Batch Fit.

xls

Date DJI DJU DJT DJIret DJUret DJTret

12/1/2010 11,577.51 404.99 5106.75 0.0506 0.0341 0.0504
11/1/2010 11,006.02 391.40 4855.78 -0.0102 -0.0338 0.0211
10/1/2010 11,118.40 404.86 4754.29 0.0302 0.0165 0.0500
9/1/2010 10,788.05 398.23 4522.32 0.0744 0.0235 0.0925
8/2/2010 10,014.72 388.97 4122.63 -0.0441 0.0089 -0.0703
7/1/2010 10,465.94 385.53 4422.94 0.0684 0.0748 0.0986
6/1/2010 9,774.02 357.74 4007.84 -0.0364 -0.0096 -0.0787
5/3/2010 10,136.63 361.19 4336.06 -0.0825 -0.0715 -0.0744
2/1/2000 10,128.31 288.48 2388.86 -0.0771 -0.0884 -0.0737
1/3/2000 10,940.53 315.14 2571.65

Data Series: DJIret DJUret DJTret

Distribution: 0 0 0.01
Best Fit: Normal Normal Normal
Anderson-Darling 0.8536 1.8354 1.0676
P-Value: 0.026 0.000 0.000

Correlations: DJIret DJUret DJTret

DJIret 1.0000 0.3885 0.7621
DJUret 0.3885 1.0000 0.2711
DJTret 0.7621 0.2711 1.0000
Specifying distribution for input assumption based on historical data

Crystal Ball’s Batch Fit feature enables you to fit distributions to and calculate
correlations for several sets of data in one set of steps. In this section we will fit
lognormal distributions and find correlations for monthly total returns observed during the

Follow these steps to use Batch Fit:

1. Click on More Tools→Batch Fit. . . in the top menu.

2. Input diagloue, Data series enter =$B$3:$D$135
Select First row contains headers and Data in columns
Click OK
3. Distribution table: Click autoselect
4. Next
5. Choose Goodness of fit report or any other reports

Your spreadsheet should resemble 1

Cells G5:I5 in Figure 4.37 are now Crystal Ball lognormal assumptions
having means, standard deviations, and correlations calculated from the data in
cells B4:D87. They can be copied to other cells in your spreadsheet using Crystal
Ball’s CopyData and PasteData commands

Figure 1
storical data

o and calculate
section we will fit
eturns observed during the period January 1998 through December 2004.

d from the data in

dsheet using Crystal