Date

1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

Open

High
5.12
5.15
5.06
4.83
4.78
4.84
4.64
4.35
4.77
4.29
4.75
5.81
5.75

Low
5.21
5.25
5.32
4.98
5.09
5.07
4.68
4.8
4.83
4.77
6.02
5.97
8.13

Close
4.73
4.81
4.715
4.61
4.76
4.55
4.26
4.31
3.94
4.25
4.6
5.425
5.36

5.15
5.11
4.8
4.8
4.83
4.64
4.33
4.76
4.5
4.73
5.8
5.76
7.4

Volume
Adj Close
193400
4.96
134200
4.922
272700
4.678
222500
4.678
125400
4.707
235600
4.522
350200
4.22
229300
4.639
163700
4.385
176500
4.678
1569900
5.736
455500
5.697
471400
7.319

Dividends
0
0.057143
0
0
0
0
0
0
0.064286
0
0
0

rf
0.00218125
0.001945833
0.00189375
0.001866667
0.00171875
0.001702083
0.001704167
0.001702083
0.0017125
0.0017
0.001710417
0.001722917

Returns
-0.00776699
-0.04948278
0
0.00625
-0.03933747
-0.06681034
0.099307159
-0.05462185
0.065396889
0.226215645
-0.00689655
0.284722222

Excess
-0.0099482403
-0.0514286122
-0.00189375
0.0043833333
-0.0410562241
-0.0685124282
0.0976029927
-0.0563239321
0.0636843889
0.2245156448
-0.0086069684
0.2829993056

Mean
Annualised Mean
Stdev
Annualised Stdev
Sharpe Ratio

Nominal risk free

2.62%
2.34%
2.27%
2.24%
2.06%
2.04%
2.05%
2.04%
2.06%
2.04%
2.05%
2.07%

0.0310372027
0.4430854016
0.1130855427
0.391739811
1.1310706473

1 + excuess return
0.9900517597
0.9485713878
0.99810625
1.0043833333
0.9589437759
0.9314875718
1.0976029927
0.9436760679
1.0636843889
1.2245156448
0.9913930316
1.2829993056

Date
31-12-12
1-1-13
1-2-13
1-3-13
1-4-13
1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13
1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

Open

High
2.02
1.935
2.09
2.6
2.7
2.84
2.72
2.58
2.76
3.18
3.53
4.85
4.7
4.52
4.85
5.35
5.25
5.15
5.32
4.89
4.84
5.06
4.98
5.18
5.12
5.15
5.06
4.83
4.78
4.84
4.64
4.35
4.77
4.29
4.75
5.81
5.75

Low
2.02
2.2
2.69
2.74
2.9
2.99
2.75
2.83
3.2
3.56
4.54
5.15
4.71
4.92
5.48
5.63
5.35
5.45
5.33
4.99
5.41
5.29
5.2
5.46
5.21
5.25
5.32
4.98
5.09
5.07
4.68
4.8
4.83
4.77
6.02
5.97
8.13

Close
1.93
1.89
2.07
2.48
2.6
2.7
2.51
2.5
2.66
3.1
3.41
4.33
4.3
4.41
4.79
5.21
4.69
5.005
4.74
4.8
4.81
4.93
4.71
5.09
4.73
4.81
4.715
4.61
4.76
4.55
4.26
4.31
3.94
4.25
4.6
5.425
5.36

1.935
2.06
2.64
2.7
2.83
2.72
2.58
2.76
3.17
3.55
4.41
4.68
4.52
4.83
5.35
5.26
5.15
5.31
4.87
4.88
5.06
5.03
5.18
5.13
5.15
5.11
4.8
4.8
4.83
4.64
4.33
4.76
4.5
4.73
5.8
5.76
7.4

Volume
Adj Close
106400
1.752
117200
1.865
168100
2.438
138900
2.493
126800
2.613
138500
2.512
74800
2.383
152300
2.549
283200
2.983
223700
3.34
1194900
4.149
677700
4.403
202500
4.253
218800
4.544
282400
5.087
775200
5.002
235500
4.897
213600
5.049
182400
4.631
157700
4.64
241100
4.873
377600
4.844
280700
4.989
486500
4.941
193400
4.96
134200
4.922
272700
4.678
222500
4.678
125400
4.707
235600
4.522
350200
4.22
229300
4.639
163700
4.385
176500
4.678
1569900
5.736
455500
5.697
471400
7.319

Dividends

Nominal risk free

0

3.05%

0.05

3.03%

0
0
0
0
0

3.04%
3.04%
2.84%
2.81%
2.79%

0.057143

2.61%

0
0
0
0
0

2.58%
2.58%
2.58%
2.60%
2.61%

0.057143

2.61%

0
0
0
0
0

2.63%
2.65%
2.66%
2.66%
2.65%

0.064286

2.63%

0
0
0
0
0

2.63%
2.64%
2.64%
2.63%
2.62%

0.057143

2.34%

0
0
0
0
0
0

2.27%
2.24%
2.06%
2.04%
2.05%
2.04%

0.064286

2.06%

0
0
0

2.04%
2.05%
2.07%

Return
0.064497717
0.334048257
0.022559475
0.048134777
-0.03865289
-0.0513535
0.069660092
0.192680659
0.119678176
0.242215569
0.061219571
-0.03406768
0.06842229
0.132073724
-0.01670926
-0.0209916
0.031039412
-0.08278867
0.001943425
0.064070259
-0.00595116
0.029933939
-0.00962117
0.003845375
-0.00766129
-0.03796363
0
0.00619923
-0.03930317
-0.06678461
0.0992891
-0.05475318
0.081479133
0.226165028
-0.00679916
0.284711252

rf
0.0025375
0.002520833
0.00253125
0.00253125
0.002364583
0.002341667
0.002320833
0.002175
0.00215
0.002145833
0.002147917
0.0021625
0.002172917
0.002177083
0.00219375
0.002208333
0.002214583
0.002216667
0.002204167
0.0021875
0.002191667
0.0022
0.002202083
0.00219375
0.00218125
0.001945833
0.00189375
0.001866667
0.00171875
0.001702083
0.001704167
0.001702083
0.0017125
0.0017
0.001710417
0.001722917

Excess
0.061960217
0.331527424
0.020028225
0.045603527
-0.04101747
-0.05369517
0.067339259
0.190505659
0.117528176
0.240069736
0.059071654
-0.03623018
0.066249373
0.12989664
-0.01890301
-0.02319994
0.028824829
-0.08500534
-0.00026074
0.061882759
-0.00814283
0.027733939
-0.01182325
0.001651625
-0.00984254
-0.03990947
-0.00189375
0.004332564
-0.04102192
-0.06848669
0.097584933
-0.05645526
0.079766633
0.224465028
-0.00850958
0.282988335

Close
4649.0
4878.8
5104.1
4966.5
5191.2
4926.6
4802.6
5052.0
5135.0
5218.9
5425.5
5320.1
5352.2
5190.0
5404.8
5394.8
5489.1
5492.6
5395.8
5632.9
5625.9
5292.8
5526.6
5313.0
5411.0
5588.3
5928.8
5891.5
5790.0
5777.2
5459.0
5699.2
5207.0
5021.6
5239.4
5166.5
5295.9

rm
0.049441272
0.046179388
-0.02695872
0.045243129
-0.05097087
-0.02516949
0.051930204
0.016429137
0.016338851
0.039586886
-0.01942678
0.006033721
-0.0303053
0.041387283
-0.00185021
0.017479795
0.000637627
-0.01762371
0.043941584
-0.0012427
-0.0592083
0.044173216
-0.03864944
0.018445323
0.032766587
0.060930873
-0.00629132
-0.01722821
-0.00221071
-0.05507858
0.044000733
-0.086363
-0.03560592
0.04337263
-0.01391381
0.025045969

rm-rf
0.046903772
0.043658555
-0.02948997
0.042711879
-0.05333546
-0.02751115
0.049609371
0.014254137
0.014188851
0.037441053
-0.0215747
0.003871221
-0.03247821
0.0392102
-0.00404396
0.015271462
-0.00157696
-0.01984038
0.041737418
-0.0034302
-0.06139997
0.041973216
-0.04085152
0.016251573
0.030585337
0.05898504
-0.00818507
-0.01909488
-0.00392946
-0.05678067
0.042296566
-0.08806508
-0.03731842
0.04167263
-0.01562422
0.023323053

