Adjusted Close Simple Returns

Date IBM FB IBM FB

9/7/2018 221.3 163.04 -0.81% 0.31% Mean
9/6/2018 223.1 162.53 -1.66% -2.78% Variance
9/5/2018 226.87 167.18 -0.65% -2.33% St Deviation
9/4/2018 228.36 171.16 0.32% =(B3-B4)/
-2.60% Covariance
B4
8/31/2018 227.63 175.73 1.16% -1.08% Correlation
8/30/2018 225.03 177.64 0.92% 0.99%
8/29/2018 222.98 175.9 1.49% -0.20%
8/28/2018 219.7 176.26 0.81% -0.68%
8/27/2018 217.94 177.46 0.82% 1.61%
8/24/2018 216.16 174.65 0.31% 1.01%
8/23/2018 215.49 172.9 0.20% -0.43%
8/22/2018 215.05 173.64 0.00% 0.59%
8/21/2018 215.04 172.62 -0.19% 0.07%
8/20/2018 215.46 172.5 -0.97% -0.75%
8/17/2018 217.58 173.8 2.00% -0.52%
8/16/2018 213.32 174.7 1.46% -2.69%
8/15/2018 210.24 179.53 0.23% -0.87%
8/14/2018 209.75 181.11 0.42% 0.59%
8/13/2018 208.87 180.05 0.65% -0.12%
8/10/2018 207.53 180.26 -0.30% -1.55% IBM
8/9/2018 208.15 183.09 0.79% -1.13% FB
8/8/2018 206.526 185.18 0.07% 0.75%
8/7/2018 206.386 183.81 -0.94% -1.01%
8/6/2018 208.339 185.69 0.52% 4.45% Mean
8/3/2018 207.263 177.78 0.29% 0.80% Variance
8/2/2018 206.665 176.37 2.92% 2.75% St Deviation
8/1/2018 200.796 171.65 5.89% -0.54%
7/31/2018 189.625 172.58 0.20% 0.89%
7/30/2018 189.246 171.06 -0.56% -2.19%
7/27/2018 190.313 174.89 -1.66% -0.78%
7/26/2018 193.531 176.26 -0.31% -18.96%
7/25/2018 194.139 217.5 0.94% 1.32%
7/24/2018 192.325 214.67 0.73% 1.78%
7/23/2018 190.94 210.91 0.09% 0.46%
7/20/2018 190.771 209.94 -0.23% 0.89%
7/19/2018 191.209 208.09 0.78% -0.61%
7/18/2018 189.735 209.36 -0.55% -0.30%
7/17/2018 190.781 209.99 0.28% 1.33%
7/16/2018 190.243 207.23 -0.22% -0.04%
7/13/2018 190.661 207.32 0.16% 0.19%
7/12/2018 190.362 206.92 1.68% 2.16%
7/11/2018 187.223 202.54 -1.30% -0.49%
7/10/2018 189.685 203.54 -0.12% -0.59%
7/9/2018 189.914 204.74 1.39% 0.74%
7/6/2018 187.313 203.23 1.39% 2.41%
7/5/2018 184.752 198.45 0.80% 2.97%
7/3/2018 183.277 192.73 -1.74% -2.35%
7/2/2018 186.526 197.36 1.12% 1.56%
6/29/2018 184.463 194.32 -0.21% -0.97%
6/28/2018 184.852 196.23 0.73% 0.20%
6/27/2018 183.516 195.84 -0.15% -1.59%
6/26/2018 183.785 199 1.24% 1.35%
6/25/2018 181.533 196.35 -1.49% -2.67%
6/22/2018 184.274 201.74 -0.29% 0.12%
6/21/2018 184.812 201.5 -0.56% -0.25%
6/20/2018 185.848 202 0.44% 2.28%
6/19/2018 185.041 197.49 -1.62% -0.41%
6/18/2018 188.08 198.31 -0.05% 1.26%
6/15/2018 188.18 195.85 -1.03% -0.49%
6/14/2018 190.133 196.81 0.05% 2.29%
6/13/2018 190.034 192.41 -0.82% 0.01%
6/12/2018 191.608 192.4 0.55% 0.45%
6/11/2018 190.562 191.54 -0.25% 1.29%
6/8/2018 191.03 189.1 -0.91% 0.49%
6/7/2018 192.784 188.18 -0.27% -1.65%
6/6/2018 193.302 191.34 0.35% -0.83%
6/5/2018 192.634 192.94 0.77% -0.18%
6/4/2018 191.16 193.28 0.84% -0.37%
6/1/2018 189.575 193.99 1.80% 1.15%
5/31/2018 186.217 191.78 -0.34% 2.19%
5/30/2018 186.845 187.67 -0.21% 1.04%
5/29/2018 187.243 185.74 -0.36% 0.44%
5/25/2018 187.921 184.92 0.23% -0.54%
5/24/2018 187.492 185.93 -0.11% -0.52%
5/23/2018 187.702 186.9 0.64% 1.69%
5/22/2018 186.506 183.8 -0.25% -0.37%
5/21/2018 186.974 184.49 0.71% 0.99%
5/18/2018 185.659 182.68 -0.36% -0.59%
5/17/2018 186.337 183.76 -0.63% 0.31%
5/16/2018 187.522 183.2 0.93% -0.61%
5/15/2018 185.788 184.32 -0.91% -1.24%
5/14/2018 187.492 186.64 -0.23% -0.19%
5/11/2018 187.931 186.99 -0.38% 0.79%
5/10/2018 188.648 185.53 1.43% 1.57%
5/9/2018 185.988 182.66 0.70% 2.09%
5/8/2018 184.688 178.92 0.48% 0.53%
5/7/2018 183.804 177.97 0.72% 0.77%
5/4/2018 182.484 176.61 3.92% 1.49%
5/3/2018 175.595 174.02 0.18% -1.16%
5/2/2018 175.277 176.07 4.42% 1.27%
5/1/2018 167.862 173.86 2.32% 1.08%
4/30/2018 164.05 172 1.81% -0.92%
4/27/2018 161.131 173.59 -1.16% -0.33%
4/26/2018 163.017 174.16 0.35% 9.06%
4/25/2018 162.452 159.69 0.44% 0.00%
4/24/2018 161.747 159.69 -1.39% -3.71%
4/23/2018 164.03 165.84 -0.29% -0.26%
4/20/2018 164.506 166.28 -4.10% -1.08%
4/19/2018 171.535 168.1 -2.83% 1.05%
4/18/2018 176.538 166.36 -0.22% -1.36%
4/17/2018 176.935 168.66 1.38% 2.32%
4/16/2018 174.533 164.83 0.62% 0.19%
4/13/2018 173.451 164.52 0.34% 0.40%
4/12/2018 172.865 163.87 0.99% -1.47%
4/11/2018 171.177 166.32 -0.47% 0.78%
4/10/2018 171.981 165.04 1.88% 4.50%
4/9/2018 168.805 157.93 0.99% 0.46%
4/6/2018 167.147 157.2 -2.56% -1.34%
4/5/2018 171.535 159.34 0.69% 2.73%
4/4/2018 170.353 155.1 1.91% -0.65%
4/3/2018 167.157 156.11 1.03% 0.46%
4/2/2018 165.459 155.39 -0.66% -2.75%
3/29/2018 166.551 159.79 0.78% 4.42%
3/28/2018 165.261 153.03 -1.10% 0.53%
3/27/2018 167.107 152.22 -2.56% -4.90%
3/26/2018 171.505 160.06 4.75% 0.42%
3/23/2018 163.732 159.39 -2.32% -3.34%
3/22/2018 167.614 164.89 -1.41% -2.66%
3/21/2018 170.016 169.39 -2.27% 0.74%
3/20/2018 173.957 168.15 -0.03% -2.56%
3/19/2018 174.016 172.56 -1.53% -6.77%
3/16/2018 176.716 185.09 -0.35% 0.67%
3/15/2018 177.342 183.86 0.12% -0.18%
3/14/2018 177.133 184.19 -0.85% 1.27%
3/13/2018 178.652 181.88 -0.96% -1.56%
3/12/2018 180.389 184.76 0.97% -0.25%
3/9/2018 178.662 185.23 1.72% 1.58%
3/8/2018 175.644 182.34 1.09% -0.75%
3/7/2018 173.748 183.71 -0.93% 2.19%
3/6/2018 175.376 179.78 -0.08% -0.34%
3/5/2018 175.525 180.4 0.35% 2.14%
3/2/2018 174.92 176.62 0.69% 0.39%
3/1/2018 173.719 175.94 -1.75% -1.33%
2/28/2018 176.816 178.32 -0.15% -1.73%
2/27/2018 177.084 181.46 -0.32% -1.88%
2/26/2018 177.659 184.93 1.98% 0.89%
2/23/2018 174.215 183.29 1.74% 2.40%
2/22/2018 171.237 178.99 0.84% 0.61%
2/21/2018 169.817 177.91 -0.45% 1.08%
2/20/2018 170.592 176.01 -0.34% -0.76%
2/16/2018 171.167 177.36 -0.32% -1.44%
2/15/2018 171.723 179.96 3.36% 0.25%
2/14/2018 166.144 179.52 1.84% 3.68%
2/13/2018 163.137 173.15 1.00% -1.85%
2/12/2018 161.519 176.41 4.03% 0.17%
2/9/2018 155.265 176.11 1.22% 2.64%
2/8/2018 153.388 171.58 -2.75% -4.77%
2/7/2018 157.729 180.18 -2.14% -2.77%
 2/6/2018 161.179 185.31 4.18% 2.23%
2/5/2018 154.713 181.26 -2.50% -4.74%
2/2/2018 158.678 190.28 -4.34% -1.46%
2/1/2018 165.875 193.09 0.21% 3.32%
1/31/2018 165.529 186.89 0.28% -0.12%
1/30/2018 165.074 187.12 -0.59% 0.61%
1/29/2018 166.053 185.98 -2.07% -2.12%
1/26/2018 169.563 190 0.23% 1.34%
1/25/2018 169.167 187.48 -1.79% 0.50%
1/24/2018 172.242 186.55 -1.59% -1.48%
1/23/2018 175.03 189.35 0.02% 2.15%
1/22/2018 174.99 185.37 -0.82% 2.25%
1/19/2018 176.434 181.29 -0.45% 0.83%
1/18/2018 177.225 179.8 0.09% 1.24%
1/17/2018 177.067 177.6 1.65% -0.44%
1/16/2018 174.19 178.39 -0.51% -0.55%
1/12/2018 175.079 179.37 1.03% -4.47%
1/11/2018 173.29 187.77 0.57% -0.04%
1/10/2018 172.311 187.84 -0.02% -0.02%
1/9/2018 172.351 187.87 -0.01% -0.22%
1/8/2018 172.371 188.28 -0.37% 0.77%
