Date

msft
July-06
August-06
September-06
October-06
November-06
December-06
January-07
February-07
March-07
April-07
May-07
June-07
July-07
August-07
September-07
October-07
November-07
December-07
January-08
February-08
March-08
April-08
May-08
June-08
July-08
August-08
September-08
October-08
November-08
December-08
January-09
February-09
March-09
April-09
May-09
June-09
July-09
August-09
September-09
October-09
November-09
December-09
January-10
February-10
March-10
April-10

ba
20.67
22.16
23.58
24.75
25.4
25.83
26.7
24.45
24.19
25.99
26.73
25.67
25.25
25.11
25.75
32.17
29.46
31.22
28.59
23.94
24.98
25.1
25.02
24.3
22.72
24.21
23.67
19.81
18.06
17.36
15.27
14.52
16.52
18.22
18.9
21.51
21.28
22.43
23.4
25.23
26.88
27.86
25.76
26.33
26.9
28.04

c
65.48
63.59
66.95
67.8
75.43
75.69
76.31
74.64
76.05
79.55
86.36
82.56
88.8
83.3
90.44
84.93
80
75.61
71.91
71.93
64.61
73.73
72.25
57.36
53.34
57.58
50.37
46.04
37.72
37.76
37.44
28.1
31.8
35.79
40.48
38.36
38.73
45.26
49.34
43.56
48.18
49.76
55.71
58.45
67.2
67.03

f
427.1
440.73
443.59
447.96
447.25
502.35
497.21
458.78
467.61
488.38
501.29
471.85
428.43
436.31
434.35
389.96
313.97
277.57
268.68
226.14
204.3
241.02
211.46
161.9
183.67
186.62
201.56
135.83
82.49
66.77
35.41
14.96
25.24
30.42
37.1
29.62
31.62
49.87
48.28
40.8
40.99
33.02
33.12
33.91
40.4
43.59

ge
6.45
8.1
7.83
8.01
7.86
7.27
7.86
7.65
7.63
7.78
8.07
9.11
8.23
7.56
8.21
8.58
7.27
6.51
6.42
6.32
5.53
7.99
6.58
4.65
4.64
4.31
5.03
2.12
2.6
2.22
1.81
1.93
2.54
5.78
5.56
5.87
7.74
7.35
6.97
6.77
8.6
9.67
10.49
11.36
12.16
12.6

gis
25.43
26.5
27.66
27.51
27.64
29.37
28.46
27.77
28.13
29.33
29.9
30.67
31.06
31.15
33.4
33.21
30.89
30.16
28.77
27.21
30.39
26.85
25.22
22.16
23.49
23.33
21.45
16.41
14.45
13.89
10.4
7.51
8.92
11.17
11.9
10.43
11.93
12.37
14.7
12.77
14.34
13.63
14.49
14.56
16.5
17.1

21.29
22.24
23.22
23.45
23.09
23.77
23.78
23.4
24.19
25.04
25.6
24.42
23.41
23.52
24.41
24.46
25.49
24.15
23.26
23.89
25.55
25.94
27.14
26.1
27.85
28.62
29.72
29.49
27.5
26.44
25.94
23.01
21.87
22.42
22.63
24.78
26.26
26.62
28.7
29.6
30.53
31.79
32.24
32.56
32.01
32.4

May-10
June-10
July-10
August-10
September-10
October-10
November-10
December-10
January-11
February-11
March-11
April-11
May-11
June-11
monthly mean
monthly standard deviation
monthly variance
Annual Mean
Annual sd
annual variance

Alpha
Beta
R-squared
average r squared

23.8
21.22
23.81
21.76
22.71
24.73
23.57
26.04
25.87
24.95
23.83
24.33
23.63
24.56

59.74
58.41
63.43
57.25
62.32
66.16
60.08
61.49
65.46
68.24
70.06
75.61
74.34
70.43

39.5
37.5
40.9
37.01
39
41.59
41.89
47.18
48.08
46.68
44.09
45.78
41.05
41.54

11.35
9.75
12.35
10.92
11.84
13.67
15.42
16.24
15.43
14.56
14.42
14.97
14.43
13.34

14.82
13.16
14.71
13.21
14.94
14.73
14.55
16.94
18.66
19.51
18.7
19.08
18.32
17.74

32.43
32.35
31.39
33.18
33.53
34.73
32.67
32.91
32.41
34.61
34.06
36.23
37.34
34.95

intc

mon
14.59
15.96
16.77
17.4
17.53
16.59
17.17
16.36
15.76
17.71
18.36
19.66
19.56
21.42
21.51
22.38
21.79
22.27
17.63
16.78
17.8
18.71
19.6
18.16
18.76
19.46
15.93
13.64
11.84
12.58
11.07
11.05
13.03
13.68
13.74
14.47
16.83
17.9
17.24
16.83
17.04
18.1
17.22
18.36
19.94
20.43

