Sie sind auf Seite 1von 27

# Exhibit 4: Portfolio Performance Measures

Statistic
Explanation
Holding Period Return (HPR) calculated as (ending value - beginning value) / (beginning
value).
Annualized Return
Standard Deviation
Annualized Standard
Deviation
Correlation

Beta

Sharpe Ratio
Treynor Ratio

Jensen's Alpha

## Annualized Tracking Error

Information Ratio

## Return expressed in annual terms. Daily HPR are converted

to annual HPR by multiplying by 252 (trading days per year).
Usual statistical calculation for standard deviation.
Standard deviation expressed in annual terms. Daily standard
deviations are converted to annual standard deviations by
multiplying by the square root of 252.
Usual statistical calculation for Pearson correlation
coefficient.
A relative risk measure, calculated by regressing a portfolio's
returns against the market returns. Also calculated by
dividing the covariance between the portfolio and the market
by the variance of the market.
Measure of a portfolio's return per unit of risk. Calculated as
the (Portfolio Return - Risk-free Rate) / (Standard Deviation
of Returns).
Measure of a portfolio's return per unit of risk. Calculated as
the (Portfolio Return - Risk-free Rate) / (Portfolio Beta).
A measure of a portfolio's return above its required return
based on the Capital Asset Pricing Model. Calculated as
(Portfolio Return - Risk-free Rate) - Portfolio Beta x (Market
Return - Risk-free Rate).
Excess return of the portfolio over a benchmark portfolio.
Calculated as the standard deviation of the (Daily Portfolio
Return - Daily Benchmark Return).
Tracking error expressed in annual terms. Daily tracking
errors are converted to annual tracking errors by multiplying
by the square root of 252.
Measure of a portfolio's return per unit of risk. Calculated as
the (Annual Portfolio Return - Annual Benchmark Return) /
(Annual Tracking Error).

