Date

Adj Close
CapitaLand

1-Sep-14
25-Aug-14
18-Aug-14
11-Aug-14
4-Aug-14
28-Jul-14
21-Jul-14
14-Jul-14
7-Jul-14
30-Jun-14
23-Jun-14
16-Jun-14
9-Jun-14
2-Jun-14
26-May-14
19-May-14

3.36
3.32
3.37
3.33
3.35
3.43
3.33
3.26
3.23
3.18
3.21
3.22
3.23
3.2
3.19
3.21

12-May-14
5-May-14
28-Apr-14
21-Apr-14
14-Apr-14
7-Apr-14
31-Mar-14
24-Mar-14
17-Mar-14
10-Mar-14

3.12
3.07
3.14
3.16
3.1
2.85
2.89
2.75
2.67
2.68

3.84
3.83
3.74
3.75
3.7
3.62
3.64
3.64
3.5
3.51

13
12.79
12.5
12.65
12.88
12.43
13.58
13.35
14.18
13.94

3,262.59

3-Mar-14

2.76

3.61

13.66

3,136.26

24-Feb-14

2.78

3.59

13.47

3,110.78

B.

SMRT
12.41
12.45
12.92
13.3
13.24
12.8
13.34
13.46
13.56
14.23
13.83
13.78
13.7
13.94
13.45
13.4

STI

Singtel
3.9
3.88
3.84
3.9
3.88
4.01
3.96
3.95
3.86
3.84
3.87
3.79
3.84
3.85
3.88
3.84

3,314.13
3,327.09
3,325.50
3,314.77
3,288.89
3,344.42
3,350.17
3,310.53
3,293.73
3,272.25
3,271.05
3,258.80
3,293.25
3,299.43
3,295.85
3,278.02
3,252.13
3,252.55
3,267.57
3,253.80
3,198.22
3,212.72
3,172.17
3,073.39
3,073.72

Discrete Rate of Return

CapitaLand
Singtel
1.1905%
0.5128%
-1.5060%
1.0309%
1.1869%
-1.5625%
-0.6006%
0.5128%
-2.3881%
-3.3505%
2.9155%
1.2469%
2.1021%
0.2525%
0.9202%
2.2785%
1.5480%
0.5181%
-0.9434%
-0.7813%
-0.3115%
2.0672%
-0.3106%
-1.3193%
0.9288%
-0.2604%
0.3125%
-0.7792%
-0.6270%
1.0309%
2.8037%
0.0000%
1.6026%
0.2604%
-2.2801%
2.3499%
-0.6369%
-0.2674%
1.8987%
1.3333%
8.0645%
2.1622%
-1.4035%
-0.5525%
4.8443%
0.0000%
2.9091%
3.8462%
-0.3745%
-0.2857%
-2.9851%
-2.8490%
-0.7246%
0.5540%

crete Rate of Return

SMRT
-0.3223%
-3.7751%
-2.9412%
0.4511%
3.3233%
-4.2188%
-0.8996%
-0.7429%
-4.9410%
2.8110%
0.3615%
0.5806%
-1.7518%
3.5151%
0.3717%
2.9851%
1.6154%
2.2674%
-1.2000%
-1.8182%
3.4938%
-9.2518%
1.6937%
-6.2172%
1.6925%
2.0086%
1.3909%

STI
-0.3911%
0.0478%
0.3227%
0.7807%
-1.6884%
-0.1719%
1.1832%
0.5075%
0.6521%
0.0367%
0.3745%
-1.0571%
-0.1877%
0.1085%
0.5410%
0.4707%
0.3206%
-0.0129%
-0.4618%
0.4214%
1.7082%
-0.4534%
1.2622%
3.1140%
-0.0107%
-2.0347%
0.8124%

