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Q4

variable coefficient std, err. t-statistic with 115 degrees of freedom 2-tail critical t-value at 5% level (with 120 degrees of freedom) Significant? Predicted explanatory variable value lower 95% limit of confidence interval for Ind. Prod. Growth upper limit of 95% confidence interval for Ind. Prod. Growth
Constant 2.00 1.25 ? ? ERROR:#VALUE! 1.00
Ind.production growth 3.25 1.30 ? ? ERROR:#VALUE! 0.50 ERROR:#VALUE! ERROR:#VALUE!
10-y bond yields -0.50 0.20 ? ? ERROR:#VALUE! 4.00
Inflation rate 0.28 2.00 ? ? ERROR:#VALUE! 3.00
Yield spreads -0.20 2.05 ? ? ERROR:#VALUE! 5.00
Predicted return for dependent variable (materials sector stock return)

Q6a

Month Multiple R R Square Adjusted R Square Standard Error F Significance F Significant at 5% level?
Jan-01 0.76 0.58 0.37 5.30% 2.76 0.13
Feb-01 0.64 0.40 0.11 8.74% 1.36 0.34
Mar-01 0.93 0.86 0.79 3.72% 12.14 0.01
Apr-01 0.78 0.62 0.42 3.86% 3.21 0.10
May-01 0.76 0.58 0.38 7.72% 2.81 0.13
Jun-01 0.88 0.77 0.66 6.21% 6.81 0.02
Jul-01 0.67 0.45 0.18 4.97% 1.65 0.28
Aug-01 0.88 0.78 0.67 3.26% 7.16 0.02
Sep-01 0.91 0.83 0.75 5.87% 9.97 0.01
Oct-01 0.60 0.36 0.04 10.34% 1.12 0.41
Nov-01 0.64 0.41 0.11 5.34% 1.37 0.34
Dec-01 0.67 0.44 0.17 3.42% 1.60 0.29
Jan-02 0.74 0.54 0.32 2.92% 2.39 0.17
Feb-02 0.44 0.19 - 0.21 7.75% 0.48 0.71
Mar-02 0.43 0.19 - 0.22 3.46% 0.46 0.72
Apr-02 0.82 0.67 0.51 3.66% 4.10 0.07
May-02 0.77 0.60 0.39 3.21% 2.96 0.12
Jun-02 0.65 0.42 0.14 2.53% 1.47 0.31
Jul-02 0.91 0.83 0.74 2.65% 9.65 0.01
Aug-02 0.59 0.35 0.03 5.12% 1.09 0.42
Sep-02 0.37 0.14 - 0.29 6.93% 0.32 0.81
Oct-02 0.18 0.03 - 0.45 4.17% 0.07 0.98
Nov-02 0.64 0.41 0.12 5.19% 1.41 0.33
Dec-02 0.25 0.06 - 0.41 5.57% 0.13 0.94
Jan-03 0.67 0.44 0.17 7.05% 1.59 0.29
Feb-03 0.83 0.69 0.54 5.33% 4.49 0.06
Mar-03 0.78 0.60 0.40 5.10% 3.03 0.12
Apr-03 0.75 0.56 0.34 5.81% 2.53 0.15
May-03 0.93 0.86 0.79 7.07% 12.35 0.01
Jun-03 0.57 0.32 - 0.02 2.08% 0.94 0.48
Jul-03 0.76 0.57 0.36 4.69% 2.66 0.14
Aug-03 0.95 0.91 0.86 4.67% 19.90 0.00
Sep-03 0.46 0.21 - 0.18 3.37% 0.54 0.67
Oct-03 0.82 0.67 0.50 4.44% 3.99 0.07
Nov-03 0.67 0.45 0.18 3.86% 1.64 0.28
Dec-03 0.70 0.49 0.23 3.32% 1.91 0.23
Jan-04 0.85 0.73 0.59 3.53% 5.40 0.04
Feb-04 0.78 0.61 0.42 3.27% 3.18 0.11
Mar-04 0.76 0.58 0.37 5.02% 2.79 0.13
Apr-04 0.61 0.38 0.07 3.58% 1.21 0.38
May-04 0.27 0.07 - 0.39 3.51% 0.15 0.92
Jun-04 0.89 0.80 0.70 2.36% 8.02 0.02
Jul-04 0.70 0.49 0.23 3.83% 1.91 0.23
Aug-04 0.40 0.16 - 0.26 3.57% 0.38 0.77
Sep-04 0.77 0.59 0.39 3.15% 2.90 0.12
Oct-04 0.65 0.42 0.14 5.24% 1.48 0.31
Nov-04 0.67 0.45 0.18 5.06% 1.64 0.28
Dec-04 0.76 0.58 0.38 2.39% 2.81 0.13
Jan-05 0.62 0.38 0.08 3.37% 1.25 0.37
Feb-05 0.74 0.55 0.33 5.30% 2.46 0.16
Mar-05 0.56 0.31 - 0.03 2.78% 0.90 0.49
Apr-05 0.72 0.51 0.27 4.55% 2.09 0.20
May-05 0.68 0.46 0.19 3.85% 1.73 0.26
Jun-05 0.90 0.80 0.71 2.09% 8.25 0.02
Jul-05 0.91 0.83 0.74 2.06% 9.71 0.01
Aug-05 0.84 0.70 0.55 3.22% 4.73 0.05
Sep-05 0.89 0.80 0.70 3.08% 7.91 0.02
Oct-05 0.89 0.79 0.69 2.76% 7.57 0.02
Nov-05 0.91 0.83 0.74 2.88% 9.46 0.01
Dec-05 0.58 0.34 0.01 2.80% 1.02 0.45
Jan-06 0.57 0.32 - 0.02 3.69% 0.94 0.48
Feb-06 0.74 0.54 0.32 4.27% 2.39 0.17
Mar-06 0.80 0.63 0.45 5.36% 3.46 0.09
Apr-06 0.38 0.14 - 0.28 3.20% 0.34 0.80
May-06 0.71 0.51 0.26 3.02% 2.07 0.21
Jun-06 0.86 0.74 0.60 2.53% 5.59 0.04
Jul-06 0.68 0.46 0.20 3.08% 1.73 0.26
Aug-06 0.70 0.49 0.23 5.05% 1.92 0.23
Sep-06 0.93 0.86 0.79 2.57% 12.21 0.01
Oct-06 0.55 0.30 - 0.05 3.38% 0.87 0.51
Nov-06 0.82 0.68 0.52 4.18% 4.26 0.06
Dec-06 0.83 0.70 0.54 2.77% 4.57 0.05
Jan-07 0.33 0.11 - 0.34 1.94% 0.24 0.87
Feb-07 0.74 0.55 0.32 4.85% 2.42 0.16
Mar-07 0.74 0.55 0.32 3.06% 2.44 0.16
Apr-07 0.59 0.35 0.03 2.96% 1.09 0.42
May-07 0.86 0.74 0.61 2.66% 5.77 0.03
Jun-07 0.86 0.74 0.61 4.96% 5.69 0.03
Jul-07 0.86 0.75 0.62 3.52% 5.92 0.03
Aug-07 0.77 0.60 0.40 3.73% 2.98 0.12
Sep-07 0.42 0.18 - 0.23 7.38% 0.44 0.73
Oct-07 0.90 0.82 0.73 2.18% 9.03 0.01
Nov-07 0.68 0.46 0.20 3.52% 1.73 0.26
