A B C D E F G

1 PRICE AND MARKET CAP DATA FOR 10 COMPAN

General Home International Hewlett- American
Altria
2 Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP

Market capitalization
3
(billion $) 16.85 73.98 15.92 88.37 153.33 65.66
4 Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
5
6 Monthly price data (includes dividends)
7 1-Jun-01 50.31 45.26 31.22 26.47 38.74 32.47
8 2-Jul-01 49.72 48.26 35.64 22.83 35.61 33.82
9 1-Aug-01 43.14 44.06 35.32 21.48 37.10 30.54
10 4-Sep-01 33.81 36.79 30.66 14.92 37.79 24.37
11 1-Oct-01 32.56 36.66 31.50 15.65 36.63 24.75
12 1-Nov-01 39.63 44.78 35.37 20.45 36.92 27.68
13 3-Dec-01 38.75 48.97 35.73 19.17 36.34 30.02
14 2-Jan-02 40.77 48.09 36.99 20.64 39.71 30.22
15 1-Feb-02 42.67 48.00 38.96 18.78 41.73 30.72
16 1-Mar-02 48.69 46.71 38.30 16.81 42.21 34.52
17 1-Apr-02 51.67 44.56 36.90 16.02 43.62 34.64
61 1-Dec-05 19.01 40.17 33.12 28.48 73.08 51.23
62 3-Jan-06 23.56 40.24 32.15 31.02 70.75 52.33
63 1-Feb-06 20.11 41.83 32.53 32.64 70.32 53.76
64 1-Mar-06 21.06 42.13 34.32 32.81 70.06 52.43
65 3-Apr-06 22.66 39.77 36.09 32.38 72.34 53.81
66 1-May-06 26.93 37.97 33.98 32.29 71.54 54.36
67 1-Jun-06 29.79 35.79 32.30 31.68 73.43 53.22
 H I J K L
CAP DATA1 FOR 10 COMPANIES
Alcoa
DuPont Merck
2 Aluminum MMM
DD MRK
AA

3
28.16 38.32 79.51 60.9
4 4.53% 6.17% 12.80% 9.81% #VALUE!
5
6
7 36.06 40.88 50.74 51.56
8 35.37 36.29 53.98 50.55
9 34.50 35.01 51.96 47.30
10 28.06 32.07 53.16 44.71
11 29.34 34.18 50.93 47.43
12 35.09 38.21 54.07 52.33
13 32.32 36.63 47.18 53.99
14 32.59 38.06 47.48 50.70
15 34.31 40.68 49.21 54.16
16 34.47 40.95 46.46 52.81
17 31.08 38.65 43.85 57.77
61 29.30 41.77 31.10 76.60
62 31.21 38.48 33.73 71.91
63 29.19 39.91 34.09 73.20
64 30.43 41.87 34.83 75.29
65 33.63 43.74 34.03 84.98
66 31.72 42.53 33.29 83.66
67 32.36 41.60 36.43 80.77
 A B C D E F G
1 RETURN DATA FOR THE SUPER-DUPER BENCHMARK PORTFOLI
General Home International Hewlett- American
Altria
2 Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP
3 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
4 Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
5
6 Mean return -0.87% -0.39% 0.06% 0.30% 1.07% 0.82%
7 Return sigma 10.78% 8.41% 6.23% 10.80% 8.71% 6.43%
8
9

10
Date GM HD IP HPQ MO AXP
11 2-Jul-01 -1.18% 6.42% 13.24% -14.79% -8.42% 4.07%
12 1-Aug-01 -14.20% -9.11% -0.90% -6.10% 4.10% -10.20%
13 4-Sep-01 -24.37% -18.03% -14.15% -36.44% 1.84% -22.57%
14 1-Oct-01 -3.77% -0.35% 2.70% 4.78% -3.12% 1.55%
15 1-Nov-01 19.65% 20.01% 11.59% 26.75% 0.79% 11.19%
16 3-Dec-01 -2.25% 8.94% 1.01% -6.46% -1.58% 8.12%
17 2-Jan-02 5.08% -1.81% 3.47% 7.39% 8.87% 0.66%
61 1-Sep-05 -11.06% -5.56% -3.48% 5.32% 5.28% 3.90%
62 3-Oct-05 -11.10% 7.33% -2.08% -4.05% 1.81% -0.78%
63 1-Nov-05 -20.55% 2.02% 8.56% 5.66% -3.06% 3.28%
64 1-Dec-05 -12.03% -3.16% 6.39% -3.32% 3.67% 0.08%
65 3-Jan-06 21.46% 0.17% -2.97% 8.54% -3.24% 2.12%
66 1-Feb-06 -15.83% 3.88% 1.18% 5.09% -0.61% 2.70%
67 1-Mar-06 4.62% 0.71% 5.36% 0.52% -0.37% -2.51%
68 3-Apr-06 7.32% -5.76% 5.03% -1.32% 3.20% 2.60%
69 1-May-06 17.26% -4.63% -6.02% -0.28% -1.11% 1.02%
70 1-Jun-06 10.09% -5.91% -5.07% -1.91% 2.61% -2.12%
 H I J K L M
ER BENCHMARK
1 PORTFOLIO
Alcoa 3month T-
DuPont Merck
2 Aluminum MMM bill,
DD MRK
AA monthly
3 28.16 38.32 79.51 60.9
4 4.53% 6.17% 12.80% 9.81%
5
6 -0.18% 0.03% -0.55% 0.75% 0.18% #VALUE!
7 9.54% 6.12% 8.06% 5.54% 0.09% #VALUE!
8
9
3month T-
10 bill,
AA DD MRK MMM monthly
11 -1.93% -11.91% 6.19% -1.98% 0.29%
12 -2.49% -3.59% -3.81% -6.65% 0.29%
13 -20.66% -8.77% 2.28% -5.63% 0.28%
14 4.46% 6.37% -4.29% 5.91% 0.22%
15 17.90% 11.15% 5.98% 9.83% 0.18%
16 -8.22% -4.22% -13.63% 3.12% 0.16%
17 0.83% 3.83% 0.63% -6.29% 0.14%
61 -9.25% -1.02% -3.66% 3.05% 0.29%
62 -0.54% 6.25% 3.63% 3.50% 0.29%
63 12.70% 3.39% 5.40% 3.77% 0.31%
64 7.58% -0.60% 7.86% -1.26% 0.32%
65 6.32% -8.20% 8.12% -6.32% 0.32%
66 -6.69% 3.65% 1.06% 1.78% 0.35%
67 4.16% 4.79% 2.15% 2.82% 0.37%
68 10.00% 4.37% -2.32% 12.11% 0.38%
69 -5.85% -2.81% -2.20% -1.57% 0.38%
70 2.00% -2.21% 9.01% -3.52% 0.39%
 A B C D E F G H
1 SUPER DUPER BENCHMARK PORTFOLIO--NAIVE OPTIMIZ
General Home Internatio Hewlett- American Alcoa
Altria
2 Motors Depot nal paper Packard Express Aluminum
MO
GM HD IP HPQ AXP AA
3 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66 28.16
4 Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57% 4.53%
5
6 Variance-covariance matrix of excess returns

7
GM HD IP HPQ MO AXP AA
8 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032 0.0046
9 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033 0.0045
10 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023 0.0043
11 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048 0.0060
12 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016 0.0018
13 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041 0.0037
14 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037 0.0091
15 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019 0.0040
16 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011 0.0018
17 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014 0.0024
18
19 Current t-bill rate 0.40%
20
21 "Optimal" portfolio
22 GM 480.2% #VALUE!
23 HD 981.8%
24 IP 689.3%
25 HPQ 221.3%
26 MO -263.7%
27 AXP -1763.7%
28 AA -324.5%
29 DD 528.8%
30 MRK 469.5%
31 MMM -918.9%
32 Sum of proportions 1 #VALUE!
 I J K L M
FOLIO--NAIVE
1 OPTIMIZATION
DuPont Merck
2 MMM
DD MRK

