DATA

Day Date DJIA FTSE 100 CAC 40 Nikkei 225

0 8/7/2006 11219.38 11131.84 6373.89 131.77
1 8/8/2006 11173.59 11096.28 6378.16 134.38
2 8/9/2006 11076.18 11185.35 6474.04 135.94
3 8/10/2006 11124.37 11016.71 6357.49 135.44
4 8/11/2006 11088.02 11040.73 6364.76 134.10
5 8/14/2006 11097.87 11109.50 6431.67 136.17
6 8/15/2006 11230.26 11179.47 6540.95 136.32
7 8/16/2006 11327.12 11203.54 6603.23 138.81
8 8/17/2006 11334.96 11170.05 6617.16 138.67
9 8/18/2006 11381.47 11096.03 6584.22 139.16
10 8/21/2006 11345.04 11221.13 6594.30 137.83
11 8/22/2006 11339.84 11147.06 6571.41 138.94
12 8/23/2006 11297.90 11097.08 6502.98 138.70
13 8/24/2006 11304.46 11100.82 6541.52 137.21
14 8/25/2006 11284.05 11088.22 6515.14 135.88
15 8/29/2006 11369.94 11145.96 6583.72 135.91
16 8/30/2006 11382.91 11300.65 6651.42 135.60
17 8/31/2006 11381.15 11232.22 6610.83 137.60
18 9/1/2006 11464.15 11323.52 6636.94 137.52
19 9/5/2006 11469.28 11320.97 6625.06 141.14
20 9/6/2006 11406.20 11150.64 6541.59 139.62
21 9/7/2006 11331.44 10978.08 6442.69 137.50
22 9/8/2006 11392.11 10965.48 6427.94 137.75
23 9/11/2006 11396.84 10897.12 6419.99 134.15
24 9/12/2006 11498.09 11057.60 6504.21 133.47
25 9/13/2006 11543.32 11045.52 6513.60 133.85
26 9/14/2006 11527.39 11112.02 6533.02 135.78
27 9/15/2006 11560.77 11037.01 6508.39 134.93
28 9/19/2006 11540.91 11003.44 6498.97 135.47
29 9/20/2006 11613.19 11082.43 6596.47 134.06
30 9/21/2006 11533.23 11185.45 6625.52 135.59
31 9/22/2006 11508.10 11076.34 6582.96 134.34
32 9/25/2006 11575.81 11012.71 6556.87 134.21
33 9/26/2006 11669.39 11131.06 6615.45 132.92
34 9/27/2006 11689.24 11197.81 6663.83 135.88
35 9/28/2006 11718.45 11188.42 6661.60 135.98
36 9/29/2006 11679.07 11135.97 6649.79 136.57
37 10/2/2006 11670.35 11230.45 6681.70 138.06
38 10/3/2006 11727.34 11215.78 6650.26 137.77
39 10/4/2006 11850.61 11241.48 6669.90 136.32
40 10/5/2006 11866.69 11269.85 6710.48 139.77
41 10/6/2006 11850.21 11220.44 6648.28 138.13
42 10/10/2006 11867.17 11269.11 6658.04 137.71
43 10/11/2006 11852.13 11275.45 6667.32 137.14
44 10/12/2006 11947.70 11364.81 6722.05 136.97
45 10/13/2006 11960.51 11424.87 6688.19 137.95
46 10/16/2006 11980.59 11481.90 6710.85 139.98
47 10/17/2006 11950.02 11418.81 6649.52 139.95
48 10/18/2006 11992.68 11482.80 6709.16 139.85
49 10/19/2006 12011.73 11547.42 6752.00 139.90
50 10/20/2006 12002.37 11574.85 6774.23 140.20
51 10/23/2006 12116.91 11542.94 6792.78 140.72
52 10/24/2006 12127.88 11571.17 6780.25 140.46
53 10/25/2006 12134.68 11664.18 6825.63 140.18
54 10/26/2006 12163.66 11672.57 6884.32 141.75
55 10/27/2006 12090.26 11685.38 6865.18 141.73
56 10/30/2006 12086.49 11656.24 6819.57 139.19
57 10/31/2006 12080.73 11690.22 6826.71 139.99
58 11/1/2006 12031.02 11727.29 6861.09 140.00
59 11/2/2006 12018.54 11727.94 6779.97 139.61
60 11/6/2006 12105.55 11804.76 6867.99 138.26
61 11/7/2006 12156.77 11919.80 6960.80 139.58
62 11/8/2006 12176.54 11874.69 6936.04 137.51
63 11/9/2006 12103.30 11832.37 6971.08 136.94
64 11/10/2006 12108.43 11870.46 7004.63 137.16
65 11/13/2006 12131.88 11788.80 7035.57 135.66
66 11/14/2006 12218.01 11714.95 7014.58 138.36
67 11/15/2006 12251.71 11758.75 7058.82 137.54
68 11/16/2006 12305.82 11816.13 7051.38 136.84
69 11/17/2006 12342.55 11730.74 6978.46 136.74
70 11/20/2006 12316.54 11771.80 6991.46 133.07
71 11/21/2006 12321.59 11779.98 7002.76 133.45
72 11/22/2006 12326.95 11790.81 7052.76 136.46
73 11/24/2006 12280.17 11827.90 7056.11 135.81
74 11/27/2006 12121.71 11719.04 6966.73 136.84
75 11/28/2006 12136.44 11734.84 6978.22 136.40
76 11/29/2006 12226.73 11860.93 7077.80 138.40
77 11/30/2006 12221.93 11897.99 7062.09 140.72
78 12/1/2006 12194.13 11926.79 7006.33 141.72
79 12/4/2006 12283.85 11973.14 7056.74 141.24
80 12/5/2006 12331.60 11996.29 7132.94 141.33
81 12/6/2006 12309.25 11999.72 7125.61 142.48
82 12/7/2006 12278.41 12044.72 7153.20 143.05
83 12/8/2006 12307.48 12099.93 7169.32 142.16
84 12/11/2006 12328.48 12035.63 7172.67 141.19
85 12/12/2006 12315.58 12105.94 7184.99 142.11
86 12/13/2006 12317.50 12181.89 7240.31 142.36
87 12/14/2006 12416.76 12223.70 7257.09 143.07
 88 12/15/2006 12445.52 12219.52 7254.38 143.71
89 12/18/2006 12441.27 12156.19 7226.34 143.60
90 12/19/2006 12471.32 12176.39 7222.49 142.03
91 12/20/2006 12463.87 12183.97 7271.12 143.75
92 12/21/2006 12421.25 12131.80 7254.33 143.92
93 12/22/2006 12343.21 12133.64 7175.29 143.97
94 12/27/2006 12510.57 12210.62 7272.26 145.33
95 12/28/2006 12501.52 12231.54 7274.04 144.77
96 12/29/2006 12463.15 12174.11 7307.17 144.56
97 1/4/2007 12480.69 12226.33 7297.50 145.54
98 1/5/2007 12398.01 11989.24 7167.25 143.94
99 1/9/2007 12416.60 12024.15 7194.16 144.37
100 1/10/2007 12442.16 11921.57 7123.19 141.62
101 1/11/2007 12514.98 12095.74 7230.99 139.79
102 1/12/2007 12556.08 12230.94 7265.42 141.73
103 1/16/2007 12582.59 12188.99 7230.75 142.48
104 1/17/2007 12577.15 12231.55 7202.51 143.21
105 1/18/2007 12567.93 12247.95 7194.72 143.19
106 1/19/2007 12565.53 12312.23 7268.22 142.61
107 1/22/2007 12477.16 12289.42 7230.50 143.31
108 1/23/2007 12533.80 12371.13 7265.83 143.42
109 1/24/2007 12621.77 12411.74 7308.89 144.71
110 1/25/2007 12502.56 12355.54 7279.00 144.34
111 1/26/2007 12487.02 12204.39 7204.83 143.40
112 1/29/2007 12490.78 12217.10 7269.99 143.31
113 1/30/2007 12523.31 12243.06 7314.84 143.92
114 1/31/2007 12621.69 12141.95 7288.25 143.72
115 2/1/2007 12673.68 12379.08 7373.68 145.39
116 2/2/2007 12653.49 12422.38 7366.42 144.85
117 2/5/2007 12661.74 12383.72 7343.73 144.19
118 2/6/2007 12666.31 12493.96 7353.34 144.50
119 2/7/2007 12666.87 12548.55 7423.85 143.31
120 2/8/2007 12637.63 12428.16 7386.05 142.70
121 2/9/2007 12580.83 12436.25 7398.56 143.83
122 2/13/2007 12654.85 12399.20 7395.48 145.27
123 2/14/2007 12741.86 12590.05 7515.21 146.98
124 2/15/2007 12765.01 12571.95 7518.57 149.79
125 2/16/2007 12767.57 12518.03 7498.15 149.83
