GATM

TIME OPEN HIGH LOW CLOSE VOLUME Returns

1-Jan-19 46.5 47.49 46.4 47.15 106,500
2-Jan-19 47 48.85 46.95 47.5 508,500 -0.007368
3-Jan-19 47.3 47.7 46.82 47.47 103,500 0.000632
4-Jan-19 47 48 46.85 47.84 46,000 -0.007734
7-Jan-19 47.2 49.5 47.15 49.34 157,500 -0.030401
8-Jan-19 49.5 50.2 49 49.91 243,500 -0.011421
9-Jan-19 49.9 49.98 48.5 48.89 73,500 0.020863
10-Jan-19 48.6 50.49 47.51 49.27 2,041,000 -0.007713
11-Jan-19 49.3 50 49 49.66 380,000 -0.007853
14-Jan-19 50.1 50.9 49.6 49.86 222,500 -0.004011
15-Jan-19 49.7 51.5 49.5 50.61 591,500 -0.014819
16-Jan-19 50.9 51.75 50.45 50.63 1,605,500 -0.000395
17-Jan-19 50 50.94 49.7 50.58 227,500 0.000989
18-Jan-19 50 51 50 50.48 94,000 0.001981
21-Jan-19 50.1 51.58 50 50.99 235,000 -0.010002
22-Jan-19 50.9 51.85 50.75 51.19 726,500 -0.003907
23-Jan-19 51.5 52.25 51.5 51.99 1,085,500 -0.015388
24-Jan-19 52.5 52.7 51.21 51.85 326,500 0.0027
25-Jan-19 51.5 53.09 51.25 52.91 580,500 -0.020034
28-Jan-19 52.9 54.3 52.71 53.42 815,000 -0.009547
29-Jan-19 53.5 54 53 53.02 487,000 0.007544
30-Jan-19 53.5 53.8 52.75 52.85 484,500 0.003217
31-Jan-19 53 53.49 52.61 53.24 424,500 -0.007325
1-Feb-19 53 54.96 52.5 54.48 1,112,000 -0.022761
4-Feb-19 54.7 55.85 54.6 55.19 2,087,500 -0.012865
6-Feb-19 56 57.39 55.75 56.77 5,368,000 -0.027832
7-Feb-19 57 57.1 56.01 56.25 1,515,000 0.009244
8-Feb-19 56.8 58 56.15 56.82 2,684,000 -0.010032
11-Feb-19 57.5 58.1 56.9 57.42 2,867,500 -0.010449
12-Feb-19 57 58.09 56.95 57.76 904,500 -0.005886
13-Feb-19 58 58.4 57.25 57.45 1,916,000 0.005396
14-Feb-19 57.3 58.1 56.95 57.89 722,500 -0.007601
15-Feb-19 58 58.25 57.51 57.77 201,000 0.002077
18-Feb-19 57.5 58 56.5 57.27 349,000 0.008731
19-Feb-19 57.1 58.01 57.05 57.72 305,500 -0.007796
20-Feb-19 57.5 57.99 57 57.77 433,500 -0.000866
21-Feb-19 57.3 57.89 57.11 57.28 219,000 0.008554
22-Feb-19 57.3 57.5 56.65 57.07 171,500 0.00368
25-Feb-19 57 57.1 56.26 56.45 188,500 0.010983
26-Feb-19 55.6 56.4 54.3 55.06 543,500 0.025245
27-Feb-19 55.7 57.81 52.31 54.8 4,206,500 0.004745
 28-Feb-19 55.5 55.65 53.65 54.92 445,000 -0.002185
1-Mar-19 56.5 57.66 55.5 57.64 2,864,000 -0.047189
4-Mar-19 58.3 58.25 56.55 57.1 228,500 0.009457
5-Mar-19 56.8 58 56.4 56.92 438,500 0.003162
6-Mar-19 57.7 57.7 56.25 56.82 65,500 0.00176
7-Mar-19 57 57.01 56.5 56.81 45,500 0.000176
8-Mar-19 56.5 56.94 55.99 56.05 103,000 0.013559
11-Mar-19 57.1 57.15 56.65 56.82 197,500 -0.013552
12-Mar-19 56.3 57.25 56.25 56.96 464,000 -0.002458
13-Mar-19 57 57.15 56.5 56.99 512,500 -0.000526
14-Mar-19 57.2 57.3 56.9 57.01 750,500 -0.000351
15-Mar-19 57.2 58.25 56.99 57.18 747,000 -0.002973
18-Mar-19 57 57 56 56.81 371,000 0.006513
19-Mar-19 57 56.95 56.01 56.29 23,500 0.009238
20-Mar-19 56 56.39 55.8 55.88 77,000 0.007337
21-Mar-19 56.3 56.25 54.81 55.02 844,000 0.015631
22-Mar-19 54.7 56.4 54.65 56.02 1,105,000 -0.017851
25-Mar-19 55.8 55.75 54.65 55.2 152,000 0.014855
26-Mar-19 55.1 55.68 55.01 55.15 27,500 0.000907
27-Mar-19 56 56.45 55.98 56.38 156,500 -0.021816
28-Mar-19 56.3 56.29 55.25 55.25 199,000 0.020452
29-Mar-19 55.9 57.5 55.89 56.97 665,500 -0.030191

