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BD_DC12 - 5 Excess Returns Date AAPL 3-Apr-06 1-Mar-06...

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5. Excess Returns Date AAPL ADM BA C CAT DE HSY MOT 3-Apr-06 -0.1 0.17 0 -0.01 -0.02 -0.01 0.07 -0.01 1-Mar-06 0.12 0.08 0.07 0.06 0.05 0.11 0.02 -0.07 1-Feb-06 -0.09 0.06 0.07 0.02 -0.02 0.04 0.02 0.07 3-Jan-06 -0.1 0.01 0.06 0 0.07 0.06 0 -0.06 1-Dec-05 0.05 0.27 -0.03 -0.04 0.18 0.05 -0.08 0 1-Nov-05 0.06 0.04 0.03 0 0 -0.02 0.02 -0.06 3-Oct-05 0.17 -0.03 0.06 0.07 0.1 0.14 -0.04 0.08 1-Sep-05 0.07 -0.01 -0.05 0 -0.1 -0.01 0.01 0 1-Aug-05 0.14 0.09 0.01 0.04 0.06 -0.06 -0.05 0.01 1-Jul-05 0.1 -0.02 0.02 0 0.03 -0.11 -0.07 0.03 1-Jun-05 0.16 0.07 0 -0.05 0.13 0.12 0.03 0.16 2-May-05 -0.08 0.07 0.03 -0.02 0.01 -0.01 -0.04 0.05 1-Apr-05 0.1 0.11 0.08 0 0.07 0.06 0.01 0.13 1-Mar-05 -0.14 -0.27 0.02 0.05 -0.03 -0.07 0.05 0.02 1-Feb-05 -0.07 0.02 0.06 -0.06 -0.04 -0.05 -0.04 -0.04 3-Jan-05 0.16 0 0.09 -0.02 0.06 0.02 0.08 -0.01 1-Dec-04 0.19 0.08 -0.02 0.02 -0.08 -0.07 0.05 -0.09 1-Nov-04 -0.04 0.05 -0.04 0.07 0.06 0.04 0.07 0 1-Oct-04 0.28 0.1 0.08 0.01 0.14 0.2 0.02 0.11 1-Sep-04 0.35 0.14 -0.03 0.01 0 -0.08 0.08 -0.04 2-Aug-04 0.12 0.06 -0.01 -0.05 0.11 0.02 -0.03 0.12 1-Jul-04 0.07 0.04 0.03 0.06 -0.01 0.01 0 0.01 1-Jun-04 -0.01 -0.08 -0.01 -0.04 -0.07 -0.11 0.05 -0.13 3-May-04 0.16 0.01 0.11 0 0.05 0.07 0.04 -0.08 1-Apr-04 0.09 -0.05 0.08 -0.04 -0.03 -0.04 0 0.08 1-Mar-04 -0.05 0.04 0.04 -0.06 -0.01 -0.02 0.07 0.04 2-Feb-04 0.13 -0.02 -0.05 0.03 0.04 0.08 0 -0.04 2-Jan-04 0.06 0.1 0.04 0.01 -0.03 0.03 0.1 0.11 1-Dec-03 0.05 0.03 -0.01 0.03 -0.06 -0.04 -0.02 0.18 3-Nov-03 0.02 0.06 0.1 0.03 0.09 0.07 -0.01 0 1-Oct-03 -0.09 0 0 -0.01 0.04 0.01 0.01 0.04 2-Sep-03 0.1 0.09 0.12 0.05 0.07 0.14 0.06 0.13 1-Aug-03 -0.08 -0.06 -0.08 0.05 -0.04 -0.05 0.04 0.12 1-Jul-03 0.07 0.06 0.13 -0.03 0.06 0.11 -0.04 0.19 2-Jun-03 0.11 0.02 -0.04 0.05 0.22 0.11 0.04 -0.04 1-May-03 0.06 0.07 0.12 0.04 0.07 0.05 -0.02 0.11 1-Apr-03 0.26 0.09 0.13 0.05 -0.01 -0.01 0.09 0.08 3-Mar-03 0 0.02 0.09 0.14 0.08 0.12 0.04 -0.04 3-Feb-03 -0.06 -0.01 -0.09 0.03 0.05 -0.05 -0.03 -0.01 2-Jan-03 0.04 -0.09 -0.12 -0.03 0.07 -0.02 0.01 0.05 2-Dec-02 