Month MKT ex Ret risk-free rate Stock1 Stock2 Stock3 Stock4 mkt 0.00014685 1990 01 0.0144 0.00026 0.00299 0.01434 0.11539 0.01937 0.01414 0.00273 0.01408 5.7862E-05 0.00014275 0.000142745 1990 02 0.00340208 0.00059009 0.00312 0.01439 0.05392 -0.00736 0.00281 0.00253 0.0138 1990 03 0.0026 0.00029 0.00625 0.01068 0.02381 0.00197 0.00231 0.00596 0.01039 1990 04 1.764E-05 0.00065011 0.00045 -0.02712 -0.00247 -0.00301 -0.0007 -0.0002 -0.0278 B 0.40535199 1.0287525 1990 05 0.0042 0.00031 0.01014 -0.00356 -0.02326 0.00085 0.00389 0.00982 -0.0039 1990 06 0.0083159 0.0006201 -0.00019 0.00336 0.00136 -0.0056 0.0077 -0.0008 0.00274 1990 07 0.000994 0.00060009 -0.00318 -0.00654 0.02222 0.01106 0.00039 -0.0038 -0.0071 1990 -0.002 0.00028 0.00662 0.0037 0 0.00911 -0.0023 0.00634 0.00342 1990 09 0.02832466 0.00061009 0.01457 -0.00403 0.02 0.03069 0.02771 0.01396 -0.0046 1990 10 0.0274 0.0003 .02166 0 0.02 0.0365 0.0271 0.02136 -0.0003 1990 11 0.01475372 0.00057008 0.017 0.01905 -0.00269 0.02617 0.01418 0.01643 0.01848 1990 12 -0.0027646 0.00053007 0.00328 0.04638 0.09551 -0.0212 -0.0033 0.00275 0.04585 $3 $4 1991 01 -0.0095 0.00023 -0.00339 0.03704 0.07813 -0.03313 -0.0097 -0.0036 0.03681 1991 02 0.00829742 0.00047006 0.00351 -0.00029 -0.01539 0.05314 0.00783 0.00304 -0.0008 1991 03 2.69E-05 0.00046005 -0.00638 0.01275 0.00954 0.02807 -0.0004 -0.0068 0.01229 B 1991 04 0.0085 0.00024 -0.00318 0.00431 0.02532 -0.00855 -0.0087 -0.0034 0.00407 E[R SD 1991 05 0.0121 0.00021 -0.00639 -0.0211 0.03191 0.01511 0.01189 0.0066 -0.0213 0.01325302 0.00043005 7.1E-05 0.03409 0.02469 0.02274 0.01282 -0.0004 0.03366 CV 199: 06 199: 07 0.0162 0.00022 0.00324 0.03409 0.02469 0.03185 0.01598 0.00302 0.03387 1991 30 0.0012 0.00021 -0.00311 -0.00321 0 0 -0.0014 -0.0033 -0.0034 1991 09 -0.0053216 0.00041004 0.00591 0.00705 0.00695 -0.00559 -0.0057 0.0055 0.00664 1991 10 0.0027 0.00018 286 0.01035 0.04167 0.00562 52 0.00268 0.01017 1991 11 0.01065722 0.00038004 0.01419 -0.00252 0.01333 0.02019 0.01028 0.01381 -0.0029 1991 12 0.0127862 0.00033003 0.00838 -0.0335 -0.04 0.01834 0.01246 0.00805 -0.0338 1992 01 -0.001 0.00015 0 -0.04274 -0.04 -0.01667 0.0012 -0.0002 -0.0429 1992 02 0.00340225 0.00030002 0.00581 0.00247 0.00909 0.0113 0.0031 0.00551 0.00217 1992 03 0.0009 0.00015 0.00288 0.00756 0.00909 0.0113 0.00075 0.00273 0.00741 1992 04 -0.0043009 0.00029002 0.00299 0.0071 0.04864 0.01246 -0.0046 0.0027 0.00681 1992 05 -2.025E-05 0.00029002 -0.00279 0.01717 0.14224 -0.01542 -0.0003 -0.0031 0.01688 1992 06 0.0045 0.00015 -0.00279 0 0.13115 -0.0026 0.00435 -0.0029 -0.0002 1992 07 0.0105 0.00014 0.00852 0.01395 0.01408 0.03652 0.01036 0.00838 