JDW
TIME OPEN HIGH LOW CLOSE VOLUME
1-Jan-19 10 10.34 10 10.31 57,500
2-Jan-19 10.2 10.49 10.1 10.19 198,000 0.011776
3-Jan-19 10.2 10.2 9.86 9.93 70,500 0.026183
4-Jan-19 9.85 10 9.83 9.93 63,500 0
7-Jan-19 10 10.93 10 10.93 1,366,500 -0.091491
8-Jan-19 11.4 11.68 11 11.62 2,113,000 -0.05938
9-Jan-19 11.7 11.65 11 11.04 243,500 0.052536
10-Jan-19 10.9 11.15 10.85 10.97 75,000 0.006381
11-Jan-19 10.8 11.1 10.78 11 459,500 -0.002727
14-Jan-19 11.2 11.38 11.18 11.2 48,500 -0.017857
15-Jan-19 11.2 11.2 10.96 10.99 49,000 0.019108
16-Jan-19 11 11 10.75 10.77 44,000 0.020427
17-Jan-19 10.7 10.78 10.51 10.61 178,500 0.01508
18-Jan-19 10.7 11.15 10.66 11.12 326,000 -0.045863
21-Jan-19 11.3 11.3 10.31 11.23 289,000 -0.009795
22-Jan-19 11 11.3 11 11.2 45,000 0.002679
23-Jan-19 11.3 12.2 11.33 11.77 1,036,500 -0.048428
24-Jan-19 12.4 12.39 11.3 11.41 813,000 0.031551
25-Jan-19 11.3 11.59 11.2 11.48 79,500 -0.006098
28-Jan-19 11.4 11.6 11.4 11.5 198,000 -0.001739
29-Jan-19 11.3 11.5 11.05 11.17 173,000 0.029543
30-Jan-19 11.2 11.65 11 11.43 336,000 -0.022747
31-Jan-19 11.3 11.7 11.3 11.52 197,000 -0.007813
1-Feb-19 11.5 11.84 11.4 11.65 296,000 -0.011159
4-Feb-19 11.8 12.25 11.68 11.91 1,372,000 -0.02183
6-Feb-19 12 12 11.6 11.64 277,500 0.023196
7-Feb-19 11.6 11.85 11.6 11.61 54,000 0.002584
8-Feb-19 11.6 11.55 11.27 11.31 174,000 0.026525
11-Feb-19 11.4 11.49 11.04 11.06 109,000 0.022604
12-Feb-19 11.3 11.26 11.11 11.2 119,500 -0.0125
13-Feb-19 11.5 11.49 11 11.04 166,000 0.014493
14-Feb-19 11.2 11.19 11 11.12 220,500 -0.007194
15-Feb-19 11.1 11.1 10.85 10.9 318,500 0.020183
18-Feb-19 10.9 11.1 10.9 10.9 87,500 0
19-Feb-19 10.8 10.77 10.3 10.47 468,500 0.04107
20-Feb-19 10.2 10.65 10.16 10.52 262,500 -0.004753
21-Feb-19 10.4 11.2 10.36 10.85 488,000 -0.030415
22-Feb-19 10.7 10.88 10.6 10.75 114,500 0.009302
25-Feb-19 10.7 10.9 10.44 10.51 153,500 0.022835
26-Feb-19 10.3 10.42 10 10.01 306,500 0.04995
27-Feb-19 10 10.4 9.2 10 701,000 0.001
28-Feb-19 10.1 10.24 9.91 10.17 98,500 -0.016716
1-Mar-19 10.17 10.55 10.15 10.3 134,500 -0.012621
4-Mar-19 10.23 10.68 10 10.57 134,000 -0.025544
5-Mar-19 10.3 10.51 10 10.32 212,500 0.024225
6-Mar-19 10.27 10.3 10.01 10.09 103,500 0.022795
7-Mar-19 10.33 10.42 10.17 10.18 122,000 -0.008841
8-Mar-19 10.38 10.38 9.97 10.07 379,000 0.010924
11-Mar-19 10.05 10.37 10.05 10.2 125,000 -0.012745
12-Mar-19 10.12 10.2 10.02 10.18 30,500 0.001965
13-Mar-19 10.2 10.25 10 10.06 50,500 0.011928
14-Mar-19 10.03 10.14 9.9 10 218,500 0.006
15-Mar-19 9.95 10 9.75 9.82 169,000 0.01833
18-Mar-19 9.99 10 9.7 10 77,500 -0.018
19-Mar-19 9.92 9.95 9.69 9.72 56,500 0.028807
20-Mar-19 9.7 9.78 9.5 9.65 38,000 0.007254
21-Mar-19 9.51 10.08 9.41 9.64 365,500 0.001037
22-Mar-19 9.6 9.85 9.57 9.6 58,500 0.004167
25-Mar-19 9.47 9.66 9.4 9.41 54,000 0.020191
26-Mar-19 9.31 9.5 9.3 9.46 65,000 -0.005285
27-Mar-19 9.32 9.85 9.32 9.68 118,500 -0.022727
28-Mar-19 9.6 9.6 9.5 9.5 63,500 0.018947
29-Mar-19 9.5 9.9 9.41 9.52 91,000 -0.002101
GATM ITTEFAQ Total weight W1 W2 VAR SD(p) ER(p)
-0.007368 0.011776 1 -1.5 2.5 0.0036112389 0.060094 0.008375
0.000632 0.026183 1 -1.4 2.4 0.0033366868 0.057764 0.00792
-0.007734 0 1 -1.3 2.3 0.0030734843 0.055439 0.007464
-0.030401 -0.091491 1 -1.2 2.2 0.0028216313 0.053119 0.007009
-0.011421 -0.05938 1 -1.1 2.1 0.0025811279 0.050805 0.006554
0.020863 0.052536 1 -1 2 0.002351974 0.048497 0.006098
-0.007713 0.006381 1 -0.9 1.9 0.0021341696 0.046197 0.005643
-0.007853 -0.002727 1 -0.8 1.8 0.0019277148 0.043906 0.005188
-0.004011 -0.017857 1 -0.7 1.7 0.0017326095 0.041625 0.004732
-0.014819 0.019108 1 -0.6 1.6 0.0015488538 0.039355 0.004277
-0.000395 0.020427 1 -0.5 1.5 0.0013764476 0.037101 0.003822
0.000989 0.01508 1 -0.4 1.4 0.001215391 0.034862 0.003366
0.001981 -0.045863 1 -0.3 1.3 0.0010656839 0.032645 0.002911
-0.010002 -0.009795 1 -0.2 1.2 0.0009273263 0.030452 0.002456
-0.003907 0.002679 1 -0.1 1.1 0.0008003183 0.02829 0.002
-0.015388 -0.048428 1 0 1 0.0006846598 0.026166 0.001545
0.0027 0.031551 1 0.1 0.9 0.0005803509 0.02409 0.00109
-0.020034 -0.006098 1 0.2 0.8 0.0004873915 0.022077 0.000634
-0.009547 -0.001739 1 0.3 0.7 0.0004057816 0.020144 0.000179
0.007544 0.029543 1 0.4 0.6 0.0003355213 0.018317 -0.000276
0.003217 -0.022747 1 0.5 0.5 0.0002766106 0.016632 -0.000732
-0.007325 -0.007813 1 0.6 0.4 0.0002290494 0.015134 -0.001187
-0.022761 -0.011159 1 0.7 0.3 0.0001928377 0.013887 -0.001642
-0.012865 -0.02183 1 0.8 0.2 0.0001679755 0.012961 -0.002098
-0.027832 0.023196 1 0.9 0.1 0.000154463 0.012428 -0.002553
0.009244 0.002584 1 1 0 0.0001522999 0.012341 -0.003008
-0.010032 0.026525 1 1.1 -0.1 0.0001614864 0.012708 -0.003464
-0.010449 0.022604 1 1.2 -0.2 0.0001820224 0.013492 -0.003919
-0.005886 -0.0125 1 1.3 -0.3 0.000213908 0.014626 -0.004374
0.005396 0.014493 1 1.4 -0.4 0.0002571431 0.016036 -0.00483
-0.007601 -0.007194 1 1.5 -0.5 0.0003117278 0.017656 -0.005285
0.002077 0.020183 1 1.6 -0.6 0.000377662 0.019434 -0.00574
0.008731 0 1 1.7 -0.7 0.0004549457 0.021329 -0.006196
-0.007796 0.04107 1 1.8 -0.8 0.000543579 0.023315 -0.006651
-0.000866 -0.004753 1 2.5 -1.5 0.0014817993 0.038494 -0.009838
0.008554 -0.030415 1 2.4 -1.4 0.0013137192 0.036245 -0.009383
0.00368 0.009302 1 2.3 -1.3 0.0011569886 0.034015 -0.008928
0.010983 0.022835 1 2.2 -1.2 0.0010116076 0.031806 -0.008472
0.025245 0.04995 1 2.1 -1.1 0.0008775762 0.029624 -0.008017
0.004745 0.001 1 2 -1 0.0007548942 0.027475 -0.007562
-0.002185 -0.016716 1 1.9 -0.9 0.0006435619 0.025369 -0.007106
-0.047189 -0.012621 1 1.8 -0.8 0.000543579 0.023315 -0.006651
0.009457 -0.025544 1 1.7 -0.7 0.0004549457 0.021329 -0.006196
0.003162 0.024225 1 1.6 -0.6 0.000377662 0.019434 -0.00574
 0.00176 0.022795 1 1.5 -0.5 0.0003117278
0.000176 -0.008841 1 1.4 -0.4 0.0002571431
0.013559 0.010924 1 1.3 -0.3 0.000213908
-0.013552 -0.012745 1 1.2 -0.2 0.0001820224
-0.002458 0.001965 1 1.1 -0.1 0.0001614864
-0.000526 0.011928 1 1 0 0.0001522999
-0.000351 0.006 1 0.9 0.1 0.000154463
-0.002973 0.01833 1 0.8 0.2 0.0001679755
0.006513 -0.018 1 0.7 0.3 0.0001928377
0.009238 0.028807 1 0.6 0.4 0.0002290494
0.007337 0.007254 1 0.5 0.5 0.0002766106
0.017656 -0.005285
0.016036 -0.00483
0.014626 -0.004374
0.013492 -0.003919
0.012708 -0.003464
0.012341 -0.003008
0.012428 -0.002553
0.012961 -0.002098
0.013887 -0.001642
0.015134 -0.001187
0.016632 -0.000732
 Ri -0.003008
Rj 0.001545
Sd(i) 0.012341
Sd(j) 0.026166
Cov i,j 0.000132
Correl(I,j) 0.417266