126 2/20/2007 12786.64 12549.51 7515.72 149.36
127 2/21/2007 12738.41 12410.97 7477.10 148.06
128 2/22/2007 12686.02 12458.71 7481.79 149.12
129 2/23/2007 12647.48 12564.86 7526.50 150.22
130 2/26/2007 12632.26 12631.96 7590.28 151.11
131 2/27/2007 12216.24 12355.96 7401.84 152.61
132 2/28/2007 12268.63 12096.14 7288.04 148.60
133 3/1/2007 12234.34 11972.68 7184.94 148.36
134 3/2/2007 12114.10 11891.12 7144.34 147.14
135 3/5/2007 12050.41 11669.06 7054.01 143.46
136 3/6/2007 12207.59 11819.68 7125.99 144.90
137 3/7/2007 12192.45 11885.12 7171.12 143.83
138 3/8/2007 12260.70 12020.08 7251.59 145.65
139 3/9/2007 12276.32 12065.10 7262.74 145.33
140 3/12/2007 12318.62 12024.66 7246.93 147.09
141 3/13/2007 12075.96 11904.05 7171.25 146.85
142 3/14/2007 12133.40 11603.55 7004.66 143.35
143 3/15/2007 12159.68 11876.94 7140.77 143.76
144 3/16/2007 12110.41 11908.08 7163.80 143.41
145 3/19/2007 12226.17 12045.19 7260.21 144.65
146 3/20/2007 12288.10 12178.73 7314.29 146.28
147 3/22/2007 12461.14 12429.40 7478.45 147.92
148 3/23/2007 12481.01 12445.51 7495.01 148.35
149 3/26/2007 12469.07 12385.61 7435.07 148.65
150 3/27/2007 12397.29 12366.85 7457.37 147.25
151 3/28/2007 12300.36 12317.55 7422.39 148.16
152 3/29/2007 12348.75 12414.40 7508.71 146.43
153 3/30/2007 12354.35 12371.88 7500.21 146.43
154 4/2/2007 12382.30 12490.16 7550.57 144.53
155 4/3/2007 12510.93 12595.33 7638.29 145.18
156 4/4/2007 12530.05 12584.28 7675.55 147.90
157 4/5/2007 12560.83 12614.20 7713.80 147.54
158 4/10/2007 12573.85 12658.47 7750.36 148.34
159 4/11/2007 12484.62 12691.28 7730.04 148.08
160 4/12/2007 12552.96 12699.98 7758.35 147.46
161 4/13/2007 12612.13 12813.65 7823.43 145.55
162 4/16/2007 12720.46 12967.89 7941.97 147.14
163 4/17/2007 12773.04 13028.74 7948.63 146.96
164 4/18/2007 12803.84 12933.63 7927.13 149.41
165 4/19/2007 12808.63 12897.95 7931.75 146.88
166 4/20/2007 12961.98 12996.30 8072.45 146.80
167 4/23/2007 12919.40 12961.34 8027.84 147.02
168 4/24/2007 12953.94 12877.00 8018.02 147.38
169 4/25/2007 13089.89 12960.63 8123.66 145.48
170 4/26/2007 13105.50 12886.40 8087.67 145.99
171 4/27/2007 13120.94 12850.24 8099.93 145.66
172 5/2/2007 13211.88 12905.45 8144.30 144.82
173 5/8/2007 13309.07 13036.61 8163.22 147.30
174 5/9/2007 13362.87 13078.90 8201.15 148.26
175 5/10/2007 13215.13 12935.99 8124.25 147.28
176 5/11/2007 13326.22 13016.50 8182.06 146.16
177 5/14/2007 13346.78 12983.17 8159.25 146.88
178 5/15/2007 13383.84 13032.10 8225.37 145.61
179 5/16/2007 13487.53 13006.18 8169.85 145.24
180 5/17/2007 13476.72 12995.43 8131.41 144.29
181 5/18/2007 13556.53 13111.13 8233.66 143.55
182 5/21/2007 13542.88 13069.85 8196.38 144.38
183 5/22/2007 13539.95 13046.05 8198.33 145.61
184 5/23/2007 13525.65 13160.02 8256.04 145.79
185 5/24/2007 13441.13 13035.60 8126.17 145.74
186 5/25/2007 13507.28 13041.13 8150.55 143.71
187 5/29/2007 13521.34 13091.44 8165.55 145.17
188 5/30/2007 13633.08 13038.49 8114.63 144.74
189 5/31/2007 13627.64 13098.45 8213.13 146.75
190 6/1/2007 13668.11 13213.19 8277.17 147.17
191 6/4/2007 13676.32 13269.56 8260.26 147.63
192 6/5/2007 13595.46 13218.51 8219.80 148.41
193 6/6/2007 13465.67 12991.26 8066.21 149.04
194 6/7/2007 13266.73 12884.00 7929.05 148.65
195 6/8/2007 13424.39 12798.78 7859.06 146.26
196 6/11/2007 13424.96 12919.59 7927.52 146.51
197 6/12/2007 13295.01 12868.01 7853.74 145.87
198 6/13/2007 13482.35 12940.78 7895.52 144.96
199 6/14/2007 13553.73 13096.31 8051.16 145.15
200 6/15/2007 13639.48 13309.28 8159.96 145.49
201 6/18/2007 13612.98 13278.29 8154.25 146.77
202 6/19/2007 13635.42 13215.94 8141.15 147.22
203 6/20/2007 13489.42 13251.39 8176.72 147.28
204 6/21/2007 13545.84 13142.53 8079.58 147.50
205 6/22/2007 13360.26 13107.22 8088.16 146.58
206 6/25/2007 13352.05 13154.40 8075.95 146.17
207 6/26/2007 13337.66 13114.66 8014.75 146.77
208 6/27/2007 13427.73 13034.31 7980.75 145.73
209 6/28/2007 13422.28 13159.69 8087.13 145.83
210 6/29/2007 13408.62 13258.09 8176.81 146.86
211 7/2/2007 13535.43 13270.83 8214.46 148.36
212 7/3/2007 13577.30 13389.16 8262.78 148.37
213 7/5/2007 13565.84 13339.41 8240.89 148.36
214 7/6/2007 13611.68 13467.84 8318.82 147.25
215 7/9/2007 13649.97 13526.76 8319.24 148.10
216 7/10/2007 13501.70 13419.62 8257.95 149.51
217 7/11/2007 13577.87 13457.10 8267.10 148.14
218 7/12/2007 13861.73 13588.96 8404.09 146.86
219 7/13/2007 13907.25 13652.36 8426.94 149.21
220 7/17/2007 13971.55 13615.20 8408.06 149.05
221 7/18/2007 13918.22 13477.00 8279.44 147.87
222 7/19/2007 14000.41 13611.75 8384.71 148.48
223 7/20/2007 13851.08 13533.90 8241.78 149.82
224 7/23/2007 13943.42 13633.02 8303.39 148.03
225 7/24/2007 13716.95 13395.77 8167.39 149.20
226 7/25/2007 13785.79 13228.09 7999.33 148.51
227 7/26/2007 13473.57 12792.46 7785.77 148.37
228 7/27/2007 13265.47 12620.59 7707.17 145.49
229 7/30/2007 13358.31 12562.39 7725.22 145.95
230 7/31/2007 13211.99 12925.00 7873.88 144.86
231 8/1/2007 13362.37 12684.34 7732.90 142.31
232 8/2/2007 13463.33 12805.99 7769.82 142.74
233 8/3/2007 13181.91 12690.73 7706.35 143.45
234 8/6/2007 13468.78 12572.54 7633.82 143.59
235 8/7/2007 13504.30 12751.35 7736.27 142.92
236 8/8/2007 13657.86 13034.60 7945.40 142.34
237 8/9/2007 13270.68 12729.91 7708.35 144.70
238 8/10/2007 13239.54 12194.95 7452.65 142.33
239 8/13/2007 13236.53 12510.14 7582.41 141.93
240 8/14/2007 13028.92 12287.00 7434.74 142.84
241 8/15/2007 12861.47 12163.62 7331.25 140.52
242 8/16/2007 12845.78 11610.00 7056.38 141.37
243 8/17/2007 13079.08 12043.50 7247.17 134.24
244 8/20/2007 13121.35 12070.47 7278.75 137.01
245 8/21/2007 13090.86 12071.17 7310.82 139.07
246 8/22/2007 13236.13 12338.09 7459.00 138.23
247 8/23/2007 13235.88 12429.12 7498.41 140.36
248 8/24/2007 13378.87 12499.91 7595.99 140.19
249 8/28/2007 13041.85 12262.37 7469.19 141.69
250 8/29/2007 13289.29 12352.70 7534.83 139.13
