Input

Modify Correlation Matrix Manually Data is entered as Prices

Risk free Rate: 0.36% Maintain Return Level ✘
Target Return
Min Constraint: 10.00% 30.00% 0.00% 0.00% 10.00% 0.00%
Max Constraint: 70.00% 90.00% 100.00% 80.00% 100.00% 100.00%
Current Units: 1.00 1.00 1.00 1.00 1.00 1.00

Product Name: MSFT IBM INTC SUNW AMZN

Jan-03 47 78 16 3 22
Feb-03 24 78 17 3 22
Mar-03 24 78 16 3 26
Apr-03 26 85 18 3 29
May-03 25 88 21 4 36
Jun-03 26 83 21 5 36
Historic Observation Periods

Jul-03 26 81 25 4 42
Aug-03 27 82 29 4 46
Sep-03 28 88 28 3 48
Oct-03 26 89 33 4 54
Nov-03 26 91 34 4 54
Dec-03 27 93 32 4 53
Jan-04 28 99 31 5 50
Feb-04 27 97 29 5 43
Mar-04 25 92 27 4 43
Apr-04 26 88 26 4 44
May-04 26 89 29 4 49
Jun-04 29 88 28 4 54
Jul-04 28 87 24 4 39
Aug-04 27 85 21 4 38
Sep-04 28 86 20 4 41
Oct-04 28 90 22 5 34
Nov-04 27 94 22 6 40
Dec-04 27 99 23 5 44
Jan-05 26 93 22 4 43
Feb-05 25 93 24 4 35
Mar-05 24 91 23 4 34
Apr-05 25 76 24 4 32
May-05 26 76 27 4 36
Jun-05 25 74 26 4 33
Jul-05 26 83 27 4 45
Aug-05 27 81 26 4 43
Sep-05 26 80 25 4 45
Oct-05 26 82 24 4 40
Nov-05 28 89 27 4 48
Dec-05 26 82 25 4 47

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● Returns
2.00%
0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0 2 36 184.65
1 1 0

166.26
144.35 -13.18% -50.06% -0.32% 10.15% 11.33%
148.21 2.67% 2.15% 0.62% -5.62% -5.23%
160.87 8.54% 5.62% 8.25% 13.02% 1.53%
173.71 7.98% -3.75% 3.70% 13.15% 31.42%
169.92 -2.18% 4.19% -6.29% -0.05% 6.90%
177.95 4.73% 3.00% -1.52% 19.61% -19.14%
187.34 5.28% 0.42% 0.94% 14.87% 3.72%
195.39 4.30% 4.83% 7.71% -3.74% -15.13%
206.95 5.92% -5.97% 1.30% 19.73% 19.34%
208.02 0.52% -1.64% 1.18% 1.79% 7.85%
209.19 0.56% 6.46% 2.36% -4.44% 4.93%
213.09 1.86% 1.02% 7.07% -4.77% 18.34%
200.55 -5.88% -4.05% -2.75% -4.33% 0.38%
191.42 -4.55% -6.03% -4.83% -6.85% -21.47%
187.53 -2.03% 4.81% -4.00% -5.40% -6.47%
196.04 4.54% 0.38% 0.48% 10.96% 6.92%
203.04 3.57% 8.88% -0.50% -3.33% 3.84%
182.81 -9.96% -0.25% -1.23% -11.67% -8.78%
175.29 -4.11% -4.18% -2.73% -12.67% -2.03%
178.35 1.75% 1.28% 1.24% -5.78% 4.39%
178.61 0.15% 1.16% 4.68% 10.97% 11.39%
188.66 5.63% -4.15% 5.00% 0.54% 23.33%
198.37 5.15% -0.34% 4.61% 4.51% -2.88%
189.73 -4.36% -1.65% -5.23% -4.02% -19.11%
181.13 -4.53% -4.26% -0.90% 6.86% -3.21%
177.09 -2.23% -3.93% -1.30% -3.17% -4.27%
161.18 -8.98% 4.68% -16.41% 1.25% -10.40%
167.63 4.00% 1.98% -1.09% 14.63% 5.25%
161.88 -3.43% -3.72% -1.79% -3.49% -2.10%
185.2 14.41% 3.10% 12.48% 4.30% 2.95%
180.22 -2.69% 6.91% -3.40% -5.23% -1.04%
179.83 -0.22% -6.03% -0.50% -4.16% 3.42%
174.94 -2.72% -0.12% 2.07% -4.67% 1.78%
195.49 11.75% 7.70% 8.57% 13.53% -5.75%
184.65 -5.55% -5.53% -7.54% -6.45% 11.14%
0.48%
6.03%

