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

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

returns BA returns C
-7.15%
-0.11%
-12.59%
10.46%
-8.21%
-2.73%
13.31%
-3.99%
-4.04%
-4.45%
-6.91%
-13.82%
-22.29%
10.34%
9.07%
8.17%
-21.92%
6.11%
3.05%
-4.68%
17.83%
3.77%
4.51%
3.10%
0.15%
-6.10%
7.73%
-12.21%
1.95%
7.14%
-18.27%
2.31%
4.84%
-1.22%
6.81%
15.47%
9.72%
18.44%
5.01%
2.04%
-4.54%
-12.06%
6.43%

-12.44%
7.27%
2.67%
8.62%
5.73%
-8.34%
11.81%
7.53%
2.16%
0.13%
-1.05%
10.59%
-41.58%
-16.87%
23.04%
6.65%
-1.11%
12.42%
4.69%
8.36%
16.15%
-12.22%
7.24%
-6.10%
-0.24%
-0.99%
21.21%
-0.71%
3.31%
2.32%
-9.37%
14.59%
-1.23%
5.25%
-3.15%
15.70%
10.18%
-7.70%
-2.68%
-5.24%
2.49%
9.18%
-12.69%

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

-11.03%
10.39%
2.01%
-12.32%
5.13%
-13.06%
-42.42%
-2.74%
7.91%
9.97%
5.43%
11.97%
4.86%
-7.88%
-4.08%
5.35%
-8.04%
-10.89%
-8.27%
-13.71%
14.03%
-3.16%
-4.35%
-13.09%
-9.51%
8.49%
12.28%
11.24%
-3.58%
12.67%
-8.53%
11.44%
0.17%
9.33%
-0.93%
4.19%
-5.44%
3.87%
7.50%
10.91%
-0.66%
3.25%
-1.15%
-3.39%
7.49%
-3.44%
-2.28%

-8.93%
8.87%
4.45%
3.07%
-5.13%
-8.88%
-12.28%
11.69%
5.44%
5.26%
-5.95%
-4.65%
9.02%
-13.43%
0.15%
-10.83%
-14.44%
5.13%
-9.94%
22.50%
5.07%
-9.95%
-1.85%
-3.00%
3.27%
13.06%
4.93%
4.24%
5.36%
-3.29%
4.85%
4.82%
-0.77%
3.16%
2.74%
1.55%
2.82%
-6.41%
-3.50%
0.15%
-4.42%
5.51%
-5.43%
1.48%
0.84%
7.39%
1.79%

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

8.75%
6.15%
1.81%
7.50%
3.24%
0.02%
1.89%
1.38%
-4.99%
5.73%
2.96%
-2.79%
6.65%
6.95%
6.84%
0.10%
-1.62%
-5.63%
-2.93%
5.14%
1.27%
10.65%
0.35%
0.80%
-2.21%
1.87%
4.49%
8.22%
-4.50%
2.26%

-1.86%
-6.00%
5.33%
0.32%
-1.88%
-5.10%
0.61%
3.92%
0.59%
6.84%
-0.04%
-4.09%
0.59%
1.84%
6.63%
-1.30%
-2.15%
0.13%
3.14%
0.64%
0.97%
-0.14%
11.62%
-1.03%
-8.05%
1.91%
4.35%
2.60%
-6.05%
0.41%

monthly mean 0.56%

monthly var
0.81%

0.88%
0.71%

annual mean 6.68%

annual var
9.75%
Sd
31.23%

10.58%
8.54%
29.23%

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

covar

0.24%

Proportion of BA

0.3
0.7

Portfolio mean
P variance
P SD

0.78%
0.52%
7.22%

-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

0.78%
1.21%
1.18%
1.14%
1.11%
1.08%
1.04%
1.01%
0.98%
0.95%
0.91%
0.88%
0.85%
0.82%
0.78%
0.75%
0.72%
0.69%
0.65%
0.62%
0.59%
0.56%

7.22%
16.49%
15.57%
14.66%
13.77%
12.90%
12.05%
11.23%
10.45%
9.72%
9.04%
8.44%
7.92%
7.51%
7.22%
7.07%
7.06%
7.21%
7.49%
7.90%
8.41%
9.01%

