Professional Documents
Culture Documents
A Research Report
on
Portfolio Value at Risk
Submitted By
GUNJAN SHIKHA
Reg. No: 07XQCM6032
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DECLARATION
I also declare that this dissertation has not been submitted to any
University/Institution for the award of any Degree/Diploma, fellowship or other
similar title or prizes.
Place : Bengaluru
Date :
/ 2009
MPBirlaInstituteofManagement
Gunjan Shikha
Reg.No.07XQCM6032
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GUIDES CERTIFICATE
I hereby declare that the research work embodied in this dissertation
entitled, Portfolio Value at Risk has been undertaken and completed by
GUNJAN SHIKHA bearing registration No.07XQCM6032 is a bonafide work
done carried under my guidance during the academic year 2007-09 in a
partial fulfillment of the requirement for the award of MBA degree by
Bangalore University.
I also certify that she has fulfilled all the requirements under the covenant
governing the submission of dissertation to the Bangalore University for the
award of MBA degree.
Place: Bengaluru
Date :
/ 2009
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PRINCIPALS CERTIFICATE
Place: Bangalore
Date :
/ 2009
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ACKNOWLEDGEMENT
It is my great pleasure to take this opportunity to thanks all those who
helped me directly or indirectly in the preparation of this research report. I am
happy to express my deep sense of gratitude to my internal guide Prof.
Praveen Bhagawan for his enormous guidance and assistance. He has been
my mentor and guide, his continuous encouragement and valuable suggestions
helped me at every stage of this project.
I would also like to express my thanks to Dr. Nagesh S Malavalli,
Principal, M.P Birla Institute of Management, Bangalore and I am also
thankful to the entire teaching faculty for having given me their valuable
guidance for preparing this research report successfully.
A special thanks to my friends and family for their encouragement and
help in completion of the study successfully.
Finally, I pray to the almighty to bestow upon me success and
progressing in my endeavor.
Gunjan Shikha
Reg. No. 07XQCM6032
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CONTENTS
S.
No.
Chapters
Page No.
1.
Theoretical Background
12
1.1
Background
13-15
1.2
16-17
1.3
17
1.4
18
1.5
19-20
1.6
21
1.7
VaR Methods
22
(i)
Analytic Method
23-24
(ii)
25-26
(iii)
27-30
1.8
Review of Literature
31-37
2.
Research Design
38
2.1
Statement of Problem
39
2.2
Research Objectives
39
2.3
Hypothesis
40
2.4
Scope of Study
40
2.5
Research Methodology
40-41
2.6
Limitations
41
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2.7
Chapter Scheme
41-43
3.
Industry Profile
44
3.1
Equity
45-48
3.2
Bonds
49-50
3.3
Currencies
51-53
4.
54
4.1
55-60
4.2
Historical Simulation
60-73
4.3
Analytic Approach
74-88
4.4
89-90
4.5
91-92
4.6
92-93
4.7
94-96
5.
97
5.1
Findings
98
5.2
Conclusion
99-100
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5.3
Recommendations
101
Selected Bibliography
102
Annexure
103-128
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List of Tables
S.
No.
Page
No.
1.
61
2.
47
3.
49
4.
51
5.
54-59
6.
63-68
7.
77
8.
Table 7
78
9.
Table 8
79
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EXECUTIVE SUMMARY
What is the most I can lose on this investment? This is a question that
almost every investor who has invested or is considering investing in a risky
asset asks at some point in time. Financial institutions and corporate Treasuries
or individuals require a method to become aware of their risk and also require
the mechanism that can be scientifically rigorous. Optimal allocation of a given
capital between different available competing assets is a standard problem
which any fund manager faces. Hence given an IBM and a CISCO stock a fund
manager would have to decide how much money to allocate to each. The
decision would depend on the risk appetite of the person whose money is being
managed by the fund. We are considering Value at Risk, popularly known as
VaR, as a measure of risk. Value at Risk tries to provide an answer, at least
within a reasonable bound. In fact, it is misleading to consider Value at Risk, or
VaR as it is widely known, to be an alternative to risk adjusted value and
probabilistic approaches. After all, it borrows liberally from both. However, the
wide use of VaR as a tool for risk assessment, especially in financial service
firms, and the extensive literature that has developed around it, push us to
dedicate this report to its examination.