ER(p)
0.01

0.005

0 ER(p)
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07

-0.005

-0.01

-0.015
SUMMARY OUTPUT

Regression Statistics Mond

Multiple R 0.019396 0.15
R Square 0.000376 0.1
Adjusted R-0.062896 0.05

kse 100
Standard E 0.055556 0
-0.05 0 0.2 0.4
Observatio 84 -0.1
-0.15
ANOVA Mo
df SS MS F Significance F
Regression 5 9.177E-05 1.835E-05 0.007433 0.999985
Residual 79 0.243833 0.003086
Total 84 0.243925

Coefficients
Standard Error t Stat
Intercept 0.000969 0.014848 0.065261
Monday 0.002674 0.019797 0.135054
Tuesday 0.001101 0.018994 0.057954
Wednesda 0.000668 0.020998 0.031813
Thursday -0.000278 0.020331 -0.013659
Friday 0 0 65535
P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.948131 -0.028585 0.030523 -0.028585 0.030523
0.892913 -0.036732 0.042079 -0.036732 0.042079
0.953931 -0.036705 0.038907 -0.036705 0.038907
0.974701 -0.041128 0.042464 -0.041128 0.042464
0.989136 -0.040747 0.040191 -0.040747 0.040191
#NUM! 0 0 0 0

RESIDUAL OUTPUT

Observation
Predicted kse 100
Residuals
1 0.003643 -0.070561
2 0.003643 -0.014205
3 0.003643 0.021589
4 0.003643 -0.012849
5 0.003643 -0.072829
6 0.003643 0.028246
7 0.003643 0.006408
8 0.003643 0.022779
9 0.003643 0.079759
10 0.003643 -0.063704
11 0.003643 -0.004393
12 0.003643 0.022422
13 0.003643 0.018365
14 0.003643 0.057387
15 0.003643 0.022662
16 0.003643 -0.087645
17 0.003643 0.042269
18 0.003643 0.004301
19 0.00207 -0.088422
20 0.00207 -0.041195
21 0.00207 0.016675
22 0.00207 -0.069468
23 0.00207 0.003303
24 0.00207 0.052574
25 0.00207 0.077743
26 0.00207 0.012821
27 0.00207 -0.033522
28 0.00207 0.005049
29 0.00207 0.070924
30 0.00207 -0.101387
31 0.00207 -0.041195
32 0.00207 0.016675
33 0.00207 -0.069468
34 0.00207 0.003303
35 0.00207 0.052574
36 0.00207 0.077743
37 0.00207 0.012821
38 0.00207 -0.033522
39 0.00207 0.005049
40 0.00207 0.070924
41 0.001637 -0.113241
42 0.001637 -0.01079
43 0.001637 -0.057885
44 0.001637 0.051077
45 0.001637 -0.009547
46 0.001637 0.056113
47 0.001637 0.002444
48 0.001637 0.048321
49 0.001637 -0.075238
50 0.001637 0.025054
51 0.001637 0.015258
52 0.001637 0.053461
53 0.001637 -0.067877
54 0.001637 0.082852
55 0.000691 -0.077328
56 0.000691 -0.002073
57 0.000691 -0.043346
58 0.000691 -0.007207
59 0.000691 -0.004096
60 0.000691 -0.057659
61 0.000691 0.042864
62 0.000691 0.002878
63 0.000691 0.025902
64 0.000691 0.072408
65 0.000691 -0.04903
66 0.000691 -0.004802
67 0.000691 0.082893
68 0.000691 -0.060374
69 0.000691 0.052669
70 0.000691 0.026299
71 0.000969 -0.130517
72 0.000969 0.027552
73 0.000969 -0.075883
74 0.000969 0.060711
75 0.000969 0.012609
76 0.000969 -0.016438
77 0.000969 0.117631
78 0.000969 -0.015681
79 0.000969 -0.069496
80 0.000969 0.028532
81 0.000969 0.019209
82 0.000969 0.074529
83 0.000969 -0.087624
84 0.000969 0.054867
 Monday Line Fit Plot
0.15
0.1 Tuesday Line Fit Plot
0.05
kse 100

0.15 kse 100

0
-0.05 0
0.1 Wednesday Line Fit Plot
0.2 0.4 0.6 0.8 1 1.2
Predicted kse 100
0.05
kse 100

-0.1 0.15 kse 100

-0.15
0
0.1
-0.05 0 0.2 0.4 0.6 0.8 1 1.2
Thursday Line Fit Plot
Predicted kse 100
Monday 0.05
kse 100

-0.1 0.15 kse 100

-0.15
0
0.1
-0.05 0 0.2 0.4 0.6 0.8 1 1.2
Friday Line Fit Plot
Predicted kse 100
Tuesday 0.05
kse 100