0.15874

Date
Open
High
Low
Close
Volume
Adj Close Simple return LN return
2-Dec-13
97.29
97.29
94.04
97.01 4515700
94.6
-0.38%
-0.38%
1-Nov-13
96.52
99.27
96.32
97.37 6519100
94.96
1.72%
1.71%
1-Oct-13
96.18
96.7
93.14
96.52 4755600
93.35
0.32%
0.32%
3-Sep-13
95.1
98.99
94.12
96.21 4418100
93.05
1.96%
1.94%
1-Aug-13
98.62
99.44
94.01
94.36 5020800
91.26
-3.02%
-3.06%
1-Jul-13
99.35
101.81
96.3
98.08 4945800
94.1
-0.93%
-0.93%
3-Jun-13
96.77
100.18
95.16
99 4875000
94.98
2.51%
2.48%
1-May-13
101.98
103.34
96.56
96.57 6246900
92.65
-4.71%
-4.83%
1-Apr-13
99.41
103.7
98.38
102.14 4839700
97.23
2.46%
2.43%
1-Mar-13
95.68
99.78
94.87
99.69 4834100
94.9
3.95%
3.88%
1-Feb-13
95.58
96.78
93.19
95.9 5369200
91.29
1.44%
1.43%
2-Jan-13
89.4
95.29
89.25
95.29 5529200
89.99
8.03%
7.73%
3-Dec-12
87.42
90.85
86.27
88.21 6014000
83.3
1.35%
1.34%
1-Nov-12
87
88.13
83.31
87.04 6701500
82.19
1.17%
1.16%
1-Oct-12
92.11
94.16
86.37
86.8 6778800
81.24
-5.39%
-5.54%
4-Sep-12
89.51
94
88.71
91.75 5695800
85.87
2.52%
2.49%
1-Aug-12
89.49
90.43
86.15
89.49 5342200
83.76
0.94%
0.94%
2-Jul-12
88.41
93.32
87.62
89.36 6193700
82.98
0.94%
0.93%
1-Jun-12
87.47
90.76
85.92
88.53 7631100
82.21
-0.90%
-0.91%
1-May-12
97.23
98.01
89.26
89.34 6326700
82.96
-7.61%
-7.91%
2-Apr-12
97.82
99.5
94.13
97.45 6867900
89.79
-0.66%
-0.67%
1-Mar-12
99.28
100.44
95.13
98.1 6402200
90.39
-1.19%
-1.20%
1-Feb-12
99.46
101.29
98.26
99.28 4719700
91.48
0.94%
0.93%
3-Jan-12
101.33
102.22
97.7
99.05 6346300
90.63
-1.27%
-1.28%
1-Dec-11
95.44
101
94.82
100.33 5402700
91.8
5.03%
4.91%
1-Nov-11
92.31
95.54
91.22
95.52 5597400
87.4
3.65%
3.59%
3-Oct-11
87.43
93.84
83.74
92.85 6792900
84.32
5.73%
5.57%
1-Sep-11
90.27
91.09
83.65
87.82 8310800
79.75
-2.87%
-2.92%
1-Aug-11
87.49
91.22
82.01
90.41 9123300
82.11
5.26%
5.12%
1-Jul-11
84.16
89.57
84.15
86.48 6136200
78.01
2.56%
2.53%
1-Jun-11
81.47
84.91
80
84.32 6067100
76.06
3.41%
3.36%
2-May-11
78.4
83.08
78.2
81.54 6057000
73.55
4.89%
4.78%
1-Apr-11
76.3
78.59
75.66
78.31 5124100
70.12
2.92%
2.88%
1-Mar-11
75.71
77.25
72.89
76.09 6427100
68.13
0.55%
0.54%
1-Feb-11
74.22
76.45
73.08
75.68 7746400
67.76
3.56%
3.50%
3-Jan-11
77.1
77.59
72.14
73.67 12017300
65.43
-4.02%
-4.10%
1-Dec-10
79.14
80.94
75.94
76.76 5306400
68.17
-1.97%
-1.99%
1-Nov-10
78.06
79.85
77.12
78.3 5886500
69.54
1.47%
1.46%
1-Oct-10
75.04
79.9
74.4
77.77 5488300
68.53
4.37%
4.28%
1-Sep-10
73.92
76.26
73.66
74.51 6979500
65.66
1.99%
1.97%
2-Aug-10
70.5
74.07
69.84
73.06 6149900
64.38
5.56%
5.41%
1-Jul-10
66.72
71.54
65.31
69.73 6636700
60.99
5.87%
5.70%
1-Jun-10
66.23
70.58
65.8
65.87 7112800
57.61
-1.50%
-1.52%
3-May-10
70.88
71.84
65.55
66.87 9631500
58.49
-4.47%
-4.58%
1-Apr-10
67.06
71.71
67.06
70.59 6806500
61.23
5.81%
5.64%
1-Mar-10
63.98
67.49
63.25
66.72 6922900
57.87
4.50%
4.40%

1-Feb-10
4-Jan-10

62.83
62.63

65.75
64.78

62.54
61.06

63.85
62.43

8364800
8734500

55.38
53.69

3.15%

3.10%
#DIV/0!

Difference
0.00%
-0.01%
0.00%
-0.02%
-0.05%
0.00%
-0.03%
-0.11%
-0.03%
-0.08%
-0.01%
-0.31%
-0.01%
-0.01%
-0.15%
-0.03%
0.00%
0.00%
0.00%
-0.30%
0.00%
-0.01%
0.00%
-0.01%
-0.12%
-0.07%
-0.16%
-0.04%
-0.13%
-0.03%
-0.06%
-0.12%
-0.04%
0.00%
-0.06%
-0.08%
-0.02%
-0.01%
-0.09%
-0.02%
-0.15%
-0.17%
-0.01%
-0.10%
-0.16%
-0.10%

-0.05%
#DIV/0!

