portflolio optimisation 2

7/29/2019 portflolio optimisation 2

1/28

Date Coca Cola Disney General El 3M (MMMJohnson a IBM DFT MSFT

3-Dec-12 36.25 49.79 20.99 92.28 70.1 190.75 24.16 26.71

1-Nov-12 37.92 48.91 20.94 90.39 69.73 189.27 22.9 26.62

1-Oct-12 36.93 48.38 20.87 86.49 70.2 192.87 21.28 28.31

4-Sep-12 37.67 51.49 22.5 91.25 68.31 205.68 24.89 29.52

1-Aug-12 36.89 48.72 20.37 91.43 66.84 193.19 27.16 30.57

2-Jul-12 39.85 48.4 20.41 89.5 68 193.48 26.51 29.04

1-Jun-12 38.57 47.77 20.5 87.9 66.36 193.09 28 30.14

1-May-12 36.61 45.02 18.62 82.81 61.33 190.44 24.99 28.76

2-Apr-12 37.39 42.46 19.09 87.07 63.33 203.59 26.62 31.34

1-Mar-12 36.26 43.12 19.57 86.92 64.17 205.13 23.86 31.58

1-Feb-12 33.98 41.35 18.58 85.35 63.31 193.41 22.35 31.07

3-Jan-12 32.84 38.31 18.08 83.92 63.56 188.62 24.88 28.72

1-Dec-11 34.03 36.93 17.31 79.1 63.24 180.08 23.63 25.25

1-Nov-11 32.7 34.72 15.23 78.43 62.41 184.11 21.87 24.88

3-Oct-11 32.99 33.79 16 75.94 61.52 180.09 20.18 25.7

1-Sep-11 32.62 29.21 14.57 68.99 60.85 170.57 19.01 24.02

1-Aug-11 33.78 32.99 15.47 79.74 62.87 167.68 22.35 25.68

1-Jul-11 32.61 37.41 16.98 83.18 61.36 176.61 24.6 26.28

1-Jun-11 32.27 37.81 17.88 90.54 63 166.6 24.32 24.94

2-May-11 31.81 40.32 18.47 90.09 63.72 164.06 25.11 23.99

1-Apr-11 32.12 41.75 19.23 92.25 61.7 164.92 23.5 24.7

1-Mar-11 31.59 41.74 18.86 88.73 55.63 157.66 23.29 24.19

1-Feb-11 30.21 42.37 19.67 87.52 57.68 156.51 23.34 25.33

3-Jan-11 29.71 37.65 18.81 82.93 55.61 156.01 21.91 26.27

1-Dec-10 31.09 36.33 17.08 81.41 57.55 141.34 20.33 26.441-Nov-10 29.86 34.98 14.67 79.22 57.27 136.23 21.47 23.93

1-Oct-10 28.79 34.62 14.85 78.95 58.8 137.68 23.85 25.11

1-Sep-10 27.47 31.71 15.06 81.28 57.16 128.61 23.9 23.06

2-Aug-10 26.03 31.18 13.32 73.63 52.6 118.05 23.37 22.1

1-Jul-10 25.68 32.28 14.83 79.69 53.09 122.5 23.87 24.17

1-Jun-10 23.35 30.18 13.26 73.58 53.97 117.81 23.23 21.55

3-May-10 23.75 32.02 14.95 73.88 53.28 119.5 24.04 24.16

1-Apr-10 24.69 35.3 17.24 82.09 58.23 122.44 20.87 28.47

1-Mar-10 25.41 33.45 16.64 77.36 59.05 121.73 20.32 27.31

1-Feb-10 24.16 29.93 14.68 74.2 57.05 120.7 18.38 26.73

4-Jan-10 24.86 28.31 14.61 74.03 56.5 115.65 15.58 26.15

1-Dec-09 26.12 30.9 13.74 76.03 57.89 123.69 16.87 28.29

2-Nov-09 26.21 28.62 14.46 71.22 56.48 119.4 14.96 27.29

1-Oct-09 24.26 25.93 12.87 67.22 52.65 113.46 14.08 25.62

1-Sep-09 24.43 26.01 14.82 67.43 54.3 112.52 12.44 23.76

3-Aug-09 22.01 24.67 12.47 65.88 53.89 111.05 12.21 22.77

1-Jul-09 22.49 23.79 12.02 63.97 53.86 110.43 9.99 21.61

1-Jun-09 21.66 22.1 10.52 54.52 50.24 97.78 8.79 21.84

Adjusted close price


2/28

1-May-09 22 22.94 12 51.8 48.79 99.52 8.84 19.19

1-Apr-09 19.27 20.74 11.26 51.8 45.91 96.14 7.93 18.5

2-Mar-09 19.67 17.2 9 44.71 46.12 90.25 6.42 16.77

2-Feb-09 18.09 15.88 7.57 40.88 43.84 85.73 4.97 14.74

2-Jan-09 18.92 19.59 10.49 47.85 50.16 84.91 3.48 15.51

1-Dec-08 20.05 21.49 14.01 51.19 52.03 77.97 1.93 17.63

3-Nov-08 20.75 21.02 14.56 59.54 50.94 75.6 2 18.331-Oct-08 19.35 24.18 16.55 56.74 52.9 85.65 5.82 20.11

2-Sep-08 23.22 28.64 21.63 60.28 59.75 107.76 14.24 24.04

1-Aug-08 22.7 30.19 23.52 63.18 60.74 112.15 16.18 24.58

1-Jul-08 22.45 28.32 23.68 61.68 58.67 117.45 15.07 23.07

2-Jun-08 22.66 29.12 22.34 60.98 55.13 108.78 17.18 24.68

1-May-08 24.8 31.36 25.43 67.96 57.18 118.78 18.46 25.4

1-Apr-08 25.5 30.26 27.07 66.95 57.08 110.32 16.42 25.49

3-Mar-08 26.36 29.28 30.64 68.91 55.19 105.24 15.04 25.37

1-Feb-08 25.16 30.25 27.43 68.26 52.72 104.07 15.16 24.31

2-Jan-08 25.39 27.85 29.01 68.91 53.37 97.53 15.54 29.02

3-Dec-07 26.41 30.12 30.41 72.95 56.38 98.43 17.68 31.69

1-Nov-07 26.73 30.61 31.14 72.03 57.26 95.77 16.79 29.91

1-Oct-07 26.44 31.97 33.48 74.28 54.74 105.36 19.24 32.66

4-Sep-07 24.6 31.75 33.67 80.49 55.19 106.88 60.01 26.14

1-Aug-07 22.88 31.02 31.4 78.26 51.9 105.87 60.65 25.49

2-Jul-07 22.17 30.47 31.31 76.06 50.48 100.04 58.26 25.64

1-Jun-07 22.25 31.52 30.93 74.24 51.41 95.16 59.62 26.06

1-May-07 22.39 32.27 30.14 75.24 52.79 96.38 57.89 27.14

2-Apr-07 22.06 31.85 29.57 70.41 53.24 92.05 56.1 26.39

1-Mar-07 20.28 31.35 28.36 65.02 49.95 84.89 56.55 24.57

1-Feb-07 19.59 31.18 28 63.02 52.17 83.7 54.46 24.833-Jan-07 20.09 32.02 28.69 62.81 55.05 89.03 53.77 27.11


