Hello Tutors.I need help with 4 finance investment questions. Please be detailed as much as possible base on the steps taken. Besides your answer to the question, please attached the excel sheets used.

I have attached the questions along with the stock data spreadsheet needed for question 4. This is due on Saturday 11/14/15 at 11:59pm. Thank you!

I have few questions in Finance Investment which are due on Saturday at midnight. Please help me.... Highly Appreciate! Question 1 You have been provided the following data on the securities of three firms and the market: Security Firm one Firm two Firm three The market Risk-free asset E[Ri] _____A____ _____C____ _____E____ 0.08 0.03 s.d (Ri) _____B____ 0.18 0.02 0.02 0 Corr(Ri, Rm) 1.0 0.5 _____F_____ 1.0 _____H_____ i 1.5 _____D____ 0.5 _____G_____ 0 Assume that the CAPM holds. Fill in the missing values in the table. Show the calculation process and results in the space below. Question 2 Abigail Grace has $900,000 fully diversified portfolio. She subsequently inherits ANC Company common stock worth of $100,000. Her financial advisor provided her with the following estimates: Original Portfolio ABC Company Risk and Return Characteristics Expected monthly return Standard deviation of monthly return 0.67% 2.37% 1.25% 2.95% The correlation coefficient of ABC stock returns with the original portfolio returns is 0.40. a) The inheritance changes Grace's overall portfolio and she is deciding whether to keep the ABC stock. Assuming Grace keeps the ABC stock, calculate the: i. Expected return of her new portfolio which includes the ABC stock. ii. Covariance of ABC stock returns with the original portfolio returns. iii. Standard deviation of her new portfolio which includes the ABC stock b) If Grace sells the ABC stock, she will invest the proceeds in risk-free government securities yielding 0.42% monthly. Assuming Grace sells the ABC stock and replaces it with the government securities, calculate the: i. Expected return of her new portfolio which includes the government securities. ii. Covariance of the government security returns with the original portfolio retunes iii. Standard deviation of her new portfolio which includes the government securities c) Determine whether the beta of her new portfolio, which includes the government securities, will be higher or lower than the beta of her original portfolio. d) Based on the conversation with her husband, Grace is considering selling the $100,000 of ABC stock and acquiring $100,000 of XYZ Company common stock instead. XYZ stock has the same expected return and standard deviation as ABC stock. Her husband comments, \"It doesn't matter whether you keep all of the ABC stock or replace it with $100,000 of XYZ stock.\" State whether her husband's comment is correct or incorrect. Justify your response. 1 e) In a recent discussion with her financial advisor, Grace commented: \"If I just don't lose money in my portfolio, I will be satisfied.\" She went on to say, \"I am more afraid of losing money than I am concerned about achieving high returns.\" Describe one weakness of using standard deviation of returns and a risk measure for Grace. 2 Question 3 A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long term government and corporate bond fund, and the third is a T-bill money market fund that yields 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected return 20% 12 Standard deviation 30% 15 The correlation between the fund returns is 0.1. a. Tabulate and draw the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%. (You need to use Excel to work on this part) b. Draw a tangent from the risk-free rate to the opportunity set. What does your graph show for the expected return and standard deviation of the optimal portfolio? (Work in Excel is acceptable). c. Now you are given the market portfolio which invests 45% in S and 55% in B (that is, in this universe, there are only 2 risky assets S and B, and their market value weighs are 45% and 55% respectively). Determine the mathematical expression of the capital market line (CML) in the form of E(R i) = intercept+slope*s.d.