4 Stock Regressions

7/26/2019 4 Stock Regressions

1/18

Standard Correlation Beta Annualized ??? ??? 3624 Stock Pric

Deviation Err:502 Err:502 Return Dates ^DJ

!sin" Actual returns 30-Apr-97 7008.99

^DJ #$#% &00% &$00 '$5% 1-May-97 7331.04

B( )$2% '5% &$*' +*#$,% 2-Jun-97 7672.79

(S-. &0$)% #/% &$&/ +#2$2% 1-Jul-97 8222.61

C /$5% ,*% &$#0 +*/$/% 1-Aug-97 7622.42

2-Sep-97 7945.26

!sin" Randoized returns 1-Oct-97 7442.08

^DJ #$&% &00% &$00 /$'% 3-Nov-97 7823.13

B( /$0% '/% &$*# ,$'% 1-ec-97 7908.25

(S-. &0$)% ##% &$&, #$,% 2-Jan-98 7906.50

C /$2% '/% &$*/ 2$#% 2-!e"-98 8545.72

2-Mar-98 8799.81

1-Apr-98 9063.37

1-May-98 8899.95

1-Jun-98 8952.02

1-Jul-98 8883.293-Aug-98 7539.07

1-Sep-98 7842.62

1-Oct-98 8592.10

2-Nov-98 9116.55

1-ec-98 9181.43

4-Jan-99 9358.83

1-!e"-99 9306.58

1-Mar-99 9786.16

1-Apr-99 10789.04

3-May-99 10559.74

1-Jun-99 10970.80

1-Jul-99 10655.152-Aug-99 10829.28

1-Sep-99 10336.95

1-Oct-99 10729.86

1-Nov-99 10877.81

1-ec-99 11497.12

3-Jan-00 10940.53

1-!e"-00 10128.31

Enter 1our Allocations 1-Mar-00 10921.92

^DJ B( (S-. C 3-Apr-00 10733.91

50% 20% &0% 20% 1-May-00 10522.33

1-Jun-00 10447.89

otes: 3-Jul-00 10521.98 On t$e %a&&et&% &$eet' type (n )a$oo &y*"ol& 1-Aug-00 11215.10

1-Sep-00 10650.92

2-Oct-00 10971.14

1-Nov-00 10414.49

+ an, t$e re&ultant at(o&' a"ove. 1-ec-00 10787.99

2-Jan-01 10887.36

1-!e"-01 10495.28

t$en cl(c t$e D343AD"utton.

On t$(& &$eet' pre&& -)to get a rearrange*ent o/ *ont$ly return&

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

^DJ B( (S-. C Err:502

6ro7t8 o9 &$00 : usin" Randoized Returns

-20.0 -15.0 -10.0

9; &$*'

B(

-20.0 -15.0 -10.0

9; &$&/

(S-.

