Adobe Systems

Date NASDAQ Returns Act Blizzard Inc

Inc
Alexion Pharma Inc

31-Mar-06 -0.0165 -0.0207 -0.0005 -0.0242

30-Jun-06 0.0196 0.0059 -0.0078 0.0439
30-Sep-06 -0.0028 0.0670 0.0106 0.0643
31-Dec-06 0.0460 0.0356 0.0040 0.0061
30-Mar-07 -0.0194 -0.2047 -0.0086 -0.2860
29-Jun-07 0.0061 -0.0144 -0.0379 0.0412
28-Sep-07 0.0031 0.1453 0.0838 0.3687
31-Dec-07 0.0502 0.3189 -0.0215 0.1412
31-Mar-08 -0.0020 -0.0839 -0.1828 -0.2353
30-Jun-08 0.0208 0.2212 0.1014 0.2010
30-Sep-08 -0.1011 -0.0990 0.0020 0.0808
31-Dec-08 -0.1607 -0.5799 -0.6173 -0.0824
31-Mar-09 0.0216 0.1912 0.0047 0.0398
30-Jun-09 0.1021 0.1885 0.2799 0.0877
30-Sep-09 0.0286 -0.0192 0.1549 0.0801
31-Dec-09 0.0561 -0.1090 0.1072 0.0918
31-Mar-10 0.0512 0.0937 -0.0391 0.1077
30-Jun-10 0.0740 -0.1386 -0.2914 -0.0603
30-Sep-10 -0.0631 0.0310 -0.0107 0.2289
31-Dec-10 0.1226 0.1395 0.1630 0.2244
31-Mar-11 0.0464 -0.1108 0.0745 0.2030
30-Jun-11 -0.0051 0.0627 -0.0529 -0.0479
30-Sep-11 -0.0202 0.0187 -0.2633 0.3090
30-Dec-11 -0.0465 0.0347 0.1567 0.1099
30-Mar-12 -0.0076 0.0539 0.1936 0.2614
29-Jun-12 0.0492 -0.0669 -0.0582 0.0671
28-Sep-12 0.0353 -0.0615 0.0020 0.1416
31-Dec-12 0.0097 -0.0598 0.1499 -0.1992
28-Mar-13 -0.0063 0.3162 0.1440 -0.0172
28-Jun-13 0.0288 -0.0215 0.0459 0.0011
30-Sep-13 -0.0245 0.1568 0.1311 0.2306
31-Dec-13 0.0459 0.0667 0.1422 0.1345
31-Mar-14 0.0294 0.1467 0.0934 0.1353
30-Jun-14 -0.0275 0.0871 0.0959 0.0267
30-Sep-14 0.0297 -0.0701 -0.0448 0.0594
31-Dec-14 -0.0081 -0.0313 0.0495 0.1096
31-Mar-15 -0.0237 0.1306 0.0169 -0.0655
30-Jun-15 -0.0244 0.0633 0.0913 0.0422
30-Sep-15 -0.0250 0.2437 0.0148 -0.1449
31-Dec-15 -0.0221 0.2257 0.1333 0.1986
31-Mar-16 -0.0154 -0.1267 -0.0015 -0.3149
30-Jun-16 0.0651 0.1579 0.0210 -0.1759
30-Sep-16 -0.0238 0.1114 0.1250 0.0483
 30-Dec-16 0.0217 -0.2044 -0.0529 -0.0016
31-Mar-17 0.0109 0.3287 0.2343 -0.0091
30-Jun-17 0.0197 0.1438 0.0833 0.0035
29-Sep-17 -0.0248 0.1138 0.0533 0.1424
29-Dec-17 -0.0016 -0.0186 0.1610 -0.1596
29-Mar-18 0.0048 0.0684 0.2095 -0.0704
Adobe Systems
NASDAQ Returns Act Blizzard Inc
Inc
Alexion Pharma Inc