3 38.32 79.51 60.9

4 6.17% 12.80% 9.81%
5
6
Mean
7
DD MRK MMM return
8 0.0018 0.0010 0.0014 -0.87%
9 0.0020 0.0002 0.0018 -0.39%
10 0.0021 0.0012 0.0016 0.06%
11 0.0033 0.0019 0.0022 0.30%
12 0.0009 0.0007 0.0008 1.07%
13 0.0019 0.0011 0.0014 0.82%
14 0.0040 0.0018 0.0024 -0.18%
15 0.0038 0.0016 0.0019 0.03%
16 0.0016 0.0065 0.0005 -0.55%
17 0.0019 0.0005 0.0031 0.75%
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
 A B C D E F G
1 NEGATIVE RETURNS AND HIGH CORRELA
General Home International Hewlett- American
Altria
2 Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP
3 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
4 Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
5
6 Mean return -0.87% -0.39% 0.06% 0.30% 1.07% 0.82%
7 Return sigma 10.78% 8.41% 6.23% 10.80% 8.71% 6.43%
8
9
10 GM HD IP HPQ MO AXP
11 GM 1.0000 0.3320 0.3459 0.3534 0.1428 0.4676
12 HD 1.0000 0.3512 0.4618 0.3012 0.6061
13 IP 1.0000 0.4580 0.0159 0.5772
14 HPQ 1.0000 0.2682 0.6965
15 MO 1.0000 0.2839
16 AXP 1.0000
17 AA
18 DD
19 MRK
20 MMM
21
22 Excess returns: Monthly minus sample mean for each asset
23 Date GM HD IP HPQ MO AXP
24 2-Jul-01 -0.31% 6.81% 13.18% -15.09% -9.49% 3.25%
25 1-Aug-01 -13.32% -8.71% -0.96% -6.39% 3.03% -11.03%
26 4-Sep-01 -23.50% -17.64% -14.21% -36.74% 0.78% -23.39%
27 1-Oct-01 -2.89% 0.04% 2.65% 4.48% -4.18% 0.72%
28 1-Nov-01 20.52% 20.40% 11.53% 26.45% -0.28% 10.36%
29 3-Dec-01 -1.37% 9.34% 0.96% -6.76% -2.65% 7.29%
30 2-Jan-02 5.95% -1.42% 3.41% 7.09% 7.80% -0.16%
31 1-Feb-02 5.43% 0.20% 5.13% -9.74% 3.90% 0.82%
32 1-Mar-02 14.07% -2.33% -1.77% -11.38% 0.08% 10.84%
33 1-Apr-02 6.81% -4.32% -3.78% -5.11% 2.22% -0.48%
34 1-May-02 -1.56% -10.25% 4.45% 10.74% 3.99% 2.75%
35 3-Jun-02 -14.21% -12.15% 1.05% -22.14% -26.88% -16.54%
36 1-Jul-02 -12.95% -16.96% -9.06% -7.96% 4.24% -3.60%
37 1-Aug-02 4.79% 6.84% -5.00% -5.54% 7.15% 1.43%
38 3-Sep-02 -19.84% -22.72% -12.06% -13.74% -25.08% -15.36%
39 1-Oct-02 -14.83% 10.52% 4.42% 30.00% 3.83% 14.82%
40 1-Nov-02 20.05% -8.59% 12.32% 20.67% -8.79% 5.97%
41 2-Dec-02 -6.53% -8.83% -11.61% -11.41% 7.69% -10.25%
42 2-Jan-03 -0.57% -13.51% 2.03% 0.00% -7.85% -0.33%
43 3-Feb-03 -5.05% 11.89% -1.27% -9.66% 0.97% -6.44%
44 3-Mar-03 0.42% 4.46% -3.62% -1.70% -24.75% -1.88%
45 1-Apr-03 7.88% 14.78% 5.54% 4.36% 1.57% 12.45%
46 1-May-03 0.25% 14.83% 3.16% 17.63% 28.39% 8.74%
47 2-Jun-03 2.74% 2.50% -2.64% 8.92% 9.98% -0.46%
 A B C D E F G
48 1-Jul-03 4.75% -5.60% 9.00% -0.89% -13.80% 4.90%
49 1-Aug-03 11.57% 3.42% 4.13% -6.33% 1.90% 1.14%
50 2-Sep-03 0.45% -0.35% -3.88% -2.84% 6.67% -0.80%
51 1-Oct-03 5.04% 15.58% 0.77% 13.92% 4.92% 3.47%
52 3-Nov-03 2.32% -0.44% -4.95% -2.89% 10.10% -3.47%
53 1-Dec-03 23.03% -2.94% 14.65% 5.54% 4.77% 4.77%
54 2-Jan-04 -6.33% 0.33% -2.02% 3.20% 1.06% 6.40%
55 2-Feb-04 -1.30% 2.74% 5.11% -4.93% 2.40% 2.17%
56 1-Mar-04 -0.95% 3.43% -4.69% 0.61% -5.44% -3.61%
57 1-Apr-04 1.23% -5.60% -4.76% -15.05% 0.64% -6.57%
58 3-May-04 -2.39% 2.44% 4.49% 7.20% -15.43% 2.68%
59 1-Jun-04 3.49% -1.39% 6.33% -0.59% 4.59% 0.70%
60 1-Jul-04 -6.83% -3.91% -3.38% -4.88% -6.10% -3.04%
61 2-Aug-04 -2.25% 8.71% -7.19% -12.19% 1.73% -1.29%
62 1-Sep-04 3.66% 7.37% 0.91% 4.79% -3.56% 2.01%
63 1-Oct-04 -8.84% 5.09% -4.86% -0.79% 1.90% 2.48%
64 1-Nov-04 2.29% 2.21% 8.08% 6.68% 16.03% 4.03%
65 1-Dec-04 4.61% 2.73% 1.10% 4.78% 6.22% 0.35%
66 3-Jan-05 -7.59% -3.15% -7.08% -7.08% 3.31% -6.12%
67 1-Feb-05 -1.00% -2.64% -4.09% 5.70% 1.74% 0.68%
68 1-Mar-05 -18.42% -3.92% -1.57% 5.41% -0.34% -5.86%
69 1-Apr-05 -8.81% -7.42% -7.08% -7.24% -1.68% 1.72%
70 2-May-05 19.23% 11.05% -5.54% 9.24% 2.19% 1.34%
71 1-Jun-05 8.41% -0.49% -6.47% 4.36% -3.78% -1.77%
72 1-Jul-05 8.83% 11.58% 4.42% 4.32% 2.43% 2.45%
73 1-Aug-05 -5.12% -6.97% -1.64% 11.72% 4.37% -0.39%
74 1-Sep-05 -10.18% -5.17% -3.53% 5.02% 4.22% 3.08%
75 3-Oct-05 -10.22% 7.72% -2.14% -4.35% 0.74% -1.61%
76 1-Nov-05 -19.67% 2.41% 8.51% 5.36% -4.13% 2.45%
77 1-Dec-05 -11.16% -2.77% 6.33% -3.61% 2.60% -0.75%
78 3-Jan-06 22.33% 0.57% -3.03% 8.24% -4.31% 1.30%
79 1-Feb-06 -14.96% 4.27% 1.12% 4.79% -1.68% 1.87%
80 1-Mar-06 5.49% 1.11% 5.30% 0.22% -1.44% -3.33%
81 3-Apr-06 8.20% -5.37% 4.97% -1.62% 2.14% 1.77%
82 1-May-06 18.14% -4.24% -6.08% -0.58% -2.18% 0.19%
83 1-Jun-06 10.97% -5.52% -5.13% -2.21% 1.54% -2.94%
 H I J K L
TURNS AND
1 HIGH CORRELATIONS