We begin with a general description of VaR and the view of risk that
underlies its measurement, and examine the history of its development and
applications. We then consider the various estimation issues and questions that
have come up in the context of measuring VaR and how analysts and
researchers have tried to deal with them, is discussed under Review Literature.
Next, we evaluate about the research design, where we elaborate about the
objectives, data and its source and chapter scheme of the research report. Then
in industry profile, a brief is about the equities, bonds and currencies which is
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selected for research report. Next, we calculate VaR using VaR models i.e.
Analytic Method, Historical Simulation and Monte Carlo Simulation and then
constructing portfolio and calculating VaR. In the final section, we focus on
Research findings, conclusion and recommendations on the research report.
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CHAPTER 1
THEORITICAL
BACKGROUND
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1.1 Background
The concept and use of VaR is recent. Value-at-Risk was first used by
major financial firms in the late 1980s to measure the risks of their trading
portfolios. Since that time period, the use of Value-at-Risk has exploded. While
the term Value at Risk was not widely used prior to the mid 1990s, the origins
of the measure lie further back in time. The mathematics that underlies VaR
were largely developed in the context of portfolio theory by Harry Markowitz
and others, though their efforts were directed towards a different end devising
optimal portfolios for equity investors. In particular, the focus on market risks
and the effects of the co movements in these risks are central to how VaR is
computed.
Value-at-Risk (VaR) has become one of the most popular risk measures
since it was recommended and adopted by the Bank of International Settlements
and USA regulatory agencies in 1988. The straightforward interpretation of
VaR makes this risk measure an intuitive criterion for asset management
decisions. The VaR concept has also been extended to the portfolio Value-atRisk (PVaR) measure used for managing risks and returns under a multipleasset portfolio. Although VaR and PVaR are widely used in practice, recent
criticisms have focused on the financial risks firms face if the VaR or PVaR
estimates are based on poor information. One potentially important source of
estimation error is in the assumptions regarding the probability model of asset
returns.
The impetus for the use of VaR measures, though, came from the crises
that beset financial service firms over time and the regulatory responses to these
crises. The first regulatory capital requirements for banks were enacted in the
aftermath of the Great Depression and the bank failures of the era, when the
Securities Exchange Act established the Securities Exchange Commission
(SEC) and required banks to keep their borrowings below 2000% of their equity
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capital. In the decades thereafter, banks devised risk measures and control
devices to ensure that they met these capital requirements. With the increased
risk created by the advent of derivative markets and floating exchange rates in
the early 1970s, capital requirements were refined and expanded in the SECs
Uniform Net Capital Rule (UNCR) that was promulgated in 1975, which
categorized the financial assets that banks held into twelve classes, based upon
risk, and required different capital requirements for each, ranging from 0% for
short term treasuries to 30% for equities. Banks were required to report on their
capital calculations in quarterly statements that were titled Financial and
Operating Combined Uniform Single (FOCUS) reports.
The first regulatory measures that evoke Value at Risk, though, were
initiated in 1980, when the SEC tied the capital requirements of financial
service firms to the losses that would be incurred, with 95% confidence over a
thirty-day interval, in different security classes; historical returns were used to
compute these potential losses. Although the measures were described as
haircuts and not as Value or Capital at Risk, it was clear the SEC was requiring
financial service firms to embark on the process of estimating one month 95%
VaRs and hold enough capital to cover the potential losses. At about the same
time, the trading portfolios of investment and commercial banks were becoming
larger and more volatile, creating a need for more sophisticated and timely risk
control measures. Ken Garbade at Bankers Trust, in internal documents,
presented sophisticated measures of Value at Risk in 1986 for the firms fixed
income portfolios, based upon the covariance in yields on bonds of different
maturities. By the early 1990s,
many financial service firms had developed rudimentary measures of Value at
Risk, with wide variations on how it was measured. In the aftermath of
numerous disastrous losses associated with the use of derivatives and leverage
between 1993 and 1995, culminating with the failure of Barings, the British
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1.2 VaR
VaR is generally considered as a probability based measure of loss
potential. This definition is very general however and we need something more
specific. More formally, VaR is the loss that would be exceeded with a given
probability over a specified period of time. This definition has three important
elements. First, we see that VaR is a loss that could be exceeded. Hence, it is a
measure of a minimum loss. Second, we see that VaR is associated with a given
probability. Thus, we would state that there is a certain percent chance that a
particular loss would be exceeded with a given probability. Finally, VaR is
defined for a specific period of time. Therefore, the loss that would be exceeded
with a given probability is a loss that would be expected to occur over a
specified time period.
