Value at Risk (VaR)

1 Day VaR @ 99% CI 95% CI 90% CI

Variance Covariance $ (35,609) $ (24,962) $ (19,286)
Historical Simulation $ (36,254) $ (24,161) $ (19,101)
Monte Carlo Simulation $ (35,447) $ (27,202) $ (20,115)

Value at Risk (VaR) Backtesting - Traffic Light Approach

1 Day VaR @ 99% CI Backtest
Variance Covariance 3 Green Zone
Historical Simulation 2 Green Zone
Monte Carlo Simulation 3 Green Zone

1 day VaR Backtest @ 99% CI Variance Covariance Historical Method Monte Carlo Method
p 1% 1% 1%
x 3 2 3
n 251 251 251
p^​ 1.20% 0.80% 1.20%
LR 0.091 0.113 0.091
p value 76.30% 73.73% 76.30%
p value > 5% Reliable Reliable Reliable

Expected Shortfall Variance Covariance Historical Method Monte Carlo Method

ES @ 99% CI 95% CI 90% CI
Historical Simulation $ (43,819) $ (32,160) $ (26,954)
Monte Carlo Simulation $ (42,764) $ (32,879) $ (28,021)
 JPM
180.00 40.00
160.00 35.00
140.00 30.00
120.00
25.00
100.00
20.00
80.00
15.00
60.00
10.00
40.00
20.00 5.00

0.00 0.00

22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23 23 23 22 22 22 22 22 22 22
1/ 7/ 2/ 8/ 4/ 0/ 5/ 1/ 7/ 3/ 8/ 4/ 9/ 5/ 3/ 9/ 4/ 0/ 6/ 1/ 7/ 3/ 9/ / 1/ 18/ /4/ 21/ /8/ 25/ 11/ 2
8/ 8/1 9/ 9/1 10/ 0/2 11/ 1/2 12/ 2/2 1/ 1/2 2/ 2/2 3/1 3/2 4/1 4/3 5/1 6/ 6/1 7/ 7/1 8 8/ 9 9/ 10 0/ 1/ 1/
1 1 1
1 1 1

MS
120.00

100.00

80.00

60.00

40.00

20.00

0.00
22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23 23 23
1/ 7/ 2/ 8/ 4/ 0/ 5/ 1/ 7/ 3/ 8/ 4/ 9/ 5/ 3/ 9/ 4/ 0/ 6/ 1/ 7/ 3/ 9/
8/ 8/1 9/ 9/1 10/ 0/2 11/ 1/2 12/ 2/2 1/ 1/2 2/ 2/2 3/1 3/2 4/1 4/3 5/1 6/ 6/1 7/ 7/1
1 1 1
 BAC
40.00
35.00
30.00
25.00
20.00
15.00
10.00
5.00
0.00
22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23 23 23
/ 1/ 18/ /4/ 21/ /8/ 25/ 11/ 28/ 15/ /1/ 18/ /4/ 21/ 10/ 27/ 13/ 30/ 17/ /3/ 20/ /7/ 24/
8 8/ 9 9/ 10 0/ 1/ 1/ 2/ 1 1/ 2 2/ 3/ 3/ 4/ 4/ 5/ 6 6/ 7 7/
1 1 1 1
 Step 1: Download Historical Dataset

Date JPM MS BAC

8/1/2022 110.73 81.16 32.55 JPM
8/2/2022 109.01 80.62 31.90
180.00
8/3/2022 110.15 82.08 32.48
160.00
8/4/2022 108.94 82.38 32.25
140.00
8/5/2022 112.23 83.12 32.79
120.00
8/8/2022 110.87 83.03 32.33
100.00
8/9/2022 111.87 83.35 32.75
80.00
8/10/2022 114.78 85.79 33.86
60.00
8/11/2022 116.48 87.05 34.67
40.00
8/12/2022 118.41 88.46 35.05
20.00
8/15/2022 118.73 88.81 35.00
0.00
8/16/2022 119.86 88.62 35.38
22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23
8/17/2022 118.86 88.16 35.15 / 1/ 17/ /2/ 18/ /4/ 20/ /5/ 21/ /7/ 23/ /8/ 24/ /9/ 25/ 13/ 29/ 14/ 30/ 16/ /1/ 17/ /3
8 8/ 9 9/ 10 0/ 11 1/ 12 2/ 1 1/ 2 2/ 3/ 3/ 4/ 4/ 5/ 6 6/ 7
8/18/2022 117.94 88.53 35.03 1 1 1

8/19/2022 115.02 86.87 34.26

8/22/2022 113.12 85.37 33.52 BAC
8/23/2022 112.00 85.22 33.22 40.00
8/24/2022 112.27 85.51 33.33
35.00
8/25/2022 114.94 86.77 33.93
30.00
8/26/2022 111.18 83.78 32.86
8/29/2022 110.91 82.37 32.73 25.00

8/30/2022 110.93 81.48 32.91 20.00

8/31/2022 110.27 82.25 32.45 15.00
9/1/2022 111.02 83.16 32.53 10.00
9/2/2022 110.25 83.39 32.49 5.00
9/6/2022 110.28 82.16 32.13
0.00
9/7/2022 112.37 83.83 32.63
22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23
9/8/2022 114.99 85.35 33.68 / 1/ 17/ /2/ 18/ /4/ 20/ /5/ 21/ /7/ 23/ /8/ 24/ /9/ 25/ 13/ 29/ 14/ 30/ 16/ /1/ 17/ /3
8 8/ 9 9/ 10 0/ 11 1/ 12 2/ 1 1/ 2 2/ 3/ 3/ 4/ 4/ 5/ 6 6/ 7
9/9/2022 115.54 86.34 33.96 1 1 1

9/12/2022 116.91 87.00 34.28

9/13/2022 112.85 84.01 33.04 MS
9/14/2022 112.58 84.14 32.92
120.00
9/15/2022 114.28 85.18 33.54
9/16/2022 113.51 84.38 33.16 100.00
9/19/2022 114.56 85.62 33.71
80.00
9/20/2022 112.30 84.15 33.21
9/21/2022 109.06 83.35 32.22 60.00
9/22/2022 107.82 81.81 31.59
40.00
9/23/2022 105.82 78.67 30.84
9/26/2022 103.54 76.98 30.16 20.00

0.00
22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23
1/ 7/ 2/ 8/ 4/ 0/ 5/ 1/ 7/ 3/ 8/ 4/ 9/ 5/ 3/ 9/ 4/ 0/ 6/ 1/ 7/ 3
8/ 8/1 9/ 9/1 10/ 0/2 11/ 1/2 12/ 2/2 1/ 1/2 2/ 2/2 3/1 3/2 4/1 4/3 5/1 6/ 6/1 7/
1 1 1
 60.00

40.00

20.00
9/27/2022 102.63 76.71 29.71
0.00
9/28/2022 104.70 78.63 30.20
22 22 22 22 22 22 22 22 22 22 23 23 23 23 23 23 23 23 23 23 23
9/29/2022 102.93 77.07 29.80 / 1/ 17/ /2/ 18/ /4/ 20/ /5/ 21/ /7/ 23/ /8/ 24/ /9/ 25/ 13/ 29/ 14/ 30/ 16/ /1/ 17/ /3
8 8/ 9 9/ 10 0/ 11 1/ 12 2/ 1 1/ 2 2/ 3/ 3/ 4/ 4/ 5/ 6 6/ 7
9/30/2022 101.32 76.25 29.35 1 1 1
10/3/2022 104.45 77.58 30.22
10/4/2022 109.34 81.04 31.47
10/5/2022 107.99 80.21 31.02
10/6/2022 105.78 78.47 30.57
10/7/2022 103.67 76.18 29.88
10/10/2022 102.70 75.67 29.80
10/11/2022 99.74 74.31 28.93
10/12/2022 101.35 73.93 29.02
10/13/2022 106.99 76.55 30.80
10/14/2022 108.77 72.67 30.81
10/17/2022 113.34 74.45 32.67
10/18/2022 116.25 76.67 33.90
10/19/2022 113.97 74.93 32.97
10/20/2022 113.60 73.93 32.75
10/21/2022 119.57 76.46 33.97
10/24/2022 119.71 76.66 34.08
10/25/2022 120.03 77.70 34.39
10/26/2022 121.41 78.09 34.70
10/27/2022 121.89 77.87 34.86
10/28/2022 123.33 80.12 35.16
10/31/2022 123.14 80.07 35.03
11/1/2022 125.36 81.58 35.18
11/2/2022 124.20 82.22 35.07
11/3/2022 124.43 81.49 34.88
11/4/2022 127.83 82.68 35.75
11/7/2022 128.51 83.39 35.97
11/8/2022 128.59 83.10 36.07
11/9/2022 126.91 81.32 35.49
11/10/2022 132.14 86.53 37.06
11/11/2022 132.35 88.46 37.33
11/14/2022 130.99 87.52 36.70
11/15/2022 130.04 88.19 36.64
11/16/2022 130.22 87.53 36.31
11/17/2022 129.65 86.68 36.12
11/18/2022 130.92 86.92 36.14
11/21/2022 130.15 86.81 36.26
11/22/2022 132.10 87.38 36.44
11/23/2022 133.51 87.63 36.55
11/25/2022 133.76 88.59 36.64
11/28/2022 131.42 87.59 35.82
11/29/2022 133.59 88.75 35.96
11/30/2022 135.17 90.69 36.78
12/1/2022 133.27 90.63 35.73
12/2/2022 132.22 89.75 35.27
12/5/2022 128.51 87.52 33.70
12/6/2022 128.72 85.28 32.26
12/7/2022 128.64 85.05 32.00
12/8/2022 129.99 86.43 31.71
12/9/2022 129.28 87.19 31.65
12/12/2022 131.29 88.79 32.00
12/13/2022 131.16 90.34 32.01
12/14/2022 130.50 88.19 31.56
12/15/2022 127.27 85.55 31.06
12/16/2022 126.47 84.64 30.99
12/19/2022 127.23 83.37 31.34
12/20/2022 127.84 82.99 31.47
12/21/2022 129.28 84.65 31.95
12/22/2022 127.81 84.16 31.66
12/23/2022 128.42 83.91 31.74
12/27/2022 128.87 82.89 31.80
12/28/2022 129.57 82.30 32.03
12/29/2022 130.32 83.06 32.40
12/30/2022 131.18 82.85 32.38
1/3/2023 132.18 83.53 32.76
1/4/2023 133.41 84.44 33.37
1/5/2023 133.38 83.73 33.30
1/6/2023 135.93 85.32 33.64
1/9/2023 135.37 85.40 33.13
1/10/2023 136.58 86.65 33.35
1/11/2023 137.60 87.15 33.61
1/12/2023 137.46 88.22 33.70
1/13/2023 140.93 89.32 34.44
1/17/2023 138.75 94.60 33.74
1/18/2023 134.58 94.11 32.96
1/19/2023 132.79 91.75 32.48
1/20/2023 133.11 93.78 33.09
1/23/2023 135.27 94.65 33.55
1/24/2023 136.43 93.07 33.79
1/25/2023 137.10 93.20 34.09
1/26/2023 137.94 94.04 34.55
1/27/2023 138.28 94.39 34.65
1/30/2023 137.11 94.26 34.51
1/31/2023 137.92 95.61 34.68
2/1/2023 137.56 96.45 35.11
2/2/2023 136.92 97.46 35.32
2/3/2023 139.04 97.67 35.61
 2/6/2023 139.85 97.15 35.55
2/7/2023 141.56 97.47 35.94
2/8/2023 140.56 97.21 35.68
2/9/2023 138.38 96.32 34.92
2/10/2023 138.99 96.70 34.78
2/13/2023 140.49 97.67 34.85
2/14/2023 141.12 98.78 34.82
2/15/2023 141.71 99.05 34.76
2/16/2023 139.76 97.81 34.49
2/17/2023 140.17 97.75 34.56
2/21/2023 137.60 95.89 33.74
2/22/2023 136.54 95.55 33.52
2/23/2023 137.64 96.21 33.49
2/24/2023 138.88 95.97 33.44
2/27/2023 140.09 94.99 33.44
2/28/2023 141.26 94.79 33.53
3/1/2023 140.48 94.49 33.37
3/2/2023 139.02 94.38 32.95
3/3/2023 141.57 96.59 33.61
3/6/2023 140.74 96.64 33.54
3/7/2023 136.60 94.36 32.47
3/8/2023 135.79 94.21 32.04
3/9/2023 128.44 90.57 30.05
3/10/2023 131.70 88.46 29.78
3/13/2023 129.34 86.44 28.05
3/14/2023 132.66 88.38 28.30
3/15/2023 126.39 83.88 28.03
3/16/2023 128.85 85.47 28.50
3/17/2023 123.98 82.69 27.37
3/20/2023 125.29 84.13 27.30
3/21/2023 128.65 87.19 28.13
3/22/2023 125.33 86.00 27.19
3/23/2023 124.99 84.32 26.54
3/24/2023 123.09 82.47 26.70
3/27/2023 126.62 83.14 28.03
3/28/2023 127.00 83.38 27.67
3/29/2023 127.26 84.72 28.21
3/30/2023 126.88 84.59 27.84
3/31/2023 128.41 86.25 28.14
4/3/2023 128.27 85.62 28.13
4/4/2023 126.55 83.32 27.53
4/5/2023 126.74 82.34 27.19
4/6/2023 126.60 82.70 27.39
4/10/2023 127.02 82.52 27.49
4/11/2023 127.64 83.59 28.25
4/12/2023 127.62 83.96 28.02
4/13/2023 128.11 84.18 28.10
4/14/2023 137.78 85.18 29.04
4/17/2023 138.88 87.71 29.88
4/18/2023 140.44 88.26 30.07
4/19/2023 140.26 88.85 29.58
4/20/2023 139.85 88.83 29.42
4/21/2023 139.58 89.51 29.39
4/24/2023 139.77 88.61 29.28
4/25/2023 136.73 86.50 28.38
4/26/2023 134.31 86.88 27.98
4/27/2023 136.12 88.66 28.42
4/28/2023 137.30 89.15 28.81
5/1/2023 140.24 87.12 28.57
5/2/2023 137.97 85.50 27.71
5/3/2023 135.05 83.97 27.41
5/4/2023 133.21 81.85 26.56
5/5/2023 135.81 84.10 27.26
5/8/2023 136.14 83.66 27.24
5/9/2023 135.48 83.60 27.21
5/10/2023 135.55 82.95 26.88
5/11/2023 135.12 81.87 26.95
5/12/2023 133.19 81.63 26.65
5/15/2023 134.31 82.19 27.20
5/16/2023 133.40 81.11 26.92
5/17/2023 137.51 83.14 28.11
5/18/2023 138.55 83.72 28.01
5/19/2023 138.23 81.49 27.66
5/22/2023 137.09 81.52 27.88
5/23/2023 135.66 81.88 28.12
5/24/2023 134.42 80.48 27.65
5/25/2023 134.74 82.24 27.72
5/26/2023 136.01 83.13 27.85
5/30/2023 136.52 82.66 27.80
5/31/2023 134.78 81.01 27.34
6/1/2023 136.64 81.32 27.55
6/2/2023 139.51 83.58 28.47
6/5/2023 138.14 82.97 28.30
6/6/2023 138.39 85.07 28.99
6/7/2023 139.73 85.71 29.24
6/8/2023 139.77 85.52 28.99
6/9/2023 140.05 85.42 29.03
6/12/2023 140.04 86.64 28.89
6/13/2023 141.05 87.47 29.16
6/14/2023 140.52 87.17 28.88
6/15/2023 142.11 88.23 29.13
6/16/2023 142.28 87.28 28.95
6/20/2023 141.56 85.94 28.63
6/21/2023 141.35 85.55 28.33
6/22/2023 138.63 83.73 27.73
6/23/2023 137.90 82.81 27.52
6/26/2023 138.24 82.82 27.86
6/27/2023 138.25 83.66 28.01
6/28/2023 137.64 83.22 27.84
6/29/2023 142.45 84.46 28.42
6/30/2023 144.45 84.62 28.45
7/3/2023 145.61 85.62 28.96
7/5/2023 144.64 85.13 28.84
7/6/2023 143.21 82.57 28.05
7/7/2023 144.34 82.60 28.29
7/10/2023 145.15 82.64 28.42
7/11/2023 147.42 84.18 28.78
7/12/2023 148.15 84.98 29.12
7/13/2023 148.87 85.42 29.42
7/14/2023 149.77 84.99 28.87
7/17/2023 153.38 85.58 29.16
7/18/2023 153.66 91.10 30.45
7/19/2023 154.25 92.31 31.27
7/20/2023 156.15 92.94 31.43
7/21/2023 154.95 93.15 31.72
7/24/2023 158.00 93.80 32.38
7/25/2023 156.82 93.55 31.88
7/26/2023 157.76 92.68 32.14
7/27/2023 156.02 91.90 31.69
7/28/2023 156.91 91.57 31.64
7/31/2023 157.96 91.56 31.74
8/1/2023 157.18 90.94 31.36
 Step 1: Download Stock Data from Yahoo Finance
1. Visit Yahoo Finance: Go to the Yahoo Finance website at
[Link].
2. Search for the Stock: Use the search bar to find the stock or
company you're interested in.
3. Select the Stock: Click on the stock or company name in the
search results to access its summary page.
4. Access Historical Data: On the stock's summary page, look
for a tab or section that says "Historical Data" or "Historical
Prices." Click on it.
5. Set Date Range: Choose the date range for the historical
3 23 23 23 23 23 23 23 23 23 23
5/ 3/ 9/ 4/ 0/ 6/ 1/ 7/ 3/ 9/ data you want to download. You can usually specify a start
/2 3/1 3/2 4/1 4/3 5/1 6/ 6/1 7/ 7/1 and end date.
6. Choose Frequency: Select the frequency of the data, such
as daily, weekly, or monthly.
7. Download Data: Look for an option to download the data.
This might be labeled as "Download Data" or something
similar. Yahoo Finance often provides a "Download" button or
a link to download the data in various formats (e.g., CSV,
Excel).
8. Choose Data Format: Select the format in which you want
to download the data (e.g., CSV, Excel).
9. Confirm and Download: Confirm your selections, and then
click the "Download" or "Submit" button to initiate the
download.
3 23 23 23 23 23 23 23 23 23 23
/ / / / / / / / / /
25 /13 /29 /14 /30 /16 6/1 /17 7/3 /19
3 3 4 4 5 6 7

3 23 23 23 23 23 23 23 23 23 23
/ / / / / / / / / /
25 /13 /29 /14 /30 /16 6/1 /17 7/3 /19
3 3 4 4 5 6 7
3 23 23 23 23 23 23 23 23 23 23
/ / / / / / / / / /
25 /13 /29 /14 /30 /16 6/1 /17 7/3 /19
3 3 4 4 5 6 7
 Step 2: Calculate Return

Date JPM MS BAC

8/1/2022
8/2/2022 -1.56% -0.67% -1.99%
8/3/2022 1.05% 1.82% 1.82%
8/4/2022 -1.10% 0.36% -0.71%
8/5/2022 3.03% 0.90% 1.68%
8/8/2022 -1.22% -0.12% -1.38%
8/9/2022 0.90% 0.38% 1.28%
8/10/2022 2.61% 2.93% 3.39% Formula Used to Calculate Returns:
8/11/2022 1.48% 1.47% 2.40%
8/12/2022 1.66% 1.62% 1.09% Returns = (Yt/Yt-1) - 1
8/15/2022 0.27% 0.39% -0.14%
where:
8/16/2022 0.96% -0.22% 1.08% - Yt is the Stock Price Today
8/17/2022 -0.84% -0.51% -0.63% - Yt-1 is the Stock Price Yesterday
8/18/2022 -0.77% 0.42% -0.36%
8/19/2022 -2.47% -1.88% -2.21%
8/22/2022 -1.65% -1.72% -2.14%
8/23/2022 -0.99% -0.18% -0.89%
8/24/2022 0.24% 0.34% 0.32%
8/25/2022 2.37% 1.48% 1.80%
8/26/2022 -3.27% -3.45% -3.16%
8/29/2022 -0.24% -1.68% -0.38%
8/30/2022 0.02% -1.08% 0.56% Why do we take Return of the Stocks?
8/31/2022 -0.59% 0.94% -1.41%
1. Returns provide a measure of how much the
9/1/2022 0.69% 1.11% 0.24% value of an investment has changed from one
9/2/2022 -0.70% 0.27% -0.12% period to another, regardless of the absolute
9/6/2022 0.03% -1.47% -1.11% price levels. This helps in comparing
9/7/2022 1.90% 2.03% 1.54% performance across different stocks or assets.
For example, a $5 increase in a $10 stock is a
9/8/2022 2.33% 1.82% 3.22% 50% return, which is substantially more
9/9/2022 0.48% 1.15% 0.84% significant than a $5 increase in a $100 stock.
9/12/2022 1.18% 0.77% 0.94%
9/13/2022 -3.47% -3.44% -3.60% 2. Stock prices themselves are typically non-
stationary; their distributions can change over
9/14/2022 -0.23% 0.15% -0.38% time as they might drift upwards or downwards
9/15/2022 1.51% 1.24% 1.89% without bounds. Returns (percent change in
9/16/2022 -0.67% -0.94% -1.13% prices) are more likely to be stationary, meaning
9/19/2022 0.92% 1.48% 1.67% their statistical properties such as mean and
variance are constant over time, which is a
9/20/2022 -1.97% -1.72% -1.50% crucial assumption for many time series
9/21/2022 -2.88% -0.95% -2.99% modeling techniques.
9/22/2022 -1.14% -1.84% -1.96%
9/23/2022 -1.86% -3.85% -2.37%
9/26/2022 -2.15% -2.15% -2.21%
 modeling techniques.

9/27/2022 -0.88% -0.35% -1.48%

9/28/2022 2.02% 2.50% 1.64%
9/29/2022 -1.69% -1.98% -1.32%
9/30/2022 -1.56% -1.06% -1.50%
10/3/2022 3.09% 1.73% 2.95%
10/4/2022 4.68% 4.47% 4.15%
10/5/2022 -1.23% -1.02% -1.42%
10/6/2022 -2.04% -2.17% -1.44%
10/7/2022 -2.00% -2.93% -2.26%
10/10/2022 -0.93% -0.66% -0.29%
10/11/2022 -2.89% -1.80% -2.90%
10/12/2022 1.62% -0.52% 0.30%
10/13/2022 5.56% 3.55% 6.13%
10/14/2022 1.66% -5.07% 0.03%
10/17/2022 4.20% 2.44% 6.06%
10/18/2022 2.57% 2.98% 3.75%
10/19/2022 -1.96% -2.27% -2.75%
10/20/2022 -0.33% -1.34% -0.65%
10/21/2022 5.25% 3.42% 3.71%
10/24/2022 0.12% 0.27% 0.34%
10/25/2022 0.26% 1.36% 0.91%
10/26/2022 1.15% 0.50% 0.88%
10/27/2022 0.39% -0.27% 0.48%
10/28/2022 1.19% 2.88% 0.86%
10/31/2022 -0.16% -0.06% -0.39%
11/1/2022 1.80% 1.89% 0.44%
11/2/2022 -0.92% 0.78% -0.30%
11/3/2022 0.18% -0.89% -0.55%
11/4/2022 2.74% 1.47% 2.51%
11/7/2022 0.53% 0.85% 0.60%
11/8/2022 0.06% -0.34% 0.27%
11/9/2022 -1.30% -2.15% -1.59%
11/10/2022 4.12% 6.41% 4.41%
11/11/2022 0.16% 2.23% 0.73%
11/14/2022 -1.03% -1.07% -1.69%
11/15/2022 -0.72% 0.77% -0.16%
11/16/2022 0.14% -0.75% -0.90%
11/17/2022 -0.44% -0.97% -0.51%
11/18/2022 0.98% 0.28% 0.05%
11/21/2022 -0.59% -0.13% 0.32%
11/22/2022 1.50% 0.66% 0.48%
11/23/2022 1.07% 0.29% 0.32%
11/25/2022 0.19% 1.09% 0.24%
11/28/2022 -1.75% -1.12% -2.23%
11/29/2022 1.64% 1.32% 0.38%
11/30/2022 1.19% 2.18% 2.30%
12/1/2022 -1.40% -0.08% -2.87%
12/2/2022 -0.79% -0.97% -1.29%
12/5/2022 -2.80% -2.49% -4.46%
12/6/2022 0.17% -2.56% -4.26%
12/7/2022 -0.07% -0.26% -0.79%
12/8/2022 1.05% 1.62% -0.92%
12/9/2022 -0.54% 0.88% -0.18%
12/12/2022 1.55% 1.84% 1.08%
12/13/2022 -0.10% 1.74% 0.06%
12/14/2022 -0.50% -2.38% -1.44%
12/15/2022 -2.48% -2.99% -1.58%
12/16/2022 -0.62% -1.06% -0.22%
12/19/2022 0.60% -1.51% 1.14%
12/20/2022 0.48% -0.46% 0.41%
12/21/2022 1.12% 2.01% 1.52%
12/22/2022 -1.13% -0.58% -0.89%
12/23/2022 0.47% -0.30% 0.25%
12/27/2022 0.35% -1.22% 0.18%
12/28/2022 0.55% -0.71% 0.74%
12/29/2022 0.57% 0.92% 1.13%
12/30/2022 0.66% -0.26% -0.06%
1/3/2023 0.76% 0.82% 1.18%
1/4/2023 0.93% 1.08% 1.88%
1/5/2023 -0.02% -0.84% -0.21%
1/6/2023 1.91% 1.91% 1.00%
1/9/2023 -0.41% 0.09% -1.51%
1/10/2023 0.90% 1.46% 0.68%
1/11/2023 0.74% 0.57% 0.76%
1/12/2023 -0.10% 1.23% 0.26%
1/13/2023 2.52% 1.25% 2.20%
1/17/2023 -1.55% 5.91% -2.02%
1/18/2023 -3.00% -0.52% -2.32%
1/19/2023 -1.33% -2.52% -1.45%
1/20/2023 0.24% 2.22% 1.87%
1/23/2023 1.62% 0.92% 1.39%
1/24/2023 0.86% -1.67% 0.73%
1/25/2023 0.48% 0.14% 0.87%
1/26/2023 0.62% 0.90% 1.35%
1/27/2023 0.24% 0.37% 0.31%
1/30/2023 -0.85% -0.13% -0.42%
1/31/2023 0.60% 1.43% 0.51%
2/1/2023 -0.26% 0.88% 1.24%
2/2/2023 -0.47% 1.04% 0.58%
2/3/2023 1.55% 0.22% 0.83%
 2/6/2023 0.59% -0.53% -0.16%
2/7/2023 1.22% 0.32% 1.10%
2/8/2023 -0.70% -0.26% -0.73%
2/9/2023 -1.56% -0.92% -2.14%
2/10/2023 0.44% 0.40% -0.39%
2/13/2023 1.08% 1.01% 0.20%
2/14/2023 0.44% 1.14% -0.08%
2/15/2023 0.42% 0.27% -0.17%
2/16/2023 -1.38% -1.25% -0.79%
2/17/2023 0.30% -0.06% 0.20%
2/21/2023 -1.83% -1.90% -2.35%
2/22/2023 -0.77% -0.36% -0.67%
2/23/2023 0.80% 0.69% -0.09%
2/24/2023 0.90% -0.25% -0.15%
2/27/2023 0.87% -1.02% 0.00%
2/28/2023 0.84% -0.21% 0.26%
3/1/2023 -0.56% -0.32% -0.47%
3/2/2023 -1.04% -0.11% -1.27%
3/3/2023 1.84% 2.34% 2.00%
3/6/2023 -0.58% 0.05% -0.20%
3/7/2023 -2.94% -2.36% -3.20%
3/8/2023 -0.59% -0.17% -1.33%
3/9/2023 -5.41% -3.86% -6.20%
3/10/2023 2.54% -2.33% -0.88%
3/13/2023 -1.80% -2.29% -5.81%
3/14/2023 2.57% 2.25% 0.88%
3/15/2023 -4.72% -5.09% -0.94%
3/16/2023 1.94% 1.90% 1.68%
3/17/2023 -3.78% -3.25% -3.97%
3/20/2023 1.06% 1.73% -0.25%
3/21/2023 2.68% 3.64% 3.03%
3/22/2023 -2.58% -1.36% -3.32%
3/23/2023 -0.27% -1.95% -2.42%
3/24/2023 -1.52% -2.20% 0.63%
3/27/2023 2.87% 0.82% 4.97%
3/28/2023 0.30% 0.28% -1.30%
3/29/2023 0.20% 1.60% 1.96%
3/30/2023 -0.30% -0.15% -1.29%
3/31/2023 1.21% 1.96% 1.06%
4/3/2023 -0.12% -0.73% -0.03%
4/4/2023 -1.34% -2.68% -2.13%
4/5/2023 0.15% -1.18% -1.22%
4/6/2023 -0.11% 0.44% 0.72%
4/10/2023 0.33% -0.23% 0.36%
4/11/2023 0.49% 1.30% 2.76%
4/12/2023 -0.02% 0.45% -0.80%
4/13/2023 0.38% 0.26% 0.28%
4/14/2023 7.55% 1.19% 3.36%
4/17/2023 0.79% 2.98% 2.88%
4/18/2023 1.12% 0.63% 0.63%
4/19/2023 -0.13% 0.67% -1.64%
4/20/2023 -0.29% -0.02% -0.53%
4/21/2023 -0.19% 0.76% -0.10%
4/24/2023 0.14% -1.01% -0.37%
4/25/2023 -2.17% -2.37% -3.09%
4/26/2023 -1.77% 0.43% -1.39%
4/27/2023 1.35% 2.06% 1.58%
4/28/2023 0.87% 0.54% 1.35%
5/1/2023 2.14% -2.27% -0.82%
5/2/2023 -1.61% -1.87% -3.03%
5/3/2023 -2.12% -1.78% -1.07%
5/4/2023 -1.37% -2.53% -3.12%
5/5/2023 1.95% 2.75% 2.67%
5/8/2023 0.24% -0.53% -0.07%
5/9/2023 -0.48% -0.07% -0.11%
5/10/2023 0.05% -0.77% -1.23%
5/11/2023 -0.32% -1.30% 0.26%
5/12/2023 -1.43% -0.29% -1.10%
5/15/2023 0.84% 0.68% 2.07%
5/16/2023 -0.67% -1.31% -1.05%
5/17/2023 3.07% 2.50% 4.42%
5/18/2023 0.76% 0.69% -0.35%
5/19/2023 -0.23% -2.66% -1.26%
5/22/2023 -0.83% 0.04% 0.82%
5/23/2023 -1.04% 0.45% 0.85%
5/24/2023 -0.92% -1.72% -1.68%
5/25/2023 0.24% 2.19% 0.25%
5/26/2023 0.94% 1.08% 0.50%
5/30/2023 0.38% -0.57% -0.18%
5/31/2023 -1.27% -1.99% -1.66%
6/1/2023 1.38% 0.38% 0.76%
6/2/2023 2.10% 2.78% 3.35%
6/5/2023 -0.98% -0.72% -0.59%
6/6/2023 0.18% 2.53% 2.42%
6/7/2023 0.97% 0.75% 0.86%
6/8/2023 0.03% -0.22% -0.85%
6/9/2023 0.20% -0.12% 0.14%
6/12/2023 -0.01% 1.43% -0.48%
6/13/2023 0.72% 0.96% 0.93%
6/14/2023 -0.37% -0.34% -0.95%
6/15/2023 1.13% 1.22% 0.86%
6/16/2023 0.12% -1.08% -0.61%
6/20/2023 -0.51% -1.54% -1.10%
6/21/2023 -0.15% -0.45% -1.04%
6/22/2023 -1.93% -2.13% -2.14%
6/23/2023 -0.52% -1.09% -0.75%
6/26/2023 0.24% 0.01% 1.23%
6/27/2023 0.01% 1.00% 0.53%
6/28/2023 -0.44% -0.52% -0.60%
6/29/2023 3.49% 1.49% 2.10%
6/30/2023 1.40% 0.19% 0.10%
7/3/2023 0.80% 1.18% 1.78%
7/5/2023 -0.67% -0.57% -0.41%
7/6/2023 -0.99% -3.01% -2.75%
7/7/2023 0.79% 0.04% 0.88%
7/10/2023 0.56% 0.05% 0.46%
7/11/2023 1.56% 1.87% 1.26%
7/12/2023 0.50% 0.95% 1.17%
7/13/2023 0.49% 0.51% 1.06%
7/14/2023 0.60% -0.50% -1.89%
7/17/2023 2.41% 0.69% 1.00%
7/18/2023 0.18% 6.45% 4.42%
7/19/2023 0.38% 1.33% 2.70%
7/20/2023 1.23% 0.69% 0.51%
7/21/2023 -0.77% 0.22% 0.92%
7/24/2023 1.97% 0.70% 2.10%
7/25/2023 -0.75% -0.26% -1.53%
7/26/2023 0.60% -0.93% 0.81%
7/27/2023 -1.10% -0.84% -1.42%
7/28/2023 0.57% -0.36% -0.16%
7/31/2023 0.67% -0.01% 0.31%
8/1/2023 -0.49% -0.68% -1.19%
 Assumptions on Investment Amount and
Weights

Portfolio JPM MS BAC

Weights 30% 40% 30%
Investment Amt. $1,000,000
Stocks Value $300,000 $400,000 $300,000

Assumption for Investment Amount and Weight

When calculating Value at Risk (VaR), there are specific
assumptions related to investment amounts and weights of
each asset that need to be made. These assumptions help in
determining the risk exposure and the level of confidence
associated with VaR estimates.
Here are the primary assumptions:
1. Initial Investment Amount (Portfolio Value): This is the total
value of the portfolio or investment at the beginning of the
analysis period. It represents the starting point for calculating
VaR.
2. Weights of Each Asset: The weight of each asset in the
portfolio represents the proportion of the total portfolio value
allocated to that particular asset. These weights should sum up
to 1 (or 100% if expressed as percentages).
Stocks?
much the
rom one
bsolute
r assets.
ock is a
re
0 stock.
y non-
nge over
ownwards
ange in
y, meaning
an and
h is a
es
 Step 3: Calculate Portfolio Mean

Date Return
8/1/2022
8/2/2022 -1.33%
8/3/2022 1.59%
8/4/2022 -0.40%
8/5/2022 1.77%
8/8/2022 -0.83%
8/9/2022 0.81%
8/10/2022 2.97%
8/11/2022 1.75%
8/12/2022 1.47%
8/15/2022 0.20%
8/16/2022 0.52%
8/17/2022 -0.65%
8/18/2022 -0.17%
8/19/2022 -2.15%
8/22/2022 -1.83%
8/23/2022 -0.64%
8/24/2022 0.30%
8/25/2022 1.84%
8/26/2022 -3.31%
8/29/2022 -0.86%
8/30/2022 -0.26%
8/31/2022 -0.23%
9/1/2022 0.72%
9/2/2022 -0.14%
9/6/2022 -0.91%
9/7/2022 1.85%
9/8/2022 2.39%
9/9/2022 0.86%
9/12/2022 0.95%
9/13/2022 -3.50%
9/14/2022 -0.12%
9/15/2022 1.51%
9/16/2022 -0.92%
9/19/2022 1.37%
9/20/2022 -1.73%
9/21/2022 -2.14%
9/22/2022 -1.67%
9/23/2022 -2.81%
9/26/2022 -2.17%
 9/27/2022 -0.85%
9/28/2022 2.10%
9/29/2022 -1.69%
9/30/2022 -1.34%
10/3/2022 2.50%
10/4/2022 4.43%
10/5/2022 -1.21%
10/6/2022 -1.91%
10/7/2022 -2.45%
10/10/2022 -0.63%
10/11/2022 -2.46%
10/12/2022 0.37%
10/13/2022 4.93%
10/14/2022 -1.52%
10/17/2022 4.05%
10/18/2022 3.09%
10/19/2022 -2.32%
10/20/2022 -0.83%
10/21/2022 4.06%
10/24/2022 0.25%
10/25/2022 0.90%
10/26/2022 0.81%
10/27/2022 0.15%
10/28/2022 1.77%
10/31/2022 -0.19%
11/1/2022 1.43%
11/2/2022 -0.06%
11/3/2022 -0.47%
11/4/2022 2.16%
11/7/2022 0.68%
11/8/2022 -0.04%
11/9/2022 -1.73%
11/10/2022 5.12%
11/11/2022 1.16%
11/14/2022 -1.24%
11/15/2022 0.04%
11/16/2022 -0.53%
11/17/2022 -0.67%
11/18/2022 0.42%
11/21/2022 -0.13%
11/22/2022 0.86%
11/23/2022 0.53%
11/25/2022 0.56%
11/28/2022 -1.64%
11/29/2022 1.14%
11/30/2022 1.92%
12/1/2022 -1.31%
12/2/2022 -1.01%
12/5/2022 -3.17%
12/6/2022 -2.25%
12/7/2022 -0.36%
12/8/2022 0.69%
12/9/2022 0.13%
12/12/2022 1.53%
12/13/2022 0.69%
12/14/2022 -1.53%
12/15/2022 -2.42%
12/16/2022 -0.68%
12/19/2022 -0.08%
12/20/2022 0.08%
12/21/2022 1.60%
12/22/2022 -0.84%
12/23/2022 0.10%
12/27/2022 -0.33%
12/28/2022 0.10%
12/29/2022 0.88%
12/30/2022 0.08%
1/3/2023 0.91%
1/4/2023 1.28%
1/5/2023 -0.41%
1/6/2023 1.64%
1/9/2023 -0.54%
1/10/2023 1.06%
1/11/2023 0.68%
1/12/2023 0.54%
1/13/2023 1.92%
1/17/2023 1.30%
1/18/2023 -1.80%
1/19/2023 -1.84%
1/20/2023 1.52%
1/23/2023 1.27%
1/24/2023 -0.19%
1/25/2023 0.46%
1/26/2023 0.95%
1/27/2023 0.32%
1/30/2023 -0.43%
1/31/2023 0.90%
2/1/2023 0.65%
2/2/2023 0.45%
2/3/2023 0.80%
 2/6/2023 -0.09%
2/7/2023 0.83%
2/8/2023 -0.54%
2/9/2023 -1.48%
2/10/2023 0.17%
2/13/2023 0.79%
2/14/2023 0.56%
2/15/2023 0.18%
2/16/2023 -1.15%
2/17/2023 0.12%
2/21/2023 -2.01%
2/22/2023 -0.57%
2/23/2023 0.49%
2/24/2023 0.13%
2/27/2023 -0.15%
2/28/2023 0.25%
3/1/2023 -0.44%
3/2/2023 -0.74%
3/3/2023 2.09%
3/6/2023 -0.22%
3/7/2023 -2.78%
3/8/2023 -0.64%
3/9/2023 -5.03%
3/10/2023 -0.44%
3/13/2023 -3.20%
3/14/2023 1.93%
3/15/2023 -3.74%
3/16/2023 1.85%
3/17/2023 -3.63%
3/20/2023 0.94%
3/21/2023 3.17%
3/22/2023 -2.32%
3/23/2023 -1.59%
3/24/2023 -1.15%
3/27/2023 2.68%
3/28/2023 -0.19%
3/29/2023 1.29%
3/30/2023 -0.54%
3/31/2023 1.47%
4/3/2023 -0.34%
4/4/2023 -2.12%
4/5/2023 -0.79%
4/6/2023 0.36%
4/10/2023 0.12%
4/11/2023 1.49%
4/12/2023 -0.07%
4/13/2023 0.30%
4/14/2023 3.75%
4/17/2023 2.29%
4/18/2023 0.78%
4/19/2023 -0.26%
4/20/2023 -0.26%
4/21/2023 0.22%
4/24/2023 -0.47%
4/25/2023 -2.53%
4/26/2023 -0.78%
4/27/2023 1.70%
4/28/2023 0.88%
5/1/2023 -0.51%
5/2/2023 -2.14%
5/3/2023 -1.67%
5/4/2023 -2.36%
5/5/2023 2.49%
5/8/2023 -0.16%
5/9/2023 -0.21%
5/10/2023 -0.66%
5/11/2023 -0.54%
5/12/2023 -0.87%
5/15/2023 1.14%
5/16/2023 -1.04%
5/17/2023 3.25%
5/18/2023 0.40%
5/19/2023 -1.51%
5/22/2023 0.01%
5/23/2023 0.12%
5/24/2023 -1.47%
5/25/2023 1.02%
5/26/2023 0.86%
5/30/2023 -0.17%
5/31/2023 -1.68%
6/1/2023 0.79%
6/2/2023 2.75%
6/5/2023 -0.76%
6/6/2023 1.79%
6/7/2023 0.85%
6/8/2023 -0.33%
6/9/2023 0.05%
6/12/2023 0.43%
6/13/2023 0.88%
6/14/2023 -0.53%
6/15/2023 1.08%
6/16/2023 -0.58%
6/20/2023 -1.10%
6/21/2023 -0.54%
6/22/2023 -2.07%
6/23/2023 -0.82%
6/26/2023 0.45%
6/27/2023 0.56%
6/28/2023 -0.52%
6/29/2023 2.27%
6/30/2023 0.53%
7/3/2023 1.25%
7/5/2023 -0.55%
7/6/2023 -2.33%
7/7/2023 0.52%
7/10/2023 0.32%
7/11/2023 1.59%
7/12/2023 0.88%
7/13/2023 0.67%
7/14/2023 -0.58%
7/17/2023 1.30%
7/18/2023 3.96%
7/19/2023 1.46%
7/20/2023 0.80%
7/21/2023 0.13%
7/24/2023 1.50%
7/25/2023 -0.79%
7/26/2023 0.05%
7/27/2023 -1.09%
7/28/2023 -0.02%
7/31/2023 0.29%
8/1/2023 -0.78%
Portfolio Mean

Compute Mean of the Portfolio

The formula to compute the mean return of a portfolio with three stocks, each with
weights w1, w2 and w3 and mean returns r1, r2 and r3:
Portfolio Mean Return = Average of (w1 * r1 + w2 * r2 + w3 * r3)
- w1, w2 and w3 represent the weights of each stock in the portfolio. These weights
should sum up to 1 (or 100% if expressed as percentages)
- r1, r2 and r3 represent the returns of each stock in the portfolio, usually expressed
as percentages.

Portfolio Mean 0.0737%

OR

JPM MS BAC
Mean Return of Stock 0.16% 0.06% 0.01%
Weights 30% 40% 30%
Mean Return of Portfolio 0.0737%
 Step 4: Calculate Portfolio Standard Deviation

Date JPM MS BAC

8/2/2022 -1.56% -0.67% -1.99%
8/3/2022 1.05% 1.82% 1.82%
8/4/2022 -1.10% 0.36% -0.71%
8/5/2022 3.03% 0.90% 1.68%
8/8/2022 -1.22% -0.12% -1.38%
8/9/2022 0.90% 0.38% 1.28%
8/10/2022 2.61% 2.93% 3.39%
with three stocks, each with
8/11/2022 1.48% 1.47% 2.40%
8/12/2022 1.66% 1.62% 1.09%
+ w3 * r3) 8/15/2022 0.27% 0.39% -0.14%
the portfolio. These weights 8/16/2022 0.96% -0.22% 1.08%
s) 8/17/2022 -0.84% -0.51% -0.63%
8/18/2022 -0.77% 0.42% -0.36%
portfolio, usually expressed 8/19/2022 -2.47% -1.88% -2.21%
8/22/2022 -1.65% -1.72% -2.14%
8/23/2022 -0.99% -0.18% -0.89%
8/24/2022 0.24% 0.34% 0.32%
8/25/2022 2.37% 1.48% 1.80%
8/26/2022 -3.27% -3.45% -3.16%
8/29/2022 -0.24% -1.68% -0.38%
8/30/2022 0.02% -1.08% 0.56%
8/31/2022 -0.59% 0.94% -1.41%
9/1/2022 0.69% 1.11% 0.24%
9/2/2022 -0.70% 0.27% -0.12%
9/6/2022 0.03% -1.47% -1.11%
9/7/2022 1.90% 2.03% 1.54%
9/8/2022 2.33% 1.82% 3.22%
9/9/2022 0.48% 1.15% 0.84%
9/12/2022 1.18% 0.77% 0.94%
9/13/2022 -3.47% -3.44% -3.60%
9/14/2022 -0.23% 0.15% -0.38%
9/15/2022 1.51% 1.24% 1.89%
9/16/2022 -0.67% -0.94% -1.13%
9/19/2022 0.92% 1.48% 1.67%
9/20/2022 -1.97% -1.72% -1.50%
9/21/2022 -2.88% -0.95% -2.99%
9/22/2022 -1.14% -1.84% -1.96%
9/23/2022 -1.86% -3.85% -2.37%
9/26/2022 -2.15% -2.15% -2.21%
9/27/2022 -0.88% -0.35% -1.48%
 9/28/2022 2.02% 2.50% 1.64%
9/29/2022 -1.69% -1.98% -1.32%
9/30/2022 -1.56% -1.06% -1.50%
10/3/2022 3.09% 1.73% 2.95%
10/4/2022 4.68% 4.47% 4.15%
10/5/2022 -1.23% -1.02% -1.42%
10/6/2022 -2.04% -2.17% -1.44%
10/7/2022 -2.00% -2.93% -2.26%
10/10/2022 -0.93% -0.66% -0.29%
10/11/2022 -2.89% -1.80% -2.90%
10/12/2022 1.62% -0.52% 0.30%
10/13/2022 5.56% 3.55% 6.13%
10/14/2022 1.66% -5.07% 0.03%
10/17/2022 4.20% 2.44% 6.06%
10/18/2022 2.57% 2.98% 3.75%
10/19/2022 -1.96% -2.27% -2.75%
10/20/2022 -0.33% -1.34% -0.65%
10/21/2022 5.25% 3.42% 3.71%
10/24/2022 0.12% 0.27% 0.34%
10/25/2022 0.26% 1.36% 0.91%
10/26/2022 1.15% 0.50% 0.88%
10/27/2022 0.39% -0.27% 0.48%
10/28/2022 1.19% 2.88% 0.86%
10/31/2022 -0.16% -0.06% -0.39%
11/1/2022 1.80% 1.89% 0.44%
11/2/2022 -0.92% 0.78% -0.30%
11/3/2022 0.18% -0.89% -0.55%
11/4/2022 2.74% 1.47% 2.51%
11/7/2022 0.53% 0.85% 0.60%
11/8/2022 0.06% -0.34% 0.27%
11/9/2022 -1.30% -2.15% -1.59%
11/10/2022 4.12% 6.41% 4.41%
11/11/2022 0.16% 2.23% 0.73%
11/14/2022 -1.03% -1.07% -1.69%
11/15/2022 -0.72% 0.77% -0.16%
11/16/2022 0.14% -0.75% -0.90%
11/17/2022 -0.44% -0.97% -0.51%
11/18/2022 0.98% 0.28% 0.05%
11/21/2022 -0.59% -0.13% 0.32%
11/22/2022 1.50% 0.66% 0.48%
11/23/2022 1.07% 0.29% 0.32%
11/25/2022 0.19% 1.09% 0.24%
11/28/2022 -1.75% -1.12% -2.23%
11/29/2022 1.64% 1.32% 0.38%
11/30/2022 1.19% 2.18% 2.30%
 12/1/2022 -1.40% -0.08% -2.87%
12/2/2022 -0.79% -0.97% -1.29%
12/5/2022 -2.80% -2.49% -4.46%
12/6/2022 0.17% -2.56% -4.26%
12/7/2022 -0.07% -0.26% -0.79%
12/8/2022 1.05% 1.62% -0.92%
12/9/2022 -0.54% 0.88% -0.18%
12/12/2022 1.55% 1.84% 1.08%
12/13/2022 -0.10% 1.74% 0.06%
12/14/2022 -0.50% -2.38% -1.44%
12/15/2022 -2.48% -2.99% -1.58%
12/16/2022 -0.62% -1.06% -0.22%
12/19/2022 0.60% -1.51% 1.14%
12/20/2022 0.48% -0.46% 0.41%
12/21/2022 1.12% 2.01% 1.52%
12/22/2022 -1.13% -0.58% -0.89%
12/23/2022 0.47% -0.30% 0.25%
12/27/2022 0.35% -1.22% 0.18%
12/28/2022 0.55% -0.71% 0.74%
12/29/2022 0.57% 0.92% 1.13%
12/30/2022 0.66% -0.26% -0.06%
1/3/2023 0.76% 0.82% 1.18%
1/4/2023 0.93% 1.08% 1.88%
1/5/2023 -0.02% -0.84% -0.21%
1/6/2023 1.91% 1.91% 1.00%
1/9/2023 -0.41% 0.09% -1.51%
1/10/2023 0.90% 1.46% 0.68%
1/11/2023 0.74% 0.57% 0.76%
1/12/2023 -0.10% 1.23% 0.26%
1/13/2023 2.52% 1.25% 2.20%
1/17/2023 -1.55% 5.91% -2.02%
1/18/2023 -3.00% -0.52% -2.32%
1/19/2023 -1.33% -2.52% -1.45%
1/20/2023 0.24% 2.22% 1.87%
1/23/2023 1.62% 0.92% 1.39%
1/24/2023 0.86% -1.67% 0.73%
1/25/2023 0.48% 0.14% 0.87%
1/26/2023 0.62% 0.90% 1.35%
1/27/2023 0.24% 0.37% 0.31%
1/30/2023 -0.85% -0.13% -0.42%
1/31/2023 0.60% 1.43% 0.51%
2/1/2023 -0.26% 0.88% 1.24%
2/2/2023 -0.47% 1.04% 0.58%
2/3/2023 1.55% 0.22% 0.83%
2/6/2023 0.59% -0.53% -0.16%
 2/7/2023 1.22% 0.32% 1.10%
2/8/2023 -0.70% -0.26% -0.73%
2/9/2023 -1.56% -0.92% -2.14%
2/10/2023 0.44% 0.40% -0.39%
2/13/2023 1.08% 1.01% 0.20%
2/14/2023 0.44% 1.14% -0.08%
2/15/2023 0.42% 0.27% -0.17%
2/16/2023 -1.38% -1.25% -0.79%
2/17/2023 0.30% -0.06% 0.20%
2/21/2023 -1.83% -1.90% -2.35%
2/22/2023 -0.77% -0.36% -0.67%
2/23/2023 0.80% 0.69% -0.09%
2/24/2023 0.90% -0.25% -0.15%
2/27/2023 0.87% -1.02% 0.00%
2/28/2023 0.84% -0.21% 0.26%
3/1/2023 -0.56% -0.32% -0.47%
3/2/2023 -1.04% -0.11% -1.27%
3/3/2023 1.84% 2.34% 2.00%
3/6/2023 -0.58% 0.05% -0.20%
3/7/2023 -2.94% -2.36% -3.20%
3/8/2023 -0.59% -0.17% -1.33%
3/9/2023 -5.41% -3.86% -6.20%
3/10/2023 2.54% -2.33% -0.88%
3/13/2023 -1.80% -2.29% -5.81%
3/14/2023 2.57% 2.25% 0.88%
3/15/2023 -4.72% -5.09% -0.94%
3/16/2023 1.94% 1.90% 1.68%
3/17/2023 -3.78% -3.25% -3.97%
3/20/2023 1.06% 1.73% -0.25%
3/21/2023 2.68% 3.64% 3.03%
3/22/2023 -2.58% -1.36% -3.32%
3/23/2023 -0.27% -1.95% -2.42%
3/24/2023 -1.52% -2.20% 0.63%
3/27/2023 2.87% 0.82% 4.97%
3/28/2023 0.30% 0.28% -1.30%
3/29/2023 0.20% 1.60% 1.96%
3/30/2023 -0.30% -0.15% -1.29%
3/31/2023 1.21% 1.96% 1.06%
4/3/2023 -0.12% -0.73% -0.03%
4/4/2023 -1.34% -2.68% -2.13%
4/5/2023 0.15% -1.18% -1.22%
4/6/2023 -0.11% 0.44% 0.72%
4/10/2023 0.33% -0.23% 0.36%
4/11/2023 0.49% 1.30% 2.76%
4/12/2023 -0.02% 0.45% -0.80%
4/13/2023 0.38% 0.26% 0.28%
4/14/2023 7.55% 1.19% 3.36%
4/17/2023 0.79% 2.98% 2.88%
4/18/2023 1.12% 0.63% 0.63%
4/19/2023 -0.13% 0.67% -1.64%
4/20/2023 -0.29% -0.02% -0.53%
4/21/2023 -0.19% 0.76% -0.10%
4/24/2023 0.14% -1.01% -0.37%
4/25/2023 -2.17% -2.37% -3.09%
4/26/2023 -1.77% 0.43% -1.39%
4/27/2023 1.35% 2.06% 1.58%
4/28/2023 0.87% 0.54% 1.35%
5/1/2023 2.14% -2.27% -0.82%
5/2/2023 -1.61% -1.87% -3.03%
5/3/2023 -2.12% -1.78% -1.07%
5/4/2023 -1.37% -2.53% -3.12%
5/5/2023 1.95% 2.75% 2.67%
5/8/2023 0.24% -0.53% -0.07%
5/9/2023 -0.48% -0.07% -0.11%
5/10/2023 0.05% -0.77% -1.23%
5/11/2023 -0.32% -1.30% 0.26%
5/12/2023 -1.43% -0.29% -1.10%
5/15/2023 0.84% 0.68% 2.07%
5/16/2023 -0.67% -1.31% -1.05%
5/17/2023 3.07% 2.50% 4.42%
5/18/2023 0.76% 0.69% -0.35%
5/19/2023 -0.23% -2.66% -1.26%
5/22/2023 -0.83% 0.04% 0.82%
5/23/2023 -1.04% 0.45% 0.85%
5/24/2023 -0.92% -1.72% -1.68%
5/25/2023 0.24% 2.19% 0.25%
5/26/2023 0.94% 1.08% 0.50%
5/30/2023 0.38% -0.57% -0.18%
5/31/2023 -1.27% -1.99% -1.66%
6/1/2023 1.38% 0.38% 0.76%
6/2/2023 2.10% 2.78% 3.35%
6/5/2023 -0.98% -0.72% -0.59%
6/6/2023 0.18% 2.53% 2.42%
6/7/2023 0.97% 0.75% 0.86%
6/8/2023 0.03% -0.22% -0.85%
6/9/2023 0.20% -0.12% 0.14%
6/12/2023 -0.01% 1.43% -0.48%
6/13/2023 0.72% 0.96% 0.93%
6/14/2023 -0.37% -0.34% -0.95%
6/15/2023 1.13% 1.22% 0.86%
6/16/2023 0.12% -1.08% -0.61%
6/20/2023 -0.51% -1.54% -1.10%
6/21/2023 -0.15% -0.45% -1.04%
6/22/2023 -1.93% -2.13% -2.14%
6/23/2023 -0.52% -1.09% -0.75%
6/26/2023 0.24% 0.01% 1.23%
6/27/2023 0.01% 1.00% 0.53%
6/28/2023 -0.44% -0.52% -0.60%
6/29/2023 3.49% 1.49% 2.10%
6/30/2023 1.40% 0.19% 0.10%
7/3/2023 0.80% 1.18% 1.78%
7/5/2023 -0.67% -0.57% -0.41%
7/6/2023 -0.99% -3.01% -2.75%
7/7/2023 0.79% 0.04% 0.88%
7/10/2023 0.56% 0.05% 0.46%
7/11/2023 1.56% 1.87% 1.26%
7/12/2023 0.50% 0.95% 1.17%
7/13/2023 0.49% 0.51% 1.06%
7/14/2023 0.60% -0.50% -1.89%
7/17/2023 2.41% 0.69% 1.00%
7/18/2023 0.18% 6.45% 4.42%
7/19/2023 0.38% 1.33% 2.70%
7/20/2023 1.23% 0.69% 0.51%
7/21/2023 -0.77% 0.22% 0.92%
7/24/2023 1.97% 0.70% 2.10%
7/25/2023 -0.75% -0.26% -1.53%
7/26/2023 0.60% -0.93% 0.81%
7/27/2023 -1.10% -0.84% -1.42%
7/28/2023 0.57% -0.36% -0.16%
7/31/2023 0.67% -0.01% 0.31%
8/1/2023 -0.49% -0.68% -1.19%
 JPM MS BAC Compute Standard De
Weights 30% 40% 30%
Volatility 1.63% 1.72% 1.82% The formula to compute t
weights w1, w2 and w3 an
Portfolio Volatility 1.72%
Portfolio Standard Deviati

