Column 1

Column 2
Column 3
Column 4

Column 1 Column 2 Column 3 Column 4

0.07836 0.012183 -0.00048 -0.02399
0.012183 0.042194 -0.00152 -0.01187
-0.00048 -0.00152 0.914926 -0.04021
-0.02399 -0.01187 -0.04021 3.462874

year

month
ABBBANK
2003 January
February
-0.01089
March
-0.18018
April
0.105128
May
0.023202
June
-0.06576
July
-0.0983
August
-0.00269
September -0.01215
October
0.038251
November 0.178947
December
-0.00335
2004 January
-0.00336
February
-0.07416
March
-0.00243
April
0.076642
May
0.111864
June
-0.09654
July
-0.05512
August
0.145238
September 0.099792
October
0.066163
November 0.366135
December
-0.01103
2005 January
-0.10892
February
-0.03461
March
0.051106
April
-0.08919
May
0.003506
June
-0.02795
July
-0.14196
August
0.188482
September 0.262555
October
-0.08932
November 0.070498
December
0.042233
2006 January
0.01717
February
-0.11884
March
-0.00613
April
-0.15729
May
0.672278
June
0.036273
July
0.510638
August
0.449341
September 0.163323
October
-0.09943

ACI LTD
-0.00366
-0.0625
0.080392
0.726453
-0.00181
-0.01089
0.023853
0.007168
0.008897
0.201058
-0.02056
-0.01649
-0.00762
0.023041
0.097598
0.591438
0.061497
-0.08312
0.208791
0.044318
-0.09576
0.044525
0.087558
-0.07097
-0.02965
0.106933
-0.16773
0.588719
-0.0037
-0.15242
0.097953
-0.01465
-0.02703
-0.0125
-0.0211
-0.02874
-0.01479
0.042042
-0.02305
0.882034
0.048232
0.033742
0.040059
-0.02568
0.004392

Fu Wang food
EBL
0
-0.04348
0.102273
0.103093
0
-0.02804
0.028846
0.018692
0.100917
1.000273
-0.07377
0.035398
-0.01709
-0.0087
0.105263
0.095238
0.065217
0
0.061224
0.173077
-0.1694
0.990549
0.084507
-0.08442
0.049645
0.02027
-0.07947
0
0.014388
-0.09929
0.11811
0.105634
-0.01274
-0.16129
0.755721
-0.03361
-0.08696
0.057143
-0.07207
0.048544
0
0.046296
0.185841
-0.05224
0

0
-0.0623
0.053322
0.088797
0.19372
-0.06283
0.07418
0.064409
0.023082
-0.07317
0
0.039474
-0.02532
0.036364
0.095865
0.038308
0.036894
-0.04279
0.486875
-0.01009
0.393206
0.021335
-0.03223
-0.05026
-0.07143
0.120629
-0.14353
0.21227
0.130408
-0.26068
0.261065
0.099941
0.223364
0.028294
0.051376
-0.11122
-0.01311
-0.06783
20.35134
-0.02341
-0.01153
0.141237
-0.01306
-0.04745
-0.0468

2007

2008

2009

2010

November
December
January
February
March
April
May
June
July
August
September
October
November
December
January
February
March
April
May
June
July
August
September
October
November
December
January
February
March
April
May
June
July
August
September
October
November
December
January
February
March
April
May
June
July
August
September

-0.05625
0.132213
-0.03304
-0.14393
2.264885
-0.04041
0.446388
0.315789
0.419915
0.040638
0.096302
0.194809
-0.04635
-0.05524
0.046755
0.182208
0.261753
0.152067
-0.1403
-0.61426
-0.28979
0.063796
-0.06372
-0.13291
-0.02124
0.034277
-0.15506
-0.14538
-0.27453
0.737667
0.051687
0.65891
-0.05738
-0.09401
-0.05274
0.071535
0.218436
0.078863
0.00085
-0.00977
-0.06132
-0.02216
0.207218
0.247497
-0.12002
-0.02283
0.011058

