Weights

DATE
7/1/2015
6/1/2015
5/1/2015
4/1/2015
3/2/2015
2/2/2015
1/2/2015
12/1/2014
11/3/2014
10/1/2014
9/2/2014
8/1/2014
7/1/2014
6/2/2014
5/1/2014
4/1/2014
3/3/2014
2/3/2014
1/2/2014
12/2/2013
11/1/2013
10/1/2013
9/3/2013
8/1/2013
7/1/2013
6/3/2013
5/1/2013
4/1/2013
3/1/2013
2/1/2013
1/2/2013
12/3/2012
11/1/2012
10/1/2012
9/4/2012
8/1/2012
7/2/2012
6/1/2012
5/1/2012
4/2/2012
3/1/2012
2/1/2012
1/3/2012
12/1/2011

Merck & Co.

57.670
56.930
60.430
59.110
57.050
57.630
59.340
55.910
59.020
56.610
57.920
58.310
55.040
56.120
55.710
56.380
54.660
54.440
50.600
47.810
47.180
42.690
45.070
44.370
45.200
43.580
43.420
43.700
41.090
39.350
39.830
37.700
40.410
41.620
41.140
38.900
39.910
37.720
33.590
35.070
34.320
33.740
33.830
33.320

Prices (YAHOO FINANCE)

American Express The Procter & Gamble
78.210
79.930
77.720
78.240
79.420
78.390
77.160
79.510
77.830
81.290
81.020
84.450
80.120
83.620
92.110
89.720
91.500
89.070
89.050
85.960
86.410
81.860
88.390
81.240
86.860
75.580
93.390
76.210
90.070
78.350
86.060
80.050
88.400
77.540
89.630
75.680
83.480
73.710
88.860
77.740
84.030
80.420
80.110
77.100
73.740
71.620
70.210
73.800
72.030
76.080
72.770
72.400
73.700
72.190
66.590
72.200
65.470
71.940
60.320
71.120
57.080
70.170
55.590
62.870
54.070
64.670
54.130
64.120
54.800
63.710
56.190
61.710
55.620
59.280
55.910
55.770
53.630
56.720
57.830
57.950
55.390
60.690
50.630
61.060
48.000
56.920
44.980
59.760

Tesla
279.720
268.260
250.800
226.050
188.770
203.340
203.600
222.410
244.520
241.700
242.680
269.700
223.300
240.060
207.770
207.890
208.450
244.810
181.410
150.430
127.280
159.940
193.370
169.000
134.280
107.360
97.760
53.990
37.890
34.830
37.510
33.870
33.820
28.130
29.280
28.520
27.420
31.290
29.500
33.130
37.240
33.410
29.070
28.560

11/1/2011
10/3/2011
9/1/2011
8/1/2011
7/1/2011
6/1/2011
5/2/2011
4/1/2011
3/1/2011
2/1/2011
1/3/2011
12/1/2010
11/1/2010
10/1/2010
9/1/2010
8/2/2010
7/6/2010

31.220
30.130
28.560
28.570
29.450
30.460
31.380
30.690
28.180
27.490
27.990
30.410
28.780
30.320
30.740
29.050
28.480

45.810
48.270
42.640
47.210
47.520
49.100
48.830
46.440
42.600
41.070
40.890
40.290
40.570
38.920
39.270
37.250
41.710

57.840
57.320
56.140
56.580
54.640
56.030
59.050
57.200
53.840
55.110
55.180
55.820
52.990
55.160
51.640
51.380
52.660

32.740
29.370
24.390
24.740
28.170
29.130
30.140
27.600
27.750
23.890
24.100
26.630
35.330
21.840
20.410
19.480
19.940
MEAN
SD (RISK)
VARIANCE

