69 081 089 154 401 8192013 014 200 137 108 002

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-2.69% 0.81% -0.89% -1.54% -4.01% 8/19/2013 0.14% -2.00% -1.37% -1.08% 0.02% 8/12/2013 -2.15% -4.65% -2.80% -3.29% -0.43% 8/5/2013 0.43% -1.58% -0.15% -2.17% -2.87% 7/29/2013 1.11% 1.87% -1.04% 1.67% 2.23% 7/22/2013 -0.47% -1.45% -1.10% 0.65% -2.14% 7/15/2013 -0.22% -0.81% 0.15% 2.46% 4.18% 7/8/2013 4.02% 2.83% 1.25% 2.38% 1.32% 7/1/2013 1.74% 1.05% 1.02% 2.31% 1.92% 6/24/2013 -0.57% 4.83% 0.88% 3.15% 0.75% 6/17/2013 -0.77% -3.68% -0.76% -2.03% 1.97% 6/10/2013 0.36% -2.27% -2.62% 0.00% -2.68% 6/3/2013 1.28% 0.10% 3.49% 0.86% 1.71% 5/27/2013 -6.46% -0.42% -5.47% -2.34% 0.77% 5/20/2013 2.30% 2.73% -1.71% -1.45% 0.90% 5/13/2013 1.59% 1.11% 1.93% 2.68% 5.53% 5/6/2013 0.73% 2.73% -0.21% 0.01% 0.77% 4/29/2013 2.14% 0.83% 0.33% 0.74% -0.37% 4/22/2013 -5.46% -0.88% -1.32% 0.74% 3.19%
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4/15/2013 1.67% 0.51% 3.77% 2.09% -1.41% 4/8/2013 2.34% 4.96% 2.46% 0.85% 0.16% 4/1/2013 1.51% 0.40% -0.89% 0.62% 0.43% 3/25/2013 -0.27% 0.32% 0.99% 2.22% -0.57% 3/18/2013 1.21% 1.28% 3.79% 0.69% -2.65% 3/11/2013 -1.09% -3.30% -1.00% 1.27% 4.55% 3/4/2013 0.90% 3.33% 1.33% 1.92% 3.09% 2/25/2013 -0.65% 5.13% 0.47% 1.39% -1.21% 2/18/2013 0.59% -2.92% 2.90% 0.12% 1.86% 2/11/2013 1.04% 0.76% -3.54% 0.90% 0.80% 2/4/2013 -0.22% -0.43% 3.22% 1.74% 0.00% 1/28/2013 3.58% -0.77% 1.31% 0.35% -0.03% 1/21/2013 5.43% 3.53% -1.74% 0.94% 0.60% 1/14/2013 1.03% 2.74% 2.12% 1.21% -0.49% 1/7/2013 0.19% 0.82% -2.01% 1.11% 0.46% 12/31/2012 2.85% 4.09% 4.59% 2.94% 2.99% 12/24/2012 -2.31% -1.10% -2.53% -1.13% -1.67% 12/17/2012 -1.75% -1.20% -2.07% -0.60% 3.93% 12/10/2012 -0.51% -3.78% -0.13% 0.34% -0.24% 12/3/2012 0.66% -0.51% 0.13% 1.03% 0.66% 11/26/2012 0.34% 0.38% -0.03% 1.12% -0.57% 11/19/2012 4.06% 4.25% 3.68% 0.53% 3.87% 11/12/2012 -0.28% 1.89% 0.74% -0.98% -0.63% Average 0.164% 0.418% 0.152% 0.322% 0.253% Standard Deviation 1.86% 2.34% 1.96% 1.80% 2.49% Variance 0.0003443 0.0005464 0.000385 0.0003239 0.0006203 Average Correlation 0.3752902 =AVERAGEIF(B273:K282,"<1") PG HD KO JNJ WFC PG 0.9961686 0.343457 0.5039003 0.4617847 0.1765078 HD 0.343457 0.9961686 0.3441758 0.4476004 0.4504119 KO 0.5039003 0.3441758 0.9961686 0.4100365 0.2027488 JNJ 0.4617847 0.4476004 0.4100365 0.9961686 0.3891462 WFC 0.1765078 0.4504119 0.2027488 0.3891462 0.9961686 GOOG 0.2768248 0.3550338 0.3129381 0.3578308 0.3655844 MSFT 0.3108636 0.352873 0.3596617 0.3518822 0.3191124 AAPL 0.1689494 0.2338808 0.2049916 0.1509157 0.2313488 AMZN 0.1294639 0.3650649 0.2653528 0.2595856 0.2326494 LUV 0.0793415 0.3047283 0.1515612 0.2728422 0.3407282 Uses the array formula {=MMULT(TRANSPOSE(B3:K263-B265:K265),B3:K263- B265:K265)/261/MMULT(TRANSPOSE(B266:K266),B266:K266)} to compute the correlations.
