资本资产定价模型 资本市场上的风险与收益

Index 资本资产定价模型 ——资本市场上的风险与收益 1.投资组合中的比例 随着资产价格的变动进行调整以维持固定的组合比例 2.投资组合的收益 用IBM和GE的股票构成的示范投资组合及其10年间的收益 3.相关性和比例 投资组合中成分资产的相关性及其比例对组合收益的影响 4.资产种数与组合风险 随着组合中成分资产品种的增加，组合的收益趋近于市场收益 5.有效前沿 有效前沿和最小方差组合 6.资本市场线 资本市场线 7.夏普比率 夏普比率的计算 8.Beta&SML 风险系数与证券市场线 3-Index 美国资本市场上3种常用指数之间的相关性 IRX 1993~2002年间美国13周国库券的收益 9.计算Beta 根据1983~2002历史数据计算通用电器公司(GE)的风险系数 10.投资组合的Beta 根据1991~2002历史数据计算5家知名企业股票组合的风险系数1.投资组合中的比例2.投资组合的收益3.相关性和比例4.资产种数与组合风险5.有效前沿6.资本市场线7.夏普比率8.Beta&SML3-IndexIRX9.计算Beta10.投资组合的Beta1.投资组合中的比例 投资组合中的投资比例及其调整 年份 Y Y+1 调整前 调整后 资产A 价格 $20.00 $50.00 $50.00 股份数 2500 2500 2250 价值 $50,000 $125,000 $112,500 比例 50.0% 55.6% 50.0% 资产B 价格 $10.00 $20.00 $20.00 股份数 5000 5000 5625 价值 $50,000 $100,000 $112,500 比例 50.0% 44.4% 50.0% 资产组合总价值 $100,000 $225,000 $225,0001.投资组合中的比例 2.投资组合的收益 IBM GE 组合 日期 股价 收益率 日期 股价 收益率 年份 收益率 IBM% 50% 31-Dec-90 28.020 31-Dec-90 3.65 GE% 50% 31-Dec-91 22.070 -21.23% 31-Dec-91 5.02 37.53% 1991 8.15% 0 31-Dec-92 12.500 -43.36% 31-Dec-92 5.77 14.94% 1992 -14.21% 0 31-Dec-93 14.010 12.08% 31-Dec-93 7.28 26.17% 1993 19.12% 0 30-Dec-94 18.230 30.12% 30-Dec-94 7.29 0.14% 1994 15.13% 0 29-Dec-95 22.660 24.30% 29-Dec-95 10.59 45.27% 1995 34.78% 0 31-Dec-96 37.580 65.84% 31-Dec-96 14.85 40.23% 1996 53.03% 0 31-Dec-97 51.900 38.11% 31-Dec-97 22.42 50.98% 1997 44.54% 0 31-Dec-98 91.470 76.24% 31-Dec-98 31.62 41.03% 1998 58.64% 0 31-Dec-99 107.030 17.01% 31-Dec-99 48.56 53.57% 1999 35.29% 0 29-Dec-00 84.340 -21.20% 29-Dec-00 45.64 -6.01% 2000 -13.61% 0 31-Dec-01 120.020 42.30% 31-Dec-01 38.76 -15.07% 2001 13.62% 0 31-Dec-02 77.210 -35.67% 31-Dec-02 24.16 -37.67% 2002 -36.67% 0 μIBM= 15.38% μGE= 20.93% μp= 18.15% 0 σIBM= 37.12% σGE= 28.23% σp= 27.86% 0 cov= 0.0465 0 μp= 18.15% 0 ρ= 0.4435 0 σp= 27.86% 0 0.4435 0 IBM 25% GE 25% MF 50% 组合 日期 股价 收益 股价 收益 股价 收益 股价 收益 31-Dec-90 28.020 3.65 330.22 1990 31-Dec-91 22.070 -21.23% 5.02 37.53% 417.09 26.31% 1991 17.23% 31-Dec-92 12.500 -43.36% 5.77 14.94% 435.71 4.46% 1992 -4.87% 31-Dec-93 14.010 12.08% 7.28 26.17% 466.45 7.06% 1993 13.09% 30-Dec-94 18.230 30.12% 7.29 0.14% 459.27 -1.54% 1994 6.80% 29-Dec-95 22.660 24.30% 10.59 45.27% 615.93 34.11% 1995 34.45% 31-Dec-96 37.580 65.84% 14.85 40.23% 740.74 20.26% 1996 36.65% 31-Dec-97 51.900 38.11% 22.42 50.98% 970.43 31.01% 1997 37.77% 31-Dec-98 91.470 76.24% 31.62 41.03% 1229.23 26.67% 1998 42.65% 31-Dec-99 107.030 17.01% 48.56 53.57% 