Stock A Stock B Stock C stock D

Jan-03 190.95 391 15.35 22.15

Feb-03 180.8 332 13.9 20.55
Mar-03 202.9 381.6 16.85 24.4
Apr-03 205.4 376 17.4 27.15
May-03 213.7 392.85 21.45 32.15
Jun-03 228.35 422 21.05 33.1
Jul-03 280.95 442.5 26.4 36.25
Aug-03 290.2 465 33 45.8
Sep-03 278.5 395 23.5 37.5
Oct-03 250.45 371 19.8 38.5
Nov-03 273.3 405 24.8 37.6
Dec-03 288.55 412.1 28.45 41.2
Jan-04 287.65 404.5 32.7 56.15
Feb-04 293.1 389 31.2 54.05
Mar-04 285.45 388 33.45 59.4
Apr-04 271 372 33.65 68.85
May-04 265.55 368 34.8 70.15
Jun-04 256.75 349.15 32.8 64.7
Jul-04 256 384 30 61.15
Aug-04 256.85 389.85 29.4 59.15
Sep-04 250.3 370.5 26.2 55.7
Oct-04 257.25 395.3 23.05 54.45
Nov-04 268.6 467 25.55 56.65
Dec-04 286.75 515.45 25.9 59.1
Jan-05 310.6 547.5 28 55.8
Feb-05 412.45 560 29.9 76.35
Mar-05 398 501.6 24.5 57.5
Apr-05 368 528.75 23.9 55.25
May-05 359 502 20.25 63
Jun-05 386 553.9 23.15 61.3
Jul-05 373.35 561 21.95 59
Aug-05 390.3 666.5 22.7 64.05
Sep-05 385 600 23.85 64.4
Oct-05 410 615 20.6 62.2
Nov-05 416.5 610 25.95 67.7
Dec-05 416.85 792 26.75 68
 RA RB RC RD Rm

Jan-03
Feb-03 -0.05462017 -0.16357259 -0.09922663 -0.07497656 -0.10580646
Mar-03 0.115321799 0.139237971 0.192461817 0.171722191 0.149007195
Apr-03 0.012246051 -0.0147838 0.032119549 0.106793914 0.009860601
May-03 0.039613865 0.043838716 0.209254439 0.169035404 0.097569007
Jun-03 0.066306377 0.071577454 -0.01882409 0.029120832 0.039686582
Jul-03 0.207297178 0.04743515 0.22646345 0.090906099 0.160398593
Aug-03 0.032393623 0.049596941 0.223143551 0.23384471 0.101711372
Sep-03 -0.04115228 -0.16315164 -0.33950714 -0.19994316 -0.18127035
Oct-03 -0.10615876 -0.0626837 -0.17131848 0.026317308 -0.11338698
Nov-03 0.087310793 0.087685004 0.225161715 -0.02365419 0.133385838
Dec-03 0.054298288 0.017378971 0.137304507 0.091434206 0.069660589
Jan-04 -0.00312392 -0.0186143 0.139226917 0.309588425 0.039162899
Feb-04 0.018769384 -0.03907239 -0.04695698 -0.03811714 -0.02242
Mar-04 -0.02644697 -0.002574 0.069633692 0.094384682 0.013537574
Apr-04 -0.05194806 -0.04211149 0.00596127 0.147635999 -0.02936609
May-04 -0.02031567 -0.01081092 0.033604331 0.018705581 0.000825914
Jun-04 -0.0337003 -0.05258131 -0.05918887 -0.08087461 -0.04849016
Jul-04 -0.0029254 0.095140923 -0.08923113 -0.05643134 0.000994795
Aug-04 0.003314812 0.015119497 -0.02020271 -0.03325327 -0.00058947
Sep-04 -0.02583206 -0.05090861 -0.11523526 -0.06009644 -0.06399198
Oct-04 0.027388176 0.064791526 -0.12809364 -0.0226973 -0.01197131
Nov-04 0.043174909 0.166684287 0.102971547 0.039609138 0.104276915
Dec-04 0.065387472 0.098711048 0.013605652 0.042338937 0.059234724
Jan-05 0.079895155 0.060322156 0.077961541 -0.05745706 0.072726284
Feb-05 0.283609076 0.022574322 0.06565397 0.313554162 0.123945789
Mar-05 -0.03566298 -0.11013379 -0.19918536 -0.28354308 -0.11499405
Apr-05 -0.07836907 0.052712741 -0.02479466 -0.03991661 -0.01681699
May-05 -0.02476055 -0.05191561 -0.16572367 0.131266386 -0.08079994
Jun-05 0.072514981 0.098384045 0.133839987 -0.02735488 0.101579671
Jul-05 -0.03332105 0.01273674 -0.05322764 -0.0382424 -0.02460398
Aug-05 0.044399357 0.172319234 0.033597785 0.082126584 0.083438792
Sep-05 -0.01367234 -0.10511048 0.049419293 0.005449605 -0.02312118
Oct-05 0.062913825 0.024692613 -0.14649314 -0.03475863 -0.0196289
Nov-05 0.015729302 -0.00816331 0.230880534 0.08473118 0.079482175
Dec-05 0.000839983 0.261102435 0.030362864 0.004421525 0.097435094
RA-Rm Rb-Rm Rc-Rm Rd-Rm