Beta

1.304388124

Date
31-12-13
1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

Open

High
4.49
4.52
4.85
5.35
5.25
5.15
5.32
4.89
4.84
5.06
4.98
5.18
5.12
5.15
5.06
4.83
4.78
4.84
4.64
4.35
4.77
4.29
4.75
5.81
5.75

Low
4.52
4.92
5.48
5.63
5.35
5.45
5.33
4.99
5.41
5.29
5.2
5.46
5.21
5.25
5.32
4.98
5.09
5.07
4.68
4.8
4.83
4.77
6.02
5.97
8.13

Close
4.43
4.41
4.79
5.21
4.69
5.005
4.74
4.8
4.81
4.93
4.71
5.09
4.73
4.81
4.715
4.61
4.76
4.55
4.26
4.31
3.94
4.25
4.6
5.425
5.36

4.52
4.83
5.35
5.26
5.15
5.31
4.87
4.88
5.06
5.03
5.18
5.13
5.15
5.11
4.8
4.8
4.83
4.64
4.33
4.76
4.5
4.73
5.8
5.76
7.4

Volume
Adj Close
326200
4.253
218800
4.544
282400
5.087
775200
5.002
235500
4.897
213600
5.049
182400
4.631
157700
4.64
241100
4.873
377600
4.844
280700
4.989
486500
4.941
193400
4.96
134200
4.922
272700
4.678
222500
4.678
125400
4.707
235600
4.522
350200
4.22
229300
4.639
163700
4.385
176500
4.678
1569900
5.736
455500
5.697
471400
7.319

Dividends

Nonimal risk free

0

0.057143

2.61% 0.002172917
2.63%
2.65%
2.66%
2.66%
2.65%

0.064286

2.63%

0
0
0
0
0

2.63%
2.64%
2.64%
2.63%

0
0
0
0
0
0

0.064286
0
0
0

Returns

2.62%
2.34%
2.27%
2.24%
2.06%
2.04%
2.05%
2.04%
2.06%
2.04%
2.05%
2.07%

0.00219375
0.002208333
0.002214583
0.002216667
0.002204167
0.0021875
0.002191667
0.0022
0.002202083
0.00219375
0.00218125
0.001945833
0.00189375
0.001866667
0.00171875
0.001702083
0.001704167
0.001702083
0.0017125
0.0017
0.001710417
0.001722917

Excess

0.06842229 0.066249373
0.12989664
-0.01670926 -0.01890301
-0.0209916 -0.02319994
0.031039412 0.028824829
-0.08278867 -0.08500534
0.001943425 -0.00026074
0.064070259 0.061882759
-0.00595116 -0.00814283
0.029933939 0.027733939
-0.00962117 -0.01182325
0.003845375 0.001651625
-0.00766129 -0.00984254
-0.03796363 -0.03990947
0 -0.00189375
0.00619923 0.004332564
-0.03930317 -0.04102192
-0.06678461 -0.06848669
0.0992891 0.097584933
-0.05475318 -0.05645526
0.081479133 0.079766633
0.226165028 0.224465028
-0.00679916 -0.00850958
0.284711252 0.282988335

2.61% 0.002177083 0.132073724

0
0
0
0
0

0.057143

rf

rm-rf
-3.03
4.14
-0.18
1.75
0.06
-1.76
4.40
-0.12
-5.92
4.42
-3.86
1.84
3.28
6.09
-0.63
-1.72
-0.22
-5.51
4.40
-8.64
-3.56
4.34
-1.39
2.50

rm-rf
-3.032
4.138
-0.182
1.748
0.058
-1.762
4.398
-0.122
-5.922
4.418
-3.862
1.838
3.278
6.088
-0.632
-1.722
-0.222
-5.512
4.398
-8.642
-3.562
4.338
-1.392
2.498

5352.2
5190.0
5404.8
5394.8
5489.1
5492.6
5395.8
5632.9
5625.9
5292.8
5526.6
5313.0
5411.0
5588.3
5928.8
5891.5
5790.0
5777.2
5459.0
5699.2
5207.0
5021.6
5239.4
5166.5
5295.9

-0.0303053
0.041387283
-0.00185021
0.017479795
0.000637627
-0.01762371
0.043941584
-0.0012427
-0.0592083
0.044173216
-0.03864944
0.018445323
0.032766587
0.060930873
-0.00629132
-0.01722821
-0.00221071
-0.05507858
0.044000733
-0.086363
-0.03560592
0.04337263
-0.01391381
0.025045969

-0.03247821
0.0392102
-0.00404396
0.015271462
-0.00157696
-0.01984038
0.041737418
-0.0034302
-0.06139997
0.041973216
-0.04085152
0.016251573
0.030585337
0.05898504
-0.00818507
-0.01909488
-0.00392946
-0.05678067
0.042296566
-0.08806508
-0.03731842
0.04167263
-0.01562422
0.023323053

Beta

0.910047612

Date
31-12-12
31-1-13
28-2-13
28-3-13
30-4-13
31-5-13
28-6-13
31-7-13
30-8-13
30-9-13
31-10-13
29-11-13
31-12-13
31-1-14
28-2-14
31-3-14
30-4-14
30-5-14
30-6-14
31-7-14
29-8-14
30-9-14
31-10-14
28-11-14
31-12-14
30-1-15
27-2-15
31-3-15
30-4-15
29-5-15
30-6-15
31-7-15
31-8-15
30-9-15
30-10-15
30-11-15
31-12-15

Open
4506.0
4648.9
4878.8
5104.1
4966.5
5187.3
4926.6
4802.6
5052.0
5135.0
5218.9
5425.5
5320.0
5352.2
5190.0
5404.8
5394.8
5489.1
5484.1
5395.7
5632.9
5625.9
5292.8
5526.6
5313.0
5411.0
5588.3
5928.8
5891.5
5790.0
5777.2
5459.0
5699.2
5207.0
5021.7
5239.4
5166.5

High
4688.6
4906.2
5112.5
5163.5
5195.1
5249.6
4933.3
5098.5
5168.2
5314.3
5457.3
5439.2
5367.4
5383.4
5461.7
5462.3
5554.5
5541.7
5526.0
5644.2
5679.5
5672.7
5526.6
5550.3
5486.7
5619.5
5955.5
5996.9
5996.4
5901.8
5777.2
5718.9
5727.7
5221.1
5384.8
5313.7
5325.8

Low

Close
4500.2
4648.9
4869.5
4927.9
4883.7
4897.9
4632.3
4702.7
5007.9
5115.1
5118.9
5284.9
5028.2
5158.9
5052.2
5288.5
5350.5
5372.1
5373.6
5370.9
5425.2
5253.1
5122.0
5292.9
5142.8
5267.4
5588.3
5748.7
5749.9
5574.6
5390.5
5383.7
4928.3
4918.4
5021.7
4979.2
4909.6

4649.0
4878.8
5104.1
4966.5
5191.2
4926.6
4802.6
5052.0
5135.0
5218.9
5425.5
5320.1
5352.2
5190.0
5404.8
5394.8
5489.1
5492.6
5395.8
5632.9
5625.9
5292.8
5526.6
5313.0
5411.0
5588.3
5928.8
5891.5
5790.0
5777.2
5459.0
5699.2
5207.0
5021.6
5239.4
5166.5
5295.9

