Continental Aktiengesellschaft (CON.

DE)
Date Open High Low Close Volume Dividend
Nov-15 11/30/2015 € 229.50 € 231.90 € 210.80 € 224.55 € 7,651,789.00
Dec-15 12/31/2015 € 224.55 € 224.55 € 187.05 € 192.60 € 9,517,053.00
Jan-16 1/31/2016 € 192.00 € 193.00 € 175.60 € 184.60 € 10,475,978.00
Feb-16 2/29/2016 € 185.90 € 206.55 € 184.65 € 200.60 € 16,886,447.00
Mar-16 3/31/2016 € 198.00 € 200.35 € 179.85 € 191.80 € 8,466,828.00
Apr-16 4/30/2016 € 187.40 € 193.90 € 179.95 € 192.80 € 8,792,703.00
May-16 5/31/2016 € 192.20 € 196.80 € 165.85 € 169.30 € 11,584,054.00 3.75
Jun-16 6/30/2016 € 170.15 € 191.35 € 162.05 € 187.50 € 8,735,914.00
Jul-16 7/31/2016 € 189.95 € 197.00 € 175.35 € 187.90 € 6,776,613.00
Aug-16 8/31/2016 € 188.50 € 196.00 € 181.00 € 187.15 € 6,900,651.00
Sep-16 9/30/2016 € 187.15 € 189.90 € 167.45 € 174.55 € 10,927,244.00
Oct-16 10/31/2016 € 175.75 € 175.80 € 158.20 € 167.40 € 11,808,568.00
Nov-16 11/30/2016 € 166.60 € 186.85 € 164.90 € 183.70 € 8,119,886.00
Dec-16 12/31/2016 € 184.00 € 194.65 € 180.70 € 180.70 € 9,085,001.00
Jan-17 1/31/2017 € 183.50 € 196.00 € 181.90 € 191.50 € 8,394,664.00
Feb-17 2/28/2017 € 192.85 € 206.50 € 189.20 € 205.50 € 9,889,686.00
Mar-17 3/31/2017 € 206.60 € 209.95 € 196.10 € 205.50 € 7,747,698.00
Apr-17 4/30/2017 € 205.50 € 210.35 € 197.80 € 198.00 € 8,002,447.00 4.25
May-17 5/31/2017 € 198.40 € 204.55 € 187.45 € 188.95 € 8,592,587.00 4.25
Jun-17 6/30/2017 € 189.95 € 200.35 € 187.20 € 190.50 € 8,530,044.00
Jul-17 7/31/2017 € 190.30 € 196.90 € 186.55 € 189.55 € 8,440,311.00
Aug-17 8/31/2017 € 189.80 € 214.85 € 188.50 € 214.75 € 8,778,184.00
Sep-17 9/30/2017 € 215.10 € 218.85 € 211.70 € 217.90 € 6,499,912.00
Oct-17 10/31/2017 € 219.50 € 224.75 € 210.50 € 223.75 € 8,454,963.00
Nov-17 11/30/2017 € 223.75 € 228.85 € 218.15 € 225.05 € 6,412,393.00
Dec-17 12/31/2017 € 225.05 € 257.40 € 221.10 € 241.70 € 10,769,783.00
Jan-18 1/31/2018 € 242.80 € 244.80 € 217.90 € 225.70 € 9,843,173.00
Feb-18 2/28/2018 € 225.00 € 226.10 € 213.30 € 224.30 € 9,871,166.00
Mar-18 3/31/2018 € 224.30 € 229.60 € 214.50 € 221.20 € 11,020,160.00
Apr-18 4/30/2018 € 221.20 € 229.40 € 215.40 € 217.10 € 8,626,882.00 4.5
May-18 5/31/2018 € 218.20 € 226.20 € 193.80 € 195.55 € 12,221,625.00
Jun-18 6/30/2018 € 191.85 € 211.00 € 191.15 € 197.00 € 10,587,135.00
Jul-18 7/31/2018 € 198.00 € 198.00 € 153.35 € 158.05 € 19,294,218.00
Aug-18 8/31/2018 € 157.20 € 160.45 € 146.60 € 149.95 € 15,601,181.00
Sep-18 9/30/2018 € 150.20 € 154.25 € 127.90 € 145.95 € 21,955,417.00
Oct-18 10/31/2018 € 145.80 € 152.80 € 128.70 € 132.25 € 16,253,974.00