1469.25 19.53% 1999 27.41% 29-Dec-00 84.340 -21.20% 45.64 -6.01% 1320.28 -10.14% 2000 -11.87% 31-Dec-01 120.020 42.30% 38.76 -15.07% 1148.08 -13.04% 2001 0.29% 31-Dec-02 77.210 -35.67% 24.16 -37.67% 879.82 -23.37% 2002 -30.02% μIBM= 15.38% μGE= 20.93% μMF= 10.11% μp= 14.13% 0 σIBM= 37.12% σGE= 28.23% σMF= 18.22% σp= 21.82% 0 covI-G= 0.0465 covG-M= 0.0493 covI-M= 0.0302 μp= 14.13% 0 ρI-G= 0.4435 ρG-M= 0.9586 ρI-M= 0.4469 σp= 21.82% 02.投资组合的收益 3.相关性和比例 完全正相关 资产A 资产B 组合P 权重 0.5 0.5 1998 15.00% 1.00% 8.00% 1999 12.00% -2.00% 5.00% 2000 18.00% 4.00% 11.00% 2001 12.00% -2.00% 5.00% 2002 15.00% 1.00% 8.00% μ= 14.40% 0.40% 7.40% σ= 2.24% 2.24% 2.24% ρ= 1 cov= 0.0005 用公式计算均值： 7.40% 0 用公式计算 标准 excel标准偏差excel标准偏差函数exl标准差函数国标检验抽样标准表免费下载红头文件格式标准下载 差： 2.24% 0 完全负相关 资产A 资产B 组合P 权重 0.5 0.5 1998 10.00% -3.00% 3.50% 1999 4.00% 3.00% 3.50% 2000 18.00% -11.00% 3.50% 2001 6.00% 1.00% 3.50% 2002 16.00% -9.00% 3.50% μ= 10.80% -3.80% 3.50% σ= 5.46% 5.46% 0.00% ρ= -1 cov= -0.0030 用公式计算均值： 3.50% 0 用公式计算标准差： 0.00% 0 正相关 资产A 资产B 组合P 权重 0.5 0.5 1998 15.00% 0.00% 7.50% 1999 12.00% 2.00% 7.00% 2000 18.00% 8.00% 13.00% 2001 12.00% -8.00% 2.00% 2002 15.00% 15.00% 15.00% μ= 14.40% 3.40% 8.90% σ= 2.24% 7.74% 4.63% ρ= 0.6011591172 cov= 0.0010 用公式计算均值： 8.90% 0 用公式计算标准差： 4.63% 0 投资组合中资产比例的影响 IBM% μP σP 0.00% 20.93% 28.23% 10.00% 20.37% 27.26% 20.00% 19.82% 26.72% 30.00% 19.26% 26.64% 40.00% 18.71% 27.03% 50.00% 18.15% 27.86% 60.00% 17.60% 29.10% 70.00% 17.04% 30.70% 80.00% 16.49% 32.60% 90.00% 15.93% 34.76% 100.00% 15.38% 37.12% 3.35% 20.74% 27.86% 26.67% 19.45% 26.62%3.相关性和比例 资产A资产B组合P4.资产种数与组合风险 资产A资产B组合P5.有效前沿 公式说明:　　由于计算位数的限制，按照这里的公式计算出的方差是一个非常接近0的负值，所以为了求标准差，在方差的公式外加一负号，再开方求标准差。资产A资产B组合P标准差，σ平均收益率，μ6.资本市场线 1 49.24% 2 37.36% 4 29.69% 6 26.64% 8 24.98% 10 23.93% 20 21.68% 30 20.87% 40 20.46% 50 20.20% 100 19.69% 200 19.42% 300 19.34% 400 19.29% 500 19.27% 1000 19.21%说明:　　这点是具有与50:50比例组合相同标准差但收益率更高的点，在图中用方块表示。它是用Excel的“单变量求解”的方法求得的。说明:　　这点是曲线左侧顶端的点，在图中用三角表示。按照这个比例(IBM)组成的组合具有最小的标准差，也就是风险最小。这点是用Excel的“规划求解”工具求出的。6.资本市场线 投资组合中的证券数平均标准差7.