45 12335 0028235891 00001448837 120 000020051 142 12346 0000903721 00001840266

45 12335 0028235891 00001448837 120 000020051 142

This preview shows page 155 - 171 out of 256 pages.

1.45% 123.35 0.028235891 0.0001448837 1.20% 0.00020051 1.42% 123.46 0.000903721 0.0001840266 1.36% 0.0001943293 1.39% 126.39 0.023710627 0.000173034 1.32% 0.0001967609 1.40% 123.58 -0.02219444 0.0001963836 1.40% 0.0001876595 1.37% 124.08 0.004031805 0.0002141561 1.46% 0.0001800958 1.34% 121.63 -0.01974427 0.0002022821 1.42% 0.0001752338 1.32% 123.55 0.015738084 0.0002135354 1.46% 0.0001803752 1.34% 123.78 0.001878492 0.0002155845 1.47% 0.000169606 1.30% 121.78 -0.0161818 0.0002028611 1.42% 0.0001839331 1.36% 119.77 -0.01644253 0.0002064005 1.44%
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0.0001743205 1.32% 119.52 -0.0020789 0.0002102379 1.45% 0.0001804025 1.34% 121.45 0.016094201 0.0001978829 1.41% 0.0001752839 1.32% 119.76 -0.01386613 0.0002015513 1.42% 0.0001648135 1.28% 119.52 -0.0020644 0.0002009944 1.42% 0.0001681505 1.30% 122.21 0.022532628 0.0001891905 1.38% 0.0001621567 1.27% 121.24 -0.00794431 0.0002083022 1.44% 0.0001588504 1.26% 119.87 -0.01126672 0.0001995908 1.41% 0.000197429 1.41% 118.24 -0.0136217 0.0001952317 1.40% 0.0001877569 1.37% 117.88 -0.00308272 0.0001946508 1.40% 0.0001792695 1.34% 119.39 0.012867765 0.000183542 1.35% 0.0001685139 1.30% 117.23 -0.0180979 0.0001824642 1.35% 0.0001992301 1.41% 116.94 -0.00249283 0.0001911684 1.38% 0.0001924292 1.39% 117.79 0.007290839 0.0001800711 1.34% 0.0001817322 1.35% 115.22 -0.02184609 0.0001724563 1.31% 0.0001896705 1.38% 116.34 0.009722102 0.000190744 1.38% 0.000198389 1.41% 116.22 -0.00101463 0.0001849705 1.36% 0.0001879931 1.37% 116.70 0.004127222 0.000173934 1.32% 0.0002034717 1.43% 120.47 0.032254531 0.00016452 1.28% 0.0001926066 1.39% 115.85 -0.03828333 0.0002170701 1.47% 0.00018114 1.35% 117.03 0.010159222 0.0002919827 1.71% 0.0002058864 1.43% 116.18 -0.00728389 0.0002806564 1.68% 0.0002777785 1.67% 114.72 -0.01252501 0.0002670003 1.63% 0.0003253917 1.80% 116.93 0.019202312 0.0002603928 1.61% 0.0003596446 1.90% 115.40 -0.01306647 0.000266893 1.63% 0.0003530929 1.88% 114.79 -0.00528189 0.0002611233 1.62% 0.0003354874 1.83% 113.62 -0.01020263 0.0002471298 1.57% 0.0003336629 1.83% 113.85 0.002032389 0.0002385477 1.54% 0.0004010841 2.00% 110.68 -0.02778578 0.0002244827 1.50% 0.0005964148 2.44% 112.17 0.013417531 0.0002573367 1.60% 0.0005764091 2.40% 109.55 -0.02338179 0.0002526983 1.59% 0.0005421255 2.33% 111.62 0.018909107 0.0002703389 1.64% 0.0010503358 3.24% 113.23 0.014428035 0.0002755718 1.66% 0.0009908852 3.15% 114.26 0.009109175 0.0002715276 1.65% 0.0009658298 3.11% 112.82 -0.01258772 0.0002602146 1.61% 0.0009535444 3.09% 0.0002541087 1.59% 4.88 2.21 #DIV/0! 0.00 0.00 1.33 1.15 5.19 2.28 #DIV/0! 0.00 0.00 1.25 1.12
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spreadsheet does an EWMA updating of the volatilities using the bda parameter in cell A2
