Standard Correlation Beta Annualized ??? ???

IBM 3648 Stock Prices:

40%
Deviation Err:502 Err:502 Return Dates ^DJI
Using Actual returns 5-May-97 7331.04
30%
^DJI 4.4% 100% 1.00 6.1% 2-Jun-97 7672.79
IBM 9.2% 65% 1.36 -34.7% 1-Jul-97 8222.61
20%
MSFT 10.9% 48% 1.18 -42.1% 1-Aug-97 7622.42
C 8.5% 74% 1.42 -38.8% f(x)=1.36x+0. 2-Sep-97 7945.26
10%
1-Oct-97 7442.08
Using Randomized returns 3-Nov-97 7823.13 IBM
0%
^DJI 4.4% 100% 1.00 8.1% 1-Dec-97
-20% -15% -10% -5% 0% 5% 10% 15%
7908.25
IBM 8.4% 68% 1.31 11.0% 2-Jan-98 7906.50
-10%
MSFT 9.9% 56% 1.27 11.2% 2-Feb-98 8545.72
C 8.3% 65% 1.24 21.8% 2-Mar-98 8799.81
-20%
1-Apr-98 9063.37
$8.00 Growth of $1.00 : using Randomized Returns 1-May-98 8899.95
-30%
1-Jun-98 8952.02
MSFT
1-Jul-98 8883.29 50%
$7.00
^DJI IBM MSFT C 3-Aug-98 7539.07
40%
1-Sep-98 7842.62
$6.00
Err:502 1-Oct-98 8592.10 30%

2-Nov-98 9116.55
20%
$5.00 1-Dec-98 9181.43
4-Jan-99 9358.83 10%
f(x) = 1.18 x + 0.01
1-Feb-99 9306.58
$4.00 1-Mar-99 9786.16 0%
-20% -15% -10% -5% 0% 5%
1-Apr-99 10789.04
-10%
3-May-99 10559.74
$3.00
1-Jun-99 10970.80 -20%
1-Jul-99 10655.15
2-Aug-99 10829.28 -30%
$2.00
1-Sep-99 10336.95
-40%
1-Oct-99 10729.86
$1.00 C
30%
1-Nov-99 10877.81
1-Dec-99 11497.12
3-Jan-00 10940.53 20%
$0.00
0 5 10 15 20 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95 00 05 10 15 20 1-Feb-00 10128.31
f(x) = 1.42 x + 0.01
1 1 1 1 1
1-Mar-00 10921.92 10%

Enter your Allocations 3-Apr-00 10733.91

^DJI IBM MSFT C 100 1-May-00 10522.33 0%
-20% -15% -10% -5% 0% 5%
50% 20% 20% 10% 1-Jun-00 10447.89
3-Jul-00 10521.98 -10%

Notes: 1-Aug-00 11215.10

On the "assets" sheet, type in Yahoo symbols 1-Sep-00 10650.92 -20%

then click the DOWNLOAD button. 2-Oct-00 10971.14

1-Nov-00 10414.49 -30%
On this sheet, press F9 to get a rearrangement of monthly returns 1-Dec-00 10787.99
… and the resultant Ratios, above. 2-Jan-01 10887.36 -40%
 -20%

-30%

-40%
1-Feb-01 10495.28
1-Mar-01 9878.78
2-Apr-01 10734.97
1-May-01 10911.94
1-Jun-01 10502.40
2-Jul-01 10522.81
1-Aug-01 9949.75
4-Sep-01 8847.56
1-Oct-01 9075.14
1-Nov-01 9851.56
3-Dec-01 10021.57
2-Jan-02 9920.00
1-Feb-02 10106.13
1-Mar-02 10403.94
1-Apr-02 9946.22
1-May-02 9925.25
3-Jun-02 9243.26
1-Jul-02 8736.59
1-Aug-02 8663.50
3-Sep-02 7591.93
1-Oct-02 8397.03
1-Nov-02 8896.09
2-Dec-02 8341.63
2-Jan-03 8053.81
3-Feb-03 7891.08
3-Mar-03 7992.13
1-Apr-03 8480.09
1-May-03 8850.26
2-Jun-03 8985.44
1-Jul-03 9233.80
1-Aug-03 9415.82
2-Sep-03 9275.06
1-Oct-03 9801.12
3-Nov-03 9782.46
1-Dec-03 10453.92
2-Jan-04 10488.07
2-Feb-04 10583.92
1-Mar-04 10357.70
1-Apr-04 10225.57
3-May-04 10188.45
1-Jun-04 10435.48
1-Jul-04 10139.71
2-Aug-04 10173.92
1-Sep-04 10080.27
1-Oct-04 10027.47
1-Nov-04 10428.02
1-Dec-04 10783.01
3-Jan-05 10489.94
1-Feb-05 10766.23
1-Mar-05 10503.76
1-Apr-05 10192.51
2-May-05 10467.48
1-Jun-05 10274.97
1-Jul-05 10640.91
1-Aug-05 10481.60
1-Sep-05 10568.70
3-Oct-05 10440.07
1-Nov-05 10805.87
1-Dec-05 10717.50
3-Jan-06 10864.86
1-Feb-06 10993.41
1-Mar-06 11109.32
3-Apr-06 11367.14
1-May-06 11168.31
1-Jun-06 11150.22
3-Jul-06 11185.68
1-Aug-06 11381.15
1-Sep-06 11679.07
2-Oct-06 12080.73
1-Nov-06 12221.93
1-Dec-06 12463.15
3-Jan-07 12621.69
1-Feb-07 12268.63
1-Mar-07 12354.35
2-Apr-07 13062.91
1-May-07 13241.38
 Stock Prices: IBM Stock Returns Randomized Returns
###
40%
IBM MSFT C IBM ^DJI IBM MSFT C ^DJI IBM
40.19 13.34 13.64 ###
30%
41.93 13.59 15.64 ### 4.7% 4.3% 1.9% 14.7% ### 0.7% 11.7%
49.13 15.21 17.87 ### 7.2% 17.2% 11.9% 14.3% ### 0.7% 11.7%
20%
47.18 14.22 15.78 ### -7.3% -4.0% -6.5% -11.7% ### -0.4% 0.7%
49.34 14.23 16.97 ### 4.2% 4.6% 0.1% 7.5% ### 1.6% -0.8%
f(x) = 1.31 x + 0.00
10%
45.85 13.98 17.43 ### -6.3% -7.1% -1.8% 2.7% ### 5.7% 8.4%

