Prices

Month Amazon Merck Caterpillar Exxon SP500

1 789.82 48.5419 83.46 64.45478 2126.15
2 750.57 50.58378 95.56 67.53366 2198.81
3 749.87 48.66591 92.74 70.44173 2238.83
4 823.48 51.63834 95.66 65.47037 2278.87
5 845.04 54.87041 96.66 63.46468 2363.64
6 886.54 52.9295 92.76 64.58843 2362.72
7 924.99 52.29625 102.26 64.30492 2384.2
8 994.62 54.62872 105.43 63.3992 2411.8
9 968 53.77292 107.46 64.18076 2423.41
10 987.78 53.99081 113.95 63.63219 2470.3
11 980.6 53.97392 117.49 60.68273 2471.65
12 961.35 54.1176 124.71 65.80624 2519.36
13 1105.28 46.89837 135.8 66.90594 2575.26
14 1176.75 47.0516 141.15 66.85778 2647.58
15 1169.47 47.90291 157.58 67.76009 2673.61
16 1450.89 50.86884 162.78 70.7252 2823.81
17 1512.45 46.55035 154.63 61.35998 2713.83
18 1447.34 46.76499 147.38 61.06261 2640.87
19 1566.13 50.98458 144.36 63.63247 2648.05
20 1629.62 51.55617 151.91 66.48876 2705.27
21 1699.8 52.56945 135.67 68.39451 2718.37
22 1777.44 57.48782 143.8 67.3859 2816.29
23 2012.71 59.86168 138.85 66.27811 2901.52
24 2003 61.91264 152.49 71.01267 2913.98
25 1598.01 64.68121 121.32 66.55245 2711.74
26 1690.17 69.71616 135.67 66.4021 2760.17
27 1501.97 67.14156 127.07 57.53284 2506.85
28 1718.73 65.86021 133.16 61.82734 2704.1
29 1639.83 71.93036 137.34 66.6787 2784.49
30 1780.75 73.5939 135.49 68.92893 2834.4
31 1926.52 70.12005 139.42 68.48533 2945.83
32 1775.07 70.56546 119.81 60.37253 2752.06
33 1893.63 74.6991 136.29 66.1209 2941.76
34 1866.78 74.42673 131.67 64.1622 2980.38
35 1776.29 77.54765 119 59.08859 2926.46
36 1735.91 75.49394 126.31 61.68405 2976.74
37 1776.66 78.23454 137.8 59.02833 3037.56
38 1800.8 78.70398 144.73 59.51753 3140.98
39 1847.84 82.10743 147.68 61.69412 3230.78
40 2008.72 77.66204 131.35 54.92173 3225.52
41 1883.75 69.59043 124.24 45.4793 2954.22
42 1949.72 69.93584 116.04 34.05211 2584.59
43 2474 72.71314 116.38 41.67504 2912.43
44 2442.37 73.97788 120.13 40.77823 3044.31
45 2758.82 70.87102 126.5 40.88324 3100.29
46 3164.68 74.12251 132.88 38.46974 3271.12
47 3450.96 78.76901 142.31 36.51334 3500.31
48 3148.73 76.62589 149.15 32.00381 3363
49 3036.15 69.98129 157.05 30.40967 3269.96
50 3168.04 74.80118 173.59 35.54632 3621.63
51 3256.93 76.11315 182.02 39.35404 3756.07
52 3206.2 72.2783 182.84 42.81017 3714.24
53 3092.93 68.10497 215.88 51.90877 3811.15
54 3094.08 72.29706 231.87 54.20787 3972.89
55 3467.42 70.48195 228.11 55.5769 4181.17
56 3223.07 71.79699 241.08 56.67407 4204.11
57 3440.16 77.10722 217.63 62.13948 4297.5
58 3327.59 76.87 206.75 56.71163 4395.26
59 3470.79 76.29 210.87 53.7071 4522.68
60 3478.05 77.26 210.37 54.87 4535.43

Average Ret
Variance
SD
Beta
 Returns Demeaned Returns
Amazon Merck Caterpillar Exxon SP500 Amazon Merck Caterpillar Exxon

