busn233ch11.xlsx
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Roger G. Ibbotson & Rex Sinquefield Because Beg = 1Year Invested 1925 End^(1/Periods)-1Year Withdrawn 2008Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
Mean Investment Category Geometric Mean16.40% Small Company Stocks $1.00 $9,548.94 11.70% Large Company Stocks $1.00 $2,049.45
6.10% Long Term Gov. Bonds $1.00 $99.16 3.80% Treasury Bills $1.00 $20.51 3.10% Inflation $1.00 $11.73
Geomean formula 2Mean
Year1926 11.14%1927 37.13%1928 43.31%1929 -8.91%1930 -25.26%1931 -43.86%1932 -8.85%1933 52.88%1934 -2.34%1935 47.22%1936 32.80%1937 -35.26%1938 33.20%1939 -0.91%1940 -10.08%1941 -11.77%1942 21.07%1943 25.76%1944 19.69%1945 36.46%1946 -8.18%1947 5.24%1948 5.10%1949 18.06%1950 30.58%1951 24.55%1952 18.50%1953 -1.10%1954 52.40%1955 31.43%1956 6.63%
$ Invested in 1925
$ Withdrawn in 2008
(1+R1*1+R2*…1+Rn)^(1/n)-1
Large Company Stocks
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1957 -10.85%1958 43.34%1959 11.90%1960 0.48%1961 26.81%1962 -8.78%1963 22.69%1964 16.36%1965 12.36%1966 -10.10%1967 23.94%1968 11.00%1969 -8.47%1970 3.94%1971 14.30%1972 18.99%1973 -14.69%1974 -26.47%1975 37.23%1976 23.93%1977 -7.16%1978 6.57%1979 18.61%1980 32.50%1981 -4.92%1982 21.55%1983 22.56%1984 6.27%1985 31.73%1986 18.67%1987 5.25%1988 16.61%1989 31.69%1990 -3.10%1991 30.46%1992 7.62%1993 10.08%1994 1.32%1995 37.58%1996 22.96%1997 33.36%1998 28.58%1999 21.04%2000 -9.10%2001 -11.89%2002 -22.10%2003 28.68%2004 10.88%2005 4.91%2006 15.79%2007 5.49%
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2008 -37.00%
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Check
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Roger G. Ibbotson & Rex Sinquefield Because Beg = 1Year Invested 1925 End^(1/Periods)-1Year Withdrawn 2008Years Invested 83 Geomean formula 1
(End/Beg)^(1/Periods)-1
Mean Investment Category Geometric Mean16.40% Small Company Stocks $1.00 $9,548.94 11.67%11.70% Large Company Stocks $1.00 $2,049.45 9.62%
6.10% Long Term Gov. Bonds $1.00 $99.16 5.69%3.80% Treasury Bills $1.00 $20.51 3.71%3.10% Inflation $1.00 $11.73 3.01%
Geomean formula 2Mean
9.511%
Year1926 11.14%1927 37.13%1928 43.31%1929 -8.91%1930 -25.26%1931 -43.86%1932 -8.85%1933 52.88%1934 -2.34%1935 47.22%1936 32.80%1937 -35.26%1938 33.20%1939 -0.91%1940 -10.08%1941 -11.77%1942 21.07%1943 25.76%1944 19.69%1945 36.46%1946 -8.18%1947 5.24%1948 5.10%1949 18.06%1950 30.58%1951 24.55%1952 18.50%1953 -1.10%1954 52.40%1955 31.43%1956 6.63%
$ Invested in 1925
$ Withdrawn in 2008
(1+R1*1+R2*…1+Rn)^(1/n)-1
Large Company Stocks
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1957 -10.85%1958 43.34%1959 11.90%1960 0.48%1961 26.81%1962 -8.78%1963 22.69%1964 16.36%1965 12.36%1966 -10.10%1967 23.94%1968 11.00%1969 -8.47%1970 3.94%1971 14.30%1972 18.99%1973 -14.69%1974 -26.47%1975 37.23%1976 23.93%1977 -7.16%1978 6.57%1979 18.61%1980 32.50%1981 -4.92%1982 21.55%1983 22.56%1984 6.27%1985 31.73%1986 18.67%1987 5.25%1988 16.61%1989 31.69%1990 -3.10%1991 30.46%1992 7.62%1993 10.08%1994 1.32%1995 37.58%1996 22.96%1997 33.36%1998 28.58%1999 21.04%2000 -9.10%2001 -11.89%2002 -22.10%2003 28.68%2004 10.88%2005 4.91%2006 15.79%2007 5.49%
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2008 -37.00%
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Check9548.942049.45
99.1620.5111.73
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Expected Return and SD for 1 stock
State of economyRecession 0.45 -0.05 -0.2Normal 0.5 0.12 0.22Irrational Exuberance 0.05 0.15 0.28
R*Prob R*Prob
Add
Add Variance
SQRT 0 0 Total Risk
Prob of State
Estimated Stock A Return if State Occurs
Estimated Stock B Return if State Occurs
Individual Expected Return (Type of Average)
E(RA) E(RB)
E(RA) E(RB)
Expected Return based on Estimations both from past stock data and estimates of future economic states
Individual Standard Deviation (Measure of Volitility or Risk of
Stock)(R-E(RA))^2*Prob (R-E(RB))^2*Prob
SDA SDB
SDA SDB
Stadard Deviation (Measure of total risk) based on Estimations both from past stock data and estimates of future economic states
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Expected Return based on Estimations both from past stock data and estimates of future economic states
Stadard Deviation (Measure of total risk) based on Estimations both from past stock data and estimates of future economic states
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Expected Return and SD for 1 stock
State of economyRecession 0.45 -0.05 -0.2Normal 0.5 0.12 0.22Irrational Exuberance 0.05 0.15 0.28
R*Prob R*Prob-0.0225 -0.09
0.06 0.110.0075 0.014
Add 0.045 0.034
0.045 0.034
0.00406125 0.02464020.0028125 0.017298
0.00055125 0.0030258Add 0.007425 0.044964 Variance
SQRT 0.0861684396981 0.2120471645649 Total Risk
0.0861684396981 0.2120471645649
Prob of State
Estimated Stock A Return if State Occurs
Estimated Stock B Return if State Occurs
Individual Expected Return (Type of Average)
E(RA) E(RB)
E(RA) E(RB)
Expected Return based on Estimations both from past stock data and estimates of future economic states
Individual Standard Deviation (Measure of Volitility or Risk of
Stock)(R-E(RA))^2*Prob (R-E(RB))^2*Prob
SDA SDB
SDA SDB
Stadard Deviation (Measure of total risk) based on Estimations both from past stock data and estimates of future economic states
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Expected Return based on Estimations both from past stock data and estimates of future economic states
Stadard Deviation (Measure of total risk) based on Estimations both from past stock data and estimates of future economic states
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Expected Return and SD for portfolioStock A BInvested $10,000.00 $15,000.00 Weight
Recession 0.45 -0.05 -0.2Normal 0.5 0.12 0.22Boom 0.05 0.15 0.28
E(RP)
E(RP)
State of economy
Prob of State
Estimated Stock A Return if State Occurs
Estimated Stock B Return if State Occurs
Estimated Return for Portfolio if State Occurs = RA*WA+RB*WB
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Variance of PAdd
Standard Deviation of PSQRT
Standard Deviation of P
(RIfStaeOccurs - E(RP))^2*Prob
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Expected Return and SD for portfolioStock A BInvested $10,000.00 $15,000.00 Weight 0.4 0.6
Recession 0.45 -0.05 -0.2 -0.14Normal 0.5 0.12 0.22 0.18Boom 0.05 0.15 0.28 0.228
E(RP)-0.009 -0.054 0.03840.024 0.0660.003 0.0084
0.0384E(RP)
0.0384
0.0384
State of economy
Prob of State
Estimated Stock A Return if State Occurs
Estimated Stock B Return if State Occurs
Estimated Return for Portfolio if State Occurs = RA*WA+RB*WB
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0.0143219520.01002528
0.001797408Variance of P
0.02614464 AddStandard Deviation of P
0.161693042521934 SQRT
Standard Deviation of P0.161693042521934
0.161693042521934
(RIfStaeOccurs - E(RP))^2*Prob
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Beg (Close Day Before) 45.07End 33Change
Sep 30, 2004, Merck announced recall VIOXX, stock went from $45 to $33.
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Beg (Close Day Before) 45.07End 33Change -0.267806
Sep 30, 2004, Merck announced recall VIOXX, stock went from $45 to $33.
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BetaDate S&P 500 Adj WFMI Close Adj
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI11/12/2007 1458.74 44.411/19/2007 1440.7 39.9411/26/2007 1481.14 42.15
12/3/2007 1504.66 42.1912/10/2007 1467.95 39.7712/17/2007 1484.46 41.7312/24/2007 1478.49 40.7712/31/2007 1411.63 37.16
1/7/2008 1401.02 36.961/14/2008 1325.19 34.571/22/2008 1330.61 37.011/28/2008 1395.42 40.17
2/4/2008 1331.29 38.812/11/2008 1349.99 38.552/19/2008 1353.11 36.232/25/2008 1330.63 34.64
3/3/2008 1293.37 33.583/10/2008 1288.14 30.723/17/2008 1329.51 32.183/24/2008 1315.22 32.013/31/2008 1370.4 33.4
4/7/2008 1332.83 31.764/14/2008 1390.33 32.674/21/2008 1397.84 30.924/28/2008 1413.9 34.68
5/5/2008 1388.28 32.55/12/2008 1425.35 28.815/19/2008 1375.93 27.385/27/2008 1400.38 28.75
6/2/2008 1360.68 28.256/9/2008 1360.03 26.93
6/16/2008 1317.93 26.096/23/2008 1278.38 24.446/30/2008 1262.9 22.51
7/7/2008 1239.49 21.047/14/2008 1260.68 21.387/21/2008 1257.76 22.527/28/2008 1260.31 21.42
8/4/2008 1296.32 18.658/11/2008 1298.2 19.698/18/2008 1292.2 18.448/25/2008 1282.83 18.31
S & P Weely Returns for Lat 4 Years
WFMI Weely Returns for Lat 4 Years
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9/2/2008 1242.31 18.129/8/2008 1251.7 18.43
9/15/2008 1255.08 20.799/22/2008 1213.27 20.649/29/2008 1099.23 1810/6/2008 899.22 14.83
10/13/2008 940.55 13.9810/20/2008 876.77 10.7410/27/2008 968.75 10.72
11/3/2008 930.99 10.0511/10/2008 873.29 9.3811/17/2008 800.03 8.1911/24/2008 896.24 10.58
12/1/2008 876.07 10.612/8/2008 879.73 10.35
12/15/2008 887.88 9.9612/22/2008 872.8 8.8912/29/2008 931.8 9.89
1/5/2009 890.35 12.571/12/2009 850.12 12.161/20/2009 831.95 11.371/26/2009 825.88 10.25
2/2/2009 868.6 10.882/9/2009 826.84 9.97
2/17/2009 770.05 12.842/23/2009 735.09 12.15
3/2/2009 683.38 12.083/9/2009 756.55 14.38
3/16/2009 768.54 15.373/23/2009 815.94 17.973/30/2009 842.5 18.64
4/6/2009 856.56 18.364/13/2009 869.6 18.484/20/2009 866.23 19.744/27/2009 877.52 20.93
5/4/2009 929.23 22.175/11/2009 882.88 19.615/18/2009 887 18.95/26/2009 919.14 18.87
6/1/2009 940.09 21.166/8/2009 946.21 20.44
6/15/2009 921.23 19.276/22/2009 918.9 19.26/29/2009 896.42 17.97
7/6/2009 879.13 19.257/13/2009 940.38 21.877/20/2009 979.26 23.737/27/2009 987.48 24.19
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8/3/2009 1010.48 28.428/10/2009 1004.09 28.18/17/2009 1026.13 28.788/24/2009 1028.93 29.118/31/2009 1016.4 27.65
9/8/2009 1042.73 28.439/14/2009 1068.3 28.69/21/2009 1044.38 28.779/28/2009 1025.21 29.2110/5/2009 1071.49 31.67
10/12/2009 1087.68 33.7410/19/2009 1079.6 33.3610/26/2009 1036.19 32.06
11/2/2009 1069.3 28.2511/9/2009 1093.48 27.49
11/16/2009 1091.38 26.3611/23/2009 1091.49 25.911/30/2009 1105.98 26.2
12/7/2009 1106.41 26.6712/14/2009 1102.47 26.9912/21/2009 1126.48 28.4112/28/2009 1115.1 27.45
1/4/2010 1144.98 27.961/11/2010 1136.03 27.951/19/2010 1091.76 28.451/25/2010 1073.87 27.22
2/1/2010 1066.19 27.382/8/2010 1075.51 29.75
2/16/2010 1109.17 33.662/22/2010 1104.49 35.49
3/1/2010 1138.7 36.113/8/2010 1149.99 36.3
3/15/2010 1159.9 35.833/22/2010 1166.59 35.413/29/2010 1178.1 36.91
4/5/2010 1194.37 38.84/12/2010 1192.13 39.114/19/2010 1217.28 40.24/26/2010 1186.69 39.02
5/3/2010 1110.88 36.685/10/2010 1135.68 40.835/17/2010 1087.69 39.245/24/2010 1089.41 40.43
6/1/2010 1064.88 38.616/7/2010 1091.6 39.38
6/14/2010 1117.51 40.366/21/2010 1076.76 38.696/28/2010 1022.58 35.02
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7/6/2010 1077.96 36.667/12/2010 1064.88 37.217/19/2010 1102.66 38.777/26/2010 1101.6 37.97
8/2/2010 1121.64 36.488/9/2010 1079.25 36.42
8/16/2010 1071.69 36.728/23/2010 1064.59 35.78/30/2010 1104.51 36.66
9/7/2010 1109.55 35.479/13/2010 1125.59 37.099/20/2010 1148.67 37.079/27/2010 1146.24 37.0710/4/2010 1165.15 34.57
10/11/2010 1176.19 38.310/18/2010 1183.08 39.8910/25/2010 1183.26 39.75
11/1/2010 1225.85 45.4911/8/2010 1199.21 46.86
11/15/2010 1199.73 45.7111/22/2010 1189.4 47.01
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SlopeAmount of systematic risk
Correlation tells us the strength and direction of the line (between -1 and 1)
Together they say direction and strength of Systematic Risk for WMFI
Correllation*SDWFMI/SDM
SDWFMI/SDM = Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
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BetaDate S&P 500 Adj WFMI Close Adj
11/9/2007 1453.7 42.51 Weekly Return S & P Weekly Return WFMI11/12/2007 1458.74 44.4 0.0034670152025864 0.044460127028934411/19/2007 1440.7 39.94 -0.012366837133416 -0.1004504504504511/26/2007 1481.14 42.15 0.028069688345943 0.0553329994992489
12/3/2007 1504.66 42.19 0.0158796602616904 0.000948991696322612/10/2007 1467.95 39.77 -0.024397538314304 -0.05735956387769612/17/2007 1484.46 41.73 0.0112469770768759 0.049283379431732212/24/2007 1478.49 40.77 -0.004021664443636 -0.023005032350826612/31/2007 1411.63 37.16 -0.045221814148219 -0.0885454991415258
1/7/2008 1401.02 36.96 -0.007516133831103 -0.00538213132400421/14/2008 1325.19 34.57 -0.05412485189362 -0.06466450216450221/22/2008 1330.61 37.01 0.0040899795501022 0.07058142898466871/28/2008 1395.42 40.17 0.0487069840148504 0.0853823291002434
2/4/2008 1331.29 38.81 -0.045957489501369 -0.03385611152601442/11/2008 1349.99 38.55 0.0140465263015572 -0.00669930430301482/19/2008 1353.11 36.23 0.0023111282305794 -0.06018158236057072/25/2008 1330.63 34.64 -0.016613579088175 -0.0438862820866685
3/3/2008 1293.37 33.58 -0.028001773595966 -0.03060046189376453/10/2008 1288.14 30.72 -0.004043699792016 -0.08516974389517573/17/2008 1329.51 32.18 0.0321160743397455 0.04752604166666673/24/2008 1315.22 32.01 -0.010748320809922 -0.00528278433809833/31/2008 1370.4 33.4 0.0419549581058682 0.0434239300218682
4/7/2008 1332.83 31.76 -0.027415353181553 -0.04910179640718564/14/2008 1390.33 32.67 0.0431412858354028 0.02865239294710324/21/2008 1397.84 30.92 0.0054015953047117 -0.05356596265687174/28/2008 1413.9 34.68 0.0114891546958165 0.121604139715394
5/5/2008 1388.28 32.5 -0.018120093358795 -0.06286043829296435/12/2008 1425.35 28.81 0.0267021062033594 -0.1135384615384625/19/2008 1375.93 27.38 -0.034672185778931 -0.04963554321416185/27/2008 1400.38 28.75 0.017769799335722 0.0500365230094961
