PRICES FOR DOW-JONES 30 STOCKS, JULY 1997 - JULY 2007

Date
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01

DJ30
8222.61
7622.42
7945.26
7442.08
7823.13
7908.25
7906.50
8545.72
8799.81
9063.37
8899.95
8952.02
8883.29
7539.07
7842.62
8592.10
9116.55
9181.43
9358.83
9306.58
9786.16
10789.04
10559.74
10970.80
10655.15
10829.28
10336.95
10729.86
10877.81
11497.12
10940.53
10128.31
10921.92
10733.91
10522.33
10447.89
10521.98
11215.10
10650.92
10971.14
10414.49
10787.99
10887.36
10495.28
9878.78

Alcoa
AA
18.38
17.13
17.08
15.20
14.05
14.71
15.96
15.41
14.45
16.27
14.61
13.89
14.60
12.66
15.02
16.76
15.75
15.82
17.73
17.27
17.56
26.54
23.53
26.47
25.62
27.71
26.63
26.07
28.20
35.74
30.01
29.60
30.35
28.03
25.35
25.16
26.24
28.98
22.05
24.99
24.66
29.31
32.28
31.42
31.59

American
American
International
Express
Group
AXP
AIG
36.31
22.38
32.18
20.78
35.21
21.88
34.83
20.90
34.40
21.14
37.13
23.98
37.67
22.49
41.04
24.20
43.03
24.67
44.95
27.52
42.30
27.63
49.92
30.69
51.56
29.78
39.65
21.05
40.22
20.94
43.78
23.84
48.24
27.08
49.62
27.75
52.86
27.91
58.51
29.44
61.97
32.00
60.11
35.52
58.73
32.90
60.27
35.43
59.69
35.87
59.56
37.44
55.89
36.76
66.18
42.00
66.73
41.20
69.54
45.34
67.13
45.00
56.88
36.65
70.47
40.68
70.59
40.90
72.47
44.32
75.65
42.79
84.69
46.60
86.12
48.52
92.45
49.94
94.68
49.39
93.70
45.22
95.26
45.22
82.18
38.83
79.10
36.17
77.84
34.05

Boeing
BA
50.44
46.96
46.91
41.36
45.92
42.30
41.16
47.02
45.18
43.39
41.50
38.73
33.73
26.99
29.93
32.77
35.56
28.56
30.36
31.30
29.87
35.70
37.07
38.78
40.00
40.06
37.69
40.72
36.04
36.75
39.47
32.88
33.65
35.32
34.89
37.35
43.60
48.05
57.78
60.75
62.00
59.25
52.52
56.01
50.16

Citigroup Caterpillar
C
CAT
17.87
15.78
16.97
17.43
19.00
20.12
18.51
20.83
22.46
22.95
22.98
22.74
25.28
16.68
14.09
17.74
18.96
18.75
21.23
22.25
24.19
28.43
25.16
27.05
25.45
25.39
25.14
31.08
30.86
31.90
32.65
29.73
34.40
33.98
35.81
34.70
40.60
44.95
41.62
40.52
38.45
39.42
43.21
38.06
34.81

22.22
23.04
21.41
20.42
19.10
19.33
19.23
21.86
22.06
22.91
22.11
21.29
19.63
17.00
18.01
18.31
20.14
18.74
17.76
18.68
18.83
26.52
22.61
24.72
24.29
23.46
22.70
23.05
19.33
19.61
17.80
14.70
16.54
16.67
16.17
14.32
14.54
15.69
13.23
15.13
16.97
20.42
19.23
18.09
19.30

Dupont
DD
49.92
46.61
46.05
42.55
45.54
45.16
42.58
46.33
51.39
55.02
58.59
56.69
47.06
44.19
42.95
44.09
45.21
40.74
39.31
39.66
44.87
54.63
50.81
53.04
56.00
49.46
47.21
50.29
46.65
51.70
46.31
39.89
41.82
37.48
38.98
34.81
36.05
35.98
32.77
36.37
34.19
39.04
35.32
35.60
33.16

2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05

10734.97
10911.94
10502.40
10522.81
9949.75
8847.56
9075.14
9851.56
10021.57
9920.00
10106.13
10403.94
9946.22
9925.25
9243.26
8736.59
8663.50
7591.93
8397.03
8896.09
8341.63
8053.81
7891.08
7992.13
8480.09
8850.26
8985.44
9233.80
9415.82
9275.06
9801.12
9782.46
10453.92
10488.07
10583.92
10357.70
10225.57
10188.45
10435.48
10139.71
10173.92
10080.27
10027.47
10428.02
10783.01
10489.94
10766.23
10503.76
10192.51
10467.48

36.37
38.05
35.27
34.59
33.74
27.45
28.69
34.32
31.61
31.88
33.56
33.71
30.40
31.38
29.74
24.41
22.64
17.41
19.91
23.20
20.69
17.95
18.76
17.74
21.13
22.67
23.49
25.59
26.46
24.24
29.25
30.54
35.37
31.82
35.03
32.44
28.75
29.41
31.03
30.09
30.57
31.71
30.68
32.23
29.79
27.99
30.62
28.97
27.67
25.97

79.10
78.36
82.24
80.54
75.69
75.50
76.08
79.76
76.89
71.81
71.67
69.90
66.97
64.89
66.16
61.98
60.89
53.08
60.70
63.22
56.18
52.56
47.87
48.07
56.33
56.26
53.68
62.46
57.95
56.20
59.24
56.44
64.62
67.72
72.15
69.63
69.92
71.53
69.63
69.02
69.59
66.49
59.37
61.95
64.30
64.90
65.40
54.35
49.88
54.49

35.06
34.80
32.05
33.38
30.15
24.06
24.43
27.32
29.63
29.82
30.32
34.08
34.19
35.44
30.28
29.46
30.12
26.05
30.46
32.60
29.67
29.82
28.18
27.89
31.85
35.05
35.18
37.25
37.99
38.00
39.67
38.64
40.85
43.91
45.25
44.00
41.54
43.02
43.69
42.73
42.53
43.75
45.23
47.48
48.04
45.56
46.25
43.98
45.12
46.10

55.65
56.78
50.20
52.84
46.37
30.34
29.52
31.95
35.30
37.27
42.01
44.10
40.76
39.13
41.28
38.09
34.16
31.45
27.42
31.55
30.57
29.27
25.68
23.35
25.42
28.74
32.16
31.03
35.22
32.34
36.26
36.32
39.87
39.50
41.19
39.01
40.55
43.71
48.75
48.43
50.03
49.46
47.81
51.53
49.79
48.67
53.12
56.49
57.52
62.00

38.04
39.77
41.01
38.96
35.65
31.53
35.44
37.42
39.44
37.16
35.47
38.82
33.94
33.99
30.50
26.40
27.79
25.16
31.51
33.15
30.01
29.46
28.59
29.54
33.66
35.36
36.89
38.92
37.66
39.53
41.48
41.16
42.48
43.66
44.34
45.61
42.78
41.31
41.37
39.58
41.82
39.61
40.20
40.54
43.65
44.44
43.62
41.08
43.33
43.47

21.99
23.72
21.92
24.29
22.04
19.75
19.86
21.06
23.21
22.50
24.84
25.44
24.59
23.54
22.04
20.29
19.81
16.90
18.71
22.86
20.94
20.30
21.69
22.71
24.44
24.23
25.86
31.53
33.57
32.17
34.41
35.71
38.99
36.85
35.73
37.30
36.83
35.70
37.64
35.00
34.63
38.32
38.56
43.83
46.68
42.84
45.70
43.97
42.54
45.46

36.82
38.09
39.60
35.15
33.92
31.06
33.11
37.01
35.49
36.87
39.41
39.67
37.44
39.00
37.65
35.54
34.46
30.84
35.27
38.47
36.55
32.65
31.92
33.83
37.02
36.98
36.54
38.56
39.58
35.39
35.74
36.99
40.95
39.17
40.55
37.97
38.63
39.18
40.29
38.88
38.65
39.14
39.21
41.78
45.21
43.84
49.47
47.56
43.73
43.51

1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

10274.97
10640.91
10481.60
10568.70
10440.07
10805.87
10717.50
10864.86
10993.41
11109.32
11367.14
11168.31
11150.22
11185.68
11381.15
11679.07
12080.73
12221.93
12463.15
12621.69
12268.63
12354.35
13062.91
13627.64
13408.62
13565.84

25.04
26.88
25.81
23.52
23.40
26.56
28.66
30.53
28.55
29.76
32.89
31.02
31.65
29.29
28.11
27.57
28.42
30.80
29.71
32.14
33.25
33.73
35.32
41.28
40.53
41.35

57.12
59.18
58.35
61.07
63.87
66.18
67.25
64.52
65.41
65.29
64.46
60.21
58.48
60.08
63.37
65.79
66.69
69.99
71.32
68.12
66.96
67.07
69.75
72.34
70.03
70.27

45.67
47.19
47.40
49.28
48.90
50.52
50.56
51.65
53.06
51.75
53.11
53.65
52.53
51.53
52.00
55.51
57.37
58.28
60.21
57.92
56.58
56.11
60.52
64.82
61.03
61.38