夏普比率 两项资产组成的投资组合——预期收益率与风险的关系 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5 E(rB)= 25.00% σB= 30.00% ωA E(rP) σP 0.00% 25.00% 30.00% 10.00% 23.50% 26.06% 20.00% 22.00% 22.27% 30.00% 20.50% 18.73% 40.00% 19.00% 15.62% 50.00% 17.50% 13.23% 60.00% 16.00% 12.00% 70.00% 14.50% 12.29% 80.00% 13.00% 14.00% 90.00% 11.50% 16.70% 100.00% 10.00% 20.00% 最小方差组合： 63.16% 15.53% 11.92% 63.16% 15.53% 1.42% 0 0 63.16% 0.00% 两项完全负相关资产组成的投资组合 E(rA)= 10.00% σA= 20.00% covAB= -0.06 ρAB= -1 E(rB)= 25.00% σB= 30.00% ωA E(rP) σP 0.00% 25.00% 30.00% 10.00% 23.50% 25.00% 20.00% 22.00% 20.00% 30.00% 20.50% 15.00% 40.00% 19.00% 10.00% 50.00% 17.50% 5.00% 60.00% 16.00% 0.00% 70.00% 14.50% 5.00% 80.00% 13.00% 10.00% 90.00% 11.50% 15.00% 100.00% 10.00% 20.00% 两项完全正相关资产组成的投资组合 E(rA)= 10.00% σA= 20.00% covAB= 0.06 ρAB= 1 E(rB)= 25.00% σB= 30.00% ωA E(rP) σP 0.00% 25.00% 30.00% 10.00% 23.50% 29.00% 20.00% 22.00% 28.00% 30.00% 20.50% 27.00% 40.00% 19.00% 26.00% 50.00% 17.50% 25.00% 60.00% 16.00% 24.00% 70.00% 14.50% 23.00% 80.00% 13.00% 22.00% 90.00% 11.50% 21.00% 100.00% 10.00% 20.00%7.夏普比率 E(rP)σPE(rP)8.Beta&SML -0.2123483226 0.3753424658 -0.433620299 0.1494023904 0.1208 0.2616984402 0.301213419 0.0013736264 0.243006034 0.4526748971 0.6584289497 0.402266289 0.381053752 0.5097643098 0.7624277457 0.4103479037 0.1701104187 0.5357368754 -0.2119966365 -0.0601317957 0.4230495613 -0.1507449606 -0.3566905516 -0.37667698663-Index E(rP)σPE(rP)IRX E(rP)σPE(rP)9.计算Beta 风险资产组合中的无风险资产 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5 rF= 5% E(rB)= 25.00% σB= 30.00% ωA E(rPF) σP (A+B)% E(rPF) σPF 0.00% 25.00% 30.00% 0.00% 5.0% 0.00% 10.00% 23.50% 26.06% 10.00% 5.8% 1.40% 20.00% 22.00% 22.27% 20.00% 6.6% 2.80% 30.00% 20.50% 18.73% 30.00% 7.4% 4.20% 40.00% 19.00% 15.62% 40.00% 8.2% 5.60% 50.00% 17.50% 13.23% 50.00% 9.0% 7.00% 60.00% 16.00% 12.00% 60.00% 9.8% 8.40% 70.00% 14.50% 12.29% 70.00% 10.6% 9.80% 80.00% 13.00% 14.00% 80.00% 11.4% 11.20% 90.00% 11.50% 16.70% 90.00% 12.2% 12.60% 100.00% 10.00% 20.00% 100.00% 13.0% 14.00% 任意给定风险资产组合： 80.00% 13.00% 14.00% 资本市场线和市场组合 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5 rF= 5% E(rB)= 25.00% σB= 30.00% ωA E(rP) σP (A+B)% E(rPF) σPF 0.00% 25.00% 30.00% 0.00% 5.0% 0.00% 10.00% 23.50% 26.06% 10.00% 6.2% 1.28% 20.00% 22.00% 22.27% 20.00% 7.4% 2.56% 30.00% 20.50% 18.73% 30.00% 8.6% 3.84% 40.00% 19.00% 15.62% 40.00% 9.9% 5.12% 50.00% 17.50% 13.23% 50.00% 11.1% 6.40% 60.00% 16.00% 12.00% 60.00% 12.3% 7.68% 70.00% 14.50% 12.29% 70.00% 13.5% 8.96% 80.00% 13.00% 14.00% 80.00% 14.7% 10.24% 90.00% 11.50% 16.70% 90.00% 15.9% 11.51% 100.00% 10.00% 20.00% 100.00% 17.1% 12.79% 市场组合： 52.50% 17.13% 12.79% S&P500的资本市场线 风险资产M(S&P500) 无风险资产F E(rD)= 4.90% σD= 15.31% rF= 3.00% ωD E(r) σ 0.00% 3.00% 0.00% 10.00% 3.19% 1.53% 20.00% 3.38% 3.06% 30.00% 3.57% 4.59% 40.00% 3.76% 6.13% 50.00% 3.95% 7.66% 60.00% 4.14% 9.19% 70.00% 4.33% 10.72% 80.00% 4.52% 12.25% 90.00% 4.71% 13.78% 100.00% 4.90% 15.31% 110.00% 5.09% 16.84% 120.00% 5.28% 18.38% 130.00% 5.47% 19.91% 140.00% 5.66% 21.44% 150.00% 5.85% 22.97%说明:　　这里是使用Excel的“规划求解”工具计算出的最小方差组合。