DJIA

Day
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

7-Aug-06
8-Aug-06
9-Aug-06
10-Aug-06
11-Aug-06
14-Aug-06
15-Aug-06
16-Aug-06
17-Aug-06
18-Aug-06
21-Aug-06
22-Aug-06
23-Aug-06
24-Aug-06
25-Aug-06
29-Aug-06
30-Aug-06
31-Aug-06
1-Sep-06
5-Sep-06
6-Sep-06
7-Sep-06
8-Sep-06
11-Sep-06
12-Sep-06
13-Sep-06
14-Sep-06
15-Sep-06
19-Sep-06
20-Sep-06
21-Sep-06
22-Sep-06
25-Sep-06
26-Sep-06
27-Sep-06
28-Sep-06
29-Sep-06
2-Oct-06
3-Oct-06
4-Oct-06
5-Oct-06
6-Oct-06

11219.38
11173.59
11076.18
11124.37
11088.02
11097.87
11230.26
11327.12
11334.96
11381.47
11345.04
11339.84
11297.9
11304.46
11284.05
11369.94
11382.91
11381.15
11464.15
11469.28
11406.2
11331.44
11392.11
11396.84
11498.09
11543.32
11527.39
11560.77
11540.91
11613.19
11533.23
11508.1
11575.81
11669.39
11689.24
11718.45
11679.07
11670.35
11727.34
11850.61
11866.69
11850.21

Exch Rate
FTSE-100 USD/GBP
5828.8
5818.1
5860.5
5823.4
5820.1
5870.9
5897.9
5896.6
5900.4
5903.4
5915.2
5902.6
5860
5869.1
5878.6
5888.3
5929.3
5906.1
5949.1
5981.7
5929.3
5858.1
5879.3
5850.8
5895.5
5892.2
5877.2
5877
5831.8
5866.2
5896.7
5822.3
5798.3
5873.6
5930.1
5971.3
5960.8
5957.8
5937.1
5966.5
6004.5
6001.2

1.9098
1.9072
1.9086
1.8918
1.897
1.8923
1.8955
1.9
1.8931
1.8796
1.897
1.8885
1.8937
1.8914
1.8862
1.8929
1.9059
1.9018
1.9034
1.8926
1.8806
1.874
1.8651
1.8625
1.8756
1.8746
1.8907
1.878
1.8868
1.8892
1.8969
1.9024
1.8993
1.8951
1.8883
1.8737
1.8682
1.885
1.8891
1.8841
1.8769
1.8697

42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86

10-Oct-06
11-Oct-06
12-Oct-06
13-Oct-06
16-Oct-06
17-Oct-06
18-Oct-06
19-Oct-06
20-Oct-06
23-Oct-06
24-Oct-06
25-Oct-06
26-Oct-06
27-Oct-06
30-Oct-06
31-Oct-06
1-Nov-06
2-Nov-06
6-Nov-06
7-Nov-06
8-Nov-06
9-Nov-06
10-Nov-06
13-Nov-06
14-Nov-06
15-Nov-06
16-Nov-06
17-Nov-06
20-Nov-06
21-Nov-06
22-Nov-06
24-Nov-06
27-Nov-06
28-Nov-06
29-Nov-06
30-Nov-06
1-Dec-06
4-Dec-06
5-Dec-06
6-Dec-06
7-Dec-06
8-Dec-06
11-Dec-06
12-Dec-06
13-Dec-06

11867.17
11852.13
11947.7
11960.51
11980.59
11950.02
11992.68
12011.73
12002.37
12116.91
12127.88
12134.68
12163.66
12090.26
12086.49
12080.73
12031.02
12018.54
12105.55
12156.77
12176.54
12103.3
12108.43
12131.88
12218.01
12251.71
12305.82
12342.55
12316.54
12321.59
12326.95
12280.17
12121.71
12136.44
12226.73
12221.93
12194.13
12283.85
12331.6
12309.25
12278.41
12307.48
12328.48
12315.58
12317.5

6072.7
6073.5
6121.3
6157.3
6172.4
6108.6
6150.4
6156
6155.2
6166.1
6182.5
6214.6
6184.8
6160.9
6126.8
6129.2
6149.6
6149.3
6224.5
6244
6239
6231.5
6208.4
6194.2
6186.6
6229.8
6254.9
6192
6204.5
6202.6
6160.3
6122.1
6050.1
6025.9
6084.4
6048.8
6021.5
6050.4
6086.4
6090.3
6131.5
6152.4
6159.8
6156.4
6192.5

1.8557
1.8565
1.8566
1.8555
1.8602
1.8693
1.867
1.8758
1.8805
1.872
1.8716
1.8769
1.8873
1.8967
1.9025
1.9073
1.907
1.9072
1.8965
1.909
1.9033
1.8988
1.912
1.9032
1.8936
1.8875
1.8891
1.8945
1.8973
1.8992
1.914
1.932
1.937
1.9474
1.9494
1.967
1.9807
1.9789
1.971
1.9703
1.9644
1.9667
1.9539
1.9664
1.9672

87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131

14-Dec-06
15-Dec-06
18-Dec-06
19-Dec-06
20-Dec-06
21-Dec-06
22-Dec-06
27-Dec-06
28-Dec-06
29-Dec-06
4-Jan-07
5-Jan-07
9-Jan-07
10-Jan-07
11-Jan-07
12-Jan-07
16-Jan-07
17-Jan-07
18-Jan-07
19-Jan-07
22-Jan-07
23-Jan-07
24-Jan-07
25-Jan-07
26-Jan-07
29-Jan-07
30-Jan-07
31-Jan-07
1-Feb-07
2-Feb-07
5-Feb-07
6-Feb-07
7-Feb-07
8-Feb-07
9-Feb-07
13-Feb-07
14-Feb-07
15-Feb-07
16-Feb-07
20-Feb-07
21-Feb-07
22-Feb-07
23-Feb-07
26-Feb-07
27-Feb-07

12416.76
12445.52
12441.27
12471.32
12463.87
12421.25
12343.21
12510.57
12501.52
12463.15
12480.69
12398.01
12416.6
12442.16
12514.98
12556.08
12582.59
12577.15
12567.93
12565.53
12477.16
12533.8
12621.77
12502.56
12487.02
12490.78
12523.31
12621.69
12673.68
12653.49
12661.74
12666.31
12666.87
12637.63
12580.83
12654.85
12741.86
12765.01
12767.57
12786.64
12738.41
12686.02
12647.48
12632.26
12216.24

6228
6260
6247.4
6203.9
6198.6
6183.7
6190
6245.2
6240.9
6220.8
6287
6220.1
6196.1
6160.7
6230.1
6239
6215.7
6204.5
6210.3
6237.2
6218.4
6227.6
6314.8
6269.3
6228
6239.9
6242
6203.1
6282.2
6310.9
6317.9
6346.3
6369.5
6346.4
6382.8
6381.8
6421.2
6433.3
6419.5
6412.3
6357.1
6380.9
6401.5
6434.7
6286.1

1.9627
1.952
1.9458
1.9627
1.9656
1.9619
1.9602
1.9552
1.9599
1.957
1.9447
1.9275
1.9406
1.9351
1.9415
1.9604
1.961
1.9714
1.9722
1.974
1.9763
1.9865
1.9655
1.9708
1.9596
1.9579
1.9614
1.9574
1.9705
1.9684
1.9601
1.9687
1.9701
1.9583
1.9484
1.9429
1.9607
1.9542
1.95
1.9571
1.9523
1.9525
1.9628
1.9631
1.9656

132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176

28-Feb-07
1-Mar-07
2-Mar-07
5-Mar-07
6-Mar-07
7-Mar-07
8-Mar-07
9-Mar-07
12-Mar-07
13-Mar-07
14-Mar-07
15-Mar-07
16-Mar-07
19-Mar-07
20-Mar-07
22-Mar-07
23-Mar-07
26-Mar-07
27-Mar-07
28-Mar-07
29-Mar-07
30-Mar-07
2-Apr-07
3-Apr-07
4-Apr-07
5-Apr-07
10-Apr-07
11-Apr-07
12-Apr-07
13-Apr-07
16-Apr-07
17-Apr-07
18-Apr-07
19-Apr-07
20-Apr-07
23-Apr-07
24-Apr-07
25-Apr-07
26-Apr-07
27-Apr-07
2-May-07
8-May-07
9-May-07
10-May-07
11-May-07

12268.63
12234.34
12114.1
12050.41
12207.59
12192.45
12260.7
12276.32
12318.62
12075.96
12133.4
12159.68
12110.41
12226.17
12288.1
12461.14
12481.01
12469.07
12397.29
12300.36
12348.75
12354.35
12382.3
12510.93
12530.05
12560.83
12573.85
12484.62
12552.96
12612.13
12720.46
12773.04
12803.84
12808.63
12961.98
12919.4
12953.94
13089.89
13105.5
13120.94
13211.88
13309.07
13362.87
13215.13
13326.22

6171.5
6116
6116.2
6058.7
6138.5
6156.5
6227.7
6245.2
6233.3
6161.2
6000.7
6133.2
6130.6
6189.4
6220.3
6318
6339.4
6291.9
6292.6
6267.2
6324.2
6308
6315.5
6366.1
6364.7
6397.3
6417.8
6413.3
6416.4
6462.4
6516.2
6497.8
6449.4
6440.6
6486.8
6479.7
6429.5
6461.9
6469.4
6418.7
6484.5
6550.4
6549.6
6524.1
6565.7

1.96
1.9576
1.9442
1.926
1.9255
1.9305
1.9301
1.9319
1.9291
1.9321
1.9337
1.9365
1.9424
1.9461
1.9579
1.9673
1.9632
1.9685
1.9653
1.9654
1.963
1.9613
1.9777
1.9785
1.9772
1.9718
1.9724
1.9789
1.9793
1.9828
1.9901
2.0051
2.0054
2.0026
2.0035
2.0003
2.0028
2.0057
1.9919
2.002
1.9902
1.9902
1.9969
1.9828
1.9825

177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221

14-May-07
15-May-07
16-May-07
17-May-07
18-May-07
21-May-07
22-May-07
23-May-07
24-May-07
25-May-07
29-May-07
30-May-07
31-May-07
1-Jun-07
4-Jun-07
5-Jun-07
6-Jun-07
7-Jun-07
8-Jun-07
11-Jun-07
12-Jun-07
13-Jun-07
14-Jun-07
15-Jun-07
18-Jun-07
19-Jun-07
20-Jun-07
21-Jun-07
22-Jun-07
25-Jun-07
26-Jun-07
27-Jun-07
28-Jun-07
29-Jun-07
2-Jul-07
3-Jul-07
5-Jul-07
6-Jul-07
9-Jul-07
10-Jul-07
11-Jul-07
12-Jul-07
13-Jul-07
17-Jul-07
18-Jul-07

13346.78
13383.84
13487.53
13476.72
13556.53
13542.88
13539.95
13525.65
13441.13
13507.28
13521.34
13633.08
13627.64
13668.11
13676.32
13595.46
13465.67
13266.73
13424.39
13424.96
13295.01
13482.35
13553.73
13639.48
13612.98
13635.42
13489.42
13545.84
13360.26
13352.05
13337.66
13427.73
13422.28
13408.62
13535.43
13577.3
13565.84
13611.68
13649.97
13501.7
13577.87
13861.73
13907.25
13971.55
13918.22

6555.5
6568.6
6559.5
6579.3
6640.9
6636.8
6606.6
6616.4
6565.4
6570.5
6606.5
6602.1
6621.4
6676.7
6664.1
6632.8
6522.7
6505.1
6505.1
6567.5
6520.4
6559.6
6649.9
6732.4
6703.5
6650.2
6649.3
6596
6567.4
6588.4
6559.3
6527.6
6571.3
6607.9
6590.6
6639.8
6635.2
6690.1
6712.7
6630.9
6615.1
6697.7
6716.7
6659.1
6567.1

1.9805
1.984
1.9828
1.9752
1.9743
1.9693
1.9747
1.989
1.9855
1.9848
1.9816
1.9749
1.9782
1.979
1.9912
1.9929
1.9917
1.9806
1.9675
1.9672
1.9735
1.9728
1.9694
1.9769
1.9808
1.9873
1.9929
1.9925
1.9958
1.9966
1.9994
1.9968
2.0026
2.0064
2.0136
2.0165
2.0104
2.0131
2.0151
2.0238
2.0343
2.0289
2.0326
2.0446
2.0522

222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266

19-Jul-07
20-Jul-07
23-Jul-07
24-Jul-07
25-Jul-07
26-Jul-07
27-Jul-07
30-Jul-07
31-Jul-07
1-Aug-07
2-Aug-07
3-Aug-07
6-Aug-07
7-Aug-07
8-Aug-07
9-Aug-07
10-Aug-07
13-Aug-07
14-Aug-07
15-Aug-07
16-Aug-07
17-Aug-07
20-Aug-07
21-Aug-07
22-Aug-07
23-Aug-07
24-Aug-07
28-Aug-07
29-Aug-07
30-Aug-07
31-Aug-07
4-Sep-07
5-Sep-07
6-Sep-07
7-Sep-07
10-Sep-07
11-Sep-07
12-Sep-07
13-Sep-07
14-Sep-07
18-Sep-07
19-Sep-07
20-Sep-07
21-Sep-07
25-Sep-07

14000.41
13851.08
13943.42
13716.95
13785.79
13473.57
13265.47
13358.31
13211.99
13362.37
13463.33
13181.91
13468.78
13504.3
13657.86
13270.68
13239.54
13236.53
13028.92
12861.47
12845.78
13079.08
13121.35
13090.86
13236.13
13235.88
13378.87
13041.85
13289.29
13238.73
13357.74
13448.86
13305.47
13363.35
13113.38
13127.85
13308.39
13291.65
13424.88
13442.52
13739.39
13815.56
13766.7
13820.19
13778.65

6640.2
6585.2
6624.4
6498.7
6454.3
6251.2
6215.2
6206.1
6360.1
6250.6
6300.3
6224.3
6189.1
6308.8
6393.9
6271.2
6038.3
6219
6143.5
6109.3
5858.9
6064.2
6078.7
6086.1
6196
6196.9
6220.1
6102.2
6132.2
6212
6303.3
6376.8
6270.7
6313.3
6191.2
6134.1
6280.7
6306.2
6363.9
6289.3
6283.3
6460
6429
6456.7
6396.9

2.0499
2.0552
2.058
2.0613
2.0495
2.0464
2.0306
2.0242
2.0322
2.0293
2.0326
2.0389
2.0314
2.0212
2.0386
2.0299
2.0196
2.0116
2
1.991
1.9816
1.986
1.9857
1.9834
1.9913
2.0057
2.0096
2.0095
2.0144
2.0154
2.0171
2.0102
2.0199
2.0217
2.0252
2.0285
2.0302
2.0307
2.0273
2.0117
1.9968
1.9993
2.0139
2.0206
2.0161

267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311

26-Sep-07
27-Sep-07
28-Sep-07
1-Oct-07
2-Oct-07
3-Oct-07
4-Oct-07
5-Oct-07
9-Oct-07
10-Oct-07
11-Oct-07
12-Oct-07
15-Oct-07
16-Oct-07
17-Oct-07
18-Oct-07
19-Oct-07
22-Oct-07
23-Oct-07
24-Oct-07
25-Oct-07
26-Oct-07
29-Oct-07
30-Oct-07
31-Oct-07
1-Nov-07
2-Nov-07
5-Nov-07
6-Nov-07
7-Nov-07
8-Nov-07
9-Nov-07
12-Nov-07
13-Nov-07
14-Nov-07
15-Nov-07
16-Nov-07
19-Nov-07
20-Nov-07
21-Nov-07
26-Nov-07
27-Nov-07
28-Nov-07
29-Nov-07
30-Nov-07

13878.15
13912.94
13895.63
14087.55
14047.31
13968.05
13974.31
14066.01
14164.53
14078.69
14015.12
14093.08
13984.8
13912.94
13892.54
13888.96
13522.02
13566.97
13676.23
13675.25
13671.92
13806.7
13870.26
13792.47
13930.01
13567.87
13595.1
13543.4
13660.94
13300.02
13266.29
13042.74
12987.55
13307.09
13231.01
13110.05
13176.79
12958.44
13010.14
12799.04
12743.44
12958.44
13289.45
13311.73
13371.72

6433
6486.4
6466.8
6506.2
6500.4
6535.2
6547.9
6595.8
6615.4
6633
6724.5
6730.7
6644.5
6614.3
6677.7
6609.4
6527.9
6459.3
6514
6482
6576.3
6661.3
6706
6659
6721.6
6586.1
6530.6
6461.4
6474.9
6385.1
6381.9
6304.9
6337.9
6362.4
6432.1
6359.6
6291.2
6120.8
6226.5
6070.9
6180.5
6140.7
6306.2
6349.1
6432.5

2.0153
2.0239
2.0374
2.043
2.0408
2.037
2.0413
2.0417
2.0336
2.0437
2.0385
2.0347
2.0422
2.0319
2.0377
2.0464
2.0458
2.0276
2.0484
2.0468
2.0497
2.0523
2.0609
2.0671
2.0774
2.0817
2.082
2.0806
2.0876
2.104
2.1081
2.0948
2.0592
2.0724
2.0654
2.0453
2.0457
2.0519
2.0646
2.0551
2.0678
2.0698
2.0712
2.0625
2.0561

312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356

3-Dec-07
4-Dec-07
5-Dec-07
6-Dec-07
7-Dec-07
10-Dec-07
11-Dec-07
12-Dec-07
13-Dec-07
14-Dec-07
17-Dec-07
18-Dec-07
19-Dec-07
20-Dec-07
21-Dec-07
27-Dec-07
28-Dec-07
4-Jan-08
7-Jan-08
8-Jan-08
9-Jan-08
10-Jan-08
11-Jan-08
15-Jan-08
16-Jan-08
17-Jan-08
18-Jan-08
22-Jan-08
23-Jan-08
24-Jan-08
25-Jan-08
28-Jan-08
29-Jan-08
30-Jan-08
31-Jan-08
1-Feb-08
4-Feb-08
5-Feb-08
6-Feb-08
7-Feb-08
8-Feb-08
12-Feb-08
13-Feb-08
14-Feb-08
15-Feb-08

13314.57
13248.73
13444.96
13619.89
13625.58
13727.03
13432.77
13473.9
13517.96
13339.85
13167.2
13232.47
13207.27
13245.64
13450.65
13359.61
13365.87
12800.18
12827.49
12589.07
12735.31
12853.09
12606.3
12501.11
12466.16
12159.21
12099.3
11971.19
12270.17
12378.61
12207.17
12383.89
12480.3
12442.83
12650.36
12743.19
12635.16
12265.13
12200.1
12247
12182.13
12373.41
12552.24
12376.98
12348.21

6386.6
6315.2
6493.8
6485.6
6554.9
6565.4
6536.9
6559.8
6364.2
6397
6277.8
6279.3
6284.5
6345.6
6434.1
6497.8
6476.9
6348.5
6335.7
6356.5
6272.7
6222.7
6202
6025.6
5942.9
5902.4
5901.7
5740.1
5609.3
5875.8
5869
5788.9
5885.2
5837.3
5879.8
6029.2
6026.2
5868
5875.4
5724.1
5784
5910
5880.1
5879.3
5787.6

2.0673
2.0587
2.0276
2.0254
2.0295
2.0462
2.039
2.0456
2.0377
2.0196
2.0151
2.018
2.0034
1.9813
1.9841
1.9882
1.9929
1.9744
1.9755
1.9735
1.9583
1.9575
1.9583
1.9714
1.9649
1.9769
1.9538
1.9608
1.9495
1.9716
1.9832
1.9874
1.9874
1.9885
1.9882
1.9686
1.9757
1.9646
1.9602
1.9416
1.9464
1.9604
1.9627
1.9718
1.9628

357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401

19-Feb-08
20-Feb-08
21-Feb-08
22-Feb-08
25-Feb-08
26-Feb-08
27-Feb-08
28-Feb-08
29-Feb-08
3-Mar-08
4-Mar-08
5-Mar-08
6-Mar-08
7-Mar-08
10-Mar-08
11-Mar-08
12-Mar-08
13-Mar-08
14-Mar-08
17-Mar-08
18-Mar-08
19-Mar-08
25-Mar-08
26-Mar-08
27-Mar-08
28-Mar-08
31-Mar-08
1-Apr-08
2-Apr-08
3-Apr-08
4-Apr-08
7-Apr-08
8-Apr-08
9-Apr-08
10-Apr-08
11-Apr-08
14-Apr-08
15-Apr-08
16-Apr-08
17-Apr-08
18-Apr-08
21-Apr-08
22-Apr-08
23-Apr-08
24-Apr-08

12337.22
12427.26
12284.3
12381.02
12570.22
12684.92
12694.28
12582.18
12266.39
12258.9
12213.8
12254.99
12040.39
11893.69
11740.15
12156.81
12110.24
12145.74
11951.09
11972.25
12392.66
12099.66
12532.6
12422.86
12302.46
12216.4
12262.89
12654.36
12608.92
12626.03
12609.42
12612.43
12576.44
12527.26
12581.98
12325.42
12302.06
12362.47
12619.27
12620.49
12849.36
12825.02
12720.23
12763.22
12848.95

5966.9
5893.6
5932.2
5888.5
5999.5
6087.4
6076.5
5965.7
5884.3
5818.6
5767.7
5853.5
5766.4
5699.9
5629.1
5690.4
5776.4
5692.4
5631.7
5414.4
5605.8
5545.6
5689.1
5660.4
5717.5
5692.9
5702.1
5852.6
5915.9
5891.3
5947.1
6014.8
5990.2
5983.9
5965.1
5895.5
5831.6
5906.9
6046.2
5980.4
6056.5
6053
6034.7
6083.6
6050.7

1.9513
1.9406
1.96
1.9668
1.9679
1.9722
1.9885
1.9896
1.9892
1.9825
1.9861
1.9897
2.0094
2.0141
2.0166
2.0037
2.021
2.031
2.0291
2.0008
2.0214
1.9858
1.9997
2.0019
2.0096
1.9889
1.9875
1.9755
1.9813
1.9952
1.9943
1.9896
1.9682
1.9741
1.9787
1.9715
1.9838
1.9624
1.9758
1.9855
1.9972
1.9808
1.9945
1.9803
1.9728

402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446

25-Apr-08
28-Apr-08
30-Apr-08
2-May-08
7-May-08
8-May-08
9-May-08
12-May-08
13-May-08
14-May-08
15-May-08
16-May-08
19-May-08
20-May-08
21-May-08
22-May-08
23-May-08
27-May-08
28-May-08
29-May-08
30-May-08
2-Jun-08
3-Jun-08
4-Jun-08
5-Jun-08
6-Jun-08
9-Jun-08
10-Jun-08
11-Jun-08
12-Jun-08
13-Jun-08
16-Jun-08
17-Jun-08
18-Jun-08
19-Jun-08
20-Jun-08
23-Jun-08
24-Jun-08
25-Jun-08
26-Jun-08
27-Jun-08
30-Jun-08
1-Jul-08
2-Jul-08
3-Jul-08

12891.86
12871.75
12820.13
13058.2
12814.35
12866.78
12745.88
12876.05
12832.18
12898.38
12992.66
12986.8
13028.16
12828.68
12601.19
12625.62
12479.63
12548.35
12594.03
12646.22
12638.32
12503.82
12402.85
12390.48
12604.45
12209.81
12280.32
12289.76
12083.77
12141.58
12307.35
12269.08
12160.3
12029.06
12063.09
11842.69
11842.36
11807.43
11811.83
11453.42
11346.51
11350.01
11382.26
11215.51
11288.53

6091.4
6090.4
6087.3
6215.5
6261
6270.8
6204.7
6220.6
6211.9
6216
6251.8
6304.3
6376.5
6191.6
6198.1
6181.6
6087.3
6058.5
6069.6
6068.1
6053.5
6007.6
6057.7
5970.1
5995.3
5906.8
5877.6
5827.3
5723.3
5790.5
5802.8
5794.6
5861.9
5756.9
5708.4
5620.8
5667.2
5634.7
5666.1
5518.2
5529.9
5625.9
5479.9
5426.3
5476.6

1.9886
1.9948
1.9803
1.975
1.9514
1.9563
1.9461
1.9612
1.9465
1.9417
1.9464
1.9537
1.9488
1.9685
1.9642
1.9812
1.9819
1.9747
1.9807
1.9769
1.9762
1.9637
1.9665
1.9537
1.9547
1.9698
1.9766
1.9527
1.9635
1.9458
1.9446
1.9636
1.9526
1.9584
1.9711
1.9756
1.9594
1.9711
1.968
1.989
1.9914
1.9901
1.9914
1.9922
1.9827

447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491

7-Jul-08
8-Jul-08
9-Jul-08
10-Jul-08
11-Jul-08
14-Jul-08
15-Jul-08
16-Jul-08
17-Jul-08
18-Jul-08
22-Jul-08
23-Jul-08
24-Jul-08
25-Jul-08
28-Jul-08
29-Jul-08
30-Jul-08
31-Jul-08
1-Aug-08
4-Aug-08
5-Aug-08
6-Aug-08
7-Aug-08
8-Aug-08
11-Aug-08
12-Aug-08
13-Aug-08
14-Aug-08
15-Aug-08
18-Aug-08
19-Aug-08
20-Aug-08
21-Aug-08
22-Aug-08
26-Aug-08
27-Aug-08
28-Aug-08
29-Aug-08
2-Sep-08
3-Sep-08
4-Sep-08
5-Sep-08
8-Sep-08
9-Sep-08
10-Sep-08

11231.96
11384.21
11147.44
11229.02
11100.54
11055.19
10962.54
11239.28
11446.66
11496.57
11602.5
11632.38
11349.28
11370.69
11131.08
11397.56
11583.69
11378.02
11326.32
11284.15
11615.77
11656.07
11431.43
11734.32
11782.35
11642.47
11532.96
11615.93
11659.9
11479.39
11348.55
11417.43
11430.21
11628.06
11412.87
11502.51
11715.18
11543.55
11516.92
11532.88
11188.23
11220.96
11510.74
11230.73
11268.92

5512.7
5440.5
5529.6
5406.8
5261.6
5300.4
5171.9
5150.6
5286.3
5376.4
5364.1
5449.9
5362.3
5352.6
5312.6
5319.2
5420.7
5411.9
5354.7
5320.2
5454.5
5486.1
5477.5
5489.2
5541.8
5534.5
5448.6
5497.4
5454.8
5450.2
5320.4
5371.8
5370.2
5505.6
5470.7
5528.1
5601.2
5636.6
5620.7
5499.7
5362.1
5240.7
5446.3
5415.6
5366.2

1.9695
1.9718
1.9786
1.978
1.9884
1.9918
2.0049
1.9963
2.0069
1.9963
1.9966
1.9967
1.9829
1.9874
1.9912
1.9808
1.9793
1.981
1.9739
1.9657
1.955
1.9508
1.9444
1.9159
1.9176
1.9013
1.8651
1.8752
1.8632
1.8658
1.8621
1.8586
1.8761
1.8582
1.8386
1.8383
1.8292
1.8237
1.7863
1.7764
1.7723
1.7668
1.7643
1.7641
1.7552

492
493
494
495
496
497
498
499
500

11-Sep-08
12-Sep-08
16-Sep-08
17-Sep-08
18-Sep-08
19-Sep-08
22-Sep-08
24-Sep-08
25-Sep-08

11433.71
11421.99
11059.02
10609.66
11019.69
11388.44
11015.69
10825.17
11022.06

5318.4
5416.7
5025.6
4912.4
4880
5311.3
5236.3
5095.6
5197

1.7507
1.7859
1.7743
1.7955
1.8193
1.8327
1.8441
1.8523
1.8472

Adjusted
FTSE-500
11131.84
11096.28
11185.35
11016.71
11040.73
11109.50
11179.47
11203.54
11170.05
11096.03
11221.13
11147.06
11097.08
11100.82
11088.22
11145.96
11300.65
11232.22
11323.52
11320.97
11150.64
10978.08
10965.48
10897.12
11057.60
11045.52
11112.02
11037.01
11003.44
11082.43
11185.45
11076.34
11012.71
11131.06
11197.81
11188.42
11135.97
11230.45
11215.78
11241.48
11269.85
11220.44

CAC-40
4956.34
4967.95
5025.15
4976.64
4985.52
5046.93
5115.02
5137.31
5144.84
5135.69
5104.65
5128.33
5082.73
5112.85
5111.13
5160.32
5182.79
5165.04
5183.45
5172.85
5115.52
5060.09
5073.57
5058.31
5125.97
5137.93
5123.85
5144.88
5115.99
5192.74
5208.32
5141.95
5146.49
5219.59
5243.1
5250.01
5250.01
5243.13
5219.79
5256.55
5288.53
5282.06

Exch Rate Adjusted

EUR/USD CAC-40
0.7776
0.7789
0.7762
0.7828
0.7833
0.7847
0.782
0.778
0.7775
0.78
0.7741
0.7804
0.7816
0.7816
0.7845
0.7838
0.7792
0.7813
0.781
0.7808
0.782
0.7854
0.7893
0.7879
0.7881
0.7888
0.7843
0.7905
0.7872
0.7872
0.7861
0.7811
0.7849
0.789
0.7868
0.7881
0.7895
0.7847
0.7849
0.7881
0.7881
0.7945

6373.89
6378.16
6474.04
6357.49
6364.76
6431.67
6540.95
6603.23
6617.16
6584.22
6594.30
6571.41
6502.98
6541.52
6515.14
6583.72
6651.42
6610.83
6636.94
6625.06
6541.59
6442.69
6427.94
6419.99
6504.21
6513.60
6533.02
6508.39
6498.97
6596.47
6625.52
6582.96
6556.87
6615.45
6663.83
6661.60
6649.79
6681.70
6650.26
6669.90
6710.48
6648.28

Exch Rate
Nikkei
15154.06
15464.66
15656.59
15630.91
15565.02
15857.11
15816.19
16071.36
16020.84
16105.98
15969.04
16181.17
16163.03
15960.62
15938.66
15890.56
15872.02
16140.76
16134.25
16385.96
16284.09
16012.41
16080.46
15794.38
15719.34
15750.05
15942.39
15866.93
15874.28
15718.67
15834.23
15634.67
15633.81
15557.45
15947.87
16024.85
16127.58
16254.29
16242.09
16082.55
16449.33
16436.06

11269.11
11275.45
11364.81
11424.87
11481.90
11418.81
11482.80
11547.42
11574.85
11542.94
11571.17
11664.18
11672.57
11685.38
11656.24
11690.22
11727.29
11727.94
11804.76
11919.80
11874.69
11832.37
11870.46
11788.80
11714.95
11758.75
11816.13
11730.74
11771.80
11779.98
11790.81
11827.90
11719.04
11734.84
11860.93
11897.99
11926.79
11973.14
11996.29
11999.72
12044.72
12099.93
12035.63
12105.94
12181.89

5309.79
5313.19
5361.51
5353.23
5361.97
5302.99
5361.29
5359.74
5375.35
5411.81
5404.54
5422.28
5433.79
5396.03
5362.23
5348.73
5370.86
5310.07
5402.36
5437.78
5437.16
5448.6
5447.5
5490.56
5476.28
5511.53
5505.72
5439.71
5454.74
5459.35
5452.49
5389.46
5308.65
5306.24
5381.25
5327.64
5254.05
5296.08
5359.69
5350.62
5379.21
5384.16
5427.56
5426.82
5475.85

0.7975
0.7969
0.7976
0.8004
0.799
0.7975
0.7991
0.7938
0.7935
0.7967
0.7971
0.7944
0.7893
0.786
0.7863
0.7835
0.7828
0.7832
0.7866
0.7812
0.7839
0.7816
0.7777
0.7804
0.7807
0.7808
0.7808
0.7795
0.7802
0.7796
0.7731
0.7638
0.762
0.7604
0.7603
0.7544
0.7499
0.7505
0.7514
0.7509
0.752
0.751
0.7567
0.7553
0.7563

6658.04
6667.32
6722.05
6688.19
6710.85
6649.52
6709.16
6752.00
6774.23
6792.78
6780.25
6825.63
6884.32
6865.18
6819.57
6826.71
6861.09
6779.97
6867.99
6960.80
6936.04
6971.08
7004.63
7035.57
7014.58
7058.82
7051.38
6978.46
6991.46
7002.76
7052.76
7056.11
6966.73
6978.22
7077.80
7062.09
7006.33
7056.74
7132.94
7125.61
7153.20
7169.32
7172.67
7184.99
7240.31

16477.25
16400.57
16368.81
16536.54
16692.76
16611.59
16653
16551.36
16651.63
16788.82
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16637.78
16692.93

12223.70
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5509.58
5541.62
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7257.09
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16829.2
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18215.35
18119.92

12096.14
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5516.32
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7288.04
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17604.12
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12983.17
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6026.42
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8159.25
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17677.94
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13611.75
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6065.5
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8384.71
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18116.57
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12964.42
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5690.77
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8036.68
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16435.74
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13203.02
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15628.97
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13861.29
12573.05
12829.06
13092.78
13629.16
13087.91
13478.86
13345.03
13592.47
13497.16
13859.7
13745.5
13099.24
13207.15
13017.24
13021.96
13068.3
13626.45
13622.56

11643.21
11437.12
11627.11
11581.50
11806.42
12005.57
12083.12
11869.36
11705.05
11535.37
11455.23
11646.71
11587.00
11480.17
11351.64
11401.85
11674.10
11561.26
11427.28
10833.13
11331.56
11012.45
11376.49
11331.55
11489.89
11322.61
11332.92
11561.81
11721.17
11754.32
11860.30
11967.05
11789.91
11812.82
11803.14
11622.98
11568.73
11591.70
11946.08
11874.08
12096.04
11989.78
12036.21
12047.35
11936.82

4885.83
4812.81
4858.85
4824.55
4919.26
4973.07
4968.82
4865.23
4790.66
4742.66
4675.91
4756.42
4678.05
4618.96
4566.99
4627.69
4697.1
4630.19
4592.15
4431.04
4582.59
4555.95
4692
4676.68
4719.53
4695.92
4707.07
4866
4911.97
4887.87
4900.88
4944.6
4912.69
4874.97
4859.42
4797.93
4766.49
4780.68
4855.1
4862.14
4961.69
4910.35
4872.64
4944.65
4929.55

0.6782
0.6827
0.6761
0.675
0.6743
0.672
0.6624
0.6588
0.6588
0.6579
0.6564
0.6549
0.6511
0.6512
0.6506
0.6524
0.6454
0.6417
0.6409
0.6344
0.6336
0.6393
0.6412
0.6345
0.633
0.6346
0.6311
0.6412
0.6406
0.6396
0.6352
0.6365
0.6366
0.6338
0.6333
0.6321
0.6313
0.6328
0.627
0.6288
0.6356
0.6282
0.626
0.6298
0.6369

7204.11
7049.67
7186.58
7147.48
7295.36
7400.40
7501.24
7384.99
7271.80
7208.79
7123.57
7262.82
7184.84
7093.00
7019.66
7093.33
7277.81
7215.51
7165.16
6984.62
7232.62
7126.47
7317.53
7370.65
7455.81
7399.81
7458.52
7588.90
7667.76
7642.07
7715.49
7768.42
7717.08
7691.65
7673.17
7590.46
7550.28
7554.80
7743.38
7732.41
7806.31
7816.54
7783.77
7851.14
7739.91

13757.91
13310.37
13688.28
13500.46
13914.57
13824.72
14031.3
13925.51
13603.02
12992.18
12992.28
12972.06
13215.42
12782.8
12532.13
12658.28
12861.13
12433.44
12241.6
11787.51
11964.16
12260.44
12745.22
12706.63
12604.58
12820.47
12525.54
12656.42
13189.36
13389.9
13293.22
13450.23
13250.43
13111.89
12945.3
13323.73
12917.51
12990.58
13146.13
13398.3
13476.45
13696.55
13547.82
13579.16
13540.87

12113.36
12149.13
12054.68
12275.61
12217.72
12267.57
12074.97
12199.84
12091.46
12069.61
12168.50
12316.71
12426.52
12188.16
12174.31
12246.99
12064.42
11963.72
12022.06
11996.03
11962.93
11797.12
11912.47
11663.78
11719.01
11635.21
11617.66
11378.97
11237.70
11267.15
11284.12
11378.28
11445.95
11274.31
11251.83
11104.45
11104.31
11106.56
11150.88
10975.70
11012.24
11196.10
10912.67
10810.27
10858.45

4978.21
5012.75
4996.54
5069.71
5075.31
5055.58
4960.56
4976.21
4998.67
5055.24
5057.51
5078.04
5142.1
5054.88
5027.55
5028.74
4933.77
4906.56
4971.11
4975.9
5014.28
4935.21
4983.71
4915.07
4907.06
4795.32
4799.38
4761.08
4660.91
4672.3
4682.3
4657.74
4686.33
4618.75
4591.39
4509.27
4511.37
4473.76
4536.29
4426.19
4397.32
4434.85
4341.21
4296.48
4343.99

0.6386
0.6393
0.6422
0.6491
0.6495
0.6485
0.648
0.6451
0.6457
0.647
0.6461
0.643
0.6446
0.6395
0.6342
0.6363
0.6342
0.6361
0.6399
0.6438
0.6435
0.644
0.6468
0.6473
0.6437
0.6355
0.6358
0.646
0.6436
0.6486
0.6517
0.6468
0.645
0.6445
0.6456
0.6397
0.6458
0.6413
0.6425
0.635
0.6349
0.6347
0.6348
0.6303
0.6364

7795.51
7841.00
7780.35
7810.37
7814.18
7795.81
7655.19
7713.86
7741.47
7813.35
7827.75
7897.42
7977.20
7904.43
7927.39
7903.10
7779.52
7713.50
7768.57
7728.95
7792.20
7663.37
7705.18
7593.19
7623.21
7545.74
7548.57
7370.09
7241.94
7203.67
7184.75
7201.21
7265.63
7166.41
7111.82
7049.04
6985.71
6976.08
7060.37
6970.38
6926.00
6987.32
6838.71
6816.56
6825.88

13863.47
13894.37
13849.99
14049.26
14102.48
13943.26
13655.34
13743.36
13953.73
14118.55
14251.74
14219.48
14269.61
14160.09
13926.3
13978.46
14012.2
13893.31
13709.44
14124.47
14338.54
14440.14
14209.17
14435.57
14341.12
14489.44
14181.38
14021.17
14183.48
13888.6
13973.73
14354.37
14348.37
14452.82
14130.17
13942.08
13857.47
13849.56
13829.92
13822.32
13544.36
13481.38
13463.2
13286.37
13265.4

10857.26
10727.58
10940.87
10694.65
10462.17
10557.34
10369.14
10282.14
10609.08
10732.91
10709.96
10881.82
10632.90
10637.76
10578.45
10536.27
10729.19
10720.97
10569.64
10457.92
10663.55
10702.28
10650.45
10516.76
10626.96
10522.74
10162.18
10308.72
10163.38
10168.98
9907.12
9984.03
10075.03
10230.51
10058.43
10162.31
10245.72
10279.47
10040.26
9769.67
9503.25
9259.27
9608.91
9553.66
9418.75

4342.59
4275.61
4339.66
4231.56
4100.64
4142.53
4061.15
4112.45
4225.99
4299.36
4327.26
4408.74
4347.99
4377.18
4324.45
4320.49
4400.55
4392.36
4314.34
4280.63
4386.35
4448.33
4457.43
4491.85
4538.49
4518.48
4402.97
4420.91
4453.62
4448.84
4332.79
4365.87
4304.61
4400.45
4368.55
4373.08
4461.49
4482.6
4539.07
4447.13
4304.01
4196.66
4340.18
4293.34
4283.66

0.6384
0.6378
0.6356
0.6332
0.6286
0.6291
0.6261
0.6321
0.6296
0.6308
0.6315
0.6371
0.6381
0.6381
0.6354
0.6412
0.6427
0.6409
0.6425
0.6406
0.6457
0.6485
0.6504
0.6653
0.6667
0.6707
0.6726
0.6713
0.6809
0.6801
0.6801
0.679
0.672
0.675
0.6826
0.6799
0.6793
0.6793
0.6887
0.6916
0.6954
0.701
0.7039
0.7075
0.7114

6802.30
6703.68
6827.66
6682.82
6523.45
6584.85
6486.42
6506.01
6712.18
6815.73
6852.35
6920.01
6813.96
6859.71
6805.87
6738.13
6846.97
6853.42
6714.93
6682.22
6793.17
6859.41
6853.37
6751.62
6807.39
6736.96
6546.19
6585.60
6540.78
6541.45
6370.81
6429.85
6405.67
6519.19
6399.87
6431.95
6567.78
6598.85
6590.78
6430.21
6189.26
5986.68
6165.90
6068.33
6021.45

