Economist at Large

Portfolio Theory Series

© 2011 Economist at Large

Expected Returns

Standard
Average Daily Return Deviation
BAP 0.14% 1.66%
PACASMAYO 0.17% 2.24%
GRAM 0.04% 4.44%
SCCO 0.08% 1.92%
FORD -0.02% 1.49%
EPU 0.11% 1.31%

Risk Free Rate 0.01%

Portfolio Statistics
Portfolio Average Return 0.140% <=Subtract out the risk free rate
Standard Deviation 1.28%
Slope 0.1093

Target average 100.00%

Portfolio
Average return 0.072% 0.080% 0.085%
Standard Deviation 1.08% 1.08% 1.09%
Slope 0.0670 0.0739 0.0782
BAP 0% 5% 8%
PACASMAYO 15% 16% 16%
GRAM 0% 0% 0%
SCCO 0% 0% 0%
FORD 36% 32% 29%
EPU 48% 47% 47%
100.00% 100.00% 100.00%
Saved Solver Scenarios And
Minimum SD Target Avg Rath
1.28% 1.28% simp
time
6 6
1 1
1 1
1 1
1 1
A
Andrew Matuszak: T
This solver set can be used to fi
find the portfolio with the lowest re
standard deviation. st
 A
1 1 Andrew Matuszak: T
1 1 This solver set can be used to fi
1 1 find the portfolio with the lowest re
standard deviation. st
100 0
100
 Covariance Table
Weights 39% 30% 0% 0% 0%
Asset BAP PACASMAYGRAM SCCO FORD
39% BAP 0.000277 0.000054 0.000189 0.000130 0.000096
30% PACASMAYO 0.000054 0.000501 0.000101 0.000015 0.000028
0% GRAM 0.000189 0.000101 0.001971 0.000191 0.000103
0% SCCO 0.000130 0.000015 0.000191 0.000366 0.000129
0% FORD 0.000096 0.000028 0.000103 0.000129 0.000221
31% EPU 0.000151 0.000063 0.000228 0.000146 0.000066
100%
VAR 0.000164
100%

out the risk free rate

0.090% 0.095% 0.100% 0.105% 0.110% 0.115% 0.120%

1.09% 1.10% 1.12% 1.13% 1.15% 1.16% 1.19%
0.0822 0.0860 0.0896 0.0929 0.0960 0.0987 0.1013
11% 14% 17% 20% 23% 26% 29%
17% 18% 18% 19% 19% 20% 20%
0% 0% 0% 0% 0% 0% 0%
0% 0% 0% 0% 0% 0% 0%
26% 23% 20% 17% 14% 11% 8%
46% 46% 45% 44% 44% 43% 43%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%

Andrew Matuszak:
Rather than creating new Solver sets, you can
simply load these through the Solver tool to save
time.

Andrew Matuszak:
atuszak: This solver set can be used to
et can be used to find a portfolio with a targeted
folio with the lowest return with the lowest
viation. standard deviation.
 Andrew Matuszak:
atuszak: This solver set can be used to
et can be used to find a portfolio with a targeted
folio with the lowest return with the lowest
viation. standard deviation.
 Andrew Matuszak:
Notice that these are set to be equal to the corresponding 'F' column. Do not
simply transpose these data; you must use a formula.

31%
EPU
Efficient Frontier
0.000151
0.000063 0.160%
0.000228 0.140%
0.000146
0.000066 0.120%
Average Return

0.000171 0.100%

0.080%

0.060%

0.040%

0.020%

0.000%
1.05% 1.10% 1.15% 1.20% 1.25% 1.30%

Standard Deviation

0.125% 0.130% 0.135% 0.140% 0.142%

1.21% 1.23% 1.26% 1.28% 1.29%
0.1036 0.1056 0.1076 0.1093 0.1094 #DIV/0!
32% 35% 38% 39% 38% 39%
21% 21% 22% 30% 32% 30%
0% 0% 0% 0% 0% 0%
0% 0% 0% 0% 0% 0%
6% 3% 0% 0% 0% 0%
42% 41% 40% 31% 29% 31%
100.00% 100.00% 100.00% 100.00% 100.00%
ier

1.25% 1.30% 1.35%