Return (%)
4.94
4.62
-2.70
4.52
-5.10
-2.52
5.19
1.64
1.63
3.96
-1.94
0.60
-3.03
4.14
-0.18
1.75
0.06
-1.76
4.40
-0.12
-5.92
4.42
-3.86
1.84
3.28
6.09
-0.63
-1.72
-0.22
-5.51
4.40
-8.64
-3.56
4.34
-1.39
2.50

0.049441272
0.046179388
-0.02695872
0.045243129
-0.05097087
-0.02516949
0.051930204
0.016429137
0.016338851
0.039586886
-0.01942678
0.006033721
-0.0303053
0.041387283
-0.00185021
0.017479795
0.000637627
-0.01762371
0.043941584
-0.0012427
-0.0592083
0.044173216
-0.03864944
0.018445323
0.032766587
0.060930873
-0.00629132
-0.01722821
-0.00221071
-0.05507858
0.044000733
-0.086363
-0.03560592
0.04337263
-0.01391381
0.025045969

Date
31-12-12
2-1-13
1-2-13
1-3-13
2-4-13
1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13
2-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
2-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

Open
4666
4648.899902
4878.799805
5104.100098
4966.5
5187.299805
4926.600098
4802.600098
5052
5135
5218.899902
5425.5
5320
5352.200195
5190
5404.799805
5394.799805
5489.100098
5484.100098
5395.700195
5632.899902
5625.899902
5292.799805
5526.600098
5313
5411
5588.299805
5928.799805
5891.5
5790
5777.200195
5459
5699.200195
5207
5021.700195
5239.399902
5166.5

High
4666
4906.200195
5112.5
5163.5
5195.100098
5249.600098
4933.299805
5098.5
5168.200195
5314.299805
5457.299805
5439.200195
5367.399902
5383.399902
5461.700195
5462.299805
5554.5
5541.700195
5526
5644.200195
5679.5
5672.700195
5526.600098
5550.299805
5486.700195
5619.5
5955.5
5996.899902
5996.399902
5901.799805
5777.200195
5718.899902
5727.700195
5221.100098
5384.799805
5313.700195
5325.799805

Low
Close
4644.799805
4649
4648.899902 4878.799805
4869.5 5104.100098
4927.899902
4966.5
4883.700195 5191.200195
4897.899902 4926.600098
4632.299805 4802.600098
4702.700195
5052
5007.899902
5135
5115.100098 5218.899902
5118.899902
5425.5
5284.899902 5320.100098
5028.200195 5352.200195
5158.899902
5190
5052.200195 5404.799805
5288.5 5394.799805
5350.5 5489.100098
5372.100098
5492.5
5373.600098 5395.700195
5370.899902 5632.899902
5425.200195 5625.899902
5253.100098 5292.799805
5122 5526.600098
5292.899902
5313
5142.799805
5411
5267.399902 5588.299805
5588.299805 5928.799805
5748.700195
5891.5
5749.899902
5790
5574.600098 5777.200195
5390.5
5459
5383.700195 5699.200195
4928.299805
5207
4918.399902 5021.600098
5021.700195 5239.399902
4979.200195
5166.5
4909.600098 5295.899902

Volume
0
0
0
0
0
0
0
108600500
717313000
651340500
541669500
622997300
634746500
519725200
734607100
703314200
588012300
610837600
648226000
550377700
643462700
621233300
658152900
579617900
254562800
0
0
0
0
0
0
0
0
34574500
0
0
0

Adj Close
4649
4878.799805
5104.100098
4966.5
5191.200195
4926.600098
4802.600098
5052
5135
5218.899902
5425.5
5320.100098
5352.200195
5190
5404.799805
5394.799805
5489.100098
5492.5
5395.700195
5632.899902
5625.899902
5292.799805
5526.600098
5313
5411
5588.299805
5928.799805
5891.5
5790
5777.200195
5459
5699.200195
5207
5021.600098
5239.399902
5166.5
5295.899902

Linear Regression
Regression Statistics
R
R-square
Adjusted R-square
S
N

0.48357
0.23384
0.2113
0.08961
36

Excess = 0.04253 + 1.30439 * rm-rf

ANOVA
d.f.

SS
0.08333
0.27304
0.35637

MS
0.08333
0.00803

F
10.37708

p-level
0.00281

Coefficient
Standard Error
0.04253
0.01496
Intercept
1.30439
0.40492
rm-rf
2.03224
T (5%)
LCL - Lower value of a reliable interval (LCL)
UCL - Upper value of a reliable interval (UCL)

LCL
0.01212
0.48149

UCL
0.07294
2.12728

t Stat
2.8424
3.22135

1
34
35

Regression
Residual
Total

Residuals
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

Excess
0.06196
0.33153
0.02003
0.0456
-0.04102
-0.0537
0.06734
0.19051
0.11753
0.24007
0.05907
-0.03623
0.06625
0.1299
-0.0189
-0.0232
0.02882
-0.08501
-0.00026
0.06188
-0.00814
0.02773
-0.01182
0.00165
-0.00984
-0.03991
-0.00189
0.00433
-0.04102
-0.06849
0.09758

Predicted Y
0.10371
0.09948
0.00406
0.09824
-0.02704
0.00664
0.10724
0.06112
0.06104
0.09137
0.01439
0.04758
0.00016
0.09367
0.03725
0.06245
0.04047
0.01665
0.09697
0.03805
-0.03756
0.09728
-0.01076
0.06373
0.08242
0.11947
0.03185
0.01762
0.0374
-0.03154
0.0977

Residual
Standardized Studentized
-0.04175
-0.46588
-0.48272
0.23205
2.58948
2.67492
0.01597
0.17817
0.18263
-0.05264
-0.58739
-0.60626
-0.01398
-0.15596
-0.16356
-0.06034
-0.67332
-0.6893
-0.0399
-0.44524
-0.4626
0.12938
1.44381
1.46653
0.05649
0.6304
0.64031
0.1487
1.6594
1.70531
0.04468
0.49864
0.50875
-0.08381
-0.93522
-0.94852
0.06609
0.73745
0.75754
0.03622
0.40421
0.41597
-0.05616
-0.62666
-0.63581
-0.08565
-0.95576
-0.97106
-0.01165
-0.12997
-0.13183
-0.10165
-1.13437
-1.15638
-0.09723
-1.08501
-1.11892
0.02383
0.26591
0.26977
0.02942
0.32828
0.34805
-0.06954
-0.77605
-0.80046
-0.00107
-0.01189
-0.0123
-0.06208
-0.6927
-0.70399
-0.09227
-1.02961
-1.05316
-0.15938
-1.77851
-1.86808
-0.03375
-0.37657
-0.38235
-0.01329
-0.14829
-0.15112
-0.07842
-0.87515
-0.88792
-0.03695
-0.41234
-0.43436
-0.00011
-0.00128
-0.00132

32
33
34
35
36
Minimum
Maximum
Mean

-0.05646
0.07977
0.22447
-0.00851
0.28299
-0.08501
0.33153
0.04541

-0.07234
-0.00615
0.09689
0.02215
0.07295
-0.07234
0.11947
0.04541

0.01589
0.08592
0.12758
-0.03066
0.21004
-0.15938
0.23205
0

Residuals vs Predicted Y

Residuals

Scatter Diagram (Predicted Y, Excess vs. rm-rf )