13360.04
13033.1
13052.13
13067.21
13039.69
13010.16
12754.56
12760.8
12887.95
12803.7
13184.96
13312.93
13603.31
13334.76
13353.78
13159.45
13367.79
13376.81
13094.59
12933.18
12914.66
13254.89
13124.99
13168.41
13430.91
13303.6
13023.05
12956.8
13019.41
13165.45
12865.05
12851.69
12752.21
12666.04
12778.71
12752.96
12768.25
13072.87
12609.47
12689.59
12557.66
12212.23
12624.46
12400.65
12346.63

9310.92
9673.68
8916.92
8820.21
8878.18
9734.02
9656.26
9438.58
9599.90

4249.07
4332.66
4087.4
4000.11
3957.86
4324.87
4223.51
4114.54
4226.81

0.7182
0.7054
0.7083
0.7046
0.6956
0.6942
0.6832
0.6819
0.6817

5916.28
6142.13
5770.72
5677.14
5689.85
6230.01
6181.95
6033.93
6200.40

12102.5
12214.76
11609.72
11749.79
11489.3
11920.86
12090.59
12115.03
12006.53

Exch Rate Adjusted

YEN/USD
Nikkei
115
115.08
115.17
115.41
116.07
116.45
116.02
115.78
115.53
115.74
115.86
116.46
116.53
116.32
117.3
116.92
117.05
117.3
117.32
116.1
116.63
116.45
116.74
117.74
117.77
117.67
117.41
117.59
117.18
117.25
116.78
116.38
116.49
117.04
117.37
117.85
118.09
117.73
117.89
117.98
117.69
118.99

131.77
134.38
135.94
135.44
134.10
136.17
136.32
138.81
138.67
139.16
137.83
138.94
138.70
137.21
135.88
135.91
135.60
137.60
137.52
141.14
139.62
137.50
137.75
134.15
133.47
133.85
135.78
134.93
135.47
134.06
135.59
134.34
134.21
132.92
135.88
135.98
136.57
138.06
137.77
136.32
139.77
138.13

This worksheet contains data for the VaR

historical simulation example

119.65
119.59
119.51
119.87
119.25
118.7
119.08
118.31
118.77
119.31
119.47
119.13
118.6
117.61
117.48
117.15
116.97
117.11
118.36
117.45
117.92
118.29
117.47
118.11
117.73
118.1
118.12
117.68
118.18
117.9
116.62
115.86
116.09
116.24
116.16
115.65
115.17
115.43
115.09
114.9
115.16
115.49
117.06
117.08
117.26

137.71
137.14
136.97
137.95
139.98
139.95
139.85
139.90
140.20
140.72
140.46
140.18
141.75
141.73
139.19
139.99
140.00
139.61
138.26
139.58
137.51
136.94
137.16
135.66
138.36
137.54
136.84
136.74
133.07
133.45
136.46
135.81
136.84
136.40
138.40
140.72
141.72
141.24
141.33
142.48
143.05
142.16
141.19
142.11
142.36

117.63
117.7
118.12
118.12
118.34
118.45
118.81
118.69
118.98
119.16
119.24
118.74
119.4
119.63
120.45
120.35
120.74
120.53
121.31
121.38
121.58
121.38
120.98
120.95
121.49
121.91
121.53
120.95
120.5
121.14
120.29
120.46
120.66
121.18
121.7
121.3
120.78
119.48
119.31
120.11
120.99
121.44
121.08
120.54
118.73

143.07
143.71
143.60
142.03
143.75
143.92
143.97
145.33
144.77
144.56
145.54
143.94
144.37
141.62
139.79
141.73
142.48
143.21
143.19
142.61
143.31
143.42
144.71
144.34
143.40
143.31
143.92
143.72
145.39
144.85
144.19
144.50
143.31
142.70
143.83
145.27
146.98
149.79
149.83
149.36
148.06
149.12
150.22
151.11
152.61

118.47
117.64
117.02
116.01
116.25
116.56
117.34
118.1
117.56
116.98
116.34
117.28
116.76
117.59
117.33
117.76
117.83
117.87
117.93
116.46
117.9
118.06
117.82
118.78
118.62
118.55
119.08
119.33
118.95
119.3
119.81
119.27
118.25
118.27
118.89
118.73
118.41
118.48
119.39
119.46
120.11
119.87
119.71
120.43
120.1

148.60
148.36
147.14
143.46
144.90
143.83
145.65
145.33
147.09
146.85
143.35
143.76
143.41
144.65
146.28
147.92
148.35
148.65
147.25
148.16
146.43
146.43
144.53
145.18
147.90
147.54
148.34
148.08
147.46
145.55
147.14
146.96
149.41
146.88
146.80
147.02
147.38
145.48
145.99
145.66
144.82
147.30
148.26
147.28
146.16

120.36
120.27
120.69
121.27
121.21
121.6
121.42
121.44
121.43
121.64
121.74
121.52
121.81
122.03
121.75
121.65
121.05
121.45
121.56
121.73
121.76
122.33
122.92
123.52
123.66
123.38
123.65
123.66
124.09
123.74
123.09
122.48
122.97
123.51
122.31
122.33
122.82
123.2
123.31
122.08
121.84
122.46
122.24
122.22
121.83

146.88
145.61
145.24
144.29
143.55
144.38
145.61
145.79
145.74
143.71
145.17
144.74
146.75
147.17
147.63
148.41
149.04
148.65
146.26
146.51
145.87
144.96
145.15
145.49
146.77
147.22
147.28
147.50
146.58
146.17
146.77
145.73
145.83
146.86
148.36
148.37
148.36
147.25
148.10
149.51
148.14
146.86
149.21
149.05
147.87

122.01
121.2
121.35
120.66
120.25
119.31
118.8
118.46
119.07
118.55
118.99
118.37
117.8
118.4
119.64
118.66
117.78
118.37
117.93
117.25
114.23
113.78
114.83
114.34
115.03
116.25
115.91
114.95
115.09
115.8
115.92
116.2
115.35
115.25
113.45
113.29
114.1
114.2
115.41
115.07
115.81
116.27
114.55
115.41
114.36

148.48
149.82
148.03
149.20
148.51
148.37
145.49
145.95
144.86
142.31
142.74
143.45
143.59
142.92
142.34
144.70
142.33
141.93
142.84
140.52
141.37
134.24
137.01
139.07
138.23
140.36
140.19
141.69
139.13
139.50
142.94
141.31
140.08
141.06
142.11
139.16
139.16
138.33
137.09
140.15
136.45
140.89
143.29
141.34
143.42

115.7
115.67
115.02
115.66
115.9
116.75
116.46
116.7
116.99
117.08
117.58
117.43
117.46
116.57
116.68
115.67
114.94
114.06
114.67
114.08
114.25
114.15
114.7
114.72
115.29
114.88
114.76
114.5
114.31
113.25
112.76
110.65
109.38
110.23
111.4
110.93
110.61
110.18
110.16
108.42
108.26
108.57
109.96
109.67
110.88

142.05
145.52
145.94
145.65
147.08
147.32
146.77
146.23
146.68
146.72
148.49
147.59
147.78
147.02
145.31
147.89
146.29
144.12
143.46
143.39
142.53
144.60
145.58
145.14
145.18
146.85
143.93
142.09
142.15
142.13
139.87
140.84
138.94
137.23
139.13
138.79
137.01
136.53
138.09
136.85
139.80
140.21
137.81
141.46
141.42

110.47
109.62
110.93
111.36
111.67
111.71
111.61
112.24
112.14
113.36
113.24
113.21
113.37
112.91
113.92
114.16
113.13
108.23
108.69
109.71
109.54
109.48
109.02
106.82
106.84
107.13
107.07
106.82
105.73
106.67
107.3
106.79
106.92
107.35
106.32
106.25
106.78
106.92
106.74
106.62
107.45
107.43
108.24
108.17
107.62

141.48
141.22
140.71
142.55
142.89
142.55
143.76
141.95
138.55
136.86
134.67
134.33
132.58
133.13
133.93
136.34
135.31
135.74
133.41
132.43
133.28
131.42
129.43
130.81
126.40
128.66
129.46
117.70
121.34
122.74
127.02
122.56
126.06
124.31
127.84
127.03
129.80
128.56
122.72
123.87
121.15
121.21
120.73
125.97
126.58

107.54
108.03
107.51
106.96
108.09
107.65
106.52
105.77
104.1
103.39
102.79
103.96
103.09
102.98
101.82
102.88
102.4
100.59
100.21
96.91
98.24
99.35
100.08
99.13
99.88
99.72
99.52
101.86
102.69
102.27
101.57
102.53
102.58
102.29
100.99
101.1
100.72
101.35
101.31
102.37
104.46
103.13
103.19
103.62
104.02

127.93
123.21
127.32
126.22
128.73
128.42
131.72
131.66
130.67
125.66
126.40
124.78
128.19
124.13
123.08
123.04
125.60
123.61
122.16
121.63
121.79
123.41
127.35
128.18
126.20
128.56
125.86
124.25
128.44
130.93
130.88
131.18
129.17
128.18
128.18
131.79
128.25
128.18
129.76
130.88
129.01
132.81
131.29
131.05
130.18

104.13
104.49
104.51
105.32
105.34
103.62
103.23
103.67
104.45
105.26
104.81
104.08
104.48
103.84
103.27
103.95
103.37
104.1
104.75
105.41
105.57
104.55
105.26
105.03
106.11
105.32
106.07
107.19
106.77
108.03
108.02
108.28
108.14
107.9
107.98
107.39
107.92
107.71
108.17
107.19
106.14
106.01
106.01
106.11
106.68

133.14
132.97
132.52
133.40
133.88
134.56
132.28
132.57
133.59
134.13
135.98
136.62
136.58
136.36
134.85
134.47
135.55
133.46
130.88
134.00
135.82
138.12
134.99
137.44
135.15
137.58
133.70
130.81
132.84
128.56
129.36
132.57
132.68
133.95
130.86
129.83
128.41
128.58
127.85
128.95
127.61
127.17
127.00
125.21
124.35

107.52
107.21
107.12
106.89
106.04
106.45
104.37
104.81
105.61
106.73
106.89
107.83
107.63
107.9
107.62
108.19
108.2
108.07
107.53
107.98
108.05
109.14
109.59
110.18
109.9
109.73
108.64
109.58
110.45
110.27
109.74
109.9
108.26
109.93
109.84
109.73
109.41
108.52
108.84
108.43
108.09
106.45
107.97
107.46
107.56

124.26
121.57
121.85
122.25
122.97
122.22
122.21
121.75
122.03
119.96
123.35
123.46
126.39
123.58
124.08
121.63
123.55
123.78
121.78
119.77
119.52
121.45
119.76
119.52
122.21
121.24
119.87
118.24
117.88
119.39
117.23
116.94
117.79
115.22
116.34
116.22
116.70
120.47
115.85
117.03
116.18
114.72
116.93
115.40
114.79

106.52
107.29
104.89
104.75
104.88
106.8
106.78
106.03
106.42

113.62
113.85
110.68
112.17
109.55
111.62
113.23
114.26
112.82

Scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

DJIA
FTSE 100
10977.08
9569.23
10925.97
9676.96
11070.01
9455.16
10986.04
9620.83
11031.85
9659.70
11153.55
9660.36
11117.12
9620.57
11029.69
9571.20
11067.29
9536.29
10986.78
9708.13
11017.01
9536.53
10981.30
9556.86
11028.46
9603.13
11002.16
9589.00
11105.96
9649.89
11034.63
9733.13
11020.36
9541.77
11102.44
9677.93
11026.99
9597.74
10961.44
9455.47
10949.82
9451.33
11081.07
9588.88
11026.64
9540.05
11119.98
9741.28
11065.42
9589.41
11006.85
9657.70
11053.98
9535.09
11003.13
9570.70
11091.09
9668.81
10946.17
9689.14
10998.04
9506.26
11086.91
9544.75
11111.16
9703.06
11040.81
9657.47
11049.60
9591.85
10985.02
9554.89
11013.83
9681.35
11075.88
9587.35
11137.92
9621.90
11037.02
9624.12
11006.75
9557.82
11037.83
9641.54
11008.09
9605.30
11110.94
9675.97

CAC 40
Nikkei 225
6204.55
115.05
6293.60
114.13
6088.77
112.40
6207.49
111.71
6265.57
114.56
6305.74
112.95
6259.43
114.88
6213.48
112.71
6169.53
113.22
6209.89
111.75
6178.87
113.73
6135.83
112.63
6237.14
111.61
6175.40
111.73
6265.66
112.85
6264.16
112.57
6162.55
114.49
6224.89
112.76
6189.30
115.79
6122.27
111.61
6106.66
111.11
6186.20
113.02
6192.73
109.87
6281.74
112.26
6209.35
113.14
6218.88
114.45
6177.01
112.12
6191.43
113.27
6293.41
111.65
6227.70
114.11
6160.57
111.78
6175.83
112.71
6255.79
111.74
6245.74
115.33
6198.33
112.90
6189.40
113.31
6230.15
114.06
6171.22
112.58
6218.71
111.63
6238.12
115.68
6142.93
111.50
6209.50
112.48
6209.04
112.35
6251.29
112.68

Portfolio Value ('000s)

10014.334
10027.481
9946.736
9974.861
10063.635
10085.834
10086.960
9993.937
9998.537
10003.494
9991.018
9957.900
9987.777
9965.903
10057.041
10051.930
10004.640
10056.358
10051.871
9898.799
9881.911
10019.194
9929.455
10082.828
10019.511
10044.431
9975.046
9990.486
10040.801
10027.564
9937.179
10000.339
10054.388
10076.533
10008.617
9979.449
10049.144
10006.694
10030.719
10069.733
9948.579
10014.157
9989.704
10061.700

45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89

11033.88
11040.56
10993.94
11061.41
11039.57
11013.47
11127.24
11032.04
11028.24
11048.38
10955.55
11018.62
11016.81
10976.71
11010.63
11101.86
11068.70
11039.98
10955.76
11026.73
11043.41
11100.31
11052.46
11070.74
11054.96
10998.83
11026.58
11026.85
10980.23
10879.83
11035.45
11104.06
11017.73
10996.99
11103.16
11064.91
11002.08
10994.44
11048.16
11040.87
11010.53
11023.78
11110.88
11047.59
11018.30

9650.64
9647.82
9547.15
9653.70
9653.93
9622.70
9573.43
9623.37
9677.07
9606.80
9610.43
9575.96
9627.89
9630.34
9600.44
9662.78
9693.44
9563.57
9565.69
9630.80
9533.86
9539.76
9635.79
9646.75
9530.53
9633.49
9606.57
9608.73
9630.09
9511.55
9612.84
9703.05
9629.89
9623.13
9637.21
9618.47
9602.64
9635.90
9643.90
9548.89
9655.98
9660.12
9632.85
9596.62
9550.15

6169.16
6221.40
6143.73
6256.01
6239.99
6220.81
6217.38
6188.96
6241.89
6253.71
6183.16
6159.21
6206.89
6231.62
6127.09
6280.89
6284.19
6178.34
6231.73
6230.23
6227.79
6181.89
6239.51
6193.86
6136.27
6211.95
6210.41
6244.67
6203.34
6121.85
6210.62
6288.87
6186.63
6151.44
6245.00
6267.35
6194.03
6224.41
6214.37
6203.29
6211.04
6248.14
6214.76
6198.08
6176.43

113.64
114.48
112.79
112.74
112.86
113.07
113.24
112.61
112.60
114.09
112.81
110.80
113.47
112.83
112.51
111.73
113.90
111.15
112.35
113.01
111.58
115.07
112.15
112.25
112.74
109.79
113.15
115.37
112.28
113.68
112.46
114.47
114.72
113.62
112.44
112.89
113.74
113.27
112.12
112.06
113.55
113.02
113.39
113.33
112.74

10029.533
10054.468
9963.666
10038.648
10030.355
10011.624
10039.991
10005.441
10029.057
10042.756
9976.110
9948.738
10019.353
9998.218
9978.726
10042.254
10078.697
9962.033
9961.936
10019.416
9969.586
10046.518
10016.652
10021.114
9978.437
9950.201
10011.135
10056.735
9985.127
9923.273
10004.185
10105.529
10039.161
10004.458
10041.554
10033.404
10008.882
10013.028
10013.035
9977.769
10027.999
10030.693
10054.831
10016.786
9977.742

90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134

11048.68
11015.48
10984.37
10952.81
11171.51
11014.09
10988.23
11037.57
10949.04
11038.59
11044.75
11086.57
11058.26
11045.33
11017.29
11013.98
11019.96
10944.54
11072.09
11099.42
10917.96
11008.36
11025.38
11050.76
11108.65
11067.46
11004.50
11029.25
11026.04
11022.55
10996.62
10972.52
11086.91
11097.84
11042.09
11024.27
11038.52
10980.49
10976.73
10988.58
11008.80
10659.07
11069.33
10991.25
10913.73

9615.85
9605.87
9558.80
9601.35
9660.80
9616.35
9554.82
9641.08
9413.74
9627.85
9518.00
9740.15
9707.20
9566.97
9633.42
9612.77
9650.28
9582.11
9663.72
9631.41
9556.43
9482.46
9609.90
9620.30
9520.62
9787.38
9633.48
9570.02
9685.36
9641.84
9507.79
9606.15
9571.30
9747.66
9586.10
9558.72
9624.05
9493.92
9636.83
9681.70
9651.16
9390.15
9398.03
9501.92
9534.50

6197.09
6242.15
6186.08
6132.84
6284.19
6201.91
6228.64
6192.19
6089.73
6223.68
6139.23
6294.23
6229.92
6170.81
6176.18
6193.68
6263.74
6168.22
6230.69
6237.15
6175.04
6137.21
6256.47
6238.65
6177.86
6273.07
6194.29
6181.30
6208.51
6259.85
6168.83
6210.90
6197.82
6300.78
6203.17
6183.56
6214.93
6168.54
6204.29
6237.45
6252.93
6046.46
6105.07
6112.68
6165.36

111.59
114.18
112.96
112.86
113.88
112.39
112.66
113.58
111.59
113.16
110.68
111.36
114.38
113.42
113.41
112.81
112.36
113.38
112.91
113.84
112.53
112.09
112.75
113.30
112.67
114.13
112.40
112.31
113.07
111.89
112.34
113.72
113.95
114.15
114.98
112.85
112.47
111.84
113.63
113.66
113.50
113.94
109.85
112.65
111.89

9992.274
10030.355
9973.632
9965.050
10105.620
9994.861
9975.289
10030.666
9875.569
10024.443
9934.725
10056.537
10079.106
10003.924
10015.184
9999.764
10017.083
9970.952
10044.489
10061.854
9939.432
9935.101
10012.035
10031.480
10000.336
10109.970
9995.706
9981.102
10033.783
10006.420
9948.328
10001.520
10034.203
10113.432
10041.631
9985.652
10009.597
9929.240
10010.061
10034.153
10031.614
9797.744
9886.029
9940.934
9918.058

135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179

10964.11
11165.83
11008.39
11083.76
11036.10
11060.04
10804.94
11074.49
11045.93
10977.40
11127.42
11077.89
11177.27
11039.64
11011.52
10958.61
10935.88
11065.42
11027.06
11047.00
11136.56
11038.90
11049.14
11033.48
10943.84
11082.39
11074.01
11116.73
11067.62
11048.64
11026.18
11154.02
10985.85
11051.53
11137.74
11035.20
11035.05
11098.45
11103.14
11066.62
10900.20
11114.71
11039.07
11052.66
11107.45

9420.63
9723.82
9653.05
9708.91
9635.85
9567.72
9503.61
9357.56
9826.08
9625.06
9710.44
9706.32
9797.49
9612.34
9553.69
9585.36
9561.64
9675.38
9567.01
9691.68
9680.73
9591.48
9622.72
9633.59
9624.78
9606.48
9685.82
9715.46
9644.94
9529.82
9573.41
9673.11
9574.07
9537.43
9662.25
9544.91
9572.96
9641.15
9697.46
9631.04
9495.00
9659.65
9575.32
9636.08
9580.80

6122.00
6263.67
6239.66
6269.97
6209.93
6186.90
6135.65
6056.35
6320.88
6220.39
6283.84
6246.58
6339.56
6214.13
6150.81
6218.99
6171.31
6272.50
6193.38
6242.02
6272.43
6230.65
6231.29
6229.79
6184.13
6223.11
6252.41
6294.34
6205.59
6183.62
6204.01
6310.39
6166.13
6192.81
6282.09
6172.93
6209.79
6234.36
6214.80
6229.21
6142.26
6244.51
6183.11
6250.64
6158.54

110.00
113.96
111.99
114.25
112.58
114.19
112.64
110.13
113.15
112.54
113.80
114.09
114.09
113.15
113.05
111.75
113.52
111.50
112.82
111.36
113.33
114.94
112.55
113.43
112.62
112.35
111.36
114.05
112.68
114.70
110.92
112.75
112.99
113.10
111.36
113.22
112.57
112.18
114.75
113.56
112.08
111.96
113.38
111.85
112.53

9860.263
10121.229
10003.204
10092.980
10013.572
10025.760
9877.392
9872.307
10104.577
9989.939
10103.596
10083.507
10162.941
10018.339
9977.786
9956.511
9964.456
10027.581
9990.439
10018.467
10087.388
10045.905
10017.113
10030.238
9973.185
10019.284
10028.163
10107.427
10029.011
10018.390
9960.035
10087.313
9976.275
9994.941
10048.762
9990.138
9993.340
10034.640
10096.415
10043.575
9900.412
10044.189
10005.504
10013.338
10013.134

180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224

11013.23
11087.33
11010.96
11019.68
11010.42
10953.18
11076.30
11033.53
11113.15
11017.66
11054.79
11028.68
10956.89
10916.84
10859.22
11153.04
11022.53
10915.37
11177.37
11080.41
11091.79
11000.65
11040.23
10904.04
11068.16
10871.06
11015.29
11010.18
11096.49
11017.59
11010.84
11126.30
11056.16
11012.76
11059.30
11053.07
10902.34
11084.24
11252.49
11058.25
11073.02
10979.99
11087.15
10904.50
11095.54

9591.97
9685.36
9569.67
9582.42
9683.76
9509.14
9603.97
9636.93
9561.07
9644.05
9683.99
9640.85
9562.97
9434.86
9520.64
9536.40
9690.51
9561.57
9654.19
9715.28
9756.01
9577.55
9554.82
9625.65
9521.04
9574.10
9634.46
9570.90
9541.08
9692.24
9671.68
9609.12
9685.49
9564.23
9692.33
9641.90
9523.86
9626.71
9693.97
9644.69
9573.76
9502.46
9695.88
9545.00
9670.20

6171.22
6278.36
6172.32
6201.87
6244.04
6102.87
6219.00
6211.81
6161.73
6275.67
6248.74
6187.73
6170.02
6084.54
6094.96
6145.66
6254.41
6142.69
6233.38
6322.63
6284.18
6196.06
6190.43
6227.48
6126.74
6206.98
6191.03
6153.42
6174.09
6283.04
6269.16
6228.94
6236.87
6183.97
6259.03
6200.71
6154.71
6207.27
6303.14
6217.26
6186.51
6105.54
6279.23
6094.70
6246.74

112.09
112.24
113.48
113.78
112.96
112.78
111.25
113.96
112.49
114.39
113.14
113.17
113.42
113.30
112.53
111.01
113.02
112.33
112.12
112.97
113.09
113.81
113.17
112.87
112.99
112.11
112.51
113.28
112.02
112.90
113.62
113.98
112.83
112.82
111.98
113.47
113.90
111.79
111.84
114.63
112.71
111.93
113.29
113.84
111.48

9976.594
10052.638
9993.607
10010.928
10031.527
9930.156
9996.163
10037.809
10008.748
10052.193
10051.633
10019.380
9970.507
9900.034
9893.919
9986.697
10040.626
9931.257
10066.175
10079.641
10092.302
10002.070
9996.995
9970.500
9983.186
9925.624
10001.335
9987.236
9990.226
10041.854
10043.593
10065.823
10045.074
9982.705
10036.876
10035.976
9944.541
10013.689
10112.259
10061.839
10006.036
9923.173
10074.574
9941.096
10032.265

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10843.04
11077.38
10772.43
10851.82
11099.20
10901.33
11147.51
11105.34
10791.67
11261.93
11051.13
11147.39
10709.60
10996.20
11019.55
10849.18
10880.40
11008.61
11222.24
11057.68
10996.45
11144.37
11021.85
11141.13
10744.41
11231.18
10980.13
11121.14
11097.25
10904.54
11070.01
10815.89
11034.22
11173.64
11008.20
11132.54
11036.54
11265.48
11083.17
10983.08
11064.89
10988.93
11101.65
11049.69
11008.35

9432.84
9479.73
9283.75
9470.92
9555.63
9877.00
9421.16
9691.96
9513.49
9510.50
9736.43
9813.15
9375.49
9196.47
9848.02
9428.67
9503.50
9162.96
9958.35
9621.40
9600.45
9812.18
9670.72
9654.58
9417.47
9670.62
9729.65
9749.21
9678.62
9485.72
9673.73
9430.53
9526.86
9837.57
9641.25
9671.51
9414.36
9519.70
9882.23
9623.60
9673.34
9489.81
9650.24
9720.89
9634.73

6098.84
6072.81
6034.87
6137.80
6214.91
6319.71
6089.39
6230.00
6149.74
6142.04
6283.61
6368.01
6015.41
5994.72
6308.36
6079.64
6114.09
5967.92
6368.04
6227.42
6227.71
6326.07
6233.16
6281.08
6096.89
6254.89
6276.70
6275.63
6190.27
6096.95
6246.30
6069.90
6163.26
6326.08
6256.67
6263.03
6165.13
6212.07
6444.27
6211.25
6216.86
6149.16
6253.56
6260.07
6212.93

113.71
112.30
112.72
110.63
113.18
111.98
110.83
113.16
113.38
112.93
112.30
112.36
114.70
110.97
112.50
113.54
110.99
113.51
107.13
115.15
114.52
112.14
114.56
112.69
114.03
110.78
113.12
115.60
111.54
111.84
113.61
113.66
110.48
112.82
112.15
111.81
115.35
109.84
116.50
114.74
111.29
114.48
111.75
115.57
113.15

9882.182
9952.755
9782.026
9848.943
10022.879
10047.127
9936.529
10069.733
9891.190
10051.636
10057.361
10131.005
9819.895
9798.611
10088.340
9877.063
9872.079
9833.200
10110.837
10065.245
10025.413
10118.910
10058.088
10070.900
9847.018
10070.661
10042.876
10144.042
10027.537
9887.577
10061.820
9866.084
9934.051
10149.550
10005.137
10054.563
9986.322
10012.257
10214.909
10029.037
10014.006
9974.699
10034.129
10106.240
10013.672

270
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11174.29
10990.58
10959.87
11027.00
11094.39
11099.26
10955.26
10972.29
11083.37
10937.38
10965.42
11005.90
11019.22
10730.86
11058.70
11110.82
11021.27
11019.38
11130.72
11072.80
10960.24
11131.97
10735.52
11044.18
10980.14
11117.72
10730.86
10994.11
10836.33
10975.42
11293.24
10959.04
10921.29
11078.17
10839.42
11066.03
10843.22
10974.18
11208.02
11303.61
11040.54
11071.73
10974.95
10967.56
11185.31

9684.93
9581.01
9633.32
9638.86
9672.02
9590.23
9673.24
9707.56
9590.84
9511.89
9508.07
9719.58
9542.28
9478.74
9414.51
9780.51
9545.28
9753.36
9736.31
9704.82
9561.29
9738.43
9425.85
9520.37
9491.79
9652.32
9541.13
9613.78
9424.24
9486.15
9698.78
9672.28
9399.32
9498.50
9368.19
9826.12
9316.93
9833.60
9547.30
9865.30
9624.61
9695.82
9583.32
9453.09
9722.27

6270.88
6188.67
6205.15
6193.23
6245.43
6196.57
6208.84
6259.05
6150.65
6185.32
6135.40
6265.86
6182.32
6156.68
6071.59
6291.96
6159.48
6329.08
6273.51
6251.80
6174.13
6267.31
6062.28
6208.75
6156.24
6262.79
6220.83
6153.14
6077.63
6153.56
6232.23
6322.78
6114.59
6161.29
6107.12
6339.79
6077.19
6294.82
6182.06
6301.34
6247.07
6241.93
6147.32
6148.57
6283.71

112.60
113.93
113.01
112.40
112.41
113.17
112.85
114.18
112.14
112.97
112.24
111.51
114.82
111.60
111.15
112.30
112.77
112.14
114.46
113.59
112.48
112.85
114.12
110.58
111.38
112.88
112.81
111.02
113.60
111.30
111.43
114.39
112.55
111.37
112.42
114.11
111.82
115.25
113.15
110.89
115.81
112.79
112.87
112.61
112.42

10089.262
10000.431
9991.913
10005.272
10048.731
10030.509
10000.600
10049.126
9999.291
9941.934
9929.968
10018.918
10013.451
9827.788
9904.962
10094.248
9975.123
10055.699
10122.830
10073.109
9955.280
10094.436
9842.403
9944.733
9918.259
10062.109
9878.968
9954.694
9871.726
9913.036
10109.827
10047.275
9882.005
9956.669
9839.222
10131.968
9808.950
10114.009
10053.929
10167.152
10074.877
10054.160
9969.967
9922.303
10103.735

315
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343
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349
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355
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359

11165.47
11026.66
11104.13
10785.79
11055.81
11058.10
10876.84
10879.41
11076.70
11001.07
11054.08
11192.65
10947.46
11027.22
10555.57
11045.58
10817.20
11150.10
11124.00
10810.43
10930.09
10991.25
10750.67
10967.75
10905.36
11297.34
11119.47
10869.41
11181.62
11107.87
10988.97
11205.89
11102.94
10928.62
10699.27
10963.62
11064.43
10963.68
11195.12
11181.36
10868.17
10996.44
11012.25
11102.50
10895.27

9577.37
9722.12
9694.40
9524.59
9664.71
9277.68
9563.66
9400.02
9616.01
9538.34
9586.30
9747.54
9714.97
9591.64
9322.24
9585.88
9621.66
9400.38
9519.49
9571.87
9389.25
9436.92
9592.71
9486.60
9370.49
9327.08
10169.99
9645.20
9488.93
9759.60
9527.03
9668.33
9746.78
9629.73
9295.36
9590.48
9263.94
9724.34
9879.58
9562.54
9643.10
9407.03
9839.32
9429.97
9759.37

6201.95
6262.38
6261.88
6163.12
6215.02
6005.00
6144.63
6074.88
6205.80
6180.72
6196.60
6315.81
6313.03
6257.58
6030.82
6183.52
6247.27
6113.53
6188.62
6190.80
6086.41
6099.69
6121.15
6096.65
5891.86
5912.72
6642.47
6148.08
6203.52
6307.39
6123.36
6203.84
6345.77
6192.14
5885.32
6258.17
6016.77
6179.13
6414.79
6207.44
6229.04
6118.18
6371.98
6067.47
6320.82

114.30
113.09
112.56
113.78
111.40
110.12
111.45
111.01
112.54
111.35
113.29
113.50
114.86
111.97
113.18
110.89
111.99
113.55
111.25
111.11
114.02
109.02
114.84
113.52
102.58
116.31
114.13
116.75
108.86
116.05
111.25
116.03
112.10
115.28
111.75
107.70
113.88
110.34
112.88
112.38
117.72
113.37
114.03
108.66
116.59

10071.381
10054.649
10064.507
9901.627
10009.695
9832.934
9902.652
9833.483
10020.764
9943.857
10015.055
10138.656
10063.098
9993.413
9722.959
9967.094
9925.263
9982.927
9982.133
9882.619
9903.614
9854.279
9922.265
9940.574
9654.565
10030.009
10307.930
10020.034
9953.481
10155.540
9925.007
10145.475
10085.983
10017.607
9717.796
9894.348
9899.519
9970.286
10185.883
10039.368
10049.039
9926.818
10120.306
9880.817
10089.974

360
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11108.84
11190.49
11122.63
11030.19
10924.73
10745.43
11015.33
10981.51
11059.23
10829.05
10887.77
10879.77
11413.23
10979.84
11054.37
10845.42
11041.58
11409.10
10761.47
11416.44
10925.55
10915.24
10944.96
11064.00
11373.92
10982.48
11037.02
11007.56
11024.69
10990.61
10978.96
11070.21
10797.31
11001.17
11076.18
11251.02
11023.13
11221.94
11001.18
10932.00
11059.31
11096.09
11058.87
11004.87
10977.86

9562.24
9786.33
9761.83
9661.91
9430.07
9467.01
9460.74
9533.20
9760.37
9550.69
9511.38
9492.42
9642.36
9829.12
9507.11
9488.65
9100.76
10041.59
9329.55
9917.24
9561.98
9734.04
9460.14
9608.64
9793.78
9732.22
9627.05
9686.45
9686.30
9457.80
9618.55
9592.04
9453.36
9555.09
9618.96
9893.39
9542.04
9779.35
9515.57
9637.07
9608.79
9511.82
9741.87
9628.25
9525.27

6166.66
6328.68
6289.67
6284.88
6104.31
6105.36
6146.67
6127.10
6321.60
6133.83
6121.14
6136.29
6265.47
6361.65
6147.31
6157.13
6044.16
6420.56
6109.39
6366.63
6245.41
6272.03
6153.82
6249.59
6308.78
6264.83
6179.62
6259.96
6242.93
6159.41
6179.97
6185.50
6133.56
6167.57
6204.11
6355.17
6191.61
6259.65
6208.52
6174.40
6254.06
6112.55
6244.93
6236.58
6152.44

111.85
115.07
112.55
115.72
112.77
111.98
108.50
113.48
111.38
115.91
109.25
111.87
112.78
115.17
111.03
111.50
112.34
112.96
114.32
116.43
113.56
111.08
114.94
110.45
111.38
116.62
115.01
112.78
113.09
111.09
111.96
112.82
115.99
109.80
112.76
114.22
113.80
111.21
116.14
111.53
112.61
112.07
115.39
112.68
112.44

9996.985
10179.873
10096.710
10087.375
9895.102
9827.776
9868.713
9964.309
10057.598
9958.555
9847.415
9887.555
10165.044
10123.893
9942.449
9870.759
9817.293
10316.489
9832.896
10333.022
9973.437
9983.745
9958.351
9983.806
10180.236
10104.750
10049.310
10030.637
10039.491
9906.901
9971.592
10012.620
9918.090
9919.461
10025.010
10224.515
9998.147
10109.591
10026.258
9951.873
10021.260
9971.867
10110.394
10006.007
9946.131

405
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448
449

11226.74
10816.23
11067.16
10918.49
11134.63
10984.51
11078.92
11102.63
11017.09
11057.16
10853.30
10826.61
11043.43
10894.61
11082.75
11062.18
11067.74
11015.17
10904.76
10933.06
11011.07
11212.40
10676.96
11085.71
11030.53
10837.32
11074.79
11172.55
10987.79
10924.34
10903.10
11053.24
10820.68
11021.75
10989.55
11026.17
10687.61
10919.18
11025.46
11053.38
10860.59
11093.82
10966.83
11171.46
10792.82

9775.84
9554.62
9639.07
9449.18
9699.18
9514.62
9582.55
9678.56
9716.82
9685.49
9415.76
9588.98
9657.21
9456.79
9519.77
9646.71
9579.11
9573.41
9466.85
9693.76
9399.49
9645.35
9531.25
9585.42
9402.66
9480.72
9625.06
9614.36
9680.00
9656.99
9455.95
9580.75
9474.16
9599.78
9601.84
9638.21
9449.08
9631.86
9760.18
9356.88
9509.82
9642.68
9598.84
9485.23
9790.77

6224.32
6203.42
6185.82
6088.55
6247.92
6222.59
6257.97
6211.82
6255.58
6263.03
6143.83
6218.41
6181.40
6103.44
6147.78
6244.66
6168.77
6251.13
6097.88
6234.22
6110.28
6224.91
6137.39
6202.72
6053.80
6092.58
6167.63
6184.11
6214.60
6255.86
6115.72
6153.16
6145.66
6144.69
6191.85
6275.32
6121.36
6160.92
6255.29
6068.52
6180.32
6208.87
6178.98
6110.50
6315.06

113.57
113.23
113.40
110.91
113.07
113.69
113.28
114.38
113.36
112.79
112.65
111.57
112.50
113.73
111.08
110.64
115.51
114.36
114.73
110.27
114.87
110.94
114.84
109.64
110.38
114.58
109.19
113.52
115.62
112.92
113.90
110.22
111.93
111.59
112.98
112.18
113.79
111.65
112.44
112.67
111.24
112.04
112.74
110.38
113.08

10146.293
9918.837
10036.498
9863.378
10083.889
9978.751
10032.549
10083.197
10053.103
10048.955
9868.970
9906.399
10016.958
9909.467
9957.625
9997.614
10052.626
10024.641
9933.141
9957.222
9955.165
10053.926
9878.990
9962.586
9874.538
9909.433
9957.293
10068.949
10064.430
9993.075
9917.229
9951.618
9863.016
9968.966
9990.186
10014.218
9835.925
9945.453
10053.316
9911.454
9881.883
10026.954
9974.704
9960.588
9999.551

450
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482
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484
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486
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494

11102.72
10895.95
10977.03
10929.69
11300.30
11225.43
11070.12
11123.62
11050.45
10753.81
11042.85
10789.80
11285.93
11202.06
10826.36
10971.98
10981.02
11345.98
11060.30
10809.64
11314.10
11067.17
10891.21
10918.39
11101.35
11063.78
10851.42
10896.43
11088.96
11034.40
11212.85
10818.08
11108.63
11225.85
10860.58
10996.63
11037.33
10692.68
11054.30
11306.70
10753.94
11059.54
11183.24
11010.76
10671.80

9383.86
9391.21
9687.23
9428.77
9519.35
9905.14
9711.95
9579.38
9753.94
9380.31
9604.28
9546.38
9561.62
9775.67
9592.55
9464.39
9498.42
9788.66
9634.77
9553.40
9479.39
9700.49
9505.76
9270.96
9738.33
9464.55
9605.19
9352.69
9674.42
9687.40
9748.04
9438.43
9699.04
9678.69
9631.52
9376.50
9341.18
9338.11
9353.44
9962.40
9544.70
9464.34
9489.99
9973.92
8848.91

6068.86
6052.53
6258.76
6107.72
6219.12
6396.88
6296.04
6233.71
6261.62
6105.37
6242.02
6151.73
6138.68
6300.55
6206.24
6075.09
6170.20
6303.35
6260.86
6194.93
6108.34
6251.62
6136.24
6024.82
6237.72
6158.21
6201.03
6038.66
6257.86
6177.08
6310.27
6086.91
6231.47
6331.34
6229.73
6192.81
6049.33
5968.06
5997.45
6386.02
6102.27
6152.50
6092.10
6437.10
5825.46

113.20
113.49
112.13
112.81
112.40
113.08
110.91
116.01
112.92
115.50
110.32
113.28
110.59
114.60
113.03
111.00
110.97
112.59
114.64
111.26
112.59
115.36
111.93
111.55
111.29
112.47
114.27
110.78
112.54
113.64
110.36
113.92
112.71
113.29
116.46
108.50
113.97
112.00
111.41
114.99
111.35
112.23
111.67
113.05
109.69

9947.166
9876.956
10008.146
9897.835
10071.404
10205.510
10033.959
10092.288
10070.121
9866.125
9971.240
9899.199
10034.358
10167.882
9931.381
9886.906
9915.640
10188.986
10066.715
9879.767
10049.351
10101.134
9896.858
9808.731
10050.813
9959.875
9965.565
9814.873
10051.849
10042.643
10089.561
9876.657
10065.382
10127.951
10020.523
9843.170
9920.647
9746.615
9876.900
10284.925
9843.489
9952.951
9986.276
10155.022
9522.159

495
496
497
498
499
500

10574.20
11448.03
11390.89
10661.30
10831.43
11222.53

9495.78
9662.99
10525.31
9523.21
9383.49
9763.97

6099.85
6214.28
6789.02
6152.57
6051.94
6371.45

114.34
110.18
114.96
114.45
113.85
111.40

9815.550
10129.781
10555.795
9866.256
9857.465
10126.439

alue ('000s)

Loss ('000s)
-14.334
-27.481
53.264
25.139
-63.635
-85.834
-86.960
6.063
1.463
-3.494
8.982
42.100
12.223
34.097
-57.041
-51.930
-4.640
-56.358
-51.871
101.201
118.089
-19.194
70.545
-82.828
-19.511
-44.431
24.954
9.514
-40.801
-27.564
62.821
-0.339
-54.388
-76.533
-8.617
20.551
-49.144
-6.694
-30.719
-69.733
51.421
-14.157
10.296
-61.700