39.3
43.37
42.98
40.51
44.04
48.12
50.59
48.4
50.47
54.29
56.7
62.16
59.43
64.3
79.06
90.21
91.81
103.2
103.27
107.05
103.18
105.68
118.08
117.19
110.61
106.09
91.91
82.83
73.73
65.49
71.03
71.23
77.61
79.53
76.97
69.89
78.98
78.86
72.77
63.38
76.19
77.13
71.81
66.87
67.59
59.91

mrk

yrcw
30.04
30.53
31.55
34.2
33.52
33.11
33.98
33.53
33.83
39.4
40.17
38.43
38.31
38.71
40.19
45.3
46.15
45.48
36.08
34.67
29.96
30.03
30.76
30.05
26.23
28.44
25.44
24.95
21.54
24.86
23.35
19.79
22.24
20.16
22.93
23.57
25.3
27.34
26.99
26.39
30.9
31.5
32.91
31.79
32.53
30.52

sp500
290891.25
268953.75
270855
283286.28
282993.75
275900.62
324309.38
317947.5
294108.75
290964.38
293962.5
269100
234877.5
225298.12
199777.5
179741.25
129504.36
124970.62
133891.88
100620
95940
118828.12
127676.24
108736.88
123581.25
132356.25
87457.5
33491.25
29103.75
20986.88
21060
16087.5
32833.12
22156.88
18866.25
12650.62
10237.5
16306.88
32540.62
26690.62
8263.12
6142.5
6800.62
3363.75
3948.75
4095

return msft
1276.66
1303.82
1335.85
1377.94
1400.63
1418.3
1438.24
1406.82
1420.86
1482.37
1530.62
1503.35
1455.27
1473.99
1526.75
1549.38
1481.14
1468.36
1378.55
1330.63
1322.7
1385.59
1400.38
1280
1267.38
1282.83
1166.36
968.75
896.24
903.25
825.88
735.09
797.87
872.81
919.14
919.32
987.48
1020.62
1057.08
1036.19
1095.63
1115.1
1073.87
1104.49
1169.43
1186.69

6.961%
6.211%
4.843%
2.592%
1.679%
3.313%
-8.803%
-1.069%
7.177%
2.807%
-4.046%
-1.650%
-0.556%
2.517%
22.260%
-8.800%
5.803%
-8.800%
-17.751%
4.252%
0.479%
-0.319%
-2.920%
-6.723%
6.352%
-2.256%
-17.802%
-9.249%
-3.953%
-12.828%
-5.036%
12.904%
9.795%
3.664%
12.936%
-1.075%
5.263%
4.234%
7.530%
6.335%
3.581%
-7.837%
2.189%
2.142%
4.151%

return ba
-2.929%
5.149%
1.262%
10.664%
0.344%
0.816%
-2.213%
1.871%
4.499%
8.214%
-4.500%
7.286%
-6.394%
8.224%
-6.286%
-5.980%
-5.644%
-5.017%
0.028%
-10.732%
13.204%
-2.028%
-23.079%
-7.266%
7.649%
-13.378%
-8.989%
-19.932%
0.106%
-0.851%
-28.697%
12.370%
11.820%
12.314%
-5.379%
0.960%
15.581%
8.631%
-12.460%
10.080%
3.227%
11.295%
4.801%
13.950%
-0.253%

return c
3.141%
0.647%
0.980%
-0.159%
11.618%
-1.028%
-8.044%
1.906%
4.346%
2.609%
-6.052%
-9.653%
1.823%
-0.450%
-10.781%
-21.675%
-12.322%
-3.255%
-17.237%
-10.156%
16.529%
-13.084%
-26.706%
12.616%
1.593%
7.701%
-39.468%
-49.873%
-21.142%
-63.426%
-86.161%
52.305%
18.667%
19.852%
-22.517%
6.534%
45.563%
-3.240%
-16.834%
0.465%
-21.621%
0.302%
2.357%
17.512%
7.600%

19.3
17.52
18.56
16.04
17.43
18.2
19.36
19.24
19.63
19.81
18.62
21.36
20.93
20.6

48.33
43.91
55.27
50.31
45.8
57.11
57.59
66.94
70.82
69.38
69.74
65.91
68.82
70.27

29.35
30.8
30.35
30.97
32.76
32.31
30.68
32.42
29.83
29.29
30.04
32.71
33.44
32.46

2632.5
1096.88
2925
1828.12
1828.12
1321.68
1045.95
1114.88
1213.79
803.2
521.48
593.41
236.76
338.66

1089.41
1030.71
1101.6
1049.33
1141.2
1183.26
1180.55
1257.64
1286.12
1327.22
1325.83
1363.61
1345.2
1320.64

-16.395%
-11.474%
11.516%
-9.003%
4.273%
8.521%
-4.804%
9.966%
-0.655%
-3.621%
-4.593%
2.076%
-2.919%
3.860%

-11.514%
-2.251%
8.245%
-10.251%
8.485%
5.979%
-9.640%
2.320%
6.256%
4.159%
2.632%
7.624%
-1.694%
-5.403%

-9.853%
-5.196%
8.679%
-9.994%
5.237%
6.430%
0.719%
11.892%
1.890%
-2.955%
-5.708%
3.761%
-10.906%
1.187%