0.0002632038189716 0.0002934601 0.000331

0.0162235575313075 0.0171306772 0.018183
0.664611168722937 0.018%
Compute Standar
Covariance Matrix
Step 1: Data -> Data
JPM MS BAC
JPM 0.026% 0.018% 0.024% Step 2:
MS 0.018% 0.029% 0.023% Input Range: Enter t
BAC 0.024% 0.023% 0.033%
Step 3:
i) Multiply the weigh
ii) Multiply Matrix A
iii)Take the square ro
Standard Deviation 1.56%
of Portfolio
{=SQRT(MMULT(MMULT(BJ6:BL6,BJ18:BL20),TRANSPOSE(BJ6:BL6)))}
Ctrl + Shift + Enter
mpute Standard Deviation of the Portfolio (Wrong Way) What is wrong in the Me
e formula to compute the standard deviation of a portfolio with three stocks, each with It's a common misconception
ights w1, w2 and w3 and standard deviation sd1, sd2 and sd3: standard deviation of a portfo
weights of individual stocks b
rtfolio Standard Deviation = Average of (w1 * sd1 + w2 * sd2 + w3 * sd3) deviations. While this method
estimate, it does not fully acc
(correlation or covariance) be
There are several weaknesses
a) Ignores Correlations
The method you mentioned a
Compute Standard Deviation of the Portfolio (Right Way) stocks are uncorrelated or ha
most stocks are correlated to
Step 1: Data -> Data Analysis -> Covariance -> OK amplify or mitigate the risk of
lead to inaccurate risk assessm
Step 2:
Input Range: Enter the return table b) Doesn't Capture Diversific
The true benefit of diversifyin
Step 3: different assets may move in
i) Multiply the weights with the covariance matrix which gives Matrix (lets say A) market conditions. If you only
ii) Multiply Matrix A with the transpose of weights of individual stocks without a
iii)Take the square root to calculate the standard deviaton of Portfolio. you won't fully appreciate the
diversification offers.
 Step 5: Calculate VaR using Varian

hat is wrong in the Method? VaR Using Variance Covariance Metho

Mean
a common misconception that you can calculate the Std. Dev
ndard deviation of a portfolio by simply multiplying the CI
ghts of individual stocks by their respective standard
iations. While this method may provide an approximate Alpha
mate, it does not fully account for the interdependence Z Value
rrelation or covariance) between the stocks in the portfolio. Portfolio Value
re are several weaknesses to this simplified approach:
1 Day VaR
gnores Correlations
method you mentioned assumes that the returns of the
cks are uncorrelated or have a correlation of zero. In reality,
st stocks are correlated to some extent. Correlations can
plify or mitigate the risk of a portfolio, and ignoring them can
d to inaccurate risk assessments.
Doesn't Capture Diversification Benefits
true benefit of diversifying a portfolio lies in the fact that
erent assets may move in opposite directions under certain
rket conditions. If you only consider the standard deviations
ndividual stocks without accounting for their correlations,
won't fully appreciate the potential risk reduction that
ersification offers.
Step 5: Calculate VaR using Variance Covariance Method

Using Variance Covariance Method

Interpretation of the 99% 1 Day VaR Result
0.0737% 0.0737% 0.0737%
1.56% 1.56% 1.56% The VaR value of $35,609 represents the estimated m
99% 95% 90% loss in dollars that you could expect to incur on your p
1% 5% 10% investment during a single day, under normal market c
In other words, it's the potential downside risk.
-2.326 -1.645 -1.282
$1,000,000 $1,000,000 $1,000,000 The "1-day" aspect of the VaR means that it is estimati
$ (35,609) $ (24,962) $ (19,286) potential loss over a one-day trading or investment ho
other words, it tells you how much your portfolio or in
could lose in a single day with a 99% level of confiden

Formula for VaR Using Variance Covariance M

1 Day VaR = (Mean + Z Value * SD)*Portfolio Value
- SD means Standard Deviation
- You can computer z score using the (1 - confidence i
 1 Day VaR Result
esents the estimated maximum
xpect to incur on your portfolio or
under normal market conditions.
al downside risk.
means that it is estimating the
rading or investment horizon. In
much your portfolio or investment
a 99% level of confidence.

riance Covariance Method

SD)*Portfolio Value
n
ng the (1 - confidence interval)
Date JPM MS BAC
8/1/2022 110.73 81.16 32.55
8/2/2022 109.01 80.62 31.90
Formula Used to Calculate Returns:
8/3/2022 110.15 82.08 32.48
8/4/2022 108.94 82.38 32.25 Returns = (Yt/Yt-1) - 1
8/5/2022 112.23 83.12 32.79
8/8/2022 110.87 83.03 32.33
where:
- Yt is the Stock Price Today
8/9/2022 111.87 83.35 32.75 - Yt-1 is the Stock Price Yesterday
8/10/2022 114.78 85.79 33.86
8/11/2022 116.48 87.05 34.67
8/12/2022 118.41 88.46 35.05
8/15/2022 118.73 88.81 35.00
8/16/2022 119.86 88.62 35.38
Compute Returns of the Portfolio
8/17/2022 118.86 88.16 35.15
8/18/2022 117.94 88.53 35.03 The formula to compute the return of a
8/19/2022 115.02 86.87 34.26 portfolio with three stocks, each with weights
8/22/2022 113.12 85.37 33.52
w1, w2 and w3 and returns r1, r2 and r3:
8/23/2022 112.00 85.22 33.22 Portfolio Return = w1 * r1 + w2 * r2 + w3 * r3
8/24/2022 112.27 85.51 33.33
8/25/2022 114.94 86.77 33.93 - w1, w2 and w3 represent the weights of
8/26/2022 111.18 83.78 32.86
each stock in the portfolio. These weights
should sum up to 1 (or 100% if expressed as
8/29/2022 110.91 82.37 32.73 percentages)
8/30/2022 110.93 81.48 32.91
8/31/2022 110.27 82.25 32.45 - r1, r2 and r3 represent the returns of each
9/1/2022 111.02 83.16 32.53
stock in the portfolio, usually expressed as
percentages.
9/2/2022 110.25 83.39 32.49
9/6/2022 110.28 82.16 32.13
9/7/2022 112.37 83.83 32.63
9/8/2022 114.99 85.35 33.68
9/9/2022 115.54 86.34 33.96
9/12/2022 116.91 87.00 34.28
9/13/2022 112.85 84.01 33.04
9/14/2022 112.58 84.14 32.92
9/15/2022 114.28 85.18 33.54
9/16/2022 113.51 84.38 33.16
9/19/2022 114.56 85.62 33.71
9/20/2022 112.30 84.15 33.21
9/21/2022 109.06 83.35 32.22
9/22/2022 107.82 81.81 31.59
9/23/2022 105.82 78.67 30.84
9/26/2022 103.54 76.98 30.16
9/27/2022 102.63 76.71 29.71
9/28/2022 104.70 78.63 30.20
9/29/2022 102.93 77.07 29.80
9/30/2022 101.32 76.25 29.35
 10/3/2022 104.45 77.58 30.22
10/4/2022 109.34 81.04 31.47
10/5/2022 107.99 80.21 31.02
10/6/2022 105.78 78.47 30.57
10/7/2022 103.67 76.18 29.88
10/10/2022 102.70 75.67 29.80
10/11/2022 99.74 74.31 28.93
10/12/2022 101.35 73.93 29.02
10/13/2022 106.99 76.55 30.80
10/14/2022 108.77 72.67 30.81
10/17/2022 113.34 74.45 32.67
10/18/2022 116.25 76.67 33.90
10/19/2022 113.97 74.93 32.97
10/20/2022 113.60 73.93 32.75
10/21/2022 119.57 76.46 33.97
10/24/2022 119.71 76.66 34.08
10/25/2022 120.03 77.70 34.39
10/26/2022 121.41 78.09 34.70
10/27/2022 121.89 77.87 34.86
10/28/2022 123.33 80.12 35.16
10/31/2022 123.14 80.07 35.03
11/1/2022 125.36 81.58 35.18
11/2/2022 124.20 82.22 35.07
11/3/2022 124.43 81.49 34.88
11/4/2022 127.83 82.68 35.75
11/7/2022 128.51 83.39 35.97
11/8/2022 128.59 83.10 36.07
11/9/2022 126.91 81.32 35.49
11/10/2022 132.14 86.53 37.06
11/11/2022 132.35 88.46 37.33
11/14/2022 130.99 87.52 36.70
11/15/2022 130.04 88.19 36.64
11/16/2022 130.22 87.53 36.31
11/17/2022 129.65 86.68 36.12
11/18/2022 130.92 86.92 36.14
11/21/2022 130.15 86.81 36.26
11/22/2022 132.10 87.38 36.44
11/23/2022 133.51 87.63 36.55
11/25/2022 133.76 88.59 36.64
11/28/2022 131.42 87.59 35.82
11/29/2022 133.59 88.75 35.96
11/30/2022 135.17 90.69 36.78
12/1/2022 133.27 90.63 35.73
12/2/2022 132.22 89.75 35.27
12/5/2022 128.51 87.52 33.70
 12/6/2022 128.72 85.28 32.26
12/7/2022 128.64 85.05 32.00
12/8/2022 129.99 86.43 31.71
12/9/2022 129.28 87.19 31.65
12/12/2022 131.29 88.79 32.00
12/13/2022 131.16 90.34 32.01
12/14/2022 130.50 88.19 31.56
12/15/2022 127.27 85.55 31.06
12/16/2022 126.47 84.64 30.99
12/19/2022 127.23 83.37 31.34
12/20/2022 127.84 82.99 31.47
12/21/2022 129.28 84.65 31.95
12/22/2022 127.81 84.16 31.66
12/23/2022 128.42 83.91 31.74
12/27/2022 128.87 82.89 31.80
12/28/2022 129.57 82.30 32.03
12/29/2022 130.32 83.06 32.40
12/30/2022 131.18 82.85 32.38
1/3/2023 132.18 83.53 32.76
1/4/2023 133.41 84.44 33.37
1/5/2023 133.38 83.73 33.30
1/6/2023 135.93 85.32 33.64
1/9/2023 135.37 85.40 33.13
1/10/2023 136.58 86.65 33.35
1/11/2023 137.60 87.15 33.61
1/12/2023 137.46 88.22 33.70
1/13/2023 140.93 89.32 34.44
1/17/2023 138.75 94.60 33.74
1/18/2023 134.58 94.11 32.96
1/19/2023 132.79 91.75 32.48
1/20/2023 133.11 93.78 33.09
1/23/2023 135.27 94.65 33.55
1/24/2023 136.43 93.07 33.79
1/25/2023 137.10 93.20 34.09
1/26/2023 137.94 94.04 34.55
1/27/2023 138.28 94.39 34.65
1/30/2023 137.11 94.26 34.51
1/31/2023 137.92 95.61 34.68
2/1/2023 137.56 96.45 35.11
2/2/2023 136.92 97.46 35.32
2/3/2023 139.04 97.67 35.61
2/6/2023 139.85 97.15 35.55
2/7/2023 141.56 97.47 35.94
2/8/2023 140.56 97.21 35.68
2/9/2023 138.38 96.32 34.92
2/10/2023 138.99 96.70 34.78
2/13/2023 140.49 97.67 34.85
2/14/2023 141.12 98.78 34.82
2/15/2023 141.71 99.05 34.76
2/16/2023 139.76 97.81 34.49
2/17/2023 140.17 97.75 34.56
2/21/2023 137.60 95.89 33.74
2/22/2023 136.54 95.55 33.52
2/23/2023 137.64 96.21 33.49
2/24/2023 138.88 95.97 33.44
2/27/2023 140.09 94.99 33.44
2/28/2023 141.26 94.79 33.53
3/1/2023 140.48 94.49 33.37
3/2/2023 139.02 94.38 32.95
3/3/2023 141.57 96.59 33.61
3/6/2023 140.74 96.64 33.54
3/7/2023 136.60 94.36 32.47
3/8/2023 135.79 94.21 32.04
3/9/2023 128.44 90.57 30.05
3/10/2023 131.70 88.46 29.78
3/13/2023 129.34 86.44 28.05
3/14/2023 132.66 88.38 28.30
3/15/2023 126.39 83.88 28.03
3/16/2023 128.85 85.47 28.50
3/17/2023 123.98 82.69 27.37
3/20/2023 125.29 84.13 27.30
3/21/2023 128.65 87.19 28.13
3/22/2023 125.33 86.00 27.19
3/23/2023 124.99 84.32 26.54
3/24/2023 123.09 82.47 26.70
3/27/2023 126.62 83.14 28.03
3/28/2023 127.00 83.38 27.67
3/29/2023 127.26 84.72 28.21
3/30/2023 126.88 84.59 27.84
3/31/2023 128.41 86.25 28.14
4/3/2023 128.27 85.62 28.13
4/4/2023 126.55 83.32 27.53
4/5/2023 126.74 82.34 27.19
4/6/2023 126.60 82.70 27.39
4/10/2023 127.02 82.52 27.49
4/11/2023 127.64 83.59 28.25
4/12/2023 127.62 83.96 28.02
4/13/2023 128.11 84.18 28.10
4/14/2023 137.78 85.18 29.04
4/17/2023 138.88 87.71 29.88
4/18/2023 140.44 88.26 30.07
4/19/2023 140.26 88.85 29.58
4/20/2023 139.85 88.83 29.42
4/21/2023 139.58 89.51 29.39
4/24/2023 139.77 88.61 29.28
4/25/2023 136.73 86.50 28.38
4/26/2023 134.31 86.88 27.98
4/27/2023 136.12 88.66 28.42
4/28/2023 137.30 89.15 28.81
5/1/2023 140.24 87.12 28.57
5/2/2023 137.97 85.50 27.71
5/3/2023 135.05 83.97 27.41
5/4/2023 133.21 81.85 26.56
5/5/2023 135.81 84.10 27.26
5/8/2023 136.14 83.66 27.24
5/9/2023 135.48 83.60 27.21
5/10/2023 135.55 82.95 26.88
5/11/2023 135.12 81.87 26.95
5/12/2023 133.19 81.63 26.65
5/15/2023 134.31 82.19 27.20
5/16/2023 133.40 81.11 26.92
5/17/2023 137.51 83.14 28.11
5/18/2023 138.55 83.72 28.01
5/19/2023 138.23 81.49 27.66
5/22/2023 137.09 81.52 27.88
5/23/2023 135.66 81.88 28.12
5/24/2023 134.42 80.48 27.65
5/25/2023 134.74 82.24 27.72
5/26/2023 136.01 83.13 27.85
5/30/2023 136.52 82.66 27.80
5/31/2023 134.78 81.01 27.34
6/1/2023 136.64 81.32 27.55
6/2/2023 139.51 83.58 28.47
6/5/2023 138.14 82.97 28.30
6/6/2023 138.39 85.07 28.99
6/7/2023 139.73 85.71 29.24
6/8/2023 139.77 85.52 28.99
6/9/2023 140.05 85.42 29.03
6/12/2023 140.04 86.64 28.89
6/13/2023 141.05 87.47 29.16
6/14/2023 140.52 87.17 28.88
6/15/2023 142.11 88.23 29.13
6/16/2023 142.28 87.28 28.95
6/20/2023 141.56 85.94 28.63
6/21/2023 141.35 85.55 28.33
6/22/2023 138.63 83.73 27.73
6/23/2023 137.90 82.81 27.52
6/26/2023 138.24 82.82 27.86
6/27/2023 138.25 83.66 28.01
6/28/2023 137.64 83.22 27.84
6/29/2023 142.45 84.46 28.42
6/30/2023 144.45 84.62 28.45
7/3/2023 145.61 85.62 28.96
7/5/2023 144.64 85.13 28.84
7/6/2023 143.21 82.57 28.05
7/7/2023 144.34 82.60 28.29
7/10/2023 145.15 82.64 28.42
7/11/2023 147.42 84.18 28.78
7/12/2023 148.15 84.98 29.12
7/13/2023 148.87 85.42 29.42
7/14/2023 149.77 84.99 28.87
7/17/2023 153.38 85.58 29.16
7/18/2023 153.66 91.10 30.45
7/19/2023 154.25 92.31 31.27
7/20/2023 156.15 92.94 31.43
7/21/2023 154.95 93.15 31.72
7/24/2023 158.00 93.80 32.38
7/25/2023 156.82 93.55 31.88
7/26/2023 157.76 92.68 32.14
7/27/2023 156.02 91.90 31.69
7/28/2023 156.91 91.57 31.64
7/31/2023 157.96 91.56 31.74
8/1/2023 157.179993 90.940002 31.36
Date JPM MS BAC Returns of Portfolio Assumption JPM
8/1/2022 Weights 30%
8/2/2022 -1.56% -0.67% -1.99% -1.33%
8/3/2022 1.05% 1.82% 1.82% 1.59% VaR Using Historical Simulation Method
8/4/2022 -1.10% 0.36% -0.71% -0.40%
8/5/2022 3.03% 0.90% 1.68% 1.77% Step 1: Gather Data and calculate return
8/8/2022 -1.22% -0.12% -1.38% -0.83%
Collect historical daily returns data for the portfolio or
calculate VaR for.
8/9/2022 0.90% 0.38% 1.28% 0.81%
8/10/2022 2.61% 2.93% 3.39% 2.97% Step 2: Sort the Data
8/11/2022 1.48% 1.47% 2.40% 1.75% Arrange the historical daily returns data in descending
8/12/2022 1.66% 1.62% 1.09% 1.47%
negative return to the most positive return.
8/15/2022 0.27% 0.39% -0.14% 0.20% Step 3: Determine the Confidence Level
8/16/2022 0.96% -0.22% 1.08% 0.52% Since you want to calculate VaR at a 99% confidence l
8/17/2022 -0.84% -0.51% -0.63% -0.65% interested in the worst 1% of daily returns.
8/18/2022 -0.77% 0.42% -0.36% -0.17%
Step 4: Calculate the VaR
8/19/2022 -2.47% -1.88% -2.21% -2.15% To calculate the 1-day VaR at a 99% confidence level u
8/22/2022 -1.65% -1.72% -2.14% -1.83% simulation, you need to identify the daily return corre
8/23/2022 -0.99% -0.18% -0.89% -0.64% percentile of the sorted returns.
8/24/2022 0.24% 0.34% 0.32% 0.30%
a) Determine the number of observations (N) in your
8/25/2022 2.37% 1.48% 1.80% 1.84% number of historical daily returns.
8/26/2022 -3.27% -3.45% -3.16% -3.31%
8/29/2022 -0.24% -1.68% -0.38% -0.86% b) Calculate the rank (R) of the observation that corre
8/30/2022 0.02% -1.08% 0.56% -0.26%
percentile. You can use the formula:
R = Alpha * No of Trading Days
8/31/2022 -0.59% 0.94% -1.41% -0.23%
9/1/2022 0.69% 1.11% 0.24% 0.72% For 99% CI, Alpha = 1%, therefore R = 1%*251 = 2.51 =
9/2/2022 -0.70% 0.27% -0.12% -0.14% For 95% CI, Alpha = 5%, therefore R = 5%*251 = 12.55
9/6/2022 0.03% -1.47% -1.11% -0.91%
For 90% CI, Alpha = 10%, therefore R = 10%*251 = 25.
9/7/2022 1.90% 2.03% 1.54% 1.85% c) If R is not a whole number, round it up to the neare
9/8/2022 2.33% 1.82% 3.22% 2.39% VaR is often calculated using the worst-case scenario.
9/9/2022 0.48% 1.15% 0.84% 0.86%
9/12/2022 1.18% 0.77% 0.94% 0.95%
d) Find the corresponding daily return for the Rth ob
sorted dataset. This daily return represents your 1-da
9/13/2022 -3.47% -3.44% -3.60% -3.50% confidence level.
9/14/2022 -0.23% 0.15% -0.38% -0.12%
9/15/2022 1.51% 1.24% 1.89% 1.51%
9/16/2022 -0.67% -0.94% -1.13% -0.92%
9/19/2022 0.92% 1.48% 1.67% 1.37%
9/20/2022 -1.97% -1.72% -1.50% -1.73%
9/21/2022 -2.88% -0.95% -2.99% -2.14%
9/22/2022 -1.14% -1.84% -1.96% -1.67%
9/23/2022 -1.86% -3.85% -2.37% -2.81%
9/26/2022 -2.15% -2.15% -2.21% -2.17%
9/27/2022 -0.88% -0.35% -1.48% -0.85%
9/28/2022 2.02% 2.50% 1.64% 2.10%
9/29/2022 -1.69% -1.98% -1.32% -1.69%
9/30/2022 -1.56% -1.06% -1.50% -1.34%
 10/3/2022 3.09% 1.73% 2.95% 2.50%
10/4/2022 4.68% 4.47% 4.15% 4.43%
10/5/2022 -1.23% -1.02% -1.42% -1.21%
10/6/2022 -2.04% -2.17% -1.44% -1.91%
10/7/2022 -2.00% -2.93% -2.26% -2.45%
10/10/2022 -0.93% -0.66% -0.29% -0.63%
10/11/2022 -2.89% -1.80% -2.90% -2.46%
10/12/2022 1.62% -0.52% 0.30% 0.37%
10/13/2022 5.56% 3.55% 6.13% 4.93%
10/14/2022 1.66% -5.07% 0.03% -1.52%
10/17/2022 4.20% 2.44% 6.06% 4.05%
10/18/2022 2.57% 2.98% 3.75% 3.09%
10/19/2022 -1.96% -2.27% -2.75% -2.32%
10/20/2022 -0.33% -1.34% -0.65% -0.83%
10/21/2022 5.25% 3.42% 3.71% 4.06%
10/24/2022 0.12% 0.27% 0.34% 0.25%
10/25/2022 0.26% 1.36% 0.91% 0.90%
10/26/2022 1.15% 0.50% 0.88% 0.81%
10/27/2022 0.39% -0.27% 0.48% 0.15%
10/28/2022 1.19% 2.88% 0.86% 1.77%
10/31/2022 -0.16% -0.06% -0.39% -0.19%
11/1/2022 1.80% 1.89% 0.44% 1.43%
11/2/2022 -0.92% 0.78% -0.30% -0.06%
11/3/2022 0.18% -0.89% -0.55% -0.47%
11/4/2022 2.74% 1.47% 2.51% 2.16%
11/7/2022 0.53% 0.85% 0.60% 0.68%
11/8/2022 0.06% -0.34% 0.27% -0.04%
11/9/2022 -1.30% -2.15% -1.59% -1.73%
11/10/2022 4.12% 6.41% 4.41% 5.12%
11/11/2022 0.16% 2.23% 0.73% 1.16%
11/14/2022 -1.03% -1.07% -1.69% -1.24%
11/15/2022 -0.72% 0.77% -0.16% 0.04%
11/16/2022 0.14% -0.75% -0.90% -0.53%
11/17/2022 -0.44% -0.97% -0.51% -0.67%
11/18/2022 0.98% 0.28% 0.05% 0.42%
11/21/2022 -0.59% -0.13% 0.32% -0.13%
11/22/2022 1.50% 0.66% 0.48% 0.86%
11/23/2022 1.07% 0.29% 0.32% 0.53%
11/25/2022 0.19% 1.09% 0.24% 0.56%
11/28/2022 -1.75% -1.12% -2.23% -1.64%
11/29/2022 1.64% 1.32% 0.38% 1.14%
11/30/2022 1.19% 2.18% 2.30% 1.92%
12/1/2022 -1.40% -0.08% -2.87% -1.31%
12/2/2022 -0.79% -0.97% -1.29% -1.01%
12/5/2022 -2.80% -2.49% -4.46% -3.17%
 12/6/2022 0.17% -2.56% -4.26% -2.25%
12/7/2022 -0.07% -0.26% -0.79% -0.36%
12/8/2022 1.05% 1.62% -0.92% 0.69%
12/9/2022 -0.54% 0.88% -0.18% 0.13%
12/12/2022 1.55% 1.84% 1.08% 1.53%
12/13/2022 -0.10% 1.74% 0.06% 0.69%
12/14/2022 -0.50% -2.38% -1.44% -1.53%
12/15/2022 -2.48% -2.99% -1.58% -2.42%
12/16/2022 -0.62% -1.06% -0.22% -0.68%
12/19/2022 0.60% -1.51% 1.14% -0.08%
12/20/2022 0.48% -0.46% 0.41% 0.08%
12/21/2022 1.12% 2.01% 1.52% 1.60%
12/22/2022 -1.13% -0.58% -0.89% -0.84%
12/23/2022 0.47% -0.30% 0.25% 0.10%
12/27/2022 0.35% -1.22% 0.18% -0.33%
12/28/2022 0.55% -0.71% 0.74% 0.10%
12/29/2022 0.57% 0.92% 1.13% 0.88%
12/30/2022 0.66% -0.26% -0.06% 0.08%
1/3/2023 0.76% 0.82% 1.18% 0.91%
1/4/2023 0.93% 1.08% 1.88% 1.28%
1/5/2023 -0.02% -0.84% -0.21% -0.41%
1/6/2023 1.91% 1.91% 1.00% 1.64%
1/9/2023 -0.41% 0.09% -1.51% -0.54%
1/10/2023 0.90% 1.46% 0.68% 1.06%
1/11/2023 0.74% 0.57% 0.76% 0.68%
1/12/2023 -0.10% 1.23% 0.26% 0.54%
1/13/2023 2.52% 1.25% 2.20% 1.92%
1/17/2023 -1.55% 5.91% -2.02% 1.30%
1/18/2023 -3.00% -0.52% -2.32% -1.80%
1/19/2023 -1.33% -2.52% -1.45% -1.84%
1/20/2023 0.24% 2.22% 1.87% 1.52%
1/23/2023 1.62% 0.92% 1.39% 1.27%
1/24/2023 0.86% -1.67% 0.73% -0.19%
1/25/2023 0.48% 0.14% 0.87% 0.46%
1/26/2023 0.62% 0.90% 1.35% 0.95%
1/27/2023 0.24% 0.37% 0.31% 0.32%
1/30/2023 -0.85% -0.13% -0.42% -0.43%
1/31/2023 0.60% 1.43% 0.51% 0.90%
2/1/2023 -0.26% 0.88% 1.24% 0.65%
2/2/2023 -0.47% 1.04% 0.58% 0.45%
2/3/2023 1.55% 0.22% 0.83% 0.80%
2/6/2023 0.59% -0.53% -0.16% -0.09%
2/7/2023 1.22% 0.32% 1.10% 0.83%
2/8/2023 -0.70% -0.26% -0.73% -0.54%
2/9/2023 -1.56% -0.92% -2.14% -1.48%
2/10/2023 0.44% 0.40% -0.39% 0.17%
2/13/2023 1.08% 1.01% 0.20% 0.79%
2/14/2023 0.44% 1.14% -0.08% 0.56%
2/15/2023 0.42% 0.27% -0.17% 0.18%
2/16/2023 -1.38% -1.25% -0.79% -1.15%
2/17/2023 0.30% -0.06% 0.20% 0.12%
2/21/2023 -1.83% -1.90% -2.35% -2.01%
2/22/2023 -0.77% -0.36% -0.67% -0.57%
2/23/2023 0.80% 0.69% -0.09% 0.49%
2/24/2023 0.90% -0.25% -0.15% 0.13%
2/27/2023 0.87% -1.02% 0.00% -0.15%
2/28/2023 0.84% -0.21% 0.26% 0.25%
3/1/2023 -0.56% -0.32% -0.47% -0.44%
3/2/2023 -1.04% -0.11% -1.27% -0.74%
3/3/2023 1.84% 2.34% 2.00% 2.09%
3/6/2023 -0.58% 0.05% -0.20% -0.22%
3/7/2023 -2.94% -2.36% -3.20% -2.78%
3/8/2023 -0.59% -0.17% -1.33% -0.64%
3/9/2023 -5.41% -3.86% -6.20% -5.03%
3/10/2023 2.54% -2.33% -0.88% -0.44%
3/13/2023 -1.80% -2.29% -5.81% -3.20%
3/14/2023 2.57% 2.25% 0.88% 1.93%
3/15/2023 -4.72% -5.09% -0.94% -3.74%
3/16/2023 1.94% 1.90% 1.68% 1.85%
3/17/2023 -3.78% -3.25% -3.97% -3.63%
3/20/2023 1.06% 1.73% -0.25% 0.94%
3/21/2023 2.68% 3.64% 3.03% 3.17%
3/22/2023 -2.58% -1.36% -3.32% -2.32%
3/23/2023 -0.27% -1.95% -2.42% -1.59%
3/24/2023 -1.52% -2.20% 0.63% -1.15%
3/27/2023 2.87% 0.82% 4.97% 2.68%
3/28/2023 0.30% 0.28% -1.30% -0.19%
3/29/2023 0.20% 1.60% 1.96% 1.29%
3/30/2023 -0.30% -0.15% -1.29% -0.54%
3/31/2023 1.21% 1.96% 1.06% 1.47%
4/3/2023 -0.12% -0.73% -0.03% -0.34%
4/4/2023 -1.34% -2.68% -2.13% -2.12%
4/5/2023 0.15% -1.18% -1.22% -0.79%
4/6/2023 -0.11% 0.44% 0.72% 0.36%
4/10/2023 0.33% -0.23% 0.36% 0.12%
4/11/2023 0.49% 1.30% 2.76% 1.49%
4/12/2023 -0.02% 0.45% -0.80% -0.07%
4/13/2023 0.38% 0.26% 0.28% 0.30%
4/14/2023 7.55% 1.19% 3.36% 3.75%
4/17/2023 0.79% 2.98% 2.88% 2.29%
4/18/2023 1.12% 0.63% 0.63% 0.78%
4/19/2023 -0.13% 0.67% -1.64% -0.26%
4/20/2023 -0.29% -0.02% -0.53% -0.26%
4/21/2023 -0.19% 0.76% -0.10% 0.22%
4/24/2023 0.14% -1.01% -0.37% -0.47%
4/25/2023 -2.17% -2.37% -3.09% -2.53%
4/26/2023 -1.77% 0.43% -1.39% -0.78%
4/27/2023 1.35% 2.06% 1.58% 1.70%
4/28/2023 0.87% 0.54% 1.35% 0.88%
5/1/2023 2.14% -2.27% -0.82% -0.51%
5/2/2023 -1.61% -1.87% -3.03% -2.14%
5/3/2023 -2.12% -1.78% -1.07% -1.67%
5/4/2023 -1.37% -2.53% -3.12% -2.36%
5/5/2023 1.95% 2.75% 2.67% 2.49%
5/8/2023 0.24% -0.53% -0.07% -0.16%
5/9/2023 -0.48% -0.07% -0.11% -0.21%
5/10/2023 0.05% -0.77% -1.23% -0.66%
5/11/2023 -0.32% -1.30% 0.26% -0.54%
5/12/2023 -1.43% -0.29% -1.10% -0.87%
5/15/2023 0.84% 0.68% 2.07% 1.14%
5/16/2023 -0.67% -1.31% -1.05% -1.04%
5/17/2023 3.07% 2.50% 4.42% 3.25%
5/18/2023 0.76% 0.69% -0.35% 0.40%
5/19/2023 -0.23% -2.66% -1.26% -1.51%
5/22/2023 -0.83% 0.04% 0.82% 0.01%
5/23/2023 -1.04% 0.45% 0.85% 0.12%
5/24/2023 -0.92% -1.72% -1.68% -1.47%
5/25/2023 0.24% 2.19% 0.25% 1.02%
5/26/2023 0.94% 1.08% 0.50% 0.86%
5/30/2023 0.38% -0.57% -0.18% -0.17%
5/31/2023 -1.27% -1.99% -1.66% -1.68%
6/1/2023 1.38% 0.38% 0.76% 0.79%
6/2/2023 2.10% 2.78% 3.35% 2.75%
6/5/2023 -0.98% -0.72% -0.59% -0.76%
6/6/2023 0.18% 2.53% 2.42% 1.79%
6/7/2023 0.97% 0.75% 0.86% 0.85%
6/8/2023 0.03% -0.22% -0.85% -0.33%
6/9/2023 0.20% -0.12% 0.14% 0.05%
6/12/2023 -0.01% 1.43% -0.48% 0.43%
6/13/2023 0.72% 0.96% 0.93% 0.88%
6/14/2023 -0.37% -0.34% -0.95% -0.53%
6/15/2023 1.13% 1.22% 0.86% 1.08%
6/16/2023 0.12% -1.08% -0.61% -0.58%
6/20/2023 -0.51% -1.54% -1.10% -1.10%
6/21/2023 -0.15% -0.45% -1.04% -0.54%
6/22/2023 -1.93% -2.13% -2.14% -2.07%
6/23/2023 -0.52% -1.09% -0.75% -0.82%
6/26/2023 0.24% 0.01% 1.23% 0.45%
6/27/2023 0.01% 1.00% 0.53% 0.56%
6/28/2023 -0.44% -0.52% -0.60% -0.52%
6/29/2023 3.49% 1.49% 2.10% 2.27%
6/30/2023 1.40% 0.19% 0.10% 0.53%
7/3/2023 0.80% 1.18% 1.78% 1.25%
7/5/2023 -0.67% -0.57% -0.41% -0.55%
7/6/2023 -0.99% -3.01% -2.75% -2.33%
7/7/2023 0.79% 0.04% 0.88% 0.52%
7/10/2023 0.56% 0.05% 0.46% 0.32%
7/11/2023 1.56% 1.87% 1.26% 1.59%
7/12/2023 0.50% 0.95% 1.17% 0.88%
7/13/2023 0.49% 0.51% 1.06% 0.67%
7/14/2023 0.60% -0.50% -1.89% -0.58%
7/17/2023 2.41% 0.69% 1.00% 1.30%
7/18/2023 0.18% 6.45% 4.42% 3.96%
7/19/2023 0.38% 1.33% 2.70% 1.46%
7/20/2023 1.23% 0.69% 0.51% 0.80%
7/21/2023 -0.77% 0.22% 0.92% 0.13%
7/24/2023 1.97% 0.70% 2.10% 1.50%
7/25/2023 -0.75% -0.26% -1.53% -0.79%
7/26/2023 0.60% -0.93% 0.81% 0.05%
7/27/2023 -1.10% -0.84% -1.42% -1.09%
7/28/2023 0.57% -0.36% -0.16% -0.02%
7/31/2023 0.67% -0.01% 0.31% 0.29%
8/1/2023 -0.49% -0.68% -1.19% -0.78%
 MS BAC
40% 30% Arrange Returns Rank
-5.03% 1
Simulation Method -3.74% 2
-3.63% 3
calculate return -3.50% 4
urns data for the portfolio or asset you want to -3.31% 5
-3.20% 6
-3.17% 7
ly returns data in descending order from the most -2.81% 8
ost positive return. -2.78% 9
onfidence Level -2.53% 10
te VaR at a 99% confidence level, this means you are -2.46% 11
% of daily returns. -2.45% 12
This chart isn't available in your versio
-2.42% 13
R
R at a 99% confidence level using historical -2.36% 14 Editing this shape or saving this workb
dentify the daily return corresponding to the 1st -2.33% 15
eturns. -2.32% 16
-2.32% 17
r of observations (N) in your dataset, i.e., the total
y returns. -2.25% 18
-2.17% 19
of the observation that corresponds to the 1st -2.15% 20
he formula: -2.14% 21
Days
-2.14% 22
herefore R = 1%*251 = 2.51 => R = 3 -2.12% 23
herefore R = 5%*251 = 12.55 => R = 13 -2.07% 24
therefore R = 10%*251 = 25.1=> R = 26 -2.01% 25
ber, round it up to the nearest whole number, as -1.91% 26
ing the worst-case scenario. -1.84% 27
-1.83% 28
g daily return for the Rth observation in your -1.80% 29
return represents your 1-day VaR at the 99%
-1.73% 30
-1.73% 31
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 VaR Using Historical Method
Total No. of Data 251 251 251
CI 99% 95% 90%
Alpha 1% 5% 10%
Historic VaR is at Position 2.51 12.55 25.1
Historic VaR is at Position (Rounded) 3 13 26
Returns at specific position -3.63% -2.42% -1.91%
Portfolio Value $ 1,000,000 $ 1,000,000 $ 1,000,000
1 Day VaR $ (36,254) $ (24,161) $ (19,101)
Expected Shortdfall $ (43,819) $ (32,160) $ (26,954)
10 Day VaR $ (114,644) $ (76,403) $ (60,404)

This chart isn't available in your version of Excel.

VaR
Editing this shape or saving this workbook into (90%) file format will permanently break the chart.
a different

VaR (95%)
VaR (99%)
 VaR (Historical Method) - Percentile Approach
CI 99% 95% 90%
Returns at specific position -3.68% -2.43% -1.99%
Portfolio Value $ 1,000,000 $ 1,000,000 $ 1,000,000
$ (36,781) $ (24,285) $ (19,937)

eak the chart.