Portfolio
Investments

DJIA
4000

FTSE 100
3000

This worksheet calculates the value of the portf

2008 for the 500 scenarios. The I column shows
25, 2008 and Sept 26, 2008.
500
499
499
499
495
482
373
127
28
5
1
1
0

frequ
300

250

200

150

100

50

-600 -500 -400 -300 -200 -10

-29.533
-54.468
36.334
-38.648
-30.355
-11.624
-39.991
-5.441
-29.057
-42.756
23.890
51.262
-19.353
1.782
21.274
-42.254
-78.697
37.967
38.064
-19.416
30.414
-46.518
-16.652
-21.114
21.563
49.799
-11.135
-56.735
14.873
76.727
-4.185
-105.529
-39.161
-4.458
-41.554
-33.404
-8.882
-13.028
-13.035
22.231
-27.999
-30.693
-54.831
-16.786
22.258

7.726
-30.355
26.368
34.950
-105.620
5.139
24.711
-30.666
124.431
-24.443
65.275
-56.537
-79.106
-3.924
-15.184
0.236
-17.083
29.048
-44.489
-61.854
60.568
64.899
-12.035
-31.480
-0.336
-109.970
4.294
18.898
-33.783
-6.420
51.672
-1.520
-34.203
-113.432
-41.631
14.348
-9.597
70.760
-10.061
-34.153
-31.614
202.256
113.971
59.066
81.942

139.737
-121.229
-3.204
-92.980
-13.572
-25.760
122.608
127.693
-104.577
10.061
-103.596
-83.507
-162.941
-18.339
22.214
43.489
35.544
-27.581
9.561
-18.467
-87.388
-45.905
-17.113
-30.238
26.815
-19.284
-28.163
-107.427
-29.011
-18.390
39.965
-87.313
23.725
5.059
-48.762
9.862
6.660
-34.640
-96.415
-43.575
99.588
-44.189
-5.504
-13.338
-13.134

23.406
-52.638
6.393
-10.928
-31.527
69.844
3.837
-37.809
-8.748
-52.193
-51.633
-19.380
29.493
99.966
106.081
13.303
-40.626
68.743
-66.175
-79.641
-92.302
-2.070
3.005
29.500
16.814
74.376
-1.335
12.764
9.774
-41.854
-43.593
-65.823
-45.074
17.295
-36.876
-35.976
55.459
-13.689
-112.259
-61.839
-6.036
76.827
-74.574
58.904
-32.265

117.818
47.245
217.974
151.057
-22.879
-47.127
63.471
-69.733
108.810
-51.636
-57.361
-131.005
180.105
201.389
-88.340
122.937
127.921
166.800
-110.837
-65.245
-25.413
-118.910
-58.088
-70.900
152.982
-70.661
-42.876
-144.042
-27.537
112.423
-61.820
133.916
65.949
-149.550
-5.137
-54.563
13.678
-12.257
-214.909
-29.037
-14.006
25.301
-34.129
-106.240
-13.672

-89.262
-0.431
8.087
-5.272
-48.731
-30.509
-0.600
-49.126
0.709
58.066
70.032
-18.918
-13.451
172.212
95.038
-94.248
24.877
-55.699
-122.830
-73.109
44.720
-94.436
157.597
55.267
81.741
-62.109
121.032
45.306
128.274
86.964
-109.827
-47.275
117.995
43.331
160.778
-131.968
191.050
-114.009
-53.929
-167.152
-74.877
-54.160
30.033
77.697
-103.735

-71.381
-54.649
-64.507
98.373
-9.695
167.066
97.348
166.517
-20.764
56.143
-15.055
-138.656
-63.098
6.587
277.041
32.906
74.737
17.073
17.867
117.381
96.386
145.721
77.735
59.426
345.435
-30.009
-307.930
-20.034
46.519
-155.540
74.993
-145.475
-85.983
-17.607
282.204
105.652
100.481
29.714
-185.883
-39.368
-49.039
73.182
-120.306
119.183
-89.974

3.015
-179.873
-96.710
-87.375
104.898
172.224
131.287
35.691
-57.598
41.445
152.585
112.445
-165.044
-123.893
57.551
129.241
182.707
-316.489
167.104
-333.022
26.563
16.255
41.649
16.194
-180.236
-104.750
-49.310
-30.637
-39.491
93.099
28.408
-12.620
81.910
80.539
-25.010
-224.515
1.853
-109.591
-26.258
48.127
-21.260
28.133
-110.394
-6.007
53.869

-146.293
81.163
-36.498
136.622
-83.889
21.249
-32.549
-83.197
-53.103
-48.955
131.030
93.601
-16.958
90.533
42.375
2.386
-52.626
-24.641
66.859
42.778
44.835
-53.926
121.010
37.414
125.462
90.567
42.707
-68.949
-64.430
6.925
82.771
48.382
136.984
31.034
9.814
-14.218
164.075
54.547
-53.316
88.546
118.117
-26.954
25.296
39.412
0.449

52.834
123.044
-8.146
102.165
-71.404
-205.510
-33.959
-92.288
-70.121
133.875
28.760
100.801
-34.358
-167.882
68.619
113.094
84.360
-188.986
-66.715
120.233
-49.351
-101.134
103.142
191.269
-50.813
40.125
34.435
185.127
-51.849
-42.643
-89.561
123.343
-65.382
-127.951
-20.523
156.830
79.353
253.385
123.100
-284.925
156.511
47.049
13.724
-155.022
477.841

184.450
-129.781
-555.795
133.744
142.535
-126.439
Mean
SD
Skewness
Kurtosis
x
f(x)
Std Error

0.870
93.698
-0.082
4.220
218.845
0.0002844
15.643

CAC40
Nikkei 225
1000
2000

ulates the value of the portfolio in L2:O2 on Sept 26,

enarios. The I column shows the loss between Sept
26, 2008.
frequ
-600
-500
-400
-300
-200
-100
0
100
200
300
400
500

1
0
0
4
13
109
246
99
23
4
0
1

frequ

0 -500 -400 -300 -200 -100

100

200

300

400

500

Scenario Loss ('000s)

494
477.841
339
345.435
349
282.204
329
277.041
487
253.385
227
217.974
131
202.256
238
201.389
473
191.269
306
191.050
477
185.127
495
184.450
376
182.707
237
180.105
365
172.224
283
172.212
378
167.104
320
167.066
242
166.800
322
166.517
441
164.075
304
160.778
292
157.597
485
156.830
490
156.511
249
152.982
370
152.585
228
151.057
336
145.721
499
142.535
135
139.737
437
136.984
408
136.622
256
133.916
459
133.875
498
133.744
366
131.287
415
131.030
375
129.241
298
128.274
241
127.921
142
127.693
429
125.462
98
124.431

In this worksheet the losses have been

ranked from the worst to the best. The one
day 99% VaR is in cell B6

VaR
ES

253.385
327.181

481
488
451
240
141
296
427
469
358
445
21
302
225
334
132
465
371
254
233
194
350
364
472
453
20
461
351
193
175
318
321
335
284
416
389
430
418
444
299
466
435
134
392
294
406

123.343
123.100
123.044
122.937
122.608
121.032
121.010
120.233
119.183
118.117
118.089
117.995
117.818
117.381
113.971
113.094
112.445
112.423
108.810
106.081
105.652
104.898
103.142
102.165
101.201
100.801
100.481
99.966
99.588
98.373
97.348
96.386
95.038
93.601
93.099
90.567
90.533
88.546
86.964
84.360
82.771
81.942
81.910
81.741
81.163

393
486
337
313
221
74
345
331
205
356
127
23
280
185
197
464
423
257
100
111
231
31
110
338
133
223
279
374
324
216
293
442
404
3
450
120
41
56
70
436
399
226
491
343
297

80.539
79.353
77.735
77.697
76.827
76.727
74.993
74.737
74.376
73.182
70.760
70.545
70.032
69.844
68.743
68.619
66.859
65.949
65.275
64.899
63.471
62.821
60.568
59.426
59.066
58.904
58.066
57.551
56.143
55.459
55.267
54.547
53.869
53.264
52.834
51.672
51.421
51.262
49.799
48.382
48.127
47.245
47.049
46.519
45.306

425
290
150
303
424
431
419
12
382
369
475
165
448
63
62
428
47
367
151
93
476
14
330
438
65
312
352
203
192
107
460
390
401
159
380
92
266
447
4
27
286
96
55
167
180

44.835
44.720
43.489
43.331
42.778
42.707
42.375
42.100
41.649
41.445
40.125
39.965
39.412
38.064
37.967
37.414
36.334
35.691
35.544
34.950
34.435
34.097
32.906
31.034
30.414
30.033
29.714
29.500
29.493
29.048
28.760
28.408
28.133
26.815
26.563
26.368
25.301
25.296
25.139
24.954
24.877
24.711
23.890
23.725
23.406

89
84
149
69
59
410
36
117
333
213
332
204
381
383
73
125
492
261
195
207
13
43
144
170
439
208
153
28
11
272
90
434
171
328
182
8
95
168
116
186
360
202
420
396
58

22.258
22.231
22.214
21.563
21.274
21.249
20.551
18.898
17.867
17.295
17.073
16.814
16.255
16.194
14.873
14.348
13.724
13.678
13.303
12.764
12.223
10.296
10.061
9.862
9.814
9.774
9.561
9.514
8.982
8.087
7.726
6.925
6.660
6.587
6.393
6.063
5.139
5.059
4.294
3.837
3.015
3.005
2.386
1.853
1.782

9
278
449
105
114
32
271
276
206
121
201
137
10
103
75
78
17
259
273
52
177
403
220
119
38
452
35
188
81
126
319
128
183
71
50
112
262
391
82
83
179
178
282
139
269

1.463
0.709
0.449
0.236
-0.336
-0.339
-0.431
-0.600
-1.335
-1.520
-2.070
-3.204
-3.494
-3.924
-4.185
-4.458
-4.640
-5.137
-5.272
-5.441
-5.504
-6.007
-6.036
-6.420
-6.694
-8.146
-8.617
-8.748
-8.882
-9.597
-9.695
-10.061
-10.928
-11.135
-11.624
-12.035
-12.257
-12.620
-13.028
-13.035
-13.134
-13.338
-13.451
-13.572
-13.672

217
265
42
440
1
325
104
67
88
417
106
157
348
148
164
154
281
22
160
57
191
64
25
342
484
323
68
400
229
99
422
394
245
140
398
446
2
253
30
152
85
161
163
264
53

-13.689
-14.006
-14.157
-14.218
-14.334
-15.055
-15.184
-16.652
-16.786
-16.958
-17.083
-17.113
-17.607
-18.339
-18.390
-18.467
-18.918
-19.194
-19.284
-19.353
-19.380
-19.416
-19.511
-20.034
-20.523
-20.764
-21.114
-21.260
-22.879
-24.443
-24.641
-25.010
-25.413
-25.760
-26.258
-26.954
-27.481
-27.537
-27.564
-27.581
-27.999
-28.163
-29.011
-29.037
-29.057

45
340
158
91
49
275
387
97
86
39
113
184
130
224
411
80
118
456
267
129
122
462
172
215
407
214
187
48
77
354
388
51
196
29
79
124
209
60
479
54
251
174
210
176
26

-29.533
-30.009
-30.238
-30.355
-30.355
-30.509
-30.637
-30.666
-30.693
-30.719
-31.480
-31.527
-31.614
-32.265
-32.549
-33.404
-33.783
-33.959
-34.129
-34.153
-34.203
-34.358
-34.640
-35.976
-36.498
-36.876
-37.809
-38.648
-39.161
-39.368
-39.491
-39.991
-40.626
-40.801
-41.554
-41.631
-41.854
-42.254
-42.643
-42.756
-42.876
-43.575
-43.593
-44.189
-44.431

108
212
156
66
230
301
274
169
414
355
277
37
386
470
474
190
234
478
19
16
189
421
181
413
443
426
308
311
33
46
260
316
87
287
18
101
72
15
235
368
247
44
255
219
109

-44.489
-45.074
-45.905
-46.518
-47.127
-47.275
-48.731
-48.762
-48.955
-49.039
-49.126
-49.144
-49.310
-49.351
-50.813
-51.633
-51.636
-51.849
-51.871
-51.930
-52.193
-52.626
-52.638
-53.103
-53.316
-53.926
-53.929
-54.160
-54.388
-54.468
-54.563
-54.649
-54.831
-55.699
-56.358
-56.537
-56.735
-57.041
-57.361
-57.598
-58.088
-61.700
-61.820
-61.839
-61.854

295
327
5
433
317
244
482
211
198
468
432
232
40
458
250
248
315
454
289
222
310
34
61
102
199
24
412
146
409
6
347
7
166
363
155
239
270
480
359
457
200
138
285
291
173

-62.109
-63.098
-63.635
-64.430
-64.507
-65.245
-65.382
-65.823
-66.175
-66.715
-68.949
-69.733
-69.733
-70.121
-70.661
-70.900
-71.381
-71.404
-73.109
-74.574
-74.877
-76.533
-78.697
-79.106
-79.641
-82.828
-83.197
-83.507
-83.889
-85.834
-85.983
-86.960
-87.313
-87.375
-87.388
-88.340
-89.262
-89.561
-89.974
-92.288
-92.302
-92.980
-94.248
-94.436
-96.415

362
471
145
314
143
385
76
94
268
162
397
300
115
402
243
218
123
307
246
357
136
288
373
500
483
496
236
305
326
252
346
405
258
493
344
147
372
309
463
361
384
353
467
455
263

-96.710
-101.134
-103.596
-103.735
-104.577
-104.750
-105.529
-105.620
-106.240
-107.427
-109.591
-109.827
-109.970
-110.394
-110.837
-112.259
-113.432
-114.009
-118.910
-120.306
-121.229
-122.830
-123.893
-126.439
-127.951
-129.781
-131.005
-131.968
-138.656
-144.042
-145.475
-146.293
-149.550
-155.022
-155.540
-162.941
-165.044
-167.152
-167.882
-179.873
-180.236
-185.883
-188.986
-205.510
-214.909

395
489
341
377
379
497

-224.515
-284.925
-307.930
-316.489
-333.022
-555.795
0.870
93.698408
218.84519
0.0002844
15.643455
4.2197048

Scenario Loss ('000s) Weight

1
-14.334
0.000446
2
-27.481
0.000449
3
53.264
0.000451
4
25.139
0.000453
5
-63.635
0.000455
6
-85.834
0.000458
7
-86.960
0.00046
8
6.063
0.000462
9
1.463
0.000465
10
-3.494
0.000467
11
8.982
0.000469
12
42.100
0.000472
13
12.223
0.000474
14
34.097
0.000476
15
-57.041
0.000479
16
-51.930
0.000481
17
-4.640
0.000484
18
-56.358
0.000486
19
-51.871
0.000488
20
101.201
0.000491
21
118.089
0.000493
22
-19.194
0.000496
23
70.545
0.000498
24
-82.828
0.000501
25
-19.511
0.000503
26
-44.431
0.000506
27
24.954
0.000508
28
9.514
0.000511
29
-40.801
0.000514
30
-27.564
0.000516
31
62.821
0.000519
32
-0.339
0.000521
33
-54.388
0.000524
34
-76.533
0.000527
35
-8.617
0.000529
36
20.551
0.000532
37
-49.144
0.000535
38
-6.694
0.000537
39
-30.719
0.00054
40
-69.733
0.000543
41
51.421
0.000545
42
-14.157
0.000548
43
10.296
0.000551
44
-61.700
0.000554

lambda
0.995

In this worksheet weights are assigned to

according to the age of the data generatin

45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89

-29.533
-54.468
36.334
-38.648
-30.355
-11.624
-39.991
-5.441
-29.057
-42.756
23.890
51.262
-19.353
1.782
21.274
-42.254
-78.697
37.967
38.064
-19.416
30.414
-46.518
-16.652
-21.114
21.563
49.799
-11.135
-56.735
14.873
76.727
-4.185
-105.529
-39.161
-4.458
-41.554
-33.404
-8.882
-13.028
-13.035
22.231
-27.999
-30.693
-54.831
-16.786
22.258

0.000556
0.000559
0.000562
0.000565
0.000568
0.000571
0.000573
0.000576
0.000579
0.000582
0.000585
0.000588
0.000591
0.000594
0.000597
0.0006
0.000603
0.000606
0.000609
0.000612
0.000615
0.000618
0.000621
0.000624
0.000628
0.000631
0.000634
0.000637
0.00064
0.000644
0.000647
0.00065
0.000653
0.000657
0.00066
0.000663
0.000666
0.00067
0.000673
0.000677
0.00068
0.000683
0.000687
0.00069
0.000694

90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134

7.726
-30.355
26.368
34.950
-105.620
5.139
24.711
-30.666
124.431
-24.443
65.275
-56.537
-79.106
-3.924
-15.184
0.236
-17.083
29.048
-44.489
-61.854
60.568
64.899
-12.035
-31.480
-0.336
-109.970
4.294
18.898
-33.783
-6.420
51.672
-1.520
-34.203
-113.432
-41.631
14.348
-9.597
70.760
-10.061
-34.153
-31.614
202.256
113.971
59.066
81.942

0.000697
0.000701
0.000704
0.000708
0.000711
0.000715
0.000719
0.000722
0.000726
0.000729
0.000733
0.000737
0.00074
0.000744
0.000748
0.000752
0.000755
0.000759
0.000763
0.000767
0.000771
0.000775
0.000779
0.000782
0.000786
0.00079
0.000794
0.000798
0.000802
0.000806
0.00081
0.000814
0.000819
0.000823
0.000827
0.000831
0.000835
0.000839
0.000844
0.000848
0.000852
0.000856
0.000861
0.000865
0.000869

135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179

139.737
-121.229
-3.204
-92.980
-13.572
-25.760
122.608
127.693
-104.577
10.061
-103.596
-83.507
-162.941
-18.339
22.214
43.489
35.544
-27.581
9.561
-18.467
-87.388
-45.905
-17.113
-30.238
26.815
-19.284
-28.163
-107.427
-29.011
-18.390
39.965
-87.313
23.725
5.059
-48.762
9.862
6.660
-34.640
-96.415
-43.575
99.588
-44.189
-5.504
-13.338
-13.134

0.000874
0.000878
0.000882
0.000887
0.000891
0.000896
0.0009
0.000905
0.000909
0.000914
0.000919
0.000923
0.000928
0.000933
0.000937
0.000942
0.000947
0.000951
0.000956
0.000961
0.000966
0.000971
0.000976
0.00098
0.000985
0.00099
0.000995
0.001
0.001005
0.00101
0.001015
0.001021
0.001026
0.001031
0.001036
0.001041
0.001046
0.001052
0.001057
0.001062
0.001068
0.001073
0.001078
0.001084
0.001089

180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224

23.406
-52.638
6.393
-10.928
-31.527
69.844
3.837
-37.809
-8.748
-52.193
-51.633
-19.380
29.493
99.966
106.081
13.303
-40.626
68.743
-66.175
-79.641
-92.302
-2.070
3.005
29.500
16.814
74.376
-1.335
12.764
9.774
-41.854
-43.593
-65.823
-45.074
17.295
-36.876
-35.976
55.459
-13.689
-112.259
-61.839
-6.036
76.827
-74.574
58.904
-32.265

0.001095
0.0011
0.001106
0.001111
0.001117
0.001123
0.001128
0.001134
0.00114
0.001145
0.001151
0.001157
0.001163
0.001168
0.001174
0.00118
0.001186
0.001192
0.001198
0.001204
0.00121
0.001216
0.001222
0.001229
0.001235
0.001241
0.001247
0.001253
0.00126
0.001266
0.001272
0.001279
0.001285
0.001292
0.001298
0.001305
0.001311
0.001318
0.001324
0.001331
0.001338
0.001345
0.001351
0.001358
0.001365

225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269

117.818
47.245
217.974
151.057
-22.879
-47.127
63.471
-69.733
108.810
-51.636
-57.361
-131.005
180.105
201.389
-88.340
122.937
127.921
166.800
-110.837
-65.245
-25.413
-118.910
-58.088
-70.900
152.982
-70.661
-42.876
-144.042
-27.537
112.423
-61.820
133.916
65.949
-149.550
-5.137
-54.563
13.678
-12.257
-214.909
-29.037
-14.006
25.301
-34.129
-106.240
-13.672

0.001372
0.001379
0.001386
0.001393
0.0014
0.001407
0.001414
0.001421
0.001428
0.001435
0.001442
0.001449
0.001457
0.001464
0.001471
0.001479
0.001486
0.001494
0.001501
0.001509
0.001516
0.001524
0.001532
0.001539
0.001547
0.001555
0.001563
0.001571
0.001578
0.001586
0.001594
0.001602
0.00161
0.001618
0.001627
0.001635
0.001643
0.001651
0.00166
0.001668
0.001676
0.001685
0.001693
0.001702
0.00171

270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314

-89.262
-0.431
8.087
-5.272
-48.731
-30.509
-0.600
-49.126
0.709
58.066
70.032
-18.918
-13.451
172.212
95.038
-94.248
24.877
-55.699
-122.830
-73.109
44.720
-94.436
157.597
55.267
81.741
-62.109
121.032
45.306
128.274
86.964
-109.827
-47.275
117.995
43.331
160.778
-131.968
191.050
-114.009
-53.929
-167.152
-74.877
-54.160
30.033
77.697
-103.735

0.001719
0.001727
0.001736
0.001745
0.001754
0.001762
0.001771
0.00178
0.001789
0.001798
0.001807
0.001816
0.001825
0.001835
0.001844
0.001853
0.001862
0.001872
0.001881
0.001891
0.0019
0.00191
0.001919
0.001929
0.001939
0.001948
0.001958
0.001968
0.001978
0.001988
0.001998
0.002008
0.002018
0.002028
0.002038
0.002048
0.002059
0.002069
0.002079
0.00209
0.0021
0.002111
0.002122
0.002132
0.002143

315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359

-71.381
-54.649
-64.507
98.373
-9.695
167.066
97.348
166.517
-20.764
56.143
-15.055
-138.656
-63.098
6.587
277.041
32.906
74.737
17.073
17.867
117.381
96.386
145.721
77.735
59.426
345.435
-30.009
-307.930
-20.034
46.519
-155.540
74.993
-145.475
-85.983
-17.607
282.204
105.652
100.481
29.714
-185.883
-39.368
-49.039
73.182
-120.306
119.183
-89.974

0.002154
0.002165
0.002175
0.002186
0.002197
0.002208
0.00222
0.002231
0.002242
0.002253
0.002264
0.002276
0.002287
0.002299
0.00231
0.002322
0.002334
0.002345
0.002357
0.002369
0.002381
0.002393
0.002405
0.002417
0.002429
0.002441
0.002454
0.002466
0.002478
0.002491
0.002503
0.002516
0.002528
0.002541
0.002554
0.002567
0.00258
0.002593
0.002606
0.002619
0.002632
0.002645
0.002658
0.002672
0.002685

360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404

3.015
-179.873
-96.710
-87.375
104.898
172.224
131.287
35.691
-57.598
41.445
152.585
112.445
-165.044
-123.893
57.551
129.241
182.707
-316.489
167.104
-333.022
26.563
16.255
41.649
16.194
-180.236
-104.750
-49.310
-30.637
-39.491
93.099
28.408
-12.620
81.910
80.539
-25.010
-224.515
1.853
-109.591
-26.258
48.127
-21.260
28.133
-110.394
-6.007
53.869

0.002699
0.002712
0.002726
0.00274
0.002753
0.002767
0.002781
0.002795
0.002809
0.002823
0.002837
0.002852
0.002866
0.00288
0.002895
0.002909
0.002924
0.002939
0.002954
0.002968
0.002983
0.002998
0.003013
0.003028
0.003044
0.003059
0.003074
0.00309
0.003105
0.003121
0.003137
0.003152
0.003168
0.003184
0.0032
0.003216
0.003232
0.003249
0.003265
0.003281
0.003298
0.003314
0.003331
0.003348
0.003365

405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449

-146.293
81.163
-36.498
136.622
-83.889
21.249
-32.549
-83.197
-53.103
-48.955
131.030
93.601
-16.958
90.533
42.375
2.386
-52.626
-24.641
66.859
42.778
44.835
-53.926
121.010
37.414
125.462
90.567
42.707
-68.949
-64.430
6.925
82.771
48.382
136.984
31.034
9.814
-14.218
164.075
54.547
-53.316
88.546
118.117
-26.954
25.296
39.412
0.449

0.003382
0.003399
0.003416
0.003433
0.00345
0.003467
0.003485
0.003502
0.00352
0.003538
0.003555
0.003573
0.003591
0.003609
0.003627
0.003646
0.003664
0.003682
0.003701
0.003719
0.003738
0.003757
0.003776
0.003795
0.003814
0.003833
0.003852
0.003872
0.003891
0.003911
0.00393
0.00395
0.00397
0.00399
0.00401
0.00403
0.00405
0.004071
0.004091
0.004112
0.004132
0.004153
0.004174
0.004195
0.004216

450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494

52.834
123.044
-8.146
102.165
-71.404
-205.510
-33.959
-92.288
-70.121
133.875
28.760
100.801
-34.358
-167.882
68.619
113.094
84.360
-188.986
-66.715
120.233
-49.351
-101.134
103.142
191.269
-50.813
40.125
34.435
185.127
-51.849
-42.643
-89.561
123.343
-65.382
-127.951
-20.523
156.830
79.353
253.385
123.100
-284.925
156.511
47.049
13.724
-155.022
477.841

0.004237
0.004258
0.00428
0.004301
0.004323
0.004345
0.004367
0.004389
0.004411
0.004433
0.004455
0.004477
0.0045
0.004523
0.004545
0.004568
0.004591
0.004614
0.004637
0.004661
0.004684
0.004708
0.004731
0.004755
0.004779
0.004803
0.004827
0.004851
0.004876
0.0049
0.004925
0.00495
0.004974
0.004999
0.005025
0.00505
0.005075
0.005101
0.005126
0.005152
0.005178
0.005204
0.00523
0.005256
0.005283

495
496
497
498
499
500

184.450
-129.781
-555.795
133.744
142.535
-126.439

0.005309
0.005336
0.005363
0.00539
0.005417
0.005444

ghts are assigned to the scenarios

f the data generating the scenario.

Scenario Loss ('000s) Weight

Cum Weight
494
477.841
0.005283
0.00528
339
345.435
0.002429
0.00771
349
282.204
0.002554
0.01027
329
277.041
0.00231
0.01258
487
253.385
0.005101
0.01768
227
217.974
0.001386
0.01906
131
202.256
0.000856
0.01992
238
201.389
0.001464
0.02138
473
191.269
0.004755
0.02614
306
191.050
0.002059
0.02820
477
185.127
0.004851
0.03305
495
184.450
0.005309
0.03836
376
182.707
0.002924
0.04128
237
180.105
0.001457
0.04274
365
172.224
0.002767
0.04551
283
172.212
0.001835
0.04734
378
167.104
0.002954
0.05029
320
167.066
0.002208
0.05250
242
166.800
0.001494
0.05400
322
166.517
0.002231
0.05623
441
164.075
0.00405
0.06028
304
160.778
0.002038
0.06231
292
157.597
0.001919
0.06423
485
156.830
0.00505
0.06928
490
156.511
0.005178
0.07446
249
152.982
0.001547
0.07601
370
152.585
0.002837
0.07885
228
151.057
0.001393
0.08024
336
145.721
0.002393
0.08263
499
142.535
0.005417
0.08805
135
139.737
0.000874
0.08892
437
136.984
0.00397
0.09289
408
136.622
0.003433
0.09632
256
133.916
0.001602
0.09793
459
133.875
0.004433
0.10236
498
133.744
0.00539
0.10775
366
131.287
0.002781
0.11053
415
131.030
0.003555
0.11409
375
129.241
0.002909
0.11700
298
128.274
0.001978
0.11897
241
127.921
0.001486
0.12046
142
127.693
0.000905
0.12136
429
125.462
0.003814
0.12518
98
124.431
0.000726
0.12590

In this spreadsheet, lo
from the worst loss to
the loss for which the
that 0.01

VaR
ES

282.204
400.9142

481
488
451
240
141
296
427
469
358
445
21
302
225
334
132
465
371
254
233
194
350
364
472
453
20
461
351
193
175
318
321
335
284
416
389
430
418
444
299
466
435
134
392
294
406

123.343
123.100
123.044
122.937
122.608
121.032
121.010
120.233
119.183
118.117
118.089
117.995
117.818
117.381
113.971
113.094
112.445
112.423
108.810
106.081
105.652
104.898
103.142
102.165
101.201
100.801
100.481
99.966
99.588
98.373
97.348
96.386
95.038
93.601
93.099
90.567
90.533
88.546
86.964
84.360
82.771
81.942
81.910
81.741
81.163

0.00495
0.005126
0.004258
0.001479
0.0009
0.001958
0.003776
0.004661
0.002672
0.004132
0.000493
0.002018
0.001372
0.002369
0.000861
0.004568
0.002852
0.001586
0.001428
0.001174
0.002567
0.002753
0.004731
0.004301
0.000491
0.004477
0.00258
0.001168
0.001068
0.002186
0.00222
0.002381
0.001844
0.003573
0.003121
0.003833
0.003609
0.004112
0.001988
0.004591
0.00393
0.000869
0.003168
0.001939
0.003399

0.13085
0.13598
0.14024
0.14172
0.14262
0.14458
0.14835
0.15301
0.15568
0.15982
0.16031
0.16233
0.16370
0.16607
0.16693
0.17150
0.17435
0.17593
0.17736
0.17854
0.18110
0.18386
0.18859
0.19289
0.19338
0.19786
0.20044
0.20161
0.20267
0.20486
0.20708
0.20946
0.21130
0.21488
0.21800
0.22183
0.22544
0.22955
0.23154
0.23613
0.24006
0.24093
0.24410
0.24604
0.24944

393
486
337
313
221
74
345
331
205
356
127
23
280
185
197
464
423
257
100
111
231
31
110
338
133
223
279
374
324
216
293
442
404
3
450
120
41
56
70
436
399
226
491
343
297

80.539
79.353
77.735
77.697
76.827
76.727
74.993
74.737
74.376
73.182
70.760
70.545
70.032
69.844
68.743
68.619
66.859
65.949
65.275
64.899
63.471
62.821
60.568
59.426
59.066
58.904
58.066
57.551
56.143
55.459
55.267
54.547
53.869
53.264
52.834
51.672
51.421
51.262
49.799
48.382
48.127
47.245
47.049
46.519
45.306

0.003184
0.005075
0.002405
0.002132
0.001345
0.000644
0.002503
0.002334
0.001241
0.002645
0.000839
0.000498
0.001807
0.001123
0.001192
0.004545
0.003701
0.00161
0.000733
0.000775
0.001414
0.000519
0.000771
0.002417
0.000865
0.001358
0.001798
0.002895
0.002253
0.001311
0.001929
0.004071
0.003365
0.000451
0.004237
0.00081
0.000545
0.000588
0.000631
0.00395
0.003281
0.001379
0.005204
0.002478
0.001968

0.25262
0.25770
0.26010
0.26223
0.26358
0.26422
0.26672
0.26906
0.27030
0.27294
0.27378
0.27428
0.27609
0.27721
0.27840
0.28295
0.28665
0.28826
0.28899
0.28977
0.29118
0.29170
0.29247
0.29489
0.29575
0.29711
0.29891
0.30180
0.30406
0.30537
0.30730
0.31137
0.31473
0.31518
0.31942
0.32023
0.32078
0.32136
0.32199
0.32594
0.32923
0.33060
0.33581
0.33829
0.34025

425
290
150
303
424
431
419
12
382
369
475
165
448
63
62
428
47
367
151
93
476
14
330
438
65
312
352
203
192
107
460
390
401
159
380
92
266
447
4
27
286
96
55
167
180

44.835
44.720
43.489
43.331
42.778
42.707
42.375
42.100
41.649
41.445
40.125
39.965
39.412
38.064
37.967
37.414
36.334
35.691
35.544
34.950
34.435
34.097
32.906
31.034
30.414
30.033
29.714
29.500
29.493
29.048
28.760
28.408
28.133
26.815
26.563
26.368
25.301
25.296
25.139
24.954
24.877
24.711
23.890
23.725
23.406

0.003738
0.0019
0.000942
0.002028
0.003719
0.003852
0.003627
0.000472
0.003013
0.002823
0.004803
0.001015
0.004195
0.000609
0.000606
0.003795
0.000562
0.002795
0.000947
0.000708
0.004827
0.000476
0.002322
0.00399
0.000615
0.002122
0.002593
0.001229
0.001163
0.000759
0.004455
0.003137
0.003314
0.000985
0.002983
0.000704
0.001685
0.004174
0.000453
0.000508
0.001862
0.000719
0.000585
0.001026
0.001095

0.34399
0.34589
0.34683
0.34886
0.35258
0.35643
0.36006
0.36053
0.36355
0.36637
0.37117
0.37219
0.37638
0.37699
0.37760
0.38139
0.38196
0.38475
0.38570
0.38640
0.39123
0.39171
0.39403
0.39802
0.39863
0.40076
0.40335
0.40458
0.40574
0.40650
0.41095
0.41409
0.41741
0.41839
0.42137
0.42208
0.42376
0.42794
0.42839
0.42890
0.43076
0.43148
0.43206
0.43309
0.43419

89
84
149
69
59
410
36
117
333
213
332
204
381
383
73
125
492
261
195
207
13
43
144
170
439
208
153
28
11
272
90
434
171
328
182
8
95
168
116
186
360
202
420
396
58

22.258
22.231
22.214
21.563
21.274
21.249
20.551
18.898
17.867
17.295
17.073
16.814
16.255
16.194
14.873
14.348
13.724
13.678
13.303
12.764
12.223
10.296
10.061
9.862
9.814
9.774
9.561
9.514
8.982
8.087
7.726
6.925
6.660
6.587
6.393
6.063
5.139
5.059
4.294
3.837
3.015
3.005
2.386
1.853
1.782

0.000694
0.000677
0.000937
0.000628
0.000597
0.003467
0.000532
0.000798
0.002357
0.001292
0.002345
0.001235
0.002998
0.003028
0.00064
0.000831
0.00523
0.001643
0.00118
0.001253
0.000474
0.000551
0.000914
0.001041
0.00401
0.00126
0.000956
0.000511
0.000469
0.001736
0.000697
0.003911
0.001046
0.002299
0.001106
0.000462
0.000715
0.001031
0.000794
0.001128
0.002699
0.001222
0.003646
0.003232
0.000594

0.43488
0.43556
0.43649
0.43712
0.43772
0.44118
0.44172
0.44251
0.44487
0.44616
0.44851
0.44974
0.45274
0.45577
0.45641
0.45724
0.46247
0.46411
0.46529
0.46655
0.46702
0.46757
0.46849
0.46953
0.47354
0.47480
0.47575
0.47627
0.47673
0.47847
0.47917
0.48308
0.48412
0.48642
0.48753
0.48799
0.48871
0.48974
0.49053
0.49166
0.49436
0.49558
0.49923
0.50246
0.50305

9
278
449
105
114
32
271
276
206
121
201
137
10
103
75
78
17
259
273
52
177
403
220
119
38
452
35
188
81
126
319
128
183
71
50
112
262
391
82
83
179
178
282
139
269

1.463
0.709
0.449
0.236
-0.336
-0.339
-0.431
-0.600
-1.335
-1.520
-2.070
-3.204
-3.494
-3.924
-4.185
-4.458
-4.640
-5.137
-5.272
-5.441
-5.504
-6.007
-6.036
-6.420
-6.694
-8.146
-8.617
-8.748
-8.882
-9.597
-9.695
-10.061
-10.928
-11.135
-11.624
-12.035
-12.257
-12.620
-13.028
-13.035
-13.134
-13.338
-13.451
-13.572
-13.672

0.000465
0.001789
0.004216
0.000752
0.000786
0.000521
0.001727
0.001771
0.001247
0.000814
0.001216
0.000882
0.000467
0.000744
0.000647
0.000657
0.000484
0.001627
0.001745
0.000576
0.001078
0.003348
0.001338
0.000806
0.000537
0.00428
0.000529
0.00114
0.000666
0.000835
0.002197
0.000844
0.001111
0.000634
0.000571
0.000779
0.001651
0.003152
0.00067
0.000673
0.001089
0.001084
0.001825
0.000891
0.00171

0.50352
0.50531
0.50952
0.51027
0.51106
0.51158
0.51331
0.51508
0.51633
0.51714
0.51836
0.51924
0.51971
0.52045
0.52110
0.52176
0.52224
0.52387
0.52561
0.52619
0.52727
0.53061
0.53195
0.53276
0.53329
0.53757
0.53810
0.53924
0.53991
0.54074
0.54294
0.54379
0.54490
0.54553
0.54610
0.54688
0.54853
0.55168
0.55235
0.55303
0.55412
0.55520
0.55703
0.55792
0.55963

217
265
42
440
1
325
104
67
88
417
106
157
348
148
164
154
281
22
160
57
191
64
25
342
484
323
68
400
229
99
422
394
245
140
398
446
2
253
30
152
85
161
163
264
53

-13.689
-14.006
-14.157
-14.218
-14.334
-15.055
-15.184
-16.652
-16.786
-16.958
-17.083
-17.113
-17.607
-18.339
-18.390
-18.467
-18.918
-19.194
-19.284
-19.353
-19.380
-19.416
-19.511
-20.034
-20.523
-20.764
-21.114
-21.260
-22.879
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-25.010
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-26.954
-27.481
-27.537
-27.564
-27.581
-27.999
-28.163
-29.011
-29.037
-29.057

0.001318
0.001676
0.000548
0.00403
0.000446
0.002264
0.000748
0.000621
0.00069
0.003591
0.000755
0.000976
0.002541
0.000933
0.00101
0.000961
0.001816
0.000496
0.00099
0.000591
0.001157
0.000612
0.000503
0.002466
0.005025
0.002242
0.000624
0.003298
0.0014
0.000729
0.003682
0.0032
0.001516
0.000896
0.003265
0.004153
0.000449
0.001578
0.000516
0.000951
0.00068
0.000995
0.001005
0.001668
0.000579

0.56094
0.56262
0.56317
0.56720
0.56765
0.56991
0.57066
0.57128
0.57197
0.57556
0.57632
0.57729
0.57983
0.58077
0.58178
0.58274
0.58455
0.58505
0.58604
0.58663
0.58779
0.58840
0.58890
0.59137
0.59639
0.59863
0.59926
0.60256
0.60396
0.60469
0.60837
0.61157
0.61308
0.61398
0.61725
0.62140
0.62185
0.62343
0.62394
0.62489
0.62557
0.62657
0.62757
0.62924
0.62982

45
340
158
91
49
275
387
97
86
39
113
184
130
224
411
80
118
456
267
129
122
462
172
215
407
214
187
48
77
354
388
51
196
29
79
124
209
60
479
54
251
174
210
176
26

-29.533
-30.009
-30.238
-30.355
-30.355
-30.509
-30.637
-30.666
-30.693
-30.719
-31.480
-31.527
-31.614
-32.265
-32.549
-33.404
-33.783
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-34.129
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-35.976
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-40.626
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-41.631
-41.854
-42.254
-42.643
-42.756
-42.876
-43.575
-43.593
-44.189
-44.431

0.000556
0.002441
0.00098
0.000701
0.000568
0.001762
0.00309
0.000722
0.000683
0.00054
0.000782
0.001117
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0.001365
0.003485
0.000663
0.000802
0.004367
0.001693
0.000848
0.000819
0.0045
0.001052
0.001305
0.003416
0.001298
0.001134
0.000565
0.000653
0.002619
0.003105
0.000573
0.001186
0.000514
0.00066
0.000827
0.001266
0.0006
0.0049
0.000582
0.001563
0.001062
0.001272
0.001073
0.000506

0.63038
0.63282
0.63380
0.63450
0.63507
0.63683
0.63992
0.64064
0.64133
0.64187
0.64265
0.64376
0.64462
0.64598
0.64947
0.65013
0.65093
0.65530
0.65699
0.65784
0.65866
0.66316
0.66421
0.66551
0.66893
0.67023
0.67136
0.67193
0.67258
0.67520
0.67830
0.67888
0.68006
0.68058
0.68124
0.68206
0.68333
0.68393
0.68883
0.68941
0.69097
0.69204
0.69331
0.69438
0.69489

108
212
156
66
230
301
274
169
414
355
277
37
386
470
474
190
234
478
19
16
189
421
181
413
443
426
308
311
33
46
260
316
87
287
18
101
72
15
235
368
247
44
255
219
109