Average 0.0067 0.0393 0.0335 0.0436

Variance 0.00215577032 0.02449734600592 0.02110230444 0.021295987133
SD 0.04643027372 0.15651628032228 0.14526632244 0.145931446691

Correlation Matrix
NASDAQ Returns Act Blizzard Inc
NASDAQ Returns
Act Blizzard Inc 0.3367009336165
Adobe Systems Inc 0.3687208252179 0.633888445640235
Alexion Pharma Inc 0.11451664154 0.299917361392688
Align Technology Inc 0.0060171319304 0.170528034220521
Alphabet Inc 0.2760907022444 0.511224408764616
Amazon.com 0.2091729047035 0.472691211870772
American Airlines G Inc -0.121469214286 -0.06323750455373
Amgen Inc -0.195926603658 0.127823914571587
Analog Devices Inc 0.3717750248499 0.305938401738898
Apple Inc 0.3688004005361 0.33562836213464

Portfolio 1 Risk-Averse Portfolio 2

Proportion of Proportion of
NASDAQ 76.4371% Adobe Systems
Returns Inc

Proportion of
Proportion of 23.5629% Analog Devices
Amgen Inc Inc
 Var p 0.001445 Var p
Return p 0.010695 Return p
Align Technology American
Alphabet Inc Amazon.com Amgen Inc
Inc Airlines G Inc
0.0443 0.0124 0.0562 -0.0002 0.0091
-0.0246 0.0432 0.0448 -0.0004 -0.0194
-0.0640 -0.0292 -0.0040 -0.0002 -0.0299
-0.0634 -0.0025 0.0005 0.0001 -0.0110
-0.0853 -0.1540 -0.6083 0.0003 0.1008
0.4209 0.1318 0.5419 0.0005 -0.0106
0.0473 0.0818 0.3087 0.0006 0.0229
-0.4178 0.1980 -0.0055 0.0008 -0.1973
-0.4064 -0.4510 -0.2618 0.0007 -0.1057
-0.0574 0.1783 0.0281 -0.0019 0.1211
0.0319 -0.2733 -0.0078 -0.0021 0.2286
-0.2133 -0.2638 -0.3499 -0.0011 -0.0260
-0.0984 0.1234 0.3592 -0.0016 -0.1537
0.2902 0.1917 0.1303 0.0012 0.0668
0.2938 0.1622 0.1097 0.0034 0.1290
0.2257 0.2234 0.3652 0.0029 -0.0627
0.0819 -0.0891 0.0092 0.0023 0.0562
-0.2628 -0.2426 -0.2172 0.0025 -0.1289
0.2752 0.1669 0.3629 0.0023 0.0466
-0.0020 0.1219 0.1363 -0.0001 -0.0038
0.0470 -0.0122 0.0007 -0.0309 -0.0268
0.1073 -0.1473 0.1268 -0.0043 0.0877
-0.4074 0.0170 0.0558 0.0098 -0.0599
0.4472 0.2264 -0.2225 -0.0071 0.1556
0.1495 -0.0072 0.1569 0.0322 0.0569
0.1943 -0.1003 0.1201 0.0269 0.0702
0.0998 0.2629 0.1077 -0.0019 0.1450
-0.2869 -0.0645 -0.0137 -0.0040 0.0224
0.1886 0.1158 0.0604 0.0036 0.1733
0.1002 0.1030 0.0412 0.0005 -0.0383
0.2613 -0.0051 0.1185 -0.0258 0.1261
0.1722 0.2465 0.2434 -0.4535 0.0191
-0.0983 -0.0055 -0.1702 0.3712 0.0780
0.0789 0.0471 -0.0350 0.1602 -0.0411
-0.0810 0.0064 -0.0072 -0.1885 0.1711
0.0787 -0.1033 -0.0382 0.4151 0.1258
-0.0387 0.0443 0.1815 -0.0141 0.0035
0.1535 -0.0268 0.1541 -0.2763 -0.0404
-0.0997 0.1673 0.1649 -0.0255 -0.1043
0.1485 0.1978 0.2779 0.0894 0.1601
0.0988 -0.0196 -0.1298 -0.0297 -0.0795
0.1027 -0.0810 0.1869 -0.3670 0.0147
0.1518 0.1336 0.1570 0.2599 0.0920
 0.0251 -0.0145 -0.1103 0.2454 -0.1318
0.1767 0.0675 0.1674 -0.0964 0.1152
0.2690 0.0922 0.0879 0.1756 0.0485
0.2158 0.0463 -0.0069 -0.0558 0.0793
0.1763 0.0787 0.1960 0.0932 -0.0697
0.1224 -0.0156 0.2132 0.0006 -0.0199
Align Technology American
Alphabet Inc Amazon.com Amgen Inc
Inc Airlines G Inc
0.0524 0.0281 0.0629 0.0064 0.0238
0.037475038459 0.021207768631 0.0377581956221 0.0199813112 0.0089213327
0.19358470616 0.145628872929 0.194314681952 0.141355266 0.0944528065