0.17729
0.95874
1.42367
-0.34212
2.34383
-1.77851
2.58948
0

0.19749
0.9887
1.46807
-0.34813
2.38829
-1.86808
2.67492
0.00006

+ 1.30439 * rm-rf

p-level
0.00752
0.00281

Deleted t
-0.47721
2.96577
0.18001
-0.60053
-0.1612
-0.68388
-0.45719
1.49279
0.63466
1.75686
0.50313
-0.94708
0.7527
0.41086
-0.63014
-0.97022
-0.12991
-1.16233
-1.12321
0.26606
0.34351
-0.79614
-0.01212
-0.69867
-1.0549
-1.94281
-0.37749
-0.14893
-0.88508
-0.42912
-0.0013

H0 (5%)
rejected
rejected

Leverage
0.06857
0.06286
0.04829
0.06128
0.09076
0.04581
0.07366
0.03074
0.03071
0.05313
0.03932
0.02783
0.05234
0.05574
0.02858
0.03126
0.02807
0.0377
0.05968
0.02843
0.11038
0.06007
0.06563
0.03181
0.04422
0.0936
0.02998
0.03704
0.02855
0.09882
0.06059

Cook's D
0.00858
0.23998
0.00085
0.012
0.00134
0.0114
0.00851
0.03411
0.00649
0.08158
0.0053
0.01288
0.01585
0.00511
0.00595
0.01522
0.00025
0.02619
0.03973
0.00106
0.00752
0.02047
5.31364E-6
0.00814
0.02566
0.18018
0.00226
0.00044
0.01158
0.01034
5.62313E-8

DFIT
-0.12948
0.76812
0.04055
-0.15343
-0.05093
-0.14984
-0.12892
0.26585
0.11297
0.41615
0.10179
-0.16025
0.17689
0.09982
-0.10808
-0.17429
-0.02208
-0.23007
-0.28298
0.04551
0.121
-0.20126
-0.00321
-0.12663
-0.22691
-0.62432
-0.06637
-0.02921
-0.15172
-0.1421
-0.00033

PRESS
-0.04482
0.24762
0.01678
-0.05607
-0.01537
-0.06324
-0.04307
0.13349
0.05828
0.15705
0.04651
-0.08621
0.06973
0.03836
-0.05781
-0.08841
-0.01198
-0.10564
-0.1034
0.02453
0.03307
-0.07399
-0.00114
-0.06411
-0.09654
-0.17584
-0.03479
-0.0138
-0.08073
-0.041
-0.00012

0.19468
0.98836
1.49447
-0.34359
2.57917
-1.94281
2.96577
0.01472

0.19415
0.05967
0.05958
0.03427
0.03688
0.02783
0.19415
0.05556

0.0047
0.03102
0.06827
0.00215
0.10922
5.62313E-8
0.23998
0.02818

0.09556
0.24898
0.37616
-0.06472
0.50472
-0.62432
0.76812
0.00408

0.01972
0.09137
0.13566
-0.03175
0.21808
-0.17584
0.24762
0.00001

-0.04174899
0.232051242
0.015966109
-0.05263782
-0.01397582
-0.06033843
-0.0398991
0.12938425
0.056491926
0.148703589
0.044684952
-0.08380824
0.066085085
0.036222839
-0.0561566
-0.08564833
-0.01164669
-0.10165427
-0.09723102
0.023828588
0.029418085
-0.06954391
-0.00106549
-0.06207521
-0.09226617
-0.15937733
-0.03374572
-0.01328879
-0.07842486
-0.03695114
-0.00011469
0.015887302
0.085915849
0.127579262
-0.03065801
0.21003754

0.103709205
0.099476182
0.004062116
0.098241349
-0.02704166
0.006643258
0.107238356
0.061121409
0.061036251
0.091366146
0.014386702
0.047578057
0.000164288
0.093673801
0.037253592
0.062448395
0.040471519
0.016648928
0.096970274
0.038054171
-0.03756091
0.097277847
-0.01075776
0.06372684
0.082423632
0.119467868
0.031851969
0.017621351
0.037402943
-0.03153555
0.09769962
-0.07234256
-0.00614922
0.096885766
0.02214843
0.072950795

-0.04174899
0.232051242
0.015966109
-0.05263782
-0.01397582
-0.06033843
-0.0398991
0.12938425
0.056491926
0.148703589
0.044684952
-0.08380824
0.066085085
0.036222839
-0.0561566
-0.08564833
-0.01164669
-0.10165427
-0.09723102
0.023828588
0.029418085
-0.06954391
-0.00106549
-0.06207521
-0.09226617
-0.15937733
-0.03374572
-0.01328879
-0.07842486
-0.03695114
-0.00011469
0.015887302
0.085915849
0.127579262
-0.03065801
0.21003754

0.103709205
0.099476182
0.004062116
0.098241349
-0.02704166
0.006643258
0.107238356
0.061121409
0.061036251
0.091366146
0.014386702
0.047578057
0.000164288
0.093673801
0.037253592
0.062448395
0.040471519
0.016648928
0.096970274
0.038054171
-0.03756091
0.097277847
-0.01075776
0.06372684
0.082423632
0.119467868
0.031851969
0.017621351
0.037402943
-0.03153555
0.09769962
-0.07234256
-0.00614922
0.096885766
0.02214843
0.072950795

0.046903772
0.043658555
-0.02948997
0.042711879
-0.05333546
-0.02751115
0.049609371
0.014254137
0.014188851
0.037441053
-0.0215747
0.003871221
-0.03247821
0.0392102
-0.00404396
0.015271462
-0.00157696
-0.01984038
0.041737418
-0.0034302
-0.06139997
0.041973216
-0.04085152
0.016251573
0.030585337
0.05898504
-0.00818507
-0.01909488
-0.00392946
-0.05678067
0.042296566
-0.08806508
-0.03731842
0.04167263
-0.01562422
0.023323053

0.061960217
0.331527424
0.020028225
0.045603527
-0.04101747
-0.05369517
0.067339259
0.190505659
0.117528176
0.240069736
0.059071654
-0.03623018
0.066249373
0.12989664
-0.01890301
-0.02319994
0.028824829
-0.08500534
-0.00026074
0.061882759
-0.00814283
0.027733939
-0.01182325
0.001651625
-0.00984254
-0.03990947
-0.00189375
0.004332564
-0.04102192
-0.06848669
0.097584933
-0.05645526
0.079766633
0.224465028
-0.00850958
0.282988335

0.046903772
0.043658555
-0.02948997
0.042711879
-0.05333546
-0.02751115
0.049609371
0.014254137
0.014188851
0.037441053
-0.0215747
0.003871221
-0.03247821
0.0392102
-0.00404396
0.015271462
-0.00157696
-0.01984038
0.041737418
-0.0034302
-0.06139997
0.041973216
-0.04085152
0.016251573
0.030585337
0.05898504
-0.00818507
-0.01909488
-0.00392946
-0.05678067
0.042296566
-0.08806508
-0.03731842
0.04167263
-0.01562422
0.023323053

BGA
Date
Open
High
12/1/2012
2.02
1-1-13
1.935
1-2-13
2.09
1-3-13
2.6
1-4-13
2.7
1-5-13
2.84
3-6-13
2.72
1-7-13
2.58
1-8-13
2.76
2-9-13
3.18
1-10-13
3.53
1-11-13
4.85
2-12-13
4.7
1-1-14
4.52
3-2-14
4.85
3-3-14
5.35
1-4-14
5.25
1-5-14
5.15
2-6-14
5.32
1-7-14
4.89
1-8-14
4.84
1-9-14
5.06
1-10-14
4.98
3-11-14
5.18
1-12-14
5.12
1-1-15
5.15
2-2-15
5.06
2-3-15
4.83
1-4-15
4.78
1-5-15
4.84
1-6-15
4.64
1-7-15
4.35
3-8-15
4.77
1-9-15
4.29
1-10-15
4.75
2-11-15
5.81
1-12-15
5.75
BOQ
Date
3-12-12
1-1-13
1-2-13
1-3-13
1-4-13
1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13

