002 .000159 .000166
.000319 .000132 .000403 -.000122 -.000044 -.000067 .000126 .000238

|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc | .001663
lfm | -8.9e-06 .000143
lnd | .000398 .000021 .001875
mb | .000025 .000017 .000105 .000498
mjc | .000078 1.4e-07 .000083 .000082 .002572
om | .000478 -.000035 .000392 -.000166 .000668 .003999
ov | .000636 .000088 .000451 .000153 .000168 .000415 .002072
pbc | .000047 6.5e-07 .000093 .000013 2.5e-06 .000028 3.2e-06 .000608
pcp | .000147
.00003 .000117 5.4e-07 -.000014 .000141 .000184 .000058
phc | .000062 -8.5e-06 .000092 -.000013 .000154 .000113
.00013 .000027
prc | -.000016 .000035 .000084 .000109 9.3e-06 -.000094
.00015 -7.7e-07
eton | .000077 -8.3e-06 .000245
.00005 -.000122 .000018 .000023 .000158
rfm | .000735 -8.2e-06 .000294 .000053 .000274 .000582 .000611 .000123
rlt | 9.2e-06 5.3e-07 .000025 3.0e-06 -6.2e-06 .000079 .000111 .000017
sino | .000344 .000077 .000358 .000063 .000019 .000237 .000574 1.8e-07
soc | .000581 .000058 .000167 .000057 .000174 .000094 .000998 -.000128
ta | .000344 .000077 .000358 .000063 .000019 .000237 .000574 1.8e-07
upm |
.00056 .000058 .000165 .000057 .000174 .000078 .000984 -.000128
cmt | .000457 .000023 .000162 .000013 .000166 .000362 .000418 5.2e-07
ma |
.00061 -.00002 .000325 .000015 .000209 .000753 .000343 .000066
sgi | .000132 7.2e-07 .000158 .000056 .000281
.00003 .000105 -3.4e-06
bkd | .000137 .000021 .000219 -.000074 .000023 .000406 .000334 -.000024
|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .000538
phc | .000043 .000393
prc | -3.2e-06 -.00004 .001053
eton | .000012 .000029 -.000121 .001524
rfm | .000351 .000081
.0001 .000063 .001984
rlt | .000023
.00002 9.8e-06 -.000111 .000127 .001301
sino | .000186 .000072 .000081 .000027 .000415 2.0e-06 .000661

97

soc
ta
upm
cmt
ma
sgi
bkd

|
|
|
|
|
|
|

.000154
.000186
.000154
.00015
.000199
.000072
.000297

.00009 .000377
.000072 .000081
.00009 .000377
.000203 .000186
.000044 -.00004
3.5e-06 .000017
.000077 -9.7e-06

-.000261
.000027
-.000252
.000087
-.000068
-.000024
-.000076

.000731 .000028
.000415 2.0e-06
.000726 .000056
.000538 .000106
.000652 .000064
.000183 -.000108
.000437 .000141

.000518 .004867
.000661 .000518
.000511
.00482
.000174 .000444
.000204 .000455
.000048 -.000158
.000309 .000125

|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .000661
upm | .000511 .004842
cmt | .000174 .000443 .001787
ma | .000204 .000464 .000265 .002404
sgi | .000048 -.000158 .000049 .000363 .001679
bkd | .000309 .000114 .000148 .000294 .000193
.00209

