Date

3-Dec-12
1-Nov-12
1-Oct-12
4-Sep-12
1-Aug-12
2-Jul-12
1-Jun-12
1-May-12
2-Apr-12
1-Mar-12
1-Feb-12
3-Jan-12
1-Dec-11
1-Nov-11
3-Oct-11
1-Sep-11
1-Aug-11
1-Jul-11
1-Jun-11
2-May-11
1-Apr-11
1-Mar-11
1-Feb-11
3-Jan-11
1-Dec-10
1-Nov-10
1-Oct-10
1-Sep-10
2-Aug-10
1-Jul-10
1-Jun-10
3-May-10
1-Apr-10
1-Mar-10
1-Feb-10
4-Jan-10
1-Dec-09
2-Nov-09
1-Oct-09
1-Sep-09
3-Aug-09
1-Jul-09
1-Jun-09

Adjusted close price
Coca Cola Disney
General Electric
3M (MMM)Johnson and
IBM
Johnson DFT
MSFT
36.25
49.79
20.99
92.28
70.1
190.75
24.16
26.71
37.92
48.91
20.94
90.39
69.73
189.27
22.9
26.62
36.93
48.38
20.87
86.49
70.2
192.87
21.28
28.31
37.67
51.49
22.5
91.25
68.31
205.68
24.89
29.52
36.89
48.72
20.37
91.43
66.84
193.19
27.16
30.57
39.85
48.4
20.41
89.5
68
193.48
26.51
29.04
38.57
47.77
20.5
87.9
66.36
193.09
28
30.14
36.61
45.02
18.62
82.81
61.33
190.44
24.99
28.76
37.39
42.46
19.09
87.07
63.33
203.59
26.62
31.34
36.26
43.12
19.57
86.92
64.17
205.13
23.86
31.58
33.98
41.35
18.58
85.35
63.31
193.41
22.35
31.07
32.84
38.31
18.08
83.92
63.56
188.62
24.88
28.72
34.03
36.93
17.31
79.1
63.24
180.08
23.63
25.25
32.7
34.72
15.23
78.43
62.41
184.11
21.87
24.88
32.99
33.79
16
75.94
61.52
180.09
20.18
25.7
32.62
29.21
14.57
68.99
60.85
170.57
19.01
24.02
33.78
32.99
15.47
79.74
62.87
167.68
22.35
25.68
32.61
37.41
16.98
83.18
61.36
176.61
24.6
26.28
32.27
37.81
17.88
90.54
63
166.6
24.32
24.94
31.81
40.32
18.47
90.09
63.72
164.06
25.11
23.99
32.12
41.75
19.23
92.25
61.7
164.92
23.5
24.7
31.59
41.74
18.86
88.73
55.63
157.66
23.29
24.19
30.21
42.37
19.67
87.52
57.68
156.51
23.34
25.33
29.71
37.65
18.81
82.93
55.61
156.01
21.91
26.27
31.09
36.33
17.08
81.41
57.55
141.34
20.33
26.44
29.86
34.98
14.67
79.22
57.27
136.23
21.47
23.93
28.79
34.62
14.85
78.95
58.8
137.68
23.85
25.11
27.47
31.71
15.06
81.28
57.16
128.61
23.9
23.06
26.03
31.18
13.32
73.63
52.6
118.05
23.37
22.1
25.68
32.28
14.83
79.69
53.09
122.5
23.87
24.17
23.35
30.18
13.26
73.58
53.97
117.81
23.23
21.55
23.75
32.02
14.95
73.88
53.28
119.5
24.04
24.16
24.69
35.3
17.24
82.09
58.23
122.44
20.87
28.47
25.41
33.45
16.64
77.36
59.05
121.73
20.32
27.31
24.16
29.93
14.68
74.2
57.05
120.7
18.38
26.73
24.86
28.31
14.61
74.03
56.5
115.65
15.58
26.15
26.12
30.9
13.74
76.03
57.89
123.69
16.87
28.29
26.21
28.62
14.46
71.22
56.48
119.4
14.96
27.29
24.26
25.93
12.87
67.22
52.65
113.46
14.08
25.62
24.43
26.01
14.82
67.43
54.3
112.52
12.44
23.76
22.01
24.67
12.47
65.88
53.89
111.05
12.21
22.77
22.49
23.79
12.02
63.97
53.86
110.43
9.99
21.61
21.66
22.1
10.52
54.52
50.24
97.78
8.79
21.84

1-May-09
1-Apr-09
2-Mar-09
2-Feb-09
2-Jan-09
1-Dec-08
3-Nov-08
1-Oct-08
2-Sep-08
1-Aug-08
1-Jul-08
2-Jun-08
1-May-08
1-Apr-08
3-Mar-08
1-Feb-08
2-Jan-08
3-Dec-07
1-Nov-07
1-Oct-07
4-Sep-07
1-Aug-07
2-Jul-07
1-Jun-07
1-May-07
2-Apr-07
1-Mar-07
1-Feb-07
3-Jan-07

22
19.27
19.67
18.09
18.92
20.05
20.75
19.35
23.22
22.7
22.45
22.66
24.8
25.5
26.36
25.16
25.39
26.41
26.73
26.44
24.6
22.88
22.17
22.25
22.39
22.06
20.28
19.59
20.09

22.94
20.74
17.2
15.88
19.59
21.49
21.02
24.18
28.64
30.19
28.32
29.12
31.36
30.26
29.28
30.25
27.85
30.12
30.61
31.97
31.75
31.02
30.47
31.52
32.27
31.85
31.35
31.18
32.02

12
11.26
9
7.57
10.49
14.01
14.56
16.55
21.63
23.52
23.68
22.34
25.43
27.07
30.64
27.43
29.01
30.41
31.14
33.48
33.67
31.4
31.31
30.93
30.14
29.57
28.36
28
28.69

51.8
51.8
44.71
40.88
47.85
51.19
59.54
56.74
60.28
63.18
61.68
60.98
67.96
66.95
68.91
68.26
68.91
72.95
72.03
74.28
80.49
78.26
76.06
74.24
75.24
70.41
65.02
63.02
62.81

48.79
45.91
46.12
43.84
50.16
52.03
50.94
52.9
59.75
60.74
58.67
55.13
57.18
57.08
55.19
52.72
53.37
56.38
57.26
54.74
55.19
51.9
50.48
51.41
52.79
53.24
49.95
52.17
55.05

99.52
96.14
90.25
85.73
84.91
77.97
75.6
85.65
107.76
112.15
117.45
108.78
118.78
110.32
105.24
104.07
97.53
98.43
95.77
105.36
106.88
105.87
100.04
95.16
96.38
92.05
84.89
83.7
89.03

8.84
7.93
6.42
4.97
3.48
1.93
2
5.82
14.24
16.18
15.07
17.18
18.46
16.42
15.04
15.16
15.54
17.68
16.79
19.24
60.01
60.65
58.26
59.62
57.89
56.1
56.55
54.46
53.77

19.19
18.5
16.77
14.74
15.51
17.63
18.33
20.11
24.04
24.58
23.07
24.68
25.4
25.49
25.37
24.31
29.02
31.69
29.91
32.66
26.14
25.49
25.64
26.06
27.14
26.39
24.57
24.83
27.11

