Input

Modify Correlation Matrix Use Downside Risk Only Data in Prices

Risk free Rate: 0.36% Maintain Return Level ✘
Target Return
Min Constraint: 10.00% 30.00% 0.00% 0.00% 10.00% 0.00%
Max Constraint: 70.00% 90.00% 100.00% 80.00% 100.00% 100.00%
Current Units: 1.00 1.00 1.00 1.00 1.00 1.00

Product Name: MSFT IBM INTC GOOG AMZN

Jan-08 31 103 20 564 78
Feb-08 26 110 19 471 64
Mar-08 27 111 20 440 71
Apr-08 27 117 21 574 79
May-08 27 126 22 586 82
Jun-08 27 115 20 526 73
Historic Observation Periods

Jul-08 25 124 21 474 76

Aug-08 26 119 22 463 81
Sep-08 26 114 18 401 73
Oct-08 22 91 15 359 57
Nov-08 20 80 13 293 43
Dec-08 19 83 14 308 51
Jan-09 17 90 12 339 59
Feb-09 16 91 12 338 65
Mar-09 18 96 15 348 73
Apr-09 20 102 15 396 81
May-09 21 105 15 417 78
Jun-09 24 103 16 422 84
Jul-09 23 117 19 443 86
Aug-09 25 118 20 462 81
Sep-09 26 119 19 496 93
Oct-09 28 120 19 536 119
Nov-09 29 126 19 583 136
Dec-09 30 131 20 620 135
Jan-10 31 132 21 580 127

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● Returns
2.00%
0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

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0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
1.00 1.00 1.00 1.00 1.00 1.00

796.35
690.89
670.53
818.22
842.58
761.92
720.38
711.19
631.17
544.28
448.76
474.61
516.39
521.84
549.76
613.58
636.7
648.56
687.93
705.09
753.32
821.58
893.87
936.28
890.58

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0 2 25 890.58
1 1 0 0 0
0

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 CoVar

CORRELATION Risk free Rate: 0.36% No. Products: Mean 0.89%

MATRIX + - Iterations: 2500 5 StdDev 9.31%
Product Weight Min Max Mean StdDev MSFT IBM INTC GOOG AMZN
MSFT 3.47% 10.00% 70.00% 0.28% 8.27% 100.00% 24.15% 60.73% 45.91% 53.58%
IBM 14.80% 30.00% 90.00% 1.29% 7.24% 100.00% 59.57% 49.29% 55.17%
INTC 2.34% 0.00% 100.00% 0.58% 8.89% 100.00% 45.04% 47.28%
GOOG 65.13% 0.00% 80.00% 0.68% 10.93% 100.00% 67.99%
AMZN 14.28% 10.00% 100.00% 2.92% 13.14% 100.00%

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 PORTFOLIO OPTIMIZATION RESULTS
CURRENT PORTFOLIO OPTIMAL PORTFOLIO

MSFT
3% IBM MSFT
AMZN 16%
15%
14%
INTC
2%
AMZN
45%
IBM
34%

GOOG
65%

GOOG
INTC
2% 4%

Iterations
Prob Period Return Probability 2500 Prob
10% Period Return Probability
10%

Risk-free rate
0.36%
5% 5%

0% 0%
-9%

-4%
-1%

9%
10%
11%
12%

23%
25%
27%
28%
29%
-26%

-20%
-18%
-17%
-16%
-15%
-14%
-13%
-11%
-8%
-7%
-6%
-5%
-2%
0%
1%
2%
3%
4%
5%
6%
8%

13%
14%
15%
17%
18%
19%
20%
21%
22%
24%
-27%
-25%
-24%
-23%
-21%
-19%

-10%

1%
4%
-27%
-26%
-25%
-24%

-17%
-16%
-15%
-14%
-13%
-11%

-6%
-5%
-4%
-2%
-1%
0%
2%
3%
5%
6%
8%
9%
12%
13%
14%
15%
17%

24%
25%
27%
-23%
-21%
-20%
-19%
-18%

-10%
-9%
-8%
-7%

10%
11%

18%
19%
20%
21%
22%
23%

28%
29%
Portfolio Returns Portfolio Returns

Mean Std Dev Sharpe Ratio Mean Std Dev Sharpe Ratio
0.89% 9.31% 0.057 1.82% 8.41% 0.173
 Probability of achieving 2.0% target return : 45.24% Probability of achieving 2.0% target return : 49.13%

Current Theoretical Change Optimal

Product
Weighting Units Weighting Units Weighting Units
 Chart of the Efficient Frontier

Efficient Frontier and Portfolio Set

0.02

0.018

0.016

0.014
Expected return

0.012

0.01

0.008

0.006

0.004

0.002

0
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

Standard Deviation

Optimal Coordinates: Return = 1.8% and Standard Deviation = 8.4%

Mean SD
1.18% 6.79% 0 0.0036
1.24% 7.26% 0.0841313 0.018158611
0.0841313 0.018158611