IBM 51.06 15.22 19.00 ### 5.1% 11.4% 8.9% 9.0% ### -5.9% -3.7%
0%
48.79 13.90 20.12 ### 1.1% -4.4% -8.7% 5.9% ### -1.0% -10.8%
-20% -15% -10% -5% 0% 5% 10% 15%
46.05 16.05 18.51 ### 0.0% -5.6% 15.5% -8.0% ### 3.6% -9.1%
-10%
48.80 18.23 20.83 ### 8.1% 6.0% 13.6% 12.5% ### -4.4% -19.5%
48.54 19.26 22.46 ### 3.0% -0.5% 5.7% 7.8% ### -0.8% 15.4%
-20%
54.14 19.39 22.95 ### 3.0% 11.5% 0.7% 2.2% ### -0.2% -3.8%
55.01 18.25 22.98 ### -1.8% 1.6% -5.9% 0.1% ### 2.6% -0.7%
-30%
53.75 23.32 22.74 ### 0.6% -2.3% 27.8% -1.0% ### -5.1% -5.0%
50%
62.03 23.65 25.28
MSFT
### -0.8% 15.4% 40% 1.4% 11.2% ### 1.1% -4.4%
52.81 20.64 16.68 ### -15.1% -14.9% -12.7% -34.0% ### -2.9% -2.8%
40%
60.26 23.68 14.09 ### 4.0% 14.1% 30% 14.7% -15.5% ### 0.3% 0.8%
69.64
30% 22.78 17.74 ### 9.6% 15.6% -3.8% 25.9% ### -15.1% -14.9%
20%
77.55 26.25 18.96 ### 6.1% 11.4% 15.2% 6.9% ### -6.2% -10.8%
20%
86.59 29.84 18.75 ### 0.7%
f(x) = 1.2711.7%
x + 0.00
10%
13.7% -1.1% ### 2.9% 6.0%
86.06
10%
37.65 21.23 ### 1.9% -0.6% 26.2% 13.2% ### 1.6% -0.8%
f(x) = 1.18 x + 0.01
79.83 32.30 22.25 ### -0.6% -7.2%0% -14.2% 4.8% ### 3.8% -18.8%
83.36
0% 38.56 24.19 -20%
### 5.2%
-15% -10% 4.4%
-5% 19.4% 5%
0% 8.7%
10% ###
15% -0.8% 15.4%
5% -10% -5% 0% 5% 10% 15%
98.38 34.99 28.43 ### 10.2% 18.0% -10% -9.3% 17.5% ### 2.8% -1.5%
-10%
109.23 34.72 25.16 ### -2.1% 11.0% -0.8% -11.5% ### 0.3% -2.5%
121.70
-20% 38.81 27.05 ### 3.9% 11.4% -20% 11.8% 7.5% ### 0.3% 0.8%
118.35 36.92 25.45 ### -2.9% -2.8% -4.9% -5.9% ### -2.9% -2.8%
-30% -30%
117.40 39.83 25.39 ### 1.6% -0.8% 7.9% -0.2% ### -0.4% 0.7%
114.05 38.97 25.14 ### -4.5% -2.9% -2.2% -1.0% ### -7.4% -8.4%
-40% -40%
92.60 39.83 31.08 ### 3.8% -18.8% 2.2% 23.6% ### 8.1% 6.0%
30% C 30%
97.27 39.18 30.86 ### 1.4% 5.0% -1.6% -0.7% ### 4.0% 5.2%
101.81 50.24 31.90 ### 5.7% 4.7% 28.2% 3.4% ### 8.6% 7.1%
20%
105.94 42.11 32.65 -4.8% 4.1% 20% -16.2% 2.4% ### 0.0% -5.6%
###

97.08
f(x) = 1.42 x + 0.01 38.45 29.73 ### -7.4% -8.4% -8.7% -8.9% ### 9.6% 15.6%
10% f(x) = 1.24 x + 0.01
10%
111.83 45.72 34.40 ### 7.8% 15.2% 18.9% 15.7% ### 3.4% 12.7%
105.34 30.01 33.98 ### -1.7% -5.8% -34.4% -1.2% ### 1.7% 5.0%
0%
101.51 26.92 35.81 -2.0% -3.6% 0% -10.3% 5.4% ### 5.9% 10.3%
###
5% -10% -5% 0% 5% 10% 15% -20% -15% -10% -5% 0% 5% 10% 15%
103.63 34.42 34.70 ### -0.7% 2.1% 27.9% -3.1% ### 4.0% 14.1%
-10%
106.18 30.04 40.60 0.7% 2.5% -10% -12.7% 17.0% ### -0.9% 1.2%
###

125.02 30.04 44.95 ### 6.6% 17.7% 0.0% 10.7% ### -4.5% -2.9%
-20%
106.65 25.95 41.62 ### -5.0% -14.7% -20% -13.6% -7.4% ### 0.9% -2.6%
93.28 29.63 40.52 ### 3.0% -12.5% 14.2% -2.6% ### 5.7% 1.3%
88.65
-30% 24.69 38.45 ### -5.1% -5.0% -30% -16.7% -5.1% ### 1.4% 5.0%
80.60 18.67 39.42 ### 3.6% -9.1% -24.4% 2.5% ### 6.1% 11.4%
106.20
-40% 26.27 43.21 ### 0.9% 31.8% -40% 40.7% 9.6% ### 4.7% 4.3%
-20% -20%