81% 9.82% 2.79 56.37% 55.46% -5.92 5.91% 4.96% 3.59 3.08 55.24% -5.20% 1.60% -1.31% -0.39% 12.40% 15.37% 13.76% 0.37% 10.86% 16.13% 1.37% 17.50% 71.13% 15.14% 2.05% -9.74% 5.63% 10.33% 5.4 60.59% 12.73% -0.4 8.41% 1.82% -13.12% -1.85% 2.36% 6.83 3.16% -1.55% -3.32 4.77% 50.97% 4.53% 53.89% -4.37% 47.82% 5.17 -0.85% 10.68% 12.83% 7.45% 6.19% 8.63 -0.17% 59.71% 4.39% 8.63% -2.20% 2.76% 1.47% 0.84% 13.97% 49.58% 6.89% -3.18% -1.22% 45.09 -2.61% 74.50% 73.20% 2.20% -5.28% 5.53% -2.04% -7.88% 47 -2.75% -11.11 63.59 1.38% 7.87% 2.41% -10.27 57.30% -1.52% 6.97% -1.98% 6.5 59.36% -3.21% 0.31% 51.23 -4.51% 4.61% 6.68 68.17% -1.87% -3.83% 5.46% -4.03% -8.32% 68.37 1.99% 0.21% 49.46 57.72% 0.07% 6.33% 7.1 3.56% 22.13% 3.15% 50.96% 11.94% 2.08 65.43% 2.61 58.76% 45.88 3.83 48.81% 3.66 3.17% 11.81% -9.02% 1.62 2.04% -1.54% 4.04% 10.35% 5.21 -2.07% 1.70% 13.67 56.57% -1.09% 0.20% 6.45% 73.12% 1.15% 53.12% 57.43% 0.89 55.96% -6.28% -10.23 4.94% 51.01 65.65% 49.27% 5.48% -3.50% -7.55% 50.68 59.39% -2.71% -0.82% -8.36% 72.41% -3.69% 10.96 5.85% 52.60% 6.03 59.22% 2.32% 1.53% 0.14 60.96 61.15% 2.17 1.46% -5.33% 1.97% 10.01 63.57% 60.74 60.3 51.67% 8.30% -1.34% 3.53% 3.25 61.70% -0.77% 1.97% -3.35% 0.66% -0.88% 2.49 -3.33% -2.35% 6.47 55.53% 1.57% .70% 3.77% -6.75% -5.43% -11.60% -0.32% 1.56 5.9 -0.47% -8.51% 0.25% 2.24% 2.87% 7.15% 8.05% -1.01% 1.97% -4.39 2.37% 12.72% 1.59% -11.66% 0.62 3.11 59.22 52.60% 0.40% 1.01 1.35% 4.65% 14.31% -3.75 1.51% -0.24 66.50% 3.10% 0.15% 50.06% 10.16% -6.45% -6.50% -2.47% 7.63% -2.76 59.41 54.11% 5.00% -8.39% 2.4 60.68% 1.23% -3.26% 3.45% 0.51 -1.28% 1.31% -13.68% 0.78% 5.75% -0.38% 6.27 68.32% -0.75% 2.21% 50.15 -1.34% 4.08 9.PG 67.34% 7.34% -2.13% 1.44% 1.68% -5.76% 13.75% 11.04% 65.79 4.45% 2.90% 49.39% 0.40% -6.04% 0.89 57.29% -13.98% 6.1 -2.38 1.76% 57.34 -3.67 45.61 -1.87% 7.05% 57.74% 4.24% 6.72% -14.09% 6.53 60.23% 8.61 -4.66% -12.25% 45.09% 0.54% -10.11% 10.43% -3.65% 44.95% -2.97 64.84% 1.50% 3.49% -4.30% -0.35 11.06% 6.27% 47.80% 0.2 -7.15% 51.31 55.38% -3.09% 48.55% 0.10% 6.76 62.91 56.29% 58.44% 3.92% -3.48% 0.63% 3.49% 3.53% 3.81% 10.13 6.67% -1.55% -3.11% -1.32% 6.10% 5.21% 1.06% -5.12% 3.13% -2.42 49.03% -2.70% -0.04 56.85% 1.37 Simple return WMT Coca Cola Disney General Electric 3M (MMM)Johnson and IBM Johnson DFT 68.75% -4.46% -0.26 -4.98% 51.58% 2.23% 0.74% 2.82% -8.9 54.06% 0.18% -7.57% 5.94% 13.01 61.72% 0.18% 45.71% 51.19% 0.19% 50.26% 17.50% -1.68% 9.13 -0.05% -0.88 -3.98% 2.95% 7.77% 51.43% 18.17 4.23% -14.46% -6.95% 2.27% -0.16% -0.84% 8.21% 12.06% -9.33% -2.00% 5.34 69.

65 52.79 56.73% -4.29 45.63% 3.50% 8.78% -12.69% 2.6 56.49% -8.11 42.87 52.07 53.99% -0.81% -2.41% 0.18% -0.8 14.11% 18.70% 8.42% 0.62% -7.80% 3.59 40.5 54.94% -8.95% 5.87 60.45% -1.29% -2.56 42.70% -5.42% 4.79% -2.19 59.59% 2.45 42.60% -0.57% -5.12% -3.30% -12.63% 1.78% 3.14 62.41 53.52% 3.81 38.68% 6.49 57.60% -2.04% -0.88% 6.48% 23.96% 10.93% 12.63% -2.75 42.31% -3.48% 7.02% -23.94% -1.32% 1.17% 0.34% 2.07% -15.71% -0.42% 7.37% -12.13% -11.59% 0.61% -0.27% 1.33% 6.28% -3.51% -2.03 56.86% -1.73% 6.10% -1.82% 80.03% -7.64% -59.43% 1.62% 0.93% -8.75% -7.57% -6.46.02% 4.26% 4.99% 3.10% 7.90% 3.23% 0.69% -1.28% 2.86% 9.55% -2.33% .35 54.62% 1.86% 8.97 54.83% 5.60% -4.84% 2.12% 6.2 38.10% -2.59% -4.56 51.65 42.53% 5.00% -12.84% 0.91% 2.99% 1.84% 1.36 59.95 50.23% 11.52% 29.67% 2.54% -1.14% -3.32 42.06% -11.19 53.27% 1.06% 4.77% -0.64% -3.82% 6.22% -5.43% 3.37% -14.76 55.35% -3.11 43.27% -0.81% -3.26% -5.21% 8.33% -2.25 56.28% -6.29% 1.78% -9.91% -4.52% -14.58% 8.20% -12.27% 0.71% -11.99% 7.34 41.15% -6.20% -0.97% 8.2 41.49% 0.69 63.52% 6.10% 5.35% 1.7 46.84% -25.51% 7.01 57.42% -3.81% -1.28% 1.83 50.36% -0.33% 0.18% 3.34% -1.24% -16.57% 25.28 44.75% -3.53% 6.7 53.45 52.35 42.56% 7.61% 20.25% 0.08% 0.37% 7.18% 42.13% 6.93% -5.87% -4.27% 4.73% -67.39% -5.13% -1.64% 3.97% -8.42% -5.59% 0.60% -2.46% -1.20% 1.42% 9.54% 1.23% 2.53 60.24% -13.85% 2.73% -20.95% -0.50% -65.43% 1.4 47.62 44.59% 2.23% 0.91% -3.89 41.89% 2.60% -3.04 52.52% -3.65% 11.17% -2.69 54.41 60.94% -5.67% 4.03% 8.82 50.13 56.52% -2.31% -18.15% -10.89% -27.46% 5.51 45.06 47.8 40.45% -12.45 42.83% 1.72% 2.32% 1.49 52.29% 3.34% -6.85% 6.29% 1.00% 15.11% -0.04 47.57 50.45% -4.93% 4.14% 3.13% -11.54% 4.19% -0.

