Академический Документы
Профессиональный Документы
Культура Документы
2
3
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5
6
7
8
9
10
11
12
13
14
15
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
Closing
Price
Dividend
42.2500
34.3750
3.00
28.8750
1.60
32.2500
1.40
54.8750
0.80
42.1250
0.80
52.8750
1.10
55.7500
1.60
60.7500
5.59
71.5625
2.00
72.6875
14.15
Annual
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
#VALUE!
#VALUE!
14.25%
#VALUE!
16
Variance of return, GM
0.0638
#VALUE!
17
18
19
20
21
22
23
24
25
26
25.25%
#VALUE!
Ignore the material below unless you want to know how to make a backward
adjustment of prices for dividends.
27
28
29
30
31
32
33
34
35
36
37
38
39
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
29-Dec-00
Dividend
Price
Closing
Cash
plus
Price
Amount dividend
42.2500
34.3750
3.00
37.38
28.8750
1.60
30.48
32.2500
1.40
33.65
54.8750
0.80
55.68
42.1250
0.80
42.93
52.8750
1.10
53.98
55.7500
1.60
57.35
60.7500
5.59
66.34
71.5625
2.00
73.56
72.6875
14.15
86.84
50.9375
2.00
52.94
Adjusted price
23.32
20.63
18.29
21.31
36.80
28.78
36.88
40.00
47.60
57.64
69.94
50.94
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
Return
28
29
30
31
32
33
34
35
36
37
38
39
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
-27.17%
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Cumulative
adjustment
factor
1
2
3
4.5
4.5
9
9
18
18
36
72
Adjusted
price
87.00
150.50
333.75
384.19
362.81
550.13
789.75
1,487.25
2,326.50
4,992.75
8,406.00
Annual
return
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
16
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
Closing
Price
87.0000
75.2500
111.2500
85.3750
80.6250
61.1250
87.7500
82.6250
129.2500
138.6875
116.7500
Closing
Price
87.0000
75.2500
111.2500
85.3750
80.6250
61.1250
87.7500
82.6250
129.2500
138.6875
116.7500
Stock
split
during
year?
2.0 for 1
1.5 for 1
1.5 for 1
no
2.0 for 1
no
2.0 for 1
no
2.0 for 1
2.0 for 1
Stock
split
during
year?
2.0 for 1
1.5 for 1
1.5 for 1
no
2.0 for 1
no
2.0 for 1
no
2.0 for 1
2.0 for 1
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
62.72%
The cumulative
adjustment factor is the
product of all the splits:
72 = 2*1.5*1.5*2*2*2*2
14.43%
37.99%
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
#VALUE!
#VALUE!
#VALUE!
30
#VALUE!
31
32
33
#VALUE!
MSFT
adjusted
price
1.2083
2.0903
4.6354
5.3359
5.0391
7.6406
10.9688
20.6562
32.3125
69.3438
116.7500
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
73.00%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
62.72%
#VALUE!
16
14.43%
#VALUE!
17
18
19
37.99%
#VALUE!
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
Date
Close
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
21.7
19
16.47
19.12
33.15
25.86
33.28
36.16
43.17
52.37
66.05
return
in text
-12.44%
-13.32%
16.09%
73.38%
-21.99%
28.69%
8.65%
19.39%
21.31%
26.12%
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
1
2
Date
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
GM
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
MSFT
return
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
14.25%
62.72%
6.38%
14.43%
37.99%
3
4
5
6
7
8
9
10
11
12
13
14
15
Variance of return,
16
25.25%
17
-0.0552
18
19
-0.5755
-0.5755
2
GM
and
2
MSFT
1
UAL RETURN
DATA
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
#VALUE!
18
19
#VALUE!
#VALUE!
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
Date
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
Average return
GM
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
MSFT
return
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
14.25%
62.72%
GM
return
minus
average
#VALUE! -25.79%
-25.60%
2.28%
58.38%
-36.03%
13.88%
-5.79%
4.74%
6.84%
7.09%
#VALUE!
MSFT
=C3-$C$14
return
minus
average
Product
10.27%
-0.0265
59.04%
-0.1511
-47.61%
-0.0109
-68.28%
-0.3987
-11.09%
0.0400
-19.16%
-0.0266
25.60%
-0.0148
-6.29%
-0.0030
51.88%
0.0355
5.64%
0.0040
Covariance
Covariance
Correlation
Correlation
-0.0552
-0.0552
-0.5755
-0.5755
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
GM
annual
return
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
MSFT
annual
return
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Variance of return,
17
18
-552.10
#VALUE!