1/5/2018 173.013 186.85 1.14% 1.37%
1/4/2018 171.066 184.33 0.46% -0.18%
1/3/2018 170.275 184.67 -0.02% 1.79%
1/2/2018 170.304 181.42 1.79% 2.81%
12/29/2017 167.309 176.46 -1.08% -0.82%
12/28/2017 169.138 177.92 0.28% 0.17%
12/27/2017 168.663 177.62 0.02% 0.93%
12/26/2017 168.633 175.99 -2.54% -0.68%
12/22/2017 173.023 177.2 0.00% -0.14%
12/21/2017 173.023 177.45 0.38% -0.25%
12/20/2017 172.371 177.89 -0.11% -0.90%
12/19/2017 172.558 179.51 -1.07% -0.72%
12/18/2017 174.417 180.82 1.41% 0.36%
12/15/2017 171.995 180.18 1.02% 1.00%
12/14/2017 170.265 178.39 -0.03% 0.05%
12/13/2017 170.314 178.3 0.33% 0.76%
12/12/2017 169.751 176.96 -0.56% -1.16%
12/11/2017 170.71 179.04 1.95% 0.02%
12/8/2017 167.447 179 0.03% -0.63%
12/7/2017 167.398 180.14 0.18% 2.32%
12/6/2017 167.091 176.06 -0.37% 1.87%
12/5/2017 167.714 172.83 -0.09% 0.79%
12/4/2017 167.872 171.47 -0.73% -2.07%
12/1/2017 169.108 175.1 -0.47% -1.17%
11/30/2017 169.899 177.18 1.40% 1.17%
11/29/2017 167.556 175.13 -2.07% -4.00%
11/28/2017 171.105 182.42 -0.59% -0.33%
11/27/2017 172.113 183.03 -0.50% 0.14%
11/24/2017 172.983 182.78 0.01% 1.06%
11/22/2017 172.974 180.87 1.05% -0.54%
11/21/2017 171.174 181.86 1.86% 1.75%
11/20/2017 168.05 178.74 -0.10% -0.15%
11/17/2017 168.218 179 -0.56% -0.33%
11/16/2017 169.157 179.59 1.19% 0.92%
11/15/2017 167.16 177.95 -1.32% -0.07%
11/14/2017 169.395 178.07 -1.51% -0.39%
11/13/2017 171.995 178.77 -0.40% 0.17%
11/10/2017 172.687 178.46 -0.33% -0.47%
11/9/2017 173.26 179.3 -0.20% -0.14%
11/8/2017 173.615 179.56 0.82% -0.38%
11/7/2017 172.206 180.25 0.32% 0.04%
11/6/2017 171.655 180.17 1.01% 0.70%
11/3/2017 169.931 178.92 2.61% 0.00%
11/2/2017 165.606 178.92 0.73% -2.05%
11/1/2017 164.404 182.66 -1.27% 1.44%
10/31/2017 166.522 180.06 1.39% 0.11%
10/30/2017 164.237 179.87 2.25% 1.12%
10/27/2017 160.621 177.88 3.58% 4.25%
10/26/2017 155.065 170.63 0.64% 0.02%
10/25/2017 154.08 170.6 -0.44% -0.70%
10/24/2017 154.76 171.8 0.60% 0.31%
10/23/2017 153.844 171.27 -0.05% -2.12%
10/20/2017 153.923 174.98 0.17% 0.24%
10/19/2017 153.657 174.56 -2.37% -0.84%
10/18/2017 157.38 176.03 -0.44% -0.05%
10/17/2017 158.08 176.11 0.37% 0.91%
10/16/2017 157.499 174.52 1.84% 0.45%
10/13/2017 154.652 173.74 0.63% 0.69%
10/12/2017 153.676 172.55 -0.35% -0.11%
10/11/2017 154.218 172.74 0.42% 0.67%
10/10/2017 153.578 171.59 0.04% -0.53%
10/9/2017 153.519 172.5 0.35% 0.16%
10/6/2017 152.987 172.23 -0.06% 0.58%
10/5/2017 153.075 171.24 1.24% 1.67%
10/4/2017 151.194 168.42 -0.65% -0.91%
10/3/2017 152.179 169.96 0.44% 0.29%
10/2/2017 151.519 169.47 -0.20% -0.82%
9/29/2017 151.824 170.87 0.55% 1.27%
9/28/2017 150.997 168.73 -0.62% 0.63%
9/27/2017 151.933 167.68 0.71% 2.11%
9/26/2017 150.859 164.21 1.72% 0.82%
9/25/2017 148.308 162.87 -0.88% -4.50%
9/22/2017 149.628 170.54 -0.98% -0.33%
9/21/2017 151.105 171.11 -1.72% -0.62%
9/20/2017 153.745 172.17 -1.68% -0.20%
9/19/2017 156.366 172.52 0.04% 1.48%
9/18/2017 156.307 170.01 -0.76% -0.95%
9/15/2017 157.499 171.64 1.01% 0.40%
9/14/2017 155.922 170.96 -0.86% -1.21%
9/13/2017 157.272 173.05 -0.75% 0.05%
9/12/2017 158.464 172.96 -0.40% -0.32%
9/11/2017 159.094 173.51 1.81% 1.50%
9/8/2017 156.267 170.95 -1.63% -1.30%
9/7/2017 158.858 173.21 -0.40% 0.65%
9/6/2017 159.498 172.09 -0.10% 0.80%
9/5/2017 159.666 170.72 -1.20% -0.76%
9/1/2017 161.606 172.02 0.03% 0.03%
8/31/2017 161.557 171.97 0.40% 1.21%
8/30/2017 160.917 169.92 0.27% 1.11%
8/29/2017 160.483 168.05 0.89% 0.48%
8/28/2017 159.065 167.24 1.01% 0.55%
8/25/2017 157.479 166.32 0.37% -0.85%
8/24/2017 156.898 167.74 -0.44% -0.57%
8/23/2017 157.597 168.71 0.13% -0.55%
8/22/2017 157.4 169.64 1.63% 1.11%
8/21/2017 154.868 167.78 -0.18% 0.22%
8/18/2017 155.154 167.41 -0.23% 0.30%
8/17/2017 155.509 166.91 -1.92% -1.82%
8/16/2017 158.553 170 -0.40% -0.58%
8/15/2017 159.193 171 1.09% 0.15%
8/14/2017 157.469 170.75 1.50% 1.59%
8/11/2017 155.134 168.08 1.39% 0.41%
8/10/2017 153.007 167.4 -3.19% -2.21%
8/9/2017 158.04 171.18 0.61% -0.03%
8/8/2017 157.079 171.23 0.80% -0.44%
8/7/2017 155.833 171.98 1.55% 1.39%
8/4/2017 153.458 169.62 0.53% 0.61%
8/3/2017 152.653 168.59 -1.00% -0.42%
8/2/2017 154.194 169.3 4.73% -0.33%
8/1/2017 147.237 169.86 0.89% 0.36%
7/31/2017 145.942 169.25 -0.52% -1.86%
7/28/2017 146.697 172.45 -0.70% 1.18%
7/27/2017 147.737 170.44 -1.89% 2.92%
7/26/2017 150.583 165.61 0.47% 0.20%
7/25/2017 149.876 165.28 0.43% -0.43%
7/24/2017 149.239 166 1.21% 0.95%
7/21/2017 147.453 164.43 -0.05% -0.06%
7/20/2017 147.521 164.53 -0.45% 0.24%
7/19/2017 148.189 164.14 0.63% 0.79%
7/18/2017 147.266 162.86 0.35% 1.96%
7/17/2017 146.756 159.73 0.35% -0.15%
7/14/2017 146.246 159.97 0.86% 0.45%
7/13/2017 145 159.26 1.39% 0.23%
7/12/2017 143.008 158.9 0.14% 2.34%
7/11/2017 142.802 155.27 0.32% 1.15%
7/10/2017 142.34 153.5 0.61% 1.36%
7/7/2017 141.477 151.44 1.02% 1.76%
7/6/2017 140.054 148.82 -0.94% -1.01%
7/5/2017 141.389 150.34 0.41% 1.29%
 7/3/2017 140.81 148.43 -0.36% -1.69%
6/30/2017 141.32 150.98 0.24% -0.04%
6/29/2017 140.986 151.04 -1.47% -1.44%
6/28/2017 143.096 153.24 1.46% 1.77%
6/27/2017 141.035 150.58 -1.43% -1.96%
6/26/2017 143.086 153.59 -0.31% -0.95%
6/23/2017 143.538 155.07 0.45% 1.09%
6/22/2017 142.9 153.4 -0.16% -0.33%
6/21/2017 143.135 153.91 0.59% 1.09%
6/20/2017 142.291 152.25 -0.91% -0.41%
6/19/2017 143.596 152.87 2.86% 1.48%
6/16/2017 139.603 150.64 -1.40% 0.56%
6/15/2017 141.585 149.8 -0.60% -0.30%
6/14/2017 142.439 150.25 -0.98% -0.29%
6/13/2017 143.842 150.68 0.80% 1.51%
6/12/2017 142.694 148.44 -2.39% -0.78%
6/9/2017 146.187 149.6 -3.88% -3.30%
6/8/2017 152.084 154.71 -0.24% 1.04%
6/7/2017 152.457 153.12 0.60% 0.20%
6/6/2017 151.554 152.81 0.34% -0.53%
6/5/2017 151.044 153.63 -0.98% 0.01%
6/2/2017 152.536 153.61 1.48% 1.37%
6/1/2017 150.308 151.53 0.27% 0.05%
5/31/2017 149.896 151.46 -0.59% -0.60%
5/30/2017 150.789 152.38 0.04% 0.16%
5/26/2017 150.73 152.13 -0.17% 0.11%
5/25/2017 150.985 151.96 0.35% 1.28%
5/24/2017 150.465 150.04 -0.30% 1.33%
5/23/2017 150.917 148.07 -0.12% -0.11%
5/22/2017 151.103 148.24 0.61% 0.12%
5/19/2017 150.19 148.06 0.34% 0.27%
5/18/2017 149.68 147.66 1.52% 1.94%
5/17/2017 147.433 144.85 -3.36% -3.29%
5/16/2017 152.555 149.78 -0.15% -0.27%
5/15/2017 152.781 150.19 -0.26% -0.09%
5/12/2017 153.173 150.33 1.40% 0.19%
5/11/2017 151.064 150.04 0.86% -0.17%
5/10/2017 149.768 150.29 -0.47% -0.13%
5/9/2017 150.482 150.48 0.64% -0.38%
5/8/2017 149.524 151.06 2.72% 0.55%
5/5/2017 145.566 150.24 1.66% -0.40%
5/4/2017 143.192 150.85 -0.36% -0.63%