14% -7.52% 2.48% 2.74% -4.00208 -0.35% 7.79% -4.97% 0.56% 2.23% 1.46% -0.003 standard deviation 0.14% -1.29% -0.58% -0.96% 0.306427 P2 -0.418131 IBM -0.41% 2.50% -2.33% 0.80% -1.25% -0.53% 6.34% 0.266219 Total weight 1 return 0.67% 1.08% -3.10% 0.51% 5.82% 1.14934 Disney -0.1937 General Electric -0.71% 13.66% -2.02% 3.37% -2.83% -3.26% 0.49% 3.41% 0.50% 9.42% -2.48% 12.21% 4.91% 3.47% -0.23% -2.34% -2.14% 3.60% 4.65% 6.49% 6.49% 5.62% -4.17% -0.60% Mean Coca Cola Disney General Electric 3M (MMM) Johnson and Johnson IBM DFT MSFT PG WMT vcv matrix Coca Cola Disney General Electric 3M (MMM) Johnson and Johnson IBM DFT MSFT PG WMT 0.255286 6.81% -1.73% -8.04% 3.19% 4.11% -1.68% 5.66% 5.525323 WMT 0.21% -7.75% 2.55% 1.80% 7.74% 1.99% 2.232387 0.01% -4.27% -3.03793 0.80% -1. Deviation 0.22% 5.08% 0.34% 0.85% 6.0572 3M (MMM) 0.18% 7.093897 St.0979 -0.04% -3.19% 0.29% 6.73% -5.43% 1.113706 0.76% -4.43% 3.93% -3.77% 6.10% 9.37% -2.12% -3.52% 7.47% -0.70% -3.28% 3.11% 6.31% 2.63% Risk-free rate Theta 0.020108 0.93% -0.111637 0.14189 0.063277 Johnson and Johnson 0.10% 2.93% -8.73% 0.16% 2.14% 8.22% 1.99% -3.52% 2.81% 1.66% -3.96% 10.25% -4.21% 4.13% 12.89% 6.22% 2.23% 1.64% 1.52% .91% 1.05% 9.56% -2.64% -0.60% -2.015078 Variance 0.76% -2.204337 PG 0.28% 8.25% -0.97% 13.28% -6.27% 4.76% -1.29% 0.72% -5.86% -4.51% -3.001 0.43% -1.65% 5.006 0.49% -10.55% -1.428285 0.045943 Super Portfolio of P1 and RFA Weight of RFA 0 Expected return 0.78% -2.82% 3.297811 1 0.64% -1.96% -5.MSFT PG WMT 0.80% P1 Coca Cola -0.83% 0.82% -4.88% 0.87% 3.93% -15.060665 MSFT 0.76% 4.13772 DFT 0.310308 variance 9.

57% 1.95% 3.07% 6.55% -4.59% -1.98% 2.00% 20.76% 5.06% -2.17% 4.36% -16.81% 1.13% 0.41% 4.16% -10.45% -0.93% -1.75% 0.66% -3.29% 0.30% 0.83% -0.00% 28.95% -8.34% 1.27% 6.03% -4.33% 5.32% 2.41% 0.78% -3.38% 1.30% -2.80% 0.20% 6.00% 32.96% -12.95% -0.80% 0.10% 0.76% -0.70% 0.55% -6.84% 7.28% -6.00% 22.23% -8.77% -4.41% -0.52% -2.56% 8.61% -11.26% 5.00% .67% 7.73% 10.75% -2.34% -7.35% 0.00% 10.50% 0.00% 30.61% -3.21% 2.49% -3.67% 0.81% -0.96% 0.49% 1.06% 5.47% 4.32% 13.52% -2.12% 6.42% 24.70% 5.58% 0.52% -0.24% -11.02% -3.35% -2.41% -1.71% -1.51% -15.43% 5.40% 0.94% 2.85% -16.45% -0.05% -8.07% -0.82% -8.79% 6.60% 0.00% 26.22% -3.20% 0.00% 24.28% 6.88% 1.3.55% -0.14% -6.89% -2.

019371 Optimal risky portfolio Weight of P1 expected return of portfolio covariance variance standard deviation P1 Coca Cola 0.068702 0.006 0.443549 Disney 0.195918 0.08363 MSFT 0.0207 0.130834 0.106536 0.82% -0.51% 18.393418 sum 1.106772 0.054503 0.163299 0.143144 0.033314 -0.095511 0.108005 0.250084 0.2 0.2 1.0882 0.6 0.255286 DFT -0.040948 0.068835 0.134663 WMT 0.39% 33.16055 PG 0.109653 0. Deviation 30.075687 0.080166 0.4 St.74% 31.117511 0.141089 0.16% 24.363363 0.64% 42.065171 0.32971 IBM 0.106772 0.6 0.068835 0.190008 0.03% 32.53% 29.033314 0.08919 0.085851 0.270274 0.103603 0.257949 Johnson and Johnson -0.08711 0.095511 0.2 0 0.4 St.8 1 1.191274 0.13% 12.77% 25.068702 0.Coca Cola 0.39815 3M (MMM) 0.195918 0.53% 26.2 0.2 0 0.064388 PG 0.046676 Disney 0.19211 0.053867 General Electric 3M (MMM)Johnson andIBM Johnson 0.8 1 1.080825 0.0207 0.103603 0.141089 0.4 -0.2 1.13% 0.190008 0.26% .032669 -0.367568 0.093897 0 0.015078 standard deviation 0.029809 0.42% 27. Deviation 25.03087 MSFT -0.90% 36.497718 DFT -0.130834 0.085765 0.150954 0.040948 -0.4 0.175432 0.085851 0.397908 2.000001 return 0.163299 0.209955 0.289895 0.4 -0.64% 24.191274 0.270274 0.171201 0.0882 -0.059564 0.367568 0.26% 6.059564 -0.08711 0.39% 12.129866 0.250084 0.048485 0.664836 0.109653 0.264621 0.171201 0.406802 0.306427 variance 0.4 0.397908 0.085765 0.117511 0.00% 6.094648 0.09273 0.42% 28.714559 0.094648 0.191986 General Electric -0.09273 0.080825 0.53% 24.08919 0.143144 0.080166 0.19211 0.289895 0.108005 0.77% 30.054503 0.

50% 32.00% 20.50% 2.00% 1.00% 38.00% 0.00% 0.00% 10.00% 36.00% 40.50% Series1 1.00% 34.00% .00% 0.2.00% 30.

029809 0.23% 0.18% -0.18% Exp.032669 0.94% 0.064388 0.24% 0.053867 0.51% 1.WMT 0.046676 0. Return 0.79% 1.51% 2.66% 0.60% 0. Return 1.106536 0.72% 0.10% -0.019371 -0.08363 0.07% 1.152786 Exp.66% 0.54% 0.48% 0.42% 0.30% 0.46% .36% 0.60% 0.38% 0.048485 0.

00% 50.00% 40.00% .Series1 30.

23 92.76 22.62 31.73 20.37 22.65 113.89 48.85 170.49 23.93 12.75 24.98 14.1 190.54 63 166.79 21.81 17.89 123.99 32.97 53.94 90.05 23.32 73.02 14.52 54.27 31.09 36.05 121.94 61.71 15.58 26.35 25.65 15.9 23.7 18.17 205.74 62.62 82.73 189.68 32.5 .72 20.02 18.28 70.17 23.5 24.52 12.9 13.24 97.51 29.63 52.87 24.61 156.67 51.31 14.41 57.09 28 30.71 37.62 14.63 25.29 26.41 22.6 26.69 16.09 58.79 34.87 28.03 57.47 25.3 112.41 16.51 23.1 25.93 48.81 23.31 79.61 74.32 18.47 90.72 164.58 85.27 37.85 78.43 66.75 32.26 25.67 79.99 15.93 17.78 32.26 51.98 83.87 86.28 28.92 48.21 28.65 18.46 71.59 26.18 13.32 24.7 164.75 19.73 55.58 53.39 69.5 87.88 90.57 19.14 36.21 42.19 19.52 8.77 22.31 205.18 13.41 89.21 14.31 18.14 7.68 74.44 24.35 30.12 19.61 37.89 111.62 36.45 16.93 18.55 23.21 22.05 120.03 36.97 117.24 82.33 17.62 29.11 23.52 50.06 25.89 29.04 38.78 8.88 53.66 22.81 61.16 30.44 29.28 119.84 38.76 37.47 31.66 23.83 79.87 167.61 45.57 39.25 61.44 23.94 12 51.08 81.43 62.5 115.94 31.36 59.48 119.91 26.79 16 75.08 23.08 25.31 24.93 28.5 68 193.16 26.62 14.88 53.88 28.33 26.69 35.06 81.74 76.1 63.99 33.74 11.23 122.92 23.88 32.3 17.47 65.01 14.84 22 22.18 25.39 42.52 180.46 14.81 40.35 18.62 24.36 193.96 27.95 73.43 54.33 190.22 56.79 99.37 19.86 28.52 36.01 21.05 12.68 32.09 63.28 32.64 77.1 10.68 22.7 32.25 32.02 63.8 48.25 68.86 88.74 18.2 192.23 21.69 53.95 58.92 63.06 26.34 36.62 24.16 128.19 30.99 21.28 14.19 27.87 28.55 141.46 19.71 37.16 29.5 23.44 20.33 203.01 24.99 92.58 33.12 30.4 14.98 41.12 41.52 57.72 15.23 78.16 24.29 24.8 45.23 21.7 34.91 20.86 110.91 96.67 12.27 136.49 22.87 24.41 33.11 27.82 67.27 20.07 32.47 79.09 20.01 24.48 26.26 43.2 57.22 57.7 31.24 180.57 47.43 26.34 25.Date 3-Dec-12 1-Nov-12 1-Oct-12 4-Sep-12 1-Aug-12 2-Jul-12 1-Jun-12 1-May-12 2-Apr-12 1-Mar-12 1-Feb-12 3-Jan-12 1-Dec-11 1-Nov-11 3-Oct-11 1-Sep-11 1-Aug-11 1-Jul-11 1-Jun-11 2-May-11 1-Apr-11 1-Mar-11 1-Feb-11 3-Jan-11 1-Dec-10 1-Nov-10 1-Oct-10 1-Sep-10 2-Aug-10 1-Jul-10 1-Jun-10 3-May-10 1-Apr-10 1-Mar-10 1-Feb-10 4-Jan-10 1-Dec-09 2-Nov-09 1-Oct-09 1-Sep-09 3-Aug-09 1-Jul-09 1-Jun-09 1-May-09 1-Apr-09 Adjusted close price Coca Cola Disney General Electric 3M (MMM)Johnson and IBM Johnson DFT MSFT 36.73 24.31 193.85 25.33 29.47 23.87 21.86 34.84 193.99 60.61 21.81 82.67 87.11 21.8 137.08 83.09 87.79 20.57 68.4 20.03 56.61 24.22 52.6 24.26 73.35 63.35 31.29 24.59 41.87 67.86 31.5 24.41 184.63 157.93 14.84 19.09 122.56 188.9 66.34 20.99 28.85 48.92 64.32 27.72 34.38 26.77 20.36 176.9 26.38 20.93 55.13 23.57 86.68 23.28 57.31 37.18 61.25 49.15 26.43 9.04 24.49 70.68 24.61 23.02 33.07 63.37 91.6 118.79 12.68 156.03 31.5 91.27 22.