0.051186297846 -0.0577661275092 0.006579829663069 0.030829908010728

-0.033685396524 -0.00976922474 0.043454621264038 0.022714995959226
0.002385449363 -0.0246443974844 0.022258948121924 0.0969333127806
-0.057955141908 -0.0537302905068 0.111685432414835 0.071466397564976
0.026619795148 0.03189087225603 -0.058510667403786 -0.010565750458762
0.04689858514 -0.1129634423757 0.066064857236196 -0.069492493870017
-0.06931774889 -0.0521144306424 0.121432179532389 0.132133338037635
0.140118072946 0.01811871334222 -0.158236786287917 -0.018672804115324
0.007228222205 0.05070327947532 -0.057931501680616 0.139704290086381
-0.04607504457 -0.0457008332009 0.091775877770465 -0.157040028597872
-0.015362300731 -0.052281617716 0.067643918447207 0.021773617005436
-0.04228681706 -0.0577772010585 0.100064018118545 0.270425525616648
0.041189381594 -0.0166523956933 -0.024536985900996 -0.015697139912459
-0.039984539459 -0.0161115781475 0.056096117606451 0.080847108131032
-0.022581969076 -0.0127453928954 0.035327361971231 0.177002091260796
-0.021141587536 -0.0116368296289 0.032778417164964 0.017879667849079
0.014789861383 -0.0040911494346 -0.010698711948011 -0.032384445599296
-0.003920199409 0.09414612821614 -0.090225928807488 -0.057426134453219
0.003904278339 0.01570896307319 -0.019613241412212 -0.032663805803478
0.038159917215 0.0130833706714 -0.051243287886718 0.003895532199709
0.039359489437 0.07676283872699 -0.116122328163905 -0.010725984393781
-0.061102005274 0.06240737271683 -0.001305367442375 -0.064667776554385
0.00615274797 0.03947632392362 -0.045629071894094 -0.016895787011835
0.007168870597 -0.0124041279594 0.005235257362018 -0.130183339132481
0.159663286308 -0.1013714672455 -0.058291819062606 0.189608372993333
0.079331065071 0.00486025168243 -0.084191316753044 -0.168549037768421
-0.06155207222 0.06952973593743 -0.007977663717568 -0.023099612509794
0.056039392231 0.02888433124268 -0.084923723473474 0.212066327905113
-0.029064690125 -0.0031956257539 0.032260315878503 -0.128934554550559
-0.008717067813 0.03734072465382 -0.028623656840881 -0.013638414866265
-0.039039435218 0.0888804421737 -0.049841006956191 -0.001312207485344
0.009448837253 -0.0819893072511 0.072540469998463 0.028570781919035
0.08254272659 0.04432151376966 -0.126864240359523 -0.015129732185883
-0.06375287312 -0.0876454856677 0.15139835878778 0.005249005144514
-0.096595110626 0.16366734077143 -0.067072230145519 -0.09301356861776
∑(Ri,t - Rm,t) ∑(Ri,t - Rm,t)2 ∑(Ri,t - Rm,t)2/N-1 CSSDt
√∑(Ri,t - Rm,t)2/N-1