0.29%
7.80%
0.00608794

0.12%
9.26%
0.008566

-3.95%
20.93%
0.043806

3.5%
27.0%
0.073

1.5%
32.1%
0.103

-47.4%
72.5%
0.526

0.002
1.041
0.497
0.377

0.001
1.275
0.531

-0.041
2.778
0.492

return f
22.778%
-3.390%
2.273%
-1.890%
-7.803%
7.803%
-2.708%
-0.262%
1.947%
3.660%
12.122%
-10.159%
-8.491%
8.248%
4.408%
-16.568%
-11.042%
-1.392%
-1.570%
-13.353%
36.800%
-19.416%
-34.717%
-0.215%
-7.378%
15.448%
-86.400%
20.410%
-15.800%
-20.418%
6.419%
27.464%
82.224%
-3.881%
5.426%
27.655%
-5.170%
-5.309%
-2.911%
23.926%
11.727%
8.139%
7.968%
6.805%
3.554%

return ge
4.122%
4.284%
-0.544%
0.471%
6.071%
-3.147%
-2.454%
1.288%
4.177%
1.925%
2.543%
1.264%
0.289%
6.974%
-0.570%
-7.242%
-2.392%
-4.718%
-5.575%
11.053%
-12.385%
-6.263%
-12.935%
5.829%
-0.683%
-8.402%
-26.783%
-12.720%
-3.953%
-28.936%
-32.557%
17.206%
22.494%
6.331%
-13.185%
13.437%
3.622%
17.257%
-14.075%
11.595%
-5.078%
6.119%
0.482%
12.508%
3.572%

return gis
4.365%
4.312%
0.986%
-1.547%
2.902%
0.042%
-1.611%
3.320%
3.454%
2.212%
-4.719%
-4.224%
0.469%
3.714%
0.205%
4.125%
-5.400%
-3.755%
2.672%
6.718%
1.515%
4.522%
-3.907%
6.490%
2.727%
3.771%
-0.777%
-6.987%
-3.931%
-1.909%
-11.986%
-5.081%
2.484%
0.932%
9.076%
5.801%
1.362%
7.523%
3.088%
3.094%
4.044%
1.406%
0.988%
-1.704%
1.211%

return intc
8.975%
4.951%
3.688%
0.744%
-5.511%
3.436%
-4.832%
-3.736%
11.665%
3.604%
6.841%
-0.510%
9.084%
0.419%
3.965%
-2.672%
2.179%
-23.364%
-4.941%
5.901%
4.986%
4.647%
-7.631%
3.251%
3.663%
-20.016%
-15.520%
-14.152%
6.062%
-12.787%
-0.181%
16.482%
4.868%
0.438%
5.177%
15.109%
6.164%
-3.757%
-2.407%
1.240%
6.035%
-4.984%
6.410%
8.255%
2.428%

return mon
9.854%
-0.903%
-5.919%
8.355%
8.860%
5.006%
-4.425%
4.188%
7.296%
4.343%
9.194%
-4.491%
7.876%
20.665%
13.193%
1.758%
11.695%
0.068%
3.595%
-3.682%
2.394%
11.095%
-0.757%
-5.779%
-4.172%
-14.348%
-10.402%
-11.638%
-11.851%
8.120%
0.281%
8.578%
2.444%
-3.272%
-9.649%
12.227%
-0.152%
-8.037%
-13.816%
18.408%
1.226%
-7.147%
-7.127%
1.071%
-12.062%

return mrk
1.618%
3.286%
8.065%
-2.008%
-1.231%
2.594%
-1.333%
0.891%
15.242%
1.935%
-4.428%
-0.313%
1.039%
3.752%
11.969%
1.859%
-1.462%
-23.153%
-3.986%
-14.601%
0.233%
2.402%
-2.335%
-13.596%
8.089%
-11.147%
-1.945%
-14.696%
14.335%
-6.266%
-16.542%
11.672%
-9.819%
12.875%
2.753%
7.083%
7.755%
-1.288%
-2.248%
15.777%
1.923%
4.379%
-3.462%
2.301%
-6.378%

return yrcw

return sp500

-7.841%
2.105%
0.704%
2.427%
4.487%
3.102%
-0.103%
1.633%
-2.538%
1.254%
16.166%
1.396%
-1.981% -2.209%
-7.794%
0.993%
-1.075%
4.238%
1.025%
3.203%
-8.837% -1.798%
-13.602% -3.250%
-4.164%
1.278%
-12.022%
3.517%
-10.569%
1.471%
-32.780% -4.504%
-3.564% -0.867%
6.895% -6.311%
-28.568% -3.538%
-4.763% -0.598%
21.396%
4.645%
7.182%
1.062%
-16.057% -8.988%
12.797% -0.991%
6.860%
1.212%
-41.434% -9.518%
-95.987% -18.564%
-14.042% -7.780%
-32.697%
0.779%
0.348% -8.955%
-26.933% -11.646%
71.340%
8.195%
-39.329%
8.977%
-16.077%
5.172%
-39.967%
0.020%
-21.165%
7.152%
46.553%
3.301%
69.090%
3.510%
-19.818% -1.996%
-117.251%
5.578%
-29.657%
1.761%
10.178% -3.768%
-70.396%
2.811%
16.034%
5.713%
3.637%
1.465%

