Beruflich Dokumente
Kultur Dokumente
Uppsala University
Thesis Work Economics D
Author: Jonathan Mårtensson
Tutor: Lennart Berg
Term and Year: Autumn 2005
Portfolio optimisation
- improved risk-adjusted return?
Abstract
In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have
a higher risk level or lower expected return, compared to what may be obtained through
optimisation. It also compares the return of optimised portfolios with the return of the original
portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for
the optimisations. With the expected return and risk level used in this thesis, all portfolios can
obtain a higher expected return and a lower risk. Over a six-month period, the optimised
portfolios do not consistently outperform the original portfolios and therefore it seems as
though the optimisation do not improve the return of the portfolios. This might be due to the
uncertainty of the expected returns used in this thesis.
1
Table of contents
1 INTRODUCTION 3
1.1 BACKGROUND .............................................................................................................................................. 3
1.2 PURPOSE OF STUDY .................................................................................................................................... 4
1.3 LIMITATIONS ................................................................................................................................................. 4
2 THEORY 5
2.1 RETURN ....................................................................................................................................................... 5
2.2 RISK ............................................................................................................................................................. 7
2.3 OPTIMISATION - MARKOWITZ ....................................................................................................................... 8
2.4 EFFICIENT FRONTIER ................................................................................................................................... 8
2.5 CONSTRAINT EFFICIENT FRONTIER............................................................................................................. 9
2.6 SHARPE RATIO ........................................................................................................................................... 10
3 DATA 11
3.1 DATA PRESENTATION................................................................................................................................. 11
3.2 SELECTION PROCESS ................................................................................................................................ 13
4 SOFTWARE 13
4.1 RETURNS ................................................................................................................................................... 13
4.2 AEGIS PORTFOLIO MANAGER .................................................................................................................... 14
5 ANALYSIS 15
5.1 RISK-ADJUSTED RETURN ........................................................................................................................... 16
5.2 PERFORMANCE OF THE OPTIMISED AND THE ORIGINAL PORTFOLIO ......................................................... 17
7 ACKNOWLEDGEMENTS 21
REFERENCES 22
APPENDIX A
APPENDIX B
APPENDIX C
APPENDIX D
APPENDIX E
2
1 Introduction
This section introduces the background and defines the purpose of the study. It also addresses
the limitations.
1.1 Background
There are different issues to consider when investors construct a stock portfolio. Through
magazines, friends and financial advisors they observe interesting companies to invest in and
add to their portfolios. Investment opportunities can be evaluated in different ways. A
common method is to use fundamental analysis to evaluate if a company is correctly valued at
the stock exchange. If the company is undervalued according to this method, the investor will
buy shares and assume that the markets view of the company will change so that the stock
price will increase. When the stock price has risen so that the company is overvalued or if the
stock price does not develop as predicted, the investor will sell the stock.
Another possibility is technical analysis where the investors use different methods to find
interesting stocks for their portfolios. One way is to find stocks where the stock price follows
an upward trend since they believe that this trend will continue. These investors also search
for patterns in the development of the stock price. They believe that the market will act in the
same way in similar situations and therefore assume that the stock price will develop as they
predict. Their primary belief is that by analysing stock charts, it is possible to capture the
psychology of the market.
When the investors have constructed a portfolio of several stocks one possibility is to try to
improve the performance of the portfolio with mean-variance optimisation. Given the
expected mean, variance and covariance of the stocks in a portfolio, the optimisation tries to
find the optimal combinations of the stocks. Thereby the variance of the portfolio is
minimised and the expected return is maximised according to the investor’s preferences. This
method is not widely used, which might be due to the fact that the variance and the covariance
measures of stocks and portfolios are not as extensively available as their price series.
3
1.2 Purpose of study
In a previous study of portfolio optimisation, Schwartz concludes that when portfolio
optimisation is used on the S&P 500 index, the optimised portfolios are superior to the S&P
500 concerning return and risk.1 Therefore, given the expected return and the variance, it is
interesting to analyse if Swedish investors are missing extra return or if their portfolios have a
higher risk level than if they were optimised with mean-variance optimisation.
With the necessary statistics, is it possible to achieve a higher expected return given the same
risk level with the aid of portfolio optimisation? Is it possible to construct a portfolio with a
decreased risk level, but still obtain the same expected return as the original portfolio? Will
the optimised portfolio with the highest return have a higher return than the original portfolio?
Finally, do the optimised portfolios outperform the original portfolios over a six-month period
or will optimisation only exaggerate the errors of the mean and variance estimations?
I intend to analyse if the optimised portfolios have a higher risk-adjusted return than the
original portfolios. I will also analyse a number of portfolios over a six-month period to see if
investors that utilise mean-variance optimisation will achieve a higher return.
Portfolio optimisation could be an interesting aspect for investors when they construct
portfolios if the results show a significant improvement in return. If there are no significant
improvements, portfolio optimisation could still be interesting to use since it will give the
investors a different view on their current portfolio.
The first part will address the theory of portfolio optimisation. Thereafter a description of the
data will follow along with the selection process. The software that I use is introduced which
is followed by the analysis. Finally, the conclusions of the analysis and suggestions to future
studies are presented.
1.3 Limitations
The sample in this study consists of 31 portfolios with Swedish stocks, which are valued at
approximately 500,000 SEK. Of course, a broader range of portfolios could have been tested
but due to the limited time, these portfolios were selected to analyse if optimisation improves
1
Schwarz, How to Beat the S&P 500 with Portfolio Optimization
4
the portfolios. The portfolios are only optimised at two different dates, which could have been
extended to a broader range of dates. The optimised portfolios are only analysed over a single
period, which could have been extended to multiple periods. This was not possible since an
extension would have increased the required time too much.
2 Theory
This section introduces the necessary statistical terms as well as the foundations of portfolio
optimisation. Finally, the Sharpe ratio is introduced.
2.1 Return
An investor that constructs a portfolio has an expectation that he will be able to sell it for a
higher price than the original investment. This expected return is unknown but it can be
estimated in different ways. In Schwartz’s study on the S&P 500, simple historical return
estimates were used with satisfying results.2 Since the software that I use in this study for the
risk estimates and the portfolio optimisation requires yearly expected returns for each stock, I
have to estimate them. Therefore, in order to obtain these estimates for all the stocks in the
portfolios in reasonable time it was not possible to construct a factor model, instead historical
data is used. As Fischer Black suggests in his paper on estimating the expected return,
advanced models often result in worse estimates and since there is no perfect model, I assume
a simple stock model.3 A common assumption of the stock price process is that it can be
approximately modelled as a geometric Brownian motion and therefore I assume that the
return of a stock is log-normally distributed.4 The daily sample mean of the log-returns is
1 ⎛⎜ pi ,t o ⎞⎟
rˆi = ln (2.1)
n ⎜⎝ pi ,t o −n ⎟⎠
where pi ,t 0 is the price of stock i at time t0 and n is the sample size.5 The sample standard
deviation is
2
Schwarz, How to Beat the S&P 500 with Portfolio Optimization
3
Black, Estimating Expected Return. p. 169
4
Luenberger, Investment Science. 1998, p. 308-309
5
Hull, Options, Futures and Other Derivatives. 2003, p. 236
5
1
⎡ n ⎛ ⎛ p i ,t ⎞ ⎞ ⎤
2 2
1
σˆ i = ⎢ ∑ ⎜ ln⎜ ⎟ − rˆi ⎟ ⎥
⎢ n − 1 t =1 ⎜⎝ ⎜⎝ p i ,t −1 ⎟⎠ ⎟ ⎥
(2.2)
⎣ ⎠ ⎦
where pi ,t is the price of stock i at time t and n is the sample size which I set to 90 days as
recommended by Hull.6 The sample mean and variance are daily samples, therefore by
multiplying them with 250, which is the number of trading days in a year, they are
transformed into yearly estimates. Since the geometric Brownian motion process is
lognormal, the relationship between the normal and the lognormal probability distributions
give the expected yearly return of the stock7
(rˆi + 12 σˆ i )250
ri = e −1 (2.3)
The expected yearly return of a portfolio is the weighted sum of the expected returns of the
stocks
s
R = ∑ wi ri (2.4)
i =1
where s is the number of stocks in the portfolio and wi is the weight of stock i in the
portfolio.8
The expected return is estimated with historical data. If a small sample of historical data is
used, the result is a high standard deviation of the estimate. On the other hand to achieve a
significantly accurate estimate, the required data set must span over a couple of years, but the
mean is in most cases not stable over such a long time as Luenberger9 and Black10 suggest.
This problem is called the mean blur. Another method could be to use the estimates of
fundamental analysts but there would be no indication of the uncertainty of these values.
6
Hull, Options, Futures and Other Derivatives. 2003, p. 239
7
Bodie, Kane and Marcus, Investments. 2002, p. 955
8
Luenberger, Investment Science. 1998, p. 140
9
Ibid. p. 215
10
Black, Estimating Expected Return. p. 169
6
These estimates are also not available for particular dates, nor are they available for all stocks,
which is necessary for the calculations.
2.2 Risk
The variance of the return of a portfolio is the expected value of the sum of each stock’s
variance and covariance11
⎡ s ⎛ ⎛ pi ,t ⎞ ⎞⎛ ⎛ p ⎞ ⎞⎤
σ 2 = E ⎢ ∑ wi w j ⎜ ln⎜⎜ ⎟ − rˆi ⎟⎜ ln⎜ j ,t ⎟ − rˆj ⎟⎥
⎟ (2.5)
⎢⎣i , j =1 ⎜ ⎟⎜ ⎜ p j ,t −1 ⎟ ⎟⎥
⎝ ⎝ pi ,t −1 ⎠ ⎠⎝ ⎝ ⎠ ⎠⎦
where i and j are the indices of the stocks. The standard deviation that is used as a measure
of risk is the square root of the variance
σ = σ2 (2.6)
which has the same unit as the expected return. This calculation requires the variance of each
stock in the portfolio as well as the covariance between all the stocks. As the number of
stocks in the portfolio increase, the calculations required increase rapidly. Therefore, this
method is not used for the risk calculations.
The risk analysis software Aegis Portfolio Manager developed by the company Barra is used
for the calculations of the risk estimates and the portfolio optimisation in this study. It utilise a
factor model with different market, fundamental or technical data to compute the standard
deviation of the portfolio.12 The complete calculation method of the risk estimates in Aegis
Portfolio Manager is unknown and therefore has to be treated as a black box. It is however
known, that the factor model consists of 10 factors that Barra have found to explain the risk in
the Swedish market. The factors used in the model are volatility, momentum, size, growth,
value, earnings variability, financial leverage, foreign sensitivity, labour intensity and yield. 13
I want to highlight the fact that Aegis Portfolio Manager requires expected return values for
the portfolio optimisation and since its complete risk model is unknown, it was impossible to
11
Luenberger, Investment Science. 1998, p. 150
12
Barra Inc, Introduction to risk modeling
13
Barra Inc, Single Country Equity Risk Models
7
estimate the expected returns with the model used by Aegis Portfolio Manager. Therefore the
expected return values are estimated with one model and the risk values are estimated with a
different model.
14
Frängsmyr, Les Prix Nobel. The Nobel Prizes 1990. 1991
15
Bodie, Kane and Marcus, Investments. 2002, p. 223-229
8
Figure 2.1. Minimum-variance frontier of portfolios where the solid line is the efficient frontier.
R Efficient Frontier
Return
Non-optimised portfolios
Risk σ
Given the portfolios in Figure 2.1, it is possible to achieve a higher expected return at the
same risk level if portfolio optimisation is used. It is also possible to decrease the risk in the
portfolio, given a certain expected return. The minimum-variance portfolio is the portfolio
with the lowest obtainable risk given the stocks in the portfolio.
9
Figure 2.2. Efficient Frontier of an unconstraint portfolio optimisation and two constraint optimisations where
the dot denotes the same original portfolio.
In the first example in Figure 2.2, given an unconstraint optimisation the efficient frontier is
quite broad even though the expected return does not increase significantly with increasing
risk. In the second example, the constraints are set so that the minimum weight is 10 percent
of each stock’s original weight and the maximum weight is 190 percent of the original weight.
In the third example, the constraints are set so that each stock weight is allowed to vary
between 70 percent and 130 percent of its original weight. This leads to an efficient frontier
that is even smaller and in this case, an optimisation would not change the risk or the expected
return of the portfolio significantly. Thus, it is not worthwhile to optimise portfolios given too
narrow constraints.
In all the portfolio optimisations, constraints are set so that each stock weight can be
minimised to 10 percent of its original weight or maximised to 190 percent of its original
weight. These constraints are used since I intend to maintain the stocks of the original
portfolio. Unconstrained portfolio optimisation often result in portfolios with less stocks than
the original portfolios. This is due to the characteristic of optimisation, i.e. the process will
exclude every stock that decrease the return or increase the risk in the portfolio to create the
optimal portfolio. If tighter constraints are set, the efficient frontier is small and close to the
original portfolio and thus optimisation does not change the portfolio enough, which is
apparent in the last example in Figure 2.2.
10
R − rf
S= (2.7)
σ
where R is the return of the portfolio, rf is the risk-free rate and σ is the total portfolio
risk.16 I set the risk-free rate rf = 0 since that is approximately the risk-free rate that an
investor receives today. It should be noted that the Sharpe ratio is not valid for negative
returns since a lower risk would result in a lower ratio.
3 Data
This section introduces the data and describes how the portfolios were selected.
Table 3.1. An example of a portfolio sampled 2005-11-11 with the number of shares, their value and the share
price.
Portfolio 1
16
Bodie, Kane and Marcus, Investments. 2002, p. 812
11
The example portfolio in Table 3.1 consists of seven stocks and has a total value of 525,750
SEK. The greater part of the portfolio consists of Scania B and Trelleborg, which together
represent approximately 56 percent of the portfolio. When examining the other portfolios, a
few stocks often represent a large portion of the total value of the portfolios. Ericsson B is a
regular stock in many portfolios where it often represents the largest holding in the portfolio.
Therefore, a number of portfolios seem to depend on the development of the Ericsson B stock.
Figure 3.1. Risk-return diagram of the portfolios 2005-11-11 based on the expected return described in section
2.1 and the risk values computed by Aegis Portfolio Manager.
70
60
50
40
Return (%)
30
20
10
-10
19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38
Risk (%)
As seen in Figure 3.1, the majority of the portfolios have a risk level close to 24 percent or
less and hence most investors do not have a high risk-level.17 There is however, a group of six
portfolios with a standard deviation of approximately 30 percent and two portfolios with a
standard deviation of 37 percent, which is a rather high risk-level. Those investors might have
a large portion of their total wealth in other low-risk securities and therefore compensate those
securities with a high-risk stock portfolio. Figure 3.1 does not indicate that a higher risk level
in the portfolio automatically result in a higher expected return. Instead, all the high-risk
portfolios seem to have a lower expected return than the low-risk portfolios according to the
estimates. This might be an indication that an optimisation can improve the portfolios.
17
Luenberger, Investment Science. 1998, p. 151
12
3.2 Selection process
The 50 portfolios obtained from Handelsbanken consist of Swedish stocks, but in certain
cases, there were other securities in the portfolio. These securities were not always available
in the risk analysis software and if they represented more than five percent of the portfolio,
the portfolio was excluded from the analysis. In certain cases, it was not possible to calculate
the estimated mean due to a short stock price history. This also meant that the portfolio was
excluded if the stock represented more than five percent of the portfolio. Therefore, the
number of portfolios was reduced from 50 to 31.
Out of the 31 remaining portfolios, some were modified so that they could be used in Aegis
Portfolio Manager. In portfolio 5, 10, 11, 19, and 23 subscription rights to new shares in the
company Gambro was replaced with real shares in Gambro valued equally since they would
affect the portfolio in the same way. In portfolio 6 and 22 one stock was recently introduced
to the stock exchange and thus there was not enough historic data to calculate the expected
return. In both portfolios, the stock represented less than five percent of the portfolio value
and therefore those stocks were excluded from the portfolios. Portfolio 7, 14 and 23 had
securities that are not available in Aegis Portfolio Manager but once again, they also
represented less than five percent of their respective portfolios and therefore those portfolios
were used but the securities were excluded.
4 Software
In this section the software Returns developed in Matlab and the risk analysis software Aegis
Portfolio Manager developed by Barra is presented.
4.1 Returns
I have developed a program in Matlab that calculates the expected yearly returns of the stocks
since they are necessary for the optimisations in Aegis Portfolio Manager. The software
calculates the expected return as described in Section 2.1 and saves the result to a data file.
These values are imported into Aegis Portfolio Manager for the mean-variance optimisations.
The data series of the stock prices used in the calculations were obtained from the technical
analysis program Vikingen.18
18
Avanza Vikingen AB, Vikingen Option
13
4.2 Aegis Portfolio Manager
Aegis Portfolio Manager is a risk analysis software developed by Barra that allow the user to
analyse the risk of portfolios as well as optimise portfolios given that the user provide the
expected return of the stocks.19 It also allows the user to set constraints on the optimisation
and thus it provides the necessary tools for the calculations.20
Figure 4.1. Efficient frontier of an original portfolio with the chosen same-return portfolio, same-risk portfolio
and the standard optimised portfolio.
For some portfolios, the original portfolio has a lower expected return than the portfolios on
the efficient frontier as seen in Figure 4.2. In those cases, the same-return portfolio was
chosen to be the portfolio on the efficient frontier with the lowest expected return. This meant
that the optimised same-return portfolio had a higher expected return than the original
19
Barra Inc, Portfolio Management and Risk Control
20
Barra Inc, Paring Constraints and Optimal Portfolios in the Aegis Optimizer
14
portfolio. Therefore, both the risk and the expected return changed when the expected return
should have remained at the same level as the original portfolio.
There are also original portfolios with a higher risk than the portfolios on the efficient frontier
and in those cases, the same-risk portfolio was chosen to be the portfolio with the highest risk
on the efficient frontier. The resulting same-risk portfolio has a lower risk than the original
portfolio. In certain cases, this portfolio was the same portfolio as the standard optimisation
portfolio. An example of this is seen in Figure 4.2.
Figure 4.2. Efficient frontier of an original portfolio with a lower expected return and a higher risk than the
portfolios on the efficient frontier. The chosen same-return portfolio has a higher expected return than the
original portfolio and the chosen same-risk portfolio has a lower risk than the original portfolio.
5 Analysis
This section contains the analysis of the optimisations. The first part analyse whether
optimisation improves the portfolios with regard to risk and expected return 2005-11-11. The
second part optimises the portfolios 2005-05-11 and compares the return of the optimised
portfolios and the original portfolios 2005-11-11.
