Portfolio Optimization

DEPARTMENT OF ECONOMICS
Uppsala University
Thesis Work Economics D
Author: Jonathan Mårtensson
Tutor: Lennart Berg
Term and Year: Autumn 2005
Portfolio optimisation
- improved risk-adjusted return?
Abstract
In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have
a higher risk level or lower expected return, compared to what may be obtained through
optimisation. It also compares the return of optimised portfolios with the return of the original
portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for
the optimisations. With the expected return and risk level used in this thesis, all portfolios can
obtain a higher expected return and a lower risk. Over a six-month period, the optimised
portfolios do not consistently outperform the original portfolios and therefore it seems as
though the optimisation do not improve the return of the portfolios. This might be due to the
uncertainty of the expected returns used in this thesis.
Keywords: Efficient frontier, mean-variance optimisation, portfolio optimisation, Sharpe

ratio
1
Table of contents
1 INTRODUCTION 3
1.1 BACKGROUND .............................................................................................................................................. 3
1.2 PURPOSE OF STUDY .................................................................................................................................... 4
1.3 LIMITATIONS ................................................................................................................................................. 4
2 THEORY 5
2.1 RETURN ....................................................................................................................................................... 5
2.2 RISK ............................................................................................................................................................. 7
2.3 OPTIMISATION - MARKOWITZ ....................................................................................................................... 8
2.4 EFFICIENT FRONTIER ................................................................................................................................... 8
2.5 CONSTRAINT EFFICIENT FRONTIER............................................................................................................. 9
2.6 SHARPE RATIO ........................................................................................................................................... 10
3 DATA 11
3.1 DATA PRESENTATION................................................................................................................................. 11
3.2 SELECTION PROCESS ................................................................................................................................ 13
4 SOFTWARE 13
4.1 RETURNS ................................................................................................................................................... 13
4.2 AEGIS PORTFOLIO MANAGER .................................................................................................................... 14
5 ANALYSIS 15
5.1 RISK-ADJUSTED RETURN ........................................................................................................................... 16
5.2 PERFORMANCE OF THE OPTIMISED AND THE ORIGINAL PORTFOLIO ......................................................... 17
6 CONCLUSIONS AND SUGGESTIONS TO FUTURE STUDIES 19

6.1 CONCLUSIONS ........................................................................................................................................... 19
6.2 SUGGESTIONS TO FUTURE STUDIES .......................................................................................................... 21
7 ACKNOWLEDGEMENTS 21
REFERENCES 22
APPENDIX A
APPENDIX B
APPENDIX C
APPENDIX D
APPENDIX E
2
1 Introduction
This section introduces the background and defines the purpose of the study. It also addresses
the limitations.
1.1 Background
There are different issues to consider when investors construct a stock portfolio. Through
magazines, friends and financial advisors they observe interesting companies to invest in and
add to their portfolios. Investment opportunities can be evaluated in different ways. A
common method is to use fundamental analysis to evaluate if a company is correctly valued at
the stock exchange. If the company is undervalued according to this method, the investor will
buy shares and assume that the markets view of the company will change so that the stock
price will increase. When the stock price has risen so that the company is overvalued or if the
stock price does not develop as predicted, the investor will sell the stock.
Another possibility is technical analysis where the investors use different methods to find
interesting stocks for their portfolios. One way is to find stocks where the stock price follows
an upward trend since they believe that this trend will continue. These investors also search
for patterns in the development of the stock price. They believe that the market will act in the
same way in similar situations and therefore assume that the stock price will develop as they
predict. Their primary belief is that by analysing stock charts, it is possible to capture the
psychology of the market.
When the investors have constructed a portfolio of several stocks one possibility is to try to
improve the performance of the portfolio with mean-variance optimisation. Given the
expected mean, variance and covariance of the stocks in a portfolio, the optimisation tries to
find the optimal combinations of the stocks. Thereby the variance of the portfolio is
minimised and the expected return is maximised according to the investor’s preferences. This
method is not widely used, which might be due to the fact that the variance and the covariance
measures of stocks and portfolios are not as extensively available as their price series.
3
1.2 Purpose of study
In a previous study of portfolio optimisation, Schwartz concludes that when portfolio
optimisation is used on the S&P 500 index, the optimised portfolios are superior to the S&P
500 concerning return and risk.1 Therefore, given the expected return and the variance, it is
interesting to analyse if Swedish investors are missing extra return or if their portfolios have a
higher risk level than if they were optimised with mean-variance optimisation.
With the necessary statistics, is it possible to achieve a higher expected return given the same
risk level with the aid of portfolio optimisation? Is it possible to construct a portfolio with a
decreased risk level, but still obtain the same expected return as the original portfolio? Will
the optimised portfolio with the highest return have a higher return than the original portfolio?
Finally, do the optimised portfolios outperform the original portfolios over a six-month period
or will optimisation only exaggerate the errors of the mean and variance estimations?
I intend to analyse if the optimised portfolios have a higher risk-adjusted return than the
original portfolios. I will also analyse a number of portfolios over a six-month period to see if
investors that utilise mean-variance optimisation will achieve a higher return.
Portfolio optimisation could be an interesting aspect for investors when they construct
portfolios if the results show a significant improvement in return. If there are no significant
improvements, portfolio optimisation could still be interesting to use since it will give the
investors a different view on their current portfolio.
The first part will address the theory of portfolio optimisation. Thereafter a description of the
data will follow along with the selection process. The software that I use is introduced which
is followed by the analysis. Finally, the conclusions of the analysis and suggestions to future
studies are presented.
1.3 Limitations
The sample in this study consists of 31 portfolios with Swedish stocks, which are valued at
approximately 500,000 SEK. Of course, a broader range of portfolios could have been tested
but due to the limited time, these portfolios were selected to analyse if optimisation improves
1
Schwarz, How to Beat the S&P 500 with Portfolio Optimization
4
the portfolios. The portfolios are only optimised at two different dates, which could have been
extended to a broader range of dates. The optimised portfolios are only analysed over a single
period, which could have been extended to multiple periods. This was not possible since an
extension would have increased the required time too much.
2 Theory
This section introduces the necessary statistical terms as well as the foundations of portfolio
optimisation. Finally, the Sharpe ratio is introduced.
2.1 Return
An investor that constructs a portfolio has an expectation that he will be able to sell it for a
higher price than the original investment. This expected return is unknown but it can be
estimated in different ways. In Schwartz’s study on the S&P 500, simple historical return
estimates were used with satisfying results.2 Since the software that I use in this study for the
risk estimates and the portfolio optimisation requires yearly expected returns for each stock, I
have to estimate them. Therefore, in order to obtain these estimates for all the stocks in the
portfolios in reasonable time it was not possible to construct a factor model, instead historical
data is used. As Fischer Black suggests in his paper on estimating the expected return,
advanced models often result in worse estimates and since there is no perfect model, I assume
a simple stock model.3 A common assumption of the stock price process is that it can be
approximately modelled as a geometric Brownian motion and therefore I assume that the
return of a stock is log-normally distributed.4 The daily sample mean of the log-returns is
1 ⎛⎜ pi ,t o ⎞⎟
rî = ln (2.1)
n ⎜⎝ pi ,t o −n ⎟⎠
where pi ,t 0 is the price of stock i at time t0 and n is the sample size.5 The sample standard
deviation is
2
Schwarz, How to Beat the S&P 500 with Portfolio Optimization
3
Black, Estimating Expected Return. p. 169
4
Luenberger, Investment Science. 1998, p. 308-309
5
Hull, Options, Futures and Other Derivatives. 2003, p. 236
5
1
⎡ n ⎛ ⎛ p i ,t ⎞ ⎞ ⎤
2 2
1
σˆ i = ⎢ ∑ ⎜ ln⎜ ⎟ − rî ⎟ ⎥
⎢ n − 1 t =1 ⎜⎝ ⎜⎝ p i ,t −1 ⎟⎠ ⎟ ⎥
(2.2)
⎣ ⎠ ⎦
where pi ,t is the price of stock i at time t and n is the sample size which I set to 90 days as
recommended by Hull.6 The sample mean and variance are daily samples, therefore by
multiplying them with 250, which is the number of trading days in a year, they are
transformed into yearly estimates. Since the geometric Brownian motion process is
lognormal, the relationship between the normal and the lognormal probability distributions
give the expected yearly return of the stock7
(rî + 12 σˆ i )250
ri = e −1 (2.3)
The expected yearly return of a portfolio is the weighted sum of the expected returns of the
stocks
s
R = ∑ wi ri (2.4)
i =1
where s is the number of stocks in the portfolio and wi is the weight of stock i in the
portfolio.8
The expected return is estimated with historical data. If a small sample of historical data is
used, the result is a high standard deviation of the estimate. On the other hand to achieve a
significantly accurate estimate, the required data set must span over a couple of years, but the
mean is in most cases not stable over such a long time as Luenberger9 and Black10 suggest.
This problem is called the mean blur. Another method could be to use the estimates of
fundamental analysts but there would be no indication of the uncertainty of these values.
6
Hull, Options, Futures and Other Derivatives. 2003, p. 239
7
Bodie, Kane and Marcus, Investments. 2002, p. 955
8
Luenberger, Investment Science. 1998, p. 140
9
Ibid. p. 215
10
Black, Estimating Expected Return. p. 169
6
These estimates are also not available for particular dates, nor are they available for all stocks,
which is necessary for the calculations.
2.2 Risk
The variance of the return of a portfolio is the expected value of the sum of each stock’s
variance and covariance11
⎡ s ⎛ ⎛ pi ,t ⎞ ⎞⎛ ⎛ p ⎞ ⎞⎤
σ 2 = E ⎢ ∑ wi w j ⎜ ln⎜⎜ ⎟ − rî ⎟⎜ ln⎜ j ,t ⎟ − rˆj ⎟⎥
⎟ (2.5)
⎢⎣i , j =1 ⎜ ⎟⎜ ⎜ p j ,t −1 ⎟ ⎟⎥
⎝ ⎝ pi ,t −1 ⎠ ⎠⎝ ⎝ ⎠ ⎠⎦
where i and j are the indices of the stocks. The standard deviation that is used as a measure
of risk is the square root of the variance
σ = σ2 (2.6)
which has the same unit as the expected return. This calculation requires the variance of each
stock in the portfolio as well as the covariance between all the stocks. As the number of
stocks in the portfolio increase, the calculations required increase rapidly. Therefore, this
method is not used for the risk calculations.
The risk analysis software Aegis Portfolio Manager developed by the company Barra is used
for the calculations of the risk estimates and the portfolio optimisation in this study. It utilise a
factor model with different market, fundamental or technical data to compute the standard
deviation of the portfolio.12 The complete calculation method of the risk estimates in Aegis
Portfolio Manager is unknown and therefore has to be treated as a black box. It is however
known, that the factor model consists of 10 factors that Barra have found to explain the risk in
the Swedish market. The factors used in the model are volatility, momentum, size, growth,
value, earnings variability, financial leverage, foreign sensitivity, labour intensity and yield. 13
I want to highlight the fact that Aegis Portfolio Manager requires expected return values for
the portfolio optimisation and since its complete risk model is unknown, it was impossible to
11
12
Barra Inc, Introduction to risk modeling
13
Barra Inc, Single Country Equity Risk Models
7
estimate the expected returns with the model used by Aegis Portfolio Manager. Therefore the
expected return values are estimated with one model and the risk values are estimated with a
different model.
2.3 Optimisation - Markowitz

When Harry M. Markowitz published his article on Portfolio Selection, the idea of
optimisation with regard to both expected return and risk was introduced. Markowitz believed
that if the investor was only interested in the expected return he would always invest
exclusively in the stock with the highest expected return, which is not the normal behaviour of
investors. Therefore, he understood that the risk of the stock had to be added to the model,
which formalised the problem to an optimisation of the mean and the variance of the
portfolio. If the expected mean and variance of each stock are used as an input to the
optimisation, the result will be an optimised portfolio with different stock weights than the
original portfolio, depending on the stock’s expected return and risk.14
2.4 Efficient Frontier

Given an original portfolio and the expected returns and risk levels of the stocks in the
portfolio, it is possible to calculate the minimum-variance frontier. This frontier consists of
the optimal portfolios, i.e. given a certain return level the portfolio with the lowest risk is the
optimal portfolio. These optimal portfolios are obtained by changing the weights of the stocks
in the original portfolio. The upper part of the minimum-variance frontier is called the
efficient frontier since it is always better to hold the portfolio with the highest expected return
given a certain risk.15 An example of a risk-return figure with the minimum-variance frontier
is available in Figure 2.1.
14
Frängsmyr, Les Prix Nobel. The Nobel Prizes 1990. 1991
15
Bodie, Kane and Marcus, Investments. 2002, p. 223-229
8
Figure 2.1. Minimum-variance frontier of portfolios where the solid line is the efficient frontier.
R Efficient Frontier
Return
Higher return given the same risk
Lower risk given the same return

Minimum-variance portfolio
Non-optimised portfolios
Risk σ
Given the portfolios in Figure 2.1, it is possible to achieve a higher expected return at the
same risk level if portfolio optimisation is used. It is also possible to decrease the risk in the
portfolio, given a certain expected return. The minimum-variance portfolio is the portfolio
with the lowest obtainable risk given the stocks in the portfolio.
2.5 Constraint Efficient Frontier

When a portfolio is optimised, it is possible to constrain the optimisation with different
limitations. One possibility is to set a constraint so that short selling of stocks is not allowed
and hence all the stocks in the portfolio are required to have zero or non-negative weights.
When constraints are introduced into the optimisation the efficient frontier decrease, resulting
in a lower obtainable return and a higher obtainable risk level. An example of a portfolio and
its efficient frontier derived through an unconstraint optimisation and two constraint
optimisations is seen in Figure 2.2.
9
Figure 2.2. Efficient Frontier of an unconstraint portfolio optimisation and two constraint optimisations where
the dot denotes the same original portfolio.
In the first example in Figure 2.2, given an unconstraint optimisation the efficient frontier is
quite broad even though the expected return does not increase significantly with increasing
risk. In the second example, the constraints are set so that the minimum weight is 10 percent
of each stock’s original weight and the maximum weight is 190 percent of the original weight.
In the third example, the constraints are set so that each stock weight is allowed to vary
between 70 percent and 130 percent of its original weight. This leads to an efficient frontier
that is even smaller and in this case, an optimisation would not change the risk or the expected
return of the portfolio significantly. Thus, it is not worthwhile to optimise portfolios given too
narrow constraints.
In all the portfolio optimisations, constraints are set so that each stock weight can be
minimised to 10 percent of its original weight or maximised to 190 percent of its original
weight. These constraints are used since I intend to maintain the stocks of the original
portfolio. Unconstrained portfolio optimisation often result in portfolios with less stocks than
the original portfolios. This is due to the characteristic of optimisation, i.e. the process will
exclude every stock that decrease the return or increase the risk in the portfolio to create the
optimal portfolio. If tighter constraints are set, the efficient frontier is small and close to the
original portfolio and thus optimisation does not change the portfolio enough, which is
apparent in the last example in Figure 2.2.
2.6 Sharpe ratio

A portfolio is optimised with regard to the expected return and risk. Therefore, these two
factors must be considered in a measure of how optimal the portfolio is. The Sharpe ratio, a
risk-adjusted performance measure is
10
R − rf
S= (2.7)
σ
where R is the return of the portfolio, rf is the risk-free rate and σ is the total portfolio
risk.16 I set the risk-free rate rf = 0 since that is approximately the risk-free rate that an
investor receives today. It should be noted that the Sharpe ratio is not valid for negative
returns since a lower risk would result in a lower ratio.
3 Data
This section introduces the data and describes how the portfolios were selected.
3.1 Data presentation

The necessary data for the analysis is a number of portfolios from different investors. Ideally
the investors risk level and other financial holdings would have been provided but it was
impossible to obtain such details. The data material was obtained from Handelsbanken and
initially it consisted of 50 portfolios sampled 2005-11-11, each worth approximately 500,000
SEK. There is approximately between 5 and 19 Swedish stocks in each portfolio and in
certain cases subscription rights to new shares have been replaced with the stock shares
instead. A complete listing of the portfolios used in this thesis along with their modifications
can be found in Appendix B. An example of a portfolio is presented in Table 3.1.
Table 3.1. An example of a portfolio sampled 2005-11-11 with the number of shares, their value and the share
price.
Company Shares Value Share price
Portfolio 1
Anoto Group 1,000 24,800 24.8

Electrolux B 200 38,300 191.5
Ericsson B 3,000 79,800 26.6
SCA B 100 27,800 278
Scania B 500 140,250 280.5
Skandia 1,500 63,000 42
Trelleborg 1,200 151,800 126.5
525,750
16
Bodie, Kane and Marcus, Investments. 2002, p. 812
11
The example portfolio in Table 3.1 consists of seven stocks and has a total value of 525,750
SEK. The greater part of the portfolio consists of Scania B and Trelleborg, which together
represent approximately 56 percent of the portfolio. When examining the other portfolios, a
few stocks often represent a large portion of the total value of the portfolios. Ericsson B is a
regular stock in many portfolios where it often represents the largest holding in the portfolio.
Therefore, a number of portfolios seem to depend on the development of the Ericsson B stock.
Figure 3.1. Risk-return diagram of the portfolios 2005-11-11 based on the expected return described in section
2.1 and the risk values computed by Aegis Portfolio Manager.
70
60
50
40
Return (%)
30
20
10
-10
19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38
Risk (%)
As seen in Figure 3.1, the majority of the portfolios have a risk level close to 24 percent or
less and hence most investors do not have a high risk-level.17 There is however, a group of six
portfolios with a standard deviation of approximately 30 percent and two portfolios with a
standard deviation of 37 percent, which is a rather high risk-level. Those investors might have
a large portion of their total wealth in other low-risk securities and therefore compensate those
securities with a high-risk stock portfolio. Figure 3.1 does not indicate that a higher risk level
in the portfolio automatically result in a higher expected return. Instead, all the high-risk
portfolios seem to have a lower expected return than the low-risk portfolios according to the
estimates. This might be an indication that an optimisation can improve the portfolios.
17
12
3.2 Selection process
The 50 portfolios obtained from Handelsbanken consist of Swedish stocks, but in certain
cases, there were other securities in the portfolio. These securities were not always available
in the risk analysis software and if they represented more than five percent of the portfolio,
the portfolio was excluded from the analysis. In certain cases, it was not possible to calculate
the estimated mean due to a short stock price history. This also meant that the portfolio was
excluded if the stock represented more than five percent of the portfolio. Therefore, the
number of portfolios was reduced from 50 to 31.
Out of the 31 remaining portfolios, some were modified so that they could be used in Aegis
Portfolio Manager. In portfolio 5, 10, 11, 19, and 23 subscription rights to new shares in the
company Gambro was replaced with real shares in Gambro valued equally since they would
affect the portfolio in the same way. In portfolio 6 and 22 one stock was recently introduced
to the stock exchange and thus there was not enough historic data to calculate the expected
return. In both portfolios, the stock represented less than five percent of the portfolio value
and therefore those stocks were excluded from the portfolios. Portfolio 7, 14 and 23 had
securities that are not available in Aegis Portfolio Manager but once again, they also
represented less than five percent of their respective portfolios and therefore those portfolios
were used but the securities were excluded.
4 Software
In this section the software Returns developed in Matlab and the risk analysis software Aegis
Portfolio Manager developed by Barra is presented.
4.1 Returns
I have developed a program in Matlab that calculates the expected yearly returns of the stocks
since they are necessary for the optimisations in Aegis Portfolio Manager. The software
calculates the expected return as described in Section 2.1 and saves the result to a data file.
These values are imported into Aegis Portfolio Manager for the mean-variance optimisations.
The data series of the stock prices used in the calculations were obtained from the technical
analysis program Vikingen.18
18
Avanza Vikingen AB, Vikingen Option
13
4.2 Aegis Portfolio Manager
Aegis Portfolio Manager is a risk analysis software developed by Barra that allow the user to
analyse the risk of portfolios as well as optimise portfolios given that the user provide the
expected return of the stocks.19 It also allows the user to set constraints on the optimisation
and thus it provides the necessary tools for the calculations.20
An efficient frontier optimisation in Aegis Portfolio Manager produce a frontier consisting of

40 portfolios from which it is possible to select the same-return portfolio and the same-risk
portfolio. A standard optimisation that results in the optimal portfolio according to Aegis
Portfolio Manager will for the most part result in the portfolio with the highest expected
return on the efficient frontier. An example of the optimised portfolios used in this thesis
under such circumstances is available in Figure 4.1.
Figure 4.1. Efficient frontier of an original portfolio with the chosen same-return portfolio, same-risk portfolio
and the standard optimised portfolio.
For some portfolios, the original portfolio has a lower expected return than the portfolios on
the efficient frontier as seen in Figure 4.2. In those cases, the same-return portfolio was
chosen to be the portfolio on the efficient frontier with the lowest expected return. This meant
that the optimised same-return portfolio had a higher expected return than the original
19
Barra Inc, Portfolio Management and Risk Control
20
Barra Inc, Paring Constraints and Optimal Portfolios in the Aegis Optimizer
14
portfolio. Therefore, both the risk and the expected return changed when the expected return
should have remained at the same level as the original portfolio.
There are also original portfolios with a higher risk than the portfolios on the efficient frontier
and in those cases, the same-risk portfolio was chosen to be the portfolio with the highest risk
on the efficient frontier. The resulting same-risk portfolio has a lower risk than the original
portfolio. In certain cases, this portfolio was the same portfolio as the standard optimisation
portfolio. An example of this is seen in Figure 4.2.
Figure 4.2. Efficient frontier of an original portfolio with a lower expected return and a higher risk than the
portfolios on the efficient frontier. The chosen same-return portfolio has a higher expected return than the
original portfolio and the chosen same-risk portfolio has a lower risk than the original portfolio.
5 Analysis
This section contains the analysis of the optimisations. The first part analyse whether
optimisation improves the portfolios with regard to risk and expected return 2005-11-11. The
second part optimises the portfolios 2005-05-11 and compares the return of the optimised
portfolios and the original portfolios 2005-11-11.
15
5.1 Risk-adjusted return
The analysed portfolios were sampled 2005-11-11 and since they are optimised in Aegis
Portfolio Manager at the same date, it is possible to analyse if optimisation improves the risk-
adjusted return of the portfolios. This optimisation is based on the expected value calculated
in Returns and the standard deviation from Aegis Portfolio Manager. The investor of each
portfolio might have optimised the portfolio with respect to a different expected return and
standard deviation than the ones that I have used. In that case, the original portfolio is optimal
according to that investor’s estimates. The return and risk of all the optimised portfolios and
the original portfolios are available in Appendix C. It also contains the Sharpe ratios of all the
portfolios where the risk-free rate is set to zero. Table 5.1 contains the optimised portfolios
Sharpe ratios relative to their original portfolios Sharpe ratios. It intends to give an overview
of the difference between the original portfolios and the optimised portfolios.
Table 5.1. Sharpe ratios of all optimised portfolios relative to their original portfolios Sharpe ratios 2005-11-11.
Same-Return Sharpe Ratio / Same-Risk Sharpe Ratio / Standard Optimisation Sharpe Ratio /
Portfolio Original Sharpe Ratio Original Sharpe Ratio Original Sharpe Ratio
1 1.39* 2.17^ 2.17
2 1.05 1.21 1.30
3 1.08 1.54 1.48
4 1.27 2.90^ 2.90
5 1.14* 1.53 1.55
6 1.04 1.16 1.05
7 1.25 3.42 3.47
8 1.55* 1.54^ 1.54
9 2.12* 2.00^ 2.00
10 1.12 2.58 2.58
11 1.04 1.16 1.35
12 1.71* 1.86^ 1.86
13 1.09 1.55^ 1.55
14 0* Negative Negative
15 1.12* 2.08 2.20
16 1.14* 1.20 1.15
17 1.19 1.74 1.65
18 1.82* 2.16^ 2.16
19 1.69* 1.84^ 1.84
20 2.41* 2.49^ 2.49
21 1.25* 1.92 1.92
22 1.07 1.37 1.44
23 1.16 1.92 1.77
24 1.05 1.68 1.76
25 1.04 1.05 1.02
26 2.16* 2.16^ 2.16
27 1.87* 2.11^ 2.11
28 1.11 1.88 1.82
29 1.63* 3.01 2.92
30 2.28* 3.98 3.96
31 1.05 2.01 2.41
Mean of * and ^ 1.69* 2.07^
Mean of other 1.11 1.92
Total mean 1.40 1.97 1.99
* indicate that the chosen same-return portfolio has a higher expected return than the original portfolio.
^ indicate that the chosen same-risk portfolio has a lower risk than the original portfolio. In those cases, the
same-risk portfolio is often the same portfolio as the standard optimised portfolio.
16
The results in Table 5.1 indicate that all portfolios have a higher Sharpe ratio after the
optimisation. Therefore, the optimisation improves the original portfolio concerning the risk
and return. Portfolio 14 has a negative original Sharpe ratio and therefore this measure cannot
be used to analyse how much it is improved. The portfolios optimised with regard to the same
return increase marginally in the Sharpe ratio compared to the portfolios optimised with
regard to the same risk and the standard optimised portfolios. When there is a larger increase
in the same-return optimised portfolios, it is mostly because the chosen optimised same-return
portfolio has a higher return than the original portfolio. In those situations, both the risk and
the return change when the return should have been the same. The same-return portfolios are
quite close to the efficient frontier with respect to risk and thus there is not a considerable
difference between the original and the optimised portfolio.
The portfolios optimised with respect to the same risk often have a noteworthy higher Sharpe
ratio than their original portfolios. Therefore, a better result is obtained for this optimisation
type than for the same-return optimisation. The standard optimised portfolios have
approximately the same improvements in the Sharpe ratio as the portfolios optimised with
respect to the same risk. In certain cases, the increase in the Sharpe ratio is lower for the
standard optimised portfolios and thus it seems as though the increased expected return is not
enough to balance the increased risk. Thus, optimisation seems to improve the expected return
and the risk level in the portfolios with regard to the expected return and the standard
deviation that I have used.
5.2 Performance of the optimised and the original portfolio