-20.0 -15.0 -10.0

9; &$#0

C


2/18

1-Mar-01 9878.78

2-Apr-01 10734.97

1-May-01 10911.94

1-Jun-01 10502.40

2-Jul-01 10522.81

1-Aug-01 9949.75

4-Sep-01 8847.56

1-Oct-01 9075.14

1-Nov-01 9851.56

3-ec-01 10021.57

2-Jan-02 9920.00

1-!e"-02 10106.13

1-Mar-02 10403.94

1-Apr-02 9946.22

1-May-02 9925.25

3-Jun-02 9243.26

1-Jul-02 8736.59

1-Aug-02 8663.50

3-Sep-02 7591.93

1-Oct-02 8397.03

1-Nov-02 8896.09

2-ec-02 8341.63

2-Jan-03 8053.81

3-!e"-03 7891.08

3-Mar-03 7992.13

1-Apr-03 8480.09

1-May-03 8850.26

2-Jun-03 8985.44

1-Jul-03 9233.80

1-Aug-03 9415.822-Sep-03 9275.06

1-Oct-03 9801.12

3-Nov-03 9782.46

1-ec-03 10453.92

2-Jan-04 10488.07

2-!e"-04 10583.92

1-Mar-04 10357.70

1-Apr-04 10225.57

3-May-04 10188.45

1-Jun-04 10435.48

1-Jul-04 10139.71

2-Aug-04 10173.921-Sep-04 10080.27

1-Oct-04 10027.47

1-Nov-04 10428.02

1-ec-04 10783.01

3-Jan-05 10489.94

1-!e"-05 10766.23

1-Mar-05 10503.76

1-Apr-05 10192.51

2-May-05 10467.48


3/18

1-Jun-05 10274.97

1-Jul-05 10640.91

1-Aug-05 10481.60

1-Sep-05 10568.70

3-Oct-05 10440.07

1-Nov-05 10805.87

1-ec-05 10717.50

3-Jan-06 10864.86

1-!e"-06 10993.41

1-Mar-06 11109.32

3-Apr-06 11367.14

1-May-06 11168.31

1-Jun-06 11150.22

3-Jul-06 11185.68

1-Aug-06 11381.15

1-Sep-06 11679.07

2-Oct-06 12080.73

1-Nov-06 12221.93

1-ec-06 12463.15

3-Jan-07 12621.69

1-!e"-07 12268.63

1-Mar-07 12354.35

2-Apr-07 13120.94


4/18

es: Stock Returns Randoized Returns

B( (S-. C ^DJ B( (S-. C ^DJ B(

37.28 13.07 13.86

40.19 13.34 13.77 4.6 7.8 2.1 -0.6 -1.7 -5.8

41.93 13.59 15.79 4.7 4.3 1.9 14.7 1.3 2.1

49.13 15.21 18.05 7.2 17.2 11.9 14.3 4.0 14.1

47.18 14.22 15.94 -7.3 -4.0 -6.5 -11.7 9.6 15.6

49.34 14.23 17.14 4.2 4.6 0.1 7.5 6.1 11.4

45.85 13.98 17.60 -6.3 -7.1 -1.8 2.7 1.6 -0.8

51.06 15.22 19.19 5.1 11.4 8.9 9.0 -6.3 -7.1

48.79 13.90 20.33 1.1 -4.4 -8.7 5.9 6.1 8.2

46.05 16.05 18.70 0.0 -5.6 15.5 -8.0 -0.4 0.7

48.80 18.23 21.04 8.1 6.0 13.6 12.5 9.6 15.6

48.54 19.26 22.69 3.0 -0.5 5.7 7.8 4.0 5.2

54.14 19.39 23.19 3.0 11.5 0.7 2.2 2.7 -0.8

55.01 18.25 23.21 -1.8 1.6 -5.9 0.1 6.6 17.7

53.75 23.32 22.97 0.6 -2.3 27.8 -1.0 1.6 -0.8

62.03 23.65 25.53 -0.8 15.4 1.4 11.1 -0.6 -7.2

52.81 20.64 16.85 -15.1 -14.9 -12.7 -34.0 -0.4 0.7

60.26 23.68 14.24 4.0 14.1 14.7 -15.5 -0.4 0.7

69.64 22.78 17.92 9.6 15.6 -3.8 25.8 -0.8 15.4

77.55 26.25 19.15 6.1 11.4 15.2 6.9 3.4 12.7

86.59 29.84 18.94 0.7 11.7 13.7 -1.1 1.4 -1.1

86.06 37.65 21.44 1.9 -0.6 26.2 13.2 0.3 7.1

79.83 32.30 22.47 -0.6 -7.2 -14.2 4.8 3.6 12.5

83.36 38.56 24.43 5.2 4.4 19.4 8.7 0.0 -5.6

98.38 34.99 28.71 10.2 18.0 -9.3 17.5 0.3 7.1

109.23 34.72 25.41 -2.1 11.0 -0.8 -11.5 -2.9 -2.8121.70 38.81 27.33 3.9 11.4 11.8 7.6 0.2 -7.3

118.35 36.92 25.71 -2.9 -2.8 -4.9 -5.9 -1.8 -1.8

117.40 39.83 25.64 1.6 -0.8 7.9 -0.3 4.0 14.1

114.05 38.97 25.39 -4.5 -2.9 -2.2 -1.0 4.4 3.9

92.60 39.83 31.39 3.8 -18.8 2.2 23.6 -0.8 -7.5

97.27 39.18 31.17 1.4 5.0 -1.6 -0.7 5.7 1.3

101.81 50.24 32.22 5.7 4.7 28.2 3.4 -5.9 -3.7

105.94 42.11 32.98 -4.8 4.1 -16.2 2.4 2.7 -0.8

97.08 38.45 30.02 -7.4 -8.4 -8.7 -9.0 3.6 12.5

111.83 45.72 34.74 7.8 15.2 18.9 15.7 5.9 10.3

105.34 30.01 34.32 -1.7 -5.8 -34.4 -1.2 2.4 -0.5101.51 26.92 36.17 -2.0 -3.6 -10.3 5.4 1.3 0.6