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Scenario DJIA FTSE 100 CAC 40 Nikkei 225 Portfolio Value ('000s) 1 10933.17 9530.50 6209.57 115.39 10024.009 2 10827.06 9779.47 6412.78 114.29 10076.265 3 11120.41 9255.72 5947.78 112.35 9865.878 4 10946.28 9649.31 6216.11 111.53 9962.908 5 11043.24 9745.37 6349.22 114.88 10129.866 6 11315.40 9750.53 6443.86 112.97 10170.094 7 11231.18 9652.62 6334.38 115.30 10160.953 8 11038.97 9524.47 6230.55 112.69 9982.421 9 11125.44 9427.79 6127.08 113.30 9975.204 10 10939.37 9898.98 6223.56 111.48 10039.075 11 11009.89 9424.48 6146.28 113.97 9963.688 12 10920.80 9478.26 6033.38 112.57 9900.851 13 11038.37 9609.27 6296.13 111.22 9980.098 14 10969.77 9567.30 6133.75 111.36 9925.949 15 11249.09 9754.11 6379.17 112.86 10139.716 16 11056.20 10020.41 6375.73 112.47 10159.495 17 11017.29 9420.98 6095.82 115.21 9989.330 18 11254.12 9844.98 6269.54 112.73 10148.493 19 11036.33 9593.03 6168.22 117.10 10110.358 20 10841.15 9126.75 5966.92 111.28 9724.148 21 10803.57 9131.87 5924.28 110.62 9691.215 22 11201.52 9566.48 6159.86 113.07 10038.538 23 11036.17 9412.68 6177.86 108.97 9839.253 24 11333.36 10050.76 6446.96 112.15 10247.597 25 11157.24 9567.54 6227.01 113.21 10041.217 26 10973.63 9783.77 6257.05 114.87 10107.772 27 11126.75 9389.63 6126.69 111.94 9927.570 28 10958.38 9503.62 6171.37 113.39 9963.027 29 11260.97 9833.57 6510.62 111.29 10147.297 30 10759.24 9906.45 6287.32 114.52 10083.413 31 10939.34 9278.13 6070.47 111.45 9819.421 32 11251.58 9410.90 6118.91 112.67 9986.247 33 11338.33 9960.26 6388.78 111.33 10189.449 34 11087.23 9798.81 6354.75 116.32 10197.751 35 11120.57 9571.60 6193.28 112.93 10019.667 36 10886.14 9436.65 6161.38 113.48 9923.138 37 10991.22 9901.92 6309.14 114.51 10148.419 38 11229.98 9553.32 6091.53 112.50 10015.801 39 11473.12 9684.09 6270.16 111.13 10115.445 40 11076.37 9695.26 6348.00 116.88 10176.248 41 10964.82 9429.53 5972.73 111.14 9849.719 42 11082.80 9772.09 6236.02 112.39 10064.505 43 10966.70 9622.72 6235.24 112.21 9981.299 44 11384.76 9931.26 6411.82 112.63 10231.230 45 11068.57 9819.87 6071.50 113.96 10090.750 46 11097.08 9810.78 6288.54 115.17 10163.081 47 10904.82 9363.95 5956.77 112.78 9854.013 48 11189.99 9843.57 6435.17 112.71 10156.685 49 11097.97 9847.43 6365.07 112.88 10126.194 50 10983.77 9705.50 6285.95 113.19 10046.262 51 11505.29 9473.94 6273.36 113.47 10121.243
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52 11064.26 9714.52 6149.95 112.49 10030.286 53 11048.99 9986.80 6388.77 112.45 10148.665 54 11140.32 9633.94 6442.63 114.99 10139.513 55 10716.20 9653.43 6123.45 112.80 9920.400 56 11006.53 9474.52 6011.71 109.30 9832.404 57 10997.59 9750.30 6230.16 113.86 10072.822 58 10804.19 9767.31 6347.93 112.83 10017.133 59 10966.83 9602.92 5849.68 112.30 9915.447 60 11418.98 9964.43 6560.87 110.92 10229.531 61 11243.03 10135.84 6549.89 114.69 10333.558 62 11107.41 9403.35 6114.21 109.93 9871.067 63 10697.76 9411.42 6325.83 112.04 9852.276 64 