ABB ABCIL Portfolio returns Market returns

0.008104165541088 0.016991297140489 0.016102583980549 4038.15

-0.011415402754703 0.003259983700081 0.001792445054603 4245.25
0.00151794426976 -0.002030869212023 -0.001675987863844 4223.05
0.012558189888492 0.035816035816036 0.033490251223282 4126.9
-0.009943333689725 -0.02278978388998 -0.021505138869955 4161.25
-0.0042656587473 0.031363088057901 0.027800213377381 4110.55
-0.016539233230302 0.037037037037037 0.031679410010303 3985.25
0.011027790030878 0.007142857142857 0.007531350431659 3850.05
0.010962041884817 -0.027248973497574 -0.023427871959335 3921.2
-0.01548254841668 -0.010360706062932 -0.010872890298307 3950.75
0.003123287671233 0.015509887553315 0.014271227565107 3818.3
-0.012290380728683 0.02290950744559 0.019389518628163 3602.35
-0.009180400398186 -0.031728256812243 -0.029473471170838 3606.6
0.006139763340031 0.001156515034696 0.001654839865229 3513.65
0.000665705092644 -0.008471313053523 -0.007557611238907 3279.95
0.012529105222309 0.017864077669903 0.017330580425144 3490.7
-0.013523872098117 0.017169019458222 0.014099730302588 3518.65
-0.013820280845868 -0.015003750937735 -0.014885403928548 3338.4
-0.023187753264295 -0.009139375476009 -0.010544213254838 3269.3
-0.052546669739571 -0.006149116064566 -0.010788871432066 3074.35
0.02487229384578 0.022815158546017 0.023020872075993 3122.8
0.025455408532606 0.029111531190926 0.028745918925094 3234.9
-0.00445550283532 0.007347538574578 0.006167234433588 3065.15
0.002441150828248 -0.00291757840992 -0.002381705486103 2943.15
-0.000637792079782 0.012070226773958 0.010799424888584 2584
0.008702715247157 0.003975424647633 0.004448153707585 2524.2
-0.006787070056367 -0.00755939524838 -0.007482162729179 2684.6
0.013956451239287 0.007616974972797 0.008250922599446 2697.05
-0.020503740933234 -0.006479481641469 -0.007881907570645 2885.6

Avg Portfolio Return 0.004072325575577

Portfolio beta 3.206266209202E-06
Avg Market Return 0.016953464407165
STD 0.016953464407165
Measures
Treynor's Measure -23681.0262998469
Sharpe's Measure -4.47859343676885
Jenson's Measure -0.075927472280446
SUMMARY OUTPUT
XV
Regression Statistics 0.04
Multiple R 0.10057250227
0.02
R Square 0.01011482821
0

Y
Adjusted R Square -0.0265475856
Standard Error 0.01717702714 -0.028.15 2
3 1
Observations 29 40 4
-0.04

ANOVA
df SS MS F Significance F
Regression 1 8.14E-05 8.14E-05 0.275891 0.603694
Residual 27 0.007966 0.000295
Total 28 0.008048

Coefficients Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
Intercept -0.0070795216 0.02147 -0.329746 0.744137 -0.051132 0.036973 -0.051132 0.036973
X Variable 1 3.2062662E-06 6.104E-06 0.525253 0.603694 -9.32E-06 1.573E-05 -9.32E-06 1.573E-05

RESIDUAL OUTPUT

Observation Predicted Y Residuals

1 0.00586786229 0.010235
2 0.00653188002 -0.004739
3 0.00646070092 -0.008137
4 0.00615241842 0.027338
5 0.00626255366 -0.027768
6 0.00609999597 0.0217
7 0.00569825081 0.025981
8 0.00526476362 0.002267
9 0.00549288946 -0.028921
10 0.00558763463 -0.016461
11 0.00516296467 0.009108
12 0.00447057148 0.014919
13 0.00448419811 -0.033958
14 0.00418617567 -0.002531
15 0.00343687125 -0.010994
16 0.00411259186 0.013218
17 0.004202207 0.009898
18 0.00362427751 -0.01851
19 0.00340272452 -0.013947
20 0.00277766292 -0.013567
21 0.00293300652 0.020088
22 0.00329242896 0.025453
23 0.00274816527 0.003419
24 0.00235700079 -0.004739
25 0.00120547028 0.009594
26 0.00101373557 0.003434
27 0.00152802067 -0.00901
28 0.00156793868 0.006683
29 0.00217248017 -0.010054
 X Variable 1 Line Fit Plot
0.04
0.02
Y
0
Y

Predicted Y
-0.028.15 26.9 5.25 0.75 06.6 90.7 69.3 34.9 584 7.05
3 1 8 5 6 4 2 2 2 69
4 0 4 3 9 39 3 3 3 3
-0.04 2
X Variable 1

