Busn 233 CH 11

Roger G.
Ibbotson & Rex Sinquefield Because Beg = 1

Year Invested 1925 End^(1/Periods)-1
Year Withdrawn 2008
Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
$ Invested in $ Withdrawn in
Mean Investment Category 1925 2008 Geometric Mean Check
16.40% Small Company Stocks $1.00 $9,548.94
11.70% Large Company Stocks $1.00 $2,049.45
6.10% Long Term Gov. Bonds $1.00 $99.16
3.80% Treasury Bills $1.00 $20.51
3.10% Inflation $1.00 $11.73
Geomean formula 2
(1+R1*1+R2*…1+Rn)^(1/n)-1 Mean
Large Company
Year Stocks
1926 11.14%
1927 37.13%
1928 43.31%
1929 -8.91%
1930 -25.26%
1931 -43.86%
1932 -8.85%
1933 52.88%
1934 -2.34%
1935 47.22%
1936 32.80%
1937 -35.26%
1938 33.20%
1939 -0.91%
1940 -10.08%
1941 -11.77%
1942 21.07%
1943 25.76%
1944 19.69%
1945 36.46%
1946 -8.18%
1947 5.24%
1948 5.10%
1949 18.06%
1950 30.58%
1951 24.55%
1952 18.50%
1953 -1.10%
1954 52.40%
1955 31.43%
1956 6.63%
1957 -10.85%
1958 43.34%
1959 11.90%
1960 0.48%
1961 26.81%
1962 -8.78%
1963 22.69%
1964 16.36%
1965 12.36%
1966 -10.10%
1967 23.94%
1968 11.00%
1969 -8.47%
1970 3.94%
1971 14.30%
1972 18.99%
1973 -14.69%
1974 -26.47%
1975 37.23%
1976 23.93%
1977 -7.16%
1978 6.57%
1979 18.61%
1980 32.50%
1981 -4.92%
1982 21.55%
1983 22.56%
1984 6.27%
1985 31.73%
1986 18.67%
1987 5.25%
1988 16.61%
1989 31.69%
1990 -3.10%
1991 30.46%
1992 7.62%
1993 10.08%
1994 1.32%
1995 37.58%
1996 22.96%
1997 33.36%
1998 28.58%
1999 21.04%
2000 -9.10%
2001 -11.89%
2002 -22.10%
2003 28.68%
2004 10.88%
2005 4.91%
2006 15.79%
2007 5.49%
2008 -37.00%
Roger G. Ibbotson & Rex Sinquefield Because Beg = 1
Year Invested 1925 End^(1/Periods)-1
Year Withdrawn 2008
Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
$ Invested in $ Withdrawn in
Mean Investment Category 1925 2008 Geometric Mean
16.40% Small Company Stocks $1.00 $9,548.94 11.67%
11.70% Large Company Stocks $1.00 $2,049.45 9.62%
6.10% Long Term Gov. Bonds $1.00 $99.16 5.69%
3.80% Treasury Bills $1.00 $20.51 3.71%
3.10% Inflation $1.00 $11.73 3.01%
Geomean formula 2
(1+R1*1+R2*…1+Rn)^(1/n)-1 Mean
9.511%
Large Company
Year Stocks
1926 11.14%
1927 37.13%
1928 43.31%
1929 -8.91%
1930 -25.26%
1931 -43.86%
1932 -8.85%
1933 52.88%
1934 -2.34%
1935 47.22%
1936 32.80%
1937 -35.26%
1938 33.20%
1939 -0.91%
1940 -10.08%
1941 -11.77%
1942 21.07%
1943 25.76%
1944 19.69%
1945 36.46%
1946 -8.18%
1947 5.24%
1948 5.10%
1949 18.06%
1950 30.58%
1951 24.55%
1952 18.50%
1953 -1.10%
1954 52.40%
1955 31.43%
1956 6.63%
1957 -10.85%
1958 43.34%
1959 11.90%
1960 0.48%
1961 26.81%
1962 -8.78%
1963 22.69%
1964 16.36%
1965 12.36%
1966 -10.10%
1967 23.94%
1968 11.00%
1969 -8.47%
1970 3.94%
1971 14.30%
1972 18.99%
1973 -14.69%
1974 -26.47%
1975 37.23%
1976 23.93%
1977 -7.16%
1978 6.57%
1979 18.61%
1980 32.50%
1981 -4.92%
1982 21.55%
1983 22.56%
1984 6.27%
1985 31.73%
1986 18.67%
1987 5.25%
1988 16.61%
1989 31.69%
1990 -3.10%
1991 30.46%
1992 7.62%
1993 10.08%
1994 1.32%
1995 37.58%
1996 22.96%
1997 33.36%
1998 28.58%
1999 21.04%
2000 -9.10%
2001 -11.89%
2002 -22.10%
2003 28.68%
2004 10.88%
2005 4.91%
2006 15.79%
2007 5.49%
2008 -37.00%
Check
9548.94
2049.45
99.16
20.51
11.73
Expected Return and SD for 1 stock
Estimated Stock A Estimated Stock B
Prob of Return if State Return if State
State of economy State Occurs Occurs
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Irrational Exuberance 0.05 0.15 0.28
Individual Expected Return (Type of

Average)
R*Prob R*Prob
E(RA) E(RB)
Add
E(RA) E(RB)
Expected Return based on Estimations both from pas
and estimates of future economic states
Individual Standard Deviation

(Measure of Volitility or Risk of
Stock)
(R-E(RA))^2*Prob (R-E(RB))^2*Prob
Add Variance
SDA SDB
SQRT 0 0 Total Risk
SDA SDB
Stadard Deviation (Measure of total risk) based on Esti

from past stock data and estimates of future econo
based on Estimations both from past stock data
estimates of future economic states
(Measure of total risk) based on Estimations both

k data and estimates of future economic states
Expected Return and SD for 1 stock
Estimated Stock A Estimated Stock B
Prob of Return if State Return if State
State of economy State Occurs Occurs
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Irrational Exuberance 0.05 0.15 0.28
Individual Expected Return (Type of

Average)
R*Prob R*Prob
-0.0225 -0.09
0.06 0.11
0.0075 0.014
E(RA) E(RB)
Add 0.045 0.034
E(RA) E(RB)
Expected Return based on Estimations both from pas
0.045 0.034 and estimates of future economic states
Individual Standard Deviation

(Measure of Volitility or Risk of
Stock)
(R-E(RA))^2*Prob (R-E(RB))^2*Prob
0.00406125 0.0246402
0.0028125 0.017298
0.00055125 0.0030258
Add 0.007425 0.044964 Variance
SDA SDB
SQRT 0.0861684397 0.2120471646 Total Risk
SDA SDB
Stadard Deviation (Measure of total risk) based on Esti

0.0861684397 0.2120471646 from past stock data and estimates of future econo
based on Estimations both from past stock data
estimates of future economic states
(Measure of total risk) based on Estimations both

k data and estimates of future economic states
Expected Return and SD for portfolio
Stock A B
Invested $10,000.00 $15,000.00
Weight
Estimated Return for

Estimated Stock A Estimated Stock B Portfolio if State
State of Prob of Return if State Return if State Occurs =
economy State Occurs Occurs RA*WA+RB*WB (RIfStaeOccurs - E(RP))^2*Prob
Recession 0.45 -0.05 -0.2
Normal 0.5 0.12 0.22
Boom 0.05 0.15 0.28
E(RP) Variance of P
Standard Deviation of P
E(RP) Standard Deviation of P

Add
SQRT
Expected Return and SD for portfolio
Stock A B
Invested $10,000.00 $15,000.00
Weight 0.4 0.6
Estimated Return for

Estimated Stock A Estimated Stock B Portfolio if State
State of Prob of Return if State Return if State Occurs =
economy State Occurs Occurs RA*WA+RB*WB (RIfStaeOccurs - E(RP))^2*Prob
Recession 0.45 -0.05 -0.2 -0.14 0.014321952
Normal 0.5 0.12 0.22 0.18 0.01002528
Boom 0.05 0.15 0.28 0.228 0.001797408
E(RP) Variance of P
-0.009 -0.054 0.0384 0.02614464
0.024 0.066 Standard Deviation of P
0.003 0.0084 0.1616930425
0.0384
E(RP) Standard Deviation of P
0.0384 0.1616930425
0.0384 0.1616930425
Add
SQRT
Sep 30, 2004, Merck announced recall
VIOXX, stock went from $45 to $33.
Beg (Close Day Before) 45.07

End 33
Change
Sep 30, 2004, Merck announced recall
VIOXX, stock went from $45 to $33.
Beg (Close Day Before) 45.07

End 33
Change -0.26781
Beta
S & P Weely Returns WFMI Weely Returns
Date S&P 500 Adj WFMI Close Adj for Lat 4 Years for Lat 4 Years
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI
11/12/2007 1458.74 44.4
11/19/2007 1440.7 39.94
11/26/2007 1481.14 42.15
12/3/2007 1504.66 42.19
12/10/2007 1467.95 39.77
12/17/2007 1484.46 41.73
12/24/2007 1478.49 40.77
12/31/2007 1411.63 37.16
1/7/2008 1401.02 36.96
1/14/2008 1325.19 34.57
1/22/2008 1330.61 37.01
1/28/2008 1395.42 40.17
2/4/2008 1331.29 38.81
2/11/2008 1349.99 38.55
2/19/2008 1353.11 36.23
2/25/2008 1330.63 34.64
3/3/2008 1293.37 33.58
3/10/2008 1288.14 30.72
3/17/2008 1329.51 32.18
3/24/2008 1315.22 32.01
3/31/2008 1370.4 33.4
4/7/2008 1332.83 31.76
4/14/2008 1390.33 32.67
4/21/2008 1397.84 30.92
4/28/2008 1413.9 34.68
5/5/2008 1388.28 32.5
5/12/2008 1425.35 28.81
5/19/2008 1375.93 27.38
5/27/2008 1400.38 28.75
6/2/2008 1360.68 28.25
6/9/2008 1360.03 26.93
6/16/2008 1317.93 26.09
6/23/2008 1278.38 24.44
6/30/2008 1262.9 22.51
7/7/2008 1239.49 21.04
7/14/2008 1260.68 21.38
7/21/2008 1257.76 22.52
7/28/2008 1260.31 21.42
8/4/2008 1296.32 18.65
8/11/2008 1298.2 19.69
8/18/2008 1292.2 18.44
8/25/2008 1282.83 18.31
9/2/2008 1242.31 18.12
9/8/2008 1251.7 18.43
9/15/2008 1255.08 20.79
9/22/2008 1213.27 20.64
9/29/2008 1099.23 18
10/6/2008 899.22 14.83
10/13/2008 940.55 13.98
10/20/2008 876.77 10.74
10/27/2008 968.75 10.72
11/3/2008 930.99 10.05
11/10/2008 873.29 9.38
11/17/2008 800.03 8.19
11/24/2008 896.24 10.58
12/1/2008 876.07 10.6
12/8/2008 879.73 10.35
12/15/2008 887.88 9.96
12/22/2008 872.8 8.89
12/29/2008 931.8 9.89
1/5/2009 890.35 12.57
1/12/2009 850.12 12.16
1/20/2009 831.95 11.37
1/26/2009 825.88 10.25
2/2/2009 868.6 10.88
2/9/2009 826.84 9.97
2/17/2009 770.05 12.84
2/23/2009 735.09 12.15
3/2/2009 683.38 12.08
3/9/2009 756.55 14.38
3/16/2009 768.54 15.37
3/23/2009 815.94 17.97
3/30/2009 842.5 18.64
4/6/2009 856.56 18.36
4/13/2009 869.6 18.48
4/20/2009 866.23 19.74
4/27/2009 877.52 20.93
5/4/2009 929.23 22.17
5/11/2009 882.88 19.61
5/18/2009 887 18.9
5/26/2009 919.14 18.87
6/1/2009 940.09 21.16
6/8/2009 946.21 20.44
6/15/2009 921.23 19.27
6/22/2009 918.9 19.2
6/29/2009 896.42 17.97
7/6/2009 879.13 19.25
7/13/2009 940.38 21.87
7/20/2009 979.26 23.73
7/27/2009 987.48 24.19
8/3/2009 1010.48 28.42
8/10/2009 1004.09 28.1
8/17/2009 1026.13 28.78
8/24/2009 1028.93 29.11
8/31/2009 1016.4 27.65
9/8/2009 1042.73 28.43
9/14/2009 1068.3 28.6
9/21/2009 1044.38 28.77
9/28/2009 1025.21 29.21
10/5/2009 1071.49 31.67
10/12/2009 1087.68 33.74
10/19/2009 1079.6 33.36
10/26/2009 1036.19 32.06
11/2/2009 1069.3 28.25
11/9/2009 1093.48 27.49
11/16/2009 1091.38 26.36
11/23/2009 1091.49 25.9
11/30/2009 1105.98 26.2
12/7/2009 1106.41 26.67
12/14/2009 1102.47 26.99
12/21/2009 1126.48 28.41
12/28/2009 1115.1 27.45
1/4/2010 1144.98 27.96
1/11/2010 1136.03 27.95
1/19/2010 1091.76 28.45
1/25/2010 1073.87 27.22
2/1/2010 1066.19 27.38
2/8/2010 1075.51 29.75
2/16/2010 1109.17 33.66
2/22/2010 1104.49 35.49
3/1/2010 1138.7 36.11
3/8/2010 1149.99 36.3
3/15/2010 1159.9 35.83
3/22/2010 1166.59 35.41
3/29/2010 1178.1 36.91
4/5/2010 1194.37 38.8
4/12/2010 1192.13 39.11
4/19/2010 1217.28 40.2
4/26/2010 1186.69 39.02
5/3/2010 1110.88 36.68
5/10/2010 1135.68 40.83
5/17/2010 1087.69 39.24
5/24/2010 1089.41 40.43
6/1/2010 1064.88 38.61
6/7/2010 1091.6 39.38
6/14/2010 1117.51 40.36
6/21/2010 1076.76 38.69
6/28/2010 1022.58 35.02
7/6/2010 1077.96 36.66
7/12/2010 1064.88 37.21
7/19/2010 1102.66 38.77
7/26/2010 1101.6 37.97
8/2/2010 1121.64 36.48
8/9/2010 1079.25 36.42
8/16/2010 1071.69 36.72
8/23/2010 1064.59 35.7
8/30/2010 1104.51 36.66
9/7/2010 1109.55 35.47
9/13/2010 1125.59 37.09
9/20/2010 1148.67 37.07
9/27/2010 1146.24 37.07
10/4/2010 1165.15 34.57
10/11/2010 1176.19 38.3
10/18/2010 1183.08 39.89
10/25/2010 1183.26 39.75
11/1/2010 1225.85 45.49
11/8/2010 1199.21 46.86
11/15/2010 1199.73 45.71
11/22/2010 1189.4 47.01
Slope
Amount of systematic risk
Correllation*SDWFMI/SDM
Correlation tells us the strength and direction of the line (between -1 and 1)
SDWFMI/SDM = Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
Together they say direction and strength of Systematic Risk for WMFI
Beta
S & P Weely Returns WFMI Weely Returns
Date S&P 500 Adj WFMI Close Adj for Lat 4 Years for Lat 4 Years
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI
11/12/2007 1458.74 44.4 0.0034670152 0.044460127
11/19/2007 1440.7 39.94 -0.0123668371 -0.1004504505
11/26/2007 1481.14 42.15 0.0280696883 0.0553329995
12/3/2007 1504.66 42.19 0.0158796603 0.0009489917
f(x) =
12/10/2007 1467.95 39.77 -0.0243975383 -0.0573595639
12/17/2007 1484.46 41.73
R² = 0
0.0112469771 0.0492833794
Beta For WFMI
12/24/2007 1478.49 40.77 -0.0040216644 12 -0.0230050324
WFMI Weely Returns for Lat 4 Years

