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sabr_smart_fit_beta05.txt
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optimization asset expiry alpha error
Smart 1 0.057534247 12.151919257171832 0.0019093165170451921
Smart 1 0.153424658 11.496396718783451 0.0017627500552942973
Smart 1 0.230136986 11.469001855918792 0.0015623938359922757
Smart 1 0.479452055 11.390274101725057 0.0011220675888969423
Smart 1 0.728767123 11.439217732858305 8.925577060589983E-4
Smart 1 1.22739726 11.528668004195067 6.884649173001756E-4
Smart 1 1.726027397 11.523775573258291 5.457914177446943E-4
Smart 1 2.243835616 11.528456809298968 4.5487529060337837E-4
Smart 1 2.742465753 11.482368747203182 3.9497031937084555E-4
Smart 1 3.24109589 11.474692225108889 3.521495999959034E-4
Smart 1 4.238356164 11.435528911231637 2.954636192413862E-4
Smart sp500 0.0191780822 6.85483661589602 0.031242254189987235
Smart sp500 0.0849315068 6.25962640910107 0.016435703456798706
Smart sp500 0.1616438356 6.102212200772424 0.012048549353989064
Smart sp500 0.2383561644 6.185989303384001 0.012718396040694229
Smart sp500 0.4904109589 6.446622413631616 0.013271433768685793
Smart sp500 0.7479452055 6.731766754416587 0.012111706212998561
Smart sp500 1.0 6.934467513221446 0.010489024802209144
Smart sp500 1.495890411 7.350102709190681 0.006845591220661392
Smart sp500 2.0 7.666352990328735 0.004818211717810933
Smart sp500 3.0 8.210698403595769 0.0034492334067238086
Smart sp500 4.0 8.50624631614805 0.0027426961569329655
Smart sp500 4.997260274 8.663253209767547 0.00236441074081179
Smart sp500 7.002739726 9.35585157807072 0.0017271622082391889
Smart sp500 10.002739726 9.752969872182993 0.002080139620302425
Smart euro50 0.0191780822 9.694493423110082 0.029536626926127
Smart euro50 0.0849315068 9.13775867315807 0.013503916104162642
Smart euro50 0.1616438356 9.151457232578183 0.006578088068629544
Smart euro50 0.2383561644 9.524210505699257 0.005049490070317558
Smart euro50 0.4904109589 10.171191635918229 0.0043457639701226305
Smart euro50 0.7479452055 10.707917488049453 0.004180090090487624
Smart euro50 0.997260274 11.100799366522805 0.003840844870761505
Smart euro50 1.495890411 11.482309000289792 0.00338171617464961
Smart euro50 1.997260274 11.610583261135005 0.0028598496006205865
Smart euro50 2.997260274 11.658533909714405 0.002160450068943669
Smart euro50 4.0 11.65286952221993 0.001771702164263857
Smart euro50 4.997260274 11.648928263741087 0.0016198288694443627
Smart euro50 7.0 11.60817919829621 0.0014493052036686738
Smart euro50 10.002739726 11.518126847211382 0.0013297198189656425
Smart msci 0.0191780822 1.8181090734960044 0.05683467466913718
Smart msci 0.0849315068 1.6671430237390397 0.016272393682440753
Smart msci 0.1616438356 1.6493004614329378 0.00811954411750409
Smart msci 0.2383561644 1.669743628537794 0.01633527743942964
Smart msci 0.4904109589 1.634802204202256 0.016006400169383986
Smart msci 0.7479452055 1.763657990451606 0.010984687831538565
Smart msci 1.0 1.821534437420661 0.008711925669882952
Smart msci 1.495890411 1.7208868860156807 0.006316074398362196
Smart msci 2.0 1.6554672021658396 0.004912920786594704
Smart msci 3.0 1.5790441794093644 0.003497036552762875
Smart msci 4.0 1.5388171354258644 0.0029696437171803877
Smart msci 4.997260274 1.5147725478221872 0.002785401182439333
Smart msci 7.002739726 1.4879608861962415 0.002751710688869469
Smart msci 10.002739726 1.4700191900512107 0.0028693358748546204