15
5.1 Risk-adjusted return
The analysed portfolios were sampled 2005-11-11 and since they are optimised in Aegis
Portfolio Manager at the same date, it is possible to analyse if optimisation improves the risk-
adjusted return of the portfolios. This optimisation is based on the expected value calculated
in Returns and the standard deviation from Aegis Portfolio Manager. The investor of each
portfolio might have optimised the portfolio with respect to a different expected return and
standard deviation than the ones that I have used. In that case, the original portfolio is optimal
according to that investor’s estimates. The return and risk of all the optimised portfolios and
the original portfolios are available in Appendix C. It also contains the Sharpe ratios of all the
portfolios where the risk-free rate is set to zero. Table 5.1 contains the optimised portfolios
Sharpe ratios relative to their original portfolios Sharpe ratios. It intends to give an overview
of the difference between the original portfolios and the optimised portfolios.
Table 5.1. Sharpe ratios of all optimised portfolios relative to their original portfolios Sharpe ratios 2005-11-11.
Same-Return Sharpe Ratio / Same-Risk Sharpe Ratio / Standard Optimisation Sharpe Ratio /
Portfolio Original Sharpe Ratio Original Sharpe Ratio Original Sharpe Ratio
1 1.39* 2.17^ 2.17
2 1.05 1.21 1.30
3 1.08 1.54 1.48
4 1.27 2.90^ 2.90
5 1.14* 1.53 1.55
6 1.04 1.16 1.05
7 1.25 3.42 3.47
8 1.55* 1.54^ 1.54
9 2.12* 2.00^ 2.00
10 1.12 2.58 2.58
11 1.04 1.16 1.35
12 1.71* 1.86^ 1.86
13 1.09 1.55^ 1.55
14 0* Negative Negative
15 1.12* 2.08 2.20
16 1.14* 1.20 1.15
17 1.19 1.74 1.65
18 1.82* 2.16^ 2.16
19 1.69* 1.84^ 1.84
20 2.41* 2.49^ 2.49
21 1.25* 1.92 1.92
22 1.07 1.37 1.44
23 1.16 1.92 1.77
24 1.05 1.68 1.76
25 1.04 1.05 1.02
26 2.16* 2.16^ 2.16
27 1.87* 2.11^ 2.11
28 1.11 1.88 1.82
29 1.63* 3.01 2.92
30 2.28* 3.98 3.96
31 1.05 2.01 2.41
Mean of * and ^ 1.69* 2.07^
Mean of other 1.11 1.92
Total mean 1.40 1.97 1.99
* indicate that the chosen same-return portfolio has a higher expected return than the original portfolio.
^ indicate that the chosen same-risk portfolio has a lower risk than the original portfolio. In those cases, the
same-risk portfolio is often the same portfolio as the standard optimised portfolio.
16
The results in Table 5.1 indicate that all portfolios have a higher Sharpe ratio after the
optimisation. Therefore, the optimisation improves the original portfolio concerning the risk
and return. Portfolio 14 has a negative original Sharpe ratio and therefore this measure cannot
be used to analyse how much it is improved. The portfolios optimised with regard to the same
return increase marginally in the Sharpe ratio compared to the portfolios optimised with
regard to the same risk and the standard optimised portfolios. When there is a larger increase
in the same-return optimised portfolios, it is mostly because the chosen optimised same-return
portfolio has a higher return than the original portfolio. In those situations, both the risk and
the return change when the return should have been the same. The same-return portfolios are
quite close to the efficient frontier with respect to risk and thus there is not a considerable
difference between the original and the optimised portfolio.
The portfolios optimised with respect to the same risk often have a noteworthy higher Sharpe
ratio than their original portfolios. Therefore, a better result is obtained for this optimisation
type than for the same-return optimisation. The standard optimised portfolios have
approximately the same improvements in the Sharpe ratio as the portfolios optimised with
respect to the same risk. In certain cases, the increase in the Sharpe ratio is lower for the
standard optimised portfolios and thus it seems as though the increased expected return is not
enough to balance the increased risk. Thus, optimisation seems to improve the expected return
and the risk level in the portfolios with regard to the expected return and the standard
deviation that I have used.
17
Table 5.2. Ratios of all optimised portfolio values relative to their original portfolio values 2005-11-11.
Same-Return Portf. Value / Same-Risk Portf. Value / Standard Optimisation Portf. Value /
Portfolio Original Portfolio Value Original Portfolio Value Original Portfolio Value
1 0.977 0.998 1.009
2 0.967 0.988 0.998
3 1.097* 1.218 1.244
4 1.068* 1.051^ 1.049
5 1.017* 1.021 1.033
6 1.026* 1.026 1.028
7 0.955* 0.976^ 0.976
8 1.032* 1.035 1.034
9 0.992 0.984 0.985
10 0.985 1.137 1.151
11 1.010 1.019 1.097
12 1.067* 1.489^ 1.489
13 1.053* 1.026 1.022
14 0.951 0.979^ 0.979
15 1.041 0.959 0.761
16 0.982* 0.828 0.828
17 0.968 1.014 1.014
18 1.071 1.008 1.071
19 1.295* 1.323^ 1.323
20 1.004 0.980 0.973
21 1.278* 1.291^ 1.291
22 1.113 1.075 1.024
23 0.995* 0.984^ 0.984
24 1.081 0.889 0.866
25 0.954* 0.965 0.963
26 0.987* 1.005^ 1.005
27 0.797 0.822 0.829
28 0.971* 0.988 0.988
29 0.996 0.973 0.979
30 0.997 0.992 0.919
31 0.959* 0.955^ 0.948
Mean of * and ^ 1.046* 1.117^
Mean of other 0.997 0.998
Total mean 1.022 1.032 1.028
* indicate that the chosen same-return portfolio has a higher expected return than the original portfolio
2005-05-11. ^ indicate that the chosen same-risk portfolio has a lower risk than the original portfolio
2005-05-11. In those cases, the same-risk portfolio is often the same portfolio as the standard optimised
portfolio.
The same-return optimisation in the first column in Table 5.2 indicates that the optimised
portfolios seem to be concentrated around the same value as the original portfolios. Portfolio
19 and 21 outperform their respective original portfolios with approximately 28 percent,
which is a significant improvement. However, their original portfolios 2005-05-11 have a
negative expected return and therefore the chosen same-return optimised portfolios have a
higher expected return. On the other hand, portfolio 27 underperforms its original portfolio
even though the optimised portfolio has the same expected return as the original portfolio
2005-05-11. It should be noted that portfolios 3, 5, 6, 12, 19 and 21 have a negative expected
return in their original portfolio 2005-05-11. Therefore, it does seem as though the optimised
same-return portfolios approximately achieve the same return as their original portfolios.
18
The portfolios optimised with respect to the same risk in the second column in Table 5.2 seem
to be concentrated around their original portfolios. Four of the portfolios outperform their
original portfolios with more than 20 percent but at the same time, three portfolios
underperform their original portfolios with more than 10 percent. Once again, all the
portfolios that have a negative expected return in their original portfolios 2005-05-11
outperform their original portfolio 2005-11-11.
The results in section 5.1 indicate that the portfolios optimised with respect to risk 2005-11-11
have a notably higher expected return than their original portfolios. This is also true for the
same-risk optimised portfolios 2005-05-11, but their values do not seem to be significantly
higher compared to their original portfolios 2005-11-11, as seen in the second column in
Table 5.2. This period do not confirm the results in section 5.1 and therefore it seems as
though the improvements from portfolio optimisation can be questioned over this period.
The standard optimised portfolios all have a notably higher expected return than their original
portfolios 2005-05-11, as seen in Appendix C. However, they do not seem to consistently
outperform their original portfolios over this six-month period. The result is quite similar to
the portfolios optimised with respect to the same risk. Four portfolios outperform their
original portfolios with more than 20 percent but at the same time, four portfolios
underperform their original portfolios with more than 10 percent. Thus, it does not seem as
though portfolio optimisation improve the portfolios over this six-month period. Given these
results, a significance test to evaluate if the optimised portfolios outperform the original
portfolios would not be worthwhile. This is also the case for the portfolios with a negative
expected return in the original portfolio since that sample is too small.
6.1 Conclusions
I have evaluated if it is possible to obtain a higher expected return with portfolio optimisation,
given a certain risk, with the aid of the risk analysis software Aegis Portfolio Manager. I have
19
also examined if it is possible to optimise a portfolio with the same expected return as the
original portfolio to achieve a lower risk. The original portfolios were also optimised with
standard optimisation, which in most cases resulted in the portfolios with the highest risk on
their efficient frontiers. These optimised portfolios were compared to their original portfolios
with the aid of the Sharpe ratio. Finally, a six-month period was used to analyse if the
optimised portfolios performed as expected.
The Sharpe ratios indicate that most portfolios benefit to some extent when they are optimised
with the same return. When optimising portfolios with the same risk and the standard
optimisation the Sharpe ratios indicate a larger improvement than for the same-return
portfolios. Therefore, it seems, as the optimisation should be used to increase the expected
return in the portfolio and not to decrease the risk level in the portfolio since the difference in
risk is rather small in most portfolios. The improvement in Sharpe ratios when optimisation is
used might be due to the estimates of expected return and risk. If the investors used different
estimates for the mean and variance, the original portfolios are optimised according to their
optimal frontier.
When the portfolios are optimised 2005-05-11 and the return of the original portfolios and the
optimised portfolios are compared 2005-11-11, the results indicate that the optimised
portfolios do not consistently outperform the original portfolios over the six-month period.
Thus, mean-variance optimisation with the estimated expected return and Aegis Portfolio
Manager’s risk values do not seem to be a profitable investment method. This might be due to
the uncertain estimate of the expected return, which is an important factor in the optimisation.
If the original portfolio has a negative expected return, the optimised portfolios consistently
outperform the original portfolios. This indicates that when the optimised portfolio has a
considerably higher expected return than the original portfolio, optimisation might improve
the return of the portfolio. In order to test this statistically, a larger number of portfolios with
this characteristic are necessary.
The result might depend on the estimated expected returns, which are uncertain. One should
bear in mind that mean-variance optimisation modify portfolios so that a few stock weights
are maximised and the other stock weights are minimised as much as possible. Therefore, if
the expected value or the risk is incorrect, optimisation will lead to an exaggeration of those
errors.
20
Given the above discussion, the optimisation method that I have used does not seem to
improve the return of the investor’s portfolio.
7 Acknowledgements
I would like to thank Professor Lennart Berg at the Department of Economics at Uppsala
University for his support and ideas throughout the process. I would also like to thank Jan
Aronsson and Mikael Forssén at Handelsbanken for their guidance and discussions. Finally, I
would like to thank Magnus Karlsson at Handelsbanken for his guidance in Aegis Portfolio
Manager.
21
References
Literature
Books
Bodie, Z, Kane A and Marcus, A. Investments. McGraw-Hill: 2002
Frängsmyr, T. Les Prix Nobel. The Nobel Prizes 1990. Nobel Foundation: 1991
Barra Inc, (2002-01-09) “Paring Constraints and Optimal Portfolios in the Aegis Optimizer”
http://www.barra.com/support/library/optimizer_constraints.pdf (2005-11-16)
Schwartz, T, (2000-03-15). “How to Beat the S&P 500 with Portfolio Optimization”
http://www.departments.bucknell.edu/management/apfa/Dundee%20Papers/27Schwartz.pdf
(2005-11-18)
22
%-------------------------------------------------------------------------
%Set the Date Fields to the starting dates
% --- Returns Version 1.0 Copyright 2005, Jonathan Mårtensson set(handles.activex1,'Value','2005-05-11');
set(handles.activex2,'Value','2005-11-11');
%-------------------------------------------------------------------------
% Update handles structure
guidata(hObject, handles);
function varargout = Returns(varargin)
Appendix A
%-------------------------------------------------------------------------
%-------------------------------------------------------------------------
% --- Outputs from this function are returned to the command line.
function varargout = Returns_OutputFcn(hObject, eventdata, handles)
% --- Begin initialization code - DO NOT EDIT % varargout cell array for returning output args (see VARARGOUT);
gui_Singleton = 1;
gui_State = struct('gui_Name', mfilename, ... % Get default command line output from handles structure
'gui_Singleton', gui_Singleton, ... varargout{1} = handles.output;
'gui_OpeningFcn', @Returns_OpeningFcn, ...
'gui_OutputFcn', @Returns_OutputFcn, ...
The Matlab code for the program Returns.
23
if nargin && ischar(varargin{1})
gui_State.gui_Callback = str2func(varargin{1}); % --- Function for the File menu
end function FileMenu_Callback(hObject, eventdata, handles)
if nargout
[varargout{1:nargout}] = gui_mainfcn(gui_State, varargin{:}); % ------------------------------------------------------------------------
else
gui_mainfcn(gui_State, varargin{:});
end % --- Function for the Print menu choice
% End initialization code - DO NOT EDIT function PrintMenuItem_Callback(hObject, eventdata, handles)
% --- Function for the Exit menu choice % --- Executes on button press in computebutton.
function ExitMenuItem_Callback(hObject, eventdata, handles) function computebutton_Callback(hObject, eventdata, handles)
%Use a question dialog to ask if the user wants to exit %Load the current handles
selection = questdlg(['Do you want to exit ' get(handles.figure1,'Name')... handles = guidata(gcbo);
'?'],['Exit ' get(handles.figure1,'Name') '...'], ...
'Yes','No','Yes'); %Set the data sample mean
%If the user answers No return to the program data_sample_mean = 0;
if strcmp(selection,'No')
return; %Set the sample size
end sample_size = 90;
%Otherwise end the program %Get the selected Filename from the Choose Data File Box
delete(handles.figure1) filename_properties = get(handles.activex3);
filename = filename_properties.FileName;
24
% --- Function for the Help menu %Extract info about the timeseries object
function HelpMenu_Callback(hObject, eventdata, handles) infodata = ftsinfo(data);
25
(sample_log_return_vector(1:end,1) - ... 'BackgroundColor',[1 1 1]);
data_sample_mean));
%Set the Filename to write the returns to
%Calculate the daily sample mean of the stock return filename = strrep(filename, '.txt', '_returns.txt');
mean_return(i+1,1) = (exp((data_sample_mean + ...
0.5 * variance)*250)-1); fid = fopen(filename,'w');
%Change the calculation date to the Second Date fprintf(fid,'%11.8f\t%11.8f', mean_return(1,1), mean_return(2,1));
n = length(busdays(second_date_num, data_end_date)) - 1; fclose(fid);
end
% Update handles structure
%Set the text in Result Field guidata(hObject, handles);
axes(handles.axes1);
cla; % ------------------------------------------------------------------------
Portfolio 1
Portfolio 2
Portfolio 3
Portfolio 4
Portfolio 5
Portfolio 6
Portfolio 7
Portfolio 8
Portfolio 9
Portfolio 10
Portfolio 11
ABB LTD SDB 2856 190638 66.75 OBS 1530 Gambro A subscription rights
Ericsson B 600 15960 26.6 to new shares worth 44217 has been replaced
Gambro A 2052 173907 84.75 with 522 Gambro A shares worth 44239.5
Gambro B 516 43860 85 OBS 385 Gambro B subscription rights
SCA B 300 83400 278 to new shares worth 11126.50 has been replaced
TeliaSonera 400 16280 40.7 with 131 Gambro B shares worth 11135
524045
Portfolio 12
Portfolio 13
Portfolio 14
Portfolio 15
Portfolio 16
Portfolio 17
Portfolio 18
Portfolio 19
Portfolio 20
Portfolio 22
Portfolio 23
Portfolio 24
Portfolio 25
Portfolio 26
Portfolio 27
Portfolio 28
Portfolio 29
Portfolio 30
Portfolio 31
Appendix C
The Sharpe Ratios of the portfolios.