1.40%
1.20%
1.00%
0.80%
Series1

0.60%
0.40%
0.20%
0.00%
0.00%

5.00%

10.00%

15.00%

20.00%

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

RET cat
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%

ret DD
-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%

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

-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%

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

mean
var
sd
covar
PROPORTION
P mean
P var
sd

0.3
0.34%
0.44%
6.64%

-1
-0.8
-0.6
-0.4

0.34%
-0.97%
-0.77%
-0.57%
-0.37%

-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%

1.04%
0.73%
8.55%
0.33%

0.03%
0.49%
6.97%

0.7

6.64%
11.69%
10.49%
9.38%
8.38%

2.50%
2.00%
1.50%

-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
2.2

-0.17%
0.03%
0.24%
0.44%
0.64%
0.84%
1.04%
1.24%
1.44%
1.64%
1.85%
2.05%
2.25%

7.56%
6.97%
6.67%
6.70%
7.06%
7.69%
8.55%
9.57%
10.70%
11.91%
13.18%
14.50%
15.85%

1.50%
1.00%
0.50%
0.00%
0.00%
-0.50%
-1.00%
-1.50%

Series1

5.00%

10.00%

15.00%

20.00%

Expected
returns
E(r)

Variance-covariance matrix

0.40
0.03
0.02
0.00

0.03
0.20
0.00
-0.06

0.02
0.00
0.30
0.03

0.00
-0.06
0.03
0.10

0.06
0.05
0.07
0.08

0.04
raw P
0.101865
0.565704
0.114139
1.105181
X
Y

Port X
0.053986
0.299808
0.06049
0.585716
0.053985865 0.299808
0.042317528 0.251393
X

Mean
var
cov
Prop x
mean
var
sd

raw P
0.03297
0.195864
0.046801
0.503478
0.06049 0.585716
0.06007 0.646219
Y

6.93%
3.67%
3.76%

7.10%
3.98%

0.4
7.03%
3.83%
19.56%

-4
-3.8
-3.6
-3.4
-3.2
-3
-2.8
-2.6
-2.4
-2.2
-2
-1.8
-1.6
-1.4
-1.2
-1

7.03%
7.78%
7.74%
7.71%
7.68%
7.64%
7.61%
7.57%
7.54%
7.51%
7.47%
7.44%
7.41%
7.37%
7.34%
7.30%
7.27%

19.56%
27.84%
27.33%
26.82%
26.32%
25.83%
25.35%
24.89%
24.43%
23.99%
23.56%
23.15%
22.75%
22.36%
21.99%
21.64%
21.31%

9.00%
8.00%
7.00%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
0.00%

5.00%

-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
3
3.2
3.4
3.6
3.8
4

7.24%
7.20%
7.17%
7.13%
7.10%
7.07%
7.03%
7.00%
6.97%
6.93%
6.90%
6.86%
6.83%
6.80%
6.76%
6.73%
6.70%
6.66%
6.63%
6.59%
6.56%
6.53%
6.49%
6.46%
6.43%

21.00%
20.70%
20.43%
20.18%
19.95%
19.74%
19.56%
19.41%
19.27%
19.17%
19.09%
19.03%
19.01%
19.01%
19.03%
19.08%
19.16%
19.27%
19.40%
19.56%
19.74%
19.94%
20.17%
20.42%
20.69%

0.00%
0.00%

5.00%

0.02
0.01
0.03
0.04

0.06

0.05

0.07

0.08

Port Y
0.042318
0.251393
0.06007
0.646219

Series1

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

DIS

GE
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
29.12
26.91
28.46

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
39.51
35.69
41.38

-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%
1.63%
-7.89%
5.60%

-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%

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
28.07
27.40
28.17

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
33.67
33.01
33.81

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%
2.93%
-2.42%
2.77%

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%

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

33.94
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
var
cov
prop
P mean
P var
sd

