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ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
relative SRadjustmentBOBLBUNDCORNCRUDE_WEDOLLARGAS_USKR10KR3US10US20
2
-0.50.65Means0.0232730.052565-0.147688-0.1421730.00195-0.2920440.0337540.0112110.0074750.016838
3
-0.40.75Std dev0.0189320.0484910.1841330.2573750.0089210.3493050.0390380.0108560.0453920.090707
4
-0.30.83
5
-0.250.85SR1.2292943171.084015591-0.802072415-0.55239630890.2185853604-0.83607162790.86464470521.0327008110.1646765950.185630657
6
-0.20.88
7
-0.150.92
8
-0.10.95Raw weights
9
-0.050.98
Instrument level
Level3Level2Level1Weights
10
01BOBL0.50.50.50.28616599970.03577074997
11
0.051.03BUND0.50.50.50.28616599970.03577074997
12
0.11.06CORN110.50.42766800050.2138340003
13
0.151.09CRUDE_W10.50.50.42766800050.1069170001
14
0.21.13EDOLLAR1110.28616599970.2861659997
15
0.251.15GAS_US10.50.50.42766800050.1069170001
16
0.31.17KR100.510.50.28616599970.07154149994
17
0.41.25KR30.510.50.28616599970.07154149994
18
0.51.35US100.50.50.50.28616599970.03577074997
19
US200.50.50.50.28616599970.03577074997
20
21
Instrument level
22
SRAverage SRRelative SRAdjustmentNew weightNormalised
23
BOBL1.2292943171.1566549540.072639362991.030.5150.5202020202
24
BUND1.0840155911.156654954-0.072639362990.950.4750.4797979798
25
CORN-0.802072415111
26
CRUDE_W-0.5523963089111
27
EDOLLAR0.2185853604111
28
GAS_US-0.8360716279111
29
KR100.86464470520.9486727579-0.084028052730.950.4750.4797979798
30
KR31.0327008110.94867275790.084028052731.030.5150.5202020202
31
US100.1646765950.175153626-0.010477030980.980.490.4949494949
32
US200.1856306570.1751536260.0104770309810.50.5050505051
33
34
35
New weights
36
Instrument level
Level3Level2Level1Weights
37
BOBL0.52020202020.50.50.28616599970.0372160328
38
BUND0.47979797980.50.50.28616599970.03432546714
39
CORN110.50.42766800050.2138340003
40
CRUDE_W10.50.50.42766800050.1069170001
41
EDOLLAR1110.28616599970.2861659997
42
GAS_US10.50.50.42766800050.1069170001
43
KR100.479797979810.50.28616599970.06865093428
44
KR30.520202020210.50.28616599970.07443206559
45
US100.49494949490.50.50.28616599970.03540942926
46
US200.50505050510.50.50.28616599970.03613207067
47
48
49
Level 3 (developed markets, energies)
50
SRAverage SRRelative SRAdjustmentNew weightNormalised
51
BOBL1.1595898770.66742466590.49216521141.250.6250.6578947368
52
BUND1.1595898770.66742466590.49216521141.250.6250.6578947368
53
CORN-0.8020724151
54
CRUDE_W-0.5523963089-0.69423396840.14183765951.060.530.5353535354
55
EDOLLAR0.21858536041
56
GAS_US-0.8360716279-0.6942339684-0.14183765950.920.460.4646464646
57
KR100.95206783071
58
KR30.95206783071
59
US100.17525945460.6674246659-0.49216521140.650.3250.3421052632
60
US200.17525945460.6674246659-0.49216521140.650.3250.3421052632
61
62
63
New weights
64
Instrument level
Level3Level2Level1Weights
65
BOBL0.52020202020.65789473680.50.28616599970.0489684642
66
BUND0.47979797980.65789473680.50.28616599970.04516508834
67
CORN110.50.42766800050.2138340003
68
CRUDE_W10.53535353540.50.42766800050.114476788
69
EDOLLAR1110.28616599970.2861659997
70
GAS_US10.46464646460.50.42766800050.09935721224
71
KR100.479797979810.50.28616599970.06865093428
72
KR30.520202020210.50.28616599970.07443206559
73
US100.49494949490.34210526320.50.28616599970.02422750423
74
US200.50505050510.34210526320.50.28616599970.02472194309
75
76
77
Level 2 (bonds em vs dev, across commodities): step 1
78
79
Weight in group
SR instrument
SR group
80
BOBL0.34223817121.2292943170.822845259
81
BUND0.31565656571.0840155910.822845259
82
US100.16932482720.1646765950.822845259
83
US200.17278043590.1856306570.822845259
84
85
86
KR100.47979797980.86464470520.9520678307
87
KR30.52020202021.0327008110.9520678307
88
89
CORN1-0.802072415-0.802072415
90
91
CRUDE_W0.5353535354-0.5523963089-0.684205043
92
GAS_US0.4646464646-0.8360716279-0.684205043
93
94
95
Level 2 (bonds em vs dev, across commodities): step 2
96
97
SRAverage SRRelative SRAdjustmentNew weightNormalised
98
BOBL0.50.6506892769-0.15068927690.880.440.4292682927
99
BUND0.50.6506892769-0.15068927690.880.440.4292682927
100
CORN-0.802072415-0.743138729-0.058933686030.950.4750.4797979798
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