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This spreadsheet will calculate cross-correlations between a group of equities

This file also includes experimental calculations of Volatility, Alpha, Beta, and tendencies
See http://www.gummy-stuff.org for substantive explanation developed from First Principles

Adjust your parameters (if seeking a change)


Enter your selections in the "Parameters" sheet
You only need to do it when changing the flavor of the operation is desired
You can pick your own "pretty colors" and test the visual impact right there at that "Parameters" sheet
Note:
Need to selected reasonable values for correlation shifts in relation to available data points

Select your desired period and interval


This is located around row 3 column 5 in the "Data" sheet

Enter your ticker symbols


Type in column 12 (or column "K") starting in row 3, below the header Stocks
Use any symbol that "yahoo.com" recognizes, check by requesting a quote at http://finance.yahoo.com/
You can search for a ticker symbol, recognized by Yahoo, at http://finance.yahoo.com/lookup
Current software will process only up to 80 symbols !!!!
Do not use Insert Cells into that column, it will mess up integrity checking

Extended capabilities
Use row 3 column 12 (or column "K") as your reference symbol (suggested ^GSPC for S&P 500)
Software will search for the best (highest/peak) shifted cross correlation of each symbol to the reference symbol
The required correlation shift (in time units) and resulting R-Squared will be shown as well
Software will calculate for each symbol its Alpha and Beta in relation to your reference symbol
Software will also calculate the trend of recent values of Alpha and Beta
The Alpha trend is proportional while the Beta trend is the inverse
In theory when both trends are positive, the symbol performs better than the reference (longs)

Click on the button "Press to Populate All" and wait for completion

Repeat until satisfied

Note:

Symbols that do not have enough data (causing correlation error) are marked; pay attention to explanation message(
Insufficient data is complemented with dynamically changing random values that will cause better results than reality

Pair correlation is under development, will continue after Don's testing

of equities

meters" sheet

nce.yahoo.com/

to the reference symbol

tion to explanation message(s) that pops up.


se better results than reality and mismatched colors.

17
Start:
End:
Stock:

17

15-Mar-08
21-Mar-13
WYNN

Software Version: 1.08

stocks

28

Select period then press Populate

60 Months

154

Stocks

77

^GSPC
^RUT

You are limited to 80 equity symbols:

