ARBITRAGE IN GOLD

MARKET IN INDIA
By Miss Nishi Malhotra

Miss Nishi Malhotra , PHd Scholar (IIM Kozhikode),

nishi1582@gmail.com; 919873145005
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Table of Contents

Abstract.................................................................................................................................................. 3
1. Introduction ................................................................................................................................... 4
2. Volatility in Gold Prices ............................................................................................................... 5
3. Overview ........................................................................................................................................ 9
4. Gold Demand Increase ............................................................................................................... 10
5. Increased Demand for Gold: Central Banks ............................................................................ 11
6. Recycled Gold Demand .............................................................................................................. 11
7. Brexit boosts UK Investment values to 6 year high ................................................................. 12
8. Cost of Carry Model ................................................................................................................... 13
9. Hedging using the Cost and Carry Arbitrage .......................................................................... 13
Price Risk Management .................................................................................................................... 13
Hedging Strategies for the Buyers .................................................................................................... 13
10. Global Markets........................................................................................................................ 14
11. Calculation of Theoretical Price (Case II) ........................................................................... 15
12. Hedging Strategy ..................................................................................................................... 15
13. Volatility Risk of Gold (Exposure in Spot Markets) ............................................................ 16
14. Methodology ............................................................................................................................ 16
15. Conclusion ............................................................................................................................... 17

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Abstract

This research paper is aimed at calculating the arbitrage opportunities in the Gold markets in
India. Year 2019, has witnessed the maximum number of days of price increase in the Gold
prices in India. This is primarily due to the increased number of wedding days in India. On
basis of the forecast for Gold price, data available on dollarrupee.com, I have calculated the
volatility in the Gold Markets. Further using the Cost of Carry model, I have tried to quantify
the arbitrage opportunity in the Gold markets using Futures. As on 15th June 2019, the Future
prices in the Spot market are valued way lesser than the theoretical prices. Due to the lesser
theoretical prices, the investors have got an opportunity to sell the gold in the spot market, lend
the money in the bank and earn interest and purchase the gold through Futures. This hedging
strategy has been discussed in detail. Besides, that I have used the EMWA (Exponentially
Moving Weighted Average) method, to calculate the exposure in the Spot markets, due to the
Price Volatility Risk. In current scenario, the Gold offers a handsome return as an investment
avenue using the Futures instrument available in the Commodity markets.

Key words: Futures, Gold Spot Market, Volatility

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1. Introduction
Gold is the most noble of all the metals and is extremely precious metal, which does not react
to water or air corrosion. It is generally available in Karats and the most valuable quality is 24
K Gold. It is the most malleable and ductile metal found on the Earth and is very soft and pure
metal. It is far more expensive than any other metal found on Earth. A hallmark three digit
number that indicates the parts per thousand of gold is used to measure the purity of the metal.
Besides that Karat, which is the unit that measures the purity of gold jewellery is used to
measure the purity of gold. Alloyed gold comes in many colours, beside bright yellow.
India is one of the largest consumer of gold in the world. It accounts for almost quarter of the
world’s total consumption. In India, the gold is considered as the solid instrument for
investments and trading, as most the traders in Gold invest in the Gold Bullion. Gold is
considered as the traditional safe haven, in which one can invest even when the markets are
volatile. The market for Gold reflect daily changes in the price of Gold. Some of the major
factors that impact the price of Gold on a particular day are demand for gold, supply for gold,
global market conditions and currency fluctuations.

Figure Number 1: Gold Rates for India (In Rupees/Gram)

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During May 2019, the demand for Gold was inclined. The rates for Gold moved from Rs. 3,190
per gram on May 1, 2019 to Rs. 3,215 per gram, on May 31, 2019. The highest rate for the
Gold during May, 2019 was Rs. 3,215 per gram on 31st May, 2019 and the lowest rate was Rs.
3,150 per gram on 3 May, 2019. In the first week of May, 2019, the demand for the Yellow
Metal decreased due to the increase in the US Dollar rate, and low local off take as the Yellow
metal opened at the all-time, low price of Rs. 3,190 per gram. Federal Reserve decision to keep
the interest rates unchanged, boosted the investment in equities and the demand for yellow
metal dropped once again, as the rates for the Gold dropped to Rs. 3,150 per gram, on 3rd May,
2019. A further sliding Eurozone markets, gave a slight boost to the Gold demand, leading to
increase in the Gold prices to Rs. 3,163 per gram on May 5, 2019.
During the second week of May, 2019, the demand for Yellow metal increased drastically. On
positive overseas cues and rising local demand, the prices of Yellow metal increased to Rs
3,171 per gram on May 6, 2019. As US imposed more tariffs on Chinese products, the prices
of Gold rose quickly to Rs. 3,200 per gram on 10 May, 2019. Despite positive trade outlook,
no interest rate cuts and no implementation of trade tariffs, the demand for Gold increased
massively, leading to a price increase of Rs. 3,205 per gram.
On further, increase in political uncertainty, and ongoing India China conflict, led to the
increase in the demand for Gold. A drop in the US Treasury yield and increasing fear of Global
recession, increased the demand for the Bullion, as the precious metal climbed to Rs. 3,215 per
gram.

