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If you wish to use some of the formulas

If you wish to use some of the formulas

Mar 13,23

Question:

Background:

If you wish to use some of the formulas – you can copy them from here:

Put-call parity

When :

Option pricing using binomial trees

One-step binomial tree

( is the number of shares)

where

Risk-neutral valuation

Expected option payoff

( is the probability of an up movement and is the probability of a down movement in an asset price);

Expected underlying asset price at time T

Two-step binomial tree

Black-Scholes-Merton formulas

;

where

Here are examples how you can present calculations:

Risk-neutral valuation for a binomial tree

(example: problem 12.4, Tutorial 7)

The term d₁ from the Black-Scholes formula (numbers just as example):

If you wish to use a binomial tree – here is a template – you can insert the values in the text fields in the graph

2214AFE DERIVATIVES
Written Assignment

Answer:

Introduction

S&P ASX 50 Index (1 June 2020)

	S&P/ASX 50 Index (1 June 2020)
	S&P/ASX 50 Index (1 June 2020)	Company	Sector	Market Cap	Weight(%)
1	S&P/ASX 50 Index (1 June 2020)	AGL Energy Ltd	Utilities	10,537,700,000	0.84
2	S&P/ASX 50 Index (1 June 2020)	Amcor Plc	Materials	14,532,200,000	1.16
3	S&P/ASX 50 Index (1 June 2020)	AMP Ltd	Financials	5,756,300,000	0.46
4	S&P/ASX 50 Index (1 June 2020)	APA Group	Utilities	13,592,400,000	1.08
5	S&P/ASX 50 Index (1 June 2020)	Aristocrat Leisure Ltd	Consumer Discretionary	16,908,600,000	1.35
6	S&P/ASX 50 Index (1 June 2020)	ASX Ltd	Financials	17,015,100,000	1.35
7	S&P/ASX 50 Index (1 June 2020)	Aurizon Holdings Ltd	Industrials	9,180,470,000	0.73
8	S&P/ASX 50 Index (1 June 2020)	Australia and New Zealand Banking Group Ltd	Financials	51,193,000,000	4.08
9	S&P/ASX 50 Index (1 June 2020)	BHP Group Ltd	Materials	105,196,000,000	8.37
10	S&P/ASX 50 Index (1 June 2020)	Brambles Ltd	Industrials	17,635,900,000	1.4
11	S&P/ASX 50 Index (1 June 2020)	Caltex Australia Ltd	Energy	6,322,580,000	0.5
12	S&P/ASX 50 Index (1 June 2020)	Cochlear Ltd	Health Care	12,744,000,000	1.01
13	S&P/ASX 50 Index (1 June 2020)	Coles Group Ltd	Consumer Staples	20,649,200,000	1.64
14	S&P/ASX 50 Index (1 June 2020)	Commonwealth Bank of Australia	Financials	113,118,000,000	9
15	S&P/ASX 50 Index (1 June 2020)	Computershare Ltd	Information Technology	7,177,470,000	0.57
16	S&P/ASX 50 Index (1 June 2020)	CSL Ltd	Health Care	129,254,000,000	10.29
17	S&P/ASX 50 Index (1 June 2020)	Dexus	Real Estate	10,017,200,000	0.8
18	S&P/ASX 50 Index (1 June 2020)	Fortescue Metals Group Ltd	Materials	45,537,900,000	3.62
19	S&P/ASX 50 Index (1 June 2020)	Goodman Group	Real Estate	28,139,300,000	2.24
20	S&P/ASX 50 Index (1 June 2020)	GPT Group	Real Estate	7,791,720,000	0.62
21	S&P/ASX 50 Index (1 June 2020)	Insurance Australia Group Ltd	Financials	13,935,600,000	1.11
22	S&P/ASX 50 Index (1 June 2020)	James Hardie Industries Plc	Materials	11,690,200,000	0.93
23	S&P/ASX 50 Index (1 June 2020)	Lendlease Group	Real Estate	8,688,540,000	0.69
24	S&P/ASX 50 Index (1 June 2020)	Macquarie Group Ltd	Financials	39,155,600,000	3.12
25	S&P/ASX 50 Index (1 June 2020)	Medibank Private Ltd	Financials	7,766,290,000	0.62
26	S&P/ASX 50 Index (1 June 2020)	Mirvac Group	Real Estate	9,048,070,000	0.72
27	S&P/ASX 50 Index (1 June 2020)	National Australia Bank Ltd	Financials	57,372,200,000	4.57
28	S&P/ASX 50 Index (1 June 2020)	Newcrest Mining Ltd	Materials	25,395,500,000	2.02
29	S&P/ASX 50 Index (1 June 2020)	Oil Search Ltd	Energy	7,376,370,000	0.59
30	S&P/ASX 50 Index (1 June 2020)	Orica Ltd	Materials	7,041,830,000	0.56
31	S&P/ASX 50 Index (1 June 2020)	Origin Energy Ltd	Energy	10,708,200,000	0.85
32	S&P/ASX 50 Index (1 June 2020)	Qantas Airways Ltd	Industrials	5,978,080,000	0.48
33	S&P/ASX 50 Index (1 June 2020)	QBE Insurance Group Ltd	Financials	12,840,900,000	1.02
34	S&P/ASX 50 Index (1 June 2020)	Ramsay Health Care Ltd	Health Care	15,941,600,000	1.27
35	S&P/ASX 50 Index (1 June 2020)	RIO Tinto Ltd	Materials	36,093,400,000	2.87
36	S&P/ASX 50 Index (1 June 2020)	Santos Ltd	Energy	11,456,900,000	0.91
37	S&P/ASX 50 Index (1 June 2020)	Scentre Group	Real Estate	11,366,900,000	0.9
38	S&P/ASX 50 Index (1 June 2020)	Sonic Healthcare Ltd	Health Care	13,390,600,000	1.07
39	S&P/ASX 50 Index (1 June 2020)	SOUTH32 Ltd	Materials	9,450,220,000	0.75
40	S&P/ASX 50 Index (1 June 2020)	Stockland	Real Estate	8,416,760,000	0.67
41	S&P/ASX 50 Index (1 June 2020)	Suncorp Group Ltd	Financials	11,588,100,000	0.92
42	S&P/ASX 50 Index (1 June 2020)	Sydney Airport	Industrials	13,333,000,000	1.06
43	S&P/ASX 50 Index (1 June 2020)	Telstra Corporation Ltd	Telecommunication Services	38,296,400,000	3.05
44	S&P/ASX 50 Index (1 June 2020)	Transurban Group	Industrials	39,358,100,000	3.13
45	S&P/ASX 50 Index (1 June 2020)	Treasury Wine Estates Ltd	Consumer Staples	7,035,010,000	0.56
46	S&P/ASX 50 Index (1 June 2020)	Vicinity Centres	Real Estate	5,987,320,000	0.48
47	S&P/ASX 50 Index (1 June 2020)	Wesfarmers Ltd	Consumer Discretionary	46,101,900,000	3.67
48	S&P/ASX 50 Index (1 June 2020)	Westpac Banking Corporation	Financials	62,698,800,000	4.99
49	S&P/ASX 50 Index (1 June 2020)	Woodside Petroleum Ltd	Energy	21,883,400,000	1.74
50	S&P/ASX 50 Index (1 June 2020)	Woolworths Group Ltd	Consumer Staples	44,561,800,000	3.55

Total Index Market Cap
1,256,256,630,000

Sector Breakdown
Consumer Discretionary	5.02
Consumer Staples	5.75
Energy	4.6
Financials	31.24
Health Care	13.64
Industrials	6.8
Information Technology	0.57
Materials	20.29
Real Estate	7.12
Telecommunication Services	3.05
Utilities	1.92

My market cap Top 50

	S&P/ASX 50 Index (1 June 2020)
		Code	Company	Sector	Market Cap
	1	AGL	AGL Energy Ltd	Utilities	10,537,700,000
	2	AMC	Amcor Plc	Materials	14,532,200,000
	3	AMP	AMP Ltd	Financials	5,756,300,000
	4	APA	APA Group	Utilities	13,592,400,000
	5	ALL	Aristocrat Leisure Ltd	Consumer Discretionary	16,908,600,000
	6	ASX	ASX Ltd	Financials	17,015,100,000
	7	AZJ	Aurizon Holdings Ltd	Industrials	9,180,470,000
	8	ANZ	Australia and New Zealand Banking Group Ltd	Financials	51,193,000,000
	9	BHP	BHP Group Ltd	Materials	105,196,000,000
	10	BXB	Brambles Ltd	Industrials	17,635,900,000
	11	CTX	Caltex Australia Ltd	Energy	6,322,580,000
	12	COH	Cochlear Ltd	Health Care	12,744,000,000
Company B:	13	COL	Coles Group Ltd	Consumer Staples	20,649,200,000
	14	CBA	Commonwealth Bank of Australia	Financials	113,118,000,000
	15	CPU	Computershare Ltd	Information Technology	7,177,470,000
	16	CSL	CSL Ltd	Health Care	129,254,000,000
	17	DXS	Dexus	Real Estate	10,017,200,000
	18	FMG	Fortescue Metals Group Ltd	Materials	45,537,900,000
	19	GMG	Goodman Group	Real Estate	28,139,300,000
	20	GPT	GPT Group	Real Estate	7,791,720,000
	21	IAG	Insurance Australia Group Ltd	Financials	13,935,600,000
	22	JHX	James Hardie Industries Plc	Materials	11,690,200,000
	23	LLC	Lendlease Group	Real Estate	8,688,540,000
	24	MQG	Macquarie Group Ltd	Financials	39,155,600,000
	25	MPL	Medibank Private Ltd	Financials	7,766,290,000
	26	MGR	Mirvac Group	Real Estate	9,048,070,000
Company A:	27	NAB	National Australia Bank Ltd	Financials	57,372,200,000
	28	NCM	Newcrest Mining Ltd	Materials	25,395,500,000
	29	OSH	Oil Search Ltd	Energy	7,376,370,000
	30	ORI	Orica Ltd	Materials	7,041,830,000
	31	ORG	Origin Energy Ltd	Energy	10,708,200,000
	32	QAN	Qantas Airways Ltd	Industrials	5,978,080,000
	33	QBE	QBE Insurance Group Ltd	Financials	12,840,900,000
	34	RHC	Ramsay Health Care Ltd	Health Care	15,941,600,000
	35	RIO	RIO Tinto Ltd	Materials	36,093,400,000
	36	STO	Santos Ltd	Energy	11,456,900,000
	37	SCG	Scentre Group	Real Estate	11,366,900,000
	38	SHL	Sonic Healthcare Ltd	Health Care	13,390,600,000
	39	S32	SOUTH32 Ltd	Materials	9,450,220,000
	40	SGP	Stockland	Real Estate	8,416,760,000
	41	SUN	Suncorp Group Ltd	Financials	11,588,100,000
	42	SYD	Sydney Airport	Industrials	13,333,000,000
	43	TLS	Telstra Corporation Ltd	Telecommunication Services	38,296,400,000
	44	TCL	Transurban Group	Industrials	39,358,100,000
	45	TWE	Treasury Wine Estates Ltd	Consumer Staples	7,035,010,000
	46	VCX	Vicinity Centres	Real Estate	5,987,320,000
	47	WES	Wesfarmers Ltd	Consumer Discretionary	46,101,900,000
	48	WBC	Westpac Banking Corporation	Financials	62,698,800,000
	49	WPL	Woodside Petroleum Ltd	Energy	21,883,400,000
	50	WOW	Woolworths Group Ltd	Consumer Staples	44,561,800,000

Image

Student ID	5050494
Company A	Sum of all digits	27
Company B	Sum of last 2 digits	13