-30% -30%

-40% -40%
94.83 25.39 38.06 ### -3.6% -10.7% -3.3% -11.9% ### 8.1% 6.0%
91.30 23.53 34.81 ### -5.9% -3.7% -7.3% -8.5% ### 10.6% 35.4%
109.30 29.15 38.04 ### 8.7% 19.7% 23.9% 9.3% ### -2.1% -4.8%
106.26 29.77 39.77 ### 1.6% -2.8% 2.1% 4.5% ### -0.8% 7.3%
107.87 31.41 41.01 ### -3.8% 1.5% 5.5% 3.1% ### 3.4% 12.7%
99.99 28.48 38.96 ### 0.2% -7.3% -9.3% -5.0% ### 2.6% -0.7%
95.12 24.55 35.65 ### -5.4% -4.9% -13.8% -8.5% ### -12.4% -22.6%
87.29 22.02 31.53 ### -11.1% -8.2% -10.3% -11.6% ### 2.4% -0.5%
102.85 25.02 35.44 ### 2.6% 17.8% 13.6% 12.4% ### -2.0% -3.6%
110.14 27.63 37.42 ### 8.6% 7.1% 10.4% 5.6% ### -4.8% 4.1%
115.26 28.51 39.44 ### 1.7% 4.6% 3.2% 5.4% ### 1.4% -1.1%
102.80 27.41 37.16 ### -1.0% -10.8% -3.9% -5.8% ### 1.3% 0.6%
93.62 25.10 35.47 ### 1.9% -8.9% -8.4% -4.5% ### 1.4% -1.1%
99.23 25.95 38.82 ### 2.9% 6.0% 3.4% 9.4% ### 4.0% 5.2%
79.91 22.49 33.94 ### -4.4% -19.5% -13.3% -12.6% ### 1.2% -0.1%
76.91 21.91 33.99 ### -0.2% -3.8% -2.6% 0.1% ### 8.1% 6.0%
68.83 23.54 30.50 ### -6.9% -10.5% 7.4% -10.3% ### 2.8% -1.5%
67.30 20.65 26.40 ### -5.5% -2.2% -12.3% -13.4% ### -2.7% -5.2%
72.22 21.12 27.79 ### -0.8% 7.3% 2.3% 5.3% ### 5.1% 11.4%
55.87 18.82 25.16 ### -12.4% -22.6% -10.9% -9.5% ### -2.0% -0.1%
75.63 23.01 31.51 ### 10.6% 35.4% 22.3% 25.2% ### 2.7% -0.8%
83.43 24.82 33.15 ### 5.9% 10.3% 7.9% 5.2% ### 0.7% 1.4%
74.39 22.25 30.01 ### -6.2% -10.8% -10.4% -9.5% ### -3.0% -16.4%
75.06 20.42 29.46 ### -3.5% 0.9% -8.2% -1.8% ### -5.9% -3.7%
74.97 20.46 28.59 ### -2.0% -0.1% 0.2% -3.0% ### -3.5% 0.9%
75.43 20.90 29.54 ### 1.3% 0.6% 2.2% 3.3% ### -2.8% -1.2%
81.65 22.08 33.66 ### 6.1% 8.2% 5.6% 13.9% ### -0.8% 7.3%
84.82 21.25 35.36 ### 4.4% 3.9% -3.8% 5.1% ### 2.8% -1.5%
79.49 22.14 36.89 ### 1.5% -6.3% 4.2% 4.3% ### -6.3% -7.1%
78.28 22.80 38.92 ### 2.8% -1.5% 3.0% 5.5% ### 2.0% 5.7%
79.17 22.90 37.66 ### 2.0% 1.1% 0.4% -3.2% ### -12.4% -22.6%
85.27 24.00 39.53 ### -1.5% 7.7% 4.8% 5.0% ### 0.0% -5.6%
86.38 22.69 41.48 ### 5.7% 1.3% -5.5% 4.9% ### -1.8% 1.6%
87.57 22.32 41.16 ### -0.2% 1.4% -1.6% -0.8% ### -2.7% -5.2%
89.64 23.76 42.48 ### 6.9% 2.4% 6.5% 3.2% ### 1.7% 5.0%
95.97 24.01 43.66 ### 0.3% 7.1% 1.1% 2.8% ### 2.0% 1.1%
93.48 23.03 44.34 ### 0.9% -2.6% -4.1% 1.6% ### -5.1% -5.0%
88.97 21.64 45.61 ### -2.1% -4.8% -6.0% 2.9% ### -5.9% -3.7%
85.41 22.69 42.78 ### -1.3% -4.0% 4.9% -6.2% ### 5.9% 10.3%
85.99 22.77 41.31 ### -0.4% 0.7% 0.4% -3.4% ### -0.8% 7.3%
85.57 24.80 41.37 ### 2.4% -0.5% 8.9% 0.1% ### 1.4% 0.6%
84.52 24.73 39.58 ### -2.8% -1.2% -0.3% -4.3% ### 5.2% 4.4%
82.38 23.77 41.82 ### 0.3% -2.5% -3.9% 5.7% ### 0.7% 11.7%
83.40 24.08 39.61 ### -0.9% 1.2% 1.3% -5.3% ### 8.1% 6.0%
87.30 24.35 40.20 ### -0.5% 4.7% 1.1% 1.5% ### 1.1% 2.8%
91.85 26.02 40.54 ### 4.0% 5.2% 6.9% 0.8% ### 6.6% 17.7%
96.08 25.93 43.65 ### 3.4% 4.6% -0.3% 7.7% ### 1.9% -0.6%
91.05 25.50 44.44 ### -2.7% -5.2% -1.7% 1.8% ### 6.1% 8.2%
90.40 24.49 43.62 ### 2.6% -0.7% -4.0% -1.8% ### 4.0% 14.1%
89.23 23.53 41.08 ### -2.4% -1.3% -3.9% -5.8% ### 1.2% -0.1%
74.58 24.63 43.33 ### -3.0% -16.4% 4.7% 5.5% ### 1.6% -2.8%
73.97 25.20 43.47 ### 2.7% -0.8% 2.3% 0.3% ### 3.9% 11.4%
72.65 24.26 42.66 ### -1.8% -1.8% -3.7% -1.9% ### 1.2% -1.1%
81.71 25.01 40.54 ### 3.6% 12.5% 3.1% -5.0% ### 0.7% 2.5%
79.12 26.82 40.79 ### -1.5% -3.2% 7.2% 0.6% ### 6.1% 8.2%
78.73 25.20 42.42 ### 0.8% -0.5% -6.0% 4.0% ### 0.0% -5.6%
80.36 25.17 42.67 ### -1.2% 2.1% -0.1% 0.6% ### -2.0% -3.6%
87.46 27.19 45.69 ### 3.5% 8.8% 8.0% 7.1% ### 8.6% 7.1%
80.87 25.69 45.67 ### -0.8% -7.5% -5.5% 0.0% ### -0.7% 2.1%
79.98 27.65 43.84 ### 1.4% -1.1% 7.6% -4.0% ### 5.1% 11.4%
79.14 26.48 44.10 ### 1.2% -1.1% -4.2% 0.6% ### -1.7% -5.8%
81.34 26.82 44.92 ### 1.1% 2.8% 1.3% 1.9% ### -1.2% 2.1%
81.21 23.80 48.00 ### 2.3% -0.2% -11.3% 6.9% ### 1.1% -4.4%
79.09 22.41 47.38 ### -1.7% -2.6% -5.8% -1.3% ### -6.3% -7.1%
76.04 23.06 46.37 ### -0.2% -3.9% 2.9% -2.1% ### 1.4% 0.6%
76.62 23.81 46.43 ### 0.3% 0.8% 3.3% 0.1% ### 0.7% 2.5%
80.47 25.52 47.91 ### 1.7% 5.0% 7.2% 3.2% ### 2.6% 17.8%
81.43 27.16 48.22 ### 2.6% 1.2% 6.4% 0.6% ### 2.7% -0.8%
91.75 28.51 48.69 ### 3.4% 12.7% 5.0% 1.0% ### 2.3% -0.2%
91.64 29.26 48.62 ### 1.2% -0.1% 2.6% -0.1% ### 2.7% -0.8%
96.86 29.76 54.61 ### 2.0% 5.7% 1.7% 12.3% ### 2.4% -0.5%
98.85 30.75 54.05 ### 1.3% 2.1% 3.3% -1.0% ### 1.1% -4.4%
92.94 28.17 49.87 ### -2.8% -6.0% -8.4% -7.7% ### -5.5% -2.2%
94.26 27.87 50.83 ### 0.7% 1.4% -1.1% 1.9% ### -2.0% -3.6%
102.21 29.94 53.09 ### 5.7% 8.4% 7.4% 4.4% ### -2.7% -5.2%
102.80 30.97 53.95 ### 1.4% 0.6% 3.4% 1.6% ### 6.1% 11.4%
### ###

