Industrials

Date ASB Close Return CLO Close Return

4-Feb 0.685 1.15
5-Feb 0.68 -0.00732604 1.13 -0.01754431
6-Feb 0.67 -0.014815086 1.15 0.01754431
7-Feb 0.665 -0.007490672 1.14 -0.00873368
8-Feb 0.68 0.022305758 1.13 -0.00881063
11-Feb-13 0.67 -0.014815086 1.145 0.013187004
12-Feb-13 0.665 -0.007490672 1.135 -0.008771986
13-Feb-13 0.67 0.007490672 1.165 0.026088436
14-Feb-13 0.685 0.022141126 1.16 -0.004301082
15-Feb-13 0.695 0.014493007 1.16 0
18-Feb-13 0.695 0 1.21 0.042200354
19-Feb-13 0.695 0 1.3 0.071743905
20-Feb-13 0.685 -0.014493007 1.25 -0.039220713
21-Feb-13 0.65 -0.052446475 1.26 0.00796817
22-Feb-13 0.66 0.015267472 1.28 0.015748357
25-Feb-13 0.66 0 1.295 0.011650617
26-Feb-13 0.63 -0.046520016 1.3 0.003853569
27-Feb-13 0.6 -0.048790164 1.27 -0.023347364
28-Feb-13 0.6 0 1.29 0.015625318
1-Mar-13 0.59 -0.016807118 1.295 0.003868477

E(ri)Daily -0.0078577 0.006249934

Annualised
E(ri) -1.980140418 1.574983458
E(ri) - rf -200.78% 157.50%
Daily
Var(ri) 0.000458238 0.00056368
Annualised
Var(ri) 0.115475947 0.142047297
σi 0.33981752 0.376891625
Sharpe Ratio, Si -5.908584166 4.178876242

Portfolio Weight, wi 20% 20%

wi*E(ri) -0.396028084 0.314996692
Industrials FGE Close Return LCM Close Return TOX Close Return
5.5 1.38 3.3
Date 5.62 0.021583572 1.38 0 3.2 -0.030771659
4-Feb 5.47 -0.027053047 1.4 0.014388737 3.3 0.030771659
5-Feb 5.5 0.005469476 1.38 -0.014388737 3.34 0.012048339
6-Feb 5.45 -0.009132484 1.38 0 3.34 0
7-Feb
5.57 0.021779445 1.43 0.035590945 3.32 -0.006006024
8-Feb
5.72 0.026573751 1.47 0.027587957 3.27 -0.015174798
11-Feb-13
5.79 0.012163486 1.43 -0.027587957 3.16 -0.034217957
12-Feb-13
5.94 0.025576842 1.475 0.030983546 3.15 -0.003169575
13-Feb-13
6 0.010050336 1.47 -0.003395589 3.17 0.006329135
14-Feb-13
15-Feb-13 6.3 0.048790164 1.45 -0.013698844 3.14 -0.009508788
18-Feb-13 6.2 -0.016000341 1.46 0.006872879 3.1 -0.012820688
19-Feb-13 6.18 -0.003231021 1.45 -0.006872879 3.1 0
20-Feb-13 5.96 -0.03624779 1.5 0.033901552 3.02 -0.02614528
21-Feb-13 6.02 0.010016778 1.57 0.045610511 3.1 0.02614528
22-Feb-13 6.33 0.050212977 1.62 0.03135053 3.04 -0.019544596
25-Feb-13 6.35 0.003154577 1.64 0.012270093 3.05 0.003284075
26-Feb-13 6.63 0.043149991 1.59 -0.030962226 3.06 0.003273325
27-Feb-13 6.72 0.01348335 1.54 -0.0319516 3.13 0.022618089
28-Feb-13 6.68 -0.005970167 1.52 -0.013072082 3.24 0.034540325
1-Mar-13

0.010229994 0.005085623 -0.000965744

E(ri)Daily
2.577958611 1.281576979 -0.243367523
E(ri)Annualised
257.80% 128.16% -24.34%
E(ri) - rf
0.000530427 0.000551511 0.000380979
Var(ri)Daily
Var(ri)Annualised 0.133667483 0.138980648 0.096006601
σi 0.365605638 0.372801083 0.309849319
Sharpe Ratio, Si 7.051200368 3.437696497 -0.785438303