^NDX
^VIX

Months

Date

Open

High

Low

Close

Volume

Adj Close

USO

60

10/1/2012

116

119.5

109.95

112.29

1451500

112.29

9/4/2012

102.6

116.47

99.32

115.44

1853400

147.00
115.44

UNG

8/1/2012

95.39

110

92.56

103.17

1464100

103.17

GLD

7/2/2012

102.6

104.57

90.11

93.75

2424200

93.75
137.00

AAPL

6/1/2012

99.8

107.57

95.82

103.72

2297100

103.16

GOOG

5/1/2012

132.8

138.28

98.26

103.04

2701900

102.49

AMZN

4/2/2012

124.73

136.63

120.75

133.4

1972900

132.05
127.00

IBM

3/1/2012

120

132.59

118.6

124.88

2697700

123.62

HON

2/1/2012

117.34

121.58

109.18

118.54

3349200

117.34

1/3/2012

114.47

123.27

104.62

115.23

2599700

117.00
113.55

12/1/2011

119.85

121.66

101.02

110.49

2259700

108.88

INTC

11/1/2011

129.01

136.7

106.77

120.56

3427100

118.8

WYNN

10/3/2011

111.86

142.2

107.78

132.8

4951300

9/1/2011

155.9

161.33

111.71

115.08

3805700

112.99

8/1/2011

157.74

158.27

123.69

154.72

3141800

7/1/2011

144.52

172.58

143.54

153.68

2281600

97.00

6/1/2011

146.07

149.8

128.15

143.54

2011700

140.51

5/2/2011

148.36

151.73

139.8

146.52

1777900

143.42
87.00

4/1/2011

130

149.8

129.05

147.15

2346400

144.04

3/1/2011

123.76

132.25

116.39

127.16

2117800

124.05

2/1/2011

117

129.6

115.5

122.93

2279600

119.92
77.00

1/3/2011

106.25

121.74

106.08

116.33

2320400

113.48

12/1/2010

104.5

107.25

99.21

103.84

2171500

101.3

11/1/2010

108.87

117.5

100.39

101.1

3250000

98.62

10/1/2010

87.6

109

85.8

107.16

3328200

104.54

9/1/2010

81.28

95.88

79.89

86.77

2791200

84.64

8/2/2010

89

93.98

80

80.61

2593200

78.64

7/1/2010

77

89.83

73.12

87.68

3008000

85.3

6/1/2010

82.58

89.64

74.57

76.27

3116400

74.2

5/3/2010

89.35

92

71

83.88

3797300

81.61

4/1/2010

76.21

93.99

75.25

88.24

3660700

85.57

3/1/2010

64.52

77.95

64.03

75.83

2793100

73.54

2/1/2010

62.3

65.75

59.7

63.57

2659200

61.65

1/4/2010

61.24

72.85

60.82

61.88

2959100

60.01

12/1/2009

66.04

67.72

58.21

58.23

2094800

56.47

11/2/2009

54.05

70

51.73

64.54

3957300

62.59

10/1/2009

70.1

71.5

52.46

54.22

6131200

49.51

9/1/2009

53.9

74.9

51.36

70.89

5320300

64.73

8/3/2009

52.56

61.2

52.23

54.13

4577400

49.43

7/1/2009

35.4

51.67

29.05

51.17

4549900

46.72

6/1/2009

38.26

42.2

32.71

35.3

3482700

32.23

5/1/2009

39.03

50.77

35.15

37.06

4135500

33.84

4/1/2009

20

44.18

19.52

39.23

4809100

35.82

3/2/2009

20.5

23.87

14.5

19.97

3343000

18.24

107.00
130.86

151.91
150.89

TLT

DD
XHB

2/2/2009

29.55

31.5

20.72

20.95

3451200

19.13

1/2/2009

42.12

55.41

29.55

30.08

2578800

27.47

12/1/2008

38.29

49.75

33.35

42.26

1555700

38.59

11/3/2008

60.74

60.99

29.21

39.82

3560700

36.36

10/1/2008

80.26

83.69

28.06

60.4

3406800

55.15

9/2/2008

99.46

104.03

77.66

81.64

2156600

74.55

8/1/2008

98.05

119.74

90.01

95.42

2091500

87.13

7/1/2008

78.5

106.95

69.27

97.48

3658600

89.01

6/2/2008

100.96

103

77.66

81.35

2882500

74.28

5/1/2008

100.01

112.48

98.19

100.03

1668900

91.34

4/1/2008

103

116.54

93.47

105.34

2051200

96.19

3/3/2008

100.2

109.27

90.9

100.64

2164600

91.9

2/1/2008

115.88

124.77

99.54

100.7

2363500

91.95

1/2/2008

112.77

116.67

95.34

114.98

2531600

104.99

12/3/2007

126.7

127

110.5

112.13

1612400

102.39

11/1/2007

160.22

161.38

124.78

126.94

2287800

115.91

10/22/2007

147.53

176.14

147

161.43

3193600

140.63

^GSPC ^RUT

^NDX

^VIX

USO

UNG

TLT

GLD

AAPL GOOG AMZN

10

11

12

13

14

15

16

17

IBM

HON

DD

XHB

INTC

WYNN

1409

813.7

2656

18.33

31.63

22.19

121.5

164.9

616.8

677.3

228.5

190.7

61.02

44.91

25.91

21.46

112.3

Finished

1441

837.5

2799

15.73

34.12

21.34

124.0

171.9

667.1

754.5

254.3

207.5

59.75

50.27

24.83

22.66

115.4

working

1407

812.1

2772

17.47

35.89

18.82

127.2

164.2

665.2

685.1

248.3

194.9

58.45

49.75

23.56

24.83

103.2

on

1379

786.9

2643

18.93

32.68

22.04

128.9

156.5

608.2

633.0

233.3

195.2

57.68

49.28

21.01

25.48

93.75

1362

798.5

2616

17.08

31.83

19.29

124.1

155.2

581.5

580.1

228.4

194.8

55.48

50.14

21.32

26.42

103.2

112.29

1310

761.8

2525

24.06

32.61

16.79

126.3

151.6

575.3

580.9

212.9

192.1

55.30

47.85

20.57

25.62

102.5

115.44

1398

816.9

2724

17.15

39.68

16.41

115.8

161.9

581.5

604.9

231.9

205.3

59.88

52.57

21.38

27.95

132.1

103.17

1408

830.3

2755

15.50

39.23

15.92

110.5

162.1

597.0

641.2

202.5

206.9

60.27

52.02

21.21

27.68

123.6

93.75

1366

810.9

2623

18.43

40.92

20.57

115.4

164.3

540.1

618.3

179.7

195.1

58.81

50.01

19.96

26.45

117.3

103.16

1312

792.8

2468

19.44

37.82

21.00

118.4

169.3

454.5

580.1

194.4

190.2

56.94

49.64

18.51

25.80

113.6

102.49

1258

740.9

2278

23.40

38.11

25.84

118.8

152.0

403.3

645.9

173.1

181.6

53.32

44.66

16.96

23.68

108.9

132.05

1247

737.4

2295

27.80

38.78

31.48

114.9

170.1

380.6

599.4

192.3

185.7

53.12

46.55

16.35

24.32

118.8

123.62

1253

741.1

2360

29.96

35.74

36.04

112.6

167.3

403.1

592.6

213.5

181.6

51.05

46.49

15.96

23.75

130.9

117.34

1131

644.2

2139

42.96

30.49

36.04

117.1

158.1

379.7

515.0

216.2

172.0

42.78

38.65

13.14

20.65

113.0

113.55

1219

726.8

2241

31.62

34.51

40.88

103.5

177.7

383.2

541.0

215.2

169.1

46.58

46.68

14.86

19.48

151.9

108.88

1292

797.0

2363

25.25

37.42

42.00

94.33

158.3

388.8

603.7

222.5

178.1

51.36

49.27

16.55

21.40

150.9

118.80

1321

827.4

2325

16.52

37.24

44.08

90.34

146.0

334.2

506.4

204.5

168.0

57.64

51.79

17.81

21.24

140.5

130.86

1345

848.3

2373

15.45

40.50

47.16

92.49

149.6

346.3

529.0

196.7

165.5

57.60

51.07

18.60

21.57

143.4

112.99

1364

865.3

2404

14.75

45.15

48.24

89.43

152.4

348.6

544.1

195.8

166.3

58.89

54.02

18.75

22.01

144.0

151.91

1326

843.6

2339

17.74

42.60

46.00

87.38

139.9

347.0

586.8

180.1

159.0

57.43

52.29

17.92

19.19

124.1

150.89

1327

823.5

2351

18.35

39.19

43.12

87.36

137.7

351.7

613.4

173.3

157.9

55.70

52.19

17.53

20.42

119.9

140.51

1286

781.3

2282

19.53

38.61

47.92

85.94

129.9

337.9

600.4

169.6

157.4

53.56

47.84

17.38

20.24

113.5

143.42

1258

783.7

2218

17.75

39.00

47.92

88.67

138.7

321.2

594.0

180.0

142.6

50.83

47.09

17.08

19.83

101.3

144.04

1181

727.0

2117

23.54

36.04

46.24

92.08

135.4

309.8

555.7

175.4

137.4

47.53

44.36

15.15

19.95

98.62

124.05

1183

703.4

2124

21.20

35.17

46.56

93.66

132.6

299.7

613.7

165.2

138.9

44.77

44.25

15.01

18.76

104.5

119.92

1141

676.1

1998

23.70

34.84

49.36

98.04

127.9

282.5

525.8

157.1

129.7

41.75

41.76

15.30

17.96

84.64

113.48

1049

602.1

1767

26.05

31.92

51.04

100.6

122.1

242.1

450.0

124.8

119.1

37.12

38.16

13.67

16.53

78.64

101.30

1102

650.9

1864

23.50

35.34

66.08

92.79

115.5

256.2

484.9

117.9

123.6

40.44

37.69

14.56

19.13

85.30

98.62

1031

609.5

1739

34.54

33.96

62.00

93.68

121.7

250.5

445.0

109.3

118.8

36.82

32.06

13.84

18.06

74.20

104.54

1089

661.6

1852

32.07

34.04

59.44

88.54

118.9

255.8

485.6

125.5

120.5

40.35

33.52

16.61

19.89

81.61

84.64

1187

716.6

2001

22.05

41.33

54.88

84.24

115.4

260.0

525.7

137.1

123.5

44.49

36.53

18.42

21.06

85.57

78.64

1169

678.6

1958

17.59

40.29

55.28

81.53

109.0

234.0

567.1

135.8

122.8

42.42

34.14

16.22

20.55

73.54

85.30

1104

628.6

1819

19.50

38.82

69.60

83.24

109.4

203.8

526.8

118.4

121.7

37.64

30.92

15.34

18.93

61.65

74.2

1074

602.0

1741

24.62

35.64

74.48

83.53

106.0

191.2

529.9

125.4

116.7

35.93

29.53

14.57

17.75

60.01

81.61

1115

625.4

1860

21.68

39.28

80.64

81.34

107.3

209.8

620.0

134.5

124.8

36.45

30.49

14.57

18.66

56.47

85.57

1096

579.7

1767

24.51

39.15

73.20

86.85

115.6

199.1

583.0

135.9

120.4

35.77

31.31

13.79

17.56

62.59

73.54

1036

562.8

1667

30.69

39.32

82.16

85.81

102.5

187.7

536.1

118.8

114.4

33.12

28.47

13.27

17.35

49.51

61.65

1057

604.3

1719

25.61

36.19

93.92

88.12

98.85

184.6

495.9

93.36

113.5

34.28

28.76

14.47

17.77

64.73

60.01

1021

572.1

1625

26.01

36.05

85.76

86.00

93.40

167.5

461.7

81.19

112.0

33.92

28.57

14.90

18.45

49.43

56.47

987.5

556.7

1603

25.92

36.81

103.0

84.13

93.35

162.7

443.1

85.76

111.4

31.74

27.33

13.73

17.35

46.72

62.59

919.3

508.3

1477

26.35

37.93

111.0

83.64

91.18

141.8

421.6

83.66

98.62

28.72

22.64

11.29

14.92

32.23

49.51

919.1

501.6

1436

28.92

36.40

116.8

83.02

96.20

135.2

417.2

77.99

100.4

30.33

25.16

11.56

14.17

33.84

64.73

872.8

487.6

1394

36.50

28.63

105.0

86.21

87.27

125.3

396.0

80.52

96.97

28.28

24.29

12.98

14.10

35.82

49.43

797.9

422.8

1237

44.14

29.05

121.6

92.65

90.28

104.7

348.1

73.44

91.03

25.24

19.44

10.17

13.43

18.24

46.72

735.1

389.0

1117

46.35

27.05

138.6

89.04

92.63

88.93

338.0

64.79

86.46

24.31

16.33

8.87

11.39

19.13

32.23

825.9

443.5

1180

44.84

29.22

145.0

90.43

91.31

89.74

338.5

58.82

85.64

29.44

19.64

9.80

11.41

27.47

33.84

903.3

499.5

1212

40.00

33.10

185.4

104.0

86.52

84.99

307.7

51.28

78.64

29.46

21.65

11.42

12.97

38.59

35.82

896.2

473.1

1186

55.28

42.09

215.6

91.53

80.31

92.27

293.0

42.70

76.25

25.00

21.44

11.22

12.21

36.36

18.24

968.8

537.5

1335

59.89

55.59

231.2

80.05

71.34

107.1

359.4

57.24

86.39

27.04

27.02

13.28

14.06

55.15

19.13

1166

679.6

1595

39.39

82.01

266.6

81.57

85.07

113.2

400.5

72.76

108.7

36.89

33.99

18.61

16.43

74.55

27.47

1283

739.5

1873

20.65

92.87

294.1

80.38

81.71

168.8

463.3

80.81

113.1

44.55

37.48

18.57

20.06

87.13

38.59

1267

714.5

1849

22.94

99.99

340.8

78.24

90.08

158.3

473.8

76.34

118.5

44.90

36.62

16.54

19.34

89.01

36.36

1280

689.7

1837

23.95

113.7

503.8

78.53

91.40

166.7

526.4

73.33

109.7

44.40

35.85

15.47

18.72

74.28

55.15

1400

748.3

2033

17.83

103.1

445.0

76.50

87.45

187.9

585.8

81.62

119.8

52.65

40.05

18.65

20.20

91.34

74.55

1386

716.2

1918

20.79

92.50

418.1

78.61

86.65

173.2

574.3

78.63

111.3

52.22

40.54

20.69

19.28

96.19

87.13

1323

688.0

1782

25.61

81.36

388.0

80.61

90.41

142.9

440.5

71.30

106.1

49.60

38.76

20.29

18.35

91.90

89.01

1331

686.2

1745

26.54

80.42

364.6

78.93

96.18

124.5

471.2

64.47

105.0

50.59

38.48

19.03

17.30

91.95

74.28

1379

713.3

1841

26.20

72.35

314.2

79.29

91.40

134.8

564.3

77.70

98.36

51.68

37.13

20.52

18.17

105.0

91.34

1468

766.0

2085

22.50

75.76

290.0

77.66

82.46

197.2

691.5

92.64

99.27

53.87

36.23

18.05

22.96

102.4

96.19

1481

767.8

2089

22.87

69.91

288.8

78.15

77.32

181.4

693.0

90.56

96.59

49.54

37.92

17.69

22.46

115.9

91.9

1549

828.0

2239

18.53

73.27

343.8

74.18

78.62

189.1

707.0

89.15

106.3

52.62

40.33

20.59

23.07

140.6

91.95
104.99
102.39
115.91
140.63

^GSPC ^RUT

^NDX

^VIX

USO

UNG

TLT

GLD

10

11

AAPL GOOG AMZN

12

13

14

15

16

17

IBM

HON

DD

XHB

INTC

WYNN

-2.22% -2.84% -5.13% 16.53% -7.30% 3.98% -2.00% -4.09% -7.54% ###### ###### -8.06% 2.13% ###### 4.35% -5.30% -2.73%
2.42%

3.12%

0.97% -9.96% -4.93% 13.39% -2.53% 4.67%

0.28% 10.13% 2.44%

1.98%

3.20%

4.91% -7.71% 9.82% ###### -1.32% 4.94%

9.39%

8.23%

6.42% -0.15% 1.33%

4.58%

9.12%

2.17%

1.08% -0.14% 7.25%

1.26% -1.45% 1.02% 10.83% 2.67% 14.26% 3.82%


3.96%

4.81%

0.84%

3.60% ###### -2.39% 14.89% -1.68% 2.35%

6.47%

2.22%

1.05%

5.39% -8.74% 11.89%

0.95% 12.14% -2.55% 10.05%

0.21%

3.97% -1.72% -1.45% -3.56% -9.12%

1.39%

0.33%

0.65%

-6.27% -6.74% -7.30% 40.29% ###### 2.32%

9.02% -6.34% -1.07% -3.97% -8.19% -6.46% -7.65% -8.98% -3.79% -8.34% ######

-0.75% -1.62% -1.15% 10.65% 1.15%

4.83% -0.15% -2.60% -5.67% 14.51% -0.75% -0.65% 1.06%

3.08%

4.79%

3.65%

3.12%

0.80%

0.98%

6.82%

3.13%

2.39%

5.04% ###### -4.13% ###### -4.23% -1.32% 10.53% 3.72% 12.70% 6.06%

2.48%

4.02%

6.26%

4.65%

5.35%

4.06%

2.29%

6.29% -5.20% 8.20% -2.05% -2.60% -2.96% 18.83% 6.57% -7.59% 2.54%

3.28%

0.75%

7.83%

2.52%

3.34%

4.36%

7.00%

8.35% ###### -0.76% ###### -0.33% 11.40% 12.71% ###### 12.33% 4.74%

6.79% 11.15% 9.14%

8.95%

4.29%

0.85%

0.47% -0.76% ###### -1.73% ###### 3.45% ###### 5.96%

-0.51% -0.49% -2.75% -7.21% 8.51% ###### 1.99%

7.76% -9.98% -2.19% 0.38% -4.06% 3.73% -2.63% -8.35% 10

1.67% -5.58% 1.14% -9.94% 2.24%

10.77% 15.04% 10.33% ###### 17.22% 0.00% -3.83% 5.87%

4.05%

0.13%

2.44%

2.40% -9.22% 11

6.15% 15.07% -1.26% 5.58% 19.33% 20.28% 21.46% 15.01% 15.82% 12

-7.18% ###### -4.54% 35.86% ###### ###### 13.20% ###### -0.91% -4.79% 0.46%

1.73% -8.16% ###### ###### 6.01% ###### 13

-5.68% -8.81% -5.15% 25.23% -7.78% -2.67% 9.67% 12.27% -1.45% ###### -3.28% -5.06% -9.31% -5.26% ###### -8.97% 0.68%

14

-2.15% -3.67% 1.62% 52.85% 0.48% -4.72% 4.42%

15

8.42% 16.33% 19.22% 8.82%

-1.83% -2.46% -2.00% 6.93% -8.05% -6.53% -2.32% -2.43% -3.50% -4.28% 3.97%

6.00% ###### -4.87% -7.07% 0.75%


1.55%

0.07%

7.39%

1.41% -4.25% -1.53% -2.03% 16

-1.35% -1.96% -1.31% 4.75% ###### -2.24% 3.42% -1.79% -0.66% -2.77% 0.45% -0.52% -2.19% -5.46% -0.80% -2.00% -0.43% 17
2.78% ###### 5.99%

4.87%

2.35%

8.94%

0.46% -7.27% 8.70%

4.60%

2.54%

3.31%

4.63% 14.70% 16.11%

-0.10% 2.44% -0.51% -3.32% 8.70%

2.85%

6.68%

0.02%

1.60% -1.33% -4.34% 3.95%

0.73%

3.11%

0.19%

2.22% -6.02% 3.44%

6.00%

0.32%

3.20%

2.58%

4.00%

9.09%

0.86%

0.89%

2.26% -0.31% 2.89% 10.03% -1.00% 0.00% -3.08% -6.38% 5.20%

5.40%

1.08% -5.76% 10.38% 5.37%

1.59%

1.76%

2.07% 12.02%

6.53%

6.88%

6.15% 12.74% -0.60% 2.72%

7.79%

3.03% -6.04% 1.50% ###### 1.65%

4.75% ###### 8.21%

3.63% -3.70% 2.44%

4.09%

3.67%

2.17%

2.15%

2.62%

3.75%

6.94%

-0.23% 3.36% -0.34% 11.04% 2.47% -0.69% -1.69% 2.11%

3.38% -9.45% 6.16% -1.05% 6.16%

0.25%

3.69%

6.07% 16.72% 5.20%

5.96% -1.90% 4.45% 23.51%

4.02%

6.33% ###### 0.95% -5.67% -4.47% 3.68%

7.05%

7.23%

0.93%

5.68%

6.34% -5.66%

8.76% 12.30% 13.05% -9.02% 9.15% -3.29% -2.53% 4.78% 16.72% 16.84% 25.82% 8.94% 12.47% 9.43% 11.92% 8.65%
-4.74% -7.50% -5.18% 10.85% -9.68% ###### 8.40%
6.88%

6.79%

7.18% ###### 4.06%

Peak Corr
Peak Lag
Corr Size

7.63%

5.71% -5.50% -7.18% 5.89% -3.63% -8.21% 1.25% -6.11% ###### -7.81%

6.58% -0.95% -5.09% 2.28%

8.97%

7.90%

3.98%

9.83% 17.56% 5.20%

5.92% 14.96%

-5.39% -7.88% -6.11% 7.70% -0.24% 4.31%

5.81%

2.36% -2.08% -8.38% ###### -1.42% -8.75% -4.36% ###### -9.20% -9.08%

-8.20% -7.67% -7.41% 45.44% ###### 8.31%

5.10%

3.05% -1.61% -7.62% -8.49% -2.40% -9.31% -8.24% -9.83% -5.56% -4.63%

1.48%

5.59%

2.16% 25.36% 2.58% -0.72% 3.32%

5.88%

7.97%

7.68% -9.79% 3.79% ###### -2.05% -0.44% 14.85% 7.65% 14.67% 0.85% 12.70% 10.41% 5.74%

5.88% 11.10% -7.30% 0.98%

0.59%

8.56% 19.29%

2.85%

4.41%

4.46% ###### 8.92% -6.55% -0.35% 3.27%

6.65%

6.54% -0.59% -5.59% 4.36%

4.88%

4.76%

7.00% 13.56% 2.48% 16.36%

4.71%

5.28%

2.73%

-3.70% -3.73% -6.41% 13.56% -9.27% -7.64% 2.69% -1.26% -8.86% ###### -6.77% -6.50% -1.43% -3.15% 0.00% -4.88% 6.27% Direction
1.78%

7.88%

5.26% ###### 0.33% 10.16% -6.34% -7.20% 5.41%

6.34% -1.02% 3.60%

1.90% -2.62% 5.66%

6.26% -9.78%

5.74%

3.01%

6.02% ###### -0.43% ###### 1.21% 12.79% 6.06%

8.74% 14.39% 5.23%

8.00%

1.21% 26.42%

-1.98% -6.87% -3.02% 19.84% 8.65% ###### -2.62% 3.72%


9.51%

2.47%

1.70%

5.63%

5.77% -1.54% 0.39%

3.36%

2.76%

1.36%

7.41%

9.53%

8.54% -1.63% -2.95% -7.21% 0.59%

0.02%

1.34%

2.90% -8.89% 4.20% -5.00% 0.75% -5.22% 4.87%

1.04%

5.31%

2.88%

2.96% ###### 27.14% 11.20% -3.70% 10.23% 7.93%

5.37% -3.14% 3.51%

5.84% 10.19% 7.40% 14.99% 1.32%

1.06%

0.67% -2.89% -3.69% 30.95%

0.05%

6.87%

4.54%

2.95%

4.20% -5.33% 0.57%

2.38% 14.72% 5.09%

8.52%

6.34%

5.80%

2.51% 12.94% 10.52% 20.72% 21.61% 16.29% 44.96%


7.27% -1.74% -5.31% ###### -2.34% 5.29% -4.76%

9.39% 15.33% 12.72% ###### -1.45% ###### -6.95% -3.33% 19.70% 13.76% 9.64%
8.54%

3.92%

8.12% 27.26% 0.84% -3.38% -1.01% -8.29% -2.36% ######

3.57%

0.35% -2.06% ###### 2.22%

9.98%

7.25%

3.58% ###### 0.50% -5.53%

6.53% 12.04% 24.95% 27.63% 4.99% 96.38%

8.67% 10.74% -4.77% 7.39% ###### 4.05% -2.54% 17.70% 2.98% 13.35% 5.29%

3.83% 19.04% 14.66% 17.91% -4.65%

###### ###### -5.36% 3.37% -7.43% -4.47% -1.54% 1.45% -0.90% -0.16% 10.15% 0.96% ###### ###### -9.49% -0.18% ######
-8.57% ###### -2.59% 12.10% ###### ###### ###### 5.54%
0.78%

5.56%

5.59% 10.04% 14.70% 8.90% -0.07% -9.28% ###### ###### ######

2.18% ###### ###### ###### 13.66% 7.73% -7.89% 5.01% 20.09% 3.13% 17.84% 0.98%

1.78%

6.22%

6.13%

-7.48% ###### ###### -7.70% ###### -6.75% 14.34% 12.57% ###### ###### ###### ###### -7.54% ###### ###### ###### ######
###### ###### ###### 52.04% ###### ###### -1.86% ###### -5.34% ###### ###### ###### ###### ###### ###### ###### ######

