Performance Measurement Worksheet

(see instructions)

Inputs

Values (one row per observation):

Bills   Index  SBEqPlus  FidMag
199401    0.26    3.38    3.97    3.95
199402    0.23   -2.71   -3.21   -0.73
199403    0.26   -4.39   -5.45   -4.64
199404    0.27    1.29    1.21    1.00
199405    0.31    1.63    1.50   -1.15
199406    0.32   -2.47   -2.48   -4.34
199407    0.35    3.28    2.95    3.35
199408    0.37    4.08    4.06    4.74
199409    0.37   -2.45   -2.09   -2.60
199410    0.40    2.25    3.13    3.38
199411    0.41   -3.65   -3.32   -5.48
199412    0.46    1.46    2.16    1.41
199501    0.48    2.58    2.27   -1.02
199502    0.44    3.88    3.95    5.61
199503    0.50    2.95    2.98    3.74
199504    0.48    2.94    2.95    4.65
199505    0.50    3.95    4.48    2.80
199506    0.48    2.31    1.55    7.62
199507    0.48    3.30    3.74    7.68
199508    0.47    0.25    0.57    0.87
199509    0.45    4.23    4.41    1.83
199510    0.47   -0.36   -0.47   -2.56
199511    0.45    4.38    4.11    2.22
199512    0.47    1.93    1.33   -1.08
199601    0.46    3.39    3.50    1.44
199602    0.41    0.92    1.16   -0.65
199603    0.43    0.96    1.15    1.00
199604    0.41    1.47    1.47    0.64
199605    0.43    2.54    2.17    0.45
199606    0.42    0.38    1.12   -0.09
199607    0.44   -4.42   -4.70   -4.65
199608    0.44    2.10    2.20    2.52
199609    0.43    5.61    5.61    4.01
199610    0.44    2.76    3.22    2.37
199611    0.42    7.56    7.11    6.47
199612    0.44   -1.96   -1.49   -1.97

Mean-variance utility function

Risk tolerance

Piecewise linear utility function

Relative disutility of a negative excess return

Output

Notes

Bills: Vanguard Money Market Reserves - Prime Portfolio Index: Vanguard Index 500 fund SBEqPlus: Smith-Breeden Equity Plus fund FidMag: Fidelity Magellan fund.