8 005 026 071 059 031 06 5 016 007 09

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Unformatted text preview: 0.59 % 0.31% -0.6 5% -0.16 % 0.07% -0.9 3% -0.03% 0.86 % 0.23% -0.08% 1.4 0% -0.03% 0.6 4 % 0.13% 0.19 % -0.31% -0.31% 0.29 % 0.56 % -0.9 6 % -0.4 1% 0.4 6 % -0.9 1% 0.13% 0.37% -0.07% 0.39 % -0.13% -0.39 % 0.6 6 % 0.26 % -0.4 6 % 0.6 7% -0.13% 0.19 % 0.11% -0.11% 0.13% -0.4 6 % 0.4 8% 0.12% 0.15% -0.19 % 0.51% -0.01% -0.4 4 % -0.08% 0.28% 1.27% 0.6 6 % 0.4 8% -0.11% 0.22% -0.57% 0.09 % 0.6 6 % -0.17% -0.37% -0.12% 0.4 6 % 0.19 % -0.12% -0.21% -0.70% -0.4 7% -0.05% 0.50% -0.34 % -2.12% -0.4 7% 0.4 7% -0.02% -0.37% -0.19 % -0.9 3% -0.10% -0.29 % 0.51% -0.33% -0.53% 0.27% 0.33% -0.58% 0.21% 0.4 1% -0.89 % -0.30% 0.24 % 0.11% -0.54 % -0.10% -0.12% -1.33% -0.13% 0.36 % -0.4 8% -0.37% 0.56 % 0.82% -0.33% -0.20% 0.6 8% -0.4 1% 0.25% 0.11% 0.37% 0.51% -0.4 3% -0.28% -0.30% 0.24 % -0.54 % 0.15% -0.02% -0.32% 0.09 % -0.4 8% 1.4 7% -0.38% 0.35% -0.20% 0.21% -0.22% 0.16 % 0.4 0% 0.04 % -0.70% 0.4 0% 0.83% 0.15% 0.81% -0.06 % 0.01% 0.01% 0.12% 0.16 % -0.15% -0.09 % 0.00% 1.01% 0.05% -0.71% -0.18% 0.18% 0.15% -0.4 0% -0.9 3% 0.21% 0.12% 0.76 % 0.23% 0.16 % 0.06 % 0.18% 1.4 2% -0.29 % -0.24 % 0.19 % 0.15% 0.29 % -0.25% 0.50% -0.36 % 0.18% -0.09 % -0.35% 0.09 % 0.09 % 0.37% -0.08% 0.4 1% 0.51% -0.03% -0.70% -0.6 0% 0.4 6 % 0.59 % -0.25% 0.10% 0.37% 0.10% -0.24 % 0.73% -0.35% 0.4 7% 0.16 % 0.4 5% -0.25% -0.08% 0.33% -0.08% -0.70% -0.22% -0.51% 0.19 % -0.05% -0.38% -0.14 % 0.88% 0.32% 0.35% 0.33% -0.32% 0.14 % 0.12% 0.39 % -0.10% 0.19 % 0.02% -0.20% -0.6 9 % 0.30% 0.27% -0.4 1% 0.18% -0.13% 0.01% -0.79 % -0.30% -0.05% -0.11% 0.4 9 % -0.01% -0.16 % 0.6 3% 0.21% -0.74 % 0.20% -0.08% -0.08% -0.29 % -0.6 2% -0.16 % -0.02% -0.32% 1.03% 0.30% -0.01% 0.70% -0.28% 0.09 % 0.05% 0.22% 0.33% -0.73% -0.12% 0.15% 0.13% -0.19 % -0.15% -0.4 6 % 0.04 % -0.22% 0.52% 0.29 % 0.02% -0.52% 0.12% 0.12% -0.01% -0.01% 0.27% 0.06 % 0.4 8% -0.33% 0.19 % 0.12% 0.05% 0.17% 0.19 % -0.52% 0.06 % -0.13% 0.50% 0.10% -0.06 % 0.01% -0.14 % 0.59 % 0.28% 0.19 % Variance S&P 5 00 Weight VaR Variance US 10yr T-Note Weight VaR Unconditional Covariance Variance Portfolio VaR Sum of individual VaRs 0.00019 6 50% 2.30% 0.000026 50% 0.84 % -0.000028 0.00004 2 1.50% 3.15% Du e to d iversi fi catio n, the VaR of th e po rtfol io is le ss tha n th e sum of th e in divi dua l Va Rs. 18-Jun-09 19 -Jun-09 22-Jun-09 23-Jun-09 24 -Jun-09 25-Jun-09 26 -Jun-09 29 -Jun-09 30-Jun-09 1-Jul-09 2-Jul-09 6 -Jul-09 7-Jul-09 8-Jul-09 9 -Jul-09 10-Jul-09 13-Jul-09 14 -Jul-09 15-Jul-09 16 -Jul-09 17-Jul-09 20-Jul-09 21-Jul-09 22-Jul-09 23-Jul-09 24 -Jul-09 27-Jul-09 28-Jul-09 29 -Jul-09 30-Jul-09 31-Jul-09 3-Aug-09 4 -Aug-09 5-Aug-09 6 -Aug-09 7-Aug-09 10-Aug-09 11-Aug-09 12-Aug-09 13-Aug-09 14 -Aug-09 17-Aug-09 18-Aug-09 19 -Aug-09 20-Aug-09 21-Aug-09 24 -Aug-09 25-Aug-09 26 -Aug-09 27-Aug-09 28-Aug-09 31-Aug-09 1-Sep-09 2-Sep-09 3-Sep-09 4 -Sep-09 8-Sep-09 9 -Sep-09 10-Sep-09 11-Sep-09 14 -Sep-09 15-Sep-09 16 -Sep-09 17-Sep-09 18-Sep-09 21-Sep-09 22-Sep-09 23-Sep-09 24 -Sep-09 25-Sep-09 28-Sep-09 29 -Sep-09 30-Sep-09 1-Oct-09...
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