5/3/2017 143.71 151.8 -0.31% -0.64%
5/2/2017 144.149 152.78 0.63% 0.21%
5/1/2017 143.241 152.46 2.04% 1.47%
4/28/2017 140.377 150.25 -0.10% 1.73%
4/27/2017 140.514 147.7 0.08% 0.78%
4/26/2017 140.407 146.56 -0.59% 0.05%
4/25/2017 141.237 146.49 0.62% 0.70%
4/24/2017 140.368 145.47 0.96% 1.25%
4/21/2017 139.029 143.68 -0.12% -0.08%
4/20/2017 139.195 143.8 1.25% 1.08%
4/19/2017 137.475 142.27 -0.37% 0.93%
4/18/2017 137.983 140.96 -0.44% -0.33%
4/17/2017 138.599 141.42 0.55% 1.46%
4/13/2017 137.837 139.39 -0.53% -0.14%
4/12/2017 138.57 139.58 0.12% -0.24%
4/11/2017 138.403 139.92 -1.08% -0.79%
4/10/2017 139.908 141.04 -0.12% 0.18%
4/7/2017 140.074 140.78 -0.22% -0.28%
4/6/2017 140.387 141.17 -0.25% -0.48%
4/5/2017 140.739 141.85 -0.52% 0.08%
4/4/2017 141.472 141.73 0.74% -0.39%
4/3/2017 140.426 142.28 0.03% 0.16%
3/31/2017 140.387 142.05 -0.19% -0.25%
3/30/2017 140.651 142.41 -0.13% -0.17%
3/29/2017 140.837 142.65 0.22% 0.63%
3/28/2017 140.524 141.76 2.07% 1.03%
3/27/2017 137.671 140.32 0.17% -0.01%
3/24/2017 137.436 140.34 -0.20% 0.58%
3/23/2017 137.71 139.53 -0.35% -0.04%
3/22/2017 138.198 139.59 1.13% 0.78%
3/21/2017 136.654 138.51 -1.15% -1.02%
3/20/2017 138.237 139.94 1.05% 0.07%
3/17/2017 136.801 139.84 -0.50% -0.11%
3/16/2017 137.485 139.99 0.16% 0.19%
3/15/2017 137.26 139.72 1.06% 0.29%
3/14/2017 135.824 139.32 -0.15% -0.20%
3/13/2017 136.029 139.6 0.04% 0.58%
3/10/2017 135.97 138.79 0.33% 0.40%
3/9/2017 135.521 138.24 -0.23% 0.38%
3/8/2017 135.833 137.72 -0.37% 0.31%
3/7/2017 136.341 137.3 0.13% -0.09%
3/6/2017 136.166 137.42 -0.31% 0.18%
3/3/2017 136.596 137.17 0.59% 0.30%
3/2/2017 135.794 136.76 -0.59% -0.48%
3/1/2017 136.605 137.42 2.04% 1.39%
2/28/2017 133.869 135.54 0.04% -0.64%
2/27/2017 133.81 136.41 0.20% 0.72%
2/24/2017 133.547 135.44 0.10% 0.06%
2/23/2017 133.42 135.36 -0.42% -0.56%
2/22/2017 133.986 136.12 0.30% 1.79%
2/21/2017 133.586 133.72 0.72% 0.14%
2/17/2017 132.628 133.53 0.27% -0.23%
2/16/2017 132.266 133.84 -0.12% 0.30%
2/15/2017 132.423 133.44 0.36% -0.31%
2/14/2017 131.944 133.85 1.30% -0.15%
2/13/2017 130.253 134.05 0.89% -0.10%
2/10/2017 129.11 134.19 -0.23% 0.04%
2/9/2017 129.403 134.14 0.72% -0.04%
 2/8/2017 128.475 134.2 0.39% 1.79%
2/7/2017 127.979 131.84 0.95% -0.17%
2/6/2017 126.772 132.06 0.94% 0.82%
2/3/2017 125.595 130.98 0.43% 0.11%
2/2/2017 125.06 130.84 -0.17% -1.79%
2/1/2017 125.274 133.23 6.10% 2.23%
1/31/2017 118.074 130.32 -0.23% -0.50%
1/30/2017 118.346 130.98 -0.26% -0.91%
1/27/2017 118.657 132.18 0.01% -0.45%
1/26/2017 118.648 132.78 0.05% 0.99%
1/25/2017 118.589 131.48 1.59% 1.63%
1/24/2017 116.731 129.37 -0.09% 0.34%
1/23/2017 116.838 128.93 0.07% 1.49%
1/20/2017 116.76 127.04 0.18% -0.40%
1/19/2017 116.546 127.55 -0.18% -0.29%
1/18/2017 116.75 127.92 -0.01% 0.04%
1/17/2017 116.76 127.87 0.81% -0.37%
1/13/2017 115.826 128.34 -0.18% 1.36%
1/12/2017 116.03 126.62 -0.42% 0.42%
1/11/2017 116.517 126.09 0.54% 1.40%
1/10/2017 115.894 124.35 0.10% -0.44%
1/9/2017 115.777 124.9 0.92% 1.21%
1/6/2017 114.726 123.41 1.11% 2.27%
1/5/2017 113.462 120.67 0.51% 1.67%
1/4/2017 112.887 118.69 -0.11% 1.57%
1/3/2017 113.014 116.86 0.28% 1.57%
12/30/2016 112.693 115.05 -0.78% -1.12%
12/29/2016 113.578 116.35 -0.03% -0.49%
12/28/2016 113.607 116.92 -0.43% -0.92%
12/27/2016 114.094 118.01 0.64% 0.63%
12/23/2016 113.374 117.27 0.20% -0.11%
12/22/2016 113.15 117.4 -0.66% -1.38%
12/21/2016 113.899 119.04 0.09% -0.04%
12/20/2016 113.792 119.09 0.27% -0.13%
12/19/2016 113.491 119.24 0.58% -0.53%
12/16/2016 112.839 119.87 0.13% -0.58%
12/15/2016 112.693 120.57 0.55% 0.30%
12/14/2016 112.08 120.21 0.00% -0.08%
12/13/2016 112.08 120.31 1.67% 2.16%
12/12/2016 110.241 117.77 -0.57% -1.60%
12/9/2016 110.873 119.68 1.63% 0.65%
12/8/2016 109.093 118.91 0.98% 0.81%
12/7/2016 108.032 117.95 0.98% 0.55%
12/6/2016 106.981 117.31 0.77% -0.10%
12/5/2016 106.164 117.43 -0.72% 1.76%
12/2/2016 106.933 115.4 0.37% 0.26%
12/1/2016 106.534 115.1 -0.93% -2.80%
11/30/2016 107.536 118.42 -0.84% -2.03%
11/29/2016 108.451 120.87 -0.10% 0.38%
11/28/2016 108.558 120.41 -0.20% 0.02%
11/25/2016 108.772 120.38 0.50% -0.38%
11/23/2016 108.227 120.84 -0.51% -0.52%
11/22/2016 108.781 121.47 0.06% -0.25%
11/21/2016 108.713 121.77 1.52% 4.06%
11/18/2016 107.088 117.02 0.10% -0.65%
11/17/2016 106.981 117.79 -0.04% 1.25%
11/16/2016 107.02 116.34 2.69% -0.73%
11/15/2016 104.218 117.2 1.32% 1.84%
11/14/2016 102.856 115.08 -2.51% -3.31%
11/11/2016 105.502 119.02 0.59% -1.47%
11/10/2016 104.88 120.8 -2.79% -1.93%
11/9/2016 107.886 123.18 -0.16% -0.84%
11/8/2016 108.061 124.22 0.59% 1.69%
11/7/2016 107.429 122.15 1.44% 1.16%
11/4/2016 105.901 120.75 -0.90% 0.63%
11/3/2016 106.865 120 -1.07% -5.64%
11/2/2016 108.022 127.17 0.09% -1.80%
11/1/2016 107.926 129.5 -1.81% -1.14%
10/31/2016 109.91 130.99 -0.16% -0.23%
10/28/2016 110.084 131.29 -0.66% 1.23%
10/27/2016 110.82 129.69 -0.96% -1.03%
10/26/2016 111.895 131.04 -2.25% -0.94%
10/25/2016 114.469 132.29 0.51% -0.74%
10/24/2016 113.889 133.28 0.90% 0.92%
10/21/2016 112.872 132.07 -0.39% 1.59%
10/20/2016 113.318 130 -0.05% -0.08%
10/19/2016 113.376 130.11 -0.30% 1.20%
10/18/2016 113.714 128.57 -0.07% 0.81%
10/17/2016 113.792 127.54 -0.07% -0.27%
10/14/2016 113.869 127.88 0.56% 0.05%
10/13/2016 113.24 127.82 -0.31% -0.95%
10/12/2016 113.589 129.05 0.89% 0.13%
10/11/2016 112.582 128.88 0.22% -1.04%
10/10/2016 112.34 130.24 1.74% 0.97%
10/7/2016 110.413 128.99 0.15% 0.19%
10/6/2016 110.249 128.74 0.74% 0.21%
10/5/2016 109.436 128.47 0.04% 0.22%
10/4/2016 109.387 128.19 0.43% -0.45%
10/3/2016 108.923 128.77 -0.47% 0.39%
9/30/2016 109.436 128.27 0.78% 0.14%
9/29/2016 108.594 128.09 -1.55% -0.88%
9/28/2016 110.307 129.23 0.76% 0.42%
9/27/2016 109.474 128.69 0.19% 1.08%
9/26/2016 109.271 127.31 0.15% -0.51%
9/23/2016 109.107 127.96 -1.67% -1.63%
9/22/2016 110.956 130.08 0.94% 0.11%
9/21/2016 109.92 129.94 -0.02% 1.01%
9/20/2016 109.939 128.64 -0.01% -0.01%
9/19/2016 109.949 128.65 -1.17% -0.33%
9/16/2016 111.246 129.07 -0.56% 0.56%
9/15/2016 111.875 128.35 3.40% 0.45%
9/14/2016 108.197 127.77 3.54% 0.44%
9/13/2016 104.499 127.21 2.38% -1.15%
9/12/2016 102.069 128.69 2.24% 1.25%
9/9/2016 99.8329 127.1 -2.26% -2.43%
9/8/2016 102.146 130.27 -2.62% -0.60%
9/7/2016 104.896 131.05
 Simple Returns
IBM Annual FB
=AVERAGE(E3:E5
0.16% 39.32% 0.06%
06)
=VAR.S(E3:E50
0.000157 0.000281
6)
=STDEV.S(E3:E5
1.25% 1.68%
06)
=COVARIANCE.S(D3:D506,E3:E
0.000085
506)
=CORREL(D3:D506,E3:E
0.404
506)