Company A	NAB
Company B	COH

NAB

Security	NAB AU Equity
Start Date	9/23/2018		9/23/2018
End Date	23//09/2020
Period	D
Currency	AUD
Date	Adj Close	Volume
7/2/2018	24.327436	3488150
7/3/2018	24.620325	4562356
7/4/2018	24.300812	5057846
7/5/2018	24.425068	4564925
7/6/2018	24.815582	4654806
7/9/2018	24.868835	3213763
7/10/2018	24.726831	3970268
7/11/2018	24.540447	5050004
7/12/2018	24.984219	6441355
7/13/2018	24.886589	4348857
7/16/2018	24.709078	4224779
7/17/2018	24.762331	3771362
7/18/2018	24.806709	2547485
7/19/2018	24.95759	3519390
7/20/2018	25.117348	3366732
7/23/2018	24.984219	3906887
7/24/2018	25.028595	2441060
7/25/2018	24.966465	5460579
7/26/2018	24.966465	4143997
7/27/2018	25.206102	6036679
7/30/2018	25.126223	2263500
7/31/2018	25.143974	4854505
8/1/2018	24.833334	4621183
8/2/2018	24.682455	3972051
8/3/2018	24.53157	4933908
8/6/2018	24.61145	3026168
8/7/2018	24.673578	4281911
8/8/2018	24.61145	4991857
8/9/2018	24.859962	4585966
8/10/2018	24.930965	3475806
8/13/2018	24.797832	2874358
8/14/2018	25.170601	7297405
8/15/2018	25.410234	4298900
8/16/2018	25.561115	6078610
8/17/2018	25.605494	3816620
8/20/2018	25.534491	4037447
8/21/2018	25.232727	4514874
8/22/2018	24.966465	4905265
8/23/2018	24.549324	7365595
8/24/2018	24.504948	7711653
8/27/2018	24.567074	3199314
8/28/2018	24.833334	4059678
8/29/2018	25.277105	6842381
8/30/2018	25.117348	4993654
8/31/2018	25.179474	7035499
9/3/2018	25.206102	2349591
9/4/2018	25.046343	3251981
9/5/2018	24.877712	3299343
9/6/2018	24.806709	4651981
9/7/2018	24.735708	4006688
9/10/2018	24.575949	3175673
9/11/2018	24.646954	4410599
9/12/2018	24.496071	5833274
9/13/2018	24.229807	5857042
9/14/2018	24.274185	3772710
9/17/2018	24.460569	4044704
9/18/2018	24.513821	4904407
9/19/2018	24.691328	5194129
9/20/2018	24.629202	7291826
9/21/2018	24.549324	7566262
9/24/2018	24.602575	3395908
9/25/2018	24.496071	2588646
9/26/2018	24.36294	4220246
9/27/2018	24.256435	3936123
9/28/2018	24.682455	11999942
10/1/2018	24.496071	3732462
10/2/2018	24.318563	4679211
10/3/2018	24.141056	5109098
10/4/2018	24.185431	5047783
10/5/2018	24.149929	4376315
10/8/2018	23.848167	4938217
10/9/2018	23.617409	5420756
10/10/2018	23.679533	5163065
10/11/2018	23.07601	7662776
10/12/2018	22.996128	7913286
10/15/2018	22.632238	4910984
10/16/2018	22.756495	4574419
10/17/2018	22.774244	5822847
10/18/2018	22.845251	5315817
10/19/2018	22.783121	6836805
10/22/2018	22.614487	4129306
10/23/2018	22.339352	5813556
10/24/2018	22.330475	5067999
10/25/2018	21.771328	7921252
10/26/2018	21.922209	9650787
10/29/2018	22.152967	4161685
10/30/2018	22.2861	5896503
10/31/2018	22.374853	9135583
11/1/2018	22.499109	8598688
11/2/2018	22.374853	7238047
11/5/2018	22.534609	6027369
11/6/2018	22.774244	5766864
11/7/2018	22.960629	9187636
11/8/2018	23.006773	10066522
11/9/2018	22.979084	6912170
11/12/2018	22.960627	5311406
11/13/2018	22.609943	9486307
11/14/2018	22.083916	12616987
11/15/2018	22.037771	8587357
11/16/2018	21.936258	8424678
11/19/2018	21.760918	6149747
11/20/2018	22.047001	10819651
11/21/2018	22.157743	8489399
11/22/2018	22.360773	6104740
11/23/2018	22.591486	4468681
11/26/2018	22.711458	8400650
11/27/2018	22.969856	7602433
11/28/2018	22.988314	10770911
11/29/2018	22.988314	6374022
11/30/2018	22.739143	10540965
12/3/2018	22.711458	4853857
12/4/2018	22.499201	5796635
12/5/2018	22.314631	5849924
12/6/2018	22.093143	7531081
12/7/2018	22.148518	4514043
12/10/2018	21.585575	6676575
12/11/2018	21.67786	4663558
12/12/2018	22.047001	5728057
12/13/2018	22.240801	10220574
12/14/2018	21.862432	9186012
12/17/2018	21.733231	6401119
12/18/2018	21.345633	7187480
12/19/2018	21.520975	6797466
12/20/2018	21.308718	11794326
12/21/2018	21.078005	15802659
12/24/2018	21.142605	2798181
12/27/2018	21.539433	5162522
12/28/2018	22.111601	6014388
12/31/2018	22.213116	3668835
1/2/2019	21.807058	4539192
1/3/2019	22.083916	4823103
1/4/2019	22.13006	4994944
1/7/2019	22.351543	4456177
1/8/2019	22.554573	4536724
1/9/2019	22.674543	4479058
1/10/2019	22.70223	3482872
1/11/2019	22.656086	3745343
1/14/2019	22.766829	3137969
1/15/2019	22.812971	3207471
1/16/2019	22.886799	3558367
1/17/2019	22.896027	3497285
1/18/2019	22.969856	2779984
1/21/2019	22.988314	2780088
1/22/2019	22.693001	3826652
1/23/2019	22.619173	3970500
1/24/2019	22.683771	5272946
1/25/2019	22.831427	7829037
1/29/2019	22.388458	5213432
1/30/2019	22.37923	4543196
1/31/2019	22.019318	10682769
2/1/2019	21.954718	10123594
2/4/2019	22.176203	6853172
2/5/2019	23.043684	12617565
2/6/2019	22.720688	7656107
2/7/2019	23.006773	3623689
2/8/2019	22.840656	11370041
2/11/2019	22.471516	8093908
2/12/2019	22.342314	8014179
2/13/2019	22.50843	6288738
2/14/2019	22.360773	5180753
2/15/2019	22.351543	5525980
2/18/2019	22.351543	4675798
2/19/2019	22.720688	5635917
2/20/2019	22.646858	4779848
2/21/2019	22.803743	7308635
2/22/2019	22.785286	9427494
2/25/2019	22.812971	4584481
2/26/2019	22.70223	5530034
2/27/2019	22.896027	6168548
2/28/2019	23.191341	6590561
3/1/2019	23.200569	6214238
3/4/2019	23.246716	5539145
3/5/2019	23.320543	4206019
3/6/2019	23.495884	8571490
3/7/2019	23.689684	7859158
3/8/2019	23.422054	6422119
3/11/2019	23.412828	3965698
3/12/2019	23.302086	5586816
3/13/2019	23.200569	7408463
3/14/2019	23.135971	6060859
3/15/2019	23.265169	11777833
3/18/2019	23.182114	6204142
3/19/2019	23.034454	7276375
3/20/2019	23.135971	5404839
3/21/2019	23.034454	8912088
3/22/2019	23.154428	3390610
3/25/2019	22.951401	4554693
3/26/2019	22.997543	4808506
3/27/2019	23.108286	5217353
3/28/2019	23.172886	5023409
3/29/2019	23.320543	8377162
4/1/2019	23.394371	4105827
4/2/2019	23.449741	8132068
4/3/2019	23.394371	5261700
4/4/2019	23.228256	4418984
4/5/2019	22.896027	7995479
4/8/2019	22.794516	7640156
4/9/2019	22.693001	4566891
4/10/2019	22.729914	3901809
4/11/2019	22.554573	5018625
4/12/2019	22.785286	5936716
4/15/2019	22.914486	4258529
4/16/2019	23.080599	4626017
4/17/2019	23.292856	5372340
4/18/2019	23.320543	6046349
4/23/2019	23.403599	6744790
4/24/2019	23.680456	12829315
4/26/2019	23.689684	5367096
4/29/2019	23.477427	7132484
4/30/2019	23.394371	5846171
5/1/2019	23.791199	6369349
5/2/2019	23.717369	7262207
5/3/2019	23.689684	5746265
5/6/2019	23.920397	10414499
5/7/2019	23.846569	7088048
5/8/2019	23.828112	4600769
5/9/2019	23.911167	9159479
5/10/2019	23.938856	6273868
5/13/2019	23.468199	10106298
5/14/2019	23.124762	9083820
5/15/2019	23.162922	5925738
5/16/2019	23.086603	8967830
5/17/2019	22.819485	10364997
5/20/2019	24.622528	26429702
5/21/2019	24.994587	13129419
5/22/2019	24.946884	8447309
5/23/2019	24.59391	7662903
5/24/2019	24.622528	6231581
5/27/2019	24.641607	6405794
5/28/2019	24.937346	13566504
5/29/2019	25.185385	8911710
5/30/2019	25.280783	8590685
5/31/2019	25.271242	11430775
6/3/2019	25.118605	7416056
6/4/2019	25.214003	6929907
6/5/2019	25.414341	8188698
6/6/2019	25.519279	7105108
6/7/2019	25.662378	8274503
6/11/2019	25.967655	9812206
6/12/2019	25.767321	7267636
6/13/2019	25.75778	5765789
6/14/2019	25.5002	8891612
6/17/2019	25.433422	5280042
6/18/2019	25.490662	8892042
6/19/2019	25.5956	7581801
6/20/2019	25.719618	9391372
6/21/2019	25.614681	7679260
6/24/2019	25.700541	4278652
6/25/2019	25.614681	6859609
6/26/2019	25.471582	5703652
6/27/2019	25.519279	3852092
6/28/2019	25.490662	10014355
7/1/2019	25.56698	4090810
7/2/2019	25.271242	8138117
7/3/2019	25.395262	6689327
7/4/2019	25.652838	6052219
7/5/2019	25.729158	4394756
7/8/2019	25.519279	3131425
7/9/2019	25.452501	5323509
7/10/2019	25.624222	6153938
7/11/2019	25.872259	10857022
7/12/2019	25.919958	5306882
7/15/2019	25.786398	4090208
7/16/2019	25.605141	5423865
7/17/2019	25.700541	3474728
7/18/2019	25.681459	3461127
7/19/2019	26.244314	10615926
7/22/2019	26.292013	5328995
7/23/2019	26.578213	5849903
7/24/2019	27.026588	7468099
7/25/2019	27.293707	6905293
7/26/2019	27.179226	9299006
7/29/2019	27.265085	5195197
7/30/2019	27.331865	5343065
7/31/2019	27.198307	10838213
8/1/2019	27.322325	4422055
8/2/2019	27.198307	6597337
8/5/2019	26.873949	1933783
8/6/2019	26.244314	7542081
8/7/2019	26.416033	5768770
8/8/2019	26.454193	5065123
8/9/2019	26.377872	4380961
8/12/2019	26.473272	3173935
8/13/2019	26.387413	4425115
8/14/2019	26.377872	5336634
8/15/2019	25.56698	9352931
8/16/2019	25.786398	6027707
8/19/2019	25.967655	3955948
8/20/2019	26.082136	3597938
8/21/2019	25.900877	3718476
8/22/2019	26.129835	4039003
8/23/2019	26.082136	5731301
8/26/2019	25.815018	5366199
8/27/2019	26.043976	6248120
8/28/2019	25.700541	13113998
8/29/2019	25.843637	4911976
8/30/2019	26.101215	9932943
9/2/2019	26.072596	3156056
9/3/2019	26.072596	2555098
9/4/2019	26.063057	5858304
9/5/2019	26.244314	5053288
9/6/2019	26.473272	3994262
9/9/2019	26.740391	6827585
9/10/2019	27.169687	8239829
9/11/2019	27.465425	5948881
9/12/2019	27.637142	6208651
9/13/2019	27.818399	6042784
9/16/2019	27.789782	5552874
9/17/2019	27.951958	8419723
9/18/2019	27.808861	7005373
9/19/2019	27.971039	9874336
9/20/2019	28.419416	22778116
9/23/2019	28.362177	5891083
9/24/2019	28.543434	6114694
9/25/2019	28.543434	5403623
9/26/2019	28.495737	6729683
9/27/2019	28.457575	10093502
9/30/2019	28.333557	4564170
10/1/2019	28.333557	6163758
10/2/2019	27.684843	10651302
10/3/2019	26.711771	10849965
10/4/2019	26.568672	8008652
10/7/2019	26.635452	2336312
10/8/2019	26.797628	3890119
10/9/2019	26.769011	4601339
10/10/2019	26.73085	4523619
10/11/2019	26.902571	3563605
10/14/2019	27.055208	3343172
10/15/2019	27.141068	2975524
10/16/2019	27.551283	5543783
10/17/2019	27.532204	5912359
10/18/2019	27.436804	4321366
10/21/2019	27.532204	2096096
10/22/2019	27.675303	3330289
10/23/2019	27.541744	4863837
10/24/2019	27.675303	3357728
10/25/2019	27.837481	6279623
10/28/2019	27.808861	2376494
10/29/2019	27.770702	3395405
10/30/2019	27.598984	4865066
10/31/2019	27.293707	7086105
11/1/2019	27.102907	6945236
11/4/2019	26.416033	13345996
11/5/2019	26.578213	8452449
11/6/2019	26.520971	7966490
11/7/2019	27.112446	14787861
11/8/2019	27.160147	8382721
11/11/2019	27.541744	9764708
11/12/2019	27.742083	9867936
11/13/2019	27.465425	11001009
11/14/2019	27.308254	13371938
11/15/2019	27.151085	7773715
11/18/2019	26.826921	7310782
11/19/2019	26.777807	7273241
11/20/2019	25.942841	10431984
11/21/2019	25.864256	9455775
11/22/2019	25.815142	7796038
11/25/2019	25.618679	7178940
11/26/2019	25.687441	13667207
11/27/2019	25.716909	6960980
11/28/2019	25.716909	5207567
11/29/2019	25.432039	8746690
12/2/2019	25.441862	13640986
12/3/2019	24.980177	9518496
12/4/2019	24.459551	10164741
12/5/2019	24.960529	9758604
12/6/2019	24.960529	6046515
12/9/2019	24.950706	6571347
12/10/2019	24.587254	6369349
12/11/2019	24.656013	5182721
12/12/2019	24.36132	16799595
12/13/2019	24.70513	5232687
12/16/2019	25.068584	5638687
12/17/2019	25.019468	4596575
12/18/2019	24.852476	7650853
12/19/2019	24.577429	9388150
12/20/2019	24.449728	11637884
12/23/2019	24.410437	3230999
12/24/2019	24.420259	2178808
12/27/2019	24.489021	2757244
12/30/2019	24.449728	2651840
12/31/2019	24.194326	5463481
1/2/2020	24.135389	3066508
1/3/2020	24.282734	3142425
1/6/2020	24.115742	4824722
1/7/2020	24.459551	5215076
1/8/2020	24.380966	4203931
1/9/2020	24.390789	4609917
1/10/2020	24.489021	4657091
1/13/2020	24.489021	3921740
1/14/2020	24.61672	4694962
1/15/2020	24.724775	5010202
1/16/2020	24.911415	5372339
1/17/2020	25.009645	3924514
1/20/2020	25.156994	6393754
1/21/2020	25.245401	4330131
1/22/2020	25.255222	5205110
1/23/2020	25.235579	5586436
1/24/2020	25.343632	4791959
1/28/2020	25.156994	4947416
1/29/2020	25.343632	6197933
1/30/2020	25.422216	4823363
1/31/2020	25.402571	6218849
2/3/2020	25.048939	6280742
2/4/2020	25.147169	4363787
2/5/2020	25.156994	4453302
2/6/2020	25.49098	7663277
2/7/2020	25.46151	5270062
2/10/2020	25.323986	4591595
2/11/2020	25.441862	3912594
2/12/2020	25.667793	7174545
2/13/2020	26.021427	12490645
2/14/2020	26.866215	13401934
2/17/2020	26.797453	6045773
2/18/2020	26.797453	6047457
2/19/2020	26.826921	6989261
2/20/2020	26.915329	8429124
2/21/2020	26.925154	5260282
2/24/2020	26.630461	6619522
2/25/2020	26.325943	9370907
2/26/2020	25.775848	7928426
2/27/2020	25.432039	9360018
2/28/2020	24.656013	13501362
3/2/2020	24.037157	13426286
3/3/2020	23.703171	9880316
3/4/2020	22.828915	12771237
3/5/2020	22.878031	11456572
3/6/2020	21.610849	15211163
3/9/2020	19.783749	16800288
3/10/2020	20.726768	20994204
3/11/2020	19.430119	18606395
3/12/2020	17.809303	25387943
3/13/2020	18.084351	41620410
3/16/2020	15.834859	23595738
3/17/2020	16.905577	24097476
3/18/2020	15.726805	22237359
3/19/2020	14.312276	35068715
3/20/2020	15.382995	26892815
3/23/2020	13.634481	23136879
3/24/2020	14.145283	16978521
3/25/2020	15.510695	16650073
3/26/2020	15.854504	15849821
3/27/2020	14.852547	19979145
3/30/2020	16.021498	13189000
3/31/2020	16.384953	18586662
4/1/2020	16.650177	13302444
4/2/2020	15.716981	15427508
4/3/2020	15.343702	11407279
4/6/2020	16.178667	11059662
4/7/2020	15.844681	12947890
4/8/2020	15.078479	17966642
4/9/2020	15.795566	11420512
4/14/2020	16.247431	12186690
4/15/2020	16.345659	8822786
4/16/2020	15.992029	11311354
4/17/2020	16.100082	8207069
4/20/2020	15.716981	10284797
4/21/2020	15.363349	8271527
4/22/2020	15.61875	9671135
4/23/2020	15.441934	8362748
4/24/2020	15.481227	8364133
4/27/2020	15.481227	0
4/28/2020	15.049009	34307122
4/29/2020	16.001852	19776370
4/30/2020	16.659998	31298821
5/1/2020	16.139999	39879423
5/4/2020	16.459999	18882759
5/5/2020	16.99	28753496
5/6/2020	16.59	13486052
5/7/2020	16.219999	11916668
5/8/2020	16.08	12719481
5/11/2020	15.98	11836955
5/12/2020	15.52	14243074
5/13/2020	15.64	10801864
5/14/2020	15.24	7961968
5/15/2020	15.46	10712380
5/18/2020	15.17	9706201
5/19/2020	15.49	15110150
5/20/2020	15.6	7436022
5/21/2020	15.52	6775973
5/22/2020	15.34	7100172
5/25/2020	15.75	6624978
5/26/2020	16.639999	13197918
5/27/2020	17.940001	29828792
5/28/2020	18.790001	20079658
5/29/2020	17.809999	20239238
6/1/2020	17.950001	10661631
6/2/2020	17.879999	9508725
6/3/2020	18.700001	12538914
6/4/2020	18.92	16458183
6/5/2020	19.48	14412375
6/9/2020	20.469999	16413161
6/10/2020	20.16	12690785
6/11/2020	19.07	17657667
6/12/2020	18.59	14003822
6/15/2020	18.1	12299529
6/16/2020	18.85	16378823
6/17/2020	18.959999	16244275
6/18/2020	18.780001	16738492
6/19/2020	18.67	21314802
6/22/2020	18.77	7009719

COH

Security	COH AU Equity
Start Date	9/23/2018
End Date	23//09/2020
Period	D
Currency	AUD
Date	PX_LAST	PX_VOLUME
9/24/2018	196.149933	118342
9/25/2018	197.843231	100526
9/26/2018	196.159668	82597
9/27/2018	195.215698	120231
9/28/2018	195.254623	116012
10/1/2018	195.702271	101717
10/2/2018	194.738861	161285
10/3/2018	197.317703	107366
10/4/2018	198.310349	177613
10/5/2018	198.68988	99922
10/8/2018	196.947922	60858
10/9/2018	186.729752	457246
10/10/2018	192.802261	246201
10/11/2018	181.562286	332879
10/12/2018	181.484436	232244
10/15/2018	180.530716	188686
10/16/2018	180.861618	144108
10/17/2018	187.089813	154276
10/18/2018	183.459946	189003
10/19/2018	178.613602	217781
10/22/2018	175.022659	286549
10/23/2018	168.580338	422092
10/24/2018	173.650497	283218
10/25/2018	168.590073	242123
10/26/2018	168.901489	197669
10/29/2018	168.677658	145366
10/30/2018	170.302826	172860
10/31/2018	172.813583	206584
11/1/2018	174.565262	191716
11/2/2018	174.740433	195425
11/5/2018	168.09375	249646
11/6/2018	167.130325	123415
11/7/2018	166.692398	252527
11/8/2018	168.375977	133092
11/9/2018	171.402496	166381
11/12/2018	170.740753	158921
11/13/2018	163.510178	205483
11/14/2018	155.90007	349541
11/15/2018	156.95108	281148
11/16/2018	156.318527	227063
11/19/2018	151.841995	237652
11/20/2018	154.479263	453379
11/21/2018	158.294052	322654
11/22/2018	162.799759	252277
11/23/2018	162.936005	274091
11/26/2018	162.352127	195858
11/27/2018	164.648773	169609
11/28/2018	163.909149	192270
11/29/2018	168.06456	257036
11/30/2018	164.736359	470456
12/3/2018	168.356506	167691
12/4/2018	165.398102	152137
12/5/2018	166.12796	137140
12/6/2018	164.804489	136625
12/7/2018	169.718933	258772
12/10/2018	161.281631	200080
12/11/2018	165.90416	156856
12/12/2018	165.865219	177197
12/13/2018	167.276306	99856
12/14/2018	165.952805	112092
12/17/2018	170.516922	153251
12/18/2018	167.753159	174909
12/19/2018	165.981995	158681
12/20/2018	165.174271	186246
12/21/2018	161.573593	275815
12/24/2018	162.897079	79840
12/27/2018	168.882004	139304
12/28/2018	170.302826	224354
12/31/2018	168.911209	101290
1/2/2019	170.205505	200503
1/3/2019	173.027679	140895
1/4/2019	170.672638	139413
1/7/2019	171.266251	92650
1/8/2019	173.222305	128963
1/9/2019	178.34111	144251
1/10/2019	179.713272	123729
1/11/2019	179.129379	123667
1/14/2019	179.722992	66114
1/15/2019	180.803192	103007
1/16/2019	181.44548	84337
1/17/2019	182.525711	119365
1/18/2019	184.111954	91507
1/21/2019	183.732422	79835
1/22/2019	184.676392	115473
1/23/2019	187.887802	138880
1/24/2019	190.398544	158339
1/25/2019	190.661316	169878
1/29/2019	186.642151	196772
1/30/2019	186.622711	159102
1/31/2019	188.228409	192033
2/1/2019	189.045868	128723
2/4/2019	190.748886	94098
2/5/2019	189.250244	145779
2/6/2019	192.588165	150066
2/7/2019	192.237823	170359
2/8/2019	193.512665	99529
2/11/2019	192.412994	107713
2/12/2019	193.035828	110071
2/13/2019	189.084793	213010
2/14/2019	191.712326	180148
2/15/2019	192.179443	155967
2/18/2019	189.191849	143747
2/19/2019	173.786728	381229
2/20/2019	168.794418	487198
2/21/2019	165.728973	408517
2/22/2019	166.624283	304106
2/25/2019	167.840729	188012
2/26/2019	166.06958	178316
2/27/2019	165.125626	213941
2/28/2019	165.923615	620569
3/1/2019	168.278656	378394
3/4/2019	169.183701	208481
3/5/2019	168.843079	386041
3/6/2019	173.300156	391090
3/7/2019	172.385391	251955
3/8/2019	172.657867	205614
3/11/2019	171.782043	106138
3/12/2019	172.764908	140289
3/13/2019	173.494797	374290
3/14/2019	175.149155	112917
3/15/2019	176.219635	202186
3/18/2019	177.776688	99363
3/19/2019	174.623657	144317
3/20/2019	172.852509	197918
3/21/2019	171.947464	417595
3/22/2019	174.088425	138699
3/25/2019	174.677429	183363
3/26/2019	172.684647	859465
3/27/2019	171.388824	308831
3/28/2019	169.386246	271939
3/29/2019	170.102859	168785
4/1/2019	170.947083	215020
4/2/2019	172.301804	219163
4/3/2019	173.646667	171702
4/4/2019	170.034149	138173
4/5/2019	166.421616	169226
4/8/2019	168.03154	152599
4/9/2019	169.435333	207714
4/10/2019	167.894104	232803
4/11/2019	165.763901	162679
4/12/2019	162.072845	504037
4/15/2019	164.517181	244375
4/16/2019	177.445709	447149
4/17/2019	176.208817	312902
4/18/2019	172.527573	289410
4/23/2019	172.772995	212803
4/24/2019	176.797821	281629
4/26/2019	178.564804	205141
4/29/2019	179.644638	114246
4/30/2019	183.895248	268051
5/1/2019	185.976379	187824
5/2/2019	187.812103	173451
5/3/2019	187.497955	192464
5/6/2019	187.497955	140206
5/7/2019	187.497955	247735
5/8/2019	188.499252	134712
5/9/2019	190.168091	208101
5/10/2019	192.425919	186550
5/13/2019	189.795044	188402
5/14/2019	189.480911	174089
5/15/2019	192.317932	116667
5/16/2019	192.651703	123614
5/17/2019	197.294968	139562
5/20/2019	195.066605	150472
5/21/2019	195.606506	194147
5/22/2019	195.635956	161917
5/23/2019	198.404251	161096
5/24/2019	196.440933	181708
5/27/2019	193.898407	131673
5/28/2019	194.909531	439676
5/29/2019	194.821182	122690
5/30/2019	193.093445	139047
5/31/2019	196.460556	157525
6/3/2019	194.762268	113077
6/4/2019	190.82579	173302
6/5/2019	193.103271	109445
6/6/2019	195.999176	147574
6/7/2019	196.715775	193379
6/11/2019	202.605774	312442
6/12/2019	198.031219	194533
6/13/2019	199.28775	294591
6/14/2019	200.485382	177618
6/17/2019	198.129379	181507
6/18/2019	200.220337	254719
6/19/2019	203.155502	215788
6/20/2019	205.030487	238935
6/21/2019	200.563919	277009
6/24/2019	201.476868	128633
6/25/2019	202.880646	147233
6/26/2019	204.451309	173552
6/27/2019	202.664673	120842
6/28/2019	203.047531	123201
7/1/2019	205.992508	116449
7/2/2019	208.103104	187408
7/3/2019	211.489853	170656
7/4/2019	211.254242	132759
7/5/2019	214.179581	92373
7/8/2019	209.555969	157192
7/9/2019	211.00882	126988
7/10/2019	218.096451	204823
7/11/2019	217.055878	192671
7/12/2019	217.487823	132587
7/15/2019	216.339264	104052
7/16/2019	217.222763	95013
7/17/2019	215.848434	115061
7/18/2019	217.674332	206282
7/19/2019	215.09256	135576
7/22/2019	212.471512	127904
7/23/2019	215.328156	149668
7/24/2019	217.222763	155996
7/25/2019	220.540787	175115
7/26/2019	217.968811	123044
7/29/2019	219.853622	134414
7/30/2019	221.002182	73600
7/31/2019	216.309814	344586
8/1/2019	216.093857	139495
8/2/2019	219.097748	138793
8/5/2019	213.894913	71815
8/6/2019	206.080856	171266
8/7/2019	208.338684	157152
8/8/2019	206.53244	163813
8/9/2019	206.395004	80462
8/12/2019	206.571686	127460
8/13/2019	199.641144	326380
8/14/2019	199.641144	288715
8/15/2019	197.825073	509873
8/16/2019	205.590027	650957
8/19/2019	213.796753	215256
8/20/2019	215.180893	274194
8/21/2019	211.411301	186100
8/22/2019	212.461685	129848
8/23/2019	211.931595	118979
8/26/2019	204.873413	153934
8/27/2019	207.209793	185525
8/28/2019	209.673767	148214
8/29/2019	209.339996	206327
8/30/2019	214.002899	155411
9/2/2019	211.853043	95857
9/3/2019	214.807861	98007
9/4/2019	211.961044	221355
9/5/2019	208.957153	150204
9/6/2019	212.029755	137793
9/9/2019	210.017334	124318
9/10/2019	204.677094	260027
9/11/2019	202.21312	191831
9/12/2019	203.646332	210643
9/13/2019	207.798767	228557
9/16/2019	203.63652	212437
9/17/2019	205.462433	211008
9/18/2019	204.942139	223731
9/19/2019	206.803268	300715
9/20/2019	206.070694	228527
9/23/2019	205.100525	140694
9/24/2019	207.97142	133832
9/25/2019	206.357788	159849
9/26/2019	202.744431	148785
9/27/2019	205.28862	201535
9/30/2019	206.060791	162769
10/1/2019	211.357101	166719
10/2/2019	205.862808	159893
10/3/2019	203.298798	230892
10/4/2019	204.754044	143167
10/7/2019	205.635117	64475
10/8/2019	207.159653	117972
10/9/2019	205.367813	102663
10/10/2019	203.684891	130612
10/11/2019	205.080734	124742
10/14/2019	206.427094	95795
10/15/2019	209.426682	142178
10/16/2019	211.654099	145457
10/17/2019	207.03096	192145
10/18/2019	206.674576	159576
10/21/2019	212.099579	206281
10/22/2019	200.388306	300847
10/23/2019	199.913132	283966
10/24/2019	200.239822	187201
10/25/2019	205.33812	117861
10/28/2019	208.288208	157771
10/29/2019	207.159653	203391
10/30/2019	209.169281	161308
10/31/2019	209.416763	154053
11/1/2019	211.782776	177680
11/4/2019	211.475891	100157
11/5/2019	213.871597	171305
11/6/2019	209.872162	161679
11/7/2019	211.852081	186266
11/8/2019	211.673889	160482
11/11/2019	216.128723	97225
11/12/2019	218.811523	399957
11/13/2019	217.475067	161627
11/14/2019	220.375656	121124
11/15/2019	222.296188	105997
11/18/2019	221.662613	92388
11/19/2019	225.107681	133505
11/20/2019	219.77179	164002
11/21/2019	220.385559	153190
11/22/2019	222.583282	122037
11/25/2019	222.563492	112853
11/26/2019	227.4935	229836
11/27/2019	228.721039	178221
11/28/2019	231.384048	113615
11/29/2019	231.641449	162091
12/2/2019	233.878754	145750
12/3/2019	229.206131	162456
12/4/2019	224.672104	172273
12/5/2019	226.404541	194304
12/6/2019	227.98848	154590
12/9/2019	228.295364	122612
12/10/2019	225.13739	182302
12/11/2019	225.869965	158938
12/12/2019	227.503387	558875
12/13/2019	222.840683	328279
12/16/2019	229.295227	284728
12/17/2019	229.067535	189665
12/18/2019	233.344177	168322
12/19/2019	231.265259	364152
12/20/2019	232.176025	226097
12/23/2019	230.136703	116690
12/24/2019	230.403992	44722
12/27/2019	230.354492	43198
12/30/2019	230.463394	31557
12/31/2019	222.47438	88999
1/2/2020	223.058472	79256
1/3/2020	223.414841	82410
1/6/2020	223.692047	86634
1/7/2020	223.692047	175851
1/8/2020	221.771515	189925
1/9/2020	227.305405	153151
1/10/2020	230.354492	98127
1/13/2020	229.819901	106388
1/14/2020	230.542587	174100
1/15/2020	233.641159	175575
1/16/2020	236.818954	146545
1/17/2020	238.294006	101991
1/20/2020	235.462708	146078
1/21/2020	235.838882	117198
1/22/2020	238.472183	167941
1/23/2020	234.72023	168282
1/24/2020	233.680771	185351
1/28/2020	233.195679	135032
1/29/2020	237.700012	121660
1/30/2020	235.918076	127518
1/31/2020	238.650391	128246
2/3/2020	237.343628	102179
2/4/2020	237.719818	162567
2/5/2020	239.838333	106605
2/6/2020	241.105484	119601
2/7/2020	240.778793	102221
2/10/2020	242.303345	160037
2/11/2020	234.096558	306287
2/12/2020	230.532684	249086
2/13/2020	225.919464	308012
2/14/2020	230.661377	223318
2/17/2020	232.205719	124169
2/18/2020	224.345413	206226
2/19/2020	249.025192	498277
2/20/2020	239.917542	262382
2/21/2020	229.275436	270801
2/24/2020	222.256592	163839
2/25/2020	216.801895	310341
2/26/2020	210.822525	285736
2/27/2020	206.753784	292835
2/28/2020	205.506409	396459
3/2/2020	205.417328	258989
3/3/2020	215.811935	387347
3/4/2020	205.417328	311132
3/5/2020	207.347748	267391
3/6/2020	202.942413	243851
3/9/2020	195.359299	293911
3/10/2020	195.09201	419463
3/11/2020	187.122803	371507
3/12/2020	176.698502	441263
3/13/2020	213.940903	784026
3/16/2020	172.758438	808512
3/17/2020	170.600327	617593
3/18/2020	168.956985	709454
3/19/2020	169.610367	669854
3/20/2020	158.255478	573586
3/23/2020	157.809998	573145
3/24/2020	168	639533
3/25/2020	168	0
3/26/2020	182.169998	737353
3/27/2020	166.470001	708363
3/30/2020	182.809998	891117
3/31/2020	187.449997	930824
4/1/2020	195.5	887784
4/2/2020	190	955458
4/3/2020	182.020004	464625
4/6/2020	191.369995	307691
4/7/2020	183.179993	411857
4/8/2020	182.910004	414026
4/9/2020	189.5	240991
4/14/2020	197.559998	380112
4/15/2020	195.070007	217513
4/16/2020	194.649994	342378
4/17/2020	194.139999	238069
4/20/2020	185.509995	316231
4/21/2020	181.179993	288602
4/22/2020	181.949997	357789
4/23/2020	179.339996	277343
4/24/2020	179.259995	238501
4/27/2020	184.580002	227641
4/28/2020	185.919998	158278
4/29/2020	182.75	263622
4/30/2020	184.5	294999
5/1/2020	179.949997	282528
5/4/2020	182.479996	189379
5/5/2020	182	185576
5/6/2020	182.009995	222326
5/7/2020	184.5	250484
5/8/2020	181.660004	163775
5/11/2020	191	292370
5/12/2020	188.669998	238895
5/13/2020	190.979996	201277
5/14/2020	186.75	170516
5/15/2020	188.139999	169816
5/18/2020	189.009995	140332
5/19/2020	183.339996	342805
5/20/2020	186.410004	183069
5/21/2020	188.729996	201947
5/22/2020	186.039993	139585
5/25/2020	191.199997	183370
5/26/2020	193.350006	192495
5/27/2020	187.929993	379917
5/28/2020	193.460007	396614
5/29/2020	193.009995	402224
6/1/2020	194.009995	191395
6/2/2020	192.320007	155997
6/3/2020	195.429993	255584
6/4/2020	197	329447
6/5/2020	192.460007	183793
6/9/2020	193	247946
6/10/2020	194.330002	240188
6/11/2020	194.070007	246896
6/12/2020	191.470001	381969
6/15/2020	187.669998	307314
6/16/2020	193.460007	356245
6/17/2020	195.699997	178122
6/18/2020	193.300003	320352
6/19/2020	194.660004	598375
6/22/2020	192.119995	239231
6/23/2020	190	229510
6/24/2020	193.179993	254184
6/25/2020	189.100006	168888
6/26/2020	189.660004	278520
6/29/2020	189.190002	191370
6/30/2020	188.929993	228036
7/1/2020	186.970001	151194
7/2/2020	192.690002	147727
7/3/2020	204	379513
7/6/2020	200.679993	181475
7/7/2020	199.619995	193728
7/8/2020	193.119995	144118
7/9/2020	192.050003	192024
7/10/2020	190.470001	156879
7/13/2020	189	288662
7/14/2020	187.279999	198008
7/15/2020	190.369995	160229
7/16/2020	190.850006	154340
7/17/2020	191.910004	172234
7/20/2020	192.919998	110138
7/21/2020	203.979996	248079
7/22/2020	196.570007	204224
7/23/2020	196.309998	106281
7/24/2020	193.960007	105061
7/27/2020	192.270004	139483
7/28/2020	191.550003	126250
7/29/2020	189.970001	209456
7/30/2020	193.210007	134146
7/31/2020	190.220001	203212
8/3/2020	198.889999	356920
8/4/2020	197.880005	232459
8/5/2020	192.279999	216433
8/6/2020	190.520004	192800
8/7/2020	189.139999	133395
8/10/2020	191.279999	155701
8/11/2020	194.009995	227225
8/12/2020	199.759995	320837
8/13/2020	197.919998	248802
8/14/2020	199.770004	186625
8/17/2020	198.300003	181701
8/18/2020	217.740005	553970
8/19/2020	210.300003	267141
8/20/2020	208.630005	241396
8/21/2020	206.220001	267172
8/24/2020	204.880005	203821
8/25/2020	201.75	307956
8/26/2020	200.860001	160364
8/27/2020	198.899994	222363
8/28/2020	194.800003	199770
8/31/2020	192.149994	283222
9/1/2020	190.020004	301363
9/2/2020	191.809998	197541
9/3/2020	197.309998	273491
9/4/2020	190.039993	264540
9/7/2020	190.800003	183003
9/8/2020	192.240005	147056
9/9/2020	189.229996	247316
9/10/2020	190	169391
9/11/2020	192.009995	170280
9/14/2020	193.570007	117694