3/28

PG WMT Coca Cola Disney General El 3M (MMM Johnson a IBM DFT

67.34 68.23 -4.40% 1.80% 0.24% 2.09% 0.53% 0.78% 5.50%

69.27 71.62 2.68% 1.10% 0.34% 4.51% -0.67% -1.87% 7.61%

68.68 74.61 -1.96% -6.04% -7.24% -5.22% 2.77% -6.23% -14.50%

68.24 73.39 2.11% 5.69% 10.46% -0.20% 2.20% 6.47% -8.36%

66.11 72.2 -7.43% 0.66% -0.20% 2.16% -1.71% -0.15% 2.45%

63.5 73.62 3.32% 1.32% -0.44% 1.82% 2.47% 0.20% -5.32%

59.74 68.96 5.35% 6.11% 10.10% 6.15% 8.20% 1.39% 12.04%

60.76 65.1 -2.09% 6.03% -2.46% -4.89% -3.16% -6.46% -6.12%

62.08 57.88 3.12% -1.53% -2.45% 0.17% -1.31% -0.75% 11.57%

65.01 60.13 6.71% 4.28% 5.33% 1.84% 1.36% 6.06% 6.76%

65.4 57.66 3.47% 7.94% 2.77% 1.70% -0.39% 2.54% -10.17%

60.97 59.88 -3.50% 3.74% 4.45% 6.09% 0.51% 4.74% 5.29%

64.01 58.32 4.07% 6.37% 13.66% 0.85% 1.33% -2.19% 8.05%

61.96 57.13 -0.88% 2.75% -4.81% 3.28% 1.45% 2.23% 8.37%

61.4 55.01 1.13% 15.68% 9.81% 10.07% 1.10% 5.58% 6.15%

60.14 50.34 -3.43% -11.46% -5.82% -13.48% -3.21% 1.72% -14.94%

60.61 51.59 3.59% -11.82% -8.89% -4.14% 2.46% -5.06% -9.15%

58.53 50.75 1.05% -1.06% -5.03% -8.13% -2.60% 6.01% 1.15%

60.01 51.17 1.45% -6.23% -3.19% 0.50% -1.13% 1.55% -3.15%

63.25 53.17 -0.97% -3.43% -3.95% -2.34% 3.27% -0.52% 6.85%

61.27 52.59 1.68% 0.02% 1.96% 3.97% 10.91% 4.60% 0.90%

57.68 49.79 4.57% -1.49% -4.12% 1.38% -3.55% 0.73% -0.21%

59.03 49.38 1.68% 12.54% 4.57% 5.53% 3.72% 0.32% 6.53%

59.11 53.26 -4.44% 3.63% 10.13% 1.87% -3.37% 10.38% 7.77%

59.79 51.23 4.12% 3.86% 16.43% 2.76% 0.49% 3.75% -5.31%56.76 51.1 3.72% 1.04% -1.21% 0.34% -2.60% -1.05% -9.98%

59.08 51.17 4.81% 9.18% -1.39% -2.87% 2.87% 7.05% -0.21%

55.31 50.56 5.53% 1.70% 13.06% 10.39% 8.67% 8.95% 2.27%

55.04 47.37 1.36% -3.41% -10.18% -7.60% -0.92% -3.63% -2.09%

56.41 48.08 9.98% 6.96% 11.84% 8.30% -1.63% 3.98% 2.76%

54.89 45.15 -1.68% -5.75% -11.30% -0.41% 1.30% -1.41% -3.37%

55.91 47.49 -3.81% -9.29% -13.28% -10.00% -8.50% -2.40% 15.19%

56.89 50.09 -2.83% 5.53% 3.61% 6.11% -1.39% 0.58% 2.71%

57.46 51.92 5.17% 11.76% 13.35% 4.26% 3.51% 0.85% 10.55%

57.47 50.21 -2.82% 5.72% 0.48% 0.23% 0.97% 4.37% 17.97%

55.9 49.61 -4.82% -8.38% 6.33% -2.63% -2.40% -6.50% -7.65%

54.67 49.63 -0.34% 7.97% -4.98% 6.75% 2.50% 3.59% 12.77%

56.22 50.4 8.04% 10.37% 12.35% 5.95% 7.27% 5.24% 6.25%

52.3 45.9 -0.70% -0.31% -13.16% -0.31% -3.04% 0.84% 13.18%

51.83 45.35 11.00% 5.43% 18.85% 2.35% 0.76% 1.32% 1.88%

48.42 47 -2.13% 3.70% 3.74% 2.99% 0.06% 0.56% 22.22%

49.67 45.83 3.83% 7.65% 14.26% 17.33% 7.21% 12.94% 13.65%

45.37 44.51 -1.55% -3.66% -12.33% 5.25% 2.97% -1.75% -0.57%

Simple return


4/28

46.11 45.7 14.17% 10.61% 6.57% 0.00% 6.27% 3.52% 11.48%

43.89 46.06 -2.03% 20.58% 25.11% 15.86% -0.46% 6.53% 23.52%

41.45 47.62 8.73% 8.31% 18.89% 9.37% 5.20% 5.27% 29.18%

42.4 44.75 -4.39% -18.94% -27.84% -14.57% -12.60% 0.97% 42.82%

47.97 42.82 -5.64% -8.84% -25.12% -6.52% -3.59% 8.90% 80.31%

54.03 50.95 -3.37% 2.24% -3.78% -14.02% 2.14% 3.13% -3.50%

56.25 50.57 7.24% -13.07% -12.02% 4.93% -3.71% -11.73% -65.64%56.41 50.5 -16.67% -15.57% -23.49% -5.87% -11.46% -20.52% -59.13%

60.53 54.19 2.29% -5.13% -8.04% -4.59% -1.63% -3.91% -11.99%

60.6 53.45 1.11% 6.60% -0.68% 2.43% 3.53% -4.51% 7.37%

56.87 52.83 -0.93% -2.75% 6.00% 1.15% 6.42% 7.97% -12.28%

52.49 50.65 -8.63% -7.14% -12.15% -10.27% -3.59% -8.42% -6.93%

57.01 52.04 -2.75% 3.64% -6.06% 1.51% 0.18% 7.67% 12.42%

57.87 52.04 -3.26% 3.35% -11.65% -2.84% 3.42% 4.83% 9.18%

60.13 47.28 4.77% -3.21% 11.70% 0.95% 4.69% 1.12% -0.79%

56.79 44.29 -0.91% 8.62% -5.45% -0.94% -1.22% 6.71% -2.45%

56.14 45.32 -3.86% -7.54% -4.60% -5.54% -5.34% -0.91% -12.10%

62.69 42.45 -1.20% -1.60% -2.34% 1.28% -1.54% 2.78% 5.30%

63.19 42.59 1.10% -4.25% -6.99% -3.03% 4.60% -9.10% -12.73%

59.36 40.2 7.48% 0.69% -0.56% -7.72% -0.82% -1.42% -67.94%

59.76 38.81 7.52% 2.35% 7.23% 2.85% 6.34% 0.95% -1.06%

55.49 38.8 3.20% 1.81% 0.29% 2.89% 2.81% 5.83% 4.10%

52.56 40.65 -0.36% -3.33% 1.23% 2.45% -1.81% 5.13% -2.28%

51.7 42.56 -0.63% -2.32% 2.62% -1.33% -2.61% -1.27% 2.99%

53.69 42.11 1.50% 1.32% 1.93% 6.86% -0.85% 4.70% 3.19%

54.41 42.2 8.78% 1.59% 4.27% 8.29% 6.59% 8.43% -0.80%

53.07 41.35 3.52% 0.55% 1.29% 3.17% -4.26% 1.42% 3.84%

53.35 42.34 -2.49% -2.62% -2.41% 0.33% -5.23% -5.99% 1.28%54.51 41.8 0.96% 0.88% 0.08% 0.73% 0.43% 1.23% 1.33%