6/2/2008 1360.68 28.25 -0.02834944800697 -0.01739130434782616/9/2008 1360.03 26.93 -0.000477702325308 -0.0467256637168142
6/16/2008 1317.93 26.09 -0.030955199517658 -0.03119197920534726/23/2008 1278.38 24.44 -0.030009181064245 -0.06324262169413566/30/2008 1262.9 22.51 -0.012109075548741 -0.0789689034369885
7/7/2008 1239.49 21.04 -0.018536701243171 -0.0653043091959137/14/2008 1260.68 21.38 0.0170957409902461 0.01615969581749067/21/2008 1257.76 22.52 -0.002316210299204 0.05332086061739947/28/2008 1260.31 21.42 0.0020274138150362 -0.0488454706927175
8/4/2008 1296.32 18.65 0.0285723353778038 -0.1293183940242768/11/2008 1298.2 19.69 0.0014502591952605 0.05576407506702438/18/2008 1292.2 18.44 -0.004621784008627 -0.06348400203148818/25/2008 1282.83 18.31 -0.007251199504721 -0.0070498915401302
S & P Weely Returns for Lat 4 Years
WFMI Weely Returns for Lat 4 Years
0 2 4 6 8 10 120
2
4
6
8
10
12
f(x) = NaN x + NaNR² = 0 Beta For WFMI
S & P Weely Returns for Lat 4 Years
WFM
I Wee
ly R
etur
ns fo
r Lat
4 Y
ears
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9/2/2008 1242.31 18.12 -0.031586414411886 -0.01037684325505179/8/2008 1251.7 18.43 0.0075584998913316 0.0171081677704195
9/15/2008 1255.08 20.79 0.0027003275545257 0.128052088985359/22/2008 1213.27 20.64 -0.033312617522389 -0.00721500721500719/29/2008 1099.23 18 -0.093993917264912 -0.12790697674418610/6/2008 899.22 14.83 -0.181954640975956 -0.176111111111111
10/13/2008 940.55 13.98 0.0459620560040923 -0.057316250842886110/20/2008 876.77 10.74 -0.067811386954442 -0.23175965665236110/27/2008 968.75 10.72 0.104907786534667 -0.0018621973929236
11/3/2008 930.99 10.05 -0.038978064516129 -0.062511/10/2008 873.29 9.38 -0.061977035199089 -0.066666666666666711/17/2008 800.03 8.19 -0.083889658647185 -0.12686567164179111/24/2008 896.24 10.58 0.120257990325363 0.291819291819292
12/1/2008 876.07 10.6 -0.02250513255378 0.00189035916824212/8/2008 879.73 10.35 0.004177748353442 -0.0235849056603774
12/15/2008 887.88 9.96 0.009264206063224 -0.037681159420289712/22/2008 872.8 8.89 -0.016984277154571 -0.10742971887550212/29/2008 931.8 9.89 0.0675985334555453 0.112485939257593
1/5/2009 890.35 12.57 -0.044483794805752 0.270980788675431/12/2009 850.12 12.16 -0.045184478014264 -0.03261734287987271/20/2009 831.95 11.37 -0.021373453159554 -0.0649671052631581/26/2009 825.88 10.25 -0.007296111545165 -0.0985048372911169
2/2/2009 868.6 10.88 0.0517266430958494 0.06146341463414642/9/2009 826.84 9.97 -0.048077365876122 -0.0836397058823529
2/17/2009 770.05 12.84 -0.068683179333366 0.2878635907723172/23/2009 735.09 12.15 -0.045399649373417 -0.0537383177570093
3/2/2009 683.38 12.08 -0.070345127807479 -0.0057613168724283/9/2009 756.55 14.38 0.10707073663262 0.190397350993378
3/16/2009 768.54 15.37 0.0158482585420661 0.06884561891515983/23/2009 815.94 17.97 0.0616753844952769 0.1691607026675343/30/2009 842.5 18.64 0.0325514130941 0.0372843628269339
4/6/2009 856.56 18.36 0.0166884272997032 -0.01502145922746794/13/2009 869.6 18.48 0.0152236854394323 0.00653594771241834/20/2009 866.23 19.74 -0.003875344986201 0.06818181818181814/27/2009 877.52 20.93 0.0130334899507059 0.0602836879432624
5/4/2009 929.23 22.17 0.058927431853405 0.05924510272336365/11/2009 882.88 19.61 -0.049880008178815 -0.1154713576905735/18/2009 887 18.9 0.0046665458499457 -0.03620601733809285/26/2009 919.14 18.87 0.0362344983089065 -0.0015873015873015
6/1/2009 940.09 21.16 0.0227930456731293 0.1213566507684156/8/2009 946.21 20.44 0.006510014998564 -0.0340264650283554
6/15/2009 921.23 19.27 -0.026400059183479 -0.05724070450097856/22/2009 918.9 19.2 -0.002529227228814 -0.00363258951738456/29/2009 896.42 17.97 -0.024464033083034 -0.0640625
7/6/2009 879.13 19.25 -0.019287833827893 0.07122982749026167/13/2009 940.38 21.87 0.0696711521617963 0.1361038961038967/20/2009 979.26 23.73 0.0413449881962611 0.08504801097393697/27/2009 987.48 24.19 0.0083940934991729 0.0193847450484619
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8/3/2009 1010.48 28.42 0.0232916109693362 0.1748656469615548/10/2009 1004.09 28.1 -0.006323727337503 -0.01125967628430688/17/2009 1026.13 28.78 0.0219502235855353 0.02419928825622768/24/2009 1028.93 29.11 0.0027286990927076 0.01146629603891588/31/2009 1016.4 27.65 -0.012177699163208 -0.0501545860529028
9/8/2009 1042.73 28.43 0.02590515545061 0.02820976491862579/14/2009 1068.3 28.6 0.0245221677711391 0.0059795990151259/21/2009 1044.38 28.77 -0.022390714218852 0.00594405594405589/28/2009 1025.21 29.21 -0.018355387885636 0.015293708724365610/5/2009 1071.49 31.67 0.0451419709132763 0.0842177336528587
10/12/2009 1087.68 33.74 0.0151098003714454 0.065361540890432710/19/2009 1079.6 33.36 -0.007428655486908 -0.011262596324837110/26/2009 1036.19 32.06 -0.040209336791404 -0.0389688249400478
11/2/2009 1069.3 28.25 0.0319535992433819 -0.11883967560823511/9/2009 1093.48 27.49 0.0226129243430282 -0.0269026548672567
11/16/2009 1091.38 26.36 -0.001920474082745 -0.041105856675154511/23/2009 1091.49 25.9 0.000100789825725 -0.017450682852807311/30/2009 1105.98 26.2 0.0132754308330814 0.0115830115830116
12/7/2009 1106.41 26.67 0.0003887954574224 0.017938931297710112/14/2009 1102.47 26.99 -0.003561066873944 0.011998500187476512/21/2009 1126.48 28.41 0.0217783703864958 0.052612078547610312/28/2009 1115.1 27.45 -0.010102265464101 -0.0337909186906019
1/4/2010 1144.98 27.96 0.0267958030669897 0.01857923497267771/11/2010 1136.03 27.95 -0.007816730423239 -0.00035765379113031/19/2010 1091.76 28.45 -0.038969041310529 0.01788908765652941/25/2010 1073.87 27.22 -0.016386385286144 -0.0432337434094904
2/1/2010 1066.19 27.38 -0.00715170365128 0.0058780308596622/8/2010 1075.51 29.75 0.0087414063159474 0.0865595325054784
2/16/2010 1109.17 33.66 0.0312967801322164 0.1314285714285712/22/2010 1104.49 35.49 -0.004219371241559 0.054367201426025
3/1/2010 1138.7 36.11 0.0309735715126438 0.01746970977740193/8/2010 1149.99 36.3 0.0099148151400721 0.0052617003600111
3/15/2010 1159.9 35.83 0.008617466238837 -0.01294765840220383/22/2010 1166.59 35.41 0.0057677385981549 -0.0117220206530843/29/2010 1178.1 36.91 0.0098663626466882 0.042360914995764
4/5/2010 1194.37 38.8 0.0138103726339021 0.05120563532917924/12/2010 1192.13 39.11 -0.001875465726701 0.00798969072164954/19/2010 1217.28 40.2 0.0210966924748139 0.02787010994630554/26/2010 1186.69 39.02 -0.025129797581493 -0.0293532338308458
5/3/2010 1110.88 36.68 -0.063883575322957 -0.05996924654023585/10/2010 1135.68 40.83 0.0223246435258533 0.1131406761177755/17/2010 1087.69 39.24 -0.042256621583545 -0.03894195444526075/24/2010 1089.41 40.43 0.0015813329165479 0.0303261977573903
6/1/2010 1064.88 38.61 -0.022516775135165 -0.0450160771704186/7/2010 1091.6 39.38 0.0250920291488241 0.0199430199430199
6/14/2010 1117.51 40.36 0.0237358006595823 0.02488572879634336/21/2010 1076.76 38.69 -0.03646499807608 -0.04137760158572856/28/2010 1022.58 35.02 -0.050317619525242 -0.0948565520806408
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7/6/2010 1077.96 36.66 0.0541571319603356 0.04683038263849227/12/2010 1064.88 37.21 -0.012134030947345 0.01500272776868537/19/2010 1102.66 38.77 0.0354781759447074 0.0419242139209897/26/2010 1101.6 37.97 -0.000961311737072 -0.0206345112200156
8/2/2010 1121.64 36.48 0.0181917211328977 -0.03924150645246258/9/2010 1079.25 36.42 -0.037792874719161 -0.0016447368421051
8/16/2010 1071.69 36.72 -0.007004864489229 0.00823723228995048/23/2010 1064.59 35.7 -0.006625050154429 -0.02777777777777778/30/2010 1104.51 36.66 0.0374980039263944 0.0268907563025209
9/7/2010 1109.55 35.47 0.0045631094331422 -0.03246044735406439/13/2010 1125.59 37.09 0.0144563111171194 0.04567239921060079/20/2010 1148.67 37.07 0.0205048019261012 -0.00053922890266929/27/2010 1146.24 37.07 -0.002115490088537 010/4/2010 1165.15 34.57 0.0164974176437744 -0.0674399784192069
10/11/2010 1176.19 38.3 0.0094751748701885 0.10789702053803910/18/2010 1183.08 39.89 0.0058578971084602 0.041514360313316110/25/2010 1183.26 39.75 0.0001521452479969 -0.0035096515417398
11/1/2010 1225.85 45.49 0.0359937798962189 0.1444025157232711/8/2010 1199.21 46.86 -0.021731859526043 0.0301165091228841
11/15/2010 1199.73 45.71 0.0004336187990426 -0.024541186513017511/22/2010 1189.4 47.01 -0.008610270644228 0.0284401662655873
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Slope1.10612183760378 Amount of systematic risk
1.10612183760378
Correlation tells us the strength and direction of the line (between -1 and 1)
Together they say direction and strength of Systematic Risk for WMFI
Correllation*SDWFMI/SDM
SDWFMI/SDM = Amount of Standard Deviation of WFMI per 1 unit of Market Standard Deviation
0 2 4 6 8 10 120
2
4
6
8
10
12
f(x) = NaN x + NaNR² = 0 Beta For WFMI
S & P Weely Returns for Lat 4 Years
WFM
I Wee
ly R
etur
ns fo
r Lat
4 Y
ears
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Beta For Porfolio
Stock Amount Invetsed Expected Return BetaW $2,000.00 8.00% 0.80X $4,000.00 12.00% 0.95Y $4,000.00 15.00% 1.10Z $6,000.00 18.00% 1.40
$16,000.00 Total
Portfolio Beta
Weights = Invested/(Total Invested)
Expected ReturnE(R)*W
BetaB*W
Expected Return for P
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Beta For Porfolio
Stock Amount Invetsed Expected Return BetaW $2,000.00 8.00% 0.80 0.125 1.00% 0.1X $4,000.00 12.00% 0.95 0.25 3.00% 0.2375Y $4,000.00 15.00% 1.10 0.25 3.75% 0.275Z $6,000.00 18.00% 1.40 0.375 6.75% 0.525
$16,000.00 Total 14.50% 1.1375
14.50%
Portfolio Beta 1.138
Weights = Invested/(Total Invested)
Expected ReturnE(R)*W
BetaB*W
Expected Return for P
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Risk Reward RatioRf 2.00%Market Risk Premium = E(RM) - Rf 9.00%
Goal: Are stocks priced correctly?Stock ABeta 1.2E(RA) 12.50%
Reward To Risk Ratio => (E(RA) - Rf)/BAStock BBeta 0.6E(RB) 9.00%
Reward To Risk Ratio => (E(RB) - Rf)/BB
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Risk Reward RatioRf 2.00%Market Risk Premium = E(RM) - Rf 9.00%
Goal: Are stocks priced correctly?Stock ABeta 1.2E(RA) 12.50%
Reward To Risk Ratio => (E(RA) - Rf)/BA 8.75%Stock BBeta 0.6E(RB) 9.00%
Reward To Risk Ratio => (E(RB) - Rf)/BB 11.67%
Stock A is offering a 8.75% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.09, we can see that A is not offering a rate high enough. In a competitive market the price of this stock will be bid down. In theory, this stock will bid down until the return is equal to the return
offered in the market.
Stock B is offering a 11.67% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.09, we can see that B is offering a higher rate.
In a competitive market the price of this stock should be bid up. In theory, this stock should be bid up until the return is equal to the return
offered in the market.
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Stock A is offering a 8.75% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.09, we can see that A is not offering a rate high enough. In a competitive market the price of this stock will be bid down. In theory, this stock will bid down until the return is equal to the return
offered in the market.
Stock B is offering a 11.67% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.09, we can see that B is offering a higher rate.
In a competitive market the price of this stock should be bid up. In theory, this stock should be bid up until the return is equal to the return
offered in the market.
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CAPMRf 2.00%Market Risk Premium = E(RM) - Rf 9.00%
Goal: Are stocks priced correctly?Stock ABeta 1.2E(RA) 12.50%
CAPM => E(RA) = Rf + (E(RM)-Rf)*BAStock BBeta 0.6E(RB) 9.00%
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB
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2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%1 Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.The given rate of 9.00% is too high (above the SML) and therefore is priced too low - High Rate / Low Price.
There is more reward than the model suggests there should be at the given risk level. If we believed our model, we would buy.
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
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Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.The given rate of 9.00% is too high (above the SML) and therefore is priced too low - High Rate / Low Price.
There is more reward than the model suggests there should be at the given risk level. If we believed our model, we would buy.
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
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CAPMRf 2.00%
Market Risk Premium = E(RM) - Rf 9.00%Goal: Are stocks priced correctly?
Stock ABeta 1.2E(RA) 12.50%
CAPM => E(RA) = Rf + (E(RM)-Rf)*BA 12.80%Stock BBeta 0.6E(RB) 9.00%
CAPM => E(RB) = Rf + (E(RM)-Rf)*BB 7.40%
Beta E(RM) X Line Up Y Line Up X Line Over0 2.00% 1 0 0
0.1 2.90% 1 2.00% 0.10.2 3.80% 1 2.90% 0.20.3 4.70% 1 3.80% 0.30.4 5.60% 1 4.70% 0.40.5 6.50% 1 5.60% 0.50.6 7.40% 1 6.50% 0.60.7 8.30% 1 7.40% 0.70.8 9.20% 1 8.30% 0.80.9 10.10% 1 9.20% 0.9
1 11.00% 1 10.10% 11.1 11.90% 1 11.00%1.2 12.80%1.3 13.70%1.4 14.60%1.5 15.50%1.6 16.40%1.7 17.30%1.8 18.20%1.9 19.10%
2 20.00%2.1 20.90%2.2 21.80%2.3 22.70%
Expected Return using CAPM is higher than the Expected Return given. The Expected Return calculated using CAMP prices the risk (systematic risk) at 12.80%. This means that the given rate of 12.50% is below the
SML, which means the stock is over valued - Low Rate / High Price. There is not enough reward for the given risk level. Not buying.
