Eigenvalues of KFX returns - ku

evals
0.00 0.02 0.04 0.06 0.08

Eigenvalues

5
I

s of KFX returns

10 15
Index

sqrt(12) * sqrt(diag(Sigma))
0.0 0.2 0.4 0.6

5 10 15
Index

KFX: Factor struct

variance ____=total
0.00 0.01 0.02 0.03 0.04 −−−−=from 5 common factors
....=idiosyncratic

5
I

ture of return variance

10 15
Index

expected yearly rate of return KFX returns &
−0.2 0.0 0.2 0.4 0.6
−−−−=Mu−B*lambda
____=Mu
....=95% confidence band (approximate)

5
I

the APT restriction

10 15
Index