Monthly Return Data 11714675 ‫وية مسلماني‬

MSCI World Index Lehman Brothers

Date S&P 500 IBM IBM return /100
(Excluding US) Aggregate Bond Index
Jan-97 6.25% -3.12% 0.31% 3.55% 0.035
Feb-97 0.78% 1.52% 0.25% -8.14% -0.081
Mar-97 -4.11% 0.10% -1.11% -4.52% -0.045
Apr-97 5.97% 0.61% 1.50% 16.94% 0.169
May-97 6.09% 6.59% 0.95% 8.04% 0.080
Jun-97 4.48% 5.34% 1.19% 4.34% 0.043
Jul-97 7.96% 1.84% 2.70% 17.17% 0.172
Aug-97 -5.60% -7.37% -0.85% -3.95% -0.039
Sep-97 5.48% 5.61% 1.48% 4.56% 0.046
Oct-97 -3.34% -7.54% 1.45% -7.08% -0.071
Nov-97 4.63% -1.12% 0.46% 11.37% 0.114
Dec-97 1.72% 0.95% 1.01% -4.45% -0.045
Jan-98 1.11% 4.26% 1.28% -5.62% -0.056
Feb-98 7.21% 6.51% -0.08% 5.96% 0.060
Mar-98 5.12% 3.28% 0.34% -0.54% -0.005
Apr-98 1.01% 0.78% 0.52% 11.55% 0.116
May-98 -1.72% -0.52% 0.95% 1.59% 0.016
Jun-98 4.06% 0.53% 0.85% -2.29% -0.023
Jul-98 -1.06% 0.65% 0.21% 15.41% 0.154
Aug-98 -14.46% -12.77% 1.63% -14.83% -0.148
Sep-98 6.41% -2.86% 2.34% 14.10% 0.141
Oct-98 8.13% 10.41% -0.53% 15.56% 0.156
Nov-98 6.06% 5.07% 0.57% 11.34% 0.113
Dec-98 5.76% 3.84% 0.30% 11.66% 0.117
Jan-99 4.18% 0.02% 0.71% -0.61% -0.006
Feb-99 -3.11% -2.52% -1.74% -7.25% -0.072
Mar-99 4.00% 4.17% 0.55% 4.42% 0.044
Apr-99 3.87% 4.29% 0.32% 18.02% 0.180
May-99 -2.36% -5.05% -0.87% 11.02% 0.110
Jun-99 5.55% 3.91% -0.31% 11.42% 0.114
Jul-99 -3.12% 2.88% -0.42% -2.76% -0.028
Aug-99 -0.49% 0.28% -0.05% -0.80% -0.008
Sep-99 -2.74% 1.08% 1.16% -2.86% -0.029
Oct-99 6.33% 3.86% 0.37% -18.80% -0.188
Nov-99 2.03% 3.50% 0.00% 5.02% 0.050
Dec-99 5.89% 9.19% -0.48% 4.67% 0.047
Jan-00 -5.02% -6.07% -0.33% 4.06% 0.041
Feb-00 -1.89% 2.83% 1.21% -8.36% -0.084
Mar-00 9.78% 4.10% 1.32% 14.84% 0.148
Apr-00 -3.01% -5.18% -0.29% -5.51% -0.055
May-00 -2.05% -2.42% -0.05% -3.58% -0.036
Jun-00 2.47% 4.32% 2.08% 2.04% 0.020
Jul-00 -1.56% -3.82% 0.91% 2.62% 0.026
Aug-00 6.21% 1.31% 1.45% 17.51% 0.175
Sep-00 -5.28% -5.18% 0.63% -14.77% -0.148
Oct-00 -0.42% -2.72% 0.66% -12.44% -0.124
Nov-00 -7.88% -4.02% 1.64% -4.94% -0.049
Dec-00 0.49% 3.50% 1.86% -9.09% -0.091
Jan-01 3.55% 0.18% 1.64% 31.76% 0.318
Feb-01 -9.11% -7.92% 0.87% -10.69% -0.107
Mar-01 -6.33% -6.80% 0.50% -3.72% -0.037
Apr-01 7.76% 6.97% -0.41% 19.71% 0.197
May-01 0.67% -3.28% 0.60% -2.78% -0.028
Jun-01 -2.43% -4.10% 0.38% 1.07% 0.011
Jul-01 -0.99% -1.72% 2.24% -6.89% -0.069
Aug-01 -6.25% -2.67% 1.15% -4.87% -0.049
Sep-01 -8.07% -10.09% 1.17% -8.23% -0.082
Oct-01 1.91% 2.45% 2.09% 17.83% 0.178
Nov-01 7.67% 3.93% -1.37% 7.09% 0.071
Dec-01 0.88% 0.64% -0.63% 4.65% 0.046
Jan-02 -1.45% -5.08% 0.81% -10.81% -0.108
Feb-02 -1.92% 0.61% 0.97% -8.93% -0.089
Mar-02 3.76% 5.78% -1.66% 5.99% 0.060
Apr-02 -6.06% 0.15% 1.94% -19.46% -0.195
May-02 -0.73% 1.31% 0.85% -3.77% -0.038
Jun-02 -7.12% -4.06% 0.87% -10.50% -0.105
Jul-02 -7.79% -9.94% 1.21% -2.22% -0.022
Aug-02 0.65% -0.15% 1.69% 7.29% 0.073
Sep-02 -10.80% -10.60% 1.62% -22.65% -0.226
Oct-02 8.79% 5.25% -0.46% 35.38% 0.354
Nov-02 5.88% 4.60% -0.03% 10.30% 0.103
