AXP

AXP
DIS
DO
GDT
HD
IBM
KBH
PFE
PG
UNP

1
0.490328
0.340654
0.316374
0.324615
0.398255
0.365834
0.343859
0.341521
0.321502

DIS
1
0.268511
0.436097
0.122605
0.38856
0.074758
0.4144
-0.04825
0.07963

DO

1
0.086243
0.03654
0.235128
0.160307
0.125978
0.091605
0.148895

GDT

1
0.136408
0.310901
0.407948
0.317084
0.177058
0.12305

HD

IBM

KBH

PFE

1
0.081022
1
0.324337 0.305951
1
0.101877 0.145822 0.259854
1
0.034852 -0.03842 0.23899 0.119237
-0.01691 -0.00229 0.161785 0.122725

PG

1
0.212273

UNP

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.114792
R Square
0.013177
Adjusted R Square
-0.07653
Standard Error
0.102594
Observations
13

0.03
0.03

ANOVA

0.02

Regression
Residual
Total

SS
MS
F
Significance F
1 0.001546 0.001546 0.146884 0.708834
11 0.11578 0.010525
12 0.117327

0.02
0.01
UNP

df

0.01
0.00

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper
95.0%
0.000000
-0.01
Intercept 0.005546 0.02879 0.192619 0.850768 -0.05782 0.068913 -0.05782 0.068913
S&P 500
-0.22373 0.583768 -0.38325 0.708834
-1.5086 1.061132
-1.5086-0.01
1.061132
-0.02
-0.02

RESIDUAL OUTPUT
Observation
Predicted UNPResiduals
1 0.005632 0.086019
2 0.024548 -0.03742
3 0.007719 0.191366
4 0.018591 -0.03915
5 -0.00694 -0.07718
6 0.010274 0.146277
7 0.001278 -0.12694
8 0.011556 -0.00761
9 0.013517 0.058329
10
-0.015 0.045628
11 0.011133
-0.0719
12 0.018006 -0.10148
13 -0.00637 -0.06595

S&P 500 Line Fit Plot

y = -0.0008x + 0.013
UNP
Predicted UNP

Upper 95.0% 5.000000

10.000000

S&P 500

15.000000

Linear (Predicted UNP)

Li nhun thng ca tng c phiu (5 nm)

Thi gian
Nov-00
Oct-00
Sep-00
Aug-00
Jul-00
Jun-00
May-00
Apr-00
Mar-00
Feb-00
Jan-00
Dec-99
Nov-99
Oct-99
Sep-99
Aug-99
Jul-99
Jun-99
May-99
Apr-99
Mar-99
Feb-99
Jan-99
Dec-98
Nov-98
Oct-98
Sep-98
Aug-98
Jul-98
Jun-98
May-98
Apr-98
Mar-98
Feb-98
Jan-98
Dec-97
Nov-97
Oct-97
Sep-97
Aug-97
Jul-97
Jun-97
May-97

AXP
0.000000
-0.084375
-0.011059
0.029387
0.041069
0.089195
-0.034722
0.083612
0.005506
0.109921
-0.185508
-0.007548
0.100309
-0.018871
0.142567
-0.018181
0.043644
0.012488
0.076767
-0.073649
0.109875
0.087237
0.054678
0.005931
0.024361
0.135863
0.138469
-0.004806
-0.293319
-0.029668
0.110640
0.004281
0.115399
0.019430
0.076178
-0.062324
0.134477
0.011219
-0.044705
0.053055
-0.071642
0.127569
0.071943

DIS
0.006889
-0.191971
-0.063725
-0.018053
0.010131
-0.006442
-0.080000
-0.032952
0.057577
0.213236
-0.063684
0.241454
0.049328
0.061051
0.021342
-0.063061
0.006802
-0.105478
0.057942
-0.082678
0.020081
-0.115454
0.066288
0.099999
-0.067961
0.194898
0.063756
-0.075173
-0.203267
-0.015298
-0.072297
-0.090817
0.168567
-0.046343
0.047367
0.080996
0.042793
0.152502
0.023269
0.049634
-0.049500
0.008715
-0.019847

