William David Taylor

Portfolio Project

Statiscal Analysis for JWN UN Equity

Arithmetic Mean

0.000707

Variance

0.000118

Standard Deviation

0.010871

CWI

1.176452 $

Geometric Mean

0.000648

0.070653%
1.087099%
1.18
0.064763%

S
U
M
M
A
R
Y

Statistical Analysis of KMI UN Equity

Arithmetic Mean

0.000181

Variance

0.000148

Standard Deviation

0.012183

CWI
Geometric Mean

1.027096 $
0.000107

Statisical Analysis of S&P 500

Arithmetic Mean
0.001040
Variance
0.000046
Standard Deviation
0.006815
CWI
1.290725 $
Geometric Mean
0.001017
Portfolio Summary
Arithmetic Mean
0.000444
Variance
0.000081
Standard Deviation
0.008998
CWI
1.106502 $
Geometric Mean
0.000403

0.018083%
1.218343%
1.03
0.010652%

0.104043%
0.681543%
1.29
0.101727%

0.044368%
0.899847%
1.11
0.040328%

S
H
E
E
T

SML data
KMI
JWN
Portfolio
SPX
T-bill

Beta

0.94
1
0

Arithmetic Mean
0.018083%
0.070653%
0.044368%
0.104043%
0.000300%

SML
0.130000%
0.115000%

0.104043%

0.100000%

EXPECTED RETURN

0.085000%
0.070653%
0.070000%
0.055000%

0.044368%

0.040000%
0.018083%

0.025000%
0.010000%
0.000300%
-0.005000% 0

0.5

-0.020000%

1.5

BETA
SML

KMI

JWN

Portfolio

Linear (SML)

KMI UN
0.018083%
0.000148
1.218343%

Arithmetic Mean
Variance
St. Dev.
Corr. Coeff.
WeightKMI

WeightJWN
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

JWN UN
0.070653%
0.000118
1.08710%
0.216221
Portfolio TR
Portfolio ()
0.0707%
1.09% My Optimal Portfolio
0.0654%
1.01%
0.0601%
0.95%
0.0549%
0.91%
0.0496%
0.89% Global Min. Var. Portfolio
0.0444%
0.90%
0.0391%
0.93%
0.0339%
0.98%
0.0286%
1.04%
0.0233%
1.13%
0.0181%
1.22%

Efficient Frontier
1.09%

0.0800%

1.01%

0.0700%

0.95%

E(R)

0.0600%

0.91%

0.0500%

0.89%

0.0400%

0.90%
0.93%

0.0300%

0.98%

0.0200%

1.04%

0.0100%

0.0000%
0.50%

1.13%
1.22%
0.70%

0.90%
RISK ()

1.10%

1.30%

Correlation
KMI UN Equity TR
JWN UN Equity TR
S&P 500 TR
Portfolio TR

KMI UN Equity TR

JWN UN Equity TR

1
0.216221
0.518931
0.807580

1
0.601442
0.750423

S&P 500 TR

1
0.714601

Portfolio Performance
Arithmetic Mean
Portfolio
S&P 500
T-bill
Performance Metric
Sharpe's RVAR
Treynor's RVOL
Jensen's Alpha
Calculations
KMI
JWN
Portfolio
S&P 500
T-bill

0.044368%
0.104043%
0.000300%

Portfolio

Calculated

Standard Deviation ()
0.94
1
0

0.899847%
0.681543%
0

Performance Compared
to Market
0.152218
UNDERPERFORM
0.001037
UNDERPERFORM
0
UNDERPERFORM

S&P 500 (Market)

0.048973
0.000467
-0.000538
Beta
0.93
0.96
0.94
1
0

Arithmetic Mean
0.018083%
0.070653%
0.044368%
0.104043%
0.000300%

Beta: Yahoo Finance

0.61
1.35
N/A
1
0

Portfolio TR

CML data
Portfolio
SPX 500
T-bill

Standard Deviation
0.899847%
0.681543%
0.000000%

Arithmetic Mean
0.044368%
0.104043%
0.000300%

CML
Using Daily Return Data
0.120000%
0.104043%

EXPECTED RETURN

0.100000%

0.080000%

0.060000%
0.044368%
0.040000%

0.020000%
0.000300%
0.000000%
0.0000%

0.1000%

0.2000%

0.3000%

0.4000%

0.5000%

0.6000%

0.7000%

Risk ()
S&P 500

Portfolio

Linear (S&P 500)

0.8000%

0.9000%

1.0000%

KMI vs. S&P 500 Returns

JWN vs. S&P 500 Returns

y = 0.9277x - 0.0008
R = 0.2693

0.060

y = 0.9593x - 0.0003
R = 0.3617

0.040
0.030

-0.040

0.020

0.020

-0.030

-0.020

0.000
-0.010
0.000
-0.020

0.010

0.020

0.030

0.040

EXCESS RETURN

KWI EXCESS RETURNS

0.040

-0.030

0.010
-0.020

0.000
-0.010 -0.0100.000

0.010

0.020

0.030

-0.020
-0.030

-0.040

-0.040

-0.060

-0.050
-0.080

-0.060
S&P 500
EXCESS RETURNS

S&P 500 EXCESS RETURNS

KMI vs. SPX 500 Returns

Linear (KMI vs. SPX 500 Returns)

JWN vs. SPX 500 Returns

Linear (JWN vs. SPX 500 Returns)

Portfolio vs. S&P 500 Returns

y = 0.9435x - 0.0005
R = 0.5107

0.030

EXPECTED RETURN

0.020

-0.030

0.010

-0.020

-0.010

0.000
0.000
-0.010

0.010

0.020

-0.020
-0.030
-0.040
S&P 500 EXCESS RETURNS
Portfolio vs. S&P 500

Portfolio vs. S&P 500

Linear (Portfolio vs. S&P 500)

0.030