VAR

COH	NAB	COH Returns	NAB Returns
196.1499	24.32744	-0.86%	-1.19%
197.8432	24.62033	0.86%	1.31%
196.1597	24.30081	0.48%	-0.51%
195.2157	24.42507	-0.02%	-1.57%
195.2546	24.81558	-0.23%	-0.21%
195.7023	24.86884	0.49%	0.57%
194.7389	24.72683	-1.31%	0.76%
197.3177	24.54045	-0.50%	-1.78%
198.3103	24.98422	-0.19%	0.39%
198.6899	24.88659	0.88%	0.72%
196.9479	24.70908	5.47%	-0.22%
186.7298	24.76233	-3.15%	-0.18%
192.8023	24.80671	6.19%	-0.60%
181.5623	24.95759	0.04%	-0.64%
181.4844	25.11735	0.53%	0.53%
180.5307	24.98422	-0.18%	-0.18%
180.8616	25.0286	-3.33%	0.25%
187.0898	24.96647	1.98%	0.00%
183.4599	24.96647	2.71%	-0.95%
178.6136	25.2061	2.05%	0.32%
175.0227	25.12622	3.82%	-0.07%
168.5803	25.14397	-2.92%	1.25%
173.6505	24.83333	3.00%	0.61%
168.5901	24.68246	-0.18%	0.62%
168.9015	24.53157	0.13%	-0.32%
168.6777	24.61145	-0.95%	-0.25%
170.3028	24.67358	-1.45%	0.25%
172.8136	24.61145	-1.00%	-1.00%
174.5653	24.85996	-0.10%	-0.28%
174.7404	24.93097	3.95%	0.54%
168.0938	24.79783	0.58%	-1.48%
167.1303	25.1706	0.26%	-0.94%
166.6924	25.41023	-1.00%	-0.59%
168.376	25.56112	-1.77%	-0.17%
171.4025	25.60549	0.39%	0.28%
170.7408	25.53449	4.42%	1.20%
163.5102	25.23273	4.88%	1.07%
155.9001	24.96647	-0.67%	1.70%
156.9511	24.54932	0.40%	0.18%
156.3185	24.50495	2.95%	-0.25%
151.842	24.56707	-1.71%	-1.07%
154.4793	24.83333	-2.41%	-1.76%
158.2941	25.27711	-2.77%	0.64%
162.7998	25.11735	-0.08%	-0.25%
162.936	25.17947	0.36%	-0.11%
162.3521	25.2061	-1.39%	0.64%
164.6488	25.04634	0.45%	0.68%
163.9091	24.87771	-2.47%	0.29%
168.0646	24.80671	2.02%	0.29%
164.7364	24.73571	-2.15%	0.65%
168.3565	24.57595	1.79%	-0.29%
165.3981	24.64695	-0.44%	0.62%
166.128	24.49607	0.80%	1.10%
164.8045	24.22981	-2.90%	-0.18%
169.7189	24.27419	5.23%	-0.76%
161.2816	24.46057	-2.79%	-0.22%
165.9042	24.51382	0.02%	-0.72%
165.8652	24.69133	-0.84%	0.25%
167.2763	24.6292	0.80%	0.33%
165.9528	24.54932	-2.68%	-0.22%
170.5169	24.60258	1.65%	0.43%
167.7532	24.49607	1.07%	0.55%
165.982	24.36294	0.49%	0.44%
165.1743	24.25644	2.23%	-1.73%
161.5736	24.68246	-0.81%	0.76%
162.8971	24.49607	-3.54%	0.73%
168.882	24.31856	-0.83%	0.74%
170.3028	24.14106	0.82%	-0.18%
168.9112	24.18543	-0.76%	0.15%
170.2055	24.14993	-1.63%	1.27%
173.0277	23.84817	1.38%	0.98%
170.6726	23.61741	-0.35%	-0.26%
171.2663	23.67953	-1.13%	2.62%
173.2223	23.07601	-2.87%	0.35%
178.3411	22.99613	-0.76%	1.61%
179.7133	22.63224	0.33%	-0.55%
179.1294	22.7565	-0.33%	-0.08%
179.723	22.77424	-0.60%	-0.31%
180.8032	22.84525	-0.35%	0.27%
181.4455	22.78312	-0.59%	0.75%
182.5257	22.61449	-0.86%	1.23%
184.112	22.33935	0.21%	0.04%
183.7324	22.33048	-0.51%	2.57%
184.6764	21.77133	-1.71%	-0.69%
187.8878	21.92221	-1.32%	-1.04%
190.3985	22.15297	-0.14%	-0.60%
190.6613	22.2861	2.15%	-0.40%
186.6422	22.37485	0.01%	-0.55%
186.6227	22.49911	-0.85%	0.56%
188.2284	22.37485	-0.43%	-0.71%
189.0459	22.53461	-0.89%	-1.05%
190.7489	22.77424	0.79%	-0.81%
189.2502	22.96063	-1.73%	-0.20%
192.5882	23.00677	0.18%	0.12%
192.2378	22.97908	-0.66%	0.08%
193.5127	22.96063	0.57%	1.55%
192.413	22.60994	-0.32%	2.38%
193.0358	22.08392	2.09%	0.21%
189.0848	22.03777	-1.37%	0.46%
191.7123	21.93626	-0.24%	0.81%
192.1794	21.76092	1.58%	-1.30%
189.1918	22.047	8.86%	-0.50%
173.7867	22.15774	2.96%	-0.91%
168.7944	22.36077	1.85%	-1.02%
165.729	22.59149	-0.54%	-0.53%
166.6243	22.71146	-0.72%	-1.12%
167.8407	22.96986	1.07%	-0.08%
166.0696	22.98831	0.57%	0.00%
165.1256	22.98831	-0.48%	1.10%
165.9236	22.73914	-1.40%	0.12%
168.2787	22.71146	-0.53%	0.94%
169.1837	22.4992	0.20%	0.83%
168.8431	22.31463	-2.57%	1.00%
173.3002	22.09314	0.53%	-0.25%
172.3854	22.14852	-0.16%	2.61%
172.6579	21.58558	0.51%	-0.43%
171.782	21.67786	-0.57%	-1.67%
172.7649	22.047	-0.42%	-0.87%
173.4948	22.2408	-0.94%	1.73%
175.1492	21.86243	-0.61%	0.59%
176.2196	21.73323	-0.88%	1.82%
177.7767	21.34563	1.81%	-0.81%
174.6237	21.52098	1.02%	1.00%
172.8525	21.30872	0.53%	1.09%
171.9475	21.07801	-1.23%	-0.31%
174.0884	21.14261	-0.34%	-1.84%
174.6774	21.53943	1.15%	-2.59%
172.6846	22.1116	0.76%	-0.46%
171.3888	22.21312	1.18%	1.86%
169.3862	21.80706	-0.42%	-1.25%
170.1029	22.08392	-0.49%	-0.21%
170.9471	22.13006	-0.79%	-0.99%
172.3018	22.35154	-0.77%	-0.90%
173.6467	22.55457	2.12%	-0.53%
170.0341	22.67454	2.17%	-0.12%
166.4216	22.70223	-0.96%	0.20%
168.0315	22.65609	-0.83%	-0.49%
169.4353	22.76683	0.92%	-0.20%
167.8941	22.81297	1.29%	-0.32%
165.7639	22.8868	2.28%	-0.04%
162.0728	22.89603	-1.49%	-0.32%
164.5172	22.96986	-7.29%	-0.08%
177.4457	22.98831	0.70%	1.30%
176.2088	22.693	2.13%	0.33%
172.5276	22.61917	-0.14%	-0.28%
172.773	22.68377	-2.28%	-0.65%
176.7978	22.83143	-0.99%	1.98%
178.5648	22.38846	-0.60%	0.04%
179.6446	22.37923	-2.31%	1.63%
183.8952	22.01932	-1.12%	0.29%
185.9764	21.95472	-0.98%	-1.00%
187.8121	22.1762	0.17%	-3.76%
187.498	23.04368	0.00%	1.42%
187.498	22.72069	0.00%	-1.24%
187.498	23.00677	-0.53%	0.73%
188.4993	22.84066	-0.88%	1.64%
190.1681	22.47152	-1.17%	0.58%
192.4259	22.34231	1.39%	-0.74%
189.795	22.50843	0.17%	0.66%
189.4809	22.36077	-1.48%	0.04%
192.3179	22.35154	-0.17%	0.00%
192.6517	22.35154	-2.35%	-1.62%
197.295	22.72069	1.14%	0.33%
195.0666	22.64686	-0.28%	-0.69%
195.6065	22.80374	-0.02%	0.08%
195.636	22.78529	-1.40%	-0.12%
198.4043	22.81297	1.00%	0.49%
196.4409	22.70223	1.31%	-0.85%
193.8984	22.89603	-0.52%	-1.27%
194.9095	23.19134	0.05%	-0.04%
194.8212	23.20057	0.89%	-0.20%
193.0934	23.24672	-1.71%	-0.32%
196.4606	23.32054	0.87%	-0.75%
194.7623	23.49588	2.06%	-0.82%
190.8258	23.68968	-1.18%	1.14%
193.1033	23.42205	-1.48%	0.04%
195.9992	23.41283	-0.36%	0.48%
196.7158	23.30209	-2.91%	0.44%
202.6058	23.20057	2.31%	0.28%
198.0312	23.13597	-0.63%	-0.56%
199.2878	23.26517	-0.60%	0.36%
200.4854	23.18211	1.19%	0.64%
198.1294	23.03445	-1.04%	-0.44%
200.2203	23.13597	-1.44%	0.44%
203.1555	23.03445	-0.91%	-0.52%
205.0305	23.15443	2.23%	0.88%
200.5639	22.9514	-0.45%	-0.20%
201.4769	22.99754	-0.69%	-0.48%
202.8806	23.10829	-0.77%	-0.28%
204.4513	23.17289	0.88%	-0.63%
202.6647	23.32054	-0.19%	-0.32%
203.0475	23.39437	-1.43%	-0.24%
205.9925	23.44974	-1.01%	0.24%
208.1031	23.39437	-1.60%	0.72%
211.4899	23.22826	0.11%	1.45%
211.2542	22.89603	-1.37%	0.45%
214.1796	22.79452	2.21%	0.45%
209.556	22.693	-0.69%	-0.16%
211.0088	22.72991	-3.25%	0.78%
218.0965	22.55457	0.48%	-1.01%
217.0559	22.78529	-0.20%	-0.56%
217.4878	22.91449	0.53%	-0.72%
216.3393	23.0806	-0.41%	-0.91%
217.2228	23.29286	0.64%	-0.12%
215.8484	23.32054	-0.84%	-0.35%
217.6743	23.4036	1.20%	-1.17%
215.0926	23.68046	1.23%	-0.04%
212.4715	23.68968	-1.33%	0.90%
215.3282	23.47743	-0.87%	0.36%
217.2228	23.39437	-1.50%	-1.67%
220.5408	23.7912	1.18%	0.31%
217.9688	23.71737	-0.86%	0.12%
219.8536	23.68968	-0.52%	-0.96%
221.0022	23.9204	2.17%	0.31%
216.3098	23.84657	0.10%	0.08%
216.0939	23.82811	-1.37%	-0.35%
219.0977	23.91117	2.43%	-0.12%
213.8949	23.93886	3.79%	2.01%
206.0809	23.4682	-1.08%	1.49%
208.3387	23.12476	0.87%	-0.16%
206.5324	23.16292	0.07%	0.33%
206.395	23.0866	-0.09%	1.17%
206.5717	22.81949	3.47%	-7.32%
199.6411	24.62253	0.00%	-1.49%
199.6411	24.99459	0.92%	0.19%
197.8251	24.94688	-3.78%	1.44%
205.59	24.59391	-3.84%	-0.12%
213.7968	24.62253	-0.64%	-0.08%
215.1809	24.64161	1.78%	-1.19%
211.4113	24.93735	-0.49%	-0.98%
212.4617	25.18539	0.25%	-0.38%
211.9316	25.28078	3.45%	0.04%
204.8734	25.27124	-1.13%	0.61%
207.2098	25.11861	-1.18%	-0.38%
209.6738	25.214	0.16%	-0.79%
209.34	25.41434	-2.18%	-0.41%
214.0029	25.51928	1.01%	-0.56%
211.853	25.66238	-1.38%	-1.18%
214.8079	25.96766	1.34%	0.78%
211.961	25.76732	1.44%	0.04%
208.9572	25.75778	-1.45%	1.01%
212.0298	25.5002	0.96%	0.26%
210.0173	25.43342	2.61%	-0.22%
204.6771	25.49066	1.22%	-0.41%
202.2131	25.5956	-0.70%	-0.48%
203.6463	25.71962	-2.00%	0.41%
207.7988	25.61468	2.04%	-0.33%
203.6365	25.70054	-0.89%	0.34%
205.4624	25.61468	0.25%	0.56%
204.9421	25.47158	-0.90%	-0.19%
206.8033	25.51928	0.36%	0.11%
206.0707	25.49066	0.47%	-0.30%
205.1005	25.56698	-1.38%	1.17%
207.9714	25.27124	0.78%	-0.49%
206.3578	25.39526	1.78%	-1.00%
202.7444	25.65284	-1.24%	-0.30%
205.2886	25.72916	-0.37%	0.82%
206.0608	25.51928	-2.51%	0.26%
211.3571	25.4525	2.67%	-0.67%
205.8628	25.62422	1.26%	-0.96%
203.2988	25.87226	-0.71%	-0.18%
204.754	25.91996	-0.43%	0.52%
205.6351	25.7864	-0.74%	0.71%
207.1597	25.60514	0.87%	-0.37%
205.3678	25.70054	0.83%	0.07%
203.6849	25.68146	-0.68%	-2.14%
205.0807	26.24431	-0.65%	-0.18%
206.4271	26.29201	-1.43%	-1.08%
209.4267	26.57821	-1.05%	-1.66%
211.6541	27.02659	2.23%	-0.98%
207.031	27.29371	0.17%	0.42%
206.6746	27.17923	-2.56%	-0.31%
212.0996	27.26509	5.84%	-0.24%
200.3883	27.33187	0.24%	0.49%
199.9131	27.19831	-0.16%	-0.45%
200.2398	27.32233	-2.48%	0.46%
205.3381	27.19831	-1.42%	1.21%
208.2882	26.87395	0.54%	2.40%
207.1597	26.24431	-0.96%	-0.65%
209.1693	26.41603	-0.12%	-0.14%
209.4168	26.45419	-1.12%	0.29%
211.7828	26.37787	0.15%	-0.36%
211.4759	26.47327	-1.12%	0.33%
213.8716	26.38741	1.91%	0.04%
209.8722	26.37787	-0.93%	3.17%
211.8521	25.56698	0.08%	-0.85%
211.6739	25.7864	-2.06%	-0.70%
216.1287	25.96766	-1.23%	-0.44%
218.8115	26.08214	0.61%	0.70%
217.4751	25.90088	-1.32%	-0.88%
220.3757	26.12984	-0.86%	0.18%
222.2962	26.08214	0.29%	1.03%
221.6626	25.81502	-1.53%	-0.88%
225.1077	26.04398	2.43%	1.34%
219.7718	25.70054	-0.28%	-0.55%
220.3856	25.84364	-0.99%	-0.99%
222.5833	26.10122	0.01%	0.11%
222.5635	26.0726	-2.17%	0.00%
227.4935	26.0726	-0.54%	0.04%
228.721	26.06306	-1.15%	-0.69%
231.384	26.24431	-0.11%	-0.86%
231.6414	26.47327	-0.96%	-1.00%
233.8788	26.74039	2.04%	-1.58%
229.2061	27.16969	2.02%	-1.08%
224.6721	27.46543	-0.77%	-0.62%
226.4045	27.63714	-0.69%	-0.65%
227.9885	27.8184	-0.13%	0.10%
228.2954	27.78978	1.40%	-0.58%
225.1374	27.95196	-0.32%	0.51%
225.87	27.80886	-0.72%	-0.58%
227.5034	27.97104	2.09%	-1.58%
222.8407	28.41942	-2.81%	0.20%
229.2952	28.36218	0.10%	-0.64%
229.0675	28.54343	-1.83%	0.00%
233.3442	28.54343	0.90%	0.17%
231.2653	28.49574	-0.39%	0.13%
232.176	28.45758	0.89%	0.44%
230.1367	28.33356	-0.12%	0.00%
230.404	28.33356	0.02%	2.34%
230.3545	27.68484	-0.05%	3.64%
230.4634	26.71177	3.59%	0.54%
222.4744	26.56867	-0.26%	-0.25%
223.0585	26.63545	-0.16%	-0.61%
223.4148	26.79763	-0.12%	0.11%
223.692	26.76901	0.00%	0.14%
223.692	26.73085	0.87%	-0.64%
221.7715	26.90257	-2.43%	-0.56%
227.3054	27.05521	-1.32%	-0.32%
230.3545	27.14107	0.23%	-1.49%
229.8199	27.55128	-0.31%	0.07%
230.5426	27.5322	-1.33%	0.35%
233.6412	27.4368	-1.34%	-0.35%
236.819	27.5322	-0.62%	-0.52%
238.294	27.6753	1.20%	0.48%
235.4627	27.54174	-0.16%	-0.48%
235.8389	27.6753	-1.10%	-0.58%
238.4722	27.83748	1.60%	0.10%
234.7202	27.80886	0.44%	0.14%
233.6808	27.7707	0.21%	0.62%
233.1957	27.59898	-1.89%	1.12%
237.7	27.29371	0.76%	0.70%
235.9181	27.10291	-1.14%	2.60%
238.6504	26.41603	0.55%	-0.61%
237.3436	26.57821	-0.16%	0.22%
237.7198	26.52097	-0.88%	-2.18%
239.8383	27.11245	-0.53%	-0.18%
241.1055	27.16015	0.14%	-1.39%
240.7788	27.54174	-0.63%	-0.72%
242.3033	27.74208	3.51%	1.01%
234.0966	27.46543	1.55%	0.58%
230.5327	27.30825	2.04%	0.58%
225.9195	27.15109	-2.06%	1.21%
230.6614	26.82692	-0.67%	0.18%
232.2057	26.77781	3.50%	3.22%
224.3454	25.94284	-9.91%	0.30%
249.0252	25.86426	3.80%	0.19%
239.9175	25.81514	4.64%	0.77%
229.2754	25.61868	3.16%	-0.27%
222.2566	25.68744	2.52%	-0.11%
216.8019	25.71691	2.84%	0.00%
210.8225	25.71691	1.97%	1.12%
206.7538	25.43204	0.61%	-0.04%
205.5064	25.44186	0.04%	1.85%
205.4173	24.98018	-4.82%	2.13%
215.8119	24.45955	5.06%	-2.01%
205.4173	24.96053	-0.93%	0.00%
207.3477	24.96053	2.17%	0.04%
202.9424	24.95071	3.88%	1.48%
195.3593	24.58725	0.14%	-0.28%
195.092	24.65601	4.26%	1.21%
187.1228	24.36132	5.90%	-1.39%
176.6985	24.70513	-17.41%	-1.45%
213.9409	25.06858	23.84%	0.20%
172.7584	25.01947	1.27%	0.67%
170.6003	24.85248	0.97%	1.12%
168.957	24.57743	-0.39%	0.52%
169.6104	24.44973	7.18%	0.16%
158.2555	24.41044	0.28%	-0.04%
157.81	24.42026	-6.07%	-0.28%
168	24.48902	0.00%	0.16%
168	24.44973	-7.78%	1.06%
182.17	24.19433	9.43%	0.24%
166.47	24.13539	-8.94%	-0.61%
182.81	24.28273	-2.48%	0.69%
187.45	24.11574	-4.12%	-1.41%
195.5	24.45955	2.89%	0.32%
190	24.38097	4.38%	-0.04%
182.02	24.39079	-4.89%	-0.40%
191.37	24.48902	4.47%	0.00%
183.18	24.48902	0.15%	-0.52%
182.91	24.61672	-3.48%	-0.44%
189.5	24.72478	-4.08%	-0.75%
197.56	24.91142	1.28%	-0.39%
195.07	25.00965	0.22%	-0.59%
194.65	25.15699	0.26%	-0.35%
194.14	25.2454	4.65%	-0.04%
185.51	25.25522	2.39%	0.08%
181.18	25.23558	-0.42%	-0.43%
181.95	25.34363	1.46%	0.74%
179.34	25.15699	0.04%	-0.74%
179.26	25.34363	-2.88%	-0.31%
184.58	25.42222	-0.72%	0.08%
185.92	25.40257	1.73%	1.41%
182.75	25.04894	-0.95%	-0.39%
184.5	25.14717	2.53%	-0.04%
179.95	25.15699	-1.39%	-1.31%
182.48	25.49098	0.26%	0.12%
182	25.46151	-0.01%	0.54%
182.01	25.32399	-1.35%	-0.46%
184.5	25.44186	1.56%	-0.88%
181.66	25.66779	-4.89%	-1.36%
191	26.02143	1.23%	-3.14%
188.67	26.86622	-1.21%	0.26%
190.98	26.79745	2.27%	0.00%
186.75	26.79745	-0.74%	-0.11%
188.14	26.82692	-0.46%	-0.33%
189.01	26.91533	3.09%	-0.04%
183.34	26.92515	-1.65%	1.11%
186.41	26.63046	-1.23%	1.16%
188.73	26.32594	1.45%	2.13%
186.04	25.77585	-2.70%	1.35%
191.2	25.43204	-1.11%	3.15%
193.35	24.65601	2.88%	2.57%
187.93	24.03716	-2.86%	1.41%
193.46	23.70317	0.23%	3.83%
193.01	22.82892	-0.52%	-0.21%
194.01	22.87803	0.88%	5.86%
192.32	21.61085	-1.59%	9.24%
195.43	19.78375	-0.80%	-4.55%
197	20.72677	2.36%	6.67%
192.46	19.43012	-0.28%	9.10%
193	17.8093	-0.68%	-1.52%
194.33	18.08435	0.13%	14.21%
194.07	15.83486	1.36%	-6.33%
191.47	16.90558	2.02%	7.50%
187.67	15.72681	-2.99%	9.88%
193.46	14.31228	-1.14%	-6.96%
195.7	15.383	1.24%	12.82%
193.3	13.63448	-0.70%	-3.61%
194.66	14.14528	1.32%	-8.80%
192.12	15.5107	1.12%	-2.17%
190	15.8545	-1.65%	6.75%
193.18	14.85255	2.16%	-7.30%
189.1	16.0215	-0.30%	-2.22%
189.66	16.38495	0.25%	-1.59%
189.19	16.65018	0.14%	5.94%
188.93	15.71698	1.05%	2.43%
186.97	15.3437	-2.97%	-5.16%
192.69	16.17867	-5.54%	2.11%
204	15.84468	1.65%	5.08%
200.68	15.07848	0.53%	-4.54%
199.62	15.79557	3.37%	-2.78%
193.12	16.24743	0.56%	-0.60%
192.05	16.34566	0.83%	2.21%
190.47	15.99203	0.78%	-0.67%
189	16.10008	0.92%	2.44%
187.28	15.71698	-1.62%	2.30%
190.37	15.36335	-0.25%	-1.64%
190.85	15.61875	-0.55%	1.15%
191.91	15.44193	-0.52%	-0.25%
192.92	15.48123	-5.42%	0.00%
203.98	15.48123	3.77%	2.87%
196.57	15.04901	0.13%	-5.95%
196.31	16.00185	1.21%	-3.95%
193.96	16.66	0.88%	3.22%
192.27	16.14	0.38%	-1.94%
191.55	16.46	0.83%	-3.12%
189.97	16.99	-1.68%	2.41%
193.21	16.59	1.57%	2.28%
190.22	16.22	-4.36%	0.87%
198.89	16.08	0.51%	0.63%
197.88	15.98	2.91%	2.96%
192.28	15.52	0.92%	-0.77%
190.52	15.64	0.73%	2.62%
189.14	15.24	-1.12%	-1.42%
191.28	15.46	-1.41%	1.91%
194.01	15.17	-2.88%	-2.07%
199.76	15.49	0.93%	-0.71%
197.92	15.6	-0.93%	0.52%
199.77	15.52	0.74%	1.17%
198.3	15.34	-8.93%	-2.60%
217.74	15.75	3.54%	-5.35%
210.3	16.64	0.80%	-7.25%
208.63	17.94	1.17%	-4.52%
206.22	18.79	0.65%	5.50%
204.88	17.81	1.55%	-0.78%
201.75	17.95	0.44%	0.39%
200.86	17.88	0.99%	-4.39%
198.9	18.7	2.10%	-1.16%
194.8	18.92	1.38%	-2.87%
192.15	19.48	1.12%	-4.84%
190.02	20.47	-0.93%	1.54%
191.81	20.16	-2.79%	5.72%
197.31	19.07	3.83%	2.58%
190.04	18.59	-0.40%	2.71%
190.8	18.1	-0.75%	-3.98%
192.24	18.85	1.59%	-0.58%
189.23	18.96	-0.41%	0.96%
190	18.78	-1.05%	0.59%
192.01	18.67	-0.81%	-0.53%
193.57	18.77

