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Option Pricing

End of Month Standarized S&P 500 Index ATM Call Premium ATM Put Premium Call 105% Put 95% OTM Call Premium OTM Put Premium VIX One-Month T-Bills mntly return d1 (ATM) d2 (ATM) d1 (105% OTM) d2 (105% OTM) d1 (95% OTM) d2 (95% OTM) Fairfield Guard Monthly Returns Value of $1 in Fairfield Guard HFRI Equity Mkt Ntrl Mtly % Value of $1 in HFRI EH Index S&P 500 Index Monthly Returns Value of $1 in S&P 500 Index Value of $1 in One-Month Treasury Bills Value of $1 in Backtested ATM Collar Value of $1 in Backtested OTM Collar ATM Long Put payoff ATM Short Call payoff gain/cost from investing/financing for ATMs Monthly P/L of Backtested ATM Collor OTM Long Put payoff OTM Short Call payoff gain/cost from investing/financing for OTMs Monthly P/L of Backtested OTM Collor Monthly Return% of ATM Monthly Return% of OTM ATM leverage
Nov-1990 100 - - 105 95 - - 22.16% 0.57% - - - - - - - 1.0000 - 1.0000 - 1.0000 1.0000 1.0000 1.0000 - - - - - - - - 1
Dec-1990 102 2.8386 2.2703 107.1 96.9 0.9761 0.6347 26.38% 0.60% 0.1211 0.0571 -0.6416 -0.7056 0.9229 0.8589 2.77% 1.0277 2.01% 1.0201 2.47% 1.0247 1.0060 0.9992 1.0226 0.0000 (2.0000) 0.0032 0.0000 (0.6347) 0.9761 0.0019 0.0234 (0.08%) 2.26%
Jan-1991 107 3.4035 2.7933 112.35 101.65 1.4228 0.9856 20.91% 0.52% 0.1169 0.0407 -0.5238 -0.6000 0.7904 0.7143 3.01% 1.0586 2.51% 1.0457 4.15% 1.0673 1.0112 1.0034 1.0682 (2.7933) (1.5965) 0.0037 0.0061 (0.6347) 1.4228 0.0026 0.0579 0.42% 4.46%
Feb-1991 114 2.8566 2.3016 119.7 108.3 0.9080 0.5900 21.23% 0.48% 0.1163 0.0560 -0.6920 -0.7523 0.9661 0.9057 1.40% 1.0735 0.04% 1.0461 6.73% 1.1392 1.0161 1.0072 1.1096 (2.3016) (4.1434) 0.0029 0.0056 (0.9856) (0.7420) 0.0017 0.0527 0.38% 3.88%
Mar-1991 116 3.0616 2.5157 121.8 110.2 0.9898 0.6632 16.88% 0.44% 0.1090 0.0477 -0.6871 -0.7484 0.9459 0.8846 0.52% 1.0790 2.70% 1.0744 2.22% 1.1644 1.0206 1.0109 1.1281 (2.5157) 1.0616 0.0026 0.0055 (0.5900) 0.9898 0.0016 0.0240 0.37% 1.66%
Apr-1991 116 2.5136 2.0044 121.8 110.2 0.5687 0.3462 18.24% 0.53% 0.1147 0.0659 -0.8866 -0.9353 1.1673 1.1186 1.32% 1.0933 -0.01% 1.0743 0.03% 1.1649 1.0260 1.0144 1.1262 (2.0044) 2.5136 0.0022 0.0051 (0.6632) 0.5687 0.0010 (0.0009) 0.34% (0.17%)
May-1991 121 2.7489 2.1357 127.05 114.95 0.7165 0.4280 15.93% 0.47% 0.1270 0.0743 -0.7996 -0.8523 1.1011 1.0485 1.82% 1.1132 -0.02% 1.0740 3.85% 1.2097 1.0308 1.0186 1.1688 (2.1357) (2.2511) 0.0032 0.0062 (0.3462) 0.7165 0.0015 0.0537 0.42% 3.78%
Jun-1991 115 2.5097 1.9423 120.75 109.25 0.5122 0.2927 19.55% 0.42% 0.1252 0.0792 -0.9358 -0.9818 1.2406 1.1946 0.30% 1.1165 0.56% 1.0801 -4.78% 1.1519 1.0351 1.0225 1.1087 4.0577 2.5097 0.0027 0.0057 (0.4280) 0.5122 0.0010 (0.0591) 0.38% (5.14%)
Jul-1991 120 2.8316 2.3496 126 114 0.8116 0.5427 15.18% 0.49% 0.1026 0.0462 -0.7619 -0.8183 1.0115 0.9551 1.98% 1.1386 2.50% 1.1071 4.48% 1.2035 1.0402 1.0257 1.1629 (2.3496) (2.1684) 0.0020 0.0048 (0.2927) 0.8116 0.0011 0.0552 0.31% 4.89%
Aug-1991 123 2.3989 1.8123 129.15 116.85 0.4464 0.2416 14.46% 0.46% 0.1337 0.0899 -0.9797 -1.0235 1.3043 1.2604 1.00% 1.1500 0.28% 1.1102 1.96% 1.2272 1.0450 1.0297 1.1865 (1.8123) (0.6011) 0.0029 0.0059 (0.5427) 0.4464 0.0010 0.0290 0.39% 2.03%
Sep-1991 120 2.3381 1.7736 126 114 0.3906 0.2091 15.85% 0.46% 0.1311 0.0893 -1.0378 -1.0795 1.3599 1.3181 0.73% 1.1584 1.92% 1.1315 -1.91% 1.2037 1.0498 1.0335 1.1571 1.2264 2.3381 0.0026 0.0057 (0.2416) 0.3906 0.0008 (0.0285) 0.37% (2.48%)
Oct-1991 122 2.4716 1.9209 128.1 115.9 0.4989 0.2865 15.48% 0.42% 0.1234 0.0777 -0.9429 -0.9887 1.2445 1.1987 2.75% 1.1903 0.97% 1.1424 1.19% 1.2179 1.0542 1.0373 1.1790 (1.9209) 0.4716 0.0025 0.0055 (0.2091) 0.4989 0.0010 0.0229 0.36% 1.89%
Nov-1991 116 2.4355 1.9241 121.8 110.2 0.4663 0.2728 20.26% 0.39% 0.1163 0.0716 -0.9755 -1.0202 1.2642 1.2195 0.01% 1.1904 1.17% 1.1558 -4.42% 1.1641 1.0583 1.0407 1.1199 4.0759 2.4355 0.0021 0.0051 (0.2865) 0.4663 0.0008 (0.0582) 0.33% (5.02%)
Dec-1991 129 2.9327 2.4811 135.45 122.55 0.8826 0.6112 19.31% 0.38% 0.0959 0.0374 -0.7383 -0.7968 0.9730 0.9145 1.56% 1.2090 2.07% 1.1797 11.18% 1.2942 1.0623 1.0436 1.1830 (2.4811) (10.0673) 0.0018 0.0045 (0.2728) (6.3174) 0.0011 0.0641 0.28% 5.64%
Jan-1992 127 3.1142 2.6249 133.35 120.65 0.8729 0.5957 17.40% 0.34% 0.0960 0.0403 -0.7792 -0.8350 1.0162 0.9605 0.42% 1.2140 0.36% 1.1840 -1.98% 1.2686 1.0659 1.0469 1.1647 (0.6249) 3.1142 0.0019 0.0049 (0.6112) 0.8729 0.0011 (0.0174) 0.31% (1.55%)
Feb-1992 128 2.7617 2.3306 134.4 121.6 0.6509 0.4353 16.68% 0.28% 0.0928 0.0426 -0.8785 -0.9288 1.1140 1.0638 2.72% 1.2470 0.96% 1.1954 0.95% 1.2807 1.0689 1.0496 1.1742 (2.3306) 1.7617 0.0015 0.0043 (0.5957) 0.6509 0.0007 0.0106 0.26% 0.82%
Mar-1992 125 2.6382 2.2803 131.25 118.75 0.5718 0.3929 16.18% 0.34% 0.0822 0.0341 -0.9310 -0.9792 1.1475 1.0993 0.94% 1.2588 0.58% 1.2023 -2.18% 1.2527 1.0726 1.0518 1.1446 0.7197 2.6382 0.0010 0.0036 (0.4353) 0.5718 0.0005 (0.0286) 0.21% (2.52%)
Apr-1992 129 2.5433 2.1191 135.45 122.55 0.5248 0.3381 15.53% 0.32% 0.0961 0.0494 -0.9484 -0.9951 1.1943 1.1476 2.79% 1.2939 -0.03% 1.2019 2.79% 1.2877 1.0760 1.0545 1.1850 (2.1191) (1.4567) 0.0014 0.0043 (0.3929) 0.5248 0.0006 0.0413 0.26% 3.52%
May-1992 129 2.5152 2.1031 135.45 122.55 0.4772 0.3058 13.86% 0.28% 0.0938 0.0490 -0.9945 -1.0393 1.2379 1.1931 -0.27% 1.2904 0.11% 1.2033 0.10% 1.2890 1.0790 1.0571 1.1854 (2.1031) 2.5152 0.0013 0.0041 (0.3381) 0.4772 0.0005 0.0014 0.25% 0.03%
Jun-1992 127 2.2414 1.8807 133.35 120.65 0.3283 0.2045 13.35% 0.32% 0.0900 0.0500 -1.1295 -1.1695 1.3720 1.3320 1.22% 1.3061 0.62% 1.2107 -1.72% 1.2668 1.0825 1.0593 1.1646 0.1193 2.2414 0.0010 0.0036 (0.3058) 0.3283 0.0003 (0.0198) 0.21% (1.75%)
Jul-1992 132 2.1589 1.7532 138.6 125.4 0.2908 0.1693 13.17% 0.31% 0.1023 0.0638 -1.1637 -1.2023 1.4333 1.3947 -0.09% 1.3050 1.24% 1.2257 3.92% 1.3164 1.0858 1.0618 1.2089 (1.7532) (2.8411) 0.0013 0.0041 (0.2045) 0.2908 0.0004 0.0509 0.24% 3.80%
Aug-1992 128 2.2098 1.8012 134.4 121.6 0.2870 0.1673 13.58% 0.26% 0.1005 0.0625 -1.1828 -1.2208 1.4497 1.4117 0.85% 1.3161 -0.35% 1.2214 -2.40% 1.2849 1.0886 1.0644 1.1691 2.1988 2.2098 0.0013 0.0041 (0.1693) 0.2870 0.0004 (0.0388) 0.24% (3.29%)
Sep-1992 130 2.1697 1.8373 136.5 123.5 0.3011 0.1893 14.28% 0.26% 0.0859 0.0467 -1.1587 -1.1979 1.3944 1.3552 0.33% 1.3204 1.17% 1.2357 0.91% 1.2966 1.0915 1.0663 1.1895 (1.8373) 0.1697 0.0009 0.0033 (0.1673) 0.3011 0.0003 0.0213 0.18% 1.74%
Oct-1992 130 2.3080 1.9705 136.5 123.5 0.3613 0.2338 16.15% 0.23% 0.0837 0.0425 -1.0999 -1.1411 1.3280 1.2868 1.33% 1.3380 1.04% 1.2486 0.21% 1.2993 1.0940 1.0683 1.1902 (1.9705) 2.3080 0.0009 0.0034 (0.1893) 0.3613 0.0003 0.0017 0.19% 0.06%
Nov-1992 134 2.5672 2.2685 140.7 127.3 0.5195 0.3667 13.01% 0.23% 0.0726 0.0260 -0.9739 -1.0205 1.1729 1.1262 1.35% 1.3560 1.18% 1.2633 3.03% 1.3386 1.0965 1.0700 1.2274 (2.2685) (1.4328) 0.0007 0.0030 (0.2338) 0.5195 0.0004 0.0429 0.16% 3.13%
Dec-1992 135 2.1630 1.8551 141.75 128.25 0.2672 0.1692 12.57% 0.28% 0.0800 0.0425 -1.2191 -1.2566 1.4458 1.4082 1.36% 1.3745 1.54% 1.2828 1.01% 1.3521 1.0996 1.0718 1.2338 (1.8551) 1.1630 0.0007 0.0031 (0.3667) 0.2672 0.0002 0.0090 0.16% 0.52%
Jan-1993 136 2.1460 1.7685 142.8 129.2 0.2445 0.1427 12.42% 0.23% 0.0953 0.0590 -1.2493 -1.2856 1.5089 1.4726 -0.09% 1.3732 1.91% 1.3073 0.71% 1.3617 1.1021 1.0741 1.2416 (1.7685) 1.1460 0.0011 0.0038 (0.1692) 0.2445 0.0003 0.0108 0.22% 0.63%
Feb-1993 138 2.1031 1.7907 144.9 131.1 0.2288 0.1408 13.16% 0.22% 0.0821 0.0462 -1.2787 -1.3146 1.5127 1.4769 1.86% 1.3988 1.06% 1.3211 1.05% 1.3760 1.1045 1.0759 1.2574 (1.7907) 0.1031 0.0007 0.0031 (0.1427) 0.2288 0.0002 0.0209 0.17% 1.28%
Mar-1993 140 2.2442 1.9409 147 133 0.2851 0.1838 12.53% 0.25% 0.0769 0.0389 -1.2074 -1.2454 1.4271 1.3891 1.79% 1.4238 1.67% 1.3432 1.87% 1.4017 1.1073 1.0776 1.2737 (1.9409) 0.2442 0.0007 0.0030 (0.1408) 0.2851 0.0002 0.0214 0.16% 1.30%
Apr-1993 137 2.1972 1.8476 143.85 130.15 0.2463 0.1487 12.42% 0.24% 0.0872 0.0510 -1.2617 -1.2978 1.5053 1.4691 -0.01% 1.4237 -0.14% 1.3413 -2.54% 1.3661 1.1099 1.0797 1.2433 1.1524 2.1972 0.0009 0.0035 (0.1838) 0.2463 0.0002 (0.0294) 0.19% (2.39%)
May-1993 140 2.1257 1.7973 147 133 0.2318 0.1409 13.47% 0.22% 0.0849 0.0490 -1.2760 -1.3118 1.5155 1.4796 1.65% 1.4472 0.58% 1.3491 2.28% 1.3972 1.1124 1.0816 1.2731 (1.7973) (0.8743) 0.0008 0.0033 (0.1487) 0.2318 0.0002 0.0308 0.18% 2.39%
Jun-1993 140 2.3266 2.0189 147 133 0.3137 0.2050 11.26% 0.25% 0.0760 0.0371 -1.1787 -1.2176 1.3951 1.3563 0.79% 1.4586 2.37% 1.3811 0.07% 1.3982 1.1152 1.0833 1.2737 (2.0189) 2.3266 0.0007 0.0031 (0.1409) 0.3137 0.0002 0.0017 0.16% 0.05%
Jul-1993 139 1.9933 1.6437 145.95 132.05 0.1619 0.0903 11.73% 0.24% 0.0932 0.0607 -1.4078 -1.4404 1.6712 1.6387 0.02% 1.4589 0.63% 1.3898 -0.53% 1.3907 1.1178 1.0854 1.2623 (0.6437) 1.9933 0.0009 0.0035 (0.2050) 0.1619 0.0002 (0.0104) 0.19% (0.90%)
Aug-1993 144 2.0467 1.7135 151.2 136.8 0.1886 0.1101 11.85% 0.25% 0.0878 0.0539 -1.3531 -1.3869 1.6026 1.5687 1.71% 1.4838 0.91% 1.4024 3.44% 1.4386 1.1206 1.0873 1.3045 (1.7135) (2.9533) 0.0008 0.0033 (0.0903) 0.1886 0.0002 0.0510 0.18% 3.34%
Sep-1993 142 2.1476 1.7881 149.1 134.9 0.2047 0.1189 12.99% 0.26% 0.0902 0.0560 -1.3361 -1.3703 1.5896 1.5554 0.28% 1.4880 2.44% 1.4366 -1.00% 1.4242 1.1235 1.0895 1.2843 0.2119 2.1476 0.0009 0.0036 (0.1101) 0.2047 0.0002 (0.0191) 0.20% (1.54%)
Oct-1993 145 2.3109 1.9422 152.25 137.75 0.2863 0.1750 11.46% 0.22% 0.0881 0.0506 -1.2130 -1.2505 1.4559 1.4184 1.71% 1.5134 -0.10% 1.4352 1.94% 1.4519 1.1260 1.0917 1.3128 (1.9422) (0.6891) 0.0010 0.0037 (0.1189) 0.2863 0.0003 0.0317 0.20% 2.22%