5/28

MSFT PG WMT

0.34% -2.79% -4.73% vcv matrix

-5.97% 0.86% -4.01% 0.96% Coca Cola

-4.10% 0.64% 1.66% 0.88% Disney

-3.43% 3.22% 1.65% 0.08% General El

5.27% 4.11% -1.93% 0.73% 3M (MMM

-3.65% 6.29% 6.76% 0.43% Johnson an

4.80% -1.68% 5.93% 1.23% IBM

-8.23% -2.13% 12.47% 1.33% DFT

-0.76% -4.51% -3.74% 0.26% MSFT

1.64% -0.60% 4.28% 0.41% PG

8.18% 7.27% -3.71% 0.80% WMT

13.74% -4.75% 2.67%

1.49% 3.31% 2.08% P1 P2

-3.19% 0.91% 3.85% -0.14934 -0.00208

6.99% 2.10% 9.28% -0.1937 -0.0979

-6.46% -0.78% -2.42% -0.0572 -0.14189

-2.28% 3.55% 1.66% 0.063277 0.111637

5.37% -2.47% -0.82% 0.418131 0.232387

3.96% -5.12% -3.76% -0.13772 0.020108

-2.87% 3.23% 1.10% 0.060665 0.03793

2.11% 6.22% 5.62% 0.204337 0.113706

-4.50% -2.29% 0.83% 0.525323 0.428285

-3.58% -0.14% -7.29% 0.266219 0.297811

-0.64% -1.14% 3.96% 1 1

10.49% 5.34% 0.25% 0.003 0.006-4.70% -3.93% -0.14% 0.310308 0.255286

8.89% 6.82% 1.21% 9.63% 6.52%

4.34% 0.49% 6.73%

-8.56% -2.43% -1.48% Risk-free rate 0.001

12.16% 2.77% 6.49% Theta 0.045943

-10.80% -1.82% -4.93%

-15.14% -1.72% -5.19% Super Portfolio of P1 and RFA

4.25% -0.99% -3.52% Weight of RFA 0

2.17% -0.02% 3.41% 0.015078

2.22% 2.81% 1.21% 0.093897

-7.56% 2.25% -0.04% 0.306427

3.66% -2.76% -1.53%

6.52% 7.50% 9.80%

7.83% 0.91% 1.21%

4.35% 7.04% -3.51%

5.37% -2.52% 2.55%

-1.05% 9.48% 2.97%

13.81% -1.60% -2.60%

Expected return

Variance

St. Deviation

returnstandard deviation

variance

IBM

DFT

MSFT

PG

WMT

Total weight

WMT

Coca Cola

Disney

General Electric

3M (MMM)

Johnson and Johnson

3M (MMM)

Johnson and Johnson

IBM

DFT

MSFT

PG

Mean

Coca Cola

Disney

General Electric


6/28

3.73% 5.06% -0.78%

10.32% 5.89% -3.28%

13.77% -2.24% 6.41%

-4.96% -11.61% 4.51%

-12.02% -11.22% -15.96%

-3.82% -3.95% 0.75%

-8.85% -0.28% 0.14%-16.35% -6.81% -6.81%

-2.20% -0.12% 1.38%

6.55% 6.56% 1.17%

-6.52% 8.34% 4.30%

-2.83% -7.93% -2.67%

-0.35% -1.49% 0.00%

0.47% -3.76% 10.07%

4.36% 5.88% 6.75%

-16.23% 1.16% -2.27%

-8.43% -10.45% 6.76%

5.95% -0.79% -0.33%

-8.42% 6.45% 5.95%

24.94% -0.67% 3.58%

2.55% 7.70% 0.03%

-0.59% 5.57% -4.55%

-1.61% 1.66% -4.49%

-3.98% -3.71% 1.07%

2.84% -1.32% -0.21%

7.41% 2.52% 2.06%

-1.05% -0.52% -2.34%

-8.41% -2.13% 1.29%0.26% 0.41% 0.80%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

20.00% 22.00% 24.00% 26.00% 28.00% 30.00% 32.00


7/28

Coca Cola Disney General El 3M (MMM Johnson anIBM DFT MSFT PG

0.175432 0.103603 0.19211 0.085765 0.080825 0.059564 -0.0207 0.117511 0.080166

0.103603 0.363363 0.367568 0.195918 0.109653 0.143144 0.250084 0.191274 0.106772

0.19211 0.367568 0.714559 0.289895 0.163299 0.171201 0.095511 0.270274 0.190008

0.085765 0.195918 0.289895 0.264621 0.09273 0.094648 0.130834 0.141089 0.08919

0.080825 0.109653 0.163299 0.09273 0.129866 0.068835 0.054503 0.08711 0.085851

0.059564 0.143144 0.171201 0.094648 0.068835 0.209955 0.397908 0.108005 0.040948

-0.0207 0.250084 0.095511 0.130834 0.054503 0.397908 2.664836 0.033314 -0.0882

0.117511 0.191274 0.270274 0.141089 0.08711 0.108005 0.033314 0.406802 0.068702

0.080166 0.106772 0.190008 0.08919 0.085851 0.040948 -0.0882 0.068702 0.150954

0.046676 0.053867 0.106536 0.029809 0.048485 0.019371 -0.08363 0.064388 0.032669

Optimal risky portfolio

0 St. Deviatio

0.006 25.53%

0.075687 -0.4 24.16%

0.065171 -0.2 24.77%

0.255286 0 25.53%

0.2 26.42%

0.4 27.42%

0.6 28.53%

0.8 29.74%

1 31.03%

1.2 32.39%

1.4 33.82%

P1 St. Deviatio

0.443549 30.64%

0.191986 -0.4 42.90%

-0.39815 -0.2 36.77%

0.257949 0 30.64%

-0.32971 0.2 24.51%

0.497718 0.4 18.39%

-0.03087 0.6 12.26%

-0.16055 0.8 6.13%

0.134663 1 0.00%

0.393418 1.2 6.13%

1.000001 1.4 12.26%

0.015078

0.306427

0.093897

return

standard deviation

variance

IBM

DFT

MSFT

PG

WMT

sum

Coca Cola

Disney

General Electric

3M (MMM)

Johnson and Johnson

expected return of portfolio

Weight of P1

covariance

variance

standard deviation


8/28

34.00% 36.00% 38.00% 40.00%

Series1

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

0.00% 10.00% 20.00%


9/28

WMT

0.046676

0.053867

0.106536

0.029809

0.048485

0.019371

-0.08363

0.064388

0.032669

0.152786

Exp. Return

0.60%

0.72%

0.66%

0.60%

0.54%

0.48%

0.42%

0.36%

0.30%

0.24%

0.18%

Exp. Return

1.51%

2.07%

1.79%

1.51%

1.23%

0.94%

0.66%

0.38%

0.10%

-0.18%

-0.46%


10/28

30.00% 40.00% 50.00%

Series1


11/28

Date Coca Cola Disney General El 3M (MMMJohnson a IBM DFT MSFT

3-Dec-12 36.25 49.79 20.99 92.28 70.1 190.75 24.16 26.71

1-Nov-12 37.92 48.91 20.94 90.39 69.73 189.27 22.9 26.62

1-Oct-12 36.93 48.38 20.87 86.49 70.2 192.87 21.28 28.31

4-Sep-12 37.67 51.49 22.5 91.25 68.31 205.68 24.89 29.52

1-Aug-12 36.89 48.72 20.37 91.43 66.84 193.19 27.16 30.572-Jul-12 39.85 48.4 20.41 89.5 68 193.48 26.51 29.04

1-Jun-12 38.57 47.77 20.5 87.9 66.36 193.09 28 30.14

1-May-12 36.61 45.02 18.62 82.81 61.33 190.44 24.99 28.76

2-Apr-12 37.39 42.46 19.09 87.07 63.33 203.59 26.62 31.34

1-Mar-12 36.26 43.12 19.57 86.92 64.17 205.13 23.86 31.58

1-Feb-12 33.98 41.35 18.58 85.35 63.31 193.41 22.35 31.07

3-Jan-12 32.84 38.31 18.08 83.92 63.56 188.62 24.88 28.72

1-Dec-11 34.03 36.93 17.31 79.1 63.24 180.08 23.63 25.25

1-Nov-11 32.7 34.72 15.23 78.43 62.41 184.11 21.87 24.88

3-Oct-11 32.99 33.79 16 75.94 61.52 180.09 20.18 25.7

1-Sep-11 32.62 29.21 14.57 68.99 60.85 170.57 19.01 24.02

1-Aug-11 33.78 32.99 15.47 79.74 62.87 167.68 22.35 25.68

1-Jul-11 32.61 37.41 16.98 83.18 61.36 176.61 24.6 26.28

1-Jun-11 32.27 37.81 17.88 90.54 63 166.6 24.32 24.94

2-May-11 31.81 40.32 18.47 90.09 63.72 164.06 25.11 23.99

1-Apr-11 32.12 41.75 19.23 92.25 61.7 164.92 23.5 24.7

1-Mar-11 31.59 41.74 18.86 88.73 55.63 157.66 23.29 24.19

1-Feb-11 30.21 42.37 19.67 87.52 57.68 156.51 23.34 25.33

3-Jan-11 29.71 37.65 18.81 82.93 55.61 156.01 21.91 26.27

1-Dec-10 31.09 36.33 17.08 81.41 57.55 141.34 20.33 26.44

1-Nov-10 29.86 34.98 14.67 79.22 57.27 136.23 21.47 23.931-Oct-10 28.79 34.62 14.85 78.95 58.8 137.68 23.85 25.11