0.25
Merck & Co.
0.013
-0.060
0.022
0.035
-0.010
-0.029
0.060
-0.054
0.042
-0.023
-0.007
0.058
-0.019
0.007
-0.012
0.031
0.004
0.073
0.057
0.013
0.100
-0.054
0.016
-0.019
0.036
0.004
-0.006
0.062
0.043
-0.012
0.055
-0.069
-0.030
0.012
0.056
-0.026
0.056
0.116
-0.043
0.022
0.017
-0.003
0.015
0.065

0.25
0.25
INDIVIDUAL RETURNS
American Express
The Procter & Gamble
0.006
0.021
-0.022
-0.002
0.029
-0.014
-0.009
-0.022
-0.040
-0.038
0.011
0.010
-0.139
-0.070
0.007
0.007
0.027
0.036
0.030
0.049
-0.023
0.008
0.017
0.072
-0.072
-0.008
0.036
-0.028
0.046
-0.021
-0.027
0.032
-0.014
0.024
0.071
0.026
-0.062
-0.053
0.056
-0.034
0.048
0.042
0.083
0.074
0.049
-0.030
-0.026
-0.030
-0.010
0.050
-0.013
0.003
0.101
0.000
0.017
0.004
0.082
0.011
0.055
0.013
0.026
0.110
0.028
-0.028
-0.001
0.009
-0.012
0.006
-0.025
0.032
0.010
0.040
-0.005
0.061
0.042
-0.017
-0.075
-0.021
0.043
-0.046
0.090
-0.006
0.053
0.070
0.065
-0.049
-0.018
0.033

0.25

INDIVIDUAL EXC
Tesla
0.042
0.067
0.104
0.180
-0.074
-0.001
-0.088
-0.095
0.012
-0.004
-0.106
0.189
-0.072
0.144
-0.001
-0.003
-0.161
0.300
0.187
0.167
-0.228
-0.190
0.135
0.230
0.224
0.094
0.594
0.354
0.084
-0.074
0.102
0.001
0.184
-0.040
0.026
0.039
-0.132
0.059
-0.116
-0.117
0.109
0.139
0.018
-0.137

Merck & Co.

0.001
-0.071
0.010
0.024
-0.022
-0.041
0.048
-0.066
0.030
-0.035
-0.018
0.046
-0.031
-0.004
-0.024
0.019
-0.008
0.061
0.045
0.002
0.088
-0.066
0.004
-0.030
0.025
-0.008
-0.018
0.050
0.032
-0.024
0.043
-0.081
-0.041
0.000
0.044
-0.037
0.045
0.104
-0.055
0.010
0.005
-0.014
0.003
0.053

0.036
0.054
0.000
-0.030
-0.034
-0.030
0.022
0.085
0.025
-0.018
-0.083
0.055
-0.052
-0.014
0.057
0.020

-0.052
0.124
-0.102
-0.007
-0.033
0.006
0.050
0.086
0.037
0.004
0.015
-0.007
0.042
-0.009
0.053
-0.113

0.009
0.021
-0.008
0.035
-0.025
-0.052
0.032
0.061
-0.023
-0.001
-0.012
0.052
-0.040
0.066
0.005
-0.025

0.109
0.186
-0.014
-0.130
-0.034
-0.034
0.088
-0.005
0.150
-0.009
-0.100
-0.283
0.481
0.068
0.047
-0.023

1.18%
4.31%
0.002

1.05%
5.19%
0.003

0.70%
3.76%
0.001

4.40%
15.87%
0.025

0.024
0.042
-0.012
-0.042
-0.045
-0.042
0.010
0.074
0.013
-0.030
-0.095
0.043
-0.064
-0.026
0.045
0.008