-10.448%
-15.195%
23.639%
-12.306%
8.089%
14.372%
12.046%
5.181%
-5.116%
-5.804%
-0.966%
3.743%
-3.674%
-7.854%
1.23%
20.31%
0.041245

-14.310%
-11.880%
11.135%
-10.755%
12.307%
-1.416%
-1.230%
15.209%
9.670%
4.454%
-4.240%
2.012%
-4.065%
-3.217%

0.093%
-0.247%
-3.012%
5.546%
1.049%
3.516%
-6.115%
0.732%
-1.531%
6.568%
-1.602%
6.176%
3.018%
-6.615%

-5.690%
-9.676%
5.767%
-14.592%
8.311%
4.323%
6.179%
-0.622%
2.007%
0.913%
-6.195%
13.728%
-2.034%
-1.589%

-21.479%
-9.591%
23.009%
-9.403%
-9.392%
22.070%
0.837%
15.045%
5.634%
-2.054%
0.518%
-5.648%
4.320%
2.085%

-3.909%
4.822%
-1.472%
2.022%
5.619%
-1.383%
-5.177%
5.516%
-8.326%
-1.827%
2.528%
8.515%
2.207%
-2.974%

-44.183%
-87.546%
98.082%
-47.001%
0.000%
-32.438%
-23.398%
6.382%
8.500%
-41.290%
-43.193%
12.921%
-91.884%
35.795%

-0.61%
0.84%
0.58%
0.98%
0.13%
10.77%
4.12%
8.01%
9.54%
7.76%
0.0116 0.0016939 0.00641384 0.00910254 0.00602498

-11.45%
37.27%
0.13888394

14.8%
70.4%
0.495

-7.3%
37.3%
0.139

10.1%
14.3%
0.020

7.0%
27.7%
0.077

11.8%
33.1%
0.109

1.6%
26.9%
0.072

-137.4%
129.1%
1.667

0.011
2.364
0.379

-0.007
1.667
0.670

0.008
0.244
0.098

0.005
1.119
0.546

0.009
0.787
0.190

0.001
0.705
0.231

-0.116
2.623
0.138

-8.553%
-5.539%
6.652%
-4.861%
8.393%
3.619%
-0.229%
6.326%
2.239%
3.146%
-0.105%
2.810%
-1.359%
-1.843%

return sp500

7/3/2006
8/1/2006
9/1/2006
10/2/2006
11/1/2006
12/1/2006
1/3/2007
2/1/2007
3/1/2007
4/2/2007
5/1/2007
6/1/2007
7/2/2007
8/1/2007
9/4/2007
10/1/2007
11/1/2007
12/3/2007
1/2/2008
2/1/2008
3/3/2008
4/1/2008
5/1/2008
6/2/2008
7/1/2008
8/1/2008
9/2/2008
10/1/2008
11/3/2008
12/1/2008
1/2/2009
2/2/2009
3/2/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/3/2009
9/1/2009
10/1/2009
11/2/2009
12/1/2009
1/4/2010
2/1/2010
3/1/2010
4/1/2010
5/3/2010

1276.66
1303.82
1335.85
1377.94
1400.63
1418.3
1438.24
1406.82
1420.86
1482.37
1530.62
1503.35
1455.27
1473.99
1526.75
1549.38
1481.14
1468.36
1378.55
1330.63
1322.7
1385.59
1400.38
1280
1267.38
1282.83
1166.36
968.75
896.24
903.25
825.88
735.09
797.87
872.81
919.14
919.32
987.48
1020.62
1057.08
1036.19
1095.63
1115.1
1073.87
1104.49
1169.43
1186.69
1089.41

6/1/2010
7/1/2010
8/2/2010
9/1/2010
10/1/2010
11/1/2010
12/1/2010
1/3/2011
2/1/2011
3/1/2011
4/1/2011
5/2/2011
6/1/2011

1030.71
1101.6
1049.33
1141.2
1183.26
1180.55
1257.64
1286.12
1327.22
1325.83
1363.61
1345.2
1320.64

Continuous Compound Return

return yrcw
-7.841%
0.704%
4.487%
-0.103%
-2.538%
16.166%
-1.981%
-7.794%
-1.075%
1.025%
-8.837%
-13.602%
-4.164%
-12.022%
-10.569%
-32.780%
-3.564%
6.895%
-28.568%
-4.763%
21.396%
7.182%
-16.057%
12.797%
6.860%
-41.434%
-95.987%
-14.042%
-32.697%
0.348%
-26.933%
71.340%
-39.329%
-16.077%
-39.967%
-21.165%
46.553%
69.090%
-19.818%
-117.251%
-29.657%
10.178%
-70.396%

return c
3.141%
0.647%
0.980%
-0.159%
11.618%
-1.028%
-8.044%
1.906%
4.346%
2.609%
-6.052%
-9.653%
1.823%
-0.450%
-10.781%
-21.675%
-12.322%
-3.255%
-17.237%
-10.156%
16.529%
-13.084%
-26.706%
12.616%
1.593%
7.701%
-39.468%
-49.873%
-21.142%
-63.426%
-86.161%
52.305%
18.667%
19.852%
-22.517%
6.534%
45.563%
-3.240%
-16.834%
0.465%
-21.621%
0.302%
2.357%

