1.

Asset Class Risks

Correlation Matrix Variance-Covariance Matri
Segment Vola A B C D E F G H A
A 15 1 0.5 0.3 0.4 0.4 0.5 0.4 -0.08 225
B 19.5 0.5 1 0.3 0.2 0.3 0.2 0.1 -0.13 146.25
C 23.3 0.3 0.3 1 0.3 0.3 0.2 0.1 -0.1 104.85
D 5.2 0.4 0.2 0.3 1 0.4 0.3 0 -0.02 31.2
E 4.5 0.4 0.3 0.3 0.4 1 0.3 0 -0.05 27
F 9.8 0.5 0.2 0.2 0.3 0.3 1 0 -0.07 73.5
G 27 0.4 0.1 0.1 0 0 0 1 0 162
H 2.5 -0.08 -0.13 -0.1 -0.02 -0.05 -0.07 0 1 -3

2. Portfolio and Benchmark Weights

Weights [%] Covariances* Betas*

Segment Benchmark Portfolio Active BenchmaPortfolio Active BenchmaPortfolio
A 30 32 2 146.45 143.61 -2.85 1.07 1.16
B 35 29 -6 193.80 177.52 -16.27 1.42 1.44
C 5 8 3 119.14 129.04 9.90 0.87 1.04
D 7 9 2 21.41 22.56 1.15 0.16 0.18
E 10 8 -2 21.83 21.77 -0.05 0.16 0.18
F 2 4 2 42.01 44.50 2.49 0.31 0.36
G 10 8 -2 143.07 130.46 -12.61 1.05 1.05
H 1 2 1 -3.46 -3.28 0.18 -0.03 -0.03

Total 100 100 - *of segments with corresponding total benchmark, portfolio or active port

3. Absolute And Relative Risk 4. Marginal Contribution To Risk 5. Contribution To Risk

Benchmark Portfolio Active SegmentBenchmaPortfolio Active Segment

Volatility 11.68 11.12 1.24 A 12.53 12.91 -2.29 A
B 16.59 15.96 -13.09 B
C 10.20 11.60 7.97 C
D 1.83 2.03 0.93 D
E 1.87 1.96 -0.04 E
F 3.60 4.00 2.00 F
G 12.25 11.73 -10.15 G
H -0.30 -0.29 0.14 H

Totals (Volatility):
 Variance-Covariance Matrix
B C D E F G H Ones
146.25 104.85 31.2 27 73.5 162 -3 1
380.25 136.305 20.28 26.325 38.22 52.65 -6.3375 1
136.305 542.89 36.348 31.455 45.668 62.91 -5.825 1
20.28 36.348 27.04 9.36 15.288 0 -0.26 1
26.325 31.455 9.36 20.25 13.23 0 -0.5625 1
38.22 45.668 15.288 13.23 96.04 0 -1.715 1
52.65 62.91 0 0 0 729 0 1
-6.3375 -5.825 -0.26 -0.5625 -1.715 0 6.25 1

Active
-1.84
-10.54
6.41
0.75
-0.04
1.61
-8.17
0.12

chmark, portfolio or active portfolio

5. Contribution To Risk 6. Percent Contribution To Risk 7. Minimum Variance Portfolio Weig

BenchmaPortfolio Active Segment BenchmaPortfolio Active Segment Portfolio

3.76 4.13 -0.05 A 32.18 37.16 -3.68 A -4.12
5.81 4.63 0.79 B 49.69 41.62 63.22 B 1.47
0.51 0.93 0.24 C 4.36 8.35 19.23 C -0.42
0.13 0.18 0.02 D 1.10 1.64 1.49 D 11.40
0.19 0.16 0.00 E 1.60 1.41 0.07 E 18.54
0.07 0.16 0.04 F 0.62 1.44 3.23 F 3.87
1.22 0.94 0.20 G 10.48 8.44 16.33 G 1.41
-0.00 -0.01 0.00 H -0.03 -0.05 0.12 H 67.85

11.68 11.12 1.24 Total (%): 100 100 100 Total (%): 100

Minimum Variance: 4.10

Minimum Volatility: 2.02
mum Variance Portfolio Weights