DATA from yahoo.finance

https://finance.yahoo.com/quote/CON.DE/history?p=CON.DE
Accessed dec 2018
 Adidas AG (ADS.DE)
1 split Date Open High Low Close Volume
1 11/30/2015 92 94.5 85.769997 89.910004 19901232
1 12/31/2015 89.910004 95.209999 82.089996 94.980003 28420706
1 1/31/2016 95 100.65 84.769997 98.459999 24631548
1 2/29/2016 98.580002 104.75 95.169998 103 17560902
1 3/31/2016 102.3 118.3 100.45 112.6 16556447
1 4/30/2016 112.35 116.5 108.9 115.15 15890066
1 5/31/2016 114.5 128.5 107.65 128.45 19206047
1 6/30/2016 128.55 147.95 124.3 146.75 17030700
1 7/31/2016 148.05 157.45 141.85001 148.95 16048485
1 8/31/2016 148.8 157.39999 142.05 154.5 26276178
1 9/30/2016 154.5 160.3 147.3 149.39999 13579325
1 10/31/2016 150 150.7 129.60001 139 19881380
1 11/30/2016 138.7 150.14999 136.75 150.14999 11775268
1 12/31/2016 149.75 156.35001 142.95 145.64999 13228384
1 1/31/2017 146.14999 158.85001 142.60001 158.39999 11536332
1 2/28/2017 157.39999 185.05 157.35001 178.3 18537932
1 3/31/2017 178.89999 187 173.95 183.89999 9733805
1 4/30/2017 183.89999 188.95 167.7 170.25 14165986
1 5/31/2017 170.75 178.64999 163.45 167.75 14820604
1 6/30/2017 168.5 193.75 167.8 193 14970225
1 7/31/2017 193.89999 202.10001 181.39999 188.55 13301694
1 8/31/2017 189.45 199.25 185.2 191.39999 12003275
1 9/30/2017 193.8 197 185.85001 191.05 10118106
1 10/31/2017 191.05 191.89999 175.10001 175.2 18174736
1 11/30/2017 175.8 182.25 165.05 167.14999 14570634
1 12/31/2017 167.14999 188.45 165.25 187.3 20379284
1 1/31/2018 187.8 188.2 171 182.60001 17616452
1 2/28/2018 181.7 200.3 168.25 196.64999 24559440
1 3/31/2018 196.64999 215.5 193.05 203.89999 15047980
1 4/30/2018 203.89999 207.8 186.8 193.60001 19811207
1 5/31/2018 194.60001 203.8 183.14999 186.95 18383277
1 6/30/2018 184.55 191.85001 180.5 189.14999 13352706
1 7/31/2018 189.45 218 183.95 214.89999 16379309
1 8/31/2018 214.10001 217.2 203.8 210.89999 11905902
1 9/30/2018 210.7 215.2 189.5 208 17720738
1 10/31/2018 207.89999 209.10001 193.2 194.8 16451141

DATA from yahoo.finance

https://finance.yahoo.com/quote/ADS.DE/history?p=ADS.DE&.tsrc=fin-srch
Accessed dec 2018
 Global X DAX Germany ETF (DAX)
Dividend 1 split Date Open High Low Close Volume
1 11/1/2015 25.96 26.033 24.7 25.91 44100
1 12/1/2015 25.97 25.97 24.22 24.89 113500
1 1/1/2016 24.43 24.43 22.03 22.84 68200
1 2/1/2016 22.81 22.95 21.29 22.14 52800
1 3/1/2016 22.69 24.532 22.61 24.3 55700
1 4/1/2016 23.82 25.26 23.26 24.682 36900
1.6 1 5/1/2016 24.89 25.03 23.39 24.31 36200
1 6/1/2016 24.32 24.929 21.51 22.916 149600
1 7/1/2016 22.94 24.456 21.79 24.42 52200
1 8/1/2016 24.26 25.49 23.99 24.98 66100
1 9/1/2016 25.01 25.529 24.22 25 62000
1 10/1/2016 24.79 25.14 24.08 24.71 44900
1 11/1/2016 24.71 24.75 23.61 23.78 47000
1 12/1/2016 23.62 25.38 23.6 25.1 100100
1 1/1/2017 25.1 26.45 25.008 25.96 90800
1 2/1/2017 26.3 26.51 25.6 26.09 70500
1 3/1/2017 26.37 27.365 26.2 27.33 62100
1 4/1/2017 27.35 28.316 26.598 28.08 43700
2 1 5/1/2017 28.68 29.54 28.23 29.32 101400
1 6/1/2017 29.4 30.17 28.6 28.665 156600
1 7/1/2017 28.74 29.49 28.545 29.006 77000
1 8/1/2017 29.12 29.5 28.53 29.139 135900
1 9/1/2017 29.21 30.799 29.205 30.721 130600
1 10/1/2017 30.74 31.548 30.669 31.495 132400
1 11/1/2017 31.5 31.912 30.67 31.42 296100
1 12/1/2017 31.51 31.94 31 31.59 98300
1 1/1/2018 31.41 34 31.327 33.17 328900
1 2/1/2018 32.75 33 29.67 30.56 249700
1 3/1/2018 30.38 31.03 29.51 30.24 201200
1 4/1/2018 30.26 31.62 29.47 30.68 60400
5.2 1 5/1/2018 30.75 31.439 29.41 29.71 98700
1 6/1/2018 30.13 30.85 28.071 28.71 115900
1 7/1/2018 28.32 30 28.32 29.92 90000
1 8/1/2018 29.78 29.78 27.46 28.45 57300
1 9/1/2018 28.24 29.12 27.5 28.49 51100
1 10/1/2018 28.65 28.65 25.16 25.8 46800