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PG HD KO JNJ WFC PG 0.0003443 0.0001628 0.0001366 0.0001253 0.0001734 HD 0.0001628 0.0005464 0.0001721 0.0001579 0.0002185 KO 0.0001366 0.0001721 0.000385 0.0001325 0.0001834 JNJ 0.0001253 0.0001579 0.0001325 0.0003239 0.0001682 WFC 0.0001734 0.0002185 0.0001834 0.0001682 0.0006203 GOOG 0.0002233 0.0002812 0.0002361 0.0002165 0.0002996 MSFT 0.0002167 0.0002729 0.0002291 0.0002101 0.0002908 AAPL 0.0002469 0.000311 0.000261 0.0002394 0.0003313 AMZN 0.0002662 0.0003353 0.0002815 0.0002582 0.0003573 LUV 0.000264 0.0003325 0.0002791 0.000256 0.0003543 PG 0.3330917 GMVP Statistics HD 0.1223338 Mean retur 0.19% =MMULT(B2 KO 0.2704718 Variance 0.02% {=MMULT(M JNJ 0.3712902 Sigma 1.37% =SQRT(E30 WFC 0.0832716 GOOG -0.018865 MSFT -0.010319 AAPL -0.042211 AMZN -0.055176 LUV -0.053889 Uses the array formula {=IF(A288:A297=B287:K287,B267:K267,MMULT(TRANSPOSE(B266:K266),B266:K266)*B268)} the constant correlation matrix "Uses formula "{=MMULT(MINVERSE(B288:K297),IF(A303:A312=A303:A312,1,0))/SUM(MMULT(MINVERSE(B2 A303:A312,1,0)))}" to compute the global minimum variance portfolio"
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GOOG MSFT AAPL AMZN LUV -0.12% -0.06% 1.94% 1.56% -1.26% 1.29% 0.39% 5.63% 0.96% 0.06% 3.10% 6.15% 4.26% 11.34% -9.28% -0.15% 1.69% -0.47% -2.02% 0.42% 1.10% 1.94% 1.08% 1.34% 1.16% 2.04% 2.01% 0.76% 2.89% 4.30% 3.24% 0.11% 1.46% 0.65% 1.89% 0.89% -1.20% -5.13% -3.26% 0.38% -0.67% 1.78% 0.78% 2.14% 3.44% -1.16% 0.05% -3.36% -1.27% 1.29% 2.31% 1.53% 2.59% 3.43% -0.70% 0.57% 0.99% 1.49% -1.39% -0.93% -0.41% -0.01% 0.40% -0.99% -1.81% -1.47% -0.25% 0.69% -2.00% -4.41% -1.45% -0.49% 4.51% -3.23% 0.04% -3.28% -1.02% -0.51% -0.55% -6.37% 1.76% 1.38% 0.82% 2.35% -2.70% 3.99% 4.67% 3.32% 2.33% -3.66% 1.08% 0.77% 0.11% 1.11% 3.32% -6.07% -3.25% -1.56% -3.63% 0.35% 2.71% 1.71% 2.78% 1.61% 2.67% -1.06% -0.46% -4.61% 0.96% 1.59% -2.68% -2.03% -4.25% -2.86% -1.50% 0.42% 2.54% 1.19% 1.09% -0.51% 3.93% 3.87% 0.36% 