12345 A 1 Date B D E F G H PG Microsoft BAC Exxon -0.02517 2/3/1997 0.039059 -0.04394 0.109771 3/3/1997 -0.04485 -0.05994 -0.07011 0.074816 4/1/1997 0.099732 0.325186 0.088252 0.051471 5/1/1997 0.096787 0.02085 -0.0247 0.053613 6/2/1997 0.024472 0.018853 0.102423 0.033628 7/1/1997 0.080347 0.118736 0.102398 0.048801 8/1/1997 -0.12496 -0.06478 -0.1604 -0.04122 9/2/1997 0.037519 0.000737 0.041554 0.046828 10/1/1997 -0.01181 -0.01767 -0.03368 -0.04067 11/3/1997 0.120612 0.088456 0.00429 -0.00042 12/1/1997 0.047318 -0.08678 0.018687 0.002969 1/2/1998 -0.01495 0.1546 -0.0152 -0.03087 2/2/1998 0.08301 0.135859 0.143693 0.082024 3/2/1998 -0.00596 0.056354 0.070731 0.060887 4/1/1998 -0.0228 0.007077 0.042156 0.080578 5/1/1998 0.020264 -0.05892 -0.00667 -0.02955 6/1/1998 0.085766 0.277427 0.020991 0.012323 7/1/1998 -0.12555 0.014388 0.039885 -0.01575 8/3/1998 -0.03613 -0.12722 -0.27916 -0.06293 9/1/1998 -0.07037 0.147283 -0.06308 0.079193 10/1/1998 0.251503 -0.03807 0.074941 0.014029 23 11/2/1998 -0.01215 0.152324 0.133442 0.05321 12/1/1998 0.042346 0.136981 -0.07112 -0.02492 1/4/1999 -0.00165 0.261679 0.111743 -0.03938 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 222222 24 25 26 2/1/1999 27 -0.01512 -0.14226 -0.02327 3/1/1999 0 094361 0 194093 0 088614 -0.04711 0.06 PG Microsoft BAC Exxon Risk-free PG Microsoft BAC Exxon Expected Monthly Return Expected Monthly Return 0.010848 0.014854 0.011589 0.012043 0.001652 Variance Variance 0.004478 0.012820 0.005611 0.002820 Covariance -0.000649 0.000683 Cov(PG, Exxon) 0.000433 Cov(Microsoft, BAC) 0.001681 Cov(Microsoft, Exxon) 0.000804 Cov(BAC, Exxon) 0.000757 Cov(PG, Microsoft) Cov(PG, BAC) 27 3/1/1999 0.094361 0.194093 0.088614 0.06 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 1/2/2001 50 2/1/2001 51 -0.03442 7/1/1999 0.031383 -0.04862 -0.0946 0.029164 8/2/1999 0.095943 0.078932 -0.0883 -0.00126 9/1/1999 -0.05528 -0.02184 -0.07252 -0.03657 10/1/1999 0.122319 0.02233 0.156916 -0.02552 11/1/1999 0.029724 -0.01632 -0.09074 0.077569 12/1/1999 0.014433 0.282236 -0.13617 0.015581 -0.0349 0.028843 -0.0505 -0.08619 1/3/2000 -0.07498 -0.16169 2/1/2000 -0.13062 -0.08686 3/1/2000 -0.35411 0.18888 0.152988 0.035574 4/3/2000 0.057826 -0.34365 -0.06549 -0.00378 5/1/2000 0.113029 -0.10304 0.141377 0.07814 6/1/2000 -0.1466 0.278816 -0.22424 -0.05781 7/3/2000 0.010385 -0.12728 0.101858 0.021489 8/1/2000 0.084797 0 0.141786 0.02378 9/1/2000 0.083695 -0.13608 -0.02243 0.091423 10/2/2000 0.071038 0.141761 -0.08226 0.000819 11/1/2000 0.048299 -0.16696 -0.15732 -0.00845 12/1/2000 0.047696 -0.24374 0.149059 -0.0121 -0.0799 0.407075 0.172544 -0.03201 -0.01851 -0.03352 -0.04726 -0.03191 3/1/2001 -0 11214 -0 07308 0.079481 -0.00059 4/1/1999 -0.03929 -0.09269 0.013567 0.177287 5/3/1999 -0.00478 -0.00779 -0.09629 -0.03357 6/1/1999 -0.0563 0.117754 0.141424 A 51 52 53 54 D E F G H B C 3/1/2001 -0.11214 -0.07308 0.079481 -0.00059 4/2/2001 -0.03476 0.238753 0.022977 0.093908 5/1/2001 0.069628 0.021215 0.067892 0.00652 6/1/2001 -0.00673 0.055282 0.013384 -0.01538 55 7/2/2001 0.119397 -0.09343 0.059906 -0.04386 56 8/1/2001 0.044078 -0.13802 -0.03338 -0.03326 9/4/2001 -0.01837 -0.1029 -0.0419 -0.01868 10/1/2001 0.019041 0.136126 