Quarter Ending

12/30/1986
3/31/1987
6/30/1987
9/29/1987
Annualized Return

S&P 500 Return

5.589%
21.324%
4.964%
5.397%
37.27%

T-Bond Return
1.71%
1.81%
1.89%
2.08%
7.49%

Beta
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
Total

1.25
0.8
0.95
1.3
1.2
0
1.15
0.65
1.1
1.2
1.2
1
1.05
1.05
1.35
1
1.1
0.9
0.95
1.05
1.15
1.15
0.85

% Return
-6.9%
1.5%
1.2%
1.4%
8.0%
1.2%
3.5%
5.5%
-4.8%
-4.4%
10.1%
5.6%
-10.3%
5.0%
-17.3%
8.9%
0.0%
0.8%
5.7%
-3.5%
1.8%
6.7%
-1.6%

Portfolio Beta
1.032
1.026
1.034
1.041
1.033

Weight

ROR (Kr)
5.71%
21.83%
5.07%
5.53%
38.15%

Ending 12/30/1987
Beta*Weight
0.034
0.0425
0.039
0.0312
0.027
0.02565
0.054
0.0702
0.086
0.1032
0.027
0
0.018
0.0207
0.059
0.03835
0.069
0.0759
0.023
0.0276
0.041
0.0492
0.053
0.053
0.027
0.02835
0.035
0.03675
0.056
0.0756
0.06
0.06
0
0
0.07
0.063
0.035
0.03325
0.042
0.0441
0.041
0.04715
0.06
0.069
0.044
0.0374
1.032

Realized Return (Ke)

1.29%
-7.07%
10.03%
4.15%
8.41%

% Return*Weight
-0.23%
0.06%
0.03%
0.08%
0.69%
0.03%
0.06%
0.32%
-0.33%
-0.10%
0.41%
0.30%
-0.28%
0.18%
-0.97%
0.53%
0.00%
0.06%
0.20%
-0.15%
0.07%
0.40%
-0.07%
1.29%

Jensen's Alpha
-4.42%
-28.90%
4.96%
-1.38%
-29.74%

% Return
-7.5%
-4.4%
-8.8%
-4.5%
0.5%
-22.2%
-11.5%
-5.8%
0.0%
-10.9%
-6.0%
-12.5%
-38.3%
-13.6%
-4.7%
-4.0%
-2.9%
-5.6%
-3.2%
-3.6%
-4.8%
-11.1%
-1.6%

Weight
0.033
0.04
0.028
0.056
0.096
0.028
0.019
0.064
0
0.023
0.046
0.058
0.025
0.038
0.048
0.067
0.026
0.073
0.038
0.042
0.042
0.066
0.044

Ending 3/31/1987
Beta*Weight
% Return*Weight
0.04125
-0.25%
0.032
-0.18%
0.0266
-0.25%
0.0728
-0.25%
0.1152
0.05%
0
-0.62%
0.02185
-0.22%
0.0416
-0.37%
0
0.00%
0.0276
-0.25%
0.0552
-0.28%
0.058
-0.73%
0.02625
-0.96%
0.0399
-0.52%
0.0648
-0.23%
0.067
-0.27%
0.0286
-0.08%
0.0657
-0.41%
0.0361
-0.12%
0.0441
-0.15%
0.0483
-0.20%
0.0759
-0.73%
0.0374
-0.07%
1.026
-7.07%

% Return
18.6%
18.4%
-1.0%
0.7%
11.7%
21.1%
6.9%
11.3%
0.0%
4.5%
5.3%
10.2%
23.6%
7.4%
18.6%
24.0%
15.3%
11.8%
13.7%
3.6%
-5.8%
1.2%
3.8%

Weight
0.032
0.041
0.027
0.057
0.103
0.023
0.018
0.064
0
0.021
0.046
0.054
0.016
0.035
0.055
0.069
0.026
0.074
0.039
0.043
0.049
0.062
0.046

Ending 6/30/1987
Beta*Weight
% Return*Weight
0.04
0.60%
0.0328
0.75%
0.02565
-0.03%
0.0741
0.04%
0.1236
1.21%
0
0.49%
0.0207
0.12%
0.0416
0.72%
0
0.00%
0.0252
0.09%
0.0552
0.24%
0.054
0.55%
0.0168
0.38%
0.03675
0.26%
0.07425
1.02%
0.069
1.66%
0.0286
0.40%
0.0666
0.87%
0.03705
0.53%
0.04515
0.15%
0.05635
-0.28%
0.0713
0.07%
0.0391
0.17%
1.034
10.03%

% Return
0.0%
4.0%
13.2%
9.4%
-4.4%
0.0%
-5.0%
5.6%
0.0%
18.3%
0.0%
8.8%
0.0%
7.0%
-1.9%
0.0%
3.4%
8.7%
4.9%
10.7%
0.0%
-0.9%
1.2%

Weight
0
0.058
0.033
0.069
0.139
0
0.023
0.084
0
0.027
0
0.071
0
0.045
0.078
0
0.037
0.099
0.053
0.052
0
0.075
0.057

Ending 9/29/1987
Beta*Weight
% Return*Weight
0
0.00%
0.0464
0.23%
0.03135
0.44%
0.0897
0.65%
0.1668
-0.61%
0
0.00%
0.02645
-0.12%
0.0546
0.47%
0
0.00%
0.0324
0.49%
0
0.00%
0.071
0.62%
0
0.00%
0.04725
0.32%
0.1053
-0.15%
0
0.00%
0.0407
0.13%
0.0891
0.86%
0.05035
0.26%
0.0546
0.56%
0
0.00%
0.08625
-0.07%
0.04845
0.07%
1.0407
4.15%

Quarter Ending
Asset
Ending 12/30/1986 Cash
Money Market Instrument
Bonds
Common Stocks
Total

$
$
$
$
$

45,410
104,606
94,531
440,459
685,006

Ending 3/31/1987

Cash
Money Market Instrument
Bonds
Common Stocks
Total

$
$
$
$
$

50,932
109,699
88,151
404,190
652,972

Ending 6/30/1987

Cash
Money Market Instrument
Bonds
Common Stocks
Total

$
$
$
$
$

45,055
135,167
95,657
417,285
693,164

Ending 9/30/1987

Cash
Money Market Instrument
Bonds
Common Stocks
Total

$
$
$
$
$

37,346
249,448
88,082
329,778
704,654

6.6%
15.3%
13.8%
64.3%
100.0%
7.8%
16.8%
13.5%
61.9%
100.0%
6.5%
19.5%
13.8%
60.2%
100.0%
5.3%
35.4%
12.5%
46.8%
100.0%

31-Mar-87
Value
Cash
Money Market Instrument
Bonds
Common Stocks
Total

Cash
Money Market Instruments
Bonds
Common Stocks
Total

$
$
$
$
$

5,522
5,093
(6,380)
(36,269)
(32,034)

$
$
$
$
$

Three Quarter Change

Value
(8,064)
144,842
(6,449)
(110,681)
19,648

Quarterly Change
30-Jun-87

31-Mar-87
% Change
12.16%
4.87%
-6.75%
-8.23%
-4.68%

Quarter Change
Percentage
-17.76%
138.46%
-6.82%
-25.13%
2.87%

$
$
$
$
$

Value
(5,877)
25,468
7,506
13,095
40,192

% Change
-11.54%
23.22%
8.51%
3.24%
6.16%

30-Sep-87
$
$
$
$
$

Value
(7,709)
114,281
(7,575)
(87,507)
11,490

% Change
-17.11%
84.55%
-7.92%
-20.97%
1.66%