INDIVIDUAL EXCESS RETURN

American Express The Procter & Gamble
-0.004
0.014
-0.032
-0.009
0.018
-0.021
-0.019
-0.029
-0.051
-0.045
0.001
0.003
-0.150
-0.077
-0.004
0.000
0.017
0.029
0.020
0.042
-0.033
0.001
0.007
0.065
-0.083
-0.015
0.026
-0.035
0.035
-0.028
-0.037
0.025
-0.024
0.017
0.061
0.019
-0.073
-0.060
0.045
-0.041
0.037
0.035
0.072
0.067
0.039
-0.037
-0.036
-0.037
-0.021
0.043
-0.023
-0.004
0.091
-0.007
0.006
-0.003
0.071
0.005
0.045
0.006
0.016
0.103
0.017
-0.035
-0.012
0.002
-0.023
-0.001
-0.036
0.025
0.000
0.033
-0.016
0.054
0.031
-0.024
-0.086
-0.028
0.033
-0.053
0.079
-0.013
0.043
0.063
0.055
-0.056
-0.029
0.026

Portfolio Returns
Tesla
-0.002
0.023
0.060
0.136
-0.118
-0.045
-0.132
-0.139
-0.032
-0.048
-0.150
0.145
-0.116
0.100
-0.045
-0.047
-0.205
0.256
0.143
0.123
-0.272
-0.234
0.091
0.186
0.180
0.050
0.550
0.310
0.040
-0.118
0.058
-0.043
0.140
-0.084
-0.018
-0.005
-0.176
0.015
-0.160
-0.161
0.065
0.095
-0.026
-0.181

0.020601
-0.00398
0.035167
0.046228
-0.04069
-0.00237
-0.05967
-0.03375
0.028993
0.013011
-0.03183
0.084046
-0.04315
0.040073
0.002886
0.008331
-0.03657
0.117582
0.032073
0.050592
-0.00962
-0.02187
0.042358
0.038855
0.074899
0.021889
0.17215
0.109066
0.055217
-0.0044
0.073335
-0.01711
0.040536
-0.00859
0.022283
0.016018
-0.00494
0.049904
-0.064
-0.0246
0.052337
0.06501
0.012296
-0.01428

-0.063
0.114
-0.112
-0.017
-0.043
-0.005
0.040
0.076
0.026
-0.006
0.004
-0.017
0.031
-0.019
0.042
-0.124

0.002
0.014
-0.015
0.028
-0.032
-0.059
0.025
0.054
-0.030
-0.008
-0.018
0.045
-0.047
0.059
-0.002
-0.032

0.065
0.142
-0.058
-0.174
-0.078
-0.078
0.044
-0.049
0.106
-0.053
-0.144
-0.327
0.437
0.024
0.003
-0.067
Portfolio Mean
Portfolio SD
Portfolio Variance
Portfolio Co-Variance
Portfolio Co-Relation

0.025221
0.096033
-0.03105
-0.03296
-0.03127
-0.02771
0.048071
0.056687
0.046957
-0.00591
-0.04488
-0.04562
0.107562
0.027737
0.04026
-0.0353
1.83%
4.86%
0.0024
0.0023
1

Market Yield on US Treasury Securities at 20 yr

Date
2010.4.03
2011.3.62
2012.2.54
2013.3.12
2014.3.07
Average
MONTHLY

Rate
4.03
3.62
2.54
3.12
3.07
3.28%
0.27%

Covariance
Merck & Co.
American Express
The Procter & Gamble
Tesla

Merck & Co.

0.001861429
0.000243364
0.000352845
0.000487444

American Express
0.000243364
0.002689691
0.000493091
0.002539278

The Procter & Gamble

0.000352845
0.000493091
0.001416893
-0.000794952

Std Dev * Std Dev

Merck & Co.
American Express
The Procter & Gamble
Tesla

Merck & Co.

0.001861429
0.002237559
0.001624022
0.006848819

American Express
0.002237559
0.002689691
0.00195218
0.008232727

The Procter & Gamble

0.001624022
0.00195218
0.001416893
0.005975318

Correlation
Merck & Co.
American Express
The Procter & Gamble
Tesla

Merck & Co.