Dec-02 -5.87% -3.23% 2.07% -10.84% -0.108
Jan-03 -2.62% -3.81% 0.09% 0.90% 0.009
Feb-03 -1.50% -1.97% 1.38% -0.13% -0.001
Mar-03 0.97% -1.93% -0.08% 0.62% 0.006
Apr-03 8.24% 9.60% 0.83% 8.25% 0.082
May-03 5.27% 6.20% 1.86% 3.89% 0.039
Jun-03 1.28% 2.43% -0.20% -6.29% -0.063
Jul-03 1.76% 2.29% -3.36% -1.52% -0.015
Aug-03 1.95% 2.58% 0.66% 1.13% 0.011
Sep-03 -1.06% 3.00% 2.65% 7.71% 0.077
Oct-03 5.66% 6.26% -0.93% 1.30% 0.013
Nov-03 0.88% 2.27% 0.24% 1.36% 0.014
Dec-03 5.24% 7.67% 1.02% 2.36% 0.024
Jan-04 1.84% 1.39% 0.80% 7.07% 0.071
Feb-04 1.39% 2.30% 1.08% -2.59% -0.026
Mar-04 -1.51% 0.50% 0.75% -4.83% -0.048
Apr-04 -1.57% -2.62% -2.60% -4.00% -0.040
May-04 1.37% 0.30% -0.40% 0.68% 0.007
Jun-04 1.94% 2.48% 0.57% -0.50% -0.005
Jul-04 -3.31% -3.05% 0.99% -1.23% -0.012
Aug-04 0.40% 0.42% 1.91% -2.53% -0.025
Sep-04 1.08% 2.91% 0.27% 1.24% 0.012
Oct-04 1.53% 3.59% 0.84% 4.68% 0.047
Nov-04 4.05% 6.65% -0.80% 5.20% 0.052
Dec-04 3.40% 4.22% 0.92% 4.61% 0.046
Jan-05 -2.44% -1.97% 0.63% -5.23% -0.052
Feb-05 2.10% 4.45% -0.59% -0.71% -0.007
Mar-05 -1.77% -2.27% -0.51% -1.30% -0.013
Apr-05 -1.90% -2.55% 1.35% -16.42% -0.164
May-05 3.18% 0.18% 1.08% -0.82% -0.008
Jun-05 0.14% 1.63% 0.55% -1.79% -0.018
Jul-05 3.72% 3.23% -0.91% 12.48% 0.125
Aug-05 -0.91% 2.76% 1.28% -3.16% -0.032
Sep-05 0.81% 4.56% -1.03% -0.50% -0.005
Oct-05 -1.67% -3.23% -0.79% 2.07% 0.021
Nov-05 3.78% 2.65% 0.44% 8.82% 0.088
Dec-05 0.04% 4.64% 0.95% -7.54% -0.075
Jan-06 2.65% 6.33% 0.01% -1.09% -0.011
Feb-06 0.27% -0.34% 0.33% -1.06% -0.011
Mar-06 1.24% 3.17% -0.98% 2.78% 0.028
Apr-06 1.34% 4.78% -0.18% -0.16% -0.002
May-06 -2.88% -3.80% -0.11% -2.60% -0.026
Jun-06 0.14% -0.13% 0.21% -3.85% -0.039
Jul-06 0.62% 0.94% 1.35% 0.77% 0.008
Aug-06 2.38% 2.84% 1.53% 4.99% 0.050
Sep-06 2.58% -0.08% 0.88% 1.20% 0.012
Oct-06 3.26% 3.95% 0.66% 12.68% 0.127
Nov-06 1.90% 2.98% 1.16% -0.12% -0.001
Dec-06 1.40% 2.87% -0.58% 5.69% 0.057
11714675 ‫معاوية مسلماني‬
1+IBM return/100 geo mean -1 1. Using the return data for IBM in Exhibit 1, calcul
the stock.
1.035 1.00850774497 IBM
0.919 0.00850774497 Arithmetic mean
0.955 geometric mean %
1.169 standard deviation
1.080
1.043
1.172
‫سئلة مرقمة على الصفحات اسفل‬
0.961
1.046
0.929
1.114
0.955
0.944
1.060
0.995
1.116
1.016
0.977
1.154
0.852
1.141
1.156
1.113
1.117
0.994
0.928
1.044
1.180
1.110
1.114
0.972
0.992
0.971
0.812
1.050
1.047
1.041
0.916
1.148
0.945
0.964
1.020
1.026
1.175
0.852
0.876
0.951
0.909
1.318
0.893
0.963
1.197
0.972
1.011
0.931
0.951
0.918
1.178
1.071
1.046
0.892
0.911
1.060
0.805
0.962
0.895
0.978
1.073
0.774
1.354
1.103
0.892
1.009
0.999
1.006
1.082
1.039
0.937
0.985
1.011
1.077
1.013
1.014
1.024
1.071
0.974
0.952
0.960
1.007
0.995
0.988
0.975
1.012
1.047
1.052
1.046
0.948
0.993
0.987
0.836
0.992
0.982
1.125
0.968
0.995
1.021
1.088
0.925
0.989
0.989
1.028
0.998
0.974
0.961
1.008
1.050
1.012
1.127
0.999
1.057
eturn data for IBM in Exhibit 1, calculate the mean and standard deviation for
the stock.