0.4

-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%

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%

0.28%
0.68%
0.18%

0.59%
0.43%

0.6

0.47%
0.35%
5.95%

-1.5
-1.4
-1.3
-1.2
-1.1
-1
-0.9

0.47%
1.05%
1.02%
0.99%
0.96%
0.93%
0.90%
0.87%

5.95%
16.99%
16.18%
15.37%
14.57%
13.79%
13.01%
12.24%

1.20%
1.00%

1.00%

-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
1.1
1.2
1.3
1.4
1.5

0.84%
0.81%
0.78%
0.75%
0.71%
0.68%
0.65%
0.62%
0.59%
0.56%
0.53%
0.50%
0.47%
0.44%
0.41%
0.37%
0.34%
0.31%
0.28%
0.25%
0.22%
0.19%
0.16%
0.13%

11.49%
10.76%
10.04%
9.36%
8.70%
8.09%
7.52%
7.02%
6.59%
6.26%
6.04%
5.93%
5.95%
6.09%
6.35%
6.72%
7.17%
7.69%
8.27%
8.90%
9.56%
10.26%
10.98%
11.72%

0.80%
0.60%
0.40%
0.20%
0.00%
0.00%

5.00%

Series1

10.00%

15.00%

20.00%

Variancecovarianc La-Z-Boy
e matrix
La-Z-Boy
Kimball
Flexsteel
Leggett
Miller
Shaw

Kimball

0.1152
0.0398
0.1792
0.0492
0.0568
0.0989

0.0398
0.0649
0.0447
0.0062
0.0349
0.0269

Flexsteel

0.1792
0.0447
0.3334
0.0775
0.0886
0.1487

Leggett

0.0492
0.0062
0.0775
0.1033
0.0191
0.0597

Miller

0.0568
0.0349
0.0886
0.0191
0.0594
0.0243

Shaw

0.0989
0.0269
0.1487
0.0597
0.0243
0.1653

10%
z

x
3.211258
1.206707
-3.19908
2.146501
1.919642
2.357374

x
y
mean
var
cov

0.42019
0.157896
-0.4186
0.280867
0.251183
0.30846
0.42019 0.157896
0.720254 0.110418
31.35%
4.10%
4.85%

3.170761
0.48609
-2.4405
1.353346
0.061431
1.771153
-0.4186 0.280867 0.251183 0.30846
-0.55437 0.307419 0.013954 0.402326

37.07%
6.15%
0.5

mean
var
sd

34.21%
4.99%
22.33%

0.720254
0.110418
-0.55437
0.307419
0.013954
0.402326

0.5

Means

29.24%
20.68%
25.02%
31.64%
15.34%
43.87%

19.24%
10.68%
15.02%
21.64%
5.34%
33.87%

S&P 500

954.31
899.47
947.28
914.62
955.40
970.43
980.28
1049.34
1101.75
1111.75
1090.82
1133.84
1120.67
957.28
1017.01
1098.67
1163.63
1229.23
1279.64
1238.33
1286.37
1335.18
1301.84
1372.71
1328.72
1320.41
1282.71
1362.93
1388.91
1469.25
1394.46
1366.42
1498.58
1452.43
1420.60
1454.60
1430.83
1517.68
1436.51
1429.40

Alcoa
AA

18.38
17.13
17.08
15.20
14.05
14.71
15.96
15.41
14.45
16.27
14.61
13.89
14.60
12.66
15.02
16.76
15.75
15.82
17.73
17.27
17.56
26.54
23.53
26.47
25.62
27.71
26.63
26.07
28.20
35.74
30.01
29.60
30.35
28.03
25.35
25.16
26.24
28.98
22.05
24.99

American
American
Internatio
Express
nal Group
AXP
AIG
36.31
32.18
35.21
34.83
34.40
37.13
37.67
41.04
43.03
44.95
42.30
49.92
51.56
39.65
40.22
43.78
48.24
49.62
52.86
58.51
61.97
60.11
58.73
60.27
59.69
59.56
55.89
66.18
66.73
69.54
67.13
56.88
70.47
70.59
72.47
75.65
84.69
86.12
92.45
94.68