60%
40%

Portfolio
=I22*I3+I23*J3
0.12%
=I22^2*I4+I23^2*J4+2*I22*I23*J6
0%
=I27^0.5
1.19%
 Stock A Stock B
Expected return 7% 15%
Risk 12% 25%
Weights 50% 50%
Correlation 0.50

Portfolio return 11.00% =B4*B2+C4*C2

Portfolio risk 16.35% =SQRT((B4*B3)^2+(C4*C3)^2+2*B4*C4*B3*C3*B5)

Portfolio return Portfolio risk with correlation of

Weight in Stock A 11.00% 16.35% 1.00 0.50 0.00
0% 0.00%
10% 10.00%
20% 20.00%
30% 30.00%
40% 40.00%
50% 50.00%
60% 60.00%
70% 70.00%
80% 80.00%
90% 90.00%
100% 100.00%

1204%
The efficient frontier

1004%

804% Global minimum vari- X

Expected return

ance portfolio The efficient frontier

604%

404%
Y
204%

4%
0% 200% 400% 600% 800% 1000% 1200%
Risk
 Two asset portfolios with different correlations

Expected return
1204%
3*C3*B5)
B
1004%
sk with correlation of
-0.50 -1.00 804%

604%

404%

204% A

4%
0% 200% 400% 600% 800% 1000%

The efficient frontier

Expected return

T
h
P* e
The CAL - The efficie
set
e
A f
f
fficient frontier i
RF c
i
e
n
0% 200% 400% 600% 800% t
1000% 1200%
Risk
f
r
o
n
% 1000% 1200% t
i
e
r
erent correlations
B

rho=1
rho=0.5
rho=0
rho=-0.5
rho=-1

800% 1000% 1200%

Risk

frontier

T
h
e
The CAL - The efficient
set
e
f
f
i
c
i
e
n
800% t
1000% 1200%
k
f
r
o
n
t
i
e
r
 PRICE AND MARKET CAP DATA FOR 10 COMPANIES
General Home International Hewlett- American
Altria
Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP

Market capitalization
(billion $) 16.85 73.98 15.92 88.37 153.33 65.66
Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
=B3/
SUM($B$3:$K$3)
Monthly price data (includes dividends)
GM HD IP HPQ MO AXP
1-Apr-04 42.07 34.35 37.82 19.12 49.79 42.09
3-May-04 40.72 35.06 39.58 20.61 43.13 43.59
1-Jun-04 41.80 34.44 42.19 20.55 45.64 44.26
1-Jul-04 38.70 32.99 40.81 19.63 43.40 43.29
2-Aug-04 37.51 35.85 38.00 17.43 44.63 43.09
1-Sep-04 38.57 38.44 38.37 18.34 43.53 44.33
1-Oct-04 35.00 40.29 36.57 18.25 44.84 45.82
1-Nov-04 35.50 41.03 39.67 19.57 53.20 48.10
1-Dec-04 36.85 42.00 40.13 20.59 57.22 48.67
3-Jan-05 33.86 40.54 37.41 19.24 59.78 46.16
1-Feb-05 33.23 39.33 35.93 20.43 61.48 46.86
1-Mar-05 27.40 37.67 35.39 21.63 61.93 44.56
1-Apr-05 24.87 34.84 32.99 20.18 61.55 45.71
2-May-05 29.88 38.76 31.23 22.20 63.59 46.71
1-Jun-05 32.22 38.42 29.29 23.26 61.89 46.27
1-Jul-05 34.89 42.97 30.63 24.36 64.09 47.81
1-Aug-05 32.86 39.92 30.15 27.47 67.67 48.02
1-Sep-05 29.42 37.76 29.12 28.97 71.34 49.93
3-Oct-05 26.33 40.63 28.52 27.82 72.64 49.54
1-Nov-05 21.44 41.46 31.07 29.44 70.45 51.19
1-Dec-05 19.01 40.17 33.12 28.48 73.08 51.23
3-Jan-06 23.56 40.24 32.15 31.02 70.75 52.33
1-Feb-06 20.11 41.83 32.53 32.64 70.32 53.76
1-Mar-06 21.06 42.13 34.32 32.81 70.06 52.43
3-Apr-06 22.66 39.77 36.09 32.38 72.34 53.81
1-May-06 26.93 37.97 33.98 32.29 71.54 54.36
1-Jun-06 29.79 35.79 32.30 31.68 73.43 53.22
10 COMPANIES
Alcoa
DuPont Merck
Aluminum MMM
DD MRK
AA