11044.38 9773.44 6321.94 113.13 10088.192 65 11127.23 9221.18 6314.03 110.66 9871.019 66 11417.31 9260.15 6122.09 116.71 10092.107 67 11168.42 9801.37 6370.21 111.77 10102.273 68 11261.00 9867.50 6171.83 111.91 10119.803 69 11183.64 9200.67 5911.59 112.69 9869.016 70 10906.04 9789.43 6250.55 107.72 9900.121 71 11045.17 9638.25 6245.14 113.28 10037.758 72 11047.35 9652.24 6404.06 116.52 10154.307 73 10794.62 9784.32 6213.90 112.10 9978.755 74 10246.08 9049.55 5829.27 113.99 9587.982 75 11080.58 9675.68 6245.15 112.32 10033.563 76 11390.89 10221.84 6599.13 115.18 10421.769 77 11003.33 9766.09 6143.79 115.47 10108.158 78 10910.16 9731.46 5993.28 113.90 10006.033 79 11392.86 9816.54 6388.16 112.30 10184.994 80 11210.44 9709.39 6482.58 112.92 10133.669 81 10933.18 9616.50 6174.44 114.17 10012.577 82 10895.87 9824.82 6301.23 113.48 10069.832 83 11143.99 9878.74 6260.37 111.75 10101.597 84 11111.97 9274.86 6213.19 111.63 9893.322 85 10965.44 9956.08 6248.86 113.98 10134.378 86 11030.75 9978.57 6424.13 113.14 10165.349 87 11485.10 9803.99 6266.97 113.76 10225.366 88 11145.60 9579.23 6189.38 113.67 10048.064 89 11003.43 9276.58 6082.69 112.68 9871.056 90 11157.95 9703.27 6183.85 110.62 10007.991 91 10987.74 9639.66 6415.92 115.22 10101.706 92 10819.56 9317.75 6127.06 113.06 9851.252 93 10646.64 9609.93 5845.21 112.88 9845.323 94 11799.88 10033.20 6611.86 114.77 10465.250 95 10988.86 9713.66 6207.13 112.04 10006.738 96 10876.86 9279.77 6330.06 112.52 9873.214 97 11089.95 9891.67 6162.09 114.29 10142.450 98 10693.27 8276.81 5668.36 110.42 9347.297 99 11094.64 9738.82 6294.88 113.46 10095.390 100 11124.54 9182.76 5946.31 108.63 9745.098 101 11320.88 10297.07 6581.55 110.29 10293.410 102 11187.13 10077.58 6310.89 115.46 10282.057 103 11129.92 9459.12 6087.38 113.79 9992.934
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104 10999.42 9746.76 6106.03 113.80 10050.388 105 10982.48 9657.65 6173.62 112.80 10002.333 106 11011.44 9832.77 6460.84 112.02 10090.492 107 10618.51 9516.62 6071.36 113.82 9869.886 108 11269.58 9907.45 6323.92 112.98 10187.544 109 11404.17 9751.78 6352.95 114.75 10227.316 110 10529.59 9385.46 6093.97 112.28 9767.291 111 10962.64 9011.41 5929.51 111.39 9718.240 112 11036.88 9646.45 6433.89 112.67 10052.294 113 11154.24 9697.77 6357.39 113.80 10117.772 114 11429.44 9208.79 6106.99 112.51 9965.279 115 11224.74 10508.32 6508.80 115.61 10462.976 116 10942.97 9734.51 6175.64 111.96 9993.713 117 11055.33 9477.11 6120.58 111.75 9929.212 118 11041.05 9960.35 6235.18 113.34 10137.295 119 11024.46 9774.90 6462.97 110.78 10043.375 120 10892.90 9207.57 6064.51 111.77 9792.300 121 10765.02 9626.04 6246.28 114.81 9998.541 122 11357.20 9476.55 6188.81 115.32 10117.211 123 11403.27 10253.87 6666.15 115.68 10459.313 124 11118.57 9544.39 6211.69 117.26 10128.844 125 11032.99 9429.17 6129.58 112.87 9939.378 126 11106.03 9702.16 6263.13 112.16 10047.454 127 10804.19 9138.60 6058.98 110.95 9723.864 128 10783.16 9754.97 6217.91 114.36 