251 8/30/2007 13238.73 12519.66 7627.56 139.50
252 8/31/2007 13357.74 12714.39 7720.11 142.94
253 9/4/2007 13448.86 12818.64 7707.50 141.31
254 9/5/2007 13305.47 12666.19 7578.91 140.08
255 9/6/2007 13363.35 12763.60 7635.02 141.06
256 9/7/2007 13113.38 12538.42 7474.33 142.11
257 9/10/2007 13127.85 12443.02 7429.56 139.16
258 9/11/2007 13308.39 12751.08 7580.16 139.16
259 9/12/2007 13291.65 12806.00 7648.95 138.33
260 9/13/2007 13424.88 12901.53 7726.22 137.09
261 9/14/2007 13442.52 12652.18 7682.27 140.15
262 9/18/2007 13739.39 12546.49 7696.74 136.45
263 9/19/2007 13815.56 12915.48 7999.47 140.89
264 9/20/2007 13766.70 12947.36 8013.47 143.29
265 9/21/2007 13820.19 13046.41 8034.74 141.34
266 9/25/2007 13778.65 12896.79 7968.35 143.42
267 9/26/2007 13878.15 12964.42 8036.68 142.05
268 9/27/2007 13912.94 13127.82 8114.02 145.52
269 9/28/2007 13895.63 13175.46 8130.43 145.94
270 10/1/2007 14087.55 13292.17 8222.85 145.65
271 10/2/2007 14047.31 13266.02 8207.29 147.08
272 10/3/2007 13968.05 13312.20 8213.58 147.32
273 10/4/2007 13974.31 13366.23 8204.08 146.77
274 10/5/2007 14066.01 13466.64 8263.67 146.23
275 10/9/2007 14164.53 13453.08 8258.57 146.68
276 10/10/2007 14078.69 13555.86 8269.82 146.72
277 10/11/2007 14015.12 13707.89 8348.04 148.49
278 10/12/2007 14093.08 13694.96 8281.07 147.59
279 10/15/2007 13984.80 13569.40 8260.94 147.78
280 10/16/2007 13912.94 13439.60 8174.35 147.02
281 10/17/2007 13892.54 13607.15 8260.65 145.31
282 10/18/2007 13888.96 13525.48 8236.56 147.89
283 10/19/2007 13522.02 13354.78 8178.49 146.29
284 10/22/2007 13566.97 13096.88 8008.59 144.12
285 10/23/2007 13676.23 13343.28 8126.85 143.46
286 10/24/2007 13675.25 13267.36 8073.23 143.39
287 10/25/2007 13671.92 13479.44 8240.77 142.53
288 10/26/2007 13806.70 13670.99 8337.94 144.60
289 10/29/2007 13870.26 13820.40 8407.07 145.58
290 10/30/2007 13792.47 13764.82 8371.46 145.14
291 10/31/2007 13930.01 13963.45 8461.80 145.18
292 11/1/2007 13567.87 13710.28 8273.31 146.85
293 11/2/2007 13595.10 13596.71 8284.46 143.93
294 11/5/2007 13543.40 13443.59 8225.47 142.09
295 11/6/2007 13660.94 13517.00 8308.24 142.15
296 11/7/2007 13300.02 13434.25 8335.61 142.13
297 11/8/2007 13266.29 13453.68 8272.08 139.87
298 11/9/2007 13042.74 13207.50 8108.29 140.84
299 11/12/2007 12987.55 13051.00 8047.04 138.94
300 11/13/2007 13307.09 13185.44 8088.36 137.23
301 11/14/2007 13231.01 13284.86 8248.02 139.13
302 11/15/2007 13110.05 13007.29 8133.87 138.79
303 11/16/2007 13176.79 12869.91 8082.57 137.01
304 11/19/2007 12958.44 12559.27 7960.98 136.53
305 11/20/2007 13010.14 12855.23 8139.96 138.09
306 11/21/2007 12799.04 12476.31 7978.21 136.85
307 11/26/2007 12743.44 12780.04 8099.70 139.80
308 11/27/2007 12958.44 12710.02 8075.75 140.21
309 11/28/2007 13289.45 13061.40 8207.22 137.81
310 11/29/2007 13311.73 13095.02 8269.00 141.46
311 11/30/2007 13371.72 13225.86 8324.38 141.42
312 12/3/2007 13314.57 13203.02 8253.13 141.48
313 12/4/2007 13248.73 13001.10 8184.14 141.22
314 12/5/2007 13444.96 13166.83 8294.11 140.71
315 12/6/2007 13619.89 13135.93 8296.18 142.55
316 12/7/2007 13625.58 13303.17 8379.12 142.89
317 12/10/2007 13727.03 13434.12 8462.21 142.55
318 12/11/2007 13432.77 13328.74 8411.34 143.76
319 12/12/2007 13473.90 13418.73 8431.18 141.95
320 12/13/2007 13517.96 12968.33 8165.49 138.55
321 12/14/2007 13339.85 12919.38 8092.05 136.86
322 12/17/2007 13167.20 12650.39 7928.23 134.67
323 12/18/2007 13232.47 12671.63 7935.14 134.33
324 12/19/2007 13207.27 12590.37 7909.96 132.58
325 12/20/2007 13245.64 12572.54 7905.12 133.13
326 12/21/2007 13450.65 12765.90 8052.27 133.93
327 12/27/2007 13359.61 12918.93 8198.54 136.34
328 12/28/2007 13365.87 12907.81 8274.15 135.31
329 1/4/2008 12800.18 12534.48 8047.86 135.74
330 1/7/2008 12827.49 12516.18 8025.95 133.41
331 1/8/2008 12589.07 12544.55 8086.62 132.43
332 1/9/2008 12735.31 12283.83 7973.33 133.28
333 1/10/2008 12853.09 12180.94 7958.19 131.42
334 1/11/2008 12606.30 12145.38 7945.87 129.43
335 1/15/2008 12501.11 11878.87 7799.79 130.81
336 1/16/2008 12466.16 11677.20 7673.11 126.40
337 1/17/2008 12159.21 11668.45 7575.04 128.66
338 1/18/2008 12099.30 11530.74 7448.30 129.46
339 1/22/2008 11971.19 11255.19 7077.67 117.70
340 1/23/2008 12270.17 10935.33 6749.29 121.34
341 1/24/2008 12378.61 11584.73 7230.49 122.74
342 1/25/2008 12207.17 11639.40 7169.49 127.02
343 1/28/2008 12383.89 11504.86 7173.10 122.56
344 1/29/2008 12480.30 11696.25 7296.88 126.06
345 1/30/2008 12442.83 11607.47 7206.23 124.31
346 1/31/2008 12650.36 11690.22 7210.23 127.84
347 2/1/2008 12743.19 11869.08 7379.28 127.03
348 2/4/2008 12635.16 11905.96 7369.45 129.80
349 2/5/2008 12265.13 11528.27 6994.96 128.56
350 2/6/2008 12200.10 11516.96 7060.14 122.72
351 2/7/2008 12247.00 11113.91 6851.05 123.87
352 2/8/2008 12182.13 11257.98 6827.56 121.15
353 2/12/2008 12373.41 11585.96 7063.64 121.21
354 2/13/2008 12552.24 11540.87 7071.66 120.73
355 2/14/2008 12376.98 11592.80 7104.33 125.97
356 2/15/2008 12348.21 11359.90 7010.12 126.58
357 2/19/2008 12337.22 11643.21 7204.11 127.93
358 2/20/2008 12427.26 11437.12 7049.67 123.21
359 2/21/2008 12284.30 11627.11 7186.58 127.32
360 2/22/2008 12381.02 11581.50 7147.48 126.22
361 2/25/2008 12570.22 11806.42 7295.36 128.73
362 2/26/2008 12684.92 12005.57 7400.40 128.42
363 2/27/2008 12694.28 12083.12 7501.24 131.72
364 2/28/2008 12582.18 11869.36 7384.99 131.66
365 2/29/2008 12266.39 11705.05 7271.80 130.67
366 3/3/2008 12258.90 11535.37 7208.79 125.66
367 3/4/2008 12213.80 11455.23 7123.57 126.40
368 3/5/2008 12254.99 11646.71 7262.82 124.78
369 3/6/2008 12040.39 11587.00 7184.84 128.19
370 3/7/2008 11893.69 11480.17 7093.00 124.13
371 3/10/2008 11740.15 11351.64 7019.66 123.08
372 3/11/2008 12156.81 11401.85 7093.33 123.04
373 3/12/2008 12110.24 11674.10 7277.81 125.60
374 3/13/2008 12145.74 11561.26 7215.51 123.61
375 3/14/2008 11951.09 11427.28 7165.16 122.16
