Just completed this portfolio 2 days ago for an investments class. Dont put much faith in it, it's mostly CAPM mumo-jumbo with too much emphasis put on past performance, but it could be interesting to follow how it does:
Bud 28.6%
GPS (9.9%)
PG 34.6%
BBY 28.3%
MCD (12.5%)
ORCL 6.5%
VMC 39.2%
F (23.9%)
BA 1.1%
LUV 6.8%
DIS (24.3%)
BP 23.6%
SPLS 1.9%
In parenthasies represents short positions, the weights should equal 1 if I typed it all correctly. Theoretically this portfolio should provide 2.5% expected monthly return with a St. Dev. of 5.2% monthly.
[ October 20, 2005, 09:35 PM: Message edited by: DJ FC ]
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