Dec-07 0.98 0.96 0.94 1.09% 45.13 0.00
Average
Minimum
Maximum

&F &A

Q6b

No. Stock Codes Description
1 CBA COMMONWEALTH BANK OF AUSTRALIA
2 WES WESFARMERS LIMITED
3 BHP BHP BILLITON LTD
CBA Standardised Factor Exposures Coefficients (or Factor returns) WES Standardised Factor Exposures Coefficients (or Factor returns) BHP Standardised Factor Exposures Coefficients (or Factor returns)
Size Factor Momentum Value Factor Size Factor Momentum Value Factor Size Factor Momentum Value Factor Size Factor Momentum Value Factor Size Factor Momentum Value Factor Size Factor Momentum Value Factor
Date Code Monthly Return constant Size Rolling 3 month returm Earning Yield Intercept Size Rolling 3 month returm Earning Yield Predicted Return Monthly Specific Return Date Code Monthly Return constant Size Rolling 3 month returm Earning Yield Intercept Size Rolling 3 month returm Earning Yield Predicted Return Monthly Specific Return Date Code Monthly Return constant Size Rolling 3 month returm Earning Yield Intercept Size Rolling 3 month returm Earning Yield Predicted Return Monthly Specific Return
31/01/01 CBA 3.5% 1 - 0.46 1.10 - 0.78 - 0.0187 - 0.0115 0.0582 - 0.0151 1/31/01 WES 12.7% 1 - 3.23 1.84 - 0.23 - 0.0187 - 0.0115 0.0582 - 0.0151 1/31/01 BHP -0.6% 1 - 1.22 - 0.49 - 0.73 - 0.0187 - 0.0115 0.0582 - 0.0151
28/02/01 CBA -5.7% 1 - 0.68 - 0.95 - 0.48 - 0.0094 - 0.0005 0.0768 - 0.0353 2/28/01 WES 2.5% 1 - 2.96 0.97 - 0.29 - 0.0094 - 0.0005 0.0768 - 0.0353 2/28/01 BHP 11.7% 1 - 0.99 0.13 - 0.95 - 0.0094 - 0.0005 0.0768 - 0.0353
30/03/01 CBA -5.3% 1 - 0.89 - 1.29 - 0.19 0.0083 0.0209 0.0606 - 0.0049 3/30/01 WES 6.7% 1 - 2.74 1.80 - 0.43 0.0083 0.0209 0.0606 - 0.0049 3/30/01 BHP -6.9% 1 - 1.14 - 0.27 - 0.81 0.0083 0.0209 0.0606 - 0.0049
30/04/01 CBA 0.8% 1 - 0.94 - 1.60 - 0.23 0.0360 - 0.0278 0.0186 0.0008 4/30/01 WES 14.5% 1 - 2.27 1.99 - 0.70 0.0360 - 0.0278 0.0186 0.0008 4/30/01 BHP 9.8% 1 - 0.93 0.65 - 1.00 0.0360 - 0.0278 0.0186 0.0008
31/05/01 CBA 8.2% 1 - 0.63 0.07 - 0.65 0.0384 - 0.0603 0.0139 0.0969 5/31/01 WES -1.1% 1 - 0.98 1.57 - 0.68 0.0384 - 0.0603 0.0139 0.0969 5/31/01 BHP 4.6% 1 - 0.84 0.03 - 1.08 0.0384 - 0.0603 0.0139 0.0969
29/06/01 CBA 9.5% 1 - 0.28 2.10 - 1.09 - 0.0157 0.0479 0.0484 - 0.0572 6/29/01 WES 20.0% 1 - 0.36 3.01 - 0.99 - 0.0157 0.0479 0.0484 - 0.0572 6/29/01 BHP -4.6% 1 - 0.94 0.25 - 0.99 - 0.0157 0.0479 0.0484 - 0.0572
31/07/01 CBA -13.6% 1 - 0.85 - 0.06 - 0.36 - 0.0889 - 0.0311 0.0115 - 0.0083 7/31/01 WES 4.6% 1 - 1.55 1.87 - 1.06 - 0.0889 - 0.0311 0.0115 - 0.0083 7/31/01 BHP -6.6% 1 - 1.08 - 1.15 - 0.86 - 0.0889 - 0.0311 0.0115 - 0.0083
31/08/01 CBA -0.5% 1 - 0.87 - 1.10 - 0.33 0.0207 0.0502 0.0030 - 0.0259 8/31/01 WES 1.9% 1 - 0.66 2.24 - 1.08 0.0207 0.0502 0.0030 - 0.0259 8/31/01 BHP -3.9% 1 - 1.17 - 1.80 - 0.77 0.0207 0.0502 0.0030 - 0.0259
28/09/01 CBA -11.1% 1 - 1.33 - 3.33 0.35 0.0569 - 0.0401 0.0913 0.0293 9/28/01 WES 2.6% 1 - 0.57 0.46 - 1.12 0.0569 - 0.0401 0.0913 0.0293 9/28/01 BHP -7.9% 1 - 1.34 - 2.05 - 0.59 0.0569 - 0.0401 0.0913 0.0293
31/10/01 CBA 14.2% 1 - 0.79 - 0.22 - 0.41 0.0114 - 0.1345 0.0589 0.0632 10/31/01 WES 0.5% 1 - 0.50 0.05 - 1.13 0.0114 - 0.1345 0.0589 0.0632 10/31/01 BHP 4.1% 1 - 1.26 - 1.24 - 0.68 0.0114 - 0.1345 0.0589 0.0632
30/11/01 CBA -4.0% 1 - 0.94 - 0.67 - 0.19 0.0546 0.0621 0.0072 - 0.0365 11/30/01 WES 7.0% 1 - 0.27 0.56 - 1.22 0.0546 0.0621 0.0072 - 0.0365 11/30/01 BHP 12.5% 1 - 1.01 0.10 - 0.93 0.0546 0.0621 0.0072 - 0.0365
31/12/01 CBA 4.7% 1 - 0.76 1.51 - 0.14 - 0.0217 - 0.0376 0.0098 - 0.0049 12/31/01 WES -2.9% 1 - 0.32 - 0.01 - 0.85 - 0.0217 - 0.0376 0.0098 - 0.0049 12/31/01 BHP 4.5% 1 - 0.91 1.36 - 1.01 - 0.0217 - 0.0376 0.0098 - 0.0049
31/01/02 CBA 9.4% 1 - 0.41 0.90 - 0.62 0.0304 - 0.0280 0.0374 0.0377 1/31/02 WES -1.3% 1 - 0.36 - 0.18 - 0.83 0.0304 - 0.0280 0.0374 0.0377 1/31/02 BHP 6.5% 1 - 0.78 1.60 - 1.12 0.0304 - 0.0280 0.0374 0.0377
28/02/02 CBA -1.2% 1 - 0.46 1.31 - 0.56 0.0114 - 0.0124 0.0285 - 0.0156 2/28/02 WES 5.0% 1 - 0.20 - 0.37 - 0.91 0.0114 - 0.0124 0.0285 - 0.0156 2/28/02 BHP 5.5% 1 - 0.67 0.93 - 1.21 0.0114 - 0.0124 0.0285 - 0.0156