-9.08% -8.10% ###### 90.75% ###### -9.36% 1.48%


1.22%

3.50%

-0.99% 3.60%

4.11% ###### ###### -9.96% -3.93% ###### -9.31% 0.22% ###### ######

1.26% -9.98% -7.12% ###### 2.74% -9.29% 6.66% -2.21% 5.86% -4.51% -0.78% 2.35% 12.27% 3.72% -2.11%
0.66% -4.22% ###### ###### -0.37% -1.44% -5.07% ###### 4.10%

-8.60% -7.83% -9.62% 34.32% 10.29% 13.19% 2.65%

7.97%

1.07%

4.48%

5.99% ###### 11.42% 6.45% -2.68% 0.92%

4.75%

4.10%

7.62% ###### 13.69% 7.75% -2.48% -4.16% 21.22% 30.38% 10.28% 4.83%

-0.60% 0.26%

2.10% -3.50% 1.17%

6.41%

1.13%

2.15%

6.92%

3.31% 19.83%

4.52% ###### ###### ###### -8.41% ###### ###### ###### -7.33% ######
8.50%

2.00%

3.80%

7.67%

0.82% -1.21% -9.86% 4.77% -5.04%


4.59%

1.97%

5.07%

2.13% -6.00% 14.78% -6.52% 10.59% 1.12% -1.96% 0.73%

5.28%

6.62%

6.07% -0.05%

4.67%

-3.48% -3.80% -5.22% 1.30% 11.15% 16.04% -0.45% 5.23% -7.63% ###### ###### 6.71% -2.11% 3.64% -7.26% -4.79% ######
-6.12% -6.88% ###### 16.44% -4.50% 8.36%
-0.86% -0.23% -0.20% -1.62% 8.37%

2.10% 10.84% ###### ###### ###### -0.92% -4.07% 2.48% 13.68% ###### 2.54%

0.42% -0.63% 6.65%

8.70% -0.22% 2.30%

2.77%

8.74% -4.46% 2.04%

2.23% ######

-4.40% -7.28% -6.69% 23.42% -4.59% ###### 5.35% -1.65% -4.07% -1.98% 1.58% -9.10% -5.85% -5.98% ###### -2.64% ######

DD
XHB
INTC
WYNN

100%

^
|
|
|
|
|
|
|

100%

^
|
|
|
|
|
|

100%

^
|
|
|
|
|

100%

^
|
|
|
|

100%

^
|
|
|

86%
85%
78%
-57%
50%
-5%
-33%
17%
49%
43%
42%
63%
77%

76%
81%
67%
-47%
33%
-9%
-27%
2%
36%
30%
30%
51%
70%
78%

73%
73%
80%
-56%
44%
-10%
-18%
-12%
68%
44%
50%
57%
65%
61%
54%

WYNN

87%
86%
80%
-73%
48%
-3%
-29%
19%
49%
50%
43%
64%

DD

UNG

USO

^VIX

^NDX

65%
63%
73%
-48%
48%
2%
-44%
22%
50%
53%
50%

INTC

IBM
HON

^
|
|
|
|
|
|
|
|

48%
46%
62%
-34%
25%
-22%
-23%
12%
53%
54%

XHB

AMZN

100%

60%
52%
70%
-41%
42%
-3%
-42%
-7%
68%

HON

GOOG

^
|
|
|
|
|
|
|
|
|

64%
58%
81%
-46%
44%
-8%
-34%
-15%

IBM

GLD
AAPL

100%

AMZN

TLT

11%
8%
4%
-10%
22%
11%
11%

GOOG

USO
UNG

-33%
-35%
-40%
29%
-41%
-5%

AAPL

^VIX

95% 93% -73% 61% 4%


100% 90% -69% 55%
4%
100%
^
-71% 56% -4%
100% -44% -2%
|
^
100% 35%
|
|
^
100%
|
|
|
^
|
|
|
|
^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

GLD

^NDX

^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

TLT

^RUT

^RUT

^GSPC
^GSPC 100%

^
|
|

100%

^
|

100%

67%
71%
64%
-38%
21%
-6%
-26%
10%
42%
36%
31%
48%
58%
75%
69%
41%

100%

71%

100%

Correlation sample universe was 61 Months


Calculated (above) over 60 calendar Months

Peak Corr
Peak Lag
Corr Size
R-Sqr

Last data date was 1-October-2012

100%

93%

94%

-93%

68%

33%

-75% -66%

67%

44%

-59%

83%

80%

84%

69%

-71%

12

10

12

10

12

10

12

10

10

10

10

10

10

12

10

10

100%

87%

88%

76%

46%

11%

56%

43%

45%

19%

35%

69%

64%

70%

48%

51%

51%

^GSPC

^RUT

^NDX

^VIX

USO

UNG

TLT

GLD

AAPL

GOOG

AMZN

IBM

HON

DD

XHB

INTC

WYNN

Shift Correlation sample size was varied between 10 to 12 shifted up to 10 months back

19%

25%

22%

80%

36%

38%

17%

21%

36%

34%

37%

20%

29%

32%

36%

28%

68%

Volatility ^^^^^^
Alpha

.00

.23

.50

2.26

-.83

-3.81

.94

1.43

2.56

.41

2.15

1.15

.62

.62

.93

.21

1.31

Beta 1.00

1.22

1.09

-3.05

1.15

.07

-.29

.12

1.21

1.08

.92

.68

1.34

1.46

1.43

1.06

2.40

-0.85

3.19

9.81

-13.6

0.13

-1.42 -7.97

11.1

17.3

7.43

-5.37 -7.24 -14.3 -3.08 -5.33

2.36

0.08

0.77

1.01

-1.45 -2.10

0.08

3.03

0.99

1.65

-0.42 -0.41 -1.36 -1.90

-0.95

Direction
Alpha 0.00
Beta 0.00

-1.60

2.15

This worksheet is a work in progress. While incomplete, it is somewhat working.


User should modify values ONLY in the green colored cells ===>> then press the button.
Volatility covers the correlation range only shifted as well for both equities
1st Symbol ^GSPC
1st Price Shift

Number of Samples

Correlation Length

63

Start Date

-3.24%

0.80%

-0.30%

-0.81%

-0.30%

2.15%

-0.99%

-0.35%

0.41%

-0.35%

-0.03%

-0.64%

-0.03%

0.72%

-0.27%

0.71%

0.36%

-2.65%

0.36%

0.09%

1.21%

0.09%

0.27%

4.64%

0.26%

-0.45%

1.14%

-0.45%

0.96%

2.83%

0.96%

-0.57%

2.55%

-0.58%

-1.05%

2.20%

-1.06%

-0.22%

-0.71%

-0.22%

-0.01%

2.92%

-0.01%

-0.05%

0.37%

-0.05%

0.12%

0.16%

0.12%

-0.13%

-2.01%

-0.13%

-0.31%

-2.56%

-0.31%

0.40%
1.63%

-1.87%
-1.07%

3/9/12

-0.99%

2/24/12

0.02%
-0.62%

2/9/12

4.61%
-0.18%

1/26/12

0.02%
-0.62%

0.40%
1.62%

1.83%

0.31%

6.04%

0.31%

-0.61%

5.08%

-0.62%
Pair

0.40%

^GSPC
-2.74%

0.21%

0.40%

2.04%

UNG
-1.06%

2.02%

-0.11%

-1.67%
Vlt Dwn

-0.11%

-0.12%

1.75%

Vlt Up

-0.12%

0.51%

1.46%

0.51%

-0.78%

2.60%

-0.78%

0.08%

2.20%

0.08%

-0.08%

-1.50%

-0.08%

-0.05%

-2.29%

-0.05%

0.65%

-4.37%

0.64%

-0.81%

-1.03%

-0.81%
-0.35%

0.00%

1.23%

0.00%

0.19%

0.70%

0.19%

0.71%

-1.54%

0.71%

0.11%

-2.38%

0.11%

-0.01%

3.15%

-0.01%

-0.13%

-1.42%

-0.13%

0.22%

-4.42%

0.22%

0.04%
0.06%
0.51%

-1.00%
-1.03%
1.65%

3/9/12

0.02%

1.16%

2/24/12

1.36%

2/9/12

0.02%
-0.35%

0.04%
0.06%
0.51%

3/23/12

0.21%

7/18/12

1.02%

0.81%

Symbo

7/18/12

-0.94%

7/3/12

0.41%

1.03%

7/3/12

-0.24%

0.77%

6/19/12

2.64%

0.41%

6/19/12

-0.24%

6/5/12

-1.67%

Volatility (Log Diff)

6/5/12

0.57%

5/21/12

0.04%

-1.66%

5/21/12

-3.81%

5/7/12

-1.45%

0.04%

5/7/12

-0.31%

2.03%

4/23/12

-2.07%

-1.44%

4/23/12

-0.31%

267
6/27/2012

-0.1%
10.4%
40.5%
10.4%
-2.1% Pair Correlation
11.0%
40.7%
11.0%
Chart (Daily,
Shifted!)
2.0%
11.5%
40.5%
11.4%
-3.9%
11.0%
40.8%
11.0%
0.6%
11.2%
40.2%
11.2%
2.6%
10.8%
40.2%
10.8%
0.8%
11.0%
40.2%
11.0%
-0.9%
11.0%
40.4%
11.0%
-3.3%
10.9%
41.7%
10.9%
-0.8%
10.9%
41.1%
10.9%
4.5%
10.9%
41.4%
10.9%
-0.2%
11.3%
40.5%
11.3%
2.1%
11.3%
40.5%
11.3%
0.4%
11.1%
40.9%
11.0%
-0.6%
11.2%
42.1%
11.2%
-0.3%
11.2%
42.6%
11.2%
-2.7%
11.4%
44.0%
11.3%
1.2%
11.4%
43.9%
11.3%
4.5%
11.4%
43.9%
11.4%
1.1%
11.4%
43.0%
11.4%
2.8%
12.3%
43.1%
12.3%
2.5%
12.2%
42.8%
12.2%
2.2%
12.3%
42.6%
12.2%
-0.7%
12.0%
43.0%
12.0%
2.9%
12.5%
43.1%
12.5%
0.4%
12.6%
42.9%
12.5%
0.2%
13.4%
43.1%
13.4%
-2.0%
13.4%
43.1%
13.4%
-2.6%
13.5%
43.5%
13.5%
-1.9%
13.5%
45.0%
13.5%
-1.1%
13.6%
45.1%
13.6%
1.8%
13.4%
53.6%
13.4%
5.9%
13.5%
53.6%
13.5%
Historical
5.0%
Volatility
13.7%
Chart
52.4%(shifted!
13.6%
Dates for 2nd
-2.8%
13.9%
52.3%
13.8%
-1.1%
13.9%
52.0%
13.9%
-1.7%
13.4%
53.5%
13.4%
1.7%
14.1%
53.3%
14.0%
1.4%
14.1%
53.3%
14.0%
2.6%
14.1%
53.8%
14.0%
2.2%
14.9%
54.2%
14.9%
-1.5%
14.9%
54.0%
14.9%
-2.3%
15.2%
54.2%
15.2%
-4.5%
15.3%
54.8%
15.3%
-1.0%
15.3%
54.5%
15.3%
1.3%
15.2%
54.8%
15.2%
1.2%
15.2%
54.8%
15.2%
1.2%
15.2%
54.9%
15.2%
0.7%
15.5%
55.3%
15.4%
-1.5%
15.6%
55.6%
15.5%
-2.4%
15.8%
55.5%
15.8%
3.1%
15.9%
56.2%
15.9%
-1.4%
15.9%
56.2%
15.9%
-4.5%
16.1%
56.5%
16.1%
-1.0%
16.1%
55.8%
16.1%
-1.0%
16.1%
55.7%
16.1%
1.6%
16.2%
55.7%
16.2%

4/9/12

0.30%

200

Volatility (Diff)

Log Diff.

-0.09%

4/9/12

Differences
0.30%

1/26/12

-16%
-19%
-17%
-15%
-17%
-17%
-18%
-18%
-14%
-12%
-12%
-11%
-12%
-11%
-6%
-7%
-2%
-2%
-2%
-2%
2%
0%
1%
4%
2%
3%
-1%
0%
-3%
-4%
-5%
5%
5%
5%
10%
11%
13%
11%
11%
11%
16%
16%
18%
15%
17%
16%
17%
17%
14%
13%
13%
11%
10%
12%
12%
12%
12%

Comparison Length

3/23/12

Corr

Correlation

UNG
22.17
22.19
22.66
22.21
23.09
22.96
22.37
22.2
22.41
23.16
23.35
22.32
22.36
21.89
21.8
21.94
22
22.6
22.33
21.34
21.1
20.52
20.01
19.58
19.72
19.16
19.09
19.06
19.45
19.96
20.34
20.56
20.19
19.04
18.12
18.63
18.83
19.15
18.82
18.55
18.08
17.69
17.96
18.38
19.22
19.42
19.16
18.94
18.71
18.58
18.87
19.33
18.74
19.01
19.89
20.09
20.3

Daily
Daily

1/11/12

^GSPC
1412.97
1408.75
1413.11
1433.81
1433.19
1457.34
1460.91
1454.92
1440.13
1428.59
1432.84
1432.56
1441.48
1455.88
1460.93
1461.4
1450.99
1445.75
1444.49
1440.67
1447.15
1433.32
1441.59
1456.89
1460.15
1460.26
1461.05
1459.32
1461.19
1465.77
1459.99
1436.56
1433.56
1429.08
1437.92
1432.12
1403.44
1404.94
1406.58
1399.48
1410.49
1409.3
1410.44
1411.13
1402.08
1413.49
1413.17
1418.13
1418.16
1415.51
1405.53
1403.93
1404.11
1405.87
1402.8
1402.22
1401.35

Price Type

2nd Price Shift

UNG

Volatility

Date
10/25/2012
10/24/2012
10/23/2012
10/22/2012
10/19/2012
10/18/2012
10/17/2012
10/16/2012
10/15/2012
10/12/2012
10/11/2012
10/10/2012
10/9/2012
10/8/2012
10/5/2012
10/4/2012
10/3/2012
10/2/2012
10/1/2012
9/28/2012
9/27/2012
9/26/2012
9/25/2012
9/24/2012
9/21/2012
9/20/2012
9/19/2012
9/18/2012
9/17/2012
9/14/2012
9/13/2012
9/12/2012
9/11/2012
9/10/2012
9/7/2012
9/6/2012
9/5/2012
9/4/2012
8/31/2012
8/30/2012
8/29/2012
8/28/2012
8/27/2012
8/24/2012
8/23/2012
8/22/2012
8/21/2012
8/20/2012
8/17/2012
8/16/2012
8/15/2012
8/14/2012
8/13/2012
8/10/2012
8/9/2012
8/8/2012
8/7/2012

2nd Symbol

1/11/12

Download
Symbol Pair

The relative shift is fixed which probably does not fit Do


ReCalculate will overflow data if parameters inconsiste

Alpha & Beta of UNG Relative to ^GSPC (shifted!)

