Beruflich Dokumente
Kultur Dokumente
Recalculate 6%
Asset Allocation: 5%
Risk-Free Rate 4.00% 400 4%
Required Return 5.10% 510
3%
Std Deviation 4.06%
2%
0% 20% 40% 60% 80% 100%
70% 35%
60% 65% Individual Stock Information
-35%
P rim a ry A x is
50%
40%
Risk Free Risky AsseBorrowing
30% 35% 1200%
65% 0%
1000%
20% 800%
10%
0.00% 4.00% 600%
Short Sale 1
# of Rand 300 100 Beta
10 10 Mean Return
50 25 Std Dev
300 50 % of with SS
500 75 % of Without SS
1000 100
Portfolio Details
Mean (r) 4.35%
VARP 0.37%
STDEVP 6.11%
Storage for the 300 random portfolios Means Std Devs
StdDev Mean (r) Min (r): 0.00% 0.00%
Max (r): 0.00% 0.00%
Stock Return Information
ON ASSIGNMENT Created
Created by
by X
X
Date
2-May-91
CHH
14.91%
4-Jun-91 -0.54%
1-Jul-91 -11.96%
1-Aug-91 10.03%
2-Sep-91 -6.40%
Tangent 1-Oct-91 11.80%
Return 5.68% 1-Nov-91 13.33%
Std Dev 6.20% 2-Dec-91 8.33%
6-Jan-92 11.78%
Minimum Variance 3-Feb-92 -4.17%
Return #N/A 3-Mar-92 4.35%
Std Dev 0.00% 1-Apr-92 -5.42%
1-May-92 10.13%
Sharpe Ratio 2-Jun-92 11.20%
Tangent Portfolio 0.27 1-Jul-92 -3.96%
Minimum Variance #N/A 3-Aug-92 1.86%
1-Sep-92 -0.75%
2-Oct-92 -5.30%
2-Nov-92 -8.00%
60% 80% 100% 120%
1-Dec-92 20.43%
S e c o n d a ry A x is
5-Jan-93 1.43%
1-Feb-93 -2.53%
Graph Options: 1-Mar-93 8.89%
1200%
Primary Axis Variance-Covariance Matrix (Crea
1000%
800%
CHH
Mean Return
600% CHH 0.0073
400% Secondary Axis FER 0.0025
200%
UBIX 0.0016
0% Beta
LN S IN 0.0046
LN 0.0050
CHH FER UBIX IN LN S S 0.0035
0.36 0.18 1.12 0.37 0.25 0.90
3.46% 3.17% 8.85% 3.21% 1.02% 4.69% With Short Sales
8.52% 5.74% 10.28% 9.09% 9.04% 11.49% Z
59.8% -15.9% 79.9% 8.0% -77.3% 45.5% CHH 3.0929
10.0% 19.1% 42.7% 13.9% 4.5% 9.9% FER 9.8416
UBIX 7.2125
IN -1.3873
LN -4.6723
S 1.6056
Transpose of X
0.197089 0.627135
Transpose of Y
0.243554 0.609424
X
Mean 0.0663
Var 0.0042
StdDev 0.0650
Gap 0.14
Prop of X Std Dev
7%
0% 7%
14% 7%
28% 7%
42% 7%
56% 7%
70% 7%
84% 7%
98% 7%
112% 6%
126% 6%
140% 6%
154% 6%
168% 6%
182% 6%
196% 6%
210% 6%
224% 6%
238% 6%
252% 6%
266% 6%
280% 5%
294% 5%
308% 5%
322% 5%
336% 5%
350% 5%
364% 5%
378% 5%
392% 5%
406% 5%
turn Information
FER UBIX IN LN S Market PR A
12.75% 2.94% 19.62% -2.42% 7.41% 5.23% 4.91% 8.77%
0.87% 9.71% -8.99% 11.18% -3.38% 4.65% 5.61% 2.14%
0.86% 4.17% -11.60% -4.37% -2.27% 1.33% -2.18% -3.64%
5.13% 24.00% 0.00% 1.48% 4.19% 16.45% 9.16% 7.08%
4.07% 14.92% -3.07% -10.82% -6.25% 7.24% 0.42% -0.38%
9.73% 13.68% 0.86% 13.11% 23.81% 16.24% 11.77% 10.66%
5.07% 10.35% 19.54% 15.07% 28.85% 16.53% 14.15% 14.20%
-2.76% 11.76% 1.22% -5.54% -7.49% 5.08% 1.39% 0.69%