29/03/02 CBA -1.0% 1 - 0.50 0.54 - 0.51 - 0.0071 0.0240 0.0113 - 0.0082 3/29/02 WES -0.7% 1 - 0.22 - 0.16 - 0.90 - 0.0071 0.0240 0.0113 - 0.0082 3/29/02 BHP -3.3% 1 - 0.74 0.17 - 1.16 - 0.0071 0.0240 0.0113 - 0.0082
30/04/02 CBA 2.5% 1 - 0.40 - 0.31 - 0.64 0.0046 - 0.0382 0.0563 0.0390 4/30/02 WES -10.8% 1 - 0.59 - 1.11 - 0.70 0.0046 - 0.0382 0.0563 0.0390 4/30/02 BHP -5.3% 1 - 0.86 - 0.85 - 1.06 0.0046 - 0.0382 0.0563 0.0390
31/05/02 CBA 2.0% 1 - 0.32 0.10 - 0.74 - 0.0124 0.0144 0.0263 - 0.0586 5/31/02 WES 1.2% 1 - 0.55 - 1.43 - 0.72 - 0.0124 0.0144 0.0263 - 0.0586 5/31/02 BHP 0.0% 1 - 0.85 - 1.28 - 1.06 - 0.0124 0.0144 0.0263 - 0.0586
28/06/02 CBA -1.7% 1 - 0.39 0.00 - 0.65 - 0.0172 0.0054 0.0192 - 0.0105 6/28/02 WES -5.6% 1 - 0.75 - 1.85 - 0.61 - 0.0172 0.0054 0.0192 - 0.0105 6/28/02 BHP -4.6% 1 - 0.95 - 1.39 - 0.97 - 0.0172 0.0054 0.0192 - 0.0105
31/07/02 CBA -5.3% 1 - 0.61 - 1.00 - 0.36 0.0388 - 0.0368 0.0919 - 0.0095 7/31/02 WES 3.7% 1 - 0.62 - 0.53 - 0.68 0.0388 - 0.0368 0.0919 - 0.0095 7/31/02 BHP -1.0% 1 - 0.97 - 1.04 - 0.95 0.0388 - 0.0368 0.0919 - 0.0095
30/08/02 CBA -1.0% 1 - 0.64 - 1.34 - 0.31 0.0152 - 0.0618 0.0492 0.0610 8/30/02 WES 5.3% 1 - 0.45 - 0.14 - 0.77 0.0152 - 0.0618 0.0492 0.0610 8/30/02 BHP -4.4% 1 - 1.06 - 1.40 - 0.87 0.0152 - 0.0618 0.0492 0.0610
30/09/02 CBA -2.4% 1 - 0.74 - 1.42 - 0.18 - 0.0348 - 0.0231 0.0351 0.0055 9/30/02 WES -8.9% 1 - 0.73 - 0.49 - 0.60 - 0.0348 - 0.0231 0.0351 0.0055 9/30/02 BHP -0.7% 1 - 1.08 - 1.08 - 0.85 - 0.0348 - 0.0231 0.0351 0.0055
31/10/02 CBA 0.9% 1 - 0.70 - 0.66 - 0.22 0.0311 0.0151 - 0.0041 - 0.0025 10/31/02 WES -2.6% 1 - 0.82 - 1.07 - 0.55 0.0311 0.0151 - 0.0041 - 0.0025 10/31/02 BHP 7.1% 1 - 0.93 - 0.42 - 0.99 0.0311 0.0151 - 0.0041 - 0.0025
29/11/02 CBA -10.7% 1 - 1.15 - 1.88 0.44 0.0238 - 0.0167 0.0466 - 0.0154 11/29/02 WES 6.4% 1 - 0.61 - 0.98 - 0.67 0.0238 - 0.0167 0.0466 - 0.0154 11/29/02 BHP 4.4% 1 - 0.84 0.39 - 1.07 0.0238 - 0.0167 0.0466 - 0.0154
31/12/02 CBA -0.6% 1 - 1.17 - 1.67 - 2.59 - 0.0152 0.0276 - 0.0102 - 0.0040 12/31/02 WES -5.1% 1 - 0.75 - 0.60 - 0.29 - 0.0152 0.0276 - 0.0102 - 0.0040 12/31/02 BHP 0.3% 1 - 0.84 0.48 - 1.07 - 0.0152 0.0276 - 0.0102 - 0.0040
31/01/03 CBA -4.0% 1 - 1.33 - 2.22 - 2.46 0.0586 0.0306 0.0576 - 0.0029 1/31/03 WES 6.0% 1 - 0.55 0.24 - 0.42 0.0586 0.0306 0.0576 - 0.0029 1/31/03 BHP -12.1% 1 - 1.10 - 1.24 - 0.82 0.0586 0.0306 0.0576 - 0.0029
28/02/03 CBA -5.3% 1 - 1.54 - 1.57 - 2.27 0.0006 - 0.0852 0.1280 - 0.0157 2/28/03 WES -9.7% 1 - 0.89 - 1.31 - 0.19 0.0006 - 0.0852 0.1280 - 0.0157 2/28/03 BHP 2.6% 1 - 1.04 - 1.38 - 0.87 0.0006 - 0.0852 0.1280 - 0.0157
31/03/03 CBA 6.2% 1 - 1.31 - 0.80 - 2.47 0.0411 - 0.0201 0.0527 - 0.0135 3/31/03 WES -12.8% 1 - 1.38 - 2.02 0.15 0.0411 - 0.0201 0.0527 - 0.0135 3/31/03 BHP 1.4% 1 - 1.01 - 1.30 - 0.90 0.0411 - 0.0201 0.0527 - 0.0135
30/04/03 CBA 4.5% 1 - 1.14 0.29 - 2.62 - 0.0534 - 0.1480 0.0104 0.0306 4/30/03 WES 10.3% 1 - 1.05 - 1.70 - 0.10 - 0.0534 - 0.1480 0.0104 0.0306 4/30/03 BHP -2.6% 1 - 1.07 - 0.45 - 0.85 - 0.0534 - 0.1480 0.0104 0.0306
30/05/03 CBA 3.7% 1 - 0.99 1.56 - 2.73 0.1836 0.2364 - 0.0251 - 0.0368 5/30/03 WES 2.4% 1 - 0.97 - 0.58 - 0.16 0.1836 0.2364 - 0.0251 - 0.0368 5/30/03 BHP -4.9% 1 - 1.17 - 1.08 - 0.75 0.1836 0.2364 - 0.0251 - 0.0368
30/06/03 CBA 4.6% 1 - 0.81 1.35 0.78 - 0.0075 - 0.0186 0.0089 - 0.0077 6/30/03 WES 0.8% 1 - 0.95 0.90 0.72 - 0.0075 - 0.0186 0.0089 - 0.0077 6/30/03 BHP 0.5% 1 - 1.16 - 1.15 - 0.63 - 0.0075 - 0.0186 0.0089 - 0.0077
31/07/03 CBA 1.0% 1 - 0.77 0.87 0.72 - 0.0293 - 0.0682 0.0523 - 0.0053 7/31/03 WES 5.4% 1 - 0.77 0.41 0.55 - 0.0293 - 0.0682 0.0523 - 0.0053 7/31/03 BHP 13.4% 1 - 0.89 0.16 - 0.89 - 0.0293 - 0.0682 0.0523 - 0.0053
29/08/03 CBA -6.0% 1 - 1.02 - 0.44 1.13 - 0.0549 - 0.0970 0.0711 - 0.0258 8/29/03 WES 5.7% 1 - 0.59 0.75 0.38 - 0.0549 - 0.0970 0.0711 - 0.0258 8/29/03 BHP 11.5% 1 - 0.66 1.76 - 1.10 - 0.0549 - 0.0970 0.0711 - 0.0258
