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We start to use EXCEL in the 2nd hour

Passive investing is better


Portfolio Theory
1950
Funadamental Analysis
Econ
Accounting
Technical analysis
Chartism
moving averages, indicators (overbought ot oversold)

Good
Normal
Bad

Outcomes
Prob
(R-E( R))^2
15%
30%
0.64%
10%
40%
0.09%
-5%
30%
1.44%
Exp Outcome
7.00%
Variance
0.0066
SD
0.08124

HSIN
Return
22976.65
5.73%
21731.37
-0.70%
21883.66
5.19%
20803.29
-7.10%
22392.16
-1.52%
22737.01
1.96%
22299.63
-3.13%
23020.27
-2.99%
23729.53
4.73%
22656.92
2.84%
22030.39
1.80%
21641.82
3.85%
20840.38
6.97%
19482.57
-1.59%
19796.81
1.83%
19441.46
4.36%
18629.52 -11.68%
21094.21
2.62%
20555.58
-5.19%
21680.08
6.32%
20390.49
10.61%
18434.39
2.47%
17989.35
-9.44%
19864.87
12.92%
17592.41 -14.33%
20534.85
-8.49%
22440.25
0.19%
22398.1
-5.43%
23684.13
-0.15%
23720.81
0.82%
23527.52
0.81%
23338.02
-0.47%
23447.34
1.79%
23035.45
0.12%
23007.99
-0.38%
23096.32
3.30%
22358.17
8.87%
20536.49
-2.35%
21029.81
4.48%
20128.99
1.84%
19765.19
-6.36%
21108.59
-0.62%
21239.35
3.06%
20608.7
2.42%
20121.99
-8.00%

Bin
Frequency
-0.44099
1
-0.39724
0
-0.35349
0
-0.30973
0
-0.26598
1
-0.22223
1
-0.17847
0
-0.13472
8
-0.09097
15
-0.04722
38
-0.00346
62
0.040291
93
0.084044
62
0.127797
24
0.17155
11
0.215304
0
0.259057
3
More
2

Frequency

Date
9/2/2013
8/1/2013
7/1/2013
6/3/2013
5/1/2013
4/1/2013
3/1/2013
2/1/2013
1/2/2013
########
########
########
9/3/2012
8/1/2012
7/2/2012
6/1/2012
5/2/2012
4/2/2012
3/1/2012
2/1/2012
1/3/2012
########
########
########
9/1/2011
8/1/2011
7/4/2011
6/1/2011
5/2/2011
4/1/2011
3/1/2011
2/1/2011
1/3/2011
########
########
########
9/1/2010
8/2/2010
7/1/2010
6/1/2010
5/3/2010
4/1/2010
3/1/2010
2/1/2010
1/4/2010

HS

100
90
80
70
60
50
40
30
20
10
0

########
########
########
9/1/2009
8/3/2009
7/2/2009
6/1/2009
5/1/2009
4/1/2009
3/2/2009
2/2/2009
1/2/2009
########
########
########
9/1/2008
8/1/2008
7/2/2008
6/2/2008
5/1/2008
4/1/2008
3/3/2008
2/1/2008
1/2/2008
########
########
########
9/3/2007
8/1/2007
7/3/2007
6/1/2007
5/1/2007
4/2/2007
3/1/2007
2/1/2007
1/2/2007
########
########
########
9/1/2006
8/1/2006
7/3/2006
6/1/2006
5/2/2006
4/3/2006
3/1/2006
2/1/2006

21872.5
21821.5
21752.87
20955.25
19724.19
20573.33
18378.73
18171
15520.99
13576.02
12811.57
13278.21
14387.48
13888.24
13968.67
18016.21
21261.89
22731.1
22102.01
24533.12
25755.35
22849.2
24331.67
23455.74
27812.65
28643.61
31352.58
27142.47
23984.14
23184.94
21772.73
20634.47
20318.98
19800.93
19651.51
20106.42
19964.72
18960.48
18324.35
17543.05
17392.27
16971.34
16267.62
15857.89
16661.3
15805.04
15918.48

