Asset Ticker BA XON GM MCD PG SP

Last Year Initial Fraction 0.19 0.18 0.23 0.07 0.13 0.2
Last Year Final Fraction 0.21 0.16 0.21 0.09 0.09 0.24
Current Year Fraction 0.11579 0 0.073547 0.224842 0.285821 0.3

Expected Return % 12.69604 9.9217 11.80725 13.54907 13.45906 13.04295

SD of Return % 19.05455 12.03149 24.7947 21.69084 21.80891 11.71033
Weighted SD of Return % 2.206317 0 1.823585 4.877013 6.233445 3.513099

Portfolio
Expected Annual Return % 13.14463
SD of Return% 13.00001

Constraints
Sum of Fractions 1
Max PF SD % 13
Max Asset Fraction 0.3

Max SD of Return % 10.44336 10.5 11 11.5 12 12.5 13

Expected Annual Return % 11.95277 12.02621 12.3496 12.59757 12.81061 13.00276 13.14463

Expected Annual Return %

13.5

f(x) = - 0.0872288961x^2 + 2.5020228669x - 4.6400901648

13 R² = 0.9993740721

12.5

12

11.5

11
10 10.5 11 11.5 12 12.5 13 13.5 14 14.
 Product of Weighted SD
BA XON GM MCD PG SP
BA 4.867835 0 4.023406 10.76024 13.75296 7.75101
XON 0 0 0 0 0 0
GM 4.023406 0 3.325462 8.893648 11.36722 6.406434
MCD 10.76024 0 8.893648 23.78526 30.4006 17.13343
PG 13.75296 0 11.36722 30.4006 38.85584 21.89871
SP 7.75101 0 6.406434 17.13343 21.89871 12.34186

Covariances
BA XON GM MCD PG SP
BA 1 0.20559 0.21902 0.43523 0.25849 0.49609
XON 0.20559 1 0.11522 0.30249 0.21095 0.56073
GM 0.21902 0.11522 1 0.32526 -0.17682 0.36528
MCD 0.43523 0.30249 0.32526 1 0.14953 0.59082
PG 0.25849 0.21095 -0.17682 0.14953 1 0.55053
SP 0.49609 0.56073 0.36528 0.59082 0.55053 1

13.5 13.78611 14
13.23988 13.28493 13.28493

Return %

28669x - 4.6400901648

2.5 13 13.5 14 14.5

Microsoft Excel 16.0 Answer Report
Worksheet: [Endurance Investors.xlsx]Sheet1
Report Created: 14-08-2019 22:05:50
Result: Solver found a solution. All Constraints and optimality conditions are satisfied.
Solver Engine
Engine: GRG Nonlinear
Solution Time: 0.14 Seconds.
Iterations: 11 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001, Use Automatic Scaling
Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward, Require Bounds
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell (Max)

Cell Name Original Value Final Value
$B$11 Expected Annual Return % BA 12.026209652 13.1446290484

Variable Cells
Cell Name Original Value Final Value Integer
$B$4 Current Year Fraction BA 0.1193080384 0.1157895153 Contin
$C$4 Current Year Fraction XON 0.2954137479 0 Contin
$D$4 Current Year Fraction GM 0.1059216824 0.0735473637 Contin
$E$4 Current Year Fraction MCD 0.0329334544 0.2248420759 Contin
$F$4 Current Year Fraction PG 0.146423077 0.2858210451 Contin
$G$4 Current Year Fraction SP 0.3 0.3 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$B$12 SD of Return% BA 13.000009937 $B$12<=$B$16 Binding 0
$B$15 Sum of Fractions BA 1 $B$15=1 Binding 0
$B$4 Current Year Fraction BA 0.1157895153 $B$4<=$B$17 Not Binding 0.184210485
$C$4 Current Year Fraction XON 0 $C$4<=$B$17 Not Binding 0.3
$D$4 Current Year Fraction GM 0.0735473637 $D$4<=$B$17 Not Binding 0.226452636
$E$4 Current Year Fraction MCD 0.2248420759 $E$4<=$B$17 Not Binding 0.075157924
$F$4 Current Year Fraction PG 0.2858210451 $F$4<=$B$17 Not Binding 0.014178955
$G$4 Current Year Fraction SP 0.3 $G$4<=$B$17 Binding 0
Microsoft Excel 16.0 Sensitivity Report
Worksheet: [Endurance Investors.xlsx]Sheet1
Report Created: 14-08-2019 22:05:50