1.27%
0.85%
9.34%

‫االسئلة مرقمة على الصفحات اسفل‬

 Monthly Return Data

MSCI World Lehman Brothers

Date S&P 500 Index Aggregate Bond IBM WeightSP500*RSP500
(Excluding US) Index

Jan-97 6.25% -3.12% 0.31% 3.55% 0.020824999979175

Feb-97 0.78% 1.52% 0.25% -8.14% 0.002612333330721
Mar-97 -4.11% 0.10% -1.11% -4.52% -0.013695999986304
Apr-97 5.97% 0.61% 1.50% 16.94% 0.019899333313434
May-97 6.09% 6.59% 0.95% 8.04% 0.020294666646372
Jun-97 4.48% 5.34% 1.19% 4.34% 0.014933999985066
Jul-97 7.96% 1.84% 2.70% 17.17% 0.026522666640144
Aug-97 -5.60% -7.37% -0.85% -3.95% -0.018673999981326
Sep-97 5.48% 5.61% 1.48% 4.56% 0.018255333315078
Oct-97 -3.34% -7.54% 1.45% -7.08% -0.011132333322201
Nov-97 4.63% -1.12% 0.46% 11.37% 0.015430999984569
Dec-97 1.72% 0.95% 1.01% -4.45% 0.005724666660942
Jan-98 1.11% 4.26% 1.28% -5.62% 0.003686999996313
Feb-98 7.21% 6.51% -0.08% 5.96% 0.024041666642625
Mar-98 5.12% 3.28% 0.34% -0.54% 0.017069666649597
Apr-98 1.01% 0.78% 0.52% 11.55% 0.003353666663313
May-98 -1.72% -0.52% 0.95% 1.59% -0.005729333327604
Jun-98 4.06% 0.53% 0.85% -2.29% 0.013539666653127
Jul-98 -1.06% 0.65% 0.21% 15.41% -0.003549666663117
Aug-98 -14.46% -12.77% 1.63% -14.83% -0.04819333328514
Sep-98 6.41% -2.86% 2.34% 14.10% 0.021353666645313
Oct-98 8.13% 10.41% -0.53% 15.56% 0.027113999972886
Nov-98 6.06% 5.07% 0.57% 11.34% 0.020202666646464
Dec-98 5.76% 3.84% 0.30% 11.66% 0.019208333314125
Jan-99 4.18% 0.02% 0.71% -0.61% 0.013938666652728
Feb-99 -3.11% -2.52% -1.74% -7.25% -0.010359666656307
Mar-99 4.00% 4.17% 0.55% 4.42% 0.013336333319997
Apr-99 3.87% 4.29% 0.32% 18.02% 0.012908333320425
May-99 -2.36% -5.05% -0.87% 11.02% -0.007871333325462
Jun-99 5.55% 3.91% -0.31% 11.42% 0.018499333314834
Jul-99 -3.12% 2.88% -0.42% -2.76% -0.010408333322925
Aug-99 -0.49% 0.28% -0.05% -0.80% -0.001648999998351
Sep-99 -2.74% 1.08% 1.16% -2.86% -0.009137999990862
Oct-99 6.33% 3.86% 0.37% -18.80% 0.021093666645573
Nov-99 2.03% 3.50% 0.00% 5.02% 0.006775999993224
Dec-99 5.89% 9.19% -0.48% 4.67% 0.019631999980368
Jan-00 -5.02% -6.07% -0.33% 4.06% -0.016746333316587
Feb-00 -1.89% 2.83% 1.21% -8.36% -0.006304333327029
Mar-00 9.78% 4.10% 1.32% 14.84% 0.032587333300746
Apr-00 -3.01% -5.18% -0.29% -5.51% -0.010026333323307
May-00 -2.05% -2.42% -0.05% -3.58% -0.006845333326488
Jun-00 2.47% 4.32% 2.08% 2.04% 0.008220333325113
Jul-00 -1.56% -3.82% 0.91% 2.62% -0.005204333328129
Aug-00 6.21% 1.31% 1.45% 17.51% 0.020692666645974
Sep-00 -5.28% -5.18% 0.63% -14.77% -0.017594333315739
Oct-00 -0.42% -2.72% 0.66% -12.44% -0.001414333331919
Nov-00 -7.88% -4.02% 1.64% -4.94% -0.026260333307073
Dec-00 0.49% 3.50% 1.86% -9.09% 0.001635666665031
Jan-01 3.55% 0.18% 1.64% 31.76% 0.011821333321512
Feb-01 -9.11% -7.92% 0.87% -10.69% -0.030376333302957
Mar-01 -6.33% -6.80% 0.50% -3.72% -0.021105333312228
Apr-01 7.76% 6.97% -0.41% 19.71% 0.025881333307452
May-01 0.67% -3.28% 0.60% -2.78% 0.002235999997764
Jun-01 -2.43% -4.10% 0.38% 1.07% -0.008110333325223
Jul-01 -0.99% -1.72% 2.24% -6.89% -0.003283999996716
Aug-01 -6.25% -2.67% 1.15% -4.87% -0.020848333312485
Sep-01 -8.07% -10.09% 1.17% -8.23% -0.026913666639753
Oct-01 1.91% 2.45% 2.09% 17.83% 0.006358666660308
