Growth of $1000 Investments

$14,000

$10,000
AAPL
IBM
MSFT
SP500
T-Bill(2)

$8,000
$6,000
$4,000
$2,000

Month

A
pr
-9
9
O
ct
-9
9

A
pr
-9
8
O
ct
-9
8

A
pr
-9
7
O
ct
-9
7

A
pr
-9
6
O
ct
-9
6

$A
pr
-9
5
O
ct
-9
5

Value of Investment

$12,000

5.0%
3

4.5%

Average Return

4.0%
2

3.5%
3.0%
2.5%

2.0%

1.5%
1.0%
0.5%

0.0%
0.0%

2.0%

4.0%

6.0%

8.0%

10.0% 12.0% 14.0% 16.0%

Standard Deviation

50%
40%

AAPL Premium

30%
20%
10%
0% f(x) = 0.18x + 0.02
R = 0
-10%
-20%
-30%
-40%
-15%

-10%

-5%

0%

5%

S&P500 Premium

10%

15%

40%
30%

IBM Premium

20%
f(x) = 0.98x + 0.02
10% R = 0.13
0%
-10%
-20%
-30%
-15%

-10%

-5%

0%

5%

S&P500 Premium

10%

15%

30%
25%

MSFT Premium

20%

f(x) = 1.19x + 0.03

15% R = 0.3
10%
5%
0%
-5%
-10%
-15%
-20%
-15%

-10%

-5%

0%

5%

S&P500 Premium

10%

15%

5.00%

4.50%

Average Return

4.00%
2

3.50%
3.00%
2.50%

2.00%

1.50%
1.00%
0.50%
0.00%

5
0

0.2

0.4

0.6

Beta

0.8

1.2

Montly Returns
AAPL
IBM

Month(1)
Apr-95
May-95
Jun-95
Jul-95
Aug-95
Sep-95
Oct-95
Nov-95
Dec-95
Jan-96
Feb-96
Mar-96
Apr-96
May-96
Jun-96
Jul-96
Aug-96
Sep-96
Oct-96
Nov-96
Dec-96
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Jan-99
Feb-99
Mar-99
Apr-99
May-99
Jun-99
Jul-99
Aug-99
Sep-99
Oct-99

11.39%
9.27%
2.66%
-0.29%
2.60%
-20.06%
-2.09%
14.24%
-11.85%
-15.25%
-7.95%
-5.91%
-3.14%
10.22%
-18.10%
-8.29%
8.43%
1.67%
16.12%
-5.88%
-6.00%
-28.72%
-2.24%
1.53%
10.53%
-6.12%
-9.78%
11.45%
34.05%
-5.65%
-8.26%
-9.63%
-24.74%
37.44%
6.31%
31.88%
5.92%
5.82%
-8.46%
36.88%
16.61%
-14.54%
-0.17%
-3.75%
-0.35%
17.41%
-9.99%
-9.92%
5.78%
23.99%
7.26%
12.60%
11.54%
29.99%
-3.09%

10.89%
2.18%
-0.80%
11.88%
7.72%
-17.17%
3.39%
0.00%
-5.13%
13.02%
15.93%
1.59%
-12.10%
5.55%
-11.05%
-4.94%
17.71%
11.82%
5.18%
12.35%
6.55%
6.88%
-16.44%
-3.72%
5.47%
21.93%
5.74%
16.27%
-4.18%
-0.69%
-3.84%
10.82%
-3.26%
2.82%
-2.07%
-0.01%
5.57%
16.16%
-15.06%
13.25%
6.58%
-2.49%
9.02%
17.96%
7.14%
7.80%
-7.08%
-1.78%
1.08%
35.36%
4.93%
12.84%
-10.55%
2.98%
-13.96%

MSFT
7.24%
13.83%
1.90%
5.75%
5.57%
-3.80%
2.21%
-8.51%
1.17%
10.75%
6.53%
4.60%
7.20%
6.61%
5.88%
-2.33%
2.70%
11.17%
-2.44%
10.58%
12.25%
4.19%
9.04%
-1.05%
14.50%
7.73%
12.51%
8.18%
-5.43%
1.74%
-2.17%
4.25%
-6.66%
5.10%
14.70%
5.48%
12.61%
-2.92%
5.87%
24.55%
-6.20%
-5.75%
-0.28%
8.15%
21.13%
8.66%
-1.34%
15.86%
1.21%
-10.46%
9.59%
16.99%
-16.15%
15.67%
-8.68%