376 3/17/2008 11972.25 10833.13 6984.62 121.63
377 3/18/2008 12392.66 11331.56 7232.62 121.79
378 3/19/2008 12099.66 11012.45 7126.47 123.41
379 3/25/2008 12532.60 11376.49 7317.53 127.35
380 3/26/2008 12422.86 11331.55 7370.65 128.18
381 3/27/2008 12302.46 11489.89 7455.81 126.20
382 3/28/2008 12216.40 11322.61 7399.81 128.56
383 3/31/2008 12262.89 11332.92 7458.52 125.86
384 4/1/2008 12654.36 11561.81 7588.90 124.25
385 4/2/2008 12608.92 11721.17 7667.76 128.44
386 4/3/2008 12626.03 11754.32 7642.07 130.93
387 4/4/2008 12609.42 11860.30 7715.49 130.88
388 4/7/2008 12612.43 11967.05 7768.42 131.18
389 4/8/2008 12576.44 11789.91 7717.08 129.17
390 4/9/2008 12527.26 11812.82 7691.65 128.18
391 4/10/2008 12581.98 11803.14 7673.17 128.18
392 4/11/2008 12325.42 11622.98 7590.46 131.79
393 4/14/2008 12302.06 11568.73 7550.28 128.25
394 4/15/2008 12362.47 11591.70 7554.80 128.18
395 4/16/2008 12619.27 11946.08 7743.38 129.76
396 4/17/2008 12620.49 11874.08 7732.41 130.88
397 4/18/2008 12849.36 12096.04 7806.31 129.01
398 4/21/2008 12825.02 11989.78 7816.54 132.81
399 4/22/2008 12720.23 12036.21 7783.77 131.29
400 4/23/2008 12763.22 12047.35 7851.14 131.05
401 4/24/2008 12848.95 11936.82 7739.91 130.18
402 4/25/2008 12891.86 12113.36 7795.51 133.14
403 4/28/2008 12871.75 12149.13 7841.00 132.97
404 4/30/2008 12820.13 12054.68 7780.35 132.52
405 5/2/2008 13058.20 12275.61 7810.37 133.40
406 5/7/2008 12814.35 12217.72 7814.18 133.88
407 5/8/2008 12866.78 12267.57 7795.81 134.56
408 5/9/2008 12745.88 12074.97 7655.19 132.28
409 5/12/2008 12876.05 12199.84 7713.86 132.57
410 5/13/2008 12832.18 12091.46 7741.47 133.59
411 5/14/2008 12898.38 12069.61 7813.35 134.13
412 5/15/2008 12992.66 12168.50 7827.75 135.98
413 5/16/2008 12986.80 12316.71 7897.42 136.62
414 5/19/2008 13028.16 12426.52 7977.20 136.58
415 5/20/2008 12828.68 12188.16 7904.43 136.36
416 5/21/2008 12601.19 12174.31 7927.39 134.85
417 5/22/2008 12625.62 12246.99 7903.10 134.47
418 5/23/2008 12479.63 12064.42 7779.52 135.55
419 5/27/2008 12548.35 11963.72 7713.50 133.46
420 5/28/2008 12594.03 12022.06 7768.57 130.88
421 5/29/2008 12646.22 11996.03 7728.95 134.00
422 5/30/2008 12638.32 11962.93 7792.20 135.82
423 6/2/2008 12503.82 11797.12 7663.37 138.12
424 6/3/2008 12402.85 11912.47 7705.18 134.99
425 6/4/2008 12390.48 11663.78 7593.19 137.44
426 6/5/2008 12604.45 11719.01 7623.21 135.15
427 6/6/2008 12209.81 11635.21 7545.74 137.58
428 6/9/2008 12280.32 11617.66 7548.57 133.70
429 6/10/2008 12289.76 11378.97 7370.09 130.81
430 6/11/2008 12083.77 11237.70 7241.94 132.84
431 6/12/2008 12141.58 11267.15 7203.67 128.56
432 6/13/2008 12307.35 11284.12 7184.75 129.36
433 6/16/2008 12269.08 11378.28 7201.21 132.57
434 6/17/2008 12160.30 11445.95 7265.63 132.68
435 6/18/2008 12029.06 11274.31 7166.41 133.95
436 6/19/2008 12063.09 11251.83 7111.82 130.86
437 6/20/2008 11842.69 11104.45 7049.04 129.83
438 6/23/2008 11842.36 11104.31 6985.71 128.41
439 6/24/2008 11807.43 11106.56 6976.08 128.58
440 6/25/2008 11811.83 11150.88 7060.37 127.85
441 6/26/2008 11453.42 10975.70 6970.38 128.95
442 6/27/2008 11346.51 11012.24 6926.00 127.61
443 6/30/2008 11350.01 11196.10 6987.32 127.17
444 7/1/2008 11382.26 10912.67 6838.71 127.00
445 7/2/2008 11215.51 10810.27 6816.56 125.21
446 7/3/2008 11288.53 10858.45 6825.88 124.35
447 7/7/2008 11231.96 10857.26 6802.30 124.26
448 7/8/2008 11384.21 10727.58 6703.68 121.57
449 7/9/2008 11147.44 10940.87 6827.66 121.85
450 7/10/2008 11229.02 10694.65 6682.82 122.25
451 7/11/2008 11100.54 10462.17 6523.45 122.97
452 7/14/2008 11055.19 10557.34 6584.85 122.22
453 7/15/2008 10962.54 10369.14 6486.42 122.21
454 7/16/2008 11239.28 10282.14 6506.01 121.75
455 7/17/2008 11446.66 10609.08 6712.18 122.03
456 7/18/2008 11496.57 10732.91 6815.73 119.96
457 7/22/2008 11602.50 10709.96 6852.35 123.35
458 7/23/2008 11632.38 10881.82 6920.01 123.46
459 7/24/2008 11349.28 10632.90 6813.96 126.39
460 7/25/2008 11370.69 10637.76 6859.71 123.58
461 7/28/2008 11131.08 10578.45 6805.87 124.08
462 7/29/2008 11397.56 10536.27 6738.13 121.63
463 7/30/2008 11583.69 10729.19 6846.97 123.55
464 7/31/2008 11378.02 10720.97 6853.42 123.78
465 8/1/2008 11326.32 10569.64 6714.93 121.78
466 8/4/2008 11284.15 10457.92 6682.22 119.77
467 8/5/2008 11615.77 10663.55 6793.17 119.52
468 8/6/2008 11656.07 10702.28 6859.41 121.45
469 8/7/2008 11431.43 10650.45 6853.37 119.76
470 8/8/2008 11734.32 10516.76 6751.62 119.52
471 8/11/2008 11782.35 10626.96 6807.39 122.21
472 8/12/2008 11642.47 10522.74 6736.96 121.24
473 8/13/2008 11532.96 10162.18 6546.19 119.87
474 8/14/2008 11615.93 10308.72 6585.60 118.24
475 8/15/2008 11659.90 10163.38 6540.78 117.88
476 8/18/2008 11479.39 10168.98 6541.45 119.39
477 8/19/2008 11348.55 9907.12 6370.81 117.23
478 8/20/2008 11417.43 9984.03 6429.85 116.94
479 8/21/2008 11430.21 10075.03 6405.67 117.79
480 8/22/2008 11628.06 10230.51 6519.19 115.22
481 8/26/2008 11412.87 10058.43 6399.87 116.34
482 8/27/2008 11502.51 10162.31 6431.95 116.22
483 8/28/2008 11715.18 10245.72 6567.78 116.70
484 8/29/2008 11543.55 10279.47 6598.85 120.47
485 9/2/2008 11516.92 10040.26 6590.78 115.85
486 9/3/2008 11532.88 9769.67 6430.21 117.03
487 9/4/2008 11188.23 9503.25 6189.26 116.18
488 9/5/2008 11220.96 9259.27 5986.68 114.72
489 9/8/2008 11510.74 9608.91 6165.90 116.93
490 9/9/2008 11230.73 9553.66 6068.33 115.40
491 9/10/2008 11268.92 9418.75 6021.45 114.79
492 9/11/2008 11433.71 9310.92 5916.28 113.62
493 9/12/2008 11421.99 9673.68 6142.13 113.85
494 9/16/2008 11059.02 8916.92 5770.72 110.68
495 9/17/2008 10609.66 8820.21 5677.14 112.17
496 9/18/2008 11019.69 8878.18 5689.85 109.55
497 9/19/2008 11388.44 9734.02 6230.01 111.62
498 9/22/2008 11015.69 9656.26 6181.95 113.23
499 9/24/2008 10825.17 9438.58 6033.93 114.26
500 9/25/2008 11022.06 9599.90 6200.40 112.82
 RETURNS
DJIA FTSE 100 CAC 40 nikkei 225