Portfolio 1
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight % Weighted Expected Return
Anoto Group 0,1428 0,026184 0,003739075
Electrolux B -0,1344 0,065346 -0,008782502
Ericsson B 0,2023 0,148224 0,029985715
SCA B -0,3581 0,056125 -0,020098363
Scania B -0,0354 0,295993 -0,010478152
Skandia 0,7182 0,118511 0,0851146
Trelleborg -0,1294 0,289617 -0,03747644
Expected Portfolio Return 0,042003934 0,042 0,1418 0,2049
Total Portfolio Risk 0,250814239 0,2346 0,2501 0,2887
Sharpe Ratio 0,167470292 0,179 0,567 0,7097
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight % Weighted Expected Return
Anoto Group 1,8798 0,047077 0,088495345
Electrolux B 0,3621 0,072893 0,026394555
Ericsson B 0,0475 0,15205 0,007222375
SCA B 0,3376 0,052866 0,017847562
Scania B -0,1011 0,26623 -0,026915853
Skandia -0,0486 0,11959 -0,005812074
Trelleborg 0,2869 0,289294 0,082998449
Expected Portfolio Return 0,190230358 0,2412 0,4106 0,4106
Total Portfolio Risk 0,252267 0,2302 0,2508 0,2508
Sharpe Ratio 0,754083404 1,0479 1,6373 1,6373
Portfolio 2
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight % Weighted Expected Return
Öresund -0,0448 0,131696 -0,005899981
Industrivärden C -0,2084 0,340761 -0,071014592
Investor B 0,3479 0,321722 0,111927084
Kinnevik B -0,337 0,051569 -0,017378753
Nordea 0,0095 0,081249 0,000771866
Ratos B 0,2087 0,073003 0,015235726
Expected Portfolio Return 0,033641349 0,0342 0,2085 0,2317
Total Portfolio Risk 0,2361 0,2204 0,2369 0,2439
Sharpe Ratio 0,142487714 0,1551 0,8802 0,9501
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Öresund 0,0875 0,117329 0,010266288
Industrivärden C 0,4933 0,362126 0,178636756
Investor B 0,2942 0,329873 0,097048637
Kinnevik B -0,0022 0,043262 -9,51764E-05
Nordea 0,4209 0,079426 0,033430403
Ratos B 0,0563 0,067983 0,003827443
Expected Portfolio Return 0,32311435 0,3227 0,3886 0,445
Total Portfolio Risk 0,237517 0,2255 0,2369 0,2521
Sharpe Ratio 1,360384098 1,4309 1,6403 1,7648
Portfolio 3
2005-05-11
Appendix C
Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Assa Abloy 0,3479 0,022706 0,007899417
AstraZeneca SDB 0,3381 0,035716 0,01207558
Boliden 1,1227 0,019646 0,022056564
Ericsson B 0,0475 0,02602 0,00123595
Framfab 1,4092 0,014326 0,020188199
Svenska Handelsbanken A 0,422 0,0727 0,0306794
Hennes & Mauritz B -0,3043 0,147349 -0,044838301
Ledstiernan -0,081 0,003908 -0,000316548
Maxim Pharmaceuticals 0,0358 0,000984 3,52272E-05
New Wave Group 0,5025 0,261017 0,131161043
Nexus -0,0607 0,002783 -0,000168928
Nokia 0,1183 0,027384 0,003239527
Sandvik 0,7178 0,214708 0,154117402
SCA B 0,3376 0,054281 0,018325266
SKF B 0,6715 0,04132 0,02774638
Switchcore 0,2007 0,002161 0,000433713
Telelogic 0,5251 0,005233 0,002747848
Tele2 B 0,225 0,0239 0,0053775
TeliaSonera 0,1185 0,023856 0,002826936
Expected Portfolio Return 0,394822176 0,3991 0,6088 0,633
Total Portfolio Risk 0,201249 0,1891 0,2018 0,2186
Sharpe Ratio 1,961859068 2,1104 3,0164 2,8951
Portfolio 4
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
AstraZeneca SDB 0,3381 0,070712 0,023907727
Ericsson B 0,0475 0,226666 0,010766635
Hennes & Mauritz B -0,3043 0,194483 -0,059181177
Ledstiernan -0,081 0,027853 -0,002256093
Nordea 0,4209 0,22217 0,093511353
Nokia 0,1183 0,162648 0,019241258
Swedish Match 0,0772 0,000885 0,000068322
Tele2 B 0,225 0,047318 0,01064655
Tieto Enator 0,1837 0,043979 0,008078942
Volvo B 0,0153 0,003285 5,02605E-05
Expected Portfolio Return 0,104833779 0,1028 0,2802 0,2802
Total Portfolio Risk 0,268624 0,2077 0,2474 0,2474
Sharpe Ratio 0,390262145 0,4948 1,1327 1,1327
Portfolio 5
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Assa Abloy -0,4763 0,0411 -0,01957593
Axfood -0,7563 0,0563 -0,04257969
Föreningssparbanken 0,1256 0,0733 0,00920648
Gambro A -0,0186 0,0682 -0,00126852
Svenska Handelsbanken B -0,1866 0,138 -0,0257508
Holmen B -0,5488 0,0422 -0,02315936
Investor B 0,3479 0,0822 0,02859738
Ratos B 0,2087 0,0653 0,01362811
SCA B -0,3581 0,107 -0,0383167
Securitas 0,1545 0,0784 0,0121128
Skanska B 0,2168 0,038 0,0082384
Volvo B 0,3042 0,1263 0,03842046
Westergyllen -0,1591 0,0837 -0,01331667
Expected Portfolio Return -0,05376404 0 0,177 0,1918
Total Portfolio Risk 0,205745 0,1952 0,2058 0,2106
Sharpe Ratio -0,261313957 0 0,8601 0,9107
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Assa Abloy 0,3479 0,0449 0,01562071
Axfood 0,2362 0,0607 0,01433734
Föreningssparbanken 0,5173 0,0797 0,04122881
Gambro A 0,1249 0,055 0,0068695
Svenska Handelsbanken B 0,4553 0,1436 0,06538108
Holmen B 0,3635 0,0476 0,0173026
Investor B 0,2942 0,094 0,0276548
Ratos B 0,0563 0,0678 0,00381714
SCA B 0,3376 0,1072 0,03619072
Securitas -0,3353 0,0699 -0,02343747
Skanska B 0,6752 0,0462 0,03119424
Volvo B 0,0153 0,1311 0,00200583
Westergyllen 0,7164 0,0524 0,03753936
Expected Portfolio Return 0,27570466 0,2965 0,422 0,4545
Total Portfolio Risk 0,206339 0,1955 0,2061 0,2196
Sharpe Ratio 1,336173288 1,5167 2,0472 2,0694
Portfolio 6
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Ericsson B 0,0475 0,0604 0,002869
Svenska Handelsbanken A 0,422 0,3969 0,1674918
Svenska Handelsbanken B 0,4553 0,0387 0,01762011
Hufvudstaden A -0,3443 0,0038 -0,00130834
Kinnevik B -0,0022 0,0721 -0,00015862
NCC A 0,3844 0,0907 0,03486508
Nordea 0,4209 0,0661 0,02782149
SCA B 0,3376 0,2383 0,08045008
SEB A 0,4506 0,0199 0,00896694
TeliaSonera 0,1185 0,0131 0,00155235
Expected Portfolio Return 0,34016989 0,341 0,3957 0,4171
Total Portfolio Risk 0,234596 0,2256 0,2348 0,2734
Sharpe Ratio 1,450024254 1,5114 1,6854 1,5255
Portfolio 7
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Biophausia 3,085 0,0215 0,0663275
Ericsson B 0,2023 0,6195 0,12532485
Hebi Healthcare 0,3678 0,0238 0,00875364
Hennes & Mauritz B 0,2574 0,1716 0,04416984
NCC B 0,636 0,0493 0,0313548
Nokia 0,5022 0,0275 0,0138105
TeliaSonera -0,0872 0,0868 -0,00756896
Expected Portfolio Return 0,28217217 0,3543 0,3995 0,3995
Total Portfolio Risk 0,353564 0,2659 0,2868 0,2868
Sharpe Ratio 0,798079471 1,3324 1,3931 1,3931
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Biophausia 0,5673 0,0217 0,01231041
Ericsson B 0,0475 0,6503 0,03088925
Hebi Healthcare 0,068 0,0187 0,0012716
Hennes & Mauritz B -0,3043 0,1473 -0,04482339
NCC B 0,3573 0,0551 0,01968723
Nokia 0,1183 0,0274 0,00324142
TeliaSonera 0,1185 0,0795 0,00942075
Expected Portfolio Return 0,03199727 0,0324 0,1089 0,1113
Total Portfolio Risk 0,373143 0,3016 0,3715 0,3738
Sharpe Ratio 0,085750691 0,1074 0,2931 0,2977
Portfolio 8
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Electrolux B 0,3621 0,0427 0,01546167
Ericsson B 0,0475 0,258 0,012255
Svenska Handelsbanken A 0,422 0,2018 0,0851596
Svenska Handelsbanken B 0,4553 0,0908 0,04134124
Investor B 0,2942 0,0943 0,02774306
Onetwocom -0,108 0,0002 -0,0000216
Sandvik 0,7178 0,071 0,0509638
SEB A 0,4506 0,1003 0,04519518
SEB C 0,4696 0,0139 0,00652744
SSAB B 0,8292 0,0821 0,06807732
Trelleborg 0,2869 0,0449 0,01288181
Expected Portfolio Return 0,36558452 0,4882 0,5261 0,5261
Total Portfolio Risk 0,240443 0,2072 0,2244 0,2244
Sharpe Ratio 1,520462313 2,3565 2,3446 2,3446
Portfolio 9
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Atlas Copco A 0,2582 0,0206 0,00531892
Billerud -0,7973 0,0144 -0,01148112
Electrolux B -0,1344 0,0554 -0,00744576
Ericsson B 0,2023 0,4446 0,08994258
Nordea 0,0095 0,1084 0,0010298
SCA A -0,368 0,0196 -0,0072128
SCA B -0,3581 0,0524 -0,01876444
SEB A -0,0145 0,1205 -0,00174725
Volvo A 0,3082 0,164 0,0505448
Expected Portfolio Return 0,10018473 0,1015 0,186 0,2254
Total Portfolio Risk 0,28238 0,2256 0,2794 0,3393
Sharpe Ratio 0,354786918 0,4499 0,6658 0,6644
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Atlas Copco A 0,7196 0,0083 0,00597268
Billerud -0,0008 0,0136 -0,00001088
Electrolux B 0,3621 0,0616 0,02230536
Ericsson B 0,0475 0,4546 0,0215935
Nordea 0,4209 0,1105 0,04650945
SCA A 0,335 0,0181 0,0060635
SCA B 0,3376 0,0492 0,01660992
SEB A 0,4506 0,1232 0,05551392
Volvo A 0,014 0,1609 0,0022526
Expected Portfolio Return 0,17681005 0,2835 0,304 0,304
Total Portfolio Risk 0,290367 0,2192 0,2492 0,2492
Sharpe Ratio 0,60891923 1,2935 1,2201 1,2201
Portfolio 10
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,8009 0,0645 0,05165805
AstraZeneca SDB 0,3381 0,0354 0,01196874
Bilia 0,087 0,0264 0,0022968
Connecta 0,7128 0,0427 0,03043656
Electrolux B 0,3621 0,0352 0,01274592
Ericsson B 0,0475 0,0034 0,0001615
Gambro B 0,146 0,044 0,006424
Svenska Handelsbanken B 0,4553 0,036 0,0163908
Hennes & Mauritz B -0,3043 0,0974 -0,02963882
Klövern -0,7206 0,041 -0,0295446
Mekonomen -0,1891 0,0703 -0,01329373
Micronic Laser Systems 0,2295 0,053 0,0121635
New Wave Group 0,5025 0,1293 0,06497325
Nokia 0,1183 0,0543 0,00642369
Securitas -0,3353 0,0467 -0,01565851
Skanska B 0,6752 0,1159 0,07825568
Skandia -0,0486 0,0325 -0,0015795
Trelleborg 0,2869 0,0491 0,01408679
Viking Telecom -0,7893 0,0229 -0,01807497
Expected Portfolio Return 0,20019515 0,1977 0,5103 0,5208
Total Portfolio Risk 0,199969 0,177 0,1974 0,2016
Sharpe Ratio 1,001130925 1,117 2,5848 2,5839
Portfolio 11
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,5909 0,2769 0,16362021
Ericsson B 0,2023 0,0275 0,00556325
Gambro A -0,0186 0,4053 -0,00753858
Gambro B 0,0618 0,1019 0,00629742
SCA B -0,3581 0,1562 -0,05593522
TeliaSonera -0,0872 0,0321 -0,00279912
Expected Portfolio Return 0,10920796 0,1079 0,1411 0,3237
Total Portfolio Risk 0,227869 0,2255 0,2282 0,2563
Sharpe Ratio 0,479257644 0,4786 0,6183 1,2629
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,8009 0,3633 0,29096697
Ericsson B 0,0475 0,0305 0,00144875
Gambro A 0,1249 0,3324 0,04151676
Gambro B 0,146 0,0836 0,0122056
SCA B 0,3376 0,1592 0,05374592
TeliaSonera 0,1185 0,0311 0,00368535
Expected Portfolio Return 0,40356935 0,4047 0,4675 0,6471
Total Portfolio Risk 0,242895 0,2351 0,2435 0,2878
Sharpe Ratio 1,661497149 1,7215 1,9203 2,2488
Portfolio 12
Appendix C
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Anoto Group 1,8798 0,0311 0,05846178
Connecta 0,7128 0,0389 0,02772792
Ericsson B 0,0475 0,3519 0,01671525
Klövern -0,7206 0,0074 -0,00533244
Nokia 0,1183 0,2645 0,03129035
Pricer 0,1383 0,0122 0,00168726
Skandia -0,0486 0,0633 -0,00307638
Tele2 B 0,225 0,2309 0,0519525
Expected Portfolio Return 0,17942624 0,2726 0,3094 0,3094
Total Portfolio Risk 0,375063 0,3332 0,3481 0,3481
Sharpe Ratio 0,478389604 0,8182 0,8889 0,8889
Portfolio 13
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Boss Media 0,3269 0,0638 0,02085622
Cisl Gruppen 2,1893 0,046 0,1007078
Ericsson B 0,2023 0,2217 0,04484991
Lundin Mining 0,0437 0,3039 0,01328043
Lundin Petroleum 0,9019 0,1411 0,12725809
Telelogic -0,1622 0,142 -0,0230324
West Siberian Resources 0,6552 0,0816 0,05346432
Expected Portfolio Return 0,33738437 0,471 0,6344 0,6387
Total Portfolio Risk 0,277584 0,2387 0,2766 0,2833
Sharpe Ratio 1,215431617 1,9735 2,2938 2,2544
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Boss Media -0,4724 0,0402 -0,01899048
Cisl Gruppen 2,4887 0,0598 0,14882426
Ericsson B 0,0475 0,1935 0,00919125
Lundin Mining 0,7239 0,3107 0,22491573
Lundin Petroleum 0,4417 0,1463 0,06462071
Telelogic 0,5251 0,1297 0,06810547
West Siberian Resources 1,386 0,1198 0,1660428
Expected Portfolio Return 0,66270974 0,6672 1 1
Total Portfolio Risk 0,26932 0,2491 0,2629 0,2629
Sharpe Ratio 2,460677781 2,6789 3,8038 3,8038
Portfolio 14
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Billerud -0,0008 0,0066 -0,00000528
Ericsson B 0,0475 0,4266 0,0202635
Genline 0,0578 0,0133 0,00076874
Hennes & Mauritz B -0,3043 0,1722 -0,05240046
Karo Bio 0,2195 0,0081 0,00177795
Scania A -0,1038 0,0098 -0,00101724
Skandia -0,0486 0,164 -0,0079704
Volvo B 0,0153 0,1994 0,00305082
Expected Portfolio Return -0,03553237 0 0,019 0,0389
Total Portfolio Risk 0,310042 0,2861 0,3098 0,4156
Sharpe Ratio -0,114605021 0 0,0613 0,0936
Portfolio 15
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Ericsson B 0,2023 0,0823 0,01664929
Hennes & Mauritz B 0,2574 0,095 0,024453
Kungsleden 0,9812 0,3925 0,385121
Ratos B 0,2087 0,1427 0,02978149
Sandvik 0,037 0,0996 0,0036852
SCA B -0,3581 0,1402 -0,05020562
SEB A -0,0145 0,0478 -0,0006931
Expected Portfolio Return 0,40879126 0,408 0,519 0,7828
Total Portfolio Risk 0,211281 0,1996 0,2108 0,2639
Sharpe Ratio 1,93482263 2,044 2,4625 2,9663
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Ericsson B 0,0475 0,105 0,0049875
Hennes & Mauritz B -0,3043 0,0991 -0,03015613
Kungsleden -0,039 0,2531 -0,0098709
Ratos B 0,0563 0,1731 0,00974553
Sandvik 0,7178 0,1444 0,10365032
SCA B 0,3376 0,1643 0,05546768
SEB A 0,4506 0,061 0,0274866
Expected Portfolio Return 0,1613106 0,17 0,3352 0,3652
Total Portfolio Risk 0,207742 0,1949 0,2073 0,2138
Sharpe Ratio 0,776494883 0,8724 1,6169 1,708
Portfolio 16
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Öresund 0,0875 0,0775 0,00678125
ABB LTD SDB 0,8009 0,0261 0,02090349
Atlas Copco A 0,7196 0,0469 0,03374924
Atlas Copco B 0,6813 0,0958 0,06526854
Boliden 1,1227 0,0014 0,00157178
Svenska Handelsbanken A 0,422 0,5356 0,2260232
Svenska Handelsbanken B 0,4553 0,0179 0,00814987
Investor B 0,2942 0,0701 0,02062342
Nordea 0,4209 0,126 0,0530334
Sandvik 0,7178 0,0029 0,00208162
Expected Portfolio Return 0,43818581 0,4525 0,5139 0,5155
Total Portfolio Risk 0,234061 0,2126 0,2289 0,2402
Sharpe Ratio 1,872100905 2,1288 2,2454 2,1461
Portfolio 17
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,5909 0,0574 0,03391766
AstraZeneca SDB 0,7041 0,0366 0,02577006
Ericsson B 0,2023 0,1229 0,02486267
Föreningssparbanken 0,1256 0,0997 0,01252232
Svenska Handelsbanken A -0,1941 0,0753 -0,01461573
Hennes & Mauritz B 0,2574 0,0946 0,02435004
Intrum Justitia 0,0666 0,0368 0,00245088
Lundin Petroleum 0,9019 0,013 0,0117247
MTG B 0,571 0,1295 0,0739445
Nordea 0,0095 0,0632 0,0006004
SCA B -0,3581 0,0872 -0,03122632
Scania B -0,0354 0,0613 -0,00217002
Securitas 0,1545 0,0569 0,00879105
Telelogic -0,1622 0,0656 -0,01064032
Expected Portfolio Return 0,16028189 0,1606 0,3669 0,379
Total Portfolio Risk 0,225443 0,1946 0,218 0,2555
Sharpe Ratio 0,710964146 0,8252 1,683 1,4835
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,8009 0,0686 0,05494174