Expected Return using CAPM is lower than the Expected Return given. The Expected Return calculated using CAPM prices the risk (systematic risk) at 7.40%.The given rate of 9.00% is too high (above the SML) and
therefore is priced too low - High Rate / Low Price. There is more reward than the model suggests there should be at the given risk level. If we
believed our model, we would buy.
0 0.5 1 1.5 2 2.5 3 3.50.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
1; Undervalued; 9.00%
1; Overvalued; 12.50%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.
Asset Beta BA
Asse
t Exp
ecte
d Re
turn
E(R
A)
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
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2.4 23.60%2.5 24.50%2.6 25.40%2.7 26.30%2.8 27.20%2.9 28.10%
3 29.00%
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2 Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%1 Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.The given rate of 9.00% is too high (above the SML) and therefore is priced too low - High Rate / Low Price.
There is more reward than the model suggests there should be at the given risk level. If we believed our model, we would buy.
Y Line OverX Line Up Y Line Up X Line OverY Line OverBelow X Below Y Above X Above Y11.00% 2 0 0 20.00% 1.2 12.50% 0.6 9.00%11.00% 2 2.00% 0.1 20.00%11.00% 2 2.90% 0.2 20.00%11.00% 2 3.80% 0.3 20.00%11.00% 2 4.70% 0.4 20.00%11.00% 2 5.60% 0.5 20.00%11.00% 2 6.50% 0.6 20.00%11.00% 2 7.40% 0.7 20.00%11.00% 2 8.30% 0.8 20.00%11.00% 2 9.20% 0.9 20.00%11.00% 2 10.10% 1 20.00%
2 11.00% 1.1 20.00%2 11.90% 1.2 20.00%2 12.80% 1.3 20.00%2 13.70% 1.4 20.00%2 14.60% 1.5 20.00%2 15.50% 1.6 20.00%2 16.40% 1.7 20.00%2 17.30% 1.8 20.00%2 18.20% 1.9 20.00%2 19.10% 2 20.00%2 20.00%
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
Expected Return using CAPM is higher than the Expected Return given. The Expected Return calculated using CAMP prices the risk (systematic risk) at 12.80%. This means that the given rate of 12.50% is below the
SML, which means the stock is over valued - Low Rate / High Price. There is not enough reward for the given risk level. Not buying.
Expected Return using CAPM is lower than the Expected Return given. The Expected Return calculated using CAPM prices the risk (systematic risk) at 7.40%.The given rate of 9.00% is too high (above the SML) and
therefore is priced too low - High Rate / Low Price. There is more reward than the model suggests there should be at the given risk level. If we
believed our model, we would buy.
0 0.5 1 1.5 2 2.5 3 3.50.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
1; Undervalued; 9.00%
1; Overvalued; 12.50%
SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.
Asset Beta BA
Asse
t Exp
ecte
d Re
turn
E(R
A)
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
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Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%SML Slope = (9.00% Market Risk Premium) / (1 Beta) = 'going rate', given Rf = 2.00%.The given rate of 9.00% is too high (above the SML) and therefore is priced too low - High Rate / Low Price.
There is more reward than the model suggests there should be at the given risk level. If we believed our model, we would buy.
Beta of 1, asset should earn 2.00% + 9.00%*1 = 11.00%Beta of 2, asset should earn 2.00% + 9.00%*2 = 20.00%
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Rf 2.00%
9.00%
Stock Beta CAPM Pricing (Return)A -0.5B 0.5C 1D 1.5 <<== CAPME 2
14.50% Not buy.
No.
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Market Risk Premium = E(RM) - Rf
Risk Reward Ratio = (E(RA)- Rf)/BA
Estimate of E(RD)
Market thinks Stock D should be at 0.00%. If your calculations of E(RD) shows 14.50%, would you buy?
If others came to the same conclusion, buying and selling would lead to a drop in price and a rise in return (price and return move in opposite directions).
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Not buyRisk Reward Ratio = (E(RA)- Rf)/BA
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Rf 2.00%
9.00%
Stock Beta CAPM Pricing (Return)A -0.5 -2.500%B 0.5 6.500%C 1 11.00%D 1.5 15.500% <<== CAPME 2 20.0%
14.50% Not buy.
No.
CAPM ==> E(RA) = RF + (E(RM) - Rf)*BA
Market Risk Premium = E(RM) - Rf
Estimate of E(RD)
Market thinks Stock D should be at 15.50%. If your calculations of E(RD) shows 14.50%, would you buy?
If others came to the same conclusion, buying and selling would lead to a drop in price and a rise in return (price and return move in opposite directions).
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Risk Reward Ratio0.083333 Not buy
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1
23a3b3c3d3e3f
4a
4b4c
4d
4e
8
10
SystematicUnsystematicUnclearBoth
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SystematicUnsystematicBoth. Industries like Airlines and Trucking may be affected more heavily than mots other types of companiesUnsystematicUnsystematicSystematic
This is not new unexpected system information and so it would not tend to "move the market" (cause prices to change).
Total Risk of buying an asset comes from the risk that new information will become available and change the price of the asset. Think of what happens when it is announced that that day after thanksgiving retail sales are very low (or high), or when a law suit against a company for liability is announced, or when a new innovative project is announced, or a new contact is signed (think of Boeing), or when inflation is higher than expected, or interest rates will be lowered by more than expected. Some of this new information affects just a few stocks and some affects many stocks. When the information affects just a few stocks (or just one), this is called Asset Specific Risk, and when the new information affects many stocks, this is called Systematic Risk (whole system is affected). Asset specific risk (unsystematic, diversifiable risk) is the risk that unexpected news will occur that affects the price of just a single stock, or group of stocks. When a portfolio of stocks are held, the assets specific risks will tend to wash each other out, meaning that when one stock goes up, another will go down. Examples of asset specific risks are things like a new product/technology announcement or a law suit announcement or new information about the supply or demand of a commodity. Systematic risk is the risk that unexpected news will occur that affects a large number of stocks, like government CPI or interest rate information. Since this sort of unexpected information affects most stocks, when it comes out, all the assets in the portfolio tend to move and so this risk can not be diversified away by holding many different stocks. By holding many different types of financial assets, the level of asset specific risk (unsystematic risk) tend to be eliminated with just the cost of buying the different assets, but the systematic risk is not eliminated, unless you move closer to a risk-free asset, like T-bills. Finally, asset specific risk can be controlled by diversifying the portfolio, whereas, systematic risk can be controlled by lowering the expected return (buying assets like T-bills only).
If this drop in growth from 5% to 2% is unexpected new information, security prices will tend to fall. If the drop had been anticipated and was already "priced into the stock market" or "discounted", then there would be no overall change in security prices.
It would tend to cause stocks in general and Big Widget Corp in particual to move. Probably move down because when inflation goes up unexpctedly, stuff then costs more and expenses would tend to be higher.
If the information in the report was fully anticipated, then all the info would already be "discounted" into prices and so price of stock would not move. The return would be equal to the expected return. There is no new asset specific information.
This is asset specific risk and would make the price change. This event would create uncertainly about the future direction of the firm. Uncertainty about the future is a risk that would demand more return, and when return goes up, price goes down.
This may only have a small systematic affect because if it was debated for months, people probably already have the tax change "discounted" into market prices.
No - since risky assets are defined as assets that have systematic risk, it is not possible. The expected return of an asset with a Beta of zero is the Risk Free Rate, like a T-bill rate. A negative Beta is possible because there are asset returns that move in the opposite direction of the market as a whole. Companies that do well in economic downturns like liquidation companies or pawn shops or Reposition Companies. Companies like this would earn a negative Risk Premium. E(Ri) - Rf = (a negative number). Negative because the return would be less than the Risk Free Return. In essence, you would pay the negative risk premium to get the diversification benefit of the hedge against market moves downward.
Past numbers are relevant because when estimating the unknown future, the past is usually the best info we have for making predictions. That said, if the future events are not similar to past events, then the model used may give us the wrong answer. In regards to Accounting information, for publically traded companies where stock holders are "outside the company" and managers are "inside the company", accounting information is usually the best info we can get. In fact, GAPP accounting is the mechanism that has been developed to get info from inside to the outside.
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1
2
3a
3b
3c
3d
3e
3f
4a
4b
4c
4d
4e
5
6
7
8
9
10
SystematicUnsystematicUnclearBoth
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Stock A BInvested 1500 2600
0.1 0.16Weight 0.365854 0.634146E(Ri)
E(RP)
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Stock A BInvested 1500 2600
0.1 0.16Weight 0.365854 0.634146
0.138049
E(Ri)
E(RP)
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Stock A B C0.1 0.13 0.15
Weight 0.25 0.4 0.35 1E(Ri)
E(RP)
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Stock A B C0.1 0.13 0.15
Weight 0.25 0.4 0.35 1
0.1295
E(Ri)
E(RP)
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Recession 0.2 0.01 -0.25Normal 0.55 0.09 0.15Boom 0.25 0.14 0.38
State of Economy
Prob. Og State of Economy
Stock A Return if State Occurs
Stock B Return if State Occurs
E(Ri)
SDi
E(Ri)SDi
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AddSQRT
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Recession 0.2 0.01 -0.25 0.002Normal 0.55 0.09 0.15 0.0495Boom 0.25 0.14 0.38 0.035
0.0865
0.001176.737E-060.0007160.0018930.043506
0.08650.043506
State of Economy
Prob. Og State of Economy
Stock A Return if State Occurs
Stock B Return if State Occurs
E(Ri)
SDi
E(Ri)SDi
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-0.050.0825
0.0950.1275
0.0226460.0022180.021536
0.0464 Add0.215406 SQRT
0.12750.211468
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Weight 0.3 0.4 0.3 1
Bust 0.05 -0.11 -0.25 -0.09Poor 0.35 0.01 0.02 -0.05Good 0.45 0.12 0.1 0.17Boom 0.15 0.35 0.45 0.33
State of Economy
Prob. Of State of Economy
Stock A Return if State Occurs
Stock B Return if State Occurs
Stock C Return if State Occurs
Portfolio Return if State Ocurrs
E(RP)E(RP)E(RP)E(RP)
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TotalSQRT
Portfolio Return if State Ocurrs
(Portfolio Return - E(RP))^2*Pro
SDP
SDP
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Weight 0.3 0.4 0.3 1
Bust 0.05 -0.11 -0.25 -0.09 -0.16Poor 0.35 0.01 0.02 -0.05 -0.004Good 0.45 0.12 0.1 0.17 0.127Boom 0.15 0.35 0.45 0.33 0.384
0.105350.105350.105350.10535
State of Economy
Prob. Of State of Economy
Stock A Return if State Occurs
Stock B Return if State Occurs
Stock C Return if State Occurs
Portfolio Return if State Ocurrs
E(RP)E(RP)E(RP)E(RP)
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-0.16 0.003520531125-0.004 0.0041850978750.127 0.0002109251250.384 0.011646873375
0.0195634275 Total0.139869322941 SQRT
0.139869322941
Portfolio Return if State Ocurrs
(Portfolio Return - E(RP))^2*Pro
SDP
SDP
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Stock Q R S TWeight 0.25 0.2 0.45 0.1 1Beta 0.85 0.91 1.31 1.76
BetaP
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Stock Q R S TWeight 0.25 0.2 0.45 0.1 1Beta 0.85 0.91 1.31 1.76
1.16BetaP
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Stock RF S1 S2Weight 0.333333 0.333333 0.333333 1E(R)Beta 1 0 ?? 1.31
E(RM)
1 = BS1 * WS1 + BS2 * WS2
1 = BS1 *1/3 + 1.31 * 1/3BS1 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
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Stock RF S1 S2Weight 0.333333 0.333333 0.333333 1E(R)Beta 1 0 ?? 1.31
1.69
E(RM)
1 = BS1 * WS1 + BS2 * WS2
1 = BS1 *1/3 + 1.31 * 1/3BS1 3/1*(1 - 1.31 * 1/3) = BS1
E(Ri) = Rf + (E(RM)-Rf)*Bi
(E(Ri) - Rf)/(E(RM)-Rf) = Bi
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Beta of asset 1.250.117
Rf 0.045E(Ri) E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM)
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Beta of asset 1.250.117
Rf 0.045E(Ri) 0.135 E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM)
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0.069Rf 0.055E(Ri) 0.142Bi = (E(Ri)-Rf)/(E(RM)-Rf)
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf
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0.069Rf 0.055E(Ri) 0.142Bi = (E(Ri)-Rf)/(E(RM)-Rf) 1.26087
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf
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Beta of asset 0.85(E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055E(Ri) 0.11
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf
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Beta of asset 0.850.119706 (E(Ri) - Rf)/Bi + Rf = E(RM)
Rf 0.055E(Ri) 0.11
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM) - Rf
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Beta of asset 1.150.109
Rf (E(Ri) - Bi * E(RM))/(1 - Bi)E(Ri) 0.119
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM)
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Beta of asset 1.150.109
Rf 0.042333 (E(Ri) - Bi * E(RM))/(1 - Bi)E(Ri) 0.119
E(Ri) = Rf + (E(RM) - Rf)*Bi
E(RM)
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a Stock ABeta 1.2E(Ri) 0.118Rf 0.038
E(Ri) = Rf + (E(RM) - Rf)*BiWeight of Stock A Weight of Stock Rf
0.5 0.5
b0.8
BP = Bi * Wi + Brf * Wrf0.8 = 1.2 * Wi + 0 * (1-Wi)0.8 / 1.2 = WiWrf
c 0.11 E(RP) = Ri * Wi + Rrf * Wrf.11 = .118 * Wi + .038 * (1 - Wi).11 = .118 * Wi + .038 - .038Wi(.11 -.038) / (.118 - .038) = Wi
d 2.4BP = Bi * Wi + Brf * Wrf2.4 = 1.2 * Wi + 0 * (1-Wi)2.4 / 1.2 = Wi Invested 200% in stock because of borrowingWrf Invested -100% in Rf because of borrowing. Represents borrowing at Risk Free Rate
2.4 = 1.2 * 2
E(RP) E(RP) using CAPM
BP
E(RP)
BP
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Invested -100% in Rf because of borrowing. Represents borrowing at Risk Free Rate
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a Stock ABeta 1.2E(Ri) 0.118Rf 0.038
E(Ri) = Rf + (E(RM) - Rf)*BiWeight of Stock A Weight of Stock Rf
0.5 0.5 0.078
b0.8
BP = Bi * Wi + Brf * Wrf0.8 = 1.2 * Wi + 0 * (1-Wi)0.8 / 1.2 = Wi 0.666666666666667Wrf 0.333333333333333
c 0.11 E(RP) = Ri * Wi + Rrf * Wrf0.9 .11 = .118 * Wi + .038 * (1 - Wi)
.11 = .118 * Wi + .038 - .038Wi(.11 -.038) / (.118 - .038) = Wi
d 2.4BP = Bi * Wi + Brf * Wrf2.4 = 1.2 * Wi + 0 * (1-Wi)2.4 / 1.2 = Wi 2 Invested 200% in stock because of borrowingWrf -1 Invested -100% in Rf because of borrowing. Represents borrowing at Risk Free Rate
2.4 = 1.2 * 2
E(RP) E(RP) using CAPM
BP
E(RP)
BP
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Invested -100% in Rf because of borrowing. Represents borrowing at Risk Free Rate
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Asset W0.131.25
Rf 0.045(E(Ri) - Rf)/Bi = E(RM) - Rf
00.25
0.50.75
11.25
1.5
E(RW)BW
Risk Premium = E(RM) - RfE(RM) - Rf
Percentage of Portfolio in W
Portfolio Beta
Portfolio Expected Return
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Asset W0.131.25
Rf 0.0450.068 (E(Ri) - Rf)/Bi = E(RM) - Rf 0.068
0 0 0.0450.25 0.3125 0.06625
0.5 0.625 0.08750.75 0.9375 0.10875
1 1.25 0.131.25 1.5625 0.15125
1.5 1.875 0.1725
E(RW)BW
Risk Premium = E(RM) - RfE(RM) - Rf
Percentage of Portfolio in W
Portfolio Beta
Portfolio Expected Return
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 20
0.020.040.060.08
0.10.120.140.160.18
0.2
f(x) = 0.068 x + 0.045
Portfolio Expected Return
Portfolio Beta
Portfolio Expected Return
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0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 20
0.020.040.060.08
0.10.120.140.160.18
0.2
f(x) = 0.068 x + 0.045
Portfolio Expected Return
Portfolio Beta
Portfolio Expected Return
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Stock YBeta 1.3E(RY) 0.13
0.136
0.0653846153846154Stock ZBeta 0.75E(RZ) 0.105
0.0975
0.08Rf 0.045
0.07Goal Are stocks priced correctly?