12/31/2007 1411.63 37.16 -0.0452218141 -0.0885454991
10
1/7/2008 1401.02 36.96 -0.0075161338 -0.0053821313
1/14/2008 1325.19 34.57 -0.0541248519 8 -0.0646645022
1/22/2008 1330.61 37.01 0.0040899796 6 0.070581429
1/28/2008 1395.42 40.17 0.048706984 0.0853823291
2/4/2008 1331.29 38.81 -0.0459574895 4 -0.0338561115
2/11/2008 1349.99 38.55 0.0140465263 2 -0.0066993043
2/19/2008 1353.11 36.23 0.0023111282 -0.0601815824
0
2/25/2008 1330.63 34.64 -0.0166135791 0 -0.0438862821
2 4 6 8 10
3/3/2008 1293.37 33.58 -0.0280017736 -0.0306004619
S & P Weely Returns for Lat 4 Years
3/10/2008 1288.14 30.72 -0.0040436998 -0.0851697439
3/17/2008 1329.51 32.18 0.0321160743 0.0475260417
3/24/2008 1315.22 32.01 -0.0107483208 -0.0052827843
3/31/2008 1370.4 33.4 0.0419549581 0.04342393
4/7/2008 1332.83 31.76 -0.0274153532 -0.0491017964
4/14/2008 1390.33 32.67 0.0431412858 0.0286523929
4/21/2008 1397.84 30.92 0.0054015953 -0.0535659627
4/28/2008 1413.9 34.68 0.0114891547 0.1216041397
5/5/2008 1388.28 32.5 -0.0181200934 -0.0628604383
5/12/2008 1425.35 28.81 0.0267021062 -0.1135384615
5/19/2008 1375.93 27.38 -0.0346721858 -0.0496355432
5/27/2008 1400.38 28.75 0.0177697993 0.050036523
6/2/2008 1360.68 28.25 -0.028349448 -0.0173913043
6/9/2008 1360.03 26.93 -0.0004777023 -0.0467256637
6/16/2008 1317.93 26.09 -0.0309551995 -0.0311919792
6/23/2008 1278.38 24.44 -0.0300091811 -0.0632426217
6/30/2008 1262.9 22.51 -0.0121090755 -0.0789689034
7/7/2008 1239.49 21.04 -0.0185367012 -0.0653043092
7/14/2008 1260.68 21.38 0.017095741 0.0161596958
7/21/2008 1257.76 22.52 -0.0023162103 0.0533208606
7/28/2008 1260.31 21.42 0.0020274138 -0.0488454707
8/4/2008 1296.32 18.65 0.0285723354 -0.129318394
8/11/2008 1298.2 19.69 0.0014502592 0.0557640751
8/18/2008 1292.2 18.44 -0.004621784 -0.063484002
8/25/2008 1282.83 18.31 -0.0072511995 -0.0070498915
9/2/2008 1242.31 18.12 -0.0315864144 -0.0103768433
9/8/2008 1251.7 18.43 0.0075584999 0.0171081678
9/15/2008 1255.08 20.79 0.0027003276 0.128052089
9/22/2008 1213.27 20.64 -0.0333126175 -0.0072150072
9/29/2008 1099.23 18 -0.0939939173 -0.1279069767
10/6/2008 899.22 14.83 -0.181954641 -0.1761111111
10/13/2008 940.55 13.98 0.045962056 -0.0573162508
10/20/2008 876.77 10.74 -0.067811387 -0.2317596567
10/27/2008 968.75 10.72 0.1049077865 -0.0018621974
11/3/2008 930.99 10.05 -0.0389780645 -0.0625
11/10/2008 873.29 9.38 -0.0619770352 -0.0666666667
11/17/2008 800.03 8.19 -0.0838896586 -0.1268656716
11/24/2008 896.24 10.58 0.1202579903 0.2918192918
12/1/2008 876.07 10.6 -0.0225051326 0.0018903592
12/8/2008 879.73 10.35 0.0041777484 -0.0235849057
12/15/2008 887.88 9.96 0.0092642061 -0.0376811594
12/22/2008 872.8 8.89 -0.0169842772 -0.1074297189
12/29/2008 931.8 9.89 0.0675985335 0.1124859393
1/5/2009 890.35 12.57 -0.0444837948 0.2709807887
1/12/2009 850.12 12.16 -0.045184478 -0.0326173429
1/20/2009 831.95 11.37 -0.0213734532 -0.0649671053
1/26/2009 825.88 10.25 -0.0072961115 -0.0985048373
2/2/2009 868.6 10.88 0.0517266431 0.0614634146
2/9/2009 826.84 9.97 -0.0480773659 -0.0836397059
2/17/2009 770.05 12.84 -0.0686831793 0.2878635908
2/23/2009 735.09 12.15 -0.0453996494 -0.0537383178
3/2/2009 683.38 12.08 -0.0703451278 -0.0057613169
3/9/2009 756.55 14.38 0.1070707366 0.190397351
3/16/2009 768.54 15.37 0.0158482585 0.0688456189
3/23/2009 815.94 17.97 0.0616753845 0.1691607027
3/30/2009 842.5 18.64 0.0325514131 0.0372843628
4/6/2009 856.56 18.36 0.0166884273 -0.0150214592
4/13/2009 869.6 18.48 0.0152236854 0.0065359477
4/20/2009 866.23 19.74 -0.003875345 0.0681818182
4/27/2009 877.52 20.93 0.01303349 0.0602836879
5/4/2009 929.23 22.17 0.0589274319 0.0592451027
5/11/2009 882.88 19.61 -0.0498800082 -0.1154713577
5/18/2009 887 18.9 0.0046665458 -0.0362060173
5/26/2009 919.14 18.87 0.0362344983 -0.0015873016
6/1/2009 940.09 21.16 0.0227930457 0.1213566508
6/8/2009 946.21 20.44 0.006510015 -0.034026465
6/15/2009 921.23 19.27 -0.0264000592 -0.0572407045
6/22/2009 918.9 19.2 -0.0025292272 -0.0036325895
6/29/2009 896.42 17.97 -0.0244640331 -0.0640625
7/6/2009 879.13 19.25 -0.0192878338 0.0712298275
7/13/2009 940.38 21.87 0.0696711522 0.1361038961
7/20/2009 979.26 23.73 0.0413449882 0.085048011
7/27/2009 987.48 24.19 0.0083940935 0.019384745
8/3/2009 1010.48 28.42 0.023291611 0.174865647
8/10/2009 1004.09 28.1 -0.0063237273 -0.0112596763
8/17/2009 1026.13 28.78 0.0219502236 0.0241992883
8/24/2009 1028.93 29.11 0.0027286991 0.011466296
8/31/2009 1016.4 27.65 -0.0121776992 -0.0501545861
9/8/2009 1042.73 28.43 0.0259051555 0.0282097649
9/14/2009 1068.3 28.6 0.0245221678 0.005979599
9/21/2009 1044.38 28.77 -0.0223907142 0.0059440559
9/28/2009 1025.21 29.21 -0.0183553879 0.0152937087
10/5/2009 1071.49 31.67 0.0451419709 0.0842177337
10/12/2009 1087.68 33.74 0.0151098004 0.0653615409
10/19/2009 1079.6 33.36 -0.0074286555 -0.0112625963
10/26/2009 1036.19 32.06 -0.0402093368 -0.0389688249
11/2/2009 1069.3 28.25 0.0319535992 -0.1188396756
11/9/2009 1093.48 27.49 0.0226129243 -0.0269026549
11/16/2009 1091.38 26.36 -0.0019204741 -0.0411058567
11/23/2009 1091.49 25.9 0.0001007898 -0.0174506829
11/30/2009 1105.98 26.2 0.0132754308 0.0115830116
12/7/2009 1106.41 26.67 0.0003887955 0.0179389313
12/14/2009 1102.47 26.99 -0.0035610669 0.0119985002
12/21/2009 1126.48 28.41 0.0217783704 0.0526120785
12/28/2009 1115.1 27.45 -0.0101022655 -0.0337909187
1/4/2010 1144.98 27.96 0.0267958031 0.018579235
1/11/2010 1136.03 27.95 -0.0078167304 -0.0003576538
1/19/2010 1091.76 28.45 -0.0389690413 0.0178890877
1/25/2010 1073.87 27.22 -0.0163863853 -0.0432337434
2/1/2010 1066.19 27.38 -0.0071517037 0.0058780309
2/8/2010 1075.51 29.75 0.0087414063 0.0865595325
2/16/2010 1109.17 33.66 0.0312967801 0.1314285714
2/22/2010 1104.49 35.49 -0.0042193712 0.0543672014
3/1/2010 1138.7 36.11 0.0309735715 0.0174697098
3/8/2010 1149.99 36.3 0.0099148151 0.0052617004
3/15/2010 1159.9 35.83 0.0086174662 -0.0129476584
3/22/2010 1166.59 35.41 0.0057677386 -0.0117220207
3/29/2010 1178.1 36.91 0.0098663626 0.042360915
4/5/2010 1194.37 38.8 0.0138103726 0.0512056353
4/12/2010 1192.13 39.11 -0.0018754657 0.0079896907
4/19/2010 1217.28 40.2 0.0210966925 0.0278701099
4/26/2010 1186.69 39.02 -0.0251297976 -0.0293532338
5/3/2010 1110.88 36.68 -0.0638835753 -0.0599692465
5/10/2010 1135.68 40.83 0.0223246435 0.1131406761
5/17/2010 1087.69 39.24 -0.0422566216 -0.0389419544
5/24/2010 1089.41 40.43 0.0015813329 0.0303261978
6/1/2010 1064.88 38.61 -0.0225167751 -0.0450160772
6/7/2010 1091.6 39.38 0.0250920291 0.0199430199
6/14/2010 1117.51 40.36 0.0237358007 0.0248857288
6/21/2010 1076.76 38.69 -0.0364649981 -0.0413776016
6/28/2010 1022.58 35.02 -0.0503176195 -0.0948565521
7/6/2010 1077.96 36.66 0.054157132 0.0468303826
7/12/2010 1064.88 37.21 -0.0121340309 0.0150027278
7/19/2010 1102.66 38.77 0.0354781759 0.0419242139
7/26/2010 1101.6 37.97 -0.0009613117 -0.0206345112
8/2/2010 1121.64 36.48 0.0181917211 -0.0392415065
8/9/2010 1079.25 36.42 -0.0377928747 -0.0016447368
8/16/2010 1071.69 36.72 -0.0070048645 0.0082372323
8/23/2010 1064.59 35.7 -0.0066250502 -0.0277777778
8/30/2010 1104.51 36.66 0.0374980039 0.0268907563
9/7/2010 1109.55 35.47 0.0045631094 -0.0324604474
9/13/2010 1125.59 37.09 0.0144563111 0.0456723992
9/20/2010 1148.67 37.07 0.0205048019 -0.0005392289
9/27/2010 1146.24 37.07 -0.0021154901 0
10/4/2010 1165.15 34.57 0.0164974176 -0.0674399784
10/11/2010 1176.19 38.3 0.0094751749 0.1078970205
10/18/2010 1183.08 39.89 0.0058578971 0.0415143603
10/25/2010 1183.26 39.75 0.0001521452 -0.0035096515
11/1/2010 1225.85 45.49 0.0359937799 0.1444025157
11/8/2010 1199.21 46.86 -0.0217318595 0.0301165091
11/15/2010 1199.73 45.71 0.0004336188 -0.0245411865
11/22/2010 1189.4 47.01 -0.0086102706 0.0284401663
Slope
1.1061218376 Amount of systematic risk
Correllation*SDWFMI/SDM
1.1061218376
Correlation tells us the strength and direction of the line (between -1 and 1)
Beta
S For
/SD WFMI
= Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
DWFMI M
Together they say direction and strength of Systematic Risk for WMFI
2 4 6 8 10 12
S & P Weely Returns for Lat 4 Years
Beta For Porfolio
Weights =
Invested/(Total Expected Return Beta
Stock Amount Invetsed Expected Return Beta Invested) E(R)*W B*W
W $2,000.00 8.00% 0.80
X $4,000.00 12.00% 0.95
Y $4,000.00 15.00% 1.10
Z $6,000.00 18.00% 1.40
$16,000.00 Total
Expected
Return for P
Portfolio Beta
Beta For Porfolio
Weights =
Invested/(Total Expected Return Beta
Stock Amount Invetsed Expected Return Beta Invested) E(R)*W B*W
W $2,000.00 8.00% 0.80 0.125 1.00% 0.1
X $4,000.00 12.00% 0.95 0.25 3.00% 0.2375
Y $4,000.00 15.00% 1.10 0.25 3.75% 0.275
Z $6,000.00 18.00% 1.40 0.375 6.75% 0.525
$16,000.00 Total 14.50% 1.1375
Expected
Return for P 14.50%
Portfolio Beta 1.138

Risk Reward Ratio
Rf 2.00%
Market Risk Premium = E(RM) - Rf 9.00%
Goal: Are stocks priced correctly?
Stock A
Beta 1.2
E(RA) 12.50%
Reward To Risk Ratio => (E(RA) - Rf)/BA

Stock B
Beta 0.6
E(RB) 9.00%
Reward To Risk Ratio => (E(RB) - Rf)/BB

Risk Reward Ratio
Rf 2.00%
Stock A
Beta 1.2
E(RA) 12.50%
Stock A is offering a 8.75% return for 1 unit of Systematic Risk

Market Risk Premium is 0.09, we can see that A is not offeri
high enough. In a competitive market the price of this stock w
down. In theory, this stock will bid down until the return is eq
Reward To Risk Ratio => (E(RA) - Rf)/BA 8.75% return offered in the market.
Stock B
Beta 0.6
E(RB) 9.00%
Stock B is offering a 11.67% return for 1 unit of Systematic R

the Market Risk Premium is 0.09, we can see that B is offerin
rate. In a competitive market the price of this stock should be
theory, this stock should be bid up until the return is equal to
Reward To Risk Ratio => (E(RB) - Rf)/BB 11.67% offered in the market.
turn for 1 unit of Systematic Risk. Since the
9, we can see that A is not offering a rate
e market the price of this stock will be bid
ill bid down until the return is equal to the
offered in the market.
return for 1 unit of Systematic Risk. Since

0.09, we can see that B is offering a higher
the price of this stock should be bid up. In
id up until the return is equal to the return
red in the market.
CAPM
Rf 2.00%
Stock A
Beta 1.2
E(RA) 12.50%
CAPM => E(RA) = Rf + (E(RM)-Rf)*BA

Stock B
Beta 0.6
E(RB) 9.00%
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB

Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%
2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%

SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given R
The given rate of 9.00% is too high (above the SML) and therefore is price
There is more reward than the model suggests there should be at the give
%*1 = 11.00%
%*2 = 20.00%
%*2 = 20.00%
%*1 = 11.00%
m) / (1 Beta) = 'going rate', given Rf = 2.00%.
e the SML) and therefore is priced too low - High Rate / Low Price.
gests there should be at the given risk level. If we believed our model, we would buy.
CAPM
Rf 2.00%

Stock A
Beta 1.2
E(RA) 12.50%
Expected Return using CAPM is higher than the Expected Ret

The Expected Return calculated using CAMP prices the risk (s
risk) at 12.80%. This means that the given rate of 12.50% is b
SML, which means the stock is over valued - Low Rate / Hig
CAPM => E(RA) = Rf + (E(RM)-Rf)*BA 12.80% There is not enough reward for the given risk level. Not b
Stock B
Beta 0.6
E(RB) 9.00%
Expected Return using CAPM is lower than the Expected Ret