0.01381 1992 08 0.0069108 0.00024001 0.01341 0.00916 -0.00918 0.02978 0.00667 0.01317 0.00892 1992 09 8.02E-05 0.00022001 6.2E-05 0.01202 -0.04566 0.0213 -0.0001 -0.0002 0.0118 1992 10 0.0044 LE-04 0.00266 0.00961 -0.02381 -0.01087 -0.0045 0.00256 0.00951 1992 11 0.00729526 0.00025002 0.00538 0.01322 0.02827 0.01786 0.00705 0.00513 0.01297 1992 12 -0.0006 0.00013 0 0.01094 0.01212 0.01212 -0.0007 -0.0001 0.01081 1993 01 0.0053748 0.00024001 0.00498 0.01092 -0.03148 -0.00115 0.00513 0.00474 0.01068 1993 02 0.00698824 0.00023001 0.0078 -0.00044 0.02832 0.00977 0.00676 0.00757 -0.0007 1993 03 -0.0014 0.00011 -0.00243 -0.01328 -0.00532 -0.01091 -0.0015 -0.0025 -0.0134 1993 04 0.00187928 0.00022001 0.00481 -0.00196 -0.0112 0.00425 0.00166 0.00459 -0.0022 1993 0.013142 0.00023001 0.0168 -0.01316 0.02949 0.03449 0.01291 0.01657 -0.0134 199 06 0.0075 0.00012 0.01193 -0.00936 0.02546 0.02632 0.00738 0.01181 -0.0095 1993 07 .0017912 0.00022001 0.00478 0.00272 0.0272 -0.00775 0.00157 0.00456 0.0025 1993 08 0.004 0.00011 -0.00459 0.01604 0.06283 -0.00023 0.00389 -0.0047 0.01593 1993 09 0.00360099 0.00023001 0.01136 -0.00836 -0.0169 -0.00389 0.00337 0.01113 0.0086 1993 10 0.00610924 0.00023001 0 0.01396 0.05076 -0.01869 0.00588 -0.0002 0.01373 1993 11 0.00600896 0.00022001 0.00479 0.03 0.11822 -0.01468 0.00579 0.00456 0.02978 199 12 0.0032 1E-04 0.00479 0.01582 0.08661 -0.00364 0.0031 0.00469 0.01572 1994 01 -0.0072874 0.00023001 0.00026 -0.00174 -0.01074 0.0045 -0.0075 2.9E-05 -0.002 1994 02 -0.0079854 0.00023001 -0.02104 0.00933 0.00962 -0.02148 -0.0082 -0.0213 0.0091 1994 03 -0.0052 0.00012 -0.02591 -0.00491 -0.02581 -0.00755 -0.0053 -0.026 -0.0051994 0.00742 0.00612 -0.0074 05 0.0077135 0.00029002 0.00641 -0.00709 0.04968 0.01154 1994 06 0.0027 0.00014 0.01177 -0.01068 0.00741 0.01154 0.00256 0.01163 -0.0108 1994 07 0.00952226 0.00030002 0.01758 0.02404 0.01976 0.00922 0.01728 0.02374 1994 08 0.0053 0.00016 0.01156 0.01307 0 0.00514 0.0114 0.01291 1994 09 -0.0075868 0.00035003 -0.01111 0.00633 -0.01933 -0.01379 0.0079 -0.0115 0.00598 1994 10 -0.0103792 0.00036003 0 -0.00726 -0.01816 -0.02119 -0.0107 -0.0004 -0.0076 1994 11 0.0180199 0.00039004 D 0.00021 0.02791 -0.02138 0.0184 -0.0004 -0.0002 1994 12 -0.012973 0.00041004 0 0.00383 -0.05 0.00709 0.0134 -0.0004 0.00342 1995 01 -0.0011039 0.00041004 -0.01563 -0.01049 -0.1197 -0.00329 -0.0015 -0.016 -0.0109 1995 02 -0.0016046 0.00041004 -0.0261 0.0091 -0.06751 0.0034 0.002 -0.0265 0.00869 1995 03 -0.0031 0.0002 -0.01064 0.0198 0.0292 0.00671 -0.0033 -0.0108 0.0196 1995 04 9.818E-05 0.00047006 -0.00517 -0.00631 0.04218 -0.01261 0.0004 -0.0056 -0.0068 1995 05 -0.0013 0.00024 0.01064 -0.00631 0.01936 -0.00309 -0.0015 -0.0109 0.0065 06 0.0015 0.00021 -0.01005 0.0031 0.00129 -0.0103 -0.0002 1995 0 0.02174 1995 07 -0.0018168 0.00043005 0.01596 -0.02459 -0.09371 0.00314 -0.0022 0.01553 -0.025 1995 08 -0.0051 0.0002 0.00521 -0.0107 -0.09836 0.0053 -0.0054 -0.0109 1995 09 0.003617 0.00043005 -0.00513 0.01095 -0.0122 0.01789 0.004 -0.0056 0.01052 -0.0002 -0.0115 1995 10 -0.0063 0.00021 0.01133 0 0.00592 -0.0065 1995 11 0.00640663 0.00044005 -0.0045 -0.00691 -0.01308 -0.00583 0.00597 -0.0049 -0.0073 1995 12 0.00720767 0.00043005 0.00419 0.04505 0.08249 0.02343 0.00678 0.00376 0.04462 1996 01 0.0059 0.00019 0.00873 0.03684 0.10569 0.00843 0.00571 0.00854 0.03665 1996 02 0.00681075 0.00039004 -0.00401 0.04985 -0.0049 0.00548 0.00642 -0.0044 0.04946 1996 03 0.012926 0.00041004 0.01256 0.02704 -6.2E-07 0.05265 0.01252 0.01215 0.02663 1996 04 0.01262288 0.00041004 0.02116 0.0323 -0.01318 0.03492 0.01221 0.02075 0.03189 1996 05 0.0022 0.00019 0.01282 0.03448 -0.02439 -0.00601 0.00201 0.01263 0.03429 1996 06 0.00498125 0.00040004 0.00019 0.01556 0.03609 0.02555 0.00458 -0.0002 0.01516 1996 07 0.0075 0.0002 -0.00405 0.01094 0.05405 0.00826 0.0073 -0.0042 0.01074 08 0.0157 0.00019 0.02564 0.01915 0.03205 0.01099 0.01551 0.02545 0.01896 1996 1996 09 0.00180045 0.00040004 -0.00844 0.00202 -0.00952 0.00605 0.0014 -0.0088 0.00162 10 0.0003 0.00018 -0.02222 0.00296 0.00012 -0.0002 -0.0002 1996 1996 11 0.0012011 0.00042004 -0.00408 0.00207 0.00388 0.0026 0.0016 -0.0045 0.00165 1996 12 0.0069045 0.00042004 -0.02047 -0.01854 0.01145 -0.01267 0.0073 -0.0209 -0.019 1997 01 -0.0075 0.0002 -0.01235 0.00373 0.00755 -0.01008 -0.0077 -0.0125 0.00353 1997 02 0.00369922 0.00041004 -1.7E-05 0.00364 0.0371 0.02171 0.00329 -0.0004 0.00323 1997 03 0.00560663 0.00041004 0.01256 -0.01217 0.01042 0.00674 0.0052 0.01215 -0.0126 1997 04 0.0017 0.0002 0.00844 -0.00702 0 0.00741 0.0015 0.00824 -0.0072 1997 05 0.0014995 0.00041004 -0.00957 -0.00114 0.02788 -0.0213 0.0019 0.01 -0.0015 06 0.00499725 0.00037003 -0.00725 -0.00919 -0.00149 -0.02677 0.00463 -0.0076 -0.0096 1997 1997 07 0.0055 0.00019 0.00234 0.00223 0.00481 -0.02178 0.00531 0.00215 0.00204 08 0.01856092 0.00041004 -0.00213 0.03811 0.00446 0.02012 0.01815 -0.0025 0.0377 1997 1997 09 0.03075128 0.00039004 0.00207 0.05236 0.02065 0.03111 0.03036 0.00168 0.05197 1997 10 0.0062 0.00018 0.00207 0.01029 0.00107 0.00185 0.00602 0.00189 0.01011 1997 11 0.04141349 0.00043005 0.01301 0.05233 0.05245 0.02268 0.04098 0.01258 0.0519 1997 12 0.0179 0.00022 0.00412 0.05051 0 0 0.01768 0.0039 0.05028 1998 01 0.02154246 0.00042004 0.00235 0.05855 0.17336 0.01805 