Check:
CAPM => E(RY) = Rf + (E(RM)-Rf)*BY
Expected Return using CAPM is higher than the Expected Return given. The Expected Return calculated using CAMP prices the risk (systematic risk) at 13.6%. This means that the given rate of 13% is below the SML, which means the stock is over valued - Low Rate / High Price. There is not
enough reward for the given risk level.
Reward To Risk Ratio => (E(RY) - Rf)/BY
Stock Y is offering a 6.54% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.07, we can see that Y is not offering a rate high enough. In a competitive market the price of this
stock will be bid down. In theory, this stock will bid down until the return is equal to the return offered in the market.
CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ
Expected Return using CAPM is lower than the Expected Return given. The Expected Return calculated using CAPM prices the risk (systematic risk) at 9.75%. The given rate of 10.5% is too
high (above the SML) and there for is priced too low - High Rate / Low Price. There is more reward than the model suggests there should be at the given risk level. If we believed our model, we
would buy.
Reward To Risk Ratio => (E(RZ) - Rf)/BZ
Stock Z is offering a 8.00% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.07, we can see that Z is offering a higher rate. In a competitive market the price of this stock should be bid up. In theory, this stock should be bid up until the return is equal to the return
offered in the market.
Market Risk Premium = E(RM) - Rf
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Expected Return using CAPM is higher than the Expected Return given. The Expected Return calculated using CAMP prices the risk (systematic risk) at 13.6%. This means that the given rate of 13% is below the SML, which means the stock is over valued - Low Rate / High Price. There is not
enough reward for the given risk level.
Stock Y is offering a 6.54% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.07, we can see that Y is not offering a rate high enough. In a competitive market the price of this
stock will be bid down. In theory, this stock will bid down until the return is equal to the return offered in the market.
Expected Return using CAPM is lower than the Expected Return given. The Expected Return calculated using CAPM prices the risk (systematic risk) at 9.75%. The given rate of 10.5% is too
high (above the SML) and there for is priced too low - High Rate / Low Price. There is more reward than the model suggests there should be at the given risk level. If we believed our model, we
would buy.
Stock Z is offering a 8.00% return for 1 unit of Systematic Risk. Since the Market Risk Premium is 0.07, we can see that Z is offering a higher rate. In a competitive market the price of this stock should be bid up. In theory, this stock should be bid up until the return is equal to the return
offered in the market.
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Stock YBeta 1.3E(RY) 0.13CAPM => E(RY) = Rf + (E(RM)-Rf)*BYReward To Risk Ratio => (E(RY) - Rf)/BYStock ZBeta 0.75E(RZ) 0.105CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZReward To Risk Ratio => (E(RZ) - Rf)/BZRf 0.045Market Risk Premium = E(RM) - Rf 0.07Goal Are stocks priced correctly?
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75…Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75)
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Stock YBeta 1.3E(RY) 0.13CAPM => E(RY) = Rf + (E(RM)-Rf)*BY 0.136Reward To Risk Ratio => (E(RY) - Rf)/BY 0.0653846153846154Stock ZBeta 0.75E(RZ) 0.105CAPM => E(RZ) = Rf + (E(RM)-Rf)*BZ 0.0975Reward To Risk Ratio => (E(RZ) - Rf)/BZ 0.08Rf 0.045Market Risk Premium = E(RM) - Rf 0.07Goal Are stocks priced correctly?
(E(RY) - Rf)/BY = (E(RZ) - Rf)/BZ(0.13 - Rf)/1.3 = (0.105 - Rf)/0.75…Rf = (0.105*1.3 - 0.13*0.75)/(1.3 - 0.75) 0.0709090909090909
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InvestmentLarge Stocks 11.70%Small Stocks 16.40%Long-term Corporate Bonds 6.20%Long-term Government Bonds 6.10%
3.80%Inflation = I 3.10%
50.00%11.70%50.00%
6.20%
50.00%16.40%50.00%
3.80%
Historical Average Return = RH
U.S. Treasury Bills = Rf
WLC
E(RLC)WLTB
E(RLTB)E(RP)
WS
E(Rs)Wrf
E(Rrf)E(RP)
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InvestmentLarge Stocks 11.70%Small Stocks 16.40%Long-term Corporate Bonds 6.20%Long-term Government Bonds 6.10%
3.80%Inflation = I 3.10%
50.00%11.70%50.00%
6.20%8.9500%
50.00%16.40%50.00%
3.80%10.1000%
Historical Average Return = RH
U.S. Treasury Bills = Rf
WLC
E(RLC)WLTB
E(RLTB)E(RP)
WS
E(Rs)Wrf
E(Rrf)E(RP)
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Total To Invest $250,000.00 0.14
0.101 Target0.1205 0.12
0.50.5
Amount To Invest In H $125,000.00 Amount To Invest In H $125,000.00
E(RH)E(RL)E(RP)WH
WL
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Total To Invest $250,000.00 0.14
0.101 Target0.12 Used Goal Seek 0.12
0.48717948720.5128205128
Amount To Invest In H $121,794.87 Amount To Invest In H $128,205.13
E(RH)E(RL)E(RP)WH
WL
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1.20.1316
0.750.101
Goal: Portfolio w Same Risk as MarketBeta of Market = 11 = BJ*WJ + BK*(1-WJ)(1-.75)/(1.2-.75) = WJ
WJ1-WJ
E(RP)
BJ
E(RJ)BK
E(RK)
WJ
WK
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1.20.1316
0.750.101
Goal: Portfolio w Same Risk as MarketBeta of Market = 11 = BJ*WJ + BK*(1-WJ)(1-.75)/(1.2-.75) = WJ
0.555556 WJ0.444444 1-WJ
E(RP) 0.118
BJ
E(RJ)BK
E(RK)
WJ
WK
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Weight 0.4 0.4 0.2 1
Boom 0.15 0.02 0.32 0.6Normal 0.55 0.1 0.12 0.2Bust 0.3 0.16 -0.11 -0.35
0.0375
State Of Ecomnomy
Prob of State
Estimated Stock Return of A if State Occurs
Estimated Stock Return of B if State Occurs
Estimated Stock Return of C if State Occurs
Return If State Occurs
E(RP)Total Risk = SDP
Rf
E(RP) - Rf
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add
SQRT
Expected Risk Premium
Deviation^2*Prob
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Weight 0.4 0.4 0.2 1
Boom 0.15 0.02 0.32 0.6 0.256Normal 0.55 0.1 0.12 0.2 0.128Bust 0.3 0.16 -0.11 -0.35 -0.05
0.09380.10389013428
0.03750.0563
State Of Ecomnomy
Prob of State
Estimated Stock Return of A if State Occurs
Estimated Stock Return of B if State Occurs
Estimated Stock Return of C if State Occurs
Return If State Occurs
E(RP)Total Risk = SDP
Rf
E(RP) - Rf
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0.0039463260.0006433020.006203532
0.01079316 add
SQRT
Expected Risk Premium
Deviation^2*Prob
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State Of Economy Prob of StateRecession 0.25 0.02 -0.2Normal 0.6 0.32 0.12Irrational Exuberance 0.15 0.18 0.4
E(R)Total Risk = SD
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*BiSolve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi
Most Systematic Risk?Most Unsystematic Risk?
Market Risk Premium 0.11Rf 0.04
Estimated Stock Return of I if State Occurs
Estimated Stock Return of II if State Occurs
More Total Risk and low Beta (systematic risk) means more unsystematic Risk
Higher Beta means more Systematic Risk
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More Total Risk and low Beta (systematic risk) means more unsystematic Risk
Higher Beta means more Systematic Risk
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State Of Economy Prob of StateRecession 0.25 0.02 -0.2Normal 0.6 0.32 0.12Irrational Exuberance 0.15 0.18 0.4
E(R) 0.224 0.082Total Risk = SD 0.1273734666247 0.1895151708967
Using CAPM E(Ri) = Rf + (E(RM) - Rf)*BiSolve for Bi (E(Ri) - Rf)/(E(RM) - Rf) = Bi
Most Systematic Risk? 1.6727272727273 0.3818181818182Most Unsystematic Risk?
Market Risk Premium 0.11Rf 0.04
Estimated Stock Return of I if State Occurs
Estimated Stock Return of II if State Occurs
More Total Risk and low Beta (systematic risk) means more unsystematic Risk
Higher Beta means more Systematic Risk
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More Total Risk and low Beta (systematic risk) means more unsystematic Risk
Higher Beta means more Systematic Risk
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Good
3 month 0.0016Mean -0.003598 checkGeomean -0.014096 1.41STDEV 0.1500998Beta 0.0628437
Stock FLIR Index S&P 500Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 TRUE2 10/1/2010 27.84 0.016058394161 10/1/2010 1183.26 -0.005162 TRUE3 9/1/2010 25.7 -0.07686781609 9/1/2010 1141.2 -0.035546 TRUE4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 TRUE5 7/1/2010 29.76 0.185657370518 7/1/2010 1101.6 0.0498127 TRUE6 6/1/2010 29.09 -0.02251344086 6/1/2010 1030.71 -0.064352 TRUE7 5/3/2010 28.49 -0.02062564455 5/3/2010 1089.41 0.056951 TRUE8 4/1/2010 30.59 0.07371007371 4/1/2010 1186.69 0.089296 TRUE9 3/1/2010 28.18 -0.07878391631 3/1/2010 1169.43 -0.014545 TRUE
10 2/1/2010 26.81 -0.04861603974 2/1/2010 1104.49 -0.055531 TRUE11 1/4/2010 29.58 0.103319656844 1/4/2010 1073.87 -0.027723 TRUE12 12/1/2009 32.73 0.106490872211 12/1/2009 1115.1 0.0383938 TRUE13 11/2/2009 28.7 -0.12312862817 11/2/2009 1095.63 -0.01746 TRUE14 10/1/2009 27.81 -0.03101045296 10/1/2009 1036.19 -0.054252 TRUE15 9/1/2009 27.97 0.005753326142 9/1/2009 1057.08 0.0201604 TRUE16 8/3/2009 23.02 -0.17697533071 8/3/2009 1020.62 -0.034491 TRUE17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 TRUE18 6/1/2009 22.56 0.049790600279 6/1/2009 919.32 -0.069024 TRUE19 5/1/2009 22.46 -0.00443262411 5/1/2009 919.14 -0.000196 TRUE20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 TRUE21 3/2/2009 20.48 -0.07664562669 3/2/2009 797.87 -0.085861 TRUE22 2/2/2009 20.41 -0.00341796875 2/2/2009 735.09 -0.078684 TRUE23 1/2/2009 24.97 0.22341989221 1/2/2009 825.88 0.1235087 TRUE24 12/1/2008 30.68 0.228674409291 12/1/2008 903.25 0.0936819 TRUE25 11/3/2008 31 0.010430247718 11/3/2008 896.24 -0.007761 TRUE26 10/1/2008 32.1 0.035483870968 10/1/2008 968.75 0.0809047 TRUE27 9/2/2008 38.42 0.196884735202 9/2/2008 1166.36 0.2039845 TRUE28 8/1/2008 35.7 -0.07079646018 8/1/2008 1282.83 0.0998577 TRUE29 7/1/2008 40.74 0.141176470588 7/1/2008 1267.38 -0.012044 TRUE30 6/2/2008 40.57 -0.00417280314 6/2/2008 1280 0.0099576 TRUE31 5/1/2008 39.42 -0.02834606852 5/1/2008 1400.38 0.0940469 TRUE32 4/1/2008 34.33 -0.12912227296 4/1/2008 1385.59 -0.010561 TRUE33 3/3/2008 30.09 -0.12350713662 3/3/2008 1322.7 -0.045389 TRUE34 2/1/2008 28.46 -0.05417082087 2/1/2008 1330.63 0.0059953 TRUE35 1/2/2008 30.28 0.06394940267 1/2/2008 1378.55 0.036013 TRUE36 12/3/2007 31.3 0.033685601057 12/3/2007 1468.36 0.0651482 TRUE37 11/1/2007 34.37 0.098083067093 11/1/2007 1481.14 0.0087036 TRUE38 10/1/2007 34.69 0.009310445156 10/1/2007 1549.38 0.0460726 TRUE39 9/4/2007 27.69 -0.20178725858 9/4/2007 1526.75 -0.014606 TRUE40 8/1/2007 24.62 -0.11087035031 8/1/2007 1473.99 -0.034557 TRUE
http://finance.yahoo.com/www.stlouisfed.orghttp://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
