DATE SPY GM GE CY NUE Correlation Matrix

May-95 3.89% 6.18% 3.51% 6.79% -1.04% SPY

Jun-95 1.42% -2.37% -2.84% 22.39% 11.37% SPY 100%
Jul-95 3.17% 3.92% 4.55% 26.43% 0.00% GM 51%
Aug-95 0.44% -3.39% -0.21% -15.61% -8.79% GE 77%
Sep-95 3.62% -0.53% 7.95% -15.88% -9.07% CY 27%
Oct-95 -0.29% -6.90% -0.79% -8.46% 7.27% NUE 56%
Nov-95 4.35% 10.31% 5.95% -12.40% 3.57%
Dec-95 0.94% 8.64% 7.01% -21.32% 13.57%
Jan-96 3.50% -0.47% 6.39% 11.23% 1.74% SPY
Feb-96 0.32% -2.65% -1.64% -10.24% -7.59% Exp. Ret. 1.61%
Mar-96 1.26% 3.83% 3.10% -7.11% 9.30% Std. Dev. 4.25%
Apr-96 1.08% 1.86% -0.81% 17.35% -4.98% Beta 1.0000
May-96 2.24% 1.60% 6.88% -1.79% -2.25%
Jun-96 0.35% -5.12% 4.72% -14.52% -8.29%
Jul-96 -4.60% -7.17% -5.33% -19.49% -7.70% Stock
Aug-96 1.91% 1.78% 1.06% 16.32% -0.27% SPY 133.40%
Sep-96 4.92% -3.33% 9.05% 8.25% 8.21% GM -0.86%
Oct-96 3.18% 11.08% 6.13% -16.08% -6.88% GE -23.67%
Nov-96 7.05% 7.19% 7.23% 13.06% 13.78% CY 0.01%
Dec-96 -2.90% -3.31% -5.05% 14.24% -6.41% NUE -8.89%
Jan-97 5.99% 5.67% 4.57% -10.24% 1.94% Sum 100.00%
Feb-97 0.95% -1.93% -0.60% 3.85% -7.74%
Mar-97 -4.89% -4.42% -3.59% -5.83% -5.06% Target Ret
Apr-97 6.07% 4.42% 11.19% 10.44% 8.63% Port Ret 1.56%
May-97 6.13% -0.87% 8.42% 2.67% 16.80% Port Std Dev #VALUE!
Jun-97 3.64% -2.87% 7.38% 1.74% -4.33%
Jul-97 7.63% 10.42% 7.59% 5.46% 9.39% Stock
Aug-97 -5.32% 1.40% -11.41% 14.77% -9.06% SPY 98.60%
Sep-97 4.33% 6.46% 8.43% -13.55% -7.32% GM 1.27%
Oct-97 -2.48% -4.20% -5.18% -32.60% -0.83% GE 0.00%
Nov-97 3.80% -5.20% 13.38% -2.26% -4.40% CY 0.12%
Dec-97 1.49% -0.31% -0.68% -26.70% -3.43% NUE 0.00%
Jan-98 1.28% -4.74% 5.47% 16.48% -1.43% Sum 100.00%
Feb-98 6.70% 17.38% 0.32% -4.53% 7.82%
Mar-98 4.48% -1.74% 10.30% 6.41% 5.55% Target Ret
Apr-98 1.27% -0.56% -1.17% -0.63% 9.62% Port Ret 1.60%
May-98 -2.10% 6.47% -2.15% -15.51% -15.17% Port Std Dev #VALUE!
Jun-98 3.85% -7.30% 8.61% -2.96% -11.29%
Jul-98 -1.36% 7.91% -1.59% -10.29% -5.59%
Aug-98 -15.22% -21.84% -11.15% -21.27% -19.10%
Sep-98 5.82% -5.75% -0.55% 36.68% 12.26%
Oct-98 7.80% 14.11% 9.51% 24.01% 10.92%
Nov-98 5.42% 10.06% 3.23% -8.80% -7.15%
Dec-98 6.01% 2.39% 12.10% -20.34% 2.49%
Jan-99 3.46% 22.64% 2.78% 18.48% 12.48%
Feb-99 -3.26% -8.35% -4.45% -4.47% -9.49%
Mar-99 3.82% 5.23% 9.79% -6.07% -1.13%
Apr-99 3.73% 2.34% -4.86% 13.01% 28.66%
May-99 -2.31% -25.52% -3.56% 8.19% -16.15%
Jun-99 5.09% -4.45% 10.55% 43.13% -5.14%
Jul-99 -3.15% -7.67% -3.60% 15.52% 2.21%
Aug-99 -0.52% 8.05% 2.99% 14.52% -4.08%
Sep-99 -2.54% -5.13% 5.42% -7.29% 2.26%
Oct-99 6.21% 11.26% 13.35% 17.31% 8.55%
Nov-99 1.65% 4.66% -4.05% 6.39% -2.81%
Dec-99 5.31% -1.51% 17.33% 17.23% 8.32%
Jan-00 -5.11% 10.29% -14.40% 3.42% -9.69%
Feb-00 -1.53% -5.75% -1.22% 31.16% -0.12%
Mar-00 9.00% 8.50% 16.18% 7.37% 0.63%
Apr-00 -4.94% 6.64% -0.08% 0.89% -9.98%
Correlation Matrix
GM GE CY NUE
51% 77% 27% 56%
100% 27% 5% 37%
27% 100% 12% 32%
5% 12% 100% 33%
37% 32% 33% 100%