0.030829908010728 0.00095048322795 0.00031682774265 0.017799655689085

0.022714995959226 0.00051597104143 0.000171990347143 0.0131145090317
0.0969333127806 0.00939606712662 0.003132022375541 0.055964474227322
0.071466397564976 0.00510744598092 0.001702481993638 0.041261143872152
-0.010565750458762 0.00011163508276 3.72116942522748E-05 0.006100138871557
-0.069492493870017 0.00482920670427 0.001609735568091 0.040121510042513
0.132133338037635 0.01745921902097 0.005819739673656 0.076287218284952
-0.018672804115324 0.00034867361353 0.000116224537843 0.010780748482508
0.139704290086381 0.01951728866854 0.006505762889513 0.080658309488318
-0.157040028597872 0.02466157058202 0.00822052352734 0.090667102784528
0.021773617005436 0.0004740903975 0.0001580301325 0.01257100363932
0.270425525616648 0.07312996490504 0.024376654968347 0.156130250010518
-0.015697139912459 0.00024640020143 8.21334004771078E-05 0.009062747953966
0.080847108131032 0.00653625489315 0.00217875163105 0.046677099642654
0.177002091260796 0.0313297403107 0.010443246770232 0.102192205036547
0.017879667849079 0.00031968252239 0.000106560840798 0.010322831045687
-0.032384445599296 0.00104875231677 0.000349584105591 0.01869716838431
-0.057426134453219 0.00329776091824 0.001099253639413 0.033154994185085
-0.032663805803478 0.00106692420957 0.000355641403189 0.018858457073396
0.003895532199709 1.5175171119E-05 5.05839037299103E-06 0.002249086564139
-0.010725984393781 0.00011504674122 3.83489137385416E-05 0.006192649977073
-0.064667776554385 0.00418192132449 0.001393973774829 0.037335958201569
-0.016895787011835 0.00028546761875 9.51558729164341E-05 0.009754787179454
-0.130183339132481 0.01694770178768 0.005649233929228 0.075161385892142
0.189608372993333 0.03595133510918 0.011983778369726 0.109470445188308
-0.168549037768421 0.02840877813266 0.009469592710887 0.09731183232725
-0.023099612509794 0.0005335920981 0.000177864032701 0.013336567500706
0.212066327905113 0.04497212743116 0.01499070914372 0.122436551502072
-0.128934554550559 0.01662411935715 0.00554137311905 0.07444039977761
-0.013638414866265 0.00018600636006 6.20021200214498E-05 0.007874142494358
-0.001312207485344 1.7218884846E-06 5.73962828197302E-07 0.000757603344896
0.028570781919035 0.00081628957947 0.000272096526488 0.016495348631913
-0.015129732185883 0.00022890879602 7.63029320055124E-05 0.008735154950286
0.005249005144514 2.7552055007E-05 9.18401833571075E-06 0.003030514533163
-0.09301356861776 0.00865152394701 0.00288384131567 0.053701408879752
∑ |Ri,t - Rm,t| CSADt
1/N∑ |Ri,t - Rm,t|

0.0308299080107 0.007707477002682
0.0227149959592 0.005678748989806
0.0969333127806 0.02423332819515
0.071466397565 0.017866599391244
-0.010565750459 -0.00264143761469
-0.06949249387 -0.017373123467504
0.1321333380376 0.033033334509409
-0.018672804115 -0.004668201028831
0.1397042900864 0.034926072521595
-0.157040028598 -0.039260007149468
0.0217736170054 0.005443404251359
0.2704255256166 0.067606381404162
-0.015697139912 -0.003924284978115
0.080847108131 0.020211777032758
0.1770020912608 0.044250522815199
0.0178796678491 0.00446991696227
-0.032384445599 -0.008096111399824
-0.057426134453 -0.014356533613305
-0.032663805803 -0.00816595145087
0.0038955321997 0.000973883049927
-0.010725984394 -0.002681496098445
-0.064667776554 -0.016166944138596
-0.016895787012 -0.004223946752959
-0.130183339132 -0.03254583478312
0.1896083729933 0.047402093248333
-0.168549037768 -0.042137259442105
-0.02309961251 -0.005774903127448
0.2120663279051 0.053016581976278
-0.128934554551 -0.03223363863764
-0.013638414866 -0.003409603716566
-0.001312207485 -0.000328051871336
0.028570781919 0.007142695479759
-0.015129732186 -0.003782433046471
0.0052490051445 0.001312251286128
-0.093013568618 -0.02325339215444
CSAD Rm Rm2
0.007707477003 0.10580646355963 0.011195007730995
0.00567874899 0.14900719539769 0.022203144280285
0.024233328195 0.00986060130019 9.72314580012719E-05 SUMMARY OUTPUT
0.017866599391 0.09756900673871 0.009519711075978
-0.002641437615 0.03968658215815 0.001575024803396 Regression Statistics
-0.017373123468 0.16039859278768 0.025727708568269 Multiple R
0.033033334509 0.10171137178182 0.01034520314974 R Square
-0.004668201029 0.18127035402845 0.0328589412496 Adjusted R Square
0.034926072522 0.11338698176901 0.012856607634685 Standard Error
-0.039260007149 0.13338583769998 0.017791781698926 Observations
0.005443404251 0.0696605889542 0.004852597653446
0.067606381404 0.03916289921232 0.001533732674715 ANOVA
-0.003924284978 0.02241999718678 0.000502656273855
0.020211777033 0.01353757415235 0.00018326591393 Regression
0.044250522815 0.02936609245473 0.00086236738606 Residual
0.004469916962 0.00082591352473 6.82133150328276E-07 Total
-0.0080961114 0.04849015944232 0.002351295562742
-0.014356533613 0.00099479507954 9.89617250286893E-07
-0.008165951451 0.00058946590531 3.47470053520093E-07 Intercept
0.00097388305 0.06399197569087 0.004094972952821 X Variable 1
-0.002681496098 0.01197131316049 0.000143312338786 X Variable 2
-0.016166944139 0.10427691464943 0.010873674928805
-0.004223946753 0.05923472394987 0.003508752521418
-0.032545834783 0.07272628410769 0.005289112400113
0.047402093248 0.12394578928404 0.015362558681245
-0.042137259442 0.11499404609292 0.01322363063682
-0.005774903127 0.01681699489565 0.00028281131732
0.053016581976 0.08079994191144 0.006528630612892
-0.032233638638 0.10157967110119 0.010318429581026
-0.003409603717 0.02460398417018 0.000605356037047
-0.000328051871 0.08343879192237 0.006962031997464
0.00714269548 0.02312117715147 0.00053458883287
-0.003782433046 0.01962890117929 0.000385293761506
0.001312251286 0.07948217502858 0.006317416147274
-0.023253392154 0.09743509387564 0.009493597518554
Regression Statistics
0.173994021437698
0.030273919496062
-0.030333960535434
0.025847315213964
35