Date
Open
High
Low
Close
Volume
2-Dec-13
84.26
91.58
82.2
90.82 3505700
89.7
7.52%
1-Nov-13
81.84
85.49
80.76
84.24 3573100
82.73
2.89%
1-Oct-13
81.25
84.75
81.19
81.84 2873100
80.38
0.55%
3-Sep-13
84.31
85.34
81.19
81.39 3084800
79.94
-2.73%
1-Aug-13
83.74
85.68
80.5
83.64 3929100
81.65
0.68%
1-Jul-13
81.88
85.5
80.51
83.07 3029500
81.09
2.22%
3-Jun-13
87.51
88.79
79.5
81.25 3505400
79.32
-6.96%
1-May-13
88.81
93.88
85.65
87.11 3717200
84.51
-2.48%
1-Apr-13
86.19
90
81.58
89.3 2905900
86.64
3.79%
1-Mar-13
87.73
92.5
85.15
85.98 3273700
83.42
-2.13%
1-Feb-13
94.87
95.11
85.43
87.83 3466500
84.71
-6.85%
2-Jan-13
87.97
95.6
87.2
94.06 2806500
90.72
8.47%
3-Dec-12
84.18
87.21
82.95
86.42 2544600
83.35
2.78%
1-Nov-12
85.63
87.5
82.06
84.05 3422200
80.63
-1.64%
1-Oct-12
83.11
87.13
79.75
85.44 3099300
81.97
3.54%
4-Sep-12
74.98
83.45
73.62
82.47 4048100
79.12
9.35%
1-Aug-12
77.63
80.79
73.14
75.11 5262500
71.65
-2.25%
2-Jul-12
81
82.46
72.85
76.82 3897800
73.28
-5.14%
1-Jun-12
71.68
80.88
69.51
80.87 3875000
77.15
9.05%
1-May-12
83.22
83.92
71.86
73.87 4071200
70.04 -10.88%
2-Apr-12
80.62
83.25
75.92
82.36 3844100
78.09
1.79%
1-Mar-12
83
83.84
78.69
80.9 4106900
76.71
-2.48%
1-Feb-12
87.27
89.7
82.19
82.93 4026100
78.19
-3.81%
3-Jan-12
79.12
88.89
78.84
86.15 4163300
81.23
10.77%
1-Dec-11
78.65
79.7
73.23
77.35 3508300
72.93
-2.43%
1-Nov-11
72.62
79.3
70.52
79.25 5052200
74.33
4.32%
3-Oct-11
63.9
78.99
59.92
75.9 5772500
71.19
16.17%
1-Sep-11
80.73
82.22
64.56
64.57 5537800
60.56 -22.45%
1-Aug-11
81.11
82.56
66.06
80.82 7239900
75.36
2.90%
1-Jul-11
82.2
87.12
77.79
78.51 5469900
73.2
-4.90%
1-Jun-11
85.5
85.89
77.81
82.45 5547400
76.88
-4.31%
2-May-11
98.22
98.3
82.25
86.08 5624700
79.85 -12.46%
1-Apr-11
97.6
99.8
90.65
97.5 3801400
90.45
0.63%
1-Mar-11
90.75
96.98
84.27
96.89 4810500
89.88
7.21%
1-Feb-11
91.83
97.36
86.23
90.15 5269800
83.32
-0.83%
3-Jan-11
83.93
91.89
81.8
90.9 3895500
84.01
9.03%
1-Dec-10
75.89
84.85
75.23
83.05 3321200
76.75
10.60%
1-Nov-10
77.46
79.66
74.06
74.7 4065900
68.75
-2.77%
1-Oct-10
69.15
78.89
67.67
76.8 4461100
70.68
9.59%
1-Sep-10
64.69
73.7
64.47
69.78 4533000
64.22
9.79%
2-Aug-10
67.88
69.47
60.45
63.27 4866500
57.99
-5.25%
1-Jul-10
55.98
67.09
53.69
66.68 4610800
61.11
18.03%
1-Jun-10
57.22
61.43
53.95
55.68 5406100
51.03
-3.53%
3-May-10
60.41
61.6
52.73
57.68 6210100
52.6
-3.64%
1-Apr-10
59.99
63.68
59.01
59.82 3649500
54.55
0.60%
1-Mar-10
57.45
62.08
56.71
59.46 4705900
54.22
3.70%