22.38
20.78
21.88
20.90
21.14
23.98
22.49
24.20
24.67
27.52
27.63
30.69
29.78
21.05
20.94
23.84
27.08
27.75
27.91
29.44
32.00
35.52
32.90
35.43
35.87
37.44
36.76
42.00
41.20
45.34
45.00
36.65
40.68
40.90
44.32
42.79
46.60
48.52
49.94
49.39

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

Citigroup
C

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

1314.95
1320.28
1366.01
1239.94
1160.33
1249.46
1255.82
1224.38
1211.23
1133.58
1040.94
1059.78
1139.45
1148.08
1130.20
1106.73
1147.39
1076.92
1067.14
989.82
911.62
916.07
815.28
885.76
936.31
879.82
855.70
841.15
848.18
916.92
963.59
974.50
990.31
1008.01
995.97
1050.71
1058.20
1111.92
1131.13
1144.94
1126.21
1107.30
1120.68
1140.84
1101.72
1104.24
1114.58

24.66
29.31
32.28
31.42
31.59
36.37
38.05
35.27
34.59
33.74
27.45
28.69
34.32
31.61
31.88
33.56
33.71
30.40
31.38
29.74
24.41
22.64
17.41
19.91
23.20
20.69
17.95
18.76
17.74
21.13
22.67
23.49
25.59
26.46
24.24
29.25
30.54
35.37
31.82
35.03
32.44
28.75
29.41
31.03
30.09
30.57
31.71

93.70
95.26
82.18
79.10
77.84
79.10
78.36
82.24
80.54
75.69
75.50
76.08
79.76
76.89
71.81
71.67
69.90
66.97
64.89
66.16
61.98
60.89
53.08
60.70
63.22
56.18
52.56
47.87
48.07
56.33
56.26
53.68
62.46
57.95
56.20
59.24
56.44
64.62
67.72
72.15
69.63
69.92
71.53
69.63
69.02
69.59
66.49

45.22
45.22
38.83
36.17
34.05
35.06
34.80
32.05
33.38
30.15
24.06
24.43
27.32
29.63
29.82
30.32
34.08
34.19
35.44
30.28
29.46
30.12
26.05
30.46
32.60
29.67
29.82
28.18
27.89
31.85
35.05
35.18
37.25
37.99
38.00
39.67
38.64
40.85
43.91
45.25
44.00
41.54
43.02
43.69
42.73
42.53
43.75

62.00
59.25
52.52
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

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

1130.20
1173.82
1211.92
1181.27
1203.60
1180.59
1156.85
1191.50
1191.33
1234.18
1220.33
1228.81
1207.01
1249.48
1248.29
1280.08
1280.66
1294.87
1310.61
1270.09
1270.20
1276.66
1303.82
1335.85
1377.94
1400.63
1418.30
1438.24
1406.82
1420.86
1482.37
1530.62
1503.35
1530.44

30.68
32.23
29.79
27.99
30.62
28.97
27.67
25.97
25.04
26.88
25.81
23.52
23.40
26.56
28.66
30.53
28.55
29.76
32.89
31.02
31.65
29.29
28.11
27.57
28.42
30.80
29.71
32.14
33.25
33.73
35.32
41.28
40.53
41.35

59.37
61.95
64.30
64.90
65.40
54.35
49.88
54.49
57.12
59.18
58.35
61.07
63.87
66.18
67.25
64.52
65.41
65.29
64.46
60.21
58.48
60.08
63.37
65.79
66.69
69.99
71.32
68.12
66.96
67.07
69.75
72.34
70.03
70.27

45.23
47.48
48.04
45.56
46.25
43.98
45.12
46.10
45.67
47.19
47.40
49.28
48.90
50.52
50.56
51.65
53.06
51.75
53.11
53.65
52.53
51.53
52.00
55.51
57.37
58.28
60.21
57.92
56.58
56.11
60.52
64.82
61.03
61.38

47.81
51.53
49.79
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

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
54.49
51.29
51.50
avg
slope
RSQ