64.04
64.05
65.27
66.18
62.96
66.67
68.67
66.78
71.37
76.51
81.93
82.01
80.69
76.27
74.07
77.98
78.98
87.86
88.17
88.88
86.94
88.58
92.65
100.59
96.16
98.36

42.66
40.54
40.79
42.42
42.67
45.69
45.67
43.84
44.10
44.92
48.00
47.38
46.37
46.43
47.91
48.22
48.69
48.62
54.61
54.05
49.87
50.83
53.09
54.49
51.29
51.50

46.04
52.33
53.87
57.03
51.28
56.34
56.33
66.47
71.55
70.30
74.39
71.64
73.15
69.91
65.45
64.90
60.14
61.45
60.76
63.79
64.15
66.74
72.62
78.58
78.30
77.49

40.24
39.93
37.34
36.97
39.34
40.70
40.46
37.27
38.66
40.56
42.37
41.20
40.30
38.42
39.08
41.89
44.78
46.25
48.00
48.84
50.36
49.07
48.81
52.32
50.84
52.06

Disney
DIS
24.71
23.49
24.65
25.23
29.08
30.32
32.77
34.33
32.74
38.25
34.78
32.26
31.77
25.32
23.41
24.91
29.76
27.73
30.51
32.53
28.77
29.35
26.92
28.48
25.48
25.65
24.04
24.55
26.04
27.33
33.93
31.77
38.55
40.77
39.43
36.27
36.03
36.40
35.74
33.46
27.04
27.23
28.65
29.12
26.91

General
Electric
GE
18.97
16.93
18.49
17.55
20.06
20.01
21.14
21.21
23.60
23.33
22.83
24.88
24.57
21.98
21.94
24.13
24.92
28.22
29.02
27.75
30.72
29.26
28.24
31.38
30.36
31.28
33.12
37.85
36.35
43.34
37.53
37.08
43.72
44.17
44.35
44.66
43.67
49.54
48.96
46.42
41.97
40.73
39.07
39.51
35.69

General
Motors
GM
32.51
33.24
35.46
34.00
32.53
34.37
32.78
39.32
38.64
38.42
41.28
38.37
41.53
33.62
31.74
36.55
40.72
41.70
52.30
48.37
50.97
52.18
49.16
47.03
43.56
47.58
45.21
50.59
53.39
52.59
58.29
55.38
60.29
68.16
51.72
42.52
41.70
51.68
47.99
45.87
36.87
37.95
40.00
40.08
38.97

Home
Depot
HD
15.37
14.56
16.10
17.22
17.32
18.20
18.70
19.75
20.92
21.56
24.31
25.72
25.93
23.61
24.48
27.00
30.83
37.94
37.52
37.01
38.62
37.07
35.09
40.01
39.62
38.21
42.63
47.06
49.23
64.11
52.81
53.62
60.19
52.73
45.73
46.65
48.34
44.93
49.49
40.20
36.67
42.76
45.10
39.77
40.37

Honeywell
HON
37.83
33.96
34.96
29.62
30.66
32.05
32.15
35.27
34.80
36.30
35.55
36.90
36.17
28.64
29.54
32.51
36.86
37.12
32.67
34.80
41.37
49.41
48.97
53.14
54.56
51.96
50.69
48.15
50.88
48.92
40.71
40.98
44.86
47.68
46.72
28.78
29.05
33.39
30.60
46.22
42.03
40.78
40.73
40.44
35.31

HewlettPackard
HPQ
24.24
21.29
24.13
21.38
21.21
21.69
20.91
23.30
22.09
26.27
21.72
20.93
19.40
16.97
18.56
21.12
21.93
24.01
27.55
23.35
23.89
27.78
33.22
35.46
36.94
37.18
32.08
26.22
33.53
40.27
38.32
47.61
46.98
47.84
42.59
56.77
49.67
54.85
44.17
42.35
28.79
28.81
33.64
26.34
28.63

IBM
48.94
47.00
49.14
45.67
50.87
48.60
45.87
48.61
48.35
53.93
54.79
53.54
61.79
52.61
60.03
69.37
77.25
86.26
85.73
79.52
83.03
97.99
108.80
121.23
117.89
116.95
113.60
92.24
96.89
101.41
105.53
96.70
111.40
104.93
101.11
103.23
105.77
124.53
106.23
92.92
88.31
80.28
105.78
94.46
90.95

Intel
INTC
21.50
21.58
21.62
18.04
18.19
16.46
18.99
21.02
18.30
18.95
16.75
17.38
19.80
16.70
20.11
20.92
25.26
27.82
33.08
28.16
27.91
28.73
25.40
27.95
32.42
38.63
34.92
36.40
36.06
38.70
46.52
53.14
62.05
59.64
58.66
62.89
62.80
70.46
39.11
42.35
35.84
28.30
34.84
26.91
24.79

Johnson &
Johnson
JNJ
26.34
24.12
24.55
24.41
26.88
28.13
28.59
32.29
31.46
30.63
29.69
31.81
33.21
29.76
33.75
35.15
35.15
36.28
36.82
37.04
40.57
42.30
40.31
42.65
39.63
44.63
40.10
45.72
45.41
40.81
37.66
31.62
30.85
36.24
39.45
44.91
41.02
40.67
41.55
40.74
44.38
46.62
41.33
43.34
38.95

28.46
29.75
27.18
24.79
23.93
17.52
17.49
19.26
19.70
20.03
21.87
21.95
22.04
21.79
17.97
16.86
14.91
14.40
15.88
18.85
15.70
16.85
16.42
16.39
17.97
18.92
19.01
21.10
19.74
19.42
21.80
22.23
22.67
23.33
25.78
24.29
22.38
22.81
24.77
22.44
21.82
21.92
24.51
26.13
27.26
28.07
27.40
28.17
25.89
26.91

41.38
41.78
41.78
37.21
34.99
31.97
31.29
33.09
34.60
32.07
33.39
32.43
27.36
27.01
25.35
28.10
26.31
21.66
22.19
23.83
21.56
20.49
21.46
22.76
26.28
25.61
25.76
25.55
26.56
26.94
26.22
25.91
28.19
30.60
29.77
27.94
27.42
28.49
29.84
30.62
30.20
31.11
31.61
32.76
34.01
33.67
33.01
33.81
33.94
34.21

41.20
43.15
48.80
48.24
41.85
32.79
31.59
38.44
37.59
39.55
41.40
47.23
50.12
48.92
42.07
36.64
38.11
30.97
26.48
32.08
29.78
29.35
27.67
27.55
29.54
29.35
29.91
31.10
34.60
34.46
35.93
36.44
45.49
42.32
41.41
40.66
40.81
39.51
40.55
37.55
36.39
37.42
33.95
34.43
35.75
32.85
32.24
26.58
24.13
28.98

44.12
46.17
44.28
47.22
43.11
36.00
35.87
43.82
47.91
47.05
46.96
45.71
43.60
39.20
34.58
29.07
31.00
24.61
27.23
24.89
22.70
19.75
22.16
23.08
26.66
30.79
31.44
29.62
30.53
30.30
35.27
34.97
33.83
33.81
34.61
35.68
33.61
34.30
33.70
32.28
35.08
37.61
39.42
40.14
41.09
39.67
38.48
36.86
34.09
37.93

42.30
41.89
30.20
32.08
32.59
23.09
25.84
29.16
29.76
29.57
33.73
33.86
32.45
34.85
31.32
28.77
26.78
19.37
21.41
23.45
21.64
22.03
20.80
19.41
21.45
23.99
24.59
25.90
26.72
24.29
28.22
27.54
31.01
33.51
32.68
31.56
32.25
31.61
34.35
35.27
33.93
33.81
31.76
33.49
33.57
34.11
36.18
35.46
34.08
34.72

26.03
26.84
26.26
22.64
21.31
14.80
15.52
20.28
19.02
20.47
18.63
16.68
15.90
17.75
14.27
13.22
12.54
10.96
14.84
18.30
16.38
16.43
14.96
14.75
15.46
18.49
20.28
20.15
18.97
18.50
21.32
20.78
22.03
22.82
21.79
21.99
18.97
20.45
20.39
19.47
17.29
18.20
18.11
19.41
20.43
19.09
20.26
21.46
20.02
22.02

108.87
105.84
107.45
99.60
94.75
86.95
102.45
109.71
114.81
102.40
93.25
98.84
79.60
76.61
68.56
67.04
71.94
55.65
75.34
83.11
74.10
74.77
74.67
75.13
81.33
84.50
79.18
77.98
78.87
84.94
86.05
87.23
89.29
95.60
93.12
88.62
85.08
85.66
85.23
84.19
82.06
83.08
86.97
91.49
95.71
90.70
90.05
88.89
74.29
73.68

