Busn 233 CH 11

Roger G.
Ibbotson & Rex Sinquefield Because Beg = 1

Year Invested 1925 End^(1/Periods)-1
Year Withdrawn 2008
Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
$ Invested in $ Withdrawn in
Mean Investment Category 1925 2008 Geometric Mean Check
16.40% Small Company Stocks $1.00 $9,548.94
11.70% Large Company Stocks $1.00 $2,049.45
6.10% Long Term Gov. Bonds $1.00 $99.16
3.80% Treasury Bills $1.00 $20.51
3.10% Inflation $1.00 $11.73
Geomean formula 2
(1+R1*1+R2*…1+Rn)^(1/n)-1 Mean
Large Company
Year Stocks
1926 11.14%
1927 37.13%
1928 43.31%
1929 -8.91%
1930 -25.26%
1931 -43.86%
1932 -8.85%
1933 52.88%
1934 -2.34%
1935 47.22%
1936 32.80%
1937 -35.26%
1938 33.20%
1939 -0.91%
1940 -10.08%
1941 -11.77%
1942 21.07%
1943 25.76%
1944 19.69%
1945 36.46%
1946 -8.18%
1947 5.24%
1948 5.10%
1949 18.06%
1950 30.58%
1951 24.55%
1952 18.50%
1953 -1.10%
1954 52.40%
1955 31.43%
1956 6.63%
1957 -10.85%
1958 43.34%
1959 11.90%
1960 0.48%
1961 26.81%
1962 -8.78%
1963 22.69%
1964 16.36%
1965 12.36%
1966 -10.10%
1967 23.94%
1968 11.00%
1969 -8.47%
1970 3.94%
1971 14.30%
1972 18.99%
1973 -14.69%
1974 -26.47%
1975 37.23%
1976 23.93%
1977 -7.16%
1978 6.57%
1979 18.61%
1980 32.50%
1981 -4.92%
1982 21.55%
1983 22.56%
1984 6.27%
1985 31.73%
1986 18.67%
1987 5.25%
1988 16.61%
1989 31.69%
1990 -3.10%
1991 30.46%
1992 7.62%
1993 10.08%
1994 1.32%
1995 37.58%
1996 22.96%
1997 33.36%
1998 28.58%
1999 21.04%
2000 -9.10%
2001 -11.89%
2002 -22.10%
2003 28.68%
2004 10.88%
2005 4.91%
2006 15.79%
2007 5.49%
2008 -37.00%
Roger G. Ibbotson & Rex Sinquefield Because Beg = 1
Year Invested 1925 End^(1/Periods)-1
Year Withdrawn 2008
Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
$ Invested in $ Withdrawn in
Mean Investment Category 1925 2008 Geometric Mean
16.40% Small Company Stocks $1.00 $9,548.94 11.67%
11.70% Large Company Stocks $1.00 $2,049.45 9.62%
6.10% Long Term Gov. Bonds $1.00 $99.16 5.69%
3.80% Treasury Bills $1.00 $20.51 3.71%
3.10% Inflation $1.00 $11.73 3.01%
Geomean formula 2
(1+R1*1+R2*…1+Rn)^(1/n)-1 Mean
9.511%
Large Company
Year Stocks
1926 11.14%
1927 37.13%
1928 43.31%
1929 -8.91%
1930 -25.26%
1931 -43.86%
1932 -8.85%
1933 52.88%
1934 -2.34%
1935 47.22%
1936 32.80%
1937 -35.26%
1938 33.20%
1939 -0.91%
1940 -10.08%
1941 -11.77%
1942 21.07%
1943 25.76%
1944 19.69%
1945 36.46%
1946 -8.18%
1947 5.24%
1948 5.10%
1949 18.06%
1950 30.58%
1951 24.55%
1952 18.50%
1953 -1.10%
1954 52.40%
1955 31.43%
1956 6.63%
1957 -10.85%
1958 43.34%
1959 11.90%
1960 0.48%
1961 26.81%
1962 -8.78%
1963 22.69%
1964 16.36%
1965 12.36%
1966 -10.10%
1967 23.94%
1968 11.00%
1969 -8.47%
1970 3.94%
1971 14.30%
1972 18.99%
1973 -14.69%
1974 -26.47%
1975 37.23%
1976 23.93%
1977 -7.16%
1978 6.57%
1979 18.61%
1980 32.50%
1981 -4.92%
1982 21.55%
1983 22.56%
1984 6.27%
1985 31.73%
1986 18.67%
1987 5.25%
1988 16.61%
1989 31.69%
1990 -3.10%
1991 30.46%
1992 7.62%
1993 10.08%
1994 1.32%
1995 37.58%
1996 22.96%
1997 33.36%
1998 28.58%
1999 21.04%
2000 -9.10%
2001 -11.89%
2002 -22.10%
2003 28.68%
2004 10.88%
2005 4.91%
2006 15.79%
2007 5.49%
2008 -37.00%
Check
9548.94
2049.45
99.16
20.51
11.73
Expected Return and SD for 1 stock
Estimated Stock A Estimated Stock B
Prob of Return if State Return if State
State of economy State Occurs Occurs
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Irrational Exuberance 0.05 0.15 0.28
Individual Expected Return (Type of

Average)
R*Prob R*Prob
E(RA) E(RB)
Add
E(RA) E(RB)
Expected Return based on Estimations both from p
and estimates of future economic state
Individual Standard Deviation

(Measure of Volitility or Risk of
Stock)
(R-E(RA))^2*Prob (R-E(RB))^2*Prob
Add Variance
SDA SDB
SQRT 0 0 Total Risk
SDA SDB
Stadard Deviation (Measure of total risk) based on Es

from past stock data and estimates of future econ
based on Estimations both from past stock data
estimates of future economic states
(Measure of total risk) based on Estimations both

k data and estimates of future economic states
Expected Return and SD for 1 stock
Estimated Stock A Estimated Stock B
Prob of Return if State Return if State
State of economy State Occurs Occurs
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Irrational Exuberance 0.05 0.15 0.28
Individual Expected Return (Type of

Average)
R*Prob R*Prob
-0.0225 -0.09
0.06 0.11
0.0075 0.014
E(RA) E(RB)
Add 0.045 0.034
E(RA) E(RB)
Expected Return based on Estimations both from p
0.045 0.034 and estimates of future economic state
Individual Standard Deviation

(Measure of Volitility or Risk of
Stock)
(R-E(RA))^2*Prob (R-E(RB))^2*Prob
0.00406125 0.0246402
0.0028125 0.017298
0.00055125 0.0030258
Add 0.007425 0.044964 Variance
SDA SDB
SQRT 0.0861684396981 0.2120471645649 Total Risk
SDA SDB
Stadard Deviation (Measure of total risk) based on Es

0.0861684396981 0.2120471645649 from past stock data and estimates of future econ
based on Estimations both from past stock data
estimates of future economic states
(Measure of total risk) based on Estimations both

k data and estimates of future economic states
Expected Return and SD for portfolio
Stock A B
Invested $10,000.00 $15,000.00
Weight
Estimated Return for

Estimated Stock A Estimated Stock B Portfolio if State
State of Prob of Return if State Return if State Occurs =
economy State Occurs Occurs RA*WA+RB*WB (RIfStaeOccurs - E(RP))^2*Prob
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Boom 0.05 0.15 0.28
E(RP) Variance of P
Standard Deviation of P
E(RP) Standard Deviation of P

Add
SQRT
Expected Return and SD for portfolio
Stock A B
Invested $10,000.00 $15,000.00
Weight 0.4 0.6
Estimated Return for

Estimated Stock A Estimated Stock B Portfolio if State
State of Prob of Return if State Return if State Occurs =
economy State Occurs Occurs RA*WA+RB*WB (RIfStaeOccurs - E(RP))^2*Prob
Recession 0.45 -0.05 -0.2 -0.14 0.014321952
Normal 0.5 0.12 0.22 0.18 0.01002528
Boom 0.05 0.15 0.28 0.228 0.001797408
E(RP) Variance of P
-0.009 -0.054 0.0384 0.02614464
0.024 0.066 Standard Deviation of P
0.003 0.0084 0.161693042521934
0.0384
E(RP) Standard Deviation of P
0.0384 0.161693042521934
0.0384 0.161693042521934
Add
SQRT
Sep 30, 2004, Merck announced recall
VIOXX, stock went from $45 to $33.
Beg (Close Day Before) 45.07

End 33
Change
Sep 30, 2004, Merck announced recall
VIOXX, stock went from $45 to $33.
Beg (Close Day Before) 45.07

End 33
Change -0.267806
Beta
S & P Weely Returns WFMI Weely Returns
Date S&P 500 Adj WFMI Close Adj for Lat 4 Years for Lat 4 Years
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI
11/12/2007 1458.74 44.4
11/19/2007 1440.7 39.94
11/26/2007 1481.14 42.15
12/3/2007 1504.66 42.19
12/10/2007 1467.95 39.77
12/17/2007 1484.46 41.73
12/24/2007 1478.49 40.77
12/31/2007 1411.63 37.16
1/7/2008 1401.02 36.96
1/14/2008 1325.19 34.57
1/22/2008 1330.61 37.01
1/28/2008 1395.42 40.17
2/4/2008 1331.29 38.81
2/11/2008 1349.99 38.55
2/19/2008 1353.11 36.23
2/25/2008 1330.63 34.64
3/3/2008 1293.37 33.58
3/10/2008 1288.14 30.72
3/17/2008 1329.51 32.18
3/24/2008 1315.22 32.01
3/31/2008 1370.4 33.4
4/7/2008 1332.83 31.76
4/14/2008 1390.33 32.67
4/21/2008 1397.84 30.92
4/28/2008 1413.9 34.68
5/5/2008 1388.28 32.5
5/12/2008 1425.35 28.81
5/19/2008 1375.93 27.38
5/27/2008 1400.38 28.75
6/2/2008 1360.68 28.25
6/9/2008 1360.03 26.93
6/16/2008 1317.93 26.09
6/23/2008 1278.38 24.44
6/30/2008 1262.9 22.51
7/7/2008 1239.49 21.04
7/14/2008 1260.68 21.38
7/21/2008 1257.76 22.52
7/28/2008 1260.31 21.42
8/4/2008 1296.32 18.65
8/11/2008 1298.2 19.69
8/18/2008 1292.2 18.44
8/25/2008 1282.83 18.31
9/2/2008 1242.31 18.12
9/8/2008 1251.7 18.43
9/15/2008 1255.08 20.79
9/22/2008 1213.27 20.64
9/29/2008 1099.23 18
10/6/2008 899.22 14.83
10/13/2008 940.55 13.98
10/20/2008 876.77 10.74
10/27/2008 968.75 10.72
11/3/2008 930.99 10.05
11/10/2008 873.29 9.38
11/17/2008 800.03 8.19
11/24/2008 896.24 10.58
12/1/2008 876.07 10.6
12/8/2008 879.73 10.35
12/15/2008 887.88 9.96
12/22/2008 872.8 8.89
12/29/2008 931.8 9.89
1/5/2009 890.35 12.57
1/12/2009 850.12 12.16
1/20/2009 831.95 11.37
1/26/2009 825.88 10.25
2/2/2009 868.6 10.88
2/9/2009 826.84 9.97
2/17/2009 770.05 12.84
2/23/2009 735.09 12.15
3/2/2009 683.38 12.08
3/9/2009 756.55 14.38
3/16/2009 768.54 15.37
3/23/2009 815.94 17.97
3/30/2009 842.5 18.64
4/6/2009 856.56 18.36
4/13/2009 869.6 18.48
4/20/2009 866.23 19.74
4/27/2009 877.52 20.93
5/4/2009 929.23 22.17
5/11/2009 882.88 19.61
5/18/2009 887 18.9
5/26/2009 919.14 18.87
6/1/2009 940.09 21.16
6/8/2009 946.21 20.44
6/15/2009 921.23 19.27
6/22/2009 918.9 19.2
6/29/2009 896.42 17.97
7/6/2009 879.13 19.25
7/13/2009 940.38 21.87
7/20/2009 979.26 23.73
7/27/2009 987.48 24.19
8/3/2009 1010.48 28.42
8/10/2009 1004.09 28.1
8/17/2009 1026.13 28.78
8/24/2009 1028.93 29.11
8/31/2009 1016.4 27.65
9/8/2009 1042.73 28.43
9/14/2009 1068.3 28.6
9/21/2009 1044.38 28.77
9/28/2009 1025.21 29.21
10/5/2009 1071.49 31.67
10/12/2009 1087.68 33.74
10/19/2009 1079.6 33.36
10/26/2009 1036.19 32.06
11/2/2009 1069.3 28.25
11/9/2009 1093.48 27.49
11/16/2009 1091.38 26.36
11/23/2009 1091.49 25.9
11/30/2009 1105.98 26.2
12/7/2009 1106.41 26.67
12/14/2009 1102.47 26.99
12/21/2009 1126.48 28.41
12/28/2009 1115.1 27.45
1/4/2010 1144.98 27.96
1/11/2010 1136.03 27.95
1/19/2010 1091.76 28.45
1/25/2010 1073.87 27.22
2/1/2010 1066.19 27.38
2/8/2010 1075.51 29.75
2/16/2010 1109.17 33.66
2/22/2010 1104.49 35.49
3/1/2010 1138.7 36.11
3/8/2010 1149.99 36.3
3/15/2010 1159.9 35.83
3/22/2010 1166.59 35.41
3/29/2010 1178.1 36.91
4/5/2010 1194.37 38.8
4/12/2010 1192.13 39.11
4/19/2010 1217.28 40.2
4/26/2010 1186.69 39.02
5/3/2010 1110.88 36.68
5/10/2010 1135.68 40.83
5/17/2010 1087.69 39.24
5/24/2010 1089.41 40.43
6/1/2010 1064.88 38.61
6/7/2010 1091.6 39.38
6/14/2010 1117.51 40.36
6/21/2010 1076.76 38.69
6/28/2010 1022.58 35.02
7/6/2010 1077.96 36.66
7/12/2010 1064.88 37.21
7/19/2010 1102.66 38.77
7/26/2010 1101.6 37.97
8/2/2010 1121.64 36.48
8/9/2010 1079.25 36.42
8/16/2010 1071.69 36.72
8/23/2010 1064.59 35.7
8/30/2010 1104.51 36.66
9/7/2010 1109.55 35.47
9/13/2010 1125.59 37.09
9/20/2010 1148.67 37.07
9/27/2010 1146.24 37.07
10/4/2010 1165.15 34.57
10/11/2010 1176.19 38.3
10/18/2010 1183.08 39.89
10/25/2010 1183.26 39.75
11/1/2010 1225.85 45.49
11/8/2010 1199.21 46.86
11/15/2010 1199.73 45.71
11/22/2010 1189.4 47.01
Slope
Amount of systematic risk
Correllation*SDWFMI/SDM
Correlation tells us the strength and direction of the line (between -1 and 1)
SDWFMI/SDM = Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
Together they say direction and strength of Systematic Risk for WMFI
Beta
S & P Weely Returns WFMI Weely Returns
Date S&P 500 Adj WFMI Close Adj for Lat 4 Years for Lat 4 Years
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI
11/12/2007 1458.74 44.4 0.003467015202586 0.044460127028935
11/19/2007 1440.7 39.94 -0.012366837133417 -0.10045045045045
11/26/2007 1481.14 42.15 0.028069688345943 0.055332999499249
12/3/2007 1504.66 42.19 0.01587966026169 0.000948991696323
f(x) = 0
12/10/2007 1467.95 39.77 -0.024397538314304
R² = 0 -0.057359563877696
12/17/2007 1484.46 41.73 0.011246977076876 0.049283379431732
Beta For WFMI
12/24/2007 1478.49 40.77 -0.004021664443636 12-0.023005032350827
WFMI Weely Returns for Lat 4 Years