DATA from yahoo.finance

DE&.tsrc=fin-srch https://finance.yahoo.com/quote/DAX/history?p=DAX
Accessed dec 2018
3 month T-bill
Date ratio
11/1/2015 0.12
12/1/2015 0.23
1/1/2016 0.26
2/1/2016 0.31
3/1/2016 0.29
4/1/2016 0.23
5/1/2016 0.27
6/1/2016 0.27
7/1/2016 0.30
8/1/2016 0.30
9/1/2016 0.29
10/1/2016 0.33
11/1/2016 0.45
12/1/2016 0.51
1/1/2017 0.51
2/1/2017 0.52
3/1/2017 0.74
4/1/2017 0.80
5/1/2017 0.89
6/1/2017 0.98
7/1/2017 1.07
8/1/2017 1.01
9/1/2017 1.03
10/1/2017 1.07
11/1/2017 1.23
12/1/2017 1.32
1/1/2018 1.41
2/1/2018 1.57
3/1/2018 1.70
4/1/2018 1.76
5/1/2018 1.86
6/1/2018 1.90
7/1/2018 1.96
8/1/2018 2.03
9/1/2018 2.13
10/1/2018 2.25

Federal reserve of St.louis

https://fred.stlouisfed.org/
Accessed dec 2018
Continental Aktiengesellschaft (CON.DE) Continental Aktiengesellschaft (CON.DE)
Date Open High Low Close
11/30/2015 229.5 231.9 210.8 224.55 Continenta
12/31/2015 224.55 224.55 187.05 192.6
1/31/2016 192 193 175.6 184.6 40

2/29/2016 185.9 206.55 184.65 200.6 35

3/31/2016 198 200.35 179.85 191.8
30
4/30/2016 187.4 193.9 179.95 192.8
5/31/2016 192.2 196.8 165.85 169.3 25
6/30/2016 170.15 191.35 162.05 187.5
20
7/31/2016 189.95 197 175.35 187.9
8/31/2016 188.5 196 181 187.15 15
9/30/2016 187.15 189.9 167.45 174.55 10
10/31/2016 175.75 175.8 158.2 167.4
11/30/2016 166.6 186.85 164.9 183.7 5

12/31/2016 184 194.65 180.7 180.7 0

1/31/2017 183.5 196 181.9 191.5 11/1/2015 3/1/2016 7/1/2016 11/1/2016
2/28/2017 192.85 206.5 189.2 205.5
3/31/2017 206.6 209.95 196.1 205.5
4/30/2017 205.5 210.35 197.8 198
5/31/2017 198.4 204.55 187.45 188.95
6/30/2017 189.95 200.35 187.2 190.5
7/31/2017 190.3 196.9 186.55 189.55
8/31/2017 189.8 214.85 188.5 214.75
9/30/2017 215.1 218.85 211.7 217.9
10/31/2017 219.5 224.75 210.5 223.75
11/30/2017 223.75 228.85 218.15 225.05
12/31/2017 225.05 257.4 221.1 241.7
1/31/2018 242.8 244.8 217.9 225.7
2/28/2018 225 226.1 213.3 224.3
3/31/2018 224.3 229.6 214.5 221.2
4/30/2018 221.2 229.4 215.4 217.1
5/31/2018 218.2 226.2 193.8 195.55
6/30/2018 191.85 211 191.15 197
7/31/2018 198 198 153.35 158.05
8/31/2018 157.2 160.45 146.6 149.95
9/30/2018 150.2 154.25 127.9 145.95
10/31/2018 145.8 152.8 128.7 132.25
esellschaft (CON.DE)

Continental Aktiengesellschaft (CON.DE)