-1.89%

1.89%

1.65%

1.15%

1.64%

-0.03%

-3.15%

-0.03%

-0.90%

1.84%

-0.91%

-0.89%

0.52%

-0.89%

-1.01%

2.58%

-1.01%

0.27%

2.14%

0.27%

0.67%

5.56%

0.67%

0.74%

-0.37%

0.74%

-0.23%

-2.45%

-0.23%

1.65%

0.10%

1.64%

-0.50%

1.03%

-0.50%

-0.16%
-0.94%

3.58%

-5.33%

3/8/12

0.00%
-0.82%

2/28/12

3.58%
-4.83%

2/16/12

0.00%
-0.81%

-0.16%
-0.95%

-0.47%

2.45%

-0.47%

0.62%

1.45%

0.62%

0.25%

0.05%

0.25%

2.49%

2.17%

2.46%

-0.21%

-0.74%

-0.21%

0.90%

-0.78%

0.89%

0.48%

3.79%

0.48%

-1.60%

1.37%

-1.61%

0.72%

1.90%

0.71%

-2.23%

2.29%

-2.25%

-0.17%

-1.08%

-0.17%

0.98%

-3.44%

0.98%

0.14%

6.64%

0.14%

1.03%

-2.11%

1.03%

1.08%

14.95%

1.08%

-0.70%

-0.78%

-0.70%

1.17%

0.20%

1.16%

-1.26%

-4.13%

-1.27%

0.81%

1.20%

0.81%

-0.01%

-6.12%

-0.01%

2.30%

-0.47%

2.28%

0.57%

0.24%

0.57%

0.01%

4.33%

0.01%

-2.46%

-3.63%

-2.50%

-0.23%

-0.71%

-0.23%

-1.43%

-2.65%

-1.44%

1.11%

-4.51%

1.10%

-0.22%

-3.35%

-0.22%

0.14%

-3.09%

0.14%

0.17%

1.15%

0.17%

0.05%

2.29%

0.05%

1.60%

-3.40%

1.59%

-0.74%

2.75%

-0.74%

-1.51%

0.48%

-1.52%

-0.44%

5.14%

-0.44%

-0.57%

3.29%

-0.58%

-1.11%

-3.29%

-1.12%

-0.34%

1.19%

-0.34%

0.25%

0.74%

0.25%

-0.67%

0.46%

-0.67%

-0.43%

4.73%

-0.43%

0.04%

1.89%

0.04%

-1.61%

-1.97%

-1.63%

-0.77%

3.40%

-0.77%

-0.25%

-4.26%

-0.25%

7/9/12

-0.05%

1.91%

7/18/12

5.64%

16.2%
16.1%
16.1%
16.1%
16.1%
16.1%
15.6%
15.3%
15.6%
15.5%
15.5%
15.4%
15.4%
15.4%
15.6%
15.6%
15.4%
15.7%
15.7%
16.0%
16.2%
16.1%
16.2%
16.1%
16.2%
15.4%
15.4%
15.3%
15.3%
15.2%
15.2%
14.6%
14.6%
14.4%
14.5%
14.3%
14.2%
14.1%
14.4%
14.2%
14.1%
14.3%
13.6%
13.8%
13.8%
13.0%
13.0%
12.8%
12.6%
12.6%
12.6%
12.6%
12.6%
12.2%
12.1%
12.0%
12.0%
11.9%
11.8%
11.9%
11.9%
11.8%
11.8%
11.8%
11.6%
11.5%

6/27/12

-0.43%

-0.05%

6/18/12

-0.29%

0.59%

6/7/12

-1.81%

-0.43%

5/29/12

-0.29%

-1.1%
16.2%
56.4%
Alpha scale
factor is 25
-7.9%
16.1%
56.5%
-1.8%
16.1%
54.5%
0.6%
16.1%
55.1%
5.5%
16.1%
55.4%
-1.9%
16.1%
55.0%
1.1%
15.6%
55.0%
-3.2%
15.3%
55.3%
1.8%
15.6%
55.6%
0.5%
15.5%
55.8%
2.5%
15.5%
56.4%
2.1%
15.4%
56.3%
5.4%
15.4%
56.5%
-0.4%
15.4%
55.6%
-2.5%
15.6%
56.0%
0.1%
15.6%
55.8%
1.0%
15.4%
55.8%
3.5%
15.7%
55.8%
-5.0%
15.7%
55.6%
3.5%
16.0%
55.5%
-5.5%
16.2%
55.1%
2.4%
16.1%
54.1%
1.4%
16.2%
54.2%
0.1%
16.1%
54.1%
2.1%
16.2%
54.2%
-0.7%
15.4%
54.2%
-0.8%
15.4%
55.3%
3.7%
15.3%
55.3%
1.4%
15.2%
54.9%
1.9%
15.2%
55.1%
2.3%
15.2%
55.0%
-1.1%
14.6%
55.1%
-3.5%
14.6%
55.1%
6.4%
14.4%
54.8%
-2.1%
14.5%
53.1%
13.9%
14.3%
53.2%
-0.8%
14.2%
43.9%
0.2%
14.1%
44.1%
-4.2%
14.4%
44.6%
1.2%
14.2%
44.2%
-6.3%
14.1%
44.1%
-0.5%
14.3%
42.5%
0.2%
13.6%
42.6%
4.2%
13.8%
42.6%
-3.7%
13.8%
42.5%
-0.7%
13.0%
42.0%
-2.7%
13.0%
43.0%
-4.6%
12.8%
43.1%
-3.4%
12.6%
42.6%
-3.1%
12.6%
42.5%
1.1%
12.6%
42.3%
2.3%
12.6%
42.3%
-3.5%
12.6%
42.0%
2.7%
12.2%
41.6%
0.5%
12.1%
42.1%
5.0%
12.0%
42.8%
3.2%
12.0%
42.0%
-3.3%
11.9%
42.2%
1.2%
11.8%
41.9%
0.7%
11.9%
41.8%
0.5%
11.9%
41.8%
4.6%
11.8%
41.9%
1.9%
11.8%
41.1%
-2.0%
11.8%
41.2%
3.3%
11.6%
41.2%
-4.4%
11.5%
43.1%

5/8/12

-0.75%

5/17/12

Beta
-7.58%

4/27/12

-0.75%

Alpha
of UNG56.3%
Relative to16.2%
^GSPC (shifted!)
1.0% & Beta
16.2%

4/9/12

1.89%

4/18/12

0.23%

Alpha

3/28/12

0.96%

-1.10%

1.90%

3/19/12

0.23%

2/7/12

11%
11%
14%
11%
11%
11%
11%
14%
12%
15%
15%
13%
15%
15%
14%
11%
11%
12%
11%
10%
12%
12%
10%
11%
11%
11%
9%
9%
10%
9%
8%
7%
11%
11%
13%
13%
14%
6%
6%
9%
6%
6%
6%
6%
6%
6%
1%
-1%
-5%
-2%
-3%
-3%
-3%
-4%
0%
3%
7%
10%
12%
8%
8%
8%
8%
10%
10%
6%
9%

1/27/12

19.97
19.78
20
21.64
22.04
21.91
20.74
21.14
20.9
21.58
21.19
21.08
20.55
20.12
19.06
19.13
19.61
19.59
19.39
18.72
19.67
18.99
20.06
19.58
19.3
19.29
18.88
19.02
19.17
18.47
18.22
17.88
17.48
17.67
18.3
17.16
17.53
15.25
15.37
15.34
16
15.81
16.84
16.92
16.88
16.18
16.79
16.91
17.37
18.19
18.82
19.42
19.2
18.77
19.43
18.91
18.82
17.9
17.33
17.92
17.71
17.58
17.5
16.71
16.4
16.73
16.18

1/18/12

1394.23
1390.99
1365
1375.32
1379.32
1385.3
1385.97
1360.02
1337.89
1338.31
1350.52
1362.66
1376.51
1372.78
1363.67
1353.64
1356.78
1334.76
1341.45
1341.47
1352.46
1354.68
1367.58
1374.02
1365.51
1362.16
1329.04
1331.85
1319.99
1313.72
1335.02
1325.51
1355.69
1357.98
1344.78
1342.84
1329.1
1314.88
1324.18
1308.93
1325.66
1314.99
1315.13
1285.5
1278.18
1278.04
1310.33
1313.32
1332.42
1317.82
1320.68
1318.86
1316.63
1315.99
1295.22
1304.86
1324.8
1330.66
1338.35
1353.39
1357.99
1354.58
1363.72
1369.58
1369.1
1391.57
1402.31

AlphaBeta

8/6/2012
8/3/2012
8/2/2012
8/1/2012
7/31/2012
7/30/2012
7/27/2012
7/26/2012
7/25/2012
7/24/2012
7/23/2012
7/20/2012
7/19/2012
7/18/2012
7/17/2012
7/16/2012
7/13/2012
7/12/2012
7/11/2012
7/10/2012
7/9/2012
7/6/2012
7/5/2012
7/3/2012
7/2/2012
6/29/2012
6/28/2012
6/27/2012
6/26/2012
6/25/2012
6/22/2012
6/21/2012
6/20/2012
6/19/2012
6/18/2012
6/15/2012
6/14/2012
6/13/2012
6/12/2012
6/11/2012
6/8/2012
6/7/2012
6/6/2012
6/5/2012
6/4/2012
6/1/2012
5/31/2012
5/30/2012
5/29/2012
5/25/2012
5/24/2012
5/23/2012
5/22/2012
5/21/2012
5/18/2012
5/17/2012
5/16/2012
5/15/2012
5/14/2012
5/11/2012
5/10/2012
5/9/2012
5/8/2012
5/7/2012
5/4/2012
5/3/2012
5/2/2012

5/1/2012
4/30/2012
4/27/2012
4/26/2012
4/25/2012
4/24/2012
4/23/2012
4/20/2012
4/19/2012
4/18/2012
4/17/2012
4/16/2012
4/13/2012
4/12/2012
4/11/2012
4/10/2012
4/9/2012
4/5/2012
4/4/2012
4/3/2012
4/2/2012
3/30/2012
3/29/2012
3/28/2012
3/27/2012
3/26/2012
3/23/2012
3/22/2012
3/21/2012
3/20/2012
3/19/2012
3/16/2012
3/15/2012
3/14/2012
3/13/2012
3/12/2012
3/9/2012
3/8/2012
3/7/2012
3/6/2012
3/5/2012
3/2/2012
3/1/2012
2/29/2012
2/28/2012
2/27/2012
2/24/2012
2/23/2012
2/22/2012
2/21/2012
2/17/2012
2/16/2012
2/15/2012
2/14/2012
2/13/2012
2/10/2012
2/9/2012
2/8/2012
2/7/2012
2/6/2012
2/3/2012
2/2/2012
2/1/2012
1/31/2012
1/30/2012
1/27/2012
1/26/2012

1405.82
1397.91
1403.36
1399.98
1390.69
1371.97
1366.94
1378.53
1376.92
1385.14
1390.78
1369.57
1370.26
1387.57
1368.71
1358.59
1382.2
1398.08
1398.96
1413.38
1419.04
1408.47
1403.28
1405.54
1412.52
1416.51
1397.11
1392.78
1402.89
1405.52
1409.75
1404.17
1402.6
1394.28
1395.95
1371.09
1370.87
1365.91
1352.63
1343.36
1364.33
1369.63
1374.09
1365.68
1372.18
1367.59
1365.74
1363.46
1357.66
1362.21
1361.23
1358.04
1343.23
1350.5
1351.77
1342.64
1351.95
1349.96
1347.05
1344.33
1344.9
1325.54
1324.09
1312.41
1313.01
1316.33
1318.43

16.9
16.41
15.7
15.23
15.58
14.79
15.09
14.4
14.25
14.56
14.67
15.14
14.94
14.93
14.91
15.24
15.93
15.73
16.06
16.35
16.2
15.92
16.21
17.11
17.19
17.36
17.83
17.83
18.41
18.28
18.52
18.4
17.92
18.1
18.48
17.9
18.37
18.24
18.28
18.66
18.72
19.6
19.55
20.57
20.09
20.71
21.34
21.85
22.16
22.08
22.44
21.52
20.76
21.52
20.72
21.08
20.96
20.76
21.12
21.84
21.32
21.64
20.2
21
22.56
23.52
22.48

5%
5%
8%
6%
9%
8%
8%
11%
11%
9%
9%
11%
12%
13%
13%
12%
8%
9%
8%
6%
8%
7%
6%
4%
4%
4%
6%
6%
5%
6%
5%
5%
8%
7%
9%
3%
1%
1%
0%
-1%
0%
-2%
-3%
-3%
-4%
-4%
-7%
-7%
-9%
-9%
-11%
-10%
-12%
-12%
-12%
-12%
-8%
-7%
-7%
-7%
-6%
-5%
-2%
-2%
-2%
-2%
-2%