VAR for an investment portfolio: The VaR for a portfolio is Rs. 15 million for
one day with a probability of 0.05. Consider what this statement says: There is a
5 percent chance that the portfolio will lose at least Rs. 15 million in a single
day. The emphasis here should be on the fact that the loss is a minimum, not a
maximum.
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risk. VaR facilitates direct comparison of risk across different portfolios and
distinct financial products. Also it allows the managers or investors to examine
potential losses over a particular time horizon with which they are concerned.
Another relative advantage of is that it is largely tactical neutral. In other words,
VaR is calculated by examining the market risks of the individual instruments in
a portfolio, not using actual historical performance.
1.3 Mechanics of VaR Estimation
Establishing a VaR measure involves a number of decisions. Two
important ones are the choice of probability and the choice of the time period
over which the VaR will be measured. Once these parameters are chosen, one
can proceed to actually obtain the VaR estimate. The mechanics of VaR
estimation can be described as a 5-step process, which is explained with the
help of an example.
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Set the time horizon, or the holding period (e.g., adjust to 10 business
days)
Report the worst loss by processing all the preceding information (e.g., a
Rs. 7 cr VaR)
This is a very simple method of calculating VaR for a given portfolio but
in reality the calculation of VaR for general, parametric and other complex
distribution is more complicated and different methods are used for calculating
VaR which are explained in detail in the subsequent part of the report.
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A more risk averse manager will want to determine VaR with greater
confidence Increasing the confidence level will increase VaR.
Decreasing the confidence level will decrease VaR.
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weighted 0.9p, the one before that is weighted 0.81p and so on. In fact, the
conventional historical simulation approach is a special case of this approach,
where the decay factor is set to 1.
(b) Combining historical simulation with time series models - Cabado
and Moya suggested that better estimates of VaR could be obtained by fitting at
time series model through the historical data and using the parameters of that
model to forecast the Value at Risk.
(c) Volatility Updating - Hull and White suggest a different way of
updating historical data for shifts in volatility. For assets where the recent
volatility is higher than historical volatility, they recommend that the historical
data be adjusted to reflect the change.
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General Description
The first two steps in a Monte Carlo simulation mirror the first two steps
in the Variance-covariance method where we identify the markets risks that
affect the asset or assets in a portfolio and convert individual assets into
positions in standardized instruments. It is in the third step that the differences
emerge. Rather than compute the variances and co-variances across the market
risk factors, we take the simulation route, where we specify probability
distributions for each of the market risk factors and specify how these market
risk factors move together. Thus, in the example of the six-month Dollar/Euro
forward contract that we used earlier, the probability distributions for the 6month zero coupon $ bond, the 6-month zero coupon euro bond and the
dollar/euro spot rate will have to be specified, as will the correlation across
these instruments. While the estimation of parameters is easier if you assume
normal distributions for all variables, the power of Monte-Carlo simulations
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comes from the freedom you have to pick alternate distributions for the
variables. In addition, you can bring in subjective judgments to modify these
distributions. Once the distributions are specified, the simulation process starts.
In each run, the market risk variables take on different outcomes and the value
of the portfolio reflects the outcomes. After a repeated series of runs, numbering
usually in the thousands, you will have a distribution of portfolio values that can
be used to assess Value at Risk. For instance, assume that you run a series of
10,000 simulations and derive corresponding values for the portfolio. These
values can be ranked from highest to lowest, and the 95% percentile Value at
Risk will correspond to the 500th lowest value and the 99th percentile to the
100th lowest value.