Low
2.02
2.2
2.69
2.74
2.9
2.99
2.75
2.83
3.2
3.56
4.54
5.15
4.71
4.92
5.48
5.63
5.35
5.45
5.33
4.99
5.41
5.29
5.2
5.46
5.21
5.25
5.32
4.98
5.09
5.07
4.68
4.8
4.83
4.77
6.02
5.97
8.13

Close
1.93
1.89
2.07
2.48
2.6
2.7
2.51
2.5
2.66
3.1
3.41
4.33
4.3
4.41
4.79
5.21
4.69
5.005
4.74
4.8
4.81
4.93
4.71
5.09
4.73
4.81
4.715
4.61
4.76
4.55
4.26
4.31
3.94
4.25
4.6
5.425
5.36

1.935
2.06
2.64
2.7
2.83
2.72
2.58
2.76
3.17
3.55
4.41
4.68
4.52
4.83
5.35
5.26
5.15
5.31
4.87
4.88
5.06
5.03
5.18
5.13
5.15
5.11
4.8
4.8
4.83
4.64
4.33
4.76
4.5
4.73
5.8
5.76
7.4

Volume
Adj Close
Dividends
106400
1.752
117200
1.865
0
168100
2.438
0.05
138900
2.493
0
126800
2.613
0
138500
2.512
0
74800
2.383
0
152300
2.549
0
283200
2.983 0.057143
223700
3.34
0
1194900
4.149
0
677700
4.403
0
202500
4.253
0
218800
4.544
0
282400
5.087 0.057143
775200
5.002
0
235500
4.897
0
213600
5.049
0
182400
4.631
0
157700
4.64
0
241100
4.873 0.064286
377600
4.844
0
280700
4.989
0
486500
4.941
0
193400
4.96
0
134200
4.922
0
272700
4.678 0.057143
222500
4.678
0
125400
4.707
0
235600
4.522
0
350200
4.22
0
229300
4.639
0
163700
4.385
0
176500
4.678 0.064286
1569900
5.736
0
455500
5.697
0
471400
7.319
0

Open
High
Low
Close
Volume
Adj Close
Dividends
6.93229
7.28678
6.84366
7.23754
805700
5.48218
7.23754
8.18285
7.23754
8.09423
1394600
6.13109
0
8.13362
9.30541
8.12377
8.96077
1592800
6.78746
0
8.96077
9.6599
8.82783
9.50235
1363600
7.19769
0
9.50235
9.92577
9.1774
9.87654
1445900
7.48112
0
9.847
9.92577
8.57673
8.66536
3866100
6.84366
0.4
8.56689
8.72444
7.95637
8.57673
1896000
6.77366
0
8.57673
9.43342
8.41918
9.37434
1422100
7.40359
0
9.43342
9.73868
9.20694
9.45312
1332200
7.46581
0
9.47281
10.8415
9.45312
10.6348
1404600
8.39907
0
10.6348
11.8952
10.103
11.8952
2133900
9.39449
0
11.9149
12.5648
11.4619
11.9838
3958000
9.81579
0.428571
12.0626
12.1857
11.1074
11.974
1140300
9.80777
0

1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15
PBG
Date
1-12-12
1-1-13
1-2-13
1-3-13
1-4-13
1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13
1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15

11.974
11.1468
11.8066
12.6534
12.3
12.09
12.23
12.42
12.59
11.6
12.2
12.31
12.18
12.5
13.95
13.73
13.02
13.13
12.8
13.78
12.53
11.71
13.08
13.55

Open

12.3481
12.0133
12.8011
13.25
12.31
12.5
12.65
12.64
12.91
12.7
12.49
12.7
12.66
14.36
14.73
14.24
13.85
13.26
13.8
13.92
12.67
13.92
14.5
13.69

High
0.605
0.62
0.7
0.79
0.86
0.865
0.765
0.705
0.82
0.76
0.76
0.7
0.66
0.64
0.61
0.545
0.53
0.51
0.565
0.545
0.56
0.525
0.485
0.47
0.51
0.54
0.48
0.475
0.46
0.435

11.1566
10.6151
11.6096
12.13
11.86
11.95
12.02
11.64
11.51
11.45
12.04
11.65
11.61
12.46
13.41
12.8
12.87
12.27
12.72
11.58
11.39
11.5
12.71
13.33

Low
0.62
0.72
0.847
0.9
0.95
0.89
0.765
0.85
0.855
0.81
0.77
0.735
0.665
0.65
0.745
0.57
0.545
0.58
0.587
0.587
0.6
0.54
0.5
0.53
0.54
0.54
0.5
0.485
0.4775
0.45

11.2256
11.8066
12.6534
12.26
12
12.19
12.54
12.58
11.64
12.61
12.32
12.18
12.51
13.96
13.79
13.02
13.25
12.77
13.75
12.67
11.61
13.07
13.66
13.6

Close
0.605
0.58
0.7
0.765
0.81
0.71
0.66
0.705
0.717
0.725
0.68
0.645
0.59
0.6
0.56
0.51
0.49
0.495
0.495
0.525
0.505
0.455
0.42
0.45
0.465
0.465
0.45
0.42
0.42
0.387

0.62
0.7
0.79
0.86
0.86
0.765
0.7
0.825
0.76
0.755
0.705
0.655
0.64
0.615
0.56
0.53
0.505
0.565
0.545
0.565
0.53
0.485
0.47
0.52
0.54
0.49
0.475
0.46
0.435
0.415

848500
1336600
1326200
1408000
1391800
1218800
1193100
1753500
1519000
1603700
1412000
1222100
1175600
1709100
1723400
1564100
1284500
1164100
1377100
1810800
1530500
1920100
1895300
4510800

9.19476
9.67065
10.36425
10.40513
10.18446
10.34572
10.64276
10.67671
9.87893
10.70217
10.87492
10.75134
11.04263
12.32255
12.17249
11.9324
12.14319
11.70328
12.60142
11.61164
10.64018
12.47972
13.04308
12.98579

0
0
0
0.457143
0
0
0
0
0
0
0.4857
0
0
0
0
0.514286
0
0
0
0
0
0.5429
0
0

Volume
Adj Close
Return
612400
0.52997
2056600
0.59836 0.12904504
5134300
0.70604 0.17995855
4176000
0.7686 0.08860688
3049700
0.7686
0
4080700
0.68369 -0.11047359
2714800
0.6256 -0.08496541
1724800
0.73732 0.17858056
2258900
0.71319 -0.03272663
2737100
0.70849 -0.00659011
1835100
0.66157 -0.06622535
1866700
0.61465 -0.0709222
2576500
0.60058 -0.02289108
2320700
0.57712 -0.03906224
5985700
0.52551 -0.08942681
4227100
0.51725 -0.01571806
2770300
0.49285 -0.04717255
2944700
0.55141 0.11881911
4096000
0.53189 -0.03540016
2437800
0.55141 0.03669932
3703400
0.51725 -0.06195027
2826200
0.47333 -0.08491058
2473600
0.45869 -0.0309298
1625500
0.50749 0.10638994
1731400
0.52701 0.03846381
1200100
0.47821 -0.09259786
1691200
0.46357 -0.03061417
1839000
0.44893 -0.03158099
1362000
0.42453 -0.05435146
1307100
0.40502 -0.04595671

1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

0.405
0.325
0.42
0.585
0.705
0.725
0.685

0.41
0.49
0.595
0.747
0.76
0.78
0.792

0.315
0.315
0.38
0.575
0.64
0.66
0.672

0.32
0.42
0.595
0.71
0.72
0.67
0.79

3604400
3294900
3209900
6176600
2650300
2092900
2556400

0.3123
0.40989
0.58068
0.69292
0.70268
0.65388
0.77099

-0.22892697
0.31248799
0.41667277
0.19329062
0.01408532
-0.0694484
0.17910014

MYX
1-12-12
1-1-13
1-2-13
1-3-13
1-4-13
1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13
1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15
CTX
Date
1-12-12
1-1-13
1-2-13
1-3-13
1-4-13