AstraZeneca SDB 0,3381 0,0355 0,01200255
Ericsson B 0,0475 0,1243 0,00590425
Föreningssparbanken 0,5173 0,1004 0,05193692
Svenska Handelsbanken A 0,422 0,0723 0,0305106
Hennes & Mauritz B -0,3043 0,0782 -0,02379626
Intrum Justitia 0,6538 0,0396 0,02589048
Lundin Petroleum 0,4417 0,0157 0,00693469
MTG B 0,743 0,1498 0,1113014
Nordea 0,4209 0,0638 0,02685342
SCA B 0,3376 0,081 0,0273456
Scania B -0,1011 0,0544 -0,00549984
Securitas -0,3353 0,0469 -0,01572557
Telelogic 0,5251 0,0694 0,03644194
Expected Portfolio Return 0,34504192 0,3455 0,5875 0,5949
Total Portfolio Risk 0,234097 0,1969 0,2296 0,245
Sharpe Ratio 1,473927133 1,7549 2,5587 2,4281
Portfolio 18
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Ericsson B 0,0475 0,5091 0,02418225
Framfab 1,4092 0,0561 0,07905612
Maxim Pharmaceuticals 0,0358 0,0019 0,00006802
Modul1 -0,6049 0,004 -0,0024196
SSAB A 0,8471 0,429 0,3634059
Expected Portfolio Return 0,46429269 0,6988 0,844 0,844
Total Portfolio Risk 0,302546 0,25 0,2548 0,2548
Sharpe Ratio 1,534618504 2,7947 3,3131 3,3131
Portfolio 19
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Atlas Copco A 0,2582 0,0977 0,02522614
Billerud -0,7973 0,0412 -0,03284876
Ericsson B 0,2023 0,0978 0,01978494
Föreningssparbanken 0,1256 0,0476 0,00597856
Gambro A -0,0186 0,0304 -0,00056544
Svenska Handelsbanken A -0,1941 0,087 -0,0168867
Sandvik 0,037 0,0518 0,0019166
Scania A -0,054 0,0039 -0,0002106
SKF B -0,0587 0,0279 -0,00163773
Tele2 B -0,3989 0,4089 -0,16311021
Volvo B 0,3042 0,1058 0,03218436
Expected Portfolio Return -0,13016884 0,0059 0,1229 0,1229
Total Portfolio Risk 0,275143 0,207 0,2286 0,2286
Sharpe Ratio -0,473095227 0,0285 0,5376 0,5376
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Atlas Copco A 0,7196 0,0596 0,04288816
Billerud -0,0008 0,0594 -0,00004752
Ericsson B 0,0475 0,1519 0,00721525
Föreningssparbanken 0,5173 0,0736 0,03807328
Gambro A 0,1249 0,0349 0,00435901
Svenska Handelsbanken A 0,422 0,1283 0,0541426
Sandvik 0,7178 0,0914 0,06560692
Scania A -0,1038 0,0053 -0,00055014
SKF B 0,6715 0,0519 0,03485085
Tele2 B 0,225 0,1875 0,0421875
Volvo B 0,0153 0,1562 0,00238986
Expected Portfolio Return 0,29111577 0,4153 0,4916 0,4916
Total Portfolio Risk 0,235194 0,199 0,2163 0,2163
Sharpe Ratio 1,237768693 2,0867 2,2729 2,2729
Portfolio 20
2005-05-11
Appendix C
Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Electrolux B 0,3621 0,1504 0,05445984
Ericsson B 0,0475 0,5261 0,02498975
Hennes & Mauritz B -0,3043 0,0487 -0,01481941
Holmen B 0,3635 0,0955 0,03471425
Investor B 0,2942 0,0236 0,00694312
Nokia 0,1183 0,0022 0,00026026
SEB A 0,4506 0,1196 0,05389176
SEB C 0,4696 0,0012 0,00056352
SKF B 0,6715 0,0328 0,0220252
Expected Portfolio Return 0,18302829 0,3049 0,3357 0,3357
Total Portfolio Risk 0,307526 0,2128 0,2268 0,2268
Sharpe Ratio 0,595163628 1,4329 1,4804 1,4804
Portfolio 21
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Electrolux B -0,1344 0,1589 -0,02135616
Ericsson B 0,2023 0,0855 0,01729665
Hennes & Mauritz B 0,2574 0,0897 0,02308878
SKF A -0,0715 0,129 -0,0092235
Swedish Match 0,3126 0,0178 0,00556428
Tele2 B -0,3989 0,3627 -0,14468103
Volvo B 0,3042 0,1564 0,04757688
Expected Portfolio Return -0,0817341 0,0788 0,1384 0,1384
Total Portfolio Risk 0,268566 0,2149 0,2263 0,2263
Sharpe Ratio -0,304335247 0,3667 0,6116 0,6116
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Electrolux B 0,3621 0,2282 0,08263122
Ericsson B 0,0475 0,1129 0,00536275
Hennes & Mauritz B -0,3043 0,0969 -0,02948667
SKF A 0,6921 0,2038 0,14104998
Swedish Match 0,0772 0,0203 0,00156716
Tele2 B 0,225 0,1415 0,0318375
Volvo B 0,0153 0,1964 0,00300492
Expected Portfolio Return 0,23596686 0,2671 0,4538 0,4538
Total Portfolio Risk 0,226507 0,2048 0,2265 0,2265
Sharpe Ratio 1,041764096 1,3045 2,0037 2,0037
Portfolio 22
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
ABB LTD SDB 0,8009 0,1283 0,10275547
Atlas Copco A 0,7196 0,0923 0,06641908
Axfood 0,2362 0,0807 0,01906134
Billerud -0,0008 0,069 -0,0000552
Daydream -0,088 0,0055 -0,000484
Svenska Handelsbanken A 0,422 0,0717 0,0302574
Karlshamns -0,1551 0,0524 -0,00812724
Kaupthing Bank 0,5197 0,0604 0,03138988
NCC B 0,3573 0,1088 0,03887424
New Wave Group 0,5025 0,0149 0,00748725
SCA B 0,3376 0,0535 0,0180616
SEB A 0,4506 0,0298 0,01342788
Stora Enso R 0,1802 0,0714 0,01286628
Tele2 B 0,225 0,0471 0,0105975
Trelleborg 0,2869 0,0488 0,01400072
Volvo B 0,0153 0,0654 0,00100062
Expected Portfolio Return 0,35753282 0,359 0,4895 0,5548
Total Portfolio Risk 0,194943 0,1827 0,1944 0,2095
Sharpe Ratio 1,834037744 1,9651 2,518 2,6484
Portfolio 23
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Alfa Laval 0,8998 0,1427 0,12840146
Aspiro 1,0146 0,0013 0,00131898
AstraZeneca SDB 0,3381 0,1645 0,05561745
Emitor Holding 0,8949 0,0202 0,01807698
Gambro B 0,146 0,0511 0,0074606
Hennes & Mauritz B -0,3043 0,1131 -0,03441633
Lundin Petroleum 0,4417 0,0725 0,03202325
OM HEX 0,0727 0,0656 0,00476912
Scania B -0,1011 0,0315 -0,00318465
Securitas -0,3353 0,0815 -0,02732695
SSAB A 0,8471 0,0561 0,04752231
Telelogic 0,5251 0,0402 0,02110902
Vitrolife 0,3684 0,1082 0,03986088
WM-Data 0,3742 0,0514 0,01923388
Expected Portfolio Return 0,310466 0,3112 0,5821 0,5893
Total Portfolio Risk 0,197397 0,1704 0,1927 0,2111
Sharpe Ratio 1,572799992 1,8262 3,0208 2,7912
Portfolio 24
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Atlas Copco B 0,6813 0,1654 0,11268702
Assa Abloy 0,3479 0,0676 0,02351804
Electrolux B 0,3621 0,1114 0,04033794
Ericsson B 0,0475 0,062 0,002945
Hennes & Mauritz B -0,3043 0,0975 -0,02966925
Sandvik 0,7178 0,148 0,1062344
SCA B 0,3376 0,1347 0,04547472
Skandia -0,0486 0,0487 -0,00236682
Volvo B 0,0153 0,1647 0,00251991
Expected Portfolio Return 0,30168096 0,302 0,5046 0,5438
Total Portfolio Risk 0,218906 0,208 0,2185 0,2241
Sharpe Ratio 1,378130156 1,4518 2,3095 2,4268
Portfolio 25
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
AstraZeneca SDB 0,7041 0,207 0,1457487
Ericsson B 0,2023 0,0915 0,01851045
Föreningssparbanken 0,1256 0,0664 0,00833984
SSAB A 0,177 0,616 0,109032
TeliaSonera -0,0872 0,0191 -0,00166552
Expected Portfolio Return 0,27996547 0,3598 0,3872 0,3879
Total Portfolio Risk 0,228561 0,2153 0,2277 0,2298
Sharpe Ratio 1,224904818 1,6715 1,7008 1,6883
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
AstraZeneca SDB 0,3381 0,1779 0,06014799
Ericsson B 0,0475 0,0818 0,0038855
Föreningssparbanken 0,5173 0,0591 0,03057243
SSAB A 0,8471 0,6663 0,56442273
TeliaSonera 0,1185 0,0149 0,00176565
Expected Portfolio Return 0,6607943 0,6621 0,6898 0,8284
Total Portfolio Risk 0,223813 0,2166 0,2228 0,274
Sharpe Ratio 2,952439313 3,0564 3,0957 3,0236
Portfolio 26
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation (Same as the Same Return Portfolio)
Return Weight Weighted Expected Return
AstraZeneca SDB 0,3381 0,0715 0,02417415
Ericsson B 0,0475 0,5205 0,02472375
Hebi Healthcare 0,068 0,0009 0,0000612
Investor B 0,2942 0,1427 0,04198234
Lundbergs 0,0678 0,1271 0,00861738
Ratos B 0,0563 0,1373 0,00772999
Expected Portfolio Return 0,10728881 0,1611 0,1611 0,1611
Total Portfolio Risk 0,305654 0,2126 0,2126 0,2126
Sharpe Ratio 0,351013924 0,7576 0,7576 0,7576
Portfolio 27
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Atlas Copco A 0,2582 0,2169 0,05600358
Atlas Copco B 0,2433 0,0695 0,01690935
Cardo -0,2621 0,0438 -0,01147998
Ericsson B 0,2023 0,3482 0,07044086
Svenska Handelsbanken A -0,1941 0,3181 -0,06174321
Hebi Healthcare 0,3678 0 0
Swedish Match 0,3126 0,0008 0,00025008
Volvo B 0,3042 0,0028 0,00085176
Expected Portfolio Return 0,07123244 0,0726 0,1687 0,2168
Total Portfolio Risk 0,2679 0,234 0,2674 0,2984
Sharpe Ratio 0,2658919 0,3103 0,6308 0,7266
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Atlas Copco A 0,7196 0,1063 0,07649348
Atlas Copco B 0,6813 0,0329 0,02241477
Cardo -0,2291 0,0454 -0,01040114
Ericsson B 0,0475 0,4342 0,0206245
Svenska Handelsbanken A 0,422 0,377 0,159094
Hebi Healthcare 0,068 0 0
Swedish Match 0,0772 0,0009 0,00006948
Volvo B 0,0153 0,0033 0,00005049
Expected Portfolio Return 0,26834558 0,4084 0,4789 0,4789
Total Portfolio Risk 0,291358 0,2366 0,2463 0,2463
Sharpe Ratio 0,921016687 1,7263 1,9446 1,9446
Portfolio 28
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
AstraZeneca SDB 0,3381 0,0967 0,03269427
Ericsson B 0,0475 0,0841 0,00399475
Framfab 1,4092 0,0174 0,02452008
Svenska Handelsbanken A 0,422 0,4068 0,1716696
Hennes & Mauritz B -0,3043 0,1985 -0,06040355
Metro A -0,4243 0,0007 -0,00029701
Metro B -0,4979 0,0017 -0,00084643
MTG B 0,743 0,0608 0,0451744
OM HEX 0,0727 0,1152 0,00837504
Swedish Match 0,0772 0,0181 0,00139732
Expected Portfolio Return 0,22627847 0,2247 0,4259 0,4662
Total Portfolio Risk 0,225446 0,2016 0,2256 0,255
Sharpe Ratio 1,003692547 1,1146 1,888 1,828
Portfolio 29
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Biacore 0,4556 0,103 0,0469268
Eniro 0,4414 0,0909 0,04012326
Ericsson B 0,2023 0,039 0,0078897
Getinge 0,6787 0,0947 0,06427289
Hennes & Mauritz B 0,2574 0,1125 0,0289575
Holmen B -0,5488 0,0437 -0,02398256
Modul1 -0,2958 0,002 -0,0005916
MTG B 0,571 0,0985 0,0562435
Nordea 0,0095 0,0752 0,0007144
Precise Biometrics 2,9505 0,101 0,2980005
Resco 0,4003 0,0036 0,00144108
Securitas 0,1545 0,1082 0,0167169
SSAB B 0,0871 0,0653 0,00568763
Telelogic -0,1622 0,0624 -0,01012128
Expected Portfolio Return 0,53227872 0,5255 0,9165 0,9698
Total Portfolio Risk 0,223944 0,1923 0,2255 0,2499
Sharpe Ratio 2,376838495 2,7323 4,0641 3,8814
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Biacore -0,3256 0,1075 -0,035002
Eniro 0,0886 0,0871 0,00771706
Ericsson B 0,0475 0,0418 0,0019855
Getinge -0,019 0,0822 -0,0015618
Hennes & Mauritz B -0,3043 0,0987 -0,03003441
Holmen B 0,3635 0,0484 0,0175934
Modul1 -0,6049 0,0016 -0,00096784
MTG B 0,743 0,121 0,089903
Nordea 0,4209 0,0805 0,03388245
Precise Biometrics 0,0058 0,0799 0,00046342
Resco -0,0229 0,0034 -0,00007786
Securitas -0,3353 0,0947 -0,03175291
SSAB B 0,8292 0,0832 0,06898944
Telelogic 0,5251 0,0701 0,03680951
Expected Portfolio Return 0,15794696 0,2078 0,4684 0,4753
Total Portfolio Risk 0,231521 0,1872 0,2278 0,2384
Sharpe Ratio 0,6822144 1,11 2,0558 1,9941
Portfolio 30
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Appendix C
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Industrivärden C 0,4933 0,1419 0,06999927
NCC B 0,3573 0,0268 0,00957564
Nokia 0,1183 0,1063 0,01257529
Ratos B 0,0563 0,1332 0,00749916
Securitas -0,3353 0,0458 -0,01535674
Skanska B 0,6752 0,0227 0,01532704
SSAB B 0,8292 0,0893 0,07404756
Tieto Enator 0,1837 0,0991 0,01820467
Wallenstam -0,313 0,3349 -0,1048237
Expected Portfolio Return 0,08704819 0,1895 0,3465 0,3696
Total Portfolio Risk 0,207399 0,1983 0,2075 0,2224
Sharpe Ratio 0,419713644 0,9556 1,6699 1,6618
Portfolio 31
2005-05-11 Same as the 2005-11-11 Portfolio Optimised 2005-05-11 Optimised 2005-05-11 Optimised 2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Return Weight Weighted Expected Return
Carnegie & Co -0,41 0,0996 -0,040836
Ericsson B 0,2023 0,05 0,010115
Hennes & Mauritz B 0,2574 0,2889 0,07436286
Industrivärden A -0,2138 0,1421 -0,03038098
Investor B 0,3479 0,0656 0,02282224
Ratos B 0,2087 0,1041 0,02172567
Scania A -0,054 0,0012 -0,0000648
Scania B -0,0354 0,06 -0,002124
Skanska B 0,2168 0,1009 0,02187512
TeliaSonera -0,0872 0,0876 -0,00763872
Expected Portfolio Return 0,06985639 0,152 0,2381 0,2381
Total Portfolio Risk 0,212452 0,1975 0,2064 0,2064
Sharpe Ratio 0,328810225 0,7697 1,1535 1,1535
2005-11-11 Same as the 2005-05-11 Portfolio Optimised 2005-11-11 Optimised 2005-11-11 Optimised 2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Return Weight Weighted Expected Return
Carnegie & Co 0,4605 0,1226 0,0564573
Ericsson B 0,0475 0,0517 0,00245575
Hennes & Mauritz B -0,3043 0,2441 -0,07427963
Industrivärden A 0,4635 0,1577 0,07309395
Investor B 0,2942 0,0709 0,02085878
Ratos B 0,0563 0,1023 0,00575949
Scania A -0,1038 0,0011 -0,00011418
Scania B -0,1011 0,0543 -0,00548973
Skanska B 0,6752 0,1162 0,07845824
TeliaSonera 0,1185 0,079 0,0093615
Expected Portfolio Return 0,16656147 0,165 0,3354 0,4356
Total Portfolio Risk 0,219488 0,2067 0,2198 0,238
Sharpe Ratio 0,758863674 0,7983 1,5262 1,8306
Portfolio 1
2005-05-11
Appendix D
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Anoto Group 24800 24,8 1 000 4,71% 13020 24,8 525 2,53% 47120 24,8 1 900 8,96% 47120 24,8 1 900 8,86%
Electrolux B 38400 192 200 7,29% 72960 192 380 14,17% 44160 192 230 8,40% 3840 192 20 0,72%
Ericsson B 80100 26,7 3 000 15,21% 8010 26,7 300 1,56% 30251 26,7 1 133 5,75% 152190 26,7 5 700 28,63%
SCA B 27850 278,5 100 5,29% 52915 278,5 190 10,28% 2785 278,5 10 0,53% 2785 278,5 10 0,52%
Scania B 140250 280,5 500 26,62% 205046 280,5 731 39,83% 251889 280,5 898 47,91% 190740 280,5 680 35,88%
Skandia 63000 42 1 500 11,96% 92274 42 2 197 17,92% 119700 42 2 850 22,77% 119700 42 2 850 22,52%
Trelleborg 152400 127 1 200 28,93% 70612 127 556 13,72% 29845 127 235 5,68% 15240 127 120 2,87% Initial portfolio 1 2005-11-11
526800 514837 525750 531615
Portfolio 2
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Öresund 54300 181 300 13,17% 103170 181 570 25,02% 53757 181 297 13,04% 23349 181 129 5,66%
Industrivärden C 140500 140,5 1 000 34,08% 75449 140,5 537 18,29% 14050 140,5 100 3,41% 14050 140,5 100 3,41%
Investor B 132650 94,75 1 400 32,17% 87549 94,75 924 21,23% 221526 94,75 2 338 53,73% 252035 94,75 2 660 61,11%
Kinnevik B 21263 60,75 350 5,16% 25394 60,75 418 6,16% 2126 60,75 35 0,52% 2126 60,75 35 0,52%
Nordea 33500 67 500 8,12% 63650 67 950 15,43% 63650 67 950 15,44% 63650 67 950 15,43%
Ratos B 30100 150,5 200 7,30% 57190 150,5 380 13,87% 57190 150,5 380 13,87% 57190 150,5 380 13,87%
412313 412402 412299 412400 Initial portfolio 2 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Öresund 60750 202,5 300 11,73% 115425 202,5 570 23,06% 60143 202,5 297 11,76% 26123 202,5 129 5,06%
Industrivärden C 187500 187,5 1 000 36,21% 100688 187,5 537 20,11% 18750 187,5 100 3,67% 18750 187,5 100 3,63%
Investor B 170800 122 1 400 32,99% 112728 122 924 22,52% 285236 122 2 338 55,78% 324520 122 2 660 62,81%