Adobe Systems Inc Alexion Pharma Inc Align Technology Inc Alphabet Inc Amazon.com

0.18982777856969
0.55061049245305 0.192811154567562
0.55598015106834 0.425543383000449 0.455663805285362
0.40706827564432 0.391545905713075 0.44739253633681 0.555214965666
0.00228689325998 0.090344617749331 -0.043802491819164 -0.06432193621 -0.19476250562
0.33226291595268 0.261832496720166 0.470734732663957 0.087247374302 -0.0212772532
0.72289969425015 0.088401685936809 0.561382014027333 0.454235368856 0.251912125506
0.37661765430151 0.469663719005203 0.288980142435126 0.533437746362 0.348047908438

RiskTaking

1.9379%

98.0621%
0.011411  2p  x A2 A2  xB2 B2  2 x A xB  AB A B
0.022315

If I was an investor, I would choose P

taker investor and because the retur
higher SD which is what I would wan
a lower SD which is what a risk aver
difference, so that's why I would cho
Analog Devices Inc Apple Inc

-0.0105 -0.1365
-0.0173 -0.0909
-0.0069 0.2958
-0.0267 0.0972
0.0589 0.0909
0.0874 0.2727
-0.0401 0.2292
-0.1316 0.2552
-0.0712 -0.3223
0.0735 0.1543
-0.1871 -0.3874
-0.3260 -0.2865
0.0131 0.2083
0.2515 0.3037
0.1071 0.2634
0.1354 0.1283
-0.0915 0.1090
-0.0339 0.0680
0.1190 0.1205
0.1827 0.1282
0.0444 0.0774
-0.0061 -0.0375
-0.2251 0.1275
0.1354 0.0602
0.1214 0.3923
-0.0700 -0.0263
0.0392 0.1370
0.0711 -0.2210
0.1001 -0.1782
-0.0312 -0.1024
0.0706 0.1906
0.0792 0.1682
0.0425 -0.0386
0.0173 0.1973
-0.0885 0.0855
0.1216 0.0955
0.1327 0.1236
0.0248 0.0121
-0.1220 -0.1238
-0.0120 -0.0418
0.0747 0.0396
-0.0366 -0.1251
0.1354 0.1727
 0.1251 0.0292
0.1263 0.2194
-0.0462 0.0069
0.1063 0.0719
0.0380 0.0973
0.0286 -0.0048

Analog Devices Inc Apple Inc

0.0221 0.0593
0.01141497952782 0.027286
0.10684090755803 0.165185

American Airlines G Inc Amgen Inc Analog Devices Inc Apple Inc

0.043516826099823
0.11865617729285 0.20729659
0.026958577328734 -0.0569228 0.48171822683326

n
E ( R p )    xi E ( R i ) 
i 1

where xi  proportion of portfolio

invested in security i and
n

x
i 1
i 1
 A B

as an investor, I would choose Portfolio 2 because I know I would be a risk

investor and because the return was increased with a high number and a
er SD which is what I would want. In Portfolio 1 the return was minimzed with
er SD which is what a risk averse investor would want but not with a huge
ence, so that's why I would choose portfolio 2.
 Single Index Model