Alcoa
DuPont Merck
2 Aluminum MMM
DD MRK
AA
3 28.16 38.32 79.51 60.9
4 4.53% 6.17% 12.80% 9.81%
5
6 -0.18% 0.03% -0.55% 0.75%
7 9.54% 6.12% 8.06% 5.54%
8
9
10 AA DD MRK MMM
11 0.4430 0.2737 0.1109 0.2277 #VALUE!
12 0.5618 0.3891 0.0260 0.3800 #VALUE!
13 0.7181 0.5400 0.2362 0.4575 #VALUE!
14 0.5770 0.4924 0.2232 0.3666
15 0.2145 0.1647 0.0955 0.1645
16 0.6034 0.4855 0.2038 0.3798
17 1.0000 0.6863 0.2294 0.4525
18 1.0000 0.3287 0.5606
19 1.0000 0.1079
20 1.0000
21
22
23 AA DD MRK MMM
24 -1.75% -11.94% 6.74% -2.73% #VALUE!
25 -2.31% -3.62% -3.26% -7.39%
26 -20.48% -8.80% 2.84% -6.38%
27 4.64% 6.34% -3.73% 5.16%
28 18.08% 11.12% 6.53% 9.08%
29 -8.04% -4.25% -13.08% 2.37%
30 1.01% 3.80% 1.19% -7.04%
31 5.32% 6.63% 4.13% 5.85%
32 0.65% 0.63% -5.20% -3.27%
33 -10.17% -5.81% -5.23% 8.23%
34 3.38% 4.08% 5.49% -0.56%
35 -5.20% -3.59% -10.81% -2.70%
36 -19.57% -5.78% -1.51% 1.53%
37 -7.35% -3.10% 2.40% -0.97%
38 -26.04% -11.14% -8.71% -13.53%
39 13.51% 13.38% 17.66% 13.61%
40 15.50% 8.65% 9.66% 2.00%
41 -11.29% -5.12% -3.65% -5.92%
42 -13.97% -11.32% -1.64% 0.26%
43 4.55% -2.31% -4.32% 0.43%
44 -5.39% 5.78% 5.03% 2.91%
45 17.64% 9.00% 6.56% -3.87%
46 7.24% -0.13% -4.01% 0.11%
47 3.74% -1.24% 9.75% 1.23%
 H I J K L
48 8.71% 5.36% -8.56% 7.59%
49 3.56% 2.57% -3.34% 1.32%
50 -8.62% -11.20% 1.87% -3.84%
51 19.00% 0.95% -12.91% 12.52%
52 4.50% 3.41% -8.05% -0.11%
53 14.87% 10.12% 14.37% 6.56%
54 -10.43% -4.45% 3.53% -7.98%
55 9.81% 3.42% 1.56% -1.66%
56 -7.54% -6.59% -7.09% 4.06%
57 -11.85% 1.69% 6.70% 4.73%
58 2.43% 1.39% 1.19% -2.56%
59 5.55% 2.75% 1.74% 5.49%
60 -2.89% -3.58% -4.07% -9.63%
61 1.73% -0.63% -0.30% -0.29%
62 3.86% 1.24% -29.54% -3.69%
63 -3.11% 0.14% -4.70% -3.79%
64 5.09% 6.31% -10.55% 2.26%
65 -7.68% 7.88% 15.62% 2.32%
66 -6.05% -3.12% -13.04% 2.01%
67 9.16% 12.07% 12.80% -0.75%
68 -5.37% -3.98% 3.82% 1.31%
69 -4.41% -8.44% 5.17% -12.13%
70 -6.17% -0.52% -3.87% 0.03%
71 -3.46% -7.85% -3.46% -6.59%
72 7.27% -0.80% 1.40% 2.92%
73 -3.90% -6.73% -7.65% -5.43%
74 -9.07% -1.05% -3.11% 2.31%
75 -0.36% 6.22% 4.18% 2.75%
76 12.88% 3.36% 5.95% 3.02%
77 7.76% -0.63% 8.41% -2.01%
78 6.50% -8.23% 8.67% -7.07%
79 -6.51% 3.62% 1.61% 1.03%
80 4.34% 4.77% 2.70% 2.07%
81 10.18% 4.34% -1.77% 11.36%
82 -5.67% -2.83% -1.65% -2.31%
83 2.18% -2.24% 9.57% -4.26%
 A B C D E F G

1
SUPER DUPER BENCHMARK PORTFOLIO--NAIVE OPTIMIZAT
SHRUNK VARIANCE-COVARIANCE MATRIX
General Home International Hewlett- American
Altria
2 Motors Depot paper Packard Express
MO
GM HD IP HPQ AXP
3 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
4 Benchmark proportion 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
5
6 Variance-covariance matrix of excess returns
7 Shrinkage factor, l 0.3 <-- Weight on sample var-cov matrix
8

10
GM HD IP HPQ MO AXP
11 GM 0.0116 0.0009 0.0007 0.0012 0.0004 0.0010
12 HD 0.0009 0.0071 0.0006 0.0013 0.0007 0.0010
13 IP 0.0007 0.0006 0.0039 0.0009 0.0000 0.0007
14 HPQ 0.0012 0.0013 0.0009 0.0117 0.0008 0.0015
15 MO 0.0004 0.0007 0.0000 0.0008 0.0076 0.0005
16 AXP 0.0010 0.0010 0.0007 0.0015 0.0005 0.0041
17 AA 0.0014 0.0014 0.0013 0.0018 0.0005 0.0011
18 DD 0.0005 0.0006 0.0006 0.0010 0.0003 0.0006
19 MRK 0.0003 0.0001 0.0004 0.0006 0.0002 0.0003
20 MMM 0.0004 0.0005 0.0005 0.0007 0.0002 0.0004
21
22 Current T-bill rate 0.40%
23
24 "Optimal" portfolio
25 GM 84.3% #VALUE!
26 HD 96.4%
27 IP 50.2%
28 HPQ -3.6%
29 MO -76.1%
30 AXP -134.6%
31 AA 32.5%
32 DD 62.5%
33 MRK 112.1%
34 MMM -123.8%
35 Sum of proportions 1 #VALUE!
36
37 Variance-covariance matrix of excess returns
38 GM HD IP HPQ MO AXP
39 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032
40 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033
41 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023
42 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048
43 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016
 A B C D E F G
44 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041
45 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037
46 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019
47 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011
48 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014
49

50

51 GM HD IP HPQ MO AXP
52 GM 0.0116 0.0000 0.0000 0.0000 0.0000 0.0000
53 HD 0.0000 0.0071 0.0000 0.0000 0.0000 0.0000
54 IP 0.0000 0.0000 0.0039 0.0000 0.0000 0.0000
55 HPQ 0.0000 0.0000 0.0000 0.0117 0.0000 0.0000
56 MO 0.0000 0.0000 0.0000 0.0000 0.0076 0.0000
57 AXP 0.0000 0.0000 0.0000 0.0000 0.0000 0.0041
58 AA 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
59 DD 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
60 MRK 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
61 MMM 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
 H I J K L M
ORTFOLIO--NAIVE
1
OPTIMIZATION WITH
CE-COVARIANCE MATRIX
Alcoa
DuPont Merck
2 Aluminum MMM
DD MRK
AA
3 28.16 38.32 79.51 60.9
4 4.53% 6.17% 12.80% 9.81%
5
6
7
8

9 #VALUE!

Mean
10
AA DD MRK MMM return
11 0.0014 0.0005 0.0003 0.0004 -0.87%
12 0.0014 0.0006 0.0001 0.0005 -0.39%
13 0.0013 0.0006 0.0004 0.0005 0.06%
14 0.0018 0.0010 0.0006 0.0007 0.30%
15 0.0005 0.0003 0.0002 0.0002 1.07%
16 0.0011 0.0006 0.0003 0.0004 0.82%
17 0.0091 0.0012 0.0005 0.0007 -0.18%
18 0.0012 0.0038 0.0005 0.0006 0.03%
19 0.0005 0.0005 0.0065 0.0001 -0.55%
20 0.0007 0.0006 0.0001 0.0031 0.75%
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38 AA DD MRK MMM
39 0.0046 0.0018 0.0010 0.0014
40 0.0045 0.0020 0.0002 0.0018
41 0.0043 0.0021 0.0012 0.0016
42 0.0060 0.0033 0.0019 0.0022
43 0.0018 0.0009 0.0007 0.0008
 H I J K L M
44 0.0037 0.0019 0.0011 0.0014
45 0.0091 0.0040 0.0018 0.0024
46 0.0040 0.0038 0.0016 0.0019
47 0.0018 0.0016 0.0065 0.0005
48 0.0024 0.0019 0.0005 0.0031
49

50 #VALUE!

