hw4-2 - S&P 500 Index St Dev Annual 2.50 Date Close...

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Unformatted text preview: S&P 500 Index St Dev Annual 2.50% Date Close 0.01 0.21-1.96 12/31/2001 1148.08-0.01 S&P 500 Index 12/28/2001 1161.02 Portfolio Value 1 Day 10 Day 12/27/2001 1157.13 0.01 $500,000.00 $6,746.40 $21,333.98 12/26/2001 1149.37 $13,222.69 $41,813.83 12/24/2001 1144.65 12/21/2001 1144.89 12/20/2001 1139.93-0.01 12/19/2001 1149.56 0.01 a. S&P and Oil 12/18/2001 1142.92 0.01 Correlation Daily VAR 10 day 12/17/2001 1134.36 0.01-0.02 $18,857.79 $59,633.57 12/14/2001 1123.09 12/13/2001 1119.38-0.02 12/12/2001 1137.07 b.If short Oil 12/11/2001 1136.76 Daily VaR 10 day 12/10/2001 1139.93-0.02 $19,258.61 $60,901.06 12/7/2001 1158.31-0.01 12/6/2001 1167.1 12/5/2001 1170.35 0.02 $45,513,866.55 12/4/2001 1144.8 0.01 49047886.18 12/3/2001 1129.9-0.01 1988514.1 11/30/2001 1139.45 $96,550,266.83 11/29/2001 1140.2 0.01 19258.61 60901.06 11/28/2001 1128.52-0.02 11/27/2001 1149.5-0.01 11/26/2001 1157.42 0.01 11/23/2001 1150.34 0.01 11/21/2001 1137.03 11/20/2001 1142.66-0.01 11/19/2001 1151.06 0.01 11/16/2001 1138.65 11/15/2001 1142.24 11/14/2001 1141.21 11/13/2001 1139.09 0.02 11/12/2001 1118.33 11/9/2001 1120.31 11/8/2001 1118.54 11/7/2001 1115.8 11/6/2001 1118.86 0.01 11/5/2001 1102.84 0.01 11/2/2001 1087.2 11/1/2001 1084.1 0.02 10/31/2001 1059.78 10/30/2001 1059.79-0.02 10/29/2001 1078.3-0.02 10/26/2001 1104.61 10/25/2001 1100.09 0.01 10/24/2001 1085.2 10/23/2001 1084.78 10/22/2001 1089.9 0.02 10/19/2001 1073.48 10/18/2001 1068.61-0.01 10/17/2001 1077.09-0.02 10/16/2001 1097.54 0.01 10/15/2001 1089.98 10/12/2001 1091.65-0.01 10/11/2001 1097.43 0.02 10/10/2001 1080.99 0.02 10/9/2001 1056.75-0.01 10/8/2001 1062.44-0.01 10/5/2001 1071.38 10/4/2001 1069.63 10/3/2001 1072.28 0.02 10/2/2001 1051.33 0.01 10/1/2001 1038.55 9/28/2001 1040.94 0.02 9/27/2001 1018.61 0.01 9/26/2001 1007.04-0.01 9/25/2001 1012.27 0.01 9/24/2001 1003.45 0.04 9/21/2001 965.8-0.02 9/20/2001 984.54-0.03 9/19/2001 1016.1-0.02 9/18/2001 1032.74-0.01 9/17/2001 1038.77-0.05 9/10/2001 1092.54 0.01 9/7/2001 1085.78-0.02 9/6/2001 1106.4-0.02 9/5/2001 1131.74 9/4/2001 1132.94 8/31/2001 1133.58 8/30/2001 1129.03-0.02 8/29/2001 1148.56-0.01 8/28/2001 1161.51-0.02 8/27/2001 1179.21 8/24/2001 1184.93 0.02 8/23/2001 1162.09 8/22/2001 1165.31 0.01 8/21/2001 1157.26-0.01 8/20/2001 1171.41 0.01 8/17/2001 1161.97-0.02 8/16/2001 1181.66 8/15/2001 1178.02-0.01 8/14/2001 1186.73 8/13/2001 1191.29 8/10/2001 1190.16 0.01 8/9/2001 1183.43 8/8/2001 1183.53-0.02 8/7/2001 1204.4 8/6/2001 1200.48-0.01 8/3/2001 1214.35-0.01 8/2/2001 1220.75 8/1/2001 1215.93 7/31/2001 1211.23 0.01 7/30/2001 1204.52 7/27/2001 1205.82 7/26/2001 1202.93 0.01 7/25/2001 1190.49 0.02 7/24/2001 1171.65-0.02 7/23/2001 1191.03-0.02 7/20/2001 1210.85 7/19/2001 1215.02 0.01 7/18/2001 1207.71-0.01 7/17/2001 1214.44 0.01 7/16/2001 1202.45-0.01 7/13/2001 1215.68 0.01 7/12/2001 1208.14 0.02 7/11/2001 1180.18 7/10/2001 1181.52-0.01 7/9/2001 1198.78 0.01 7/6/2001 1190.59-0.02 7/5/2001 1219.24-0.01 7/3/2001 1234.45 7/2/2001 1236.72 0.01 6/29/2001 1224.38 6/28/2001...
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hw4-2 - S&P 500 Index St Dev Annual 2.50 Date Close...

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