Al Baraka Al Tawfeek Leasing

EGX30 Bank Company
6/20/2012 3091.83 30.2 2.95
6/21/2012 3083.83 27.45 2.84
6/22/2012 3035.12 27.45 2.77
6/23/2012 3026.74 27.45 2.95
6/24/2012 3024.83 27.45 2.87
6/25/2012 3004.03 27.45 2.9

Returns
Al Baraka Al Tawfeek Leasing
EGX30 Bank Company
6/21/2012 -0.002590817653462 -0.0954757564 -0.038001118178614
6/22/2012 -0.015921368520322 0 -0.024956731973868
6/23/2012 -0.002764829718356 0 0.062957850152481
6/24/2012 -0.000631241169952 0 -0.027493140580199
6/25/2012 -0.006900171020069 0 0.010398707220899

Correlation Matrix
EGX30 Al Baraka Bank
EGX30
Al Baraka Bank -0.2895825959 1
Al Tawfeek Leasing Company 0.166805338 0.467628953419405
Alexandria Flour Mills 0.1131843845 0.790569415042101
Glaxo Smith Kline -0.6429717808 -0.173221736451041
Golden Coast Company -0.0474411726 0.716865265060067
Golden Pyramids Plaza -0.4659571742 0.535346949714634
Misr Hotels 0.3127984212 0.407703325501547
Rowad Tourism 0.3369835731 -0.332292925477918
National Drilling 0.2895825959 -1
Oriental Weavers -0.0557094555 -0.088605269910877
Prime Holding -0.0742644901 0.085998590894441
Naeem Holding -0.4359355287 0.29165790403234
Samad Misr -0.5924831229 -0.321203147941694
United Arab Shipping -0.3970251121 -0.369600088978337
Palm Hills 0.2735163048 0.027036387185495
AMOC -0.3208081312 0.802860439469258
Egyptian Resorts -0.6579067739 -0.225740043110481
Qalaa Holdings 0.0437689096 0.033541566969729
Raya 0.7481678656 0.074404792819483

Al Tawfeek Leasing Company

6/21/2012 -0.038001118178614
6/22/2012 -0.024956731973868
6/23/2012 0.062957850152481
6/24/2012 -0.027493140580199
6/25/2012 0.010398707220899

Correlation Matrix

Al Tawfeek Leasing Company

Alexandria Flour Mills
Misr Hotels
Rowad Tourism
National Drilling
Qalaa Holdings
Raya

6/21/2012
6/22/2012
6/23/2012
6/24/2012
6/25/2012
Avg Return

Proportion of Rowad
Tourism
Proportion of Qalaa
Holdings
 Var B
Var A
SD B
SD A
Correl