1-Feb-10
4-Jan-10

50.37
54.74

58.05
60.16

48.33
49.69

57.3
49.95

5519000
5236600

52.01
45.34

13.73%

Date
Open
High
Low
Close
2-Dec-13 1806.55 1844.89 1767.99 1841.07
1-Nov-13
1758.7 1813.55
1746.2 1805.81
1-Oct-13 1682.41 1775.22 1646.47 1756.54
3-Sep-13 1635.95 1729.86 1633.41 1681.55
1-Aug-13 1689.42 1709.67 1627.47 1632.97
1-Jul-13 1609.78 1698.78 1604.57 1685.73
3-Jun-13 1631.71 1654.19 1560.33 1606.28
1-May-13 1597.55 1687.18 1581.28 1630.74
1-Apr-13 1569.18 1597.57 1536.03 1597.57
1-Mar-13 1514.68 1570.28 1501.48 1569.19
1-Feb-13 1498.11 1530.94 1485.01 1514.68
2-Jan-13 1426.19 1509.94 1426.19 1498.11
3-Dec-12 1416.34
1448 1398.11 1426.19
1-Nov-12
1412.2 1434.27 1343.35 1416.18
1-Oct-12
1440.9 1470.96 1403.28 1412.16
4-Sep-12 1406.54 1474.51 1396.56 1440.67
1-Aug-12 1379.32 1426.68 1354.65 1406.58
2-Jul-12 1362.33 1391.74 1325.41 1379.32
1-Jun-12 1309.87 1363.46 1266.74 1362.16
1-May-12 1397.86 1415.32 1291.98 1310.33
2-Apr-12 1408.47 1422.38 1357.38 1397.91
1-Mar-12
1365.9 1419.15 1340.03 1408.47
1-Feb-12 1312.45 1378.04 1312.45 1365.68
3-Jan-12 1258.86 1333.47 1258.86 1312.41
1-Dec-11 1246.91 1269.37 1202.37
1257.6
1-Nov-11
1251 1277.55 1158.66 1246.96
3-Oct-11 1131.21 1292.66 1074.77
1253.3
1-Sep-11 1219.12 1229.29 1114.22 1131.42
1-Aug-11 1292.59 1307.38 1101.54 1218.89
1-Jul-11 1320.64 1356.48 1282.86 1292.28
1-Jun-11
1345.2
1345.2 1258.07 1320.64
2-May-11 1365.21 1370.58
1311.8
1345.2
1-Apr-11 1329.48 1364.56
1294.7 1363.61
1-Mar-11 1328.64 1332.28 1249.05 1325.83
1-Feb-11 1289.14 1344.07 1289.14 1327.22
3-Jan-11 1257.62 1302.67 1257.62 1286.12
1-Dec-10
1186.6
1262.6
1186.6 1257.64
1-Nov-10 1185.71 1227.08
1173 1180.55
1-Oct-10 1143.49 1196.14 1131.87 1183.26
1-Sep-10 1049.72 1157.16 1049.72
1141.2
2-Aug-10 1107.53 1129.24
1039.7 1049.33
1-Jul-10
1031.1 1120.95 1010.91
1101.6
1-Jun-10
1087.3 1131.23 1028.33 1030.71
3-May-10 1188.58 1205.13 1040.78 1089.41
1-Apr-10 1171.23
1219.8 1170.69 1186.69
1-Mar-10 1105.36 1180.69 1105.36 1169.43