30/09/03 CBA -1.2% 1 - 1.07 - 1.14 1.22 - 0.0153 - 0.0090 - 0.0113 - 0.0124 9/30/03 WES -3.8% 1 - 0.72 0.25 0.50 - 0.0153 - 0.0090 - 0.0113 - 0.0124 9/30/03 BHP -3.4% 1 - 0.74 1.34 - 1.04 - 0.0153 - 0.0090 - 0.0113 - 0.0124
31/10/03 CBA -0.7% 1 - 1.07 - 1.35 1.27 0.0852 0.0860 0.0251 - 0.0050 10/31/03 WES 6.9% 1 - 0.51 0.40 0.30 0.0852 0.0860 0.0251 - 0.0050 10/31/03 BHP 11.0% 1 - 0.52 1.12 - 1.22 0.0852 0.0860 0.0251 - 0.0050
28/11/03 CBA 0.4% 1 - 1.06 - 0.55 1.24 0.0047 0.0511 - 0.0137 0.0106 11/28/03 WES -2.8% 1 - 0.61 - 0.43 0.38 0.0047 0.0511 - 0.0137 0.0106 11/28/03 BHP -3.8% 1 - 0.60 - 0.29 - 1.15 0.0047 0.0511 - 0.0137 0.0106
31/12/03 CBA 6.7% 1 - 0.80 0.45 0.00 - 0.0112 - 0.0778 0.0476 - 0.0005 12/31/03 WES 2.9% 1 - 0.49 0.23 2.96 - 0.0112 - 0.0778 0.0476 - 0.0005 12/31/03 BHP 8.2% 1 - 0.43 0.76 - 0.59 - 0.0112 - 0.0778 0.0476 - 0.0005
30/01/04 CBA 3.6% 1 - 0.66 1.03 - 0.20 0.0297 0.0473 0.0376 0.0104 1/30/04 WES 6.4% 1 - 0.28 0.18 2.63 0.0297 0.0473 0.0376 0.0104 1/30/04 BHP -7.4% 1 - 0.59 - 0.88 - 0.41 0.0297 0.0473 0.0376 0.0104
27/02/04 CBA 3.8% 1 - 0.52 1.52 - 0.40 0.0506 0.0244 - 0.0029 - 0.0237 2/27/04 WES -2.4% 1 - 0.36 0.21 2.76 0.0506 0.0244 - 0.0029 - 0.0237 2/27/04 BHP 8.6% 1 - 0.42 0.19 - 0.60 0.0506 0.0244 - 0.0029 - 0.0237
31/03/04 CBA 5.1% 1 - 0.32 1.30 - 0.66 - 0.0403 - 0.1101 0.0549 - 0.0059 3/31/04 WES 5.5% 1 - 0.18 0.47 2.48 - 0.0403 - 0.1101 0.0549 - 0.0059 3/31/04 BHP 0.0% 1 - 0.42 - 0.51 - 0.60 - 0.0403 - 0.1101 0.0549 - 0.0059
30/04/04 CBA -6.2% 1 - 0.61 - 0.04 - 0.33 - 0.0023 0.0305 0.0388 0.0136 4/30/04 WES -1.4% 1 - 0.23 - 0.30 2.56 - 0.0023 0.0305 0.0388 0.0136 4/30/04 BHP -6.4% 1 - 0.56 - 0.42 - 0.45 - 0.0023 0.0305 0.0388 0.0136
31/05/04 CBA 4.2% 1 - 0.45 - 0.00 - 0.55 0.0083 0.0106 - 0.0091 - 0.0064 5/31/04 WES -1.2% 1 - 0.27 - 0.18 2.62 0.0083 0.0106 - 0.0091 - 0.0064 5/31/04 BHP 5.4% 1 - 0.45 - 0.68 - 0.57 0.0083 0.0106 - 0.0091 - 0.0064
30/06/04 CBA 0.1% 1 - 0.40 - 0.62 - 0.26 0.0587 0.0558 0.0473 0.0379 6/30/04 WES 4.1% 1 - 0.13 - 0.31 - 0.30 0.0587 0.0558 0.0473 0.0379 6/30/04 BHP 3.6% 1 - 0.37 - 0.37 0.33 0.0587 0.0558 0.0473 0.0379
30/07/04 CBA -4.2% 1 - 0.57 - 0.36 - 0.02 0.0162 0.0487 0.0118 - 0.0021 7/30/04 WES 0.3% 1 - 0.12 - 0.14 - 0.31 0.0162 0.0487 0.0118 - 0.0021 7/30/04 BHP 5.2% 1 - 0.26 0.72 0.17 0.0162 0.0487 0.0118 - 0.0021
31/08/04 CBA -3.3% 1 - 0.69 - 1.26 0.17 - 0.0094 - 0.0363 0.0209 - 0.0078 8/31/04 WES 2.0% 1 - 0.06 0.18 - 0.35 - 0.0094 - 0.0363 0.0209 - 0.0078 8/31/04 BHP -0.4% 1 - 0.27 0.18 0.18 - 0.0094 - 0.0363 0.0209 - 0.0078
30/09/04 CBA -0.0% 1 - 0.70 - 1.28 0.17 0.0413 0.0126 0.0297 - 0.0056 9/30/04 WES 6.5% 1 0.15 0.41 - 0.48 0.0413 0.0126 0.0297 - 0.0056 9/30/04 BHP 9.4% 1 - 0.08 0.69 - 0.08 0.0413 0.0126 0.0297 - 0.0056
29/10/04 CBA 6.3% 1 - 0.43 0.01 - 0.18 0.0113 0.0028 0.0454 - 0.0086 10/29/04 WES 8.6% 1 0.44 1.28 - 0.65 0.0113 0.0028 0.0454 - 0.0086 10/29/04 BHP -3.6% 1 - 0.16 - 0.13 0.03 0.0113 0.0028 0.0454 - 0.0086
30/11/04 CBA -2.1% 1 - 0.51 0.16 - 0.06 0.0772 0.1071 - 0.0231 - 0.0318 11/30/04 WES 9.9% 1 0.76 2.16 - 0.82 0.0772 0.1071 - 0.0231 - 0.0318 11/30/04 BHP 11.6% 1 0.07 0.95 - 0.27 0.0772 0.1071 - 0.0231 - 0.0318
31/12/04 CBA 2.2% 1 - 0.43 0.45 2.05 - 0.0089 - 0.0137 0.0451 0.0060 12/31/04 WES 4.2% 1 0.91 1.90 - 0.77 - 0.0089 - 0.0137 0.0451 0.0060 12/31/04 BHP -0.7% 1 - 0.04 0.02 0.58 - 0.0089 - 0.0137 0.0451 0.0060
31/01/05 CBA 4.4% 1 - 0.26 0.21 1.72 - 0.0158 - 0.0289 0.0481 - 0.0019 1/31/05 WES -1.3% 1 0.87 0.82 - 0.75 - 0.0158 - 0.0289 0.0481 - 0.0019 1/31/05 BHP 6.1% 1 0.08 0.94 0.38 - 0.0158 - 0.0289 0.0481 - 0.0019
28/02/05 CBA 8.1% 1 0.05 1.59 1.16 0.0050 0.0419 0.0602 0.0061 2/28/05 WES 2.1% 1 0.94 0.05 - 0.79 0.0050 0.0419 0.0602 0.0061 2/28/05 BHP 17.6% 1 0.42 1.49 - 0.11 0.0050 0.0419 0.0602 0.0061
31/03/05 CBA -3.5% 1 - 0.09 0.78 1.41 - 0.0276 0.0396 - 0.0229 0.0170 3/31/05 WES 1.6% 1 1.00 - 0.20 - 0.81 - 0.0276 0.0396 - 0.0229 0.0170 3/31/05 BHP -6.6% 1 0.28 0.85 0.09 - 0.0276 0.0396 - 0.0229 0.0170