The Expected Return calculated using CAPM prices the risk (s
risk) at 7.40%.The given rate of 9.00% is too high (above the
therefore is priced too low - High Rate / Low Price. There is m
than the model suggests there should be at the given risk le
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB 7.40% believed our model, we would buy.
SML Slope = (9.00%

Beta Market Risk Premium)
E(RM) / (1X Line
Beta)Up = 'goingY rate',
Line Upgiven Rf = 2.00%.
X Line Ove
0 2.00% 1 0 0
35.00%
0.1 2.90% 1 0.02 0.1
0.2 3.80% 1 0.029 0.2
30.00%
0.3 4.70% 1 0.038 0.3
25.00% 0.4 5.60% 1 0.047 0.4
Asset Expected Return E(RA)
0.5 6.50% 1 0.056 0.5

20.00% 0.6 7.40% 1 0.065 0.6
0.7 8.30% 1 0.074 0.7
15.00% 0.8 9.20% 1 0.083 0.8
10.00%
1; 9.00% 0.9
1
1; 12.50%
10.10%
11.00%
Beta of 1, asset
1
1
0.092
0.101
0.9
1
5.00%
1.1 11.90% should earn
1 0.11
1.2
1.3
12.80%
13.70%
2.00% + 9.00%*1
0.00%
0 0.5 1.4
1 14.60%
1.5 2 = 11.00%
2.5 3 3.5
1.5 15.50%
Asset Beta BA Beta of 2, asset
1.6
1.7
16.40%
17.30%
should earn
1.8 18.20% 2.00% + 9.00%*2
1.9 19.10%
= 20.00%
should earn
2.00% + 9.00%*2
2 20.00%
= 20.00%
2.1 20.90%
2.2 21.80%
2.3 22.70%
2.4 23.60%
2.5 24.50%
2.6 25.40%
2.7 26.30%
2.8 27.20%
2.9 28.10%
3 29.00%
M is higher than the Expected Return given.

ted using CAMP prices the risk (systematic
that the given rate of 12.50% is below the
ck is over valued - Low Rate / High Price.
ard for the given risk level. Not buying. 2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given R
The given rate of 9.00% is too high (above the SML) and therefore is price
M is lower than the Expected Return given.

ted using CAPM prices the risk (systematic
of 9.00% is too high (above the SML) and
High Rate / Low Price. There is more reward
ere should be at the given risk level. If we
ur model, we would buy. There is more reward than the model suggests there should be at the give
given Rf Y=Line
2.00%.
OveX Line Up Y Line Up X Line OveY Line OveBelow X Below Y Above X Above Y
11.00% 2 0 0 20.00% 1.2 12.50% 0.6 9.00%
11.00% 2 2.00% 0.1 20.00%
11.00% 2 2.90% 0.2 20.00%
11.00% 2 3.80% 0.3 20.00%
11.00% 2 4.70% 0.4 20.00%
11.00% 2 5.60% 0.5 20.00%
11.00% 2 6.50% 0.6 20.00%
11.00% 2 7.40% 0.7 20.00%
11.00% 2 8.30% 0.8 20.00%
sset 11.00%
11.00%
2
2
9.20%
10.10%
0.9 20.00%
1 20.00%
n 2 11.00% 1.1 20.00%
00%*1 2
2
11.90%
12.80%
1.2 20.00%
1.3 20.00%
3 3.5 2 13.70% 1.4 20.00%
sset 2 14.60% 1.5 20.00%
n 2
2
15.50%
16.40%
1.6 20.00%
1.7 20.00%
00%*2 2 17.30% 1.8 20.00%
2 18.20% 1.9 20.00%
n
00%*2
2 19.10% 2 20.00%
2 20.00%
%*1 = 11.00%
%*2 = 20.00%
%*2 = 20.00%
%*1 = 11.00%
m) / (1 Beta) = 'going rate', given Rf = 2.00%.
e the SML) and therefore is priced too low - High Rate / Low Price.
gests there should be at the given risk level. If we believed our model, we would buy.
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Rf 2.00%
Market Risk Premium =
E(RM) - Rf 9.00%
Stock Beta CAPM Pricing (Return)

A -0.5
B 0.5
C 1 Risk Reward Ratio = (E(RA)-
D 1.5 <<== CAPM
E 2
Estimate of E(RD) 14.50% Not buy.
Market thinks Stock D should be at 0.00%. If your calculations of E(RD) shows 14.50%,
would you buy?
No.
If others came to the same conclusion, buying and selling would lead to a drop in price
and a rise in return (price and return move in opposite directions).
Risk Reward Ratio = (E(RA)- Rf)/BA
Not buy
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Rf 2.00%
Market Risk Premium =
E(RM) - Rf 9.00%
Stock Beta CAPM Pricing (Return)

A -0.5 -2.500%
B 0.5 6.500%
C 1 11.00% Risk Reward Ratio
D 1.5 15.500% <<== CAPM 0.083333
E 2 20.0%
Estimate of E(RD) 14.50% Not buy.
Market thinks Stock D should be at 15.50%. If your calculations of E(RD) shows 14.50%,
would you buy?
No.
If others came to the same conclusion, buying and selling would lead to a drop in price
and a rise in return (price and return move in opposite directions).
Risk Reward Ratio
Not buy
1
2
3a
3b
3c
3d
3e
3f
4a
4b
4c
4d
4e
10
Systematic
Unsystematic
Unclear
Both
Total Risk of buying an asset comes from the risk that new information will become available and change the price of the asset
happens when it is announced that that day after thanksgiving retail sales are very low (or high), or when a law suit against a c
announced, or when a new innovative project is announced, or a new contact is signed (think of Boeing), or when inflation is h
or interest rates will be lowered by more than expected. Some of this new information affects just a few stocks and some affec
the information affects just a few stocks (or just one), this is called Asset Specific Risk, and when the new information affects m
called Systematic Risk (whole system is affected). Asset specific risk (unsystematic, diversifiable risk) is the risk that unexpected
affects the price of just a single stock, or group of stocks. When a portfolio of stocks are held, the assets specific risks will tend t
out, meaning that when one stock goes up, another will go down. Examples of asset specific risks are things like a new product
announcement or a law suit announcement or new information about the supply or demand of a commodity. Systematic risk i
unexpected news will occur that affects a large number of stocks, like government CPI or interest rate information. Since this so
information affects most stocks, when it comes out, all the assets in the portfolio tend to move and so this risk can not be diver
many different stocks. By holding many different types of financial assets, the level of asset specific risk (unsystematic risk) tend
just the cost of buying the different assets, but the systematic risk is not eliminated, unless you move closer to a risk-free asset
asset specific risk can be controlled by diversifying the portfolio, whereas, systematic risk can be controlled by lowering the exp
assets like T-bills only).
If this drop in growth from 5% to 2% is unexpected new information, security prices will tend to fall. If the drop had been antic
"priced into the stock market" or "discounted", then there would be no overall change in security prices.
Systematic
Unsystematic
Both. Industries like Airlines and Trucking may be affected more heavily than mots other types of companies
Unsystematic
Unsystematic
Systematic
It would tend to cause stocks in general and Big Widget Corp in particual to move. Probably move down because when inflatio
stuff then costs more and expenses would tend to be higher.
If the information in the report was fully anticipated, then all the info would already be "discounted" into prices and so price of
move. The return would be equal to the expected return. There is no new asset specific information.
This is not new unexpected system information and so it would not tend to "move the market" (cause prices to change).
This is asset specific risk and would make the price change. This event would create uncertainly about the future direction of th
about the future is a risk that would demand more return, and when return goes up, price goes down.
This may only have a small systematic affect because if it was debated for months, people probably already have the tax chang
market prices.
No - since risky assets are defined as assets that have systematic risk, it is not possible. The expected return of an asset with a B
Free Rate, like a T-bill rate. A negative Beta is possible because there are asset returns that move in the opposite direction of th
Companies that do well in economic downturns like liquidation companies or pawn shops or Reposition Companies. Companie
negative Risk Premium. E(Ri) - Rf = (a negative number). Negative because the return would be less than the Risk Free Return. I
pay the negative risk premium to get the diversification benefit of the hedge against market moves downward.
Past numbers are relevant because when estimating the unknown future, the past is usually the best info we have for making p
the future events are not similar to past events, then the model used may give us the wrong answer. In regards to Accounting
publically traded companies where stock holders are "outside the company" and managers are "inside the company", accounti
usually the best info we can get. In fact, GAPP accounting is the mechanism that has been developed to get info from inside to
1
3a
3b
3c
3d
3e
3f
4a
4b
4c
4d
4e
10
Systematic
Unsystematic
Unclear
Both
Stock A B
Invested 1500 2600
E(Ri) 0.1 0.16
Weight 0.365854 0.634146
E(RP)
Stock A B
Invested 1500 2600
E(Ri) 0.1 0.16
Weight 0.365854 0.634146
E(RP) 0.138049
Stock A B C
E(Ri) 0.1 0.13 0.15
Weight 0.25 0.4 0.35 1
E(RP)
Stock A B C
E(Ri) 0.1 0.13 0.15
Weight 0.25 0.4 0.35 1
E(RP) 0.1295
State of Prob. Og State of Stock A Return Stock B Return
Economy Economy if State Occurs if State Occurs
Recession 0.2 0.01 -0.25
Normal 0.55 0.09 0.15
Boom 0.25 0.14 0.38
E(Ri)
SDi
E(Ri)
SDi
Add
SQRT
State of Prob. Og State of Stock A Return Stock B Return
Economy Economy if State Occurs if State Occurs
Recession 0.2 0.01 -0.25 0.002
Normal 0.55 0.09 0.15 0.0495
Boom 0.25 0.14 0.38 0.035
E(Ri) 0.0865
0.00117
6.74E-06
0.000716
0.001893
SDi 0.043506
E(Ri) 0.0865
SDi 0.043506
-0.05
0.0825
0.095
0.1275
0.022646
0.002218
0.021536
0.0464 Add
0.215406 SQRT
0.1275
0.211468
Weight 0.3 0.4 0.3 1
State of Prob. Of State of Stock A Return Stock B Return Stock C Return Portfolio Return
Economy Economy if State Occurs if State Occurs if State Occurs if State Ocurrs
Bust 0.05 -0.11 -0.25 -0.09
Poor 0.35 0.01 0.02 -0.05
Good 0.45 0.12 0.1 0.17
Boom 0.15 0.35 0.45 0.33
E(RP)
E(RP)
E(RP)
E(RP)
Portfolio
Return if (Portfolio Return
State Ocurrs - E(RP))^2*Pro
Total
SDP SQRT
SDP
Weight 0.3 0.4 0.3 1
State of Prob. Of State of Stock A Return Stock B Return Stock C Return Portfolio Return
Economy Economy if State Occurs if State Occurs if State Occurs if State Ocurrs
Bust 0.05 -0.11 -0.25 -0.09 -0.16
Poor 0.35 0.01 0.02 -0.05 -0.004
Good 0.45 0.12 0.1 0.17 0.127
Boom 0.15 0.35 0.45 0.33 0.384
E(RP) 0.10535
E(RP) 0.10535
E(RP) 0.10535
E(RP) 0.10535
Portfolio
Return if (Portfolio Return
State Ocurrs - E(RP))^2*Pro
-0.16 0.0035205311
-0.004 0.0041850979
0.127 0.0002109251
0.384 0.0116468734
0.0195634275 Total
SDP 0.1398693229 SQRT
SDP 0.1398693229
Stock Q R S T
Weight 0.25 0.2 0.45 0.1 1
Beta 0.85 0.91 1.31 1.76
BetaP
Stock Q R S T
Weight 0.25 0.2 0.45 0.1 1
Beta 0.85 0.91 1.31 1.76
BetaP 1.16
Stock E(RM) RF S1 S2
Weight 0.333333 0.333333 0.333333 1
E(R)
Beta 1 0 ?? 1.31
1 = BS1 * WS1 + BS2 * WS2

1 = BS1 *1/3 + 1.31 * 1/3
BS1 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
Stock E(RM) RF S1 S2
Weight 0.333333 0.333333 0.333333 1
E(R)
Beta 1 0 ?? 1.31
1 = BS1 * WS1 + BS2 * WS2

1 = BS1 *1/3 + 1.31 * 1/3
BS1 1.69 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
Beta of asset 1.25
E(RM) 0.117
Rf 0.045
E(Ri) E(Ri) = Rf + (E(RM) - Rf)*Bi
Beta of asset 1.25
E(RM) 0.117
Rf 0.045
E(Ri) 0.135 E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf 0.069
Rf 0.055
E(Ri) 0.142
Bi = (E(Ri)-Rf)/(E(RM)-Rf)
E(Ri) = Rf + (E(RM) - Rf)*Bi

E(RM) - Rf 0.069
Rf 0.055
E(Ri) 0.142
Bi = (E(Ri)-Rf)/(E(RM)-Rf) 1.26087

Beta of asset 0.85
E(RM) - Rf (E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055
E(Ri) 0.11

Beta of asset 0.85
E(RM) - Rf 0.119706 (E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055
E(Ri) 0.11

Beta of asset 1.15
E(RM) 0.109
Rf (E(Ri) - Bi * E(RM))/(1 - Bi)
E(Ri) 0.119

Beta of asset 1.15
E(RM) 0.109
Rf 0.042333 (E(Ri) - Bi * E(RM))/(1 - Bi)
E(Ri) 0.119

a Stock A
Beta 1.2
E(Ri) 0.118
Rf 0.038
Weight of Stock A Weight of Stock Rf E(RP) E(RP) using CAPM
0.5 0.5
b
BP 0.8
BP = Bi * Wi + Brf * Wrf
0.8 = 1.2 * Wi + 0 * (1-Wi)
0.8 / 1.2 = Wi
Wrf
c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

.11 = .118 * Wi + .038 * (1 - Wi)
.11 = .118 * Wi + .038 - .038Wi
(.11 -.038) / (.118 - .038) = Wi
d BP 2.4
2.4 = 1.2 * Wi + 0 * (1-Wi)
2.4 / 1.2 = Wi Invested 200% in stock because of borrowing
Wrf Invested -100% in Rf because of borrowing. Represents borrowing at Risk F
2.4 = 1.2 * 2
ng. Represents borrowing at Risk Free Rate
a Stock A
Beta 1.2
E(Ri) 0.118
Rf 0.038
Weight of Stock A Weight of Stock Rf E(RP) E(RP) using CAPM
0.5 0.5 0.078
b
BP 0.8
0.8 = 1.2 * Wi + 0 * (1-Wi)
0.8 / 1.2 = Wi 0.6666666667
Wrf 0.3333333333
c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

