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|
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|
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|
BASIC STATS |
Large-Cap Growth (IVW) |
Large-Cap Value (IVE) |
Small-Cap (IWM) |
L/T Corp Bonds (LQD) |
Int-Gov Bonds (TFI) |
|
|
AVERAGE |
10.9% |
13.6% |
15.8% |
8.7% |
8.4% |
|
|
VARIANCE (%)2 |
368 |
349 |
651 |
127 |
45 |
|
|
STD FUNC |
19.2% |
18.7% |
25.5% |
11.3% |
6.7% |
|
|
STANDARD DEVIATION |
19.2% |
18.7% |
25.5% |
11.3% |
6.7% |
|
|
|
|
|
|
|
|
|
|
VAR-COV MATRIX |
|
|
|
Large-Cap Growth (IVW) |
Large-Cap Value (IVE) |
Small-Cap (IWM) |
L/T Corp Bonds (LQD) |
Int-Gov Bonds (TFI) |
|
|
0 |
0.003332 |
0.216924 |
0 |
0.779744 |
368 |
265 |
292 |
60 |
22 |
0 |
|
|
|
265 |
349 |
345 |
99 |
46 |
0.003332 |
|
|
|
292 |
345 |
651 |
29 |
2 |
0.2169243 |
|
|
|
60 |
99 |
29 |
127 |
71 |
0 |
|
|
|
22 |
46 |
2 |
71 |
45 |
0.7797436 |
|
|
|
|
81.19084821 |
111.6729563 |
143.650382 |
61.9339854 |
35.40976786 |
|
|
|
|
SUM |
1 |
|
|
Average |
10.00% |
|
|
Var |
59.143901 |
7.690507 |
|
|
Target Return |
9.1% |
|
|
Risk Free Rate |
5% |
|
0.02 |
|
|
A= |
0.05 |
|
|
U = E[r] - 0.005A*Var |
E[r] = U + 0.005A*Var |
|
|
Large-Cap Growth (IVW) |
Large-Cap Value (IVE) |
Small-Cap (IWM) |
L/T Corp Bonds (LQD) |
Int-Gov Bonds (TFI) |
Expected Return |
Var |
Standard Deviation |
Slope CAL |
CAL Line |
Utility |
E[r] Const Utlility |
|
|
0 |
0.003332033 |
0.216924321 |
0 |
0.779743646 |
10.00% |
59.1439 |
7.6905072 |
0.006502 |
10.03% |
|
|
8.357% |
0 |
0 |
0 |
0 |
1 |
8.36% |
44.78095 |
6.6918568 |
0.005017 |
9.38% |
7.24% |
9.717% |
|
|
8.50% |
0.028977079 |
0 |
0.009145357 |
0 |
0.961877564 |
8.50% |
43.18814 |
6.5717681 |
0.005326 |
9.30% |
7.42% |
9.677% |
|
|
8.60% |
0.024626241 |
0 |
0.023980505 |
0 |
0.951393254 |
8.60% |
42.56529 |
6.5242084 |
0.005518 |
9.27% |
7.54% |
9.662% |
|
|
8.70% |
0.020275403 |
0 |
0.038815654 |
0 |
0.940908943 |
8.70% |
42.18045 |
6.494648 |
0.005697 |
9.25% |
7.65% |
9.652% |
|
|
8.80% |
0.015924564 |
0 |
0.053650803 |
0 |
0.930424633 |
8.80% |
42.03361 |
6.4833331 |
0.005861 |
9.24% |
7.75% |
9.648% |
|
|
8.90% |
0.011573725 |
0 |
0.068485952 |
0 |
0.919940323 |
8.90% |
42.12476 |
6.4903591 |
0.006009 |
9.25% |
7.85% |
9.651% |
|
|
9.00% |
0.007222886 |
0 |
0.083321101 |
0 |
0.909456013 |
9.00% |
42.45391 |
6.5156667 |
0.006139 |
9.27% |
7.94% |
9.659% |
|
|
9.10% |
0.002872049 |
0 |
0.09815625 |
0 |
0.898971702 |
9.10% |
43.02106 |
6.5590444 |
0.006251 |
9.29% |
8.02% |
9.673% |
|
|
9.20% |
0 |
0 |
0.112499369 |
0 |
0.887500631 |
9.20% |
43.82765 |
6.6202458 |
0.006344 |
9.33% |
8.10% |
9.693% |
|
|
9.30% |
0 |
0 |
0.125834265 |
0 |
0.874165735 |
9.30% |
44.87737 |
6.6990574 |
0.006419 |
9.39% |
8.18% |
9.719% |
|
|
9.40% |
0 |
0 |
0.139195858 |
0 |
0.860804142 |
9.40% |
46.17636 |
6.7953187 |
0.006475 |
9.45% |
8.25% |
9.752% |
|
|
9.50% |
0 |
0 |
0.152530755 |
0 |
0.847469245 |
9.50% |
47.71942 |
6.9079247 |
0.006514 |
9.52% |