-0.1 0.15 kse 100

0 Predicted kse 100
-0.15 0.1
-0.05 0 0.2 0.4 0.6 0.8 1 1.2
Wednesday0.05
kse 100

-0.1 kse 100

0 Predicted kse 100
-0.15
-0.05 0 0.2 0.4 0.6 0.8 1 1.2
Thursday
-0.1
-0.15
Friday
kse 100 Monday Tuesday WednesdaThursday Friday
-0.0669184158 1 0 0 0 0
-0.0105620651 1 0 0 0 0
0.0252312999 1 0 0 0 0
-0.0092066675 1 0 0 0 0
-0.0691864207 1 0 0 0 0
0.0318886229 1 0 0 0 0
0.0100508128 1 0 0 0 0
0.0264215059 1 0 0 0 0
0.0834015718 1 0 0 0 0
-0.0600613781 1 0 0 0 0
-0.0007501953 1 0 0 0 0
0.0260643978 1 0 0 0 0
0.0220077117 1 0 0 0 0
0.0610294706 1 0 0 0 0
0.0263050227 1 0 0 0 0
-0.0840020382 1 0 0 0 0
0.0459117072 1 0 0 0 0
0.0079440008 1 0 0 0 0
-0.0863519627 0 1 0 0 0
-0.0391248722 0 1 0 0 0
0.0187448868 0 1 0 0 0
-0.0673979865 0 1 0 0 0
0.0053723465 0 1 0 0 0
0.0546434467 0 1 0 0 0
0.0798128505 0 1 0 0 0
0.0148908178 0 1 0 0 0
-0.0314519262 0 1 0 0 0
0.0071186405 0 1 0 0 0
0.0729938575 0 1 0 0 0
-0.09931735 0 1 0 0 0
-0.0391248722 0 1 0 0 0
0.0187448868 0 1 0 0 0
-0.0673979865 0 1 0 0 0
0.0053723465 0 1 0 0 0
0.0546434467 0 1 0 0 0
0.0798128505 0 1 0 0 0
0.0148908178 0 1 0 0 0
-0.0314519262 0 1 0 0 0
0.0071186405 0 1 0 0 0
0.0729938575 0 1 0 0 0
-0.111604347 0 0 1 0 0
-0.0091534459 0 0 1 0 0
-0.0562476561 0 0 1 0 0
0.0527140084 0 0 1 0 0
 -0.007910439 0 0 1 0 0
0.0577502064 0 0 1 0 0
0.0040811348 0 0 1 0 0
0.0499576121 0 0 1 0 0
-0.0736008215 0 0 1 0 0
0.0266908788 0 0 1 0 0
0.0168954181 0 0 1 0 0
0.0550975727 0 0 1 0 0
-0.0662404035 0 0 1 0 0
0.0844885484 0 0 1 0 0
-0.0766370179 0 0 0 1 0
-0.0013816586 0 0 0 1 0
-0.0426546389 0 0 0 1 0
-0.0065153582 0 0 0 1 0
-0.0034043608 0 0 0 1 0
-0.0569672178 0 0 0 1 0
0.0435553342 0 0 0 1 0
0.003569069 0 0 0 1 0
0.0265937833 0 0 0 1 0
0.073099736 0 0 0 1 0
-0.0483384014 0 0 0 1 0
-0.0041108057 0 0 0 1 0
0.0835841214 0 0 0 1 0
-0.0596831919 0 0 0 1 0
0.0533605266 0 0 0 1 0
0.026990785 0 0 0 1 0
-0.1295484095 0 0 0 0 1
0.028520591 0 0 0 0 1
-0.0749144882 0 0 0 0 1
0.0616803532 0 0 0 0 1
0.0135778419 0 0 0 0 1
-0.0154686971 0 0 0 0 1
0.1186004142 0 0 0 0 1
-0.0147119306 0 0 0 0 1
-0.0685267887 0 0 0 0 1
0.0295007739 0 0 0 0 1
0.0201776125 0 0 0 0 1
0.0754978655 0 0 0 0 1
-0.0866552626 0 0 0 0 1
0.0558361633 0 0 0 0 1
Date open Close High Low Market Returns
1/1/2019 37066.67 37995.76 38046.98 37046.21
2/1/2019 37995.77 37795.25 38449.04 37710.38 0.005305164009
3/1/2019 37795.25 37542.01 37928.37 37374.05 0.006745509897
4/1/2019 37542.01 37547.49 37813.99 37474.66 -0.000145948504
7/1/2019 37547.49 38562.4 38626.8 37547.49 -0.026318641993
8/1/2019 38562.4 39052.5 39148.92 38562.4 -0.012549772742
9/1/2019 39052.5 38921.69 39267.53 38816.5 0.003360850981
10/1/2019 38921.69 39090.28 39225.55 38921.69 -0.004312836848
11/1/2019 39090.28 39049.08 39278.2 38780.18 0.001055082476
01/14/19 39049.08 39412.55 39504.49 39049.08 -0.009222189379
01/15/19 39412.55 39614.17 39711.92 39358.16 -0.005089592941
01/16/19 39614.17 39271.94 39622.47 39225.41 0.008714364506
01/17/19 39271.94 39243.89 39294.47 38780.37 0.000714760948
01/18/19 39243.89 39306.5 39390.77 39091.52 -0.00159286632
01/21/19 39306.5 39543.77 39812.36 39306.5 -0.006000186629
01/22/19 39543.77 39902.21 39959.22 39485.76 -0.008982961094
01/23/19 39902.21 40057.85 40198.28 39902.21 -0.003885380768
01/24/19 40057.85 40289.16 40609.03 40057.85 -0.005741246529
01/25/19 40289.16 40264.78 40379.95 40165.72 0.000605491946
01/28/19 40264.78 40420.09 40465.15 40261.39 -0.003842396195
01/29/19 40420.09 40624.39 40647.97 40307.23 -0.005028998589
01/30/19 40624.39 40607.12 40776.92 40530.69 0.000425294874
01/31/19 40607.12 40799.52 40860.79 40607.12 -0.004715741754
1/2/2019 40799.52 41112.71 41207.97 40793.36 -0.007617838863
4/2/2019 41112.71 41614.39 41630.13 41112.71 -0.012055445244
6/2/2019 41614.39 41505.68 41766.93 41417.82 0.002619159595
7/2/2019 41505.68 41332.75 41606.27 41289.12 0.004183849369
8/2/2019 41332.75 40887.35 41453.1 40790.6 0.010893344763
11/2/2019 40887.35 40326.53 41076.26 40218.37 0.013906973895
12/2/2019 40326.53 40596.28 40637.26 40269 -0.006644697494
02/13/19 40596.28 40544.11 40839.09 40484.58 0.001286746706
02/14/19 40544.11 40506.98 40589.15 40318.01 0.000916632146
02/15/19 40506.98 40486.67 40646.39 40361.03 0.000501646591
02/18/19 40486.67 40219.47 40654.65 40000.11 0.00664354851
02/19/19 40219.47 39957.07 40320.58 39941.97 0.006567048084
02/20/19 39957.07 40279.38 40330.04 39688.75 -0.008001861002
02/21/19 40279.38 40070.71 40416.53 39882.23 0.005207544363
02/22/19 40070.71 40016.13 40082.21 39799.93 0.001363949987
02/25/19 40016.13 39606.79 40046.25 39550.65 0.010335096583
02/26/19 39606.79 38821.67 39606.79 38726.73 0.020223756474
02/27/19 38821.67 38692.69 38857.9 37330.38 0.003333446188
02/28/19 38692.69 39054.6 39149.33 38558.45 -0.009266770112
1/3/2019 39054.61 39539.01 39713.42 39054.61 -0.012251444839
4/3/2019 39539.02 39749.74 39841.74 39499.36 -0.005301418324
 5/3/2019 39749.75 39688.51 39955.28 39598.97 0.001542763888
6/3/2019 39688.51 39568.1 39845.59 39494.88 0.003043107958
7/3/2019 39568.1 39294.1 39747.18 39257.99 0.006973057024
8/3/2019 39294.1 38950.23 39323.43 38866.69 0.008828445942
11/3/2019 38950.23 38924.11 39146.44 38875.82 0.000671049383
12/3/2019 38924.11 38896.49 39030.25 38648.12 0.000710089779
03/13/19 38896.49 38928.93 39060.58 38828.52 -0.000833313425
03/14/19 38928.93 38808.61 38999.39 38751.6 0.003100342939
03/15/19 38808.61 38306.95 38839.01 38187.48 0.013095795933
03/18/19 38306.95 38851.95 38882.82 38161.72 -0.01402760994
03/19/19 38851.95 38612.37 39011.54 38528.11 0.006204747339
03/20/19 38612.37 38547.76 38666.55 38427.64 0.00167610258
03/21/19 38547.76 38384.71 38593.48 38202.28 0.004247785121
03/22/19 38384.72 38531.87 38721.05 38384.72 -0.003819176178
03/25/19 38531.87 38128.66 38531.87 38053.15 0.010574984801