Nov-01 7.67% 3.93% -1.37% 7.09% 0.025560333307773
Dec-01 0.88% 0.64% -0.63% 4.65% 0.002924333330409
Jan-02 -1.45% -5.08% 0.81% -10.81% -0.0048333333285
Feb-02 -1.92% 0.61% 0.97% -8.93% -0.0063999999936
Mar-02 3.76% 5.78% -1.66% 5.99% 0.01253666665413
Apr-02 -6.06% 0.15% 1.94% -19.46% -0.0201999999798
May-02 -0.73% 1.31% 0.85% -3.77% -0.0024333333309
Jun-02 -7.12% -4.06% 0.87% -10.50% -0.0237333333096
Jul-02 -7.79% -9.94% 1.21% -2.22% -0.0259666666407
Aug-02 0.65% -0.15% 1.69% 7.29% 0.00217999999782
Sep-02 -10.80% -10.60% 1.62% -22.65% -0.035999999964
Oct-02 8.79% 5.25% -0.46% 35.38% 0.02930333330403
Nov-02 5.88% 4.60% -0.03% 10.30% 0.0195999999804
Dec-02 -5.87% -3.23% 2.07% -10.84% -0.0195666666471
Jan-03 -2.62% -3.81% 0.09% 0.90% -0.008732333324601
Feb-03 -1.50% -1.97% 1.38% -0.13% -0.005001333328332
Mar-03 0.97% -1.93% -0.08% 0.62% 0.003236333330097
Apr-03 8.24% 9.60% 0.83% 8.25% 0.02745666663921
May-03 5.27% 6.20% 1.86% 3.89% 0.017562666649104
Jun-03 1.28% 2.43% -0.20% -6.29% 0.004251999995748
Jul-03 1.76% 2.29% -3.36% -1.52% 0.005877333327456
Aug-03 1.95% 2.58% 0.66% 1.13% 0.006500666660166
Sep-03 -1.06% 3.00% 2.65% 7.71% -0.00353999999646
Oct-03 5.66% 6.26% -0.93% 1.30% 0.01885666664781
Nov-03 0.88% 2.27% 0.24% 1.36% 0.002932666663734
Dec-03 5.24% 7.67% 1.02% 2.36% 0.017481666649185
Jan-04 1.84% 1.39% 0.80% 7.07% 0.006118333327215
Feb-04 1.39% 2.30% 1.08% -2.59% 0.0046333333287
Mar-04 -1.51% 0.50% 0.75% -4.83% -0.005028666661638
Apr-04 -1.57% -2.62% -2.60% -4.00% -0.005232666661434
May-04 1.37% 0.30% -0.40% 0.68% 0.004574333328759
Jun-04 1.94% 2.48% 0.57% -0.50% 0.006481666660185
Jul-04 -3.31% -3.05% 0.99% -1.23% -0.011032333322301
Aug-04 0.40% 0.42% 1.91% -2.53% 0.001348333331985
Sep-04 1.08% 2.91% 0.27% 1.24% 0.003610333329723
Oct-04 1.53% 3.59% 0.84% 4.68% 0.005092333328241
Nov-04 4.05% 6.65% -0.80% 5.20% 0.013487333319846
Dec-04 3.40% 4.22% 0.92% 4.61% 0.011342999988657
Jan-05 -2.44% -1.97% 0.63% -5.23% -0.008124666658542
Feb-05 2.10% 4.45% -0.59% -0.71% 0.007010999992989
Mar-05 -1.77% -2.27% -0.51% -1.30% -0.005896333327437
Apr-05 -1.90% -2.55% 1.35% -16.42% -0.006318666660348
May-05 3.18% 0.18% 1.08% -0.82% 0.010596999989403
Jun-05 0.14% 1.63% 0.55% -1.79% 0.000477666666189
Jul-05 3.72% 3.23% -0.91% 12.48% 0.012390999987609
Aug-05 -0.91% 2.76% 1.28% -3.16% -0.003039666663627
Sep-05 0.81% 4.56% -1.03% -0.50% 0.002698333330635
Oct-05 -1.67% -3.23% -0.79% 2.07% -0.005559666661107
Nov-05 3.78% 2.65% 0.44% 8.82% 0.012594666654072
Dec-05 0.04% 4.64% 0.95% -7.54% 0.000118999999881
Jan-06 2.65% 6.33% 0.01% -1.09% 0.008825999991174
Feb-06 0.27% -0.34% 0.33% -1.06% 0.000904333332429
Mar-06 1.24% 3.17% -0.98% 2.78% 0.004149333329184
Apr-06 1.34% 4.78% -0.18% -0.16% 0.004475999995524
May-06 -2.88% -3.80% -0.11% -2.60% -0.009593666657073
Jun-06 0.14% -0.13% 0.21% -3.85% 0.000451999999548
Jul-06 0.62% 0.94% 1.35% 0.77% 0.002055999997944
Aug-06 2.38% 2.84% 1.53% 4.99% 0.007930999992069
Sep-06 2.58% -0.08% 0.88% 1.20% 0.00858999999141
Oct-06 3.26% 3.95% 0.66% 12.68% 0.010861999989138
Nov-06 1.90% 2.98% 1.16% -0.12% 0.006338666660328
Dec-06 1.40% 2.87% -0.58% 5.69% 0.004675999995324
 11714675 ‫معاوية مسلماني‬