Nov-1993 143 2.0751 1.7564 150.15 135.85 0.1768 0.1043 13.76% 0.25% 0.0830 0.0500 -1.3918 -1.4249 1.6335 1.6004 0.19% 1.5163 -1.45% 1.4144 -1.26% 1.4335 1.1288 1.0936 1.2918 0.2436 2.0751 0.0007 0.0032 (0.1750) 0.1768 0.0002 (0.0200) 0.17% (1.60%)
Dec-1993 145 2.4461 2.0890 152.25 137.75 0.3499 0.2240 11.66% 0.23% 0.0828 0.0431 -1.1455 -1.1852 1.3741 1.3344 0.39% 1.5222 0.77% 1.4253 0.99% 1.4478 1.1314 1.0957 1.3131 (2.0890) 0.4461 0.0009 0.0036 (0.1043) 0.3499 0.0003 0.0225 0.19% 1.65%
Jan-1994 149 2.1159 1.7827 156.45 141.55 0.1909 0.1125 10.63% 0.25% 0.0852 0.0515 -1.3644 -1.3980 1.6090 1.5754 2.11% 1.5543 0.78% 1.4364 3.23% 1.4946 1.1342 1.0976 1.3439 (1.7827) (1.8841) 0.0008 0.0033 (0.2240) 0.1909 0.0002 0.0397 0.18% 2.35%
Feb-1994 145 2.0138 1.6417 152.25 137.75 0.1345 0.0714 14.87% 0.21% 0.0968 0.0661 -1.4932 -1.5238 1.7684 1.7377 -0.44% 1.5475 0.58% 1.4447 -2.99% 1.4499 1.1366 1.0999 1.3030 2.3583 2.0138 0.0009 0.0037 (0.1125) 0.1345 0.0002 (0.0398) 0.20% (3.04%)
Mar-1994 138 2.6354 2.3312 144.9 131.1 0.4479 0.3105 20.45% 0.27% 0.0704 0.0275 -1.0662 -1.1092 1.2653 1.2224 1.45% 1.5699 0.44% 1.4511 -4.61% 1.3830 1.1397 1.1016 1.2358 4.6688 2.6354 0.0006 0.0030 (0.0714) 0.4479 0.0003 (0.0662) 0.15% (5.16%)
Apr-1994 140 3.4347 3.0626 147 133 1.0363 0.7751 13.77% 0.27% 0.0753 0.0162 -0.7512 -0.8103 0.9441 0.8851 1.75% 1.5974 0.92% 1.4644 1.18% 1.3993 1.1428 1.1038 1.2620 (3.0626) 1.4347 0.0010 0.0037 (0.3105) 1.0363 0.0007 0.0273 0.20% 2.12%
May-1994 142 2.4109 2.0334 149.1 134.9 0.3469 0.2176 13.03% 0.32% 0.0878 0.0480 -1.1396 -1.1794 1.3782 1.3384 0.44% 1.6044 -0.95% 1.4505 1.24% 1.4167 1.1464 1.1061 1.2767 (2.0334) 0.4109 0.0010 0.0038 (0.7751) 0.3469 0.0003 0.0157 0.21% 1.16%
Jun-1994 138 2.3618 1.9082 144.9 131.1 0.2990 0.1710 14.97% 0.31% 0.1039 0.0663 -1.1932 -1.2308 1.4675 1.4299 0.23% 1.6081 0.58% 1.4589 -2.68% 1.3787 1.1500 1.1090 1.2364 2.0918 2.3618 0.0015 0.0046 (0.2176) 0.2990 0.0004 (0.0392) 0.26% (3.15%)
Jul-1994 142 2.5950 2.1678 149.1 134.9 0.4552 0.2883 11.13% 0.28% 0.0933 0.0501 -1.0357 -1.0789 1.2803 1.2371 1.71% 1.6356 0.37% 1.4643 3.15% 1.4222 1.1532 1.1117 1.2782 (2.1678) (1.4050) 0.0013 0.0043 (0.1710) 0.4552 0.0005 0.0428 0.24% 3.38%
Aug-1994 148 2.0229 1.6259 155.4 140.6 0.1597 0.0845 11.97% 0.37% 0.1032 0.0711 -1.4153 -1.4475 1.6997 1.6675 0.35% 1.6414 -0.35% 1.4592 3.76% 1.4756 1.1575 1.1141 1.3358 (1.6259) (3.9771) 0.0011 0.0040 (0.2883) 0.1597 0.0002 0.0587 0.22% 4.51%
Sep-1994 144 2.3213 1.7747 151.2 136.8 0.2356 0.1180 14.28% 0.37% 0.1244 0.0898 -1.2876 -1.3222 1.6088 1.5742 0.75% 1.6537 0.02% 1.4595 -2.69% 1.4359 1.1618 1.1178 1.2963 2.2253 2.3213 0.0020 0.0055 (0.0845) 0.2356 0.0004 (0.0385) 0.33% (2.96%)
Oct-1994 147 2.6390 2.1072 154.35 139.65 0.4217 0.2444 14.56% 0.38% 0.1104 0.0691 -1.0732 -1.1144 1.3547 1.3134 1.81% 1.6836 -0.12% 1.4577 2.07% 1.4656 1.1662 1.1213 1.3282 (2.1072) (0.3610) 0.0020 0.0053 (0.1180) 0.4217 0.0007 0.0330 0.32% 2.46%
Nov-1994 141 2.7489 2.1913 148.05 133.95 0.4595 0.2674 15.95% 0.37% 0.1114 0.0694 -1.0494 -1.0914 1.3318 1.2898 -0.64% 1.6728 -0.45% 1.4512 -3.96% 1.4075 1.1705 1.1250 1.2693 3.8087 2.7489 0.0021 0.0056 (0.2444) 0.4595 0.0007 (0.0578) 0.33% (4.43%)
Dec-1994 143 2.8537 2.3330 150.15 135.85 0.5753 0.3584 13.20% 0.44% 0.1034 0.0573 -0.9563 -1.0023 1.2174 1.1714 0.60% 1.6829 0.82% 1.4631 1.25% 1.4251 1.1756 1.1285 1.2913 (2.3330) 0.8537 0.0019 0.0052 (0.2674) 0.5753 0.0008 0.0231 0.30% 1.73%
Jan-1995 146 2.4973 1.8695 153.3 138.7 0.3357 0.1694 11.96% 0.42% 0.1345 0.0964 -1.1459 -1.1840 1.4806 1.4425 0.85% 1.6972 0.22% 1.4663 2.44% 1.4599 1.1806 1.1327 1.3200 (1.8695) (0.5027) 0.0028 0.0063 (0.3584) 0.3357 0.0007 0.0298 0.38% 2.22%
Feb-1995 151 2.3274 1.7155 158.55 143.45 0.2389 0.1120 11.75% 0.40% 0.1389 0.1044 -1.2742 -1.3088 1.6246 1.5900 0.69% 1.7089 1.42% 1.4871 3.61% 1.5126 1.1853 1.1369 1.3644 (1.7155) (2.6726) 0.0026 0.0061 (0.1694) 0.2389 0.0005 0.0507 0.37% 3.37%
Mar-1995 155 2.3547 1.7519 162.75 147.25 0.2282 0.1078 13.37% 0.46% 0.1349 0.1010 -1.3035 -1.3375 1.6471 1.6132 0.78% 1.7222 1.77% 1.5134 2.73% 1.5539 1.1907 1.1410 1.3964 (1.7519) (1.6453) 0.0024 0.0061 (0.1120) 0.2282 0.0005 0.0412 0.36% 2.35%
Apr-1995 160 2.7536 2.0422 168 152 0.3837 0.1916 11.75% 0.44% 0.1385 0.0999 -1.1256 -1.1642 1.4675 1.4289 1.62% 1.7501 1.86% 1.5416 2.81% 1.5975 1.1960 1.1459 1.4377 (2.0422) (2.2464) 0.0033 0.0071 (0.1078) 0.3837 0.0009 0.0528 0.43% 2.95%
May-1995 166 2.5296 1.8272 174.3 157.7 0.2480 0.1110 13.77% 0.54% 0.1467 0.1128 -1.2917 -1.3257 1.6589 1.6250 1.65% 1.7790 0.60% 1.5508 3.62% 1.6553 1.2024 1.1508 1.4851 (1.8272) (3.4704) 0.0031 0.0071 (0.1916) 0.2480 0.0006 0.0606 0.43% 3.30%
Jun-1995 169 3.0964 2.2024 177.45 160.55 0.4704 0.2219 11.38% 0.47% 0.1557 0.1160 -1.0717 -1.1114 1.4461 1.4064 0.43% 1.7866 0.92% 1.5651 2.13% 1.6906 1.2081 1.1572 1.5110 (2.2024) 0.0964 0.0048 0.0090 (0.1110) 0.4704 0.0013 0.0336 0.56% 1.74%
Jul-1995 174 2.6284 1.8359 182.7 165.3 0.2361 0.0977 13.49% 0.45% 0.1595 0.1266 -1.3257 -1.3585 1.7209 1.6880 1.02% 1.8048 2.23% 1.6000 3.18% 1.7443 1.2135 1.1628 1.5501 (1.8359) (2.3716) 0.0037 0.0080 (0.2219) 0.2361 0.0007 0.0501 0.48% 2.59%
Aug-1995 174 3.1056 2.3243 182.7 165.3 0.4413 0.2247 11.52% 0.47% 0.1350 0.0961 -1.1179 -1.1568 1.4522 1.4132 -0.24% 1.8005 0.98% 1.6157 -0.03% 1.7437 1.2192 1.1683 1.5518 (2.3243) 3.1056 0.0035 0.0078 (0.0977) 0.4413 0.0010 0.0034 0.47% 0.11%
Sep-1995 181 2.7338 1.9180 190.05 171.95 0.2548 0.1070 12.74% 0.43% 0.1580 0.1247 -1.3092 -1.3424 1.7004 1.6671 1.63% 1.8299 1.85% 1.6456 4.01% 1.8136 1.2245 1.1741 1.6070 (1.9180) (4.2662) 0.0038 0.0082 (0.2247) 0.2548 0.0007 0.0703 0.49% 3.55%
Oct-1995 180 3.0562 2.2796 189 171 0.3743 0.1847 13.83% 0.47% 0.1353 0.0985 -1.1913 -1.2281 1.5300 1.4932 1.53% 1.8579 1.58% 1.6716 -0.50% 1.8046 1.2302 1.1795 1.5983 (1.2796) 3.0562 0.0033 0.0078 (0.1070) 0.3743 0.0008 (0.0073) 0.46% (0.54%)
Nov-1995 188 3.3018 2.4578 197.4 178.6 0.4997 0.2548 11.58% 0.42% 0.1377 0.0978 -1.0844 -1.1243 1.4225 1.3825 0.44% 1.8660 0.78% 1.6846 4.10% 1.8787 1.2354 1.1855 1.6654 (2.4578) (4.6982) 0.0040 0.0085 (0.1847) 0.4997 0.0012 0.0832 0.51% 4.20%
Dec-1995 191 2.9155 2.1276 200.55 181.45 0.2721 0.1231 12.52% 0.49% 0.1424 0.1089 -1.3172 -1.3506 1.6768 1.6433 1.03% 1.8853 1.03% 1.7020 1.74% 1.9115 1.2415 1.1911 1.6885 (2.1276) (0.0845) 0.0033 0.0079 (0.2548) 0.2721 0.0006 0.0302 0.47% 1.38%
Jan-1996 197 3.2391 2.3055 206.85 187.15 0.3843 0.1734 12.53% 0.43% 0.1536 0.1175 -1.1963 -1.2324 1.5729 1.5367 1.42% 1.9120 2.18% 1.7391 3.26% 1.9738 1.2468 1.1978 1.7374 (2.3055) (2.7609) 0.0046 0.0094 (0.1231) 0.3843 0.0010 0.0626 0.56% 2.90%
Feb-1996 199 3.2791 2.4339 208.95 189.05 0.3842 0.1866 17.04% 0.39% 0.1370 0.1008 -1.2119 -1.2481 1.5550 1.5189 0.66% 1.9246 0.95% 1.7556 0.69% 1.9875 1.2517 1.2038 1.7539 (2.4339) 1.2791 0.0036 0.0085 (0.1734) 0.3842 0.0008 0.0221 0.50% 0.95%
Mar-1996 200 4.2967 3.5221 210 190 0.9823 0.6253 18.88% 0.39% 0.1039 0.0547 -0.8880 -0.9372 1.1466 1.0974 1.16% 1.9470 0.86% 1.7707 0.79% 2.0032 1.2565 1.2092 1.7671 (3.5221) 3.2967 0.0030 0.0078 (0.1866) 0.9823 0.0014 0.0180 0.45% 0.75%
Apr-1996 203 4.7400 3.9615 213.15 192.85 1.2848 0.8621 15.83% 0.46% 0.0988 0.0443 -0.7964 -0.8509 1.0399 0.9854 0.57% 1.9581 0.35% 1.7769 1.34% 2.0301 1.2623 1.2146 1.7952 (3.9615) 1.7400 0.0030 0.0078 (0.6253) 1.2848 0.0016 0.0366 0.45% 1.59%
May-1996 208 4.1765 3.2449 218.4 197.6 0.8409 0.4825 16.07% 0.42% 0.1235 0.0778 -0.9442 -0.9899 1.2460 1.2003 1.34% 1.9843 1.39% 1.8016 2.29% 2.0765 1.2676 1.2213 1.8338 (3.2449) (0.8235) 0.0043 0.0094 (0.8621) 0.8409 0.0016 0.0498 0.55% 2.15%
Jun-1996 208 4.2927 3.4209 218.4 197.6 0.8845 0.5305 13.68% 0.40% 0.1137 0.0673 -0.9380 -0.9844 1.2194 1.1730 0.15% 1.9873 1.37% 1.8263 0.23% 2.0812 1.2727 1.2275 1.8358 (3.4209) 4.2927 0.0037 0.0088 (0.4825) 0.8845 0.0015 0.0040 0.51% 0.11%
Jul-1996 199 3.7021 2.8718 208.95 189.05 0.5384 0.2928 19.46% 0.45% 0.1210 0.0815 -1.1144 -1.1539 1.4199 1.3804 1.86% 2.0242 1.62% 1.8558 -4.57% 1.9860 1.2784 1.2333 1.7444 6.1282 3.7021 0.0033 0.0083 (0.5305) 0.5384 0.0010 (0.0899) 0.48% (4.98%)
Aug-1996 202 4.9102 4.0167 212.1 191.9 1.4018 0.9174 17.01% 0.41% 0.1082 0.0520 -0.7603 -0.8165 1.0213 0.9651 0.20% 2.0283 0.78% 1.8703 1.88% 2.0234 1.2837 1.2397 1.7841 (4.0167) 1.9102 0.0040 0.0090 (0.2928) 1.4018 0.0022 0.0411 0.52% 2.27%
Sep-1996 213 4.3756 3.5491 223.65 202.35 0.9997 0.6260 16.95% 0.44% 0.1080 0.0589 -0.8856 -0.9347 1.1526 1.1035 1.16% 2.0518 0.66% 1.8827 5.42% 2.1330 1.2893 1.2455 1.8746 (3.5491) (6.6244) 0.0034 0.0083 (0.9174) 0.0997 0.0015 0.1018 0.47% 5.08%
Oct-1996 219 4.6326 3.6975 229.95 208.05 1.0559 0.6444 18.11% 0.42% 0.1144 0.0655 -0.8827 -0.9317 1.1627 1.1137 1.03% 2.0730 2.10% 1.9222 2.61% 2.1887 1.2947 1.2522 1.9248 (3.6975) (1.3674) 0.0041 0.0094 (0.6260) 1.0559 0.0018 0.0643 0.54% 2.68%
Nov-1996 235 5.0311 4.1132 246.75 223.25 1.2804 0.8240 17.14% 0.41% 0.1065 0.0542 -0.8268 -0.8791 1.0876 1.0353 1.51% 2.1043 0.16% 1.9253 7.34% 2.3493 1.3000 1.2587 2.0161 (4.1132) (10.9689) 0.0039 0.0092 (0.6444) (3.7696) 0.0019 0.1159 0.52% 4.75%
Dec-1996 230 5.1254 4.1639 241.5 218.5 1.1869 0.7464 20.92% 0.46% 0.1076 0.0581 -0.8785 -0.9280 1.1443 1.0948 0.41% 2.1129 0.95% 1.9436 -2.15% 2.2988 1.3060 1.2656 1.9681 0.8361 5.1254 0.0039 0.0097 (0.8240) 1.1869 0.0018 (0.0464) 0.55% (2.38%)