In this analysis, the portfolios are optimised 2005-05-11 and the return of the original
portfolios and the optimised portfolios are compared 2005-11-11. Thereby it is possible to
evaluate if the optimised portfolios have a significantly higher return than the original
portfolios. When the portfolios are optimised, the weights of the stocks change so that in
certain cases the value of the original portfolios and the optimised portfolios may differ
slightly but not significantly at the optimisation date. Detailed data of the stocks in each
original portfolio and how their weights change in the optimised portfolios are available in
Appendix D. All the differences in value between the original portfolios and the optimised
portfolios are available in Appendix E. An overview of the ratios between the value of the
optimised portfolios and the original portfolios 2005-11-11 is available in Table 5.2.
17
Table 5.2. Ratios of all optimised portfolio values relative to their original portfolio values 2005-11-11.
Same-Return Portf. Value / Same-Risk Portf. Value / Standard Optimisation Portf. Value /
Portfolio Original Portfolio Value Original Portfolio Value Original Portfolio Value
1 0.977 0.998 1.009
2 0.967 0.988 0.998
3 1.097* 1.218 1.244
4 1.068* 1.051^ 1.049
5 1.017* 1.021 1.033
6 1.026* 1.026 1.028
7 0.955* 0.976^ 0.976
8 1.032* 1.035 1.034
9 0.992 0.984 0.985
10 0.985 1.137 1.151
11 1.010 1.019 1.097
12 1.067* 1.489^ 1.489
13 1.053* 1.026 1.022
14 0.951 0.979^ 0.979
15 1.041 0.959 0.761
16 0.982* 0.828 0.828
17 0.968 1.014 1.014
18 1.071 1.008 1.071
19 1.295* 1.323^ 1.323
20 1.004 0.980 0.973
21 1.278* 1.291^ 1.291
22 1.113 1.075 1.024
23 0.995* 0.984^ 0.984
24 1.081 0.889 0.866
25 0.954* 0.965 0.963
26 0.987* 1.005^ 1.005
27 0.797 0.822 0.829
28 0.971* 0.988 0.988
29 0.996 0.973 0.979
30 0.997 0.992 0.919
31 0.959* 0.955^ 0.948
Mean of * and ^ 1.046* 1.117^
Mean of other 0.997 0.998
Total mean 1.022 1.032 1.028
* indicate that the chosen same-return portfolio has a higher expected return than the original portfolio
2005-05-11. ^ indicate that the chosen same-risk portfolio has a lower risk than the original portfolio
2005-05-11. In those cases, the same-risk portfolio is often the same portfolio as the standard optimised
portfolio.
The same-return optimisation in the first column in Table 5.2 indicates that the optimised
portfolios seem to be concentrated around the same value as the original portfolios. Portfolio
19 and 21 outperform their respective original portfolios with approximately 28 percent,
which is a significant improvement. However, their original portfolios 2005-05-11 have a
negative expected return and therefore the chosen same-return optimised portfolios have a
higher expected return. On the other hand, portfolio 27 underperforms its original portfolio
even though the optimised portfolio has the same expected return as the original portfolio
2005-05-11. It should be noted that portfolios 3, 5, 6, 12, 19 and 21 have a negative expected
return in their original portfolio 2005-05-11. Therefore, it does seem as though the optimised
same-return portfolios approximately achieve the same return as their original portfolios.
18
The portfolios optimised with respect to the same risk in the second column in Table 5.2 seem
to be concentrated around their original portfolios. Four of the portfolios outperform their
original portfolios with more than 20 percent but at the same time, three portfolios
underperform their original portfolios with more than 10 percent. Once again, all the
portfolios that have a negative expected return in their original portfolios 2005-05-11
outperform their original portfolio 2005-11-11.
The results in section 5.1 indicate that the portfolios optimised with respect to risk 2005-11-11
have a notably higher expected return than their original portfolios. This is also true for the
same-risk optimised portfolios 2005-05-11, but their values do not seem to be significantly
higher compared to their original portfolios 2005-11-11, as seen in the second column in
Table 5.2. This period do not confirm the results in section 5.1 and therefore it seems as
though the improvements from portfolio optimisation can be questioned over this period.
The standard optimised portfolios all have a notably higher expected return than their original
portfolios 2005-05-11, as seen in Appendix C. However, they do not seem to consistently
outperform their original portfolios over this six-month period. The result is quite similar to
the portfolios optimised with respect to the same risk. Four portfolios outperform their
original portfolios with more than 20 percent but at the same time, four portfolios
underperform their original portfolios with more than 10 percent. Thus, it does not seem as
though portfolio optimisation improve the portfolios over this six-month period. Given these
results, a significance test to evaluate if the optimised portfolios outperform the original
portfolios would not be worthwhile. This is also the case for the portfolios with a negative
expected return in the original portfolio since that sample is too small.
6 Conclusions and suggestions to future studies

In this section, the conclusions derived from the analysis and suggestions to future studies is
presented.
6.1 Conclusions
I have evaluated if it is possible to obtain a higher expected return with portfolio optimisation,
given a certain risk, with the aid of the risk analysis software Aegis Portfolio Manager. I have
19
also examined if it is possible to optimise a portfolio with the same expected return as the
original portfolio to achieve a lower risk. The original portfolios were also optimised with
standard optimisation, which in most cases resulted in the portfolios with the highest risk on
their efficient frontiers. These optimised portfolios were compared to their original portfolios
with the aid of the Sharpe ratio. Finally, a six-month period was used to analyse if the
optimised portfolios performed as expected.
The Sharpe ratios indicate that most portfolios benefit to some extent when they are optimised
with the same return. When optimising portfolios with the same risk and the standard
optimisation the Sharpe ratios indicate a larger improvement than for the same-return
portfolios. Therefore, it seems, as the optimisation should be used to increase the expected
return in the portfolio and not to decrease the risk level in the portfolio since the difference in
risk is rather small in most portfolios. The improvement in Sharpe ratios when optimisation is
used might be due to the estimates of expected return and risk. If the investors used different
estimates for the mean and variance, the original portfolios are optimised according to their
optimal frontier.
When the portfolios are optimised 2005-05-11 and the return of the original portfolios and the
optimised portfolios are compared 2005-11-11, the results indicate that the optimised
portfolios do not consistently outperform the original portfolios over the six-month period.
Thus, mean-variance optimisation with the estimated expected return and Aegis Portfolio
Manager’s risk values do not seem to be a profitable investment method. This might be due to
the uncertain estimate of the expected return, which is an important factor in the optimisation.
If the original portfolio has a negative expected return, the optimised portfolios consistently
outperform the original portfolios. This indicates that when the optimised portfolio has a
considerably higher expected return than the original portfolio, optimisation might improve
the return of the portfolio. In order to test this statistically, a larger number of portfolios with
this characteristic are necessary.
The result might depend on the estimated expected returns, which are uncertain. One should
bear in mind that mean-variance optimisation modify portfolios so that a few stock weights
are maximised and the other stock weights are minimised as much as possible. Therefore, if
the expected value or the risk is incorrect, optimisation will lead to an exaggeration of those
errors.
20
Given the above discussion, the optimisation method that I have used does not seem to
improve the return of the investor’s portfolio.
6.2 Suggestions to future studies

Given the conclusions, it would be interesting to analyse a larger number of portfolios and
over different periods, to evaluate if the optimised portfolios with a considerably higher
expected return consistently outperform the original portfolios. Since the data that I have used
concerns portfolios with an approximate value of 500,000 SEK, it would also be interesting to
analyse portfolios of different values in that case. Another interesting topic is whether
different expected return and risk values obtained from other estimation procedures would
improve the result of portfolio optimisation.
7 Acknowledgements
I would like to thank Professor Lennart Berg at the Department of Economics at Uppsala
University for his support and ideas throughout the process. I would also like to thank Jan
Aronsson and Mikael Forssén at Handelsbanken for their guidance and discussions. Finally, I
would like to thank Magnus Karlsson at Handelsbanken for his guidance in Aegis Portfolio
Manager.
21
References
Literature
Books
Bodie, Z, Kane A and Marcus, A. Investments. McGraw-Hill: 2002
Frängsmyr, T. Les Prix Nobel. The Nobel Prizes 1990. Nobel Foundation: 1991
Hull, J. Options, Futures, And Other Derivatives. Prentice Hall: 2003
Luenberger, D. Investment Science. Oxford: 1998

Articles
Black, F (1994), “Estimating Expected Return” Financial Analysts Journal, Jan/Feb 1995,
Volume 51, Issue 1, p. 168 – 171
Web documents
Avanza Vikingen AB, “Vikingen Option”
http://www.avanzavikingen.se/templates/Product.aspx?PageID=247 (2005-12-04)
Barra Inc, (2004-03-25) “Introduction to risk modeling”

http://www.barra.com/support/library/intro_risk_modeling.pdf (2005-11-16)
Barra Inc, (2002-01-09) “Paring Constraints and Optimal Portfolios in the Aegis Optimizer”
http://www.barra.com/support/library/optimizer_constraints.pdf (2005-11-16)
Barra Inc, (2002-04-01). “Portfolio Management and Risk Control”

http://www.barra.com/products/pdfs/AegisDataPortManRiskControl.pdf (2005-11-16)
Barra Inc, (2002-04-01). ”Single Country Equity Risk Models”

http://www.barra.com/products/pdfs/SingleCountryEquity.pdf (2005-11-16)
Schwartz, T, (2000-03-15). “How to Beat the S&P 500 with Portfolio Optimization”
http://www.departments.bucknell.edu/management/apfa/Dundee%20Papers/27Schwartz.pdf
(2005-11-18)
22
%-------------------------------------------------------------------------
%Set the Date Fields to the starting dates
% --- Returns Version 1.0 Copyright 2005, Jonathan Mårtensson set(handles.activex1,'Value','2005-05-11');
set(handles.activex2,'Value','2005-11-11');
%-------------------------------------------------------------------------
% Update handles structure
guidata(hObject, handles);
function varargout = Returns(varargin)
Appendix A
%-------------------------------------------------------------------------
%-------------------------------------------------------------------------
% --- Outputs from this function are returned to the command line.
function varargout = Returns_OutputFcn(hObject, eventdata, handles)
% --- Begin initialization code - DO NOT EDIT % varargout cell array for returning output args (see VARARGOUT);
gui_Singleton = 1;
gui_State = struct('gui_Name', mfilename, ... % Get default command line output from handles structure
'gui_Singleton', gui_Singleton, ... varargout{1} = handles.output;
'gui_OpeningFcn', @Returns_OpeningFcn, ...
'gui_OutputFcn', @Returns_OutputFcn, ...
The Matlab code for the program Returns.
'gui_LayoutFcn', [] , ... %-------------------------------------------------------------------------

'gui_Callback', []);
23
if nargin && ischar(varargin{1})
gui_State.gui_Callback = str2func(varargin{1}); % --- Function for the File menu
end function FileMenu_Callback(hObject, eventdata, handles)
if nargout
[varargout{1:nargout}] = gui_mainfcn(gui_State, varargin{:}); % ------------------------------------------------------------------------
else
gui_mainfcn(gui_State, varargin{:});
end % --- Function for the Print menu choice
% End initialization code - DO NOT EDIT function PrintMenuItem_Callback(hObject, eventdata, handles)
%Load the current handles

%------------------------------------------------------------------------- handles = guidata(gcbo);
%Rotate the figure to fill the paper

% --- Executes just before Returns is made visible. orient rotated;
function Returns_OpeningFcn(hObject, eventdata, handles, varargin) %Set the papersize to A4
set(gcf, 'PaperPositionMode', 'manual');
% Choose default command line output for Returns set(gcf, 'PaperUnits', 'centimeters');
handles.output = hObject; set(gcf, 'PaperPosition', [1 1 25 19]);
%Print
printdlg(handles.figure1)
% ------------------------------------------------------------------------ % ------------------------------------------------------------------------
% --- Function for the Exit menu choice % --- Executes on button press in computebutton.
function ExitMenuItem_Callback(hObject, eventdata, handles) function computebutton_Callback(hObject, eventdata, handles)
%Use a question dialog to ask if the user wants to exit %Load the current handles
selection = questdlg(['Do you want to exit ' get(handles.figure1,'Name')... handles = guidata(gcbo);
'?'],['Exit ' get(handles.figure1,'Name') '...'], ...
'Yes','No','Yes'); %Set the data sample mean
%If the user answers No return to the program data_sample_mean = 0;
if strcmp(selection,'No')
return; %Set the sample size
end sample_size = 90;
%Otherwise end the program %Get the selected Filename from the Choose Data File Box
delete(handles.figure1) filename_properties = get(handles.activex3);
filename = filename_properties.FileName;
% ------------------------------------------------------------------------ %Load the data from the file

data = ascii2fts(filename);
24
% --- Function for the Help menu %Extract info about the timeseries object
function HelpMenu_Callback(hObject, eventdata, handles) infodata = ftsinfo(data);
%Extract the timeseries enddate

% ------------------------------------------------------------------------ data_end_date = datenum(infodata.enddate);
%Get the selected date from the First Date Box

% --- Function for the About menu choice first_date_properties = get(handles.activex1);
function AboutReturns_Callback(hObject, eventdata, handles) first_date = first_date_properties.Value;
first_date_num = datenum(first_date, 'yyyy-mm-dd');
%Use a help dialog to present the information
helpdlg('Returns Version 1.0 Copyright 2005, Jonathan Mårtensson', ... %Get the selected date from the Second Date Box
'About Returns') second_date_properties = get(handles.activex2);
second_date = second_date_properties.Value;
second_date_num = datenum(second_date, 'yyyy-mm-dd');
%-------------------------------------------------------------------------
%Set the calculation date to the First Date
n = length(busdays(first_date_num, data_end_date)) - 1;
function activex3_StateChanged(hObject, eventdata, handles)
%First Date
for i = 0:1 text(0.5,0.9,'First Date','Units','Normalized', ...
%Extract the data from the data timeseries 'BackgroundColor',[1 1 1],'HorizontalAlignment','center');
data_vector = getfield(data, 'series1'); text(0.15,0.7,'Date','Units','Normalized', ...
'BackgroundColor',[1 1 1]);
%Create the data log return vector text(0.15,0.6,num2str(first_date),'Units','Normalized', ...
data_log_return_vector = log(data_vector(2:end)./ ... 'BackgroundColor',[1 1 1]);
data_vector(1:end-1)); text(0.5,0.7,'Sample Mean','Units','Normalized', ...
'BackgroundColor',[1 1 1]);
%Calculate the daily data sample mean text(0.5,0.6,num2str(mean_return(1,1)), ...
data_sample_mean = 1/sample_size*log(data_vector(end-n)/ ... 'Units','Normalized','BackgroundColor',[1 1 1]);
data_vector(end-sample_size-n)); %Second Date
text(0.5,0.4,'Second Date','Units','Normalized', ...
%Create a portfolio log return vector for the variance calculations 'BackgroundColor',[1 1 1],'HorizontalAlignment','center');
sample_log_return_vector = [ ... text(0.15,0.2,'Date','Units','Normalized', ...
data_log_return_vector(end-sample_size-n+1:end-n)]; 'BackgroundColor',[1 1 1]);
text(0.15,0.1,num2str(second_date),'Units','Normalized', ...
%Calculate the variance for the data 'BackgroundColor',[1 1 1]);
variance = 1/(sample_size-1) * ... text(0.5,0.2,'Sample Mean','Units','Normalized', ...
sum((sample_log_return_vector(1:end,1) - ... 'BackgroundColor',[1 1 1]);
data_sample_mean).* ... text(0.5,0.1,num2str(mean_return(2,1)),'Units','Normalized', ...
25
(sample_log_return_vector(1:end,1) - ... 'BackgroundColor',[1 1 1]);
data_sample_mean));
%Set the Filename to write the returns to
%Calculate the daily sample mean of the stock return filename = strrep(filename, '.txt', '_returns.txt');
mean_return(i+1,1) = (exp((data_sample_mean + ...
0.5 * variance)*250)-1); fid = fopen(filename,'w');
%Change the calculation date to the Second Date fprintf(fid,'%11.8f\t%11.8f', mean_return(1,1), mean_return(2,1));
n = length(busdays(second_date_num, data_end_date)) - 1; fclose(fid);
end
% Update handles structure
%Set the text in Result Field guidata(hObject, handles);
axes(handles.axes1);
cla; % ------------------------------------------------------------------------
% --- Function for the Returns Help menu choice

function ReturnsHelp_Callback(hObject, eventdata, handles)
%Use a help dialog to present the information

helpdlg('Choose the datafile and the dates that you want to calculate the
estimated returns for. Then press Compute to see the result and create a
datafile with the results.', ...
'Returns Help')
Appendix B
The portfolios used in the thesis.
All portfolios extracted 2005-11-11
Portfolio 1
Anoto Group 1000 24800 24.8

Electrolux B 200 38300 191.5
Ericsson B 3000 79800 26.6
SCA B 100 27800 278
Scania B 500 140250 280.5
Skandia 1500 63000 42
Trelleborg 1200 151800 126.5
525750
Portfolio 2
Öresund 300 60600 202

Industrivärden C 1000 187000 187
Investor B 1400 170100 121.5
Kinnevik B 350 22312.5 63.75
Nordea 500 41000 82
Ratos B 200 35200 176
516212.5
Portfolio 3
Assa Abloy 100 11600 116

AstraZeneca SDB 50 18325 366.5
Boliden 225 10057.5 44.7
Ericsson B 500 13300 26.6
Framfab 7000 7350 1.05
Svenska Handelsbanken A 200 37300 186.5
Hennes & Mauritz B 300 75600 252
Ledstiernan 500 1985 3.97
Maxim Pharmaceuticals 50 502.5 10.05
New Wave Group 1728 133920 77.5
Nexus 420 1411.2 3.36
Nokia 100 14000 140
Sandvik 288 110160 382.5
SCA B 100 27800 278
SKF B 200 21200 106
Switchcore 720 1094.4 1.52
Telelogic 150 2670 17.8
Tele2 B 150 12262.5 81.75
TeliaSonera 300 12210 40.7
512748.1
Portfolio 4

Ericsson B 4400 117040 26.6
Ledstiernan 3600 14292 3.97
Nordea 1400 114800 82
Nokia 600 84000 140
Swedish Match 5 457.5 91.5
Tele2 B 300 24525 81.75
Tieto Enator 87 22707 261
Volvo B 5 1702.5 340.5
516974
Appendix B
Portfolio 5
Assa Abloy 200 23200 116

Axfood 150 31350 209
Föreningssparbanken 200 41300 206.5
Gambro A 336 28476 84.75 OBS 250 Gambro A subscription rights to
Svenska Handelsbanken B 400 74400 186 new shares worth 7225 has been replaced
Holmen B 100 24700 247 with 86 Gambro A shares worth 7288.50
Investor B 400 48600 121.5
Ratos B 200 35200 176
SCA B 200 55600 278
Securitas 300 36150 120.5
Skanska B 200 24000 120
Volvo B 200 68100 340.5
Westergyllen 400 26400 66
517476
Portfolio 6
Ericsson B 1406 37399.6 26.6

Svenska Handelsbanken A 1323 246739.5 186.5
Svenska Handelsbanken B 129 23994 186
Hufvudstaden A 43 2322 54
Invik & Co AB B 70 4690 67 OBS Missing expected return
Kinnevik B 700 44625 63.75 but such a small portion of the
NCC A 400 56400 141 portfolio that it is removed
Nordea 500 41000 82
SCA B 532 147896 278
SEB A 80 12400 155
625606.1
Portfolio 7
Biophausia 3600 11088 3.08

Ericsson B 12500 332500 26.6
Hebi Healthcare 80000 9600 0.12
NCC B 200 28200 141
Nokia 100 14000 140
TO Hebi Healthcare 03/06 6666 66.66 0.01 OBS Not available in Barra but such a small
TeliaSonera 1000 40700 40.7 portion of the portfolio that it is removed
511754.66
Portfolio 8
Electrolux B 115 22022.5 191.5

Ericsson B 5000 133000 26.6
Investor B 400 48600 121.5
Onetwocom 800 112 0.14
Sandvik 96 36720 382.5
SEB A 335 51925 155
SEB C 48 7104 148
SSAB B 180 42390 235.5
Trelleborg 183 23149.5 126.5
516335
Appendix B
Portfolio 9
Atlas Copco A 27 4306.5 159.5

Billerud 74 7085.5 95.75
Electrolux B 167 31980.5 191.5
Ericsson B 8868 235888.8 26.6
Nordea 700 57400 82
SCA A 34 9350 275
SCA B 92 25576 278
SEB A 414 64170 155
Volvo A 254 83566 329
519323.3
Portfolio 10
ABB LTD SDB 500 33375 66.75

Bilia 100 13600 136
Connecta 535 22042 41.2
Electrolux B 95 18192.5 191.5
Ericsson B 66 1755.6 26.6
Gambro B 268 22780 85 OBS 200 Gambro B subscription rights to new
Svenska Handelsbanken B 100 18600 186 shares worth 5780 has been replaced with
Hennes & Mauritz B 200 50400 252 68 Gambro B shares worth 5780
Klövern 957 21149.7 22.1
Mekonomen 400 36200 90.5
Micronic Laser Systems 300 27450 91.5
New Wave Group 864 66960 77.5
Nokia 200 28000 140
Securitas 200 24100 120.5
Skanska B 500 60000 120
Skandia 400 16800 42
Trelleborg 200 25300 126.5
Viking Telecom 6300 11907 1.89
516936.8
Portfolio 11
ABB LTD SDB 2856 190638 66.75 OBS 1530 Gambro A subscription rights
Ericsson B 600 15960 26.6 to new shares worth 44217 has been replaced
Gambro A 2052 173907 84.75 with 522 Gambro A shares worth 44239.5
Gambro B 516 43860 85 OBS 385 Gambro B subscription rights
SCA B 300 83400 278 to new shares worth 11126.50 has been replaced
TeliaSonera 400 16280 40.7 with 131 Gambro B shares worth 11135
524045
Portfolio 12
Anoto Group 666 16516.8 24.8

