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Date

1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01

Boeing
BA
50.44
46.96
46.91
41.36
45.92
42.30
41.16
47.02
45.18
43.39
41.50
38.73
33.73
26.99
29.93
32.77
35.56
28.56
30.36
31.30
29.87
35.70
37.07
38.78
40.00
40.06
37.69
40.72
36.04
36.75
39.47
32.88
33.65
35.32
34.89
37.35
43.60
48.05
57.78
60.75
62.00
59.25
52.52

Citigroup Caterpillar
C
CAT
17.87
15.78
16.97
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

22.22
23.04
21.41
20.42
19.10
19.33
19.23
21.86
22.06
22.91
22.11
21.29
19.63
17.00
18.01
18.31
20.14
18.74
17.76
18.68
18.83
26.52
22.61
24.72
24.29
23.46
22.70
23.05
19.33
19.61
17.80
14.70
16.54
16.67
16.17
14.32
14.54
15.69
13.23
15.13
16.97
20.42
19.23

Dupont
DD
49.92
46.61
46.05
42.55
45.54
45.16
42.58
46.33
51.39
55.02
58.59
56.69
47.06
44.19
42.95
44.09
45.21
40.74
39.31
39.66
44.87
54.63
50.81
53.04
56.00
49.46
47.21
50.29
46.65
51.70
46.31
39.89
41.82
37.48
38.98
34.81
36.05
35.98
32.77
36.37
34.19
39.04
35.32

Disney
DIS
24.71
23.49
24.65
25.23
29.08
30.32
32.77
34.33
32.74
38.25
34.78
32.26
31.77
25.32
23.41
24.91
29.76
27.73
30.51
32.53
28.77
29.35
26.92
28.48
25.48
25.65
24.04
24.55
26.04
27.33
33.93
31.77
38.55
40.77
39.43
36.27
36.03
36.40
35.74
33.46
27.04
27.23
28.65

General
Electric
GE
18.97
16.93
18.49
17.55
20.06
20.01
21.14
21.21
23.60
23.33
22.83
24.88
24.57
21.98
21.94
24.13
24.92
28.22
29.02
27.75
30.72
29.26
28.24
31.38
30.36
31.28
33.12
37.85
36.35
43.34
37.53
37.08
43.72
44.17
44.35
44.66
43.67
49.54
48.96
46.42
41.97
40.73
39.07

1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04

56.01
50.16
55.65
56.78
50.20
52.84
46.37
30.34
29.52
31.95
35.30
37.27
42.01
44.10
40.76
39.13
41.28
38.09
34.16
31.45
27.42
31.55
30.57
29.27
25.68
23.35
25.42
28.74
32.16
31.03
35.22
32.34
36.26
36.32
39.87
39.50
41.19
39.01
40.55
43.71
48.75
48.43
50.03
49.46
47.81
51.53
49.79

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

18.09
19.30
21.99
23.72
21.92
24.29
22.04
19.75
19.86
21.06
23.21
22.50
24.84
25.44
24.59
23.54
22.04
20.29
19.81
16.90
18.71
22.86
20.94
20.30
21.69
22.71
24.44
24.23
25.86
31.53
33.57
32.17
34.41
35.71
38.99
36.85
35.73
37.30
36.83
35.70
37.64
35.00
34.63
38.32
38.56
43.83
46.68

35.60
33.16
36.82
38.09
39.60
35.15
33.92
31.06
33.11
37.01
35.49
36.87
39.41
39.67
37.44
39.00
37.65
35.54
34.46
30.84
35.27
38.47
36.55
32.65
31.92
33.83
37.02
36.98
36.54
38.56
39.58
35.39
35.74
36.99
40.95
39.17
40.55
37.97
38.63
39.18
40.29
38.88
38.65
39.14
39.21
41.78
45.21

29.12
26.91
28.46
29.75
27.18
24.79
23.93
17.52
17.49
19.26
19.70
20.03
21.87
21.95
22.04
21.79
17.97
16.86
14.91
14.40
15.88
18.85
15.70
16.85
16.42
16.39
17.97
18.92
19.01
21.10
19.74
19.42
21.80
22.23
22.67
23.33
25.78
24.29
22.38
22.81
24.77
22.44
21.82
21.92
24.51
26.13
27.26