6.38% 22.37% -3.61% 10.07% 13.11% 18.10% 11.83% 9.02%
-0.67% -3.23% -4.25% -13.09% 1.45% -1.80% -6.37% -4.73%
-0.40% -3.33% 3.13% 9.09% 12.00% 1.84% 3.40% 3.35%
5.16% -5.27% 0.55% 4.08% -6.12% -5.17% -0.14% 0.12%
10.39% 18.52% 20.51% 11.17% 22.28% 19.65% 15.59% 15.40%
11.76% 16.67% 8.51% 10.05% -2.41% 10.24% 11.34% 10.30%
-2.11% 5.36% -3.92% -6.64% -3.45% 2.05% -1.68% -2.33%
7.53% 11.86% 20.41% 0.67% 5.95% 10.28% 8.29% 9.17%
-5.00% 24.24% -0.85% -5.74% 14.61% 19.66% 6.13% 3.41%
0.30% -3.05% -0.85% 3.04% -5.88% -3.81% -0.44% -0.96%
1.06% 10.52% 4.00% -15.91% 25.00% 14.54% -0.06% 1.28%
9.47% 6.98% 12.61% 12.97% 1.66% 5.66% 10.02% 10.57%
7.69% -2.72% 0.00% -2.59% -4.96% -3.18% -1.38% 0.16%
-7.14% 25.14% -0.75% -9.50% -12.17% 11.80% 3.19% -0.17%
-7.21% -12.05% 0.75% -1.93% 1.98% -6.92% -4.92% -3.21%
Transpose of A
0.544158 -0.114789 -0.402597 0.120251 0 0 1
Y A
0.0738 Mean 8.85%
0.0053 StdDev 10.28%
0.0730 Theta 0.763475
'Without Short Sales' Table Created using VBA
C Std Dev Mean
-0.49 5.20% 4.41%
-0.48 5.20% 4.41%
Portfolio Calculation -0.47 5.20% 4.42%
0.3 -0.46 5.20% 4.42%
7.15% -0.45 5.20% 4.43%
7.04% 7.04% 0.00038 0.002608 0.001974 -0.44 5.20% 4.43%
-0.43 5.20% 4.44%
15 -0.42 5.20% 4.44%
Return -0.41 5.20% 4.44%
7% -0.40 5.20% 4.45%
7% -0.39 5.20% 4.45%
7% -0.38 5.20% 4.46%
7% -0.37 5.20% 4.47%
7% -0.36 5.21% 4.47%
7% -0.35 5.21% 4.48%
7% -0.34 5.21% 4.48%
7% -0.33 5.21% 4.49%
7% -0.32 5.21% 4.50%
7% -0.31 5.21% 4.51%
6% -0.30 5.21% 4.52%
6% -0.29 5.21% 4.52%
6% -0.28 5.21% 4.53%
6% -0.27 5.22% 4.54%
6% -0.26 5.22% 4.55%
6% -0.25 5.22% 4.56%
6% -0.24 5.22% 4.56%
6% -0.23 5.22% 4.57%
6% -0.22 5.22% 4.58%
5% -0.21 5.23% 4.59%
5% -0.20 5.23% 4.61%
5% -0.19 5.23% 4.62%
5% -0.18 5.23% 4.63%
5% -0.17 5.24% 4.65%
5% -0.16 5.24% 4.66%
5% -0.15 5.25% 4.68%
5% -0.14 5.25% 4.70%
5% -0.13 5.26% 4.72%
5% -0.12 5.27% 4.75%
4% -0.11 5.27% 4.78%
4% -0.10 5.29% 4.81%
-0.09 5.30% 4.85%
-0.08 5.32% 4.89%
-0.07 5.34% 4.94%
-0.06 5.37% 5.01%
-0.05 5.41% 5.08%
-0.04 5.46% 5.17%
-0.03 5.53% 5.29%
-0.02 5.64% 5.45%
-0.01 5.82% 5.66%
0.00 6.12% 5.97%
0.01 6.67% 6.46%
0.02 7.89% 7.36%
0.03 10.03% 8.71%
0.04 10.28% 8.85%
0.05 10.28% 8.85%
0.06 10.28% 8.85%
0.07 10.28% 8.85%
0.08 10.28% 8.85%
0.09 10.28% 8.85%
0.10 10.28% 8.85%
B Opt
10.00% 10.23%
1.89% 1.85%
-3.72% -3.73%
9.33% 9.75%
0.18% 0.29%
12.55% 12.91%
13.01% 12.79%
2.53% 2.87%
11.46% 11.91%
-3.14% -2.84%
2.93% 2.85%
-1.54% -1.85%
13.95% 13.68%
10.45% 10.47%
-1.89% -1.81%
6.71% 6.25%
4.26% 4.42%
-2.51% -2.81%
1.93% 2.06%
11.64% 11.84%
1.10% 1.27%
-0.24% -0.25%
-1.50% -1.18%