-5.92%
5.18%
-3.51%
4.36%
1.56%
1.01%
6.81%
4.87%
0.90%
-1.90%
3.87%
-1.17%
-15.76%
6.05%
7.72%
5.74%
5.48%
4.02%
-3.28%
3.81%
3.72%
-2.53%
5.30%
-3.26%
-0.63%
-2.90%
6.07%
1.89%
5.62%
-5.22%
-2.03%
9.23%
-3.13%
-2.22%
2.37%
-1.65%
5.89%
-5.50%
-0.50%

-7.04%
-0.29%
-11.66%
-7.87%
4.59%
8.16%
-3.51%
-6.43%
11.86%
-10.76%
-5.05%
4.99%
-14.26%
17.09%
10.96%
-6.22%
0.44%
11.40%
-2.63%
1.67%
41.30%
-12.04%
11.77%
-3.26%
7.84%
-3.98%
-2.13%
7.85%
23.69%
-17.47%
-1.38%
2.50%
-7.95%
-10.05%
-0.75%
4.20%
9.93%
-27.33%
12.52%

-12.07%
9.00%
-1.09%
-1.24%
7.64%
1.44%
8.57%
4.74%
4.37%
-6.08%
16.56%
3.23%
-26.27%
1.43%
8.48%
9.70%
2.82%
6.33%
10.16%
5.75%
-3.05%
-2.32%
2.59%
-0.97%
-0.22%
-6.36%
16.90%
0.83%
4.12%
-3.53%
-16.57%
21.42%
0.17%
2.63%
4.29%
11.29%
1.67%
7.09%
2.38%

-7.42%
5.16%
-4.58%
1.14%
12.61%
-6.41%
7.33%
1.92%
10.93%
0.40%
10.50%
-3.01%
-34.69%
-0.52%
12.97%
12.74%
2.44%
0.57%
5.34%
8.34%
10.44%
-7.66%
7.41%
1.23%
4.28%
-1.83%
13.33%
-1.92%
9.58%
-0.75%
-20.52%
10.43%
0.54%
8.03%
-3.51%
8.53%
4.04%
2.88%
-1.11%

-7.15%
-0.11%
-12.59%
10.46%
-8.21%
-2.73%
13.31%
-3.99%
-4.04%
-4.45%
-6.91%
-13.82%
-22.29%
10.34%
9.07%
8.17%
-21.92%
6.11%
3.05%
-4.68%
17.83%
3.77%
4.51%
3.10%
0.15%
-6.10%
7.73%
-12.21%
1.95%
7.14%
-18.27%
2.31%
4.84%
-1.22%
6.81%
15.47%
9.72%
18.44%
5.01%

-12.44%
7.27%
2.67%
8.62%
5.73%
-8.34%
11.81%
7.53%
2.16%
0.13%
-1.05%
10.59%
-41.58%
-16.87%
23.04%
6.65%
-1.11%
12.42%
4.69%
8.36%
16.15%
-12.22%
7.24%
-6.10%
-0.24%
-0.99%
21.21%
-0.71%
3.31%
2.32%
-9.37%
14.59%
-1.23%
5.25%
-3.15%
15.70%
10.18%
-7.70%
-2.68%

-8.35%
0.40%
3.41%
-9.68%
-6.64%
7.40%
0.51%
-2.54%
-1.08%
-6.63%
-8.53%
1.79%
7.25%
0.75%
-1.57%
-2.10%
3.61%
-6.34%
-0.91%
-7.52%
-8.23%
0.49%
-11.66%
8.29%
5.55%
-6.22%
-2.78%
-1.71%
0.83%
7.79%
4.96%
1.13%
1.61%
1.77%
-1.20%
5.35%
0.71%
4.95%
1.71%
1.21%
-1.65%
-1.69%
1.20%
1.78%
-3.49%
0.23%
0.93%

-1.33%
17.27%
9.65%
-2.70%
0.54%
14.09%
4.52%
-7.59%
-1.95%
-2.49%
-20.63%
4.42%
17.92%
-8.23%
0.85%
5.14%
0.45%
-10.34%
3.17%
-5.37%
-19.75%
-7.53%
-26.27%
13.42%
15.29%
-11.45%
-14.21%
4.41%
-5.59%
17.49%
7.03%
3.55%
8.56%
3.34%
-8.76%
18.79%
4.32%
14.68%
-10.58%
9.61%
-7.68%
-12.08%
2.27%
5.36%
-3.08%
1.58%
3.66%

