PRICE DATA FOR DOW-JONES INDUSTRIAL 30 COMPONENTS, APRIL 2002 - APRIL

Date
4/2/2002
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
2/1/2007
3/1/2007
4/2/2007

DuPont
DD
37.72
39.29
37.92
35.80
34.72
31.07
35.53
38.75
36.82
32.89
32.16
34.08
37.30
37.25
50.73
49.43
49.32

American
International
AIG
67.13
65.04
66.31
62.12
61.03
53.20
60.84
63.37
56.31
52.68
47.98
48.18
56.46
56.39
67.11
67.22
67.23

American
Express
AXP
34.27
35.52
30.35
29.53
30.20
26.11
30.53
32.68
29.74
29.89
28.25
27.96
31.93
35.14
56.72
56.25
55.96

Boeing
BA
40.92
39.27
41.44
38.23
34.29
31.57
27.52
31.67
30.68
29.38
25.77
23.43
25.51
28.85
87.26
88.91
90.50

Caterpillar
CAT
24.70
23.64
22.14
20.38
19.90
16.97
18.79
22.96
21.03
20.39
21.79
22.81
24.54
24.33
64.43
67.03
67.63

DJI
9946.22
9925.25
9243.26
8736.59
8663.50
7591.93
8397.03
8896.09
8341.63
8053.81
7891.08
7992.13
8480.09
8850.26
12268.63
12354.35
12560.83

PRIL 2002 - APRIL 2007

S&P500
1076.92
1067.14
989.82
911.62
916.07
815.28
885.76
936.31
879.82
855.70
841.15
848.18
916.92
963.59
1406.82
1420.86
1443.76

1
2
3
4
5

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

RETURN DATA, ALPHA, BETA, R-SQUARED

For Dow-Jones 30 Industrials, April 2002 - April 2007

American
American
Boeing
International
Express
BA
AIG
AXP
-0.0007
-0.0058
0.0020
0.0097
1.0488
1.1873
1.2615
0.7304
0.4114
0.3906
0.6987
0.1442
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
DuPont
DD

Alpha
Beta
R-squared
T-Alpha
T-Beta

Date
5/1/2002
6/3/2002
7/1/2002
8/1/2002
9/3/2002
10/1/2002
11/1/2002
12/2/2002
1/2/2003
2/3/2003
3/3/2003
4/1/2003
5/1/2003
6/2/2003
7/1/2003
8/1/2003
9/2/2003
10/1/2003
11/3/2003
12/1/2003
1/2/2004
2/2/2004
3/1/2004
4/1/2004
5/3/2004
6/1/2004
7/1/2004
8/2/2004
9/1/2004
10/1/2004
11/1/2004

4.08%
-3.55%
-5.75%
-3.06%
-11.11%
13.41%
8.68%
-5.11%
-11.29%
-2.24%
5.80%
9.03%
-0.13%
-1.19%
5.37%
2.62%
-11.19%
0.98%
3.47%
10.15%
-4.44%
3.46%
-6.58%
1.71%
1.43%
2.77%
-3.54%
-0.61%
1.28%
0.18%
6.33%

-3.16%
1.93%
-6.53%
-1.77%
-13.73%
13.42%
4.07%
-11.81%
-6.66%
-9.35%
0.42%
15.86%
-0.12%
-4.68%
15.13%
-7.48%
-3.08%
5.27%
-4.85%
13.54%
4.68%
6.35%
-3.56%
0.41%
2.29%
-2.70%
-0.88%
0.82%
-4.56%
-11.32%
4.24%

3.58%
-15.73%
-2.74%
2.24%
-14.55%
15.64%
6.81%
-9.43%
0.50%
-5.64%
-1.03%
13.28%
9.58%
0.34%
5.73%
1.99%
0.00%
4.29%
-2.62%
5.57%
7.21%
3.02%
-2.79%
-5.76%
3.52%
1.52%
-2.22%
-0.47%
2.84%
3.32%
4.84%

-4.12%
5.38%
-8.06%
-10.88%
-8.26%
-13.73%
14.05%
-3.18%
-4.33%
-13.11%
-9.52%
8.51%
12.30%
11.23%
-3.56%
12.65%
-8.53%
11.43%
0.19%
9.32%
-0.93%
4.20%
-5.44%
3.86%
7.50%
10.94%
-0.68%
3.26%
-1.16%
-3.38%
7.49%

Caterpillar
CAT
0.0100
1.3915
0.4328
#NAME?
#NAME?