### ###

### ###

### ###

### ###

### ###
zed Returns Randomized Growth Portfolio Allocations
MSFT C ^DJI IBM MSFT C Err:502
$1.00 $1.00 $1.00 $1.00 $1.00
13.7% -1.1% $1.01 $1.12 $1.14 $0.99 $1.05
13.7% -1.1% $1.01 $1.25 $1.29 $0.98 $1.11
0.4% -3.4% $1.01 $1.26 $1.30 $0.94 $1.11
7.9% -0.2% $1.03 $1.25 $1.40 $0.94 $1.13
7.4% 4.4% $1.09 $1.35 $1.50 $0.98 $1.20 Minimum Beta =
-7.3% -8.5% $1.02 $1.30 $1.39 $0.90 $1.13
-3.9% -5.8% $1.01 $1.16 $1.34 $0.85 $1.09 Percentage of 100 iterations that had B
-24.4% 2.5% $1.05 $1.05 $1.01 $0.87 $1.04 IBM 92.0%
-13.3% -12.6% $1.00 $0.85 $0.88 $0.76 $0.93 MSFT 65.0%
1.4% 11.2% $0.99 $0.98 $0.89 $0.84 $0.97 C 99.0%
-2.6% 0.1% $0.99 $0.94 $0.87 $0.85 $0.96 Average Beta over 100 iterations
-4.0% -1.8% $1.02 $0.94 $0.83 $0.83 $0.96
-16.7% -5.1% $0.97 $0.89 $0.69 $0.79 $0.89
-8.7% 5.9% $0.98 $0.85 $0.63 $0.83 $0.87
-4.9% -5.9% $0.95 $0.83 $0.60 $0.79 $0.84
3.3% 0.1% $0.95 $0.83 $0.62 $0.79 $0.85
-12.7% -34.0% $0.81 $0.71 $0.54 $0.52 $0.71 Considering ONLY returns
-10.4% -9.5% $0.76 $0.63 $0.49 $0.47 $0.65 calculate the downside Beta by clicking t
3.4% 9.4% $0.78 $0.67 $0.50 $0.51 $0.68
7.9% -0.2% $0.79 $0.66 $0.54 $0.51 $0.70
2.2% 23.6% $0.82 $0.54 $0.56 $0.63 $0.70
1.4% 11.2% $0.82 $0.62 $0.56 $0.70 $0.73
3.0% 5.5% $0.84 $0.61 $0.58 $0.74 $0.75 up/down Beta
-3.9% 5.7% $0.84 $0.60 $0.56 $0.79 $0.74 IBM 1.951
3.3% 0.1% $0.84 $0.60 $0.58 $0.79 $0.75 MSFT 1.498
-4.9% -5.9% $0.82 $0.59 $0.55 $0.74 $0.72 C 1.496
0.4% -3.4% $0.82 $0.59 $0.55 $0.71 $0.72
-8.7% -8.9% $0.76 $0.54 $0.50 $0.65 $0.66 Pick either "<" or ">" and a percentage
13.6% 12.5% $0.82 $0.57 $0.57 $0.73 $0.72 then click the downside Beta
6.9% 0.8% $0.85 $0.60 $0.61 $0.74 $0.76 You can also change the percentage with the
10.4% 5.6% $0.92 $0.65 $0.67 $0.78 $0.82 in which case the button is automatically click
15.5% -8.0% $0.92 $0.61 $0.78 $0.72 $0.83
-3.8% 25.9% $1.01 $0.70 $0.75 $0.90 $0.91 If B = Beta and dB and uB are the downside
5.0% 1.0% $1.05 $0.79 $0.78 $0.91 $0.96 A = Alpha and dA and uA are the downside
7.2% 3.2% $1.06 $0.83 $0.84 $0.94 $0.99 x*dB + y*uB = B
7.9% 5.2% $1.13 $0.92 $0.91 $0.99 $1.06 x*dA + y*uA = A
14.7% -15.5% $1.17 $1.05 $1.04 $0.84 $1.13 give
1.3% -5.3% $1.16 $1.06 $1.05 $0.79 $1.13 x = (uA*B - uB*A) / (uA*dB - uB*dA)
-2.2% -1.0% $1.11 $1.03 $1.03 $0.78 $1.09 y = (A*dB - B*dA) / (uA*dB - uB*dA)
-4.1% 1.6% $1.12 $1.00 $0.99 $0.80 $1.08 Example:
-5.5% 4.9% $1.18 $1.02 $0.93 $0.84 $1.11 x = -0.361
-1.6% -0.7% $1.20 $1.07 $0.92 $0.83 $1.12 so (-0.361)* (0.890) + (0.861)* (1.946) = 1.355
15.2% 6.9% $1.27 $1.19 $1.06 $0.89 $1.22 and (-0.361)* (-0.023) + (0.861)* (-0.005) = 0.
1.9% 14.7% $1.33 $1.24 $1.08 $1.02 $1.28
13.6% 12.5% $1.44 $1.32 $1.23 $1.14 $1.40
22.3% 25.2% $1.59 $1.78 $1.50 $1.43 $1.67
-6.0% 2.9% $1.56 $1.70 $1.41 $1.47 $1.62
2.3% 5.3% $1.55 $1.82 $1.44 $1.55 $1.66
5.0% 1.0% $1.60 $2.05 $1.51 $1.57 $1.75
-4.0% -1.8% $1.64 $2.04 $1.45 $1.54 $1.75
-10.9% -9.5% $1.44 $1.57 $1.29 $1.39 $1.51
8.9% 0.1% $1.47 $1.57 $1.41 $1.39 $1.55
-10.3% 5.4% $1.44 $1.51 $1.26 $1.47 $1.50
-16.2% 2.4% $1.37 $1.57 $1.06 $1.50 $1.43
7.6% -4.0% $1.39 $1.55 $1.14 $1.44 $1.45
2.2% 3.3% $1.41 $1.56 $1.16 $1.49 $1.48
7.6% -4.0% $1.43 $1.55 $1.25 $1.43 $1.50
6.9% 0.8% $1.49 $1.63 $1.34 $1.44 $1.57
2.6% -0.1% $1.50 $1.62 $1.37 $1.44 $1.58
13.6% 12.5% $1.63 $1.72 $1.56 $1.62 $1.73
3.0% 5.5% $1.67 $1.70 $1.61 $1.71 $1.77
-1.7% 1.8% $1.63 $1.61 $1.58 $1.74 $1.72
8.9% 9.0% $1.71 $1.79 $1.72 $1.90 $1.85