-1.04%
1.65%
-14.77%
-3.82%
-1.61%
1.61%
-0.94%
4.83%
-2.09%
-6.21%
-0.25%
0.77%
4.72%
-3.66%
-6.84%
-0.20%
-2.50%
-4.28%
-3.16%
1.94%
-6.53%
-1.77%
-13.73%
13.41%
4.07%
-11.81%
-6.66%
-9.35%
0.42%
15.86%
-0.12%
-4.69%
15.15%
-7.49%
-3.07%
5.27%
-4.84%
13.53%
4.69%
6.34%
-3.56%
0.42%
2.28%
-2.69%
-0.88%
0.82%
-4.56%

-8.82%
0.00%
-15.23%
-7.10%
-6.04%
2.92%
-0.74%
-8.23%
4.07%
-10.18%
-22.56%
1.53%
11.18%
8.12%
0.64%
1.66%
11.69%
0.32%
3.59%
-15.74%
-2.75%
2.22%
-14.52%
15.64%
6.79%
-9.42%
0.50%
-5.66%
-1.03%
13.28%
9.57%
0.37%
5.72%
1.97%
0.03%
4.30%
-2.63%
5.56%
7.22%
3.01%
-2.80%
-5.75%
3.50%
1.55%
-2.22%
-0.47%
2.83%

2.04%
-4.54%
-12.06%
6.43%
-11.03%
10.39%
2.01%
-12.32%
5.13%
-13.06%
-42.42%
-2.74%
7.91%
9.97%
5.43%
11.97%
4.86%
-7.88%
-4.08%
5.35%
-8.04%
-10.89%
-8.27%
-13.71%
14.03%
-3.16%
-4.35%
-13.09%
-9.51%
8.49%
12.28%
11.24%
-3.58%
12.67%
-8.53%
11.44%
0.17%
9.33%
-0.93%
4.19%
-5.44%
3.87%
7.50%
10.91%
-0.66%
3.25%
-1.15%

-5.24%
2.49%
9.18%
-12.69%
-8.93%
8.87%
4.45%
3.07%
-5.13%
-8.88%
-12.28%
11.69%
5.44%
5.26%
-5.95%
-4.65%
9.02%
-13.43%
0.15%
-10.83%
-14.44%
5.13%
-9.94%
22.50%
5.07%
-9.95%
-1.85%
-3.00%
3.27%
13.06%
4.93%
4.24%
5.36%
-3.29%
4.85%
4.82%
-0.77%
3.16%
2.74%
1.55%
2.82%
-6.41%
-3.50%
0.15%
-4.42%
5.51%
-5.43%

1.39%
3.79%
3.19%
-2.56%
1.87%
-1.93%
-2.03%
2.95%
-0.01%
3.53%
-1.13%
0.69%
-1.79%
3.46%
-0.10%
2.51%
0.05%
1.10%
1.21%
-3.14%
0.01%
0.51%
2.11%
2.43%
3.10%
1.63%
1.25%
1.40%
-2.21%
0.99%
4.24%
3.20%
-1.80%
1.79%
0.39%

-3.30%
4.93%
-7.87%
-6.23%
8.98%
-5.54%
-4.59%
-6.34%
-3.65%
7.09%
-4.06%
-9.29%
-0.51%
12.67%
7.61%
6.32%
-6.71%
4.15%
10.00%
-5.85%
2.01%
-7.75%
-4.11%
-1.94%
3.04%
8.04%
-3.60%
7.86%
3.40%
1.43%
4.61%
15.59%
-1.83%
2.00%

-11.33%
4.25%
3.72%
0.93%
0.77%
-18.51%
-8.58%
8.84%
4.71%
3.54%
-1.41%
4.56%
4.48%
3.55%
1.60%
-4.14%
1.37%
-0.18%
-1.28%
-6.82%
-2.92%
2.70%
5.33%
3.75%
1.36%
4.83%
1.88%
-4.59%
-1.72%
0.16%
3.92%
3.65%
-3.25%
0.34%

