04. Capital Market Line 1002

Monthly Closing Price adjusted

for pidend and splitDate

08/01/03

07/01/03

06/02/03

05/01/03

04/01/03

03/03/03

02/03/03

01/02/03

12/02/02

11/01/02

10/01/02

09/03/02

08/01/02

07/01/02

06/03/02

05/01/02

04/01/02

03/01/02

02/01/02

01/02/02

12/03/01

11/01/01

10/01/01

09/04/01

08/01/01WMT59.1755.9153.6752.5256.2351.9447.9047.6450.3453.6453.2949.0053.1548.8854.6753.7055.4460.8461.4759.4657.0554.6050.8949.0147.50IBM82.0181.0982.3387.8684.5778.1377.6577.7577.0586.4278.3457.8774.8169.7171.3079.6682.78102.7896.97106.48119.38114.08106.5390.4198.53HLT15.2614.5812.7713.8213.2811.5810.9411.6612.6513.6112.2311.3111.4412.1313.7914.0716.2114.1712.7411.8710.809.778.457.7512.55SBUX28.3927.3324.5524.6723.5125.7623.4522.7220.3821.7423.8420.6620.1019.6324.8524.2822.8223.1323.0123.7719.0517.7217.1214.9416.87GE29.3928.2628.5028.3429.0825.1823.7522.6723.8526.3724.5523.9629.1131.0928.0529.8830.2735.8836.9435.4838.2836.6034.6235.3738.71GM41.1036.9335.5234.8635.0832.7232.8634.8635.3738.1031.4536.7945.2643.5249.9758.1059.5356.1049.1746.9844.6545.6637.5238.9549.71

07/02/01

06/01/01

05/01/01

04/02/01

03/01/01

02/01/01

01/02/01

risk-free rate

Outputs0.0355.2648.2451.0951.0849.8549.3755.99103.58111.74110.06113.2194.5798.23110.0011.9411.4312.2110.8610.2810.5411.6318.0423.0019.5219.3521.2223.8224.9741.1746.2346.2345.7839.4943.7143.2257.2957.9751.2648.5046.2947.6047.51

Interim Calculations

Step 1Calculate stock returns

Date

08/01/03

07/01/03

06/02/03

05/01/03

04/01/03

03/03/03

02/03/03

01/02/03

12/02/02

11/01/02

10/01/02

09/03/02

08/01/02WMT-0.06-0.04-0.020.07-0.08-0.08-0.010.060.06-0.01-0.080.08IBM-0.010.020.07-0.04-0.08-0.010.00-0.010.11-0.10-0.300.26HLT-0.05-0.130.08-0.04-0.14-0.060.060.080.07-0.11-0.080.01SBUX-0.04-0.110.00-0.050.09-0.09-0.03-0.110.060.09-0.14-0.03GE-0.040.01-0.010.03-0.14-0.06-0.050.050.10-0.07-0.020.19GM-0.11-0.04-0.020.01-0.070.000.060.010.07-0.190.160.21

07/01/02

06/03/02

05/01/02

04/01/02

03/01/02

02/01/02

01/02/02

12/03/01

11/01/01

10/01/01

09/04/01

08/01/01

07/02/01

06/01/01

05/01/01

04/02/01

03/01/01

02/01/01

01/02/01

Step 2-0.080.11-0.020.030.090.01-0.03-0.04-0.04-0.07-0.04-0.030.15-0.140.060.00-0.02-0.010.13-0.070.020.110.040.22-0.060.090.11-0.05-0.07-0.160.090.050.08-0.020.03-0.180.040.110.060.130.020.14-0.13-0.11-0.07-0.09-0.10-0.15-0.090.48-0.05-0.040.07-0.12-0.050.020.10-0.020.24-0.02-0.060.01-0.010.03-0.22-0.07-0.03-0.140.120.070.24-0.16-0.010.090.120.050.07-0.100.060.010.170.03-0.040.08-0.04-0.060.020.090.060.120.00-0.01-0.150.10-0.01-0.040.140.150.02-0.06-0.13-0.05-0.050.02-0.200.040.240.140.01-0.12-0.06-0.050.030.00Calculate average returns of each asset