12/31/2007 1411.63 37.16 -0.045221814148219 -0.088545499141526
10
1/7/2008 1401.02 36.96 -0.007516133831103 -0.005382131324004
1/14/2008 1325.19 34.57 -0.05412485189362 8-0.064664502164502
1/22/2008 1330.61 37.01 0.004089979550102 6 0.070581428984669
1/28/2008 1395.42 40.17 0.04870698401485 0.085382329100243
2/4/2008 1331.29 38.81 -0.045957489501369 4-0.033856111526015
2/11/2008 1349.99 38.55 0.014046526301557 2-0.006699304303015
2/19/2008 1353.11 36.23 0.002311128230579 -0.060181582360571
0
2/25/2008 1330.63 34.64 -0.016613579088175 -0.043886282086669
0 2 4 6 8
3/3/2008 1293.37 33.58 -0.028001773595966 -0.030600461893765
S & P Weely Returns for Lat 4 Years
3/10/2008 1288.14 30.72 -0.004043699792016 -0.085169743895176
3/17/2008 1329.51 32.18 0.032116074339746 0.047526041666667
3/24/2008 1315.22 32.01 -0.010748320809922 -0.005282784338098
3/31/2008 1370.4 33.4 0.041954958105868 0.043423930021868
4/7/2008 1332.83 31.76 -0.027415353181553 -0.049101796407186
4/14/2008 1390.33 32.67 0.043141285835403 0.028652392947103
4/21/2008 1397.84 30.92 0.005401595304712 -0.053565962656872
4/28/2008 1413.9 34.68 0.011489154695817 0.121604139715394
5/5/2008 1388.28 32.5 -0.018120093358795 -0.062860438292964
5/12/2008 1425.35 28.81 0.02670210620336 -0.113538461538462
5/19/2008 1375.93 27.38 -0.034672185778931 -0.049635543214162
5/27/2008 1400.38 28.75 0.017769799335722 0.050036523009496
6/2/2008 1360.68 28.25 -0.02834944800697 -0.017391304347826
6/9/2008 1360.03 26.93 -0.000477702325308 -0.046725663716814
6/16/2008 1317.93 26.09 -0.030955199517658 -0.031191979205347
6/23/2008 1278.38 24.44 -0.030009181064245 -0.063242621694136
6/30/2008 1262.9 22.51 -0.012109075548741 -0.078968903436989
7/7/2008 1239.49 21.04 -0.018536701243171 -0.065304309195913
7/14/2008 1260.68 21.38 0.017095740990246 0.016159695817491
7/21/2008 1257.76 22.52 -0.002316210299204 0.053320860617399
7/28/2008 1260.31 21.42 0.002027413815036 -0.048845470692718
8/4/2008 1296.32 18.65 0.028572335377804 -0.129318394024276
8/11/2008 1298.2 19.69 0.001450259195261 0.055764075067024
8/18/2008 1292.2 18.44 -0.004621784008627 -0.063484002031488
8/25/2008 1282.83 18.31 -0.007251199504721 -0.00704989154013
9/2/2008 1242.31 18.12 -0.031586414411886 -0.010376843255052
9/8/2008 1251.7 18.43 0.007558499891332 0.01710816777042
9/15/2008 1255.08 20.79 0.002700327554526 0.12805208898535
9/22/2008 1213.27 20.64 -0.033312617522389 -0.007215007215007
9/29/2008 1099.23 18 -0.093993917264912 -0.127906976744186
10/6/2008 899.22 14.83 -0.181954640975956 -0.176111111111111
10/13/2008 940.55 13.98 0.045962056004092 -0.057316250842886
10/20/2008 876.77 10.74 -0.067811386954442 -0.231759656652361
10/27/2008 968.75 10.72 0.104907786534667 -0.001862197392924
11/3/2008 930.99 10.05 -0.038978064516129 -0.0625
11/10/2008 873.29 9.38 -0.061977035199089 -0.066666666666667
11/17/2008 800.03 8.19 -0.083889658647185 -0.126865671641791
11/24/2008 896.24 10.58 0.120257990325363 0.291819291819292
12/1/2008 876.07 10.6 -0.02250513255378 0.001890359168242
12/8/2008 879.73 10.35 0.004177748353442 -0.023584905660378
12/15/2008 887.88 9.96 0.009264206063224 -0.03768115942029
12/22/2008 872.8 8.89 -0.016984277154571 -0.107429718875502
12/29/2008 931.8 9.89 0.067598533455545 0.112485939257593
1/5/2009 890.35 12.57 -0.044483794805752 0.27098078867543
1/12/2009 850.12 12.16 -0.045184478014264 -0.032617342879873
1/20/2009 831.95 11.37 -0.021373453159554 -0.064967105263158
1/26/2009 825.88 10.25 -0.007296111545165 -0.098504837291117
2/2/2009 868.6 10.88 0.051726643095849 0.061463414634146
2/9/2009 826.84 9.97 -0.048077365876123 -0.083639705882353
2/17/2009 770.05 12.84 -0.068683179333366 0.287863590772317
2/23/2009 735.09 12.15 -0.045399649373417 -0.053738317757009
3/2/2009 683.38 12.08 -0.070345127807479 -0.005761316872428
3/9/2009 756.55 14.38 0.10707073663262 0.190397350993378
3/16/2009 768.54 15.37 0.015848258542066 0.06884561891516
3/23/2009 815.94 17.97 0.061675384495277 0.169160702667534
3/30/2009 842.5 18.64 0.0325514130941 0.037284362826934
4/6/2009 856.56 18.36 0.016688427299703 -0.015021459227468
4/13/2009 869.6 18.48 0.015223685439432 0.006535947712418
4/20/2009 866.23 19.74 -0.003875344986201 0.068181818181818
4/27/2009 877.52 20.93 0.013033489950706 0.060283687943263
5/4/2009 929.23 22.17 0.058927431853405 0.059245102723364
5/11/2009 882.88 19.61 -0.049880008178815 -0.115471357690573
5/18/2009 887 18.9 0.004666545849946 -0.036206017338093
5/26/2009 919.14 18.87 0.036234498308907 -0.001587301587301
6/1/2009 940.09 21.16 0.022793045673129 0.121356650768415
6/8/2009 946.21 20.44 0.006510014998564 -0.034026465028355
6/15/2009 921.23 19.27 -0.026400059183479 -0.057240704500979
6/22/2009 918.9 19.2 -0.002529227228814 -0.003632589517385
6/29/2009 896.42 17.97 -0.024464033083034 -0.0640625
7/6/2009 879.13 19.25 -0.019287833827893 0.071229827490262
7/13/2009 940.38 21.87 0.069671152161796 0.136103896103896
7/20/2009 979.26 23.73 0.041344988196261 0.085048010973937
7/27/2009 987.48 24.19 0.008394093499173 0.019384745048462
8/3/2009 1010.48 28.42 0.023291610969336 0.174865646961554
8/10/2009 1004.09 28.1 -0.006323727337503 -0.011259676284307
8/17/2009 1026.13 28.78 0.021950223585535 0.024199288256228
8/24/2009 1028.93 29.11 0.002728699092708 0.011466296038916
8/31/2009 1016.4 27.65 -0.012177699163209 -0.050154586052903
9/8/2009 1042.73 28.43 0.02590515545061 0.028209764918626
9/14/2009 1068.3 28.6 0.024522167771139 0.005979599015125
9/21/2009 1044.38 28.77 -0.022390714218852 0.005944055944056
9/28/2009 1025.21 29.21 -0.018355387885636 0.015293708724366
10/5/2009 1071.49 31.67 0.045141970913276 0.084217733652859
10/12/2009 1087.68 33.74 0.015109800371445 0.065361540890433
10/19/2009 1079.6 33.36 -0.007428655486908 -0.011262596324837
10/26/2009 1036.19 32.06 -0.040209336791404 -0.038968824940048
11/2/2009 1069.3 28.25 0.031953599243382 -0.118839675608235
11/9/2009 1093.48 27.49 0.022612924343028 -0.026902654867257
11/16/2009 1091.38 26.36 -0.001920474082745 -0.041105856675155
11/23/2009 1091.49 25.9 0.000100789825725 -0.017450682852807
11/30/2009 1105.98 26.2 0.013275430833081 0.011583011583012
12/7/2009 1106.41 26.67 0.000388795457422 0.01793893129771
12/14/2009 1102.47 26.99 -0.003561066873944 0.011998500187477
12/21/2009 1126.48 28.41 0.021778370386496 0.05261207854761
12/28/2009 1115.1 27.45 -0.010102265464101 -0.033790918690602
1/4/2010 1144.98 27.96 0.02679580306699 0.018579234972678
1/11/2010 1136.03 27.95 -0.007816730423239 -0.00035765379113
1/19/2010 1091.76 28.45 -0.038969041310529 0.01788908765653
1/25/2010 1073.87 27.22 -0.016386385286144 -0.04323374340949
2/1/2010 1066.19 27.38 -0.00715170365128 0.005878030859662
2/8/2010 1075.51 29.75 0.008741406315947 0.086559532505479
2/16/2010 1109.17 33.66 0.031296780132216 0.131428571428571
2/22/2010 1104.49 35.49 -0.004219371241559 0.054367201426025
3/1/2010 1138.7 36.11 0.030973571512644 0.017469709777402
3/8/2010 1149.99 36.3 0.009914815140072 0.005261700360011
3/15/2010 1159.9 35.83 0.008617466238837 -0.012947658402204
3/22/2010 1166.59 35.41 0.005767738598155 -0.011722020653084
3/29/2010 1178.1 36.91 0.009866362646688 0.042360914995764
4/5/2010 1194.37 38.8 0.013810372633902 0.051205635329179
4/12/2010 1192.13 39.11 -0.001875465726701 0.007989690721649
4/19/2010 1217.28 40.2 0.021096692474814 0.027870109946306
4/26/2010 1186.69 39.02 -0.025129797581493 -0.029353233830846
5/3/2010 1110.88 36.68 -0.063883575322957 -0.059969246540236
5/10/2010 1135.68 40.83 0.022324643525853 0.113140676117775
5/17/2010 1087.69 39.24 -0.042256621583545 -0.038941954445261
5/24/2010 1089.41 40.43 0.001581332916548 0.03032619775739
6/1/2010 1064.88 38.61 -0.022516775135165 -0.045016077170418
6/7/2010 1091.6 39.38 0.025092029148824 0.01994301994302
6/14/2010 1117.51 40.36 0.023735800659582 0.024885728796343
6/21/2010 1076.76 38.69 -0.03646499807608 -0.041377601585729
6/28/2010 1022.58 35.02 -0.050317619525242 -0.094856552080641
7/6/2010 1077.96 36.66 0.054157131960336 0.046830382638492
7/12/2010 1064.88 37.21 -0.012134030947345 0.015002727768685
7/19/2010 1102.66 38.77 0.035478175944707 0.041924213920989
7/26/2010 1101.6 37.97 -0.000961311737072 -0.020634511220016
8/2/2010 1121.64 36.48 0.018191721132898 -0.039241506452463
8/9/2010 1079.25 36.42 -0.037792874719161 -0.001644736842105
8/16/2010 1071.69 36.72 -0.007004864489229 0.00823723228995
8/23/2010 1064.59 35.7 -0.006625050154429 -0.027777777777778
8/30/2010 1104.51 36.66 0.037498003926394 0.026890756302521
9/7/2010 1109.55 35.47 0.004563109433142 -0.032460447354064
9/13/2010 1125.59 37.09 0.01445631111712 0.045672399210601
9/20/2010 1148.67 37.07 0.020504801926101 -0.000539228902669
9/27/2010 1146.24 37.07 -0.002115490088537 0
10/4/2010 1165.15 34.57 0.016497417643775 -0.067439978419207
10/11/2010 1176.19 38.3 0.009475174870188 0.107897020538039
10/18/2010 1183.08 39.89 0.00585789710846 0.041514360313316
10/25/2010 1183.26 39.75 0.000152145247997 -0.00350965154174
11/1/2010 1225.85 45.49 0.035993779896219 0.14440251572327
11/8/2010 1199.21 46.86 -0.021731859526043 0.030116509122884
11/15/2010 1199.73 45.71 0.000433618799043 -0.024541186513018
11/22/2010 1189.4 47.01 -0.008610270644228 0.028440166265587
Slope
1.10612183760378 Amount of systematic risk
Correllation*SDWFMI/SDM
1.10612183760378
Correlation tells us the strength and direction of the line (between -1 and 1)
Beta
S For
/SD WFMI
= Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
DWFMI M
Together they say direction and strength of Systematic Risk for WMFI
2 4 6 8 10 12
S & P Weely Returns for Lat 4 Years
Beta For Porfolio
Weights =
Invested/(Total Expected Return Beta
Stock Amount Invetsed Expected Return Beta Invested) E(R)*W B*W
W $2,000.00 8.00% 0.80
X $4,000.00 12.00% 0.95
Y $4,000.00 15.00% 1.10
Z $6,000.00 18.00% 1.40
$16,000.00 Total
Expected
Return for P
Portfolio Beta
Beta For Porfolio
Weights =
Invested/(Total Expected Return Beta
Stock Amount Invetsed Expected Return Beta Invested) E(R)*W B*W
W $2,000.00 8.00% 0.80 0.125 1.00% 0.1
X $4,000.00 12.00% 0.95 0.25 3.00% 0.2375
Y $4,000.00 15.00% 1.10 0.25 3.75% 0.275
Z $6,000.00 18.00% 1.40 0.375 6.75% 0.525
$16,000.00 Total 14.50% 1.1375
Expected
Return for P 14.50%
Portfolio Beta 1.138

Risk Reward Ratio
Rf 2.00%
Market Risk Premium = E(RM) - Rf 9.00%
Goal: Are stocks priced correctly?
Stock A
Beta 1.2
E(RA) 12.50%
Reward To Risk Ratio => (E(RA) - Rf)/BA

Stock B
Beta 0.6
E(RB) 9.00%
Reward To Risk Ratio => (E(RB) - Rf)/BB

Risk Reward Ratio
Rf 2.00%
Stock A
Beta 1.2
E(RA) 12.50%
Stock A is offering a 8.75% return for 1 unit of Systematic Ri

Market Risk Premium is 0.09, we can see that A is not offerin
enough. In a competitive market the price of this stock will b
In theory, this stock will bid down until the return is equal t
Reward To Risk Ratio => (E(RA) - Rf)/BA 8.75% offered in the market.
Stock B
Beta 0.6
E(RB) 9.00%
Stock B is offering a 11.67% return for 1 unit of Systematic R

Market Risk Premium is 0.09, we can see that B is offering a
In a competitive market the price of this stock should be
theory, this stock should be bid up until the return is equal t
Reward To Risk Ratio => (E(RB) - Rf)/BB 11.67% offered in the market.
turn for 1 unit of Systematic Risk. Since the
we can see that A is not offering a rate high
ket the price of this stock will be bid down.
down until the return is equal to the return
red in the market.
turn for 1 unit of Systematic Risk. Since the

we can see that B is offering a higher rate.
e price of this stock should be bid up. In
id up until the return is equal to the return
red in the market.
CAPM
Rf 2.00%
Stock A
Beta 1.2
E(RA) 12.50%
CAPM => E(RA) = Rf + (E(RM)-Rf)*BA

Stock B
Beta 0.6
E(RB) 9.00%
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB

Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%
2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%

SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given
The given rate of 9.00% is too high (above the SML) and therefore is pric
There is more reward than the model suggests there should be at the gi
%*1 = 11.00%
%*2 = 20.00%
%*2 = 20.00%
%*1 = 11.00%
/ (1 Beta) = 'going rate', given Rf = 2.00%.
the SML) and therefore is priced too low - High Rate / Low Price.
gests there should be at the given risk level. If we believed our model, we would buy.
CAPM
Rf 2.00%

Stock A
Beta 1.2
E(RA) 12.50%
Expected Return using CAPM is higher than the Expected R

The Expected Return calculated using CAMP prices the risk
risk) at 12.80%. This means that the given rate of 12.50% i
SML, which means the stock is over valued - Low Rate / High
CAPM => E(RA) = Rf + (E(RM)-Rf)*BA 12.80% is not enough reward for the given risk level. Not bu
Stock B
Beta 0.6
E(RB) 9.00%
Expected Return using CAPM is lower than the Expected Re

