Security Exp Return Std Dev

A 15% 20%
B 18% 25%
Corrlation 100%

Weight A Weight B Port Ret Port Std Dev

100% 0% 15.00% 20% Efficient Frontier
95% 5% 15.15% 20% 20.00%
90% 10% 15.30% 21%
85% 15% 15.45% 21% 17.50%
80% 20% 15.60% 21%
15.00%
75% 25% 15.75% 21%
70% 30% 15.90% 22% 12.50%

Return
65% 35% 16.05% 22%
60% 40% 16.20% 22% 10.00%
55% 45% 16.35% 22%
50% 50% 16.50% 23% 7.50%
45% 55% 16.65% 23% 5.00%
40% 60% 16.80% 23%
35% 65% 16.95% 23% 2.50%
30% 70% 17.10% 24%
25% 75% 17.25% 24% 0.00%
20% 80% 17.40% 24% R R R R R R R R R R R R R R
15% 85% 17.55% 24% o o o o o o o o o o o o o o
10% 90% 17.70% 25% w w w w w w w w w w w w w w
5% 95% 17.85% 25%
0% 100% 18.00% 25%
Standard Deviation
fficient Frontier

R R R R R R R R R R R R R R R
o o o o o o o o o o o o o o o
w w w w w w w w w w w w w w w
Standard Deviation
 Monthly prices (Mar 1996 to Mar 2001)
DATE S&P 500 GM INTC KBH IBM C
Mar-96 645.500 53.250 7.109 16.000 27.813 11.000
Apr-96 654.170 54.250 8.469 14.125 26.938 10.250
May-96 669.120 55.125 9.438 14.875 26.688 10.375
Jun-96 670.630 52.375 9.180 14.500 24.750 11.406
Jul-96 639.950 48.750 9.391 11.875 26.875 10.563
Aug-96 651.990 49.625 9.977 12.250 28.594 10.844
Sep-96 687.330 48.000 11.930 13.000 31.125 12.281
Oct-96 705.270 53.625 13.734 12.000 32.250 13.563
Nov-96 757.020 57.625 15.859 12.875 39.844 15.000
Dec-96 740.740 55.750 16.367 12.875 37.875 15.125
Jan-97 786.160 59.000 20.281 14.125 39.219 17.458
Feb-97 790.820 57.875 17.734 14.125 35.938 17.875
Mar-97 757.120 55.375 17.391 13.250 34.313 16.000
Apr-97 801.340 57.875 19.141 14.000 40.125 18.500
May-97 848.280 57.375 18.938 15.125 43.250 18.333
Jun-97 885.140 55.750 17.727 17.563 45.125 21.021
Jul-97 954.310 61.875 22.953 21.375 52.875 23.979
Aug-97 899.470 62.750 23.031 20.000 50.688 21.167
Sep-97 947.280 66.938 23.078 21.688 53.000 22.771
Oct-97 914.620 64.188 19.250 21.313 49.250 23.333
Nov-97 955.400 60.938 19.406 21.688 54.750 25.438
Dec-97 970.430 60.750 17.563 22.438 52.313 26.938
Jan-98 980.280 57.938 20.250 25.750 49.375 24.781
Feb-98 1049.340 68.938 22.422 26.000 52.219 27.813
Mar-98 1101.750 67.750 19.516 32.688 51.938 30.000
Apr-98 1111.750 67.375 20.203 29.250 57.938 30.594
May-98 1090.820 71.875 17.859 25.688 58.750 30.625
Jun-98 1133.840 66.813 18.531 31.625 57.406 30.313
Jul-98 1120.670 72.313 21.109 27.938 66.250 33.625
Aug-98 957.280 58.125 17.797 21.375 56.313 22.188
Sep-98 1017.010 54.875 21.438 23.438 64.250 18.750
Oct-98 1098.670 63.188 22.297 28.563 74.250 23.500
Nov-98 1163.630 69.875 26.906 25.188 82.563 25.125
Dec-98 1229.230 71.563 29.641 28.750 92.188 24.844
Jan-99 1279.640 89.750 35.234 28.188 91.625 28.031
Feb-99 1238.330 82.563 29.984 22.500 84.875 29.375
Mar-99 1286.370 87.000 29.719 22.563 88.625 31.938
Apr-99 1335.180 89.063 30.594 24.313 104.594 37.438
May-99 1301.840 69.000 27.031 24.125 116.000 33.125
Jun-99 1372.710 66.000 29.750 24.875 129.250 35.625
Jul-99 1328.720 61.125 34.500 20.813 125.688 33.422
Aug-99 1320.410 66.250 41.094 20.438 124.563 33.328
Sep-99 1282.710 62.938 37.156 20.625 121.000 33.000