Volume
Adj Close S&P500 return MDC return
3.25E+09 1841.07
1.93%
-0.38%
3.26E+09 1805.81
2.77%
1.71%
3.5E+09 1756.54
4.36%
0.32%
3.47E+09 1681.55
2.93%
1.94%
3.07E+09 1632.97
-3.18%
-3.06%
3.27E+09 1685.73
4.83%
-0.93%
4E+09 1606.28
-1.51%
2.48%
3.66E+09 1630.74
2.06%
-4.83%
3.67E+09 1597.57
1.79%
2.43%
3.59E+09 1569.19
3.54%
3.88%
3.85E+09 1514.68
1.10%
1.43%
3.8E+09 1498.11
4.92%
7.73%
3.48E+09 1426.19
0.70%
1.34%
3.59E+09 1416.18
0.28%
1.16%
3.59E+09 1412.16
-2.00%
-5.54%
3.86E+09 1440.67
2.39%
2.49%
3.18E+09 1406.58
1.96%
0.94%
3.66E+09 1379.32
1.25%
0.93%
4.1E+09 1362.16
3.88%
-0.91%
4.16E+09 1310.33
-6.47%
-7.91%
3.92E+09 1397.91
-0.75%
-0.67%
3.98E+09 1408.47
3.09%
-1.20%
4.14E+09 1365.68
3.98%
0.93%
4.19E+09 1312.41
4.27%
-1.28%
3.67E+09
1257.6
0.85%
4.91%
4.29E+09 1246.96
-0.51%
3.59%
4.87E+09
1253.3
10.23%
5.57%
5.1E+09 1131.42
-7.45%
-2.92%
4.94E+09 1218.89
-5.85%
5.12%
4.31E+09 1292.28
-2.17%
2.53%
4.11E+09 1320.64
-1.84%
3.36%
4.11E+09
1345.2
-1.36%
4.78%
4.04E+09 1363.61
2.81%
2.88%
4.05E+09 1325.83
-0.10%
0.54%
3.18E+09 1327.22
3.15%
3.50%
4.82E+09 1286.12
2.24%
-4.10%
3.76E+09 1257.64
6.33%
-1.99%
4.35E+09 1180.55
-0.23%
1.46%
4.43E+09 1183.26
3.62%
4.28%
3.99E+09
1141.2
8.39%
1.97%
4.08E+09 1049.33
-4.86%
5.41%
4.7E+09
1101.6
6.65%
5.70%
5.24E+09 1030.71
-5.54%
-1.52%
6.63E+09 1089.41
-8.55%
-4.58%
5.85E+09 1186.69
1.47%
5.64%
4.7E+09 1169.43
5.71%
4.40%

1-Feb-10
4-Jan-10

1073.89
1116.56

1112.42
1150.45

Average Monthly1.21%
return MDC
Average Monthly1.27%
return DE
Average Monthly1.15%
return S&P500

1044.5
1071.59

1104.49 4.66E+09
1073.87 5.07E+09

1104.49
1073.87

2.81%

3.10%

DE return
7.52%
2.89%
0.55%
-2.73%
0.68%
2.22%
-6.96%
-2.48%
3.79%
-2.13%
-6.85%
8.47%
2.78%
-1.64%
3.54%
9.35%
-2.25%
-5.14%
9.05%
-10.88%
1.79%
-2.48%
-3.81%
10.77%
-2.43%
4.32%
16.17%
-22.45%
2.90%
-4.90%
-4.31%
-12.46%
0.63%
7.21%
-0.83%
9.03%
10.60%
-2.77%
9.59%
9.79%
-5.25%
18.03%
-3.53%
-3.64%
0.60%
3.70%

13.73%

1
2
3
4
5
6
7
8
9
10
11

## Data Summary Table of

Description
MDC return DE return
S&P500 return
Average Monthly returns
1.21%
1.27%
1.15%
Minimum Monthly return
-7.91%
-22.45%
-8.55%
Maximum Monthly return
7.73%
18.03%
10.23%
Standard Deviation Monthly
0.03380544 0.076548993
0.040136507
Annualized Return
14.46%
15.26%
13.76%
Annualized Standard Deviation
0.117105478 0.265173491
0.13903694
Annualized variances
0.013713693
0.07031698
0.019331271
Reward to variability Ratio Rf=1.75
1.085522297 0.509645007
0.864064836
Correlation of stock with S&P
0.356581734 0.662143595
1
Beta
0.024495417
0.10299848
0.057859243
Beta from regression
0.3
1.26
2

