A

PRICE AND DIVIDEND DATA

FOR GENERAL MOTORS (GM)

2
3
4
5
6
7
8
9
10
11
12
13
14
15

Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

Closing
Price
Dividend
42.2500
34.3750
3.00
28.8750
1.60
32.2500
1.40
54.8750
0.80
42.1250
0.80
52.8750
1.10
55.7500
1.60
60.7500
5.59
71.5625
2.00
72.6875
14.15

Annual
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%

#VALUE!
#VALUE!

Average return, E(rGM)

14.25%

#VALUE!

16

Variance of return, GM

0.0638

#VALUE!

17
18
19
20
21
22
23
24
25
26

Standard deviation of return, GM

25.25%

#VALUE!

Ignore the material below unless you want to know how to make a backward
adjustment of prices for dividends.

27
28
29
30
31
32
33
34
35
36
37
38
39

Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
29-Dec-00

Dividend
Price
Closing
Cash
plus
Price
Amount dividend
42.2500
34.3750
3.00
37.38
28.8750
1.60
30.48
32.2500
1.40
33.65
54.8750
0.80
55.68
42.1250
0.80
42.93
52.8750
1.10
53.98
55.7500
1.60
57.35
60.7500
5.59
66.34
71.5625
2.00
73.56
72.6875
14.15
86.84
50.9375
2.00
52.94

Adjusted price
23.32
20.63
18.29
21.31
36.80
28.78
36.88
40.00
47.60
57.64
69.94
50.94

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
Return
28
29
30
31
32
33
34
35
36
37
38
39

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%
-27.17%

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Cumulative
adjustment
factor
1
2
3
4.5
4.5
9
9
18
18
36
72

Adjusted
price
87.00
150.50
333.75
384.19
362.81
550.13
789.75
1,487.25
2,326.50
4,992.75
8,406.00

Annual
return

PRICE AND STOCK

SPLIT
DATA FOR MICROSOFT (MSFT)

2
3
4
5
6
7
8
9
10
11
12
13
14
15

Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

16
Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

17
18
19
20
21
22
23
24
25
26
27
28
29

Average return, E(rMSFT)

30

Variance of return, MSFT

31
32
33

Standard deviation of return, MSFT

Closing
Price
87.0000
75.2500
111.2500
85.3750
80.6250
61.1250
87.7500
82.6250
129.2500
138.6875
116.7500

Closing
Price
87.0000
75.2500
111.2500
85.3750
80.6250
61.1250
87.7500
82.6250
129.2500
138.6875
116.7500

Stock
split
during
year?
2.0 for 1
1.5 for 1
1.5 for 1
no
2.0 for 1
no
2.0 for 1
no
2.0 for 1
2.0 for 1

Stock
split
during
year?
2.0 for 1
1.5 for 1
1.5 for 1
no
2.0 for 1
no
2.0 for 1
no
2.0 for 1
2.0 for 1

72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
62.72%

The cumulative
adjustment factor is the
product of all the splits:
72 = 2*1.5*1.5*2*2*2*2

14.43%
37.99%

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

#VALUE!
#VALUE!

#VALUE!

30

#VALUE!

31
32
33

#VALUE!

DOWNLOADED ADJUSTED DATA FROM YAHOO

FOR MICROSOFT

MSFT
adjusted
price
1.2083
2.0903
4.6354
5.3359
5.0391
7.6406
10.9688
20.6562
32.3125
69.3438
116.7500

2
3
4
5
6
7
8
9
10
11
12
13
14
15

Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

73.00%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Average return, E(rMSFT)

62.72%

#VALUE!

16

Variance of return, MSFT

14.43%

#VALUE!

17
18
19

Standard deviation of return, MSFT

37.99%

#VALUE!

20

DOWNLOADED GM PRICE DATA, YAHOO

21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38

Date

Close
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

21.7
19
16.47
19.12
33.15
25.86
33.28
36.16
43.17
52.37
66.05

return

in text

-12.44%
-13.32%
16.09%
73.38%
-21.99%
28.69%
8.65%
19.39%
21.31%
26.12%

Note: The reason the Yahoo computed returns

are different from the ones computed in the text
is that the text assumes (wrongly--Yahoo is right)
that dividends are paid and reinvested at the end of the year.