Oct-99 1362.930 70.438 38.719 20.063 98.250 40.688
Nov-99 1388.910 73.797 38.344 22.125 103.063 40.406
Dec-99 1469.250 72.688 41.156 24.188 107.875 41.766
Jan-00 1394.460 80.563 49.469 21.688 112.250 42.750
Feb-00 1366.420 76.063 56.500 19.125 102.750 38.813
Mar-00 1498.580 82.813 65.969 21.438 118.375 44.906
Apr-00 1452.430 93.625 63.406 19.250 111.500 44.250
May-00 1420.600 70.625 62.344 17.375 107.313 46.641
Jun-00 1454.600 58.063 66.844 19.797 109.563 45.188
Jul-00 1430.830 56.938 66.750 19.563 112.250 52.875
Aug-00 1517.680 70.000 74.875 24.813 132.016 58.391
Sep-00 1436.510 65.000 41.563 26.938 112.625 54.063
Oct-00 1429.400 62.125 45.000 29.750 98.500 52.625
Nov-00 1314.950 49.500 38.063 31.375 93.500 49.813
Dec-00 1320.280 50.938 30.063 33.688 85.000 51.063
Jan-01 1366.010 53.700 37.000 32.010 112.000 55.970
Feb-01 1239.940 53.320 28.563 27.950 99.900 49.180
Mar-01 1182.170 53.060 29.375 31.690 99.500 46.450
 Monthly prices (Mar 1996 to Mar 2001)
DATE S&P 500 GM INTC KBH IBM C
Apr-96 1.34% 1.88% 19.13% -11.72% -3.15% -6.82%
May-96 2.29% 1.61% 11.44% 5.31% -0.93% 1.22% S&P 500
Jun-96 0.23% -4.99% -2.73% -2.52% -7.26% 9.94% GM
Jul-96 -4.57% -6.92% 2.30% -18.10% 8.59% -7.39% INTC
Aug-96 1.88% 1.79% 6.24% 3.16% 6.40% 2.66% KBH
Sep-96 5.42% -3.27% 19.58% 6.12% 8.85% 13.25% IBM
Oct-96 2.61% 11.72% 15.12% -7.69% 3.61% 10.44% C
Nov-96 7.34% 7.46% 15.47% 7.29% 23.55% 10.60%
Dec-96 -2.15% -3.25% 3.20% 0.00% -4.94% 0.83%
Jan-97 6.13% 5.83% 23.91% 9.71% 3.55% 15.42%
Feb-97 0.59% -1.91% -12.56% 0.00% -8.37% 2.39% S&P 500
Mar-97 -4.26% -4.32% -1.93% -6.19% -4.52% -10.49% GM
Apr-97 5.84% 4.51% 10.06% 5.66% 16.94% 15.63% INTC
May-97 5.86% -0.86% -1.06% 8.04% 7.79% -0.90% KBH
Jun-97 4.35% -2.83% -6.39% 16.12% 4.34% 14.66% IBM
Jul-97 7.81% 10.99% 29.48% 21.70% 17.17% 14.07% C
Aug-97 -5.75% 1.41% 0.34% -6.43% -4.14% -11.73%
Sep-97 5.32% 6.67% 0.20% 8.44% 4.56% 7.58% Return
Oct-97 -3.45% -4.11% -16.59% -1.73% -7.08% 2.47% Std Dev
Nov-97 4.46% -5.06% 0.81% 1.76% 11.17% 9.02% Betas
Dec-97 1.57% -0.31% -9.50% 3.46% -4.45% 5.90%
Jan-98 1.02% -4.63% 15.30% 14.76% -5.62% -8.01%
Feb-98 7.04% 18.99% 10.73% 0.97% 5.76% 12.24% Port 1
Mar-98 4.99% -1.72% -12.96% 25.72% -0.54% 7.86% Port 2
Apr-98 0.91% -0.55% 3.52% -10.52% 11.55% 1.98% Port 3
May-98 -1.88% 6.68% -11.60% -12.18% 1.40% 0.10% Port 4
Jun-98 3.94% -7.04% 3.76% 23.11% -2.29% -1.02% Port 5
Jul-98 -1.16% 8.23% 13.91% -11.66% 15.41% 10.93% Port 6
Aug-98 -14.58% -19.62% -15.69% -23.49% -15.00% -34.01% Port 7
Sep-98 6.24% -5.59% 20.46% 9.65% 14.09% -15.49% Port 8
Oct-98 8.03% 15.15% 4.01% 21.87% 15.56% 25.33% Port 9
Nov-98 5.91% 10.58% 20.67% -11.82% 11.20% 6.91% Port 10
Dec-98 5.64% 2.42% 10.17% 14.14% 11.66% -1.12% Port 11
Jan-99 4.10% 25.41% 18.87% -1.95% -0.61% 12.83%
Feb-99 -3.23% -8.01% -14.90% -20.18% -7.37% 4.79%
Mar-99 3.88% 5.37% -0.88% 0.28% 4.42% 8.73% Std Dev3.40%
Apr-99 3.79% 2.37% 2.94% 7.76% 18.02% 17.22% Return
May-99 -2.50% -22.53% -11.65% -0.77% 10.91% -11.52%
2.90%
Jun-99 5.44% -4.35% 10.06% 3.11% 11.42% 7.55%
Expected Return