12 R (Market risk)
2
13 1-R
14 Jensen's Alpha

0.107753878

0.425954898

0.892246122 0.574045102
0.012223112 -1.759583471

0
-0.0661276

## 0.3282412 0.6524951 0.9999676

1.16E-05

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.356581734
R Square
0.127150533
0.00102
0.107753878 // attributed to market risk or unsystematic risk
Standard Error
0.031932206
// hence
0.892246
Observations
47
// is the firm specific systematic risk
ANOVA
df
Regression
Residual
Total

Intercept
S&P500 return

1
45
46

SS

MS
F
Significance F
0.006684196 0.006684 6.555282 0.0138842
0.04588496 0.00102
0.052569156

Coefficients
0.00860695
0.300335108

Standard Error
t Stat
P-value Lower 95%
0.004848219 1.775281 0.082615 -0.001158
0.117303354 2.560328 0.013884 0.064074

RESIDUAL OUTPUT
Observation Predicted MDC return
1 0.014414735
2 0.016915204
3 0.021710565
4 0.017411438
5 -0.000943184
6 0.023106456
7
0.004068
8 0.014778889
9 0.013990206
10 0.019225408
11 0.011910601
12 0.023382765
13 0.010722345
14 0.009460701
15 0.002603902
16 0.015799092
17 0.014484689
18 0.01236683
19 0.020257748
20 -0.010824506
21 0.006346705
22 0.01787275

PROBABILITY OUTPUT
Residuals
Standard Residuals
-0.018213009 -0.57667
0.000184676 0.005847
-0.018491678 -0.58549
0.00201297 0.063735
-0.029702287 -0.94045
-0.032414753 -1.02633
0.02076939 0.657609
-0.063029242 -1.99566
0.010265395 0.325027
0.019557045 0.619223
0.002432098 0.077006
0.053867239 1.705566
0.002692564 0.085253
0.002165203 0.068556
-0.058030689 -1.83739
0.009079866 0.28749
-0.005128738 -0.16239
-0.003044165 -0.09639
-0.029339363 -0.92895
-0.068290541 -2.16224
-0.013006736 -0.41182
-0.029859477 -0.94542

Percentile
1.0638298
3.1914894
5.3191489
7.4468085
9.5744681
11.702128
13.829787
15.957447
18.085106
20.212766
22.340426
24.468085
26.595745
28.723404
30.851064
32.978723
35.106383
37.234043
39.361702
41.489362
43.617021
45.744681

23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47

0.020556483
0.021419246
0.011158764
0.007083806
0.039333212
-0.013758142
-0.00895289
0.002087166
0.003072906
0.004524527
0.017045441
0.008292244
0.01805447
0.01533235
0.027605103
0.007918309
0.019476979
0.033813618
-0.005992881
0.028583975
-0.008028125
-0.017081208
0.013007301
0.025765924
0.017050795

-0.011221398
-0.034246259
0.037958251
0.028792392
0.016389132
-0.015404928
0.060175678
0.023227356
0.03048415
0.04323286
0.011744974
-0.00284665
0.016936711
-0.056356067
-0.047502645
0.006712212
0.023304714
-0.014126732
0.06008599
0.028429777
-0.007131511
-0.028700258
0.043430849
0.018214674
0.013940958

-0.3553
-1.08432
1.201849
0.911636
0.518919
-0.48776
1.905306
0.735434
0.965201
1.368856
0.371874
-0.09013
0.536257
-1.78437
-1.50405
0.212525
0.737883
-0.44729
1.902466
0.900155
-0.2258
-0.90872
1.375125
0.57672
0.441404

47.87234
50
52.12766
54.255319
56.382979
58.510638
60.638298
62.765957
64.893617
67.021277
69.148936
71.276596
73.404255
75.531915
77.659574
79.787234
81.914894
84.042553
86.170213
88.297872
90.425532
92.553191
94.680851
96.808511
98.93617