-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%

GM AND MSFT, ANNUAL RETURN DATA

1
2

Date
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

GM
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%

MSFT
return
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%

14.25%

62.72%

6.38%

14.43%
37.99%

3
4
5
6
7
8
9
10
11
12
13
14

Average return, E(rGM) and E(rMSFT)

15

Variance of return,

16

Standard deviation of return, GM and MSFT

25.25%

17

Covariance of returns, Cov(rGM,rMSFT)

-0.0552

18
19

Correlation of returns, GM,MSFT

-0.5755
-0.5755

2
GM

and

2
MSFT

1
UAL RETURN
DATA
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

#VALUE!

18
19

#VALUE!
#VALUE!

CALCULATING THE COVARIANCE THE LONG TEDIO

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

Date
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99
Average return

GM
return
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%

MSFT
return
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%

14.25%

62.72%

GM
return
minus
average
#VALUE! -25.79%
-25.60%
2.28%
58.38%
-36.03%
13.88%
-5.79%
4.74%
6.84%
7.09%
#VALUE!

OVARIANCE1 THE LONG TEDIOUS WAY

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

MSFT
=C3-$C$14
return
minus
average
Product
10.27%
-0.0265
59.04%
-0.1511
-47.61%
-0.0109
-68.28%
-0.3987
-11.09%
0.0400
-19.16%
-0.0266
25.60%
-0.0148
-6.29%
-0.0030
51.88%
0.0355
5.64%
0.0040
Covariance
Covariance
Correlation
Correlation

-0.0552
-0.0552
-0.5755
-0.5755

#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!

GM AND MSFT, ANNUAL RETURN DATA

Percentages presented as whole numbers

GM
annual
return

Date
29-Dec-89
31-Dec-90
31-Dec-91
31-Dec-92
31-Dec-93
30-Dec-94
29-Dec-95
31-Dec-96
31-Dec-97
31-Dec-98
31-Dec-99

MSFT
annual
return

3
4
5
6
7
8
9
10
11
12
13
14
15

Average return, E(rGM) and E(rMSFT)

16

Variance of return,

17

Standard deviation of return, GM and MSFT

18

Covariance of returns, Cov(rGM,rMSFT)

-552.10

#VALUE!

19
20
21
22

Correlation of returns, GM,MSFT

-0.5755
-0.5755

#VALUE!
#VALUE!

Correlation is symmetric, MSFT,GM

-0.5755

#VALUE!

2
GM

and

2
MSFT

-11.54
-11.35
16.54
72.64
-21.78
28.13
8.46
19.00
21.09
21.34

72.99
121.76
15.11
-5.56
51.63
43.56
88.32
56.43
114.60
68.36

14.25

62.72

637.80

1442.92

25.25

37.99

CORRELATION +1
Adams Farm and Morgan Sausage Stocks

rMorgan Sausage,t = 3% + 0.6*rAdams Farm,t

2
Year
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
Correlation

Morgan
Sausage
stock
return
21.44%
36.13%
12.49%
23.12%
11.96%
24.50%
32.03%
25.63%
43.71%
29.91%
1.00

#VALUE!

#VALUE!

Annual Stock Returns, Adams Farm and Morgan Sausage

50.00%
45.00%
40.00%
Morgan Sausage

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

Adams
Farm stock
return
30.73%
55.21%
15.82%
33.54%
14.93%
35.84%
48.39%
37.71%
67.85%
44.85%

35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
10.00% 20.00% 30.00% 40.00% 50.00% 60.00% 70.00%
Adams Farm

Proportion of GM
Proportion of MSFT

5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24

CALCULATING PORTFOLIO RETURNS

AND THEIR STATISTICS

1
2
3
4

Date
Dec-90
Dec-91
Dec-92
Dec-93
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Mean
Variance
St. dev.
Covariance
Correlation

0.5
0.5 #VALUE!
General
Motors Microsoft
GM
MSFT
-11.54%
72.99%
-11.35% 121.76%
16.54%
15.11%
72.64%
-5.56%
-21.78%
51.63%
28.13%
43.56%
8.46%
88.32%
19.00%
56.43%
21.09% 114.60%
21.34%
68.36%
14.25%
6.38%
25.25%

62.72%
14.43%
37.99%
-0.0552
-0.5755

Direct calculation of portfolio mean and variance

Portfolio mean, E(rp)
38.49% #VALUE!

25

Portfolio variance, Var(rp)

26

Portfolio st. dev., p

2.44% #VALUE!
15.62% #VALUE!

Portfolio
return
30.73%
55.21%
15.82%
33.54%
14.93%
35.84%
48.39%
37.71%
67.85%
44.85%
38.49%
2.44%
15.62%

#VALUE!