(Ri), where you need to calculate the value of the intercept and the slope. d. You require that your portfolio yield an expected return of 14% and that it be efficient, on the CML. What is the standard deviation of your portfolio? What is the proportion invested in the T-bill fund and each of the two risky funds? 3 Question 4 As a research associate for Wild Cat Inc., you have been asked to calculate the expected return on 7 stocks using the S&P 500 as the market index. Download the Excel spreadsheet \"HW 4 - Stock data\" from Blackboard. It contains monthly returns on the S&P 500, GE, Apple, Deere, Boeing, Merck, Intel, and Exxon Mobil from January 1985 to December 2008. A. Estimate the beta of each stock by calculating the slope of the CAPM regression for each stock: 1 Note that the y-variable is the monthly returns on the stock and the x- ri ,t rmarket ,t variable is the monthly returns on the market. Verify that the beta of the S&P500 is 1. 2 B. Calculate the annualized historical average return of the S&P 500 and the seven stocks. C. Using an expected market risk premium of 4% and the current yield on the 10-year Treasury bond of about 2.5%, determine the expected return of each stock. How do they compare to the annual historical average returns? D. Determine the beta and expected return of a portfolio that is equally weighted in all 7 stocks. 1 As is common on the Street, we are ignoring the risk-free rate in the regressions used to estimate beta, i.e. we are not using excess returns. 2 Present your results in the space given from row 291 to row 303 on the Excel sheet given. Beta and annual return calculation on S&P 500 has been done for you as a demonstration. Study the formula and finish the rest. 4 Date S&P500 GE Apple Deere Boeing Merck Intel Exxon Mobil 1/31/1985 0.074085 0.128035 -0.004292 0.07563 0.101545 0.021277 0.098214 0.066667 2/28/1985 0.008685 0.004697 -0.146552 -0.027344 0.055711 0.048698 -0.089431 0.007292 3/29/1985 -0.002925 -0.070727 -0.106061 0 -0.045802 0.050063 -0.008929 0.057895 4/30/1985 -0.004594 0 -0.039548 -0.109312 -0.034 -0.029797 -0.009009 0.024876 5/31/1985 0.054051 0.034672 -0.182353 0.072727 0.108157 0.067568 -0.040909 0.065049 6/28/1985 0.012134 0.020619 0.035971 0.029661 0.009398 0.044189 -0.014218 -0.002315 7/31/1985 -0.004848 0.036364 -0.118056 -0.024896 0.078212 0.00222 0.086538 -0.025522 8/30/1985 -0.011995 -0.048733 -0.055118 -0.038298 0.003005 0.018162 -0.079646 0.020952 9/30/1985 -0.034724 -0.048361 0.05 -0.119469 -0.057143 -0.051479 -0.009615 -0.016588 10/31/1985 0.042509 0.002174 0.18254 0.020305 0.011019 0.076212 -0.009709 0.060241 11/29/1985 0.065062 0.138829 0.080537 0.144279 0.07673 0.11588 0.117647 -0.013182 12/31/1985 0.045061 0.11741 0.093168 0.008696 0.063613 0.060769 0.026316 0.032787 1/31/1986 0.002367 -0.025773 0.051136 -0.021739 -0.076555 0.004562 -0.034188 -0.061224 2/28/1986 0.071489 0.101658 0.081081 0.066667 0.112435 0.100999 -0.017699 0.027053 3/31/1986 0.052794 0.012903 0.13 0.166667 0.067916 0.156846 -0.063063 0.066986 4/30/1986 -0.014148 -0.004777 0.070796 -0.014388 -0.013158 -0.004304 0.096154 0.015695 5/30/1986 0.050229 0.0208 0.22314 -0.135036 0.040889 0.112392 -0.04386 0.073289 6/30/1986 0.01411 0.022947 -0.030405 -0.033755 0.081545 0.087565 -0.155963 0.016701 7/31/1986 -0.058683 -0.098765 -0.12892 -0.22807 -0.061508 0.019139 -0.206522 -0.002053 8/29/1986 0.071193 0.077055 0.184 0.142045 0.021987 0.085681 0.260274 0.14856 