29.12
25.46
27.57
28.10
26.37
19.28
23.03
30.83
29.69
33.08
26.97
28.72
27.02
26.11
17.27
17.76
15.78
13.14
16.37
19.78
14.75
14.84
16.36
15.44
17.45
19.77
19.76
23.63
27.17
26.15
31.31
31.89
30.48
29.02
27.80
25.90
24.50
27.22
26.32
23.25
20.33
19.16
21.26
21.41
22.38
21.48
23.04
22.31
22.58
25.97

42.96
43.32
44.65
48.35
47.26
49.68
51.93
52.39
53.15
51.72
54.94
58.60
57.61
55.54
47.31
47.62
49.34
49.13
53.38
51.98
48.96
48.87
48.01
52.97
51.59
49.97
47.53
47.61
45.80
45.74
46.49
45.76
47.95
49.58
50.26
47.28
50.37
52.21
52.20
51.79
54.72
53.06
54.99
57.08
60.02
61.23
62.35
63.83
65.23
64.09

24.69
25.14
24.70
23.66
23.90
24.45
23.75
25.08
27.74
27.64
27.71
30.23
29.73
29.42
29.38
30.63
31.18
32.75
34.27
35.17
34.25
34.43
34.98
35.44
34.14
34.63

32.69
32.55
31.71
31.98
32.21
33.92
33.53
31.33
31.68
33.52
33.33
33.02
32.00
31.74
33.07
34.52
34.33
34.50
36.66
35.51
34.66
35.11
36.60
37.31
38.28
38.54

31.25
33.84
31.88
28.54
25.55
20.80
18.44
22.85
19.51
20.43
21.98
26.12
28.90
31.27
28.54
32.53
34.15
28.79
30.26
32.34
31.63
30.38
30.97
29.99
37.80
36.76

37.59
42.04
39.06
36.94
39.75
40.57
39.31
39.37
40.93
41.22
38.91
37.15
35.02
33.96
33.55
35.64
36.68
37.54
39.70
40.27
39.14
36.53
37.66
38.65
39.35
39.83

35.11
37.65
36.89
36.14
32.96
35.41
36.10
37.23
39.90
41.67
41.41
40.34
39.47
37.91
38.15
40.30
41.50
42.57
44.81
45.26
46.20
45.86
53.95
57.91
56.28
58.36

23.08
24.17
27.25
28.74
27.60
29.21
28.26
30.77
32.38
32.55
32.13
32.04
31.43
31.66
36.27
36.48
38.52
39.23
41.04
43.12
39.20
40.07
42.07
45.63
44.62
45.90

72.37
81.40
78.82
78.43
80.05
87.12
80.55
79.67
78.83
81.02
80.89
78.78
75.74
76.33
80.15
81.11
91.40
91.29
96.48
98.47
92.58
93.89
101.81
106.60
105.25
108.05

25.07
26.15
24.85
23.82
22.71
25.87
24.20
20.61
20.07
18.96
19.46
17.64
18.60
17.63
19.27
20.26
21.01
21.18
20.04
20.74
19.76
19.03
21.39
22.18
23.74
24.60

62.08
61.09
60.86
60.75
60.12
59.59
58.00
55.53
55.95
57.47
56.88
58.81
58.51
61.08
63.51
63.78
66.20
65.10
65.21
65.98
62.52
59.87
63.80
63.27
61.62
62.28

JP
Morgan Coca Cola McDonalds
Chase
KO
MCD
JPM
27.22
58.09
23.79
26.65
48.17
20.98
28.28
51.39
21.12
27.81
47.71
19.87
26.20
52.77
21.54
26.38
56.31
21.21
25.97
54.67
20.93
30.06
57.94
24.27
32.68
65.52
26.69
33.75
64.20
27.53
33.11
66.31
29.23
36.78
72.48
30.74
37.01
68.24
29.76
25.70
55.20
25.15
21.11
48.97
26.63
28.05
57.41
29.91
31.33
59.66
31.29
35.06
57.05
34.30
38.19
55.61
35.20
39.52
54.40
37.96
40.39
52.40
40.52
41.16
58.10
37.90
36.10
58.48
34.47
43.15
53.06
36.83
38.63
51.83
37.33
41.95
51.18
37.10
37.78
41.41
38.77
43.98
50.64
36.98
38.94
57.91
41.06
39.16
50.11
36.18
40.90
49.42
33.55
40.36
41.84
28.49
44.19
40.54
33.55
36.75
40.80
34.16
38.06
46.10
32.14
35.20
49.76
29.56
38.34
53.12
28.44
43.01
45.61
26.82
35.55
47.91
27.09
35.26
52.48
27.82
28.58
54.59
28.79
35.21
53.11
30.71
42.93
50.55
26.51
36.42
46.22
26.56
35.05
39.50
23.98

3M
MMM
37.90
36.15
37.19
36.81
39.42
33.20
33.78
34.73
37.05
38.42
37.92
33.65
30.76
28.25
30.39
32.83
33.43
29.53
32.23
30.98
29.59
37.23
36.10
36.60
37.02
40.01
40.67
40.25
40.68
41.67
39.86
37.79
37.95
37.12
36.98
35.80
38.84
40.36
39.54
41.92
43.60
52.61
48.31
49.48
45.60

Altria
MO
20.75
20.09
19.29
18.39
20.19
21.19
19.43
20.37
19.70
17.54
17.66
18.80
20.92
19.84
22.31
24.67
26.99
26.03
22.81
19.04
17.31
17.25
18.97
19.98
18.52
18.61
17.21
13.27
13.21
11.80
10.71
10.36
10.90
11.49
13.73
14.21
13.50
15.91
16.03
19.95
20.80
24.29
24.29
26.60
26.48

Merck
MRK
37.31
32.98
36.07
32.21
34.22
38.44
42.56
46.26
46.65
43.85
42.58
48.86
45.14
42.36
47.54
49.56
56.93
54.31
54.04
60.02
59.21
52.00
49.97
54.62
50.17
49.85
48.29
59.28
58.63
50.25
58.80
46.04
46.69
52.22
56.29
57.80
54.06
52.97
56.42
68.17
70.25
71.23
62.52
61.02
58.00

Microsoft
MSFT
15.16
14.17
14.19
13.94
15.17
13.86
16.00
18.17
19.19
19.33
18.19
23.24
23.58
20.57
23.60
22.70
26.16
29.74
37.53
32.20
38.44
34.87
34.61
38.68
36.80
39.70
38.84
39.70
39.05
50.07
41.98
38.33
45.57
29.92
26.83
34.31
29.94
29.94
25.87
29.54
24.61
18.61
26.19
25.31
23.46

Pfizer
PFE
16.60
15.44
16.74
19.77
20.31
20.81
22.82
24.76
27.89
31.84
29.37
30.46
30.77
26.11
29.69
30.13
31.48
35.15
36.18
37.17
39.09
32.42
30.20
30.77
28.69
32.04
30.46
33.69
31.16
27.60
30.79
27.40
31.18
35.93
38.03
41.02
37.07
36.95
38.47
36.99
38.03
39.48
38.75
38.71
35.23

Procter &
Gamble
PG
31.62
27.67
28.71
28.36
31.78
33.29
32.79
35.51
35.30
34.49
35.20
38.22
33.42
32.21
29.95
37.47
37.02
38.58
38.52
37.94
41.52
39.89
39.70
37.47
38.64
42.35
40.00
44.89
46.23
46.90
43.38
37.72
24.36
25.77
28.68
24.47
24.73
26.83
29.07
31.14
32.64
34.20
31.47
30.88
27.42

37.76
38.68
35.00
34.33
31.24
27.08
28.31
30.20
29.11
27.52
23.64
28.82
28.65
29.34
27.68
20.59
21.78
15.67
17.42
21.13
20.15
19.88
19.31
20.19
25.35
28.38
29.52
30.58
29.85
29.95
31.62
31.18
32.35
34.58
36.47
37.30
33.70
33.02
34.75
33.76
35.79
35.93
35.20
34.33
35.57
34.34
33.62
31.83
32.98
33.22

40.40
41.46
39.52
39.17
42.74
41.14
42.05
41.39
41.56
38.56
41.77
46.26
49.13
49.18
49.75
44.37
45.31
42.78
41.46
40.89
39.28
36.25
36.03
36.48
36.41
41.07
42.02
40.72
39.40
39.09
42.22
42.51
46.40
45.02
45.67
46.22
46.46
47.18
46.61
40.50
41.28
37.19
37.76
36.74
38.91
38.77
40.00
39.20
40.86
41.98

24.84
27.35
24.44
26.32
27.13
24.52
23.55
24.48
24.14
24.79
23.80
25.31
25.90
27.31
25.95
22.57
21.67
16.11
16.52
17.11
14.87
13.17
12.59
13.37
15.81
17.32
20.40
21.28
20.73
21.77
23.12
24.07
23.32
24.17
26.58
26.83
25.57
24.79
24.42
25.83
25.37
26.32
27.38
29.40
30.67
30.98
31.64
29.79
28.04
29.60

52.23
52.31
50.33
49.35
46.18
43.65
46.30
51.09
52.71
49.49
52.87
51.56
56.40
56.51
55.41
56.69
56.56
49.78
57.47
59.07
56.09
56.66
57.33
59.46
57.64
58.14
59.29
64.45
65.80
63.80
72.85
73.32
78.88
73.37
72.70
76.29
80.58
79.14
84.24
77.08
77.43
75.18
72.93
75.16
77.50
79.66
79.66
81.32
72.57
73.14