Jan-1997 244 6.0715 5.0159 256.2 231.8 1.9216 1.2939 19.47% 0.45% 0.1064 0.0460 -0.7015 -0.7619 0.9557 0.8953 2.38% 2.1632 1.20% 1.9669 6.13% 2.4397 1.3119 1.2732 2.0778 (5.0159) (7.9285) 0.0049 0.0106 (0.7464) (0.5784) 0.0029 0.1268 0.60% 5.57%
Feb-1997 245 6.0234 4.9278 257.25 232.75 1.7209 1.1265 21.10% 0.39% 0.1082 0.0520 -0.7599 -0.8161 1.0208 0.9646 0.67% 2.1777 0.12% 1.9693 0.59% 2.4542 1.3170 1.2811 2.0878 (4.9278) 5.0234 0.0049 0.0110 (1.2939) 1.7209 0.0027 0.0143 0.62% 0.48%
Mar-1997 235 6.4299 5.4763 246.75 223.25 2.0467 1.4412 22.14% 0.43% 0.0945 0.0336 -0.7065 -0.7674 0.9366 0.8757 0.80% 2.1951 0.43% 1.9777 -4.26% 2.3496 1.3227 1.2879 1.9954 4.5237 6.4299 0.0037 0.0096 (1.1265) 2.0467 0.0024 (0.0908) 0.53% (4.43%)
Apr-1997 249 6.4957 5.4874 261.45 236.55 2.2081 1.5495 20.06% 0.43% 0.0992 0.0353 -0.6642 -0.7281 0.9018 0.8379 1.10% 2.2192 0.96% 1.9967 5.84% 2.4869 1.3284 1.2952 2.1126 (5.4874) (7.5043) 0.0043 0.0101 (1.4412) (0.0419) 0.0028 0.1252 0.56% 5.88%
May-1997 263 6.2893 5.2209 276.15 249.85 1.8730 1.2598 19.19% 0.49% 0.1032 0.0453 -0.7393 -0.7972 0.9890 0.9311 0.57% 2.2319 1.49% 2.0265 5.86% 2.6325 1.3349 1.3029 2.2133 (5.2209) (7.7107) 0.0046 0.0107 (1.5495) 0.3230 0.0026 0.1278 0.60% 4.77%
Jun-1997 275 6.4628 5.1773 288.75 261.25 1.8143 1.1480 21.53% 0.37% 0.1162 0.0608 -0.7646 -0.8200 1.0421 0.9867 1.28% 2.2605 1.54% 2.0577 4.35% 2.7469 1.3398 1.3123 2.3122 (5.1773) (5.5372) 0.0063 0.0129 (1.2598) 1.8143 0.0033 0.1256 0.73% 4.47%
Jul-1997 296 7.3248 6.3092 310.8 281.2 2.3910 1.7164 21.48% 0.43% 0.0906 0.0285 -0.6944 -0.7566 0.9159 0.8537 0.68% 2.2758 2.17% 2.1023 7.81% 2.9615 1.3456 1.3196 2.4305 (6.3092) (13.6752) 0.0038 0.0102 (1.1480) (4.8590) 0.0025 0.1500 0.55% 5.12%
Aug-1997 279 7.9580 6.6879 292.95 265.05 2.6022 1.8036 24.76% 0.41% 0.1004 0.0383 -0.6865 -0.7485 0.9276 0.8656 0.28% 2.2822 0.21% 2.1067 -5.74% 2.7914 1.3511 1.3289 2.2895 10.3121 7.9580 0.0055 0.0128 0.4836 2.6022 0.0034 (0.1391) 0.71% (5.80%)
Sep-1997 294 8.5215 7.3799 308.7 279.3 3.2994 2.4353 22.91% 0.44% 0.0931 0.0216 -0.5895 -0.6610 0.8107 0.7393 2.32% 2.3351 2.18% 2.1527 5.32% 2.9398 1.3570 1.3372 2.4397 (7.3799) (6.4785) 0.0047 0.0115 (1.8036) 2.2494 0.0035 0.1545 0.62% 6.56%
Oct-1997 284 8.4010 7.1103 298.2 269.8 2.9807 2.1085 35.09% 0.42% 0.0996 0.0335 -0.6381 -0.7043 0.8752 0.8090 0.49% 2.3466 1.36% 2.1819 -3.45% 2.8384 1.3627 1.3467 2.3432 2.8897 8.4010 0.0057 0.0130 (2.4353) 2.9807 0.0038 (0.0945) 0.71% (3.95%)
Nov-1997 296 12.0528 10.8625 310.8 281.2 6.3760 5.1293 27.43% 0.39% 0.0921 -0.0092 -0.3895 -0.4908 0.5985 0.4972 1.49% 2.3816 0.53% 2.1935 4.46% 2.9650 1.3680 1.3553 2.4910 (10.8625) 0.0528 0.0050 0.0120 (2.1085) 6.3760 0.0052 0.1627 0.64% 6.31%
Dec-1997 301 9.9173 8.7651 316.05 285.95 4.2633 3.2727 24.01% 0.48% 0.0888 0.0097 -0.5273 -0.6065 0.7366 0.6574 0.36% 2.3901 0.67% 2.2082 1.57% 3.0116 1.3746 1.3637 2.5224 (8.7651) 4.9173 0.0045 0.0116 (5.1293) 4.2633 0.0039 0.0414 0.62% 1.26%
Jan-1998 304 9.0419 7.6006 319.2 288.8 3.3975 2.3979 21.47% 0.43% 0.1039 0.0346 -0.6000 -0.6693 0.8440 0.7746 0.85% 2.4104 0.54% 2.2201 1.02% 3.0422 1.3805 1.3744 2.5458 (7.6006) 6.0419 0.0069 0.0145 (3.2727) 3.3975 0.0048 0.0313 0.78% 0.93%
Feb-1998 326 8.1696 6.8652 342.3 309.7 2.6697 1.8501 18.55% 0.39% 0.1004 0.0384 -0.6868 -0.7488 0.9280 0.8660 1.23% 2.4401 0.76% 2.2370 7.04% 3.2565 1.3859 1.3839 2.6678 (6.8652) (13.8304) 0.0056 0.0131 (2.3979) (4.1303) 0.0035 0.1548 0.70% 4.79%
Mar-1998 342 7.6029 6.3339 359.1 324.9 2.0046 1.3337 24.22% 0.39% 0.0996 0.0461 -0.8115 -0.8651 1.0575 1.0039 1.68% 2.4811 1.26% 2.2652 4.99% 3.4191 1.3913 1.3932 2.7952 (6.3339) (8.3971) 0.0049 0.0127 (1.8501) 2.0046 0.0026 0.1616 0.67% 4.77%
Apr-1998 345 10.1993 8.8681 362.25 327.75 3.8486 2.8477 21.18% 0.43% 0.0907 0.0208 -0.6071 -0.6770 0.8244 0.7545 0.36% 2.4900 0.66% 2.2801 0.91% 3.4502 1.3973 1.4029 2.8374 (8.8681) 7.1993 0.0052 0.0134 (1.3337) 3.8486 0.0039 0.0552 0.70% 1.51%
May-1998 339 9.1567 7.6764 355.95 322.05 2.9391 2.0251 21.32% 0.40% 0.1009 0.0398 -0.6971 -0.7582 0.9398 0.8787 1.69% 2.5321 0.48% 2.2911 -1.88% 3.3852 1.4029 1.4139 2.7760 (1.6764) 9.1567 0.0064 0.0149 (2.8477) 2.9391 0.0039 (0.0590) 0.78% (2.16%)
Jun-1998 352 8.9998 7.6465 369.6 334.4 2.9070 2.0436 19.71% 0.41% 0.0958 0.0342 -0.6970 -0.7585 0.9292 0.8676 1.22% 2.5630 1.69% 2.3298 3.94% 3.5187 1.4086 1.4238 2.8975 (7.6465) (4.0002) 0.0054 0.0136 (2.0251) 2.9070 0.0035 0.1389 0.70% 4.37%
Jul-1998 348 8.7134 7.2732 365.4 330.6 2.5251 1.7060 24.80% 0.40% 0.1005 0.0436 -0.7570 -0.8139 1.0020 0.9451 0.76% 2.5825 -0.27% 2.3235 -1.16% 3.4779 1.4143 1.4344 2.8599 (3.2732) 8.7134 0.0059 0.0145 (2.0436) 2.5251 0.0034 (0.0352) 0.75% (1.30%)
Aug-1998 297 10.6273 9.2381 311.85 282.15 4.1197 3.0567 44.28% 0.43% 0.0917 0.0201 -0.5898 -0.6614 0.8081 0.7365 0.21% 2.5879 -1.67% 2.2847 -14.58% 2.9708 1.4203 1.4446 2.7078 41.7619 10.6273 0.0056 0.0139 31.8940 4.1197 0.0043 (0.1498) 0.71% (5.32%)
Sep-1998 316 15.7484 14.4741 331.8 300.2 9.6503 8.0645 40.95% 0.46% 0.0976 -0.0303 -0.2841 -0.4120 0.4988 0.3710 0.98% 2.6132 0.81% 2.3032 6.24% 3.1562 1.4269 1.4539 2.9154 (14.4741) (3.2516) 0.0055 0.0128 (3.0567) 5.5003 0.0068 0.2145 0.64% 7.67%
Oct-1998 341 15.5961 14.1458 358.05 323.95 9.1422 7.4879 28.05% 0.32% 0.0980 -0.0202 -0.3147 -0.4329 0.5319 0.4137 1.86% 2.6619 -0.61% 2.2892 8.03% 3.4096 1.4314 1.4645 3.0484 (14.1458) (9.4039) 0.0067 0.0146 (8.0645) (0.0578) 0.0076 0.1689 0.73% 4.56%
Nov-1998 361 11.5483 10.4588 379.05 342.95 5.0555 4.0161 26.01% 0.31% 0.0800 -0.0010 -0.5225 -0.6035 0.7135 0.6325 0.78% 2.6826 0.85% 2.3086 5.91% 3.6112 1.4359 1.4723 3.1633 (10.4588) (8.4517) 0.0035 0.0109 (7.4879) 2.1055 0.0033 0.1462 0.53% 3.77%
Dec-1998 381 11.3621 10.2448 400.05 361.95 4.6114 3.6140 24.42% 0.38% 0.0788 0.0037 -0.5710 -0.6461 0.7620 0.6869 0.26% 2.6896 3.59% 2.3915 5.64% 3.8148 1.4413 1.4803 3.3102 (10.2448) (8.6379) 0.0035 0.0112 (4.0161) 2.6614 0.0031 0.1865 0.54% 4.65%
Jan-1999 397 11.4305 9.9854 416.85 377.15 4.3506 3.2432 26.25% 0.35% 0.0892 0.0187 -0.6030 -0.6735 0.8168 0.7463 1.99% 2.7431 0.15% 2.3951 4.10% 3.9712 1.4464 1.4909 3.4418 (9.9854) (4.5695) 0.0055 0.0145 (3.6140) 4.3506 0.0042 0.1674 0.72% 3.98%
Feb-1999 384 12.6841 11.2970 403.2 364.8 5.2081 4.0194 27.88% 0.35% 0.0841 0.0083 -0.5598 -0.6356 0.7610 0.6852 0.11% 2.7461 -1.33% 2.3632 -3.23% 3.8430 1.4514 1.5010 3.3288 1.7030 12.6841 0.0049 0.0139 (3.2432) 5.2081 0.0042 (0.1103) 0.68% (3.29%)
Mar-1999 399 12.9870 11.6454 418.95 379.05 5.6603 4.4358 23.26% 0.43% 0.0837 0.0032 -0.5225 -0.6030 0.7211 0.6406 2.22% 2.8071 -0.76% 2.3453 3.88% 3.9921 1.4577 1.5108 3.4822 (11.6454) (2.0130) 0.0047 0.0135 (4.0194) 5.6603 0.0043 0.1665 0.65% 4.61%
Apr-1999 414 11.5411 9.8290 434.7 393.3 4.1667 2.9798 25.07% 0.37% 0.0976 0.0305 -0.6290 -0.6962 0.8615 0.7944 0.29% 2.8152 -0.65% 2.3300 3.79% 4.1436 1.4631 1.5235 3.5977 (9.8290) (3.4589) 0.0074 0.0172 (4.4358) 4.1667 0.0051 0.1474 0.84% 3.32%
May-1999 404 12.7083 11.1793 424.2 383.8 4.9762 3.7571 25.39% 0.34% 0.0873 0.0149 -0.5869 -0.6592 0.7961 0.7237 1.45% 2.8561 0.17% 2.3340 -2.50% 4.0401 1.4681 1.5348 3.5148 (1.1793) 12.7083 0.0057 0.0153 (2.9798) 4.9762 0.0045 (0.0800) 0.74% (2.30%)
Jun-1999 426 12.4887 11.1174 447.3 404.7 4.9491 3.8025 21.09% 0.40% 0.0830 0.0097 -0.5826 -0.6559 0.7829 0.7096 1.70% 2.9046 2.02% 2.3811 5.44% 4.2600 1.4739 1.5447 3.7000 (11.1174) (9.5113) 0.0047 0.0138 (3.7571) 3.1491 0.0039 0.2140 0.65% 5.27%
Jul-1999 412 11.1971 9.4965 432.6 391.4 3.5648 2.4951 24.64% 0.38% 0.0961 0.0353 -0.7053 -0.7661 0.9387 0.8778 0.36% 2.9151 1.91% 2.4266 -3.20% 4.1235 1.4795 1.5574 3.5547 4.5035 11.1971 0.0068 0.0171 (3.8025) 3.5648 0.0043 (0.1423) 0.82% (3.93%)
Aug-1999 410 12.4645 10.9018 430.5 389.5 4.7918 3.5821 24.45% 0.39% 0.0890 0.0179 -0.5969 -0.6681 0.8101 0.7390 0.87% 2.9404 0.70% 2.4436 -0.63% 4.0977 1.4853 1.5689 3.5548 (8.9018) 12.4645 0.0059 0.0157 (2.4951) 4.7918 0.0046 0.0030 0.74% 0.00%
Sep-1999 398 12.3353 10.7395 417.9 378.1 4.7044 3.4914 25.41% 0.39% 0.0905 0.0200 -0.6007 -0.6713 0.8173 0.7467 0.66% 2.9598 0.85% 2.4644 -2.86% 3.9807 1.4911 1.5806 3.4432 1.2605 12.3353 0.0062 0.0160 (3.5821) 4.7044 0.0047 (0.1087) 0.75% (3.14%)
Oct-1999 423 12.4125 10.8634 444.15 401.85 4.9369 3.7080 22.20% 0.39% 0.0898 0.0165 -0.5753 -0.6487 0.7891 0.7158 1.05% 2.9909 0.44% 2.4752 6.25% 4.2297 1.4969 1.5920 3.6536 (10.8634) (12.5875) 0.0060 0.0156 (3.4914) (0.1631) 0.0048 0.2135 0.72% 6.11%
Nov-1999 431 11.6350 9.9885 452.55 409.45 3.9568 2.8410 24.18% 0.36% 0.0929 0.0288 -0.6684 -0.7325 0.8933 0.8292 1.54% 3.0370 1.05% 2.5012 1.91% 4.3103 1.5023 1.6041 3.7264 (9.9885) 3.6350 0.0064 0.0165 (3.7080) 3.9568 0.0044 0.0825 0.76% 1.99%
Dec-1999 456 12.7683 11.2195 478.8 433.2 4.8001 3.6022 23.40% 0.44% 0.0865 0.0167 -0.6125 -0.6823 0.8213 0.7515 0.32% 3.0467 2.39% 2.5610 5.78% 4.5596 1.5089 1.6155 3.9119 (11.2195) (12.2317) 0.0056 0.0155 (2.8410) 1.3501 0.0043 0.2351 0.71% 4.98%
Jan-2000 433 13.2862 11.2842 454.65 411.35 4.8340 3.4471 24.95% 0.41% 0.0989 0.0314 -0.6234 -0.6909 0.8583 0.7907 2.14% 3.1119 -1.19% 2.5305 -5.09% 4.3275 1.5151 1.6305 3.6932 11.7158 13.2862 0.0088 0.0201 (3.4022) 4.8340 0.0061 (0.2156) 0.93% (5.59%)
Feb-2000 424 13.3194 11.5478 445.2 402.8 5.2004 3.8479 23.37% 0.43% 0.0929 0.0209 -0.5845 -0.6565 0.8051 0.7331 0.13% 3.1159 2.26% 2.5877 -2.01% 4.2405 1.5216 1.6436 3.6178 (2.5478) 13.3194 0.0073 0.0178 (3.4471) 5.2004 0.0055 (0.0724) 0.81% (2.04%)
Mar-2000 465 12.3176 10.4984 488.25 441.75 4.4719 3.2037 23.67% 0.47% 0.0975 0.0300 -0.6257 -0.6932 0.8578 0.7903 1.77% 3.1711 0.48% 2.6001 9.67% 4.6507 1.5288 1.6571 3.8329 (10.4984) (28.6824) 0.0078 0.0183 (3.8479) (15.3281) 0.0055 0.2183 0.82% 5.95%
