Transition Matrix Calculations 4 e

Eigenvalues
2.242713
0.246562
0.104398
0.033719
0.023814
0.065692
Eigenvectors
-0.49737
0.3676 0.59138
-0.45061 0.27336 0.082378
-0.43552 0.20582 -0.34619
-0.39133 -0.00671 -0.69487
-0.32089 -0.59193 0.15537
-0.32217 -0.63037 0.12906
Sqr Root Eigenvalues

1.4975691655
0
0 0.4965503062
0
0
0
0
0
0
0
0
-0.19449 -0.042391 -0.47763

0.55071 0.37021 0.52451
-0.48128 -0.48778 0.42256
0.15527 0.21821
-0.5406
0.44586 -0.56575 -0.060387
-0.45207 0.50549 0.14934
Factor weights
-0.74485 -0.67482 -0.65222 -0.58604 -0.48055
0.18253 0.13573
0.1022 -0.003332 -0.29392
0.19108 0.026617 -0.11186 -0.22452 0.050202
-0.035714 0.10113 -0.088376 0.028512 0.081872
-0.006542 0.057131 -0.075274 0.033674 -0.087307
-0.12242 0.13443
0.1083 -0.13856 -0.015478
-0.48247
-0.31301
0.041699
-0.083013
0.078007
0.038277
Factor contributions to variance

2.242713
82.55
0.246562
9.08
0.104398
3.84
0.033719
1.24
0.023814
0.88
0.065692
2.42
Eigenvectors transpose
-0.49737
-0.45061
0.3676
0.27336
0.59138
0.082378
-0.19449
0.55071
-0.042391
0.37021
-0.47763
0.52451
Factor weights
-0.7448459759
0.1825318925
0.191079216
-0.0357137881
-0.0065417221
-0.1224187109
-0.6748196417
0.1357369917
0.0266169361
0.1011257146
0.0571303095
0.1344342651
2.2427291703
0.2465646251
0.1043988297
0.0337193869
0.0238140231
0.0656916928
82.55%
9.08%
3.84%
1.24%
0.88%
2.42%
2.7169177279
Eigenvalues
2.242713
0
0
0
0
0
0 0.246562
0
0
0
0
0
0 0.104398
0
0
0
0
0
0 0.033719
0
0
0
0
0
0 0.023814
0
0
0
0
0
0 0.065692
Covariance Matrix
64.09%
51.21%
47.35%
40.87%
31.34%
30.80%
51.21%
50.61%
45.23%
37.52%
28.69%
28.54%
0
0
0
0
0
0
0
0
0.3231073354
0
0
0
0 0.1836278886
0
0
0
0 0.1543186557
0
0
0
0 0.2563044843
Factor weights
-0.7448459759
0.1825318925
-0.7448459759
-0.6748196417
-0.652221323
-0.5860437416
-0.4805549695
-0.4824718581
-0.43552
0.20582
-0.34619
-0.48128
-0.48778
0.42256
-0.39133
-0.0067101
-0.69487
0.15527
0.21821
-0.5406
-0.32089
-0.59193
0.15537
0.44586
-0.56575
-0.060387
-0.32217
-0.63037
0.12906
-0.45207
0.50549
0.14934
-0.652221323
0.102199984
-0.1118565284
-0.0883764302
-0.0752735539
0.1083040229
-0.5860437416
-0.0033319022
-0.2245175941
0.0285119023
0.0336738739
-0.1385582042
-0.4805549695
-0.2939230227
0.0502011867
0.0818723304
-0.0873057795
-0.0154774589
-0.4824718581
-0.3130104165
0.0417002327
-0.0830126596
0.0780065373
0.0382765117
0.9999907552
0.000000862
-1.53142E-006
-4.87567E-006
3.41560E-007
2.78721E-006
47.35%
45.23%
47.36%
38.69%
27.54%
28.36%
40.87%
37.52%
38.69%
41.50%
27.29%
26.94%
31.34%
28.69%
27.54%
27.29%
33.44%
31.17%
30.80%
28.54%
28.36%
26.94%
31.17%
34.69%
58.81%
52.74%
50.45%
43.59%
30.43%
30.22%
-5.28%
1.54%
3.10%
2.72%
-0.91%
-0.57%
-8.24%
3.00%
6.54%
6.65%
-2.91%
-1.86%
-0.6748196417
0.1357369917
-0.652221323 -0.5860437416 -0.4805549695 -0.4824718581