return f
22.778%
-3.390%
2.273%
-1.890%
-7.803%
7.803%
-2.708%
-0.262%
1.947%
3.660%
12.122%
-10.159%
-8.491%
8.248%
4.408%
-16.568%
-11.042%
-1.392%
-1.570%
-13.353%
36.800%
-19.416%
-34.717%
-0.215%
-7.378%
15.448%
-86.400%
20.410%
-15.800%
-20.418%
6.419%
27.464%
82.224%
-3.881%
5.426%
27.655%
-5.170%
-5.309%
-2.911%
23.926%
11.727%
8.139%
7.968%

return msftreturn intc

6.961%
8.975%
6.211%
4.951%
4.843%
3.688%
2.592%
0.744%
1.679% -5.511%
3.313%
3.436%
-8.803% -4.832%
-1.069% -3.736%
7.177% 11.665%
2.807%
3.604%
-4.046%
6.841%
-1.650% -0.510%
-0.556%
9.084%
2.517%
0.419%
22.260%
3.965%
-8.800% -2.672%
5.803%
2.179%
-8.800% -23.364%
-17.751% -4.941%
4.252%
5.901%
0.479%
4.986%
-0.319%
4.647%
-2.920% -7.631%
-6.723%
3.251%
6.352%
3.663%
-2.256% -20.016%
-17.802% -15.520%
-9.249% -14.152%
-3.953%
6.062%
-12.828% -12.787%
-5.036% -0.181%
12.904% 16.482%
9.795%
4.868%
3.664%
0.438%
12.936%
5.177%
-1.075% 15.109%
5.263%
6.164%
4.234% -3.757%
7.530% -2.407%
6.335%
1.240%
3.581%
6.035%
-7.837% -4.984%
2.189%
6.410%

return ge
4.122%
4.284%
-0.544%
0.471%
6.071%
-3.147%
-2.454%
1.288%
4.177%
1.925%
2.543%
1.264%
0.289%
6.974%
-0.570%
-7.242%
-2.392%
-4.718%
-5.575%
11.053%
-12.385%
-6.263%
-12.935%
5.829%
-0.683%
-8.402%
-26.783%
-12.720%
-3.953%
-28.936%
-32.557%
17.206%
22.494%
6.331%
-13.185%
13.437%
3.622%
17.257%
-14.075%
11.595%
-5.078%
6.119%
0.482%

return ba return gis return mon

-2.929%
4.365%
9.854%
5.149%
4.312%
-0.903%
1.262%
0.986%
-5.919%
10.664%
-1.547%
8.355%
0.344%
2.902%
8.860%
0.816%
0.042%
5.006%
-2.213%
-1.611%
-4.425%
1.871%
3.320%
4.188%
4.499%
3.454%
7.296%
8.214%
2.212%
4.343%
-4.500%
-4.719%
9.194%
7.286%
-4.224%
-4.491%
-6.394%
0.469%
7.876%
8.224%
3.714%
20.665%
-6.286%
0.205%
13.193%
-5.980%
4.125%
1.758%
-5.644%
-5.400%
11.695%
-5.017%
-3.755%
0.068%
0.028%
2.672%
3.595%
-10.732%
6.718%
-3.682%
13.204%
1.515%
2.394%
-2.028%
4.522%
11.095%
-23.079%
-3.907%
-0.757%
-7.266%
6.490%
-5.779%
7.649%
2.727%
-4.172%
-13.378%
3.771%
-14.348%
-8.989%
-0.777%
-10.402%
-19.932%
-6.987%
-11.638%
0.106%
-3.931%
-11.851%
-0.851%
-1.909%
8.120%
-28.697% -11.986%
0.281%
12.370%
-5.081%
8.578%
11.820%
2.484%
2.444%
12.314%
0.932%
-3.272%
-5.379%
9.076%
-9.649%
0.960%
5.801%
12.227%
15.581%
1.362%
-0.152%
8.631%
7.523%
-8.037%
-12.460%
3.088%
-13.816%
10.080%
3.094%
18.408%
3.227%
4.044%
1.226%
11.295%
1.406%
-7.147%
4.801%
0.988%
-7.127%

16.034% 17.512%
6.805%
2.142%
8.255% 12.508% 13.950%
3.637%
7.600%
3.554%
4.151%
2.428%
3.572% -0.253%
-44.183% -9.853% -10.448% -16.395% -5.690% -14.310% -11.514%
-87.546% -5.196% -15.195% -11.474% -9.676% -11.880% -2.251%
98.082%
8.679% 23.639% 11.516%
5.767% 11.135%
8.245%
-47.001% -9.994% -12.306% -9.003% -14.592% -10.755% -10.251%
0.000%
5.237%
8.089%
4.273%
8.311% 12.307%
8.485%
-32.438%
6.430% 14.372%
8.521%
4.323% -1.416%
5.979%
-23.398%
0.719% 12.046% -4.804%
6.179% -1.230% -9.640%
6.382% 11.892%
5.181%
9.966% -0.622% 15.209%
2.320%
8.500%
1.890% -5.116% -0.655%
2.007%
9.670%
6.256%
-41.290% -2.955% -5.804% -3.621%
0.913%
4.454%
4.159%
-43.193% -5.708% -0.966% -4.593% -6.195% -4.240%
2.632%
12.921%
3.761%
3.743%
2.076% 13.728%
2.012%
7.624%
-91.884% -10.906% -3.674% -2.919% -2.034% -4.065% -1.694%
35.795%
1.187% -7.854%
3.860% -1.589% -3.217% -5.403%