Apr-2000 451 13.7636 11.5832 473.55 428.45 5.0849 3.5870 26.20% 0.46% 0.1029 0.0346 -0.6111 -0.6794 0.8536 0.7853 0.27% 3.1797 2.64% 2.6688 -3.08% 4.5074 1.5358 1.6735 3.7087 2.4168 13.7636 0.0102 0.0219 (3.2037) 5.0849 0.0070 (0.1211) 0.99% (3.24%)
May-2000 441 14.6336 12.5638 463.05 418.95 6.0316 4.4323 23.65% 0.50% 0.0986 0.0230 -0.5465 -0.6221 0.7768 0.7012 1.30% 3.2210 0.27% 2.6760 -2.19% 4.4087 1.5435 1.6890 3.6302 (2.5638) 14.6336 0.0095 0.0208 (3.5870) 6.0316 0.0074 (0.0755) 0.93% (2.12%)
Jun-2000 451 13.1108 10.9113 473.55 428.45 4.8484 3.3679 19.54% 0.40% 0.1074 0.0391 -0.6073 -0.6755 0.8587 0.7904 0.73% 3.2445 1.50% 2.7161 2.39% 4.5142 1.5496 1.7056 3.7313 (10.9113) 3.1108 0.0110 0.0221 (4.4323) 4.8484 0.0074 0.1042 0.98% 2.79%
Jul-2000 444 11.0530 9.2526 466.2 421.8 3.1595 2.1399 20.74% 0.48% 0.0991 0.0427 -0.7658 -0.8223 1.0085 0.9521 0.58% 3.2633 -0.04% 2.7150 -1.63% 4.4404 1.5571 1.7189 3.6562 (2.2526) 11.0530 0.0072 0.0181 (3.3679) 3.1595 0.0041 (0.0720) 0.78% (2.01%)
Aug-2000 471 11.6751 9.5490 494.55 447.45 3.6583 2.4243 16.84% 0.50% 0.1101 0.0502 -0.7048 -0.7647 0.9668 0.9070 1.26% 3.3044 3.06% 2.7981 6.07% 4.7099 1.5649 1.7348 3.8902 (9.5490) (15.3249) 0.0102 0.0214 (2.1399) (1.1417) 0.0059 0.2372 0.93% 6.40%
Sep-2000 446 10.3335 7.9844 468.3 423.7 2.3466 1.3601 20.57% 0.51% 0.1272 0.0785 -0.8765 -0.9251 1.1823 1.1337 0.18% 3.3104 0.94% 2.8244 -5.35% 4.4581 1.5728 1.7525 3.6509 17.0156 10.3335 0.0117 0.0236 (0.9743) 2.3466 0.0049 (0.2362) 1.02% (6.15%)
Oct-2000 444 11.7103 9.4415 466.2 421.8 3.6377 2.3580 23.63% 0.56% 0.1156 0.0562 -0.7061 -0.7655 0.9794 0.9200 0.86% 3.3389 0.23% 2.8309 -0.50% 4.4360 1.5817 1.7696 3.6507 (7.4415) 11.7103 0.0116 0.0228 (1.3601) 3.6377 0.0065 0.0028 0.97% (0.01%)
Nov-2000 408 13.3270 10.8475 428.4 387.6 4.9427 3.3300 29.65% 0.51% 0.1162 0.0480 -0.5991 -0.6673 0.8681 0.7999 0.62% 3.3596 1.03% 2.8600 -8.01% 4.0808 1.5897 1.7884 3.4518 25.1525 13.3270 0.0139 0.0249 11.4420 4.9427 0.0090 (0.1961) 1.06% (5.45%)
Dec-2000 410 14.9544 12.8789 430.5 389.5 6.9423 5.1952 26.85% 0.50% 0.1024 0.0168 -0.4676 -0.5532 0.7017 0.6161 0.36% 3.3716 2.58% 2.9338 0.41% 4.0973 1.5977 1.8038 3.5051 (12.8789) 12.9544 0.0106 0.0209 (3.3300) 6.9423 0.0089 0.0562 0.87% 1.54%
Jan-2001 424 13.6919 11.6470 445.2 402.8 5.7953 4.2196 22.02% 0.54% 0.1033 0.0258 -0.5262 -0.6037 0.7650 0.6875 2.14% 3.4438 -1.57% 2.8878 3.46% 4.2392 1.6063 1.8191 3.6481 (11.6470) (0.3081) 0.0102 0.0206 (5.1952) 5.7953 0.0079 0.1461 0.84% 4.08%
Feb-2001 385 11.9019 9.6185 404.25 365.75 4.0515 2.6698 28.35% 0.39% 0.1167 0.0532 -0.6508 -0.7144 0.9237 0.8601 0.08% 3.4466 2.07% 2.9476 -9.23% 3.8480 1.6126 1.8362 3.4316 29.3815 11.9019 0.0123 0.0230 13.5804 4.0515 0.0075 (0.2136) 0.94% (5.93%)
Mar-2001 360 13.3055 11.8069 378 342 5.9020 4.5701 28.64% 0.44% 0.0886 0.0067 -0.5076 -0.5894 0.7153 0.6335 1.07% 3.4834 1.77% 2.9997 -6.42% 3.6009 1.6197 1.8470 3.2688 13.1931 13.3055 0.0058 0.0150 3.0802 5.9020 0.0052 (0.1601) 0.59% (4.75%)
Apr-2001 388 12.6515 11.0710 407.4 368.6 5.6774 4.3216 25.48% 0.39% 0.0946 0.0119 -0.4956 -0.5783 0.7150 0.6323 1.26% 3.5273 0.06% 3.0015 7.68% 3.8775 1.6260 1.8585 3.4570 (11.0710) (15.3485) 0.0070 0.0159 (4.5701) (4.3226) 0.0060 0.1911 0.62% 5.76%
May-2001 390 12.1318 10.6216 409.5 370.5 4.8393 3.6377 22.64% 0.32% 0.0898 0.0162 -0.5735 -0.6471 0.7872 0.7136 0.26% 3.5365 0.28% 3.0099 0.51% 3.8973 1.6312 1.8693 3.4793 (10.6216) 10.1318 0.0059 0.0152 (4.3216) 4.8393 0.0047 0.0252 0.59% 0.65%
Jun-2001 380 10.7857 9.5397 399 361 3.7401 2.8072 19.06% 0.28% 0.0816 0.0163 -0.6649 -0.7302 0.8665 0.8011 0.17% 3.5425 0.36% 3.0208 -2.50% 3.7998 1.6357 1.8781 3.3776 0.4603 10.7857 0.0040 0.0125 (3.6377) 3.7401 0.0030 (0.0989) 0.47% (2.92%)
Jul-2001 376 8.8705 7.8080 394.8 357.2 2.4126 1.7502 21.62% 0.30% 0.0784 0.0234 -0.8083 -0.8634 1.0106 0.9556 0.38% 3.5560 0.45% 3.0344 -1.08% 3.7589 1.6407 1.8853 3.3309 (3.8080) 8.8705 0.0030 0.0107 (2.8072) 2.4126 0.0019 (0.0439) 0.39% (1.38%)
Aug-2001 352 9.9203 8.7940 369.6 334.4 3.2382 2.4222 24.92% 0.31% 0.0793 0.0169 -0.7025 -0.7649 0.9011 0.8387 0.94% 3.5894 1.73% 3.0869 -6.41% 3.5179 1.6457 1.8931 3.1551 15.2060 9.9203 0.0034 0.0113 3.4498 3.2382 0.0024 (0.1731) 0.41% (5.28%)
Sep-2001 323 10.6384 9.5489 339.15 306.85 4.1240 3.1971 31.93% 0.28% 0.0791 0.0071 -0.5992 -0.6711 0.7921 0.7201 0.66% 3.6131 1.31% 3.1273 -8.17% 3.2304 1.6503 1.9006 2.9937 19.4511 10.6384 0.0034 0.0109 8.9778 4.1240 0.0029 (0.1590) 0.39% (5.12%)
Oct-2001 329 12.3136 11.4105 345.45 312.55 6.0324 4.9902 33.56% 0.22% 0.0765 -0.0157 -0.4529 -0.5450 0.6329 0.5408 1.22% 3.6572 0.01% 3.1276 1.81% 3.2889 1.6540 1.9066 3.0795 (11.4105) 6.3136 0.0025 0.0091 (3.1971) 6.0324 0.0029 0.0884 0.31% 2.87%
Nov-2001 354 13.0614 12.3384 371.7 336.3 6.6434 5.6498 24.92% 0.17% 0.0711 -0.0257 -0.4325 -0.5293 0.6006 0.5037 1.14% 3.6989 -0.36% 3.1163 7.52% 3.5361 1.6568 1.9111 3.2578 (12.3384) (11.9386) 0.0016 0.0072 (4.9902) (1.9066) 0.0022 0.1811 0.24% 5.79%
Dec-2001 356 10.4521 9.8508 373.8 338.2 4.0187 3.3274 23.80% 0.15% 0.0596 -0.0123 -0.6186 -0.6906 0.7726 0.7007 0.12% 3.7033 0.46% 3.1307 0.76% 3.5629 1.6593 1.9146 3.2588 (9.8508) 8.4521 0.0010 0.0060 (5.6498) 4.0187 0.0012 0.0037 0.19% 0.03%
Jan-2002 351 10.0176 9.4840 368.55 333.45 3.6484 3.0254 21.09% 0.14% 0.0562 -0.0125 -0.6540 -0.7227 0.8028 0.7341 -0.04% 3.7018 0.76% 3.1545 -1.56% 3.5074 1.6616 1.9176 3.2094 (4.4840) 10.0176 0.0008 0.0053 (3.3274) 3.6484 0.0009 (0.0468) 0.16% (1.52%)
Feb-2002 343 8.7657 8.2746 360.15 325.85 2.7312 2.2252 21.59% 0.13% 0.0534 -0.0074 -0.7480 -0.8088 0.8959 0.8351 0.53% 3.7214 -0.22% 3.1475 -2.08% 3.4346 1.6638 1.9203 3.1238 (0.2746) 8.7657 0.0007 0.0049 (3.0254) 2.7312 0.0007 (0.0829) 0.14% (2.67%)
Mar-2002 356 8.7461 8.3005 373.8 338.2 2.8117 2.3146 17.40% 0.13% 0.0520 -0.0103 -0.7308 -0.7931 0.8750 0.8127 0.39% 3.7360 0.06% 3.1493 3.67% 3.5608 1.6659 1.9226 3.2570 (8.3005) (4.2539) 0.0006 0.0045 (2.2252) 2.8117 0.0006 0.1359 0.12% 4.26%
Apr-2002 334 7.3620 6.8995 350.7 317.3 1.6904 1.3254 21.91% 0.15% 0.0510 0.0008 -0.9203 -0.9706 1.0722 1.0219 1.09% 3.7767 0.99% 3.1805 -6.14% 3.3421 1.6684 1.9250 3.0702 15.1005 7.3620 0.0006 0.0046 1.8854 1.6904 0.0005 (0.1842) 0.13% (5.74%)
May-2002 331 8.6726 8.1720 347.55 314.45 2.8478 2.3249 19.98% 0.14% 0.0553 -0.0079 -0.7161 -0.7793 0.8663 0.8031 2.05% 3.8541 0.03% 3.1815 -0.91% 3.3117 1.6708 1.9277 3.0529 (5.1720) 8.6726 0.0008 0.0050 (1.3254) 2.8478 0.0008 (0.0148) 0.14% (0.56%)
Jun-2002 307 7.8437 7.3806 322.35 291.65 2.2610 1.8210 25.40% 0.13% 0.0531 -0.0046 -0.7928 -0.8505 0.9424 0.8847 0.19% 3.8614 0.05% 3.1831 -7.25% 3.0718 1.6729 1.9301 2.8843 16.6194 7.8437 0.0006 0.0046 5.1251 2.2610 0.0006 (0.1661) 0.13% (5.52%)
Jul-2002 283 9.1733 8.7745 297.15 268.85 3.5940 3.0410 32.03% 0.15% 0.0544 -0.0189 -0.6110 -0.6843 0.7539 0.6806 3.29% 3.9885 -0.27% 3.1745 -7.90% 2.8291 1.6754 1.9320 2.7463 15.2255 9.1733 0.0005 0.0040 6.8290 3.5940 0.0007 (0.1358) 0.10% (4.79%)
Aug-2002 284 10.6410 10.2168 298.2 269.8 5.2027 4.5026 32.64% 0.14% 0.0625 -0.0300 -0.4652 -0.5577 0.6172 0.5247 -0.13% 3.9833 0.53% 3.1914 0.49% 2.8429 1.6778 1.9341 2.7756 (10.2168) 9.6410 0.0006 0.0042 (3.0410) 5.2027 0.0011 0.0316 0.11% 1.07%
Sep-2002 253 10.8639 10.4666 265.65 240.35 5.3919 4.6921 39.69% 0.14% 0.0620 -0.0323 -0.4558 -0.5501 0.6063 0.5121 0.06% 3.9857 -0.25% 3.1836 -11.00% 2.5301 1.6801 1.9360 2.6403 20.5334 10.8639 0.0006 0.0040 12.2974 5.3919 0.0010 (0.1331) 0.10% (4.87%)
Oct-2002 275 11.7278 11.3738 288.75 261.25 6.6964 5.9370 31.14% 0.14% 0.0695 -0.0451 -0.3563 -0.4709 0.5172 0.4026 0.66% 4.0120 -0.29% 3.1744 8.64% 2.7488 1.6825 1.9376 2.7845 (11.3738) (10.2722) 0.0005 0.0035 (4.6921) (2.6536) 0.0011 0.1466 0.08% 5.46%
Nov-2002 291 10.0455 9.6607 305.55 276.45 4.7954 4.1511 27.50% 0.12% 0.0605 -0.0294 -0.4822 -0.5721 0.6311 0.5412 0.09% 4.0156 -0.91% 3.1454 5.71% 2.9057 1.6845 1.9394 2.9082 (9.6607) (5.9545) 0.0005 0.0039 (5.9370) 2.5454 0.0009 0.1261 0.09% 4.44%
Dec-2002 273 9.3837 9.0347 286.65 259.35 3.9921 3.4300 28.62% 0.11% 0.0548 -0.0246 -0.5598 -0.6392 0.7009 0.6216 0.00% 4.0156 0.51% 3.1614 -6.03% 2.7304 1.6864 1.9409 2.7588 8.9653 9.3837 0.0004 0.0035 (0.7011) 3.9921 0.0007 (0.1471) 0.08% (5.14%)
Jan-2003 266 9.1415 8.8413 279.3 252.7 4.0406 3.5028 31.17% 0.10% 0.0546 -0.0280 -0.5359 -0.6185 0.6755 0.5928 -0.35% 4.0015 0.30% 3.1707 -2.74% 2.6556 1.6880 1.9420 2.6927 (1.8413) 9.1415 0.0003 0.0030 (3.4300) 4.0406 0.0006 (0.0639) 0.06% (2.40%)
Feb-2003 261 9.6741 9.4082 274.05 247.95 4.6150 4.0526 29.63% 0.09% 0.0561 -0.0339 -0.4861 -0.5761 0.6262 0.5362 -0.05% 3.9995 -0.18% 3.1649 -1.70% 2.6104 1.6896 1.9428 2.6516 (4.4082) 9.6741 0.0003 0.0027 (3.5028) 4.6150 0.0006 (0.0389) 0.04% (1.53%)
Mar-2003 263 9.0174 8.7826 276.15 249.85 4.1125 3.6063 29.15% 0.10% 0.0533 -0.0322 -0.5171 -0.6027 0.6530 0.5674 1.85% 4.0735 -0.05% 3.1635 0.84% 2.6322 1.6912 1.9434 2.6700 (8.7826) 7.0174 0.0002 0.0024 (4.0526) 4.1125 0.0005 0.0206 0.03% 0.69%
Apr-2003 285 8.9541 8.6912 299.25 270.75 4.0246 3.5098 21.21% 0.10% 0.0540 -0.0302 -0.5259 -0.6100 0.6635 0.5794 0.03% 4.0747 0.36% 3.1749 8.10% 2.8455 1.6929 1.9442 2.8033 (8.6912) (13.0459) 0.0003 0.0026 (3.6063) (4.8254) 0.0005 0.1357 0.04% 4.99%
May-2003 299 7.1003 6.8155 313.95 284.05 2.2224 1.8553 19.47% 0.09% 0.0469 -0.0143 -0.7499 -0.8111 0.8847 0.8235 0.90% 4.1114 0.35% 3.1860 5.09% 2.9904 1.6945 1.9452 2.9280 (6.8155) (6.8997) 0.0003 0.0029 (3.5098) 2.2224 0.0004 0.1271 0.05% 4.45%