DO
0.180124
-0.308548
-0.246940
0.076707
0.261025
-0.090722
-0.126912
0.026446
0.217659
0.381892
0.047537
-0.075729
-0.047519
-0.093551
-0.183478
0.035947
0.312163
0.171960
-0.172018
-0.128737
0.395241
0.416916
-0.124926
0.036883
-0.314610
-0.120667
0.381470
-0.323356
-0.587637
-0.368938
-0.215687
0.050444
0.103415
0.019039
-0.043273
-0.109091
-0.283208
-0.084322
0.139462
0.156751
0.337769
0.285986
0.189807

GDT
0.133824
-0.019563
0.049243
0.010668
0.003979
0.026144
-0.035107
-0.006017
0.010444
0.061934
0.058743
0.257034
-0.061193
0.125001
-0.028741
-0.090689
0.085427
-0.074638
0.097996
-0.013032
0.001812
0.017699
-0.113726
0.073745
0.098428
0.040384
0.122032
0.128953
-0.170534
-0.028433
0.147239
0.049526
0.022709
-0.023531
0.040393
-0.026312
0.099476
0.097703
-0.075917
0.042877
0.035814
0.078625
0.094593

HD
0.165869
-0.087721
-0.187722
0.101431
-0.070512
0.036296
0.020462
-0.132743
-0.124030
0.122990
0.015453
-0.176364
0.302291
0.046163
0.103825
0.115854
-0.035615
-0.009699
0.139983
-0.053347
-0.040161
0.043458
-0.013430
-0.011235
0.230643
0.142037
0.102848
0.036066
-0.089555
0.008278
0.057279
0.127356
0.030498
0.058711
0.055781
0.027603
0.050169
0.005606
0.069545
0.104631
-0.052696
0.082878
0.093069

IBM
-0.090909
-0.049553
-0.125417
-0.146881
0.177404
0.024529
0.020970
-0.037560
-0.058073
0.152061
-0.084630
0.040561
0.046695
0.048981
-0.188018
-0.028600
-0.008948
-0.027563
0.114221
0.109053
0.180188
0.044183
-0.073669
-0.006101
0.116578
0.111956
0.155641
0.140955
-0.149999
0.154056
-0.022874
0.014026
0.115523
-0.005386
0.057596
-0.056152
-0.044520
0.111675
-0.070753
0.045622
-0.041370
0.171746
0.043353

KBH
0.073705
0.057155
0.104406
0.085642
0.272326
-0.011840
0.139391
-0.093801
-0.102044
0.120918
-0.115071
-0.103357
0.093221
0.106296
-0.027273
0.009174
-0.014307
-0.163318
0.031088
-0.004881
0.077562
0.002778
-0.199360
-0.019566
0.141439
-0.115962
0.218667
0.096492
-0.232803
-0.116601
0.231145
-0.119369
-0.105164
0.257211
0.012654
0.147633
0.034578
0.021109
-0.017293
0.084373
-0.060837
0.217086
0.161155

PFE
0.038082
0.028211
-0.038608
0.041289
-0.003269
-0.096354
0.078653
0.058446
0.152137
0.138130
-0.110008
0.115608
-0.114335
-0.075036
0.106271
-0.049669
0.117010
-0.067660
0.018692
-0.068277
-0.170720
0.051634
0.027559
0.029001
0.116693
0.044915
0.014778
0.137094
-0.151562
0.010350
0.036971
-0.077508
0.141691
0.126412
0.085069
0.096395
0.024911
0.027079
0.180872
0.084556
-0.070233
0.000812
0.160196

Apr-97
Mar-97
Feb-97
Jan-97
Dec-96
Nov-96
Oct-96
Sep-96
Aug-96
Jul-96
Jun-96
May-96
Apr-96
Mar-96
Feb-96
Jan-96
Dec-95

0.057032
0.102204
-0.087618
0.056336
0.099559
0.085594
0.111704
0.021070
0.057141
0.000000
-0.014708
-0.024592
-0.056702
-0.013302
0.076291
-0.002715
0.117846

0.001531
0.123792
-0.018519
0.018868
0.046473
-0.055839
0.121442
0.043305
0.109651
0.024718
-0.113612
0.034980
-0.020161
-0.027674
-0.024809
0.019455
0.091294