Var p
Return p

Alexandria Flour Mills Glaxo Smith Kline
13 15.9
12.95 15.95
12.95 16.05
12.95 16.1
13 15.95
13 16
Alexandria Flour Mills Glaxo Smith Kline
-0.00385356931599 0.003139720004668
0 0.006250020345171
0 0.003110422414393
0.00385356931599 -0.009360442759564
0 0.003129893008928
Al Tawfeek Leasing Company Alexandria Flour Mills Glaxo Smith Kline
1
0.089866434869259 1
0.230396650821285 -0.72619460543031
0.921235939214155 0.34873921662547
0.719592998435637 -0.074206860093083
0.75379902676136 0.328973959393928
-0.816602740623574 0.232608603563723
-0.467628953419405 -0.790569415042102
0.168096719690994 -0.098870115198985
0.109812343944579 -0.143353499521822
-0.706297731068899 0.507492901650642
0.082564922255144 -0.813983714449596
Golden Coast Golden Pyramids
Company Plaza
25 2.03
24.15 1.99
24.15 2.01
25.15 2.05
24.95 2
25 2.05
Golden Coast Golden Pyramids
Company Plaza
-0.034591444769619 -0.019901154317295
0 0.010000083334583
0.040573516447167 0.019705071079332
-0.007984074348221 -0.024692612590372
0.002002002670673 0.024692612590372
Golden Coast Company
1
0.150146771753195 1
0.643189195914694 0.704171566328765
-0.144068830354824 0.820330413295716
-0.691872196597838 -0.805205827522772
0.173221736451041 -0.716865265060067
0.137789553957826 0.299674582009798
0.222115897106118 -0.080279802081228
-0.350759397900819 -0.43551429130415
0.974283042861148 -0.046594594799616
 -0.560909338782251 -0.248737997658 0.174294673350035 -0.381317386966041
0.208016523521937 0.204670859537196 -0.262296834568521 0.340721162833795
0.565796083979031 0.551471985663104 0.031734676923783 0.838274781186835
0.140747507231043 -0.701562294386319 0.946329477509065 0.127881972969978
0.856680893186759 -0.432873821757135 0.61068581933597 0.670410712407665
0.051782290859638 0.557434860039487 -0.851489089608766 0.106940241231837

Alexandria Flour Mills Misr Hotels Rowad Tourism National Drilling

-0.00385356931599 -0.045791132195935 0.003327790092675 0.022472855852059
0 -0.024970086347759 0 0
0 0.070761218543694 -0.003327790092675 0
0.00385356931599 0 0.005540180375615 0
0 -0.049497127790252 0.001104362343053 0

Risk Averse
Al Tawfeek Leasing Company Alexandria Flour Mills Misr Hotels Rowad Tourism
1
0.089866434869259 1
0.75379902676136 0.328973959393928 1
-0.816602740623574 0.232608603563723 -0.569146923075588 1
-0.467628953419405 -0.790569415042102 -0.407703325501547 0.332292925477918
0.856680893186759 -0.432873821757135 0.526259327579201 -0.886635629513533
0.051782290859638 0.557434860039487 0.559834432119354 0.359354827747524

Rowad Tourism Qalaa Holdings

Returns
0.0033 -0.0027
0.0000 -0.0055
-0.0033 0.0109
0.0055 -0.0137
0.0011 0.0000
0.0013 -0.0022

 B2   A B  AB
73.7744%
xA  2 2
26.2256%
 A   B  2 A B  AB

x  1 x
  B   A B  AB
xA  2 2
 A   B  2 A B  AB

0.0000642
9.04631979857422E-06
0.008011443397423
xB  1  x A
0.003007710058928
-0.886635629513533
 2p  xA2 A2  xB2 B2  2 xA xB  AB A
0.000001
0.000405
n
E ( R p )    xi E ( Ri ) 
i 1

where xi  proportion of portfolio

invested in security i and
n

 x 1
i 1
i
 Rowad National
Misr Hotels Tourism Drilling Oriental Weavers Prime Holding
8.49 9 4.4 1.37 2.71
8.11 9.03 4.5 1.4 2.49
7.91 9.03 4.5 1.45 2.25
8.49 9 4.5 1.52 2.03
8.49 9.05 4.5 1.54 1.83
8.08 9.06 4.5 1.49 1.84

Rowad National
Misr Hotels Tourism Drilling Oriental Weavers Prime Holding
-0.045791132195935 0.003327790093 0.02247285585 0.021661496781179 -0.084665924415
-0.024970086347759 0 0 0.03509131981127 -0.10135249426
0.070761218543694 -0.00332779009 0 0.047146778425702 -0.102894423163
0 0.005540180376 0 0.013072081567353 -0.1037198262
-0.049497127790252 0.001104362343 0 -0.03300629646817 0.0054496047676

Golden Pyramids Plaza Misr Hotels Rowad Tourism National Drilling Oriental Weavers