0.2% -3.0% $1.67 $1.79 $1.73 $1.84 $1.83
2.3% 0.3% $1.72 $1.77 $1.77 $1.85 $1.86
-1.1% 1.9% $1.73 $1.80 $1.75 $1.89 $1.87
4.7% 5.5% $1.68 $1.50 $1.83 $1.99 $1.81
-7.3% -8.5% $1.58 $1.45 $1.69 $1.82 $1.70
-8.2% -1.8% $1.53 $1.46 $1.55 $1.79 $1.64
-0.3% -4.3% $1.48 $1.44 $1.55 $1.71 $1.61
2.3% 5.3% $1.47 $1.55 $1.59 $1.80 $1.64
3.0% 5.5% $1.51 $1.52 $1.63 $1.90 $1.68
-1.8% 2.7% $1.42 $1.42 $1.60 $1.95 $1.60
1.7% 12.3% $1.44 $1.50 $1.63 $2.19 $1.66
-10.9% -9.5% $1.27 $1.16 $1.45 $1.98 $1.43
15.5% -8.0% $1.26 $1.09 $1.68 $1.82 $1.45
-5.9% 0.1% $1.24 $1.11 $1.58 $1.83 $1.42
-1.7% 1.8% $1.21 $1.05 $1.55 $1.86 $1.38
7.2% 3.2% $1.23 $1.11 $1.67 $1.92 $1.43
0.4% -3.2% $1.25 $1.12 $1.67 $1.86 $1.45
-16.7% -5.1% $1.19 $1.06 $1.39 $1.76 $1.34
-7.3% -8.5% $1.12 $1.02 $1.29 $1.61 $1.26
7.9% 5.2% $1.19 $1.13 $1.39 $1.69 $1.35
2.3% 5.3% $1.18 $1.21 $1.43 $1.78 $1.38
3.4% 1.6% $1.19 $1.22 $1.47 $1.81 $1.40
19.4% 8.7% $1.25 $1.27 $1.76 $1.97 $1.52
13.7% -1.1% $1.26 $1.42 $2.00 $1.95 $1.60
13.6% 12.5% $1.37 $1.50 $2.27 $2.19 $1.74
1.3% 1.9% $1.38 $1.55 $2.30 $2.23 $1.77
0.0% 10.7% $1.47 $1.82 $2.30 $2.47 $1.91
26.2% 13.2% $1.50 $1.81 $2.90 $2.80 $2.05
5.6% 13.9% $1.59 $1.96 $3.07 $3.19 $2.20
14.7% -15.5% $1.65 $2.24 $3.52 $2.70 $2.34
2.6% -0.1% $1.67 $2.23 $3.61 $2.69 $2.36
2.1% 4.5% $1.70 $2.17 $3.69 $2.81 $2.39
11.8% 7.5% $1.77 $2.42 $4.12 $3.03 $2.56
-4.2% 0.6% $1.79 $2.39 $3.95 $3.04 $2.55
-12.7% 17.0% $1.80 $2.45 $3.45 $3.56 $2.55
5.6% 13.9% $1.91 $2.65 $3.64 $4.06 $2.74
15.5% -8.0% $1.91 $2.50 $4.20 $3.73 $2.77
-10.3% 5.4% $1.87 $2.41 $3.77 $3.93 $2.68
10.4% 5.6% $2.03 $2.58 $4.16 $4.15 $2.90
27.9% -3.1% $2.02 $2.64 $5.33 $4.03 $3.06
8.9% 9.0% $2.12 $2.94 $5.80 $4.39 $3.29
-34.4% -1.2% $2.09 $2.77 $3.81 $4.33 $2.99
-0.1% 0.6% $2.06 $2.83 $3.80 $4.36 $2.99
-8.7% 5.9% $2.08 $2.70 $3.47 $4.62 $2.94
-1.8% 2.7% $1.95 $2.51 $3.41 $4.74 $2.80
3.4% 1.6% $1.98 $2.52 $3.53 $4.82 $2.85
-12.7% 17.0% $1.99 $2.59 $3.08 $5.64 $2.85
13.6% 12.4% $2.04 $3.05 $3.50 $6.34 $3.10
2.3% 0.3% $2.10 $3.02 $3.58 $6.36 $3.15
-11.3% 6.9% $2.15 $3.02 $3.18 $6.79 $3.14
2.3% 0.3% $2.20 $2.99 $3.25 $6.82 $3.19
8.9% 0.1% $2.26 $2.98 $3.54 $6.83 $3.29
-8.7% 5.9% $2.28 $2.84 $3.23 $7.23 $3.24
-12.3% -13.4% $2.16 $2.78 $2.84 $6.26 $3.01
-10.3% 5.4% $2.12 $2.68 $2.54 $6.59 $2.91
-1.7% 1.8% $2.06 $2.54 $2.50 $6.71 $2.84
15.2% 6.9% $2.18 $2.83 $2.88 $7.17 $3.10
 120 3.00% Number Number Number
26 21 25
^DJI
IBM IBM ^DJI MSFT ^DJI C
40%
4.7% 4.3% 7.2% 11.9% 4.7% 14.7%
7.2% 17.2% 5.1% 8.9% 7.2% 35%
14.3%
4.2% 4.6% 8.1% 13.6% 4.2% 7.5%
30%
5.1% 11.4% 4.0% 14.7% 5.1% 9.0%
25%
1.1 8.1% 6.0% 6.1% 15.2% 8.1% 12.5%
4.0% 14.1% 5.2% 19.4% 9.6% 25.9%
20%
f(x) = 1.951 x − 0.005
ge of 100 iterations that had Beta > 1.1 9.6% 15.6% 3.9% 11.8% 6.1% 6.9%
15%
1.356 1.357 6.1% 11.4% 5.7% 28.2% 5.2% 8.7%
1.198 1.183 Historical Betas 5.2% 4.4% 7.8% 18.9% 10.2% 10%
17.5%
1.410 1.416 10.2% 18.0% 3.0% 14.2% 3.9% 7.5%
5%
Beta over 100 iterations 3.9% 11.4% 8.7% 23.9% 3.8% 23.6%
0%
5.7% 4.7% 8.6% 10.4% 5.7% 3.4%
3% 4% 5% 6% 7% 8% 9% 10% 11%
7.8% 15.2% 10.6% 22.3% 7.8% 15.7%
MSFT 30%
6.6% 17.7% 5.9% 7.9% 6.6% 10.7%
8.7% 19.7% 6.1% 5.6% 8.7% 9.3%
8.6% 7.1% 6.9% 6.5% 8.6% 25%
5.6%
nsidering ONLY returns < 3.0 % 10.6% 35.4% 4.0% 6.9% 10.6% 25.2%
e the downside Beta by clicking the button below 5.9% 10.3% 3.6% 3.1% 5.9% 20%
5.2%
f(x) = 1.498 x + 0.038
6.1% 8.2% 3.5% 8.0% 6.1% 13.9%
4.4% 3.9% 3.4% 5.0% 4.4% 15%
5.1%
4.0% 5.2% 5.7% 7.4% 5.7% 4.9%
3.4% 4.6% 6.9% 3.2%
10%