0.9 .11 = .118 * Wi + .038 * (1 - Wi)
.11 = .118 * Wi + .038 - .038Wi
(.11 -.038) / (.118 - .038) = Wi
d BP 2.4
2.4 = 1.2 * Wi + 0 * (1-Wi)
2.4 / 1.2 = Wi 2 Invested 200% in stock because of borrowing
Wrf -1 Invested -100% in Rf because of borrowing. Represents borrowing at Risk F
2.4 = 1.2 * 2
ng. Represents borrowing at Risk Free Rate
Asset W
E(RW) 0.13
BW 1.25
Rf 0.045
Risk Premium = E(RM) - Rf (E(Ri) - Rf)/Bi = E(RM) - Rf
E(RM) - Rf
Portfolio
Percentage of Portfolio in Portfolio Expected
W Beta Return
0
0.25
0.5
0.75
1
1.25
1.5
Asset W
E(RW) 0.13
BW 1.25
Rf 0.045
Risk Premium = E(RM) - Rf 0.068 (E(Ri) - Rf)/Bi = E(RM) - Rf
E(RM) - Rf 0.068
P
Portfolio
o
r Portfolio Expected Return
Percentage of Portfolio in Portfolio Expected t
0.2
f
W Beta Return o 0.18
0.16 f(x) = 0.068x + 0.045
0 0 0.045 l
0.14
i
0.25 0.3125 0.06625 o 0.12
0.1
0.5 0.625 0.0875 E 0.08
x 0.06
0.75 0.9375 0.10875 p 0.04
1 1.25 0.13 e
c
0.02
0
1.25 1.5625 0.15125 t
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8
e
1.5 1.875 0.1725 d Portfolio Beta
R
e
t
u
r
n
d Return
1.2 1.4 1.6 1.8 2

ta
Stock Y
Beta 1.3
E(RY) 0.13
Expected Return using CAPM is higher than the Expected Return given.
calculated using CAMP prices the risk (systematic risk) at 13.6%. This mean
CAPM => E(RY) = Rf + 13% is below the SML, which means the stock is over valued - Low Rate /
(E(RM)-Rf)*BY 0.136 enough reward for the given risk level.
Stock Y is offering a 6.54% return for 1 unit of Systematic Risk. Since the M
0.07, we can see that Y is not offering a rate high enough. In a competitiv
Reward To Risk Ratio this stock will be bid down. In theory, this stock will bid down until the r
=> (E(RY) - Rf)/BY 0.0653846154 return offered in the market.
Stock Z
Beta 0.75
E(RZ) 0.105
Expected Return using CAPM is lower than the Expected Return given. T
calculated using CAPM prices the risk (systematic risk) at 9.75%. The give
high (above the SML) and there for is priced too low - High Rate / Low
CAPM => E(RZ) = Rf + reward than the model suggests there should be at the given risk level. If w
(E(RM)-Rf)*BZ 0.0975 we would buy.
Stock Z is offering a 8.00% return for 1 unit of Systematic Risk. Since the M
0.07, we can see that Z is offering a higher rate. In a competitive market
Reward To Risk Ratio should be bid up. In theory, this stock should be bid up until the return i
=> (E(RZ) - Rf)/BZ 0.08 offered in the market.
Rf 0.045
Market Risk Premium
= E(RM) - Rf 0.07
Goal Are stocks priced correctly?
Check:
an the Expected Return given. The Expected Return
matic risk) at 13.6%. This means that the given rate of
ck is over valued - Low Rate / High Price. There is not
d for the given risk level.
of Systematic Risk. Since the Market Risk Premium is

te high enough. In a competitive market the price of
s stock will bid down until the return is equal to the
ered in the market.
n the Expected Return given. The Expected Return

ematic risk) at 9.75%. The given rate of 10.5% is too
ced too low - High Rate / Low Price. There is more
ld be at the given risk level. If we believed our model,
e would buy.
of Systematic Risk. Since the Market Risk Premium is

rate. In a competitive market the price of this stock
uld be bid up until the return is equal to the return
d in the market.
Stock Y
Beta 1.3
E(RY) 0.13
CAPM => E(RY) = Rf + (E(RM)-Rf)*BY
Reward To Risk Ratio => (E(RY) - Rf)/BY
Stock Z
Beta 0.75
E(RZ) 0.105
CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ
Reward To Risk Ratio => (E(RZ) - Rf)/BZ
Rf 0.045
Market Risk Premium = E(RM) - Rf 0.07
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75
…
Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75)
Stock Y
Beta 1.3
E(RY) 0.13
CAPM => E(RY) = Rf + (E(RM)-Rf)*BY 0.136
Reward To Risk Ratio => (E(RY) - Rf)/BY 0.0653846154
Stock Z
Beta 0.75
E(RZ) 0.105
CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ 0.0975
Reward To Risk Ratio => (E(RZ) - Rf)/BZ 0.08
Rf 0.045
Market Risk Premium = E(RM) - Rf 0.07
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75
…
Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75) 0.0709090909
Historical
Average
Return =
Investment RH
Large Stocks 11.70%
Small Stocks 16.40%
Long-term Corporate Bonds 6.20%
Long-term Government Bonds 6.10%
U.S. Treasury Bills = Rf 3.80%
Inflation = I 3.10%
WLC 50.00%
E(RLC) 11.70%
WLTB 50.00%
E(RLTB) 6.20%
E(RP)
WS 50.00%
E(Rs) 16.40%
Wrf 50.00%
E(Rrf) 3.80%
E(RP)
Historical
Average
Return =
Investment RH
Large Stocks 11.70%
Small Stocks 16.40%
Long-term Corporate Bonds 6.20%
Long-term Government Bonds 6.10%
U.S. Treasury Bills = Rf 3.80%
Inflation = I 3.10%
WLC 50.00%
E(RLC) 11.70%
WLTB 50.00%
E(RLTB) 6.20%
E(RP) 8.9500%
WS 50.00%
E(Rs) 16.40%
Wrf 50.00%
E(Rrf) 3.80%
E(RP) 10.1000%
Total To Invest $250,000.00
E(RH) 0.14
E(RL) 0.101 Target
E(RP) 0.1205 0.12
WH 0.5
WL 0.5
Amount To Invest In H $125,000.00
Total To Invest $250,000.00
E(RH) 0.14
E(RL) 0.101 Target
E(RP) 0.12 Used Goal Seek 0.12
WH 0.4871794872
WL 0.5128205128
BJ 1.2
E(RJ) 0.1316
BK 0.75
E(RK) 0.101
Goal: Portfolio w Same Risk as Market
Beta of Market = 1
1 = BJ*WJ + BK*(1-WJ)
(1-.75)/(1.2-.75) = WJ
WJ WJ
WK 1-WJ
E(RP)
BJ 1.2
E(RJ) 0.1316
BK 0.75
E(RK) 0.101
Goal: Portfolio w Same Risk as Market
Beta of Market = 1
1 = BJ*WJ + BK*(1-WJ)
(1-.75)/(1.2-.75) = WJ
WJ 0.555556 WJ
WK 0.444444 1-WJ
E(RP) 0.118
Weight 0.4 0.4 0.2 1
Estimated Stock Estimated Stock Estimated Stock
State Of Prob of Return of A if Return of B if Return of C if Return If State
Ecomnomy State State Occurs State Occurs State Occurs Occurs
Boom 0.15 0.02 0.32 0.6
Normal 0.55 0.1 0.12 0.2
Bust 0.3 0.16 -0.11 -0.35
E(RP)
Total Risk = SDP SQRT
Rf 0.0375
E(RP) - Rf Expected Risk Premium
Deviation^2*
Prob
add
Expected Risk Premium

Weight 0.4 0.4 0.2 1
Estimated Stock Estimated Stock Estimated Stock
State Of Prob of Return of A if Return of B if Return of C if Return If State
Ecomnomy State State Occurs State Occurs State Occurs Occurs
Boom 0.15 0.02 0.32 0.6 0.256
Normal 0.55 0.1 0.12 0.2 0.128
Bust 0.3 0.16 -0.11 -0.35 -0.05
E(RP) 0.0938
Total Risk = SDP 0.1038901343 SQRT
Rf 0.0375
E(RP) - Rf 0.0563 Expected Risk Premium
Deviation^2*
Prob
0.003946326
0.000643302
0.006203532
0.01079316 add
Expected Risk Premium

Estimated Stock Estimated Stock
Return of I if State Return of II if
State Of Economy Prob of State Occurs State Occurs
Recession 0.25 0.02 -0.2
More Total Risk
Normal 0.6 0.32 0.12 and low Beta
Irrational Exuberance 0.15 0.18 0.4 (systematic risk)
means more
E(R) unsystematic Risk
Total Risk = SD
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*Bi
Solve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi Higher Beta means
more Systematic Risk
Most Systematic Risk?
Most Unsystematic Risk?
Market Risk Premium 0.11
Rf 0.04
ore Total Risk
d low Beta
ystematic risk)
eans more
systematic Risk
ta means
ematic Risk
Estimated Stock Estimated Stock
Return of I if State Return of II if
State Of Economy Prob of State Occurs State Occurs
Recession 0.25 0.02 -0.2
More Total Risk
Normal 0.6 0.32 0.12 and low Beta
Irrational Exuberance 0.15 0.18 0.4 (systematic risk)
means more
E(R) 0.224 0.082 unsystematic Risk
Total Risk = SD 0.1273734666 0.1895151709
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*Bi
Solve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi Higher Beta means
more Systematic Risk
Most Systematic Risk? 1.6727272727 0.3818181818
Most Unsystematic Risk?
Market Risk Premium 0.11
Rf 0.04
ore Total Risk
d low Beta
ystematic risk)
eans more
systematic Risk
ta means
ematic Risk
http://finance.yahoo.com/ Good
www.stlouisfed.org
http://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
3 month 0.0016
Mean -0.003598 check Mean
Geomean -0.014096 1.41 Geomean
STDEV 0.1500998 STDEV
Beta 0.0628437
Stock FLIR Index S&P 500

Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 1
2 10/1/2010 27.84 0.0160583942 10/1/2010 1183.26 -0.005162 1
3 9/1/2010 25.7 -0.0768678161 9/1/2010 1141.2 -0.035546 1
4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 1
5 7/1/2010 29.76 0.1856573705 7/1/2010 1101.6 0.0498127 1
6 6/1/2010 29.09 -0.0225134409 6/1/2010 1030.71 -0.064352 1
7 5/3/2010 28.49 -0.0206256446 5/3/2010 1089.41 0.056951 1
8 4/1/2010 30.59 0.0737100737 4/1/2010 1186.69 0.089296 1
9 3/1/2010 28.18 -0.0787839163 3/1/2010 1169.43 -0.014545 1
10 2/1/2010 26.81 -0.0486160397 2/1/2010 1104.49 -0.055531 1
11 1/4/2010 29.58 0.1033196568 1/4/2010 1073.87 -0.027723 1
12 12/1/2009 32.73 0.1064908722 12/1/2009 1115.1 0.0383938 1
13 11/2/2009 28.7 -0.1231286282 11/2/2009 1095.63 -0.01746 1
14 10/1/2009 27.81 -0.031010453 10/1/2009 1036.19 -0.054252 1
15 9/1/2009 27.97 0.0057533261 9/1/2009 1057.08 0.0201604 1
16 8/3/2009 23.02 -0.1769753307 8/3/2009 1020.62 -0.034491 1
17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 1
18 6/1/2009 22.56 0.0497906003 6/1/2009 919.32 -0.069024 1
19 5/1/2009 22.46 -0.0044326241 5/1/2009 919.14 -0.000196 1
20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 1
21 3/2/2009 20.48 -0.0766456267 3/2/2009 797.87 -0.085861 1
22 2/2/2009 20.41 -0.0034179688 2/2/2009 735.09 -0.078684 1
23 1/2/2009 24.97 0.2234198922 1/2/2009 825.88 0.1235087 1
24 12/1/2008 30.68 0.2286744093 12/1/2008 903.25 0.0936819 1
25 11/3/2008 31 0.0104302477 11/3/2008 896.24 -0.007761 1
26 10/1/2008 32.1 0.035483871 10/1/2008 968.75 0.0809047 1
27 9/2/2008 38.42 0.1968847352 9/2/2008 1166.36 0.2039845 1
28 8/1/2008 35.7 -0.0707964602 8/1/2008 1282.83 0.0998577 1
29 7/1/2008 40.74 0.1411764706 7/1/2008 1267.38 -0.012044 1
30 6/2/2008 40.57 -0.0041728031 6/2/2008 1280 0.0099576 1
31 5/1/2008 39.42 -0.0283460685 5/1/2008 1400.38 0.0940469 1
32 4/1/2008 34.33 -0.129122273 4/1/2008 1385.59 -0.010561 1
33 3/3/2008 30.09 -0.1235071366 3/3/2008 1322.7 -0.045389 1
34 2/1/2008 28.46 -0.0541708209 2/1/2008 1330.63 0.0059953 1
35 1/2/2008 30.28 0.0639494027 1/2/2008 1378.55 0.036013 1
36 12/3/2007 31.3 0.0336856011 12/3/2007 1468.36 0.0651482 1
37 11/1/2007 34.37 0.0980830671 11/1/2007 1481.14 0.0087036 1
38 10/1/2007 34.69 0.0093104452 10/1/2007 1549.38 0.0460726 1
39 9/4/2007 27.69 -0.2017872586 9/4/2007 1526.75 -0.014606 1
40 8/1/2007 24.62 -0.1108703503 8/1/2007 1473.99 -0.034557 1
41 7/2/2007 21.83 -0.113322502 7/2/2007 1455.27 -0.0127 1
42 6/1/2007 23.12 0.0590929913 6/1/2007 1503.35 0.0330385 1
43 5/1/2007 20.68 -0.1055363322 5/1/2007 1530.62 0.0181395 1
44 4/2/2007 20.25 -0.0207930368 4/2/2007 1482.37 -0.031523 1
45 3/1/2007 17.83 -0.1195061728 3/1/2007 1420.86 -0.041494 1
46 2/1/2007 17.38 -0.0252383623 2/1/2007 1406.82 -0.009881 1
47 1/3/2007 15.45 -0.1110471807 1/3/2007 1438.24 0.0223341 1
48 12/1/2006 15.91 0.0297734628 12/1/2006 1418.3 -0.013864 1
49 11/1/2006 16.1 0.0119421747 11/1/2006 1400.63 -0.012459 1
50 10/2/2006 15.97 -0.0080745342 10/2/2006 1377.94 -0.0162 1
51 9/1/2006 13.58 -0.1496556043 9/1/2006 1335.85 -0.030546 1
52 8/1/2006 13.85 0.0198821797 8/1/2006 1303.82 -0.023977 1
53 7/3/2006 11.99 -0.1342960289 7/3/2006 1276.66 -0.020831 1
54 6/1/2006 11.45 -0.0450375313 6/1/2006 1270.2 -0.00506 1
55 5/1/2006 12.81 0.1187772926 5/1/2006 1270.09 -8.66E-05 1
56 4/3/2006 12.23 -0.0452771272 4/3/2006 1310.61 0.0319033 1
57 3/1/2006 14.2 0.1610793132 3/1/2006 1294.87 -0.01201 1
58 2/1/2006 12.92 -0.0901408451 2/1/2006 1280.66 -0.010974 1
59 1/3/2006 11.85 -0.0828173375 1/3/2006 1280.08 -0.000453 1
60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 1
61 11/1/2005 12.4 0.1111111111 11/1/2005 1249.48 0.0009533 1
62 10/3/2005 10.48 -0.1548387097 10/3/2005 1207.01 -0.03399 1
63 9/1/2005 14.78 0.4103053435 9/1/2005 1228.81 0.0180612 1
64 8/1/2005 16.15 0.0926928281 8/1/2005 1220.33 -0.006901 1
65 7/1/2005 16.44 0.0179566563 7/1/2005 1234.18 0.0113494 1
66 6/1/2005 14.92 -0.0924574209 6/1/2005 1191.33 -0.034719 1
67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 1
68 4/1/2005 13.3 -0.0074626866 4/1/2005 1156.85 -0.029081 1
69 3/1/2005 15.15 0.1390977444 3/1/2005 1180.59 0.0205212 1
70 2/1/2005 15.62 0.0310231023 2/1/2005 1203.6 0.0194903 1
71 1/3/2005 15.24 -0.0243277849 1/3/2005 1181.27 -0.018553 1
72 12/1/2004 15.95 0.0465879265 12/1/2004 1211.92 0.0259467 1
73 11/1/2004 14.09 -0.1166144201 11/1/2004 1173.82 -0.031438 1
74 10/1/2004 13.3 -0.0560681334 10/1/2004 1130.2 -0.037161 1
75 9/1/2004 14.62 0.0992481203 9/1/2004 1114.58 -0.013821 1
76 8/2/2004 14.59 -0.0020519836 8/2/2004 1104.24 -0.009277 1
77 7/1/2004 15.91 0.0904729267 7/1/2004 1101.72 -0.002282 1
78 6/1/2004 13.73 -0.1370207417 6/1/2004 1140.84 0.0355081 1
79 5/3/2004 12.3 -0.1041514931 5/3/2004 1120.68 -0.017671 1
80 4/1/2004 11.71 -0.0479674797 4/1/2004 1107.3 -0.011939 1
81 3/1/2004 9.53 -0.1861656704 3/1/2004 1126.21 0.0170776 1
82 2/2/2004 9.61 0.0083945435 2/2/2004 1144.94 0.016631 1
83 1/2/2004 9.05 -0.0582726327 1/2/2004 1131.13 -0.012062 1
84 12/1/2003 9.12 0.0077348066 12/1/2003 1111.92 -0.016983 1
85 11/3/2003 8.61 -0.0559210526 11/3/2003 1058.2 -0.048313 1
86 10/1/2003 7.82 -0.0917537747 10/1/2003 1050.71 -0.007078 1
87 9/2/2003 6.36 -0.1867007673 9/2/2003 995.97 -0.052098 1
88 8/1/2003 6.61 0.0393081761 8/1/2003 1008.01 0.0120887 1
89 7/1/2003 6.78 0.0257186082 7/1/2003 990.31 -0.017559 1
90 6/2/2003 7.53 0.110619469 6/2/2003 974.5 -0.015965 1
91 5/1/2003 7.13 -0.0531208499 5/1/2003 963.59 -0.011195 1
92 4/1/2003 6.51 -0.0869565217 4/1/2003 916.92 -0.048433 1
93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 1
94 2/3/2003 5.53 -0.0674536256 2/3/2003 841.15 -0.008288 1
95 1/2/2003 5.84 0.0560578662 1/2/2003 855.7 0.0172977 1
96 12/2/2002 6.1 0.0445205479 12/2/2002 879.82 0.0281874 1
97 11/1/2002 5.44 -0.1081967213 11/1/2002 936.31 0.0642063 1
98 10/1/2002 5.92 0.0882352941 10/1/2002 885.76 -0.053989 1
99 9/3/2002 4.37 -0.2618243243 9/3/2002 815.28 -0.07957 1
100 8/1/2002 4.74 0.0846681922 8/1/2002 916.07 0.1236262 1
101 7/1/2002 5.11 0.0780590717 7/1/2002 911.62 -0.004858 1
102 6/3/2002 5.25 0.0273972603 6/3/2002 989.82 0.0857814 1
103 5/1/2002 5.53 0.0533333333 5/1/2002 1067.14 0.0781152 1
104 4/1/2002 4.98 -0.0994575045 4/1/2002 1076.92 0.0091647 1
105 3/1/2002 5.97 0.1987951807 3/1/2002 1147.39 0.0654366 1
106 2/4/2002 6.82 0.1423785595 2/1/2002 1106.73 -0.035437 0
107 1/2/2002 5.71 -0.1627565982 1/2/2002 1130.2 0.0212066 1
108 12/3/2001 4.74 -0.1698774081 12/3/2001 1148.08 0.0158202 1
109 11/1/2001 5.02 0.05907173 11/1/2001 1139.45 -0.007517 1
110 10/1/2001 5.79 0.1533864542 10/1/2001 1059.78 -0.06992 1
111 9/4/2001 5.13 -0.1139896373 9/4/2001 1040.94 -0.017777 1
112 8/1/2001 3.53 -0.3118908382 8/1/2001 1133.58 0.0889965 1
113 7/2/2001 3.76 0.0651558074 7/2/2001 1211.23 0.0684998 1
114 6/1/2001 3.13 -0.1675531915 6/1/2001 1224.38 0.0108567 1
115 5/1/2001 2.01 -0.357827476 5/1/2001 1255.82 0.0256783 1
116 4/2/2001 1.72 -0.144278607 4/2/2001 1249.46 -0.005064 1
117 3/1/2001 1.02 -0.4069767442 3/1/2001 1160.33 -0.071335 1
118 2/1/2001 0.88 -0.137254902 2/1/2001 1239.94 0.0686098 1
119 1/2/2001 0.62 -0.2954545455 1/2/2001 1366.01 0.1016743 1
120 12/1/2000 0.7 0.1290322581 12/1/2000 1320.28 -0.033477 1
121 11/1/2000 0.45 -0.3571428571 11/1/2000 1314.95 -0.004037 1
122 10/2/2000 0.75 0.6666666667 10/2/2000 1429.4 0.0870375 1
123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 1
124 8/1/2000 0.7 -0.0666666667 8/1/2000 1517.68 0.056505 1
125 7/3/2000 0.97 0.3857142857 7/3/2000 1430.83 -0.057226 1
126 6/23/2000 0.81 -0.1649484536 6/1/2000 1454.6 0.0166127 0
127 5/1/2000 1.15 0.4197530864 5/1/2000 1420.6 -0.023374 1
128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 1
129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 1
130 2/1/2000 1.98 0.7217391304 2/1/2000 1366.42 -0.08819 1
131 1/3/2000 2.3 0.1616161616 1/3/2000 1394.46 0.0205208 1
132 12/1/1999 2.03 -0.1173913043 12/1/1999 1469.25 0.0536337 1
133 11/1/1999 1.91 -0.0591133005 11/1/1999 1388.91 -0.054681 1
134 10/1/1999 1.77 -0.0732984293 10/1/1999 1362.93 -0.018705 1
135 9/1/1999 1.62 -0.0847457627 9/1/1999 1282.71 -0.058858 1
136 8/2/1999 2.06 0.2716049383 8/2/1999 1320.41 0.0293909 1
137 7/1/1999 2.2 0.067961165 7/1/1999 1328.72 0.0062935 1
138 6/1/1999 1.89 -0.1409090909 6/1/1999 1372.71 0.0331071 1
139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 1
140 4/1/1999 1.72 0.0299401198 4/1/1999 1335.18 0.0256099 1
141 3/1/1999 2.27 0.3197674419 3/1/1999 1286.37 -0.036557 1
142 2/1/1999 2.3 0.013215859 2/1/1999 1238.33 -0.037345 1
143 1/4/1999 2.73 0.1869565217 1/4/1999 1279.64 0.0333594 1
144 12/1/1998 2.91 0.0659340659 12/1/1998 1229.23 -0.039394 1
145 11/2/1998 2.41 -0.1718213058 11/2/1998 1163.63 -0.053367 1
146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 1
147 9/1/1998 1.66 -0.2132701422 9/1/1998 1017.01 -0.074326 1
148 8/3/1998 1.31 -0.2108433735 8/3/1998 957.28 -0.058731 1
149 7/1/1998 2.09 0.5954198473 7/1/1998 1120.67 0.1706815 1
150 6/1/1998 2.16 0.033492823 6/1/1998 1133.84 0.0117519 1
151 5/1/1998 2.34 0.0833333333 5/1/1998 1090.82 -0.037942 1
152 4/1/1998 2.58 0.1025641026 4/1/1998 1111.75 0.0191874 1
153 3/2/1998 2.53 -0.019379845 3/2/1998 1101.75 -0.008995 1
154 2/2/1998 2.41 -0.04743083 2/2/1998 1049.34 -0.04757 1
155 1/2/1998 2.22 -0.0788381743 1/2/1998 980.28 -0.065813 1
156 12/1/1997 2.59 0.1666666667 12/1/1997 970.43 -0.010048 1
157 11/3/1997 2.47 -0.0463320463 11/3/1997 955.4 -0.015488 1
158 10/1/1997 2.62 0.0607287449 10/1/1997 914.62 -0.042684 1
159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 1
160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 1
161 7/1/1997 2.55 0.1038961039 7/1/1997 954.31 0.0609692 1
162 6/2/1997 1.97 -0.2274509804 6/2/1997 885.14 -0.072482 1
163 5/1/1997 2 0.0152284264 5/1/1997 848.28 -0.041643 1
164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 1
165 3/3/1997 2.03 0.041025641 3/3/1997 757.12 -0.055183 1
166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 1
167 1/2/1997 1.81 -0.0717948718 1/2/1997 786.16 -0.005893 1
168 12/2/1996 1.72 -0.0497237569 12/2/1996 740.74 -0.057774 1
169 11/1/1996 1.7 -0.011627907 11/1/1996 757.02 0.021978 1
170 10/1/1996 1.75 0.0294117647 10/1/1996 705.27 -0.06836 1
171 9/3/1996 1.64 -0.0628571429 9/3/1996 687.33 -0.025437 1
172 8/1/1996 1.72 0.0487804878 8/1/1996 651.99 -0.051416 1
173 7/1/1996 1.61 -0.0639534884 7/1/1996 639.95 -0.018467 1
174 6/3/1996 1.53 -0.049689441 6/3/1996 670.63 0.0479412 1
175 5/1/1996 1.75 0.1437908497 5/1/1996 669.12 -0.002252 1
176 4/1/1996 1.59 -0.0914285714 4/1/1996 654.17 -0.022343 1
177 3/1/1996 1.53 -0.0377358491 3/1/1996 645.5 -0.013253 1
178 2/1/1996 1.56 0.0196078431 2/1/1996 640.43 -0.007854 1
179 1/2/1996 1.31 -0.1602564103 1/2/1996 636.02 -0.006886 1
180 12/1/1995 1.53 0.1679389313 12/1/1995 615.93 -0.031587 1
181 11/1/1995 1.62 0.0588235294 11/1/1995 605.37 -0.017145 1
182 10/2/1995 1.59 -0.0185185185 10/2/1995 581.5 -0.03943 1
183 9/1/1995 1.53 -0.0377358491 9/1/1995 584.41 0.0050043 1
184 8/1/1995 1.62 0.0588235294 8/1/1995 561.88 -0.038552 1
185 7/3/1995 1.77 0.0925925926 7/3/1995 562.06 0.0003204 1
186 6/1/1995 1.78 0.0056497175 6/1/1995 544.75 -0.030797 1
187 5/1/1995 1.56 -0.1235955056 5/1/1995 533.4 -0.020835 1
188 4/3/1995 1.75 0.1217948718 4/3/1995 514.71 -0.035039 1
189 3/1/1995 1.94 0.1085714286 3/1/1995 500.71 -0.0272 1
190 2/1/1995 1.81 -0.0670103093 2/1/1995 487.39 -0.026602 1
191 1/3/1995 1.75 -0.0331491713 1/3/1995 470.42 -0.034818 1
192 12/1/1994 1.62 -0.0742857143 12/1/1994 459.27 -0.023702 1
193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 1
194 10/3/1994 1.69 0.0432098765 10/3/1994 472.35 0.0411294 1
195 9/1/1994 1.53 -0.0946745562 9/1/1994 462.71 -0.020409 1
196 8/1/1994 1.5 -0.0196078431 8/1/1994 475.49 0.0276199 1
197 7/1/1994 1.72 0.1466666667 7/1/1994 458.26 -0.036236 1
198 6/1/1994 1.61 -0.0639534884 6/1/1994 444.27 -0.030529 1
199 5/2/1994 1.75 0.0869565217 5/2/1994 456.5 0.0275283 1
200 4/4/1994 1.83 0.0457142857 4/4/1994 450.91 -0.012245 1
201 3/1/1994 1.72 -0.0601092896 3/1/1994 445.77 -0.011399 1
202 2/1/1994 1.52 -0.1162790698 2/1/1994 467.14 0.0479395 1
203 1/3/1994 1.53 0.0065789474 1/3/1994 481.61 0.0309757 1
204 12/1/1993 1.22 -0.2026143791 12/1/1993 466.45 -0.031478 1
205 11/1/1993 1.34 0.0983606557 11/1/1993 461.79 -0.00999 1
206 10/1/1993 1.38 0.0298507463 10/1/1993 467.83 0.0130795 1
207 9/1/1993 1.5 0.0869565217 9/1/1993 458.93 -0.019024 1
208 8/2/1993 1.22 -0.1866666667 8/2/1993 463.56 0.0100887 1
209 7/1/1993 1.34 0.0983606557 7/1/1993 448.13 -0.033286 1
210 6/22/1993 1.41 0.052238806 6/22/1993 450.53 0.0053556 1
-0.00360382
-0.00463411 check
0.046093772 450.53
http://finance.yahoo.com/ Good
www.stlouisfed.org
http://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
3 month 0.0016
Mean -0.003598 check Mean
Geomean -0.014096 1.41 Geomean
STDEV 0.1500998 STDEV
Beta 0.0628437
Stock FLIR Index S&P 500

Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 1
2 10/1/2010 27.84 0.0160583942 10/1/2010 1183.26 -0.005162 1
3 9/1/2010 25.7 -0.0768678161 9/1/2010 1141.2 -0.035546 1
4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 1
5 7/1/2010 29.76 0.1856573705 7/1/2010 1101.6 0.0498127 1
6 6/1/2010 29.09 -0.0225134409 6/1/2010 1030.71 -0.064352 1
7 5/3/2010 28.49 -0.0206256446 5/3/2010 1089.41 0.056951 1
8 4/1/2010 30.59 0.0737100737 4/1/2010 1186.69 0.089296 1
9 3/1/2010 28.18 -0.0787839163 3/1/2010 1169.43 -0.014545 1
10 2/1/2010 26.81 -0.0486160397 2/1/2010 1104.49 -0.055531 1
11 1/4/2010 29.58 0.1033196568 1/4/2010 1073.87 -0.027723 1
12 12/1/2009 32.73 0.1064908722 12/1/2009 1115.1 0.0383938 1
13 11/2/2009 28.7 -0.1231286282 11/2/2009 1095.63 -0.01746 1
14 10/1/2009 27.81 -0.031010453 10/1/2009 1036.19 -0.054252 1
15 9/1/2009 27.97 0.0057533261 9/1/2009 1057.08 0.0201604 1
16 8/3/2009 23.02 -0.1769753307 8/3/2009 1020.62 -0.034491 1
17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 1
18 6/1/2009 22.56 0.0497906003 6/1/2009 919.32 -0.069024 1
19 5/1/2009 22.46 -0.0044326241 5/1/2009 919.14 -0.000196 1
20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 1
21 3/2/2009 20.48 -0.0766456267 3/2/2009 797.87 -0.085861 1
22 2/2/2009 20.41 -0.0034179688 2/2/2009 735.09 -0.078684 1
23 1/2/2009 24.97 0.2234198922 1/2/2009 825.88 0.1235087 1
24 12/1/2008 30.68 0.2286744093 12/1/2008 903.25 0.0936819 1
25 11/3/2008 31 0.0104302477 11/3/2008 896.24 -0.007761 1
26 10/1/2008 32.1 0.035483871 10/1/2008 968.75 0.0809047 1
27 9/2/2008 38.42 0.1968847352 9/2/2008 1166.36 0.2039845 1
28 8/1/2008 35.7 -0.0707964602 8/1/2008 1282.83 0.0998577 1
29 7/1/2008 40.74 0.1411764706 7/1/2008 1267.38 -0.012044 1
30 6/2/2008 40.57 -0.0041728031 6/2/2008 1280 0.0099576 1
31 5/1/2008 39.42 -0.0283460685 5/1/2008 1400.38 0.0940469 1
32 4/1/2008 34.33 -0.129122273 4/1/2008 1385.59 -0.010561 1
33 3/3/2008 30.09 -0.1235071366 3/3/2008 1322.7 -0.045389 1
34 2/1/2008 28.46 -0.0541708209 2/1/2008 1330.63 0.0059953 1
35 1/2/2008 30.28 0.0639494027 1/2/2008 1378.55 0.036013 1
36 12/3/2007 31.3 0.0336856011 12/3/2007 1468.36 0.0651482 1
37 11/1/2007 34.37 0.0980830671 11/1/2007 1481.14 0.0087036 1
38 10/1/2007 34.69 0.0093104452 10/1/2007 1549.38 0.0460726 1
39 9/4/2007 27.69 -0.2017872586 9/4/2007 1526.75 -0.014606 1
40 8/1/2007 24.62 -0.1108703503 8/1/2007 1473.99 -0.034557 1
41 7/2/2007 21.83 -0.113322502 7/2/2007 1455.27 -0.0127 1
42 6/1/2007 23.12 0.0590929913 6/1/2007 1503.35 0.0330385 1
43 5/1/2007 20.68 -0.1055363322 5/1/2007 1530.62 0.0181395 1
44 4/2/2007 20.25 -0.0207930368 4/2/2007 1482.37 -0.031523 1
45 3/1/2007 17.83 -0.1195061728 3/1/2007 1420.86 -0.041494 1
46 2/1/2007 17.38 -0.0252383623 2/1/2007 1406.82 -0.009881 1
47 1/3/2007 15.45 -0.1110471807 1/3/2007 1438.24 0.0223341 1
48 12/1/2006 15.91 0.0297734628 12/1/2006 1418.3 -0.013864 1
49 11/1/2006 16.1 0.0119421747 11/1/2006 1400.63 -0.012459 1
50 10/2/2006 15.97 -0.0080745342 10/2/2006 1377.94 -0.0162 1
51 9/1/2006 13.58 -0.1496556043 9/1/2006 1335.85 -0.030546 1
52 8/1/2006 13.85 0.0198821797 8/1/2006 1303.82 -0.023977 1
53 7/3/2006 11.99 -0.1342960289 7/3/2006 1276.66 -0.020831 1
54 6/1/2006 11.45 -0.0450375313 6/1/2006 1270.2 -0.00506 1
55 5/1/2006 12.81 0.1187772926 5/1/2006 1270.09 -8.66E-05 1
56 4/3/2006 12.23 -0.0452771272 4/3/2006 1310.61 0.0319033 1
57 3/1/2006 14.2 0.1610793132 3/1/2006 1294.87 -0.01201 1
58 2/1/2006 12.92 -0.0901408451 2/1/2006 1280.66 -0.010974 1
59 1/3/2006 11.85 -0.0828173375 1/3/2006 1280.08 -0.000453 1
60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 1
61 11/1/2005 12.4 0.1111111111 11/1/2005 1249.48 0.0009533 1
62 10/3/2005 10.48 -0.1548387097 10/3/2005 1207.01 -0.03399 1
63 9/1/2005 14.78 0.4103053435 9/1/2005 1228.81 0.0180612 1
64 8/1/2005 16.15 0.0926928281 8/1/2005 1220.33 -0.006901 1
65 7/1/2005 16.44 0.0179566563 7/1/2005 1234.18 0.0113494 1
66 6/1/2005 14.92 -0.0924574209 6/1/2005 1191.33 -0.034719 1
67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 1
68 4/1/2005 13.3 -0.0074626866 4/1/2005 1156.85 -0.029081 1
69 3/1/2005 15.15 0.1390977444 3/1/2005 1180.59 0.0205212 1
70 2/1/2005 15.62 0.0310231023 2/1/2005 1203.6 0.0194903 1
71 1/3/2005 15.24 -0.0243277849 1/3/2005 1181.27 -0.018553 1
72 12/1/2004 15.95 0.0465879265 12/1/2004 1211.92 0.0259467 1
73 11/1/2004 14.09 -0.1166144201 11/1/2004 1173.82 -0.031438 1
74 10/1/2004 13.3 -0.0560681334 10/1/2004 1130.2 -0.037161 1
75 9/1/2004 14.62 0.0992481203 9/1/2004 1114.58 -0.013821 1
76 8/2/2004 14.59 -0.0020519836 8/2/2004 1104.24 -0.009277 1
77 7/1/2004 15.91 0.0904729267 7/1/2004 1101.72 -0.002282 1
78 6/1/2004 13.73 -0.1370207417 6/1/2004 1140.84 0.0355081 1
79 5/3/2004 12.3 -0.1041514931 5/3/2004 1120.68 -0.017671 1
80 4/1/2004 11.71 -0.0479674797 4/1/2004 1107.3 -0.011939 1
81 3/1/2004 9.53 -0.1861656704 3/1/2004 1126.21 0.0170776 1
82 2/2/2004 9.61 0.0083945435 2/2/2004 1144.94 0.016631 1
83 1/2/2004 9.05 -0.0582726327 1/2/2004 1131.13 -0.012062 1
84 12/1/2003 9.12 0.0077348066 12/1/2003 1111.92 -0.016983 1
85 11/3/2003 8.61 -0.0559210526 11/3/2003 1058.2 -0.048313 1
86 10/1/2003 7.82 -0.0917537747 10/1/2003 1050.71 -0.007078 1
87 9/2/2003 6.36 -0.1867007673 9/2/2003 995.97 -0.052098 1
88 8/1/2003 6.61 0.0393081761 8/1/2003 1008.01 0.0120887 1
89 7/1/2003 6.78 0.0257186082 7/1/2003 990.31 -0.017559 1
90 6/2/2003 7.53 0.110619469 6/2/2003 974.5 -0.015965 1
91 5/1/2003 7.13 -0.0531208499 5/1/2003 963.59 -0.011195 1
92 4/1/2003 6.51 -0.0869565217 4/1/2003 916.92 -0.048433 1
93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 1
94 2/3/2003 5.53 -0.0674536256 2/3/2003 841.15 -0.008288 1
95 1/2/2003 5.84 0.0560578662 1/2/2003 855.7 0.0172977 1
96 12/2/2002 6.1 0.0445205479 12/2/2002 879.82 0.0281874 1
97 11/1/2002 5.44 -0.1081967213 11/1/2002 936.31 0.0642063 1
98 10/1/2002 5.92 0.0882352941 10/1/2002 885.76 -0.053989 1
99 9/3/2002 4.37 -0.2618243243 9/3/2002 815.28 -0.07957 1
100 8/1/2002 4.74 0.0846681922 8/1/2002 916.07 0.1236262 1
101 7/1/2002 5.11 0.0780590717 7/1/2002 911.62 -0.004858 1
102 6/3/2002 5.25 0.0273972603 6/3/2002 989.82 0.0857814 1
103 5/1/2002 5.53 0.0533333333 5/1/2002 1067.14 0.0781152 1
104 4/1/2002 4.98 -0.0994575045 4/1/2002 1076.92 0.0091647 1
105 3/1/2002 5.97 0.1987951807 3/1/2002 1147.39 0.0654366 1
106 2/4/2002 6.82 0.1423785595 2/1/2002 1106.73 -0.035437 0
107 1/2/2002 5.71 -0.1627565982 1/2/2002 1130.2 0.0212066 1
108 12/3/2001 4.74 -0.1698774081 12/3/2001 1148.08 0.0158202 1
109 11/1/2001 5.02 0.05907173 11/1/2001 1139.45 -0.007517 1
110 10/1/2001 5.79 0.1533864542 10/1/2001 1059.78 -0.06992 1
111 9/4/2001 5.13 -0.1139896373 9/4/2001 1040.94 -0.017777 1
112 8/1/2001 3.53 -0.3118908382 8/1/2001 1133.58 0.0889965 1
113 7/2/2001 3.76 0.0651558074 7/2/2001 1211.23 0.0684998 1
114 6/1/2001 3.13 -0.1675531915 6/1/2001 1224.38 0.0108567 1
115 5/1/2001 2.01 -0.357827476 5/1/2001 1255.82 0.0256783 1
116 4/2/2001 1.72 -0.144278607 4/2/2001 1249.46 -0.005064 1
117 3/1/2001 1.02 -0.4069767442 3/1/2001 1160.33 -0.071335 1
118 2/1/2001 0.88 -0.137254902 2/1/2001 1239.94 0.0686098 1
119 1/2/2001 0.62 -0.2954545455 1/2/2001 1366.01 0.1016743 1
120 12/1/2000 0.7 0.1290322581 12/1/2000 1320.28 -0.033477 1
121 11/1/2000 0.45 -0.3571428571 11/1/2000 1314.95 -0.004037 1
122 10/2/2000 0.75 0.6666666667 10/2/2000 1429.4 0.0870375 1
123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 1
124 8/1/2000 0.7 -0.0666666667 8/1/2000 1517.68 0.056505 1
125 7/3/2000 0.97 0.3857142857 7/3/2000 1430.83 -0.057226 1
126 6/23/2000 0.81 -0.1649484536 6/1/2000 1454.6 0.0166127 0
127 5/1/2000 1.15 0.4197530864 5/1/2000 1420.6 -0.023374 1
128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 1
129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 1
130 2/1/2000 1.98 0.7217391304 2/1/2000 1366.42 -0.08819 1
131 1/3/2000 2.3 0.1616161616 1/3/2000 1394.46 0.0205208 1
132 12/1/1999 2.03 -0.1173913043 12/1/1999 1469.25 0.0536337 1
133 11/1/1999 1.91 -0.0591133005 11/1/1999 1388.91 -0.054681 1
134 10/1/1999 1.77 -0.0732984293 10/1/1999 1362.93 -0.018705 1
135 9/1/1999 1.62 -0.0847457627 9/1/1999 1282.71 -0.058858 1
136 8/2/1999 2.06 0.2716049383 8/2/1999 1320.41 0.0293909 1
137 7/1/1999 2.2 0.067961165 7/1/1999 1328.72 0.0062935 1
138 6/1/1999 1.89 -0.1409090909 6/1/1999 1372.71 0.0331071 1
139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 1
140 4/1/1999 1.72 0.0299401198 4/1/1999 1335.18 0.0256099 1
141 3/1/1999 2.27 0.3197674419 3/1/1999 1286.37 -0.036557 1
142 2/1/1999 2.3 0.013215859 2/1/1999 1238.33 -0.037345 1
143 1/4/1999 2.73 0.1869565217 1/4/1999 1279.64 0.0333594 1
144 12/1/1998 2.91 0.0659340659 12/1/1998 1229.23 -0.039394 1
145 11/2/1998 2.41 -0.1718213058 11/2/1998 1163.63 -0.053367 1
146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 1
147 9/1/1998 1.66 -0.2132701422 9/1/1998 1017.01 -0.074326 1
148 8/3/1998 1.31 -0.2108433735 8/3/1998 957.28 -0.058731 1
149 7/1/1998 2.09 0.5954198473 7/1/1998 1120.67 0.1706815 1
150 6/1/1998 2.16 0.033492823 6/1/1998 1133.84 0.0117519 1
151 5/1/1998 2.34 0.0833333333 5/1/1998 1090.82 -0.037942 1
152 4/1/1998 2.58 0.1025641026 4/1/1998 1111.75 0.0191874 1
153 3/2/1998 2.53 -0.019379845 3/2/1998 1101.75 -0.008995 1
154 2/2/1998 2.41 -0.04743083 2/2/1998 1049.34 -0.04757 1
155 1/2/1998 2.22 -0.0788381743 1/2/1998 980.28 -0.065813 1
156 12/1/1997 2.59 0.1666666667 12/1/1997 970.43 -0.010048 1
157 11/3/1997 2.47 -0.0463320463 11/3/1997 955.4 -0.015488 1
158 10/1/1997 2.62 0.0607287449 10/1/1997 914.62 -0.042684 1
159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 1
160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 1
161 7/1/1997 2.55 0.1038961039 7/1/1997 954.31 0.0609692 1
162 6/2/1997 1.97 -0.2274509804 6/2/1997 885.14 -0.072482 1
163 5/1/1997 2 0.0152284264 5/1/1997 848.28 -0.041643 1
164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 1
165 3/3/1997 2.03 0.041025641 3/3/1997 757.12 -0.055183 1
166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 1
167 1/2/1997 1.81 -0.0717948718 1/2/1997 786.16 -0.005893 1
168 12/2/1996 1.72 -0.0497237569 12/2/1996 740.74 -0.057774 1
169 11/1/1996 1.7 -0.011627907 11/1/1996 757.02 0.021978 1
170 10/1/1996 1.75 0.0294117647 10/1/1996 705.27 -0.06836 1
171 9/3/1996 1.64 -0.0628571429 9/3/1996 687.33 -0.025437 1
172 8/1/1996 1.72 0.0487804878 8/1/1996 651.99 -0.051416 1
173 7/1/1996 1.61 -0.0639534884 7/1/1996 639.95 -0.018467 1
174 6/3/1996 1.53 -0.049689441 6/3/1996 670.63 0.0479412 1
175 5/1/1996 1.75 0.1437908497 5/1/1996 669.12 -0.002252 1
176 4/1/1996 1.59 -0.0914285714 4/1/1996 654.17 -0.022343 1
177 3/1/1996 1.53 -0.0377358491 3/1/1996 645.5 -0.013253 1
178 2/1/1996 1.56 0.0196078431 2/1/1996 640.43 -0.007854 1
179 1/2/1996 1.31 -0.1602564103 1/2/1996 636.02 -0.006886 1
180 12/1/1995 1.53 0.1679389313 12/1/1995 615.93 -0.031587 1
181 11/1/1995 1.62 0.0588235294 11/1/1995 605.37 -0.017145 1
182 10/2/1995 1.59 -0.0185185185 10/2/1995 581.5 -0.03943 1
183 9/1/1995 1.53 -0.0377358491 9/1/1995 584.41 0.0050043 1
184 8/1/1995 1.62 0.0588235294 8/1/1995 561.88 -0.038552 1
185 7/3/1995 1.77 0.0925925926 7/3/1995 562.06 0.0003204 1
186 6/1/1995 1.78 0.0056497175 6/1/1995 544.75 -0.030797 1
187 5/1/1995 1.56 -0.1235955056 5/1/1995 533.4 -0.020835 1
188 4/3/1995 1.75 0.1217948718 4/3/1995 514.71 -0.035039 1
189 3/1/1995 1.94 0.1085714286 3/1/1995 500.71 -0.0272 1
190 2/1/1995 1.81 -0.0670103093 2/1/1995 487.39 -0.026602 1
191 1/3/1995 1.75 -0.0331491713 1/3/1995 470.42 -0.034818 1
192 12/1/1994 1.62 -0.0742857143 12/1/1994 459.27 -0.023702 1
193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 1
194 10/3/1994 1.69 0.0432098765 10/3/1994 472.35 0.0411294 1
195 9/1/1994 1.53 -0.0946745562 9/1/1994 462.71 -0.020409 1
196 8/1/1994 1.5 -0.0196078431 8/1/1994 475.49 0.0276199 1
197 7/1/1994 1.72 0.1466666667 7/1/1994 458.26 -0.036236 1
198 6/1/1994 1.61 -0.0639534884 6/1/1994 444.27 -0.030529 1
199 5/2/1994 1.75 0.0869565217 5/2/1994 456.5 0.0275283 1
200 4/4/1994 1.83 0.0457142857 4/4/1994 450.91 -0.012245 1
201 3/1/1994 1.72 -0.0601092896 3/1/1994 445.77 -0.011399 1
202 2/1/1994 1.52 -0.1162790698 2/1/1994 467.14 0.0479395 1
203 1/3/1994 1.53 0.0065789474 1/3/1994 481.61 0.0309757 1
204 12/1/1993 1.22 -0.2026143791 12/1/1993 466.45 -0.031478 1
205 11/1/1993 1.34 0.0983606557 11/1/1993 461.79 -0.00999 1
206 10/1/1993 1.38 0.0298507463 10/1/1993 467.83 0.0130795 1
207 9/1/1993 1.5 0.0869565217 9/1/1993 458.93 -0.019024 1
208 8/2/1993 1.22 -0.1866666667 8/2/1993 463.56 0.0100887 1
209 7/1/1993 1.34 0.0983606557 7/1/1993 448.13 -0.033286 1
210 6/22/1993 1.41 0.052238806 6/22/1993 450.53 0.0053556 1
-0.00360382
-0.00463411 check
0.046093772 450.53
Market Model
Rt - RRf = Alphai + Betai * [RM - RRf] + Epsilont

