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動能利潤來源
cross
own
variance of mean return of
autocovariance autocorrelation
industry portfolio
5,5
5,10
5,15
5,20
5,25
10,5
10,10
10,15
10,20
10,25
15,5
15,10
15,15
15,20
15,25
20,5
20,10
20,15
20,20
20,25
25,5
25,10
25,15
25,20
25,25
30,5
30,10
30,15
30,20
30,25
60,5
60,10
60,15
60,20
0.00579%
0.00574%
0.00240%
0.00598%
0.00178%
0.00600%
0.00270%
0.00231%
0.00150%
-0.00453%
0.00251%
0.00160%
-0.00337%
-0.00605%
-0.01190%
0.00521%
-0.00058%
-0.00727%
-0.01013%
-0.01935%
0.00020%
-0.00742%
-0.01473%
-0.02119%
-0.03442%
-0.00157%
-0.00973%
-0.02073%
-0.03108%
-0.04117%
-0.00770%
-0.02514%
-0.04223%
-0.04922%
-0.00626%
-0.00380%
-0.00083%
-0.00392%
0.00032%
-0.00397%
0.00173%
0.00213%
0.00328%
0.00703%
-0.00051%
0.00331%
0.00798%
0.00866%
0.01162%
-0.00269%
0.00543%
0.00945%
0.00951%
0.01558%
0.00145%
0.00892%
0.01263%
0.01590%
0.02441%
0.00077%
0.00792%
0.01483%
0.02045%
0.02536%
0.00592%
0.02028%
0.03362%
0.03632%
0.00001%
0.00001%
0.00001%
0.00001%
0.00001%
0.00001%
0.00002%
0.00002%
0.00002%
0.00002%
0.00001%
0.00002%
0.00002%
0.00003%
0.00003%
0.00001%
0.00002%
0.00003%
0.00002%
0.00002%
0.00002%
0.00002%
0.00003%
0.00002%
0.00003%
0.00002%
0.00002%
0.00003%
0.00003%
0.00003%
0.00000%
0.00000%
0.00001%
-0.00001%
total
-0.00046%
0.00195%
0.00158%
0.00207%
0.00212%
0.00204%
0.00445%
0.00445%
0.00480%
0.00252%
0.00200%
0.00493%
0.00463%
0.00264%
-0.00026%
0.00253%
0.00488%
0.00221%
-0.00059%
-0.00374%
0.00166%
0.00152%
-0.00207%
-0.00527%
-0.00998%
-0.00078%
-0.00178%
-0.00587%
-0.01060%
-0.01578%
-0.00178%
-0.00486%
-0.00861%
-0.01292%
-1245% 1346%
294% -194%
152%
-53%
289% -190%
84%
15%
294% -195%
61%
39%
52%
48%
31%
68%
-179% 278%
125%
-26%
32%
67%
-73% 172%
-230% 329%
4660% -4550%
206% -106%
-12% 111%
-329% 428%
1703% -1599%
518% -417%
12%
87%
-487% 585%
711% -609%
402% -302%
345% -245%
201%
-99%
547% -446%
353% -253%
293% -193%
261% -161%
433% -333%
517% -417%
491% -390%
381% -281%