WeightMSCI*RMSCI WeightLehmanAgg*RLehmanAgg Monthly Return for NEW Portfolio

-0.010388999989611 0.0010333333323 0.011469333321864

0.005051333328282 0.0008333333325 0.008496999991503
0.000335666666331 -0.0036999999963 -0.017060333316273
0.002045999997954 0.004999999995 0.026945333306388
0.021978333311355 0.0031666666635 0.045439666621227
0.017799666648867 0.0039666666627 0.036700333296633
0.006123999993876 0.008999999991 0.04164666662502
-0.024550666642116 -0.0028333333305 -0.046057999953942
0.018709666647957 0.0049333333284 0.041898333291435
-0.025146333308187 0.0048333333285 -0.031445333301888
-0.003729333329604 0.0015333333318 0.013234999986765
0.003171999996828 0.0033666666633 0.01226333332107
0.014207666652459 0.004279333329054 0.022173999977826
0.021705666644961 -0.000250999999749 0.045496333287837
0.010947333322386 0.001145333332188 0.029162333304171
0.002588333330745 0.00173999999826 0.007681999992318
-0.001734333331599 0.003161999996838 -0.004301666662365
0.00176999999823 0.002826999997173 0.01813666664853
0.002178666664488 0.000708999999291 -0.000661999999338
-0.042570666624096 0.005424666661242 -0.085339333247994
-0.009520999990479 0.007805333325528 0.019637999980362
0.034704666631962 -0.001758333331575 0.060060333273273
0.016887666649779 0.001887666664779 0.038977999961022
0.012789333320544 0.001002333332331 0.032999999967
0.000063666666603 0.00237666666429 0.016378999983621
-0.00838666665828 -0.0057999999942 -0.024546333308787
0.013905999986094 0.00184666666482 0.029088999970911
0.01429333331904 0.00105333333228 0.028254999971745
-0.016838333316495 -0.0028999999971 -0.027609666639057
0.013031333320302 -0.0010333333323 0.030497333302836
0.009594999990405 -0.0013999999986 -0.00221333333112
0.000947333332386 -0.0001666666665 -0.000868333332465
0.003598999996401 0.0038666666628 -0.001672333331661
0.012878666653788 0.00122666666544 0.035198999964801
0.011656333321677 0 0.018432333314901
0.030649666636017 -0.0015999999984 0.048681666617985
-0.0202333333131 -0.0010999999989 -0.038079666628587
0.00944666665722 0.0040333333293 0.007175666659491
 0.01367999998632 0.0043999999956 0.050667333282666
-0.0172666666494 -0.0009666666657 -0.028259666638407
-0.0080666666586 -0.0001666666665 -0.015078666651588
0.01440666665226 0.0069333333264 0.029560333303773
-0.0127333333206 0.0030333333303 -0.014904333318429
0.00435333332898 0.0048333333285 0.029879333303454
-0.0172666666494 0.0020999999979 -0.032760999967239
-0.0090666666576 0.0021999999978 -0.008280999991719
-0.0133999999866 0.0054666666612 -0.034193666632473
0.01166999998833 0.0061999999938 0.019505666647161
0.000590666666076 0.00544999999455 0.017861999982138
-0.026411666640255 0.00290333333043 -0.053884666612782
-0.022665999977334 0.00167333333166 -0.042097999957902
0.023220666643446 -0.0013666666653 0.047735333285598
-0.010918333322415 0.00200999999799 -0.006672333326661
-0.013678333319655 0.00125666666541 -0.020531999979468
-0.005728666660938 0.00744999999255 -0.001562666665104
-0.008901333324432 0.00381666666285 -0.025932999974067
-0.03363999996636 0.00388333332945 -0.056670333276663
0.008164666658502 0.00697333332636 0.02149666664517
0.013101666653565 -0.0045666666621 0.034095333299238
0.002137666664529 -0.0020999999979 0.002961999997038
-0.0169333333164 0.0026999999973 -0.0190666666476
0.00202999999797 0.0032333333301 -0.00113666666553
0.01925333331408 -0.0055333333278 0.02625666664041
0.00050666666616 0.0064666666602 -0.01322666665344
0.0043666666623 0.0028333333305 0.0047666666619