Rt
RRf
Return on the Stock for a given period
B
Risk-Free Rate for a given period
Alphai Regression Intercept 0.4
Betai Regression Slope (stock's estimated Beta) 0.3
RM Return on the Stock Market for a given period
Epsilont Residuals for the Regression f(x) = 1.0865712892x
0.2 + 3.579033
R² = 0.3035957835
0.1
Weekly Mean 0.0021623852 0.0019571609
Weekly Geomean -0.0006326363 0.0012628285 0
Ave of 2 0.0007648744 -0.15 -0.1 -0.05
0.0016099947 0 0.05
-0.1
APR 0.0397734703 0.0837197232
Rf 0.0016 -0.2
Count 159
Ybar 0.0021623852 -0.3
Intercept = 3.5790331E-05
Slope = Beta 1.0865712892
Standard Error for Linear Regression 0.0625279185
Standard Error for Linear Regression 0.0625279185 Actual - Predicted
Total Variation 0.0749278508 Actual - Average
Explained Variation 0.0412848911 Predicted - Average
Date WFMI Close Adj Weekly Return S&P 500 Adj Weekly Return S
11/22/2010 47.01 1189.4
11/15/2010 45.71 -0.0276536907 1199.73 0.0086850513
11/8/2010 46.86 0.0251586086 1199.21 -0.0004334309
11/1/2010 45.49 -0.0292360222 1225.85 0.0222146246
10/25/2010 39.75 -0.1261815784 1183.26 -0.0347432394
10/18/2010 39.89 0.0035220126 1183.08 -0.0001521221
10/11/2010 38.3 -0.0398596139 1176.19 -0.005823782
10/4/2010 34.57 -0.0973890339 1165.15 -0.0093862386
9/27/2010 37.07 0.0723170379 1146.24 -0.01622967
9/20/2010 37.07 0 1148.67 0.0021199749
9/13/2010 37.09 0.0005395198 1125.59 -0.020092803
9/7/2010 35.47 -0.0436775411 1109.55 -0.0142503043
8/30/2010 36.66 0.0335494784 1104.51 -0.004542382
8/23/2010 35.7 -0.0261865794 1064.59 -0.0361427239
8/16/2010 36.72 0.0285714286 1071.69 0.0066692342
8/9/2010 36.42 -0.0081699346 1079.25 0.0070542788
8/2/2010 36.48 0.0016474465 1121.64 0.0392772759
7/26/2010 37.97 0.0408442982 1101.6 -0.0178666952
7/19/2010 38.77 0.0210692652 1102.66 0.0009622367
7/12/2010 37.21 -0.0402372969 1064.88 -0.0342626013
7/6/2010 36.66 -0.0147809729 1077.96 0.0122830741
6/28/2010 35.02 -0.0447354064 1022.58 -0.0513748191
6/21/2010 38.69 0.1047972587 1076.76 0.0529836296
6/14/2010 40.36 0.0431636082 1117.51 0.0378450165
6/7/2010 39.38 -0.0242814668 1091.6 -0.0231854749
6/1/2010 38.61 -0.0195530726 1064.88 -0.0244778307
5/24/2010 40.43 0.0471380471 1089.41 0.0230354594
5/17/2010 39.24 -0.0294335889 1087.69 -0.0015788363
5/10/2010 40.83 0.0405198777 1135.68 0.0441210271
5/3/2010 36.68 -0.1016409503 1110.88 -0.0218371372
4/26/2010 39.02 0.0637949836 1186.69 0.0682431946
4/19/2010 40.2 0.0302409021 1217.28 0.025777583
4/12/2010 39.11 -0.0271144279 1192.13 -0.0206608176
4/5/2010 38.8 -0.0079263615 1194.37 0.0018789897
3/29/2010 36.91 -0.0487113402 1178.1 -0.0136222444
3/22/2010 35.41 -0.0406393931 1166.59 -0.0097699686
3/15/2010 35.83 0.0118610562 1159.9 -0.0057346626
3/8/2010 36.3 0.0131174993 1149.99 -0.00854384
3/1/2010 36.11 -0.0052341598 1138.7 -0.0098174767
2/22/2010 35.49 -0.0171697591 1104.49 -0.0300430315
2/16/2010 33.66 -0.0515638208 1109.17 0.0042372498
2/8/2010 29.75 -0.1161616162 1075.51 -0.0303470162
2/1/2010 27.38 -0.0796638655 1066.19 -0.0086656563
1/25/2010 27.22 -0.0058436815 1073.87 0.0072032189
1/19/2010 28.45 0.0451873622 1091.76 0.0166593722
1/11/2010 27.95 -0.0175746924 1136.03 0.040549205
1/4/2010 27.96 0.0003577818 1144.98 0.0078783131
12/28/2009 27.45 -0.0182403433 1115.1 -0.0260965257
12/21/2009 28.41 0.0349726776 1126.48 0.0102053627
12/14/2009 26.99 -0.0499824006 1102.47 -0.0213141822
12/7/2009 26.67 -0.0118562431 1106.41 0.0035737934
11/30/2009 26.2 -0.0176227972 1105.98 -0.0003886444
11/23/2009 25.9 -0.0114503817 1091.49 -0.0131015027
11/16/2009 26.36 0.0177606178 1091.38 -0.0001007797
11/9/2009 27.49 0.0428679818 1093.48 0.0019241694
11/2/2009 28.25 0.0276464169 1069.3 -0.0221128873
10/26/2009 32.06 0.1348672566 1036.19 -0.0309641822
10/19/2009 33.36 0.0405489707 1079.6 0.0418938612
10/12/2009 33.74 0.0113908873 1087.68 0.0074842534
10/5/2009 31.67 -0.0613515116 1071.49 -0.0148848926
9/28/2009 29.21 -0.0776760341 1025.21 -0.0431921903
9/21/2009 28.77 -0.0150633345 1044.38 0.0186986081
9/14/2009 28.6 -0.0059089329 1068.3 0.0229035409
9/8/2009 28.43 -0.0059440559 1042.73 -0.0239352242
8/31/2009 27.65 -0.0274358072 1016.4 -0.0252510238
8/24/2009 29.11 0.0528028933 1028.93 0.0123278237
8/17/2009 28.78 -0.0113363105 1026.13 -0.0027212736
8/10/2009 28.1 -0.0236275191 1004.09 -0.02147876
8/3/2009 28.42 0.0113879004 1010.48 0.0063639714
7/27/2009 24.19 -0.1488388459 987.48 -0.0227614599
7/20/2009 23.73 -0.0190161224 979.26 -0.0083242192
7/13/2009 21.87 -0.0783817952 940.38 -0.0397034495
7/6/2009 19.25 -0.1197988112 879.13 -0.065133244
6/29/2009 17.97 -0.0664935065 896.42 0.019667171
6/22/2009 19.2 0.0684474124 918.9 0.0250775306
6/15/2009 19.27 0.0036458333 921.23 0.0025356404
6/8/2009 20.44 0.0607161391 946.21 0.0271159211
6/1/2009 21.16 0.0352250489 940.09 -0.0064679088
5/26/2009 18.87 -0.1082230624 919.14 -0.0222851004
5/18/2009 18.9 0.0015898251 887 -0.0349674696
5/11/2009 19.61 0.0375661376 882.88 -0.0046448703
5/4/2009 22.17 0.13054564 929.23 0.0524986408
4/27/2009 20.93 -0.0559314389 877.52 -0.0556482249
4/20/2009 19.74 -0.0568561873 866.23 -0.0128658036
4/13/2009 18.48 -0.0638297872 869.6 0.0038904217
4/6/2009 18.36 -0.0064935065 856.56 -0.0149954002
3/30/2009 18.64 0.0152505447 842.5 -0.0164144952
3/23/2009 17.97 -0.035944206 815.94 -0.0315252226
3/16/2009 15.37 -0.1446855871 768.54 -0.0580925068
3/9/2009 14.38 -0.0644111906 756.55 -0.0156010097
3/2/2009 12.08 -0.1599443672 683.38 -0.0967153526
2/23/2009 12.15 0.005794702 735.09 0.0756680032
2/17/2009 12.84 0.0567901235 770.05 0.0475588023
2/9/2009 9.97 -0.2235202492 826.84 0.0737484579
2/2/2009 10.88 0.0912738215 868.6 0.0505055392
1/26/2009 10.25 -0.0579044118 825.88 -0.0491825927
1/20/2009 11.37 0.1092682927 831.95 0.007349736
1/12/2009 12.16 0.0694810906 850.12 0.0218402548
1/5/2009 12.57 0.0337171053 890.35 0.0473227309
12/29/2008 9.89 -0.2132060461 931.8 0.0465547257
12/22/2008 8.89 -0.1011122346 872.8 -0.0633183086
12/15/2008 9.96 0.120359955 887.88 0.0172777269
12/8/2008 10.35 0.0391566265 879.73 -0.0091791684
12/1/2008 10.6 0.0241545894 876.07 -0.0041603674
11/24/2008 10.58 -0.0018867925 896.24 0.0230232744
11/17/2008 8.19 -0.2258979206 800.03 -0.1073484781
11/10/2008 9.38 0.1452991453 873.29 0.0915715661
11/3/2008 10.05 0.0714285714 930.99 0.0660719807
10/27/2008 10.72 0.0666666667 968.75 0.0405589749
10/20/2008 10.74 0.0018656716 876.77 -0.0949470968
10/13/2008 13.98 0.3016759777 940.55 0.0727442773
10/6/2008 14.83 0.0608011445 899.22 -0.0439423741
9/29/2008 18 0.2137559002 1099.23 0.2224261026
9/22/2008 20.64 0.1466666667 1213.27 0.103745349
9/15/2008 20.79 0.0072674419 1255.08 0.03446059
9/8/2008 18.43 -0.1135161135 1251.7 -0.0026930554
9/2/2008 18.12 -0.0168204015 1242.31 -0.0075017976
8/25/2008 18.31 0.0104856512 1282.83 0.0326166577
8/18/2008 18.44 0.0070999454 1292.2 0.0073041635
8/11/2008 19.69 0.0677874187 1298.2 0.0046432441
8/4/2008 18.65 -0.0528186897 1296.32 -0.001448159
7/28/2008 21.42 0.1485254692 1260.31 -0.0277786349
7/21/2008 22.52 0.0513538749 1257.76 -0.0020233117
7/14/2008 21.38 -0.0506216696 1260.68 0.0023215876
7/7/2008 21.04 -0.0159027128 1239.49 -0.0168083891
6/30/2008 22.51 0.0698669202 1262.9 0.0188868002
6/23/2008 24.44 0.0857396713 1278.38 0.0122575026
6/16/2008 26.09 0.067512275 1317.93 0.0309375929
6/9/2008 26.93 0.0321962438 1360.03 0.0319440334
6/2/2008 28.25 0.0490159673 1360.68 0.0004779306
5/27/2008 28.75 0.017699115 1400.38 0.0291765882
5/19/2008 27.38 -0.0476521739 1375.93 -0.0174595467
5/12/2008 28.81 0.0522279036 1425.35 0.0359175249
5/5/2008 32.5 0.1280805276 1388.28 -0.0260076472
4/28/2008 34.68 0.0670769231 1413.9 0.0184544904
4/21/2008 30.92 -0.1084198385 1397.84 -0.0113586534
4/14/2008 32.67 0.0565976714 1390.33 -0.0053725748
4/7/2008 31.76 -0.0278543006 1332.83 -0.0413570879
3/31/2008 33.4 0.0516372796 1370.4 0.028188141
3/24/2008 32.01 -0.0416167665 1315.22 -0.0402656159
3/17/2008 32.18 0.0053108404 1329.51 0.0108651024
3/10/2008 30.72 -0.0453697949 1288.14 -0.0311167272
3/3/2008 33.58 0.0930989583 1293.37 0.0040601177
2/25/2008 34.64 0.0315664086 1330.63 0.0288084616
2/19/2008 36.23 0.0459006928 1353.11 0.0168942531
2/11/2008 38.55 0.0640353298 1349.99 -0.0023057992
2/4/2008 38.81 0.0067444877 1331.29 -0.0138519545
1/28/2008 40.17 0.0350425148 1395.42 0.0481713226
1/22/2008 37.01 -0.0786656709 1330.61 -0.046444798
1/14/2008 34.57 -0.0659281275 1325.19 -0.0040733198
1/7/2008 36.96 0.0691350882 1401.02 0.0572219833
12/31/2007 37.16 0.0054112554 1411.63 0.0075730539
12/24/2007 40.77 0.0971474704 1478.49 0.047363686
12/17/2007 41.73 0.0235467255 1484.46 0.0040379035
12/10/2007 39.77 -0.0469686077 1467.95 -0.0111218894
12/3/2007 42.19 0.0608498868 1504.66 0.0250076637
11/26/2007 42.15 -0.000948092 1481.14 -0.0156314383
11/19/2007 39.94 -0.0524317912 1440.7 -0.0273032934
11/12/2007 44.4 0.1116675013 1458.74 0.0125216908
11/9/2007 42.51 -0.0425675676 1453.7 -0.0034550365
Beta WFMI
0.4
0.3
x) = 1.0865712892x
0.2 + 3.57903311016549E-05
= 0.3035957835 Beta WFMI
0.1 Linear (Beta WFMI)
0
-0.05 0 0.05 0.1 0.15 0.2 0.25
-0.1
-0.2
-0.3
Explained Variation
Yhat estimated (Y-Yhat) Residuals Total Variation (Y- Regression (Yhat -
Date WFMI Return (Actual - Predicted) Ybar) Ybar)
11/22/2010 1
11/15/2010 1 0.0094727177 -0.0371264084 -0.0298160759 0.0073103326
11/8/2010 1 -0.0004351632 0.0255937718 0.0229962235 -0.0025975483
11/1/2010 1 0.0241735637 -0.0534095858 -0.0313984073 0.0220111785
10/25/2010 1 -0.0377152161 -0.0884663623 -0.1283439635 -0.0398776012
10/18/2010 1 -0.0001295012 0.0036515138 0.0013596274 -0.0022918863
10/11/2010 1 -0.006292164 -0.03356745 -0.0420219991 -0.0084545491
10/4/2010 1 -0.0101630271 -0.0872260069 -0.0995514191 -0.0123254122
9/27/2010 1 -0.0175989031 0.089915941 0.0701546527 -0.0197612883
9/20/2010 1 0.0023392942 -0.0023392942 -0.0021623852 0.000176909
9/13/2010 1 -0.0217964725 0.0223359923 -0.0016228653 -0.0239588577
9/7/2010 1 -0.0154481812 -0.0282293599 -0.0458399263 -0.0176105663
8/30/2010 1 -0.0048998316 0.03844931 0.0313870933 -0.0070622167
8/23/2010 1 -0.0392358558 0.0130492764 -0.0283489645 -0.0413982409
8/16/2010 1 0.0072823887 0.0212890399 0.0264090434 0.0051200035
8/9/2010 1 0.0077007671 -0.0158707017 -0.0103323198 0.0055383819
8/2/2010 1 0.0427133506 -0.0410659042 -0.0005149387 0.0405509655
7/26/2010 1 -0.0193776477 0.0602219459 0.0386819131 -0.0215400329
7/19/2010 1 0.0010813292 0.0199879361 0.0189068801 -0.001081056
7/12/2010 1 -0.0371929686 -0.0030443283 -0.042399682 -0.0393553537
7/6/2010 1 0.013382226 -0.0281631989 -0.016943358 0.0112198409
6/28/2010 1 -0.0557866131 0.0110512067 -0.0468977916 -0.0579489982
6/21/2010 1 0.0576062811 0.0471909776 0.1026348736 0.0554438959
6/14/2010 1 0.0411570987 0.0020065094 0.041001223 0.0389947136
6/7/2010 1 -0.025156881 0.0008754142 -0.026443852 -0.0273192661
6/1/2010 1 -0.0265611177 0.0070080451 -0.0217154578 -0.0287235029
5/24/2010 1 0.0250654591 0.022072588 0.044975662 0.022903074
5/17/2010 1 -0.0016797278 -0.0277538611 -0.0315959741 -0.003842113
5/10/2010 1 0.0479764317 -0.007456554 0.0383574925 0.0458140465
5/3/2010 1 -0.023691816 -0.0779491343 -0.1038033354 -0.0258542012
4/26/2010 1 0.0741868862 -0.0103919026 0.0616325985 0.0720245011
4/19/2010 1 0.0280449719 0.0021959302 0.0280785169 0.0258825868
4/12/2010 1 -0.0224136608 -0.004700767 -0.029276813 -0.024576046
4/5/2010 1 0.0020774466 -0.0100038081 -0.0100887467 -8.4938552148E-05
3/29/2010 1 -0.0147657493 -0.0339455909 -0.0508737254 -0.0169281344
3/22/2010 1 -0.010579977 -0.0300594161 -0.0428017783 -0.0127423622
3/15/2010 1 -0.0061953294 0.0180563856 0.009698671 -0.0083577145
3/8/2010 1 -0.0092477009 0.0223652002 0.0109551142 -0.011410086
3/1/2010 1 -0.010631598 0.0053974382 -0.0073965449 -0.0127939831
2/22/2010 1 -0.0326081052 0.0154383461 -0.0193321442 -0.0347704903
2/16/2010 1 0.0046398643 -0.0562036851 -0.0537262059 0.0024774791
2/8/2010 1 -0.0329384062 -0.0832232099 -0.1183240013 -0.0351007914
2/1/2010 1 -0.009380063 -0.0702838025 -0.0818262507 -0.0115424482
1/25/2010 1 0.0078626012 -0.0137062827 -0.0080060667 0.0057002161
1/19/2010 1 0.0181373858 0.0270499764 0.0430249771 0.0159750007
1/11/2010 1 0.0440953922 -0.0616700847 -0.0197370776 0.0419330071
1/4/2010 1 0.0085961391 -0.0082383574 -0.0018046034 0.006433754
12/28/2009 1 -0.0283199452 0.0100796019 -0.0204027285 -0.0304823304
12/21/2009 1 0.0111246445 0.0238480331 0.0328102924 0.0089622593
12/14/2009 1 -0.0231235881 -0.0268588124 -0.0521447857 -0.0252859733
12/7/2009 1 0.0039189716 -0.0157752147 -0.0140186282 0.0017565865
11/30/2009 1 -0.0003864995 -0.0172362977 -0.0197851823 -0.0025488846
11/23/2009 1 -0.0141999264 0.0027495447 -0.0136127668 -0.0163623115
11/16/2009 1 -0.000073714 0.0178343317 0.0155982326 -0.0022360991
11/9/2009 1 0.0021265376 0.0407414442 0.0407055966 -3.5847595196E-05
11/2/2009 1 -0.0239914381 0.051637855 0.0254840317 -0.0261538233
10/26/2009 1 -0.033609001 0.1684762576 0.1327048715 -0.0357713862
10/19/2009 1 0.0455564571 -0.0050074864 0.0383865855 0.0433940719
10/12/2009 1 0.0081679652 0.0032229221 0.0092285021 0.0060055801
10/5/2009 1 -0.0161377066 -0.0452138049 -0.0635138967 -0.0183000918
9/28/2009 1 -0.0468956036 -0.0307804305 -0.0798384193 -0.0490579887
9/21/2009 1 0.020353161 -0.0354164955 -0.0172257196 0.0181907759
9/14/2009 1 0.0249221202 -0.0308310532 -0.0080713181 0.0227597351
9/8/2009 1 -0.0259715371 0.0200274811 -0.0081064411 -0.0281339222
8/31/2009 1 -0.0274012471 -3.4560143109E-05 -0.0295981924 -0.0295636323
8/24/2009 1 0.0134308496 0.0393720437 0.0506405082 0.0112684645
8/17/2009 1 -0.0029210674 -0.0084152432 -0.0134986957 -0.0050834525
8/10/2009 1 -0.0233024136 -0.0003251055 -0.0257899043 -0.0254647988
8/3/2009 1 0.0069506989 0.0044372015 0.0092255152 0.0047883137
7/27/2009 1 -0.0246961585 -0.1241426874 -0.151001231 -0.0268585436
7/20/2009 1 -0.0090090673 -0.0100070551 -0.0211785075 -0.0111714524
7/13/2009 1 -0.043104838 -0.0352769572 -0.0805441803 -0.0452672232
7/6/2009 1 -0.0707361226 -0.0490626886 -0.1219611963 -0.0728985077
6/29/2009 1 0.0214055736 -0.0878990801 -0.0686558916 0.0192431885
6/22/2009 1 0.0272843151 0.0411630972 0.0662850272 0.02512193
6/15/2009 1 0.0027909444 0.0008548889 0.0014834482 0.0006285593
6/8/2009 1 0.0294991717 0.0312169674 0.0585537539 0.0273367865
6/1/2009 1 -0.0069920537 0.0422171026 0.0330626638 -0.0091544388
5/26/2009 1 -0.0241785599 -0.0840445025 -0.1103854475 -0.0263409451
5/18/2009 1 -0.0379588582 0.0395486833 -0.00057256 -0.0401212433
5/11/2009 1 -0.0050111924 0.04257733 0.0354037524 -0.0071735776
5/4/2009 1 0.0570793062 0.0734663338 0.1283832548 0.054916921
4/27/2009 1 -0.0604299731 0.0044985342 -0.058093824 -0.0625923583
4/20/2009 1 -0.0139438225 -0.0429123648 -0.0590185724 -0.0161062077
4/13/2009 1 0.0042630109 -0.0680927981 -0.0659921724 0.0021006257
4/6/2009 1 -0.016257781 0.0097642745 -0.0086558916 -0.0184201661
3/30/2009 1 -0.0177997289 0.0330502735 0.0130881595 -0.019962114
3/23/2009 1 -0.0342186114 -0.0017255946 -0.0381065912 -0.0363809965
3/16/2009 1 -0.0630858597 -0.0815997274 -0.1468479722 -0.0652482448
3/9/2009 1 -0.0169158189 -0.0474953717 -0.0665735758 -0.0190782041
3/2/2009 1 -0.105052335 -0.0548920322 -0.1621067523 -0.1072147202
2/23/2009 1 0.0822544701 -0.0764597681 0.0036323168 0.0800920849
2/17/2009 1 0.0517118195 0.005078304 0.0546277383 0.0495494343
2/9/2009 1 0.0801687473 -0.3036889965 -0.2256826344 0.0780063621
2/2/2009 1 0.0549136591 0.0363601623 0.0891114363 0.052751274
1/26/2009 1 -0.0534046028 -0.004499809 -0.0600667969 -0.055566988
1/20/2009 1 0.0080218025 0.1012464902 0.1071059075 0.0058594173
1/12/2009 1 0.0237667842 0.0457143064 0.0673187054 0.021604399
1/5/2009 1 0.0514553111 -0.0177382058 0.0315547201 0.0492929259
12/29/2008 1 0.0506208186 -0.2638268648 -0.2153684313 0.0484584335
12/22/2008 1 -0.0687640659 -0.0323481687 -0.1032746197 -0.0709264511
12/15/2008 1 0.0188092723 0.1015506827 0.1181975699 0.0166468871
12/8/2008 1 -0.0099380305 0.049094657 0.0369942414 -0.0121004156
12/1/2008 1 -0.0044847454 0.0286393348 0.0219922042 -0.0066471306
11/24/2008 1 0.0250522193 -0.0269390117 -0.0040491776 0.0228898341
11/17/2008 1 -0.1166059839 -0.1092919367 -0.2280603058 -0.118768369
11/10/2008 1 0.0995348249 0.0457643204 0.1431367601 0.0973724398
11/3/2008 1 0.0718277075 -0.0003991361 0.0692661863 0.0696653224
10/27/2008 1 0.0441060079 0.0225606587 0.0645042815 0.0419436228
10/20/2008 1 -0.103130999 0.1049966707 -0.0002967135 -0.1052933842
10/13/2008 1 0.0790776335 0.2225983442 0.2995135925 0.0769152483
10/6/2008 1 -0.0477107318 0.1085118763 0.0586387593 -0.0498731169
9/29/2008 1 0.2417176074 -0.0279617072 0.2115935151 0.2395552222
9/22/2008 1 0.112762508 0.0339041587 0.1445042815 0.1106001228
9/15/2008 1 0.037479678 -0.0302122361 0.0051050567 0.0353172929
9/8/2008 1 -0.0028904064 -0.1106257071 -0.1156784987 -0.0050527915
9/2/2008 1 -0.0081154475 -0.008704954 -0.0189827867 -0.0102778327
8/25/2008 1 0.0354761141 -0.0249904629 0.0083232661 0.033313729
8/18/2008 1 0.0079722846 -0.0008723392 0.0049375602 0.0058098995
8/11/2008 1 0.005081006 0.0627064126 0.0656250335 0.0029186209
8/4/2008 1 -0.0015377376 -0.051280952 -0.0549810748 -0.0037001228
7/28/2008 1 -0.0301476768 0.178673146 0.146363084 -0.032310062
7/21/2008 1 -0.0021626821 0.053516557 0.0491914897 -0.0043250673
7/14/2008 1 0.0025583607 -0.0531800304 -0.0527840548 0.0003959756
7/7/2008 1 -0.0182277227 0.0023250099 -0.018065098 -0.0203901079
6/30/2008 1 0.0205576452 0.049309275 0.067704535 0.01839526
6/23/2008 1 0.0133544407 0.0723852306 0.0835772861 0.0111920556
6/16/2008 1 0.0336516905 0.0338605844 0.0653498898 0.0314893054
6/9/2008 1 0.0347452599 -0.0025490162 0.0300338586 0.0325828748
6/2/2008 1 0.000555096 0.0484608713 0.0468535822 -0.0016072891
5/27/2008 1 0.0317382334 -0.0140391183 0.0155367299 0.0295758482
5/19/2008 1 -0.0189352518 -0.0287169221 -0.0498145591 -0.021097637
5/12/2008 1 0.0390627416 0.0131651619 0.0500655184 0.0369003565
5/5/2008 1 -0.0282233725 0.1563039001 0.1259181424 -0.0303857576
4/28/2008 1 0.0200879098 0.0469890133 0.0649145379 0.0179255247
4/21/2008 1 -0.0123061963 -0.0961136422 -0.1105822237 -0.0144685815
4/14/2008 1 -0.0058018952 0.0623995666 0.0544352863 -0.0079642804
4/7/2008 1 -0.044901634 0.0170473334 -0.0300166857 -0.0470640191
3/31/2008 1 0.0306642151 0.0209730645 0.0494748944 0.0285018299
3/24/2008 1 -0.0437156718 0.0020989054 -0.0437791516 -0.045878057
3/17/2008 1 0.0118414987 -0.0065306583 0.0031484552 0.0096791135
3/10/2008 1 -0.0337747521 -0.0115950428 -0.0475321801 -0.0359371372
3/3/2008 1 0.0044473976 0.0886515607 0.0909365732 0.0022850125
2/25/2008 1 0.0313382376 0.000228171 0.0294040234 0.0291758525
2/19/2008 1 0.0183926007 0.0275080921 0.0437383077 0.0162302155
2/11/2008 1 -0.0024696249 0.0665049548 0.0618729447 -0.0046320101
2/4/2008 1 -0.0150153457 0.0217598334 0.0045821025 -0.0171777308
1/28/2008 1 0.0523773664 -0.0173348516 0.0328801297 0.0502149812
1/22/2008 1 -0.0504297937 -0.0282358772 -0.0808280561 -0.0525921788
1/14/2008 1 -0.004390162 -0.0615379656 -0.0680905127 -0.0065525471
1/7/2008 1 0.0622115545 0.0069235338 0.0669727031 0.0600491693
12/31/2007 1 0.0082644533 -0.0028531979 0.0032488703 0.0061020681
12/24/2007 1 0.0514998116 0.0456476588 0.0949850852 0.0493374265
12/17/2007 1 0.0044232604 0.0191234652 0.0213843404 0.0022608752
12/10/2007 1 -0.0120489354 -0.0349196723 -0.0491309929 -0.0142113206
12/3/2007 1 0.0272083998 0.0336414871 0.0586875017 0.0250460146
11/26/2007 1 -0.0169488818 0.0160007898 -0.0031104771 -0.0191112669
11/19/2007 1 -0.0296311844 -0.0228006068 -0.0545941764 -0.0317935695
11/12/2007 1 0.0136415001 0.0980260012 0.1095051161 0.0114791149
11/9/2007 1 -0.0037183532 -0.0388492144 -0.0447299527 -0.0058807383