Continuosly compounded rate of return

CapitaLand
Singtel
SMRT
STI
1.1976%
0.5141% -0.3218% -0.3903%
-1.4948%
1.0363% -3.7056% 0.0478%
1.1940%
-1.5504% -2.8988% 0.3232%
-0.5988%
0.5141% 0.4521% 0.7838%
-2.3600%
-3.2956% 3.3797% -1.6743%
2.9588%
1.2547% -4.1322% -0.1718%
2.1245%
0.2528% -0.8955% 1.1903%
0.9245%
2.3048% -0.7402% 0.5088%
1.5601%
0.5195% -4.8228% 0.6543%
-0.9390%
-0.7782% 2.8512% 0.0367%
-0.3110%
2.0888% 0.3622% 0.3752%
-0.3101%
-1.3106% 0.5822% -1.0516%
0.9331%
-0.2601% -1.7367% -0.1875%
0.3130%
-0.7762% 3.5783% 0.1086%
-0.6250%
1.0363% 0.3724% 0.5425%
2.8438%
0.0000% 3.0305% 0.4718%
1.6155%
0.2608% 1.6286% 0.3211%
-2.2545%
2.3779% 2.2935% -0.0129%
-0.6349%
-0.2670% -1.1929% -0.4607%
1.9170%
1.3423% -1.8019% 0.4223%
8.4083%
2.1859% 3.5563% 1.7229%
-1.3938%
-0.5510% -8.8485% -0.4524%
4.9656%
0.0000% 1.7082% 1.2702%
2.9522%
3.9221% -6.0316% 3.1635%
-0.3738%
-0.2853% 1.7070% -0.0107%
-2.9414%
-2.8092% 2.0291% -2.0142%
-0.7220%
0.5556% 1.4007% 0.8158%

Arithmetic mean (based on Discrete rate of returns)

Capitaland Singtel
SMRT
STI
0.6717%
0.2944% -0.3525% 0.2294%
Variances
CapitaLand Singtel
SMRT
STI
0.0540%
0.0237% 0.0992% 0.0096%

Geometric mean
Capitaland
1.1905%

ometric mean
Singtel
SMRT
STI
0.5128% -0.3223% -0.3911%

CapitaLand
Singtel
SMRT
STI

CapitaLand
0.000539727
0.000153206
1.88519E-006
0.000149774

Singtel
SMRT
0.000153 1.88519E-006
0.000237 -0.000127608
-0.000128 0.0009924751
0.000114 -5.86448E-005

STI
0.0001497739
0.0001138078
-5.86448E-005
9.606737E-005

CapitaLand
CapitaLand
Singtel
SMRT
STI

1
0.4280855248
0.002575774
0.6577500158

Singtel
SMRT
STI
0.428086 0.002576 0.65775
1 -0.262941 0.753748
-0.262941
1 -0.189925
0.753748 -0.189925
1

Capitaland
Singtel
SMRT
STI

Arithmetic mean
Geometric mean
Difference Variance
0.6717%
1.1905%
-0.5188%
0.0540%
0.2944%
0.5128%
-0.2184%
0.0237%
-0.3525%
-0.3223%
-0.0302%
0.0992%
0.2294%
-0.3911%
-0.6205%
0.0096%

0.0590%

Risk and Return

0.1200%
0.1000%
0.0992%
0.0800%
0.0600%

Arithmetic Mean

0.0540%

0.0400%
0.0200%
-0.5000%

0.0000%
0.0000%

0.0237%
0.0096%
0.5000%
Variance

1.0000%

CapitaLand
4
3.5
3
2.5
Stock Price

2
1.5
1
0.5
0
3-Mar-14

3-Apr-14

3-May-14

3-Jun-14

3-Jul-14

3-Aug-14

3-Jul-14

3-Aug-14

Singtel
4.1
4
3.9
3.8
3.7
Stock Price

3.6
3.5
3.4
3.3
3.2
3-Mar-14

3-Apr-14

3-May-14

3-Jun-14

540%

SMRT
14.5

1.0000%

14
13.5
Stock Price

Column D

13
12.5
12
11.5
3-Mar-14

3-May-14

3-Jul-14

STI
3,400.00
3,350.00
3,300.00

STI

Stock Price

3,400.00
3,350.00
3,300.00
3,250.00
3,200.00
3,150.00
3,100.00
3,050.00
3,000.00
2,950.00
2,900.00
3-Mar-14