Connecta 500 20600 41.2
Ericsson B 7000 186200 26.6
Klövern 176 3889.6 22.1
Nokia 1000 140000 140
Pricer 6666 6466.02 0.97
Skandia 800 33600 42
Tele2 B 1500 122625 81.75
529897.42
Portfolio 13
Boss Media 1000 22200 22.2

Cisl Gruppen 100000 32000 0.32
Ericsson B 4000 106400 26.6
Lundin Mining 2000 171500 85.75
Lundin Petroleum 1000 80750 80.75
Telelogic 4000 71200 17.8
West Siberian Resources 15000 66150 4.41
550200
Appendix B
Portfolio 14
Billerud 35 3351.25 95.75

Ericsson B 8184 217694.4 26.6
Genline 1350 6750 5
Karo Bio 466 4147.4 8.9
Karo Bio BTA 051024 699 6046.35 8.65 OBS Not available in Barra
Scania A 18 5022 279 but such a small portion of the
Skandia 2000 84000 42 portfolio that it is removed
Volvo B 300 102150 340.5
517361.4
Portfolio 15
Ericsson B 2000 53200 26.6

Kungsleden 600 128700 214.5
Ratos B 500 88000 176
Sandvik 192 73440 382.5
SCA B 300 83400 278
SEB A 200 31000 155
508140
Portfolio 16
Öresund 200 40400 202

ABB LTD SDB 204 13617 66.75
Atlas Copco A 153 24403.5 159.5
Atlas Copco B 351 50017.5 142.5
Boliden 16 715.2 44.7
Investor B 300 36450 121.5
Nordea 800 65600 82
Sandvik 4 1530 382.5
521783.2
Portfolio 17
ABB LTD SDB 530 35377.5 66.75

Ericsson B 2400 63840 26.6
Intrum Justitia 300 20325 67.75
MTG B 250 77125 308.5
Nordea 400 32800 82
SCA B 150 41700 278
Scania B 100 28050 280.5
Securitas 200 24100 120.5
Telelogic 2000 35600 17.8
514562.5
Portfolio 18
Ericsson B 10000 266000 26.6

Framfab 28000 29400 1.05
Maxim Pharmaceuticals 100 1005 10.05
Modul1 2500 2050 0.82
SSAB A 900 224550 249.5
523005
Appendix B
Portfolio 19
Atlas Copco A 195 31102.5 159.5

Billerud 324 31023 95.75
Ericsson B 2976 79161.6 26.6
Gambro A 215 18221.25 84.75 OBS 160 Gambro A subscription rights to new
Svenska Handelsbanken A 360 67140 186.5 shares worth 4624 has been replaced with 55
Sandvik 125 47812.5 382.5 Gambro A shares worth 4661.25
Scania A 10 2790 279
SKF B 256 27136 106
Tele2 B 1200 98100 81.75
Volvo B 240 81720 340.5
522578.6
Portfolio 20
Electrolux B 405 77557.5 191.5

Ericsson B 10191 271080.6 26.6
Holmen B 200 49400 247
Investor B 100 12150 121.5
Nokia 8 1120 140
SEB A 399 61845 155
SEB C 4 592 148
SKF B 160 16960 106
TMG Int 50 54.5 1.09 OBS Not available in Barra 2005-05-11
515959.6 but such a small portion of the
portfolio that it is removed
Portfolio 21
Electrolux B 618 118347 191.5

Ericsson B 2200 58520 26.6
SKF A 1000 105000 105
Tele2 B 900 73575 81.75
Volvo B 300 102150 340.5
518514.5
Portfolio 22
Århus Karlshamn 1 163.5 163.5 OBS Missing expected return but.

ABB LTD SDB 1000 66750 66.75 such a small portion of the
Atlas Copco A 300 47850 159.5 portfolio that it is removed
Axfood 200 41800 209
Billerud 374 35810.5 95.75
Daydream 1000 2870 2.87
Karlshamns 199 26666 134
Kaupthing Bank 400 31300 78.25
NCC B 400 56400 141
New Wave Group 100 7750 77.5
SCA B 100 27800 278
SEB A 100 15500 155
Stora Enso R 352 36960 105
Tele2 B 300 24525 81.75
Trelleborg 200 25300 126.5
Volvo B 100 34050 340.5
518795
Appendix B
Portfolio 23
Alfa Laval 400 63600 159

Aspiro 140 597.8 4.27
Emitor Holding 4000 9000 2.25 OBS Not available in Barra but such a
Emitor Holding BTA 051011N 1000 2200 2.2 small portion of the portfolio that it is removed
Gambro B 268 22780 85 OBS 200 Gambro B subscription rights to new shares worth
Hennes & Mauritz B 200 50400 252 5780 has been replaced with 68 Gambro B shares worth 5780
OM HEX 300 29175 97.25
Scania B 50 14025 280.5
Securitas 300 36150 120.5
SSAB A 100 24950 249.5
Telelogic 1000 17800 17.8
Vitrolife 2000 48200 24.1
WM-Data 1000 22800 22.8
447277.8
Portfolio 24
Atlas Copco B 600 85500 142.5

Assa Abloy 300 34800 116
Electrolux B 300 57450 191.5
Ericsson B 1200 31920 26.6
Sandvik 200 76500 382.5
SCA B 250 69500 278
Skandia 600 25200 42
Volvo B 250 85125 340.5
516395
Portfolio 25
AstraZeneca SDB 255 93457.5 366.5

Ericsson B 1610 42826 26.6
SSAB A 1400 349300 249.5
TeliaSonera 192 7814.4 40.7
524372.9
Portfolio 26

Ericsson B 10000 266000 26.6
Hebi Healthcare 4000 480 0.12
Investor B 600 72900 121.5
Lundbergs 200 64900 324.5
Ratos B 400 70400 176
511330
Portfolio 27
Atlas Copco A 345 55027.5 159.5

Atlas Copco B 120 17100 142.5
Cardo 134 23517 175.5
Ericsson B 8448 224716.8 26.6
Hebi Healthcare 2 0.24 0.12
Volvo B 5 1702.5 340.5
518346.54
Appendix B
Portfolio 28

Ericsson B 1600 42560 26.6
Framfab 8400 8820 1.05
Metro A 30 370.5 12.35
Metro B 70 882 12.6
MTG B 100 30850 308.5
OM HEX 600 58350 97.25
Swedish Match 100 9150 91.5
507535.5
Portfolio 29
Biacore 300 54600 182

Eniro 500 44250 88.5
Ericsson B 800 21280 26.6
Getinge 400 42000 105
Holmen B 100 24700 247
Modul1 1000 820 0.82
MTG B 200 61700 308.5
Nordea 500 41000 82
Precise Biometrics 6000 41100 6.85
Resco 500 1760 3.52
Securitas 400 48200 120.5
SSAB B 180 42390 235.5
Telelogic 2000 35600 17.8
509800
Portfolio 30
Industrivärden C 400 74800 187

NCC B 100 14100 141
Nokia 400 56000 140
Ratos B 400 70400 176
Securitas 200 24100 120.5
Skanska B 100 12000 120
SSAB B 200 47100 235.5
Tieto Enator 200 52200 261
Wallenstam 2000 176000 88
526700
Portfolio 31
Carnegie & Co 600 63000 105

Ericsson B 1000 26600 26.6
Industrivärden A 400 80800 202
Investor B 300 36450 121.5
Ratos B 300 52800 176
Scania A 2 558 279
Scania B 100 28050 280.5
Skanska B 500 60000 120
514958
Total Portfolio Risk is the Standard deviation
Appendix C
The Sharpe Ratios of the portfolios.
Portfolio 1
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight % Weighted Expected Return
Anoto Group 0,1428 0,026184 0,003739075
Electrolux B -0,1344 0,065346 -0,008782502
Ericsson B 0,2023 0,148224 0,029985715
SCA B -0,3581 0,056125 -0,020098363
Scania B -0,0354 0,295993 -0,010478152
Skandia 0,7182 0,118511 0,0851146
Trelleborg -0,1294 0,289617 -0,03747644
Expected Portfolio Return 0,042003934 0,042 0,1418 0,2049
Total Portfolio Risk 0,250814239 0,2346 0,2501 0,2887
Sharpe Ratio 0,167470292 0,179 0,567 0,7097
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Anoto Group 1,8798 0,047077 0,088495345
Electrolux B 0,3621 0,072893 0,026394555
Ericsson B 0,0475 0,15205 0,007222375
SCA B 0,3376 0,052866 0,017847562
Scania B -0,1011 0,26623 -0,026915853
Skandia -0,0486 0,11959 -0,005812074
Trelleborg 0,2869 0,289294 0,082998449
Sharpe Ratio 0,754083404 1,0479 1,6373 1,6373
Portfolio 2
Öresund -0,0448 0,131696 -0,005899981
Industrivärden C -0,2084 0,340761 -0,071014592
Investor B 0,3479 0,321722 0,111927084
Kinnevik B -0,337 0,051569 -0,017378753
Nordea 0,0095 0,081249 0,000771866
Ratos B 0,2087 0,073003 0,015235726
Sharpe Ratio 0,142487714 0,1551 0,8802 0,9501
Return Weight Weighted Expected Return
Öresund 0,0875 0,117329 0,010266288
Industrivärden C 0,4933 0,362126 0,178636756
Investor B 0,2942 0,329873 0,097048637
Kinnevik B -0,0022 0,043262 -9,51764E-05
Nordea 0,4209 0,079426 0,033430403
Ratos B 0,0563 0,067983 0,003827443
Sharpe Ratio 1,360384098 1,4309 1,6403 1,7648
Portfolio 3
2005-05-11
Appendix C
Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11

Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Assa Abloy -0,4763 0,017762 -0,008460041
AstraZeneca SDB 0,7041 0,029056 0,02045833
Boliden 0,026 0,01181 0,00030706
Ericsson B 0,2023 0,020339 0,00411458
Framfab 1,1073 0,008398 0,009299105
Svenska Handelsbanken A -0,1941 0,059799 -0,011606986
Hennes & Mauritz B 0,2574 0,140874 0,036260968
Ledstiernan 0,3536 0,003346 0,001183146
Maxim Pharmaceuticals -1,7291 0,000956 -0,00165302
New Wave Group -0,2337 0,370894 -0,086677928
Nexus -1,3887 0,00263 -0,003652281
Nokia 0,5022 0,022589 0,011344196
Sandvik 0,037 0,147656 0,005463272
SCA B -0,3581 0,046208 -0,016547085
SKF B -0,0587 0,026994 -0,001584548
Switchcore 0,5746 0,002146 0,001233092
Telelogic -0,1622 0,003908 -0,000633878
Tele2 B -0,3989 0,063267 -0,025237206
TeliaSonera -0,0872 0,02137 -0,001863464
Expected Portfolio Return -0,068252688 0 0,1224 0,1256
Sharpe Ratio -0,3282626 0 0,5897 0,595
Assa Abloy 0,3479 0,022706 0,007899417
AstraZeneca SDB 0,3381 0,035716 0,01207558
Boliden 1,1227 0,019646 0,022056564
Ericsson B 0,0475 0,02602 0,00123595
Framfab 1,4092 0,014326 0,020188199
Svenska Handelsbanken A 0,422 0,0727 0,0306794
Hennes & Mauritz B -0,3043 0,147349 -0,044838301
Ledstiernan -0,081 0,003908 -0,000316548
Maxim Pharmaceuticals 0,0358 0,000984 3,52272E-05
New Wave Group 0,5025 0,261017 0,131161043
Nexus -0,0607 0,002783 -0,000168928
Nokia 0,1183 0,027384 0,003239527
Sandvik 0,7178 0,214708 0,154117402
SCA B 0,3376 0,054281 0,018325266
SKF B 0,6715 0,04132 0,02774638
Switchcore 0,2007 0,002161 0,000433713
Telelogic 0,5251 0,005233 0,002747848
Tele2 B 0,225 0,0239 0,0053775
TeliaSonera 0,1185 0,023856 0,002826936
Sharpe Ratio 1,961859068 2,1104 3,0164 2,8951
Portfolio 4
Appendix C

AstraZeneca SDB 0,7041 0,062761 0,04419002
Ericsson B 0,2023 0,193303 0,039105197
Hennes & Mauritz B 0,2574 0,202858 0,052215649
Ledstiernan 0,3536 0,026019 0,009200318
Nordea 0,0095 0,189901 0,00180406
Nokia 0,5022 0,146374 0,073509023
Swedish Match 0,3126 0,000873 0,0002729
Tele2 B -0,3989 0,136656 -0,054512078
Tieto Enator 0,1933 0,038309 0,00740513
Volvo B 0,3042 0,002946 0,000896173
Sharpe Ratio 0,645383502 1,0313 1,3891 1,3891
Initial Portfolio Same Return Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
AstraZeneca SDB 0,3381 0,070712 0,023907727
Ericsson B 0,0475 0,226666 0,010766635
Hennes & Mauritz B -0,3043 0,194483 -0,059181177
Ledstiernan -0,081 0,027853 -0,002256093
Nordea 0,4209 0,22217 0,093511353
Nokia 0,1183 0,162648 0,019241258
Swedish Match 0,0772 0,000885 0,000068322
Tele2 B 0,225 0,047318 0,01064655
Tieto Enator 0,1837 0,043979 0,008078942
Volvo B 0,0153 0,003285 5,02605E-05
Sharpe Ratio 0,390262145 0,4948 1,1327 1,1327
Portfolio 5
Assa Abloy -0,4763 0,0411 -0,01957593
Axfood -0,7563 0,0563 -0,04257969
Föreningssparbanken 0,1256 0,0733 0,00920648
Gambro A -0,0186 0,0682 -0,00126852
Svenska Handelsbanken B -0,1866 0,138 -0,0257508
Holmen B -0,5488 0,0422 -0,02315936
Investor B 0,3479 0,0822 0,02859738
Ratos B 0,2087 0,0653 0,01362811
SCA B -0,3581 0,107 -0,0383167
Securitas 0,1545 0,0784 0,0121128
Skanska B 0,2168 0,038 0,0082384
Volvo B 0,3042 0,1263 0,03842046
Westergyllen -0,1591 0,0837 -0,01331667
Sharpe Ratio -0,261313957 0 0,8601 0,9107
Assa Abloy 0,3479 0,0449 0,01562071
Axfood 0,2362 0,0607 0,01433734
Gambro A 0,1249 0,055 0,0068695
Svenska Handelsbanken B 0,4553 0,1436 0,06538108
Holmen B 0,3635 0,0476 0,0173026
Investor B 0,2942 0,094 0,0276548
Ratos B 0,0563 0,0678 0,00381714
SCA B 0,3376 0,1072 0,03619072
Securitas -0,3353 0,0699 -0,02343747
Skanska B 0,6752 0,0462 0,03119424
Volvo B 0,0153 0,1311 0,00200583
Westergyllen 0,7164 0,0524 0,03753936
Sharpe Ratio 1,336173288 1,5167 2,0472 2,0694
Portfolio 6
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation

Ericsson B 0,2023 0,0573 0,01159179
Hufvudstaden A 0,4742 0,0044 0,00208648
Kinnevik B -0,337 0,0799 -0,0269263
NCC A 0,6312 0,0811 0,05119032
Nordea 0,0095 0,0629 0,00059755
SCA B -0,3581 0,2463 -0,08820003
SEB A -0,0145 0,0189 -0,00027405
TeliaSonera -0,0872 0,0143 -0,00124696
Expected Portfolio Return -0,13528713 0 0 0,011
Sharpe Ratio -0,574155576 0 0 0,0453
Ericsson B 0,0475 0,0604 0,002869
Hufvudstaden A -0,3443 0,0038 -0,00130834
Kinnevik B -0,0022 0,0721 -0,00015862
NCC A 0,3844 0,0907 0,03486508
Nordea 0,4209 0,0661 0,02782149
SCA B 0,3376 0,2383 0,08045008
SEB A 0,4506 0,0199 0,00896694
TeliaSonera 0,1185 0,0131 0,00155235
Sharpe Ratio 1,450024254 1,5114 1,6854 1,5255
Portfolio 7
Biophausia 3,085 0,0215 0,0663275
Ericsson B 0,2023 0,6195 0,12532485
Hebi Healthcare 0,3678 0,0238 0,00875364
Hennes & Mauritz B 0,2574 0,1716 0,04416984
NCC B 0,636 0,0493 0,0313548
Nokia 0,5022 0,0275 0,0138105
TeliaSonera -0,0872 0,0868 -0,00756896
Sharpe Ratio 0,798079471 1,3324 1,3931 1,3931
Biophausia 0,5673 0,0217 0,01231041
Ericsson B 0,0475 0,6503 0,03088925
Hebi Healthcare 0,068 0,0187 0,0012716
Hennes & Mauritz B -0,3043 0,1473 -0,04482339
NCC B 0,3573 0,0551 0,01968723
Nokia 0,1183 0,0274 0,00324142
TeliaSonera 0,1185 0,0795 0,00942075
Sharpe Ratio 0,085750691 0,1074 0,2931 0,2977
Portfolio 8
Appendix C

Electrolux B -0,1344 0,0397 -0,00533568
Ericsson B 0,2023 0,2613 0,05286099
Investor B 0,3479 0,0913 0,03176327
Onetwocom 0,1741 0,0004 0,00006964
Sandvik 0,037 0,0632 0,0023384
SEB A -0,0145 0,1017 -0,00147465
SEB C -0,0484 0,014 -0,0006776
SSAB B 0,0871 0,07 0,006097
Trelleborg -0,1294 0,0467 -0,00604298
Sharpe Ratio 0,080948589 0,1244 0,5103 0,5714
Electrolux B 0,3621 0,0427 0,01546167
Ericsson B 0,0475 0,258 0,012255
Investor B 0,2942 0,0943 0,02774306
Onetwocom -0,108 0,0002 -0,0000216
Sandvik 0,7178 0,071 0,0509638
SEB A 0,4506 0,1003 0,04519518
SEB C 0,4696 0,0139 0,00652744
SSAB B 0,8292 0,0821 0,06807732
Trelleborg 0,2869 0,0449 0,01288181
Sharpe Ratio 1,520462313 2,3565 2,3446 2,3446
Portfolio 9
Atlas Copco A 0,2582 0,0206 0,00531892
Billerud -0,7973 0,0144 -0,01148112
Electrolux B -0,1344 0,0554 -0,00744576
Ericsson B 0,2023 0,4446 0,08994258
Nordea 0,0095 0,1084 0,0010298
SCA A -0,368 0,0196 -0,0072128
SCA B -0,3581 0,0524 -0,01876444
SEB A -0,0145 0,1205 -0,00174725
Volvo A 0,3082 0,164 0,0505448
Sharpe Ratio 0,354786918 0,4499 0,6658 0,6644
Atlas Copco A 0,7196 0,0083 0,00597268
Billerud -0,0008 0,0136 -0,00001088
Electrolux B 0,3621 0,0616 0,02230536
Ericsson B 0,0475 0,4546 0,0215935
Nordea 0,4209 0,1105 0,04650945
SCA A 0,335 0,0181 0,0060635
SCA B 0,3376 0,0492 0,01660992
SEB A 0,4506 0,1232 0,05551392
Volvo A 0,014 0,1609 0,0022526
Sharpe Ratio 0,60891923 1,2935 1,2201 1,2201
Portfolio 10
Appendix C

ABB LTD SDB 0,5909 0,0446 0,02635414
AstraZeneca SDB 0,7041 0,0301 0,02119341
Bilia 0,3301 0,0243 0,00802143
Connecta -0,1454 0,0259 -0,00376586
Electrolux B -0,1344 0,0265 -0,0035616
Ericsson B 0,2023 0,0028 0,00056644
Gambro B 0,0618 0,0487 0,00300966
Hennes & Mauritz B 0,2574 0,0974 0,02507076
Klövern 0,3738 0,0398 0,01487724
Mekonomen -0,6063 0,1201 -0,07281663
Micronic Laser Systems 0,197 0,0405 0,0079785
New Wave Group -0,2337 0,1922 -0,04491714
Nokia 0,5022 0,0468 0,02350296
Securitas 0,1545 0,0468 0,0072306
Skanska B 0,2168 0,085 0,018428
Skandia 0,7182 0,027 0,0193914
Trelleborg -0,1294 0,0412 -0,00533128
Viking Telecom -0,3085 0,0294 -0,0090699
Sharpe Ratio 0,157676215 0,1741 1,4429 1,4863
ABB LTD SDB 0,8009 0,0645 0,05165805
AstraZeneca SDB 0,3381 0,0354 0,01196874
Bilia 0,087 0,0264 0,0022968
Connecta 0,7128 0,0427 0,03043656
Electrolux B 0,3621 0,0352 0,01274592
Ericsson B 0,0475 0,0034 0,0001615
Gambro B 0,146 0,044 0,006424
Hennes & Mauritz B -0,3043 0,0974 -0,02963882
Klövern -0,7206 0,041 -0,0295446
Mekonomen -0,1891 0,0703 -0,01329373
Micronic Laser Systems 0,2295 0,053 0,0121635
New Wave Group 0,5025 0,1293 0,06497325
Nokia 0,1183 0,0543 0,00642369
Securitas -0,3353 0,0467 -0,01565851
Skanska B 0,6752 0,1159 0,07825568
Skandia -0,0486 0,0325 -0,0015795
Trelleborg 0,2869 0,0491 0,01408679
Viking Telecom -0,7893 0,0229 -0,01807497
Sharpe Ratio 1,001130925 1,117 2,5848 2,5839
Portfolio 11
ABB LTD SDB 0,5909 0,2769 0,16362021
Ericsson B 0,2023 0,0275 0,00556325
Gambro A -0,0186 0,4053 -0,00753858
Gambro B 0,0618 0,1019 0,00629742
SCA B -0,3581 0,1562 -0,05593522
TeliaSonera -0,0872 0,0321 -0,00279912
Sharpe Ratio 0,479257644 0,4786 0,6183 1,2629
ABB LTD SDB 0,8009 0,3633 0,29096697
Ericsson B 0,0475 0,0305 0,00144875
Gambro A 0,1249 0,3324 0,04151676
Gambro B 0,146 0,0836 0,0122056
SCA B 0,3376 0,1592 0,05374592
TeliaSonera 0,1185 0,0311 0,00368535
Sharpe Ratio 1,661497149 1,7215 1,9203 2,2488
Portfolio 12
Appendix C

Anoto Group 0,1428 0,0115 0,0016422
Connecta -0,1454 0,0186 -0,00270444
Ericsson B 0,2023 0,2275 0,04602325
Klövern 0,3738 0,0056 0,00209328
Nokia 0,5022 0,1805 0,0906471
Pricer -0,3203 0,0093 -0,00297879
Skandia 0,7182 0,0416 0,02987712
Tele2 B -0,3989 0,5054 -0,20160406
Expected Portfolio Return -0,03700434 0,0557 0,2886 0,2886
Sharpe Ratio -0,09624366 0,1543 0,7594 0,7594
Anoto Group 1,8798 0,0311 0,05846178
Connecta 0,7128 0,0389 0,02772792
Ericsson B 0,0475 0,3519 0,01671525
Klövern -0,7206 0,0074 -0,00533244
Nokia 0,1183 0,2645 0,03129035
Pricer 0,1383 0,0122 0,00168726
Skandia -0,0486 0,0633 -0,00307638
Tele2 B 0,225 0,2309 0,0519525
Sharpe Ratio 0,478389604 0,8182 0,8889 0,8889
Portfolio 13
Boss Media 0,3269 0,0638 0,02085622
Cisl Gruppen 2,1893 0,046 0,1007078
Ericsson B 0,2023 0,2217 0,04484991
Lundin Mining 0,0437 0,3039 0,01328043
Lundin Petroleum 0,9019 0,1411 0,12725809
Telelogic -0,1622 0,142 -0,0230324
West Siberian Resources 0,6552 0,0816 0,05346432
Sharpe Ratio 1,215431617 1,9735 2,2938 2,2544
Boss Media -0,4724 0,0402 -0,01899048
Cisl Gruppen 2,4887 0,0598 0,14882426
Ericsson B 0,0475 0,1935 0,00919125
Lundin Mining 0,7239 0,3107 0,22491573
Telelogic 0,5251 0,1297 0,06810547
West Siberian Resources 1,386 0,1198 0,1660428
Expected Portfolio Return 0,66270974 0,6672 1 1
Sharpe Ratio 2,460677781 2,6789 3,8038 3,8038
Portfolio 14
Appendix C