Price (Close)returns
0.29133
0.35931 0.23334363
0.38359 0.06757396
0.46613 0.21517766
0.40301 -0.13541287
0.41272 0.0240937
0.41758 0.01177554
0.54868 0.31395182
0.54382 -0.00885762
0.62636 0.15177816
0.68949 0.10078868
0.72833 0.05633149
0.71862 -0.01333187
0.71376 -0.00676296
0.89827 0.25850426
0.9177 0.02163047
0.82544 -0.10053394
0.89827 0.08823173
0.82544 -0.08107807
0.84486 0.02352685
0.76718 -0.09194423
0.73804 -0.03798326
0.73804
0
0.63122 -0.1447347
0.63122
0
0.60694 -0.03846519
0.925 0.52403862
0.955 0.03243243
1.08 0.13089005
1.13 0.0462963
0.985 -0.12831858
1.17 0.18781726
1.105 -0.05555556
1.025 -0.07239819
1.025
0
1.285 0.25365854
1.41 0.09727627

Open

High
18.42
19.21
19.1
19.84
21.35

Nominal risk free

Low
19.8
20.35
19.95
23.19
21.98

Excess

3.05%
3.03%
3.04%
3.04%
2.84%
2.81%
2.79%
2.61%
2.58%
2.58%
2.58%
2.60%
2.61%
2.61%
2.63%
2.65%
2.66%
2.66%
2.65%
2.63%
2.63%
2.64%
2.64%
2.63%
2.62%
2.34%
2.27%
2.24%
2.06%
2.04%
2.05%
2.04%
2.06%
2.04%
2.05%
2.07%

0.0025375
0.00252083
0.00253125
0.00253125
0.00236458
0.00234167
0.00232083
0.002175
0.00215
0.00214583
0.00214792
0.0021625
0.00217292
0.00217708
0.00219375
0.00220833
0.00221458
0.00221667
0.00220417
0.0021875
0.00219167
0.0022
0.00220208
0.00219375
0.00218125
0.00194583
0.00189375
0.00186667
0.00171875
0.00170208
0.00170417
0.00170208
0.0017125
0.0017
0.00171042
0.00172292

19.21
19.42
19.95
21.35
21.54

Volume
Adj Close
Dividends
492900
17.014
0
451500
17.2
0
1111100
17.669
0
1170800
19.211
0.328571
789100
19.382
0

Close
17.87
18.52
17.71
19.71
19.75

rf

0.23080613
0.06505313
0.21264641
-0.13794412
0.02172911
0.00943387
0.31163098
-0.01103262
0.14962816
0.09864285
0.05418358
-0.01549437
-0.00893588
0.25632718
0.01943672
-0.10274228
0.08601715
-0.08329474
0.02132268
-0.09413173
-0.04017493
-0.0022
-0.14693679
-0.00219375
-0.04064644
0.52209279
0.03053868
0.12902339
0.04457755
-0.13002067
0.18611309
-0.05725764
-0.07411069
-0.0017
0.25194812
0.09555335

1-5-13
3-6-13
1-7-13
1-8-13
2-9-13
1-10-13
1-11-13
2-12-13
1-1-14
3-2-14
3-3-14
1-4-14
1-5-14
2-6-14
1-7-14
1-8-14
1-9-14
1-10-14
3-11-14
1-12-14
1-1-15
2-2-15
2-3-15
1-4-15
1-5-15
1-6-15
1-7-15
3-8-15
1-9-15
1-10-15
2-11-15
1-12-15

21.41
22.48
17.81
19.07
19.67
18.62
18.48
19.16
20.05
19.3
21.02
21.94
22.42
22.32
21.53
24.75
28.55
28.1
31.12
29.95
34.21
33.4
37.2
34.93
35.71
33.7
32
34.7
31.97
31.8
31.6
34.49

23.77
22.54
19.76
19.5
20.15
19.355
19.49
20.09
20.5
21.58
22.16
22.99
22.79
22.52
24.91
28.54
29.27
31.25
32.69
35.16
35.48
37.7
38.81
36.15
35.96
34.2
35
34.7
32.35
34.29
34.85
34.8

20.87
17.1
17.2
17.73
18.2
18
18.25
16.8
18.5
18.89
20.99
21
21.57
21.07
21.36
24.24
27.94
27.45
30.03
29.05
32.47
33.1
33.95
34.2
32.01
30.76
31.53
29.27
29.32
31
30.26
34.31

22.48
18.05
18.71
18.91
18.49
18.53
19.05
20.05
19.32
20.98
22.09
22.27
22.35
21.57
24.71
28.49
27.99
31.04
30.25
34.21
33.42
36.84
34.95
35.43
33.7
31.85
34.55
31.88
31.28
31.6
34.32
34.42

612600
933600
773900
694200
753300
659200
591100
780000
437900
599000
607100
522900
509400
674500
589900
790000
595000
708100
847500
682800
550100
594900
8569800
3156200
1869700
1604300
1265800
1500800
1258700
912300
950200
2277200

20.228
16.242
16.836
17.016
16.843
16.88
17.354
18.264
17.599
19.112
20.353
20.519
20.593
19.874
22.767
26.25
26.045
28.883
28.148
31.833
31.098
34.28
33.133
33.588
31.948
30.194
32.754
30.223
30.316
30.626
33.262
33.359

0
0
0
0
0.2422857
0
0
0
0
0
0.242857
0
0
0
0
0
0.285714
0
0
0
0
0
0.714286
0
0
0
0
0
0.671428
0
0
0

Nominal risk free

0.06449772
0.33404826
0.02255947
0.04813478
-0.03865289
-0.0513535
0.06966009
0.19268066
0.11967818
0.24221557
0.06121957
-0.03406768
0.06842229
0.13207372
-0.01670926
-0.0209916
0.03103941
-0.08278867
0.00194342
0.06407026
-0.00595116
0.02993394
-0.00962117
0.00384538
-0.00766129
-0.03796363
0
0.00619923
-0.03930317
-0.06678461
0.0992891
-0.05475318
0.08147913
0.22616503
-0.00679916
0.28471125

3.05%
3.03%
3.04%
3.04%
2.84%
2.81%
2.79%
2.61%
2.58%
2.58%
2.58%
2.60%
2.61%
2.61%
2.63%
2.65%
2.66%
2.66%
2.65%
2.63%
2.63%
2.64%
2.64%
2.63%
2.62%
2.34%
2.27%
2.24%
2.06%
2.04%
2.05%
2.04%
2.06%
2.04%
2.05%
2.07%

Returns
0.11836757
0.10705651
0.060439
0.03937868
-0.082132
-0.01022808
0.09299698
0.00840379
0.12500423
0.11851657
0.04347729
-0.00081777

Return

rf
0.0025375
0.00252083
0.00253125
0.00253125
0.00236458
0.00234167
0.00232083
0.002175
0.00215
0.00214583
0.00214792
0.0021625
0.00217292
0.00217708
0.00219375
0.00220833
0.00221458
0.00221667
0.00220417
0.0021875
0.00219167
0.0022
0.00220208
0.00219375
0.00218125
0.00194583
0.00189375
0.00186667
0.00171875
0.00170208
0.00170417
0.00170208
0.0017125
0.0017
0.00171042
0.00172292

Risk Free RatExcess ReturASX 200

0.0025375
0.00252083
0.00253125
0.00253125
0.00236458
0.00234167
0.00232083
0.002175
0.00215
0.00214583
0.00214792
0.0021625

0.11583007
0.10453568
0.05790775
0.03684743
-0.08449659
-0.01256975
0.09067615
0.00622879
0.12285423
0.11637074
0.04132937
-0.00298027