1-Sep-10 27.47 31.71 15.06 81.28 57.16 128.61 23.9 23.06

2-Aug-10 26.03 31.18 13.32 73.63 52.6 118.05 23.37 22.1

1-Jul-10 25.68 32.28 14.83 79.69 53.09 122.5 23.87 24.17

1-Jun-10 23.35 30.18 13.26 73.58 53.97 117.81 23.23 21.55

3-May-10 23.75 32.02 14.95 73.88 53.28 119.5 24.04 24.16

1-Apr-10 24.69 35.3 17.24 82.09 58.23 122.44 20.87 28.47

1-Mar-10 25.41 33.45 16.64 77.36 59.05 121.73 20.32 27.31

1-Feb-10 24.16 29.93 14.68 74.2 57.05 120.7 18.38 26.73

4-Jan-10 24.86 28.31 14.61 74.03 56.5 115.65 15.58 26.15

1-Dec-09 26.12 30.9 13.74 76.03 57.89 123.69 16.87 28.29

2-Nov-09 26.21 28.62 14.46 71.22 56.48 119.4 14.96 27.29

1-Oct-09 24.26 25.93 12.87 67.22 52.65 113.46 14.08 25.62

1-Sep-09 24.43 26.01 14.82 67.43 54.3 112.52 12.44 23.76

3-Aug-09 22.01 24.67 12.47 65.88 53.89 111.05 12.21 22.77

1-Jul-09 22.49 23.79 12.02 63.97 53.86 110.43 9.99 21.61

1-Jun-09 21.66 22.1 10.52 54.52 50.24 97.78 8.79 21.84

1-May-09 22 22.94 12 51.8 48.79 99.52 8.84 19.19

1-Apr-09 19.27 20.74 11.26 51.8 45.91 96.14 7.93 18.5

Adjusted close price


12/28

2-Mar-09 19.67 17.2 9 44.71 46.12 90.25 6.42 16.77

2-Feb-09 18.09 15.88 7.57 40.88 43.84 85.73 4.97 14.74

2-Jan-09 18.92 19.59 10.49 47.85 50.16 84.91 3.48 15.51

1-Dec-08 20.05 21.49 14.01 51.19 52.03 77.97 1.93 17.63

3-Nov-08 20.75 21.02 14.56 59.54 50.94 75.6 2 18.33

1-Oct-08 19.35 24.18 16.55 56.74 52.9 85.65 5.82 20.11

2-Sep-08 23.22 28.64 21.63 60.28 59.75 107.76 14.24 24.041-Aug-08 22.7 30.19 23.52 63.18 60.74 112.15 16.18 24.58

1-Jul-08 22.45 28.32 23.68 61.68 58.67 117.45 15.07 23.07

2-Jun-08 22.66 29.12 22.34 60.98 55.13 108.78 17.18 24.68

1-May-08 24.8 31.36 25.43 67.96 57.18 118.78 18.46 25.4

1-Apr-08 25.5 30.26 27.07 66.95 57.08 110.32 16.42 25.49

3-Mar-08 26.36 29.28 30.64 68.91 55.19 105.24 15.04 25.37

1-Feb-08 25.16 30.25 27.43 68.26 52.72 104.07 15.16 24.31

2-Jan-08 25.39 27.85 29.01 68.91 53.37 97.53 15.54 29.02

3-Dec-07 26.41 30.12 30.41 72.95 56.38 98.43 17.68 31.69

1-Nov-07 26.73 30.61 31.14 72.03 57.26 95.77 16.79 29.91

1-Oct-07 26.44 31.97 33.48 74.28 54.74 105.36 19.24 32.66

4-Sep-07 24.6 31.75 33.67 80.49 55.19 106.88 60.01 26.14

1-Aug-07 22.88 31.02 31.4 78.26 51.9 105.87 60.65 25.49

2-Jul-07 22.17 30.47 31.31 76.06 50.48 100.04 58.26 25.64

1-Jun-07 22.25 31.52 30.93 74.24 51.41 95.16 59.62 26.06

1-May-07 22.39 32.27 30.14 75.24 52.79 96.38 57.89 27.14

2-Apr-07 22.06 31.85 29.57 70.41 53.24 92.05 56.1 26.39

1-Mar-07 20.28 31.35 28.36 65.02 49.95 84.89 56.55 24.57

1-Feb-07 19.59 31.18 28 63.02 52.17 83.7 54.46 24.83

3-Jan-07 20.09 32.02 28.69 62.81 55.05 89.03 53.77 27.11


13/28

PG WMT DJW Coca Cola Disney General El 3M (MMM Johnson a IBM

67.34 68.23 12,965.60 -4.40% 1.80% 0.24% 2.09% 0.53% 0.78%

69.27 71.62 13,025.58 2.68% 1.10% 0.34% 4.51% -0.67% -1.87%

68.68 74.61 13,096.46 -1.96% -6.04% -7.24% -5.22% 2.77% -6.23%

68.24 73.39 13,437.13 2.11% 5.69% 10.46% -0.20% 2.20% 6.47%

66.11 72.2 13,090.84 -7.43% 0.66% -0.20% 2.16% -1.71% -0.15%63.5 73.62 13,008.68 3.32% 1.32% -0.44% 1.82% 2.47% 0.20%

59.74 68.96 12,880.09 5.35% 6.11% 10.10% 6.15% 8.20% 1.39%

60.76 65.1 12,393.45 -2.09% 6.03% -2.46% -4.89% -3.16% -6.46%

62.08 57.88 13,213.63 3.12% -1.53% -2.45% 0.17% -1.31% -0.75%

65.01 60.13 13,212.04 6.71% 4.28% 5.33% 1.84% 1.36% 6.06%

65.4 57.66 12,952.07 3.47% 7.94% 2.77% 1.70% -0.39% 2.54%

60.97 59.88 12,632.91 -3.50% 3.74% 4.45% 6.09% 0.51% 4.74%

64.01 58.32 12,217.56 4.07% 6.37% 13.66% 0.85% 1.33% -2.19%

61.96 57.13 12,045.68 -0.88% 2.75% -4.81% 3.28% 1.45% 2.23%

61.4 55.01 11,955.01 1.13% 15.68% 9.81% 10.07% 1.10% 5.58%

60.14 50.34 10,913.38 -3.43% -11.46% -5.82% -13.48% -3.21% 1.72%

60.61 51.59 11,613.53 3.59% -11.82% -8.89% -4.14% 2.46% -5.06%

58.53 50.75 12,143.24 1.05% -1.06% -5.03% -8.13% -2.60% 6.01%

60.01 51.17 12,414.34 1.45% -6.23% -3.19% 0.50% -1.13% 1.55%

63.25 53.17 12,569.79 -0.97% -3.43% -3.95% -2.34% 3.27% -0.52%

61.27 52.59 12,810.54 1.68% 0.02% 1.96% 3.97% 10.91% 4.60%

57.68 49.79 12,319.73 4.57% -1.49% -4.12% 1.38% -3.55% 0.73%

59.03 49.38 12,226.34 1.68% 12.54% 4.57% 5.53% 3.72% 0.32%

59.11 53.26 11,891.93 -4.44% 3.63% 10.13% 1.87% -3.37% 10.38%

59.79 51.23 11,577.51 4.12% 3.86% 16.43% 2.76% 0.49% 3.75%

56.76 51.111,006.02

3.72% 1.04% -1.21% 0.34% -2.60% -1.05%59.08 51.17 11,118.49 4.81% 9.18% -1.39% -2.87% 2.87% 7.05%