-44.489
-45.074
-45.905
-46.518
-47.127
-47.275
-48.731
-48.762
-48.955
-49.039
-49.126
-49.144
-49.310
-49.351
-50.813
-51.633
-51.636
-51.849
-51.871
-51.930
-52.193
-52.626
-52.638
-53.103
-53.316
-53.926
-53.929
-54.160
-54.388
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-55.699
-56.358
-56.537
-56.735
-57.041
-57.361
-57.598
-58.088
-61.700
-61.820
-61.839
-61.854

0.000763
0.001285
0.000971
0.000618
0.001407
0.002008
0.001754
0.001036
0.003538
0.002632
0.00178
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0.004779
0.001151
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0.004876
0.000488
0.000481
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0.003664
0.0011
0.00352
0.004091
0.003757
0.002079
0.002111
0.000524
0.000559
0.001635
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0.000687
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0.000737
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0.000479
0.001442
0.002809
0.001532
0.000554
0.001594
0.001331
0.000767

0.69565
0.69694
0.69791
0.69853
0.69993
0.70194
0.70369
0.70473
0.70827
0.71090
0.71268
0.71321
0.71629
0.72097
0.72575
0.72690
0.72834
0.73321
0.73370
0.73418
0.73533
0.73899
0.74009
0.74361
0.74770
0.75146
0.75354
0.75565
0.75617
0.75673
0.75837
0.76053
0.76122
0.76309
0.76358
0.76431
0.76495
0.76543
0.76687
0.76968
0.77121
0.77177
0.77336
0.77469
0.77546

295
327
5
433
317
244
482
211
198
468
432
232
40
458
250
248
315
454
289
222
310
34
61
102
199
24
412
146
409
6
347
7
166
363
155
239
270
480
359
457
200
138
285
291
173

-62.109
-63.098
-63.635
-64.430
-64.507
-65.245
-65.382
-65.823
-66.175
-66.715
-68.949
-69.733
-69.733
-70.121
-70.661
-70.900
-71.381
-71.404
-73.109
-74.574
-74.877
-76.533
-78.697
-79.106
-79.641
-82.828
-83.197
-83.507
-83.889
-85.834
-85.983
-86.960
-87.313
-87.375
-87.388
-88.340
-89.262
-89.561
-89.974
-92.288
-92.302
-92.980
-94.248
-94.436
-96.415

0.001948
0.002287
0.000455
0.003891
0.002175
0.001509
0.004974
0.001279
0.001198
0.004637
0.003872
0.001421
0.000543
0.004411
0.001555
0.001539
0.002154
0.004323
0.001891
0.001351
0.0021
0.000527
0.000603
0.00074
0.001204
0.000501
0.003502
0.000923
0.00345
0.000458
0.002528
0.00046
0.001021
0.00274
0.000966
0.001471
0.001719
0.004925
0.002685
0.004389
0.00121
0.000887
0.001853
0.00191
0.001057

0.77741
0.77969
0.78015
0.78404
0.78622
0.78773
0.79270
0.79398
0.79518
0.79981
0.80369
0.80511
0.80565
0.81006
0.81161
0.81315
0.81531
0.81963
0.82152
0.82287
0.82497
0.82550
0.82610
0.82684
0.82805
0.82855
0.83205
0.83297
0.83642
0.83688
0.83941
0.83987
0.84089
0.84363
0.84460
0.84607
0.84779
0.85271
0.85540
0.85978
0.86099
0.86188
0.86373
0.86564
0.86670

362
471
145
314
143
385
76
94
268
162
397
300
115
402
243
218
123
307
246
357
136
288
373
500
483
496
236
305
326
252
346
405
258
493
344
147
372
309
463
361
384
353
467
455
263

-96.710
-101.134
-103.596
-103.735
-104.577
-104.750
-105.529
-105.620
-106.240
-107.427
-109.591
-109.827
-109.970
-110.394
-110.837
-112.259
-113.432
-114.009
-118.910
-120.306
-121.229
-122.830
-123.893
-126.439
-127.951
-129.781
-131.005
-131.968
-138.656
-144.042
-145.475
-146.293
-149.550
-155.022
-155.540
-162.941
-165.044
-167.152
-167.882
-179.873
-180.236
-185.883
-188.986
-205.510
-214.909

0.002726
0.004708
0.000919
0.002143
0.000909
0.003059
0.00065
0.000711
0.001702
0.001
0.003249
0.001998
0.00079
0.003331
0.001501
0.001324
0.000823
0.002069
0.001524
0.002658
0.000878
0.001881
0.00288
0.005444
0.004999
0.005336
0.001449
0.002048
0.002276
0.001571
0.002516
0.003382
0.001618
0.005256
0.002491
0.000928
0.002866
0.00209
0.004523
0.002712
0.003044
0.002606
0.004614
0.004345
0.00166

0.86943
0.87413
0.87505
0.87720
0.87811
0.88116
0.88181
0.88253
0.88423
0.88523
0.88848
0.89047
0.89126
0.89460
0.89610
0.89742
0.89824
0.90031
0.90184
0.90450
0.90537
0.90725
0.91014
0.91558
0.92058
0.92591
0.92736
0.92941
0.93169
0.93326
0.93577
0.93916
0.94077
0.94603
0.94852
0.94945
0.95232
0.95441
0.95893
0.96164
0.96468
0.96729
0.97190
0.97625
0.97791

395
489
341
377
379
497

-224.515
-284.925
-307.930
-316.489
-333.022
-555.795

0.003216
0.005152
0.002454
0.002939
0.002968
0.005363

0.98112
0.98628
0.98873
0.99167
0.99464
1.00000

this spreadsheet, losses with their weights are ranked

om the worst loss to the best. The new VaR estimate is
e loss for which the cumulative weight is just greater
at 0.01

lambda
0.94

Day
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43

Date
8/7/2006
8/8/2006
8/9/2006
8/10/2006
8/11/2006
8/14/2006
8/15/2006
8/16/2006
8/17/2006
8/18/2006
8/21/2006
8/22/2006
8/23/2006
8/24/2006
8/25/2006
8/29/2006
8/30/2006
8/31/2006
9/1/2006
9/5/2006
9/6/2006
9/7/2006
9/8/2006
9/11/2006
9/12/2006
9/13/2006
9/14/2006
9/15/2006
9/19/2006
9/20/2006
9/21/2006
9/22/2006
9/25/2006
9/26/2006
9/27/2006
9/28/2006
9/29/2006
10/2/2006
10/3/2006
10/4/2006
10/5/2006
10/6/2006
10/10/2006
10/11/2006

DJIA
11219.38
11173.59
11076.18
11124.37
11088.02
11097.87
11230.26
11327.12
11334.96
11381.47
11345.04
11339.84
11297.9
11304.46
11284.05
11369.94
11382.91
11381.15
11464.15
11469.28
11406.2
11331.44
11392.11
11396.84
11498.09
11543.32
11527.39
11560.77
11540.91
11613.19
11533.23
11508.1
11575.81
11669.39
11689.24
11718.45
11679.07
11670.35
11727.34
11850.61
11866.69
11850.21
11867.17
11852.13

DJIA Return

DJIA Variance

-0.00408133
-0.00871788
0.004350778
-0.0032676
0.000888346
0.011929316
0.008624912
0.000692144
0.004103235
-0.00320082
-0.00045835
-0.00369846
0.000580639
-0.00180548
0.007611629
0.001140727
-0.00015462
0.00729276
0.000447482
-0.00549991
-0.00655433
0.00535413
0.0004152
0.008884042
0.003933697
-0.00138002
0.002895712
-0.00171788
0.006262938
-0.00688527
-0.00217892
0.005883682
0.0080841
0.001701032
0.002498879
-0.00336051
-0.00074663
0.004883315
0.010511335
0.001356892
-0.00138876
0.001431198
-0.00126736

0.0001229524
0.0001165747
0.0001141403
0.0001084277
0.0001025626
9.645623E-005
9.920737E-005
9.771827E-005
9.188392E-005
8.738108E-005
8.275293E-005
7.780036E-005
7.395305E-005
6.953610E-005
6.555952E-005
6.510216E-005
6.127411E-005
5.759910E-005
5.733421E-005
5.390617E-005
5.248674E-005
5.191509E-005
5.052019E-005
4.749932E-005
4.938493E-005
4.735028E-005
4.462353E-005
4.244922E-005
4.007934E-005
0.000040028
4.047078E-005
3.832739E-005
3.810481E-005
3.973968E-005
3.752891E-005
3.565184E-005
3.419031E-005
3.217234E-005
3.167281E-005
3.640173E-005
3.432810E-005
3.238413E-005
0.000030564

44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88

10/12/2006
10/13/2006
10/16/2006
10/17/2006
10/18/2006
10/19/2006
10/20/2006
10/23/2006
10/24/2006
10/25/2006
10/26/2006
10/27/2006
10/30/2006
10/31/2006
11/1/2006
11/2/2006
11/6/2006
11/7/2006
11/8/2006
11/9/2006
11/10/2006
11/13/2006
11/14/2006
11/15/2006
11/16/2006
11/17/2006
11/20/2006
11/21/2006
11/22/2006
11/24/2006
11/27/2006
11/28/2006
11/29/2006
11/30/2006
12/1/2006
12/4/2006
12/5/2006
12/6/2006
12/7/2006
12/8/2006
12/11/2006
12/12/2006
12/13/2006
12/14/2006
12/15/2006

11947.7
11960.51
11980.59
11950.02
11992.68
12011.73
12002.37
12116.91
12127.88
12134.68
12163.66
12090.26
12086.49
12080.73
12031.02
12018.54
12105.55
12156.77
12176.54
12103.3
12108.43
12131.88
12218.01
12251.71
12305.82
12342.55
12316.54
12321.59
12326.95
12280.17
12121.71
12136.44
12226.73
12221.93
12194.13
12283.85
12331.6
12309.25
12278.41
12307.48
12328.48
12315.58
12317.5
12416.76
12445.52

0.00806353
0.001072173
0.001678858
-0.00255163
0.003569869
0.001588469
-0.00077924
0.009543115
0.000905346
0.000560692
0.002388196
-0.00603437
-0.00031182
-0.00047657
-0.00411482
-0.00103732
0.007239648
0.004231117
0.001626254
-0.00601484
0.000423851
0.001936667
0.007099477
0.002758223
0.004416526
0.002984767
-0.00210734
0.000410018
0.000435009
-0.00379494
-0.01290373
0.001215175
0.007439579
-0.00039258
-0.0022746
0.007357638
0.003887218
-0.00181242
-0.00250543
0.00236757
0.001706279
-0.00104636
0.0001559
0.008058453
0.002316224

2.882651E-005
3.099815E-005
2.920724E-005
2.762392E-005
2.635713E-005
2.554034E-005
2.415931E-005
2.274619E-005
2.684568E-005
2.528412E-005
2.378593E-005
0.000022701
2.352374E-005
2.211815E-005
2.080469E-005
2.057231E-005
1.940254E-005
2.138313E-005
2.117429E-005
2.006251E-005
2.102946E-005
1.977847E-005
1.881681E-005
0.000020712
1.992570E-005
1.990050E-005
0.000019241
0.000018353
1.726190E-005
1.623754E-005
1.612738E-005
2.515012E-005
2.372971E-005
2.562676E-005
2.409841E-005
2.296293E-005
2.483325E-005
2.424988E-005
0.000022992
2.198909E-005
2.100607E-005
1.992039E-005
1.879086E-005
1.766486E-005
2.050129E-005

89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133

12/18/2006
12/19/2006
12/20/2006
12/21/2006
12/22/2006
12/27/2006
12/28/2006
12/29/2006
1/4/2007
1/5/2007
1/9/2007
1/10/2007
1/11/2007
1/12/2007
1/16/2007
1/17/2007
1/18/2007
1/19/2007
1/22/2007
1/23/2007
1/24/2007
1/25/2007
1/26/2007
1/29/2007
1/30/2007
1/31/2007
2/1/2007
2/2/2007
2/5/2007
2/6/2007
2/7/2007
2/8/2007
2/9/2007
2/13/2007
2/14/2007
2/15/2007
2/16/2007
2/20/2007
2/21/2007
2/22/2007
2/23/2007
2/26/2007
2/27/2007
2/28/2007
3/1/2007

12441.27
12471.32
12463.87
12421.25
12343.21
12510.57
12501.52
12463.15
12480.69
12398.01
12416.6
12442.16
12514.98
12556.08
12582.59
12577.15
12567.93
12565.53
12477.16
12533.8
12621.77
12502.56
12487.02
12490.78
12523.31
12621.69
12673.68
12653.49
12661.74
12666.31
12666.87
12637.63
12580.83
12654.85
12741.86
12765.01
12767.57
12786.64
12738.41
12686.02
12647.48
12632.26
12216.24
12268.63
12234.34

-0.00034149
0.002415348
-0.00059737
-0.00341948
-0.00628278
0.013558872
-0.00072339
-0.00306923
0.001407349
-0.00662463
0.001499434
0.002058535
0.005852682
0.003284064
0.002111328
-0.00043234
-0.00073308
-0.00019096
-0.00703273
0.004539495
0.007018622
-0.00944479
-0.00124295
0.000301113
0.002604321
0.007855751
0.0041191
-0.00159307
0.000651994
0.00036093
4.4212E-005
-0.00230838
-0.00449451
0.005883555
0.006875625
0.001816846
0.000200548
0.001493628
-0.00377191
-0.00411276
-0.00303799
-0.0012034
-0.03293314
0.004288554
-0.00279493

1.959311E-005
1.842452E-005
1.766908E-005
1.663035E-005
1.633410E-005
1.772245E-005
2.768969E-005
2.605970E-005
2.506133E-005
2.367649E-005
0.000024889
2.353060E-005
0.000022373
2.308587E-005
2.234782E-005
2.127442E-005
2.000917E-005
1.884086E-005
1.771260E-005
1.961740E-005
1.967678E-005
2.145183E-005
0.000025517
2.407865E-005
2.263937E-005
0.000021688
2.408945E-005
2.366210E-005
2.239464E-005
2.107647E-005
1.981970E-005
1.863063E-005
1.783251E-005
1.797460E-005
1.897310E-005
2.067117E-005
0.000019629
1.845363E-005
1.748027E-005
1.728509E-005
1.726287E-005
1.678086E-005
1.586090E-005
7.998475E-005
7.628917E-005

134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178

3/2/2007
3/5/2007
3/6/2007
3/7/2007
3/8/2007
3/9/2007
3/12/2007
3/13/2007
3/14/2007
3/15/2007
3/16/2007
3/19/2007
3/20/2007
3/22/2007
3/23/2007
3/26/2007
3/27/2007
3/28/2007
3/29/2007
3/30/2007
4/2/2007
4/3/2007
4/4/2007
4/5/2007
4/10/2007
4/11/2007
4/12/2007
4/13/2007
4/16/2007
4/17/2007
4/18/2007
4/19/2007
4/20/2007
4/23/2007
4/24/2007
4/25/2007
4/26/2007
4/27/2007
5/2/2007
5/8/2007
5/9/2007
5/10/2007
5/11/2007
5/14/2007
5/15/2007

12114.1
12050.41
12207.59
12192.45
12260.7
12276.32
12318.62
12075.96
12133.4
12159.68
12110.41
12226.17
12288.1
12461.14
12481.01
12469.07
12397.29
12300.36
12348.75
12354.35
12382.3
12510.93
12530.05
12560.83
12573.85
12484.62
12552.96
12612.13
12720.46
12773.04
12803.84
12808.63
12961.98
12919.4
12953.94
13089.89
13105.5
13120.94
13211.88
13309.07
13362.87
13215.13
13326.22
13346.78
13383.84

-0.00982807
-0.00525751
0.01304354
-0.00124021
0.005597726
0.001273989
0.003445658
-0.01969864
0.004756558
0.002165922
-0.00405192
0.009558718
0.005065364
0.014081917
0.001594557
-0.00095665
-0.00575664
-0.00781864
0.003934031
0.000453487
0.002262361
0.010388215
0.001528264
0.002456495
0.001036556
-0.00709647
0.005473935
0.004713629
0.00858935
0.004133498
0.002411329
0.000374107
0.011972397
-0.00328499
0.002673499
0.010494876
0.001192523
0.001178131
0.006930906
0.007356258
0.004042356
-0.01105601
0.008406274
0.001542823
0.0027767

7.218052E-005
7.364515E-005
7.088492E-005
7.683986E-005
7.232176E-005
6.986253E-005
6.576816E-005
6.253442E-005
8.206453E-005
7.849815E-005
7.406973E-005
7.061063E-005
7.185614E-005
6.908424E-005
7.683721E-005
7.237954E-005
6.809168E-005
6.599451E-005
6.570271E-005
6.268915E-005
5.894014E-005
5.571083E-005
5.884308E-005
5.545263E-005
5.248753E-005
4.940275E-005
4.946018E-005
4.829041E-005
4.672608E-005
4.834913E-005
4.647333E-005
4.403380E-005
4.140017E-005
4.751646E-005
4.531294E-005
0.000043023
4.705018E-005
4.431250E-005
0.000041737
4.211506E-005
0.000042835
4.124536E-005
4.610476E-005
4.757840E-005
4.486651E-005

179
180
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182
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184
185
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188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223

5/16/2007
5/17/2007
5/18/2007
5/21/2007
5/22/2007
5/23/2007
5/24/2007
5/25/2007
5/29/2007
5/30/2007
5/31/2007
6/1/2007
6/4/2007
6/5/2007
6/6/2007
6/7/2007
6/8/2007
6/11/2007
6/12/2007
6/13/2007
6/14/2007
6/15/2007
6/18/2007
6/19/2007
6/20/2007
6/21/2007
6/22/2007
6/25/2007
6/26/2007
6/27/2007
6/28/2007
6/29/2007
7/2/2007
7/3/2007
7/5/2007
7/6/2007
7/9/2007
7/10/2007
7/11/2007
7/12/2007
7/13/2007
7/17/2007
7/18/2007
7/19/2007
7/20/2007

13487.53
13476.72
13556.53
13542.88
13539.95
13525.65
13441.13
13507.28
13521.34
13633.08
13627.64
13668.11
13676.32
13595.46
13465.67
13266.73
13424.39
13424.96
13295.01
13482.35
13553.73
13639.48
13612.98
13635.42
13489.42
13545.84
13360.26
13352.05
13337.66
13427.73
13422.28
13408.62
13535.43
13577.3
13565.84
13611.68
13649.97
13501.7
13577.87
13861.73
13907.25
13971.55
13918.22
14000.41
13851.08

0.007747403
-0.00080148
0.005922064
-0.00100689
-0.00021635
-0.00105613
-0.00624887
0.004921461
0.00104092
0.008263974
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0.0029697
0.000600668
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0.011883863
0.00004246
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0.014091001
0.005294329
0.006326672
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0.001648427
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0.004182537
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0.006753059
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0.009457349
0.003093363
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0.003379076
0.002813025
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0.005641512
0.020906077
0.003283861
0.004623488
-0.00381704
0.005905209
-0.01066612

4.263713E-005
4.368023E-005
0.000041098
4.073634E-005
0.000038353
3.605461E-005
3.395826E-005
3.426367E-005
3.366109E-005
3.170644E-005
3.390165E-005
3.187710E-005
3.049362E-005
2.868566E-005
2.906191E-005
3.278642E-005
4.391526E-005
4.975391E-005
4.676879E-005
4.958449E-005
5.852280E-005
5.669323E-005
5.569324E-005
5.257813E-005
4.958649E-005
5.349021E-005
5.133042E-005
5.951223E-005
5.596416E-005
0.000052676
5.225167E-005
4.912645E-005
0.000046241
0.000048833
4.647719E-005
4.373130E-005
4.179251E-005
3.975975E-005
4.445353E-005
4.369592E-005
0.000067298
6.390715E-005
6.135532E-005
5.854819E-005
5.712759E-005

224
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264
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268

7/23/2007
7/24/2007
7/25/2007
7/26/2007
7/27/2007
7/30/2007
7/31/2007
8/1/2007
8/2/2007
8/3/2007
8/6/2007
8/7/2007
8/8/2007
8/9/2007
8/10/2007
8/13/2007
8/14/2007
8/15/2007
8/16/2007
8/17/2007
8/20/2007
8/21/2007
8/22/2007
8/23/2007
8/24/2007
8/28/2007
8/29/2007
8/30/2007
8/31/2007
9/4/2007
9/5/2007
9/6/2007
9/7/2007
9/10/2007
9/11/2007
9/12/2007
9/13/2007
9/14/2007
9/18/2007
9/19/2007
9/20/2007
9/21/2007
9/25/2007
9/26/2007
9/27/2007

13943.42
13716.95
13785.79
13473.57
13265.47
13358.31
13211.99
13362.37
13463.33
13181.91
13468.78
13504.3
13657.86
13270.68
13239.54
13236.53
13028.92
12861.47
12845.78
13079.08
13121.35
13090.86
13236.13
13235.88
13378.87
13041.85
13289.29
13238.73
13357.74
13448.86
13305.47
13363.35
13113.38
13127.85
13308.39
13291.65
13424.88
13442.52
13739.39
13815.56
13766.7
13820.19
13778.65
13878.15
13912.94

0.006666628
-0.01624207
0.005018608
-0.02264796
-0.01544505
0.006998621
-0.01095348
0.011382086
0.007555546
-0.0209027
0.0217624
0.00263721
0.011371193
-0.02834851
-0.00234653
-0.00022735
-0.01568462
-0.01285218
-0.00121992
0.018161606
0.003231879
-0.00232369
0.011097056
-1.8888E-005
0.010803211
-0.02519047
0.018972768
-0.00380457
0.008989533
0.006821513
-0.01066187
0.004350091
-0.01870564
0.001103453
0.013752442
-0.00125785
0.010023586
0.001313978
0.022084401
0.005543914
-0.00353659
0.003885463
-0.00300575
0.007221317
0.002506818

6.052589E-005
0.000059561
7.181561E-005
6.901786E-005
9.565259E-005
0.0001042264
0.0001009117
0.0001020557
0.0001037055
0.0001009083
0.0001210692
0.0001422212
0.0001341052
0.0001338171
0.0001740064
0.0001638964
0.0001540657
0.0001595822
0.000159918
0.0001504122
0.0001611781
0.0001521341
0.00014333
0.0001421189
0.0001335918
0.0001325789
0.0001626977
0.0001745338
0.0001649303
0.0001598831
0.0001530821
0.0001507177
0.0001428101
0.0001552355
0.0001459944
0.0001485826
0.0001397625
0.0001374051
0.0001292644
0.0001507718
0.0001435696
0.0001357059
0.0001284693
0.0001213032
0.0001171539

269
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303
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309
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311
312
313

9/28/2007
10/1/2007
10/2/2007
10/3/2007
10/4/2007
10/5/2007
10/9/2007
10/10/2007
10/11/2007
10/12/2007
10/15/2007
10/16/2007
10/17/2007
10/18/2007
10/19/2007
10/22/2007
10/23/2007
10/24/2007
10/25/2007
10/26/2007
10/29/2007
10/30/2007
10/31/2007
11/1/2007
11/2/2007
11/5/2007
11/6/2007
11/7/2007
11/8/2007
11/9/2007
11/12/2007
11/13/2007
11/14/2007
11/15/2007
11/16/2007
11/19/2007
11/20/2007
11/21/2007
11/26/2007
11/27/2007
11/28/2007
11/29/2007
11/30/2007
12/3/2007
12/4/2007

13895.63
14087.55
14047.31
13968.05
13974.31
14066.01
14164.53
14078.69
14015.12
14093.08
13984.8
13912.94
13892.54
13888.96
13522.02
13566.97
13676.23
13675.25
13671.92
13806.7
13870.26
13792.47
13930.01
13567.87
13595.1
13543.4
13660.94
13300.02
13266.29
13042.74
12987.55
13307.09
13231.01
13110.05
13176.79
12958.44
13010.14
12799.04
12743.44
12958.44
13289.45
13311.73
13371.72
13314.57
13248.73

-0.00124417
0.013811536
-0.00285642
-0.00564236
0.000448166
0.006562041
0.007004118
-0.00606021
-0.00451533
0.005562564
-0.0076832
-0.00513844
-0.00146626
-0.00025769
-0.02641954
0.003324207
0.008053383
-7.1657E-005
-0.00024351
0.009858162
0.004603562
-0.0056084
0.009972108
-0.02599711
0.002006947
-0.00380284
0.008678766
-0.02641985
-0.00253609
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-0.00423147
0.024603563
-0.00571725
-0.00914216
0.005090751
-0.0165708
0.003989678
-0.01622581
-0.00434408
0.016871426
0.02554397
0.001676518
0.004506552
-0.00427395
-0.00494496

0.0001105017
0.0001039645
0.0001091721
0.0001031113
9.883483E-005
9.291679E-005
8.992541E-005
8.747334E-005
8.442851E-005
8.058609E-005
7.760745E-005
7.649290E-005
7.348754E-005
6.920728E-005
6.505883E-005
0.0001030348
9.751577E-005
9.555624E-005
8.982318E-005
8.443734E-005
8.520211E-005
8.136155E-005
7.836710E-005
7.963165E-005
0.0001154047
0.0001087221
0.0001030665
0.0001014018
0.0001371982
0.0001293522
0.0001386284
0.000131385
0.000159822
0.0001521939
0.000148077
0.0001407474
0.000148778
0.0001408064
0.0001481546
0.0001403976
0.0001490524
0.0001792589
0.000168672
0.0001597703
0.00015128

314
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338
339
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341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358

12/5/2007
12/6/2007
12/7/2007
12/10/2007
12/11/2007
12/12/2007
12/13/2007
12/14/2007
12/17/2007
12/18/2007
12/19/2007
12/20/2007
12/21/2007
12/27/2007
12/28/2007
1/4/2008
1/7/2008
1/8/2008
1/9/2008
1/10/2008
1/11/2008
1/15/2008
1/16/2008
1/17/2008
1/18/2008
1/22/2008
1/23/2008
1/24/2008
1/25/2008
1/28/2008
1/29/2008
1/30/2008
1/31/2008
2/1/2008
2/4/2008
2/5/2008
2/6/2008
2/7/2008
2/8/2008
2/12/2008
2/13/2008
2/14/2008
2/15/2008
2/19/2008
2/20/2008

13444.96
13619.89
13625.58
13727.03
13432.77
13473.9
13517.96
13339.85
13167.2
13232.47
13207.27
13245.64
13450.65
13359.61
13365.87
12800.18
12827.49
12589.07
12735.31
12853.09
12606.3
12501.11
12466.16
12159.21
12099.3
11971.19
12270.17
12378.61
12207.17
12383.89
12480.3
12442.83
12650.36
12743.19
12635.16
12265.13
12200.1
12247
12182.13
12373.41
12552.24
12376.98
12348.21
12337.22
12427.26

0.014811231
0.013010823
0.000417771
0.007445555
-0.02143654
0.003061915
0.003270026
-0.0131758
-0.01294242
0.004957014
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0.002905218
0.015477546
-0.00676845
0.000468577
-0.04232347
0.002133564
-0.01858664
0.011616426
0.009248303
-0.01920083
-0.00834424
-0.00279575
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0.024974961
0.008837693
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0.014476738
0.007785114
-0.00300233
0.016678682
0.007338131
-0.00847747
-0.02928574
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0.003844231
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0.015701688
0.014452766
-0.01396245
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-0.00089001
0.007298241

0.0001436704
0.0001482125
0.0001494767
0.0001405185
0.0001354136
0.0001548603
0.0001461312
0.0001380049
0.0001401407
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0.0001268826
0.0001197761
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0.0001147813
0.000215371
0.0002027218
0.0002112863
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0.0001994352
0.0002095894
0.0002011916
0.0001895891
0.0002145902
0.0002031714
0.0001977078
0.0002232702
0.0002145603
0.0002131955
0.0002129783
0.0002038361
0.0001921468
0.0001973087
0.0001887011
0.000181691
0.0002222489
0.0002106006
0.0001988513
0.0001886036
0.0001920799
0.0001930881
0.0001931998
0.000181932
0.0001710636

359
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383
384
385
386
387
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389
390
391
392
393
394
395
396
397
398
399
400
401
402
403

2/21/2008
2/22/2008
2/25/2008
2/26/2008
2/27/2008
2/28/2008
2/29/2008
3/3/2008
3/4/2008
3/5/2008
3/6/2008
3/7/2008
3/10/2008
3/11/2008
3/12/2008
3/13/2008
3/14/2008
3/17/2008
3/18/2008
3/19/2008
3/25/2008
3/26/2008
3/27/2008
3/28/2008
3/31/2008
4/1/2008
4/2/2008
4/3/2008
4/4/2008
4/7/2008
4/8/2008
4/9/2008
4/10/2008
4/11/2008
4/14/2008
4/15/2008
4/16/2008
4/17/2008
4/18/2008
4/21/2008
4/22/2008
4/23/2008
4/24/2008
4/25/2008
4/28/2008

12284.3
12381.02
12570.22
12684.92
12694.28
12582.18
12266.39
12258.9
12213.8
12254.99
12040.39
11893.69
11740.15
12156.81
12110.24
12145.74
11951.09
11972.25
12392.66
12099.66
12532.6
12422.86
12302.46
12216.4
12262.89
12654.36
12608.92
12626.03
12609.42
12612.43
12576.44
12527.26
12581.98
12325.42
12302.06
12362.47
12619.27
12620.49
12849.36
12825.02
12720.23
12763.22
12848.95
12891.86
12871.75

-0.01150374
0.007873465
0.015281455
0.009124741
0.000737884
-0.00883075
-0.02509819
-0.00061061
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0.003372415
-0.01751123
-0.01218399
-0.01290937
0.035490177
-0.00383077
0.002931404
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0.00177055
0.035115371
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0.035781171
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0.031923144
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0.00023871
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-0.00391049
0.004368074
-0.02039107
-0.00189527
0.00491056
0.020772548
9.6678E-005
0.018134795
-0.00189426
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0.003379656
0.006716957
0.003339572
-0.0015599

0.0001639956
0.0001620961
0.0001560898
0.0001607358
0.0001560873
0.0001467547
0.0001426284
0.0001718658
0.0001615762
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0.0001544109
0.0002207194
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0.000199999
0.0001881872
0.0002508813
0.000269368
0.0003300234
0.0003148225
0.000301569
0.0002864109
0.0002700952
0.0003150347
0.0002969063
0.0002792024
0.0002625541
0.0002468043
0.0002324846
0.000219453
0.0002074306
0.0002199325
0.0002069521
0.0001959818
0.0002101128
0.0001975066
0.0002053885
0.0001932804
0.0001856893
0.0001752333
0.0001674263
0.0001580499

404
405
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407
408
409
410
411
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413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448

4/30/2008
5/2/2008
5/7/2008
5/8/2008
5/9/2008
5/12/2008
5/13/2008
5/14/2008
5/15/2008
5/16/2008
5/19/2008
5/20/2008
5/21/2008
5/22/2008
5/23/2008
5/27/2008
5/28/2008
5/29/2008
5/30/2008
6/2/2008
6/3/2008
6/4/2008
6/5/2008
6/6/2008
6/9/2008
6/10/2008
6/11/2008
6/12/2008
6/13/2008
6/16/2008
6/17/2008
6/18/2008
6/19/2008
6/20/2008
6/23/2008
6/24/2008
6/25/2008
6/26/2008
6/27/2008
6/30/2008
7/1/2008
7/2/2008
7/3/2008
7/7/2008
7/8/2008

12820.13
13058.2
12814.35
12866.78
12745.88
12876.05
12832.18
12898.38
12992.66
12986.8
13028.16
12828.68
12601.19
12625.62
12479.63
12548.35
12594.03
12646.22
12638.32
12503.82
12402.85
12390.48
12604.45
12209.81
12280.32
12289.76
12083.77
12141.58
12307.35
12269.08
12160.3
12029.06
12063.09
11842.69
11842.36
11807.43
11811.83
11453.42
11346.51
11350.01
11382.26
11215.51
11288.53
11231.96
11384.21

-0.00401033 0.0001487129
0.018570015 0.0001407551
-0.01867409 0.0001530005
0.004091507 0.0001647438
-0.00939629 0.0001558636
0.010212712 0.0001518092
-0.0034071 0.0001489586
0.005158905 0.0001407176
0.007309445 0.0001338714
-0.00045102 0.0001290448
0.003184772 0.0001213143
-0.01531145
0.000114644
-0.01773292 0.0001218318
0.001938706 0.0001333893
-0.011563 0.0001256114
0.005506574 0.0001260969
0.003640319 0.0001203505
0.004144027 0.0001139245
-0.00062469 0.0001081194
-0.01064224 0.0001016557
-0.00807513 0.0001023518
-0.00099735 0.0001001231
0.017268903 9.417544E-005
-0.03130958 0.0001064178
0.005774865 0.0001588501
0.00076871 0.0001513201
-0.01676111 0.0001422763
0.004784103 0.0001505958
0.013653083 0.0001429333
-0.00310952 0.0001455417
-0.00886619 0.0001373894
-0.0107925 0.0001338626
0.002828982 0.0001328195
-0.01827061 0.0001253305
-2.7865E-005 0.0001378396
-0.00294958 0.0001295693
0.000372647 0.0001223171
-0.03034331 0.0001149864
-0.00933433 0.0001633302
0.000308465 0.0001587582
0.002841407 0.0001492384
-0.01464999 0.0001407685
0.006510627 0.0001451997
-0.00501128
0.000139031
0.01355507
0.000132196

449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493

7/9/2008
7/10/2008
7/11/2008
7/14/2008
7/15/2008
7/16/2008
7/17/2008
7/18/2008
7/22/2008
7/23/2008
7/24/2008
7/25/2008
7/28/2008
7/29/2008
7/30/2008
7/31/2008
8/1/2008
8/4/2008
8/5/2008
8/6/2008
8/7/2008
8/8/2008
8/11/2008
8/12/2008
8/13/2008
8/14/2008
8/15/2008
8/18/2008
8/19/2008
8/20/2008
8/21/2008
8/22/2008
8/26/2008
8/27/2008
8/28/2008
8/29/2008
9/2/2008
9/3/2008
9/4/2008
9/5/2008
9/8/2008
9/9/2008
9/10/2008
9/11/2008
9/12/2008

11147.44
11229.02
11100.54
11055.19
10962.54
11239.28
11446.66
11496.57
11602.5
11632.38
11349.28
11370.69
11131.08
11397.56
11583.69
11378.02
11326.32
11284.15
11615.77
11656.07
11431.43
11734.32
11782.35
11642.47
11532.96
11615.93
11659.9
11479.39
11348.55
11417.43
11430.21
11628.06
11412.87
11502.51
11715.18
11543.55
11516.92
11532.88
11188.23
11220.96
11510.74
11230.73
11268.92
11433.71
11421.99

-0.02079811
0.007318272
-0.01144178
-0.00408539
-0.00838068
0.02524415
0.01845136
0.004360224
0.009214053
0.002575307
-0.02433724
0.001886463
-0.0210726
0.023940175
0.016330688
-0.01775514
-0.00454385
-0.00372319
0.029388124
0.003469421
-0.01927236
0.026496248
0.004093122
-0.01187199
-0.00940608
0.007194164
0.003785319
-0.01548126
-0.01139782
0.006069498
0.001119341
0.017309393
-0.0185061
0.007854291
0.018489008
-0.01465022
-0.00230692
0.001385787
-0.02988412
0.002925396
0.025824885
-0.02432598
0.003400491
0.014623407
-0.00102504

0.0001352886
0.000153125
0.0001471509
0.0001461767
0.0001384075
0.0001343172
0.0001644942
0.0001750517
0.0001656893
0.0001608419
0.0001515893
0.000178032
0.0001675636
0.0001841531
0.0002074918
0.0002110438
0.0002172958
0.0002054969
0.0001939988
0.0002341786
0.0002208501
0.0002298845
0.0002582145
0.0002437269
0.0002375599
0.0002286148
0.0002180032
0.0002057828
0.000207816
0.0002031416
0.0001931635
0.0001816488
0.0001887268
0.0001979517
0.000189776
0.0001989001
0.0001998438
0.0001881725
0.0001769974
0.0002199612
0.000207277
0.0002348558
0.0002562697
0.0002415873
0.0002399227

494
495
496
497
498
499
500
501

9/16/2008
9/17/2008
9/18/2008
9/19/2008
9/22/2008
9/24/2008
9/25/2008

11059.02
10609.66
11019.69
11388.44
11015.69
10825.17
11022.06

-0.03177818
-0.0406329
0.038646856
0.033462829
-0.03273056
-0.01729533
0.018188167

0.0002255904
0.0002726461
0.0003553493
0.0004236431
0.0004654101
0.0005017629
0.0004896048
0.0004800771

DJIA Vol
1.11%
1.08%
1.07%
1.04%
1.01%
0.98%
1.00%
0.99%
0.96%
0.93%
0.91%
0.88%
0.86%
0.83%
0.81%
0.81%
0.78%
0.76%
0.76%
0.73%
0.72%
0.72%
0.71%
0.69%
0.70%
0.69%
0.67%
0.65%
0.63%
0.63%
0.64%
0.62%
0.62%
0.63%
0.61%
0.60%
0.58%
0.57%
0.56%
0.60%
0.59%
0.57%
0.55%

FTSE 100
11131.84
11096.28
11185.35
11016.71
11040.73
11109.50
11179.47
11203.54
11170.05
11096.03
11221.13
11147.06
11097.08
11100.82
11088.22
11145.96
11300.65
11232.22
11323.52
11320.97
11150.64
10978.08
10965.48
10897.12
11057.60
11045.52
11112.02
11037.01
11003.44
11082.43
11185.45
11076.34
11012.71
11131.06
11197.81
11188.42
11135.97
11230.45
11215.78
11241.48
11269.85
11220.44
11269.11
11275.45

FTSE Return
-0.00319461
0.008027012
-0.01507706
0.002180468
0.006229151
0.006297795
0.002153103
-0.00298948
-0.00662635
0.011274641
-0.00660132
-0.00448352
0.000336461
-0.00113509
0.005208029
0.013878549
-0.00605557
0.008128042
-0.00022533
-0.01504499
-0.01547554
-0.00114747
-0.00623479
0.014727274
-0.00109261
0.006020896
-0.00675089
-0.0030412
0.007178191
0.009296268
-0.00975434
-0.00574489
0.010746506
0.005996596
-0.00083793
-0.00468862
0.008484799
-0.00130693
0.002292043
0.002523101
-0.00438359
0.004337239
0.000562898

FTSE Variance
0.0002013973
0.0001899258
0.0001823963
0.0001850915
0.0001742713
0.0001661432
0.0001585543
0.0001493192
0.0001408963
0.000135077
0.0001345994
0.0001291381
0.000122596
0.000115247
0.0001084095
0.0001035323
0.0001088772
0.0001045448
0.000102236
9.610489E-005
0.0001039197
0.0001120541
0.0001054098
0.0001014176
0.0001083461
0.0001019169
0.000097977
9.483285E-005
8.969782E-005
8.740753E-005
8.734832E-005
8.781625E-005
8.452750E-005
8.638509E-005
8.335954E-005
7.840009E-005
7.501507E-005
7.483368E-005
7.044614E-005
6.653458E-005
6.292447E-005
0.000060302
5.781254E-005

FTSE Vol
1.42%
1.38%
1.35%
1.36%
1.32%
1.29%
1.26%
1.22%
1.19%
1.16%
1.16%
1.14%
1.11%
1.07%
1.04%
1.02%
1.04%
1.02%
1.01%
0.98%
1.02%
1.06%
1.03%
1.01%
1.04%
1.01%
0.99%
0.97%
0.95%
0.93%
0.93%
0.94%
0.92%
0.93%
0.91%
0.89%
0.87%
0.87%
0.84%
0.82%
0.79%
0.78%
0.76%

0.54%
0.56%
0.54%
0.53%
0.51%
0.51%
0.49%
0.48%
0.52%
0.50%
0.49%
0.48%
0.49%
0.47%
0.46%
0.45%
0.44%
0.46%
0.46%
0.45%
0.46%
0.44%
0.43%
0.46%
0.45%
0.45%
0.44%
0.43%
0.42%
0.40%
0.40%
0.50%
0.49%
0.51%
0.49%
0.48%
0.50%
0.49%
0.48%
0.47%
0.46%
0.45%
0.43%
0.42%
0.45%

11364.81
11424.87
11481.90
11418.81
11482.80
11547.42
11574.85
11542.94
11571.17
11664.18
11672.57
11685.38
11656.24
11690.22
11727.29
11727.94
11804.76
11919.80
11874.69
11832.37
11870.46
11788.80
11714.95
11758.75
11816.13
11730.74
11771.80
11779.98
11790.81
11827.90
11719.04
11734.84
11860.93
11897.99
11926.79
11973.14
11996.29
11999.72
12044.72
12099.93
12035.63
12105.94
12181.89
12223.70
12219.52