-0.0040813 -0.0031946 0.0006695 0.0197867

-0.0087179 0.008027 0.0150323 0.0116197 DJIA
0.0043508 -0.0150771 -0.0180033 -0.0037163 FTSE 100
-0.0032676 0.0021805 0.0011449 -0.0098776 CAC40
0.0008883 0.0062292 0.0105116 0.0154414 Nikkei 225
0.0119293 0.0062978 0.0169906 0.0011161
0.0086249 0.0021531 0.0095215 0.0182398
0.0006921 -0.0029895 0.0021098 -0.0009863
0.0041032 -0.0066263 -0.0049779 0.0034903
-0.0032008 0.0112746 0.0015317 -0.0095294
-0.0004584 -0.0066013 -0.0034713 0.0080634 DJIA
-0.0036985 -0.0044835 -0.0104134 -0.0017211 FTSE 100
0.0005806 0.0003365 0.0059259 -0.0107403 CAC40
-0.0018055 -0.0011351 -0.0040318 -0.009719 Nikkei 225
0.0076116 0.005208 0.0105258 0.0002225
0.0011407 0.0138785 0.0102836 -0.0022761 Std Devs
-0.0001546 -0.0060556 -0.0061034 0.0147643
0.0072928 0.008128 0.0039498 -0.0005737 alpha's
0.0004475 -0.0002253 -0.0017893 0.0262731
-0.0054999 -0.015045 -0.0126004 -0.0107329 Variance-Covariance
-0.0065543 -0.0154755 -0.0151177 -0.0151638
0.0053541 -0.0011475 -0.0022903 0.0017551
0.0004152 -0.0062348 -0.0012362 -0.0261327
0.008884 0.0147273 0.0131188 -0.0050046
0.0039337 -0.0010926 0.0014437 0.0028051
-0.00138 0.0060209 0.0029815 0.0144535
0.0028957 -0.0067509 -0.003771 -0.0062568
-0.0017179 -0.0030412 -0.0014468 0.0039637
0.0062629 0.0071782 0.015002 -0.0103938 Portfolio Variance
-0.0068853 0.0092963 0.0044039 0.011406
-0.0021789 -0.0097543 -0.0064234 -0.0092094 Portfolio SD
0.0058837 -0.0057449 -0.0039627 -0.0009992
0.0080841 0.0107465 0.0089336 -0.0095606
0.001701 0.0059966 0.0073129 0.0222132
0.0024989 -0.0008379 -0.0003338 0.0007343 One-Day 99% VaR
-0.0033605 -0.0046886 -0.0017733 0.0043653
-0.0007466 0.0084848 0.0047985 0.0109386 One-Day 99% ES
0.0048833 -0.0013069 -0.0047052 -0.0021067
0.0105113 0.002292 0.0029534 -0.010578
0.0013569 0.0025231 0.0060838 0.0253264
-0.0013888 -0.0043836 -0.0092689 -0.0117232
0.0014312 0.0043372 0.0014683 -0.0030238
-0.0012674 0.0005629 0.0013937 -0.0041543
0.0080635 0.0079245 0.0082087 -0.0012684
0.0010722 0.0052851 -0.0050372 0.0072129
0.0016789 0.0049916 0.0033877 0.0146952
-0.0025516 -0.005495 -0.0091395 -0.0002516
0.0035699 0.005604 0.0089695 -0.0007062
0.0015885 0.0056282 0.0063857 0.0003652
-0.0007792 0.0023753 0.0032916 0.0021616
0.0095431 -0.0027572 0.002739 0.0036755
0.0009053 0.0024455 -0.0018445 -0.0018359
0.0005607 0.0080386 0.0066924 -0.001997
0.0023882 0.0007193 0.0085979 0.0112237
-0.0060344 0.0010971 -0.0027798 -0.0001318
-0.0003118 -0.0024939 -0.006643 -0.0179449
-0.0004766 0.0029157 0.0010471 0.0057324
-0.0041148 0.0031705 0.0050354 6.5196E-05
-0.0010373 5.6088E-05 -0.0118234 -0.002735
0.0072396 0.0065501 0.0129827 -0.009669
0.0042311 0.0097445 0.0135142 0.0095123
0.0016263 -0.0037842 -0.0035579 -0.0147804
-0.0060148 -0.0035636 0.0050529 -0.0041834
0.0004239 0.003219 0.0048119 0.0016256
0.0019367 -0.0068792 0.0044174 -0.0109705
0.0070995 -0.0062649 -0.0029841 0.0199493
0.0027582 0.003739 0.006308 -0.0059529
0.0044165 0.0048801 -0.0010542 -0.0050689
0.0029848 -0.0072264 -0.0103416 -0.0007408
-0.0021073 0.0034997 0.0018633 -0.0268662
0.00041 0.0006949 0.0016154 0.0028976
0.000435 0.0009199 0.0071406 0.0225473
-0.0037949 0.0031451 0.0004754 -0.0048018
-0.0129037 -0.0092031 -0.0126673 0.0075825
0.0012152 0.0013477 0.0016492 -0.0031841
0.0074396 0.0107451 0.0142696 0.0146331
-0.0003926 0.0031246 -0.0022195 0.0167886
-0.0022746 0.0024202 -0.007895 0.0070955
0.0073576 0.0038863 0.0071937 -0.0033644
0.0038872 0.0019341 0.0107986 0.000627
-0.0018124 0.0002854 -0.0010275 0.0081516
-0.0025054 0.0037501 0.0038727 0.0039635
0.0023676 0.0045835 0.002253 -0.0062193
0.0017063 -0.0053134 0.0004673 -0.0067915
-0.0010464 0.005842 0.001717 0.0064707
0.0001559 0.006273 0.0077006 0.0017746
0.0080585 0.0034321 0.0023164 0.0049922
 0.0023162 -0.0003416 -0.0003731 0.0044595
-0.0003415 -0.0051826 -0.0038647 -0.0007397
0.0024153 0.001662 -0.0005329 -0.0109202
-0.0005974 0.000622 0.0067334 0.0120723
-0.0034195 -0.0042816 -0.0023094 0.001232
-0.0062828 0.0001514 -0.0108954 0.000311
0.0135589 0.0063441 0.0135145 0.0094188
-0.0007234 0.0017137 0.0002439 -0.003815
-0.0030692 -0.0046956 0.0045554 -0.0014514
0.0014073 0.0042897 -0.0013238 0.0067455
-0.0066246 -0.0193914 -0.0178484 -0.010955
0.0014994 0.0029117 0.0037547 0.0029778
0.0020585 -0.0085313 -0.0098656 -0.0190247
0.0058527 0.0146095 0.0151337 -0.0129179
0.0032841 0.0111772 0.0047613 0.0138384
0.0021113 -0.0034297 -0.0047713 0.0052697
-0.0004323 0.003492 -0.0039054 0.0051716
-0.0007331 0.001341 -0.0010825 -0.0001223
-0.000191 0.0052482 0.0102164 -0.0040569
-0.0070327 -0.0018525 -0.0051892 0.0049148
0.0045395 0.0066483 0.0048854 0.0007504
0.0070186 0.0032828 0.005927 0.0090022
-0.0094448 -0.0045282 -0.0040895 -0.0025572
-0.0012429 -0.0122332 -0.0101905 -0.0065188
0.0003011 0.0010415 0.0090439 -0.0006692
0.0026043 0.0021248 0.006169 0.0042597
0.0078558 -0.0082586 -0.0036342 -0.0013385
0.0041191 0.0195296 0.0117215 0.0115918
-0.0015931 0.0034979 -0.0009848 -0.0037155
0.000652 -0.0031121 -0.0030801 -0.0045447
0.0003609 0.0089024 0.0013088 0.0021617
4.4212E-05 0.0043694 0.0095883 -0.0082268
-0.0023084 -0.0095945 -0.0050915 -0.0042819
-0.0044945 0.0006511 0.0016934 0.0079258
0.0058836 -0.0029791 -0.0004154 0.0100106
0.0068756 0.0153919 0.0161893 0.0117823
0.0018168 -0.001437 0.0004468 0.0191138
0.0002005 -0.0042897 -0.002716 0.0002174
0.0014936 0.0025154 0.0023432 -0.0031336
-0.0037719 -0.01104 -0.0051384 -0.0087072
-0.0041128 0.0038467 0.0006276 0.0071722
-0.003038 0.0085207 0.005976 0.0073836
-0.0012034 0.0053399 0.0084734 0.0059671
-0.0329331 -0.0218495 -0.0248263 0.0099258
0.0042886 -0.0210278 -0.0153742 -0.0263337
-0.0027949 -0.0102064 -0.0141467 -0.0015603
-0.0098281 -0.0068126 -0.0056504 -0.0082708
-0.0052575 -0.0186744 -0.0126443 -0.0250199
0.0130435 0.0129081 0.0102043 0.0100632
-0.0012402 0.0055367 0.006333 -0.0073892
0.0055977 0.0113554 0.0112214 0.0126507
0.001274 0.0037452 0.001538 -0.0021488
0.0034457 -0.0033521 -0.0021773 0.0121056
-0.0196986 -0.0100298 -0.0104426 -0.0016409
0.0047566 -0.0252436 -0.0232311 -0.0238787
0.0021659 0.0235607 0.0194314 0.0029001
-0.0040519 0.0026215 0.0032252 -0.0024714
0.0095587 0.0115144 0.0134581 0.00868
0.0050654 0.0110861 0.0074488 0.0112692
0.0140819 0.0205831 0.0224445 0.0112097
0.0015946 0.001296 0.0022142 0.0029292
-0.0009567 -0.0048134 -0.007998 0.0020253
-0.0057566 -0.0015145 0.0029995 -0.0094593
-0.0078186 -0.0039858 -0.0046904 0.0061892
0.003934 0.0078627 0.0116292 -0.0116865
0.0004535 -0.0034254 -0.0011312 1.6279E-05
0.0022624 0.0095607 0.0067139 -0.0129892
0.0103882 0.0084198 0.0116173 0.004479
0.0015283 -0.0008768 0.0048789 0.0187719
0.0024565 0.0023769 0.0049829 -0.0024135
0.0010366 0.0035097 0.0047402 0.0054111
-0.0070965 0.002592 -0.0026227 -0.0017911
0.0054739 0.0006856 0.0036633 -0.0041661
0.0047136 0.0089501 0.0083882 -0.012965
0.0085894 0.0120374 0.0151519 0.0109025
0.0041335 0.0046923 0.0008382 -0.0012193
0.0024113 -0.0073002 -0.0027053 0.0166753
0.0003741 -0.0027588 0.0005828 -0.0168841