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41 7/2/2007 21.83 -0.11332250203 7/2/2007 1455.27 -0.0127 TRUE42 6/1/2007 23.12 0.059092991296 6/1/2007 1503.35 0.0330385 TRUE43 5/1/2007 20.68 -0.10553633218 5/1/2007 1530.62 0.0181395 TRUE44 4/2/2007 20.25 -0.02079303675 4/2/2007 1482.37 -0.031523 TRUE45 3/1/2007 17.83 -0.11950617284 3/1/2007 1420.86 -0.041494 TRUE46 2/1/2007 17.38 -0.02523836231 2/1/2007 1406.82 -0.009881 TRUE47 1/3/2007 15.45 -0.11104718067 1/3/2007 1438.24 0.0223341 TRUE48 12/1/2006 15.91 0.029773462783 12/1/2006 1418.3 -0.013864 TRUE49 11/1/2006 16.1 0.011942174733 11/1/2006 1400.63 -0.012459 TRUE50 10/2/2006 15.97 -0.00807453416 10/2/2006 1377.94 -0.0162 TRUE51 9/1/2006 13.58 -0.14965560426 9/1/2006 1335.85 -0.030546 TRUE52 8/1/2006 13.85 0.019882179676 8/1/2006 1303.82 -0.023977 TRUE53 7/3/2006 11.99 -0.13429602888 7/3/2006 1276.66 -0.020831 TRUE54 6/1/2006 11.45 -0.04503753128 6/1/2006 1270.2 -0.00506 TRUE55 5/1/2006 12.81 0.118777292576 5/1/2006 1270.09 -8.66E-05 TRUE56 4/3/2006 12.23 -0.04527712724 4/3/2006 1310.61 0.0319033 TRUE57 3/1/2006 14.2 0.161079313164 3/1/2006 1294.87 -0.01201 TRUE58 2/1/2006 12.92 -0.09014084507 2/1/2006 1280.66 -0.010974 TRUE59 1/3/2006 11.85 -0.08281733746 1/3/2006 1280.08 -0.000453 TRUE60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 TRUE61 11/1/2005 12.4 0.111111111111 11/1/2005 1249.48 0.0009533 TRUE62 10/3/2005 10.48 -0.15483870968 10/3/2005 1207.01 -0.03399 TRUE63 9/1/2005 14.78 0.410305343511 9/1/2005 1228.81 0.0180612 TRUE64 8/1/2005 16.15 0.092692828146 8/1/2005 1220.33 -0.006901 TRUE65 7/1/2005 16.44 0.017956656347 7/1/2005 1234.18 0.0113494 TRUE66 6/1/2005 14.92 -0.09245742092 6/1/2005 1191.33 -0.034719 TRUE67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 TRUE68 4/1/2005 13.3 -0.00746268657 4/1/2005 1156.85 -0.029081 TRUE69 3/1/2005 15.15 0.139097744361 3/1/2005 1180.59 0.0205212 TRUE70 2/1/2005 15.62 0.03102310231 2/1/2005 1203.6 0.0194903 TRUE71 1/3/2005 15.24 -0.02432778489 1/3/2005 1181.27 -0.018553 TRUE72 12/1/2004 15.95 0.046587926509 12/1/2004 1211.92 0.0259467 TRUE73 11/1/2004 14.09 -0.11661442006 11/1/2004 1173.82 -0.031438 TRUE74 10/1/2004 13.3 -0.05606813343 10/1/2004 1130.2 -0.037161 TRUE75 9/1/2004 14.62 0.099248120301 9/1/2004 1114.58 -0.013821 TRUE76 8/2/2004 14.59 -0.00205198358 8/2/2004 1104.24 -0.009277 TRUE77 7/1/2004 15.91 0.090472926662 7/1/2004 1101.72 -0.002282 TRUE78 6/1/2004 13.73 -0.13702074167 6/1/2004 1140.84 0.0355081 TRUE79 5/3/2004 12.3 -0.10415149308 5/3/2004 1120.68 -0.017671 TRUE80 4/1/2004 11.71 -0.04796747967 4/1/2004 1107.3 -0.011939 TRUE81 3/1/2004 9.53 -0.18616567037 3/1/2004 1126.21 0.0170776 TRUE82 2/2/2004 9.61 0.008394543547 2/2/2004 1144.94 0.016631 TRUE83 1/2/2004 9.05 -0.05827263267 1/2/2004 1131.13 -0.012062 TRUE84 12/1/2003 9.12 0.00773480663 12/1/2003 1111.92 -0.016983 TRUE85 11/3/2003 8.61 -0.05592105263 11/3/2003 1058.2 -0.048313 TRUE86 10/1/2003 7.82 -0.09175377468 10/1/2003 1050.71 -0.007078 TRUE87 9/2/2003 6.36 -0.18670076726 9/2/2003 995.97 -0.052098 TRUE88 8/1/2003 6.61 0.039308176101 8/1/2003 1008.01 0.0120887 TRUE89 7/1/2003 6.78 0.025718608169 7/1/2003 990.31 -0.017559 TRUE90 6/2/2003 7.53 0.110619469027 6/2/2003 974.5 -0.015965 TRUE91 5/1/2003 7.13 -0.05312084993 5/1/2003 963.59 -0.011195 TRUE
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92 4/1/2003 6.51 -0.08695652174 4/1/2003 916.92 -0.048433 TRUE93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 TRUE94 2/3/2003 5.53 -0.06745362563 2/3/2003 841.15 -0.008288 TRUE95 1/2/2003 5.84 0.056057866184 1/2/2003 855.7 0.0172977 TRUE96 12/2/2002 6.1 0.044520547945 12/2/2002 879.82 0.0281874 TRUE97 11/1/2002 5.44 -0.10819672131 11/1/2002 936.31 0.0642063 TRUE98 10/1/2002 5.92 0.088235294118 10/1/2002 885.76 -0.053989 TRUE99 9/3/2002 4.37 -0.26182432432 9/3/2002 815.28 -0.07957 TRUE
100 8/1/2002 4.74 0.08466819222 8/1/2002 916.07 0.1236262 TRUE101 7/1/2002 5.11 0.07805907173 7/1/2002 911.62 -0.004858 TRUE102 6/3/2002 5.25 0.027397260274 6/3/2002 989.82 0.0857814 TRUE103 5/1/2002 5.53 0.053333333333 5/1/2002 1067.14 0.0781152 TRUE104 4/1/2002 4.98 -0.09945750452 4/1/2002 1076.92 0.0091647 TRUE105 3/1/2002 5.97 0.198795180723 3/1/2002 1147.39 0.0654366 TRUE106 2/4/2002 6.82 0.142378559464 2/1/2002 1106.73 -0.035437 FALSE107 1/2/2002 5.71 -0.16275659824 1/2/2002 1130.2 0.0212066 TRUE108 12/3/2001 4.74 -0.16987740806 12/3/2001 1148.08 0.0158202 TRUE109 11/1/2001 5.02 0.059071729958 11/1/2001 1139.45 -0.007517 TRUE110 10/1/2001 5.79 0.153386454183 10/1/2001 1059.78 -0.06992 TRUE111 9/4/2001 5.13 -0.11398963731 9/4/2001 1040.94 -0.017777 TRUE112 8/1/2001 3.53 -0.31189083821 8/1/2001 1133.58 0.0889965 TRUE113 7/2/2001 3.76 0.065155807365 7/2/2001 1211.23 0.0684998 TRUE114 6/1/2001 3.13 -0.16755319149 6/1/2001 1224.38 0.0108567 TRUE115 5/1/2001 2.01 -0.35782747604 5/1/2001 1255.82 0.0256783 TRUE116 4/2/2001 1.72 -0.14427860697 4/2/2001 1249.46 -0.005064 TRUE117 3/1/2001 1.02 -0.40697674419 3/1/2001 1160.33 -0.071335 TRUE118 2/1/2001 0.88 -0.13725490196 2/1/2001 1239.94 0.0686098 TRUE119 1/2/2001 0.62 -0.29545454545 1/2/2001 1366.01 0.1016743 TRUE120 12/1/2000 0.7 0.129032258065 12/1/2000 1320.28 -0.033477 TRUE121 11/1/2000 0.45 -0.35714285714 11/1/2000 1314.95 -0.004037 TRUE122 10/2/2000 0.75 0.666666666667 10/2/2000 1429.4 0.0870375 TRUE123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 TRUE124 8/1/2000 0.7 -0.06666666667 8/1/2000 1517.68 0.056505 TRUE125 7/3/2000 0.97 0.385714285714 7/3/2000 1430.83 -0.057226 TRUE126 6/23/2000 0.81 -0.16494845361 6/1/2000 1454.6 0.0166127 FALSE127 5/1/2000 1.15 0.41975308642 5/1/2000 1420.6 -0.023374 TRUE128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 TRUE129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 TRUE130 2/1/2000 1.98 0.721739130435 2/1/2000 1366.42 -0.08819 TRUE131 1/3/2000 2.3 0.161616161616 1/3/2000 1394.46 0.0205208 TRUE132 12/1/1999 2.03 -0.11739130435 12/1/1999 1469.25 0.0536337 TRUE133 11/1/1999 1.91 -0.05911330049 11/1/1999 1388.91 -0.054681 TRUE134 10/1/1999 1.77 -0.07329842932 10/1/1999 1362.93 -0.018705 TRUE135 9/1/1999 1.62 -0.08474576271 9/1/1999 1282.71 -0.058858 TRUE136 8/2/1999 2.06 0.271604938272 8/2/1999 1320.41 0.0293909 TRUE137 7/1/1999 2.2 0.067961165049 7/1/1999 1328.72 0.0062935 TRUE138 6/1/1999 1.89 -0.14090909091 6/1/1999 1372.71 0.0331071 TRUE139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 TRUE140 4/1/1999 1.72 0.02994011976 4/1/1999 1335.18 0.0256099 TRUE141 3/1/1999 2.27 0.31976744186 3/1/1999 1286.37 -0.036557 TRUE142 2/1/1999 2.3 0.013215859031 2/1/1999 1238.33 -0.037345 TRUE
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143 1/4/1999 2.73 0.186956521739 1/4/1999 1279.64 0.0333594 TRUE144 12/1/1998 2.91 0.065934065934 12/1/1998 1229.23 -0.039394 TRUE145 11/2/1998 2.41 -0.17182130584 11/2/1998 1163.63 -0.053367 TRUE146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 TRUE147 9/1/1998 1.66 -0.21327014218 9/1/1998 1017.01 -0.074326 TRUE148 8/3/1998 1.31 -0.21084337349 8/3/1998 957.28 -0.058731 TRUE149 7/1/1998 2.09 0.595419847328 7/1/1998 1120.67 0.1706815 TRUE150 6/1/1998 2.16 0.033492822967 6/1/1998 1133.84 0.0117519 TRUE151 5/1/1998 2.34 0.083333333333 5/1/1998 1090.82 -0.037942 TRUE152 4/1/1998 2.58 0.102564102564 4/1/1998 1111.75 0.0191874 TRUE153 3/2/1998 2.53 -0.01937984496 3/2/1998 1101.75 -0.008995 TRUE154 2/2/1998 2.41 -0.04743083004 2/2/1998 1049.34 -0.04757 TRUE155 1/2/1998 2.22 -0.07883817427 1/2/1998 980.28 -0.065813 TRUE156 12/1/1997 2.59 0.166666666667 12/1/1997 970.43 -0.010048 TRUE157 11/3/1997 2.47 -0.04633204633 11/3/1997 955.4 -0.015488 TRUE158 10/1/1997 2.62 0.060728744939 10/1/1997 914.62 -0.042684 TRUE159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 TRUE160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 TRUE161 7/1/1997 2.55 0.103896103896 7/1/1997 954.31 0.0609692 TRUE162 6/2/1997 1.97 -0.22745098039 6/2/1997 885.14 -0.072482 TRUE163 5/1/1997 2 0.015228426396 5/1/1997 848.28 -0.041643 TRUE164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 TRUE165 3/3/1997 2.03 0.041025641026 3/3/1997 757.12 -0.055183 TRUE166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 TRUE167 1/2/1997 1.81 -0.07179487179 1/2/1997 786.16 -0.005893 TRUE168 12/2/1996 1.72 -0.04972375691 12/2/1996 740.74 -0.057774 TRUE169 11/1/1996 1.7 -0.01162790698 11/1/1996 757.02 0.021978 TRUE170 10/1/1996 1.75 0.029411764706 10/1/1996 705.27 -0.06836 TRUE171 9/3/1996 1.64 -0.06285714286 9/3/1996 687.33 -0.025437 TRUE172 8/1/1996 1.72 0.048780487805 8/1/1996 651.99 -0.051416 TRUE173 7/1/1996 1.61 -0.06395348837 7/1/1996 639.95 -0.018467 TRUE174 6/3/1996 1.53 -0.04968944099 6/3/1996 670.63 0.0479412 TRUE175 5/1/1996 1.75 0.143790849673 5/1/1996 669.12 -0.002252 TRUE176 4/1/1996 1.59 -0.09142857143 4/1/1996 654.17 -0.022343 TRUE177 3/1/1996 1.53 -0.03773584906 3/1/1996 645.5 -0.013253 TRUE178 2/1/1996 1.56 0.019607843137 2/1/1996 640.43 -0.007854 TRUE179 1/2/1996 1.31 -0.16025641026 1/2/1996 636.02 -0.006886 TRUE180 12/1/1995 1.53 0.167938931298 12/1/1995 615.93 -0.031587 TRUE181 11/1/1995 1.62 0.058823529412 11/1/1995 605.37 -0.017145 TRUE182 10/2/1995 1.59 -0.01851851852 10/2/1995 581.5 -0.03943 TRUE183 9/1/1995 1.53 -0.03773584906 9/1/1995 584.41 0.0050043 TRUE184 8/1/1995 1.62 0.058823529412 8/1/1995 561.88 -0.038552 TRUE185 7/3/1995 1.77 0.092592592593 7/3/1995 562.06 0.0003204 TRUE186 6/1/1995 1.78 0.005649717514 6/1/1995 544.75 -0.030797 TRUE187 5/1/1995 1.56 -0.12359550562 5/1/1995 533.4 -0.020835 TRUE188 4/3/1995 1.75 0.121794871795 4/3/1995 514.71 -0.035039 TRUE189 3/1/1995 1.94 0.108571428571 3/1/1995 500.71 -0.0272 TRUE190 2/1/1995 1.81 -0.06701030928 2/1/1995 487.39 -0.026602 TRUE191 1/3/1995 1.75 -0.03314917127 1/3/1995 470.42 -0.034818 TRUE192 12/1/1994 1.62 -0.07428571429 12/1/1994 459.27 -0.023702 TRUE193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 TRUE
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194 10/3/1994 1.69 0.043209876543 10/3/1994 472.35 0.0411294 TRUE195 9/1/1994 1.53 -0.09467455621 9/1/1994 462.71 -0.020409 TRUE196 8/1/1994 1.5 -0.01960784314 8/1/1994 475.49 0.0276199 TRUE197 7/1/1994 1.72 0.146666666667 7/1/1994 458.26 -0.036236 TRUE198 6/1/1994 1.61 -0.06395348837 6/1/1994 444.27 -0.030529 TRUE199 5/2/1994 1.75 0.086956521739 5/2/1994 456.5 0.0275283 TRUE200 4/4/1994 1.83 0.045714285714 4/4/1994 450.91 -0.012245 TRUE201 3/1/1994 1.72 -0.06010928962 3/1/1994 445.77 -0.011399 TRUE202 2/1/1994 1.52 -0.11627906977 2/1/1994 467.14 0.0479395 TRUE203 1/3/1994 1.53 0.006578947368 1/3/1994 481.61 0.0309757 TRUE204 12/1/1993 1.22 -0.20261437908 12/1/1993 466.45 -0.031478 TRUE205 11/1/1993 1.34 0.098360655738 11/1/1993 461.79 -0.00999 TRUE206 10/1/1993 1.38 0.029850746269 10/1/1993 467.83 0.0130795 TRUE207 9/1/1993 1.5 0.086956521739 9/1/1993 458.93 -0.019024 TRUE208 8/2/1993 1.22 -0.18666666667 8/2/1993 463.56 0.0100887 TRUE209 7/1/1993 1.34 0.098360655738 7/1/1993 448.13 -0.033286 TRUE210 6/22/1993 1.41 0.05223880597 6/22/1993 450.53 0.0053556 TRUE
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Mean -0.00360382Geomean -0.00463411 checkSTDEV 0.046093772 450.53
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Good
3 month 0.0016Mean -0.003598 checkGeomean -0.014096 1.41STDEV 0.1500998Beta 0.0628437
Stock FLIR Index S&P 500Month Date Adj Close Monthly Returns Date Adj Close Dates Same
1 11/1/2010 27.4 11/1/2010 1189.4 TRUE2 10/1/2010 27.84 0.016058394161 10/1/2010 1183.26 -0.005162 TRUE3 9/1/2010 25.7 -0.07686781609 9/1/2010 1141.2 -0.035546 TRUE4 8/2/2010 25.1 -0.0233463035 8/2/2010 1049.33 -0.080503 TRUE5 7/1/2010 29.76 0.185657370518 7/1/2010 1101.6 0.0498127 TRUE6 6/1/2010 29.09 -0.02251344086 6/1/2010 1030.71 -0.064352 TRUE7 5/3/2010 28.49 -0.02062564455 5/3/2010 1089.41 0.056951 TRUE8 4/1/2010 30.59 0.07371007371 4/1/2010 1186.69 0.089296 TRUE9 3/1/2010 28.18 -0.07878391631 3/1/2010 1169.43 -0.014545 TRUE