0.007924545
0.005285138
0.004991595
-0.00549495
0.005603985
0.005628246
0.002375317
-0.00275722
0.00244546
0.008038579
0.000719322
0.001097101
-0.00249389
0.002915706
0.003170516
0.000056088
0.006550107
0.009744519
-0.00378423
-0.00356359
0.003219016
-0.00687921
-0.0062649
0.003738962
0.004880119
-0.00722636
0.00349968
0.000694887
0.00091989
0.003145075
-0.00920312
0.001347717
0.010745074
0.003124565
0.002420195
0.003886337
0.00193415
0.000285396
0.003750131
0.00458346
-0.00531341
0.005841964
0.006273037
0.003432112
-0.0003416

5.436279E-005
5.486893E-005
5.325276E-005
5.155255E-005
5.027107E-005
4.913909E-005
4.809137E-005
4.554441E-005
4.326789E-005
4.103063E-005
4.244592E-005
3.993021E-005
3.760661E-005
3.572338E-005
3.409006E-005
3.264779E-005
3.068911E-005
0.000031422
0.000035234
3.397920E-005
3.270240E-005
0.000031362
3.231967E-005
3.273543E-005
3.161009E-005
3.114242E-005
3.240709E-005
3.119753E-005
2.935465E-005
2.764414E-005
0.000026579
3.006609E-005
2.837110E-005
3.359623E-005
3.216623E-005
3.058770E-005
2.965865E-005
2.810359E-005
2.642226E-005
2.568074E-005
2.540038E-005
2.557029E-005
2.608379E-005
2.687982E-005
2.597380E-005

0.74%
0.74%
0.73%
0.72%
0.71%
0.70%
0.69%
0.67%
0.66%
0.64%
0.65%
0.63%
0.61%
0.60%
0.58%
0.57%
0.55%
0.56%
0.59%
0.58%
0.57%
0.56%
0.57%
0.57%
0.56%
0.56%
0.57%
0.56%
0.54%
0.53%
0.52%
0.55%
0.53%
0.58%
0.57%
0.55%
0.54%
0.53%
0.51%
0.51%
0.50%
0.51%
0.51%
0.52%
0.51%

0.44%
0.43%
0.42%
0.41%
0.40%
0.42%
0.53%
0.51%
0.50%
0.49%
0.50%
0.49%
0.47%
0.48%
0.47%
0.46%
0.45%
0.43%
0.42%
0.44%
0.44%
0.46%
0.51%
0.49%
0.48%
0.47%
0.49%
0.49%
0.47%
0.46%
0.45%
0.43%
0.42%
0.42%
0.44%
0.45%
0.44%
0.43%
0.42%
0.42%
0.42%
0.41%
0.40%
0.89%
0.87%

12156.19
12176.39
12183.97
12131.80
12133.64
12210.62
12231.54
12174.11
12226.33
11989.24
12024.15
11921.57
12095.74
12230.94
12188.99
12231.55
12247.95
12312.23
12289.42
12371.13
12411.74
12355.54
12204.39
12217.10
12243.06
12141.95
12379.08
12422.38
12383.72
12493.96
12548.55
12428.16
12436.25
12399.20
12590.05
12571.95
12518.03
12549.51
12410.97
12458.71
12564.86
12631.96
12355.96
12096.14
11972.68

-0.00518262
0.001662002
0.000621993
-0.00428162
0.000151418
0.006344102
0.001713662
-0.00469559
0.004289703
-0.01939144
0.002911686
-0.00853125
0.014609533
0.011177196
-0.00342966
0.003491972
0.001340988
0.005248153
-0.00185254
0.006648276
0.003282805
-0.00452821
-0.01223319
0.001041544
0.002124775
-0.00825863
0.019529581
0.003497875
-0.00311211
0.008902418
0.004369402
-0.00959448
0.000651134
-0.00297906
0.015391931
-0.00143701
-0.0042897
0.002515359
-0.01103995
0.003846672
0.008520703
0.00533992
-0.02184945
-0.02102776
-0.01020643

2.442237E-005
2.456860E-005
2.326022E-005
2.188782E-005
2.167448E-005
2.037539E-005
2.156773E-005
2.044986E-005
2.054578E-005
2.041713E-005
4.175378E-005
3.975723E-005
4.173873E-005
5.204072E-005
5.641406E-005
0.000053735
5.124250E-005
4.827585E-005
4.703188E-005
4.441588E-005
4.440290E-005
4.238534E-005
4.107250E-005
4.758721E-005
4.479706E-005
4.238012E-005
4.392961E-005
6.417810E-005
6.106153E-005
5.797895E-005
5.925539E-005
5.684557E-005
5.895808E-005
0.000055446
5.265176E-005
6.370735E-005
6.000880E-005
5.751236E-005
5.444124E-005
5.848760E-005
5.586616E-005
5.687033E-005
0.000055169
8.050277E-005
0.0001022026

0.49%
0.50%
0.48%
0.47%
0.47%
0.45%
0.46%
0.45%
0.45%
0.45%
0.65%
0.63%
0.65%
0.72%
0.75%
0.73%
0.72%
0.69%
0.69%
0.67%
0.67%
0.65%
0.64%
0.69%
0.67%
0.65%
0.66%
0.80%
0.78%
0.76%
0.77%
0.75%
0.77%
0.74%
0.73%
0.80%
0.77%
0.76%
0.74%
0.76%
0.75%
0.75%
0.74%
0.90%
1.01%

0.85%
0.86%
0.84%
0.88%
0.85%
0.84%
0.81%
0.79%
0.91%
0.89%
0.86%
0.84%
0.85%
0.83%
0.88%
0.85%
0.83%
0.81%
0.81%
0.79%
0.77%
0.75%
0.77%
0.74%
0.72%
0.70%
0.70%
0.69%
0.68%
0.70%
0.68%
0.66%
0.64%
0.69%
0.67%
0.66%
0.69%
0.67%
0.65%
0.65%
0.65%
0.64%
0.68%
0.69%
0.67%

11891.12
11669.06
11819.68
11885.12
12020.08
12065.10
12024.66
11904.05
11603.55
11876.94
11908.08
12045.19
12178.73
12429.40
12445.51
12385.61
12366.85
12317.55
12414.40
12371.88
12490.16
12595.33
12584.28
12614.20
12658.47
12691.28
12699.98
12813.65
12967.89
13028.74
12933.63
12897.95
12996.30
12961.34
12877.00
12960.63
12886.40
12850.24
12905.45
13036.61
13078.90
12935.99
13016.50
12983.17
13032.10

-0.00681264
-0.01867443
0.012908118
0.005536655
0.011355416
0.003745241
-0.00335205
-0.01002977
-0.02524358
0.023560731
0.00262152
0.011514361
0.011086086
0.020583109
0.001296014
-0.00481338
-0.00151453
-0.00398581
0.007862739
-0.00342539
0.009560709
0.008419785
-0.00087683
0.002376877
0.003509742
0.002591992
0.000685601
0.008950108
0.012037393
0.004692295
-0.00730017
-0.00275879
0.007625884
-0.00268999
-0.00650714
0.006494542
-0.00572773
-0.0028061
0.004296769
0.010162696
0.003243955
-0.01092682
0.006224092
-0.00256079
0.003769084

0.0001023207
9.896621E-005
0.0001139523
0.0001171123
0.0001119249
0.0001129461
0.0001070109
0.0001012645
0.0001012244
0.0001333852
0.0001586886
0.0001495796
0.0001485597
0.0001470202
0.0001636188
0.0001539025
0.0001460584
0.0001374325
0.0001301398
0.0001260408
0.0001191823
0.0001175158
0.0001147184
0.0001078815
0.0001017475
9.638178E-005
0.000091002
8.557007E-005
8.524213E-005
8.882153E-005
8.481330E-005
0.000082922
7.840338E-005
7.718843E-005
7.299128E-005
7.115238E-005
0.000069414
6.721755E-005
0.000063657
6.094527E-005
6.348537E-005
6.030765E-005
6.385291E-005
6.234610E-005
5.899879E-005

1.01%
0.99%
1.07%
1.08%
1.06%
1.06%
1.03%
1.01%
1.01%
1.15%
1.26%
1.22%
1.22%
1.21%
1.28%
1.24%
1.21%
1.17%
1.14%
1.12%
1.09%
1.08%
1.07%
1.04%
1.01%
0.98%
0.95%
0.93%
0.92%
0.94%
0.92%
0.91%
0.89%
0.88%
0.85%
0.84%
0.83%
0.82%
0.80%
0.78%
0.80%
0.78%
0.80%
0.79%
0.77%

0.65%
0.66%
0.64%
0.64%
0.62%
0.60%
0.58%
0.59%
0.58%
0.56%
0.58%
0.56%
0.55%
0.54%
0.54%
0.57%
0.66%
0.71%
0.68%
0.70%
0.77%
0.75%
0.75%
0.73%
0.70%
0.73%
0.72%
0.77%
0.75%
0.73%
0.72%
0.70%
0.68%
0.70%
0.68%
0.66%
0.65%
0.63%
0.67%
0.66%
0.82%
0.80%
0.78%
0.77%
0.76%

13006.18
12995.43
13111.13
13069.85
13046.05
13160.02
13035.60
13041.13
13091.44
13038.49
13098.45
13213.19
13269.56
13218.51
12991.26
12884.00
12798.78
12919.59
12868.01
12940.78
13096.31
13309.28
13278.29
13215.94
13251.39
13142.53
13107.22
13154.40
13114.66
13034.31
13159.69
13258.09
13270.83
13389.16
13339.41
13467.84
13526.76
13419.62
13457.10
13588.96
13652.36
13615.20
13477.00
13611.75
13533.90

-0.00198938
-0.00082601
0.008902782
-0.00314837
-0.00182077
0.008735713
-0.00945423
0.00042397
0.003857948
-0.00404487
0.004599168
0.008759494
0.004265936
-0.00384706
-0.01719147
-0.00825636
-0.00661416
0.009438533
-0.00399212
0.005655069
0.01201892
0.016261714
-0.00232836
-0.00469566
0.002682178
-0.00821499
-0.00268693
0.003599736
-0.00302066
-0.00612694
0.009618743
0.007477776
0.000961043
0.008916136
-0.00371574
0.009628182
0.004374975
-0.00792106
0.002793114
0.009798963
0.004665616
-0.0027225
-0.01014993
0.009998021
-0.00571881

5.631122E-005
0.00005317
5.002074E-005
5.177507E-005
4.926330E-005
4.650641E-005
4.829479E-005
5.076005E-005
4.772524E-005
4.575475E-005
4.399112E-005
4.262079E-005
4.466727E-005
4.307913E-005
4.138237E-005
5.663222E-005
5.732434E-005
5.650970E-005
5.846427E-005
5.591264E-005
5.447667E-005
5.987534E-005
7.214942E-005
6.814573E-005
6.537994E-005
6.188878E-005
6.222462E-005
5.892432E-005
5.616634E-005
5.334383E-005
5.239556E-005
0.000054803
5.486988E-005
5.163311E-005
0.000053305
5.093508E-005
5.344108E-005
0.000051383
5.206466E-005
4.940887E-005
5.220551E-005
5.037926E-005
4.780123E-005
5.111441E-005
5.404517E-005

0.75%
0.73%
0.71%
0.72%
0.70%
0.68%
0.69%
0.71%
0.69%
0.68%
0.66%
0.65%
0.67%
0.66%
0.64%
0.75%
0.76%
0.75%
0.76%
0.75%
0.74%
0.77%
0.85%
0.83%
0.81%
0.79%
0.79%
0.77%
0.75%
0.73%
0.72%
0.74%
0.74%
0.72%
0.73%
0.71%
0.73%
0.72%
0.72%
0.70%
0.72%
0.71%
0.69%
0.71%
0.74%

0.78%
0.77%
0.85%
0.83%
0.98%
1.02%
1.00%
1.01%
1.02%
1.00%
1.10%
1.19%
1.16%
1.16%
1.32%
1.28%
1.24%
1.26%
1.26%
1.23%
1.27%
1.23%
1.20%
1.19%
1.16%
1.15%
1.28%
1.32%
1.28%
1.26%
1.24%
1.23%
1.20%
1.25%
1.21%
1.22%
1.18%
1.17%
1.14%
1.23%
1.20%
1.16%
1.13%
1.10%
1.08%

13633.02
13395.77
13228.09
12792.46
12620.59
12562.39
12925.00
12684.34
12805.99
12690.73
12572.54
12751.35
13034.60
12729.91
12194.95
12510.14
12287.00
12163.62
11610.00
12043.50
12070.47
12071.17
12338.09
12429.12
12499.91
12262.37
12352.70
12519.66
12714.39
12818.64
12666.19
12763.60
12538.42
12443.02
12751.08
12806.00
12901.53
12652.18
12546.49
12915.48
12947.36
13046.41
12896.79
12964.42
13127.82

0.00732325
-0.01740223
-0.01251757
-0.03293236
-0.01343531
-0.00461132
0.028864545
-0.01861917
0.009590343
-0.00900083
-0.00931291
0.014222174
0.022213966
-0.0233759
-0.04202373
0.02584592
-0.01783676
-0.01004181
-0.04551443
0.037338941
0.002239663
5.7674E-005
0.022112525
0.007377762
0.005695545
-0.0190035
0.007366665
0.01351616
0.015553262
0.008199918
-0.01189334
0.007690687
-0.01764239
-0.00760833
0.024757273
0.004307338
0.007460107
-0.01932713
-0.00835361
0.029409377
0.002468751
0.007649814
-0.01146813
0.005244313
0.012603726

5.276475E-005
5.281666E-005
6.781792E-005
7.315022E-005
0.0001338336
0.0001366341
0.0001297119
0.0001719189
0.0001824041
0.0001769784
0.0001712206
0.0001661511
0.0001683183
0.0001878268
0.0002093432
0.0003027422
0.0003246584
0.0003242679
0.0003108621
0.0004165041
0.0004751657
0.0004469567
0.0004201395
0.000424269
0.0004020787
0.0003799003
0.0003787743
0.0003593039
0.0003487069
0.0003422987
0.0003257951
0.0003147345
0.0002993992
0.0003001105
0.000285577
0.0003052178
0.0002880179
0.000274076
0.0002800437
0.0002674281
0.0003032771
0.0002854461
0.0002718306
0.0002634118
0.0002492573

0.73%
0.73%
0.82%
0.86%
1.16%
1.17%
1.14%
1.31%
1.35%
1.33%
1.31%
1.29%
1.30%
1.37%
1.45%
1.74%
1.80%
1.80%
1.76%
2.04%
2.18%
2.11%
2.05%
2.06%
2.01%
1.95%
1.95%
1.90%
1.87%
1.85%
1.80%
1.77%
1.73%
1.73%
1.69%
1.75%
1.70%
1.66%
1.67%
1.64%
1.74%
1.69%
1.65%
1.62%
1.58%

1.05%
1.02%
1.04%
1.02%
0.99%
0.96%
0.95%
0.94%
0.92%
0.90%
0.88%
0.87%
0.86%
0.83%
0.81%
1.02%
0.99%
0.98%
0.95%
0.92%
0.92%
0.90%
0.89%
0.89%
1.07%
1.04%
1.02%
1.01%
1.17%
1.14%
1.18%
1.15%
1.26%
1.23%
1.22%
1.19%
1.22%
1.19%
1.22%
1.18%
1.22%
1.34%
1.30%
1.26%
1.23%

13175.46
13292.17
13266.02
13312.20
13366.23
13466.64
13453.08
13555.86
13707.89
13694.96
13569.40
13439.60
13607.15
13525.48
13354.78
13096.88
13343.28
13267.36
13479.44
13670.99
13820.40
13764.82
13963.45
13710.28
13596.71
13443.59
13517.00
13434.25
13453.68
13207.50
13051.00
13185.44
13284.86
13007.29
12869.91
12559.27
12855.23
12476.31
12780.04
12710.02
13061.40
13095.02
13225.86
13203.02
13001.10

0.003628427
0.008858005
-0.00196735
0.003481533
0.004058372
0.007512709
-0.00100748
0.007640234
0.011215159
-0.00094383
-0.00916815
-0.00956577
0.012467125
-0.00600222
-0.01262051
-0.01931153
0.018813716
-0.00568976
0.015985437
0.014210075
0.010928942
-0.00402134
0.01443048
-0.01813072
-0.00828394
-0.01126157
0.005460774
-0.00612198
0.001446526
-0.01829825
-0.01184939
0.01030067
0.007540256
-0.02089367
-0.01056193
-0.02413679
0.023565254
-0.02947635
0.024344649
-0.00547863
0.027645948
0.00257379
0.009991929
-0.0017273
-0.01529317

0.0002438331
0.000229993
0.0002209013
0.0002078794
0.0001961339
0.0001853541
0.0001776193
0.0001670231
0.0001605041
0.0001584206
0.0001489688
0.000145074
0.0001418598
0.000142674
0.0001362751
0.0001376552
0.000151772
0.0001639031
0.0001560113
0.0001619827
0.0001643793
0.000161683
0.0001529523
0.0001562695
0.0001666167
0.0001607371
0.0001587023
0.0001509693
0.0001441599
0.0001356359
0.0001475873
0.0001471565
0.0001446933
0.0001394231
0.0001572504
0.0001545086
0.0001801932
0.0002027009
0.0002426702
0.0002636697
0.0002496504
0.0002805293
0.000264095
0.0002542396
0.0002391643

1.56%
1.52%
1.49%
1.44%
1.40%
1.36%
1.33%
1.29%
1.27%
1.26%
1.22%
1.20%
1.19%
1.19%
1.17%
1.17%
1.23%
1.28%
1.25%
1.27%
1.28%
1.27%
1.24%
1.25%
1.29%
1.27%
1.26%
1.23%
1.20%
1.16%
1.21%
1.21%
1.20%
1.18%
1.25%
1.24%
1.34%
1.42%
1.56%
1.62%
1.58%
1.67%
1.63%
1.59%
1.55%

1.20%
1.22%
1.22%
1.19%
1.16%
1.24%
1.21%
1.17%
1.18%
1.19%
1.16%
1.13%
1.09%
1.13%
1.10%
1.07%
1.47%
1.42%
1.45%
1.44%
1.41%
1.45%
1.42%
1.38%
1.46%
1.43%
1.41%
1.49%
1.46%
1.46%
1.46%
1.43%
1.39%
1.40%
1.37%
1.35%
1.49%
1.45%
1.41%
1.37%
1.39%
1.39%
1.39%
1.35%
1.31%

13166.83
13135.93
13303.17
13434.12
13328.74
13418.73
12968.33
12919.38
12650.39
12671.63
12590.37
12572.54
12765.90
12918.93
12907.81
12534.48
12516.18
12544.55
12283.83
12180.94
12145.38
11878.87
11677.20
11668.45
11530.74
11255.19
10935.33
11584.73
11639.40
11504.86
11696.25
11607.47
11690.22
11869.08
11905.96
11528.27
11516.96
11113.91
11257.98
11585.96
11540.87
11592.80
11359.90
11643.21
11437.12

0.012747122
-0.0023464
0.012731132
0.009843664
-0.00784438
0.00675141
-0.03356477
-0.00377451
-0.02082038
0.001678416
-0.00641276
-0.00141616
0.015379595
0.011987261
-0.00086013
-0.02892323
-0.00146022
0.002267258
-0.02078387
-0.00837631
-0.00291921
-0.02194323
-0.01697667
-0.00074929
-0.01180217
-0.02389728
-0.02841869
0.059385214
0.004719448
-0.0115591
0.016635285
-0.00759008
0.007128797
0.015300378
0.003107251
-0.0317228
-0.00098139
-0.03499591
0.012962585
0.029133687
-0.00389193
0.004499787
-0.02009026
0.024939538
-0.0177006

0.0002388473
0.0002342658
0.0002205402
0.0002170326
0.0002098246
0.0002009271
0.0001916064
0.0002477057
0.0002336981
0.0002456855
0.0002311134
0.000219714
0.0002066515
0.0002084444
0.0002045594
0.0001923302
0.0002309836
0.0002172525
0.0002045258
0.0002181724
0.0002092918
0.0001972456
0.0002143011
0.0002187355
0.0002056451
0.0002016638
0.0002238288
0.0002588564
0.0004549212
0.0004289624
0.0004112414
0.0004031709
0.0003824372
0.0003625401
0.0003548338
0.0003341231
0.0003744559
0.0003520463
0.0004044064
0.0003902237
0.0004177366
0.0003935812
0.0003711812
0.0003731275
0.0003880587

1.55%
1.53%
1.49%
1.47%
1.45%
1.42%
1.38%
1.57%
1.53%
1.57%
1.52%
1.48%
1.44%
1.44%
1.43%
1.39%
1.52%
1.47%
1.43%
1.48%
1.45%
1.40%
1.46%
1.48%
1.43%
1.42%
1.50%
1.61%
2.13%
2.07%
2.03%
2.01%
1.96%
1.90%
1.88%
1.83%
1.94%
1.88%
2.01%
1.98%
2.04%
1.98%
1.93%
1.93%
1.97%

1.28%
1.27%
1.25%
1.27%
1.25%
1.21%
1.19%
1.31%
1.27%
1.24%
1.20%
1.24%
1.24%
1.24%
1.49%
1.44%
1.40%
1.41%
1.37%
1.58%
1.64%
1.82%
1.77%
1.74%
1.69%
1.64%
1.77%
1.72%
1.67%
1.62%
1.57%
1.52%
1.48%
1.44%
1.48%
1.44%
1.40%
1.45%
1.41%
1.43%
1.39%
1.36%
1.32%
1.29%
1.26%

11627.11
11581.50
11806.42
12005.57
12083.12
11869.36
11705.05
11535.37
11455.23
11646.71
11587.00
11480.17
11351.64
11401.85
11674.10
11561.26
11427.28
10833.13
11331.56
11012.45
11376.49
11331.55
11489.89
11322.61
11332.92
11561.81
11721.17
11754.32
11860.30
11967.05
11789.91
11812.82
11803.14
11622.98
11568.73
11591.70
11946.08
11874.08
12096.04
11989.78
12036.21
12047.35
11936.82
12113.36
12149.13

0.01661186
-0.00392275
0.019420128
0.016868305
0.006459499
-0.01769109
-0.01384297
-0.01449589
-0.0069478
0.016715509
-0.00512632
-0.00922029
-0.01119544
0.004423273
0.023877688
-0.00966584
-0.01158886
-0.05199407
0.04601002
-0.02816131
0.033057195
-0.00395012
0.013972773
-0.01455882
0.000911004
0.02019669
0.013783426
0.002828138
0.009016239
0.009000155
-0.01480185
0.001942792
-0.00081891
-0.01526416
-0.00466749
0.001985739
0.030571994
-0.00602689
0.018692608
-0.00878464
0.003872193
0.000925867
-0.00917481
0.014789288
0.002953094

0.0003835738
0.0003771166
0.0003554129
0.0003567166
0.000352386
0.0003337463
0.0003325
0.0003240477
0.0003172127
0.0003010762
0.0002997762
0.0002833663
0.0002714652
0.0002626975
0.0002481096
0.0002674317
0.0002569915
0.0002496301
0.0003968553
0.0005000593
0.0005176393
0.0005521476
0.000519955
0.000500472
0.0004831612
0.0004542213
0.0004514424
0.0004357549
0.0004100895
0.0003903617
0.0003718001
0.0003626378
0.000341106
0.0003206799
0.0003154188
0.0002978008
0.0002801693
0.000319438
0.0003024511
0.0003052688
0.0002915829
0.0002749876
0.0002585397
0.000248078
0.0002463167

1.96%
1.94%
1.89%
1.89%
1.88%
1.83%
1.82%
1.80%
1.78%
1.74%
1.73%
1.68%
1.65%
1.62%
1.58%
1.64%
1.60%
1.58%
1.99%
2.24%
2.28%
2.35%
2.28%
2.24%
2.20%
2.13%
2.12%
2.09%
2.03%
1.98%
1.93%
1.90%
1.85%
1.79%
1.78%
1.73%
1.67%
1.79%
1.74%
1.75%
1.71%
1.66%
1.61%
1.58%
1.57%

1.22%
1.19%
1.24%
1.28%
1.25%
1.23%
1.22%
1.19%
1.16%
1.14%
1.10%
1.07%
1.10%
1.15%
1.12%
1.12%
1.10%
1.07%
1.04%
1.01%
1.01%
1.00%
0.97%
1.03%
1.26%
1.23%
1.19%
1.23%
1.20%
1.21%
1.17%
1.16%
1.15%
1.12%
1.17%
1.14%
1.11%
1.07%
1.28%
1.26%
1.22%
1.19%
1.20%
1.18%
1.15%

12054.68
12275.61
12217.72
12267.57
12074.97
12199.84
12091.46
12069.61
12168.50
12316.71
12426.52
12188.16
12174.31
12246.99
12064.42
11963.72
12022.06
11996.03
11962.93
11797.12
11912.47
11663.78
11719.01
11635.21
11617.66
11378.97
11237.70
11267.15
11284.12
11378.28
11445.95
11274.31
11251.83
11104.45
11104.31
11106.56
11150.88
10975.70
11012.24
11196.10
10912.67
10810.27
10858.45
10857.26
10727.58

-0.0077742
0.018327513
-0.00471643
0.004080193
-0.01569988
0.010341565
-0.00888351
-0.00180757
0.008193831
0.012179591
0.008915715
-0.01918144
-0.00113689
0.005969777
-0.01490702
-0.00834685
0.00487614
-0.00216517
-0.00275926
-0.0138597
0.009777207
-0.02087583
0.004735045
-0.00715063
-0.00150839
-0.02054591
-0.01241494
0.002621119
0.001506146
0.008343729
0.005947243
-0.01499509
-0.00199442
-0.01309785
-1.2680E-005
0.000202218
0.003991122
-0.01571041
0.003329451
0.016696029
-0.02531512
-0.0093834
0.004456867
-0.00010979
-0.01194452

0.0002320609
0.0002217636
0.0002286116
0.0002162296
0.0002042547
0.0002067886
0.0002007982
0.0001934853
0.0001820722
0.0001751762
0.0001735662
0.0001679216
0.000179922
0.0001692042
0.0001611902
0.000164852
0.0001591411
0.0001510192
0.0001422393
0.0001341618
0.0001376375
0.0001351149
0.0001531561
0.0001453119
0.0001396611
0.0001314179
0.0001488609
0.0001491771
0.0001406387
0.0001323365
0.0001285734
0.0001229811
0.0001290934
0.0001215865
0.0001245845
0.0001171095
0.0001100854
0.000104436
0.0001129788
0.0001068652
0.0001171788
0.0001485994
0.0001449663
0.0001374601
0.0001292132

1.52%
1.49%
1.51%
1.47%
1.43%
1.44%
1.42%
1.39%
1.35%
1.32%
1.32%
1.30%
1.34%
1.30%
1.27%
1.28%
1.26%
1.23%
1.19%
1.16%
1.17%
1.16%
1.24%
1.21%
1.18%
1.15%
1.22%
1.22%
1.19%
1.15%
1.13%
1.11%
1.14%
1.10%
1.12%
1.08%
1.05%
1.02%
1.06%
1.03%
1.08%
1.22%
1.20%
1.17%
1.14%

1.16%
1.24%
1.21%
1.21%
1.18%
1.16%
1.28%
1.32%
1.29%
1.27%
1.23%
1.33%
1.29%
1.36%
1.44%
1.45%
1.47%
1.43%
1.39%
1.53%
1.49%
1.52%
1.61%
1.56%
1.54%
1.51%
1.48%
1.43%
1.44%
1.43%
1.39%
1.35%
1.37%
1.41%
1.38%
1.41%
1.41%
1.37%
1.33%
1.48%
1.44%
1.53%
1.60%
1.55%
1.55%

10940.87
10694.65
10462.17
10557.34
10369.14
10282.14
10609.08
10732.91
10709.96
10881.82
10632.90
10637.76
10578.45
10536.27
10729.19
10720.97
10569.64
10457.92
10663.55
10702.28
10650.45
10516.76
10626.96
10522.74
10162.18
10308.72
10163.38
10168.98
9907.12
9984.03
10075.03
10230.51
10058.43
10162.31
10245.72
10279.47
10040.26
9769.67
9503.25
9259.27
9608.91
9553.66
9418.75
9310.92
9673.68

0.019882276
-0.02250426
-0.02173843
0.00909671
-0.01782594
-0.00839023
0.031796163
0.011672256
-0.00213784
0.016046114
-0.022874
0.000456373
-0.00557525
-0.00398714
0.018310097
-0.00076591
-0.01411547
-0.01057039
0.01966265
0.003632598
-0.00484316
-0.01255278
0.010478267
-0.00980627
-0.03426492
0.01442019
-0.01409885
0.000550978
-0.02575148
0.007763171
0.009115033
0.015431583
-0.01681998
0.010327379
0.008207665
0.003294292
-0.02327076
-0.02695044
-0.02726984
-0.02567344
0.037760901
-0.00574957
-0.01412084
-0.01144858
0.038960869

0.0001300207
0.0001459378
0.000167568
0.0001858675
0.0001796805
0.0001879655
0.0001809113
0.0002307164
0.0002250479
0.0002118193
0.0002145588
0.0002330784
0.0002191062
0.0002078249
0.0001963092
0.0002046462
0.0001924027
0.0001928133
0.0001879485
0.0001998687
0.0001886684
0.0001787556
0.0001774846
0.0001734232
0.0001687876
0.0002291054
0.0002278356
0.0002260921
0.0002125448
0.0002395804
0.0002288216
0.0002200773
0.0002211607
0.0002248658
0.0002177731
0.0002087487
0.0001968749
0.0002175541
0.0002480804
0.0002778142
0.0003006929
0.0003682045
0.0003480957
0.0003391738
0.0003266876

1.14%
1.21%
1.29%
1.36%
1.34%
1.37%
1.35%
1.52%
1.50%
1.46%
1.46%
1.53%
1.48%
1.44%
1.40%
1.43%
1.39%
1.39%
1.37%
1.41%
1.37%
1.34%
1.33%
1.32%
1.30%
1.51%
1.51%
1.50%
1.46%
1.55%
1.51%
1.48%
1.49%
1.50%
1.48%
1.44%
1.40%
1.47%
1.58%
1.67%
1.73%
1.92%
1.87%
1.84%
1.81%

1.50%
1.65%
1.89%
2.06%
2.16%
2.24%
2.21%
2.19%
1.98
2.03

#DIV/0!
#DIV/0!

8916.92
8820.21
8878.18
9734.02
9656.26
9438.58
9599.90

-0.07822898
-0.01084543
0.00657238
0.096397586
-0.00798834
-0.02254299
0.017091397

0.0003981633
0.0007414599
0.0007040297
0.0006643797
0.0011820666
0.0011149714
0.0010785643
0.0010313774

2.00%
2.72%
2.65%
2.58%
3.44%
3.34%
3.28%
3.21%

0.00
0.00

0.00
0.00

5.12
5.43

2.26
2.33

CAC 40
6373.89
6378.16
6474.04
6357.49
6364.76
6431.67
6540.95
6603.23
6617.16
6584.22
6594.30
6571.41
6502.98
6541.52
6515.14
6583.72
6651.42
6610.83
6636.94
6625.06
6541.59
6442.69
6427.94
6419.99
6504.21
6513.60
6533.02
6508.39
6498.97
6596.47
6625.52
6582.96
6556.87
6615.45
6663.83
6661.60
6649.79
6681.70
6650.26
6669.90
6710.48
6648.28
6658.04
6667.32

CAC 40 Return
0.0006695243
0.015032339
-0.0180033247
0.0011448724
0.0105115744
0.0169906369
0.0095215473
0.0021097771
-0.0049779089
0.0015317101
-0.0034713244
-0.010413444
0.0059259492
-0.0040317858
0.010525775
0.0102835779
-0.006103419
0.0039498401
-0.0017893463
-0.0126003852
-0.0151177498
-0.0022902658
-0.0012362132
0.0131188396
0.0014437224
0.0029814738
-0.0037709925
-0.0014467579
0.015001984
0.0044038543
-0.0064234149
-0.0039627222
0.0089335946
0.0073129158
-0.0003337882
-0.0017732742
0.0047984975
-0.0047052147
0.0029534354
0.0060838383
-0.0092689281
0.0014683416
0.0013937263

CAC Variance
0.0001953506
0.0001836565
0.0001861954
0.0001944708
0.0001828812
0.0001785379
0.0001851466
0.0001794774
0.0001689758
0.000160324
0.0001508454
0.0001425176
0.000140473
0.0001341516
0.0001270778
0.0001261007
0.0001248797
0.0001196221
0.0001133808
0.0001067701
0.0001098901
0.0001170094
0.0001103036
0.0001037771
0.0001078767
0.0001015291
9.597074E-005
9.106572E-005
8.572736E-005
9.408729E-005
8.960569E-005
0.000086705
8.244486E-005
8.228671E-005
8.055823E-005
7.573142E-005
7.137621E-005
6.847517E-005
0.000065695
6.227667E-005
6.076085E-005
0.00006227
5.866315E-005

CAC Vol
1.40%
1.36%
1.36%
1.39%
1.35%
1.34%
1.36%
1.34%
1.30%
1.27%
1.23%
1.19%
1.19%
1.16%
1.13%
1.12%
1.12%
1.09%
1.06%
1.03%
1.05%
1.08%
1.05%
1.02%
1.04%
1.01%
0.98%
0.95%
0.93%
0.97%
0.95%
0.93%
0.91%
0.91%
0.90%
0.87%
0.84%
0.83%
0.81%
0.79%
0.78%
0.79%
0.77%

6722.05
6688.19
6710.85
6649.52
6709.16
6752.00
6774.23
6792.78
6780.25
6825.63
6884.32
6865.18
6819.57
6826.71
6861.09
6779.97
6867.99
6960.80
6936.04
6971.08
7004.63
7035.57
7014.58
7058.82
7051.38
6978.46
6991.46
7002.76
7052.76
7056.11
6966.73
6978.22
7077.80
7062.09
7006.33
7056.74
7132.94
7125.61
7153.20
7169.32
7172.67
7184.99
7240.31
7257.09
7254.38

0.0082087338
-0.0050371894
0.0033877101
-0.0091394999
0.0089695329
0.0063857049
0.0032916277
0.0027390022
-0.0018445033
0.0066923733
0.0085978606
-0.0027798116
-0.0066430082
0.0010471012
0.0050353564
-0.0118234299
0.0129826609
0.013514157
-0.0035579413
0.0050529128
0.0048118881
0.0044174313
-0.0029840987
0.0063079531
-0.0010541537
-0.0103416086
0.0018633301
0.0016154124
0.0071405846
0.0004753538
-0.0126672954
0.0016492244
0.0142695731
-0.0022194982
-0.0078949584
0.0071936808
0.01079862
-0.0010275212
0.003872724
0.0022529927
0.0004672551
0.0017169742
0.0077005844
0.0023164348
-0.0003730921

5.525991E-005
5.598731E-005
5.415047E-005
0.00005159
5.350646E-005
5.512322E-005
5.426246E-005
5.165681E-005
4.900753E-005
4.627121E-005
4.618220E-005
4.784666E-005
4.543951E-005
4.536091E-005
0.000042705
0.000041664
4.755179E-005
5.481166E-005
6.248090E-005
5.949159E-005
0.000057454
0.000055396
5.324308E-005
5.058279E-005
4.993524E-005
4.700580E-005
5.060238E-005
4.777456E-005
4.506466E-005
4.542006E-005
4.270841E-005
4.977353E-005
4.695031E-005
5.635054E-005
5.326508E-005
0.000053809
5.368540E-005
5.746088E-005
5.407658E-005
5.173186E-005
4.893251E-005
4.600966E-005
0.000043426
4.437834E-005
4.203759E-005

0.74%
0.75%
0.74%
0.72%
0.73%
0.74%
0.74%
0.72%
0.70%
0.68%
0.68%
0.69%
0.67%
0.67%
0.65%
0.65%
0.69%
0.74%
0.79%
0.77%
0.76%
0.74%
0.73%
0.71%
0.71%
0.69%
0.71%
0.69%
0.67%
0.67%
0.65%
0.71%
0.69%
0.75%
0.73%
0.73%
0.73%
0.76%
0.74%
0.72%
0.70%
0.68%
0.66%
0.67%
0.65%

7226.34
7222.49
7271.12
7254.33
7175.29
7272.26
7274.04
7307.17
7297.50
7167.25
7194.16
7123.19
7230.99
7265.42
7230.75
7202.51
7194.72
7268.22
7230.50
7265.83
7308.89
7279.00
7204.83
7269.99
7314.84
7288.25
7373.68
7366.42
7343.73
7353.34
7423.85
7386.05
7398.56
7395.48
7515.21
7518.57
7498.15
7515.72
7477.10
7481.79
7526.50
7590.28
7401.84
7288.04
7184.94

-0.0038647326
-0.0005329349
0.0067334074
-0.0023094355
-0.0108953534
0.0135144781
0.0002439419
0.0045553692
-0.001323812
-0.0178483651
0.0037546854
-0.0098655743
0.0151336604
0.0047613253
-0.004771251
-0.0039054065
-0.0010824823
0.0102164362
-0.0051891636
0.0048854335
0.0059270178
-0.0040894768
-0.0101904503
0.0090439383
0.0061689774
-0.0036341676
0.0117215151
-0.0009847634
-0.0030801294
0.0013087842
0.0095882916
-0.0050914853
0.0016934321
-0.0004153775
0.0161893184
0.0004468462
-0.0027160095
0.0023432369
-0.0051383912
0.0006275584
0.00597599
0.0084733842
-0.0248262515
-0.015374246
-0.0141467203

3.952369E-005
3.804844E-005
3.578257E-005
3.635595E-005
3.449460E-005
3.954745E-005
4.813307E-005
4.524865E-005
4.377882E-005
4.125724E-005
5.789565E-005
5.526777E-005
5.779148E-005
6.806565E-005
6.534192E-005
6.278730E-005
5.993519E-005
5.640939E-005
5.928736E-005
5.734576E-005
5.533706E-005
5.412461E-005
5.188057E-005
5.499845E-005
5.660611E-005
5.549312E-005
0.000052956
5.802224E-005
5.459909E-005
5.189238E-005
4.888161E-005
5.146483E-005
4.993234E-005
4.710846E-005
4.429230E-005
5.736041E-005
5.393076E-005
5.113752E-005
4.839871E-005
0.000047079
4.427787E-005
4.376394E-005
0.000045446
7.969981E-005
8.909986E-005

0.63%
0.62%
0.60%
0.60%
0.59%
0.63%
0.69%
0.67%
0.66%
0.64%
0.76%
0.74%
0.76%
0.83%
0.81%
0.79%
0.77%
0.75%
0.77%
0.76%
0.74%
0.74%
0.72%
0.74%
0.75%
0.74%
0.73%
0.76%
0.74%
0.72%
0.70%
0.72%
0.71%
0.69%
0.67%
0.76%
0.73%
0.72%
0.70%
0.69%
0.67%
0.66%
0.67%
0.89%
0.94%

7144.34
7054.01
7125.99
7171.12
7251.59
7262.74
7246.93
7171.25
7004.66
7140.77
7163.80
7260.21
7314.29
7478.45
7495.01
7435.07
7457.37
7422.39
7508.71
7500.21
7550.57
7638.29
7675.55
7713.80
7750.36
7730.04
7758.35
7823.43
7941.97
7948.63
7927.13
7931.75
8072.45
8027.84
8018.02
8123.66
8087.67
8099.93
8144.30
8163.22
8201.15
8124.25
8182.06
8159.25
8225.37

-0.0056504218
-0.0126442816
0.0102042878
0.0063330421
0.0112213506
0.0015379583
-0.0021773103
-0.0104425524
-0.0232310714
0.0194314049
0.0032251893
0.0134581424
0.007448842
0.0224444961
0.0022142091
-0.0079980265
0.002999461
-0.0046903686
0.0116292207
-0.0011311767
0.006713865
0.0116173013
0.0048788505
0.0049829002
0.0047401685
-0.0026226666
0.0036632805
0.0083882303
0.0151519427
0.0008381982
-0.0027053466
0.0005828133
0.0177391203
-0.0055261032
-0.0012228397
0.0131748081
-0.0044295933
0.0015156699
0.0054771677
0.0023231711
0.004647056
-0.0093765411
0.0071147415
-0.0027875903
0.0081040897

