MEDIA, DESVIACIN ESTNDAR, COVARIANZA Y CORRELACIN

PRICE AND DIVIDEND DATA FOR GENERAL MOTORS

(GM)

CLOSING ANNUAL
DATE DIVIDEND
PRICE RETURN
29-Dec-89 42.2500 -
31-Dec-90 34.3750 3.00 -11.54%
31-Dec-91 28.8750 1.60 -11.35%
31-Dec-92 32.2500 1.40 16.54%
31-Dec-93 54.8750 0.80 72.64%
30-Dec-94 42.1250 0.80 -21.78%
29-Dec-95 52.8750 1.10 28.13%
31-Dec-96 55.7500 1.60 8.46%
31-Dec-97 60.7500 5.59 19.00%
31-Dec-98 71.5625 2.00 21.09%
31-Dec-99 72.6875 14.15 21.34%
Average Return 14.2537%
Variance of Return 0.0638
Standard Deviation of Return 25.2547%
N
 ACCIONES Y RETORNO

PRICE AND STOCK SPLIT DATA FOR MICROS

STOCK
CLOSING SPLIT
DATE
PRICE DURING
YEAR?
29-Dec-89 87.0000
31-Dec-90 75.2500 2.0 por 1
31-Dec-91 111.2500 1.5 por 1
31-Dec-92 85.3750 1.5 por 1
31-Dec-93 80.6250 no
30-Dec-94 61.1250 2.0 por 1
29-Dec-95 87.7500 no
31-Dec-96 82.6250 2.0 por 1
31-Dec-97 129.2500 no
31-Dec-98 138.6875 2.0 por 1
31-Dec-99 116.7500 2.0 por 1
Average Return
Variance of Return
Standard Deviation of Return
 ACCIONES Y RETORNOS

K SPLIT DATA FOR MICROSOFT (MSFT)

CUMULATIVE
ADJUSTED ANNUAL
ADJUSTMENT
PRICE RETURN
FACTOR

1 87.00
2 150.50 72.99%
3 333.75 121.76%
4.5 384.19 15.11%
4.5 362.81 -5.56%
9 550.13 51.63%
9 789.75 43.56%
18 1,487.25 88.32%
18 2,326.50 56.43%
36 4,992.75 114.60%
72 8,406.00 68.36%
rage Return 62.72%
nce of Return 14.43%
Deviation of Return 37.99%
 DOWNLOADED ADJUSTED DATA FROM
YAHOO FOR MICROSOFT

MSFT ADJUST
DATE
PRICE

29-Dec-89 1.2083
31-Dec-90 2.0903 73.00%
31-Dec-91 4.6354 121.76%
31-Dec-92 5.3359 15.11%
31-Dec-93 5.0391 -5.56%
30-Dec-94 7.6406 51.63%
29-Dec-95 10.9688 43.56%
31-Dec-96 20.6562 88.32%
31-Dec-97 32.3125 56.43%
31-Dec-98 69.3438 114.60%
31-Dec-99 116.75 68.36%
Average Return 62.72%
Variance of Return 14.43%
Standard deviation of return 37.99%
 Calculando la covarianza

GM AND MSFT, ANNUAL RETURN DATA

DATE GM RETURN

31-Dec-90 -11.54%
31-Dec-91 -11.35%
31-Dec-92 16.54%
31-Dec-93 72.64%
31-Dec-94 -21.78%
31-Dec-95 28.13%
31-Dec-96 8.46%
31-Dec-97 19.00%
31-Dec-98 21.09%
31-Dec-99 21.34%
Average Return 14.25%
Variance of return 6.38%
Standard deviation of return 25.26%
Covariance of returns -0.0552
-0.5756
Correlation of returns
-0.5756
N DATA

MSFT
RETURN
72.99%
121.76%
15.11%
-5.56%
51.63%
43.56%
88.32%
56.43%
114.60%
68.36%
62.72%
14.43%
37.98%
 Calculando la covarianza Forma Larga

GM
GM MSFT RETURN MSFT RETURN
DATE
RETURN RETURN MINUS MINUS AVERAGE
AVERAGE
31-Dec-90 -11.54% 72.99% -25.79% 10.27%
31-Dec-91 -11.35% 121.76% -25.60% 59.04%
31-Dec-92 16.54% 15.11% 2.29% -47.61%
31-Dec-93 72.64% -5.56% 58.39% -68.28%
30-Dec-94 -21.78% 51.63% -36.03% -11.09%
29-Dec-95 28.13% 43.56% 13.88% -19.16%
31-Dec-96 8.46% 88.32% -5.79% 25.60%
31-Dec-97 19.00% 56.43% 4.75% -6.29%
31-Dec-98 21.09% 114.60% 6.84% 51.88%
31-Dec-99 21.34% 68.36% 7.09% 5.64%
Average Return 14.25% 62.72% Covariance
Covariance
Correlation
Correlation
ga

PRODUCT

-0.026489411
-0.151160112
-0.010888407
-0.398666436
0.039960597
-0.026588332
-0.01483008
-0.002985863
0.035470356
0.003997068
-0.0552
-0.0552
-0.5756
-0.5756
 MSFT
GM ANNUAL
DATE ANNUAL
RETURN
RETURN
29-Dec-89
31-Dec-90 -11.54 72.99
31-Dec-91 -11.35 121.76
31-Dec-92 16.54 15.11
31-Dec-93 72.64 -5.56
30-Dec-94 -21.78 51.63
29-Dec-95 28.13 43.56
31-Dec-96 8.46 88.32
31-Dec-97 19.00 56.43
31-Dec-98 21.09 114.60
31-Dec-99 21.34 68.36
Average Return 14.25 62.72
Variance of Return 637.91 1,442.84
Standard deviation of return 25.26 37.98
Covariance of return -552.18
Correlation of returns -0.5756
-0.5756