28.16 38.32 79.51 60.9

4.53% 6.17% 12.80% 9.81%

dends) Log Returns

AA DD MRK MMM GM HD IP HPQ MO
29.40 39.88 42.43 82.54 0.36% -5.99% -4.70% -14.76% 1.70%
30.07 40.45 42.70 81.06 -3.26% 2.05% 4.55% 7.50% -14.36%
31.73 41.59 43.21 86.28 2.62% -1.78% =LN(B8/ -0.29%
6.39% 5.66%
30.77 40.14 41.26 78.95 -7.71% -4.30% B7)
-3.33% -4.58% -5.03%
31.25 39.90 40.91 79.31 -3.12% 8.31% -7.13% -11.89% 2.79%
32.42 40.41 30.28 77.01 2.79% 6.98% 0.97% 5.09% -2.50%
31.37 40.48 28.73 74.70 -9.71% 4.70% -4.80% -0.49% 2.97%
32.95 43.13 25.71 76.98 1.42% 1.82% 8.14% 6.98% 17.10%
30.46 46.68 29.89 79.38 3.73% 2.34% 1.15% 5.08% 7.28%
28.62 45.26 26.09 81.60 -8.46% -3.54% -7.02% -6.78% 4.38%
31.31 51.08 29.49 81.60 -1.88% -3.03% -4.04% 6.00% 2.80%
29.62 49.10 30.47 83.30 -19.29% -4.31% -1.51% 5.71% 0.73%
28.29 45.14 31.91 74.34 -9.69% -7.81% -7.02% -6.94% -0.62%
26.55 44.92 30.53 74.92 18.35% 10.66% -5.48% 9.54% 3.26%
25.60 41.54 29.33 70.67 7.54% -0.88% -6.41% 4.66% -2.71%
27.48 41.22 29.58 73.31 7.96% 11.19% 4.47% 4.62% 3.49%
26.38 38.55 27.25 69.96 -5.99% -7.36% -1.58% 12.02% 5.44%
24.05 38.16 26.27 72.13 -11.06% -5.56% -3.48% 5.32% 5.28%
23.92 40.62 27.24 74.70 -11.10% 7.33% -2.08% -4.05% 1.81%
27.16 42.02 28.75 77.57 -20.55% 2.02% 8.56% 5.66% -3.06%
29.30 41.77 31.10 76.60 -12.03% -3.16% 6.39% -3.32% 3.67%
31.21 38.48 33.73 71.91 21.46% 0.17% -2.97% 8.54% -3.24%
29.19 39.91 34.09 73.20 -15.83% 3.88% 1.18% 5.09% -0.61%
30.43 41.87 34.83 75.29 4.62% 0.71% 5.36% 0.52% -0.37%
33.63 43.74 34.03 84.98 7.32% -5.76% 5.03% -1.32% 3.20%
31.72 42.53 33.29 83.66 17.26% -4.63% -6.02% -0.28% -1.11%
32.36 41.60 36.43 80.77 10.09% -5.91% -5.07% -1.91% 2.61%
 GM
Log Returns Mean Return -0.87%
AXP AA DD MRK MMM Return s 10.88%
-5.75% -12.03% 1.72% 6.15% 5.48% =MMULT(TRANSPOSE(L
3.50% 2.25% 1.42% 0.63% -1.81% Correlation Matrix (COUNT(U10:U69)-1)
1.53% 5.37% 2.78% 1.19% 6.24%
-2.22% -3.07% -3.55% -4.62% -8.88% 0 GM
-0.46% 1.55% -0.60% -0.85% 0.45% 1 HD
2.84% 3.68% 1.27% -30.09% -2.94% 2 IP
3.31% -3.29% 0.17% -5.25% -3.05% 3 HPQ
4.86% 4.91% 6.34% -11.11% 3.01% 4 MO
1.18% -7.86% 7.91% 15.06% 3.07% 5 AXP
-5.29% -6.23% -3.09% -13.60% 2.76% 6 AA
1.51% 8.98% 12.10% 12.25% 0.00% 7 DD
-5.03% -5.55% -3.95% 3.27% 2.06% 8 MRK
2.55% -4.59% -8.41% 4.62% -11.38% 9 MMM
2.16% -6.35% -0.49% -4.42% 0.78% =CORREL(OFFSET($M$8
-0.95% -3.64% -7.82% -4.01% -5.84% $M$67,0,$X45))
3.27% 7.09% -0.77% 0.85% 3.67%
0.44% -4.09% -6.70% -8.20% -4.68%
3.90% -9.25% -1.02% -3.66% 3.05%
-0.78% -0.54% 6.25% 3.63% 3.50%
3.28% 12.70% 3.39% 5.40% 3.77%
0.08% 7.58% -0.60% 7.86% -1.26% =MMULT(
2.12% 6.32% -8.20% 8.12% -6.32% X12:AG21
2.70% -6.69% 3.65% 1.06% 1.78% (TRANSP
-2.51% 4.16% 4.79% 2.15% 2.82% 7)-Y24))/
2.60% 10.00% 4.37% -2.32% 12.11% SUM(MMU
1.02% -5.85% -2.81% -2.20% -1.57% RSE(X12:
-2.12% 2.00% -2.21% 9.01% -3.52% NSPOSE(
Y24))
 HD IP HPQ MO AXP AA DD
-0.39% 0.06% 0.30% 1.07% 0.82% -0.18% 0.03%
8.48% 6.29% 10.90% 8.78% 6.48% 9.62% 6.18%
=MMULT(TRANSPOSE(L10:U69-X7:AG7),L10:U69-X7:AG7)/ =STDEV(S10:
(COUNT(U10:U69)-1)
0 1 2 3 4 5S69) 6
GM HD IP HPQ MO AXP AA
1.00
0.33 1.00
0.35 0.35 1.00
0.35 0.46 0.46 1.00
0.14 0.30 0.02 0.27 1.00
0.47 0.61 0.58 0.70 0.28 1.00
0.44 0.56 0.72 0.58 0.21 0.60 1.00
0.27 0.39 0.54 0.49 0.16 0.49 0.69
0.11 0.03 0.24 0.22 0.10 0.20 0.23
0.23 0.38 0.46 0.37 0.16 0.38 0.45
CORREL(OFFSET($M$8:$M$67,0,Z$34),OFFSET($M$8:
M$67,0,$X45))
=4.83%/
12

=MMULT(MINVERSE(
X12:AG21),
(TRANSPOSE(X7:AG
7)-Y24))/
SUM(MMULT(MINVE
RSE(X12:AG21),TRA
NSPOSE(X7:AG7)-
Y24))
=AVERAGE(U10
:U69)
MRK MMM
-0.55% 0.75%
8.13% 5.58%
2.71%
7 8 9 11.91%
DD MRK MMM 2.56%
14.23%
24.69%
10.57%
4.53%
6.17%
12.80%
9.81%
1.00
0.33 1.00
0.56 0.11 1.00
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%

=MMULT(Y4:AH13,AB28:AB37)*Z
24+Z16
=MMULT(Y4:AH13,AB28:AB37)*Z
24+Z16
 PRICE AND MARKET CAP DATA FOR 10 COMPANIES
General Home International Hewlett- American
Altria
Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP

Market capitalization
(billion $) 16.85 73.98
=B3/ 15.92 88.37 153.33 65.66
Benchmark proportion 2.71% 11.91% 2.56%
SUM($B$3:$K$3 14.23% 24.69% 10.57%
)

Monthly price data (includes dividends)