16 25.76 112.67 31.26 29.2 15.39 24.02 30.43 27.27 31.24 49.91 72.01 14.14 29.97 75.03 50.09 18.9 59.25 85.02 24.75 60.74 55.72 53.55 54.02 63.24 75.85 31.36 106.96 66.75 19.14 25.73 26.8 25.45 22.79 53.4 31.2-Mar-09 2-Feb-09 2-Jan-09 1-Dec-08 3-Nov-08 1-Oct-08 2-Sep-08 1-Aug-08 1-Jul-08 2-Jun-08 1-May-08 1-Apr-08 3-Mar-08 1-Feb-08 2-Jan-08 3-Dec-07 1-Nov-07 1-Oct-07 4-Sep-07 1-Aug-07 2-Jul-07 1-Jun-07 1-May-07 2-Apr-07 1-Mar-07 1-Feb-07 3-Jan-07 19.65 58.07 17.63 23.19 52.1 56.43 95.73 84.54 56.24 70.14 26.18 15.37 56.51 17.11 .13 57.68 22.52 23.07 97.26 68.18 61.25 27.45 108.18 28.58 23.56 16.92 20.66 24.04 15.06 74.33 20.31 30.12 43.74 60.6 22.84 50.17 22.39 22.24 16.95 72.06 27.54 17.95 68.02 9 7.34 25.78 118.05 90.63 18.97 31.65 107.11 24.57 28.35 23.24 104.15 117.94 52.24 60.9 50.75 31.04 95.26 54.85 51.42 15.79 19.55 21.53 98.47 31.95 52.49 25.08 55.28 80.88 22.39 26.7 22.85 30.81 46.46 53.07 24.64 27.57 10.57 24.49 25.25 22.28 19.41 65.49 78.52 32.5 26.36 28 28.41 52.19 51.6 85.67 55.67 18.04 24.68 25.02 31.44 24.48 51.77 14.71 40.05 84.32 105.88 105.28 30.74 58.7 89.49 14.77 16.82 14.68 16.61 31.42 4.06 20.77 105.87 100.26 76.03 74.38 92.49 21.14 33.17 55.93 30.38 57.41 31.91 68.59 21.91 77.26 59.19 59.18 18.28 63.01 30.48 1.22 22.01 60.18 32.37 24.35 31.89 56.16 52.88 47.93 2 5.12 30.02 62.83 27.36 30.43 29.09 17.91 32.89 83.48 33.05 20.12 31.4 25.78 110.98 67.07 30.31 29.68 60.69 44.18 57.32 29.16 96.88 19.03 6.64 30.97 3.69 29.19 28.74 15.16 15.46 16.59 20.36 25.64 26.41 26.66 26.62 57.

11% 15.090.75% -4.97% 4.96% 11.38% -3.41% 10.33% 7.24% 9.25 61.50% 3.17% 10.50% -1.59 1.31% -0.83 3.23% 13.38% 6.55% 12.24 50.15% 8.03% 20.13% 3.66% 0.58% 10.67 45.569.51% -0.97% 10.06% 12.61 50.05% 11.89% -3.171.40% 11.45% 6.13% -2.891.17 -0.07% 6.4 60.008.97 64.045.143.06% 0.68 59.613.85% 1.49% -4.39% 12.325.98% 6.19% 12.46 74.93 53.03% -8.856.51 51.23 4.11% 5.73 49.14 60.51 -1.76% 13.70% 13.27 68.91 59.33% -2.02 45.76% 1.20% 1.16% -1.49 51.01 1.17 1.34 -3.32 4.53% 1.48% -3.71% 4.136.37% 12.67% -1.04 56.27 57.56 5.46% -5.94% 2.45 65.35% 6.33% -2.99% 0.96 5.01% 12.56 58.75% 8.20% 12.09% 6.38 1.89 57.79 56.213.55% 0.19% 0.84% 9.36% -3.38% 11.68% 9.83% 5.21% 12.91% 4.025.08 65.44% 1.61 -4.26 50.89 Simple return WMT DJW Coca Cola Disney General Electric 3M (MMM)Johnson and IBM Johnson 12.226.39% 2.18% -7.28 47 -2.85% 10.15% 13.00% 5.74% 12.57% 5.01 55.39 2.54% 12.20% 2.67 56.10% 5.41 54.5 59.68% -5.14% 2.28 45.4 60.46% 13.955.168.53% .39% -2.46% -0.32% 1.33% 5.414.34% -2.92% -3.319.49% 3.54% 4.43% 18.43% 2.913.28% 5.60% 12.01 63.68% 12.43% -11.465.006.82% -8.24% -5.85% 2.73% 12.11 59.79 4.10% 6.34 49.16% -0.21% 1.38 50.00% -8.34 69.68 73.87% 13.40% 1.36% 6.53 51.32% 11.60% 6.61 -1.81% 9.12% 1.37% 13.21 -2.54 52.63% 10.46 57.1 3.2 -7.01 61.34% 7.94% 8.86% 16.212.81% -9.68% 0.08 55.30% -0.07% 1.53% 0.82% 5.88 -3.09 -2.26% 17.95% -2.00% 6.35% 5.62 3.95% 10.13% 15.632.61 58.68 57.12% -1.06 -2.217.393.53% 3.50% 10.97% -1.63 57.12 46.17% 11.30% -1.04% -7.34% 4.30% -1.17 4.25% 2.63% -2.61 45.9 54.42 49.91 56.344.49 -3.82% -8.63 51.47% 13.74% 4.74 60.014.16% -6.72% 0.7 14.84% 8.72% 1.81% 10.09% 0.22 52.51% 4.70% -0.98% 9.89% -4.66% -12.56% 9.77% 1.02% 1.96% -6.59 3.60 68.31 55.32% -0.PG 67.41% 1.68 68.98% 6.31% -3.58 71.47% 7.03% -2.66% -0.92 5.34% 3.05 49.32% 9.05% 10.28% 1.61% 6.87% -3.57% -1.3 51.27% 3.87% 7.65% 14.97% -3.72% 0.81% 3.08 9.52% 12.06% 10.73 45.79 53.23% -3.43% -3.44% 3.41% -10.21% 0.46% 6.35 11.24% 2.31% -13.58% 25.59% 10.82% -13.20% 6.53 60.53% 3.46% -5.43% 0.94 48.06% -5.40% -6.74% 2.84% 1.95% 7.577.27% 5.60% -1.75% 13.84 72.75% -11.118.37% 10.89 55.11% -1.97% -4.9 -0.45% 2.84 50.810.09% 0.880.34 51.76% 0.01 65.69% 10.10% 0.60% -0.965.70% -0.63 -0.067.774.05 50.63 47.86% -0.23% 0.008.09 68.06% 12.26 -4.58% 10.78% 13.788.57% 0.75% 2.39% 8.04% 0.447.50% -2.712.35% 0.26% 3.45% 0.46% -4.72% 11.72 47.80% 0.68% 1.76 62.13% 1.04% -1.03 59.437.75% 11.51% 0.20% 2.07 57.76 59.77% -6.00 44.55% -3.88% 2.12% 3.35% 4.37 46.18% -1.712.47% 0.75 1.52% 8.48% 0.45% -6.15 -1.23 -4.96% 3.500.096.59% -11.83 48.63% 3.11% 10.87% 2.13% 1.11 63.61% 6.28% -10.88 3.71% -0.496.33 45.428.47 55.63% 10.04% 10.13 73.05% -1.27% -0.62 2.70% 3.17% -1.02 51.04 60.82% 2.23% 11.24 66.33% 1.33 49.83% 7.50% 3.11 43.37% 10.66 3.29% -13.39% 0.96 61.22% 2.53% -2.13 -0.13 6.1 -2.67% 8.952.4 8.37 1.