9/30/1986 -0.085439 -0.078474 -0.094595 -0.084577 -0.112266 -0.143351 -0.152174 -0.023593 10/31/1986 0.054729 0.06087 0.033582 0.032787 -0.009368 0.102792 0.038462 0.011152 11/28/1986 0.021477 0.088525 0.155235 -0.021164 -0.029787 0.017261 0.135802 0.031618 12/31/1986 -0.028288 0.043735 0.0125 -0.008108 0.002451 0.126018 -0.086957 0.012635 1/30/1987 0.131767 0.165698 0.37037 0.191257 -0.017115 0.10999 0.488095 0.180036 2/27/1987 0.036924 0.031172 0.261261 0.091743 0.086567 0.121818 0.216 -0.041994 3/31/1987 0.02639 0.020605 -0.078571 -0.086134 -0.043779 0.005997 0.032895 0.094099 4/30/1987 -0.01145 -0.013111 0.228682 0.046083 -0.142169 -0.046079 0.197452 0.010204 5/29/1987 0.006034 0.004831 -0.00164 0 0.024719 0.073729 -0.066489 0.014719 6/30/1987 0.047915 0.052019 0.025316 0.002203 0.035912 0.080032 0.002849 0.071839 7/31/1987 0.048224 0.089655 0.018519 0.198238 0.130667 0.109971 0.085227 0.009383 8/31/1987 0.034959 0.054852 0.310545 0.029412 0.001887 0.084148 0.104712 0.069057 9/30/1987 -0.024166 -0.01072 0.046296 0.116071 -0.035545 0.012232 0.094787 -0.023839 10/30/1987 -0.21763 -0.229675 -0.316372 -0.278846 -0.240786 -0.122659 -0.324675 -0.123393 11/30/1987 -0.085349 -0.105541 -0.14356 0.164444 -0.100971 -0.063361 -0.173077 -0.1261 12/31/1987 0.072861 0.049558 0.272727 0.064885 0.076364 -0.062941 0.232558 0.037415 1/29/1988 0.040432 0.022663 -0.011905 0.057554 0.236486 -0.048896 -0.037736 0.101639 2/29/1988 0.041817 0.00831 0.038072 0.176871 0.045902 0.103383 0.107843 0.026786 3/31/1988 -0.033343 -0.104945 -0.069767 0.069364 -0.021053 -0.050642 0.039823 -0.014663 4/29/1988 0.009425 0 0.025 0.01897 0.032258 0.002389 0.055319 0.068452 5/31/1988 0.003176 0.040248 0.014146 0.021277 0.154167 0.017474 -0.008065 0.015042 6/30/1988 0.043256 0.052976 0.114458 -0.0375 0.068182 0.059859 0.174797 0.008333 7/29/1988 -0.005411 -0.025641 -0.040541 0.008152 0.029787 -0.006667 -0.038062 0.044077 8/31/1988 -0.0386 -0.055556 -0.099606 -0.072776 -0.018182 -0.011275 -0.194245 -0.00686 9/30/1988 0.039729 0.082972 0.084639 0.036628 0.086864 0.052392 -0.017857 -0.037634 10/31/1988 0.025964 0.005764 -0.106936 0.076056 0.011696 -0.008658 -0.1 0 11/30/1988 -0.018891 0.031519 -0.023301 0.028796 -0.03815 -0.006638 -0.181818 -0.021229 12/30/1988 0.014688 0.003556 0.069767 -0.016794 -0.022177 0.022124 0.17284 0.017341 1/31/1989 0.071115 0.081006 -0.062112 -0.002604 0.045361 0.12987 0.094737 0.053977 2/28/1989 -0.028944 -0.054264 -0.037086 -0.005222 -0.017357 -0.021073 -0.009615 -0.042049 3/31/1989 0.020806 -0.018361 -0.017241 0.111286 0.10303 0.020117 0.019417 0 4/28/1989 0.05009 0.098315 0.094737 0.011876 0.111722 0.054054 0.104762 -0.017094 5/31/1989 0.035138 0.117647 0.226923 0.126761 0.065239 0.022491 0.12069 0.012754 6/30/1989 -0.007925 -0.047414 -0.136126 -0.062917 -0.104199 -0.036036 -0.107692 0.02029 7/31/1989 0.08837 0.133172 -0.036364 0.060403 0.091146 0.136449 0.051724 0.039773 8/31/1989 0.015517 -0.014957 0.122013 0.065401 0.051074 -0.028618 -0.016393 -0.030601 9/29/1989 -0.006544 -0.012408 0 -0.049901 0.041096 0.032368 0.075 0.022857 10/31/1989 -0.025175 -0.019912 0.044944 -0.079665 -0.013158 0.028053 0.046512 0.027933 11/30/1989 0.016541 0.119639 -0.046022 0.095672 0.072 0.012841 0.02963 0.040217 12/29/1989 0.021417 0.047903 -0.20339 0.031185 -0.010417 -0.011727 -0.007194 0.058201 1/31/1990 -0.068817 -0.034884 -0.035461 0.069106 -0.002105 -0.067742 0.144928 -0.06 2/28/1990 0.008539 -0.000482 0.003235 0.074144 0.083122 -0.053633 0.018987 0.012766 3/30/1990 0.024255 0.040486 0.183824 0.038938 0.123288 0.023035 0.037267 -0.018617 4/30/1990 -0.026887 -0.003891 -0.021739 0.02916 -0.027875 0.053957 -0.053892 -0.01897 5/31/1990 0.091989 0.083516 0.050413 -0.013333 0.189964 0.135836 0.221519 0.074033 6/29/1990 -0.008886 0.005445 0.084848 -0.003378 0.062027 0.048338 -0.025907 -0.002604 7/31/1990 -0.005223 0.034296 -0.061453 -0.006826 -0.012821 0.027378 -0.053191 0.083551 8/31/1990 -0.094314 -0.13438 -0.116429 -0.219931 -0.160173 -0.077868 -0.25 -0.024578 9/28/1990 -0.051184 -0.113387 -0.216216 -0.15859 -0.137306 -0.067381 -0.003745 -0.02 10/31/1990 -0.006698 -0.045872 0.060345 -0.153439 0.075075 0.009852 0.007519 0 11/30/1990 0.059934 0.052885 0.199024 0.11875 -0.005587 0.121951 0.119403 0.046837 12/31/1990 0.024828 0.05726 0.170068 0.058659 0.025424 0.048522 0.026667 0.022222 1/31/1991 0.041518 0.115468 0.290698 0.165333 0.088154 0.018081 0.188312 -0.002415 2/28/1991 0.067281 0.070469 0.033694 -0.05492 -0.017722 0.11612 0.043716 0.080775 3/28/1991 0.022203 0.023897 0.187773 -0.046005 -0.025907 0.038531 -0.020942 0.061224 4/30/1991 0.000346 0.016158 -0.191176 0.010256 -0.026596 0.021327 0.053476 0.017094 5/31/1991 0.038577 0.099081 -0.143273 0.134518 0.07377 0.103248 0.13198 -0.009748 6/28/1991 -0.047893 -0.042071 -0.117021 -0.060403 -0.063939 -0.018423 -0.165919 -0.002146 7/31/1991 0.044859 -0.010135 0.114458 -0.007212 0.013661 0.108719 0.010753 0.021505 8/30/1991 0.019649 0.022184 0.148541 0.004843 0.078167 -0.00967 0.053191 -0.007663 9/30/1991 10/31/1991 11/29/1991 12/31/1991 1/31/1992 2/28/1992 3/31/1992 4/30/1992 5/29/1992 6/30/1992 7/31/1992 8/31/1992 9/30/1992 10/30/1992 11/30/1992 12/31/1992 1/29/1993 2/26/1993 3/31/1993 4/30/1993 5/28/1993 6/30/1993 7/30/1993 8/31/1993 9/30/1993 10/29/1993 11/30/1993 12/31/1993 1/31/1994 2/28/1994 3/31/1994 4/29/1994 5/31/1994 6/30/1994 7/29/1994 8/31/1994 9/30/1994 10/31/1994 11/30/1994 12/30/1994 1/31/1995 2/28/1995 3/31/1995 4/28/1995 5/31/1995 6/30/1995 7/31/1995 8/31/1995 9/29/1995 10/31/1995 11/30/1995 12/29/1995 1/31/1996 2/29/1996 3/29/1996 4/30/1996 5/31/1996 6/28/1996 7/31/1996 8/30/1996 9/30/1996 10/31/1996 11/29/1996 12/31/1996 1/31/1997 2/28/1997 3/31/1997 4/30/1997 5/30/1997 6/30/1997 7/31/1997 8/29/1997 9/30/1997 10/31/1997 11/28/1997 12/31/1997 1/30/1998 2/27/1998 3/31/1998 4/30/1998 5/29/1998 -0.019144 0.01186 -0.043928 0.111588 -0.0199 0.009565 -0.021832 0.027893 0.000964 -0.017359 0.039374 -0.023998 0.009106 0.002106 0.030262 0.010108 0.007046 0.010484 0.018697 -0.025417 0.022717 0.000755 -0.005327 0.034432 -0.009988 0.019393 -0.012911 0.010091 0.032501 -0.030045 -0.045746 0.011531 0.012419 -0.026812 0.031467 0.037643 -0.026898 0.020834 -0.039505 0.012299 0.024278 0.036074 0.027329 0.02796 0.036312 0.021279 0.031776 -0.00032 0.040098 -0.004979 0.041049 0.017444 0.032617 0.006934 0.007917 0.013431 0.022853 0.002257 -0.045748 0.018814 0.054173 0.026131 0.073376 -0.021505 0.061317 0.005928 -0.042614 0.058406 0.058577 0.043453 0.078123 -0.057446 0.053154 -0.034478 0.044587 0.015732 0.01015 0.070449 0.049946 0.009076 -0.018826 -0.066644 -0.005405 -0.061594 0.189961 -0.01634 0.04485 -0.029571 0.011551 -0.003263 0.025205 -0.016077 -0.03268 0.065405 -0.019169 0.084691 0.034595 0.00731 -0.023222 0.066924 0.01683 0.023448 0.039137 0.028721 -0.002538 -0.017761 0.011734 0.014175 0.073393 0.027414 -0.022042 -0.044176 -0.0475 0.044619 -0.055578 0.080429 -0.012407 -0.025427 0.015584 -0.058824 0.117609 0.009804 0.063107 -0.00621 0.037037 0.035714 -0.020948 0.046563 -0.002119 0.089766 -0.007843 0.061265 0.079479 0.065972 -0.016287 0.03755 -0.008026 0.071197 0.048338 -0.046571 0.010638 0.100271 0.063187 0.074935 -0.044279 0.046776 -0.006039 -0.030182 0.118388 0.087838 0.076605 0.082846 -0.107843 0.092068 -0.050505 0.143133 -0.002707 0.056218 0.003226 0.112379 -0.011603 -0.021277 -0.066038 0.040404 -0.012233 0.110837 0.148559 0.044324 -0.137037 0.032189 -0.006237 -0.194644 -0.026042 -0.013476 -0.019022 0.163435 0.097524 0.03913 -0.004184 -0.107227 -0.028302 -0.004854 0.10722 -0.302428 -0.297468 -0.040721 -0.117925 0.315508 