3-May-14

3-Jul-14

Aug-14

Aug-14

Column D

Date
1-Sep-14
25-Aug-14
18-Aug-14
11-Aug-14
4-Aug-14
28-Jul-14
21-Jul-14
14-Jul-14
7-Jul-14
30-Jun-14
23-Jun-14
16-Jun-14
9-Jun-14
2-Jun-14
26-May-14
19-May-14
12-May-14
5-May-14
28-Apr-14
21-Apr-14
14-Apr-14
7-Apr-14
31-Mar-14
24-Mar-14
17-Mar-14
10-Mar-14
3-Mar-14
24-Feb-14

Discrete Rate of Return

CapitaLand
Singtel
SMRT
STI
1.1905%
0.5128% -0.3223% -0.3911%
-1.5060%
1.0309% -3.7751% 0.0478%
1.1869%
-1.5625% -2.9412% 0.3227%
-0.6006%
0.5128% 0.4511% 0.7807%
-2.3881%
-3.3505% 3.3233% -1.6884%
2.9155%
1.2469% -4.2188% -0.1719%
2.1021%
0.2525% -0.8996% 1.1832%
0.9202%
2.2785% -0.7429% 0.5075%
1.5480%
0.5181% -4.9410% 0.6521%
-0.9434%
-0.7813% 2.8110% 0.0367%
-0.3115%
2.0672% 0.3615% 0.3745%
-0.3106%
-1.3193% 0.5806% -1.0571%
0.9288%
-0.2604% -1.7518% -0.1877%
0.3125%
-0.7792% 3.5151% 0.1085%
-0.6270%
1.0309% 0.3717% 0.5410%
2.8037%
0.0000% 2.9851% 0.4707%
1.6026%
0.2604% 1.6154% 0.3206%
-2.2801%
2.3499% 2.2674% -0.0129%
-0.6369%
-0.2674% -1.2000% -0.4618%
1.8987%
1.3333% -1.8182% 0.4214%
8.0645%
2.1622% 3.4938% 1.7082%
-1.4035%
-0.5525% -9.2518% -0.4534%
4.8443%
0.0000% 1.6937% 1.2622%
2.9091%
3.8462% -6.2172% 3.1140%
-0.3745%
-0.2857% 1.6925% -0.0107%
-2.9851%
-2.8490% 2.0086% -2.0347%
-0.7246%
0.5540% 1.3909% 0.8124%

Weights
CapitaLand
Singtel
SMRT
Portfolio Returns

Rate of Return
33.33%
0.6717%
33.33%
0.2944%
33.33%
-0.3525%

0.2045%

Weekly Rate of Return

-0.6905%
-1.1386%
0.0252%
1.0784%
-3.3188%
1.0875%
0.5372%
-0.5807%
1.6255%
-0.4543%
0.7787%
-1.1271%
1.3943%
-0.0317%
1.1296%
1.4729%
1.3767%
-0.3767%
-0.9074%
2.2417%
0.3249%
-0.0874%
-0.4576%
2.8156%
0.4494%
-1.4809%
-0.0569%

Variance

Weekly Rate of

0.0166%

10.0000%
5.0000%

Rate of Return

0.0000%
3-Mar-14

3-Jun-

-5.0000%
-10.0000%
-15.0000%

Weekly Rate of
4.0000%
3.0000%
2.0000%
1.0000%
Rate of Return

0.0000%
3-Mar-14
-1.0000%
-2.0000%
-3.0000%
-4.0000%

3-May-14

Weekly Rate of Return

0.0000%

5.0000%

0.0000%
3-Mar-14

CapitaLand
Singtel
3-Jun-14

SMRT
Portfolio

5.0000%

0.0000%

5.0000%

Weekly Rate of Return

000%

000%

000%

Portfolio

000%

000%
3-Mar-14
000%

000%

000%

000%

STI
3-May-14

3-Jul-14

Date
1-Sep-14
25-Aug-14
18-Aug-14
11-Aug-14
4-Aug-14
28-Jul-14
21-Jul-14
14-Jul-14
7-Jul-14
30-Jun-14
23-Jun-14
16-Jun-14
9-Jun-14
2-Jun-14
26-May-14
19-May-14
12-May-14
5-May-14
28-Apr-14
21-Apr-14
14-Apr-14
7-Apr-14
31-Mar-14
24-Mar-14
17-Mar-14
10-Mar-14
3-Mar-14
24-Feb-14