03/26/19 38128.66 38329.13 38372.89 38039.69 -0.00523022568
03/27/19 38329.13 38965.01 38981.12 38329.13 -0.016319256687
03/28/19 38965.01 38552.95 38965.01 38418.9 0.010688157456
03/29/19 38552.95 38649.34 38733.37 38483.46 -0.002493962381
1/4/2019 38649.34 38354.85 38649.34 38211.08 0.00767803811
2/4/2019 38354.85 38036.03 38557.74 37932.29 0.008382052491
3/4/2019 38036.03 38022.8 38119.14 37855.09 0.000347949125
4/4/2019 38022.8 37516.11 38042.6 37413.09 0.013505931185
5/4/2019 37516.12 37521.81 37592.27 37307.14 -0.000151911648
8/4/2019 37521.81 36921.91 37552.9 36738.96 0.016247805165
9/4/2019 36921.91 37129.97 37270.58 36593.2 -0.005603559604
10/4/2019 37129.97 36579.32 37170.36 36464.85 0.015053587656
11/4/2019 36579.32 36787.64 36910.03 36499.34 -0.005662771518
12/4/2019 36787.64 37337.87 37420.92 36741.7 -0.014736512822
04/15/19 37337.87 37504.08 37698.79 37281.15 -0.004431784489
04/16/19 37504.08 37381.95 37635.56 37339.21 0.003267084783
04/17/19 37381.95 36752.57 37418.67 36692.21 0.017124788824
04/18/19 36752.57 36811.86 36919.95 36419.36 -0.001610622229
04/19/19 36811.86 37292.47 37729.12 36811.86 -0.012887588299
04/22/19 37292.47 36901.69 37479.27 36839.29 0.010589758897
04/23/19 36901.69 36404.03 36911.61 36136.11 0.013670464506
04/24/19 36404.03 36504.25 36733.05 36332.28 -0.002745433751
04/25/19 36504.25 36796.03 36944.63 36504.25 -0.007929659803
04/26/19 36796.03 37130.63 37158.35 36787.44 -0.009011428031
04/29/19 37130.63 37026.27 37437.72 36949.92 0.002818539378
04/30/19 37026.27 36784.44 37037.3 36708.2 0.006574247155
2/5/2019 36784.44 36547.63 36857.75 36508.22 0.006479489915
3/5/2019 36547.63 36122.95 36556.42 36071.1 0.011756514903
6/5/2019 36122.95 35605.42 36191.43 35570.38 0.014535146615
7/5/2019 35605.42 35631.06 35806.33 35491.2 -0.000719596891
 8/5/2019 35631.06 35035.03 35697.73 34849.84 0.017012401588
9/5/2019 35035.03 34887.64 35300.26 34828.94 0.004224705368
10/5/2019 34887.64 34716.53 34887.64 34646.97 0.004928776004
05/13/19 34716.53 33900.38 35227.92 33779.66 0.024074951372
05/14/19 33900.38 33885.09 34067.27 33691.66 0.00045123091
05/15/19 33885.09 34291.65 34443.91 33885.09 -0.011855947439
05/16/19 34291.65 33971.12 34416.46 33574.85 0.009435367453
05/17/19 33971.12 33166.62 33971.12 33005.99 0.024256315537
05/20/19 33166.62 33250.54 33322.39 32352.4 -0.002523868785
05/21/19 33250.54 33442.1 33549.62 32852.23 -0.00572810918
05/22/19 33442.1 34637.14 34698.56 33442.1 -0.034501693847
05/23/19 34637.14 35581.34 35631.13 34637.14 -0.026536381148
05/24/19 35581.34 35703.81 35766.7 35435.91 -0.003430166136
05/27/19 35703.81 35697.37 35892.29 35610.41 0.000180405447
05/28/19 35697.37 34949.28 35709.12 34900.07 0.02140501893
05/29/19 34949.28 35959.43 35993.61 34949.28 -0.028091379646
05/30/19 35959.43 35974.79 36536.78 35655.25 -0.000426965661
3/6/2019 35974.79 35505.29 35985.21 35424.06 0.013223381643
10/6/2019 35505.29 34567.55 35505.29 34468.16 0.027127754209
11/6/2019 34567.55 34659.85 34798.6 34267.59 -0.002663023643
12/6/2019 34659.85 34937.93 35137.56 34608.32 -0.007959258033
06/13/19 34937.93 35403.07 35501.37 34858.14 -0.013138408618
06/14/19 35403.07 35572.95 35659.35 35295.64 -0.004775538717
06/17/19 35572.95 35168.82 35625.47 35110.73 0.011491144713
06/18/19 35168.82 34681.72 35186.09 34608.61 0.014044862827
06/19/19 34681.72 34656.12 34813.9 34522.41 0.00073868627
06/20/19 34656.12 34995.91 35061.54 34645.96 -0.009709420329
06/21/19 34995.91 35125.25 35207.59 34995.91 -0.003682251372
06/24/19 35125.25 34471.95 35194.64 34368.46 0.018951640392
06/25/19 34471.95 34190.62 34471.95 33984.6 0.008228280154
06/26/19 34190.62 34088.56 34290.58 33731.94 0.002993966304
06/27/19 34088.56 33774.42 34261.92 33521.38 0.009301121973
06/28/19 33774.43 33901.58 33936.23 33409.5 -0.00375085763
1/7/2019 33901.58 33996.33 34068.58 33825.85 -0.002787065545
2/7/2019 33996.33 34307.11 34340.23 33918.97 -0.009058763621
3/7/2019 34307.11 34896.55 34938.44 34307.11 -0.016891068028
4/7/2019 34896.55 34570.62 35279.32 34466.62 0.009427947778
5/7/2019 34570.62 34190.02 34570.62 34062.98 0.011131903403
8/7/2019 34190.02 33742.68 34229.63 33686.2 0.0132573939
9/7/2019 33742.68 33855.58 34051.01 33656.21 -0.003334753089
10/7/2019 33855.58 33840.05 33955 33796.91 0.000458923672
11/7/2019 33840.05 33875.4 33957.79 33724.98 -0.001043530113
12/7/2019 33875.4 33672.49 34001.76 33599.48 0.006025987386
07/15/19 33672.49 32958.35 33672.49 32895.82 0.021667953645
07/16/19 32958.35 32972.02 33093.79 32604.64 -0.00041459395
07/17/19 32972.02 32981.99 33381.32 32835.05 -0.000302286187
07/18/19 32981.99 32309.54 33014.74 32223.54 0.020812738281
07/19/19 32309.54 32458.77 32549.31 31901.28 -0.004597524798
07/22/19 32458.77 32584.55 32723.68 32391.55 -0.003860111617
07/23/19 32584.55 32715.88 32758.44 32455.1 -0.004014258519
07/24/19 32715.88 32401.4 32765.08 32348.91 0.009705753455
07/25/19 32401.4 32446.4 32502.22 32150.26 -0.001386902707
07/26/19 32446.4 32103.27 32446.4 32031.98 0.01068831929
07/29/19 32103.27 31734.23 32122.09 31717.76 0.01162908317
07/30/19 31734.23 31658.12 31774.21 31485.76 0.002404122544
07/31/19 31658.12 31938.48 31968.78 31545.26 -0.008778125947
1/8/2019 31938.48 31839.11 32060.58 31780.92 0.003121004325
2/8/2019 31839.11 31666.41 31842.3 31434.14 0.005453728414
5/8/2019 31666.41 31180.8 31666.41 30978.96 0.015574007081
6/8/2019 31180.8 31000.67 31330.04 30946.73 0.005810519579
7/8/2019 31000.67 30277.45 31000.67 30229.38 0.023886423725
8/8/2019 30277.45 29737.98 30277.45 29400.28 0.018140774861
9/8/2019 29737.98 29429.07 30034.68 29332.8 0.010496763914
08/16/19 29429.07 28764.63 29429.07 28691.79 0.023099202041
08/19/19 28764.63 29562.42 29609.16 28670.98 -0.026986626941