Billerud -0,7973 0,0067 -0,00534191
Ericsson B 0,2023 0,403 0,0815269
Genline 0,2306 0,0156 0,00359736
Hennes & Mauritz B 0,2574 0,1989 0,05119686
Karo Bio -0,6598 0,0098 -0,00646604
Scania A -0,054 0,0105 -0,000567
Skandia 0,7182 0,1575 0,1131165
Volvo B 0,3042 0,1981 0,06026202
Sharpe Ratio 1,009656616 1,3558 1,7224 1,7224
Billerud -0,0008 0,0066 -0,00000528
Ericsson B 0,0475 0,4266 0,0202635
Genline 0,0578 0,0133 0,00076874
Hennes & Mauritz B -0,3043 0,1722 -0,05240046
Karo Bio 0,2195 0,0081 0,00177795
Scania A -0,1038 0,0098 -0,00101724
Skandia -0,0486 0,164 -0,0079704
Volvo B 0,0153 0,1994 0,00305082
Sharpe Ratio -0,114605021 0 0,0613 0,0936
Portfolio 15
Ericsson B 0,2023 0,0823 0,01664929
Hennes & Mauritz B 0,2574 0,095 0,024453
Kungsleden 0,9812 0,3925 0,385121
Ratos B 0,2087 0,1427 0,02978149
Sandvik 0,037 0,0996 0,0036852
SCA B -0,3581 0,1402 -0,05020562
SEB A -0,0145 0,0478 -0,0006931
Sharpe Ratio 1,93482263 2,044 2,4625 2,9663
Ericsson B 0,0475 0,105 0,0049875
Hennes & Mauritz B -0,3043 0,0991 -0,03015613
Kungsleden -0,039 0,2531 -0,0098709
Ratos B 0,0563 0,1731 0,00974553
Sandvik 0,7178 0,1444 0,10365032
SCA B 0,3376 0,1643 0,05546768
SEB A 0,4506 0,061 0,0274866
Sharpe Ratio 0,776494883 0,8724 1,6169 1,708
Portfolio 16
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation (Same as the Same Risk Portfolio)

Öresund -0,0448 0,0678 -0,00303744
ABB LTD SDB 0,5909 0,0175 0,01034075
Atlas Copco A 0,2582 0,0948 0,02447736
Atlas Copco B 0,2433 0,2005 0,04878165
Boliden 0,026 0,0008 0,0000208
Investor B 0,3479 0,0532 0,01850828
Nordea 0,0095 0,1004 0,0009538
Sandvik 0,037 0,002 0,000074
Sharpe Ratio 0,045575329 0,4592 0,8121 0,8121
Öresund 0,0875 0,0775 0,00678125
ABB LTD SDB 0,8009 0,0261 0,02090349
Atlas Copco A 0,7196 0,0469 0,03374924
Atlas Copco B 0,6813 0,0958 0,06526854
Boliden 1,1227 0,0014 0,00157178
Investor B 0,2942 0,0701 0,02062342
Nordea 0,4209 0,126 0,0530334
Sandvik 0,7178 0,0029 0,00208162
Sharpe Ratio 1,872100905 2,1288 2,2454 2,1461
Portfolio 17
ABB LTD SDB 0,5909 0,0574 0,03391766
AstraZeneca SDB 0,7041 0,0366 0,02577006
Ericsson B 0,2023 0,1229 0,02486267
Hennes & Mauritz B 0,2574 0,0946 0,02435004
Intrum Justitia 0,0666 0,0368 0,00245088
MTG B 0,571 0,1295 0,0739445
Nordea 0,0095 0,0632 0,0006004
SCA B -0,3581 0,0872 -0,03122632
Scania B -0,0354 0,0613 -0,00217002
Securitas 0,1545 0,0569 0,00879105
Telelogic -0,1622 0,0656 -0,01064032
Sharpe Ratio 0,710964146 0,8252 1,683 1,4835
ABB LTD SDB 0,8009 0,0686 0,05494174
AstraZeneca SDB 0,3381 0,0355 0,01200255
Ericsson B 0,0475 0,1243 0,00590425
Hennes & Mauritz B -0,3043 0,0782 -0,02379626
Intrum Justitia 0,6538 0,0396 0,02589048
MTG B 0,743 0,1498 0,1113014
Nordea 0,4209 0,0638 0,02685342
SCA B 0,3376 0,081 0,0273456
Scania B -0,1011 0,0544 -0,00549984
Securitas -0,3353 0,0469 -0,01572557
Telelogic 0,5251 0,0694 0,03644194
Sharpe Ratio 1,473927133 1,7549 2,5587 2,4281
Portfolio 18
Appendix C

Ericsson B 0,2023 0,5573 0,11274179
Framfab 1,1073 0,046 0,0509358
Maxim Pharmaceuticals -1,7291 0,0026 -0,00449566
Modul1 -0,2958 0,0057 -0,00168606
SSAB A 0,177 0,3883 0,0687291
Sharpe Ratio 0,706498223 0,865 0,8248 0,6297
Ericsson B 0,0475 0,5091 0,02418225
Framfab 1,4092 0,0561 0,07905612
Maxim Pharmaceuticals 0,0358 0,0019 0,00006802
Modul1 -0,6049 0,004 -0,0024196
SSAB A 0,8471 0,429 0,3634059
Sharpe Ratio 1,534618504 2,7947 3,3131 3,3131
Portfolio 19
Atlas Copco A 0,2582 0,0977 0,02522614
Billerud -0,7973 0,0412 -0,03284876
Ericsson B 0,2023 0,0978 0,01978494
Gambro A -0,0186 0,0304 -0,00056544
Sandvik 0,037 0,0518 0,0019166
Scania A -0,054 0,0039 -0,0002106
SKF B -0,0587 0,0279 -0,00163773
Tele2 B -0,3989 0,4089 -0,16311021
Volvo B 0,3042 0,1058 0,03218436
Sharpe Ratio -0,473095227 0,0285 0,5376 0,5376
Atlas Copco A 0,7196 0,0596 0,04288816
Billerud -0,0008 0,0594 -0,00004752
Ericsson B 0,0475 0,1519 0,00721525
Gambro A 0,1249 0,0349 0,00435901
Sandvik 0,7178 0,0914 0,06560692
Scania A -0,1038 0,0053 -0,00055014
SKF B 0,6715 0,0519 0,03485085
Tele2 B 0,225 0,1875 0,0421875
Volvo B 0,0153 0,1562 0,00238986
Sharpe Ratio 1,237768693 2,0867 2,2729 2,2729
Portfolio 20
2005-05-11
Appendix C
Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11

Electrolux B -0,1344 0,1397 -0,01877568
Ericsson B 0,2023 0,5317 0,10756291
Hennes & Mauritz B 0,2574 0,0602 0,01549548
Holmen B -0,5488 0,0935 -0,0513128
Investor B 0,3479 0,0228 0,00793212
Nokia 0,5022 0,0023 0,00115506
SEB A -0,0145 0,1209 -0,00175305
SEB C -0,0484 0,0012 -0,00005808
SKF B -0,0587 0,0277 -0,00162599
Sharpe Ratio 0,190383918 0,2272 0,4662 0,5065
Electrolux B 0,3621 0,1504 0,05445984
Ericsson B 0,0475 0,5261 0,02498975
Hennes & Mauritz B -0,3043 0,0487 -0,01481941
Holmen B 0,3635 0,0955 0,03471425
Investor B 0,2942 0,0236 0,00694312
Nokia 0,1183 0,0022 0,00026026
SEB A 0,4506 0,1196 0,05389176
SEB C 0,4696 0,0012 0,00056352
SKF B 0,6715 0,0328 0,0220252
Sharpe Ratio 0,595163628 1,4329 1,4804 1,4804
Portfolio 21
Electrolux B -0,1344 0,1589 -0,02135616
Ericsson B 0,2023 0,0855 0,01729665
Hennes & Mauritz B 0,2574 0,0897 0,02308878
SKF A -0,0715 0,129 -0,0092235
Swedish Match 0,3126 0,0178 0,00556428
Tele2 B -0,3989 0,3627 -0,14468103
Volvo B 0,3042 0,1564 0,04757688
Sharpe Ratio -0,304335247 0,3667 0,6116 0,6116
Electrolux B 0,3621 0,2282 0,08263122
Ericsson B 0,0475 0,1129 0,00536275
Hennes & Mauritz B -0,3043 0,0969 -0,02948667
SKF A 0,6921 0,2038 0,14104998
Swedish Match 0,0772 0,0203 0,00156716
Tele2 B 0,225 0,1415 0,0318375
Volvo B 0,0153 0,1964 0,00300492
Sharpe Ratio 1,041764096 1,3045 2,0037 2,0037
Portfolio 22
Appendix C

ABB LTD SDB 0,5909 0,0856 0,05058104
Atlas Copco A 0,2582 0,1852 0,04781864
Axfood -0,7563 0,0645 -0,04878135
Billerud -0,7973 0,0586 -0,04672178
Daydream 0,1863 0,0047 0,00087561
Karlshamns 0,5881 0,0462 0,02717022
Kaupthing Bank 0,6631 0,0431 0,02857961
NCC B 0,636 0,0806 0,0512616
New Wave Group -0,2337 0,0214 -0,00500118
SCA B -0,3581 0,046 -0,0164726
SEB A -0,0145 0,0235 -0,00034075
Stora Enso R -0,2019 0,0614 -0,01239666
Tele2 B -0,3989 0,1259 -0,05022151
Trelleborg -0,1294 0,0395 -0,0051113
Volvo B 0,3042 0,0543 0,01651806
Sharpe Ratio 0,130307264 0,1673 1,8492 1,9248
ABB LTD SDB 0,8009 0,1283 0,10275547
Atlas Copco A 0,7196 0,0923 0,06641908
Axfood 0,2362 0,0807 0,01906134
Billerud -0,0008 0,069 -0,0000552
Daydream -0,088 0,0055 -0,000484
Karlshamns -0,1551 0,0524 -0,00812724
Kaupthing Bank 0,5197 0,0604 0,03138988
NCC B 0,3573 0,1088 0,03887424
New Wave Group 0,5025 0,0149 0,00748725
SCA B 0,3376 0,0535 0,0180616
SEB A 0,4506 0,0298 0,01342788
Stora Enso R 0,1802 0,0714 0,01286628
Tele2 B 0,225 0,0471 0,0105975
Trelleborg 0,2869 0,0488 0,01400072
Volvo B 0,0153 0,0654 0,00100062
Sharpe Ratio 1,834037744 1,9651 2,518 2,6484
Portfolio 23
Appendix C

Alfa Laval -0,0096 0,1107 -0,00106272
Aspiro 0,3921 0,0011 0,00043131
AstraZeneca SDB 0,7041 0,1683 0,11850003
Emitor Holding 1,0565 0,025 0,0264125
Gambro B 0,0618 0,068 0,0042024
Hennes & Mauritz B 0,2574 0,136 0,0350064
OM HEX -0,0573 0,067 -0,0038391
Scania B -0,0354 0,0353 -0,00124962
Securitas 0,1545 0,0981 0,01515645
SSAB A 0,177 0,0456 0,0080712
Telelogic -0,1622 0,0377 -0,00611494
Vitrolife -0,2236 0,0977 -0,02184572
WM-Data 0,7306 0,0497 0,03631082
Sharpe Ratio 1,297359085 1,5737 2,7098 2,7098
Alfa Laval 0,8998 0,1427 0,12840146
Aspiro 1,0146 0,0013 0,00131898
AstraZeneca SDB 0,3381 0,1645 0,05561745
Emitor Holding 0,8949 0,0202 0,01807698
Gambro B 0,146 0,0511 0,0074606
Hennes & Mauritz B -0,3043 0,1131 -0,03441633
OM HEX 0,0727 0,0656 0,00476912
Scania B -0,1011 0,0315 -0,00318465
Securitas -0,3353 0,0815 -0,02732695
SSAB A 0,8471 0,0561 0,04752231
Telelogic 0,5251 0,0402 0,02110902
Vitrolife 0,3684 0,1082 0,03986088
WM-Data 0,3742 0,0514 0,01923388
Sharpe Ratio 1,572799992 1,8262 3,0208 2,7912
Portfolio 24
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation (Same as the Same Risk Portfolio)

Atlas Copco B 0,2433 0,3386 0,08238138
Assa Abloy -0,4763 0,0526 -0,02505338
Electrolux B -0,1344 0,0796 -0,01069824
Ericsson B 0,2023 0,0482 0,00975086
Hennes & Mauritz B 0,2574 0,0927 0,02386098
Sandvik 0,037 0,1012 0,0037444
SCA B -0,3581 0,114 -0,0408234
Skandia 0,7182 0,0385 0,0276507
Volvo B 0,3042 0,1346 0,04094532
Sharpe Ratio 0,498508471 0,5297 1,2481 1,2481
Atlas Copco B 0,6813 0,1654 0,11268702
Assa Abloy 0,3479 0,0676 0,02351804
Electrolux B 0,3621 0,1114 0,04033794
Ericsson B 0,0475 0,062 0,002945
Hennes & Mauritz B -0,3043 0,0975 -0,02966925
Sandvik 0,7178 0,148 0,1062344
SCA B 0,3376 0,1347 0,04547472
Skandia -0,0486 0,0487 -0,00236682
Volvo B 0,0153 0,1647 0,00251991
Sharpe Ratio 1,378130156 1,4518 2,3095 2,4268
Portfolio 25
AstraZeneca SDB 0,7041 0,207 0,1457487
Ericsson B 0,2023 0,0915 0,01851045
SSAB A 0,177 0,616 0,109032
TeliaSonera -0,0872 0,0191 -0,00166552
Sharpe Ratio 1,224904818 1,6715 1,7008 1,6883
AstraZeneca SDB 0,3381 0,1779 0,06014799
Ericsson B 0,0475 0,0818 0,0038855
SSAB A 0,8471 0,6663 0,56442273
TeliaSonera 0,1185 0,0149 0,00176565
Sharpe Ratio 2,952439313 3,0564 3,0957 3,0236
Portfolio 26
Appendix C

AstraZeneca SDB 0,7041 0,0733 0,05161053
Ericsson B 0,2023 0,5134 0,10386082
Hebi Healthcare 0,3678 0,0012 0,00044136
Investor B 0,3479 0,1345 0,04679255
Lundbergs 0,0819 0,1351 0,01106469
Ratos B 0,2087 0,1424 0,02971888
Sharpe Ratio 0,819700753 1,3221 1,2136 1,2136
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation (Same as the Same Return Portfolio)
AstraZeneca SDB 0,3381 0,0715 0,02417415
Ericsson B 0,0475 0,5205 0,02472375
Hebi Healthcare 0,068 0,0009 0,0000612
Investor B 0,2942 0,1427 0,04198234
Lundbergs 0,0678 0,1271 0,00861738
Ratos B 0,0563 0,1373 0,00772999
Sharpe Ratio 0,351013924 0,7576 0,7576 0,7576
Portfolio 27
Atlas Copco A 0,2582 0,2169 0,05600358
Atlas Copco B 0,2433 0,0695 0,01690935
Cardo -0,2621 0,0438 -0,01147998
Ericsson B 0,2023 0,3482 0,07044086
Hebi Healthcare 0,3678 0 0
Swedish Match 0,3126 0,0008 0,00025008
Volvo B 0,3042 0,0028 0,00085176
Sharpe Ratio 0,2658919 0,3103 0,6308 0,7266
Atlas Copco A 0,7196 0,1063 0,07649348
Atlas Copco B 0,6813 0,0329 0,02241477
Cardo -0,2291 0,0454 -0,01040114
Ericsson B 0,0475 0,4342 0,0206245
Hebi Healthcare 0,068 0 0
Swedish Match 0,0772 0,0009 0,00006948
Volvo B 0,0153 0,0033 0,00005049
Sharpe Ratio 0,921016687 1,7263 1,9446 1,9446
Portfolio 28
Appendix C

AstraZeneca SDB 0,7041 0,0944 0,06646704
Ericsson B 0,2023 0,0789 0,01596147
Framfab 1,1073 0,0122 0,01350906
Hennes & Mauritz B 0,2574 0,2278 0,05863572
Metro A -0,0648 0,0009 -0,00005832
Metro B -0,3691 0,0021 -0,00077511
MTG B 0,571 0,0499 0,0284929
OM HEX -0,0573 0,1122 -0,00642906
Swedish Match 0,3126 0,0196 0,00612696
Sharpe Ratio 0,463710981 1,3028 1,5523 1,5471
AstraZeneca SDB 0,3381 0,0967 0,03269427
Ericsson B 0,0475 0,0841 0,00399475
Framfab 1,4092 0,0174 0,02452008
Hennes & Mauritz B -0,3043 0,1985 -0,06040355
Metro A -0,4243 0,0007 -0,00029701
Metro B -0,4979 0,0017 -0,00084643
MTG B 0,743 0,0608 0,0451744
OM HEX 0,0727 0,1152 0,00837504
Swedish Match 0,0772 0,0181 0,00139732
Sharpe Ratio 1,003692547 1,1146 1,888 1,828
Portfolio 29
Biacore 0,4556 0,103 0,0469268
Eniro 0,4414 0,0909 0,04012326
Ericsson B 0,2023 0,039 0,0078897
Getinge 0,6787 0,0947 0,06427289
Hennes & Mauritz B 0,2574 0,1125 0,0289575
Holmen B -0,5488 0,0437 -0,02398256
Modul1 -0,2958 0,002 -0,0005916
MTG B 0,571 0,0985 0,0562435
Nordea 0,0095 0,0752 0,0007144
Precise Biometrics 2,9505 0,101 0,2980005
Resco 0,4003 0,0036 0,00144108
Securitas 0,1545 0,1082 0,0167169
SSAB B 0,0871 0,0653 0,00568763
Telelogic -0,1622 0,0624 -0,01012128
Sharpe Ratio 2,376838495 2,7323 4,0641 3,8814
Biacore -0,3256 0,1075 -0,035002
Eniro 0,0886 0,0871 0,00771706
Ericsson B 0,0475 0,0418 0,0019855
Getinge -0,019 0,0822 -0,0015618
Hennes & Mauritz B -0,3043 0,0987 -0,03003441
Holmen B 0,3635 0,0484 0,0175934
Modul1 -0,6049 0,0016 -0,00096784
MTG B 0,743 0,121 0,089903
Nordea 0,4209 0,0805 0,03388245
Precise Biometrics 0,0058 0,0799 0,00046342
Resco -0,0229 0,0034 -0,00007786
Securitas -0,3353 0,0947 -0,03175291
SSAB B 0,8292 0,0832 0,06898944
Telelogic 0,5251 0,0701 0,03680951
Sharpe Ratio 0,6822144 1,11 2,0558 1,9941
Portfolio 30
Appendix C

Industrivärden C -0,2084 0,1216 -0,02534144
NCC B 0,636 0,0234 0,0148824
Nokia 0,5022 0,1043 0,05237946
Ratos B 0,2087 0,1303 0,02719361
Securitas 0,1545 0,0522 0,0080649
Skanska B 0,2168 0,0189 0,00409752
SSAB B 0,0871 0,0699 0,00608829
Tieto Enator 0,1933 0,0941 0,01818953
Wallenstam 1,3542 0,3852 0,52163784
Expected Portfolio Return 0,62719211 0,6306 0,6949 1
Sharpe Ratio 2,883588854 2,9783 3,1946 3,8347
Industrivärden C 0,4933 0,1419 0,06999927
NCC B 0,3573 0,0268 0,00957564
Nokia 0,1183 0,1063 0,01257529
Ratos B 0,0563 0,1332 0,00749916
Securitas -0,3353 0,0458 -0,01535674
Skanska B 0,6752 0,0227 0,01532704
SSAB B 0,8292 0,0893 0,07404756
Tieto Enator 0,1837 0,0991 0,01820467
Wallenstam -0,313 0,3349 -0,1048237
Sharpe Ratio 0,419713644 0,9556 1,6699 1,6618
Portfolio 31
Carnegie & Co -0,41 0,0996 -0,040836
Ericsson B 0,2023 0,05 0,010115
Hennes & Mauritz B 0,2574 0,2889 0,07436286
Industrivärden A -0,2138 0,1421 -0,03038098
Investor B 0,3479 0,0656 0,02282224
Ratos B 0,2087 0,1041 0,02172567
Scania A -0,054 0,0012 -0,0000648
Scania B -0,0354 0,06 -0,002124
Skanska B 0,2168 0,1009 0,02187512
TeliaSonera -0,0872 0,0876 -0,00763872
Sharpe Ratio 0,328810225 0,7697 1,1535 1,1535
Carnegie & Co 0,4605 0,1226 0,0564573
Ericsson B 0,0475 0,0517 0,00245575
Hennes & Mauritz B -0,3043 0,2441 -0,07427963
Industrivärden A 0,4635 0,1577 0,07309395
Investor B 0,2942 0,0709 0,02085878
Ratos B 0,0563 0,1023 0,00575949
Scania A -0,1038 0,0011 -0,00011418
Scania B -0,1011 0,0543 -0,00548973
Skanska B 0,6752 0,1162 0,07845824
TeliaSonera 0,1185 0,079 0,0093615
Sharpe Ratio 0,758863674 0,7983 1,5262 1,8306
Portfolio 1
2005-05-11
Appendix D
The values of the portfolios.

Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Anoto Group 11500 11,5 1 000 2,62% 6038 11,5 525 1,37% 21850 11,5 1 900 4,98% 21850 11,5 1 900 4,97%
Electrolux B 28700 143,5 200 6,53% 54530 143,5 380 12,42% 33005 143,5 230 7,52% 2870 143,5 20 0,65%
Ericsson B 65100 21,7 3 000 14,82% 6510 21,7 300 1,48% 24586 21,7 1 133 5,60% 123690 21,7 5 700 28,16%
SCA B 24650 246,5 100 5,61% 46835 246,5 190 10,67% 2465 246,5 10 0,56% 2465 246,5 10 0,56%
Scania B 130000 260 500 29,60% 190060 260 731 43,28% 233480 260 898 53,16% 176800 260 680 40,25%
Skandia 52050 34,7 1 500 11,85% 76236 34,7 2 197 17,36% 98895 34,7 2 850 22,52% 98895 34,7 2 850 22,51%
Trelleborg 127200 106 1 200 28,96% 58936 106 556 13,42% 24910 106 235 5,67% 12720 106 120 2,90% Initial portfolio 1 2005-05-11
439200 439145 439191 439290
2005-11-11
Anoto Group 24800 24,8 1 000 4,71% 13020 24,8 525 2,53% 47120 24,8 1 900 8,96% 47120 24,8 1 900 8,86%
Electrolux B 38400 192 200 7,29% 72960 192 380 14,17% 44160 192 230 8,40% 3840 192 20 0,72%
Ericsson B 80100 26,7 3 000 15,21% 8010 26,7 300 1,56% 30251 26,7 1 133 5,75% 152190 26,7 5 700 28,63%
SCA B 27850 278,5 100 5,29% 52915 278,5 190 10,28% 2785 278,5 10 0,53% 2785 278,5 10 0,52%
Scania B 140250 280,5 500 26,62% 205046 280,5 731 39,83% 251889 280,5 898 47,91% 190740 280,5 680 35,88%
Skandia 63000 42 1 500 11,96% 92274 42 2 197 17,92% 119700 42 2 850 22,77% 119700 42 2 850 22,52%
Trelleborg 152400 127 1 200 28,93% 70612 127 556 13,72% 29845 127 235 5,68% 15240 127 120 2,87% Initial portfolio 1 2005-11-11
526800 514837 525750 531615
Portfolio 2
2005-05-11
Öresund 54300 181 300 13,17% 103170 181 570 25,02% 53757 181 297 13,04% 23349 181 129 5,66%
Industrivärden C 140500 140,5 1 000 34,08% 75449 140,5 537 18,29% 14050 140,5 100 3,41% 14050 140,5 100 3,41%
Investor B 132650 94,75 1 400 32,17% 87549 94,75 924 21,23% 221526 94,75 2 338 53,73% 252035 94,75 2 660 61,11%
Kinnevik B 21263 60,75 350 5,16% 25394 60,75 418 6,16% 2126 60,75 35 0,52% 2126 60,75 35 0,52%
Nordea 33500 67 500 8,12% 63650 67 950 15,43% 63650 67 950 15,44% 63650 67 950 15,43%
Ratos B 30100 150,5 200 7,30% 57190 150,5 380 13,87% 57190 150,5 380 13,87% 57190 150,5 380 13,87%
412313 412402 412299 412400 Initial portfolio 2 2005-05-11
2005-11-11
Öresund 60750 202,5 300 11,73% 115425 202,5 570 23,06% 60143 202,5 297 11,76% 26123 202,5 129 5,06%
Industrivärden C 187500 187,5 1 000 36,21% 100688 187,5 537 20,11% 18750 187,5 100 3,67% 18750 187,5 100 3,63%
Investor B 170800 122 1 400 32,99% 112728 122 924 22,52% 285236 122 2 338 55,78% 324520 122 2 660 62,81%
Kinnevik B 22400 64 350 4,33% 26752 64 418 5,34% 2240 64 35 0,44% 2240 64 35 0,43%
Nordea 41125 82,25 500 7,94% 78138 82,25 950 15,61% 78138 82,25 950 15,28% 78138 82,25 950 15,12%
Ratos B 35200 176 200 6,80% 66880 176 380 13,36% 66880 176 380 13,08% 66880 176 380 12,94%
Portfolio 3
2005-05-11
Appendix D
The values of the portfolios

Assa Abloy 9475 94,75 100 1,78% 948 94,75 10 0,18% 948 94,75 10 0,18% 948 94,75 10 0,18%
AstraZeneca SDB 15500 310 50 2,91% 29450 310 95 5,52% 29450 310 95 5,52% 29450 310 95 5,52%
Boliden 6300 28 225 1,18% 6300 28 225 1,18% 11984 28 428 2,25% 11984 28 428 2,25%
Ericsson B 10850 21,7 500 2,03% 1085 21,7 50 0,20% 20615 21,7 950 3,86% 20615 21,7 950 3,86%
Framfab 4480 0,64 7 000 0,84% 448 0,64 700 0,08% 8512 0,64 13 300 1,60% 8512 0,64 13 300 1,60%
Svenska Handelsbanken A 31900 159,5 200 5,98% 60610 159,5 380 11,36% 42587 159,5 267 7,98% 60610 159,5 380 11,36%
Hennes & Mauritz B 75150 250,5 300 14,09% 142785 250,5 570 26,77% 142785 250,5 570 26,76% 142785 250,5 570 26,77%
Ledstiernan 1785 3,57 500 0,33% 803 3,57 225 0,15% 3392 3,57 950 0,64% 3392 3,57 950 0,64%
Maxim Pharmaceuticals 510 10,2 50 0,10% 51 10,2 5 0,01% 51 10,2 5 0,01% 51 10,2 5 0,01%
New Wave Group 197856 114,5 1 728 37,09% 122630 114,5 1 071 22,99% 48319 114,5 422 9,06% 21412 114,5 187 4,01% Initial portfolio 3 2005-05-11
Nexus 1403 3,34 420 0,26% 140 3,34 42 0,03% 140 3,34 42 0,03% 140 3,34 42 0,03%
Nokia 12050 120,5 100 2,26% 1205 120,5 10 0,23% 22895 120,5 190 4,29% 22895 120,5 190 4,29%
Sandvik 78768 273,5 288 14,77% 75213 273,5 275 14,10% 149605 273,5 547 28,04% 149605 273,5 547 28,05%
SCA B 24650 246,5 100 4,62% 46835 246,5 190 8,78% 2465 246,5 10 0,46% 2465 246,5 10 0,46%
SKF B 14400 72 200 2,70% 27360 72 380 5,13% 27360 72 380 5,13% 27360 72 380 5,13%
Switchcore 1145 1,59 720 0,21% 114 1,59 72 0,02% 2175 1,59 1 368 0,41% 2175 1,59 1 368 0,41%
Telelogic 2085 13,9 150 0,39% 209 13,9 15 0,04% 209 13,9 15 0,04% 3962 13,9 285 0,74%
Tele2 B 33750 225 150 6,33% 3375 225 15 0,63% 3375 225 15 0,63% 3375 225 15 0,63%
TeliaSonera 11400 38 300 2,14% 13870 38 365 2,60% 16644 38 438 3,12% 21660 38 570 4,06%
533457 533431 533511 533396
2005-11-11
Assa Abloy 11650 116,5 100 2,27% 1165 116,5 10 0,21% 1165 116,5 10 0,19% 1165 116,5 10 0,18%
AstraZeneca SDB 18325 366,5 50 3,57% 34818 366,5 95 6,18% 34818 366,5 95 5,57% 34818 366,5 95 5,46%
Boliden 10080 44,8 225 1,96% 10080 44,8 225 1,79% 19174 44,8 428 3,07% 19174 44,8 428 3,00%
Ericsson B 13350 26,7 500 2,60% 1335 26,7 50 0,24% 25365 26,7 950 4,06% 25365 26,7 950 3,97%
Framfab 7350 1,05 7 000 1,43% 735 1,05 700 0,13% 13965 1,05 13 300 2,23% 13965 1,05 13 300 2,19%
Hennes & Mauritz B 75600 252 300 14,73% 143640 252 570 25,51% 143640 252 570 22,98% 143640 252 570 22,51%
Ledstiernan 2005 4,01 500 0,39% 902 4,01 225 0,16% 3810 4,01 950 0,61% 3810 4,01 950 0,60%
New Wave Group 133920 77,5 1 728 26,10% 83003 77,5 1 071 14,74% 32705 77,5 422 5,23% 14493 77,5 187 2,27% Initial portfolio 3 2005-11-11
Nexus 1428 3,4 420 0,28% 143 3,4 42 0,03% 143 3,4 42 0,02% 143 3,4 42 0,02%
Nokia 14050 140,5 100 2,74% 1405 140,5 10 0,25% 26695 140,5 190 4,27% 26695 140,5 190 4,18%
Sandvik 110160 382,5 288 21,47% 105188 382,5 275 18,68% 209228 382,5 547 33,47% 209228 382,5 547 32,79%
SCA B 27850 278,5 100 5,43% 52915 278,5 190 9,40% 2785 278,5 10 0,45% 2785 278,5 10 0,44%
SKF B 21200 106 200 4,13% 40280 106 380 7,15% 40280 106 380 6,44% 40280 106 380 6,31%
Switchcore 1109 1,54 720 0,22% 111 1,54 72 0,02% 2107 1,54 1 368 0,34% 2107 1,54 1 368 0,33%
Telelogic 2685 17,9 150 0,52% 269 17,9 15 0,05% 269 17,9 15 0,04% 5102 17,9 285 0,80%
Tele2 B 12263 81,75 150 2,39% 1226 81,75 15 0,22% 1226 81,75 15 0,20% 1226 81,75 15 0,19%
TeliaSonera 12240 40,8 300 2,39% 14892 40,8 365 2,65% 17870 40,8 438 2,86% 23256 40,8 570 3,64%
513070 563028 625092 638173
Portfolio 4
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation
AstraZeneca SDB 31000 310 100 6,28% 58900 310 190 11,92% 58900 310 190 11,92% 58900 310 190 11,92%
Ericsson B 95480 21,7 4 400 19,33% 9548 21,7 440 1,93% 61259 21,7 2 823 12,40% 27212 21,7 1 254 5,51%
Hennes & Mauritz B 100200 250,5 400 20,29% 190380 250,5 760 38,54% 190380 250,5 760 38,52% 190380 250,5 760 38,53%
Ledstiernan 12852 3,57 3 600 2,60% 6497 3,57 1 820 1,32% 24419 3,57 6 840 4,94% 24419 3,57 6 840 4,94%
Nordea 93800 67 1 400 18,99% 175071 67 2 613 35,44% 9380 67 140 1,90% 9380 67 140 1,90%
Nokia 72300 120,5 600 14,64% 7230 120,5 60 1,46% 137370 120,5 1 140 27,80% 137370 120,5 1 140 27,80%
Swedish Match 431 86,25 5 0,09% 863 86,25 10 0,17% 863 86,25 10 0,17% 863 86,25 10 0,17%
Tele2 B 67500 225 300 13,67% 6750 225 30 1,37% 6750 225 30 1,37% 6750 225 30 1,37%
Tieto Enator 18923 217,5 87 3,83% 35888 217,5 165 7,26% 1958 217,5 9 0,40% 35888 217,5 165 7,26%
Volvo B 1455 291 5 0,29% 2910 291 10 0,59% 2910 291 10 0,59% 2910 291 10 0,59% Initial portfolio 4 2005-05-11
493941 494037 494189 494072
2005-11-11
AstraZeneca SDB 36650 366,5 100 7,07% 69635 366,5 190 12,58% 69635 366,5 190 12,78% 69635 366,5 190 12,81%
Ericsson B 117480 26,7 4 400 22,67% 11748 26,7 440 2,12% 75374 26,7 2 823 13,84% 33482 26,7 1 254 6,16%
Hennes & Mauritz B 100800 252 400 19,45% 191520 252 760 34,60% 191520 252 760 35,16% 191520 252 760 35,22%
Ledstiernan 14436 4,01 3 600 2,79% 7298 4,01 1 820 1,32% 27428 4,01 6 840 5,03% 27428 4,01 6 840 5,04%
Nordea 115150 82,25 1 400 22,22% 214919 82,25 2 613 38,83% 11515 82,25 140 2,11% 11515 82,25 140 2,12%
Nokia 84300 140,5 600 16,26% 8430 140,5 60 1,52% 160170 140,5 1 140 29,40% 160170 140,5 1 140 29,46%
Swedish Match 459 91,75 5 0,09% 918 91,75 10 0,17% 918 91,75 10 0,17% 918 91,75 10 0,17%
Tele2 B 24525 81,75 300 4,73% 2453 81,75 30 0,44% 2453 81,75 30 0,45% 2453 81,75 30 0,45%
Tieto Enator 22794 262 87 4,40% 43230 262 165 7,81% 2358 262 9 0,43% 43230 262 165 7,95%
Volvo B 1703 340,5 5 0,33% 3405 340,5 10 0,62% 3405 340,5 10 0,63% 3405 340,5 10 0,63% Initial portfolio 4 2005-11-11
518297 553556 544776 543756
Portfolio 5
2005-05-11
Appendix D

Assa Abloy 18950 94,75 200 4,11% 1895 94,75 20 0,41% 1895 94,75 20 0,41% 1895 94,75 20 0,41%
Axfood 25950 173 150 5,63% 49305 173 285 10,70% 2595 173 15 0,56% 2595 173 15 0,56%
Föreningssparbanken 33800 169 200 7,33% 64220 169 380 13,93% 64220 169 380 13,94% 64220 169 380 13,93%
Gambro A 31416 93,5 336 6,82% 59653 93,5 638 12,94% 59653 93,5 638 12,95% 33380 93,5 357 7,24%
Svenska Handelsbanken B 63600 159 400 13,80% 22101 159 139 4,79% 6360 159 40 1,38% 6360 159 40 1,38%
Holmen B 19450 194,5 100 4,22% 18478 194,5 95 4,01% 1945 194,5 10 0,42% 1945 194,5 10 0,42%
Investor B 37900 94,75 400 8,22% 11181 94,75 118 2,43% 60356 94,75 637 13,10% 72010 94,75 760 15,62%
Ratos B 30100 150,5 200 6,53% 57190 150,5 380 12,41% 57190 150,5 380 12,41% 57190 150,5 380 12,41%
SCA B 49300 246,5 200 10,70% 17255 246,5 70 3,74% 4930 246,5 20 1,07% 4930 246,5 20 1,07%
Securitas 36150 120,5 300 7,84% 39886 120,5 331 8,65% 53984 120,5 448 11,71% 68685 120,5 570 14,90% Initial portfolio 5 2005-05-11
Skanska B 17500 87,5 200 3,80% 33250 87,5 380 7,21% 33250 87,5 380 7,22% 33250 87,5 380 7,21%
Volvo B 58200 291 200 12,63% 77988 291 268 16,92% 110580 291 380 24,00% 110580 291 380 23,99%
Westergyllen 38600 96,5 400 8,37% 8589 96,5 89 1,86% 3860 96,5 40 0,84% 3860 96,5 40 0,84%
460916 460991 460818 460900
2005-11-11
Assa Abloy 23300 116,5 200 4,49% 2330 116,5 20 0,44% 2330 116,5 20 0,44% 2330 116,5 20 0,43%
Axfood 31500 210 150 6,07% 59850 210 285 11,33% 3150 210 15 0,59% 3150 210 15 0,59%
Gambro A 28560 85 336 5,50% 54230 85 638 10,27% 54230 85 638 10,22% 30345 85 357 5,66%
Svenska Handelsbanken B 74600 186,5 400 14,36% 25924 186,5 139 4,91% 7460 186,5 40 1,41% 7460 186,5 40 1,39%
Holmen B 24700 247 100 4,76% 23465 247 95 4,44% 2470 247 10 0,47% 2470 247 10 0,46%
Investor B 48800 122 400 9,40% 14396 122 118 2,73% 77714 122 637 14,65% 92720 122 760 17,29%
Ratos B 35200 176 200 6,78% 66880 176 380 12,66% 66880 176 380 12,61% 66880 176 380 12,47%
SCA B 55700 278,5 200 10,72% 19495 278,5 70 3,69% 5570 278,5 20 1,05% 5570 278,5 20 1,04%
Securitas 36300 121 300 6,99% 40051 121 331 7,58% 54208 121 448 10,22% 68970 121 570 12,86% Initial portfolio 5 2005-11-11
Skanska B 24000 120 200 4,62% 45600 120 380 8,63% 45600 120 380 8,60% 45600 120 380 8,50%
Volvo B 68100 340,5 200 13,11% 91254 340,5 268 17,28% 129390 340,5 380 24,40% 129390 340,5 380 24,13%
Westergyllen 27200 68 400 5,24% 6052 68 89 1,15% 2720 68 40 0,51% 2720 68 40 0,51%
519360 528187 530382 536265
Portfolio 6
2005-05-11
Ericsson B 30510 21,7 1 406 5,73% 57961 21,7 2 671 10,88% 57961 21,7 2 671 10,88% 57961 21,7 2 671 10,89%
Svenska Handelsbanken A 211019 159,5 1 323 39,63% 198737 159,5 1 246 37,32% 198737 159,5 1 246 37,32% 234306 159,5 1 469 44,01%
Hufvudstaden A 2365 55 43 0,44% 4510 55 82 0,85% 4510 55 82 0,85% 4510 55 82 0,85%
Kinnevik B 42525 60,75 700 7,99% 4253 60,75 70 0,80% 4253 60,75 70 0,80% 4253 60,75 70 0,80%
NCC A 43200 108 400 8,11% 82080 108 760 15,41% 82080 108 760 15,41% 82080 108 760 15,42%
Nordea 33500 67 500 6,29% 63650 67 950 11,95% 63650 67 950 11,95% 63650 67 950 11,96%
SCA B 131138 246,5 532 24,63% 48807 246,5 198 9,16% 48807 246,5 198 9,16% 13065 246,5 53 2,45%
SEB A 10080 126 80 1,89% 19152 126 152 3,60% 19152 126 152 3,60% 19152 126 152 3,60%
TeliaSonera 7600 38 200 1,43% 14440 38 380 2,71% 14440 38 380 2,71% 14440 38 380 2,71% Initial portfolio 6 2005-05-11
532448 532545 532545 532372
2005-11-11
Ericsson B 37540 26,7 1 406 6,04% 71316 26,7 2 671 11,18% 71316 26,7 2 671 11,18% 71316 26,7 2 671 11,16%
Svenska Handelsbanken A 246740 186,5 1 323 39,69% 232379 186,5 1 246 36,43% 232379 186,5 1 246 36,43% 273969 186,5 1 469 42,87%
Hufvudstaden A 2354 54,75 43 0,38% 4490 54,75 82 0,70% 4490 54,75 82 0,70% 4490 54,75 82 0,70%
Kinnevik B 44800 64 700 7,21% 4480 64 70 0,70% 4480 64 70 0,70% 4480 64 70 0,70%
NCC A 56400 141 400 9,07% 107160 141 760 16,80% 107160 141 760 16,80% 107160 141 760 16,77%
Nordea 41125 82,25 500 6,61% 78138 82,25 950 12,25% 78138 82,25 950 12,25% 78138 82,25 950 12,23%
SCA B 148162 278,5 532 23,83% 55143 278,5 198 8,64% 55143 278,5 198 8,64% 14761 278,5 53 2,31%
SEB A 12400 155 80 1,99% 23560 155 152 3,69% 23560 155 152 3,69% 23560 155 152 3,69%
TeliaSonera 8160 40,8 200 1,31% 15504 40,8 380 2,43% 15504 40,8 380 2,43% 15504 40,8 380 2,43% Initial portfolio 6 2005-11-11
621740 637863 637863 639071
Portfolio 7
2005-05-11
Appendix D

Biophausia 9432 2,62 3 600 2,15% 17921 2,62 6 840 4,09% 17921 2,62 6 840 4,09% 17921 2,62 6 840 4,09%
Ericsson B 271250 21,7 12 500 61,95% 121281 21,7 5 589 27,70% 189680 21,7 8 741 43,32% 189680 21,7 8 741 43,32%
Hebi Healthcare 10400 0,13 80 000 2,38% 19760 0,13 152 000 4,51% 19760 0,13 152 000 4,51% 19760 0,13 152 000 4,51%
Hennes & Mauritz B 75150 250,5 300 17,16% 142785 250,5 570 32,61% 142785 250,5 570 32,61% 142785 250,5 570 32,61%
NCC B 21600 108 200 4,93% 41040 108 380 9,37% 41040 108 380 9,37% 41040 108 380 9,37%
Nokia 12050 120,5 100 2,75% 22895 120,5 190 5,23% 22895 120,5 190 5,23% 22895 120,5 190 5,23%
TeliaSonera 38000 38 1 000 8,68% 72200 38 1 900 16,49% 3800 38 100 0,87% 3800 38 100 0,87%
437882 437882 437881 437881
Initial portfolio 7 2005-05-11
2005-11-11
Biophausia 11124 3,09 3 600 2,17% 21136 3,09 6 840 4,31% 21136 3,09 6 840 4,22% 21136 3,09 6 840 4,22%
Ericsson B 333750 26,7 12 500 65,03% 149226 26,7 5 589 30,44% 233385 26,7 8 741 46,59% 233385 26,7 8 741 46,59%
Hebi Healthcare 9600 0,12 80 000 1,87% 18240 0,12 152 000 3,72% 18240 0,12 152 000 3,64% 18240 0,12 152 000 3,64%
Hennes & Mauritz B 75600 252 300 14,73% 143640 252 570 29,30% 143640 252 570 28,67% 143640 252 570 28,67%
NCC B 28300 141,5 200 5,51% 53770 141,5 380 10,97% 53770 141,5 380 10,73% 53770 141,5 380 10,73%
Nokia 14050 140,5 100 2,74% 26695 140,5 190 5,45% 26695 140,5 190 5,33% 26695 140,5 190 5,33%
TeliaSonera 40800 40,8 1 000 7,95% 77520 40,8 1 900 15,81% 4080 40,8 100 0,81% 4080 40,8 100 0,81%
513224 490227 500946 500946
Portfolio 8
2005-05-11
Electrolux B 16503 143,5 115 3,97% 31283 143,5 218 7,54% 10045 143,5 70 2,42% 1722 143,5 12 0,41%
Ericsson B 108500 21,7 5 000 26,13% 12803 21,7 590 3,09% 121520 21,7 5 600 29,29% 206150 21,7 9 500 49,66%
Investor B 37900 94,75 400 9,13% 72010 94,75 760 17,35% 72010 94,75 760 17,36% 72010 94,75 760 17,35%
Onetwocom 160 0,2 800 0,04% 304 0,2 1 520 0,07% 304 0,2 1 520 0,07% 304 0,2 1 520 0,07%
Sandvik 26256 273,5 96 6,32% 49777 273,5 182 12,00% 49777 273,5 182 12,00% 49777 273,5 182 11,99%
SEB A 42210 126 335 10,17% 80136 126 636 19,31% 80136 126 636 19,31% 14490 126 115 3,49%
SEB C 5832 121,5 48 1,40% 11057 121,5 91 2,66% 11057 121,5 91 2,66% 608 121,5 5 0,15%
SSAB B 29070 161,5 180 7,00% 55233 161,5 342 13,31% 55233 161,5 342 13,31% 55233 161,5 342 13,31% Initial portfolio 8 2005-05-11
Trelleborg 19398 106 183 4,67% 36888 106 348 8,89% 1908 106 18 0,46% 1908 106 18 0,46%
415217 414977 414897 415109
2005-11-11
Electrolux B 22080 192 115 4,27% 41856 192 218 7,84% 13440 192 70 2,51% 2304 192 12 0,43%
Ericsson B 133500 26,7 5 000 25,80% 15753 26,7 590 2,95% 149520 26,7 5 600 27,91% 253650 26,7 9 500 47,39%
Investor B 48800 122 400 9,43% 92720 122 760 17,37% 92720 122 760 17,30% 92720 122 760 17,32%
Onetwocom 120 0,15 800 0,02% 228 0,15 1 520 0,04% 228 0,15 1 520 0,04% 228 0,15 1 520 0,04%
Sandvik 36720 382,5 96 7,10% 69615 382,5 182 13,04% 69615 382,5 182 12,99% 69615 382,5 182 13,01%
SEB A 51925 155 335 10,03% 98580 155 636 18,46% 98580 155 636 18,40% 17825 155 115 3,33%
SEB C 7176 149,5 48 1,39% 13605 149,5 91 2,55% 13605 149,5 91 2,54% 748 149,5 5 0,14%
SSAB B 42480 236 180 8,21% 80712 236 342 15,12% 80712 236 342 15,06% 80712 236 342 15,08% Initial portfolio 8 2005-11-11
Trelleborg 23241 127 183 4,49% 44196 127 348 8,28% 2286 127 18 0,43% 2286 127 18 0,43%
517480 533917 535813 535195
Portfolio 9
2005-05-11
Appendix D