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0.73%
18.26%
10.22%
25.10%
1.20%
14.65%
11.24%
4.56%
12.39%
-0.85%
-2.50%
-4.22%
-14.66%
0.63%
0.74%
11.24%
12.16%
-28.46%
-2.00%
7.13%
-16.47%
16.26%
11.62%
-2.42%
-18.60%
-2.59%
-5.57%
9.73%
-6.81%
36.45%
-5.43%
6.09%
-12.01%
21.58%
-2.70%

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 CoVar

CORRELATION Risk free Rate: 0.36% No. Products: Mean 0.48%

MATRIX Iterations: 2500 5 StdDev 6.03%
Product Weight Min Max Mean StdDev MSFT IBM INTC SUNW AMZN
MSFT 14.16% 10.00% 70.00% -1.06% 9.55% 100.00% 9.44% -10.14% -22.16% 11.75%
IBM 44.52% 30.00% 90.00% 0.28% 5.35% 100.00% 29.36% 30.79% 44.88%
INTC 13.52% 0.00% 100.00% 1.72% 8.97% 100.00% 27.25% 45.12%
SUNW 2.27% 0.00% 80.00% 1.52% 11.61% 100.00% 22.05%
AMZN 25.53% 10.00% 100.00% 3.05% 13.12% 100.00%

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 PORTFOLIO OPTIMIZATION RESULTS
CURRENT PORTFOLIO OPTIMAL PORTFOLIO

MSFT MSFT
14% 10%
AMZN
AMZN
26%
30%
IBM
31%

IBM
SUNW INTC
45%
2% 14% INTC
21%
SUNW
8%

Iterations
Prob Period Return Probability 2500 Prob
10% Period Return Probability
20%

15%
Risk-free rate
0.36%
10% 5%

5%

0% 0%
7%
8%
-17%

-13%
-12%
-11%
-10%
-9%
-9%
-8%
-7%
-5%

-2%
0%
1%
1%
2%
3%
4%
4%
5%
6%
7%
9%

17%
18%
19%
20%
20%
-18%
-16%
-15%
-15%
-14%
-12%

-6%
-5%
-4%
-3%
-2%
-1%

10%
11%
11%
12%
13%
14%
14%
15%
16%
17%

-18%
-17%
-16%
-15%

-9%
-9%
-8%
-7%
-6%
-5%
-5%

-2%

7%
7%

14%
15%
17%
17%
18%
-15%
-14%
-13%
-12%
-12%
-11%
-10%

-4%
-3%
-2%
-1%
0%
1%
1%
2%
3%
4%
4%
5%
6%
8%
9%
10%
11%
11%
12%
13%
14%
16%

19%
20%
20%
Portfolio Returns Portfolio Returns

Mean Std Dev Sharpe Ratio Mean Std Dev Sharpe Ratio
0.48% 6.03% 0.019 1.37% 6.36% 0.159
 Probability of achieving 2.0% target return : 40.02% Probability of achieving 2.0% target return : 46.05%

Current Theoretical Change Optimal

Product
Weighting Units Weighting Units Weighting Units
 Chart of the Efficient Frontier

Efficient Frontier and Portfolio Set

0.016

0.014

0.012
Expected return

0.01

0.008

0.006

0.004

0.002

0
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07
Standard Deviation

Optimal Coordinates: Return = 1.4% and Standard Deviation = 6.4%

Mean SD
0.65% 5.14% 0 0.0036
0.92% 5.52% 0.063584745 0.013692884
0.063876688 0.013739225