0.028293 -0.071429 0.119658 0.118168 -0.089041 -0.097744 -0.021 -0.094017 0.271226 0.077774 -0.069085 0.282004 -0.134703 0.04698 0.035256 -0.0187 -0.107595 0.085106 0.089739 0.117293 -0.030956 -0.041778 -0.133721 -0.025168 0.053219 -0.163934 -0.133333 -0.004525 -0.106818 -0.007634 0.071795 -0.196172 0.047619 0.102273 -0.085052 0.03662 0.048913 -0.134715 -0.203593 -0.022556 0.123077 -0.068493 -0.022059 -0.142857 0.22807 0.242857 -0.002874 -0.214697 0.042202 -0.260563 0.395238 0.290102 0.164021 -0.004545 -0.027397 0.038554 0.06089 -0.145695 0.002584 0.044271 0.017456 0.012255 -0.02934 -0.075567 -0.059946 -0.014663 -0.074405 0.135048 -0.094556 -0.009494 0.13099 0.06 0.121294 0.03125 0.134118 0.047718 0.059406 -0.041431 0.145383 0 0.067358 -0.082524 0.051146 0.087838 0.048137 0.005926 -0.091852 -0.089723 -0.023297 0.036969 0.058824 -0.06835 0.043716 -0.102967 0.039689 0.075472 0.073684 0.069281 0.009231 0.054878 -0.003757 0.049635 -0.047288 -0.042628 0.09831 0.107692 0.074242 0.06383 0.043333 0.06901 -0.066066 0.07074 -0.034234 -0.10625 0.111888 0.061635 -0.002976 0.065672 -0.087955 0.055556 -0.002924 0.02522 0.057471 0.111413 0.077262 0.036446 -0.015385 -0.036607 -0.017442 0.03787 0.066727 -0.094421 0.063981 0.107483 -0.056509 -0.112299 0.020101 -0.029557 -0.096447 0.079096 0.065445 -0.090909 -0.046196 0.002849 0.002841 -0.091168 0.003135 -0.0625 -0.013423 -0.020408 -0.017361 0.142349 -0.121495 -0.01773 0.018182 0.085714 0.049342 -0.066246 0.064189 0.012698 -0.031546 -0.022801 0.036667 0.119741 0 0.086705 -0.048128 0.011236 0.036111 -0.002695 -0.035135 0.02521 -0.049451 0.014451 0.02849 0.047354 -0.053191 0.042135 0.165312 0.023256 0.075 0.063694 0.06986 -0.041045 0.066406 -0.040293 0.116412 0.075472 -0.011164 0.05 0.067797 -0.051948 0.041461 0.021994 0.015782 0.025763 0.044199 0.009259 0.044875 0.071698 0.005869 -0.047561 -0.030713 0 0.07128 0.007117 0.106007 -0.068967 -0.001147 -0.118255 0.109687 -0.078824 -0.02682 0.142047 -0.039171 -0.039568 -0.043396 0.025616 0.054755 0.066485 0.141793 -0.056306 0.003182 -0.062236 -0.014443 0.042241 -0.027692 0.064103 -0.057831 -0.084833 -0.014045 0.02849 -0.033241 -0.069164 -0.04644 -0.074675 0.045936 0.033784 -0.065359 -0.137324 0.040816 -0.02651 0.044715 0.066148 0.011825 0.061818 -0.113014 -0.072432 -0.004202 0.029536 -0.01541 -0.004202 0.151899 0.052747 0 0.045614 0.031544 0.055738 0.052795 0.012979 0.005865 0.09621 0.051596 0.050891 -0.033898 0.129624 0.026786 0.076087 0.066101 0.068571 -0.055258 -0.055245 -0.028112 0.068182 0.005261 -0.005803 0.021401 0.078476 0.049734 0.123519 -0.035843 0.138148 0.016552 -0.080923 0.0727 -0.005533 0.14306 0.015272 -0.116125 0.093397 -0.106942 0.062325 0.122742 0.107311 0.086794 0.008427 -0.059971 -0.029046 -0.146465 -0.038462 0.009231 0.195122 0.221939 0.060543 -0.129921 -0.031674 -0.065421 0.14 0.048246 -0.029289 0.133621 0.028137 0.059259 0.216783 0.228161 0.091335 -0.012876 -0.171957 0.165572 -0.007892 -0.049091 0.229665 0.101167 -0.1053 -0.027668 0.00813 0.053226 0.05364 -0.018182 -0.095556 0.02459 -0.064 0.013932 0.109705 -0.064639 0.011138 0.016097 0.011881 0.087045 0.14955 0.064263 0.206892 0.096459 0.128062 0.027285 -0.055769 -0.01833 0.160415 -0.128801 -0.067762 -0.026002 0.064781 -0.032944 0.191912 0.114391 -0.027318 0.02366 0.062396 0.195771 0.151801 0.154721 0.03202 0.239523 -0.125578 -0.019383 0.100988 -0.010612 -0.063944 0.295267 0.003404 0.002035 -0.165552 0.008117 -0.095008 0.153452 0.107253 -0.129617 0.035612 -0.116009 0.021459 0.02521 -0.027951 0.03838 -0.043121 -0.007811 -0.041575 0.09589 0.022417 0.020619 0.026263 0.02315 -0.005837 -0.041096 -0.016816 0.027311 0 0.052679 0.039293 -0.00189 0.003333 0.009542 -0.007561 0.007162 0.001912 -0.001908 -0.02914 0.005976 0.053465 -0.013609 -0.030829 0 -0.016382 -0.071575 0.048458 