103.63 34.42 35.05 -0.7 2.1 27.9 -3.1 2.7 -0.8

106.18 30.04 41.01 0.7 2.5 -12.7 17.0 1.3 2.1

125.02 30.04 45.40 6.6 17.7 0.0 10.7 6.1 11.4

106.65 25.95 42.04 -5.0 -14.7 -13.6 -7.4 0.7 11.7

93.28 29.63 40.92 3.0 -12.5 14.2 -2.7 -0.8 7.3

88.65 24.69 38.84 -5.1 -5.0 -16.7 -5.1 6.2 7.3

80.60 18.67 39.81 3.6 -9.1 -24.4 2.5 3.4 12.7

106.20 26.27 43.64 0.9 31.8 40.7 9.6 5.7 4.7

94.83 25.39 38.44 -3.6 -10.7 -3.3 -11.9 6.1 11.4

-5.0 0.0 5.0 10.0 15.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

< 0$00

-5. 0 0. 0 5.0 10. 0 15.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

< 0$0&

-5. 0 0. 0 5.0 10. 0 15.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

< 0$0&

-20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0

-25.0

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

9; &$*#< + 0$00

B(

-20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

9; &$&,< 0$00

(S-.

-20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

9; &$*/< + 0$0&

C


5/18

91.30 23.53 35.16 -5.9 -3.7 -7.3 -8.5 0.7 1.4

109.30 29.15 38.42 8.7 19.7 23.9 9.3 -3.6 -10.7

106.26 29.77 40.17 1.6 -2.8 2.1 4.6 8.6 7.1

107.87 31.41 41.42 -3.8 1.5 5.5 3.1 3.9 11.4

99.99 28.48 39.36 0.2 -7.3 -9.3 -5.0 -1.5 -3.2

95.12 24.55 36.01 -5.4 -4.9 -13.8 -8.5 1.6 -2.8

87.29 22.02 31.85 -11.1 -8.2 -10.3 -11.6 3.6 -9.1

102.85 25.02 35.79 2.6 17.8 13.6 12.4 2.6 17.8

110.14 27.63 37.80 8.6 7.1 10.4 5.6 2.0 5.7

115.26 28.51 39.83 1.7 4.6 3.2 5.4 -1.7 -5.8

102.80 27.41 37.53 -1.0 -10.8 -3.9 -5.8 3.0 11.5

93.62 25.10 35.83 1.9 -8.9 -8.4 -4.5 1.2 -1.1

99.23 25.95 39.21 2.9 6.0 3.4 9.4 -6.2 -10.8

79.91 22.49 34.28 -4.4 -19.5 -13.3 -12.6 0.9 -2.6

76.91 21.91 34.33 -0.2 -3.8 -2.6 0.1 3.5 8.8

68.83 23.54 30.81 -6.9 -10.5 7.4 -10.3 -11.1 -8.2

67.30 20.65 26.66 -5.5 -2.2 -12.3 -13.5 -4.8 4.1

72.22 21.12 28.07 -0.8 7.3 2.3 5.3 -3.5 0.9

55.87 18.82 25.41 -12.4 -22.6 -10.9 -9.5 -5.4 -4.9

75.63 23.01 31.83 10.6 35.4 22.3 25.3 -1.5 -3.2

83.43 24.82 33.49 5.9 10.3 7.9 5.2 -15.1 -14.9

74.39 22.25 30.31 -6.2 -10.8 -10.4 -9.5 0.8 -0.5

75.06 20.42 29.75 -3.5 0.9 -8.2 -1.8 0.0 -5.6

74.97 20.46 28.88 -2.0 -0.1 0.2 -2.9 6.6 17.7

75.43 20.90 29.84 1.3 0.6 2.2 3.3 1.3 2.1

81.65 22.08 34.00 6.1 8.2 5.6 13.9 -2.0 -0.1

84.82 21.25 35.71 4.4 3.9 -3.8 5.0 7.8 15.2