55.31 50.56 10,788.05 5.53% 1.70% 13.06% 10.39% 8.67% 8.95%

55.04 47.37 10,014.72 1.36% -3.41% -10.18% -7.60% -0.92% -3.63%

56.41 48.08 10,465.94 9.98% 6.96% 11.84% 8.30% -1.63% 3.98%

54.89 45.15 9,774.02 -1.68% -5.75% -11.30% -0.41% 1.30% -1.41%

55.91 47.49 10,136.63 -3.81% -9.29% -13.28% -10.00% -8.50% -2.40%

56.89 50.09 11,008.61 -2.83% 5.53% 3.61% 6.11% -1.39% 0.58%

57.46 51.92 10,856.63 5.17% 11.76% 13.35% 4.26% 3.51% 0.85%

57.47 50.21 10,325.26 -2.82% 5.72% 0.48% 0.23% 0.97% 4.37%

55.9 49.61 10,067.33 -4.82% -8.38% 6.33% -2.63% -2.40% -6.50%

54.67 49.63 10,428.05 -0.34% 7.97% -4.98% 6.75% 2.50% 3.59%

56.22 50.4 10,344.84 8.04% 10.37% 12.35% 5.95% 7.27% 5.24%

52.3 45.9 9,712.73 -0.70% -0.31% -13.16% -0.31% -3.04% 0.84%

51.83 45.35 9,712.28 11.00% 5.43% 18.85% 2.35% 0.76% 1.32%

48.42 47 9,496.28 -2.13% 3.70% 3.74% 2.99% 0.06% 0.56%

49.67 45.83 9,171.61 3.83% 7.65% 14.26% 17.33% 7.21% 12.94%

45.37 44.51 8,447.00 -1.55% -3.66% -12.33% 5.25% 2.97% -1.75%

46.11 45.7 8,500.33 14.17% 10.61% 6.57% 0.00% 6.27% 3.52%

43.89 46.06 8,168.12 -2.03% 20.58% 25.11% 15.86% -0.46% 6.53%

Simple return


14/28

41.45 47.62 7,608.92 8.73% 8.31% 18.89% 9.37% 5.20% 5.27%

42.4 44.75 7,062.93 -4.39% -18.94% -27.84% -14.57% -12.60% 0.97%

47.97 42.82 8,000.86 -5.64% -8.84% -25.12% -6.52% -3.59% 8.90%

54.03 50.95 8,776.39 -3.37% 2.24% -3.78% -14.02% 2.14% 3.13%

56.25 50.57 8,829.04 7.24% -13.07% -12.02% 4.93% -3.71% -11.73%

56.41 50.5 9,325.01 -16.67% -15.57% -23.49% -5.87% -11.46% -20.52%

60.53 54.19 10,850.66 2.29% -5.13% -8.04% -4.59% -1.63% -3.91%60.6 53.45 11,543.96 1.11% 6.60% -0.68% 2.43% 3.53% -4.51%

56.87 52.83 11,378.02 -0.93% -2.75% 6.00% 1.15% 6.42% 7.97%

52.49 50.65 11,350.01 -8.63% -7.14% -12.15% -10.27% -3.59% -8.42%

57.01 52.04 12,638.32 -2.75% 3.64% -6.06% 1.51% 0.18% 7.67%

57.87 52.04 12,820.13 -3.26% 3.35% -11.65% -2.84% 3.42% 4.83%

60.13 47.28 12,262.89 4.77% -3.21% 11.70% 0.95% 4.69% 1.12%

56.79 44.29 12,266.39 -0.91% 8.62% -5.45% -0.94% -1.22% 6.71%

56.14 45.32 12,650.36 -3.86% -7.54% -4.60% -5.54% -5.34% -0.91%

62.69 42.45 13,264.82 -1.20% -1.60% -2.34% 1.28% -1.54% 2.78%

63.19 42.59 13,371.72 1.10% -4.25% -6.99% -3.03% 4.60% -9.10%

59.36 40.2 13,930.01 7.48% 0.69% -0.56% -7.72% -0.82% -1.42%

59.76 38.81 13,895.63 7.52% 2.35% 7.23% 2.85% 6.34% 0.95%

55.49 38.8 13,357.74 3.20% 1.81% 0.29% 2.89% 2.81% 5.83%

52.56 40.65 13,211.99 -0.36% -3.33% 1.23% 2.45% -1.81% 5.13%

51.7 42.56 13,408.62 -0.63% -2.32% 2.62% -1.33% -2.61% -1.27%

53.69 42.11 13,627.64 1.50% 1.32% 1.93% 6.86% -0.85% 4.70%

54.41 42.2 13,062.91 8.78% 1.59% 4.27% 8.29% 6.59% 8.43%

53.07 41.35 12,354.35 3.52% 0.55% 1.29% 3.17% -4.26% 1.42%

53.35 42.34 12,268.63 -2.49% -2.62% -2.41% 0.33% -5.23% -5.99%

54.51 41.8 12,621.69 0.96% 0.88% 0.08% 0.73% 0.43% 1.23%


15/28

DFT MSFT PG WMT DJW Risk Free rat Coca Cola Disney General El

5.50% 0.34% -2.79% -4.73% -0.46% 0.0001 -4.41% 1.79% 0.23%

7.61% -5.97% 0.86% -4.01% -0.54% 0.0001 2.67% 1.09% 0.33%

-14.50% -4.10% 0.64% 1.66% -2.54% 0.0001 -1.97% -6.05% -7.25%

-8.36% -3.43% 3.22% 1.65% 2.65% 0.0001 2.11% 5.68% 10.45%

2.45% 5.27% 4.11% -1.93% 0.63% 0.0001 -7.44% 0.65% -0.20%-5.32% -3.65% 6.29% 6.76% 1.00% 0.0001 3.31% 1.31% -0.45%

12.04% 4.80% -1.68% 5.93% 3.93% 0.0001 5.35% 6.10% 10.09%

-6.12% -8.23% -2.13% 12.47% -6.21% 0.0001 -2.09% 6.02% -2.47%

11.57% -0.76% -4.51% -3.74% 0.01% 0.0001 3.11% -1.54% -2.46%

6.76% 1.64% -0.60% 4.28% 2.01% 0.0001 6.70% 4.27% 5.32%

-10.17% 8.18% 7.27% -3.71% 2.53% 0.0001 3.46% 7.93% 2.76%

5.29% 13.74% -4.75% 2.67% 3.40% 0.0001 -3.51% 3.73% 4.44%

8.05% 1.49% 3.31% 2.08% 1.43% 0.0001 4.06% 6.36% 13.65%

8.37% -3.19% 0.91% 3.85% 0.76% 0.0001 -0.89% 2.74% -4.82%

6.15% 6.99% 2.10% 9.28% 9.54% 0.0001 1.13% 15.67% 9.81%

-14.94% -6.46% -0.78% -2.42% -6.03% 0.0001 -3.44% -11.47% -5.83%

-9.15% -2.28% 3.55% 1.66% -4.36% 0.0001 3.58% -11.82% -8.90%

1.15% 5.37% -2.47% -0.82% -2.18% 0.0001 1.05% -1.07% -5.04%

-3.15% 3.96% -5.12% -3.76% -1.24% 0.0001 1.44% -6.23% -3.20%

6.85% -2.87% 3.23% 1.10% -1.88% 0.0001 -0.97% -3.43% -3.96%

0.90% 2.11% 6.22% 5.62% 3.98% 0.0001 1.67% 0.02% 1.95%

-0.21% -4.50% -2.29% 0.83% 0.76% 0.0001 4.56% -1.50% -4.13%

6.53% -3.58% -0.14% -7.29% 2.81% 0.0001 1.67% 12.53% 4.56%

7.77% -0.64% -1.14% 3.96% 2.72% 0.0001 -4.45% 3.63% 10.12%

-5.31% 10.49% 5.34% 0.25% 5.19% 0.0001 4.11% 3.85% 16.42%

-9.98% -4.70% -3.93% -0.14% -1.01% 0.0001 3.71% 1.03% -1.22%-0.21% 8.89% 6.82% 1.21% 3.06% 0.0001 4.80% 9.17% -1.40%