016 7/1/2016 11/1/2016 3/1/2017 7/1/2017 11/1/2017 3/1/2018 7/1/2018

Close
 rate of returns (en %)
Risk free DAX Continental Aktiengesellschaft
Nov-15 0.01 1.04910104910106 -1.8146029733275
Dec-15 0.019166666666667 -3.93670783481282 -14.2284553877294
Jan-16 0.021666666666667 -8.23623576682345 -4.15368626727872
Feb-16 0.025833333333333 -3.06480297723293 8.66738866736548
Mar-16 0.024166666666667 9.75609800163044 -4.38684084585721
Apr-16 0.019166666666667 1.57201652559739 2.47653802174341
May-16 0.0225 -1.50717127895516 -12.1887964908382
Jun-16 0.0225 -5.734261856613 10.7501457043684
Jul-16 0.025 6.56310001745506 0.213330133333329
Aug-16 0.025 2.29320229320229 -0.399148495981325
Sep-16 0.024166666666667 0.080064051240991 -6.73256286612544
Oct-16 0.0275 -1.160004 -4.09625257926808
Nov-16 0.0375 -3.76365049630314 9.73715865246686
Dec-16 0.0425 5.55087865639704 -1.63309746815075
Jan-17 0.0425 3.42629083665338 5.97675881533081
Feb-17 0.043333333333333 0.500774287395003 7.31070496083551
Mar-17 0.061666666666667 4.75277884246837 2.06812652068127
Apr-17 0.066666666666667 2.74423710208562 -1.58150851581509
May-17 0.074166666666667 4.41595441595442 -4.57070858585859
Jun-17 0.081666666666667 -2.23396657571623 0.820324437475383
Jul-17 0.089166666666667 1.18960400524668 -0.498686089238843
Aug-17 0.084166666666667 0.458522358873249 13.2946434192354
Sep-17 0.085833333333333 5.42915336833797 1.4668190919674
Oct-17 0.089166666666667 2.51944915466784 2.68472058792255
Nov-17 0.1025 -0.238136204536068 0.581006927374303
Dec-17 0.11 0.541056651814125 7.39835315620946
Jan-18 0.1175 5.00157644824311 -6.61977666470554
Feb-18 0.130833333333333 -7.8685533836933 -0.620289773419887
Mar-18 0.141666666666667 -1.04711718086117 0.624161382646077
Apr-18 0.146666666666667 1.45502645502646 -1.85352217703691
May-18 0.155 -3.16167209908735 -9.92630235118464
Jun-18 0.158333333333333 -3.36587019070583 0.741496792510914
Jul-18 0.163333333333333 4.21456301687786 -19.7715720812183
Aug-18 0.169166666666667 -4.91309826203209 -5.12496415454039
Sep-18 0.1775 0.14059401966277 -2.66755590531956
Oct-18 0.1875 -9.44191295191295 -9.38677443069766

N: 36 36 36
Mean: 7.8472% 0.1106% -1.0401%
Standard Deviation: 5.5627% 4.3680% 7.0243%
 DAX
Adidas AG (ADS.DE) 50/50 PORTFOLIO MVP Close
-1.83425272777608 -1.82442785055179 -1.823838 25.91
5.63897094254383 -4.29474222259278 -4.890765 24.89
3.66392492112261 -0.24488067307806 -0.479409 22.84
4.61101060949635 6.63919963843092 6.760891 22.14
9.32038640776699 2.46677278095489 2.055556 24.3
2.2646572338305 2.37059762778696 2.376954 24.682
12.939639375777 0.37542144246938 -0.378432 24.31
14.2467913019881 12.4984685031782 12.39357 22.916
1.49914616695059 0.85623815014196 0.817664 24.42
3.72608466719204 1.66346808560536 1.539711 24.98
-3.30097475728156 -5.0167688117035 -5.119716 25
-6.96117430901637 -5.52871344414222 -5.442766 24.71
8.02157841726618 8.87936853486652 8.930836 23.78
-2.99700311676336 -2.31505029245705 -2.274133 25.1
8.75386235855252 7.36531058694166 7.281997 25.96
12.5631374708259 9.93692121583072 9.779348 26.09
3.14076887592648 2.60444769830387 2.572268 27.33
-7.42250921443749 -4.50200886512629 -4.326779 28.08
-0.293685756240822 -2.4321971710497 -2.560508 29.32
15.0521609538003 7.93624269563784 7.509288 28.665
-2.30569792746114 -1.40219200834999 -1.347982 29.006
1.51153060443069 7.40308701183305 7.75658 29.139
-0.182858417435472 0.64198033726596 0.691471 30.721
-8.2962605344738 -2.80576997327562 -2.476341 31.495
-4.5947506494535 -2.0068718610396 -1.851599 31.42
12.0550462000017 9.72669967810556 9.586999 31.59
-2.50934165761866 -4.5645591611621 -4.687872 33.17
7.69440719514543 3.53705871086277 3.287618 30.56
3.68675322715748 2.15545730490178 2.06358 30.24
-5.05149009469808 -3.4525061358675 -3.356567 30.68
-0.748971567697168 -5.33763695944091 -5.612957 29.71
1.17678365087109 0.959140221691 0.946082 28.71
13.6135346639239 -3.07901870864718 -4.080572 29.92
-1.86133090352715 -3.49314752903377 -3.591057 28.45
-1.37505646396557 -2.02130618464256 -2.060081 28.49
-6.34615240384615 -7.8664634172719 -7.957682 25.8