8.31% |
9.791% |
|
|
9.60% |
0 |
0 |
0.165879 |
0 |
0.834121 |
9.60% |
49.51084 |
7.0363937 |
0.006537 |
9.61% |
8.36% |
9.835% |
|
|
9.70% |
0 |
0 |
0.179227245 |
0 |
0.820772755 |
9.70% |
51.54917 |
7.1797752 |
0.006546 |
9.70% |
8.41% |
9.886% |
|
|
9.80% |
0 |
0 |
0.19257549 |
0 |
0.80742451 |
9.80% |
53.83443 |
7.337195 |
0.006542 |
9.80% |
8.45% |
9.943% |
|
|
9.90% |
0 |
0 |
0.205923735 |
0 |
0.794076265 |
9.90% |
56.36661 |
7.5077701 |
0.006527 |
9.91% |
8.49% |
10.007% |
|
|
10.00% |
0 |
0.003332037 |
0.216924323 |
0 |
0.77974364 |
10.00% |
59.1439 |
7.6905073 |
0.006502 |
10.03% |
8.52% |
10.076% |
|
|
10.10% |
0 |
0.015204114 |
0.221921197 |
0 |
0.762874689 |
10.10% |
62.1371 |
7.882709 |
0.00647 |
10.16% |
8.55% |
10.151% |
|
|
10.20% |
0 |
0.027052469 |
0.226908087 |
0 |
0.746039443 |
10.20% |
65.32505 |
8.0823911 |
0.006434 |
10.29% |
8.57% |
10.231% |
|
|
10.30% |
0 |
0.038912687 |
0.231899968 |
0 |
0.729187345 |
10.30% |
68.71701 |
8.2895723 |
0.006394 |
10.43% |
8.58% |
10.315% |
|
|
10.40% |
0 |
0.050772903 |
0.236891851 |
0 |
0.712335247 |
10.40% |
72.3099 |
8.5035228 |
0.00635 |
10.57% |
8.59% |
10.405% |
|
|
10.50% |
0 |
0.062633121 |
0.241883731 |
0 |
0.695483148 |
10.50% |
76.10372 |
8.7237445 |
0.006305 |
10.71% |
8.60% |
10.500% |
|
|
10.60% |
0 |
0.074505197 |
0.246880605 |
0 |
0.678614198 |
10.60% |
80.10256 |
8.9500033 |
0.006257 |
10.86% |
8.60% |
10.600% |
|
|
10.70% |
0 |
0.086353553 |
0.251867496 |
0 |
0.661778952 |
10.70% |
84.29414 |
9.1811839 |
0.006208 |
11.01% |
8.59% |
10.705% |
|
|
10.80% |
0 |
0.09821377 |
0.256859377 |
0 |
0.644926853 |
10.80% |
88.69074 |
9.417576 |
0.006159 |
11.16% |
8.58% |
10.815% |
|
|
10.90% |
0 |
0.110073987 |
0.261851258 |
0 |
0.628074755 |
10.90% |
93.28827 |
9.6585851 |
0.006109 |
11.32% |
8.57% |
10.930% |
|
|
11.00% |
0 |
0.121934204 |
0.26684314 |
0 |
0.611222656 |
11.00% |
98.08672 |
9.9038741 |
0.006058 |
11.48% |
8.55% |
11.050% |
|
|
11.10% |
0 |
0.13379442 |
0.271835022 |
0 |
0.594370558 |
11.10% |
103.0861 |
10.153133 |
0.006008 |
11.65% |
8.52% |
11.175% |
|
|
11.20% |
0 |
0.145654636 |
0.276826904 |
0 |
0.57751846 |
11.20% |
108.2864 |
10.406076 |
0.005958 |
11.81% |
8.49% |
11.305% |
|
|
11.30% |
0 |
0.157514854 |
0.281818785 |
0 |
0.560666361 |
11.30% |
113.6877 |
10.662441 |
0.005909 |
11.98% |
8.46% |
11.440% |
|
|
11.40% |
0 |
0.169375069 |
0.286810668 |
0 |
0.543814263 |
11.40% |
119.2898 |
10.921988 |
0.00586 |
12.15% |
8.42% |
11.580% |
|
|
11.50% |
0 |
0.181235285 |
0.29180255 |
0 |
0.526962165 |
11.50% |
125.0929 |
11.184494 |
0.005812 |
12.32% |
8.37% |
11.725% |
|
|
11.60% |
0 |
0.193107363 |
0.296799423 |
0 |
0.510093214 |
11.60% |
131.103 |
11.450023 |
0.005764 |
12.50% |
8.32% |
11.875% |
|
|
11.70% |
0 |
0.204955719 |
0.301786313 |
0 |
0.493257968 |
11.70% |
137.3019 |
11.717589 |
0.005718 |
12.67% |
8.27% |
12.030% |
|
|
11.80% |
0 |
0.216815936 |
0.306778194 |
0 |
0.47640587 |
11.80% |
143.7078 |
11.987817 |
0.005672 |