0 -0.03 -0.04 -0.02 -0.03 -0.08 -0.04 -0.08 1-Nov-02 -0.08 -0.07 -0.03 -0.1 -0.08 -0.1 0.05 -0.23 1-Oct-02 -0.04 -0.02 0.15 0.05 0.22 0.1 -0.01 0.22 3-Sep-02 0.11 0.09 -0.13 0.25 0.11 0.02 0.05 -0.1 1-Aug-02 -0.02 0.02 -0.08 -0.1 -0.15 -0.01 -0.18 -0.15 1-Jul-02 -0.03 0.05 -0.1 0.05 -0.03 0.09 -0.03 0.03 3-Jun-02 -0.14 -0.09 -0.08 -0.14 -0.08 -0.12 0.25 -0.21 1-May-02 -0.24 -0.12 0.05 -0.1 -0.06 0.02 -0.06 -0.09 1-Apr-02 -0.04 0.1 -0.04 0 -0.04 0.05 -0.02 0.04 1-Mar-02 0.02 -0.05 -0.08 -0.13 -0.03 -0.02 -0.01 0.08
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1-Feb-02 0.09 0 0.05 0.09 0.02 -0.05 -0.03 0.09 2-Jan-02 -0.12 0 0.13 -0.05 0.1 0.09 0.01 -0.03 3-Dec-01 0.13 -0.03 0.05 -0.06 -0.03 0.01 0.04 -0.12 1-Nov-01 0.03 -0.07 0.1 0.05 0.1 0.1 0.03 -0.09 1-Oct-01 0.21 0.11 0.08 0.05 0.06 0.08 0.03 0.01 4-Sep-01 0.13 0.1 -0.03 0.12 0 -0.02 -0.03 0.05 1-Aug-01 -0.17 -0.07 -0.35 -0.12 -0.11 -0.13 0.01 -0.11 2-Jul-01 -0.02 0.05 -0.13 -0.09 -0.1 0.03 0.07 -0.07 1-Jun-01 -0.19 0.02 0.05 -0.05 0.1 0.11 -0.03 0.13 24-May-01 0.16 -0.04 -0.12 0.03 -0.08 0.02 0.01 0.13 Std. Dev 0.12 0.08 0.09 0.07 0.08 0.07 0.06 0.1 Variance 0.01 0.01 0.01 0 0.01 0.01 0 0.01 Correlation 0.49 0.43 0.5 0.76 0.69 0.53 0.08 0.47 Covar 0 0 0 0 0 0 0 0 6. Beta 1.51 0.89 1.12 1.3 1.4 0.99 0.12 1.17 Exp. Returns 1-mo Eurodollar 5.30% Premium 4.50% 7. Exp Ret 12.07% 9.29% 10.34% 11.16% 11.60% 9.77% 5.86% 10.54% 8. Portfolios Portfolios Weights AAPL ADM BA C CAT DE HSY MOT Equal Wtd 0.08 0.08 0.08 0.08 0.08 0.08 0.08 0.08 10% Return 0.02 0.08 -0.01 -0.05 -0.01 0.01 0.12 0.02 Exp Ret 12.07% 9.29% 10.34% 11.16% 11.60% 9.77% 5.86% 10.54% Beta 1.51 0.89 1.12 1.3 1.4 0.99 0.12 1.17 Wt * Beta Equal Wtd 0.13 0.07 0.09 0.11 0.12 0.08 0.01 0.1 10% Return 0.03 0.07 -0.01 -0.06 -0.02 0.01 0.02 0.03
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PG SIRI WMT YHOO SP 500 -0.06 -0.11 0 0 -0.03 0.01 -0.08 0.02 0.01 0.01 -0.04 -0.01 -0.02 0 0.01 0.01 -0.1 0.05 -0.07 0 0.02 -0.16 -0.02 -0.13 0.02 0.01 -0.07 0 -0.03 0 0.02 0.14 -0.01 0.08 0.03 -0.06 -0.05 -0.03 0.09 -0.02 0.07 -0.05 -0.02 0.01 0 -0.01 0.01 0.03 0 -0.01 0.06 0.05 0.03 -0.04 0.03 -0.05 0.08 0 -0.07 0 0.02
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