-1.704%
1.211%
0.093%
-0.247%
-3.012%
5.546%
1.049%
3.516%
-6.115%
0.732%
-1.531%
6.568%
-1.602%
6.176%
3.018%
-6.615%

1.071%
-12.062%
-21.479%
-9.591%
23.009%
-9.403%
-9.392%
22.070%
0.837%
15.045%
5.634%
-2.054%
0.518%
-5.648%
4.320%
2.085%

return mrk
1.618%
3.286%
8.065%
-2.008%
-1.231%
2.594%
-1.333%
0.891%
15.242%
1.935%
-4.428%
-0.313%
1.039%
3.752%
11.969%
1.859%
-1.462%
-23.153%
-3.986%
-14.601%
0.233%
2.402%
-2.335%
-13.596%
8.089%
-11.147%
-1.945%
-14.696%
14.335%
-6.266%
-16.542%
11.672%
-9.819%
12.875%
2.753%
7.083%
7.755%
-1.288%
-2.248%
15.777%
1.923%
4.379%
-3.462%

2.301%
-6.378%
-3.909%
4.822%
-1.472%
2.022%
5.619%
-1.383%
-5.177%
5.516%
-8.326%
-1.827%
2.528%
8.515%
2.207%
-2.974%

Microsoft Excel 12.0 Answer Report

Worksheet: [10 portfolio.xls]variacne-covariance matrix
Report Created: 6/21/2013 1:49:13 PM

Target Cell (Max)

Cell
Name
$B$84 minimum prop sigma

Original Value Final Value

-0.0425
-0.0423

Adjustable Cells
Cell
Name
$B$16 constant return yrcw

Original Value Final Value

5.50%
5.48%

Constraints
NONE

return yrcw
return c
return f
return msft
return intc
return ge
return ba
return gis
return mon
return mrk

constant
Assets
yrcw
c
f
msft
intc
ge
ba
gis
mon
mrk
sum

Mean of portfolios
variance
sigma
covariance

return yrcw
13.89%
2.85%
1.44%
1.06%
0.92%
1.48%
1.00%
-0.19%
0.73%
-0.06%

return f
return msft
1.44%
1.06%
1.65%
0.73%
4.12%
0.71%
0.71%
0.61%
0.64%
0.37%
1.08%
0.44%
0.63%
0.26%
0.05%
0.06%
0.53%
0.30%
-0.02%
0.23%

return intc
0.92%
0.71%
0.64%
0.37%
0.64%
0.45%
0.32%
0.05%
0.26%
0.30%

5.48%
Numerator
Portfolio 1
-1.9171
0.0476
1.7039
-0.0423
-0.5760
0.0143
0.1170
-0.0029
0.0064
-0.0002
0.2028
-0.0050
1.7039
-0.0423
-30.5170
0.7582
-3.8907
0.0967
-7.0801
0.1759
-40.2467
1.0000

Numerator
Portfolio2
-0.9084
-0.1233
-1.7476
-0.2373
0.1749
0.0237
1.5311
0.2079
2.1488
0.2918
-0.2672
-0.0363
2.6716
0.3628
4.8997
0.6653
1.1046
0.1500
-2.2427
-0.3045
7.3647
1.0000

0.003910373
0.001263748
0.035549234

0.033402681
0.004535498
0.067346109

0.0005

sample portolio computation

portfolio1
portfolio2
mean of sample portfolio
variance
sigma

return c
2.85%
4.38%
1.65%
0.73%
0.71%
1.71%
1.31%
0.25%
0.36%
0.59%

25%
75%
0.02603
0.00283
0.05319

0%

data table: as function of portfolio1:graph of efficiet frontier

portfolio1

sigma
-1.4
-1.2
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
3.2

minimum prop

mean
0.05319
0.1582
0.1448
0.1315
0.1182
0.1051
0.0922
0.0795
0.0673
0.0559
0.0457
0.0379
0.0341
0.0355
0.0418
0.0511
0.0620
0.0739
0.0864
0.0992
0.1123
0.1254
0.1387
0.1521
0.1656

-0.0423

0.02603
0.0747
0.0688
0.0629
0.0570
0.0511
0.0452
0.0393
0.0334
0.0275
0.0216
0.0157
0.0098
0.0039
-0.0020
-0.0079
-0.0138
-0.0197
-0.0256
-0.0315
-0.0374
-0.0433
-0.0492
-0.0551
-0.0610