Alpha 3.6% 12.5% 3.4% 7.7%

Portfolio
-0.005 Change> 3.5% 8.8% 3.5% 7.1%
5%
0.038 Percent> 3.4% 12.7% 5.7% 4.4%
0.014 5.7% 8.4% 0%
2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12%

er "<" or ">" and a percentage (in cell AH20) C 30% f(

k the downside Beta button.
so change the percentage with the slider 25%
ase the button is automatically clicked :^)
20%
nd dB and uB are the downside and upside Beta, and
d dA and uA are the downside and upside Alpha, then f(x) = 1.496 x + 0.014 15% -20% -15%
Enter values here > B = 1.355
A = 0.004 10%
dB = 0.890
uB*A) / (uA*dB - uB*dA) uB = 1.946 5%
B*dA) / (uA*dB - uB*dA) dA = -0.023
uA = -0.005 0%
and y = 0.861 3% 4% 5% 6% 7% 8% 9% 10% 11%
* (0.890) + (0.861)* (1.946) = 1.355
1)* (-0.023) + (0.861)* (-0.005) = 0.004
Historical Growth Portfolio
^DJI IBM MSFT C returns growth downside upside
$4.50Growth of $1
$1.00 $1.00 $1.00 $1.00 $1.00 ^DJI Portfolio ^DJI Portfolio
$1.05 $1.04 $1.02 $1.15 5.04% $1.05 -7.30% -6.91% 4.66% 5.04% ^DJ
$1.12 $1.22 $1.14 $1.31 10.83% $1.16 -6.33% -4.66% 7.17% 10.83%
$1.04 $1.17 $1.07 $1.16 -6.91% $1.08 1.09% -1.49% 4.24% 3.80% $4.00
$1.08 $1.23 $1.07 $1.24 3.80% $1.12 -0.02% 1.16% 5.12% 7.51%
$1.02 $1.14 $1.05 $1.28 -4.66% $1.07 -1.80% -1.74% 8.08% 9.21%
$1.07 $1.27 $1.14 $1.39 7.51% $1.15 -15.13% -16.49% 4.03% 6.23%
$3.50
$1.08 $1.21 $1.04 $1.48 -1.49% $1.14 -0.56% -4.09% 9.56% 9.72%
$1.08 $1.15 $1.20 $1.36 1.16% $1.15 -2.13% -0.16% 6.10% 9.06%
$1.17 $1.21 $1.37 $1.53 9.21% $1.25 -2.88% -3.55% 5.15% 8.21%
$1.20 $1.21 $1.44 $1.65 3.29% $1.30 1.63% 2.21% 10.25% 8.63%
$3.00
$1.24 $1.35 $1.45 $1.68 4.16% $1.35 -4.55% -3.37% 3.89% 7.34%
$1.21 $1.37 $1.37 $1.68 -1.74% $1.33 1.38% 1.30% 5.69% 9.76%
$1.22 $1.34 $1.75 $1.67 5.29% $1.40 -4.84% -4.61% 7.84% 12.31% $2.50
$1.21 $1.54 $1.77 $1.85 4.10% $1.45 -7.42% -8.02% 6.59% 7.91%
$1.03 $1.31 $1.55 $1.22 -16.49% $1.21 -1.72% -9.02% 8.67% 13.98%
$1.07 $1.50 $1.78 $1.03 6.23% $1.29 -1.97% -3.23% 8.56% 8.34%
$2.00
$1.17 $1.73 $1.71 $1.30 9.72% $1.41 0.71% 0.00% 10.60% 19.35%
$1.24 $1.93 $1.97 $1.39 9.06% $1.54 -5.03% -8.92% 5.94% 7.13%
$1.25 $2.15 $2.24 $1.37 5.31% $1.63 -5.07% -7.37% 6.11% 7.23%
$1.28 $2.14 $2.82 $1.56 7.40% $1.75 -3.60% -5.80% 6.86% 5.52% $1.50
$1.27 $1.99 $2.42 $1.63 -4.09% $1.67 -5.87% -6.00% 3.99% 4.50%
$1.33 $2.07 $2.89
25% $1.77 8.21% $1.81 1.65% 1.15% 3.40% 3.32%
$1.47 $2.45 $2.62 $2.08 8.63% $1.97 -3.75% -0.16% 3.56% 4.40%
Portfolio $1.00
$1.44 $2.72 $2.60
20% $1.84 -0.16% $1.96 0.19% -3.73% 3.50% 5.83%
$1.50 $3.03 $2.91 $1.98 7.34% $2.11 -5.45% -7.31% 3.44% 5.35%
$1.45 $2.94 $2.77 $1.87 -3.55% $2.03 -11.08% -10.40% 5.74% 6.48%
15%
$1.48 $2.92 $2.99 $1.86 2.21% $2.08 1.73% 2.97% $0.50
$1.41 f(x) $2.84 $2.92
= 1.149 x + 0.003 $1.84 -3.37% $2.01 -1.01% -4.02%
$1.46 $2.30 10%
$2.99 $2.28 0.94% $2.03 1.88% -2.99%
$1.48 $2.42 $2.94 $2.26 1.30% $2.05 -4.40% -10.02%
$0.00
$1.57 $2.53 $3.77
5% $2.34 9.76% $2.25 -0.21% -1.36% 1-May-97 1-Apr-
$1.49 $2.64 $3.16 $2.39 -4.61% $2.15 -6.87% -5.08%
$1.38 $2.42 $2.88
0% $2.18 -8.02% $1.98 -5.48% -6.98%
$1.49 -15%
-20% $2.78
-10% -5% $3.430% $2.52
5% 10% 12.31%
15% $2.22 -0.84% 2.03%
$1.46 $2.62 $2.25 $2.49 -9.02% $2.02 -12.37% -13.84%
-5%
$1.44 $2.53 $2.02 $2.63 -3.23% $1.96 -6.23% -8.30%
$1.43 $2.58 $2.58 $2.54 5.33% $2.06 -3.45% -3.37%
-10%
$1.44 $2.64 $2.25 $2.98 0.00% $2.06 -2.02% -1.29%
$1.53 $3.11 $2.25 $3.30 7.91% $2.22 1.28% 1.53%
$1.45 $2.65 -15%
$1.95 $3.05 -8.92% $2.02 1.53% 0.78%