08/20/19 29562.42 30419.22 30503.11 29562.42 -0.028166402689
08/21/19 30419.22 30972.75 31101.31 30419.22 -0.017871516091
08/22/19 30972.75 31884.45 31913.32 30972.75 -0.028593875698
08/23/19 31884.45 31350.01 32100.56 31225.06 0.017047522473
08/26/19 31350.02 30520.6 31350.02 30410.54 0.027175415949
08/27/19 30520.6 30584.85 30641.84 29952.73 -0.002100713262
08/28/19 30584.85 30637.71 31112.82 30551.91 -0.001725324771
08/29/19 30637.71 30158.96 30808.44 30111.56 0.015874221127
08/30/19 30158.96 29672.12 30309.64 29559.82 0.016407321081
2/9/2019 29672.12 30057.29 30173.19 29672.12 -0.012814528522
3/9/2019 30057.29 29809.68 30247.32 29739.58 0.008306362229
4/9/2019 29809.68 30244.73 30378.13 29468.29 -0.014384324145
5/9/2019 30244.73 30214.77 30743.62 30145.35 0.000991568031
6/9/2019 30214.77 30467.2 30550.93 30011.5 -0.00828530354
11/9/2019 30467.2 30954.83 31019.81 30467.2 -0.015752953578
12/9/2019 30954.83 31546.61 31846.68 30950.85 -0.018758909436
09/13/19 31546.61 31481.31 31630.07 31279.83 0.002074246593
09/16/19 31481.31 31928.55 31954.56 31481.31 -0.01400752618
09/17/19 31928.55 31908.92 32106.19 31769.98 0.00061518848
09/18/19 31908.92 31555.47 31908.92 31508.75 0.01120091065
09/19/19 31555.47 32184.03 32235.29 31475 -0.019530183137
09/20/19 32184.03 32111.1 32332.73 32055.3 0.002271177256
09/23/19 32111.1 31751.21 32147.65 31710 0.011334686143
09/24/19 31751.21 31829.24 31892.23 31436.22 -0.002451519421
09/25/19 31829.24 31565.21 31867.79 31472.02 0.008364588736
09/26/19 31565.21 31433.89 31592.11 31272.06 0.004177656663
09/27/19 31433.89 32070.81 32085.73 31368.81 -0.019859803978
09/30/19 32070.81 32078.85 32395.09 31929.62 -0.000250632426
1/10/2019 32078.85 32254.32 32290.39 32002.11 -0.005440201499
2/10/2019 32254.32 32363.35 32388.73 32180.71 -0.003368934304
3/10/2019 32363.35 32752.25 32833.54 32279.86 -0.01187399339
4/10/2019 32752.26 33033.32 33053.79 32699.24 -0.008508681537
7/10/2019 33033.32 33636.82 33850.96 32947.22 -0.017941648467
8/10/2019 33636.82 33476.62 33872.18 33409.12 0.004785429353
9/10/2019 33476.62 33523.74 33604.16 33339.32 -0.001405571097
10/10/2019 33523.74 34027.7 34047.11 33523.74 -0.014810286913
11/10/2019 34027.7 34475.69 34689.3 34027.7 -0.012994373717
10/14/19 34475.69 34186.26 34697.34 34124.81 0.008466266857
10/15/19 34186.26 34083.53 34259.23 33929.19 0.003014065738
10/16/19 34083.53 34281.09 34434.06 34083.53 -0.005762943944
10/17/19 34281.09 33898.56 34361.45 33836.97 0.01128455014
10/18/19 33898.56 33870.15 34096.39 33667.8 0.000838791679
10/21/19 33870.15 33084.73 33885.47 33074.86 0.023739652704
10/22/19 33084.73 33198.96 33240.1 32960.65 -0.003440770434
10/23/19 33198.96 33439.69 33639.76 33198.96 -0.007198930373
10/24/19 33439.69 33762.48 33862.64 33439.69 -0.009560612846
10/25/19 33762.48 33657.46 33943.81 33597.86 0.003120259223
10/28/19 33657.46 33861.59 34008.35 33572.36 -0.006028364291
10/29/19 33861.59 33797.51 34016.55 33715.97 0.001895997664
10/30/19 33797.51 33761.41 33951.48 33670.7 0.001069268138
10/31/19 33761.41 34203.68 34306 33761.41 -0.012930479995
1/11/2019 34203.68 34377.61 34489.51 34108.1 -0.005059397672
4/11/2019 34377.61 35277.46 35309.01 34377.61 -0.025507788826
5/11/2019 35277.46 35358.31 35608.77 35243.22 -0.002286591186
6/11/2019 35358.31 35653.33 35985.21 35358.31 -0.008274682898
7/11/2019 35653.33 35758.52 35834.24 35458.1 -0.002941676557
8/11/2019 35758.52 35978.16 36048.52 35758.52 -0.006104814699
11/11/2019 35978.16 36803.1 36817.73 35978.16 -0.022414959609
12/11/2019 36803.1 36765.56 37171.04 36672.22 0.001021064279
11/13/19 36765.56 37166.96 37289.41 36481.03 -0.010799914763
11/14/19 37166.96 37243.2 37507.02 37130.01 -0.002047085105
11/15/19 37243.2 37583.89 37634.75 37225.61 -0.009064788131
11/18/19 37583.89 38411.56 38452.73 37583.89 -0.021547419579
11/19/19 38411.56 38564.37 38911.46 38393.61 -0.003962465872
11/20/19 38564.37 38037.68 38661.71 37977.63 0.013846533227
11/21/19 38037.68 37101.31 38096.56 37033.45 0.025238192398
11/22/19 37101.31 37925.79 37948.37 36953.96 -0.021739296663
11/25/19 37925.79 38212.28 38293.08 37839.03 -0.007497328084
11/26/19 38212.28 37795.05 38568.05 37535.89 0.011039276307
11/27/19 37795.05 38122.72 38122.72 37671.63 -0.008595136968
11/28/19 38122.72 38706.27 38847.19 38122.72 -0.015076368764
11/29/19 38706.27 39287.65 39452.76 38706.27 -0.014798034497
2/12/2019 39287.65 40124.22 40144.12 39287.65 -0.020849501872
3/12/2019 40124.22 39788.73 40444.05 39725.7 0.008431784578
4/12/2019 39788.73 40270.52 40306.55 39659.43 -0.01196383856
5/12/2019 40270.52 40641.1 40809.31 40270.52 -0.009118355556
6/12/2019 40641.1 40732.25 40987.76 40595.96 -0.002237784556
9/12/2019 40732.25 40442.8 40916.39 40314.94 0.007157021769
10/12/2019 40442.81 40664.6 40704.22 40259.03 -0.00545437555
11/12/2019 40664.6 40531.42 40911.19 40450.98 0.003285845894
12/12/2019 40531.42 40514.17 40769.88 40172.32 0.000425776957
12/13/19 40514.17 40916.59 41077.82 40514.17 -0.009835130445
12/16/19 40916.59 41644.88 41699.04 40916.59 -0.01748810418
12/17/19 41644.88 41768.66 42056.14 41025.71 -0.00296346591
12/18/19 41768.66 41603.71 41920.62 41389.6 0.00396479064
12/19/19 41603.71 40655.37 41796.33 40414.36 0.02332631581
12/20/19 40655.37 40832.99 41054.42 40493.99 -0.004349914126
12/23/19 40832.99 40008.29 40832.99 39931.78 0.020613227909
12/24/19 40008.29 40328.32 40488.68 39455.33 -0.007935614476
12/26/19 40328.32 41127.79 41148.72 40328.32 -0.019438681242
12/27/19 41127.79 40848.53 41289.68 40726.65 0.006836476123
12/30/19 40848.53 40887.62 41295.28 40815.8 -0.000956035103
12/31/19 40887.62 40735.08 40997.5 40689.02 0.003744683943
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.490288884329
R Square 0.240383190096
Adjusted R 0.226050797457
Standard E 0.010856905059
Observatio 55