0.1000
0.0800
0.0600
0.0400
0.0200
0.0000
0.0000 0.0200 0.0400 0.0600
-0.0200
-0.0400
-0.0600
-0.0800

return ge
1.48%
1.71%
1.08%
0.44%
0.45%
1.16%
0.64%
0.13%
0.34%
0.23%

return ba
1.00%
1.31%
0.63%
0.26%
0.32%
0.64%
0.86%
0.11%
0.26%
0.37%

return gis
-0.19%
0.25%
0.05%
0.06%
0.05%
0.13%
0.11%
0.17%
-0.02%
0.08%

return mon
0.73%
0.36%
0.53%
0.30%
0.26%
0.34%
0.26%
-0.02%
0.91%
0.15%

return mrk
-0.06%
0.59%
-0.02%
0.23%
0.30%
0.23%
0.37%
0.08%
0.15%
0.60%

0.0600 0.0800 0.1000 0.1200 0.1400 0.1600 0.1800

Average Monthly Mean

-11.45%
-3.95%
1.23%
0.29%
0.58%
-0.61%
0.12%
0.84%
0.98%
0.13%

return yrcw
return c
return f
return msft
return intc
return ge
return ba
return gis
return mon
return mrk

lowest
highest

return yrcw return c return f return msft return intc return ge return ba return gis
1.0000 0.3650 0.1907
0.3629
0.3091
0.3677
0.2913
-0.1267
0.3650 1.0000 0.3893
0.4500
0.4250
0.7564
0.6759
0.2883
0.1907 0.3893 1.0000
0.4507
0.3935
0.4949
0.3337
0.0539
0.3629 0.4500 0.4507
1.0000
0.5933
0.5275
0.3655
0.1816
0.3091 0.4250 0.3935
0.5933
1.0000
0.5209
0.4311
0.1549
0.3677 0.7564 0.4949
0.5275
0.5209
1.0000
0.6386
0.2929
0.2913 0.6759 0.3337
0.3655
0.4311
0.6386
1.0000
0.2849
-0.1267 0.2883 0.0539
0.1816
0.1549
0.2929
0.2849
1.0000
0.2061 0.1826 0.2752
0.4058
0.3378
0.3271
0.2974
-0.0546
-0.0223 0.3609 -0.0135
0.3878
0.4760
0.2778
0.5089
0.2387

-0.1267
1.0000
0.63855886

return mon return mrk

0.2061
-0.0223
0.1826
0.3609
0.2752
-0.0135
0.4058
0.3878
0.3378
0.4760
0.3271
0.2778
0.2974
0.5089
-0.0546
0.2387
1.0000
0.2045
0.2045
1.0000

Continuous Compound Return

return yrcw
-7.841%
0.704%
4.487%
-0.103%
-2.538%
16.166%
-1.981%
-7.794%
-1.075%
1.025%
-8.837%
-13.602%
-4.164%
-12.022%
-10.569%
-32.780%
-3.564%
6.895%
-28.568%
-4.763%
21.396%
7.182%
-16.057%
12.797%
6.860%
-41.434%
-95.987%
-14.042%
-32.697%
0.348%
-26.933%
71.340%
-39.329%
-16.077%
-39.967%
-21.165%
46.553%
69.090%
-19.818%
-117.251%
-29.657%
10.178%
-70.396%

return c
3.141%
0.647%
0.980%
-0.159%
11.618%
-1.028%
-8.044%
1.906%
4.346%
2.609%
-6.052%
-9.653%
1.823%
-0.450%
-10.781%
-21.675%
-12.322%
-3.255%
-17.237%
-10.156%
16.529%
-13.084%
-26.706%
12.616%
1.593%
7.701%
-39.468%
-49.873%
-21.142%
-63.426%
-86.161%
52.305%
18.667%
19.852%
-22.517%
6.534%
45.563%
-3.240%
-16.834%
0.465%
-21.621%
0.302%
2.357%

return f
22.778%
-3.390%
2.273%
-1.890%
-7.803%
7.803%
-2.708%
-0.262%
1.947%
3.660%
12.122%
-10.159%
-8.491%
8.248%
4.408%
-16.568%
-11.042%
-1.392%
-1.570%
-13.353%
36.800%
-19.416%
-34.717%
-0.215%
-7.378%
15.448%
-86.400%
20.410%
-15.800%
-20.418%
6.419%
27.464%
82.224%
-3.881%
5.426%
27.655%
-5.170%
-5.309%
-2.911%
23.926%
11.727%
8.139%
7.968%

return msftreturn intc

6.961%
8.975%
6.211%
4.951%
4.843%
3.688%
2.592%
0.744%
1.679% -5.511%
3.313%
3.436%
-8.803% -4.832%
-1.069% -3.736%
7.177% 11.665%
2.807%
3.604%
-4.046%
6.841%
-1.650% -0.510%
-0.556%
9.084%
2.517%
0.419%
22.260%
3.965%
-8.800% -2.672%
5.803%
2.179%
-8.800% -23.364%
-17.751% -4.941%
4.252%
5.901%
0.479%
4.986%
-0.319%
4.647%
-2.920% -7.631%
-6.723%
3.251%
6.352%
3.663%
-2.256% -20.016%
-17.802% -15.520%
-9.249% -14.152%
-3.953%
6.062%
-12.828% -12.787%
-5.036% -0.181%
12.904% 16.482%
9.795%
4.868%
3.664%
0.438%
12.936%
5.177%
-1.075% 15.109%
5.263%
6.164%
4.234% -3.757%
7.530% -2.407%
6.335%
1.240%
3.581%
6.035%
-7.837% -4.984%
2.189%
6.410%