10 2/1/2010 26.81 -0.04861603974 2/1/2010 1104.49 -0.055531 TRUE11 1/4/2010 29.58 0.103319656844 1/4/2010 1073.87 -0.027723 TRUE12 12/1/2009 32.73 0.106490872211 12/1/2009 1115.1 0.0383938 TRUE13 11/2/2009 28.7 -0.12312862817 11/2/2009 1095.63 -0.01746 TRUE14 10/1/2009 27.81 -0.03101045296 10/1/2009 1036.19 -0.054252 TRUE15 9/1/2009 27.97 0.005753326142 9/1/2009 1057.08 0.0201604 TRUE16 8/3/2009 23.02 -0.17697533071 8/3/2009 1020.62 -0.034491 TRUE17 7/1/2009 21.49 -0.0664639444 7/1/2009 987.48 -0.03247 TRUE18 6/1/2009 22.56 0.049790600279 6/1/2009 919.32 -0.069024 TRUE19 5/1/2009 22.46 -0.00443262411 5/1/2009 919.14 -0.000196 TRUE20 4/1/2009 22.18 -0.0124666073 4/1/2009 872.81 -0.050406 TRUE21 3/2/2009 20.48 -0.07664562669 3/2/2009 797.87 -0.085861 TRUE22 2/2/2009 20.41 -0.00341796875 2/2/2009 735.09 -0.078684 TRUE23 1/2/2009 24.97 0.22341989221 1/2/2009 825.88 0.1235087 TRUE24 12/1/2008 30.68 0.228674409291 12/1/2008 903.25 0.0936819 TRUE25 11/3/2008 31 0.010430247718 11/3/2008 896.24 -0.007761 TRUE26 10/1/2008 32.1 0.035483870968 10/1/2008 968.75 0.0809047 TRUE27 9/2/2008 38.42 0.196884735202 9/2/2008 1166.36 0.2039845 TRUE28 8/1/2008 35.7 -0.07079646018 8/1/2008 1282.83 0.0998577 TRUE29 7/1/2008 40.74 0.141176470588 7/1/2008 1267.38 -0.012044 TRUE30 6/2/2008 40.57 -0.00417280314 6/2/2008 1280 0.0099576 TRUE31 5/1/2008 39.42 -0.02834606852 5/1/2008 1400.38 0.0940469 TRUE32 4/1/2008 34.33 -0.12912227296 4/1/2008 1385.59 -0.010561 TRUE33 3/3/2008 30.09 -0.12350713662 3/3/2008 1322.7 -0.045389 TRUE34 2/1/2008 28.46 -0.05417082087 2/1/2008 1330.63 0.0059953 TRUE35 1/2/2008 30.28 0.06394940267 1/2/2008 1378.55 0.036013 TRUE36 12/3/2007 31.3 0.033685601057 12/3/2007 1468.36 0.0651482 TRUE37 11/1/2007 34.37 0.098083067093 11/1/2007 1481.14 0.0087036 TRUE38 10/1/2007 34.69 0.009310445156 10/1/2007 1549.38 0.0460726 TRUE39 9/4/2007 27.69 -0.20178725858 9/4/2007 1526.75 -0.014606 TRUE40 8/1/2007 24.62 -0.11087035031 8/1/2007 1473.99 -0.034557 TRUE
http://finance.yahoo.com/www.stlouisfed.orghttp://research.stlouisfed.org/fred2/series/TB3MS/downloaddata?cid=116
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41 7/2/2007 21.83 -0.11332250203 7/2/2007 1455.27 -0.0127 TRUE42 6/1/2007 23.12 0.059092991296 6/1/2007 1503.35 0.0330385 TRUE43 5/1/2007 20.68 -0.10553633218 5/1/2007 1530.62 0.0181395 TRUE44 4/2/2007 20.25 -0.02079303675 4/2/2007 1482.37 -0.031523 TRUE45 3/1/2007 17.83 -0.11950617284 3/1/2007 1420.86 -0.041494 TRUE46 2/1/2007 17.38 -0.02523836231 2/1/2007 1406.82 -0.009881 TRUE47 1/3/2007 15.45 -0.11104718067 1/3/2007 1438.24 0.0223341 TRUE48 12/1/2006 15.91 0.029773462783 12/1/2006 1418.3 -0.013864 TRUE49 11/1/2006 16.1 0.011942174733 11/1/2006 1400.63 -0.012459 TRUE50 10/2/2006 15.97 -0.00807453416 10/2/2006 1377.94 -0.0162 TRUE51 9/1/2006 13.58 -0.14965560426 9/1/2006 1335.85 -0.030546 TRUE52 8/1/2006 13.85 0.019882179676 8/1/2006 1303.82 -0.023977 TRUE53 7/3/2006 11.99 -0.13429602888 7/3/2006 1276.66 -0.020831 TRUE54 6/1/2006 11.45 -0.04503753128 6/1/2006 1270.2 -0.00506 TRUE55 5/1/2006 12.81 0.118777292576 5/1/2006 1270.09 -8.66E-05 TRUE56 4/3/2006 12.23 -0.04527712724 4/3/2006 1310.61 0.0319033 TRUE57 3/1/2006 14.2 0.161079313164 3/1/2006 1294.87 -0.01201 TRUE58 2/1/2006 12.92 -0.09014084507 2/1/2006 1280.66 -0.010974 TRUE59 1/3/2006 11.85 -0.08281733746 1/3/2006 1280.08 -0.000453 TRUE60 12/1/2005 11.16 -0.0582278481 12/1/2005 1248.29 -0.024834 TRUE61 11/1/2005 12.4 0.111111111111 11/1/2005 1249.48 0.0009533 TRUE62 10/3/2005 10.48 -0.15483870968 10/3/2005 1207.01 -0.03399 TRUE63 9/1/2005 14.78 0.410305343511 9/1/2005 1228.81 0.0180612 TRUE64 8/1/2005 16.15 0.092692828146 8/1/2005 1220.33 -0.006901 TRUE65 7/1/2005 16.44 0.017956656347 7/1/2005 1234.18 0.0113494 TRUE66 6/1/2005 14.92 -0.09245742092 6/1/2005 1191.33 -0.034719 TRUE67 5/2/2005 13.4 -0.1018766756 5/2/2005 1191.5 0.0001427 TRUE68 4/1/2005 13.3 -0.00746268657 4/1/2005 1156.85 -0.029081 TRUE69 3/1/2005 15.15 0.139097744361 3/1/2005 1180.59 0.0205212 TRUE70 2/1/2005 15.62 0.03102310231 2/1/2005 1203.6 0.0194903 TRUE71 1/3/2005 15.24 -0.02432778489 1/3/2005 1181.27 -0.018553 TRUE72 12/1/2004 15.95 0.046587926509 12/1/2004 1211.92 0.0259467 TRUE73 11/1/2004 14.09 -0.11661442006 11/1/2004 1173.82 -0.031438 TRUE74 10/1/2004 13.3 -0.05606813343 10/1/2004 1130.2 -0.037161 TRUE75 9/1/2004 14.62 0.099248120301 9/1/2004 1114.58 -0.013821 TRUE76 8/2/2004 14.59 -0.00205198358 8/2/2004 1104.24 -0.009277 TRUE77 7/1/2004 15.91 0.090472926662 7/1/2004 1101.72 -0.002282 TRUE78 6/1/2004 13.73 -0.13702074167 6/1/2004 1140.84 0.0355081 TRUE79 5/3/2004 12.3 -0.10415149308 5/3/2004 1120.68 -0.017671 TRUE80 4/1/2004 11.71 -0.04796747967 4/1/2004 1107.3 -0.011939 TRUE81 3/1/2004 9.53 -0.18616567037 3/1/2004 1126.21 0.0170776 TRUE82 2/2/2004 9.61 0.008394543547 2/2/2004 1144.94 0.016631 TRUE83 1/2/2004 9.05 -0.05827263267 1/2/2004 1131.13 -0.012062 TRUE84 12/1/2003 9.12 0.00773480663 12/1/2003 1111.92 -0.016983 TRUE85 11/3/2003 8.61 -0.05592105263 11/3/2003 1058.2 -0.048313 TRUE86 10/1/2003 7.82 -0.09175377468 10/1/2003 1050.71 -0.007078 TRUE87 9/2/2003 6.36 -0.18670076726 9/2/2003 995.97 -0.052098 TRUE88 8/1/2003 6.61 0.039308176101 8/1/2003 1008.01 0.0120887 TRUE89 7/1/2003 6.78 0.025718608169 7/1/2003 990.31 -0.017559 TRUE90 6/2/2003 7.53 0.110619469027 6/2/2003 974.5 -0.015965 TRUE91 5/1/2003 7.13 -0.05312084993 5/1/2003 963.59 -0.011195 TRUE
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92 4/1/2003 6.51 -0.08695652174 4/1/2003 916.92 -0.048433 TRUE93 3/3/2003 5.93 -0.089093702 3/3/2003 848.18 -0.074968 TRUE94 2/3/2003 5.53 -0.06745362563 2/3/2003 841.15 -0.008288 TRUE95 1/2/2003 5.84 0.056057866184 1/2/2003 855.7 0.0172977 TRUE96 12/2/2002 6.1 0.044520547945 12/2/2002 879.82 0.0281874 TRUE97 11/1/2002 5.44 -0.10819672131 11/1/2002 936.31 0.0642063 TRUE98 10/1/2002 5.92 0.088235294118 10/1/2002 885.76 -0.053989 TRUE99 9/3/2002 4.37 -0.26182432432 9/3/2002 815.28 -0.07957 TRUE
100 8/1/2002 4.74 0.08466819222 8/1/2002 916.07 0.1236262 TRUE101 7/1/2002 5.11 0.07805907173 7/1/2002 911.62 -0.004858 TRUE102 6/3/2002 5.25 0.027397260274 6/3/2002 989.82 0.0857814 TRUE103 5/1/2002 5.53 0.053333333333 5/1/2002 1067.14 0.0781152 TRUE104 4/1/2002 4.98 -0.09945750452 4/1/2002 1076.92 0.0091647 TRUE105 3/1/2002 5.97 0.198795180723 3/1/2002 1147.39 0.0654366 TRUE106 2/4/2002 6.82 0.142378559464 2/1/2002 1106.73 -0.035437 FALSE107 1/2/2002 5.71 -0.16275659824 1/2/2002 1130.2 0.0212066 TRUE108 12/3/2001 4.74 -0.16987740806 12/3/2001 1148.08 0.0158202 TRUE109 11/1/2001 5.02 0.059071729958 11/1/2001 1139.45 -0.007517 TRUE110 10/1/2001 5.79 0.153386454183 10/1/2001 1059.78 -0.06992 TRUE111 9/4/2001 5.13 -0.11398963731 9/4/2001 1040.94 -0.017777 TRUE112 8/1/2001 3.53 -0.31189083821 8/1/2001 1133.58 0.0889965 TRUE113 7/2/2001 3.76 0.065155807365 7/2/2001 1211.23 0.0684998 TRUE114 6/1/2001 3.13 -0.16755319149 6/1/2001 1224.38 0.0108567 TRUE115 5/1/2001 2.01 -0.35782747604 5/1/2001 1255.82 0.0256783 TRUE116 4/2/2001 1.72 -0.14427860697 4/2/2001 1249.46 -0.005064 TRUE117 3/1/2001 1.02 -0.40697674419 3/1/2001 1160.33 -0.071335 TRUE118 2/1/2001 0.88 -0.13725490196 2/1/2001 1239.94 0.0686098 TRUE119 1/2/2001 0.62 -0.29545454545 1/2/2001 1366.01 0.1016743 TRUE120 12/1/2000 0.7 0.129032258065 12/1/2000 1320.28 -0.033477 TRUE121 11/1/2000 0.45 -0.35714285714 11/1/2000 1314.95 -0.004037 TRUE122 10/2/2000 0.75 0.666666666667 10/2/2000 1429.4 0.0870375 TRUE123 9/1/2000 0.75 0 9/1/2000 1436.51 0.0049741 TRUE124 8/1/2000 0.7 -0.06666666667 8/1/2000 1517.68 0.056505 TRUE125 7/3/2000 0.97 0.385714285714 7/3/2000 1430.83 -0.057226 TRUE126 6/23/2000 0.81 -0.16494845361 6/1/2000 1454.6 0.0166127 FALSE127 5/1/2000 1.15 0.41975308642 5/1/2000 1420.6 -0.023374 TRUE128 4/3/2000 0.92 -0.2 4/3/2000 1452.43 0.022406 TRUE129 3/1/2000 1.15 0.25 3/1/2000 1498.58 0.0317743 TRUE130 2/1/2000 1.98 0.721739130435 2/1/2000 1366.42 -0.08819 TRUE131 1/3/2000 2.3 0.161616161616 1/3/2000 1394.46 0.0205208 TRUE132 12/1/1999 2.03 -0.11739130435 12/1/1999 1469.25 0.0536337 TRUE133 11/1/1999 1.91 -0.05911330049 11/1/1999 1388.91 -0.054681 TRUE134 10/1/1999 1.77 -0.07329842932 10/1/1999 1362.93 -0.018705 TRUE135 9/1/1999 1.62 -0.08474576271 9/1/1999 1282.71 -0.058858 TRUE136 8/2/1999 2.06 0.271604938272 8/2/1999 1320.41 0.0293909 TRUE137 7/1/1999 2.2 0.067961165049 7/1/1999 1328.72 0.0062935 TRUE138 6/1/1999 1.89 -0.14090909091 6/1/1999 1372.71 0.0331071 TRUE139 5/3/1999 1.67 -0.1164021164 5/3/1999 1301.84 -0.051628 TRUE140 4/1/1999 1.72 0.02994011976 4/1/1999 1335.18 0.0256099 TRUE141 3/1/1999 2.27 0.31976744186 3/1/1999 1286.37 -0.036557 TRUE142 2/1/1999 2.3 0.013215859031 2/1/1999 1238.33 -0.037345 TRUE
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143 1/4/1999 2.73 0.186956521739 1/4/1999 1279.64 0.0333594 TRUE144 12/1/1998 2.91 0.065934065934 12/1/1998 1229.23 -0.039394 TRUE145 11/2/1998 2.41 -0.17182130584 11/2/1998 1163.63 -0.053367 TRUE146 10/1/1998 2.11 -0.1244813278 10/1/1998 1098.67 -0.055825 TRUE147 9/1/1998 1.66 -0.21327014218 9/1/1998 1017.01 -0.074326 TRUE148 8/3/1998 1.31 -0.21084337349 8/3/1998 957.28 -0.058731 TRUE149 7/1/1998 2.09 0.595419847328 7/1/1998 1120.67 0.1706815 TRUE150 6/1/1998 2.16 0.033492822967 6/1/1998 1133.84 0.0117519 TRUE151 5/1/1998 2.34 0.083333333333 5/1/1998 1090.82 -0.037942 TRUE152 4/1/1998 2.58 0.102564102564 4/1/1998 1111.75 0.0191874 TRUE153 3/2/1998 2.53 -0.01937984496 3/2/1998 1101.75 -0.008995 TRUE154 2/2/1998 2.41 -0.04743083004 2/2/1998 1049.34 -0.04757 TRUE155 1/2/1998 2.22 -0.07883817427 1/2/1998 980.28 -0.065813 TRUE156 12/1/1997 2.59 0.166666666667 12/1/1997 970.43 -0.010048 TRUE157 11/3/1997 2.47 -0.04633204633 11/3/1997 955.4 -0.015488 TRUE158 10/1/1997 2.62 0.060728744939 10/1/1997 914.62 -0.042684 TRUE159 9/2/1997 2.48 -0.0534351145 9/2/1997 947.28 0.0357088 TRUE160 8/1/1997 2.31 -0.0685483871 8/1/1997 899.47 -0.050471 TRUE161 7/1/1997 2.55 0.103896103896 7/1/1997 954.31 0.0609692 TRUE162 6/2/1997 1.97 -0.22745098039 6/2/1997 885.14 -0.072482 TRUE163 5/1/1997 2 0.015228426396 5/1/1997 848.28 -0.041643 TRUE164 4/1/1997 1.95 -0.025 4/1/1997 801.34 -0.055336 TRUE165 3/3/1997 2.03 0.041025641026 3/3/1997 757.12 -0.055183 TRUE166 2/3/1997 1.95 -0.039408867 2/3/1997 790.82 0.0445108 TRUE167 1/2/1997 1.81 -0.07179487179 1/2/1997 786.16 -0.005893 TRUE168 12/2/1996 1.72 -0.04972375691 12/2/1996 740.74 -0.057774 TRUE169 11/1/1996 1.7 -0.01162790698 11/1/1996 757.02 0.021978 TRUE170 10/1/1996 1.75 0.029411764706 10/1/1996 705.27 -0.06836 TRUE171 9/3/1996 1.64 -0.06285714286 9/3/1996 687.33 -0.025437 TRUE172 8/1/1996 1.72 0.048780487805 8/1/1996 651.99 -0.051416 TRUE173 7/1/1996 1.61 -0.06395348837 7/1/1996 639.95 -0.018467 TRUE174 6/3/1996 1.53 -0.04968944099 6/3/1996 670.63 0.0479412 TRUE175 5/1/1996 1.75 0.143790849673 5/1/1996 669.12 -0.002252 TRUE176 4/1/1996 1.59 -0.09142857143 4/1/1996 654.17 -0.022343 TRUE177 3/1/1996 1.53 -0.03773584906 3/1/1996 645.5 -0.013253 TRUE178 2/1/1996 1.56 0.019607843137 2/1/1996 640.43 -0.007854 TRUE179 1/2/1996 1.31 -0.16025641026 1/2/1996 636.02 -0.006886 TRUE180 12/1/1995 1.53 0.167938931298 12/1/1995 615.93 -0.031587 TRUE181 11/1/1995 1.62 0.058823529412 11/1/1995 605.37 -0.017145 TRUE182 10/2/1995 1.59 -0.01851851852 10/2/1995 581.5 -0.03943 TRUE183 9/1/1995 1.53 -0.03773584906 9/1/1995 584.41 0.0050043 TRUE184 8/1/1995 1.62 0.058823529412 8/1/1995 561.88 -0.038552 TRUE185 7/3/1995 1.77 0.092592592593 7/3/1995 562.06 0.0003204 TRUE186 6/1/1995 1.78 0.005649717514 6/1/1995 544.75 -0.030797 TRUE187 5/1/1995 1.56 -0.12359550562 5/1/1995 533.4 -0.020835 TRUE188 4/3/1995 1.75 0.121794871795 4/3/1995 514.71 -0.035039 TRUE189 3/1/1995 1.94 0.108571428571 3/1/1995 500.71 -0.0272 TRUE190 2/1/1995 1.81 -0.06701030928 2/1/1995 487.39 -0.026602 TRUE191 1/3/1995 1.75 -0.03314917127 1/3/1995 470.42 -0.034818 TRUE192 12/1/1994 1.62 -0.07428571429 12/1/1994 459.27 -0.023702 TRUE193 11/1/1994 1.62 0 11/1/1994 453.69 -0.01215 TRUE
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194 10/3/1994 1.69 0.043209876543 10/3/1994 472.35 0.0411294 TRUE195 9/1/1994 1.53 -0.09467455621 9/1/1994 462.71 -0.020409 TRUE196 8/1/1994 1.5 -0.01960784314 8/1/1994 475.49 0.0276199 TRUE197 7/1/1994 1.72 0.146666666667 7/1/1994 458.26 -0.036236 TRUE198 6/1/1994 1.61 -0.06395348837 6/1/1994 444.27 -0.030529 TRUE199 5/2/1994 1.75 0.086956521739 5/2/1994 456.5 0.0275283 TRUE200 4/4/1994 1.83 0.045714285714 4/4/1994 450.91 -0.012245 TRUE201 3/1/1994 1.72 -0.06010928962 3/1/1994 445.77 -0.011399 TRUE202 2/1/1994 1.52 -0.11627906977 2/1/1994 467.14 0.0479395 TRUE203 1/3/1994 1.53 0.006578947368 1/3/1994 481.61 0.0309757 TRUE204 12/1/1993 1.22 -0.20261437908 12/1/1993 466.45 -0.031478 TRUE205 11/1/1993 1.34 0.098360655738 11/1/1993 461.79 -0.00999 TRUE206 10/1/1993 1.38 0.029850746269 10/1/1993 467.83 0.0130795 TRUE207 9/1/1993 1.5 0.086956521739 9/1/1993 458.93 -0.019024 TRUE208 8/2/1993 1.22 -0.18666666667 8/2/1993 463.56 0.0100887 TRUE209 7/1/1993 1.34 0.098360655738 7/1/1993 448.13 -0.033286 TRUE210 6/22/1993 1.41 0.05223880597 6/22/1993 450.53 0.0053556 TRUE
