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Financial Modeling MBA Aasignment
Financial Modeling MBA Aasignment
Date
4/2/2002
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
2/1/2007
3/1/2007
4/2/2007
DuPont
DD
37.72
39.29
37.92
35.80
34.72
31.07
35.53
38.75
36.82
32.89
32.16
34.08
37.30
37.25
50.73
49.43
49.32
American
International
AIG
67.13
65.04
66.31
62.12
61.03
53.20
60.84
63.37
56.31
52.68
47.98
48.18
56.46
56.39
67.11
67.22
67.23
American
Express
AXP
34.27
35.52
30.35
29.53
30.20
26.11
30.53
32.68
29.74
29.89
28.25
27.96
31.93
35.14
56.72
56.25
55.96
Boeing
BA
40.92
39.27
41.44
38.23
34.29
31.57
27.52
31.67
30.68
29.38
25.77
23.43
25.51
28.85
87.26
88.91
90.50
Caterpillar
CAT
24.70
23.64
22.14
20.38
19.90
16.97
18.79
22.96
21.03
20.39
21.79
22.81
24.54
24.33
64.43
67.03
67.63
DJI
9946.22
9925.25
9243.26
8736.59
8663.50
7591.93
8397.03
8896.09
8341.63
8053.81
7891.08
7992.13
8480.09
8850.26
12268.63
12354.35
12560.83
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American
American
Boeing
International
Express
BA
AIG
AXP
-0.0007
-0.0058
0.0020
0.0097
1.0488
1.1873
1.2615
0.7304
0.4114
0.3906
0.6987
0.1442
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
DuPont
DD
Alpha
Beta
R-squared
T-Alpha
T-Beta
Date
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
6/2/2003
7/1/2003
8/1/2003
9/2/2003
10/1/2003
11/3/2003
12/1/2003
1/2/2004
2/2/2004
3/1/2004
4/1/2004
5/3/2004
6/1/2004
7/1/2004
8/2/2004
9/1/2004
10/1/2004
11/1/2004
4.08%
-3.55%
-5.75%
-3.06%
-11.11%
13.41%
8.68%
-5.11%
-11.29%
-2.24%
5.80%
9.03%
-0.13%
-1.19%
5.37%
2.62%
-11.19%
0.98%
3.47%
10.15%
-4.44%
3.46%
-6.58%
1.71%
1.43%
2.77%
-3.54%
-0.61%
1.28%
0.18%
6.33%
-3.16%
1.93%
-6.53%
-1.77%
-13.73%
13.42%
4.07%
-11.81%
-6.66%
-9.35%
0.42%
15.86%
-0.12%
-4.68%
15.13%
-7.48%
-3.08%
5.27%
-4.85%
13.54%
4.68%
6.35%
-3.56%
0.41%
2.29%
-2.70%
-0.88%
0.82%
-4.56%
-11.32%
4.24%
3.58%
-15.73%
-2.74%
2.24%
-14.55%
15.64%
6.81%
-9.43%
0.50%
-5.64%
-1.03%
13.28%
9.58%
0.34%
5.73%
1.99%
0.00%
4.29%
-2.62%
5.57%
7.21%
3.02%
-2.79%
-5.76%
3.52%
1.52%
-2.22%
-0.47%
2.84%
3.32%
4.84%
-4.12%
5.38%
-8.06%
-10.88%
-8.26%
-13.73%
14.05%
-3.18%
-4.33%
-13.11%
-9.52%
8.51%
12.30%
11.23%
-3.56%
12.65%
-8.53%
11.43%
0.19%
9.32%
-0.93%
4.20%
-5.44%
3.86%
7.50%
10.94%
-0.68%
3.26%
-1.16%
-3.38%
7.49%
Caterpillar
CAT
0.0100
1.3915
0.4328
#NAME?
#NAME?