27.96
28.69
27.93
25.67
26.74
27.24
26.40
26.61
26.19
28.63
30.08
30.42
31.44
33.07
25.55
26.93
29.24
23.00
24.16
22.36
24.40
22.80
23.27
18.37
18.86
25.32
28.27
24.89
25.64
27.70
29.41
32.89
34.86
35.60
36.86
35.29
35.89
31.09
32.90
31.29
32.17
31.38
32.32
38.35
41.25
43.09
44.32
44.64
44.37
45.84

58.05
56.04
49.07
52.19
50.24
51.40
49.25
52.29
45.62
45.91
47.58
44.92
42.40
44.55
39.76
38.95
39.67
36.16
42.91
47.00
45.06
44.09
41.99
43.91
46.64
44.56
48.85
44.60
42.89
43.47
38.00
34.86
40.02
41.23
41.65
38.58
41.03
41.29
41.79
39.89
39.56
29.28
27.78
24.86
28.91
25.23
28.51
29.46
30.85
29.53

29.06
29.67
31.31
28.39
24.47
21.95
24.94
27.54
28.41
27.33
25.02
25.87
22.41
21.84
23.46
20.58
21.05
18.76
22.93
24.74
22.17
20.36
20.40
20.83
22.00
21.18
22.06
22.73
22.82
23.92
22.62
22.25
23.69
23.93
22.96
21.57
22.61
22.70
24.72
24.65
23.69
24.00
24.28
25.93
25.85
25.42
24.41
23.45
24.55
25.11

37.25
36.99
34.54
35.55
33.13
34.68
36.24
37.55
34.55
36.13
35.63
34.57
31.62
30.20
30.55
28.24
28.99
25.43
27.85
27.74
26.90
26.84
26.37
27.55
27.19
27.55
30.33
29.63
26.70
27.11
28.19
30.09
31.67
32.84
33.00
31.56
32.20
31.97
31.02
28.92
29.72
27.84
26.33
25.41
24.61
22.11
24.24
24.22
25.05
25.90

26.47
28.31
28.12
31.47
32.86
32.26
32.87
34.51
35.26
36.57
37.96
40.33
40.58
40.26
40.46
40.52
40.37
40.70
40.46
38.67
39.31
39.33
37.62
40.93
41.49
42.40
41.18
40.78
40.51
43.08
45.83
44.88
46.58
47.35
48.02
49.13
49.80
50.75
51.25
49.32
52.94
51.19
48.64
50.82
52.34
50.81
50.68
50.59
51.96
52.92

32.82
32.97
31.79
31.83
34.70
36.25
37.61
37.99
39.32
39.80
43.72
41.08
40.47
44.31
44.35
45.62
46.41
45.28
47.25
50.18
48.66
47.67
51.70
51.43
48.08
48.79

39.52
41.43
41.65
41.15
40.76
40.94
38.66
39.68
40.25
40.45
40.53
42.53
41.86
43.30
43.60
43.78
45.77
46.19
47.59
47.22
46.04
47.68
51.84
52.64
52.31
52.67

26.54
29.82
31.04
32.03
30.23
33.04
32.92
34.18
34.08
33.54
33.75
32.38
32.80
34.55
35.04
38.19
40.92
41.97
44.33
44.35
43.69
45.05
48.28
50.55
50.76
51.21

68.99
71.57
68.30
70.42
72.93
75.73
74.79
70.20
71.46
73.50
82.96
81.67
78.85
68.73
70.45
73.13
77.47
80.50
77.01
73.42
73.67
76.00
82.31
87.96
86.79
87.76

44.61
46.20
48.78
51.42
52.36
50.78
52.68
51.00
50.69
50.50
52.14
51.56
52.93
57.64
60.21
55.76
59.24
61.33
63.14
64.30
62.01
65.25
68.24
70.40
70.14
71.16

28.37
28.60
26.35
25.40
26.34
27.80
30.07
32.62
32.96
33.67
32.90
32.19
35.23
38.94
39.57
40.89
44.33
43.44
42.91
44.04
43.45
43.84
51.06
52.06
49.80
49.82

24.18
24.93
26.73
25.12
25.09
27.10
25.61
27.56
26.40
26.73
23.73
22.34
22.98
23.73
25.44
27.07
28.42
29.16
29.66
30.65
28.08
27.78
29.84
30.69
29.47
29.99

25.60
24.60
23.82
23.35
20.33
19.99
21.99
24.22
24.94
23.73
24.12
22.74
22.56
24.98
26.74
27.51
25.85
26.90
25.35
25.68
24.70
24.99
26.18
27.49
25.57
25.90

50.61
53.65
53.51
57.34
54.27
55.43
56.10
57.69
58.37
56.13
57.01
53.13
54.45
55.35
60.96
61.04
62.74
62.15
63.61
64.51
63.14
62.81
64.40
63.55
61.19
61.67

ATT
T
20.80
19.11
21.59
22.52
25.70
25.93
27.69
26.93
30.88
29.67
27.84
28.64
29.49
27.41
31.96
33.52
34.70
38.82
39.26
38.44
34.31
40.72
37.35
42.37
41.91
35.26
37.65
38.90
38.82
35.95
31.79
27.99
31.24
32.66
32.57
32.80
31.91
31.31
37.39
43.46
41.39
35.97
36.61
36.12
33.79

United
Technolog
ies
UTX
18.24
16.90
17.54
15.16
16.30
15.83
17.67
19.49
20.14
21.48
20.59
20.26
21.00
15.96
16.81
20.95
23.66
24.01
26.37
27.42
29.99
32.08
27.55
31.96
29.60
29.43
26.39
26.92
25.23
29.03
23.64
22.84
28.33
27.88
27.18
26.48
26.25
28.17
31.29
31.49
32.05
35.58
33.94
35.37
33.27

Verizon
VZ
24.39
24.32
27.03
27.13
30.27
30.86
31.66
30.70
34.98
32.25
31.58
31.46
31.52
30.68
33.67
37.25
38.96
37.82
42.31
40.64
36.45
40.94
38.90
46.44
45.75
43.83
48.12
46.70
45.86
44.27
44.83
35.42
44.24
43.69
38.50
37.00
34.33
31.96
35.57
42.79
41.59
37.10
40.96
36.90
36.75

Wal-mart
WMT
17.29
16.37
16.92
16.17
18.51
18.25
18.42
21.43
23.55
23.43
25.55
28.19
29.30
27.38
25.38
32.09
34.99
37.88
40.00
40.06
42.93
42.84
39.70
44.99
39.39
41.31
44.39
52.56
53.79
64.56
51.14
45.53
52.84
51.79
53.90
53.96
51.73
44.59
45.11
42.53
48.92
49.86
53.30
47.01
47.46

ExxonMobil
XOM
25.62
24.56
25.71
24.66
24.65
24.73
23.97
25.93
27.51
29.72
28.84
29.20
28.74
26.93
29.07
29.48
31.04
30.26
29.08
27.71
29.37
34.58
33.41
32.26
33.20
33.16
31.96
31.14
33.55
34.08
35.05
32.03
33.18
33.05
35.63
33.57
34.29
35.10
38.32
38.35
38.02
37.57
36.36
35.20
35.18

31.42
32.79
30.51
34.51
31.35
36.11
29.37
28.81
30.19
29.05
29.35
29.04
24.27
26.79
23.83
21.80
19.49
15.84
20.48
22.75
21.64
19.68
16.75
16.16
19.10
20.82
20.90
19.39
18.64
18.47
20.24
19.65
22.00
21.77
20.50
20.95
21.53
20.49
20.97
22.20
22.59
22.73
22.38
22.30
22.83
21.32
21.59
21.26
21.65
21.27

35.44
37.92
33.35
33.41
31.23
21.23
24.61
27.60
29.63
31.51
33.56
34.14
32.29
31.80
31.35
32.09
27.53
26.18
28.58
29.07
28.82
29.59
27.37
26.99
28.88
32.01
33.22
35.29
37.77
36.37
39.86
40.50
44.79
45.15
43.69
40.94
40.92
40.31
43.58
44.54
44.91
44.65
44.39
46.83
49.60
48.32
48.14
49.00
49.03
51.64

41.37
41.20
40.19
40.97
37.83
40.94
37.95
35.81
36.16
35.59
35.93
35.40
31.06
33.30
31.09
25.81
24.25
21.46
29.89
33.15
30.67
30.57
27.62
28.23
30.18
30.56
31.85
28.53
28.79
26.45
27.71
27.08
28.93
30.72
31.95
30.45
31.78
29.12
30.47
32.80
33.41
33.52
33.59
35.42
34.80
30.87
31.20
30.80
31.41
31.04