51 AA DD MRK MMM
52 0.0000 0.0000 0.0000 0.0000
53 0.0000 0.0000 0.0000 0.0000
54 0.0000 0.0000 0.0000 0.0000
55 0.0000 0.0000 0.0000 0.0000
56 0.0000 0.0000 0.0000 0.0000
57 0.0000 0.0000 0.0000 0.0000
58 0.0091 0.0000 0.0000 0.0000
59 0.0000 0.0038 0.0000 0.0000
60 0.0000 0.0000 0.0065 0.0000
61 0.0000 0.0000 0.0000 0.0031
 A B C D E F G

1
SUPER DUPER BENCHMARK PORTFOLIO--WHAT DOES THE
No normalizing factor
2 Anticipated benchmark return 1.00% #VALUE!
3 Current t-bill rate 0.40%
4
General Home International Hewlett- American
Altria
5 Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP
6 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
7 Benchmark proportions 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
8
9 Variance-covariance matrix

10
GM HD IP HPQ MO AXP
11 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032
12 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033
13 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023
14 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048
15 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016
16 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041
17 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037
18 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019
19 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011
20 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014
21
Check: The expected return
22
of the benchmark? 0.29% #VALUE!
23
24
25
Additional check:
26
Optimal portfolio
27 GM 5.50% #VALUE!
28 HD 7.99%
29 IP 52.71%
30 HPQ -22.57%
31 MO 10.60%
32 AXP 13.89%
33 AA -47.80%
34 DD 29.88%
35 MRK 15.47%
36 MMM 34.32%
37 Sum of proportions 100.0% #VALUE!
 H I J K L M
OLIO--WHAT
1
DOES THE MARKET THINK?
lizing factor
2
3
4
Alcoa
DuPont Merck
5 Aluminum MMM
DD MRK
AA
6 28.16 38.32 79.51 60.9
7 4.53% 6.17% 12.80% 9.81%
8
9
Without
10 normalizing
AA DD MRK MMM factor
11 0.0046 0.0018 0.0010 0.0014 0.27%
12 0.0045 0.0020 0.0002 0.0018 0.31%
13 0.0043 0.0021 0.0012 0.0016 0.18%
14 0.0060 0.0033 0.0019 0.0022 0.46%
15 0.0018 0.0009 0.0007 0.0008 0.31%
16 0.0037 0.0019 0.0011 0.0014 0.27%
17 0.0091 0.0040 0.0018 0.0024 0.37%
18 0.0040 0.0038 0.0016 0.0019 0.21%
19 0.0018 0.0016 0.0065 0.0005 0.18%
20 0.0024 0.0019 0.0005 0.0031 0.16%
21
22
#VALUE!
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
 A B C D E F G

SUPER DUPER BENCHMARK PORTFOLIO--WHAT DOES THE

1 We multiply row 7 by a normalizing factor
The expected returns make the benchmark optimal
2 Anticipated benchmark return 1.00% #VALUE!
3 Current t-bill rate 0.40%
4
General Home International Hewlett- American
Altria
5 Motors Depot Paper Packard Express
MO
GM HD IP HPQ AXP
6 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
7 Benchmark proportions 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
8
9 Variance-covariance matrix

10
GM HD IP HPQ MO AXP
11 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032
12 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033
13 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023
14 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048
15 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016
16 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041
17 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037
18 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019
19 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011
20 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014
21
Check: The expected return
22
of the benchmark? 1.00% #VALUE!
23
24
25
Additional check:
26
Optimal portfolio
27 GM 2.71% #VALUE!
28 HD 11.91%
29 IP 2.56%
30 HPQ 14.23% Note that Chapter 9 optimization on
31 MO 24.69% the expected returns in cells
32 AXP 10.57% M11:M20 and the variance-
33 AA 4.53% covariance matrix produces the
market weights as the optimal
34 DD 6.17%
portfolio.
35 MRK 12.80%
36 MMM 9.81%
37 Sum of proportions 100.0% #VALUE!
 H I J K L M

OLIO--WHAT DOES THE MARKET THINK?

1
y a normalizing factor
ake the benchmark optimal
2
3
4
Alcoa
DuPont Merck
5 Aluminum MMM
DD MRK
AA
6 28.16 38.32 79.51 60.9
7 4.53% 6.17% 12.80% 9.81%
8
9
With
10 normalizing
AA DD MRK MMM factor
11 0.0046 0.0018 0.0010 0.0014 0.96%
12 0.0045 0.0020 0.0002 0.0018 1.05%
13 0.0043 0.0021 0.0012 0.0016 0.77%
14 0.0060 0.0033 0.0019 0.0022 1.36%
15 0.0018 0.0009 0.0007 0.0008 1.05%
16 0.0037 0.0019 0.0011 0.0014 0.97%
17 0.0091 0.0040 0.0018 0.0024 1.17%
18 0.0040 0.0038 0.0016 0.0019 0.84%
19 0.0018 0.0016 0.0065 0.0005 0.77%
20 0.0024 0.0019 0.0005 0.0031 0.73%
21
22
#VALUE!
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
 A B C D E F G

1
ADJUSTING THE BENCHMARK FOR AN ANALYST'S OP
In this example the only opinion is about GM
2 Anticipated benchmark return 1.00% #VALUE!
3 Current t-bill rate 0.40%
4
General Home International Hewlett- American
5 Motors Depot Paper Packard Altria Express
GM HD IP HPQ MO AXP
6 Market cap (billion $) 16.85 73.98 15.92 88.37 153.33 65.66
7 Benchmark proportions 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
8
9 Variance-covariance matrix
10 GM HD IP HPQ MO AXP
11 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032
12 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033
13 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023
14 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048
15 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016
16 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041
17 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037
18 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019
19 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011
20 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014
21
22
Analyst Returns
Expected benchmark returns,
23 opinion, adjusted for
no opinions
delta opinions
24 0.96% 0.14% GM 1.10% #VALUE!
25 1.05% 0.00% HD 1.11%
26 0.77% 0.00% IP 0.86%
27 1.36% 0.00% HPQ 1.41%
28 1.05% 0.00% MO 1.07%
29 0.97% 0.00% AXP 1.08%
30 1.17% 0.00% AA 1.24% #VALUE!
31 0.84% 0.00% DD 0.91%
32 0.77% 0.00% MRK 0.79%
33 0.73% 0.00% MMM 0.79%
34
35
36 Tracking factors: in each row i Cov(ri,rj) is divided by Var(ri)
37 GM HD IP HPQ MO AXP
38 GM 1.0000 0.2589 0.1999 0.3540 0.1153 0.2788
39 HD 0.4257 1.0000 0.2603 0.5934 0.3119 0.4635
40 IP 0.5985 0.4738 1.0000 0.7940 0.0222 0.5954
41 HPQ 0.3527 0.3594 0.2642 1.0000 0.2162 0.4145
42 MO 0.1769 0.2909 0.0114 0.3328 1.0000 0.2096
43 AXP 0.7843 0.7927 0.5595 1.1704 0.3845 1.0000
 A B C D E F G
44 AA 0.5006 0.4950 0.4690 0.6533 0.1957 0.4066
45 DD 0.4820 0.5343 0.5496 0.8687 0.2342 0.5097
46 MRK 0.1483 0.0272 0.1826 0.2991 0.1032 0.1626
47 MMM 0.4437 0.5772 0.5151 0.7156 0.2588 0.4412
 H I J K L