GM HD IP HPQ MO AXP
1-Jun-01 50.31 45.26 31.22 26.47 38.74 32.47
2-Jul-01 49.72 48.26 35.64 22.83 35.61 33.82
1-Aug-01 43.14 44.06 35.32 21.48 37.10 30.54
4-Sep-01 33.81 36.79 30.66 14.92 37.79 24.37
1-Oct-01 32.56 36.66 31.50 15.65 36.63 24.75
1-Nov-01 39.63 44.78 35.37 20.45 36.92 27.68
3-Dec-01 38.75 48.97 35.73 19.17 36.34 30.02
2-Jan-02 40.77 48.09 36.99 20.64 39.71 30.22
1-Feb-02 42.67 48.00 38.96 18.78 41.73 30.72
1-Mar-02 48.69 46.71 38.30 16.81 42.21 34.52
1-Apr-02 51.67 44.56 36.90 16.02 43.62 34.64
1-May-02 50.43 40.06 38.60 17.89 45.88 35.90
3-Jun-02 43.37 35.34 39.03 14.38 35.44 30.68
1-Jul-02 37.77 29.71 35.67 13.32 37.37 29.84
1-Aug-02 39.28 31.69 33.95 12.64 40.57 30.52
3-Sep-02 31.93 25.15 30.11 11.05 31.91 26.39
1-Oct-02 27.29 27.83 31.49 14.96 33.51 30.86
1-Nov-02 33.06 25.44 35.64 18.45 31.02 33.03
2-Dec-02 30.70 23.20 31.75 16.51 33.86 30.06
2-Jan-03 30.26 20.19 32.42 16.56 31.64 30.21
3-Feb-03 28.52 22.65 32.03 15.08 32.29 28.56
3-Mar-03 28.39 23.59 30.91 14.87 25.48 28.26
1-Apr-03 30.45 27.24 32.69 15.58 26.16 32.27
1-May-03 30.26 31.47 33.76 18.64 35.12 35.51
2-Jun-03 30.83 32.14 32.90 20.44 39.22 35.64
1-Jul-03 32.05 30.27 36.02 20.32 34.53 37.74
1-Aug-03 35.67 31.20 37.56 19.13 35.57 38.49
2-Sep-03 35.52 30.97 36.15 18.65 38.43 38.50
1-Oct-03 37.03 36.05 36.45 21.50 40.80 40.19
3-Nov-03 37.57 35.75 34.71 20.95 45.62 39.14
1-Dec-03 46.89 34.58 40.21 22.21 48.36 41.39
2-Jan-04 43.63 34.56 39.43 23.00 49.40 44.49
2-Feb-04 42.69 35.38 41.52 21.96 51.14 45.84
1-Mar-04 41.92 36.47 39.64 22.16 48.95 44.58
1-Apr-04 42.07 34.35 37.82 19.12 49.79 42.09
3-May-04 40.72 35.06 39.58 20.61 43.13 43.59
1-Jun-04 41.80 34.44 42.19 20.55 45.64 44.26
 1-Jul-04 38.70 32.99 40.81 19.63 43.40 43.29
2-Aug-04 37.51 35.85 38.00 17.43 44.63 43.09
1-Sep-04 38.57 38.44 38.37 18.34 43.53 44.33
1-Oct-04 35.00 40.29 36.57 18.25 44.84 45.82
1-Nov-04 35.50 41.03 39.67 19.57 53.20 48.10
1-Dec-04 36.85 42.00 40.13 20.59 57.22 48.67
3-Jan-05 33.86 40.54 37.41 19.24 59.78 46.16
1-Feb-05 33.23 39.33 35.93 20.43 61.48 46.86
1-Mar-05 27.40 37.67 35.39 21.63 61.93 44.56
1-Apr-05 24.87 34.84 32.99 20.18 61.55 45.71
2-May-05 29.88 38.76 31.23 22.20 63.59 46.71
1-Jun-05 32.22 38.42 29.29 23.26 61.89 46.27
1-Jul-05 34.89 42.97 30.63 24.36 64.09 47.81
1-Aug-05 32.86 39.92 30.15 27.47 67.67 48.02
1-Sep-05 29.42 37.76 29.12 28.97 71.34 49.93
3-Oct-05 26.33 40.63 28.52 27.82 72.64 49.54
1-Nov-05 21.44 41.46 31.07 29.44 70.45 51.19
1-Dec-05 19.01 40.17 33.12 28.48 73.08 51.23
3-Jan-06 23.56 40.24 32.15 31.02 70.75 52.33
1-Feb-06 20.11 41.83 32.53 32.64 70.32 53.76
1-Mar-06 21.06 42.13 34.32 32.81 70.06 52.43
3-Apr-06 22.66 39.77 36.09 32.38 72.34 53.81
1-May-06 26.93 37.97 33.98 32.29 71.54 54.36
1-Jun-06 29.79 35.79 32.30 31.68 73.43 53.22
0 COMPANIES
Alcoa
Aluminu DuPont Merck
MMM
m DD MRK
AA

28.16 38.32 79.51 60.9

4.53% 6.17% 12.80% 9.81%

nds) Log Returns

AA DD MRK MMM GM HD IP HPQ MO
36.06 40.88 50.74 51.56
=LN(B8/
35.37 36.29 53.98 50.55 -1.18% 6.42%
B7) 13.24% -14.79% -8.42%
34.50 35.01 51.96 47.30 -14.20% -9.11% -0.90% -6.10% 4.10%
28.06 32.07 53.16 44.71 -24.37% -18.03% -14.15% -36.44% 1.84%
29.34 34.18 50.93 47.43 -3.77% -0.35% 2.70% 4.78% -3.12%
35.09 38.21 54.07 52.33 19.65% 20.01% 11.59% 26.75% 0.79%
32.32 36.63 47.18 53.99 -2.25% 8.94% 1.01% -6.46% -1.58%
32.59 38.06 47.48 50.70 5.08% -1.81% 3.47% 7.39% 8.87%
34.31 40.68 49.21 54.16 4.55% -0.19% 5.19% -9.44% 4.96%
34.47 40.95 46.46 52.81 13.20% -2.72% -1.71% -11.08% 1.14%
31.08 38.65 43.85 57.77 5.94% -4.71% -3.72% -4.81% 3.29%
32.09 40.27 46.07 57.88 -2.43% -10.65% 4.50% 11.04% 5.05%
30.41 38.86 41.12 56.76 -15.08% -12.54% 1.11% -21.84% -25.82%
24.96 36.69 40.28 58.07 -13.83% -17.35% -9.00% -7.66% 5.30%
23.15 35.58 41.03 57.94 3.92% 6.45% -4.94% -5.24% 8.22%
17.81 31.84 37.40 50.99 -20.72% -23.11% -12.00% -13.44% -24.01%
20.35 36.41 44.38 58.86 -15.70% 10.13% 4.48% 30.29% 4.89%
23.72 39.71 48.61 60.50 19.18% -8.98% 12.38% 20.97% -7.72%
21.15 37.74 46.61 57.45 -7.41% -9.22% -11.56% -11.11% 8.76%
18.36 33.71 45.60 58.03 -1.44% -13.90% 2.09% 0.30% -6.78%
19.18 32.95 43.43 58.72 -5.92% 11.50% -1.21% -9.36% 2.03%
18.14 34.92 45.42 60.91 -0.46% 4.07% -3.56% -1.40% -23.69%
21.60 38.22 48.23 59.04 7.00% 14.39% 5.60% 4.66% 2.63%
23.18 38.18 46.08 59.55 -0.63% 14.43% 3.22% 17.93% 29.45%
24.02 37.72 50.52 60.74 1.87% 2.11% -2.58% 9.22% 11.04%
26.16 39.81 46.12 66.02 3.88% -5.99% 9.06% -0.59% -12.74%
27.06 40.86 44.36 67.40 10.70% 3.03% 4.19% -6.03% 2.97%
24.78 36.54 44.95 65.35 -0.42% -0.74% -3.83% -2.54% 7.73%
29.91 36.90 39.29 74.62 4.16% 15.19% 0.83% 14.22% 5.98%
31.23 38.19 36.05 75.10 1.45% -0.84% -4.89% -2.59% 11.17%
36.17 42.27 41.39 80.79 22.16% -3.33% 14.71% 5.84% 5.83%
32.53 40.44 42.64 75.15 -7.21% -0.06% -1.96% 3.50% 2.13%
35.82 41.86 43.07 74.47 -2.18% 2.34% 5.16% -4.63% 3.46%
33.16 39.20 39.90 78.14 -1.82% 3.03% -4.63% 0.91% -4.38%
29.40 39.88 42.43 82.54 0.36% -5.99% -4.70% -14.76% 1.70%
30.07 40.45 42.70 81.06 -3.26% 2.05% 4.55% 7.50% -14.36%
31.73 41.59 43.21 86.28 2.62% -1.78% 6.39% -0.29% 5.66%
30.77 40.14 41.26 78.95 -7.71% -4.30% -3.33% -4.58% -5.03%
31.25 39.90 40.91 79.31 -3.12% 8.31% -7.13% -11.89% 2.79%
32.42 40.41 30.28 77.01 2.79% 6.98% 0.97% 5.09% -2.50%
31.37 40.48 28.73 74.70 -9.71% 4.70% -4.80% -0.49% 2.97%
32.95 43.13 25.71 76.98 1.42% 1.82% 8.14% 6.98% 17.10%
30.46 46.68 29.89 79.38 3.73% 2.34% 1.15% 5.08% 7.28%
28.62 45.26 26.09 81.60 -8.46% -3.54% -7.02% -6.78% 4.38%
31.31 51.08 29.49 81.60 -1.88% -3.03% -4.04% 6.00% 2.80%
29.62 49.10 30.47 83.30 -19.29% -4.31% -1.51% 5.71% 0.73%
28.29 45.14 31.91 74.34 -9.69% -7.81% -7.02% -6.94% -0.62%
26.55 44.92 30.53 74.92 18.35% 10.66% -5.48% 9.54% 3.26%
25.60 41.54 29.33 70.67 7.54% -0.88% -6.41% 4.66% -2.71%
27.48 41.22 29.58 73.31 7.96% 11.19% 4.47% 4.62% 3.49%
26.38 38.55 27.25 69.96 -5.99% -7.36% -1.58% 12.02% 5.44%
24.05 38.16 26.27 72.13 -11.06% -5.56% -3.48% 5.32% 5.28%
23.92 40.62 27.24 74.70 -11.10% 7.33% -2.08% -4.05% 1.81%
27.16 42.02 28.75 77.57 -20.55% 2.02% 8.56% 5.66% -3.06%
29.30 41.77 31.10 76.60 -12.03% -3.16% 6.39% -3.32% 3.67%
31.21 38.48 33.73 71.91 21.46% 0.17% -2.97% 8.54% -3.24%
29.19 39.91 34.09 73.20 -15.83% 3.88% 1.18% 5.09% -0.61%
30.43 41.87 34.83 75.29 4.62% 0.71% 5.36% 0.52% -0.37%
33.63 43.74 34.03 84.98 7.32% -5.76% 5.03% -1.32% 3.20%
31.72 42.53 33.29 83.66 17.26% -4.63% -6.02% -0.28% -1.11%
32.36 41.60 36.43 80.77 10.09% -5.91% -5.07% -1.91% 2.61%
 GM
Log Returns Mean Return -0.87%
AXP AA DD MRK MMM Return s 10.88%