Residuals

0.1
0.05

stematic risk

-10.00%

0
0.00%
-0.05

-5.00%

-0.1

5.00%

10.00%

S&P500 return

gnificance F

10.00%

MDC return

## Upper 95%Lower 95.0%

Upper 95.0%
0.018372 -0.00116 0.018372
0.536596 0.064074 0.536596

5.00%

-10.00%

-5.00%

0.00%
0.00%
-5.00%
-10.00%

PROBABILITY OUTPUT

S&P500 return

## Normal Probability Plot

0.1
MDC return

MDC return
-0.07912
-0.05543
-0.04825
-0.04578
-0.04102
-0.03065
-0.02916
-0.0199
-0.01516
-0.01283
-0.01199
-0.00931
-0.00908
-0.00666
-0.0038
0.003219
0.005446
0.009323
0.009335
0.009356
0.011626
0.013415

5.00%

0.05
0
-0.05
-0.1

20

40

60
Sample Percentile

0.014343
0.014631
0.0171
0.019424
0.019687
0.024256
0.024837
0.024879
0.025315
0.02879
0.030992
0.033557
0.034991
0.035876
0.038782
0.042782
0.043981
0.047757
0.049117
0.051223
0.054093
0.055722
0.056438
0.057014
0.07725

10.00%

15.00%

MDC return
5.00%

10.00%

15.00%

## Predicted MDC return

&P500 return

Probability Plot

60
Sample Percentile

80

100

120

SUMMARY OUTPUT

Residuals

Regression Statistics
Multiple R
0.662144
R Square
0.438434
0.425955
Standard Error
0.057998
Observations
47

-10.00%

ANOVA
df

SS
MS
F
Significance F
0.118179231 0.118179 35.13308
4E-07
0.151369193 0.003364
0.269548424

## Coefficients Standard Error

t Stat
P-value Lower 95% Upper 95%Lower 95.0%
-0.00176
0.008805738 -0.20035 0.842111
-0.0195 0.015971
-0.0195
1.262851
0.213056112 5.927316
4E-07 0.833734 1.691968 0.833734

RESIDUAL OUTPUT
Observation Predicted DE return Residuals Standard Residuals
1 0.022656
0.052553266 0.916136
2 0.03317
-0.004266637 -0.07438
3 0.053334
-0.047820237 -0.83363
4 0.035257
-0.062526407 -1.08999
5 -0.04192
0.048758928 0.849991
6 0.059203
-0.037050592 -0.64589
7 -0.02085
-0.048791245 -0.85055
8 0.024188
-0.049017392
-0.8545
9 0.020871
0.017015447 0.296622
10 0.042884
-0.06417276 -1.11869
11 0.012127
-0.080656745 -1.40605
12 0.060365
0.024348523 0.424456
13 0.007131
0.020676662 0.360446
14 0.001826
-0.018228155 -0.31776
15 -0.02701
0.062385657 1.087539
16 0.028477
0.065003537 1.133175
17 0.022951
-0.045461855 -0.79251
18 0.014045
-0.065423256 -1.14049
19 0.047225
0.043311002 0.75502
20 -0.08347
-0.025323368 -0.44145
21 -0.01127
0.029154167 0.508231
22 0.037197
-0.06197973 -1.08046

PROBABILITY OUTPUT
Percentile DE return
1.06383 -0.22447
3.191489 -0.12458
5.319149 -0.10879
7.446809 -0.06964
9.574468 -0.06853
11.70213 -0.05249
13.82979 -0.05138
15.95745 -0.04897
18.08511 -0.04309
20.21277 -0.03809
22.34043 -0.03643
24.46809 -0.03529
26.59574 -0.02772
28.7234 -0.02727
30.85106 -0.02483
32.97872 -0.02478
35.10638 -0.02427
37.23404 -0.02251
39.3617 -0.02129
41.48936
-0.0164
43.61702 -0.00829
45.74468 0.005514

DE return

Intercept
S&P500 return

1
45
46

-10.00%

DE return

Regression
Residual
Total

23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47

0.048481
0.052109
0.008966
-0.00817
0.127434
-0.09581
-0.0756
-0.02918
-0.02503
-0.01893
0.033718
-0.00309
0.037961
0.026515
0.078119
-0.00466
0.043942
0.104225
-0.06315
0.082235
-0.07171
-0.10978
0.016738
0.070386
0.033741