Historical Price Returns
Date JPM MS BAC Date JPM MS BAC
8/1/2022 110.73 81.16 32.55 8/1/2022
8/2/2022 109.01 80.62 31.90 8/2/2022 -1.56% -0.67% -1.99%
8/3/2022 110.15 82.08 32.48 8/3/2022 1.05% 1.82% 1.82%
8/4/2022 108.94 82.38 32.25 8/4/2022 -1.10% 0.36% -0.71%
8/5/2022 112.23 83.12 32.79 8/5/2022 3.03% 0.90% 1.68%
8/8/2022 110.87 83.03 32.33 8/8/2022 -1.22% -0.12% -1.38%
8/9/2022 111.87 83.35 32.75 8/9/2022 0.90% 0.38% 1.28%
8/10/2022 114.78 85.79 33.86 8/10/2022 2.61% 2.93% 3.39%
8/11/2022 116.48 87.05 34.67 8/11/2022 1.48% 1.47% 2.40%
Geometric B
8/12/2022 118.41 88.46 35.05 8/12/2022 1.66% 1.62% 1.09%
8/15/2022 118.73 88.81 35.00 8/15/2022 0.27% 0.39% -0.14% Geometric Bro
8/16/2022 119.86 88.62 35.38 8/16/2022 0.96% -0.22% 1.08% mathematical m
8/17/2022 118.86 88.16 35.15 8/17/2022 -0.84% -0.51% -0.63% (random) moti
over time. It is
8/18/2022 117.94 88.53 35.03 8/18/2022 -0.77% 0.42% -0.36% the behavior o
8/19/2022 115.02 86.87 34.26 8/19/2022 -2.47% -1.88% -2.21%
8/22/2022 113.12 85.37 33.52 8/22/2022 -1.65% -1.72% -2.14% The primary ch
8/23/2022 112.00 85.22 33.22 8/23/2022 -0.99% -0.18% -0.89% Motion are:
8/24/2022 112.27 85.51 33.33 8/24/2022 0.24% 0.34% 0.32% Drift: This is us
8/25/2022 114.94 86.77 33.93 8/25/2022 2.37% 1.48% 1.80% reflects the exp
8/26/2022 111.18 83.78 32.86 8/26/2022 -3.27% -3.45% -3.16% over time and
8/29/2022 110.91 82.37 32.73 8/29/2022 -0.24% -1.68% -0.38% any random flu
8/30/2022 110.93 81.48 32.91 8/30/2022 0.02% -1.08% 0.56% Volatility: Vola
8/31/2022 110.27 82.25 32.45 8/31/2022 -0.59% 0.94% -1.41% measures the d
9/1/2022 111.02 83.16 32.53 9/1/2022 0.69% 1.11% 0.24% the asset's retu
9/2/2022 110.25 83.39 32.49 9/2/2022 -0.70% 0.27% -0.12% risk associated
9/6/2022 110.28 82.16 32.13 9/6/2022 0.03% -1.47% -1.11%
9/7/2022 112.37 83.83 32.63 9/7/2022 1.90% 2.03% 1.54%
9/8/2022 114.99 85.35 33.68 9/8/2022 2.33% 1.82% 3.22%
9/9/2022 115.54 86.34 33.96 9/9/2022 0.48% 1.15% 0.84%
9/12/2022 116.91 87.00 34.28 9/12/2022 1.18% 0.77% 0.94%
9/13/2022 112.85 84.01 33.04 9/13/2022 -3.47% -3.44% -3.60%
9/14/2022 112.58 84.14 32.92 9/14/2022 -0.23% 0.15% -0.38%
9/15/2022 114.28 85.18 33.54 9/15/2022 1.51% 1.24% 1.89%
9/16/2022 113.51 84.38 33.16 9/16/2022 -0.67% -0.94% -1.13%
9/19/2022 114.56 85.62 33.71 9/19/2022 0.92% 1.48% 1.67%
9/20/2022 112.30 84.15 33.21 9/20/2022 -1.97% -1.72% -1.50%
9/21/2022 109.06 83.35 32.22 9/21/2022 -2.88% -0.95% -2.99%
9/22/2022 107.82 81.81 31.59 9/22/2022 -1.14% -1.84% -1.96%
9/23/2022 105.82 78.67 30.84 9/23/2022 -1.86% -3.85% -2.37%
9/26/2022 103.54 76.98 30.16 9/26/2022 -2.15% -2.15% -2.21%
9/27/2022 102.63 76.71 29.71 9/27/2022 -0.88% -0.35% -1.48%
9/28/2022 104.70 78.63 30.20 9/28/2022 2.02% 2.50% 1.64%
9/29/2022 102.93 77.07 29.80 9/29/2022 -1.69% -1.98% -1.32%
9/30/2022 101.32 76.25 29.35 9/30/2022 -1.56% -1.06% -1.50%
10/3/2022 104.45 77.58 30.22 10/3/2022 3.09% 1.73% 2.95%
10/4/2022 109.34 81.04 31.47 10/4/2022 4.68% 4.47% 4.15%
10/5/2022 107.99 80.21 31.02 10/5/2022 -1.23% -1.02% -1.42%
10/6/2022 105.78 78.47 30.57 10/6/2022 -2.04% -2.17% -1.44%
10/7/2022 103.67 76.18 29.88 10/7/2022 -2.00% -2.93% -2.26%
### 102.70 75.67 29.80 10/10/2022 -0.93% -0.66% -0.29%
### 99.74 74.31 28.93 10/11/2022 -2.89% -1.80% -2.90%
### 101.35 73.93 29.02 10/12/2022 1.62% -0.52% 0.30%
### 106.99 76.55 30.80 10/13/2022 5.56% 3.55% 6.13%
### 108.77 72.67 30.81 10/14/2022 1.66% -5.07% 0.03%
### 113.34 74.45 32.67 10/17/2022 4.20% 2.44% 6.06%
### 116.25 76.67 33.90 10/18/2022 2.57% 2.98% 3.75%
### 113.97 74.93 32.97 10/19/2022 -1.96% -2.27% -2.75%
### 113.60 73.93 32.75 10/20/2022 -0.33% -1.34% -0.65%
### 119.57 76.46 33.97 10/21/2022 5.25% 3.42% 3.71%
### 119.71 76.66 34.08 10/24/2022 0.12% 0.27% 0.34%
### 120.03 77.70 34.39 10/25/2022 0.26% 1.36% 0.91%
### 121.41 78.09 34.70 10/26/2022 1.15% 0.50% 0.88%
### 121.89 77.87 34.86 10/27/2022 0.39% -0.27% 0.48%
### 123.33 80.12 35.16 10/28/2022 1.19% 2.88% 0.86%
### 123.14 80.07 35.03 10/31/2022 -0.16% -0.06% -0.39%
11/1/2022 125.36 81.58 35.18 11/1/2022 1.80% 1.89% 0.44%
11/2/2022 124.20 82.22 35.07 11/2/2022 -0.92% 0.78% -0.30%
11/3/2022 124.43 81.49 34.88 11/3/2022 0.18% -0.89% -0.55%
11/4/2022 127.83 82.68 35.75 11/4/2022 2.74% 1.47% 2.51%
11/7/2022 128.51 83.39 35.97 11/7/2022 0.53% 0.85% 0.60%
11/8/2022 128.59 83.10 36.07 11/8/2022 0.06% -0.34% 0.27%
11/9/2022 126.91 81.32 35.49 11/9/2022 -1.30% -2.15% -1.59%
### 132.14 86.53 37.06 11/10/2022 4.12% 6.41% 4.41%
### 132.35 88.46 37.33 11/11/2022 0.16% 2.23% 0.73%
### 130.99 87.52 36.70 11/14/2022 -1.03% -1.07% -1.69%
### 130.04 88.19 36.64 11/15/2022 -0.72% 0.77% -0.16%
### 130.22 87.53 36.31 11/16/2022 0.14% -0.75% -0.90%
### 129.65 86.68 36.12 11/17/2022 -0.44% -0.97% -0.51%
### 130.92 86.92 36.14 11/18/2022 0.98% 0.28% 0.05%
### 130.15 86.81 36.26 11/21/2022 -0.59% -0.13% 0.32%
### 132.10 87.38 36.44 11/22/2022 1.50% 0.66% 0.48%
### 133.51 87.63 36.55 11/23/2022 1.07% 0.29% 0.32%
### 133.76 88.59 36.64 11/25/2022 0.19% 1.09% 0.24%
### 131.42 87.59 35.82 11/28/2022 -1.75% -1.12% -2.23%
### 133.59 88.75 35.96 11/29/2022 1.64% 1.32% 0.38%
 ### 135.17 90.69 36.78 11/30/2022 1.19% 2.18% 2.30%
12/1/2022 133.27 90.63 35.73 12/1/2022 -1.40% -0.08% -2.87%
12/2/2022 132.22 89.75 35.27 12/2/2022 -0.79% -0.97% -1.29%
12/5/2022 128.51 87.52 33.70 12/5/2022 -2.80% -2.49% -4.46%
12/6/2022 128.72 85.28 32.26 12/6/2022 0.17% -2.56% -4.26%
12/7/2022 128.64 85.05 32.00 12/7/2022 -0.07% -0.26% -0.79%
12/8/2022 129.99 86.43 31.71 12/8/2022 1.05% 1.62% -0.92%
12/9/2022 129.28 87.19 31.65 12/9/2022 -0.54% 0.88% -0.18%
### 131.29 88.79 32.00 12/12/2022 1.55% 1.84% 1.08%
### 131.16 90.34 32.01 12/13/2022 -0.10% 1.74% 0.06%
### 130.50 88.19 31.56 12/14/2022 -0.50% -2.38% -1.44%
### 127.27 85.55 31.06 12/15/2022 -2.48% -2.99% -1.58%
### 126.47 84.64 30.99 12/16/2022 -0.62% -1.06% -0.22%
### 127.23 83.37 31.34 12/19/2022 0.60% -1.51% 1.14%
### 127.84 82.99 31.47 12/20/2022 0.48% -0.46% 0.41%
### 129.28 84.65 31.95 12/21/2022 1.12% 2.01% 1.52%
### 127.81 84.16 31.66 12/22/2022 -1.13% -0.58% -0.89%
### 128.42 83.91 31.74 12/23/2022 0.47% -0.30% 0.25%
### 128.87 82.89 31.80 12/27/2022 0.35% -1.22% 0.18%
### 129.57 82.30 32.03 12/28/2022 0.55% -0.71% 0.74%
### 130.32 83.06 32.40 12/29/2022 0.57% 0.92% 1.13%
### 131.18 82.85 32.38 12/30/2022 0.66% -0.26% -0.06%
1/3/2023 132.18 83.53 32.76 1/3/2023 0.76% 0.82% 1.18%
1/4/2023 133.41 84.44 33.37 1/4/2023 0.93% 1.08% 1.88%
1/5/2023 133.38 83.73 33.30 1/5/2023 -0.02% -0.84% -0.21%
1/6/2023 135.93 85.32 33.64 1/6/2023 1.91% 1.91% 1.00%
1/9/2023 135.37 85.40 33.13 1/9/2023 -0.41% 0.09% -1.51%
1/10/2023 136.58 86.65 33.35 1/10/2023 0.90% 1.46% 0.68%
1/11/2023 137.60 87.15 33.61 1/11/2023 0.74% 0.57% 0.76%
1/12/2023 137.46 88.22 33.70 1/12/2023 -0.10% 1.23% 0.26%
1/13/2023 140.93 89.32 34.44 1/13/2023 2.52% 1.25% 2.20%
1/17/2023 138.75 94.60 33.74 1/17/2023 -1.55% 5.91% -2.02%
1/18/2023 134.58 94.11 32.96 1/18/2023 -3.00% -0.52% -2.32%
1/19/2023 132.79 91.75 32.48 1/19/2023 -1.33% -2.52% -1.45%
1/20/2023 133.11 93.78 33.09 1/20/2023 0.24% 2.22% 1.87%
1/23/2023 135.27 94.65 33.55 1/23/2023 1.62% 0.92% 1.39%
1/24/2023 136.43 93.07 33.79 1/24/2023 0.86% -1.67% 0.73%
1/25/2023 137.10 93.20 34.09 1/25/2023 0.48% 0.14% 0.87%
1/26/2023 137.94 94.04 34.55 1/26/2023 0.62% 0.90% 1.35%
1/27/2023 138.28 94.39 34.65 1/27/2023 0.24% 0.37% 0.31%
1/30/2023 137.11 94.26 34.51 1/30/2023 -0.85% -0.13% -0.42%
1/31/2023 137.92 95.61 34.68 1/31/2023 0.60% 1.43% 0.51%
2/1/2023 137.56 96.45 35.11 2/1/2023 -0.26% 0.88% 1.24%
2/2/2023 136.92 97.46 35.32 2/2/2023 -0.47% 1.04% 0.58%
2/3/2023 139.04 97.67 35.61 2/3/2023 1.55% 0.22% 0.83%
 2/6/2023 139.85 97.15 35.55 2/6/2023 0.59% -0.53% -0.16%
2/7/2023 141.56 97.47 35.94 2/7/2023 1.22% 0.32% 1.10%
2/8/2023 140.56 97.21 35.68 2/8/2023 -0.70% -0.26% -0.73%
2/9/2023 138.38 96.32 34.92 2/9/2023 -1.56% -0.92% -2.14%
2/10/2023 138.99 96.70 34.78 2/10/2023 0.44% 0.40% -0.39%
2/13/2023 140.49 97.67 34.85 2/13/2023 1.08% 1.01% 0.20%
2/14/2023 141.12 98.78 34.82 2/14/2023 0.44% 1.14% -0.08%
2/15/2023 141.71 99.05 34.76 2/15/2023 0.42% 0.27% -0.17%
2/16/2023 139.76 97.81 34.49 2/16/2023 -1.38% -1.25% -0.79%
2/17/2023 140.17 97.75 34.56 2/17/2023 0.30% -0.06% 0.20%
2/21/2023 137.60 95.89 33.74 2/21/2023 -1.83% -1.90% -2.35%
2/22/2023 136.54 95.55 33.52 2/22/2023 -0.77% -0.36% -0.67%
2/23/2023 137.64 96.21 33.49 2/23/2023 0.80% 0.69% -0.09%
2/24/2023 138.88 95.97 33.44 2/24/2023 0.90% -0.25% -0.15%
2/27/2023 140.09 94.99 33.44 2/27/2023 0.87% -1.02% 0.00%
2/28/2023 141.26 94.79 33.53 2/28/2023 0.84% -0.21% 0.26%
3/1/2023 140.48 94.49 33.37 3/1/2023 -0.56% -0.32% -0.47%
3/2/2023 139.02 94.38 32.95 3/2/2023 -1.04% -0.11% -1.27%
3/3/2023 141.57 96.59 33.61 3/3/2023 1.84% 2.34% 2.00%
3/6/2023 140.74 96.64 33.54 3/6/2023 -0.58% 0.05% -0.20%
3/7/2023 136.60 94.36 32.47 3/7/2023 -2.94% -2.36% -3.20%
3/8/2023 135.79 94.21 32.04 3/8/2023 -0.59% -0.17% -1.33%
3/9/2023 128.44 90.57 30.05 3/9/2023 -5.41% -3.86% -6.20%
3/10/2023 131.70 88.46 29.78 3/10/2023 2.54% -2.33% -0.88%
3/13/2023 129.34 86.44 28.05 3/13/2023 -1.80% -2.29% -5.81%
3/14/2023 132.66 88.38 28.30 3/14/2023 2.57% 2.25% 0.88%
3/15/2023 126.39 83.88 28.03 3/15/2023 -4.72% -5.09% -0.94%
3/16/2023 128.85 85.47 28.50 3/16/2023 1.94% 1.90% 1.68%
3/17/2023 123.98 82.69 27.37 3/17/2023 -3.78% -3.25% -3.97%
3/20/2023 125.29 84.13 27.30 3/20/2023 1.06% 1.73% -0.25%
3/21/2023 128.65 87.19 28.13 3/21/2023 2.68% 3.64% 3.03%
3/22/2023 125.33 86.00 27.19 3/22/2023 -2.58% -1.36% -3.32%
3/23/2023 124.99 84.32 26.54 3/23/2023 -0.27% -1.95% -2.42%
3/24/2023 123.09 82.47 26.70 3/24/2023 -1.52% -2.20% 0.63%
3/27/2023 126.62 83.14 28.03 3/27/2023 2.87% 0.82% 4.97%
3/28/2023 127.00 83.38 27.67 3/28/2023 0.30% 0.28% -1.30%
3/29/2023 127.26 84.72 28.21 3/29/2023 0.20% 1.60% 1.96%
3/30/2023 126.88 84.59 27.84 3/30/2023 -0.30% -0.15% -1.29%
3/31/2023 128.41 86.25 28.14 3/31/2023 1.21% 1.96% 1.06%
4/3/2023 128.27 85.62 28.13 4/3/2023 -0.12% -0.73% -0.03%
4/4/2023 126.55 83.32 27.53 4/4/2023 -1.34% -2.68% -2.13%
4/5/2023 126.74 82.34 27.19 4/5/2023 0.15% -1.18% -1.22%
4/6/2023 126.60 82.70 27.39 4/6/2023 -0.11% 0.44% 0.72%
4/10/2023 127.02 82.52 27.49 4/10/2023 0.33% -0.23% 0.36%
4/11/2023 127.64 83.59 28.25 4/11/2023 0.49% 1.30% 2.76%
4/12/2023 127.62 83.96 28.02 4/12/2023 -0.02% 0.45% -0.80%
4/13/2023 128.11 84.18 28.10 4/13/2023 0.38% 0.26% 0.28%
4/14/2023 137.78 85.18 29.04 4/14/2023 7.55% 1.19% 3.36%
4/17/2023 138.88 87.71 29.88 4/17/2023 0.79% 2.98% 2.88%
4/18/2023 140.44 88.26 30.07 4/18/2023 1.12% 0.63% 0.63%
4/19/2023 140.26 88.85 29.58 4/19/2023 -0.13% 0.67% -1.64%
4/20/2023 139.85 88.83 29.42 4/20/2023 -0.29% -0.02% -0.53%
4/21/2023 139.58 89.51 29.39 4/21/2023 -0.19% 0.76% -0.10%
4/24/2023 139.77 88.61 29.28 4/24/2023 0.14% -1.01% -0.37%
4/25/2023 136.73 86.50 28.38 4/25/2023 -2.17% -2.37% -3.09%
4/26/2023 134.31 86.88 27.98 4/26/2023 -1.77% 0.43% -1.39%
4/27/2023 136.12 88.66 28.42 4/27/2023 1.35% 2.06% 1.58%
4/28/2023 137.30 89.15 28.81 4/28/2023 0.87% 0.54% 1.35%
5/1/2023 140.24 87.12 28.57 5/1/2023 2.14% -2.27% -0.82%
5/2/2023 137.97 85.50 27.71 5/2/2023 -1.61% -1.87% -3.03%
5/3/2023 135.05 83.97 27.41 5/3/2023 -2.12% -1.78% -1.07%
5/4/2023 133.21 81.85 26.56 5/4/2023 -1.37% -2.53% -3.12%
5/5/2023 135.81 84.10 27.26 5/5/2023 1.95% 2.75% 2.67%
5/8/2023 136.14 83.66 27.24 5/8/2023 0.24% -0.53% -0.07%
5/9/2023 135.48 83.60 27.21 5/9/2023 -0.48% -0.07% -0.11%
5/10/2023 135.55 82.95 26.88 5/10/2023 0.05% -0.77% -1.23%
5/11/2023 135.12 81.87 26.95 5/11/2023 -0.32% -1.30% 0.26%
5/12/2023 133.19 81.63 26.65 5/12/2023 -1.43% -0.29% -1.10%
5/15/2023 134.31 82.19 27.20 5/15/2023 0.84% 0.68% 2.07%
5/16/2023 133.40 81.11 26.92 5/16/2023 -0.67% -1.31% -1.05%
5/17/2023 137.51 83.14 28.11 5/17/2023 3.07% 2.50% 4.42%
5/18/2023 138.55 83.72 28.01 5/18/2023 0.76% 0.69% -0.35%
5/19/2023 138.23 81.49 27.66 5/19/2023 -0.23% -2.66% -1.26%
5/22/2023 137.09 81.52 27.88 5/22/2023 -0.83% 0.04% 0.82%
5/23/2023 135.66 81.88 28.12 5/23/2023 -1.04% 0.45% 0.85%
5/24/2023 134.42 80.48 27.65 5/24/2023 -0.92% -1.72% -1.68%
5/25/2023 134.74 82.24 27.72 5/25/2023 0.24% 2.19% 0.25%
5/26/2023 136.01 83.13 27.85 5/26/2023 0.94% 1.08% 0.50%
5/30/2023 136.52 82.66 27.80 5/30/2023 0.38% -0.57% -0.18%
5/31/2023 134.78 81.01 27.34 5/31/2023 -1.27% -1.99% -1.66%
6/1/2023 136.64 81.32 27.55 6/1/2023 1.38% 0.38% 0.76%
6/2/2023 139.51 83.58 28.47 6/2/2023 2.10% 2.78% 3.35%
6/5/2023 138.14 82.97 28.30 6/5/2023 -0.98% -0.72% -0.59%
6/6/2023 138.39 85.07 28.99 6/6/2023 0.18% 2.53% 2.42%
6/7/2023 139.73 85.71 29.24 6/7/2023 0.97% 0.75% 0.86%
6/8/2023 139.77 85.52 28.99 6/8/2023 0.03% -0.22% -0.85%
6/9/2023 140.05 85.42 29.03 6/9/2023 0.20% -0.12% 0.14%
6/12/2023 140.04 86.64 28.89 6/12/2023 -0.01% 1.43% -0.48%
6/13/2023 141.05 87.47 29.16 6/13/2023 0.72% 0.96% 0.93%
6/14/2023 140.52 87.17 28.88 6/14/2023 -0.37% -0.34% -0.95%
6/15/2023 142.11 88.23 29.13 6/15/2023 1.13% 1.22% 0.86%
6/16/2023 142.28 87.28 28.95 6/16/2023 0.12% -1.08% -0.61%
6/20/2023 141.56 85.94 28.63 6/20/2023 -0.51% -1.54% -1.10%
6/21/2023 141.35 85.55 28.33 6/21/2023 -0.15% -0.45% -1.04%
6/22/2023 138.63 83.73 27.73 6/22/2023 -1.93% -2.13% -2.14%
6/23/2023 137.90 82.81 27.52 6/23/2023 -0.52% -1.09% -0.75%
6/26/2023 138.24 82.82 27.86 6/26/2023 0.24% 0.01% 1.23%
6/27/2023 138.25 83.66 28.01 6/27/2023 0.01% 1.00% 0.53%
6/28/2023 137.64 83.22 27.84 6/28/2023 -0.44% -0.52% -0.60%
6/29/2023 142.45 84.46 28.42 6/29/2023 3.49% 1.49% 2.10%
6/30/2023 144.45 84.62 28.45 6/30/2023 1.40% 0.19% 0.10%
7/3/2023 145.61 85.62 28.96 7/3/2023 0.80% 1.18% 1.78%
7/5/2023 144.64 85.13 28.84 7/5/2023 -0.67% -0.57% -0.41%
7/6/2023 143.21 82.57 28.05 7/6/2023 -0.99% -3.01% -2.75%
7/7/2023 144.34 82.60 28.29 7/7/2023 0.79% 0.04% 0.88%
7/10/2023 145.15 82.64 28.42 7/10/2023 0.56% 0.05% 0.46%
7/11/2023 147.42 84.18 28.78 7/11/2023 1.56% 1.87% 1.26%
7/12/2023 148.15 84.98 29.12 7/12/2023 0.50% 0.95% 1.17%
7/13/2023 148.87 85.42 29.42 7/13/2023 0.49% 0.51% 1.06%
7/14/2023 149.77 84.99 28.87 7/14/2023 0.60% -0.50% -1.89%
7/17/2023 153.38 85.58 29.16 7/17/2023 2.41% 0.69% 1.00%
7/18/2023 153.66 91.10 30.45 7/18/2023 0.18% 6.45% 4.42%
7/19/2023 154.25 92.31 31.27 7/19/2023 0.38% 1.33% 2.70%
7/20/2023 156.15 92.94 31.43 7/20/2023 1.23% 0.69% 0.51%
7/21/2023 154.95 93.15 31.72 7/21/2023 -0.77% 0.22% 0.92%
7/24/2023 158.00 93.80 32.38 7/24/2023 1.97% 0.70% 2.10%
7/25/2023 156.82 93.55 31.88 7/25/2023 -0.75% -0.26% -1.53%
7/26/2023 157.76 92.68 32.14 7/26/2023 0.60% -0.93% 0.81%
7/27/2023 156.02 91.90 31.69 7/27/2023 -1.10% -0.84% -1.42%
7/28/2023 156.91 91.57 31.64 7/28/2023 0.57% -0.36% -0.16%
7/31/2023 157.96 91.56 31.74 7/31/2023 0.67% -0.01% 0.31%
8/1/2023 157.18 90.94 31.36 8/1/2023 -0.49% -0.68% -1.19%
 W = Z * sqrt (t)

Uncorrelated Random Variable

Sims W1 W2 W3
Geometric Brownian motion 1 -0.040313 0.082374 0.045152
2 -0.049136 0.039159 -0.001457
3 0.012466 0.02798 -0.011386
4 0.06945 0.010192 -0.125674
5 0.02149 -0.070873 0.039935
6 -0.132621 -0.034587 -0.038826
7 -0.115253 -0.065297 0.09149
8 -0.053175 0.033334 -0.078563
9 0.014168 0.044427 0.045771
Geometric Brownian Motion
10 0.135887 -0.064371 0.042997
Geometric Brownian Motion (GBM) is a 11 0.038413 0.04965 -0.064397
mathematical model used to describe the stochastic 12 0.004689 0.10899 -0.091553
(random) motion of assets, such as stock prices, 13 -0.040982 -0.065849 -0.058761
over time. It is widely used in finance to simulate
the behavior of financial instruments like stocks. 14 -0.002092 0.056788 0.081027
15 0.170722 0.034783 0.001376
The primary characteristics of Geometric Brownian 16 0.039928 -0.036363 0.073011
Motion are: 17 0.001117 -0.056074 0.005777
Drift: This is usually denoted as "μ." The drift 18 0.037205 -0.016709 0.105114
reflects the expected average return of the asset 19 -0.022779 0.001753 0.076205
over time and represents the rate of return without 20 0.022463 0.06895 0.034755
any random fluctuations. 21 -0.048017 0.069088 -0.007104
Volatility: Volatility is typically denoted as "σ." It 22 -0.054891 0.030476 -0.004255
measures the degree of variation or dispersion of 23 -0.034011 -0.125993 -0.149678
the asset's returns. It quantifies the uncertainty and 24 -0.006128 0.083221 -0.117175
risk associated with the asset's price movements. 25 -0.081935 0.03032 -0.052903
26 0.01981 -0.029727 -0.080213
27 0.011601 0.026799 -0.029808
28 0.087512 0.01963 -0.047046
29 0.006221 0.128494 0.001173
30 0.071913 0.094022 0.06615
31 0.010724 0.100719 0.014412
32 0.065575 0.028584 -0.111307
33 0.078242 0.012968 -0.043969
34 0.007617 -0.033085 -0.051848
35 0.092474 -0.016079 0.008775
36 0.023827 -0.007476 -0.012444
37 0.127904 0.012523 -0.078425
38 0.156523 -0.02707 0.05641
39 0.00444 0.071234 0.095684
40 0.138545 -0.036836 -0.027735
41 0.0602 0.050698 -0.026101
42 0.118095 -0.019939 -0.003434
43 -0.007853 0.129985 0.001677
44 0.035761 0.030136 0.002407
45 -0.051335 0.045511 -0.116968
46 0.136117 -0.048747 -0.096013
47 0.13584 0.043004 0.004367
48 -0.069591 0.116402 -0.097424
49 -0.092019 -0.02748 0.04666
50 -0.017854 0.064816 -0.011878
51 -0.020251 0.045074 0.031801
52 -0.059294 -0.035971 -0.017614
53 0.066532 0.029848 0.016696
54 0.067877 -0.028618 0.070143
55 -0.01451 -0.016061 -0.053139
56 0.01873 -0.083612 -0.021268
57 0.047343 -0.109396 0.010364
58 -0.137932 0.03328 0.030504
59 0.033289 -0.016654 -0.038281
60 -0.080604 -0.049092 0.002273
61 -0.129973 -0.048053 -0.053622
62 0.070402 -0.012944 0.061525
63 0.064085 0.018624 -0.000251
64 0.104553 0.032899 0.020224
65 0.010488 0.106406 -0.067967
66 -0.044711 -0.126066 0.064438
67 0.026351 -0.090539 0.150262
68 -0.131323 -0.046523 -0.051327
69 0.052324 0.06057 0.002598
70 -0.053284 0.039329 0.03342
71 -0.009046 -0.02398 -0.056774
72 0.039852 0.02844 0.007605
73 0.008575 0.037156 0.036375
74 -0.001285 -0.039232 -0.037124
75 0.00652 0.069346 0.005167
76 -0.132582 -0.06906 -0.061057
77 0.029235 0.046321 -0.053265
78 0.044388 0.101525 0.071695
79 0.042977 0.03336 -0.10224
80 -0.062811 0.037241 0.107957
81 0.025378 0.014068 -0.057281
82 0.064734 0.184015 -0.025934
83 0.122598 0.128317 -0.052357
84 0.081363 0.007142 -0.051258
85 0.017726 0.018799 -0.055603
 86 -0.01325 0.014215 0.097548
87 -0.198828 -0.038348 0.006282
88 0.027021 0.002693 -0.015057
89 -0.073911 0.038216 0.034027
90 -0.034622 -0.050444 0.103021
91 -0.024171 0.033643 -0.020647
92 0.020995 -0.015218 -0.003464
93 0.037689 0.102974 -0.088005
94 -0.094561 0.020986 0.060077
95 -0.065241 0.031823 -0.012899
96 -0.079793 -0.05751 0.021484
97 0.081859 -0.034411 -0.023384
98 -0.055201 -0.00362 -0.036182
99 -0.138177 0.028329 0.039484
100 -0.072226 0.022312 -0.05851
101 0.004039 -0.023068 0.004944
102 -0.040614 0.098522 0.019932
103 -0.018556 -0.033855 0.052254
104 -0.100187 0.013318 0.036065
105 -0.033499 0.081901 -0.031253
106 0.034142 0.006541 0.001751
107 -0.036815 -0.027632 -0.074088
108 0.013809 -0.013266 0.029228
109 0.014925 -0.00148 0.099426
110 -0.035785 0.064589 0.027917
111 -0.052993 0.029091 -0.114796
112 -0.066668 0.221488 -0.011415
113 0.070881 0.070403 0.139457
114 0.04786 -0.021227 0.126402
115 -0.103366 0.094488 0.03266
116 0.021696 -0.009024 -0.063524
117 0.030033 -0.104883 0.007384
118 0.054991 0.058768 -0.016516
119 0.006472 0.060888 -0.059217
120 -0.097296 -0.027753 -0.049291
121 -0.010355 -0.125505 -0.009978
122 0.047557 -0.003853 -0.000417
123 0.050273 0.096226 0.109069
124 0.015719 -0.134023 -0.047304
125 0.035073 -0.06405 0.046733
126 0.036824 0.018053 0.037153
127 0.035009 0.011857 -0.050547
128 0.005726 -0.014888 -0.036669
129 0.000191 0.015154 -0.001201
130 -0.015827 0.085181 -0.139127
131 -0.068584 -0.083185 -0.092201
132 -0.047937 0.041928 -0.08863
133 0.033689 -0.006047 0.00247
134 -0.090308 0.008281 0.058624
135 -0.004152 0.124467 -0.024921
136 0.040812 -0.021005 0.012388
137 -0.020489 0.027842 -0.014279
138 0.06094 -0.040875 0.118794
139 0.120087 0.000737 0.049007
140 -0.005325 -0.058604 0.186011
141 0.189422 0.026181 -0.028398
142 0.039529 -0.029582 0.055368
143 0.070763 0.074049 -0.00066
144 -0.03222 0.124367 0.073942
145 -0.00691 0.003555 0.005227
146 -0.018313 0.086633 -0.017903
147 0.018684 0.01166 -0.004219
148 0.066155 0.016375 0.113594
149 0.143403 0.043664 0.026772
150 -0.106992 0.042593 0.067984
151 -0.044324 -0.042821 0.058757
152 -0.041857 0.008933 -0.047657
153 -0.09195 -0.039689 0.038431
154 0.019333 0.025758 0.069117
155 -0.020686 0.073546 -0.127396
156 0.045681 -0.030302 -0.08507
157 -0.022055 -0.035752 0.061208
158 0.023059 0.065646 -0.037005
159 0.08986 -0.059844 0.131211
160 -0.095238 0.070859 0.072607
161 -0.107914 0.129397 0.021146
162 0.029785 -0.029351 0.05295
163 0.020076 0.012537 0.028981
164 -0.037364 -0.029517 -0.100741
165 0.056836 0.03948 -0.03788
166 0.011593 -0.168895 -0.024227
167 -0.0996 0.033076 -0.115735
168 0.005101 0.003107 0.001591
169 0.048783 0.002205 0.021574
170 -0.015366 -0.024202 0.051246
171 0.023003 0.065856 -0.033113
172 0.053521 -0.007607 -0.036155
173 0.02661 0.031833 0.09304
174 0.04259 -0.00879 0.026812
175 0.078683 -0.116916 -0.063769
176 0.029165 0.020758 -0.001148
177 0.022759 -0.048438 0.037314
178 -0.049086 0.027216 0.150294
179 -0.034689 0.108806 -0.017939
180 -0.140985 0.018043 0.069312
181 -0.040051 -0.052252 0.01699
182 -0.077086 -0.01489 0.094326
183 -0.05511 0.029009 0.042729
184 -0.123362 -0.016994 -0.029366
185 0.0058 0.028186 -0.086599
186 0.021898 -0.014676 -0.048361
187 -0.025686 0.07947 -0.108406
188 0.00397 -0.116653 -0.019523
189 -0.021022 -0.060287 -0.040362
190 -0.086533 -0.020332 0.002198
191 0.094123 0.064866 0.029677
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649 -0.040648 -0.045183 0.033683
650 -0.125846 0.060277 -0.066519
651 0.113926 0.188373 -0.034841
652 -0.102081 -0.069424 0.011115
653 0.077344 0.073665 -0.028773
654 0.020553 0.030264 0.101108
655 -0.057214 -0.014895 0.006374
656 0.124774 -0.047299 -0.100047
657 -0.01296 0.056512 -0.002793
658 0.049346 0.06524 0.022856
659 -0.033015 -0.006343 -0.024529
660 -0.076607 0.070265 -0.0921
661 -0.004016 -0.016082 0.027166
662 -0.064524 0.067145 -0.056584
663 -0.057887 0.022067 -0.041718
664 0.025307 0.06049 0.012719
665 -0.083178 -0.118125 -0.00476
666 0.132675 -0.00633 0.058326
667 -0.009523 0.003967 -0.077023
668 -0.054216 0.084963 0.084641
669 0.000766 0.043426 0.060867
670 -0.001849 -0.161151 0.046375
671 -0.017146 -0.057417 0.012277
672 0.006563 -0.096754 -0.011028
673 -0.089724 0.024425 0.013472
674 -0.069824 0.043139 0.021647
675 -0.034937 0.019887 -0.002031
676 -0.052526 -0.019635 -0.042779
677 -0.019048 -0.096934 -0.035699
678 0.08961 -0.048445 -0.088175
679 0.056395 -0.110835 -0.012578
680 0.044483 -0.125327 0.017694
681 0.044573 0.05401 -0.079661
682 -0.028028 0.034103 0.096054
683 0.071958 -0.086682 0.010775
684 0.012797 -0.030768 0.050113
685 -0.100116 -0.080119 -0.015423
686 -0.069949 0.035705 -0.054401
687 0.029405 0.041703 -0.011052
688 0.038284 0.113456 -0.064699
689 0.060175 -0.083337 -0.038239
690 0.024426 0.044739 0.10527
691 0.148846 0.138851 -0.088768
692 0.045471 -0.090315 0.023754
693 -0.001159 -0.012151 -0.085086
694 -0.024885 -0.001767 0.058535
695 -0.019289 0.043658 0.047958
696 0.029272 -0.084778 -0.088477
697 0.065395 0.019914 0.034992
698 0.018665 -0.075317 -0.004573
699 0.101948 -0.053813 -0.029023
700 0.072017 0.054557 0.070509
701 0.026598 -0.024011 -0.002279
702 0.026896 -0.068588 -0.098445
703 -0.026407 0.1045 0.029805
704 -0.074284 -0.025914 0.04247
705 -0.086919 -0.064159 -0.061136
706 0.041592 0.026959 0.000294
707 -0.001419 0.076006 -0.0604
708 0.041947 -0.000585 -0.020662
709 0.0234 -0.132508 0.012997
710 0.015643 0.004587 0.119917
711 -0.070391 0.054515 -0.084578
712 -0.105123 0.113643 0.001785
713 -0.024133 -0.003037 -0.051622
714 -0.021396 -0.075718 0.010641
715 -0.03463 0.035679 -0.062702
716 0.015432 0.079954 0.124951
717 -0.02549 -0.078245 -0.053875
718 -0.010441 -0.144336 0.073899
719 -0.032547 0.132367 -0.043805
720 -0.044828 0.038959 -0.084735
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723 -0.125761 0.038849 -0.152624
724 -0.030188 0.084875 0.039565
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726 -0.034425 -0.074279 -0.025525
727 0.036656 0.117557 -0.11191
728 -0.038176 0.071124 0.006041
729 0.066736 0.005327 0.058899
730 0.09202 -0.026277 -0.015678
731 -0.004783 0.039656 -0.053101
732 0.037326 0.076076 0.036367
733 -0.038569 0.059809 0.033206
734 -0.143159 -0.026752 0.081735
735 -0.015026 -0.010946 0.01568
736 -0.018277 0.043235 -0.03625
737 0.052635 0.061317 0.067335
738 0.038857 -0.037104 0.030455
739 0.022373 0.02356 0.024719
740 -0.034408 -0.058588 -0.064256
741 0.012755 0.114695 0.054677
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744 -0.0469 -0.061358 -0.016592
745 -0.007685 -0.030184 0.04339
746 -0.005177 -0.014385 0.03403
747 0.01949 0.007803 -0.047145
748 -0.057644 -0.111044 -0.020007
749 -0.069206 0.014337 -0.124618
750 -0.018964 -0.059309 -0.024393
751 0.07999 0.073218 -0.000844
752 0.017888 0.042908 0.034876
753 -0.088815 -0.04097 0.062606
754 -0.016906 0.063461 -0.062402
755 -0.044205 -0.128385 -0.042924
756 -0.167883 -0.00951 -0.006842
757 0.052192 0.069022 -0.091138
758 0.02207 -0.025985 -0.045813
759 -0.010725 -0.049643 0.043803
760 0.086832 -0.081378 -0.031178
761 -0.047384 0.044158 -0.008747
762 -0.152174 -0.047129 -0.002397
763 0.033499 0.003632 -0.102234
764 0.026885 0.006523 0.063332
765 -0.055932 -0.057378 -0.007063
766 -0.075274 -0.032765 -0.01303
767 0.015056 0.092429 0.069073
768 0.074786 -0.048784 0.028113
769 0.03306 0.121077 0.040023
770 0.072972 -0.052153 0.017525
771 0.032206 0.045156 -0.068627
772 0.059799 0.017468 -0.002793
773 -0.081327 0.010762 0.081475
774 -0.045362 0.072569 0.032101
775 -0.130608 0.056694 -0.064052
776 -0.098757 -0.103734 -0.032583
777 -0.075667 0.05562 -0.028534
778 -0.089643 0.017193 0.023
779 0.026047 0.038847 -0.013773
780 -0.00113 -0.008786 -0.018882
781 -0.016074 -0.044368 -0.082024
782 0.016054 -0.039863 0.134328
783 0.101458 0.129486 0.069319
784 0.004764 0.014698 -3.32E-05
785 -0.060388 -0.023737 0.041904
786 0.078238 0.022977 -0.030639
787 -0.030385 -0.090088 -0.047279
788 -0.051758 -0.029908 -0.027253
789 -0.025723 0.027511 -0.072392
790 -0.059268 -0.007805 -0.038996
791 0.010771 0.068896 0.013023
792 0.030761 -0.063298 0.048855
793 -0.039639 0.093931 -0.037962
794 -0.046913 -0.065162 -0.019653
795 0.052341 0.038861 0.049838
796 0.023556 -0.026832 0.068011
797 0.038397 -0.012859 -0.067714
798 -0.013852 -0.003438 0.007074
799 -0.041846 -0.077472 0.058581
800 -0.033136 -0.001125 -0.044756
801 -0.079875 0.118291 -0.02394
802 -0.001666 -0.127493 -0.00122
803 0.035832 -0.058255 -0.084574
804 0.096265 0.103811 -0.086053
805 0.068006 -0.03923 0.063956
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807 0.02113 0.02935 0.074926
808 -0.183308 -0.033369 0.07581
809 0.097341 -0.013395 0.070057
810 -0.038582 -0.048383 0.114428
811 0.052179 -0.073031 -0.012882
812 -0.031146 0.012283 -0.040189
813 0.005976 0.013248 -0.014775
814 0.124523 -0.040368 -0.121891
815 -0.075112 -0.023947 -0.144314
816 0.035621 0.199978 0.018656
817 -0.005043 -0.054954 -0.05302
818 0.095207 0.025213 -0.005598
819 -0.025153 -0.011354 0.063073
820 0.041008 -0.07883 0.058208
821 0.063012 0.07021 -0.053222
822 0.005886 0.061892 -0.062146
823 -0.127418 -0.078837 -0.110779
824 0.037218 0.020195 0.072784
825 -0.081914 0.096775 -0.161137
826 -0.055941 -0.063459 -0.04485
827 -0.028463 0.069031 0.025087
828 -0.016674 0.086589 -0.041279
829 -0.078165 -0.023605 -0.03128
830 -0.010838 0.06592 -0.005375
831 -0.032088 -0.039945 -0.032313
832 -0.057621 -0.017892 -0.081704
833 -0.078777 -0.058771 -0.087266
834 -0.008931 -0.040785 -0.088327
835 0.035005 -0.036502 -0.065411
836 -0.043596 -0.117684 0.004296
837 -0.080415 0.006854 -0.005692
838 0.02927 0.013486 -0.012949
839 -0.105902 0.030192 0.033972
840 0.030813 0.022429 0.021661
841 0.036535 0.042278 0.047295
842 0.018797 0.095773 0.067059
843 0.069594 -0.00139 0.002377
844 -0.0957 0.0989 0.047831
845 -0.017306 0.019438 -0.05491
846 0.004917 -0.079404 -0.01276
847 -0.010939 -0.091615 -0.007016
848 0.057747 -0.021241 0.074178
849 -0.127238 0.066241 0.020934
850 0.033549 -0.159162 -0.01226
851 -0.04382 0.008925 0.044601
852 0.046528 0.124333 -0.057479
853 -0.042229 -0.02613 -0.099682
854 -0.047193 -0.051362 6.843E-06
855 -0.017268 0.045221 0.125161
856 0.05458 -0.015797 0.048638
857 0.083484 -0.112608 -0.068454
858 0.018062 -0.028913 -0.127901
859 0.037454 0.070738 -0.061718
860 0.041175 -0.024015 0.032791
861 0.0124 -0.020476 0.01384
862 0.068674 -0.014902 -0.057987
863 -0.001162 0.022371 0.089426
864 0.08067 0.050647 0.070496
865 0.02151 0.071318 -0.031358
866 0.044065 -0.005647 0.112542
867 0.03536 0.032348 -0.097509
868 0.002048 0.075392 -0.062583
869 0.09476 0.018554 0.014015
870 -0.018203 0.029651 0.018881
871 0.03252 0.001544 -0.044578
872 -0.094882 -0.071331 0.023263
873 -0.106262 0.02189 0.131923
874 0.008706 -0.037357 -0.071714
875 0.046996 -0.031712 -0.009355
876 0.021117 0.07291 0.113579
877 0.021665 -0.104855 -0.001754
878 -0.022516 -0.053046 0.020899
879 0.039646 0.09676 -0.07858
880 0.01089 -0.029707 0.036025
881 -0.071659 -0.069949 -0.090425
882 0.013913 0.097836 -0.10226
883 0.070287 -0.03578 -0.058682
884 -0.019333 -0.003424 0.016212
885 -0.037592 0.02814 0.022765
886 -0.077216 0.130267 0.097584
887 -0.075189 0.031172 0.109723
888 -0.054326 0.009305 0.008237
889 0.103692 0.021356 0.050922
890 0.031819 -0.122519 -0.090763
891 0.116712 0.078479 -0.003481
892 -0.045358 -0.108379 -0.001242
893 -0.032431 -0.028519 -0.004416
894 0.037081 0.094732 0.027449
895 0.026114 -0.148367 -0.030476
896 -0.030713 0.002957 0.046968
897 -0.048104 0.046441 -0.045213
898 0.043396 -0.028475 -0.079012
899 0.013038 -0.063521 0.030868
900 0.08864 -0.000976 0.022456
901 0.048541 0.002443 0.02456
902 0.063301 -0.034993 0.037677
903 -0.096996 0.088558 -0.019787
904 0.026059 0.096717 -0.062697
905 0.089846 -0.075186 -0.081837
906 -0.09509 -0.016705 -0.05575
907 0.143834 0.053486 0.040661
908 0.063886 0.044318 -0.028506
909 -0.091877 -0.092247 -0.115177
910 0.007754 0.013021 0.064292
911 -0.158141 -0.038705 0.022916
912 -0.008726 0.00684 -0.033045
913 0.013991 -0.076404 0.019016
914 -0.052979 0.007991 -0.078358
915 0.07477 0.017871 0.051079
916 0.057023 -0.01634 0.057596
917 -0.004668 -0.163096 0.098677
918 0.041367 -0.039428 0.045985
919 0.006149 0.098494 0.048172
920 -0.016297 0.063015 -0.052895
921 0.082139 -0.010598 -0.003801
922 -0.028191 -0.033284 0.133293
923 0.040947 -0.150208 0.030599
924 0.151704 0.047329 0.004399
925 -0.035983 -0.075004 -0.067711
926 0.130097 -0.094143 0.019494
927 0.058489 -0.012717 -0.098352
928 -0.028209 -0.030108 -0.031637
929 -0.013791 -0.049441 0.081258
930 -0.107291 -0.010603 -0.072044
931 -0.000369 -0.021445 0.037157
932 0.019572 -0.088849 0.049223
933 0.037996 -0.086489 0.001907
934 0.02206 0.063832 0.048672
935 0.063376 0.017235 -0.00061
936 -0.015674 0.090932 0.023995
937 -0.058211 -0.048233 -0.059845
938 0.029626 0.072773 -0.047249
939 -0.004026 0.036406 -0.076939
940 -0.066251 -0.033476 -0.088689
941 0.038347 0.079806 0.06103
942 0.038433 -0.021968 0.012473
943 -0.006338 -0.019475 0.027698
944 -0.038396 0.026385 0.073735
945 0.02413 0.032792 0.026456
946 -0.008498 -0.047915 0.037421
947 -0.116999 0.041951 0.044817
948 -0.00903 -0.014958 -0.016717
949 0.009607 0.044006 -0.015224
950 0.011588 0.012277 0.072599
951 -0.000673 -0.02178 0.071724
952 0.043521 -0.0656 -0.082428
953 -0.074514 0.018586 -0.049924
954 -0.035902 0.001686 -0.017934
955 -0.0561 -0.179115 0.050272
956 0.027225 -0.112871 0.087216
957 0.000994 0.051206 0.025969
958 0.14826 -0.112405 0.107445
959 -0.065534 0.017836 -0.051354
960 0.003297 0.024595 0.073568
961 -0.092592 -0.028881 -0.037458
962 0.042693 0.082752 -0.061302
963 0.043527 -0.058121 0.046971
964 -0.072123 -0.019483 -0.109957
965 -0.112264 0.011707 -0.020996
966 -0.10522 0.057033 -0.177295
967 0.097629 0.034221 -0.1219
968 -0.060218 0.065346 -0.101838
969 0.025033 -0.057291 0.016406
970 -0.041525 -0.002274 -0.009127
971 0.031708 -0.032508 -0.141756
972 0.018559 -0.050177 0.12755
973 0.028213 -0.004674 0.130541
974 -0.017105 -0.051514 -0.053483
975 0.030596 0.040945 0.018909
976 -0.000979 -0.032269 0.071355
977 0.080652 -0.052979 -0.005467
978 -0.018783 -0.021902 0.034908
979 0.073456 0.047447 0.010996
980 0.032323 -0.094445 -0.029049
981 -0.003627 0.000241 -0.044719
982 -0.115673 -0.018999 -0.057879
983 0.005378 0.007205 0.074136
984 0.028982 0.015401 -0.067448
985 0.089199 0.067963 -0.065609
 986 0.105683 0.079278 0.05069
987 -0.104886 0.071184 -0.130113
988 -0.0272 0.057199 0.106929
989 0.015924 0.069518 -0.020331
990 0.02458 -0.101502 -0.00287
991 0.071362 0.027362 0.04895
992 -0.004301 0.057471 -0.105441
993 -0.093604 -0.172115 0.012949
994 0.115365 0.009885 -0.121805
995 -0.07444 0.012559 -0.04603
996 -0.035729 -0.049415 0.021678
997 0.081909 0.113725 -0.134151
998 0.074833 0.030124 -0.017945
999 0.07207 0.12062 -0.016356
1000 -0.04514 -0.111803 -0.034464
 Wiener Process or Brownian Motion
Correlated Random Variable
Sims W1 W2
1 -0.040 0.035
Why to generate Random Variable?
2 -0.049 -0.003
In the specific case of Geometric Brownian 3 0.012 0.029
Motion (GBM), which is commonly used to 4 0.069 0.054
model stock prices in finance, the random 5 0.021 -0.039
variable (often represented as dW(t))
represents the random fluctuations in the 6 -0.133 -0.114
stock price. These fluctuations are driven by 7 -0.115 -0.125
market sentiment, news, and other 8 -0.053 -0.010
unpredictable factors.
9 0.014 0.043
10 0.136 0.042
11 0.038 0.063
12 0.005 0.085
13 -0.041 -0.076
14 -0.002 0.041
Why to generate Correlated Random
15 0.171 0.139
Variable?
16 0.040 -0.001
In finance, it is crucial to model the correlation 17 0.001 -0.041
between different assets or variables 18 0.037 0.012
accurately. In financial markets, asset prices
often move together or in opposite directions 19 -0.023 -0.014
due to market conditions, economic factors, or 20 0.022 0.066
other common influences. Ignoring these 21 -0.048 0.020
correlations can lead to unrealistic models. 22 -0.055 -0.014
To conclude, by generating correlated random 23 -0.034 -0.117
variables for asset returns, you can model how 24 -0.006 0.058
the assets interact with each other. 25 -0.082 -0.032
26 0.020 -0.009
27 0.012 0.028
28 0.088 0.073
29 0.006 0.100
30 0.072 0.118
31 0.011 0.082
32 0.066 0.065
33 0.078 0.062
34 0.008 -0.020
35 0.092 0.049
36 0.024 0.010
37 0.128 0.094
38 0.157 0.084
39 0.004 0.056
40 0.139 0.065
41 0.060 0.078
42 0.118 0.064
43 -0.008 0.092
44 0.036 0.046
45 -0.051 0.000
46 0.136 0.054
47 0.136 0.122
48 -0.070 0.041
49 -0.092 -0.082
50 -0.018 0.037
51 -0.020 0.020
52 -0.059 -0.066
53 0.067 0.067
54 0.068 0.024
55 -0.015 -0.022
56 0.019 -0.050
57 0.047 -0.050
58 -0.138 -0.067
59 0.033 0.010
60 -0.081 -0.090
61 -0.130 -0.122
62 0.070 0.037
63 0.064 0.057
64 0.105 0.094
65 0.010 0.086
66 -0.045 -0.124
67 0.026 -0.050
68 -0.131 -0.122
69 0.052 0.080
70 -0.053 -0.006
71 -0.009 -0.024
72 0.040 0.048
73 0.009 0.033
74 -0.001 -0.030
75 0.007 0.056
76 -0.133 -0.140
77 0.029 0.054
78 0.044 0.105
79 0.043 0.053
80 -0.063 -0.014
81 0.025 0.027
82 0.065 0.181
83 0.123 0.177
84 0.081 0.059
85 0.018 0.026
 86 -0.013 0.002
87 -0.199 -0.161
88 0.027 0.020
89 -0.074 -0.021
90 -0.035 -0.061
91 -0.024 0.009
92 0.021 0.003
93 0.038 0.102
94 -0.095 -0.047
95 -0.065 -0.020
96 -0.080 -0.096
97 0.082 0.029
98 -0.055 -0.039
99 -0.138 -0.071
100 -0.072 -0.031
101 0.004 -0.015
102 -0.041 0.047
103 -0.019 -0.038
104 -0.100 -0.057
105 -0.033 0.039
106 0.034 0.028
107 -0.037 -0.045
108 0.014 -0.001
109 0.015 0.009
110 -0.036 0.024
111 -0.053 -0.013
112 -0.067 0.121
113 0.071 0.100
114 0.048 0.016
115 -0.103 0.002
116 0.022 0.008
117 0.030 -0.058
118 0.055 0.080
119 0.006 0.050
120 -0.097 -0.085
121 -0.010 -0.101
122 0.048 0.029
123 0.050 0.105
124 0.016 -0.090
125 0.035 -0.025
126 0.037 0.038
127 0.035 0.032
128 0.006 -0.007
129 0.000 0.011
130 -0.016 0.053
131 -0.069 -0.108
132 -0.048 -0.001
133 0.034 0.018
134 -0.090 -0.054
135 -0.004 0.090
136 0.041 0.011
137 -0.020 0.007
138 0.061 0.010
139 0.120 0.080
140 -0.005 -0.047
141 0.189 0.145
142 0.040 0.004
143 0.071 0.102
144 -0.032 0.072
145 -0.007 -0.002
146 -0.018 0.053
147 0.019 0.021
148 0.066 0.056
149 0.143 0.128
150 -0.107 -0.039
151 -0.044 -0.061
152 -0.042 -0.021
153 -0.092 -0.091
154 0.019 0.032
155 -0.021 0.041
156 0.046 0.008
157 -0.022 -0.041
158 0.023 0.064
159 0.090 0.015
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967 0.098 0.090
968 -0.060 0.009
969 0.025 -0.026
970 -0.042 -0.029
971 0.032 -0.003
972 0.019 -0.025
973 0.028 0.015
974 -0.017 -0.050
975 0.031 0.051
976 -0.001 -0.025
977 0.081 0.014
978 -0.019 -0.029
979 0.073 0.084
980 0.032 -0.049
981 -0.004 -0.002
982 -0.116 -0.091
983 0.005 0.009
984 0.029 0.031
985 0.089 0.110
 986 0.106 0.129
987 -0.105 -0.017
988 -0.027 0.025
989 0.016 0.063
990 0.025 -0.060
991 0.071 0.068
992 -0.004 0.040
993 -0.094 -0.191
994 0.115 0.084
995 -0.074 -0.040
996 -0.036 -0.061
997 0.082 0.139
998 0.075 0.072
999 0.072 0.138
1000 -0.045 -0.114
 S1 S2 S3
rocess or Brownian Motion Wiener Process or Brownian Motion
d Random Variable Correlated Random Variable
W3 Sims W1 W2 W3 Generate Correlated Random Variable
0.012 1 -0.040 0.035 0.012
-0.030 2 -0.049 -0.003 -0.030
1. Generated normally distributed
uncorrelated variable with
0.012 3 0.012 0.029 0.012 =[Link](RAND()),
-0.003 4 0.069 0.054 -0.003 then fixed with Copy-Paste(Values only) in
0.018 5 0.021 -0.039 0.018 place.
-0.138 6 -0.133 -0.114 -0.138
2. Using the correlation matrix, calculate
-0.067 7 -0.115 -0.125 -0.067 Cholesky Decomposition Matrix.
-0.074 8 -0.053 -0.010 -0.074
0.047 9 0.014 0.043 0.047 3. Using the Cholesky Decomposition Matrix,
calculate correlated normally distributed
0.115 10 0.136 0.042 0.115
random variable.
0.013 11 0.038 0.063 0.013
-0.012 12 0.005 0.085 -0.012
-0.081 13 -0.041 -0.076 -0.081
0.055 14 -0.002 0.041 0.055
0.150 15 0.171 0.139 0.150
0.059 16 0.040 -0.001 0.059
-0.012 17 0.001 -0.041 -0.012 Use Cholesky Decomposition to
0.078 18 0.037 0.012 0.078 generate Correlated Random Variable
0.020 19 -0.023 -0.014 0.020 Cholesky decomposition is commonly used to
0.055 20 0.022 0.066 0.055 generate correlated random variables from a
-0.024 21 -0.048 0.020 -0.024 set of independent random variables.
-0.039 22 -0.055 -0.014 -0.039
In the case of stock modeling, it is often
-0.138 23 -0.034 -0.117 -0.138 desirable to model the correlated behavior of
-0.040 24 -0.006 0.058 -0.040 asset returns. By decomposing the correlation
-0.085 25 -0.082 -0.032 -0.085 matrix of asset returns into a lower triangular
-0.032 26 0.020 -0.009 -0.032 matrix (L), you can transform independent
random variables (e.g., standard normal
0.002 27 0.012 0.028 0.002 random variables) into correlated random
0.054 28 0.088 0.073 0.054 variables that exhibit the desired correlations .
0.041 29 0.006 0.100 0.041
0.118 30 0.072 0.118 0.118
0.044 31 0.011 0.082 0.044
0.006 32 0.066 0.065 0.006
0.046 33 0.078 0.062 0.046
-0.029 34 0.008 -0.020 -0.029
0.076 35 0.092 0.049 0.076
0.011 36 0.024 0.010 0.011
0.069 37 0.128 0.094 0.069
0.149 38 0.157 0.084 0.149
0.071 39 0.004 0.056 0.071
0.089 40 0.139 0.065 0.089
 0.050 41 0.060 0.078 0.050
0.090 42 0.118 0.064 0.090
0.031 43 -0.008 0.092 0.031
0.039 44 0.036 0.046 0.039
-0.088 45 -0.051 0.000 -0.088
0.050 46 0.136 0.054 0.050
0.126 47 0.136 0.122 0.126
-0.073 48 -0.070 0.041 -0.073
-0.060 49 -0.092 -0.082 -0.060
-0.003 50 -0.018 0.037 -0.003
0.012 51 -0.020 0.020 0.012
-0.067 52 -0.059 -0.066 -0.067
0.071 53 0.067 0.067 0.071
0.083 54 0.068 0.024 0.083
-0.043 55 -0.015 -0.022 -0.043
-0.019 56 0.019 -0.050 -0.019
0.014 57 0.047 -0.050 0.014
-0.089 58 -0.138 -0.067 -0.089
0.004 59 0.033 0.010 0.004
-0.079 60 -0.081 -0.090 -0.079
-0.147 61 -0.130 -0.122 -0.147
0.085 62 0.070 0.037 0.085
0.058 63 0.064 0.057 0.058
0.105 64 0.105 0.094 0.105
0.004 65 0.010 0.086 0.004
-0.040 66 -0.045 -0.124 -0.040
0.072 67 0.026 -0.050 0.072
-0.146 68 -0.131 -0.122 -0.146
0.061 69 0.052 0.080 0.061
-0.016 70 -0.053 -0.006 -0.016
-0.042 71 -0.009 -0.024 -0.042
0.044 72 0.040 0.048 0.044
0.036 73 0.009 0.033 0.036
-0.031 74 -0.001 -0.030 -0.031
0.027 75 0.007 0.056 0.027
-0.158 76 -0.133 -0.140 -0.158
0.010 77 0.029 0.054 0.010
0.101 78 0.044 0.105 0.101
-0.007 79 0.043 0.053 -0.007
0.013 80 -0.063 -0.014 0.013
-0.004 81 0.025 0.027 -0.004
0.091 82 0.065 0.181 0.091
0.110 83 0.123 0.177 0.110
0.043 84 0.081 0.059 0.043
-0.008 85 0.018 0.026 -0.008
 0.042 86 -0.013 0.002 0.042
-0.171 87 -0.199 -0.161 -0.171
0.015 88 0.027 0.020 0.015
-0.033 89 -0.074 -0.021 -0.033
0.009 90 -0.035 -0.061 0.009
-0.021 91 -0.024 0.009 -0.021
0.011 92 0.021 0.003 0.011
0.016 93 0.038 0.102 0.016
-0.042 94 -0.095 -0.047 -0.042
-0.051 95 -0.065 -0.020 -0.051
-0.071 96 -0.080 -0.096 -0.071
0.046 97 0.082 0.029 0.046
-0.064 98 -0.055 -0.039 -0.064
-0.086 99 -0.138 -0.071 -0.086
-0.082 100 -0.072 -0.031 -0.082
-0.001 101 0.004 -0.015 -0.001
0.004 102 -0.041 0.047 0.004
0.002 103 -0.019 -0.038 0.002
-0.060 104 -0.100 -0.057 -0.060
-0.020 105 -0.033 0.039 -0.020
0.031 106 0.034 0.028 0.031
-0.075 107 -0.037 -0.045 -0.075
0.022 108 0.014 -0.001 0.022
0.062 109 0.015 0.009 0.062
0.003 110 -0.036 0.024 0.003
-0.093 111 -0.053 -0.013 -0.093
0.001 112 -0.067 0.121 0.001
0.147 113 0.071 0.100 0.147
0.097 114 0.048 0.016 0.097
-0.042 115 -0.103 0.002 -0.042
-0.017 116 0.022 0.008 -0.017
-0.001 117 0.030 -0.058 -0.001
0.053 118 0.055 0.080 0.053
-0.007 119 0.006 0.050 -0.007
-0.112 120 -0.097 -0.085 -0.112
-0.048 121 -0.010 -0.101 -0.048
0.038 122 0.048 0.029 0.038
0.123 123 0.050 0.105 0.123
-0.048 124 0.016 -0.090 -0.048
0.034 125 0.035 -0.025 0.034
0.054 126 0.037 0.038 0.054
0.007 127 0.035 0.032 0.007
-0.018 128 0.006 -0.007 -0.018
0.004 129 0.000 0.011 0.004
-0.059 130 -0.016 0.053 -0.059
-0.126 131 -0.069 -0.108 -0.126
-0.072 132 -0.048 -0.001 -0.072
0.027 133 0.034 0.018 0.027
-0.042 134 -0.090 -0.054 -0.042
0.019 135 -0.004 0.090 0.019
0.034 136 0.041 0.011 0.034
-0.016 137 -0.020 0.007 -0.016
0.098 138 0.061 0.010 0.098
0.123 139 0.120 0.080 0.123
0.072 140 -0.005 -0.047 0.072
0.148 141 0.189 0.145 0.148
0.052 142 0.040 0.004 0.052
0.078 143 0.071 0.102 0.078
0.045 144 -0.032 0.072 0.045
-0.002 145 -0.007 -0.002 -0.002
0.000 146 -0.018 0.053 0.000
0.016 147 0.019 0.021 0.016
0.116 148 0.066 0.056 0.116
0.143 149 0.143 0.128 0.143
-0.042 150 -0.107 -0.039 -0.042
-0.019 151 -0.044 -0.061 -0.019
-0.056 152 -0.042 -0.021 -0.056
-0.067 153 -0.092 -0.091 -0.067
0.058 154 0.019 0.032 0.058
-0.060 155 -0.021 0.041 -0.060
-0.014 156 0.046 0.008 -0.014
0.003 157 -0.022 -0.041 0.003
0.019 158 0.023 0.064 0.019
0.123 159 0.090 0.015 0.123
-0.022 160 -0.095 -0.010 -0.022
-0.042 161 -0.108 0.025 -0.042
0.043 162 0.030 -0.002 0.043
0.034 163 0.020 0.023 0.034
-0.089 164 -0.037 -0.047 -0.089
0.039 165 0.057 0.067 0.039
-0.050 166 0.012 -0.118 -0.050
-0.130 167 -0.100 -0.041 -0.130
0.006 168 0.005 0.006 0.006
0.051 169 0.049 0.034 0.051
0.006 170 -0.015 -0.028 0.006
0.021 171 0.023 0.064 0.021
0.024 172 0.054 0.030 0.024
0.077 173 0.027 0.041 0.077
0.046 174 0.043 0.022 0.046
0.000 175 0.079 -0.035 0.000
 0.029 176 0.029 0.035 0.029
0.024 177 0.023 -0.021 0.024
0.043 178 -0.049 -0.012 0.043
-0.007 179 -0.035 0.058 -0.007
-0.076 180 -0.141 -0.080 -0.076
-0.039 181 -0.040 -0.066 -0.039
-0.020 182 -0.077 -0.062 -0.020
-0.016 183 -0.055 -0.015 -0.016
-0.121 184 -0.123 -0.095 -0.121
-0.031 185 0.006 0.025 -0.031
-0.010 186 0.022 0.004 -0.010
-0.053 187 -0.026 0.042 -0.053
-0.039 188 0.004 -0.085 -0.039
-0.054 189 -0.021 -0.059 -0.054
-0.076 190 -0.087 -0.073 -0.076
0.110 191 0.094 0.111 0.110
0.014 192 -0.046 0.010 0.014
0.000 193 0.024 0.097 0.000
0.045 194 0.041 0.134 0.045
0.081 195 0.087 0.042 0.081
-0.001 196 -0.005 0.046 -0.001
0.012 197 0.008 0.024 0.012
-0.046 198 -0.024 -0.048 -0.046
-0.005 199 0.033 0.032 -0.005
-0.067 200 -0.063 -0.013 -0.067
0.005 201 -0.015 -0.011 0.005
0.031 202 -0.015 -0.018 0.031
0.075 203 0.067 -0.029 0.075
0.017 204 -0.008 -0.008 0.017
0.003 205 -0.012 -0.024 0.003
0.006 206 0.026 0.086 0.006
-0.009 207 -0.031 -0.024 -0.009
-0.053 208 -0.040 -0.110 -0.053
0.056 209 0.050 0.041 0.056
-0.003 210 0.013 -0.054 -0.003
0.003 211 0.054 0.068 0.003
0.066 212 -0.011 0.009 0.066
0.077 213 0.013 0.130 0.077
0.063 214 0.036 0.012 0.063
-0.022 215 -0.064 -0.002 -0.022
-0.063 216 -0.118 -0.124 -0.063
0.054 217 0.024 0.079 0.054
0.026 218 0.031 0.062 0.026
-0.077 219 -0.073 -0.047 -0.077
0.008 220 -0.046 0.007 0.008
 0.040 221 0.055 -0.011 0.040
0.019 222 -0.031 0.000 0.019
0.089 223 0.059 -0.012 0.089
-0.003 224 0.022 -0.051 -0.003
0.125 225 0.121 0.138 0.125
-0.051 226 -0.041 -0.046 -0.051
-0.010 227 -0.049 0.033 -0.010
-0.095 228 -0.117 -0.145 -0.095
0.099 229 0.073 0.053 0.099
0.071 230 0.087 0.060 0.071
0.061 231 0.072 0.054 0.061
0.044 232 0.067 0.000 0.044
-0.127 233 -0.167 -0.143 -0.127
0.051 234 0.006 0.011 0.051
-0.121 235 -0.095 -0.109 -0.121
0.042 236 0.036 0.055 0.042
0.033 237 0.107 0.086 0.033
0.006 238 0.044 0.021 0.006
0.061 239 0.061 0.107 0.061
0.071 240 0.012 0.032 0.071
-0.086 241 -0.100 -0.086 -0.086
0.003 242 -0.014 -0.010 0.003
-0.042 243 0.004 -0.075 -0.042
0.060 244 0.023 0.081 0.060
0.069 245 0.069 0.052 0.069
0.069 246 0.048 0.076 0.069
0.041 247 0.049 0.092 0.041
0.095 248 0.071 0.040 0.095
0.006 249 -0.019 -0.002 0.006
0.025 250 -0.012 -0.048 0.025
-0.026 251 -0.052 -0.067 -0.026
-0.043 252 -0.044 -0.035 -0.043
0.001 253 0.031 0.099 0.001
0.049 254 0.069 0.054 0.049
-0.025 255 -0.106 -0.066 -0.025
-0.021 256 -0.003 0.005 -0.021
-0.063 257 -0.111 -0.051 -0.063
0.094 258 0.076 0.122 0.094
-0.098 259 -0.090 -0.049 -0.098
-0.012 260 -0.042 -0.004 -0.012
0.046 261 0.061 0.091 0.046
-0.005 262 -0.051 0.014 -0.005
-0.006 263 0.009 -0.011 -0.006
0.016 264 0.044 0.052 0.016
0.055 265 0.031 0.040 0.055
-0.076 266 -0.086 -0.023 -0.076
0.051 267 0.097 0.058 0.051
-0.059 268 -0.053 -0.008 -0.059
0.056 269 0.086 0.050 0.056
0.056 270 -0.001 0.028 0.056
0.051 271 0.114 0.081 0.051
-0.056 272 -0.014 -0.014 -0.056
0.035 273 0.024 0.000 0.035
0.051 274 0.031 0.028 0.051
-0.024 275 0.012 -0.037 -0.024
-0.022 276 -0.039 -0.051 -0.022
0.060 277 0.070 0.036 0.060
-0.028 278 0.026 -0.047 -0.028
-0.013 279 0.028 0.033 -0.013
0.061 280 0.030 0.028 0.061
0.000 281 0.044 -0.040 0.000
-0.099 282 -0.070 -0.038 -0.099
-0.103 283 -0.156 -0.123 -0.103
0.045 284 0.042 0.069 0.045
-0.063 285 -0.047 -0.080 -0.063
-0.107 286 -0.118 -0.089 -0.107
0.002 287 0.020 0.029 0.002
0.156 288 0.129 0.121 0.156
-0.010 289 -0.079 0.023 -0.010
-0.020 290 -0.047 -0.061 -0.020
0.030 291 0.036 0.046 0.030
-0.101 292 -0.074 -0.055 -0.101
0.019 293 0.022 0.015 0.019
-0.140 294 -0.149 -0.050 -0.140
0.003 295 0.012 -0.032 0.003
-0.049 296 0.002 -0.045 -0.049
-0.034 297 -0.002 -0.027 -0.034
0.025 298 -0.013 -0.003 0.025
-0.124 299 -0.109 -0.103 -0.124
0.037 300 0.038 0.025 0.037
-0.109 301 -0.138 -0.076 -0.109
0.014 302 -0.041 -0.006 0.014
-0.062 303 -0.051 -0.010 -0.062
-0.002 304 -0.035 0.055 -0.002
0.085 305 0.044 0.017 0.085
0.086 306 0.030 0.020 0.086
0.058 307 0.063 0.026 0.058
0.053 308 0.088 -0.005 0.053
-0.069 309 0.022 -0.064 -0.069
0.157 310 0.182 0.064 0.157
 0.134 311 0.125 0.070 0.134
-0.025 312 -0.034 -0.094 -0.025
0.011 313 0.003 0.009 0.011
0.040 314 0.044 0.030 0.040
-0.014 315 -0.007 -0.039 -0.014
0.064 316 0.084 0.087 0.064
0.005 317 0.022 0.005 0.005
0.056 318 0.083 0.089 0.056
-0.048 319 -0.031 -0.071 -0.048
-0.037 320 -0.095 -0.087 -0.037
-0.028 321 -0.015 0.006 -0.028
0.113 322 0.108 0.086 0.113
-0.061 323 -0.084 0.003 -0.061
0.070 324 0.053 0.072 0.070
-0.027 325 0.004 0.022 -0.027
0.157 326 0.144 0.115 0.157
-0.105 327 -0.093 -0.118 -0.105
-0.012 328 -0.014 0.023 -0.012
-0.002 329 -0.022 -0.063 -0.002
-0.018 330 -0.009 0.015 -0.018
0.045 331 0.029 0.031 0.045
-0.048 332 -0.030 -0.076 -0.048
-0.047 333 -0.057 -0.070 -0.047
0.025 334 0.038 0.046 0.025
-0.014 335 -0.017 -0.032 -0.014
0.136 336 0.072 0.026 0.136
0.019 337 -0.044 -0.060 0.019
0.042 338 0.102 0.069 0.042
-0.013 339 -0.006 -0.055 -0.013
0.039 340 0.079 -0.014 0.039
-0.047 341 -0.113 0.033 -0.047
-0.060 342 -0.039 -0.008 -0.060
0.051 343 0.046 0.063 0.051
0.033 344 0.026 0.007 0.033
0.008 345 -0.024 0.040 0.008
0.086 346 0.075 0.136 0.086
-0.011 347 -0.027 -0.072 -0.011
-0.058 348 -0.039 -0.034 -0.058
0.082 349 0.057 0.066 0.082
0.004 350 -0.033 -0.047 0.004
0.075 351 -0.027 -0.014 0.075
-0.004 352 -0.034 0.010 -0.004
-0.046 353 -0.080 -0.073 -0.046
0.083 354 0.084 0.086 0.083
0.000 355 0.000 -0.026 0.000
 0.001 356 0.012 -0.028 0.001
-0.065 357 -0.023 -0.077 -0.065
0.121 358 0.098 0.100 0.121
-0.071 359 -0.052 -0.073 -0.071
0.030 360 0.011 -0.009 0.030
0.011 361 0.021 0.022 0.011
-0.109 362 -0.144 -0.174 -0.109
0.032 363 0.052 -0.011 0.032
-0.134 364 -0.128 -0.085 -0.134
-0.030 365 0.035 0.008 -0.030
0.060 366 0.139 0.001 0.060
0.016 367 -0.008 -0.005 0.016
-0.049 368 -0.067 -0.087 -0.049
-0.103 369 -0.047 -0.072 -0.103
-0.034 370 -0.069 0.033 -0.034
-0.082 371 -0.083 -0.002 -0.082
-0.089 372 -0.074 -0.051 -0.089
0.015 373 -0.020 0.009 0.015
-0.010 374 -0.003 -0.012 -0.010
-0.066 375 -0.055 -0.064 -0.066
0.116 376 0.108 0.063 0.116
-0.031 377 -0.075 -0.049 -0.031
0.055 378 0.040 0.101 0.055
0.081 379 0.107 0.076 0.081
0.146 380 0.098 0.141 0.146
-0.004 381 -0.020 -0.038 -0.004
-0.064 382 -0.040 0.001 -0.064
0.057 383 0.041 0.039 0.057
-0.167 384 -0.148 -0.184 -0.167
-0.133 385 -0.109 -0.125 -0.133
0.003 386 0.060 0.021 0.003
0.050 387 0.023 0.051 0.050
-0.027 388 -0.056 0.022 -0.027
0.109 389 0.064 0.113 0.109
0.059 390 0.057 0.118 0.059
0.098 391 0.044 0.055 0.098
0.092 392 0.101 0.057 0.092
-0.082 393 -0.074 -0.071 -0.082
0.010 394 0.086 0.031 0.010
0.127 395 0.072 0.153 0.127
-0.008 396 0.018 0.002 -0.008
0.020 397 -0.004 -0.006 0.020
0.032 398 0.057 0.034 0.032
-0.063 399 -0.050 -0.113 -0.063
0.007 400 -0.010 0.054 0.007
-0.005 401 0.036 0.042 -0.005
-0.053 402 -0.042 -0.053 -0.053
-0.031 403 -0.101 -0.068 -0.031
0.031 404 0.056 -0.090 0.031
0.038 405 -0.017 0.016 0.038
-0.013 406 -0.014 -0.014 -0.013
-0.058 407 -0.053 -0.022 -0.058
0.046 408 0.018 0.089 0.046
0.096 409 0.153 0.039 0.096
0.008 410 0.055 0.001 0.008
-0.099 411 -0.156 -0.112 -0.099
0.019 412 0.049 0.005 0.019
0.063 413 0.113 0.092 0.063
0.056 414 0.076 -0.033 0.056
0.027 415 0.061 -0.043 0.027
0.054 416 0.031 0.059 0.054
0.063 417 0.041 0.063 0.063
0.000 418 -0.009 0.032 0.000
-0.059 419 -0.094 -0.005 -0.059
0.101 420 0.057 0.065 0.101
0.051 421 0.015 -0.018 0.051
-0.044 422 -0.068 0.040 -0.044
-0.076 423 0.004 0.015 -0.076
0.149 424 0.141 0.190 0.149
-0.011 425 0.027 0.009 -0.011
0.024 426 0.062 0.031 0.024
-0.021 427 -0.067 -0.013 -0.021
-0.077 428 -0.094 -0.062 -0.077
-0.031 429 -0.003 -0.035 -0.031
-0.010 430 -0.043 0.068 -0.010
0.056 431 0.122 0.007 0.056
0.038 432 0.094 -0.006 0.038
-0.057 433 -0.094 -0.104 -0.057
-0.037 434 -0.106 -0.055 -0.037
0.043 435 0.034 0.004 0.043
0.098 436 0.093 0.020 0.098
0.044 437 0.048 0.041 0.044
-0.002 438 -0.002 0.039 -0.002
0.004 439 -0.060 -0.069 0.004
0.078 440 0.073 0.108 0.078
-0.034 441 -0.011 0.049 -0.034
-0.028 442 0.037 -0.025 -0.028
0.012 443 0.049 0.056 0.012
0.040 444 0.023 0.056 0.040
0.093 445 0.091 0.092 0.093
-0.012 446 -0.067 0.021 -0.012
0.049 447 0.090 0.049 0.049
0.029 448 -0.025 -0.054 0.029
0.035 449 -0.001 0.013 0.035
-0.112 450 -0.158 -0.159 -0.112
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0.000 913 0.014 -0.048 0.000
-0.080 914 -0.053 -0.029 -0.080
0.092 915 0.075 0.063 0.092
0.071 916 0.057 0.026 0.071
0.000 917 -0.005 -0.125 0.000
0.046 918 0.041 -0.002 0.046
0.057 919 0.006 0.078 0.057
-0.022 920 -0.016 0.036 -0.022
0.062 921 0.082 0.047 0.062
0.034 922 -0.028 -0.044 0.034
0.007 923 0.041 -0.085 0.007
0.140 924 0.152 0.136 0.140
-0.084 925 -0.036 -0.080 -0.084
0.090 926 0.130 0.016 0.090
-0.005 927 0.058 0.029 -0.005
-0.047 928 -0.028 -0.041 -0.047
0.016 929 -0.014 -0.046 0.016
-0.127 930 -0.107 -0.079 -0.127
0.012 931 0.000 -0.016 0.012
0.016 932 0.020 -0.053 0.016
0.008 933 0.038 -0.039 0.008
0.060 934 0.022 0.062 0.060
0.056 935 0.063 0.055 0.056
0.024 936 -0.016 0.058 0.024
-0.091 937 -0.058 -0.075 -0.091
0.021 938 0.030 0.074 0.021
-0.032 939 -0.004 0.025 -0.032
-0.108 940 -0.066 -0.069 -0.108
 0.084 941 0.038 0.085 0.084
0.032 942 0.038 0.009 0.032
0.003 943 -0.006 -0.019 0.003
0.013 944 -0.038 -0.006 0.013
0.042 945 0.024 0.041 0.042
-0.002 946 -0.008 -0.041 -0.002
-0.062 947 -0.117 -0.046 -0.062
-0.020 948 -0.009 -0.017 -0.020
0.013 949 0.010 0.039 0.013
0.049 950 0.012 0.017 0.049
0.029 951 -0.001 -0.017 0.029
-0.024 952 0.044 -0.020 -0.024
-0.081 953 -0.075 -0.036 -0.081
-0.038 954 -0.036 -0.023 -0.038
-0.071 955 -0.056 -0.171 -0.071
0.035 956 0.027 -0.066 0.035
0.028 957 0.001 0.039 0.028
0.144 958 0.148 0.015 0.144
-0.074 959 -0.066 -0.030 -0.074
0.046 960 0.003 0.021 0.046
-0.103 961 -0.093 -0.083 -0.103
0.027 962 0.043 0.090 0.027
0.043 963 0.044 -0.014 0.043
-0.120 964 -0.072 -0.062 -0.120
-0.099 965 -0.112 -0.066 -0.099
-0.159 966 -0.105 -0.027 -0.159
0.029 967 0.098 0.090 0.029
-0.082 968 -0.060 0.009 -0.082
0.013 969 0.025 -0.026 0.013
-0.039 970 -0.042 -0.029 -0.039
-0.054 971 0.032 -0.003 -0.054
0.065 972 0.019 -0.025 0.065
0.087 973 0.028 0.015 0.087
-0.055 974 -0.017 -0.050 -0.055
0.046 975 0.031 0.051 0.046
0.026 976 -0.001 -0.025 0.026
0.049 977 0.081 0.014 0.049
-0.004 978 -0.019 -0.029 -0.004
0.079 979 0.073 0.084 0.079
-0.014 980 0.032 -0.049 -0.014
-0.025 981 -0.004 -0.002 -0.025
-0.129 982 -0.116 -0.091 -0.129
0.044 983 0.005 0.009 0.044
-0.006 984 0.029 0.031 -0.006
0.059 985 0.089 0.110 0.059
 0.134 986 0.106 0.129 0.134
-0.131 987 -0.105 -0.017 -0.131
0.047 988 -0.027 0.025 0.047
0.022 989 0.016 0.063 0.022
-0.010 990 0.025 -0.060 -0.010
0.091 991 0.071 0.068 0.091
-0.040 992 -0.004 0.040 -0.040
-0.118 993 -0.094 -0.191 -0.118
0.036 994 0.115 0.084 0.036
-0.081 995 -0.074 -0.040 -0.081
-0.032 996 -0.036 -0.061 -0.032
0.032 997 0.082 0.139 0.032
0.061 998 0.075 0.072 0.061
0.084 999 0.072 0.138 0.084
-0.085 1000 -0.045 -0.114 -0.085
 JPM MS BAC
Random Variable Drift (Average Return) 0.153% 0.060% 0.002%
Volatility 1.63% 1.72% 1.82%
istributed S0 (As on 8/1/2023) 157.18 90.94 31.36
th
te(Values only) in Correlation JPM MS BAC
JPM 1.00 0.66 0.82
MS 0.66 1.00 0.75
matrix, calculate
Matrix. BAC 0.82 0.75 1.00