4.07% -1.93% -11.91% 6.19% -1.98% VCV Matrix

-10.20% -2.49% -3.59% -3.81% -6.65% GM
-22.57% -20.66% -8.77% 2.28% -5.63% GM 0.0118
1.55% 4.46% 6.37% -4.29% 5.91% HD 0.0031
11.19% 17.90% 11.15% 5.98% 9.83% IP 0.0024
8.12% -8.22% -4.22% -13.63% 3.12% HPQ 0.0042
0.66% 0.83% 3.83% 0.63% -6.29% MO 0.0014
1.64% 5.14% 6.66% 3.58% 6.60% AXP 0.0033
11.66% 0.47% 0.66% -5.75% -2.52% AA 0.0046
0.35% -10.35% -5.78% -5.78% 8.98% DD 0.0018
3.57% 3.20% 4.11% 4.94% 0.19% MRK 0.0010
-15.71% -5.38% -3.56% -11.37% -1.95% MMM 0.0014
-2.78% -19.75% -5.75% -2.06% 2.28%
2.25% -7.53% -3.07% 1.84% -0.22%
-14.54% -26.22% -11.11% -9.26% -12.78% Current T-Bill Rate
15.65% 13.33% 13.41% 17.11% 14.35%
6.80% 15.32% 8.68% 9.10% 2.75%
-9.42% -11.47% -5.09% -4.20% -5.17% Optimization Weights
0.50% -14.15% -11.29% -2.19% 1.00%
-5.62% 4.37% -2.28% -4.88% 1.18% GM 480.16% =MMUL
-1.06% -5.57% 5.81% 4.48% 3.66% HD 981.79%
X12:AG
(TRANS
13.27% 17.46% 9.03% 6.00% -3.12% IP 689.27%
7)-Y24)
9.57% 7.06% -0.10% -4.56% 0.86% HPQ 221.27% SUM(M
0.37% 3.56% -1.21% 9.20% 1.98% MO -263.67% RSE(X1
5.73% 8.53% 5.39% -9.11% 8.34% AXP -1763.71% NSPOS
1.97% 3.38% 2.60% -3.89% 2.07% AA -324.53% Y24))
0.03% -8.80% -11.17% 1.32% -3.09% DD 528.76%
4.30% 18.82% 0.98% -13.46% 13.27% MRK 469.54%
-2.65% 4.32% 3.44% -8.61% 0.64% MMM -918.87%
5.59% 14.69% 10.15% 13.81% 7.30%
7.22% -10.61% -4.43% 2.98% -7.24% Total Weight 100.00%
2.99% 9.63% 3.45% 1.00% -0.91%
-2.79% -7.72% -6.57% -7.65% 4.81%
-5.75% -12.03% 1.72% 6.15% 5.48%
3.50% 2.25% 1.42% 0.63% -1.81% Correlation Matrix
1.53% 5.37% 2.78% 1.19% 6.24%
-2.22% -3.07% -3.55% -4.62% -8.88% 0 GM
-0.46% 1.55% -0.60% -0.85% 0.45% 1 HD
2.84% 3.68% 1.27% -30.09% -2.94% 2 IP
3.31% -3.29% 0.17% -5.25% -3.05% 3 HPQ
4.86% 4.91% 6.34% -11.11% 3.01% 4 MO
1.18% -7.86% 7.91% 15.06% 3.07% 5 AXP
-5.29% -6.23% -3.09% -13.60% 2.76% 6 AA
1.51% 8.98% 12.10% 12.25% 0.00% 7 DD
-5.03% -5.55% -3.95% 3.27% 2.06% 8 MRK
2.55% -4.59% -8.41% 4.62% -11.38% 9 MMM
2.16% -6.35% -0.49% -4.42% 0.78%
-0.95% -3.64% -7.82% -4.01% -5.84%
3.27% 7.09% -0.77% 0.85% 3.67%
0.44% -4.09% -6.70% -8.20% -4.68%
3.90% -9.25% -1.02% -3.66% 3.05%
-0.78% -0.54% 6.25% 3.63% 3.50%
3.28% 12.70% 3.39% 5.40% 3.77%
0.08% 7.58% -0.60% 7.86% -1.26%
2.12% 6.32% -8.20% 8.12% -6.32%
2.70% -6.69% 3.65% 1.06% 1.78%
-2.51% 4.16% 4.79% 2.15% 2.82%
2.60% 10.00% 4.37% -2.32% 12.11%
1.02% -5.85% -2.81% -2.20% -1.57%
-2.12% 2.00% -2.21% 9.01% -3.52%
 HD IP HPQ MO AXP AA DD
-0.39% 0.06% 0.30% 1.07% 0.82% -0.18% 0.03%
=STDEV(S10
8.48% 6.29% 10.90% 8.78% 6.48% 9.62% 6.18% :S69)

HD IP HPQ MO AXP AA DD
=MMULT(TRANSPOSE(L10:U69-X7:AG7),L10:U69-X7:AG7
0.0031 0.0024 0.0042 0.0014 0.0033 0.0046
(COUNT(U10:U69)-1) 0.0018
0.0072 0.0019 0.0043 0.0022 0.0033 0.0046 0.0020
0.0019 0.0040 0.0031 0.0001 0.0024 0.0043 0.0021
0.0043 0.0031 0.0119 0.0026 0.0049 0.0061 0.0033
0.0022 0.0001 0.0026 0.0077 0.0016 0.0018 0.0009
0.0033 0.0024 0.0049 0.0016 0.0042 0.0038 0.0019
0.0046 0.0043 0.0061 0.0018 0.0038 0.0093 0.0041
0.0020 0.0021 0.0033 0.0009 0.0019 0.0041 0.0038
0.0002 0.0012 0.0020 0.0007 0.0011 0.0018 0.0017
0.0018 0.0016 0.0022 0.0008 0.0014 0.0024 0.0019

=4.83%/
0.40% 12

ptimization Weights

=MMULT(MINVERSE(
X12:AG21),
(TRANSPOSE(X7:AG
7)-Y24))/
SUM(MMULT(MINVE
RSE(X12:AG21),TRA
NSPOSE(X7:AG7)-
Y24))

0 1 2 3 4 5 6
GM HD IP HPQ MO AXP AA
1.00
0.33 1.00
0.35 0.35 1.00
0.35 0.46 0.46 1.00
0.14 0.30 0.02 0.27 1.00
0.47 0.61 0.58 0.70 0.28 1.00
0.44 0.56 0.72 0.58 0.21 0.60 1.00
0.27 0.39 0.54 0.49 0.16 0.49 0.69
0.11 0.03 0.24 0.22 0.10 0.20 0.23
=CORREL(OFFSET($M$8:$M$67,0,Z$34),OFFSET($
0.23 0.38 0.46
M$8:$M$67,0,$X45)) 0.37 0.16 0.38 0.45
 MRK MMM
=AVERAGE(U1
-0.55% 0.75% 0:U69)
=STDEV(S10
8.13%
:S69) 5.58%

MRK MMM
10:U69-X7:AG7),L10:U69-X7:AG7)/
0.0010 0.0014
0.0002 0.0018
0.0012 0.0016
0.0020 0.0022
0.0007 0.0008
0.0011 0.0014
0.0018 0.0024
0.0017 0.0019
0.0066 0.0005
0.0005 0.0031

Initial Weight

2.71%
7 8 9 11.91%
DD MRK MMM 2.56%
 14.23%
24.69%
10.57%
4.53%
6.17%
12.80%
9.81%
1.00
0.33 1.00
0.56 0.11 1.00
BL Forecased Return Mean Return

0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
0.40%
=MMULT(Y4:AH13,AB28:AB37)*
0.40% Z24+Z16
 MARKET (BENCHMARK) PORTFOLIO--WHAT DOES THE
BLACK-LITTERMAN APPROACH - STEP ONE

Anticipated benchmark return 1.00% =12%/

12
Current t-bill rate 0.40%
=MMULT(B17:K17,TRANSPOSE(B
Expected Return of the 16:K16))
Benchmark Portfolio 0.32%
=MMULT(B16:K16,MMULT(B22:K31,TRANSPOSE(
Variance of the B16:K16)))
benchmark portfolio 0.28%
=(B2-B4)/B8
l 2.12