0.040777
0.083942
0.040510
0.024572
0.041665
-0.060782
0.143740
0.179546
0.151960
-0.126987
-0.010966
0.151440
0.100501
0.306118
0.129693
0.075413
0.274073

0.068592
0.114164
-0.038609
-0.054743
0.008736
0.026415
0.029128
0.005415
0.233169
0.097625
-0.152583
-0.004440
0.058823
-0.108031
0.039220
0.004377
0.023648

0.088364
0.084112
-0.020591
0.103529
-0.012463
-0.038373
-0.050114
-0.035160
0.070582
0.054591
-0.067130
0.056238
0.079159
-0.007861
0.104045
-0.059774
-0.036657

0.077882
0.169398
-0.045218
-0.083662
0.035478
-0.049412
0.235467
0.036145
0.088526
0.063953
0.085860
-0.072599
-0.009277
-0.031461
-0.092763
0.130188
0.187415

0.086069
0.056608
-0.061950
0.005488
0.097089
0.000000
0.079452
-0.076921
0.061229
0.037500
-0.181031
-0.025210
0.058671
-0.117188
0.040646
-0.034703
0.075626

0.076606
0.141154
-0.081855
-0.005742
0.114459
-0.073921
0.086875
0.045810
0.114435
0.016105
-0.016810
0.008834
0.032010
0.024168
0.020873
-0.034048
0.087300

PG
0.047579
0.048119
0.066231
0.083650
0.084704
0.004405
-0.146617
0.112971
0.052863
-0.354196
-0.130489
-0.077581
0.014468
0.029797
0.118667
-0.055416
0.095928
0.027660
-0.056225
-0.004664
-0.042119
0.094274
-0.015131
-0.004791
0.042083
-0.011980
0.246924
-0.070261
-0.036220
-0.128346
0.085693
0.020532
-0.025926
-0.005891
0.082935
-0.018011
0.047580
0.120404
-0.015385
0.037559
-0.124897
0.076991
0.024479

UNP
0.096093
-0.008000
0.203852
-0.015730
-0.079231
0.161343
-0.120805
0.008900
0.076680
0.035511
-0.055901
-0.078684
-0.067723
-0.155830
0.159949
-0.008792
-0.103567
-0.068595
0.025369
-0.046973
0.120469
0.144713
-0.088699
0.141469
-0.069447
0.020997
0.117301
0.076068
-0.052084
-0.045454
-0.086526
-0.116439
-0.027747
0.105837
-0.147918
-0.041915
0.053080
-0.022449
-0.021956
-0.029036
-0.094159
0.026857
0.037001

Li nhun
Danh mc
u t
0.065126
-0.061625
-0.024974
0.024811
0.069762
0.013655
-0.028469
-0.001270
0.028872
0.098239
-0.062356
0.013539
0.031554
0.007400
0.022511
-0.015343
0.049854
-0.030484
0.033381
-0.036718
0.065223
0.078744
-0.048042
0.034533
0.031821
0.044244
0.156189
0.014203
-0.196698
-0.056005
0.027158
-0.013797
0.053897
0.050549
0.026678
0.003882
0.015934
0.044053
0.016714
0.063002
-0.019175
0.107726
0.085575

S&P 500
0.004053
-0.080069
-0.004949
-0.053483
0.060699
-0.016341
0.023934
-0.021915
-0.030796
0.096720
-0.020108
-0.050904
0.057844
0.019062
0.062539
-0.028552
-0.006254
-0.032046
0.054438
-0.024970
0.037944
0.038794
-0.032283
0.041009
0.056375
0.059126
0.080294
0.062396
-0.145797
-0.011615
0.039438
-0.018826
0.009076
0.049946
0.070449
0.010150
0.015732
0.044587
-0.034478
0.053154
-0.057466
0.078146
0.043453

Tn phiu
kho bc
0.004442
0.004867
0.004767
0.004825
0.004892
0.004792
0.004858
0.004950
0.004833
0.004883
0.004867
0.004792
0.004592
0.004367
0.004267
0.004133
0.004092
0.003958
0.004017
0.003833
0.003708
0.003775
0.003733
0.003592
0.003600
0.003608
0.003292
0.003750
0.004117
0.004233
0.004275
0.004300
0.004250
0.004258
0.004200
0.004150
0.004367
0.004308
0.004308
0.004358
0.004392
0.004367
0.004483