Jul-99 -3.20% -7.39% 15.97% -16.33% -2.76% -6.18%

Aug-99 -0.63% 8.38% 19.11% -1.80% -0.90% -0.28% 2.40%
Sep-99 -2.86% -5.00% -9.58% 0.91% -2.86% -0.98%
Oct-99 6.25% 11.92% 4.21% -2.72% -18.80% 23.30% 1.90%
Nov-99 1.91% 4.77% -0.97% 10.28% 4.90% -0.69%
Dec-99 5.78% -1.50% 7.33% 9.32% 4.67% 3.37% 1.40%
Jan-00 -5.09% 10.83% 20.20% -10.34% 4.06% 2.36%
Feb-00 -2.01% -5.59% 14.21% -11.82% -8.46% -9.21% 0.90%
Mar-00 9.67% 8.87% 16.76% 12.09% 15.21% 15.70%
Apr-00 -3.08% 13.06% -3.89% -10.21% -5.81% -1.46% 0.40%
May-00 -2.19% -24.57% -1.67% -9.74% -3.76% 5.40% Row 25 R
 1.40%

E
0.90%

0.40%
Row 25 R
Jun-00 2.39% -17.79% 7.22% 13.94% 2.10% -3.12%
Jul-00 -1.63% -1.94% -0.14% -1.18% 2.45% 17.01%
Aug-00 6.07% 22.94% 12.17% 26.84% 17.61% 10.43%
Sep-00 -5.35% -7.14% -44.49% 8.56% -14.69% -7.41%
Oct-00 -0.49% -4.42% 8.27% 10.44% -12.54% -2.66%
Nov-00 -8.01% -20.32% -15.42% 5.46% -5.08% -5.34%
Dec-00 0.41% 2.91% -21.02% 7.37% -9.09% 2.51%
Jan-01 3.46% 5.42% 23.07% -4.98% 31.76% 9.61%
Feb-01 -9.23% -0.71% -22.80% -12.68% -10.80% -12.13%
Mar-01 -4.66% -0.49% 2.84% 13.38% -0.40% -5.55%
 Variance/Covariance Matrix
S&P 500 GM INTC KBH IBM C
0.00235 0.00242 0.00358 0.00333 0.00290 0.00354
0.00242 0.00974 0.00586 0.00189 0.00324 0.00567
0.00358 0.00586 0.01902 0.00156 0.00754 0.00440
0.00333 0.00189 0.00156 0.01320 0.00323 0.00415
0.00290 0.00324 0.00754 0.00323 0.01026 0.00442
0.00354 0.00567 0.00440 0.00415 0.00442 0.01063