10027.232 129 10845.48 9951.36 6372.35 114.42 10132.023 130 10951.11 9818.21 6445.63 114.12 10123.044 131 9025.02 8692.98 5495.29 115.02 9117.671 132 11137.86 8877.36 5870.67 107.08 9599.927 133 10944.78 9288.64 5913.45 112.55 9828.157 134 10742.69 9392.26 6089.84 111.33 9801.575 135 10874.11 9021.16 5947.90 108.27 9617.013 136 11396.20 9972.70 6399.79 114.41 10292.822 137 10987.89 9757.63 6323.83 111.65 10028.616 138 11181.02 9930.81 6423.05 114.87 10237.092 139 11058.87 9708.55 6230.59 112.48 10039.666 140 11124.67 9500.00 6156.33 114.82 10042.858 141 10420.48 9292.62 5982.80 112.55 9697.973 142 11148.86 8826.36 5720.51 108.78 9607.883 143 11081.10 10228.84 6550.18 113.26 10280.738 144 10908.36 9664.06 6254.76 112.44 9987.599 145 11296.78 9890.15 6433.80 114.22 10240.279 146 11166.37 9880.31 6327.74 114.66 10196.273 147 11431.22 10123.26 6590.67 114.65 10386.366 148 11065.99 9631.14 6235.70 113.30 10040.077 149 10994.90 9480.28 6069.00 113.16 9943.048 150 10853.58 9561.26 6250.47 111.19 9906.785 151 10789.63 9495.08 6119.81 113.89 9919.506 152 11139.27 9812.39 6405.33 110.76 10076.429 153 11035.89 9505.83 6180.55 112.82 9971.244 154 11093.23 9869.90 6321.86 110.48 10060.957 155 11358.18 9839.36 6414.44 113.61 10221.908
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156 11070.17 9574.66 6289.62 116.23 10110.123 157 11101.73 9670.45 6293.74 112.41 10047.957 158 11056.61 9707.17 6291.30 113.76 10082.591 159 10778.23 9681.30 6148.89 112.50 9942.302 160 11210.03 9622.06 6274.43 112.06 10049.745 161 11185.87 9898.19 6374.41 110.39 10101.139 162 11325.52 10001.86 6516.38 114.82 10312.294 163 11165.62 9753.40 6217.04 112.60 10083.828 164 11107.48 9355.51 6145.01 115.95 10021.128 165 11035.68 9506.50 6212.67 109.83 9896.967 166 11471.42 9865.42 6585.66 112.72 10264.747 167 10906.97 9505.50 6090.05 113.08 9928.333 168 11117.98 9365.08 6175.47 113.27 9960.588 169 11408.47 9837.27 6477.20 110.44 10160.583 170 11064.05 9387.95 6110.23 113.45 9947.382 171 11064.80 9494.38 6231.99 112.41 9972.747 172 11281.15 9765.93 6318.07 111.73 10112.349 173 11295.81 10001.24 6251.27 116.14 10296.485 174 11171.22 9725.42 6305.11 114.01 10128.183 175 10606.31 9166.10 5984.52 111.60 9683.998 176 11321.04 9840.04 6362.88 111.39 10144.587 177 11076.08 9499.91 6136.19 113.75 9997.870 178 11122.17 9751.18 6392.23 111.15 10061.067 179 11308.60 9518.17 6040.63 112.32 10013.351 180 10992.77 9564.97 6088.01 111.52 9928.234 181 11245.15 9987.98 6506.85 111.77 10203.436 182 10983.96 9465.00 6094.89 114.03 9962.536 183 11013.62 9519.92 6206.06 114.62 10021.450 184 10979.58 9994.83 6373.22 113.09 10146.771 185 10763.09 9180.48 5812.02 112.74 9733.615 186 11225.11 9618.24 6268.39 109.70 9988.930 187 11065.39 9772.07 6243.25 114.97 10129.595 188 11376.49 9415.54 6050.86 112.20 9998.199 189 11005.51 9813.68 6494.92 115.82 10189.545 190 11149.09 10013.56 6382.27 113.40 10208.630 191 11048.33 9796.68 6152.60
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