79.49 22.14 37.26 1.5 -6.3 4.2 4.3 -3.5 0.9

78.28 22.80 39.31 2.8 -1.5 3.0 5.5 0.0 -5.6

79.17 22.90 38.04 2.0 1.1 0.4 -3.2 -0.2 -3.8

85.27 24.00 39.93 -1.5 7.7 4.8 5.0 5.7 4.7

86.38 22.69 41.90 5.7 1.3 -5.5 4.9 -6.9 -10.5

87.57 22.32 41.57 -0.2 1.4 -1.6 -0.8 -0.2 -3.8

89.64 23.76 42.91 6.9 2.4 6.5 3.2 -1.3 -4.0

95.97 24.01 44.09 0.3 7.1 1.1 2.7 1.2 -0.1

93.48 23.03 44.79 0.9 -2.6 -4.1 1.6 4.0 5.2

88.97 21.64 46.07 -2.1 -4.8 -6.0 2.9 0.0 -5.6

85.41 22.69 43.21 -1.3 -4.0 4.9 -6.2 -2.8 -1.2

85.99 22.77 41.72 -0.4 0.7 0.4 -3.4 6.2 7.3

85.57 24.80 41.78 2.4 -0.5 8.9 0.1 9.6 15.6

84.52 24.73 39.98 -2.8 -1.2 -0.3 -4.3 -1.7 -5.8

82.38 23.77 42.24 0.3 -2.5 -3.9 5.7 -6.2 -10.8

83.40 24.08 40.01 -0.9 1.2 1.3 -5.3 0.9 -2.6

87.30 24.35 40.60 -0.5 4.7 1.1 1.5 1.1 -4.4

91.85 26.02 40.95 4.0 5.2 6.9 0.9 6.2 7.3

96.08 25.93 44.09 3.4 4.6 -0.3 7.7 -3.0 -16.4

91.05 25.50 44.89 -2.7 -5.2 -1.7 1.8 -2.1 -4.8

90.40 24.49 44.06 2.6 -0.7 -4.0 -1.8 1.1 2.8

89.23 23.53 41.49 -2.4 -1.3 -3.9 -5.8 2.0 1.1

74.58 24.63 43.77 -3.0 -16.4 4.7 5.5 -1.7 -5.8

73.97 25.20 43.91 2.7 -0.8 2.3 0.3 -1.7 -2.6


6/18

72.65 24.26 43.09 -1.8 -1.8 -3.7 -1.9 -5.9 -3.7

81.71 25.01 40.95 3.6 12.5 3.1 -5.0 2.4 -0.5

79.12 26.82 41.20 -1.5 -3.2 7.2 0.6 -1.0 -10.8

78.73 25.20 42.85 0.8 -0.5 -6.0 4.0 -3.8 1.5

80.36 25.17 43.10 -1.2 2.1 -0.1 0.6 1.1 -4.4

87.46 27.19 46.15 3.5 8.8 8.0 7.1 6.1 11.4

80.87 25.69 46.13 -0.8 -7.5 -5.5 0.0 0.0 -5.6

79.98 27.65 44.28 1.4 -1.1 7.6 -4.0 -1.8 1.6

79.14 26.48 44.55 1.2 -1.1 -4.2 0.6 1.5 -6.3

81.34 26.82 45.37 1.1 2.8 1.3 1.8 1.6 -2.8

81.21 23.80 48.48 2.3 -0.2 -11.3 6.9 -3.8 1.5

79.09 22.41 47.85 -1.7 -2.6 -5.8 -1.3 -2.9 -2.8

76.04 23.06 46.83 -0.2 -3.9 2.9 -2.1 -7.3 -4.0

76.62 23.81 46.89 0.3 0.8 3.3 0.1 1.2 -0.1

80.47 25.52 48.39 1.7 5.0 7.2 3.2 2.0 5.7

81.43 27.16 48.70 2.6 1.2 6.4 0.6 0.0 -5.6

91.75 28.51 49.18 3.4 12.7 5.0 1.0 -0.2 -3.9

91.64 29.26 49.10 1.2 -0.1 2.6 -0.2 0.0 -5.6

96.86 29.76 55.15 2.0 5.7 1.7 12.3 1.3 2.1

98.85 30.75 54.59 1.3 2.1 3.3 -1.0 1.3 0.6

92.94 28.17 50.37 -2.8 -6.0 -8.4 -7.7 -4.4 -19.5

94.26 27.87 51.34 0.7 1.4 -1.1 1.9 3.8 -18.8

101.17 30.12 53.37 6.2 7.3 8.1 4.0 1.2 -0.1


7/18

Randoized Returns Port9olio Allocations

(S-. C ^DJ B( (S-. C Err:502

1.00 1.00 1.00 1.00 1.00