70% 8.84% 0.72% 2.264.97% -8.13 12.27% 1.51% 7.23% .85% 6.36% -0.83% 1.56 51.51% -2.82 13.13% 6.86% 8.93% 4.27% 4.37% 7.85% 2.54% 1.32 12.29 45.6 56.65% 11.42% 4.14% -3.36 13.19 53.57% -6.41 53.73% -4.20% -12.81% -1.56% 7.29% -2.49 57.53% 6.45 42.86 8.81% -2.91% -4.96% 8.36 59.43% 1.59% 2.776.20% 1.24% -13.75% -3.82 50.90% 3.52% -3.61% -0.51 47.89% -27.95 50.95% -0.73% -20.21% 8.2 41.35 42.29% 3.27% 0.39% -5.59% -4.24% -16.87% -4.49 52.55% -2.35 12.41.69 54.10% -1.34% -1.15% -6.89% 2.69% 2.01 57.12% -3.34% -6.26% -5.211.33% 6.89 12.93% -5.97% 8.23% 0.02 11.27% 1.062.59 40.357.67% 2.04 52.18% 3.97 54.45 42.15% -10.99% -0.12% 6.64% 3.69% -1.895.70% -5.93% -8.92 7.262.627.03 56.03% -7.49% -8.32% 1.99% 1.266.17% 0.34 41.75% -7.63 12.608.69 63.325.7 53.31% -18.63% 3.32 42.062.42% -5.81% -3.62% -7.56 42.69 8.04% -0.268.68% 6.76 55.33% 0.87 60.62% 1.11 42.54% -1.25 56.45 52.48% 7.43% 1.79 56.00% -12.94% -5.10% 7.33% -2.19 59.350.39 8.02% 4.42% 7.371.20% -0.63% -2.13% -1.11% -0.408.59% 2.84% -25.01 10.35 54.04 47.26% 4.37% -14.01 12.378.73% 5.52% 3.86% -1.07 53.67% 4.53 60.39 12.820.45% -1.60% -0.91% -3.13 56.850.543.93 8.23% 2.57% -5.60% -4.64% -3.8 7.66 11.71% -11.62 44.29% 1.95% 5.74 13.49% 0.650.96 11.84% 2.77% -0.06% -11.81 38.64 13.28% -3.91 12.91% 2.35% -3.71% -0.43% 5.41% 0.829.59% 0.354.04 9.83% 5.72 13.4 47.63% 1.99 13.35% 1.65 52.78% 3.60% -2.94% -8.60% -3.52% -2.42% -3.13% -11.621.60% -2.83 50.5 54.638.01 13.22% -5.50% 8.25% 0.57 50.2 38.14% 3.82% 6.78% -9.23% 0.63 13.88% 18.000.45% -4.59% 0.78% -12.930.28 44.75 42.02% -23.62 13.41 60.42% 0.32% 1.08% 9.14 62.34% 2.52% -14.65 42.62% 0.54% 4.87 52.29% 1.8 40.07% -15.46% -1.

58% 0.97% -3.70% -0.20% -3.65% 2.63% 0.90% -0.0001 4.29% 8.33% -4.09% 0.86% -4.37% 12.66% -2.79% -4.0001 -1.10% 0.21% 0.0001 1.0001 -0.73% 7.96% -5.57% 25.31% 1.68% 5.83% 0.84% 5.41% 5.43% -1.82% -2.99% 2.85% 16.76% -3.04% -3.32% 12.0001 5.31% -9.89% 6.0001 -7.77% 6.74% -4.98% 0.67% -12.22% 13.29% 0.0001 -0.06% 6.40% 4.0001 -1.0001 3.10% 10.69% 3.14% -1.67% 12.02% -2.27% 4.48% 23.02% 3.0001 -2.18% 0.19% -7.29% 4.82% 6.0001 -3.47% -0.25% -3.51% 2.28% 2.05% -8.34% 3.63% 10.56% 0.05% 8.71% 0.67% 9.56% 10.65% -3.07% -5.55% 1.76% 1.10% .88% 22.96% 2.57% 6.83% -2.80% -1.15% 6.15% -14.89% 2.72% -5.97% 8.58% -11.54% 0.34% 0.25% -0.32% 8.21% 0.76% -1.17% -0.22% 8.11% 5.0001 -2.99% -3.0001 1.50% -2.75% 2.50% -4.44% 0.48% -4.0001 4.82% 5.92% 0.0001 1.25% 13.0001 -1.47% -7.74% -1.36% 0.68% 10.87% 3.75% -11.99% 6.85% 0.76% 13.52% 7.37% -2.13% 15.return Exc DFT 5.50% 9.65% 12.46% 0.53% 0.44% 1.19% 0.93% 0.52% 3.01% 0.11% -1.35% 6.04% 20.46% 7.19% 12.0001 1.18% 1.52% 1.14% 3.82% 1.81% 1.77% 6.67% 0.76% 0.54% 0.14% 3.60% 4.53% 4.07% 0.30% -13.0001 1.20% -2.27% -2.15% -3.17% 5.27% 0.74% 0.22% 2.35% 0.01% -0.93% 0.21% 3.0001 5.64% 1.0001 -3.78% -2.0001 6.97% -6.97% 6.21% 2.83% -8.95% -4.93% -0.16% 2.0001 4.08% 0.47% -0.17% 11.60% -2.75% 13.44% -6.99% 5.69% 13.06% 0.93% 2.43% 0.91% 3.72% 0.05% -7.0001 3.05% 9.11% 6.04% -3.0001 -4.00% 0.37% 15.82% -9.56% -1.23% 1.76% 0.42% -10.21% 6.32% 5.21% 2.62% 3.49% 3.78% 4.66% -2.37% 6.0001 1.03% 0.55% 17.49% 6.81% -1.32% 3.60% 2.50% -8.0001 -2.82% -8.23% -2.10% -1.64% -1.24% 0.81% 0.47% -6.52% 2.42% -4.45% -5.28% 3.46% 1.12% 11.94% -9.73% -0.73% 5.42% -6.13% -3.80% -1.58% 0.17% -1.43% -3.19% 2.83% -10.19% 0.29% 6.82% 7.65% -0.76% -1.60% -0.57% 11.36% 13.88% 0.31% -15.13% 12.45% 4.52% 1.0001 3.04% -6.89% -3.93% -3.18% 7.00% 0.39% 6.27% 5.34% -2.95% 11.23% -3.80% 6.64% 14.85% 0.65% 6.09% 2.80% 0.65% 0.40% 0.10% 9.16% 10.50% 7.31% 2.01% 0.63% 0.44% -11.01% 0.91% 1.36% 2.09% -8.70% 4.49% 7.77% -5.80% 9.61% -14.11% -1.71% 2.28% 7.35% 7.0001 9.29% 2.15% 1.22% 5.09% 6.25% 13.90% 5.34% 0.05% -1.0001 3.22% 1.97% 0.0001 -4.54% -2.17% 4.74% -4.96% -4.03% -1.47% -5.0001 4.35% 7.37% -2.64% -0.25% -0.31% 0.53% 7.51% 0.73% 4.46% -0.0001 -3.0001 3.31% -0.55% 3.60% 6.45% 5.69% -5.0001 -4.56% 2.49% 5.0001 -2.0001 -0.25% 5.23% -5.54% 0.0001 -2.0001 2.98% -0.58% -0.46% 0.34% 2.06% -0.51% 3.70% -3.0001 8.56% -0.67% 3.53% 0.35% -3.02% 1.14% -7.72% 0.93% 3.41% 1.45% 3.0001 14.71% 10.81% -6.96% 2.0001 5.84% 5.0001 3.76% -4.35% 7.12% 10.76% -10.56% -2.03% 10.42% 18.65% -0.54% 0.83% 0.14% -1.08% 1.71% 1.43% 3.40% 0.55% -3.32% -13.15% 0.66% -4.28% 9.82% -4.27% -3.0001 10.0001 -0.67% 1.0001 2.51% -3.12% -3.48% 2.11% 3.97% -7.79% 0.52% MSFT PG WMT DJW Risk Free rateCoca Cola Disney General Electric 0.04% 3.