Overall
|
aba
acr
apc
v
cpv
dhc
eei
lcb
-------------+----------------------------------------------------------------------aba | .002645
acr | .000343 .002621
apc | .000384 .000339 .004257
v | -3.6e-06 .000052 .000155 .000932
cpv | 9.0e-06 .000012 .000044 -9.8e-06 .000966
dhc | -.000069 .000028 .000113 .000067 .000065 .005524
eei | .000343 .000284
.00038 .000128 .000076 .000023 .001686
lcb | .000271 .000254 .000378
.00007 .000034 -2.2e-06
.00028 .001528
lc |
.00034 .000228 .000314 -4.1e-06 .000044 .000025 .000251 .000968
lfm | .000015 2.1e-06 -.000015 1.5e-06 7.9e-07 -.000022 -4.0e-06 8.0e-07
lnd | .000276 .000117 .000377 .000057 .000015 -.000048 .000288
.00016
mb | .000081 .000049 .000015 2.2e-06 .000036 -.000016 .000019 -6.7e-06
mjc |
.00003
.00003 .000104 .000026 -5.9e-06 -.000201 .000074 .000047
om |
.00032 .000311 .000405 .000082 .000054 .000056 .000352 .000376
ov | .000285 .000188 .000504 6.1e-06 .000033 .000145 .000282 .000376
pbc | .000015 -.000093 .000049 6.2e-06 -3.5e-06 .000076 .000019 .000024
pcp | .000333 .000332
.00069 .000087 .000044 .000168 .000365
.0003
phc |
.00012 .000151 .000109 -.000011 6.5e-06 .000217
.00004 .000024
prc | .000062 .000033 .000062 .000023 -.000011 -.00001 7.2e-06 6.0e-06
eton | .000121 .000142 -.000053 .000164 .000037 .000182 .000065 .000087
rfm | .000482 .000407 .001683 .000155
.00003 .000068
.00045 .000318
rlt | .000143 .000296 .000228 .000048 2.1e-06 -.000057 .000181 .000214
sino | .000169
.00017 .000238 .000011 .000016 .000078 .000126 .000209
soc | .000395
.00043 .000254 .000014 9.0e-06 -.000034 .000229 .000562
ta | .000052 .000135 .000158 .000076 .000016 -2.2e-06 .000082
.00011
upm | .000263 .000409 .000289 .000022 .000027 -.00002 .000306 .000339
cmt | .000127 .000332 .000232 .000026 6.2e-06 .000309 .000316 .000157
ma | .000111 .000074 .000165 .000095 -.000054 -.000038 .000193 .000307
sgi | .000045 .000127 .000161 .000057 -.000047 .000157 .000091 .000082
bkd | .000014 .000105 .000094 -.000016 -.00006 .000051 .000069 .000108
|
lc
lfm
lnd
mb
mjc
om
ov
pbc
-------------+----------------------------------------------------------------------lc | .001394
lfm | -.000019 .000278
lnd | .000197 .000011 .001856
mb | .000018 1.3e-06 .000052 .000579

98

mjc
om
ov
pbc
pcp
phc
prc
eton
rfm
rlt
sino
soc
ta
upm
cmt
ma
sgi
bkd

| .000042 -3.9e-07 .000033 3.0e-06

.00135
| .000392
.00002 .000191 6.7e-06 .000188
.00341
| .000336 -.000024 .000195
.00006
.00006 .000194 .002498
| -1.3e-06 -5.5e-06 -.000029 .000033 7.1e-06 .000032 -.000032 .000964
| .000246 -.000033 .000236
.00005
.00007 .000161 .000397
-.0001
| -.000015 -.000021 .000042 .000031
.0001 -8.7e-07 2.4e-06 .000014
| 6.2e-06 7.6e-07 .000028
.00002 6.9e-06 -.000011 .000064 .000046
| -.000027 -3.4e-06 .000069 -.000033 -5.0e-06 .000069 -7.4e-06 .000027
| .000419 -3.7e-06
.00025 .000027
.0002 .000486 .000297
.00004
| .000178 -6.7e-06 .000102 .000066 -.000027 .000104 .000363 -.000012
| .000214 .000012 .000172 .000039 .000042 .000152 .000325 3.5e-07
| .000482 -.000016 .000143 .000076 .000135 .000374 .000542 -.000077
| .000082 .000023
.0001
.00003 2.0e-06 .000102 .000236 .000011
| .000334 .000034 .000142 .000019 .000043 .000329 .000382 -.000057
|
.00016 -6.6e-06 .000193 -6.8e-06 .000151 .000218 .000301 .000049
| .000269 -.000018 .000128 .000033 .000037 .000231 .000178 -3.6e-06
| 6.1e-06 -9.7e-06 .000077
.00003 .000066 .000073 .000147 8.1e-06
| .000086 .000011 .000119 -5.9e-06 -6.5e-06 .000146 .000074 1.3e-06