0.23%
0.32%
3.81%
6.24%
-4.13%
11.94%
1.14%
17.07%
14.33%
5.97%
-3.51%
-7.71%
3.59%
-0.58%
-22.47%
-15.27%
-6.46%
2.85%
-9.91%
-4.75%
12.72%
-6.09%
3.73%
-15.67%
-2.90%
-8.64%
15.51%
13.17%
3.45%
6.49%
5.52%
1.55%
2.62%
0.76%
-2.26%
0.71%
5.30%
3.47%
4.45%
0.87%
2.48%
4.33%
2.58%
-4.82%
5.42%
-0.71%
1.05%

1/3/2006
########
########
########
9/1/2005
8/1/2005
7/4/2005
6/1/2005
5/3/2005
4/1/2005
3/1/2005
2/1/2005
1/3/2005
########
########
########
9/1/2004
8/2/2004
7/2/2004
6/1/2004
5/3/2004
4/1/2004
3/1/2004
2/2/2004
1/2/2004
########
########
########
9/1/2003
8/1/2003
7/2/2003
6/2/2003
5/2/2003
4/1/2003
3/3/2003
2/4/2003
1/2/2003
########
########
########
9/2/2002
8/1/2002
7/2/2002
6/3/2002
5/2/2002
4/2/2002
3/1/2002

15753.14
14876.43
14937.14
14386.37
15428.52
14903.55
14880.98
14201.06
13867.07
13908.97
13516.88
14195.35
13721.69
14230.14
14060.05
13054.66
13120.03
12850.28
12238.03
12285.75
12198.24
11942.96
12681.67
13907.03
13289.37
12575.94
12317.47
12190.1
11229.87
10908.99
10134.83
9577.12
9487.38
8717.22
8634.45
9122.66
9258.95
9321.29
10069.87
9441.25
9072.21
10043.87
10267.36
10598.55
11301.94
11497.58
11032.92

5.89%
-0.41%
3.83%
-6.75%
3.52%
0.15%
4.79%
2.41%
-0.30%
2.90%
-4.78%
3.45%
-3.57%
1.21%
7.70%
-0.50%
2.10%
5.00%
-0.39%
0.72%
2.14%
-5.83%
-8.81%
4.65%
5.67%
2.10%
1.04%
8.55%
2.94%
7.64%
5.82%
0.95%
8.83%
0.96%
-5.35%
-1.47%
-0.67%
-7.43%
6.66%
4.07%
-9.67%
-2.18%
-3.12%
-6.22%
-1.70%
4.21%
5.25%

2/1/2002
1/2/2002
########
########
########
9/3/2001
8/1/2001
7/3/2001
6/1/2001
5/2/2001
4/2/2001
3/1/2001
2/1/2001
1/2/2001
########
########
########
9/1/2000
8/1/2000
7/3/2000
6/1/2000
5/2/2000
4/3/2000
3/1/2000
2/1/2000
1/3/2000
########
########
########
9/1/1999
8/2/1999
7/2/1999
6/1/1999
5/3/1999
4/1/1999
3/1/1999
2/1/1999
1/4/1999
########
########
########
9/1/1998
8/3/1998
7/2/1998
6/1/1998
5/1/1998
4/1/1998

10482.55
10725.3
11397.21
11279.25
10073.97
9950.7
11090.48
12316.69
13042.53
13174.41
13386.04
12760.64
14787.87
16102.35
15095.53
13984.39
14895.34
15648.98
17097.51
16840.98
16155.78
14713.86
15519.3
17406.54
17169.44
15532.34
16962.1
15377.19
13256.95
12733.24
13482.77
13186.86
13532.14
12147.12
13333.2
10942.2
9858.49
9506.9
10048.58
10402.32
10154.94
7883.46
7275.04
7936.2
8543.1
8934.56
10383.68