0.02112 0.00193 0.05813 1998 02 .00039004 0.01022 0.03555 0.09597 0.01795 0.01728 0.00983 0.03516 1998 03 -0.0016 0.00018 0.00205 -0.0044 0.00158 -0.0018 0.00187 -0.0046 1998 04 0.012036 0.00040004 -0.02588 0.01618 0.05345 0.03793 0.01164 -0.0263 0.01578 1998 05 0.0026802 0.00039004 -0.00514 0.02776 -0.01116 0.03361 0.00229 -0.0055 0.02737 1998 06 -0.0033 0.00019 0.01559 0.02193 -0.02564 0.01301 -0.0035 0.0154 0.02174 1998 07 0.0112 0.00018 -0.0083 -0.01409 0.01463 0.01102 -0.0085 -0.0143 1998 08 0.02659028 0.00042004 0.04939 0.02697 0.15609 -0.02639 0.02617 0.04897 0.026551998 09 0.00152876 0.000370033 0.024097 -0.016171 0.021052 -0.059311 0.001159 0.023727 -0.016541 1998 10 0.0329 0.00015 -0.00396 -0.040636 -0.076253 -0.048523 -0.03305 -0.00411 -0.040786 1998 11 0.0227204 0.000320025 0.028584 0.025682 0.076186 0.035466 0.0224 0.028264 0.025362 1998 12 0.0086 0.00017 -0.001848 0 0.063793 0.023853 0.00843 -0.002018 -0.00017 1999 01 0.00579259 0.000380036 -0.021159 -0.013774 0.01119 -0.01743 -0.006173 -0.021539 -0.014154 1999 02 -0.00399961 0.000370034 -0.01581 0.016844 -0.037387 -0.011828 -0.00437 -0.01618 0.016474 1999 03 -1E-04 0.00018 0.013595 -0.025641 -0.006224 -0.00028 -0.00018 0.013415 1999 04 0.0164594 0.000350031 0.019282 0.060726 -0.011058 0.065986 0.016109 0.018932 0.060376 1999 05 0.002912 0.000350031 -0.005307 0.05171 -0.0404 0.103961 0.002562 -0.005657 0.05136 1999 06 0.008 0.00018 -0.017921 0.012917 -0.023024 0.030581 -0.00818 -0.018101 0.012737 1999 07 0.00278515 0.000360032 0.038958 0.010965 0.060118 0.044567 0.002425 0.038598 0.010605 1999 08 0.0027 0.00018 0.001852 -0.004831 0.020683 0.009494 -0.00288 0.001672 -0.005011 1999 09 0.00608768 0.000360032 0.005882 0.025432 0.046594 0.01263 0.005728 0.005522 0.025072 1999 10 -0.00539392 0.000350031 0.003905 0.01427 0.038499 0.036822 0.005744 0.003555 0.01392 1999 11 0.00108138 0.000370034 -0.01272 0.026948 0.063459 0.007313 0.000711 -0.01309 0.026578 1999 12 0.0049 0.0002 -0.010776 0.0125 0.045556 0.007313 0.0047 -0.010976 0.0123 2000 01 0.00570841 0.000430046 -0.023963 -0.027571 0.03368 -0.054006 0.005278 -0.024393 -0.028001 2000 02 0.02697931 0.000420044 -0.013136 -0.010417 -0.00887 0.028018 0.026559 -0.013556 -0.010837 2000 03 0.0139 0.0002 -0.026442 0 0.000525 0.06 0.0137 -0.026642 -0.0002 2000 04 -0.0029338 0.000470055 -0.032857 0.022813 0.027015 0.02515 0.003404 -0.033327 0.022343 2000 05 0.014 0.00023 -0.00823 -0.008929 0.027015 0.015 0.01377 -0.00846 -0.009159 2000 06 0.025 0.00018 -0.006036 0.034286 0.040301 0.044601 0.02482 -0.006216 0.034106 2000 07 0.01071456 0.000460053 0.04814 0.024159 -0.01302 0.058574 0.010255 0.04768 