ANOVA
df SS MS F Significance F
Regression 1 0.001976958156 0.0019769582 16.772020983 0.00014483351
Residual 53 0.006247236535 0.0001178724
Total 54 0.008224194691

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept -0.00777440952 0.00399749105 -1.9448222445 0.0571107666 -0.0157923612 0.0002435421
Rm-Rf 0.753017609028 0.183870659418 4.0953657936 0.0001448335 0.38421977024 1.1218154478

RESIDUAL OUTPUT

Observation Predicted Ri-Rf Residuals

1 -0.01883987978 -0.00852854127
2 -0.01775527396 -0.00161274795
3 -0.02294466349 -0.00478945022
4 -0.04265316256 -0.00774813456
5 -0.03228496156 0.000864404559
6 -0.02030398173 0.021167143929
7 -0.02608240379 -0.00163020023
8 -0.02204026601 -0.00581313713
9 -0.02977923269 0.005768001245
10 -0.0266673148 -0.00815189089
11 -0.01627269177 -0.00412233094
12 -0.02229653412 0.003285067135
13 -0.02403421809 0.006015200653
14 -0.02735300789 -0.00264895328
15 -0.02959908958 0.005692076494
16 -0.02576052183 -0.0096270527
17 -0.02715802143 0.009858117864
18 -0.0223788156 -0.01765520443
19 -0.02572815369 -0.00381883245
20 -0.02662168619 0.014166009088
21 -0.02251450717 0.005731158067
22 -0.02638579828 -0.00093952103
23 -0.0285711285 -0.0141895176
24 -0.03191272425 -0.00095192514
25 -0.0208624884 -0.0269691128
26 -0.01968424945 0.008928693894
27 -0.01463188127 -0.01539979772
28 -0.01236256547 -0.01808675533
29 -0.02783833592 0.001951909325
30 -0.02186581877 0.007261815288
31 -0.02214452155 -0.00545610032
32 -0.02245701298 0.004534215681
33 -0.01783205268 0.006562627155
34 -0.01788965885 -0.00990659895
35 -0.02886030394 0.007994802812
36 -0.01891338909 0.007467858366
37 -0.02180768334 0.005487374946
38 -0.01505225198 0.006035422927
39 -0.00760591695 0.01285110402
40 -0.02032461802 0.005069143566
41 -0.02981280277 0.007627806412
42 -0.0320603154 -0.03512913637
43 -0.02682682305 0.016283915868
44 -0.02167303332 0.004835366422
45 -0.02054324782 0.002303191501
46 -0.01758392697 -0.00224004768
47 -0.01618678644 0.009746108476
48 -0.0223294497 -0.01122211665
49 -0.02230005159 -0.00015781358
50 -0.02346226138 0.002935853239
51 -0.02050014887 0.000149333224
52 -0.01297339676 -0.00999967075
53 -0.03339779899 0.019910736858
54 -0.01816247769 0.007400352981
55 -0.02157262694 0.008909777978
 Lower 95.0% Upper 95.0%
-0.0157923612 0.0002435421
0.3842197702 1.1218154478
 Excess of Excess of
company company
reutrns reutrns
Ri Rm RF Ri-Rf Rm-Rf Predicted Ri-Rf
-0.007368 0.005305 0.02 -0.027368 -0.014695 -0.01883987978
0.000632 0.006746 0.02 -0.019368 -0.013254 -0.01775527396
-0.007734 -0.000146 0.02 -0.027734 -0.020146 -0.02294466349
-0.030401 -0.026319 0.02 -0.050401 -0.046319 -0.04265316256
-0.011421 -0.01255 0.02 -0.031421 -0.03255 -0.03228496156
0.020863 0.003361 0.02 0.000863 -0.016639 -0.02030398173
-0.007713 -0.004313 0.02 -0.027713 -0.024313 -0.02608240379 0.01
-0.007853 0.001055 0.02 -0.027853 -0.018945 -0.02204026601
-0.004011 -0.009222 0.02 -0.024011 -0.029222 -0.02977923269
0
-0.014819 -0.00509 0.02 -0.034819 -0.02509 -0.0266673148 1 5 9 1 3 17 2 1 2
-0.000395 0.008714 0.02 -0.020395 -0.011286 -0.01627269177
-0.01
0.000989 0.000715 0.02 -0.019011 -0.019285 -0.02229653412
0.001981 -0.001593 0.02 -0.018019 -0.021593 -0.02403421809
-0.010002 -0.006 0.02 -0.030002 -0.026 -0.02735300789 -0.02
-0.003907 -0.008983 0.02 -0.023907 -0.028983 -0.02959908958
-0.015388 -0.003885 0.02 -0.035388 -0.023885 -0.02576052183 -0.03
0.0027 -0.005741 0.02 -0.0173 -0.025741 -0.02715802143
-0.020034 0.000605 0.02 -0.040034 -0.019395 -0.0223788156 -0.04
-0.009547 -0.003842 0.02 -0.029547 -0.023842 -0.02572815369
0.007544 -0.005029 0.02 -0.012456 -0.025029 -0.02662168619
-0.05
0.003217 0.000425 0.02 -0.016783 -0.019575 -0.02251450717
-0.007325 -0.004716 0.02 -0.027325 -0.024716 -0.02638579828
-0.022761 -0.007618 0.02 -0.042761 -0.027618 -0.0285711285
-0.012865 -0.012055 0.02 -0.032865 -0.032055 -0.03191272425
-0.027832 0.002619 0.02 -0.047832 -0.017381 -0.0208624884
0.009244 0.004184 0.02 -0.010756 -0.015816 -0.01968424945
-0.010032 0.010893 0.02 -0.030032 -0.009107 -0.01463188127
-0.010449 0.013907 0.02 -0.030449 -0.006093 -0.01236256547
-0.005886 -0.006645 0.02 -0.025886 -0.026645 -0.02783833592
0.005396 0.001287 0.02 -0.014604 -0.018713 -0.02186581877
-0.007601 0.000917 0.02 -0.027601 -0.019083 -0.02214452155
0.002077 0.000502 0.02 -0.017923 -0.019498 -0.02245701298
0.008731 0.006644 0.02 -0.011269 -0.013356 -0.01783205268
-0.007796 0.006567 0.02 -0.027796 -0.013433 -0.01788965885
-0.000866 -0.008002 0.02 -0.020866 -0.028002 -0.02886030394
0.008554 0.005208 0.02 -0.011446 -0.014792 -0.01891338909
0.00368 0.001364 0.02 -0.01632 -0.018636 -0.02180768334
0.010983 0.010335 0.02 -0.009017 -0.009665 -0.01505225198
0.025245 0.020224 0.02 0.005245 0.000224 -0.00760591695
0.004745 0.003333 0.02 -0.015255 -0.016667 -0.02032461802
-0.002185 -0.009267 0.02 -0.022185 -0.029267 -0.02981280277
-0.047189 -0.012251 0.02 -0.067189 -0.032251 -0.0320603154
0.009457 -0.005301 0.02 -0.010543 -0.025301 -0.02682682305
0.003162 0.001543 0.02 -0.016838 -0.018457 -0.02167303332
0.00176 0.003043 0.02 -0.01824 -0.016957 -0.02054324782
0.000176 0.006973 0.02 -0.019824 -0.013027 -0.01758392697
0.013559 0.008828 0.02 -0.006441 -0.011172 -0.01618678644
-0.013552 0.000671 0.02 -0.033552 -0.019329 -0.0223294497
-0.002458 0.00071 0.02 -0.022458 -0.01929 -0.02230005159
-0.000526 -0.000833 0.02 -0.020526 -0.020833 -0.02346226138
-0.000351 0.0031 0.02 -0.020351 -0.0169 -0.02050014887
-0.002973 0.013096 0.02 -0.022973 -0.006904 -0.01297339676
0.006513 -0.014028 0.02 -0.013487 -0.034028 -0.03339779899
0.009238 0.006205 0.02 -0.010762 -0.013795 -0.01816247769
0.007337 0.001676 0.02 -0.012663 -0.018324 -0.02157262694
0.01

0
1 5 9 1 3 17 2 1 25 2 9 3 3 37 4 1 45 49 5 3
-0.01

Rm-Rf
-0.02
Predicted Ri-Rf

-0.03

-0.04

-0.05
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.22167993694601
R Square 0.04914199444439
Adjusted R Square -0.00679082941182
Standard Error 6.28613213311208
Observations 55

ANOVA
df SS MS F Significance F
Regression 3 104.1536030578 34.717867686 0.8785895483 0.45840135771
Residual 51 2015.288316942 39.515457195
Total 54 2119.44192

Coefficients Standard Error t Stat P-value Lower 95%

Intercept -1.4421041968831 2.846687777036 -0.5065902234 0.6146256016 -7.1570683772
SMB 0.52543011586982 0.335215008982 1.5674420947 0.1231957731 -0.1475420957
HML -0.15631262685446 0.312083675603 -0.5008676809 0.6186191526 -0.782846749
RF 8.12401576192293 10.00723002247 0.8118146324 0.4206709929 -11.966336817