9.计算Beta 1 110.投资组合的Beta E(rPF)σPFE(rPF) E(rP)σPFE(rPF) E(r)σE(r) 风险资产组合 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5 rF= 5% E(rB)= 25.00% σB= 30.00% ωA E(rP) σP 0.00% 25.00% 30.00% 10.00% 23.50% 26.06% 20.00% 22.00% 22.27% 30.00% 20.50% 18.73% 40.00% 19.00% 15.62% 50.00% 17.50% 13.23% 60.00% 16.00% 12.00% 70.00% 14.50% 12.29% 80.00% 13.00% 14.00% 90.00% 11.50% 16.70% 100.00% 10.00% 20.00% 计算夏普比率： ωA E(rM) σM 52.50% 17.13% 12.79% 市场组合M RP 12.13% 0.00% SHARPE 94.77% 0.00%说明:　　超过100%的比例意味着以rF为利率购买风险资产。风险溢酬说明:　　市场组合是通过计算夏普比率并求其最大值得到的，参见工作表“7.夏普比率”。数据来源:　　道·琼斯工业平均指数平均收益率和标准差的数据是基于1963~2002共40年间的历史数据而计算的，这些历史数据和计算结果显示在本文件的的工作表“9.计算Beta”中数据来源:　　道·琼斯工业平均指数平均收益率和标准差的数据是基于1963~2002共40年间的历史数据而计算的，这些历史数据和计算结果显示在本文件的的工作表“9.计算Beta”中。 E(rP)σPFE(rPF) 风险资产组合 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5 rF= 5% E(rB)= 25.00% σB= 30.00% 市场组合： ωA E(rM) σM RP SHARPE βM 52.50% 17.13% 12.79% 12.13% 94.77% 0.00% 1.00 0.00% 0.00% 计算风险系数β和证券市场线： ωA E(rP) σP covPM= βP E(rP) 0.00% 25.00% 30.00% 0.0270 1.65 25.00% 10.00% 23.50% 26.06% 0.0250 1.53 23.50% 20.00% 22.00% 22.27% 0.0230 1.40 22.00% 30.00% 20.50% 18.73% 0.0209 1.28 20.50% 40.00% 19.00% 15.62% 0.0189 1.15 19.00% 50.00% 17.50% 13.23% 0.0169 1.03 17.50% 60.00% 16.00% 12.00% 0.0149 0.91 16.00% 70.00% 14.50% 12.29% 0.0128 0.78 14.50% 80.00% 13.00% 14.00% 0.0108 0.66 13.00% 90.00% 11.50% 16.70% 0.0088 0.54 11.50% 100.00% 10.00% 20.00% 0.0067 0.41 10.00% 0.00% 0.00% 0.00% 三项资产的风险资产组合 E(rA)= 10.00% σA= 20.00% covAB= -0.03 ρAB= -0.5000 rF= 5.00% E(rB)= 25.00% σB= 30.00% covBC= 0.01 ρBC= 0.0667 E(rC)= 40.00% σC= 50.00% covAC= -0.02 ρAC= -0.2000 最小方差组合： ωMVA 59% ωMVB 32% ωMVC 8% E(rMV)= 17.37% 0 σMV= 11.08% 0 市场组合： ωMA 48% ωMB 36% ωMC 16% E(rM)= 20.30% 0 σM= 12.32% 0 RP 15.30% 0 SHARPE 1.2415 0 任意组合： ωA 30% ωB 30% ωC 40% covPM= 2.13% 0 beta= 1.4057 0 E(rP)= 26.50% 0 E(rP)= 26.50% 0 可能组合： ωA ωB ωC E(r) σ covPM beta E(r) 100% 0% 0% 10.00% 20.00% 0.50% 0.3269 10.00% 90% 10% 0% 11.50% 16.70% 0.65% 0.4250 11.50% 80% 20% 0% 13.00% 14.00% 0.79% 0.5230 13.00% 70% 30% 0% 14.50% 