Standard Deviation COH	0.024813441
Standard Deviation NAB	0.020292698
Correlation Coeffcient	-0.01916532
Variance of the Portfolio	0.00030619
Standard Deviation of the Portfolio	0.017498284

1-Day Variance @ 99%	0.040596019
5-Day Variance @ 99%	0.090775459
Vp	$ 90,775.46

Amount invested in COH	$ 650,000
Amount invested in NAB	$ 350,000
Total	$ 1,000,000
W of COH in Portfolio	0.65
W of NAB in Portfolio	0.35

Porfolio
COH	$ 16,128.74
NAB	$ 7,102.44
Va	$ 83,670.69
Vb	$ 36,845.19
Total	$ 120,515.88
Diversification Benefit	$ 29,740.42

Image

Historical Simulation

COH	NAB	COH Returns	NAB Returns	COH returns in terms of value	NAB returns in terms of value	Total Returns in terms of value
196.149933	24.327436	-0.86%	-1.19%	-5,563.21131	-4,163.6798052	-9,726.8911137
197.843231	24.620325	0.86%	1.31%	5,578.70005	4,601.8853197	10,180.5853714
196.159668	24.300812	0.48%	-0.51%	3,143.08996	-1,780.5313787	1,362.5585792
195.215698	24.425068	-0.02%	-1.57%	-129.58080	-5,507.8256879	-5,637.4064866
195.254623	24.815582	-0.23%	-0.21%	-1,486.80543	-749.4741913	-2,236.2796255
195.702271	24.868835	0.49%	0.57%	3,215.67301	2,010.0189952	5,225.6920087
194.738861	24.726831	-1.31%	0.76%	-8,495.16934	2,658.2400883	-5,836.9292478
197.317703	24.540447	-0.50%	-1.78%	-3,253.58663	-6,216.7322501	-9,470.3188796
198.310349	24.984219	-0.19%	0.39%	-1,241.60903	1,373.0487533	131.4397191
198.68988	24.886589	0.88%	0.72%	5,749.09696	2,514.4139332	8,263.5108950
196.947922	24.709078	5.47%	-0.22%	35,569.10684	-752.6977165	34,816.4091283
186.729752	24.762331	-3.15%	-0.18%	-20,472.43030	-626.1330352	-21,098.5633352
192.802261	24.806709	6.19%	-0.60%	40,239.54485	-2,115.9234525	38,123.6213943
181.562286	24.95759	0.04%	-0.64%	278.82556	-2,226.1625710	-1,947.3370082
181.484436	25.117348	0.53%	0.53%	3,433.86441	1,864.9832520	5,298.8476588
180.530716	24.984219	-0.18%	-0.18%	-1,189.23132	-620.5542101	-1,809.7855262
180.861618	25.028595	-3.33%	0.25%	-21,638.41358	870.9883438	-20,767.4252346
187.089813	24.966465	1.98%	0.00%	12,860.64670	–	12,860.6467049
183.459946	24.966465	2.71%	-0.95%	17,636.52692	-3,327.4859397	14,309.0409806
178.613602	25.206102	2.05%	0.32%	13,336.06153	1,112.6881267	14,448.7496591
175.022659	25.126223	3.82%	-0.07%	24,839.84016	-247.0910127	24,592.7491470
168.580338	25.143974	-2.92%	1.25%	-18,978.36981	4,378.1475335	-14,600.2222779
173.650497	24.833334	3.00%	0.61%	19,510.49395	2,139.4812631	21,649.9752173
168.590073	24.682455	-0.18%	0.62%	-1,198.45243	2,152.7260587	954.2736282
168.901489	24.53157	0.13%	-0.32%	862.53361	-1,135.9753286	-273.4417143
168.677658	24.61145	-0.95%	-0.25%	-6,202.82837	-881.2990155	-7,084.1273819
170.302826	24.673578	-1.45%	0.25%	-9,443.65612	883.5237257	-8,560.1323901
172.813583	24.61145	-1.00%	-1.00%	-6,522.43944	-3,498.7664100	-10,021.2058516
174.565262	24.859962	-0.10%	-0.28%	-651.60162	-996.7945485	-1,648.3961729
174.740433	24.930965	3.95%	0.54%	25,701.99041	1,879.0574111	27,581.0478183
168.09375	24.797832	0.58%	-1.48%	3,746.93372	-5,183.3943099	-1,436.4605921
167.130325	25.170601	0.26%	-0.94%	1,707.65166	-3,300.6996315	-1,593.0479724
166.692398	25.410234	-1.00%	-0.59%	-6,499.30215	-2,065.9642586	-8,565.2664126
168.375977	25.561115	-1.77%	-0.17%	-11,477.29698	-606.6139556	-12,083.9109373
171.402496	25.605494	0.39%	0.28%	2,519.21666	973.2345947	3,492.4512577
170.740753	25.534491	4.42%	1.20%	28,743.61589	4,185.7306981	32,929.3465848
163.510178	25.232727	4.88%	1.07%	31,729.10827	3,732.6750103	35,461.7832781
155.90007	24.966465	-0.67%	1.70%	-4,352.67155	5,947.1841261	1,594.5125803
156.95108	24.549324	0.40%	0.18%	2,630.26692	633.8148524	3,264.0817689
156.318527	24.504948	2.95%	-0.25%	19,162.98452	-885.0911590	18,277.8933632
151.841995	24.567074	-1.71%	-1.07%	-11,096.79168	-3,752.6576174	-14,849.4492948
154.479263	24.833334	-2.41%	-1.76%	-15,664.59901	-6,144.6850816	-21,809.2840901
158.294052	25.277105	-2.77%	0.64%	-17,989.64303	2,226.1486364	-15,763.4943950
162.799759	25.117348	-0.08%	-0.25%	-543.52566	-863.5645050	-1,407.0901671
162.936005	25.179474	0.36%	-0.11%	2,337.63922	-369.7438025	1,967.8954204
162.352127	25.206102	-1.39%	0.64%	-9,066.69314	2,232.4875931	-6,834.2055428
164.648773	25.046343	0.45%	0.68%	2,933.06141	2,372.4388320	5,305.5002440
163.909149	24.877712	-2.47%	0.29%	-16,071.30706	1,001.7874600	-15,069.5196020
168.06456	24.806709	2.02%	0.29%	13,132.07760	1,004.6346763	14,136.7122767
164.736359	24.735708	-2.15%	0.65%	-13,976.86140	2,275.2183446	-11,701.6430545
168.356506	24.575949	1.79%	-0.29%	11,626.26763	-1,008.3091809	10,617.9584530
165.398102	24.646954	-0.44%	0.62%	-2,855.67643	2,155.8171512	-699.8592803
166.12796	24.496071	0.80%	1.10%	5,219.85873	3,846.1882920	9,066.0470180
164.804489	24.229807	-2.90%	-0.18%	-18,821.63966	-639.8690625	-19,461.5087202
169.718933	24.274185	5.23%	-0.76%	34,004.15947	-2,666.9207899	31,337.2386794
161.281631	24.460569	-2.79%	-0.22%	-18,110.72037	-760.3139470	-18,871.0343171
165.90416	24.513821	0.02%	-0.72%	152.60372	-2,516.1647847	-2,363.5610613
165.865219	24.691328	-0.84%	0.25%	-5,483.18272	882.8584864	-4,600.3242304
167.276306	24.629202	0.80%	0.33%	5,183.85724	1,138.8215822	6,322.6788240
165.952805	24.549324	-2.68%	-0.22%	-17,398.13278	-757.5568817	-18,155.6896606
170.516922	24.602575	1.65%	0.43%	10,708.86510	1,521.7297500	12,230.5948511
167.753159	24.496071	1.07%	0.55%	6,936.03303	1,912.5708966	8,848.6039284
165.981995	24.36294	0.49%	0.44%	3,178.58585	1,536.7777664	4,715.3636129
165.174271	24.256435	2.23%	-1.73%	14,485.29216	-6,041.0117227	8,444.2804376
161.573593	24.682455	-0.81%	0.76%	-5,281.03945	2,663.0556386	-2,617.9838084
162.897079	24.496071	-3.54%	0.73%	-23,035.02539	2,554.7479923	-20,480.2773974
168.882004	24.318563	-0.83%	0.74%	-5,422.89474	2,573.5183250	-2,849.3764190
170.302826	24.141056	0.82%	-0.18%	5,355.18664	-642.1737946	4,713.0128467
168.911209	24.185431	-0.76%	0.15%	-4,942.80370	514.5232518	-4,428.2804489
170.205505	24.149929	-1.63%	1.27%	-10,601.84770	4,428.7135359	-6,173.1341604
173.027679	23.848167	1.38%	0.98%	8,969.08062	3,419.7358398	12,388.8164607
170.672638	23.617409	-0.35%	-0.26%	-2,252.91584	-918.2360142	-3,171.1518557
171.266251	23.679533	-1.13%	2.62%	-7,339.90406	9,153.7943518	1,813.8902904
173.222305	23.07601	-2.87%	0.35%	-18,656.51307	1,215.8003295	-17,440.7127425
178.34111	22.996128	-0.76%	1.61%	-4,962.93507	5,627.4372866	664.5022174
179.713272	22.632238	0.33%	-0.55%	2,118.75044	-1,911.1005451	207.6498917
179.129379	22.756495	-0.33%	-0.08%	-2,146.90645	-272.7708547	-2,419.6773005
179.722992	22.774244	-0.60%	-0.31%	-3,883.39383	-1,087.8606674	-4,971.2544960
180.803192	22.845251	-0.35%	0.27%	-2,300.89611	954.4565909	-1,346.4395240
181.44548	22.783121	-0.59%	0.75%	-3,846.85613	2,609.9154936	-1,236.9406351
182.525711	22.614487	-0.86%	1.23%	-5,600.16842	4,310.6554747	-1,289.5129424
184.111954	22.339352	0.21%	0.04%	1,342.69062	139.1349714	1,481.8255935
183.732422	22.330475	-0.51%	2.57%	-3,322.46311	8,988.9532692	5,666.4901576
184.676392	21.771328	-1.71%	-0.69%	-11,109.90963	-2,408.8972968	-13,518.8069225
187.887802	21.922209	-1.32%	-1.04%	-8,571.40116	-3,645.8005828	-12,217.2017381
190.398544	22.152967	-0.14%	-0.60%	-895.83878	-2,090.8346458	-2,986.6734220
190.661316	22.2861	2.15%	-0.40%	13,997.14500	-1,388.3242049	12,608.8207916
186.642151	22.374853	0.01%	-0.55%	67.70880	-1,932.9476558	-1,865.2388548
186.622711	22.499109	-0.85%	0.56%	-5,544.87872	1,943.6820434	-3,601.1966789
188.228409	22.374853	-0.43%	-0.71%	-2,810.68481	-2,481.2766887	-5,291.9615009
189.045868	22.534609	-0.89%	-1.05%	-5,803.24071	-3,682.7676914	-9,486.0083982
190.748886	22.774244	0.79%	-0.81%	5,147.24462	-2,841.1569213	2,306.0876973
189.250244	22.960629	-1.73%	-0.20%	-11,265.74237	-701.9845851	-11,967.7269531
192.588165	23.006773	0.18%	0.12%	1,184.58634	421.7378726	1,606.3242170
192.237823	22.979084	-0.66%	0.08%	-4,282.13471	281.3490241	-4,000.7856878
193.512665	22.960627	0.57%	1.55%	3,714.85384	5,428.5585771	9,143.4124190
192.412994	22.609943	-0.32%	2.38%	-2,097.23814	8,336.8117321	6,239.5735966
193.035828	22.083916	2.09%	0.21%	13,582.12212	732.8667677	14,314.9888900
189.084793	22.037771	-1.37%	0.46%	-8,908.64185	1,619.6723252	-7,288.9695219
191.712326	21.936258	-0.24%	0.81%	-1,579.90910	2,820.1475691	1,240.2384735
192.179443	21.760918	1.58%	-1.30%	10,264.37508	-4,541.6177012	5,722.7573777
189.191849	22.047001	8.86%	-0.50%	57,618.48885	-1,749.2620977	55,869.2267549
173.786728	22.157743	2.96%	-0.91%	19,224.57827	-3,177.9089211	16,046.6693466
168.794418	22.360773	1.85%	-1.02%	12,022.87816	-3,574.3354820	8,448.5426783
165.728973	22.591486	-0.54%	-0.53%	-3,492.59717	-1,848.8553223	-5,341.4524967
166.624283	22.711458	-0.72%	-1.12%	-4,710.95368	-3,937.3037428	-8,648.2574232
167.840729	22.969856	1.07%	-0.08%	6,932.31626	-281.0253940	6,651.2908676
166.06958	22.988314	0.57%	0.00%	3,715.77759	–	3,715.7775862
165.125626	22.988314	-0.48%	1.10%	-3,126.09420	3,835.2302899	709.1360929
165.923615	22.739143	-1.40%	0.12%	-9,096.67742	426.6458807	-8,670.0315375
168.278656	22.711458	-0.53%	0.94%	-3,477.16267	3,301.8928094	-175.2698636
169.183701	22.499201	0.20%	0.83%	1,311.30219	2,894.9391993	4,206.2413937
168.843079	22.314631	-2.57%	1.00%	-16,717.23856	3,508.8171927	-13,208.4213653
173.300156	22.093143	0.53%	-0.25%	3,449.23225	-875.0585479	2,574.1737017
172.385391	22.148518	-0.16%	2.61%	-1,025.78239	9,127.8573770	8,102.0749839
172.657867	21.585575	0.51%	-0.43%	3,313.99947	-1,489.9879416	1,824.0115315
171.782043	21.67786	-0.57%	-1.67%	-3,697.87046	-5,860.1779897	-9,558.0484508
172.764908	22.047001	-0.42%	-0.87%	-2,734.53647	-3,049.8002298	-5,784.3367012
173.494797	22.240801	-0.94%	1.73%	-6,139.52548	6,057.3841922	-82.1412882
175.149155	21.862432	-0.61%	0.59%	-3,948.54977	2,080.7007481	-1,867.8490262
176.219635	21.733231	-0.88%	1.82%	-5,693.00993	6,355.3655214	662.3555920
177.776688	21.345633	1.81%	-0.81%	11,736.49771	-2,851.6226611	8,884.8750460
174.623657	21.520975	1.02%	1.00%	6,660.28053	3,486.3641257	10,146.6446542
172.852509	21.308718	0.53%	1.09%	3,421.27320	3,830.9863766	7,252.2595743
171.947464	21.078005	-1.23%	-0.31%	-7,993.78046	-1,069.4046453	-9,063.1851048
174.088425	21.142605	-0.34%	-1.84%	-2,191.76915	-6,448.1641648	-8,639.9333143
174.677429	21.539433	1.15%	-2.59%	7,501.00442	-9,056.7299944	-1,555.7255768
172.684647	22.111601	0.76%	-0.46%	4,914.46834	-1,599.5167000	3,314.9516437
171.388824	22.213116	1.18%	1.86%	7,684.65995	6,517.1698081	14,201.8297538
169.386246	21.807058	-0.42%	-1.25%	-2,738.33405	-4,387.8223409	-7,126.1563862
170.102859	22.083916	-0.49%	-0.21%	-3,210.03196	-729.7946775	-3,939.8266381
170.947083	22.13006	-0.79%	-0.99%	-5,110.61770	-3,468.1744343	-8,578.7921386
172.301804	22.351543	-0.77%	-0.90%	-5,034.13607	-3,150.6027625	-8,184.7388337
173.646667	22.554573	2.12%	-0.53%	13,809.79476	-1,851.8344559	11,957.9603048
170.034149	22.674543	2.17%	-0.12%	14,109.62414	-426.8501376	13,682.7739992
166.421616	22.70223	-0.96%	0.20%	-6,227.70344	712.8504014	-5,514.8530404
168.03154	22.656086	-0.83%	-0.49%	-5,385.33158	-1,702.4790760	-7,087.8106585
169.435333	22.766829	0.92%	-0.20%	5,966.84950	-707.9174387	5,258.9320583
167.894104	22.812971	1.29%	-0.32%	8,353.03671	-1,129.0263877	7,224.0103209
165.763901	22.886799	2.28%	-0.04%	14,803.13621	-141.0637750	14,662.0724321
162.072845	22.896027	-1.49%	-0.32%	-9,657.46186	-1,124.9591639	-10,782.4210189
164.517181	22.969856	-7.29%	-0.08%	-47,358.39062	-281.0253940	-47,639.4160103
177.445709	22.988314	0.70%	1.30%	4,562.65364	4,554.6884698	9,117.3421082
176.208817	22.693001	2.13%	0.33%	13,869.13731	1,142.3848255	15,011.5221372
172.527573	22.619173	-0.14%	-0.28%	-923.31733	-996.7169921	-1,920.0343195
172.772995	22.683771	-2.28%	-0.65%	-14,797.33678	-2,263.5291259	-17,060.8659098
176.797821	22.831427	-0.99%	1.98%	-6,432.05673	6,924.9588337	492.9020998
178.564804	22.388458	-0.60%	0.04%	-3,907.11411	144.3213194	-3,762.7927911
179.644638	22.37923	-2.31%	1.63%	-15,024.29524	5,720.8493015	-9,303.4459429
183.895248	22.019318	-1.12%	0.29%	-7,273.69334	1,029.8469787	-6,243.8463649
185.976379	21.954718	-0.98%	-1.00%	-6,353.26787	-3,495.6277231	-9,848.8955953
187.812103	22.176203	0.17%	-3.76%	1,089.05828	-13,175.7730231	-12,086.7147451
187.497955	23.043684	0.00%	1.42%	–	4,975.5799648	4,975.5799648
187.497955	22.720688	0.00%	-1.24%	–	-4,352.1857672	-4,352.1857672
187.497955	23.006773	-0.53%	0.73%	-3,452.76198	2,545.5026335	-907.2593435
188.499252	22.840656	-0.88%	1.64%	-5,704.13966	5,749.4563340	45.3166736
190.168091	22.471516	-1.17%	0.58%	-7,626.76986	2,023.9935756	-5,602.7762880
192.425919	22.342314	1.39%	-0.74%	9,010.08116	-2,583.0588806	6,427.0222783
189.795044	22.50843	0.17%	0.66%	1,077.60961	2,311.1879898	3,388.7975966
189.480911	22.360773	-1.48%	0.04%	-9,588.62042	144.5314089	-9,444.0890116
192.317932	22.351543	-0.17%	0.00%	-1,126.13149	–	-1,126.1314934
192.651703	22.351543	-2.35%	-1.62%	-15,297.51255	-5,686.4805326	-20,983.9930875
197.294968	22.720688	1.14%	0.33%	7,425.34044	1,141.0192089	8,566.3596459
195.066605	22.646858	-0.28%	-0.69%	-1,794.08987	-2,407.9270671	-4,202.0169324
195.606506	22.803743	-0.02%	0.08%	-97.84756	283.5141064	185.6665512
195.635956	22.785286	-1.40%	-0.12%	-9,069.32055	-424.7473948	-9,494.0679408
198.404251	22.812971	1.00%	0.49%	6,496.38892	1,707.2926316	8,203.6815487
196.440933	22.70223	1.31%	-0.85%	8,523.23609	-2,962.4768524	5,560.7592358
193.898407	22.896027	-0.52%	-1.27%	-3,371.97774	-4,456.8315390	-7,828.8092798
194.909531	23.191341	0.05%	-0.04%	294.76697	-139.2121029	155.5548696
194.821182	23.200569	0.89%	-0.20%	5,815.98744	-694.7841579	5,121.2032776
193.093445	23.246716	-1.71%	-0.32%	-11,140.26242	-1,108.0123649	-12,248.2747899
196.460556	23.320543	0.87%	-0.75%	5,667.86992	-2,611.9191770	3,055.9507412
194.762268	23.495884	2.06%	-0.82%	13,408.62103	-2,863.2716249	10,545.3494006
190.82579	23.689684	-1.18%	1.14%	-7,666.17076	3,999.2436189	-3,666.9271422
193.103271	23.422054	-1.48%	0.04%	-9,603.80696	137.9201180	-9,465.8868388
195.999176	23.412828	-0.36%	0.48%	-2,367.82917	1,663.3575209	-704.4716479
196.715775	23.302086	-2.91%	0.44%	-18,896.29932	1,531.4689049	-17,364.8304177
202.605774	23.200569	2.31%	0.28%	15,015.11108	977.2358376	15,992.3469147
198.031219	23.135971	-0.63%	-0.56%	-4,098.32090	-1,943.6480345	-6,041.9689298
199.28775	23.265169	-0.60%	0.36%	-3,882.88060	1,253.9516457	-2,628.9289526
200.485382	23.182114	1.19%	0.64%	7,729.30273	2,243.6390287	9,972.9417587
198.129379	23.034454	-1.04%	-0.44%	-6,788.13511	-1,535.7449229	-8,323.8800363
200.220337	23.135971	-1.44%	0.44%	-9,391.11780	1,542.5132282	-7,848.6045668
203.155502	23.034454	-0.91%	-0.52%	-5,944.19039	-1,813.5148923	-7,757.7052799
205.030487	23.154428	2.23%	0.88%	14,475.53087	3,096.0833284	17,571.6141940
200.563919	22.951401	-0.45%	-0.20%	-2,945.33490	-702.2358867	-3,647.5707824
201.476868	22.997543	-0.69%	-0.48%	-4,497.49997	-1,677.3225846	-6,174.8225581
202.880646	23.108286	-0.77%	-0.28%	-4,993.51633	-975.7092837	-5,969.2256128
204.451309	23.172886	0.88%	-0.63%	5,730.22117	-2,216.0697545	3,514.1514173
202.664673	23.320543	-0.19%	-0.32%	-1,225.61303	-1,104.5306583	-2,330.1436897
203.047531	23.394371	-1.43%	-0.24%	-9,292.74112	-826.4270381	-10,119.1681606
205.992508	23.449741	-1.01%	0.24%	-6,592.34473	828.3830328	-5,763.9616926
208.103104	23.394371	-1.60%	0.72%	-10,408.94785	2,502.9967812	-7,905.9510656
211.489853	23.228256	0.11%	1.45%	724.94237	5,078.6169146	5,803.5592805
211.254242	22.896027	-1.37%	0.45%	-8,877.92544	1,558.6577930	-7,319.2676429
214.179581	22.794516	2.21%	0.45%	14,341.50415	1,565.6919946	15,907.1961491
209.555969	22.693001	-0.69%	-0.16%	-4,475.42027	-568.3941435	-5,043.8144127
211.00882	22.729914	-3.25%	0.78%	-21,123.49893	2,720.9271486	-18,402.5717845
218.096451	22.554573	0.48%	-1.01%	3,116.12132	-3,543.9340107	-427.8126864
217.055878	22.785286	-0.20%	-0.56%	-1,290.94239	-1,973.4241475	-3,264.3665374
217.487823	22.914486	0.53%	-0.72%	3,450.89161	-2,518.9792518	931.9123533
216.339264	23.080599	-0.41%	-0.91%	-2,643.71165	-3,189.3877676	-5,833.0994214
217.222763	23.292856	0.64%	-0.12%	4,138.61631	-415.5327773	3,723.0835353
215.848434	23.320543	-0.84%	-0.35%	-5,452.33647	-1,242.0995591	-6,694.4360340
217.674332	23.403599	1.20%	-1.17%	7,801.99836	-4,091.9799011	3,710.0184572
215.09256	23.680456	1.23%	-0.04%	8,018.39825	-136.3378254	7,882.0604247
212.471512	23.689684	-1.33%	0.90%	-8,623.20393	3,164.3139600	-5,458.8899651
215.328156	23.477427	-0.87%	0.36%	-5,669.27026	1,242.5895101	-4,426.6807496
217.222763	23.394371	-1.50%	-1.67%	-9,779.21422	-5,837.8646658	-15,617.0788844
220.540787	23.791199	1.18%	0.31%	7,669.83309	1,089.5179815	8,759.3510752
217.968811	23.717369	-0.86%	0.12%	-5,572.46744	409.0282504	-5,163.4391888
219.853622	23.689684	-0.52%	-0.96%	-3,378.08429	-3,375.7612802	-6,753.8455744
221.002182	23.920397	2.17%	0.31%	14,100.32741	1,083.5856513	15,183.9130640
216.309814	23.846569	0.10%	0.08%	649.58834	271.1062463	920.6945870
216.093857	23.828112	-1.37%	-0.35%	-8,911.68060	-1,215.7185804	-10,127.3991787
219.097748	23.911167	2.43%	-0.12%	15,810.76755	-404.8292867	15,405.9382653
213.894913	23.938856	3.79%	2.01%	24,646.33129	7,019.2838402	31,665.6151326
206.080856	23.468199	-1.08%	1.49%	-7,044.24244	5,198.0189029	-1,846.2235385
208.338684	23.124762	0.87%	-0.16%	5,684.62078	-576.6111892	5,108.0095900
206.53244	23.162922	0.07%	0.33%	432.82734	1,157.0195061	1,589.8468433
206.395004	23.086603	-0.09%	1.17%	-555.94889	4,096.9943011	3,541.0454089
206.571686	22.819485	3.47%	-7.32%	22,564.74898	-25,629.5799521	-3,064.8309744
199.641144	24.622528	0.00%	-1.49%	–	-5,209.9540593	-5,209.9540593
199.641144	24.994587	0.92%	0.19%	5,967.12101	669.2639449	6,636.3849580
197.825073	24.946884	-3.78%	1.44%	-24,549.92673	5,023.2313609	-19,526.6953726
205.590027	24.59391	-3.84%	-0.12%	-24,950.66845	-406.7941358	-25,357.4625868
213.796753	24.622528	-0.64%	-0.08%	-4,181.09149	-270.9908489	-4,452.0823365
215.180893	24.641607	1.78%	-1.19%	11,589.89509	-4,150.7484397	7,439.1466530
211.411301	24.937346	-0.49%	-0.98%	-3,213.51871	-3,446.9852258	-6,660.5039362
212.461685	25.185385	0.25%	-0.38%	1,625.80053	-1,320.7383648	305.0621677
211.931595	25.280783	3.45%	0.04%	22,393.42935	132.1403198	22,525.5696712
204.873413	25.271242	-1.13%	0.61%	-7,329.03102	2,126.8279031	-5,202.2031143
207.209793	25.118605	-1.18%	-0.38%	-7,638.45245	-1,324.2363777	-8,962.6888313
209.673767	25.214003	0.16%	-0.79%	1,036.35786	-2,759.0052404	-1,722.6473817
209.339996	25.414341	-2.18%	-0.41%	-14,162.83127	-1,439.2373703	-15,602.0686411
214.002899	25.519279	1.01%	-0.56%	6,596.11200	-1,951.6761073	4,644.4358966
211.853043	25.662378	-1.38%	-1.18%	-8,941.16114	-4,114.6168185	-13,055.7779616
214.807861	25.967655	1.34%	0.78%	8,730.05254	2,721.1559944	11,451.2085318
211.961044	25.767321	1.44%	0.04%	9,344.16038	129.6443249	9,473.8047041
208.957153	25.75778	-1.45%	1.01%	-9,419.39163	3,535.3840362	-5,884.0075959
212.029755	25.5002	0.96%	0.26%	6,228.40803	918.9600990	7,147.3681313
210.017334	25.433422	2.61%	-0.22%	16,959.18157	-785.9348651	16,173.2467031
204.677094	25.490662	1.22%	-0.41%	7,920.27293	-1,434.9458501	6,485.3270778
202.21312	25.5956	-0.70%	-0.48%	-4,574.53759	-1,687.6728107	-6,262.2103968
