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Spreadsheet _Template_.xls

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					                                   Prices                                         Raw Returns
 Period      EIX        WMB        INTC         ORCL       NKE        EIX   WMB      INTC
  3/1/2010      44.36     21.57         20.60      12.42      86.78
  2/1/2010      43.82     23.84         21.26      12.57      80.95
12/31/2009      43.61     23.17         24.96      12.21      86.79
 12/1/2009      45.12     21.50         26.68      12.60      85.30
 11/1/2009      43.76     22.30         23.50      12.68      84.05
 10/1/2009      47.28     25.05         24.65      12.40      81.68
  9/1/2009      45.03     22.44         25.72      12.99      78.91
 7/30/2009      40.88     21.24         27.14      13.57      83.80
  7/1/2009      40.55     19.00         26.02      13.20      86.60
  6/1/2009      36.75     18.41         26.96      12.80      82.20
 4/30/2009      36.30     17.02         23.52      11.56      76.81
  4/1/2009      34.72     18.81         23.23      12.48      83.31
  3/1/2009      32.48     18.83         23.99      12.95      86.95
  2/1/2009      32.47     16.81         22.45      13.77      86.63
  1/1/2009      32.03     16.29         23.39      13.72      90.69
 12/1/2008      31.90     16.67         22.38      12.74      84.66
10/30/2008      30.50     12.51         22.26      12.66      81.31
 10/1/2008      26.51     12.10         20.06      11.28      78.80
  9/1/2008      26.88     11.89         21.29       9.97      75.31
 7/31/2008      26.80     12.15         24.38      10.51      72.71
  7/1/2008      25.57     11.90         27.60      11.93      75.75
  6/1/2008      24.14     11.91         28.55      11.40      71.15
  5/1/2008      23.40     10.30         25.73      11.25      71.95
  4/1/2008      24.29       9.57        27.20      12.00      77.87
 2/28/2008      23.09       9.47        29.20      12.87      73.25
 1/31/2008      22.00     10.14         30.52      13.86      69.66
  1/1/2008      21.93       9.82        32.05      13.23      68.46
11/29/2007      20.42       9.38        33.54      12.02      67.25
 11/1/2007      19.71     10.20         32.95      11.97      63.90
 10/1/2007      19.10       9.42        27.52      11.25      60.82
 8/30/2007      18.86       9.13        28.59      12.83      56.98
  8/1/2007      16.41       6.35        24.89      11.99      51.74
  7/1/2007      16.43       7.90        20.81      12.01      53.49
 5/31/2007      16.28       7.91        20.82      13.01      55.99
  5/1/2007      14.59       6.95        18.37      11.88      53.53
   4/1/2007          13.69   4.58          16.28      10.85    51.42
                                                              Means

              N

              Mean Returns          VarCovar Matrix
EIX
WMB
INTC
ORCL
NKE
aw Returns                            Mean Adjusted Returns
             ORCL   NKE   EIX   WMB           INTC         ORCL   NKE
VarCovar Matrix (Alt calc)
              Mean Returns              VarCovar Matrix
EIX                0.0336                    0.0022         0.0022        0.0012         0.0008
WMB                0.0443                    0.0022         0.0155        0.0029         0.0025
INTC               0.0067                    0.0012         0.0029        0.0081         0.0027
ORCL               0.0039                    0.0008         0.0025        0.0027         0.0047
NKE                0.0150                    0.0005         0.0013        0.0011         0.0013


A Frontier Portfolio                                  Five Frontier Portfolios

C (= E(Rp))      E(Rp)       Var(Rp)                  C (= E(Rp))       E(Rp)         Var(Rp)
     0.0250                                                0.0050
                                                           0.0150
                Weights   Unit Vector                      0.0250
EIX                0.2000        1.00                      0.0300
WMB                0.2000        1.00                      0.0350
INTC               0.2000        1.00
ORCL               0.2000        1.00
NKE                0.2000        1.00
Sum                1.0000

Generating the whole frontier                                        Data Table     Sigma(Rp)
                                                      P-Alpha
              P1 Weights P2 Weights                                         -0.50
EIX               0.2000     0.2000                                         -0.40
WMB               0.2000     0.2000                                         -0.30
INTC              0.2000     0.2000                                         -0.20
ORCL              0.2000     0.2000                                         -0.10
NKE               0.2000     0.2000                                          0.00
Sum               1.0000     1.0000       P-Alpha                            0.10
                                               0.50                          0.20
Mean                                                                         0.30
Variance                                                                     0.40
Covariance                                                                   0.50
Std Dev                                                                      0.60
                                                                             0.70
                                                                             0.80
                                                                             0.90
                                                                             1.00
                                                                             1.10
                                                                             1.20
                                                                             1.30
                                                                             1.40
                                                                             1.50
                                                                             1.60
                                                                             1.70
                                                                             1.80
                                                                             1.90
                                                                             2.00
                                                                             2.10
                                                                             2.20
                                                                             2.30
2.40
2.50
        0.0005
        0.0013
        0.0011
        0.0013
        0.0024