12.29% 0.94% 0.6211 14.50% 60% 40% 0% 16.00% 12.00% 1.09% 0.7192 16.00% 50% 50% 0% 17.50% 13.23% 1.24% 0.8172 17.50% 40% 60% 0% 19.00% 15.62% 1.39% 0.9153 19.00% 30% 70% 0% 20.50% 18.73% 1.54% 1.0134 20.50% 20% 80% 0% 22.00% 22.27% 1.69% 1.1115 22.00% 10% 90% 0% 23.50% 26.06% 1.84% 1.2095 23.50% 0% 100% 0% 25.00% 30.00% 1.98% 1.3076 25.00% 90% 0% 10% 13.00% 17.69% 0.79% 0.5230 13.00% 80% 10% 10% 14.50% 14.56% 0.94% 0.6211 14.50% 70% 20% 10% 16.00% 12.21% 1.09% 0.7192 16.00% 60% 30% 10% 17.50% 11.14% 1.24% 0.8172 17.50% 50% 40% 10% 19.00% 11.70% 1.39% 0.9153 19.00% 40% 50% 10% 20.50% 13.71% 1.54% 1.0134 20.50% 30% 60% 10% 22.00% 16.64% 1.69% 1.1115 22.00% 20% 70% 10% 23.50% 20.10% 1.84% 1.2095 23.50% 10% 80% 10% 25.00% 23.85% 1.98% 1.3076 25.00% 0% 90% 10% 26.50% 27.78% 2.13% 1.4057 26.50% 80% 0% 20% 16.00% 17.09% 1.09% 0.7192 16.00% 70% 10% 20% 17.50% 14.53% 1.24% 0.8172 17.50% 60% 20% 20% 19.00% 12.96% 1.39% 0.9153 19.00% 50% 30% 20% 20.50% 12.77% 1.54% 1.0134 20.50% 40% 40% 20% 22.00% 14.00% 1.69% 1.1115 22.00% 30% 50% 20% 23.50% 16.34% 1.84% 1.2095 23.50% 20% 60% 20% 25.00% 19.39% 1.98% 1.3076 25.00% 10% 70% 20% 26.50% 22.87% 2.13% 1.4057 26.50% 0% 80% 20% 28.00% 26.61% 2.28% 1.5037 28.00% 70% 0% 30% 19.00% 18.36% 1.39% 0.9153 19.00% 60% 10% 30% 20.50% 16.61% 1.54% 1.0134 20.50% 50% 20% 30% 22.00% 15.91% 1.69% 1.1115 22.00% 40% 30% 30% 23.50% 16.37% 1.84% 1.2095 23.50% 30% 40% 30% 25.00% 17.92% 1.98% 1.3076 25.00% 20% 50% 30% 26.50% 20.30% 2.13% 1.4057 26.50% 10% 60% 30% 28.00% 23.26% 2.28% 1.5037 28.00% 0% 70% 30% 29.50% 26.61% 2.43% 1.6018 29.50% 60% 0% 40% 22.00% 21.17% 1.69% 1.1115 22.00% 50% 10% 40% 23.50% 20.17% 1.84% 1.2095 23.50% 40% 20% 40% 25.00% 20.10% 1.98% 1.3076 25.00% 30% 30% 40% 26.50% 20.95% 2.13% 1.4057 26.50% 20% 40% 40% 28.00% 22.63% 2.28% 1.5037 28.00% 10% 50% 40% 29.50% 24.96% 2.43% 1.6018 29.50% 0% 60% 40% 31.00% 27.78% 2.58% 1.6999 31.00% 50% 0% 50% 25.00% 25.00% 1.98% 1.3076 25.00% 40% 10% 50% 26.50% 24.58% 2.13% 1.4057 26.50% 30% 20% 50% 28.00% 24.92% 2.28% 1.5037 28.00% 20% 30% 50% 29.50% 26.00% 2.43% 1.6018 29.50% 10% 40% 50% 31.00% 27.73% 2.58% 1.6999 31.00% 0% 50% 50% 32.50% 30.00% 2.73% 1.7979 32.50% 40% 0% 60% 28.00% 29.46% 2.28% 1.5037 28.00% 30% 10% 60% 29.50% 29.44% 2.43% 1.6018 29.50% 20% 20% 60% 31.00% 30.07% 2.58% 1.6999 31.00% 10% 30% 60% 32.50% 31.29% 2.73% 1.7979 32.50% 0% 40% 60% 34.00% 33.05% 2.88% 