48.63
48.64
45.93
52.61
45.22
46.66
48.45
51.99
54.32
56.61
58.53
57.92
52.78
51.12
52.05
46.53
50.60
46.65
50.74
51.07
47.93
45.36
45.60
49.45
53.53
50.01
51.10
53.23
56.33
53.17
56.21
53.06
50.67
51.44
56.89
57.15
54.57
53.48
50.38
50.87
50.66
51.17
51.87
50.08
50.93
50.53
49.77
48.46
45.59
45.82

38.48
38.74
38.14
36.46
35.25
34.60
34.64
33.03
34.71
34.49
36.69
38.94
35.69
35.68
36.57
32.85
31.88
28.69
30.27
31.50
31.63
30.92
31.01
31.85
32.08
33.41
32.96
32.66
34.84
33.83
33.81
33.69
38.16
37.96
39.49
38.95
39.85
40.77
41.86
43.64
43.71
45.83
46.67
48.86
48.87
49.19
60.65
57.10
54.64
54.11

21.60
22.54
22.20
22.10
22.29
23.28
22.89
24.58
26.13
25.61
25.14
24.99
26.75
29.11
30.22
31.60
33.59
33.25
35.06
37.29
36.47
39.07
38.72
41.34
41.50
40.96

49.71
49.08
48.61
50.40
49.85
52.56
54.58
56.98
57.32
56.81
61.55
61.51
62.40
61.19
61.97
62.60
64.94
64.03
62.03
67.49
65.39
64.75
66.87
70.55
70.93
72.12

30.32
30.39
29.04
29.02
28.33
28.75
27.08
28.83
30.69
31.02
30.44
28.76
30.86
31.55
32.82
34.64
34.89
34.19
36.44
38.11
37.00
37.52
38.18
43.53
41.17
41.98

46.76
47.88
43.76
42.65
46.04
47.26
45.69
45.01
44.28
46.29
44.12
47.64
47.36
43.76
44.14
48.68
48.64
45.50
45.75
47.24
47.86
46.73
47.70
47.60
48.11
48.09

55.34
56.57
57.96
61.48
54.32
56.44
54.63
61.03
58.05
59.50
61.67
59.85
60.28
66.56
66.80
66.24
70.51
76.16
75.98
73.47
71.37
75.13
79.04
83.17
83.88
85.16

ALCOA (AA) AND JOHNSON & JOHNSON (JNJ)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48

Return statistics, 1997-2007

Monthly statistics
Average
Sigma
Covariance

AA
0.68%
10.12%
0.0002

Correlation

Annual statistics
Average
Sigma

1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00

AA
18.38
17.13
17.08
15.20
14.05
14.71
15.96
15.41
14.45
16.27
14.61
13.89
14.60
12.66
15.02
16.76
15.75
15.82
17.73
17.27
17.56
26.54
23.53
26.47
25.62
27.71
26.63
26.07
28.20
35.74
30.01
29.60
30.35
28.03

JNJ
0.72%
5.84%
0.0002

0.0398

0.0398

AA
8.11%
121.49%
Daily
Returns

JNJ
8.61%
70.10%
Daily
Returns

-7.04%
-0.29%
-11.66%
-7.87%
4.59%
8.16%
-3.51%
-6.43%
11.86%
-10.76%
-5.05%
4.99%
-14.26%
17.09%
10.96%
-6.22%
0.44%
11.40%
-2.63%
1.67%
41.30%
-12.04%
11.77%
-3.26%
7.84%
-3.98%
-2.13%
7.85%
23.69%
-17.47%
-1.38%
2.50%
-7.95%

JNJ
26.34
24.12
24.55
24.41
26.88
28.13
28.59
32.29
31.46
30.63
29.69
31.81
33.21
29.76
33.75
35.15
35.15
36.28
36.82
37.04
40.57
42.30
40.31
42.65
39.63
44.63
40.10
45.72
45.41
40.81
37.66
31.62
30.85
36.24

-8.80%
1.77%
-0.57%
9.64%
4.55%
1.62%
12.17%
-2.60%
-2.67%
-3.12%
6.90%
4.31%
-10.97%
12.58%
4.06%
0.00%
3.16%
1.48%
0.60%
9.10%
4.18%
-4.82%
5.64%
-7.34%
11.88%
-10.70%
13.12%
-0.68%
-10.68%
-8.03%
-17.48%
-2.47%
16.10%

49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97

A
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04

B
25.35
25.16
26.24
28.98
22.05
24.99
24.66
29.31
32.28
31.42
31.59
36.37
38.05
35.27
34.59
33.74
27.45
28.69
34.32
31.61
31.88
33.56
33.71
30.40
31.38
29.74
24.41
22.64
17.41
19.91
23.20
20.69
17.95
18.76
17.74
21.13
22.67
23.49
25.59
26.46
24.24
29.25
30.54
35.37
31.82
35.03
32.44
28.75
29.41

C
-10.05%
-0.75%
4.20%
9.93%
-27.33%
12.52%
-1.33%
17.27%
9.65%
-2.70%
0.54%
14.09%
4.52%
-7.59%
-1.95%
-2.49%
-20.63%
4.42%
17.92%
-8.23%
0.85%
5.14%
0.45%
-10.34%
3.17%
-5.37%
-19.75%
-7.53%
-26.27%
13.42%
15.29%
-11.45%
-14.21%
4.41%
-5.59%
17.49%
7.03%
3.55%
8.56%
3.34%
-8.76%
18.79%
4.32%
14.68%
-10.58%
9.61%
-7.68%
-12.08%
2.27%

E
F
39.45 8.49%
44.91 12.96%
41.02 -9.06%
40.67 -0.86%
41.55 2.14%
40.74 -1.97%
44.38 8.56%
46.62 4.92%
41.33 -12.04%
43.34 4.75%
38.95 -10.68%
42.96 9.80%
43.32 0.83%
44.65 3.02%
48.35 7.96%
47.26 -2.28%
49.68 4.99%
51.93 4.43%
52.39 0.88%
53.15 1.44%
51.72 -2.73%
54.94 6.04%
58.60 6.45%
57.61 -1.70%
55.54 -3.66%
47.31 -16.04%
47.62 0.65%
49.34 3.55%
49.13 -0.43%
53.38 8.30%
51.98 -2.66%
48.96 -5.99%
48.87 -0.18%
48.01 -1.78%
52.97 9.83%
51.59 -2.64%
49.97 -3.19%
47.53 -5.01%
47.61 0.17%
45.80 -3.88%
45.74 -0.13%
46.49 1.63%
45.76 -1.58%
47.95 4.67%
49.58 3.34%
50.26 1.36%
47.28 -6.11%
50.37 6.33%
52.21 3.59%

98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135

A
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

B
31.03
30.09
30.57
31.71
30.68
32.23
29.79
27.99
30.62
28.97
27.67
25.97
25.04
26.88
25.81
23.52
23.40
26.56
28.66
30.53
28.55
29.76
32.89
31.02
31.65
29.29
28.11
27.57
28.42
30.80
29.71
32.14
33.25
33.73
35.32
41.28
40.53
41.35

C
5.36%
-3.08%
1.58%
3.66%
-3.30%
4.93%
-7.87%
-6.23%
8.98%
-5.54%
-4.59%
-6.34%
-3.65%
7.09%
-4.06%
-9.29%
-0.51%
12.67%
7.61%
6.32%
-6.71%
4.15%
10.00%
-5.85%
2.01%
-7.75%
-4.11%
-1.94%
3.04%
8.04%
-3.60%
7.86%
3.40%
1.43%
4.61%
15.59%
-1.83%
2.00%

E
52.20
51.79
54.72
53.06
54.99
57.08
60.02
61.23
62.35
63.83
65.23
64.09
62.08
61.09
60.86
60.75
60.12
59.59
58.00
55.53
55.95
57.47
56.88
58.81
58.51
61.08
63.51
63.78
66.20
65.10
65.21
65.98
62.52
59.87
63.80
63.27
61.62
62.28

F
-0.02%
-0.79%
5.50%
-3.08%
3.57%
3.73%
5.02%
2.00%
1.81%
2.35%
2.17%
-1.76%
-3.19%
-1.61%
-0.38%
-0.18%
-1.04%
-0.89%
-2.70%
-4.35%
0.75%
2.68%
-1.03%
3.34%
-0.51%
4.30%
3.90%
0.42%
3.72%
-1.68%
0.17%
1.17%
-5.39%
-4.33%
6.36%
-0.83%
-2.64%
1.07%

ALCOA (AA) AND JOHNSON & JOHNSON (JNJ)

1997 2002
AA
0.47%
11.38%

Monthly statistics
Average
Sigma
Covariance
Correlation

-0.01%
-0.53%

Annual statistics
Average
Sigma

2002 2007

1997 2002
JNJ
0.99%
7.49%

0.88%
8.69%

2002 2007
0.45%
3.47%

-0.01%
-0.53%

AA
5.67%
136.50%

JNJ
11.84%
89.84%

AA
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00

18.38
17.13
17.08
15.20
14.05
14.71
15.96
15.41
14.45
16.27
14.61
13.89
14.60
12.66
15.02
16.76
15.75
15.82
17.73
17.27
17.56
26.54
23.53
26.47
25.62
27.71
26.63
26.07
28.20
35.74
30.01
29.60
30.35
28.03
25.35
25.16
26.24
28.98
22.05