                               Weights
    EIX          WMB            INTC        ORCL         NKE        Sum
     0.2000       0.2000          0.2000      0.2000      0.2000       1.00
     0.2000       0.2000          0.2000      0.2000      0.2000       1.00
     0.2000       0.2000          0.2000      0.2000      0.2000       1.00
     0.2000       0.2000          0.2000      0.2000      0.2000       1.00
     0.2000       0.2000          0.2000      0.2000      0.2000       1.00




E(Rp)
                                                               Frontier Portfolios

                            1.2000



                            1.0000



                            0.8000
                    E(Rp)




                            0.6000



                            0.4000



                            0.2000



                            0.0000
                                 0.0000 0.0050 0.0100 0.0150 0.0200 0.0250 0.0300 0.0350 0.0400
                                                                        Sigma(Rp)
0.0350 0.0400 0.0450 0.0500 0.0550 0.0600
               Mean Returns            VarCovar Matrix
EIX                 0.0336                  0.0022        0.0022    0.0012   0.0008
WMB                 0.0443                  0.0022        0.0155    0.0029   0.0025
INTC                0.0067                  0.0012        0.0029    0.0081   0.0027
ORCL                0.0039                  0.0008        0.0025    0.0027   0.0047
NKE                 0.0150                  0.0005        0.0013    0.0011   0.0013


  Q, R, S
                   raw        scaled
     Q
     R
     S

  SQ-R^2

Coefficients       a            b




                                         Weights
   E(Rp)           EIX        WMB         INTC           ORCL      NKE
     -0.0500
     -0.0450
     -0.0400
     -0.0350
     -0.0300
     -0.0250
     -0.0200
     -0.0150
     -0.0100
     -0.0050
      0.0000
      0.0050
      0.0100
      0.0150
      0.0200
      0.0250
      0.0300
      0.0350
      0.0400
      0.0450
      0.0500
      0.0550
      0.0600
      0.0650
      0.0700
      0.0750
      0.0800
          Unit Vector
 0.0005         1.0000
 0.0013         1.0000
 0.0011         1.0000
 0.0013         1.0000
 0.0024         1.0000




Min
             Mean Returns                  VarCovar Matrix
EIX                0.0336                       0.0022       0.0022   0.0012   0.0008
WMB                0.0443                       0.0022       0.0155   0.0029   0.0025
INTC               0.0067                       0.0012       0.0029   0.0081   0.0027
ORCL               0.0039                       0.0008       0.0025   0.0027   0.0047
NKE                0.0150                       0.0005       0.0013   0.0011   0.0013

             Risk Free Rate
                    0.0033

The Market Portfolio

             E(r) - rf      z vector       M weights
EIX
WMB
INTC
ORCL
NKE
Sum                               0.0000        0.0000

E(Rm)
Var(Rm)
Sigma(Rm)
         Unit vector
0.0005         1.0000
0.0013         1.0000
0.0011         1.0000
0.0013         1.0000
0.0024         1.0000
              Mean Returns              VarCovar Matrix
EIX                0.0336                    0.0022       0.0022   0.0012   0.0008
WMB                0.0443                    0.0022       0.0155   0.0029   0.0025
INTC               0.0067                    0.0012       0.0029   0.0081   0.0027
ORCL               0.0039                    0.0008       0.0025   0.0027   0.0047
NKE                0.0150                    0.0005       0.0013   0.0011   0.0013


A Frontier Portfolio

C (= E(Rp))      E(Rp)       Var(Rp)     Sigma(Rp)
     0.0385

                Weights   Unit Vector
EIX                0.2000        1.00
WMB                0.2000        1.00
INTC               0.2000        1.00
ORCL               0.2000        1.00
NKE                0.2000        1.00
Sum                1.0000

A Frontier Portfolio when Short Sales are Constrained

C (= E(Rp))      E(Rp)       Var(Rp)     Sigma(Rp)
     0.0385

                Weights   Unit Vector
EIX                0.2000        1.00
WMB                0.2000        1.00
INTC               0.2000        1.00
ORCL               0.2000        1.00
NKE                0.2000        1.00
Sum                1.0000
0.0005
0.0013
0.0011
0.0013
0.0024

				
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