2. Volatility in Gold Prices

Figure 2: Price Volatility in Gold Prices

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 Figure 3: Price Volatility (May 2019 to July 2019)

Prices of Gold fluctuated from Rs 30,700 on 1st May, 2019 for 22 Karat Gold and Rs. 31,850
for 24 Karat Gold to Rs 31,000 for 22 Karat Gold and Rs. 32,000 Gold for 24 Karat Gold on
31st May, 2019. Gold touched the highest rate of Rs. 31,600 for 22 Karat Gold and Rs. 32,600
for 24 Karat Gold on 15th May 2019. The prices of Gold have been consistently rising, with a
change of 0.98% in 22 Karat Gold and 0.47% in 24 Karat Gold. On 14th June, 2019, the Gold
have been trading at Rs 34,000.

Volatility
4

0
4-Feb-19 24-Feb-19 16-Mar-19 5-Apr-19 25-Apr-19 15-May-19 4-Jun-19 24-Jun-19
-1

-2

Figure 4: Volatility of Returns in Spot Market

Gold prices keep on fluctuating, with being minimum -1.7% on 11th May 2019 and maximum
3.102 percent on 14th June, 2019. And average annualized volatility of 0.297967%.

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 Table 1: Calculation of Daily Volatility
Date Price Volatility
14-Jun-19 34000 3.102162
13-Jun-19 32977 0.69313
12-Jun-19 32750 0.343158
11-Jun-19 32638 -0.09183
10-Jun-19 32668 -0.82273
09-Jun-19 32939 0
08-Jun-19 32939 -0.01821
07-Jun-19 32945 0.420642
06-Jun-19 32807 0.048794
05-Jun-19 32791 0.935759
04-Jun-19 32487 0.19121
03-Jun-19 32425 1.113259
02-Jun-19 32068 0
01-Jun-19 32068 -0.15568
31-May-19 32118 0.987297
30-May-19 31804 0.201638
29-May-19 31740 0.605407
28-May-19 31549 -0.20876
27-May-19 31,615 0.256866
26-May-19 31,534 0
25-May-19 31,534 0.015858
24-May-19 31,529 -0.41692
23-May-19 31,661 0.770235
22-May-19 31,419 0.006366
21-May-19 31,417 -0.38682
20-May-19 31,539 -0.82075
19-May-19 31,800 0
18-May-19 31,800 0.018871
17-May-19 31,794 -0.59094
16-May-19 31,983 -0.86172
15-May-19 32,261 0.055826
14-May-19 32,243 -0.76634
13-May-19 32,492 1.855799
12-May-19 31,900 0
11-May-19 31,900 0.012541
10-May-19 31,896 -0.01881
09-May-19 31,902 0.694401
08-May-19 31,682 -0.13869
07-May-19 31,726 0.548284
06-May-19 31,553 0.311556
05-May-19 31,455 0
04-May-19 31,455 0.015898
03-May-19 31,450 0.318979
02-May-19 31,350 -1.28161
01-May-19 31,757 0.012597
30-Apr-19 31,753 -0.59481
29-Apr-19 31,943 0.009393
28-Apr-19 31,940 0
27-Apr-19 31,940 -0.09384

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 26-Apr-19 31,970 0.370463
25-Apr-19 31,852 0.743271
24-Apr-19 31,617 0.177434
23-Apr-19 31,561 -0.09496
22-Apr-19 31,591 0.394064
21-Apr-19 31,467 0
20-Apr-19 31,467 -0.01271
19-Apr-19 31,471 0.054047
18-Apr-19 31,454 -0.07624
17-Apr-19 31,478 -0.17442
16-Apr-19 31,533 -1.02326
15-Apr-19 31,859 -0.03138
14-Apr-19 31,869 0
13-Apr-19 31,869 -0.00941
12-Apr-19 31,872 0.400063
11-Apr-19 31,745 -1.70001
10-Apr-19 32,294 0.263901
09-Apr-19 32,209 0.065242
08-Apr-19 32,188 0.953456
07-Apr-19 31,884 0
06-Apr-19 31,884 0.895541
05-Apr-19 31,601 -0.66327
04-Apr-19 31,812 1.170335
03-Apr-19 31,444 -0.06356
02-Apr-19 31,464 -0.15549
01-Apr-19 31,513 -0.59931
31-Mar-19 31,703 0
30-Mar-19 31,703 -0.15747
29-Mar-19 31,753 0.465102
28-Mar-19 31,606 -1.24668
27-Mar-19 32,005 -0.32079
26-Mar-19 32,108 -0.34142
25-Mar-19 32,218 0.205275
24-Mar-19 32,152 0
23-Mar-19 32,152 -0.00933
22-Mar-19 32,155 1.106814
21-Mar-19 31,803 0.315428
20-Mar-19 31,703 -0.86307
19-Mar-19 31,979 1.007581
18-Mar-19 31,660 -0.55283
17-Mar-19 31,836 0
16-Mar-19 31,836 0.028278
15-Mar-19 31,827 0.056588
14-Mar-19 31,809 -1.24495
13-Mar-19 32,210 0.64367
12-Mar-19 32,004 0.357479
11-Mar-19 31,890 -0.95043
10-Mar-19 32,196 0
09-Mar-19 32,196 0.108827
08-Mar-19 32,161 0.76764
07-Mar-19 31,916 -0.10642
06-Mar-19 31,950 -0.44558