-7.04%
-0.29%
-11.66%
-7.87%
4.59%
8.16%
-3.51%
-6.43%
11.86%
-10.76%
-5.05%
4.99%
-14.26%
17.09%
10.96%
-6.22%
0.44%
11.40%
-2.63%
1.67%
41.30%
-12.04%
11.77%
-3.26%
7.84%
-3.98%
-2.13%
7.85%
23.69%
-17.47%
-1.38%
2.50%
-7.95%
-10.05%
-0.75%
4.20%
9.93%
-27.33%

JNJ
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05

24.41
22.64
17.41
19.91
23.20
20.69
17.95
18.76
17.74
21.13
22.67
23.49
25.59
26.46
24.24
29.25
30.54
35.37
31.82
35.03
32.44
28.75
29.41
31.03
30.09
30.57
31.71
30.68
32.23
29.79
27.99
30.62
28.97
27.67
25.97
25.04
26.88
25.81
23.52

-7.53%
-26.27%
13.42%
15.29%
-11.45%
-14.21%
4.41%
-5.59%
17.49%
7.03%
3.55%
8.56%
3.34%
-8.76%
18.79%
4.32%
14.68%
-10.58%
9.61%
-7.68%
-12.08%
2.27%
5.36%
-3.08%
1.58%
3.66%
-3.30%
4.93%
-7.87%
-6.23%
8.98%
-5.54%
-4.59%
-6.34%
-3.65%
7.09%
-4.06%
-9.29%

1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00

26.34
24.12
24.55
24.41
26.88
28.13
28.59
32.29
31.46
30.63
29.69
31.81
33.21
29.76
33.75
35.15
35.15
36.28
36.82
37.04
40.57
42.30
40.31
42.65
39.63
44.63
40.10
45.72
45.41
40.81
37.66
31.62
30.85
36.24
39.45
44.91
41.02
40.67
41.55

2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02

24.99
24.66
29.31
32.28
31.42
31.59
36.37
38.05
35.27
34.59
33.74
27.45
28.69
34.32
31.61
31.88
33.56
33.71
30.40
31.38
29.74
24.41

12.52%
-1.33%
17.27%
9.65%
-2.70%
0.54%
14.09%
4.52%
-7.59%
-1.95%
-2.49%
-20.63%
4.42%
17.92%
-8.23%
0.85%
5.14%
0.45%
-10.34%
3.17%
-5.37%
-19.75%

3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

23.40
26.56
28.66
30.53
28.55
29.76
32.89
31.02
31.65
29.29
28.11
27.57
28.42
30.80
29.71
32.14
33.25
33.73
35.32
41.28
40.53
41.35

-0.51%
12.67%
7.61%
6.32%
-6.71%
4.15%
10.00%
-5.85%
2.01%
-7.75%
-4.11%
-1.94%
3.04%
8.04%
-3.60%
7.86%
3.40%
1.43%
4.61%
15.59%
-1.83%
2.00%

2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02

40.74
44.38
46.62
41.33
43.34
38.95
42.96
43.32
44.65
48.35
47.26
49.68
51.93
52.39
53.15
51.72
54.94
58.60
57.61
55.54
47.31
47.62

JNJ
1-Jul-02
-8.80% 1-Aug-02
1.77% 3-Sep-02
-0.57% 1-Oct-02
9.64% 1-Nov-02
4.55% 2-Dec-02
1.62% 2-Jan-03
12.17% 3-Feb-03
-2.60% 3-Mar-03
-2.67% 1-Apr-03
-3.12% 1-May-03
6.90% 2-Jun-03
4.31% 1-Jul-03
-10.97% 1-Aug-03
12.58% 2-Sep-03
4.06% 1-Oct-03
0.00% 3-Nov-03
3.16% 1-Dec-03
1.48% 2-Jan-04
0.60% 2-Feb-04
9.10% 1-Mar-04
4.18% 1-Apr-04
-4.82% 3-May-04
5.64% 1-Jun-04
-7.34% 1-Jul-04
11.88% 2-Aug-04
-10.70% 1-Sep-04
13.12% 1-Oct-04
-0.68% 1-Nov-04
-10.68% 1-Dec-04
-8.03% 3-Jan-05
-17.48% 1-Feb-05
-2.47% 1-Mar-05
16.10% 1-Apr-05
8.49% 2-May-05
12.96% 1-Jun-05
-9.06% 1-Jul-05
-0.86% 1-Aug-05
2.14% 1-Sep-05

47.62
49.34
49.13
53.38
51.98
48.96
48.87
48.01
52.97
51.59
49.97
47.53
47.61
45.80
45.74
46.49
45.76
47.95
49.58
50.26
47.28
50.37
52.21
52.20
51.79
54.72
53.06
54.99
57.08
60.02
61.23
62.35
63.83
65.23
64.09
62.08
61.09
60.86
60.75

3.55%
-0.43%
8.30%
-2.66%
-5.99%
-0.18%
-1.78%
9.83%
-2.64%
-3.19%
-5.01%
0.17%
-3.88%
-0.13%
1.63%
-1.58%
4.67%
3.34%
1.36%
-6.11%
6.33%
3.59%
-0.02%
-0.79%
5.50%
-3.08%
3.57%
3.73%
5.02%
2.00%
1.81%
2.35%
2.17%
-1.76%
-3.19%
-1.61%
-0.38%
-0.18%

-1.97%
8.56%
4.92%
-12.04%
4.75%
-10.68%
9.80%
0.83%
3.02%
7.96%
-2.28%
4.99%
4.43%
0.88%
1.44%
-2.73%
6.04%
6.45%
-1.70%
-3.66%
-16.04%
0.65%

3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

60.12
59.59
58.00
55.53
55.95
57.47
56.88
58.81
58.51
61.08
63.51
63.78
66.20
65.10
65.21
65.98
62.52
59.87
63.80
63.27
61.62
62.28

-1.04%
-0.89%
-2.70%
-4.35%
0.75%
2.68%
-1.03%
3.34%
-0.51%
4.30%
3.90%
0.42%
3.72%
-1.68%
0.17%
1.17%
-5.39%
-4.33%
6.36%
-0.83%
-2.64%
1.07%

MERCK (MRK) AND JOHNSON & JOHNSON (JNJ)

1997 2002

2002 2007
MRK
0.07%
0.41%
9.08%
7.98%

Monthly statistics
Average
Sigma
Covariance
Correlation

-0.21%
-29.33%

-0.21%
-29.33%

Annual statistics
Average
Sigma

MRK
0.86%
4.92%
108.97%
95.80%

1997 2002
JNJ
0.99%
7.49%

2002 2007
0.45% #VALUE!
3.47% #VALUE!

#VALUE!
JNJ
11.84%
5.37% #VALUE!
89.84%
41.66% #VALUE!

MRK
1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00

37.31
32.98
36.07
32.21
34.22
38.44
42.56
46.26
46.65
43.85
42.58
48.86
45.14
42.36
47.54
49.56
56.93
54.31
54.04
60.02
59.21
52.00
49.97
54.62
50.17
49.85
48.29
59.28
58.63
50.25
58.80
46.04
46.69
52.22
56.29
57.80
54.06
52.97
56.42

-12.34%
8.96%
-11.32%
6.05%
11.63%
10.18%
8.34%
0.84%
-6.19%
-2.94%
13.76%
-7.92%
-6.36%
11.54%
4.16%
13.86%
-4.71%
-0.50%
10.50%
-1.36%
-12.98%
-3.98%
8.90%
-8.50%
-0.64%
-3.18%
20.50%
-1.10%
-15.42%
15.71%
-24.46%
1.40%
11.19%
7.51%
2.65%
-6.69%
-2.04%
6.31%

JNJ
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05

38.95
39.67
36.16
42.91
47.00
45.06
44.09
41.99
43.91
46.64
44.56
48.85
44.60
42.89
43.47
38.00
34.86
40.02
41.23
41.65
38.58
41.03
41.29
41.79
39.89
39.56
29.28
27.78
24.86
28.91
25.23
28.51
29.46
30.85
29.53
28.37
28.60
26.35
25.40

1.83%
-9.26%
17.12%
9.10%
-4.22%
-2.18%
-4.88%
4.47%
6.03%
-4.56%
9.19%
-9.10%
-3.91%
1.34%
-13.45%
-8.62%
13.80%
2.98%
1.01%
-7.66%
6.16%
0.63%
1.20%
-4.65%
-0.83%
-30.09%
-5.26%
-11.11%
15.09%
-13.62%
12.22%
3.28%
4.61%
-4.37%
-4.01%
0.81%
-8.19%
-3.67%

1-Jul-97
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00

26.34
24.12
24.55
24.41
26.88
28.13
28.59
32.29
31.46
30.63
29.69
31.81
33.21
29.76
33.75
35.15
35.15
36.28
36.82
37.04
40.57
42.30
40.31
42.65
39.63
44.63
40.10
45.72
45.41
40.81
37.66
31.62
30.85
36.24
39.45
44.91
41.02
40.67
41.55

