RESEARCH INVESTMENT SUITE Efficient Frontier Analysis WRDS Research Analytics

Analytic Summary Solution INPUT PARAMETERS Analysis Start Date 2010/01 Analysis End Date 2015/12 Months Used 71 Annual Risk Free Rate 0.50% Number of Stocks Used 9 Lowest Position of a Constituent 0.00% Highest Position of a Constituent 50.00% Degree of Risk Aversion 30.00

UNCONSTRAINED OPTIMIZATION RESULTS Global Minimium Variance Portfolio Return (Annualized) 11.60% Global Minimium Variance Portfolio Sigma (Annualized) 8.66% Tangency Portfolio Return (Annualized) 18.54% Tangency Portfolio Sigma (Annualized) 11.04% Unconstraint Sharpe Ratio 1.63

CONSTRAINED OPTIMIZATION RESULTS Constrained Minimium Variance Portfolio Return (Annualized) 13.12% Constrained Minimium Variance Portfolio Sigma (Annualized) 9.30% Constrained Tangency Portfolio Return (Annualized) 16.34% Constrained Tangency Portfolio Sigma (Annualized) 10.21% Constrained Sharpe Ratio 1.55

INDIFFERENCE CURVE ANALYSIS Risk Averse Optimal Weight - Risky Asset (Unconstrained) 49.31% Optimized Utility Value (Unconstrained) 0.00412 Risk Averse Optimal Weight - Risky Asset (Constrained) 50.66% Optimized Utility Value (Constrained) 0.00376 Figure I: Mean-Variance Efficient Frontier 9 Selected Stocks with 71 months ending at 12/2015. 3%

AAPL 2% n r u t e GE DOW R

WFC e g JNJ a r 1% e DUK TKO v XOM A t e g r a

T 0%

(1%)

2% 4% 6% 8% Standard Deviation (Sigma)

Unconstrained Frontier Individual Stocks

Figure II: Capital Market Line (Unconstrained) 2.0% 9 Selected Stocks with 71 months ending at 12/2015.

1.5% n r u t e R e g a r

e 1.0% v A t e g r a T 0.5%

Monthly Risk Free Rate=0.042% 0.0% 0% 1% 2% 3% 4% Standard Deviation (Sigma)

Unconstrained Frontier Capital Market Line (CML) Figure III: Capital Market Line (Unconstrained vs Constrained)

2.0% 9 Selected Stocks with 71 months ending at 12/2015.

1.5% n r u t e R e g a r 1.0% e v A t e g r a T 0.5%

Monthly Risk Free Rate=0.042% and Lower(Upper) Bound=0(0.5). 0.0% 0% 1% 2% 3% 4% Standard Deviation (Sigma)

Unconstrained Frontier CML Constrained Frontier Constrained CML

Figure IV: Indifference Curve (Unconstrained vs Constrained) 9 Selected Stocks with 71 months ending at 12/2015. 2.0% n r u

t 1.5% e R e g a r e v 1.0% A t e g r a T 0.5%

Monthly Risk Free Rate=0.042% and Lower(Upper) Bound=0(0.5). Risk Aversion=30 0.0% 0% 1% 2% 3% 4% Standard Deviation (Sigma)

Uncnst. Frontier Ind. Curve CML Cnst. Frontier Cnst. Ind. Curve Cnst. CML Risky Portfolio Allocation: Contrainted Global Minimium Uncontrainted Tangency Minimium Variance Contrainted Ticker Variance Portfolio Portfolio Portfolio Tangency Portfolio AAPL 8.70% 29.70% 9.28% 27.01% XOM 19.90% (28.00%) 8.35% 0.00% GE (27.90%) ( 3.30%) 0.00% 0.00% JNJ 13.40% 21.60% 14.37% 12.46% WFC 19.00% 10.20% 6.43% 3.19% T 23.50% 13.50% 16.31% 9.20% KO 6.60% ( 4.40%) 5.29% 0.00% DOW 3.10% 10.10% 0.00% 3.34% DUK 33.70% 50.50% 39.97% 44.81%