Correlation Matrix
S&P 500 GM INTC KBH IBM C
100.00%
50.62% 100.00%
53.58% 43.08% 100.00%
59.70% 16.67% 9.87% 100.00%
59.04% 32.42% 53.99% 27.76% 100.00%
70.78% 55.77% 30.92% 35.02% 42.29% 100.00%

1.13% 0.49% 3.41% 1.80% 2.64% 2.98%

4.85% 9.87% 13.79% 11.49% 10.13% 10.31%
1.00 1.03 1.52 1.41 1.23 1.50

Weights Sum Wts Req Ret Exp Ret

N/A 33.80% 2.58% 25.85% 27.58% 10.19% 100% 1.75%
N/A 27.89% 4.90% 25.12% 27.49% 14.60% 100% 1.92% 1.92%
N/A 21.98% 7.23% 24.39% 27.40% 19.00% 100% 2.08% 2.08%
N/A 16.07% 9.56% 23.66% 27.31% 23.40% 100% 2.25% 2.25%
N/A 10.16% 11.88% 22.93% 27.22% 27.80% 100% 2.41% 2.41%
N/A 4.26% 14.22% 22.20% 27.11% 32.22% 100% 2.58% 2.58%
N/A 0.00% 17.73% 18.75% 25.85% 37.66% 100% 2.75% 2.75%
N/A 0.00% 24.34% 8.35% 21.48% 45.83% 100% 2.91% 2.91%
N/A 0.00% 33.37% 0.00% 13.03% 53.60% 100% 3.08% 3.08%
N/A 0.00% 61.61% 0.00% 0.00% 38.39% 100% 3.24% 3.24%
N/A 0.00% 100.00% 0.00% 0.00% 0.00% 100% 3.41% 3.41%

Efficient Frontier: No Short Sales

3.40% 4.85% 9.87% 13.79% 11.49% 10.13% 10.31%
1.13% 0.49% 3.41% 1.80% 2.64% 2.98%
2.90%
Expected Return

2.40%

1.90%

1.40%

0.90%

0.40%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 Row 35
Std Deviation
 1.40%

E 0.90%

0.40%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 Row 35
Std Deviation
 Port Stdev Port Beta
#NAME? 1.25
#NAME? 1.28
#NAME? 1.31
#NAME? 1.33
#NAME? 1.36
#NAME? 1.39
#NAME? 1.42
#NAME? 1.44
#NAME? 1.48
#NAME? 1.52
#NAME? 1.52