9.576165E-005
9.193159E-005
9.600837E-005
9.649551E-005
9.311223E-005
9.508062E-005
8.951770E-005
8.443108E-005
0.000085908
0.0001131345
0.0001290012
0.0001218852
0.0001254394
0.0001212422
0.000144193
0.0001358356
0.0001315235
0.0001241719
0.0001180416
0.0001190734
0.0001120058
0.00010799
0.0001096083
0.00010446
9.968215E-005
9.504937E-005
8.975911E-005
8.517874E-005
8.428976E-005
9.300726E-005
0.000087469
0.00008266
7.772075E-005
9.193809E-005
8.825407E-005
8.304855E-005
8.848017E-005
8.434864E-005
7.942556E-005
0.00007646
7.219621E-005
6.916015E-005
7.028571E-005
6.910574E-005
6.542564E-005

0.98%
0.96%
0.98%
0.98%
0.96%
0.98%
0.95%
0.92%
0.93%
1.06%
1.14%
1.10%
1.12%
1.10%
1.20%
1.17%
1.15%
1.11%
1.09%
1.09%
1.06%
1.04%
1.05%
1.02%
1.00%
0.97%
0.95%
0.92%
0.92%
0.96%
0.94%
0.91%
0.88%
0.96%
0.94%
0.91%
0.94%
0.92%
0.89%
0.87%
0.85%
0.83%
0.84%
0.83%
0.81%

8169.85
8131.41
8233.66
8196.38
8198.33
8256.04
8126.17
8150.55
8165.55
8114.63
8213.13
8277.17
8260.26
8219.80
8066.21
7929.05
7859.06
7927.52
7853.74
7895.52
8051.16
8159.96
8154.25
8141.15
8176.72
8079.58
8088.16
8075.95
8014.75
7980.75
8087.13
8176.81
8214.46
8262.78
8240.89
8318.82
8319.24
8257.95
8267.10
8404.09
8426.94
8408.06
8279.44
8384.71
8241.78

-0.0067501575
-0.0047050353
0.0125745365
-0.004527475
0.0002380439
0.0070387563
-0.0157296358
0.0030001119
0.0018404204
-0.0062367868
0.0121394512
0.0077974528
-0.0020432477
-0.004898687
-0.0186847401
-0.0170047671
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0.0087112375
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0.005319064
0.0197135591
0.0135126125
-0.0006990293
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0.0043688195
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0.001061571
-0.0015097625
-0.0075768381
-0.004242525
0.0133290524
0.0110898353
0.0046042373
0.0058824938
-0.0026489374
0.0094565094
5.016665E-005
-0.0073674936
0.0011083344
0.0165701186
0.0027191959
-0.0022401522
-0.0152978292
0.0127148349
-0.0170463986

6.544067E-005
6.424811E-005
6.172147E-005
6.750532E-005
6.468488E-005
6.080719E-005
6.013140E-005
7.136880E-005
6.762671E-005
6.377234E-005
6.227985E-005
0.000067385
0.00006699
0.000063221
6.086761E-005
7.816272E-005
9.082269E-005
9.004851E-005
8.919874E-005
8.904345E-005
8.539839E-005
0.000103592
0.0001083319
0.0001018613
9.590453E-005
9.129545E-005
9.428561E-005
8.869609E-005
8.351109E-005
8.194493E-005
7.810818E-005
8.408151E-005
8.641568E-005
8.250268E-005
7.962874E-005
0.000075272
7.612124E-005
7.155412E-005
7.051767E-005
6.636032E-005
7.885283E-005
7.456530E-005
7.039248E-005
8.021034E-005
8.509774E-005

0.81%
0.80%
0.79%
0.82%
0.80%
0.78%
0.78%
0.84%
0.82%
0.80%
0.79%
0.82%
0.82%
0.80%
0.78%
0.88%
0.95%
0.95%
0.94%
0.94%
0.92%
1.02%
1.04%
1.01%
0.98%
0.96%
0.97%
0.94%
0.91%
0.91%
0.88%
0.92%
0.93%
0.91%
0.89%
0.87%
0.87%
0.85%
0.84%
0.81%
0.89%
0.86%
0.84%
0.90%
0.92%

8303.39
8167.39
7999.33
7785.77
7707.17
7725.22
7873.88
7732.90
7769.82
7706.35
7633.82
7736.27
7945.40
7708.35
7452.65
7582.41
7434.74
7331.25
7056.38
7247.17
7278.75
7310.82
7459.00
7498.41
7595.99
7469.19
7534.83
7627.56
7720.11
7707.50
7578.91
7635.02
7474.33
7429.56
7580.16
7648.95
7726.22
7682.27
7696.74
7999.47
8013.47
8034.74
7968.35
8036.68
8114.02

0.007474527 9.742666E-005
-0.0163788359 9.493318E-005
-0.0205766093 0.0001053332
-0.0266966669
0.000124417
-0.0100958362 0.0001597147
0.0023414946 0.0001562474
0.0192437143 0.0001472015
-0.017903824 0.0001605886
0.0047738921 0.0001701861
-0.0081693648 0.0001613424
-0.0094117416 0.0001556661
0.0134210149
0.000151641
0.0270321782
0.00015335
-0.0298351466 0.0001879933
-0.0331717339 0.0002301218
0.0174116809 0.0002823364
-0.019475296 0.0002835862
-0.0139198043 0.0002893282
-0.0374930623 0.0002835942
0.0270379914 0.0003509223
0.0043582644 0.0003737302
0.0044054118
0.000352446
0.0202688803 0.0003324637
0.0052834395 0.0003371656
0.0130132305 0.0003186105
-0.016692925 0.0003096545
0.0087886292 0.0003077945
0.0123067419 0.0002939612
0.0121329644 0.0002854109
-0.0016332756 0.0002771188
-0.0166840286 0.0002606517
0.0074039765
0.000261714
-0.0210468199 0.0002493003
-0.0059898827 0.0002609204
0.0202706344 0.0002474179
0.0090751439 0.0002572267
0.0101020393 0.0002467346
-0.0056880229 0.0002380536
0.0018830386 0.0002257116
0.0393320948 0.0002123817
0.0017497554 0.0002924596
0.0026550421 0.0002750957
-0.0082635276 0.0002590129
0.0085749465 0.0002475693
0.0096245389 0.0002371269

0.99%
0.97%
1.03%
1.12%
1.26%
1.25%
1.21%
1.27%
1.30%
1.27%
1.25%
1.23%
1.24%
1.37%
1.52%
1.68%
1.68%
1.70%
1.68%
1.87%
1.93%
1.88%
1.82%
1.84%
1.78%
1.76%
1.75%
1.71%
1.69%
1.66%
1.61%
1.62%
1.58%
1.62%
1.57%
1.60%
1.57%
1.54%
1.50%
1.46%
1.71%
1.66%
1.61%
1.57%
1.54%

8130.43
8222.85
8207.29
8213.58
8204.08
8263.67
8258.57
8269.82
8348.04
8281.07
8260.94
8174.35
8260.65
8236.56
8178.49
8008.59
8126.85
8073.23
8240.77
8337.94
8407.07
8371.46
8461.80
8273.31
8284.46
8225.47
8308.24
8335.61
8272.08
8108.29
8047.04
8088.36
8248.02
8133.87
8082.57
7960.98
8139.96
7978.21
8099.70
8075.75
8207.22
8269.00
8324.38
8253.13
8184.14

0.0020214178
0.0113670548
-0.0018919636
0.0007666354
-0.0011560873
0.0072626869
-0.0006174875
0.0013622306
0.0094592533
-0.008022684
-0.0024307985
-0.0104818622
0.0105572383
-0.0029157977
-0.0070507605
-0.0207740353
0.0147672826
-0.0065986981
0.0207534558
0.0117913598
0.0082910675
-0.004236615
0.010791991
-0.0222757191
0.001348093
-0.0071210296
0.0100626113
0.0032949586
-0.0076220739
-0.0197996222
-0.0075541484
0.0051347869
0.019738842
-0.0138387151
-0.0063072124
-0.0150442778
0.0224821288
-0.0198710635
0.0152286291
-0.0029576951
0.0162795941
0.0075273901
0.0066982588
-0.0085596011
-0.008359274

0.0002284572
0.000214995
0.0002098479
0.0001974718
0.0001856587
0.0001745994
0.0001672882
0.0001572738
0.0001479487
0.0001444404
0.0001396358
0.0001316122
0.0001303076
0.0001291765
0.000121936
0.0001176026
0.0001364401
0.0001413381
0.0001354704
0.0001531845
0.0001523356
0.00014732
0.0001395577
0.0001381723
0.0001596544
0.0001501842
0.0001442157
0.0001416381
0.0001337912
0.0001292495
0.000145016
0.000139739
0.0001329366
0.0001483377
0.0001509281
0.0001442592
0.0001491835
0.0001705592
0.0001840172
0.0001868909
0.0001762023
0.0001815317
0.0001740395
0.0001662891
0.0001607078

1.51%
1.47%
1.45%
1.41%
1.36%
1.32%
1.29%
1.25%
1.22%
1.20%
1.18%
1.15%
1.14%
1.14%
1.10%
1.08%
1.17%
1.19%
1.16%
1.24%
1.23%
1.21%
1.18%
1.18%
1.26%
1.23%
1.20%
1.19%
1.16%
1.14%
1.20%
1.18%
1.15%
1.22%
1.23%
1.20%
1.22%
1.31%
1.36%
1.37%
1.33%
1.35%
1.32%
1.29%
1.27%

8294.11
8296.18
8379.12
8462.21
8411.34
8431.18
8165.49
8092.05
7928.23
7935.14
7909.96
7905.12
8052.27
8198.54
8274.15
8047.86
8025.95
8086.62
7973.33
7958.19
7945.87
7799.79
7673.11
7575.04
7448.30
7077.67
6749.29
7230.49
7169.49
7173.10
7296.88
7206.23
7210.23
7379.28
7369.45
6994.96
7060.14
6851.05
6827.56
7063.64
7071.66
7104.33
7010.12
7204.11
7049.67

0.0134367571
0.0002502366
0.0099970336
0.0099165758
-0.0060114456
0.0023584031
-0.0315129942
-0.0089943077
-0.0202434599
0.0008714036
-0.0031740416
-0.0006114259
0.0186145532
0.0181653549
0.0092220942
-0.0273494282
-0.0027222398
0.007559868
-0.014009938
-0.0018985839
-0.0015481602
-0.0183844805
-0.0162413265
-0.0127808625
-0.0167323158
-0.0497601983
-0.0463967263
0.0712975351
-0.0084372831
0.0005040797
0.0172563683
-0.0124243689
0.000555898
0.0234452453
-0.0013320117
-0.0508158414
0.0093182761
-0.0296158515
-0.0034290757
0.0345771689
0.0011355453
0.004619946
-0.0132603933
0.0276731131
-0.0214382238

0.0001552579
0.0001567753
0.0001473725
0.0001445266
0.0001417553
0.0001354182
0.0001276269
0.0001795534
0.000173634
0.0001878038
0.0001765812
0.0001665908
0.0001566178
0.0001680108
0.000177729
0.000172168
0.0002067174
0.000194759
0.0001865026
0.0001870891
0.0001760801
0.0001656591
0.0001759989
0.0001812658
0.0001801908
0.0001861776
0.0003235716
0.0004333167
0.000712318
0.0006738502
0.0006334344
0.0006132953
0.0005857595
0.0005506324
0.0005505753
0.0005176472
0.0006415234
0.0006082418
0.0006243732
0.0005876163
0.0006240942
0.0005867259
0.000552803
0.0005301851
0.000544322

1.25%
1.25%
1.21%
1.20%
1.19%
1.16%
1.13%
1.34%
1.32%
1.37%
1.33%
1.29%
1.25%
1.30%
1.33%
1.31%
1.44%
1.40%
1.37%
1.37%
1.33%
1.29%
1.33%
1.35%
1.34%
1.36%
1.80%
2.08%
2.67%
2.60%
2.52%
2.48%
2.42%
2.35%
2.35%
2.28%
2.53%
2.47%
2.50%
2.42%
2.50%
2.42%
2.35%
2.30%
2.33%

7186.58
7147.48
7295.36
7400.40
7501.24
7384.99
7271.80
7208.79
7123.57
7262.82
7184.84
7093.00
7019.66
7093.33
7277.81
7215.51
7165.16
6984.62
7232.62
7126.47
7317.53
7370.65
7455.81
7399.81
7458.52
7588.90
7667.76
7642.07
7715.49
7768.42
7717.08
7691.65
7673.17
7590.46
7550.28
7554.80
7743.38
7732.41
7806.31
7816.54
7783.77
7851.14
7739.91
7795.51
7841.00

0.01942139
-0.005441158
0.020689339
0.0143986949
0.0136257652
-0.0154974508
-0.0153271274
-0.0086652138
-0.0118213509
0.0195479015
-0.0107365632
-0.0127829544
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0.0104953157
0.0260075082
-0.0085611609
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0.0355077134
-0.0146774769
0.0268103675
0.0072598854
0.0115538631
-0.0075112771
0.007933442
0.0174805457
0.0103926549
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0.0096070806
0.0068602073
-0.0066095756
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0.0005995594
0.0249612212
-0.0014167246
0.0095569232
0.0013105194
-0.0041923093
0.0086556068
-0.0141675095
0.0071827327
0.0058356922

0.0005392386
0.0005295157
0.0004995211
0.0004952328
0.0004779581
0.0004604203
0.0004472054
0.0004344683
0.0004129054
0.0003965157
0.000395652
0.0003788293
0.0003659038
0.000350364
0.0003359512
0.0003563776
0.0003393926
0.0003219503
0.0003407276
0.0003959318
0.0003851016
0.0004051233
0.0003839782
0.000368949
0.0003501973
0.0003329618
0.0003313183
0.0003179196
0.000299518
0.0002870847
0.0002726833
0.0002589435
0.000244058
0.0002297609
0.000222947
0.0002112517
0.0001985981
0.000224066
0.0002107425
0.000203578
0.0001914664
0.0001810329
0.0001746661
0.0001762293
0.000168751

2.32%
2.30%
2.23%
2.23%
2.19%
2.15%
2.11%
2.08%
2.03%
1.99%
1.99%
1.95%
1.91%
1.87%
1.83%
1.89%
1.84%
1.79%
1.85%
1.99%
1.96%
2.01%
1.96%
1.92%
1.87%
1.82%
1.82%
1.78%
1.73%
1.69%
1.65%
1.61%
1.56%
1.52%
1.49%
1.45%
1.41%
1.50%
1.45%
1.43%
1.38%
1.35%
1.32%
1.33%
1.30%

7780.35
7810.37
7814.18
7795.81
7655.19
7713.86
7741.47
7813.35
7827.75
7897.42
7977.20
7904.43
7927.39
7903.10
7779.52
7713.50
7768.57
7728.95
7792.20
7663.37
7705.18
7593.19
7623.21
7545.74
7548.57
7370.09
7241.94
7203.67
7184.75
7201.21
7265.63
7166.41
7111.82
7049.04
6985.71
6976.08
7060.37
6970.38
6926.00
6987.32
6838.71
6816.56
6825.88
6802.30
6703.68

-0.0077348784 0.0001606693
0.0038583619 0.0001546188
0.000488061 0.0001462349
-0.0023514217 0.0001374751
-0.0180379714 0.0001295583
0.0076644954 0.0001413069
0.003580057 0.0001363532
0.0092849978
0.000128941
0.0018426377 0.0001263772
0.0089000312 0.0001189983
0.0101016313
0.000116611
-0.0091222323
0.000115737
0.0029051453 0.0001137856
-0.0030644154 0.0001074649
-0.0156367228 0.0001015804
-0.0084855309
0.000110156
0.0071393037 0.0001078669
-0.0051000515 0.0001044531
0.0081829739 9.974654E-005
-0.0165331184 9.777941E-005
0.0054557958 0.0001083133
-0.0145346727 0.0001036004
0.0039538713 0.0001100598
-0.0101618695 0.0001043942
0.0003744128 0.0001043264
-0.023643668 9.807520E-005
-0.017388776 0.0001257321
-0.0052840212 0.0001363303
-0.0026266972 0.0001298258
0.0022907351 0.0001224502
0.0089459975
0.000115418
-0.0136560584 0.0001132948
-0.007617429 0.0001176864
-0.0088275385 0.0001141067
-0.0089843404 0.0001119358
-0.0013782156 0.0001100628
0.012083248
0.000103573
-0.012746576 0.0001061189
-0.0063660619 0.0001095003
0.0088525428 0.0001053619
-0.0212687849 0.0001037422
-0.0032376835 0.0001246593
0.001366731 0.0001178087
-0.0034541068 0.0001108523
-0.0144977512
0.000104917

1.27%
1.24%
1.21%
1.17%
1.14%
1.19%
1.17%
1.14%
1.12%
1.09%
1.08%
1.08%
1.07%
1.04%
1.01%
1.05%
1.04%
1.02%
1.00%
0.99%
1.04%
1.02%
1.05%
1.02%
1.02%
0.99%
1.12%
1.17%
1.14%
1.11%
1.07%
1.06%
1.08%
1.07%
1.06%
1.05%
1.02%
1.03%
1.05%
1.03%
1.02%
1.12%
1.09%
1.05%
1.02%

6827.66
6682.82
6523.45
6584.85
6486.42
6506.01
6712.18
6815.73
6852.35
6920.01
6813.96
6859.71
6805.87
6738.13
6846.97
6853.42
6714.93
6682.22
6793.17
6859.41
6853.37
6751.62
6807.39
6736.96
6546.19
6585.60
6540.78
6541.45
6370.81
6429.85
6405.67
6519.19
6399.87
6431.95
6567.78
6598.85
6590.78
6430.21
6189.26
5986.68
6165.90
6068.33
6021.45
5916.28
6142.13

0.0184934663
-0.0212139288
-0.0238475018
0.0094125732
-0.014947563
0.003019817
0.0316892499
0.0154262383
0.0053736728
0.0098741304
-0.0153250052
0.0067134469
-0.0078484664
-0.0099529798
0.0161531538
0.0009421924
-0.0202086991
-0.004870683
0.0166038251
0.0097515339
-0.0008815438
-0.014846913
0.0082615509
-0.010346579
-0.0283165508
0.0060189539
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0.0001017509
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0.0092672015
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0.0177211047
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0.0047316031
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0.0299378262
-0.0158256041
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-0.0174665315
0.0381752457

0.0001112331
0.0001250796
0.0001445767
0.0001700243
0.0001651386
0.0001686361
0.0001590651
0.0002097737
0.0002114654
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0.0001943293
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0.0001743205
0.0001804025
0.0001752839
0.0001648135
0.0001681505
0.0001621567
0.0001588504
0.000197429
0.0001877569
0.0001792695
0.0001685139
0.0001992301
0.0001924292
0.0001817322
0.0001896705
0.000198389
0.0001879931
0.0002034717
0.0001926066
0.00018114
0.0002058864
0.0002777785
0.0003253917
0.0003596446
0.0003530929
0.0003354874
0.0003336629

1.05%
1.12%
1.20%
1.30%
1.29%
1.30%
1.26%
1.45%
1.45%
1.42%
1.39%
1.40%
1.37%
1.34%
1.32%
1.34%
1.30%
1.36%
1.32%
1.34%
1.32%
1.28%
1.30%
1.27%
1.26%
1.41%
1.37%
1.34%
1.30%
1.41%
1.39%
1.35%
1.38%
1.41%
1.37%
1.43%
1.39%
1.35%
1.43%
1.67%
1.80%
1.90%
1.88%
1.83%
1.83%

#DIV/0!
#DIV/0!

5770.72
5677.14
5689.85
6230.01
6181.95
6033.93
6200.40

-0.0604698001
-0.0162168119
0.002239602
0.0949331225
-0.0077131848
-0.0239435647
0.0275875503

0.0004010841
0.0005964148
0.0005764091
0.0005421255
0.0010503358
0.0009908852
0.0009658298
0.0009535444

2.00%
2.44%
2.40%
2.33%
3.24%
3.15%
3.11%
3.09%

0.00
0.00

0.00
0.00

4.88
5.19

2.21
2.28

#DIV/0!
#DIV/0!

Nikkei 225
131.77
134.38
135.94
135.44
134.10
136.17
136.32
138.81
138.67
139.16
137.83
138.94
138.70
137.21
135.88
135.91
135.60
137.60
137.52
141.14
139.62
137.50
137.75
134.15
133.47
133.85
135.78
134.93
135.47
134.06
135.59
134.34
134.21
132.92
135.88
135.98
136.57
138.06
137.77
136.32
139.77
138.13
137.71
137.14

Nikkei 225 RetNikkei Variance

0.019786741
0.011619725
-0.00371634
-0.00987762
0.015441357
0.001116147
0.018239808
-0.00098634
0.003490274
-0.00952936
0.008063408
-0.00172109
-0.01074027
-0.00971904
0.000222458
-0.00227607
0.014764309
-0.00057373
0.026273094
-0.01073294
-0.01516383
0.001755119
-0.02613273
-0.00500458
0.002805139
0.01445353
-0.00625679
0.003963739
-0.01039381
0.011406017
-0.00920938
-0.00099924
-0.00956058
0.022213192
0.000734343
0.004365292
0.010938596
-0.00210675
-0.01057798
0.025326382
-0.01172319
-0.00302384
-0.00415431

0.0001913129
0.000203325
0.0001992266
0.0001881017
0.0001826696
0.0001860156
0.0001749294
0.0001843951
0.0001733897
0.0001637173
0.0001593428
0.0001536833
0.00014464
0.0001428828
0.0001399774
0.0001315818
0.0001239977
0.0001296369
0.0001218785
0.0001559823
0.0001535351
0.0001581195
0.0001488172
0.0001808633
0.0001715142
0.0001616955
0.0001645281
0.0001570052
0.0001485276
0.0001460978
0.0001451378
0.0001415183
0.0001330871
0.0001305861
0.0001523565
0.0001432475
0.000135796
0.0001348274
0.0001270041
0.0001260974
0.0001570171
0.0001558421
0.0001470402

Nikkei Vol
1.38%
1.43%
1.41%
1.37%
1.35%
1.36%
1.32%
1.36%
1.32%
1.28%
1.26%
1.24%
1.20%
1.20%
1.18%
1.15%
1.11%
1.14%
1.10%
1.25%
1.24%
1.26%
1.22%
1.34%
1.31%
1.27%
1.28%
1.25%
1.22%
1.21%
1.20%
1.19%
1.15%
1.14%
1.23%
1.20%
1.17%
1.16%
1.13%
1.12%
1.25%
1.25%
1.21%

This spreadsheet does an EWMA upda

parameter in cell A2

136.97
137.95
139.98
139.95
139.85
139.90
140.20
140.72
140.46
140.18
141.75
141.73
139.19
139.99
140.00
139.61
138.26
139.58
137.51
136.94
137.16
135.66
138.36
137.54
136.84
136.74
133.07
133.45
136.46
135.81
136.84
136.40
138.40
140.72
141.72
141.24
141.33
142.48
143.05
142.16
141.19
142.11
142.36
143.07
143.71

-0.00126841
0.007212899
0.014695236
-0.00025159
-0.00070625
0.000365198
0.002161617
0.003675519
-0.00183594
-0.00199695
0.011223687
-0.00013179
-0.01794494
0.005732407
6.5196E-005
-0.00273496
-0.00966899
0.009512255
-0.01478045
-0.00418344
0.001625632
-0.01097046
0.019949345
-0.00595288
-0.00506892
-0.00074077
-0.02686621
0.002897564
0.022547258
-0.00480178
0.007582496
-0.00318407
0.01463311
0.016788636
0.007095538
-0.0033644
0.000627007
0.008151586
0.003963504
-0.00621926
-0.00679153
0.006470713
0.001774607
0.004992203
0.004459541

0.0001392533
0.0001309946
0.0001262565
0.0001316381
0.0001237436
0.0001163489
0.000109376
0.0001030938
9.77187148E-005
9.20578318E-005
8.67736308E-005
8.91254825E-005
0.000083779
9.80735147E-005
9.41607335E-005
8.85113445E-005
8.36494656E-005
8.42398637E-005
8.46144521E-005
9.26452826E-005
8.81366367E-005
0.000083007
8.52476337E-005
0.0001040114
9.98968850E-005
9.54447091E-005
0.000089751
0.0001276735
0.0001205168
0.0001437886
0.0001365447
0.0001318016
0.0001245018
0.0001298794
0.0001389981
0.0001336791
0.0001263375
0.0001187808
0.0001156409
0.000109645
0.000105387
0.0001018313
9.82336250E-005
9.25285612E-005
8.84721728E-005

1.18%
1.14%
1.12%
1.15%
1.11%
1.08%
1.05%
1.02%
0.99%
0.96%
0.93%
0.94%
0.92%
0.99%
0.97%
0.94%
0.91%
0.92%
0.92%
0.96%
0.94%
0.91%
0.92%
1.02%
1.00%
0.98%
0.95%
1.13%
1.10%
1.20%
1.17%
1.15%
1.12%
1.14%
1.18%
1.16%
1.12%
1.09%
1.08%
1.05%
1.03%
1.01%
0.99%
0.96%
0.94%

143.60
142.03
143.75
143.92
143.97
145.33
144.77
144.56
145.54
143.94
144.37
141.62
139.79
141.73
142.48
143.21
143.19
142.61
143.31
143.42
144.71
144.34
143.40
143.31
143.92
143.72
145.39
144.85
144.19
144.50
143.31
142.70
143.83
145.27
146.98
149.79
149.83
149.36
148.06
149.12
150.22
151.11
152.61
148.60
148.36

-0.00073975
-0.01092022
0.012072306
0.001232043
0.000310957
0.009418847
-0.003815
-0.00145145
0.006745518
-0.01095499
0.00297783
-0.0190247
-0.01291794
0.013838371
0.005269661
0.005171617
-0.00012234
-0.00405695
0.004914785
0.00075036
0.009002191
-0.00255719
-0.0065188
-0.00066919
0.004259666
-0.00133847
0.011591822
-0.00371551
-0.00454475
0.002161711
-0.00822681
-0.00428192
0.007925842
0.010010589
0.011782305
0.019113805
0.000217368
-0.00313357
-0.00870715
0.007172208
0.007383627
0.005967086
0.009925818
-0.02633373
-0.00156032

8.43570929E-005
7.93285007E-005
8.17238651E-005
8.55648669E-005
8.05220507E-005
7.56965293E-005
7.64776186E-005
7.27622139E-005
6.85228829E-005
6.71416308E-005
7.03138465E-005
6.66270639E-005
8.43457881E-005
8.92974363E-005
9.54296203E-005
0.00009137
8.74925397E-005
8.22438853E-005
7.82967817E-005
7.50482816E-005
7.05791671E-005
7.12067835E-005
6.73267290E-005
6.58368108E-005
6.19134712E-005
5.92873483E-005
5.58375972E-005
6.05495623E-005
5.77448900E-005
5.55194807E-005
5.24686916E-005
5.33813918E-005
5.12786008E-005
0.000051971
5.48654754E-005
5.99029099E-005
0.000078229
7.35380824E-005
0.000069715
7.00809266E-005
6.89625052E-005
6.80958318E-005
6.61464489E-005
0.000068089
0.0001056116

0.92%
0.89%
0.90%
0.93%
0.90%
0.87%
0.87%
0.85%
0.83%
0.82%
0.84%
0.82%
0.92%
0.94%
0.98%
0.96%
0.94%
0.91%
0.88%
0.87%
0.84%
0.84%
0.82%
0.81%
0.79%
0.77%
0.75%
0.78%
0.76%
0.75%
0.72%
0.73%
0.72%
0.72%
0.74%
0.77%
0.88%
0.86%
0.83%
0.84%
0.83%
0.83%
0.81%
0.83%
1.03%

147.14
143.46
144.90
143.83
145.65
145.33
147.09
146.85
143.35
143.76
143.41
144.65
146.28
147.92
148.35
148.65
147.25
148.16
146.43
146.43
144.53
145.18
147.90
147.54
148.34
148.08
147.46
145.55
147.14
146.96
149.41
146.88
146.80
147.02
147.38
145.48
145.99
145.66
144.82
147.30
148.26
147.28
146.16
146.88
145.61

-0.00827085
-0.02501986
0.010063198
-0.00738916
0.012650733
-0.00214885
0.012105591
-0.00164092
-0.02387871
0.002900053
-0.00247139
0.00868001
0.01126915
0.011209675
0.00292925
0.002025318
-0.00945927
0.006189179
-0.01168649
1.6279E-005
-0.01298922
0.004479025
0.018771939
-0.00241346
0.005411121
-0.00179111
-0.00416609
-0.01296503
0.010902526
-0.00121927
0.016675257
-0.01688414
-0.00059658
0.001505377
0.002495677
-0.01293814
0.003490539
-0.00223511
-0.00572551
0.017089586
0.006513141
-0.00660362
-0.00761165
0.00490109
-0.00859007

9.94209492E-005
9.75601051E-005
0.0001292661
0.0001275862
0.000123207
0.0001254171
0.0001181691
0.0001198717
0.0001128409
0.000140282
0.0001323697
0.000124794
0.0001218269
0.0001221369
0.0001223481
0.0001155221
0.0001088369
0.0001076753
0.0001035131
0.0001054968
0.000099167
0.0001033402
9.83434645E-005
0.000113586
0.0001071203
0.0001024499
9.64954075E-005
9.17470594E-005
9.63277511E-005
0.00009768
9.19083885E-005
0.0001030777
0.0001139975
0.000107179
0.0001008843
9.52049038E-005
9.95363352E-005
9.42951869E-005
8.89372188E-005
8.55678724E-005
0.000097957
9.46248747E-005
9.15638472E-005
8.95462458E-005
8.56147120E-005

1.00%
0.99%
1.14%
1.13%
1.11%
1.12%
1.09%
1.09%
1.06%
1.18%
1.15%
1.12%
1.10%
1.11%
1.11%
1.07%
1.04%
1.04%
1.02%
1.03%
1.00%
1.02%
0.99%
1.07%
1.03%
1.01%
0.98%
0.96%
0.98%
0.99%
0.96%
1.02%
1.07%
1.04%
1.00%
0.98%
1.00%
0.97%
0.94%
0.93%
0.99%
0.97%
0.96%
0.95%
0.93%

145.24
144.29
143.55
144.38
145.61
145.79
145.74
143.71
145.17
144.74
146.75
147.17
147.63
148.41
149.04
148.65
146.26
146.51
145.87
144.96
145.15
145.49
146.77
147.22
147.28
147.50
146.58
146.17
146.77
145.73
145.83
146.86
148.36
148.37
148.36
147.25
148.10
149.51
148.14
146.86
149.21
149.05
147.87
148.48
149.82

-0.00256842
-0.00650869
-0.00516653
0.005803644
0.008508916
0.001253059
-0.000378
-0.01389728
0.010115625
-0.00296834
0.013925891
0.002839215
0.003111284
0.005298423
0.004239671
-0.00260571
-0.01608443
0.001714573
-0.00437053
-0.00623652
0.001346622
0.002348536
0.008762894
0.003047502
0.000457139
0.001490525
-0.00628815
-0.00274838
0.00409297
-0.0070814
0.000646249
0.007070326
0.010253177
3.4863E-005
-6.1489E-005
-0.00749084
0.005774188
0.009560422
-0.00918255
-0.00866625
0.015993833
-0.00102522
-0.00790562
0.004122145
0.008981419

8.49051880E-005
8.02066846E-005
7.79360668E-005
7.48614853E-005
7.23907328E-005
7.23913875E-005
6.81421136E-005
6.40621600E-005
7.18064859E-005
7.36376484E-005
6.97480524E-005
0.000077199
7.30507238E-005
6.92484856E-005
0.000066778
6.38497836E-005
6.04261806E-005
7.23231456E-005
6.81601426E-005
6.52166235E-005
6.36372795E-005
5.99278461E-005
5.66631125E-005
5.78706247E-005
5.49556235E-005
5.16708246E-005
4.87038750E-005
4.81540918E-005
4.57180635E-005
4.39801237E-005
4.43500901E-005
4.17141430E-005
4.22106649E-005
4.59856830E-005
4.32266149E-005
4.06332449E-005
0.000041562
4.10687660E-005
4.40887397E-005
4.65025739E-005
4.82186491E-005
6.06736922E-005
5.70963352E-005
5.74204866E-005
5.49947820E-005

0.92%
0.90%
0.88%
0.87%
0.85%
0.85%
0.83%
0.80%
0.85%
0.86%
0.84%
0.88%
0.85%
0.83%
0.82%
0.80%
0.78%
0.85%
0.83%
0.81%
0.80%
0.77%
0.75%
0.76%
0.74%
0.72%
0.70%
0.69%
0.68%
0.66%
0.67%
0.65%
0.65%
0.68%
0.66%
0.64%
0.64%
0.64%
0.66%
0.68%
0.69%
0.78%
0.76%
0.76%
0.74%

148.03
149.20
148.51
148.37
145.49
145.95
144.86
142.31
142.74
143.45
143.59
142.92
142.34
144.70
142.33
141.93
142.84
140.52
141.37
134.24
137.01
139.07
138.23
140.36
140.19
141.69
139.13
139.50
142.94
141.31
140.08
141.06
142.11
139.16
139.16
138.33
137.09
140.15
136.45
140.89
143.29
141.34
143.42
142.05
145.52

-0.01192288
0.007867864
-0.00459507
-0.00094419
-0.01943736
0.003188717
-0.00744835
-0.017619
0.002983012
0.004986269
0.000968451
-0.00463758
-0.00407692
0.016626077
-0.0163801
-0.00285
0.006393296
-0.01623359
0.006058166
-0.05043212
0.020619979
0.01506467
-0.00604219
0.015373366
-0.00120657
0.010741867
-0.01805918
0.002619569
0.024645423
-0.01135774
-0.00870562
0.006971947
0.00744015
-0.02077421
-1.0244E-006
-0.00591417
-0.00900675
0.022367601
-0.02645122
0.032586767
0.017013517
-0.01357009
0.014694951
-0.00953213
0.024388654

0.000056535
6.16722434E-005
6.16861056E-005
5.92518193E-005
5.57501995E-005
7.50738361E-005
7.11794809E-005
7.02373841E-005
8.46488955E-005
8.01038633E-005
7.67894043E-005
7.22383139E-005
6.91944456E-005
6.60400561E-005
7.86632380E-005
9.00419041E-005
8.51267404E-005
8.24715900E-005
9.33350607E-005
0.000089937
0.0002371447
0.0002484271
0.0002471381
0.0002345003
0.0002346107
0.0002206214
0.0002143074
0.000221017
0.0002081677
0.0002321214
0.000225934
0.0002169253
0.0002068262
0.000197738
0.0002117678
0.0001990617
0.0001892167
0.000182731
0.0002017857
0.0002316586
0.0002814729
0.0002819521
0.0002760838
0.0002724753
0.0002615785

0.75%
0.79%
0.79%
0.77%
0.75%
0.87%
0.84%
0.84%
0.92%
0.90%
0.88%
0.85%
0.83%
0.81%
0.89%
0.95%
0.92%
0.91%
0.97%
0.95%
1.54%
1.58%
1.57%
1.53%
1.53%
1.49%
1.46%
1.49%
1.44%
1.52%
1.50%
1.47%
1.44%
1.41%
1.46%
1.41%
1.38%
1.35%
1.42%
1.52%
1.68%
1.68%
1.66%
1.65%
1.62%

145.94
145.65
147.08
147.32
146.77
146.23
146.68
146.72
148.49
147.59
147.78
147.02
145.31
147.89
146.29
144.12
143.46
143.39
142.53
144.60
145.58
145.14
145.18
146.85
143.93
142.09
142.15
142.13
139.87
140.84
138.94
137.23
139.13
138.79
137.01
136.53
138.09
136.85
139.80
140.21
137.81
141.46
141.42
141.48
141.22

0.002871228
-0.00196277
0.009825523
0.001635849
-0.00376965
-0.00365922
0.003066109
0.000278863
0.012041468
-0.00605258
0.001300929
-0.00514938
-0.01158802
0.017702176
-0.01081075
-0.01481312
-0.00458685
-0.00046123
-0.00601834
0.014487665
0.006808631
-0.00299273
0.000232313
0.011529677
-0.01989569
-0.01281173
0.00047448
-0.0001408
-0.01593959
0.006911954
-0.01346804
-0.01231181
0.013892247
-0.00245345
-0.01285029
-0.00351994
0.011415724
-0.00892316
0.021561263
0.002918637
-0.01712086
0.026460918
-0.00026998
0.000402125
-0.00183926

0.0002815721
0.0002651724
0.0002494932
0.0002403161
0.0002260577
0.0002133469
0.0002013494
0.0001898325
0.0001784472
0.0001764402
0.0001680518
0.0001580703
0.000150177
0.0001492233
0.000159072
0.00015654
0.0001603133
0.0001519568
0.0001428522
0.0001364543
0.0001408606
0.0001351904
0.0001276164
0.0001199626
0.0001207409
0.0001372467
0.0001388603
0.0001305422
0.0001227109
0.0001305925
0.0001256234
0.0001289693
0.000130326
0.0001340861
0.0001264021
0.0001287258
0.0001217456
0.00012226
0.0001197018
0.000140413
0.0001324993
0.0001421368
0.0001756194
0.0001650866
0.0001551911

1.68%
1.63%
1.58%
1.55%
1.50%
1.46%
1.42%
1.38%
1.34%
1.33%
1.30%
1.26%
1.23%
1.22%
1.26%
1.25%
1.27%
1.23%
1.20%
1.17%
1.19%
1.16%
1.13%
1.10%
1.10%
1.17%
1.18%
1.14%
1.11%
1.14%
1.12%
1.14%
1.14%
1.16%
1.12%
1.13%
1.10%
1.11%
1.09%
1.18%
1.15%
1.19%
1.33%
1.28%
1.25%

140.71
142.55
142.89
142.55
143.76
141.95
138.55
136.86
134.67
134.33
132.58
133.13
133.93
136.34
135.31
135.74
133.41
132.43
133.28
131.42
129.43
130.81
126.40
128.66
129.46
117.70
121.34
122.74
127.02
122.56
126.06
124.31
127.84
127.03
129.80
128.56
122.72
123.87
121.15
121.21
120.73
125.97
126.58
127.93
123.21

-0.00359422
0.013063372
0.002393495
-0.00236157
0.008459081
-0.01258279
-0.02396932
-0.01216359
-0.01602112
-0.00248528
-0.01305658
0.004146856
0.005996262
0.018022426
-0.00755166
0.003185845
-0.0171685
-0.00737603
0.00641126
-0.01391619
-0.01513616
0.010602654
-0.03368356
0.017892417
0.006210898
-0.09081508
0.030880999
0.011563083
0.034855692
-0.03512657
0.028618898
-0.0138947
0.028409097
-0.00635777
0.021763668
-0.00953832
-0.04540906
0.009372647
-0.02199278
0.000548831
-0.0039514
0.043384991
0.004823641
0.010687025
-0.03691788

0.0001460826
0.0001380927
0.0001400463
0.0001319872
0.0001244026
0.0001212318
0.0001234575
0.0001505218
0.0001503676
0.0001567461
0.000147712
0.0001490777
0.0001411648
0.0001348523
0.0001462496
0.0001408963
0.0001330515
0.0001427538
0.000137453
0.000131672
0.0001353913
0.0001410141
0.0001392982
0.0001990153
0.0002062827
0.0001962202
0.0006792898
0.0006957505
0.0006620278
0.0006952013
0.0007275218
0.000733013
0.0007006159
0.0007070036
0.0006670086
0.0006554076
0.0006215419
0.0007079683
0.000670761
0.0006595363
0.0006199822
0.0005837201
0.0006616323
0.0006233304
0.0005927834

1.21%
1.18%
1.18%
1.15%
1.12%
1.10%
1.11%
1.23%
1.23%
1.25%
1.22%
1.22%
1.19%
1.16%
1.21%
1.19%
1.15%
1.19%
1.17%
1.15%
1.16%
1.19%
1.18%
1.41%
1.44%
1.40%
2.61%
2.64%
2.57%
2.64%
2.70%
2.71%
2.65%
2.66%
2.58%
2.56%
2.49%
2.66%
2.59%
2.57%
2.49%
2.42%
2.57%
2.50%
2.43%

127.32
126.22
128.73
128.42
131.72
131.66
130.67
125.66
126.40
124.78
128.19
124.13
123.08
123.04
125.60
123.61
122.16
121.63
121.79
123.41
127.35
128.18
126.20
128.56
125.86
124.25
128.44
130.93
130.88
131.18
129.17
128.18
128.18
131.79
128.25
128.18
129.76
130.88
129.01
132.81
131.29
131.05
130.18
133.14
132.97