0.102199984 -0.0033319022 -0.2939230227 -0.3130104165
0.1825318925
0.1357369917
0.102199984
-0.0033319022
-0.2939230227
-0.3130104165
0.000000862
1.0000088849
4.38558E-006
3.09730E-006
4.99569E-006
-4.90822E-006
-1.53142E-006
4.38558E-006
1.0000037793
5.25872E-006
-3.65662E-006
-1.10860E-006
-4.87567E-006
3.09730E-006
5.25872E-006
1.0000012482
5.42819E-006
1.56964E-006
3.41560E-007
4.99569E-006
-3.65662E-006
5.42819E-006
1.0000021458
9.00532E-006
2.78721E-006
-4.90822E-006
-1.10860E-006
1.56964E-006
9.00532E-006
1.00000619
52.74%
47.38%
45.40%
39.50%
28.44%
28.31%
50.45%
45.40%
43.58%
38.19%
28.34%
28.27%
43.59%
39.50%
38.19%
34.35%
28.26%
28.38%
30.43%
28.44%
28.34%
28.26%
31.73%
32.39%
30.22%
28.31%
28.27%
28.38%
32.39%
33.08%
1.54%
-3.23%
0.17%
1.98%
-0.25%
-0.23%
3.10%
0.17%
-3.77%
-0.51%
0.80%
-0.09%
2.72%
1.98%
-0.51%
-7.16%
0.97%
1.44%
-0.91%
-0.25%
0.80%
0.97%
-1.71%
1.21%
-0.57%
-0.23%
-0.09%
1.44%
1.21%
-1.62%
3.00%
6.54%
6.65%
-2.91%
-1.86%
-6.38%
0.37%
5.28%
-0.89%
-0.81%
0.37%
-7.96%
-1.31%
2.89%
-0.33%
5.28%
-1.31%
-17.24%
3.57%
5.35%
-0.89%
2.89%
3.57%
-5.11%
3.88%
-0.81%
-0.33%
5.35%
3.88%
-4.66%
Covariance Matrix
0.640929 0.512056
0.512056 0.506077
0.473476 0.452349
0.408727 0.375226
0.313423 0.286939
0.30797 0.285412
0.473476
0.452349
0.473556
0.386943
0.275434
0.283634
0.408727
0.375226
0.386943
0.415012
0.272873
0.269387
0.313423
0.286939
0.275434
0.272873
0.334409
0.311749
0.30797
0.285412
0.283634
0.269387
0.311749
0.346935
Reconstructed Covariance Matrix

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EigenValues
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EigenVectors
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EigenVectors Transpose
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d Covariance Matrix
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One-year
Transition Matrix
Calculation of 5-year Matrix

1. Select cells F13:N21. (Cells
selected must have the same number
of rows and columns as the original
matrix)
2. While selected cells are displayed ,
enter MMULT expression
3. Press Control+Shift+ Enter keys
Calculation of Eigenvalues from

Matrix:
1. Select cells F28:N36. (Cells selected
must have the same number of rows
and columns as the original matrix)
2. While selected cells are displayed
enter "=eigenvalue(F1:N9)
Eigenvalues appear on diagonal
Calculation of Eigenvectors from

Matrix
1. Select cells F40:N48 (Cells
selected must have the same
number of rows and columns as the
original matrix)
2. While selected cells are displayed
enter =eigenvector(F1:N9)
Eigenvectors appear in columns
Calculation of
90.65%
0.95%
0.05%
0.04%
0.01%
0.01%
0.00%
0.00%
0.00%
8.67%
89.43%
2.56%
0.18%
0.06%
0.03%
0.02%
0.00%
0.00%
61.83%
3.20%
0.39%
0.17%
0.05%
0.04%
0.01%
0.00%
0.00%
28.83%
59.49%
8.66%
1.43%
0.38%
0.16%
0.07%
0.02%
0.00%
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Eigenvalues^(1/12)
Calculation of One Month

Transition Matrix:
1. Select cells F64:N62. (Cells selected
must have the same number of rows
and columns as the original matrix)
2. Enter matrix calculation in top left
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0.65%
8.95%
90.73%
4.20%
0.37%
0.12%
0.02%
0.07%
0.00%
0.00%
0.54%
5.86%
90.27%
6.17%
0.34%
0.12%
0.00%
0.00%
0.03%
0.07%
0.58%
4.17%
83.46%
5.08%
0.42%
0.43%
0.00%
0.00%
0.02%
0.11%
0.78%
8.06%
82.90%
9.74%
2.37%
0.00%
7.98%
30.10%
65.06%
14.58%
3.01%
0.72%
0.21%
0.14%
0.00%
1.02%
5.72%
20.36%
63.64%
18.39%
3.11%
0.83%
0.29%
0.00%
0.23%
0.90%
3.49%
12.65%
44.62%
12.87%
3.42%
1.27%
0.00%
0.06%
0.29%
1.14%
4.57%
20.67%
44.98%
18.63%
5.61%
0.00%
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0.00%
0.01%
0.03%
0.16%
0.65%
6.69%
71.07%
10.59%
0.00%
0.00%
0.00%
0.00%
0.02%
0.07%
0.65%
4.06%
42.36%
0.00%
0.00%
0.02%
0.06%
0.18%
1.16%
4.18%
14.55%
44.20%
100.00%
0.02%
0.08%
0.26%
0.99%
4.09%
12.85%
22.09%
7.16%
0.00%
0.00%
0.01%
0.03%
0.11%
0.46%
1.48%
2.75%
2.09%
0.00%
0.04%
0.21%
0.59%
1.87%
8.33%
23.78%
52.00%
83.42%
100.00%
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Transition Matrix Calculations 4 e

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Eigenvalues

Sqr Root Eigenvalues

-0.19449 -0.042391 -0.47763

Factor contributions to variance

-0.652221323 -0.5860437416 -0.4805549695 -0.4824718581

Reconstructed Covariance Matrix

Calculation of 5-year Matrix

Calculation of Eigenvalues from

Calculation of Eigenvectors from

Calculation of One Month

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