0.096421
0.095861
-0.044745
0.038919
0.074332
-0.010345
0.098485
0.015385
0.097046
-0.004202
-0.015172
0.031294
0.039941
-0.002950
0.033537
-0.023810
0.012048

0.062745
0.123347
-0.051526
0.004166
-0.002080
0.039984
0.037861
0.136672
0.011271
0.063868
-0.019678
0.002506
0.029359
-0.007288
0.046429
-0.009382
0.009471

0.065602
0.109458
-0.041012
0.010773
0.050325
-0.013668
0.089404
0.037127
0.099501
0.022717
-0.050583
0.015845
0.031232
0.001453
0.037316
0.006500
0.084206

0.058577
0.058406
-0.042614
0.005928
0.061317
-0.021505
0.073376
0.026101
0.054203
0.018814
-0.045748
0.002257
0.022853
0.013431
0.007917
0.006934
0.032617

0.004617
0.004700
0.004558
0.004358
0.004417
0.004317
0.004283
0.004375
0.004583
0.004458
0.004600
0.004567
0.004442
0.004358
0.004217
0.003908
0.004017

Yu cu:
1. Tnh li nhun trung bnh, mc b p ri ro ca cc ti sn v danh mc
2. Xc nh phng sai, lch chun, gi tr ln nht, nh nht, trung v, mode v h s tng quan gia cc chng khon
3. Xc nh h s beta ca cc chng khon s dng s liu cho (li nhun thng)
4. Khi chy regression, v ng hi quy l thuyt
5.T kt qu chy hi quy, din gii ngha ca cc h s R-square, R, p-value ca h s gc

ng quan gia cc chng khon

Rj
-0.05
0.04
0.07
0.1
0.12

Nm
2003
2004
2005
2006
2007
Tng
Bnh qun

Rm
0.1
0.08
0.12
0.2
0.15

Rf
0.06
0.06
0.06
0.06
0.06

(Rj-Rf) = R Rm - Rf = M
-0.11
0.04
-0.02
0.02
0.01
0.06
0.04
0.14
0.06
0.09
-0.02
0.35
-0.004
0.07

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.65666
R Square
0.431203
Adjusted R Square 0.241603
Standard Error
0.057963
Observations
5
ANOVA
df

SS
MS
1 0.007641 0.007641
3 0.010079 0.00336
4 0.01772

F
2.274285199

Significance F
0.2286549

Coefficients
Standard Error t Stat
-0.06923 0.050425 -1.37288
0.931818 0.617887 1.508073

P-value
0.26341422
0.2286549

Lower 95%
-0.2297021
-1.034572478

Regression
Residual
Total

Intercept
Rm - Rf = M

RESIDUAL OUTPUT
Observation
Predicted (Rj-Rf) =Residuals
R
1 -0.03195 -0.07805
2 -0.05059 0.030591
3 -0.01332 0.023318
4 0.061227 -0.02123
5 0.014636 0.045364

M2
MR
0.0016 -0.0044
0.0004 -0.0004
0.0036 0.0006
0.0196 0.0056
0.0081 0.0054
0.0333 0.0068
0.0067 0.00136

Rm - Rf = M Line Fit Plot

0.1
y = 0.9318x - 0.0692

0.05
(Rj-Rf) = R

(Rj-Rf) = R
0
0

0.05

0.1

Predicted (Rj-Rf) = R

-0.05
Linear (Predicted (RjRf) = R)

-0.1
-0.15

Upper 95% Lower 95.0%Upper 95.0%

0.0912476 -0.2297021 0.091248
2.8982088 -1.0345725 2.898209

0.15

Rm - Rf = M

ar (Predicted (Rj-

0.1
(Rj-Rf) = R

dicted (Rj-Rf) = R

Rm - Rf = M Line Fit Plot

0.05
0
-0.05 0

0.05

0.1

(Rj-Rf) = R
Predicted (Rj-Rf) = R

-0.1
-0.15

0.15

Rm - Rf = M

(Rj-Rf) = R
Predicted (Rj-Rf) = R