GM GE CY NUE
0.78% 2.64% 0.75% -0.51%
8.12% 6.68% 15.83% 9.04%
0.9662 1.2140 0.9924 1.2012

Weights with Short Sales Allowed

137.91% 137.05% 136.19% 135.33% 134.47% 133.61% 132.75% 131.89% 131.03% 130.17%
6.64% 5.21% 3.78% 2.35% 0.91% -0.52% -1.95% -3.38% -4.81% -6.24%
-70.89% -61.88% -52.86% -43.85% -34.84% -25.83% -16.82% -7.81% 1.20% 10.21%
-1.35% -1.09% -0.83% -0.57% -0.31% -0.05% 0.21% 0.47% 0.74% 1.00%
27.69% 20.71% 13.73% 6.75% -0.23% -7.22% -14.19% -21.17% -28.15% -35.13%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50%
0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50%
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Weights with No Short Sales Allowed

20.41% 34.48% 48.56% 62.64% 76.71% 90.79% 86.25% 61.96% 37.67% 13.38%
23.59% 20.01% 16.42% 12.83% 9.25% 5.66% 0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 13.75% 38.04% 62.33% 86.62%
1.66% 1.54% 1.42% 1.30% 1.17% 1.05% 0.00% 0.00% 0.00% 0.00%
54.33% 43.97% 33.60% 23.23% 12.86% 2.50% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50%
0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50%
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 Efficient Frontier with US Stocks
3.00%

2.50%

2.00%
Portfolio Return

1.50%

1.00%

0.50%

0.00%
3.00% 203.00% 403.00% 603.00% 803.00% 1003.00% 1203.00%

Portfolio Standard Deviation

 US Efficient Frontier Without Short Sales
3.00%

2.50%

2.00%
Portfolio Return

1.50%

1.00%

0.50%

0.00%
0.00% 200.00% 400.00% 600.00% 800.00% 1000.00% 1200.00%

Portfolio Standard Deviation

 SPY vs GM
30.00%

20.00%

10.00%
f(x) = 0.966155469443706 x − 0.005203580636722
R² = 0.255901782117189
GM Returns

0.00% GM
Linear (GM)