Smart bnp 0.0191780822 1.9936366008988182 0.03596329936121457
Smart bnp 0.0849315068 1.9638995648186546 0.011613090299706107
Smart bnp 0.1616438356 1.9777568187417804 0.0042830486121449
Smart bnp 0.2383561644 1.9991445715232854 0.004085916060206629
Smart bnp 0.4904109589 2.025469767020502 0.004779329435256692
Smart bnp 0.7479452055 2.102425712031701 0.0034804026444361104
Smart bnp 1.0 2.17475601387646 0.004413379775161853
Smart bnp 1.495890411 2.216662189503953 0.005437157908972895
Smart bnp 2.0 2.2402805284409393 0.004733855122456382
Smart bnp 3.0 2.3701215358357173 0.0026910729905818705
Smart bnp 4.0 2.4105704584909233 0.0017102248625642164
Smart bnp 4.997260274 2.4202021360950696 0.001322682395917034
Smart bnp 7.002739726 2.444462417532444 0.005713287369153968
Smart bnp 10.002739726 2.511456880925811 0.0165677089650442
Smart axa 0.0191780822 0.9343764401148997 0.03900828816419411
Smart axa 0.0849315068 0.8707902396158916 0.011469463984613537
Smart axa 0.1616438356 0.8795510781977998 0.004665237990467318
Smart axa 0.2383561644 0.9045677740786014 0.004378813294156195
Smart axa 0.4904109589 0.9312568981916527 0.0038270713772517724
Smart axa 0.7479452055 0.979126730278076 0.004021200029129083
Smart axa 1.0 1.0185787263206707 0.006081315323931202
Smart axa 1.495890411 1.0230354041492309 0.004336385394769316
Smart axa 2.0 1.0510915039135664 0.0031463197551275376
Smart axa 3.0 1.0789849573969958 0.0018385096314861202
Smart axa 4.0 1.0936337430535885 0.0011304838475897701
Smart axa 4.997260274 1.101199718491188 7.014406658664167E-4
Smart axa 7.002739726 1.111362553125361 0.00472914529204762
Smart axa 10.002739726 1.1147255049699014 0.006358770652604993
Smart airliq 0.0191780822 1.6791809574371253 0.025934740190211664
Smart airliq 0.0849315068 1.698066425103549 0.009900029242239827
Smart airliq 0.1616438356 1.714560165308726 0.004204117703983967
Smart airliq 0.2383561644 1.7365977261497323 0.0027185497144446404
Smart airliq 0.4904109589 1.7824852211199005 0.002604763416252224
Smart airliq 0.7479452055 1.8848459661364079 0.0033595343558758383
Smart airliq 1.0 1.9582324845583439 0.0032159329276656573
Smart airliq 1.495890411 1.9433273326460452 0.0036520928725686025
Smart airliq 2.0 2.019766323861313 0.003001575983141119
Smart airliq 3.0 2.1001829427274483 0.0023250129891637587
Smart airliq 4.0 2.133660743760213 0.00207910338076127
Smart airliq 4.997260274 2.1525593428930208 0.002112318531132982
Smart airliq 7.002739726 2.177599817670783 0.0023136216402504213
Smart airliq 10.002739726 2.202749740165211 0.002551125002548606
Smart bancorp 0.0191780822 0.831609535375075 0.01450549157348033
Smart bancorp 0.0849315068 0.8049867228063354 0.008112149842072678
Smart bancorp 0.1616438356 0.7874191709406858 0.004539358918464349
Smart bancorp 0.2383561644 0.7770088495709736 0.003313279977126315
Smart bancorp 0.4904109589 0.7989219146647982 0.00675240822165236
Smart bancorp 0.7479452055 0.8141027749571893 0.00926740516804526
Smart bancorp 1.0 0.8211822584587217 0.010537385000252284
Smart bancorp 1.495890411 0.827709254852992 0.011829127660325137
Smart bancorp 2.0 0.830561531707394 0.012506311637255923
Smart bancorp 3.0 0.832605814638738 0.013191043383615332
Smart bancorp 4.0 0.8329564204199159 0.013545997670343026
Smart bancorp 4.997260274 0.8327685291864525 0.01376708451871602
Smart bancorp 7.002739726 0.8321430790551899 0.014030717262903414