3.68% 4.43% 0.19% -1.01% -1.55% -0.16% 1.42% 0.55% -0.90% 4.68% 2.87% -2.04% 2.31% 0.79% 3.63% 0.99% 3.80% 7.18% 3.06% 0.97% 2.90% 1.05% 2.36% 2.21% 0.86% 1.55% 2.40% -0.13% -1.12% -1.61% -1.15% -0.42% -0.59% -0.27% -0.22% 0.94% 1.44% 1.84% 1.35% 2.12% 4.73% 2.16% -4.52% 0.17% 0.46% -0.79% -1.08% 1.05% -0.09% 0.61% -0.02% -4.78% 1.69% 1.05% -0.46% 0.30% -5.20% 0.05% -0.57% 2.26% 0.55% 0.55% 0.07% 0.60% 0.69% 0.02% 2.11% 1.75% 0.96% 3.12% 2.11% 4.66% 1.51% 0.50% 2.33% 2.11% 3.40% -2.69% -3.24% 5.68% -3.11% 0.34% 2.25% 4.73% 1.61% 3.34% 3.10% -0.35% 0.06% 0.80% -1.08% -0.12% 0.21% -0.22% 0.95% 2.62% 2.41% 4.35% 1.12% 1.79% 5.97% 0.18% -2.32% -1.75% -0.60% -1.42% -1.22%
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-0.11% 1.50% 0.47% 0.37% 1.04% 0.19% 0.53% 1.76% -1.43% 0.49% 5.04% 4.49% 3.62% 3.75% 3.85% -1.48% -2.14% -1.71% -5.27% 0.96% 0.15% 0.97% 1.56% 2.62% 0.83% 0.86% 2.23% 1.49% 2.82% 7.09% -1.06% 0.53% 0.13% -2.15% 8.22% -4.28% -1.96% -4.39% -2.78% 3.02% -0.50% 0.35% -2.50% -5.35% -7.97% 2.64% 3.83% -0.88% -0.48% 2.65% 0.44% -0.66% 3.08% -1.98% 7.15% -0.28% 0.35% 0.89% 0.25% -1.09% -1.23% 0.30% 0.30% 3.84% 4.34% 2.32% 0.31% -1.94% 3.44% 1.76% 1.21% 1.83% 10.82% 2.39% -2.03% -1.54% -2.56% -4.36% -1.61% 1.21% 0.25% -0.62% 0.74% 0.45% 1.69% -0.76% 1.33% -2.24% 1.53% 0.05% -1.00% -0.55% 1.08% -1.99% -0.47% 0.13% -0.03% 1.19% 0.86% -3.58% 1.73% 2.23% 3.09% 0.94% 2.24% 3.45% 0.19% 5.47% 1.86% -2.19% 3.13% 5.21% -0.12% 1.27% -13.18% 2.00% 2.64% 2.15% -1.40% 6.26% 0.91% 2.20% 0.82% 2.74% 2.35% 3.49% 2.63% 2.63% 3.75% 3.31% -2.41% -0.60% -2.05% -1.06% -3.66% -3.93% -2.66% -3.61% -1.62% -9.10% -0.41% -0.60% 0.93% -1.06% 4.55% -1.42% -1.02% -2.45% 1.85% -1.52% 3.18% 4.00% 5.25% 1.33% 0.33% -0.15% -0.90% 5.06% -1.01% 1.50% -0.04% 1.36% -1.79% 5.20% -0.41% 2.58% 1.04% -1.09% 2.15% -6.67% -3.65% -3.76% -11.99% 6.11% -5.75% -5.45% -7.21% -3.87% -0.86% 0.45% 2.65% 2.24% 1.09% 5.13% 5.55% -1.45% -2.09% -1.22% -0.65% -0.13% 1.97% 2.48% 4.01% 2.63% 1.13% -0.31% 1.34% -0.24% 5.44% -0.99% 1.47% 0.79% 3.52% -3.13% 2.66% 2.22% 1.98% -0.73% -0.97% 4.49% 0.82% 1.41% 6.10% 3.52% -1.60% 0.59% -0.29% 0.90% 3.73% 7.02% 2.68% 2.58% 2.16% 5.34% 8.13% -0.17% 0.68% 0.51% 0.98% 1.53% -8.33% -9.38% -3.47% -15.62% -5.27% 2.41% 5.22% -4.11% -1.59% -3.60%