29/04/05 CBA 3.9% 1 0.08 0.71 1.14 0.0142 - 0.0899 0.0761 - 0.0389 4/29/05 WES -9.7% 1 0.65 - 1.04 - 0.63 0.0142 - 0.0899 0.0761 - 0.0389 4/29/05 BHP -10.2% 1 0.05 - 0.68 0.43 0.0142 - 0.0899 0.0761 - 0.0389
31/05/05 CBA 2.0% 1 0.16 - 0.06 1.01 0.0753 - 0.0618 0.0287 - 0.0380 5/31/05 WES 2.3% 1 0.73 - 1.02 - 0.67 0.0753 - 0.0618 0.0287 - 0.0380 5/31/05 BHP 4.0% 1 0.13 - 1.66 0.30 0.0753 - 0.0618 0.0287 - 0.0380
30/06/05 CBA 2.4% 1 0.25 0.73 1.77 0.0175 0.0631 - 0.0427 0.0088 6/30/05 WES 9.0% 1 1.02 - 0.37 - 0.62 0.0175 0.0631 - 0.0427 0.0088 6/30/05 BHP 8.8% 1 0.31 - 0.43 1.02 0.0175 0.0631 - 0.0427 0.0088
29/07/05 CBA 2.9% 1 0.36 0.60 1.56 - 0.0086 0.0040 0.0401 0.0103 7/29/05 WES -0.3% 1 1.01 0.63 - 0.62 - 0.0086 0.0040 0.0401 0.0103 7/29/05 BHP 6.7% 1 0.45 1.21 0.78 - 0.0086 0.0040 0.0401 0.0103
31/08/05 CBA -4.2% 1 0.20 - 0.23 1.88 0.0030 - 0.0170 0.0669 - 0.0094 8/31/05 WES -1.3% 1 0.97 0.26 - 0.59 0.0030 - 0.0170 0.0669 - 0.0094 8/31/05 BHP 5.7% 1 0.56 1.38 0.58 0.0030 - 0.0170 0.0669 - 0.0094
30/09/05 CBA 2.7% 1 0.30 - 0.20 1.68 0.0192 0.0345 0.0318 - 0.0104 9/30/05 WES 1.9% 1 1.03 - 0.40 - 0.63 0.0192 0.0345 0.0318 - 0.0104 9/30/05 BHP 8.7% 1 0.74 1.37 0.30 0.0192 0.0345 0.0318 - 0.0104
31/10/05 CBA 1.2% 1 0.37 - 0.41 1.59 - 0.0038 - 0.0749 0.0261 0.0246 10/31/05 WES -11.1% 1 0.63 - 1.45 - 0.39 - 0.0038 - 0.0749 0.0261 0.0246 10/31/05 BHP -6.7% 1 0.59 0.05 0.53 - 0.0038 - 0.0749 0.0261 0.0246
30/11/05 CBA 7.5% 1 0.66 1.14 1.08 0.0194 0.0388 0.0292 0.0049 11/30/05 WES -0.4% 1 0.62 - 1.38 - 0.38 0.0194 0.0388 0.0292 0.0049 11/30/05 BHP 5.4% 1 0.70 0.03 0.36 0.0194 0.0388 0.0292 0.0049
30/12/05 CBA 2.3% 1 0.74 1.08 0.75 0.0170 0.0136 0.0133 0.0140 12/30/05 WES 4.0% 1 0.75 - 1.20 0.37 0.0170 0.0136 0.0133 0.0140 12/30/05 BHP 4.0% 1 0.79 - 0.37 1.06 0.0170 0.0136 0.0133 0.0140
31/01/06 CBA 4.4% 1 0.91 1.53 0.47 0.0227 0.0037 0.0282 0.0095 1/31/06 WES 2.9% 1 0.85 0.19 0.29 0.0227 0.0037 0.0282 0.0095 1/31/06 BHP 13.4% 1 1.05 1.52 0.60 0.0227 0.0037 0.0282 0.0095
28/02/06 CBA 0.4% 1 0.93 0.57 0.44 - 0.0391 0.0036 0.0901 0.0049 2/28/06 WES -3.8% 1 0.72 - 0.15 0.40 - 0.0391 0.0036 0.0901 0.0049 2/28/06 BHP -6.0% 1 0.92 0.37 0.82 - 0.0391 0.0036 0.0901 0.0049
31/03/06 CBA 1.0% 1 0.97 0.40 0.38 - 0.0384 0.0381 0.0480 0.0295 3/31/06 WES -4.7% 1 0.55 - 0.98 0.55 - 0.0384 0.0381 0.0480 0.0295 3/31/06 BHP 15.5% 1 1.22 1.42 0.33 - 0.0384 0.0381 0.0480 0.0295
28/04/06 CBA 3.8% 1 1.13 0.31 0.16 0.0270 - 0.0065 0.0135 - 0.0014 4/28/06 WES 3.8% 1 0.68 - 0.90 0.43 0.0270 - 0.0065 0.0135 - 0.0014 4/28/06 BHP 4.6% 1 1.26 0.60 0.18 0.0270 - 0.0065 0.0135 - 0.0014
31/05/06 CBA -8.1% 1 0.78 - 0.82 0.68 - 0.0530 0.0163 0.0258 0.0204 5/31/06 WES -4.3% 1 0.53 - 0.95 0.57 - 0.0530 0.0163 0.0258 0.0204 5/31/06 BHP -3.7% 1 1.19 0.84 0.30 - 0.0530 0.0163 0.0258 0.0204
30/06/06 CBA 2.8% 1 0.88 - 0.60 0.27 0.0187 0.0392 0.0415 - 0.0173 6/30/06 WES 2.0% 1 0.60 - 0.31 1.54 0.0187 0.0392 0.0415 - 0.0173 6/30/06 BHP 2.7% 1 1.24 - 0.26 1.46 0.0187 0.0392 0.0415 - 0.0173
31/07/06 CBA 0.9% 1 0.91 - 0.94 0.21 0.0124 - 0.0171 0.0126 - 0.0076 7/31/06 WES 0.2% 1 0.60 - 0.65 1.53 0.0124 - 0.0171 0.0126 - 0.0076 7/31/06 BHP -4.2% 1 1.15 - 1.01 1.65 0.0124 - 0.0171 0.0126 - 0.0076
31/08/06 CBA 2.1% 1 0.99 0.39 0.09 0.0044 0.0229 0.0517 - 0.0129 8/31/06 WES -5.1% 1 0.42 - 0.73 1.75 0.0044 0.0229 0.0517 - 0.0129 8/31/06 BHP -0.3% 1 1.15 - 0.72 1.66 0.0044 0.0229 0.0517 - 0.0129
29/09/06 CBA 0.1% 1 0.99 0.03 0.09 0.0246 - 0.0113 0.0607 0.0079 9/29/06 WES 4.0% 1 0.56 - 0.55 1.59 0.0246 - 0.0113 0.0607 0.0079 9/29/06 BHP -7.5% 1 0.98 - 1.56 2.03 0.0246 - 0.0113 0.0607 0.0079
31/10/06 CBA 4.3% 1 1.18 0.47 - 0.15 0.0407 0.0112 0.0051 - 0.0133 10/31/06 WES -1.1% 1 0.52 - 0.67 1.63 0.0407 0.0112 0.0051 - 0.0133 10/31/06 BHP 6.4% 1 1.11 - 0.71 1.73 0.0407 0.0112 0.0051 - 0.0133
30/11/06 CBA -0.6% 1 1.16 0.12 - 0.12 - 0.0466 0.0403 0.0613 0.0153 11/30/06 WES 1.3% 1 0.56 - 0.03 1.58 - 0.0466 0.0403 0.0613 0.0153 11/30/06 BHP -3.8% 1 1.03 - 1.02 1.92 - 0.0466 0.0403 0.0613 0.0153
29/12/06 CBA 4.3% 1 1.32 0.68 0.31 0.1262 - 0.0966 0.0539 - 0.0149 12/29/06 WES 7.3% 1 0.81 0.28 - 0.04 0.1262 - 0.0966 0.0539 - 0.0149 12/29/06 BHP -3.5% 1 0.96 - 0.67 2.23 0.1262 - 0.0966 0.0539 - 0.0149