#VALUE!
#VALUE!
#VALUE!

14.25%
6.38%
25.25%

Proportion of GM
in portfolio
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

Portfolio
Variance
Var(rp)
14.43%
10.76%
7.72%
5.33%
3.56%
2.44%
1.95%
2.11%
2.89%
4.32%
6.38%

62.72%
14.43%
37.99%
-5.52%

Portfolio Mean and Standard Devi

Portfolio
standard Portfolio
deviation
mean
p
E(rp)
37.99%
32.80%
27.79%
23.08%
18.88%
15.62%
13.98%
14.51%
17.01%
20.78%
25.25%

62.72%
57.87%
53.03%
48.18%
43.33%
38.49%
33.64%
28.79%
23.95%
19.10%
14.25%

=SQRT(B19)

70.00%
Portfolio return mean, E(rp)

Mean
Variance
Standard deviation
Covariance

60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
13.00%

18.00%

=A19*$B$3+(1-A19)*$C$3

Portfolio Mean and Standard Deviation

70.00%
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
Portfolio return standard dev iation, sp

23.00%

28.00%

33.00%

Portfolio return standard deviation

=A19^2*$B$4+(1-A19)^2*$C$4+2*A19*(1-A19)*$C$6

Portfolio mean return, E(rp)

9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

General
Microsoft
Motors GM
MSFT

CALCULATING PORTFOLIO RETURNS

AND THEIR STATISTICS FROM THE FORMULAS

3
4
5
6
7

Portfolio m
A
42
43

20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
B

C return standard
D
E iation, sp
Portfolio
dev

LIO RETURNS
1
OM THE FORMULAS

2
3
4
5
6 and Standard Deviation
Portfolio Mean
7
8

9
10
11
%
12
%
13
14
%
15
16
%
3.00% 18.00%17 23.00% 28.00% 33.00% 38.00% 43.00%
18
Portfolio return standard deviation, sp
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

G
42
43

2
Mean
Variance
St. dev.
Covariance

Proportion of GM
in portfolio
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

Portfolio
Variance
Var(rp)
14.43%
10.76%
7.72%
5.33%
3.56%
2.44%
1.95%
2.11%
2.89%
4.32%
6.38%

Portfolio Mean and Standard Devi

Portfolio
standard Portfolio
deviation
mean
p
E(rp)
37.99%
32.80%
27.79%
23.08%
18.88%
15.62%
13.98%
14.51%
17.01%
20.78%
25.25%

=SQRT(B19)

62.72%
57.87%
53.03%
48.18%
43.33%
38.49%
33.64%
28.79%
23.95%
19.10%
14.25%

70.00%
Portfolio return mean, E(rp)

9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

General
Microsoft
Motors GM
MSFT
14.25%
62.72%
6.38%
14.43%
25.25%
37.99%
-5.52%

60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
10.00%

15.00%

=A19*$B$3+(1-A19)*$C$3

Portfolio Mean and Standard Deviation

70.00%
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
Portfolio return standard dev iation, sp

20.00%

25.00%

30.00%

Portfolio return standard deviation

=A19^2*$B$4+(1-A19)^2*$C$4+2*A19*(1-A19)*$C$6

Portfolio mean return, E(rp)

CALCULATING PORTFOLIO RETURNS

AND THEIR STATISTICS FROM THE FORMULAS

3
4
5
6
7

Portfolio m
A
42
43

20.00%
10.00%
0.00%
10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00%
B

C return standard
D
E iation, sp
Portfolio
dev

LIO RETURNS
1
OM THE FORMULAS

2
3
4
5
6 and Standard Deviation
Portfolio Mean
7
8

9
10
11
%
12
%
13
14
%
15
16
%
0.00% 15.00%17 20.00% 25.00% 30.00% 35.00% 40.00%
18
Portfolio return standard deviation, sp
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

G
42
43

SIMPLE REGRESSION EXAMPLE

2
Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Slope

Intercept

R-squared

S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%
1.4693 #VALUE!
1.4693 #VALUE!
-0.0424 #VALUE!
-0.0424 #VALUE!
0.5001 #VALUE!
0.5001 #VALUE!