203.646332	25.719618	-2.00%	0.41%	-12,988.92572	1,433.8632599	-11,555.0624636
207.798767	25.614681	2.04%	-0.33%	13,285.73357	-1,169.2749970	12,116.4585738
203.63652	25.700541	-0.89%	0.34%	-5,776.44990	1,173.1943880	-4,603.2555093
205.462433	25.614681	0.25%	0.56%	1,650.17844	1,966.2952227	3,616.4736664
204.942139	25.471582	-0.90%	-0.19%	-5,849.68440	-654.1701276	-6,503.8545243
206.803268	25.519279	0.36%	0.11%	2,310.72692	392.9262410	2,703.6531608
206.070694	25.490662	0.47%	-0.30%	3,074.63791	-1,044.7577305	2,029.8801818
205.100525	25.56698	-1.38%	1.17%	-8,972.77977	4,095.8928730	-4,876.8868964
207.97142	25.271242	0.78%	-0.49%	5,082.72942	-1,709.2558447	3,373.4735748
206.357788	25.395262	1.78%	-1.00%	11,584.44668	-3,514.2934283	8,070.1532488
202.744431	25.652838	-1.24%	-0.30%	-8,055.59923	-1,038.1995400	-9,093.7987739
205.28862	25.729158	-0.37%	0.82%	-2,435.74310	2,878.5158860	442.7727853
206.060791	25.519279	-2.51%	0.26%	-16,288.08062	918.2712536	-15,369.8093631
211.357101	25.452501	2.67%	-0.67%	17,347.91478	-2,345.5287735	15,002.3860086
205.862808	25.624222	1.26%	-0.96%	8,197.81778	-3,355.4453053	4,842.3724703
203.298798	25.872259	-0.71%	-0.18%	-4,619.73733	-644.0847628	-5,263.8220902
204.754044	25.919958	-0.43%	0.52%	-2,785.01775	1,812.8161987	-972.2015471
205.635117	25.786398	-0.74%	0.71%	-4,783.50096	2,477.6254893	-2,305.8754755
207.159653	25.605141	0.87%	-0.37%	5,671.26846	-1,299.1944411	4,372.0740162
205.367813	25.700541	0.83%	0.07%	5,370.54710	260.0592124	5,630.6063091
203.684891	25.681459	-0.68%	-2.14%	-4,424.10134	-7,506.3592822	-11,930.4606218
205.080734	26.244314	-0.65%	-0.18%	-4,239.43380	-634.9703996	-4,874.4042018
206.427094	26.292013	-1.43%	-1.08%	-9,309.85575	-3,768.8764102	-13,078.7321620
209.426682	26.578213	-1.05%	-1.66%	-6,840.50560	-5,806.5505716	-12,647.0561741
211.654099	27.026588	2.23%	-0.98%	14,514.93221	-3,425.3921609	11,089.5400502
207.03096	27.293707	0.17%	0.42%	1,120.84227	1,474.2270438	2,595.0693094
206.674576	27.179226	-2.56%	-0.31%	-16,625.45474	-1,102.1660120	-17,727.6207471
212.099579	27.265085	5.84%	-0.24%	37,987.88264	-855.1556946	37,132.7269416
200.388306	27.331865	0.24%	0.49%	1,544.98655	1,718.6841813	3,263.6707308
199.913132	27.198307	-0.16%	-0.45%	-1,060.47088	-1,588.6751951	-2,649.1460739
200.239822	27.322325	-2.48%	0.46%	-16,138.71647	1,595.9191872	-14,542.7972869
205.33812	27.198307	-1.42%	1.21%	-9,206.26865	4,224.3624113	-4,981.9062412
208.288208	26.873949	0.54%	2.40%	3,541.04064	8,396.9521931	11,937.9928320
207.159653	26.244314	-0.96%	-0.65%	-6,244.98107	-2,275.1959009	-8,520.1769696
209.169281	26.416033	-0.12%	-0.14%	-768.14911	-504.8727058	-1,273.0218153
209.416763	26.454193	-1.12%	0.29%	-7,261.72581	1,012.6802496	-6,249.0455576
211.782776	26.377872	0.15%	-0.36%	943.25291	-1,261.2721238	-318.0192118
211.475891	26.473272	-1.12%	0.33%	-7,281.04583	1,138.8251664	-6,142.2206660
213.871597	26.387413	1.91%	0.04%	12,386.74403	126.5966413	12,513.3406727
209.872162	26.377872	-0.93%	3.17%	-6,074.74491	11,100.7322726	5,025.9873661
211.852081	25.56698	0.08%	-0.85%	547.18511	-2,978.1708946	-2,430.9857857
211.673889	25.786398	-2.06%	-0.70%	-13,397.76620	-2,443.0373093	-15,840.8035100
216.128723	25.967655	-1.23%	-0.44%	-7,969.50716	-1,536.2372928	-9,505.7444563
218.811523	26.082136	0.61%	0.70%	3,994.46434	2,449.3630081	6,443.8273482
217.475067	25.900877	-1.32%	-0.88%	-8,555.31361	-3,066.8123239	-11,622.1259381
220.375656	26.129835	-0.86%	0.18%	-5,615.68694	640.0798616	-4,975.6070795
222.296188	26.082136	0.29%	1.03%	1,857.88548	3,621.5856987	5,479.4711780
221.662613	25.815018	-1.53%	-0.88%	-9,947.65789	-3,076.9226634	-13,024.5805579
225.107681	26.043976	2.43%	1.34%	15,781.50294	4,677.0318959	20,458.5348359
219.77179	25.700541	-0.28%	-0.55%	-1,810.23590	-1,937.9470467	-3,748.1829433
220.385559	25.843637	-0.99%	-0.99%	-6,417.91215	-3,453.9503238	-9,871.8624741
222.583282	26.101215	0.01%	0.11%	57.79699	384.1830710	441.9800613
222.563492	26.072596	-2.17%	0.00%	-14,086.13960	–	-14,086.1396040
227.4935	26.072596	-0.54%	0.04%	-3,488.53063	128.0989410	-3,360.4316878
228.721039	26.063057	-1.15%	-0.69%	-7,480.87807	-2,417.2836067	-9,898.1616748
231.384048	26.244314	-0.11%	-0.86%	-722.28287	-3,027.0266554	-3,749.3095228
231.641449	26.473272	-0.96%	-1.00%	-6,217.95792	-3,496.2708660	-9,714.2287828
233.878754	26.740391	2.04%	-1.58%	13,250.97604	-5,530.1925267	7,720.7835129
229.206131	27.169687	2.02%	-1.08%	13,117.41644	-3,768.6764359	9,348.7400013
224.672104	27.465425	-0.77%	-0.62%	-4,973.76972	-2,174.6441799	-7,148.4138977
226.404541	27.637142	-0.69%	-0.65%	-4,515.84374	-2,280.5032741	-6,796.3470132
227.98848	27.818399	-0.13%	0.10%	-873.75668	360.4184444	-513.3382386
228.295364	27.789782	1.40%	-0.58%	9,117.46867	-2,030.6842190	7,086.7844520
225.13739	27.951958	-0.32%	0.51%	-2,108.17649	1,801.0068805	-307.1696095
225.869965	27.808861	-0.72%	-0.58%	-4,666.85052	-2,029.3239733	-6,696.1744936
227.503387	27.971039	2.09%	-1.58%	13,600.55785	-5,521.9977075	8,078.5601404
222.840683	28.419416	-2.81%	0.20%	-18,297.16935	706.3509264	-17,590.8184254
229.295227	28.362177	0.10%	-0.64%	646.09679	-2,222.5759521	-1,576.4791580
229.067535	28.543434	-1.83%	0.00%	-11,912.94909	–	-11,912.9490855
233.344177	28.543434	0.90%	0.17%	5,843.05964	585.8402609	6,428.8998966
231.265259	28.495737	-0.39%	0.13%	-2,549.78050	469.3548203	-2,080.4256749
232.176025	28.457575	0.89%	0.44%	5,759.87786	1,531.9749652	7,291.8528236
230.136703	28.333557	-0.12%	0.00%	-754.05746	–	-754.0574644
230.403992	28.333557	0.02%	2.34%	139.67603	8,201.2348779	8,340.9109038
230.354492	27.684843	-0.05%	3.64%	-307.14769	12,750.0044830	12,442.8567891
230.463394	26.711771	3.59%	0.54%	23,341.38025	1,885.1017469	25,226.4819993
222.47438	26.568672	-0.26%	-0.25%	-1,702.06402	-877.5146748	-2,579.5786968
223.058472	26.635452	-0.16%	-0.61%	-1,036.81496	-2,118.1576220	-3,154.9725845
223.414841	26.797628	-0.12%	0.11%	-805.49980	374.1621235	-431.3376804
223.692047	26.769011	0.00%	0.14%	–	499.6605046	499.6605046
223.692047	26.73085	0.87%	-0.64%	5,628.97268	-2,234.0745797	3,394.8981042
221.771515	26.902571	-2.43%	-0.56%	-15,824.65010	-1,974.5902526	-17,799.2403528
227.305405	27.055208	-1.32%	-0.32%	-8,603.72434	-1,107.2150882	-9,710.9394297
230.354492	27.141068	0.23%	-1.49%	1,511.98460	-5,211.2001463	-3,699.2155510
229.819901	27.551283	-0.31%	0.07%	-2,037.56671	242.5396093	-1,795.0270985
230.542587	27.532204	-1.33%	0.35%	-8,620.36385	1,216.9784790	-7,403.3853671
233.641159	27.436804	-1.34%	-0.35%	-8,722.13442	-1,212.7616082	-9,934.8960282
236.818954	27.532204	-0.62%	-0.52%	-4,023.53301	-1,809.7236370	-5,833.2566502
238.294006	27.675303	1.20%	0.48%	7,815.86059	1,697.2654310	9,513.1260215
235.462708	27.541744	-0.16%	-0.48%	-1,036.78027	-1,689.0745514	-2,725.8548224
235.838882	27.675303	-1.10%	-0.58%	-7,177.54846	-2,039.0602153	-9,216.6086759
238.472183	27.837481	1.60%	0.10%	10,390.11188	360.2089277	10,750.3208068
234.72023	27.808861	0.44%	0.14%	2,891.33054	480.9259053	3,372.2564461
233.680771	27.770702	0.21%	0.62%	1,352.12540	2,177.6634966	3,529.7888934
233.195679	27.598984	-1.89%	1.12%	-12,317.27515	3,914.7100832	-8,402.5650628
237.700012	27.293707	0.76%	0.70%	4,909.57887	2,463.9423365	7,373.5212024
235.918076	27.102907	-1.14%	2.60%	-7,441.86818	9,100.7571046	1,658.8889285
238.650391	26.416033	0.55%	-0.61%	3,578.76029	-2,135.6966324	1,443.0636535
237.343628	26.578213	-0.16%	0.22%	-1,028.62059	755.4286003	-273.1919921
237.719818	26.520971	-0.88%	-2.18%	-5,741.51235	-7,635.4693339	-13,376.9816801
239.838333	27.112446	-0.53%	-0.18%	-3,416.13196	-614.7002813	-4,030.8322428
241.105484	27.160147	0.14%	-1.39%	881.92630	-4,849.3279874	-3,967.4016875
240.778793	27.541744	-0.63%	-0.72%	-4,089.74461	-2,527.5192926	-6,617.2639059
242.303345	27.742083	3.51%	1.01%	22,787.22761	3,525.5343764	26,312.7619870
234.096558	27.465425	1.55%	0.58%	10,048.54522	2,014.4037770	12,062.9489976
230.532684	27.308254	2.04%	0.58%	13,272.84045	2,026.0387384	15,298.8791874
225.919464	27.151085	-2.06%	1.21%	-13,362.63353	4,229.2367432	-9,133.3967852
230.661377	26.826921	-0.67%	0.18%	-4,322.98698	641.9457725	-3,681.0412079
232.205719	26.777807	3.50%	3.22%	22,773.80594	11,264.6914808	34,038.4974244
224.345413	25.942841	-9.91%	0.30%	-64,418.60850	1,063.4270709	-63,355.1814287
249.025192	25.864256	3.80%	0.19%	24,675.02981	665.8843868	25,340.9141935
239.917542	25.815142	4.64%	0.77%	30,170.56262	2,684.0591586	32,854.6217826
229.275436	25.618679	3.16%	-0.27%	20,526.94392	-936.9053149	19,590.0386058
222.256592	25.687441	2.52%	-0.11%	16,353.88404	-401.0513083	15,952.8327295
216.801895	25.716909	2.84%	0.00%	18,435.36643	–	18,435.3664297
210.822525	25.716909	1.97%	1.12%	12,791.45464	3,920.4288732	16,711.8835147
206.753784	25.432039	0.61%	-0.04%	3,945.34532	-135.1335842	3,810.2117408
205.506409	25.441862	0.04%	1.85%	281.87812	6,468.7191768	6,750.5972957
205.417328	24.980177	-4.82%	2.13%	-31,307.32575	7,449.8137762	-23,857.5119748
215.811935	24.459551	5.06%	-2.01%	32,891.55115	-7,024.7830084	25,866.7681367
205.417328	24.960529	-0.93%	0.00%	-6,051.53908	–	-6,051.5390792
207.347748	24.960529	2.17%	0.04%	14,109.75512	137.7936961	14,247.5488117
202.942413	24.950706	3.88%	1.48%	25,230.55788	5,173.7457139	30,404.3035898
195.359299	24.587254	0.14%	-0.28%	890.54313	-976.0560233	-85.5128894
195.09201	24.656013	4.26%	1.21%	27,682.27318	4,233.8654063	31,916.1385817
187.122803	24.36132	5.90%	-1.39%	38,346.65022	-4,870.7899938	33,475.8602228
176.698502	24.70513	-17.41%	-1.45%	-113,150.68933	-5,074.4349980	-118,225.1243264
213.940903	25.068584	23.84%	0.20%	154,948.16091	687.0889501	155,635.2498613
172.758438	25.019468	1.27%	0.67%	8,222.56425	2,351.7656752	10,574.3299262
170.600327	24.852476	0.97%	1.12%	6,322.15531	3,916.8641277	10,239.0194384
168.956985	24.577429	-0.39%	0.52%	-2,503.96428	1,828.0510114	-675.9132657
169.610367	24.449728	7.18%	0.16%	46,637.74009	563.3594351	47,201.0995202
158.255478	24.410437	0.28%	-0.04%	1,834.87741	-140.7724627	1,694.1049447
157.809998	24.420259	-6.07%	-0.28%	-39,425.60298	-982.7546801	-40,408.3576563
168	24.489021	0.00%	0.16%	–	562.4827401	562.4827401
168	24.449728	-7.78%	1.06%	-50,559.90998	3,694.6968475	-46,865.2131328
182.169998	24.194326	9.43%	0.24%	61,302.32468	854.6765084	62,157.0011837
166.470001	24.135389	-8.94%	-0.61%	-58,098.56226	-2,123.7620937	-60,222.3243506
182.809998	24.282734	-2.48%	0.69%	-16,089.62069	2,423.6119295	-13,666.0087601
187.449997	24.115742	-4.12%	-1.41%	-26,764.71586	-4,919.6794332	-31,684.3952900
195.5	24.459551	2.89%	0.32%	18,815.78947	1,128.1238816	19,943.9133552
190	24.380966	4.38%	-0.04%	28,496.85357	-140.9568998	28,355.8966659
182.020004	24.390789	-4.89%	-0.40%	-31,757.82154	-1,403.9434243	-33,161.7649678
191.369995	24.489021	4.47%	0.00%	29,061.58698	–	29,061.5869824
183.179993	24.489021	0.15%	-0.52%	959.44916	-1,815.6216588	-856.1724971
182.910004	24.61672	-3.48%	-0.44%	-22,604.20792	-1,529.6094707	-24,133.8173862
189.5	24.724775	-4.08%	-0.75%	-26,518.51971	-2,622.2516866	-29,140.7713922
197.559998	24.911415	1.28%	-0.39%	8,296.99130	-1,374.6896447	6,922.3016503
195.070007	25.009645	0.22%	-0.59%	1,402.56079	-2,050.0124140	-647.4516207
194.649994	25.156994	0.26%	-0.35%	1,707.51392	-1,225.6668056	481.8471107
194.139999	25.245401	4.65%	-0.04%	30,238.27692	-136.1045252	30,102.1723935
185.509995	25.255222	2.39%	0.08%	15,534.28308	272.4348033	15,806.7178849
181.179993	25.235579	-0.42%	-0.43%	-2,750.77004	-1,492.2308689	-4,243.0009060
181.949997	25.343632	1.46%	0.74%	9,459.68935	2,596.6258131	12,056.3151620
179.339996	25.156994	0.04%	-0.74%	290.08508	-2,577.5034928	-2,287.4184127
179.259995	25.343632	-2.88%	-0.31%	-18,734.44855	-1,081.9041110	-19,816.3526565
184.580002	25.422216	-0.72%	0.08%	-4,684.79674	270.6714214	-4,414.1253157
185.919998	25.402571	1.73%	1.41%	11,274.95869	4,941.1753528	16,216.1340395
182.75	25.048939	-0.95%	-0.39%	-6,165.31165	-1,367.1717878	-7,532.4834409
184.5	25.147169	2.53%	-0.04%	16,435.13198	-136.6916095	16,298.4403677
179.949997	25.156994	-1.39%	-1.31%	-9,011.94315	-4,585.7436631	-13,597.6868132
182.479996	25.49098	0.26%	0.12%	1,714.27143	405.1016613	2,119.3730899
182	25.46151	-0.01%	0.54%	-35.69447	1,900.7039413	1,865.0094730
182.009995	25.323986	-1.35%	-0.46%	-8,772.37534	-1,621.6030100	-10,393.9783488
184.5	25.441862	1.56%	-0.88%	10,161.82627	-3,080.7420802	7,081.0841851
181.660004	25.667793	-4.89%	-1.36%	-31,785.32670	-4,756.5377564	-36,541.8644579
191	26.021427	1.23%	-3.14%	8,027.25031	-11,005.4877473	-2,978.2374370
188.669998	26.866215	-1.21%	0.26%	-7,862.07316	898.0965467	-6,963.9766099
190.979996	26.797453	2.27%	0.00%	14,722.87764	–	14,722.8776439
186.75	26.797453	-0.74%	-0.11%	-4,802.27147	-384.4570907	-5,186.7285630
188.139999	26.826921	-0.46%	-0.33%	-2,991.89151	-1,149.6348419	-4,141.5263554
189.009995	26.915329	3.09%	-0.04%	20,101.99318	-127.7151470	19,974.2780373
183.339996	26.925154	-1.65%	1.11%	-10,704.92547	3,873.1041870	-6,831.8212847
186.410004	26.630461	-1.23%	1.16%	-7,990.22324	4,048.5273405	-3,941.6958988
188.729996	26.325943	1.45%	2.13%	9,398.52728	7,469.5214683	16,868.0487516
186.039993	25.775848	-2.70%	1.35%	-17,541.85488	4,731.5573085	-12,810.2975693
191.199997	25.432039	-1.11%	3.15%	-7,227.85522	11,015.9375727	3,788.0823535
193.350006	24.656013	2.88%	2.57%	18,746.38738	9,011.0323779	27,757.4197627
187.929993	24.037157	-2.86%	1.41%	-18,580.11460	4,931.6228618	-13,648.4917353
193.460007	23.703171	0.23%	3.83%	1,515.50597	13,403.5980247	14,919.1039963
193.009995	22.828915	-0.52%	-0.21%	-3,350.34285	-751.4020765	-4,101.7449287
194.009995	22.878031	0.88%	5.86%	5,711.79368	20,522.7337436	26,234.5274209
192.320007	21.610849	-1.59%	9.24%	-10,343.81094	32,323.7521867	21,979.9412446
195.429993	19.783749	-0.80%	-4.55%	-5,180.22614	-15,924.1735132	-21,104.3996553
197	20.726768	2.36%	6.67%	15,333.03202	23,356.8898883	38,689.9219088
192.460007	19.430119	-0.28%	9.10%	-1,818.62927	31,853.3296895	30,034.7004149
193	17.809303	-0.68%	-1.52%	-4,448.62497	-5,323.2101058	-9,771.8350793
194.330002	18.084351	0.13%	14.21%	870.80303	49,720.8216379	50,591.6246672
194.070007	15.834859	1.36%	-6.33%	8,826.46833	-22,167.3179212	-13,340.8495910
191.470001	16.905577	2.02%	7.50%	13,161.41086	26,233.5674665	39,394.9783277
187.669998	15.726805	-2.99%	9.88%	-19,453.66336	34,591.6435653	15,137.9802043
193.460007	14.312276	-1.14%	-6.96%	-7,439.92602	-24,361.4231169	-31,801.3491379
195.699997	15.382995	1.24%	12.82%	8,070.33666	44,884.7227848	52,955.0594418
193.300003	13.634481	-0.70%	-3.61%	-4,541.25466	-12,638.8917069	-17,180.1463654
194.660004	14.145283	1.32%	-8.80%	8,593.61801	-30,810.6245400	-22,217.0065254
192.119995	15.510695	1.12%	-2.17%	7,252.61447	-7,589.8400858	-337.2256121
190	15.854504	-1.65%	6.75%	-10,699.84225	23,611.0984870	12,911.2562420
193.179993	14.852547	2.16%	-7.30%	14,024.28062	-25,536.4916564	-11,512.2110332
189.100006	16.021498	-0.30%	-2.22%	-1,919.21698	-7,763.7848580	-9,683.0018374
189.660004	16.384953	0.25%	-1.59%	1,614.78565	-5,575.2200112	-3,960.4343630
189.190002	16.650177	0.14%	5.94%	894.54219	20,781.2556368	21,675.7978284
188.929993	15.716981	1.05%	2.43%	6,813.89952	8,514.7410970	15,328.6406167
186.970001	15.343702	-2.97%	-5.16%	-19,295.24423	-18,063.1537815	-37,358.3980153
192.690002	16.178667	-5.54%	2.11%	-36,036.75833	7,377.5609619	-28,659.1973714
204	15.844681	1.65%	5.08%	10,753.46136	17,784.9967493	28,538.4581071
200.679993	15.078479	0.53%	-4.54%	3,451.55153	-15,889.2976675	-12,437.7461333
199.619995	15.795566	3.37%	-2.78%	21,877.58963	-9,734.0157961	12,143.5738341
193.119995	16.247431	0.56%	-0.60%	3,621.42561	-2,103.2984966	1,518.1271173
192.050003	16.345659	0.83%	2.21%	5,391.93203	7,739.5119781	13,131.4440126
190.470001	15.992029	0.78%	-0.67%	5,055.55899	-2,348.9662972	2,706.5926975
189	16.100082	0.92%	2.44%	5,969.67458	8,531.2408280	14,500.9154113
187.279999	15.716981	-1.62%	2.30%	-10,550.49353	8,056.2642950	-2,494.2292321
190.369995	15.363349	-0.25%	-1.64%	-1,634.82913	-5,723.2717087	-7,358.1008425
190.850006	15.61875	-0.55%	1.15%	-3,590.21774	4,007.6327227	417.4149871
191.910004	15.441934	-0.52%	-0.25%	-3,402.94478	-888.3372100	-4,291.2819892
192.919998	15.481227	-5.42%	0.00%	-35,243.64566	–	-35,243.6456563
203.979996	15.481227	3.77%	2.87%	24,502.68443	10,052.2433072	34,554.9277376
196.570007	15.049009	0.13%	-5.95%	860.91311	-20,841.0282760	-19,980.1151706
196.309998	16.001852	1.21%	-3.95%	7,875.30468	-13,826.5982985	-5,951.2936229
193.960007	16.659998	0.88%	3.22%	5,713.32983	11,276.3111076	16,989.6409414
192.270004	16.139999	0.38%	-1.94%	2,443.22967	-6,804.3746540	-4,361.1449872
191.550003	16.459999	0.83%	-3.12%	5,406.12357	-10,918.2077693	-5,512.0841993
189.970001	16.99	-1.68%	2.41%	-10,900.07672	8,438.8185654	-2,461.2581579
193.210007	16.59	1.57%	2.28%	10,217.13747	7,983.9924774	18,201.1299487
190.220001	16.219999	-4.36%	0.87%	-28,334.75151	3,047.2419154	-25,287.5095971
198.889999	16.08	0.51%	0.63%	3,317.64748	2,190.2377972	5,507.8852776
197.880005	15.98	2.91%	2.96%	18,930.74641	10,373.7113402	29,304.4577461
192.279999	15.52	0.92%	-0.77%	6,004.60175	-2,685.4219949	3,319.1797581
190.520004	15.64	0.73%	2.62%	4,742.53598	9,186.3517060	13,928.8876833
189.139999	15.24	-1.12%	-1.42%	-7,272.06194	-4,980.5950841	-12,252.6570209
191.279999	15.46	-1.41%	1.91%	-9,146.42259	6,690.8371786	-2,455.5854064
194.009995	15.17	-2.88%	-2.07%	-18,709.95241	-7,230.4712718	-25,940.4236824
199.759995	15.49	0.93%	-0.71%	6,042.83580	-2,467.9487179	3,574.8870848
197.919998	15.6	-0.93%	0.52%	-6,019.44174	1,804.1237113	-4,215.3180263
199.770004	15.52	0.74%	1.17%	4,818.46009	4,106.9100391	8,925.3701276
198.300003	15.34	-8.93%	-2.60%	-58,032.52048	-9,111.1111111	-67,143.6315935
217.740005	15.75	3.54%	-5.35%	22,995.72625	-18,719.9320144	4,275.7942386
210.300003	16.639999	0.80%	-7.25%	5,202.98459	-25,362.3564458	-20,159.3718607
208.630005	17.940001	1.17%	-4.52%	7,596.26900	-15,832.8889924	-8,236.6199962
206.220001	18.790001	0.65%	5.50%	4,251.25624	19,258.8837315	23,510.1399730
204.880005	17.809999	1.55%	-0.78%	10,084.27881	-2,729.8438591	7,354.4349513
201.75	17.950001	0.44%	0.39%	2,880.11225	1,370.2853115	4,250.3975644
200.860001	17.879999	0.99%	-4.39%	6,405.25183	-15,347.6301953	-8,942.3783681
198.899994	18.700001	2.10%	-1.16%	13,680.66791	-4,069.7489429	9,610.9189675
194.800003	18.92	1.38%	-2.87%	8,964.38149	-10,061.6016427	-1,097.2201502
192.149994	19.48	1.12%	-4.84%	7,286.04079	-16,927.1942808	-9,641.1534911
190.020004	20.469999	-0.93%	1.54%	-6,065.87828	5,381.9270833	-683.9511927
191.809998	20.16	-2.79%	5.72%	-18,118.69665	20,005.2438385	1,886.5471873
197.309998	19.07	3.83%	2.58%	24,865.83574	9,037.1167294	33,902.9524696
190.039993	18.59	-0.40%	2.71%	-2,589.13256	9,475.1381215	6,886.0055627
190.800003	18.1	-0.75%	-3.98%	-4,868.92049	-13,925.7294430	-18,794.6499364
192.240005	18.85	1.59%	-0.58%	10,339.30081	-2,030.5723645	8,308.7284407
189.229996	18.959999	-0.41%	0.96%	-2,634.22421	3,354.5951355	720.3709250
190	18.780001	-1.05%	0.59%	-6,804.31636	2,062.1505088	-4,742.1658498
192.009995	18.67	-0.81%	-0.53%	-5,238.45515	-1,864.6776771	-7,103.1328269
193.570007	18.77