Market capitalization GM HD IP HPQ MO

(billion $) 16.85 73.98 15.92 88.37 153.33
Benchmark Weights 2.71% 11.91% 2.56% 14.23% 24.69%
Mean Return -0.87% -0.39% 0.06% 0.30% 1.07%
Return s 10.88% 8.48% 6.29% 10.90% 8.78%

VCV Matrix
GM HD IP HPQ MO
GM 0.0118 0.0031 0.0024 0.0042 0.0014
HD 0.0031 0.0072 0.0019 0.0043 0.0022
IP 0.0024 0.0019 0.0040 0.0031 0.0001
HPQ 0.0042 0.0043 0.0031 0.0119 0.0026
MO 0.0014 0.0022 0.0001 0.0026 0.0077
AXP 0.0033 0.0033 0.0024 0.0049 0.0016
AA 0.0046 0.0046 0.0043 0.0061 0.0018
DD 0.0018 0.0020 0.0021 0.0033 0.0009
MRK 0.0010 0.0002 0.0012 0.0020 0.0007
MMM 0.0014 0.0018 0.0016 0.0022 0.0008

BL Implied Expected Return Additional Check for the OP weights

GM 0.96% =MMULT(B22:K31 2.71% =MMULT(MINVERSE

HD 1.05% ,TRANSPOSE(B1 11.91% ,B36:B45-B4)/
IP 0.77% 6:K16))*B10+B4 2.56% SUM(MMULT(MINVE
HPQ 1.36% 14.23% K31),B36:B45-B4))
MO 1.05% 24.69%
AXP 0.97% 10.57%
AA 1.17% 4.53%
DD 0.84% 6.17%
MRK 0.77% 12.80%
MMM 0.73% 9.81%
O--WHAT DOES THE MARKET THINK?
APPROACH - STEP ONE

31,TRANSPOSE(

AXP AA DD MRK MMM

65.66 28.16 38.32 79.51 60.9
10.57% 4.53% 6.17% 12.80% 9.81%
0.82% -0.18% 0.03% -0.55% 0.75%
6.48% 9.62% 6.18% 8.13% 5.58%

AXP AA DD MRK MMM

0.0033 0.0046 0.0018 0.0010 0.0014
0.0033 0.0046 0.0020 0.0002 0.0018
0.0024 0.0043 0.0021 0.0012 0.0016
0.0049 0.0061 0.0033 0.0020 0.0022
0.0016 0.0018 0.0009 0.0007 0.0008
0.0042 0.0038 0.0019 0.0011 0.0014
0.0038 0.0093 0.0041 0.0018 0.0024
0.0019 0.0041 0.0038 0.0017 0.0019
0.0011 0.0018 0.0017 0.0066 0.0005
0.0014 0.0024 0.0019 0.0005 0.0031

heck for the OP weights

=MMULT(MINVERSE(B22:K31)
,B36:B45-B4)/
SUM(MMULT(MINVERSE(B22:
K31),B36:B45-B4))
 ADJUSTING MARKET (BENCHMARK) PORTFOLIO FOR AN ANA
BLACK-LITTERMAN APPROACH - STEP TWO
(In this example the only opinion is about GM)

Anticipated benchmark return 1.00%

=12%/
Current t-bill rate 0.40% 12

Expected Return of
the
=MMULT(B17:K17,TRANSPOS
Benchmark Portfolio 0.32% E(B16:K16))

Variance of the =MMULT(B16:K16,MMULT(B22:K31,TRANSP

benchmark portfolio 0.28%
OSE(B16:K16)))
l 2.12

Market capitalization GM HD IP HPQ MO

(billion $) 16.85 73.98 15.92 88.37 153.33
Benchmark Weights 2.71% 11.91% 2.56% 14.23% 24.69%
Mean Return -0.87% -0.39% 0.06% 0.30% 1.07%
Return s 10.88% 8.48% 6.29% 10.90% 8.78%

VCV Matrix
GM HD IP HPQ MO
GM 0.0118 0.0031 0.0024 0.0042 0.0014
HD 0.0031 0.0072 0.0019 0.0043 0.0022
IP 0.0024 0.0019 0.0040 0.0031 0.0001
HPQ 0.0042 0.0043 0.0031 0.0119 0.0026
MO 0.0014 0.0022 0.0001 0.0026 0.0077
AXP 0.0033 0.0033 0.0024 0.0049 0.0016
AA 0.0046 0.0046 0.0043 0.0061 0.0018
DD 0.0018 0.0020 0.0021 0.0033 0.0009
MRK 0.0010 0.0002 0.0012 0.0020 0.0007
MMM 0.0014 0.0018 0.0016 0.0022 0.0008

Expected Optimized
Expected Analyst Return - Benchmark
Return - BL Benchmark Opinion Adj for Portfolio
Implied Portfolio d Opinion

GM 0.96% 2.71% 0.14% 1.10% 5.19%

=MMULT(MINVERS
E(B22:K31),E36:E45
HD 1.05% 11.91% 0 1.11% 8.23%
-B4)/
IP 0.77% 2.56% 0 0.86% 7.60%
SUM(MMULT(MINV
HPQ 1.36% 14.23% 0 1.41% 6.60%
ERSE(B22:K31),E36
:E45-B4))
=B36:B45+MMULT(B5
0:K59,D36:D45)
 =MMULT(MINVERS
E(B22:K31),E36:E45
-B4)/
SUM(MMULT(MINV
ERSE(B22:K31),E36
MO 1.05% 24.69% 0 1.07% 20.72% :E45-B4))
=B36:B45+MMULT(B5
AXP 0.97% 10.57% 0 1.08% 22.17%
0:K59,D36:D45)
AA 1.17% 4.53% 0 1.24% -1.98%
DD 0.84% 6.17% 0 0.91% 10.67%
MRK 0.77% 12.80% 0 0.79% 9.54%
MMM 0.73% 9.81% 0 0.79% 11.26%
=B22/$B$
22
Tracking factors: in each row i Cov(ri,rj) is divided by Var(ri)
GM HD IP HPQ MO
GM 1.0000 0.2589 0.1999 0.3540 0.1153
HD 0.4257 1.0000 0.2603 0.5934 0.3119
IP 0.5985 0.4738 1.0000 0.7940 0.0222
HPQ 0.3527 0.3594 0.2642 1.0000 0.2162
MO 0.1769 0.2909 0.0114 0.3328 1.0000
AXP 0.7843 0.7927 0.5595 1.1704 0.3845
AA 0.5006 0.4950 0.4690 0.6533 0.1957
DD 0.4820 0.5343 0.5496 0.8687 0.2342
MRK 0.1483 0.0272 0.1826 0.2991 0.1032
MMM 0.4437 0.5772 0.5151 0.7156 0.2588
ARK) PORTFOLIO FOR AN ANALYST'S OPINION
RMAN APPROACH - STEP TWO
le the only opinion is about GM)

TRANSPOS

MULT(B22:K31,TRANSP

AXP AA DD MRK MMM

65.66 28.16 38.32 79.51 60.9
10.57% 4.53% 6.17% 12.80% 9.81%
0.82% -0.18% 0.03% -0.55% 0.75%
6.48% 9.62% 6.18% 8.13% 5.58%

AXP AA DD MRK MMM

0.0033 0.0046 0.0018 0.0010 0.0014
0.0033 0.0046 0.0020 0.0002 0.0018
0.0024 0.0043 0.0021 0.0012 0.0016
0.0049 0.0061 0.0033 0.0020 0.0022
0.0016 0.0018 0.0009 0.0007 0.0008
0.0042 0.0038 0.0019 0.0011 0.0014
0.0038 0.0093 0.0041 0.0018 0.0024
0.0019 0.0041 0.0038 0.0017 0.0019
0.0011 0.0018 0.0017 0.0066 0.0005
0.0014 0.0024 0.0019 0.0005 0.0031

=MMULT(MINVERS
E(B22:K31),E36:E45
-B4)/
SUM(MMULT(MINV
ERSE(B22:K31),E36
:E45-B4))
=B36:B45+MMULT(B5
0:K59,D36:D45)
 =MMULT(MINVERS
E(B22:K31),E36:E45
-B4)/
SUM(MMULT(MINV
ERSE(B22:K31),E36
:E45-B4))
=B36:B45+MMULT(B5
0:K59,D36:D45)

AXP AA DD MRK MMM

0.2788 0.3920 0.1555 0.0829 0.1169
0.4635 0.6376 0.2834 0.0250 0.2501
0.5954 1.0994 0.5306 0.3056 0.4063
0.4145 0.5097 0.2791 0.1665 0.1878
0.2096 0.2351 0.1158 0.0884 0.1046
1.0000 0.8956 0.4624 0.2556 0.3270
0.4066 1.0000 0.4404 0.1938 0.2625
0.5097 1.0694 1.0000 0.4327 0.5067
0.1626 0.2715 0.2497 1.0000 0.0741
0.4412 0.7802 0.6202 0.1571 1.0000