2.27% 4.34% 0.49% 6.73% 7.72% 0.0001 5.52% 1.69% 13.05%

-2.09% -8.56% -2.43% -1.48% -4.31% 0.0001 1.35% -3.42% -10.19%

2.76% 12.16% 2.77% 6.49% 7.08% 0.0001 9.97% 6.95% 11.83%

-3.37% -10.80% -1.82% -4.93% -3.58% 0.0001 -1.69% -5.75% -11.31%

15.19% -15.14% -1.72% -5.19% -7.92% 0.0001 -3.82% -9.30% -13.29%

2.71% 4.25% -0.99% -3.52% 1.40% 0.0001 -2.84% 5.52% 3.60%

10.55% 2.17% -0.02% 3.41% 5.15% 0.0001 5.17% 11.75% 13.34%

17.97% 2.22% 2.81% 1.21% 2.56% 0.0001 -2.82% 5.71% 0.47%

-7.65% -7.56% 2.25% -0.04% -3.46% 0.0001 -4.83% -8.39% 6.32%

12.77% 3.66% -2.76% -1.53% 0.80% 0.0001 -0.35% 7.96% -4.99%

6.25% 6.52% 7.50% 9.80% 6.51% 0.0001 8.03% 10.37% 12.35%

13.18% 7.83% 0.91% 1.21% 0.00% 0.0001 -0.70% -0.32% -13.17%

1.88% 4.35% 7.04% -3.51% 2.27% 0.0001 10.99% 5.42% 18.84%

22.22% 5.37% -2.52% 2.55% 3.54% 0.0001 -2.14% 3.69% 3.74%

13.65% -1.05% 9.48% 2.97% 8.58% 0.0001 3.82% 7.64% 14.25%

-0.57% 13.81% -1.60% -2.60% -0.63% 0.0001 -1.55% -3.67% -12.34%

11.48% 3.73% 5.06% -0.78% 4.07% 0.0001 14.16% 10.60% 6.56%

23.52% 10.32% 5.89% -3.28% 7.35% 0.0001 -2.04% 20.57% 25.10%


16/28

29.18% 13.77% -2.24% 6.41% 7.73% 0.0001 8.73% 8.30% 18.88%

42.82% -4.96% -11.61% 4.51% -11.72% 0.0001 -4.40% -18.95% -27.84%

80.31% -12.02% -11.22% -15.96% -8.84% 0.0001 -5.64% -8.85% -25.13%

-3.50% -3.82% -3.95% 0.75% -0.60% 0.0001 -3.38% 2.23% -3.79%

-65.64% -8.85% -0.28% 0.14% -5.32% 0.0001 7.23% -13.08% -12.03%

-59.13% -16.35% -6.81% -6.81% -14.06% 0.0001 -16.68% -15.58% -23.49%

-11.99% -2.20% -0.12% 1.38% -6.01% 0.0001 2.28% -5.14% -8.04%7.37% 6.55% 6.56% 1.17% 1.46% 0.0001 1.11% 6.59% -0.68%

-12.28% -6.52% 8.34% 4.30% 0.25% 0.0001 -0.94% -2.76% 5.99%

-6.93% -2.83% -7.93% -2.67% -10.19% 0.0001 -8.64% -7.15% -12.16%

12.42% -0.35% -1.49% 0.00% -1.42% 0.0001 -2.75% 3.63% -6.07%

9.18% 0.47% -3.76% 10.07% 4.54% 0.0001 -3.27% 3.34% -11.66%

-0.79% 4.36% 5.88% 6.75% -0.03% 0.0001 4.76% -3.21% 11.69%

-2.45% -16.23% 1.16% -2.27% -3.04% 0.0001 -0.91% 8.61% -5.45%

-12.10% -8.43% -10.45% 6.76% -4.63% 0.0001 -3.87% -7.54% -4.61%

5.30% 5.95% -0.79% -0.33% -0.80% 0.0001 -1.21% -1.61% -2.35%

-12.73% -8.42% 6.45% 5.95% -4.01% 0.0001 1.09% -4.26% -7.00%

-67.94% 24.94% -0.67% 3.58% 0.25% 0.0001 7.47% 0.68% -0.57%

-1.06% 2.55% 7.70% 0.03% 4.03% 0.0001 7.51% 2.34% 7.22%

4.10% -0.59% 5.57% -4.55% 1.10% 0.0001 3.19% 1.80% 0.28%

-2.28% -1.61% 1.66% -4.49% -1.47% 0.0001 -0.37% -3.34% 1.22%

2.99% -3.98% -3.71% 1.07% -1.61% 0.0001 -0.63% -2.33% 2.61%

3.19% 2.84% -1.32% -0.21% 4.32% 0.0001 1.49% 1.31% 1.92%

-0.80% 7.41% 2.52% 2.06% 5.74% 0.0001 8.77% 1.59% 4.26%

3.84% -1.05% -0.52% -2.34% 0.70% 0.0001 3.51% 0.54% 1.28%

1.28% -8.41% -2.13% 1.29% -2.80% 0.0001 -2.50% -2.63% -2.41%

1.33% 0.26% 0.41% 0.80% 0.15% Mean 11.40% 10.48% 0.84%

Standard de 17.34% 24.96% 35.00%variance 3.01% 6.23% 12.25%


17/28

3M (MMMJohnson a IBM DFT MSFT PG WMT DJW

2.08% 0.52% 0.77% 5.49% 0.33% -2.79% -4.74% -0.47%

4.50% -0.68% -1.87% 7.60% -5.98% 0.85% -4.02% -0.55%

-5.22% 2.76% -6.24% -14.51% -4.11% 0.64% 1.65% -2.54%

-0.21% 2.19% 6.46% -8.37% -3.44% 3.21% 1.64% 2.64%

2.15% -1.71% -0.16% 2.44% 5.26% 4.10% -1.94% 0.62%1.81% 2.46% 0.19% -5.33% -3.66% 6.29% 6.75% 0.99%

6.14% 8.19% 1.38% 12.04% 4.79% -1.69% 5.92% 3.92%

-4.90% -3.17% -6.47% -6.13% -8.24% -2.13% 12.47% -6.22%

0.16% -1.32% -0.76% 11.56% -0.77% -4.52% -3.75% 0.00%

1.83% 1.35% 6.05% 6.75% 1.63% -0.60% 4.28% 2.00%

1.70% -0.40% 2.53% -10.18% 8.17% 7.26% -3.72% 2.52%

6.09% 0.50% 4.73% 5.28% 13.73% -4.76% 2.67% 3.39%

0.85% 1.32% -2.20% 8.04% 1.48% 3.30% 2.07% 1.42%

3.27% 1.44% 2.22% 8.37% -3.20% 0.90% 3.85% 0.75%

10.07% 1.09% 5.57% 6.15% 6.99% 2.09% 9.27% 9.54%

-13.49% -3.22% 1.72% -14.95% -6.47% -0.78% -2.43% -6.04%

-4.14% 2.45% -5.06% -9.15% -2.29% 3.55% 1.65% -4.37%

-8.14% -2.61% 6.00% 1.14% 5.36% -2.47% -0.83% -2.19%

0.49% -1.14% 1.54% -3.15% 3.95% -5.13% -3.77% -1.25%

-2.35% 3.27% -0.53% 6.84% -2.88% 3.22% 1.09% -1.89%

3.96% 10.90% 4.60% 0.89% 2.10% 6.22% 5.62% 3.98%

1.37% -3.56% 0.73% -0.22% -4.51% -2.30% 0.82% 0.76%

5.53% 3.71% 0.31% 6.52% -3.59% -0.14% -7.29% 2.80%

1.86% -3.38% 10.37% 7.76% -0.65% -1.15% 3.95% 2.71%

2.76% 0.48% 3.74% -5.32% 10.48% 5.33% 0.25% 5.18%

0.33% -2.61% -1.06% -9.99% -4.71% -3.94% -0.15% -1.02%-2.87% 2.86% 7.04% -0.22% 8.88% 6.81% 1.20% 3.05%