SP500
2.55%
2.06%
3.82%
2.49%
1.00%
4.32%
0.71%
2.15%
2.71%
-0.73%
5.91%
-1.01%
0.57%
3.70%
-0.31%
-4.13%
4.15%
3.28%
3.46%
3.77%
1.53%
3.65%
3.30%
-2.20%
-2.27%
8.27%
8.31%
1.85%
-1.58%
5.52%
-0.67%
2.01%
-1.69%
1.56%
7.56%
6.28%
2.14%
-1.25%
-0.73%
7.82%
-8.89%
-5.66%
3.56%
10.14%
2.10%
4.66%
-0.33%
4.51%
1.52%
0.86%
0.94%
5.66%
-5.79%
-0.09%
-6.59%

T-Bill(2)
0.48%
0.36%
0.37%
0.46%
0.35%
0.36%
0.45%
0.34%
0.46%
0.32%
0.31%
0.29%
0.44%
0.32%
0.43%
0.27%
0.32%
0.42%
0.34%
0.32%
0.44%
0.30%
0.43%
0.30%
0.36%
0.33%
0.41%
0.32%
0.33%
0.46%
0.31%
0.37%
0.30%
0.34%
0.42%
0.31%
0.36%
0.33%
0.42%
0.32%
0.42%
0.31%
0.30%
0.28%
0.22%
0.27%
0.37%
0.28%
0.29%
0.37%
0.28%
0.28%
0.39%
0.29%
0.28%

Growth of $1000
AAPL
IBM
MSFT
SP500
T-Bill(2)
$1,000.00
$1,000.00
$1,000.00
$1,000.00
$1,000.00
$1,113.88
$1,108.93
$1,072.39
$1,025.51
$1,004.84
$1,217.08
$1,133.14
$1,220.73
$1,046.65
$1,008.49
$1,249.46
$1,124.04
$1,243.96
$1,086.66
$1,012.21
$1,245.89
$1,257.53
$1,315.45
$1,113.73
$1,016.85
$1,278.28
$1,354.61
$1,388.74
$1,124.86
$1,020.44
$1,021.90
$1,122.00
$1,336.01
$1,173.43
$1,024.07
$1,000.54
$1,160.01
$1,365.49
$1,181.70
$1,028.70
$1,142.96
$1,160.01
$1,249.32
$1,207.07
$1,032.17
$1,007.52
$1,100.56
$1,263.87
$1,239.82
$1,036.87
$853.89
$1,243.84
$1,399.74
$1,230.74
$1,040.22
$786.01
$1,442.00
$1,491.16
$1,303.47
$1,043.46
$739.56
$1,464.91
$1,559.72
$1,290.29
$1,046.51
$716.34
$1,287.72
$1,672.08
$1,297.60
$1,051.15
$789.58
$1,359.21
$1,782.54
$1,345.56
$1,054.54
$646.67
$1,209.04
$1,887.28
$1,341.41
$1,059.09
$593.08
$1,149.28
$1,843.23
$1,286.07
$1,061.98
$643.10
$1,352.78
$1,892.98
$1,339.39
$1,065.41
$653.82
$1,512.66
$2,104.37
$1,383.33
$1,069.90
$759.21
$1,591.06
$2,052.96
$1,431.23
$1,073.50
$714.56
$1,787.52
$2,270.06
$1,485.19
$1,076.95
$671.68
$1,904.64
$2,548.10
$1,507.84
$1,081.67
$478.76
$2,035.62
$2,654.74
$1,562.80
$1,084.94
$468.04
$1,700.92
$2,894.70
$1,614.34
$1,089.55
$475.18
$1,637.58
$2,864.22
$1,578.76
$1,092.84
$525.20
$1,727.19
$3,279.38
$1,543.00
$1,096.72
$493.05
$2,106.00
$3,532.75
$1,670.67
$1,100.38
$444.81
$2,226.78
$3,974.59
$1,809.50
$1,104.85
$495.73
$2,589.14
$4,299.75
$1,842.92
$1,108.36
$664.54
$2,481.04
$4,066.40
$1,813.75
$1,112.03
$627.03
$2,463.97
$4,137.16
$1,913.81
$1,117.14
$575.22
$2,369.33
$4,047.26
$1,901.03
$1,120.62
$519.85
$2,625.67
$4,219.39
$1,939.14
$1,124.78
$391.23
$2,540.18
$3,938.21
$1,906.29
$1,128.13
$537.71
$2,611.69
$4,139.06
$1,935.96
$1,131.91
$571.65
$2,557.60
$4,747.29
$2,082.33
$1,136.65
$753.87
$2,557.47
$5,007.40
$2,213.10
$1,140.18
$798.53
$2,700.00
$5,638.58
$2,260.53
$1,144.27
$844.98
$3,136.18
$5,474.10
$2,232.36
$1,148.09
$773.52
$2,663.94
$5,795.43
$2,216.09
$1,152.88
$1,058.75
$3,016.93
$7,218.44
$2,389.46
$1,156.52
$1,234.61
$3,215.42
$6,770.90
$2,177.01
$1,161.39
$1,055.16
$3,135.26
$6,381.84
$2,053.88
$1,165.00
$1,053.37
$3,418.15
$6,364.04
$2,127.02
$1,168.52
$1,013.89
$4,031.88
$6,882.70
$2,342.72
$1,171.75
$1,010.30
$4,319.88
$8,336.95
$2,392.01
$1,174.31
$1,186.16
$4,656.66
$9,059.10
$2,503.45
$1,177.46
$1,067.72
$4,327.01
$8,938.07
$2,495.31
$1,181.76
$961.85
$4,249.82
$10,355.91
$2,607.78
$1,185.02
$1,017.48
$4,295.50
$10,480.70
$2,647.34
$1,188.42
$1,261.53
$5,814.26
$9,384.21
$2,670.00
$1,192.80
$1,353.06
$6,101.08
$10,284.06
$2,695.18
$1,196.09
$1,523.53
$6,884.22
$12,030.81
$2,847.59
$1,199.39
$1,699.39
$6,157.66
$10,087.48
$2,682.66
$1,204.03
$2,209.02
$6,340.97
$11,667.88
$2,680.27
$1,207.46
$2,140.83
$5,455.90
$10,654.64
$2,503.64
$1,210.85