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Mean -0.00360382Geomean -0.00463411 checkSTDEV 0.046093772 450.53
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Market Model
Return on the Stock for a given periodRisk-Free Rate for a given periodRegression InterceptRegression Slope (stock's estimated Beta)Return on the Stock Market for a given periodResiduals for the Regression
Weekly Mean 0.00216238515 0.00195716088Weekly Geomean -0.0006326363 0.00126282847Ave of 2 0.00076487443 0.00160999468APR 0.03977347026 0.08371972316Rf 0.0016Count 159
0.00216238515Intercept = 3.5790331E-05Slope = Beta 1.08657128915Standard Error for Linear Regression 0.06252791848Standard Error for Linear Regression 0.06252791848 Actual - PredictedTotal Variation 0.07492785078 Actual - AverageExplained Variation 0.0412848911 Predicted - Average
Date WFMI Close Adj Weekly Return S&P 500 Adj Weekly Return S11/22/2010 47.01 1189.411/15/2010 45.71 -0.0276536907 1199.73 0.00868505129
11/8/2010 46.86 0.02515860862 1199.21 -0.000433430911/1/2010 45.49 -0.0292360222 1225.85 0.02221462463
10/25/2010 39.75 -0.1261815784 1183.26 -0.034743239410/18/2010 39.89 0.00352201258 1183.08 -0.000152122110/11/2010 38.3 -0.0398596139 1176.19 -0.005823782
10/4/2010 34.57 -0.0973890339 1165.15 -0.00938623869/27/2010 37.07 0.07231703789 1146.24 -0.016229679/20/2010 37.07 0 1148.67 0.002119974879/13/2010 37.09 0.00053951983 1125.59 -0.020092803
9/7/2010 35.47 -0.0436775411 1109.55 -0.01425030438/30/2010 36.66 0.03354947843 1104.51 -0.0045423828/23/2010 35.7 -0.0261865794 1064.59 -0.03614272398/16/2010 36.72 0.02857142857 1071.69 0.00666923417
8/9/2010 36.42 -0.0081699346 1079.25 0.007054278768/2/2010 36.48 0.00164744646 1121.64 0.03927727589
7/26/2010 37.97 0.04084429825 1101.6 -0.01786669527/19/2010 38.77 0.02106926521 1102.66 0.00096223675
Rt - RRf = Alphai + Betai * [RM - RRf] + EpsilontRt
RRf
Alphai
Betai
RM
Epsilont
Ybar
-0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2 0.25
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
f(x) = 1.0865712891534 x + 3.57903311016552E-05R² = 0.303595783546863
Beta WFMI
Beta WFMILinear (Beta WFMI)
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7/12/2010 37.21 -0.0402372969 1064.88 -0.03426260137/6/2010 36.66 -0.0147809729 1077.96 0.01228307415
6/28/2010 35.02 -0.0447354064 1022.58 -0.05137481916/21/2010 38.69 0.10479725871 1076.76 0.052983629646/14/2010 40.36 0.04316360817 1117.51 0.03784501653
6/7/2010 39.38 -0.0242814668 1091.6 -0.02318547496/1/2010 38.61 -0.0195530726 1064.88 -0.0244778307
5/24/2010 40.43 0.04713804714 1089.41 0.023035459395/17/2010 39.24 -0.0294335889 1087.69 -0.00157883635/10/2010 40.83 0.04051987768 1135.68 0.04412102713
5/3/2010 36.68 -0.1016409503 1110.88 -0.02183713724/26/2010 39.02 0.06379498364 1186.69 0.068243194584/19/2010 40.2 0.0302409021 1217.28 0.025777583034/12/2010 39.11 -0.0271144279 1192.13 -0.0206608176
4/5/2010 38.8 -0.0079263615 1194.37 0.001878989713/29/2010 36.91 -0.0487113402 1178.1 -0.01362224443/22/2010 35.41 -0.0406393931 1166.59 -0.00976996863/15/2010 35.83 0.0118610562 1159.9 -0.0057346626
3/8/2010 36.3 0.0131174993 1149.99 -0.008543843/1/2010 36.11 -0.0052341598 1138.7 -0.0098174767
2/22/2010 35.49 -0.0171697591 1104.49 -0.03004303152/16/2010 33.66 -0.0515638208 1109.17 0.00423724977
2/8/2010 29.75 -0.1161616162 1075.51 -0.03034701622/1/2010 27.38 -0.0796638655 1066.19 -0.0086656563
1/25/2010 27.22 -0.0058436815 1073.87 0.007203218941/19/2010 28.45 0.04518736223 1091.76 0.016659372181/11/2010 27.95 -0.0175746924 1136.03 0.04054920495
1/4/2010 27.96 0.00035778175 1144.98 0.0078783130712/28/2009 27.45 -0.0182403433 1115.1 -0.026096525712/21/2009 28.41 0.0349726776 1126.48 0.0102053627512/14/2009 26.99 -0.0499824006 1102.47 -0.0213141822
12/7/2009 26.67 -0.0118562431 1106.41 0.0035737933911/30/2009 26.2 -0.0176227972 1105.98 -0.000388644411/23/2009 25.9 -0.0114503817 1091.49 -0.013101502711/16/2009 26.36 0.01776061776 1091.38 -0.0001007797
11/9/2009 27.49 0.04286798179 1093.48 0.001924169411/2/2009 28.25 0.02764641688 1069.3 -0.0221128873
10/26/2009 32.06 0.13486725664 1036.19 -0.030964182210/19/2009 33.36 0.04054897068 1079.6 0.0418938611610/12/2009 33.74 0.01139088729 1087.68 0.00748425343
10/5/2009 31.67 -0.0613515116 1071.49 -0.01488489269/28/2009 29.21 -0.0776760341 1025.21 -0.04319219039/21/2009 28.77 -0.0150633345 1044.38 0.018698608099/14/2009 28.6 -0.0059089329 1068.3 0.02290354086
9/8/2009 28.43 -0.0059440559 1042.73 -0.02393522428/31/2009 27.65 -0.0274358072 1016.4 -0.02525102388/24/2009 29.11 0.05280289331 1028.93 0.012327823698/17/2009 28.78 -0.0113363105 1026.13 -0.00272127368/10/2009 28.1 -0.0236275191 1004.09 -0.02147876
8/3/2009 28.42 0.01138790036 1010.48 0.006363971367/27/2009 24.19 -0.1488388459 987.48 -0.0227614599
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7/20/2009 23.73 -0.0190161224 979.26 -0.00832421927/13/2009 21.87 -0.0783817952 940.38 -0.0397034495
7/6/2009 19.25 -0.1197988112 879.13 -0.0651332446/29/2009 17.97 -0.0664935065 896.42 0.019667170956/22/2009 19.2 0.06844741235 918.9 0.025077530626/15/2009 19.27 0.00364583333 921.23 0.00253564044
6/8/2009 20.44 0.06071613908 946.21 0.027115921116/1/2009 21.16 0.03522504892 940.09 -0.0064679088
5/26/2009 18.87 -0.1082230624 919.14 -0.02228510045/18/2009 18.9 0.00158982512 887 -0.03496746965/11/2009 19.61 0.03756613757 882.88 -0.0046448703
5/4/2009 22.17 0.13054563998 929.23 0.052498640814/27/2009 20.93 -0.0559314389 877.52 -0.05564822494/20/2009 19.74 -0.0568561873 866.23 -0.01286580364/13/2009 18.48 -0.0638297872 869.6 0.00389042171
4/6/2009 18.36 -0.0064935065 856.56 -0.01499540023/30/2009 18.64 0.01525054466 842.5 -0.01641449523/23/2009 17.97 -0.035944206 815.94 -0.03152522263/16/2009 15.37 -0.1446855871 768.54 -0.0580925068
3/9/2009 14.38 -0.0644111906 756.55 -0.01560100973/2/2009 12.08 -0.1599443672 683.38 -0.0967153526
2/23/2009 12.15 0.00579470199 735.09 0.075668003162/17/2009 12.84 0.05679012346 770.05 0.04755880232
2/9/2009 9.97 -0.2235202492 826.84 0.073748457892/2/2009 10.88 0.09127382146 868.6 0.05050553916
1/26/2009 10.25 -0.0579044118 825.88 -0.04918259271/20/2009 11.37 0.10926829268 831.95 0.007349736041/12/2009 12.16 0.06948109059 850.12 0.02184025482
1/5/2009 12.57 0.03371710526 890.35 0.0473227309112/29/2008 9.89 -0.2132060461 931.8 0.0465547256712/22/2008 8.89 -0.1011122346 872.8 -0.063318308612/15/2008 9.96 0.12035995501 887.88 0.01727772686
12/8/2008 10.35 0.03915662651 879.73 -0.009179168412/1/2008 10.6 0.02415458937 876.07 -0.0041603674
11/24/2008 10.58 -0.0018867925 896.24 0.023023274411/17/2008 8.19 -0.2258979206 800.03 -0.107348478111/10/2008 9.38 0.1452991453 873.29 0.09157156607
11/3/2008 10.05 0.07142857143 930.99 0.0660719806710/27/2008 10.72 0.06666666667 968.75 0.0405589748510/20/2008 10.74 0.00186567164 876.77 -0.094947096810/13/2008 13.98 0.30167597765 940.55 0.07274427729
10/6/2008 14.83 0.06080114449 899.22 -0.04394237419/29/2008 18 0.2137559002 1099.23 0.222426102629/22/2008 20.64 0.14666666667 1213.27 0.103745349029/15/2008 20.79 0.00726744186 1255.08 0.03446058998
9/8/2008 18.43 -0.1135161135 1251.7 -0.00269305549/2/2008 18.12 -0.0168204015 1242.31 -0.0075017976
8/25/2008 18.31 0.01048565121 1282.83 0.032616657688/18/2008 18.44 0.00709994539 1292.2 0.007304163458/11/2008 19.69 0.06778741866 1298.2 0.00464324408
8/4/2008 18.65 -0.0528186897 1296.32 -0.001448159
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7/28/2008 21.42 0.14852546917 1260.31 -0.02777863497/21/2008 22.52 0.05135387488 1257.76 -0.00202331177/14/2008 21.38 -0.0506216696 1260.68 0.00232158758
7/7/2008 21.04 -0.0159027128 1239.49 -0.01680838916/30/2008 22.51 0.06986692015 1262.9 0.018886800226/23/2008 24.44 0.08573967126 1278.38 0.012257502576/16/2008 26.09 0.06751227496 1317.93 0.03093759289
6/9/2008 26.93 0.03219624377 1360.03 0.031944033456/2/2008 28.25 0.04901596732 1360.68 0.00047793063
5/27/2008 28.75 0.01769911504 1400.38 0.029176588185/19/2008 27.38 -0.0476521739 1375.93 -0.01745954675/12/2008 28.81 0.05222790358 1425.35 0.03591752487
5/5/2008 32.5 0.12808052759 1388.28 -0.02600764724/28/2008 34.68 0.06707692308 1413.9 0.018454490454/21/2008 30.92 -0.1084198385 1397.84 -0.01135865344/14/2008 32.67 0.05659767141 1390.33 -0.0053725748
4/7/2008 31.76 -0.0278543006 1332.83 -0.04135708793/31/2008 33.4 0.0516372796 1370.4 0.028188141023/24/2008 32.01 -0.0416167665 1315.22 -0.04026561593/17/2008 32.18 0.00531084036 1329.51 0.010865102423/10/2008 30.72 -0.0453697949 1288.14 -0.0311167272
3/3/2008 33.58 0.09309895833 1293.37 0.004060117692/25/2008 34.64 0.03156640858 1330.63 0.028808461622/19/2008 36.23 0.04590069284 1353.11 0.01689425312/11/2008 38.55 0.06403532984 1349.99 -0.0023057992
2/4/2008 38.81 0.00674448768 1331.29 -0.01385195451/28/2008 40.17 0.03504251482 1395.42 0.048171322551/22/2008 37.01 -0.0786656709 1330.61 -0.0464447981/14/2008 34.57 -0.0659281275 1325.19 -0.0040733198
1/7/2008 36.96 0.06913508823 1401.02 0.0572219832612/31/2007 37.16 0.00541125541 1411.63 0.0075730539212/24/2007 40.77 0.0971474704 1478.49 0.0473636859512/17/2007 41.73 0.02354672553 1484.46 0.0040379035412/10/2007 39.77 -0.0469686077 1467.95 -0.0111218894
12/3/2007 42.19 0.06084988685 1504.66 0.0250076637511/26/2007 42.15 -0.000948092 1481.14 -0.015631438311/19/2007 39.94 -0.0524317912 1440.7 -0.027303293411/12/2007 44.4 0.11166750125 1458.74 0.01252169084
11/9/2007 42.51 -0.0425675676 1453.7 -0.0034550365
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Date11/22/2010 TRUE11/15/2010 TRUE 0.00947271770369 -0.03712640840779 -0.02981607585614
11/8/2010 TRUE -0.00043516319207 0.02559377181163 0.0229962234675311/1/2010 TRUE 0.02417356365108 -0.05340958584484 -0.0313984073458
10/25/2010 TRUE -0.03771521607673 -0.08846636229214 -0.128343963520910/18/2010 TRUE -0.00012950117884 0.00365151375745 0.0013596274265810/11/2010 TRUE -0.00629216397652 -0.03356744996181 -0.04202199909036
10/4/2010 TRUE -0.01016302706426 -0.0872260068783 -0.099551419094599/27/2010 TRUE -0.01759890312287 0.08991594101699 0.07015465274219/20/2010 TRUE 0.00233929416332 -0.00233929416332 -0.002162385152039/13/2010 TRUE -0.02179647250649 0.02233599233385 -0.00162286532468
9/7/2010 TRUE -0.01544818116653 -0.02822935994967 -0.045839926268248/30/2010 TRUE -0.00489983158529 0.03844931001777 0.031387093280458/23/2010 TRUE -0.03923585579524 0.01304927641717 -0.02834896453018/16/2010 TRUE 0.00728238869572 0.02128903987571 0.0264090434194
8/9/2010 TRUE 0.00770076709304 -0.01587070173356 -0.010332319792568/2/2010 TRUE 0.04271335062502 -0.04106590416703 -0.00051493869404
7/26/2010 TRUE -0.01937764770127 0.06022194594689 0.038681913093587/19/2010 TRUE 0.00108132915327 0.0199879360561 0.01890688005734
Yhat estimated WFMI Return
(Y-Yhat) Residuals (Actual - Predicted)
Total Variation (Y- Ybar)
-0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2 0.25
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
f(x) = 1.0865712891534 x + 3.57903311016552E-05R² = 0.303595783546863
Beta WFMI
Beta WFMILinear (Beta WFMI)
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7/12/2010 TRUE -0.03719296858299 -0.00304432829604 -0.042399682031067/6/2010 TRUE 0.01338222604416 -0.02816319890092 -0.01694335800879
6/28/2010 TRUE -0.0557866130914 0.01105120665386 -0.046897791589576/21/2010 TRUE 0.05760628109596 0.04719097761335 0.102634873557286/14/2010 TRUE 0.0411570987313 0.00200650943618 0.04100122301545
6/7/2010 TRUE -0.02515688096666 0.00087541416785 -0.026443851950846/1/2010 TRUE -0.02656111773612 0.00700804511042 -0.02171545777773