0.012101 -0.033613 0.093478 -0.027833 0.006211 0.028807 0.034 0.043053 0.043152 0.03777 -0.010508 0.026549 -0.041379 0.050909 0.057093 0.022913 0.048465 -0.010786 0 0.025157 0.042945 0.006353 0.025074 -0.053237 0.000486 0.021472 0.064565 0.073794 0.038411 0.057398 -0.024946 0.074813 0.051044 0.053598 0.033755 0.04898 -0.041284 0.046987 -0.040976 -0.000448 0.003074 -0.030644 0.081728 0.060784 0.080407 -0.029461 6/30/1998 7/31/1998 8/31/1998 9/30/1998 10/30/1998 11/30/1998 12/31/1998 1/29/1999 2/26/1999 3/31/1999 4/30/1999 5/28/1999 6/30/1999 7/30/1999 8/31/1999 9/30/1999 10/29/1999 11/30/1999 12/31/1999 1/31/2000 2/29/2000 3/31/2000 4/28/2000 5/31/2000 6/30/2000 7/31/2000 8/31/2000 9/29/2000 10/31/2000 11/30/2000 12/29/2000 1/31/2001 2/28/2001 3/30/2001 4/30/2001 5/31/2001 6/29/2001 7/31/2001 8/31/2001 9/28/2001 10/31/2001 11/30/2001 12/31/2001 1/31/2002 2/28/2002 3/28/2002 4/30/2002 5/31/2002 6/28/2002 7/31/2002 8/30/2002 9/30/2002 10/31/2002 11/29/2002 12/31/2002 1/31/2003 2/28/2003 3/31/2003 4/30/2003 5/30/2003 6/30/2003 7/31/2003 8/29/2003 9/30/2003 10/31/2003 11/28/2003 12/31/2003 1/30/2004 2/27/2004 3/31/2004 4/30/2004 5/28/2004 6/30/2004 7/30/2004 8/31/2004 9/30/2004 10/29/2004 11/30/2004 12/31/2004 1/31/2005 2/28/2005 0.039438 -0.011615 -0.145797 0.062396 0.080294 0.059126 0.056375 0.041009 -0.032283 0.038794 0.037944 -0.02497 0.054438 -0.032046 -0.006254 -0.028552 0.062539 0.019062 0.057844 -0.050904 -0.020108 0.09672 -0.030796 -0.021915 0.023934 -0.016341 0.060699 -0.053483 -0.004949 -0.080069 0.004053 0.034637 -0.092291 -0.064205 0.076814 0.00509 -0.025004 -0.010772 -0.064108 -0.081723 0.018099 0.075176 0.007574 -0.015574 -0.020766 0.036739 -0.061418 -0.009081 -0.072465 -0.078995 0.004881 -0.110013 0.086436 0.05707 -0.060333 -0.027415 -0.017004 0.008358 0.081044 0.050899 0.011322 0.016224 0.017873 -0.011944 0.054962 0.007129 0.050765 0.017276 0.012209 -0.016359 -0.016791 0.012083 0.017989 -0.034291 0.002287 0.009364 0.014014 0.038595 0.032458 -0.02529 0.018903 0.089955 -0.012517 -0.105521 -0.001719 0.099764 0.032857 0.132503 0.028186 -0.043504 0.106293 -0.047458 -0.034994 0.111248 -0.032301 0.03039 0.058765 0.142857 -0.039668 0.192392 -0.136511 -0.009355 0.178735 0.010442 0.005167 0.005931 -0.026903 0.140948 -0.014711 -0.049837 -0.095781 -0.029559 -0.040834 0.011309 -0.096344 0.159341 0.009685 -0.005102 -0.10441 -0.057931 -0.088336 -0.021237 0.057402 0.045714 -0.073104 0.041184 -0.027273 -0.157543 -0.012995 -0.061336 0.108434 -0.063665 -0.176451 0.024341 0.074059 -0.095133 -0.049692 0.047537 0.060291 0.154902 -0.025467 0.005923 -0.008368 0.039733 0.014542 -0.026837 -0.01172 0.087548 0.085539 -0.027059 -0.061501 -0.018676 0.039065 0.047558 0.026235 -0.013835 0.030192 0.016081 0.036342 0.038462 -0.010137 -0.019651 0.077465 0.206972 -0.099278 0.222445 -0.02623 -0.139731 0.2818 0.006107 -0.15478 0.032316 0.28 -0.04212 0.051064 0.202429 0.171717 -0.029693 0.265548 0.221529 0.050447 0.009119 0.104819 0.184842 -0.086516 -0.322922 0.247024 -0.029833 0.199262 -0.577436 -0.240291 -0.15655 -0.098485 0.453782 -0.156069 0.209315 0.154961 -0.21734 0.165413 -0.191828 -0.012773 -0.163881 0.132173 0.212984 0.028169 0.128767 -0.122168 0.090783 0.025349 -0.039967 -0.239485 -0.138826 -0.033421 -0.016949 0.108276 -0.03547 -0.075484 0.002093 0.045265 -0.057961 0.005658 0.262307 0.061838 0.105981 0.072581 -0.083591 0.10473 -0.086501 0.021999 0.055685 0.060284 0.130435 -0.046598 0.088441 0.159658 -0.006146 0.066481 0.123514 0.352258 0.27958 -0.039523 0.194099 0.16671 0.023518 -0.239953 -0.178849 -0.076667 0.177686 -0.019298 -0.052737 -0.009506 0.003839 0.188375 0.106796 -0.106725 0.031948 -0.027113 0.019672 0.000836 -0.063005 0.184483 0.015313 0.007205 -0.181688 0.069091 0.0625 0.029412 -0.104481 0.04223 -0.145867 0.016167 0.107143 0.105263 