0.57%

2.99%

0.56%

-0.39%

4.52%

-0.39%

0.24%

3.09%

0.24%

0.67%

-2.25%

0.67%

1.36%

5.34%

1.36%

0.37%

-1.99%

0.37%

-0.84%

4.79%

-0.84%

0.12%

1.05%

0.12%

-0.59%

-2.13%

-0.60%

-0.41%

-0.75%

-0.41%

1.55%

-3.10%

1.54%

-0.05%

1.34%

-0.05%

-1.25%

0.07%

-1.26%

1.38%

0.13%

1.37%

0.74%

-2.17%

0.74%

-1.71%

-4.33%

-1.72%

-1.14%

1.27%

-1.14%

-0.06%

-2.05%

-0.06%

-1.02%

-1.77%

-1.03%

-0.40%

0.93%

-0.40%

0.75%

1.76%

0.75%

0.37%

-1.79%

0.37%

-0.16%

-5.26%

-0.16%

-0.49%

-0.47%

-0.50%

-0.28%

-0.98%

-0.28%

1.39%

-2.64%

1.38%

0.31%

0.00%

0.31%

-0.72%

-3.15%

-0.72%

-0.19%

0.71%

-0.19%

-0.30%

-1.30%

-0.30%

0.40%

0.65%

0.40%

0.11%

2.68%

0.11%

0.60%

-0.99%

0.59%

-0.12%

-2.06%

-0.12%

1.81%

3.24%

1.80%

0.02%

-2.56%

0.02%

0.36%

0.71%

0.36%

0.98%

-0.22%

0.98%

0.69%

-2.04%

0.69%

-1.54%

-0.32%

-1.55%

-0.39%

-4.49%

-0.39%

-0.32%

0.26%

-0.33%

0.62%

-4.96%

0.61%

-0.47%

2.39%

-0.47%

0.34%

-2.99%

0.34%

0.14%

-2.95%

0.14%

0.17%

-2.33%

0.17%

0.43%

-1.40%

0.43%

-0.33%

0.36%

-0.33%

0.07%

-1.60%

0.07%

0.23%

4.28%

0.23%

1.10%

3.66%

1.10%

-0.54%

-3.53%

-0.54%

-0.09%

3.86%

-0.09%

0.68%

-1.71%

0.68%

-0.69%

0.57%

-0.69%

0.15%

0.96%

0.15%

0.22%

-1.70%

0.22%

0.20%

-3.30%

0.20%

-0.04%

2.44%

-0.04%

1.46%

-1.48%

1.45%

0.11%

7.13%

0.11%

0.89%

-3.81%

0.89%

-0.05%

-6.91%

-0.05%

-0.25%

-4.08%

-0.25%

-0.16%

4.63%

-0.16%

-0.58%

-5.23%

-0.58%

2.9%
4.4%
3.0%
-2.3%
5.2%
-2.0%
4.7%
1.0%
-2.2%
-0.8%
-3.2%
1.3%
0.1%
0.1%
-2.2%
-4.4%
1.3%
-2.1%
-1.8%
0.9%
1.7%
-1.8%
-5.4%
-0.5%
-1.0%
-2.7%
0.0%
-3.2%
0.7%
-1.3%
0.7%
2.6%
-1.0%
-2.1%
3.2%
-2.6%
0.7%
-0.2%
-2.1%
-0.3%
-4.6%
0.3%
-5.1%
2.4%
-3.0%
-3.0%
-2.4%
-1.4%
0.4%
-1.6%
4.2%
3.6%
-3.6%
3.8%
-1.7%
0.6%
1.0%
-1.7%
-3.4%
2.4%
-1.5%
6.9%
-3.9%
-7.2%
-4.2%
4.5%
-5.4%

11.6%
11.6%
11.5%
11.5%
11.6%
11.4%
11.4%
11.2%
11.2%
11.2%
11.3%
10.9%
11.0%
10.7%
10.4%
10.4%
9.8%
9.4%
9.4%
9.2%
9.5%
9.5%
9.7%
10.0%
10.0%
10.0%
9.8%
9.8%
11.1%
11.4%
11.4%
11.4%
11.7%
11.9%
12.3%
12.2%
13.1%
13.0%
12.9%
13.0%
12.6%
12.6%
15.0%
15.0%
15.8%
15.9%
16.6%
16.7%
17.2%
17.1%
17.5%
17.9%
17.8%
17.9%
18.3%
18.3%
19.7%
19.8%
19.9%
19.9%
20.2%
20.3%
21.1%
21.6%
21.6%
22.6%
22.7%

43.0%
44.4%
43.8%
44.5%
45.3%
46.3%
46.2%
48.9%
48.9%
50.1%
50.1%
50.7%
51.0%
51.0%
51.7%
51.8%
51.4%
51.9%
52.3%
53.1%
53.0%
52.8%
53.0%
52.2%
52.2%
52.3%
52.2%
52.2%
52.0%
52.0%
51.9%
51.9%
51.9%
52.0%
52.1%
51.7%
51.6%
51.6%
51.6%
51.9%
51.9%
51.6%
51.6%
51.2%
51.0%
50.8%
51.0%
50.8%
51.1%
51.2%
51.5%
50.7%
50.0%
50.0%
49.2%
49.2%
49.3%
49.4%
49.5%
49.2%
48.9%
48.9%
46.6%
46.2%
45.5%
45.0%
43.8%

11.6%
11.5%
11.5%
11.5%
11.6%
11.4%
11.4%
11.2%
11.2%
11.2%
11.3%
10.9%
11.0%
10.7%
10.4%
10.4%
9.7%
9.4%
9.4%
9.1%
9.5%
9.5%
9.6%
10.0%
9.9%
10.0%
9.8%
9.8%
11.0%
11.4%
11.3%
11.3%
11.6%
11.8%
12.3%
12.2%
13.0%
13.0%
12.9%
13.0%
12.5%
12.5%
14.9%
14.9%
15.7%
15.7%
16.5%
16.5%
17.1%
17.0%
17.4%
17.8%
17.7%
17.8%
18.1%
18.2%
19.7%
19.8%
19.8%
19.9%
20.2%
20.2%
21.1%
21.6%
21.6%
22.6%
22.7%

1/25/2012
1/24/2012
1/23/2012
1/20/2012
1/19/2012
1/18/2012
1/17/2012
1/13/2012
1/12/2012
1/11/2012
1/10/2012
1/9/2012
1/6/2012
1/5/2012
1/4/2012
1/3/2012
12/30/2011
12/29/2011
12/28/2011
12/27/2011
12/23/2011
12/22/2011
12/21/2011
12/20/2011
12/19/2011
12/16/2011
12/15/2011
12/14/2011
12/13/2011
12/12/2011
12/9/2011
12/8/2011
12/7/2011
12/6/2011
12/5/2011
12/2/2011
12/1/2011
11/30/2011
11/29/2011
11/28/2011
11/25/2011
11/23/2011
11/22/2011
11/21/2011
11/18/2011
11/17/2011
11/16/2011
11/15/2011
11/14/2011
11/11/2011
11/10/2011
11/9/2011
11/8/2011
11/7/2011
11/4/2011
11/3/2011
11/2/2011
11/1/2011
10/31/2011
10/28/2011
10/27/2011
10/26/2011
10/25/2011
10/24/2011
10/21/2011
10/20/2011
10/19/2011

1326.06
1314.65
1316
1315.38
1314.5
1308.04
1293.67
1289.09
1295.5
1292.48
1292.08
1280.7
1277.81
1281.06
1277.3
1277.06
1257.6
1263.02
1249.64
1265.43
1265.33
1254
1243.72
1241.3
1205.35
1219.66
1215.75
1211.82
1225.73
1236.47
1255.19
1234.35
1261.01
1258.47
1257.08
1244.28
1244.58
1246.96
1195.19
1192.55
1158.67
1161.79
1188.04
1192.98
1215.65
1216.13
1236.91
1257.81
1251.78
1263.85
1239.7
1229.1
1275.92
1261.12
1253.23
1261.15
1237.9
1218.28
1253.3
1285.09
1284.59
1242
1229.05
1254.19
1238.25
1215.39
1209.88

23.72
22.16
22.2
20.36
20.12
21.44
21.48
22.68
23.6
24.04
25.32
26.12
26.56
25.68
26.88
25.88
25.84
26.32
27.12
27.32
27.2
27.72
27.8
27.56
27.44
27.56
27.6
27.64
28.8
28.56
29.4
30.32
30.2
30.72
30.52
31.64
32.08
31.48
32
31.28
32.08
31.96
31.24
31.4
30.76
31.52
30.68
31.36
31.72
32.84
33.44
33.6
34.48
33.96
34.84
34.8
34.52
34.76
36.04
36.04
34.68
34.72
35.36
34.84
35.28
35.16
35.08

-5%
-8%
-7%
-8%
-9%
-10%
-10%
-6%
-7%
-8%
-9%

0.87%

7.04%

0.86%

-0.10%

-0.18%

-0.10%

0.05%

9.04%

0.05%

0.07%

1.19%

0.07%

0.49%

-6.16%

0.49%

1.11%

-0.19%

1.10%

0.36%

-5.29%

0.35%

-0.49%

-3.90%

-0.50%

0.23%

-1.83%

0.23%

0.03%

-5.06%

0.03%

0.89%

-3.06%

0.88%

0.23%

-1.66%

0.23%

-0.25%

3.43%

-0.25%

0.29%

-4.46%

0.29%

0.02%

3.86%

0.02%

1.55%

0.15%

1.54%

-0.43%

-1.82%

-0.43%

1.07%

-2.95%

1.07%

-1.25%

-0.73%

-1.26%

0.01%

0.44%

0.01%

0.90%

-1.88%

0.90%

0.83%

-0.29%

0.82%

0.19%

0.87%

0.19%

2.98%

0.44%

2.94%

-1.17%

-0.44%

-1.18%

0.32%

-0.14%

0.32%

0.32%

-0.14%

0.32%

-1.13%

-4.03%

-1.14%

-0.87%

0.84%

-0.87%

-1.49%

-2.86%

-1.50%

1.69%

-3.03%

1.67%

-2.11%

0.40%

-2.14%

0.20%

-1.69%

0.20%

0.11%

0.66%

0.11%

1.03%

-3.54%

1.02%

-0.02%

-1.37%

-0.02%

-0.19%

1.91%

-0.19%

4.33%

-1.63%

4.24%

0.22%

2.30%

0.22%

2.92%

-2.49%

2.88%

-0.27%

0.38%

-0.27%

-2.21%

2.30%

-2.23%

-0.41%

-0.51%

-0.41%

-1.86%

2.08%

-1.88%

-0.04%

-2.41%

-0.04%

-1.68%

2.74%

-1.69%

-1.66%

-2.17%

-1.68%

0.48%

-1.13%

0.48%

-0.96%

-3.41%

-0.96%

1.95%

-1.79%

1.93%

0.86%

-0.48%

0.86%

-3.67%

-2.55%

-3.74%

1.17%

1.53%

1.17%

0.63%

-2.53%

0.63%

-0.63%

0.11%

-0.63%

1.88%

0.81%

1.86%

1.61%

-0.69%

1.60%

-2.79%

-3.55%

-2.83%

-2.47%

0.00%

-2.50%

0.04%

3.92%

0.04%

3.43%

-0.12%

3.37%

1.05%

-1.81%

1.05%

-2.00%

1.49%

-2.02%

1.29%

-1.25%

1.28%

1.88%

0.34%

1.86%

0.46%

0.23%

0.45%

-1.26%

0.57%

-1.27%

6.8%
-0.2%
8.7%
1.2%
-6.4%
-0.2%
-5.4%
-4.0%
-1.8%
-5.2%
-3.1%
-1.7%
3.4%
-4.6%
3.8%
0.2%
-1.8%
-3.0%
-0.7%
0.4%
-1.9%
-0.3%
0.9%
0.4%
-0.4%
-0.1%
-0.1%
-4.1%
0.8%
-2.9%
-3.1%
0.4%
-1.7%
0.7%
-3.6%
-1.4%
1.9%
-1.6%
2.3%
-2.5%
0.4%
2.3%
-0.5%
2.1%
-2.4%
2.7%
-2.2%
-1.1%
-3.5%
-1.8%
-0.5%
-2.6%
1.5%
-2.6%
0.1%
0.8%
-0.7%
-3.6%
0.0%
3.8%
-0.1%
-1.8%
1.5%
-1.3%
0.3%
0.2%
0.6%

23.1%
23.1%
23.4%
23.4%
23.6%
23.9%
24.1%
24.3%
24.3%
24.4%
24.4%

43.0%
40.2%
40.2%
35.2%
35.1%
33.7%
33.7%
33.8%
33.4%
33.7%
32.6%

23.0%
23.1%
23.3%
23.4%
23.5%
23.8%
24.1%
24.3%
24.3%
24.3%
24.3%

10/18/2011
10/17/2011
10/14/2011
10/13/2011
10/12/2011
10/11/2011
10/10/2011
10/7/2011
10/6/2011
10/5/2011
10/4/2011
10/3/2011
9/30/2011
9/29/2011
9/28/2011
9/27/2011
9/26/2011
9/23/2011
9/22/2011
9/21/2011
9/20/2011
9/19/2011
9/16/2011
9/15/2011
9/14/2011
9/13/2011
9/12/2011
9/9/2011
9/8/2011
9/7/2011
9/6/2011
9/2/2011
9/1/2011
8/31/2011
8/30/2011
8/29/2011
8/26/2011
8/25/2011
8/24/2011
8/23/2011
8/22/2011
8/19/2011
8/18/2011
8/17/2011
8/16/2011
8/15/2011
8/12/2011
8/11/2011
8/10/2011
8/9/2011
8/8/2011
8/5/2011
8/4/2011
8/3/2011
8/2/2011
8/1/2011
7/29/2011
7/28/2011
7/27/2011
7/26/2011
7/25/2011
7/22/2011
7/21/2011
7/20/2011
7/19/2011
7/18/2011
7/15/2011