composition Matrix, Cholesky Decomposition JPM MS BAC

mally distributed
JPM 1 0 0 W1
MS 0.66 0.75 0 W2
BAC 0.82 0.28 0.50 W3

position to
Random Variable
is commonly used to
om variables from a
om variables.
eling, it is often
orrelated behavior of
osing the correlation
to a lower triangular
orm independent
andard normal
orrelated random
desired correlations .
1 S(t) is the stock price at time t
2 μ is the expected or average rate of return of the stock
3 σ is the volatility of the stock
4 dW(t) is a Wiener process or Brownian motion,
which represents the random noise in the stock price.
S0 (As on 8/1/2023) 157.18 90.94 31.36

Simulate Stock Price Assumption on Weights of the Stocks

Simulation JPM MS BAC Assumption JPM MS BAC
1 157.0779 90.99444 31.36579 Weights 30% 40% 30%
2 157.0554 90.93486 31.34146
3 157.2127 90.98574 31.3657
4 157.3584 91.02414 31.35689
5 157.2358 90.87982 31.36887
6 156.8424 90.76241 31.28004
7 156.8867 90.74465 31.32046
8 157.0451 90.92388 31.31663
9 157.2171 91.00671 31.38546
10 157.5285 91.00609 31.42443
11 157.279 91.03798 31.36615
12 157.1928 91.07225 31.35203
13 157.0762 90.82092 31.31223
14 157.1755 91.00425 31.38989
14 157.6177 91.15811 31.44467
16 157.2829 90.93918 31.39247
17 157.1837 90.87595 31.35192
18 157.276 90.95928 31.40351
19 157.1227 90.91858 31.37005
20 157.2383 91.04395 31.3901
21 157.0582 90.97094 31.34513
22 157.0407 90.91877 31.33659
23 157.094 90.75811 31.28001
24 157.1652 91.03092 31.33554
25 156.9716 90.89054 31.31002
26 157.2315 90.92605 31.34029
27 157.2105 90.98347 31.35984
28 157.4046 91.05392 31.38934
29 157.1968 91.09662 31.38236
30 157.3647 91.12462 31.42628
31 157.2083 91.06885 31.38383
32 157.3485 91.04159 31.36211
33 157.3809 91.03651 31.38482
34 157.2003 90.90948 31.34215
35 157.4173 91.01738 31.40196
36 157.2418 90.95617 31.36508
37 157.508 91.08759 31.39817
38 157.5813 91.07107 31.44391
39 157.1922 91.0279 31.39945
40 157.5353 91.04099 31.40981
41 157.3348 91.06183 31.38748
42 157.4829 91.03948 31.40987
43 157.1608 91.08374 31.37614
44 157.2723 91.01244 31.3809
45 157.0497 90.93999 31.30846
46 157.529 91.02456 31.38724
47 157.5283 91.13145 31.43046
48 157.0031 91.00376 31.31676
49 156.9459 90.81274 31.32454
50 157.1353 90.99726 31.35721
51 157.1291 90.97173 31.36543
52 157.0294 90.83676 31.32015
53 157.351 91.04406 31.39937
54 157.3544 90.97721 31.40599
55 157.1438 90.90639 31.33413
56 157.2287 90.86211 31.34806
57 157.3019 90.86172 31.3664
58 156.8288 90.83594 31.3081
59 157.2659 90.95528 31.36066
60 156.975 90.79939 31.31378
61 156.8491 90.74948 31.27492
62 157.3609 90.99812 31.4072
63 157.3447 91.02841 31.39159
64 157.4482 91.08712 31.41871
65 157.2077 91.07525 31.36107
66 157.0667 90.74695 31.33609
67 157.2482 90.86194 31.39958
68 156.8457 90.74986 31.27519
69 157.3146 91.06518 31.39357
70 157.0448 90.93076 31.34951
71 157.1578 90.90282 31.33439
72 157.2827 91.01471 31.38404
73 157.2028 90.99241 31.37899
74 157.1776 90.89309 31.34121
75 157.1975 91.02785 31.37423
76 156.8425 90.72233 31.26825
77 157.2556 91.02456 31.3645
78 157.2943 91.10478 31.41615
79 157.2907 91.0237 31.35488
80 157.0205 90.91844 31.36602
81 157.2457 90.98291 31.35641
82 157.3464 91.22239 31.41088
83 157.4944 91.21744 31.4216
84 157.3889 91.03295 31.38327
85 157.2262 90.98049 31.35406
 86 157.147 90.943 31.38261
87 156.6737 90.68951 31.26137
88 157.2499 90.97134 31.36744
89 156.9921 90.90807 31.33985
90 157.0924 90.84546 31.36387
91 157.1191 90.95433 31.34679
92 157.2345 90.9442 31.36508
93 157.2772 91.09951 31.36754
94 156.9394 90.86657 31.33489
95 157.0143 90.9096 31.32949
96 156.9771 90.79043 31.3183
97 157.3902 90.98496 31.38486
98 157.0399 90.8787 31.32191
99 156.8282 90.82992 31.30977
100 156.9964 90.89127 31.31169
101 157.1912 90.91745 31.3583
102 157.0771 91.01297 31.361
103 157.1335 90.88145 31.35952
104 156.9251 90.8518 31.32418
105 157.0953 91.00096 31.34707
106 157.2681 90.98323 31.3762
107 157.0868 90.86977 31.31587
108 157.2161 90.93902 31.37137
109 157.219 90.95392 31.39385
110 157.0895 90.97838 31.36015
111 157.0455 90.91912 31.3057
112 157.0106 91.12953 31.3594
113 157.3621 91.09595 31.44303
114 157.3032 90.96506 31.41388
115 156.917 90.94314 31.33462
116 157.2363 90.95215 31.34923
117 157.2576 90.84904 31.35816
118 157.3214 91.06585 31.38906
119 157.1974 91.01793 31.35445
120 156.9325 90.80695 31.29465
121 157.1544 90.78318 31.33101
122 157.3024 90.98502 31.38021
123 157.3094 91.1047 31.42877
124 157.221 90.80026 31.3312
125 157.2705 90.90186 31.37826
126 157.275 90.99944 31.38942
127 157.2703 90.99033 31.3625
128 157.1955 90.92874 31.3485
129 157.1814 90.95804 31.36082
130 157.1404 91.02313 31.32505
131 157.0057 90.77215 31.28703
132 157.0584 90.93934 31.31757
133 157.267 90.96807 31.37419
134 156.9503 90.85617 31.33444
135 157.1703 91.08114 31.36939
136 157.2852 90.95801 31.37798
137 157.1285 90.95138 31.34941
138 157.3366 90.95571 31.41471
139 157.488 91.06569 31.42911
140 157.1673 90.86632 31.40004
141 157.6656 91.1675 31.44355
142 157.2819 90.94667 31.38831
143 157.3618 91.10008 31.40343
144 157.0986 91.05186 31.38449
145 157.1632 90.93714 31.35748
146 157.1341 91.02225 31.35875
147 157.2286 90.97315 31.36806
148 157.35 91.02794 31.42479
149 157.5477 91.14008 31.44054
150 156.9077 90.87887 31.33476
151 157.0677 90.84429 31.34788
152 157.074 90.90717 31.32687
153 156.9461 90.79859 31.32029
154 157.2303 90.99028 31.39159
155 157.128 91.00451 31.32428
156 157.2976 90.95221 31.35092
157 157.1245 90.87561 31.36014
158 157.2398 91.04071 31.36933
159 157.4106 90.96359 31.42881
160 156.9377 90.92401 31.34608
161 156.9054 90.97914 31.33475
162 157.257 90.93683 31.38309
163 157.2322 90.97562 31.37835
164 157.0854 90.86701 31.30771
165 157.3262 91.04524 31.38074
166 157.2105 90.75539 31.33031
167 156.9266 90.87544 31.28428
168 157.1939 90.94908 31.362
169 157.3056 90.99336 31.38804
170 157.1416 90.89601 31.36226
171 157.2396 91.0409 31.37045
172 157.3177 90.98683 31.37219
173 157.2489 91.00492 31.40281
174 157.2897 90.9741 31.38489
175 157.382 90.88545 31.35869
176 157.2554 90.99465 31.3753
177 157.239 90.90729 31.37228
178 157.0555 90.92099 31.38296
179 157.0923 91.03113 31.35459
180 156.821 90.81503 31.31533
181 157.0786 90.83773 31.33645
182 156.984 90.84288 31.34715
183 157.0401 90.91683 31.34968
184 156.866 90.79248 31.28986
185 157.1957 90.97907 31.34111
186 157.2368 90.94577 31.35276
187 157.1152 91.00623 31.3283
188 157.191 90.80832 31.33639
189 157.1272 90.84809 31.3277
190 156.9599 90.82675 31.31555
191 157.4215 91.11363 31.42161
192 157.064 90.95631 31.3664
193 157.2434 91.09107 31.3584
194 157.2861 91.149 31.3845
195 157.4036 91.00609 31.40504
196 157.1691 91.01169 31.35796
197 157.2006 90.97767 31.36534
198 157.1196 90.8657 31.33264
199 157.2648 90.98989 31.35583
200 157.0205 90.91917 31.32041
201 157.1432 90.92307 31.36174
202 157.1428 90.91153 31.37653
203 157.3523 90.89471 31.40153
204 157.1599 90.92713 31.36849
205 157.1512 90.9025 31.36038
206 157.2473 91.07507 31.36234
207 157.1011 90.90222 31.35344
208 157.0789 90.76803 31.32867
209 157.3096 91.0049 31.39069
210 157.2138 90.85641 31.35688
211 157.3179 91.047 31.36048
212 157.1522 90.95482 31.39646
213 157.2153 91.14293 31.40281
214 157.2726 90.95825 31.39474
215 157.0182 90.93647 31.34587
216 156.8785 90.74656 31.32273
217 157.2417 91.06291 31.38933
218 157.2592 91.0373 31.37357
219 156.9951 90.86703 31.31458
220 157.0627 90.95054 31.36326
221 157.321 90.92307 31.38169
222 157.1008 90.9394 31.36941
223 157.3326 90.92078 31.40947
224 157.2382 90.86075 31.35703
225 157.4914 91.15592 31.43028
226 157.0758 90.86875 31.32974
227 157.0558 90.99247 31.35289
228 156.8834 90.7147 31.3046
229 157.3675 91.02358 31.41507
230 157.4028 91.03448 31.3993
231 157.3638 91.02385 31.39334
232 157.3515 90.94034 31.38372
233 156.7551 90.71694 31.286
234 157.1974 90.95791 31.38778
235 156.9379 90.77 31.28958
236 157.2734 91.02532 31.38289
237 157.454 91.07422 31.37744
238 157.2922 90.97258 31.36187
239 157.3376 91.10701 31.39331
240 157.211 90.99083 31.39901
241 156.9258 90.80638 31.30949
242 157.1449 90.92478 31.36055
243 157.1904 90.82256 31.33446
244 157.2393 91.06636 31.39277
245 157.3579 91.02108 31.39813
246 157.3033 91.05816 31.39798
247 157.3073 91.0838 31.38193
248 157.3626 91.00335 31.41319
249 157.132 90.93696 31.36182
250 157.1503 90.86472 31.37288
251 157.0469 90.83589 31.3437
252 157.0689 90.88621 31.33398
253 157.2611 91.09475 31.35902
254 157.3564 91.02408 31.38655
255 156.9099 90.83703 31.34453
256 157.1733 90.94858 31.34643
257 156.8965 90.85999 31.32269
258 157.3764 91.13138 31.41261
259 156.9509 90.8643 31.30288
260 157.0725 90.93324 31.35187
261 157.3379 91.08159 31.3847
262 157.0503 90.96218 31.35568
263 157.2036 90.92293 31.35546
264 157.2922 91.02086 31.36796
265 157.2605 91.00304 31.38996
266 156.9608 90.90445 31.31543
267 157.4297 91.03064 31.38792
268 157.0446 90.92788 31.32512
269 157.402 91.01797 31.39053
270 157.1787 90.98464 31.3904
271 157.4733 91.06673 31.38794
272 157.1448 90.91866 31.32669
273 157.2432 90.93958 31.37839
274 157.2593 90.9841 31.38758
275 157.2126 90.88276 31.34513
276 157.0821 90.86095 31.34631
277 157.3595 90.99687 31.39309
278 157.2471 90.86648 31.34285
279 157.2523 90.99216 31.35098
280 157.2577 90.98322 31.39368
281 157.2926 90.8783 31.35894
282 157.0026 90.88062 31.30195
283 156.7831 90.74882 31.29968
284 157.2871 91.04723 31.38423
285 157.062 90.81526 31.32253
286 156.88 90.80102 31.29741
287 157.233 90.98494 31.3599
288 157.5097 91.12856 31.44805
289 156.9791 90.97615 31.35277
290 157.0607 90.84457 31.34752
291 157.2726 91.01186 31.37594
292 156.9919 90.85457 31.30127
293 157.2359 90.96364 31.36925
294 156.8018 90.86184 31.27902
295 157.2123 90.89011 31.36036
296 157.1861 90.87012 31.33052
297 157.1746 90.89733 31.33912
298 157.1483 90.93582 31.37309
299 156.903 90.7796 31.28766
300 157.2788 90.97922 31.37991
301 156.8284 90.8222 31.2966
302 157.0767 90.93055 31.36644
303 157.0502 90.92452 31.32312
304 157.091 91.02535 31.35765
305 157.2943 90.96603 31.40727
306 157.2582 90.97172 31.40768
307 157.3421 90.98106 31.39189
308 157.4056 90.93264 31.38904
309 157.2367 90.84064 31.31955
310 157.6479 91.0403 31.44824
311 157.5003 91.04975 31.43543
312 157.094 90.79391 31.34415
313 157.1888 90.95365 31.36505
314 157.2936 90.98766 31.38132
315 157.1621 90.87957 31.35087
316 157.3948 91.07592 31.39551
317 157.2363 90.9477 31.36136
318 157.3919 91.07854 31.39045
319 157.1025 90.82956 31.33138
320 156.939 90.80486 31.3377
321 157.1421 90.9496 31.34282
322 157.4561 91.07405 31.42353
323 156.9666 90.9455 31.32393
324 157.3155 91.05188 31.39868
325 157.1918 90.97472 31.34297
326 157.5494 91.11939 31.44839
327 156.9432 90.75623 31.29872
328 157.1441 90.97671 31.35206
329 157.1244 90.84151 31.35756
330 157.1587 90.96421 31.34827
331 157.2538 90.98818 31.38437
332 157.1043 90.82129 31.33115
333 157.0354 90.8303 31.33195
334 157.2778 91.01175 31.37285
335 157.1379 90.89088 31.35085
336 157.3648 90.98129 31.43664
337 157.0691 90.84653 31.36932
338 157.4421 91.04808 31.38284
339 157.1643 90.85492 31.35095
340 157.3822 90.91779 31.38117
341 156.8923 90.99227 31.33186
342 157.0821 90.92703 31.32451
343 157.2985 91.03872 31.38806
344 157.2463 90.95152 31.37749
345 157.1207 91.00247 31.36334
346 157.3726 91.15263 31.40804
347 157.1121 90.82786 31.3524
348 157.0807 90.88679 31.32576
349 157.3257 91.04254 31.40553
350 157.0972 90.86623 31.36101
351 157.112 90.91908 31.40147
352 157.093 90.95587 31.35637
353 156.9758 90.82609 31.33233
354 157.3963 91.07496 31.40633
355 157.1821 90.89904 31.35886
356 157.2124 90.89661 31.35906
357 157.1212 90.82078 31.32178
358 157.4324 91.09612 31.42796
359 157.0471 90.82641 31.3184
360 157.2082 90.92621 31.37605
361 157.2353 90.97483 31.36469
362 156.8134 90.6686 31.29653
363 157.313 90.92267 31.37709
364 156.8541 90.80732 31.28214
365 157.2714 90.95341 31.34144
366 157.5368 90.94141 31.39284
367 157.1611 90.9318 31.36758
368 157.0103 90.80426 31.33049
369 157.0614 90.8272 31.29973
370 157.0048 90.99112 31.33938
371 156.968 90.93628 31.31157
372 156.9923 90.86087 31.30807
373 157.1289 90.95374 31.3672
374 157.1745 90.92176 31.353
375 157.041 90.84095 31.32071
376 157.4581 91.03842 31.42504
377 156.9881 90.86359 31.34114
378 157.2841 91.09794 31.39006
379 157.4557 91.0594 31.40488
380 157.4322 91.16131 31.44234
381 157.1294 90.88129 31.35629
382 157.0798 90.9422 31.32199
383 157.2845 91.00124 31.39131
384 156.8019 90.65362 31.26345
385 156.9017 90.74484 31.28294
386 157.3344 90.97218 31.36025
387 157.2392 91.02001 31.38709
388 157.0373 90.97425 31.3432
389 157.3436 91.11712 31.42084
390 157.3275 91.12451 31.39264
391 157.2933 91.02564 31.41484
392 157.4395 91.0294 31.41137
393 156.9917 90.82878 31.31178
394 157.402 90.98849 31.36449
395 157.3649 91.17988 31.4313
396 157.227 90.94302 31.35386
397 157.1708 90.93065 31.37016
398 157.3276 90.99271 31.37707
399 157.0521 90.76387 31.32272
400 157.1556 91.02452 31.36281
401 157.2737 91.00549 31.35554
402 157.0747 90.85703 31.32833
403 156.9226 90.83409 31.34122
404 157.3249 90.80019 31.37633
405 157.1377 90.96511 31.38027
406 157.1447 90.9185 31.35112
407 157.0462 90.90661 31.3255
408 157.2264 91.07927 31.38496
409 157.573 91.00047 31.41334
410 157.3202 90.94188 31.3631
411 156.7822 90.76493 31.30208
412 157.3068 90.9475 31.36971
413 157.47 91.08351 31.39463
414 157.3748 90.88895 31.39056
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948 157.1578 90.91336 31.34728
949 157.2054 91.00148 31.36581
950 157.2105 90.96651 31.3868
951 157.1791 90.91407 31.37539
952 157.2921 90.90881 31.34505
953 156.9906 90.88456 31.31248
954 157.0892 90.90489 31.33699
955 157.0376 90.67345 31.31829
956 157.2504 90.83682 31.37839
957 157.1834 91.00094 31.3747
958 157.5601 90.96288 31.44105
959 157.0135 90.89299 31.31615
960 157.1893 90.97228 31.38516
961 156.9445 90.81051 31.30004
962 157.29 91.08108 31.3743
963 157.2921 90.91754 31.38324
964 156.9967 90.84267 31.29042
965 156.8943 90.83741 31.30199
966 156.9122 90.89754 31.2679
967 157.4305 91.08147 31.375
968 157.0271 90.95391 31.31177
969 157.2448 90.89932 31.36596
970 157.0748 90.89444 31.33625
971 157.2619 90.93515 31.32784
972 157.2283 90.9009 31.39585
973 157.253 90.96399 31.40848
974 157.1372 90.86237 31.32718
975 157.2591 91.0197 31.38492
976 157.1784 90.90152 31.37347
977 157.3871 90.96205 31.38646
978 157.1329 90.89514 31.35636
979 157.3687 91.07181 31.40379
980 157.2635 90.86357 31.35048
981 157.1716 90.93668 31.34422
982 156.8856 90.79811 31.285
983 157.1946 90.95415 31.38353
984 157.2549 90.98821 31.35541
985 157.4089 91.11213 31.39252
 986 157.4511 91.1425 31.43536
987 156.9131 90.91438 31.28375
988 157.1114 90.97867 31.38559
989 157.2216 91.03782 31.37137
990 157.2437 90.84733 31.35321
991 157.3633 91.04618 31.41047
992 157.1699 91.00276 31.33566
993 156.9419 90.6428 31.29121
994 157.4759 91.07147 31.37946
995 156.9908 90.87761 31.31267
996 157.0896 90.84551 31.34027
997 157.3903 91.15805 31.37678
998 157.3722 91.053 31.39339
999 157.3651 91.15587 31.40697
1000 157.0656 90.76311 31.30992
 Return
JPM MS BAC Portfolio R Arranging Returns in Ascending Order
1 -0.06% 0.06% 0.02% 0.01% Rank Portfolio Return
2 -0.08% -0.01% -0.05% -0.04% 1 -5.75%
3 0.02% 0.05% 0.02% 0.03% 2 -5.26%
4 0.11% 0.09% -0.01% 0.07% 3 -4.39%
5 0.04% -0.07% 0.03% -0.01% 4 -4.19%
6 -0.21% -0.20% -0.25% -0.22% 5 -3.94%
7 -0.19% -0.21% -0.12% -0.18% 6 -3.87%
8 -0.09% -0.02% -0.13% -0.07% 7 -3.81%
9 0.02% 0.07% 0.09% 0.06% 8 -3.68%
10 0.22% 0.07% 0.21% 0.16% 9 -3.60%
11 0.06% 0.11% 0.02% 0.07% 10 -3.54%
12 0.01% 0.15% -0.02% 0.05% 11 -3.49%
13 -0.07% -0.13% -0.15% -0.12% 12 -3.43%
14 0.00% 0.07% 0.10% 0.06% 13 -3.37%
15 0.28% 0.24% 0.27% 0.26% 14 -3.34%
16 0.07% 0.00% 0.11% 0.05% 15 -3.30%
17 0.00% -0.07% -0.02% -0.03% 16 -3.29%
18 0.06% 0.02% 0.14% 0.07% 17 -3.28%
19 -0.04% -0.02% 0.04% -0.01% 18 -3.27%
20 0.04% 0.11% 0.10% 0.09% 19 -3.26%
21 -0.08% 0.03% -0.04% -0.02% 20 -3.17%
22 -0.09% -0.02% -0.07% -0.06% 21 -3.17%
23 -0.05% -0.20% -0.25% -0.17% 22 -3.15%
24 -0.01% 0.10% -0.07% 0.02% 23 -3.13%
25 -0.13% -0.05% -0.16% -0.11% 24 -3.12%
26 0.03% -0.02% -0.06% -0.01% 25 -3.11%
27 0.02% 0.05% 0.00% 0.03% 26 -3.10%
28 0.14% 0.13% 0.10% 0.12% 27 -3.08%
29 0.01% 0.17% 0.08% 0.09% 28 -3.06%
30 0.12% 0.20% 0.22% 0.18% 29 -3.05%
31 0.02% 0.14% 0.08% 0.09% 30 -3.04%
32 0.11% 0.11% 0.01% 0.08% 31 -3.01%
33 0.13% 0.11% 0.08% 0.11% 32 -2.99%
34 0.01% -0.03% -0.05% -0.03% 33 -2.99%
35 0.15% 0.09% 0.14% 0.12% 34 -2.99%
36 0.04% 0.02% 0.02% 0.03% 35 -2.98%
37 0.21% 0.16% 0.13% 0.17% 36 -2.95%
38 0.26% 0.14% 0.27% 0.22% 37 -2.94%
39 0.01% 0.10% 0.13% 0.08% 38 -2.93%
40 0.23% 0.11% 0.16% 0.16% 39 -2.91%
41 0.10% 0.13% 0.09% 0.11% 40 -2.88%
42 0.19% 0.11% 0.16% 0.15% 41 -2.87%
43 -0.01% 0.16% 0.06% 0.08% 42 -2.87%
44 0.06% 0.08% 0.07% 0.07% 43 -2.87%
45 -0.08% 0.00% -0.16% -0.07% 44 -2.81%
46 0.22% 0.09% 0.09% 0.13% 45 -2.79%
47 0.22% 0.21% 0.23% 0.22% 46 -2.79%
48 -0.11% 0.07% -0.13% -0.05% 47 -2.79%
49 -0.15% -0.14% -0.11% -0.13% 48 -2.76%
50 -0.03% 0.06% 0.00% 0.02% 49 -2.74%
51 -0.03% 0.03% 0.02% 0.01% 50 -2.72%
52 -0.10% -0.11% -0.12% -0.11% 51 -2.69%
53 0.11% 0.11% 0.13% 0.12% 52 -2.68%
54 0.11% 0.04% 0.15% 0.09% 53 -2.65%
55 -0.02% -0.04% -0.08% -0.05% 54 -2.64%
56 0.03% -0.09% -0.03% -0.04% 55 -2.63%
57 0.08% -0.09% 0.02% 0.00% 56 -2.61%
58 -0.22% -0.11% -0.16% -0.16% 57 -2.59%
59 0.05% 0.02% 0.01% 0.03% 58 -2.54%
60 -0.13% -0.15% -0.14% -0.14% 59 -2.51%
61 -0.21% -0.21% -0.27% -0.23% 60 -2.50%
62 0.12% 0.06% 0.15% 0.11% 61 -2.49%
63 0.10% 0.10% 0.10% 0.10% 62 -2.45%
64 0.17% 0.16% 0.19% 0.17% 63 -2.44%
65 0.02% 0.15% 0.01% 0.07% 64 -2.44%
66 -0.07% -0.21% -0.07% -0.13% 65 -2.43%
67 0.04% -0.09% 0.13% 0.02% 66 -2.42%
68 -0.21% -0.21% -0.27% -0.23% 67 -2.40%
69 0.09% 0.14% 0.11% 0.11% 68 -2.40%
70 -0.09% -0.01% -0.03% -0.04% 69 -2.39%
71 -0.01% -0.04% -0.08% -0.04% 70 -2.38%
72 0.07% 0.08% 0.08% 0.08% 71 -2.38%
73 0.01% 0.06% 0.06% 0.05% 72 -2.35%
74 0.00% -0.05% -0.06% -0.04% 73 -2.30%
75 0.01% 0.10% 0.05% 0.06% 74 -2.29%
76 -0.21% -0.24% -0.29% -0.25% 75 -2.27%
77 0.05% 0.09% 0.02% 0.06% 76 -2.25%
78 0.07% 0.18% 0.18% 0.15% 77 -2.25%
79 0.07% 0.09% -0.01% 0.05% 78 -2.25%
80 -0.10% -0.02% 0.02% -0.03% 79 -2.24%
81 0.04% 0.05% -0.01% 0.03% 80 -2.24%
82 0.11% 0.31% 0.17% 0.21% 81 -2.23%
83 0.20% 0.31% 0.20% 0.24% 82 -2.21%
84 0.13% 0.10% 0.08% 0.10% 83 -2.21%
85 0.03% 0.04% -0.01% 0.02% 84 -2.20%
 86 -0.02% 0.00% 0.08% 0.02% 85 -2.20%
87 -0.32% -0.28% -0.31% -0.30% 86 -2.18%
88 0.04% 0.03% 0.03% 0.04% 87 -2.17%
89 -0.12% -0.04% -0.06% -0.07% 88 -2.17%
90 -0.06% -0.10% 0.02% -0.05% 89 -2.14%
91 -0.04% 0.02% -0.04% -0.02% 90 -2.13%
92 0.03% 0.00% 0.02% 0.02% 91 -2.13%
93 0.06% 0.18% 0.03% 0.10% 92 -2.11%
94 -0.15% -0.08% -0.08% -0.10% 93 -2.09%
95 -0.11% -0.03% -0.09% -0.07% 94 -2.09%
96 -0.13% -0.16% -0.13% -0.14% 95 -2.08%
97 0.13% 0.05% 0.08% 0.08% 96 -2.07%
98 -0.09% -0.07% -0.12% -0.09% 97 -2.04%
99 -0.22% -0.12% -0.16% -0.16% 98 -2.03%
100 -0.12% -0.05% -0.15% -0.10% 99 -2.03%
101 0.01% -0.02% 0.00% -0.01% 100 -2.01%
102 -0.07% 0.08% 0.01% 0.01% 101 -1.99%
103 -0.03% -0.06% 0.00% -0.03% 102 -1.98%
104 -0.16% -0.10% -0.11% -0.12% 103 -1.98%
105 -0.05% 0.07% -0.04% 0.00% 104 -1.96%
106 0.06% 0.05% 0.06% 0.05% 105 -1.95%
107 -0.06% -0.08% -0.14% -0.09% 106 -1.94%
108 0.02% 0.00% 0.04% 0.02% 107 -1.94%
109 0.02% 0.02% 0.11% 0.05% 108 -1.93%
110 -0.06% 0.04% 0.00% 0.00% 109 -1.92%
111 -0.09% -0.02% -0.17% -0.09% 110 -1.91%
112 -0.11% 0.21% 0.00% 0.05% 111 -1.90%
113 0.12% 0.17% 0.27% 0.18% 112 -1.89%
114 0.08% 0.03% 0.18% 0.09% 113 -1.89%
115 -0.17% 0.00% -0.08% -0.07% 114 -1.87%
116 0.04% 0.01% -0.03% 0.01% 115 -1.82%
117 0.05% -0.10% 0.00% -0.03% 116 -1.82%
118 0.09% 0.14% 0.10% 0.11% 117 -1.81%
119 0.01% 0.09% -0.01% 0.03% 118 -1.79%
120 -0.16% -0.15% -0.20% -0.17% 119 -1.79%
121 -0.02% -0.17% -0.09% -0.10% 120 -1.79%
122 0.08% 0.05% 0.07% 0.06% 121 -1.78%
123 0.08% 0.18% 0.22% 0.16% 122 -1.77%
124 0.03% -0.15% -0.09% -0.08% 123 -1.77%
125 0.06% -0.04% 0.06% 0.02% 124 -1.76%
126 0.06% 0.07% 0.10% 0.07% 125 -1.75%
127 0.06% 0.06% 0.01% 0.04% 126 -1.74%
128 0.01% -0.01% -0.03% -0.01% 127 -1.74%
129 0.00% 0.02% 0.01% 0.01% 128 -1.70%
130 -0.03% 0.09% -0.11% 0.00% 129 -1.69%
131 -0.11% -0.18% -0.23% -0.18% 130 -1.69%
132 -0.08% 0.00% -0.13% -0.06% 131 -1.69%
133 0.06% 0.03% 0.05% 0.04% 132 -1.69%
134 -0.15% -0.09% -0.08% -0.10% 133 -1.68%
135 -0.01% 0.16% 0.03% 0.07% 134 -1.67%
136 0.07% 0.02% 0.06% 0.05% 135 -1.66%
137 -0.03% 0.01% -0.03% -0.01% 136 -1.66%
138 0.10% 0.02% 0.18% 0.09% 137 -1.66%
139 0.20% 0.14% 0.22% 0.18% 138 -1.65%
140 -0.01% -0.08% 0.13% 0.00% 139 -1.64%
141 0.31% 0.25% 0.27% 0.27% 140 -1.64%
142 0.06% 0.01% 0.09% 0.05% 141 -1.64%
143 0.12% 0.18% 0.14% 0.15% 142 -1.64%
144 -0.05% 0.12% 0.08% 0.06% 143 -1.63%
145 -0.01% 0.00% 0.00% -0.01% 144 -1.62%
146 -0.03% 0.09% 0.00% 0.03% 145 -1.62%
147 0.03% 0.04% 0.03% 0.03% 146 -1.61%
148 0.11% 0.10% 0.21% 0.13% 147 -1.61%
149 0.23% 0.22% 0.26% 0.24% 148 -1.60%
150 -0.17% -0.07% -0.08% -0.10% 149 -1.60%
151 -0.07% -0.11% -0.03% -0.07% 150 -1.59%
152 -0.07% -0.04% -0.10% -0.07% 151 -1.59%
153 -0.15% -0.16% -0.12% -0.14% 152 -1.58%
154 0.03% 0.06% 0.10% 0.06% 153 -1.57%
155 -0.03% 0.07% -0.11% -0.01% 154 -1.56%
156 0.07% 0.01% -0.02% 0.02% 155 -1.56%
157 -0.04% -0.07% 0.00% -0.04% 156 -1.53%
158 0.04% 0.11% 0.03% 0.07% 157 -1.53%
159 0.15% 0.03% 0.22% 0.12% 158 -1.53%
160 -0.15% -0.02% -0.04% -0.07% 159 -1.52%
161 -0.17% 0.04% -0.08% -0.06% 160 -1.52%
162 0.05% 0.00% 0.08% 0.04% 161 -1.52%
163 0.03% 0.04% 0.06% 0.04% 162 -1.52%
164 -0.06% -0.08% -0.16% -0.10% 163 -1.51%
165 0.09% 0.12% 0.07% 0.10% 164 -1.50%
166 0.02% -0.20% -0.09% -0.10% 165 -1.50%
167 -0.16% -0.07% -0.24% -0.15% 166 -1.49%
168 0.01% 0.01% 0.01% 0.01% 167 -1.49%
169 0.08% 0.06% 0.09% 0.08% 168 -1.49%
170 -0.02% -0.05% 0.01% -0.02% 169 -1.49%
171 0.04% 0.11% 0.04% 0.07% 170 -1.46%
172 0.09% 0.05% 0.04% 0.06% 171 -1.45%
173 0.04% 0.07% 0.14% 0.08% 172 -1.43%
174 0.07% 0.04% 0.08% 0.06% 173 -1.43%
175 0.13% -0.06% 0.00% 0.01% 174 -1.41%
176 0.05% 0.06% 0.05% 0.05% 175 -1.40%
177 0.04% -0.04% 0.04% 0.01% 176 -1.40%
178 -0.08% -0.02% 0.08% -0.01% 177 -1.40%
179 -0.06% 0.10% -0.01% 0.02% 178 -1.40%
180 -0.23% -0.14% -0.14% -0.16% 179 -1.39%
181 -0.06% -0.11% -0.07% -0.09% 180 -1.39%
182 -0.12% -0.11% -0.04% -0.09% 181 -1.39%
183 -0.09% -0.03% -0.03% -0.05% 182 -1.39%
184 -0.20% -0.16% -0.22% -0.19% 183 -1.39%
185 0.01% 0.04% -0.06% 0.00% 184 -1.38%
186 0.04% 0.01% -0.02% 0.01% 185 -1.37%
187 -0.04% 0.07% -0.10% -0.01% 186 -1.36%
188 0.01% -0.14% -0.07% -0.08% 187 -1.35%
189 -0.03% -0.10% -0.10% -0.08% 188 -1.35%
190 -0.14% -0.12% -0.14% -0.13% 189 -1.35%
191 0.15% 0.19% 0.20% 0.18% 190 -1.34%
192 -0.07% 0.02% 0.02% -0.01% 191 -1.34%
193 0.04% 0.17% 0.00% 0.08% 192 -1.33%
194 0.07% 0.23% 0.08% 0.14% 193 -1.32%
195 0.14% 0.07% 0.15% 0.12% 194 -1.32%
196 -0.01% 0.08% 0.00% 0.03% 195 -1.31%
197 0.01% 0.04% 0.02% 0.03% 196 -1.31%
198 -0.04% -0.08% -0.08% -0.07% 197 -1.30%
199 0.05% 0.05% -0.01% 0.04% 198 -1.30%
200 -0.10% -0.02% -0.12% -0.08% 199 -1.29%
201 -0.02% -0.02% 0.01% -0.01% 200 -1.29%
202 -0.02% -0.03% 0.06% 0.00% 201 -1.28%
203 0.11% -0.05% 0.14% 0.05% 202 -1.27%
204 -0.01% -0.01% 0.03% 0.00% 203 -1.27%
205 -0.02% -0.04% 0.01% -0.02% 204 -1.27%
206 0.04% 0.15% 0.01% 0.08% 205 -1.26%
207 -0.05% -0.04% -0.02% -0.04% 206 -1.26%
208 -0.06% -0.19% -0.10% -0.12% 207 -1.26%
209 0.08% 0.07% 0.10% 0.08% 208 -1.26%
210 0.02% -0.09% -0.01% -0.03% 209 -1.25%
211 0.09% 0.12% 0.01% 0.08% 210 -1.25%
212 -0.02% 0.02% 0.12% 0.04% 211 -1.24%
213 0.02% 0.22% 0.14% 0.14% 212 -1.24%
214 0.06% 0.02% 0.11% 0.06% 213 -1.23%
215 -0.10% 0.00% -0.04% -0.04% 214 -1.23%
216 -0.19% -0.21% -0.11% -0.18% 215 -1.23%
217 0.04% 0.14% 0.10% 0.10% 216 -1.23%
218 0.05% 0.11% 0.05% 0.07% 217 -1.22%
219 -0.12% -0.08% -0.14% -0.11% 218 -1.22%
220 -0.07% 0.01% 0.01% -0.01% 219 -1.21%
221 0.09% -0.02% 0.07% 0.04% 220 -1.21%
222 -0.05% 0.00% 0.03% -0.01% 221 -1.20%
223 0.10% -0.02% 0.16% 0.07% 222 -1.19%
224 0.04% -0.09% -0.01% -0.03% 223 -1.19%
225 0.20% 0.24% 0.23% 0.22% 224 -1.17%
226 -0.07% -0.08% -0.09% -0.08% 225 -1.17%
227 -0.08% 0.06% -0.02% -0.01% 226 -1.16%
228 -0.19% -0.25% -0.17% -0.21% 227 -1.16%
229 0.12% 0.09% 0.18% 0.13% 228 -1.15%
230 0.14% 0.10% 0.13% 0.12% 229 -1.15%
231 0.12% 0.09% 0.11% 0.11% 230 -1.14%
232 0.11% 0.00% 0.08% 0.06% 231 -1.14%
233 -0.27% -0.25% -0.23% -0.25% 232 -1.14%
234 0.01% 0.02% 0.09% 0.04% 233 -1.13%
235 -0.15% -0.19% -0.22% -0.19% 234 -1.13%
236 0.06% 0.09% 0.08% 0.08% 235 -1.12%
237 0.17% 0.15% 0.06% 0.13% 236 -1.12%
238 0.07% 0.04% 0.01% 0.04% 237 -1.12%
239 0.10% 0.18% 0.11% 0.14% 238 -1.11%
240 0.02% 0.06% 0.13% 0.07% 239 -1.11%
241 -0.16% -0.15% -0.16% -0.15% 240 -1.11%
242 -0.02% -0.02% 0.01% -0.01% 241 -1.11%
243 0.01% -0.13% -0.08% -0.07% 242 -1.09%
244 0.04% 0.14% 0.11% 0.10% 243 -1.09%
245 0.11% 0.09% 0.13% 0.11% 244 -1.08%
246 0.08% 0.13% 0.13% 0.11% 245 -1.07%
247 0.08% 0.16% 0.07% 0.11% 246 -1.07%
248 0.12% 0.07% 0.17% 0.11% 247 -1.06%
249 -0.03% 0.00% 0.01% -0.01% 248 -1.05%
250 -0.02% -0.08% 0.05% -0.03% 249 -1.04%
251 -0.08% -0.11% -0.05% -0.09% 250 -1.04%
252 -0.07% -0.06% -0.08% -0.07% 251 -1.03%
253 0.05% 0.17% 0.00% 0.08% 252 -1.03%
254 0.11% 0.09% 0.09% 0.10% 253 -1.02%
255 -0.17% -0.11% -0.05% -0.11% 254 -1.02%
256 0.00% 0.01% -0.04% -0.01% 255 -1.01%
257 -0.18% -0.09% -0.11% -0.12% 256 -1.01%
258 0.12% 0.21% 0.17% 0.17% 257 -1.00%
259 -0.15% -0.08% -0.18% -0.13% 258 -1.00%
260 -0.07% -0.01% -0.02% -0.03% 259 -1.00%
261 0.10% 0.16% 0.08% 0.12% 260 -0.99%
262 -0.08% 0.02% -0.01% -0.02% 261 -0.99%
263 0.02% -0.02% -0.01% -0.01% 262 -0.98%
264 0.07% 0.09% 0.03% 0.07% 263 -0.98%
265 0.05% 0.07% 0.10% 0.07% 264 -0.97%
266 -0.14% -0.04% -0.14% -0.10% 265 -0.97%
267 0.16% 0.10% 0.09% 0.12% 266 -0.95%
268 -0.09% -0.01% -0.11% -0.06% 267 -0.95%
269 0.14% 0.09% 0.10% 0.11% 268 -0.95%
270 0.00% 0.05% 0.10% 0.05% 269 -0.95%
271 0.19% 0.14% 0.09% 0.14% 270 -0.94%
272 -0.02% -0.02% -0.10% -0.05% 271 -0.94%
273 0.04% 0.00% 0.06% 0.03% 272 -0.92%
274 0.05% 0.05% 0.09% 0.06% 273 -0.92%
275 0.02% -0.06% -0.04% -0.03% 274 -0.92%
276 -0.06% -0.09% -0.04% -0.07% 275 -0.91%
277 0.11% 0.06% 0.11% 0.09% 276 -0.91%
278 0.04% -0.08% -0.05% -0.03% 277 -0.91%
279 0.05% 0.06% -0.02% 0.03% 278 -0.90%
280 0.05% 0.05% 0.11% 0.07% 279 -0.90%
281 0.07% -0.07% 0.00% -0.01% 280 -0.89%
282 -0.11% -0.07% -0.18% -0.11% 281 -0.89%
283 -0.25% -0.21% -0.19% -0.22% 282 -0.89%
284 0.07% 0.12% 0.08% 0.09% 283 -0.89%
285 -0.08% -0.14% -0.12% -0.11% 284 -0.88%
286 -0.19% -0.15% -0.20% -0.18% 285 -0.87%
287 0.03% 0.05% 0.00% 0.03% 286 -0.87%
288 0.21% 0.21% 0.28% 0.23% 287 -0.87%
289 -0.13% 0.04% -0.02% -0.03% 288 -0.86%
290 -0.08% -0.10% -0.04% -0.08% 289 -0.86%
291 0.06% 0.08% 0.06% 0.07% 290 -0.86%
292 -0.12% -0.09% -0.18% -0.13% 291 -0.86%
293 0.04% 0.03% 0.03% 0.03% 292 -0.86%
294 -0.24% -0.09% -0.25% -0.18% 293 -0.85%
295 0.02% -0.05% 0.01% -0.01% 294 -0.85%
296 0.00% -0.08% -0.09% -0.06% 295 -0.84%
297 0.00% -0.05% -0.06% -0.04% 296 -0.84%
298 -0.02% 0.00% 0.05% 0.01% 297 -0.84%
299 -0.18% -0.18% -0.23% -0.19% 298 -0.84%
300 0.06% 0.04% 0.07% 0.06% 299 -0.84%
301 -0.22% -0.13% -0.20% -0.18% 300 -0.83%
302 -0.07% -0.01% 0.02% -0.02% 301 -0.82%
303 -0.08% -0.02% -0.11% -0.07% 302 -0.82%
304 -0.06% 0.09% 0.00% 0.02% 303 -0.81%
305 0.07% 0.03% 0.15% 0.08% 304 -0.80%
306 0.05% 0.03% 0.16% 0.08% 305 -0.80%
307 0.10% 0.05% 0.11% 0.08% 306 -0.80%
308 0.14% -0.01% 0.10% 0.07% 307 -0.79%
309 0.04% -0.11% -0.12% -0.07% 308 -0.78%
310 0.30% 0.11% 0.29% 0.22% 309 -0.78%
311 0.20% 0.12% 0.24% 0.18% 310 -0.77%
312 -0.05% -0.16% -0.05% -0.09% 311 -0.77%
313 0.01% 0.02% 0.02% 0.01% 312 -0.76%
314 0.07% 0.05% 0.07% 0.06% 313 -0.75%
315 -0.01% -0.07% -0.02% -0.04% 314 -0.74%
316 0.14% 0.15% 0.12% 0.14% 315 -0.74%
317 0.04% 0.01% 0.01% 0.02% 316 -0.74%
318 0.13% 0.15% 0.10% 0.13% 317 -0.74%
