45 12335 0028235891 00001448837 120 000020051 142

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%

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

spreadsheet does an EWMA updating of the volatilities using the
bda parameter in cell A2

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

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

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

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