Row 33 Row 34 Row 35

Row 33 Row 34 Row 35
 Monthly prices (Mar 1996 to Mar 2001)
DATE S&P 500 GM INTC KBH IBM C
Apr-96 1.34% 1.88% 19.13% -11.72% -3.15% -6.82%
May-96 2.29% 1.61% 11.44% 5.31% -0.93% 1.22% S&P 500
Jun-96 0.23% -4.99% -2.73% -2.52% -7.26% 9.94% GM
Jul-96 -4.57% -6.92% 2.30% -18.10% 8.59% -7.39% INTC
Aug-96 1.88% 1.79% 6.24% 3.16% 6.40% 2.66% KBH
Sep-96 5.42% -3.27% 19.58% 6.12% 8.85% 13.25% IBM
Oct-96 2.61% 11.72% 15.12% -7.69% 3.61% 10.44% C
Nov-96 7.34% 7.46% 15.47% 7.29% 23.55% 10.60%
Dec-96 -2.15% -3.25% 3.20% 0.00% -4.94% 0.83%
Jan-97 6.13% 5.83% 23.91% 9.71% 3.55% 15.42%
Feb-97 0.59% -1.91% -12.56% 0.00% -8.37% 2.39% S&P 500
Mar-97 -4.26% -4.32% -1.93% -6.19% -4.52% -10.49% GM
Apr-97 5.84% 4.51% 10.06% 5.66% 16.94% 15.63% INTC
May-97 5.86% -0.86% -1.06% 8.04% 7.79% -0.90% KBH
Jun-97 4.35% -2.83% -6.39% 16.12% 4.34% 14.66% IBM
Jul-97 7.81% 10.99% 29.48% 21.70% 17.17% 14.07% C
Aug-97 -5.75% 1.41% 0.34% -6.43% -4.14% -11.73%
Sep-97 5.32% 6.67% 0.20% 8.44% 4.56% 7.58% Return
Oct-97 -3.45% -4.11% -16.59% -1.73% -7.08% 2.47% Std Dev
Nov-97 4.46% -5.06% 0.81% 1.76% 11.17% 9.02% Betas
Dec-97 1.57% -0.31% -9.50% 3.46% -4.45% 5.90%
Jan-98 1.02% -4.63% 15.30% 14.76% -5.62% -8.01%
Feb-98 7.04% 18.99% 10.73% 0.97% 5.76% 12.24% Port 1
Mar-98 4.99% -1.72% -12.96% 25.72% -0.54% 7.86% Port 2
Apr-98 0.91% -0.55% 3.52% -10.52% 11.55% 1.98% Port 3
May-98 -1.88% 6.68% -11.60% -12.18% 1.40% 0.10% Port 4
Jun-98 3.94% -7.04% 3.76% 23.11% -2.29% -1.02% Port 5
Jul-98 -1.16% 8.23% 13.91% -11.66% 15.41% 10.93% Port 6
Aug-98 -14.58% -19.62% -15.69% -23.49% -15.00% -34.01% Port 7
Sep-98 6.24% -5.59% 20.46% 9.65% 14.09% -15.49% Port 8
Oct-98 8.03% 15.15% 4.01% 21.87% 15.56% 25.33% Port 9
Nov-98 5.91% 10.58% 20.67% -11.82% 11.20% 6.91% Port 10
Dec-98 5.64% 2.42% 10.17% 14.14% 11.66% -1.12% Port 11
Jan-99 4.10% 25.41% 18.87% -1.95% -0.61% 12.83%
Feb-99 -3.23% -8.01% -14.90% -20.18% -7.37% 4.79%
Mar-99 3.88% 5.37% -0.88% 0.28% 4.42% 8.73% Std Dev3.40%
Apr-99 3.79% 2.37% 2.94% 7.76% 18.02% 17.22% Return
May-99 -2.50% -22.53% -11.65% -0.77% 10.91% -11.52%
2.90%
Jun-99 5.44% -4.35% 10.06% 3.11% 11.42% 7.55%
Expected Return

Jul-99 -3.20% -7.39% 15.97% -16.33% -2.76% -6.18%

Aug-99 -0.63% 8.38% 19.11% -1.80% -0.90% -0.28% 2.40%
Sep-99 -2.86% -5.00% -9.58% 0.91% -2.86% -0.98%
Oct-99 6.25% 11.92% 4.21% -2.72% -18.80% 23.30% 1.90%
Nov-99 1.91% 4.77% -0.97% 10.28% 4.90% -0.69%
Dec-99 5.78% -1.50% 7.33% 9.32% 4.67% 3.37% 1.40%
Jan-00 -5.09% 10.83% 20.20% -10.34% 4.06% 2.36%
Feb-00 -2.01% -5.59% 14.21% -11.82% -8.46% -9.21% 0.90%
Mar-00 9.67% 8.87% 16.76% 12.09% 15.21% 15.70%
Apr-00 -3.08% 13.06% -3.89% -10.21% -5.81% -1.46% 0.40%
May-00 -2.19% -24.57% -1.67% -9.74% -3.76% 5.40% Row 25 R
 1.40%

E
0.90%

0.40%
Row 25 R
Jun-00 2.39% -17.79% 7.22% 13.94% 2.10% -3.12%
Jul-00 -1.63% -1.94% -0.14% -1.18% 2.45% 17.01%
Aug-00 6.07% 22.94% 12.17% 26.84% 17.61% 10.43%
Sep-00 -5.35% -7.14% -44.49% 8.56% -14.69% -7.41%
Oct-00 -0.49% -4.42% 8.27% 10.44% -12.54% -2.66%
Nov-00 -8.01% -20.32% -15.42% 5.46% -5.08% -5.34%
Dec-00 0.41% 2.91% -21.02% 7.37% -9.09% 2.51%
Jan-01 3.46% 5.42% 23.07% -4.98% 31.76% 9.61%
Feb-01 -9.23% -0.71% -22.80% -12.68% -10.80% -12.13%
Mar-01 -4.66% -0.49% 2.84% 13.38% -0.40% -5.55%
 Variance/Covariance Matrix
S&P 500 GM INTC KBH IBM C
0.00235 0.00242 0.00358 0.00333 0.00290 0.00354
0.00242 0.00974 0.00586 0.00189 0.00324 0.00567
0.00358 0.00586 0.01902 0.00156 0.00754 0.00440
0.00333 0.00189 0.00156 0.01320 0.00323 0.00415
0.00290 0.00324 0.00754 0.00323 0.01026 0.00442
0.00354 0.00567 0.00440 0.00415 0.00442 0.01063