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 05-Mar-19 32,093 -0.86186
04-Mar-19 32,372 -0.88181
03-Mar-19 32,660 0
02-Mar-19 32,660 -0.09788
01-Mar-19 32,692 -0.90631
28-Feb-19 32,991 -0.88328
27-Feb-19 33,285 -0.27265
26-Feb-19 33,376 0.165061
25-Feb-19 33,321 -0.51948
24-Feb-19 33,495 0
23-Feb-19 33,495 -0.06266
22-Feb-19 33,516 0.092579
21-Feb-19 33,485 -1.15129
20-Feb-19 33,875 -0.00886
19-Feb-19 33,878 0.82138
18-Feb-19 33,602 0.61684
17-Feb-19 33,396 0
16-Feb-19 33,396 0.086912
15-Feb-19 33,367 0.882842
14-Feb-19 33,075 0

3. Overview
-Gold is an extremely popular monetary asset that is used as an investment avenue. Besides
that this commodity is frequently traded on the Stock Exchanges. Gold accounts for more than
65% of the total gold holdings, held by the central bank reserves, private players and high carat
jewellery. Around 35% of the gold is held for usage in the Western countries for jewellery
making. It is an extremely liquid market. South Africa is the largest gold producing nation in
the whole world with gold stock of 394 tons in 2001. India is the world’s largest gold
consuming nation in the whole world. The major demand for Gold in India comes from
wedding and is corrected by the timely correction in gold price. There has been sudden increase
in demand for Gold in United States of America. The Global demand for Gold has increased
up to 530.3 Tonnes in Quarter 1. India has been the major driver of gold, and though the
demand in USA has continued to increase frequently and the demand slowed down due to the
prolonged Government shutdown. A higher number of auspicious days in Hindu calendar in
Q1 2019, three times more than Q1 2018 has further increased the demand for Gold in India.
Decrease in number of restrictions on holding cash and further increase in retail promotions,
has attracted number of consumers towards the purchase of Gold. Besides that the Akshaya
Tritya festival on May 7, 2019 and traditional wedding buying season has boasted the demand
for Gold.
The demand for Gold in China has been declining, due to the sudden decline in the national
economy. Despite the lack of growth the Chinese economy continued to innovate and develop.
The US (United States of America) Jewellery market saw a marginal growth, with the demand
for Gold reaching 24 Tonnes in Q1. Besides, that the prolonged Government Shutdown has
affected the demand for Gold. The major drop in demand for Gold was affected due to the
losses in the United Kingdom and France, where the demand was hit by the fragile economic

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outlook and political uncertainty. Bar and coin demand became marginally weaker at 257.8
Metric ton.
Japan is not the market for Gold that it used to be. In 2019, Japan saw the disinvestment of 6.2
Tonnes, a sharp reversal on the 1.5 Tonnes bought in Q1 2018. Though the demand for the
Japan’s retail bar and coin market contracted, demand for the Jewellery has flourished. Besides,
that sudden spurt in the internet avenues such as Google Pay, ETF (Exchange Traded Funds)
and online platforms, the demand for Gold has increased drastically. Since 2013, the Central
Banks of different nations have made net purchases of 145.5 tonnes in Quarter 1. Major factors
that led to increase in the demand for Gold are the uncertainty caused by trade tensions,
sluggish growth, low/negative interest rate growth environment continued to weigh heavily on
reserve managers, thinking. Besides, all these nations, Russia is the largest buyer of the Gold.
It bought Gold to the tune of 55.3 Tonnes.

Figure 5: Seasonal Effect on Gold Prices

4. Gold Demand Increase

Demand for Gold has increased in India in year 2019, owing to greater number of wedding
days. In 2019, there were approximately 71 wedding days. This gave a boaster to the demand
for gold in India.

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 Figure 6: Central Banks driven Global Growth

5. Increased Demand for Gold: Central Banks

Besides, that increased net purchases by the Central Bank, has driven the global demand for
Gold in world, to 6 years high. In the Quarter 1, the Central Banks all over the world have
purchased gold. Approximately, 150 Tonnes of gold was purchased by the Central Banks in
Q1, 250 Tonnes was purchased in Q2, 160 Tonnes was purchased in Q3 and 148 Tonnes was
purchased in Q4, 2019.

6. Recycled Gold Demand

The supply of the recycled gold reached somewhere around 286.7 Metric Tonnes, largely due
to the recent strength in the local gold prices across many of the markets. In many countries
of Europe, including UK (United Kingdom) many of the nagging issues such as Brexit,
continue to exert pressure on pound for the Quarter 1. In the Middle East, many nations saw
the doubling of the recycling levels. Wedding purchases and lower prices lifted the Indian
gold Jewellery demand to 125.4 Tonnes.

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 Figure 7: Recycled Gold Supply

7. Brexit boosts UK Investment values to 6 year high

Ahead, of the Brexit move, the Britishers are investing in the traditional Gold, as an
investment option. British investors are making a rush to hoard the yellow metal, amid the
great market volatility, just before the Brexit turmoil. In Q1 of 2019, the investors have
purchased more than 100 tonnes of Gold. These purchases have been made mainly on
speculation of market volatility. Gold is still considered to be the most haven for the
Britishers.