df SS MS F Significance F
2 0.000667421868 0.0003337109 0.4995046763 0.61148416625
32 0.021378678521 0.0006680837
34 0.022046100389

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%Lower 95.0%
0.00424456075696 0.009695375418 0.4377923055 0.6644777559 -0.0155042726 0.023993 -0.015504
0.095687754746283 0.287921105926 0.332340189 0.7417996685 -0.4907883436 0.682164 -0.490788
-1.07695581573973 1.773502473829 -0.6072479918 0.5479714509 -4.6894621233 2.53555 -4.689462
Upper 95.0%
0.023993
0.682164
2.53555
CSSD Rm Du Dl
0.0178 -0.18127 1 0
0.013115 -0.114994 1 0 SUMMARY OUTPUT
0.055964 -0.113387 0 0
0.041261 -0.105806 0 0 Regression Statistics
0.0061 -0.0808 0 0 Multiple R 0.1889962902
0.040122 -0.063992 0 0 R Square 0.0357195977
0.076287 -0.04849 0 0 Adjusted R Square -0.0245479274
0.010781 -0.029366 0 0 Standard Error 0.0414289786
0.080658 -0.024604 0 0 Observations 35
0.090667 -0.023121 0 0
0.012571 -0.02242 0 0 ANOVA
0.15613 -0.019629 0 0 df
0.009063 -0.016817 0 0 Regression 2
0.046677 -0.011971 0 0 Residual 32
0.102192 -0.000589 0 0 Total 34
0.010323 0.000826 0 0
0.018697 0.000995 0 0 Coefficients
0.033155 0.009861 0 0 Intercept 0.0448728812
0.018858 0.013538 0 0 X Variable 1 -0.0294157988
0.002249 0.039163 0 0 X Variable 2 -0.0165069195
0.006193 0.039687 0 0
0.037336 0.059235 0 0
0.009755 0.069661 0 0
0.075161 0.072726 0 0
0.10947 0.079482 0 0
0.097312 0.083439 0 0
0.013337 0.097435 0 0
0.122437 0.097569 0 0
0.07444 0.10158 0 0
0.007874 0.101711 0 0
0.000758 0.104277 0 0
0.016495 0.123946 0 0
0.008735 0.133386 0 0
0.003031 0.149007 0 1
0.053701 0.160399 0 1
 SS MS F Significance F
0.002034518529 0.001017 0.5926839972 0.5587962029
0.054923528591 0.001716
0.056958047121

Standard Error t Stat P-value Lower 95% Upper 95%Lower 95.0%

Upper 95.0%
0.007440864216 6.030601 9.934611E-07 0.02971633682 0.060029 0.029716 0.060029
0.030224933325 -0.97323 0.3377390268 -0.090981973 0.03215 -0.090982 0.03215
0.030224933325 -0.546136 0.5887602769 -0.0780730937 0.045059 -0.078073 0.045059