36 36 36
2.4750% 0.7174% 0.6120%
6.6912% 5.1782% 5.1984%

CON 50% 47%

ADS.DE 50% 53%
 CON Adidas AG (ADS.DE)
25.641 Close Dividend 228.7 Close dividend 91.59
€ 224.55 89.91
€ 192.60 94.98
€ 184.60 98.46
€ 200.60 103
€ 191.80 112.6
€ 192.80 115.15
€ 169.30 3.75 128.45 1.6
€ 187.50 146.75
€ 187.90 148.95
€ 187.15 154.5
€ 174.55 149.4
€ 167.40 139
€ 183.70 150.15
€ 180.70 145.65
€ 191.50 158.4
€ 205.50 178.3
€ 205.50 183.9
€ 198.00 4.25 170.25
€ 188.95 4.25 167.75 2
€ 190.50 193
€ 189.55 188.55
€ 214.75 191.4
€ 217.90 191.05
€ 223.75 175.2
€ 225.05 167.15
€ 241.70 187.3
€ 225.70 182.6
€ 224.30 196.65
€ 221.20 203.9
€ 217.10 4.5 193.6
€ 195.55 186.95 5.2
€ 197.00 189.15
€ 158.05 214.9
€ 149.95 210.9
€ 145.95 208
€ 132.25 194.8
 Inputs
CON ADS CON ADS E[R] RISK
N: 36 36 100% 0% -1.04010% 7.02431%
Mean: -1.0401% 2.4750% 99% 1% -1.00494% 6.96374%
Standard deviation: 7.0243% 6.6912% 98% 2% -0.96979% 6.90381%
correlation coefficient: 13.9802% 97% 3% -0.93464% 6.84453%
96% 4% -0.89949% 6.78594%
95% 5% -0.86434% 6.72803%
MINIMUM VARIANCE PORTFOLIO 94% 6% -0.82919% 6.67084%
MINIMUM VARIANCE 5.172% 93% 7% -0.79404% 6.61437%
OBSERVATION 56 92% 8% -0.75889% 6.55866%
CON 47% 91% 9% -0.72374% 6.50371%
ADS.DE 53% 90% 10% -0.68859% 6.44955%
89% 11% -0.65344% 6.39620%
88% 12% -0.61829% 6.34367%
87% 13% -0.58314% 6.29199%
86% 14% -0.54799% 6.24119%
85% 15% -0.51284% 6.19127%
84% 16% -0.47769% 6.14226%
83% 17% -0.44254% 6.09420%
82% 18% -0.40738% 6.04708%
81% 19% -0.37223% 6.00095%
80% 20% -0.33708% 5.95582%
79% 21% -0.30193% 5.91172%
78% 22% -0.26678% 5.86866%
77% 23% -0.23163% 5.82667%
76% 24% -0.19648% 5.78578%
75% 25% -0.16133% 5.74601%
74% 26% -0.12618% 5.70738%
73% 27% -0.09103% 5.66992%
72% 28% -0.05588% 5.63364%
71% 29% -0.02073% 5.59857%
70% 30% 0.01442% 5.56474%
69% 31% 0.04957% 5.53217%
68% 32% 0.08472% 5.50087%
67% 33% 0.11987% 5.47088%
66% 34% 0.15502% 5.44221%
65% 35% 0.19018% 5.41488%
64% 36% 0.22533% 5.38892%
63% 37% 0.26048% 5.36434%
62% 38% 0.29563% 5.34116%
61% 39% 0.33078% 5.31941%
60% 40% 0.36593% 5.29909%
59% 41% 0.40108% 5.28023%
58% 42% 0.43623% 5.26284%
57% 43% 0.47138% 5.24694%
56% 44% 0.50653% 5.23253%
55% 45% 0.54168% 5.21964%
54% 46% 0.57683% 5.20827%
53% 47% 0.61198% 5.19843%
52% 48% 0.64713% 5.19014%
51% 49% 0.68228% 5.18339%
50% 50% 0.71743% 5.17820%
49% 51% 0.75258% 5.17457%
48% 52% 0.78774% 5.17250%
47% 53% 0.82289% 5.17200%
46% 54% 0.85804% 5.17306%
45% 55% 0.89319% 5.17569%
44% 56% 0.92834% 5.17988%
43% 57% 0.96349% 5.18563%
42% 58% 0.99864% 5.19293%
41% 59% 1.03379% 5.20178%
40% 60% 1.06894% 5.21216%
39% 61% 1.10409% 5.22408%
38% 62% 1.13924% 5.23751%
37% 63% 1.17439% 5.25246%
36% 64% 1.20954% 5.26889%
35% 65% 1.24469% 5.28681%
34% 66% 1.27984% 5.30619%
33% 67% 1.31499% 5.32703%
32% 68% 1.35014% 5.34929%
31% 69% 1.38529% 5.37297%
30% 70% 1.42045% 5.39805%
29% 71% 1.45560% 5.42450%
28% 72% 1.49075% 5.45231%
27% 73% 1.52590% 5.48146%
26% 74% 1.56105% 5.51192%
25% 75% 1.59620% 5.54368%
24% 76% 1.63135% 5.57671%
23% 77% 1.66650% 5.61098%
22% 78% 1.70165% 5.64648%
21% 79% 1.73680% 5.68319%
20% 80% 1.77195% 5.72107%
19% 81% 1.80710% 5.76011%
18% 82% 1.84225% 5.80029%
17% 83% 1.87740% 5.84157%
16% 84% 1.91255% 5.88395%
15% 85% 1.94770% 5.92738%
14% 86% 1.98285% 5.97185%
13% 87% 2.01801% 6.01735%
12% 88% 2.05316% 6.06383%
11% 89% 2.08831% 6.11129%
10% 90% 2.12346% 6.15969%
9% 91% 2.15861% 6.20903%
8% 92% 2.19376% 6.25927%
7% 93% 2.22891% 6.31039%
6% 94% 2.26406% 6.36237%
5% 95% 2.29921% 6.41519%
4% 96% 2.33436% 6.46884%
3% 97% 2.36951% 6.52328%
2% 98% 2.40466% 6.57851%
1% 99% 2.43981% 6.63449%
0% 100% 2.47496% 6.69122%
EPF Efficient portfolio frontier
7.02431%
3.00000%
6.96374%
6.90381% 2.50000%
6.84453%
6.78594% 2.00000%