return ge
4.122%
4.284%
-0.544%
0.471%
6.071%
-3.147%
-2.454%
1.288%
4.177%
1.925%
2.543%
1.264%
0.289%
6.974%
-0.570%
-7.242%
-2.392%
-4.718%
-5.575%
11.053%
-12.385%
-6.263%
-12.935%
5.829%
-0.683%
-8.402%
-26.783%
-12.720%
-3.953%
-28.936%
-32.557%
17.206%
22.494%
6.331%
-13.185%
13.437%
3.622%
17.257%
-14.075%
11.595%
-5.078%
6.119%
0.482%

return ba return gis return mon

-2.929%
4.365%
9.854%
5.149%
4.312%
-0.903%
1.262%
0.986%
-5.919%
10.664%
-1.547%
8.355%
0.344%
2.902%
8.860%
0.816%
0.042%
5.006%
-2.213%
-1.611%
-4.425%
1.871%
3.320%
4.188%
4.499%
3.454%
7.296%
8.214%
2.212%
4.343%
-4.500%
-4.719%
9.194%
7.286%
-4.224%
-4.491%
-6.394%
0.469%
7.876%
8.224%
3.714%
20.665%
-6.286%
0.205%
13.193%
-5.980%
4.125%
1.758%
-5.644%
-5.400%
11.695%
-5.017%
-3.755%
0.068%
0.028%
2.672%
3.595%
-10.732%
6.718%
-3.682%
13.204%
1.515%
2.394%
-2.028%
4.522%
11.095%
-23.079%
-3.907%
-0.757%
-7.266%
6.490%
-5.779%
7.649%
2.727%
-4.172%
-13.378%
3.771%
-14.348%
-8.989%
-0.777%
-10.402%
-19.932%
-6.987%
-11.638%
0.106%
-3.931%
-11.851%
-0.851%
-1.909%
8.120%
-28.697% -11.986%
0.281%
12.370%
-5.081%
8.578%
11.820%
2.484%
2.444%
12.314%
0.932%
-3.272%
-5.379%
9.076%
-9.649%
0.960%
5.801%
12.227%
15.581%
1.362%
-0.152%
8.631%
7.523%
-8.037%
-12.460%
3.088%
-13.816%
10.080%
3.094%
18.408%
3.227%
4.044%
1.226%
11.295%
1.406%
-7.147%
4.801%
0.988%
-7.127%

16.034% 17.512%
6.805%
2.142%
8.255% 12.508% 13.950%
3.637%
7.600%
3.554%
4.151%
2.428%
3.572% -0.253%
-44.183% -9.853% -10.448% -16.395% -5.690% -14.310% -11.514%
-87.546% -5.196% -15.195% -11.474% -9.676% -11.880% -2.251%
98.082%
8.679% 23.639% 11.516%
5.767% 11.135%
8.245%
-47.001% -9.994% -12.306% -9.003% -14.592% -10.755% -10.251%
0.000%
5.237%
8.089%
4.273%
8.311% 12.307%
8.485%
-32.438%
6.430% 14.372%
8.521%
4.323% -1.416%
5.979%
-23.398%
0.719% 12.046% -4.804%
6.179% -1.230% -9.640%
6.382% 11.892%
5.181%
9.966% -0.622% 15.209%
2.320%
8.500%
1.890% -5.116% -0.655%
2.007%
9.670%
6.256%
-41.290% -2.955% -5.804% -3.621%
0.913%
4.454%
4.159%
-43.193% -5.708% -0.966% -4.593% -6.195% -4.240%
2.632%
12.921%
3.761%
3.743%
2.076% 13.728%
2.012%
7.624%
-91.884% -10.906% -3.674% -2.919% -2.034% -4.065% -1.694%
35.795%
1.187% -7.854%
3.860% -1.589% -3.217% -5.403%

-1.704%
1.211%
0.093%
-0.247%
-3.012%
5.546%
1.049%
3.516%
-6.115%
0.732%
-1.531%
6.568%
-1.602%
6.176%
3.018%
-6.615%

1.071%
-12.062%
-21.479%
-9.591%
23.009%
-9.403%
-9.392%
22.070%
0.837%
15.045%
5.634%
-2.054%
0.518%
-5.648%
4.320%
2.085%

return mrk
1.618%
3.286%
8.065%
-2.008%
-1.231%
2.594%
-1.333%
0.891%
15.242%
1.935%
-4.428%
-0.313%
1.039%
3.752%
11.969%
1.859%
-1.462%
-23.153%
-3.986%
-14.601%
0.233%
2.402%
-2.335%
-13.596%
8.089%
-11.147%
-1.945%
-14.696%
14.335%
-6.266%
-16.542%
11.672%
-9.819%
12.875%
2.753%
7.083%
7.755%
-1.288%
-2.248%
15.777%
1.923%
4.379%
-3.462%

2.301%
-6.378%
-3.909%
4.822%
-1.472%
2.022%
5.619%
-1.383%
-5.177%
5.516%
-8.326%
-1.827%
2.528%
8.515%
2.207%
-2.974%