The Expected Return calculated using CAPM prices the risk
risk) at 7.40%.The given rate of 9.00% is too high (above th
therefore is priced too low - High Rate / Low Price. There is m
than the model suggests there should be at the given risk
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB 7.40% believed our model, we would buy.
Beta SML Slope = (9.00% MarketE(RM)

Risk Premium)
X Line Up / (1 Beta) = 'going
Y Line Up X Line Overrate',
given Rf = 2.00%. 0 2.00% 1 0 0
0.1 2.90% 1 0.02 0.1
35.00%
0.2 3.80% 1 0.029 0.2
30.00% 0.3 4.70% 1 0.038 0.3
Asset Expected Return E(RA)
0.4 5.60% 1 0.047 0.4

25.00% 0.5 6.50% 1 0.056 0.5
0.6 7.40% 1 0.065 0.6
20.00%
0.7 8.30% 1 0.074 0.7
15.00% 0.8
1; 12.50%
9.20% 1 0.083 0.8
0.9 10.10% 1 0.092 0.9
10.00%
1; 9.00%
1 11.00%
Beta of 1, asset
1 0.101 1
5.00%
1.1 11.90% should earn
1 0.11
1.2
1.3
12.80%
13.70%
2.00% + 9.00%*1
0.00%
0 0.5 11.4 14.60%
1.5 2 = 11.00%
2.5 3 3.5
1.5 15.50%
Asset Beta BA Beta of 2, asset
1.6 16.40%
1.7 17.30%
should earn
1.8 18.20% 2.00% + 9.00%*2
1.9 19.10%
= 20.00%
should earn
2.00% + 9.00%*2
2 20.00%
= 20.00%
2.1 20.90%
2.2 21.80%
2.3 22.70%
2.4 23.60%
2.5 24.50%
2.6 25.40%
2.7 26.30%
2.8 27.20%
2.9 28.10%
3 29.00%
M is higher than the Expected Return given.

ted using CAMP prices the risk (systematic
that the given rate of 12.50% is below the
s over valued - Low Rate / High Price. There
for the given risk level. Not buying. 2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given
The given rate of 9.00% is too high (above the SML) and therefore is pric
M is lower than the Expected Return given.

ted using CAPM prices the risk (systematic
of 9.00% is too high (above the SML) and
High Rate / Low Price. There is more reward
ere should be at the given risk level. If we
ur model, we would buy. There is more reward than the model suggests there should be at the gi
'going rate',
Y Line OverX Line Up Y Line Up X Line OverY Line OverBelow X Below Y Above X Above Y
11.00% 2 0 0 20.00% 1.2 12.50% 0.6 9.00%
11.00% 2 2.00% 0.1 20.00%
11.00% 2 2.90% 0.2 20.00%
11.00% 2 3.80% 0.3 20.00%
11.00% 2 4.70% 0.4 20.00%
11.00% 2 5.60% 0.5 20.00%
11.00% 2 6.50% 0.6 20.00%
11.00% 2 7.40% 0.7 20.00%
11.00% 2 8.30% 0.8 20.00%
11.00% 2 9.20% 0.9 20.00%
1, asset 11.00% 2 10.10% 1 20.00%
earn 2 11.00% 1.1 20.00%
9.00%*1 2
2
11.90%
12.80%
1.2 20.00%
1.3 20.00%
% 3 3.5 2 13.70% 1.4 20.00%
2, asset 2 14.60% 1.5 20.00%
2 15.50% 1.6 20.00%
earn 2 16.40% 1.7 20.00%
9.00%*2 2 17.30% 1.8 20.00%
% 2 18.20% 1.9 20.00%
earn
9.00%*2
% 2 19.10% 2 20.00%
2 20.00%
%*1 = 11.00%
%*2 = 20.00%
%*2 = 20.00%
%*1 = 11.00%
/ (1 Beta) = 'going rate', given Rf = 2.00%.
the SML) and therefore is priced too low - High Rate / Low Price.
gests there should be at the given risk level. If we believed our model, we would buy.
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Rf 2.00%
Market Risk Premium =
E(RM) - Rf 9.00%
Stock Beta CAPM Pricing (Return)

A -0.5
B 0.5
C 1 Risk Reward Ratio = (E(RA
D 1.5 <<== CAPM
E 2
Estimate of E(RD) 14.50% Not buy.
Market thinks Stock D should be at 0.00%. If your calculations of E(RD) shows 14.50%,
would you buy?
No.
If others came to the same conclusion, buying and selling would lead to a drop in price
and a rise in return (price and return move in opposite directions).
Risk Reward Ratio = (E(RA)- Rf)/BA
Not buy
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Rf 2.00%
Market Risk Premium =
E(RM) - Rf 9.00%
Stock Beta CAPM Pricing (Return)

A -0.5 -2.500%
B 0.5 6.500%
C 1 11.00% Risk Reward Ratio
D 1.5 15.500% <<== CAPM 0.083333
E 2 20.0%
Estimate of E(RD) 14.50% Not buy.
Market thinks Stock D should be at 15.50%. If your calculations of E(RD) shows 14.50%,
would you buy?
No.
If others came to the same conclusion, buying and selling would lead to a drop in price
and a rise in return (price and return move in opposite directions).
Risk Reward Ratio
Not buy
1
2
3a
3b
3c
3d
3e
3f
4a
4b
4c
4d
4e
10
Systematic
Unsystematic
Unclear
Both
Total Risk of buying an asset comes from the risk that new information will become available and change the price of the asse
when it is announced that that day after thanksgiving retail sales are very low (or high), or when a law suit against a company
announced, or when a new innovative project is announced, or a new contact is signed (think of Boeing), or when inflation is h
interest rates will be lowered by more than expected. Some of this new information affects just a few stocks and some affects
information affects just a few stocks (or just one), this is called Asset Specific Risk, and when the new information affects many
Systematic Risk (whole system is affected). Asset specific risk (unsystematic, diversifiable risk) is the risk that unexpected news
the price of just a single stock, or group of stocks. When a portfolio of stocks are held, the assets specific risks will tend to was
meaning that when one stock goes up, another will go down. Examples of asset specific risks are things like a new product/tec
or a law suit announcement or new information about the supply or demand of a commodity. Systematic risk is the risk that u
occur that affects a large number of stocks, like government CPI or interest rate information. Since this sort of unexpected info
stocks, when it comes out, all the assets in the portfolio tend to move and so this risk can not be diversified away by holding m
holding many different types of financial assets, the level of asset specific risk (unsystematic risk) tend to be eliminated with ju
different assets, but the systematic risk is not eliminated, unless you move closer to a risk-free asset, like T-bills. Finally, asset s
controlled by diversifying the portfolio, whereas, systematic risk can be controlled by lowering the expected return (buying ass
If this drop in growth from 5% to 2% is unexpected new information, security prices will tend to fall. If the drop had been antic
"priced into the stock market" or "discounted", then there would be no overall change in security prices.
Systematic
Unsystematic
Both. Industries like Airlines and Trucking may be affected more heavily than mots other types of companies
Unsystematic
Unsystematic
Systematic
It would tend to cause stocks in general and Big Widget Corp in particual to move. Probably move down because when inflatio
stuff then costs more and expenses would tend to be higher.
If the information in the report was fully anticipated, then all the info would already be "discounted" into prices and so price o
The return would be equal to the expected return. There is no new asset specific information.
This is not new unexpected system information and so it would not tend to "move the market" (cause prices to change).
This is asset specific risk and would make the price change. This event would create uncertainly about the future direction of t
about the future is a risk that would demand more return, and when return goes up, price goes down.
This may only have a small systematic affect because if it was debated for months, people probably already have the tax chan
market prices.
No - since risky assets are defined as assets that have systematic risk, it is not possible. The expected return of an asset with a
Free Rate, like a T-bill rate. A negative Beta is possible because there are asset returns that move in the opposite direction of t
Companies that do well in economic downturns like liquidation companies or pawn shops or Reposition Companies. Companie
negative Risk Premium. E(Ri) - Rf = (a negative number). Negative because the return would be less than the Risk Free Return.
pay the negative risk premium to get the diversification benefit of the hedge against market moves downward.
Past numbers are relevant because when estimating the unknown future, the past is usually the best info we have for making
the future events are not similar to past events, then the model used may give us the wrong answer. In regards to Accounting
publically traded companies where stock holders are "outside the company" and managers are "inside the company", accounti
usually the best info we can get. In fact, GAPP accounting is the mechanism that has been developed to get info from inside to
1
3a
3b
3c
3d
3e
3f
4a
4b
4c
4d
4e
10
Systematic
Unsystematic
Unclear
Both
Stock A B
Invested 1500 2600
E(Ri) 0.1 0.16
Weight 0.365854 0.634146
E(RP)
Stock A B
Invested 1500 2600
E(Ri) 0.1 0.16
Weight 0.365854 0.634146
E(RP) 0.138049
Stock A B C
E(Ri) 0.1 0.13 0.15
Weight 0.25 0.4 0.35 1
E(RP)
Stock A B C
E(Ri) 0.1 0.13 0.15
Weight 0.25 0.4 0.35 1
E(RP) 0.1295
State of Prob. Og State of Stock A Return Stock B Return
Economy Economy if State Occurs if State Occurs
Recession 0.2 0.01 -0.25
Normal 0.55 0.09 0.15
Boom 0.25 0.14 0.38
E(Ri)
SDi
E(Ri)
SDi
Add
SQRT
State of Prob. Og State of Stock A Return Stock B Return
Economy Economy if State Occurs if State Occurs
Recession 0.2 0.01 -0.25 0.002
Normal 0.55 0.09 0.15 0.0495
Boom 0.25 0.14 0.38 0.035
E(Ri) 0.0865
0.00117
6.737E-06
0.000716
0.001893
SDi 0.043506
E(Ri) 0.0865
SDi 0.043506
-0.05
0.0825
0.095
0.1275
0.022646
0.002218
0.021536
0.0464 Add
0.215406 SQRT
0.1275
0.211468
Weight 0.3 0.4 0.3 1
State of Prob. Of State of Stock A Return Stock B Return Stock C Return Portfolio Return
Economy Economy if State Occurs if State Occurs if State Occurs if State Ocurrs
Bust 0.05 -0.11 -0.25 -0.09
Poor 0.35 0.01 0.02 -0.05
Good 0.45 0.12 0.1 0.17
Boom 0.15 0.35 0.45 0.33
E(RP)
E(RP)
E(RP)
E(RP)
Portfolio
Return if (Portfolio Return
State Ocurrs - E(RP))^2*Pro
Total
SDP SQRT
SDP
Weight 0.3 0.4 0.3 1
State of Prob. Of State of Stock A Return Stock B Return Stock C Return Portfolio Return
Economy Economy if State Occurs if State Occurs if State Occurs if State Ocurrs
Bust 0.05 -0.11 -0.25 -0.09 -0.16
Poor 0.35 0.01 0.02 -0.05 -0.004
Good 0.45 0.12 0.1 0.17 0.127
Boom 0.15 0.35 0.45 0.33 0.384
E(RP) 0.10535
E(RP) 0.10535
E(RP) 0.10535
E(RP) 0.10535
Portfolio
Return if (Portfolio Return
State Ocurrs - E(RP))^2*Pro
-0.16 0.003520531125
-0.004 0.004185097875
0.127 0.000210925125
0.384 0.011646873375
0.0195634275 Total
SDP 0.139869322941 SQRT
SDP 0.139869322941
Stock Q R S T
Weight 0.25 0.2 0.45 0.1 1
Beta 0.85 0.91 1.31 1.76
BetaP
Stock Q R S T
Weight 0.25 0.2 0.45 0.1 1
Beta 0.85 0.91 1.31 1.76
BetaP 1.16
Stock E(RM) RF S1 S2
Weight 0.333333 0.333333 0.333333 1
E(R)
Beta 1 0 ?? 1.31
1 = BS1 * WS1 + BS2 * WS2

1 = BS1 *1/3 + 1.31 * 1/3
BS1 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
Stock E(RM) RF S1 S2
Weight 0.333333 0.333333 0.333333 1
E(R)
Beta 1 0 ?? 1.31
1 = BS1 * WS1 + BS2 * WS2

1 = BS1 *1/3 + 1.31 * 1/3
BS1 1.69 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
Beta of asset 1.25
E(RM) 0.117
Rf 0.045
E(Ri) E(Ri) = Rf + (E(RM) - Rf)*Bi
Beta of asset 1.25
E(RM) 0.117
Rf 0.045
E(Ri) 0.135 E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf 0.069
Rf 0.055
E(Ri) 0.142
Bi = (E(Ri)-Rf)/(E(RM)-Rf)
E(Ri) = Rf + (E(RM) - Rf)*Bi

E(RM) - Rf 0.069
Rf 0.055
E(Ri) 0.142
Bi = (E(Ri)-Rf)/(E(RM)-Rf) 1.26087

Beta of asset 0.85
E(RM) - Rf (E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055
E(Ri) 0.11

Beta of asset 0.85
E(RM) - Rf 0.119706 (E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055
E(Ri) 0.11

Beta of asset 1.15
E(RM) 0.109
Rf (E(Ri) - Bi * E(RM))/(1 - Bi)
E(Ri) 0.119

Beta of asset 1.15
E(RM) 0.109
Rf 0.042333 (E(Ri) - Bi * E(RM))/(1 - Bi)
E(Ri) 0.119

a Stock A
Beta 1.2
E(Ri) 0.118
Rf 0.038
Weight of Stock A Weight of Stock Rf E(RP) E(RP) using CAPM
0.5 0.5
b
BP 0.8
BP = Bi * Wi + Brf * Wrf
0.8 = 1.2 * Wi + 0 * (1-Wi)
0.8 / 1.2 = Wi
Wrf
c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

.11 = .118 * Wi + .038 * (1 - Wi)
.11 = .118 * Wi + .038 - .038Wi
(.11 -.038) / (.118 - .038) = Wi
d BP 2.4
2.4 = 1.2 * Wi + 0 * (1-Wi)
2.4 / 1.2 = Wi Invested 200% in stock because of borrowing
Wrf Invested -100% in Rf because of borrowing. Represents borrowing at Risk
2.4 = 1.2 * 2
g. Represents borrowing at Risk Free Rate
a Stock A
Beta 1.2
E(Ri) 0.118
Rf 0.038
Weight of Stock A Weight of Stock Rf E(RP) E(RP) using CAPM
0.5 0.5 0.078
b
BP 0.8
0.8 = 1.2 * Wi + 0 * (1-Wi)
0.8 / 1.2 = Wi 0.666666666666667
Wrf 0.333333333333333
c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