6.72803% 1.50000%
6.67084%
6.61437% 1.00000%

6.55866% 0.50000%
6.50371%
6.44955% 0.00000%
5.00000% 5.50000% 6.00000% 6.50000% 7.00000% 7.50000%
6.39620% -0.50000%
6.34367%
6.29199% -1.00000%
6.24119% -1.50000%
6.19127%
RISK EPF
6.14226%
6.09420%
6.04708%
6.00095%
5.95582%
5.91172%
5.86866%
5.82667%
5.78578%
5.74601%
5.70738%
5.66992%
5.63364%
5.59857%
5.56474%
5.53217%
5.50087%
5.47088%
5.44221%
5.41488%
5.38892%
5.36434%
5.34116%
5.31941%
5.29909%
5.28023%
5.26284%
5.24694%
5.23253%
5.21964%
5.20827%
5.19843%
5.19014%
5.18339%
5.17820%
5.17457%
5.17250%
5.17200%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
 Rates of returns (en %)
Risk free DAX Continental Aktiengesellschaft
Nov-15 0.0100% 1.0491% -1.8146%
Dec-15 0.0192% -3.9367% -14.2285%
Jan-16 0.0217% -8.2362% -4.1537%
Feb-16 0.0258% -3.0648% 8.6674%
Mar-16 0.0242% 9.7561% -4.3868%
Apr-16 0.0192% 1.5720% 2.4765%
May-16 0.0225% -1.5072% -12.1888%
Jun-16 0.0225% -5.7343% 10.7501%
Jul-16 0.0250% 6.5631% 0.2133%
Aug-16 0.0250% 2.2932% -0.3991%
Sep-16 0.0242% 0.0801% -6.7326%
Oct-16 0.0275% -1.1600% -4.0963%
Nov-16 0.0375% -3.7637% 9.7372%
Dec-16 0.0425% 5.5509% -1.6331%
Jan-17 0.0425% 3.4263% 5.9768%
Feb-17 0.0433% 0.5008% 7.3107%
Mar-17 0.0617% 4.7528% 2.0681%
Apr-17 0.0667% 2.7442% -1.5815%
May-17 0.0742% 4.4160% -4.5707%
Jun-17 0.0817% -2.2340% 0.8203%
Jul-17 0.0892% 1.1896% -0.4987%
Aug-17 0.0842% 0.4585% 13.2946%
Sep-17 0.0858% 5.4292% 1.4668%
Oct-17 0.0892% 2.5194% 2.6847%
Nov-17 0.1025% -0.2381% 0.5810%
Dec-17 0.1100% 0.5411% 7.3984%
Jan-18 0.1175% 5.0016% -6.6198%
Feb-18 0.1308% -7.8686% -0.6203%
Mar-18 0.1417% -1.0471% 0.6242%
Apr-18 0.1467% 1.4550% -1.8535%
May-18 0.1550% -3.1617% -9.9263%
Jun-18 0.1583% -3.3659% 0.7415%
Jul-18 0.1633% 4.2146% -19.7716%
Aug-18 0.1692% -4.9131% -5.1250%
Sep-18 0.1775% 0.1406% -2.6676%
Oct-18 0.1875% -9.4419% -9.3868%
MARKET MODEL
Regression statistics Continental Aktiengesellschaft
20.0...
Multiple R rho 0.001698204
R square RR 2.88390E-06 15.0...
Adjusted R square -0.0294088
Standard error 0.071268532 10.0...
observations N 36
estimated parameters K 2 5.0

0.0
Regression Coefficients -15.0... -10.0... -5.0... 0.0 5.0
alpha alpha -0.01040397 -5.0...
beta beta 0.002730905
T STATIC 0.009902162 -10.0...
Characteristic line
Rm E[r] -15.0...

Minimum -9.4419% -1.0662%

-20.0...
Mean 0.1106% -1.0401%
Maximum 9.7561% -1.0138%
-25.0...
ntal Aktiengesellschaft
20.0...

15.0...

10.0...

5.0

0.0
0.0 5.0 10.0... 15.0...

-5.0...

-10.0...

-15.0...

-20.0...