Atlas Copco A 8937 331 27 2,06% 16881 331 51 3,90% 16881 331 51 3,90% 16881 331 51 3,90%
Billerud 6216 84 74 1,44% 588 84 7 0,14% 588 84 7 0,14% 588 84 7 0,14%
Electrolux B 23965 143,5 167 5,54% 45490 143,5 317 10,52% 2440 143,5 17 0,56% 2440 143,5 17 0,56%
Ericsson B 192436 21,7 8 868 44,46% 38973 21,7 1 796 9,01% 176790 21,7 8 147 40,87% 264870 21,7 12 206 61,23%
Nordea 46900 67 700 10,84% 89110 67 1 330 20,60% 89110 67 1 330 20,60% 4690 67 70 1,08%
SCA A 8500 250 34 1,96% 750 250 3 0,17% 750 250 3 0,17% 750 250 3 0,17%
SCA B 22678 246,5 92 5,24% 6656 246,5 27 1,54% 2219 246,5 9 0,51% 2219 246,5 9 0,51%
SEB A 52164 126 414 12,05% 99162 126 787 22,92% 8820 126 70 2,04% 5166 126 41 1,19%
Volvo A 70993 279,5 254 16,40% 134999 279,5 483 31,21% 134999 279,5 483 31,21% 134999 279,5 483 31,21%
2005-11-11
Atlas Copco A 4320 160 27 0,83% 8160 160 51 1,58% 8160 160 51 1,59% 8160 160 51 1,59%
Billerud 7104 96 74 1,36% 672 96 7 0,13% 672 96 7 0,13% 672 96 7 0,13%
Electrolux B 32064 192 167 6,16% 60864 192 317 11,78% 3264 192 17 0,64% 3264 192 17 0,64%
Ericsson B 236776 26,7 8 868 45,46% 47953 26,7 1 796 9,28% 217525 26,7 8 147 42,44% 325900 26,7 12 206 63,55%
Nordea 57575 82,25 700 11,05% 109393 82,25 1 330 21,17% 109393 82,25 1 330 21,34% 5758 82,25 70 1,12%
SCA A 9418 277 34 1,81% 831 277 3 0,16% 831 277 3 0,16% 831 277 3 0,16%
SCA B 25622 278,5 92 4,92% 7520 278,5 27 1,46% 2507 278,5 9 0,49% 2507 278,5 9 0,49%
SEB A 64170 155 414 12,32% 121985 155 787 23,61% 10850 155 70 2,12% 6355 155 41 1,24%
Volvo A 83820 330 254 16,09% 159390 330 483 30,84% 159390 330 483 31,09% 159390 330 483 31,08%
Portfolio 10
2005-05-11
ABB LTD SDB 22950 45,9 500 4,46% 2295 45,9 50 0,45% 43605 45,9 950 8,47% 43605 45,9 950 8,47%
AstraZeneca SDB 15500 310 50 3,01% 29450 310 95 5,72% 29450 310 95 5,72% 29450 310 95 5,72%
Bilia 12500 125 100 2,43% 23750 125 190 4,62% 23750 125 190 4,62% 23750 125 190 4,62%
Connecta 13322 24,9 535 2,59% 25323 24,9 1 017 4,92% 25323 24,9 1 017 4,92% 1345 24,9 54 0,26%
Electrolux B 13633 143,5 95 2,65% 12485 143,5 87 2,43% 1435 143,5 10 0,28% 1435 143,5 10 0,28%
Ericsson B 1432 21,7 66 0,28% 152 21,7 7 0,03% 152 21,7 7 0,03% 2713 21,7 125 0,53%
Gambro B 25058 93,5 268 4,87% 47592 93,5 509 9,25% 47592 93,5 509 9,25% 16269 93,5 174 3,16%
Hennes & Mauritz B 50100 250,5 200 9,74% 95190 250,5 380 18,50% 95190 250,5 380 18,50% 95190 250,5 380 18,50%
Klövern 20480 21,4 957 3,98% 38905 21,4 1 818 7,56% 38905 21,4 1 818 7,56% 38905 21,4 1 818 7,56% Initial portfolio 10 2005-05-11
Mekonomen 61800 154,5 400 12,01% 68444 154,5 443 13,30% 6180 154,5 40 1,20% 6180 154,5 40 1,20%
Micronic Laser Systems 20850 69,5 300 4,05% 2085 69,5 30 0,41% 2085 69,5 30 0,41% 39615 69,5 570 7,70%
New Wave Group 98928 114,5 864 19,22% 72135 114,5 630 14,02% 28740 114,5 251 5,58% 9847 114,5 86 1,91%
Nokia 24100 120,5 200 4,68% 2410 120,5 20 0,47% 35909 120,5 298 6,98% 45790 120,5 380 8,90%
Securitas 24100 120,5 200 4,68% 25185 120,5 209 4,89% 21570 120,5 179 4,19% 45790 120,5 380 8,90%
Skanska B 43750 87,5 500 8,50% 33950 87,5 388 6,60% 83125 87,5 950 16,15% 83125 87,5 950 16,15%
Skandia 13880 34,7 400 2,70% 1388 34,7 40 0,27% 26372 34,7 760 5,12% 26372 34,7 760 5,12%
Trelleborg 21200 106 200 4,12% 2120 106 20 0,41% 2120 106 20 0,41% 2120 106 20 0,41%
Viking Telecom 15120 2,4 6 300 2,94% 1512 2,4 630 0,29% 1512 2,4 630 0,29% 1512 2,4 630 0,29%
514603 514581 514605 514603
2005-11-11
ABB LTD SDB 33375 66,75 500 6,45% 3338 66,75 50 0,65% 63413 66,75 950 10,77% 63413 66,75 950 10,64%
AstraZeneca SDB 18325 366,5 50 3,54% 34818 366,5 95 6,83% 34818 366,5 95 5,92% 34818 366,5 95 5,84%
Bilia 13650 136,5 100 2,64% 25935 136,5 190 5,09% 25935 136,5 190 4,41% 25935 136,5 190 4,35%
Connecta 22096 41,3 535 4,27% 42002 41,3 1 017 8,24% 42002 41,3 1 017 7,14% 2230 41,3 54 0,37%
Electrolux B 18240 192 95 3,52% 16704 192 87 3,28% 1920 192 10 0,33% 1920 192 10 0,32%
Ericsson B 1762 26,7 66 0,34% 187 26,7 7 0,04% 187 26,7 7 0,03% 3338 26,7 125 0,56%
Gambro B 22780 85 268 4,40% 43265 85 509 8,49% 43265 85 509 7,35% 14790 85 174 2,48%
Hennes & Mauritz B 50400 252 200 9,74% 95760 252 380 18,79% 95760 252 380 16,27% 95760 252 380 16,07%
Klövern 21245 22,2 957 4,10% 40360 22,2 1 818 7,92% 40360 22,2 1 818 6,86% 40360 22,2 1 818 6,77% Initial portfolio 10 2005-11-11
Mekonomen 36400 91 400 7,03% 40313 91 443 7,91% 3640 91 40 0,62% 3640 91 40 0,61%
Micronic Laser Systems 27450 91,5 300 5,30% 2745 91,5 30 0,54% 2745 91,5 30 0,47% 52155 91,5 570 8,75%
New Wave Group 66960 77,5 864 12,93% 48825 77,5 630 9,58% 19453 77,5 251 3,31% 6665 77,5 86 1,12%
Nokia 28100 140,5 200 5,43% 2810 140,5 20 0,55% 41869 140,5 298 7,11% 53390 140,5 380 8,96%
Securitas 24200 121 200 4,67% 25289 121 209 4,96% 21659 121 179 3,68% 45980 121 380 7,72%
Skanska B 60000 120 500 11,59% 46560 120 388 9,13% 114000 120 950 19,37% 114000 120 950 19,13%
Skandia 16800 42 400 3,25% 1680 42 40 0,33% 31920 42 760 5,42% 31920 42 760 5,36%
Trelleborg 25400 127 200 4,91% 2540 127 20 0,50% 2540 127 20 0,43% 2540 127 20 0,43%
Viking Telecom 11844 1,88 6 300 2,29% 1184 1,88 630 0,23% 1184 1,88 630 0,20% 1184 1,88 630 0,20%
517677 509750 588535 595903
Portfolio 11
2005-05-11
Appendix D
ABB LTD SDB 131090 45,9 2 856 27,69% 138985 45,9 3 028 29,36% 153031 45,9 3 334 32,33% 249053 45,9 5 426 52,61%
Ericsson B 13020 21,7 600 2,75% 1302 21,7 60 0,28% 1302 21,7 60 0,28% 24738 21,7 1 140 5,23%
Gambro A 191862 93,5 2 052 40,53% 129872 93,5 1 389 27,44% 129498 93,5 1 385 27,35% 99017 93,5 1 059 20,92%
Gambro B 48246 93,5 516 10,19% 91630 93,5 980 19,36% 91630 93,5 980 19,36% 91630 93,5 980 19,36%
SCA B 73950 246,5 300 15,62% 91698 246,5 372 19,37% 83317 246,5 338 17,60% 7395 246,5 30 1,56%
TeliaSonera 15200 38 400 3,21% 19836 38 522 4,19% 14630 38 385 3,09% 1520 38 40 0,32%
473368 473323 473408 473353
2005-11-11
ABB LTD SDB 190638 66,75 2 856,00 36,33% 202119 66,75 3 028,00 38,14% 222545 66,75 3 334,00 41,60% 362186 66,75 5 426,00 62,89%
Ericsson B 16020 26,7 600 3,05% 1602 26,7 60 0,30% 1602 26,7 60 0,30% 30438 26,7 1 140,00 5,29%
Gambro A 174420 85 2 052,00 33,24% 118065 85 1 389,00 22,28% 117725 85 1 385,00 22,00% 90015 85 1 059,00 15,63%
Gambro B 43860 85 516 8,36% 83300 85 980 15,72% 83300 85 980 15,57% 83300 85 980 14,46%
SCA B 83550 278,5 300 15,92% 103602 278,5 372 19,55% 94133 278,5 338 17,59% 8355 278,5 30 1,45%
TeliaSonera 16320 40,8 400 3,11% 21298 40,8 522 4,02% 15708 40,8 385 2,94% 1632 40,8 40 0,28%
524808 529986 535013 575926

Portfolio 12
2005-05-11
Anoto Group 7659 11,5 666 1,15% 14548 11,5 1 265 2,18% 14548 11,5 1 265 2,18% 14548 11,5 1 265 2,18%
Connecta 12450 24,9 500 1,86% 23655 24,9 950 3,54% 23655 24,9 950 3,54% 23655 24,9 950 3,54%
Ericsson B 151900 21,7 7 000 22,75% 29881 21,7 1 377 4,48% 288610 21,7 13 300 43,22% 288610 21,7 13 300 43,22%
Klövern 3766 21,4 176 0,56% 7148 21,4 334 1,07% 7148 21,4 334 1,07% 7148 21,4 334 1,07%
Nokia 120500 120,5 1 000 18,05% 228950 120,5 1 900 34,29% 228950 120,5 1 900 34,29% 228950 120,5 1 900 34,29%
Pricer 6199 0,93 6 666 0,93% 11778 0,93 12 665 1,76% 11778 0,93 12 665 1,76% 11778 0,93 12 665 1,76%
Skandia 27760 34,7 800 4,16% 52744 34,7 1 520 7,90% 52744 34,7 1 520 7,90% 52744 34,7 1 520 7,90%
Tele2 B 337500 225 1 500 50,54% 299025 225 1 329 44,78% 40275 225 179 6,03% 40275 225 179 6,03%
667734 667729 667708 667708
2005-11-11
Anoto Group 16517 24,8 666 3,11% 31372 24,8 1 265 5,54% 31372 24,8 1 265 3,97% 31372 24,8 1 265 3,97%
Connecta 20650 41,3 500 3,89% 39235 41,3 950 6,93% 39235 41,3 950 4,96% 39235 41,3 950 4,96%
Ericsson B 186900 26,7 7 000 35,19% 36766 26,7 1 377 6,49% 355110 26,7 13 300 44,90% 355110 26,7 13 300 44,90%
Klövern 3907 22,2 176 0,74% 7415 22,2 334 1,31% 7415 22,2 334 0,94% 7415 22,2 334 0,94%
Nokia 140500 140,5 1 000 26,45% 266950 140,5 1 900 47,12% 266950 140,5 1 900 33,76% 266950 140,5 1 900 33,76%
Pricer 6466 0,97 6 666 1,22% 12285 0,97 12 665 2,17% 12285 0,97 12 665 1,55% 12285 0,97 12 665 1,55%
Skandia 33600 42 800 6,33% 63840 42 1 520 11,27% 63840 42 1 520 8,07% 63840 42 1 520 8,07%
Tele2 B 122625 81,75 1 500 23,09% 108646 81,75 1 329 19,18% 14633 81,75 179 1,85% 14633 81,75 179 1,85%
531165 566509 790840 790840
Portfolio 13
2005-05-11
Boss Media 25000 25 1 000 6,38% 41325 25 1 653 10,55% 47500 25 1 900 12,13% 47500 25 1 900 12,13%
Cisl Gruppen 18000 0,18 100 000 4,60% 12251 0,18 68 060 3,13% 34200 0,18 190 000 8,73% 34200 0,18 190 000 8,73%
Ericsson B 86800 21,7 4 000 22,17% 20702 21,7 954 5,29% 116138 21,7 5 352 29,66% 126750 21,7 5 841 32,37%
Lundin Mining 119000 59,5 2 000 30,39% 146073 59,5 2 455 37,30% 22551 59,5 379 5,76% 11900 59,5 200 3,04%
Lundin Petroleum 55250 55,25 1 000 14,11% 104975 55,25 1 900 26,81% 104975 55,25 1 900 26,80% 104975 55,25 1 900 26,81%
Telelogic 55600 13,9 4 000 14,20% 5560 13,9 400 1,42% 5560 13,9 400 1,42% 5560 13,9 400 1,42%
West Siberian Resources 31950 2,13 15 000 8,16% 60705 2,13 28 500 15,50% 60705 2,13 28 500 15,50% 60705 2,13 28 500 15,50%
391600 391591 391629 391590
2005-11-11
Boss Media 22200 22,2 1 000 4,02% 36697 22,2 1 653 6,31% 42180 22,2 1 900 7,45% 42180 22,2 1 900 7,48%
Cisl Gruppen 33000 0,33 100 000 5,98% 22460 0,33 68 060 3,86% 62700 0,33 190 000 11,07% 62700 0,33 190 000 11,11%
Ericsson B 106800 26,7 4 000 19,35% 25472 26,7 954 4,38% 142898 26,7 5 352 25,22% 155955 26,7 5 841 27,64%
Lundin Mining 171500 85,75 2 000 31,07% 210516 85,75 2 455 36,21% 32499 85,75 379 5,74% 17150 85,75 200 3,04%
Lundin Petroleum 80750 80,75 1 000 14,63% 153425 80,75 1 900 26,39% 153425 80,75 1 900 27,08% 153425 80,75 1 900 27,19%
Telelogic 71600 17,9 4 000 12,97% 7160 17,9 400 1,23% 7160 17,9 400 1,26% 7160 17,9 400 1,27%
West Siberian Resources 66150 4,41 15 000 11,98% 125685 4,41 28 500 21,62% 125685 4,41 28 500 22,18% 125685 4,41 28 500 22,27%
552000 581415 566547 564255
Portfolio 14
2005-05-11
Appendix D

Billerud 2940 84 35 0,67% 5628 84 67 1,28% 336 84 4 0,08% 336 84 4 0,08%
Ericsson B 177593 21,7 8 184 40,30% 17751 21,7 818 4,03% 17751 21,7 818 4,03% 17751 21,7 818 4,03%
Genline 6885 5,1 1 350 1,56% 13081 5,1 2 565 2,97% 689 5,1 135 0,16% 689 5,1 135 0,16%
Hennes & Mauritz B 87675 250,5 350 19,89% 166583 250,5 665 37,80% 123246 250,5 492 27,97% 123246 250,5 492 27,97%
Karo Bio 4311 9,25 466 0,98% 6290 9,25 680 1,43% 435 9,25 47 0,10% 435 9,25 47 0,10%
Scania A 4617 256,5 18 1,05% 8721 256,5 34 1,98% 513 256,5 2 0,12% 513 256,5 2 0,12%
Skandia 69400 34,7 2 000 15,75% 56769 34,7 1 636 12,88% 131860 34,7 3 800 29,92% 131860 34,7 3 800 29,92%
Volvo B 87300 291 300 19,81% 165870 291 570 37,64% 165870 291 570 37,64% 165870 291 570 37,64%
440721 440693 440700 440700
2005-11-11
Billerud 3360 96 35 0,66% 6432 96 67 1,32% 384 96 4 0,08% 384 96 4 0,08%
Ericsson B 218513 26,7 8 184 42,66% 21841 26,7 818 4,48% 21841 26,7 818 4,35% 21841 26,7 818 4,35%
Genline 6818 5,05 1 350 1,33% 12953 5,05 2 565 2,66% 682 5,05 135 0,14% 682 5,05 135 0,14%
Hennes & Mauritz B 88200 252 350 17,22% 167580 252 665 34,40% 123984 252 492 24,72% 123984 252 492 24,72%
Karo Bio 4171 8,95 466 0,81% 6086 8,95 680 1,25% 421 8,95 47 0,08% 421 8,95 47 0,08%
Scania A 5031 279,5 18 0,98% 9503 279,5 34 1,95% 559 279,5 2 0,11% 559 279,5 2 0,11%
Skandia 84000 42 2 000 16,40% 68712 42 1 636 14,10% 159600 42 3 800 31,82% 159600 42 3 800 31,82%
Volvo B 102150 340,5 300 19,94% 194085 340,5 570 39,84% 194085 340,5 570 38,70% 194085 340,5 570 38,70%
512243 487192 501556 501556
Portfolio 15
2005-05-11
Ericsson B 43400 21,7 2 000 8,23% 16188 21,7 746 3,07% 22134 21,7 1 020 4,20% 4340 21,7 200 0,82%
Hennes & Mauritz B 50100 250,5 200 9,50% 95190 250,5 380 18,06% 95190 250,5 380 18,04% 95190 250,5 380 18,05%
Kungsleden 207000 345 600 39,25% 163185 345 473 30,95% 224595 345 651 42,57% 393300 345 1 140 74,58%
Ratos B 75250 150,5 500 14,27% 134999 150,5 897 25,61% 126270 150,5 839 23,94% 19415 150,5 129 3,68%
Sandvik 52512 273,5 192 9,96% 62358 273,5 228 11,83% 29538 273,5 108 5,60% 5197 273,5 19 0,99%
SCA B 73950 246,5 300 14,02% 7395 246,5 30 1,40% 7395 246,5 30 1,40% 7395 246,5 30 1,40%
SEB A 25200 126 200 4,78% 47880 126 380 9,08% 22428 126 178 4,25% 2520 126 20 0,48%
527412 527195 527550 527357
2005-11-11
Ericsson B 53400 26,7 2 000 10,50% 19918 26,7 746 3,76% 27234 26,7 1 020 5,59% 5340 26,7 200 1,38%
Hennes & Mauritz B 50400 252 200 9,91% 95760 252 380 18,09% 95760 252 380 19,64% 95760 252 380 24,74%
Kungsleden 128700 214,5 600 25,31% 101459 214,5 473 19,16% 139640 214,5 651 28,64% 244530 214,5 1 140 63,18%
Ratos B 88000 176 500 17,31% 157872 176 897 29,82% 147664 176 839 30,29% 22704 176 129 5,87%
Sandvik 73440 382,5 192 14,44% 87210 382,5 228 16,47% 41310 382,5 108 8,47% 7268 382,5 19 1,88%
SCA B 83550 278,5 300 16,43% 8355 278,5 30 1,58% 8355 278,5 30 1,71% 8355 278,5 30 2,16%
SEB A 31000 155 200 6,10% 58900 155 380 11,12% 27590 155 178 5,66% 3100 155 20 0,80%
508490 529474 487553 387057
Portfolio 16
2005-05-11
Appendix D