-4.39%
-6.56%
-8.28%
-2.38%
-15.93%
10.19%
20.04%
-8.78%
-3.09%
6.64%
4.57%
7.31%
-0.86%
6.52%
19.84%
6.27%
-4.27%
6.73%
3.72%
8.78%
-5.65%
-3.10%
4.31%
-1.26%
-3.10%
5.30%
-7.27%
-1.09%
10.11%
0.62%
12.83%
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A
12/1/2004
1/3/2005
2/1/2005
3/1/2005
4/1/2005
5/2/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/3/2005
11/1/2005
12/1/2005
1/3/2006
2/1/2006
3/1/2006
4/3/2006
5/1/2006
6/1/2006
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
B
7.92%
-3.10%
12.10%
-3.95%
-8.40%
-0.50%
-7.83%
-0.77%
-6.68%
-1.02%
6.22%
3.40%
-0.59%
-8.20%
3.66%
4.76%
4.38%
-2.80%
-2.22%
-4.77%
1.72%
6.94%
6.67%
3.23%
3.73%
1.72%
3.06%
-2.60%
-0.22%
C
3.71%
0.94%
0.77%
-18.50%
-8.60%
8.86%
4.70%
3.55%
-1.43%
4.56%
4.49%
3.54%
1.60%
-4.13%
1.37%
-0.18%
-1.28%
-6.82%
-2.93%
2.71%
5.32%
3.75%
1.37%
4.82%
1.88%
-4.58%
-1.73%
0.16%
0.01%
D
1.19%
-5.29%
1.48%
-5.04%
2.58%
2.14%
-0.93%
3.27%
0.44%
3.90%
-0.77%
3.25%
0.08%
2.15%
2.69%
-2.49%
2.59%
1.01%
-2.10%
-1.94%
0.93%
6.52%
3.31%
1.57%
3.27%
-3.88%
-2.34%
-0.83%
-0.52%
E
-3.42%
-2.29%
8.76%
6.15%
1.80%
7.51%
3.24%
0.02%
1.90%
1.38%
-5.00%
5.74%
2.96%
-2.80%
6.64%
6.97%
6.84%
0.10%
-1.63%
-5.64%
-2.92%
5.14%
1.27%
10.66%
0.35%
0.81%
-2.22%
1.87%
1.77%
F
6.29%
-8.57%
6.46%
-3.86%
-3.32%
6.66%
1.26%
12.81%
2.89%
5.71%
-10.64%
9.43%
-0.02%
16.54%
7.36%
-1.75%
5.64%
-3.75%
2.08%
-4.54%
-6.59%
-0.82%
-7.62%
2.15%
-1.14%
4.88%
0.56%
3.96%
0.89%
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DJI
6
-0.0010
7
0.9990
8
0.9332
9
10 #NAME?
11 #NAME?
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-0.21%
17
-7.12%
18
-5.64%
19
-0.84%
20
-13.20%
21
10.08%
22
5.77%
23
-6.44%
24
-3.51%
25
-2.04%
26
1.27%
27
5.93%
28
4.27%
29
1.52%
30
2.73%
31
1.95%
32
-1.51%
33
5.52%
34
-0.19%
35
6.64%
36
0.33%
37
0.91%
38
-2.16%
39
-1.28%
40
-0.36%
41
2.40%
42
-2.88%
43
0.34%
44
-0.92%
45
-0.53%
46
3.92%
S&P500
0.0000
1.0000
1.0000
-0.91%
-7.52%
-8.23%
0.49%
-11.66%
8.29%
5.55%
-6.22%
-2.78%
-1.71%
0.83%
7.79%
4.96%
1.13%
1.61%
1.77%
-1.20%
5.35%
0.71%
4.95%
1.71%
1.21%
-1.65%
-1.69%
1.20%
1.78%
-3.49%
0.23%
0.93%
1.39%
3.79%
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H
3.35%
-2.76%
2.60%
-2.47%
-3.01%
2.66%
-1.86%
3.50%
-1.51%
0.83%
-1.22%
3.44%
-0.82%
1.37%
1.18%
1.05%
2.29%
-1.76%
-0.16%
0.32%
1.73%
2.58%
3.38%
1.16%
1.95%
1.26%
-2.84%
0.70%
1.66%
I
3.19%
-2.56%
1.87%
-1.93%
-2.03%
2.95%
-0.01%
3.53%
-1.13%
0.69%
-1.79%
3.46%
-0.10%
2.51%
0.05%
1.10%
1.21%
-3.14%
0.01%
0.51%
2.11%
2.43%
3.10%
1.63%
1.25%
1.40%
-2.21%
0.99%
1.60%
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2 Alpha
0.0026
3 Beta
1.0899
4 R-squared
0.6561
5 T-Alpha
#NAME?
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#NAME?
T-Beta
Portfolio weights
AA
AIG
AXP
BA
C
Sum of portfolio weights
0.2000
0.3000
0.0500
0.2500
0.2000
1.00
G PORTFOLIOS
OF THE DJ30 COMPONENTS ON THE S&P500
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