Kinnevik B 22400 64 350 4,33% 26752 64 418 5,34% 2240 64 35 0,44% 2240 64 35 0,43%
Nordea 41125 82,25 500 7,94% 78138 82,25 950 15,61% 78138 82,25 950 15,28% 78138 82,25 950 15,12%
Ratos B 35200 176 200 6,80% 66880 176 380 13,36% 66880 176 380 13,08% 66880 176 380 12,94%
517775 500611 511387 516651 Initial portfolio 2 2005-11-11
Portfolio 3
2005-05-11
Appendix D
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Assa Abloy 11650 116,5 100 2,27% 1165 116,5 10 0,21% 1165 116,5 10 0,19% 1165 116,5 10 0,18%
AstraZeneca SDB 18325 366,5 50 3,57% 34818 366,5 95 6,18% 34818 366,5 95 5,57% 34818 366,5 95 5,46%
Boliden 10080 44,8 225 1,96% 10080 44,8 225 1,79% 19174 44,8 428 3,07% 19174 44,8 428 3,00%
Ericsson B 13350 26,7 500 2,60% 1335 26,7 50 0,24% 25365 26,7 950 4,06% 25365 26,7 950 3,97%
Framfab 7350 1,05 7 000 1,43% 735 1,05 700 0,13% 13965 1,05 13 300 2,23% 13965 1,05 13 300 2,19%
Svenska Handelsbanken A 37300 186,5 200 7,27% 70870 186,5 380 12,59% 49796 186,5 267 7,97% 70870 186,5 380 11,11%
Hennes & Mauritz B 75600 252 300 14,73% 143640 252 570 25,51% 143640 252 570 22,98% 143640 252 570 22,51%
Ledstiernan 2005 4,01 500 0,39% 902 4,01 225 0,16% 3810 4,01 950 0,61% 3810 4,01 950 0,60%
Maxim Pharmaceuticals 505 10,1 50 0,10% 51 10,1 5 0,01% 51 10,1 5 0,01% 51 10,1 5 0,01%
New Wave Group 133920 77,5 1 728 26,10% 83003 77,5 1 071 14,74% 32705 77,5 422 5,23% 14493 77,5 187 2,27% Initial portfolio 3 2005-11-11
Nexus 1428 3,4 420 0,28% 143 3,4 42 0,03% 143 3,4 42 0,02% 143 3,4 42 0,02%
Nokia 14050 140,5 100 2,74% 1405 140,5 10 0,25% 26695 140,5 190 4,27% 26695 140,5 190 4,18%
Sandvik 110160 382,5 288 21,47% 105188 382,5 275 18,68% 209228 382,5 547 33,47% 209228 382,5 547 32,79%
SCA B 27850 278,5 100 5,43% 52915 278,5 190 9,40% 2785 278,5 10 0,45% 2785 278,5 10 0,44%
SKF B 21200 106 200 4,13% 40280 106 380 7,15% 40280 106 380 6,44% 40280 106 380 6,31%
Switchcore 1109 1,54 720 0,22% 111 1,54 72 0,02% 2107 1,54 1 368 0,34% 2107 1,54 1 368 0,33%
Telelogic 2685 17,9 150 0,52% 269 17,9 15 0,05% 269 17,9 15 0,04% 5102 17,9 285 0,80%
Tele2 B 12263 81,75 150 2,39% 1226 81,75 15 0,22% 1226 81,75 15 0,20% 1226 81,75 15 0,19%
TeliaSonera 12240 40,8 300 2,39% 14892 40,8 365 2,65% 17870 40,8 438 2,86% 23256 40,8 570 3,64%
513070 563028 625092 638173
Portfolio 4
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 31000 310 100 6,28% 58900 310 190 11,92% 58900 310 190 11,92% 58900 310 190 11,92%
Ericsson B 95480 21,7 4 400 19,33% 9548 21,7 440 1,93% 61259 21,7 2 823 12,40% 27212 21,7 1 254 5,51%
Hennes & Mauritz B 100200 250,5 400 20,29% 190380 250,5 760 38,54% 190380 250,5 760 38,52% 190380 250,5 760 38,53%
Ledstiernan 12852 3,57 3 600 2,60% 6497 3,57 1 820 1,32% 24419 3,57 6 840 4,94% 24419 3,57 6 840 4,94%
Nordea 93800 67 1 400 18,99% 175071 67 2 613 35,44% 9380 67 140 1,90% 9380 67 140 1,90%
Nokia 72300 120,5 600 14,64% 7230 120,5 60 1,46% 137370 120,5 1 140 27,80% 137370 120,5 1 140 27,80%
Swedish Match 431 86,25 5 0,09% 863 86,25 10 0,17% 863 86,25 10 0,17% 863 86,25 10 0,17%
Tele2 B 67500 225 300 13,67% 6750 225 30 1,37% 6750 225 30 1,37% 6750 225 30 1,37%
Tieto Enator 18923 217,5 87 3,83% 35888 217,5 165 7,26% 1958 217,5 9 0,40% 35888 217,5 165 7,26%
Volvo B 1455 291 5 0,29% 2910 291 10 0,59% 2910 291 10 0,59% 2910 291 10 0,59% Initial portfolio 4 2005-05-11
493941 494037 494189 494072
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 36650 366,5 100 7,07% 69635 366,5 190 12,58% 69635 366,5 190 12,78% 69635 366,5 190 12,81%
Ericsson B 117480 26,7 4 400 22,67% 11748 26,7 440 2,12% 75374 26,7 2 823 13,84% 33482 26,7 1 254 6,16%
Hennes & Mauritz B 100800 252 400 19,45% 191520 252 760 34,60% 191520 252 760 35,16% 191520 252 760 35,22%
Ledstiernan 14436 4,01 3 600 2,79% 7298 4,01 1 820 1,32% 27428 4,01 6 840 5,03% 27428 4,01 6 840 5,04%
Nordea 115150 82,25 1 400 22,22% 214919 82,25 2 613 38,83% 11515 82,25 140 2,11% 11515 82,25 140 2,12%
Nokia 84300 140,5 600 16,26% 8430 140,5 60 1,52% 160170 140,5 1 140 29,40% 160170 140,5 1 140 29,46%
Swedish Match 459 91,75 5 0,09% 918 91,75 10 0,17% 918 91,75 10 0,17% 918 91,75 10 0,17%
Tele2 B 24525 81,75 300 4,73% 2453 81,75 30 0,44% 2453 81,75 30 0,45% 2453 81,75 30 0,45%
Tieto Enator 22794 262 87 4,40% 43230 262 165 7,81% 2358 262 9 0,43% 43230 262 165 7,95%
Volvo B 1703 340,5 5 0,33% 3405 340,5 10 0,62% 3405 340,5 10 0,63% 3405 340,5 10 0,63% Initial portfolio 4 2005-11-11
518297 553556 544776 543756
Portfolio 5
2005-05-11
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Assa Abloy 23300 116,5 200 4,49% 2330 116,5 20 0,44% 2330 116,5 20 0,44% 2330 116,5 20 0,43%
Axfood 31500 210 150 6,07% 59850 210 285 11,33% 3150 210 15 0,59% 3150 210 15 0,59%
Föreningssparbanken 41400 207 200 7,97% 78660 207 380 14,89% 78660 207 380 14,83% 78660 207 380 14,67%
Gambro A 28560 85 336 5,50% 54230 85 638 10,27% 54230 85 638 10,22% 30345 85 357 5,66%
Svenska Handelsbanken B 74600 186,5 400 14,36% 25924 186,5 139 4,91% 7460 186,5 40 1,41% 7460 186,5 40 1,39%
Holmen B 24700 247 100 4,76% 23465 247 95 4,44% 2470 247 10 0,47% 2470 247 10 0,46%
Investor B 48800 122 400 9,40% 14396 122 118 2,73% 77714 122 637 14,65% 92720 122 760 17,29%
Ratos B 35200 176 200 6,78% 66880 176 380 12,66% 66880 176 380 12,61% 66880 176 380 12,47%
SCA B 55700 278,5 200 10,72% 19495 278,5 70 3,69% 5570 278,5 20 1,05% 5570 278,5 20 1,04%
Securitas 36300 121 300 6,99% 40051 121 331 7,58% 54208 121 448 10,22% 68970 121 570 12,86% Initial portfolio 5 2005-11-11
Skanska B 24000 120 200 4,62% 45600 120 380 8,63% 45600 120 380 8,60% 45600 120 380 8,50%
Volvo B 68100 340,5 200 13,11% 91254 340,5 268 17,28% 129390 340,5 380 24,40% 129390 340,5 380 24,13%
Westergyllen 27200 68 400 5,24% 6052 68 89 1,15% 2720 68 40 0,51% 2720 68 40 0,51%
519360 528187 530382 536265
Portfolio 6
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Ericsson B 30510 21,7 1 406 5,73% 57961 21,7 2 671 10,88% 57961 21,7 2 671 10,88% 57961 21,7 2 671 10,89%
Svenska Handelsbanken A 211019 159,5 1 323 39,63% 198737 159,5 1 246 37,32% 198737 159,5 1 246 37,32% 234306 159,5 1 469 44,01%
Svenska Handelsbanken B 20511 159 129 3,85% 38955 159 245 7,31% 38955 159 245 7,31% 38955 159 245 7,32%
Hufvudstaden A 2365 55 43 0,44% 4510 55 82 0,85% 4510 55 82 0,85% 4510 55 82 0,85%
Kinnevik B 42525 60,75 700 7,99% 4253 60,75 70 0,80% 4253 60,75 70 0,80% 4253 60,75 70 0,80%
NCC A 43200 108 400 8,11% 82080 108 760 15,41% 82080 108 760 15,41% 82080 108 760 15,42%
Nordea 33500 67 500 6,29% 63650 67 950 11,95% 63650 67 950 11,95% 63650 67 950 11,96%
SCA B 131138 246,5 532 24,63% 48807 246,5 198 9,16% 48807 246,5 198 9,16% 13065 246,5 53 2,45%
SEB A 10080 126 80 1,89% 19152 126 152 3,60% 19152 126 152 3,60% 19152 126 152 3,60%
TeliaSonera 7600 38 200 1,43% 14440 38 380 2,71% 14440 38 380 2,71% 14440 38 380 2,71% Initial portfolio 6 2005-05-11
532448 532545 532545 532372
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Same as the Same Return) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Ericsson B 37540 26,7 1 406 6,04% 71316 26,7 2 671 11,18% 71316 26,7 2 671 11,18% 71316 26,7 2 671 11,16%
Svenska Handelsbanken A 246740 186,5 1 323 39,69% 232379 186,5 1 246 36,43% 232379 186,5 1 246 36,43% 273969 186,5 1 469 42,87%
Svenska Handelsbanken B 24059 186,5 129 3,87% 45693 186,5 245 7,16% 45693 186,5 245 7,16% 45693 186,5 245 7,15%
Hufvudstaden A 2354 54,75 43 0,38% 4490 54,75 82 0,70% 4490 54,75 82 0,70% 4490 54,75 82 0,70%
Kinnevik B 44800 64 700 7,21% 4480 64 70 0,70% 4480 64 70 0,70% 4480 64 70 0,70%
NCC A 56400 141 400 9,07% 107160 141 760 16,80% 107160 141 760 16,80% 107160 141 760 16,77%
Nordea 41125 82,25 500 6,61% 78138 82,25 950 12,25% 78138 82,25 950 12,25% 78138 82,25 950 12,23%
SCA B 148162 278,5 532 23,83% 55143 278,5 198 8,64% 55143 278,5 198 8,64% 14761 278,5 53 2,31%
SEB A 12400 155 80 1,99% 23560 155 152 3,69% 23560 155 152 3,69% 23560 155 152 3,69%
TeliaSonera 8160 40,8 200 1,31% 15504 40,8 380 2,43% 15504 40,8 380 2,43% 15504 40,8 380 2,43% Initial portfolio 6 2005-11-11
621740 637863 637863 639071
Portfolio 7
2005-05-11
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Electrolux B 22080 192 115 4,27% 41856 192 218 7,84% 13440 192 70 2,51% 2304 192 12 0,43%
Ericsson B 133500 26,7 5 000 25,80% 15753 26,7 590 2,95% 149520 26,7 5 600 27,91% 253650 26,7 9 500 47,39%
Svenska Handelsbanken A 104440 186,5 560 20,18% 51101 186,5 274 9,57% 10444 186,5 56 1,95% 10444 186,5 56 1,95%
Svenska Handelsbanken B 46998 186,5 252 9,08% 25551 186,5 137 4,79% 4663 186,5 25 0,87% 4663 186,5 25 0,87%
Investor B 48800 122 400 9,43% 92720 122 760 17,37% 92720 122 760 17,30% 92720 122 760 17,32%
Onetwocom 120 0,15 800 0,02% 228 0,15 1 520 0,04% 228 0,15 1 520 0,04% 228 0,15 1 520 0,04%
Sandvik 36720 382,5 96 7,10% 69615 382,5 182 13,04% 69615 382,5 182 12,99% 69615 382,5 182 13,01%
SEB A 51925 155 335 10,03% 98580 155 636 18,46% 98580 155 636 18,40% 17825 155 115 3,33%
SEB C 7176 149,5 48 1,39% 13605 149,5 91 2,55% 13605 149,5 91 2,54% 748 149,5 5 0,14%
SSAB B 42480 236 180 8,21% 80712 236 342 15,12% 80712 236 342 15,06% 80712 236 342 15,08% Initial portfolio 8 2005-11-11
Trelleborg 23241 127 183 4,49% 44196 127 348 8,28% 2286 127 18 0,43% 2286 127 18 0,43%
517480 533917 535813 535195
Portfolio 9
2005-05-11
Appendix D
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Atlas Copco A 4320 160 27 0,83% 8160 160 51 1,58% 8160 160 51 1,59% 8160 160 51 1,59%
Billerud 7104 96 74 1,36% 672 96 7 0,13% 672 96 7 0,13% 672 96 7 0,13%
Electrolux B 32064 192 167 6,16% 60864 192 317 11,78% 3264 192 17 0,64% 3264 192 17 0,64%
Ericsson B 236776 26,7 8 868 45,46% 47953 26,7 1 796 9,28% 217525 26,7 8 147 42,44% 325900 26,7 12 206 63,55%
Nordea 57575 82,25 700 11,05% 109393 82,25 1 330 21,17% 109393 82,25 1 330 21,34% 5758 82,25 70 1,12%
SCA A 9418 277 34 1,81% 831 277 3 0,16% 831 277 3 0,16% 831 277 3 0,16%
SCA B 25622 278,5 92 4,92% 7520 278,5 27 1,46% 2507 278,5 9 0,49% 2507 278,5 9 0,49%
SEB A 64170 155 414 12,32% 121985 155 787 23,61% 10850 155 70 2,12% 6355 155 41 1,24%
Volvo A 83820 330 254 16,09% 159390 330 483 30,84% 159390 330 483 31,09% 159390 330 483 31,08%
520869 516768 512592 512837 Initial portfolio 9 2005-11-11
Portfolio 10
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 22950 45,9 500 4,46% 2295 45,9 50 0,45% 43605 45,9 950 8,47% 43605 45,9 950 8,47%
AstraZeneca SDB 15500 310 50 3,01% 29450 310 95 5,72% 29450 310 95 5,72% 29450 310 95 5,72%
Bilia 12500 125 100 2,43% 23750 125 190 4,62% 23750 125 190 4,62% 23750 125 190 4,62%
Connecta 13322 24,9 535 2,59% 25323 24,9 1 017 4,92% 25323 24,9 1 017 4,92% 1345 24,9 54 0,26%
Electrolux B 13633 143,5 95 2,65% 12485 143,5 87 2,43% 1435 143,5 10 0,28% 1435 143,5 10 0,28%
Ericsson B 1432 21,7 66 0,28% 152 21,7 7 0,03% 152 21,7 7 0,03% 2713 21,7 125 0,53%
Gambro B 25058 93,5 268 4,87% 47592 93,5 509 9,25% 47592 93,5 509 9,25% 16269 93,5 174 3,16%
Svenska Handelsbanken B 15900 159 100 3,09% 30210 159 190 5,87% 1590 159 10 0,31% 1590 159 10 0,31%
Hennes & Mauritz B 50100 250,5 200 9,74% 95190 250,5 380 18,50% 95190 250,5 380 18,50% 95190 250,5 380 18,50%
Klövern 20480 21,4 957 3,98% 38905 21,4 1 818 7,56% 38905 21,4 1 818 7,56% 38905 21,4 1 818 7,56% Initial portfolio 10 2005-05-11
Mekonomen 61800 154,5 400 12,01% 68444 154,5 443 13,30% 6180 154,5 40 1,20% 6180 154,5 40 1,20%
Micronic Laser Systems 20850 69,5 300 4,05% 2085 69,5 30 0,41% 2085 69,5 30 0,41% 39615 69,5 570 7,70%
New Wave Group 98928 114,5 864 19,22% 72135 114,5 630 14,02% 28740 114,5 251 5,58% 9847 114,5 86 1,91%
Nokia 24100 120,5 200 4,68% 2410 120,5 20 0,47% 35909 120,5 298 6,98% 45790 120,5 380 8,90%
Securitas 24100 120,5 200 4,68% 25185 120,5 209 4,89% 21570 120,5 179 4,19% 45790 120,5 380 8,90%
Skanska B 43750 87,5 500 8,50% 33950 87,5 388 6,60% 83125 87,5 950 16,15% 83125 87,5 950 16,15%
Skandia 13880 34,7 400 2,70% 1388 34,7 40 0,27% 26372 34,7 760 5,12% 26372 34,7 760 5,12%
Trelleborg 21200 106 200 4,12% 2120 106 20 0,41% 2120 106 20 0,41% 2120 106 20 0,41%
Viking Telecom 15120 2,4 6 300 2,94% 1512 2,4 630 0,29% 1512 2,4 630 0,29% 1512 2,4 630 0,29%
514603 514581 514605 514603
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 33375 66,75 500 6,45% 3338 66,75 50 0,65% 63413 66,75 950 10,77% 63413 66,75 950 10,64%
AstraZeneca SDB 18325 366,5 50 3,54% 34818 366,5 95 6,83% 34818 366,5 95 5,92% 34818 366,5 95 5,84%
Bilia 13650 136,5 100 2,64% 25935 136,5 190 5,09% 25935 136,5 190 4,41% 25935 136,5 190 4,35%
Connecta 22096 41,3 535 4,27% 42002 41,3 1 017 8,24% 42002 41,3 1 017 7,14% 2230 41,3 54 0,37%
Electrolux B 18240 192 95 3,52% 16704 192 87 3,28% 1920 192 10 0,33% 1920 192 10 0,32%
Ericsson B 1762 26,7 66 0,34% 187 26,7 7 0,04% 187 26,7 7 0,03% 3338 26,7 125 0,56%
Gambro B 22780 85 268 4,40% 43265 85 509 8,49% 43265 85 509 7,35% 14790 85 174 2,48%
Svenska Handelsbanken B 18650 186,5 100 3,60% 35435 186,5 190 6,95% 1865 186,5 10 0,32% 1865 186,5 10 0,31%
Hennes & Mauritz B 50400 252 200 9,74% 95760 252 380 18,79% 95760 252 380 16,27% 95760 252 380 16,07%
Klövern 21245 22,2 957 4,10% 40360 22,2 1 818 7,92% 40360 22,2 1 818 6,86% 40360 22,2 1 818 6,77% Initial portfolio 10 2005-11-11
Mekonomen 36400 91 400 7,03% 40313 91 443 7,91% 3640 91 40 0,62% 3640 91 40 0,61%
Micronic Laser Systems 27450 91,5 300 5,30% 2745 91,5 30 0,54% 2745 91,5 30 0,47% 52155 91,5 570 8,75%
New Wave Group 66960 77,5 864 12,93% 48825 77,5 630 9,58% 19453 77,5 251 3,31% 6665 77,5 86 1,12%
Nokia 28100 140,5 200 5,43% 2810 140,5 20 0,55% 41869 140,5 298 7,11% 53390 140,5 380 8,96%
Securitas 24200 121 200 4,67% 25289 121 209 4,96% 21659 121 179 3,68% 45980 121 380 7,72%
Skanska B 60000 120 500 11,59% 46560 120 388 9,13% 114000 120 950 19,37% 114000 120 950 19,13%
Skandia 16800 42 400 3,25% 1680 42 40 0,33% 31920 42 760 5,42% 31920 42 760 5,36%
Trelleborg 25400 127 200 4,91% 2540 127 20 0,50% 2540 127 20 0,43% 2540 127 20 0,43%
Viking Telecom 11844 1,88 6 300 2,29% 1184 1,88 630 0,23% 1184 1,88 630 0,20% 1184 1,88 630 0,20%
517677 509750 588535 595903
Portfolio 11
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Appendix D
The values of the portfolios.