1.8960 34.00% 30% 0% 70% 31.00% 34.31% 2.58% 1.6999 31.00% 20% 10% 70% 32.50% 34.58% 2.73% 1.7979 32.50% 10% 20% 70% 34.00% 35.40% 2.88% 1.8960 34.00% 0% 30% 70% 35.50% 36.72% 3.03% 1.9941 35.50% 20% 0% 80% 34.00% 39.40% 2.88% 1.8960 34.00% 10% 10% 80% 35.50% 39.89% 3.03% 1.9941 35.50% 1.9941 0 0% 20% 80% 37.00% 40.84% 3.18% 2.0922 37.00% 10% 0% 90% 37.00% 44.64% 3.18% 2.0922 37.00% 0% 10% 90% 38.50% 45.30% 3.32% 2.1902 38.50% 0% 0% 100% 40.00% 50.00% 3.47% 2.2883 40.00% 0 0 0 0 0rFσPFRPα说明:　　此处的市场组合是用Excel中的“规划求解”工具使夏普比率最大化求得的。 E(rP)βE(rP)证券市场线SML 风险溢酬无风险利率σσE(r)风险系数，βE(r)证券市场线，SML Year S&P500 DJIA30 NHB 2002 879.82 8341.63 1456.48 2001 1148.08 10021.60 1710.52 2000 1320.28 10788.00 1750.24 1999 1469.25 11497.10 1616.69 1998 1229.23 9181.40 1321.61 1997 970.43 7908.30 1134.95 1996 740.74 6448.30 859.91 1995 615.93 5117.10 730.50 1994 459.27 3834.40 547.08 1993 466.45 3754.10 546.46 1992 435.71 3301.10 456.45 1991 417.09 3168.80 417.66 1990 330.22 2633.70 279.28 1989 353.40 2753.20 353.62 1988 277.72 2168.60 313.04 1987 247.08 1950.10 275.19 1986 242.17 1896.00 299.83 1985 211.28 1546.70 273.37 1984 167.24 1211.60 222.20 1983 164.93 1258.60 243.55 1982 140.64 1046.50 179.32 ρSP-DJIA ρDJIA-NHB ρSP-NHB 0.9935 0.9869 0.9693说明:　　这一列是按照CAPM公式计算的收益率，请将它与C列中对应数据进行对照，由此可以验证CAPM公式。说明:　　这里是用beta系数叠加原理计算的结果，可以与G106中的结果比较。公式中的AA、BB、CC是A、B、C三项资产各自的beta，分别位于3个黄色单元格中。命名：“CC”命名：“AA”命名：“BB” S&P500DJIA30NHB Date Close Close 30-May-03 1.09 29-May-03 1.08 平均 4.2747200332 28-May-03 1.09 标准误差 0.0292279986 27-May-03 1.06 中值 4.91 23-May-03 1.05 模式 4.99 22-May-03 1.05 标准偏差 1.4351512833 21-May-03 1.05 样本方差 2.0596592058 20-May-03 1.00 峰值 -0.1969995348 19-May-03 1.02 偏斜度 -1.0399868539 16-May-03 1.02 区域 5.22 15-May-03 1.03 最小值 1 14-May-03 1.04 最大值 6.22 13-May-03 1.06 求和 10306.3500000001 12-May-03 1.07 计数 2411 9-May-03 1.08 置信度(95.0%) 0.0573145821 8-May-03 1.07 7-May-03 1.09 6-May-03 1.08 5-May-03 1.09 2-May-03 1.10 1-May-03 1.08 30-Apr-03 1.10 29-Apr-03 1.12 28-Apr-03 1.11 25-Apr-03 1.12 24-Apr-03 1.13 23-Apr-03 1.15 22-Apr-03 1.15 21-Apr-03 1.15 17-Apr-03 1.15 16-Apr-03 1.15 15-Apr-03 1.16 14-Apr-03 1.16 11-Apr-03 1.15 10-Apr-03 1.12 9-Apr-03 1.11 8-Apr-03 1.13 7-Apr-03 1.13 4-Apr-03 1.08 3-Apr-03 1.09 2-Apr-03 1.10 1-Apr-03 1.10 31-Mar-03 1.09 28-Mar-03 1.11 27-Mar-03 1.13 26-Mar-03 1.15 25-Mar-03 1.15 24-Mar-03 1.15 21-Mar-03 1.16 20-Mar-03 1.14 19-Mar-03 1.13 18-Mar-03 1.12 