FOR AN ANALYST'S
1
OPINION
opinion is about GM
2
3
4
Alcoa
5 Aluminum DuPont Merck
AA DD MRK MMM
6 28.16 38.32 79.51 60.9
7 4.53% 6.17% 12.80% 9.81%
8
9
10 AA DD MRK MMM
11 0.0046 0.0018 0.0010 0.0014
12 0.0045 0.0020 0.0002 0.0018
13 0.0043 0.0021 0.0012 0.0016
14 0.0060 0.0033 0.0019 0.0022
15 0.0018 0.0009 0.0007 0.0008
16 0.0037 0.0019 0.0011 0.0014
17 0.0091 0.0040 0.0018 0.0024
18 0.0040 0.0038 0.0016 0.0019
19 0.0018 0.0016 0.0065 0.0005
20 0.0024 0.0019 0.0005 0.0031
21
22
Optimized Portfolio
23 benchmark benchmark,
proportions no opinions
24 5.19% GM 2.71%
25 8.23% HD 11.91%
26 7.60% IP 2.56%
27 6.60% HPQ 14.23%
28 20.72% MO 24.69%
29 22.17% AXP 10.57%
ALUE! 30 -1.98% AA 4.53%
31 10.67% DD 6.17%
32 9.54% MRK 12.80%
33 11.26% MMM 9.81%
34
35
36
37 AA DD MRK MMM
38 0.3920 0.1555 0.0829 0.1169
39 0.6376 0.2834 0.0250 0.2501
40 1.0994 0.5306 0.3056 0.4063
41 0.5097 0.2791 0.1665 0.1878
42 0.2351 0.1158 0.0884 0.1046
43 0.8956 0.4624 0.2556 0.3270
 H I J K L
44 1.0000 0.4404 0.1938 0.2625
45 1.0694 1.0000 0.4327 0.5067
46 0.2715 0.2497 1.0000 0.0741
47 0.7802 0.6202 0.1571 1.0000
 A B C D E F G
ADJUSTING THE BENCHMARK FOR AN ANALYST'S OPINIO
1
This version includes two opinions (GM and HD) and has a weight g for
2 Anticipated benchmark return 1.00% #VALUE!
3 Current t-bill rate 0.40%
4
General Home International Hewlett- American
5 Motors Depot Paper Packard Altria Express
GM HD IP HPQ MO AXP
6 Equity value 16.85 73.98 15.92 88.37 153.33 65.66
7 Benchmark proportions 2.71% 11.91% 2.56% 14.23% 24.69% 10.57%
8
9 Variance-covariance matrix
10 GM HD IP HPQ MO AXP
11 GM 0.0116 0.0030 0.0023 0.0041 0.0013 0.0032
12 HD 0.0030 0.0071 0.0018 0.0042 0.0022 0.0033
13 IP 0.0023 0.0018 0.0039 0.0031 0.0001 0.0023
14 HPQ 0.0041 0.0042 0.0031 0.0117 0.0025 0.0048
15 MO 0.0013 0.0022 0.0001 0.0025 0.0076 0.0016
16 AXP 0.0032 0.0033 0.0023 0.0048 0.0016 0.0041
17 AA 0.0046 0.0045 0.0043 0.0060 0.0018 0.0037
18 DD 0.0018 0.0020 0.0021 0.0033 0.0009 0.0019
19 MRK 0.0010 0.0002 0.0012 0.0019 0.0007 0.0011
20 MMM 0.0014 0.0018 0.0016 0.0022 0.0008 0.0014
21
22
Analyst Returns
23 Expected benchmark returns, opinion, adjusted for
no opinions delta opinions
24 0.96% 0.17% 1.10% #VALUE!
25 1.05% -0.12% 1.00%
26 0.77% 0.00% 0.82%
27 1.36% 0.00% 1.37%
28 1.05% 0.00% 1.05%
29 0.97% 0.00% 1.01%
30 1.17% 0.00% 1.20% #VALUE!
31 0.84% 0.00% 0.86%
32 0.77% 0.00% 0.79%
33 0.73% 0.00% 0.74%
34
35 g, opinion confidence 0.60 <-- Weight attached to analyst opinion
36
Opinion and confidence-
37
adjusted portfolio
38 GM 6.08% #VALUE!
39 HD 6.87%
40 IP 5.31%
41 HPQ 12.44%
42 MO 24.01%
 A B C D E F G
43 AXP 14.08%
44 AA 3.06%
45 DD 7.10%
46 MRK 12.04%
47 MMM 9.02%
48 Sum of weights 100.00%
49
50
51
52
53
54 Tracking factors: in each row i Cov(ri,rj) is divided by Var(ri)
55 GM HD IP HPQ MO AXP
56 GM 1.0000 0.2589 0.1999 0.3540 0.1153 0.2788
57 HD 0.4257 1.0000 0.2603 0.5934 0.3119 0.4635
58 IP 0.5985 0.4738 1.0000 0.7940 0.0222 0.5954
59 HPQ 0.3527 0.3594 0.2642 1.0000 0.2162 0.4145
60 MO 0.1769 0.2909 0.0114 0.3328 1.0000 0.2096
61 AXP 0.7843 0.7927 0.5595 1.1704 0.3845 1.0000
62 AA 0.5006 0.4950 0.4690 0.6533 0.1957 0.4066
63 DD 0.4820 0.5343 0.5496 0.8687 0.2342 0.5097
64 MRK 0.1483 0.0272 0.1826 0.2991 0.1032 0.1626
65 MMM 0.4437 0.5772 0.5151 0.7156 0.2588 0.4412
 H I J K L
AN ANALYST'S OPINION
1
and has a weight g for the opinions
2
3
4
Alcoa
5 Aluminum DuPont Merck
AA DD MRK MMM
6 28.16 38.32 79.51 60.9
7 4.53% 6.17% 12.80% 9.81%
8
9
10 AA DD MRK MMM
11 0.0046 0.0018 0.0010 0.0014
12 0.0045 0.0020 0.0002 0.0018
13 0.0043 0.0021 0.0012 0.0016
14 0.0060 0.0033 0.0019 0.0022
15 0.0018 0.0009 0.0007 0.0008
16 0.0037 0.0019 0.0011 0.0014
17 0.0091 0.0040 0.0018 0.0024
18 0.0040 0.0038 0.0016 0.0019
19 0.0018 0.0016 0.0065 0.0005
20 0.0024 0.0019 0.0005 0.0031
21
22
Optimized Benchmark
23 benchmark weights, no
weights opinions
24 8.32% GM 2.71%
25 3.52% HD 11.91%
26 7.13% IP 2.56%
27 11.25% HPQ 14.23%
28 23.56% MO 24.69%
29 16.41% AXP 10.57%
ALUE! 30 2.07% AA 4.53%
31 7.72% DD 6.17%
32 11.53% MRK 12.80%
33 8.50% MMM 9.81%
34
35
36
37
38
39
40
41
42
 H I J K L
43
44
45
46
47
48
49
50
51
52
53
54
55 AA DD MRK MMM
56 0.3920 0.1555 0.0829 0.1169
57 0.6376 0.2834 0.0250 0.2501
58 1.0994 0.5306 0.3056 0.4063
59 0.5097 0.2791 0.1665 0.1878
60 0.2351 0.1158 0.0884 0.1046
61 0.8956 0.4624 0.2556 0.3270
62 1.0000 0.4404 0.1938 0.2625
63 1.0694 1.0000 0.4327 0.5067
64 0.2715 0.2497 1.0000 0.0741
65 0.7802 0.6202 0.1571 1.0000
 A B C D E F G
1 INDEX DATA, 2001-2005
5 YEARS ENDING
2
DEC05

MSCI World Russell MSCI LB Global

3 Correlation S&P 500
ex-US 2000 Emerging aggregate
4 S&P 500 1.0000 0.8800 0.8400 0.8100 -0.1600
5 MSCI World ex-US 0.8800 1.0000 0.8300 0.8700 0.0700
6 Russell 2000 0.8400 0.8300 1.0000 0.8300 -0.1400
7 MSCI Emerging 0.8100 0.8700 0.8300 1.0000 -0.0500
8 LB Global aggregate -0.1600 0.0700 -0.1400 -0.0500 1.0000
9
10
11

12 #VALUE!