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 131090 45,9 2 856 27,69% 138985 45,9 3 028 29,36% 153031 45,9 3 334 32,33% 249053 45,9 5 426 52,61%
Ericsson B 13020 21,7 600 2,75% 1302 21,7 60 0,28% 1302 21,7 60 0,28% 24738 21,7 1 140 5,23%
Gambro A 191862 93,5 2 052 40,53% 129872 93,5 1 389 27,44% 129498 93,5 1 385 27,35% 99017 93,5 1 059 20,92%
Gambro B 48246 93,5 516 10,19% 91630 93,5 980 19,36% 91630 93,5 980 19,36% 91630 93,5 980 19,36%
SCA B 73950 246,5 300 15,62% 91698 246,5 372 19,37% 83317 246,5 338 17,60% 7395 246,5 30 1,56%
TeliaSonera 15200 38 400 3,21% 19836 38 522 4,19% 14630 38 385 3,09% 1520 38 40 0,32%
473368 473323 473408 473353
Initial portfolio 11 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 190638 66,75 2 856,00 36,33% 202119 66,75 3 028,00 38,14% 222545 66,75 3 334,00 41,60% 362186 66,75 5 426,00 62,89%
Ericsson B 16020 26,7 600 3,05% 1602 26,7 60 0,30% 1602 26,7 60 0,30% 30438 26,7 1 140,00 5,29%
Gambro A 174420 85 2 052,00 33,24% 118065 85 1 389,00 22,28% 117725 85 1 385,00 22,00% 90015 85 1 059,00 15,63%
Gambro B 43860 85 516 8,36% 83300 85 980 15,72% 83300 85 980 15,57% 83300 85 980 14,46%
SCA B 83550 278,5 300 15,92% 103602 278,5 372 19,55% 94133 278,5 338 17,59% 8355 278,5 30 1,45%
TeliaSonera 16320 40,8 400 3,11% 21298 40,8 522 4,02% 15708 40,8 385 2,94% 1632 40,8 40 0,28%
524808 529986 535013 575926
Appendix D
Initial Portfolio Same Return Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation (Same as the Same Risk Portfolio)
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Öresund 40500 202,5 200 7,75% 76950 202,5 380 15,00% 37058 202,5 183 8,57% 37058 202,5 183 8,57%
ABB LTD SDB 13617 66,75 204 2,61% 25899 66,75 388 5,05% 25899 66,75 388 5,99% 25899 66,75 388 5,99%
Atlas Copco A 24480 160 153 4,69% 46560 160 291 9,08% 46560 160 291 10,77% 46560 160 291 10,77%
Atlas Copco B 50018 142,5 351 9,58% 40328 142,5 283 7,86% 95048 142,5 667 21,98% 95048 142,5 667 21,98%
Boliden 717 44,8 16 0,14% 1344 44,8 30 0,26% 1344 44,8 30 0,31% 1344 44,8 30 0,31%
Svenska Handelsbanken A 279750 186,5 1 500 53,56% 106492 186,5 571 20,76% 27975 186,5 150 6,47% 27975 186,5 150 6,47%
Svenska Handelsbanken B 9325 186,5 50 1,79% 17718 186,5 95 3,45% 933 186,5 5 0,22% 933 186,5 5 0,22%
Investor B 36600 122 300 7,01% 69540 122 570 13,56% 69540 122 570 16,08% 69540 122 570 16,08%
Nordea 65800 82,25 800 12,60% 125020 82,25 1 520 24,37% 125020 82,25 1 520 28,91% 125020 82,25 1 520 28,91%
Sandvik 1530 382,5 4 0,29% 3060 382,5 8 0,60% 3060 382,5 8 0,71% 3060 382,5 8 0,71%
522337 512911 432437 432437 Initial portfolio 16 2005-11-11
Portfolio 17
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 24327 45,9 530 5,74% 5233 45,9 114 1,24% 46221 45,9 1 007 10,91% 46221 45,9 1 007 10,91%
AstraZeneca SDB 15500 310 50 3,66% 29450 310 95 6,95% 29450 310 95 6,95% 29450 310 95 6,95%
Ericsson B 52080 21,7 2 400 12,29% 5208 21,7 240 1,23% 28818 21,7 1 328 6,80% 53556 21,7 2 468 12,64%
Föreningssparbanken 42250 169 250 9,97% 59657 169 353 14,08% 66079 169 391 15,59% 41405 169 245 9,77%
Svenska Handelsbanken A 31900 159,5 200 7,53% 19778 159,5 124 4,67% 3190 159,5 20 0,75% 3190 159,5 20 0,75%
Hennes & Mauritz B 40080 250,5 160 9,46% 76152 250,5 304 17,98% 76152 250,5 304 17,97% 76152 250,5 304 17,97%
Intrum Justitia 15600 52 300 3,68% 14144 52 272 3,34% 1560 52 30 0,37% 1560 52 30 0,37%
Lundin Petroleum 5525 55,25 100 1,30% 10498 55,25 190 2,48% 10498 55,25 190 2,48% 10498 55,25 190 2,48%
MTG B 54875 219,5 250 12,95% 46095 219,5 210 10,88% 104263 219,5 475 24,60% 104263 219,5 475 24,60%
Nordea 26800 67 400 6,32% 46431 67 693 10,96% 2680 67 40 0,63% 2680 67 40 0,63% Initial portfolio 17 2005-05-11
SCA B 36975 246,5 150 8,72% 47082 246,5 191 11,11% 3698 246,5 15 0,87% 3698 246,5 15 0,87%
Scania B 26000 260 100 6,13% 49400 260 190 11,66% 2600 260 10 0,61% 2600 260 10 0,61%
Securitas 24100 120,5 200 5,69% 11689 120,5 97 2,76% 45790 120,5 380 10,81% 45790 120,5 380 10,80%
Telelogic 27800 13,9 2 000 6,56% 2780 13,9 200 0,66% 2780 13,9 200 0,66% 2780 13,9 200 0,66%
423812 423597 423779 423843
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 35378 66,75 530 6,86% 7610 66,75 114 1,52% 67217 66,75 1 007 12,86% 67217 66,75 1 007 12,85%
AstraZeneca SDB 18325 366,5 50 3,55% 34818 366,5 95 6,98% 34818 366,5 95 6,66% 34818 366,5 95 6,66%
Ericsson B 64080 26,7 2 400 12,43% 6408 26,7 240 1,28% 35458 26,7 1 328 6,78% 65896 26,7 2 468 12,60%
Föreningssparbanken 51750 207 250 10,04% 73071 207 353 14,64% 80937 207 391 15,48% 50715 207 245 9,70%
Svenska Handelsbanken A 37300 186,5 200 7,23% 23126 186,5 124 4,63% 3730 186,5 20 0,71% 3730 186,5 20 0,71%
Hennes & Mauritz B 40320 252 160 7,82% 76608 252 304 15,35% 76608 252 304 14,65% 76608 252 304 14,65%
Intrum Justitia 20400 68 300 3,96% 18496 68 272 3,71% 2040 68 30 0,39% 2040 68 30 0,39%
Lundin Petroleum 8075 80,75 100 1,57% 15343 80,75 190 3,07% 15343 80,75 190 2,93% 15343 80,75 190 2,93%
MTG B 77250 309 250 14,98% 64890 309 210 13,00% 146775 309 475 28,08% 146775 309 475 28,07%
Nordea 32900 82,25 400 6,38% 56999 82,25 693 11,42% 3290 82,25 40 0,63% 3290 82,25 40 0,63% Initial portfolio 17 2005-11-11
SCA B 41775 278,5 150 8,10% 53194 278,5 191 10,66% 4178 278,5 15 0,80% 4178 278,5 15 0,80%
Scania B 28050 280,5 100 5,44% 53295 280,5 190 10,68% 2805 280,5 10 0,54% 2805 280,5 10 0,54%
Securitas 24200 121 200 4,69% 11737 121 97 2,35% 45980 121 380 8,80% 45980 121 380 8,79%
Telelogic 35800 17,9 2 000 6,94% 3580 17,9 200 0,72% 3580 17,9 200 0,68% 3580 17,9 200 0,68%
515603 499175 522759 522975
Portfolio 18
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Appendix D
The values of the portfolios.
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Ericsson B 217000 21,7 10 000 55,73% 73563 21,7 3 390 18,89% 216935 21,7 9 997 55,71% 88297 21,7 4 069 22,67%
Framfab 17920 0,64 28 000 4,60% 23800 0,64 37 188 6,11% 34048 0,64 53 200 8,74% 34048 0,64 53 200 8,74%
Maxim Pharmaceuticals 1020 10,2 100 0,26% 1938 10,2 190 0,50% 102 10,2 10 0,03% 102 10,2 10 0,03%
Modul1 2225 0,89 2 500 0,57% 2783 0,89 3 127 0,71% 223 0,89 250 0,06% 223 0,89 250 0,06%
SSAB A 151200 168 900 38,83% 287280 168 1 710 73,78% 138096 168 822 35,46% 266784 168 1 588 68,50%
389365 389364 389404 389454
Initial portfolio 18 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Ericsson B 267000 26,7 10 000 50,91% 90513 26,7 3 390 16,12% 266920 26,7 9 997 50,50% 108642 26,7 4 069 19,34%
Framfab 29400 1,05 28 000 5,61% 39047 1,05 37 188 6,95% 55860 1,05 53 200 10,57% 55860 1,05 53 200 9,94%
Maxim Pharmaceuticals 1010 10,1 100 0,19% 1919 10,1 190 0,34% 101 10,1 10 0,02% 101 10,1 10 0,02%
Modul1 2075 0,83 2 500 0,40% 2595 0,83 3 127 0,46% 208 0,83 250 0,04% 208 0,83 250 0,04%
SSAB A 225000 250 900 42,90% 427500 250 1 710 76,13% 205500 250 822 38,88% 397000 250 1 588 70,66%
524485 561574 528589 561811
Initial portfolio 18 2005-11-11
Portfolio 19
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Atlas Copco A 64545 331 195 9,77% 122801 331 371 18,59% 122801 331 371 18,59% 122801 331 371 18,59%
Billerud 27216 84 324 4,12% 51744 84 616 7,83% 2688 84 32 0,41% 2688 84 32 0,41%
Ericsson B 64579 21,7 2 976 9,78% 6467 21,7 298 0,98% 122692 21,7 5 654 18,58% 122692 21,7 5 654 18,58%
Föreningssparbanken 31434 169 186 4,76% 59657 169 353 9,03% 59657 169 353 9,03% 59657 169 353 9,03%
Gambro A 20103 93,5 215 3,04% 38242 93,5 409 5,79% 38242 93,5 409 5,79% 38242 93,5 409 5,79%
Svenska Handelsbanken A 57420 159,5 360 8,70% 109098 159,5 684 16,52% 49764 159,5 312 7,53% 49764 159,5 312 7,53%
Sandvik 34188 273,5 125 5,18% 65093 273,5 238 9,85% 65093 273,5 238 9,86% 65093 273,5 238 9,86%
Scania A 2565 256,5 10 0,39% 4874 256,5 19 0,74% 4874 256,5 19 0,74% 4874 256,5 19 0,74%
SKF B 18432 72 256 2,79% 34992 72 486 5,30% 34992 72 486 5,30% 34992 72 486 5,30%
Tele2 B 270000 225 1 200 40,89% 34875 225 155 5,28% 27000 225 120 4,09% 27000 225 120 4,09%
Volvo B 69840 291 240 10,58% 132696 291 456 20,09% 132696 291 456 20,09% 132696 291 456 20,09% Initial portfolio 19 2005-05-11
660322 660539 660499 660499
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Atlas Copco A 31200 160 195 5,96% 59360 160 371 8,76% 59360 160 371 8,57% 59360 160 371 8,57%
Billerud 31104 96 324 5,94% 59136 96 616 8,73% 3072 96 32 0,44% 3072 96 32 0,44%
Ericsson B 79459 26,7 2 976 15,19% 7957 26,7 298 1,17% 150962 26,7 5 654 21,80% 150962 26,7 5 654 21,80%
Föreningssparbanken 38502 207 186 7,36% 73071 207 353 10,78% 73071 207 353 10,55% 73071 207 353 10,55%
Gambro A 18275 85 215 3,49% 34765 85 409 5,13% 34765 85 409 5,02% 34765 85 409 5,02%
Svenska Handelsbanken A 67140 186,5 360 12,83% 127566 186,5 684 18,82% 58188 186,5 312 8,40% 58188 186,5 312 8,40%
Sandvik 47813 382,5 125 9,14% 91035 382,5 238 13,43% 91035 382,5 238 13,15% 91035 382,5 238 13,15%
Scania A 2795 279,5 10 0,53% 5311 279,5 19 0,78% 5311 279,5 19 0,77% 5311 279,5 19 0,77%
SKF B 27136 106 256 5,19% 51516 106 486 7,60% 51516 106 486 7,44% 51516 106 486 7,44%
Tele2 B 98100 81,75 1 200 18,75% 12671 81,75 155 1,87% 9810 81,75 120 1,42% 9810 81,75 120 1,42%
Volvo B 81720 340,5 240 15,62% 155268 340,5 456 22,91% 155268 340,5 456 22,43% 155268 340,5 456 22,43% Initial portfolio 19 2005-11-11
523244 677656 692358 692358
Portfolio 20
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Electrolux B 58118 143,5 405 13,97% 109204 143,5 761 26,25% 5884 143,5 41 1,41% 5884 143,5 41 1,41%
Ericsson B 221145 21,7 10 191 53,17% 117093 21,7 5 396 28,15% 226852 21,7 10 454 54,54% 323265 21,7 14 897 77,72%
Hennes & Mauritz B 25050 250,5 100 6,02% 47595 250,5 190 11,44% 47595 250,5 190 11,44% 47595 250,5 190 11,44%
Holmen B 38900 194,5 200 9,35% 3890 194,5 20 0,94% 3890 194,5 20 0,94% 3890 194,5 20 0,94%
Investor B 9475 94,75 100 2,28% 18003 94,75 190 4,33% 18003 94,75 190 4,33% 18003 94,75 190 4,33%
Nokia 964 120,5 8 0,23% 1808 120,5 15 0,43% 1808 120,5 15 0,43% 1808 120,5 15 0,43%
SEB A 50274 126 399 12,09% 95508 126 758 22,96% 95508 126 758 22,96% 14364 126 114 3,45%
SEB C 486 121,5 4 0,12% 972 121,5 8 0,23% -------------------------------------------------------------------------------------------------------------------------------------
SKF B 11520 72 160 2,77% 21888 72 304 5,26% 16416 72 228 3,95% 1152 72 16 0,28%
415932 415961 415956 415961 Initial portfolio 20 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Electrolux B 77760 192 405 15,04% 146112 192 761 28,14% 7872 192 41 1,55% 7872 192 41 1,56%
Ericsson B 272100 26,7 10 191 52,61% 144073 26,7 5 396 27,75% 279122 26,7 10 454 55,08% 397750 26,7 14 897 79,06%
Hennes & Mauritz B 25200 252 100 4,87% 47880 252 190 9,22% 47880 252 190 9,45% 47880 252 190 9,52%
Holmen B 49400 247 200 9,55% 4940 247 20 0,95% 4940 247 20 0,97% 4940 247 20 0,98%
Investor B 12200 122 100 2,36% 23180 122 190 4,46% 23180 122 190 4,57% 23180 122 190 4,61%
Nokia 1124 140,5 8 0,22% 2108 140,5 15 0,41% 2108 140,5 15 0,42% 2108 140,5 15 0,42%
SEB A 61845 155 399 11,96% 117490 155 758 22,63% 117490 155 758 23,18% 17670 155 114 3,51%
SEB C 598 149,5 4 0,12% 1196 149,5 8 0,23% -------------------------------------------------------------------------------------------------------------------------------------
SKF B 16960 106 160 3,28% 32224 106 304 6,21% 24168 106 228 4,77% 1696 106 16 0,34%
517187 519203 506760 503096 Initial portfolio 20 2005-11-11
Portfolio 21
2005-05-11
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
ABB LTD SDB 66750 66,75 1 000 12,83% 35912 66,75 538 6,20% 126825 66,75 1 900 22,66% 126825 66,75 1 900 23,80%
Atlas Copco A 48000 160 300 9,23% 31840 160 199 5,50% 65920 160 412 11,78% 91200 160 570 17,11%
Axfood 42000 210 200 8,07% 79170 210 377 13,67% 4200 210 20 0,75% 4200 210 20 0,79%
Billerud 35904 96 374 6,90% 40224 96 419 6,95% 3552 96 37 0,63% 3552 96 37 0,67%
Daydream 2870 2,87 1 000 0,55% 287 2,87 100 0,05% 287 2,87 100 0,05% 5453 2,87 1 900 1,02%
Svenska Handelsbanken A 37300 186,5 200 7,17% 61545 186,5 330 10,63% 10071 186,5 54 1,80% 3730 186,5 20 0,70%
Karlshamns 27263 137 199 5,24% 51786 137 378 8,94% 51786 137 378 9,25% 51786 137 378 9,72%
Kaupthing Bank 31400 78,5 400 6,04% 59660 78,5 760 10,30% 59660 78,5 760 10,66% 59660 78,5 760 11,20%
NCC B 56600 141,5 400 10,88% 58157 141,5 411 10,04% 107540 141,5 760 19,22% 107540 141,5 760 20,18%
New Wave Group 7750 77,5 100 1,49% 14725 77,5 190 2,54% 14725 77,5 190 2,63% 775 77,5 10 0,15% Initial portfolio 22 2005-11-11
SCA B 27850 278,5 100 5,35% 2785 278,5 10 0,48% 2785 278,5 10 0,50% 2785 278,5 10 0,52%
SEB A 15500 155 100 2,98% 29450 155 190 5,09% 29450 155 190 5,26% 2015 155 13 0,38%
Stora Enso R 37136 105,5 352 7,14% 62667 105,5 594 10,82% 13082 105,5 124 2,34% 3693 105,5 35 0,69%
Tele2 B 24525 81,75 300 4,71% 5314 81,75 65 0,92% 2453 81,75 30 0,44% 2453 81,75 30 0,46%
Trelleborg 25400 127 200 4,88% 2540 127 20 0,44% 2540 127 20 0,45% 2540 127 20 0,48%
Volvo B 34050 340,5 100 6,54% 42903 340,5 126 7,41% 64695 340,5 190 11,56% 64695 340,5 190 12,14%
520298 578965 559571 532902
Portfolio 23
2005-05-11
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Alfa Laval 63600 159 400 14,27% 72186 159 454 16,28% 6360 159 40 1,45% 6360 159 40 1,45%
Aspiro 599 4,28 140 0,13% 60 4,28 14 0,01% 1138 4,28 266 0,26% 1138 4,28 266 0,26%
AstraZeneca SDB 73300 366,5 200 16,45% 54609 366,5 149 12,32% 139270 366,5 380 31,76% 139270 366,5 380 31,76%
Emitor Holding 9000 2,25 4 000 2,02% 900 2,25 400 0,20% 17100 2,25 7 600 3,90% 17100 2,25 7 600 3,90%
Gambro B 22780 85 268 5,11% 43265 85 509 9,76% 2295 85 27 0,52% 2295 85 27 0,52%
Hennes & Mauritz B 50400 252 200 11,31% 95760 252 380 21,60% 95760 252 380 21,84% 95760 252 380 21,84%
Lundin Petroleum 32300 80,75 400 7,25% 61370 80,75 760 13,84% 61370 80,75 760 13,99% 61370 80,75 760 13,99%