1225.38
1200.86
1224.58
1203.66
1207.25
1195.54
1194.89
1155.46
1164.97
1144.03
1123.95
1099.23
1131.42
1160.4
1151.06
1175.38
1162.95
1136.43
1129.56
1166.76
1202.09
1204.09
1216.01
1209.11
1188.68
1172.87
1162.27
1154.23
1185.9
1198.62
1165.24
1173.97
1204.42
1218.89
1212.92
1210.08
1176.8
1159.27
1177.6
1162.35
1123.82
1123.53
1140.65
1193.89
1192.76
1204.49
1178.81
1172.64
1120.76
1172.53
1119.46
1199.38
1200.07
1260.34
1254.05
1286.94
1292.28
1300.67
1304.89
1331.94
1337.43
1345.02
1343.8
1325.84
1326.73
1305.44
1316.14

34.88
35.92
36.12
34.68
34.24
35.36
34.96
34.24
35.28
35
35.84
35.48
36.04
36.96
37.12
38.04
37.76
36.92
37.12
37.4
38.04
38.68
38.68
39.24
40.64
40.12
39.36
39.48
40.2
39.72
39.6
38.84
40.72
40.88
39.4
38.68
39.52
39.4
39.12
40
38.96
39.68
39.56
39.76
39.76
40.64
41.04
41.6
40.4
40.52
39.92
39.84
39.88
41.36
41.96
42.32
42
42.8
43.72
43.88
43.96
44.2
44.04
45.08
45.44
45.64
45.76

2.04%

-2.90%

2.02%

-1.94%

-0.55%

-1.96%

1.74%

4.15%

1.72%

-0.30%

1.29%

-0.30%

0.98%

-3.17%

0.97%

0.05%

1.14%

0.05%

-2.9%
-0.6%
4.1%
1.3%
-3.2%
1.1%

7/14/2011
7/13/2011
7/12/2011
7/11/2011
7/8/2011
7/7/2011
7/6/2011
7/5/2011
7/1/2011
6/30/2011
6/29/2011
6/28/2011
6/27/2011
6/24/2011
6/23/2011
6/22/2011
6/21/2011
6/20/2011
6/17/2011
6/16/2011
6/15/2011
6/14/2011
6/13/2011
6/10/2011
6/9/2011
6/8/2011
6/7/2011
6/6/2011
6/3/2011
6/2/2011
6/1/2011
5/31/2011
5/27/2011
5/26/2011
5/25/2011
5/24/2011
5/23/2011
5/20/2011
5/19/2011
5/18/2011
5/17/2011
5/16/2011
5/13/2011
5/12/2011
5/11/2011
5/10/2011
5/9/2011
5/6/2011
5/5/2011
5/4/2011
5/3/2011
5/2/2011
4/29/2011
4/28/2011
4/27/2011
4/26/2011
4/25/2011
4/21/2011
4/20/2011
4/19/2011
4/18/2011
4/15/2011
4/14/2011
4/13/2011
4/12/2011
4/11/2011
4/8/2011

1308.87
1317.72
1313.64
1319.49
1343.8
1353.22
1339.22
1337.88
1339.67
1320.64
1307.41
1296.67
1280.1
1268.45
1283.5
1287.14
1295.52
1278.36
1271.5
1267.64
1265.42
1287.87
1271.83
1270.98
1289
1279.56
1284.94
1286.17
1300.16
1312.94
1314.55
1345.2
1331.1
1325.69
1320.47
1316.28
1317.37
1333.27
1343.6
1340.68
1328.98
1329.47
1337.77
1348.65
1342.08
1357.16
1346.29
1340.2
1335.1
1347.32
1356.62
1361.22
1363.61
1360.48
1355.66
1347.24
1335.25
1337.38
1330.36
1312.62
1305.14
1319.68
1314.52
1314.41
1314.16
1324.46
1328.17

44.2
44.08
43.4
43.12
42.44
41.96
42.64
43.84
43.48
44.08
43.48
44.04
43.08
42.92
42.84
43.84
44.76
43.76
44.16
45
46.56
46.56
47.12
48.32
47.52
49.28
48.92
48.92
47.72
48.68
47.04
47.16
45.92
44.4
44.88
44.56
44.52
43.84
42.28
43.32
43.24
44.48
43.88
43.24
43.2
44.04
43.08
44
43.96
47.12
48.2
48.44
48.24
47.16
45.52
45.88
45.76
46.16
44.92
44.64
43.2
44.08
44.24
43.4
42.88
43.12
42.32

4/7/2011
4/6/2011
4/5/2011
4/4/2011
4/1/2011
3/31/2011
3/30/2011
3/29/2011
3/28/2011
3/25/2011
3/24/2011
3/23/2011
3/22/2011
3/21/2011
3/18/2011
3/17/2011
3/16/2011
3/15/2011
3/14/2011
3/11/2011
3/10/2011
3/9/2011
3/8/2011
3/7/2011
3/4/2011
3/3/2011
3/2/2011
3/1/2011
2/28/2011
2/25/2011
2/24/2011
2/23/2011
2/22/2011
2/18/2011
2/17/2011
2/16/2011
2/15/2011
2/14/2011
2/11/2011
2/10/2011
2/9/2011
2/8/2011
2/7/2011
2/4/2011
2/3/2011
2/2/2011
2/1/2011
1/31/2011
1/28/2011
1/27/2011
1/26/2011
1/25/2011
1/24/2011
1/21/2011
1/20/2011
1/19/2011
1/18/2011
1/14/2011
1/13/2011
1/12/2011
1/11/2011
1/10/2011
1/7/2011
1/6/2011
1/5/2011
1/4/2011
1/3/2011

1333.51
1335.54
1332.63
1332.87
1332.41
1325.83
1328.26
1319.44
1310.19
1313.8
1309.66
1297.54
1293.77
1298.38
1279.21
1273.72
1256.88
1281.87
1296.39
1304.28
1295.11
1320.02
1321.82
1310.13
1321.15
1330.97
1308.44
1306.33
1327.22
1319.88
1306.1
1307.4
1315.44
1343.01
1340.43
1336.32
1328.01
1332.32
1329.15
1321.87
1320.88
1324.57
1319.05
1310.87
1307.1
1304.03
1307.59
1286.12
1276.34
1299.54
1296.63
1291.18
1290.84
1283.35
1280.26
1281.92
1295.02
1293.24
1283.76
1285.96
1274.48
1269.75
1271.5
1273.85
1276.56
1270.2
1271.87

42.48
43.4
44.32
44.88
45.32
46
45.88
44.8
46.32
47.2
45.32
46.28
45.44
44.44
44.44
44.36
42.04
42.24
41.68
41.6
40.88
41.88
41.28
41.92
40.56
40.4
40.8
41.44
43.12
42.88
41.44
42.08
41.52
41.6
41.68
42.4
43.28
42.8
42.48
43.12
44.24
44
44.72
46.88
47.12
47.92
47.2
47.92
47.04
47.04
48.72
48.72
49.92
51.2
50.96
49.68
48
48.8
47.84
49.12
48.88
47.76
48.24
48
48.88
50.16
50.48

12/31/2010
12/30/2010
12/29/2010
12/28/2010
12/27/2010
12/23/2010
12/22/2010
12/21/2010
12/20/2010
12/17/2010
12/16/2010
12/15/2010
12/14/2010
12/13/2010
12/10/2010
12/9/2010
12/8/2010
12/7/2010
12/6/2010
12/3/2010
12/2/2010
12/1/2010
11/30/2010
11/29/2010
11/26/2010
11/24/2010
11/23/2010
11/22/2010
11/19/2010
11/18/2010
11/17/2010
11/16/2010
11/15/2010
11/12/2010
11/11/2010
11/10/2010
11/9/2010
11/8/2010
11/5/2010
11/4/2010
11/3/2010
11/2/2010
11/1/2010
10/29/2010
10/28/2010
10/27/2010
10/26/2010
10/25/2010
10/22/2010
10/21/2010
10/20/2010
10/19/2010
10/18/2010
10/15/2010
10/14/2010
10/13/2010
10/12/2010
10/11/2010
10/8/2010
10/7/2010
10/6/2010
10/5/2010
10/4/2010
10/1/2010
9/30/2010
9/29/2010
9/28/2010

1257.64
1257.88
1259.78
1258.51
1257.54
1256.77
1258.84
1254.6
1247.08
1243.91
1242.87
1235.23
1241.59
1240.46
1240.4
1233
1228.28
1223.75
1223.12
1224.71
1221.53
1206.07
1180.55
1187.76
1189.4
1198.35
1180.73
1197.84
1199.73
1196.69
1178.59
1178.34
1197.75
1199.21
1213.54
1218.71
1213.4
1223.25
1225.85
1221.06
1197.96
1193.57
1184.38
1183.26
1183.78
1182.45
1185.64
1185.62
1183.08
1180.26
1178.17
1165.9
1184.71
1176.19
1173.81
1178.1
1169.77
1165.32
1165.15
1158.06
1159.97
1160.75
1137.03
1146.24
1141.2
1144.73
1147.7

47.92
47.12
46.72
46.72
45.12
44.88
45.12
44.8
46.4
44.64
44.32
46.56
46.88
48.4
48.72
48.8
50.4
48.48
49.44
47.52
47.52
47.04
46.24
46.4
48.48
48.4
48.24
48.64
47.44
46.16
45.84
44.08
44.4
44.08
45.36
46.8
48.32
47.12
45.28
44.72
44.16
44.72
44.16
46.56
45.04
43.6
43.28
42.72
42.64
43.36
44.88
44.88
44.56
45.44
46.72
46.88
46.48
46
46.64
46.16
49.44
48.08
47.6
48.56
49.36
50.64
50.72

9/27/2010
9/24/2010
9/23/2010
9/22/2010
9/21/2010
9/20/2010
9/17/2010
9/16/2010
9/15/2010
9/14/2010
9/13/2010
9/10/2010
9/9/2010
9/8/2010
9/7/2010
9/3/2010
9/2/2010
9/1/2010
8/31/2010
8/30/2010
8/27/2010
8/26/2010
8/25/2010
8/24/2010
8/23/2010
8/20/2010
8/19/2010
8/18/2010
8/17/2010
8/16/2010
8/13/2010
8/12/2010
8/11/2010
8/10/2010
8/9/2010
8/6/2010
8/5/2010
8/4/2010
8/3/2010
8/2/2010
7/30/2010
7/29/2010
7/28/2010
7/27/2010
7/26/2010
7/23/2010
7/22/2010
7/21/2010
7/20/2010
7/19/2010
7/16/2010
7/15/2010
7/14/2010
7/13/2010
7/12/2010
7/9/2010
7/8/2010
7/7/2010
7/6/2010
7/2/2010
7/1/2010
6/30/2010
6/29/2010
6/28/2010
6/25/2010
6/24/2010
6/23/2010

1142.16
1148.67
1124.83
1134.28
1139.78
1142.71
1125.59
1124.66
1125.07
1121.1
1121.9
1109.55
1104.18
1098.87
1091.84
1104.51
1090.1
1080.29
1049.33
1048.92
1064.59
1047.22
1055.33
1051.87
1067.36
1071.69
1075.63
1094.16
1092.54
1079.38
1079.25
1083.61
1089.47
1121.06
1127.79
1121.64
1125.81
1127.24
1120.46
1125.86
1101.6
1101.53
1106.13
1113.84
1115.01
1102.66
1093.67
1069.59
1083.48
1071.25
1064.88
1096.48
1095.17
1095.34
1078.75
1077.96
1070.25
1060.27
1028.06
1022.58
1027.37
1030.71
1041.24
1074.57
1076.76
1073.69
1092.04

49.92
51.44
53.04
52.48
52.16
51.28
53.44
54
53.44
52.8
52.64
51.92
50.72
51.04
51.68
52.32
50.88
50.16
51.04
51.2
49.92
51.6
52.48
54.48
54.88
55.6
56.32
57.04
57.44
56.96
58.32
57.84
58.24
58.08
58.4
60.56
62.08
63.6
62.96
63.44
66.08
64.88
63.12
62.56
61.76
61.28
62.08
60.64
61.92
60.8
60.88
62
58.24
58.88
59.2
59.52
59.44
62.24
62.96
62.96
64.96
62
61.36
63.84
66.48
64.56
65.2

6/22/2010
6/21/2010
6/18/2010
6/17/2010
6/16/2010
6/15/2010
6/14/2010
6/11/2010
6/10/2010
6/9/2010
6/8/2010
6/7/2010
6/4/2010
6/3/2010
6/2/2010
6/1/2010
5/28/2010
5/27/2010
5/26/2010
5/25/2010
5/24/2010
5/21/2010
5/20/2010
5/19/2010
5/18/2010
5/17/2010
5/14/2010
5/13/2010
5/12/2010
5/11/2010
5/10/2010
5/7/2010
5/6/2010
5/5/2010
5/4/2010
5/3/2010
4/30/2010
4/29/2010
4/28/2010
4/27/2010
4/26/2010
4/23/2010
4/22/2010
4/21/2010
4/20/2010
4/19/2010
4/16/2010
4/15/2010
4/14/2010
4/13/2010
4/12/2010
4/9/2010
4/8/2010
4/7/2010
4/6/2010
4/5/2010
4/1/2010
3/31/2010
3/30/2010
3/29/2010
3/26/2010
3/25/2010
3/24/2010
3/23/2010
3/22/2010
3/19/2010
3/18/2010