2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02

68.17
70.25
71.23
62.52
61.02
58.00
58.05
56.04
49.07
52.19
50.24
51.40
49.25
52.29
45.62
45.91
47.58
44.92
42.40
44.55
39.76
38.95

18.92%
3.01%
1.39%
-13.04%
-2.43%
-5.08%
0.09%
-3.52%
-13.28%
6.16%
-3.81%
2.28%
-4.27%
5.99%
-13.65%
0.63%
3.57%
-5.75%
-5.77%
4.95%
-11.38%
-2.06%

3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

26.34
27.80
30.07
32.62
32.96
33.67
32.90
32.19
35.23
38.94
39.57
40.89
44.33
43.44
42.91
44.04
43.45
43.84
51.06
52.06
49.80
49.82

3.63%
5.39%
7.85%
8.14%
1.04%
2.13%
-2.31%
-2.18%
9.02%
10.01%
1.60%
3.28%
8.08%
-2.03%
-1.23%
2.60%
-1.35%
0.89%
15.25%
1.94%
-4.44%
0.04%

2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02

40.74
44.38
46.62
41.33
43.34
38.95
42.96
43.32
44.65
48.35
47.26
49.68
51.93
52.39
53.15
51.72
54.94
58.60
57.61
55.54
47.31
47.62

Merck had a big crisis during the second

period (Vioxx). Did this impact the sigma
and the correlation?

JNJ
1-Jul-02
-8.80% 1-Aug-02
1.77% 3-Sep-02
-0.57% 1-Oct-02
9.64% 1-Nov-02
4.55% 2-Dec-02
1.62% 2-Jan-03
12.17% 3-Feb-03
-2.60% 3-Mar-03
-2.67% 1-Apr-03
-3.12% 1-May-03
6.90% 2-Jun-03
4.31% 1-Jul-03
-10.97% 1-Aug-03
12.58% 2-Sep-03
4.06% 1-Oct-03
0.00% 3-Nov-03
3.16% 1-Dec-03
1.48% 2-Jan-04
0.60% 2-Feb-04
9.10% 1-Mar-04
4.18% 1-Apr-04
-4.82% 3-May-04
5.64% 1-Jun-04
-7.34% 1-Jul-04
11.88% 2-Aug-04
-10.70% 1-Sep-04
13.12% 1-Oct-04
-0.68% 1-Nov-04
-10.68% 1-Dec-04
-8.03% 3-Jan-05
-17.48% 1-Feb-05
-2.47% 1-Mar-05
16.10% 1-Apr-05
8.49% 2-May-05
12.96% 1-Jun-05
-9.06% 1-Jul-05
-0.86% 1-Aug-05
2.14% 1-Sep-05

47.62
49.34
49.13
53.38
51.98
48.96
48.87
48.01
52.97
51.59
49.97
47.53
47.61
45.80
45.74
46.49
45.76
47.95
49.58
50.26
47.28
50.37
52.21
52.20
51.79
54.72
53.06
54.99
57.08
60.02
61.23
62.35
63.83
65.23
64.09
62.08
61.09
60.86
60.75

3.55%
-0.43%
8.30%
-2.66%
-5.99%
-0.18%
-1.78%
9.83%
-2.64%
-3.19%
-5.01%
0.17%
-3.88%
-0.13%
1.63%
-1.58%
4.67%
3.34%
1.36%
-6.11%
6.33%
3.59%
-0.02%
-0.79%
5.50%
-3.08%
3.57%
3.73%
5.02%
2.00%
1.81%
2.35%
2.17%
-1.76%
-3.19%
-1.61%
-0.38%
-0.18%

-1.97%
8.56%
4.92%
-12.04%
4.75%
-10.68%
9.80%
0.83%
3.02%
7.96%
-2.28%
4.99%
4.43%
0.88%
1.44%
-2.73%
6.04%
6.45%
-1.70%
-3.66%
-16.04%
0.65%

3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

60.12
59.59
58.00
55.53
55.95
57.47
56.88
58.81
58.51
61.08
63.51
63.78
66.20
65.10
65.21
65.98
62.52
59.87
63.80
63.27
61.62
62.28

-1.04%
-0.89%
-2.70%
-4.35%
0.75%
2.68%
-1.03%
3.34%
-0.51%
4.30%
3.90%
0.42%
3.72%
-1.68%
0.17%
1.17%
-5.39%
-4.33%
6.36%
-0.83%
-2.64%
1.07%

ALCOA (AA) AND JOHNSON & JOHNSON (JNJ)

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

Portfolio
Monthly statistics
Average
Sigma
Covariance

AA
0.68%
10.12%
0.02%

Correlation

0.014%
?

Portfolio calculations
Proportion of AA
Proportion of JNJ

0.5000
0.5000

#VALUE!

Portfolio mean return

Portfolio standard deviation

0.70%
5.96%

#VALUE!
#VALUE!

Data table: Varying the proportion of AA

Sigma
Mean
0.0596
0.0070
1
0.0822
0.0068
0.9
0.0746
0.0068
0.8
0.0682
0.0068
0.7
0.0634
0.0069
0.6
0.0604
0.0069
0.5
0.0596
0.0070
0.4
0.0611
0.0070
0.3
0.0646
0.0070
0.2
0.0700
0.0071
0.1
0.0768
0.0071
0
0.0847
0.0072
-0.1
0.0934
0.0072
-0.2
0.1026
0.0073
-0.3
0.1123
0.0073
-0.4
0.1224
0.0073
-0.5
0.1327
0.0074
-0.6
0.1433
0.0074
-0.7
0.1540
0.0075
-0.8
0.1648
0.0075
-0.9
0.1758
0.0075
-1
0.1868
0.0076

JNJ
0.72%
5.84%
#VALUE!
#VALUE!
#VALUE!

#VALUE!

0.0078
0.0076
0.0074
0.0072
0.0070
0.0068
0.0066
0.0064
0.0062
0.0400

0.0600

0.0800

0.1000

& JOHNSON
(JNJ)
1

078

076

074

072

070

068

066

064

062
0.0400

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
0.0600
42

#VALUE!
#VALUE!

0.0800

0.1000

0.1200

0.1400

0.1600

0.1800

0.2000

A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

Vanguard's Windsor Fund and Index

500 Fund Returns
Source: http://www.vanguard.com
The Index 500 fund mimics the SP500 index; the
Windsor Fund is an "aggressive" growth fund
Year ended
Index 500
Windsor
31 December
Fund
Fund
1997
33.40%
22.00%
1996
23.00%
26.40%
1995
37.60%
30.10%
1994
1.30%
-0.10%
1993
10.10%
19.40%
1992
7.60%
16.50%
1991
30.50%
28.60%
1990
-3.10% -15.50%
1989
31.70%
15.00%
1988
16.60%
28.70%
1987
5.30%
1.20%
1986
18.70%
20.30%
1985
31.80%
28.00%
1984
6.30%
19.50%
Average
Standard deviation
Covariance of returns
Portfolio returns
Percentage of SP500
Percentage of Windsor
Expected portfolio return
Variance of portfolio return
Standard dev. of port. return

17.91%
13.03%
1.26%

17.15%
12.82%
1.26%

#VALUE!
#VALUE!

25%
75% #VALUE!
17% #VALUE!
1.50% #VALUE!
12.264% #VALUE!

1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1

Sigma
Exp. return
12.26%
13.03%
12.72%
12.47%
12.28%
12.16%
12.11%
12.12%
12.20%
12.34%
12.55%
12.82%
0.131516

17.34%
17.91%
17.84%
17.76%
17.69%
17.61%
17.53%
17.46%
17.38%
17.30%
17.23%
17.15%
0.1707357143

18.00%
17.80%
17.60%
17.40%

17.20%
17.00%
16.80%
16.60%
12.00% 12.2

A
46
47
48
49
50
51
52
53
54

B
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
-1

C
0.135314
0.139598
0.144323
0.149448
0.154933
0.160742
0.16684
0.173196
0.179785

E
0.1699714286
0.1692071429
0.1684428571
0.1676785714
0.1669142857
0.16615
0.1653857143
0.1646214286
0.1638571429

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
18.00%
34
17.80%
35
17.60%
36
37
17.40%
38
17.20%
39
17.00%
40
41
16.80%
42
16.60%
43
12.00% 12.20% 12.40% 12.60% 12.80% 13.00% 13.20%
44
45

F
46
47
48
49
50
51
52
53
54

A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

GENERAL ELECTRIC (GE), HOME DEPOT (HD),

PROCTOR & GAMBLE (PG)
Mean
Sigma
Variancecovariance
GE
HD
PG

GE
0.59%
6.59%

HD
0.79%
8.62%

PG
0.56%
6.88%

GE

HD

PG

0.43%
0.27%
0.02%

0.27%
0.74%
0.01%

0.02%
0.01%
0.47%

Portfolio proportions
GE
0.3333
HD
0.3333
PG
0.3333 #VALUE!
Mean
Variance
Sigma
Date
1-Aug-97
2-Sep-97
1-Oct-97
3-Nov-97
1-Dec-97
2-Jan-98
2-Feb-98
2-Mar-98
1-Apr-98
1-May-98
1-Jun-98
1-Jul-98
3-Aug-98
1-Sep-98
1-Oct-98
2-Nov-98
1-Dec-98
4-Jan-99
1-Feb-99
1-Mar-99
1-Apr-99
3-May-99
1-Jun-99
1-Jul-99
2-Aug-99
1-Sep-99