SGS 6 Month Treasury Bills

Yield (Annualised)
Yield (Weekly)
0.31
0.0059615385
0.31
0.0059615385
0.31
0.0059615385
0.31
0.0059615385
0.31
0.0059615385
0.31
0.0059615385
0.31
0.0059615385
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.32
0.0061538462
0.33
0.0063461538
0.33
0.0063461538
0.32
0.0061538462
0.32
0.0061538462
0.33
0.0063461538
0.34
0.0065384615
0.34
0.0065384615
0.31
0.0059615385
0.31
0.0059615385
0.30
0.0057692308
0.31
0.0059615385
0.31
0.0059615385

Date
1-Sep-14
25-Aug-14
18-Aug-14
11-Aug-14
4-Aug-14
28-Jul-14
21-Jul-14
14-Jul-14
7-Jul-14
30-Jun-14
23-Jun-14
16-Jun-14
9-Jun-14
2-Jun-14
26-May-14
19-May-14
12-May-14
5-May-14
28-Apr-14
21-Apr-14
14-Apr-14
7-Apr-14
31-Mar-14
24-Mar-14
17-Mar-14
10-Mar-14
3-Mar-14
24-Feb-14

Excess Return
CapitaLand
Singtel
SMRT
STI
Portfolio
0.005943223 -0.000833 -0.009185 -0.009872 -0.012867
-0.02102178 0.004348 -0.043713 -0.005484 -0.017348
0.005907898 -0.021587 -0.035373 -0.002735 -0.00571
-0.01196754 -0.000833 -0.00145 0.001846 0.004822
-0.02984214 -0.039467 0.027271 -0.022846 -0.039149
0.02319298 0.006507 -0.048149 -0.007681 0.004913
0.015059483 -0.003436 -0.014957 0.005871 -0.00059
0.003048608 0.016631 -0.013583 -0.001079 -0.011961
0.00932603 -0.000972 -0.055564 0.000368 0.010101
-0.01558781 -0.013966 0.021956 -0.005787 -0.010697
-0.00926911 0.014518 -0.002539 -0.002409 0.001633
-0.00925944 -0.019346 -0.000348 -0.016725 -0.017425
0.00313408 -0.008758 -0.023672 -0.00803 0.00779
-0.00302885 -0.013946 0.028997 -0.005069 -0.00647
-0.01242344 0.004155 -0.002436 -0.000744 0.005142
0.021883537 -0.006154 0.023697 -0.001447 0.008575
0.009679487 -0.003742 0.009808 -0.00314 0.00742
-0.02914746 0.017153 0.016328 -0.006475 -0.010113
-0.01252327 -0.008828 -0.018154 -0.010772 -0.015228
0.012833496 0.007179 -0.024336 -0.00194 0.016263
0.074299007 0.015275 0.028592 0.010735 -0.003097
-0.02057355 -0.012063 -0.099057 -0.011072 -0.007413
0.041904445 -0.006538 0.010398 0.006083 -0.011114
0.023129371
0.0325 -0.068134 0.025178 0.022195
-0.00970686 -0.008819 0.010964 -0.006069 -0.001467
-0.03561998 -0.034259 0.014317 -0.026116 -0.020578
-0.01320792 -0.000421 0.007948 0.002163 -0.00653

Date
1-Sep-14
25-Aug-14
18-Aug-14
11-Aug-14
4-Aug-14
28-Jul-14
21-Jul-14
14-Jul-14
7-Jul-14
30-Jun-14
23-Jun-14
16-Jun-14
9-Jun-14
2-Jun-14
26-May-14
19-May-14
12-May-14
5-May-14
28-Apr-14
21-Apr-14
14-Apr-14
7-Apr-14
31-Mar-14
24-Mar-14
17-Mar-14
10-Mar-14
3-Mar-14