1
0.207127448245483 1
-0.828365865006992 -0.56914692308
-0.535346949714634 -0.4077033255
-0.161718132169067 0.650474365292
0.489090959353143 -0.53789872823
-0.308291016945442 -0.53942102629
0.543688356992757 -0.33667554352
1
0.33229292548 1
-0.38829091643 0.088605269910877 1
0.01041505222 -0.085998590894441 -0.913721968479
0.61101541474 -0.29165790403234 -0.315521657923
-0.53185172424 0.321203147941694 -0.011663730213
-0.469502718711601 -0.0880328589
-0.33412643752428 0.783785544146
0.45575329467635 0.741532280466
0.466322536719604 -0.02191830975
0.702934100128826 0.526259327579
-0.60460612601285 0.559834432119
0.12609687212 0.369600088978337 0.6817986076057
-0.18557527308 -0.027036387185495 0.9083730509725
-0.60564819649 -0.802860439469258 0.5122377211366
-0.6686477117 0.225740043110481 0.4251776425834
-0.88663562951 -0.033541566969729 0.2448593438958
0.35935482775 -0.074404792819483 0.3324329617197

Qalaa Holdings Raya

-0.002732242136873 -0.02222313678
-0.005486982216259 -0.03428907348
0.010944021679317 -0.01169603976
-0.013698844358162 0.003913899321
0 -0.03578910785

National Drilling Qalaa Holdings Raya

1
-0.033541566969729 1
-0.074404792819483 -0.25662365732 1
2
B  2 x A xB  AB A B
 United Arab
Naeem Holding Samad Misr Shipping Palm Hills AMOC Egyptian Resorts
2.53 4.25 4.2 1.33 1.6 1.13
2.51 4.29 4.41 1.37 1.55 1.14
2.6 4.34 4.7 1.42 1.57 1.16
2.51 4.33 4.79 1.54 1.6 1.17
2.6 4.17 4.93 1.63 1.6 1.15
2.63 4.2 4.88 1.56 1.58 1.15

United Arab
Naeem Holding Samad Misr Shipping Palm Hills AMOC Egyptian Resorts
-0.007936549596 0.00936775 0.0487901642 0.029631797606371 -0.0317486983 0.0088106297
0.035228691884 0.01158761517 0.0636878193 0.035846131773136 0.0128206884 0.0173917427
-0.035228691884 -0.0023068061 0.0189679027 0.081125544812369 0.0189280099 0.0085837437
0.035228691884 -0.0376515062 0.0288085766 0.056797598393133 0 -0.0172418064
0.011472401162 0.00716848948 -0.0101937682 -0.043894193557225 -0.0125787822 0

Prime Holding Naeem Holding Samad Misr United Arab Shipping Palm Hills AMOC

1
0.024179340297 1
0.338026714914 -0.3001252639 1
-0.741917382814 0.27009347314 0.1502939115 1
-0.9373023038 -0.2780693877 -0.4094997469 0.480951737466969 1
-0.418598706528 -0.0040698593 -0.1879148386 0.057197839836168 0.5255006933 1
-0.099269335413 -0.3185380106 0.89038358 0.453938753377976 0.0169943407 0.1401931418
0.138042121027 -0.886070341 0.5130235126 -0.334582899625052 0.1083781968 0.2686811016
-0.574705971443 -0.05833125 -0.9003892309 -0.004575872312609 0.6907926431 0.1800123006
Qalaa Holdings Raya
7.33 2.73
7.31 2.67
7.27 2.58
7.35 2.55
7.25 2.56
7.25 2.47

Qalaa Holdings Raya

-0.00273224214 -0.0222231368
-0.00548698222 -0.0342890735
0.010944021679 -0.0116960398
-0.01369884436 0.00391389932
0 -0.0357891079

Egyptian Resorts Qalaa Holdings Raya

 1
0.52963755579 1
-0.69934772407 -0.2566236573 1