Variance-covariance MSCI World Russell MSCI LB Global

13 S&P 500
matrix ex-US 2000 Emerging aggregate
14 S&P 500 0.0222 0.0205 0.0240 0.0253 -0.0014
15 MSCI World ex-US 0.0205 0.0243 0.0249 0.0285 0.0006
16 Russell 2000 0.0240 0.0249 0.0369 0.0335 -0.0016
17 MSCI Emerging 0.0253 0.0285 0.0335 0.0441 -0.0006
18 LB Global aggregate -0.0014 0.0006 -0.0016 -0.0006 0.0034
19
20 Checks
21 First row of var-cov 0.0222 0.0205 0.0240 0.0253 -0.0014 #VALUE!
Standard deviation of
22
composite 8.72% #VALUE!
23
24
25 Risk-free rate 5.00%
Expected return on
26
S&P 500 12.00%
27
28 Black-Litterman implied returns
29 S&P 500 12.00%
30 MSCI World ex-US 13.66% #VALUE!
31 Russell 2000 14.22%
32 MSCI Emerging 16.20%
33 LB Global aggregate 1.30%
 H I
1

Standard
3 Weight
deviation
4 24% 14.90%
5 26% 15.60%
6 3% 19.20%
7 3% 21.00%
8 44% 5.80%
9 100%
10
11

12

13

14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
Title: 3-Month Treasury Bill: Secondary Market Rate
Series ID: TB3MS
Source: Board of Governors of the Federal Reserve System
Release: H.15 Selected Interest Rates
Seasonal Adjustment: Not Applicable
Frequency: Monthly
Units: Percent
Date Range: 1934-01-01 to 2006-05-01
Last Updated: 2006-06-07 4:28 PM CT
Notes: Averages of Business Days, Discount Basis