-0.049695 0.042064 0.14498 0.047768 0.034175 -0.07821 0.032935 0.126484 0.046915

-0.000933 -0.037915 -0.02951 0.043061 0.018201 -0.029447 -0.047044 -0.048006 0.042208
0.098164 0.061078 0.031486 -0.070574 0.017884 0.069649 0.051949 0.012991 -0.071427
0.026182 0.062591 0.010454 -0.030635 0.037198 -0.002333 0.053461 -0.008042 -0.031488
0.04911 -0.035373 -0.040348 0.017707 -0.000389 0.020595 -0.044502 -0.058843 0.016853
0.043371 -0.011964 0.102415 -0.00439 0.009091 0.014856 -0.021093 0.083919 -0.005243
0.075276 0.044601 0.030999 -0.014085 0.011576 0.046762 0.035472 0.012504 -0.014938
-0.026764 -0.015666 0.019254 0.012328 0.004814 -0.055279 -0.024795 0.000759 0.011474
0.020434 0.004052 0.060395 -0.008547 0.019349 -0.008081 -0.005077 0.041899 -0.0094
-0.007269 -0.000313 0.031066 -0.046352 0.000546 -0.035784 -0.009442 0.012571 -0.047205
-0.019631 0.002662 0.061452 0.084431 0.019303 -0.048146 -0.006467 0.042957 0.083578
0.149717 -0.133399 0.088926 0.016711 0.022188 0.121202 -0.142528 0.070431 0.015858
0.064662 0.003267 0.039396 -0.00072 0.028083 0.036147 -0.005862 0.020901 -0.001573
-0.006187 0.018093 0.116401 0.013496 0.009832 -0.034701 0.008964 0.097906 0.012643
0.240639 0.061916 0.032999 0.043759 0.056179 0.212124 0.052786 0.014504 0.042906
0.042429 -0.084895 -0.050068 -0.132417 -0.038947 0.013914 -0.094024 -0.068563 -0.13327
-0.043049 0.004611 -0.046886 -0.004846 -0.026884 -0.071564 -0.004519 -0.065381 -0.0057
0.082075 0.09023 -0.020491 0.042086 0.002719 0.05356 0.0811 -0.038987 0.041232
0.040539 0.011211 0.0523 0.044887 0.021608 0.012025 0.002082 0.033804 0.044034
0.043065 0.019654 -0.106905 0.028663 0.004842 0.01455 0.010525 -0.125401 0.027809
0.045676 0.09356 0.059925 -0.014747 0.036022 0.017161 0.08443 0.041429 -0.0156
0.132365 0.041293 -0.034423 -0.016439 0.030263 0.10385 0.032164 -0.052918 -0.017293
-0.004824 0.034262 0.098235 0.071435 0.004294 -0.033339 0.025132 0.07974 0.070581
-0.202192 0.044717 -0.204407 -0.062809 -0.069403 -0.230707 0.035588 -0.222902 -0.063662
0.057672 0.077843 0.118282 -0.002259 0.017859 0.029157 0.068713 0.099787 -0.003112
-0.11135 -0.03693 -0.063389 -0.133569 -0.091777 -0.139865 -0.046059 -0.081884 -0.134422
0.144317 -0.019084 0.047926 0.074644 0.078684 0.115802 -0.028214 0.029431 0.073791
-0.045906 0.092167 0.031391 0.078466 0.029729 -0.074421 0.083038 0.012895 0.077613
0.085936 0.023127 -0.01347 0.033747 0.017924 0.057421 0.013998 -0.031966 0.032894
0.081859 -0.047203 0.029006 -0.006436 0.039313 0.053344 -0.056332 0.01051 -0.007289
-0.078613 0.006352 -0.140654 -0.11846 -0.065778 -0.107128 -0.002777 -0.15915 -0.119314
0.066792 0.058579 0.137551 0.095215 0.06893 0.038277 0.049449 0.119056 0.094362
-0.014179 -0.003646 -0.033898 -0.029623 0.013128 -0.042694 -0.012776 -0.052394 -0.030476
-0.048474 0.041933 -0.096225 -0.079075 -0.018092 -0.076989 0.032803 -0.114721 -0.079928
-0.022733 -0.026483 0.061429 0.043925 0.017181 -0.051248 -0.035613 0.042933 0.043072
0.023475 0.036302 0.090967 -0.043054 0.020432 -0.00504 0.027173 0.072471 -0.043907
0.013587 0.006 0.05029 0.008288 0.034047 -0.014928 -0.003129 0.031795 0.007434
0.026122 0.043244 0.020383 0.036571 0.02859 -0.002393 0.034114 0.001887 0.035717
0.087064 -0.054141 -0.110577 -0.109774 -0.001628 0.058549 -0.06327 -0.129072 -0.110627
-0.062214 -0.103932 -0.05413 -0.171925 -0.08411 -0.090729 -0.113062 -0.072626 -0.172779
0.035021 0.004964 -0.066001 -0.251261 -0.125119 0.006506 -0.004166 -0.084497 -0.252114
0.2689 0.039712 0.00293 0.223861 0.126844 0.240385 0.030583 -0.015565 0.223007
-0.012785 0.017394 0.032222 -0.021519 0.045282 -0.0413 0.008264 0.013727 -0.022372
0.129567 -0.041997 0.053026 0.002575 0.018388 0.101052 -0.051126 0.034531 0.001722
0.147114 0.045879 0.050435 -0.059034 0.055101 0.118599 0.03675 0.031939 -0.059887
0.090461 0.062687 0.070966 -0.050856 0.070065 0.061946 0.053558 0.052471 -0.051709
-0.087579 -0.027208 0.048064 -0.123504 -0.039228 -0.116093 -0.036337 0.029569 -0.124357
-0.035754 -0.086715 0.052967 -0.049811 -0.027666 -0.064269 -0.095844 0.034471 -0.050664
0.04344 0.068874 0.105317 0.168915 0.107546 0.014925 0.059745 0.086821 0.168062
0.028058 0.017539 0.048563 0.10712 0.037121 -0.000457 0.00841 0.030067 0.106267
-0.015576 -0.050384 0.004505 0.087821 -0.011137 -0.044091 -0.059513 -0.01399 0.086968
-0.035328 -0.05774 0.180704 0.212534 0.026091 -0.063843 -0.066869 0.162209 0.21168
0.000372 0.061553 0.074069 0.044291 0.042439 -0.028143 0.052424 0.055573 0.043438
0.120663 -0.025106 -0.016216 0.025255 0.052425 0.092148 -0.034236 -0.034711 0.024402
-0.07047 0.018658 0.056859 0.019741 0.005486 -0.098985 0.009529 0.038363 0.018888
0.067355 0.073962 -0.097271 0.096436 0.022214 0.03884 0.064832 -0.115766 0.095582
-0.032722 -0.003076 -0.049993 -0.087349 0.022748 -0.061237 -0.012206 -0.068489 -0.088203
0.043034 -0.007545 0.019927 -0.052979 0.02899 0.014519 -0.016675 0.001432 -0.053832
0.002092 0.012715 -0.002371 0.021653 0.002819 -0.026423 0.003585 -0.020867 0.020799