39.51
35.69
41.38
41.78
41.78
37.21
34.99
31.97
31.29
33.09
34.60
32.07
33.39
32.43
27.36
27.01
25.35
28.10
26.31
21.66
22.19
23.83
21.56
20.49
21.46
22.76
26.28
25.61
25.76
25.55
26.56
26.94
26.22
25.91
28.19
30.60
29.77
27.94
27.42
28.49
29.84
30.62
30.20
31.11
31.61
32.76
34.01

3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

48.67
53.12
56.49
57.52
62.00
64.04
64.05
65.27
66.18
62.96
66.67
68.67
66.78
71.37
76.51
81.93
82.01
80.69
76.27
74.07
77.98
78.98
87.86
88.17
88.88
86.94
88.58
92.65
100.59
96.16
98.36

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
54.49
51.29
51.50

42.84
45.70
43.97
42.54
45.46
46.04
52.33
53.87
57.03
51.28
56.34
56.33
66.47
71.55
70.30
74.39
71.64
73.15
69.91
65.45
64.90
60.14
61.45
60.76
63.79
64.15
66.74
72.62
78.58
78.30
77.49

43.84
49.47
47.56
43.73
43.51
40.24
39.93
37.34
36.97
39.34
40.70
40.46
37.27
38.66
40.56
42.37
41.20
40.30
38.42
39.08
41.89
44.78
46.25
48.00
48.84
50.36
49.07
48.81
52.32
50.84
52.06

28.07
27.40
28.17
25.89
26.91
24.69
25.14
24.70
23.66
23.90
24.45
23.75
25.08
27.74
27.64
27.71
30.23
29.73
29.42
29.38
30.63
31.18
32.75
34.27
35.17
34.25
34.43
34.98
35.44
34.14
34.63

33.67
33.01
33.81
33.94
34.21
32.69
32.55
31.71
31.98
32.21
33.92
33.53
31.33
31.68
33.52
33.33
33.02
32.00
31.74
33.07
34.52
34.33
34.50
36.66
35.51
34.66
35.11
36.60
37.31
38.28
38.54

Date
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01

Boeing
Citigroup
BA
C
50.44
17.87
46.96
15.78
46.91
16.97
41.36
17.43
45.92
19.00
42.30
20.12
41.16
18.51
47.02
20.83
45.18
22.46
43.39
22.95
41.50
22.98
38.73
22.74
33.73
25.28
26.99
16.68
29.93
14.09
32.77
17.74
35.56
18.96
28.56
18.75
30.36
21.23
31.30
22.25
29.87
24.19
35.70
28.43
37.07
25.16
38.78
27.05
40.00
25.45
40.06
25.39
37.69
25.14
40.72
31.08
36.04
30.86
36.75
31.90
39.47
32.65
32.88
29.73
33.65
34.40
35.32
33.98
34.89
35.81
37.35
34.70
43.60
40.60
48.05
44.95
57.78
41.62
60.75
40.52
62.00
38.45
59.25
39.42
52.52
43.21
56.01
38.06

Return B

Return C

-0.07149
-0.00107
-0.12592
0.104587
-0.08211
-0.02732
0.133106
-0.03992
-0.04043
-0.04454
-0.06908
-0.13823
-0.22292
0.103395
0.090652
0.081708
-0.21921
0.061119
0.030492
-0.04676
0.178296
0.037657
0.045097
0.030975
0.001499
-0.06098
0.077325
-0.12209
0.019509
0.071403
-0.18268
0.023148
0.048436
-0.01225
0.068133
0.154724
0.097185
0.184401
0.050124
0.020367
-0.04537
-0.12057
0.064336

-0.12438
0.072704
0.026746
0.086246
0.057275
-0.0834
0.118083
0.075342
0.021582
0.001306
-0.0105
0.105888
-0.4158
-0.16875
0.230357
0.06651
-0.01114
0.124222
0.046927
0.083597
0.161506
-0.12219
0.072432
-0.06097
-0.00236
-0.0099
0.212104
-0.0071
0.033145
0.023239
-0.09369
0.1459
-0.01228
0.052455
-0.03149
0.157028
0.101783
-0.07697
-0.02679
-0.05244
0.024915
0.091799
-0.12691

1.40%

1.20%

1.00%

0.80%

1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05

50.16
55.65
56.78
50.20
52.84
46.37
30.34
29.52
31.95
35.30
37.27
42.01
44.10
40.76
39.13
41.28
38.09
34.16
31.45
27.42
31.55
30.57
29.27
25.68
23.35
25.42
28.74
32.16
31.03
35.22
32.34
36.26
36.32
39.87
39.50
41.19
39.01
40.55
43.71
48.75
48.43
50.03
49.46
47.81
51.53
49.79
48.67