17-Mar-03 1.12 14-Mar-03 1.10 13-Mar-03 1.10 12-Mar-03 1.07 11-Mar-03 1.06 10-Mar-03 1.06 7-Mar-03 1.10 6-Mar-03 1.15 5-Mar-03 1.15 4-Mar-03 1.16 3-Mar-03 1.17 28-Feb-03 1.17 27-Feb-03 1.18 26-Feb-03 1.18 25-Feb-03 1.17 24-Feb-03 1.17 21-Feb-03 1.17 20-Feb-03 1.16 19-Feb-03 1.16 18-Feb-03 1.15 14-Feb-03 1.15 13-Feb-03 1.15 12-Feb-03 1.15 11-Feb-03 1.15 10-Feb-03 1.15 7-Feb-03 1.14 6-Feb-03 1.14 5-Feb-03 1.15 4-Feb-03 1.15 3-Feb-03 1.15 31-Jan-03 1.15 30-Jan-03 1.15 29-Jan-03 1.15 28-Jan-03 1.15 27-Jan-03 1.14 24-Jan-03 1.13 23-Jan-03 1.14 22-Jan-03 1.14 21-Jan-03 1.15 17-Jan-03 1.15 16-Jan-03 1.16 15-Jan-03 1.17 14-Jan-03 1.17 13-Jan-03 1.17 10-Jan-03 1.17 9-Jan-03 1.18 8-Jan-03 1.17 7-Jan-03 1.17 6-Jan-03 1.18 3-Jan-03 1.19 2-Jan-03 1.19 31-Dec-02 1.18 30-Dec-02 1.16 27-Dec-02 1.13 26-Dec-02 1.15 24-Dec-02 1.16 23-Dec-02 1.16 20-Dec-02 1.18 19-Dec-02 1.18 18-Dec-02 1.18 17-Dec-02 1.19 16-Dec-02 1.20 13-Dec-02 1.19 12-Dec-02 1.18 11-Dec-02 1.18 10-Dec-02 1.19 9-Dec-02 1.20 6-Dec-02 1.18 5-Dec-02 1.19 4-Dec-02 1.20 3-Dec-02 1.20 2-Dec-02 1.21 29-Nov-02 1.20 27-Nov-02 1.21 26-Nov-02 1.20 25-Nov-02 1.20 22-Nov-02 1.20 21-Nov-02 1.20 20-Nov-02 1.20 19-Nov-02 1.19 18-Nov-02 1.20 15-Nov-02 1.20 14-Nov-02 1.19 13-Nov-02 1.19 12-Nov-02 1.19 11-Nov-02 1.20 8-Nov-02 1.20 7-Nov-02 1.20 6-Nov-02 1.21 5-Nov-02 1.39 4-Nov-02 1.41 1-Nov-02 1.40 31-Oct-02 1.42 30-Oct-02 1.47 29-Oct-02 1.47 28-Oct-02 1.55 25-Oct-02 1.60 24-Oct-02 1.62 23-Oct-02 1.64 22-Oct-02 1.66 21-Oct-02 1.66 18-Oct-02 1.63 17-Oct-02 1.63 16-Oct-02 1.62 15-Oct-02 1.62 14-Oct-02 1.54 11-Oct-02 1.55 10-Oct-02 1.54 9-Oct-02 1.53 8-Oct-02 1.57 7-Oct-02 1.58 4-Oct-02 1.57 3-Oct-02 1.53 2-Oct-02 1.54 1-Oct-02 1.55 30-Sep-02 1.53 27-Sep-02 1.60 26-Sep-02 1.62 25-Sep-02 1.62 24-Sep-02 1.61 23-Sep-02 1.62 20-Sep-02 1.61 19-Sep-02 1.62 18-Sep-02 1.64 17-Sep-02 1.66 16-Sep-02 1.66 13-Sep-02 1.65 12-Sep-02 1.65 11-Sep-02 1.65 10-Sep-02 1.63 9-Sep-02 1.64 6-Sep-02 1.62 5-Sep-02 1.58 4-Sep-02 1.59 3-Sep-02 1.61 30-Aug-02 1.64 29-Aug-02 1.64 28-Aug-02 1.64 27-Aug-02 1.64 26-Aug-02 1.62 23-Aug-02 1.62 22-Aug-02 1.61 21-Aug-02 1.60 20-Aug-02 1.58 19-Aug-02 1.62 16-Aug-02 1.59 15-Aug-02 1.58 14-Aug-02 1.60 13-Aug-02 1.60 12-Aug-02 1.63 9-Aug-02 1.58 8-Aug-02 1.58 7-Aug-02 1.56 6-Aug-02 1.61 5-Aug-02 1.60 2-Aug-02 1.59 1-Aug-02 1.64 31-Jul-02 1.66 30-Jul-02 1.68 29-Jul-02 1.68 26-Jul-02 1.65 25-Jul-02 1.66 