RESIDUAL OUTPUT

Observation Predicted Mkt-RF Residuals

1 -0.41469275668834 3.374692756688
2 -0.80165232514031 3.44165232514
3 -0.26871145085753 0.628711450858
4 1.09887861187125 -4.33887861187
5 1.0259640855381 1.504035914462
6 0.81472926435761 1.805270735642
7 -0.46033110899652 0.400331108997
8 0.12208586250123 4.057914137499
9 0.57176706000348 -0.44176706
10 0.72104711730897 -0.26104711731
11 0.96533574467772 4.474664255322
12 1.156250374763 -3.49625037476
13 -0.52071609541456 7.780716095415
14 1.03110412612201 0.938895873878
15 -1.50086443546787 6.260864435468
16 2.38489956468016 -6.69489956468
17 1.76258314724629 4.817416852754
18 0.9995206629646 1.090479337035
19 2.93452282737957 -3.61452282738
20 0.28005358186531 -1.98005358187
21 0.96482369617375 7.845176303826
22 1.77865497280677 2.451345027193
23 3.26420428114073 -1.74420428114
24 -0.75328595862009 -4.09671404138
25 0.52171712512958 0.09828287487
26 0.39976014974463 6.280239850255
27 1.82088272822685 1.059117271773
28 3.43473516522087 -2.10473516522
29 0.25631792773075 11.55368207227
30 -1.3074912735444 1.667491273544
31 -0.35082316951457 5.010823169515
32 1.01501851910443 -1.3550185191
33 -1.42214091628793 0.532140916288
34 0.86332378542666 0.566676214573
35 -0.4597507039443 -5.93024929606
36 2.07362349799763 7.626376502002
37 -1.2156394324563 5.675639432456
38 -3.20397135280587 11.38397135281
39 2.11453151027592 -7.58453151028
40 -1.07586593995494 -19.04413406
41 -0.26768188625856 -12.4723181137
42 -0.6191063168438 1.949106316844
43 1.71315637308827 3.896843626912
44 1.00244452228361 1.497555477716
45 3.18007972319523 3.919920276805
46 0.2901556965045 -2.3501556965
47 -0.30326058023926 -1.35673941976
48 -1.26363877029105 -15.0063612297
49 0.23213751052261 3.887862489477
50 -1.75547378659456 2.055473786595
51 0.00249195703196 -12.752491957
52 -0.5524637436435 -8.22753625636
53 1.32700198103543 -4.36700198104
54 -1.91441244631185 -5.91558755369
55 0.63817129595661 5.601828704043
 Upper 95% Lower 95.0% Upper 95.0%
4.2728599835 -7.1570683772 4.2728599835
1.1984023275 -0.1475420957 1.1984023275
0.4702214953 -0.782846749 0.4702214953
28.214368341 -11.966336817 28.214368341
Rp Predicted Mkt-RF Mkt-RF SMB HML RF
-0.0073684211 -0.41469275668834 2.96 -2.3 -2.87 0.22
0.0006319781 -0.80165232514031 2.64 -1.4 4.19 0.25
-0.0077341137 -0.26871145085753 0.36 -1.32 0.01 0.23
-0.0304012971 1.09887861187125 -3.24 0.04 0.51 0.32
-0.011420557 1.0259640855381 2.53 -0.2 -0.35 0.31 Intercept
0.0208631622 0.81472926435761 2.62 -0.04 -0.02 0.28 SMB
-0.007712604 -0.46033110899652 -0.06 -0.56 4.83 0.25 HML
-0.0078534031 0.12208586250123 4.18 -0.1 3.17 0.26 RF
-0.0040112314 0.57176706000348 0.13 -1.6 -2.67 0.3
-0.0148192057 0.72104711730897 0.46 0.43 0.6 0.25
-0.0003950227 0.96533574467772 5.44 1.41 4.93 0.3
0.000988533 1.156250374763 -2.34 0.47 -1.53 0.26
0.0019809826 -0.52071609541456 7.26 -3.23 -1.16 0.3
-0.0100019612 1.03110412612201 1.97 -0.72 -3.69 0.28
-0.0039070131 -1.50086443546787 4.76 -3.57 -0.71 0.21
-0.0153875745 2.38489956468016 -4.31 2.13 -4.33 0.25 4
0.0027000964 1.76258314724629 6.58 2.76 -0.31 0.21
3
-0.02003402 0.9995206629646 2.09 0.93 -1.06 0.22
-0.0095469861 2.93452282737957 -0.68 4.25 -0.72 0.25 2
0.0075443229 0.28005358186531 -1.7 -2.03 -0.69 0.33
0.0032166509 0.96482369617375 8.81 -0.26 -1.2 0.29 1
-0.0073253193 1.77865497280677 4.23 3.82 3.67 0.22
0
-0.0227606461 3.26420428114073 1.52 2.98 -3.46 0.32
1 5 9 13 1 7 2 1 25 2 9
-0.0128646494 -0.75328595862009 -4.85 -3.5 -0.06 0.31 -1
-0.0278316012 0.52171712512958 0.62 -1.35 -0.47 0.32
0.0092444444 0.39976014974463 6.68 -2.07 -2.11 0.32 -2
-0.010031679 1.82088272822685 2.88 2.33 0.99 0.27
-3
-0.0104493208 3.43473516522087 1.33 2.27 -2.26 0.41
-0.0058864266 0.25631792773075 11.81 -1.81 2.8 0.38 -4
0.0053959965 -1.3074912735444 0.36 -0.85 -0.6 0.06
-0.0076006219 -0.35082316951457 4.66 -3.54 -1.21 0.34
0.0020772027 1.01501851910443 -0.34 -0.39 1.68 0.36
0.0087305745 -1.42214091628793 -0.89 -4.74 1.61 0.34
-0.0077962578 0.86332378542666 1.43 -1 0.6 0.36
-0.0008655011 -0.4597507039443 -6.39 -5.35 -1.4 0.44
0.0085544693 2.07362349799763 9.7 -2.17 -2.76 0.52
0.0036796916 -1.2156394324563 4.46 -3.88 2.66 0.33
0.0109831709 -3.20397135280587 8.18 -9.52 0.06 0.4
0.0252451871 2.11453151027592 -5.47 1.17 -0.63 0.35
0.0047445255 -1.07586593995494 -20.12 -4.08 7.85 0.46
-0.0021849964 -0.26768188625856 -12.74 -1.9 5.33 0.37
-0.0471894518 -0.6191063168438 1.33 -4.33 -0.59 0.37
0.0094570928 1.71315637308827 5.61 3.54 -1.01 0.14
0.0031623331 1.00244452228361 2.5 0.13 0.39 0.3
 0.0017599437 3.18007972319523 7.1 3.43 0.15 0.35
0.0001760253 0.2901556965045 -2.06 -0.2 -0.84 0.21
0.013559322 -0.30326058023926 -1.66 -2.04 -0.63 0.26
-0.0135515663 -1.26363877029105 -16.27 -3.24 2 0.27
-0.0024578652 0.23213751052261 4.12 -0.37 -1.56 0.2
-0.0005264081 -1.75547378659456 0.3 -2.22 -0.78 0.09
-0.0003508156 0.00249195703196 -12.75 -2.22 -5.27 0.22
-0.0029730675 -0.5524637436435 -8.78 -0.1 -1.35 0.09
0.0065129379 1.32700198103543 -3.04 2.21 -3.53 0.13
0.0092378753 -1.91441244631185 -7.83 -4.67 -5.4 0.14
0.007337151 0.63817129595661 6.24 3.77 7.16 0.15
 Mkt-RF 0.406
SMB -0.8145454545
Coefficients HML -0.0370909091
-1.4421041969 RF 0.2794545455
0.5254301159 e -0.0030082897
-0.1563126269 t 0.406
8.1240157619

Rp = a+ b1(Mket-rf) +b2(SMB) +b3(HML)+et

Rp -1.404004

Rp
Predicted Mkt-RF
5 9 13 1 7 2 1 25 2 9 33 3 7 41 4 5 49 5 3
Strike 100
Premimum 15
Quantity 1500

Intrinsic
Expiration Vlaue P&L
55 0 -22500
60 0 -22500
65 0 -22500 60000
70 0 -22500
50000
75 0 -22500
80 0 -22500 40000
85 0 -22500
30000
90 0 -22500
95 0 -22500 20000
100 0 -22500 10000
105 5 -15000
110 10 -7500 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 1
115 15 0 -10000
120 20 7500
125 25 15000 -20000
130 30 22500 -30000
135 35 30000
140 40 37500
145 45 45000
150 50 52500
 Expiration
P&L

7 8 9 10 11 12 13 14 15 16 17 18 19 20
Strike 100
Premimum 15
Quantity 1500

Intrinsic
Expiration value P&L
55 0 22500
60 0 22500
65 0 22500 30000
70 0 22500
20000
75 0 22500
80 0 22500 10000
85 0 22500
0
90 0 22500 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17
95 0 22500 -10000
100 0 22500 -20000
105 5 15000
110 10 7500 -30000
115 15 0 -40000
120 20 -7500
125 25 -15000 -50000
130 30 -22500 -60000
135 35 -30000
140 40 -37500
145 45 -45000
150 50 -52500
6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
Expiration
P&L