1095.31
1113.2
1117.51
1116.04
1114.61
1115.23
1089.63
1091.6
1086.84
1055.69
1062
1050.47
1064.88
1102.83
1098.38
1070.71
1089.41
1103.06
1067.95
1074.03
1073.65
1087.69
1071.59
1115.05
1120.8
1136.94
1135.68
1157.44
1171.67
1155.79
1159.73
1110.88
1128.15
1165.87
1173.6
1202.26
1186.69
1206.78
1191.36
1183.71
1212.05
1217.28
1208.67
1205.94
1207.17
1197.52
1192.13
1211.67
1210.65
1197.3
1196.48
1194.37
1186.44
1182.45
1189.44
1187.44
1178.1
1169.43
1173.27
1173.22
1166.59
1165.73
1167.72
1174.17
1165.81
1159.9
1165.83

64.96
66
68.24
69.84
67.92
70.64
68.4
65.36
63.92
63.84
65.44
67.2
65.44
64.08
60.4
57.6
59.44
58.64
56.96
56.32
55.84
56.24
57.2
57.84
60.32
61.04
60.08
60.08
59.52
58
58.24
55.68
54.48
55.52
56.08
55.84
54.88
55.92
60.8
60.32
60.72
60.64
58.64
56.64
56.72
56.48
57.44
57.2
59.76
59.04
57.2
58.24
56
57.28
58.8
61.28
58.32
55.28
56.8
56.24
56
57.28
59.04
59.84
59.12
60.16
59.12

3/17/2010
3/16/2010
3/15/2010
3/12/2010
3/11/2010
3/10/2010
3/9/2010
3/8/2010
3/5/2010
3/4/2010
3/3/2010
3/2/2010
3/1/2010
2/26/2010
2/25/2010
2/24/2010
2/23/2010
2/22/2010
2/19/2010
2/18/2010
2/17/2010
2/16/2010
2/12/2010
2/11/2010
2/10/2010
2/9/2010
2/8/2010
2/5/2010
2/4/2010
2/3/2010
2/2/2010
2/1/2010
1/29/2010
1/28/2010
1/27/2010
1/26/2010
1/25/2010
1/22/2010
1/21/2010
1/20/2010
1/19/2010
1/15/2010
1/14/2010
1/13/2010
1/12/2010
1/11/2010
1/8/2010
1/7/2010
1/6/2010
1/5/2010
1/4/2010
12/31/2009
12/30/2009
12/29/2009
12/28/2009
12/24/2009
12/23/2009
12/22/2009
12/21/2009
12/18/2009
12/17/2009
12/16/2009
12/15/2009
12/14/2009
12/11/2009
12/10/2009
12/9/2009

1166.21
1159.46
1150.51
1149.99
1150.24
1145.61
1140.45
1138.5
1138.7
1122.97
1118.79
1118.31
1115.71
1104.49
1102.94
1105.24
1094.6
1108.01
1109.17
1106.75
1099.51
1094.87
1075.51
1078.47
1068.13
1070.52
1056.74
1066.19
1063.11
1097.28
1103.32
1089.19
1073.87
1084.53
1097.5
1092.17
1096.78
1091.76
1116.48
1138.04
1150.23
1136.03
1148.46
1145.68
1136.22
1146.98
1144.98
1141.69
1137.14
1136.52
1132.99
1115.1
1126.42
1126.2
1127.78
1126.48
1120.59
1118.02
1114.05
1102.47
1096.08
1109.18
1107.93
1114.11
1106.41
1102.35
1095.95

62.16
63.2
63.84
63.76
64.48
66.64
65.52
66.08
66.8
66.64
69.2
68.64
68.24
69.6
69.6
70.96
70.4
72.08
73.52
75.36
77.68
77.84
78.88
77.84
76.88
76.96
78.48
80
78.64
78.56
78.96
78.4
74.48
75.12
75.92
78.72
82
82.8
80.64
79.36
80.72
81.92
80.72
82.88
80.8
79.44
83.28
84.88
86.64
82.56
85.12
80.64
82.8
84.64
86.8
82.56
85.6
83.92
82.88
84.96
83.68
80.48
81.2
78.64
76.56
78
72.88

12/8/2009
12/7/2009
12/4/2009
12/3/2009
12/2/2009
12/1/2009
11/30/2009
11/27/2009
11/25/2009
11/24/2009
11/23/2009
11/20/2009
11/19/2009
11/18/2009

1091.94
1103.25
1105.98
1099.92
1109.24
1108.86
1095.63
1091.49
1110.63
1105.65
1106.24
1091.38
1094.9
1109.8

75.04
73.76
69.12
68.08
69.6
72.32
73.2
78.64
76.48
72.08
72.32
71.92
71.52
71.84

ixed which probably does not fit Don's objective.


erflow data if parameters inconsistent with last download
Careful: using existing data
No

ReCalculate
Correlation

10/11/12

10/25/12

10/11/12

10/25/12

Scaled Alpha Vlt EMA


0.040
11.0%
0.037
11.4%
0.054
11.0%
0.035
11.2%
0.056 16% 10.8%
0.059
11.0%
0.058
11.0%
0.063
10.9%
11%
0.085
10.9%
0.094
10.9%
0.088
11.2%
0.072 6%
11.3%
0.077
11.1%
0.083
11.1%
0.057
11.2%
1%
0.075
11.3%
0.048
11.3%
0.068
11.4%
0.069 -4%
11.4%
0.051
12.2%
0.051
12.2%
0.039 -9%
12.2%
0.025
12.0%
0.026
12.4%
0.038
12.5%
-14%
0.032
13.3%
0.045
13.4%
0.040
13.5%
0.037 -19% 13.5%
0.074
13.6%
0.075
13.4%
0.126
13.5%
0.115
13.6%
0.093
13.8%
0.050 58% 13.9%
0.064
13.4%
0.044
14.0%
0.047
48% 14.0%
0.040
14.0%
0.053
14.8%
0.026
14.9%
0.015 38% 15.2%
0.012
15.3%
0.003
15.3%
0.008
15.2%
-0.003 28% 15.2%
-0.004
15.2%
-0.001
15.4%
-0.019
15.5%
-0.007 18% 15.8%
0.005
15.9%
0.037
15.9%
0.039
8% 16.1%
0.032
16.1%
0.055
16.1%
0.062
16.2%
0.069
16.2%

9/27/12

9/13/12
9/13/12

ative to ^GSPC (shifted!)

Beta
-0.63
-0.68
-0.61
-0.54
-0.59
-0.62
-0.66
-0.65
-0.52
-0.45
-0.44
-0.40
-0.43
-0.39
-0.23
-0.27
-0.07
-0.08
-0.06
-0.09
0.06
0.01
0.04
0.14
0.07
0.10
-0.02
-0.01
-0.09
-0.12
-0.15
0.20
0.21
0.18
0.38
0.41
0.52
0.43
0.44
0.42
0.59
0.60
0.64
0.55
0.61
0.60
0.60
0.61
0.51
0.46
0.45
0.40
0.37
0.42
0.43
0.43
0.42

9/27/12

8/29/12

8/29/12

8/1/12

8/1/12

Alpha
0.002
0.001
0.002
0.001
0.002
0.002
0.002
0.003
0.003
0.004
0.004
0.003
0.003
0.003
0.002
0.003
0.002
0.003
0.003
0.002
0.002
0.002
0.001
0.001
0.002
0.001
0.002
0.002
0.001
0.003
0.003
0.005
0.005
Symbol)
0.004
0.002
0.003
0.002
0.002
0.002
0.002
0.001
0.001
0.000
0.000
0.000
0.000
0.000
0.000
-0.001
0.000
0.000
0.001
0.002
0.001
0.002
0.002
0.003

8/15/12

7/18/12

7/18/12

40.5%
40.7%
art (Daily, Shifted!)
40.5%
40.8%
40.2%
40.2%
40.2%
40.4%
41.6%
41.0%
41.3%
40.4%
40.5%
40.8%
42.1%
42.6%
44.1%
43.9%
43.9%
43.1%
43.2%
42.9%
42.7%
43.1%
43.1%
42.9%
43.1%
43.2%
43.6%
45.0%
45.1%
52.6%
52.5%
shifted! Dates for
51.4%
2nd
51.3%
51.0%
52.6%
52.5%
52.4%
52.9%
53.3%
53.1%
53.3%
53.9%
53.6%
53.9%
53.9%
54.1%
54.4%
54.7%
54.6%
55.3%
55.3%
55.7%
54.9%
54.9%
54.8%

8/15/12

Volatility (Log Diff)

Load

Stretch
Graph By
100%

Vlt Diff
0.6%
0.4%
0.4%
0.2%
0.4%
0.2%
0.0%
0.1%
0.0%
0.0%
0.4%
0.0%
0.2%
0.1%
0.0%
0.1%
0.0%
0.1%
0.0%
0.9%
0.1%
0.0%
0.2%
0.5%
0.0%
0.9%
0.0%
0.1%
0.0%
0.1%
0.2%
0.1%
0.2%
0.2%
0.1%
0.5%
0.7%
0.0%
0.0%
0.8%
0.0%
0.3%
0.1%
0.0%
0.1%
0.0%
0.0%
0.3%
0.1%
0.3%
0.0%
0.1%
0.2%
0.0%
0.0%
0.1%
0.0%

Vlt Dwn
10.7%
11.1%
10.8%
10.9%
10.6%
10.7%
10.7%
10.6%
10.6%
10.5%
10.9%
11.0%
10.7%
10.8%
10.9%
11.0%
11.0%
11.0%
11.0%
11.8%
11.8%
11.8%
11.6%
12.0%
12.1%
12.9%
13.1%
13.2%
13.2%
13.2%
13.1%
13.1%
13.3%
13.5%
13.6%
13.1%
13.7%
13.8%
13.8%
14.6%
14.7%
15.0%
15.2%
15.2%
15.1%
15.0%
15.0%
15.2%
15.4%
15.6%
15.7%
15.8%
15.9%
15.9%
16.0%
16.0%
16.0%

Vlt Up
11.2%
11.7%
11.3%
11.4%
11.1%
11.2%
11.2%
11.2%
11.2%
11.2%
11.6%
11.6%
11.4%
11.5%
11.5%
11.6%
11.7%
11.8%
11.8%
12.6%
12.5%
12.6%
12.4%
12.8%
12.9%
13.7%
13.7%
13.8%
13.8%
13.9%
13.7%
13.8%
13.9%
14.1%
14.2%
13.7%
14.2%
14.3%
14.2%
15.0%
15.0%
15.3%
15.4%
15.4%
15.3%
15.3%
15.3%
15.6%
15.7%
16.0%
16.0%
16.1%
16.2%
16.3%
16.3%
16.3%
16.4%

10/25/12

10/5/12

0.083
0.087
0.090 0.65
0.132
0.123
0.45
0.131
0.127
0.150 0.25
0.138
0.170 0.05
0.152
0.169
0.160 -0.15
0.145
0.122 -0.35
0.110
0.124
-0.55
0.129
0.122
0.098 -0.75
0.102
0.094
0.105
0.089
0.089
0.095
0.081
0.063
0.067
0.048
0.028
0.021
-0.001
0.006
0.018
-0.006
0.016
-0.054
-0.060
-0.046
-0.043
-0.044
-0.022
-0.027
-0.027
-0.062
-0.051
-0.069
-0.050
-0.043
-0.042
-0.039
-0.049
-0.057
-0.048
-0.041
-0.029
-0.062
-0.061
-0.057
-0.059
-0.058
-0.067
-0.100
-0.098
-0.098
-0.087

10/16/12

9/26/12

0.38
0.38
0.49
0.36
0.37
0.39
0.37
0.48
0.45
0.55
0.55
0.49
0.54
0.55
0.51
0.41
0.40
0.43
0.41
0.37
0.42
0.40
0.33
0.37
0.36
0.38
0.32
0.33
0.35
0.32
0.28
0.26
0.41
0.41
0.49
0.47
0.53
0.18
0.18
0.29
0.20
0.18
0.18
0.19
0.19
0.20
0.03
-0.05
-0.16
-0.06
-0.09
-0.09
-0.11
-0.12
0.01
0.10
0.25
0.36
0.41
0.29
0.29
0.29
0.30
0.35
0.34
0.23
0.33

9/17/12

9/6/12

8/27/12

0.003
0.003
0.004
0.005
0.005
0.005
0.005
0.006
0.006
0.007
0.006
0.007
0.006
0.006
0.005
0.004
0.005
0.005
0.005
0.004
0.004
0.004
0.004
0.004
0.004
0.004
0.003
0.003
0.003
0.002
0.001
0.001
0.000
0.000
0.001
0.000
0.001
-0.002
-0.002
-0.002
-0.002
-0.002
-0.001
-0.001
-0.001
-0.002
-0.002
-0.003
-0.002
-0.002
-0.002
-0.002
-0.002
-0.002
-0.002
-0.002
-0.001
-0.002
-0.002
-0.002
-0.002
-0.002
-0.003
-0.004
-0.004
-0.004
-0.003

8/16/12

8/7/12

55.5%
55.6%
53.5%
54.1%
54.4%
54.0%
54.0%
54.3%
54.6%
54.8%
55.4%
55.3%
55.4%
54.6%
55.0%
54.8%
54.8%
54.8%
54.6%
54.4%
54.1%
53.0%
53.1%
53.0%
53.1%
53.1%
54.3%
54.2%
53.8%
54.0%
53.9%
54.1%
54.1%
53.7%
52.1%
52.2%
44.0%
44.1%
44.7%
44.2%
44.1%
42.4%
42.6%
42.6%
42.5%
42.0%
43.1%
43.1%
42.6%
42.5%
42.3%
42.3%
42.0%
41.6%
42.1%
42.7%
42.0%
42.2%
41.8%
41.8%
41.8%
41.9%
41.1%
41.2%
41.2%
43.0%

7/27/12

7/18/12

ative to ^GSPC (shifted!)