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4.34% 2.52% 4.32% 4.49% -1.96% -2.84% -2.59% 0.18% -6.27% -5.95% -6.03% -5.85% -8.21% -10.74% -1.99% 1.39% -0.34% -2.60% 1.96% -1.93% 1.22% 2.81% 1.87% -0.20% 2.68% 0.06% 0.13% -6.53% 3.68% -1.43% -3.71% -3.36% -5.04% -4.95% -12.92% 2.18% 3.61% 1.03% -0.09% 7.54% -0.84% 0.19% -1.26% 0.72% -3.22% 5.38% 2.52% 6.01% 3.98% 3.07% -2.31% -3.86% -7.05% -2.62% -2.07% 3.18% 4.24% 1.30% 5.21% 1.20% 1.25% -0.44% 0.35% 4.39% 2.32% 5.84% 10.69% 6.99% 4.83% 10.90% 2.85% 0.85% -0.97% 5.58% 1.54% 2.63% 3.32% 1.56% 1.35% 3.98% 2.41% 3.64% -3.85% 1.57% 0.76% -2.78% 1.05% 1.10% -3.01% -3.56% 0.55% 0.00% -0.67% 2.02% 2.38% 4.09% 2.02% 4.42% 5.92% 3.46% -4.82% -3.05% -3.61% -3.74% 0.35% 2.88% 2.63% 6.88% 4.65% -1.97% -7.04% -8.73% -9.21% -7.23% -3.75% 3.38% 0.55% 0.83% 1.69% 4.63% 1.54% 0.09% -4.88% -2.56% 3.74% 0.33% 1.64% -2.60% 1.26% 3.37% -7.62% -1.47% -4.03% 9.17% 0.69% 23.85% 4.41% 5.01% 8.53% 2.71% 1.28% 0.47% -2.53% 1.32% 3.98% -1.57% -1.92% -0.24% -0.09% -5.42% -0.94% -1.84% 0.12% 0.73% 0.29% 0.82% 0.28% -0.45% 1.16% -2.25% -0.19% -0.37% -1.16% 0.69% -5.81% 0.23% -1.55% -1.26% -0.53% 0.32% -1.49% 0.56% -1.72% 0.37% 0.51% 1.17% -2.94% 2.89% 0.38% -12.79% -0.82% 1.15% 1.31% -1.79% -3.15% 0.06% -1.89% -1.04% 2.53% 1.47% -4.38% 1.64% -1.03% -5.12% -2.07% 7.53% 13.99% 4.34% 16.99% 3.99% -3.00% -0.24% -1.87% -1.87% -2.43% 0.83% 3.49% 1.41% 2.76% -0.09% -2.36% -1.67% 1.67% 0.46% -3.17% -2.17% -4.56% -2.13% -2.12% -4.68% 2.35% 3.56% 1.85% 2.11% 4.07% -3.65% -2.34% -2.41% -2.53% 2.89% 1.65% -3.46% -1.46% -0.02% 0.14% 3.55% 0.69% -0.81% -0.92% -3.50%
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-1.85% -0.02%
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