DATE VALUE This is FRED data

1934-01-01 0.72
1934-02-01 0.62
1934-03-01 0.24
1934-04-01 0.15
1934-05-01 0.16
1934-06-01 0.15
1934-07-01 0.15
1934-08-01 0.19
1934-09-01 0.21
1934-10-01 0.27
1934-11-01 0.25
1934-12-01 0.23
1935-01-01 0.20
1935-02-01 0.19
1935-03-01 0.15
1935-04-01 0.15
1935-05-01 0.15
1935-06-01 0.15
1935-07-01 0.15
1935-08-01 0.16
1935-09-01 0.20
1935-10-01 0.20
1935-11-01 0.16
1935-12-01 0.15
1936-01-01 0.20
1936-02-01 0.20
1936-03-01 0.20
1936-04-01 0.20
1936-05-01 0.20
1936-06-01 0.20
1936-07-01 0.15
1936-08-01 0.20
1936-09-01 0.16
1936-10-01 0.13
1936-11-01 0.11
1936-12-01 0.12
1937-01-01 0.17
1937-02-01 0.15
1937-03-01 0.38
1937-04-01 0.56
1937-05-01 0.41
1937-06-01 0.36
1937-07-01 0.28
1937-08-01 0.29
1937-09-01 0.31
1937-10-01 0.20
1937-11-01 0.09
1937-12-01 0.11
1938-01-01 0.10
1938-02-01 0.08
1938-03-01 0.08
1938-04-01 0.09
1938-05-01 0.05
1938-06-01 0.05
1938-07-01 0.07
1938-08-01 0.06
1938-09-01 0.08
1938-10-01 0.05
1938-11-01 0.04
1938-12-01 0.03
1939-01-01 0.03
1939-02-01 0.03
1939-03-01 0.03
1939-04-01 0.03
1939-05-01 0.03
1939-06-01 0.03
1939-07-01 0.04
1939-08-01 0.05
1939-09-01 0.14
1939-10-01 0.05
1939-11-01 0.05
1939-12-01 0.04
1940-01-01 0.01
1940-02-01 0.02
1940-03-01 0.02
1940-04-01 0.02
1940-05-01 0.06
1940-06-01 0.10
1940-07-01 0.05
1940-08-01 0.04
1940-09-01 0.05
1940-10-01 0.02
1940-11-01 0.02
1940-12-01 0.02
1941-01-01 0.02
1941-02-01 0.04
1941-03-01 0.11
1941-04-01 0.10
1941-05-01 0.11
1941-06-01 0.12
1941-07-01 0.12
1941-08-01 0.13
1941-09-01 0.10
1941-10-01 0.09
1941-11-01 0.28
1941-12-01 0.33
1942-01-01 0.27
1942-02-01 0.25
1942-03-01 0.25
1942-04-01 0.32
1942-05-01 0.37
1942-06-01 0.37
1942-07-01 0.38
1942-08-01 0.38
1942-09-01 0.38
1942-10-01 0.38
1942-11-01 0.38
1942-12-01 0.38
1943-01-01 0.38
1943-02-01 0.38
1943-03-01 0.38
1943-04-01 0.38
1943-05-01 0.38
1943-06-01 0.38
1943-07-01 0.38
1943-08-01 0.38
1943-09-01 0.38
1943-10-01 0.38
1943-11-01 0.38
1943-12-01 0.38
1944-01-01 0.38
1944-02-01 0.38
1944-03-01 0.38
1944-04-01 0.38
1944-05-01 0.38
1944-06-01 0.38
1944-07-01 0.38
1944-08-01 0.38
1944-09-01 0.38
1944-10-01 0.38
1944-11-01 0.38
1944-12-01 0.38
1945-01-01 0.38
1945-02-01 0.38
1945-03-01 0.38
1945-04-01 0.38
1945-05-01 0.38
1945-06-01 0.38
1945-07-01 0.38
1945-08-01 0.38
1945-09-01 0.38
1945-10-01 0.38
1945-11-01 0.38
1945-12-01 0.38
1946-01-01 0.38
1946-02-01 0.38
1946-03-01 0.38
1946-04-01 0.38
1946-05-01 0.38
1946-06-01 0.38
1946-07-01 0.38
1946-08-01 0.38
1946-09-01 0.38
1946-10-01 0.38
1946-11-01 0.38
1946-12-01 0.38
1947-01-01 0.38
1947-02-01 0.38
1947-03-01 0.38
1947-04-01 0.38
1947-05-01 0.38
1947-06-01 0.38
1947-07-01 0.66
1947-08-01 0.75
1947-09-01 0.80
1947-10-01 0.85
1947-11-01 0.92
1947-12-01 0.95
1948-01-01 0.97
1948-02-01 1.00
1948-03-01 1.00
1948-04-01 1.00
1948-05-01 1.00
1948-06-01 1.00
1948-07-01 1.00
1948-08-01 1.06
1948-09-01 1.09
1948-10-01 1.12
1948-11-01 1.14
1948-12-01 1.16
1949-01-01 1.17
1949-02-01 1.17
1949-03-01 1.17
1949-04-01 1.17
1949-05-01 1.17
1949-06-01 1.17
1949-07-01 1.02
1949-08-01 1.04
1949-09-01 1.07
1949-10-01 1.05
1949-11-01 1.08
1949-12-01 1.10
1950-01-01 1.07
1950-02-01 1.12
1950-03-01 1.12
1950-04-01 1.15
1950-05-01 1.16
1950-06-01 1.15
1950-07-01 1.16
1950-08-01 1.20
1950-09-01 1.30
1950-10-01 1.31
1950-11-01 1.36
1950-12-01 1.34
1951-01-01 1.34
1951-02-01 1.36
1951-03-01 1.40
1951-04-01 1.47
1951-05-01 1.55
1951-06-01 1.45
1951-07-01 1.56
1951-08-01 1.62
1951-09-01 1.63
1951-10-01 1.54
1951-11-01 1.56
1951-12-01 1.73
1952-01-01 1.57
1952-02-01 1.54
1952-03-01 1.59
1952-04-01 1.57
1952-05-01 1.67
1952-06-01 1.70
1952-07-01 1.81
1952-08-01 1.83
1952-09-01 1.71
1952-10-01 1.74
1952-11-01 1.85
1952-12-01 2.09
1953-01-01 1.96
1953-02-01 1.97
1953-03-01 2.01
1953-04-01 2.19
1953-05-01 2.16
1953-06-01 2.11
1953-07-01 2.04
1953-08-01 2.04
1953-09-01 1.79
1953-10-01 1.38
1953-11-01 1.44
1953-12-01 1.60
1954-01-01 1.18
1954-02-01 0.97
1954-03-01 1.03
1954-04-01 0.97
1954-05-01 0.76
1954-06-01 0.64
1954-07-01 0.72
1954-08-01 0.92
1954-09-01 1.01
1954-10-01 0.98
1954-11-01 0.93
1954-12-01 1.15
1955-01-01 1.22
1955-02-01 1.17
1955-03-01 1.28
1955-04-01 1.59
1955-05-01 1.45
1955-06-01 1.41
1955-07-01 1.60
1955-08-01 1.90
1955-09-01 2.07
1955-10-01 2.23
1955-11-01 2.24
1955-12-01 2.54
1956-01-01 2.41
1956-02-01 2.32
1956-03-01 2.25
1956-04-01 2.60
1956-05-01 2.61
1956-06-01 2.49
1956-07-01 2.31
1956-08-01 2.60
1956-09-01 2.84
1956-10-01 2.90
1956-11-01 2.99
1956-12-01 3.21
1957-01-01 3.11
1957-02-01 3.10
1957-03-01 3.08
1957-04-01 3.07
1957-05-01 3.06
1957-06-01 3.29
1957-07-01 3.16
1957-08-01 3.37
1957-09-01 3.53
1957-10-01 3.58
1957-11-01 3.31
1957-12-01 3.04
1958-01-01 2.44
1958-02-01 1.53
1958-03-01 1.30
1958-04-01 1.13
1958-05-01 0.91
1958-06-01 0.83
1958-07-01 0.91
1958-08-01 1.69
1958-09-01 2.44
1958-10-01 2.63
1958-11-01 2.67
1958-12-01 2.77
1959-01-01 2.82
1959-02-01 2.70
1959-03-01 2.80
1959-04-01 2.95
1959-05-01 2.84
1959-06-01 3.21
1959-07-01 3.20
1959-08-01 3.38
1959-09-01 4.04
1959-10-01 4.05
1959-11-01 4.15
1959-12-01 4.49
1960-01-01 4.35
1960-02-01 3.96
1960-03-01 3.31
1960-04-01 3.23
1960-05-01 3.29
1960-06-01 2.46
1960-07-01 2.30
1960-08-01 2.30
1960-09-01 2.48
1960-10-01 2.30
1960-11-01 2.37
1960-12-01 2.25
1961-01-01 2.24
1961-02-01 2.42
1961-03-01 2.39
1961-04-01 2.29
1961-05-01 2.29
1961-06-01 2.33
1961-07-01 2.24
1961-08-01 2.39
1961-09-01 2.28
1961-10-01 2.30
1961-11-01 2.48
1961-12-01 2.60
1962-01-01 2.72
1962-02-01 2.73
1962-03-01 2.72
1962-04-01 2.73
1962-05-01 2.69
1962-06-01 2.73
1962-07-01 2.92
1962-08-01 2.82
1962-09-01 2.78
1962-10-01 2.74
1962-11-01 2.83
1962-12-01 2.87
1963-01-01 2.91
1963-02-01 2.92
1963-03-01 2.89
1963-04-01 2.90
1963-05-01 2.93
1963-06-01 2.99
1963-07-01 3.18
1963-08-01 3.32
1963-09-01 3.38
1963-10-01 3.45
1963-11-01 3.52
1963-12-01 3.52
1964-01-01 3.52
1964-02-01 3.53
1964-03-01 3.54
1964-04-01 3.47
1964-05-01 3.48
1964-06-01 3.48
1964-07-01 3.46
1964-08-01 3.50
1964-09-01 3.53
1964-10-01 3.57
1964-11-01 3.64
1964-12-01 3.84
1965-01-01 3.81
1965-02-01 3.93
1965-03-01 3.93
1965-04-01 3.93
1965-05-01 3.89
1965-06-01 3.80
1965-07-01 3.84
1965-08-01 3.84
1965-09-01 3.92
1965-10-01 4.03
1965-11-01 4.09
1965-12-01 4.38
1966-01-01 4.59
1966-02-01 4.65
1966-03-01 4.59
1966-04-01 4.62
1966-05-01 4.64
1966-06-01 4.50
1966-07-01 4.80
1966-08-01 4.96
1966-09-01 5.37
1966-10-01 5.35
1966-11-01 5.32
1966-12-01 4.96
1967-01-01 4.72
1967-02-01 4.56
1967-03-01 4.26
1967-04-01 3.84
1967-05-01 3.60
1967-06-01 3.54
1967-07-01 4.21
1967-08-01 4.27
1967-09-01 4.42
1967-10-01 4.56
1967-11-01 4.73
1967-12-01 4.97
1968-01-01 5.00
1968-02-01 4.98
1968-03-01 5.17
1968-04-01 5.38
1968-05-01 5.66
1968-06-01 5.52
1968-07-01 5.31
1968-08-01 5.09
1968-09-01 5.19
1968-10-01 5.35
1968-11-01 5.45
1968-12-01 5.96
1969-01-01 6.14
1969-02-01 6.12
1969-03-01 6.02
1969-04-01 6.11
1969-05-01 6.04
1969-06-01 6.44
1969-07-01 7.00
1969-08-01 6.98
1969-09-01 7.09
1969-10-01 7.00
1969-11-01 7.24
1969-12-01 7.82
1970-01-01 7.87
1970-02-01 7.13
1970-03-01 6.63
