方差分析(七)：特质收益协方差矩阵稀疏还是稠密

       T   2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/10.81.01.21.41.61.82.0NVDate SpecRisk UnadjSpecificRisk PeerSpecRisk 2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1-0.10-0.050.000.050.10波动率差 (%) UnadjSpecificRisk-SpecRisk0123波动率 (%) SpecRisk2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1020040060080010001200PeerRisk (对) 行业内 行业间600650700stock 股票数量0.00.20.40.60.81.0稀疏度 (%) 1111111111122222222222222222222222222311-0.20.150.330.24111-0.210.23-0.3-0.310.150.2310.120.210.33-0.30.1210.4910.24-0.30.20.4911111111111210.3521-0.1-0.2-0.1210.37210.19210.8520.351212-0.11-0.2-0.12121212-0.2-0.210.2920.1912120.8512-0.1-0.10.291212120.37121212121212121312020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1010203040 比例 (%)- Barra(LHS) 比例 (%)- 全部 相关性对数(RHS)0.000.020.040.060.0880010001200 2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1-0.10-0.050.000.050.10波动率差 (%) PeerSpecRisk-SpecRisk0123波动率 (%) SpecRisk1-00.070.030.04-0.1-0.1-00.010.040.09-00.02-00.090.01-0-0.1-00.1-01-0.10.070.06-0.1-00.05-0.10.020.020.010.02-0.1-0.10.070.02-0.1-00.010.07-0.11-0.10.120.150.05-00.04-0.1-0.10.030.050.040.02-00.040.170.10.030.030.07-0.11-0.1-0.1-0.1-0.1-0.1-0.10.070.05-0.1-00.04-0-0-0.1-0.1-00.040.060.12-0.110.04-00.130.02-0-00.05-00.020-0-0.20.0400.11-0.1-0.10.15-0.10.0410.110.06-00.030.10-0-0.2-0.1-0.100.190.1-0-0.1-00.05-0.1-00.1110.160.01-0.10.060.1-0.1-00.010.020.030.090-0-00.05-0-0.10.130.060.161-0-0.10.060.01-0.1-0.1-0.10.030.040.06-0.1-00.01-0.10.04-0.10.02-00.01-010.05-00.06-0.1-0.10.150.11-00.060.060.040.040.02-0.1-0.1-00.03-0.1-0.10.051-0.10.040.12-0-0.1-0-0-00.09-00.090.02-0.10.07-00.10.060.06-0-0.11-0.1-0.10.02-0.1-0.1-0-0.10.02-0-00.010.030.050.0500.10.010.060.04-0.110.060.07-00.05-0.10.06-0-00.020.020.05-0.1-0-0-0.1-0.1-0.10.12-0.10.061-0.1-00.06-00.01-0.10-0-0.10.04-00.02-0.2-0-0.1-0.1-00.020.07-0.11-0.10.010.08-0.1-0.1-00.09-0.10.020.040-0.10.01-0.10.15-0.1-0.1-0-0-0.110.02-0-00.030.140.010.07-0-0-0-0.10.020.030.11-0-0.10.050.060.010.021-00.07-00.02-00.020.04-0-0.200.030.04-0-0-0-0.1-00.08-0-010.05-0-0.1-0.1-0.10.17-0.10.040.190.090.060.06-0-0.10.060.01-0.1-00.070.051-0-0-0-00.1-0.100.10-0.10.060.090.02-0-0.1-0.10.03-0-0-010.080.10.010.03-00.11-0-0-00.04-0-0-00-00.140.02-0.1-00.0811000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001000000000000000000001 2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1-0.10-0.050.000.050.100.15波动率差 (%) RMT-PeerSpecRisk0123波动率 (%) PeerSpecRisk2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1-0.10-0.050.000.050.100.15波动率差 (%) 1.5XRMT-PeerSpecRisk0123波动率 (%) PeerSpecRisk 2020/1/12021/1/12022/1/12023/1/12024/1/12025/1/1-0.10-0.050.000.050.100.15波动率差 (%) 0.