19
20
21
22
-0.5755
-0.5755
#VALUE!
#VALUE!
-0.5755
#VALUE!
2
GM
and
2
MSFT
-11.54
-11.35
16.54
72.64
-21.78
28.13
8.46
19.00
21.09
21.34
72.99
121.76
15.11
-5.56
51.63
43.56
88.32
56.43
114.60
68.36
14.25
62.72
637.80
1442.92
25.25
37.99
CORRELATION +1
Adams Farm and Morgan Sausage Stocks
Morgan
Sausage
stock
return
21.44%
36.13%
12.49%
23.12%
11.96%
24.50%
32.03%
25.63%
43.71%
29.91%
1.00
#VALUE!
#VALUE!
50.00%
45.00%
40.00%
Morgan Sausage
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
Adams
Farm stock
return
30.73%
55.21%
15.82%
33.54%
14.93%
35.84%
48.39%
37.71%
67.85%
44.85%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
10.00% 20.00% 30.00% 40.00% 50.00% 60.00% 70.00%
Adams Farm
Proportion of GM
Proportion of MSFT
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
1
2
3
4
Date
Dec-90
Dec-91
Dec-92
Dec-93
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Mean
Variance
St. dev.
Covariance
Correlation
0.5
0.5 #VALUE!
General
Motors Microsoft
GM
MSFT
-11.54%
72.99%
-11.35% 121.76%
16.54%
15.11%
72.64%
-5.56%
-21.78%
51.63%
28.13%
43.56%
8.46%
88.32%
19.00%
56.43%
21.09% 114.60%
21.34%
68.36%
14.25%
6.38%
25.25%
62.72%
14.43%
37.99%
-0.0552
-0.5755
25
26
2.44% #VALUE!
15.62% #VALUE!
Portfolio
return
30.73%
55.21%
15.82%
33.54%
14.93%
35.84%
48.39%
37.71%
67.85%
44.85%
38.49%
2.44%
15.62%
#VALUE!
#VALUE!
#VALUE!
#VALUE!
14.25%
6.38%
25.25%
Proportion of GM
in portfolio
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Portfolio
Variance
Var(rp)
14.43%
10.76%
7.72%
5.33%
3.56%
2.44%
1.95%
2.11%
2.89%
4.32%
6.38%
62.72%
14.43%
37.99%
-5.52%
Portfolio
standard Portfolio
deviation
mean
p
E(rp)
37.99%
32.80%
27.79%
23.08%
18.88%
15.62%
13.98%
14.51%
17.01%
20.78%
25.25%
62.72%
57.87%
53.03%
48.18%
43.33%
38.49%
33.64%
28.79%
23.95%
19.10%
14.25%
=SQRT(B19)
70.00%
Portfolio return mean, E(rp)
Mean
Variance
Standard deviation
Covariance
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
13.00%
18.00%
=A19*$B$3+(1-A19)*$C$3
23.00%
28.00%
33.00%
=A19^2*$B$4+(1-A19)^2*$C$4+2*A19*(1-A19)*$C$6
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
General
Microsoft
Motors GM
MSFT
3
4
5
6
7
Portfolio m
A
42
43
20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
B
C return standard
D
E iation, sp
Portfolio
dev
LIO RETURNS
1
OM THE FORMULAS
2
3
4
5
6 and Standard Deviation
Portfolio Mean
7
8
9
10
11
%
12
%
13
14
%
15
16
%
3.00% 18.00%17 23.00% 28.00% 33.00% 38.00% 43.00%
18
Portfolio return standard deviation, sp
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
G
42
43
2
Mean
Variance
St. dev.
