Black Litterman Model Results Market Portfolio SPY return
Black Litterman Model Results Market Portfolio = SPY return - RF Portfolio of 5 stocks chosen : • Amazon • Target • Patterson • IBM • Ebay
Views : delta = 1 Expected market return : 3% B-L weights obtained: 0. 84475 (SPY) 0. 15525 (5 stocks)
Summary statistics, using the observations 2008: 01 - 2011: 12 Mean Median Minimum Maximum MPORTret -5. 1458 e-006 0. 0043355 -0. 16599 0. 10915 APORTret 0. 0085326 0. 016737 -0. 21784 0. 15141 Port 1 -0. 025048 -0. 015994 -0. 37023 0. 26717 Portb 0. 00028901 0. 0051012 -0. 16777 0. 10775 Porta 2 0. 0013203 0. 0051703 -0. 17404 0. 10734 Porta 2 x. M 0. 0013255 0. 0020232 -0. 017841 0. 013903 Porta 2 xb 0. 0010313 0. 0015742 -0. 013882 0. 010818 Std. Dev. C. V. Skewness Ex. kurtosis MPORTret 0. 059501 11563. -0. 42280 -0. 096541 APORTret 0. 069368 8. 1298 -0. 90111 2. 0755 Port 1 0. 13494 5. 3873 -0. 12369 0. 086784 Portb 0. 059423 205. 60 -0. 43565 -0. 039250 Porta 2 0. 059402 44. 990 -0. 48677 0. 19703 Porta 2 x. M 0. 0061998 4. 6774 -0. 40325 0. 47156 Porta 2 xb 0. 0048239 4. 6774 -0. 40325 0. 47156
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