-34.4 -1.2 0.98 0.94 0.66 0.99 0.94

3.3 -1.0 1.00 0.96 0.68 0.98 0.95

14.7 -15.5 1.04 1.10 0.78 0.83 0.98

-3.8 25.8 1.13 1.27 0.75 1.04 1.11

15.2 6.9 1.20 1.41 0.86 1.11 1.20

7.9 -0.3 1.22 1.40 0.93 1.11 1.22

-1.8 2.7 1.15 1.30 0.91 1.14 1.17

5.6 13.9 1.22 1.41 0.97 1.30 1.26

0.4 -3.4 1.21 1.42 0.97 1.25 1.25

-3.8 25.8 1.33 1.64 0.93 1.58 1.41

6.9 0.9 1.38 1.72 1.00 1.59 1.46

2.3 0.3 1.42 1.71 1.02 1.59 1.49

0.0 10.7 1.51 2.01 1.02 1.76 1.62

7.9 -0.3 1.54 2.00 1.10 1.76 1.64

-14.2 4.8 1.53 1.85 0.94 1.84 1.610.4 -3.4 1.52 1.87 0.95 1.78 1.60

0.4 -3.4 1.52 1.88 0.95 1.72 1.58

1.4 11.1 1.50 2.17 0.96 1.91 1.66

5.0 1.0 1.56 2.44 1.01 1.93 1.75

7.6 -4.0 1.58 2.42 1.09 1.85 1.75

1.1 2.7 1.58 2.59 1.10 1.90 1.79

3.1 -5.0 1.64 2.91 1.13 1.81 1.86

15.5 -8.0 1.64 2.75 1.31 1.66 1.84

1.1 2.7 1.64 2.94 1.32 1.71 1.88

-4.9 -5.9 1.60 2.86 1.26 1.61 1.81

-9.3 -5.0 1.60 2.65 1.14 1.53 1.75

-3.7 -1.9 1.57 2.60 1.10 1.50 1.7114.7 -15.5 1.63 2.97 1.26 1.27 1.77

-3.8 5.0 1.70 3.08 1.21 1.33 1.83

-5.5 0.0 1.69 2.85 1.15 1.33 1.79

-5.5 4.9 1.79 2.89 1.08 1.40 1.85

-7.3 -8.5 1.68 2.78 1.00 1.28 1.74

2.3 0.3 1.73 2.76 1.03 1.28 1.76

3.1 -5.0 1.79 3.10 1.06 1.22 1.83

7.9 5.2 1.89 3.42 1.14 1.28 1.95

8.9 0.1 1.94 3.41 1.24 1.28 1.99

2.2 3.3 1.97 3.43 1.27 1.33 2.02

2.3 0.3 2.02 3.40 1.30 1.33 2.05

3.3 -1.0 2.04 3.47 1.34 1.32 2.08

15.2 6.9 2.17 3.86 1.55 1.41 2.25

13.7 -1.1 2.18 4.31 1.76 1.39 2.33

2.3 5.3 2.17 4.63 1.80 1.46 2.39

8.1 4.0 2.30 4.97 1.95 1.52 2.54

5.0 1.0 2.38 5.60 2.04 1.54 2.66

28.2 3.4 2.52 5.86 2.62 1.59 2.85

15.2 6.9 2.67 6.52 3.02 1.70 3.09


8/18

-1.1 1.9 2.69 6.62 2.99 1.73 3.12

-3.3 -11.9 2.59 5.91 2.89 1.53 2.91

10.4 5.6 2.81 6.33 3.19 1.61 3.14

11.8 7.6 2.92 7.05 3.56 1.73 3.36

7.2 0.6 2.88 6.83 3.82 1.74 3.34

2.1 4.6 2.93 6.64 3.90 1.82 3.38

-24.4 2.5 3.03 6.03 2.95 1.87 3.32

13.6 12.4 3.11 7.11 3.35 2.10 3.61

1.7 12.3 3.17 7.51 3.41 2.36 3.78

-34.4 -1.2 3.12 7.08 2.24 2.33 3.56

0.7 2.2 3.21 7.89 2.25 2.38 3.72

-4.2 0.6 3.25 7.81 2.16 2.40 3.72

-10.4 -9.5 3.04 6.96 1.93 2.17 3.41

-4.1 1.6 3.07 6.78 1.86 2.20 3.41

8.0 7.1 3.18 7.38 2.00 2.36 3.60

-10.3 -11.6 2.83 6.78 1.80 2.09 3.22

-16.2 2.4 2.69 7.05 1.51 2.13 3.14

-8.2 -1.8 2.60 7.11 1.38 2.10 3.05