24-Jul-02 1.64 23-Jul-02 1.66 22-Jul-02 1.67 19-Jul-02 1.67 18-Jul-02 1.69 17-Jul-02 1.69 16-Jul-02 1.67 15-Jul-02 1.67 12-Jul-02 1.67 11-Jul-02 1.68 10-Jul-02 1.69 9-Jul-02 1.68 8-Jul-02 1.69 5-Jul-02 1.68 3-Jul-02 1.68 2-Jul-02 1.68 1-Jul-02 1.68 28-Jun-02 1.66 27-Jun-02 1.66 26-Jun-02 1.66 25-Jun-02 1.69 24-Jun-02 1.69 21-Jun-02 1.68 20-Jun-02 1.69 19-Jun-02 1.67 18-Jun-02 1.69 17-Jun-02 1.69 14-Jun-02 1.67 13-Jun-02 1.68 12-Jun-02 1.70 11-Jun-02 1.71 10-Jun-02 1.71 7-Jun-02 1.71 6-Jun-02 1.71 5-Jun-02 1.72 4-Jun-02 1.72 3-Jun-02 1.72 31-May-02 1.71 30-May-02 1.71 29-May-02 1.72 28-May-02 1.72 24-May-02 1.71 23-May-02 1.70 22-May-02 1.70 21-May-02 1.70 20-May-02 1.71 17-May-02 1.72 16-May-02 1.74 15-May-02 1.73 14-May-02 1.74 13-May-02 1.73 10-May-02 1.73 9-May-02 1.73 8-May-02 1.73 7-May-02 1.71 6-May-02 1.73 3-May-02 1.72 2-May-02 1.73 1-May-02 1.72 30-Apr-02 1.73 29-Apr-02 1.72 26-Apr-02 1.70 25-Apr-02 1.70 24-Apr-02 1.68 23-Apr-02 1.70 22-Apr-02 1.68 19-Apr-02 1.70 18-Apr-02 1.67 17-Apr-02 1.69 16-Apr-02 1.70 15-Apr-02 1.67 12-Apr-02 1.67 11-Apr-02 1.67 10-Apr-02 1.67 9-Apr-02 1.69 8-Apr-02 1.71 5-Apr-02 1.72 4-Apr-02 1.74 3-Apr-02 1.75 2-Apr-02 1.76 1-Apr-02 1.76 28-Mar-02 1.74 27-Mar-02 1.78 26-Mar-02 1.79 25-Mar-02 1.78 22-Mar-02 1.80 21-Mar-02 1.81 20-Mar-02 1.81 19-Mar-02 1.80 18-Mar-02 1.82 15-Mar-02 1.82 14-Mar-02 1.81 13-Mar-02 1.79 12-Mar-02 1.80 11-Mar-02 1.79 8-Mar-02 1.77 7-Mar-02 1.75 6-Mar-02 1.74 5-Mar-02 1.75 4-Mar-02 1.75 1-Mar-02 1.75 28-Feb-02 1.72 27-Feb-02 1.73 26-Feb-02 1.73 25-Feb-02 1.73 22-Feb-02 1.72 21-Feb-02 1.72 20-Feb-02 1.72 19-Feb-02 1.70 15-Feb-02 1.70 14-Feb-02 1.71 13-Feb-02 1.71 12-Feb-02 1.71 11-Feb-02 1.70 8-Feb-02 1.67 7-Feb-02 1.69 6-Feb-02 1.70 5-Feb-02 1.72 4-Feb-02 1.72 1-Feb-02 1.71 31-Jan-02 1.72 30-Jan-02 1.69 29-Jan-02 1.70 28-Jan-02 1.69 25-Jan-02 1.68 24-Jan-02 1.67 23-Jan-02 1.67 22-Jan-02 1.64 18-Jan-02 1.58 17-Jan-02 1.60 16-Jan-02 1.57 15-Jan-02 1.56 14-Jan-02 1.54 11-Jan-02 1.59 10-Jan-02 1.65 9-Jan-02 1.65 8-Jan-02 1.65 7-Jan-02 1.66 4-Jan-02 1.68 3-Jan-02 1.69 2-Jan-02 1.70 31-Dec-01 1.67 28-Dec-01 1.68 27-Dec-01 1.70 26-Dec-01 1.71 24-Dec-01 1.69 21-Dec-01 1.66 20-Dec-01 1.64 19-Dec-01 1.67 18-Dec-01 1.68 17-Dec-01 1.71 14-Dec-01 1.68 13-Dec-01 1.66 12-Dec-01 1.64 11-Dec-01 1.61 10-Dec-01 1.68 7-Dec-01 1.65 6-Dec-01 1.71 5-Dec-01 1.73 4-Dec-01 1.71 3-Dec-01 1.74 30-Nov-01 1.73 29-Nov-