Excess Return
CapitaLand
Singtel
SMRT
STI
0.0059432234 -0.000833333 -0.009184746 -0.009872067
-0.0210217794 0.00434774 -0.043712542 -0.005483643
0.0059078977 -0.021586538 -0.035373303 -0.002734956
-0.0119675445 -0.000833333 -0.00145026 0.0018459414
-0.0298421355 -0.039466693 0.0272710899 -0.022845654
0.0231929805 0.006507289 -0.048149038 -0.00768082
0.0150594826 -0.003436286 -0.014957041 0.0058706969
0.0030486078 0.016630964 -0.013583267 -0.00107913
0.00932603 -0.000972499 -0.055563876 0.0003676356
-0.0155878084 -0.013966346 0.0219557814 -0.005787126
-0.009269111 0.014517988 -0.002538517 -0.002408871
-0.0092594362 -0.019346458 -0.000348331 -0.016725222
0.0031340795 -0.008758013 -0.023672094 -0.008030412
-0.0030288462 -0.013946054 0.0289967995 -0.00506881
-0.0124234386 0.004155432 -0.002436374 -0.000744013
0.021883537 -0.006153846 0.0236969001 -0.001446736
0.0096794872 -0.003741987 0.0098076923 -0.003140112
-0.0291474568 0.017152541 0.0163278102
-0.0064753
-0.0125232729 -0.008827643 -0.018153846 -0.010771761
0.0128334956 0.007179487 -0.024335664 -0.001939705
0.0742990074 0.015275468 0.0285917344 0.0107354123
-0.0205735493 -0.012063323 -0.099056563 -0.011072233
0.041904445 -0.006538462
0.01039821 0.0060832422
0.0231293706
0.0325 -0.068133823 0.0251780285
-0.0097068568 -0.008818681 0.0109637084 -0.006068912
-0.035619977 -0.034259259 0.0143168524 -0.026115912
-0.0132079153 -0.000421372 0.0079476856 0.002162788
0.0161625167 -0.085703219 -0.260375022 -0.103247652

CapitaLand vs STI
0.1
0.08
0.06

CapitaLand vs

0.04
0.02
0
-0.03

-0.02

-0.01

-0.02

0.01

0.02

-0.04
-0.06

Singtel VS STI
0.04
0.03
0.02

0.03

Singtel VS STI
0.04
0.03
0.02
0.01

Singtel V

0
-0.03

-0.02

-0.01

-0.01 0

0.01

0.02

0.03

-0.02
-0.03
-0.04
-0.05

SMRT VS STI
0.04
0.02
0
-0.03

-0.02

-0.01

-0.02

0.01

0.02

0.03

SMRT V

-0.04
-0.06
-0.08
-0.1
-0.12

Portfolio
VS STI
0.03
0.02
0.01
0
-0.03

-0.02

-0.01

-0.01

0.01

0.02

0.03

-0.02
-0.03
-0.04
-0.05

Beta
Jensen's Alpha

CapitaLand
Singtel
SMRT
0.000625837 -0.128979346 -0.624536905
0.000399096 -0.004510317 -0.011904107

Portfolio V

Variance of Returns

CapitaLand
Singtel
SMRT
0.0540%
0.0237%
0.0992%

Systematic Risk
Unsystematic Risk

Capitaland
Singtel
SMRT
0.0000%
0.0017%
0.0037%
0.0540%
0.0221%
0.0956%

Portfolio
-0.01286686
-0.017347975
-0.005709659
0.0048223256
-0.039149303
0.0049133222
-0.000589791
-0.011960854
0.0101014784
-0.010697103
0.0016327368
-0.017424869
0.0077895609
-0.006470393
0.0051418349
0.0085750906
0.0074203933
-0.010113313
-0.015227953
0.016263433
-0.003096918
-0.0074128
-0.011114463
0.0221948771
-0.001467447
-0.020578267
-0.006530218
-0.108903135

CapitaLand
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.000852
R Square
7.25E-007
Adjusted R Square
-0.041666
Standard Error
0.024555
Observations
26
ANOVA
df
Regression
Residual
Total