0.9 .11 = .118 * Wi + .038 * (1 - Wi)
.11 = .118 * Wi + .038 - .038Wi
(.11 -.038) / (.118 - .038) = Wi
d BP 2.4
2.4 = 1.2 * Wi + 0 * (1-Wi)
2.4 / 1.2 = Wi 2 Invested 200% in stock because of borrowing
Wrf -1 Invested -100% in Rf because of borrowing. Represents borrowing at Risk
2.4 = 1.2 * 2
g. Represents borrowing at Risk Free Rate
Asset W
E(RW) 0.13
BW 1.25
Rf 0.045
Risk Premium = E(RM) - Rf (E(Ri) - Rf)/Bi = E(RM) - Rf
E(RM) - Rf
Portfolio
Percentage of Portfolio in Portfolio Expected
W Beta Return
0
0.25
0.5
0.75
1
1.25
1.5
Asset W
E(RW) 0.13
BW 1.25
Rf 0.045
Risk Premium = E(RM) - Rf 0.068 (E(Ri) - Rf)/Bi = E(RM) - Rf
E(RM) - Rf 0.068
P
o
Portfolio r Portfolio Expected Return
Percentage of Portfolio in Portfolio Expected t
f 0.2
W Beta Return o 0.18
0 0 0.045 l 0.16 f(x) = 0.068 x + 0.045
i 0.14
0.25 0.3125 0.06625 o
0.12
0.5 0.625 0.0875 E 0.1
x 0.08
0.75 0.9375 0.10875 p 0.06
1 1.25 0.13 e 0.04
c 0.02
1.25 1.5625 0.15125 t
0
e
1.5 1.875 0.1725 d 0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8
R Portfolio Beta
e
t
u
r
n
d Return
1.2 1.4 1.6 1.8 2

a
Stock Y
Beta 1.3
E(RY) 0.13
Expected Return using CAPM is higher than the Expected Return given
calculated using CAMP prices the risk (systematic risk) at 13.6%. This me
CAPM => E(RY) = Rf + 13% is below the SML, which means the stock is over valued - Low Rate
(E(RM)-Rf)*BY 0.136 enough reward for the given risk level.
Stock Y is offering a 6.54% return for 1 unit of Systematic Risk. Since the
0.07, we can see that Y is not offering a rate high enough. In a competitiv
Reward To Risk Ratio stock will be bid down. In theory, this stock will bid down until the retur
=> (E(RY) - Rf)/BY 0.065384615384615 offered in the market.
Stock Z
Beta 0.75
E(RZ) 0.105
Expected Return using CAPM is lower than the Expected Return given
calculated using CAPM prices the risk (systematic risk) at 9.75%. The given
(above the SML) and there for is priced too low - High Rate / Low Price. T
CAPM => E(RZ) = Rf + the model suggests there should be at the given risk level. If we believe
(E(RM)-Rf)*BZ 0.0975 buy.
Stock Z is offering a 8.00% return for 1 unit of Systematic Risk. Since the
0.07, we can see that Z is offering a higher rate. In a competitive marke
Reward To Risk Ratio should be bid up. In theory, this stock should be bid up until the return
=> (E(RZ) - Rf)/BZ 0.08 offered in the market.
Rf 0.045
Market Risk Premium
= E(RM) - Rf 0.07
Goal Are stocks priced correctly?
Check:
an the Expected Return given. The Expected Return
matic risk) at 13.6%. This means that the given rate of
ck is over valued - Low Rate / High Price. There is not
d for the given risk level.
of Systematic Risk. Since the Market Risk Premium is

high enough. In a competitive market the price of this
k will bid down until the return is equal to the return
d in the market.
n the Expected Return given. The Expected Return

matic risk) at 9.75%. The given rate of 10.5% is too high
ow - High Rate / Low Price. There is more reward than
given risk level. If we believed our model, we would
buy.
of Systematic Risk. Since the Market Risk Premium is

rate. In a competitive market the price of this stock
uld be bid up until the return is equal to the return
d in the market.
Stock Y
Beta 1.3
E(RY) 0.13
CAPM => E(RY) = Rf + (E(RM)-Rf)*BY
Reward To Risk Ratio => (E(RY) - Rf)/BY
Stock Z
Beta 0.75
E(RZ) 0.105
CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ
Reward To Risk Ratio => (E(RZ) - Rf)/BZ
Rf 0.045
Market Risk Premium = E(RM) - Rf 0.07
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75
…
Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75)
Stock Y
Beta 1.3
E(RY) 0.13
CAPM => E(RY) = Rf + (E(RM)-Rf)*BY 0.136
Reward To Risk Ratio => (E(RY) - Rf)/BY 0.065384615384615
Stock Z
Beta 0.75
E(RZ) 0.105
CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ 0.0975
Reward To Risk Ratio => (E(RZ) - Rf)/BZ 0.08
Rf 0.045
Market Risk Premium = E(RM) - Rf 0.07
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75
…
Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75) 0.070909090909091
Historical
Average
Return =
Investment RH
Large Stocks 11.70%
Small Stocks 16.40%
Long-term Corporate Bonds 6.20%
Long-term Government Bonds 6.10%
U.S. Treasury Bills = Rf 3.80%
Inflation = I 3.10%
WLC 50.00%
E(RLC) 11.70%
WLTB 50.00%
E(RLTB) 6.20%
E(RP)
WS 50.00%
E(Rs) 16.40%
Wrf 50.00%
E(Rrf) 3.80%
E(RP)
Historical
Average
Return =
Investment RH
Large Stocks 11.70%
Small Stocks 16.40%
Long-term Corporate Bonds 6.20%
Long-term Government Bonds 6.10%
U.S. Treasury Bills = Rf 3.80%
Inflation = I 3.10%
WLC 50.00%
E(RLC) 11.70%
WLTB 50.00%
E(RLTB) 6.20%
E(RP) 8.9500%
WS 50.00%
E(Rs) 16.40%
Wrf 50.00%
E(Rrf) 3.80%
E(RP) 10.1000%
Total To Invest $250,000.00
E(RH) 0.14
E(RL) 0.101 Target
E(RP) 0.1205 0.12
WH 0.5
WL 0.5
Amount To Invest In H $125,000.00
Total To Invest $250,000.00
E(RH) 0.14
E(RL) 0.101 Target
E(RP) 0.12 Used Goal Seek 0.12
WH 0.4871794872
WL 0.5128205128
BJ 1.2
E(RJ) 0.1316
BK 0.75
E(RK) 0.101
Goal: Portfolio w Same Risk as Market
Beta of Market = 1
1 = BJ*WJ + BK*(1-WJ)
(1-.75)/(1.2-.75) = WJ
WJ WJ
WK 1-WJ
E(RP)
BJ 1.2
E(RJ) 0.1316
BK 0.75
E(RK) 0.101
Goal: Portfolio w Same Risk as Market
Beta of Market = 1
1 = BJ*WJ + BK*(1-WJ)
(1-.75)/(1.2-.75) = WJ
WJ 0.555556 WJ
WK 0.444444 1-WJ
E(RP) 0.118
Weight 0.4 0.4 0.2 1
Estimated Stock Estimated Stock Estimated Stock
State Of Prob of Return of A if Return of B if Return of C if Return If State
Ecomnomy State State Occurs State Occurs State Occurs Occurs
Boom 0.15 0.02 0.32 0.6
Normal 0.55 0.1 0.12 0.2
Bust 0.3 0.16 -0.11 -0.35
E(RP)
Total Risk = SDP SQRT
Rf 0.0375
E(RP) - Rf Expected Risk Premium
Deviation^2*
Prob
add
Expected Risk Premium

Weight 0.4 0.4 0.2 1
Estimated Stock Estimated Stock Estimated Stock
State Of Prob of Return of A if Return of B if Return of C if Return If State
Ecomnomy State State Occurs State Occurs State Occurs Occurs
Boom 0.15 0.02 0.32 0.6 0.256
Normal 0.55 0.1 0.12 0.2 0.128
Bust 0.3 0.16 -0.11 -0.35 -0.05
E(RP) 0.0938
Total Risk = SDP 0.10389013428 SQRT
Rf 0.0375
E(RP) - Rf 0.0563 Expected Risk Premium
Deviation^2*
Prob
0.003946326
0.000643302
0.006203532
0.01079316 add
Expected Risk Premium

Estimated Stock Estimated Stock
Return of I if State Return of II if
State Of Economy Prob of State Occurs State Occurs
Recession 0.25 0.02 -0.2
More Total Risk
Normal 0.6 0.32 0.12 and low Beta
Irrational Exuberance 0.15 0.18 0.4 (systematic risk)
means more
E(R) unsystematic Risk
Total Risk = SD
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*Bi
Solve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi Higher Beta means
more Systematic Risk
Most Systematic Risk?
Most Unsystematic Risk?
Market Risk Premium 0.11
Rf 0.04
re Total Risk
d low Beta
stematic risk)
ans more
systematic Risk
Estimated Stock Estimated Stock
Return of I if State Return of II if
State Of Economy Prob of State Occurs State Occurs
Recession 0.25 0.02 -0.2
More Total Risk
Normal 0.6 0.32 0.12 and low Beta
Irrational Exuberance 0.15 0.18 0.4 (systematic risk)
means more
E(R) 0.224 0.082 unsystematic Risk
Total Risk = SD 0.1273734666247 0.1895151708967
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*Bi
Solve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi Higher Beta means
more Systematic Risk
Most Systematic Risk? 1.6727272727273 0.3818181818182
Most Unsystematic Risk?
Market Risk Premium 0.11
Rf 0.04
re Total Risk
d low Beta
stematic risk)
ans more
systematic Risk
http://finance.yahoo.com/ Good
www.stlouisfed.org
http://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
3 month 0.0016
Mean -0.003598 check Mean
Geomean -0.014096 1.41 Geomean
STDEV 0.1500998 STDEV
Beta 0.0628437
Stock FLIR Index S&P 500

Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 1
2 10/1/2010 27.84 0.016058394161 10/1/2010 1183.26 -0.005162 1
3 9/1/2010 25.7 -0.07686781609 9/1/2010 1141.2 -0.035546 1
4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 1
5 7/1/2010 29.76 0.185657370518 7/1/2010 1101.6 0.0498127 1
6 6/1/2010 29.09 -0.02251344086 6/1/2010 1030.71 -0.064352 1
7 5/3/2010 28.49 -0.02062564455 5/3/2010 1089.41 0.056951 1
8 4/1/2010 30.59 0.07371007371 4/1/2010 1186.69 0.089296 1
9 3/1/2010 28.18 -0.07878391631 3/1/2010 1169.43 -0.014545 1
10 2/1/2010 26.81 -0.04861603974 2/1/2010 1104.49 -0.055531 1
11 1/4/2010 29.58 0.103319656844 1/4/2010 1073.87 -0.027723 1
12 12/1/2009 32.73 0.106490872211 12/1/2009 1115.1 0.0383938 1
13 11/2/2009 28.7 -0.12312862817 11/2/2009 1095.63 -0.01746 1
14 10/1/2009 27.81 -0.03101045296 10/1/2009 1036.19 -0.054252 1
15 9/1/2009 27.97 0.005753326142 9/1/2009 1057.08 0.0201604 1
16 8/3/2009 23.02 -0.17697533071 8/3/2009 1020.62 -0.034491 1
17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 1
18 6/1/2009 22.56 0.049790600279 6/1/2009 919.32 -0.069024 1
19 5/1/2009 22.46 -0.00443262411 5/1/2009 919.14 -0.000196 1
20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 1
21 3/2/2009 20.48 -0.07664562669 3/2/2009 797.87 -0.085861 1
22 2/2/2009 20.41 -0.00341796875 2/2/2009 735.09 -0.078684 1
23 1/2/2009 24.97 0.22341989221 1/2/2009 825.88 0.1235087 1
24 12/1/2008 30.68 0.228674409291 12/1/2008 903.25 0.0936819 1
25 11/3/2008 31 0.010430247718 11/3/2008 896.24 -0.007761 1
26 10/1/2008 32.1 0.035483870968 10/1/2008 968.75 0.0809047 1
27 9/2/2008 38.42 0.196884735202 9/2/2008 1166.36 0.2039845 1
28 8/1/2008 35.7 -0.07079646018 8/1/2008 1282.83 0.0998577 1
29 7/1/2008 40.74 0.141176470588 7/1/2008 1267.38 -0.012044 1
30 6/2/2008 40.57 -0.00417280314 6/2/2008 1280 0.0099576 1
31 5/1/2008 39.42 -0.02834606852 5/1/2008 1400.38 0.0940469 1
32 4/1/2008 34.33 -0.12912227296 4/1/2008 1385.59 -0.010561 1
33 3/3/2008 30.09 -0.12350713662 3/3/2008 1322.7 -0.045389 1
34 2/1/2008 28.46 -0.05417082087 2/1/2008 1330.63 0.0059953 1
35 1/2/2008 30.28 0.06394940267 1/2/2008 1378.55 0.036013 1
36 12/3/2007 31.3 0.033685601057 12/3/2007 1468.36 0.0651482 1
37 11/1/2007 34.37 0.098083067093 11/1/2007 1481.14 0.0087036 1
38 10/1/2007 34.69 0.009310445156 10/1/2007 1549.38 0.0460726 1
39 9/4/2007 27.69 -0.20178725858 9/4/2007 1526.75 -0.014606 1
40 8/1/2007 24.62 -0.11087035031 8/1/2007 1473.99 -0.034557 1
41 7/2/2007 21.83 -0.11332250203 7/2/2007 1455.27 -0.0127 1
42 6/1/2007 23.12 0.059092991296 6/1/2007 1503.35 0.0330385 1
43 5/1/2007 20.68 -0.10553633218 5/1/2007 1530.62 0.0181395 1
44 4/2/2007 20.25 -0.02079303675 4/2/2007 1482.37 -0.031523 1
45 3/1/2007 17.83 -0.11950617284 3/1/2007 1420.86 -0.041494 1
46 2/1/2007 17.38 -0.02523836231 2/1/2007 1406.82 -0.009881 1
47 1/3/2007 15.45 -0.11104718067 1/3/2007 1438.24 0.0223341 1
48 12/1/2006 15.91 0.029773462783 12/1/2006 1418.3 -0.013864 1
49 11/1/2006 16.1 0.011942174733 11/1/2006 1400.63 -0.012459 1
50 10/2/2006 15.97 -0.00807453416 10/2/2006 1377.94 -0.0162 1
51 9/1/2006 13.58 -0.14965560426 9/1/2006 1335.85 -0.030546 1
52 8/1/2006 13.85 0.019882179676 8/1/2006 1303.82 -0.023977 1
53 7/3/2006 11.99 -0.13429602888 7/3/2006 1276.66 -0.020831 1
54 6/1/2006 11.45 -0.04503753128 6/1/2006 1270.2 -0.00506 1
55 5/1/2006 12.81 0.118777292576 5/1/2006 1270.09 -8.66E-05 1
56 4/3/2006 12.23 -0.04527712724 4/3/2006 1310.61 0.0319033 1
57 3/1/2006 14.2 0.161079313164 3/1/2006 1294.87 -0.01201 1
58 2/1/2006 12.92 -0.09014084507 2/1/2006 1280.66 -0.010974 1
59 1/3/2006 11.85 -0.08281733746 1/3/2006 1280.08 -0.000453 1
60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 1
61 11/1/2005 12.4 0.111111111111 11/1/2005 1249.48 0.0009533 1
62 10/3/2005 10.48 -0.15483870968 10/3/2005 1207.01 -0.03399 1
63 9/1/2005 14.78 0.410305343511 9/1/2005 1228.81 0.0180612 1
64 8/1/2005 16.15 0.092692828146 8/1/2005 1220.33 -0.006901 1
65 7/1/2005 16.44 0.017956656347 7/1/2005 1234.18 0.0113494 1
66 6/1/2005 14.92 -0.09245742092 6/1/2005 1191.33 -0.034719 1
67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 1
68 4/1/2005 13.3 -0.00746268657 4/1/2005 1156.85 -0.029081 1
69 3/1/2005 15.15 0.139097744361 3/1/2005 1180.59 0.0205212 1
70 2/1/2005 15.62 0.03102310231 2/1/2005 1203.6 0.0194903 1
71 1/3/2005 15.24 -0.02432778489 1/3/2005 1181.27 -0.018553 1
72 12/1/2004 15.95 0.046587926509 12/1/2004 1211.92 0.0259467 1
73 11/1/2004 14.09 -0.11661442006 11/1/2004 1173.82 -0.031438 1
74 10/1/2004 13.3 -0.05606813343 10/1/2004 1130.2 -0.037161 1
75 9/1/2004 14.62 0.099248120301 9/1/2004 1114.58 -0.013821 1
76 8/2/2004 14.59 -0.00205198358 8/2/2004 1104.24 -0.009277 1
77 7/1/2004 15.91 0.090472926662 7/1/2004 1101.72 -0.002282 1
78 6/1/2004 13.73 -0.13702074167 6/1/2004 1140.84 0.0355081 1
79 5/3/2004 12.3 -0.10415149308 5/3/2004 1120.68 -0.017671 1
80 4/1/2004 11.71 -0.04796747967 4/1/2004 1107.3 -0.011939 1
81 3/1/2004 9.53 -0.18616567037 3/1/2004 1126.21 0.0170776 1
82 2/2/2004 9.61 0.008394543547 2/2/2004 1144.94 0.016631 1
83 1/2/2004 9.05 -0.05827263267 1/2/2004 1131.13 -0.012062 1
84 12/1/2003 9.12 0.00773480663 12/1/2003 1111.92 -0.016983 1
85 11/3/2003 8.61 -0.05592105263 11/3/2003 1058.2 -0.048313 1
86 10/1/2003 7.82 -0.09175377468 10/1/2003 1050.71 -0.007078 1
87 9/2/2003 6.36 -0.18670076726 9/2/2003 995.97 -0.052098 1
88 8/1/2003 6.61 0.039308176101 8/1/2003 1008.01 0.0120887 1
89 7/1/2003 6.78 0.025718608169 7/1/2003 990.31 -0.017559 1
90 6/2/2003 7.53 0.110619469027 6/2/2003 974.5 -0.015965 1
91 5/1/2003 7.13 -0.05312084993 5/1/2003 963.59 -0.011195 1
92 4/1/2003 6.51 -0.08695652174 4/1/2003 916.92 -0.048433 1
93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 1
94 2/3/2003 5.53 -0.06745362563 2/3/2003 841.15 -0.008288 1
95 1/2/2003 5.84 0.056057866184 1/2/2003 855.7 0.0172977 1
96 12/2/2002 6.1 0.044520547945 12/2/2002 879.82 0.0281874 1
97 11/1/2002 5.44 -0.10819672131 11/1/2002 936.31 0.0642063 1
98 10/1/2002 5.92 0.088235294118 10/1/2002 885.76 -0.053989 1
99 9/3/2002 4.37 -0.26182432432 9/3/2002 815.28 -0.07957 1
100 8/1/2002 4.74 0.08466819222 8/1/2002 916.07 0.1236262 1
101 7/1/2002 5.11 0.07805907173 7/1/2002 911.62 -0.004858 1
102 6/3/2002 5.25 0.027397260274 6/3/2002 989.82 0.0857814 1
103 5/1/2002 5.53 0.053333333333 5/1/2002 1067.14 0.0781152 1
104 4/1/2002 4.98 -0.09945750452 4/1/2002 1076.92 0.0091647 1
105 3/1/2002 5.97 0.198795180723 3/1/2002 1147.39 0.0654366 1
106 2/4/2002 6.82 0.142378559464 2/1/2002 1106.73 -0.035437 0
107 1/2/2002 5.71 -0.16275659824 1/2/2002 1130.2 0.0212066 1
108 12/3/2001 4.74 -0.16987740806 12/3/2001 1148.08 0.0158202 1
109 11/1/2001 5.02 0.059071729958 11/1/2001 1139.45 -0.007517 1
110 10/1/2001 5.79 0.153386454183 10/1/2001 1059.78 -0.06992 1
111 9/4/2001 5.13 -0.11398963731 9/4/2001 1040.94 -0.017777 1
112 8/1/2001 3.53 -0.31189083821 8/1/2001 1133.58 0.0889965 1
113 7/2/2001 3.76 0.065155807365 7/2/2001 1211.23 0.0684998 1
114 6/1/2001 3.13 -0.16755319149 6/1/2001 1224.38 0.0108567 1
115 5/1/2001 2.01 -0.35782747604 5/1/2001 1255.82 0.0256783 1
116 4/2/2001 1.72 -0.14427860697 4/2/2001 1249.46 -0.005064 1
117 3/1/2001 1.02 -0.40697674419 3/1/2001 1160.33 -0.071335 1
118 2/1/2001 0.88 -0.13725490196 2/1/2001 1239.94 0.0686098 1
119 1/2/2001 0.62 -0.29545454545 1/2/2001 1366.01 0.1016743 1
120 12/1/2000 0.7 0.129032258065 12/1/2000 1320.28 -0.033477 1
121 11/1/2000 0.45 -0.35714285714 11/1/2000 1314.95 -0.004037 1
122 10/2/2000 0.75 0.666666666667 10/2/2000 1429.4 0.0870375 1
123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 1
124 8/1/2000 0.7 -0.06666666667 8/1/2000 1517.68 0.056505 1
125 7/3/2000 0.97 0.385714285714 7/3/2000 1430.83 -0.057226 1
126 6/23/2000 0.81 -0.16494845361 6/1/2000 1454.6 0.0166127 0
127 5/1/2000 1.15 0.41975308642 5/1/2000 1420.6 -0.023374 1
128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 1
129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 1
130 2/1/2000 1.98 0.721739130435 2/1/2000 1366.42 -0.08819 1
131 1/3/2000 2.3 0.161616161616 1/3/2000 1394.46 0.0205208 1
132 12/1/1999 2.03 -0.11739130435 12/1/1999 1469.25 0.0536337 1
133 11/1/1999 1.91 -0.05911330049 11/1/1999 1388.91 -0.054681 1
134 10/1/1999 1.77 -0.07329842932 10/1/1999 1362.93 -0.018705 1
135 9/1/1999 1.62 -0.08474576271 9/1/1999 1282.71 -0.058858 1
136 8/2/1999 2.06 0.271604938272 8/2/1999 1320.41 0.0293909 1
137 7/1/1999 2.2 0.067961165049 7/1/1999 1328.72 0.0062935 1
138 6/1/1999 1.89 -0.14090909091 6/1/1999 1372.71 0.0331071 1
139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 1
140 4/1/1999 1.72 0.02994011976 4/1/1999 1335.18 0.0256099 1
141 3/1/1999 2.27 0.31976744186 3/1/1999 1286.37 -0.036557 1
142 2/1/1999 2.3 0.013215859031 2/1/1999 1238.33 -0.037345 1
143 1/4/1999 2.73 0.186956521739 1/4/1999 1279.64 0.0333594 1
144 12/1/1998 2.91 0.065934065934 12/1/1998 1229.23 -0.039394 1
145 11/2/1998 2.41 -0.17182130584 11/2/1998 1163.63 -0.053367 1
146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 1
147 9/1/1998 1.66 -0.21327014218 9/1/1998 1017.01 -0.074326 1
148 8/3/1998 1.31 -0.21084337349 8/3/1998 957.28 -0.058731 1
149 7/1/1998 2.09 0.595419847328 7/1/1998 1120.67 0.1706815 1
150 6/1/1998 2.16 0.033492822967 6/1/1998 1133.84 0.0117519 1
151 5/1/1998 2.34 0.083333333333 5/1/1998 1090.82 -0.037942 1
152 4/1/1998 2.58 0.102564102564 4/1/1998 1111.75 0.0191874 1
153 3/2/1998 2.53 -0.01937984496 3/2/1998 1101.75 -0.008995 1
154 2/2/1998 2.41 -0.04743083004 2/2/1998 1049.34 -0.04757 1
155 1/2/1998 2.22 -0.07883817427 1/2/1998 980.28 -0.065813 1
156 12/1/1997 2.59 0.166666666667 12/1/1997 970.43 -0.010048 1
157 11/3/1997 2.47 -0.04633204633 11/3/1997 955.4 -0.015488 1
158 10/1/1997 2.62 0.060728744939 10/1/1997 914.62 -0.042684 1
159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 1
160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 1
161 7/1/1997 2.55 0.103896103896 7/1/1997 954.31 0.0609692 1
162 6/2/1997 1.97 -0.22745098039 6/2/1997 885.14 -0.072482 1
163 5/1/1997 2 0.015228426396 5/1/1997 848.28 -0.041643 1
164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 1
165 3/3/1997 2.03 0.041025641026 3/3/1997 757.12 -0.055183 1
166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 1
167 1/2/1997 1.81 -0.07179487179 1/2/1997 786.16 -0.005893 1
168 12/2/1996 1.72 -0.04972375691 12/2/1996 740.74 -0.057774 1
169 11/1/1996 1.7 -0.01162790698 11/1/1996 757.02 0.021978 1
170 10/1/1996 1.75 0.029411764706 10/1/1996 705.27 -0.06836 1
171 9/3/1996 1.64 -0.06285714286 9/3/1996 687.33 -0.025437 1
172 8/1/1996 1.72 0.048780487805 8/1/1996 651.99 -0.051416 1
173 7/1/1996 1.61 -0.06395348837 7/1/1996 639.95 -0.018467 1
174 6/3/1996 1.53 -0.04968944099 6/3/1996 670.63 0.0479412 1
175 5/1/1996 1.75 0.143790849673 5/1/1996 669.12 -0.002252 1
176 4/1/1996 1.59 -0.09142857143 4/1/1996 654.17 -0.022343 1
177 3/1/1996 1.53 -0.03773584906 3/1/1996 645.5 -0.013253 1
178 2/1/1996 1.56 0.019607843137 2/1/1996 640.43 -0.007854 1
179 1/2/1996 1.31 -0.16025641026 1/2/1996 636.02 -0.006886 1
180 12/1/1995 1.53 0.167938931298 12/1/1995 615.93 -0.031587 1
181 11/1/1995 1.62 0.058823529412 11/1/1995 605.37 -0.017145 1
182 10/2/1995 1.59 -0.01851851852 10/2/1995 581.5 -0.03943 1
183 9/1/1995 1.53 -0.03773584906 9/1/1995 584.41 0.0050043 1
184 8/1/1995 1.62 0.058823529412 8/1/1995 561.88 -0.038552 1
185 7/3/1995 1.77 0.092592592593 7/3/1995 562.06 0.0003204 1
186 6/1/1995 1.78 0.005649717514 6/1/1995 544.75 -0.030797 1
187 5/1/1995 1.56 -0.12359550562 5/1/1995 533.4 -0.020835 1
188 4/3/1995 1.75 0.121794871795 4/3/1995 514.71 -0.035039 1
189 3/1/1995 1.94 0.108571428571 3/1/1995 500.71 -0.0272 1
190 2/1/1995 1.81 -0.06701030928 2/1/1995 487.39 -0.026602 1
191 1/3/1995 1.75 -0.03314917127 1/3/1995 470.42 -0.034818 1
192 12/1/1994 1.62 -0.07428571429 12/1/1994 459.27 -0.023702 1
193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 1
194 10/3/1994 1.69 0.043209876543 10/3/1994 472.35 0.0411294 1
195 9/1/1994 1.53 -0.09467455621 9/1/1994 462.71 -0.020409 1
196 8/1/1994 1.5 -0.01960784314 8/1/1994 475.49 0.0276199 1
197 7/1/1994 1.72 0.146666666667 7/1/1994 458.26 -0.036236 1
198 6/1/1994 1.61 -0.06395348837 6/1/1994 444.27 -0.030529 1
199 5/2/1994 1.75 0.086956521739 5/2/1994 456.5 0.0275283 1
200 4/4/1994 1.83 0.045714285714 4/4/1994 450.91 -0.012245 1
201 3/1/1994 1.72 -0.06010928962 3/1/1994 445.77 -0.011399 1
202 2/1/1994 1.52 -0.11627906977 2/1/1994 467.14 0.0479395 1
203 1/3/1994 1.53 0.006578947368 1/3/1994 481.61 0.0309757 1
204 12/1/1993 1.22 -0.20261437908 12/1/1993 466.45 -0.031478 1
205 11/1/1993 1.34 0.098360655738 11/1/1993 461.79 -0.00999 1
206 10/1/1993 1.38 0.029850746269 10/1/1993 467.83 0.0130795 1
207 9/1/1993 1.5 0.086956521739 9/1/1993 458.93 -0.019024 1
208 8/2/1993 1.22 -0.18666666667 8/2/1993 463.56 0.0100887 1
209 7/1/1993 1.34 0.098360655738 7/1/1993 448.13 -0.033286 1
210 6/22/1993 1.41 0.05223880597 6/22/1993 450.53 0.0053556 1
-0.00360382
-0.00463411 check
0.046093772 450.53
http://finance.yahoo.com/ Good
www.stlouisfed.org
http://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
3 month 0.0016
Mean -0.003598 check Mean
Geomean -0.014096 1.41 Geomean
STDEV 0.1500998 STDEV
Beta 0.0628437
Stock FLIR Index S&P 500

Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 1
2 10/1/2010 27.84 0.016058394161 10/1/2010 1183.26 -0.005162 1
3 9/1/2010 25.7 -0.07686781609 9/1/2010 1141.2 -0.035546 1
4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 1
5 7/1/2010 29.76 0.185657370518 7/1/2010 1101.6 0.0498127 1
6 6/1/2010 29.09 -0.02251344086 6/1/2010 1030.71 -0.064352 1
7 5/3/2010 28.49 -0.02062564455 5/3/2010 1089.41 0.056951 1
8 4/1/2010 30.59 0.07371007371 4/1/2010 1186.69 0.089296 1
9 3/1/2010 28.18 -0.07878391631 3/1/2010 1169.43 -0.014545 1
10 2/1/2010 26.81 -0.04861603974 2/1/2010 1104.49 -0.055531 1
11 1/4/2010 29.58 0.103319656844 1/4/2010 1073.87 -0.027723 1
12 12/1/2009 32.73 0.106490872211 12/1/2009 1115.1 0.0383938 1
13 11/2/2009 28.7 -0.12312862817 11/2/2009 1095.63 -0.01746 1
14 10/1/2009 27.81 -0.03101045296 10/1/2009 1036.19 -0.054252 1
15 9/1/2009 27.97 0.005753326142 9/1/2009 1057.08 0.0201604 1
16 8/3/2009 23.02 -0.17697533071 8/3/2009 1020.62 -0.034491 1
17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 1
18 6/1/2009 22.56 0.049790600279 6/1/2009 919.32 -0.069024 1
19 5/1/2009 22.46 -0.00443262411 5/1/2009 919.14 -0.000196 1
20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 1
21 3/2/2009 20.48 -0.07664562669 3/2/2009 797.87 -0.085861 1
22 2/2/2009 20.41 -0.00341796875 2/2/2009 735.09 -0.078684 1
23 1/2/2009 24.97 0.22341989221 1/2/2009 825.88 0.1235087 1
24 12/1/2008 30.68 0.228674409291 12/1/2008 903.25 0.0936819 1
25 11/3/2008 31 0.010430247718 11/3/2008 896.24 -0.007761 1
26 10/1/2008 32.1 0.035483870968 10/1/2008 968.75 0.0809047 1
27 9/2/2008 38.42 0.196884735202 9/2/2008 1166.36 0.2039845 1
28 8/1/2008 35.7 -0.07079646018 8/1/2008 1282.83 0.0998577 1
29 7/1/2008 40.74 0.141176470588 7/1/2008 1267.38 -0.012044 1
30 6/2/2008 40.57 -0.00417280314 6/2/2008 1280 0.0099576 1
31 5/1/2008 39.42 -0.02834606852 5/1/2008 1400.38 0.0940469 1
32 4/1/2008 34.33 -0.12912227296 4/1/2008 1385.59 -0.010561 1
33 3/3/2008 30.09 -0.12350713662 3/3/2008 1322.7 -0.045389 1
34 2/1/2008 28.46 -0.05417082087 2/1/2008 1330.63 0.0059953 1
35 1/2/2008 30.28 0.06394940267 1/2/2008 1378.55 0.036013 1
36 12/3/2007 31.3 0.033685601057 12/3/2007 1468.36 0.0651482 1
37 11/1/2007 34.37 0.098083067093 11/1/2007 1481.14 0.0087036 1
38 10/1/2007 34.69 0.009310445156 10/1/2007 1549.38 0.0460726 1
39 9/4/2007 27.69 -0.20178725858 9/4/2007 1526.75 -0.014606 1
40 8/1/2007 24.62 -0.11087035031 8/1/2007 1473.99 -0.034557 1
41 7/2/2007 21.83 -0.11332250203 7/2/2007 1455.27 -0.0127 1
42 6/1/2007 23.12 0.059092991296 6/1/2007 1503.35 0.0330385 1
43 5/1/2007 20.68 -0.10553633218 5/1/2007 1530.62 0.0181395 1
44 4/2/2007 20.25 -0.02079303675 4/2/2007 1482.37 -0.031523 1
45 3/1/2007 17.83 -0.11950617284 3/1/2007 1420.86 -0.041494 1
46 2/1/2007 17.38 -0.02523836231 2/1/2007 1406.82 -0.009881 1
47 1/3/2007 15.45 -0.11104718067 1/3/2007 1438.24 0.0223341 1
48 12/1/2006 15.91 0.029773462783 12/1/2006 1418.3 -0.013864 1
49 11/1/2006 16.1 0.011942174733 11/1/2006 1400.63 -0.012459 1
50 10/2/2006 15.97 -0.00807453416 10/2/2006 1377.94 -0.0162 1
51 9/1/2006 13.58 -0.14965560426 9/1/2006 1335.85 -0.030546 1
52 8/1/2006 13.85 0.019882179676 8/1/2006 1303.82 -0.023977 1
53 7/3/2006 11.99 -0.13429602888 7/3/2006 1276.66 -0.020831 1
54 6/1/2006 11.45 -0.04503753128 6/1/2006 1270.2 -0.00506 1
55 5/1/2006 12.81 0.118777292576 5/1/2006 1270.09 -8.66E-05 1
56 4/3/2006 12.23 -0.04527712724 4/3/2006 1310.61 0.0319033 1
57 3/1/2006 14.2 0.161079313164 3/1/2006 1294.87 -0.01201 1
58 2/1/2006 12.92 -0.09014084507 2/1/2006 1280.66 -0.010974 1
59 1/3/2006 11.85 -0.08281733746 1/3/2006 1280.08 -0.000453 1
60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 1
61 11/1/2005 12.4 0.111111111111 11/1/2005 1249.48 0.0009533 1
62 10/3/2005 10.48 -0.15483870968 10/3/2005 1207.01 -0.03399 1
63 9/1/2005 14.78 0.410305343511 9/1/2005 1228.81 0.0180612 1
64 8/1/2005 16.15 0.092692828146 8/1/2005 1220.33 -0.006901 1
65 7/1/2005 16.44 0.017956656347 7/1/2005 1234.18 0.0113494 1
66 6/1/2005 14.92 -0.09245742092 6/1/2005 1191.33 -0.034719 1
67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 1
68 4/1/2005 13.3 -0.00746268657 4/1/2005 1156.85 -0.029081 1
69 3/1/2005 15.15 0.139097744361 3/1/2005 1180.59 0.0205212 1
70 2/1/2005 15.62 0.03102310231 2/1/2005 1203.6 0.0194903 1
71 1/3/2005 15.24 -0.02432778489 1/3/2005 1181.27 -0.018553 1
72 12/1/2004 15.95 0.046587926509 12/1/2004 1211.92 0.0259467 1
73 11/1/2004 14.09 -0.11661442006 11/1/2004 1173.82 -0.031438 1
74 10/1/2004 13.3 -0.05606813343 10/1/2004 1130.2 -0.037161 1
75 9/1/2004 14.62 0.099248120301 9/1/2004 1114.58 -0.013821 1
76 8/2/2004 14.59 -0.00205198358 8/2/2004 1104.24 -0.009277 1
77 7/1/2004 15.91 0.090472926662 7/1/2004 1101.72 -0.002282 1
78 6/1/2004 13.73 -0.13702074167 6/1/2004 1140.84 0.0355081 1
79 5/3/2004 12.3 -0.10415149308 5/3/2004 1120.68 -0.017671 1
80 4/1/2004 11.71 -0.04796747967 4/1/2004 1107.3 -0.011939 1
81 3/1/2004 9.53 -0.18616567037 3/1/2004 1126.21 0.0170776 1
82 2/2/2004 9.61 0.008394543547 2/2/2004 1144.94 0.016631 1
83 1/2/2004 9.05 -0.05827263267 1/2/2004 1131.13 -0.012062 1
84 12/1/2003 9.12 0.00773480663 12/1/2003 1111.92 -0.016983 1
85 11/3/2003 8.61 -0.05592105263 11/3/2003 1058.2 -0.048313 1
86 10/1/2003 7.82 -0.09175377468 10/1/2003 1050.71 -0.007078 1
87 9/2/2003 6.36 -0.18670076726 9/2/2003 995.97 -0.052098 1
88 8/1/2003 6.61 0.039308176101 8/1/2003 1008.01 0.0120887 1
89 7/1/2003 6.78 0.025718608169 7/1/2003 990.31 -0.017559 1
90 6/2/2003 7.53 0.110619469027 6/2/2003 974.5 -0.015965 1
91 5/1/2003 7.13 -0.05312084993 5/1/2003 963.59 -0.011195 1
92 4/1/2003 6.51 -0.08695652174 4/1/2003 916.92 -0.048433 1
93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 1
94 2/3/2003 5.53 -0.06745362563 2/3/2003 841.15 -0.008288 1
95 1/2/2003 5.84 0.056057866184 1/2/2003 855.7 0.0172977 1
96 12/2/2002 6.1 0.044520547945 12/2/2002 879.82 0.0281874 1
97 11/1/2002 5.44 -0.10819672131 11/1/2002 936.31 0.0642063 1
98 10/1/2002 5.92 0.088235294118 10/1/2002 885.76 -0.053989 1
99 9/3/2002 4.37 -0.26182432432 9/3/2002 815.28 -0.07957 1
100 8/1/2002 4.74 0.08466819222 8/1/2002 916.07 0.1236262 1
101 7/1/2002 5.11 0.07805907173 7/1/2002 911.62 -0.004858 1
102 6/3/2002 5.25 0.027397260274 6/3/2002 989.82 0.0857814 1
103 5/1/2002 5.53 0.053333333333 5/1/2002 1067.14 0.0781152 1
104 4/1/2002 4.98 -0.09945750452 4/1/2002 1076.92 0.0091647 1
105 3/1/2002 5.97 0.198795180723 3/1/2002 1147.39 0.0654366 1
106 2/4/2002 6.82 0.142378559464 2/1/2002 1106.73 -0.035437 0
107 1/2/2002 5.71 -0.16275659824 1/2/2002 1130.2 0.0212066 1
108 12/3/2001 4.74 -0.16987740806 12/3/2001 1148.08 0.0158202 1
109 11/1/2001 5.02 0.059071729958 11/1/2001 1139.45 -0.007517 1
110 10/1/2001 5.79 0.153386454183 10/1/2001 1059.78 -0.06992 1
111 9/4/2001 5.13 -0.11398963731 9/4/2001 1040.94 -0.017777 1
112 8/1/2001 3.53 -0.31189083821 8/1/2001 1133.58 0.0889965 1
113 7/2/2001 3.76 0.065155807365 7/2/2001 1211.23 0.0684998 1
114 6/1/2001 3.13 -0.16755319149 6/1/2001 1224.38 0.0108567 1
115 5/1/2001 2.01 -0.35782747604 5/1/2001 1255.82 0.0256783 1
116 4/2/2001 1.72 -0.14427860697 4/2/2001 1249.46 -0.005064 1
117 3/1/2001 1.02 -0.40697674419 3/1/2001 1160.33 -0.071335 1
118 2/1/2001 0.88 -0.13725490196 2/1/2001 1239.94 0.0686098 1
119 1/2/2001 0.62 -0.29545454545 1/2/2001 1366.01 0.1016743 1
120 12/1/2000 0.7 0.129032258065 12/1/2000 1320.28 -0.033477 1
121 11/1/2000 0.45 -0.35714285714 11/1/2000 1314.95 -0.004037 1
122 10/2/2000 0.75 0.666666666667 10/2/2000 1429.4 0.0870375 1
123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 1
124 8/1/2000 0.7 -0.06666666667 8/1/2000 1517.68 0.056505 1
125 7/3/2000 0.97 0.385714285714 7/3/2000 1430.83 -0.057226 1
126 6/23/2000 0.81 -0.16494845361 6/1/2000 1454.6 0.0166127 0
127 5/1/2000 1.15 0.41975308642 5/1/2000 1420.6 -0.023374 1
128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 1
129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 1
130 2/1/2000 1.98 0.721739130435 2/1/2000 1366.42 -0.08819 1
131 1/3/2000 2.3 0.161616161616 1/3/2000 1394.46 0.0205208 1
132 12/1/1999 2.03 -0.11739130435 12/1/1999 1469.25 0.0536337 1
133 11/1/1999 1.91 -0.05911330049 11/1/1999 1388.91 -0.054681 1
134 10/1/1999 1.77 -0.07329842932 10/1/1999 1362.93 -0.018705 1
135 9/1/1999 1.62 -0.08474576271 9/1/1999 1282.71 -0.058858 1
136 8/2/1999 2.06 0.271604938272 8/2/1999 1320.41 0.0293909 1
137 7/1/1999 2.2 0.067961165049 7/1/1999 1328.72 0.0062935 1
138 6/1/1999 1.89 -0.14090909091 6/1/1999 1372.71 0.0331071 1
139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 1
140 4/1/1999 1.72 0.02994011976 4/1/1999 1335.18 0.0256099 1
141 3/1/1999 2.27 0.31976744186 3/1/1999 1286.37 -0.036557 1
142 2/1/1999 2.3 0.013215859031 2/1/1999 1238.33 -0.037345 1
143 1/4/1999 2.73 0.186956521739 1/4/1999 1279.64 0.0333594 1
144 12/1/1998 2.91 0.065934065934 12/1/1998 1229.23 -0.039394 1
145 11/2/1998 2.41 -0.17182130584 11/2/1998 1163.63 -0.053367 1
146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 1
147 9/1/1998 1.66 -0.21327014218 9/1/1998 1017.01 -0.074326 1
148 8/3/1998 1.31 -0.21084337349 8/3/1998 957.28 -0.058731 1
149 7/1/1998 2.09 0.595419847328 7/1/1998 1120.67 0.1706815 1
150 6/1/1998 2.16 0.033492822967 6/1/1998 1133.84 0.0117519 1
151 5/1/1998 2.34 0.083333333333 5/1/1998 1090.82 -0.037942 1
152 4/1/1998 2.58 0.102564102564 4/1/1998 1111.75 0.0191874 1
153 3/2/1998 2.53 -0.01937984496 3/2/1998 1101.75 -0.008995 1
154 2/2/1998 2.41 -0.04743083004 2/2/1998 1049.34 -0.04757 1
155 1/2/1998 2.22 -0.07883817427 1/2/1998 980.28 -0.065813 1
156 12/1/1997 2.59 0.166666666667 12/1/1997 970.43 -0.010048 1
157 11/3/1997 2.47 -0.04633204633 11/3/1997 955.4 -0.015488 1
158 10/1/1997 2.62 0.060728744939 10/1/1997 914.62 -0.042684 1
159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 1
160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 1
161 7/1/1997 2.55 0.103896103896 7/1/1997 954.31 0.0609692 1
162 6/2/1997 1.97 -0.22745098039 6/2/1997 885.14 -0.072482 1
163 5/1/1997 2 0.015228426396 5/1/1997 848.28 -0.041643 1
164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 1
165 3/3/1997 2.03 0.041025641026 3/3/1997 757.12 -0.055183 1
166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 1
167 1/2/1997 1.81 -0.07179487179 1/2/1997 786.16 -0.005893 1
168 12/2/1996 1.72 -0.04972375691 12/2/1996 740.74 -0.057774 1
169 11/1/1996 1.7 -0.01162790698 11/1/1996 757.02 0.021978 1
170 10/1/1996 1.75 0.029411764706 10/1/1996 705.27 -0.06836 1
171 9/3/1996 1.64 -0.06285714286 9/3/1996 687.33 -0.025437 1
172 8/1/1996 1.72 0.048780487805 8/1/1996 651.99 -0.051416 1
173 7/1/1996 1.61 -0.06395348837 7/1/1996 639.95 -0.018467 1
174 6/3/1996 1.53 -0.04968944099 6/3/1996 670.63 0.0479412 1
175 5/1/1996 1.75 0.143790849673 5/1/1996 669.12 -0.002252 1
176 4/1/1996 1.59 -0.09142857143 4/1/1996 654.17 -0.022343 1
177 3/1/1996 1.53 -0.03773584906 3/1/1996 645.5 -0.013253 1
178 2/1/1996 1.56 0.019607843137 2/1/1996 640.43 -0.007854 1
179 1/2/1996 1.31 -0.16025641026 1/2/1996 636.02 -0.006886 1
180 12/1/1995 1.53 0.167938931298 12/1/1995 615.93 -0.031587 1
181 11/1/1995 1.62 0.058823529412 11/1/1995 605.37 -0.017145 1
182 10/2/1995 1.59 -0.01851851852 10/2/1995 581.5 -0.03943 1
183 9/1/1995 1.53 -0.03773584906 9/1/1995 584.41 0.0050043 1
184 8/1/1995 1.62 0.058823529412 8/1/1995 561.88 -0.038552 1
185 7/3/1995 1.77 0.092592592593 7/3/1995 562.06 0.0003204 1
186 6/1/1995 1.78 0.005649717514 6/1/1995 544.75 -0.030797 1
187 5/1/1995 1.56 -0.12359550562 5/1/1995 533.4 -0.020835 1
188 4/3/1995 1.75 0.121794871795 4/3/1995 514.71 -0.035039 1
189 3/1/1995 1.94 0.108571428571 3/1/1995 500.71 -0.0272 1
190 2/1/1995 1.81 -0.06701030928 2/1/1995 487.39 -0.026602 1
191 1/3/1995 1.75 -0.03314917127 1/3/1995 470.42 -0.034818 1
192 12/1/1994 1.62 -0.07428571429 12/1/1994 459.27 -0.023702 1
193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 1
194 10/3/1994 1.69 0.043209876543 10/3/1994 472.35 0.0411294 1
195 9/1/1994 1.53 -0.09467455621 9/1/1994 462.71 -0.020409 1
196 8/1/1994 1.5 -0.01960784314 8/1/1994 475.49 0.0276199 1
197 7/1/1994 1.72 0.146666666667 7/1/1994 458.26 -0.036236 1
198 6/1/1994 1.61 -0.06395348837 6/1/1994 444.27 -0.030529 1
199 5/2/1994 1.75 0.086956521739 5/2/1994 456.5 0.0275283 1
200 4/4/1994 1.83 0.045714285714 4/4/1994 450.91 -0.012245 1
201 3/1/1994 1.72 -0.06010928962 3/1/1994 445.77 -0.011399 1
202 2/1/1994 1.52 -0.11627906977 2/1/1994 467.14 0.0479395 1
203 1/3/1994 1.53 0.006578947368 1/3/1994 481.61 0.0309757 1
204 12/1/1993 1.22 -0.20261437908 12/1/1993 466.45 -0.031478 1
205 11/1/1993 1.34 0.098360655738 11/1/1993 461.79 -0.00999 1
206 10/1/1993 1.38 0.029850746269 10/1/1993 467.83 0.0130795 1
207 9/1/1993 1.5 0.086956521739 9/1/1993 458.93 -0.019024 1
208 8/2/1993 1.22 -0.18666666667 8/2/1993 463.56 0.0100887 1
209 7/1/1993 1.34 0.098360655738 7/1/1993 448.13 -0.033286 1
210 6/22/1993 1.41 0.05223880597 6/22/1993 450.53 0.0053556 1
-0.00360382
-0.00463411 check
0.046093772 450.53
Market Model
Rt - RRf = Alphai + Betai * [RM - RRf] + Epsilont