-0.0135333333198 0.0028999999971 -0.0343666666323
-0.0331333333002 0.0040333333293 -0.0550666666116
-0.0004999999995 0.0056333333277 0.00731333332602
-0.035333333298 0.0053999999946 -0.0659333332674
0.01750666664916 -0.0015333333318 0.04527666662139
0.01534333331799 -0.0000999999999 0.03484333329849
-0.0107666666559 0.0068999999931 -0.0234333333099
-0.012700666653966 0.0002999999997 -0.021132999978867
-0.006570666660096 0.0045999999954 -0.006971999993028
-0.006423999993576 -0.0002666666664 -0.003454333329879
0.031989333301344 0.0027666666639 0.062212666604454
0.020673999979326 0.0061999999938 0.04443666662223
0.008097666658569 -0.000666666666 0.011682999988317
0.007647333325686 -0.0111999999888 0.002324666664342
0.008595333324738 0.0021999999978 0.017295999982704
0.010000333323333 0.0088333333245 0.015293666651373
 0.020873666645793 -0.0030999999969 0.036630333296703
0.007555666659111 0.0007999999992 0.011288333322045
0.02555999997444 0.0033999999966 0.046441666620225
0.004641333328692 0.002681666663985 0.013441333319892
0.007666333325667 0.003607999996392 0.015907666650759
0.001668666664998 0.002496333330837 -0.000863666665803
-0.008725333324608 -0.008671999991328 -0.02262999997737
0.000991999999008 -0.001334999998665 0.004231333329102
0.008275333325058 0.001883999998116 0.016640999983359
-0.010164999989835 0.003303999996696 -0.01789333331544
0.001385999998614 0.006358333326975 0.009092666657574
0.009716333323617 0.000904666665762 0.014231333319102
0.011979333321354 0.002795333330538 0.019866999980133
0.022168333311165 -0.002658666664008 0.032996999967003
0.014082333319251 0.003066999996933 0.028492333304841
-0.006561999993438 0.00209333333124 -0.01259333332074
0.014828666651838 -0.001967666664699 0.019871999980128
-0.007565999992434 -0.001712999998287 -0.015175333318158
-0.008499333324834 0.004512333328821 -0.010305666656361
0.000607666666059 0.003606333329727 0.014810999985189
0.005448666661218 0.001817666664849 0.007743999992256
0.010764999989235 -0.003034333330299 0.020121666646545
0.009202333324131 0.00427333332906 0.010435999989564
0.015212333318121 -0.003433666663233 0.014476999985523
-0.010770666655896 -0.002637666664029 -0.018967999981032
0.008827333324506 0.001474333331859 0.022896333310437
0.015455333317878 0.003169333330164 0.018743666647923
0.02108333331225 0.000018999999981 0.029928333303405
-0.001119333332214 0.00110666666556 0.000891666665775
0.010571333322762 -0.003270999996729 0.011449666655217
0.015938999984061 -0.000604333332729 0.019810666646856
-0.012663999987336 -0.000355666666311 -0.02261333331072
-0.000429333332904 0.00070666666596 0.000729333332604
0.003122999996877 0.004507333328826 0.009686333323647
0.009473999990526 0.005102666661564 0.022507666644159
-0.000268666666398 0.002927999997072 0.011249333322084
0.01317333332016 0.002204999997795 0.026240333307093
0.009928666656738 0.003866999996133 0.020134333313199
0.009557333323776 -0.001934333331399 0.012298999987701
2. Assume a portfolio with three equally weighted asset classes. Using the return data in Exhibit
return for this portfolio from January 1997 to December 2006. The formula for this return will s
average return (i.e., RPortfolio = WeightSP500*RSP500 + WeightMSCI*RMSCI + WeightLehmanA
these returns, calculate the mean and standard deviation of the portfolio. What arguments coul
to sell IBM and diversify into such a portfolio? What arguments could be made a

NEW Portfolio
MEAN 0.67%
STD 2.76%

What arguments could be made for the client to sell IBM and diversify into such a portfolio?A