-25.0...
 Rates of returns (en %)
Risk free DAX Adidas (ADS.DE)
Nov-15 0.0100% 1.0491% -0.018342527277761
Dec-15 0.0192% -3.9367% 0.056389709425438
Jan-16 0.0217% -8.2362% 0.036639249211226
Feb-16 0.0258% -3.0648% 0.046110106094964
Mar-16 0.0242% 9.7561% 0.09320386407767
Apr-16 0.0192% 1.5720% 0.022646572338305
May-16 0.0225% -1.5072% 0.12939639375777
Jun-16 0.0225% -5.7343% 0.142467913019881
Jul-16 0.0250% 6.5631% 0.014991461669506
Aug-16 0.0250% 2.2932% 0.037260846671921
Sep-16 0.0242% 0.0801% -0.033009747572816
Oct-16 0.0275% -1.1600% -0.069611743090164
Nov-16 0.0375% -3.7637% 0.080215784172662
Dec-16 0.0425% 5.5509% -0.029970031167634
Jan-17 0.0425% 3.4263% 0.087538623585525
Feb-17 0.0433% 0.5008% 0.125631374708259
Mar-17 0.0617% 4.7528% 0.031407688759265
Apr-17 0.0667% 2.7442% -0.074225092144375
May-17 0.0742% 4.4160% -0.002936857562408
Jun-17 0.0817% -2.2340% 0.150521609538003
Jul-17 0.0892% 1.1896% -0.023056979274611
Aug-17 0.0842% 0.4585% 0.015115306044307
Sep-17 0.0858% 5.4292% -0.001828584174355
Oct-17 0.0892% 2.5194% -0.082962605344738
Nov-17 0.1025% -0.2381% -0.045947506494535
Dec-17 0.1100% 0.5411% 0.120550462000017
Jan-18 0.1175% 5.0016% -0.025093416576187
Feb-18 0.1308% -7.8686% 0.076944071951454
Mar-18 0.1417% -1.0471% 0.036867532271575
Apr-18 0.1467% 1.4550% -0.050514900946981
May-18 0.1550% -3.1617% -0.007489715676972
Jun-18 0.1583% -3.3659% 0.011767836508711
Jul-18 0.1633% 4.2146% 0.136135346639239
Aug-18 0.1692% -4.9131% -0.018613309035272
Sep-18 0.1775% 0.1406% -0.013750564639656
Oct-18 0.1875% -9.4419% -0.063461524038462
 MARKET MODEL
Regression statistics Adidas
Multiple R rho -0.083759
0.2
R square RR 0.007016
Adjusted R square -0.02219
Standard error 0.067651 0.15
observations N 36
estimated parameters K 2
0.1

Regression Coefficients
alpha alpha 0.024892 0.05
beta beta -0.128307
T STATIC -0.490117
0
Characteristic line -15.0000% -10.0000% -5.0000% 0.0000% 5.0000% 1
Rm E[r]
Minimum -9.4419% 3.7006% -0.05
Mean 0.1106% 2.4750%
Maximum 9.7561% 1.2374%
-0.1
Adidas
0.2

0.15

0.1

0.05

0
0.0000% 5.0000% 10.0000% 15.0000%

-0.05

-0.1
 Rates of returns (en %)
Risk free DAX 50/50 PORTFOLIO
Nov-15 0.0100% 1.0491% -0.018244278505518
Dec-15 0.0192% -3.9367% -0.042947422225928
Jan-16 0.0217% -8.2362% -0.002448806730781
Feb-16 0.0258% -3.0648% 0.066391996384309
Mar-16 0.0242% 9.7561% 0.024667727809549
Apr-16 0.0192% 1.5720% 0.02370597627787
May-16 0.0225% -1.5072% 0.003754214424694
Jun-16 0.0225% -5.7343% 0.124984685031782
Jul-16 0.0250% 6.5631% 0.00856238150142
Aug-16 0.0250% 2.2932% 0.016634680856054
Sep-16 0.0242% 0.0801% -0.050167688117035
Oct-16 0.0275% -1.1600% -0.055287134441422
Nov-16 0.0375% -3.7637% 0.088793685348665
Dec-16 0.0425% 5.5509% -0.023150502924571
Jan-17 0.0425% 3.4263% 0.073653105869417
Feb-17 0.0433% 0.5008% 0.099369212158307
Mar-17 0.0617% 4.7528% 0.026044476983039
Apr-17 0.0667% 2.7442% -0.045020088651263
May-17 0.0742% 4.4160% -0.024321971710497
Jun-17 0.0817% -2.2340% 0.079362426956378
Jul-17 0.0892% 1.1896% -0.0140219200835
Aug-17 0.0842% 0.4585% 0.074030870118331
Sep-17 0.0858% 5.4292% 0.00641980337266
Oct-17 0.0892% 2.5194% -0.028057699732756
Nov-17 0.1025% -0.2381% -0.020068718610396
Dec-17 0.1100% 0.5411% 0.097266996781056
Jan-18 0.1175% 5.0016% -0.045645591611621
Feb-18 0.1308% -7.8686% 0.035370587108628
Mar-18 0.1417% -1.0471% 0.021554573049018
Apr-18 0.1467% 1.4550% -0.034525061358675
May-18 0.1550% -3.1617% -0.053376369594409
Jun-18 0.1583% -3.3659% 0.00959140221691
Jul-18 0.1633% 4.2146% -0.030790187086472
Aug-18 0.1692% -4.9131% -0.034931475290338
Sep-18 0.1775% 0.1406% -0.020213061846426
Oct-18 0.1875% -9.4419% -0.078664634172719
 MARKET MODEL
Regression statistics portfolio 50/50
Multiple R rho -0.052964 0.15
R square RR 0.002805
Adjusted R square -0.026524
Standard error 0.052464 0.1
observations N 36
estimated parameters K 2
0.05
Regression Coefficients
alpha alpha 0.007244
beta beta -0.062788 0
-15.0000% -10.0000% -5.0000% 0.0000% 5.0000% 1
T STATIC -0.309267
Characteristic line
Rm E[r] -0.05