31/01/07 CBA 1.1% 1 1.37 0.27 0.24 0.0390 - 0.0189 0.0061 0.0043 1/31/07 WES 1.6% 1 0.87 0.56 - 0.08 0.0390 - 0.0189 0.0061 0.0043 1/31/07 BHP 2.9% 1 1.02 - 0.95 2.08 0.0390 - 0.0189 0.0061 0.0043
28/02/07 CBA -0.2% 1 1.36 0.32 0.25 - 0.1110 0.0782 0.0427 0.0310 2/28/07 WES -4.5% 1 0.71 - 0.04 0.03 - 0.1110 0.0782 0.0427 0.0310 2/28/07 BHP 4.2% 1 1.10 - 0.27 1.88 - 0.1110 0.0782 0.0427 0.0310
30/03/07 CBA 0.6% 1 1.38 - 0.15 0.22 0.0521 - 0.0237 0.0435 0.0125 3/30/07 WES 3.6% 1 0.83 - 0.38 - 0.05 0.0521 - 0.0237 0.0435 0.0125 3/30/07 BHP 10.2% 1 1.31 0.99 1.44 0.0521 - 0.0237 0.0435 0.0125
30/04/07 CBA 5.0% 1 1.61 0.34 - 0.07 0.0520 - 0.0198 0.0097 - 0.0243 4/30/07 WES 3.7% 1 1.03 - 0.19 - 0.14 0.0520 - 0.0198 0.0097 - 0.0243 4/30/07 BHP -1.3% 1 1.19 0.58 1.50 0.0520 - 0.0198 0.0097 - 0.0243
31/05/07 CBA 5.0% 1 1.80 1.03 - 0.34 - 0.1044 0.0697 0.0317 0.0451 5/31/07 WES -3.1% 1 0.93 - 0.05 - 0.07 - 0.1044 0.0697 0.0317 0.0451 5/31/07 BHP 6.8% 1 1.33 0.83 1.22 - 0.1044 0.0697 0.0317 0.0451
29/06/07 CBA -0.3% 1 1.79 0.90 - 0.11 0.2570 - 0.1583 0.0881 - 0.0143 6/29/07 WES 20.5% 1 1.56 1.59 - 0.49 0.2570 - 0.1583 0.0881 - 0.0143 6/29/07 BHP 11.1% 1 1.55 0.91 1.59 0.2570 - 0.1583 0.0881 - 0.0143
31/07/07 CBA -1.8% 1 1.72 0.01 - 0.01 - 0.3931 0.2476 - 0.0634 0.0975 7/31/07 WES -14.7% 1 1.02 - 0.48 - 0.13 - 0.3931 0.2476 - 0.0634 0.0975 7/31/07 BHP 5.6% 1 1.67 1.61 1.35 - 0.3931 0.2476 - 0.0634 0.0975
31/08/07 CBA 1.6% 1 1.78 - 0.41 - 0.10 0.0425 - 0.0188 0.0557 - 0.0312 8/31/07 WES -1.1% 1 0.98 - 0.28 - 0.11 0.0425 - 0.0188 0.0557 - 0.0312 8/31/07 BHP 3.8% 1 1.75 1.31 1.20 0.0425 - 0.0188 0.0557 - 0.0312
28/09/07 CBA 2.2% 1 1.87 - 0.09 - 0.22 - 0.0205 0.0383 0.0222 0.0091 9/28/07 WES 8.9% 1 1.27 - 1.22 - 0.31 - 0.0205 0.0383 0.0222 0.0091 9/28/07 BHP 16.0% 1 2.06 1.77 0.64 - 0.0205 0.0383 0.0222 0.0091
31/10/07 CBA 9.1% 1 2.25 1.34 - 0.68 - 0.0888 0.0672 0.0028 - 0.0235 10/31/07 WES 4.6% 1 1.43 0.78 - 0.40 - 0.0888 0.0672 0.0028 - 0.0235 10/31/07 BHP 3.5% 1 2.13 1.55 0.52 - 0.0888 0.0672 0.0028 - 0.0235
30/11/07 CBA -3.0% 1 2.13 0.68 - 0.53 - 0.0022 - 0.0288 0.0299 - 0.0214 11/30/07 WES -1.2% 1 1.40 0.77 - 0.38 - 0.0022 - 0.0288 0.0299 - 0.0214 11/30/07 BHP -6.8% 1 1.98 0.46 0.77 - 0.0022 - 0.0288 0.0299 - 0.0214
31/12/07 CBA -0.9% 1 2.10 0.26 - 0.35 0.0740 - 0.0469 0.0073 - 0.0921 12/31/07 WES -6.7% 1 2.31 - 0.78 0.41 0.0740 - 0.0469 0.0073 - 0.0921 12/31/07 BHP -6.6% 1 1.84 - 1.41 0.45 0.0740 - 0.0469 0.0073 - 0.0921

Q6c-d

Monthly Specific Return in-sample period (from Q6b)
Date CBA WES BHP
31/01/01
28/02/01
30/03/01
30/04/01
31/05/01
29/06/01
31/07/01
31/08/01
28/09/01
31/10/01
30/11/01
31/12/01
31/01/02
28/02/02
29/03/02
30/04/02
31/05/02
28/06/02
31/07/02
30/08/02
30/09/02
31/10/02
29/11/02
31/12/02
31/01/03
28/02/03
31/03/03
30/04/03
30/05/03
30/06/03
31/07/03
29/08/03
30/09/03
31/10/03
28/11/03
31/12/03
30/01/04
27/02/04
31/03/04
30/04/04
31/05/04
30/06/04
30/07/04
31/08/04
30/09/04
29/10/04
30/11/04
31/12/04
31/01/05
28/02/05
31/03/05
29/04/05
31/05/05
30/06/05
29/07/05
31/08/05
30/09/05
31/10/05
30/11/05
30/12/05
31/01/06
28/02/06
31/03/06
28/04/06
31/05/06
30/06/06
31/07/06
31/08/06
29/09/06
31/10/06
30/11/06
29/12/06
31/01/07
28/02/07
30/03/07
30/04/07
31/05/07
29/06/07
31/07/07
31/08/07
28/09/07
31/10/07
30/11/07
31/12/07
Monthly Specific Return Covariance Matrix
CBA WES BHP
CBA
WES
BHP
Annualised Specific Variances
CBA WES BHP
CBA 0.00 0.00
WES 0.00 0.00
BHP 0.00 0.00
Annualised Specific Volatilities
CBA WES BHP
CBA 0.00 0.00
WES 0.00 0.00
BHP 0.00 0.00

Q7

No. Stock Codes Description
1 AMP AMP LIMITED
2 ASX AUSTRALIAN STOCK EXCHANGE
3 CBA COMMONWEALTH BANK OF AUSTRALIA
4 WES WESFARMERS LIMITED
5 BHP BHP BILLITON LTD
6 NAB NATIONAL AUSTRALIA BANK LTD
7 QAN QANTAS AIRWAYS LIMITED
8 TLS TELSTRA CORP LTD
9 WBC WESTPAC BANKING CORPORATION
10 WOW WOOLWORTHS LIMITED
AMP ASX CBA WES BHP NAB QAN TLS WBC WOW