Smart bancorp 10.002739726 0.8319965914013143 0.01425133461626351
Smart wells 0.0191780822 1.6658963994391125 0.0600741903624854
Smart wells 0.0849315068 1.4883915246201551 0.020213501373907282
Smart wells 0.1616438356 1.4376051023714138 0.008783146872444685
Smart wells 0.2383561644 1.4222846892384884 0.0058588150825020545
Smart wells 0.4904109589 1.5214663699927162 0.005578085351949888
Smart wells 0.7479452055 1.5642560015172091 0.004862076304192241
Smart wells 1.0 1.58367259453305 0.004062451637642312
Smart wells 1.495890411 1.5810882588896376 0.0036988518589986348
Smart wells 2.0 1.5724107949351531 0.0032421794549166174
Smart wells 3.0 1.5565536067241594 0.004046541464898059
Smart wells 4.0 1.5486558742847298 0.004711368141770356
Smart wells 4.997260274 1.543984058694064 0.0051629694106196085
Smart wells 7.002739726 1.5388151988370464 0.005719532658456557
Smart wells 10.002739726 1.5354450810242668 0.0061594346551367305
Smart dell 0.0191780822 0.9287115393933295 0.05518884250478696
Smart dell 0.0849315068 1.0605270850760702 0.02283004708358485
Smart dell 0.1616438356 1.0966338843929078 0.010722979720526705
Smart dell 0.2383561644 1.1076760263691436 0.005098093695447051
Smart dell 0.4904109589 1.1067828350790336 8.406642395426437E-4
Smart dell 0.7479452055 1.1138508613150522 0.0010216207270376907
Smart dell 1.0 1.1318928255612046 9.5141722170836E-4
Smart dell 1.495890411 1.1723176402436728 0.0013478115828711346
Smart dell 2.0 1.190606715863151 0.0016100891137007132
Smart dell 3.0 1.2023031413957301 0.001879129452820632
Smart dell 4.0 1.2024821891352528 0.002014928130665454
Smart dell 4.997260274 1.1984535642104928 0.002101534536302357
Smart dell 7.002739726 1.1856711022075814 0.002207030851273119
Smart dell 10.002739726 1.1635716362571917 0.0022980090363292427
DE-20 1 0.057534247 12.151919214531246 0.0019093165170448695
DE-20 1 0.153424658 11.49639670963937 0.0017627500552942464
DE-20 1 0.230136986 11.469001860800851 0.0015623938359921427
DE-20 1 0.479452055 11.39027377779433 0.0011220675888339799
DE-20 1 0.728767123 11.439217689245998 8.925577060666918E-4
DE-20 1 1.22739726 11.528667812287114 6.884649172897279E-4
DE-20 1 1.726027397 11.52377565086102 5.457914177432384E-4
DE-20 1 2.243835616 11.528456876843846 4.548752906012681E-4
DE-20 1 2.742465753 11.482368804091042 3.949703193694909E-4
DE-20 1 3.24109589 11.474692276223179 3.5214959999391155E-4
DE-20 1 4.238356164 11.435528954082654 2.954636192425918E-4
DE-20 sp500 0.0191780822 6.854842699720799 0.03124225419596351
DE-20 sp500 0.0849315068 6.25962684503299 0.01643570345679099
DE-20 sp500 0.1616438356 6.102214736974741 0.012048549353809026
DE-20 sp500 0.2383561644 6.185990438001865 0.012718396040479845
DE-20 sp500 0.4904109589 6.446584675396419 0.013271433730395755
DE-20 sp500 0.7479452055 6.73174469839767 0.012111706193287428
DE-20 sp500 1.0 6.934433997507446 0.010489024743336888
DE-20 sp500 1.495890411 7.350077150776527 0.006845591222728017
DE-20 sp500 2.0 7.666359136403085 0.0048182117125309416
DE-20 sp500 3.0 8.210694441074716 0.0034492334066120547
DE-20 sp500 4.0 8.506244707221576 0.0027426961569070483
DE-20 sp500 4.997260274 8.663254046241308 0.0023644107408238315
DE-20 sp500 7.002739726 23.012035689174905 0.00835395080621282
DE-20 sp500 10.002739726 9.752969985319822 0.002080139572535949
DE-20 euro50 0.0191780822 9.694516644229193 0.02953662692834169
DE-20 euro50 0.0849315068 9.137777117745305 0.013503916108903226