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

-0.11031
0.103864
0.020102
-0.12317
0.051253
-0.13062
-0.42419
-0.0274
0.079104
0.099711
0.054306
0.119719
0.048552
-0.07876
-0.04081
0.053489
-0.08043
-0.1089
-0.08266
-0.13713
0.140301
-0.03155
-0.04346
-0.13085
-0.09512
0.084939
0.122754
0.112434
-0.03577
0.12666
-0.08531
0.11441
0.001653
0.093256
-0.00932
0.041895
-0.05438
0.038718
0.075041
0.109128
-0.00659
0.032503
-0.01146
-0.03393
0.074929
-0.03435
-0.02275

-0.08926
0.088734
0.044475
0.030703
-0.05128
-0.08879
-0.12281
0.116902
0.054364
0.052575
-0.05955
-0.04655
0.090248
-0.13434
0.001472
-0.10834
-0.14436
0.051312
-0.09942
0.22505
0.050738
-0.09951
-0.0185
-0.02998
0.032688
0.130565
0.049271
0.042359
0.053568
-0.03291
0.048461
0.048152
-0.00774
0.031566
0.027399
0.015455
0.02824
-0.06406
-0.03497
0.001451
-0.04423
0.055051
-0.05429
0.014785
0.008422
0.073914
0.017937

0.60%

0.40%

0.20%

0.00%
0.00%

2.00%

1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

53.12
56.49
57.52
62.00
64.04
64.05
65.27
66.18
62.96
66.67
68.67
66.78
71.37
76.51
81.93
82.01
80.69
76.27
74.07
77.98
78.98
87.86
88.17
88.88
86.94
88.58
92.65
100.59
96.16
98.36

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
54.49
51.29
51.50

0.087491
0.06151
0.018069
0.075002
0.032374
0.000156
0.018868
0.013846
-0.04988
0.057255
0.029557
-0.02791
0.066474
0.069544
0.068444
0.000976
-0.01623
-0.05633
-0.02927
0.051442
0.012742
0.10655
0.003522
0.00802
-0.02207
0.018688
0.044923
0.082224
-0.04504
0.022621

-0.01862
-0.05999
0.053324
0.003226
-0.01881
-0.05097
0.006148
0.039183
0.005876
0.068383
-0.00044
-0.04089
0.005913
0.018423
0.066318
-0.013
-0.02155
0.001293
0.031378
0.00645
0.0097
-0.00144
0.116182
-0.01031
-0.08049
0.019067
0.043502
0.026029
-0.06052
0.004086

monthly average return


monthly variance

0.56%
0.813%

0.88%
0.712%

annual return
annual variance
sd

6.68%
9.75%
31.23%

10.58%
8.54%
29.23%

covariance
weights
Portfolio mean
Portfolio variance
Portfolio SD

Weights

0.0023515
0.3
0.784%
0.521%
7.22%

0.7

DATA TABLE
SD
MEAN
7.216%
0.78%
-1
16.49%
1.21%
-0.9
15.57%
1.18%
-0.8
14.66%
1.14%
-0.7
13.77%
1.11%
-0.6
12.90%
1.08%
-0.5
12.05%
1.04%
-0.4
11.23%
1.01%
-0.3
10.45%
0.98%
-0.2
9.72%
0.95%
-0.1
9.04%
0.91%
0
8.44%
0.88%
0.1
7.92%
0.85%
0.2
7.51%
0.82%
0.3
7.22%
0.78%
0.4
7.07%
0.75%
0.5
7.06%
0.72%
0.6
7.21%
0.69%
0.7
7.49%
0.65%
0.8
7.90%
0.62%
0.9
8.41%
0.59%
1
9.01%
0.56%

Series1

Series1

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

Caterpillar
CAT
22.22
23.04
21.41
20.42
19.10
19.33
19.23
21.86
22.06
22.91
22.11
21.29
19.63
17.00
18.01
18.31
20.14
18.74
17.76
18.68
18.83
26.52
22.61
24.72
24.29
23.46
22.70
23.05
19.33
19.61
17.80
14.70
16.54
16.67
16.17
14.32
14.54
15.69
13.23
15.13
16.97
20.42
19.23