49% 5.27% -0.52% -2.54% 0.61% -7.34% -7.76% -0.84% 35.96% -12.94% -1.06% 0.34% variance 3.75% 0.41% 6.40% Standard deviation17.61% -11.26% -2.67% 0.57% 7.88% -27.0001 -0.55% -6.01% 8.28% 1.32% 0.23% 18.87% -0.28% 1.03% -23.34% -2.19% 0.76% 5.93% -1.32% 2.95% -0.30% -2.61% -2.0001 -16.04% -0.02% -3.13% 0.20% 6.48% 24.52% -2.41% 4.09% 0.47% 0.67% 7.0001 -2.85% 2.28% 1.30% -12.79% -2.38% 1.12% 6.21% 8.38% -5.10% -2.34% 1.22% -3.15% 3.0001 7.33% 13.0001 -0.0001 -2.06% -2.33% 1.84% 1.0001 -3.31% -3.47% 4.21% 2.25% .22% 0.28% -6.93% 12.0001 2.69% -5.79% -12.34% -3.46% 0.0001 8.81% -0.41% -1.61% 0.19% -0.84% 0.85% -16.59% -1.96% 0.27% 6.16% -6.57% 1.49% -8.0001 1.96% 6.54% -2.81% 1.68% 5.88% 1.0001 -1.25% 0.51% -2.25% 0.50% -65.68% 2.10% 0.0001 3.45% -12.83% -0.98% 2.01% 0.80% 0.17% 4.37% -12.41% 0.72% 0.43% 5.42% 0.70% 5.00% 12.05% -8.11% 0.06% 4.31% 1.08% -15.0001 4.64% -0.76% -7.14% -6.00% -0.45% -0.16% -10.49% 1.49% -3.18% -0.0001 1.63% 10.61% 1.0001 3.30% -18.28% -6.63% 0.24% -11.63% 3.47% 4.35% -7.61% -4.07% -11.15% Mean 11.94% -10.92% 4.80% 7.95% -8.73% -67.0001 -5.03% -4.13% -3.35% -2.91% -4.66% 11.41% 0.56% 8.45% -0.0001 -8.74% 0.79% 6.55% -4.26% 0.61% -3.58% 0.29.32% 0.76% -3.03% 0.37% -1.99% 3.99% -12.33% 5.0001 -0.0001 7.0001 1.10% 5.0001 -3.29% 0.94% 2.0001 -4.95% -8.80% 0.28% -2.51% 1.22% 2.58% -5.73% 0.00% 10.0001 -3.0001 8.50% 0.77% 0.64% -1.59% 0.99% 7.63% 4.19% -1.52% -0.23% -13.21% -4.84% 7.07% -0.51% -15.40% -8.73% -11.42% 24.80% 3.0001 -0.54% -1.59% -2.03% 0.55% -0.60% 0.01% 0.23% -14.84% -25.70% 0.28% 2.68% -6.34% 1.77% -4.36% -16.71% -1.82% 80.13% -11.35% 0.42% 9.0001 7.75% -2.04% 0.26% 1.45% -4.82% -8.07% 6.18% 42.80% -3.23% -8.66% -3.14% 6.75% 4.95% 3.64% -59.

57% 5.13% -8.38% 12.37% -3.92% -4.01% 6.66% -7.36% -2.68% -1.80% 1.22% 8.09% 0.70% -0.03% 3.48% 3.09% 5.34% 7.06% -9.76% -0.38% 8.36% -2.48% 7.75% 1.53% 17.07% 1.63% -0.40% 0.22% 0.51% 10.05% 0.72% 2.34% .52% 23.02% -0.80% -1.85% -4.49% 0.37% -8.39% 0.71% -0.86% -3.55% -5.89% 3.20% 12.48% 6.31% 5.05% 6.90% 3.90% 4.96% 8.71% 0.05% -3.01% -8.51% -2.15% -1.47% -6.51% -2.90% -3.37% -3.03% -3.69% 5.06% 15.53% 6.15% 3.54% -13.85% 1.50% -0.10% -8.21% 2.18% 0.45% -5.41% -6.52% -3.52% 6.65% -2.85% 0.24% 6.22% 0.54% -3.61% -0.60% -5.20% -7.20% 2.64% -0.24% -1.17% -6.40% 5.55% 22.89% 2.34% 0.76% 5.73% -0.14% -7.46% -8.27% 1.19% 1.00% 1.55% -2.28% 7.18% -15.06% 9.61% -1.25% -2.75% 1.57% 13.42% -3.66% 8.13% -3.31% 6.18% 8.49% 3.87% 2.35% 6.55% 2.75% 2.64% 2.26% 4.26% 4.47% 3.15% 3.16% -0.39% 4.65% -1.27% 2.61% -0.05% 10.49% -3.32% 8.25% 5.22% 1.99% 6.72% 5.51% 11.17% 7.73% -5.04% 4.54% -0.57% -2.37% -3.59% -0.56% -0.47% -0.15% -1.66% -2.15% 2.Excess return 3M (MMM)Johnson and IBM Johnson DFT MSFT PG WMT DJW 2.92% 3.94% 0.29% -1.94% 7.53% 1.22% 8.05% -0.64% 2.78% -2.00% -3.88% -3.65% -4.76% 2.04% 1.52% 2.98% 1.00% 1.02% -2.30% -1.76% 6.95% -5.27% 9.80% 1.16% -1.22% 5.62% 3.79% -4.30% 2.51% 7.10% 6.88% 6.54% 0.75% 0.51% -4.28% 13.90% 1.24% -2.82% 0.60% 4.66% 6.50% 0.40% 2.15% 6.57% 2.00% 2.44% 3.71% 2.47% -0.76% 3.11% -1.24% 2.41% 15.20% 0.77% -1.14% 2.33% -2.04% -0.77% -4.76% 0.54% 3.36% 17.95% -6.30% 0.09% 9.19% -5.16% 2.07% -0.32% -2.32% 10.51% -7.44% -1.05% 0.29% 2.04% -4.82% 0.75% 0.76% 11.32% 7.72% -14.71% -7.93% -3.64% 3.88% 4.27% -0.14% -2.64% -2.75% 12.29% 3.27% 5.06% -9.22% -4.81% 1.77% -1.37% 7.70% 4.32% -0.28% 2.73% 7.88% 3.13% 12.99% -4.83% 13.73% -4.97% 4.48% 3.81% -1.23% 6.44% 2.57% 2.43% -6.94% -0.47% 6.57% 6.55% 1.74% -0.77% 5.94% -3.11% 0.26% 3.19% 0.33% -2.38% 10.47% -6.21% 1.24% -14.15% -1.29% 6.96% 2.83% 1.35% 3.22% 2.64% -1.95% 2.26% -3.47% 4.09% -1.50% 4.74% -5.83% -2.49% -4.00% 1.98% 0.44% 5.64% -2.46% 0.07% 1.85% 10.10% -1.61% -2.67% 3.47% 2.42% 3.20% 0.99% 2.52% 0.49% -1.97% 2.46% 6.15% -2.32% 1.81% 2.22% 1.93% 13.14% 0.61% 6.86% 7.34% 0.19% 6.71% -3.96% -1.73% 5.83% -4.64% 1.94% 2.20% 3.17% 7.53% 3.75% 10.24% -0.14% 8.20% 8.79% 4.80% 5.25% 3.96% 10.58% 12.08% 0.14% 5.52% 2.76% -6.60% 0.21% 2.52% -3.84% -2.41% 1.21% 5.76% -0.33% 0.80% 6.56% 0.98% 0.32% -3.49% 9.48% 5.85% -0.14% 1.87% 7.79% -1.50% -0.62% 1.53% -10.33% -3.38% -10.93% 6.59% -10.