Figure 8: Seasonal Effect on Gold Prices

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8. Cost of Carry Model
In this research paper, I am trying to evaluate the arbitrage opportunity in the Gold Market. In
the Gold market if the Future Actual price is greater than the Theoretical price, the investor
will be undertaking the Cash and Carry arbitrage. And if the Theoretical Price is greater than
the actual price, the investor will be undertaking the Reverse Cash and Carry Arbitrage. In this
model, we will also be taking into account the Storage cost.
Case I
Gold spot price in the Stock Exchange Market is Rs. 33, 095 per 10 Grams. As compared to
this the Future price for the Gold in the Stock Market is Rs. 32,590 Future price (295 Days
Expiry) in the market. In cash and carry model, one of the most important component is the
Storage cost. As per the information, given on the MCX ( Multi Commodity Exchange) the
storage cost is 0.75 per day.
From the given information, it can be seen that the Spot price is greater than the Forward price.
This phenomenon is called as the Contango.
Theoretical Price for the Gold Future can be calculated using the Formula
Future Theoretical Price = Spot (1+ R*Days/ 360) + Storage Price = 32590 * 10/100* 295/360
+ 7.5 * 295 = 32009.18194
In this example, I have assumed the interest rate of 10% and the Storage cost is 7.5 per day. In
this example, I have assumed the simple compounding. This commodity, i.e. gold has ample
possibility for arbitrage in the market

9. Hedging using the Cost and Carry Arbitrage

Price Risk Management

Various hedging techniques are adopted for hedging the risk of the investors, investing in
various commodities including Gold and Bullion. Techniques for hedging including use of
various instruments such as Futures and Forwards for mitigating the risk of investment in the
commodity. This process of hedging is used to to control the risk. This process of hedging
includes investing in two different markets, including the Spot market and the Futures market.
There are various factors that impact the market, including the supply, demand of Gold metal,
wedding season, global conditions such as the US Fed Reserve policies, global interest rates,
and existing conditions between various Global partners such as China, United States of
America and Europe.
Hedging Strategies for the Buyers
 Hedging enables the buyer to lock in an effective price at which the investors trade.
 In future even if the prices of Gold go up, the hedger can hedge their position using the
Futures Contract and locking the price
 Buyers can easily buy the Futures using a very small amount of margin amount
 The buyers can keep on buying the Gold, in the physical market round the market and
square off the corresponding position in futures.

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An investor is having 100 MT of Gold in month of June, 2019. The markets are bullish and in
general the investors are expecting the Gold prices to increase because of the coming Wedding
season.

10.Global Markets

Forecast for Gold (Source: http://30rates.com/gold-price-forecast-and-predictions)

Gold prices are going to move up in 2019.

Date Weekday Min Max Price

17.06 Monday 32843 33843 33343
18.06 Tuesday 33127 34135 33631
19.06 Wednesday 33283 34297 33790
20.06 Thursday 33190 34200 33695
21.06 Friday 32951 33955 33453
24.06 Monday 33176 34186 33681
25.06 Tuesday 33180 34190 33685
26.06 Wednesday 33346 34362 33854
27.06 Thursday 33557 34579 34068
28.06 Friday 33713 34739 34226
1.07 Monday 34034 35070 34552
2.07 Tuesday 34417 35465 34941
3.07 Wednesday 34534 35586 35060
4.07 Thursday 34432 35480 34956
5.07 Friday 34498 35548 35023
8.07 Monday 34384 35432 34908
9.07 Tuesday 34668 35724 35196
10.07 Wednesday 34630 35684 35157
11.07 Thursday 34570 35622 35096
12.07 Friday 34233 35275 34754
15.07 Monday 34053 35091 34572
16.07 Tuesday 33733 34761 34247
17.07 Wednesday 33684 34710 34197
18.07 Thursday 33480 34500 33990
Aug 19 35900

Figure 9: Seasonal Effect on Gold Prices

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 Source: http://dollarrupee.in/

Stock Price Forecast

35500

35000

34500

34000

33500

33000
14-Jun 19-Jun 24-Jun 29-Jun 4-Jul 9-Jul 14-Jul 19-Jul 24-Jul

Figure 9: Stock Price Forecast

The prices for Gold has increased from Rs. 33,343 on 17.06.2019 to Rs. 34,247 on 16.07.2019.
In anticipation of these price movements, the investors can undertake various hedging strategy.

11.Calculation of Theoretical Price (Case II)

Spot Price for Gold on 14.06.2019: Rs. 33,160 per 10 Grams
Interest Rate: 6% p.a.
Time to Maturity: 20 Days
Warehouse Cost: Rs. 0.35 per 10 gram per day
Formula: Spot (1+rate of interest)^n + Storage cost = 33160 * (1+0.06*20/360) + 0.35*20
Particulars Amount
Future Theoretical Price Rs. 33,277.53
Future Spot Actual Price (Expiry 5th Aug 2019 ) Rs. 33,061.00

Figure 9: Theoretical Prices

12.Hedging Strategy
In this case, the Future Actual with expiry date of 05 Aug, 2019 is available for a Price of Rs.
33,061. If Future Actual is lesser than the Future Theoretical price. The hedger can sell 1000
grams of Gold on 15th June, 2019 for Rs. 33, 27,753 and keep the money in the bank at interest
rate of 6% p.a. And simultaneously purchase a Future in the market for Rs. 33, 061 per 10
grams, with the Lot size of 100 units

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 Particulars Amount
Principal Amount 33,27,500
Interest Rate 6%p.a
Time 20 Days
Maturity Amount Rs.33,38592

Figure 10: Hedging Strategy

This hedging will reap him a profit of (Rs 33, 38,592 – Rs 33, 06,100) amounting to Rs 32,491
on 20 Days.