-0.086574338
0.055640382
-0.033232501
0.051359471
0.034233019
-0.128669457
0.104598395
-0.019787397
-0.018051247
-0.105645268
-0.027441938
0.075188859
-0.046245827
0.063802378
0.027843408
-0.02306473
0.051915055
-0.006288785
0.010659901
0.098048738
0.036422005
0.073348383
-0.01070217
-0.033382751
0.103537603

-1.50921
0.969952
-0.57933
0.895325
0.596768
-2.24303
1.823414
-0.34494
-0.31468
-1.84166
-0.47838
1.310731
-0.80618
1.112236
0.485381
-0.40208
0.90501
-0.10963
0.185829
1.709237
0.634927
1.278647
-0.18657
-0.58195
1.804921

47.87234
50
52.12766
54.25532
56.38298
58.51064
60.6383
62.76596
64.89362
67.02128
69.14894
71.2766
73.40426
75.53191
77.65957
79.78723
81.91489
84.04255
86.17021
88.29787
90.42553
92.55319
94.68085
96.80851
98.93617

0.006036
0.006276
0.006838
0.017886
0.022153
0.027807
0.028904
0.028998
0.03538
0.037003
0.037887
0.043191
0.072101
0.07521
0.084714
0.090317
0.090536
0.093481
0.095857
0.097936
0.105963
0.107749
0.137278
0.161667
0.180284

0.15
0.1
0.05
0
0.00%
-0.05

-5.00%

5.00%

10.00%

-0.1
-0.15

S&P500 return

Upper 95.0%
0.015971
1.691968

25.00%

DE return

20.00%
15.00%
10.00%
5.00%

-10.00%

0.00%
-5.00%0.00%

-5.00%

5.00%

10.00%

15.00%

-10.00%
-15.00%
-20.00%
-25.00%

S&P500 return

## Normal Probability Plot

0.25
0.2
0.15
DE return

0.1
0.05
0
-0.05 0

20

40

60

-0.1
-0.15
-0.2
-0.25

Sample Percentile

80

100

-0.25

Sample Percentile

15.00%

DE return
Predicted DE return

120

Date
Open
High
Low
Close
2-Dec-13 1806.55 1844.89 1767.99 1841.07
1-Nov-13
1758.7 1813.55
1746.2 1805.81
1-Oct-13 1682.41 1775.22 1646.47 1756.54
3-Sep-13 1635.95 1729.86 1633.41 1681.55
1-Aug-13 1689.42 1709.67 1627.47 1632.97
1-Jul-13 1609.78 1698.78 1604.57 1685.73
3-Jun-13 1631.71 1654.19 1560.33 1606.28
1-May-13 1597.55 1687.18 1581.28 1630.74
1-Apr-13 1569.18 1597.57 1536.03 1597.57
1-Mar-13 1514.68 1570.28 1501.48 1569.19
1-Feb-13 1498.11 1530.94 1485.01 1514.68
2-Jan-13 1426.19 1509.94 1426.19 1498.11

Volume
MDC return
3246992000 1841.07
1.93%
-0.38%
3261324500 1805.81
2.77%
1.71%
3498866500 1756.54
4.36%
0.32%
3474152000 1681.55
2.93%
1.94%
3069868600 1632.97
-3.18%
-3.06%
3270645900 1685.73
4.83%
-0.93%
3996199000 1606.28
-1.51%
2.48%
3661220400 1630.74
2.06%
-4.83%
3674685000 1597.57
1.79%
2.43%
3591577500 1569.19
3.54%
3.88%
3851884200 1514.68
1.10%
1.43%
3802304200 1498.11
4.92%
7.73%

DE return
7.52%
2.89%
0.55%
-2.73%
0.68%
2.22%
-6.96%
-2.48%
3.79%
-2.13%
-6.85%
8.47%