55.4%

16.2%
16.1%
16.1%
16.1%
16.1%
16.1%
15.7%
15.4%
15.6%
15.5%
15.5%
15.4%
15.4%
15.4%
15.6%
15.6%
15.4%
15.6%
15.7%
16.0%
16.1%
16.1%
16.2%
16.1%
16.2%
15.5%
15.4%
15.3%
15.3%
15.2%
15.2%
14.7%
14.6%
14.5%
14.5%
14.3%
14.2%
14.1%
14.4%
14.2%
14.1%
14.3%
13.6%
13.8%
13.8%
13.1%
13.0%
12.8%
12.6%
12.6%
12.6%
12.6%
12.6%
12.2%
12.1%
12.0%
12.0%
12.0%
11.8%
11.9%
11.9%
11.8%
11.8%
11.8%
11.6%
11.5%
11.6%

0.0%
0.1%
0.0%
0.0%
0.0%
0.0%
0.5%
0.3%
0.3%
0.1%
0.0%
0.1%
0.0%
0.0%
0.2%
0.0%
0.2%
0.2%
0.1%
0.3%
0.1%
0.1%
0.1%
0.0%
0.1%
0.8%
0.0%
0.1%
0.0%
0.0%
0.1%
0.6%
0.0%
0.1%
0.0%
0.2%
0.1%
0.1%
0.3%
0.2%
0.1%
0.1%
0.7%
0.2%
0.0%
0.9%
0.1%
0.3%
0.2%
0.0%
0.0%
0.0%
0.0%
0.4%
0.1%
0.1%
0.0%
0.1%
0.1%
0.1%
0.0%
0.1%
0.0%
0.0%
0.1%
0.1%
0.1%

16.0%
15.8%
15.8%
15.8%
15.8%
15.9%
15.4%
15.1%
15.3%
15.3%
15.3%
15.2%
15.2%
15.1%
15.3%
15.3%
15.2%
15.4%
15.5%
15.7%
15.9%
15.8%
15.9%
15.9%
15.9%
15.2%
15.1%
15.0%
14.9%
14.9%
14.8%
14.3%
14.3%
14.1%
14.2%
14.0%
13.9%
13.8%
14.0%
13.9%
13.8%
14.0%
13.4%
13.6%
13.6%
12.9%
12.9%
12.6%
12.5%
12.5%
12.5%
12.5%
12.5%
12.1%
12.0%
11.9%
11.9%
11.8%
11.7%
11.7%
11.7%
11.6%
11.6%
11.6%
11.4%
11.3%
11.3%

16.4%
16.3%
16.3%
16.3%
16.3%
16.3%
15.9%
15.6%
15.8%
15.7%
15.7%
15.6%
15.6%
15.6%
15.8%
15.9%
15.7%
15.9%
16.0%
16.2%
16.4%
16.3%
16.4%
16.4%
16.5%
15.8%
15.7%
15.6%
15.6%
15.6%
15.5%
15.0%
14.9%
14.8%
14.8%
14.7%
14.5%
14.5%
14.7%
14.5%
14.4%
14.6%
13.9%
14.0%
14.0%
13.3%
13.2%
13.0%
12.7%
12.7%
12.7%
12.7%
12.8%
12.4%
12.2%
12.1%
12.1%
12.1%
11.9%
12.0%
12.0%
12.0%
12.0%
12.0%
11.9%
11.8%
11.8%

42.9%
44.4%
43.9%
44.5%
45.3%
46.3%
46.2%
48.6%
48.6%
49.9%
49.9%
50.6%
50.8%
50.9%
51.6%
51.7%
51.2%
51.7%
52.2%
53.0%
52.9%
52.7%
52.9%
52.0%
52.1%
52.1%
52.0%
52.1%
51.9%
51.8%
51.8%
51.7%
51.8%
51.9%
52.0%
51.6%
51.5%
51.4%
51.5%
51.7%
51.7%
51.5%
51.5%
51.1%
50.8%
50.7%
50.8%
50.7%
50.9%
51.0%
51.4%
50.6%
49.9%
49.9%
49.1%
49.1%
49.1%
49.2%
49.3%
49.1%
48.8%
48.7%
46.6%
46.2%
45.3%
44.8%
43.6%

-0.003
-0.005
-0.006
-0.006
-0.007
-0.006
-0.006
-0.005
-0.005
-0.006
-0.006
-0.006
-0.007
-0.008
-0.008
-0.009
-0.008
-0.008
-0.008
-0.007
-0.008
-0.008
-0.008
-0.007
-0.007
-0.007
-0.007
-0.007
-0.006
-0.007
-0.006
-0.006
-0.008
-0.007
-0.007
-0.008
-0.007
-0.008
-0.008
-0.008
-0.008
-0.007
-0.007
-0.006
-0.007
-0.006
-0.005
-0.005
-0.004
-0.005
-0.004
-0.005
-0.006
-0.006
-0.007
-0.006
-0.007
-0.007
-0.007
-0.007
-0.007
-0.007
-0.009
-0.008
-0.006
-0.006
-0.007

0.20
0.19
0.30
0.25
0.36
0.33
0.34
0.49
0.49
0.39
0.39
0.50
0.56
0.63
0.64
0.60
0.41
0.48
0.44
0.38
0.44
0.41
0.32
0.24
0.24
0.20
0.31
0.31
0.26
0.26
0.25
0.24
0.37
0.32
0.38
0.12
0.04
0.03
0.02
-0.02
0.00
-0.08
-0.11
-0.08
-0.12
-0.12
-0.22
-0.22
-0.28
-0.27
-0.33
-0.29
-0.35
-0.33
-0.33
-0.32
-0.19
-0.17
-0.17
-0.18
-0.14
-0.13
-0.05
-0.04
-0.05
-0.04
-0.04

-0.083
-0.121
-0.158
-0.150
-0.163
-0.155
-0.147
-0.135
-0.134
-0.150
-0.150
-0.159
-0.181
-0.194
-0.211
-0.214
-0.202
-0.197
-0.206
-0.183
-0.192
-0.203
-0.205
-0.182
-0.179
-0.181
-0.177
-0.173
-0.160
-0.164
-0.159
-0.162
-0.195
-0.183
-0.187
-0.200
-0.185
-0.194
-0.190
-0.195
-0.199
-0.171
-0.175
-0.148
-0.164
-0.151
-0.126
-0.119
-0.104
-0.116
-0.098
-0.127
-0.145
-0.146
-0.165
-0.161
-0.180
-0.178
-0.180
-0.167
-0.174
-0.171
-0.217
-0.202
-0.159
-0.143
-0.169

11.6%
11.5%
11.5%
11.6%
11.4%
11.4%
11.2%
11.2%
11.2%
11.3%
11.0%
11.0%
10.7%
10.4%
10.4%
9.8%
9.5%
9.4%
9.2%
9.4%
9.5%
9.6%
10.0%
9.9%
10.0%
9.8%
9.8%
10.9%
11.3%
11.3%
11.3%
11.6%
11.8%
12.2%
12.2%
12.9%
13.0%
12.9%
13.0%
12.6%
12.5%
14.6%
14.9%
15.6%
15.7%
16.4%
16.5%
17.0%
17.0%
17.4%
17.8%
17.7%
17.8%
18.1%
18.2%
19.5%
19.8%
19.8%
19.9%
20.1%
20.2%
21.0%
21.5%
21.6%
22.5%
22.7%
23.0%

0.0%
0.0%
0.0%
0.0%
0.2%
0.0%
0.1%
0.0%
0.1%
0.1%
0.4%
0.1%
0.3%
0.3%
0.0%
0.7%
0.3%
0.0%
0.3%
0.3%
0.0%
0.2%
0.4%
0.1%
0.1%
0.2%
0.0%
1.3%
0.3%
0.0%
0.0%
0.3%
0.2%
0.5%
0.1%
0.8%
0.0%
0.1%
0.1%
0.4%
0.0%
2.4%
0.0%
0.8%
0.0%
0.8%
0.0%
0.5%
0.0%
0.4%
0.4%
0.1%
0.1%
0.4%
0.0%
1.5%
0.1%
0.0%
0.1%
0.3%
0.0%
0.8%
0.6%
0.0%
1.0%
0.1%
0.4%

11.3%
11.2%
11.3%
11.3%
11.1%
11.0%
10.9%
10.9%
10.8%
10.8%
10.5%
10.6%
10.3%
10.0%
10.0%
9.4%
9.1%
9.0%
8.7%
9.0%
9.1%
9.2%
9.5%
9.3%
9.4%
9.1%
9.1%
10.2%
10.7%
10.7%
10.7%
10.9%
11.1%
11.6%
11.6%
12.3%
12.4%
12.2%
12.3%
11.9%
11.9%
13.9%
14.4%
15.1%
15.2%
15.9%
16.0%
16.4%
16.5%
16.8%
17.2%
17.2%
17.3%
17.6%
17.6%
19.0%
19.4%
19.4%
19.5%

11.8%
11.8%
11.8%
11.9%
11.7%
11.7%
11.6%
11.5%
11.5%
11.7%
11.4%
11.4%
11.1%
10.8%
10.8%
10.3%
9.9%
9.9%
9.6%
9.8%
9.9%
10.0%
10.4%
10.5%
10.6%
10.5%
10.4%
11.6%
11.9%
12.0%
11.9%
12.3%
12.5%
12.9%
12.8%
13.6%
13.6%
13.6%
13.7%
13.3%
13.2%
15.3%
15.4%
16.2%
16.3%
17.0%
17.1%
17.6%
17.6%
17.9%
18.3%
18.2%
18.3%
18.6%
18.7%
20.1%
20.2%
20.2%
20.3%

42.8%
40.2%
40.2%
35.5%
35.4%
33.9%
33.9%
34.0%
33.5%
33.8%
32.7%

-0.006
-0.007
-0.007
-0.008
-0.008
-0.008
-0.008
-0.006
-0.006
-0.006
-0.005

-0.09
-0.14
-0.12
-0.11
-0.13
-0.14
-0.14
-0.08
-0.10
-0.11
-0.11

-0.141
-0.172
-0.170
-0.205
-0.207
-0.193
-0.196
-0.160
-0.139
-0.143
-0.118

23.1%
23.3%
23.4%
23.5%
23.8%
24.1%
24.3%
24.3%
24.3%
24.3%

0.1%
0.3%
0.0%
0.2%
0.3%
0.3%
0.2%
0.0%
0.1%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
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0.0%
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0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
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0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

0.0%
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0.0%
0.0%
0.0%
0.0%

0.0%
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0.0%
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0.0%
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0.0%
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0.0%
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0.0%
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0.0%
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Software Version: 1.08

Check if want to leave equations on spreadsheet


It will increase the size of your file!
Check it want to be warned about result integrity
will check for missing equity values
Size of correlation sample set Min
Size of correlation sample set Max
Number of time shifts
Select level boudaries values and interior/font colors
Manual Rage
Level
Boundary Interior
Font
ID
Level
Color
Color
1
88%
2
66%
3
44%
4
5
-44%
6
-66%
7
-88%
Self Correlation (100%)

====>>

10
12
10

above boundary value to 100%


above boundary value to level 1
above boundary value to level 2
automatic between levels 5 and 3
below boundary value to level 6
below boundary value to level 7
below boundary value through -100%
diagonal visual marker

Test Colors
Pressing this button will populate your selected colors using current correlations

Notes:
To choose color, select a cell and from the menue select Format ==> Cells ==> Patterns ==> then your desir
The current software works only with the 40 colors that are part of the Excel menue
Boundary Levels should be ordered in decending order
Setting two consecutive Boundary Levels to the same value will effectively elliminate one level of colors
When Boundary Levels overlap, the higher (more extreem) value takes precedence
Level ID number 4 range is defualted to the Boundary Level range between Level 3 to Level 5

Historical Wed Site Data


Daily Wed Site Data

finance
finance

Check to skip download


Recalculate all based on last download

positive_median
negative_median
median
std dev

e through -100%

48%
0%
47%
48%
48%
0%
0%
0%

> Patterns ==> then your desired color

minate one level of colors

vel 3 to Level 5

51%
-60%
Auto Range
Level
Boundary
ID
Level
1
75%
2
51%
3
30%
4
5
-36%
6
-60%
7
-80%

--make start Date selectable


--load data from another spreadsheet instead of internet
--build probablity distribution density for correlation value
--use probability distribution to allocate color bins
--detemine font/background color combinations, adapt to distribution
--move resulted matrix to another sheet, exted to 255
--add sorting routines from 'scan code'
--add grouping routine based on desired resolution
--perfomance enahncement; eliminate multi reading of cells
--perfomance enahncement; use VB arrays
--start Date and end Date
--time intervals
--vary (loop on) reference equity as well for shifted correlation
--reproduce studies results
--reproduce Don's results
visual design
data source
length and overlapping dates

--graph relation of selected correlation pair over time

Version

1.08

Original file was 30-correlations.xls, dated 11/2005


site: http://www.gummy-stuff.org/Excel/
by Prof. Peter Ponzo
Correlation is based on the Pearsom function built into Excel
Result is obtained by dividing the covariance between the two series/variables by the product of their standard deviations.
References:
http://en.wikipedia.org/wiki/Correlation_coefficient
http://en.wikipedia.org/wiki/Pearson_product-moment_correlation_coefficient
Volatility is calculated over the total selected period
Result is obtained by multiplying the standard deviation of the series by the square root of the number of time intervals
http://en.wikipedia.org/wiki/Volatility_%28finance%29

SUM(CorrelationResults)/(COUNT(CorrelationResults)+1)
SQRT(SUMSQ(CorrelationResults)/(COUNT(CorrelationResults)+1))

f their standard deviations.

number of time intervals

CAF
FXI
RSX
EWZ
IFN
CEE
SDS
SH
VTI
^VIX
^IXIC
PSQ
QID
^VXN
SHY
DXD
IWM
RWM
TWM
^NYA
wynn
lvs