Jun-2003 302 6.8358 6.5668 317.1 286.9 1.8854 1.5594 19.52% 0.10% 0.0441 -0.0121 -0.8240 -0.8802 0.9567 0.9005 0.93% 4.1496 0.40% 3.1987 1.13% 3.0242 1.6962 1.9460 2.9558 (6.5668) 3.8358 0.0002 0.0027 (1.8553) 1.8854 0.0003 0.0303 0.04% 0.95%
Jul-2003 307 6.9367 6.6349 322.35 291.65 1.9228 1.5808 19.49% 0.07% 0.0459 -0.0104 -0.8199 -0.8763 0.9562 0.8998 1.37% 4.2065 -0.44% 3.1845 1.62% 3.0733 1.6973 1.9472 3.0070 (6.6349) 1.9367 0.0003 0.0030 (1.5594) 1.9228 0.0003 0.0536 0.06% 1.73%
Aug-2003 313 6.9954 6.7806 328.65 297.35 1.9287 1.6164 18.63% 0.07% 0.0406 -0.0157 -0.8266 -0.8829 0.9522 0.8960 0.16% 4.2132 0.13% 3.1887 1.79% 3.1282 1.6985 1.9476 3.0679 (6.7806) 0.9954 0.0002 0.0021 (1.5808) 1.9287 0.0002 0.0635 0.02% 2.03%
Sep-2003 309 6.8224 6.6034 324.45 293.55 1.7498 1.4548 22.72% 0.08% 0.0399 -0.0139 -0.8673 -0.9211 0.9937 0.9399 0.86% 4.2495 0.60% 3.2077 -1.19% 3.0909 1.6999 1.9480 3.0267 (2.6034) 6.8224 0.0002 0.0022 (1.6164) 1.7498 0.0002 (0.0387) 0.02% (1.34%)
Oct-2003 326 8.2046 7.9575 342.3 309.7 2.8091 2.3969 16.10% 0.07% 0.0450 -0.0206 -0.6989 -0.7645 0.8271 0.7615 1.26% 4.3030 1.06% 3.2416 5.50% 3.2607 1.7011 1.9487 3.1921 (7.9575) (8.7954) 0.0002 0.0025 (1.4548) 1.2591 0.0003 0.1680 0.03% 5.46%
Nov-2003 328 6.1566 5.9285 344.4 311.6 1.2096 0.9759 16.32% 0.07% 0.0383 -0.0082 -1.0115 -1.0580 1.1419 1.0955 -0.14% 4.2970 0.20% 3.2482 0.71% 3.2840 1.7023 1.9492 3.1976 (5.9285) 4.1566 0.0002 0.0023 (2.3969) 1.2096 0.0002 0.0081 0.03% 0.17%
Dec-2003 345 6.2774 6.0479 362.25 327.75 1.2672 1.0256 18.31% 0.08% 0.0384 -0.0087 -0.9972 -1.0443 1.1272 1.0801 0.25% 4.3077 -0.29% 3.2386 5.08% 3.4507 1.7036 1.9498 3.3617 (6.0479) (10.7226) 0.0002 0.0023 (0.9759) 0.6672 0.0002 0.1669 0.03% 5.13%
Jan-2004 351 7.4099 7.1340 368.55 333.45 1.8484 1.5210 16.63% 0.07% 0.0416 -0.0113 -0.8815 -0.9344 1.0120 0.9591 0.88% 4.3456 1.07% 3.2734 1.73% 3.5103 1.7048 1.9507 3.4270 (7.1340) 1.4099 0.0002 0.0028 (1.0256) 1.8484 0.0003 0.0682 0.05% 1.94%
Feb-2004 355 6.8428 6.5972 372.75 337.25 1.4330 1.1647 14.55% 0.06% 0.0386 -0.0094 -0.9777 -1.0257 1.1070 1.0590 0.44% 4.3647 0.57% 3.2920 1.22% 3.5532 1.7059 1.9513 3.4633 (6.5972) 2.8428 0.0002 0.0025 (1.5210) 1.4330 0.0002 0.0391 0.03% 1.06%
Mar-2004 350 6.0534 5.8405 367.5 332.5 0.9536 0.7574 16.74% 0.09% 0.0353 -0.0067 -1.1263 -1.1683 1.2565 1.2145 -0.01% 4.3643 0.41% 3.3053 -1.64% 3.4951 1.7074 1.9517 3.4083 (0.8405) 6.0534 0.0001 0.0021 (1.1647) 0.9536 0.0001 (0.0521) 0.02% (1.59%)
Apr-2004 344 6.9024 6.5875 361.2 326.8 1.4679 1.1758 17.19% 0.08% 0.0428 -0.0055 -0.9669 -1.0152 1.1042 1.0559 0.37% 4.3805 -1.15% 3.2675 -1.68% 3.4364 1.7088 1.9530 3.3526 (0.5875) 6.9024 0.0003 0.0032 (0.7574) 1.4679 0.0003 (0.0529) 0.06% (1.63%)
May-2004 348 6.9451 6.6700 365.4 330.6 1.5501 1.2590 15.50% 0.06% 0.0409 -0.0087 -0.9423 -0.9919 1.0746 1.0250 0.59% 4.4063 0.35% 3.2787 1.21% 3.4779 1.7098 1.9539 3.3935 (6.6700) 2.9451 0.0002 0.0028 (1.1758) 1.5501 0.0002 0.0437 0.05% 1.22%
Jun-2004 354 6.3145 6.1058 371.7 336.3 1.1450 0.9237 14.34% 0.08% 0.0358 -0.0090 -1.0546 -1.0994 1.1821 1.1374 1.21% 4.4596 0.38% 3.2910 1.80% 3.5405 1.7111 1.9542 3.4495 (6.1058) 0.3145 0.0001 0.0021 (1.2590) 1.1450 0.0001 0.0589 0.02% 1.65%
Jul-2004 342 5.9861 5.7030 359.1 324.9 0.9147 0.7095 15.32% 0.10% 0.0400 -0.0014 -1.1386 -1.1800 1.2791 1.2377 0.02% 4.4605 0.18% 3.2971 -3.43% 3.4190 1.7129 1.9552 3.3267 6.2970 5.9861 0.0002 0.0028 (0.9237) 0.9147 0.0002 (0.1201) 0.05% (3.56%)
Aug-2004 343 6.2029 5.8611 360.15 325.85 1.1042 0.8567 15.29% 0.11% 0.0447 0.0005 -1.0585 -1.1027 1.2045 1.1603 1.26% 4.5167 -0.23% 3.2897 0.23% 3.4269 1.7147 1.9566 3.3378 (5.8611) 5.2029 0.0003 0.0034 (0.7095) 1.1042 0.0002 0.0139 0.07% 0.34%
Sep-2004 346 6.2264 5.8493 363.3 328.7 1.1055 0.8495 13.34% 0.11% 0.0470 0.0029 -1.0584 -1.1025 1.2091 1.1650 0.46% 4.5375 0.79% 3.3156 0.94% 3.4590 1.7166 1.9583 3.3675 (5.8493) 3.2264 0.0004 0.0038 (0.8567) 1.1055 0.0003 0.0325 0.09% 0.89%
Oct-2004 351 5.5047 5.1243 368.55 333.45 0.7071 0.5188 16.27% 0.11% 0.0478 0.0093 -1.2192 -1.2577 1.3798 1.3413 0.03% 4.5389 -0.01% 3.3154 1.40% 3.5074 1.7185 1.9601 3.4132 (5.1243) 0.5047 0.0004 0.0038 (0.8495) 0.7071 0.0002 0.0486 0.09% 1.36%
Nov-2004 364 6.7673 6.3814 382.2 345.8 1.3657 1.0684 13.24% 0.15% 0.0469 -0.0001 -0.9919 -1.0389 1.1390 1.0920 0.79% 4.5747 1.31% 3.3588 3.86% 3.6427 1.7211 1.9618 3.5488 (6.3814) (6.2327) 0.0004 0.0039 (0.5188) 1.3657 0.0003 0.1385 0.09% 3.97%
Dec-2004 376 5.8228 5.2772 394.8 357.2 0.7399 0.5176 13.29% 0.16% 0.0584 0.0201 -1.2182 -1.2564 1.4004 1.3622 0.24% 4.5857 0.43% 3.3730 3.25% 3.7610 1.7238 1.9649 3.6624 (5.2772) (6.1772) 0.0008 0.0055 (1.0684) 0.7399 0.0003 0.1167 0.16% 3.20%
Jan-2005 367 6.0554 5.4543 385.35 348.65 0.7787 0.5397 12.82% 0.16% 0.0609 0.0225 -1.2109 -1.2492 1.3979 1.3595 0.51% 4.6091 0.64% 3.3945 -2.53% 3.6659 1.7266 1.9684 3.5721 3.5457 6.0554 0.0010 0.0060 (0.5176) 0.7787 0.0004 (0.0874) 0.18% (2.47%)
Feb-2005 374 5.7122 5.1255 392.7 355.3 0.6673 0.4546 12.08% 0.16% 0.0617 0.0247 -1.2566 -1.2936 1.4477 1.4107 0.37% 4.6261 1.16% 3.4339 1.89% 3.7352 1.7294 1.9718 3.6403 (5.1255) (1.2878) 0.0009 0.0059 (0.5397) 0.6673 0.0003 0.0713 0.17% 1.91%
Mar-2005 366 5.5031 4.9051 384.3 347.7 0.5422 0.3582 14.02% 0.21% 0.0633 0.0284 -1.3358 -1.3707 1.5342 1.4994 0.85% 4.6655 0.10% 3.4372 -1.91% 3.6638 1.7330 1.9753 3.5582 3.0949 5.5031 0.0010 0.0060 (0.4546) 0.5422 0.0003 (0.0791) 0.18% (2.25%)
Apr-2005 359 6.2947 5.5269 376.95 341.05 0.9347 0.6301 15.31% 0.21% 0.0721 0.0317 -1.1334 -1.1739 1.3395 1.2990 0.14% 4.6720 -0.38% 3.4240 -2.01% 3.5901 1.7366 1.9801 3.4911 1.4731 6.2947 0.0016 0.0077 (0.3582) 0.9347 0.0006 (0.0642) 0.24% (1.89%)
May-2005 370 6.7063 5.9532 388.5 351.5 1.2137 0.8523 13.29% 0.24% 0.0696 0.0254 -1.0343 -1.0785 1.2302 1.1860 0.63% 4.7014 0.58% 3.4438 3.00% 3.6977 1.7408 1.9848 3.6039 (5.9532) (4.2937) 0.0016 0.0075 (0.6301) 1.2137 0.0008 0.1158 0.24% 3.23%
Jun-2005 370 6.1104 5.2235 388.5 351.5 0.7997 0.5072 12.04% 0.23% 0.0817 0.0434 -1.1900 -1.2284 1.4187 1.3804 0.46% 4.7230 0.84% 3.4726 -0.01% 3.6971 1.7448 1.9906 3.6004 (5.2235) 6.1104 0.0021 0.0089 (0.8523) 0.7997 0.0007 (0.0005) 0.29% (0.10%)
Jul-2005 383 5.5604 4.7104 402.15 363.85 0.5529 0.3332 11.57% 0.24% 0.0836 0.0488 -1.3202 -1.3550 1.5593 1.5246 0.13% 4.7292 0.82% 3.5010 3.60% 3.8301 1.7490 1.9961 3.7277 (4.7104) (7.4396) 0.0020 0.0085 (0.5072) 0.5529 0.0005 0.1305 0.28% 3.54%
Aug-2005 379 5.5692 4.6511 397.95 360.05 0.4918 0.2843 12.60% 0.30% 0.0886 0.0552 -1.3722 -1.4056 1.6243 1.5909 0.16% 4.7368 0.56% 3.5207 -1.12% 3.7871 1.7542 2.0021 3.6863 (0.6511) 5.5692 0.0022 0.0092 (0.3332) 0.4918 0.0005 (0.0384) 0.30% (1.11%)
Sep-2005 381 6.0773 4.9421 400.05 361.95 0.7003 0.3997 11.92% 0.29% 0.1007 0.0643 -1.2407 -1.2771 1.5109 1.4745 0.89% 4.7789 0.95% 3.5542 0.69% 3.8135 1.7593 2.0099 3.7073 (4.9421) 4.0773 0.0034 0.0114 (0.2843) 0.7003 0.0009 0.0242 0.39% 0.57%
Oct-2005 375 5.7926 4.6893 393.75 356.25 0.5683 0.3145 15.32% 0.27% 0.1015 0.0671 -1.3164 -1.3508 1.5921 1.5577 1.61% 4.8558 -0.30% 3.5436 -1.77% 3.7458 1.7641 2.0174 3.6460 1.3107 5.7926 0.0032 0.0111 (0.3997) 0.5683 0.0007 (0.0583) 0.37% (1.65%)
Nov-2005 388 7.1246 6.1135 407.4 368.6 1.3038 0.8674 12.06% 0.31% 0.0832 0.0389 -1.0201 -1.0643 1.2430 1.1988 0.75% 4.8923 0.56% 3.5636 3.52% 3.8776 1.7696 2.0241 3.7827 (6.1135) (5.8754) 0.0027 0.0101 (0.3145) 1.3038 0.0012 0.1399 0.34% 3.75%
Dec-2005 387 6.0021 4.8011 406.35 367.65 0.6127 0.3336 12.07% 0.32% 0.1065 0.0716 -1.2950 -1.3298 1.5798 1.5450 0.54% 4.9187 0.54% 3.5830 -0.10% 3.8739 1.7752 2.0324 3.7671 (3.8011) 6.0021 0.0037 0.0120 (0.8674) 0.6127 0.0009 (0.0125) 0.41% (0.41%)
Jan-2006 397 6.0114 4.7750 416.85 377.15 0.6168 0.3318 12.95% 0.35% 0.1093 0.0744 -1.2910 -1.3259 1.5814 1.5465 0.70% 4.9531 1.45% 3.6350 2.55% 3.9726 1.7814 2.0410 3.8667 (4.7750) (3.9886) 0.0040 0.0124 (0.3336) 0.6168 0.0009 0.1028 0.42% 2.64%
Feb-2006 397 6.6295 5.2424 416.85 377.15 0.8317 0.4573 12.34% 0.34% 0.1123 0.0749 -1.1928 -1.2302 1.4844 1.4470 0.20% 4.9630 0.27% 3.6449 0.05% 3.9744 1.7875 2.0507 3.8685 (5.2424) 6.6295 0.0049 0.0139 (0.3318) 0.8317 0.0013 0.0050 0.48% 0.05%
Mar-2006 404 6.3314 4.9839 424.2 383.8 0.6955 0.3718 11.39% 0.37% 0.1133 0.0776 -1.2564 -1.2920 1.5532 1.5175 1.31% 5.0280 0.91% 3.6781 1.74% 4.0433 1.7941 2.0602 3.9324 (4.9839) (0.6686) 0.0046 0.0135 (0.4573) 0.6955 0.0011 0.0724 0.46% 1.65%
Apr-2006 407 6.0688 4.5768 427.35 386.65 0.5304 0.2526 11.59% 0.36% 0.1290 0.0961 -1.3549 -1.3878 1.6890 1.6561 0.94% 5.0753 1.29% 3.7256 0.59% 4.0673 1.8006 2.0708 3.9551 (4.5768) 3.0688 0.0055 0.0150 (0.3718) 0.5304 0.0010 0.0316 0.51% 0.58%
May-2006 394 6.1851 4.7225 413.7 374.3 0.5687 0.2795 16.44% 0.43% 0.1243 0.0909 -1.3339 -1.3674 1.6574 1.6240 0.70% 5.1108 -0.07% 3.7229 -3.09% 3.9414 1.8083 2.0811 3.8251 8.2775 6.1851 0.0053 0.0147 (0.2526) 0.5687 0.0010 (0.1268) 0.50% (3.29%)
Jun-2006 394 8.3187 6.6282 413.7 374.3 1.7915 1.0813 13.08% 0.40% 0.1143 0.0669 -0.9137 -0.9612 1.1951 1.1477 0.51% 5.1369 0.63% 3.7463 0.00% 3.9415 1.8155 2.0933 3.8370 (6.6282) 8.3187 0.0073 0.0170 (0.2795) 1.7915 0.0031 0.0152 0.59% 0.31%
Jul-2006 397 6.7425 5.1696 416.85 377.15 0.8778 0.4597 14.95% 0.40% 0.1248 0.0871 -1.1673 -1.2051 1.4833 1.4455 1.06% 5.1913 0.36% 3.7599 0.67% 3.9678 1.8228 2.1045 3.8618 (5.1696) 3.7425 0.0063 0.0158 (1.0813) 0.8778 0.0017 0.0280 0.54% 0.65%
Aug-2006 405 7.6427 6.0579 425.25 384.75 1.3574 0.7895 12.31% 0.42% 0.1143 0.0711 -1.0163 -1.0594 1.3028 1.2596 0.77% 5.2313 0.06% 3.7621 1.98% 4.0462 1.8304 2.1159 3.9475 (6.0579) (0.3573) 0.0063 0.0159 (0.4597) 1.3574 0.0023 0.0890 0.54% 2.22%