10.38% 8.66% 8.94% 2.26% 4.34% 0.48% 6.73% 7.71%

-7.61% -0.93% -3.64% -2.10% -8.57% -2.44% -1.49% -4.32%

8.30% -1.64% 3.97% 2.75% 12.15% 2.76% 6.48% 7.07%

-0.41% 1.29% -1.42% -3.38% -10.81% -1.83% -4.94% -3.59%

-10.01% -8.51% -2.41% 15.18% -15.15% -1.73% -5.20% -7.93%

6.11% -1.40% 0.57% 2.70% 4.24% -1.00% -3.53% 1.39%

4.25% 3.50% 0.85% 10.55% 2.16% -0.03% 3.40% 5.14%

0.22% 0.97% 4.36% 17.96% 2.21% 2.80% 1.20% 2.55%

-2.64% -2.41% -6.51% -7.66% -7.57% 2.24% -0.05% -3.47%

6.75% 2.49% 3.58% 12.76% 3.66% -2.77% -1.54% 0.80%

5.94% 7.27% 5.23% 6.24% 6.51% 7.49% 9.80% 6.50%

-0.32% -3.05% 0.83% 13.17% 7.82% 0.90% 1.20% 0.00%

2.34% 0.75% 1.32% 1.88% 4.34% 7.03% -3.52% 2.27%

2.98% 0.05% 0.55% 22.21% 5.36% -2.52% 2.54% 3.53%

17.32% 7.20% 12.93% 13.64% -1.06% 9.47% 2.96% 8.57%

5.24% 2.96% -1.76% -0.57% 13.80% -1.61% -2.61% -0.64%

-0.01% 6.26% 3.51% 11.47% 3.72% 5.05% -0.79% 4.06%

15.85% -0.46% 6.52% 23.51% 10.31% 5.88% -3.28% 7.34%

Excess return


18/28

9.36% 5.19% 5.26% 29.17% 13.76% -2.25% 6.41% 7.72%

-14.57% -12.61% 0.96% 42.81% -4.97% -11.62% 4.50% -11.73%

-6.53% -3.60% 8.89% 80.30% -12.03% -11.22% -15.97% -8.84%

-14.03% 2.13% 3.13% -3.51% -3.83% -3.96% 0.74% -0.60%

4.93% -3.71% -11.74% -65.64% -8.86% -0.29% 0.13% -5.33%

-5.88% -11.47% -20.53% -59.14% -16.36% -6.81% -6.82% -14.07%

-4.60% -1.64% -3.92% -12.00% -2.21% -0.12% 1.38% -6.01%2.42% 3.52% -4.52% 7.36% 6.54% 6.55% 1.17% 1.45%

1.14% 6.41% 7.96% -12.29% -6.53% 8.34% 4.30% 0.24%

-10.28% -3.59% -8.43% -6.94% -2.84% -7.94% -2.68% -10.20%

1.50% 0.17% 7.66% 12.42% -0.36% -1.49% -0.01% -1.43%

-2.85% 3.42% 4.82% 9.17% 0.46% -3.77% 10.06% 4.54%

0.94% 4.68% 1.12% -0.80% 4.35% 5.87% 6.74% -0.04%

-0.95% -1.23% 6.70% -2.45% -16.24% 1.15% -2.28% -3.04%

-5.55% -5.35% -0.92% -12.11% -8.43% -10.46% 6.75% -4.64%

1.27% -1.55% 2.77% 5.29% 5.94% -0.80% -0.34% -0.81%

-3.04% 4.60% -9.11% -12.74% -8.43% 6.44% 5.94% -4.02%

-7.72% -0.82% -1.43% -67.95% 24.93% -0.68% 3.57% 0.24%

2.84% 6.33% 0.95% -1.06% 2.54% 7.69% 0.02% 4.02%

2.88% 2.80% 5.82% 4.09% -0.59% 5.57% -4.56% 1.09%

2.44% -1.82% 5.12% -2.29% -1.62% 1.66% -4.50% -1.47%

-1.34% -2.62% -1.27% 2.98% -3.99% -3.71% 1.06% -1.62%

6.85% -0.85% 4.70% 3.18% 2.83% -1.33% -0.22% 4.31%

8.28% 6.58% 8.43% -0.80% 7.40% 2.52% 2.05% 5.73%

3.17% -4.26% 1.41% 3.83% -1.06% -0.53% -2.35% 0.69%

0.33% -5.24% -6.00% 1.27% -8.42% -2.14% 1.28% -2.81%

8.67% 5.10% 14.68% 15.90% 3.06% 4.76% 9.51% 1.71%

21.30% 14.92% 18.97% 67.59% 26.41% 16.09% 16.18% 16.40%4.54% 2.23% 3.60% 45.68% 6.97% 2.59% 2.62% 2.69%


19/28

Table 1: Risk parameter (annualized)SD of excess Beta SD of SD of residuals correlation return

DJW 0.164038 1.000000 0.164038 0.000000 1.000000 0.001506

Coca Cola 0.173419 0.618849 0.107320 0.141617 0.585375 0.009586

Disney 0.249581 1.227773 0.306429 0.145379 0.806959 0.008817

General Electric 0.349994 1.730529 0.605675 0.146973 0.811080 0.0007873M (MMM) 0.212987 1.007802 0.214649 0.146864 0.776187 0.007308

Johnson and Jo 0.149207 0.619357 0.092412 0.147901 0.680922 0.004331

IBM 0.189716 0.737152 0.139850 0.143988 0.637378 0.012315

DFT 0.675891 0.835907 0.564982 0.144954 0.202874 0.013332

MSFT 0.264079 1.057131 0.279166 0.145930 0.656660 0.002635

PG 0.160866 0.531293 0.085467 0.147014 0.541770 0.004052

WMT 0.161839 0.369894 0.059863 0.147940 0.374920 0.008006

The index model covariance matrixDJW Coca Cola Disney General Electri 3M (MMM)

BETA 1.000000 0.618849 1.227773 1.730529 1.007802

DJW 1.000000 0.026909 0.016652 0.033038 0.046566 0.027119

Coca Cola 0.618849 0.016652 0.030361 0.020445 0.028817 0.016782

Disney 1.227773 0.033038 0.020445 0.061698 0.057173 0.033295

General Electric 1.730529 0.046566 0.028817 0.057173 0.102185 0.046929

3M (MMM) 1.007802 0.027119 0.016782 0.033295 0.046929 0.048899

Johnson and Jo 0.619357 0.016666 0.010314 0.020462 0.028841 0.016796

IBM 0.737152 0.019836 0.012275 0.024354 0.034326 0.019990

DFT 0.835907 0.022493 0.013920 0.027616 0.038925 0.022669

MSFT 1.057131 0.028446 0.017604 0.034925 0.049226 0.028668PG 0.531293 0.014296 0.008847 0.017553 0.024740 0.014408

WMT 0.369894 0.009953 0.006160 0.012220 0.017224 0.010031

Risk-free rate 0.001 P1

Theta 0.118717786 0.309153653

0.095803949

Super Portfolio of P1 and RFA -0.447529987

Weight of RFA 0 0.071469117

0.01671348 0.015457208

0.017519156 0.41470736

0.132359948 0.437570031

-0.184903344

0.023489161

0.264783829

1.000000978

0.01671348

0.132359948

0.017519156

WMT

sum

return

standard deviation

variance

Variance IBM

St. Deviation DFT

MSFT

PG

Coca Cola

Disney

General Electric

3M (MMM)

Expected return Johnson and Johnson


20/28

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

0.00% 5.00% 10.00% 15.00


21/28

0.00000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.02006 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.02113 0.000000 0.000000 0.0000000.000000 0.000000 0.000000 0.02160 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.02157 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.02187