13.Volatility Risk of Gold (Exposure in Spot Markets)

Gold exposes an investor to innumerable amount of Volatility risk. In order to assess the risk
of volatility in the prices of Gold as a commodity on MCX, the prices for Gold can be extracted
for the past 20 Days from the stock exchange. Daily volatility for the Gold in Indian markets
is hovering around, 0.6373681%. Using the EMWA methodology on prices for past 20 days,
the daily volatility comes to around, 0.5067162314%.
Daily Volatility 0.5067162314%.
Number of Trading Days 252 Days
Annual Volatility 8.04%
Principal Amount Rs 33,27,500
Exposure Amount Rs.2,67,531

Figure11: Volatility Risk Calculation

If an investor, invests money in the Spot market, he faces a daily volatility of 0.50657618%
and annualized volatility, assuming 252 Days, the investor faces a volatility of 8.04%

14.Methodology
In order to calculate the volatility in the prices of Gold over a period of a month, the prices for
the Gold Forecast were calculated from http://dollarrupee.in/gold-in-rupees-forecast-for-2015-
2016-and-2017.
 Calculation of daily return, as log of Spot price relative
 Calculation of Squared Return
 Calculation of weights and Exponentially Moving Average of Squared Return
 Calculation of previous variance, using the EMWA equation
 Calculation of the Daily Volatility
 Calculation of the Annualized return

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15.Conclusion
The best course of action for the investors is to sell the Gold commodity in anticipation of the
price increase and buy the futures at a lesser price. This strategy will help to gain money
because of difference in the Future market and the Spot market.
Annexure 1: Calculation of Daily Volatility for the Gold Commodity

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 Lambda 66.786%
Previous Variance
Squared
Day Date Price Return Return Weights Lamba * Squared Return Weights
121 14-Jun-19 34000 3.0550% 0.000933 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
120 13-Jun-19 32977 0.6907% 0.000048 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
119 12-Jun-19 32750 0.3426% 0.000012 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
118 11-Jun-19 32638 0.0919% 0.000001 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
117 10-Jun-19 32668 0.8261% 0.000068 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
116 09-Jun-19 32939 0.0000% 0.000000 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
115 08-Jun-19 32939 0.0182% 0.000000 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
114 07-Jun-19 32945 0.4198% 0.000018 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
113 06-Jun-19 32807 0.0488% 0.000000 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
112 05-Jun-19 32791 0.9314% 0.000087 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
111 04-Jun-19 32487 0.1910% 0.000004 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
110 03-Jun-19 32425 1.1071% 0.000123 0.00000000000000000% 0.000000000000000000% 0.00000000000000000% 0.000000000000000000%
109 02-Jun-19 32068 0.0000% 0.000000 0.00000000000000000% 0.000000000000000000% 0.00000000000000001% 0.000000000000000000%
108 01-Jun-19 32068 0.1558% 0.000002 0.00000000000000001% 0.000000000000000000% 0.00000000000000001% 0.000000000000000000%
107 31-May-19 32118 0.9825% 0.000097 0.00000000000000001% 0.000000000000000000% 0.00000000000000001% 0.000000000000000000%
106 30-May-19 31804 0.2014% 0.000004 0.00000000000000001% 0.000000000000000000% 0.00000000000000002% 0.000000000000000000%
105 29-May-19 31740 0.6036% 0.000036 0.00000000000000002% 0.000000000000000000% 0.00000000000000003% 0.000000000000000000%
104 28-May-19 31549 0.2090% 0.000004 0.00000000000000003% 0.000000000000000000% 0.00000000000000004% 0.000000000000000000%
103 27-May-19 31,615 0.2565% 0.000007 0.00000000000000004% 0.000000000000000000% 0.00000000000000007% 0.000000000000000000%
102 26-May-19 31,534 0.0000% 0.000000 0.00000000000000007% 0.000000000000000000% 0.00000000000000010% 0.000000000000000000%
101 25-May-19 31,534 0.0159% 0.000000 0.00000000000000010% 0.000000000000000000% 0.00000000000000015% 0.000000000000000000%
100 24-May-19 31,529 0.4178% 0.000017 0.00000000000000015% 0.000000000000000000% 0.00000000000000022% 0.000000000000000000%
99 23-May-19 31,661 0.7673% 0.000059 0.00000000000000022% 0.000000000000000000% 0.00000000000000033% 0.000000000000000000%
98 22-May-19 31,419 0.0064% 0.000000 0.00000000000000033% 0.000000000000000000% 0.00000000000000049% 0.000000000000000000%
97 21-May-19 31,417 0.3876% 0.000015 0.00000000000000049% 0.000000000000000000% 0.00000000000000073% 0.000000000000000000%
96 20-May-19 31,539 0.8241% 0.000068 0.00000000000000073% 0.000000000000000000% 0.00000000000000110% 0.000000000000000000%
95 19-May-19 31,800 0.0000% 0.000000 0.00000000000000110% 0.000000000000000000% 0.00000000000000165% 0.000000000000000000%
94 18-May-19 31,800 0.0189% 0.000000 0.00000000000000165% 0.000000000000000000% 0.00000000000000247% 0.000000000000000000%
93 17-May-19 31,794 0.5927% 0.000035 0.00000000000000247% 0.000000000000000000% 0.00000000000000369% 0.000000000000000000%
92 16-May-19 31,983 .8655% 0.000075 0.00000000000000369% 0.000000000000000000% 0.00000000000000553% 0.000000000000000000%