Sorting the returns in decending order of the returns
-118225
-67143.6
-63355.2
-60222.3
-47639.4	5th Highest Loss	So, VAR for 5-day @99%	-106,524.97
-46865.2
-40408.4
-37358.4
-36541.9
-35243.6
-33161.8
-31801.3
-31684.4
-29140.8
-28659.2
-25940.4
-25357.5
-25287.5
-24133.8
-23857.5
-22217
-21809.3
-21104.4
-21098.6
-20984
-20767.4
-20480.3
-20159.4
-19980.1
-19816.4
-19526.7
-19461.5
-18871
-18794.6
-18402.6
-18155.7
-17799.2
-17727.6
-17590.8
-17440.7
-17364.8
-17180.1
-17060.9
-15840.8
-15763.5
-15617.1
-15602.1
-15369.8
-15069.5
-14849.4
-14600.2
-14542.8
-14086.1
-13666
-13648.5
-13597.7
-13518.8
-13377
-13340.8
-13208.4
-13078.7
-13055.8
-13024.6
-12810.3
-12647.1
-12437.7
-12252.7
-12248.3
-12217.2
-12086.7
-12083.9
-11967.7
-11930.5
-11912.9
-11701.6
-11622.1
-11555.1
-11512.2
-10782.4
-10394
-10127.4
-10119.2
-10021.2
-9934.9
-9898.16
-9871.86
-9848.9
-9771.84
-9726.89
-9714.23
-9710.94
-9683
-9641.15
-9558.05
-9505.74
-9494.07
-9486.01
-9470.32
-9465.89
-9444.09
-9303.45
-9216.61
-9133.4
-9093.8
-9063.19
-8962.69
-8942.38
-8670.03
-8648.26
-8639.93
-8578.79
-8565.27
-8560.13
-8520.18
-8402.57
-8323.88
-8236.62
-8184.74
-7905.95
-7848.6
-7828.81
-7757.71
-7532.48
-7403.39
-7358.1
-7319.27
-7288.97
-7148.41
-7126.16
-7103.13
-7087.81
-7084.13
-6963.98
-6834.21
-6831.82
-6796.35
-6753.85
-6696.17
-6694.44
-6660.5
-6617.26
-6503.85
-6262.21
-6249.05
-6243.85
-6174.82
-6173.13
-6142.22
-6051.54
-6041.97
-5969.23
-5951.29
-5884.01
-5836.93
-5833.26
-5833.1
-5784.34
-5763.96
-5637.41
-5602.78
-5514.85
-5512.08
-5458.89
-5341.45
-5291.96
-5263.82
-5209.95
-5202.2
-5186.73
-5163.44
-5043.81
-4981.91
-4975.61
-4971.25
-4876.89
-4874.4
-4742.17
-4603.26
-4600.32
-4452.08
-4428.28
-4426.68
-4414.13
-4361.14
-4352.19
-4291.28
-4243
-4215.32
-4202.02
-4141.53
-4101.74
-4030.83
-4000.79
-3967.4
-3960.43
-3941.7
-3939.83
-3762.79
-3749.31
-3748.18
-3699.22
-3681.04
-3666.93
-3647.57
-3601.2
-3360.43
-3264.37
-3171.15
-3154.97
-3064.83
-2986.67
-2978.24
-2849.38
-2725.85
-2649.15
-2628.93
-2617.98
-2579.58
-2494.23
-2461.26
-2455.59
-2430.99
-2419.68
-2363.56
-2330.14
-2305.88
-2287.42
-2236.28
-2080.43
-1947.34
-1920.03
-1867.85
-1865.24
-1846.22
-1809.79
-1795.03
-1722.65
-1648.4
-1593.05
-1576.48
-1555.73
-1436.46
-1407.09
-1346.44
-1289.51
-1273.02
-1236.94
-1126.13
-1097.22
-972.202
-907.259
-856.172
-754.057
-704.472
-699.859
-683.951
-675.913
-647.452
-513.338
-431.338
-427.813
-337.226
-318.019
-307.17
-273.442
-273.192
-175.27
-85.5129
-82.1413
45.31667
131.4397
155.5549
185.6666
207.6499
305.0622
417.415
441.9801
442.7728
481.8471
492.9021
499.6605
562.4827
662.3556
664.5022
709.1361
720.3709
920.6946
931.9124
954.2736
1240.238
1362.559
1443.064
1481.826
1518.127
1589.847
1594.513
1606.324
1658.889
1694.105
1813.89
1824.012
1865.009
1886.547
1967.895
2029.88
2119.373
2306.088
2574.174
2595.069
2703.653
2706.593
3055.951
3263.671
3264.082
3314.952
3319.18
3372.256
3373.474
3388.798
3394.898
3492.451
3514.151
3529.789
3541.045
3574.887
3616.474
3710.018
3715.778
3723.084
3788.082
3810.212
4206.241
4250.398
4275.794
4372.074
4644.436
4713.013
4715.364
4842.372
4975.58
5025.987
5108.01
5121.203
5225.692
5258.932
5298.848
5305.5
5479.471
5507.885
5560.759
5630.606
5666.49
5722.757
5803.559
6239.574
6322.679
6427.022
6428.9
6443.827
6485.327
6636.385
6651.291
6750.597
6886.006
6922.302
7081.084
7086.784
7147.368
7224.01
7252.26
7291.853
7354.435
7373.521
7439.147
7720.784
7882.06
8070.153
8078.56
8102.075
8203.682
8263.511
8308.728
8340.911
8444.28
8448.543
8566.36
8759.351
8848.604
8884.875
8925.37
9066.047
9117.342
9143.412
9348.74
9473.805
9513.126
9610.919
9972.942
10146.64
10180.59
10239.02
10545.35
10574.33
10617.96
10750.32
11089.54
11451.21
11937.99
11957.96
12056.32
12062.95
12116.46
12143.57
12230.59
12388.82
12442.86
12513.34
12608.82
12860.65
12911.26
13131.44
13682.77
13928.89
14136.71
14201.83
14247.55
14309.04
14314.99
14448.75
14500.92
14662.07
14722.88
14919.1
15002.39
15011.52
15137.98
15183.91
15298.88
15328.64
15405.94
15806.72
15907.2
15952.83
15992.35
16046.67
16173.25
16216.13
16298.44
16711.88
16868.05
16989.64
17571.61
18201.13
18277.89
18435.37
19590.04
19943.91
19974.28
20458.53
21649.98
21675.8
21979.94
22525.57
23510.14
24592.75
25226.48
25340.91
25866.77
26234.53
26312.76
27581.05
27757.42
28355.9
28538.46
29061.59
29304.46
30034.7
30102.17
30404.3
31337.24
31665.62
31916.14
32854.62
32929.35
33475.86
33902.95
34038.5
34554.93
34816.41
35461.78
37132.73
38123.62
38689.92
39394.98
47201.1
50591.62
52955.06
55869.23
62157
155635.2