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

Johnson and Jo IBM DFT MSFT PG WMT

0.619357 0.737152 0.835907 1.057131 0.531293 0.369894

0.016666 0.019836 0.022493 0.028446 0.014296 0.009953

0.010314 0.012275 0.013920 0.017604 0.008847 0.006160

0.020462 0.024354 0.027616 0.034925 0.017553 0.012220

0.028841 0.034326 0.038925 0.049226 0.024740 0.017224

0.016796 0.019990 0.022669 0.028668 0.014408 0.010031

0.032197 0.012285 0.013931 0.017618 0.008855 0.006165

0.012285 0.035354 0.016581 0.020969 0.010539 0.007337

0.013931 0.016581 0.039814 0.023778 0.011950 0.008320

0.017618 0.020969 0.023778 0.051367 0.015113 0.0105220.008855 0.010539 0.011950 0.015113 0.029209 0.005288

0.006165 0.007337 0.008320 0.010522 0.005288 0.025568

St. Deviation Exp. Return

13.24% 1.67%

-0.4 18.53% 2.30%

-0.2 15.88% 1.99%

0 13.24% 1.67%

0.2 10.59% 1.36%

0.4 7.94% 1.04%

0.6 5.29% 0.73%

0.8 2.65% 0.41%

1 0.00% 0.10%

1.2 2.65% -0.21%

1.4 5.29% -0.53%


22/28

20.00%

Series1


23/28

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.0000000.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.02073 0.000000 0.000000 0.000000 0.000000

0.000000 0.02101 0.000000 0.000000 0.000000

0.000000 0.000000 0.02130 0.000000 0.000000

0.000000 0.000000 0.000000 0.02161 0.000000

0.000000 0.000000 0.000000 0.000000 0.02189


24/28

Table 1: Risk parameter (annualized)SD of excess Beta SD of SD of residuals correlation return

DJW 0.164038 1.000000 0.164038 0.000000 1.000000 0.001506

Coca Cola 0.173419 0.618849 0.107320 0.141617 0.585375 0.009586

Disney 0.249581 1.227773 0.306429 0.145379 0.806959 0.008817

General Electric 0.349994 1.730529 0.605675 0.146973 0.811080 0.000787Hershey Food 0.212987 1.007802 0.214649 0.146864 0.776187 0.007308

FedEx 0.149207 0.619357 0.092412 0.147901 0.680922 0.004331

IBM 0.189716 0.737152 0.139850 0.143988 0.637378 0.012315

NOC 0.675891 0.835907 0.564982 0.144954 0.202874 0.013332

UNH 0.264079 1.057131 0.279166 0.145930 0.656660 0.002635

SYY 0.160866 0.531293 0.085467 0.147014 0.541770 0.004052

TGT 0.161839 0.369894 0.059863 0.147940 0.374920 0.008006

The index model covariance matrixDJW Coca Cola Disney General Electri 3M (MMM)

BETA 1.000000 0.618849 1.227773 1.730529 1.007802

DJW 1.000000 0.026909 0.016652 0.033038 0.046566 0.027119

Coca Cola 0.618849 0.016652 0.030361 0.020445 0.028817 0.016782

Disney 1.227773 0.033038 0.020445 0.061698 0.057173 0.033295

General Electric 1.730529 0.046566 0.028817 0.057173 0.102185 0.046929

3M (MMM) 1.007802 0.027119 0.016782 0.033295 0.046929 0.048899

Johnson and Jo 0.619357 0.016666 0.010314 0.020462 0.028841 0.016796

IBM 0.737152 0.019836 0.012275 0.024354 0.034326 0.019990

DFT 0.835907 0.022493 0.013920 0.027616 0.038925 0.022669MSFT 1.057131 0.028446 0.017604 0.034925 0.049226 0.028668

PG 0.531293 0.014296 0.008847 0.017553 0.024740 0.014408

WMT 0.369894 0.009953 0.006160 0.012220 0.017224 0.010031

Macro forecast and forecast of anpha valueDJW Coca Cola Disney General Electric 3M (MMM) Johnson and Jo

Anpha 0.000000 0.008622 0.006987 -0.001757 0.005792 0.003366

Risk premium 0.000593 0.008989 0.009350 0.009648 0.009220 0.008989

Computation of Optimal PorfolioDJW Portfolio 1 Coca Cola Disney General Electri 3M (MMM)

variance of 0.020055 0.021135 0.021601 0.021569

anpha/varianc 2.750809 0.429933 0.330613 -0.081340 0.268523

weight of each 1.000000 0.156293 0.120188 -0.029569 0.097616

weight^2 0.024428 0.014445 0.000874 0.009529


25/28

anpha of 0.008803 0.001348 0.000840 0.000052 0.000565

residue 0.003200 0.000490 0.000305 0.000019 0.000206

initial position 124.924291

Adjusted -2.706003 3.706003

beta 1.000000 0.738172 0.096722 0.074378 -0.018299 0.060410

Risk premium 0.000593 0.009241 0.001405 0.001461 0.001508 0.001441

SD 0.164038 0.133651Sharpe ratio 0.003612 0.069140

weight of Standard Return

20.97% 3.28%

-0.400000 10.95% 11.67%

-0.200000 9.38% 10.02%

0.000000 7.82% 8.37%

0.200000 6.26% 6.71%

0.400000 4.69% 5.06%0.600000 3.13% 3.41%

0.800000 1.56% 1.75%

1.000000 0.00% 0.10%

1.200000 -1.56% -1.55%

1.400000 -3.13% -3.21%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

-4.00% -2.00% 0.00% 2.00% 4.


26/28

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.020055 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.021135 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.021601 0.000000 0.0000000.000000 0.000000 0.000000 0.000000 0.021569 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.021875

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

Johnson and Jo IBM DFT MSFT PG WMT

0.619357 0.737152 0.835907 1.057131 0.531293 0.369894

0.016666 0.019836 0.022493 0.028446 0.014296 0.009953

0.010314 0.012275 0.013920 0.017604 0.008847 0.006160

0.020462 0.024354 0.027616 0.034925 0.017553 0.012220

0.028841 0.034326 0.038925 0.049226 0.024740 0.017224

0.016796 0.019990 0.022669 0.028668 0.014408 0.010031

0.032197 0.012285 0.013931 0.017618 0.008855 0.006165

0.012285 0.035354 0.016581 0.020969 0.010539 0.007337

0.013931 0.016581 0.039814 0.023778 0.011950 0.0083200.017618 0.020969 0.023778 0.051367 0.015113 0.010522

0.008855 0.010539 0.011950 0.015113 0.029209 0.005288

0.006165 0.007337 0.008320 0.010522 0.005288 0.025568

IBM DFT MSFT PG WMT

0.011183 0.012060 0.001048 0.003213 0.007396

0.009059 0.009118 0.009249 0.008937 0.008842

Johnson and Jo IBM DFT MSFT PG WMT Overall Pf

0.021875 0.020732 0.021012 0.021296 0.021613 0.021886

0.153893 0.539391 0.573964 0.049223 0.148669 0.337938

0.055945 0.196084 0.208653 0.017894 0.054046 0.122850

0.003130 0.038449 0.043536 0.000320 0.002921 0.015092


27/28

0.000188 0.002193 0.002516 0.000019 0.000174 0.000909

0.000068 0.000797 0.000915 0.000007 0.000063 0.000330

0.034621 0.121347 0.129125 0.011074 0.033446 0.076026 0.029666

0.001405 0.001416 0.001425 0.001446 0.001397 0.001382 0.032643

0.2097080.155657

0% 6.00% 8.00% 10.00% 12.00%

Series1


28/28

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.0000000.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000

0.020732 0.000000 0.000000 0.000000 0.000000

0.000000 0.021012 0.000000 0.000000 0.000000

0.000000 0.000000 0.021296 0.000000 0.000000

0.000000 0.000000 0.000000 0.021613 0.000000

0.000000 0.000000 0.000000 0.000000 0.021886

Documents

portflolio optimisation 2