12.85% |
8.21% |
12.190% |
|
|
11.90% |
0 |
0.228676153 |
0.311770076 |
0 |
0.459553771 |
11.90% |
150.3146 |
12.260284 |
0.005628 |
13.03% |
8.14% |
12.355% |
|
|
12.00% |
0 |
0.240536369 |
0.316761958 |
0 |
0.442701673 |
12.00% |
157.1223 |
12.534843 |
0.005584 |
13.21% |
8.07% |
12.526% |
|
|
12.10% |
0 |
0.252396585 |
0.32175384 |
0 |
0.425849575 |
12.10% |
164.1309 |
12.81136 |
0.005542 |
13.39% |
8.00% |
12.701% |
|
|
12.20% |
0 |
0.264256802 |
0.326745721 |
0 |
0.408997476 |
12.20% |
171.3405 |
13.089711 |
0.005501 |
13.57% |
7.92% |
12.881% |
|
|
12.30% |
0 |
0.276117018 |
0.331737603 |
0 |
0.392145378 |
12.30% |
178.751 |
13.369781 |
0.00546 |
13.75% |
7.83% |
13.066% |
|
|
12.40% |
0 |
0.287977235 |
0.336729485 |
0 |
0.37529328 |
12.40% |
186.3625 |
13.651465 |
0.005421 |
13.94% |
7.74% |
13.257% |
|
|
12.50% |
0 |
0.299837453 |
0.341721366 |
0 |
0.358441181 |
12.50% |
194.1749 |
13.934664 |
0.005382 |
14.12% |
7.65% |
13.452% |
|
|
12.60% |
0 |
0.311697668 |
0.346713249 |
0 |
0.341589083 |
12.60% |
202.1881 |
14.219288 |
0.005345 |
14.31% |
7.55% |
13.652% |
|
|
12.70% |
0 |
0.323557886 |
0.351705129 |
0 |
0.324736984 |
12.70% |
210.4024 |
14.505253 |
0.005308 |
14.50% |
7.44% |
13.858% |
|
|
12.80% |
0 |
0.335418102 |
0.356697012 |
0 |
0.307884886 |
12.80% |
218.8175 |
14.792482 |
0.005273 |
14.68% |
7.33% |
14.068% |
|
|
12.90% |
0 |
0.347278319 |
0.361688893 |
0 |
0.291032788 |
12.90% |
227.4336 |
15.080902 |
0.005238 |
14.87% |
7.21% |
14.283% |
|
|
13.00% |
0 |
0.359138536 |
0.366680775 |
0 |
0.274180689 |
13.00% |
236.2506 |
15.370446 |
0.005205 |
15.06% |
7.09% |
14.504% |
|
|
13.10% |
0 |
0.371010612 |
0.371677649 |
0 |
0.257311739 |
13.10% |
245.2777 |
15.661343 |
0.005172 |
15.25% |
6.97% |
14.729% |
|
|
13.20% |
0 |
0.382858969 |
0.376664538 |
0 |
0.240476493 |
13.20% |
254.4874 |
15.952661 |
0.00514 |
15.44% |
6.84% |
14.960% |
|
|
13.30% |
0 |
0.394719207 |
0.381656405 |
0 |
0.223624388 |
13.30% |
263.9072 |
16.24522 |
0.005109 |
15.63% |
6.70% |
15.195% |
|
|
13.40% |
0 |
0.406579401 |
0.386648302 |
0 |
0.206772297 |
13.40% |
273.5279 |
16.538679 |
0.005079 |
15.83% |
6.56% |
15.436% |
|
|
13.50% |
0 |
0.418439618 |
0.391640184 |
0 |
0.189920198 |
13.50% |
283.3495 |
16.83299 |
0.00505 |
16.02% |
6.42% |
15.681% |
|
|
13.60% |
0 |
0.430299845 |
0.396632058 |
0 |
0.173068097 |
13.60% |
293.3721 |
17.128109 |
0.005021 |
16.21% |
6.27% |
15.932% |
|
|
13.70% |
0 |
0.442160061 |
0.40162394 |
0 |
0.156215998 |
13.70% |
303.5956 |
17.423995 |
0.004993 |
16.41% |
6.11% |
16.187% |
|
|
13.80% |
0 |
0.454020268 |
0.406615829 |
0 |
0.139363903 |
13.80% |
314.02 |
17.72061 |
0.004966 |
16.60% |
5.95% |
16.448% |
|
|
13.90% |
0 |
0.465892344 |
0.411612703 |
0 |
0.122494953 |
13.90% |
324.6561 |
18.018216 |
0.00494 |
16.80% |
5.78% |
16.714% |
|
|
14.00% |
0 |
0.477740701 |
0.416599593 |
0 |
0.105659706 |
14.00% |
335.4717 |
18.315886 |
0.004914 |
16.99% |
5.61% |
16.984% |
|
|
14.10% |
0 |
0.489600928 |