0.04942994
0.04617945
-0.02695874
0.04524317
-0.05097089
-0.02516949
0.05193018
0.01642914
0.01633883
0.03958691
-0.01942676
0.00603374

Excess
0.06196022
0.33152742
0.02002822
0.04560353
-0.04101747
-0.05369517
0.06733926
0.19050566
0.11752818
0.24006974
0.05907165
-0.03623018
0.06624937
0.12989664
-0.01890301
-0.02319994
0.02882483
-0.08500534
-0.00026074
0.06188276
-0.00814283
0.02773394
-0.01182325
0.00165163
-0.00984254
-0.03990947
-0.00189375
0.00433256
-0.04102192
-0.06848669
0.09758493
-0.05645526
0.07976663
0.22446503
-0.00850958
0.28298833

Mean
0.04540593
Annualized m 0.70380348
STDEV
0.10090583
Annualized S 0.34954804

ASX200
Mean
0.00415247
Annualized M 0.05098352
StDev
0.03738647
Annualized S 0.12951054

rm-rf

Nominal risk free rate

3.12
0.04689244
3.05
0.04365862
3.03
-0.02948999
3.04
0.04271192
3.04
-0.05333547
2.84
-0.02751115
2.81
0.04960935
2.79
0.01425414
2.61
0.01418883
2.58
0.03744107
2.58
-0.02157468
2.58
0.00387124
2.6

Mean
Annualized m
Stdev
Annualized S

-0.06250209
0.0517567
0.0717226
0.00503762
-0.02120718
0.01583333
0.02871206
0.00318979
-0.07472178
0.08333333
0.01551943
-0.01136364
0.0270936
0.11590727
-0.01217765
-0.01854344
0.01766513
-0.03622642
0.07674237
-0.07854546
-0.08366219
0.17251507
0.04514155
-0.00439239

0.00217292
0.00217708
0.00219375
0.00220833
0.00221458
0.00221667
0.00220417
0.0021875
0.00219167
0.0022
0.00220208
0.00219375
0.00218125
0.00194583
0.00189375
0.00186667
0.00171875
0.00170208
0.00170417
0.00170208
0.0017125
0.0017
0.00171042
0.00172292

-0.06467501
0.04957962
0.06952885
0.00282929
-0.02342176
0.01361667
0.02650789
0.00100229
-0.07691345
0.08113333
0.01331735
-0.01355739
0.02491235
0.11396144
-0.0140714
-0.0204101
0.01594638
-0.0379285
0.0750382
-0.08024754
-0.08537469
0.17081507
0.04343113
-0.0061153

-0.03030533
0.04138725
-0.00185021
0.01747985
0.00061939
-0.017624
0.04396088
-0.0012427
-0.05920832
0.04417327
-0.03864946
0.01844532
0.03276655
0.06093088
-0.00629129
-0.01722821
-0.00221067
-0.05507862
0.04400077
-0.08636303
-0.0356059
0.04337259
-0.01391379
0.01927806

-0.03247825
0.03921016
-0.00404396
0.01527152
-0.00159519
-0.01984066
0.04175671
-0.0034302
-0.06139999
0.04197327
-0.04085154
0.01625157
0.0305853
0.05898504
-0.00818504
-0.01909488
-0.00392942
-0.0567807
0.0422966
-0.08806511
-0.0373184
0.04167259
-0.01562421
0.01755514

2.61
2.61
2.63
2.65
2.66
2.66
2.65
2.63
2.63
2.64
2.64
2.63
2.62
2.34
2.27
2.24
2.06
2.04
2.05
2.04
2.06
2.04
2.05
2.07

Nominal Risk ASX200

rm
rf
Excess
rm-rf
4649
3.05% 4878.79981 0.04942994 0.0025375 0.12650754 0.04689244
3.03% 5104.1001 0.04617945 0.00252083 0.17743772 0.04365862
3.04%
4966.5 -0.02695874 0.00253125 0.08607563 -0.02948999
3.04% 5191.2002 0.04524317 0.00253125 -0.00253125 0.04271192
2.84% 4926.6001 -0.05097089 0.00236458 -0.11283817 -0.05333547
2.81% 4802.6001 -0.02516949 0.00234167 -0.08730707 -0.02751115
2.79%
5052 0.05193018 0.00232083 0.17625973 0.04960935
2.61%
5135 0.01642914
0.002175 -0.03490163 0.01425414
2.58% 5218.8999 0.01633883
0.00215 -0.00874011 0.01418883
2.58%
5425.5 0.03958691 0.00214583 -0.06837119 0.03744107
2.58% 5320.1001 -0.01942676 0.00214792 -0.07307012 -0.02157468
2.60% 5352.2002 0.00603374 0.0021625 -0.02505358 0.00387124
2.61%
5190 -0.03030533 0.00217292 -0.04123516 -0.03247825
2.61% 5404.79981 0.04138725 0.00217708 -0.09160389 0.03921016
2.63% 5394.79981 -0.00185021 0.00219375 -0.01791181 -0.00404396
2.65% 5489.1001 0.01747985 0.00220833 -0.04938088 0.01527152
2.66%
5492.5 0.00061939 0.00221458 0.11660453 -0.00159519
2.66% 5395.7002 -0.017624 0.00221667 -0.03761682 -0.01984066
2.65% 5632.8999 0.04396088 0.00220417 0.03449515 0.04175671
2.63% 5625.8999 -0.0012427 0.0021875 -0.06413777 -0.0034302
2.63% 5292.79981 -0.05920832 0.00219167 -0.08710225 -0.06139999
2.64% 5526.6001 0.04417327
0.0022 -0.0331298 0.04197327
2.64%
5313 -0.03864946 0.00220208 0.10418785 -0.04085154
2.63%
5411 0.01844532 0.00219375 0.03627006 0.01625157
2.62% 5588.29981 0.03276655 0.00218125 -0.09477911 0.0305853
2.34% 5928.79981 0.06093088 0.00194583
-0.03256 0.05898504
2.27%
5891.5 -0.00629129 0.00189375 -0.03347474 -0.00818504
2.24%
5790 -0.01722821 0.00186667 -0.05621812 -0.01909488
2.06% 5777.2002 -0.00221067 0.00171875 -0.04767546 -0.00392942

Mean
Annualized m
StDev
Annualized S

2.04%
2.05%
2.04%
2.06%
2.04%
2.05%
2.07%

5459
5699.2002
5207
5021.6001
5239.3999
5166.5
5295.8999

Close
4649.0
4878.8
5104.1
4966.5
5191.2
4926.6
4802.6
5052.0
5135.0
5218.9
5425.5
5320.1
5352.2
5190.0
5404.8
5394.8
5489.1
5492.6
5395.8
5632.9
5625.9
5292.8
5526.6
5313.0
5411.0
5588.3
5928.8
5891.5
5790.0
5777.2
5459.0
5699.2
5207.0
5021.6
5239.4
5166.5
5295.9

Returns

-0.05507862
0.04400077
-0.08636303
-0.0356059
0.04337259
-0.01391379
0.02504595

0.00170208
0.00170417
0.00170208
0.0017125
0.0017
0.00171042
0.00172292

rm

rm-rf

0.04944127
0.04617939
-0.02695872
0.04524313
-0.05097087
-0.02516949
0.0519302
0.01642914
0.01633885
0.03958689
-0.01942678
0.00603372
-0.0303053
0.04138728
-0.00185021
0.0174798
0.00063763
-0.01762371
0.04394158
-0.0012427
-0.0592083
0.04417322
-0.03864944
0.01844532
0.03276659
0.06093087
-0.00629132
-0.01722821
-0.00221071
-0.05507859
0.04400073
-0.086363
-0.03560592
0.04337263
-0.01391381
0.02504597