SS
MS
1 1.05E-008 1.05E-008
24 0.014471 0.000603
25 0.014471

Coefficients
Standard Error t Stat
Intercept
0.000399 0.005029 0.079359
-0.0091847456 0.000626 0.149981 0.004173

Singtel
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.264551
R Square
0.069987
Adjusted R Square
0.031237
Standard Error
0.015713
Observations
26
ANOVA
df

CapitaLand vs STI

0.03

Regression
Residual
Total

SS
MS
1 0.000446 0.000446
24 0.005926 0.000247
25 0.006371

Coefficients
Standard Error t Stat
Intercept
-0.00451 0.003218 -1.40157
-0.0091847456 -0.128979 0.095973 -1.34391
SMRT
SUMMARY OUTPUT
Regression Statistics

Singtel VS STI

Multiple R
R Square
Adjusted R Square
Standard Error
Observations

0.192176
0.036932
-0.003196
0.032797
26

ANOVA

0.03

df
Regression
Residual
Total

SS
MS
1 0.00099 0.00099
24 0.025815 0.001076
25 0.026805

Coefficients
Standard Error t Stat
Intercept
-0.011904 0.006844 -1.739416
-0.009872067 -0.624537
0.651 -0.95935
Portfolio
SUMMARY OUTPUT

02

0.03

SMRT VS STI

Regression Statistics
Multiple R
0.669852
R Square
0.448702
Adjusted R Square
0.425731 0.551298
Standard Error
0.009858
Observations
26
ANOVA
df
Regression
Residual
Total

SS
MS
1 0.001898 0.001898
24 0.002332 9.72E-005
25 0.00423

Coefficients
Standard Error t Stat
Intercept
-0.000588 0.002057 -0.285818
-0.009872067 0.86479 0.195668 4.419684
0.03

Portfolio VS STI

Portfolio
0.8647896063
-0.000587925

Portfolio
0.0166%
Portfolio
0.0075%
0.0092%

F
Significance F
1.74E-005 0.996705115

P-value
Lower 95% Upper 95% Lower 95.0% Upper 95.0%
0.937405 -0.009980207 0.0107784 -0.009980207 0.0107783996
0.996705 -0.308920496 0.31017217 -0.308920496
0.31017217

F
Significance F
1.806095 0.191545321

P-value
Lower 95% Upper 95% Lower 95.0% Upper 95.0%
0.173844 -0.01115204 0.00213141 -0.01115204 0.0021314055
0.191545 -0.327058228 0.06909954 -0.327058228
0.069099536

F
Significance F
0.920352 0.346948383

P-value
Lower 95% Upper 95% Lower 95.0% Upper 95.0%
0.094774 -0.026028886 0.00222067 -0.026028886 0.0022206724
0.346948 -1.968135341 0.71906153 -1.968135341 0.7190615297

F
Significance F
19.53361 0.000181684

P-value
Lower 95% Upper 95% Lower 95.0% Upper 95.0%
0.77747 -0.004833336 0.00365749 -0.004833336 0.0036574867
0.000182 0.46095122 1.26862799 0.46095122 1.2686279931

Systematic Risk
Unsystematic Risk

Capitaland
0.000539727
Proportion
Variance
7.2550E-007 3.91571E-010
0.999999275 0.000539727

Jensen's Alpha
Beta

0.000399096
0.000625837

Variance of Return

Variance of Return
Systematic Risk
Unsystematic Risk
Jensen's Alpha
Beta

Variance of Return
Systematic Risk
Unsystematic Risk
Jensen's Alpha
Beta

Singtel
0.00023731
Proportion
Variance
0.069987163 1.66086E-005
0.930012837 0.0002207013
-0.00451032
-0.12897935
SMRT
0.000992475
Proportion
Variance
0.036931739 3.66538E-005
0.963068261 0.0009558212
-0.01190411
-0.62453691

Systematic Risk
Unsystematic Risk

Portfolio
0.000166295
Proportion
Variance
0.448701768 7.46167E-005
0.551298232 9.16779E-005

Jensen's Alpha
Beta

-0.00058792
0.864789606

Variance of Return