Öresund 36200 181 200 6,78% 68780 181 380 12,87% 33123 181 183 6,20% 33123 181 183 6,20%
ABB LTD SDB 9364 45,9 204 1,75% 17809 45,9 388 3,33% 17809 45,9 388 3,33% 17809 45,9 388 3,33%
Atlas Copco A 50643 331 153 9,48% 96321 331 291 18,03% 96321 331 291 18,03% 96321 331 291 18,03%
Atlas Copco B 107055 305 351 20,05% 86315 305 283 16,16% 203435 305 667 38,08% 203435 305 667 38,08%
Boliden 448 28 16 0,08% 840 28 30 0,16% 840 28 30 0,16% 840 28 30 0,16%
Svenska Handelsbanken A 239250 159,5 1 500 44,80% 91075 159,5 571 17,05% 23925 159,5 150 4,48% 23925 159,5 150 4,48%
Investor B 28425 94,75 300 5,32% 54008 94,75 570 10,11% 54008 94,75 570 10,11% 54008 94,75 570 10,11%
Nordea 53600 67 800 10,04% 101840 67 1 520 19,06% 101840 67 1 520 19,06% 101840 67 1 520 19,06%
Sandvik 1094 273,5 4 0,20% 2188 273,5 8 0,41% 2188 273,5 8 0,41% 2188 273,5 8 0,41%
2005-11-11
Öresund 40500 202,5 200 7,75% 76950 202,5 380 15,00% 37058 202,5 183 8,57% 37058 202,5 183 8,57%
ABB LTD SDB 13617 66,75 204 2,61% 25899 66,75 388 5,05% 25899 66,75 388 5,99% 25899 66,75 388 5,99%
Atlas Copco A 24480 160 153 4,69% 46560 160 291 9,08% 46560 160 291 10,77% 46560 160 291 10,77%
Atlas Copco B 50018 142,5 351 9,58% 40328 142,5 283 7,86% 95048 142,5 667 21,98% 95048 142,5 667 21,98%
Boliden 717 44,8 16 0,14% 1344 44,8 30 0,26% 1344 44,8 30 0,31% 1344 44,8 30 0,31%
Investor B 36600 122 300 7,01% 69540 122 570 13,56% 69540 122 570 16,08% 69540 122 570 16,08%
Nordea 65800 82,25 800 12,60% 125020 82,25 1 520 24,37% 125020 82,25 1 520 28,91% 125020 82,25 1 520 28,91%
Sandvik 1530 382,5 4 0,29% 3060 382,5 8 0,60% 3060 382,5 8 0,71% 3060 382,5 8 0,71%
Portfolio 17
2005-05-11
ABB LTD SDB 24327 45,9 530 5,74% 5233 45,9 114 1,24% 46221 45,9 1 007 10,91% 46221 45,9 1 007 10,91%
AstraZeneca SDB 15500 310 50 3,66% 29450 310 95 6,95% 29450 310 95 6,95% 29450 310 95 6,95%
Ericsson B 52080 21,7 2 400 12,29% 5208 21,7 240 1,23% 28818 21,7 1 328 6,80% 53556 21,7 2 468 12,64%
Hennes & Mauritz B 40080 250,5 160 9,46% 76152 250,5 304 17,98% 76152 250,5 304 17,97% 76152 250,5 304 17,97%
Intrum Justitia 15600 52 300 3,68% 14144 52 272 3,34% 1560 52 30 0,37% 1560 52 30 0,37%
Lundin Petroleum 5525 55,25 100 1,30% 10498 55,25 190 2,48% 10498 55,25 190 2,48% 10498 55,25 190 2,48%
MTG B 54875 219,5 250 12,95% 46095 219,5 210 10,88% 104263 219,5 475 24,60% 104263 219,5 475 24,60%
Nordea 26800 67 400 6,32% 46431 67 693 10,96% 2680 67 40 0,63% 2680 67 40 0,63% Initial portfolio 17 2005-05-11
SCA B 36975 246,5 150 8,72% 47082 246,5 191 11,11% 3698 246,5 15 0,87% 3698 246,5 15 0,87%
Scania B 26000 260 100 6,13% 49400 260 190 11,66% 2600 260 10 0,61% 2600 260 10 0,61%
Securitas 24100 120,5 200 5,69% 11689 120,5 97 2,76% 45790 120,5 380 10,81% 45790 120,5 380 10,80%
Telelogic 27800 13,9 2 000 6,56% 2780 13,9 200 0,66% 2780 13,9 200 0,66% 2780 13,9 200 0,66%
423812 423597 423779 423843
2005-11-11
ABB LTD SDB 35378 66,75 530 6,86% 7610 66,75 114 1,52% 67217 66,75 1 007 12,86% 67217 66,75 1 007 12,85%
AstraZeneca SDB 18325 366,5 50 3,55% 34818 366,5 95 6,98% 34818 366,5 95 6,66% 34818 366,5 95 6,66%
Ericsson B 64080 26,7 2 400 12,43% 6408 26,7 240 1,28% 35458 26,7 1 328 6,78% 65896 26,7 2 468 12,60%
Hennes & Mauritz B 40320 252 160 7,82% 76608 252 304 15,35% 76608 252 304 14,65% 76608 252 304 14,65%
Intrum Justitia 20400 68 300 3,96% 18496 68 272 3,71% 2040 68 30 0,39% 2040 68 30 0,39%
MTG B 77250 309 250 14,98% 64890 309 210 13,00% 146775 309 475 28,08% 146775 309 475 28,07%
Nordea 32900 82,25 400 6,38% 56999 82,25 693 11,42% 3290 82,25 40 0,63% 3290 82,25 40 0,63% Initial portfolio 17 2005-11-11
SCA B 41775 278,5 150 8,10% 53194 278,5 191 10,66% 4178 278,5 15 0,80% 4178 278,5 15 0,80%
Scania B 28050 280,5 100 5,44% 53295 280,5 190 10,68% 2805 280,5 10 0,54% 2805 280,5 10 0,54%
Securitas 24200 121 200 4,69% 11737 121 97 2,35% 45980 121 380 8,80% 45980 121 380 8,79%
Telelogic 35800 17,9 2 000 6,94% 3580 17,9 200 0,72% 3580 17,9 200 0,68% 3580 17,9 200 0,68%
515603 499175 522759 522975
Portfolio 18
2005-05-11
Appendix D
Ericsson B 217000 21,7 10 000 55,73% 73563 21,7 3 390 18,89% 216935 21,7 9 997 55,71% 88297 21,7 4 069 22,67%
Framfab 17920 0,64 28 000 4,60% 23800 0,64 37 188 6,11% 34048 0,64 53 200 8,74% 34048 0,64 53 200 8,74%
Modul1 2225 0,89 2 500 0,57% 2783 0,89 3 127 0,71% 223 0,89 250 0,06% 223 0,89 250 0,06%
SSAB A 151200 168 900 38,83% 287280 168 1 710 73,78% 138096 168 822 35,46% 266784 168 1 588 68,50%
389365 389364 389404 389454
2005-11-11
Ericsson B 267000 26,7 10 000 50,91% 90513 26,7 3 390 16,12% 266920 26,7 9 997 50,50% 108642 26,7 4 069 19,34%
Framfab 29400 1,05 28 000 5,61% 39047 1,05 37 188 6,95% 55860 1,05 53 200 10,57% 55860 1,05 53 200 9,94%
Modul1 2075 0,83 2 500 0,40% 2595 0,83 3 127 0,46% 208 0,83 250 0,04% 208 0,83 250 0,04%
SSAB A 225000 250 900 42,90% 427500 250 1 710 76,13% 205500 250 822 38,88% 397000 250 1 588 70,66%
524485 561574 528589 561811
Portfolio 19
2005-05-11
Atlas Copco A 64545 331 195 9,77% 122801 331 371 18,59% 122801 331 371 18,59% 122801 331 371 18,59%
Billerud 27216 84 324 4,12% 51744 84 616 7,83% 2688 84 32 0,41% 2688 84 32 0,41%
Ericsson B 64579 21,7 2 976 9,78% 6467 21,7 298 0,98% 122692 21,7 5 654 18,58% 122692 21,7 5 654 18,58%
Gambro A 20103 93,5 215 3,04% 38242 93,5 409 5,79% 38242 93,5 409 5,79% 38242 93,5 409 5,79%
Sandvik 34188 273,5 125 5,18% 65093 273,5 238 9,85% 65093 273,5 238 9,86% 65093 273,5 238 9,86%
Scania A 2565 256,5 10 0,39% 4874 256,5 19 0,74% 4874 256,5 19 0,74% 4874 256,5 19 0,74%
SKF B 18432 72 256 2,79% 34992 72 486 5,30% 34992 72 486 5,30% 34992 72 486 5,30%
Tele2 B 270000 225 1 200 40,89% 34875 225 155 5,28% 27000 225 120 4,09% 27000 225 120 4,09%
Volvo B 69840 291 240 10,58% 132696 291 456 20,09% 132696 291 456 20,09% 132696 291 456 20,09% Initial portfolio 19 2005-05-11
660322 660539 660499 660499
2005-11-11
Atlas Copco A 31200 160 195 5,96% 59360 160 371 8,76% 59360 160 371 8,57% 59360 160 371 8,57%
Billerud 31104 96 324 5,94% 59136 96 616 8,73% 3072 96 32 0,44% 3072 96 32 0,44%
Ericsson B 79459 26,7 2 976 15,19% 7957 26,7 298 1,17% 150962 26,7 5 654 21,80% 150962 26,7 5 654 21,80%
Gambro A 18275 85 215 3,49% 34765 85 409 5,13% 34765 85 409 5,02% 34765 85 409 5,02%
Sandvik 47813 382,5 125 9,14% 91035 382,5 238 13,43% 91035 382,5 238 13,15% 91035 382,5 238 13,15%
Scania A 2795 279,5 10 0,53% 5311 279,5 19 0,78% 5311 279,5 19 0,77% 5311 279,5 19 0,77%
SKF B 27136 106 256 5,19% 51516 106 486 7,60% 51516 106 486 7,44% 51516 106 486 7,44%
Tele2 B 98100 81,75 1 200 18,75% 12671 81,75 155 1,87% 9810 81,75 120 1,42% 9810 81,75 120 1,42%
Volvo B 81720 340,5 240 15,62% 155268 340,5 456 22,91% 155268 340,5 456 22,43% 155268 340,5 456 22,43% Initial portfolio 19 2005-11-11
523244 677656 692358 692358
Portfolio 20
2005-05-11
Electrolux B 58118 143,5 405 13,97% 109204 143,5 761 26,25% 5884 143,5 41 1,41% 5884 143,5 41 1,41%
Ericsson B 221145 21,7 10 191 53,17% 117093 21,7 5 396 28,15% 226852 21,7 10 454 54,54% 323265 21,7 14 897 77,72%
Hennes & Mauritz B 25050 250,5 100 6,02% 47595 250,5 190 11,44% 47595 250,5 190 11,44% 47595 250,5 190 11,44%
Holmen B 38900 194,5 200 9,35% 3890 194,5 20 0,94% 3890 194,5 20 0,94% 3890 194,5 20 0,94%
Investor B 9475 94,75 100 2,28% 18003 94,75 190 4,33% 18003 94,75 190 4,33% 18003 94,75 190 4,33%
Nokia 964 120,5 8 0,23% 1808 120,5 15 0,43% 1808 120,5 15 0,43% 1808 120,5 15 0,43%
SEB A 50274 126 399 12,09% 95508 126 758 22,96% 95508 126 758 22,96% 14364 126 114 3,45%
SEB C 486 121,5 4 0,12% 972 121,5 8 0,23% -------------------------------------------------------------------------------------------------------------------------------------
SKF B 11520 72 160 2,77% 21888 72 304 5,26% 16416 72 228 3,95% 1152 72 16 0,28%
2005-11-11
Electrolux B 77760 192 405 15,04% 146112 192 761 28,14% 7872 192 41 1,55% 7872 192 41 1,56%
Ericsson B 272100 26,7 10 191 52,61% 144073 26,7 5 396 27,75% 279122 26,7 10 454 55,08% 397750 26,7 14 897 79,06%
Hennes & Mauritz B 25200 252 100 4,87% 47880 252 190 9,22% 47880 252 190 9,45% 47880 252 190 9,52%
Holmen B 49400 247 200 9,55% 4940 247 20 0,95% 4940 247 20 0,97% 4940 247 20 0,98%
Investor B 12200 122 100 2,36% 23180 122 190 4,46% 23180 122 190 4,57% 23180 122 190 4,61%
Nokia 1124 140,5 8 0,22% 2108 140,5 15 0,41% 2108 140,5 15 0,42% 2108 140,5 15 0,42%
SEB A 61845 155 399 11,96% 117490 155 758 22,63% 117490 155 758 23,18% 17670 155 114 3,51%
SEB C 598 149,5 4 0,12% 1196 149,5 8 0,23% -------------------------------------------------------------------------------------------------------------------------------------
SKF B 16960 106 160 3,28% 32224 106 304 6,21% 24168 106 228 4,77% 1696 106 16 0,34%
Portfolio 21
2005-05-11
Appendix D

Electrolux B 88683 143,5 618 15,89% 100163 143,5 698 17,94% 30566 143,5 213 5,48% 30566 143,5 213 5,48%
Ericsson B 47740 21,7 2 200 8,55% 4774 21,7 220 0,86% 90706 21,7 4 180 16,25% 90706 21,7 4 180 16,25%
Hennes & Mauritz B 50100 250,5 200 8,97% 95190 250,5 380 17,05% 95190 250,5 380 17,05% 95190 250,5 380 17,05%
SKF A 72000 72 1 000 12,90% 136800 72 1 900 24,50% 136800 72 1 900 24,50% 136800 72 1 900 24,50%
Swedish Match 9919 86,25 115 1,78% 18889 86,25 219 3,38% 18889 86,25 219 3,38% 18889 86,25 219 3,38%
Tele2 B 202500 225 900 36,27% 36675 225 163 6,57% 20250 225 90 3,63% 20250 225 90 3,63%
Volvo B 87300 291 300 15,64% 165870 291 570 29,71% 165870 291 570 29,71% 165870 291 570 29,71%
558242 558361 558271 558271
2005-11-11
Electrolux B 118656 192 618 22,82% 134016 192 698 20,17% 40896 192 213 6,09% 40896 192 213 6,09%
Ericsson B 58740 26,7 2 200 11,29% 5874 26,7 220 0,88% 111606 26,7 4 180 16,63% 111606 26,7 4 180 16,63%
Hennes & Mauritz B 50400 252 200 9,69% 95760 252 380 14,41% 95760 252 380 14,27% 95760 252 380 14,27%
SKF A 106000 106 1 000 20,38% 201400 106 1 900 30,31% 201400 106 1 900 30,01% 201400 106 1 900 30,01%
Swedish Match 10551 91,75 115 2,03% 20093 91,75 219 3,02% 20093 91,75 219 2,99% 20093 91,75 219 2,99%
Tele2 B 73575 81,75 900 14,15% 13325 81,75 163 2,01% 7358 81,75 90 1,10% 7358 81,75 90 1,10%
Volvo B 102150 340,5 300 19,64% 194085 340,5 570 29,21% 194085 340,5 570 28,92% 194085 340,5 570 28,92%
520072 664553 671198 671198
Portfolio 22
2005-05-11
ABB LTD SDB 45900 45,9 1 000 8,56% 24694 45,9 538 4,60% 87210 45,9 1 900 16,27% 87210 45,9 1 900 16,27%
Atlas Copco A 99300 331 300 18,52% 65869 331 199 12,28% 136372 331 412 25,44% 188670 331 570 35,19%
Axfood 34600 173 200 6,45% 65221 173 377 12,16% 3460 173 20 0,65% 3460 173 20 0,65%
Billerud 31416 84 374 5,86% 35196 84 419 6,56% 3108 84 37 0,58% 3108 84 37 0,58%
Daydream 2500 2,5 1 000 0,47% 250 2,5 100 0,05% 250 2,5 100 0,05% 4750 2,5 1 900 0,89%
Karlshamns 24776 124,5 199 4,62% 47061 124,5 378 8,77% 47061 124,5 378 8,78% 47061 124,5 378 8,78%
Kaupthing Bank 23100 57,75 400 4,31% 43890 57,75 760 8,18% 43890 57,75 760 8,19% 43890 57,75 760 8,19%
NCC B 43200 108 400 8,06% 44388 108 411 8,28% 82080 108 760 15,31% 82080 108 760 15,31%
New Wave Group 11450 114,5 100 2,14% 21755 114,5 190 4,06% 21755 114,5 190 4,06% 1145 114,5 10 0,21% Initial portfolio 22 2005-05-11
SCA B 24650 246,5 100 4,60% 2465 246,5 10 0,46% 2465 246,5 10 0,46% 2465 246,5 10 0,46%
SEB A 12600 126 100 2,35% 23940 126 190 4,46% 23940 126 190 4,47% 1638 126 13 0,31%
Stora Enso R 32912 93,5 352 6,14% 55539 93,5 594 10,36% 11594 93,5 124 2,16% 3273 93,5 35 0,61%
Tele2 B 67500 225 300 12,59% 14625 225 65 2,73% 6750 225 30 1,26% 6750 225 30 1,26%
Trelleborg 21200 106 200 3,95% 2120 106 20 0,40% 2120 106 20 0,40% 2120 106 20 0,40%
Volvo B 29100 291 100 5,43% 36666 291 126 6,84% 55290 291 190 10,32% 55290 291 190 10,31%
536104 536314 535958 536100
2005-11-11
ABB LTD SDB 66750 66,75 1 000 12,83% 35912 66,75 538 6,20% 126825 66,75 1 900 22,66% 126825 66,75 1 900 23,80%
Atlas Copco A 48000 160 300 9,23% 31840 160 199 5,50% 65920 160 412 11,78% 91200 160 570 17,11%
Axfood 42000 210 200 8,07% 79170 210 377 13,67% 4200 210 20 0,75% 4200 210 20 0,79%
Billerud 35904 96 374 6,90% 40224 96 419 6,95% 3552 96 37 0,63% 3552 96 37 0,67%
Daydream 2870 2,87 1 000 0,55% 287 2,87 100 0,05% 287 2,87 100 0,05% 5453 2,87 1 900 1,02%
Karlshamns 27263 137 199 5,24% 51786 137 378 8,94% 51786 137 378 9,25% 51786 137 378 9,72%
Kaupthing Bank 31400 78,5 400 6,04% 59660 78,5 760 10,30% 59660 78,5 760 10,66% 59660 78,5 760 11,20%
NCC B 56600 141,5 400 10,88% 58157 141,5 411 10,04% 107540 141,5 760 19,22% 107540 141,5 760 20,18%
New Wave Group 7750 77,5 100 1,49% 14725 77,5 190 2,54% 14725 77,5 190 2,63% 775 77,5 10 0,15% Initial portfolio 22 2005-11-11
SCA B 27850 278,5 100 5,35% 2785 278,5 10 0,48% 2785 278,5 10 0,50% 2785 278,5 10 0,52%
SEB A 15500 155 100 2,98% 29450 155 190 5,09% 29450 155 190 5,26% 2015 155 13 0,38%
Stora Enso R 37136 105,5 352 7,14% 62667 105,5 594 10,82% 13082 105,5 124 2,34% 3693 105,5 35 0,69%
Tele2 B 24525 81,75 300 4,71% 5314 81,75 65 0,92% 2453 81,75 30 0,44% 2453 81,75 30 0,46%
Trelleborg 25400 127 200 4,88% 2540 127 20 0,44% 2540 127 20 0,45% 2540 127 20 0,48%
Volvo B 34050 340,5 100 6,54% 42903 340,5 126 7,41% 64695 340,5 190 11,56% 64695 340,5 190 12,14%
520298 578965 559571 532902
Portfolio 23
2005-05-11
Appendix D

Alfa Laval 40800 102 400 11,07% 46308 102 454 12,57% 4080 102 40 1,11% 4080 102 40 1,11%
Aspiro 413 2,95 140 0,11% 41 2,95 14 0,01% 785 2,95 266 0,21% 785 2,95 266 0,21%
AstraZeneca SDB 62000 310 200 16,83% 46190 310 149 12,53% 117800 310 380 31,96% 117800 310 380 31,96%
Emitor Holding 9200 2,3 4 000 2,50% 920 2,3 400 0,25% 17480 2,3 7 600 4,74% 17480 2,3 7 600 4,74%
Gambro B 25058 93,5 268 6,80% 47592 93,5 509 12,91% 2525 93,5 27 0,68% 2525 93,5 27 0,68%
Hennes & Mauritz B 50100 250,5 200 13,60% 95190 250,5 380 25,83% 95190 250,5 380 25,83% 95190 250,5 380 25,83%
OM HEX 24675 82,25 300 6,70% 2468 82,25 30 0,67% 2468 82,25 30 0,67% 2468 82,25 30 0,67%
Scania B 13000 260 50 3,53% 24700 260 95 6,70% 1300 260 5 0,35% 1300 260 5 0,35%
Securitas 36150 120,5 300 9,81% 10243 120,5 85 2,78% 13255 120,5 110 3,60% 13255 120,5 110 3,60%
SSAB A 16800 168 100 4,56% 31920 168 190 8,66% 31920 168 190 8,66% 31920 168 190 8,66% Initial portfolio 23 2005-05-11
Telelogic 13900 13,9 1 000 3,77% 1390 13,9 100 0,38% 1390 13,9 100 0,38% 1390 13,9 100 0,38%
Vitrolife 36000 18 2 000 9,77% 17730 18 985 4,81% 3600 18 200 0,98% 3600 18 200 0,98%
WM-Data 18300 18,3 1 000 4,97% 1830 18,3 100 0,50% 34770 18,3 1 900 9,43% 34770 18,3 1 900 9,43%
368496 368512 368553 368553
2005-11-11
Alfa Laval 63600 159 400 14,27% 72186 159 454 16,28% 6360 159 40 1,45% 6360 159 40 1,45%
Aspiro 599 4,28 140 0,13% 60 4,28 14 0,01% 1138 4,28 266 0,26% 1138 4,28 266 0,26%
AstraZeneca SDB 73300 366,5 200 16,45% 54609 366,5 149 12,32% 139270 366,5 380 31,76% 139270 366,5 380 31,76%
Emitor Holding 9000 2,25 4 000 2,02% 900 2,25 400 0,20% 17100 2,25 7 600 3,90% 17100 2,25 7 600 3,90%
Gambro B 22780 85 268 5,11% 43265 85 509 9,76% 2295 85 27 0,52% 2295 85 27 0,52%
Hennes & Mauritz B 50400 252 200 11,31% 95760 252 380 21,60% 95760 252 380 21,84% 95760 252 380 21,84%
OM HEX 29250 97,5 300 6,56% 2925 97,5 30 0,66% 2925 97,5 30 0,67% 2925 97,5 30 0,67%
Scania B 14025 280,5 50 3,15% 26648 280,5 95 6,01% 1403 280,5 5 0,32% 1403 280,5 5 0,32%
Securitas 36300 121 300 8,15% 10285 121 85 2,32% 13310 121 110 3,03% 13310 121 110 3,03%
SSAB A 25000 250 100 5,61% 47500 250 190 10,71% 47500 250 190 10,83% 47500 250 190 10,83% Initial portfolio 23 2005-11-11
Telelogic 17900 17,9 1 000 4,02% 1790 17,9 100 0,40% 1790 17,9 100 0,41% 1790 17,9 100 0,41%
Vitrolife 48200 24,1 2 000 10,82% 23739 24,1 985 5,35% 4820 24,1 200 1,10% 4820 24,1 200 1,10%
WM-Data 22900 22,9 1 000 5,14% 2290 22,9 100 0,52% 43510 22,9 1 900 9,92% 43510 22,9 1 900 9,92%
445554 443327 438551 438551
Portfolio 24
2005-05-11
Atlas Copco B 183000 305 600 33,86% 114375 305 375 21,16% 233325 305 765 43,17% 246135 305 807 45,54%
Assa Abloy 28425 94,75 300 5,26% 10991 94,75 116 2,03% 2843 94,75 30 0,53% 2843 94,75 30 0,53%
Electrolux B 43050 143,5 300 7,96% 59409 143,5 414 10,99% 4305 143,5 30 0,80% 4305 143,5 30 0,80%
Ericsson B 26040 21,7 1 200 4,82% 2604 21,7 120 0,48% 2604 21,7 120 0,48% 2604 21,7 120 0,48%
Hennes & Mauritz B 50100 250,5 200 9,27% 95190 250,5 380 17,61% 95190 250,5 380 17,61% 95190 250,5 380 17,61%
Sandvik 54700 273,5 200 10,12% 61538 273,5 225 11,38% 18325 273,5 67 3,39% 5470 273,5 20 1,01%
SCA B 61625 246,5 250 11,40% 67048 246,5 272 12,40% 6163 246,5 25 1,14% 6163 246,5 25 1,14%
Skandia 20820 34,7 600 3,85% 9473 34,7 273 1,75% 39558 34,7 1 140 7,32% 39558 34,7 1 140 7,32%
Volvo B 72750 291 250 13,46% 119892 291 412 22,18% 138225 291 475 25,57% 138225 291 475 25,57%
2005-11-11
Atlas Copco B 85500 142,5 600 16,54% 53438 142,5 375 9,56% 109013 142,5 765 23,73% 114998 142,5 807 25,70%
Assa Abloy 34950 116,5 300 6,76% 13514 116,5 116 2,42% 3495 116,5 30 0,76% 3495 116,5 30 0,78%
Electrolux B 57600 192 300 11,14% 79488 192 414 14,22% 5760 192 30 1,25% 5760 192 30 1,29%
Ericsson B 32040 26,7 1 200 6,20% 3204 26,7 120 0,57% 3204 26,7 120 0,70% 3204 26,7 120 0,72%
Hennes & Mauritz B 50400 252 200 9,75% 95760 252 380 17,13% 95760 252 380 20,84% 95760 252 380 21,40%
Sandvik 76500 382,5 200 14,80% 86063 382,5 225 15,40% 25628 382,5 67 5,58% 7650 382,5 20 1,71%
SCA B 69625 278,5 250 13,47% 75752 278,5 272 13,55% 6963 278,5 25 1,52% 6963 278,5 25 1,56%
Skandia 25200 42 600 4,87% 11466 42 273 2,05% 47880 42 1 140 10,42% 47880 42 1 140 10,70%
Volvo B 85125 340,5 250 16,47% 140286 340,5 412 25,10% 161738 340,5 475 35,20% 161738 340,5 475 36,15%
Portfolio 25
2005-05-11
Appendix D
AstraZeneca SDB 79050 310 255 20,70% 143220 310 462 37,51% 150350 310 485 39,36% 150350 310 485 39,37%
Ericsson B 34937 21,7 1 610 9,15% 17837 21,7 822 4,67% 55509 21,7 2 558 14,53% 60999 21,7 2 811 15,97%
SSAB A 235200 168 1 400 61,60% 158760 168 945 41,58% 172872 168 1 029 45,26% 167328 168 996 43,81%
TeliaSonera 7296 38 192 1,91% 13870 38 365 3,63% 722 38 19 0,19% 722 38 19 0,19%
381833 381852 381988 381934
2005-11-11
AstraZeneca SDB 93458 366,5 255 17,79% 169323 366,5 462 33,77% 177753 366,5 485 35,05% 177753 366,5 485 35,15%
Ericsson B 42987 26,7 1 610 8,18% 21947 26,7 822 4,38% 68299 26,7 2 558 13,47% 75054 26,7 2 811 14,84%
SSAB A 350000 250 1 400 66,63% 236250 250 945 47,12% 257250 250 1 029 50,72% 249000 250 996 49,24%
TeliaSonera 7834 40,8 192 1,49% 14892 40,8 365 2,97% 775 40,8 19 0,15% 775 40,8 19 0,15%
525329 501407 507182 505687
Portfolio 26
2005-05-11
AstraZeneca SDB 31000 310 100 7,33% 58900 310 190 13,94% 58900 310 190 13,94% 58900 310 190 13,94%
Ericsson B 217000 21,7 10 000 51,34% 31899 21,7 1 470 7,55% 134670 21,7 6 206 31,86% 134670 21,7 6 206 31,86%
Hebi Healthcare 520 0,13 4 000 0,12% 988 0,13 7 600 0,23% 988 0,13 7 600 0,23% 988 0,13 7 600 0,23%
Investor B 56850 94,75 600 13,45% 108015 94,75 1 140 25,56% 108015 94,75 1 140 25,56% 108015 94,75 1 140 25,56%
Lundbergs 57100 285,5 200 13,51% 108490 285,5 380 25,67% 5710 285,5 20 1,35% 5710 285,5 20 1,35%
Ratos B 60200 150,5 400 14,24% 114380 150,5 760 27,06% 114380 150,5 760 27,06% 114380 150,5 760 27,06%
422670 422672 422663 422663
2005-11-11
AstraZeneca SDB 36650 366,5 100 7,15% 69635 366,5 190 13,75% 69635 366,5 190 13,51% 69635 366,5 190 13,51%
Ericsson B 267000 26,7 10 000 52,05% 39249 26,7 1 470 7,75% 165700 26,7 6 206 32,14% 165700 26,7 6 206 32,14%
Hebi Healthcare 480 0,12 4 000 0,09% 912 0,12 7 600 0,18% 912 0,12 7 600 0,18% 912 0,12 7 600 0,18%
Investor B 73200 122 600 14,27% 139080 122 1 140 27,46% 139080 122 1 140 26,97% 139080 122 1 140 26,97%
Lundbergs 65200 326 200 12,71% 123880 326 380 24,46% 6520 326 20 1,26% 6520 326 20 1,26%
Ratos B 70400 176 400 13,73% 133760 176 760 26,41% 133760 176 760 25,94% 133760 176 760 25,94%
512930 506516 515607 515607
Portfolio 27 Initial portfolio 26 2005-11-11