American Express
0.108763365
1
0.252584877
0.308437091

The Procter & Gamble

0.217266098
0.252584877
1
-0.133039193

Stock Quote
Merck & Co.
American Express
The Procter & Gamble
Tesla

Stock Quote
Merck & Co.
American Express
The Procter & Gamble
Tesla
Total Weight
Mean Return
SD (RISK)
Sharpe Ratio

1
0.108763365
0.217266098
0.071172033

Individual Returns and Risk

Mean
SD (RISK)
1.20%
1.00%
0.70%
4.40%

0.043
0.052
0.038
0.159

Sharpe Ratio (SR)

0.279069767
0.192307692
0.184210526
0.27672956

Determinants of Efficient Portfolio & Capital Asset Allocation Line

Equal Weight Minimum Variance Portfolio
Highest return portfolio
25%
34%
0%
25%
18%
0%
25%
46%
0%
25%
2%
100%
100%
100%
100%
0.018
1.01%
4.40%
0.049
2.91%
15.87%
0.319
0.253
0.260

Tesla
0.000487444
0.002539278
-0.000794952
0.025199095

Tesla
0.006848819
0.008232727
0.005975318
0.025199095

Tesla
0.071172033
0.308437091
-0.133039193
1

ation Line
Max SR (Optimal Portfolio)
46%
3%
32%
19%
100%
1.63%
3.94%
0.344

11%
18%
49%
22%
100%
1.61%
4.27%
0.0427
0.313
4,91%

0%
62%
35%
3%
100%
1.00%
3.91%
0.0391
0.186
3.91%

0%
42%
14%
44%
100%
2.45%
7.91%
0.0791
0.275
7.91%

0%
37%
0%
63%
100%
3.14%
10.74%
0.1074
0.267
11.91%

0%
65%
0%
35%
100%
2.20%
7.37%
0.0737
0.262
7.91%

0%
31%
0%
69%
100%
3.36%
11.61%
0.1161
0.266
12.91%

0%
18%
0%
82%
100%
3.78%
13.30%
0.1330
0.264
14.91%

0%
12%
0%
88%
100%
3.99%
14.17%
0.1417
0.262
15.91%

0%
6%
0%
94%
100%
4.20%
15.04%
0.1504
0.261
15.91%

0%
57%
0%
43%
100%
2.45%
8.19%
0.0819
0.266
12.91%

0%
50%
0%
50%
100%
2.69%
9.04%
0.0904
0.267
11.91%

0%
44%
0%
56%
100%
2.92%
9.90%
0.0990
0.267
12.91%

Bordered Co-Variance Matrix Equally Weighted

American
The Procter &
Express
Gamble
Merck & Co.
Equal Weight 0.001
0.000
0.000
0.001
0.0000
0.0000
0.0000
0.000
0.0000
0.0000
0.0000
0.000
0.0000
0.0000
0.0000
0.999
0.0000
0.0000
0.0000
1.000
0.0000
0.0000
0.0000
Portfolio Variance
0.0252
Portfolio Standard Deviation
0.1587
Portfolio Mean
0.0440

Tesla
0.999
0.0000
0.0000
0.0000
0.0252
0.0252

Mean
1.18%
1.05%
0.70%
4.40%

PORTFOLIO
0.0500
0.0450
0.0400
0.0350
0.0300
0.0250
0.0200
0.0150
0.0100
0.0050
0.0000
0.0000 0.0200 0.0400 0.0600 0.0800 0.1000 0.1200 0.1400 0.1600 0.1800

PORTFOLIO

Weights

Mean

Standard
Deviation

Merck & Co.

0.0070
0.0100
0.0150
0.0200
0.0250
0.0300
0.0350
0.0400
0.0440

0.0373
0.0291
0.0362
0.0522
0.0716
0.0930
0.1159
0.1395
0.1587

0.000
0.335
0.423
0.508
0.580
0.435
0.280
0.125
0.001

American The Procter

Express
& Gamble
0.013
0.177
0.081
0.000
0.000
0.000
0.000
0.000
0.000

0.987
0.466
0.342
0.206
0.008
0.000
0.000
0.000
0.000

Tesla
0.000
0.022
0.155
0.286
0.412
0.565
0.720
0.875
0.999