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91 15-May-19 32,261 0.0558% 0.000000 0.00000000000000553% 0.000000000000000000% 0.00000000000000828% 0.000000000000000000%
90 14-May-19 32,243 0.7693% 0.000059 0.00000000000000828% 0.000000000000000000% 0.00000000000001240% 0.000000000000000001%
89 13-May-19 32,492 1.8388% 0.000338 0.00000000000001240% 0.000000000000000004% 0.00000000000001857% 0.000000000000000006%
88 12-May-19 31,900 0.0000% 0.000000 0.00000000000001857% 0.000000000000000000% 0.00000000000002780% 0.000000000000000000%
87 11-May-19 31,900 0.0125% 0.000000 0.00000000000002780% 0.000000000000000000% 0.00000000000004162% 0.000000000000000000%
86 10-May-19 31,896 0.0188% 0.000000 0.00000000000004162% 0.000000000000000000% 0.00000000000006233% 0.000000000000000000%
85 09-May-19 31,902 0.6920% 0.000048 0.00000000000006233% 0.000000000000000003% 0.00000000000009332% 0.000000000000000004%
84 08-May-19 31,682 0.1388% 0.000002 0.00000000000009332% 0.000000000000000000% 0.00000000000013973% 0.000000000000000000%
83 07-May-19 31,726 0.5468% 0.000030 0.00000000000013973% 0.000000000000000004% 0.00000000000020923% 0.000000000000000006%
82 06-May-19 31,553 0.3111% 0.000010 0.00000000000020923% 0.000000000000000002% 0.00000000000031328% 0.000000000000000003%
81 05-May-19 31,455 0.0000% 0.000000 0.00000000000031328% 0.000000000000000000% 0.00000000000046908% 0.000000000000000000%
80 04-May-19 31,455 0.0159% 0.000000 0.00000000000046908% 0.000000000000000000% 0.00000000000070237% 0.000000000000000000%
79 03-May-19 31,450 0.3185% 0.000010 0.00000000000070237% 0.000000000000000007% 0.00000000000105168% 0.000000000000000011%
78 02-May-19 31,350 1.2899% 0.000166 0.00000000000105168% 0.000000000000000175% 0.00000000000157472% 0.000000000000000262%
77 01-May-19 31,757 0.0126% 0.000000 0.00000000000157472% 0.000000000000000000% 0.00000000000235787% 0.000000000000000000%
76 30-Apr-19 31,753 .5966% 0.000036 0.00000000000235787% 0.000000000000000084% 0.00000000000353051% 0.000000000000000126%
75 29-Apr-19 31,943 0.0094% 0.000000 0.00000000000353051% 0.000000000000000000% 0.00000000000528634% 0.000000000000000000%
74 28-Apr-19 31,940 0.0000% 0.000000 0.00000000000528634% 0.000000000000000000% 0.00000000000791539% 0.000000000000000000%
73 27-Apr-19 31,940 0.0939% 0.000001 0.00000000000791539% 0.000000000000000007% 0.00000000001185194% 0.000000000000000010%
72 26-Apr-19 31,970 0.3698% 0.000014 0.00000000001185194% 0.000000000000000162% 0.00000000001774627% 0.000000000000000243%
71 25-Apr-19 31,852 0.7405% 0.000055 0.00000000001774627% 0.000000000000000973% 0.00000000002657201% 0.000000000000001457%
70 24-Apr-19 31,617 0.1773% 0.000003 0.00000000002657201% 0.000000000000000084% 0.00000000003978706% 0.000000000000000125%
69 23-Apr-19 31,561 0.0950% 0.000001 0.00000000003978706% 0.000000000000000036% 0.00000000005957434% 0.000000000000000054%
68 22-Apr-19 31,591 0.3933% 0.000015 0.00000000005957434% 0.000000000000000921% 0.00000000008920243% 0.000000000000001380%
67 21-Apr-19 31,467 0.0000% 0.000000 0.00000000008920243% 0.000000000000000000% 0.00000000013356544% 0.000000000000000000%
66 20-Apr-19 31,467 0.0127% 0.000000 0.00000000013356544% 0.000000000000000002% 0.00000000019999150% 0.000000000000000003%
65 19-Apr-19 31,471 0.0540% 0.000000 0.00000000019999150% 0.000000000000000058% 0.00000000029945320% 0.000000000000000087%
64 18-Apr-19 31,454 0.0763% 0.000001 0.00000000029945320% 0.000000000000000174% 0.00000000044838017% 0.000000000000000261%
63 17-Apr-19 31,478 0.1746% 0.000003 0.00000000044838017% 0.000000000000001366% 0.00000000067137292% 0.000000000000002046%
62 16-Apr-19 31,533 1.0285% 0.000106 0.00000000067137292% 0.000000000000071023% 0.00000000100526659% 0.000000000000106345%
61 15-Apr-19 31,859 0.0314% 0.000000 0.00000000100526659% 0.000000000000000099% 0.00000000150521548% 0.000000000000000148%
60 14-Apr-19 31,869 0.0000% 0.000000 0.00000000150521548% 0.000000000000000000% 0.00000000225380379% 0.000000000000000000%
59 13-Apr-19 31,869 0.0094% 0.000000 0.00000000225380379% 0.000000000000000020% 0.00000000337468727% 0.000000000000000030%
58 12-Apr-19 31,872 0.3993% 0.000016 0.00000000337468727% 0.000000000000053797% 0.00000000505301935% 0.000000000000080551%