0.131367 -0.063138 -0.051724 -0.10172 0.13016 -0.090334 0.019004 0.108322 0.029082 -0.123697 -0.016485 0.081103 0.097274 0.0071 0.090061 -0.045066 -0.017344 0.050045 0.02383 -0.122756 0.092813 -0.005444 0.020682 0.102608 -0.099316 -0.079607 -0.019431 -0.045916 0.121498 -0.008176 0.051523 0.11116 0.11284 -0.052734 0.137122 0.010063 0.065981 -0.037663 0.026038 0.08345 -0.018323 -0.034392 0.071842 -0.104505 0.007324 0.024656 -0.073896 0.1999 0.041126 -0.066801 0.024197 -0.066754 -0.129032 -0.199291 0.109091 0.094718 0.085258 -0.196923 0.063218 0.031063 -0.045614 0.194853 0.038831 0.046062 0.03125 0.001708 -0.05931 0.080645 -0.115007 0.02 0.073906 -0.166798 0.023689 0.049587 -0.01222 0.0704 0.171898 0.097245 0.174825 0.076389 0.020498 -0.044344 -0.113636 0.066154 -0.104341 0.109316 0.020388 -0.115917 0.052698 -0.12233 -0.345703 -0.026866 0.081902 0.104843 0.055957 0.126496 0.049826 -0.075648 -0.03991 0.0551 -0.077333 -0.103083 -0.079309 -0.128333 0.150252 -0.031131 -0.042437 -0.122191 -0.090711 0.088587 0.130499 0.119009 -0.034965 0.134058 -0.08184 0.121177 0.001819 0.097682 -0.009255 0.042874 -0.053032 0.039445 0.077536 0.115502 -0.006655 0.032906 -0.01149 -0.03332 0.077555 -0.033601 -0.0226 0.091304 0.147009 -0.076168 -0.06171 0.122178 0.042451 0.148542 -0.045673 -0.005085 0.110733 -0.013558 -0.121685 -0.039076 0.092717 -0.081494 -0.00647 -0.031033 0.22758 -0.010998 -0.142462 0.173023 -0.218874 0.013848 0.118712 0.077914 0.026801 -0.064437 -0.020541 0.065295 0.208228 0.030577 0.013783 -0.122243 -0.024093 -0.049377 0.000922 -0.034751 -0.124401 0.063683 -0.037217 0.023041 -0.041892 0.061746 -0.126937 0.006463 0.03633 -0.055438 -0.05627 0.050791 -0.107005 -0.020537 0.018548 -0.088084 0.186611 0.095317 -0.041071 -0.021551 -0.047662 0.045308 0.062066 -0.044689 0.095898 -0.087036 -0.036605 0.013315 -0.12584 -0.082486 0.147044 0.030303 0.010084 -0.073211 0.063589 0.006383 0.012051 -0.045263 -0.008379 -0.257727 -0.051212 -0.105078 0.1606 -0.127256 0.130125 0.03762 0.139123 -0.156566 0.204565 0.040087 0.207176 0.101626 0.188719 -0.148718 -0.008859 0.029443 -0.115955 0.100578 0.159664 0.191558 -0.095817 0.042052 -0.009298 0.07335 0.201974 0.142438 0.167589 -0.038844 -0.01652 0.07218 -0.001403 0.121948 -0.444908 0.082707 -0.153722 -0.210181 0.230769 -0.2275 -0.078775 0.174727 -0.125526 0.082932 0.019145 -0.061389 -0.268956 0.194716 0.338247 -0.037048 0.114149 -0.184646 0.065149 -0.059191 -0.033904 -0.338523 0.028462 -0.111762 -0.166767 0.2455 0.208092 -0.25431 0.008349 0.100637 -0.056779 0.128378 0.134458 -0.00048 0.19606 0.149458 -0.037426 0.197311 0.018513 -0.044425 -0.047738 -0.04194 -0.068493 -0.054044 0.111154 -0.033275 -0.116667 -0.125102 -0.057774 0.109671 0.007188 0.04513 -0.040188 0.07216 0.012411 -0.015762 -0.062669 0.079274 0.014159 0.052845 -0.025 -0.039316 -0.046655 0.060094 0.177148 -0.033439 -0.034429 0.029173 -0.001134 -0.03645 -0.025493 0.076827 0.01576 0.035687 -0.092105 0.034855 -0.003208 0.078069 -0.057764 0.019108 0.025812 0.091884 0.000701 -0.008381 -0.012074 -0.032063 -0.03161 -0.000617 0.093827 0.006659 -0.015549 -0.043847 -0.033046 -0.01868 0.001269 -0.046134 0.050802 -0.006361 0.063508 0.061259 -0.083505 -0.000249 0.024793 -0.101662 -0.02938 -0.100141 0.055172 0.040701 0.004023 -0.02261 0.002928 0.027337 0.007153 0.041193 -0.013462 -0.00919 0.06661 -0.029178 -0.000546 -0.003554 0.132597 -0.005122 0.039961 -0.013754 0.023082 0.022797 0.026821 0.042558 0.001512 0.048373 0.018415 0.046729 0.000195 0.006633 0.232171 3/31/2005 4/29/2005 5/31/2005 6/30/2005 7/29/2005 8/31/2005 9/30/2005 10/31/2005 11/30/2005 12/30/2005 1/31/2006 2/28/2006 3/31/2006 4/28/2006 5/31/2006 6/30/2006 7/31/2006 8/31/2006 9/29/2006 10/31/2006 11/30/2006 12/29/2006 1/31/2007 2/28/2007 3/30/2007 4/30/2007 5/31/2007 6/29/2007 7/31/2007 8/31/2007 