OM HEX 29250 97,5 300 6,56% 2925 97,5 30 0,66% 2925 97,5 30 0,67% 2925 97,5 30 0,67%
Scania B 14025 280,5 50 3,15% 26648 280,5 95 6,01% 1403 280,5 5 0,32% 1403 280,5 5 0,32%
Securitas 36300 121 300 8,15% 10285 121 85 2,32% 13310 121 110 3,03% 13310 121 110 3,03%
SSAB A 25000 250 100 5,61% 47500 250 190 10,71% 47500 250 190 10,83% 47500 250 190 10,83% Initial portfolio 23 2005-11-11
Telelogic 17900 17,9 1 000 4,02% 1790 17,9 100 0,40% 1790 17,9 100 0,41% 1790 17,9 100 0,41%
Vitrolife 48200 24,1 2 000 10,82% 23739 24,1 985 5,35% 4820 24,1 200 1,10% 4820 24,1 200 1,10%
WM-Data 22900 22,9 1 000 5,14% 2290 22,9 100 0,52% 43510 22,9 1 900 9,92% 43510 22,9 1 900 9,92%
445554 443327 438551 438551
Portfolio 24
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Atlas Copco B 183000 305 600 33,86% 114375 305 375 21,16% 233325 305 765 43,17% 246135 305 807 45,54%
Assa Abloy 28425 94,75 300 5,26% 10991 94,75 116 2,03% 2843 94,75 30 0,53% 2843 94,75 30 0,53%
Electrolux B 43050 143,5 300 7,96% 59409 143,5 414 10,99% 4305 143,5 30 0,80% 4305 143,5 30 0,80%
Ericsson B 26040 21,7 1 200 4,82% 2604 21,7 120 0,48% 2604 21,7 120 0,48% 2604 21,7 120 0,48%
Hennes & Mauritz B 50100 250,5 200 9,27% 95190 250,5 380 17,61% 95190 250,5 380 17,61% 95190 250,5 380 17,61%
Sandvik 54700 273,5 200 10,12% 61538 273,5 225 11,38% 18325 273,5 67 3,39% 5470 273,5 20 1,01%
SCA B 61625 246,5 250 11,40% 67048 246,5 272 12,40% 6163 246,5 25 1,14% 6163 246,5 25 1,14%
Skandia 20820 34,7 600 3,85% 9473 34,7 273 1,75% 39558 34,7 1 140 7,32% 39558 34,7 1 140 7,32%
Volvo B 72750 291 250 13,46% 119892 291 412 22,18% 138225 291 475 25,57% 138225 291 475 25,57%
540510 540520 540538 540493 Initial portfolio 24 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Atlas Copco B 85500 142,5 600 16,54% 53438 142,5 375 9,56% 109013 142,5 765 23,73% 114998 142,5 807 25,70%
Assa Abloy 34950 116,5 300 6,76% 13514 116,5 116 2,42% 3495 116,5 30 0,76% 3495 116,5 30 0,78%
Electrolux B 57600 192 300 11,14% 79488 192 414 14,22% 5760 192 30 1,25% 5760 192 30 1,29%
Ericsson B 32040 26,7 1 200 6,20% 3204 26,7 120 0,57% 3204 26,7 120 0,70% 3204 26,7 120 0,72%
Hennes & Mauritz B 50400 252 200 9,75% 95760 252 380 17,13% 95760 252 380 20,84% 95760 252 380 21,40%
Sandvik 76500 382,5 200 14,80% 86063 382,5 225 15,40% 25628 382,5 67 5,58% 7650 382,5 20 1,71%
SCA B 69625 278,5 250 13,47% 75752 278,5 272 13,55% 6963 278,5 25 1,52% 6963 278,5 25 1,56%
Skandia 25200 42 600 4,87% 11466 42 273 2,05% 47880 42 1 140 10,42% 47880 42 1 140 10,70%
Volvo B 85125 340,5 250 16,47% 140286 340,5 412 25,10% 161738 340,5 475 35,20% 161738 340,5 475 36,15%
516940 558971 459441 447448 Initial portfolio 24 2005-11-11
Portfolio 25
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Appendix D
The values of the portfolios.
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 79050 310 255 20,70% 143220 310 462 37,51% 150350 310 485 39,36% 150350 310 485 39,37%
Ericsson B 34937 21,7 1 610 9,15% 17837 21,7 822 4,67% 55509 21,7 2 558 14,53% 60999 21,7 2 811 15,97%
Föreningssparbanken 25350 169 150 6,64% 48165 169 285 12,61% 2535 169 15 0,66% 2535 169 15 0,66%
SSAB A 235200 168 1 400 61,60% 158760 168 945 41,58% 172872 168 1 029 45,26% 167328 168 996 43,81%
TeliaSonera 7296 38 192 1,91% 13870 38 365 3,63% 722 38 19 0,19% 722 38 19 0,19%
381833 381852 381988 381934
Initial portfolio 25 2005-05-11
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 93458 366,5 255 17,79% 169323 366,5 462 33,77% 177753 366,5 485 35,05% 177753 366,5 485 35,15%
Ericsson B 42987 26,7 1 610 8,18% 21947 26,7 822 4,38% 68299 26,7 2 558 13,47% 75054 26,7 2 811 14,84%
Föreningssparbanken 31050 207 150 5,91% 58995 207 285 11,77% 3105 207 15 0,61% 3105 207 15 0,61%
SSAB A 350000 250 1 400 66,63% 236250 250 945 47,12% 257250 250 1 029 50,72% 249000 250 996 49,24%
TeliaSonera 7834 40,8 192 1,49% 14892 40,8 365 2,97% 775 40,8 19 0,15% 775 40,8 19 0,15%
525329 501407 507182 505687
Initial portfolio 25 2005-11-11
Portfolio 26
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation (Same as the Same Risk Portfolio)
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 31000 310 100 7,33% 58900 310 190 13,94% 58900 310 190 13,94% 58900 310 190 13,94%
Ericsson B 217000 21,7 10 000 51,34% 31899 21,7 1 470 7,55% 134670 21,7 6 206 31,86% 134670 21,7 6 206 31,86%
Hebi Healthcare 520 0,13 4 000 0,12% 988 0,13 7 600 0,23% 988 0,13 7 600 0,23% 988 0,13 7 600 0,23%
Investor B 56850 94,75 600 13,45% 108015 94,75 1 140 25,56% 108015 94,75 1 140 25,56% 108015 94,75 1 140 25,56%
Lundbergs 57100 285,5 200 13,51% 108490 285,5 380 25,67% 5710 285,5 20 1,35% 5710 285,5 20 1,35%
Ratos B 60200 150,5 400 14,24% 114380 150,5 760 27,06% 114380 150,5 760 27,06% 114380 150,5 760 27,06%
422670 422672 422663 422663
Initial portfolio 26 2005-05-11
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 36650 366,5 100 7,15% 69635 366,5 190 13,75% 69635 366,5 190 13,51% 69635 366,5 190 13,51%
Ericsson B 267000 26,7 10 000 52,05% 39249 26,7 1 470 7,75% 165700 26,7 6 206 32,14% 165700 26,7 6 206 32,14%
Hebi Healthcare 480 0,12 4 000 0,09% 912 0,12 7 600 0,18% 912 0,12 7 600 0,18% 912 0,12 7 600 0,18%
Investor B 73200 122 600 14,27% 139080 122 1 140 27,46% 139080 122 1 140 26,97% 139080 122 1 140 26,97%
Lundbergs 65200 326 200 12,71% 123880 326 380 24,46% 6520 326 20 1,26% 6520 326 20 1,26%
Ratos B 70400 176 400 13,73% 133760 176 760 26,41% 133760 176 760 25,94% 133760 176 760 25,94%
512930 506516 515607 515607
Appendix D
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
AstraZeneca SDB 49111 366,5 134 9,67% 93458 366,5 255 18,95% 93458 366,5 255 18,63% 93458 366,5 255 18,63%
Ericsson B 42720 26,7 1 600 8,41% 4272 26,7 160 0,87% 81168 26,7 3 040 16,18% 81168 26,7 3 040 16,18%
Framfab 8820 1,05 8 400 1,74% 882 1,05 840 0,18% 16758 1,05 15 960 3,34% 16758 1,05 15 960 3,34%
Svenska Handelsbanken A 206642 186,5 1 108 40,68% 120852 186,5 648 24,51% 29281 186,5 157 5,84% 20702 186,5 111 4,13%
Hennes & Mauritz B 100800 252 400 19,85% 191520 252 760 38,84% 191520 252 760 38,18% 191520 252 760 38,17%
Metro A 374 12,45 30 0,07% 37 12,45 3 0,01% 37 12,45 3 0,01% 37 12,45 3 0,01%
Metro B 886 12,65 70 0,17% 89 12,65 7 0,02% 89 12,65 7 0,02% 89 12,65 7 0,02%
MTG B 30900 309 100 6,08% 58710 309 190 11,91% 58710 309 190 11,70% 58710 309 190 11,70%
OM HEX 58500 97,5 600 11,52% 5850 97,5 60 1,19% 13163 97,5 135 2,62% 21840 97,5 224 4,35%
Swedish Match 9175 91,75 100 1,81% 17433 91,75 190 3,54% 17433 91,75 190 3,48% 17433 91,75 190 3,47% Initial portfolio 28 2005-11-11
507928 493103 501617 501715
Portfolio 29
2005-05-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Biacore 45900 153 300 10,30% 29223 153 191 6,56% 52479 153 343 11,78% 87210 153 570 19,58%
Eniro 40500 81 500 9,09% 4050 81 50 0,91% 8424 81 104 1,89% 76950 81 950 17,27%
Ericsson B 17360 21,7 800 3,90% 1736 21,7 80 0,39% 1736 21,7 80 0,39% 1736 21,7 80 0,39%
Getinge 42200 105,5 400 9,47% 80180 105,5 760 18,00% 80180 105,5 760 17,99% 80180 105,5 760 18,00%
Hennes & Mauritz B 50100 250,5 200 11,25% 95190 250,5 380 21,37% 95190 250,5 380 21,36% 11523 250,5 46 2,59%
Holmen B 19450 194,5 100 4,37% 31704 194,5 163 7,12% 1945 194,5 10 0,44% 1945 194,5 10 0,44%
Modul1 890 0,89 1 000 0,20% 89 0,89 100 0,02% 89 0,89 100 0,02% 89 0,89 100 0,02%
MTG B 43900 219,5 200 9,85% 28316 219,5 129 6,36% 83410 219,5 380 18,72% 83410 219,5 380 18,72%
Nordea 33500 67 500 7,52% 63650 67 950 14,29% 3350 67 50 0,75% 3350 67 50 0,75%
Precise Biometrics 45000 7,5 6 000 10,10% 45683 7,5 6 091 10,26% 85500 7,5 11 400 19,19% 85500 7,5 11 400 19,19% Initial portfolio 29 2005-05-11
Resco 1620 3,24 500 0,36% 162 3,24 50 0,04% 162 3,24 50 0,04% 3078 3,24 950 0,69%
Securitas 48200 120,5 400 10,82% 7351 120,5 61 1,65% 4820 120,5 40 1,08% 4820 120,5 40 1,08%
SSAB B 29070 161,5 180 6,53% 55233 161,5 342 12,40% 25517 161,5 158 5,73% 2907 161,5 18 0,65%
Telelogic 27800 13,9 2 000 6,24% 2780 13,9 200 0,62% 2780 13,9 200 0,62% 2780 13,9 200 0,62%
445490 445347 445582 445478
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Biacore 54900 183 300 10,75% 34953 183 191 6,87% 62769 183 343 12,62% 104310 183 570 20,86%
Eniro 44500 89 500 8,71% 4450 89 50 0,87% 9256 89 104 1,86% 84550 89 950 16,91%
Ericsson B 21360 26,7 800 4,18% 2136 26,7 80 0,42% 2136 26,7 80 0,43% 2136 26,7 80 0,43%
Getinge 42000 105 400 8,22% 79800 105 760 15,69% 79800 105 760 16,05% 79800 105 760 15,96%
Hennes & Mauritz B 50400 252 200 9,87% 95760 252 380 18,82% 95760 252 380 19,26% 11592 252 46 2,32%
Holmen B 24700 247 100 4,84% 40261 247 163 7,91% 2470 247 10 0,50% 2470 247 10 0,49%
Modul1 830 0,83 1 000 0,16% 83 0,83 100 0,02% 83 0,83 100 0,02% 83 0,83 100 0,02%
MTG B 61800 309 200 12,10% 39861 309 129 7,84% 117420 309 380 23,62% 117420 309 380 23,48%
Nordea 41125 82,25 500 8,05% 78138 82,25 950 15,36% 4113 82,25 50 0,83% 4113 82,25 50 0,82%
Precise Biometrics 40800 6,8 6 000 7,99% 41419 6,8 6 091 8,14% 77520 6,8 11 400 15,59% 77520 6,8 11 400 15,50% Initial portfolio 29 2005-11-11
Resco 1760 3,52 500 0,34% 176 3,52 50 0,03% 176 3,52 50 0,04% 3344 3,52 950 0,67%
Securitas 48400 121 400 9,47% 7381 121 61 1,45% 4840 121 40 0,97% 4840 121 40 0,97%
SSAB B 42480 236 180 8,32% 80712 236 342 15,87% 37288 236 158 7,50% 4248 236 18 0,85%
Telelogic 35800 17,9 2 000 7,01% 3580 17,9 200 0,70% 3580 17,9 200 0,72% 3580 17,9 200 0,72%
510855 508710 497211 500006
Portfolio 30
2005-05-11
Appendix D
Initial Portfolio Same Return Same Risk Standard Optimisation
2005-11-11
Initial Portfolio Same Return Same Risk Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Industrivärden C 75000 187,5 400 14,19% 7500 187,5 40 1,42% 7500 187,5 40 1,43% 7500 187,5 40 1,54%
NCC B 14150 141,5 100 2,68% 26885 141,5 190 5,10% 26885 141,5 190 5,13% 26885 141,5 190 5,54%
Nokia 56200 140,5 400 10,63% 59291 140,5 422 11,25% 68986 140,5 491 13,16% 94276 140,5 671 19,42%
Ratos B 70400 176 400 13,32% 118448 176 673 22,48% 101728 176 578 19,41% 7040 176 40 1,45%
Securitas 24200 121 200 4,58% 45980 121 380 8,72% 36905 121 305 7,04% 2420 121 20 0,50%
Skanska B 12000 120 100 2,27% 3240 120 27 0,61% 1200 120 10 0,23% 1200 120 10 0,25%
SSAB B 47200 236 200 8,93% 89680 236 380 17,02% 89680 236 380 17,11% 4720 236 20 0,97%
Tieto Enator 52400 262 200 9,91% 16506 262 63 3,13% 8646 262 33 1,65% 5240 262 20 1,08%
Wallenstam 177000 88,5 2 000 33,49% 159477 88,5 1 802 30,26% 182664 88,5 2 064 34,85% 336300 88,5 3 800 69,26%
528550 527007 524194 485581 Initial portfolio 30 2005-11-11
Portfolio 31
2005-05-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Carnegie & Co 43200 72 600 9,96% 4320 72 60 1,00% 4320 72 60 1,00% 4320 72 60 1,00%
Ericsson B 21700 21,7 1 000 5,00% 2170 21,7 100 0,50% 2170 21,7 100 0,50% 2170 21,7 100 0,50%
Hennes & Mauritz B 125250 250,5 500 28,89% 171843 250,5 686 39,62% 237975 250,5 950 54,88% 237975 250,5 950 54,90%
Industrivärden A 61600 154 400 14,21% 42966 154 279 9,91% 6160 154 40 1,42% 6160 154 40 1,42%
Investor B 28425 94,75 300 6,56% 10138 94,75 107 2,34% 54008 94,75 570 12,46% 54008 94,75 570 12,46%
Ratos B 45150 150,5 300 10,41% 85785 150,5 570 19,78% 39431 150,5 262 9,09% 57491 150,5 382 13,26%
Scania A 513 256,5 2 0,12% 1026 256,5 4 0,24% -------------------------------------------------------------------------------------------------------------------------------------
Scania B 26000 260 100 6,00% 49400 260 190 11,39% 2600 260 10 0,60% 2600 260 10 0,60%
Skanska B 43750 87,5 500 10,09% 60113 87,5 687 13,86% 83125 87,5 950 19,17% 64925 87,5 742 14,98%
TeliaSonera 38000 38 1 000 8,76% 5928 38 156 1,37% 3800 38 100 0,88% 3800 38 100 0,88% Initial portfolio 31 2005-05-11
433588 433689 433589 433449
2005-11-11
Initial Portfolio Same Return (Higher since below) Same Risk (Lower since above) Standard Optimisation
Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight Position Value Price Shares Weight
Carnegie & Co 63300 105,5 600 12,26% 6330 105,5 60 1,28% 6330 105,5 60 1,28% 6330 105,5 60 1,29%
Ericsson B 26700 26,7 1 000 5,17% 2670 26,7 100 0,54% 2670 26,7 100 0,54% 2670 26,7 100 0,55%
Hennes & Mauritz B 126000 252 500 24,41% 172872 252 686 34,91% 239400 252 950 48,55% 239400 252 950 48,93%
Industrivärden A 81400 203,5 400 15,77% 56777 203,5 279 11,46% 8140 203,5 40 1,65% 8140 203,5 40 1,66%
Investor B 36600 122 300 7,09% 13054 122 107 2,64% 69540 122 570 14,10% 69540 122 570 14,21%
Ratos B 52800 176 300 10,23% 100320 176 570 20,26% 46112 176 262 9,35% 67232 176 382 13,74%
Scania A 559 279,5 2 0,11% 1118 279,5 4 0,23% -------------------------------------------------------------------------------------------------------------------------------------
Scania B 28050 280,5 100 5,43% 53295 280,5 190 10,76% 2805 280,5 10 0,57% 2805 280,5 10 0,57%
Skanska B 60000 120 500 11,62% 82440 120 687 16,65% 114000 120 950 23,12% 89040 120 742 18,20%
TeliaSonera 40800 40,8 1 000 7,90% 6365 40,8 156 1,29% 4080 40,8 100 0,83% 4080 40,8 100 0,83% Initial portfolio 31 2005-11-11
516209 495241 493077 489237
Portfolio 1
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 526800 0
Same Return 514837 -11963
Same Risk 525750 -1050
Standard Optimisation 531615 4815
Portfolio 1 2005-05-11 Non-optimised Efficient Frontier Portfolio 1 2005-05-11 Standard-optimised Efficient Frontier Portfolio 1 2005-11-11 Non-optimised Efficient Frontier
Portfolio 2
Value Difference
2005-05-11
Initial Portfolio 412313 0
Same Return 412402 89
Same Risk 412299 -14
Standard Optimisation 412400 87
2005-11-11
Initial Portfolio 517775 0
Same Return 500611 -17164
Same Risk 511387 -6388
Standard Optimisation 516651 -1124
Portfolio 2 2005-05-11 Non-optimised Efficient Frontier Portfolio 2 2005-05-11 Standard-optimised Efficient Frontier Portfolio 2 2005-11-11 Non-optimised Efficient Frontier