1970-04-01 6.51
1970-05-01 6.84
1970-06-01 6.68
1970-07-01 6.45
1970-08-01 6.41
1970-09-01 6.12
1970-10-01 5.91
1970-11-01 5.28
1970-12-01 4.87
1971-01-01 4.44
1971-02-01 3.70
1971-03-01 3.38
1971-04-01 3.86
1971-05-01 4.14
1971-06-01 4.75
1971-07-01 5.40
1971-08-01 4.94
1971-09-01 4.69
1971-10-01 4.46
1971-11-01 4.22
1971-12-01 4.01
1972-01-01 3.38
1972-02-01 3.20
1972-03-01 3.73
1972-04-01 3.71
1972-05-01 3.69
1972-06-01 3.91
1972-07-01 3.98
1972-08-01 4.02
1972-09-01 4.66
1972-10-01 4.74
1972-11-01 4.78
1972-12-01 5.07
1973-01-01 5.41
1973-02-01 5.60
1973-03-01 6.09
1973-04-01 6.26
1973-05-01 6.36
1973-06-01 7.19
1973-07-01 8.01
1973-08-01 8.67
1973-09-01 8.29
1973-10-01 7.22
1973-11-01 7.83
1973-12-01 7.45
1974-01-01 7.77
1974-02-01 7.12
1974-03-01 7.96
1974-04-01 8.33
1974-05-01 8.23
1974-06-01 7.90
1974-07-01 7.55
1974-08-01 8.96
1974-09-01 8.06
1974-10-01 7.46
1974-11-01 7.47
1974-12-01 7.15
1975-01-01 6.26
1975-02-01 5.50
1975-03-01 5.49
1975-04-01 5.61
1975-05-01 5.23
1975-06-01 5.34
1975-07-01 6.13
1975-08-01 6.44
1975-09-01 6.42
1975-10-01 5.96
1975-11-01 5.48
1975-12-01 5.44
1976-01-01 4.87
1976-02-01 4.88
1976-03-01 5.00
1976-04-01 4.86
1976-05-01 5.20
1976-06-01 5.41
1976-07-01 5.23
1976-08-01 5.14
1976-09-01 5.08
1976-10-01 4.92
1976-11-01 4.75
1976-12-01 4.35
1977-01-01 4.62
1977-02-01 4.67
1977-03-01 4.60
1977-04-01 4.54
1977-05-01 4.96
1977-06-01 5.02
1977-07-01 5.19
1977-08-01 5.49
1977-09-01 5.81
1977-10-01 6.16
1977-11-01 6.10
1977-12-01 6.07
1978-01-01 6.44
1978-02-01 6.45
1978-03-01 6.29
1978-04-01 6.29
1978-05-01 6.41
1978-06-01 6.73
1978-07-01 7.01
1978-08-01 7.08
1978-09-01 7.85
1978-10-01 7.99
1978-11-01 8.64
1978-12-01 9.08
1979-01-01 9.35
1979-02-01 9.32
1979-03-01 9.48
1979-04-01 9.46
1979-05-01 9.61
1979-06-01 9.06
1979-07-01 9.24
1979-08-01 9.52
1979-09-01 10.26
1979-10-01 11.70
1979-11-01 11.79
1979-12-01 12.04
1980-01-01 12.00
1980-02-01 12.86
1980-03-01 15.20
1980-04-01 13.20
1980-05-01 8.58
1980-06-01 7.07
1980-07-01 8.06
1980-08-01 9.13
1980-09-01 10.27
1980-10-01 11.62
1980-11-01 13.73
1980-12-01 15.49
1981-01-01 15.02
1981-02-01 14.79
1981-03-01 13.36
1981-04-01 13.69
1981-05-01 16.30
1981-06-01 14.73
1981-07-01 14.95
1981-08-01 15.51
1981-09-01 14.70
1981-10-01 13.54
1981-11-01 10.86
1981-12-01 10.85
1982-01-01 12.28
1982-02-01 13.48
1982-03-01 12.68
1982-04-01 12.70
1982-05-01 12.09
1982-06-01 12.47
1982-07-01 11.35
1982-08-01 8.68
1982-09-01 7.92
1982-10-01 7.71
1982-11-01 8.07
1982-12-01 7.94
1983-01-01 7.86
1983-02-01 8.11
1983-03-01 8.35
1983-04-01 8.21
1983-05-01 8.19
1983-06-01 8.79
1983-07-01 9.08
1983-08-01 9.34
1983-09-01 9.00
1983-10-01 8.64
1983-11-01 8.76
1983-12-01 9.00
1984-01-01 8.90
1984-02-01 9.09
1984-03-01 9.52
1984-04-01 9.69
1984-05-01 9.83
1984-06-01 9.87
1984-07-01 10.12
1984-08-01 10.47
1984-09-01 10.37
1984-10-01 9.74
1984-11-01 8.61
1984-12-01 8.06
1985-01-01 7.76
1985-02-01 8.27
1985-03-01 8.52
1985-04-01 7.95
1985-05-01 7.48
1985-06-01 6.95
1985-07-01 7.08
1985-08-01 7.14
1985-09-01 7.10
1985-10-01 7.16
1985-11-01 7.24
1985-12-01 7.10
1986-01-01 7.07
1986-02-01 7.06
1986-03-01 6.56
1986-04-01 6.06
1986-05-01 6.15
1986-06-01 6.21
1986-07-01 5.83
1986-08-01 5.53
1986-09-01 5.21
1986-10-01 5.18
1986-11-01 5.35
1986-12-01 5.53
1987-01-01 5.43
1987-02-01 5.59
1987-03-01 5.59
1987-04-01 5.64
1987-05-01 5.66
1987-06-01 5.67
1987-07-01 5.69
1987-08-01 6.04
1987-09-01 6.40
1987-10-01 6.13
1987-11-01 5.69
1987-12-01 5.77
1988-01-01 5.81
1988-02-01 5.66
1988-03-01 5.70
1988-04-01 5.91
1988-05-01 6.26
1988-06-01 6.46
1988-07-01 6.73
1988-08-01 7.06
1988-09-01 7.24
1988-10-01 7.35
1988-11-01 7.76
1988-12-01 8.07
1989-01-01 8.27
1989-02-01 8.53
1989-03-01 8.82
1989-04-01 8.65
1989-05-01 8.43
1989-06-01 8.15
1989-07-01 7.88
1989-08-01 7.90
1989-09-01 7.75
1989-10-01 7.64
1989-11-01 7.69
1989-12-01 7.63
1990-01-01 7.64
1990-02-01 7.74
1990-03-01 7.90
1990-04-01 7.77
1990-05-01 7.74
1990-06-01 7.73
1990-07-01 7.62
1990-08-01 7.45
1990-09-01 7.36
1990-10-01 7.17
1990-11-01 7.06
1990-12-01 6.74
1991-01-01 6.22
1991-02-01 5.94
1991-03-01 5.91
1991-04-01 5.65
1991-05-01 5.46
1991-06-01 5.57
1991-07-01 5.58
1991-08-01 5.33
1991-09-01 5.22
1991-10-01 4.99
1991-11-01 4.56
1991-12-01 4.07
1992-01-01 3.80
1992-02-01 3.84
1992-03-01 4.04
1992-04-01 3.75
1992-05-01 3.63
1992-06-01 3.66
1992-07-01 3.21
1992-08-01 3.13
1992-09-01 2.91
1992-10-01 2.86
1992-11-01 3.13
1992-12-01 3.22
1993-01-01 3.00
1993-02-01 2.93
1993-03-01 2.95
1993-04-01 2.87
1993-05-01 2.96
1993-06-01 3.07
1993-07-01 3.04
1993-08-01 3.02
1993-09-01 2.95
1993-10-01 3.02
1993-11-01 3.10
1993-12-01 3.06
1994-01-01 2.98
1994-02-01 3.25
1994-03-01 3.50
1994-04-01 3.68
1994-05-01 4.14
1994-06-01 4.14
1994-07-01 4.33
1994-08-01 4.48
1994-09-01 4.62
1994-10-01 4.95
1994-11-01 5.29
1994-12-01 5.60
1995-01-01 5.71
1995-02-01 5.77
1995-03-01 5.73
1995-04-01 5.65
1995-05-01 5.67
1995-06-01 5.47
1995-07-01 5.42
1995-08-01 5.40
1995-09-01 5.28
1995-10-01 5.28
1995-11-01 5.36
1995-12-01 5.14
1996-01-01 5.00
1996-02-01 4.83
1996-03-01 4.96
1996-04-01 4.95
1996-05-01 5.02
1996-06-01 5.09
1996-07-01 5.15
1996-08-01 5.05
1996-09-01 5.09
1996-10-01 4.99
1996-11-01 5.03
1996-12-01 4.91
1997-01-01 5.03
1997-02-01 5.01
1997-03-01 5.14
1997-04-01 5.16
1997-05-01 5.05
1997-06-01 4.93
1997-07-01 5.05
1997-08-01 5.14
1997-09-01 4.95
1997-10-01 4.97
1997-11-01 5.14
1997-12-01 5.16
1998-01-01 5.04
1998-02-01 5.09
1998-03-01 5.03
1998-04-01 4.95
1998-05-01 5.00
1998-06-01 4.98
1998-07-01 4.96
1998-08-01 4.90
1998-09-01 4.61
1998-10-01 3.96
1998-11-01 4.41
1998-12-01 4.39
1999-01-01 4.34
1999-02-01 4.44
1999-03-01 4.44
1999-04-01 4.29
1999-05-01 4.50
1999-06-01 4.57
1999-07-01 4.55
1999-08-01 4.72
1999-09-01 4.68
1999-10-01 4.86
1999-11-01 5.07
1999-12-01 5.20
2000-01-01 5.32
2000-02-01 5.55
2000-03-01 5.69
2000-04-01 5.66
2000-05-01 5.79
2000-06-01 5.69
2000-07-01 5.96
2000-08-01 6.09
2000-09-01 6.00
2000-10-01 6.11
2000-11-01 6.17
2000-12-01 5.77
2001-01-01 5.15
2001-02-01 4.88
2001-03-01 4.42
2001-04-01 3.87
2001-05-01 3.62
2001-06-01 3.49
2001-07-01 3.51
2001-08-01 3.36
2001-09-01 2.64
2001-10-01 2.16
2001-11-01 1.87
2001-12-01 1.69
2002-01-01 1.65
2002-02-01 1.73
2002-03-01 1.79
2002-04-01 1.72
2002-05-01 1.73
2002-06-01 1.70
2002-07-01 1.68
2002-08-01 1.62
2002-09-01 1.63
2002-10-01 1.58
2002-11-01 1.23
2002-12-01 1.19
2003-01-01 1.17
2003-02-01 1.17
2003-03-01 1.13
2003-04-01 1.13
2003-05-01 1.07
2003-06-01 0.92
2003-07-01 0.90
2003-08-01 0.95
2003-09-01 0.94
2003-10-01 0.92
2003-11-01 0.93
2003-12-01 0.90
2004-01-01 0.88
2004-02-01 0.93
2004-03-01 0.94
2004-04-01 0.94
2004-05-01 1.02
2004-06-01 1.27
2004-07-01 1.33
2004-08-01 1.48
2004-09-01 1.65
2004-10-01 1.76
2004-11-01 2.07
2004-12-01 2.19
2005-01-01 2.33
2005-02-01 2.54
2005-03-01 2.74
2005-04-01 2.78
2005-05-01 2.84
2005-06-01 2.97
2005-07-01 3.22
2005-08-01 3.44
2005-09-01 3.42
2005-10-01 3.71
2005-11-01 3.88
2005-12-01 3.89
2006-01-01 4.24
2006-02-01 4.43
2006-03-01 4.51
2006-04-01 4.60
2006-05-01 4.72