9/28/2007 10/31/2007 11/30/2007 12/31/2007 1/31/2008 2/29/2008 3/31/2008 4/30/2008 5/30/2008 6/30/2008 7/31/2008 8/29/2008 9/30/2008 10/31/2008 11/28/2008 12/31/2008 Beta -0.019118 -0.020109 0.029952 -0.000143 0.035968 -0.011222 0.006949 -0.017741 0.035186 -0.000952 0.025467 0.000453 0.011065 0.012187 -0.030917 0.000087 0.005086 0.021274 0.024566 0.031508 0.016467 0.012616 0.014059 -0.021846 0.00998 0.043291 0.032549 -0.017816 -0.031982 0.012864 0.035794 0.014822 -0.044043 -0.008628 -0.061163 -0.034761 -0.00596 0.047547 0.010674 -0.085962 -0.009859 0.012191 -0.090791 -0.169425 -0.074849 0.007822 1 Annualized historical return 8.24% Risk-free rate 2.50% Market equity risk premium Expected return Equally-weighted portfolio beta Equally-weighted portfolio E[r] 4% 6.50% 0.024432 0.003882 0.007735 -0.044134 -0.004329 -0.025797 0.008331 0.007128 0.053377 -0.011758 -0.065621 0.011298 0.058108 -0.005463 -0.00954 -0.030648 -0.008192 0.041909 0.043746 -0.005382 0.004842 0.062642 -0.031174 -0.023856 0.01289 0.042421 0.019533 0.026078 0.012539 0.002838 0.072292 -0.005797 -0.069728 -0.023766 -0.046129 -0.054016 0.116777 -0.116455 -0.060551 -0.121094 0.059948 -0.006716 -0.081495 -0.234902 -0.119939 -0.038439 -0.07111 -0.134629 0.102587 -0.074179 0.158653 0.099414 0.143314 0.07424 0.177635 0.060012 0.050355 -0.092968 -0.084246 0.12229 -0.150874 -0.041827 0.18666 -0.001619 0.134562 0.053261 0.130488 -0.074405 0.01049 -0.013064 0.098097 0.074158 0.214339 0.007005 0.079646 0.051002 0.108247 0.237701 -0.040695 0.087038 -0.31664 -0.076389 0.147816 0.212195 0.085082 -0.112901 -0.050705 0.066562 -0.329558 -0.053405 -0.138675 -0.07899 -0.05161 -0.068375 0.057723 -0.005291 0.122767 -0.110839 -0.059192 -0.008497 0.142881 -0.012257 0.05359 0.062848 0.041563 0.110436 -0.024835 -0.020093 -0.130794 0.076202 0.079385 0.014539 0.127687 -0.005104 0.054802 0.079876 0.007295 0.006996 0.101188 0.005894 -0.00265 0.129879 0.094517 0.04366 0.109103 0.086962 -0.059708 -0.026839 -0.053045 0.045127 -0.032473 -0.109786 -0.027312 0.005844 -0.294601 -0.22101 -0.097251 0.108877 0.063489 0.018132 0.077789 0.032864 0.000152 0.019088 0.013876 -0.048712 0.058787 0.030063 -0.027477 0.068511 0.072087 0.070833 0.001198 -0.016096 -0.054816 -0.028675 0.052737 0.012809 0.112322 0.003502 0.008104 -0.021773 0.018909 0.046002 0.085376 -0.04404 0.075603 -0.061684 0.085729 -0.060958 -0.057815 -0.054895 -0.048937 0.00012 -0.101703 0.141051 -0.019915 -0.205992 -0.070146 0.079365 -0.125229 -0.085963 -0.17913 0.000938 0.033123 0.047266 -0.043068 -0.038841 0.008442 -0.07888 -0.036132 0.037119 0.05528 0.081973 0.084565 0.010435 0.021515 -0.022992 -0.02179 0.094323 0.105408 0.016389 0.033292 0.084009 -0.020035 -0.011907 0.026376 -0.013408 0.00906 0.164591 0.019635 -0.043279 -0.003012 0.010473 0.037871 0.127104 0.018881 -0.014656 -0.206677 -0.039046 -0.134763 0.002372 0.024185 -0.022844 -0.127089 0.084194 -0.10457 -0.019328 -0.136672 0.151946 -0.03168 0.012484 0.14966 -0.034866 0.043044 -0.049374 -0.041602 -0.046653 0.138723 -0.064468 -0.148438 -0.026111 -0.05534 0.026722 -0.093093 0.054384 -0.052632 0.092778 0.051099 0.037433 0.007263 -0.053517 0.035062 -0.047113 -0.036757 0.123889 0.036856 0.070334 -0.005051 0.094941 0.004272 0.040217 -0.026301 0.022239 -0.208552 -0.047517 0.060596 0.050991 0.047619 -0.073339 0.033054 0.036954 -0.181023 -0.1441 -0.130435 0.062319 -0.058601 -0.043121 -0.009469 0.022598 0.022272 0.024511 0.060768 -0.116462 0.038831 -0.032052 0.117144 -0.048765 0.025097 0.036477 -0.029328 0.007224 0.104156 0.003691 -0.008423 0.064382 0.07995 -0.002343 -0.033016 -0.02834 0.052595 0.052087 0.052154 0.008537 0.014902 0.011159 0.079669 -0.006158 -0.026959 0.050808 -0.07781 0.011111 -0.027928 0.100378 -0.042011 -0.007098 -0.087371 -0.000249 -0.029371 -0.045583 0.086751 -0.003993