Correlation Matrix
S&P 500 GM INTC KBH IBM C
100.00%
50.62% 100.00%
53.58% 43.08% 100.00%
59.70% 16.67% 9.87% 100.00%
59.04% 32.42% 53.99% 27.76% 100.00%
70.78% 55.77% 30.92% 35.02% 42.29% 100.00%

1.13% 0.49% 3.41% 1.80% 2.64% 2.98%

4.85% 9.87% 13.79% 11.49% 10.13% 10.31%
1.00 1.03 1.52 1.41 1.23 1.50

Weights Sum Wts Req Ret Exp Ret

N/A 33.79% 2.58% 25.85% 27.57% 10.20% 100% 1.75%
N/A 27.89% 4.91% 25.12% 27.49% 14.60% 100% 1.92% 1.92%
N/A 21.98% 7.23% 24.39% 27.40% 19.00% 100% 2.08% 2.08%
N/A 16.07% 9.56% 23.66% 27.31% 23.40% 100% 2.25% 2.25%
N/A 10.16% 11.88% 22.93% 27.22% 27.80% 100% 2.41% 2.41%
N/A 4.25% 14.22% 22.20% 27.11% 32.22% 100% 2.58% 2.58%
N/A -1.66% 16.53% 21.47% 27.05% 36.61% 100% 2.75% 2.75%
N/A -7.56% 18.86% 20.73% 26.96% 41.01% 100% 2.91% 2.91%
N/A -13.47% 21.19% 20.00% 26.87% 45.41% 100% 3.08% 3.08%
N/A -19.38% 23.51% 19.27% 26.78% 49.82% 100% 3.24% 3.24%
N/A -25.29% 25.84% 18.54% 26.69% 54.22% 100% 3.41% 3.41%

Efficient Frontier: Short Sales Allowed

3.40% 4.85% 9.87% 13.79% 11.49% 10.13% 10.31%
1.13% 0.49% 3.41% 1.80% 2.64% 2.98%
2.90%
Expected Return

2.40%

1.90%

1.40%

0.90%

0.40%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 Row 35
Std Deviation
 1.40%

E 0.90%

0.40%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 Row 35
Std Deviation
 Port Stdev Port Beta
#NAME? 1.25
#NAME? 1.28
#NAME? 1.31
#NAME? 1.33
#NAME? 1.36
#NAME? 1.39
#NAME? 1.42
#NAME? 1.45
#NAME? 1.48
#NAME? 1.51
#NAME? 1.54