319 -0.05% -0.12% -0.09% -0.09% 318 -0.73%
320 -0.15% -0.15% -0.07% -0.13% 319 -0.72%
321 -0.02% 0.01% -0.05% -0.02% 320 -0.71%
322 0.18% 0.15% 0.21% 0.17% 321 -0.71%
323 -0.14% 0.01% -0.11% -0.07% 322 -0.70%
324 0.09% 0.12% 0.13% 0.11% 323 -0.70%
325 0.01% 0.04% -0.05% 0.00% 324 -0.70%
326 0.24% 0.20% 0.29% 0.24% 325 -0.69%
327 -0.15% -0.20% -0.19% -0.18% 326 -0.69%
328 -0.02% 0.04% -0.02% 0.00% 327 -0.68%
329 -0.04% -0.11% 0.00% -0.05% 328 -0.68%
330 -0.01% 0.03% -0.03% 0.00% 329 -0.68%
331 0.05% 0.05% 0.08% 0.06% 330 -0.67%
332 -0.05% -0.13% -0.09% -0.09% 331 -0.67%
333 -0.09% -0.12% -0.09% -0.10% 332 -0.67%
334 0.06% 0.08% 0.05% 0.06% 333 -0.67%
335 -0.03% -0.05% -0.02% -0.04% 334 -0.67%
336 0.12% 0.05% 0.25% 0.13% 335 -0.66%
337 -0.07% -0.10% 0.03% -0.05% 336 -0.65%
338 0.17% 0.12% 0.08% 0.12% 337 -0.65%
339 -0.01% -0.09% -0.02% -0.05% 338 -0.65%
340 0.13% -0.02% 0.07% 0.05% 339 -0.65%
341 -0.18% 0.06% -0.09% -0.06% 340 -0.63%
342 -0.06% -0.01% -0.11% -0.06% 341 -0.63%
343 0.08% 0.11% 0.09% 0.09% 342 -0.62%
344 0.04% 0.01% 0.06% 0.04% 343 -0.61%
345 -0.04% 0.07% 0.01% 0.02% 344 -0.61%
346 0.12% 0.23% 0.16% 0.18% 345 -0.60%
347 -0.04% -0.12% -0.02% -0.07% 346 -0.60%
348 -0.06% -0.06% -0.10% -0.07% 347 -0.60%
349 0.09% 0.11% 0.15% 0.12% 348 -0.60%
350 -0.05% -0.08% 0.01% -0.05% 349 -0.59%
351 -0.04% -0.02% 0.14% 0.02% 350 -0.59%
352 -0.06% 0.02% -0.01% -0.01% 351 -0.59%
353 -0.13% -0.13% -0.08% -0.11% 352 -0.58%
354 0.14% 0.15% 0.15% 0.15% 353 -0.57%
355 0.00% -0.05% 0.00% -0.02% 354 -0.57%
356 0.02% -0.05% 0.00% -0.01% 355 -0.57%
357 -0.04% -0.13% -0.12% -0.10% 356 -0.57%
358 0.16% 0.17% 0.22% 0.18% 357 -0.57%
359 -0.08% -0.12% -0.13% -0.11% 358 -0.56%
360 0.02% -0.02% 0.06% 0.02% 359 -0.56%
361 0.04% 0.04% 0.02% 0.03% 360 -0.56%
362 -0.23% -0.30% -0.20% -0.25% 361 -0.56%
363 0.08% -0.02% 0.06% 0.04% 362 -0.56%
364 -0.21% -0.15% -0.24% -0.19% 363 -0.55%
365 0.06% 0.01% -0.05% 0.01% 364 -0.55%
366 0.23% 0.00% 0.11% 0.10% 365 -0.54%
367 -0.01% -0.01% 0.03% 0.00% 366 -0.54%
368 -0.11% -0.15% -0.09% -0.12% 367 -0.52%
369 -0.08% -0.12% -0.19% -0.13% 368 -0.52%
370 -0.11% 0.06% -0.06% -0.03% 369 -0.52%
371 -0.13% 0.00% -0.15% -0.09% 370 -0.52%
372 -0.12% -0.09% -0.16% -0.12% 371 -0.51%
373 -0.03% 0.02% 0.03% 0.00% 372 -0.51%
374 0.00% -0.02% -0.02% -0.01% 373 -0.51%
375 -0.09% -0.11% -0.12% -0.11% 374 -0.49%
376 0.18% 0.11% 0.21% 0.16% 375 -0.48%
377 -0.12% -0.08% -0.06% -0.09% 376 -0.48%
378 0.07% 0.17% 0.10% 0.12% 377 -0.47%
379 0.18% 0.13% 0.15% 0.15% 378 -0.47%
380 0.16% 0.24% 0.27% 0.23% 379 -0.47%
381 -0.03% -0.06% -0.01% -0.04% 380 -0.47%
382 -0.06% 0.00% -0.12% -0.05% 381 -0.46%
383 0.07% 0.07% 0.10% 0.08% 382 -0.46%
384 -0.24% -0.31% -0.30% -0.29% 383 -0.45%
385 -0.18% -0.21% -0.24% -0.21% 384 -0.45%
386 0.10% 0.04% 0.01% 0.05% 385 -0.45%
387 0.04% 0.09% 0.09% 0.07% 386 -0.45%
388 -0.09% 0.04% -0.05% -0.03% 387 -0.45%
389 0.10% 0.19% 0.20% 0.17% 388 -0.44%
390 0.09% 0.20% 0.11% 0.14% 389 -0.43%
391 0.07% 0.09% 0.18% 0.11% 390 -0.43%
392 0.17% 0.10% 0.17% 0.14% 391 -0.43%
393 -0.12% -0.12% -0.15% -0.13% 392 -0.41%
394 0.14% 0.05% 0.02% 0.07% 393 -0.41%
395 0.12% 0.26% 0.23% 0.21% 394 -0.41%
396 0.03% 0.00% -0.02% 0.01% 395 -0.41%
397 -0.01% -0.01% 0.04% 0.01% 396 -0.41%
398 0.09% 0.06% 0.06% 0.07% 397 -0.41%
399 -0.08% -0.19% -0.11% -0.14% 398 -0.40%
400 -0.02% 0.09% 0.01% 0.04% 399 -0.40%
401 0.06% 0.07% -0.01% 0.04% 400 -0.39%
402 -0.07% -0.09% -0.10% -0.09% 401 -0.38%
403 -0.16% -0.12% -0.06% -0.11% 402 -0.37%
404 0.09% -0.15% 0.06% -0.02% 403 -0.37%
405 -0.03% 0.03% 0.07% 0.02% 404 -0.37%
406 -0.02% -0.02% -0.02% -0.02% 405 -0.37%
407 -0.09% -0.04% -0.11% -0.07% 406 -0.36%
408 0.03% 0.15% 0.08% 0.10% 407 -0.36%
409 0.25% 0.07% 0.17% 0.15% 408 -0.35%
410 0.09% 0.00% 0.01% 0.03% 409 -0.35%
411 -0.25% -0.19% -0.18% -0.21% 410 -0.35%
412 0.08% 0.01% 0.04% 0.04% 411 -0.35%
413 0.18% 0.16% 0.11% 0.15% 412 -0.35%
414 0.12% -0.06% 0.10% 0.05% 413 -0.33%
415 0.10% -0.07% 0.05% 0.02% 414 -0.32%
416 0.05% 0.10% 0.10% 0.09% 415 -0.32%
417 0.07% 0.11% 0.11% 0.10% 416 -0.31%
418 -0.01% 0.06% 0.00% 0.02% 417 -0.30%
419 -0.15% -0.01% -0.11% -0.08% 418 -0.30%
420 0.09% 0.11% 0.18% 0.13% 419 -0.30%
421 0.03% -0.03% 0.09% 0.02% 420 -0.30%
422 -0.11% 0.07% -0.08% -0.03% 421 -0.29%
423 0.01% 0.03% -0.14% -0.03% 422 -0.29%
424 0.23% 0.33% 0.27% 0.28% 423 -0.28%
425 0.04% 0.02% -0.02% 0.01% 424 -0.27%
426 0.10% 0.05% 0.04% 0.06% 425 -0.27%
427 -0.11% -0.02% -0.04% -0.05% 426 -0.26%
428 -0.15% -0.11% -0.14% -0.13% 427 -0.26%
429 0.00% -0.06% -0.06% -0.04% 428 -0.25%
430 -0.07% 0.12% -0.02% 0.02% 429 -0.25%
431 0.20% 0.01% 0.10% 0.09% 430 -0.25%
432 0.15% -0.01% 0.07% 0.06% 431 -0.24%
433 -0.15% -0.18% -0.10% -0.15% 432 -0.24%
434 -0.17% -0.09% -0.07% -0.11% 433 -0.23%
435 0.06% 0.01% 0.08% 0.04% 434 -0.22%
436 0.15% 0.03% 0.18% 0.11% 435 -0.22%
437 0.08% 0.07% 0.08% 0.08% 436 -0.22%
438 0.00% 0.07% 0.00% 0.02% 437 -0.22%
439 -0.10% -0.12% 0.01% -0.07% 438 -0.22%
440 0.12% 0.19% 0.14% 0.15% 439 -0.21%
441 -0.02% 0.08% -0.06% 0.01% 440 -0.19%
442 0.06% -0.04% -0.05% -0.01% 441 -0.19%
443 0.08% 0.10% 0.02% 0.07% 442 -0.19%
444 0.04% 0.10% 0.07% 0.07% 443 -0.18%
445 0.15% 0.16% 0.17% 0.16% 444 -0.18%
446 -0.11% 0.04% -0.02% -0.02% 445 -0.18%
447 0.15% 0.09% 0.09% 0.10% 446 -0.18%
448 -0.04% -0.09% 0.05% -0.03% 447 -0.17%
449 0.00% 0.02% 0.06% 0.03% 448 -0.17%
450 -0.26% -0.27% -0.20% -0.25% 449 -0.17%
451 -0.15% -0.04% -0.10% -0.09% 450 -0.17%
452 0.12% 0.20% 0.18% 0.17% 451 -0.16%
453 0.11% 0.14% 0.16% 0.14% 452 -0.16%
454 -0.07% -0.06% -0.09% -0.07% 453 -0.16%
455 -0.04% 0.04% 0.05% 0.02% 454 -0.16%
456 -0.02% -0.12% -0.03% -0.06% 455 -0.16%
457 -0.09% -0.06% -0.11% -0.08% 456 -0.14%
458 0.11% 0.10% 0.06% 0.09% 457 -0.13%
459 -0.03% 0.04% 0.00% 0.01% 458 -0.13%
460 -0.03% -0.13% -0.05% -0.08% 459 -0.11%
461 -0.10% -0.12% -0.03% -0.09% 460 -0.11%
462 -0.10% 0.02% 0.03% -0.01% 461 -0.11%
463 -0.19% -0.14% -0.18% -0.17% 462 -0.11%
464 0.12% 0.08% 0.10% 0.10% 463 -0.11%
465 0.08% 0.09% 0.06% 0.08% 464 -0.11%
466 0.00% -0.02% 0.03% 0.00% 465 -0.10%
467 0.08% 0.10% 0.07% 0.09% 466 -0.10%
468 0.17% 0.06% 0.09% 0.10% 467 -0.09%
469 -0.04% -0.08% -0.13% -0.08% 468 -0.07%
470 -0.04% -0.10% -0.04% -0.06% 469 -0.07%
471 -0.03% 0.10% 0.02% 0.04% 470 -0.07%
472 -0.15% -0.08% -0.19% -0.14% 471 -0.07%
473 -0.02% 0.03% 0.07% 0.03% 472 -0.06%
474 -0.02% -0.11% -0.01% -0.06% 473 -0.06%
475 0.04% -0.08% 0.04% -0.01% 474 -0.06%
476 -0.07% -0.01% -0.08% -0.05% 475 -0.05%
477 -0.12% -0.06% -0.11% -0.09% 476 -0.05%
478 0.01% -0.11% -0.04% -0.05% 477 -0.03%
479 -0.13% -0.03% 0.08% -0.03% 478 -0.03%
480 -0.13% -0.05% -0.21% -0.12% 479 -0.03%
481 0.07% -0.01% 0.07% 0.04% 480 -0.02%
482 0.08% 0.10% 0.13% 0.10% 481 -0.02%
483 -0.06% -0.02% -0.06% -0.04% 482 -0.02%
484 0.08% 0.20% 0.25% 0.18% 483 -0.01%
485 -0.08% -0.13% -0.11% -0.11% 484 -0.01%
486 -0.10% -0.12% -0.07% -0.10% 485 0.00%
487 0.13% 0.11% 0.13% 0.12% 486 0.00%
488 0.09% 0.11% 0.06% 0.09% 487 0.00%
489 -0.11% -0.26% -0.17% -0.19% 488 0.00%
490 -0.11% -0.09% 0.01% -0.07% 489 0.00%
491 0.04% 0.05% 0.04% 0.04% 490 0.01%
492 0.11% 0.04% 0.15% 0.10% 491 0.01%
493 -0.03% -0.04% -0.17% -0.08% 492 0.01%
494 -0.03% 0.06% -0.05% 0.00% 493 0.02%
495 -0.02% -0.01% 0.02% -0.01% 494 0.02%
496 0.19% 0.18% 0.20% 0.19% 495 0.02%
497 0.00% 0.05% 0.08% 0.04% 496 0.03%
498 -0.03% -0.07% 0.07% -0.02% 497 0.03%
499 0.04% 0.02% 0.01% 0.02% 498 0.04%
500 0.10% 0.14% 0.09% 0.11% 499 0.04%
501 -0.01% -0.07% -0.06% -0.05% 500 0.05%
502 -0.04% -0.06% -0.07% -0.06% 501 0.07%
503 -0.14% -0.16% -0.14% -0.15% 502 0.07%
504 0.05% 0.06% 0.02% 0.05% 503 0.08%
505 0.20% 0.12% 0.21% 0.17% 504 0.08%
506 -0.07% 0.04% 0.01% 0.00% 505 0.08%
507 -0.12% -0.09% -0.06% -0.09% 506 0.08%
508 -0.02% 0.06% -0.09% -0.01% 507 0.10%
509 -0.04% 0.00% -0.01% -0.02% 508 0.10%
510 0.11% 0.16% 0.16% 0.14% 509 0.10%
511 -0.02% 0.05% 0.02% 0.02% 510 0.10%
512 -0.08% 0.01% -0.02% -0.03% 511 0.10%
513 -0.01% -0.14% -0.20% -0.12% 512 0.11%
514 -0.11% -0.12% -0.15% -0.13% 513 0.11%
515 0.08% 0.03% 0.07% 0.06% 514 0.12%
516 0.03% 0.04% 0.02% 0.03% 515 0.12%
517 -0.04% 0.01% -0.03% -0.02% 516 0.12%
518 -0.05% 0.03% 0.05% 0.01% 517 0.14%
519 0.09% 0.08% 0.08% 0.08% 518 0.14%
520 0.04% -0.03% 0.07% 0.02% 519 0.14%
521 0.16% 0.11% 0.21% 0.15% 520 0.14%
522 -0.04% 0.09% 0.01% 0.03% 521 0.14%
523 0.18% 0.19% 0.26% 0.21% 522 0.14%
524 -0.12% -0.16% -0.13% -0.14% 523 0.15%
525 -0.12% -0.15% -0.11% -0.13% 524 0.15%
526 0.08% 0.01% -0.02% 0.02% 525 0.15%
527 -0.07% -0.20% -0.04% -0.11% 526 0.15%
528 0.03% -0.07% -0.02% -0.02% 527 0.16%
529 0.00% -0.19% 0.00% -0.07% 528 0.16%
530 -0.01% 0.12% 0.08% 0.07% 529 0.16%
531 0.11% 0.09% 0.13% 0.11% 530 0.17%
532 0.18% 0.08% 0.12% 0.12% 531 0.17%
533 0.07% -0.01% 0.02% 0.02% 532 0.18%
534 0.22% 0.08% 0.19% 0.16% 533 0.18%
535 0.27% 0.31% 0.24% 0.28% 534 0.18%
536 0.11% 0.07% 0.01% 0.06% 535 0.18%
537 0.10% -0.06% 0.06% 0.03% 536 0.18%
538 0.06% 0.06% 0.06% 0.06% 537 0.18%
539 0.22% 0.14% 0.18% 0.18% 538 0.20%
540 0.20% 0.02% 0.10% 0.10% 539 0.20%
541 0.01% 0.11% -0.05% 0.03% 540 0.20%
542 0.09% 0.06% 0.18% 0.10% 541 0.20%
543 -0.04% -0.06% -0.12% -0.07% 542 0.20%
544 0.21% 0.02% 0.13% 0.11% 543 0.21%
545 0.03% 0.02% -0.13% -0.02% 544 0.22%
546 -0.03% -0.03% 0.02% -0.01% 545 0.22%
547 0.03% 0.20% 0.06% 0.11% 546 0.22%
548 0.15% -0.01% 0.00% 0.04% 547 0.23%
549 -0.02% -0.04% 0.01% -0.02% 548 0.23%
550 0.11% 0.07% 0.08% 0.08% 549 0.23%
551 0.03% 0.02% 0.01% 0.02% 550 0.24%
552 -0.06% -0.18% -0.04% -0.10% 551 0.24%
553 -0.14% -0.06% -0.01% -0.07% 552 0.24%
554 -0.05% -0.07% -0.03% -0.05% 553 0.24%
555 -0.01% 0.09% 0.06% 0.05% 554 0.25%
556 0.06% 0.02% 0.03% 0.04% 555 0.26%
557 -0.01% -0.14% -0.01% -0.06% 556 0.26%
558 -0.04% -0.13% -0.06% -0.08% 557 0.26%
559 -0.02% -0.18% -0.01% -0.08% 558 0.27%
560 -0.06% -0.06% -0.05% -0.06% 559 0.27%
561 -0.07% -0.06% -0.12% -0.08% 560 0.27%
562 0.06% 0.18% 0.16% 0.14% 561 0.27%
563 0.15% 0.18% 0.21% 0.18% 562 0.27%
564 -0.11% -0.27% -0.15% -0.18% 563 0.29%
565 0.04% -0.09% -0.02% -0.03% 564 0.29%
566 -0.12% 0.03% 0.04% -0.01% 565 0.29%
567 0.03% 0.12% 0.08% 0.08% 566 0.30%
568 -0.05% 0.06% -0.07% -0.01% 567 0.30%
569 0.10% 0.16% 0.07% 0.12% 568 0.30%
570 0.26% 0.13% 0.10% 0.16% 569 0.31%
571 -0.11% -0.06% -0.10% -0.09% 570 0.31%
572 0.12% 0.15% 0.15% 0.14% 571 0.31%
573 0.00% 0.09% -0.05% 0.02% 572 0.31%
574 0.03% 0.12% 0.05% 0.07% 573 0.32%
575 -0.06% 0.10% -0.06% 0.01% 574 0.34%
576 0.08% -0.01% 0.03% 0.03% 575 0.35%
577 -0.07% 0.15% -0.04% 0.03% 576 0.36%
578 0.10% 0.04% 0.05% 0.06% 577 0.36%
579 -0.05% 0.05% -0.02% 0.00% 578 0.37%
580 -0.01% 0.03% 0.04% 0.02% 579 0.37%
581 0.10% -0.14% -0.04% -0.04% 580 0.38%
582 0.06% 0.11% 0.06% 0.08% 581 0.38%
583 0.02% 0.01% 0.05% 0.02% 582 0.38%
584 -0.18% -0.12% -0.14% -0.14% 583 0.39%
585 0.06% -0.03% -0.07% -0.01% 584 0.39%
586 0.04% -0.03% 0.05% 0.01% 585 0.42%
587 0.00% -0.09% -0.09% -0.06% 586 0.43%
588 -0.09% -0.18% -0.08% -0.12% 587 0.43%
589 -0.06% 0.02% -0.09% -0.04% 588 0.43%
590 -0.03% -0.09% 0.02% -0.04% 589 0.44%
591 0.18% 0.07% 0.13% 0.12% 590 0.44%
592 -0.10% -0.22% -0.11% -0.15% 591 0.45%
593 0.05% -0.02% -0.03% 0.00% 592 0.45%
594 -0.07% -0.04% -0.11% -0.07% 593 0.45%
595 -0.13% -0.18% -0.08% -0.14% 594 0.46%
596 0.01% 0.02% -0.05% 0.00% 595 0.46%
597 0.24% 0.09% 0.15% 0.15% 596 0.47%
598 -0.12% -0.05% -0.10% -0.09% 597 0.47%
599 0.10% 0.04% 0.06% 0.06% 598 0.48%
600 0.05% 0.08% 0.02% 0.05% 599 0.48%
601 -0.15% 0.08% -0.15% -0.06% 600 0.49%
602 0.19% 0.17% 0.30% 0.22% 601 0.49%
603 -0.14% 0.01% -0.13% -0.08% 602 0.49%
604 0.03% 0.05% 0.06% 0.05% 603 0.49%
605 0.10% 0.07% 0.06% 0.08% 604 0.50%
606 0.02% 0.05% 0.05% 0.04% 605 0.50%
607 0.06% 0.05% 0.14% 0.08% 606 0.50%
608 -0.09% -0.01% -0.11% -0.06% 607 0.51%
609 0.09% -0.05% 0.02% 0.01% 608 0.53%
610 0.07% -0.02% 0.08% 0.04% 609 0.54%
611 -0.04% -0.01% 0.06% 0.00% 610 0.55%
612 0.06% -0.04% -0.09% -0.02% 611 0.56%
613 0.07% 0.07% 0.14% 0.09% 612 0.56%
614 0.12% 0.06% 0.03% 0.07% 613 0.56%
615 -0.04% -0.04% -0.02% -0.03% 614 0.57%
616 -0.09% -0.08% -0.14% -0.10% 615 0.57%
617 0.05% 0.15% 0.18% 0.13% 616 0.58%
618 0.11% 0.12% 0.17% 0.13% 617 0.58%
619 -0.21% -0.08% -0.28% -0.18% 618 0.58%
620 -0.11% -0.10% -0.10% -0.11% 619 0.58%
621 0.06% -0.06% -0.03% -0.02% 620 0.59%
622 0.19% 0.21% 0.28% 0.22% 621 0.59%
623 -0.10% -0.07% -0.05% -0.07% 622 0.60%
624 -0.17% -0.02% -0.05% -0.08% 623 0.60%
625 0.09% -0.04% 0.02% 0.02% 624 0.60%
626 -0.07% 0.06% 0.01% 0.01% 625 0.60%
627 -0.12% -0.01% -0.03% -0.05% 626 0.60%
628 0.02% 0.17% 0.11% 0.11% 627 0.60%
629 0.01% 0.09% 0.04% 0.05% 628 0.61%
630 -0.06% -0.12% -0.04% -0.08% 629 0.61%
631 -0.01% 0.00% -0.01% -0.01% 630 0.61%
632 -0.13% -0.15% -0.18% -0.15% 631 0.63%
633 -0.03% -0.12% 0.04% -0.05% 632 0.64%
634 -0.10% -0.01% -0.11% -0.07% 633 0.65%
635 -0.05% 0.04% 0.00% 0.00% 634 0.65%
636 0.06% -0.02% 0.15% 0.05% 635 0.66%
637 -0.19% -0.10% -0.17% -0.15% 636 0.66%
638 0.13% -0.01% 0.09% 0.06% 637 0.66%
639 0.05% 0.07% -0.03% 0.03% 638 0.67%
640 -0.14% -0.10% -0.28% -0.17% 639 0.67%
641 0.06% 0.13% -0.04% 0.06% 640 0.67%
642 0.15% 0.11% 0.18% 0.14% 641 0.68%
643 -0.07% -0.05% 0.01% -0.04% 642 0.68%
644 0.16% 0.06% 0.09% 0.10% 643 0.68%
645 -0.16% -0.14% -0.17% -0.16% 644 0.69%
646 -0.15% -0.20% -0.13% -0.17% 645 0.69%
647 0.03% -0.09% 0.05% -0.01% 646 0.69%
648 -0.14% 0.11% -0.02% 0.00% 647 0.70%
649 -0.07% -0.10% -0.05% -0.08% 648 0.70%
650 -0.20% -0.07% -0.22% -0.15% 649 0.70%
651 0.19% 0.37% 0.23% 0.28% 650 0.70%
652 -0.17% -0.21% -0.18% -0.18% 651 0.70%
653 0.13% 0.18% 0.13% 0.15% 652 0.71%
654 0.03% 0.06% 0.14% 0.08% 653 0.71%
655 -0.09% -0.08% -0.09% -0.09% 654 0.71%
656 0.20% 0.08% 0.07% 0.12% 655 0.71%
657 -0.02% 0.06% 0.01% 0.02% 656 0.71%
658 0.08% 0.14% 0.13% 0.12% 657 0.72%
659 -0.05% -0.05% -0.07% -0.06% 658 0.73%
660 -0.12% 0.00% -0.16% -0.08% 659 0.74%
661 -0.01% -0.03% 0.01% -0.01% 660 0.74%
662 -0.10% 0.01% -0.11% -0.06% 661 0.74%
663 -0.09% -0.04% -0.11% -0.08% 662 0.75%
664 0.04% 0.11% 0.08% 0.08% 663 0.76%
665 -0.13% -0.25% -0.19% -0.20% 664 0.76%
666 0.22% 0.14% 0.25% 0.20% 665 0.76%
667 -0.01% -0.01% -0.08% -0.03% 666 0.77%
668 -0.09% 0.05% 0.04% 0.00% 667 0.78%
669 0.00% 0.06% 0.08% 0.05% 668 0.81%
670 0.00% -0.21% -0.04% -0.10% 669 0.81%
671 -0.03% -0.09% -0.04% -0.06% 670 0.82%
672 0.01% -0.12% -0.05% -0.06% 671 0.82%
673 -0.15% -0.07% -0.11% -0.10% 672 0.82%
674 -0.11% -0.02% -0.06% -0.06% 673 0.83%
675 -0.06% -0.01% -0.04% -0.04% 674 0.83%
676 -0.08% -0.08% -0.13% -0.10% 675 0.83%
677 -0.03% -0.15% -0.11% -0.10% 676 0.85%
678 0.15% 0.04% 0.03% 0.07% 677 0.86%
679 0.09% -0.08% 0.02% 0.00% 678 0.87%
680 0.07% -0.11% 0.02% -0.02% 679 0.87%
681 0.07% 0.12% 0.02% 0.08% 680 0.87%
682 -0.04% 0.01% 0.06% 0.01% 681 0.87%
683 0.12% -0.03% 0.07% 0.05% 682 0.88%
684 0.02% -0.02% 0.05% 0.01% 683 0.88%
685 -0.16% -0.22% -0.20% -0.20% 684 0.89%
686 -0.11% -0.03% -0.14% -0.09% 685 0.89%
687 0.05% 0.09% 0.05% 0.07% 686 0.89%
688 0.06% 0.19% 0.06% 0.11% 687 0.89%
689 0.10% -0.04% 0.01% 0.02% 688 0.90%
690 0.04% 0.09% 0.16% 0.09% 689 0.90%
691 0.24% 0.35% 0.21% 0.28% 690 0.90%
692 0.07% -0.06% 0.04% 0.01% 691 0.90%
693 0.00% -0.02% -0.09% -0.03% 692 0.90%
694 -0.04% -0.03% 0.02% -0.02% 693 0.92%
695 -0.03% 0.03% 0.04% 0.02% 694 0.92%
696 0.05% -0.08% -0.08% -0.04% 695 0.93%
697 0.11% 0.10% 0.14% 0.11% 696 0.93%
698 0.03% -0.08% -0.01% -0.03% 697 0.93%
699 0.17% 0.05% 0.10% 0.10% 698 0.94%
700 0.12% 0.15% 0.20% 0.16% 699 0.94%
701 0.04% 0.00% 0.03% 0.02% 700 0.95%
702 0.04% -0.06% -0.08% -0.03% 701 0.96%
703 -0.04% 0.10% 0.04% 0.04% 702 0.96%
704 -0.12% -0.12% -0.09% -0.11% 703 0.97%
705 -0.14% -0.18% -0.22% -0.18% 704 0.97%
706 0.07% 0.08% 0.08% 0.08% 705 0.97%
707 0.00% 0.10% -0.02% 0.03% 706 0.97%
708 0.07% 0.05% 0.04% 0.05% 707 0.98%
709 0.04% -0.14% -0.02% -0.05% 708 0.98%
710 0.03% 0.02% 0.14% 0.06% 709 0.99%
711 -0.11% -0.01% -0.15% -0.08% 710 0.99%
712 -0.17% 0.03% -0.10% -0.07% 711 0.99%
713 -0.04% -0.03% -0.08% -0.05% 712 1.00%
714 -0.03% -0.12% -0.06% -0.08% 713 1.00%
715 -0.06% 0.01% -0.09% -0.04% 714 1.00%
716 0.03% 0.12% 0.18% 0.11% 715 1.00%
717 -0.04% -0.13% -0.13% -0.10% 716 1.00%
718 -0.02% -0.20% -0.02% -0.09% 717 1.00%
719 -0.05% 0.13% -0.02% 0.03% 718 1.01%
720 -0.07% 0.00% -0.12% -0.06% 719 1.02%
721 -0.18% -0.16% -0.24% -0.19% 720 1.02%
722 -0.05% 0.10% 0.04% 0.04% 721 1.03%
723 -0.20% -0.09% -0.31% -0.19% 722 1.04%
724 -0.05% 0.07% 0.03% 0.03% 723 1.04%
725 -0.08% 0.02% -0.04% -0.03% 724 1.04%
726 -0.06% -0.13% -0.11% -0.10% 725 1.05%
727 0.06% 0.19% 0.01% 0.10% 726 1.05%
728 -0.06% 0.05% -0.02% 0.00% 727 1.06%
729 0.11% 0.08% 0.16% 0.11% 728 1.06%
730 0.15% 0.07% 0.11% 0.11% 729 1.06%
731 -0.01% 0.05% -0.04% 0.01% 730 1.07%
732 0.06% 0.14% 0.13% 0.11% 731 1.07%
733 -0.06% 0.03% 0.00% 0.00% 732 1.08%
734 -0.23% -0.20% -0.15% -0.19% 733 1.08%
735 -0.02% -0.03% -0.01% -0.02% 734 1.09%
736 -0.03% 0.03% -0.04% -0.01% 735 1.09%
737 0.09% 0.14% 0.17% 0.13% 736 1.11%
738 0.06% 0.00% 0.07% 0.04% 737 1.11%
739 0.04% 0.06% 0.07% 0.05% 738 1.11%
740 -0.06% -0.11% -0.14% -0.10% 739 1.13%
741 0.02% 0.16% 0.13% 0.11% 740 1.13%
742 0.10% 0.16% 0.19% 0.15% 741 1.14%
743 -0.10% 0.03% -0.01% -0.02% 742 1.14%
744 -0.08% -0.13% -0.12% -0.11% 743 1.15%
745 -0.01% -0.05% 0.01% -0.02% 744 1.16%
746 -0.01% -0.02% 0.02% -0.01% 745 1.17%
747 0.03% 0.03% -0.01% 0.02% 746 1.17%
748 -0.09% -0.21% -0.16% -0.16% 747 1.17%
749 -0.11% -0.06% -0.21% -0.12% 748 1.18%
750 -0.03% -0.10% -0.08% -0.07% 749 1.19%
751 0.13% 0.19% 0.16% 0.16% 750 1.19%
752 0.03% 0.08% 0.08% 0.06% 751 1.19%
753 -0.14% -0.15% -0.10% -0.13% 752 1.19%
754 -0.03% 0.06% -0.05% 0.00% 753 1.20%
755 -0.07% -0.21% -0.17% -0.16% 754 1.21%
756 -0.27% -0.20% -0.26% -0.24% 755 1.21%
757 0.09% 0.15% 0.03% 0.09% 756 1.21%
758 0.04% -0.01% -0.02% 0.00% 757 1.21%
759 -0.02% -0.08% 0.00% -0.04% 758 1.21%
760 0.14% -0.01% 0.06% 0.06% 759 1.21%
761 -0.08% 0.00% -0.06% -0.04% 760 1.23%
762 -0.25% -0.23% -0.25% -0.24% 761 1.23%
763 0.06% 0.04% -0.04% 0.02% 762 1.23%
764 0.04% 0.04% 0.10% 0.06% 763 1.24%
765 -0.09% -0.14% -0.12% -0.12% 764 1.26%
766 -0.12% -0.13% -0.14% -0.13% 765 1.26%
767 0.03% 0.14% 0.13% 0.10% 766 1.27%
768 0.12% 0.02% 0.11% 0.08% 767 1.27%
769 0.05% 0.19% 0.15% 0.14% 768 1.27%
770 0.12% 0.02% 0.10% 0.07% 769 1.29%
771 0.05% 0.09% 0.01% 0.06% 770 1.29%
772 0.10% 0.09% 0.10% 0.09% 771 1.29%
773 -0.13% -0.08% -0.04% -0.08% 772 1.30%
774 -0.07% 0.04% 0.00% -0.01% 773 1.30%
775 -0.21% -0.08% -0.22% -0.16% 774 1.30%
776 -0.16% -0.25% -0.23% -0.21% 775 1.31%
777 -0.12% -0.01% -0.11% -0.08% 776 1.31%
778 -0.15% -0.08% -0.10% -0.11% 777 1.31%
779 0.04% 0.08% 0.05% 0.06% 778 1.32%
780 0.00% -0.01% -0.02% -0.01% 779 1.33%
781 -0.03% -0.08% -0.12% -0.07% 780 1.33%
782 0.03% -0.03% 0.13% 0.03% 781 1.33%
783 0.17% 0.28% 0.28% 0.25% 782 1.33%
784 0.01% 0.02% 0.01% 0.02% 783 1.33%
785 -0.10% -0.10% -0.06% -0.09% 784 1.34%
786 0.13% 0.12% 0.10% 0.12% 785 1.34%
787 -0.05% -0.15% -0.13% -0.11% 786 1.35%
788 -0.08% -0.10% -0.12% -0.10% 787 1.35%
789 -0.04% 0.01% -0.09% -0.04% 788 1.35%
790 -0.10% -0.08% -0.13% -0.10% 789 1.37%
791 0.02% 0.10% 0.06% 0.06% 790 1.38%
792 0.05% -0.05% 0.06% 0.01% 791 1.40%
793 -0.06% 0.08% -0.05% 0.00% 792 1.41%
794 -0.08% -0.14% -0.12% -0.11% 793 1.43%
795 0.09% 0.11% 0.14% 0.11% 794 1.44%
796 0.04% -0.01% 0.08% 0.03% 795 1.44%
797 0.06% 0.03% -0.01% 0.03% 796 1.44%
798 -0.02% -0.02% -0.02% -0.02% 797 1.45%
799 -0.07% -0.15% -0.05% -0.09% 798 1.45%
800 -0.05% -0.04% -0.09% -0.06% 799 1.45%
801 -0.13% 0.06% -0.08% -0.04% 800 1.45%
802 0.00% -0.17% -0.07% -0.09% 801 1.46%
803 0.06% -0.03% -0.05% -0.01% 802 1.47%
804 0.16% 0.24% 0.12% 0.18% 803 1.48%
805 0.11% 0.03% 0.14% 0.09% 804 1.49%
806 -0.05% -0.10% 0.01% -0.05% 805 1.49%
807 0.03% 0.06% 0.11% 0.07% 806 1.49%
808 -0.30% -0.25% -0.22% -0.26% 807 1.51%
809 0.16% 0.09% 0.20% 0.15% 808 1.52%
810 -0.06% -0.11% 0.02% -0.05% 809 1.53%
811 0.09% -0.03% 0.03% 0.02% 810 1.54%
812 -0.05% -0.02% -0.08% -0.05% 811 1.54%
813 0.01% 0.02% 0.00% 0.01% 812 1.56%
814 0.20% 0.09% 0.05% 0.11% 813 1.56%
815 -0.12% -0.12% -0.26% -0.16% 814 1.59%
816 0.06% 0.30% 0.17% 0.19% 815 1.60%
817 -0.01% -0.08% -0.08% -0.06% 816 1.61%
818 0.16% 0.14% 0.15% 0.15% 817 1.61%
819 -0.04% -0.04% 0.01% -0.03% 818 1.62%
820 0.07% -0.05% 0.07% 0.02% 819 1.63%
821 0.10% 0.16% 0.08% 0.12% 820 1.63%
822 0.01% 0.09% -0.02% 0.03% 821 1.63%
823 -0.21% -0.25% -0.33% -0.26% 822 1.63%
824 0.06% 0.07% 0.13% 0.09% 823 1.64%
825 -0.13% 0.03% -0.22% -0.09% 824 1.66%
826 -0.09% -0.14% -0.16% -0.13% 825 1.66%
827 -0.05% 0.06% 0.02% 0.01% 826 1.67%
828 -0.03% 0.09% -0.02% 0.02% 827 1.67%
829 -0.13% -0.12% -0.16% -0.13% 828 1.67%
830 -0.02% 0.07% 0.01% 0.03% 829 1.67%
831 -0.05% -0.09% -0.10% -0.08% 830 1.67%
832 -0.09% -0.09% -0.17% -0.11% 831 1.68%
833 -0.13% -0.16% -0.23% -0.17% 832 1.68%
834 -0.01% -0.06% -0.11% -0.06% 833 1.68%
835 0.06% -0.01% -0.03% 0.01% 834 1.69%
836 -0.07% -0.20% -0.12% -0.14% 835 1.69%
837 -0.13% -0.08% -0.12% -0.11% 836 1.70%
838 0.05% 0.05% 0.04% 0.05% 837 1.70%
839 -0.17% -0.08% -0.11% -0.12% 838 1.71%
840 0.05% 0.06% 0.08% 0.06% 839 1.71%
841 0.06% 0.10% 0.12% 0.09% 840 1.73%
842 0.03% 0.14% 0.14% 0.11% 841 1.73%
843 0.11% 0.08% 0.11% 0.10% 842 1.73%
844 -0.15% 0.02% -0.05% -0.05% 843 1.75%
845 -0.03% 0.01% -0.07% -0.03% 844 1.75%
846 0.01% -0.10% -0.04% -0.05% 845 1.76%
847 -0.02% -0.13% -0.07% -0.08% 846 1.77%
848 0.09% 0.04% 0.14% 0.09% 847 1.77%
849 -0.21% -0.06% -0.14% -0.13% 848 1.78%
850 0.06% -0.17% -0.04% -0.06% 849 1.80%
851 -0.07% -0.04% -0.02% -0.04% 850 1.81%
852 0.08% 0.21% 0.08% 0.13% 851 1.84%
853 -0.07% -0.08% -0.17% -0.10% 852 1.85%
854 -0.08% -0.12% -0.10% -0.10% 853 1.85%
855 -0.03% 0.04% 0.11% 0.04% 854 1.85%
856 0.09% 0.04% 0.12% 0.08% 855 1.85%
857 0.14% -0.05% 0.01% 0.02% 856 1.86%
858 0.03% -0.02% -0.10% -0.03% 857 1.86%
859 0.06% 0.13% 0.04% 0.08% 858 1.86%
860 0.07% 0.02% 0.08% 0.05% 859 1.87%
861 0.02% -0.01% 0.02% 0.01% 860 1.87%
862 0.11% 0.06% 0.04% 0.07% 861 1.87%
863 0.00% 0.03% 0.09% 0.04% 862 1.87%
864 0.13% 0.16% 0.21% 0.17% 863 1.88%
865 0.04% 0.12% 0.04% 0.07% 864 1.88%
866 0.07% 0.04% 0.17% 0.09% 865 1.89%
867 0.06% 0.08% -0.02% 0.04% 866 1.91%
868 0.00% 0.10% -0.02% 0.04% 867 1.91%
869 0.15% 0.13% 0.16% 0.15% 868 1.92%
870 -0.03% 0.02% 0.01% 0.00% 869 1.92%
871 0.05% 0.04% 0.01% 0.03% 870 1.94%
872 -0.15% -0.20% -0.16% -0.17% 871 1.95%
873 -0.17% -0.09% -0.03% -0.10% 872 1.95%
874 0.01% -0.04% -0.07% -0.03% 873 1.97%
875 0.08% 0.01% 0.05% 0.04% 874 1.97%
876 0.03% 0.12% 0.17% 0.11% 875 1.97%
877 0.04% -0.11% -0.02% -0.04% 876 1.97%
878 -0.04% -0.09% -0.04% -0.06% 877 1.97%
879 0.07% 0.17% 0.04% 0.10% 878 1.98%
880 0.02% -0.03% 0.03% 0.01% 879 1.99%
881 -0.12% -0.17% -0.22% -0.17% 880 2.00%
882 0.02% 0.14% -0.02% 0.06% 881 2.00%
883 0.11% 0.03% 0.03% 0.06% 882 2.01%
884 -0.03% -0.03% -0.02% -0.02% 883 2.02%
885 -0.06% -0.01% -0.02% -0.03% 884 2.04%
886 -0.12% 0.08% 0.04% 0.01% 885 2.04%
887 -0.12% -0.05% 0.00% -0.05% 886 2.04%
888 -0.09% -0.05% -0.07% -0.07% 887 2.05%
889 0.17% 0.15% 0.21% 0.17% 888 2.05%
890 0.05% -0.12% -0.10% -0.06% 889 2.06%
891 0.19% 0.23% 0.21% 0.21% 890 2.06%
892 -0.07% -0.19% -0.12% -0.14% 891 2.10%
893 -0.05% -0.07% -0.07% -0.07% 892 2.11%
894 0.06% 0.16% 0.13% 0.12% 893 2.14%
895 0.04% -0.16% -0.06% -0.07% 894 2.14%
896 -0.05% -0.03% 0.00% -0.03% 895 2.16%
897 -0.08% 0.00% -0.09% -0.05% 896 2.17%
898 0.07% 0.01% -0.02% 0.02% 897 2.17%
899 0.02% -0.07% 0.02% -0.02% 898 2.18%
900 0.14% 0.10% 0.15% 0.13% 899 2.19%
901 0.08% 0.06% 0.10% 0.08% 900 2.20%
902 0.10% 0.03% 0.11% 0.08% 901 2.21%
903 -0.16% 0.00% -0.12% -0.08% 902 2.21%
904 0.04% 0.15% 0.03% 0.08% 903 2.21%
905 0.15% 0.01% 0.02% 0.05% 904 2.22%
906 -0.15% -0.13% -0.20% -0.16% 905 2.22%
907 0.23% 0.23% 0.28% 0.25% 906 2.22%
908 0.10% 0.13% 0.09% 0.11% 907 2.24%
909 -0.15% -0.22% -0.29% -0.22% 908 2.25%
910 0.01% 0.03% 0.08% 0.04% 909 2.26%
911 -0.26% -0.23% -0.23% -0.24% 910 2.26%
912 -0.01% 0.00% -0.04% -0.02% 911 2.27%
913 0.02% -0.08% 0.00% -0.03% 912 2.27%
914 -0.09% -0.05% -0.15% -0.09% 913 2.29%
915 0.12% 0.11% 0.17% 0.13% 914 2.30%
916 0.09% 0.04% 0.13% 0.08% 915 2.31%
917 -0.01% -0.21% 0.00% -0.09% 916 2.32%
918 0.07% 0.00% 0.08% 0.04% 917 2.38%
919 0.01% 0.13% 0.10% 0.09% 918 2.38%
920 -0.03% 0.06% -0.04% 0.00% 919 2.44%
921 0.13% 0.08% 0.11% 0.11% 920 2.46%
922 -0.05% -0.07% 0.06% -0.02% 921 2.47%
923 0.07% -0.15% 0.01% -0.03% 922 2.47%
924 0.25% 0.23% 0.25% 0.24% 923 2.48%
925 -0.06% -0.14% -0.15% -0.12% 924 2.50%
926 0.21% 0.03% 0.16% 0.12% 925 2.51%
927 0.10% 0.05% -0.01% 0.05% 926 2.51%
928 -0.05% -0.07% -0.09% -0.07% 927 2.51%
929 -0.02% -0.08% 0.03% -0.03% 928 2.52%
930 -0.17% -0.14% -0.23% -0.18% 929 2.53%
931 0.00% -0.03% 0.02% 0.00% 930 2.53%
932 0.03% -0.09% 0.03% -0.02% 931 2.55%
933 0.06% -0.07% 0.01% 0.00% 932 2.57%
934 0.04% 0.11% 0.11% 0.09% 933 2.58%
935 0.10% 0.09% 0.10% 0.10% 934 2.59%
936 -0.02% 0.10% 0.04% 0.05% 935 2.59%
937 -0.09% -0.13% -0.17% -0.13% 936 2.59%
938 0.05% 0.13% 0.04% 0.08% 937 2.61%
939 -0.01% 0.04% -0.06% 0.00% 938 2.64%
940 -0.11% -0.12% -0.20% -0.14% 939 2.66%
941 0.06% 0.15% 0.15% 0.12% 940 2.67%
942 0.06% 0.02% 0.06% 0.04% 941 2.67%
943 -0.01% -0.03% 0.01% -0.01% 942 2.70%
944 -0.06% -0.01% 0.02% -0.02% 943 2.72%
945 0.04% 0.07% 0.08% 0.06% 944 2.75%
946 -0.01% -0.07% 0.00% -0.03% 945 2.75%
947 -0.19% -0.08% -0.11% -0.12% 946 2.77%
948 -0.01% -0.03% -0.04% -0.03% 947 2.78%
949 0.02% 0.07% 0.02% 0.04% 948 2.78%
950 0.02% 0.03% 0.09% 0.04% 949 2.78%
951 0.00% -0.03% 0.05% 0.00% 950 2.80%
952 0.07% -0.03% -0.04% -0.01% 951 2.81%
953 -0.12% -0.06% -0.15% -0.10% 952 2.82%
954 -0.06% -0.04% -0.07% -0.05% 953 2.83%
955 -0.09% -0.29% -0.13% -0.18% 954 2.85%
956 0.04% -0.11% 0.06% -0.01% 955 2.85%
957 0.00% 0.07% 0.05% 0.04% 956 2.86%
958 0.24% 0.03% 0.26% 0.16% 957 2.88%
959 -0.11% -0.05% -0.14% -0.09% 958 2.94%
960 0.01% 0.04% 0.08% 0.04% 959 2.96%
961 -0.15% -0.14% -0.19% -0.16% 960 2.96%
962 0.07% 0.16% 0.05% 0.10% 961 2.96%
963 0.07% -0.02% 0.08% 0.04% 962 2.98%
964 -0.12% -0.11% -0.22% -0.14% 963 2.98%
965 -0.18% -0.11% -0.18% -0.15% 964 2.99%
966 -0.17% -0.05% -0.29% -0.16% 965 3.00%
967 0.16% 0.16% 0.05% 0.13% 966 3.05%
968 -0.10% 0.02% -0.15% -0.07% 967 3.10%
969 0.04% -0.04% 0.02% 0.00% 968 3.11%
970 -0.07% -0.05% -0.07% -0.06% 969 3.14%
971 0.05% -0.01% -0.10% -0.02% 970 3.19%
972 0.03% -0.04% 0.12% 0.03% 971 3.21%
973 0.05% 0.03% 0.16% 0.07% 972 3.22%
974 -0.03% -0.09% -0.10% -0.07% 973 3.22%
975 0.05% 0.09% 0.08% 0.08% 974 3.22%
976 0.00% -0.04% 0.05% 0.00% 975 3.23%
977 0.13% 0.02% 0.09% 0.08% 976 3.25%
978 -0.03% -0.05% -0.01% -0.03% 977 3.29%
979 0.12% 0.14% 0.14% 0.14% 978 3.36%
980 0.05% -0.08% -0.03% -0.03% 979 3.39%
981 -0.01% 0.00% -0.05% -0.02% 980 3.40%
982 -0.19% -0.16% -0.23% -0.19% 981 3.41%
983 0.01% 0.02% 0.08% 0.03% 982 3.46%
984 0.05% 0.05% -0.01% 0.03% 983 3.52%
985 0.15% 0.19% 0.11% 0.15% 984 3.62%
 986 0.17% 0.22% 0.24% 0.21% 985 3.63%
987 -0.17% -0.03% -0.24% -0.13% 986 3.65%
988 -0.04% 0.04% 0.09% 0.03% 987 3.67%
989 0.03% 0.11% 0.04% 0.06% 988 3.72%
990 0.04% -0.10% -0.02% -0.03% 989 3.72%
991 0.12% 0.12% 0.17% 0.13% 990 3.73%
992 -0.01% 0.07% -0.07% 0.00% 991 3.73%
993 -0.15% -0.33% -0.22% -0.24% 992 3.75%
994 0.19% 0.14% 0.07% 0.13% 993 3.83%
995 -0.12% -0.07% -0.15% -0.11% 994 3.94%
996 -0.06% -0.10% -0.06% -0.08% 995 4.06%
997 0.13% 0.24% 0.06% 0.15% 996 4.24%
998 0.12% 0.12% 0.11% 0.12% 997 4.31%
999 0.12% 0.24% 0.15% 0.18% 998 4.44%
1000 -0.07% -0.19% -0.16% -0.15% 999 4.64%
1000 4.81%
ns in Ascending Order
VaR Using Monte Carlo Simulation Method
Total No. of Returns 1000 1000 1000
0 CI 99% 95% 90%
Alpha 1% 5% 10%
VaR is at Position 10 50 100
VaR is at Position (Rounded) 10 50 100
Returns at specific position -3.54% -2.72% -2.01%
Portfolio Value $ 1,000,000 $ 1,000,000 $ 1,000,000
1 Day VaR $ (35,447) $ (27,202) $ (20,115)
Expected Shortfall $ (42,764) $ (32,879) $ (28,021)
10 Day VaR $ (112,094) $ (86,020) $ (63,608)