Premiums
AAPL
IBM
10.90%
8.90%
2.29%
-0.74%
2.25%
-20.41%
-2.54%
13.90%
-12.31%
-15.57%
-8.26%
-6.20%
-3.58%
9.90%
-18.53%
-8.56%
8.11%
1.25%
15.78%
-6.20%
-6.44%
-29.03%
-2.66%
1.23%
10.17%
-6.46%
-10.19%
11.13%
33.72%
-6.10%
-8.57%
-10.00%
-25.04%
37.11%
5.89%
31.57%
5.57%
5.48%
-8.87%
36.56%
16.19%
-14.85%
-0.47%
-4.02%
-0.57%
17.14%
-10.35%
-10.19%
5.50%
23.62%
6.98%
12.32%
11.16%
29.70%
-3.37%

10.41%
1.82%
-1.17%
11.42%
7.37%
-17.53%
2.94%
-0.34%
-5.58%
12.70%
15.62%
1.30%
-12.54%
5.23%
-11.48%
-5.22%
17.38%
11.40%
4.85%
12.03%
6.11%
6.58%
-16.87%
-4.03%
5.12%
21.60%
5.33%
15.96%
-4.51%
-1.15%
-4.15%
10.45%
-3.55%
2.48%
-2.49%
-0.32%
5.21%
15.82%
-15.48%
12.94%
6.16%
-2.80%
8.72%
17.68%
6.92%
7.53%
-7.44%
-2.06%
0.79%
34.99%
4.66%
12.56%
-10.94%
2.69%
-14.24%

MSFT
6.76%
13.47%
1.53%
5.29%
5.22%
-4.15%
1.76%
-8.85%
0.71%
10.43%
6.22%
4.31%
6.76%
6.28%
5.45%
-2.61%
2.38%
10.75%
-2.78%
10.25%
11.81%
3.88%
8.61%
-1.36%
14.14%
7.39%
12.10%
7.86%
-5.76%
1.28%
-2.49%
3.88%
-6.96%
4.77%
14.28%
5.17%
12.25%
-3.25%
5.45%
24.24%
-6.62%
-6.06%
-0.58%
7.87%
20.91%
8.39%
-1.70%
15.59%
0.92%
-10.83%
9.31%
16.71%
-16.54%
15.38%
-8.97%