-4.39%
-6.56%
-8.28%
-2.38%
-15.93%
10.19%
20.04%
-8.78%
-3.09%
6.64%
4.57%
7.31%
-0.86%
6.52%
19.84%
6.27%
-4.27%
6.73%
3.72%
8.78%
-5.65%
-3.10%
4.31%
-1.26%
-3.10%
5.30%
-7.27%
-1.09%
10.11%
0.62%
12.83%

47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

A
12/1/2004
1/3/2005
2/1/2005
3/1/2005
4/1/2005
5/2/2005
6/1/2005
7/1/2005
8/1/2005
9/1/2005
10/3/2005
11/1/2005
12/1/2005
1/3/2006
2/1/2006
3/1/2006
4/3/2006
5/1/2006
6/1/2006
7/3/2006
8/1/2006
9/1/2006
10/2/2006
11/1/2006
12/1/2006
1/3/2007
2/1/2007
3/1/2007
4/2/2007

B
7.92%
-3.10%
12.10%
-3.95%
-8.40%
-0.50%
-7.83%
-0.77%
-6.68%
-1.02%
6.22%
3.40%
-0.59%
-8.20%
3.66%
4.76%
4.38%
-2.80%
-2.22%
-4.77%
1.72%
6.94%
6.67%
3.23%
3.73%
1.72%
3.06%
-2.60%
-0.22%

C
3.71%
0.94%
0.77%
-18.50%
-8.60%
8.86%
4.70%
3.55%
-1.43%
4.56%
4.49%
3.54%
1.60%
-4.13%
1.37%
-0.18%
-1.28%
-6.82%
-2.93%
2.71%
5.32%
3.75%
1.37%
4.82%
1.88%
-4.58%
-1.73%
0.16%
0.01%

D
1.19%
-5.29%
1.48%
-5.04%
2.58%
2.14%
-0.93%
3.27%
0.44%
3.90%
-0.77%
3.25%
0.08%
2.15%
2.69%
-2.49%
2.59%
1.01%
-2.10%
-1.94%
0.93%
6.52%
3.31%
1.57%
3.27%
-3.88%
-2.34%
-0.83%
-0.52%

E
-3.42%
-2.29%
8.76%
6.15%
1.80%
7.51%
3.24%
0.02%
1.90%
1.38%
-5.00%
5.74%
2.96%
-2.80%
6.64%
6.97%
6.84%
0.10%
-1.63%
-5.64%
-2.92%
5.14%
1.27%
10.66%
0.35%
0.81%
-2.22%
1.87%
1.77%

F
6.29%
-8.57%
6.46%
-3.86%
-3.32%
6.66%
1.26%
12.81%
2.89%
5.71%
-10.64%
9.43%
-0.02%
16.54%
7.36%
-1.75%
5.64%
-3.75%
2.08%
-4.54%
-6.59%
-0.82%
-7.62%
2.15%
-1.14%
4.88%
0.56%
3.96%
0.89%

1
2
3
4
5
DJI
6
-0.0010
7
0.9990
8
0.9332
9
10 #NAME?
11 #NAME?
12
13
14
15
16
-0.21%
17
-7.12%
18
-5.64%
19
-0.84%
20
-13.20%
21
10.08%
22
5.77%
23
-6.44%
24
-3.51%
25
-2.04%
26
1.27%
27
5.93%
28
4.27%
29
1.52%
30
2.73%
31
1.95%
32
-1.51%
33
5.52%
34
-0.19%
35
6.64%
36
0.33%
37
0.91%
38
-2.16%
39
-1.28%
40
-0.36%
41
2.40%
42
-2.88%
43
0.34%
44
-0.92%
45
-0.53%
46
3.92%

S&P500
0.0000
1.0000
1.0000

-0.91%
-7.52%
-8.23%
0.49%
-11.66%
8.29%
5.55%
-6.22%
-2.78%
-1.71%
0.83%
7.79%
4.96%
1.13%
1.61%
1.77%
-1.20%
5.35%
0.71%
4.95%
1.71%
1.21%
-1.65%
-1.69%
1.20%
1.78%
-3.49%
0.23%
0.93%
1.39%
3.79%

47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

H
3.35%
-2.76%
2.60%
-2.47%
-3.01%
2.66%
-1.86%
3.50%
-1.51%
0.83%
-1.22%
3.44%
-0.82%
1.37%
1.18%
1.05%
2.29%
-1.76%
-0.16%
0.32%
1.73%
2.58%
3.38%
1.16%
1.95%
1.26%
-2.84%
0.70%
1.66%

I
3.19%
-2.56%
1.87%
-1.93%
-2.03%
2.95%
-0.01%
3.53%
-1.13%
0.69%
-1.79%
3.46%
-0.10%
2.51%
0.05%
1.10%
1.21%
-3.14%
0.01%
0.51%
2.11%
2.43%
3.10%
1.63%
1.25%
1.40%
-2.21%
0.99%
1.60%

REGRESSING PORTFOLIOS OF THE DJ30 COMPONENTS ON THE S&P5

1
2 Alpha

0.0026

3 Beta

1.0899

4 R-squared

0.6561

5 T-Alpha

#NAME?

6
7
8
9
10
11
12
13
14

#NAME?

T-Beta

Portfolio weights
AA
AIG
AXP
BA
C
Sum of portfolio weights

0.2000
0.3000
0.0500
0.2500
0.2000
1.00

G PORTFOLIOS
OF THE DJ30 COMPONENTS ON THE S&P500
1
2
3
4
5
6
7
8
9
10
11
12
13
14