This chart isn't available in your version of Excel.

VaR (90%)
Editing this shape or saving this workbook into a different file format will permanently break the chart.
VaR (99%)

VaR (95%)
 Percentile Approach
99% 95% 90%
-3.54% -2.72% -2.01%
$ 1,000,000 $ 1,000,000 $ 1,000,000
$ (35,442) $ (27,185) $ (20,095)

ll permanently break the chart.

Historical Price Returns
Date JPM MS BAC Date JPM MS
8/1/2022 110.73 81.16 32.55 8/1/2022
8/2/2022 109.01 80.62 31.90 8/2/2022 -1.56% -0.67%
8/3/2022 110.15 82.08 32.48 8/3/2022 1.05% 1.82%
8/4/2022 108.94 82.38 32.25 8/4/2022 -1.10% 0.36%
8/5/2022 112.23 83.12 32.79 8/5/2022 3.03% 0.90%
8/8/2022 110.87 83.03 32.33 8/8/2022 -1.22% -0.12%
8/9/2022 111.87 83.35 32.75 8/9/2022 0.90% 0.38%
8/10/2022 114.78 85.79 33.86 8/10/2022 2.61% 2.93%
8/11/2022 116.48 87.05 34.67 8/11/2022 1.48% 1.47%
8/12/2022 118.41 88.46 35.05 8/12/2022 1.66% 1.62%
8/15/2022 118.73 88.81 35.00 8/15/2022 0.27% 0.39%
8/16/2022 119.86 88.62 35.38 8/16/2022 0.96% -0.22%
8/17/2022 118.86 88.16 35.15 8/17/2022 -0.84% -0.51%
8/18/2022 117.94 88.53 35.03 8/18/2022 -0.77% 0.42%
8/19/2022 115.02 86.87 34.26 8/19/2022 -2.47% -1.88%
8/22/2022 113.12 85.37 33.52 8/22/2022 -1.65% -1.72%
8/23/2022 112.00 85.22 33.22 8/23/2022 -0.99% -0.18%
8/24/2022 112.27 85.51 33.33 8/24/2022 0.24% 0.34%
8/25/2022 114.94 86.77 33.93 8/25/2022 2.37% 1.48%
8/26/2022 111.18 83.78 32.86 8/26/2022 -3.27% -3.45%
8/29/2022 110.91 82.37 32.73 8/29/2022 -0.24% -1.68%
8/30/2022 110.93 81.48 32.91 8/30/2022 0.02% -1.08%
8/31/2022 110.27 82.25 32.45 8/31/2022 -0.59% 0.94%
9/1/2022 111.02 83.16 32.53 9/1/2022 0.69% 1.11%
9/2/2022 110.25 83.39 32.49 9/2/2022 -0.70% 0.27%
9/6/2022 110.28 82.16 32.13 9/6/2022 0.03% -1.47%
9/7/2022 112.37 83.83 32.63 9/7/2022 1.90% 2.03%
9/8/2022 114.99 85.35 33.68 9/8/2022 2.33% 1.82%
9/9/2022 115.54 86.34 33.96 9/9/2022 0.48% 1.15%
9/12/2022 116.91 87.00 34.28 9/12/2022 1.18% 0.77%
9/13/2022 112.85 84.01 33.04 9/13/2022 -3.47% -3.44%
9/14/2022 112.58 84.14 32.92 9/14/2022 -0.23% 0.15%
9/15/2022 114.28 85.18 33.54 9/15/2022 1.51% 1.24%
9/16/2022 113.51 84.38 33.16 9/16/2022 -0.67% -0.94%
9/19/2022 114.56 85.62 33.71 9/19/2022 0.92% 1.48%
9/20/2022 112.30 84.15 33.21 9/20/2022 -1.97% -1.72%
9/21/2022 109.06 83.35 32.22 9/21/2022 -2.88% -0.95%
9/22/2022 107.82 81.81 31.59 9/22/2022 -1.14% -1.84%
9/23/2022 105.82 78.67 30.84 9/23/2022 -1.86% -3.85%
9/26/2022 103.54 76.98 30.16 9/26/2022 -2.15% -2.15%
9/27/2022 102.63 76.71 29.71 9/27/2022 -0.88% -0.35%
9/28/2022 104.70 78.63 30.20 9/28/2022 2.02% 2.50%
9/29/2022 102.93 77.07 29.80 9/29/2022 -1.69% -1.98%
 9/30/2022 101.32 76.25 29.35 9/30/2022 -1.56% -1.06%
10/3/2022 104.45 77.58 30.22 10/3/2022 3.09% 1.73%
10/4/2022 109.34 81.04 31.47 10/4/2022 4.68% 4.47%
10/5/2022 107.99 80.21 31.02 10/5/2022 -1.23% -1.02%
10/6/2022 105.78 78.47 30.57 10/6/2022 -2.04% -2.17%
10/7/2022 103.67 76.18 29.88 10/7/2022 -2.00% -2.93%
10/10/2022 102.70 75.67 29.80 10/10/2022 -0.93% -0.66%
10/11/2022 99.74 74.31 28.93 10/11/2022 -2.89% -1.80%
10/12/2022 101.35 73.93 29.02 10/12/2022 1.62% -0.52%
10/13/2022 106.99 76.55 30.80 10/13/2022 5.56% 3.55%
10/14/2022 108.77 72.67 30.81 10/14/2022 1.66% -5.07%
10/17/2022 113.34 74.45 32.67 10/17/2022 4.20% 2.44%
10/18/2022 116.25 76.67 33.90 10/18/2022 2.57% 2.98%
10/19/2022 113.97 74.93 32.97 10/19/2022 -1.96% -2.27%
10/20/2022 113.60 73.93 32.75 10/20/2022 -0.33% -1.34%
10/21/2022 119.57 76.46 33.97 10/21/2022 5.25% 3.42%
10/24/2022 119.71 76.66 34.08 10/24/2022 0.12% 0.27%
10/25/2022 120.03 77.70 34.39 10/25/2022 0.26% 1.36%
10/26/2022 121.41 78.09 34.70 10/26/2022 1.15% 0.50%
10/27/2022 121.89 77.87 34.86 10/27/2022 0.39% -0.27%
10/28/2022 123.33 80.12 35.16 10/28/2022 1.19% 2.88%
10/31/2022 123.14 80.07 35.03 10/31/2022 -0.16% -0.06%
11/1/2022 125.36 81.58 35.18 11/1/2022 1.80% 1.89%
11/2/2022 124.20 82.22 35.07 11/2/2022 -0.92% 0.78%
11/3/2022 124.43 81.49 34.88 11/3/2022 0.18% -0.89%
11/4/2022 127.83 82.68 35.75 11/4/2022 2.74% 1.47%
11/7/2022 128.51 83.39 35.97 11/7/2022 0.53% 0.85%
11/8/2022 128.59 83.10 36.07 11/8/2022 0.06% -0.34%
11/9/2022 126.91 81.32 35.49 11/9/2022 -1.30% -2.15%
11/10/2022 132.14 86.53 37.06 11/10/2022 4.12% 6.41%
11/11/2022 132.35 88.46 37.33 11/11/2022 0.16% 2.23%
11/14/2022 130.99 87.52 36.70 11/14/2022 -1.03% -1.07%
11/15/2022 130.04 88.19 36.64 11/15/2022 -0.72% 0.77%
11/16/2022 130.22 87.53 36.31 11/16/2022 0.14% -0.75%
11/17/2022 129.65 86.68 36.12 11/17/2022 -0.44% -0.97%
11/18/2022 130.92 86.92 36.14 11/18/2022 0.98% 0.28%
11/21/2022 130.15 86.81 36.26 11/21/2022 -0.59% -0.13%
11/22/2022 132.10 87.38 36.44 11/22/2022 1.50% 0.66%
11/23/2022 133.51 87.63 36.55 11/23/2022 1.07% 0.29%
11/25/2022 133.76 88.59 36.64 11/25/2022 0.19% 1.09%
11/28/2022 131.42 87.59 35.82 11/28/2022 -1.75% -1.12%
11/29/2022 133.59 88.75 35.96 11/29/2022 1.64% 1.32%
11/30/2022 135.17 90.69 36.78 11/30/2022 1.19% 2.18%
12/1/2022 133.27 90.63 35.73 12/1/2022 -1.40% -0.08%
12/2/2022 132.22 89.75 35.27 12/2/2022 -0.79% -0.97%
 12/5/2022 128.51 87.52 33.70 12/5/2022 -2.80% -2.49%
12/6/2022 128.72 85.28 32.26 12/6/2022 0.17% -2.56%
12/7/2022 128.64 85.05 32.00 12/7/2022 -0.07% -0.26%
12/8/2022 129.99 86.43 31.71 12/8/2022 1.05% 1.62%
12/9/2022 129.28 87.19 31.65 12/9/2022 -0.54% 0.88%
12/12/2022 131.29 88.79 32.00 12/12/2022 1.55% 1.84%
12/13/2022 131.16 90.34 32.01 12/13/2022 -0.10% 1.74%
12/14/2022 130.50 88.19 31.56 12/14/2022 -0.50% -2.38%
12/15/2022 127.27 85.55 31.06 12/15/2022 -2.48% -2.99%
12/16/2022 126.47 84.64 30.99 12/16/2022 -0.62% -1.06%
12/19/2022 127.23 83.37 31.34 12/19/2022 0.60% -1.51%
12/20/2022 127.84 82.99 31.47 12/20/2022 0.48% -0.46%
12/21/2022 129.28 84.65 31.95 12/21/2022 1.12% 2.01%
12/22/2022 127.81 84.16 31.66 12/22/2022 -1.13% -0.58%
12/23/2022 128.42 83.91 31.74 12/23/2022 0.47% -0.30%
12/27/2022 128.87 82.89 31.80 12/27/2022 0.35% -1.22%
12/28/2022 129.57 82.30 32.03 12/28/2022 0.55% -0.71%
12/29/2022 130.32 83.06 32.40 12/29/2022 0.57% 0.92%
12/30/2022 131.18 82.85 32.38 12/30/2022 0.66% -0.26%
1/3/2023 132.18 83.53 32.76 1/3/2023 0.76% 0.82%
1/4/2023 133.41 84.44 33.37 1/4/2023 0.93% 1.08%
1/5/2023 133.38 83.73 33.30 1/5/2023 -0.02% -0.84%
1/6/2023 135.93 85.32 33.64 1/6/2023 1.91% 1.91%
1/9/2023 135.37 85.40 33.13 1/9/2023 -0.41% 0.09%
1/10/2023 136.58 86.65 33.35 1/10/2023 0.90% 1.46%
1/11/2023 137.60 87.15 33.61 1/11/2023 0.74% 0.57%
1/12/2023 137.46 88.22 33.70 1/12/2023 -0.10% 1.23%
1/13/2023 140.93 89.32 34.44 1/13/2023 2.52% 1.25%
1/17/2023 138.75 94.60 33.74 1/17/2023 -1.55% 5.91%
1/18/2023 134.58 94.11 32.96 1/18/2023 -3.00% -0.52%
1/19/2023 132.79 91.75 32.48 1/19/2023 -1.33% -2.52%
1/20/2023 133.11 93.78 33.09 1/20/2023 0.24% 2.22%
1/23/2023 135.27 94.65 33.55 1/23/2023 1.62% 0.92%
1/24/2023 136.43 93.07 33.79 1/24/2023 0.86% -1.67%
1/25/2023 137.10 93.20 34.09 1/25/2023 0.48% 0.14%
1/26/2023 137.94 94.04 34.55 1/26/2023 0.62% 0.90%
1/27/2023 138.28 94.39 34.65 1/27/2023 0.24% 0.37%
1/30/2023 137.11 94.26 34.51 1/30/2023 -0.85% -0.13%
1/31/2023 137.92 95.61 34.68 1/31/2023 0.60% 1.43%
2/1/2023 137.56 96.45 35.11 2/1/2023 -0.26% 0.88%
2/2/2023 136.92 97.46 35.32 2/2/2023 -0.47% 1.04%
2/3/2023 139.04 97.67 35.61 2/3/2023 1.55% 0.22%
2/6/2023 139.85 97.15 35.55 2/6/2023 0.59% -0.53%
2/7/2023 141.56 97.47 35.94 2/7/2023 1.22% 0.32%
2/8/2023 140.56 97.21 35.68 2/8/2023 -0.70% -0.26%
 2/9/2023 138.38 96.32 34.92 2/9/2023 -1.56% -0.92%
2/10/2023 138.99 96.70 34.78 2/10/2023 0.44% 0.40%
2/13/2023 140.49 97.67 34.85 2/13/2023 1.08% 1.01%
2/14/2023 141.12 98.78 34.82 2/14/2023 0.44% 1.14%
2/15/2023 141.71 99.05 34.76 2/15/2023 0.42% 0.27%
2/16/2023 139.76 97.81 34.49 2/16/2023 -1.38% -1.25%
2/17/2023 140.17 97.75 34.56 2/17/2023 0.30% -0.06%
2/21/2023 137.60 95.89 33.74 2/21/2023 -1.83% -1.90%
2/22/2023 136.54 95.55 33.52 2/22/2023 -0.77% -0.36%
2/23/2023 137.64 96.21 33.49 2/23/2023 0.80% 0.69%
2/24/2023 138.88 95.97 33.44 2/24/2023 0.90% -0.25%
2/27/2023 140.09 94.99 33.44 2/27/2023 0.87% -1.02%
2/28/2023 141.26 94.79 33.53 2/28/2023 0.84% -0.21%
3/1/2023 140.48 94.49 33.37 3/1/2023 -0.56% -0.32%
3/2/2023 139.02 94.38 32.95 3/2/2023 -1.04% -0.11%
3/3/2023 141.57 96.59 33.61 3/3/2023 1.84% 2.34%
3/6/2023 140.74 96.64 33.54 3/6/2023 -0.58% 0.05%
3/7/2023 136.60 94.36 32.47 3/7/2023 -2.94% -2.36%
3/8/2023 135.79 94.21 32.04 3/8/2023 -0.59% -0.17%
3/9/2023 128.44 90.57 30.05 3/9/2023 -5.41% -3.86%
3/10/2023 131.70 88.46 29.78 3/10/2023 2.54% -2.33%
3/13/2023 129.34 86.44 28.05 3/13/2023 -1.80% -2.29%
3/14/2023 132.66 88.38 28.30 3/14/2023 2.57% 2.25%
3/15/2023 126.39 83.88 28.03 3/15/2023 -4.72% -5.09%
3/16/2023 128.85 85.47 28.50 3/16/2023 1.94% 1.90%
3/17/2023 123.98 82.69 27.37 3/17/2023 -3.78% -3.25%
3/20/2023 125.29 84.13 27.30 3/20/2023 1.06% 1.73%
3/21/2023 128.65 87.19 28.13 3/21/2023 2.68% 3.64%
3/22/2023 125.33 86.00 27.19 3/22/2023 -2.58% -1.36%
3/23/2023 124.99 84.32 26.54 3/23/2023 -0.27% -1.95%
3/24/2023 123.09 82.47 26.70 3/24/2023 -1.52% -2.20%
3/27/2023 126.62 83.14 28.03 3/27/2023 2.87% 0.82%
3/28/2023 127.00 83.38 27.67 3/28/2023 0.30% 0.28%
3/29/2023 127.26 84.72 28.21 3/29/2023 0.20% 1.60%
3/30/2023 126.88 84.59 27.84 3/30/2023 -0.30% -0.15%
3/31/2023 128.41 86.25 28.14 3/31/2023 1.21% 1.96%
4/3/2023 128.27 85.62 28.13 4/3/2023 -0.12% -0.73%
4/4/2023 126.55 83.32 27.53 4/4/2023 -1.34% -2.68%
4/5/2023 126.74 82.34 27.19 4/5/2023 0.15% -1.18%
4/6/2023 126.60 82.70 27.39 4/6/2023 -0.11% 0.44%
4/10/2023 127.02 82.52 27.49 4/10/2023 0.33% -0.23%
4/11/2023 127.64 83.59 28.25 4/11/2023 0.49% 1.30%
4/12/2023 127.62 83.96 28.02 4/12/2023 -0.02% 0.45%
4/13/2023 128.11 84.18 28.10 4/13/2023 0.38% 0.26%
4/14/2023 137.78 85.18 29.04 4/14/2023 7.55% 1.19%
4/17/2023 138.88 87.71 29.88 4/17/2023 0.79% 2.98%
4/18/2023 140.44 88.26 30.07 4/18/2023 1.12% 0.63%
4/19/2023 140.26 88.85 29.58 4/19/2023 -0.13% 0.67%
4/20/2023 139.85 88.83 29.42 4/20/2023 -0.29% -0.02%
4/21/2023 139.58 89.51 29.39 4/21/2023 -0.19% 0.76%
4/24/2023 139.77 88.61 29.28 4/24/2023 0.14% -1.01%
4/25/2023 136.73 86.50 28.38 4/25/2023 -2.17% -2.37%
4/26/2023 134.31 86.88 27.98 4/26/2023 -1.77% 0.43%
4/27/2023 136.12 88.66 28.42 4/27/2023 1.35% 2.06%
4/28/2023 137.30 89.15 28.81 4/28/2023 0.87% 0.54%
5/1/2023 140.24 87.12 28.57 5/1/2023 2.14% -2.27%
5/2/2023 137.97 85.50 27.71 5/2/2023 -1.61% -1.87%
5/3/2023 135.05 83.97 27.41 5/3/2023 -2.12% -1.78%
5/4/2023 133.21 81.85 26.56 5/4/2023 -1.37% -2.53%
5/5/2023 135.81 84.10 27.26 5/5/2023 1.95% 2.75%
5/8/2023 136.14 83.66 27.24 5/8/2023 0.24% -0.53%
5/9/2023 135.48 83.60 27.21 5/9/2023 -0.48% -0.07%
5/10/2023 135.55 82.95 26.88 5/10/2023 0.05% -0.77%
5/11/2023 135.12 81.87 26.95 5/11/2023 -0.32% -1.30%
5/12/2023 133.19 81.63 26.65 5/12/2023 -1.43% -0.29%
5/15/2023 134.31 82.19 27.20 5/15/2023 0.84% 0.68%
5/16/2023 133.40 81.11 26.92 5/16/2023 -0.67% -1.31%
5/17/2023 137.51 83.14 28.11 5/17/2023 3.07% 2.50%
5/18/2023 138.55 83.72 28.01 5/18/2023 0.76% 0.69%
5/19/2023 138.23 81.49 27.66 5/19/2023 -0.23% -2.66%
5/22/2023 137.09 81.52 27.88 5/22/2023 -0.83% 0.04%
5/23/2023 135.66 81.88 28.12 5/23/2023 -1.04% 0.45%
5/24/2023 134.42 80.48 27.65 5/24/2023 -0.92% -1.72%
5/25/2023 134.74 82.24 27.72 5/25/2023 0.24% 2.19%
5/26/2023 136.01 83.13 27.85 5/26/2023 0.94% 1.08%
5/30/2023 136.52 82.66 27.80 5/30/2023 0.38% -0.57%
5/31/2023 134.78 81.01 27.34 5/31/2023 -1.27% -1.99%
6/1/2023 136.64 81.32 27.55 6/1/2023 1.38% 0.38%
6/2/2023 139.51 83.58 28.47 6/2/2023 2.10% 2.78%
6/5/2023 138.14 82.97 28.30 6/5/2023 -0.98% -0.72%
6/6/2023 138.39 85.07 28.99 6/6/2023 0.18% 2.53%
6/7/2023 139.73 85.71 29.24 6/7/2023 0.97% 0.75%
6/8/2023 139.77 85.52 28.99 6/8/2023 0.03% -0.22%
6/9/2023 140.05 85.42 29.03 6/9/2023 0.20% -0.12%
6/12/2023 140.04 86.64 28.89 6/12/2023 -0.01% 1.43%
6/13/2023 141.05 87.47 29.16 6/13/2023 0.72% 0.96%
6/14/2023 140.52 87.17 28.88 6/14/2023 -0.37% -0.34%
6/15/2023 142.11 88.23 29.13 6/15/2023 1.13% 1.22%
6/16/2023 142.28 87.28 28.95 6/16/2023 0.12% -1.08%
6/20/2023 141.56 85.94 28.63 6/20/2023 -0.51% -1.54%
6/21/2023 141.35 85.55 28.33 6/21/2023 -0.15% -0.45%
6/22/2023 138.63 83.73 27.73 6/22/2023 -1.93% -2.13%
6/23/2023 137.90 82.81 27.52 6/23/2023 -0.52% -1.09%
6/26/2023 138.24 82.82 27.86 6/26/2023 0.24% 0.01%
6/27/2023 138.25 83.66 28.01 6/27/2023 0.01% 1.00%
6/28/2023 137.64 83.22 27.84 6/28/2023 -0.44% -0.52%
6/29/2023 142.45 84.46 28.42 6/29/2023 3.49% 1.49%
6/30/2023 144.45 84.62 28.45 6/30/2023 1.40% 0.19%
7/3/2023 145.61 85.62 28.96 7/3/2023 0.80% 1.18%
7/5/2023 144.64 85.13 28.84 7/5/2023 -0.67% -0.57%
7/6/2023 143.21 82.57 28.05 7/6/2023 -0.99% -3.01%
7/7/2023 144.34 82.60 28.29 7/7/2023 0.79% 0.04%
7/10/2023 145.15 82.64 28.42 7/10/2023 0.56% 0.05%
7/11/2023 147.42 84.18 28.78 7/11/2023 1.56% 1.87%
7/12/2023 148.15 84.98 29.12 7/12/2023 0.50% 0.95%
7/13/2023 148.87 85.42 29.42 7/13/2023 0.49% 0.51%
7/14/2023 149.77 84.99 28.87 7/14/2023 0.60% -0.50%
7/17/2023 153.38 85.58 29.16 7/17/2023 2.41% 0.69%
7/18/2023 153.66 91.10 30.45 7/18/2023 0.18% 6.45%
7/19/2023 154.25 92.31 31.27 7/19/2023 0.38% 1.33%
7/20/2023 156.15 92.94 31.43 7/20/2023 1.23% 0.69%
7/21/2023 154.95 93.15 31.72 7/21/2023 -0.77% 0.22%
7/24/2023 158.00 93.80 32.38 7/24/2023 1.97% 0.70%
7/25/2023 156.82 93.55 31.88 7/25/2023 -0.75% -0.26%
7/26/2023 157.76 92.68 32.14 7/26/2023 0.60% -0.93%
7/27/2023 156.02 91.90 31.69 7/27/2023 -1.10% -0.84%
7/28/2023 156.91 91.57 31.64 7/28/2023 0.57% -0.36%
7/31/2023 157.96 91.56 31.74 7/31/2023 0.67% -0.01%
8/1/2023 157.18 90.94 31.36 8/1/2023 -0.49% -0.68%
 Assumptions
BAC Assumption JPM MS BAC Date
Weights 30% 40% 30% 8/1/2022
-1.99% 8/2/2022
1.82% w1*r1 + w2*r2 +w3*r3 8/3/2022
-0.71% 8/4/2022
1.68% 8/5/2022
-1.38% 8/8/2022
1.28% 8/9/2022
3.39% 8/10/2022
2.40% 8/11/2022
1.09% 8/12/2022
-0.14% 8/15/2022
1.08% 8/16/2022
-0.63% 8/17/2022
-0.36% 8/18/2022
-2.21% 8/19/2022
-2.14% 8/22/2022
-0.89% 8/23/2022
0.32% 8/24/2022
1.80% 8/25/2022
-3.16% 8/26/2022
-0.38% 8/29/2022
0.56% 8/30/2022
-1.41% 8/31/2022
0.24% 9/1/2022
-0.12% 9/2/2022
-1.11% 9/6/2022
1.54% 9/7/2022
3.22% 9/8/2022
0.84% 9/9/2022
0.94% 9/12/2022
-3.60% 9/13/2022
-0.38% 9/14/2022
1.89% 9/15/2022
-1.13% 9/16/2022
1.67% 9/19/2022
-1.50% 9/20/2022
-2.99% 9/21/2022
-1.96% 9/22/2022
-2.37% 9/23/2022
-2.21% 9/26/2022
-1.48% 9/27/2022
1.64% 9/28/2022
-1.32% 9/29/2022
-1.50% 9/30/2022
2.95% 10/3/2022
4.15% 10/4/2022
-1.42% 10/5/2022
-1.44% 10/6/2022
-2.26% 10/7/2022
-0.29% 10/10/2022
-2.90% 10/11/2022
0.30% 10/12/2022
6.13% 10/13/2022
0.03% 10/14/2022
6.06% 10/17/2022
3.75% 10/18/2022
-2.75% 10/19/2022
-0.65% 10/20/2022
3.71% 10/21/2022
0.34% 10/24/2022
0.91% 10/25/2022
0.88% 10/26/2022
0.48% 10/27/2022
0.86% 10/28/2022
-0.39% 10/31/2022
0.44% 11/1/2022
-0.30% 11/2/2022
-0.55% 11/3/2022
2.51% 11/4/2022
0.60% 11/7/2022
0.27% 11/8/2022
-1.59% 11/9/2022
4.41% 11/10/2022
0.73% 11/11/2022
-1.69% 11/14/2022
-0.16% 11/15/2022
-0.90% 11/16/2022
-0.51% 11/17/2022
0.05% 11/18/2022
0.32% 11/21/2022
0.48% 11/22/2022
0.32% 11/23/2022
0.24% 11/25/2022
-2.23% 11/28/2022
0.38% 11/29/2022
2.30% 11/30/2022
-2.87% 12/1/2022
-1.29% 12/2/2022
-4.46% 12/5/2022
-4.26% 12/6/2022
-0.79% 12/7/2022
-0.92% 12/8/2022
-0.18% 12/9/2022
1.08% 12/12/2022
0.06% 12/13/2022
-1.44% 12/14/2022
-1.58% 12/15/2022
-0.22% 12/16/2022
1.14% 12/19/2022
0.41% 12/20/2022
1.52% 12/21/2022
-0.89% 12/22/2022
0.25% 12/23/2022
0.18% 12/27/2022
0.74% 12/28/2022
1.13% 12/29/2022
-0.06% 12/30/2022
1.18% 1/3/2023
1.88% 1/4/2023
-0.21% 1/5/2023
1.00% 1/6/2023
-1.51% 1/9/2023
0.68% 1/10/2023
0.76% 1/11/2023
0.26% 1/12/2023
2.20% 1/13/2023
-2.02% 1/17/2023
-2.32% 1/18/2023
-1.45% 1/19/2023
1.87% 1/20/2023
1.39% 1/23/2023
0.73% 1/24/2023
0.87% 1/25/2023
1.35% 1/26/2023
0.31% 1/27/2023
-0.42% 1/30/2023
0.51% 1/31/2023
1.24% 2/1/2023
0.58% 2/2/2023
0.83% 2/3/2023
-0.16% 2/6/2023
1.10% 2/7/2023
-0.73% 2/8/2023
-2.14% 2/9/2023
-0.39% 2/10/2023
0.20% 2/13/2023
-0.08% 2/14/2023
-0.17% 2/15/2023
-0.79% 2/16/2023
0.20% 2/17/2023
-2.35% 2/21/2023
-0.67% 2/22/2023
-0.09% 2/23/2023
-0.15% 2/24/2023
0.00% 2/27/2023
0.26% 2/28/2023
-0.47% 3/1/2023
-1.27% 3/2/2023
2.00% 3/3/2023
-0.20% 3/6/2023
-3.20% 3/7/2023
-1.33% 3/8/2023
-6.20% 3/9/2023
-0.88% 3/10/2023
-5.81% 3/13/2023
0.88% 3/14/2023
-0.94% 3/15/2023
1.68% 3/16/2023
-3.97% 3/17/2023
-0.25% 3/20/2023
3.03% 3/21/2023
-3.32% 3/22/2023
-2.42% 3/23/2023
0.63% 3/24/2023
4.97% 3/27/2023
-1.30% 3/28/2023
1.96% 3/29/2023
-1.29% 3/30/2023
1.06% 3/31/2023
-0.03% 4/3/2023
-2.13% 4/4/2023
-1.22% 4/5/2023
0.72% 4/6/2023
0.36% 4/10/2023
2.76% 4/11/2023
-0.80% 4/12/2023
0.28% 4/13/2023
3.36% 4/14/2023
 2.88% 4/17/2023
0.63% 4/18/2023
-1.64% 4/19/2023
-0.53% 4/20/2023
-0.10% 4/21/2023
-0.37% 4/24/2023
-3.09% 4/25/2023
-1.39% 4/26/2023
1.58% 4/27/2023
1.35% 4/28/2023
-0.82% 5/1/2023
-3.03% 5/2/2023
-1.07% 5/3/2023
-3.12% 5/4/2023
2.67% 5/5/2023
-0.07% 5/8/2023
-0.11% 5/9/2023
-1.23% 5/10/2023
0.26% 5/11/2023
-1.10% 5/12/2023
2.07% 5/15/2023
-1.05% 5/16/2023
4.42% 5/17/2023
-0.35% 5/18/2023
-1.26% 5/19/2023
0.82% 5/22/2023
0.85% 5/23/2023
-1.68% 5/24/2023
0.25% 5/25/2023
0.50% 5/26/2023
-0.18% 5/30/2023
-1.66% 5/31/2023
0.76% 6/1/2023
3.35% 6/2/2023
-0.59% 6/5/2023
2.42% 6/6/2023
0.86% 6/7/2023
-0.85% 6/8/2023
0.14% 6/9/2023
-0.48% 6/12/2023
0.93% 6/13/2023
-0.95% 6/14/2023
0.86% 6/15/2023
-0.61% 6/16/2023
-1.10% 6/20/2023
-1.04% 6/21/2023
-2.14% 6/22/2023
-0.75% 6/23/2023
1.23% 6/26/2023
0.53% 6/27/2023
-0.60% 6/28/2023
2.10% 6/29/2023
0.10% 6/30/2023
1.78% 7/3/2023
-0.41% 7/5/2023
-2.75% 7/6/2023
0.88% 7/7/2023
0.46% 7/10/2023
1.26% 7/11/2023
1.17% 7/12/2023
1.06% 7/13/2023
-1.89% 7/14/2023
1.00% 7/17/2023
4.42% 7/18/2023
2.70% 7/19/2023
0.51% 7/20/2023
0.92% 7/21/2023
2.10% 7/24/2023
-1.53% 7/25/2023
0.81% 7/26/2023
-1.42% 7/27/2023
-0.16% 7/28/2023
0.31% 7/31/2023
-1.19% 8/1/2023
 Backtesting Value at Risk
Portfolio Return PnL Variance CovarianceHistorical Method Monte Carlo Simulation Method
99% CI 99% CI 99% CI
-1.33% (13,302.04) - - -
1.59% 15,875.39 - - -
-0.40% (3,983.05) - - -
1.77% 17,716.04 - - -
-0.83% (8,270.39) - - -
0.81% 8,088.43 - - -
2.97% 29,715.68 - - -
1.75% 17,515.04 - - -
1.47% 14,701.88 - - -
0.20% 1,968.38 - - -
0.52% 5,224.48 - - -
-0.65% (6,454.31) - - -
-0.17% (1,732.01) - - -
-2.15% (21,539.06) - - -
-1.83% (18,270.87) - - -
-0.64% (6,359.10) - - -
0.30% 3,045.15 - - -
1.84% 18,426.83 - - -
-3.31% (33,086.66) - - -
-0.86% (8,605.91) - - -
-0.26% (2,577.79) - - -
-0.23% (2,264.41) - - -
0.72% 7,235.35 - - -
-0.14% (1,386.81) - - -
-0.91% (9,120.85) - - -
1.85% 18,453.93 - - -
2.39% 23,916.25 - - -
0.86% 8,566.00 - - -
0.95% 9,468.18 - - -
-3.50% (34,981.85) - - -
-0.12% (1,245.64) - - -
1.51% 15,145.17 - - -
-0.92% (9,162.63) - - -
1.37% 13,680.94 - - -
-1.73% (17,310.78) - - -
-2.14% (21,413.57) - - -
-1.67% (16,660.59) - - -
-2.81% (28,074.46) - - -
-2.17% (21,665.83) - - -
-0.85% (8,492.28) - - -
2.10% 20,987.09 - - -
-1.69% (16,947.32) - - -
-1.34% (13,449.44) - - -
2.50% 25,049.56 - - -
4.43% 44,347.95 - - -
-1.21% (12,062.60) - - -
-1.91% (19,101.28) - - -
-2.45% (24,470.92) - - -
-0.63% (6,315.80) - - -
-2.46% (24,559.29) - - -
0.37% 3,683.85 - - -
4.93% 49,267.41 - - -
-1.52% (15,185.42) - - -
4.05% 40,544.65 - - -
3.09% 30,885.92 - - -
-2.32% (23,202.24) - - -
-0.83% (8,282.34) - - -
4.06% 40,567.31 - - -
0.25% 2,458.50 - - -
0.90% 8,960.62 - - -
0.81% 8,062.64 - - -
0.15% 1,525.38 - - -
1.77% 17,693.36 - - -
-0.19% (1,880.02) - - -
1.43% 14,287.07 - - -
-0.06% (568.39) - - -
-0.47% (4,674.78) - - -
2.16% 21,614.26 - - -
0.68% 6,772.17 - - -
-0.04% (362.27) - - -
-1.73% (17,255.75) - - -
5.12% 51,217.49 - - -
1.16% 11,610.46 - - -
-1.24% (12,432.89) - - -
0.04% 423.39 - - -
-0.53% (5,304.83) - - -
-0.67% (6,707.30) - - -
0.42% 4,228.11 - - -
-0.13% (1,340.79) - - -
0.86% 8,583.59 - - -
0.53% 5,319.15 - - -
0.56% 5,648.37 - - -
-1.64% (16,415.82) - - -
1.14% 11,369.68 - - -
1.92% 19,190.25 - - -
-1.31% (13,122.85) - - -
-1.01% (10,106.78) - - -
-3.17% (31,744.96) - - -
-2.25% (22,535.22) - - -
-0.36% (3,620.07) - - -
0.69% 6,861.30 - - -
0.13% 1,337.48 - - -
1.53% 15,272.97 - - -
0.69% 6,872.50 - - -
-1.53% (15,339.52) - - -
-2.42% (24,160.85) - - -
-0.68% (6,766.23) - - -
-0.08% (839.04) - - -
0.08% 846.10 - - -
1.60% 15,973.03 - - -
-0.84% (8,369.44) - - -
0.10% 960.39 - - -
-0.33% (3,271.98) - - -
0.10% 1,031.40 - - -
0.88% 8,802.56 - - -
0.08% 768.30 - - -
0.91% 9,107.83 - - -
1.28% 12,777.31 - - -
-0.41% (4,051.47) - - -
1.64% 16,369.48 - - -
-0.54% (5,407.75) - - -
1.06% 10,564.29 - - -
0.68% 6,809.63 - - -
0.54% 5,404.61 - - -
1.92% 19,177.68 - - -
1.30% 12,970.61 - - -
-1.80% (18,025.36) - - -
-1.84% (18,421.59) - - -
1.52% 15,211.42 - - -
1.27% 12,728.39 - - -
-0.19% (1,907.30) - - -
0.46% 4,599.62 - - -
0.95% 9,494.91 - - -
0.32% 3,154.71 - - -
-0.43% (4,333.96) - - -
0.90% 9,030.22 - - -
0.65% 6,461.60 - - -
0.45% 4,512.18 - - -
0.80% 8,020.29 - - -
-0.09% (861.35) - - -
0.83% 8,250.55 - - -
-0.54% (5,360.35) - - -
-1.48% (14,758.22) - - -
0.17% 1,739.79 - - -
0.79% 7,867.34 - - -
0.56% 5,619.13 - - -
0.18% 1,825.66 - - -
-1.15% (11,491.46) - - -
0.12% 1,242.62 - - -
-2.01% (20,145.88) - - -
-0.57% (5,731.91) - - -
0.49% 4,896.05 - - -
0.13% 1,288.35 - - -
-0.15% (1,475.85) - - -
0.25% 2,473.23 - - -
-0.44% (4,358.61) - - -
-0.74% (7,375.16) - - -
2.09% 20,876.85 - - -
-0.22% (2,165.54) - - -
-2.78% (27,847.35) - - -
-0.64% (6,440.85) - - -
-5.03% (50,285.46) 1.00 1.00 1.00
-0.44% (4,361.27) - - -
-3.20% (31,980.69) - - -
1.93% 19,334.50 - - -
-3.74% (37,351.97) 1.00 1.00 1.00
1.85% 18,467.24 - - -
-3.63% (36,253.51) 1.00 - 1.00
0.94% 9,354.17 - - -
3.17% 31,699.96 - - -
-2.32% (23,165.63) - - -
-1.59% (15,886.79) - - -
-1.15% (11,480.83) - - -
2.68% 26,808.47 - - -
-0.19% (1,851.29) - - -
1.29% 12,881.94 - - -
-0.54% (5,380.59) - - -
1.47% 14,665.62 - - -
-0.34% (3,365.95) - - -
-2.12% (21,150.17) - - -
-0.79% (7,913.99) - - -
0.36% 3,607.31 - - -
0.12% 1,163.35 - - -
1.49% 14,935.96 - - -
-0.07% (663.60) - - -
0.30% 3,016.25 - - -
3.75% 37,498.28 - - -
 2.29% 22,918.68 - - -
0.78% 7,753.93 - - -
-0.26% (2,619.19) - - -
-0.26% (2,556.21) - - -
0.22% 2,175.85 - - -
-0.47% (4,737.88) - - -
-2.53% (25,287.33) - - -
-0.78% (7,751.85) - - -
1.70% 17,015.99 - - -
0.88% 8,822.68 - - -
-0.51% (5,105.10) - - -
-2.14% (21,395.56) - - -
-1.67% (16,683.74) - - -
-2.36% (23,572.15) - - -
2.49% 24,854.83 - - -
-0.16% (1,613.13) - - -
-0.21% (2,053.82) - - -
-0.66% (6,615.41) - - -
-0.54% (5,384.33) - - -
-0.87% (8,747.55) - - -
1.14% 11,448.26 - - -
-1.04% (10,421.41) - - -
3.25% 32,508.90 - - -
0.40% 3,989.95 - - -
-1.51% (15,133.78) - - -
0.01% 121.80 - - -
0.12% 1,209.73 - - -
-1.47% (14,657.09) - - -
1.02% 10,245.14 - - -
0.86% 8,636.59 - - -
-0.17% (1,679.13) - - -
-1.68% (16,768.35) - - -
0.79% 7,935.52 - - -
2.75% 27,457.40 - - -
-0.76% (7,616.33) - - -
1.79% 17,918.75 - - -
0.85% 8,454.04 - - -
-0.33% (3,337.42) - - -
0.05% 543.97 - - -
0.43% 4,250.83 - - -
0.88% 8,793.47 - - -
-0.53% (5,335.96) - - -
1.08% 10,832.76 - - -
-0.58% (5,794.42) - - -
-1.10% (10,992.98) - - -
-0.54% (5,358.13) - - -
-2.07% (20,705.47) - - -
-0.82% (8,177.23) - - -
0.45% 4,458.12 - - -
0.56% 5,643.19 - - -
-0.52% (5,205.18) - - -
2.27% 22,735.68 - - -
0.53% 5,269.02 - - -
1.25% 12,476.93 - - -
-0.55% (5,499.68) - - -
-2.33% (23,276.75) - - -
0.52% 5,163.16 - - -
0.32% 3,242.45 - - -
1.59% 15,942.02 - - -
0.88% 8,813.91 - - -
0.67% 6,677.59 - - -
-0.58% (5,843.75) - - -
1.30% 12,971.02 - - -
3.96% 39,608.95 - - -
1.46% 14,570.46 - - -
0.80% 7,965.60 - - -
0.13% 1,335.40 - - -
1.50% 14,998.50 - - -
-0.79% (7,890.98) - - -
0.05% 496.31 - - -
-1.09% (10,944.96) - - -
-0.02% (194.54) - - -
0.29% 2,904.29 - - -
-0.78% (7,752.49) - - -
tion Method Value at Risk (VaR) Basel Traffic Light Appr
1 Day VaR @ 99% CI 99% CI Green Zone
Variance Covariance $ (35,609) 0 to 4
Historical Simulation $ (36,781)
Monte Carlo Simulation $ (35,447)
Note: Negative sign indicates that the loss in the portfolio