Row 33 Row 34 Row 35

Row 33 Row 34 Row 35
 Monthly prices (Mar 1996 to Mar 2001)
DATE S&P 500 GM INTC KBH IBM C
Apr-96 1.34% 1.88% 19.13% -11.72% -3.15% -6.82%
May-96 2.29% 1.61% 11.44% 5.31% -0.93% 1.22% S&P 500
Jun-96 0.23% -4.99% -2.73% -2.52% -7.26% 9.94% GM
Jul-96 -4.57% -6.92% 2.30% -18.10% 8.59% -7.39% INTC
Aug-96 1.88% 1.79% 6.24% 3.16% 6.40% 2.66% KBH
Sep-96 5.42% -3.27% 19.58% 6.12% 8.85% 13.25% IBM
Oct-96 2.61% 11.72% 15.12% -7.69% 3.61% 10.44% C
Nov-96 7.34% 7.46% 15.47% 7.29% 23.55% 10.60% Risk-Free
Dec-96 -2.15% -3.25% 3.20% 0.00% -4.94% 0.83%
Jan-97 6.13% 5.83% 23.91% 9.71% 3.55% 15.42%
Feb-97 0.59% -1.91% -12.56% 0.00% -8.37% 2.39% S&P 500
Mar-97 -4.26% -4.32% -1.93% -6.19% -4.52% -10.49% GM
Apr-97 5.84% 4.51% 10.06% 5.66% 16.94% 15.63% INTC
May-97 5.86% -0.86% -1.06% 8.04% 7.79% -0.90% KBH
Jun-97 4.35% -2.83% -6.39% 16.12% 4.34% 14.66% IBM
Jul-97 7.81% 10.99% 29.48% 21.70% 17.17% 14.07% C
Aug-97 -5.75% 1.41% 0.34% -6.43% -4.14% -11.73%
Sep-97 5.32% 6.67% 0.20% 8.44% 4.56% 7.58% Return
Oct-97 -3.45% -4.11% -16.59% -1.73% -7.08% 2.47% Std Dev
Nov-97 4.46% -5.06% 0.81% 1.76% 11.17% 9.02% Betas
Dec-97 1.57% -0.31% -9.50% 3.46% -4.45% 5.90%
Jan-98 1.02% -4.63% 15.30% 14.76% -5.62% -8.01%
Feb-98 7.04% 18.99% 10.73% 0.97% 5.76% 12.24% Port 1
Mar-98 4.99% -1.72% -12.96% 25.72% -0.54% 7.86% Port 2
Apr-98 0.91% -0.55% 3.52% -10.52% 11.55% 1.98% Port 3
May-98 -1.88% 6.68% -11.60% -12.18% 1.40% 0.10% Port 4
Jun-98 3.94% -7.04% 3.76% 23.11% -2.29% -1.02% Port 5
Jul-98 -1.16% 8.23% 13.91% -11.66% 15.41% 10.93% Port 6
Aug-98 -14.58% -19.62% -15.69% -23.49% -15.00% -34.01% Port 7
Sep-98 6.24% -5.59% 20.46% 9.65% 14.09% -15.49% Port 8
Oct-98 8.03% 15.15% 4.01% 21.87% 15.56% 25.33% Port 9
Nov-98 5.91% 10.58% 20.67% -11.82% 11.20% 6.91% Port 10
Dec-98 5.64% 2.42% 10.17% 14.14% 11.66% -1.12% Port 11
Jan-99 4.10% 25.41% 18.87% -1.95% -0.61% 12.83%
Feb-99 -3.23% -8.01% -14.90% -20.18% -7.37% 4.79%
Mar-99 3.88% 5.37% -0.88% 0.28% 4.42% 8.73% Std Dev3.50%
Apr-99 3.79% 2.37% 2.94% 7.76% 18.02% 17.22% Return
May-99 -2.50% -22.53% -11.65% -0.77% 10.91% -11.52% 3.00%
Jun-99 5.44% -4.35% 10.06% 3.11% 11.42% 7.55%
2.50%
Expected Return

Jul-99 -3.20% -7.39% 15.97% -16.33% -2.76% -6.18%

Aug-99 -0.63% 8.38% 19.11% -1.80% -0.90% -0.28%
Sep-99 -2.86% -5.00% -9.58% 0.91% -2.86% -0.98% 2.00%
Oct-99 6.25% 11.92% 4.21% -2.72% -18.80% 23.30%
Nov-99 1.91% 4.77% -0.97% 10.28% 4.90% -0.69% 1.50%
Dec-99 5.78% -1.50% 7.33% 9.32% 4.67% 3.37%
1.00%
Jan-00 -5.09% 10.83% 20.20% -10.34% 4.06% 2.36%
Feb-00 -2.01% -5.59% 14.21% -11.82% -8.46% -9.21% 0.50%
Mar-00 9.67% 8.87% 16.76% 12.09% 15.21% 15.70%
Apr-00 -3.08% 13.06% -3.89% -10.21% -5.81% -1.46% 0.00%
May-00 -2.19% -24.57% -1.67% -9.74% -3.76% 5.40% Row 25 R
 Ex
1.00%