‫( بالنظر الى االستثمار في محفظة شركة‬IBM) ‫ ولكن حينما ننظر الى مخاطرة االستثمار في‬،‫بفارق بسيط‬
‫ شركة‬IBM ‫ وهذه يعود الى فوائد التنويع واننا من خالل المحفظة الجديدة استطعنا التخلص من‬،‫جديدة‬
‫ واالستثمار في المحفظة الجديدة يقدم عائد مرضي جدا ومخاطرة اقل بفارق كبير عن محفظة‬،‫السوق‬
(IBM)، ‫ لكن بالنظر الى المخاطره فهي اعلى اي ان في حال حدوث تعثرات مالية‬،‫من المحفظة الجديدة‬
‫ لدى شركة‬IBM ‫ لذى ننصح المستثمر في االستثمار في المحفظة الجديدة‬،‫مستثمر‬
 ‫‪he return data in Exhibit 1, calculate the monthly‬‬
‫‪mula for this return will simply be the weighted‬‬
‫‪RMSCI + WeightLehmanAgg*RLehmanAgg). From‬‬
‫‪lio. What arguments could be made for the client‬‬
‫?‪uments could be made against it‬‬

‫?‪fy into such a portfolio?And What arguments could be made against it‬‬

‫فإننا نرى ان متوسط العائد لديه اعلى من المحفظة الجديدة بفارق بسيط‪ ،‬ولكن حينما نن‬
‫نرى ان المخاطرة مرتفعة بشكل كبير مقارنة مع المحفظة الجديدة‪ ،‬وهذه يعود الى فوائد‬
‫المخاطر الغير نظامية اي ان المستثمر يتحمل فقط مخاطرة السوق‪ ،‬واالستثمار في المح‬
‫وقد تكون احدى اعتراضات المستثمر انه يتقضى عائد اعلى من المحفظة الجديدة‪ ،‬لكن‬
‫‪.‬سوف تؤدي الى تضرر كبير في عوائد المستثمر‪ ،‬لذى ننصح المست‬
 Monthly Return Data
MSCI World
Index Lehman Brothers
Date S&P 500
(Excluding Aggregate Bond Index
US)

Jan-97 6.25% -3.12% 0.31%

Feb-97 0.78% 1.52% 0.25%

Mar-97 -4.11% 0.10% -1.11%

Apr-97 5.97% 0.61% 1.50%

May-97 6.09% 6.59% 0.95%
Jun-97 4.48% 5.34% 1.19%
Jul-97 7.96% 1.84% 2.70%
Aug-97 -5.60% -7.37% -0.85%

Sep-97 5.48% 5.61% 1.48%

Oct-97 -3.34% -7.54% 1.45%

Nov-97 4.63% -1.12% 0.46%
Dec-97 1.72% 0.95% 1.01%
Jan-98 1.11% 4.26% 1.28%
Feb-98 7.21% 6.51% -0.08%
Mar-98 5.12% 3.28% 0.34%
Apr-98 1.01% 0.78% 0.52%
May-98 -1.72% -0.52% 0.95%
Jun-98 4.06% 0.53% 0.85%
Jul-98 -1.06% 0.65% 0.21%
Aug-98 -14.46% -12.77% 1.63%
Sep-98 6.41% -2.86% 2.34%
Oct-98 8.13% 10.41% -0.53%
Nov-98 6.06% 5.07% 0.57%