-13.8 -8.5 2.46 6.77 1.19 1.92 2.84

7.2 0.6 2.42 6.55 1.28 1.93 2.83

-12.7 -34.0 2.05 5.58 1.12 1.27 2.30

-6.0 4.0 2.07 5.55 1.05 1.32 2.31

15.5 -8.0 2.07 5.24 1.21 1.22 2.29

0.0 10.7 2.21 6.17 1.21 1.35 2.49

3.3 -1.0 2.23 6.30 1.25 1.33 2.52

0.2 -2.9 2.19 6.29 1.25 1.30 2.48

18.9 15.7 2.36 7.24 1.49 1.50 2.78

-8.2 -1.8 2.28 7.31 1.37 1.47 2.70

15.5 -8.0 2.28 6.90 1.58 1.35 2.67

-2.6 0.1 2.27 6.64 1.54 1.36 2.6428.2 3.4 2.40 6.95 1.97 1.40 2.83

7.4 -10.3 2.24 6.22 2.12 1.26 2.64

-2.6 0.1 2.23 5.99 2.06 1.26 2.61

4.9 -6.2 2.20 5.75 2.17 1.18 2.55

2.6 -0.2 2.23 5.74 2.22 1.18 2.57

6.9 0.9 2.32 6.04 2.37 1.19 2.67

15.5 -8.0 2.32 5.70 2.74 1.09 2.64

-0.3 -4.3 2.25 5.63 2.73 1.05 2.57

8.1 4.0 2.39 6.04 2.95 1.09 2.73

-3.8 25.8 2.62 6.98 2.84 1.37 3.08

-34.4 -1.2 2.58 6.58 1.87 1.35 2.90

-10.4 -9.5 2.42 5.87 1.67 1.22 2.66-4.1 1.6 2.44 5.71 1.60 1.24 2.66

-8.7 5.9 2.47 5.46 1.47 1.32 2.66

8.1 4.0 2.62 5.86 1.58 1.37 2.82

4.7 5.5 2.54 4.90 1.66 1.45 2.73

-6.0 2.9 2.49 4.66 1.56 1.49 2.68

1.3 1.8 2.51 4.79 1.58 1.51 2.72

0.4 -3.2 2.56 4.84 1.58 1.46 2.74

-34.4 -1.2 2.52 4.56 1.04 1.45 2.58

-5.8 -1.3 2.47 4.44 0.98 1.43 2.52


9/18

-7.3 -8.5 2.33 4.28 0.91 1.31 2.37

8.9 0.1 2.38 4.26 0.99 1.31 2.42

-3.9 -5.8 2.36 3.80 0.95 1.23 2.31

5.5 3.1 2.27 3.86 1.00 1.27 2.31

-8.7 5.9 2.30 3.68 0.92 1.35 2.30

15.2 6.9 2.44 4.10 1.06 1.44 2.49

15.5 -8.0 2.44 3.87 1.22 1.32 2.46

-5.9 0.1 2.39 3.93 1.15 1.32 2.44

4.2 4.3 2.43 3.69 1.19 1.38 2.46

2.1 4.6 2.47 3.58 1.22 1.45 2.49

5.5 3.1 2.38 3.64 1.29 1.49 2.48

-4.9 -5.9 2.31 3.54 1.22 1.40 2.39

-6.5 -11.7 2.14 3.40 1.14 1.24 2.21

2.6 -0.2 2.16 3.39 1.17 1.24 2.23

1.7 12.3 2.21 3.59 1.20 1.39 2.34

15.5 -8.0 2.21 3.39 1.38 1.28 2.31

2.9 -2.1 2.20 3.26 1.42 1.25 2.28

15.5 -8.0 2.20 3.07 1.64 1.15 2.26

3.3 -1.0 2.23 3.14 1.69 1.14 2.28

2.2 3.3 2.26 3.16 1.73 1.18 2.32

-13.3 -12.6 2.16 2.54 1.50 1.03 2.09

2.2 23.6 2.24 2.06 1.53 1.27 2.16

2.6 -0.2 2.27 2.06 1.57 1.27 2.17


10/18


11/18


12/18


13/18

.1@e in 9our a8oo s1ols t8en click t8e uttons ;one+at+a+tie=$ &2& &2&

Start Date: 52#200'

End Date: 52*20&' *

Select 9our Assets Asset A > ^DJ Asset B > B( Asset C > (S-.

u&e, $ttpc$art.ya$oo.co*ta"le.c&v&:a3:"30:c1997:,3:e30:/2007:g*:;;:y0:n,e= ate Open ?(g$ o@ lo&e olu*e