Date monthly return monthly return monthly return monthly return monthly return monthly return monthly return monthly return monthly return monthly return
2/29/00 -2.69% 19.59% -4.25% -0.44% -14.15% -1.97% -7.07% -2.02% -2.27% 2.46%
3/31/00 5.20% -7.31% -9.81% -5.88% 10.86% -1.03% -3.35% -0.55% -0.84% 2.40%
4/28/00 -3.60% -7.97% 15.71% 2.17% 3.35% 10.76% 6.68% -3.42% 5.98% 12.76%
5/31/00 1.48% -22.05% 6.91% -4.35% -3.42% 11.25% -11.71% -7.36% 9.33% 0.66%
6/30/00 11.69% 15.66% -0.69% 16.66% 10.90% 6.89% 4.32% -0.29% 0.84% 6.29%
7/31/00 1.76% -4.37% 0.38% -3.38% -7.60% -11.25% 17.16% 4.86% 1.79% -1.70%
8/31/00 3.01% 11.51% -0.41% 10.00% 3.93% 2.58% -0.49% -11.24% 3.12% 13.04%
9/29/00 -7.97% -13.44% -0.30% -5.56% 0.97% 0.42% -9.73% -4.29% 0.80% -1.55%
10/31/00 6.04% 11.55% 4.02% 10.33% 1.28% 5.07% 9.08% 4.24% 3.33% 13.97%
11/30/00 7.92% 15.78% 10.39% 10.66% 4.11% 11.28% -0.59% -1.20% 6.27% 0.92%
12/29/00 7.74% -7.28% -2.49% -0.72% -2.63% -3.40% 1.68% 3.25% -5.76% 8.55%
1/31/01 -6.03% 3.27% 3.55% 12.65% -0.57% 2.33% 10.76% 9.76% 6.43% -6.90%
2/28/01 4.34% -0.15% -5.66% 2.53% 11.67% 2.07% -19.84% -10.95% 0.05% 8.05%
3/30/01 1.24% -6.13% -5.27% 6.73% -6.88% -4.95% -22.86% 2.26% -9.96% -2.01%
4/30/01 -0.35% -0.41% 0.84% 14.54% 9.79% 5.24% 10.71% 3.90% 3.40% 8.19%
5/31/01 1.40% 2.63% 8.18% -1.10% 4.56% 7.81% 31.97% -3.60% 6.27% 6.90%
6/29/01 8.45% 13.83% 9.46% 19.96% -4.64% 8.02% -1.42% -16.33% 4.01% 14.58%
7/31/01 -12.77% -8.79% -13.62% 4.57% -6.64% -7.59% -5.70% -7.62% -5.17% 0.45%
8/31/01 2.55% -2.15% -0.52% 1.93% -3.92% 2.50% -16.68% -3.23% 1.43% -2.92%
9/28/01 -7.80% -14.47% -11.06% 2.64% -7.94% -22.71% 12.72% 8.94% -4.43% 10.47%
10/31/01 -0.49% 3.98% 14.18% 0.47% 4.09% 19.13% 26.78% -5.14% 11.36% -4.30%
11/30/01 5.59% -1.70% -4.03% 7.05% 12.46% 3.33% -0.76% 10.66% 0.91% -2.20%
12/31/01 -3.25% 1.60% 4.69% -2.85% 4.55% 0.86% -5.64% -1.09% 5.49% 1.35%
1/31/02 5.04% 3.10% 9.35% -1.26% 6.48% 8.60% 2.71% 0.93% 0.29% 5.37%
2/28/02 -3.09% 11.16% -1.17% 5.01% 5.45% 3.44% 18.54% -6.02% 4.61% 2.33%
3/29/02 1.22% 0.31% -0.98% -0.72% -3.30% -4.53% 0.21% 4.27% -5.55% 2.97%
4/30/02 -3.21% 3.77% 2.53% -10.78% -5.26% 1.70% 0.23% -5.40% 4.04% 5.21%
5/31/02 -8.11% 2.96% 1.98% 1.19% 0.00% 4.12% 1.55% -7.07% 1.91% -0.99%
6/28/02 -7.69% -3.45% -1.70% -5.56% -4.64% -2.16% 0.65% -1.49% -1.87% 1.15%
7/31/02 -9.23% -5.07% -5.34% 3.68% -1.02% -5.59% 5.44% 3.22% -6.10% -7.76%
8/30/02 -1.62% 0.16% -0.96% 5.32% -4.41% 3.68% -13.81% 1.05% -0.85% -1.07%
9/30/02 -16.01% -10.28% -2.36% -8.92% -0.66% -3.38% -14.35% -2.46% -8.40% 2.50%
10/31/02 8.55% 0.61% 0.86% -2.59% 7.07% 2.66% 5.29% 0.42% 2.53% 0.08%
11/29/02 3.54% 0.35% -10.69% 6.38% 4.44% -4.71% 0.55% -4.01% 0.21% -8.04%
12/31/02 -14.98% -1.12% -0.55% -5.10% 0.30% -3.05% 1.06% -3.49% -3.37% 0.71%
1/31/03 -17.98% 2.80% -4.04% 6.02% -12.12% -0.16% -2.36% 1.81% 2.91% 4.74%
2/28/03 -23.65% -5.37% -5.29% -9.68% 2.58% -8.83% -17.63% -10.91% -0.71% -3.10%
3/31/03 0.28% -0.63% 6.15% -12.80% 1.42% 10.55% -3.57% 2.49% 7.33% 5.70%
4/30/03 24.35% 4.26% 4.49% 10.31% -2.59% 1.72% 7.07% 3.45% 5.50% 5.64%
5/30/03 -45.35% 6.96% 3.75% 2.41% -4.87% 1.85% 1.26% 7.12% 2.45% -5.19%
6/30/03 4.19% 1.79% 4.64% 0.84% 0.47% 1.21% 1.53% -2.45% -0.31% 2.20%
7/31/03 -1.83% 7.67% 1.02% 5.42% 13.43% -2.54% -2.42% 6.37% 2.22% -5.75%
8/29/03 36.69% 3.11% -6.03% 5.70% 11.53% -4.78% 1.55% 7.27% -5.78% -0.34%
9/30/03 -0.15% 4.15% -1.25% -3.79% -3.39% -0.93% 1.24% -5.58% 3.51% -0.34%
10/31/03 -1.21% 12.75% -0.72% 6.93% 10.98% -0.68% 10.07% 0.00% -0.31% -5.12%
11/28/03 -9.57% -3.06% 0.36% -2.76% -3.84% -5.46% -7.75% 4.00% -5.26% 1.98%
12/31/03 3.81% 10.12% 6.70% 2.88% 8.16% 3.56% -1.20% -2.22% 4.51% 4.06%
1/30/04 -10.38% -3.45% 3.60% 6.38% -7.38% 2.04% 5.16% 2.07% 3.56% -0.51%
2/27/04 9.15% 2.00% 3.83% -2.41% 8.59% 1.11% 7.23% -2.86% 1.75% -0.09%
3/31/04 14.89% -1.55% 5.11% 5.46% 0.00% 0.32% -8.07% -5.01% 4.15% 1.02%
4/30/04 2.49% -2.84% -6.16% -1.45% -6.44% -4.94% -1.78% 5.27% -0.46% -0.42%
5/31/04 -2.09% -3.97% 4.16% -1.16% 5.41% 2.48% 1.20% -1.87% -0.74% -0.76%
6/30/04 12.04% 0.58% 0.09% 4.07% 3.64% -1.19% 3.82% 7.26% 1.50% -2.65%