Dupont
DD
49.92
46.61
46.05
42.55
45.54
45.16
42.58
46.33
51.39
55.02
58.59
56.69
47.06
44.19
42.95
44.09
45.21
40.74
39.31
39.66
44.87
54.63
50.81
53.04
56.00
49.46
47.21
50.29
46.65
51.70
46.31
39.89
41.82
37.48
38.98
34.81
36.05
35.98
32.77
36.37
34.19
39.04
35.32

Disney
DIS
24.71
23.49
24.65
25.23
29.08
30.32
32.77
34.33
32.74
38.25
34.78
32.26
31.77
25.32
23.41
24.91
29.76
27.73
30.51
32.53
28.77
29.35
26.92
28.48
25.48
25.65
24.04
24.55
26.04
27.33
33.93
31.77
38.55
40.77
39.43
36.27
36.03
36.40
35.74
33.46
27.04
27.23
28.65

General
Electric
GE
18.97
16.93
18.49
17.55
20.06
20.01
21.14
21.21
23.60
23.33
22.83
24.88
24.57
21.98
21.94
24.13
24.92
28.22
29.02
27.75
30.72
29.26
28.24
31.38
30.36
31.28
33.12
37.85
36.35
43.34
37.53
37.08
43.72
44.17
44.35
44.66
43.67
49.54
48.96
46.42
41.97
40.73
39.07

Return

CAT

DD
3.62%
-7.34%
-4.73%
-6.68%
1.20%
-0.52%
12.82%
0.91%
3.78%
-3.55%
-3.78%
-8.12%
-14.38%
5.77%
1.65%
9.53%
-7.20%
-5.37%
5.05%
0.80%
34.24%
-15.95%
8.92%
-1.75%
-3.48%
-3.29%
1.53%
-17.60%
1.44%
-9.68%
-19.14%
11.79%
0.78%
-3.05%
-12.15%
1.52%
7.61%
-17.05%
13.42%
11.48%
18.51%
-6.00%

-6.86%
-1.21%
-7.90%
6.79%
-0.84%
-5.88%
8.44%
10.37%
6.83%
6.29%
-3.30%
-18.62%
-6.29%
-2.85%
2.62%
2.51%
-10.41%
-3.57%
0.89%
12.34%
19.68%
-7.25%
4.30%
5.43%
-12.42%
-4.66%
6.32%
-7.51%
10.28%
-11.01%
-14.92%
4.72%
-10.96%
3.92%
-11.31%
3.50%
-0.19%
-9.34%
10.42%
-6.18%
13.27%
-10.01%

DIS
-5.06%
4.82%
2.33%
14.20%
4.18%
7.77%
4.65%
-4.74%
15.55%
-9.51%
-7.52%
-1.53%
-22.69%
-7.84%
6.21%
17.79%
-7.07%
9.55%
6.41%
-12.28%
2.00%
-8.64%
5.63%
-11.13%
0.66%
-6.48%
2.10%
5.89%
4.84%
21.63%
-6.58%
19.34%
5.60%
-3.34%
-8.35%
-0.66%
1.02%
-1.83%
-6.59%
-21.30%
0.70%
5.08%

18.09
19.30
21.99
23.72
21.92
24.29
22.04
19.75
19.86
21.06
23.21
22.50
24.84
25.44
24.59
23.54
22.04
20.29
19.81
16.90
18.71
22.86
20.94
20.30
21.69
22.71
24.44
24.23
25.86
31.53
33.57
32.17
34.41
35.71
38.99
36.85
35.73
37.30
36.83
35.70
37.64
35.00
34.63
38.32
38.56
43.83
46.68

35.60
33.16
36.82
38.09
39.60
35.15
33.92
31.06
33.11
37.01
35.49
36.87
39.41
39.67
37.44
39.00
37.65
35.54
34.46
30.84
35.27
38.47
36.55
32.65
31.92
33.83
37.02
36.98
36.54
38.56
39.58
35.39
35.74
36.99
40.95
39.17
40.55
37.97
38.63
39.18
40.29
38.88
38.65
39.14
39.21
41.78
45.21

29.12
26.91
28.46
29.75
27.18
24.79
23.93
17.52
17.49
19.26
19.70
20.03
21.87
21.95
22.04
21.79
17.97
16.86
14.91
14.40
15.88
18.85
15.70
16.85
16.42
16.39
17.97
18.92
19.01
21.10
19.74
19.42
21.80
22.23
22.67
23.33
25.78
24.29
22.38
22.81
24.77
22.44
21.82
21.92
24.51
26.13
27.26