Sep-2006 415 6.6179 4.9205 435.75 394.25 0.7370 0.3559 11.98% 0.41% 0.1360 0.1004 -1.2370 -1.2726 1.5794 1.5438 0.68% 5.2669 0.21% 3.7700 2.46% 4.1455 1.8380 2.1281 4.0259 (4.9205) (3.3821) 0.0071 0.0170 (0.7895) 0.7370 0.0016 0.0995 0.58% 1.99%
Oct-2006 428 6.6028 4.9047 449.4 406.6 0.6792 0.3231 11.10% 0.41% 0.1358 0.1013 -1.2750 -1.3095 1.6190 1.5844 0.42% 5.2890 0.67% 3.7954 3.14% 4.2757 1.8455 2.1403 4.1297 (4.9047) (6.3972) 0.0070 0.0170 (0.3559) 0.6792 0.0015 0.1332 0.57% 2.58%
Nov-2006 435 6.3801 4.6288 456.75 413.25 0.5202 0.2274 10.91% 0.42% 0.1440 0.1119 -1.3787 -1.4107 1.7447 1.7127 0.86% 5.3345 0.48% 3.8138 1.66% 4.3467 1.8532 2.1529 4.1845 (4.6288) (0.6199) 0.0072 0.0176 (0.3231) 0.5202 0.0012 0.0720 0.59% 1.33%
Dec-2006 440 6.4139 4.5907 462 418 0.4960 0.2092 11.56% 0.40% 0.1491 0.1176 -1.4001 -1.4316 1.7777 1.7463 0.86% 5.3804 0.82% 3.8453 1.24% 4.4007 1.8607 2.1661 4.2238 (4.5907) 1.4139 0.0077 0.0183 (0.2274) 0.4960 0.0012 0.0527 0.61% 0.94%
Jan-2007 446 6.7660 5.0095 468.3 423.7 0.6245 0.2899 10.42% 0.44% 0.1366 0.1032 -1.3255 -1.3589 1.6736 1.6402 0.29% 5.3960 0.84% 3.8775 1.40% 4.4623 1.8688 2.1788 4.2723 (5.0095) 0.7660 0.0070 0.0176 (0.2092) 0.6245 0.0013 0.0642 0.58% 1.15%
Feb-2007 437 6.3762 4.4181 458.85 415.15 0.4247 0.1634 15.42% 0.38% 0.1613 0.1312 -1.4607 -1.4908 1.8665 1.8365 -0.11% 5.3900 0.23% 3.8866 -2.16% 4.3658 1.8759 2.1930 4.1802 4.5819 6.3762 0.0086 0.0197 (0.2899) 0.4247 0.0011 (0.0886) 0.65% (2.16%)
Mar-2007 441 8.6020 6.9445 463.05 418.95 1.6238 0.9821 14.64% 0.43% 0.1076 0.0631 -0.9884 -1.0330 1.2599 1.2154 1.64% 5.4784 0.92% 3.9224 1.00% 4.4094 1.8840 2.2049 4.2313 (6.9445) 4.6020 0.0063 0.0166 (0.1634) 1.6238 0.0024 0.0546 0.54% 1.22%
Apr-2007 460 8.4033 6.5111 483 437 1.4344 0.7984 14.22% 0.44% 0.1229 0.0806 -1.0316 -1.0739 1.3366 1.2943 0.98% 5.5321 0.77% 3.9525 4.33% 4.6003 1.8923 2.2186 4.3922 (6.5111) (10.5967) 0.0081 0.0190 (0.9821) 1.4344 0.0027 0.1946 0.62% 3.80%
May-2007 475 8.5690 6.5494 498.75 451.25 1.3741 0.7401 13.05% 0.41% 0.1277 0.0867 -1.0609 -1.1019 1.3773 1.3362 0.81% 5.5769 1.26% 4.0023 3.25% 4.7501 1.9001 2.2333 4.5138 (6.5494) (6.4310) 0.0089 0.0203 (0.7984) 1.3741 0.0028 0.1558 0.66% 2.77%
Jun-2007 467 8.1376 6.1941 490.35 443.65 1.0557 0.5454 16.23% 0.40% 0.1277 0.0900 -1.1675 -1.2051 1.4892 1.4516 0.34% 5.5959 0.71% 4.0307 -1.70% 4.6695 1.9077 2.2474 4.4332 1.8059 8.1376 0.0080 0.0195 (0.7401) 1.0557 0.0021 (0.0768) 0.63% (1.78%)
Jul-2007 452 9.6744 7.8102 474.6 429.4 2.0254 1.2432 23.52% 0.40% 0.1088 0.0619 -0.9326 -0.9794 1.2036 1.1567 0.17% 5.6054 -0.05% 4.0287 -3.29% 4.5160 1.9153 2.2609 4.2945 7.1898 9.6744 0.0075 0.0187 (0.5454) 2.0254 0.0031 (0.1352) 0.60% (3.13%)
Aug-2007 457 13.1398 11.3354 479.85 434.15 4.7968 3.4972 23.38% 0.42% 0.0929 0.0250 -0.6257 -0.6936 0.8483 0.7804 0.31% 5.6228 -1.26% 3.9780 1.29% 4.5742 1.9233 2.2739 4.3764 (11.3354) 8.1398 0.0072 0.0181 (1.2432) 4.7968 0.0052 0.0856 0.57% 1.91%
Sep-2007 474 13.2583 11.3429 497.7 450.3 4.8126 3.4660 18.00% 0.32% 0.0960 0.0285 -0.6269 -0.6944 0.8560 0.7885 0.97% 5.6773 0.72% 4.0067 3.62% 4.7398 1.9295 2.2877 4.5474 (11.3429) (3.7417) 0.0080 0.0192 (3.4972) 4.8126 0.0057 0.1832 0.61% 3.91%
Oct-2007 480 10.5848 9.0705 504 456 2.6367 1.8180 18.53% 0.32% 0.0876 0.0356 -0.8514 -0.9034 1.0747 1.0227 0.46% 5.7034 0.90% 4.0427 1.21% 4.7972 1.9357 2.2983 4.5858 (9.0705) 4.5848 0.0048 0.0152 (3.4660) 2.6367 0.0026 0.0517 0.46% 0.84%
Nov-2007 459 11.0107 9.4771 481.95 436.05 2.8762 2.0081 22.87% 0.34% 0.0866 0.0331 -0.8255 -0.8790 1.0455 0.9920 1.04% 5.7628 -0.30% 4.0308 -4.28% 4.5918 1.9422 2.3091 4.3827 11.5229 11.0107 0.0049 0.0154 (1.8180) 2.8762 0.0028 (0.1994) 0.47% (4.43%)
Dec-2007 456 12.8615 11.3035 478.8 433.2 4.5221 3.3691 22.50% 0.27% 0.0845 0.0185 -0.6545 -0.7205 0.8614 0.7954 0.23% 5.7760 0.45% 4.0489 -0.79% 4.5557 1.9475 2.3201 4.3742 (8.3035) 12.8615 0.0053 0.0156 (2.0081) 4.5221 0.0039 (0.0048) 0.47% (0.19%)

Setting

Portfolio Volatility Sharpe Ratio Securities and options transaction fees 0
Fairfield Guard 2.47% 3.08 Incentive Fee 20%
S&P 500 Index 13.34% 0.46 Management Fee 1%
HFRI EH Index 3.06% 1.75
OTM 11.24% 0.52 Participant Rate 100%
ATM 0.90% 2.05

ATM

Back-Testing of ATM Collar Strategy

S & P 500 Index 33178.0 33208.0 33239.0 33270.0 33298.0 33329.0 33359.0 33390.0 33420.0 33451.0 33482.0 33512.0 33543.0 33573.0 33604.0 33635.0 33664.0 33695.0 33725.0 33756.0 33786.0 33817.0 33848.0 33878.0 33909.0 33939.0 33970.0 34001.0 34029.0 34060.0 34090.0 34121.0 34151.0 34182.0 34213.0 34243.0 34274.0 34304.0 34335.0 34366.0 34394.0 34425.0 34455.0 34486.0 34516.0 34547.0 34578.0 34608.0 34639.0 34669.0 34700.0 34731.0 34759.0 34790.0 34820.0 34851.0 34881.0 34912.0 34943.0 34973.0 35004.0 35034.0 35065.0 35096.0 35125.0 35156.0 35186.0 35217.0 35247.0 35278.0 35309.0 35339.0 35370.0 35400.0 35431.0 35462.0 35490.0 35521.0 35551.0 35582.0 35612.0 35643.0 35674.0 35704.0 35735.0 35765.0 35796.0 35827.0 35855.0 35886.0 35916.0 35947.0 35977.0 36008.0 36039.0 36069.0 36100.0 36130.0 36161.0 36192.0 36220.0 36251.0 36281.0 36312.0 36342.0 36373.0 36404.0 36434.0 36465.0 36495.0 36526.0 36557.0 36586.0 36617.0 36647.0 36678.0 36708.0 36739.0 36770.0 36800.0 36831.0 36861.0 36892.0 36923.0 36951.0 36982.0 37012.0 37043.0 37073.0 37104.0 37135.0 37165.0 37196.0 37226.0 37257.0 37288.0 37316.0 37347.0 37377.0 37408.0 37438.0 37469.0 37500.0 37530.0 37561.0 37591.0 37622.0 37653.0 37681.0 37712.0 37742.0 37773.0 37803.0 37834.0 37865.0 37895.0 37926.0 37956.0 37987.0 38018.0 38047.0 38078.0 38108.0 38139.0 38169.0 38200.0 38231.0 38261.0 38292.0 38322.0 38353.0 38384.0 38412.0 38443.0 38473.0 38504.0 38534.0 38565.0 38596.0 38626.0 38657.0 38687.0 38718.0 38749.0 38777.0 38808.0 38838.0 38869.0 38899.0 38930.0 38961.0 38991.0 39022.0 39052.0 39083.0 39114.0 39142.0 39173.0 39203.0 39234.0 39264.0 39295.0 39326.0 39356.0 39387.0 39417.0 1.0 1.024733885733793 1.067281134593303 1.139155261769544 1.16444775470937 1.16485119324706 1.209725972131707 1.151910126307296 1.203519225398008 1.227166930453403 1.20367439406635 1.217949911553859 1.164106383639016 1.294199795177358 1.268627998634516 1.280700121031561 1.252738726996245 1.287744778574311 1.28898612792105 1.266797008348075 1.316419948484002 1.284889675076809 1.296589392669832 1.299258293765323 1.338640101790647 1.352139775936443 1.36169816590634 1.37597368339385 1.401700648605034 1.366073922353599 1.397231790956771 1.398193836700494 1.390714706886386 1.43856872420321 1.424231139248364 1.451851162213327 1.433541259348913 1.447754709369085 1.494584613474848 1.449865003258543 1.383049374670267 1.399342084846229 1.416689941966919 1.378735685690346 1.422213946559911 1.475623002203396 1.435899823107719 1.4655 99106228471 1.407534990534712 1.425100083791081 1.459888899233467 1.512553145268908 1.553859044781678 1.597492474319586 1.655339353877666 1.69056264159141 1.74428203457158 1.743723427365547 1.813642429320672 1.804611612823139 1.878689135089843 1.911460757843777 1.973807528783789 1.987493405331596 2.003227508301524 2.030133755392112 2.076529187226516 2.08121528101046 1.986003786115509 2.02336840145238 2.132979548769513 2.188716134438135 2.349315706172611 2.298792787760296 2.439748006082613 2.454209725972133 2.349626043509296 2.486857213791393 2.632529559631321 2.746919901933404 2.961518170251065 2.79139124228036 2.939763522949449 2.838407348788135 2.964962914688269 3.01160661639202 3.04217484405549 3.256493808770136 3.419141606 926732 3.45017534059523 3.385221736027064 3.518728858268942 3.47785743102753 2.970797256617946 3.156161747819883 3.409583216956835 3.611178350867396 3.814759643732741 3.971200695155638 3.843000341371073 3.992086397914536 4.143562051950473 4.040095583899702 4.260031654408345 4.123514260000624 4.097725227322102 3.980728051391865 4.229680662880553 4.31030630295131 4.55963131924402 4.327530025137326 4.24051143593086 4.650653260093724 4.507432579213608 4.40865220494678 4.514166899419672 4.440399714489652 4.709927691400554 4.458057908947028 4.435961890575058 4.080780808739102 4.097321788784411 4.23923905285045 3.847996772491701 3.60093721875679 3.87754088694411 3.897278341557275 3.799832417838193 3.758898923129444 3.51792198119356 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39295.0 39326.0 39356.0 39387.0 39417.0 1.0 1.020100724509631 1.045697119632444 1.046121222830889 1.074368262943983 1.074253401661071 1.074041350061848 1.080058314189786 1.107059551157448 1.110160805796077 1.131471991517936 1.142445661777699 1.155813748012016 1.179740236790952 1.183990104258703 1.195352535783707 1.202288390174942 1.201926135359604 1.203251457854744 1.210708605760735 1.225720091889026 1.221434882488072 1.235721858985686 1.248577487188549 1.263306237 85121 1.282761972079872 1.307262767273369 1.321116805089237 1.343179006891676 1.341297048948576 1.349081109736702 1.381056723802791 1.389750839370913 1.402403251457854 1.436623078282381 1.435182894504329 1.414375331330623 1.425260646757377 1.436384520233256 1.444716380986039 1.451069093479413 1.464419508747128 1.450503622548153 1.458923838133945 1.464313482947517 1.459188902632973 1.459480473581904 1.457731047888319 1.451175119279024 1.463076515285386 1.466292631206927 1.487109029863933 1.513438770100724 1.541588619897508 1.550830535430288 1.5650998409613 1.6 1.615682982859162 1.645573422866231 1.671576250220887 1.684608588089768 1.701961477292807 1.739070507156741 1.755584025446192 