-2.26%
-5.90%
1.05%
11.96%
1.24%
-10.28%
-9.96%
-5.57%
-1.00%
-1.58%
4.90%
-13.71%
-8.16%
6.67%
7.95%
-6.12%
-4.82%
-8.47%
1.52%
4.24%
9.80%
-5.19%
-10.84%
1.38%
10.54%
-8.43%
10.31%
15.99%
4.11%
-5.56%
2.24%
-2.55%
11.40%
-8.90%
21.85%
10.99%
3.70%
-5.39%
-3.40%
2.44%
28.81%
8.36%
-8.33%
-7.10%
-4.38%
-13.96%
-9.85%

3/2/1998
2/2/1998
1/2/1998
########
########
########
9/1/1997
8/1/1997
7/3/1997
6/2/1997
5/1/1997
4/1/1997
3/3/1997
2/3/1997
1/2/1997
########
########
########
9/2/1996
8/1/1996
7/1/1996
6/3/1996
5/1/1996
4/1/1996
3/1/1996
2/1/1996
1/2/1996
########
########
########
9/1/1995
8/1/1995
7/3/1995
6/1/1995
5/1/1995
4/3/1995
3/1/1995
2/3/1995
1/3/1995
########
########
########
9/1/1994
8/1/1994
7/1/1994
6/1/1994
5/2/1994

11518.7
11480.7
9252.4
10722.8
10526.9
10623.8
15049.3
14135.2
16365.7
15196.8
14757.8
12903.3
12534.3
13398.7
13321.8
13451.5
13393.9
12477.6
11902.4
11159
10681.4
11020.9
11264.7
10964.5
10957.2
11125.7
11359.7
10073.4
9813.3
9782.4
9646.3
9179.9
9453.4
9206.5
9407.4
8361
8587.7
8327.5
7342.7
8191
8466.3
9646.3
9521.2
9929.4
9482.8
8758.4
9553.6

0.33%
24.08%
-13.71%
1.86%
-0.91%
-29.41%
6.47%
-13.63%
7.69%
2.97%
14.37%
2.94%
-6.45%
0.58%
-0.96%
0.43%
7.34%
4.83%
6.66%
4.47%
-3.08%
-2.16%
2.74%
0.07%
-1.51%
-2.06%
12.77%
2.65%
0.32%
1.41%
5.08%
-2.89%
2.68%
-2.14%
12.52%
-2.64%
3.12%
13.41%
-10.36%
-3.25%
-12.23%
1.31%
-4.11%
4.71%
8.27%
-8.32%
6.55%

4/6/1994
3/1/1994
2/1/1994
1/3/1994
########
########
########
9/1/1993
8/2/1993
7/1/1993
6/1/1993
5/3/1993
4/1/1993
3/1/1993
2/1/1993
1/4/1993
########
########
########
9/1/1992
8/3/1992
7/1/1992
6/1/1992
5/1/1992
4/1/1992
3/2/1992
2/3/1992
1/2/1992
########
########
########
9/2/1991
8/1/1991
7/1/1991
6/3/1991
5/1/1991
4/2/1991
3/1/1991
2/1/1991
1/2/1991
########
########
########
9/3/1990
8/1/1990
7/2/1990
6/1/1990

8966.1
9029.9
10410.2
11487
11888.4
9125.2
9329.1
7676.2
7549.7
6989
7099.3
7372.2
6830.5
6388.9
6352
5751.4
5512.4
5810.6
6190.7
5505.4
5628.6
5881.1
6103.9
6080.2
5369.6
4938.3
4929.1
4601.8
4297.3
4149.8
4038.7
3956.7
3998
4009
3668
3707
3588
3745
3552
3243
3024
2965
2990
2760
3087
3438
3278

-0.71%
-13.26%
-9.37%
-3.38%
30.28%
-2.19%
21.53%
1.68%
8.02%
-1.55%
-3.70%
7.93%
6.91%
0.58%
10.44%
4.34%
-5.13%
-6.14%
12.45%
-2.19%
-4.29%
-3.65%
0.39%
13.23%
8.73%
0.19%
7.11%
7.09%
3.55%
2.75%
2.07%
-1.03%
-0.27%
9.30%
-1.05%
3.32%
-4.19%
5.43%
9.53%
7.24%
1.99%
-0.84%
8.33%
-10.59%
-10.21%
4.88%
4.66%