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Roger G.

Ibbotson & Rex Sinquefield Because Beg = 1

Individual Expected Return (Type of

Individual Standard Deviation

Stadard Deviation (Measure of total risk) based on Esti

(Measure of total risk) based on Estimations both

Individual Expected Return (Type of

Individual Standard Deviation

Stadard Deviation (Measure of total risk) based on Esti

(Measure of total risk) based on Estimations both

Estimated Return for

E(RP) Standard Deviation of P

Estimated Return for

Beg (Close Day Before) 45.07

Beg (Close Day Before) 45.07

WFMI Weely Returns for Lat 4 Years

Portfolio Beta 1.138

Reward To Risk Ratio => (E(RA) - Rf)/BA

Reward To Risk Ratio => (E(RB) - Rf)/BB

Stock A is offering a 8.75% return for 1 unit of Systematic Risk

Stock B is offering a 11.67% return for 1 unit of Systematic R

return for 1 unit of Systematic Risk. Since

CAPM => E(RA) = Rf + (E(RM)-Rf)*BA

CAPM => E(RB) = Rf + (E(RM)-Rf)*BB

2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%

Market Risk Premium = E(RM) - Rf 9.00%

Expected Return using CAPM is higher than the Expected Ret

Expected Return using CAPM is lower than the Expected Ret

SML Slope = (9.00%

0.5 6.50% 1 0.056 0.5

M is higher than the Expected Return given.

M is lower than the Expected Return given.

Stock Beta CAPM Pricing (Return)

Estimate of E(RD) 14.50% Not buy.

Stock Beta CAPM Pricing (Return)

Estimate of E(RD) 14.50% Not buy.

1 = BS1 * WS1 + BS2 * WS2

1 = BS1 * WS1 + BS2 * WS2

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

E(Ri) = Rf + (E(RM) - Rf)*Bi

c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

c E(RP) 0.11 E(RP) = Ri * Wi + Rrf * Wrf

1.2 1.4 1.6 1.8 2

of Systematic Risk. Since the Market Risk Premium is

n the Expected Return given. The Expected Return

of Systematic Risk. Since the Market Risk Premium is

(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ

Expected Risk Premium

Expected Risk Premium

Stock FLIR Index S&P 500

Stock FLIR Index S&P 500

Rt - RRf = Alphai + Betai * [RM - RRf] + Epsilont

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