1.770683866407492 1.77688637568475 1.801581551510868 1.826259056370383 1.85584908994522 1.870321611592154 1.882664781763562 1.922203569535254 1.92527831772398 1.943567768156918 1.966893444071391 1.969252518112741 1.977716911115038 1.99670436472875 2.026462272486305 2.057669199505213 2.102314896624846 2.106732638275314 2.152659480473582 2.181931436649585 2.193497084290511 2.208199328503269 2.220118395476233 2.236994168581022 2.26517936031101 2.280128998056194 2.291076161866055 2.329793249690759 2.323502385580491 2.284696942922778 2.30320728043824 2.289158861989751 2.308614596218413 2.391491429581198 2.395078635801379 2.363226718501502 2.345264180950698 2.330022972256583 2.333981268775402 2.381127407669199 2.426612475702421 2.44359427460682 2.464366495847322 2.475207633857571 2.501201625728927 2.560973670259763 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1.929485890173956 1.935660245022513 1.94224148985559 1.9474855 418782 Fairfield Guard 33178.0 33208.0 33239.0 33270.0 33298.0 33329.0 33359.0 33390.0 33420.0 33451.0 33482.0 33512.0 33543.0 33573.0 33604.0 33635.0 33664.0 33695.0 33725.0 33756.0 33786.0 33817.0 33848.0 33878.0 33909.0 33939.0 33970.0 34001.0 34029.0 34060.0 34090.0 34121.0 34151.0 34182.0 34213.0 34243.0 34274.0 34304.0 34335.0 34366.0 34394.0 34425.0 34455.0 34486.0 34516.0 34547.0 34578.0 34608.0 34639.0 34669.0 34700.0 34731.0 34759.0 34790.0 34820.0 34851.0 34881.0 34912.0 34943.0 34973.0 35004.0 35034.0 35065.0 35096.0 35125.0 35156.0 35186.0 35217.0 35247.0 35278.0 35309.0 35339.0 35370.0 35400.0 35431.0 35462.0 35490.0 35521.0 35551.0 35582.0 35612.0 35643.0 35674.0 35704.0 35735.0 35765.0 35796.0 35827.0 35855.0 35886.0 35916.0 35947.0 35977.0 36008.0 36039.0 36069.0 36100.0 36130.0 36161.0 36192.0 36220.0 36251.0 36281.0 36312.0 36342.0 36373.0 36404.0 36434.0 36465.0 36495.0 36526.0 36557.0 36586.0 36617.0 36647.0 36678.0 36708.0 36739.0 36770.0 36800.0 36831.0 36861.0 36892.0 36923.0 36951.0 36982.0 37012.0 37043.0 37073.0 37104.0 37135.0 37165.0 37196.0 37226.0 37257.0 37288.0 37316.0 37347.0 37377.0 37408.0 37438.0 37469.0 37500.0 37530.0 37561.0 37591.0 37622.0 37653.0 37681.0 37712.0 37742.0 37773.0 37803.0 37834.0 37865.0 37895.0 37926.0 37956.0 37987.0 38018.0 38047.0 38078.0 38108.0 38139.0 38169.0 38200.0 38231.0 38261.0 38292.0 38322.0 38353.0 38384.0 38412.0 38443.0 38473.0 38504.0 38534.0 38565.0 38596.0 38626.0 38657.0 38687.0 38718.0 38749.0 38777.0 38808.0 38838.0 38869.0 38899.0 38930.0 38961.0 38991.0 39022.0 39052.0 39083.0 39114.0 39142.0 39173.0 39203.0 39234.0 39264.0 39295.0 39326.0 39356.0 39387.0 39417.0 1.0 1.0277 1.05863377 1.07345464278 1.079036606922456 1.093279890133833 1.113177584134269 1.116517116886671 1.138624155801027 1.150010397359038 1.158405473259759 1.190261623774402 1.19038064993678 1.208950588075794 1.214028180545712 1.247049747056555 1.258772014678887 1.293891753888428 1.290398246152929 1.306141104755995 1.304965577761715 1.31605778517269 1.320400775863759 1.337962106182747 1.356024594616214 1.374466529102995 1.373229509226802 1.398771578098421 1.423809589346382 1.423667208387448 1.44715771732584 1.458590263292715 1.458881981345373 1.483828863226379 1.487983584043413 1.513428103330555 1.516303616726883 1.522217200832118 1.554335983769676 1.547496905441089 1.569935610569985 1.597409483754959 1.604438085483481 1.608128293080093 1.635627286891762 1.641351982395884 1.653662122263853 1.683593406676829 1.672818408874097 1.682855319327342 1.697159589541624 1.708869990709461 1.722199176636995 1.750098803298514 1.778975433552939 1.786625027917217 1.804848603201973 1.800516966554288 1.829865393109123 1.857862333623693 1.866036927891637 1.88525710824892 1.912027759186055 1.924647142396683 1.946973049248484 1.958070795629201 1.984308944290632 1.987285407707068 2.02424891629042 2.028297414123001 2.051825664126827 2.072959468467334 2.10426115644119 2.112888627182599 2.163175376509545 2.17766865153216 2.195090000744416 2.219235990752605 2.231885635899895 2.260453772039413 2.275824857689281 2.28219716729081 2.335144141571958 2.34658634786566 2.381550484448858 2.390124066192874 2.410440120755513 2.440088534240806 2.481082021616051 2.490013916893869 2.532095152089376 2.562986712944866 2.582465411963248 2.58788858932837 2.613249897503789 2.661856345597359 2.682618825093018 2.68959363403826 2.743116547355621 2.746133975557712 2.807098149815094 2.815238734449557 2.856059696099076 2.90461271093276 2.915069316692118 2.94043041974734 2.959837260517672 2.990915551753107 3.036975651250105 3.046693973334106 3.111893224363456 3.115938685555129 3.171090800289455 3.179652745450236 3.220988231141089 3.24450144522842 3.263319553610744 3.304437379986239 3.310385367270214 3.338854681428738 3.359555580453596 3.371649980543229 3.443803290126855 3.446558332758956 3.483436506919476 3.527327806906661 3.536498859204618 3.542510907265267 3.555972448712875 3.589398589730776 3.613088620422999 3.65716830159216 3.69886002023031 3.703298652254587 3.701817332793685 3.721436964657492 3.735950568819656 3.77667243001979 3.854094214835196 3.861416993843383 3.98845761294083 3.983272618044007 3.985662581614833 4.011967954653491 4.015578725812678 4.015578725812678 4.001524200272334 3.999523438172198 4.073514621778384 4.074736676164918 4.111409306250401 4.14964541279853 4.20649555495387 4.213225947841797 4.249459690993235 4.30300288309975 4.29697867906341 4.307721125761068 4.345629071667764 4.364749839583102 4.364313364599144 4.38046132404816 4.406306045860045 4.459622349014951 4.460514273484755 4.516716753330662 4.537493650395983 4.538854898491102 4.574711852189181 4.585691160634435 4.60907818555367 4.62613177484022 4.665453894926362 4.671985530379259 4.701419039220648 4.723045566801063 4.729185526037905 4.736752222879565 4.778909317663193 4.85584975767757 4.892268630860153 4.918686881466798 4.953117689637065 4.963023925 01634 5.028039538434054 5.075303110095334 5.110830231866001 5.136895466048518 5.191346557988632 5.231319926485145 5.266892901985244 5.289013852173582 5.334499371302274 5.380376065895474 5.39597915648657 5.390043579414435 5.47844029411683 5.532129008999176 5.57693925397207 5.595900847435575 5.605413878876216 5.622790661900733 5.67733173132117 5.703447457285247 5.762763310841013 5.776017666455947 ATM Collar 1.0 0.999199037247867 1.003439441745199 1.007229496251114 1.010942425873517 1.014357210858833 1.01860825102721 1.022485636763508 1.025672844644661 1.029700620396954 1.033547151516446 1.037280557350157 1.040693398079669 1.043622819732482 1.046852829183404 1.049612302933961 1.051781375321422 1.054483116514134 1.057085043957297 1.05927154712618 1.061819043271609 1.064387095295505 1.066341137479273 1.068335496242949 1.070016023542375 1.071769053596839 1.074080243078592 1.075867375206652 1.077579571831477 1.079662343377244 1.081573925289638 1.083317526845446 1.085396473087871 1.087342646215124 1.089498942128264 1.091727578003692 1.093552433701953 1.095684581485861 1.097622962711436 1.09987244643478 1.101575720230537 1.103823665913664 1.106113335132954 1.109013895999654 1.111699390760493 1.11414084827887 1.117783314826246 1.121304833410891 1.12503083503838 1.128458632204108 1.132746764071434 1.136903375961704 1.140983043947121 1.145934703389061 1.150810397406432 1.157227691074481 1.162820184341452 1.168317790964665 1.174091174216158 1.179542995422739 1.185534835265931 1.191069231881241 1.197774414984204 1.203761567686793 1.20917475163927 1.214615561433923 1.221287107438094 1.227470515287433 1.233315920434637 1.239667797153248 1.245474964745543 1.252152432812262 1.258685329123198 1.265563527381059 1.27319615645991 1.281143727409532 1.287942116303548 1.295178067972829 1.302891425957119 1.312348995519932 1.319622322243952 1.328938300008092 1.337214608312314 1.346685989675343 1.355342613382005 1.363684502557455 1.374351776063858 1.383906827687045 1.393166712997319 1.40292017915438 1.413868431003675 1.423786432248505 1.434396804175948 1.444589453826242 1.453856565189526 1.464533078951945 1.472292974883336 1.480270622221093 1.490878455736616 1.50101066492892 1.510771787662409 1.523508169530123 1.53475928136804 1.544734374318666 1.557352360147889 1.568852205046807 1.580612502483056 1.591990144143269 1.60414106649601 1.615496366032798 1.630492372341388 1.643624953358383 1.657133891953947 1.673539490779673 1.689044791184927 1.705587977971665 1.718899655808397 1.73482986904871 1.752544519977249 1.769603998802013 1.788354328429579 1.803836889228423 1.819061494171856 1.836199559125055 1.847000759204949 1.858458638959648 1.86933 8703547422 1.878084084823562 1.885348820100177 1.893121898587743 1.900595634351556 1.906567843228512 1.911088727472128 1.914629140519226 1.917624359222683 1.920276613965104 1.922562971630025 1.92498298012054 1.927707318626987 1.930128881539953 1.932034340079924 1.934142029520591 1.936032973463476 1.937575503499461 1.939363372024261 1.94086340853357 1.941971216845687 1.942803858439313 1.94338713429553 1.94419483996218 1.945177948359789 1.946033136433007 1.947150973864358 1.94757124148652 1.948024812674985 1.948702871425926 1.949228452974654 1.949764878717256 1.950672077458271 1.951336278472636 1.951738478190057 1.952956351579993 1.953855025449264 1.954221963934462 1.955183766293858 1.956615396398764 1.958328528321826 1.960066910654205 1.961848121560471 1.964907852811334 1.968410546506554 1.971795709087606 1.975268211770856 1.980101484132047 1.984813909107155 1.990597283914361 1.996080356416322 2.002105911050653 2.009873199172008 2.017377899133522 2.024137136774901 2.032416964879155 2.040976768798417 2.050742245782014 2.060182786078226 2.070779815709195 2.08113215860278 2.093316075122203 2.104543152306162 2.115858856101192 2.128073416693875 2.14028316300361 2.1529116851571 2.166110812986962 2.178763067393308 2.193031084412266 2.20486794930846 2.218588291250109 2.23332322753738 2.247433187343303 2.26089622879615 2.273869738242063 2.287728358060226 2.298346851347703 2.309111982671631 2.320068129149608