|
pcp
phc
prc
eton
rfm
rlt
sino
soc
-------------+----------------------------------------------------------------------pcp | .003998
phc | .000045 .001231
prc | .000047 .000022 .000522
eton | .000181 .000069 .000022
.00402
rfm | .000544 .000127 .000039 .000096 .003496
rlt |
.00018 -.000024 -.000017 .000017 .000188 .002091
sino | .000164 4.4e-06 .000024 .000044 .000265 .000226 .000786
soc | .000511 .000019 .000115 .000013 .000417 .000358
.00024 .003965
ta | .000048 .000034 .000037 .000106 .000214 .000068 .000367 .000157
upm | .000209 .000107 .000085 .000096 .000266 .000341 .000125 .002109
cmt |
.00043
.00011 .000046 -.000079
.00022 .000214 .000124 .000393
ma | .000244 1.2e-06 .000014 .000133 .000279 .000042 .000078 .000163
sgi | -.000041 8.1e-07 .000025 .000071 .000124 .000022 -2.3e-06 .000202
bkd | .000193 6.6e-06 .000012 8.1e-06
.00012 .000086 .000086 .000037
|
ta
upm
cmt
ma
sgi
bkd
-------------+----------------------------------------------------ta | .000796
upm | .000238 .003809
cmt | .000073 .000097 .003625
ma | .000016 .000079 .000221 .002435
sgi | .000077 .000047 .000197 .000148 .001803
bkd | .000037 .000018 .000129 .000128 .000229 .001373

Bottom 30
Overall
|
agpb
opm
ab
kphb
uni
mrc
pep
is
-------------+-----------------------------------------------------------------------agpb | .001089
opm | .000097 .002239
ab | .000021 1.1e-06 .001456
kphb | -.000029 -9.5e-06 .000062
.00162
uni | .000063 .000055 -6.2e-06 -7.9e-06 .003022
mrc | .000208 .000263 .000215 -.000032 .000278 .004716
pep | .000122
.00011 .000131 -.000066 .000105 .000068 .003044
is | .000088
.00028 .000049 -.000038 .000173 .000114 .000115 .002171
mcb | .000239 .000088 .000035 -.000016 .000088 .000211
.00018 .000095

99

phes
kph
bhi
gob
vita
mon
ion
cat
ircb
diz
abb
go
ffi
aaa
sfi
fjpb
ajo
musx
var1
mvc
lib

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

-.00005 .000155 .000157 -.000071 -.000061 .000098

.00021 .000233
-.000015 .000068 .000075 .000976 .000055 .000194 -.000037 -.000066
.000129 .000194 -.000048 6.2e-06 .000169 -.000048 .000233 .000291
-9.1e-06 4.3e-07 .000068 .000017 .000018 .000302 -.000062 .000052
.000071 .000164 .000085 -4.2e-06 -.000013 .000128 .000138 .000096
6.8e-06 -1.2e-06 -.000051 .000021 -7.9e-06 .000132 .000109 .000133
.000057 .000116 -7.7e-07 -.000102 .000038 .000016 .000073
.00018
.000047 4.5e-06 -.000036 3.2e-06 3.3e-06 .000021 .000018 .000076
4.6e-06 .000104 .000029 -.00009
.00003 .000073 .000036 .000018
.000052 .000268 .000128 -.00003 .000017 .000215
.00025 .000213
8.7e-06 -.00003 -1.7e-09 9.4e-08 .000068 1.3e-06 -7.9e-06 -.000018
.000096 .000062 -1.2e-06 -.000016 -.000033 .000167 -.000076
.0001
.000013
.00003 -.000034 -.000036 -4.3e-07
.00016 -3.8e-06
.00008
4.5e-06 -.000043 .000993 -.00017 .000022 .000062 .000113
.0002
-7.4e-06 .000045 -1.9e-06
.00006 -.000057 -.000035 -.000033 -.000038
-.000012 .000014 -1.3e-08 7.2e-07 .000089 -9.4e-06 .000017 .000015
.000122 .000182 .000092 -.000028 .000211 .000314 .000446 .000318
.00013 .000142 -.000034 -.000046 .000066 .000246 .000112 .000232
.000033 .000171 .000014 -.000045 .000146 .000122 .000063 .001414
-.000084
.00008 -.000025 -.000019 8.9e-06 .000071 -5.8e-06 .000048
.000029 .000063 .000195 -4.9e-06 .000055 .000137 -.000086 .000042