DE-20 euro50 0.1616438356 9.151456669817312 0.006578088068624748
DE-20 euro50 0.2383561644 9.52421083904167 0.005049490070313556
DE-20 euro50 0.4904109589 10.171191977580852 0.004345763969999126
DE-20 euro50 0.7479452055 10.707917592915312 0.0041800900904954115
DE-20 euro50 0.997260274 11.100800272643891 0.00384084487100223
DE-20 euro50 1.495890411 11.482311387638996 0.0033817161743717127
DE-20 euro50 1.997260274 11.610584731805675 0.002859849600537365
DE-20 euro50 2.997260274 11.658534983797168 0.0021604500687111942
DE-20 euro50 4.0 11.652873919680717 0.0017717021643690852
DE-20 euro50 4.997260274 37.08162242194646 0.014834300683090369
DE-20 euro50 7.0 32.876640981726915 0.012424774086816436
DE-20 euro50 10.002739726 11.518127088693824 0.0013297198189654576
DE-20 msci 0.0191780822 1.8182093261211794 0.05683467356503211
DE-20 msci 0.0849315068 1.6671382030220738 0.016272393667944057
DE-20 msci 0.1616438356 1.6492984602925682 0.008119544114846805
DE-20 msci 0.2383561644 1.6697352765925515 0.01633527736493612
DE-20 msci 0.4904109589 1.6347947415107618 0.016006400086196065
DE-20 msci 0.7479452055 1.7636581284132482 0.010984687831954823
DE-20 msci 1.0 1.8215335380372952 0.00871192566892442
DE-20 msci 1.495890411 1.7208838153734174 0.006316074399846434
DE-20 msci 2.0 1.655465981851894 0.004912920792871384
DE-20 msci 3.0 1.5790441739785324 0.0034970362842371918
DE-20 msci 4.0 1.53881713588962 0.0029696431001841866
DE-20 msci 4.997260274 4.926113208639329 0.009313534103043718
DE-20 msci 7.002739726 4.339306735318467 0.006909968781310772
DE-20 msci 10.002739726 1.4700191094907744 0.0028693358746944638
DE-20 bnp 0.0191780822 1.9936452134006757 0.03596329933583289
DE-20 bnp 0.0849315068 1.9638996631534311 0.011613090299596996
DE-20 bnp 0.1616438356 1.9777562856420077 0.0042830486115530055
DE-20 bnp 0.2383561644 1.9991445626696163 0.004085916060205233
DE-20 bnp 0.4904109589 2.025469904105815 0.004779329435249565
DE-20 bnp 0.7479452055 2.102426270392915 0.003480402644243273
DE-20 bnp 1.0 2.174756039044344 0.004413379070551117
DE-20 bnp 1.495890411 2.2166614844961456 0.005437157910870065
DE-20 bnp 2.0 2.2402817278947973 0.004733855123078861
DE-20 bnp 3.0 2.3701195960025476 0.0026910729927321
DE-20 bnp 4.0 2.4105602395775554 0.0017103275331177257
DE-20 bnp 4.997260274 2.420195674407358 0.0013224739255572086
DE-20 bnp 7.002739726 2.410787843535991 0.0012527408501509763
DE-20 bnp 10.002739726 2.3712526665410936 0.0014661403512558483
DE-20 axa 0.0191780822 0.9344103326362766 0.03900828747061589
DE-20 axa 0.0849315068 0.8707912379242999 0.011469463982816324
DE-20 axa 0.1616438356 0.8795510946621934 0.004665237990465707
DE-20 axa 0.2383561644 0.9045681741131144 0.004378813293094418
DE-20 axa 0.4904109589 0.9312572133220608 0.003827071376418631
DE-20 axa 0.7479452055 0.9791267611472343 0.004021200029128808
DE-20 axa 1.0 1.018578890066738 0.00608131532403222
DE-20 axa 1.495890411 1.0230360884411016 0.004336385395924573
DE-20 axa 2.0 1.0510913073890515 0.003146319755591553
DE-20 axa 3.0 1.0789849167975014 0.0018385096315100804
DE-20 axa 4.0 1.0936337600512793 0.0011304838476623284
DE-20 axa 4.997260274 1.10120510699353 7.013717325822682E-4
DE-20 axa 7.002739726 1.0988362821127589 9.096670851725782E-4
DE-20 axa 10.002739726 1.091014141172203 0.0014656391227373538
DE-20 airliq 0.0191780822 1.679196679207139 0.025934740165282452