0.033366234
-0.00864967
0.019898847
-0.00239633
0.025709653
-0.00050218
-0.00748746
-0.0383459
0.005844886
-0.01279312
0.027357871
-0.0317028
-0.0084407
-0.00034085
0.020787702
-0.015859
-0.01169583
-0.00430493
0.001245041
0.013314661
0.031957602
0.006526557
-0.01547994
0.018759875
-0.0210412
-0.0127637
0.033685352
0.019373899
-0.00037833
0.002337581
-0.01533495
-0.00765008
3.7502E-006
0.028113165
-0.02683065
-0.00059458
0.012373617
0.008628852
-0.01429153
0.029439164
-0.01143408
-0.00184609
-0.00665433
0.022742632
-0.00122411

0.0006389921
0.000667451
0.0006318929
0.0006177372
0.0005810175
0.0005858156
0.0005506818
0.0005210046
0.0005779688
0.0005453405
0.0005224399
0.0005360007
0.0005641447
0.0005345707
0.0005025035
0.000498281
0.0004834746
0.0004626737
0.0004360252
0.0004099567
0.0003959961
0.0004335136
0.0004100586
0.0003998328
0.0003969588
0.0003997052
0.0003854976
0.0004304499
0.0004271438
0.0004015238
0.0003777602
0.0003692042
0.0003505634
0.0003295296
0.0003571788
0.0003789411
0.0003562259
0.0003440387
0.0003278638
0.0003204468
0.0003532199
0.000339871
0.0003196832
0.000303159
0.0003160031

2.53%
2.58%
2.51%
2.49%
2.41%
2.42%
2.35%
2.28%
2.40%
2.34%
2.29%
2.32%
2.38%
2.31%
2.24%
2.23%
2.20%
2.15%
2.09%
2.02%
1.99%
2.08%
2.02%
2.00%
1.99%
2.00%
1.96%
2.07%
2.07%
2.00%
1.94%
1.92%
1.87%
1.82%
1.89%
1.95%
1.89%
1.85%
1.81%
1.79%
1.88%
1.84%
1.79%
1.74%
1.78%

132.52
133.40
133.88
134.56
132.28
132.57
133.59
134.13
135.98
136.62
136.58
136.36
134.85
134.47
135.55
133.46
130.88
134.00
135.82
138.12
134.99
137.44
135.15
137.58
133.70
130.81
132.84
128.56
129.36
132.57
132.68
133.95
130.86
129.83
128.41
128.58
127.85
128.95
127.61
127.17
127.00
125.21
124.35
124.26
121.57

-0.00338486
0.006586235
0.003597519
0.005121492
-0.01694944
0.002174236
0.007725032
0.004025769
0.013767675
0.004734376
-0.00031654
-0.00155903
-0.01108211
-0.00282068
0.008038169
-0.01543774
-0.01935755
0.023822486
0.013617415
0.016911025
-0.02263231
0.018158115
-0.01665439
0.017920815
-0.02818147
-0.0216279
0.015555293
-0.03221132
0.00622263
0.024773095
0.000876086
0.009520046
-0.0230487
-0.00789037
-0.01094992
0.001377756
-0.00566463
0.008588087
-0.01041584
-0.00342931
-0.00134853
-0.01406436
-0.00691296
-0.00073389
-0.02165072

0.0002971328
0.0002799923
0.0002657955
0.0002506243
0.0002371606
0.000240168
0.0002260415
0.0002160596
0.0002040685
0.0002031973
0.0001923503
0.0001808153
0.0001701122
0.0001672743
0.0001577152
0.000152129
0.0001573007
0.0001703455
0.0001941755
0.000193651
0.0001991909
0.0002179727
0.0002246774
0.0002278389
0.0002334379
0.0002670833
0.0002791243
0.0002768948
0.0003225353
0.0003055065
0.0003239985
0.0003046046
0.0002917662
0.0003061348
0.0002915022
0.0002812061
0.0002644476
0.000250506
0.000239901
0.0002320163
0.000218801
0.000205782
0.0002053035
0.0001958526
0.0001841338

1.72%
1.67%
1.63%
1.58%
1.54%
1.55%
1.50%
1.47%
1.43%
1.43%
1.39%
1.34%
1.30%
1.29%
1.26%
1.23%
1.25%
1.31%
1.39%
1.39%
1.41%
1.48%
1.50%
1.51%
1.53%
1.63%
1.67%
1.66%
1.80%
1.75%
1.80%
1.75%
1.71%
1.75%
1.71%
1.68%
1.63%
1.58%
1.55%
1.52%
1.48%
1.43%
1.43%
1.40%
1.36%

121.85
122.25
122.97
122.22
122.21
121.75
122.03
119.96
123.35
123.46
126.39
123.58
124.08
121.63
123.55
123.78
121.78
119.77
119.52
121.45
119.76
119.52
122.21
121.24
119.87
118.24
117.88
119.39
117.23
116.94
117.79
115.22
116.34
116.22
116.70
120.47
115.85
117.03
116.18
114.72
116.93
115.40
114.79
113.62
113.85

0.002301534
0.003309598
0.005892927
-0.00610748
-0.00010862
-0.00371089
0.00231359
-0.01696228
0.028235891
0.000903721
0.023710627
-0.02219444
0.004031805
-0.01974427
0.015738084
0.001878492
-0.0161818
-0.01644253
-0.0020789
0.016094201
-0.01386613
-0.0020644
0.022532628
-0.00794431
-0.01126672
-0.0136217
-0.00308272
0.012867765
-0.0180979
-0.00249283
0.007290839
-0.02184609
0.009722102
-0.00101463
0.004127222
0.032254531
-0.03828333
0.010159222
-0.00728389
-0.01252501
0.019202312
-0.01306647
-0.00528189
-0.01020263
0.002032389

0.000201211
0.0001894561
0.000178746
0.0001701048
0.0001621366
0.0001524091
0.0001440908
0.0001357665
0.0001448837
0.0001840266
0.000173034
0.0001963836
0.0002141561
0.0002022821
0.0002135354
0.0002155845
0.0002028611
0.0002064005
0.0002102379
0.0001978829
0.0002015513
0.0002009944
0.0001891905
0.0002083022
0.0001995908
0.0001952317
0.0001946508
0.000183542
0.0001824642
0.0001911684
0.0001800711
0.0001724563
0.000190744
0.0001849705
0.000173934
0.00016452
0.0002170701
0.0002919827
0.0002806564
0.0002670003
0.0002603928
0.000266893
0.0002611233
0.0002471298
0.0002385477

1.42%
1.38%
1.34%
1.30%
1.27%
1.23%
1.20%
1.17%
1.20%
1.36%
1.32%
1.40%
1.46%
1.42%
1.46%
1.47%
1.42%
1.44%
1.45%
1.41%
1.42%
1.42%
1.38%
1.44%
1.41%
1.40%
1.40%
1.35%
1.35%
1.38%
1.34%
1.31%
1.38%
1.36%
1.32%
1.28%
1.47%
1.71%
1.68%
1.63%
1.61%
1.63%
1.62%
1.57%
1.54%

110.68
112.17
109.55
111.62
113.23
114.26
112.82

-0.02778578
0.013417531
-0.02338179
0.018909107
0.014428035
0.009109175
-0.01258772

0.0002244827
0.0002573367
0.0002526983
0.0002703389
0.0002755718
0.0002715276
0.0002602146
0.0002541087

1.50%
1.60%
1.59%
1.64%
1.66%
1.65%
1.61%
1.59%

0.00
0.00

0.00
0.00

1.33
1.25

1.15
1.12

does an EWMA updating of the volatilities using the lambda

A2

Scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

DJIA
FTSE 100
10933.17
9530.50
10827.06
9779.47
11120.41
9255.72
10946.28
9649.31
11043.24
9745.37
11315.40
9750.53
11231.18
9652.62
11038.97
9524.47
11125.44
9427.79
10939.37
9898.98
11009.89
9424.48
10920.80
9478.26
11038.37
9609.27
10969.77
9567.30
11249.09
9754.11
11056.20 10020.41
11017.29
9420.98
11254.12
9844.98
11036.33
9593.03
10841.15
9126.75
10803.57
9131.87
11201.52
9566.48
11036.17
9412.68
11333.36 10050.76
11157.24
9567.54
10973.63
9783.77
11126.75
9389.63
10958.38
9503.62
11260.97
9833.57
10759.24
9906.45
10939.34
9278.13
11251.58
9410.90
11338.33
9960.26
11087.23
9798.81
11120.57
9571.60
10886.14
9436.65
10991.22
9901.92
11229.98
9553.32
11473.12
9684.09
11076.37
9695.26
10964.82
9429.53
11082.80
9772.09
10966.70
9622.72
11384.76
9931.26

CAC 40
Nikkei 225
6209.57
115.39
6412.78
114.29
5947.78
112.35
6216.11
111.53
6349.22
114.88
6443.86
112.97
6334.38
115.30
6230.55
112.69
6127.08
113.30
6223.56
111.48
6146.28
113.97
6033.38
112.57
6296.13
111.22
6133.75
111.36
6379.17
112.86
6375.73
112.47
6095.82
115.21
6269.54
112.73
6168.22
117.10
5966.92
111.28
5924.28
110.62
6159.86
113.07
6177.86
108.97
6446.96
112.15
6227.01
113.21
6257.05
114.87
6126.69
111.94
6171.37
113.39
6510.62
111.29
6287.32
114.52
6070.47
111.45
6118.91
112.67
6388.78
111.33
6354.75
116.32
6193.28
112.93
6161.38
113.48
6309.14
114.51
6091.53
112.50
6270.16
111.13
6348.00
116.88
5972.73
111.14
6236.02
112.39
6235.24
112.21
6411.82
112.63

Portfolio Value ('000s)

9993.140
10045.583
9878.998
9967.513
10113.576
10195.403
10157.942
9985.113
9980.358
10043.445
9952.402
9893.877
9995.813
9934.166
10160.014
10165.756
9967.761
10170.351
10073.716
9721.434
9690.901
10052.595
9874.681
10281.772
10050.067
10085.259
9944.844
9952.207
10182.568
10044.525
9824.102
10008.410
10231.354
10172.677
10027.656
9904.992
10130.658
10037.557
10171.330
10145.223
9859.439
10073.877
9981.738
10265.850

45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89

11068.57
11097.08
10904.82
11189.99
11097.97
10983.77
11505.29
11064.26
11048.99
11140.32
10716.20
11006.53
10997.59
10804.19
10966.83
11418.98
11243.03
11107.41
10697.76
11044.38
11127.23
11417.31
11168.42
11261.00
11183.64
10906.04
11045.17
11047.35
10794.62
10246.08
11080.58
11390.89
11003.33
10910.16
11392.86
11210.44
10933.18
10895.87
11143.99
11111.97
10965.44
11030.75
11485.10
11145.60
11003.43

9819.87
9810.78
9363.95
9843.57
9847.43
9705.50
9473.94
9714.52
9986.80
9633.94
9653.43
9474.52
9750.30
9767.31
9602.92
9964.43
10135.84
9403.35
9411.42
9773.44
9221.18
9260.15
9801.37
9867.50
9200.67
9789.43
9638.25
9652.24
9784.32
9049.55
9675.68
10221.84
9766.09
9731.46
9816.54
9709.39
9616.50
9824.82
9878.74
9274.86
9956.08
9978.57
9803.99
9579.23
9276.58

6071.50
6288.54
5956.77
6435.17
6365.07
6285.95
6273.36
6149.95
6388.77
6442.63
6123.45
6011.71
6230.16
6347.93
5849.68
6560.87
6549.89
6114.21
6325.83
6321.94
6314.03
6122.09
6370.21
6171.83
5911.59
6250.55
6245.14
6404.06
6213.90
5829.27
6245.15
6599.13
6143.79
5993.28
6388.16
6482.58
6174.44
6301.23
6260.37
6213.19
6248.86
6424.13
6266.97
6189.38
6082.69

113.96
115.17
112.78
112.71
112.88
113.19
113.47
112.49
112.45
114.99
112.80
109.30
113.86
112.83
112.30
110.92
114.69
109.93
112.04
113.13
110.66
116.71
111.77
111.91
112.69
107.72
113.28
116.52
112.10
113.99
112.32
115.18
115.47
113.90
112.30
112.92
114.17
113.48
111.75
111.63
113.98
113.14
113.76
113.67
112.68

10084.924
10149.039
9843.725
10172.933
10132.541
10039.494
10159.315
10037.075
10154.426
10131.036
9892.872
9862.248
10061.374
9997.260
9915.070
10282.395
10337.085
9904.425
9829.781
10087.457
9899.755
10093.524
10124.857
10149.566
9884.885
9934.801
10035.767
10123.861
9964.504
9507.236
10043.293
10434.326
10082.976
9986.287
10223.274
10149.872
9992.590
10052.509
10122.128
9912.025
10119.019
10163.282
10259.102
10051.715
9870.650

90
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11157.95
10987.74
10819.56
10646.64
11799.88
10988.86
10876.86
11089.95
10693.27
11094.64
11124.54
11320.88
11187.13
11129.92
10999.42
10982.48
11011.44
10618.51
11269.58
11404.17
10529.59
10962.64
11036.88
11154.24
11429.44
11224.74
10942.97
11055.33
11041.05
11024.46
10892.90
10765.02
11357.20
11403.27
11118.57
11032.99
11106.03
10804.19
10783.16
10845.48
10951.11
9025.02
11137.86
10944.78
10742.69

9703.27
9639.66
9317.75
9609.93
10033.20
9713.66
9279.77
9891.67
8276.81
9738.82
9182.76
10297.07
10077.58
9459.12
9746.76
9657.65
9832.77
9516.62
9907.45
9751.78
9385.46
9011.41
9646.45
9697.77
9208.79
10508.32
9734.51
9477.11
9960.35
9774.90
9207.57
9626.04
9476.55
10253.87
9544.39
9429.17
9702.16
9138.60
9754.97
9951.36
9818.21
8692.98
8877.36
9288.64
9392.26

6183.85
6415.92
6127.06
5845.21
6611.86
6207.13
6330.06
6162.09
5668.36
6294.88
5946.31
6581.55
6310.89
6087.38
6106.03
6173.62
6460.84
6071.36
6323.92
6352.95
6093.97
5929.51
6433.89
6357.39
6106.99
6508.80
6175.64
6120.58
6235.18
6462.97
6064.51
6246.28
6188.81
6666.15
6211.69
6129.58
6263.13
6058.98
6217.91
6372.35
6445.63
5495.29
5870.67
5913.45
6089.84

110.62
115.22
113.06
112.88
114.77
112.04
112.52
114.29
110.42
113.46
108.63
110.29
115.46
113.79
113.80
112.80
112.02
113.82
112.98
114.75
112.28
111.39
112.67
113.80
112.51
115.61
111.96
111.75
113.34
110.78
111.77
114.81
115.32
115.68
117.26
112.87
112.16
110.95
114.36
114.42
114.12
115.02
107.08
112.55
111.33

10039.865
10077.304
9830.756
9810.709
10518.562
10010.680
9862.753
10135.619
9338.779
10096.315
9791.550
10342.943
10273.689
9994.121
10039.710
9998.951
10096.660
9824.419
10208.619
10244.903
9727.441
9725.513
10054.953
10121.135
10005.010
10456.636
9994.149
9941.765
10134.393
10061.697
9789.924
9957.577
10125.482
10468.543
10098.233
9939.978
10060.898
9720.721
9991.900
10101.828
10105.081
8917.031
9661.306
9823.566
9789.451

135
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10874.11
11396.20
10987.89
11181.02
11058.87
11124.67
10420.48
11148.86
11081.10
10908.36
11296.78
11166.37
11431.22
11065.99
10994.90
10853.58
10789.63
11139.27
11035.89
11093.23
11358.18
11070.17
11101.73
11056.61
10778.23
11210.03
11185.87
11325.52
11165.62
11107.48
11035.68
11471.42
10906.97
11117.98
11408.47
11064.05
11064.80
11281.15
11295.81
11171.22
10606.31
11321.04
11076.08
11122.17
11308.60

9021.16
9972.70
9757.63
9930.81
9708.55
9500.00
9292.62
8826.36
10228.84
9664.06
9890.15
9880.31
10123.26
9631.14
9480.28
9561.26
9495.08
9812.39
9505.83
9869.90
9839.36
9574.66
9670.45
9707.17
9681.30
9622.06
9898.19
10001.86
9753.40
9355.51
9506.50
9865.42
9505.50
9365.08
9837.27
9387.95
9494.38
9765.93
10001.24
9725.42
9166.10
9840.04
9499.91
9751.18
9518.17

5947.90
6399.79
6323.83
6423.05
6230.59
6156.33
5982.80
5720.51
6550.18
6254.76
6433.80
6327.74
6590.67
6235.70
6069.00
6250.47
6119.81
6405.33
6180.55
6321.86
6414.44
6289.62
6293.74
6291.30
6148.89
6274.43
6374.41
6516.38
6217.04
6145.01
6212.67
6585.66
6090.05
6175.47
6477.20
6110.23
6231.99
6318.07
6251.27
6305.11
5984.52
6362.88
6136.19
6392.23
6040.63

108.27
114.41
111.65
114.87
112.48
114.82
112.55
108.78
113.26
112.44
114.22
114.66
114.65
113.30
113.16
111.19
113.89
110.76
112.82
110.48
113.61
116.23
112.41
113.76
112.50
112.06
110.39
114.82
112.60
115.95
109.83
112.72
113.08
113.27
110.44
113.45
112.41
111.73
116.14
114.01
111.60
111.39
113.75
111.15
112.32

9643.969
10312.658
10035.944
10233.346
10046.064
10034.415
9645.782
9655.220
10282.191
9980.708
10252.817
10193.090
10407.319
10039.842
9937.580
9905.953
9888.910
10105.373
9972.473
10088.206
10245.379
10084.314
10058.794
10077.392
9923.001
10073.559
10137.578
10322.119
10098.819
10001.151
9924.712
10306.407
9915.574
9965.329
10216.778
9945.615
9980.294
10145.533
10291.872
10131.226
9657.100
10184.393
9994.514
10084.948
10043.791

180
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10992.77
11245.15
10983.96
11013.62
10979.58
10763.09
11225.11
11065.39
11376.49
11005.51
11149.09
11048.33
10755.47
10594.40
10398.95
11455.14
11023.51
10680.24
11505.33
11189.19
11224.98
10959.19
11076.96
10654.84
11160.17
10560.26
11002.82
10987.27
11246.76
11008.50
10986.99
11357.93
11128.96
10992.16
11145.46
11127.15
10606.04
11226.40
11785.84
11118.73
11161.73
10904.38
11208.44
10681.26
11229.00

9564.97
9987.98
9465.00
9519.92
9994.83
9180.48
9618.24
9772.07
9415.54
9813.68
10013.56
9796.68
9419.19
8775.99
9261.65
9330.57
9986.99
9438.93
9833.06
10101.94
10247.81
9515.39
9424.53
9702.17
9277.96
9494.88
9744.48
9475.64
9341.27
10009.58
9911.32
9639.90
9982.45
9442.99
10015.82
9784.41
9259.22
9719.24
10029.69
9798.98
9481.64
9147.29
10031.04
9360.07
9910.72

6088.01
6506.85
6094.89
6206.06
6373.22
5812.02
6268.39
6243.25
6050.86
6494.92
6382.27
6152.60
6082.43
5741.85
5832.13
6023.05
6376.16
6011.73
6308.32
6608.84
6454.59
6187.54
6169.91
6285.81
5962.34
6221.33
6169.70
6041.65
6110.66
6489.16
6431.96
6295.23
6324.39
6143.56
6409.09
6201.50
6033.64
6225.67
6589.85
6259.03
6150.73
5851.29
6472.22
5846.59
6345.38

111.52
111.77
114.03
114.62
113.09
112.74
109.70
114.97
112.20
115.82
113.40
113.48
113.97
113.76
112.24
109.10
113.18
111.87
111.43
113.13
113.37
114.92
113.54
112.93
113.20
111.20
112.11
113.91
110.90
113.00
114.79
115.66
112.83
112.81
110.71
114.43
115.51
110.33
110.54
116.96
112.59
110.94
113.80
115.00
109.97

9937.162
10233.006
9948.387
10004.743
10140.569
9710.849
10035.030
10114.497
10035.869
10161.463
10215.003
10074.927
9848.054
9529.908
9598.374
9978.433
10156.271
9778.341
10241.031
10288.798
10326.786
9985.813
9972.976
9914.435
9917.731
9774.240
10020.622
9942.238
9952.210
10172.771
10156.841
10199.999
10178.507
9930.651
10170.953
10124.528
9763.224
10071.438
10433.789
10180.184
10001.527
9726.191
10263.554
9782.923
10145.063

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10513.81
11165.08
10363.70
10640.68
11187.61
10758.73
11294.16
11201.24
10519.54
11499.71
11075.46
11259.20
10430.24
10979.10
11017.77
10716.89
10776.36
10998.76
11379.69
11083.54
10976.56
11245.91
11021.68
11247.79
10493.72
11381.28
10952.51
11191.11
11152.35
10813.95
11107.63
10644.04
11043.45
11296.93
10997.14
11226.82
11049.13
11491.16
11131.10
10950.78
11102.61
10958.02
11180.40
11077.99
10993.48

8861.66
9131.28
8412.79
9241.85
9478.27
10381.26
9162.10
9818.82
9391.31
9380.48
9940.06
10127.78
9074.04
8704.45
10057.86
9294.70
9427.97
8804.03
10163.96
9631.57
9600.74
9932.49
9710.33
9687.47
9299.31
9716.59
9819.73
9856.68
9736.54
9396.75
9733.55
9285.55
9464.50
10051.56
9675.91
9735.42
9239.98
9446.00
10154.34
9643.60
9739.49
9385.45
9699.52
9846.02
9671.54

5878.54
5816.53
5742.14
6047.44
6236.26
6504.08
5929.89
6270.46
6077.25
6055.96
6409.07
6618.35
5783.77
5781.72
6398.80
5978.97
6043.71
5774.12
6476.75
6243.56
6245.33
6413.23
6255.49
6339.98
6018.77
6296.31
6337.83
6337.90
6181.61
6002.53
6288.02
5945.18
6129.40
6447.14
6308.74
6323.53
6129.81
6224.39
6717.14
6219.99
6231.05
6102.09
6304.74
6320.06
6226.00

114.62
111.77
112.60
108.14
113.48
111.23
109.04
113.41
113.82
113.02
111.84
111.94
116.50
109.50
112.28
114.07
109.61
113.95
103.26
115.23
114.54
112.13
114.63
112.68
114.12
110.60
113.14
115.89
111.48
111.78
113.67
113.75
110.17
112.82
112.07
111.64
115.80
109.47
116.67
114.65
111.37
114.41
111.78
115.53
113.13

9564.882
9824.894
9312.280
9642.039
10039.591
10169.444
9851.280
10155.076
9750.345
10085.002
10141.943
10302.806
9618.924
9578.174
10163.982
9780.257
9774.847
9694.076
10181.085
10081.861
10021.470
10207.247
10075.262
10129.285
9708.087
10142.971
10071.243
10218.230
10063.186
9810.616
10102.045
9739.912
9906.898
10280.692
10018.819
10115.645
9938.718
10066.650
10364.436
10023.280
10052.033
9922.084
10087.014
10164.588
10021.599

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11349.19
10956.04
10887.87
11032.95
11186.46
11200.43
10865.58
10903.38
11171.71
10811.44
10880.17
10980.75
11014.58
10231.03
11101.15
11219.01
11020.29
11015.86
11281.15
11142.50
10871.90
11294.10
10318.50
11067.18
10933.98
11228.51
10388.44
10969.77
10664.25
10935.27
11540.43
10912.84
10843.09
11123.09
10684.74
11101.05
10691.83
10935.87
11365.93
11527.35
11052.30
11105.86
10940.40
10924.97
11320.48

9779.97
9559.09
9674.34
9689.24
9770.02
9576.59
9782.16
9872.82
9576.78
9368.31
9355.05
9922.61
9444.98
9266.59
9092.45
10070.72
9462.88
9994.47
9944.12
9862.70
9502.40
9959.63
9152.75
9402.04
9326.05
9733.54
9446.29
9637.04
9115.51
9299.19
9861.69
9793.16
9054.36
9340.23
9001.24
10141.12
8961.60
10081.70
9495.88
10139.34
9647.27
9789.46
9566.50
9295.02
9854.19

6348.83
6175.39
6210.84
6184.15
6305.63
6191.26
6221.19
6349.29
6072.59
6161.01
6025.46
6377.47
6151.28
6078.14
5833.62
6442.45
6094.12
6541.79
6382.81
6329.01
6133.57
6375.31
5837.56
6220.82
6089.14
6360.83
6253.41
6074.23
5866.94
6080.29
6283.56
6528.18
5982.85
6102.10
5960.57
6552.82
5909.07
6415.34
6158.97
6435.21
6307.37
6297.61
6073.31
6074.14
6406.87

112.61
113.94
113.01
112.37
112.37
113.21
112.86
114.44
112.00
113.00
112.09
111.12
115.43
111.28
110.69
112.17
112.75
111.92
115.05
113.85
112.36
112.86
114.72
109.57
110.86
112.89
112.80
110.23
113.91
110.66
110.87
115.01
112.44
110.77
112.26
114.68
111.37
116.37
113.27
110.15
116.81
112.79
112.88
112.56
112.29

10195.088
9979.086
9979.614
10021.257
10121.814
10062.865
10004.168
10094.973
10011.942
9848.039
9830.720
10084.269
9987.150
9561.726
9773.221
10246.097
9938.207
10160.059
10270.555
10164.870
9896.052
10240.009
9579.979
9900.111
9829.647
10143.844
9730.208
9926.408
9684.276
9816.849
10248.782
10112.420
9722.729
9903.224
9641.932
10287.626
9607.975
10216.782
10093.457
10342.400
10113.792
10104.679
9940.429
9844.420
10211.583

315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359

11280.16
11030.31
11173.75
10577.18
11081.48
11087.39
10751.20
10758.03
11122.60
10982.44
11084.35
11363.60
10876.99
11032.30
10068.03
11057.17
10706.80
11215.06
11177.41
10693.71
10882.87
10974.46
10590.20
10940.83
10842.67
11451.01
11164.90
10793.72
11261.50
11150.89
10971.27
11312.64
11148.22
10873.02
10497.36
10936.17
11086.03
10931.35
11298.17
11273.90
10779.40
10981.67
11006.12
11156.82
10805.12

9552.64
9864.20
9805.90
9432.94
9746.74
8852.32
9525.96
9180.01
9632.91
9469.85
9570.44
9929.74
9855.88
9581.36
8956.92
9570.28
9647.32
9151.85
9425.06
9537.69
9118.20
9242.37
9584.28
9346.16
9081.09
9014.27
10737.85
9668.12
9427.83
9852.80
9483.36
9712.28
9847.64
9650.75
9064.85
9584.26
9024.87
9798.63
10054.59
9541.19
9669.83
9278.41
9997.95
9322.88
9861.40

6204.22
6358.07
6358.33
6103.72
6239.20
5666.31
6071.88
5906.25
6212.57
6154.66
6191.33
6485.18
6468.72
6332.84
5801.31
6164.14
6304.11
6003.98
6173.82
6178.06
5926.91
5966.00
6018.64
5961.74
5502.15
5706.55
6856.18
6139.87
6204.11
6331.67
6104.34
6204.79
6391.70
6189.53
5772.76
6270.84
5970.48
6174.12
6473.50
6209.10
6236.91
6092.41
6430.51
6024.46
6360.53

114.82
113.19
112.45
114.19
110.77
108.94
111.04
110.47
112.47
110.89
113.43
113.73
115.61
111.70
113.30
110.15
111.71
113.81
110.64
110.48
114.43
107.69
115.10
113.60
101.16
114.95
113.61
115.26
110.43
114.73
111.90
114.75
112.39
114.34
112.15
109.55
113.46
111.29
112.86
112.54
116.05
113.16
113.59
110.10
115.20

10114.954
10117.467
10138.343
9794.963
10037.277
9635.176
9826.260
9683.871
10042.437
9903.355
10022.765
10289.042
10120.103
9999.375
9397.032
9950.185
9897.455
9915.779
9958.790
9816.323
9783.312
9742.203
9849.514
9866.525
9453.460
9930.788
10527.192
9971.879
9991.251
10180.787
9913.296
10175.502
10146.435
9986.919
9561.532
9917.235
9817.666
9997.872
10287.024
10069.394
9996.928
9873.439
10169.367
9885.618
10070.898

360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404

11171.41
11317.45
11195.87
11036.32
10846.02
10514.53
11010.81
10952.16
11087.97
10669.91
10784.92
10770.53
11711.80
10959.79
11071.10
10745.87
11052.30
11640.25
10661.57
11548.56
10905.66
10890.15
10924.78
11076.36
11491.16
10973.20
11041.08
11003.05
11025.62
10978.19
10960.12
11093.27
10680.14
10991.20
11104.50
11380.40
11023.67
11333.69
10990.14
10880.13
11081.96
11144.60
11084.39
10992.09
10942.64

9537.62
9917.48
9875.25
9705.99
9301.35
9365.85
9351.63
9479.63
9896.90
9508.62
9431.03
9390.41
9684.04
10067.25
9417.67
9377.03
8585.33
10311.95
9211.64
10047.85
9548.07
9788.82
9399.26
9612.68
9892.06
9799.90
9641.67
9737.16
9740.34
9363.23
9631.35
9586.23
9337.11
9518.87
9635.37
10163.00
9495.94
9931.27
9444.89
9669.81
9617.11
9423.98
9889.39
9657.91
9442.56

6155.12
6377.64
6324.28
6319.73
6062.11
6061.63
6120.80
6089.01
6388.35
6097.05
6074.65
6096.90
6307.75
6472.07
6113.57
6127.88
5931.52
6568.70
6059.16
6461.98
6269.46
6313.29
6125.52
6281.57
6383.82
6309.71
6164.42
6306.68
6277.92
6123.76
6161.20
6170.95
6064.24
6132.51
6208.29
6539.53
6182.27
6326.44
6217.98
6142.39
6323.57
5995.15
6303.99
6286.41
6083.56

112.22
114.25
112.65
114.74
112.78
112.25
109.80
113.26
111.84
114.97
110.36
112.18
112.80
114.49
111.54
111.87
112.46
112.93
114.00
115.71
113.39
111.45
114.51
110.92
111.67
115.91
114.50
112.79
113.03
111.40
112.11
112.82
115.61
110.27
112.77
114.00
113.66
111.40
115.78
111.73
112.64
112.15
115.17
112.70
112.47

10016.762
10260.269
10166.032
10091.580
9819.850
9710.120
9851.937
9926.837
10129.581
9865.167
9797.231
9815.232
10293.451
10196.832
9924.198
9801.465
9644.172
10508.166
9746.033
10424.445
9962.691
10005.001
9919.831
10003.122
10270.770
10117.099
10043.923
10052.554
10061.401
9872.607
9968.337
10016.828
9821.206
9907.269
10041.303
10381.615
9980.005
10211.814
9995.242
9941.587
10043.788
9944.529
10171.437
10018.930
9896.906

405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449

11400.07
10657.46
11099.04
10840.30
11222.24
10954.64
11127.09
11174.63
11012.47
11091.89
10676.71
10634.07
11062.60
10772.90
11140.49
11102.20
11115.82
11007.55
10767.15
10829.30
10997.99
11451.81
10289.09
11132.71
11037.15
10682.70
11116.21
11297.85
10959.81
10839.39
10796.79
11081.34
10627.93
11021.49
10959.48
11030.20
10338.69
10845.67
11027.97
11078.23
10723.86
11152.54
10919.42
11306.78
10590.23

9979.33
9503.73
9685.44
9261.22
9821.62
9406.62
9559.84
9787.11
9883.61
9808.54
9143.54
9573.77
9741.39
9237.91
9399.47
9719.07
9545.58
9528.57
9230.99
9856.83
9046.21
9717.86
9417.02
9560.55
9047.35
9286.19
9666.06
9639.05
9823.51
9761.60
9183.02
9545.78
9233.69
9599.55
9605.66
9717.17
9125.94
9696.47
10097.83
8878.91
9362.58
9714.02
9597.01
9275.94
10137.47

6259.81
6208.12
6162.00
5896.98
6323.85
6259.10
6356.95
6231.78
6356.61
6379.50
6038.05
6252.54
6143.80
5903.35
6045.60
6332.01
6104.85
6357.27
5880.27
6300.77
5926.99
6272.56
6009.97
6207.41
5743.28
5903.48
6113.75
6156.26
6240.03
6359.83
5954.75
6065.95
6042.17
6037.81
6175.24
6427.72
5963.48
6083.92
6365.52
5800.58
6144.87
6224.51
6137.58
5929.40
6536.13

113.53
113.22
113.40
110.84
113.07
113.75
113.31
114.56
113.42
112.78
112.61
111.29
112.43
113.97
110.57
110.05
116.10
114.58
115.01
109.94
115.03
110.82
114.96
109.50
110.44
114.50
109.34
113.45
115.37
112.91
113.80
110.40
112.01
111.67
112.97
112.20
113.80
111.61
112.42
112.66
111.06
111.95
112.73
109.95
113.11

10277.886
9845.913
10058.792
9744.174
10166.315
9940.983
10059.577
10149.661
10120.962
10118.701
9702.177
9832.351
10042.847
9768.953
9915.475
10038.343
10059.835
10028.901
9779.321
9975.401
9813.350
10169.037
9683.986
9970.186
9716.887
9760.606
9979.154
10116.251
10098.869
10011.503
9765.744
9939.899
9702.627
9953.013
9977.653
10065.160
9582.975
9925.941
10177.205
9727.684
9777.408
10071.524
9950.047
9907.512
10070.598

450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494

11164.88
10794.27
10940.46
10850.02
11548.09
11369.49
11101.65
11194.93
11071.10
10544.69
11056.20
10628.92
11448.11
11295.85
10726.90
10947.62
10959.34
11531.61
11076.81
10708.87
11444.09
11083.58
10838.41
10874.68
11136.97
11083.97
10761.43
10831.12
11124.90
11041.51
11332.22
10696.74
11156.88
11346.18
10771.19
10982.65
11046.46
10479.59
11069.70
11455.25
10638.72
11073.36
11249.27
11006.08
10511.10

9025.58
9082.16
9805.61
9189.90
9411.23
10328.71
9836.81
9555.96
9939.81
9118.46
9609.11
9483.78
9514.63
10002.80
9583.39
9286.16
9365.21
10042.08
9679.12
9491.19
9310.44
9842.38
9370.32
8786.78
9893.62
9311.93
9611.20
9055.33
9754.53
9785.67
9920.60
9251.20
9812.22
9771.37
9670.19
9088.58
9036.58
9066.12
9125.02
10271.26
9507.52
9366.56
9408.25
10264.46
8391.22

5837.22
5820.66
6338.61
5977.69
6244.92
6681.47
6404.32
6271.15
6333.91
5989.91
6292.03
6090.70
6058.40
6434.03
6213.83
5903.29
6131.63
6441.18
6339.40
6187.65
5978.97
6322.38
6044.83
5770.23
6282.41
6105.32
6201.85
5815.65
6326.10
6148.48
6452.09
5945.95
6268.53
6495.29
6263.91
6183.52
5853.80
5700.39
5824.38
6518.16
6040.62
6121.69
6017.81
6600.54
5622.29

113.25
113.61
111.98
112.81
112.28
113.17
110.20
117.04
112.94
116.06
109.97
113.32
110.33
114.76
113.05
110.78
110.76
112.56
114.88
111.07
112.56
115.77
111.83
111.39
111.07
112.42
114.53
110.41
112.50
113.80
109.83
114.09
112.69
113.38
117.34
108.15
113.89
112.04
111.44
114.96
111.38
112.23
111.65
113.06
109.49

9821.447
9708.348
10042.032
9773.252
10129.539
10437.576
10089.397
10135.205
10147.676
9699.826
9979.557
9812.130
10060.808
10297.286
9893.971
9790.802
9856.317
10357.366
10103.521
9819.176
10022.349
10170.003
9818.970
9597.609
10115.635
9910.099
9939.462
9655.760
10100.170
10074.063
10200.335
9754.374
10123.889
10228.751
10021.340
9740.346
9795.870
9541.823
9783.805
10456.200
9780.745
9922.583
9972.426
10270.610
9284.488

495
496
497
498
499
500

10427.77
11517.17
11414.69
10655.66
10835.59
11220.57

9477.10
9676.26
10752.91
9528.27
9391.76
9760.34

6073.26
6218.26
6981.05
6154.83
6054.76
6370.36

114.33
110.18
114.89
114.39
113.82
111.42

9752.116
10159.532
10665.377
9865.006
9861.422
10124.715

alue ('000s)

Loss ('000s)
6.860
-45.583
121.002
32.487
-113.576
-195.403
-157.942
14.887
19.642
-43.445
47.598
106.123
4.187
65.834
-160.014
-165.756
32.239
-170.351
-73.716
278.566
309.099
-52.595
125.319
-281.772
-50.067
-85.259
55.156
47.793
-182.568
-44.525
175.898
-8.410
-231.354
-172.677
-27.656
95.008
-130.658
-37.557
-171.330
-145.223
140.561
-73.877
18.262
-265.850

Portfolio
DJIA
FTSE 100
Investments
4000
3000

This spreadsheet calculates scenarios

updating procedure. Portfolio values fo
are in column G and losses between S
September 26 , 2008 are in column I

-84.924
-149.039
156.275
-172.933
-132.541
-39.494
-159.315
-37.075
-154.426
-131.036
107.128
137.752
-61.374
2.740
84.930
-282.395
-337.085
95.575
170.219
-87.457
100.245
-93.524
-124.857
-149.566
115.115
65.199
-35.767
-123.861
35.496
492.764
-43.293
-434.326
-82.976
13.713
-223.274
-149.872
7.410
-52.509
-122.128
87.975
-119.019
-163.282
-259.102
-51.715
129.350

-39.865
-77.304
169.244
189.291
-518.562
-10.680
137.247
-135.619
661.221
-96.315
208.450
-342.943
-273.689
5.879
-39.710
1.049
-96.660
175.581
-208.619
-244.903
272.559
274.487
-54.953
-121.135
-5.010
-456.636
5.851
58.235
-134.393
-61.697
210.076
42.423
-125.482
-468.543
-98.233
60.022
-60.898
279.279
8.100
-101.828
-105.081
1082.969
338.694
176.434
210.549

356.031
-312.658
-35.944
-233.346
-46.064
-34.415
354.218
344.780
-282.191
19.292
-252.817
-193.090
-407.319
-39.842
62.420
94.047
111.090
-105.373
27.527
-88.206
-245.379
-84.314
-58.794
-77.392
76.999
-73.559
-137.578
-322.119
-98.819
-1.151
75.288
-306.407
84.426
34.671
-216.778
54.385
19.706
-145.533
-291.872
-131.226
342.900
-184.393
5.486
-84.948
-43.791

62.838
-233.006
51.613
-4.743
-140.569
289.151
-35.030
-114.497
-35.869
-161.463
-215.003
-74.927
151.946
470.092
401.626
21.567
-156.271
221.659
-241.031
-288.798
-326.786
14.187
27.024
85.565
82.269
225.760
-20.622
57.762
47.790
-172.771
-156.841
-199.999
-178.507
69.349
-170.953
-124.528
236.776
-71.438
-433.789
-180.184
-1.527
273.809
-263.554
217.077
-145.063

435.118
175.106
687.720
357.961
-39.591
-169.444
148.720
-155.076
249.655
-85.002
-141.943
-302.806
381.076
421.826
-163.982
219.743
225.153
305.924
-181.085
-81.861
-21.470
-207.247
-75.262
-129.285
291.913
-142.971
-71.243
-218.230
-63.186
189.384
-102.045
260.088
93.102
-280.692
-18.819
-115.645
61.282
-66.650
-364.436
-23.280
-52.033
77.916
-87.014
-164.588
-21.599

-195.088
20.914
20.386
-21.257
-121.814
-62.865
-4.168
-94.973
-11.942
151.961
169.280
-84.269
12.850
438.274
226.779
-246.097
61.793
-160.059
-270.555
-164.870
103.948
-240.009
420.021
99.889
170.353
-143.844
269.792
73.592
315.724
183.151
-248.782
-112.420
277.271
96.776
358.068
-287.626
392.025
-216.782
-93.457
-342.400
-113.792
-104.679
59.571
155.580
-211.583

-114.954
-117.467
-138.343
205.037
-37.277
364.824
173.740
316.129
-42.437
96.645
-22.765
-289.042
-120.103
0.625
602.968
49.815
102.545
84.221
41.210
183.677
216.688
257.797
150.486
133.475
546.540
69.212
-527.192
28.121
8.749
-180.787
86.704
-175.502
-146.435
13.081
438.468
82.765
182.334
2.128
-287.024
-69.394
3.072
126.561
-169.367
114.382
-70.898