Portfolio Weight, wi 20% 20% 20%

wi*E(ri) 0.515591722 0.256315396 -0.048673505
Risk-Free Rate 2.77%

E(rp) 0.642202221
Daily
Var(rP) 9.80639E-05
Annualised
Var(rP) 0.024712111
σ(rP) 0.157200863
rf 2.77%

SP 3.909025741

y(A = 2) (%) 12.4332197 Risk-free Asset(A=2) (%) 87.5667803

y(A = 3.5) (%) 7.10469697 Risk-free Asset(A=3.5) (%)92.89530303
y(A = 5) (%) 4.973287879 Risk-free Asset(A=5) (%)95.02671212

COVARIANCE MATRIX wASB rASB wCLO rCLO wFGE rFGE wLCM rLCM wTOX rTOX
Weight 20% 20% 20% 20% 20%
wASB rASB 20% 0.000458238 0.000101417 9.24089E-05 2.77677E-05 2.00209E-05
wCLO rCLO 20% 0.000101417 0.00056368 -5.73678E-05 4.7743E-05 -3.4635E-05
wFGE rFGE 20% 9.24089E-05 -5.73678E-05 0.000530427 -5.94428E-05 -0.000104788
wLCM rLCM 20% 2.77677E-05 4.7743E-05 -5.94428E-05 0.000551511 -4.9741E-05
wTOX rTOX 20% 2.00209E-05 -3.4635E-05 -0.000104788 -4.9741E-05 0.000380979
Mining

Date DTM Close Return AOH Close Return

4-Feb 0.097 0.205
5-Feb 0.097 0 0.215 0.047628049
6-Feb 0.097 0 0.22 0.022989518
7-Feb 0.097 0 0.23 0.044451763
8-Feb 0.098 0.0102565 0.225 -0.021978907
11-Feb-13 0.096 -0.020619287 0.235 0.043485112
12-Feb-13 0.095 -0.0104713 0.23 -0.021506205
13-Feb-13 0.099 0.041242959 0.235 0.021506205
14-Feb-13 0.1 0.010050336 0.24 0.021053409
15-Feb-13 0.099 -0.010050336 0.24 0
18-Feb-13 0.097 -0.020408872 0.245 0.020619287
19-Feb-13 0.096 -0.010362787 0.25 0.020202707
20-Feb-13 0.094 -0.021053409 0.245 -0.020202707
21-Feb-13 0.095 0.010582109 0.25 0.020202707
22-Feb-13 0.096 0.0104713 0.245 -0.020202707
25-Feb-13 0.096 0 0.245 0
26-Feb-13 0.097 0.010362787 0.24 -0.020619287
27-Feb-13 0.099 0.020408872 0.24 0
28-Feb-13 0.095 -0.041242959 0.245 0.020619287
1-Mar-13 0.099 0.041242959 0.24 -0.020619287

Risk-Free Rate 2.77%

E(ri)Daily 0% 0.00829626
Annualised
E(ri) 0.270686087 2.090657576
E(ri) - rf 24.30% 209.07%
Var(ri)Daily 0.000401881 0.000554774
Var(ri)Annualised 0.101273947 0.139802996
σi 0.318235678 0.373902388
Sharpe Ratio, Si 0.763541311 5.591452854

Portfolio Weight, wi 20% 20%

wi*E(ri) 0.054137217 0.418131515
Mining

Date XAM Close Return BHP Close Return STB Close Return
4-Feb 0.096 37.81 0.3892
5-Feb 0.096 0 37.18 -0.016802636 0.3847 -0.011629541
6-Feb 0.096 0 37.52 0.009103142 0.3937 0.023125388
7-Feb 0.08 -0.182321557 37.65 0.00345883 0.3892 -0.011495848
8-Feb 0.08 0 37.95 0.00793655 0.3758 -0.035036263
11-Feb-13 0.08 0 37.71 -0.006344193 0.3758 0
12-Feb-13 0.08 0 37.59 -0.003187254 0.3624 -0.036308513
13-Feb-13 0.072 -0.105360516 37.92 0.00874062 0.3489 -0.037963226
14-Feb-13 0.07 -0.028170877 38.89 0.025258471 0.3355 -0.039163392
15-Feb-13 0.073 0.041964199 38.59 -0.007743973 0.3445 0.026472134
18-Feb-13 0.073 0 38.67 0.00207093 0.3445 0
19-Feb-13 0.071 -0.027779564 39 0.008497541 0.34 -0.013148473
20-Feb-13 0.07 -0.014184635 38.65 -0.009014871 0.34 0
21-Feb-13 0.07 0 37.17 -0.039044791 0.3221 -0.054083561
22-Feb-13 0.07 0 36.87 -0.008103772 0.3445 0.067232034
25-Feb-13 0.07 0 36.9 0.000813339 0.3489 0.012691258
26-Feb-13 0.075 0.068992871 36.35 -0.015017347 0.3489 0
27-Feb-13 0.085 0.125163143 36.69 0.009310034 0.3579 0.02546827
28-Feb-13 0.09 0.057158414 37.07 0.010303779 0.3713 0.036756743
1-Mar-13 0.081 -0.105360516 36.84 -0.006223806 0.3579 -0.036756743