$

OTM

Back-Testing of OTM Collar Strategy

S & P 500 Index 33178.0 33208.0 33239.0 33270.0 33298.0 33329.0 33359.0 33390.0 33420.0 33451.0 33482.0 33512.0 33543.0 33573.0 33604.0 33635.0 33664.0 33695.0 33725.0 33756.0 33786.0 33817.0 33848.0 33878.0 33909.0 33939.0 33970.0 34001.0 34029.0 34060.0 34090.0 34121.0 34151.0 34182.0 34213.0 34243.0 34274.0 34304.0 34335.0 34366.0 34394.0 34425.0 34455.0 34486.0 34516.0 34547.0 34578.0 34608.0 34639.0 34669.0 34700.0 34731.0 34759.0 34790.0 34820.0 34851.0 34881.0 34912.0 34943.0 34973.0 35004.0 35034.0 35065.0 35096.0 35125.0 35156.0 35186.0 35217.0 35247.0 35278.0 35309.0 35339.0 35370.0 35400.0 35431.0 35462.0 35490.0 35521.0 35551.0 35582.0 35612.0 35643.0 35674.0 35704.0 35735.0 35765.0 35796.0 35827.0 35855.0 35886.0 35916.0 35947.0 35977.0 36008.0 3603 9.0 36069.0 36100.0 36130.0 36161.0 36192.0 36220.0 36251.0 36281.0 36312.0 36342.0 36373.0 36404.0 36434.0 36465.0 36495.0 36526.0 36557.0 36586.0 36617.0 36647.0 36678.0 36708.0 36739.0 36770.0 36800.0 36831.0 36861.0 36892.0 36923.0 36951.0 36982.0 37012.0 37043.0 37073.0 37104.0 37135.0 37165.0 37196.0 37226.0 37257.0 37288.0 37316.0 37347.0 37377.0 37408.0 37438.0 37469.0 37500.0 37530.0 37561.0 37591.0 37622.0 37653.0 37681.0 37712.0 37742.0 37773.0 37803.0 37834.0 37865.0 37895.0 37926.0 37956.0 37987.0 38018.0 38047.0 38078.0 38108.0 38139.0 38169.0 38200.0 38231.0 38261.0 38292.0 38322.0 38353.0 38384.0 38412.0 38443.0 38473.0 38504.0 38534.0 38565.0 38596.0 38626.0 38657.0 38687.0 38718.0 38749.0 38777.0 38808.0 38838.0 38869.0 38899.0 38930.0 38961.0 38991.0 39022.0 39052.0 39083 .0 39114.0 39142.0 39173.0 39203.0 39234.0 39264.0 39295.0 39326.0 39356.0 39387.0 39417.0 1.0 1.024733885733793 1.067281134593303 1.139155261769544 1.16444775470937 1.16485119324706 1.209725972131707 1.151910126307296 1.203519225398008 1.227166930453403 1.20367439406635 1.217949911553859 1.164106383639016 1.294199795177358 1.268627998634516 1.280700121031561 1.252738726996245 1.287744778574311 1.28898612792105 1.266797008348075 1.316419948484002 1.284889675076809 1.296589392669832 1.299258293765323 1.338640101790647 1.352139775936443 1.36169816590634 1.37597368339385 1.401700648605034 1.366073922353599 1.397231790956771 1.398193836700494 1.390714706886386 1.43856872420321 1.424231139248364 1.451851162213327 1.433541259348913 1.447754709369085 1.494584613474848 1.449865003258543 1.383049374670267 1.399342084846229 1.416689941966919 1.378735685690346 1.422213946559911 1.475623002203396 1.435899823107719 1.465599106228471 1.407534990534712 1.425100083791081 1.459888899233467 1.512553145268908 1.553859044781678 1.597492474319586 1.655339353877666 1.69056264159141 1.74428203457158 1.743723427365547 1.813642429320672 1.804611612823139 1.878689135089843 1.911460757843777 1.973807528783789 1.987493405331596 2.003227508301524 2.030133755392112 2.076529187226516 2.08121528101046 1.986003786115509 2.02336840145238 2.132979548769513 2.188716134438135 2.349315706172611 2.298792787760296 2.439748006082613 2.454209725972133 2.349626043509296 2.486857213791393 2.632529559631321 2.746919901933404 2.961518170251065 2.79139124228036 2.939763522949449 2.838407348788135 2.964962914688269 3.01160661639202 3.04217484405549 3.256493808770136 3.419141606926732 3.45017534059523 3.385221736027064 3.518728858268942 3.47785743102753 2.970797256617946 3.156161747819883 3.409583216956835 3.611178350867396 3.814759643732741 3.971200695155638 3.843000341371073 3.992086397914536 4.143562051950473 4.040095583899702 4.260031654408345 4.123514260000624 4.097725227322102 3.980728051391865 4.229680662880553 4.31030630295131 4.55963131924402 4.327530025137326 4.24051143593086 4.650653260093724 4.507432579213608 4.40865220494678 4.514166899419672 4.440399714489652 4.709927691400554 4.458057908947028 4.435961890575058 4.080780808739102 4.097321788784411 4.23923905285045 3.847996772491701 3.60093721875679 3.87754088694411 3.897278341557275 3.799832417838193 3.758898923129444 3.51792198119356 3.230425472488597 3.288893026720047 3.536138782856968 3.562920895012881 3.507432579213607 3.434596406293643 3.560779567389755 3.342084846227852 3.311733854700061 3.071781025975237 2.829097228687585 2.842907240170067 2.530118238525279 2.74884399342085 2.905719517115105 2.730409955621762 2.655556590013346 2.610402507525682 2.632219222294636 2.845545107531889 2.990379542562767 3.024237345995098 3.073301678924993 3.128231387518234 3.090866772181363 3.26074543028272 3.283989696800424 3.450702914067594 3.510318716444778 3.553176302640973 3.495050119479877 3.436365329112748 3.477888464761198 3.540452471836889 3.419048505725727 3.426869006610188 3.458957887223415 3.507432579213608 3.642677590540921 3.761040250752572 3.665921857058626 3.735220184340381 3.663811563169168 3.590137479440154 3.6976693666015 3.697141793129134 3.830121341898648 3.787139620767778 3.813456226918665 3.74580268752134 3.877602954411449 3.873909940104898 3.972566179437052 3.974366135989825 4.043323092201227 4.067312168326976 3.941439344567549 3.941470378301218 3.967755950718435 4.046178195698728 4.145548210905257 4.275703689910937 4.346677838810792 4.400676535393977 4.462340564193283 4.365825652484255 4.409365980821156 4.600347577817092 4.750085342767593 4.669521770164174 4.515966855972447 4.574248207801885 4.739751109455984 4.797163516742705 4.591844334791924 4.555659001334455 HFRI Index 33178.0 33208.0 33239.0 33270.0 33298.0 33329.0 33359.0 33390.0 33420.0 33451.0 33482.0 33512.0 33543.0 33573.0 33604.0 33635.0 33664.0 33695.0 33725.0 33756.0 33786.0 33817.0 33848.0 33878.0 33909.0 33939.0 33970.0 34001.0 34029.0 34060.0 34090.0 34121.0 34151.0 34182.0 34213.0 34243.0 34274.0 34304.0 34335.0 34366.0 34394.0 34425.0 34455.0 34486.0 34516.0 34547.0 34578.0 34608.0 34639.0 34669.0 34700.0 34731.0 34759.0 34790.0 34820.0 34851.0 34881.0 34912.0 34943.0 34973.0 35004.0 35034.0 35065.0 35096.0 35125.0 35156.0 35186.0 35217.0 35247.0 35278.0 35309.0 35339.0 35370.0 35400.0 35431.0 35462.0 35490.0 35521.0 35551.0 35582.0 35612.0 35643.0 35674.0 35704.0 35735.0 35765.0 35796.0 35827.0 35855.0 35886.0 35916.0 35947.0 35977.0 36008.0 36039.0 36069.0 36100.0 36130.0 36161.0 36192.0 36220.0 36251.0 36281.0 36312.0 36342.0 36373.0 36404.0 36434.0 36465.0 36495.0 36526.0 36557.0 36586.0 36617.0 36647.0 36678.0 36708.0 36739.0 36770.0 36800.0 36831.0 36861.0 36892.0 36923.0 36951.0 36982.0 37012.0 37043.0 37073.0 37104.0 37135.0 37165.0 37196.0 37226.0 37257.0 37288.0 37316.0 37347.0 37377.0 37408.0 37438.0 37469.0 37500.0 37530.0 37561.0 37591.0 37622.0 37653.0 37681.0 37712.0 37742.0 37773.0 37803.0 37834.0 37865.0 37895.0 37926.0 37956.0 37987.0 38018.0 38047.0 38078.0 38108.0 38139.0 38169.0 38200.0 38231.0 38261.0 38292.0 38322.0 38353.0 38384.0 38412.0 38443.0 38473.0 38504.0 38534.0 38565.0 38596.0 38626.0 38657.0 38687.0 38718.0 38749.0 38777.0 38808.0 38838.0 38869.0 38899.0 38930.0 38961.0 38991.0 39022.0 39052.0 39083.0 39114.0 39142.0 39173.0 39203.0 39234.0 39264.0 39295.0 39326.0 39356.0 39387.0 39417.0 1.0 1.020100724509631 1.045697119632444 1.046121222830889 1.074368262943983 1.074253401661071 1.074041350061848 1.080058314189786 1.107059551157448 1.110160805796077 1.131471991517936 1.142445661777699 1.155813748012016 1.179740236790952 1.183990104258703 1.195352535783707 1.202288390174942 1.201926135359604 1.203251457854744 1.210708605760735 1.225720091889026 1.221434882488072 1.235721858985686 1.248577487188549 1.26330623785121 1.282761972079872 1.307262767273369 1.321116805089237 1.343179006891676 1.341297048948576 1.349081109736702 1.381056723802791 1.389750839370913 1.402403251457854 1.436623078282381 1.435182894504329 1.414375331330623 1.425260646757377 1.436384520233256 1.444716380986039 1.451069093479413 1.464419508747128 1.450503622548153 1.458923838133945 1.464313482947517 1.459188902632973 1.459480473581904 1.457731047888319 1.451175119279024 1.463076515285386 1.466292631206927 1.487109029863933 1.513438770100724 1.541588619897508 1.550830535430288 1.5650998409613 1.6 1.615682982859162 1.645573422866231 1.671576250220887 1.684608588089768 1.701961477292807 1.739070507156741 1.755584025446192 1.770683866407492 1.77688637568475 1.801581551510868 1.826259056370383 1.85584908994522 1.870321611592154 1.882664781763562 1.922203569535254 1.92527831772398 1.943567768156918 1.966893444071391 1.969252518112741 1.977716911115038 1.99670436472875 2.026462272486305 2.057669199505213 2.102314896624846 2.106732638275314 2.152659480473582 2.181931436649585 2.193497084290511 2.208199328503269 2.220118395476233 2.236994168581022 2.26517936031101 2.280128998056194 2.291076161866055 2.329793249690759 2.323502385580491 2.284696942922778 2.30320728043824 2.289158861989751 2.308614596218413 2.391491429581198 2.395078635801379 2.363226718501502 2.345264180950698 2.330022972256583 2.333981268775402 2.381127407669199 2.426612475702421 2.44359427460682 2.464366495847322 2.475207633857571 2.501201625728927 2.560973670259763 2.530500088354832 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