7/30/04 -0.95% 1.35% -4.17% 0.27% 5.19% -10.62% -0.85% -2.01% -4.26% 2.72%
8/31/04 -0.31% 0.47% -3.27% 1.96% -0.38% -0.07% -2.27% -2.62% 0.00% 8.03%
9/30/04 -0.31% 4.62% -0.03% 6.46% 9.37% 1.24% 1.15% -3.14% 5.22% 7.67%
10/29/04 2.23% 13.55% 6.33% 8.59% -3.55% 4.78% -3.76% 0.45% 6.49% -1.76%
11/30/04 8.00% 1.19% -2.15% 9.93% 11.55% -0.74% 7.84% 5.55% -1.80% 12.11%
12/31/04 5.54% 8.91% 2.20% 4.19% -0.71% 2.71% 3.62% -0.40% 5.12% 0.07%
1/31/05 5.09% 2.55% 4.42% -1.26% 6.06% 2.81% -4.05% 0.61% -1.49% -2.80%
2/28/05 -4.06% -1.01% 8.08% 2.09% 17.64% -2.80% 1.97% 6.47% -0.47% 6.65%
3/31/05 -3.29% -2.17% -3.51% 1.64% -6.64% -1.56% -2.18% -2.14% -0.42% 3.15%
4/29/05 -5.09% -1.68% 3.95% -9.66% -10.24% 2.82% -9.30% -4.92% 2.21% -4.74%
5/31/05 4.18% 14.91% 1.95% 2.28% 3.99% 7.89% 0.00% 3.72% 0.98% 5.10%
6/30/05 -1.97% 1.05% 2.43% 8.96% 8.81% -2.19% 4.66% 0.80% 1.58% 2.74%
7/29/05 4.80% 11.11% 2.92% -0.28% 6.67% 1.59% -1.50% 0.20% -1.00% -0.67%
8/31/05 8.70% 3.30% -4.25% -1.25% 5.68% 0.19% -3.32% -7.70% -0.05% -0.91%
9/30/05 0.96% 2.15% 2.70% 1.90% 8.75% 5.56% 5.00% -11.81% 6.89% 2.34%
10/31/05 -2.03% 6.08% 1.22% -11.08% -6.74% -0.15% 1.47% 3.44% -1.66% -1.80%
11/30/05 5.77% 6.01% 7.51% -0.45% 5.40% -1.64% 10.23% -8.54% 8.14% 4.16%
12/30/05 -0.27% 6.56% 2.27% 4.02% 4.02% -0.18% 7.18% 2.06% 1.38% -0.94%
1/31/06 6.90% 7.48% 4.44% 2.92% 13.41% 4.57% 2.22% 1.29% 2.29% 2.37%
2/28/06 4.62% -7.07% 0.45% -3.81% -6.01% 8.26% -0.72% -1.81% 1.46% 6.67%
3/31/06 0.93% 0.74% 1.00% -4.70% 15.46% 2.78% -13.65% -2.86% 0.89% 2.34%
4/28/06 3.80% 0.46% 3.75% 3.78% 4.64% -0.24% -2.27% 5.35% 5.37% -0.90%
5/31/06 1.40% -7.15% -8.13% -4.28% -3.65% -6.70% -8.95% -5.84% -8.61% -0.32%
6/30/06 4.33% 6.82% 2.85% 1.96% 2.73% 0.20% -6.04% -0.81% 1.48% 8.33%
7/31/06 -1.31% 0.43% 0.88% 0.20% -4.24% 2.10% 3.06% 3.80% -5.50% -5.51%
8/31/06 0.44% 0.86% 2.05% -5.11% -0.25% 1.17% 12.78% -5.76% 6.23% 8.72%
9/29/06 -1.21% -1.52% 0.07% 3.99% -7.47% 1.05% 13.67% 3.06% -2.82% -2.13%
10/31/06 6.26% 10.79% 4.26% -1.11% 6.44% 4.03% 8.42% 6.74% 5.46% 2.12%
11/30/06 -0.11% 2.82% -0.57% 1.33% -3.85% 2.62% 16.74% -4.80% 1.88% 6.33%
12/29/06 6.43% 4.81% 4.32% 7.26% -3.55% 3.11% 5.47% 9.81% -0.66% 8.64%
1/31/07 3.66% -0.66% 1.13% 1.62% 2.92% 0.05% 3.25% 2.42% 3.42% -0.63%
2/28/07 -1.53% 10.42% -0.16% -4.46% 4.19% -0.15% -1.70% 0.47% 1.56% 14.53%
3/30/07 0.78% 5.14% 0.60% 3.57% 10.17% 0.10% 1.94% 9.39% 3.50% -0.04%
4/30/07 3.47% 9.09% 4.97% 3.71% -1.27% 6.44% 1.33% 0.21% 2.66% 4.08%
5/31/07 -2.29% 1.25% 5.00% -3.09% 6.85% -1.07% 7.14% 4.07% -3.66% -2.79%
6/29/07 0.10% 0.21% -0.27% 20.53% 11.10% -3.57% -1.75% -5.56% -1.53% -1.85%
7/31/07 -0.59% 0.72% -1.79% -14.74% 5.62% -6.48% 2.50% 0.22% 2.10% 1.07%
8/31/07 4.57% -5.40% 1.64% -1.10% 3.84% 4.12% -2.79% -5.00% 3.82% 9.64%
9/28/07 0.19% 15.84% 2.25% 8.92% 15.96% -0.58% 0.00% -0.23% 4.78% -0.70%
10/31/07 -3.32% 6.70% 9.06% 4.62% 3.48% 8.54% 5.91% 7.34% 7.16% 12.59%
11/30/07 -0.49% -1.66% -3.01% -1.16% -6.77% -11.14% -1.02% -0.21% -7.24% 1.20%
12/31/07 -1.87% 7.27% -0.92% -6.75% -6.61% -1.33% -7.01% 0.43% -1.45% 0.41%
1/31/08 -15.58% -21.82% -16.41% -12.84% -7.70% -8.44% -14.15% -7.46% -8.38% -15.27%
2/29/08 -4.17% -11.12% -14.72% 6.86% 6.83% -16.62% -9.64% 12.21% -8.84% 0.66%
3/31/08 -2.48% -11.04% -0.76% 6.02% -9.53% 4.51% -6.87% -9.65% 1.84% 0.03%
4/30/08 -0.25% -4.04% 7.27% -4.18% 18.04% 0.20% -13.49% 3.64% 3.12% -1.03%
5/30/08 -6.26% -4.21% -5.64% 1.34% 2.91% 3.64% 2.06% 4.17% -5.06% -3.41%
6/30/08 -8.86% -8.67% -5.08% -1.58% 0.46% -15.36% -12.39% -10.74% -13.98% -11.80%
7/31/08 -1.94% 10.19% -1.05% -7.80% -9.13% -6.79% 9.21% 6.13% 7.75% 3.07%
8/29/08 6.10% 2.20% 6.67% -10.44% 4.26% -0.81% 1.81% -3.33% 9.28% 12.54%
9/30/08 0.29% -14.73% 0.52% -7.53% -25.12% -0.98% -7.40% -3.91% -8.79% -4.09%
10/31/08 -22.49% -0.83% -5.44% -24.61% -9.71% -1.11% -22.68% -1.44% -5.59% 2.21%
11/28/08 -0.74% 2.84% -15.41% -13.37% 10.75% -16.63% -4.13% -1.46% -11.79% -3.60%
12/31/08 0.93% 8.29% -15.22% -3.23% -1.81% 4.35% 13.36% -5.67% -5.14% -0.49%