0.50%

0.00%
Row 25 R
Jun-00 2.39% -17.79% 7.22% 13.94% 2.10% -3.12%
Jul-00 -1.63% -1.94% -0.14% -1.18% 2.45% 17.01%
Aug-00 6.07% 22.94% 12.17% 26.84% 17.61% 10.43%
Sep-00 -5.35% -7.14% -44.49% 8.56% -14.69% -7.41%
Oct-00 -0.49% -4.42% 8.27% 10.44% -12.54% -2.66%
Nov-00 -8.01% -20.32% -15.42% 5.46% -5.08% -5.34%
Dec-00 0.41% 2.91% -21.02% 7.37% -9.09% 2.51%
Jan-01 3.46% 5.42% 23.07% -4.98% 31.76% 9.61%
Feb-01 -9.23% -0.71% -22.80% -12.68% -10.80% -12.13%
Mar-01 -4.66% -0.49% 2.84% 13.38% -0.40% -5.55%
 Variance/Covariance Matrix
S&P 500 GM INTC KBH IBM C Risk-Free
0.00235 0.00242 0.00358 0.00333 0.00290 0.00354 -
0.00242 0.00974 0.00586 0.00189 0.00324 0.00567 -
0.00358 0.00586 0.01902 0.00156 0.00754 0.00440 -
0.00333 0.00189 0.00156 0.01320 0.00323 0.00415 -
0.00290 0.00324 0.00754 0.00323 0.01026 0.00442 -
0.00354 0.00567 0.00440 0.00415 0.00442 0.01063 -
- - - - - - -
Correlation Matrix
S&P 500 GM INTC KBH IBM C
100.00%
50.62% 100.00%
53.58% 43.08% 100.00%
59.70% 16.67% 9.87% 100.00%
59.04% 32.42% 53.99% 27.76% 100.00%
70.78% 55.77% 30.92% 35.02% 42.29% 100.00%

1.13% 0.49% 3.41% 1.80% 2.64% 2.98% 0.41%

4.85% 9.87% 13.79% 11.49% 10.13% 10.31% 0.00%
1.00 1.03 1.52 1.41 1.23 1.50 0.00%

Weights Sum Wts Req Ret Exp Ret

N/A 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% 100% 0.41%
N/A -6.17% 3.31% 0.43% 1.40% 6.56% 94.47% 100% 0.71% 0.71%
N/A -12.35% 6.62% 0.87% 2.81% 13.12% 88.93% 100% 1.01% 1.01%
N/A -18.52% 9.93% 1.31% 4.21% 19.68% 83.39% 100% 1.31% 1.31%
N/A -24.69% 13.24% 1.74% 5.62% 26.24% 77.86% 100% 1.61% 1.61%
N/A -30.87% 16.55% 2.18% 7.03% 32.79% 72.32% 100% 1.91% 1.91%
N/A -37.04% 19.86% 2.61% 8.43% 39.35% 66.79% 100% 2.21% 2.21%
N/A -43.21% 23.17% 3.05% 9.84% 45.91% 61.25% 100% 2.51% 2.51%
N/A -49.39% 26.48% 3.49% 11.24% 52.47% 55.72% 100% 2.81% 2.81%
N/A -55.56% 29.79% 3.92% 12.65% 59.03% 50.18% 100% 3.11% 3.11%
N/A -61.74% 33.10% 4.36% 14.05% 65.59% 44.64% 100% 3.41% 3.41%

Efficient Frontier with Risk-free Asset: Short Sales Allowed

3.50% 4.85% 9.87% 13.79% 11.49% 10.13% 10.31% 0.00%
1.13% 0.49% 3.41% 1.80% 2.64% 2.98% 0.41%
3.00%

2.50%
Expected Return

2.00%

1.50%

1.00%

0.50%

0.00%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 R
Std Deviation
Ex
1.00%

0.50%

0.00%
Row 25 Row 26 Row 27 Row 28 Row 29 Row 30 Row 31 Row 32 Row 33 Row 34 R
Std Deviation
 Port Stdev Port Beta
#NAME? 0.00
#NAME? 0.11
#NAME? 0.22
#NAME? 0.33
#NAME? 0.44
#NAME? 0.54
#NAME? 0.65
#NAME? 0.76
#NAME? 0.87
#NAME? 0.98
#NAME? 1.09

ed

Row 33 Row 34 Row 35

Row 33 Row 34 Row 35