0.010091 0.001209 11/1/2001 0.049936 0.104315 0.040438 -0.04648 12/3/2001 0.021479 0.031866 0.035665 0.050965 1/2/2002 0.037248 -0.0386 0.001325 -0.00633 2/1/2002 0.037938 -0.08413 0.02425 0.063959 3/1/2002 0.0625 0.03382 0.063711 0.061254 4/1/2002 0.00604 -0.13368 0.065561 -0.08349 5/1/2002 -0.00783 -0.02564 0.045955 -0.00029 6/3/2002 0.004999 0.074163 -0.06427 0.024612 7/1/2002 0.001571 -0.12249 -0.0551 -0.10152 8/1/2002 -0.00392 0.022843 0.053799 -0.0296 9/3/2002 0.008397 -0.10868 -0.08106 -0.10003 10/1/2002 -0.00598 0.22216 0.093723 0.055029 71 11/1/2002 -0.04424 0.078815 0.004265 0.04076 12/2/2002 0.016708 -0.10389 0.001931 0.003983 1/2/2003 0.000269 -0.082 0.006936 -0.02248 2/3/2003 -0.04336 0.002053 57 58 59 60 61 62 63 64 65 66 67 68 69 70 72 73 74 75 76 77 -0.01186 0.003044 3/3/2003 0.087838 0.021516 -0.02517 0.02731 4/1/2003 0.013716 0.056169 0.107668 0.00722 5/1/2003 0.021956 -0.03751 0.002152 0.041382 A 77 78 79 80 B C 5/1/2003 0.021956 -0.03751 0.002152 0.041382 6/2/2003 -0.02873 0.041934 0.074087 -0.01345 7/1/2003 -0.00977 0.02983 0.044652 -0.0092 8/1/2003 -0.00649 0.004138 -0.04019 0.066901 D E F H 81 9/2/2003 0.063268 0.048535 -0.00532 -0.0294 82 10/1/2003 0.064175 -0.05459 -0.0294 -0.00031 83 11/3/2003 -0.02103 -0.01663 -0.00413 -0.0034 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 12/1/2003 0.037999 0.064819 0.077774 0.132485 1/2/2004 0.016598 0.010146 0.012829 -0.00521 2/2/2004 0.014091 -0.04061 0.005383 0.040209 3/1/2004 0.023158 -0.06008 -0.00157 -0.01377 4/1/2004 0.013581 0.047942 -0.00599 0.023087 5/3/2004 0.019141 0.004159 0.032688 0.023091 6/1/2004 0.009808 0.088357 0.027658 0.02693 7/1/2004 -0.03761 -0.00211 0.004785 0.042458 8/2/2004 0.073223 -0.03898 0.058333 0.001677 9/1/2004 -0.03301 0.012787 -0.027 0.048314 10/1/2004 -0.04987 0.011319 0.033526 0.01848 11/1/2004 0.044861 0.068446 0.032998 0.046819 12/1/2004 0.030013 -0.00322 0.025717 0.000214 1/3/2005 -0.02934 -0.01657 -0.0132 0.006632 2/1/2005 -0.0025 -0.03946 0.005884 0.232944 99 3/1/2005 -0.00167 -0.03937 -0.04547 -0.05861 100 4/1/2005 0.026795 0.046771 0.021448 -0.04303 101 5/2/2005 0.018552 0.022979 0.028361 -0.00957 102 6/1/2005 -0.04343 -0.03744 -0.00583 0.022604 103 7/1/2006 0059815 0.031115 001101 0.022294 A 103 104 105 B 7/1/2005 0.059845 0.031115 -0.04401 0.022294 8/1/2005 -0.00257 0.072087 -0.0014 0.02458 9/1/2005 0.071655 -0.0602 -0.02179 0.060606 D E F G H 106 10/3/2005 -0.05356 -0.00125 0.039132 -0.11633 107 11/1/2005 0.021468 0.080383 0.060473 0.038876 12/1/2005 0.012037 -0.05513 0.005702 -0.03205 1/3/2006 0.028318 0.076295 -0.04175 0.117129 2/1/2006 0.01175 -0.04208 0.036848 -0.04883 3/1/2006 -0.03847 0.012663 0.00415 0.025036 4/3/2006 0.015852 -0.11254 0.096099 0.036549 108 109 110 111 112 113 114 115 116 -0.0295 5/1/2006 -0.06818 -0.05856 -0.0205 6/1/2006 0.02492 0.028531 -0.00602 0.007162 7/3/2006 0.016534 0.032742 0.071169 0.104232 8/1/2006 0.101416 0.072215 0.009718 0.003455 117 9/1/2006 0.001216 0.064066 0.040734 -0.0083 118 10/2/2006 0.027937 0.049788 0.005591 0.064394 119 11/1/2006 -0.00945 0.026103 0.010051 0.080071 12/1/2006 0.023517 0.017198 -0.00847 -0.00233 1/3/2007 0.0333 0.041916 0.003844 -0.04046 120 121 122 123 124 125 126 127 128 129