$1.50 $2.32 $2.22 $2.97 1.57% $2.06 2.76% 2.22%
$1.42 $2.21 $1.85
-20% $2.82 -7.37% $1.90 1.97% 0.98%
$1.47 $2.01 $1.40 $2.89 -4.65% $1.82 -1.49% 2.25%
$1.49 $2.64 $1.97 $3.17 15.92% $2.11 -0.19% -0.22%
$1.43 $2.36 $1.90 $2.79 -5.80% $1.98 0.33% 2.06%
$1.35 $2.27 $1.76 $2.55 -6.00% $1.86 0.91% -0.72%
$1.46 $2.72 $2.19 $2.79 13.98% $2.12 -2.14% -2.95%
$1.49 $2.64 $2.23 $2.92 1.15% $2.15 -1.28% -1.09%
$1.43 $2.68 $2.35 $3.01 -0.16% $2.15 -0.36% -0.32%
$1.44 $2.49 $2.13 $2.86 -3.73% $2.07 2.42% 2.91%
$1.36 $2.37 $1.84 $2.61 -7.31% $1.91 -2.83% -2.15%
$1.21 $2.17 $1.65 $2.31 -10.40% $1.72 0.34% -0.55%
$1.24 $2.56 $1.88 $2.60 8.82% $1.87 -0.92% -0.48%
$1.34 $2.74 $2.07 $2.74 8.34% $2.02 -0.52% 1.05%
$1.37 $2.87 $2.14 $2.89 2.97% $2.08 -2.72% -2.56%
$1.35 $2.56 $2.05 $2.72 -4.02% $2.00 2.63% 0.20%
$1.38 $2.33 $1.88 $2.60 -2.99% $1.94 -2.44% -2.84%
$1.42 $2.47 $1.95 $2.85 4.29% $2.02 -2.96% -3.28%
$1.36 $1.99 $1.69 $2.49 -10.02% $1.82 2.70% 1.68%
$1.35 $1.91 $1.64 $2.49 -1.36% $1.80 -1.84% -2.21%
$1.26 $1.71 $1.76 $2.24 -5.08% $1.70 -1.50% 0.13%
$1.19 $1.67 $1.55 $1.94 -6.98% $1.59 0.83% -0.49%
$1.18 $1.80 $1.58 $2.04 2.03% $1.62 -1.22% -0.16%
$1.04 $1.39 $1.41 $1.84 -13.84% $1.39 -0.82% -3.02%
$1.15 $1.88 $1.72 $2.31 19.35% $1.66 1.37% 1.59%
$1.21 $2.08 $1.86 $2.43 7.13% $1.78 1.18% -0.41%
$1.14 $1.85 $1.67 $2.20 -8.30% $1.63 1.05% 1.53%
$1.10 $1.87 $1.53 $2.16 -3.37% $1.58 2.32% -0.44%
$1.08 $1.87 $1.53 $2.10 -1.29% $1.56 -1.75% -2.69%
$1.09 $1.88 $1.57 $2.17 1.53% $1.58 -0.16% -0.49%
$1.16 $2.03 $1.66 $2.47 7.23% $1.70 0.32% 0.97%
$1.21 $2.11 $1.59 $2.59 2.71% $1.74 2.62% 2.90%
$1.23 $1.98 $1.66 $2.70 0.78% $1.76 1.17% 1.07%
$1.26 $1.95 $1.71 $2.85 2.22% $1.79 1.27% 1.61%
$1.28 $1.97 $1.72 $2.76 0.98% $1.81 -2.80% -5.05%
$1.27 $2.12 $1.80 $2.90 2.25% $1.85 0.70% 0.61%
$1.34 $2.15 $1.70 $3.04 2.50% $1.90 1.37% 1.65%
$1.33 $2.18 $1.67 $3.02 -0.22% $1.90
$1.43 $2.23 $1.78 $3.11 5.52% $2.00
$1.43 $2.39 $1.80 $3.20 2.06% $2.04
$1.44 $2.33 $1.73 $3.25 -0.72% $2.03
$1.41 $2.21 $1.62 $3.34 -2.95% $1.97
$1.39 $2.13 $1.70 $3.14 -1.09% $1.95
$1.39 $2.14 $1.71 $3.03 -0.32% $1.94
$1.42 $2.13 $1.86 $3.03 2.91% $2.00
$1.38 $2.10 $1.85 $2.90 -2.15% $1.95
$1.39 $2.05 $1.78 $3.07 -0.55% $1.94
$1.38 $2.08 $1.81 $2.90 -0.48% $1.93
$1.37 $2.17 $1.83 $2.95 1.05% $1.95
$1.42 $2.29 $1.95 $2.97 4.50% $2.04
$1.47 $2.39 $1.94 $3.20 3.32% $2.11
$1.43 $2.27 $1.91 $3.26 -2.56% $2.05
$1.47 $2.25 $1.84 $3.20 0.20% $2.06
$1.43 $2.22 $1.76 $3.01 -2.84% $2.00
$1.39 $1.86 $1.85 $3.18 -3.28% $1.93
$1.43 $1.84 $1.89 $3.19 1.68% $1.97
$1.40 $1.81 $1.82 $3.13 -2.21% $1.92
$1.45 $2.03 $1.87 $2.97 4.40% $2.01
$1.43 $1.97 $2.01 $2.99 0.13% $2.01
$1.44 $1.96 $1.89 $3.11 -0.49% $2.00
$1.42 $2.00 $1.89 $3.13 -0.16% $2.00
$1.47 $2.18 $2.04 $3.35 5.83% $2.11
$1.46 $2.01 $1.93 $3.35 -3.02% $2.05
$1.48 $1.99 $2.07 $3.21 1.59% $2.08
$1.50 $1.97 $1.99 $3.23 -0.41% $2.07
$1.52 $2.02 $2.01 $3.29 1.53% $2.11
$1.55 $2.02 $1.78 $3.52 -0.44% $2.10
$1.52 $1.97 $1.68 $3.47 -2.69% $2.04
$1.52 $1.89 $1.73 $3.40 -0.49% $2.03
$1.53 $1.91 $1.78 $3.40 0.97% $2.05
$1.55 $2.00 $1.91 $3.51 3.63% $2.12
$1.59 $2.03 $2.04 $3.54 2.90% $2.19
$1.65 $2.28 $2.14 $3.57 5.35% $2.30
$1.67 $2.28 $2.19 $3.56 1.07% $2.33
$1.70 $2.41 $2.23 $4.00 3.70% $2.41
$1.72 $2.46 $2.31 $3.96 1.61% $2.45
$1.67 $2.31 $2.11 $3.66 -5.05% $2.33
$1.69 $2.35 $2.09 $3.73 0.61% $2.34
$1.78 $2.54 $2.24 $3.89 6.48% $2.49
$1.81 $2.56 $2.32 $3.96 1.65% $2.54
$4.50Growth of $1.00 : using actual Historical Returns