Variable Cells
Final Reduced
Cell Name Value Gradient
$B$4 Current Year Fraction BA 0.115789515 0
$C$4 Current Year Fraction XON 0 -1.285719378
$D$4 Current Year Fraction GM 0.073547364 0
$E$4 Current Year Fraction MCD 0.224842076 0
$F$4 Current Year Fraction PG 0.285821045 0
$G$4 Current Year Fraction SP 0.3 0.654208529

Constraints
Final Lagrange
Cell Name Value Multiplier
$B$12 SD of Return% BA 13.00000994 0.2180496575
$B$15 Sum of Fractions BA 1 10.112870059
Microsoft Excel 16.0 Limits Report
Worksheet: [Endurance Investors.xlsx]Sheet1
Report Created: 14-08-2019 22:05:50

Objective
Cell Name Value
$B$11 Expected Annual Return % BA 13.14462905

Variable Lower Objective Upper

Cell Name Value Limit Result Limit
$B$4 Current Year Fraction BA 0.115789515 0.115789515 13.14462905 0.115789515
$C$4 Current Year Fraction XON 0 0 13.14462905 0
$D$4 Current Year Fraction GM 0.073547364 0.073547364 13.14462905 0.073547364
$E$4 Current Year Fraction MCD 0.224842076 0.224842076 13.14462905 0.224842076
$F$4 Current Year Fraction PG 0.285821045 0.285821045 13.14462905 0.285821045
$G$4 Current Year Fraction SP 0.3 0.3 13.14462905 0.3
 Objective
Result
13.14462905
13.14462905
13.14462905
13.14462905
13.14462905
13.14462905
Asset Ticker BA XON GM MCD PG SP
Last Year Initial Fraction 0.19 0.18 0.23 0.07 0.13 0.2
Last Year Final Fraction 0.21 0.16 0.21 0.09 0.09 0.24
Current Year Fraction 0.21 0.01 0.100656 0.139344 0.24 0.3
Change in Fraction 1.034E-08 0.15 0.109344 0.049344 0.15 0.06
Expected Return % 12.69604 9.9217 11.80725 13.54907 13.45906 13.04295
SD of Return % 19.05455 12.03149 24.7947 21.69084 21.80891 11.71033
Weighted SD of Return % 4.001455 0.120315 2.495737 3.022487 5.234138 3.513099

Portfolio
Expected Annual Return % 12.72555
SD of Return% 12.5
Transaction Costs 0.259344

Constraints
Sum of Fractions 1
Max PF SD % 13
Max Asset Fraction 0.3
Max Change in Asset Fraction 0.15

Max SD of Return % 10.44336 10.5 11 11.5 12 12.5 13

Expected Annual Return % 11.70912 11.78688 12.09181 12.42498 12.57355 12.72555 12.72555

Expected Annual Return %

13
12.8
12.6 f(x) = - 0.1645677402x^2 + 4.2554445319x - 14.7743383159
R² = 0.9971859892
12.4
12.2
12
11.8
11.6
11.4
11.2
10 10.5 11 11.5 12 12.5 13 13.5
 Product of Weighted SD
BA XON GM MCD PG SP
BA 16.01164 0.481435 9.986579 12.09435 20.94417 14.05751
XON 0.481435 0.014476 0.300274 0.36365 0.629745 0.422678
GM 9.986579 0.300274 6.228702 7.543333 13.06303 8.76777
MCD 12.09435 0.36365 7.543333 9.13543 15.82012 10.6183
PG 20.94417 0.629745 13.06303 15.82012 27.3962 18.38805
SP 14.05751 0.422678 8.76777 10.6183 18.38805 12.34186

Covariances
BA XON GM MCD PG SP
BA 1 0.20559 0.21902 0.43523 0.25849 0.49609
XON 0.20559 1 0.11522 0.30249 0.21095 0.56073
GM 0.21902 0.11522 1 0.32526 -0.17682 0.36528
MCD 0.43523 0.30249 0.32526 1 0.14953 0.59082
PG 0.25849 0.21095 -0.17682 0.14953 1 0.55053
SP 0.49609 0.56073 0.36528 0.59082 0.55053 1

83159

13 13.5
Microsoft Excel 16.0 Answer Report
Worksheet: [Endurance Investors.xlsx]Sheet2
Report Created: 14-08-2019 22:24:35
Result: Solver found a solution. All Constraints and optimality conditions are satisfied.
Solver Engine
Engine: GRG Nonlinear
Solution Time: 0.032 Seconds.
Iterations: 1 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001, Use Automatic Scaling
Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Forward, Require Bounds
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%, Assume NonNegative