Minimum -9.4419% 1.3172%

Mean 0.1106% 0.7174%
Maximum 9.7561% 0.1118% -0.1
ortfolio 50/50
0.15

0.1

0.05

0
0.0000% 5.0000% 10.0000% 15.0000%

-0.05

-0.1
 Rates of returns (en %)
Risk free DAX MVP
Nov-15 0.0100% 1.0491% -0.018238383579183
Dec-15 0.0192% -3.9367% -0.04890765012501
Jan-16 0.0217% -8.2362% -0.004794090087301
Feb-16 0.0258% -3.0648% 0.06760890980167
Mar-16 0.0242% 9.7561% 0.020555559633462
Apr-16 0.0192% 1.5720% 0.023769540514244
May-16 0.0225% -1.5072% -0.003784316335291
Jun-16 0.0225% -5.7343% 0.123935691352496
Jul-16 0.0250% 6.5631% 0.008176636691334
Aug-16 0.0250% 2.2932% 0.015397110907102
Sep-16 0.0242% 0.0801% -0.051197164549688
Oct-16 0.0275% -1.1600% -0.054427657922498
Nov-16 0.0375% -3.7637% 0.089308359419226
Dec-16 0.0425% 5.5509% -0.022741331229987
Jan-17 0.0425% 3.4263% 0.07281997480645
Feb-17 0.0433% 0.5008% 0.09779348240531
Mar-17 0.0617% 4.7528% 0.025722684276465
Apr-17 0.0667% 2.7442% -0.043267788441676
May-17 0.0742% 4.4160% -0.025605078559382
Jun-17 0.0817% -2.2340% 0.075092876001481
Jul-17 0.0892% 1.1896% -0.013479816532033
Aug-17 0.0842% 0.4585% 0.077565803962772
Sep-17 0.0858% 5.4292% 0.006914706625481
Oct-17 0.0892% 2.5194% -0.024763405396037
Nov-17 0.1025% -0.2381% -0.018515991337348
Dec-17 0.1100% 0.5411% 0.095869988867918
Jan-18 0.1175% 5.0016% -0.046878722113747
Feb-18 0.1308% -7.8686% 0.032876178018058
Mar-18 0.1417% -1.0471% 0.020635795495664
Apr-18 0.1467% 1.4550% -0.033565670983377
May-18 0.1550% -3.1617% -0.056129568829455
Jun-18 0.1583% -3.3659% 0.009460816159402
Jul-18 0.1633% 4.2146% -0.040805719110015
Aug-18 0.1692% -4.9131% -0.035910565265642
Sep-18 0.1775% 0.1406% -0.020600811678832
Oct-18 0.1875% -9.4419% -0.079576820780775
 MARKET MODEL
Regression statistics MVP
Multiple R rho -0.049455 0.15
R square RR 0.002446
Adjusted R square -0.026894
Standard error 0.052679 0.1
observations N 36
estimated parameters K 2
0.05
Regression Coefficients
alpha alpha 0.006185
beta beta -0.058857 0
-15.0000% -10.0000% -5.0000% 0.0000% 5.0000% 1
T STATIC -0.288724
Characteristic line
Rm E[r] -0.05
Minimum -9.4419% 1.1742%
Mean 0.1106% 0.6120%
Maximum 9.7561% 0.0443% -0.1
 MVP
0.15

0.1

0.05

0
0.0000% 5.0000% 10.0000% 15.0000%

-0.05

-0.1
Capital Asset Pricing Model
Asset observed monthly returns SML CALCULATION (ANNUAL RETUR
Beta
3 month t bill 7.8472% 0
DAX 0.1106% 1
Continental Aktiengesellschaft CON -1.0401% 0.002731
Adidas AG ADS.DE 2.4750% -0.128307
50/50 Portfolio 0.7174% -0.062788
Minimum variance portfolio MVP 0.6120% -0.058857
1.2
SML CALCULATION (ANNUAL RETURNS) 100.0000% CAPM
observed annual Calculated Abnormal
94.1667% 94.1667% 0.0000% 80.0000%
1.3270% 1.3270% 0.0000%
-12.4811% 93.9131% -106.3943% 60.0000%
29.6996% 106.0786% -76.3791%
40.0000%
8.6092% 99.9959% -91.3867%
7.3438% 99.6309% -92.2871%
20.0000%
7.0907%
0.0000%
-0.2 0 0.2 0.4 0.6 0.8 1

-20.0000%
observed annual Calculated
Linear (Calculated) Linear (Calculated)
0.8 1 1.2 1.4

Calculated
Linear (Calculated)