0.0119724 0.0076259 0.0177391 -0.0005966
-0.003285 -0.00269 -0.0055261 0.0015054
0.0026735 -0.0065071 -0.0012228 0.0024957
0.0104949 0.0064945 0.0131748 -0.0129381
0.0011925 -0.0057277 -0.0044296 0.0034905
0.0011781 -0.0028061 0.0015157 -0.0022351
0.0069309 0.0042968 0.0054772 -0.0057255
0.0073563 0.0101627 0.0023232 0.0170896
0.0040424 0.003244 0.0046471 0.0065131
-0.011056 -0.0109268 -0.0093765 -0.0066036
0.0084063 0.0062241 0.0071147 -0.0076116
0.0015428 -0.0025608 -0.0027876 0.0049011
 0.0027767 0.0037691 0.0081041 -0.0085901
0.0077474 -0.0019894 -0.0067502 -0.0025684
-0.0008015 -0.000826 -0.004705 -0.0065087
0.0059221 0.0089028 0.0125745 -0.0051665
-0.0010069 -0.0031484 -0.0045275 0.0058036
-0.0002163 -0.0018208 0.000238 0.0085089
-0.0010561 0.0087357 0.0070388 0.0012531
-0.0062489 -0.0094542 -0.0157296 -0.000378
0.0049215 0.000424 0.0030001 -0.0138973
0.0010409 0.0038579 0.0018404 0.0101156
0.008264 -0.0040449 -0.0062368 -0.0029683
-0.000399 0.0045992 0.0121395 0.0139259
0.0029697 0.0087595 0.0077975 0.0028392
0.0006007 0.0042659 -0.0020432 0.0031113
-0.0059124 -0.0038471 -0.0048987 0.0052984
-0.0095466 -0.0171915 -0.0186847 0.0042397
-0.0147739 -0.0082564 -0.0170048 -0.0026057
0.0118839 -0.0066142 -0.0088272 -0.0160844
4.246E-05 0.0094385 0.0087112 0.0017146
-0.0096797 -0.0039921 -0.0093065 -0.0043705
0.014091 0.0056551 0.0053191 -0.0062365
0.0052943 0.0120189 0.0197136 0.0013466
0.0063267 0.0162617 0.0135126 0.0023485
-0.0019429 -0.0023284 -0.000699 0.0087629
0.0016484 -0.0046957 -0.0016069 0.0030475
-0.0107074 0.0026822 0.0043688 0.0004571
0.0041825 -0.008215 -0.0118799 0.0014905
-0.0137001 -0.0026869 0.0010616 -0.0062881
-0.0006145 0.0035997 -0.0015098 -0.0027484
-0.0010777 -0.0030207 -0.0075768 0.004093
0.0067531 -0.0061269 -0.0042425 -0.0070814
-0.0004059 0.0096187 0.0133291 0.0006462
-0.0010177 0.0074778 0.0110898 0.0070703
0.0094573 0.000961 0.0046042 0.0102532
0.0030934 0.0089161 0.0058825 3.4863E-05
-0.0008441 -0.0037157 -0.0026489 -6.149E-05
0.0033791 0.0096282 0.0094565 -0.0074908
0.002813 0.004375 5.0167E-05 0.0057742
-0.0108623 -0.0079211 -0.0073675 0.0095604
0.0056415 0.0027931 0.0011083 -0.0091826
0.0209061 0.009799 0.0165701 -0.0086662
0.0032839 0.0046656 0.0027192 0.0159938
0.0046235 -0.0027225 -0.0022402 -0.0010252
-0.003817 -0.0101499 -0.0152978 -0.0079056
0.0059052 0.009998 0.0127148 0.0041221
-0.0106661 -0.0057188 -0.0170464 0.0089814
0.0066666 0.0073233 0.0074745 -0.0119229
-0.0162421 -0.0174022 -0.0163788 0.0078679
0.0050186 -0.0125176 -0.0205766 -0.0045951
-0.022648 -0.0329324 -0.0266967 -0.0009442
-0.0154451 -0.0134353 -0.0100958 -0.0194374
0.0069986 -0.0046113 0.0023415 0.0031887
-0.0109535 0.0288645 0.0192437 -0.0074483
0.0113821 -0.0186192 -0.0179038 -0.017619
0.0075555 0.0095903 0.0047739 0.002983
-0.0209027 -0.0090008 -0.0081694 0.0049863
0.0217624 -0.0093129 -0.0094117 0.0009685
0.0026372 0.0142222 0.013421 -0.0046376
0.0113712 0.022214 0.0270322 -0.0040769
-0.0283485 -0.0233759 -0.0298351 0.0166261
-0.0023465 -0.0420237 -0.0331717 -0.0163801
-0.0002273 0.0258459 0.0174117 -0.00285
-0.0156846 -0.0178368 -0.0194753 0.0063933
-0.0128522 -0.0100418 -0.0139198 -0.0162336
-0.0012199 -0.0455144 -0.0374931 0.0060582
0.0181616 0.0373389 0.027038 -0.0504321
0.0032319 0.0022397 0.0043583 0.02062
-0.0023237 5.7674E-05 0.0044054 0.0150647
0.0110971 0.0221125 0.0202689 -0.0060422
-1.889E-05 0.0073778 0.0052834 0.0153734
0.0108032 0.0056955 0.0130132 -0.0012066
-0.0251905 -0.0190035 -0.0166929 0.0107419
0.0189728 0.0073667 0.0087886 -0.0180592
-0.0038046 0.0135162 0.0123067 0.0026196
0.0089895 0.0155533 0.012133 0.0246454
0.0068215 0.0081999 -0.0016333 -0.0113577
-0.0106619 -0.0118933 -0.016684 -0.0087056
0.0043501 0.0076907 0.007404 0.0069719
-0.0187056 -0.0176424 -0.0210468 0.0074401
0.0011035 -0.0076083 -0.0059899 -0.0207742
0.0137524 0.0247573 0.0202706 -1.024E-06
-0.0012579 0.0043073 0.0090751 -0.0059142
0.0100236 0.0074601 0.010102 -0.0090068
0.001314 -0.0193271 -0.005688 0.0223676
0.0220844 -0.0083536 0.001883 -0.0264512
0.0055439 0.0294094 0.0393321 0.0325868
-0.0035366 0.0024688 0.0017498 0.0170135
0.0038855 0.0076498 0.002655 -0.0135701
-0.0030057 -0.0114681 -0.0082635 0.014695
0.0072213 0.0052443 0.0085749 -0.0095321
 0.0025068 0.0126037 0.0096245 0.0243887
-0.0012442 0.0036284 0.0020214 0.0028712
0.0138115 0.008858 0.0113671 -0.0019628
-0.0028564 -0.0019673 -0.001892 0.0098255
-0.0056424 0.0034815 0.0007666 0.0016358
0.0004482 0.0040584 -0.0011561 -0.0037696
0.006562 0.0075127 0.0072627 -0.0036592
0.0070041 -0.0010075 -0.0006175 0.0030661
-0.0060602 0.0076402 0.0013622 0.0002789
-0.0045153 0.0112152 0.0094593 0.0120415
0.0055626 -0.0009438 -0.0080227 -0.0060526
-0.0076832 -0.0091681 -0.0024308 0.0013009
-0.0051384 -0.0095658 -0.0104819 -0.0051494
-0.0014663 0.0124671 0.0105572 -0.011588
-0.0002577 -0.0060022 -0.0029158 0.0177022
-0.0264195 -0.0126205 -0.0070508 -0.0108107
0.0033242 -0.0193115 -0.020774 -0.0148131
0.0080534 0.0188137 0.0147673 -0.0045868
-7.166E-05 -0.0056898 -0.0065987 -0.0004612
-0.0002435 0.0159854 0.0207535 -0.0060183
0.0098582 0.0142101 0.0117914 0.0144877
0.0046036 0.0109289 0.0082911 0.0068086
-0.0056084 -0.0040213 -0.0042366 -0.0029927
0.0099721 0.0144305 0.010792 0.0002323
-0.0259971 -0.0181307 -0.0222757 0.0115297
0.0020069 -0.0082839 0.0013481 -0.0198957
-0.0038028 -0.0112616 -0.007121 -0.0128117
0.0086788 0.0054608 0.0100626 0.0004745
-0.0264199 -0.006122 0.003295 -0.0001408
-0.0025361 0.0014465 -0.0076221 -0.0159396
-0.016851 -0.0182983 -0.0197996 0.006912
-0.0042315 -0.0118494 -0.0075541 -0.013468
0.0246036 0.0103007 0.0051348 -0.0123118
-0.0057173 0.0075403 0.0197388 0.0138922
-0.0091422 -0.0208937 -0.0138387 -0.0024534
0.0050908 -0.0105619 -0.0063072 -0.0128503
-0.0165708 -0.0241368 -0.0150443 -0.0035199
0.0039897 0.0235653 0.0224821 0.0114157
-0.0162258 -0.0294763 -0.0198711 -0.0089232
-0.0043441 0.0243446 0.0152286 0.0215613
0.0168714 -0.0054786 -0.0029577 0.0029186
0.025544 0.0276459 0.0162796 -0.0171209
0.0016765 0.0025738 0.0075274 0.0264609
0.0045066 0.0099919 0.0066983 -0.00027
-0.0042739 -0.0017273 -0.0085596 0.0004021
 -0.004945 -0.0152932 -0.0083593 -0.0018393
0.0148112 0.0127471 0.0134368 -0.0035942
0.0130108 -0.0023464 0.0002502 0.0130634
0.0004178 0.0127311 0.009997 0.0023935
0.0074456 0.0098437 0.0099166 -0.0023616
-0.0214365 -0.0078444 -0.0060114 0.0084591
0.0030619 0.0067514 0.0023584 -0.0125828
0.00327 -0.0335648 -0.031513 -0.0239693
-0.0131758 -0.0037745 -0.0089943 -0.0121636
-0.0129424 -0.0208204 -0.0202435 -0.0160211
0.004957 0.0016784 0.0008714 -0.0024853
-0.0019044 -0.0064128 -0.003174 -0.0130566
0.0029052 -0.0014162 -0.0006114 0.0041469
0.0154775 0.0153796 0.0186146 0.0059963
-0.0067684 0.0119873 0.0181654 0.0180224
0.0004686 -0.0008601 0.0092221 -0.0075517
-0.0423235 -0.0289232 -0.0273494 0.0031858
0.0021336 -0.0014602 -0.0027222 -0.0171685
-0.0185866 0.0022673 0.0075599 -0.007376
0.0116164 -0.0207839 -0.0140099 0.0064113
0.0092483 -0.0083763 -0.0018986 -0.0139162