Rt Return on the Stock for a given period
RRf Risk-Free Rate for a given period
Alphai Regression Intercept 0.4
Betai Regression Slope (stock's estimated Beta) 0.3
RM Return on the Stock Market for a given period
Epsilont Residuals for the Regression f(x) = 1.08657128915339
0.2 x + 3.5
R² = 0.303595783546863
0.1
Weekly Mean 0.00216238515 0.00195716088
Weekly Geomean -0.0006326363 0.00126282847 0
Ave of 2 0.00076487443 -0.15 -0.1 -0.05
0.00160999468 0 0.05
-0.1
APR 0.03977347026 0.08371972316
Rf 0.0016 -0.2
Count 159
Ybar 0.00216238515 -0.3
Intercept = 3.5790331E-05
Slope = Beta 1.08657128915
Standard Error for Linear Regression 0.06252791848
Standard Error for Linear Regression 0.06252791848 Actual - Predicted
Total Variation 0.07492785078 Actual - Average
Explained Variation 0.0412848911 Predicted - Average
Date WFMI Close Adj Weekly Return S&P 500 Adj Weekly Return S
11/22/2010 47.01 1189.4
11/15/2010 45.71 -0.0276536907 1199.73 0.00868505129
11/8/2010 46.86 0.02515860862 1199.21 -0.0004334309
11/1/2010 45.49 -0.0292360222 1225.85 0.02221462463
10/25/2010 39.75 -0.1261815784 1183.26 -0.0347432394
10/18/2010 39.89 0.00352201258 1183.08 -0.0001521221
10/11/2010 38.3 -0.0398596139 1176.19 -0.005823782
10/4/2010 34.57 -0.0973890339 1165.15 -0.0093862386
9/27/2010 37.07 0.07231703789 1146.24 -0.01622967
9/20/2010 37.07 0 1148.67 0.00211997487
9/13/2010 37.09 0.00053951983 1125.59 -0.020092803
9/7/2010 35.47 -0.0436775411 1109.55 -0.0142503043
8/30/2010 36.66 0.03354947843 1104.51 -0.004542382
8/23/2010 35.7 -0.0261865794 1064.59 -0.0361427239
8/16/2010 36.72 0.02857142857 1071.69 0.00666923417
8/9/2010 36.42 -0.0081699346 1079.25 0.00705427876
8/2/2010 36.48 0.00164744646 1121.64 0.03927727589
7/26/2010 37.97 0.04084429825 1101.6 -0.0178666952
7/19/2010 38.77 0.02106926521 1102.66 0.00096223675
7/12/2010 37.21 -0.0402372969 1064.88 -0.0342626013
7/6/2010 36.66 -0.0147809729 1077.96 0.01228307415
6/28/2010 35.02 -0.0447354064 1022.58 -0.0513748191
6/21/2010 38.69 0.10479725871 1076.76 0.05298362964
6/14/2010 40.36 0.04316360817 1117.51 0.03784501653
6/7/2010 39.38 -0.0242814668 1091.6 -0.0231854749
6/1/2010 38.61 -0.0195530726 1064.88 -0.0244778307
5/24/2010 40.43 0.04713804714 1089.41 0.02303545939
5/17/2010 39.24 -0.0294335889 1087.69 -0.0015788363
5/10/2010 40.83 0.04051987768 1135.68 0.04412102713
5/3/2010 36.68 -0.1016409503 1110.88 -0.0218371372
4/26/2010 39.02 0.06379498364 1186.69 0.06824319458
4/19/2010 40.2 0.0302409021 1217.28 0.02577758303
4/12/2010 39.11 -0.0271144279 1192.13 -0.0206608176
4/5/2010 38.8 -0.0079263615 1194.37 0.00187898971
3/29/2010 36.91 -0.0487113402 1178.1 -0.0136222444
3/22/2010 35.41 -0.0406393931 1166.59 -0.0097699686
3/15/2010 35.83 0.0118610562 1159.9 -0.0057346626
3/8/2010 36.3 0.0131174993 1149.99 -0.00854384
3/1/2010 36.11 -0.0052341598 1138.7 -0.0098174767
2/22/2010 35.49 -0.0171697591 1104.49 -0.0300430315
2/16/2010 33.66 -0.0515638208 1109.17 0.00423724977
2/8/2010 29.75 -0.1161616162 1075.51 -0.0303470162
2/1/2010 27.38 -0.0796638655 1066.19 -0.0086656563
1/25/2010 27.22 -0.0058436815 1073.87 0.00720321894
1/19/2010 28.45 0.04518736223 1091.76 0.01665937218
1/11/2010 27.95 -0.0175746924 1136.03 0.04054920495
1/4/2010 27.96 0.00035778175 1144.98 0.00787831307
12/28/2009 27.45 -0.0182403433 1115.1 -0.0260965257
12/21/2009 28.41 0.0349726776 1126.48 0.01020536275
12/14/2009 26.99 -0.0499824006 1102.47 -0.0213141822
12/7/2009 26.67 -0.0118562431 1106.41 0.00357379339
11/30/2009 26.2 -0.0176227972 1105.98 -0.0003886444
11/23/2009 25.9 -0.0114503817 1091.49 -0.0131015027
11/16/2009 26.36 0.01776061776 1091.38 -0.0001007797
11/9/2009 27.49 0.04286798179 1093.48 0.0019241694
11/2/2009 28.25 0.02764641688 1069.3 -0.0221128873
10/26/2009 32.06 0.13486725664 1036.19 -0.0309641822
10/19/2009 33.36 0.04054897068 1079.6 0.04189386116
10/12/2009 33.74 0.01139088729 1087.68 0.00748425343
10/5/2009 31.67 -0.0613515116 1071.49 -0.0148848926
9/28/2009 29.21 -0.0776760341 1025.21 -0.0431921903
9/21/2009 28.77 -0.0150633345 1044.38 0.01869860809
9/14/2009 28.6 -0.0059089329 1068.3 0.02290354086
9/8/2009 28.43 -0.0059440559 1042.73 -0.0239352242
8/31/2009 27.65 -0.0274358072 1016.4 -0.0252510238
8/24/2009 29.11 0.05280289331 1028.93 0.01232782369
8/17/2009 28.78 -0.0113363105 1026.13 -0.0027212736
8/10/2009 28.1 -0.0236275191 1004.09 -0.02147876
8/3/2009 28.42 0.01138790036 1010.48 0.00636397136
7/27/2009 24.19 -0.1488388459 987.48 -0.0227614599
7/20/2009 23.73 -0.0190161224 979.26 -0.0083242192
7/13/2009 21.87 -0.0783817952 940.38 -0.0397034495
7/6/2009 19.25 -0.1197988112 879.13 -0.065133244
6/29/2009 17.97 -0.0664935065 896.42 0.01966717095
6/22/2009 19.2 0.06844741235 918.9 0.02507753062
6/15/2009 19.27 0.00364583333 921.23 0.00253564044
6/8/2009 20.44 0.06071613908 946.21 0.02711592111
6/1/2009 21.16 0.03522504892 940.09 -0.0064679088
5/26/2009 18.87 -0.1082230624 919.14 -0.0222851004
5/18/2009 18.9 0.00158982512 887 -0.0349674696
5/11/2009 19.61 0.03756613757 882.88 -0.0046448703
5/4/2009 22.17 0.13054563998 929.23 0.05249864081
4/27/2009 20.93 -0.0559314389 877.52 -0.0556482249
4/20/2009 19.74 -0.0568561873 866.23 -0.0128658036
4/13/2009 18.48 -0.0638297872 869.6 0.00389042171
4/6/2009 18.36 -0.0064935065 856.56 -0.0149954002
3/30/2009 18.64 0.01525054466 842.5 -0.0164144952
3/23/2009 17.97 -0.035944206 815.94 -0.0315252226
3/16/2009 15.37 -0.1446855871 768.54 -0.0580925068
3/9/2009 14.38 -0.0644111906 756.55 -0.0156010097
3/2/2009 12.08 -0.1599443672 683.38 -0.0967153526
2/23/2009 12.15 0.00579470199 735.09 0.07566800316
2/17/2009 12.84 0.05679012346 770.05 0.04755880232
2/9/2009 9.97 -0.2235202492 826.84 0.07374845789
2/2/2009 10.88 0.09127382146 868.6 0.05050553916
1/26/2009 10.25 -0.0579044118 825.88 -0.0491825927
1/20/2009 11.37 0.10926829268 831.95 0.00734973604
1/12/2009 12.16 0.06948109059 850.12 0.02184025482
1/5/2009 12.57 0.03371710526 890.35 0.04732273091
12/29/2008 9.89 -0.2132060461 931.8 0.04655472567
12/22/2008 8.89 -0.1011122346 872.8 -0.0633183086
12/15/2008 9.96 0.12035995501 887.88 0.01727772686
12/8/2008 10.35 0.03915662651 879.73 -0.0091791684
12/1/2008 10.6 0.02415458937 876.07 -0.0041603674
11/24/2008 10.58 -0.0018867925 896.24 0.0230232744
11/17/2008 8.19 -0.2258979206 800.03 -0.1073484781
11/10/2008 9.38 0.1452991453 873.29 0.09157156607
11/3/2008 10.05 0.07142857143 930.99 0.06607198067
10/27/2008 10.72 0.06666666667 968.75 0.04055897485
10/20/2008 10.74 0.00186567164 876.77 -0.0949470968
10/13/2008 13.98 0.30167597765 940.55 0.07274427729
10/6/2008 14.83 0.06080114449 899.22 -0.0439423741
9/29/2008 18 0.2137559002 1099.23 0.22242610262
9/22/2008 20.64 0.14666666667 1213.27 0.10374534902
9/15/2008 20.79 0.00726744186 1255.08 0.03446058998
9/8/2008 18.43 -0.1135161135 1251.7 -0.0026930554
9/2/2008 18.12 -0.0168204015 1242.31 -0.0075017976
8/25/2008 18.31 0.01048565121 1282.83 0.03261665768
8/18/2008 18.44 0.00709994539 1292.2 0.00730416345
8/11/2008 19.69 0.06778741866 1298.2 0.00464324408
8/4/2008 18.65 -0.0528186897 1296.32 -0.001448159
7/28/2008 21.42 0.14852546917 1260.31 -0.0277786349
7/21/2008 22.52 0.05135387488 1257.76 -0.0020233117
7/14/2008 21.38 -0.0506216696 1260.68 0.00232158758
7/7/2008 21.04 -0.0159027128 1239.49 -0.0168083891
6/30/2008 22.51 0.06986692015 1262.9 0.01888680022
6/23/2008 24.44 0.08573967126 1278.38 0.01225750257
6/16/2008 26.09 0.06751227496 1317.93 0.03093759289
6/9/2008 26.93 0.03219624377 1360.03 0.03194403345
6/2/2008 28.25 0.04901596732 1360.68 0.00047793063
5/27/2008 28.75 0.01769911504 1400.38 0.02917658818
5/19/2008 27.38 -0.0476521739 1375.93 -0.0174595467
5/12/2008 28.81 0.05222790358 1425.35 0.03591752487
5/5/2008 32.5 0.12808052759 1388.28 -0.0260076472
4/28/2008 34.68 0.06707692308 1413.9 0.01845449045
4/21/2008 30.92 -0.1084198385 1397.84 -0.0113586534
4/14/2008 32.67 0.05659767141 1390.33 -0.0053725748
4/7/2008 31.76 -0.0278543006 1332.83 -0.0413570879
3/31/2008 33.4 0.0516372796 1370.4 0.02818814102
3/24/2008 32.01 -0.0416167665 1315.22 -0.0402656159
3/17/2008 32.18 0.00531084036 1329.51 0.01086510242
3/10/2008 30.72 -0.0453697949 1288.14 -0.0311167272
3/3/2008 33.58 0.09309895833 1293.37 0.00406011769
2/25/2008 34.64 0.03156640858 1330.63 0.02880846162
2/19/2008 36.23 0.04590069284 1353.11 0.0168942531
2/11/2008 38.55 0.06403532984 1349.99 -0.0023057992
2/4/2008 38.81 0.00674448768 1331.29 -0.0138519545
1/28/2008 40.17 0.03504251482 1395.42 0.04817132255
1/22/2008 37.01 -0.0786656709 1330.61 -0.046444798
1/14/2008 34.57 -0.0659281275 1325.19 -0.0040733198
1/7/2008 36.96 0.06913508823 1401.02 0.05722198326
12/31/2007 37.16 0.00541125541 1411.63 0.00757305392
12/24/2007 40.77 0.0971474704 1478.49 0.04736368595
12/17/2007 41.73 0.02354672553 1484.46 0.00403790354
12/10/2007 39.77 -0.0469686077 1467.95 -0.0111218894
12/3/2007 42.19 0.06084988685 1504.66 0.02500766375
11/26/2007 42.15 -0.000948092 1481.14 -0.0156314383
11/19/2007 39.94 -0.0524317912 1440.7 -0.0273032934
11/12/2007 44.4 0.11166750125 1458.74 0.01252169084
11/9/2007 42.51 -0.0425675676 1453.7 -0.0034550365
Beta WFMI
0.4
0.3
x) = 1.08657128915339
0.2 x + 3.57903311016549E-05
= 0.303595783546863 Beta WFMI
0.1 Linear (Beta WFMI)
0
-0.05 0 0.05 0.1 0.15 0.2 0.25
-0.1
-0.2
-0.3
Yhat estimated WFMI (Y-Yhat) Residuals Total Variation (Y-

