Table 9 OCIO's Asset allocation... | Emerald Publishing

Table 9

OCIO's Asset allocation capabilities using randomized portfolios: Unconstrained

Variables	return_rnk		vol_rnk		sharpe_rnk
Variables	(2–1)	(2–2)	(2–3)	(2–4)	(2–5)	(2–6)
intercept	33.3025	78.4292^**	60.0301^*	46.6728	34.2344	84.3203^**
intercept	(1.03)	(2.10)	(1.94)	(1.33)	(0.95)	(2.04)
ocio	7.5145	28.0995^***	−4.7484	−11.3034	7.764	30.3348^***
ocio	(1.36)	(2.67)	(−0.99)	(−1.23)	(1.27)	(2.65)
ocio × sf_wt		−0.5635^**		0.1806		−0.6196^**
ocio × sf_wt		(−2.28)		(0.83)		(−2.30)
ln(tot_amt)	−0.3228	−2.2753	−1.3699	−0.7454	−0.8391	−3.0167^*
ln(tot_amt)	(−0.24)	(−1.47)	(−1.18)	(−0.54)	(−0.57)	(−1.77)
long_wt	0.0233	0.0601	0.2516	0.2419^*	0.1172	0.1517
long_wt	(0.16)	(0.43)	(2.03)	(1.94)	(0.74)	(0.98)
sf_wt	0.4754^***	0.7960^***	−0.4952^***	−0.5968^***	0.3175^**	0.6529^***
sf_wt	(3.53)	(4.14)	(−3.84)	(−3.35)	(2.23)	(3.25)
Dependent variable (t−1)	0.104	0.0511	0.3167^***	0.3083^***	−0.0152	−0.0435
Dependent variable (t−1)	(0.92)	(0.45)	(3.10)	(3.00)	(−0.13)	(−0.38)
adj R²	0.5758	0.6032	0.6690	0.6721	0.4645	0.4624
Fixed year	Yes	Yes	Yes	Yes	Yes	Yes

Variables	return_rnk		vol_rnk		sharpe_rnk
Variables	(2–1)	(2–2)	(2–3)	(2–4)	(2–5)	(2–6)
intercept	33.3025	78.4292^**	60.0301^*	46.6728	34.2344	84.3203^**
intercept	(1.03)	(2.10)	(1.94)	(1.33)	(0.95)	(2.04)
ocio	7.5145	28.0995^***	−4.7484	−11.3034	7.764	30.3348^***
ocio	(1.36)	(2.67)	(−0.99)	(−1.23)	(1.27)	(2.65)
ocio × sf_wt		−0.5635^**		0.1806		−0.6196^**
ocio × sf_wt		(−2.28)		(0.83)		(−2.30)
ln(tot_amt)	−0.3228	−2.2753	−1.3699	−0.7454	−0.8391	−3.0167^*
ln(tot_amt)	(−0.24)	(−1.47)	(−1.18)	(−0.54)	(−0.57)	(−1.77)
long_wt	0.0233	0.0601	0.2516	0.2419^*	0.1172	0.1517
long_wt	(0.16)	(0.43)	(2.03)	(1.94)	(0.74)	(0.98)
sf_wt	0.4754^***	0.7960^***	−0.4952^***	−0.5968^***	0.3175^**	0.6529^***
sf_wt	(3.53)	(4.14)	(−3.84)	(−3.35)	(2.23)	(3.25)
Dependent variable (t−1)	0.104	0.0511	0.3167^***	0.3083^***	−0.0152	−0.0435
Dependent variable (t−1)	(0.92)	(0.45)	(3.10)	(3.00)	(−0.13)	(−0.38)
adj R²	0.5758	0.6032	0.6690	0.6721	0.4645	0.4624
Fixed year	Yes	Yes	Yes	Yes	Yes	Yes

Source(s): Author's work [Using the data in Tables 2 and 4, we performed the analysis (statistics, correlation and regression analysis)]