49% -3.40% 2.84% -0.29% -12.33% 8.51% 16.59% 0.05% -2.09% -1.68% -1.13% -3.13% -6.94% -1.41% -6.94% -8.17% 42.93% -5.92% 2.02% 1.95% -1.42% 3.60% 2.14% -12.29% -6.45% -12.28% 3.23% 5.56% -4.96% -8.96% 8.36% -12.17% 0.59% 6.29% -6.90% 67.21% 6.66% 4.15% -10.12% 6.24% 5.70% -0.41% 6.68% -0.86% -16.34% -7.43% 4.24% -8.77% -9.92% 2.22% -3.80% 3.33% 2.30% -2.00% 7.69% -2.28% 9.82% 1.54% -0.81% -4.74% -2.01% 10.54% -0.85% 0.97% -2.85% 6.81% 80.09% 2.55% 4.46% -0.62% -3.97% -12.94% 3.23% -5.53% -2.95% 5.13% -11.31% 5.43% 7.58% -4.88% -4.36% -2.73% 0.54% -6.80% 6.33% 2.98% 3.04% -3.76% 16.34% 5.61% -3.04% -7.64% 3.55% 8.72% -11.28% 6.52% 7.62% 7.47% -1.43% 0.69% .74% -20.42% 9.34% 6.72% 2.57% -6.24% -10.12% 6.30% -3.60% 2.30% 4.66% -3.06% -0.82% 5.35% -1.27% -3.36% -14.53% -14.25% -11.62% 4.06% 4.64% -59.41% 4.14% -10.43% 1.74% -67.42% 4.02% -4.43% 5.87% 1.27% 15.80% -1.27% 4.50% -2.26% -5.43% 24.81% 1.02% 0.67% 21.97% 0.89% 3.28% 1.83% 7.60% -0.09% -2.26% 0.50% 1.10% 14.44% -1.60% -5.71% 16.36% 0.03% 4.35% -16.38% 1.9.76% -4.83% 1.17% -0.70% 8.60% 29.12% -1.03% -3.71% -11.68% 18.29% 2.20% -1.17% 4.42% 1.73% -8.81% -0.06% 6.80% -2.50% -15.74% 0.35% 1.62% -0.82% 6.71% -1.14% 4.85% 8.94% -0.82% 1.59% -1.04% -4.68% 13.00% 14.57% 0.62% -11.95% -5.94% 12.18% -0.77% 5.75% -0.11% 5.46% 4.53% -3.68% 7.06% 26.64% -0.93% 2.40% -1.44% -0.96% -0.84% -0.11% -1.53% -2.17% 3.47% -1.18% 2.84% 2.88% 2.54% 5.24% 4.41% -3.52% 6.19% -12.51% -65.59% 45.01% 1.52% -0.45% 0.07% -6.82% -2.55% 1.97% 3.06% -8.57% 1.22% 2.99% 2.83% -8.92% -4.69% 5.33% -14.

202874 0.144954 0.033295 0.001506 0.618849 Disney 1.028841 0.046929 0.028668 0.014408 0.835907 1.374920 return 0.132359948 0.227773 General Electric 1.309153653 0.531293 WMT 0.017519156 0.164038 0.004052 0.006160 0.41470736 0.249581 General Electric 0.016782 0.059863 0.001 0.806959 0.184903344 0.618849 1.147940 correlation 1.189716 DFT 0.369894 SD of SD of residuals 0.028817 0.007308 0.132359948 Coca Cola Disney General Electric3M (MMM) 0.737152 0.143988 0.023489161 0.369894 1.015457208 0.656660 0.147901 0.619357 IBM 0.776187 0.675891 MSFT 0.264079 PG 0.017604 0.212987 Johnson and Johnson 0.149207 IBM 0.017224 0.000000 0.024740 0.447529987 0.161839 Beta 1.046929 0.349994 3M (MMM) 0.730529 1.605675 0.000000 0.164038 Coca Cola 0.160866 WMT 0.000000 0.107320 0.147014 0.038925 0.139850 0.020445 0.145930 0.000000978 0.737152 DFT 0.173419 Disney 0.008847 0.835907 MSFT 1.585375 0.004331 0.017553 0.049226 0.214649 0.007802 Johnson and Johnson 0.010031 Coca Cola Disney General Electric 3M (MMM) Johnson and Johnson IBM DFT MSFT PG WMT sum return standard deviation variance P1 0.013332 0.118717786 Super Portfolio of P1 and RFA Weight of RFA Expected return Variance St.010314 0.541770 0.034326 0.028446 0.057131 PG 0.071469117 0.019990 0.048899 0.002635 0.008817 0.730529 3M (MMM) 1.000000 Coca Cola 0.264783829 1.145379 0.033038 0.034925 0.009953 Risk-free rate Theta 0.227773 1.01671348 0.095803949 -0.033295 0.618849 1.146973 0.092412 0.020445 0.016666 0.014296 0.027119 0.680922 0.531293 0.022493 0.007802 0.061698 0.000000 0.046566 0.026909 0.016796 0.030361 0.020462 0.033038 0.024354 0.564982 0.811080 0.227773 1.046566 0.437570031 -0.009586 0.085467 0.01671348 0.016782 0.141617 0.057173 0.017519156 .022669 0.619357 0.279166 0.007802 0.016652 0.306429 0.146864 0. Deviation 0 0.000787 0.013920 0.016652 0.057173 0.028817 0.027119 0.102185 0.012315 0.027616 0.637378 0.Table 1: Risk parameter (annualized) SD of excess DJW 0.019836 0.012275 0.730529 1.012220 0.008006 The index model covariance matrix DJW BETA DJW 1.057131 0.

50% 0.00% 5.00% .00% 10.50% 2.00% 0.2.00% 1.50% 1.00% 15.00% 0.