Risk-Free Rate

E(ri)Daily -0.008942055 -0.001367864 -0.004412618

E(ri)Annualised -2.253397751 -0.344701602 -1.111979611
E(ri) - rf -225.34% -34.47% -111.20%
Var(ri)Daily 0.004270736 0.000180793 0.000935985
Var(ri)Annualised 1.076225597 0.045559712 0.235868136
σi 1.037412935 0.21344721 0.485662574
Sharpe Ratio, Si -2.172131921 -1.614926716 -2.289613551

Portfolio Weight, wi 20% 20% 20%

wi*E(ri) -0.45067955 -0.06894032 -0.222395922
E(rp) -0.26974706
Daily
Var(rP) 0.000226974
Annualised
Var(rP) 0.057197325
σ(rP) 0.239159622
rf 2.77%

SP -1.243717722

y(A = 2) (%) -2.600183323 Risk-free Asset(A=2) (%) 102.6001833

y(A = 3.5) (%) -1.485819042 Risk-free Asset(A=3.5) (%) 101.485819
y(A = 5) (%) -1.040073329 Risk-free Asset(A=5) (%) 101.0400733

COVARIANCE MATRIX wDTM RDTM wAOH rAOH wXAM rXAM wBHP rBHP wSTB rSTB
Weight 20% 20% 20% 20% 20%
wDTM rDTM 20% 0.000401881 -0.00010972 -0.000406033 -6.32337E-06 -0.000229403
wAOH rAOH 20% -0.00010972 0.000554774 -0.0004158 2.83259E-05 -5.93947E-05
wXAM rXAM 20% -0.000406033 -0.0004158 0.004270736 -8.18299E-05 0.000899307
wBHP rBHP 20% -6.32337E-06 2.83259E-05 -8.18299E-05 0.000180793 4.59556E-05
wSTB rSTB 20% -0.000229403 -5.93947E-05 0.000899307 4.59556E-05 0.000935985
Indifference Curves

A 2 2 3.5 3.5 5 5
σ U 0.0277 0.05 0.0277 0.05 0.0277 0.05
0.157 0.052349 0.074649 0.07083575 0.09313575 0.0893225 0.1116225
0.1653 0.05502409 0.07732409 0.075517158 0.097817158 0.096010225 0.118310225
0.1736 0.05783696 0.08013696 0.08043968 0.10273968 0.1030424 0.1253424
0.17775 0.059295063 0.081595063 0.082991359 0.105291359 0.106687656 0.128987656
0.17692 0.059000686 0.081300686 0.082476201 0.104776201 0.105951716 0.128251716
0.1902 0.06387604 0.08617604 0.09100807 0.11330807 0.1181401 0.1404401
0.1985 0.06710225 0.08940225 0.096653938 0.118953938 0.126205625 0.148505625
0.2068 0.07046624 0.09276624 0.10254092 0.12484092 0.1346156 0.1569156
0.2151 0.07396801 0.09626801 0.108669018 0.130969018 0.143370025 0.165670025
0.22008 0.076135206 0.098435206 0.112461611 0.134761611 0.148788016 0.171088016
0.2234 0.07760756 0.09990756 0.11503823 0.13733823 0.1524689 0.1747689
0.2317 0.08138489 0.10368489 0.121648558 0.143948558 0.161912225 0.184212225
0.24 0.0853 0.1076 0.1285 0.1508 0.1717 0.194

CAL Std Dev (I) E(ri) Std Dev (M) E(rm)

0 0.0277 0 0.0277
0.05 0.223336943 0.075 -0.067716667
0.1 0.418973885 0.15 -0.163133333
0.15 0.614610828 0.225 -0.25855
0.157 0.642 0.234 -0.27
0.207 0.837636943 0.284 -0.333611111
0.257 1.033273885 0.334 -0.397222222