39.51
35.69
41.38
41.78
41.78
37.21
34.99
31.97
31.29
33.09
34.60
32.07
33.39
32.43
27.36
27.01
25.35
28.10
26.31
21.66
22.19
23.83
21.56
20.49
21.46
22.76
26.28
25.61
25.76
25.55
26.56
26.94
26.22
25.91
28.19
30.60
29.77
27.94
27.42
28.49
29.84
30.62
30.20
31.11
31.61
32.76
34.01

-6.11%
6.47%
13.05%
7.57%
-7.89%
10.27%
-9.72%
-10.97%
0.56%
5.87%
9.72%
-3.11%
9.89%
2.39%
-3.40%
-4.36%
-6.58%
-8.27%
-2.39%
-15.89%
10.17%
20.03%
-8.77%
-3.10%
6.62%
4.60%
7.34%
-0.86%
6.51%
19.82%
6.27%
-4.26%
6.73%
3.71%
8.79%
-5.64%
-3.09%
4.30%
-1.27%
-3.12%
5.29%
-7.27%
-1.06%
10.13%
0.62%
12.81%
6.30%

0.79%
-7.10%
10.47%
3.39%
3.89%
-11.92%
-3.56%
-8.81%
6.39%
11.14%
-4.19%
3.81%
6.66%
0.66%
-5.79%
4.08%
-3.52%
-5.77%
-3.09%
-11.10%
13.42%
8.68%
-5.12%
-11.28%
-2.26%
5.81%
9.01%
-0.11%
-1.20%
5.38%
2.61%
-11.19%
0.98%
3.44%
10.17%
-4.44%
3.46%
-6.57%
1.72%
1.41%
2.79%
-3.56%
-0.59%
1.26%
0.18%
6.35%
7.89%

1.63%
-7.89%
5.60%
4.43%
-9.03%
-9.20%
-3.53%
-31.18%
-0.17%
9.64%
2.26%
1.66%
8.79%
0.37%
0.41%
-1.14%
-19.27%
-6.38%
-12.29%
-3.48%
9.78%
17.15%
-18.29%
7.07%
-2.59%
-0.18%
9.20%
5.15%
0.47%
10.43%
-6.66%
-1.63%
11.56%
1.95%
1.96%
2.87%
9.99%
-5.95%
-8.19%
1.90%
8.24%
-9.88%
-2.80%
0.46%
11.17%
6.40%
4.23%

42.84
45.70
43.97
42.54
45.46
46.04
52.33
53.87
57.03
51.28
56.34
56.33
66.47
71.55
70.30
74.39
71.64
73.15
69.91
65.45
64.90
60.14
61.45
60.76
63.79
64.15
66.74
72.62
78.58
78.30
77.49

43.84
49.47
47.56
43.73
43.51
40.24
39.93
37.34
36.97
39.34
40.70
40.46
37.27
38.66
40.56
42.37
41.20
40.30
38.42
39.08
41.89
44.78
46.25
48.00
48.84
50.36
49.07
48.81
52.32
50.84
52.06

28.07
27.40
28.17
25.89
26.91
24.69
25.14
24.70
23.66
23.90
24.45
23.75
25.08
27.74
27.64
27.71
30.23
29.73
29.42
29.38
30.63
31.18
32.75
34.27
35.17
34.25
34.43
34.98
35.44
34.14
34.63

33.67
33.01
33.81
33.94
34.21
32.69
32.55
31.71
31.98
32.21
33.92
33.53
31.33
31.68
33.52
33.33
33.02
32.00
31.74
33.07
34.52
34.33
34.50
36.66
35.51
34.66
35.11
36.60
37.31
38.28
38.54

mean
variance

-8.58%
6.46%
-3.86%
-3.31%
6.64%
1.27%
12.81%
2.90%
5.70%
-10.63%
9.41%
-0.02%
16.55%
7.36%
-1.76%
5.65%
-3.77%
2.09%
-4.53%
-6.59%
-0.84%
-7.62%
2.15%
-1.13%
4.87%
0.56%
3.96%
8.44%
7.89%
-0.36%
-1.04%

-3.08%
12.08%
-3.94%
-8.40%
-0.50%
-7.81%
-0.77%
-6.71%
-1.00%
6.21%
3.40%
-0.59%
-8.21%
3.66%
4.80%
4.37%
-2.80%
-2.21%
-4.78%
1.70%
6.94%
6.67%
3.23%
3.71%
1.73%
3.06%
-2.59%
-0.53%
6.94%
-2.87%
2.37%

