ANNUAL STOCK PRICE AND RETURN DATA FOR SIX STOCKS
General Electric (GE), Microsoft (MSFT), Johnson & Johnson (JNJ), Kellogg (K), Boeing (BA),
IBM
Price Data
Date GE MSFT JNJ K BA IBM
4-Jan-93 2.36 2.68 6.78 20.37 2.34 11.79
3-Jan-94 4.15 2.64 7.20 18.47 4.21 14.62
3-Jan-95 4.98 3.68 10.91 19.90 4.20 15.53
2-Jan-96 8.80 5.73 19.43 29.03 8.09 20.41
2-Jan-97 13.51 12.64 24.44 27.59 13.93 30.78
2-Jan-98 21.64 18.49 29.15 38.01 20.19 31.60
4-Jan-99 30.57 43.37 38.04 34.14 23.47 30.94
3-Jan-00 40.51 48.51 39.36 20.93 36.27 39.24
2-Jan-01 42.42 30.26 43.80 23.52 48.13 48.78
2-Jan-02 34.82 31.58 55.19 28.70 41.39 51.05
2-Jan-03 22.25 23.52 52.15 32.00 32.81 59.63
2-Jan-04 31.86 28.16 51.49 37.36 48.86 81.95
Shares Outstanding 10.56 10.86 2.97 0.41 0.84 0.79
Market Value 336.44 305.82 152.93 15.44 41.01 65.13
Percentage of Portfolio 37% 33% 17% 2% 4% 7%
Return Data
Date GE MSFT JNJ K BA IBM
3-Jan-94 56.44% -1.50% 6.01% -9.79% 58.73% 21.51%
3-Jan-95 18.23% 33.21% 41.56% 7.46% -0.24% 6.04%
2-Jan-96 56.93% 44.28% 57.71% 37.76% 65.55% 27.33%
2-Jan-97 42.87% 79.12% 22.94% -5.09% 54.34% 41.08%
2-Jan-98 47.11% 38.04% 17.62% 32.04% 37.11% 2.63%
4-Jan-99 34.55% 85.25% 26.62% -10.74% 15.05% -2.11%
3-Jan-00 28.15% 11.20% 3.41% -48.93% 43.53% 23.76%
2-Jan-01 4.61% -47.19% 10.69% 11.67% 28.29% 21.76%
2-Jan-02 -19.74% 4.27% 23.11% 19.90% -15.09% 4.55%
2-Jan-03 -44.78% -29.47% -5.67% 10.88% -23.23% 15.54%
2-Jan-04 35.90% 18.01% -1.27% 15.49% 39.82% 31.80%
Average 23.66% 21.38% 18.43% 5.51% 27.63% 17.63%
Standard Deviation 30.67% 38.82% 18.08% 22.75% 28.54% 12.93%
Sharp Ratio 0.7713 0.5509 1.0193 0.2423 0.9681 1.3631
Excess Returns
Date GE MSFT JNJ K BA IBM
3-Jan-94 32.78% -22.89% -12.42% -15.31% 31.11% 3.89%
3-Jan-95 -5.43% 11.83% 23.13% 1.94% -27.86% -11.59%
2-Jan-96 33.27% 22.90% 39.28% 32.25% 37.93% 9.70%
2-Jan-97 19.21% 57.73% 4.51% -10.60% 26.72% 23.46%
2-Jan-98 23.45% 16.65% -0.81% 26.53% 9.49% -15.00%
4-Jan-99 10.89% 63.87% 8.19% -16.25% -12.57% -19.74%
3-Jan-00 4.49% -10.18% -15.02% -54.44% 15.90% 6.14%
2-Jan-01 -19.05% -68.58% -7.74% 6.15% 0.67% 4.14%
2-Jan-02 -43.40% -17.11% 4.68% 14.39% -42.71% -13.08%
2-Jan-03 -68.45% -50.85% -24.10% 5.37% -50.86% -2.09%
2-Jan-04 12.24% -3.38% -19.70% 9.97% 12.20% 14.17%
Method No 1
GE MSFT JNJ K BA IBM
GE 0.0941 0.0690 0.0201 -0.0039 0.0780 0.0112
MSFT 0.0690 0.1507 0.0375 -0.0047 0.0345 -0.0020
JNJ 0.0201 0.0375 0.0327 0.0165 0.0092 -0.0036
K -0.0039 -0.0047 0.0165 0.0518 -0.0069 -0.0042
BA 0.0780 0.0345 0.0092 -0.0069 0.0814 0.0226
IBM 0.0112 -0.0020 -0.0036 -0.0042 0.0226 0.0167
Method No 2
GE MSFT JNJ K BA IBM
GE 0.1035 0.0758 0.0222 -0.0043 0.0857 0.0123
MSFT 0.0758 0.1657 0.0412 -0.0052 0.0379 -0.0022
JNJ 0.0222 0.0412 0.0360 0.0181 0.0101 -0.0039
K -0.0043 -0.0052 0.0181 0.0570 -0.0076 -0.0046
BA 0.0857 0.0379 0.0101 -0.0076 0.0896 0.0248
IBM 0.0123 -0.0022 -0.0039 -0.0046 0.0248 0.0184
FOR SIX STOCKS
JNJ), Kellogg (K), Boeing (BA),
Portfolio Optimization
Average SD Sharp Ratio W1
GE 0.23660815 0.3067474471 0.7713451424 0.3669856
MSFT 0.21382598 0.3881707615 0.5508554412 0.3335814
JNJ 0.18431005 0.1808260143 1.0192673175 0.1668087
K 0.05513976 0.2275414638 0.2423284143 0.0168472
BA 0.27625529 0.2853562866 0.9681065324 0.0447381
IBM 0.17625978 0.1293033976 1.3631488748 0.071039
Sum 1
Rp 0.2147
Var.p 0.0584
SDp 0.2534
Sharp Ratio 0.8473419
100.00%
Constraints
Min. Risk 0.2147
Max. Return 0.2147
>=1.299
Mean
Variance
SD
Proportion Of Portfolio SD Mean
-0.5
-0.4
-0.3
-0.2
-0.1
0
1
1.1
1.2
1.3
1.4
1.5
W2 W3 W4
0.366986 0.366986 0.366986
0.333581 0.333581 0.333581
0.166809 0.166809 0.166809
0.016847 0.016847 0.016847
0.044738 0.044738 0.044738
0.071039 0.071039 0.071039
1 1 1
0.2147 0.2147 0.2147
0.0584 0.0584 0.0584
0.2534 0.2534 0.2534
0.847342 0.847342 0.847342