1 Apr 3097 54.75 56.50 54.00 55.50 22'496'200

2 May 197 55.38 58.25 53.25 55.00 5'128'500

3 Jun 297 55.63 66.12 54.38 63.06 5'075'800

4 Jul 197 63.75 73.62 63.31 71.94 4'797'100

5 Aug 197 72.00 72.62 63.00 63.50 4'855'000

6 Sep 297 65.25 73.37 63.50 68.31 6'350'100

7 Oct 197 69.75 76.44 64.69 70.00 8'341'700

8 Nov 397 70.75 76.00 48.25 50.88 6'010'600

9 ec 197 51.00 57.38 50.94 53.88 6'507'600

10 Jan 298 54.00 54.38 45.13 49.56 7'562'600

11 !e" 298 50.63 56.31 50.63 55.63 5'240'000

12 Mar 298 55.06 63.38 54.06 60.00 5'659'600

13 Apr 198 60.44 73.50 59.19 61.19 10'441'700

14 May 198 62.00 65.00 59.38 61.25 6'296'700

15 Jun 198 61.06 65.31 59.13 60.63 7'342'100

16 Jul 198 61.44 72.94 61.13 67.25 9'360'200

17 Aug 398 67.00 67.25 43.75 44.38 13'659'400

18 Sep 198 44.13 46.50 37.13 37.50 25'608'800

19 Oct 198 36.25 47.63 28.50 47.00 34'097'400

20 Nov 298 46.75 53.25 41.56 50.25 30'066'600

21 ec 198 48.75 52.19 45.50 49.69 16'804'100

22 Jan 499 50.13 59.44 49.00 56.06 24'538'100

23 !e" 199 56.25 60.19 50.13 58.75 20'968'200

24 Mar 199 59.44 66.44 57.44 63.88 17'613'300

25 Apr 199 64.50 77.62 64.19 74.87 20'169'300

26 May 399 74.50 75.50 62.19 66.25 17'272'000

27 Jun 199 43.88 49.00 40.13 47.50 11'894'700

28 Jul 199 47.56 50.94 44.50 44.56 11'384'600

29 Aug 299 44.94 50.44 41.19 44.44 12'503'600

30 Sep 199 44.44 46.50 41.88 44.00 14'212'100

31 Oct 199 43.00 56.00 42.06 54.25 18'941'100

32 Nov 199 53.75 58.25 51.56 53.88 16'913'400

33 ec 199 53.06 57.56 53.00 55.69 11'571'100

34 Jan 300 55.63 60.13 49.50 57.00 15'685'80035 !e" 100 57.56 58.63 47.13 51.75 17'911'100

36 Mar 100 53.25 62.38 47.75 59.88 16'598'400

37 Apr 300 60.00 65.44 56.00 59.00 15'572'900

38 May 100 60.19 63.38 56.38 62.19 11'431'200

39 Jun 100 63.00 67.62 60.00 60.25 11'456'000

40 Jul 300 60.69 72.00 60.56 70.50 9'945'900

41 Aug 100 70.94 78.31 56.81 58.39 9'080'900

42 Sep 100 58.63 59.06 51.13 54.06 12'755'000

43 Oct 200 54.06 57.13 44.50 52.63 14'345'200

44 Nov 100 52.00 55.81 46.50 49.81 12'943'900

45 ec 100 50.88 53.69 46.75 51.06 14'944'100

46 Jan 201 51.75 57.38 50.06 55.97 16'284'200

47 !e" 101 55.75 56.69 45.50 49.18 13'117'800

13

18

23

28

33

38

43

48

53

58

C


14/18

48 Mar 101 48.30 51.50 39.00 44.98 17'339'400

49 Apr 201 44.55 52.49 41.40 49.15 14'164'700

50 May 101 49.20 53.00 48.91 51.25 10'995'100

51 Jun 101 51.26 53.75 47.75 52.84 11'694'000

52 Jul 201 52.95 53.73 47.30 50.21 11'861'300

53 Aug 101 50.70 51.44 44.50 45.80 10'479'800

54 Sep 401 46.25 47.30 34.51 40.50 20'699'900

55 Oct 101 40.78 48.75 40.50 45.52 15'742'900

56 Nov 101 45.45 50.99 44.70 47.90 12'726'900

57 ec 301 48.00 51.80 46.00 50.48 12'448'700

58 Jan 202 50.02 52.20 45.21 47.40 13'704'700

59 !e" 102 47.01 47.40 41.50 45.25 17'731'500

60 Mar 102 45.50 50.49 44.82 49.52 13'666'300

61 Apr 102 49.15 49.80 42.75 43.30 13'318'500

62 May 102 43.30 47.09 42.09 43.18 12'754'900

63 Jun 302 43.45 43.74 36.00 38.75 19'484'800

64 Jul 102 38.95 39.75 24.48 33.54 34'272'400

65 Aug 102 33.00 36.40 28.60 32.75 20'230'30066 Sep 302 30.99 31.80 26.15 29.65 25'030'000

67 Oct 102 30.02 37.25 25.08 36.95 24'539'300

68 Nov 102 36.75 39.50 34.29 38.88 17'594'300

69 ec 202 38.89 39.48 34.60 35.19 14'460'400

70 Jan 203 35.70 38.90 33.65 34.35 17'022'300

71 !e" 303 34.38 35.01 31.05 33.34 15'439'500