|
mcb
phes
kph
bhi
gob
vita
mon
ion
-------------+-----------------------------------------------------------------------mcb | .000922
phes |
.00003 .003507
kph | 7.5e-06 -.000092 .002304
bhi | .000163 .000191 .000032 .003463
gob | 9.2e-06 .000028 -1.7e-06 -.000026 .002021
vita | .000091 .000132 -9.9e-06 .000196 -2.5e-07 .002548
mon |
.00004 .000111 -.000069 .000085 -9.7e-07 .000017 .001528
ion | .000052 .000087 -7.1e-06 .000032 .000028 .000098 .000065 .001894
cat | .000042 -.000057 .000022 .000055 .000045 -.000069 -.000051 .000108
ircb | .000054 .000026 .000084 .000177 .000136 3.6e-06 .000017 -.000093
diz | .000185 -.000038 .000034 .000053 -8.3e-06
.00006 .000064 -.00004
abb | -.000012 -.000014 .000027 -.000028 1.0e-07 .000017 5.0e-08 3.0e-06
go | -9.8e-06 .000021 .000064 .000012 .000184 -.000025 -2.1e-06 .000014
ffi | .000036 .000029 -.000029 .000062 -5.9e-06 .000036 .000417 -.000028
aaa | -.000015 .000217 -.000277 -.000015 -.000022 -.00009 -1.1e-06 2.7e-06
sfi | .000026 .000032 .000025 .000134 .000031 .000118 -1.4e-06 .000015
fjpb | 7.4e-06 -7.1e-06 6.8e-07 .000023 8.0e-07 .000016 3.8e-07 3.0e-07
ajo | .000325 .000215 -1.7e-06
.00024 .000021 .000032 .000094 .000066
musx | .000256 .000025 .000032 .000072 .000058 .000024 .000102
.0002
var1 | .000055 .000266 .000016 .000264 .000111 .000176 .000117 .000235
mvc | .000024 .000185 .000016 .000215 .000029 1.7e-06 .000032 .000134
lib | .000016 .000054 -4.1e-07 .000076 .000055 -.000023
.00003 -.000016
|
cat
ircb
diz
abb
go
ffi
aaa
sfi
-------------+-----------------------------------------------------------------------cat | .002458
ircb | -3.9e-06 .004448
diz | .000156 .000022 .006041
abb | 3.4e-06 3.2e-06 -2.9e-06 .000302
go |
.00001 .000096 -.000094 -.000059 .008695
ffi | -5.8e-07 .000135 .000055 -7.2e-06 .002051 .002309
aaa | -2.5e-06 5.7e-07 .000092 1.2e-07 -.00001 -2.8e-06 .006662
sfi | .000254 7.8e-06 -.000096 -2.1e-08 -.000027 4.1e-06 -.000012 .001814
fjpb | 8.5e-07 1.5e-06
.00002 -4.1e-08 1.7e-06 9.4e-07 9.3e-07 -1.6e-07
ajo | .000015 .000176 .000298 -2.7e-06 .000032 .000037 -.000037 .000046
musx | .000078 .000102 .000173 8.4e-06 -.000044 .000079 .000011 -1.7e-06
var1 | .000087 .000054 .000088 -.000018 .000145
.00007 -.000184 4.6e-06
mvc | .000074 -.000021 .000063 -8.9e-06 -2.2e-06 .000016 3.5e-06 -.000015
lib | -6.3e-06 .000045 .000015 7.0e-08 .000027 -.000014 -1.6e-06 .000014

100

|
fjpb
ajo
musx
var1
mvc
lib
-------------+-----------------------------------------------------fjpb | .000243
ajo | 9.7e-07 .002999
musx | -.000013 .000369 .002113
var1 | -.000015 .000192 .000122
.00219
mvc | 5.9e-07 .000124 .000015 .000199 .002617
lib | 5.4e-07 .000089 .000029 .000074 1.1e-06 .001585