DE-20 airliq 0.0849315068 1.6980688106066675 0.009900029240691034
DE-20 airliq 0.1616438356 1.7145601690585408 0.004204117703984047
DE-20 airliq 0.2383561644 1.7365977362750094 0.002718549714444473
DE-20 airliq 0.4904109589 1.7824853872729198 0.0026047634161815974
DE-20 airliq 0.7479452055 1.8848459879722266 0.003359534356032448
DE-20 airliq 1.0 1.9582329814969825 0.0032159329270711827
DE-20 airliq 1.495890411 1.9433289349353768 0.003652092870046298
DE-20 airliq 2.0 2.019766177452271 0.003001575983306471
DE-20 airliq 3.0 2.100181989701789 0.0023250129892942468
DE-20 airliq 4.0 2.1336607411486685 0.0020791033807693016
DE-20 airliq 4.997260274 2.152559342405546 0.00211231853113292
DE-20 airliq 7.002739726 5.781909129776721 0.00721652789681361
DE-20 airliq 10.002739726 2.202749730305651 0.00255112500254764
DE-20 bancorp 0.0191780822 0.831609524553349 0.014505491573418277
DE-20 bancorp 0.0849315068 0.8049868981268951 0.008112149841995939
DE-20 bancorp 0.1616438356 0.787419210495989 0.004539358918457563
DE-20 bancorp 0.2383561644 0.7767267280343635 0.0033122585529382514
DE-20 bancorp 0.4904109589 0.7989226162895081 0.006752408220181761
DE-20 bancorp 0.7479452055 0.8141033476189443 0.009267405167309362
DE-20 bancorp 1.0 0.8211845765816008 0.010537384989955323
DE-20 bancorp 1.495890411 0.8277098948460022 0.011829127659785402
DE-20 bancorp 2.0 0.8305638793424114 0.012506311634459567
DE-20 bancorp 3.0 0.8326108486070403 0.013191043365493146
DE-20 bancorp 4.0 0.8329581209369775 0.013545997654729499
DE-20 bancorp 4.997260274 0.8327731740702284 0.013767084523644581
DE-20 bancorp 7.002739726 2.0553522604269414 0.014402497633414422
DE-20 bancorp 10.002739726 0.8319849224784822 0.014251334635104012
DE-20 wells 0.0191780822 1.6660033545081154 0.06007418814557781
DE-20 wells 0.0849315068 1.4883918879544082 0.020213501373858526
DE-20 wells 0.1616438356 1.4376066303591317 0.008783146871133886
DE-20 wells 0.2383561644 1.4222848746709993 0.005858815082513075
DE-20 wells 0.4904109589 1.5214672433110896 0.005578085349575011
DE-20 wells 0.7479452055 1.5642561434339581 0.004862076304304613
DE-20 wells 1.0 1.5836735522638061 0.00406245163378472
DE-20 wells 1.495890411 1.58285982809578 0.003382860459184738
DE-20 wells 2.0 1.5724107929060067 0.0032421794549166356
DE-20 wells 3.0 1.5565536026571456 0.004046541464894487
DE-20 wells 4.0 1.548655888412716 0.004711368141761758
DE-20 wells 4.997260274 4.25251052902938 0.006293451791154842
DE-20 wells 7.002739726 3.768696387314158 0.0035848654567136678
DE-20 wells 10.002739726 1.5354453535586121 0.006159434623555291
DE-20 dell 0.0191780822 0.9287153028539064 0.05518884252936386
DE-20 dell 0.0849315068 1.0605218446241722 0.02283004703257408
DE-20 dell 0.1616438356 1.096633488038267 0.010722979720043298
DE-20 dell 0.2383561644 1.107675887408829 0.005098093695178048
DE-20 dell 0.4904109589 1.1067828334572662 8.406642395437554E-4
DE-20 dell 0.7479452055 1.1138508642037874 0.001021620727049311
DE-20 dell 1.0 1.1318929890344906 9.514172205798421E-4
DE-20 dell 1.495890411 1.1723176185263564 0.0013478115828249179
DE-20 dell 2.0 1.1906068337984161 0.0016100891135691058
DE-20 dell 3.0 1.202303127373647 0.0018791294528387036
DE-20 dell 4.0 3.03608658046093 0.015366758550170726
DE-20 dell 4.997260274 1.1984535663701181 0.0021015345362962504
DE-20 dell 7.002739726 1.185671108247469 0.0022070308512657207
DE-20 dell 10.002739726 1.1635716395529592 0.0022980090363481794