Correlation is symmetric -0.5756

YEAR
FARM STOCK STOCK Annual Stock Returns,
RETURN RETURN
50%
1990 30.73% 21.44%
1991 55.21% 36.13%
40%
1992 15.82% 12.49%
1993 33.54% 23.12% 30%
1994 14.93% 11.96%
Morgan Sausage
1995 35.84% 24.50% 20%
1996 48.39% 32.03%
1997 37.71% 25.63% 10%
1998 67.85% 43.71%
0%
1999 44.85% 29.91% 10
Correlacin 1.0000
nnual Stock Returns, Adams Farm anda Morgan Sausage
50%

40%

30%

Morgan Sausage
20%

10%

0%
10% 20% 30% 40% 50% 60% 70%

Adams Farm
Proportion of GM 0.5
Proportion of MSFT 0.5
CALCULATING PORTFOLIO RETURN AND THEIR STADISTICS
General
Microsoft Portfolio
Date Motors
MSFT Return
GM
Dec-90 -11.54% 72.99% 30.73%
Dec-91 -11.35% 121.76% 55.21%
Dec-92 16.54% 15.11% 15.83%
Dec-93 72.64% -5.56% 33.54%
Dec-94 -21.78% 51.63% 14.93%
Dec-95 28.13% 43.56% 35.85%
Dec-96 8.46% 88.32% 48.39%
Dec-97 19% 56.43% 37.72%
Dec-98 21.09% 114.60% 67.85%
Dec-99 21.34% 68.36% 44.85%

Mean 14.25% 62.72% 38.49%

Variance 6.38% 14.43% 2.44%
St. Dev. 25.26% 37.98% 15.62%
Covariance -0.0552
Correlation -0.5756

Portfolio mean 38.49%

Portfolio variance 2.44%
Portfolio St. Dev. 15.62%
 General Microsoft
Motors GM MSFT
Mean 14.25% 62.72%
Variance 6.38% 14.43%
St. Dev 25.25% 37.99%
Covariance -5.52%

Proportion Portfolio Portafolio

Portafolio
of GM in Variance standard
Mean
portfolio Var (rp) Deviation
0% 14.43% 37.99% 62.72%
10% 10.76% 32.80% 57.87%
20% 7.72% 27.79% 53.03%
30% 5.33% 23.08% 48.18%
40% 3.57% 18.88% 43.33%
50% 2.44% 15.63% 38.49%
60% 1.96% 13.99% 33.64%
70% 2.11% 14.51% 28.79%
80% 2.89% 17.01% 23.94%
90% 4.32% 20.78% 19.10%
100% 6.38% 25.26% 14.25%
 Portfolio Mean and Standard Deviation
70.00%

60.00%

50.00%

40.00%

30.00%

20.00%

10.00%

0.00%
13.00% 18.00% 23.00% 28.00% 33.00% 38.00% 43.00%
 MIRAGE
S&P 500
DATE
INDEX SPX
RESORTS
MIR
MIR
Jan-97 6.13% 16.18%
Feb-97 0.59% 0.00%
Mar-97 -4.26% -15.42%
Apr-97 5.84% -5.29%
May-97 5.86% 18.63% f(x) = 1.4693398809x
Jun-97 4.35% 5.76% R = 0.5002397353
Jul-97 7.81% 5.94%
-16.00% -11.00%
Aug-97 -5.75% 0.23%
Sep-97 5.32% 12.35%
Oct-97 -3.45% -17.01%
Nov-97 4.46% -5%
Dec-97 1.57% -4.21%
Jan-98 1.02% 1.37%
Feb-98 7.04% -0.54%
Mar-98 4.99% 5.99%
Apr-98 0.91% -9.25%
May-98 -1.88% -5.67%
Jun-98 3.94% 2.40%
Jul-98 -1.16% 0.88%
Aug-98 -14.58% -30.81%
 Sep-98 6.24% 12.61%
Oct-98 8.03% 1.12%
Nov-98 5.91% -12.18%
Dec-98 5.64% 0.42%

SLOPE 1.4693
1.4693

Intercept -0.0424
-0.0424

R-SQUARE 0.5002
0.5002
 MIR Returns vs. S&P500 Returns
19.00%

9.00%
f(x) = 1.4693398809x - 0.0423674489
R = 0.5002397353

6.00% -11.00% -6.00% -1.00%

-1.00% 4.00% 9.00%

-11.00%

-21.00%

-31.00%
s

4.00% 9.00%
 GENERAL
YEAR MICROSOFT
MOTORS HEINZ HNZ
ENDING MSFT
GM
Dec-90 -11.54% 72.99% 2.46%
Dec-91 -11.35% 121.76% 14.54%
Dec-92 16.54% 15.11% 16.89%
Dec-93 72.64% -5.56% -15.95%
Dec-94 -21.78% 51.63% 6.55%
Dec-95 28.13% 43.56% 39.81%
Dec-96 8.46% 88.32% 11.56%
Dec-97 19.00% 56.43% 45.89%
Dec-98 21.09% 114.60% 14.11%
Dec-99 21.34% 68.36% -27.44%

Average 14.25% 62.72% 10.84%

Variance 6.38% 14.43% 4.40%
Sigma 25.26% 37.98% 20.98%

Covariances
Cov(rGM,rMSF -0.0552
Cov(rGM,rHNZ -0.0096
Cov(rMSFT,rH 0.0092
 PORFOLIO
RETURN

34.93%
62.97%
15.93%
6.96%
23.42%
39.35%
49.32%
45.78%
65.75%
30.22%

Average 37.46%
Variance 0.0331
Sigma 18.21%

Average 37.46%
Variance 0.0331
Sigma 18.21%