0.028515 0.009129 0.018495 0.000853 1.39%

0.006466 0.002455 0.005417 0.007164
0.080411 0.049544 0.073602 0.08464
1.140674 0.423455 0.884622 1.403936
 Risk Free 6% per annum

μ (Average w(Weight) Car-Cov Matrix (S)

Amazon 0.028515 0.6580152
Merck 0.009129 0.0310367
Caterpillar 0.018495 0.3109481
Exxon 0.000853 0
1
n-1
Monthly Annual
Portfolio Ret 0.024798 0.3417062
Portfolio Variance 0.003851 0.0462102
Portfolio SD 0.062055 0.2149656
Sharpe Ratio 1.3104712

The access return i.e. Rp-Rf is 74% the excess return will increase by that percent and after o
Portfolio Allocation problem
 Amazon Merck Caterpillar Exxon
Car-Cov Matrix (S) Amazon 0.006466 0.000477 0.001221 0.001995
Merck 0.000477 0.002455 0.000307 0.00102
Caterpillar 0.001221 0.000307 0.005417 0.002895
Exxon 0.001995 0.00102 0.002895 0.007164

Variances
58
Covariances

y that percent and after optimization, with every increase in one % increase in SD the excess return is increasing b 131 %.
PORTFOLIO ALLOCATION Monthly Yearly
μ Hist μ CAPM μ Hist
Amazon 0.015118
Merck 0.008673
Caterpillar 0.012817
Exxon 0.017484

Historical CAPM

μ-rf (Excess
returns of each
μ-rf Z stocks)
Amazon 0.13728983767
Merck 0.0491858054
Caterpillar 0.1051254925
Exxon 0.17120666486
SUM Z SUM z

Weights optimized
Amazon 0.30442399
Merck 0.209838213
Caterpillar 0.1553033
Exxon 0.330434498
SUM 1

Historical CAPM
Expected Port Ret 0.341706234 0.185014
variance 0.031878 SD_Capm 0.17854526981
Sharpe ratio 0.700183

portfolio beta 1.037399

treynor ratio 0.178344
Yearly
μ CAPM Risk Free 6% per annum
0.19729 Rf monthly 0.487%
0.109186
0.165125 Risk Premium 0.90%
0.231207

CAPM

Z
14.32594
9.874812
7.308444
15.54997
47.05917