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57 11-Apr-19 31,745 1.7146% 0.000294 0.00000000505301935% 0.000000000001485552% 0.00000000756603575% 0.000000000002224361%
56 10-Apr-19 32,294 0.2636% 0.000007 0.00000000756603575% 0.000000000000052554% 0.00000001132884976% 0.000000000000078691%
55 09-Apr-19 32,209 0.0652% 0.000000 0.00000001132884976% 0.000000000000004819% 0.00000001696302279% 0.000000000000007216%
54 08-Apr-19 32,188 0.9489% 0.000090 0.00000001696302279% 0.000000000001527497% 0.00000002539923718% 0.000000000002287167%
53 07-Apr-19 31,884 0.0000% 0.000000 0.00000002539923718% 0.000000000000000000% 0.00000003803103123% 0.000000000000000000%
52 06-Apr-19 31,884 0.8916% 0.000079 0.00000003803103123% 0.000000000003022974% 0.00000005694499114% 0.000000000004526389%
51 05-Apr-19 31,601 0.6655% 0.000044 0.00000005694499114% 0.000000000002521895% 0.00000008526542436% 0.000000000003776109%
50 04-Apr-19 31,812 1.1635% 0.000135 0.00000008526542436% 0.000000000011543432% 0.00000012767044906% 0.000000000017284323%
49 03-Apr-19 31,444 0.0636% 0.000000 0.00000012767044906% 0.000000000000051618% 0.00000019116475037% 0.000000000000077289%
48 02-Apr-19 31,464 0.1556% 0.000002 0.00000019116475037% 0.000000000000462910% 0.00000028623665111% 0.000000000000693128%
47 01-Apr-19 31,513 0.6011% 0.000036 0.00000028623665111% 0.000000000010342869% 0.00000042859062813% 0.000000000015486685%
46 31-Mar-19 31,703 0.0000% 0.000000 0.00000042859062813% 0.000000000000000000% 0.00000064174146048% 0.000000000000000000%
45 30-Mar-19 31,703 0.1576% 0.000002 0.00000064174146048% 0.000000000001593731% 0.00000096089852429% 0.000000000002386340%
44 29-Mar-19 31,753 0.4640% 0.000022 0.00000096089852429% 0.000000000020689839% 0.00000143878186286% 0.000000000030979510%
43 28-Mar-19 31,606 1.2545% 0.000157 0.00000143878186286% 0.000000000226437151% 0.00000215433076082% 0.000000000339051063%
42 27-Mar-19 32,005 0.3213% 0.000010 0.00000215433076082% 0.000000000022241054% 0.00000322574335053% 0.000000000033302190%
41 26-Mar-19 32,108 0.3420% 0.000012 0.00000322574335053% 0.000000000037731401% 0.00000483000120165% 0.000000000056496345%
40 25-Mar-19 32,218 0.2051% 0.000004 0.00000483000120165% 0.000000000020310863% 0.00000723210406809% 0.000000000030412058%
39 24-Mar-19 32,152 0.0000% 0.000000 0.00000723210406809% 0.000000000000000000% 0.00001082884394184% 0.000000000000000000%
38 23-Mar-19 32,152 0.0093% 0.000000 0.00001082884394184% 0.000000000000094269% 0.00001621434924233% 0.000000000000141152%
37 22-Mar-19 32,155 1.1007% 0.000121 0.00001621434924233% 0.000000001964553507% 0.00002427822607511% 0.000000002941584240%
36 21-Mar-19 31,803 0.3149% 0.000010 0.00002427822607511% 0.000000000240795376% 0.00003635250804981% 0.000000000360550059%
35 20-Mar-19 31,703 0.8668% 0.000075 0.00003635250804981% 0.000000002731395468% 0.00005443168860126% 0.000000004089799453%
34 19-Mar-19 31,979 1.0025% 0.000101 0.00005443168860126% 0.000000005470836635% 0.00008150218191068% 0.000000008191645971%
33 18-Mar-19 31,660 0.5544% 0.000031 0.00008150218191068% 0.000000002504748080% 0.00012203563451542% 0.000000003750433596%
32 17-Mar-19 31,836 0.0000% 0.000000 0.00012203563451542% 0.000000000000000000% 0.00018272757541513% 0.000000000000000000%
31 16-Mar-19 31,836 0.0283% 0.000000 0.00018272757541513% 0.000000000014607467% 0.00027360341878563% 0.000000000021872193%
30 15-Mar-19 31,827 0.0566% 0.000000 0.00027360341878563% 0.000000000087563033% 0.00040967451464903% 0.000000000131110727%
29 14-Mar-19 31,809 1.2528% 0.000157 0.00040967451464903% 0.000000064295602774% 0.00061341780266427% 0.000000096271713188%
28 13-Mar-19 32,210 0.6416% 0.000041 0.00061341780266427% 0.000000025251916251% 0.00091848867130001% 0.000000037810443232%
27 12-Mar-19 32,004 0.3568% 0.000013 0.00091848867130001% 0.000000011695647351% 0.00137528033200591% 0.000000017512239699%
26 11-Mar-19 31,890 0.9550% 0.000091 0.00137528033200591% 0.000000125422180434% 0.00205924803506313% 0.000000187798351072%
25 10-Mar-19 32,196 0.0000% 0.000000 0.00205924803506313% 0.000000000000000000% 0.00308337316489243% 0.000000000000000000%
24 09-Mar-19 32,196 0.1088% 0.000001 0.00308337316489243% 0.000000003647797081% 0.00461682609967249% 0.000000005461954771%