Upper 95.0%
SUMMARY OUTPUT
X Vari
Regression Statistics 0.06
Multiple R 0.104544024654 0.04
R Square 0.010929453091 0.02
0

Y
Adjusted R-0.025702789387
Standard E 0.018405503182 -0.02 .15 6.9 .2
38 12 85
-0.04
Observatio 29 40 4 39 3

ANOVA
df SS MS F Significance F
Regression 1 0.000101 0.000101 0.298356 0.5894
Residual 27 0.009147 0.000339
Total 28 0.009248

Coefficients Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0%
Intercept -0.007623722853 0.023005 -0.331393 0.742907 -0.054826 0.039579 -0.054826 0.039579
X Variable 3.572711974E-06 6.541E-06 0.54622 0.5894 -9.85E-06 1.699E-05 -9.85E-06 1.699E-05

RESIDUAL OUTPUT

Observation Predicted Y Residuals

1 0.006803424003 0.010188
2 0.007543332653 -0.004283
3 0.007464018447 -0.009495
4 0.007120502191 0.028696
5 0.007243224847 -0.030033
6 0.00706208835 0.024301
7 0.006614427539 0.030423
8 0.006131396881 0.001011
9 0.006385595338 -0.033635
10 0.006491168976 -0.016852
11 0.006017963276 0.009492
12 0.005246436125 0.017663
13 0.005261620151 -0.03699
14 0.004929536573 -0.003773
15 0.004094593785 -0.012566
16 0.004847542833 0.013017
17 0.004947400133 0.012222
18 0.004303418799 -0.019307
19 0.004056544402 -0.013196
20 0.003360044203 -0.009509
21 0.003533142098 0.019282
22 0.00393364311 0.025178
23 0.003327175253 0.00402
24 0.002891304392 -0.005809
25 0.001608164887 0.010462
26 0.001394516711 0.002581
27 0.001967579711 -0.009527
28 0.002012059975 0.005605
29 0.002685694818 -0.009165
 X Variable 1 Line Fit Plot
0.06
0.04
0.02 Y
0
Y

Predicted Y
-0.02 .15 6.9 .25 .75 6.6 0.7 9.3 4.9 84 .05
5
38 12 85 50 6 0 4 9 26 23 2 697
-0.04
40 4 39 3 9 3 3 3 3 2
X Variable 1

Upper 95.0%
SUMMARY OUTPUT
X Variable
Regression Statistics 0.04
Multiple R 0.003045 0.02
R Square 9.271E-06 0

Y
Adjusted R-0.037027 -0.02 .15 6.9 .25 .75 6.6
Standard E 0.016318 38 12 85 50 6 0
-0.04
40 4 39 3 9 3 3
Observatio 29 -0.06
X Varia
ANOVA
df SS MS F Significance F
Regression 1 6.665E-08 6.665E-08 0.00025 0.987493
Residual 27 0.007189 0.000266
Total 28 0.007189

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
Intercept -0.002182 0.020396 -0.106968 0.915605 -0.04403 0.039667 -0.04403 0.039667
X Variable -9.17E-08 5.799E-06 -0.015821 0.987493 -1.2E-05 1.181E-05 -1.2E-05 1.181E-05

RESIDUAL OUTPUT

ObservationPredicted Y Residuals
1 -0.002552 0.010656
2 -0.002571 -0.008844
3 -0.002569 0.004087
4 -0.00256 0.015119
5 -0.002563 -0.00738
6 -0.002559 -0.001707
7 -0.002547 -0.013992
8 -0.002535 0.013563
9 -0.002541 0.013504
10 -0.002544 -0.012938
11 -0.002532 0.005655
12 -0.002512 -0.009778
13 -0.002513 -0.006668
14 -0.002504 0.008644
15 -0.002483 0.003148
16 -0.002502 0.015031
17 -0.002505 -0.011019
18 -0.002488 -0.011332
19 -0.002482 -0.020706
20 -0.002464 -0.050083
21 -0.002468 0.027341
22 -0.002478 0.027934
23 -0.002463 -0.001993
24 -0.002452 0.004893
25 -0.002419 0.001781
26 -0.002413 0.011116
27 -0.002428 -0.004359
28 -0.002429 0.016386
29 -0.002446 -0.018057
 X Variable 1 Line Fit Plot
0.04
0.02
0 Y
Y

Predicted Y
-0.02 .15 6.9 .25 .75 6.6 0.7 9.3 4.9 84 .05
5
38 12 85 50 6 0 4 9 26 23 2 697
-0.04
40 4 39 3 9 3 3 3 3 2
-0.06
X Variable 1
Beta of ABB Beta of ABCIL Beta of the portfolio
-9.17456696846569E-08 3.57271197352274E-06 3.2062662092E-06