-16.762
-260.269
-166.032
-91.580
180.150
289.880
148.063
73.163
-129.581
134.833
202.769
184.768
-293.451
-196.832
75.802
198.535
355.828
-508.166
253.967
-424.445
37.309
-5.001
80.169
-3.122
-270.770
-117.099
-43.923
-52.554
-61.401
127.393
31.663
-16.828
178.794
92.731
-41.303
-381.615
19.995
-211.814
4.758
58.413
-43.788
55.471
-171.437
-18.930
103.094

-277.886
154.087
-58.792
255.826
-166.315
59.017
-59.577
-149.661
-120.962
-118.701
297.823
167.649
-42.847
231.047
84.525
-38.343
-59.835
-28.901
220.679
24.599
186.650
-169.037
316.014
29.814
283.113
239.394
20.846
-116.251
-98.869
-11.503
234.256
60.101
297.373
46.987
22.347
-65.160
417.025
74.059
-177.205
272.316
222.592
-71.524
49.953
92.488
-70.598

178.553
291.652
-42.032
226.748
-129.539
-437.576
-89.397
-135.205
-147.676
300.174
20.443
187.870
-60.808
-297.286
106.029
209.198
143.683
-357.366
-103.521
180.824
-22.349
-170.003
181.030
402.391
-115.635
89.901
60.538
344.240
-100.170
-74.063
-200.335
245.626
-123.889
-228.751
-21.340
259.654
204.130
458.177
216.195
-456.200
219.255
77.417
27.574
-270.610
715.512

247.884
-159.532
-665.377
134.994
138.578
-124.715
Mean
SD
Skewness
Kurtosis
x
f(x)
Std Error

0.634
205.537
0.542
1.803
478.785
0.0001297
34.316

CAC40
Nikkei 225
1000
2000

eet calculates scenarios using the volatility

edure. Portfolio values for September 26, 2008
G and losses between September 25 and
6 , 2008 are in column I

Scenario Loss ('000s)

131 1082.969
494
715.512
227
687.720
98
661.221
329
602.968
339
546.540
74
492.764
193
470.092
487
458.177
349
438.468
283
438.274
225
435.118
238
421.826
292
420.021
441
417.025
473
402.391
194
401.626
306
392.025
237
381.076
320
364.824
304
358.068
228
357.961
135
356.031
376
355.828
141
354.218
142
344.780
477
344.240
175
342.900
132
338.694
322
316.129
427
316.014
298
315.724
21
309.099
242
305.924
459
300.174
415
297.823
437
297.373
249
291.913
451
291.652
365
289.880
185
289.151
429
283.113
127
279.279
20
278.566

This spreadsheet ranks the losses from the volatility adj

to the best. The new VaR estimate is in cell B6

VaR
ES

602.968
750.078

302
111
221
110
444
296
256
485
336
408
378
233
495
481
430
216
435
418
284
453
205
241
445
197
423
240
490
223
335
488
134
120
465
100
318
486
370
375
254
93
461
425
371
334
299

277.271
274.487
273.809
272.559
272.316
269.792
260.088
259.654
257.797
255.826
253.967
249.655
247.884
245.626
239.394
236.776
234.256
231.047
226.779
226.748
225.760
225.153
222.592
221.659
220.679
219.743
219.255
217.077
216.688
216.195
210.549
210.076
209.198
208.450
205.037
204.130
202.769
198.535
189.384
189.291
187.870
186.650
184.768
183.677
183.151

351
472
469
364
392
450
133
31
107
226
321
294
63
280
92
416
47
313
406
279
192
337
231
366
466
41
499
56
96
498
369
338
89
389
356
23
3
69
358
151
55
12
464
290
404

182.334
181.030
180.824
180.150
178.794
178.553
176.434
175.898
175.581
175.106
173.740
170.353
170.219
169.280
169.244
167.649
156.275
155.580
154.087
151.961
151.946
150.486
148.720
148.063
143.683
140.561
138.578
137.752
137.247
134.994
134.833
133.475
129.350
127.393
126.561
125.319
121.002
115.115
114.382
111.090
107.128
106.123
106.029
103.948
103.094

331
65
293
303
324
62
36
150
257
393
448
475
84
345
203
59
419
167
332
350
204
382
266
491
159
374
165
442
297
367
213
340
14
70
180
149
286
261
476
436
125
312
410
399
117

102.545
100.245
99.889
96.776
96.645
95.575
95.008
94.047
93.102
92.731
92.488
89.901
87.975
86.704
85.565
84.930
84.525
84.426
84.221
82.765
82.269
80.169
77.916
77.417
76.999
75.802
75.288
74.059
73.592
73.163
69.349
69.212
65.834
65.199
62.838
62.420
61.793
61.282
60.538
60.101
60.022
59.571
59.017
58.413
58.235

207
401
27
170
182
447
330
28
208
11
438
121
333
380
73
168
4
17
390
428
342
492
153
202
424
439
195
271
431
460
272
396
171
9
144
43
8
201
78
348
282
343
128
81
1

57.762
55.471
55.156
54.385
51.613
49.953
49.815
47.793
47.790
47.598
46.987
42.423
41.210
37.309
35.496
34.671
32.487
32.239
31.663
29.814
28.121
27.574
27.527
27.024
24.599
22.347
21.567
20.914
20.846
20.443
20.386
19.995
19.706
19.642
19.292
18.262
14.887
14.187
13.713
13.081
12.850
8.749
8.100
7.410
6.860

103
116
177
398
13
355
58
352
105
328
164
220
383
276
183
381
114
32
95
434
278
360
391
259
403
206
273
484
245
269
470
325
264
35
422
140
186
71
188
137
52
319
38
420
50

5.879
5.851
5.486
4.758
4.187
3.072
2.740
2.128
1.049
0.625
-1.151
-1.527
-3.122
-4.168
-4.743
-5.001
-5.010
-8.410
-10.680
-11.503
-11.942
-16.762
-16.828
-18.819
-18.930
-20.622
-21.257
-21.340
-21.470
-21.599
-22.349
-22.765
-23.280
-27.656
-28.901
-34.415
-35.030
-35.767
-35.869
-35.944
-37.075
-37.277
-37.557
-38.343
-39.494

229
104
148
90
394
452
323
417
75
10
400
179
386
30
2
139
25
88
265
82
387
22
112
407
157
411
421
462
126
57
388
119
275
253
440
262
354
449
359
251
217
446
160
19
42

-39.591
-39.710
-39.842
-39.865
-41.303
-42.032
-42.437
-42.847
-43.293
-43.445
-43.788
-43.791
-43.923
-44.525
-45.583
-46.064
-50.067
-51.715
-52.033
-52.509
-52.554
-52.595
-54.953
-58.792
-58.794
-59.577
-59.835
-60.808
-60.898
-61.374
-61.401
-61.697
-62.865
-63.186
-65.160
-66.650
-69.394
-70.598
-70.898
-71.243
-71.438
-71.524
-73.559
-73.716
-73.877

479
191
247
91
158
244
77
281
156
45
178
234
26
267
64
154
456
363
308
66
277
99
106
124
163
433
478
129
255
468
311
130
152
301
5
310
187
315
474
260
432
385
316
414
85

-74.063
-74.927
-75.262
-77.304
-77.392
-81.861
-82.976
-84.269
-84.314
-84.924
-84.948
-85.002
-85.259
-87.014
-87.457
-88.206
-89.397
-91.580
-93.457
-93.524
-94.973
-96.315
-96.660
-98.233
-98.819
-98.869
-100.170
-101.828
-102.045
-103.521
-104.679
-105.081
-105.373
-112.420
-113.576
-113.792
-114.497
-114.954
-115.635
-115.645
-116.251
-117.099
-117.467
-118.701
-119.019

327
413
113
274
83
72
482
215
500
67
122
248
454
368
37
54
174
49
118
457
97
161
317
184
235
250
295
224
40
172
347
458
46
68
412
80
53
232
196
210
7
51
496
15
287

-120.103
-120.962
-121.135
-121.814
-122.128
-123.861
-123.889
-124.528
-124.715
-124.857
-125.482
-129.285
-129.539
-129.581
-130.658
-131.036
-131.226
-132.541
-134.393
-135.205
-135.619
-137.578
-138.343
-140.569
-141.943
-142.971
-143.844
-145.063
-145.223
-145.533
-146.435
-147.676
-149.039
-149.566
-149.661
-149.872
-154.426
-155.076
-156.271
-156.841
-157.942
-159.315
-159.532
-160.014
-160.059

189
86
239
268
289
16
362
409
426
357
230
471
18
214
39
402
34
209
48
346
443
212
219
344
243
29
176
146
270
6
373
211
480
246
108
314
397
190
169
307
252
79
483
33
181

-161.463
-163.282
-163.982
-164.588
-164.870
-165.756
-166.032
-166.315
-169.037
-169.367
-169.444
-170.003
-170.351
-170.953
-171.330
-171.437
-172.677
-172.771
-172.933
-175.502
-177.205
-178.507
-180.184
-180.787
-181.085
-182.568
-184.393
-193.090
-195.088
-195.403
-196.832
-199.999
-200.335
-207.247
-208.619
-211.583
-211.814
-215.003
-216.778
-216.782
-218.230
-223.274
-228.751
-231.354
-233.006

138
291
198
109
155
285
300
145
87
361
222
44
288
493
384
102
405
258
24
143
60
353
305
199
326
173
372
463
236
166
136
162
200
61
309
101
467
263
395
147
379
218
76
455
489

-233.346
-240.009
-241.031
-244.903
-245.379
-246.097
-248.782
-252.817
-259.102
-260.269
-263.554
-265.850
-270.555
-270.610
-270.770
-273.689
-277.886
-280.692
-281.772
-282.191
-282.395
-287.024
-287.626
-288.798
-289.042
-291.872
-293.451
-297.286
-302.806
-306.407
-312.658
-322.119
-326.786
-337.085
-342.400
-342.943
-357.366
-364.436
-381.615
-407.319
-424.445
-433.789
-434.326
-437.576
-456.200

115
123
377
94
341
497

-456.636
-468.543
-508.166
-518.562
-527.192
-665.377
0.634456
205.5371
0.541965
1.80326
478.7854
0.00013
34.31554

om the volatility adjusted scenarios from the worst

s in cell B6

Scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

Loss ('000s)
-14.33385
-27.48131
53.26406
25.13937
-63.63513
-85.83358
-86.96012
6.062771
1.463461
-3.493648
8.98187
42.10005
12.22265
34.09706
-57.04129
-51.92999
-4.640019
-56.35754
-51.87078
101.2009
118.0893
-19.19409
70.54522
-82.82767
-19.51095
-44.43115
24.9544
9.514399
-40.80069
-27.56359
62.82088
-0.338866
-54.38835
-76.53322
-8.616613
20.5506
-49.14355
-6.693764
-30.71895
-69.73347
51.42114
-14.15718
10.29565
-61.69966

variance SD
SD Ratio
Adj Loss
8779.392
93.698
2.203
-31.571
8264.956
90.912
2.270
-62.385
7814.372
88.399
2.335
124.352
7515.733
86.693
2.381
59.846
7102.708
84.278
2.449 -155.829
6919.512
83.184
2.481 -212.953
6946.385
83.345
2.476 -215.330
6983.326
83.566
2.470
14.973
6566.532
81.034
2.547
3.727
6172.668
78.566
2.627
-9.177
5803.04
76.178
2.709
24.333
5459.698
73.890
2.793
117.588
5238.461
72.377
2.851
34.852
4933.117
70.236
2.938
100.189
4706.887
68.607
3.008 -171.588
4619.696
67.968
3.036 -157.680
4504.318
67.114
3.075
-14.268
4235.351
65.080
3.171 -178.719
4171.8
64.589
3.195 -165.739
4082.927
63.898
3.230
326.861
4452.448
66.727
3.093
365.238
5022.007
70.866
2.912
-55.898
4742.791
68.868
2.997
211.405
4756.821
68.970
2.992 -247.846
4883.037
69.879
2.953
-57.623
4612.896
67.918
3.039 -135.010
4454.57
66.743
3.092
77.163
4224.659
64.997
3.175
30.210
3976.611
63.060
3.273 -133.529
3837.896
61.951
3.331
-91.823
3653.207
60.442
3.415
214.502
3670.803
60.587
3.406
-1.154
3450.561
58.741
3.513 -191.084
3421.013
58.489
3.528 -270.046
3567.192
59.726
3.455
-29.774
3357.616
57.945
3.562
73.194
3181.498
56.405
3.659 -179.811
3135.514
55.996
3.686
-24.671
2950.071
54.315
3.800 -116.723
2829.686
53.195
3.880 -270.543
2951.67
54.329
3.799
195.331
2933.218
54.159
3.811
-53.947
2769.251
52.624
3.922
40.377
2609.456
51.083
4.040 -249.271

45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89

-29.53272
-54.4684
36.33405
-38.64846
-30.35471
-11.62386
-39.99085
-5.441389
-29.05697
-42.75599
23.88956
51.26184
-19.35277
1.781974
21.27437
-42.25359
-78.69669
37.96652
38.06411
-19.41561
30.41443
-46.51779
-16.65197
-21.11447
21.56316
49.79943
-11.13527
-56.7348
14.87273
76.72657
-4.184937
-105.5293
-39.16114
-4.458303
-41.55445
-33.40395
-8.88217
-13.02839
-13.03513
22.23092
-27.99886
-30.69251
-54.83099
-16.78609
22.25802

2681.299
2572.752
2596.395
2519.821
2458.254
2366.044
2232.188
2194.213
2064.336
1991.135
1981.351
1896.713
1940.577
1846.614
1736.007
1659.003
1666.585
1938.18
1908.376
1880.806
1790.576
1738.644
1764.159
1674.947
1601.2
1533.026
1589.843
1501.892
1604.909
1521.886
1783.791
1677.815
2245.332
2202.628
2071.663
2050.969
1994.861
1879.903
1777.293
1680.85
1609.652
1560.109
1523.024
1612.029
1532.214

51.781
50.722
50.955
50.198
49.581
48.642
47.246
46.842
45.435
44.622
44.512
43.551
44.052
42.972
41.665
40.731
40.824
44.025
43.685
43.368
42.315
41.697
42.002
40.926
40.015
39.154
39.873
38.754
40.061
39.011
42.235
40.961
47.385
46.932
45.516
45.288
44.664
43.358
42.158
40.998
40.120
39.498
39.026
40.150
39.144

3.986
4.069
4.050
4.111
4.162
4.243
4.368
4.406
4.542
4.625
4.636
4.739
4.685
4.803
4.953
5.067
5.055
4.688
4.724
4.759
4.877
4.949
4.914
5.043
5.158
5.271
5.176
5.325
5.152
5.290
4.886
5.038
4.355
4.397
4.534
4.557
4.621
4.760
4.895
5.034
5.144
5.225
5.288
5.140
5.272

-117.705
-221.621
147.161
-158.896
-126.351
-49.318
-174.687
-23.974
-131.985
-197.748
110.762
242.917
-90.666
8.558
105.377
-214.094
-397.839
177.979
179.824
-92.394
148.336
-230.239
-81.820
-106.474
111.213
262.491
-57.635
-302.131
76.618
405.900
-20.449
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2.105
2.150
2.186
2.180
2.248
2.107
2.107
1.997
2.057
2.101
2.165
2.096
2.134
2.201
1.819
1.871
1.903
1.961
2.021
2.001
2.009
1.951
1.978
2.019
1.584
1.631
1.433
1.477
1.518
1.504
1.537
1.529
1.557
1.605
1.448
1.468
1.490
1.534
1.494
1.537
1.579
1.612
1.618
1.624

-148.032
-115.019
-138.665
215.033
-21.137
375.575
205.084
350.932
-41.470
115.504
-31.631
-300.253
-132.277
14.060
609.815
59.865
139.866
32.483
35.033
237.174
192.904
292.755
151.632
117.552
697.604
-47.533
-502.223
-28.709
68.716
-236.142
112.813
-223.594
-131.472
-27.415
452.955
152.964
147.486
44.269
-285.216
-58.821
-75.379
115.532
-193.964
192.830
-146.130

360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404

3.014884
-179.8732
-96.70991
-87.3751
104.8981
172.2237
131.2871
35.69083
-57.59784
41.44473
152.5854
112.4448
-165.0441
-123.8929
57.55107
129.2407
182.7072
-316.4893
167.1042
-333.0218
26.56281
16.25495
41.64938
16.19379
-180.2358
-104.7502
-49.30954
-30.63699
-39.49067
93.09916
28.40792
-12.6203
81.90979
80.53877
-25.00985
-224.5146
1.852989
-109.5909
-26.25789
48.12687
-21.25965
28.13276
-110.3941
-6.007165
53.86852

15663.73
14724.45
15782.24
15396.48
14930.75
14695.13
15593.08
15691.67
14826.6
14136.06
13390.95
13984.43
13904
14704.13
14742.85
14057.01
14215.78
15365.75
20453.73
20901.94
26302.03
24766.25
23296.12
22002.44
20698.02
21405.24
20779.28
19678.41
18554.02
17534.35
17002.34
16030.62
15078.34
14576.19
14090.81
13282.89
15510.33
14579.91
14425.73
13601.55
12924.43
12176.08
11493.01
11534.64
10844.72

125.155
121.344
125.627
124.083
122.191
121.223
124.872
125.266
121.765
118.895
115.719
118.256
117.915
121.261
121.420
118.562
119.230
123.959
143.017
144.575
162.179
157.373
152.631
148.332
143.868
146.305
144.150
140.280
136.213
132.417
130.393
126.612
122.794
120.732
118.705
115.251
124.540
120.747
120.107
116.626
113.686
110.345
107.205
107.399
104.138

1.649
1.701
1.643
1.663
1.689
1.702
1.653
1.648
1.695
1.736
1.783
1.745
1.750
1.702
1.700
1.741
1.731
1.665
1.443
1.427
1.273
1.311
1.352
1.391
1.434
1.411
1.432
1.471
1.515
1.559
1.583
1.630
1.681
1.709
1.739
1.791
1.657
1.709
1.718
1.770
1.815
1.870
1.925
1.922
1.982

4.972
-305.923
-158.873
-145.325
177.170
293.205
216.980
58.801
-97.622
71.940
272.127
196.237
-288.865
-210.858
97.820
224.966
316.253
-526.922
241.138
-475.383
33.802
21.317
56.316
22.531
-258.548
-147.761
-70.596
-45.073
-59.833
145.099
44.962
-20.571
137.665
137.673
-43.482
-402.034
3.071
-187.310
-45.119
85.164
-38.594
52.617
-212.517
-11.543
106.755

405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449

-146.2934
81.16256
-36.49817
136.6217
-83.88851
21.2488
-32.54945
-83.19726
-53.10346
-48.9548
131.0304
93.60143
-16.95839
90.53343
42.37527
2.38611
-52.62551
-24.64124
66.85912
42.77773
44.83535
-53.92584
121.0104
37.41425
125.4624
90.56743
42.7069
-68.94933
-64.43002
6.924863
82.77122
48.38216
136.9843
31.03368
9.814375
-14.21794
164.0749
54.54672
-53.31587
88.54558
118.1166
-26.95392
25.29638
39.41247
0.44906

10368.15
11030.17
10763.6
10197.71
10705.78
10485.67
9883.617
9354.168
9208.225
8824.93
8439.228
8963.013
8950.906
8431.106
8417.018
8019.737
7538.894
7252.727
6853.995
6710.964
6418.102
6153.628
5958.891
6479.968
6175.16
6749.099
6836.3
6535.555
6428.662
6292.016
5917.372
5973.395
5755.441
6535.996
6201.622
5835.304
5497.314
6782.709
6554.267
6331.566
6422.091
6873.858
6505.017
6153.11
5877.124

101.824
105.025
103.748
100.984
103.469
102.400
99.416
96.717
95.959
93.941
91.865
94.673
94.609
91.821
91.744
89.553
86.827
85.163
82.789
81.920
80.113
78.445
77.194
80.498
78.582
82.153
82.682
80.843
80.179
79.322
76.924
77.288
75.865
80.846
78.750
76.389
74.144
82.357
80.958
79.571
80.138
82.909
80.654
78.442
76.662

2.027
1.965
1.989
2.044
1.995
2.015
2.076
2.134
2.151
2.197
2.247
2.180
2.181
2.248
2.249
2.305
2.377
2.423
2.493
2.519
2.576
2.631
2.674
2.564
2.626
2.512
2.496
2.553
2.574
2.602
2.683
2.670
2.720
2.553
2.621
2.702
2.783
2.506
2.549
2.594
2.575
2.489
2.559
2.631
2.692

-296.510
159.488
-72.603
279.211
-167.324
42.825
-67.569
-177.530
-114.209
-107.548
294.364
204.042
-36.993
203.484
95.323
5.499
-125.085
-59.714
166.668
107.768
115.500
-141.872
323.523
95.921
329.499
227.517
106.599
-176.016
-165.841
18.017
222.065
129.193
372.645
79.221
25.720
-38.412
456.700
136.688
-135.912
229.655
304.184
-67.094
64.729
103.693
1.209

450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494

52.83444
123.0441
-8.146203
102.1653
-71.40393
-205.5104
-33.95933
-92.28814
-70.12114
133.8747
28.76045
100.801
-34.35775
-167.8824
68.6191
113.0941
84.35965
-188.9865
-66.71541
120.2327
-49.35096
-101.1341
103.142
191.2691
-50.81277
40.12507
34.43484
185.1269
-51.84905
-42.64308
-89.56124
123.3426
-65.38229
-127.9515
-20.52265
156.8299
79.35322
253.385
123.0999
-284.9247
156.5112
47.04878
13.72391
-155.0225
477.841

5524.509
5360.527
5947.286
5594.431
5885.03
5837.839
8021.64
7609.535
7663.989
7499.168
8124.565
7686.72
7835.168
7435.885
8680.801
8442.468
8703.336
8608.129
10234.59
9887.576
10161.68
9698.106
9729.906
9784.408
11392.38
10863.75
10308.53
9761.159
11231.81
10719.2
10185.15
10055.32
10364.8
9999.404
10381.73
9784.101
10672.79
10410.24
13637.86
13728.81
17776
18179.19
17221.25
16199.28
16669.24

74.327
73.216
77.119
74.796
76.714
76.406
89.564
87.233
87.544
86.598
90.136
87.674
88.516
86.232
93.171
91.883
93.292
92.780
101.166
99.436
100.805
98.479
98.640
98.916
106.735
104.229
101.531
98.799
105.980
103.534
100.922
100.276
101.808
99.997
101.891
98.915
103.309
102.031
116.781
117.170
133.327
134.830
131.230
127.276
129.109

2.777
2.819
2.676
2.759
2.690
2.701
2.304
2.366
2.357
2.383
2.290
2.354
2.332
2.393
2.215
2.246
2.212
2.224
2.040
2.075
2.047
2.096
2.092
2.086
1.934
1.980
2.033
2.089
1.947
1.993
2.045
2.058
2.027
2.064
2.025
2.086
1.998
2.023
1.767
1.761
1.548
1.531
1.573
1.621
1.598

146.702
346.834
-21.800
281.897
-192.093
-555.101
-78.251
-218.339
-165.305
319.048
65.851
237.279
-80.106
-401.794
151.995
254.021
186.619
-420.379
-136.099
249.541
-101.036
-211.943
215.797
399.063
-98.249
79.449
69.995
386.708
-100.967
-85.003
-183.147
253.851
-132.539
-264.072
-41.568
327.215
158.522
512.525
217.545
-501.855
242.266
72.015
21.583
-251.369
763.818

495
496
497
498
499
500

184.4496
-129.7806
-555.7954
133.7444
142.5355
-126.439

29369.01
29648.16
28879.85
45681.58
44013.93
42592.08

171.374
172.186
169.941
213.732
209.795
206.378

1.204
1.199
1.214
0.966
0.984
1.000

222.125
-155.552
-674.966
129.143
140.214
-126.439

lambda

0.94

This worksheet uses EWMA to monitor the variance of

losses from successive scenarios. It adjusts the loss by
teh ratio of the current SD of losses to teh SD of losses
at teh time of teh scenario

Scenario Adj Loss

131
891.403
494
763.818
227
757.355
339
697.604
98
627.916
329
609.815
283
523.259
487
512.525
441
456.700
238
454.327
349
452.955
237
449.677
193
448.360
225
447.279
194
430.193
306
411.159
292
409.676
135
406.266
74
405.900
473
399.063
228
396.974
477
386.708
304
381.242
320
375.575
437
372.645
21
365.238
175
353.945
322
350.932
132
350.026
451
346.834
141
340.160
142
337.321
242
331.196
429
329.499
485
327.215
20
326.861
427
323.523
459
319.048
376
316.253
298
314.803
249
313.052
221
305.131
445
304.184
127
303.125

VaR
ES

627.916
747.619

296
415
365
336
185
205
233
453
302
111
408
256
100
370
110
197
70
241
465
481
240
284
469
56
490
378
134
216
461
334
254
444
120
430
375
495
435
223
488
366
472
318
31
23
299

300.075
294.364
293.205
292.755
289.623
287.444
283.872
281.897
280.133
279.788
279.211
277.951
275.730
272.127
266.268
265.436
262.491
258.278
254.021
253.851
251.830
250.800
249.541
242.917
242.266
241.138
240.805
240.606
237.279
237.174
230.602
229.655
229.081
227.517
224.966
222.125
222.065
220.035
217.545
216.980
215.797
215.033
214.502
211.405
205.403

321
416
418
280
294
93
371
41
335
358
466
63
62
364
133
423
279
231
226
313
406
486
350
464
337
65
92
351
47
450
389
499
331
393
392
442
257
293
192
436
498
165
107
3
96

205.084
204.042
203.484
200.351
199.456
198.696
196.237
195.331
192.904
192.830
186.619
179.824
177.979
177.170
171.981
166.668
164.283
162.538
162.262
159.617
159.488
158.522
152.964
151.995
151.632
148.336
147.695
147.486
147.161
146.702
145.099
140.214
139.866
137.673
137.665
136.688
133.658
132.458
129.859
129.193
129.143
129.000
128.142
124.352
120.538

12
338
89
356
324
425
290
345
84
69
55
297
203
424
404
431
150
59
448
303
14
374
428
419
151
180
399
159
475
438
117
27
73
167
36
491
369
213
476
343
460
447
286
204
312

117.588
117.552
117.352
115.532
115.504
115.500
115.365
112.813
111.907
111.213
110.762
108.751
108.432
107.768
106.755
106.599
106.378
105.377
103.693
100.366
100.189
97.820
95.921
95.323
88.925
87.346
85.164
79.774
79.449
79.221
77.913
77.163
76.618
75.918
73.194
72.015
71.940
71.111
69.995
68.716
65.851
64.729
63.944
63.189
59.980

330
4
367
125
382
266
149
401
207
195
390
352
410
90
43
208
333
13
380
170
332
28
261
439
153
144
182
11
95
171
383
492
381
272
434
116
168
186
8
328
202
58
420
360
9

59.865
59.846
58.801
57.992
56.316
53.217
52.792
52.617
49.501
49.234
44.962
44.269
42.825
41.587
40.377
39.025
35.033
34.852
33.802
33.785
32.483
30.210
28.694
25.720
25.202
24.872
24.501
24.333
24.313
23.514
22.531
21.583
21.317
18.962
18.017
17.169
16.625
15.466
14.973
14.060
10.710
8.558
5.499
4.972
3.727

396
278
449
105
271
32
114
276
206
121
201
137
10
259
403
273
17
103
177
78
75
391
319
452
220
52
38
262
348
119
265
342
35
269
1
325
139
188
417
440
400
282
126
81
323

3.071
1.945
1.209
0.985
-0.981
-1.154
-1.480
-1.567
-5.018
-6.694
-7.153
-8.242
-9.177
-10.226
-11.543
-12.748
-14.268
-15.405
-18.785
-19.605
-20.449
-20.571
-21.137
-21.800
-23.251
-23.974
-24.671
-26.505
-27.415
-27.610
-28.580
-28.709
-29.774
-30.125
-31.571
-31.631
-35.556
-36.832
-36.993
-38.412
-38.594
-39.672
-39.906
-41.042
-41.470

484
128
148
183
394
387
398
178
340
179
157
245
50
154
112
42
281
253
229
22
264
25
71
164
217
354
160
422
388
104
82
2
83
446
411
140
386
152
407
106
267
355
275
456
462

-41.568
-41.677
-42.312
-43.179
-43.482
-45.073
-45.119
-46.944
-47.533
-47.601
-48.214
-49.129
-49.318
-50.185
-50.626
-53.947
-54.214
-54.887
-55.778
-55.898
-57.587
-57.623
-57.635
-57.694
-58.757
-58.821
-58.891
-59.714
-59.833
-61.466
-62.014
-62.385
-63.812
-67.094
-67.569
-69.542
-70.596
-70.752
-72.603
-73.359
-73.884
-75.379
-77.612
-78.251
-80.106

67
191
479
251
88
158
161
163
57
30
64
368
474
99
478
470
311
308
68
414
301
260
413
247
316
39
45
230
224
274
244
421
255
172
49
500
156
184
234
347
53
327
277
482
29

-81.820
-83.159
-85.003
-85.918
-86.283
-87.719
-88.481
-88.760
-90.666
-91.823
-92.394
-97.622
-98.249
-100.866
-100.967
-101.036
-105.745
-106.293
-106.474
-107.548
-109.795
-112.012
-114.209
-114.539
-115.019
-116.723
-117.705
-118.226
-120.033
-121.513
-123.685
-125.085
-125.871
-126.088
-126.351
-126.439
-126.901
-128.307
-131.246
-131.472
-131.985
-132.277
-132.355
-132.539
-133.529

26
443
468
113
130
317
250
426
248
118
310
85
363
129
359
287
385
315
235
176
295
80
97
174
215
196
122
496
214
5
187
16
362
48
86
169
458
19
433
124
409
91
77
15
209

-135.010
-135.912
-136.099
-136.324
-136.973
-138.665
-139.264
-141.872
-142.798
-143.009
-143.922
-144.025
-145.325
-145.734
-146.130
-147.218
-147.761
-148.032
-148.474
-148.633
-151.854
-152.224
-152.630
-152.753
-153.988
-154.796
-155.314
-155.552
-155.791
-155.829
-157.175
-157.680
-158.873
-158.896
-160.369
-165.244
-165.305
-165.739
-165.841
-166.489
-167.324
-168.307
-170.561
-171.588
-172.169

51
432
412
18
239
37
232
210
480
212
397
289
79
33
454
357
54
108
181
270
146
243
373
471
402
6
60
7
314
457
46
190
346
307
189
66
101
344
268
246
219
155
285
138
24

-174.687
-176.016
-177.530
-178.719
-179.639
-179.811
-180.644
-180.980
-183.147
-184.190
-187.310
-187.618
-188.418
-191.084
-192.093
-193.964
-197.748
-199.979
-201.453
-202.717
-208.881
-210.360
-210.858
-211.943
-212.517
-212.953
-214.094
-215.330
-215.724
-218.339
-221.621
-222.645
-223.594
-226.049
-226.429
-230.239
-233.388
-236.142
-236.256
-236.677
-240.786
-244.481
-245.233
-246.706
-247.846

291
44
198
493
384
300
143
145
483
34
40
211
109
353
222
166
372
87
305
252
405
199
326
72
361
258
102
136
288
200
309
236
162
173
61
463
395
147
467
379
263
218
115
489
341

-248.806
-249.271
-250.650
-251.369
-258.548
-259.478
-263.366
-264.036
-264.072
-270.046
-270.543
-275.184
-278.547
-285.216
-286.176
-287.126
-288.865
-289.959
-292.474
-296.078
-296.510
-297.444
-300.253
-302.131
-305.923
-308.509
-323.856
-325.497
-329.542
-334.101
-336.960
-344.112
-346.089
-357.738
-397.839
-401.794
-402.034
-407.276
-420.379
-475.383
-479.057
-495.723
-499.714
-501.855
-502.223

123
377
76
455
94
497

-521.928
-526.922
-531.699
-555.101
-601.780
-674.966

n
n_u
VaR
ES
Likelihood
Scenario
494
339
349
329
487
227
131
238
473
306
477
495
376
237
365
283
378
320
242
322
441
304
292
485
490
249
370
228
336
499
135
437
408
256
459
498

Loss ('000s
477.841
345.435
282.204
277.041
253.385
217.974
202.256
201.389
191.269
191.050
185.127
184.450
182.707
180.105
172.224
172.212
167.104
167.066
166.800
166.517
164.075
160.778
157.597
156.830
156.511
152.982
152.585
151.057
145.721
142.535
139.737
136.984
136.622
133.916
133.875
133.744

160
32.53160827
0.4362464357
500
22
474.0473553794
774.7703279834
-108.21

Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

-8.95
-7.59
-6.68
-6.59
-6.16
-5.38
-4.96
-4.94
-4.64
-4.63
-4.44
-4.42
-4.36
-4.27
-3.98
-3.98
-3.78
-3.78
-3.77
-3.76
-3.66
-3.52
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

366
415
375
298
241
142
429
98
481
488
451
240
141
296
427
469
358
445
21
302
225
334
132
465
371
254
233
194
350
364
472
453
20
461
351
193
175
318
321
335
284
416
389
430
418

131.287
131.030
129.241
128.274
127.921
127.693
125.462
124.431
123.343
123.100
123.044
122.937
122.608
121.032
121.010
120.233
119.183
118.117
118.089
117.995
117.818
117.381
113.971
113.094
112.445
112.423
108.810
106.081
105.652
104.898
103.142
102.165
101.201
100.801
100.481
99.966
99.588
98.373
97.348
96.386
95.038
93.601
93.099
90.567
90.533

37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

444
299
466
435
134
392
294
406
393
486
337
313
221
74
345
331
205
356
127
23
280
185
197
464
423
257
100
111
231
31
110
338
133
223
279
374
324
216
293
442
404
3
450
120
41

88.546
86.964
84.360
82.771
81.942
81.910
81.741
81.163
80.539
79.353
77.735
77.697
76.827
76.727
74.993
74.737
74.376
73.182
70.760
70.545
70.032
69.844
68.743
68.619
66.859
65.949
65.275
64.899
63.471
62.821
60.568
59.426
59.066
58.904
58.066
57.551
56.143
55.459
55.267
54.547
53.869
53.264
52.834
51.672
51.421

82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

56
70
436
399
226
491
343
297
425
290
150
303
424
431
419
12
382
369
475
165
448
63
62
428
47
367
151
93
476
14
330
438
65
312
352
203
192
107
460
390
401
159
380
92
266

51.262
49.799
48.382
48.127
47.245
47.049
46.519
45.306
44.835
44.720
43.489
43.331
42.778
42.707
42.375
42.100
41.649
41.445
40.125
39.965
39.412
38.064
37.967
37.414
36.334
35.691
35.544
34.950
34.435
34.097
32.906
31.034
30.414
30.033
29.714
29.500
29.493
29.048
28.760
28.408
28.133
26.815
26.563
26.368
25.301

127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

447
4
27
286
96
55
167
180
89
84
149
69
59
410
36
117
333
213
332
204
381
383
73
125
492
261
195
207
13
43
144
170
439
208
153
28
11
272
90
434
171
328
182
8
95

25.296
25.139
24.954
24.877
24.711
23.890
23.725
23.406
22.258
22.231
22.214
21.563
21.274
21.249
20.551
18.898
17.867
17.295
17.073
16.814
16.255
16.194
14.873
14.348
13.724
13.678
13.303
12.764
12.223
10.296
10.061
9.862
9.814
9.774
9.561
9.514
8.982
8.087
7.726
6.925
6.660
6.587
6.393
6.063
5.139

172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

168
116
186
360
202
420
396
58
9
278
449
105
114
32
271
276
206
121
201
137
10
103
75
78
17
259
273
52
177
403
220
119
38
452
35
188
81
126
319
128
183
71
50
112
262

5.059
4.294
3.837
3.015
3.005
2.386
1.853
1.782
1.463
0.709
0.449
0.236
-0.336
-0.339
-0.431
-0.600
-1.335
-1.520
-2.070
-3.204
-3.494
-3.924
-4.185
-4.458
-4.640
-5.137
-5.272
-5.441
-5.504
-6.007
-6.036
-6.420
-6.694
-8.146
-8.617
-8.748
-8.882
-9.597
-9.695
-10.061
-10.928
-11.135
-11.624
-12.035
-12.257

217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

391
82
83
179
178
282
139
269
217
265
42
440
1
325
104
67
88
417
106
157
348
148
164
154
281
22
160
57
191
64
25
342
484
323
68
400
229
99
422
394
245
140
398
446
2

-12.620
-13.028
-13.035
-13.134
-13.338
-13.451
-13.572
-13.672
-13.689
-14.006
-14.157
-14.218
-14.334
-15.055
-15.184
-16.652
-16.786
-16.958
-17.083
-17.113
-17.607
-18.339
-18.390
-18.467
-18.918
-19.194
-19.284
-19.353
-19.380
-19.416
-19.511
-20.034
-20.523
-20.764
-21.114
-21.260
-22.879
-24.443
-24.641
-25.010
-25.413
-25.760
-26.258
-26.954
-27.481

262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

253
30
152
85
161
163
264
53
45
340
158
91
49
275
387
97
86
39
113
184
130
224
411
80
118
456
267
129
122
462
172
215
407
214
187
48
77
354
388
51
196
29
79
124
209

-27.537
-27.564
-27.581
-27.999
-28.163
-29.011
-29.037
-29.057
-29.533
-30.009
-30.238
-30.355
-30.355
-30.509
-30.637
-30.666
-30.693
-30.719
-31.480
-31.527
-31.614
-32.265
-32.549
-33.404
-33.783
-33.959
-34.129
-34.153
-34.203
-34.358
-34.640
-35.976
-36.498
-36.876
-37.809
-38.648
-39.161
-39.368
-39.491
-39.991
-40.626
-40.801
-41.554
-41.631
-41.854

307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

60
479
54
251
174
210
176
26
108
212
156
66
230
301
274
169
414
355
277
37
386
470
474
190
234
478
19
16
189
421
181
413
443
426
308
311
33
46
260
316
87
287
18
101
72

-42.254
-42.643
-42.756
-42.876
-43.575
-43.593
-44.189
-44.431
-44.489
-45.074
-45.905
-46.518
-47.127
-47.275
-48.731
-48.762
-48.955
-49.039
-49.126
-49.144
-49.310
-49.351
-50.813
-51.633
-51.636
-51.849
-51.871
-51.930
-52.193
-52.626
-52.638
-53.103
-53.316
-53.926
-53.929
-54.160
-54.388
-54.468
-54.563
-54.649
-54.831
-55.699
-56.358
-56.537
-56.735

352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

15
235
368
247
44
255
219
109
295
327
5
433
317
244
482
211
198
468
432
232
40
458
250
248
315
454
289
222
310
34
61
102
199
24
412
146
409
6
347
7
166
363
155
239
270

-57.041
-57.361
-57.598
-58.088
-61.700
-61.820
-61.839
-61.854
-62.109
-63.098
-63.635
-64.430
-64.507
-65.245
-65.382
-65.823
-66.175
-66.715
-68.949
-69.733
-69.733
-70.121
-70.661
-70.900
-71.381
-71.404
-73.109
-74.574
-74.877
-76.533
-78.697
-79.106
-79.641
-82.828
-83.197
-83.507
-83.889
-85.834
-85.983
-86.960
-87.313
-87.375
-87.388
-88.340
-89.262

397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

480
359
457
200
138
285
291
173
362
471
145
314
143
385
76
94
268
162
397
300
115
402
243
218
123
307
246
357
136
288
373
500
483
496
236
305
326
252
346
405
258
493
344
147
372

-89.561
-89.974
-92.288
-92.302
-92.980
-94.248
-94.436
-96.415
-96.710
-101.134
-103.596
-103.735
-104.577
-104.750
-105.529
-105.620
-106.240
-107.427
-109.591
-109.827
-109.970
-110.394
-110.837
-112.259
-113.432
-114.009
-118.910
-120.306
-121.229
-122.830
-123.893
-126.439
-127.951
-129.781
-131.005
-131.968
-138.656
-144.042
-145.475
-146.293
-149.550
-155.022
-155.540
-162.941
-165.044

442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

309
463
361
384
353
467
455
263
395
489
341
377
379
497

-167.152
-167.882
-179.873
-180.236
-185.883
-188.986
-205.510
-214.909
-224.515
-284.925
-307.930
-316.489
-333.022
-555.795

487
488
489
490
491
492
493
494
495
496
497
498
499
500

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

VaR Confidence
0.999
0.000862

This spreadsheet implements extreme value theory . The value

of u is chosen (see first row). Solver is used to find the
maximum likelihood values of and