Dec-98 5.76% 3.84% 0.30%

Jan-99 4.18% 0.02% 0.71%

Feb-99 -3.11% -2.52% -1.74%
Mar-99 4.00% 4.17% 0.55%
Apr-99 3.87% 4.29% 0.32%
May-99 -2.36% -5.05% -0.87%
Jun-99 5.55% 3.91% -0.31%
Jul-99 -3.12% 2.88% -0.42%
Aug-99 -0.49% 0.28% -0.05%
Sep-99 -2.74% 1.08% 1.16%
Oct-99 6.33% 3.86% 0.37%
Nov-99 2.03% 3.50% 0.00%
Dec-99 5.89% 9.19% -0.48%
Jan-00 -5.02% -6.07% -0.33%
Feb-00 -1.89% 2.83% 1.21%
Mar-00 9.78% 4.10% 1.32%
Apr-00 -3.01% -5.18% -0.29%
May-00 -2.05% -2.42% -0.05%
Jun-00 2.47% 4.32% 2.08%
Jul-00 -1.56% -3.82% 0.91%
Aug-00 6.21% 1.31% 1.45%
Sep-00 -5.28% -5.18% 0.63%
Oct-00 -0.42% -2.72% 0.66%
Nov-00 -7.88% -4.02% 1.64%
Dec-00 0.49% 3.50% 1.86%
Jan-01 3.55% 0.18% 1.64%
Feb-01 -9.11% -7.92% 0.87%
Mar-01 -6.33% -6.80% 0.50%
Apr-01 7.76% 6.97% -0.41%
May-01 0.67% -3.28% 0.60%
Jun-01 -2.43% -4.10% 0.38%
Jul-01 -0.99% -1.72% 2.24%
Aug-01 -6.25% -2.67% 1.15%
Sep-01 -8.07% -10.09% 1.17%
Oct-01 1.91% 2.45% 2.09%
Nov-01 7.67% 3.93% -1.37%
Dec-01 0.88% 0.64% -0.63%
Jan-02 -1.45% -5.08% 0.81%
Feb-02 -1.92% 0.61% 0.97%
Mar-02 3.76% 5.78% -1.66%
Apr-02 -6.06% 0.15% 1.94%
May-02 -0.73% 1.31% 0.85%
Jun-02 -7.12% -4.06% 0.87%
Jul-02 -7.79% -9.94% 1.21%
Aug-02 0.65% -0.15% 1.69%
Sep-02 -10.80% -10.60% 1.62%
Oct-02 8.79% 5.25% -0.46%
Nov-02 5.88% 4.60% -0.03%
Dec-02 -5.87% -3.23% 2.07%
Jan-03 -2.62% -3.81% 0.09%
Feb-03 -1.50% -1.97% 1.38%
Mar-03 0.97% -1.93% -0.08%
Apr-03 8.24% 9.60% 0.83%
May-03 5.27% 6.20% 1.86%
Jun-03 1.28% 2.43% -0.20%
Jul-03 1.76% 2.29% -3.36%
Aug-03 1.95% 2.58% 0.66%
Sep-03 -1.06% 3.00% 2.65%
Oct-03 5.66% 6.26% -0.93%
Nov-03 0.88% 2.27% 0.24%
Dec-03 5.24% 7.67% 1.02%
Jan-04 1.84% 1.39% 0.80%
Feb-04 1.39% 2.30% 1.08%
Mar-04 -1.51% 0.50% 0.75%
Apr-04 -1.57% -2.62% -2.60%
May-04 1.37% 0.30% -0.40%
Jun-04 1.94% 2.48% 0.57%
Jul-04 -3.31% -3.05% 0.99%
Aug-04 0.40% 0.42% 1.91%
Sep-04 1.08% 2.91% 0.27%
Oct-04 1.53% 3.59% 0.84%
Nov-04 4.05% 6.65% -0.80%
Dec-04 3.40% 4.22% 0.92%
Jan-05 -2.44% -1.97% 0.63%
Feb-05 2.10% 4.45% -0.59%
Mar-05 -1.77% -2.27% -0.51%
Apr-05 -1.90% -2.55% 1.35%
May-05 3.18% 0.18% 1.08%
Jun-05 0.14% 1.63% 0.55%
Jul-05 3.72% 3.23% -0.91%
Aug-05 -0.91% 2.76% 1.28%
Sep-05 0.81% 4.56% -1.03%
Oct-05 -1.67% -3.23% -0.79%
Nov-05 3.78% 2.65% 0.44%
Dec-05 0.04% 4.64% 0.95%
Jan-06 2.65% 6.33% 0.01%
Feb-06 0.27% -0.34% 0.33%
Mar-06 1.24% 3.17% -0.98%
Apr-06 1.34% 4.78% -0.18%
May-06 -2.88% -3.80% -0.11%
Jun-06 0.14% -0.13% 0.21%
Jul-06 0.62% 0.94% 1.35%
Aug-06 2.38% 2.84% 1.53%
Sep-06 2.58% -0.08% 0.88%
Oct-06 3.26% 3.95% 0.66%
Nov-06 1.90% 2.98% 1.16%
Dec-06 1.40% 2.87% -0.58%
 11714675 ‫معاوية مسلماني‬

MSCI World
COVARIANCE Lehman Brothers
S&P 500 Index
Aggregate Bond Index
(Excluding US)

S&P 500 0.00196176572192 0.00154726826935 -4.77212986984594E-05

MSCI World Index

(Excluding US) 0.00154726826935 0.00190331399773 -6.23716295528011E-05

Lehman Brothers
-4.7721298698E-05 -6.2371629553E-05 0.000105702114458754
Aggregate Bond Index

PORTFOLIO WEIGHTS
S&P 500 33.33%
MSCI World Index
(Excluding US) 33.33%

Lehman Brothers
33.33%
Aggregate Bond Index

SUM 100.00%

MONTHLY ANNUALIZED
RETURN 0.0067447 0.08
VARIANCE 0.00076057012748
STD DEV 0.02757843591423 0.09553450439345

RISK [Link] 3%

SHARP RATIO 0.53317865515053

E(Return) STD DEV 5.00%

4.50%
S&P 500 0.78% 4.43% 4.00%
3.50%
MSCI World Index 0.74% 4.36%
3.00%
(Excluding US) 2.50%
2.00%
1.50%
1.00%
Lehman Brothers 0.51% 1.03% 0.50%
Aggregate Bond Index 0.00%
0.45% 0.50% 0.55% 0.60% 0.65% 0.70% 0
 MONTHLY RETURN

0.78%

0.74%

1%

TARGET STD DEV 10% 2% 6%

WeightSP500 36.46% 2.06% 6.17%
WeightMSCI 33.27% 6.17% 33.89%
WeightLehmanAgg 30.27% 91.77% 59.93%

Solver could not find a feasible solution

Column M

Efficient Frontier

0.55% 0.60% 0.65% 0.70% 0.75% 0.80%

 20%
100.00%
0.00%
0.00%

fficient Frontier