Part A

Problem 1: Option Properties

From the question, the following details have been provided,

Strike Price K = $100

Price of European Put Option = $3.59

Spot Price of Stock S = $102

Dividend expected in 4 months = $1.50

Risk free interest rate = 8%

(a.) Price of Call Option

As per Put call parity theorem we have the formula as,

Expiry period = 6 months

c + 100 * 0.9608 = 3.59 + 102 – 1.5 * 0.9737

c = 3.59 + 102 – 1.4605 – 96.08 = 8.0495

Based on the above computations we get that, the price of the European call option is $10.972

(b.) Arbitrage opportunity when Call Price is $6.1

The Put call parity holds good only when the price of the Call option is $8.0495 (i.e. based on the computations made in part a)

Since the price of the call option is lower i.e. $6.1 an investor can make gain from arbitrage in the following manner,

Buy a call at the Price of $6.1 So, there is an outflow of $6.1
The investor needs to take short position of the stock. So there will be an inflow of $102
Out of these proceeds the investor should invest the amount equivalent to the present value of the exercise price of the option. So, the invested amount will be = 100 * 0.9608 = 96.08 So, there is an outflow of $96.08
Also since there is a dividend expected to arise in 4 months time, the investor should also invest an amount equivalent tot eh present value of the dividend. So, the invested amount = 1.5 * 0.9737 = $1.4605 So there is an outflow of $1.4605
The investor should also take a short position of the Put option. So there is an inflow of $3.59
With this, the arbitrage profit to the investor = -6.1 + 102 – 96.08 – 1.49 + 3.59 = 1.95

Therefore based on the above method, the arbitrage profit to the investor is $1.95

(c.) Arbitrage Opportunity when call price is $8.8

In this case the price of the call option is overvalued. In such case the investor needs to follow the following process to obtain arbitrage profit,

Sell a call at the Price of $8.8 So, there is an inflow of $8.8
The investor needs to take long position of the stock. So there will be an outflow of $102
Investor should borrow at the risk free rate an amount equal to the present value of the exercise price and the dividend so that he can pay them when the option gets exercised. So as on current date there is a cash inflow of 96.08 + 1.46 = 97.54
The investor should take a long position of the Put option. So there is a cash outflow of $3.59
With this the arbitrage profit = 8.8 – 102 + 96.08 + 1.46 – 3.59 = 0.75

Therefore based on the above computations, the arbitrage profit to the investor is $0.75

Problem 2: Option Valuation

Based on the instructions provided, the Spot Price and the Strike price are arrived at as follows,

Student Id: 5050494

Spot Price = last digit of student number*10+6 = 4*10 + 6 = 46

Strike Price = Spot Price + 2 = 48

Given, Risk free rate = 6%

Periods = 2 periods of 4 months each

Share price Expected to go up = 11%,

So, u = 1 + 11% = 1.11

Share price expected to go down = 10%

So, d = 1 – 10% = 0.90

(a.) European call option using the no-arbitrage approach.

Spot Price = 46

Strike Price = 48

RFR = 6%

u = 1.11

d = 0.90

The Price at Node B = 46 * 1.11 = 51.06

The Price at Node C = 46 * 0.90 = 41.4

At Node C the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

The Price at Node D = 51.06 * 1.11 = 56.6766

At Node D the call option gets exercised since the strike price is lower than the stock price. Hence value of the option = 56.6766 – 48 = 8.6766

The Price at Node E = 51.06 * 0.9 or 41.4 * 1.11 = 45.954

At Node E the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

The Price at Node F = 41.1 * 0.9 = 37.26

At Node F the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

From Period 1 to period 2 when stock price is $51.06

Let X shares be purchased and one call option be shorted to create the no arbitrage portfolio

So, X * 56.6766 – 8.6766 = X * 45.954 – 0

=> X = 8.6766/10.7226 = 0.8092 shares

So, Value of option at Node B when stock price is $51.06 is given by

0.8092*51.06 – Value of call at Node B = 0.8092*45.954 / e^(0.06*4/12)

=> Value of Call at Node B = (42.1523 – 37.186)/1.0202 = 5.814/1.0202 = 4.8681

Similarly from Period 1 to Period 2 when stock price is 41.4

X * 45.954 – 0 = X * 37.26 – 0

=> X = 0

So, Value of call option at Node C when stock price is 41.4 is given by

0 * 41.4 – Value of call option at Node C = 0 * 45.954 / e^(0.06*4/12)

=> Value of Call option at Node C = 0

At the Node A, when the price is 46

X * 51.06 – 4.8681 = X * 41.4 – 0

=> X = 0.5039

So, Value of Call option at Node A when stock price is 46 is given by

0.5039 * 46 – Value of Call option at Node A = 0.5039 * 41.4 / e^(0.06*4/12)

=> Value of Call option at Node A = 23.6497 – 20.8615 / 1.0202 = 2.733

Based on above computations, We can conclude that, the value of an eight-month European call option using the no-arbitrage approach is 2.733

(b) European put option using the no-arbitrage approach.

Spot Price = 46

Strike Price = 48

RFR = 6%

u = 1.11

d = 0.90

The Price at Node B = 46 * 1.11 = 51.06

The Price at Node C = 46 * 0.90 = 41.4

The Price at Node D = 51.06 * 1.11 = 56.6766

At Node D the put option does not get exercised since the strike price is lower than the stock price. Hence value of the option = 0

The Price at Node E = 51.06 * 0.9 or 41.4 * 1.11 = 45.954

At Node E the Put option gets exercised since the strike price is higher than the stock price. Hence value of the option will be = 48 – 45.954 = 2.046

The Price at Node F = 41.1 * 0.9 = 37.26

At Node F the Put option gets exercised since the strike price is higher than the stock price. Hence value of the option will be = 48 – 37.26 = 10.74

From period 1 to period 2 when stock price is 51.06

Let X shares be purchased and one put option be purchased to create the no arbitrage portfolio

So, X * 56.6766 + 0 = X * 45.954 +2.046

=> X = 0.1908

So, Value of Put option at Node B when stock price is 51.06 is given by

0.1908 * 51.06 + Value of Put Option at Node B = 0.1908 * 56.6766 / e^(0.06*4/12)

Value of Put option at Node B = 10.5998 – 9.7422 = 0.8575

Similarly From Period 1 to Period 2 when stock price is 41.4

X * 45.954 + 2.046 = X * 37.26 + 10.74

=> X = 1

So, Value of Put option at Node C when stock price is 41.4 is given by

1 * 41.4 + Value of Put option at Node C = (1 * 37.26 + 10.74) / e^(0.06*4/12)

=> Value of Put option at Node C = 41.0496 – 41.4 = 5.6496

At Node A when stock price is 46

X*51.06 + 0.8575 = X*41.4 + 5.6496

=> X = 4.7921 / 9.66 = 0.4961

So, Value of Put Option at Node A when stock price is 46 is given by

0.4961*46 + Value of Put option at Node A = (0.4961*41.4 + 5.6496) / e^(0.06*4/12)

=> Value of Put option at Node A = 25.67 – 22.8206 = 2.849

Based on above computations, We can conclude that, the value of an eight-month European call option using the no-arbitrage approach is 2.849

(c.) Put-call-parity holds

According to Put-call theory, the sum of the price of the call option and present value of the strike price shall be equal to the price of the put option and the spot price of the stock.

This is given by the formula,

LHS = = 2.733 + 48 * 0.9607 = 48.849

RHS = = 48.849

Since LHS = RHS, the Put Call parity holds good for the calloption and the put option prices computed in (a) and (b)

(d.) European call option using risk-neutral valuation.

Spot Price = 46

Strike Price = 48

RFR = 6%

u = 1.11

d = 0.90

The Price at Node B = 46 * 1.11 = 51.06

The Price at Node C = 46 * 0.90 = 41.4

At Node C the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

The Price at Node D = 51.06 * 1.11 = 56.6766

At Node D the call option gets exercised since the strike price is lower than the stock price. Hence value of the option = 56.6766 – 48 = 8.6766

The Price at Node E = 51.06 * 0.9 or 41.4 * 1.11 = 45.954

At Node E the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

The Price at Node F = 41.1 * 0.9 = 37.26

At Node F the call option does not get exercised since the strike price is higher than the stock price. Hence value of the option will be 0

The formula used to compute the Probability of stock increasing in value is as follows,

So,

Using this, Probability of stock decreasing in value is computed as

1-p = 1- 0.57238 = 0.4276

The Value at Node B is computed as follows,

= = 0.9802 (4.9665 + 0) = 4.8681

The Value at Node C is computed as follows,

= = 0

The Value at Node A is computed as follows,

= =

0.9802 (2.7865 + 0) = 2.7314

(e.) European put option using risk-neutral valuation.

Spot Price = 46

Strike Price = 48

RFR = 6%

u = 1.11

d = 0.90

The Price at Node B = 46 * 1.11 = 51.06

The Price at Node C = 46 * 0.90 = 41.4

The Price at Node D = 51.06 * 1.11 = 56.6766

At Node D the put option does not get exercised since the strike price is lower than the stock price. Hence value of the option = 0

The Price at Node E = 51.06 * 0.9 or 41.4 * 1.11 = 45.954

At Node E the Put option gets exercised since the strike price is higher than the stock price. Hence value of the option will be = 48 – 45.954 = 2.046

The Price at Node F = 41.1 * 0.9 = 37.26

At Node F the Put option gets exercised since the strike price is higher than the stock price. Hence value of the option will be = 48 – 37.26 = 10.74

The formula used to compute the Probability of stock increasing in value is as follows,

So,

Using this, Probability of stock decreasing in value is computed as

1-p = 1- 0.57238 = 0.4276

The Value at Node B is computed as follows,

= = 0.9802 (0 + 0.8749) = 0.8575

The Value at Node C is computed as follows,

= = 0.9802 (1.1711 + 4.5924) = 5.6494

The Value at Node A is computed as follows,

= = 0.9802 (0.4908 + 2.4157) = 2.8489

Therefore, based on above computations we arrive at the value of Put option as 2.8489

(f.) No-arbitrage approach and the risk-neutral valuation lead to the same results

It can be observed that the value of the options are same under both the approaches viz. the No-arbitrage approach and Risk-neutral valuation methods.