Covariance
Proportion of GM
in portfolio
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Portfolio
Variance
Var(rp)
14.43%
10.76%
7.72%
5.33%
3.56%
2.44%
1.95%
2.11%
2.89%
4.32%
6.38%
Portfolio
standard Portfolio
deviation
mean
p
E(rp)
37.99%
32.80%
27.79%
23.08%
18.88%
15.62%
13.98%
14.51%
17.01%
20.78%
25.25%
=SQRT(B19)
62.72%
57.87%
53.03%
48.18%
43.33%
38.49%
33.64%
28.79%
23.95%
19.10%
14.25%
70.00%
Portfolio return mean, E(rp)
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
General
Microsoft
Motors GM
MSFT
14.25%
62.72%
6.38%
14.43%
25.25%
37.99%
-5.52%
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
10.00%
15.00%
=A19*$B$3+(1-A19)*$C$3
20.00%
25.00%
30.00%
=A19^2*$B$4+(1-A19)^2*$C$4+2*A19*(1-A19)*$C$6
3
4
5
6
7
Portfolio m
A
42
43
20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
B
C return standard
D
E iation, sp
Portfolio
dev
LIO RETURNS
1
OM THE FORMULAS
2
3
4
5
6 and Standard Deviation
Portfolio Mean
7
8
9
10
11
%
12
%
13
14
%
15
16
%
0.00% 15.00%17 20.00% 25.00% 30.00% 35.00% 40.00%
18
Portfolio return standard deviation, sp
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
G
42
43
2
Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Slope
Intercept
R-squared
S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%
1.4693 #VALUE!
1.4693 #VALUE!
-0.0424 #VALUE!
-0.0424 #VALUE!
0.5001 #VALUE!
0.5001 #VALUE!
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
9.00%
-16.00%
-11.00%
-6.00%
-1.00%
-1.00%
-11.00%
-21.00%
-31.00%
4.00%
9.00%
S&P500
MPLE
1
2
MIR
rns
8 19.00%
9.00%
-1.00%
-1.00%
-11.00%
-21.00%
-31.00%
3
4
5
6
7
8
9
10
114.00%
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
9.00%
S&P500
2
Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Slope
Intercept
R-squared
S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%
1.4693 #VALUE!
1.4693 #VALUE!
-0.0424 #VALUE!
-0.0424 #VALUE!
0.5001 #VALUE!
0.5001 #VALUE!
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
9.00%
f(x) = 1.4692563703x - 0.0423654876
R = 0.5000719519
-16.00%
-11.00%
-6.00%
-1.00%
-1.00%
-11.00%
-21.00%
-31.00%
4.00%
9.00%
S&P500
MPLE
1
2
rns
8 19.00%
MIR
3
4
5
6
9.00%
7
.0423654876 8
9
10
-1.00%
-1.00%
114.00%
12
13
-11.00%
14
15
16
-21.00%
17
18
19
-31.00%
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
9.00%
S&P500
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
Year
ending
Dec-90
Dec-91
Dec-92
Dec-93
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Average
Variance
Sigma
General
Motors
GM
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
Microsoft
MSFT
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
Heinz
HNZ
2.46%
14.54%
16.89%
-15.95%
6.55%
39.81%
11.56%
45.89%
14.11%
-27.44%
14.25%
0.0638
25.25%
62.72%
0.1443
37.99%
10.84%
0.0440
20.98%
Portfolio
return
34.92%
62.97%
15.93%
6.96%
23.42%
39.35%
49.32%
45.78%
65.75%
30.22%
#VALUE! Average
#VALUE! Variance
#VALUE! Sigma
37.46%
0.0331
18.21%
Covariances
Cov(rGM,rMSFT)
-0.0552
#VALUE!
Average
37.46%
Cov(rGM,rHNZ)
-0.0096
#VALUE!
Variance
0.0331
0.0092
#VALUE!
Sigma
Cov(rMSFT,rHNZ)
Alternative calculation o
18.21%
H
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
Alternative
18 calculation of portfolio statistics
19
20
21
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
<-- =0.2^2*B15+0.5^2*C15+0.3^2*D15
+2*0.2*0.5*B19+2*0.2*0.3*B20+2*0.5*0.3*B21
#VALUE!
28
Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Mirage
using
VarP
29
30
31
Mirage
using
Var
32
33
34
35
36
37
38
39
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
Market
using
Var
S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%
1.4693 #VALUE!
1.4693 #VALUE!
1.4693 #VALUE!
1.4080 #VALUE!
1.0000 #VALUE!
1.0000 #VALUE!
0.9583 #VALUE!
The beta of the market should = 1.
But using Covar(rM,rMirage)/Var(rM)
produces a beta < 1.
A
40
41
B2:
B36:
The beta of the market should = 1. But using Covar(r M,rMirage)/Var(rM) produces a beta < 1.