MIR Returns vs. S&P500 Returns

Monthly returns, 1997-1998 19.00%
MIR

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

9.00%

-16.00%

-11.00%

-6.00%

-1.00%
-1.00%

-11.00%

-21.00%

-31.00%

4.00%

9.00%
S&P500

MPLE

1
2

MIR

rns
8 19.00%

9.00%

-1.00%
-1.00%

-11.00%

-21.00%

-31.00%

3
4
5
6
7
8
9
10
114.00%
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

9.00%
S&P500

SIMPLE REGRESSION EXAMPLE

2
Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Slope

Intercept

R-squared

S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%
1.4693 #VALUE!
1.4693 #VALUE!
-0.0424 #VALUE!
-0.0424 #VALUE!
0.5001 #VALUE!
0.5001 #VALUE!

MIR Returns vs. S&P500 Returns

Monthly returns, 1997-1998 19.00%
MIR

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

9.00%
f(x) = 1.4692563703x - 0.0423654876
R = 0.5000719519
-16.00%

-11.00%

-6.00%

-1.00%
-1.00%

-11.00%

-21.00%

-31.00%

4.00%

9.00%
S&P500

MPLE

1
2

rns
8 19.00%
MIR

3
4
5
6
9.00%
7
.0423654876 8
9
10
-1.00%
-1.00%
114.00%
12
13
-11.00%
14
15
16
-21.00%
17
18
19
-31.00%
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35

9.00%
S&P500

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21

PORTFOLIO RETURNS FOR

A THREE-STOCK PORTFOLIO

Year
ending
Dec-90
Dec-91
Dec-92
Dec-93
Dec-94
Dec-95
Dec-96
Dec-97
Dec-98
Dec-99
Average
Variance
Sigma

General
Motors
GM
-11.54%
-11.35%
16.54%
72.64%
-21.78%
28.13%
8.46%
19.00%
21.09%
21.34%

Microsoft
MSFT
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%

Heinz
HNZ
2.46%
14.54%
16.89%
-15.95%
6.55%
39.81%
11.56%
45.89%
14.11%
-27.44%

14.25%
0.0638
25.25%

62.72%
0.1443
37.99%

10.84%
0.0440
20.98%

Portfolio
return
34.92%
62.97%
15.93%
6.96%
23.42%
39.35%
49.32%
45.78%
65.75%
30.22%
#VALUE! Average
#VALUE! Variance
#VALUE! Sigma

37.46%
0.0331
18.21%

Covariances
Cov(rGM,rMSFT)

-0.0552

#VALUE!

Average

37.46%

Cov(rGM,rHNZ)

-0.0096

#VALUE!

Variance

0.0331

0.0092

#VALUE!

Sigma

Cov(rMSFT,rHNZ)

Alternative calculation o

18.21%

H
1

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
Alternative
18 calculation of portfolio statistics
19
20
21

#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

#VALUE!

<-- =0.2^2*B15+0.5^2*C15+0.3^2*D15
+2*0.2*0.5*B19+2*0.2*0.3*B20+2*0.5*0.3*B21
#VALUE!

28

Date
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Mirage
using
VarP

29
30
31

Mirage
using
Var

32
33
34
35
36
37
38
39

WHY VARP INSTEAD OF VAR?

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

Market
using
Var

S&P 500
Mirage
Index
Resorts
SPX
MIR
6.13%
16.18%
0.59%
0.00%
-4.26% -15.42%
5.84%
-5.29%
5.86%
18.63%
4.35%
5.76%
7.81%
5.94%
-5.75%
0.23%
5.32%
12.35%
-3.45% -17.01%
4.46%
-5.00%
1.57%
-4.21%
1.02%
1.37%
7.04%
-0.54%
4.99%
5.99%
0.91%
-9.25%
-1.88%
-5.67%
3.94%
2.40%
-1.16%
0.88%
-14.58% -30.81%
6.24%
12.61%
8.03%
1.12%
5.91% -12.18%
5.64%
0.42%

The S&P index

represents the
market returns

1.4693 #VALUE!
1.4693 #VALUE!

1.4693 #VALUE!
1.4080 #VALUE!

1.0000 #VALUE!
1.0000 #VALUE!
0.9583 #VALUE!
The beta of the market should = 1.
But using Covar(rM,rMirage)/Var(rM)
produces a beta < 1.

A
40
41

The beta of the market should = 1.

)/Var(rM)
CBut using Covar(rM,rD
Mirage
produces a beta < 1.

B2:

The S&P index represents the market returns

B36:

The beta of the market should = 1. But using Covar(r M,rMirage)/Var(rM) produces a beta < 1.