Value at Risk (VaR) Backtesting - Traffic Light Approach

1 Day VaR @ 99% CI Backtest
Variance Covariance 3 Green Zone
Historical Simulation 2 Green Zone
Monte Carlo Simulation 3 Green Zone

Breach/Violation
If losses > VaR -> Breach
Basel Traffic Light Approach
Yellow Zone Red Zone
5 to 9 Greater than 10
Historical Price Returns
Date JPM MS BAC Date JPM MS
8/1/2022 110.73 81.16 32.55 8/1/2022
8/2/2022 109.01 80.62 31.90 8/2/2022 -1.56% -0.67%
8/3/2022 110.15 82.08 32.48 8/3/2022 1.05% 1.82%
8/4/2022 108.94 82.38 32.25 8/4/2022 -1.10% 0.36%
8/5/2022 112.23 83.12 32.79 8/5/2022 3.03% 0.90%
8/8/2022 110.87 83.03 32.33 8/8/2022 -1.22% -0.12%
8/9/2022 111.87 83.35 32.75 8/9/2022 0.90% 0.38%
8/10/2022 114.78 85.79 33.86 8/10/2022 2.61% 2.93%
8/11/2022 116.48 87.05 34.67 8/11/2022 1.48% 1.47%
8/12/2022 118.41 88.46 35.05 8/12/2022 1.66% 1.62%
8/15/2022 118.73 88.81 35.00 8/15/2022 0.27% 0.39%
8/16/2022 119.86 88.62 35.38 8/16/2022 0.96% -0.22%
8/17/2022 118.86 88.16 35.15 8/17/2022 -0.84% -0.51%
8/18/2022 117.94 88.53 35.03 8/18/2022 -0.77% 0.42%
8/19/2022 115.02 86.87 34.26 8/19/2022 -2.47% -1.88%
8/22/2022 113.12 85.37 33.52 8/22/2022 -1.65% -1.72%
8/23/2022 112.00 85.22 33.22 8/23/2022 -0.99% -0.18%
8/24/2022 112.27 85.51 33.33 8/24/2022 0.24% 0.34%
8/25/2022 114.94 86.77 33.93 8/25/2022 2.37% 1.48%
8/26/2022 111.18 83.78 32.86 8/26/2022 -3.27% -3.45%
8/29/2022 110.91 82.37 32.73 8/29/2022 -0.24% -1.68%
8/30/2022 110.93 81.48 32.91 8/30/2022 0.02% -1.08%
8/31/2022 110.27 82.25 32.45 8/31/2022 -0.59% 0.94%
9/1/2022 111.02 83.16 32.53 9/1/2022 0.69% 1.11%
9/2/2022 110.25 83.39 32.49 9/2/2022 -0.70% 0.27%
9/6/2022 110.28 82.16 32.13 9/6/2022 0.03% -1.47%
9/7/2022 112.37 83.83 32.63 9/7/2022 1.90% 2.03%
9/8/2022 114.99 85.35 33.68 9/8/2022 2.33% 1.82%
9/9/2022 115.54 86.34 33.96 9/9/2022 0.48% 1.15%
9/12/2022 116.91 87.00 34.28 9/12/2022 1.18% 0.77%
9/13/2022 112.85 84.01 33.04 9/13/2022 -3.47% -3.44%
9/14/2022 112.58 84.14 32.92 9/14/2022 -0.23% 0.15%
9/15/2022 114.28 85.18 33.54 9/15/2022 1.51% 1.24%
9/16/2022 113.51 84.38 33.16 9/16/2022 -0.67% -0.94%
9/19/2022 114.56 85.62 33.71 9/19/2022 0.92% 1.48%
9/20/2022 112.30 84.15 33.21 9/20/2022 -1.97% -1.72%
9/21/2022 109.06 83.35 32.22 9/21/2022 -2.88% -0.95%
9/22/2022 107.82 81.81 31.59 9/22/2022 -1.14% -1.84%
9/23/2022 105.82 78.67 30.84 9/23/2022 -1.86% -3.85%
9/26/2022 103.54 76.98 30.16 9/26/2022 -2.15% -2.15%
9/27/2022 102.63 76.71 29.71 9/27/2022 -0.88% -0.35%
9/28/2022 104.70 78.63 30.20 9/28/2022 2.02% 2.50%
9/29/2022 102.93 77.07 29.80 9/29/2022 -1.69% -1.98%
 9/30/2022 101.32 76.25 29.35 9/30/2022 -1.56% -1.06%
10/3/2022 104.45 77.58 30.22 10/3/2022 3.09% 1.73%
10/4/2022 109.34 81.04 31.47 10/4/2022 4.68% 4.47%
10/5/2022 107.99 80.21 31.02 10/5/2022 -1.23% -1.02%
10/6/2022 105.78 78.47 30.57 10/6/2022 -2.04% -2.17%
10/7/2022 103.67 76.18 29.88 10/7/2022 -2.00% -2.93%
10/10/2022 102.70 75.67 29.80 10/10/2022 -0.93% -0.66%
10/11/2022 99.74 74.31 28.93 10/11/2022 -2.89% -1.80%
10/12/2022 101.35 73.93 29.02 10/12/2022 1.62% -0.52%
10/13/2022 106.99 76.55 30.80 10/13/2022 5.56% 3.55%
10/14/2022 108.77 72.67 30.81 10/14/2022 1.66% -5.07%
10/17/2022 113.34 74.45 32.67 10/17/2022 4.20% 2.44%
10/18/2022 116.25 76.67 33.90 10/18/2022 2.57% 2.98%
10/19/2022 113.97 74.93 32.97 10/19/2022 -1.96% -2.27%
10/20/2022 113.60 73.93 32.75 10/20/2022 -0.33% -1.34%
10/21/2022 119.57 76.46 33.97 10/21/2022 5.25% 3.42%
10/24/2022 119.71 76.66 34.08 10/24/2022 0.12% 0.27%
10/25/2022 120.03 77.70 34.39 10/25/2022 0.26% 1.36%
10/26/2022 121.41 78.09 34.70 10/26/2022 1.15% 0.50%
10/27/2022 121.89 77.87 34.86 10/27/2022 0.39% -0.27%
10/28/2022 123.33 80.12 35.16 10/28/2022 1.19% 2.88%
10/31/2022 123.14 80.07 35.03 10/31/2022 -0.16% -0.06%
11/1/2022 125.36 81.58 35.18 11/1/2022 1.80% 1.89%
11/2/2022 124.20 82.22 35.07 11/2/2022 -0.92% 0.78%
11/3/2022 124.43 81.49 34.88 11/3/2022 0.18% -0.89%
11/4/2022 127.83 82.68 35.75 11/4/2022 2.74% 1.47%
11/7/2022 128.51 83.39 35.97 11/7/2022 0.53% 0.85%
11/8/2022 128.59 83.10 36.07 11/8/2022 0.06% -0.34%
11/9/2022 126.91 81.32 35.49 11/9/2022 -1.30% -2.15%
11/10/2022 132.14 86.53 37.06 11/10/2022 4.12% 6.41%
11/11/2022 132.35 88.46 37.33 11/11/2022 0.16% 2.23%
11/14/2022 130.99 87.52 36.70 11/14/2022 -1.03% -1.07%
11/15/2022 130.04 88.19 36.64 11/15/2022 -0.72% 0.77%
11/16/2022 130.22 87.53 36.31 11/16/2022 0.14% -0.75%
11/17/2022 129.65 86.68 36.12 11/17/2022 -0.44% -0.97%
11/18/2022 130.92 86.92 36.14 11/18/2022 0.98% 0.28%
11/21/2022 130.15 86.81 36.26 11/21/2022 -0.59% -0.13%
11/22/2022 132.10 87.38 36.44 11/22/2022 1.50% 0.66%
11/23/2022 133.51 87.63 36.55 11/23/2022 1.07% 0.29%
11/25/2022 133.76 88.59 36.64 11/25/2022 0.19% 1.09%
11/28/2022 131.42 87.59 35.82 11/28/2022 -1.75% -1.12%
11/29/2022 133.59 88.75 35.96 11/29/2022 1.64% 1.32%
11/30/2022 135.17 90.69 36.78 11/30/2022 1.19% 2.18%
12/1/2022 133.27 90.63 35.73 12/1/2022 -1.40% -0.08%
12/2/2022 132.22 89.75 35.27 12/2/2022 -0.79% -0.97%
 12/5/2022 128.51 87.52 33.70 12/5/2022 -2.80% -2.49%
12/6/2022 128.72 85.28 32.26 12/6/2022 0.17% -2.56%
12/7/2022 128.64 85.05 32.00 12/7/2022 -0.07% -0.26%
12/8/2022 129.99 86.43 31.71 12/8/2022 1.05% 1.62%
12/9/2022 129.28 87.19 31.65 12/9/2022 -0.54% 0.88%
12/12/2022 131.29 88.79 32.00 12/12/2022 1.55% 1.84%
12/13/2022 131.16 90.34 32.01 12/13/2022 -0.10% 1.74%
12/14/2022 130.50 88.19 31.56 12/14/2022 -0.50% -2.38%
12/15/2022 127.27 85.55 31.06 12/15/2022 -2.48% -2.99%
12/16/2022 126.47 84.64 30.99 12/16/2022 -0.62% -1.06%
12/19/2022 127.23 83.37 31.34 12/19/2022 0.60% -1.51%
12/20/2022 127.84 82.99 31.47 12/20/2022 0.48% -0.46%
12/21/2022 129.28 84.65 31.95 12/21/2022 1.12% 2.01%
12/22/2022 127.81 84.16 31.66 12/22/2022 -1.13% -0.58%
12/23/2022 128.42 83.91 31.74 12/23/2022 0.47% -0.30%
12/27/2022 128.87 82.89 31.80 12/27/2022 0.35% -1.22%
12/28/2022 129.57 82.30 32.03 12/28/2022 0.55% -0.71%
12/29/2022 130.32 83.06 32.40 12/29/2022 0.57% 0.92%
12/30/2022 131.18 82.85 32.38 12/30/2022 0.66% -0.26%
1/3/2023 132.18 83.53 32.76 1/3/2023 0.76% 0.82%
1/4/2023 133.41 84.44 33.37 1/4/2023 0.93% 1.08%
1/5/2023 133.38 83.73 33.30 1/5/2023 -0.02% -0.84%
1/6/2023 135.93 85.32 33.64 1/6/2023 1.91% 1.91%
1/9/2023 135.37 85.40 33.13 1/9/2023 -0.41% 0.09%
1/10/2023 136.58 86.65 33.35 1/10/2023 0.90% 1.46%
1/11/2023 137.60 87.15 33.61 1/11/2023 0.74% 0.57%
1/12/2023 137.46 88.22 33.70 1/12/2023 -0.10% 1.23%
1/13/2023 140.93 89.32 34.44 1/13/2023 2.52% 1.25%
1/17/2023 138.75 94.60 33.74 1/17/2023 -1.55% 5.91%
1/18/2023 134.58 94.11 32.96 1/18/2023 -3.00% -0.52%
1/19/2023 132.79 91.75 32.48 1/19/2023 -1.33% -2.52%
1/20/2023 133.11 93.78 33.09 1/20/2023 0.24% 2.22%
1/23/2023 135.27 94.65 33.55 1/23/2023 1.62% 0.92%
1/24/2023 136.43 93.07 33.79 1/24/2023 0.86% -1.67%
1/25/2023 137.10 93.20 34.09 1/25/2023 0.48% 0.14%
1/26/2023 137.94 94.04 34.55 1/26/2023 0.62% 0.90%
1/27/2023 138.28 94.39 34.65 1/27/2023 0.24% 0.37%
1/30/2023 137.11 94.26 34.51 1/30/2023 -0.85% -0.13%
1/31/2023 137.92 95.61 34.68 1/31/2023 0.60% 1.43%
2/1/2023 137.56 96.45 35.11 2/1/2023 -0.26% 0.88%
2/2/2023 136.92 97.46 35.32 2/2/2023 -0.47% 1.04%
2/3/2023 139.04 97.67 35.61 2/3/2023 1.55% 0.22%
2/6/2023 139.85 97.15 35.55 2/6/2023 0.59% -0.53%
2/7/2023 141.56 97.47 35.94 2/7/2023 1.22% 0.32%
2/8/2023 140.56 97.21 35.68 2/8/2023 -0.70% -0.26%
 2/9/2023 138.38 96.32 34.92 2/9/2023 -1.56% -0.92%
2/10/2023 138.99 96.70 34.78 2/10/2023 0.44% 0.40%
2/13/2023 140.49 97.67 34.85 2/13/2023 1.08% 1.01%
2/14/2023 141.12 98.78 34.82 2/14/2023 0.44% 1.14%
2/15/2023 141.71 99.05 34.76 2/15/2023 0.42% 0.27%
2/16/2023 139.76 97.81 34.49 2/16/2023 -1.38% -1.25%
2/17/2023 140.17 97.75 34.56 2/17/2023 0.30% -0.06%
2/21/2023 137.60 95.89 33.74 2/21/2023 -1.83% -1.90%
2/22/2023 136.54 95.55 33.52 2/22/2023 -0.77% -0.36%
2/23/2023 137.64 96.21 33.49 2/23/2023 0.80% 0.69%
2/24/2023 138.88 95.97 33.44 2/24/2023 0.90% -0.25%
2/27/2023 140.09 94.99 33.44 2/27/2023 0.87% -1.02%
2/28/2023 141.26 94.79 33.53 2/28/2023 0.84% -0.21%
3/1/2023 140.48 94.49 33.37 3/1/2023 -0.56% -0.32%
3/2/2023 139.02 94.38 32.95 3/2/2023 -1.04% -0.11%
3/3/2023 141.57 96.59 33.61 3/3/2023 1.84% 2.34%
3/6/2023 140.74 96.64 33.54 3/6/2023 -0.58% 0.05%
3/7/2023 136.60 94.36 32.47 3/7/2023 -2.94% -2.36%
3/8/2023 135.79 94.21 32.04 3/8/2023 -0.59% -0.17%
3/9/2023 128.44 90.57 30.05 3/9/2023 -5.41% -3.86%
3/10/2023 131.70 88.46 29.78 3/10/2023 2.54% -2.33%
3/13/2023 129.34 86.44 28.05 3/13/2023 -1.80% -2.29%
3/14/2023 132.66 88.38 28.30 3/14/2023 2.57% 2.25%
3/15/2023 126.39 83.88 28.03 3/15/2023 -4.72% -5.09%
3/16/2023 128.85 85.47 28.50 3/16/2023 1.94% 1.90%
3/17/2023 123.98 82.69 27.37 3/17/2023 -3.78% -3.25%
3/20/2023 125.29 84.13 27.30 3/20/2023 1.06% 1.73%
3/21/2023 128.65 87.19 28.13 3/21/2023 2.68% 3.64%
3/22/2023 125.33 86.00 27.19 3/22/2023 -2.58% -1.36%
3/23/2023 124.99 84.32 26.54 3/23/2023 -0.27% -1.95%
3/24/2023 123.09 82.47 26.70 3/24/2023 -1.52% -2.20%
3/27/2023 126.62 83.14 28.03 3/27/2023 2.87% 0.82%
3/28/2023 127.00 83.38 27.67 3/28/2023 0.30% 0.28%
3/29/2023 127.26 84.72 28.21 3/29/2023 0.20% 1.60%
3/30/2023 126.88 84.59 27.84 3/30/2023 -0.30% -0.15%
3/31/2023 128.41 86.25 28.14 3/31/2023 1.21% 1.96%
4/3/2023 128.27 85.62 28.13 4/3/2023 -0.12% -0.73%
4/4/2023 126.55 83.32 27.53 4/4/2023 -1.34% -2.68%
4/5/2023 126.74 82.34 27.19 4/5/2023 0.15% -1.18%
4/6/2023 126.60 82.70 27.39 4/6/2023 -0.11% 0.44%
4/10/2023 127.02 82.52 27.49 4/10/2023 0.33% -0.23%
4/11/2023 127.64 83.59 28.25 4/11/2023 0.49% 1.30%
4/12/2023 127.62 83.96 28.02 4/12/2023 -0.02% 0.45%
4/13/2023 128.11 84.18 28.10 4/13/2023 0.38% 0.26%
4/14/2023 137.78 85.18 29.04 4/14/2023 7.55% 1.19%
4/17/2023 138.88 87.71 29.88 4/17/2023 0.79% 2.98%
4/18/2023 140.44 88.26 30.07 4/18/2023 1.12% 0.63%
4/19/2023 140.26 88.85 29.58 4/19/2023 -0.13% 0.67%
4/20/2023 139.85 88.83 29.42 4/20/2023 -0.29% -0.02%
4/21/2023 139.58 89.51 29.39 4/21/2023 -0.19% 0.76%
4/24/2023 139.77 88.61 29.28 4/24/2023 0.14% -1.01%
4/25/2023 136.73 86.50 28.38 4/25/2023 -2.17% -2.37%
4/26/2023 134.31 86.88 27.98 4/26/2023 -1.77% 0.43%
4/27/2023 136.12 88.66 28.42 4/27/2023 1.35% 2.06%
4/28/2023 137.30 89.15 28.81 4/28/2023 0.87% 0.54%
5/1/2023 140.24 87.12 28.57 5/1/2023 2.14% -2.27%
5/2/2023 137.97 85.50 27.71 5/2/2023 -1.61% -1.87%
5/3/2023 135.05 83.97 27.41 5/3/2023 -2.12% -1.78%
5/4/2023 133.21 81.85 26.56 5/4/2023 -1.37% -2.53%
5/5/2023 135.81 84.10 27.26 5/5/2023 1.95% 2.75%
5/8/2023 136.14 83.66 27.24 5/8/2023 0.24% -0.53%
5/9/2023 135.48 83.60 27.21 5/9/2023 -0.48% -0.07%
5/10/2023 135.55 82.95 26.88 5/10/2023 0.05% -0.77%
5/11/2023 135.12 81.87 26.95 5/11/2023 -0.32% -1.30%
5/12/2023 133.19 81.63 26.65 5/12/2023 -1.43% -0.29%
5/15/2023 134.31 82.19 27.20 5/15/2023 0.84% 0.68%
5/16/2023 133.40 81.11 26.92 5/16/2023 -0.67% -1.31%
5/17/2023 137.51 83.14 28.11 5/17/2023 3.07% 2.50%
5/18/2023 138.55 83.72 28.01 5/18/2023 0.76% 0.69%
5/19/2023 138.23 81.49 27.66 5/19/2023 -0.23% -2.66%
5/22/2023 137.09 81.52 27.88 5/22/2023 -0.83% 0.04%
5/23/2023 135.66 81.88 28.12 5/23/2023 -1.04% 0.45%
5/24/2023 134.42 80.48 27.65 5/24/2023 -0.92% -1.72%
5/25/2023 134.74 82.24 27.72 5/25/2023 0.24% 2.19%
5/26/2023 136.01 83.13 27.85 5/26/2023 0.94% 1.08%
5/30/2023 136.52 82.66 27.80 5/30/2023 0.38% -0.57%
5/31/2023 134.78 81.01 27.34 5/31/2023 -1.27% -1.99%
6/1/2023 136.64 81.32 27.55 6/1/2023 1.38% 0.38%
6/2/2023 139.51 83.58 28.47 6/2/2023 2.10% 2.78%
6/5/2023 138.14 82.97 28.30 6/5/2023 -0.98% -0.72%
6/6/2023 138.39 85.07 28.99 6/6/2023 0.18% 2.53%
6/7/2023 139.73 85.71 29.24 6/7/2023 0.97% 0.75%
6/8/2023 139.77 85.52 28.99 6/8/2023 0.03% -0.22%
6/9/2023 140.05 85.42 29.03 6/9/2023 0.20% -0.12%
6/12/2023 140.04 86.64 28.89 6/12/2023 -0.01% 1.43%
6/13/2023 141.05 87.47 29.16 6/13/2023 0.72% 0.96%
6/14/2023 140.52 87.17 28.88 6/14/2023 -0.37% -0.34%
6/15/2023 142.11 88.23 29.13 6/15/2023 1.13% 1.22%
6/16/2023 142.28 87.28 28.95 6/16/2023 0.12% -1.08%
6/20/2023 141.56 85.94 28.63 6/20/2023 -0.51% -1.54%
6/21/2023 141.35 85.55 28.33 6/21/2023 -0.15% -0.45%
6/22/2023 138.63 83.73 27.73 6/22/2023 -1.93% -2.13%
6/23/2023 137.90 82.81 27.52 6/23/2023 -0.52% -1.09%
6/26/2023 138.24 82.82 27.86 6/26/2023 0.24% 0.01%
6/27/2023 138.25 83.66 28.01 6/27/2023 0.01% 1.00%
6/28/2023 137.64 83.22 27.84 6/28/2023 -0.44% -0.52%
6/29/2023 142.45 84.46 28.42 6/29/2023 3.49% 1.49%
6/30/2023 144.45 84.62 28.45 6/30/2023 1.40% 0.19%
7/3/2023 145.61 85.62 28.96 7/3/2023 0.80% 1.18%
7/5/2023 144.64 85.13 28.84 7/5/2023 -0.67% -0.57%
7/6/2023 143.21 82.57 28.05 7/6/2023 -0.99% -3.01%
7/7/2023 144.34 82.60 28.29 7/7/2023 0.79% 0.04%
7/10/2023 145.15 82.64 28.42 7/10/2023 0.56% 0.05%
7/11/2023 147.42 84.18 28.78 7/11/2023 1.56% 1.87%
7/12/2023 148.15 84.98 29.12 7/12/2023 0.50% 0.95%
7/13/2023 148.87 85.42 29.42 7/13/2023 0.49% 0.51%
7/14/2023 149.77 84.99 28.87 7/14/2023 0.60% -0.50%
7/17/2023 153.38 85.58 29.16 7/17/2023 2.41% 0.69%
7/18/2023 153.66 91.10 30.45 7/18/2023 0.18% 6.45%
7/19/2023 154.25 92.31 31.27 7/19/2023 0.38% 1.33%
7/20/2023 156.15 92.94 31.43 7/20/2023 1.23% 0.69%
7/21/2023 154.95 93.15 31.72 7/21/2023 -0.77% 0.22%
7/24/2023 158.00 93.80 32.38 7/24/2023 1.97% 0.70%
7/25/2023 156.82 93.55 31.88 7/25/2023 -0.75% -0.26%
7/26/2023 157.76 92.68 32.14 7/26/2023 0.60% -0.93%
7/27/2023 156.02 91.90 31.69 7/27/2023 -1.10% -0.84%
7/28/2023 156.91 91.57 31.64 7/28/2023 0.57% -0.36%
7/31/2023 157.96 91.56 31.74 7/31/2023 0.67% -0.01%
8/1/2023 157.18 90.94 31.36 8/1/2023 -0.49% -0.68%
 Assumptions
BAC Assumption JPM MS BAC Date
Weights 30% 40% 30% 8/1/2022
-1.99% 8/2/2022
1.82% w1*r1 + w2*r2 + w3*r3 8/3/2022
-0.71% 8/4/2022
1.68% 8/5/2022
-1.38% 8/8/2022
1.28% 8/9/2022
3.39% 8/10/2022
2.40% 8/11/2022
1.09% 8/12/2022
-0.14% 8/15/2022
1.08% 8/16/2022
-0.63% 8/17/2022
-0.36% 8/18/2022
-2.21% 8/19/2022
-2.14% 8/22/2022
-0.89% 8/23/2022
0.32% 8/24/2022
1.80% 8/25/2022
-3.16% 8/26/2022
-0.38% 8/29/2022
0.56% 8/30/2022
-1.41% 8/31/2022
0.24% 9/1/2022
-0.12% 9/2/2022
-1.11% 9/6/2022
1.54% 9/7/2022
3.22% 9/8/2022
0.84% 9/9/2022
0.94% 9/12/2022
-3.60% 9/13/2022
-0.38% 9/14/2022
1.89% 9/15/2022
-1.13% 9/16/2022
1.67% 9/19/2022
-1.50% 9/20/2022
-2.99% 9/21/2022
-1.96% 9/22/2022
-2.37% 9/23/2022
-2.21% 9/26/2022
-1.48% 9/27/2022
1.64% 9/28/2022
-1.32% 9/29/2022
-1.50% 9/30/2022
2.95% 10/3/2022
4.15% 10/4/2022
-1.42% 10/5/2022
-1.44% 10/6/2022
-2.26% 10/7/2022
-0.29% 10/10/2022
-2.90% 10/11/2022
0.30% 10/12/2022
6.13% 10/13/2022
0.03% 10/14/2022
6.06% 10/17/2022
3.75% 10/18/2022
-2.75% 10/19/2022
-0.65% 10/20/2022
3.71% 10/21/2022
0.34% 10/24/2022
0.91% 10/25/2022
0.88% 10/26/2022
0.48% 10/27/2022
0.86% 10/28/2022
-0.39% 10/31/2022
0.44% 11/1/2022
-0.30% 11/2/2022
-0.55% 11/3/2022
2.51% 11/4/2022
0.60% 11/7/2022
0.27% 11/8/2022
-1.59% 11/9/2022
4.41% 11/10/2022
0.73% 11/11/2022
-1.69% 11/14/2022
-0.16% 11/15/2022
-0.90% 11/16/2022
-0.51% 11/17/2022
0.05% 11/18/2022
0.32% 11/21/2022
0.48% 11/22/2022
0.32% 11/23/2022
0.24% 11/25/2022
-2.23% 11/28/2022
0.38% 11/29/2022
2.30% 11/30/2022
-2.87% 12/1/2022
-1.29% 12/2/2022
-4.46% 12/5/2022
-4.26% 12/6/2022
-0.79% 12/7/2022
-0.92% 12/8/2022
-0.18% 12/9/2022
1.08% 12/12/2022
0.06% 12/13/2022
-1.44% 12/14/2022
-1.58% 12/15/2022
-0.22% 12/16/2022
1.14% 12/19/2022
0.41% 12/20/2022
1.52% 12/21/2022
-0.89% 12/22/2022
0.25% 12/23/2022
0.18% 12/27/2022
0.74% 12/28/2022
1.13% 12/29/2022
-0.06% 12/30/2022
1.18% 1/3/2023
1.88% 1/4/2023
-0.21% 1/5/2023
1.00% 1/6/2023
-1.51% 1/9/2023
0.68% 1/10/2023
0.76% 1/11/2023
0.26% 1/12/2023
2.20% 1/13/2023
-2.02% 1/17/2023
-2.32% 1/18/2023
-1.45% 1/19/2023
1.87% 1/20/2023
1.39% 1/23/2023
0.73% 1/24/2023
0.87% 1/25/2023
1.35% 1/26/2023
0.31% 1/27/2023
-0.42% 1/30/2023
0.51% 1/31/2023
1.24% 2/1/2023
0.58% 2/2/2023
0.83% 2/3/2023
-0.16% 2/6/2023
1.10% 2/7/2023
-0.73% 2/8/2023
-2.14% 2/9/2023
-0.39% 2/10/2023
0.20% 2/13/2023
-0.08% 2/14/2023
-0.17% 2/15/2023
-0.79% 2/16/2023
0.20% 2/17/2023
-2.35% 2/21/2023
-0.67% 2/22/2023
-0.09% 2/23/2023
-0.15% 2/24/2023
0.00% 2/27/2023
0.26% 2/28/2023
-0.47% 3/1/2023
-1.27% 3/2/2023
2.00% 3/3/2023
-0.20% 3/6/2023
-3.20% 3/7/2023
-1.33% 3/8/2023
-6.20% 3/9/2023
-0.88% 3/10/2023
-5.81% 3/13/2023
0.88% 3/14/2023
-0.94% 3/15/2023
1.68% 3/16/2023
-3.97% 3/17/2023
-0.25% 3/20/2023
3.03% 3/21/2023
-3.32% 3/22/2023
-2.42% 3/23/2023
0.63% 3/24/2023
4.97% 3/27/2023
-1.30% 3/28/2023
1.96% 3/29/2023
-1.29% 3/30/2023
1.06% 3/31/2023
-0.03% 4/3/2023
-2.13% 4/4/2023
-1.22% 4/5/2023
0.72% 4/6/2023
0.36% 4/10/2023
2.76% 4/11/2023
-0.80% 4/12/2023
0.28% 4/13/2023
3.36% 4/14/2023
 2.88% 4/17/2023
0.63% 4/18/2023
-1.64% 4/19/2023
-0.53% 4/20/2023
-0.10% 4/21/2023
-0.37% 4/24/2023
-3.09% 4/25/2023
-1.39% 4/26/2023
1.58% 4/27/2023
1.35% 4/28/2023
-0.82% 5/1/2023
-3.03% 5/2/2023
-1.07% 5/3/2023
-3.12% 5/4/2023
2.67% 5/5/2023
-0.07% 5/8/2023
-0.11% 5/9/2023
-1.23% 5/10/2023
0.26% 5/11/2023
-1.10% 5/12/2023
2.07% 5/15/2023
-1.05% 5/16/2023
4.42% 5/17/2023
-0.35% 5/18/2023
-1.26% 5/19/2023
0.82% 5/22/2023
0.85% 5/23/2023
-1.68% 5/24/2023
0.25% 5/25/2023
0.50% 5/26/2023
-0.18% 5/30/2023
-1.66% 5/31/2023
0.76% 6/1/2023
3.35% 6/2/2023
-0.59% 6/5/2023
2.42% 6/6/2023
0.86% 6/7/2023
-0.85% 6/8/2023
0.14% 6/9/2023
-0.48% 6/12/2023
0.93% 6/13/2023
-0.95% 6/14/2023
0.86% 6/15/2023
-0.61% 6/16/2023
-1.10% 6/20/2023
-1.04% 6/21/2023
-2.14% 6/22/2023
-0.75% 6/23/2023
1.23% 6/26/2023
0.53% 6/27/2023
-0.60% 6/28/2023
2.10% 6/29/2023
0.10% 6/30/2023
1.78% 7/3/2023
-0.41% 7/5/2023
-2.75% 7/6/2023
0.88% 7/7/2023
0.46% 7/10/2023
1.26% 7/11/2023
1.17% 7/12/2023
1.06% 7/13/2023
-1.89% 7/14/2023
1.00% 7/17/2023
4.42% 7/18/2023
2.70% 7/19/2023
0.51% 7/20/2023
0.92% 7/21/2023
2.10% 7/24/2023
-1.53% 7/25/2023
0.81% 7/26/2023
-1.42% 7/27/2023
-0.16% 7/28/2023
0.31% 7/31/2023
-1.19% 8/1/2023
 Backtesting Value at Risk
Portfolio Return PnL Variance CovarianceHistorical Method Monte Carlo Simulation Method
99% CI 99% CI 99% CI
-1.33% (13,302.04) - - -
1.59% 15,875.39 - - -
-0.40% (3,983.05) - - -
1.77% 17,716.04 - - -
-0.83% (8,270.39) - - -
0.81% 8,088.43 - - -
2.97% 29,715.68 - - -
1.75% 17,515.04 - - -
1.47% 14,701.88 - - -
0.20% 1,968.38 - - -
0.52% 5,224.48 - - -
-0.65% (6,454.31) - - -
-0.17% (1,732.01) - - -
-2.15% (21,539.06) - - -
-1.83% (18,270.87) - - -
-0.64% (6,359.10) - - -
0.30% 3,045.15 - - -
1.84% 18,426.83 - - -
-3.31% (33,086.66) - - -
-0.86% (8,605.91) - - -
-0.26% (2,577.79) - - -
-0.23% (2,264.41) - - -
0.72% 7,235.35 - - -
-0.14% (1,386.81) - - -
-0.91% (9,120.85) - - -
1.85% 18,453.93 - - -
2.39% 23,916.25 - - -
0.86% 8,566.00 - - -
0.95% 9,468.18 - - -
-3.50% (34,981.85) - - -
-0.12% (1,245.64) - - -
1.51% 15,145.17 - - -
-0.92% (9,162.63) - - -
1.37% 13,680.94 - - -
-1.73% (17,310.78) - - -
-2.14% (21,413.57) - - -
-1.67% (16,660.59) - - -
-2.81% (28,074.46) - - -
-2.17% (21,665.83) - - -
-0.85% (8,492.28) - - -
2.10% 20,987.09 - - -
-1.69% (16,947.32) - - -
-1.34% (13,449.44) - - -
2.50% 25,049.56 - - -
4.43% 44,347.95 - - -
-1.21% (12,062.60) - - -
-1.91% (19,101.28) - - -
-2.45% (24,470.92) - - -
-0.63% (6,315.80) - - -
-2.46% (24,559.29) - - -
0.37% 3,683.85 - - -
4.93% 49,267.41 - - -
-1.52% (15,185.42) - - -
4.05% 40,544.65 - - -
3.09% 30,885.92 - - -
-2.32% (23,202.24) - - -
-0.83% (8,282.34) - - -
4.06% 40,567.31 - - -
0.25% 2,458.50 - - -
0.90% 8,960.62 - - -
0.81% 8,062.64 - - -
0.15% 1,525.38 - - -
1.77% 17,693.36 - - -
-0.19% (1,880.02) - - -
1.43% 14,287.07 - - -
-0.06% (568.39) - - -
-0.47% (4,674.78) - - -
2.16% 21,614.26 - - -
0.68% 6,772.17 - - -
-0.04% (362.27) - - -
-1.73% (17,255.75) - - -
5.12% 51,217.49 - - -
1.16% 11,610.46 - - -
-1.24% (12,432.89) - - -
0.04% 423.39 - - -
-0.53% (5,304.83) - - -
-0.67% (6,707.30) - - -
0.42% 4,228.11 - - -
-0.13% (1,340.79) - - -
0.86% 8,583.59 - - -
0.53% 5,319.15 - - -
0.56% 5,648.37 - - -
-1.64% (16,415.82) - - -
1.14% 11,369.68 - - -
1.92% 19,190.25 - - -
-1.31% (13,122.85) - - -
-1.01% (10,106.78) - - -
-3.17% (31,744.96) - - -
-2.25% (22,535.22) - - -
-0.36% (3,620.07) - - -
0.69% 6,861.30 - - -
0.13% 1,337.48 - - -
1.53% 15,272.97 - - -
0.69% 6,872.50 - - -
-1.53% (15,339.52) - - -
-2.42% (24,160.85) - - -
-0.68% (6,766.23) - - -
-0.08% (839.04) - - -
0.08% 846.10 - - -
1.60% 15,973.03 - - -
-0.84% (8,369.44) - - -
0.10% 960.39 - - -
-0.33% (3,271.98) - - -
0.10% 1,031.40 - - -
0.88% 8,802.56 - - -
0.08% 768.30 - - -
0.91% 9,107.83 - - -
1.28% 12,777.31 - - -
-0.41% (4,051.47) - - -
1.64% 16,369.48 - - -
-0.54% (5,407.75) - - -
1.06% 10,564.29 - - -
0.68% 6,809.63 - - -
0.54% 5,404.61 - - -
1.92% 19,177.68 - - -
1.30% 12,970.61 - - -
-1.80% (18,025.36) - - -
-1.84% (18,421.59) - - -
1.52% 15,211.42 - - -
1.27% 12,728.39 - - -
-0.19% (1,907.30) - - -
0.46% 4,599.62 - - -
0.95% 9,494.91 - - -
0.32% 3,154.71 - - -
-0.43% (4,333.96) - - -
0.90% 9,030.22 - - -
0.65% 6,461.60 - - -
0.45% 4,512.18 - - -
0.80% 8,020.29 - - -
-0.09% (861.35) - - -
0.83% 8,250.55 - - -
-0.54% (5,360.35) - - -
-1.48% (14,758.22) - - -
0.17% 1,739.79 - - -
0.79% 7,867.34 - - -
0.56% 5,619.13 - - -
0.18% 1,825.66 - - -
-1.15% (11,491.46) - - -
0.12% 1,242.62 - - -
-2.01% (20,145.88) - - -
-0.57% (5,731.91) - - -
0.49% 4,896.05 - - -
0.13% 1,288.35 - - -
-0.15% (1,475.85) - - -
0.25% 2,473.23 - - -
-0.44% (4,358.61) - - -
-0.74% (7,375.16) - - -
2.09% 20,876.85 - - -
-0.22% (2,165.54) - - -
-2.78% (27,847.35) - - -
-0.64% (6,440.85) - - -
-5.03% (50,285.46) 1.00 1.00 1.00
-0.44% (4,361.27) - - -
-3.20% (31,980.69) - - -
1.93% 19,334.50 - - -
-3.74% (37,351.97) 1.00 1.00 1.00
1.85% 18,467.24 - - -
-3.63% (36,253.51) 1.00 - 1.00
0.94% 9,354.17 - - -
3.17% 31,699.96 - - -
-2.32% (23,165.63) - - -
-1.59% (15,886.79) - - -
-1.15% (11,480.83) - - -
2.68% 26,808.47 - - -
-0.19% (1,851.29) - - -
1.29% 12,881.94 - - -
-0.54% (5,380.59) - - -
1.47% 14,665.62 - - -
-0.34% (3,365.95) - - -
-2.12% (21,150.17) - - -
-0.79% (7,913.99) - - -
0.36% 3,607.31 - - -
0.12% 1,163.35 - - -
1.49% 14,935.96 - - -
-0.07% (663.60) - - -
0.30% 3,016.25 - - -
3.75% 37,498.28 - - -
 2.29% 22,918.68 - - -
0.78% 7,753.93 - - -
-0.26% (2,619.19) - - -
-0.26% (2,556.21) - - -
0.22% 2,175.85 - - -
-0.47% (4,737.88) - - -
-2.53% (25,287.33) - - -
-0.78% (7,751.85) - - -
1.70% 17,015.99 - - -
0.88% 8,822.68 - - -
-0.51% (5,105.10) - - -
-2.14% (21,395.56) - - -
-1.67% (16,683.74) - - -
-2.36% (23,572.15) - - -
2.49% 24,854.83 - - -
-0.16% (1,613.13) - - -
-0.21% (2,053.82) - - -
-0.66% (6,615.41) - - -
-0.54% (5,384.33) - - -
-0.87% (8,747.55) - - -
1.14% 11,448.26 - - -
-1.04% (10,421.41) - - -
3.25% 32,508.90 - - -
0.40% 3,989.95 - - -
-1.51% (15,133.78) - - -
0.01% 121.80 - - -
0.12% 1,209.73 - - -
-1.47% (14,657.09) - - -
1.02% 10,245.14 - - -
0.86% 8,636.59 - - -
-0.17% (1,679.13) - - -
-1.68% (16,768.35) - - -
0.79% 7,935.52 - - -
2.75% 27,457.40 - - -
-0.76% (7,616.33) - - -
1.79% 17,918.75 - - -
0.85% 8,454.04 - - -
-0.33% (3,337.42) - - -
0.05% 543.97 - - -
0.43% 4,250.83 - - -
0.88% 8,793.47 - - -
-0.53% (5,335.96) - - -
1.08% 10,832.76 - - -
-0.58% (5,794.42) - - -
-1.10% (10,992.98) - - -
-0.54% (5,358.13) - - -
-2.07% (20,705.47) - - -
-0.82% (8,177.23) - - -
0.45% 4,458.12 - - -
0.56% 5,643.19 - - -
-0.52% (5,205.18) - - -
2.27% 22,735.68 - - -
0.53% 5,269.02 - - -
1.25% 12,476.93 - - -
-0.55% (5,499.68) - - -
-2.33% (23,276.75) - - -
0.52% 5,163.16 - - -
0.32% 3,242.45 - - -
1.59% 15,942.02 - - -
0.88% 8,813.91 - - -
0.67% 6,677.59 - - -
-0.58% (5,843.75) - - -
1.30% 12,971.02 - - -
3.96% 39,608.95 - - -
1.46% 14,570.46 - - -
0.80% 7,965.60 - - -
0.13% 1,335.40 - - -
1.50% 14,998.50 - - -
-0.79% (7,890.98) - - -
0.05% 496.31 - - -
-1.09% (10,944.96) - - -
-0.02% (194.54) - - -
0.29% 2,904.29 - - -
-0.78% (7,752.49) - - -
tion Method Value at Risk (VaR)
1 Day VaR @ 99% CI 99% CI
Variance Covariance $ (35,609)
Historical Simulation $ (36,781)
Monte Carlo Simulation $ (35,447)
Note: Negative sign indicates that the loss in the portfolio

Kupiec Test (1995)

p (1%) is the expected probability of exceedances

p hat (p^) (Actual)​ is the observed probability of exceedances, calculated as x/n
x is the number of violation (failures)
n is the total number of observations

1 day VaR Backtest @ 99% CI Variance CovarianceHistorical Method

p 1% 1%
x 3 2
n 251 251
p^​ 1.20% 0.80%
LR 0.091 0.113
p value 76.30% 73.73%
p value > 5% Reliable Reliable

Note:
If you hope to demonstrate that a model is adequate, you would prefer a p-value greater than 5%
A p-value less than 5% would indicate that the model may not be performing adequately at the tested confidence
 99%VaR -> p=1%
95%VaR -> p = 5%
90%VaR -> P = 10%
exceedances
exceedances, calculated as x/n