-10.00%

-20.00%

-30.00%
-20.00% -15.00% -10.00% -5.00% 0.00% 5.00% 10.00% 15.00%

SPY Returns
DATE SPY UK Australia Germany Japan Sweden Corre
May-96 2.24% -0.99% -0.59% 2.40% -4.67% 3.52%
Jun-96 0.35% 0.99% -1.78% 3.26% 1.18% 1.72% SPY
Jul-96 -4.60% 1.46% -4.29% 0.91% -4.84% -3.46% UK
Aug-96 1.91% 1.45% 1.86% -1.37% -5.52% 3.03% Australia
Sep-96 4.92% 1.90% 0.00% 1.83% 3.43% 4.18% Germany
Oct-96 3.18% 5.48% 4.20% 0.45% -6.99% 4.02% Japan
Nov-96 7.05% 4.77% 2.90% 3.54% 2.23% 6.11% Sweden
Dec-96 -2.90% 4.56% 0.57% 0.00% -7.82% 1.47%
Jan-97 5.99% -5.41% -4.65% 0.00% -10.59% 1.81%
Feb-97 0.95% 3.36% 2.35% 3.42% 2.11% -0.72%
Mar-97 -4.89% 1.24% -0.58% 3.72% -4.26% 1.79% Exp. Ret.
Apr-97 6.07% 2.02% 2.88% -2.05% 5.81% -5.09% Std. Dev.
May-97 6.13% 5.45% 2.25% 6.40% 9.29% 5.09%
Jun-97 3.64% 1.50% 3.28% 2.68% 5.46% 8.82%
Jul-97 7.63% 5.09% -0.53% 10.04% -1.33% 5.38%
Aug-97 -5.32% -6.21% -10.24% -12.33% -10.39% -11.05% Stock
Sep-97 4.33% 8.32% 4.68% 8.50% -1.00% 11.97% SPY
Oct-97 -2.48% -3.53% -13.43% -5.84% -10.04% -9.59% UK
Nov-97 3.80% -0.36% -4.00% 1.49% -6.90% 0.67% Australia
Dec-97 1.49% 1.79% 1.35% 4.35% -6.14% -3.39% Germany
Jan-98 1.28% 5.52% 7.75% 2.11% 11.36% 2.39% Japan
Feb-98 6.70% 6.50% -0.63% 6.39% 1.12% 8.70% Sweden
Mar-98 4.48% 7.57% 3.08% 6.61% -11.85% 7.15% Sum
Apr-98 1.27% -0.88% -0.61% 6.21% 3.70% 6.67%
May-98 -2.10% -4.20% -8.25% 6.11% -6.25% 2.13% Target Ret
Jun-98 3.85% 3.02% 0.00% 3.18% 1.28% -1.59% Port Ret
Jul-98 -1.36% -3.02% -2.01% 2.32% -3.90% -3.54% Port Std Dev
Aug-98 -15.22% -15.21% -19.32% -23.14% -18.11% -21.55%
Sep-98 5.82% 3.17% 8.64% 0.96% 1.57% -7.86%
Oct-98 7.80% 5.39% 7.25% 5.57% 19.14% 5.78%
Nov-98 5.42% 4.80% 6.76% 3.84% 3.17% 8.08%
Dec-98 6.01% 2.17% -0.66% 3.14% 2.47% 0.00%
Jan-99 3.46% 0.61% 5.13% 1.67% 2.41% 5.05%
Feb-99 -3.26% 1.21% -0.62% -9.56% -3.64% -1.55%
Mar-99 3.82% 2.37% 1.86% -3.40% 12.73% 0.00%
Apr-99 3.73% 4.30% 12.19% 6.69% 4.26% 3.38%
May-99 -2.31% -5.78% -9.15% -5.44% -5.90% -2.76%
Jun-99 5.09% 2.65% 6.94% 8.05% 9.98% 11.16%
Jul-99 -3.15% -1.46% -1.69% -4.69% 7.24% 2.20%
Aug-99 -0.52% -4.51% -9.53% 0.89% -0.47% -3.88%
Sep-99 -2.54% 0.00% 3.08% -0.30% 4.12% 1.12%
Oct-99 6.21% 1.83% -2.45% 4.95% 6.09% 7.53%
Nov-99 1.65% 0.90% 2.45% 1.41% 2.91% 7.96%
Dec-99 5.31% 2.66% 7.02% 17.90% 6.74% 12.15%
Jan-00 -5.11% -9.48% -4.04% -5.78% -5.92% -3.23%
Feb-00 -1.53% -1.61% -2.98% 10.14% -1.22% 19.61%
Mar-00 9.00% 6.31% -4.34% -3.19% 8.29% -1.63%
Apr-00 -4.94% -4.70% 0.00% -8.20% -9.11% -4.10%
 Correlation Matrix
SPY UK Australia Germany Japan Sweden
100% 74% 60% 65% 59% 56%
74% 100% 75% 64% 54% 58%
60% 75% 100% 60% 61% 58%
65% 64% 60% 100% 45% 81%
59% 54% 61% 45% 100% 46%
56% 58% 58% 81% 46% 100%

SPY UK Australia Germany Japan Sweden

1.52% 0.79% -0.34% 1.15% -0.45% 1.55%
4.69% 4.55% 5.84% 6.46% 7.24% 6.75%

Weights
46.74% 9.14% 19.40% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
55.06% 57.67% 56.96% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1.62% 30.64% 22.73% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
-10.48% -1.19% -3.72% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
-1.92% 14.18% 9.79% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
8.97% -10.45% -5.15% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25%

1.17% 0.25% 0.50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
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0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

2.50%
0.00%
###