Table 10 OCIO's Asset allocation... | Emerald Publishing

Table 10

OCIO's Asset allocation capabilities using randomized portfolios: Constrained

Variables	return_rnk_sf		vol_rnk_sf		sharpe_rnk_sf
Variables	(3–1)	(3–2)	(3–3)	(3–4)	(3–5)	(3–6)
intercept	−42.2398	7.4304	73.8726^*	39.5194	−39.4195	1.0654
intercept	(−1.40)	(0.22)	(1.79)	(0.83)	(−1.32)	(0.03)
ocio	0.1464	23.8734^**	−5.2942	−21.428	3.2351	23.8816^**
ocio	(0.03)	(2.53)	(−0.77)	(−1.62)	(0.65)	(2.42)
ocio × sf_wt		−0.6565^***		0.4413		−0.5671^**
ocio × sf_wt		(−2.93)		(1.43)		(−2.41)
ln(tot_amt)	1.8743	−0.298	−2.4941	−0.9406	1.1904	−0.594
ln(tot_amt)	(1.52)	(−0.21)	(−1.51)	(−0.48)	(0.97)	(−0.42)
long_wt	0.0486	0.0892	0.2788	0.2546	0.0976	0.1389
long_wt	(0.37)	(0.71)	(1.57)	(1.43)	(0.75)	(1.09)
sf_wt	0.1379	0.5002^***	0.4723^***	0.2429	0.4924^***	0.845^***
sf_wt	(1.17)	(2.99)	(2.83)	(1.05)	(3.84)	(4.40)
Dependent variable (t−1)	0.0088	−0.0669	0.3137^***	0.3037^***	−0.0459	−0.1483
Dependent variable (t−1)	(0.08)	(−0.62)	(3.15)	(3.06)	(−0.41)	(−1.27)
adj R²	0.7147	0.7440	0.4253	0.4406	0.7393	0.7580
Fixed year	Yes	Yes	Yes	Yes	Yes	Yes

Variables	return_rnk_sf		vol_rnk_sf		sharpe_rnk_sf
Variables	(3–1)	(3–2)	(3–3)	(3–4)	(3–5)	(3–6)
intercept	−42.2398	7.4304	73.8726^*	39.5194	−39.4195	1.0654
intercept	(−1.40)	(0.22)	(1.79)	(0.83)	(−1.32)	(0.03)
ocio	0.1464	23.8734^**	−5.2942	−21.428	3.2351	23.8816^**
ocio	(0.03)	(2.53)	(−0.77)	(−1.62)	(0.65)	(2.42)
ocio × sf_wt		−0.6565^***		0.4413		−0.5671^**
ocio × sf_wt		(−2.93)		(1.43)		(−2.41)
ln(tot_amt)	1.8743	−0.298	−2.4941	−0.9406	1.1904	−0.594
ln(tot_amt)	(1.52)	(−0.21)	(−1.51)	(−0.48)	(0.97)	(−0.42)
long_wt	0.0486	0.0892	0.2788	0.2546	0.0976	0.1389
long_wt	(0.37)	(0.71)	(1.57)	(1.43)	(0.75)	(1.09)
sf_wt	0.1379	0.5002^***	0.4723^***	0.2429	0.4924^***	0.845^***
sf_wt	(1.17)	(2.99)	(2.83)	(1.05)	(3.84)	(4.40)
Dependent variable (t−1)	0.0088	−0.0669	0.3137^***	0.3037^***	−0.0459	−0.1483
Dependent variable (t−1)	(0.08)	(−0.62)	(3.15)	(3.06)	(−0.41)	(−1.27)
adj R²	0.7147	0.7440	0.4253	0.4406	0.7393	0.7580
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)]