SP500
2.07%
1.70%
3.45%
2.03%
0.65%
3.96%
0.25%
1.81%
2.26%
-1.06%
5.60%
-1.30%
0.12%
3.37%
-0.74%
-4.40%
3.82%
2.86%
3.13%
3.45%
1.09%
3.34%
2.87%
-2.51%
-2.62%
7.94%
7.90%
1.53%
-1.91%
5.06%
-0.98%
1.63%
-1.99%
1.22%
7.14%
5.97%
1.78%
-1.58%
-1.15%
7.51%
-9.31%
-5.97%
3.26%
9.87%
1.89%
4.39%
-0.69%
4.23%
1.23%
0.49%
0.67%
5.38%
-6.18%
-0.37%
-6.87%

Average Return
Std. Dev
Raw Beta
Adj. Beta

AAPL
IBM
MSFT
SP500
T-Bills

AAPL
2.42%
14.84%
0.178
0.45

IBM
3.64%
10.31%
0.976
0.98

MSFT
4.72%
8.22%
1.184
1.12

SP500
1.75%
3.82%
1.000
1.00

T-Bills
0.35%
0.06%
(0.000)
0.00

AAPL
1.000

IBM
0.262
1.000

MSFT
0.102
0.240
1.000

SP500
0.046
0.362
0.550
1.000

T-Bills
-0.103
-0.169
-0.073
-0.003
1.000

Security Market Line

Beta
E(R)
0
1
1.2

0.348%
1.754%
2.035%

W1
W2
0.000% 100.000%
5.000% 95.000%
10.000% 90.000%
15.000% 85.000%
20.000% 80.000%
25.000% 75.000%
30.000% 70.000%
35.000% 65.000%
40.000% 60.000%
45.000% 55.000%
50.000% 50.000%
55.000% 45.000%
60.000% 40.000%
65.000% 35.000%
70.000% 30.000%
75.000% 25.000%
80.000% 20.000%
85.000% 15.000%
90.000% 10.000%
95.000%
5.000%
100.000%
0.000%

AAPL & IBM

E(R)
s(R)
3.637% 10.306%
3.576% 10.011%
3.516% 9.770%
3.455% 9.588%
3.394% 9.467%
3.334% 9.411%
3.273% 9.419%
3.213% 9.493%
3.152% 9.630%
3.091% 9.828%
3.031% 10.084%
2.970% 10.393%
2.910% 10.750%
2.849% 11.151%
2.788% 11.591%
2.728% 12.066%
2.667% 12.573%
2.607% 13.107%
2.546% 13.665%
2.486% 14.244%
2.425% 14.842%

Portfolios
AAPL & MSFT
E(R)
s(R)
4.717% 8.223%
4.602% 7.922%
4.488% 7.695%
4.373% 7.548%
4.258% 7.487%
4.144% 7.514%
4.029% 7.627%
3.915% 7.823%
3.800% 8.096%
3.685% 8.438%
3.571% 8.842%
3.456% 9.299%
3.342% 9.802%
3.227% 10.344%
3.112% 10.920%
2.998% 11.524%
2.883% 12.152%
2.769% 12.800%
2.654% 13.467%
2.540% 14.148%
2.425% 14.842%

AAPL & IBM

E(R)
s(R)
4.717% 8.223%
4.663% 7.951%
4.609% 7.713%
4.555% 7.512%
4.501% 7.351%
4.447% 7.232%
4.393% 7.158%
4.339% 7.130%
4.285% 7.149%
4.231% 7.213%
4.177% 7.323%
4.123% 7.476%
4.069% 7.670%
4.015% 7.900%
3.961% 8.166%
3.907% 8.462%
3.853% 8.786%
3.799% 9.135%
3.745% 9.507%
3.691% 9.898%
3.637% 10.306%

NaIve Portfolio
W
33.333%
E(R)
3.593%
s(R)
7.745%