72 Mar 303 33.85 37.20 30.25 34.45 16'691'100

73 Apr 103 34.46 40.40 34.46 39.25 16'601'400

74 May 103 39.05 41.64 38.09 41.02 15'082'800

75 Jun 203 41.48 45.72 40.70 42.80 13'856'000

76 Jul 103 42.36 48.15 42.35 44.80 14'339'900

77 Aug 103 45.08 45.58 42.48 43.35 12'215'50078 Sep 203 43.35 47.48 43.25 45.51 13'396'300

79 Oct 103 45.96 49.15 45.74 47.40 12'790'900

80 Nov 303 47.60 48.98 44.84 47.03 12'068'500

81 ec 103 47.41 48.64 46.00 48.54 10'146'500

82 Jan 204 49.05 51.11 48.54 49.48 14'018'200

83 !e" 204 49.50 50.36 47.99 50.26 12'296'200

84 Mar 104 50.60 52.05 48.60 51.70 15'054'300

85 Apr 104 51.98 52.88 47.85 48.09 13'770'600

86 May 304 48.10 49.18 44.83 46.43 14'922'000

87 Jun 104 46.46 47.62 46.06 46.50 11'537'700

88 Jul 104 46.50 46.75 43.55 44.09 14'550'000

89 Aug 204 43.17 46.81 42.99 46.58 10'237'000

90 Sep 104 46.57 47.47 43.54 44.12 14'138'300

91 Oct 104 44.47 45.18 42.10 44.37 14'759'700

92 Nov 104 44.45 47.10 44.21 44.75 15'129'900

93 ec 104 45.03 49.06 44.93 48.18 13'399'400

94 Jan 305 49.00 49.30 47.25 49.05 16'445'300

95 !e" 105 49.30 49.99 47.60 47.72 14'774'600

96 Mar 105 47.93 48.68 44.05 44.94 17'248'900

97 Apr 105 45.50 47.15 43.80 46.96 15'991'700

98 May 205 46.96 48.14 45.76 47.11 12'113'800

99 Jun 105 47.12 48.10 46.20 46.23 11'446'300

100 Jul 105 46.50 46.81 43.50 43.50 19'511'700101 Aug 105 43.60 44.43 42.91 43.77 15'789'100


15/18

102 Sep 105 43.60 45.87 43.38 45.52 14'388'100

103 Oct 305 45.74 46.25 44.00 45.78 16'359'800

104 Nov 105 45.95 49.76 45.21 48.55 16'706'800

105 ec 105 48.96 49.73 48.22 48.53 13'759'900

106 Jan 306 49.00 49.58 45.63 46.58 17'841'900

107 !e" 106 46.59 47.13 44.81 46.37 15'070'900

108 Mar 106 46.39 48.01 45.80 47.23 14'071'000

109 Apr 306 47.41 49.95 47.15 49.95 17'924'900

110 May 106 50.00 50.72 48.43 49.30 16'741'600

111 Jun 106 49.38 50.41 47.47 48.25 16'760'900

112 Jul 306 48.60 49.73 46.22 48.31 16'390'000

113 Aug 106 48.31 49.71 47.22 49.35 12'112'700

114 Sep 106 49.70 50.35 48.42 49.67 13'625'900

115 Oct 206 49.68 51.33 49.28 50.16 17'958'200

116 Nov 106 50.55 50.95 49.43 49.59 15'429'500

117 ec 106 49.59 57.00 48.83 55.70 22'258'800

118 Jan 307 55.66 56.28 53.50 55.13 18'904'400

119 !e" 107 55.13 55.50 49.56 50.37 21'616'000120 Mar 107 49.75 52.50 48.05 51.34 23'504'500

121 Apr 207 51.31 53.94 50.41 53.37 21'280'600

122


16/18

&2& &2& ont8s 60.67

13.08

Asset D > C 121

A,B lo&e

13.86 .8e 9irst+naed asset A

13.77 is t8e Fenc8arkF

15.79

18.05

15.94

17.14

17.60

19.19

20.33

18.70

21.04

22.69

23.19

23.21

22.97

25.53

16.85

14.24

17.92

19.15

18.94

21.44

22.47

24.43

28.71

25.41

27.33

25.71

25.64

25.39

31.39

31.17

32.22

32.9830.02

34.74

34.32

36.17

35.05

41.01

45.40

42.04

40.92

38.84

39.81

43.64

38.44


17/18

35.16

38.42

40.17

41.42

39.36

36.01

31.85

35.79

37.80

39.83

37.53

35.83

39.21

34.28

34.33

30.81

26.66

28.0725.41

31.83

33.49

30.31

29.75

28.88

29.84

34.00

35.71

37.26

39.31

38.0439.93

41.90

41.57

42.91

44.09

44.79

46.07

43.21

41.72

41.78

39.98

42.24

40.01

40.60

40.95

44.09

44.89

44.06

41.49

43.77

43.91

43.09

40.9541.20


18/18

42.85

43.10

46.15

46.13

44.28

44.55

45.37

48.48

47.85

46.83

46.89

48.39

48.70

49.18

49.10

55.15

54.59

50.3751.34

53.37

4 Stock Regressions

Documents

Transcript of 4 Stock Regressions