(g) American put option

The Value of the Put option at Nodes, D, e anf F will be same as that of European Put option. However at the Nodes B and C the values are computed as follows,

Value at Node B = max (48 – 51.06, 0.8575) = 0.8575

Value at Node C = max (48 – 41.4, 5.6494) = 6.6

Using these, The Value at Node A is computed as follows,

= = 0.9802 (0.4908 + 2.82216) = 3.2474

Therefore, based on above computations we arrive at the value of Put option as 3.2474

(h) Deltas of the European put and the European call

The Formula for Deltas of options is given by

= the number of shares to hold for each option shorted to create a risk-free portfolio

of the put option at nodes:

of the call option at nodes:

Node B:

Node C:

Node A:

(i) Black Scholes Merton – European call

Given,

Spot price S0= 46

Strike Price K = 48

Risk free rate r = 6%

Periods t = 8 months

Volatility i.e Standard deviation = 18%

The formula for price of Call option is as follows,

;

where

d1 = ln(46/48) + (6% + 18%^2/2)*(8/12) / 18% * (8/12)^(1/2)

d1= -0.04256 + (6% + 1.62%)*0.667 / 0.146969385

d1 = 0.0561

d2 = 0.0561 – [18% * (8/12)^(1/2)]

d2 = 0.0561 – 0.146969385

d2 = -0.0909

Using this data, we get the price of call option

Price of Call = 46 * N(0.0561) – 48 * e^(-6%*8/12)* N(-0.0909)

N(0.0561) = N(0.05) + 0.61[N(0.06)-N(0.05)] = 0.51994 + 0.61(0.52392 – 0.51994) = 0.51994 + 0.0024 = 0.5224

N(-0.0909) = N(-0.09) – 0.09[N(-0.09)-N(-0.10)] = 0.46414 + 0.09(0.46414 – 0.46017) = 0.46414 + 0.00036 = 0.4645

Price of call = 24.0304 – 21.422 = 2.6084

(j) Black Scholes Merton – American call

The call option is on a Non-dividend paying stock. Hence the price of American Call option will be equal to the price of the European Call option. Therefore the price of the American call option = 2.6084

(k) Black Scholes Merton – European Put

Given,

Spot price S0= 46

Strike Price K = 48

Risk free rate r = 6%

Periods t = 8 months

Volatility i.e Standard deviation = 18%

The formula for price of Put option is as follows,

where

d1 = ln(46/48) + (6% + 18%^2/2)*(8/12) / 18% * (8/12)^(1/2)

d1= -0.04256 + (6% + 1.62%)*0.667 / 0.146969385

d1 = 0.0561

d2 = 0.0561 – [18% * (8/12)^(1/2)]

d2 = 0.0561 – 0.146969385

d2 = -0.0909

Using this data, we get the price of Put option

Price of Put option = 48 * e^(-6%*8/12)* N(0.0909) – 46 * N(-0.0561)

N(-0.0561) = N(-0.05) – 0.61*[N(-0.05) – N(-0.06)] = 0.48006 – 0.61(0.48006 – 0.47608) = 0.48006 – 0.0025 = 0.47763

N(0.0909) = N(0.09) – 0.09*[N(0.10) – N(0.09)] = 0.53586 – 0.09*(0.53983 – 0.53586) = 0.53586 – 0.00036 = 0.5355

Price of Put option = 24.6965 – 21.97098 = 2.72552

(l) Dividend paying stock – European Put

Since dividend is being paid in 3 months’ time, the present value of dividend shall be reduced from the Spot price making it ex-dividend spot price. The PV of the $1 paid in 3 months’ time = = 0.9851

So,

d1 = ln(46-0.9851/48) + (6% + 18%^2/2)*(8/12) / 18% * (8/12)^(1/2)

d1= -0.06421 + (6% + 1.62%)*0.667 / 0.146969385

d1 = -0.0912

d2 = -0.0912 – [18% * (8/12)^(1/2)]

d2 = -0.0912 – 0.146969385

d2 = -0.2382

Using this data, we get the price of Put option

The formula for price of Put option is as follows,

Price of Put option = 48 * e^(-6%*8/12)* N(0.2382) – 46 * N(0.0912)

N(0.0912) = N(0.09) – 0.12*[N(0.10) – N(0.09)] = 0.53586 – 0.12(0.53983 – 0.53586) = 0.53586 – 0.0005 = 0.53538

N(0.2382) = N(0.23) – 0.82*[N(0.24) – N(0.23)] = 0.59095 – 0.82*(0.59483 – 0.59095) = 0.59095 – 0.00318 = 0.58777

Price of Put option = 27.1069 – 24.62748 = 2.47942

However, If a dividend of $1 is expected in ten months, it does not have any impact on the price of the Put option. This is because the dividend is receivable after the expiry of the put option which is 8 months.

(m.) Comparision

From the Table Above it can be observed that the Value of the options in the Binomial model is higher than the value of the options computed under the Method of Black-Scholes-Merton model. This is because, the computation of the option price takes into account of the forward prices of the stock in case of the binomial tree model. Whereas in case of the Black-scholes model the intrinsic value i.e. the present value terms of the strike price is taken into account. Also in the Binomial model the role of probability impacts the prices of the options.

Problem 3: Valuation of Derivatives

Given in the question that,

Spot Price of the stock = $36

Risk free rate = 5%

Periods = 2 periods of 3 months each

Share price Expected to go up = 9%,

So, u = 1 + 9% = 1.09

Share price expected to go down = 8%

So, d = 1 – 8% = 0.92

(a.) Payoff’s at final Nodes

Price at Node A = 36

Price at Node B = 36 * 1.09 = 39.24

Price at Node C = 36 * 0.92 = 33.12

Price at Node D = 39.24 * 1.09 = 42.77

Price at Node E = 39.24 * 1.08 or 33.12 * 1.09 = 36.1

Price at Node F = 33.12 * 0.92 = 30.47

Given that Payoff is (max[(40-ST),0])^22

So, Payoff at Node D = (max[40-42.77,0])^2 = 0

Payoff at Node E = (max[40-36.1,0])^2 = 3.9^2 = 15,21

Payoff at Node F = (max[40-30.47,0])^2 = 9.53^2 = 90.821

(b.) No-arbitrage arguments

Computing number of shares at Node B:

42.77* X + 0 = 36.1* X + 15.21

X = 2.28

Long 2.28 shares and long 1 option

Payoff at Node B will be 6.921

Similarly,

Computing number of shares at Node C:

36.1* X + 15.21 = 30.47* X + 90.821

X = 13.43

Long 13.43 shares and long 1 option

Payoff at Node C will be 49.613

Using Above, the number of shares to be purchased at Node A is as follows,

39.24* X + 6.91 = 33.12* X + 49.613

X = 6.9776

Long 6.9776 shares and long 1 option

Payoff at Node A will be 30.896

(c.) Risk Neutral Valuation

From part (a) we have,

u = 1.08

d = 0.92

The risk neutral probability for the stock to move up is computed as follows,

Probability to move up = e^rt-d / u – d = e^(5%*3/12) – 0.92 / (1.08 – 0.92) = 0.545

Probability to Move Down = 1-0.545 = 0.455

So, Payoff at Node B = 0 * 15.21 * 0.455 = 6.921

Payoff at Node C = 0.545 * 15.21 + 0.455 * 90.821 = 49.613

Payoff at Node A = 6.921 * 0.545 + 49.613 * 0.455 = 3.772 + 27.124 = 30.896

(d) Comparison

From the computations above, it can be observed that the Pay-off at the Node A is same in both the methods. The Payoff is 30.896

(e. ) American Style

In case of an American style option, the option gets exercised even prior to the expiry date. In other words, when there is a profitable Payoff, the option will get exercised.

At period 1 i.e. Node B and Node C, it can be observed that the price of stock is less than 40. The Payoff will be positive if the exercise happens at either Node B or Node C.

The value of the Payoff is as follows,

At Node B = (max[40-39.24,0])^2 = 0.5776

At Node C = (Max[40-33.12,0])^2 = 6.76^2 = 45.6976

Then the Payoff value at node A = 0.5776 * 0.545 + 45.6976 * 0.455 = 0.3148 + 20.7924 = 21.1072

It can be observed payoff is lower than compared to that when exercised at final nodes. Hence it is not preferred to be exercised early even if it is an American Style.

Problem 4: Value at Risk

The selection of the company is as follows,

For Company A, the rank of company based on sum of digits of the student number

Student number = 5050494

The rank of company = 5 + 0 + 5 + 0 + 4 + 9 + 4 = 27^th rank

For Company B,

The rank of company is based as the sum of the last two digits of the student number

The rank of company = 9 + 4 = 13^th Rank

Based on the above ranks the companies chosen are,

Company A = National Australia Bank Ltd

Company B = Coles Group Ltd

The screenshot of the stock selection is as follows,

(a.) The historical daily prices for 501 trading days

The Historical daily price data for 501 days is in the attached excel file.

Adjusted closing Prices have been taken from the Yahoo Finance website commencing from the date of 10^th October 2018 to 22^nd September 2020.

(b.) Daily return computations

The 500 number of Daily returns have been computed in the attached excel file.

(c.) 500 Simulations

These are in the attached excel file

(d.) 500 alternative gains or losses

These are in the attached excel file

(e.) 5-day 99% VaR

The returns are ranked in the order of highest loss first.

The 1-day 99% VaR is set to be equal to the 5^th Worst Loss which is coming to = -47,639.42

So, the 5-day 99% VaR = -47,639.42 * Squareroot of 5 = -106,524.97

(f.) Usefulness of this method

The value at risk is exactly true when the changes of the portfolio on successive days have independent identical normal distributions with mean zero. It captures an important aspect of risk in a single number. And it is easy to understand

(g.) Standard Deviation

(refer to the computations made in excel)

The Standard Deviation of COH is 0.024813441

The Standard Deviation of NAB is 0.020292698

The Standard Deviation of the portfolio is 0.017498284

(h.) Correlation coefficient

(refer to the computations made in excel)

Correlation Coeffcient of COH and NAB is -0.019165318

(i.) 5-day 99% VaR

(refer to the computations made in excel)

5-day 99% VaR for the two-asset portfolio comprising of COH and NAB is $90,775.46

VaR implies that an investor/ manager is X% certain a specified loss level will not be exceeded in N-days.

A VaR of $90,775.46 implies that the portfolio manager is 99% certain that within a 5-day period, the total loss level will not exceed $90,775.46

(j.) Diversification reduces VAR

(refer to the computations made in excel)

The benefits of diversification for a two-asset portfolio VaR is calculated by subtracting the portfolio VaR from sum of the individual company VaR’s (refer image above).

According to the image above, the benefits of diversification for a portfolio comprised of NAB and COH is $29,740.42

This implies that through diversifying, the VaR is reduced by $29,700. In other words, a portfolio manager is 99% sure that with a portfolio comprised of NAB and COH, losses over a 5-day period will be ~ $29,700 less than that if the portfolio was just comprised of the stocks of either of the companies viz. NAB and COH.

(k.) Advantages and Disadvantages

The advantages of the VAR approach is that it is measured in price units or as percentage of the portfolio value. It in turn makes the interpretation of the VAR easy to comprehend and utilize. The VAR can be used to compare assets of different types across different portfolios. In turn you can compare profitability and the risk with different unit to then apply the right risk.

The disadvantages of the VAR approach is misleading as it means the most a portfolio can lose. However when in terms of confidence parameter’s it is important, to understand that even at the 99% confidence parameter there is still a 1% failure. Which means at this confidence parameter 1% of cases the loss is greater than the VAR amount. The limitations with the VAR approach and understanding can be fatal.

(l) Comparison

The VaR using the method of Historical simulation gives the result of 106,524.97 where-as the VaR using the model approach gives the result of $90,775.46

The difference between these 2 numbers is typically the approaches used. In the historical simulation method the 5^th largest loss is considered and then the 5-day loss is arrived at. Where as in case of the Model approach the standard deviations and the correlation coefficients of the returns are taken into account. These statistical components influence on the VaR as a result of which the differences are bound to arise in the computations.

(m.) Usefulness of VaR

VAR is a very useful measure as it allows for firms to quantify their level of risk. This helps them to determine their necessary precautions and understand their exposure. As it is an approach to understanding your risk exposure it helps to control the risk. For investments purposes you can determine the amount of expected loss for a specific time period. This allows the investor to determine his exposure limit and place precautions in place to reduce the affects.

Part B

Introduction

One of the major Financial crisis was incurred during the year 2008. This financial crisis was caused due to misuse of typically three types of derivatives. They are Mortgage Backed Securities (MBS), collateralized debt obligations (CDO), and credit default swap (CDS). During 2008 these derivatives had brought in higly volatile markets and thereby the market had collapsed significantly which led to the global financial crisis.

Derivatives – Mortgage Backed Securities

Mortgage Backed securities function in the following manner,

A home buyer purchases his home utilizing the funds borrowed from the banks. For these borrowings, the buyer mortgages newly purchased house with the bank.
The Bank then sells this mortgage to a third party i.e. Fannie Mae so that it gets new funds which will be utilized to provide new loans to the borrowers.
The third party (i.e. Fannie Mae ) who purchases the mortgage from the Banks will resell the same in secondary market along with other mortgages as a package. This is typically called as mortgages in a bundle.
This functioning is called as Mortgage backed securities. These would have investors such as hedge fund’s or investment bankers.

Role of MBS in Financial Crisis

During the year 2006, most of the borrowers had taken interest-only loans. These refer to the loans which are adjustable to the Fed funds rate. In other words, when the Fed funds rates increases, the borrowers interest liability increases. During this period, as the Fed started increasing its rates, the borrowers were no longer able to afford the costs on their loans. As a result the demand for new houses started falling and gradually the borrowers defaulted their existing loans.

This dropped the prices of the new houses. Hence the Mortgage backed securities prices also declined in the market. The MBS declined to the extent in which they had become worthless. There came up a huge chaos in the secondary market. The Bankers and the hedge funds had a key role into packaging of the subprime mortgages into securities and subsequently sold them to various institutions mainly the hedge funds and pension funds. The underwriting and securitizing activity for mortgage-backed securities were initiated by the investment banks. The creditworthiness of these securities had been negatively impacted and they were not able to sell those in the secondary market. Large amount of their capital was blocked in these securities. With the effect of these concerns, the banks stopped lending to each other. Finally this triggered the initiation of Global financial crisis.

Role of Other derivatives in Financial Crisis

Just like the MBS, other form of loans and assets such as the collateralized debt obligations (CDO’s) also had its role in the Crisis. The corporate debts, Automobile loans etc forming part of the CDO’s typically backed by the commercial papers that are due with a period of one-year influenced the demand for new loans.

The derivatives such as the credit default swaps in which there is insurance for the debts also influenced this part. The Credit default swaps (CDSs) were brought into existence inorder to provide the bond holders an opportunity to safeguard themselves from the defaults made by the borrowers. The CDSs form the features of derivative contracts in which the periodical payments are made to the buyers from the sellers. During this period the speculators who essentially did not own the bonds had taken open positions without covering their positions. By dealing in credit default swaps, European banks were able to make it seem like they had transferred some risk over to AIG, thereby reducing the banks’ capital requirements and freeing them up to make more loans.

Arousal of Financial crisis

Most of these securities were in the secondary market. These markets were less regulated by any regulator. In other wise there were no independent bodies who had been monitoring and evaluating the credit flow into the system. Due to this reason, the valuation became difficult and the liquidity concerns were majorly highlighted. The Bankruptcy of Lehman Brothers created a huge panic and there by the 2008 financial crisis came into its existence.

Warren Buffets Statement

Just as it was briefed in the above paragraphs regarding how the misuse of the derivatives initiated the global financial crisis, the investment guru had made certain statements in a press meet in which he had referred the derivatives to be time bombs or the financial weapons for mass destruction. I completely agree with the statement made by Mr Buffet. It is clearly evident that the biggest financial crisis that could be withstood by various economies occurred due to no proper regulated derivatives market.

Buffet also explains that the derivatives are those contracts in which only settlement of the dues happens. There is no physical transfer of any assets and liabilities. This results into accumulation of notional value of huge assets and the mortgage backed securities. When the worst situation is likely to arise, then there is huge panic among various investors. The role of the derivatives over future dated settlement dates and usage of various assumptions and reactions to the market sentiments increase the speculation among them. This will also create less liquidity in the system during an unforeseen situation.

Generally, there are chances of the derivative instruments to become nil which is not the case in the cash market. The expiry dates will influence the derivatives to a greater extent and the investor taking a position on these derivatives is bound to take an opposite position within the expiry date. Otherwise the investor is bound to have huge losses. Similarly large investment bankers and hedge funds who pile upon lot of money over the derivatives always have various chances of loosing their capital if the situation is not in favorable to them.

Based on the above explanations I strongly agree to the statement made by Warren Buffet who gives a cautionary vision to the derivatives being traded in the markets among various investors. However every coin has an opposite side. There could always be a profitable entitlements if these are carefully handled.

References

Hoje, Jo., Claudia, Lee., Adam, Munguia. and Cantalina, Nguyen., (2012), ‘Unethical misuse of derivatives and market volatility around the global financial crisis’, Journal of Academic and Business Ethics, viewed on 23-09-2020, available at; https://aabri.com/manuscripts/09398.pdf
Kimberly, Amadeo (2020), ‘Role of Derivatives in Creating Mortgage Crisis’, viewed on 23-09-2020, available at; https://www.thebalance.com/role-of-derivatives-in-creating-mortgage-crisis-3970477
Hans-Georg, Petersen., and Alexander, Martin, Wiegelmann., (2014), ‘Financial Markets and the Global Debt Crisis: Toward a New Architecture for A More Reliable Financial Sector’, Volume 9, Issue 1, Pages-79-107, viewed on 23-09-2020, available at; https://doi.org/10.1016/S1870-3550(14)70114-4
Steve, Denning (2013), ‘Big Banks and Derivatives: Why Another Financial Crisis Is Inevitable’, viewed on 23-09-2020, available at; https://www.forbes.com/sites/stevedenning/2013/01/08/five-years-after-the-financial-meltdown-the-water-is-still-full-of-big-sharks/#35808903a410
US Government Information, ‘The Financial Crisis Inquiry Report’, Final Report of the National Commission on the Causes of the Financial and ISBN 978-0-16-087727-8 Economic Crisis in the United States, viewed on 23-09-2020, available at; https://www.govinfo.gov/content/pkg/GPO-FCIC/pdf/GPO-FCIC.pdf

Derivatives

PART A

Model Building Approach – VaR computation

uTakes into account of the standard deviations of the returns of the assets in the portfolio.

uThe Standard deviation is computed from the daily rates of returns of the assets in the portfolio.

uThe Standard deviation of the portfolio is arrived by having an appropriate mix in the proportion of the Assets.

uUsing the Standard deviation and the VaR visualising Z score at 99% confidence levels the VaR is computed

Model Building Approach – VaR computation

uTakes into account of the standard deviations of the returns of the assets in the portfolio.

uThe Standard deviation is computed from the daily rates of returns of the assets in the portfolio.

uThe Standard deviation of the portfolio is arrived by having an appropriate mix in the proportion of the Assets.

uUsing the Standard deviation and the VaR visualising Z score at 99% confidence levels the VaR is computed

Advantages and Disadvantages of Model Building approach

uThe advantage is that this approach makes assumptions about the probability distributions of return on the market variables.

uHowever Model building approach has the disadvantage that it assumes that market variables have a multivariate normal distribution

Historical Simulation Approach – VaR computation

uThe database of daily historical returns of the assets in the portfolio is created with respect to change in the prices.

uThe returns in terms of value for both the assets is arrived.

uThe portfolio’s value tomorrow is calculated for each simulation trial

uThe sum of the returns in terms of value for all the assets in the portfolio is computed.

uAmong these the losses are ranked.

uThe One Day VaR is set to be the 5th worst loss

uFor a 5-day VaR the 1-day VaR is multiplied with the squareroot of 5

Advantages and Disadvantage of Historical Simulation Model

uAdvantage of VaR under Historical simulation method is that This is exactly true when the changes of the portfolio on successive days have independent identical normal distributions with mean zero

uThe disadvantage is that Historical simulation is computationally slower and cannot easily incorporate volatility updating schemes

Comparison of the Results

Historical Simulation Method
VAR for 1-day @99%	1,10,523.45
VAR for 5-day @99%	2,47,137.94

Model Building Approach
VAR for 1-day @99%	40,596.02
VAR for 5-day @99%	90,775.46

Usefulness of VaR

uIt is measured in price units or as percentage of the portfolio value.

uIt in turn makes the interpretation of the VAR easy to comprehend and utilize.

uThe VAR can be used to compare assets of different types across different portfolios. In turn you can compare profitability and the risk with different unit to then apply the right risk.

uIt captures an important aspect of risk in a single number

Misuse of Derivatives leading to a Crisis

PART B

Risks of Derivatives

uThose traded in the secondary market will be unregulated. Without crubbing this practice it is always a great risk.

uBasically these instruments call for money to change hands at some future date, with the amount to be determined by one or more reference items, such as interest rates, stock prices, or currency values. This stands to be one of the greatest risk.

uIt is a known truth that marking errors in the derivatives business have not been symmetrical

uLarge amounts of risk, particularly credit risk, have become concentrated in the hands of relatively few derivatives dealers, who in Large amounts of risk, particularly credit risk, have become concentrated in the hands of relatively few derivatives dealers, who in addition trade extensively with one other. The troubles of one could quickly infect the others.

2008 Financial Crisis

uThe misuse of Derivatives triggered the Global Financial crisis during 2008.

uThe instruments mainly composed of Mortgage Backed Securities (MBS), collateralized debt obligations (CDO), and credit default swap (CDS)

uThe dropping housing prices, failure in capability to repay the loans taken by mortgaging the homes and increased interest rates affected the most.

uThe Hedge funds and the investment bankers who had bought the mortgages and issued various securities in the secondary market.

uThe loosing demand for these securities made them non marketable and there by lowered their liquidity in the market.

uHence the cash crisis turned into financial crisis.

uLehman Brothers collapsed and then the panic started this entire disaster.

Warren Buffets Statement

uDerivatives are time bombs, both for the parties that deal in them and the economic system.

uThis is because these instruments call for money to change hands at some future date, with the amount to be determined by one or more reference items, such as interest rates, stock prices, or currency values.

uAnother problem about derivatives is that they can exacerbate trouble that a corporation has run into for completely unrelated reasons

uDerivatives also create a daisy-chain risk that is akin to the risk run by insurers or reinsurers that lay off much of their business with others.

Possibilities for prevention of disaster

uRegulatory control on the derivatives traded will have a check on the misuse happening.

uCautious monetary policies and controlled political stability can help in the liquidity and inflation levels in the economy.

uCalculated leveraging and regulating the NPA’s with the financial institutions also might help in setting the process right.

If you wish to use some of the formulas

Question:

Answer:

Introduction

Part A

Problem 1: Option Properties

Problem 2: Option Valuation

Problem 3: Valuation of Derivatives

Problem 4: Value at Risk

Part B

Introduction

Derivatives – Mortgage Backed Securities

Role of MBS in Financial Crisis

Role of Other derivatives in Financial Crisis

Arousal of Financial crisis

Warren Buffets Statement

References

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