101

Appendix D
Getting the optimal portfolio weights, liquidity and the regression

Based on the Modern Portfolio Theory, two components, mean and standard
deviation, determine the optimal portfolio weights.
Optimal Portfolio Weights
1. To get the expected value of each return, the average of the daily returns are
used with the formula of the return as
last price of day

and

, where

is the current

was yesterdays last price on day . The daily

returns are computed for each security. In the case of the study, this will result
to 30 expected values for each stock category (i.e. large-cap, mid-cap &
small-cap stocks). The averages was done through MS Excel using function
=AVERAGE(). This can also be done through using the Stata command
sum or summarize
2. To get the variances and the covariances of the portfolio, we still used the
daily returns of each security. We used the Stata command correlate varlist,
covariance to derive the variances and the covariances. The result is a 30
30 covariance matrix as shown below
12 12

2
21 2
M
M

N 1 N 2

102

L 1N

L 2N
O M

K N2

This is done for each stock category. To process the matrix, the data is
imported to Mathematica.
3. Using this formula:

. The covariance matrix needs to be

inversed assuming, of course, that it is nonsingular. Mathematica command

Inverse[] is applied to inverse the matrix.
4. The averages of the daily returns are inputted to a 30 1 vector to form and
deducted to a corresponding vector of risk-free rates to form

. The risk-free

rate is the average of the 91-day Treasury Bill rates. Hence, the vector will
contain similar values. In the study, the average T-bill rates is 0.05.
5. After subtracting the average daily returns with the risk-free rate, the resulting
vector is multiplied to the covariance matrix . This would result to the
optimal weights according to the mean-variance paradigm. There will be 30
optimal weights for each security.

Liquidity Measures
1. To get the liquidity measures (i.e. price impact, peso volume & turnover), we
computed the daily liquidity measures shown in Chapter 4. This is done for
each security. This would result to three liquidity measures for each security.
2. After getting the daily liquidities, the averages of the liquidity are obtained
through MS Excel function =AVERAGE(). This would serve as the
securitys liquidity measure. This would result to 30 liquidity measures to
match with the 30 optimal weights discussed in the previous procedure.

103

Regression
1. Normal distributions ensure that the expected value and standard deviation are

suffiecient to be determinants of the investors utility; however, as mentioned

in the Theoretical Framework, when other factors are non-normal, the
distribution will be expected to be non-normal as well. Such is the case for the
Philippine setting, Shapiro-Wilk tests for normality are tested, and results
show (Appendix E) that, indeed, they are non-normal.
2. To show the relationship, we regress the optimal weight (optport) as the
dependent variable and price impact (primp) measure as the independent
variable. Stata command regress optport primp is used. The procedure is
applied to other liquidity measures, substituting primp with pvol for peso
volume and tover for turnover.
3. For postestimation tests, Stata command hettest and estat imtest, white are
used to verify if the problem of heteroskedasticity exists.
4. For non-normality, the daily returns are used and processed under the Stata
command sktest, swilk and sfrancia.

104

Appendix E
Shapiro-Wilk Normality Test
Top 30
Shapiro-Wilk W test for normal data
Variable |
Obs
W
V
-------------+------------------------------------------------date |
0
.
.
.
.
tel |
1485
0.96426
32.326
8.744
bpi |
1485
0.96764
29.266
8.493
ac |
1485
0.96726
29.608
8.523
glo |
1485
0.95115
44.176
9.529
smph |
1485
0.97029
26.869
8.279
ali |
1485
0.98891
10.029
5.799
pltl |
1485
0.89297
96.788
11.502
smc |
1485
0.80664
174.861
12.990
mer |
1485
0.89529
94.696
11.447
smcb |
1485
0.87857
109.813
11.820
pcor |
1485
0.97181
25.493
8.146
jfc |
1485
0.94041
53.886
10.029
mbt |
1485
0.95890
37.173
9.095
chib |
1485
0.78045
198.551
13.310
aev |
1485
0.96033
35.872
9.005
ict |
1485
0.93128
62.148
10.388
px |
1485
0.90836
82.874
11.112
po |
1485
0.72206
251.352
13.903
meg |
1485
0.96383
32.713
8.774
rlc |
1485
0.80704
174.503
12.985
urc |
1485
0.89593
94.114
11.432
jgs |
1485
0.93455
59.191
10.265
psb |
1485
0.68103
288.456
14.249
abs |
1485
0.92334
69.327
10.663
fli |
1485
0.96315
33.329
8.820
rcb |
1485
0.88560
103.461
11.670
pnb |
1485
0.90078
89.728
11.312
smdc |
1485
0.91433
77.473
10.942
fph |
1485
0.94654
48.346
9.756
secb |
1484
0.44805
498.841
15.627