0.04690377
0.04365856
-0.02948997
0.04271188
-0.05333546
-0.02751116
0.04960937
0.01425414
0.01418885
0.03744105
-0.0215747
0.00387122
-0.03247821
0.0392102
-0.00404396
0.01527146
-0.00157696
-0.01984038
0.04173742
-0.0034302
-0.06139997
0.04197322
-0.04085152
0.01625157
0.03058534
0.05898504
-0.00818507
-0.01909488
-0.00392946
-0.05678067
0.04229657
-0.08806508
-0.03731842
0.04167263
-0.01562422
0.02332305

Risk Free RatExcess ReturASX 200

0.01093181 0.0025375 0.00839431 0.04942994

0.02729145 0.00252083 0.02477062 0.04617945
0.08664516 0.00253125 0.08411391 -0.02695874
0.0088993 0.00253125 0.00636805 0.04524317

-0.23062905
0.31078383
0.41497068
0.19157812
0.01238532
-0.07115881
0.17737722

-0.0567807
0.0422966
-0.08806511
-0.0373184
0.04167259
-0.01562421
0.02332303

Mean
Annualized m
StDev
Annualized S

rm-rf
0.04689244
0.04365862
-0.02948999
0.04271192

3.12
3.05
3.03
3.04
3.04

Mean
Annualized m

0.04363974
-0.19706406
0.0365651
0.01068947
-0.0093979
0.00216333
0.0280626
0.05249344
-0.03640898
0.08592133
0.06448317
0.00814848
0.00359228
-0.03489933
0.14557255
0.1529745
-0.00752145
0.10896749
-0.02545103
0.13090909
-0.02309266
0.10233393
-0.03191406
0.01373391
-0.04882868
-0.05489614
0.08477237
-0.07727931
0.00224053
0.01023018
0.08607595
0.00291375

0.00236458
0.00234167
0.00232083
0.002175
0.00215
0.00214583
0.00214792
0.0021625
0.00217292
0.00217708
0.00219375
0.00220833
0.00221458
0.00221667
0.00220417
0.0021875
0.00219167
0.0022
0.00220208
0.00219375
0.00218125
0.00194583
0.00189375
0.00186667
0.00171875
0.00170208
0.00170417
0.00170208
0.0017125
0.0017
0.00171042
0.00172292

0.04127516
-0.19940572
0.03424426
0.00851447
-0.0115479
1.75E-05
0.02591469
0.05033094
-0.03858189
0.08374424
0.06228942
0.00594015
0.00137769
-0.037116
0.14336839
0.150787
-0.00971311
0.10676749
-0.02765311
0.12871534
-0.02527391
0.1003881
-0.03380781
0.01186724
-0.05054743
-0.05659823
0.0830682
-0.07898139
0.00052803
0.00853018
0.08436553
0.00119084

-0.05097089
-0.02516949
0.05193018
0.01642914
0.01633883
0.03958691
-0.01942676
0.00603374
-0.03030533
0.04138725
-0.00185021
0.01747985
0.00061939
-0.017624
0.04396088
-0.0012427
-0.05920832
0.04417327
-0.03864946
0.01844532
0.03276655
0.06093088
-0.00629129
-0.01722821
-0.00221067
-0.05507862
0.04400077
-0.08636303
-0.0356059
0.04337259
-0.01391379
0.01927806

-0.05333547
-0.02751115
0.04960935
0.01425414
0.01418883
0.03744107
-0.02157468
0.00387124
-0.03247825
0.03921016
-0.00404396
0.01527152
-0.00159519
-0.01984066
0.04175671
-0.0034302
-0.06139999
0.04197327
-0.04085154
0.01625157
0.0305853
0.05898504
-0.00818504
-0.01909488
-0.00392942
-0.0567807
0.0422966
-0.08806511
-0.0373184
0.04167259
-0.01562421
0.01755514

2.84
2.81
2.79
2.61
2.58
2.58
2.58
2.6
2.61
2.61
2.63
2.65
2.66
2.66
2.65
2.63
2.63
2.64
2.64
2.63
2.62
2.34
2.27
2.24
2.06
2.04
2.05
2.04
2.06
2.04
2.05
2.07

StDev
Annualized S

0.02420662
0.33245006
0.0645928
0.22375603

0.01565296
0.20488075
0.12822067
0.44416943

0.05133023
0.8233491
0.14245788
0.49348856

0.01910126
0.2548969

0.06860179
0.23764356

Efficient Frontier for The Chosen ASX200 Companies

Standard
ASX code Deviation
BGA
0.3495
BOQ
0.2238
PBG
0.4442
MYX
0.4935
CTX
0.2376

Mean
Return
0.7038
0.3325
0.2049
0.8233
0.2549

BGA
BOQ
PBG
MYX
CTX

Correlation Matrix
BGA
BOQ
1.0000
0.4451
0.4451
1.0000
0.2650
0.0458
0.1591
0.5064
0.1251
0.2929

BGA
BOQ
PBG
MYX
CTX

Covariance Matrix
BGA
BOQ
0.1222
0.0348
0.0348
0.0501
0.0411
0.0045
0.0274
0.0559
0.0104
0.0156

Company

PBG
0.2650
0.0458
1.0000
0.1344
0.0270

PBG
0.0411
0.0045
0.1973
0.0295
0.0028

MYX
0.1591
0.5064
0.1344
1.0000
0.3289

MYX
0.0274
0.0559
0.0295
0.2435
0.0386

CTX
0.1251
0.2929
0.0270
0.3289
1.0000

CTX
0.0104
0.0156
0.0028
0.0386
0.0565

Bordered Covariance Matrix: Target Return Portfolio

BGA
BOQ
PBG
MTX
CTX
Weights
0.5346
0.0000
0.0000
0.2672
0.1982
0.5346
0.0349
0.0000
0.0000
0.0039
0.0011
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.2672
0.0039
0.0000
0.0000
0.0174
0.0020
0.1982
0.0011
0.0000
0.0000
0.0020
0.0022
1.0000
0.0399
0.0000
0.0000
0.0234
0.0054
Portfolio Variance
0.0687
Portfolio Standard Deviation
0.2620
Portfolio Mean
0.6468
Sharpe Ratio
2.4684

Optimal Risky Portfolio

Cell to store target risk premium

0.8

Minimum
0.3026
0.1730
1.7488
0.0458
0.4313
0.1265
0.0000
0.3963
0.4271

0.3500
0.1764
1.9838
0.1550
0.3802
0.0930
0.0012
0.3706
0.4355

Mean
SD
Slope
BGA
BOQ
PBG
MYX
CTX
CAL

0.15

0.3702671

0.4000
0.1850
2.1616
0.2199
0.3155
0.0716
0.0448
0.3482
0.4568

0.4500
0.1966
2.2894
0.2849
0.2507
0.0502
0.0885
0.3257
0.4852

0.5000
0.2105
2.3753
0.3498
0.1860
0.0288
0.1321
0.3033
0.5196

0.5500
0.2264
2.4292
0.4147
0.1213
0.0074
0.1758
0.2808
0.5589

0.6000
0.2440
2.4590
0.4788
0.0486
0.0000
0.2224
0.2503
0.6023

Efficient Frontier and CAL

Efficient Frontier and CAL

Optimal
0.6468
0.2620
2.4684
0.5346
0.0000
0.0000
0.2672
0.1982
0.6468

and CAL

0.6500
0.2633
2.4684
0.5379
0.0000
0.0000
0.2703
0.1918
0.6500

0.7000
0.2849
2.4568
0.5892
0.0000
0.0000
0.3177
0.0931
0.7033

0.7500
0.3088
2.4285
0.6136
0.0000
0.0000
0.3864
0.0000
0.7623

0.8000
0.4135
1.9347
0.1953
0.0000
0.0000
0.8047
0.0000
1.0207

and CAL