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23 08-Mar-19 32,161 0.7647% 0.000058 0.00461682609967249% 0.000000269982471285% 0.00691291066462944% 0.000000404252762551%
22 07-Mar-19 31,916 0.1065% 0.000001 0.00691291066462944% 0.000000007836811824% 0.01035090619084340% 0.000000011734290802%
21 06-Mar-19 31,950 0.4466% 0.000020 0.01035090619084340% 0.000000206427972584% 0.01549871887103050% 0.000000309090726475%
20 05-Mar-19 32,093 0.8656% 0.000075 0.01549871887103050% 0.000001161239092843% 0.02320669149293730% 0.000001738757738713%
19 04-Mar-19 32,372 0.8857% 0.000078 0.02320669149293730% 0.000001820579520153% 0.03474806753576260% 0.000002726007718065%
18 03-Mar-19 32,660 0.0000% 0.000000 0.03474806753576260% 0.000000000000000000% 0.05202931222821610% 0.000000000000000000%
17 02-Mar-19 32,660 0.0979% 0.000001 0.05202931222821610% 0.000000049898826974% 0.07790503250735060% 0.000000074714993741%
16 01-Mar-19 32,692 0.9104% 0.000083 0.07790503250735060% 0.000006457552116106% 0.11664951601416600% 0.000009669084329167%
15 28-Feb-19 32,991 0.8872% 0.000079 0.11664951601416600% 0.000009181860965397% 0.17466278041865100% 0.000013748272778422%
14 27-Feb-19 33,285 0.2730% 0.000007 0.17466278041865100% 0.000001301967178435% 0.26152776201719500% 0.000001949474075586%
13 26-Feb-19 33,376 0.1649% 0.000003 0.26152776201719500% 0.000000711362168030% 0.39159327557812600% 0.000001065143674815%
12 25-Feb-19 33,321 0.5208% 0.000027 0.39159327557812600% 0.000010622695476036% 0.58634422707262700% 0.000015905677029639%
11 24-Feb-19 33,495 0.0000% 0.000000 0.58634422707262700% 0.000000000000000000% 0.87795060350265400% 0.000000000000000000%
10 23-Feb-19 33,495 0.0627% 0.000000 0.87795060350265400% 0.000000344886736733% 1.31458148064141000% 0.000000516409141037%
9 22-Feb-19 33,516 0.0925% 0.000001 1.31458148064141000% 0.000001125662974559% 1.96836184444872000% 0.000001685488561538%
8 21-Feb-19 33,485 1.1580% 0.000134 1.96836184444872000% 0.000263936645017441% 2.94728657579381000% 0.000395200167547357%
7 20-Feb-19 33,875 0.0089% 0.000000 2.94728657579381000% 0.000000023113611411% 4.41305961317657000% 0.000000034608695968%
6 19-Feb-19 33,878 0.8180% 0.000067 4.41305961317657000% 0.000295306254484699% 6.60780506022046000% 0.000442170814296832%
5 18-Feb-19 33,602 0.6149% 0.000038 6.60780506022046000% 0.000249879549594020% 9.89406251923389000% 0.000374152061604364%
4 17-Feb-19 33,396 0.0000% 0.000000 9.89406251923389000% 0.000000000000000000% 14.81467329050460000% 0.000000000000000000%
3 16-Feb-19 33,396 0.0869% 0.000001 14.81467329050460000% 0.000011180891501631% 22.18244975486400000% 0.000016741480496130%
2 15-Feb-19 33,367 0.8790% 0.000077 22.18244975486400000% 0.001713781297631700% 33.21444000000000000% 0.002566095571605150%
1 14-Feb-19 33,075 0.0000% 0.000000 33.21444000000000000% 0.000000000000000000%

Average
Return 0.0228%
Average 0.00406% Sum of Weighted Returns 0.002567613392038750% 0.003844563693167720%
Daily
Volatility 0.6373681% Daily Volatility 0.5067162314% Standard Deviation N-1 0.006200455
Lambda 67%
0.00256619428513740%
Daily Volatility 0.50657618%

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