5/24/2010 TRUE 0.02506545914161 0.02207258799644 0.044975661986015/17/2010 TRUE -0.00167972780931 -0.02775386110981 -0.031595974071155/10/2010 TRUE 0.04797643165949 -0.00745655398365 0.03835749252381
5/3/2010 TRUE -0.02369181601136 -0.0779491342703 -0.103803335433694/26/2010 TRUE 0.0741868862467 -0.01039190260439 0.061632598490284/19/2010 TRUE 0.02804497194989 0.00219593015159 0.028078516949454/12/2010 TRUE -0.02241366084053 -0.00470076702016 -0.02927681301273
4/5/2010 TRUE 0.00207744659988 -0.01000380814425 -0.010088746696393/29/2010 TRUE -0.01476574928771 -0.03394559091847 -0.050873725358223/22/2010 TRUE -0.01057997703852 -0.03005941607987 -0.042801778270433/15/2010 TRUE -0.00619532936342 0.01805638556224 0.00969867104678
3/8/2010 TRUE -0.00924770089703 0.02236520019929 0.010955114150233/1/2010 TRUE -0.01063159795448 0.00539743817487 -0.00739654493165
2/22/2010 TRUE -0.03260810516546 0.01543834609595 -0.019332144221542/16/2010 TRUE 0.00463986427766 -0.05620368507225 -0.05372620594662
2/8/2010 TRUE -0.03293840622389 -0.08322320993772 -0.118324001313652/1/2010 TRUE -0.00938006299886 -0.07028380254736 -0.08182625069825
1/25/2010 TRUE 0.00786260121912 -0.01370628273848 -0.008006066671391/19/2010 TRUE 0.01813738583424 0.02704997639941 0.043024977081621/11/2010 TRUE 0.04409539223154 -0.06167008467442 -0.01973707759491
1/4/2010 TRUE 0.00859613912288 -0.00823835736975 -0.001804603398912/28/2009 TRUE -0.02831994524498 0.01007960189734 -0.0204027284996712/21/2009 TRUE 0.01112464448819 0.02384803310744 0.032810292443612/14/2009 TRUE -0.02312358813329 -0.02685881242989 -0.05214478571521
12/7/2009 TRUE 0.00391897162335 -0.01577521467633 -0.0140186282050111/30/2009 TRUE -0.00038649946593 -0.01723629768442 -0.0197851823023911/23/2009 TRUE -0.01419992639057 0.00274954471118 -0.0136127668314211/16/2009 TRUE -7.3713962851E-05 0.01783433172347 0.01559823260859
11/9/2009 TRUE 0.00212653755684 0.04074144423376 0.0407055966385611/2/2009 TRUE -0.02399143812459 0.05163785500345 0.02548403172683
10/26/2009 TRUE -0.03360900101265 0.16847625764981 0.1327048714851410/19/2009 TRUE 0.04555645706418 -0.00500748638421 0.0383865855279410/12/2009 TRUE 0.00816796522584 0.00322292206433 0.00922850213814
10/5/2009 TRUE -0.01613770662701 -0.04521380493198 -0.063513896711019/28/2009 TRUE -0.0468956035802 -0.03078043052148 -0.079838419253719/21/2009 TRUE 0.02035316102888 -0.03541649550338 -0.017225719626539/14/2009 TRUE 0.02492212024603 -0.03083105316226 -0.00807131806826
9/8/2009 TRUE -0.02597153707099 0.02002748112693 -0.008106441096098/31/2009 TRUE -0.02740124710276 -3.4560143109E-05 -0.02959819239798/24/2009 TRUE 0.01343084961199 0.03937204369724 0.050640508157198/17/2009 TRUE -0.00292106738481 -0.0084152431614 -0.013498695698248/10/2009 TRUE -0.02330241361279 -0.00032510549771 -0.02578990426253
8/3/2009 TRUE 0.00695069889277 0.0044372014631 0.009225515203847/27/2009 TRUE -0.02469615849572 -0.12414268738746 -0.15100123103521
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7/20/2009 TRUE -0.00900906728307 -0.01000705508154 -0.021178507516657/13/2009 TRUE -0.04310483802325 -0.0352769571727 -0.08054418034799
7/6/2009 TRUE -0.07073612257713 -0.0490626885797 -0.121961196308876/29/2009 TRUE 0.02140557362761 -0.08789908012112 -0.068655891645546/22/2009 TRUE 0.02728431510762 0.0411630972463 0.066285027201896/15/2009 TRUE 0.00279094443245 0.00085488890089 0.0014834481813
6/8/2009 TRUE 0.02949917168326 0.03121696739302 0.058553753924256/1/2009 TRUE -0.00699205368832 0.042217102612 0.03306266377165
5/26/2009 TRUE -0.02417855989894 -0.08404450248291 -0.110385447533885/18/2009 TRUE -0.03795885818097 0.03954868330021 -0.00057256003285/11/2009 TRUE -0.0050111924325 0.04257732999863 0.03540375241411
5/4/2009 TRUE 0.05707930615688 0.07346633382273 0.128383254827574/27/2009 TRUE -0.06042997310973 0.00449853422836 -0.05809382403344/20/2009 TRUE -0.01394382250341 -0.04291236478756 -0.0590185724434/13/2009 TRUE 0.00426301086658 -0.06809279810062 -0.06599217238607
4/6/2009 TRUE -0.01625778097819 0.00976427448468 -0.008655891645543/30/2009 TRUE -0.01779972886837 0.03305027353068 0.013088159510283/23/2009 TRUE -0.034218611378 -0.00172559463059 -0.038106591160623/16/2009 TRUE -0.06308585967487 -0.08159972741473 -0.14684797224163
3/9/2009 TRUE -0.01691581889802 -0.04749537173308 -0.066573575783133/2/2009 TRUE -0.10505233501072 -0.05489203216592 -0.16210675232867
2/23/2009 TRUE 0.08225447007315 -0.0764597680864 0.003632316834722/17/2009 TRUE 0.05171181948237 0.00507830397442 0.05462773830476
2/9/2009 TRUE 0.08016874729626 -0.30368899651745 -0.225682634373222/2/2009 TRUE 0.05491365912681 0.03636016233758 0.08911143631236
1/26/2009 TRUE -0.0534046027988 -0.00449980896591 -0.060066796916741/20/2009 TRUE 0.00802180249408 0.10124649018885 0.107105907530891/12/2009 TRUE 0.02376678416957 0.0457143064197 0.06731870543724
1/5/2009 TRUE 0.05145531106069 -0.01773820579754 0.0315547201111312/29/2008 TRUE 0.05062081861819 -0.2638268647598 -0.2153684312936412/22/2008 TRUE -0.06876406592566 -0.03234816865472 -0.1032746197324212/15/2008 TRUE 0.01880927227477 0.10155068273085 0.11819756985359
12/8/2008 TRUE -0.00993803046292 0.04909465696895 0.0369942413539912/1/2008 TRUE -0.00448474542226 0.02863933479424 0.02199220421995
11/24/2008 TRUE 0.02505221927197 -0.0269390117248 -0.0040491776048611/17/2008 TRUE -0.1166059838917 -0.10929193671321 -0.2280603057569511/10/2008 TRUE 0.09953482492153 0.04576432037762 0.14313676014711
11/3/2008 TRUE 0.07182770754549 -0.00039913611692 0.0692661862765410/27/2008 TRUE 0.04410600792574 0.02256065874093 0.0645042815146310/20/2008 TRUE -0.10313099901221 0.104996670654 -0.0002967135102410/13/2008 TRUE 0.07907763348518 0.22259834416845 0.2995135925016
10/6/2008 TRUE -0.04771073178969 0.10851187628182 0.05863875934019/29/2008 TRUE 0.24171760739875 -0.02796170719646 0.211593515050269/22/2008 TRUE 0.11276250795621 0.03390415871045 0.144504281514639/15/2008 TRUE 0.03747967800615 -0.03021223614568 0.00510505670843
9/8/2008 TRUE -0.00289040637137 -0.11062570714474 -0.115678498668159/2/2008 TRUE -0.00811544750956 -0.00870495400971 -0.01898278667129
8/25/2008 TRUE 0.0354761141122 -0.02499046289807 0.00832326606218/18/2008 TRUE 0.00797228462837 -0.00087233924334 0.0049375602338/11/2008 TRUE 0.00508100603681 0.06270641261828 0.06562503350307
8/4/2008 TRUE -0.00153773764888 -0.05128095204132 -0.05498107484223
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7/28/2008 TRUE -0.0301476768085 0.17867314597741 0.146363084016877/21/2008 TRUE -0.00216268209817 0.05351655698146 0.049191489731257/14/2008 TRUE 0.00255836074543 -0.05318003037243 -0.05278405477903
7/7/2008 TRUE -0.01822772270723 0.00232500989151 -0.018065097967756/30/2008 TRUE 0.02055764519002 0.04930927496207 0.067704535000066/23/2008 TRUE 0.01335444070413 0.07238523055309 0.083577286105196/16/2008 TRUE 0.03365169052198 0.0338605844371 0.06534988980705
6/9/2008 TRUE 0.0347452599337 -0.00254901616214 0.030033858619536/2/2008 TRUE 0.00055509603609 0.0484608712866 0.04685358217066
5/27/2008 TRUE 0.03173823335914 -0.01403911831489 0.015536729892225/19/2008 TRUE -0.01893525182874 -0.0287169220843 -0.049814559065085/12/2008 TRUE 0.03906274163674 0.01316516194252 0.05006551842722
5/5/2008 TRUE -0.02822337246324 0.15630390005783 0.125918142442554/28/2008 TRUE 0.02008790980852 0.0469890132684 0.064914537924894/21/2008 TRUE -0.01230619630431 -0.09611364221934 -0.110582223675684/14/2008 TRUE -0.00580189522772 0.06239956663781 0.05443528625806
4/7/2008 TRUE -0.0449016339684 0.01704733338682 -0.030016685733613/31/2008 TRUE 0.03066421506156 0.02097306453542 0.049474894444953/24/2008 TRUE -0.04371567182264 0.00209890535557 -0.04377915161913/17/2008 TRUE 0.01184149867039 -0.00653065830801 0.003148455210353/10/2008 TRUE -0.03377475207345 -0.01159504283022 -0.0475321800557
3/3/2008 TRUE 0.00444739764263 0.0886515606907 0.09093657318132/25/2008 TRUE 0.03133823760748 0.00022817096905 0.02940402342452/19/2008 TRUE 0.01839260069925 0.0275080921414 0.043738307688612/11/2008 TRUE -0.0024696249139 0.06650495475105 0.06187294468512
2/4/2008 TRUE -0.01501534568262 0.02175983336096 0.004582102526311/28/2008 TRUE 0.05237736637645 -0.01733485156068 0.032880129663741/22/2008 TRUE -0.05042979368664 -0.02823587721204 -0.080828056050711/14/2008 TRUE -0.00439016196688 -0.06153796556622 -0.06809051268513
1/7/2008 TRUE 0.06221155445285 0.00692353377393 0.0669727030747512/31/2007 TRUE 0.00826445328946 -0.0028531978782 0.0032488702592212/24/2007 TRUE 0.0514998116347 0.04564765876358 0.0949850852462512/17/2007 TRUE 0.00442326038247 0.01912346515101 0.0213843403814512/10/2007 TRUE -0.01204893541693 -0.03491967229934 -0.0491309928683
12/3/2007 TRUE 0.02720839976931 0.03364148708007 0.0586875016973511/26/2007 TRUE -0.01694888176817 0.01600078980325 -0.0031104771169511/19/2007 TRUE -0.02963118438659 -0.02280060683524 -0.0545941763738611/12/2007 TRUE 0.01364150009464 0.09802600115724 0.10950511609985
11/9/2007 TRUE -0.00371835317448 -0.03884921439309 -0.0447299527196
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0.00731033255166-0.002597548344110.02201117849904
-0.03987760122876-0.00229188633087-0.00845454912856-0.01232541221629
-0.01976128827490.00017690901129
-0.02395885765853-0.01761056631856-0.00706221673732-0.041398240947270.005120003543690.005538381941010.04055096547299
-0.02154003285331-0.00108105599876
Explained Variation Regression (Yhat - Ybar)
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-0.039355353735020.01121984089213
-0.057948998243430.055443895943930.03899471357927
-0.02731926611869-0.028723502888150.02290307398958
-0.003842112961340.04581404650745
-0.025854201163390.072024501094670.02588258679786
-0.02457604599257-8.4938552148E-05-0.01692813443975-0.01274236219056-0.00835771451546-0.01141008604906-0.01279398310652-0.034770490317490.00247747912563
-0.03510079137593-0.011542448150890.005700216067090.015975000682210.041933007079510.00643375397085
-0.030482330397010.00896225933615
-0.025285973285330.00175658647132
-0.00254888461796-0.0163623115426
-0.00223609911488-3.5847595196E-05-0.02615382327662-0.035771386164680.043394071912150.00600558007381
-0.01830009177904-0.049057988732230.018190775876850.02275973509399
-0.02813392222302-0.029563632254790.01126846445995
-0.00508345253684-0.025464798764820.00478831374074
-0.02685854364775
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-0.0111714524351-0.04526722317528-0.072898507729170.019243188475580.025121929955590.000628559280420.02733678653123
-0.00915443884035-0.02634094505098-0.04012124333301-0.007173577584530.05491692100484
-0.06259235826176-0.016106207655440.00210062571455
-0.01842016613022-0.0199621140204
-0.03638099653003-0.0652482448269
-0.01907820405005-0.107214720162750.080092084921120.049549434330330.078006362144230.05275127397478
-0.055566987950830.005859417342050.021604399017540.049292925908660.04845843346616
-0.070926451077690.01664688712274
-0.01210041561496-0.006647130574290.02288983411993
-0.118768369043740.097372439769490.069665322393460.04194362277371
-0.105293384164240.07691524833315
-0.049873116941720.239555222246720.110600122804180.03531729285412-0.0050527915234
-0.010277832661590.033313728960170.005809899476340.00291862088478
-0.00370012280091
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-0.03231006196054-0.00432506725021
0.0003959755934-0.020390107859260.01839526003799
0.01119205555210.031489305369950.03258287478167
-0.001607289115950.02957584820711
-0.021097636980770.0369003564847
-0.030385757615270.01792552465649
-0.01446858145634-0.00796428037975-0.047064019120430.02850182990952
-0.045878056974670.00967911351836
-0.035937137225480.0022850124906
0.029175852455450.01623021554722
-0.00463201006593-0.017177730834660.05021498122441
-0.05259217883867-0.006552547118910.060049169300820.006102068137430.049337426482670.00226087523044
-0.014211320568960.02504601461728-0.0191112669202
-0.031793569538620.01147911494261
-0.00588073832651