Portfolio 3
Value Difference
2005-05-11
Initial Portfolio 533457 0
Same Return (Higher since below) 533431 -26
Same Risk 533511 54
Standard Optimisation 533396 -61
2005-11-11
Initial Portfolio 513070 0
Same Return (Higher since below) 563028 49958
Same Risk 625092 112022
Standard Optimisation 638173 125103
Portfolio 3 2005-05-11 Non-optimised Efficient Frontier Portfolio 3 2005-05-11 Standard-optimised Efficient Frontier Portfolio 3 2005-11-11 Non-optimised Efficient Frontier
Portfolio 4
Value Difference
2005-05-11
Initial Portfolio 493941 0
Same Return (Higher since below) 494037 96
Same Risk (Lower since above) 494189 248
Standard Optimisation 494072 131
2005-11-11
Initial Portfolio 518297 0
Same Return (Higher since below) 553556 35259
Same Risk (Lower since above) 544776 26479
Standard Optimisation 543756 25459
Portfolio 4 2005-05-11 Non-optimised Efficient Frontier Portfolio 4 2005-05-11 Standard-optimised Efficient Frontier Portfolio 4 2005-11-11 Non-optimised Efficient Frontier
Portfolio 5
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 519360 0
Same Return (Higher since below) 528187 8827
Same Risk 530382 11022
Standard Optimisation 536265 16905
Portfolio 5 2005-05-11 Non-optimised Efficient Frontier Portfolio 5 2005-05-11 Standard-optimised Efficient Frontier Portfolio 5 2005-11-11 Non-optimised Efficient Frontier
Portfolio 6
Value Difference
2005-05-11
Initial Portfolio 532448 0
Same Return (Higher since below) 532545 97
Same Risk (Same as the Same Return Portfolio) 532545 97
Standard Optimisation 532372 -76
2005-11-11
Initial Portfolio 621740 0
Same Return (Higher since below) 637863 16123
Same Risk (Same as the Same Return Portfolio) 637863 16123
Standard Optimisation 639071 17331
Portfolio 6 2005-05-11 Non-optimised Efficient Frontier Portfolio 6 2005-05-11 Standard-optimised Efficient Frontier Portfolio 6 2005-11-11 Non-optimised Efficient Frontier
Portfolio 7
Value Difference
2005-05-11
Initial Portfolio 437882 0
Same Return (Higher since below) 437882 0
Same Risk (Lower since above) 437881 -1
Standard Optimisation (Same as the Same Risk Portfolio) 437881 -1
2005-11-11
Initial Portfolio 513224 0
Same Return (Higher since below) 490227 -22997
Same Risk (Lower since above) 500946 -12278
Standard Optimisation (Same as the Same Risk Portfolio) 500946 -12278
Portfolio 7 2005-05-11 Non-optimised Efficient Frontier Portfolio 7 2005-05-11 Standard-optimised Efficient Frontier Portfolio 7 2005-11-11 Non-optimised Efficient Frontier
Portfolio 8
Value Difference
2005-05-11
Initial Portfolio 415217 0
Same Return (Higher since below) 414977 -240
Same Risk 414897 -320
Standard Optimisation 415109 -108
2005-11-11
Initial Portfolio 517480 0
Same Return (Higher since below) 533917 16437
Same Risk 535813 18333
Standard Optimisation 535195 17715
Portfolio 8 2005-05-11 Non-optimised Efficient Frontier Portfolio 8 2005-05-11 Standard-optimised Efficient Frontier Portfolio 8 2005-11-11 Non-optimised Efficient Frontier
Portfolio 9
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 520869 0
Same Return 516768 -4101
Same Risk 512592 -8277
Standard Optimisation 512837 -8032
Portfolio 9 2005-05-11 Non-optimised Efficient Frontier Portfolio 9 2005-05-11 Standard-optimised Efficient Frontier Portfolio 9 2005-11-11 Non-optimised Efficient Frontier
Portfolio 10
Value Difference
2005-05-11
Initial Portfolio 514603 0
Same Return 514581 -22
Same Risk 514605 2
Standard Optimisation 514603 0
2005-11-11
Initial Portfolio 517677 0
Same Return 509750 -7927
Same Risk 588535 70858
Standard Optimisation 595903 78226
Portfolio 10 2005-05-11 Non-optimised Efficient Frontier Portfolio 10 2005-05-11 Standard-optimised Efficient Frontier Portfolio 10 2005-11-11 Non-optimised Efficient Frontier
Portfolio 11
Value Difference
2005-05-11
Initial Portfolio 473368 0
Same Return 473323 -45
Same Risk 473408 40
Standard Optimisation 473353 -15
2005-11-11
Initial Portfolio 524808 0
Same Return 529986 5178
Same Risk 535013 10205
Standard Optimisation 575926 51118
Portfolio 11 2005-05-11 Non-optimised Efficient Frontier Portfolio 11 2005-05-11 Standard-optimised Efficient Frontier Portfolio 11 2005-11-11 Non-optimised Efficient Frontier
Portfolio 12
Value Difference
2005-05-11
Initial Portfolio 667734 0
Same Return (Higher since below) 667729 -5
Same Risk (Lower since above) 667708 -26
Standard Optimisation (Same as the Same Risk Portfolio) 667708 -26
2005-11-11
Initial Portfolio 531165 0
Same Return (Higher since below) 566509 35344
Same Risk (Lower since above) 790840 259675
Standard Optimisation (Same as the Same Risk Portfolio) 790840 259675
Portfolio 12 2005-05-11 Non-optimised Efficient Frontier Portfolio 12 2005-05-11 Standard-optimised Efficient Frontier Portfolio 12 2005-11-11 Non-optimised Efficient Frontier
Portfolio 13
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 552000 0
Same Return (Higher since below) 581415 29415
Same Risk 566547 14547
Standard Optimisation 564255 12255
Portfolio 13 2005-05-11 Non-optimised Efficient Frontier Portfolio 13 2005-05-11 Standard-optimised Efficient Frontier Portfolio 13 2005-11-11 Non-optimised Efficient Frontier
Portfolio 14
Value Difference
2005-05-11
Initial Portfolio 440721 0
Same Return 440693 -28
Same Risk (Lower since above) 440700 -21
Standard Optimisation (Same as the Same Risk Portfolio) 440700 -21
2005-11-11
Initial Portfolio 512243 0
Same Return 487192 -25051
Same Risk (Lower since above) 501556 -10687
Standard Optimisation (Same as the Same Risk Portfolio) 501556 -10687
Portfolio 14 2005-05-11 Non-optimised Efficient Frontier Portfolio 14 2005-05-11 Standard-optimised Efficient Frontier Portfolio 14 2005-11-11 Non-optimised Efficient Frontier
Portfolio 15
Value Difference
2005-05-11
Initial Portfolio 527412 0
Same Return 527195 -217
Same Risk 527550 138
Standard Optimisation 527357 -55
2005-11-11
Initial Portfolio 508490 0
Same Return 529474 20984
Same Risk 487553 -20937
Standard Optimisation 387057 -121433
Portfolio 15 2005-05-11 Non-optimised Efficient Frontier Portfolio 15 2005-05-11 Standard-optimised Efficient Frontier Portfolio 15 2005-11-11 Non-optimised Efficient Frontier
Portfolio 16
Value Difference
2005-05-11
Initial Portfolio 534029 0
Same Return (Higher since below) 534281 252
Same Risk 534284 255
Standard Optimisation (Same as the Same Risk Portfolio) 534284 255
2005-11-11
Initial Portfolio 522337 0
Same Return (Higher since below) 512911 -9426
Same Risk 432437 -89900
Standard Optimisation (Same as the Same Risk Portfolio) 432437 -89900
Portfolio 16 2005-05-11 Non-optimised Efficient Frontier Portfolio 16 2005-05-11 Standard-optimised Efficient Frontier Portfolio 16 2005-11-11 Non-optimised Efficient Frontier
Portfolio 17
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 515603 0
Same Return 499175 -16428
Same Risk 522759 7156
Standard Optimisation 522975 7372
Portfolio 17 2005-05-11 Non-optimised Efficient Frontier Portfolio 17 2005-05-11 Standard-optimised Efficient Frontier Portfolio 17 2005-11-11 Non-optimised Efficient Frontier
Portfolio 18
Value Difference
2005-05-11
Initial Portfolio 389365 0
Same Return 389364 -1
Same Risk 389404 39
Standard Optimisation 389454 89
2005-11-11
Initial Portfolio 524485 0
Same Return 561574 37089
Same Risk 528589 4104
Standard Optimisation 561811 37326
Portfolio 18 2005-05-11 Non-optimised Efficient Frontier Portfolio 18 2005-05-11 Standard-optimised Efficient Frontier Portfolio 18 2005-11-11 Non-optimised Efficient Frontier
Portfolio 19
Value Difference
2005-05-11
Initial Portfolio 660322 0
Same Return (Higher since below) 660539 217
Same Risk (Lower since above) 660499 177
Standard Optimisation (Same as the Same Risk Portfolio) 660499 177
2005-11-11
Initial Portfolio 523244 0
Same Return (Higher since below) 677656 154412
Same Risk (Lower since above) 692358 169114
Standard Optimisation (Same as the Same Risk Portfolio) 692358 169114
Portfolio 19 2005-05-11 Non-optimised Efficient Frontier Portfolio 19 2005-05-11 Standard-optimised Efficient Frontier Portfolio 19 2005-11-11 Non-optimised Efficient Frontier
Portfolio 20
Value Difference
2005-05-11
Initial Portfolio 415932 0
Same Return 415961 29
Same Risk 415956 24
Standard Optimisation 415961 29
2005-11-11
Initial Portfolio 517187 0
Same Return 519203 2016
Same Risk 506760 -10427
Standard Optimisation 503096 -14091
Portfolio 20 2005-05-11 Non-optimised Efficient Frontier Portfolio 20 2005-05-11 Standard-optimised Efficient Frontier Portfolio 20 2005-11-11 Non-optimised Efficient Frontier
Portfolio 21
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 520072 0
Same Return (Higher since below) 664553 144481
Same Risk (Lower since above) 671198 151126
Standard Optimisation (Same as the Same Risk Portfolio) 671198 151126
Portfolio 21 2005-05-11 Non-optimised Efficient Frontier Portfolio 21 2005-05-11 Standard-optimised Efficient Frontier Portfolio 21 2005-11-11 Non-optimised Efficient Frontier
Portfolio 22
Value Difference
2005-05-11
Initial Portfolio 536104 0
Same Return 536314 210
Same Risk 535958 -146
Standard Optimisation 536100 -4
2005-11-11
Initial Portfolio 520298 0
Same Return 578965 58667
Same Risk 559571 39273
Standard Optimisation 532902 12604
Portfolio 22 2005-05-11 Non-optimised Efficient Frontier Portfolio 22 2005-05-11 Standard-optimised Efficient Frontier Portfolio 22 2005-11-11 Non-optimised Efficient Frontier
Portfolio 23
Value Difference
2005-05-11
Initial Portfolio 368496 0
Same Return (Higher since below) 368512 16
Same Risk (Lower since above) 368553 57
Standard Optimisation (Same as the Same Risk Portfolio) 368553 57
2005-11-11
Initial Portfolio 445554 0
Same Return (Higher since below) 443327 -2227
Same Risk (Lower since above) 438551 -7003
Standard Optimisation (Same as the Same Risk Portfolio) 438551 -7003
Portfolio 23 2005-05-11 Non-optimised Efficient Frontier Portfolio 23 2005-05-11 Standard-optimised Efficient Frontier Portfolio 23 2005-11-11 Non-optimised Efficient Frontier
Portfolio 24
Value Difference
2005-05-11
Initial Portfolio 540510 0
Same Return 540520 10
Same Risk 540538 28
Standard Optimisation 540493 -17
2005-11-11
Initial Portfolio 516940 0
Same Return 558971 42031
Same Risk 459441 -57499
Standard Optimisation 447448 -69492
Portfolio 24 2005-05-11 Non-optimised Efficient Frontier Portfolio 24 2005-05-11 Standard-optimised Efficient Frontier Portfolio 24 2005-11-11 Non-optimised Efficient Frontier
Portfolio 25
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 525329 0
Same Return (Higher since below) 501407 -23922
Same Risk 507182 -18147
Standard Optimisation 505687 -19642
Portfolio 25 2005-05-11 Non-optimised Efficient Frontier Portfolio 25 2005-05-11 Standard-optimised Efficient Frontier Portfolio 25 2005-11-11 Non-optimised Efficient Frontier
Portfolio 26
Value Difference
2005-05-11
Initial Portfolio 422670 0
Same Return (Higher since below) 422672 2
Same Risk (Lower since above) 422663 -7
Standard Optimisation (Same as the Same Risk Portfolio) 422663 -7
2005-11-11
Initial Portfolio 512930 0
Same Return (Higher since below) 506516 -6414
Same Risk (Lower since above) 515607 2677
Standard Optimisation (Same as the Same Risk Portfolio) 515607 2677
Portfolio 26 2005-05-11 Non-optimised Efficient Frontier Portfolio 26 2005-05-11 Standard-optimised Efficient Frontier Portfolio 26 2005-11-11 Non-optimised Efficient Frontier
Portfolio 27
Value Difference
2005-05-11
Initial Portfolio 526526 0
Same Return 526608 82
Same Risk 526322 -204
Standard Optimisation 526385 -141
2005-11-11
Initial Portfolio 519433 0
Same Return 413751 -105682
Same Risk 426868 -92565
Standard Optimisation 430846 -88587
Portfolio 27 2005-05-11 Non-optimised Efficient Frontier Portfolio 27 2005-05-11 Standard-optimised Efficient Frontier Portfolio 27 2005-11-11 Non-optimised Efficient Frontier
Portfolio 28
Value Difference
2005-05-11
Initial Portfolio 439813 0
Same Return (Higher since below) 439956 143
Same Risk 439983 170
Standard Optimisation 439966 153
2005-11-11
Initial Portfolio 507928 0
Same Return (Higher since below) 493103 -14825
Same Risk 501617 -6311
Standard Optimisation 501715 -6213
Portfolio 28 2005-05-11 Non-optimised Efficient Frontier Portfolio 28 2005-05-11 Standard-optimised Efficient Frontier Portfolio 28 2005-11-11 Non-optimised Efficient Frontier
Portfolio 29
Value Difference
Appendix E
2005-05-11
2005-11-11
Initial Portfolio 510855 0
Same Return 508710 -2145
Same Risk 497211 -13644
Standard Optimisation 500006 -10849
Portfolio 29 2005-05-11 Non-optimised Efficient Frontier Portfolio 29 2005-05-11 Standard-optimised Efficient Frontier Portfolio 29 2005-11-11 Non-optimised Efficient Frontier
Portfolio 30
Value Difference
2005-05-11
Initial Portfolio 462050 0
Same Return 461882 -168
Same Risk 462167 117
Standard Optimisation 462081 31
2005-11-11
Initial Portfolio 528550 0
Same Return 527007 -1543
Same Risk 524194 -4356
Standard Optimisation 485581 -42969
Portfolio 30 2005-05-11 Non-optimised Efficient Frontier Portfolio 30 2005-05-11 Standard-optimised Efficient Frontier Portfolio 30 2005-11-11 Non-optimised Efficient Frontier
Portfolio 31
Value Difference
2005-05-11
Initial Portfolio 433588 0
Same Return (Higher since below) 433689 101
Same Risk (Lower since above) 433589 1
Standard Optimisation 433449 -139
2005-11-11
Initial Portfolio 516209 0
Same Return (Higher since below) 495241 -20968
Same Risk (Lower since above) 493077 -23132
Standard Optimisation 489237 -26972
Portfolio 31 2005-05-11 Non-optimised Efficient Frontier Portfolio 31 2005-05-11 Standard-optimised Efficient Frontier Portfolio 31 2005-11-11 Non-optimised Efficient Frontier