meanmon-0.0018

meanann-0.02140.0095-0.0088-0.00410.1137-0.1052-0.04970.01240.14930.00470.0561

Step 3Calculate excess returns

Date

08/01/03

07/01/03

06/02/03

05/01/03

04/01/03

03/03/03

02/03/03

01/02/03

12/02/02

11/01/02

10/01/02

09/03/02

08/01/02

07/01/02

06/03/02

05/01/02

04/01/02

03/01/02

02/01/02

01/02/02

12/03/01

11/01/01

10/01/01

09/04/01

08/01/01

07/02/01

06/01/01

05/01/01

04/02/01WMT-0.0549-0.0391-0.01990.0700-0.0776-0.0792-0.00370.05690.0653-0.0048-0.08210.0831-0.08200.1137-0.01610.03370.09470.0121-0.0315-0.0396-0.0421-0.0686-0.0359-0.02950.1531-0.13410.05920.0016IBM-0.00950.01700.0668-0.0364-0.0774-0.00440.0031-0.00730.1165-0.0964-0.30110.2585-0.06880.02430.11270.04020.2182-0.05640.09530.1161-0.0436-0.0667-0.16230.08780.05180.0776-0.01340.0300HLT-0.0438-0.13080.0808-0.0381-0.1352-0.05510.06550.08330.0749-0.1051-0.07640.01320.06030.13000.02190.1434-0.1327-0.1046-0.0690-0.0927-0.0984-0.1434-0.08470.4838-0.0480-0.04190.0678-0.1154SBUX-0.0363-0.10550.0067-0.04640.0932-0.0922-0.0298-0.10690.06640.0940-0.1414-0.0257-0.02190.2376-0.0214-0.06020.0153-0.00340.0343-0.2196-0.0706-0.0327-0.13440.12330.06880.2447-0.1623-0.0070GE-0.03740.0102-0.00380.0276-0.1422-0.0567-0.04480.05250.1022-0.0697-0.02250.19650.0676-0.10110.06500.01470.17180.0309-0.03850.0777-0.0431-0.05380.02320.09200.06340.11770.0018-0.0080GM-0.1052-0.0371-0.01700.0081-0.06790.00610.06090.01630.0761-0.19000.15860.2090-0.03740.14000.15250.0261-0.0576-0.1301-0.0438-0.04910.0242-0.19460.03920.24570.14370.0136-0.1212-0.0536

03/01/01-0.0226-0.1781-0.0531

02/01/01-0.00790.03980.0268

01/02/010.12760.11500.1002

Step 4Transpose the excess return matrix

07/01/03

-0.0549

-0.0095

-0.0438

-0.0363

-0.0374

-0.105206/02/03-0.03910.0170-0.1308-0.10550.0102-0.037105/01/03-0.01990.06680.08080.0067-0.0038-0.01700.0940-0.1460-0.04490.11740.10330.02970.0489-0.0095-0.0001WMTIBMHLTSBUXGEGM

Step 504/01/030.0700-0.0364-0.0381-0.04640.02760.008103/03/03-0.0776-0.0774-0.13520.0932-0.1422-0.067902/03/03-0.0792-0.0044-0.0551-0.0922-0.05670.0061Calculate the variance-covariance matrix

WMT

WMT0.00472

IBM0.00327

HLT0.00194

SBUX0.00078

GE0.00135

GM0.00177

Annualized VCM

WMT

WMT0.05669

IBM0.03922

HLT0.02333

SBUX0.00931

GE0.01624

GM0.02125

E(R)-rf

-0.05140.0837-0.1352-0.07970.11930.0261IBM0.039220.147990.042360.026660.069320.03546HLT0.023330.042360.183000.040110.024420.08704SBUX0.009310.026660.040110.13316#######0.02186GE0.016240.069320.02442#######0.079710.03905GM0.021250.035460.087040.021860.039050.13289IBM0.003270.012330.003530.002220.005780.00296HLT0.001940.003530.015250.003340.002030.00725SBUX0.000780.002220.003340.0111 …… 此处隐藏：5648字，全部文档内容请下载后查看。喜欢就下载吧 ……