0.020408
0.002857
0.176638
-0.06416
0.01423
0.003827
1.079672
0.078382
0.172333
0.23
0.304878
0.013707
0.11555
0.001102
-0.0721
0.075919
0.279493
0.263076
0.61894
-0.03982
0.658067
-0.00217
0.15831
0.028459
-0.32709
0.283674
-0.02417
-0.08846
-0.05089
0.059759
0.11156
0.157534
-0.03441
-0.00136
-0.00068
0.006823
-0.02304
0.033295
0.144551
-0.00352
-0.01314
-0.12545
0.250415
-0.07086
0.045455
-0.04396
-0.0091

-0.18898
0.52812
0.198198
0.090226
-0.08276
0.007519
-0.02985
0.015385
0.174242
-0.03226
-0.01333
0.599573
-0.27895
-0.0365
0
-0.00758
0.465649
0.083333
-0.00481
0.111111
0.095652
-0.01587
-0.10081
0.247982
-0.16601
0.127962
0.302521
0.16129
-0.10278
-0.13932
0.122302
0.275641
0.022613
0.093366
0.217978
0.377122
-0.10611
-0.02698
0.268022
-0.06414
0.068536
-0.08455
-0.07962
-0.12284
0.159763
0.176871
0.066474

-0.02439
0.029221
0.027129
-0.08477
0.089262
0.401922
-0.10041
0.050409
0.083203
0.126295
0.043167
0.024486
-0.0055
0.02932
-0.02965
-0.0154
0.17478
-0.14653
0.137175
-0.07305
-0.0369
0.008355
-0.002
-0.11423
0.036522
-0.26505
-0.18583
0.088911
-0.26295
0.324979
-0.01387
0.11445
-0.02524
-0.04297
0.02214
0.050542
0.289233
0.144825
0.012806
-0.09004
-0.07157
0.17261
0.079771
0.080816
-0.00189
0.020053
0.071217

October
November
December
2011 January
February
March
April
May
June
July
August
September
October
November
December
2012 January
February
March
April
May
June
July
August
September
October
November
December

avg

0.14837
0.044385
0.087749
-0.13271
-0.2108
0.105153
-0.07562
-0.25007
0.237818
-0.08314
-0.00609
-0.049
-0.13797
0.105387
-0.0281
-0.33529
0.132159
-0.15175
0.135321
-0.08485
-0.06402
-0.1934
0.01462
0.063401
-0.06233
-0.06069
0.036923

-0.01249
-0.01343
-0.02486
-0.0942
-0.31526
0.1627
0.341571
0.183606
0.018127
0.010386
-0.05029
-0.00966
-0.12685
-0.03308
-0.04485
-0.16699
0.126671
0.122744
0.14056
-0.27749
-0.05463
-0.11203
0.048473
-0.0228
-0.03824
-0.0438
-0.00493

0.450407
0.357623
-0.03386
-0.47778
-0.38789
0.663102
-0.15756
-0.00573
0.026871
0.231776
0.007587
-0.07831
-0.2549
0.122807
-0.00781
-0.33071
0.152941
0.068878
-0.06205
-0.10687
-0.03134
-0.05882
0.046875
0.220896
10.25183
-0.19492
-0.08772

0.354571
0.350716
-0.02044
0.077705
-0.23814
-0.34689
0.001946
0.054369
0.25046
-0.05007
-0.04961
-0.04078
-0.08333
0.25603
-0.02806
-0.30091
0.204348
-0.22563
0.037296
-0.07416
-0.0267
-0.09476
-0.04683
-0.02023
-0.03245
-0.01829
-0.01553

0.047542 0.061006 0.143213 0.194224

Co. Names

AB
ACI
Fu
EBL

Mean Ret Rf
0.047542
0.061006
0.143213
0.194224

Portfolio Ret
Portfol Excess Ret
Portfolio Variance
Portf STDEV
Sharpe ratio,
Weight

3%
3%
3%
3%

Weight
25%
25%
25%
25%
Excess Ret Covar
Covar
Covar
Covar
Weight
2% 0.07836 0.012183 -0.00048 -0.02399
25%
3% 0.012183 0.042194 -0.00152 -0.01187
25%
11% -0.00048 -0.00152 0.914926 -0.04021
25%
16% -0.02399 -0.01187 -0.04021 3.462874
25%

0.1114965
0.0814965
0.2729109
0.52240875
0.15600141
1.00