Objective Cell (Max)

Cell Name Original Value Final Value
$B$11 Expected Annual Return % BA 12.725552924 12.7255529236

Variable Cells
Cell Name Original Value Final Value Integer
$B$4 Current Year Fraction BA 0.2099999897 0.2099999897 Contin
$C$4 Current Year Fraction XON 0.01 0.01 Contin
$D$4 Current Year Fraction GM 0.1006560551 0.1006560551 Contin
$E$4 Current Year Fraction MCD 0.1393439552 0.1393439552 Contin
$F$4 Current Year Fraction PG 0.24 0.24 Contin
$G$4 Current Year Fraction SP 0.3 0.3 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$B$12 SD of Return% BA 12.500000659 $B$12<=$B$17 Not Binding 0.499999341
$B$16 Sum of Fractions BA 1 $B$16=1 Binding 0
$B$5 Change in Fraction BA 1.03405E-08 $B$5<=$B$19 Not Binding 0.14999999
$C$5 Change in Fraction XON 0.15 $C$5<=$B$19 Binding 0
$D$5 Change in Fraction GM 0.1093439449 $D$5<=$B$19 Not Binding 0.040656055
$E$5 Change in Fraction MCD 0.0493439552 $E$5<=$B$19 Not Binding 0.100656045
$F$5 Change in Fraction PG 0.15 $F$5<=$B$19 Binding 0
$G$5 Change in Fraction SP 0.06 $G$5<=$B$19 Not Binding 0.09
$B$4 Current Year Fraction BA 0.2099999897 $B$4<=$B$18 Not Binding 0.09000001
$C$4 Current Year Fraction XON 0.01 $C$4<=$B$18 Not Binding 0.29
$D$4 Current Year Fraction GM 0.1006560551 $D$4<=$B$18 Not Binding 0.199343945
$E$4 Current Year Fraction MCD 0.1393439552 $E$4<=$B$18 Not Binding 0.160656045
$F$4 Current Year Fraction PG 0.24 $F$4<=$B$18 Not Binding 0.06
$G$4 Current Year Fraction SP 0.3 $G$4<=$B$18 Binding 0
Microsoft Excel 16.0 Sensitivity Report
Worksheet: [Endurance Investors.xlsx]Sheet2
Report Created: 14-08-2019 22:24:36

Variable Cells
Final Reduced
Cell Name Value Gradient
$B$4 Current Year Fraction BA 0.20999999 0
$C$4 Current Year Fraction XON 0.01 0
$D$4 Current Year Fraction GM 0.100656055 0
$E$4 Current Year Fraction MCD 0.139343955 0
$F$4 Current Year Fraction PG 0.24 0
$G$4 Current Year Fraction SP 0.3 0.322290271

Constraints
Final Lagrange
Cell Name Value Multiplier
$B$12 SD of Return% BA 12.50000066 0
$B$16 Sum of Fractions BA 1 12.22065962
$B$5 Change in Fraction BA 1.03405E-08 0
$C$5 Change in Fraction XON 0.15 1.798959445
$D$5 Change in Fraction GM 0.109343945 0
$E$5 Change in Fraction MCD 0.049343955 0
$F$5 Change in Fraction PG 0.15 0.738400509
$G$5 Change in Fraction SP 0.06 0
Microsoft Excel 16.0 Limits Report
Worksheet: [Endurance Investors.xlsx]Sheet2
Report Created: 14-08-2019 22:24:36

Objective
Cell Name Value
$B$11 Expected Annual Return % BA 12.72555292

Variable Lower Objective Upper

Cell Name Value Limit Result Limit
$B$4 Current Year Fraction BA 0.20999999 0.20999999 12.72555292 0.20999999
$C$4 Current Year Fraction XON 0.01 0.01 12.72555292 0.01
$D$4 Current Year Fraction GM 0.100656055 0.100656055 12.72555292 0.100656055
$E$4 Current Year Fraction MCD 0.139343955 0.139343955 12.72555292 0.139343955
$F$4 Current Year Fraction PG 0.24 0.24 12.72555292 0.24
$G$4 Current Year Fraction SP 0.3 0.3 12.72555292 0.3
 Objective
Result
12.72555292
12.72555292
12.72555292
12.72555292
12.72555292
12.72555292