5/1/1990
4/2/1990
3/1/1990
2/1/1990
1/2/1990
########
########
########
9/1/1989
8/1/1989
7/3/1989
6/1/1989
5/1/1989
4/3/1989
3/1/1989
2/1/1989
1/3/1989
########
########
########
9/1/1988
8/1/1988
7/1/1988
6/1/1988
5/2/1988
4/6/1988
3/1/1988
2/1/1988
1/4/1988
########
########
########
9/1/1987
8/3/1987
7/1/1987
6/2/1987
5/1/1987
4/1/1987
3/2/1987
2/2/1987
1/2/1987
########

3132
6.13%
2951
-1.53%
2997
1.52%
2952
7.28%
2751.6
-3.00%
2836.6
3.21%
2748.4
0.85%
2725.3
-1.19%
2758.2
9.95%
2508.6
-2.43%
2571.1
13.07%
2273.9 -17.13%
2743.9 -11.94%
3116
3.69%
3005
-0.26%
3012.7
-1.96%
3072.9
14.34%
2687.4
1.06%
2659.3
1.21%
2627.4
7.64%
2441
-0.11%
2443.8
-8.78%
2678.9
0.28%
2671.5
7.00%
2496.7
-4.08%
2602.9
2.32%
2544
5.21%
2418.1
0.35%
2409.7
4.64%
2302.8
7.69%
2138.4
-3.00%
2204.5 -44.10%
3943.6
9.19%
3611.7
3.81%
3479.2
9.47%
3178.2
7.71%
2950.8
10.94%
2659.9
-1.99%
2713.8
-5.70%
2877.9
12.71%
2553.3
-0.58%
2568.3 #DIV/0!

Histogram

Frequency

Bin

Tailed distribution
Left-tailed distribution
Fat-rtailed distribution

FRM
Bond

X
-0.07096
-0.01517
0.019614
-0.0313
-0.02989
0.047341
0.028439
0.017955
0.038456
0.069694
-0.01587

Z
0.018278
0.043584
-0.11684
0.026204
-0.05187
0.063245
0.106111
0.024739
-0.09441
0.129173
-0.14329

0.024188
-0.08003
0.002337
0.003155
0.038063
0.062414
-0.04127
0.11941
0.011432
0.170737
0.143265

0.001717 0.008126 0.005941

X
Y
Z

1
0.282574
0.309684

X
Y
Z

X
Y
Z
0.001561
0.00096 0.007388
0.000899 -0.00022 0.005401

1
-0.03519

Asset 1: R1 ~ NID(10%, 20%)

Ret
SD
Corr
Wt
E(Rp)
Var(Rp)
SD(Rp)

Riskfree HSIN
3%
20%
0%
30%
0
0.764706 0.235294
7.00%
0.50%
7.06%

Ret
SD

7%
20%

R1
Ret
SD
Corr
R1
R2
R3
Wt
E(Rp)
Var(Rp)
SD(Rp)

R2
10%
20%

R1

R3
20%
30%

R2
1
0.6
0.5
0.3

0.195
0.06336
0.251714

R1
25%
36%

R3
0.6
1
0.4
0.2

0.5
0.4
1
0.5

Ret
SD
Corr
R1
R2
R3
Wt

R2
10%
20%

R1

R2
1
0.6
0.5
0.3

Diagonal matrix of SD
20%
0%
0%
Cov
0.04
0.036
0.036
Var(Rp)
SD(Rp)

20%
30%

0.06336
0.251714

0.6
1
0.4
0.2

0%
30%
0%
0.036
0.09
0.0432

R3
25%
36%
R3
0.5
0.4
1
0.5

0%
0%
36%
0.036
0.0432
0.1296