Date Return (Actual - Predicted) Ybar)
11/22/2010 1
11/15/2010 1 0.00947271770369 -0.03712640840779 -0.02981607585614
11/8/2010 1 -0.00043516319207 0.02559377181163 0.02299622346753
11/1/2010 1 0.02417356365108 -0.05340958584484 -0.0313984073458
10/25/2010 1 -0.03771521607673 -0.08846636229214 -0.12834396352091
10/18/2010 1 -0.00012950117884 0.00365151375745 0.00135962742658
10/11/2010 1 -0.00629216397652 -0.03356744996181 -0.04202199909036
10/4/2010 1 -0.01016302706426 -0.0872260068783 -0.09955141909459
9/27/2010 1 -0.01759890312287 0.08991594101699 0.0701546527421
9/20/2010 1 0.00233929416332 -0.00233929416332 -0.00216238515203
9/13/2010 1 -0.02179647250649 0.02233599233385 -0.00162286532468
9/7/2010 1 -0.01544818116653 -0.02822935994967 -0.04583992626824
8/30/2010 1 -0.00489983158529 0.03844931001777 0.03138709328045
8/23/2010 1 -0.03923585579524 0.01304927641717 -0.0283489645301
8/16/2010 1 0.00728238869572 0.02128903987571 0.0264090434194
8/9/2010 1 0.00770076709304 -0.01587070173356 -0.01033231979256
8/2/2010 1 0.04271335062502 -0.04106590416703 -0.00051493869404
7/26/2010 1 -0.01937764770127 0.06022194594689 0.03868191309358
7/19/2010 1 0.00108132915327 0.0199879360561 0.01890688005734
7/12/2010 1 -0.03719296858299 -0.00304432829604 -0.04239968203106
7/6/2010 1 0.01338222604416 -0.02816319890092 -0.01694335800879
6/28/2010 1 -0.0557866130914 0.01105120665386 -0.04689779158957
6/21/2010 1 0.05760628109596 0.04719097761335 0.10263487355728
6/14/2010 1 0.0411570987313 0.00200650943618 0.04100122301545
6/7/2010 1 -0.02515688096666 0.00087541416785 -0.02644385195084
6/1/2010 1 -0.02656111773612 0.00700804511042 -0.02171545777773
5/24/2010 1 0.02506545914161 0.02207258799644 0.04497566198601
5/17/2010 1 -0.00167972780931 -0.02775386110981 -0.03159597407115
5/10/2010 1 0.04797643165949 -0.00745655398365 0.03835749252381
5/3/2010 1 -0.02369181601136 -0.0779491342703 -0.10380333543369
4/26/2010 1 0.0741868862467 -0.01039190260439 0.06163259849028
4/19/2010 1 0.02804497194989 0.00219593015159 0.02807851694945
4/12/2010 1 -0.02241366084053 -0.00470076702016 -0.02927681301273
4/5/2010 1 0.00207744659988 -0.01000380814425 -0.01008874669639
3/29/2010 1 -0.01476574928771 -0.03394559091847 -0.05087372535822
3/22/2010 1 -0.01057997703852 -0.03005941607987 -0.04280177827043
3/15/2010 1 -0.00619532936342 0.01805638556224 0.00969867104678
3/8/2010 1 -0.00924770089703 0.02236520019929 0.01095511415023
3/1/2010 1 -0.01063159795449 0.00539743817487 -0.00739654493165
2/22/2010 1 -0.03260810516546 0.01543834609595 -0.01933214422154
2/16/2010 1 0.00463986427766 -0.05620368507225 -0.05372620594662
2/8/2010 1 -0.03293840622389 -0.08322320993772 -0.11832400131365
2/1/2010 1 -0.00938006299886 -0.07028380254736 -0.08182625069825
1/25/2010 1 0.00786260121912 -0.01370628273848 -0.00800606667139
1/19/2010 1 0.01813738583424 0.02704997639941 0.04302497708162
1/11/2010 1 0.04409539223154 -0.06167008467442 -0.01973707759491
1/4/2010 1 0.00859613912288 -0.00823835736975 -0.0018046033989
12/28/2009 1 -0.02831994524498 0.01007960189734 -0.02040272849967
12/21/2009 1 0.01112464448819 0.02384803310744 0.0328102924436
12/14/2009 1 -0.02312358813329 -0.02685881242989 -0.05214478571521
12/7/2009 1 0.00391897162335 -0.01577521467633 -0.01401862820501
11/30/2009 1 -0.00038649946593 -0.01723629768442 -0.01978518230239
11/23/2009 1 -0.01419992639057 0.00274954471118 -0.01361276683142
11/16/2009 1 -7.3713962851E-05 0.01783433172347 0.01559823260859
11/9/2009 1 0.00212653755684 0.04074144423376 0.04070559663856
11/2/2009 1 -0.02399143812459 0.05163785500345 0.02548403172683
10/26/2009 1 -0.03360900101265 0.16847625764981 0.13270487148514
10/19/2009 1 0.04555645706418 -0.00500748638421 0.03838658552794
10/12/2009 1 0.00816796522584 0.00322292206433 0.00922850213814
10/5/2009 1 -0.01613770662701 -0.04521380493198 -0.06351389671101
9/28/2009 1 -0.0468956035802 -0.03078043052148 -0.07983841925371
9/21/2009 1 0.02035316102888 -0.03541649550338 -0.01722571962653
9/14/2009 1 0.02492212024603 -0.03083105316226 -0.00807131806826
9/8/2009 1 -0.02597153707099 0.02002748112693 -0.00810644109609
8/31/2009 1 -0.02740124710276 -3.4560143109E-05 -0.0295981923979
8/24/2009 1 0.01343084961199 0.03937204369724 0.05064050815719
8/17/2009 1 -0.00292106738481 -0.0084152431614 -0.01349869569824
8/10/2009 1 -0.02330241361279 -0.00032510549771 -0.02578990426253
8/3/2009 1 0.00695069889277 0.0044372014631 0.00922551520384
7/27/2009 1 -0.02469615849572 -0.12414268738746 -0.15100123103521
7/20/2009 1 -0.00900906728307 -0.01000705508154 -0.02117850751665
7/13/2009 1 -0.04310483802325 -0.0352769571727 -0.08054418034799
7/6/2009 1 -0.07073612257713 -0.0490626885797 -0.12196119630887
6/29/2009 1 0.02140557362761 -0.08789908012112 -0.06865589164554
6/22/2009 1 0.02728431510762 0.0411630972463 0.06628502720189
6/15/2009 1 0.00279094443245 0.00085488890089 0.0014834481813
6/8/2009 1 0.02949917168326 0.03121696739302 0.05855375392425
6/1/2009 1 -0.00699205368832 0.042217102612 0.03306266377165
5/26/2009 1 -0.02417855989894 -0.08404450248291 -0.11038544753389
5/18/2009 1 -0.03795885818098 0.03954868330021 -0.0005725600328
5/11/2009 1 -0.0050111924325 0.04257732999863 0.03540375241411
5/4/2009 1 0.05707930615688 0.07346633382273 0.12838325482757
4/27/2009 1 -0.06042997310973 0.00449853422836 -0.0580938240334
4/20/2009 1 -0.01394382250341 -0.04291236478756 -0.059018572443
4/13/2009 1 0.00426301086658 -0.06809279810062 -0.06599217238607
4/6/2009 1 -0.01625778097819 0.00976427448468 -0.00865589164554
3/30/2009 1 -0.01779972886837 0.03305027353068 0.01308815951028
3/23/2009 1 -0.034218611378 -0.00172559463059 -0.03810659116062
3/16/2009 1 -0.06308585967487 -0.08159972741473 -0.14684797224163
3/9/2009 1 -0.01691581889802 -0.04749537173308 -0.06657357578313
3/2/2009 1 -0.10505233501072 -0.05489203216592 -0.16210675232867
2/23/2009 1 0.08225447007315 -0.0764597680864 0.00363231683472
2/17/2009 1 0.05171181948237 0.00507830397442 0.05462773830476
2/9/2009 1 0.08016874729626 -0.30368899651745 -0.22568263437322
2/2/2009 1 0.05491365912681 0.03636016233758 0.08911143631236
1/26/2009 1 -0.0534046027988 -0.00449980896591 -0.06006679691674
1/20/2009 1 0.00802180249408 0.10124649018885 0.1071059075309
1/12/2009 1 0.02376678416957 0.0457143064197 0.06731870543724
1/5/2009 1 0.05145531106069 -0.01773820579754 0.03155472011113
12/29/2008 1 0.05062081861819 -0.2638268647598 -0.21536843129364
12/22/2008 1 -0.06876406592566 -0.03234816865472 -0.10327461973242
12/15/2008 1 0.01880927227477 0.10155068273086 0.11819756985359
12/8/2008 1 -0.00993803046292 0.04909465696895 0.03699424135399
12/1/2008 1 -0.00448474542226 0.02863933479424 0.02199220421995
11/24/2008 1 0.02505221927197 -0.0269390117248 -0.00404917760486
11/17/2008 1 -0.11660598389171 -0.10929193671321 -0.22806030575695
11/10/2008 1 0.09953482492153 0.04576432037762 0.14313676014711
11/3/2008 1 0.07182770754549 -0.00039913611692 0.06926618627654
10/27/2008 1 0.04410600792574 0.02256065874093 0.06450428151463
10/20/2008 1 -0.10313099901221 0.104996670654 -0.00029671351024
10/13/2008 1 0.07907763348518 0.22259834416845 0.2995135925016
10/6/2008 1 -0.04771073178969 0.10851187628182 0.0586387593401
9/29/2008 1 0.24171760739875 -0.02796170719646 0.21159351505026
9/22/2008 1 0.11276250795622 0.03390415871045 0.14450428151464
9/15/2008 1 0.03747967800615 -0.03021223614568 0.00510505670843
9/8/2008 1 -0.00289040637137 -0.11062570714474 -0.11567849866815
9/2/2008 1 -0.00811544750956 -0.00870495400971 -0.01898278667129
8/25/2008 1 0.0354761141122 -0.02499046289807 0.0083232660621
8/18/2008 1 0.00797228462837 -0.00087233924334 0.004937560233
8/11/2008 1 0.00508100603681 0.06270641261828 0.06562503350307
8/4/2008 1 -0.00153773764888 -0.05128095204132 -0.05498107484223
7/28/2008 1 -0.0301476768085 0.17867314597741 0.14636308401687
7/21/2008 1 -0.00216268209817 0.05351655698146 0.04919148973125
7/14/2008 1 0.00255836074543 -0.05318003037243 -0.05278405477903
7/7/2008 1 -0.01822772270723 0.00232500989151 -0.01806509796775
6/30/2008 1 0.02055764519002 0.04930927496207 0.06770453500006
6/23/2008 1 0.01335444070413 0.07238523055309 0.08357728610519
6/16/2008 1 0.03365169052198 0.0338605844371 0.06534988980705
6/9/2008 1 0.0347452599337 -0.00254901616214 0.03003385861953
6/2/2008 1 0.00055509603609 0.0484608712866 0.04685358217066
5/27/2008 1 0.03173823335914 -0.01403911831489 0.01553672989222
5/19/2008 1 -0.01893525182874 -0.0287169220843 -0.04981455906508
5/12/2008 1 0.03906274163674 0.01316516194252 0.05006551842722
5/5/2008 1 -0.02822337246324 0.15630390005783 0.12591814244255
4/28/2008 1 0.02008790980852 0.0469890132684 0.06491453792489
4/21/2008 1 -0.01230619630431 -0.09611364221934 -0.11058222367568
4/14/2008 1 -0.00580189522772 0.06239956663781 0.05443528625806
4/7/2008 1 -0.0449016339684 0.01704733338682 -0.03001668573361
3/31/2008 1 0.03066421506156 0.02097306453542 0.04947489444495
3/24/2008 1 -0.04371567182264 0.00209890535557 -0.0437791516191
3/17/2008 1 0.01184149867039 -0.00653065830801 0.00314845521035
3/10/2008 1 -0.03377475207345 -0.01159504283022 -0.0475321800557
3/3/2008 1 0.00444739764263 0.0886515606907 0.0909365731813
2/25/2008 1 0.03133823760748 0.00022817096905 0.0294040234245
2/19/2008 1 0.01839260069925 0.0275080921414 0.04373830768861
2/11/2008 1 -0.0024696249139 0.06650495475105 0.06187294468512
2/4/2008 1 -0.01501534568262 0.02175983336096 0.00458210252631
1/28/2008 1 0.05237736637645 -0.01733485156068 0.03288012966374
1/22/2008 1 -0.05042979368664 -0.02823587721204 -0.08082805605071
1/14/2008 1 -0.00439016196688 -0.06153796556622 -0.06809051268513
1/7/2008 1 0.06221155445285 0.00692353377393 0.06697270307475
12/31/2007 1 0.00826445328946 -0.0028531978782 0.00324887025922
12/24/2007 1 0.0514998116347 0.04564765876358 0.09498508524625
12/17/2007 1 0.00442326038247 0.01912346515101 0.02138434038145
12/10/2007 1 -0.01204893541693 -0.03491967229934 -0.0491309928683
12/3/2007 1 0.02720839976931 0.03364148708007 0.05868750169735
11/26/2007 1 -0.01694888176817 0.01600078980325 -0.00311047711695
11/19/2007 1 -0.02963118438659 -0.02280060683524 -0.05459417637386
11/12/2007 1 0.01364150009464 0.09802600115724 0.10950511609985
11/9/2007 1 -0.00371835317448 -0.03884921439309 -0.0447299527196
Explained Variation
Regression (Yhat -
Ybar)
0.00731033255166
-0.00259754834411
0.02201117849904
-0.03987760122876
-0.00229188633087
-0.00845454912856
-0.01232541221629
-0.0197612882749
0.00017690901129
-0.02395885765853
-0.01761056631856
-0.00706221673732
-0.04139824094727
0.00512000354369
0.00553838194101
0.04055096547299
-0.02154003285331
-0.00108105599876
-0.03935535373502
0.01121984089213
-0.05794899824343
0.05544389594393
0.03899471357927
-0.02731926611869
-0.02872350288815
0.02290307398958
-0.00384211296134
0.04581404650745
-0.02585420116339
0.07202450109467
0.02588258679786
-0.02457604599257
-8.4938552148E-05
-0.01692813443975
-0.01274236219056
-0.00835771451546
-0.01141008604906
-0.01279398310652
-0.03477049031749
0.00247747912563
-0.03510079137593
-0.01154244815089
0.00570021606709
0.01597500068221
0.04193300707951
0.00643375397085
-0.03048233039701
0.00896225933615
-0.02528597328533
0.00175658647132
-0.00254888461796
-0.0163623115426
-0.00223609911488
-3.5847595196E-05
-0.02615382327662
-0.03577138616468
0.04339407191215
0.00600558007381
-0.01830009177904
-0.04905798873223
0.01819077587685
0.02275973509399
-0.02813392222302
-0.02956363225479
0.01126846445996
-0.00508345253684
-0.02546479876482
0.00478831374074
-0.02685854364775
-0.0111714524351
-0.04526722317528
-0.07289850772917
0.01924318847558
0.02512192995559
0.00062855928042
0.02733678653123
-0.00915443884035
-0.02634094505098
-0.04012124333301
-0.00717357758453
0.05491692100484
-0.06259235826176
-0.01610620765544
0.00210062571455
-0.01842016613022
-0.0199621140204
-0.03638099653003
-0.0652482448269
-0.01907820405005
-0.10721472016275
0.08009208492112
0.04954943433033
0.07800636214423
0.05275127397478
-0.05556698795083
0.00585941734205
0.02160439901754
0.04929292590866
0.04845843346616
-0.07092645107769
0.01664688712274
-0.01210041561496
-0.00664713057429
0.02288983411993
-0.11876836904374
0.09737243976949
0.06966532239346
0.04194362277371
-0.10529338416424
0.07691524833315
-0.04987311694172
0.23955522224672
0.11060012280418
0.03531729285412
-0.0050527915234
-0.01027783266159
0.03331372896017
0.00580989947634
0.00291862088478
-0.00370012280091
-0.03231006196054
-0.00432506725021
0.0003959755934
-0.02039010785926
0.01839526003799
0.0111920555521
0.03148930536995
0.03258287478167
-0.00160728911595
0.02957584820711
-0.02109763698077
0.0369003564847
-0.03038575761527
0.01792552465649
-0.01446858145634
-0.00796428037975
-0.04706401912043
0.02850182990953
-0.04587805697467
0.00967911351836
-0.03593713722548
0.0022850124906
0.02917585245545
0.01623021554722
-0.00463201006593
-0.01717773083466
0.05021498122441
-0.05259217883867
-0.00655254711891
0.06004916930082
0.00610206813743
0.04933742648267
0.00226087523044
-0.01421132056896
0.02504601461728
-0.0191112669202
-0.03179356953862
0.01147911494261
-0.00588073832651

Busn 233 CH 11

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Busn 233 CH 11

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Roger G.

Ibbotson & Rex Sinquefield Because Beg = 1

Individual Expected Return (Type of

Individual Standard Deviation

Stadard Deviation (Measure of total risk) based on Es

(Measure of total risk) based on Estimations both

Individual Expected Return (Type of

Individual Standard Deviation

Stadard Deviation (Measure of total risk) based on Es

(Measure of total risk) based on Estimations both

Estimated Return for

E(RP) Standard Deviation of P

Estimated Return for

Beg (Close Day Before) 45.07

Beg (Close Day Before) 45.07

WFMI Weely Returns for Lat 4 Years

Portfolio Beta 1.138

Reward To Risk Ratio => (E(RA) - Rf)/BA

Reward To Risk Ratio => (E(RB) - Rf)/BB

Stock A is offering a 8.75% return for 1 unit of Systematic Ri

Stock B is offering a 11.67% return for 1 unit of Systematic R

turn for 1 unit of Systematic Risk. Since the

CAPM => E(RA) = Rf + (E(RM)-Rf)*BA

CAPM => E(RB) = Rf + (E(RM)-Rf)*BB

2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%

Market Risk Premium = E(RM) - Rf 9.00%

Expected Return using CAPM is higher than the Expected R

Expected Return using CAPM is lower than the Expected Re

Beta SML Slope = (9.00% MarketE(RM)

0.4 5.60% 1 0.047 0.4

M is higher than the Expected Return given.

M is lower than the Expected Return given.

Stock Beta CAPM Pricing (Return)

Estimate of E(RD) 14.50% Not buy.

Stock Beta CAPM Pricing (Return)

Estimate of E(RD) 14.50% Not buy.

1 = BS1 * WS1 + BS2 * WS2

1 = BS1 * WS1 + BS2 * WS2

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

1.2 1.4 1.6 1.8 2

of Systematic Risk. Since the Market Risk Premium is

n the Expected Return given. The Expected Return

of Systematic Risk. Since the Market Risk Premium is

(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

Expected Risk Premium

Expected Risk Premium

Stock FLIR Index S&P 500

Stock FLIR Index S&P 500

Rt - RRf = Alphai + Betai * [RM - RRf] + Epsilont

Yhat estimated WFMI (Y-Yhat) Residuals Total Variation (Y-

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