Monte Carlo Simulation Method

1%
3
251
1.20%
0.091
76.30%
Reliable

refer a p-value greater than 5%

performing adequately at the tested confidence level
Date Open High Low Close Adj Close Volume
8/1/2022 114.5 115.11 113.07 114.21 110.7318 14740400
8/2/2022 113.92 114.4 112.27 112.43 109.006 14942900
8/3/2022 113.45 114.1 111.71 113.61 110.15 14394500
8/4/2022 112.85 113.32 111.02 112.36 108.9381 18033900
8/5/2022 112.53 116.19 112.05 115.76 112.2346 14174600
8/8/2022 116.25 116.7 114.18 114.35 110.8675 10332500
8/9/2022 114.75 115.99 114.37 115.38 111.8661 10233800
### 117.96 119.37 117.5 118.39 114.7844 12847300
### 119.9 121.2 119.31 120.14 116.4812 11684900
### 120.67 122.25 119.44 122.13 118.4106 9906700
### 121.14 122.72 120.6 122.46 118.7305 8456200
### 122.29 124.24 121.87 123.63 119.8649 9555000
### 122.3 123.16 121.69 122.59 118.8565 8149300
### 122.24 122.47 120.55 121.64 117.9355 9531800
### 120.62 120.99 118.11 118.63 115.0171 13464500
### 116.75 117.16 115.5 116.67 113.1168 8967600
### 116.69 117.29 115.38 115.52 112.0019 7607000
### 115.29 116.41 114.45 115.8 112.2733 9771300
### 116.16 118.74 115.68 118.55 114.9396 10758900
### 119.46 119.99 114.6 114.67 111.1777 11276200
### 114 114.86 113.46 114.39 110.9063 8117300
### 115 115.58 113.36 114.41 110.9257 10745400
### 114.48 115.03 113.34 113.73 110.2664 10738300
9/1/2022 113.29 114.63 111.91 114.51 111.0226 9979800
9/2/2022 115.87 117.45 113.19 113.71 110.247 10666600
9/6/2022 114.33 114.75 112.07 113.74 110.2761 9751900
9/7/2022 113.13 116.11 112.76 115.9 112.3703 10647900
9/8/2022 115.28 118.79 114.63 118.6 114.9881 11435000
9/9/2022 119.14 120.05 118.67 119.17 115.5407 9299700
### 120.62 121.55 119.79 120.58 116.9078 8614600
### 118.07 118.92 115.78 116.39 112.8454 12904600
### 116.7 117.84 114.88 116.12 112.5836 9345700
### 116.12 119.38 115.76 117.87 114.2803 10821400
### 117.39 117.4 115.37 117.08 113.5144 14844100
### 116 118.73 115.51 118.16 114.5615 8201300
### 117.41 117.69 114.64 115.83 112.3024 9619000
### 116.54 116.6 112.42 112.49 109.0641 12606300
### 113.38 113.6 111.07 111.21 107.8231 11684500
### 110.05 110.34 107.16 109.14 105.8162 18138600
### 108 109.61 106.06 106.79 103.5377 15753600
### 107.75 108.17 104.65 105.85 102.6264 12793600
### 105.95 108.73 105.64 107.99 104.7012 12762600
### 106.95 107.28 104.4 106.16 102.9269 12713900
### 106.06 107.62 104.4 104.5 101.3175 15973400
### 105.62 108.36 104.46 107.73 104.4491 12248100
### 110.61 112.99 109.86 112.77 109.3356 16013600
### 109.75 110.95 108.83 110.39 107.9857 10943500
### 109.46 110.19 107.94 108.14 105.7847 11521400
### 107.52 107.71 105.27 105.98 103.6717 11681100
### 106.73 107.31 104.52 104.99 102.7033 8931700
### 104.37 104.54 101.85 101.96 99.73928 12739700
### 101.8 104.73 101.28 103.61 101.3533 13181000
### 101.98 109.9 101.76 109.37 106.9879 22398700
### 111.96 115.24 110.72 111.19 108.7682 33387100
### 115.41 117.01 114.32 115.86 113.3365 22276300
### 119.66 120.14 116.96 118.84 116.2516 21539700
### 117.99 118.83 115.67 116.51 113.9724 17072000
### 117.16 118.71 115.65 116.13 113.6006 12207400
### 116.46 122.39 116.33 122.23 119.5678 20593300
### 122.07 123.1 121.33 122.38 119.7145 12624200
### 121.85 123.27 120.89 122.7 120.0275 11289100
### 123 125.2 122.88 124.11 121.4068 11667000
### 125.2 126.2 124.21 124.6 121.8862 10727600
### 125.29 126.28 124.05 126.08 123.3339 11859500
### 125.7 127.43 125.59 125.88 123.1383 13295200
### 126.87 128.28 126.33 128.15 125.3588 13386900
### 127.65 130.36 126.64 126.97 124.2046 16546100
### 126.31 128.18 125.91 127.2 124.4295 12474400
### 129.49 130.83 128.46 130.68 127.8337 14953200
### 131 132.29 130.48 131.37 128.5087 12011200
### 131.24 132.06 130.14 131.45 128.587 9884100
### 131.32 131.43 129.22 129.74 126.9142 9494000
### 132.63 135.25 132.53 135.08 132.1379 16351600
### 135.19 136.17 133.78 135.3 132.3531 10704700
### 134.8 135.73 133.91 133.91 130.9934 11085600
### 134.68 135.71 131.6 132.94 130.0445 14038300
### 133 133.56 132.03 133.12 130.2206 7893400
### 132 132.89 131.28 132.54 129.6532 8820200
### 134.57 134.67 132.28 133.84 130.9249 9468500
### 133.74 134.56 132.75 133.05 130.1521 7800500
### 134 135.27 133.69 135.04 132.0988 9185700
### 134.94 136.5 134.86 136.48 133.5074 7316200
### 136.48 137.14 136.06 136.74 133.7617 3220500
### 136.07 136.71 134.19 134.35 131.4238 9906900
### 134.66 136.64 134.41 136.56 133.5857 7925300
### 136.09 138.18 133.19 138.18 135.1704 14761200
### 138.18 138.66 135.43 136.24 133.2726 8858500
### 134.49 135.35 133.34 135.16 132.2162 8931900
### 134.24 134.57 130.6 131.37 128.5087 10154500
 ### 133.39 135.11 129.87 131.59 128.7239 13966700
### 131.31 133.08 130.33 131.5 128.6359 11739400
### 132.33 132.98 131.43 132.88 129.9858 8907300
### 132.2 133.76 132 132.16 129.2815 7957800
### 132.4 134.65 131.6 134.21 131.2869 8841600
### 136.89 137.09 133.08 134.08 131.1597 10025400
### 133.78 135.71 132.76 133.41 130.5043 9966100
### 131.15 132.08 129.05 130.1 127.2664 12087800
### 129.15 129.9 128.43 129.29 126.474 21133700
### 129.65 131.33 129.09 130.06 127.2272 9017200
### 130.97 132.05 130.2 130.69 127.8435 8549900
### 132.18 132.98 131.77 132.16 129.2815 8051700
### 131.1 131.3 128.41 130.66 127.8142 8648200
### 130.58 131.44 129.64 131.28 128.4207 5091900
### 131.57 132.22 130.55 131.74 128.8707 5411000
### 131.85 133.41 131.01 132.46 129.575 8827700
### 132.93 133.27 132.31 133.22 130.3184 6585200
### 132.81 134.33 132.44 134.1 131.1793 9292500
1/3/2023 135.24 136.74 133.89 135.12 132.177 11054800
1/4/2023 135.99 137.68 135.57 136.38 133.4096 11687600
1/5/2023 135.66 135.71 133.7 135.35 133.3801 8381300
1/6/2023 136.13 138.38 134.49 137.94 135.9323 10029100
1/9/2023 138.6 138.88 136.88 137.37 135.3706 8482300
### 137.79 138.72 137.31 138.6 136.5827 9048700
### 138.9 139.75 138.1 139.63 137.5977 8703700
### 140 140.86 139.22 139.49 137.4598 11001700
### 135.6 143.49 134.8 143.01 140.9285 20200000
### 141.17 141.54 139.23 140.8 138.7507 14292900
### 138.92 140.73 136.41 136.57 134.5823 13392600
### 135.32 135.9 133.59 134.75 132.7888 13303400
### 135.16 135.49 133.55 135.08 133.114 13092500
### 135.12 137.96 134.82 137.27 135.2721 10487100
### 136.42 140.29 135 138.45 136.4349 6945000
### 138.05 139.12 137.25 139.12 137.0952 8967000
### 139.42 140.06 138.36 139.98 137.9426 7487600
### 140.61 141.26 139.75 140.32 138.2777 7489900
### 139.23 140.09 138.91 139.13 137.105 6729300
### 139.88 140.07 138.25 139.96 137.9229 9188700
2/1/2023 138.21 140.88 138.12 139.59 137.5583 8841800
2/2/2023 140 140.46 138 138.94 136.9178 11822100
2/3/2023 138.18 142.33 138.13 141.09 139.0365 11501200
2/6/2023 140.23 142.24 140.03 141.92 139.8544 8406200
2/7/2023 141.38 144.34 141.18 143.65 141.5592 10447900
2/8/2023 142.65 144.04 142.28 142.64 140.5639 6958000
2/9/2023 143.12 143.34 139.87 140.42 138.3762 6443100
 ### 139.78 141.28 138.59 141.04 138.9872 6582900
### 141.3 142.73 140.74 142.57 140.4949 7134600
### 142.5 143.81 141.6 143.2 141.1158 9249400
### 141.61 143.89 141.3 143.8 141.707 6728300
### 142.91 143.39 141.68 141.82 139.7559 8165300
### 140.98 142.83 140.07 142.24 140.1698 7948800
### 140.69 141.34 138.75 139.63 137.5977 9996300
### 138.92 139.43 137.44 138.56 136.5433 11107500
### 138.73 140.17 137.94 139.67 137.6372 8068000
### 139.11 141.36 138.93 140.93 138.8788 9126900
### 142.11 143.31 141.72 142.16 140.0909 10014700
### 142.94 143.76 141.9 143.35 141.2636 11019800
3/1/2023 142.1 143.46 141.8 142.55 140.4752 7139200
3/2/2023 142.24 142.43 139.54 141.07 139.0168 11106800
3/3/2023 141.51 143.74 141.08 143.66 141.5691 9513100
3/6/2023 143.44 144.04 142.66 142.82 140.7413 9261300
3/7/2023 142.01 142.31 137.81 138.62 136.6024 11747600
3/8/2023 138 138.59 136.89 137.8 135.7944 10002500
3/9/2023 136.76 137.35 129.22 130.34 128.4429 25888100
### 128.96 135.26 127.82 133.65 131.7048 37599700
### 131.21 133.88 129.41 131.25 129.3397 42901100
### 135.28 135.53 131.29 134.62 132.6606 29648100
### 130.98 130.99 126.73 128.26 126.3932 34280600
### 128.01 131.95 126.02 130.75 128.847 24558500
### 128.38 128.48 125.45 125.81 123.9789 38396000
### 126.99 129.47 126.01 127.14 125.2895 22875500
### 130.59 131.73 130.19 130.55 128.6499 17807800
### 130.56 130.66 127.08 127.18 125.3289 17250200
### 127.9 129.53 126.02 126.84 124.9939 16677600
### 125.63 125.68 123.11 124.91 123.092 22311100
### 126.79 129.38 126.29 128.49 126.6199 18853900
### 128.71 129.34 127.74 128.88 127.0042 10820500
### 130.1 130.22 127.77 129.14 127.2604 14595300
### 129.95 130.12 127.65 128.75 126.8761 12134700
### 129.66 130.34 128.85 130.31 128.4134 13105200
4/3/2023 129.91 131.44 129.41 130.16 128.2656 11775400
4/4/2023 130.5 130.59 127.41 128.42 126.5509 11579900
4/5/2023 126.8 128.15 126.46 127.61 126.7396 9614700
4/6/2023 127 128.08 126.86 127.47 126.6006 8760200
### 126.54 128.23 126.22 127.89 127.0177 9477300
### 128.3 128.94 127.54 128.52 127.6434 10516300
### 129.18 130.43 128.06 128.5 127.6235 11821000
### 128.46 129.04 126.83 128.99 128.1102 12450200
### 135.15 139.12 134.9 138.73 137.7838 43931300
### 139.95 140.06 137.66 139.83 138.8763 16050500
 ### 140.27 141.78 139.03 141.4 140.4355 13760100
### 141.23 141.5 140.4 141.22 140.2568 9158100
### 139.91 141.43 139.84 140.81 139.8496 10586200
### 139.74 141.11 138.78 140.54 139.5814 11842500
### 140.46 141.1 140.04 140.73 139.7701 7567500
### 139.6 139.96 137.63 137.67 136.731 10629300
### 137.62 137.81 134 135.23 134.3076 14416100
### 136 137.91 135.66 137.05 136.1152 9041100
### 136.56 138.32 135.67 138.24 137.2971 9881800
5/1/2023 142.26 143.37 140.83 141.2 140.2369 20415800
5/2/2023 141.4 142.41 138.43 138.92 137.9725 14113400
5/3/2023 138.44 138.67 135.76 135.98 135.0525 12930900
5/4/2023 134.96 135.72 131.81 134.12 133.2052 17089200
5/5/2023 136.44 137.88 135.91 136.74 135.8073 11259100
5/8/2023 137.49 137.97 136.48 137.07 136.1351 7484900
5/9/2023 135.93 136.95 135.21 136.41 135.4796 7343600
### 137.95 138.06 134.87 136.48 135.5491 8133400
### 135 136.81 134.9 136.05 135.122 7057300
### 136.82 136.99 133.13 134.1 133.1853 9986400
### 134.27 135.67 133.96 135.23 134.3076 7639500
### 135.46 135.94 133.96 134.32 133.4038 6477200
### 135.9 138.59 135.46 138.45 137.5057 12711500
### 138.27 139.73 137.76 139.5 138.5485 10999600
### 139.79 140.49 138.13 139.18 138.2307 13490700
### 141 141.64 137.66 138.03 137.0885 11402500
### 137.54 139.03 136.46 136.59 135.6583 9514900
### 135.4 136.35 135.08 135.34 134.4169 8578000
### 134.82 136.27 134.58 135.67 134.7446 8472500
### 136.11 137.6 135.63 136.94 136.006 8579900
### 136.8 137.72 136.02 137.46 136.5224 7399900
### 136.73 136.84 134.4 135.71 134.7844 14219900
6/1/2023 136.52 138.23 135.45 137.58 136.6416 12248100
6/2/2023 139.56 141.48 139.34 140.47 139.5119 12917200
6/5/2023 140.11 140.11 138.13 139.09 138.1413 8511900
6/6/2023 138.68 140.1 138.21 139.34 138.3896 9329500
6/7/2023 139.55 141.27 138.83 140.69 139.7304 9281400
6/8/2023 140.67 140.89 139.48 140.73 139.7701 7368100
6/9/2023 140.35 141.8 140.21 141.01 140.0482 7249100
### 141.07 141.32 139.76 141 140.0383 7596600
### 140.48 142.87 140.14 142.02 141.0513 7701600
### 143 143.61 140.7 141.49 140.5249 9068700
### 140.59 143.4 140.03 143.09 142.114 9343100
### 143.05 143.97 142.5 143.26 142.2829 13812100
### 142.61 143 141.04 142.53 141.5578 8428600
### 142.9 144.02 141.69 142.32 141.3493 9926500
 ### 142.31 142.6 138.95 139.58 138.628 10075200
### 138.54 139.18 137.62 138.85 137.9029 9907500
### 138.87 140.01 137.69 139.19 138.2406 8429700
### 139 139.84 138.54 139.2 138.2505 8154000
### 139.16 139.21 137.96 138.59 137.6447 7558600
### 140.07 143.56 139.85 143.43 142.4517 15423200
### 144.6 146 143.66 145.44 144.448 14208500
7/3/2023 146.19 147.48 146 146.61 145.61 8021600
7/5/2023 144.94 145.43 144.36 144.64 144.64 8934900
7/6/2023 143.02 143.39 141.44 143.21 143.21 9709500
7/7/2023 143.91 145.84 143 144.34 144.34 8977500
### 144.5 145.99 144.5 145.15 145.15 9100100
### 146.34 147.82 145.71 147.42 147.42 11265600
### 147.45 149.87 147 148.15 148.15 11323200
### 148.7 149.37 147.75 148.87 148.87 11234900
### 151.55 152.89 148.41 149.77 149.77 27011600
### 150.35 153.75 150.35 153.38 153.38 17262400
### 153.38 154.4 152.82 153.66 153.66 13491700
### 152.75 155.21 152.22 154.25 154.25 12510000
### 154.53 156.59 154.41 156.15 156.15 9935900
### 155.8 156.14 154.69 154.95 154.95 10633100
### 154.97 158.79 154.73 158 158 14381400
### 157.3 157.72 155.96 156.82 156.82 9944700
### 156.71 158.25 156.28 157.76 157.76 8728600
### 157.77 158.78 155.55 156.02 156.02 10778400
### 157.28 157.6 156.44 156.91 156.91 9103800
### 157.18 159.38 157.15 157.96 157.96 8892700
Date Open High Low Close Adj Close Volume
8/1/2022 83.66 84.54 83.01 84.09 81.15598 5439200
8/2/2022 83.33 84.59 82.96 83.53 80.61553 7684700
8/3/2022 84.68 85.59 84.12 85.05 82.0825 7043600
8/4/2022 85.2 85.65 84.8 85.36 82.38168 5722600
8/5/2022 84.99 86.71 84.71 86.13 83.12481 6219300
8/8/2022 86.76 87.22 85.95 86.03 83.02831 5719700
8/9/2022 86.45 86.84 85.87 86.36 83.34679 4920100
### 87.53 89.66 87.5 88.89 85.78851 7271700
### 89.98 90.84 89.8 90.2 87.0528 8808100
### 90.62 91.75 90.06 91.66 88.46187 6259000
### 90.65 92.29 90.46 92.02 88.8093 7348900
### 91.48 92.27 91.34 91.82 88.61628 5953800
### 90.39 91.83 90.35 91.35 88.16268 5499000
### 91.17 92 90.99 91.73 88.52943 4664800
### 90.65 90.92 89.66 90.01 86.86944 6264100
### 88.43 88.86 87.71 88.46 85.37351 6452800
### 88.46 89.25 87.96 88.3 85.2191 7487700
### 87.99 89.04 87.81 88.6 85.50863 5262400
### 89.07 90.1 88.8 89.91 86.77294 4943300
### 90.34 90.49 86.72 86.81 83.78109 7911500
### 86.14 86.43 85.06 85.35 82.37203 7505300
### 86.14 86.23 84.21 84.43 81.48413 8849400
### 84.61 85.94 84.06 85.22 82.24657 9223100
9/1/2022 84.67 86.21 83.39 86.17 83.16342 7830800
9/2/2022 87.36 89.03 85.72 86.4 83.3854 9974400
9/6/2022 86.75 86.84 83.16 85.13 82.15971 10689300
9/7/2022 84.37 87.26 84.37 86.86 83.82935 7592700
9/8/2022 86.53 88.49 86 88.44 85.35421 8446700
9/9/2022 89.22 89.82 88.8 89.46 86.33863 5976200
### 90 91.04 89.85 90.15 87.00456 8030800
### 88.01 88.68 86.8 87.05 84.01272 7890700
### 87.54 88.11 86.13 87.18 84.13818 8341100
### 87.34 89.46 87.25 88.26 85.1805 8883100
### 87.4 87.7 85.58 87.43 84.37946 20988900
### 86.12 89.02 86.08 88.72 85.62445 6011500
### 88.1 88.45 86.37 87.19 84.14784 8092300
### 87.9 89.15 86.35 86.36 83.34679 9707800
### 86.91 87.25 84.27 84.77 81.81226 8376300
### 83.28 83.69 80.22 81.51 78.66602 9990500
### 80.92 81.66 79.01 79.76 76.97707 8496000
### 80.7 80.85 78.35 79.48 76.70684 6855400
### 79.76 81.89 79.69 81.47 78.62741 6693500
### 80.8 81.03 79.03 79.86 77.07359 5892700
### 79.77 81.16 78.86 79.01 76.25325 8090900
### 80.05 80.98 78.32 80.38 77.57544 8169200
### 82.2 84.74 81.8 83.97 81.04018 7875000
### 82.03 83.59 81.38 83.11 80.21019 5956500
### 82.45 83.19 81.13 81.31 78.47298 6434800
### 80.7 80.79 78.38 78.93 76.17604 7180900
### 79.44 79.72 77.82 78.41 75.67417 5418000
### 77.92 78.41 76.54 77 74.31337 6271100
### 76.99 77.8 76.33 76.6 73.92732 6411600
### 74.98 79.66 74.67 79.32 76.55242 11811500
### 77.23 79.06 74.83 75.3 72.67269 13658500
### 76.81 78.24 76.33 77.14 74.44849 11412400
### 79.8 80.59 78.38 79.44 76.66824 9767800
### 79.15 79.59 77.37 77.64 74.93105 7429600
### 77.63 78.54 76.14 76.6 73.92732 7638100
### 76.61 79.53 76.22 79.22 76.45592 8149000
### 79.53 81.1 78.57 79.43 76.65859 8143300
### 78.61 80.67 78.61 80.51 77.70091 8173600
### 80.6 82.05 80.58 80.91 78.08695 7733400
### 82 82.48 80.6 80.69 77.87463 6466400
### 80.27 82.3 79.51 82.22 80.12077 7816100
### 81.77 83.36 81.69 82.17 80.07205 9087400
### 83.25 83.97 82.99 83.72 81.58247 8195600
### 83.45 86.72 83.42 84.37 82.21587 10907500
### 83.06 84.63 82.55 83.62 81.48503 6447200
### 85.15 85.75 84 84.85 82.68362 6929700
### 85.52 86.13 85.11 85.57 83.38524 4599600
### 85.61 86.23 84.51 85.28 83.10265 4850300
### 84.88 85.34 83.19 83.45 81.31936 5200800
### 86.69 88.98 86.52 88.8 86.53277 10013900
### 89 91.69 89 90.78 88.46221 9119100
### 90.27 91.36 89.79 89.81 87.51698 4873400
### 91.07 91.86 89.36 90.5 88.18937 7336100
### 90.47 90.47 89.06 89.82 87.52673 4368600
### 88.69 89.12 87.51 88.95 86.67894 4967300
### 90.27 90.37 88.59 89.2 86.92255 5450700
### 89.06 89.68 88.57 89.08 86.80563 4667100
### 89.59 90.19 89.3 89.67 87.38055 3804100
### 89.72 90.45 89.67 89.93 87.63392 4961400
### 89.65 91.08 89.47 90.91 88.58891 2450100
### 90.2 91.1 89.7 89.89 87.59495 6147700
### 89.64 91.47 89.6 91.08 88.75456 5307100
### 91.28 93.25 89.13 93.07 90.69375 10520600
### 93.06 93.49 92.04 93 90.62554 7310400
### 91.86 92.66 91.51 92.1 89.74852 5197800
### 91.48 91.72 89.09 89.81 87.51698 8272500
 ### 89.62 89.76 86.41 87.51 85.2757 10424700
### 86.82 88.03 86.71 87.28 85.05158 7066700
### 87.68 88.79 87 88.69 86.42558 6141400
### 88.68 89.76 88.37 89.47 87.18566 6488300
### 89.01 91.33 88.28 91.12 88.79353 7496200
### 93.66 95.16 92.07 92.71 90.34293 10330500
### 92.51 92.68 89.87 90.5 88.18937 7704600
### 89.15 89.19 86.92 87.79 85.54856 8795200
### 86.53 86.87 85.83 86.86 84.6423 17262000
### 86.74 87.04 84.96 85.55 83.36575 5129600
### 85.92 86.45 85.14 85.16 82.9857 5206800
### 86.41 87.82 86.35 86.87 84.65205 5422400
### 86.58 86.58 84.77 86.37 84.16482 5635200
### 86.33 86.58 85.35 86.11 83.91145 3316100
### 86.36 86.36 84.94 85.06 82.88825 7064700
### 84.96 85.21 84.06 84.46 82.30358 3714900
### 84.96 85.59 84.56 85.24 83.06366 3461700
### 84.7 85.2 84.18 85.02 82.84928 4455600
1/3/2023 85.64 86.6 84.98 85.72 83.53141 5108900
1/4/2023 85.55 87.35 85.18 86.65 84.43766 7726800
1/5/2023 85.9 86.17 84.83 85.92 83.7263 5339900
1/6/2023 86.44 87.96 85.71 87.56 85.32443 5710900
1/9/2023 88.25 88.91 87.41 87.64 85.40239 5039700
### 87.55 88.93 86.84 88.92 86.64971 4536600
### 89.37 89.81 88.85 89.43 87.14668 6122600
### 90.02 91.81 89.35 90.53 88.2186 7895600
### 89.03 91.98 88.27 91.66 89.31975 8414600
### 95.9 99.1 95 97.08 94.60136 27914300
### 96.8 97.95 96.34 96.58 94.11414 14134800
### 94.61 94.98 92.94 94.15 91.74618 13457100
### 94.13 96.28 93.88 96.24 93.78281 10785000
### 95.87 97.22 95.49 97.13 94.65009 8735300
### 96.28 96.81 92.92 95.51 93.07146 4801600
### 94.88 95.93 94.44 95.64 93.19814 5891000
### 96.22 96.54 95.31 96.5 94.03618 6085100
### 96.41 97.43 95.71 96.86 94.38699 7990800
### 95.03 96.61 94.92 95.96 94.26419 5870100
### 96.29 97.37 95.76 97.33 95.60999 7182100
2/1/2023 96.95 99.06 96.93 98.19 96.4548 9815200
2/2/2023 98.88 100.27 97.96 99.21 97.45676 11118900
2/3/2023 98.24 100.18 98.07 99.43 97.67287 6948600
2/6/2023 98.45 99.2 98.07 98.9 97.15225 4737700
2/7/2023 98.77 99.82 98.05 99.22 97.46658 5060700
2/8/2023 98.32 99.94 98.06 98.96 97.21118 4705200
2/9/2023 99.22 99.8 97.73 98.05 96.31727 4983800
 ### 97.59 98.6 97.56 98.44 96.70037 5224900
### 98.46 99.76 98.16 99.43 97.67287 4910300
### 99.05 100.99 98.97 100.56 98.78291 7679500
### 99.51 100.96 99.5 100.83 99.04813 6464200
### 99.78 100.24 98.81 99.57 97.8104 6051800
### 98.9 100.02 98.3 99.51 97.75147 8133000
### 98.46 99 97.18 97.62 95.89486 6556000
### 97.37 98.07 96.62 97.27 95.55104 5072400
### 97.88 98.42 96.7 97.94 96.20921 5916100
### 97.15 97.98 96.61 97.7 95.97344 5414200
### 98.41 98.48 96.58 96.7 94.99111 5645000
### 97.12 97.29 96.26 96.5 94.79466 6745300
3/1/2023 95.96 96.76 95.26 96.19 94.49014 5429600
3/2/2023 95.45 96.37 94.48 96.08 94.38207 4632400
3/3/2023 96.55 98.44 96.45 98.33 96.59231 6504000
3/6/2023 98.44 99.2 98.1 98.38 96.64143 5215200
3/7/2023 98 98.26 95.97 96.06 94.36243 5461400
3/8/2023 95.64 96.5 95.36 95.9 94.20525 4121300
3/9/2023 95.36 95.95 91.77 92.2 90.57064 9162400
### 91.77 93.01 89.23 90.05 88.45864 16206500
### 88.54 90.18 86.65 87.99 86.43504 15175400
### 92.41 92.41 89.12 89.97 88.38005 11089300
### 86.93 87.02 83.68 85.39 83.88099 14814000
### 84.55 88.28 83.28 87.01 85.47236 15342400
### 86.49 86.5 83.7 84.18 82.69237 19935800
### 84.6 86.31 84.37 85.64 84.12657 8649800
### 88.23 89.18 88 88.76 87.19144 8905600
### 88.75 90.08 87.46 87.55 86.00282 7299300
### 87.95 88.8 85.24 85.84 84.32303 9373000
### 84.51 84.51 81.72 83.95 82.46644 10978700
### 86.06 86.32 84.36 84.64 83.14424 6626900
### 84.56 85.17 83.93 84.88 83.38001 5209900
### 85.93 86.35 85.35 86.24 84.71597 4873500
### 87.26 87.61 85.46 86.11 84.58826 4113700
### 86.8 87.87 86.17 87.8 86.24841 6142400
4/3/2023 87.95 88.32 86.67 87.16 85.61971 7728400
4/4/2023 87 87.2 84.26 84.82 83.32107 6222800
4/5/2023 83.83 84.53 83.2 83.82 82.33874 6045400
4/6/2023 83.9 84.4 83.21 84.19 82.70219 3877800
### 83.95 84.36 83.43 84 82.51556 6185800
### 84.29 85.76 84.13 85.09 83.58628 5582100
### 85.51 86.02 84.79 85.47 83.95958 4641800
### 85.39 85.78 84.44 85.69 84.17569 5086000
### 86.43 87.4 86 86.71 85.17766 7865900
### 86.66 89.31 86.27 89.29 87.71207 8876900
 ### 89.13 90.54 88.74 89.85 88.26218 10227600
### 87.14 90.7 86.5 90.45 88.85156 13886200
### 89.85 91.82 89.72 90.43 88.83192 6776000
### 90.48 91.34 89.17 91.12 89.50973 6531000
### 91.23 91.48 89.55 90.2 88.60598 5004400
### 89.64 89.83 87.89 88.06 86.50381 5806700
### 88.15 89.79 87.91 88.44 86.87709 6429100
### 89.41 90.96 88.89 90.26 88.66493 6375800
### 89.45 90.33 89.16 89.97 89.14548 6374500
5/1/2023 90.19 90.52 87.83 87.93 87.12418 7745400
5/2/2023 87.57 87.57 85.33 86.29 85.49921 6319100
5/3/2023 86.4 87.18 84.57 84.75 83.97332 6546500
5/4/2023 84.17 84.45 81.61 82.61 81.85293 10359200
5/5/2023 83.79 85.02 83.62 84.88 84.10213 8286500
5/8/2023 85.48 85.57 84.32 84.43 83.65625 5825300
5/9/2023 84 84.91 83.7 84.37 83.5968 4381400
### 85.07 85.22 82.8 83.72 82.95276 4884900
### 82.78 82.82 81.62 82.63 81.87274 6717800
### 83 83.27 81.67 82.39 81.63495 5208200
### 82.67 83.38 82.25 82.95 82.18981 5032100
### 82.72 83.07 81.81 81.86 81.1098 6862900
### 82.54 83.92 82.5 83.91 83.14102 8216700
### 83.7 84.55 83.02 84.49 83.7157 5367700
### 83.79 84.42 82.23 82.24 81.48632 11177500
### 82.25 83.16 81.91 82.27 81.51605 5520000
### 82 83.57 81.89 82.64 81.88265 5521200
### 82.01 82.23 80.74 81.22 80.47567 6827800
### 81.21 83.13 80.98 83 82.23936 6962700
### 82.97 84.64 82.83 83.9 83.13111 7411600
### 84.16 84.57 83.11 83.42 82.6555 5876800
### 83.06 83.28 81.13 81.76 81.01072 9559200
6/1/2023 82.58 82.84 81.47 82.07 81.31788 6857500
6/2/2023 82.94 84.68 82.94 84.35 83.57698 6218100
6/5/2023 84.4 84.73 83.22 83.74 82.97257 6631900
6/6/2023 83.6 86.23 83.27 85.86 85.07314 6903900
6/7/2023 86.05 87.01 85.78 86.5 85.70728 7410800
6/8/2023 86.4 86.91 85.18 86.31 85.51902 6795900
6/9/2023 86.74 86.96 85.66 86.21 85.41994 6282600
### 86.2 87.64 86.01 87.44 86.63866 7053500
### 87.84 88.98 87.59 88.28 87.47096 6089200
### 88.6 89.49 87.64 87.98 87.17372 5772500
### 87.63 89.33 87.4 89.05 88.23392 8603200
### 89.62 89.65 87.94 88.09 87.28271 13144000
### 87.1 87.21 86.25 86.73 85.93517 7382000
### 86.56 87.28 86.3 86.34 85.54874 6343100
 ### 85.52 85.63 84.36 84.5 83.72561 6214600
### 83.26 83.92 82.6 83.58 82.81404 10017300
### 83.56 84.24 83.25 83.59 82.82394 6377400
### 83.91 84.87 83.38 84.43 83.65625 6639900
### 84.54 84.56 83.64 83.99 83.22028 4781600
### 85.34 86.06 84.63 85.24 84.45882 9066500
### 86.02 86.49 85.4 85.4 84.61736 6188200
7/3/2023 86.34 87.66 85.84 86.41 85.61811 5839300
7/5/2023 85.95 86.28 85.35 85.92 85.13259 6734300
7/6/2023 84.85 84.92 83.02 83.33 82.56633 8546800
7/7/2023 83.01 84.04 82.9 83.36 82.59605 8217300
### 83.42 84.39 83.18 83.4 82.63569 6141200
### 83.9 85.43 83.62 84.96 84.18139 11057700
### 86.68 87.71 85.6 85.77 84.98396 8602300
### 86.23 86.64 85.74 86.21 85.41994 6026500
### 87.41 87.42 85.56 85.78 84.99387 7731300
### 85.68 86.9 85.68 86.37 85.57848 7911800
### 87.54 92.56 87.1 91.94 91.09743 21633900
### 91.43 93.86 91.33 93.16 92.30625 12004300
### 93.11 94.14 92.86 93.8 92.94038 9541800
### 94.27 94.4 93.06 94.01 93.14846 6297900
### 94.01 95.4 93.7 94.67 93.80241 7259800
### 94.7 95.57 94.41 94.42 93.5547 7760100
### 94.4 95.15 93.29 93.54 92.68276 7201100
### 93.65 94.71 92.55 92.75 91.9 8427800
### 92.46 92.6 91.09 91.57 91.57 5798400
### 91.9 92.2 91.04 91.56 91.56 5242900
Date Open High Low Close Adj Close Volume
8/1/2022 33.62 33.89 33.22 33.71 32.54704 32336700
8/2/2022 33.6 33.72 33 33.04 31.90015 37884100
8/3/2022 33.42 33.75 33.17 33.64 32.47945 30065800
8/4/2022 33.52 33.67 33.17 33.4 32.24773 28404500
8/5/2022 33.28 34.33 33.24 33.96 32.78841 35874500
8/8/2022 34.17 34.29 33.45 33.49 32.33463 33454300
8/9/2022 33.65 33.96 33.41 33.92 32.74979 40196900
8/10/2022 34.5 35.43 34.45 35.07 33.86012 61415800
8/11/2022 35.77 36.06 35.65 35.91 34.67114 50420800
8/12/2022 36.16 36.31 35.69 36.3 35.04768 31821700
8/15/2022 35.84 36.3 35.67 36.25 34.99941 24908000
8/16/2022 36.19 36.94 36.1 36.64 35.37595 31870200
8/17/2022 36.2 36.59 36.08 36.41 35.15389 27125600
8/18/2022 36.25 36.4 36 36.28 35.02837 23138300
8/19/2022 35.96 36.03 35.31 35.48 34.25597 36485400
8/22/2022 34.75 34.82 34.45 34.72 33.52219 31210300
8/23/2022 34.67 34.97 34.36 34.41 33.22289 26588000
8/24/2022 34.25 34.8 34.05 34.52 33.32909 31389400
8/25/2022 34.6 35.28 34.45 35.14 33.9277 40576700
8/26/2022 35.44 35.48 34.02 34.03 32.856 36152600
8/29/2022 33.86 34.15 33.61 33.9 32.73048 34931000
8/30/2022 34.18 34.28 33.54 34.09 32.91393 48194900
8/31/2022 34.14 34.37 33.6 33.61 32.45049 44917600
9/1/2022 33.34 33.49 32.66 33.47 32.52824 32848900
9/2/2022 33.93 34.48 33.27 33.43 32.48936 44000800
9/6/2022 33.64 33.73 32.61 33.06 32.12977 40762400
9/7/2022 32.81 33.67 32.63 33.57 32.62542 40742600
9/8/2022 33.46 34.73 33.27 34.65 33.67503 44361800
9/9/2022 34.98 35.25 34.84 34.94 33.95687 37295100
9/12/2022 35.2 35.63 35.03 35.27 34.27758 30534000
9/13/2022 34.58 34.72 33.81 34 33.04332 40959600
9/14/2022 34.2 34.42 33.54 33.87 32.91698 32004400
9/15/2022 33.79 34.9 33.7 34.51 33.53897 44863300
9/16/2022 34.19 34.23 33.66 34.12 33.15994 54281800
9/19/2022 33.72 34.87 33.63 34.69 33.71391 29782000
9/20/2022 34.5 34.78 33.88 34.17 33.20853 33591100
9/21/2022 34.31 34.4 33.12 33.15 32.21724 51667800
9/22/2022 33.31 33.42 32.39 32.5 31.58553 47527500
9/23/2022 31.93 32.09 31.21 31.73 30.83719 55316100
9/26/2022 31.32 31.82 30.68 31.03 30.15689 40360200
9/27/2022 31.27 31.37 30.3 30.57 29.70983 43396600
9/28/2022 30.53 31.31 30.39 31.07 30.19577 38372900
9/29/2022 30.69 30.9 30.21 30.66 29.7973 35220900
9/30/2022 30.76 31.19 30.17 30.2 29.35025 42294100
 10/3/2022 30.59 31.28 30.2 31.09 30.2152 34591700
10/4/2022 31.72 32.52 31.66 32.38 31.4689 39758700
10/5/2022 31.54 32.03 31.45 31.92 31.02185 35791100
10/6/2022 31.6 31.88 31.36 31.46 30.57479 40891900
10/7/2022 31.17 31.24 30.53 30.75 29.88477 52304600
10/10/2022 30.9 31.05 30.35 30.66 29.7973 37669100
10/11/2022 30.37 30.47 29.57 29.77 28.93234 58124000
10/12/2022 29.64 30.31 29.48 29.86 29.01981 36137900
10/13/2022 29.41 31.77 29.31 31.69 30.79832 67671000
10/14/2022 31.81 32.63 31.57 31.7 30.80804 58108500
10/17/2022 33.36 33.87 32.87 33.62 32.67401 88896800
10/18/2022 34.98 35.36 34.28 34.88 33.89856 81937900
10/19/2022 34.58 34.83 33.77 33.92 32.96557 43139900
10/20/2022 33.98 34.63 33.59 33.7 32.75176 39549100
10/21/2022 33.56 35.04 33.56 34.95 33.96659 54870300
10/24/2022 35.11 35.26 34.71 35.07 34.08321 33765600
10/25/2022 34.74 35.58 34.53 35.39 34.39421 37132300
10/26/2022 35.42 36.09 35.35 35.7 34.69549 41104600
10/27/2022 36.15 36.37 35.77 35.87 34.8607 35261900
10/28/2022 36.04 36.3 35.64 36.18 35.16198 31659100
10/31/2022 36 36.33 35.81 36.04 35.02592 32565500
11/1/2022 36.44 36.76 36.11 36.2 35.18142 29913200
11/2/2022 36.07 37.28 35.95 36.09 35.07451 57380600
11/3/2022 35.7 36.14 35.41 35.89 34.88014 30046500
11/4/2022 36.5 37 36.22 36.79 35.75482 39369400
11/7/2022 37.01 37.34 36.73 37.01 35.96862 37533700
11/8/2022 37.09 37.42 36.75 37.11 36.06582 32664300
11/9/2022 36.88 36.96 36.39 36.52 35.49241 30164400
11/10/2022 37.3 38.22 37.14 38.13 37.05711 45702800
11/11/2022 38.19 38.6 37.97 38.41 37.32923 35688700
11/14/2022 38.09 38.26 37.75 37.76 36.69752 35541400
11/15/2022 38.19 38.3 37.3 37.7 36.63921 46082800
11/16/2022 37.61 37.74 37.2 37.36 36.30878 23813000
11/17/2022 36.88 37.2 36.56 37.17 36.12412 23689700
11/18/2022 37.79 37.85 36.92 37.19 36.14356 32041800
11/21/2022 37.09 37.52 37.06 37.31 36.26019 27935700
11/22/2022 37.59 37.8 37.43 37.49 36.43512 23499300
11/23/2022 37.49 37.66 37.37 37.61 36.55174 18934700
11/25/2022 37.72 37.87 37.56 37.7 36.63921 16118500
11/28/2022 37.4 37.66 36.83 36.86 35.82285 35428300
11/29/2022 36.98 37.15 36.72 37 35.95891 27048800
11/30/2022 36.9 37.85 36.2 37.85 36.78499 51747900
12/1/2022 37.5 37.69 36.4 36.55 35.72924 46213200
12/2/2022 36.06 36.29 35.81 36.08 35.2698 42295300
12/5/2022 35.81 35.89 34.14 34.47 33.69595 71386600
 12/6/2022 34.57 34.68 32.41 33 32.25896 84085700
12/7/2022 32.59 32.92 32.35 32.74 32.0048 49234100
12/8/2022 32.97 32.99 32.18 32.44 31.71153 45491100
12/9/2022 32.11 32.6 32.08 32.38 31.65288 36985500
12/12/2022 32.31 32.78 32.06 32.73 31.99502 41060500
12/13/2022 33.55 33.67 32.57 32.75 32.01457 54804800
12/14/2022 32.8 33 32.16 32.28 31.55513 48819500
12/15/2022 31.75 31.99 31.49 31.77 31.05658 49027600
12/16/2022 31.62 31.93 31.35 31.7 30.98815 61795200
12/19/2022 31.76 32.23 31.73 32.06 31.34007 38374100
12/20/2022 32.4 32.58 32.14 32.19 31.46715 35561100
12/21/2022 32.52 32.87 32.41 32.68 31.94615 32544000
12/22/2022 32.52 32.58 31.87 32.39 31.66266 30234400
12/23/2022 32.4 32.58 32.19 32.47 31.74086 21378600
12/27/2022 32.5 32.67 32.28 32.53 31.79952 22776100
12/28/2022 32.57 32.97 32.53 32.77 32.03413 30541000
12/29/2022 32.89 33.16 32.75 33.14 32.39582 22252900
12/30/2022 33.1 33.3 32.86 33.12 32.37626 28198900
1/3/2023 33.23 34.09 33.21 33.51 32.75751 35221500
1/4/2023 33.9 34.82 33.83 34.14 33.37336 41998500
1/5/2023 33.92 34.14 33.58 34.07 33.30493 34177000
1/6/2023 34.09 34.58 33.54 34.41 33.6373 34068700
1/9/2023 34.75 34.76 33.71 33.89 33.12897 43818800
1/10/2023 33.74 34.27 33.64 34.12 33.35381 35096000
1/11/2023 34.12 34.44 34 34.38 33.60797 36783700
1/12/2023 34.6 34.87 34.36 34.47 33.69595 44230400
1/13/2023 34.2 35.39 33.09 35.23 34.43888 89667800
1/17/2023 34.69 34.83 34.15 34.52 33.74483 56458400
1/18/2023 34.33 34.34 33.51 33.72 32.96279 54517800
1/19/2023 33.28 33.55 32.89 33.23 32.4838 42707100
1/20/2023 33.3 33.89 33.09 33.85 33.08987 45004400
1/23/2023 33.81 34.51 33.75 34.32 33.54932 33683300
1/24/2023 34.22 34.79 33.95 34.57 33.79371 26716700
1/25/2023 34.3 34.96 34.25 34.87 34.08697 28859700
1/26/2023 35.05 35.35 34.79 35.34 34.54641 30035500
1/27/2023 35.44 35.78 35.27 35.45 34.65395 29964900
1/30/2023 35.21 35.56 35.18 35.3 34.50731 27353500
1/31/2023 35.17 35.48 35 35.48 34.68327 38917400
2/1/2023 35.2 36.26 35.11 35.92 35.11338 44438700
2/2/2023 36.1 36.38 35.44 36.13 35.31868 33729100
2/3/2023 36.02 36.76 35.9 36.43 35.61194 37411700
2/6/2023 36.25 36.44 35.98 36.37 35.55329 29463200
2/7/2023 36.17 37 36.13 36.77 35.9443 44100200
2/8/2023 36.41 36.84 36.34 36.5 35.68036 28032800
2/9/2023 36.27 36.35 35.56 35.72 34.91789 35257100
2/10/2023 35.55 35.59 35.03 35.58 34.78103 32898900
2/13/2023 35.48 35.78 35.39 35.65 34.84945 29163900
2/14/2023 35.63 35.99 35.46 35.62 34.82013 33625200
2/15/2023 35.32 35.61 35.16 35.56 34.76148 23500100
2/16/2023 35.42 35.66 35.22 35.28 34.48776 22681100
2/17/2023 35.08 35.39 34.74 35.35 34.55619 28562700
2/21/2023 34.91 35.05 34.27 34.52 33.74483 37068900
2/22/2023 34.36 34.55 34.07 34.29 33.51999 38550400
2/23/2023 34.4 34.6 33.86 34.26 33.49066 28488000
2/24/2023 33.86 34.29 33.84 34.21 33.44179 27046600
2/27/2023 34.45 34.69 34.17 34.21 33.44179 30137500
2/28/2023 34.35 34.49 34.18 34.3 33.52977 32620600
3/1/2023 34.15 34.49 33.98 34.14 33.37336 29281600
3/2/2023 33.66 33.7 33 33.49 32.95029 44607200
3/3/2023 33.65 34.29 33.65 34.16 33.60949 39109100
3/6/2023 34.24 34.56 33.99 34.09 33.54062 36646700
3/7/2023 33.85 33.9 32.8 33 32.46819 52855300
3/8/2023 32.66 32.97 32.44 32.56 32.03528 40045600
3/9/2023 32.28 32.39 30.31 30.54 30.04783 1.12E+08
3/10/2023 30.32 31.04 28.92 30.27 29.78218 1.65E+08
3/13/2023 28.92 29.72 27.87 28.51 28.05055 2.18E+08
3/14/2023 29.99 30.09 28.47 28.76 28.29652 1.54E+08
3/15/2023 27.88 28.56 27.68 28.49 28.03087 1.31E+08
3/16/2023 28.38 29.47 28.11 28.97 28.50313 1.08E+08
3/17/2023 28.66 28.66 27.62 27.82 27.37166 1.31E+08
3/20/2023 28.24 28.43 27.65 27.75 27.30279 81441200
3/21/2023 28.63 28.98 28.51 28.59 28.12926 84854800
3/22/2023 28.71 28.74 27.64 27.64 27.19457 76925900
3/23/2023 28 28.09 26.79 26.97 26.53536 1.05E+08
3/24/2023 26.6 27.29 26.32 27.14 26.70262 96872700
3/27/2023 27.93 28.65 27.91 28.49 28.03087 1.02E+08
3/28/2023 28.38 28.65 27.98 28.12 27.66683 63416500
3/29/2023 28.49 28.77 28.24 28.67 28.20797 62666400
3/30/2023 28.92 29.06 28.11 28.3 27.84393 67427100
3/31/2023 28.62 28.68 28.26 28.6 28.1391 56482100
4/3/2023 28.64 28.98 28.33 28.59 28.12926 51996800
4/4/2023 28.55 28.65 27.66 27.98 27.52909 56233300
4/5/2023 27.66 27.91 27.46 27.64 27.19457 47799400
4/6/2023 27.72 28.01 27.62 27.84 27.39134 41216600
4/10/2023 27.67 28.1 27.65 27.94 27.48973 40572700
4/11/2023 28.02 28.75 27.96 28.71 28.24732 58761200
4/12/2023 28.68 29.01 28.37 28.48 28.02103 44313300
4/13/2023 28.56 28.64 28.24 28.56 28.09974 52261400
4/14/2023 29.3 29.87 29.25 29.52 29.04427 81110800
4/17/2023 29.77 30.41 29.4 30.37 29.88057 83704400
4/18/2023 30.8 30.93 29.8 30.56 30.06751 1.14E+08
4/19/2023 30.13 30.2 29.79 30.06 29.57557 65594200
4/20/2023 29.84 30.23 29.77 29.9 29.41814 43193800
4/21/2023 29.75 29.98 29.41 29.87 29.38863 44759000
4/24/2023 29.79 29.9 29.59 29.76 29.2804 28020300
4/25/2023 29.45 29.53 28.82 28.84 28.37523 49718800
4/26/2023 28.76 28.94 28.3 28.44 27.98167 45848400
4/27/2023 28.52 29.08 28.52 28.89 28.42442 33060100
4/28/2023 28.53 29.43 28.51 29.28 28.80814 45532800
5/1/2023 29.5 29.54 29 29.04 28.57201 34076800
5/2/2023 28.85 28.86 27.71 28.16 27.70619 70797700
5/3/2023 28.16 28.5 27.81 27.86 27.41102 51139500
5/4/2023 27.58 27.81 26.83 26.99 26.55504 82173800
5/5/2023 27.62 27.89 27.47 27.71 27.26344 50050100
5/8/2023 28.08 28.15 27.66 27.69 27.24376 34245500
5/9/2023 27.42 27.83 27.24 27.66 27.21424 32188800
5/10/2023 27.96 28 27.02 27.32 26.87972 44446400
5/11/2023 27.01 27.49 26.88 27.39 26.9486 34897300
5/12/2023 27.52 27.55 26.88 27.09 26.65343 38101300
5/15/2023 27.1 27.82 27.03 27.65 27.20441 38722800
5/16/2023 27.78 27.9 27.33 27.36 26.91908 33347500
5/17/2023 27.74 28.67 27.73 28.57 28.10958 61750400
5/18/2023 28.44 28.5 28 28.47 28.01119 51146100
5/19/2023 28.46 28.67 28.03 28.11 27.65699 49984200
5/22/2023 28.3 28.45 28.01 28.34 27.88329 36473700
5/23/2023 28.32 29.08 28.3 28.58 28.11942 51400400
5/24/2023 28.33 28.51 28 28.1 27.64715 50606900
5/25/2023 27.99 28.24 27.88 28.17 27.71603 40517800
5/26/2023 28.2 28.4 27.79 28.31 27.85377 57879100
5/30/2023 28.32 28.49 27.95 28.26 27.80458 41819600
5/31/2023 28.1 28.16 27.48 27.79 27.34215 61905200
6/1/2023 27.76 27.98 27.34 27.78 27.55041 57426100
6/2/2023 28.16 28.95 28.12 28.71 28.47273 66511100
6/5/2023 28.82 28.82 28.3 28.54 28.30413 34757800
6/6/2023 28.46 29.43 28.45 29.23 28.98843 46297900
6/7/2023 29.3 29.65 29.01 29.48 29.23636 44502600
6/8/2023 29.28 29.38 28.99 29.23 28.98843 41483100
6/9/2023 29.2 29.4 29.08 29.27 29.0281 32671800
6/12/2023 29.3 29.56 28.91 29.13 28.88926 41011300
6/13/2023 29.13 29.8 29.03 29.4 29.15702 42718800
6/14/2023 29.57 29.73 28.99 29.12 28.87934 38322800
6/15/2023 28.9 29.47 28.69 29.37 29.12727 42044900
6/16/2023 29.53 29.68 29.16 29.19 28.94876 53028200
6/20/2023 29.01 29.04 28.58 28.87 28.63141 39040900
6/21/2023 28.78 29 28.54 28.57 28.33388 39553400
6/22/2023 28.5 28.53 27.9 27.96 27.72892 50742900
6/23/2023 27.74 27.89 27.59 27.75 27.52066 54998400
6/26/2023 27.8 28.28 27.79 28.09 27.85785 47519300
6/27/2023 28.1 28.4 27.95 28.24 28.00661 39081800
6/28/2023 28.25 28.27 27.9 28.07 27.83802 37803800
6/29/2023 28.5 29 28.4 28.66 28.42314 68376400
6/30/2023 28.94 29.11 28.67 28.69 28.45289 50370700
7/3/2023 28.7 29.35 28.65 29.2 28.95868 30995800
7/5/2023 29.14 29.42 28.95 29.08 28.83967 37492000
7/6/2023 28.8 28.82 28.1 28.28 28.04628 52098000
7/7/2023 28.3 28.82 28.29 28.53 28.29421 34231500
7/10/2023 28.59 28.85 28.47 28.66 28.42314 36086000
7/11/2023 28.66 29.08 28.42 29.02 28.78017 40978700
7/12/2023 29.51 29.89 29.27 29.36 29.11736 41855500
7/13/2023 29.52 29.87 29.41 29.67 29.42479 39589000
7/14/2023 30 30.1 29.05 29.11 28.86942 58660500
7/17/2023 29.15 29.56 29.12 29.4 29.15702 49477200
7/18/2023 30 30.86 29.92 30.7 30.44628 98253800
7/19/2023 30.89 31.7 30.69 31.53 31.26942 70619800
7/20/2023 31.33 31.8 31.26 31.69 31.4281 42128800
7/21/2023 31.87 32.11 31.42 31.98 31.7157 70813600
7/24/2023 32 32.85 31.98 32.65 32.38017 64548600
7/25/2023 32.76 32.79 32.07 32.15 31.8843 51208800
7/26/2023 32.24 32.54 32.15 32.41 32.14215 41814600
7/27/2023 32.43 32.74 31.82 31.95 31.68595 45529500
7/28/2023 32.15 32.16 31.71 31.9 31.63636 33296500
7/31/2023 31.9 32.25 31.78 32 31.73554 29093400