2.93%
-2.42%
2.77%
-8.44%
3.86%
-8.61%
1.81%
-1.77%
-4.30%
1.01%
2.28%
-2.90%
5.45%
10.08%
-0.36%
0.25%
8.70%
-1.67%
-1.05%
-0.14%
4.17%
1.78%
4.91%
4.54%
2.59%
-2.65%
0.52%
1.58%
1.31%
-3.74%
1.43%

1.04%
0.731%

0.03%
0.486%

0.28%
0.684%

CAT
CAT
DD
DIS
GE
constant

0.7312%
0.3270%
0.2239%
0.1025%

DD
DIS
0.3270% 0.2239%
0.4859% 0.1712%
0.1712% 0.6837%
0.1859% 0.1829%

0.02%

Without Constant
Raw Weights
2.13012335

Normalized Weights X
1.250088

-1.9550187
-0.2805827
1.80945617

-1.14733
-0.16466
1.061901

Sum

1.70397816

Norm X

1.25008841

-1.14733

-0.16466

Norm Y

1.2983824

-1.20862

-0.17995

Mean
Variance
SD
Cov
Proportion
Mean
Variance
SD

-1
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

X
Y
0.01842113 0.019027
0.01081066 0.011537
0.10397434 0.10741
1.117%
0.3
1.88%
1.13%
10.64%

0.7

10.64%
11.088%
11.053%
11.018%
10.984%
10.949%
10.914%
10.879%
10.845%
10.810%
10.776%
10.741%
10.706%
10.672%
10.638%
10.603%
10.569%
10.534%
10.500%
10.466%
10.432%
10.397%

1.88%
1.963%
1.957%
1.951%
1.945%
1.939%
1.933%
1.927%
1.921%
1.915%
1.909%
1.903%
1.897%
1.891%
1.884%
1.878%
1.872%
1.866%
1.860%
1.854%
1.848%
1.842%

urn

GE
-11.38%
8.81%
-5.22%
13.37%
-0.25%
5.49%
0.33%
10.68%
-1.15%
-2.17%
8.60%
-1.25%
-11.14%
-0.18%
9.51%
3.22%
12.44%
2.80%
-4.47%
10.17%
-4.87%
-3.55%
10.54%
-3.30%
2.99%
5.72%
13.35%
-4.04%
17.59%
-14.39%
-1.21%
16.47%
1.02%
0.41%
0.70%
-2.24%
12.61%
-1.18%
-5.33%
-10.08%
-3.00%
-4.16%

1.12%
-10.17%
14.79%
0.96%
0.00%
-11.58%
-6.15%
-9.03%
-2.15%
5.59%
4.46%
-7.59%
4.03%
-2.92%
-17.00%
-1.29%
-6.34%
10.30%
-6.58%
-19.45%
2.42%
7.13%
-10.01%
-5.09%
4.63%
5.88%
14.38%
-2.58%
0.58%
-0.82%
3.88%
1.42%
-2.71%
-1.19%
8.43%
8.20%
-2.75%
-6.34%
-1.88%
3.83%
4.63%
2.58%
-1.38%
2.97%
1.59%
3.57%
3.74%

-1.00%
-1.98%
2.39%
0.38%
0.79%
-4.54%
-0.43%
-2.61%
0.85%
0.72%
5.17%
-1.16%
-6.79%
1.11%
5.65%
-0.57%
-0.93%
-3.14%
-0.82%
4.10%
4.29%
-0.55%
0.49%
6.07%
-3.19%
-2.42%
1.29%
4.16%
1.92%
2.57%
0.68%
0.59%
0.435%
GE
0.1025%
0.1859%
0.1829%
0.4349%

Mean Returns returns - c


1.041%
1.021%
0.035%
0.015%
0.281%
0.261%
0.591%
0.571%

ant
Normalized Weights X

With Constant
Raw Weights
2.118762887

Normalized Weights Y
1.298382

-1.972291902
-0.293650543
1.779027685

-1.20862
-0.17995
1.090192

1.631848128

1.061901
1.090192

1.980%

1.960%

1.940%

1.920%

1.900%

1.880%

1.860%

1.840%

1.820%
10.300%10.400%10.500%10.600%10.700%10.800%10.900%11.000%11.100%11.200%

Series1