0.023699 2000 08 0.0016 0.00022 0.017928 0.003676 -0.015419 0.036111 0.00138 0.017708 0.003456 2000 09 -0.0032266 0.000500063 0.006661 0.033455 -0.005125 0.007353 0.003727 0.00616 0.032955 2000 10 0.007 0.00025 0.00491 0.010526 0.001261 -0.00725 0.00466 0.010276 2000 11 0.00027552 0.00049006 0.024432 0.018411 0.074988 0.012988 0.000215 0.023942 0.01792 2000 12 -0.03027952 0.000510065 -0.05306 -0.041947 -0.140719 0.036473 -0.03079 -0.05357 -0.042457 2001 01 -0.03143728 0.000460052 -0.065457 -0.05503 -0.165967 0.035723 -0.031897 -0.065917 -0.05549 2001 02 0.00410078 0.000390038 -0.013906 -0.004333 0.102091 0.008792 0.003711 -0.014296 -0.004723 2001 03 0.0002 0.00019 -0.002318 -0.014552 0.079225 -0.009769 1E-05 -0.002508 -0.014742 2001 04 0.0025192 0.00035003 0.019714 -0.006422 0.055849 0.039232 0.002869 0.019364 -0.006772 2001 05 0.0137 0.00015 0.0043 0.001432 0.059091 0.027287 0.01355 0.00415 0.001282 2001 06 0.01103024 0.000270018 -0.000662 -0.025754 0.041188 -0.001562 0.01076 -0.000932 -0.026024 2001 07 0.01042688 0.000270018 0.011484 -0.029116 0.108754 0.007522 0.010157 0.011214 -0.029386 2001 08 0.0048 0.00013 0.008349 -0.004068 0.059838 0.011742 0.00467 0.008219 -0.004198 2001 09 0.0056946 0.000280018 0.007673 -0.019589 -0.086482 0.006913 -0.005975 0.007393 -0.019869 2001 10 -0.0045 1E-04 0.007902 -0.011364 -0.055319 0.000895 -0.0046 0.007802 -0.011464 2001 11 0.0122194 0.000150006 -0.006555 0.026104 0.017946 0.011161 0.012069 -0.006705 0.025954 2001 12 -0.00443612 0.000140005 -0.002751 -0.016591 0.059872 -0.005111 0.004576 -0.002891 -0.016731 2002 01 -0.00292982 0.000140005 0.040889 -0.010362 0.060904 0.0079 -0.00307 0.040749 -0.010502 2002 02 0.01494238 0.000140005 0.063087 0.045983 0.007528 0.032293 0.014802 0.062947 0.045843 2002 03 0.02097336 0.000140005 0.009606 0.050355 0.070354 0.020717 0.020833 0.009466 0.050215 2002 04 0.0012 7E-05 0.008464 0.006271 0.02349 -0.004659 0.00127 -0.008534 0.006201 2002 05 0.0074 E-05 -0.008588 0.003272 0.006564 0.048795 0.00733 -0.008658 0.003202 2002 06 0.04693624 0.000130004 0.009317 -0.066835 -0.119164 -0.013367 0.047066 0.009187 -0.066965 2002 07 0.0232 7E-05 0.046602 -0.02583 -0.062252 -0.014286 0.02327 0.046532 -0.0259 2002 08 0.0268 6E-05 0.033254 -0.026576 -0.026667 0.011472 0.02686 -0.033314 -0.026636 2002 09 -0.00540976 0.000130004 -0.140749 0.029391 0.004648 0.020356 0.00554 -0.140879 0.029261 2002 10 0.0356 E-05 0.083969 0.059095 0.067834 0.018609 0.03554 -0.084029 0.059035 2002 11 0.0162827 0.000110003 0.03135 0.021703 0.05296 0.006763 0.016173 0.03124 0.021593 2002 12 -0.001 5E-05 0.047895 -0.00692 -0.010914 -0.005946 -0.00105 0.047845 -0.00697