Mid 30
Shapiro-Wilk W test for normal data
Variable |
Obs
W
V
z
Prob>z
-------------+------------------------------------------------var32 |
0
.
.
.
.
aba |
1485
0.89660
93.513
11.416 0.00000
acr |
1485
0.73993
235.189
13.736 0.00000
apc |
1485
0.76292
214.399
13.503 0.00000
v |
1485
0.84869
136.839
12.373 0.00000
cpv |
1485
0.58705
373.449
14.899 0.00000
dhc |
1485
0.61498
348.190
14.723 0.00000
eei |
1485
0.88096
107.649
11.770 0.00000
lcb |
1485
0.93827
55.821
10.118 0.00000
lc |
1484
0.94929
45.834
9.622 0.00000
lfm |
1484
0.59581
365.302
14.843 0.00000
lnd |
1485
0.86374
123.230
12.110 0.00000
mb |
1485
0.83883
145.751
12.532 0.00000
mjc |
1485
0.75630
220.392
13.572 0.00000

105

Prob>z
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000

om
ov
pbc
pcp
phc
prc
eton
rfm
rlt
sino
soc
ta
upm
cmt
ma
sgi
bkd

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485
1485

0.93700
0.85362
0.61656
0.80698
0.63223
0.58365
0.58495
0.79890
0.75346
0.82029
0.77712
0.81850
0.79096
0.73049
0.93776
0.67921
0.70856

56.973
132.381
346.758
174.556
332.592
376.524
375.351
181.864
222.958
162.516
201.557
164.139
189.044
243.728
56.286
290.106
263.562

10.169
12.290
14.712
12.986
14.607
14.919
14.912
13.089
13.601
12.806
13.347
12.831
13.186
13.825
10.139
14.264
14.022

0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000
0.00000

Bottom 30
. swilk _all
Shapiro-Wilk W test for normal data
Variable |
Obs
W
V
z
Prob>z
-------------+------------------------------------------------var32 |
0
.
.
.
.
agpb |
1485
0.45399
493.781
15.601 0.00000
opm |
1483
0.98215
16.124
6.993 0.00000
ab |
1485
0.71354
259.057
13.979 0.00000
kphb |
1485
0.59647
364.925
14.841 0.00000
uni |
1485
0.64740
318.870
14.501 0.00000
mrc |
1485
0.75688
219.868
13.566 0.00000
pep |
1485
0.75578
220.854
13.577 0.00000
is |
1485
0.76534
212.216
13.477 0.00000
mcb |
1485
0.89529
94.696
11.447 0.00000
phes |
1485
0.75750
219.300
13.560 0.00000
kph |
1485
0.53350
421.872
15.206 0.00000
bhi |
1485
0.81275
169.342
12.909 0.00000
gob |
1485
0.72439
249.247
13.882 0.00000
vita |
1485
0.71919
253.950
13.929 0.00000
mon |
1485
0.66659
301.516
14.361 0.00000
ion |
1485
0.74551
230.143
13.681 0.00000
cat |
1485
0.82116
161.730
12.794 0.00000
ircb |
1485
0.42708
518.119
15.722 0.00000
diz |
1485
0.62601
338.216
14.650 0.00000
abb |
1485
0.75917
217.795
13.542 0.00000
go |
1485
0.29710
635.663
16.237 0.00000
ffi |
1485
0.39320
548.758
15.867 0.00000
aaa |
1485
0.25261
675.896
16.391 0.00000
sfi |
1485
0.60557
356.697
14.783 0.00000
fjpb |
1485
0.50998
443.147
15.329 0.00000
ajo |
1485
0.90453
86.333
11.215 0.00000
musx |
1485
0.85644
129.827
12.241 0.00000
var1 |
1485
0.79557
184.870
13.130 0.00000
mvc |
1485
0.72698
246.901
13.858 0.00000
lib |
1485
0.67222
296.426
14.318 0.00000

106