000000 0.019836 0.020969 0.000000 0.36% 1.017618 0.010522 0.008847 0.009953 0.53% .008855 0.000000 0.65% 5.012275 0.010314 0.028446 0.000000 0.012285 0.029209 0.369894 0.30% 1.29% Exp.59% 7.012285 0.000000 0.027616 0.022669 0.000000 0.000000 0.000000 0.016581 0.737152 0.000000 0.049226 0.00% 2.010522 0.000000 0.000000 0.000000 0.24% 18.4 0.65% 0.02187 0.000000 0.006165 0.034326 0.67% 2.000000 0.000000 0.028668 0.017604 0.2 0 0.025568 St.99% 1.014296 0.015113 0.012220 0.4 -0.000000 0.2 1.023778 0.023778 0.017618 0.000000 0.000000 0.000000 0.013931 0.02006 0.6 0.000000 0.2 0. Return 1.000000 0.016796 0.010539 0.016581 0.008855 0.53% 15.24% 10.005288 -0.028841 0.024740 0.016666 0.10% -0.000000 0.000000 0.000000 Johnson and Johnson IBM DFT MSFT PG 0.032197 0.02160 0.000000 0.011950 0.000000 0.010031 0.039814 0.000000 0.02113 0.057131 0.000000 0.04% 0.000000 0.000000 0.019990 0.007337 0.006160 0.000000 0.011950 0.000000 0.000000 0.29% 2.531293 0.94% 5. Deviation 13.000000 0.000000 WMT 0.000000 0.619357 0.000000 0.051367 0.8 1 1.000000 0.006165 0.008320 0.000000 0.00000 0.020969 0.67% 1.000000 0.034925 0.000000 0.013931 0.017553 0.000000 0.020462 0.835907 1.000000 0.000000 0.010539 0.000000 0.000000 0.000000 0.015113 0.024354 0.013920 0.038925 0.000000 0.005288 0.014408 0.000000 0.21% -0.017224 0.41% 0.02157 0.000000 0.000000 0.000000 0.000000 0.000000 0.4 0.000000 0.88% 13.007337 0.000000 0.0.022493 0.035354 0.008320 0.000000 0.73% 0.000000 0.000000 0.000000 0.

Series1 15.00% .00% 20.

000000 0.0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.02189 .000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.02101 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.02130 0.02161 0.000000 0.02073 0.000000 0.

531293 0.038925 0.000000 0.020055 0.306429 0.214649 0.009350 0.001506 0.160866 0.027616 0.750809 0.002635 0.102185 0.144954 0.057173 0.000000 0.014296 0.024740 0.061698 0.000000 0.Table 1: Risk parameter (annualized) DJW Coca Cola Disney General Electric Hershey Food FedEx IBM NOC UNH SYY TGT SD of excess 0.227773 1.330613 -0.028817 0.835907 1.085467 0.009953 Coca Cola Disney General Electric3M (MMM) 0.147901 0.021135 0.008989 Computation of Optimal Porfolio DJW variance of anpha/varianc weight of each weight^2 Portfolio 1 Coca Cola Disney General Electric3M (MMM) 0.016652 0.618849 Disney 1.048899 0.000874 0.227773 General Electric 1.028841 0.000000 0.139850 0.007802 0.189716 0.149207 0.730529 1.016666 0.008622 0.046566 0.007308 0.564982 0.022669 0.024428 0.806959 0.019990 0.005792 0.017553 0.776187 0.027119 0.016652 0.008989 0.030361 0.656660 0.146864 0.008847 0.009648 0.249581 0.081340 0.730529 3M (MMM) 1.202874 0.618849 1.374920 return 0.737152 0.264079 0.028446 0.000593 0.007802 Johnson and Johnson 0.046566 0.146973 0.009586 0.141617 0.156293 0.029569 0.013332 0.605675 0.057131 0.145930 0.541770 0.046929 0.004331 0.369894 1.147940 correlation 1.619357 IBM 0.811080 0.835907 MSFT 1.145379 0.057131 PG 0.585375 0.164038 0.033295 0.013920 0.024354 0.016796 0.637378 0.020445 0.033038 0.268523 1.046929 0.026909 0.027119 0.017604 0.019836 0.016782 0.028817 0.279166 0.147014 0.369894 SD of SD of residuals 0.033295 0.161839 Beta 1.012275 0.022493 0.014408 0.021601 0.016782 0.012220 0.429933 0.227773 1.004052 0.173419 0.003366 0.675891 0.017224 0.212987 0.107320 0.034925 0.009220 0.000000 0.008817 0.014445 0.680922 0.000000 0.092412 0.737152 DFT 0.618849 1.009529 .619357 0.006987 -0.059863 0.007802 0.020462 0.010031 Macro forecast and forecast of anpha value DJW Anpha Risk premium Coca Cola Disney General Electric3M (MMM) Johnson and Johnson 0.021569 2.531293 WMT 0.349994 0.000000 Coca Cola 0.020445 0.006160 0.010314 0.143988 0.012315 0.000787 0.120188 -0.097616 0.730529 1.033038 0.034326 0.028668 0.057173 0.008006 The index model covariance matrix DJW BETA DJW 1.001757 0.164038 0.049226 0.

67% 10.133651 0.00% 4.00% 6.000565 0.38% 7.924291 3.00% -4.00% weight of -0.600000 0.200000 0.400000 0.02% 8.003612 0.060410 0.75% 0.000840 0.164038 0.13% 5.400000 -0.21% 12.001405 0.97% 10.000000 1.anpha of residue initial position Adjusted beta Risk premium SD Sharpe ratio -2.82% 6.26% Return 3.95% 9.001508 0.738172 0.000000 0.13% 1.200000 1.00% 10.00% 8.71% 0.00% 2.000593 0.001348 0.10% -1.001441 14.000019 0.000000 0.37% 6.41% 1.009241 0.55% -3.008803 0.200000 Standard 20.56% -3.706003 1.00% 0.000052 0.00% 2.28% 11.00% 4.00% .706003 0.00% 0.000305 0.018299 0.069140 0.003200 124.000206 0.00% -1.06% 3.00% -2.001461 -0.074378 0.56% 0.400000 4.096722 0.69% 3.800000 1.000490 0.

021296 0.013931 0.009059 MSFT 0.020732 0.015113 0.009249 0.043536 0.000000 0.000320 0.025568 WMT 0.015113 0.003213 0.021875 0.000000 0.013920 0.023778 0.016666 0.000000 0.000000 0.049226 0.000000 0.024354 0.005288 0.008937 Johnson and Johnson IBM DFT MSFT PG 0.000000 0.010539 0.012060 0.000000 0.000000 0.000000 0.008842 WMT 0.573964 0.021135 0.017604 0.017618 0.006160 0.000000 0.010522 0.017894 0.010539 0.010522 IBM DFT 0.000000 0.009118 PG 0.000000 0.000000 0.038925 0.029209 0.024740 0.000000 0.196084 0.012285 0.000000 0.010314 0.531293 0.000000 0.028446 0.369894 0.000000 0.015092 .027616 0.737152 0.000000 0.006165 0.122850 0.000000 0.002921 Overall Pf 0.038449 0.008847 0.153893 0.039814 0.000000 0.000000 0.021875 0.051367 0.619357 0.0.000000 0.000000 0.000000 0.011950 0.007396 0.012220 0.021886 0.000000 0.022669 0.009953 0.000000 0.014408 0.000000 0.008855 0.000000 0.000000 0.054046 0.055945 0.000000 0.000000 0.003130 0.000000 0.000000 0.000000 0.016581 0.000000 0.019836 0.023778 0.028668 0.000000 0.021012 0.011950 0.014296 0.034925 0.017618 0.000000 0.012285 0.020969 0.005288 0.000000 0.000000 0.000000 0.035354 0.000000 0.000000 WMT 0.835907 1.000000 0.000000 Johnson and Johnson IBM DFT MSFT PG 0.020055 0.021601 0.016796 0.000000 0.000000 0.000000 0.020969 0.019990 0.020462 0.008320 0.057131 0.000000 0.008320 0.337938 0.148669 0.006165 0.013931 0.049223 0.012275 0.032197 0.000000 0.007337 0.021569 0.000000 0.001048 0.017224 0.007337 0.000000 0.021613 0.000000 0.208653 0.028841 0.000000 0.000000 0.000000 0.011183 0.000000 0.017553 0.000000 0.539391 0.000000 0.000000 0.016581 0.034326 0.022493 0.000000 0.010031 0.000000 0.008855 0.

00% 8.034621 0.000068 0.001382 Series1 4.029666 0.001416 0.121347 0.000188 0.002193 0.00% 10.000019 0.001425 0.001446 0.000174 0.00% 6.129125 0.000797 0.000007 0.155657 .000063 0.011074 0.0.076026 0.000330 0.033446 0.000915 0.001397 0.032643 0.209708 0.001405 0.00% 12.000909 0.00% 0.002516 0.

000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.021613 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.021012 0.000000 0.020732 0.000000 0.000000 0.0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.021296 0.000000 0.000000 0.000000 0.021886 .000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.

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