^DJI IBM MSFT C Err:502

$4.00

$3.50

$3.00

$2.50

$2.00

$1.50

$1.00

$0.50

$0.00
1-May-97 1-Apr-98 1-Mar-99 1-Feb-00 1-Jan-01 1-Dec-01 1-Nov-02 1-Oct-03 1-Sep-04 1-Aug-05 1-Jul-06

Enter your Allocations

^DJI IBM MSFT C
50% 20% 20% 10%
downsideBeta = 1.001
total Beta = 1.149 downsideAlpha = -0.005
total Alpha = 0.003 upsideBeta = 1.220
upsideAlpha = 0.005
Type in four Yahoo symbols then click the buttons (one-at-a-time). 121 121
Start Date: 6/21/2011
End Date: 6/20/2021 m
Select four Assets >> Asset A = ^DJI Asset B = IBM Asset C = MSFT
URL used = http://chart.yahoo.com/table.csv?s=C&a=4&b=4&c=1997&d=4&e=4&f=2007&g=m&q=q&y=0&z=C&x=.csv

Index Date Open High Low Close Volume

1 May 5/97 54.88 58.25 53.25 55.00 5,040,300
2 Jun 2/97 55.63 66.12 54.38 63.06 5,075,800
3 Jul 1/97 63.75 73.62 63.31 71.94 4,797,100
4 Aug 1/97 72.00 72.62 63.00 63.50 4,855,000
C
5 Sep 2/97 65.25 73.37 63.50 68.31 6,350,100
58.00
6 Oct 1/97 69.75 76.44 64.69 70.00 8,341,700
7 Nov 3/97 70.75 76.00 48.25 50.88 6,010,600
53.00
8 Dec 1/97 51.00 57.38 50.94 53.88 6,507,600
9 Jan 2/98 54.00 54.38 45.13 49.56 7,562,600
1048.00 Feb 2/98 50.63 56.31 50.63 55.63 5,240,000
11 Mar 2/98 55.06 63.38 54.06 60.00 5,659,600
1243.00 Apr 1/98 60.44 73.50 59.19 61.19 10,441,700
13 May 1/98 62.00 65.00 59.38 61.25 6,296,700
14 Jun 1/98 61.06 65.31 59.13 60.63 7,342,100
38.00
15 Jul 1/98 61.44 72.94 61.13 67.25 9,360,200
16 Aug 3/98 67.00 67.25 43.75 44.38 13,659,400
1733.00 Sep 1/98 44.13 46.50 37.13 37.50 25,608,800
18 Oct 1/98 36.25 47.63 28.50 47.00 34,097,400
1928.00 Nov 2/98 46.75 53.25 41.56 50.25 30,066,600
20 Dec 1/98 48.75 52.19 45.50 49.69 16,804,100
21 Jan 4/99 50.13 59.44 49.00 56.06 24,538,100
23.00
22 Feb 1/99 56.25 60.19 50.13 58.75 20,968,200
23 Mar 1/99 59.44 66.44 57.44 63.88 17,613,300
2418.00 Apr 1/99 64.50 77.62 64.19 74.87 20,169,300
25 May 3/99 74.50 75.50 62.19 66.25 17,272,000
2613.00 Jun 1/99 43.88 49.00 40.13 47.50 11,894,700
27 Jul 1/99 47.56 50.94 44.50 44.56 11,384,600
28 Aug 2/99 44.94 50.44 41.19 44.44 12,503,600
29 Sep 1/99 44.44 46.50 41.88 44.00 14,212,100
30 Oct 1/99 43.00 56.00 42.06 54.25 18,941,100
31 Nov 1/99 53.75 58.25 51.56 53.88 16,913,400
32 Dec 1/99 53.06 57.56 53.00 55.69 11,571,100
33 Jan 3/00 55.63 60.13 49.50 57.00 15,685,800
34 Feb 1/00 57.56 58.63 47.13 51.75 17,911,100
35 Mar 1/00 53.25 62.38 47.75 59.88 16,598,400
36 Apr 3/00 60.00 65.44 56.00 59.00 15,572,900
37 May 1/00 60.19 63.38 56.38 62.19 11,431,200
38 Jun 1/00 63.00 67.62 60.00 60.25 11,456,000
39 Jul 3/00 60.69 72.00 60.56 70.50 9,945,900
40 Aug 1/00 70.94 78.31 56.81 58.39 9,080,900
41 Sep 1/00 58.63 59.06 51.13 54.06 12,755,000
42 Oct 2/00 54.06 57.13 44.50 52.63 14,345,200
43 Nov 1/00 52.00 55.81 46.50 49.81 12,943,900
44 Dec 1/00 50.88 53.69 46.75 51.06 14,944,100
45 Jan 2/01 51.75 57.38 50.06 55.97 16,284,200
46 Feb 1/01 55.75 56.69 45.50 49.18 13,117,800
47 Mar 1/01 48.30 51.50 39.00 44.98 17,339,400
48 Apr 2/01 44.55 52.49 41.40 49.15 14,164,700
49 May 1/01 49.20 53.00 48.91 51.25 10,995,100
50 Jun 1/01 51.26 53.75 47.75 52.84 11,694,000
51 Jul 2/01 52.95 53.73 47.30 50.21 11,861,300
52 Aug 1/01 50.70 51.44 44.50 45.80 10,479,800
53 Sep 4/01 46.25 47.30 34.51 40.50 20,699,900
54 Oct 1/01 40.78 48.75 40.50 45.52 15,742,900
55 Nov 1/01 45.45 50.99 44.70 47.90 12,726,900
56 Dec 3/01 48.00 51.80 46.00 50.48 12,448,700
57 Jan 2/02 50.02 52.20 45.21 47.40 13,704,700
58 Feb 1/02 47.01 47.40 41.50 45.25 17,731,500
59 Mar 1/02 45.50 50.49 44.82 49.52 13,666,300
60 Apr 1/02 49.15 49.80 42.75 43.30 13,318,500
61 May 1/02 43.30 47.09 42.09 43.18 12,754,900
62 Jun 3/02 43.45 43.74 36.00 38.75 19,484,800
63 Jul 1/02 38.95 39.75 24.48 33.54 34,272,400
64 Aug 1/02 33.00 36.40 28.60 32.75 20,230,300
65 Sep 3/02 30.99 31.80 26.15 29.65 25,030,000
66 Oct 1/02 30.02 37.25 25.08 36.95 24,539,300
67 Nov 1/02 36.75 39.50 34.29 38.88 17,594,300
68 Dec 2/02 38.89 39.48 34.60 35.19 14,460,400
69 Jan 2/03 35.70 38.90 33.65 34.35 17,022,300
70 Feb 3/03 34.38 35.01 31.05 33.34 15,439,500
71 Mar 3/03 33.85 37.20 30.25 34.45 16,691,100
72 Apr 1/03 34.46 40.40 34.46 39.25 16,601,400
73 May 1/03 39.05 41.64 38.09 41.02 15,082,800
74 Jun 2/03 41.48 45.72 40.70 42.80 13,856,000
75 Jul 1/03 42.36 48.15 42.35 44.80 14,339,900
76 Aug 1/03 45.08 45.58 42.48 43.35 12,215,500
77 Sep 2/03 43.35 47.48 43.25 45.51 13,396,300
78 Oct 1/03 45.96 49.15 45.74 47.40 12,790,900
79 Nov 3/03 47.60 48.98 44.84 47.03 12,068,500
80 Dec 1/03 47.41 48.64 46.00 48.54 10,146,500
81 Jan 2/04 49.05 51.11 48.54 49.48 14,018,200
82 Feb 2/04 49.50 50.36 47.99 50.26 12,296,200
83 Mar 1/04 50.60 52.05 48.60 51.70 15,054,300
84 Apr 1/04 51.98 52.88 47.85 48.09 13,770,600
85 May 3/04 48.10 49.18 44.83 46.43 14,922,000
86 Jun 1/04 46.46 47.62 46.06 46.50 11,537,700
87 Jul 1/04 46.50 46.75 43.55 44.09 14,550,000
88 Aug 2/04 43.17 46.81 42.99 46.58 10,237,000
89 Sep 1/04 46.57 47.47 43.54 44.12 14,138,300
90 Oct 1/04 44.47 45.18 42.10 44.37 14,759,700
91 Nov 1/04 44.45 47.10 44.21 44.75 15,129,900
92 Dec 1/04 45.03 49.06 44.93 48.18 13,399,400
93 Jan 3/05 49.00 49.30 47.25 49.05 16,445,300
94 Feb 1/05 49.30 49.99 47.60 47.72 14,774,600
95 Mar 1/05 47.93 48.68 44.05 44.94 17,248,900
96 Apr 1/05 45.50 47.15 43.80 46.96 15,991,700
97 May 2/05 46.96 48.14 45.76 47.11 12,113,800
98 Jun 1/05 47.12 48.10 46.20 46.23 11,446,300
99 Jul 1/05 46.50 46.81 43.50 43.50 19,511,700
100 Aug 1/05 43.60 44.43 42.91 43.77 15,789,100
101 Sep 1/05 43.60 45.87 43.38 45.52 14,388,100
102 Oct 3/05 45.74 46.25 44.00 45.78 16,359,800
103 Nov 1/05 45.95 49.76 45.21 48.55 16,706,800
104 Dec 1/05 48.96 49.73 48.22 48.53 13,759,900
105 Jan 3/06 49.00 49.58 45.63 46.58 17,841,900
106 Feb 1/06 46.59 47.13 44.81 46.37 15,070,900
107 Mar 1/06 46.39 48.01 45.80 47.23 14,071,000
108 Apr 3/06 47.41 49.95 47.15 49.95 17,924,900
109 May 1/06 50.00 50.72 48.43 49.30 16,741,600
110 Jun 1/06 49.38 50.41 47.47 48.25 16,760,900
111 Jul 3/06 48.60 49.73 46.22 48.31 16,390,000
112 Aug 1/06 48.31 49.71 47.22 49.35 12,112,700
113 Sep 1/06 49.70 50.35 48.42 49.67 13,625,900
114 Oct 2/06 49.68 51.33 49.28 50.16 17,958,200
115 Nov 1/06 50.55 50.95 49.43 49.59 15,429,500
116 Dec 1/06 49.59 57.00 48.83 55.70 22,258,800
117 Jan 3/07 55.66 56.28 53.50 55.13 18,904,400
118 Feb 1/07 55.13 55.50 49.56 50.37 21,616,000
119 Mar 1/07 49.75 52.50 48.05 51.34 23,505,200
120 Apr 2/07 51.31 54.71 50.41 53.62 22,608,200
121 May 1/07 53.80 54.45 53.55 53.95 24,263,900
122
 121 121 < months 60.07
12.96
C
Asset D = C 121

Adj Close
13.64 The first-named asset A
15.64 is the "benchmark"
17.87
15.78
16.97 See: http://www.gummy-stuff.org/downside-Beta.htm
17.43
19.00
20.12
18.51
20.83
22.46
22.95
22.98
22.74
25.28
16.68
14.09
17.74
18.96
18.75
21.23
22.25
24.19
28.43
25.16
27.05
25.45
25.39
25.14
31.08
30.86
31.90
32.65
29.73
34.40
33.98
35.81
34.70
40.60
44.95
41.62
40.52
38.45
39.42
43.21
38.06
34.81
38.04
39.77
41.01
38.96
35.65
31.53
35.44
37.42
39.44
37.16
35.47
38.82
33.94
33.99
30.50
26.40
27.79
25.16
31.51
33.15
30.01
29.46
28.59
29.54
33.66
35.36
36.89
38.92
37.66
39.53
41.48
41.16
42.48
43.66
44.34
45.61
42.78
41.31
41.37
39.58
41.82
39.61
40.20
40.54
43.65
44.44
43.62
41.08
43.33
43.47
42.66
40.54
40.79
42.42
42.67
45.69
45.67
43.84
44.10
44.92
48.00
47.38
46.37
46.43
47.91
48.22
48.69
48.62
54.61
54.05
49.87
50.83
53.09
53.95