2005-05-11
Atlas Copco A 114195 331 345 21,69% 216805 331 655 41,17% 216805 331 655 41,19% 216805 331 655 41,19%
Atlas Copco B 36600 305 120 6,95% 69540 305 228 13,21% 69540 305 228 13,21% 69540 305 228 13,21%
Cardo 23048 172 134 4,38% 43860 172 255 8,33% 2236 172 13 0,42% 2236 172 13 0,42%
Ericsson B 183322 21,7 8 448 34,82% 32897 21,7 1 516 6,25% 153506 21,7 7 074 29,17% 217369 21,7 10 017 41,29%
Svenska Handelsbanken A 167475 159,5 1 050 31,81% 159819 159,5 1 002 30,35% 80548 159,5 505 15,30% 16748 159,5 105 3,18%
Hebi Healthcare 0 0,13 2 0,00% 1 0,13 4 0,00% 1 0,13 4 0,00% 1 0,13 4 0,00%
Swedish Match 431 86,25 5 0,08% 776 86,25 9 0,15% 776 86,25 9 0,15% 776 86,25 9 0,15%
Volvo B 1455 291 5 0,28% 2910 291 10 0,55% 2910 291 10 0,55% 2910 291 10 0,55%
526526 526608 526322 526385
2005-11-11
Atlas Copco A 55200 160 345 10,63% 104800 160 655 25,33% 104800 160 655 24,55% 104800 160 655 24,32%
Atlas Copco B 17100 142,5 120 3,29% 32490 142,5 228 7,85% 32490 142,5 228 7,61% 32490 142,5 228 7,54%
Cardo 23584 176 134 4,54% 44880 176 255 10,85% 2288 176 13 0,54% 2288 176 13 0,53%
Ericsson B 225562 26,7 8 448 43,42% 40477 26,7 1 516 9,78% 188876 26,7 7 074 44,25% 267454 26,7 10 017 62,08%
Svenska Handelsbanken A 195825 186,5 1 050 37,70% 186873 186,5 1 002 45,17% 94183 186,5 505 22,06% 19583 186,5 105 4,55%
Hebi Healthcare 0 0,12 2 0,00% 0 0,12 4 0,00% 0 0,12 4 0,00% 0 0,12 4 0,00%
Swedish Match 459 91,75 5 0,09% 826 91,75 9 0,20% 826 91,75 9 0,19% 826 91,75 9 0,19%
Volvo B 1703 340,5 5 0,33% 3405 340,5 10 0,82% 3405 340,5 10 0,80% 3405 340,5 10 0,79%
519433 413751 426868 430846
Portfolio 28
2005-05-11
Appendix D

AstraZeneca SDB 41540 310 134 9,44% 79050 310 255 17,97% 79050 310 255 17,97% 79050 310 255 17,97%
Ericsson B 34720 21,7 1 600 7,89% 3472 21,7 160 0,79% 65968 21,7 3 040 14,99% 65968 21,7 3 040 14,99%
Framfab 5376 0,64 8 400 1,22% 538 0,64 840 0,12% 10214 0,64 15 960 2,32% 10214 0,64 15 960 2,32%
Hennes & Mauritz B 100200 250,5 400 22,78% 190380 250,5 760 43,27% 190380 250,5 760 43,27% 190380 250,5 760 43,27%
Metro A 402 13,4 30 0,09% 40 13,4 3 0,01% 40 13,4 3 0,01% 40 13,4 3 0,01%
Metro B 924 13,2 70 0,21% 92 13,2 7 0,02% 92 13,2 7 0,02% 92 13,2 7 0,02%
MTG B 21950 219,5 100 4,99% 41705 219,5 190 9,48% 41705 219,5 190 9,48% 41705 219,5 190 9,48%
OM HEX 49350 82,25 600 11,22% 4935 82,25 60 1,12% 11104 82,25 135 2,52% 18424 82,25 224 4,19%
Swedish Match 8625 86,25 100 1,96% 16388 86,25 190 3,72% 16388 86,25 190 3,72% 16388 86,25 190 3,72% Initial portfolio 28 2005-05-11
439813 439956 439983 439966
2005-11-11
AstraZeneca SDB 49111 366,5 134 9,67% 93458 366,5 255 18,95% 93458 366,5 255 18,63% 93458 366,5 255 18,63%
Ericsson B 42720 26,7 1 600 8,41% 4272 26,7 160 0,87% 81168 26,7 3 040 16,18% 81168 26,7 3 040 16,18%
Framfab 8820 1,05 8 400 1,74% 882 1,05 840 0,18% 16758 1,05 15 960 3,34% 16758 1,05 15 960 3,34%
Hennes & Mauritz B 100800 252 400 19,85% 191520 252 760 38,84% 191520 252 760 38,18% 191520 252 760 38,17%
Metro A 374 12,45 30 0,07% 37 12,45 3 0,01% 37 12,45 3 0,01% 37 12,45 3 0,01%
Metro B 886 12,65 70 0,17% 89 12,65 7 0,02% 89 12,65 7 0,02% 89 12,65 7 0,02%
MTG B 30900 309 100 6,08% 58710 309 190 11,91% 58710 309 190 11,70% 58710 309 190 11,70%
OM HEX 58500 97,5 600 11,52% 5850 97,5 60 1,19% 13163 97,5 135 2,62% 21840 97,5 224 4,35%
Swedish Match 9175 91,75 100 1,81% 17433 91,75 190 3,54% 17433 91,75 190 3,48% 17433 91,75 190 3,47% Initial portfolio 28 2005-11-11
507928 493103 501617 501715
Portfolio 29
2005-05-11
Biacore 45900 153 300 10,30% 29223 153 191 6,56% 52479 153 343 11,78% 87210 153 570 19,58%
Eniro 40500 81 500 9,09% 4050 81 50 0,91% 8424 81 104 1,89% 76950 81 950 17,27%
Ericsson B 17360 21,7 800 3,90% 1736 21,7 80 0,39% 1736 21,7 80 0,39% 1736 21,7 80 0,39%
Getinge 42200 105,5 400 9,47% 80180 105,5 760 18,00% 80180 105,5 760 17,99% 80180 105,5 760 18,00%
Hennes & Mauritz B 50100 250,5 200 11,25% 95190 250,5 380 21,37% 95190 250,5 380 21,36% 11523 250,5 46 2,59%
Holmen B 19450 194,5 100 4,37% 31704 194,5 163 7,12% 1945 194,5 10 0,44% 1945 194,5 10 0,44%
Modul1 890 0,89 1 000 0,20% 89 0,89 100 0,02% 89 0,89 100 0,02% 89 0,89 100 0,02%
MTG B 43900 219,5 200 9,85% 28316 219,5 129 6,36% 83410 219,5 380 18,72% 83410 219,5 380 18,72%
Nordea 33500 67 500 7,52% 63650 67 950 14,29% 3350 67 50 0,75% 3350 67 50 0,75%
Precise Biometrics 45000 7,5 6 000 10,10% 45683 7,5 6 091 10,26% 85500 7,5 11 400 19,19% 85500 7,5 11 400 19,19% Initial portfolio 29 2005-05-11
Resco 1620 3,24 500 0,36% 162 3,24 50 0,04% 162 3,24 50 0,04% 3078 3,24 950 0,69%
Securitas 48200 120,5 400 10,82% 7351 120,5 61 1,65% 4820 120,5 40 1,08% 4820 120,5 40 1,08%
SSAB B 29070 161,5 180 6,53% 55233 161,5 342 12,40% 25517 161,5 158 5,73% 2907 161,5 18 0,65%
Telelogic 27800 13,9 2 000 6,24% 2780 13,9 200 0,62% 2780 13,9 200 0,62% 2780 13,9 200 0,62%
445490 445347 445582 445478
2005-11-11
Biacore 54900 183 300 10,75% 34953 183 191 6,87% 62769 183 343 12,62% 104310 183 570 20,86%
Eniro 44500 89 500 8,71% 4450 89 50 0,87% 9256 89 104 1,86% 84550 89 950 16,91%
Ericsson B 21360 26,7 800 4,18% 2136 26,7 80 0,42% 2136 26,7 80 0,43% 2136 26,7 80 0,43%
Getinge 42000 105 400 8,22% 79800 105 760 15,69% 79800 105 760 16,05% 79800 105 760 15,96%
Hennes & Mauritz B 50400 252 200 9,87% 95760 252 380 18,82% 95760 252 380 19,26% 11592 252 46 2,32%
Holmen B 24700 247 100 4,84% 40261 247 163 7,91% 2470 247 10 0,50% 2470 247 10 0,49%
Modul1 830 0,83 1 000 0,16% 83 0,83 100 0,02% 83 0,83 100 0,02% 83 0,83 100 0,02%
MTG B 61800 309 200 12,10% 39861 309 129 7,84% 117420 309 380 23,62% 117420 309 380 23,48%
Nordea 41125 82,25 500 8,05% 78138 82,25 950 15,36% 4113 82,25 50 0,83% 4113 82,25 50 0,82%
Precise Biometrics 40800 6,8 6 000 7,99% 41419 6,8 6 091 8,14% 77520 6,8 11 400 15,59% 77520 6,8 11 400 15,50% Initial portfolio 29 2005-11-11
Resco 1760 3,52 500 0,34% 176 3,52 50 0,03% 176 3,52 50 0,04% 3344 3,52 950 0,67%
Securitas 48400 121 400 9,47% 7381 121 61 1,45% 4840 121 40 0,97% 4840 121 40 0,97%
SSAB B 42480 236 180 8,32% 80712 236 342 15,87% 37288 236 158 7,50% 4248 236 18 0,85%
Telelogic 35800 17,9 2 000 7,01% 3580 17,9 200 0,70% 3580 17,9 200 0,72% 3580 17,9 200 0,72%
510855 508710 497211 500006
Portfolio 30
2005-05-11
Appendix D

Industrivärden C 56200 140,5 400 12,16% 5620 140,5 40 1,22% 5620 140,5 40 1,22% 5620 140,5 40 1,22%
NCC B 10800 108 100 2,34% 20520 108 190 4,44% 20520 108 190 4,44% 20520 108 190 4,44%
Nokia 48200 120,5 400 10,43% 50851 120,5 422 11,01% 59166 120,5 491 12,80% 80856 120,5 671 17,50%
Ratos B 60200 150,5 400 13,03% 101287 150,5 673 21,93% 86989 150,5 578 18,82% 6020 150,5 40 1,30%
Securitas 24100 120,5 200 5,22% 45790 120,5 380 9,91% 36753 120,5 305 7,95% 2410 120,5 20 0,52%
Skanska B 8750 87,5 100 1,89% 2363 87,5 27 0,51% 875 87,5 10 0,19% 875 87,5 10 0,19%
SSAB B 32300 161,5 200 6,99% 61370 161,5 380 13,29% 61370 161,5 380 13,28% 3230 161,5 20 0,70%
Tieto Enator 43500 217,5 200 9,41% 13703 217,5 63 2,97% 7178 217,5 33 1,55% 4350 217,5 20 0,94%
Wallenstam 178000 89 2 000 38,52% 160378 89 1 802 34,72% 183696 89 2 064 39,75% 338200 89 3 800 73,19%
2005-11-11
Industrivärden C 75000 187,5 400 14,19% 7500 187,5 40 1,42% 7500 187,5 40 1,43% 7500 187,5 40 1,54%
NCC B 14150 141,5 100 2,68% 26885 141,5 190 5,10% 26885 141,5 190 5,13% 26885 141,5 190 5,54%
Nokia 56200 140,5 400 10,63% 59291 140,5 422 11,25% 68986 140,5 491 13,16% 94276 140,5 671 19,42%
Ratos B 70400 176 400 13,32% 118448 176 673 22,48% 101728 176 578 19,41% 7040 176 40 1,45%
Securitas 24200 121 200 4,58% 45980 121 380 8,72% 36905 121 305 7,04% 2420 121 20 0,50%
Skanska B 12000 120 100 2,27% 3240 120 27 0,61% 1200 120 10 0,23% 1200 120 10 0,25%
SSAB B 47200 236 200 8,93% 89680 236 380 17,02% 89680 236 380 17,11% 4720 236 20 0,97%
Tieto Enator 52400 262 200 9,91% 16506 262 63 3,13% 8646 262 33 1,65% 5240 262 20 1,08%
Wallenstam 177000 88,5 2 000 33,49% 159477 88,5 1 802 30,26% 182664 88,5 2 064 34,85% 336300 88,5 3 800 69,26%
Portfolio 31
2005-05-11
Carnegie & Co 43200 72 600 9,96% 4320 72 60 1,00% 4320 72 60 1,00% 4320 72 60 1,00%
Ericsson B 21700 21,7 1 000 5,00% 2170 21,7 100 0,50% 2170 21,7 100 0,50% 2170 21,7 100 0,50%
Hennes & Mauritz B 125250 250,5 500 28,89% 171843 250,5 686 39,62% 237975 250,5 950 54,88% 237975 250,5 950 54,90%
Industrivärden A 61600 154 400 14,21% 42966 154 279 9,91% 6160 154 40 1,42% 6160 154 40 1,42%
Investor B 28425 94,75 300 6,56% 10138 94,75 107 2,34% 54008 94,75 570 12,46% 54008 94,75 570 12,46%
Ratos B 45150 150,5 300 10,41% 85785 150,5 570 19,78% 39431 150,5 262 9,09% 57491 150,5 382 13,26%
Scania A 513 256,5 2 0,12% 1026 256,5 4 0,24% -------------------------------------------------------------------------------------------------------------------------------------
Scania B 26000 260 100 6,00% 49400 260 190 11,39% 2600 260 10 0,60% 2600 260 10 0,60%
Skanska B 43750 87,5 500 10,09% 60113 87,5 687 13,86% 83125 87,5 950 19,17% 64925 87,5 742 14,98%
TeliaSonera 38000 38 1 000 8,76% 5928 38 156 1,37% 3800 38 100 0,88% 3800 38 100 0,88% Initial portfolio 31 2005-05-11
433588 433689 433589 433449
2005-11-11
Carnegie & Co 63300 105,5 600 12,26% 6330 105,5 60 1,28% 6330 105,5 60 1,28% 6330 105,5 60 1,29%
Ericsson B 26700 26,7 1 000 5,17% 2670 26,7 100 0,54% 2670 26,7 100 0,54% 2670 26,7 100 0,55%
Hennes & Mauritz B 126000 252 500 24,41% 172872 252 686 34,91% 239400 252 950 48,55% 239400 252 950 48,93%
Industrivärden A 81400 203,5 400 15,77% 56777 203,5 279 11,46% 8140 203,5 40 1,65% 8140 203,5 40 1,66%
Investor B 36600 122 300 7,09% 13054 122 107 2,64% 69540 122 570 14,10% 69540 122 570 14,21%
Ratos B 52800 176 300 10,23% 100320 176 570 20,26% 46112 176 262 9,35% 67232 176 382 13,74%
Scania A 559 279,5 2 0,11% 1118 279,5 4 0,23% -------------------------------------------------------------------------------------------------------------------------------------
Scania B 28050 280,5 100 5,43% 53295 280,5 190 10,76% 2805 280,5 10 0,57% 2805 280,5 10 0,57%
Skanska B 60000 120 500 11,62% 82440 120 687 16,65% 114000 120 950 23,12% 89040 120 742 18,20%
TeliaSonera 40800 40,8 1 000 7,90% 6365 40,8 156 1,29% 4080 40,8 100 0,83% 4080 40,8 100 0,83% Initial portfolio 31 2005-11-11
516209 495241 493077 489237
Portfolio 1
Value Difference
Appendix E
2005-05-11
The difference in return for the portfolios.

Initial Portfolio 439200 0
Same Return 439145 -55
Same Risk 439191 -9
Standard Optimisation 439290 90
2005-11-11
Same Risk 525750 -1050
Portfolio 1 2005-05-11 Non-optimised Efficient Frontier Portfolio 1 2005-05-11 Standard-optimised Efficient Frontier Portfolio 1 2005-11-11 Non-optimised Efficient Frontier
Portfolio 2
Value Difference
2005-05-11
Same Return 412402 89
Same Risk 412299 -14
2005-11-11
Same Risk 511387 -6388
Standard Optimisation 516651 -1124
Portfolio 3
Value Difference
2005-05-11
Same Return (Higher since below) 533431 -26
Same Risk 533511 54
2005-11-11
Same Return (Higher since below) 563028 49958
Same Risk 625092 112022
Portfolio 4
Value Difference
2005-05-11
Same Risk (Lower since above) 494189 248
2005-11-11
Portfolio 5
Value Difference
Appendix E
2005-05-11

2005-11-11
Same Risk 530382 11022
Portfolio 6
Value Difference
2005-05-11
Same Risk (Same as the Same Return Portfolio) 532545 97
2005-11-11
Same Risk (Same as the Same Return Portfolio) 637863 16123
Portfolio 7
Value Difference
2005-05-11
Same Risk (Lower since above) 437881 -1
Standard Optimisation (Same as the Same Risk Portfolio) 437881 -1
2005-11-11
Portfolio 8
Value Difference
2005-05-11
Same Risk 414897 -320
2005-11-11
Same Risk 535813 18333
Portfolio 9
Value Difference
Appendix E
2005-05-11

Same Risk 432597 -192
2005-11-11
Same Risk 512592 -8277
Portfolio 10
Value Difference
2005-05-11
Same Risk 514605 2
2005-11-11
Same Risk 588535 70858
Portfolio 11
Value Difference
2005-05-11
Same Risk 473408 40
2005-11-11
Same Risk 535013 10205
Portfolio 12
Value Difference
2005-05-11
2005-11-11
Standard Optimisation (Same as the Same Risk Portfolio) 790840 259675
Portfolio 13
Value Difference
Appendix E
2005-05-11

Same Risk 391629 29
2005-11-11
Same Risk 566547 14547
Portfolio 14
Value Difference
2005-05-11
2005-11-11
Portfolio 15
Value Difference
2005-05-11
Same Risk 527550 138
2005-11-11
Same Risk 487553 -20937
Portfolio 16
Value Difference
2005-05-11
2005-11-11
Same Risk 432437 -89900
Portfolio 17
Value Difference
Appendix E
2005-05-11

2005-11-11
Same Risk 522759 7156
Portfolio 18
Value Difference
2005-05-11
Same Risk 389404 39
2005-11-11
Same Risk 528589 4104
Portfolio 19
Value Difference
2005-05-11
2005-11-11
Portfolio 20
Value Difference
2005-05-11
Same Risk 415956 24
2005-11-11
Same Risk 506760 -10427
Portfolio 21
Value Difference
Appendix E
2005-05-11

2005-11-11
Portfolio 22
Value Difference
2005-05-11
Same Risk 535958 -146
2005-11-11
Same Risk 559571 39273
Portfolio 23
Value Difference
2005-05-11
2005-11-11
Portfolio 24
Value Difference
2005-05-11
Same Risk 540538 28
2005-11-11
Same Risk 459441 -57499
Portfolio 25
Value Difference
Appendix E
2005-05-11

2005-11-11
Same Risk 507182 -18147
Portfolio 26
Value Difference
2005-05-11
2005-11-11
Portfolio 27
Value Difference
2005-05-11
Same Risk 526322 -204
2005-11-11
Same Return 413751 -105682
Same Risk 426868 -92565
Portfolio 28
Value Difference
2005-05-11
2005-11-11
Same Risk 501617 -6311
Portfolio 29
Value Difference
Appendix E
2005-05-11

Same Risk 445582 92
2005-11-11
Same Risk 497211 -13644
Portfolio 30
Value Difference
2005-05-11
2005-11-11
Same Risk 524194 -4356
Portfolio 31
Value Difference
2005-05-11
2005-11-11

Portfolio Optimization

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Portfolio Optimization

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DEPARTMENT OF ECONOMICS

Keywords: Efficient frontier, mean-variance optimisation, portfolio optimisation, Sharpe

6 CONCLUSIONS AND SUGGESTIONS TO FUTURE STUDIES 19

2.3 Optimisation - Markowitz

2.4 Efficient Frontier

Higher return given the same risk

Lower risk given the same return

2.5 Constraint Efficient Frontier

2.6 Sharpe ratio

3.1 Data presentation

Company Shares Value Share price

Anoto Group 1,000 24,800 24.8

An efficient frontier optimisation in Aegis Portfolio Manager produce a frontier consisting of

5.2 Performance of the optimised and the original portfolio

6 Conclusions and suggestions to future studies

6.2 Suggestions to future studies

Hull, J. Options, Futures, And Other Derivatives. Prentice Hall: 2003

Luenberger, D. Investment Science. Oxford: 1998

Barra Inc, (2004-03-25) “Introduction to risk modeling”

Barra Inc, (2002-04-01). “Portfolio Management and Risk Control”

Barra Inc, (2002-04-01). ”Single Country Equity Risk Models”

'gui_LayoutFcn', [] , ... %-------------------------------------------------------------------------

%Load the current handles

%Rotate the figure to fill the paper

% ------------------------------------------------------------------------ %Load the data from the file

%Extract the timeseries enddate

%Get the selected date from the First Date Box

% --- Function for the Returns Help menu choice

%Use a help dialog to present the information

All portfolios extracted 2005-11-11

Company Shares Value Share price

Anoto Group 1000 24800 24.8

Öresund 300 60600 202

Assa Abloy 100 11600 116

AstraZeneca SDB 100 36650 366.5

Assa Abloy 200 23200 116

Ericsson B 1406 37399.6 26.6

Biophausia 3600 11088 3.08

Electrolux B 115 22022.5 191.5

Atlas Copco A 27 4306.5 159.5

ABB LTD SDB 500 33375 66.75

Anoto Group 666 16516.8 24.8

Boss Media 1000 22200 22.2

Billerud 35 3351.25 95.75

Ericsson B 2000 53200 26.6

Öresund 200 40400 202

ABB LTD SDB 530 35377.5 66.75

Ericsson B 10000 266000 26.6

Atlas Copco A 195 31102.5 159.5

Electrolux B 405 77557.5 191.5

Electrolux B 618 118347 191.5

Århus Karlshamn 1 163.5 163.5 OBS Missing expected return but.

Alfa Laval 400 63600 159

Atlas Copco B 600 85500 142.5

AstraZeneca SDB 255 93457.5 366.5

AstraZeneca SDB 100 36650 366.5

Atlas Copco A 345 55027.5 159.5

AstraZeneca SDB 134 49111 366.5

Biacore 300 54600 182

Industrivärden C 400 74800 187

Carnegie & Co 600 63000 105

The Sharpe Ratios of the portfolios.