-0.0192008 -0.0029192 -0.0015482 -0.0151362
-0.0083442 -0.0219432 -0.0183845 0.0106027
-0.0027958 -0.0169767 -0.0162413 -0.0336836
-0.0246227 -0.0007493 -0.0127809 0.0178924
-0.0049271 -0.0118022 -0.0167323 0.0062109
-0.0105882 -0.0238973 -0.0497602 -0.0908151
0.024975 -0.0284187 -0.0463967 0.030881
0.0088377 0.0593852 0.0712975 0.0115631
-0.0138497 0.0047194 -0.0084373 0.0348557
0.0144767 -0.0115591 0.0005041 -0.0351266
0.0077851 0.0166353 0.0172564 0.0286189
-0.0030023 -0.0075901 -0.0124244 -0.0138947
0.0166787 0.0071288 0.0005559 0.0284091
0.0073381 0.0153004 0.0234452 -0.0063578
-0.0084775 0.0031073 -0.001332 0.0217637
-0.0292857 -0.0317228 -0.0508158 -0.0095383
-0.005302 -0.0009814 0.0093183 -0.0454091
0.0038442 -0.0349959 -0.0296159 0.0093726
-0.0052968 0.0129626 -0.0034291 -0.0219928
0.0157017 0.0291337 0.0345772 0.0005488
0.0144528 -0.0038919 0.0011355 -0.0039514
-0.0139624 0.0044998 0.0046199 0.043385
-0.0023245 -0.0200903 -0.0132604 0.0048236
-0.00089 0.0249395 0.0276731 0.010687
 0.0072982 -0.0177006 -0.0214382 -0.0369179
-0.0115037 0.0166119 0.0194214 0.0333662
0.0078735 -0.0039227 -0.0054412 -0.0086497
0.0152815 0.0194201 0.0206893 0.0198988
0.0091247 0.0168683 0.0143987 -0.0023963
0.0007379 0.0064595 0.0136258 0.0257097
-0.0088307 -0.0176911 -0.0154975 -0.0005022
-0.0250982 -0.013843 -0.0153271 -0.0074875
-0.0006106 -0.0144959 -0.0086652 -0.0383459
-0.003679 -0.0069478 -0.0118214 0.0058449
0.0033724 0.0167155 0.0195479 -0.0127931
-0.0175112 -0.0051263 -0.0107366 0.0273579
-0.012184 -0.0092203 -0.012783 -0.0317028
-0.0129094 -0.0111954 -0.0103396 -0.0084407
0.0354902 0.0044233 0.0104953 -0.0003409
-0.0038308 0.0238777 0.0260075 0.0207877
0.0029314 -0.0096658 -0.0085612 -0.015859
-0.0160262 -0.0115889 -0.0069777 -0.0116958
0.0017705 -0.0519941 -0.0251973 -0.0043049
0.0351154 0.04601 0.0355077 0.001245
-0.023643 -0.0281613 -0.0146775 0.0133147
0.0357812 0.0330572 0.0268104 0.0319576
-0.0087564 -0.0039501 0.0072599 0.0065266
-0.0096918 0.0139728 0.0115539 -0.0154799
-0.0069953 -0.0145588 -0.0075113 0.0187599
0.0038055 0.000911 0.0079334 -0.0210412
0.0319231 0.0201967 0.0174805 -0.0127637
-0.0035909 0.0137834 0.0103927 0.0336854
0.001357 0.0028281 -0.0033506 0.0193739
-0.0013155 0.0090162 0.0096071 -0.0003783
0.0002387 0.0090002 0.0068602 0.0023376
-0.0028535 -0.0148019 -0.0066096 -0.0153349
-0.0039105 0.0019428 -0.0032942 -0.0076501
0.0043681 -0.0008189 -0.0024028 3.7502E-06
-0.0203911 -0.0152642 -0.0107794 0.0281132
-0.0018953 -0.0046675 -0.0052939 -0.0268307
0.0049106 0.0019857 0.0005996 -0.0005946
0.0207725 0.030572 0.0249612 0.0123736
9.6678E-05 -0.0060269 -0.0014167 0.0086289
0.0181348 0.0186926 0.0095569 -0.0142915
-0.0018943 -0.0087846 0.0013105 0.0294392
-0.0081707 0.0038722 -0.0041923 -0.0114341
0.0033797 0.0009259 0.0086556 -0.0018461
0.006717 -0.0091748 -0.0141675 -0.0066543
0.0033396 0.0147893 0.0071827 0.0227426
-0.0015599 0.0029531 0.0058357 -0.0012241
-0.0040103 -0.0077742 -0.0077349 -0.0033849
0.01857 0.0183275 0.0038584 0.0065862
-0.0186741 -0.0047164 0.0004881 0.0035975
0.0040915 0.0040802 -0.0023514 0.0051215
-0.0093963 -0.0156999 -0.018038 -0.0169494
0.0102127 0.0103416 0.0076645 0.0021742
-0.0034071 -0.0088835 0.0035801 0.007725
0.0051589 -0.0018076 0.009285 0.0040258
0.0073094 0.0081938 0.0018426 0.0137677
-0.000451 0.0121796 0.0089 0.0047344
0.0031848 0.0089157 0.0101016 -0.0003165
-0.0153114 -0.0191814 -0.0091222 -0.001559
-0.0177329 -0.0011369 0.0029051 -0.0110821
0.0019387 0.0059698 -0.0030644 -0.0028207
-0.011563 -0.014907 -0.0156367 0.0080382
0.0055066 -0.0083469 -0.0084855 -0.0154377
0.0036403 0.0048761 0.0071393 -0.0193576
0.004144 -0.0021652 -0.0051001 0.0238225
-0.0006247 -0.0027593 0.008183 0.0136174
-0.0106422 -0.0138597 -0.0165331 0.016911
-0.0080751 0.0097772 0.0054558 -0.0226323
-0.0009974 -0.0208758 -0.0145347 0.0181581
0.0172689 0.004735 0.0039539 -0.0166544
-0.0313096 -0.0071506 -0.0101619 0.0179208
0.0057749 -0.0015084 0.0003744 -0.0281815
0.0007687 -0.0205459 -0.0236437 -0.0216279
-0.0167611 -0.0124149 -0.0173888 0.0155553
0.0047841 0.0026211 -0.005284 -0.0322113
0.0136531 0.0015061 -0.0026267 0.0062226
-0.0031095 0.0083437 0.0022907 0.0247731
-0.0088662 0.0059472 0.008946 0.0008761
-0.0107925 -0.0149951 -0.0136561 0.00952
0.002829 -0.0019944 -0.0076174 -0.0230487
-0.0182706 -0.0130979 -0.0088275 -0.0078904
-2.787E-05 -1.268E-05 -0.0089843 -0.0109499
-0.0029496 0.0002022 -0.0013782 0.0013778
0.0003726 0.0039911 0.0120832 -0.0056646
-0.0303433 -0.0157104 -0.0127466 0.0085881
-0.0093343 0.0033295 -0.0063661 -0.0104158
0.0003085 0.016696 0.0088525 -0.0034293
0.0028414 -0.0253151 -0.0212688 -0.0013485
-0.01465 -0.0093834 -0.0032377 -0.0140644
0.0065106 0.0044569 0.0013667 -0.006913
-0.0050113 -0.0001098 -0.0034541 -0.0007339
 0.0135551 -0.0119445 -0.0144978 -0.0216507
-0.0207981 0.0198823 0.0184935 0.0023015
0.0073183 -0.0225043 -0.0212139 0.0033096
-0.0114418 -0.0217384 -0.0238475 0.0058929
-0.0040854 0.0090967 0.0094126 -0.0061075
-0.0083807 -0.0178259 -0.0149476 -0.0001086
0.0252441 -0.0083902 0.0030198 -0.0037109
0.0184514 0.0317962 0.0316892 0.0023136
0.0043602 0.0116723 0.0154262 -0.0169623
0.0092141 -0.0021378 0.0053737 0.0282359
0.0025753 0.0160461 0.0098741 0.0009037
-0.0243372 -0.022874 -0.015325 0.0237106
0.0018865 0.0004564 0.0067134 -0.0221944
-0.0210726 -0.0055752 -0.0078485 0.0040318
0.0239402 -0.0039871 -0.009953 -0.0197443
0.0163307 0.0183101 0.0161532 0.0157381
-0.0177551 -0.0007659 0.0009422 0.0018785
-0.0045438 -0.0141155 -0.0202087 -0.0161818
-0.0037232 -0.0105704 -0.0048707 -0.0164425
0.0293881 0.0196626 0.0166038 -0.0020789
0.0034694 0.0036326 0.0097515 0.0160942
-0.0192724 -0.0048432 -0.0008815 -0.0138661
0.0264962 -0.0125528 -0.0148469 -0.0020644
0.0040931 0.0104783 0.0082616 0.0225326
-0.011872 -0.0098063 -0.0103466 -0.0079443
-0.0094061 -0.0342649 -0.0283166 -0.0112667
0.0071942 0.0144202 0.006019 -0.0136217
0.0037853 -0.0140988 -0.0068044 -0.0030827
-0.0154813 0.000551 0.0001018 0.0128678
-0.0113978 -0.0257515 -0.0260855 -0.0180979
0.0060695 0.0077632 0.0092672 -0.0024928
0.0011193 0.009115 -0.0037611 0.0072908
0.0173094 0.0154316 0.0177211 -0.0218461
-0.0185061 -0.01682 -0.0183024 0.0097221
0.0078543 0.0103274 0.0050122 -0.0010146
0.018489 0.0082077 0.021118 0.0041272
-0.0146502 0.0032943 0.0047316 0.0322545
-0.0023069 -0.0232708 -0.0012232 -0.0382833
0.0013858 -0.0269504 -0.0243635 0.0101592
-0.0298841 -0.0272698 -0.0374712 -0.0072839
0.0029254 -0.0256734 -0.0327312 -0.012525
0.0258249 0.0377609 0.0299378 0.0192023
-0.024326 -0.0057496 -0.0158256 -0.0130665
0.0034005 -0.0141208 -0.0077244 -0.0052819
0.0146234 -0.0114486 -0.0174665 -0.0102026
 -0.001025 0.0389609 0.0381752 0.0020324
-0.0317782 -0.078229 -0.0604698 -0.0277858
-0.0406329 -0.0108454 -0.0162168 0.0134175
0.0386469 0.0065724 0.0022396 -0.0233818
0.0334628 0.0963976 0.0949331 0.0189091
-0.0327306 -0.0079883 -0.0077132 0.014428
-0.0172953 -0.022543 -0.0239436 0.0091092
0.0181882 0.0170914 0.0275876 -0.0125877
 CORRELATIONS