0.65% #VALUE!
0.55% #VALUE!
7.42% #VALUE!
GE
-11.38%
8.81%
-5.22%
13.37%
-0.25%
5.49%
0.33%
10.68%
-1.15%
-2.17%
8.60%
-1.25%
-11.14%
-0.18%
9.51%
3.22%
12.44%
2.80%
-4.47%
10.17%
-4.87%
-3.55%
10.54%
-3.30%
2.99%
5.72%

HD
-5.41%
10.05%
6.73%
0.58%
4.96%
2.71%
5.46%
5.76%
3.01%
12.00%
5.64%
0.81%
-9.37%
3.62%
9.80%
13.27%
20.75%
-1.11%
-1.37%
4.26%
-4.10%
-5.49%
13.12%
-0.98%
-3.62%
10.95%

PG
-13.34%
3.69%
-1.23%
11.39%
4.64%
-1.51%
7.97%
-0.59%
-2.32%
2.04%
8.23%
-13.42%
-3.69%
-7.27%
22.40%
-1.21%
4.13%
-0.16%
-1.52%
9.02%
-4.00%
-0.48%
-5.78%
3.07%
9.17%
-5.71%

#VALUE!
#VALUE!

47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95

A
1-Oct-99
1-Nov-99
1-Dec-99
3-Jan-00
1-Feb-00
1-Mar-00
3-Apr-00
1-May-00
1-Jun-00
3-Jul-00
1-Aug-00
1-Sep-00
2-Oct-00
1-Nov-00
1-Dec-00
2-Jan-01
1-Feb-01
1-Mar-01
2-Apr-01
1-May-01
1-Jun-01
2-Jul-01
1-Aug-01
4-Sep-01
1-Oct-01
1-Nov-01
3-Dec-01
2-Jan-02
1-Feb-02
1-Mar-02
1-Apr-02
1-May-02
3-Jun-02
1-Jul-02
1-Aug-02
3-Sep-02
1-Oct-02
1-Nov-02
2-Dec-02
2-Jan-03
3-Feb-03
3-Mar-03
1-Apr-03
1-May-03
2-Jun-03
1-Jul-03
1-Aug-03
2-Sep-03
1-Oct-03

B
13.35%
-4.04%
17.59%
-14.39%
-1.21%
16.47%
1.02%
0.41%
0.70%
-2.24%
12.61%
-1.18%
-5.33%
-10.08%
-3.00%
-4.16%
1.12%
-10.17%
14.79%
0.96%
0.00%
-11.58%
-6.15%
-9.03%
-2.15%
5.59%
4.46%
-7.59%
4.03%
-2.92%
-17.00%
-1.29%
-6.34%
10.30%
-6.58%
-19.45%
2.42%
7.13%
-10.01%
-5.09%
4.63%
5.88%
14.38%
-2.58%
0.58%
-0.82%
3.88%
1.42%
-2.71%

C
9.89%
4.51%
26.41%
-19.39%
1.52%
11.56%
-13.23%
-14.24%
1.99%
3.56%
-7.32%
9.67%
-20.79%
-9.19%
15.36%
5.33%
-12.58%
1.50%
8.88%
4.54%
-4.18%
6.43%
-9.11%
-18.02%
-0.36%
20.02%
8.92%
-1.81%
-0.19%
-2.70%
-4.73%
-10.64%
-12.54%
-17.36%
6.43%
-23.08%
10.12%
-8.99%
-9.21%
-13.92%
11.51%
4.07%
14.42%
14.40%
2.09%
-5.96%
3.03%
-0.76%
15.19%

D
11.53%
2.94%
1.44%
-7.80%
-13.98%
-43.72%
5.63%
10.70%
-15.88%
1.06%
8.15%
8.02%
6.88%
4.70%
4.67%
-8.32%
-1.89%
-11.88%
-3.53%
6.72%
-0.67%
11.26%
4.32%
-1.84%
1.87%
4.87%
2.15%
3.65%
3.73%
6.06%
0.62%
-0.79%
0.50%
0.15%
-0.37%
0.81%
-0.59%
-4.52%
1.64%
0.05%
-4.45%
8.43%
1.36%
2.17%
-2.92%
-0.98%
-0.66%
6.15%
6.19%

96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140

A
3-Nov-03
1-Dec-03
2-Jan-04
2-Feb-04
1-Mar-04
1-Apr-04
3-May-04
1-Jun-04
1-Jul-04
2-Aug-04
1-Sep-04
1-Oct-04
1-Nov-04
1-Dec-04
3-Jan-05
1-Feb-05
1-Mar-05
1-Apr-05
2-May-05
1-Jun-05
1-Jul-05
1-Aug-05
1-Sep-05
3-Oct-05
1-Nov-05
1-Dec-05
3-Jan-06
1-Feb-06
1-Mar-06
3-Apr-06
1-May-06
1-Jun-06
3-Jul-06
1-Aug-06
1-Sep-06
2-Oct-06
1-Nov-06
1-Dec-06
3-Jan-07
1-Feb-07
1-Mar-07
2-Apr-07
1-May-07
1-Jun-07
2-Jul-07

B
-1.19%
8.43%
8.20%
-2.75%
-6.34%
-1.88%
3.83%
4.63%
2.58%
-1.38%
2.97%
1.59%
3.57%
3.74%
-1.00%
-1.98%
2.39%
0.38%
0.79%
-4.54%
-0.43%
-2.61%
0.85%
0.72%
5.17%
-1.16%
-6.79%
1.11%
5.65%
-0.57%
-0.93%
-3.14%
-0.82%
4.10%
4.29%
-0.55%
0.49%
6.07%
-3.19%
-2.42%
1.29%
4.16%
1.92%
2.57%
0.68%

C
-0.85%
-3.31%
-0.06%
2.34%
3.04%
-5.98%
2.03%
-1.76%
-4.30%
8.32%
6.96%
4.70%
1.81%
2.34%
-3.52%
-3.05%
-4.30%
-7.81%
10.67%
-0.90%
11.19%
-7.35%
-5.58%
7.33%
2.04%
-3.15%
0.15%
3.89%
0.71%
-5.77%
-4.63%
-5.90%
-3.07%
-1.21%
6.04%
2.88%
2.32%
5.59%
1.43%
-2.85%
-6.90%
3.05%
2.59%
1.79%
1.21%

D
-2.09%
3.72%
1.64%
1.41%
2.29%
1.35%
1.89%
0.98%
-3.84%
7.08%
-3.36%
-5.11%
4.38%
2.95%
-2.97%
-0.26%
-0.18%
2.67%
1.83%
-4.46%
5.83%
-0.26%
6.91%
-5.50%
2.11%
1.20%
2.79%
1.17%
-3.91%
1.56%
-7.05%
2.45%
1.64%
9.65%
0.13%
2.75%
-0.94%
2.32%
1.40%
-2.15%
-0.52%
2.50%
-1.33%
-3.78%
0.78%

Exercise 7

X
-5
-4
-3
-2
-1
0
1
2
3
4
5

Y
25
16
9
4
1
0
1
4
9
16
25

Correlation(X,Y)

The two random variables X and Y are perfectly

correlated, but have correlation coefficient (i.e.,
a measure of linear relation) of zero!

Page 33

#VALUE!

Exercise 8

Variance-covariance matrix
0.3
0.02
-0.05
0.02
0.4
0.06
-0.05
0.06
0.6
first
portfolio
0.3
second
portfolio
0.5

means
10%
12%
14%

0.2

0.5

mean
return
12.40%

0.4

0.1

11.20%

variance
of return
19.24%

15.28%

covariance

correlation

11%

64.50%

Transpose of portfolios
first portfolio
second portfolio
0.3
0.5
0.2
0.4
0.5
0.1

0.3 this is the proportion of portfolio 1

0.1156
0.13864
Sigma

Mean
<-- The data table header has been hidden.

-1
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4

0.601
0.574
0.547
0.522
0.498
0.475
0.454
0.435
0.418
0.403
0.391
0.382
0.375
0.372
0.373
0.376
0.383
0.393
0.406
0.421
0.439
0.458
0.480
0.503
0.527

0.100
0.101
0.102
0.104
0.105
0.106
0.107
0.108
0.110
0.111
0.112
0.113
0.114
0.116
0.117
0.118
0.119
0.120
0.122
0.123
0.124
0.125
0.126
0.128
0.129

m ean return

Portfolio
Proportion
Mean
Variance

3-asset case: portfolio return and sigma

0.135
0.130
0.125
0.120
0.115
0.110
0.105
0.100
0.095
0.090
0.350

standard deviation
0.400

0.450

0.500

Page 34

0.550

0.600