0.421591467 |
0 |
0.088807605 |
14.10% |
346.4989 |
18.61448 |
0.004889 |
17.19% |
5.44% |
17.260% |
|
|
14.20% |
0 |
0.501461134 |
0.426583356 |
0 |
0.07195551 |
14.20% |
357.727 |
18.913673 |
0.004864 |
17.38% |
5.26% |
17.541% |
|
|
14.30% |
0 |
0.513321352 |
0.431575237 |
0 |
0.055103411 |
14.30% |
369.1561 |
19.213435 |
0.00484 |
17.58% |
5.07% |
17.826% |
|
|
14.40% |
0 |
0.525193428 |
0.436572111 |
0 |
0.038234461 |
14.40% |
380.7978 |
19.514041 |
0.004817 |
17.77% |
4.88% |
18.117% |
|
|
14.50% |
0 |
0.537041795 |
0.441558994 |
0 |
0.021399212 |
14.50% |
392.617 |
19.814565 |
0.004794 |
17.97% |
4.68% |
18.413% |
|
|
14.60% |
0 |
0.548902023 |
0.446550867 |
0 |
0.00454711 |
14.60% |
404.6488 |
20.115885 |
0.004772 |
18.17% |
4.48% |
18.714% |
|
|
14.70% |
0 |
0.519111003 |
0.480888997 |
0 |
0 |
14.70% |
417.1652 |
20.424623 |
0.004749 |
18.37% |
4.27% |
19.027% |
|
|
14.80% |
0 |
0.473928441 |
0.526071559 |
0 |
0 |
14.80% |
430.9078 |
20.758319 |
0.004721 |
18.59% |
4.03% |
19.370% |
|
|
14.90% |
0 |
0.428700696 |
0.571299304 |
0 |
0 |
14.90% |
445.9309 |
21.117077 |
0.004688 |
18.82% |
3.75% |
19.746% |
|
|
15.00% |
0 |
0.383563317 |
0.616436683 |
0 |
0 |
15.00% |
462.1877 |
21.498551 |
0.004651 |
19.07% |
3.45% |
20.152% |
|
|
15.10% |
0 |
0.338380755 |
0.661619245 |
0 |
0 |
15.10% |
479.725 |
21.902625 |
0.004611 |
19.34% |
3.11% |
20.591% |
|
|
15.20% |
0 |
0.29315301 |
0.70684699 |
0 |
0 |
15.20% |
498.5466 |
22.328158 |
0.004568 |
19.62% |
2.74% |
21.061% |
|
|
15.30% |
0 |
0.248015631 |
0.751984369 |
0 |
0 |
15.30% |
518.5943 |
22.772666 |
0.004523 |
19.91% |
2.34% |
21.562% |
|
|
15.40% |
0 |
0.202833069 |
0.797166931 |
0 |
0 |
15.40% |
539.9264 |
23.236316 |
0.004476 |
20.21% |
1.90% |
22.096% |
|
|
15.50% |
0 |
0.157650507 |
0.842349493 |
0 |
0 |
15.50% |
562.5233 |
23.717574 |
0.004427 |
20.53% |
1.44% |
22.661% |
|
|
15.60% |
0 |
0.112422762 |
0.887577238 |
0 |
0 |
15.60% |
586.4097 |
24.215897 |
0.004377 |
20.85% |
0.94% |
23.258% |
|
|
15.70% |
0 |
0.0672402 |
0.9327598 |
0 |
0 |
15.70% |
611.5377 |
24.729288 |
0.004327 |
21.19% |
0.41% |
23.886% |
|
|
15.85% |
0 |
0 |
1 |
0 |
0 |
15.85% |
651.2748 |
25.520087 |
0.004251 |
21.71% |
-0.43% |
24.879% |
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0 |
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5% |
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0.006546 |
Max Slope |
8.598% |
Max Utility |
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|
1 |
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Standard Error |
Average |
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| Large-Cap
Growth (IVW) |
19.18 |
10.9% |
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| Large-Cap
Value (IVE) |
18.69 |
13.6% |
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| Small-Cap
(IWM) |
25.52 |
15.8% |
|
| L/T
Corp Bonds (LQD) |
11.29 |
8.7% |
|
| Int-Gov
Bonds (TFI) |
6.69 |
8.4% |
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