DJIA FTSE 100 CAC40 Nikkei 225 0.0001230 0.0000770 0.0000768

1 0.0000770 0.0002014 0.0001821
0.489105943 1 0.0000768 0.0001821 0.0001954
0.495709627 0.9181083 1 -0.0000095 0.0000395 0.0000408
-0.061899208 0.2009422 0.210951 1

COVARIANCES

DJIA FTSE 100 CAC40 Nikkei 225

0.000122707
7.681197E-05 0.000201
7.667149E-05 0.0001817 0.000195
-9.4745E-06 3.9364E-05 4.07E-05 0.00019093

0.011077298 0.0141773 0.0139628 0.013817752

4000 3000 1000 2000 alpha's

0.0001227 0.0000768 0.0000767 -0.0000095 4000

0.0000768 0.0002010 0.0001817 0.0000394 3000
0.0000767 0.0001817 0.0001950 0.0000407 1000
-0.0000095 0.0000394 0.0000407 0.0001909 2000

8761.832891

93.60466277

2.326347874

217.7570082

249.4764783
-0.0000095
0.0000395
0.0000408
0.0001914
Number of observations (days) 600 T
No. of exception (Loos>VaR) 7 x (or N)
Expected No. of Exceptions 30 99% Confidence interval
H0: VaR is correct model or Unbiased
Ha: VaR in incorrect or Biased
Probability of exceptions 0.01 p

0.159793964787073

3.85

p= probability level
T= trading days (Observations)
N=No. of exceptions
LR: Log likelyhood ration test (LR) which is having a chi-square distribution with 1d.f.
Estimated value

Chi-squre table vale at 95% CI