3.33%
4.85%
1.17%
-5.30%
1.50%
-5.03%
2.56%
2.15%
-0.94%
3.27%
0.44%
3.89%
-0.77%
3.26%
0.08%
2.13%
2.69%
-2.50%
2.59%
1.01%
-2.11%
-1.92%
0.91%
6.53%
3.30%
1.57%
3.26%
-3.88%
-2.34%
-0.83%
7.57%
6.86%
-6.02%
0.57%

-3.39%
7.49%
-3.44%
-2.28%
8.75%
6.15%
1.81%
7.50%
3.24%
0.02%
1.89%
1.38%
-4.99%
5.73%
2.96%
-2.79%
6.65%
6.95%
6.84%
0.10%
-1.62%
-5.63%
-2.93%
5.14%
1.27%
10.65%
0.35%
0.80%
-2.21%
1.87%
4.49%
8.22%
-4.50%
2.26%

1.48%
0.84%
7.39%
1.79%
-1.86%
-6.00%
5.33%
0.32%
-1.88%
-5.10%
0.61%
3.92%
0.59%
6.84%
-0.04%
-4.09%
0.59%
1.84%
6.63%
-1.30%
-2.15%
0.13%
3.14%
0.64%
0.97%
-0.14%
11.62%
-1.03%
-8.05%
1.91%
4.35%
2.60%
-6.05%
0.41%

0.68%
0.55%
0.84%
0.56%
0.88%
1.440153 0.978918 1.253399 0.826649 1.404169
0.566267

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

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

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

Returns
CAT

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%

Returns
DD

-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%

Returns
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%

Returns
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%

CAT

DD

Retuns
Variance

1.04%
0.03%
0.0073118 0.0048586

CAT
DD
DIS
GE

CAT
0.0073118
0.0032699
0.0022386
0.0010253

Constant

DD
0.0032699
0.0048586
0.0017118
0.0018588

0.02%

Normal X
Normal Y

1.2500884 -1.147326
1.2983824 -1.208625

Mean
Variance
SD
Covariance

Y
1.84%
1.90%
0.0108107 0.0115369
0.1039743 0.1074102
0.0111659

Proportion X
Mean
Variance
SD

0.3
1.88%
0.0113158
0.1063756

-30

1.88%
3.72%

10.64%
21.89%

-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%

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%

-28
-26
-24
-22
-20
-18
-16
-14
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10
12
14
16
18
20
22
24
26
28
30

3.60%
3.48%
3.36%
3.23%
3.11%
2.99%
2.87%
2.75%
2.63%
2.51%
2.39%
2.27%
2.14%
2.02%
1.90%
1.78%
1.66%
1.54%
1.42%
1.30%
1.18%
1.06%
0.93%
0.81%
0.69%
0.57%
0.45%
0.33%
0.21%
0.09%

21.12%
20.36%
19.59%
18.83%
18.07%
17.31%
16.56%
15.81%
15.07%
14.33%
13.59%
12.87%
12.15%
11.44%
10.74%
10.06%
9.39%
8.75%
8.13%
7.54%
7.00%
6.50%
6.07%
5.72%
5.46%
5.30%
5.27%
5.35%
5.54%
5.84%

-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%

-1.00%
-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%

DIS

GE

0.28%
0.59%
0.0068374 0.0043494

DIS
0.0022386
0.0017118
0.0068374
0.0018289

GE
0.0010253
0.0018588
0.0018289
0.0043494

-0.164663 1.061901
-0.17995 1.0901919

Returns
1.04%
0.03%
0.28%
0.59%

Raw Weight X
2.130123353
-1.955018706
-0.280582652
1.809456167

Raw Weight Y
2.118762887
-1.972291902
-0.293650543
1.779027685

Returns - Constant
1.02%
0.01%
0.26%
0.57%

Normal Weight X
1.250088411
-1.147326151
-0.164663291
1.061901031
1
Normal Weight Y
1.298382399
-1.208624668
-0.179949677
1.090191946
1

4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

Series1

10.00%