Assessment
Much of what was said about the strengths and weaknesses of the
simulation approach in the last chapter apply to its use in computing Value at
Risk. Quickly reviewing the criticism, a simulation is only as good as the
probability distribution for the inputs that are fed into it. While Monte Carlo
simulations are often touted as more sophisticated than historical simulations,
many users directly draw on historical data to make their distributional
assumptions. In addition, as the number of market risk factors increases and
their co-movements become more complex, Monte Carlo simulations become
more difficult to run for two reasons. First, you now have to estimate the
probability distributions for hundreds of market risk variables rather than just
the handful that we talked about in the context of analyzing a single project or
asset. Second, the number of simulations that you need to run to obtain
reasonable estimate of Value at Risk will have to increase substantially (to the
tens of thousands from the thousands). The strengths of Monte Carlo
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simulations can be seen when compared to the other two approaches for
computing Value at Risk. Unlike the variance-covariance approach, we do not
have to make unrealistic assumptions about normality in returns. In contrast to
the historical simulation approach, we begin with historical data but are free to
bring in both subjective judgments and other information to improve forecasted
probability distributions. Finally, Monte Carlo simulations can be used to assess
the Value at Risk for any type of portfolio and are flexible enough to cover
options and option-like securities.
Modifications
As with the other approaches, the modifications to the Monte Carlo
simulation are directed at its biggest weakness, which is its computational
bulk. To provide a simple illustration, a yield curve model with 15 key rates and
four possible values for each will require 1,073,741,824 simulations (415) to be
complete. The modified versions narrow the focus, using different techniques,
and reduce the required number of simulations:(a) Scenario Simulation - One way to reduce the computation burden of
running Monte-Carlo simulations is to do the analysis over a number of discrete
scenarios. Frye suggests an approach that can be used to develop these scenarios
by applying a small set of pre-specified shocks to the system. Jamshidan and
Zhu (1997) suggest what they called scenario simulations where they use
principal component analysis as a first step to narrow the number of factors.
Rather than allow each risk variable to take on all of the potential values, they
look at likely combinations of these variables to arrive at scenarios. The values
are computed across these scenarios to arrive at the simulation results.
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Literature was reviewed with an aim to gain an insight into two major
facets of our problem.
a) VaR Calculation
b) Finding the optimal allocation of VaR calculation methods
VaR is straightforward to estimate and interpret as a measure of risk
exposure, and these advantages often appeal to asset managers (Culp, Mensink,
and Neves 1998). However, most of the current research on Value-at-Risk
(VaR) estimation focuses on the one-dimension (univariate) case. One of the
first attempts to compute PVaR from a model of the joint returns distribution
was reported by Frauendorfer, Moix, and Schmid (1995), but applications of
this method are limited because the PVaR model cannot be stated in closed
form and can only be approximated with complex computational algorithms.
Alternatively, Wang and Wu (2001) use linear combinations of returns
models based on extreme value theory to approximate the tail areas of heavytailed distributions, but this approach may be undesirable because it only
focuses on the lower-tail. The alternative approaches that are currently popular
include the variance-covariance (VC) method, Monte Carlo simulation, deltaNormal simulation, and historical simulation (HS) (Dowd 1998).
In one of the studies of VaR on the Indian stock market, Varma (1999)
assumes a Generalized Error Distribution (GED) and uses GARCH(GED),
EWMA(GED) and EWMA(RM) models to estimate VaR. The study computes
the nominal coverage, i.e., the ratio of number of exceedences to the total
number of observations, and compares it with the true coverage. The study
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preferred the use of GARCH(GED) model over the other two models on the
basis of the results.
In another study of Nifty and S&P 500, Sarma et al. (2003) used four
models (GARCH, EWMA, Risk Metrics-RM, and Historical Simulation-HS)
and their different variations, on the basis of the number of data points used,
under the assumption of normally distributed errors, to find out that GARCH
and RM fare well, with the latter having a slight edge. They used Back Testing
methods for performance assessment of various models by testing for
conditional and unconditional coverage and independence that were perfected
by Christoffersen (1998) as well as loss functions developed by Lopez (1998).
In a study of the indices of the five of the developed countries, Angelidis
et al. (2004) used three variations of GARCH model (nave, EGARCH,
TGARCH) and various orders of AR processes on normal GED and tdistributions. They also tested for conditional and unconditional coverage using
Christoffersen's method, but could not point out any model as the `best' model.
They found student's-t distribution to be capturing the risk better than other
distributions.
Bao et al. (2004) checked the performance of VaR models in terms of
empirical coverage taking parametric and nonparametric models. They used
normal, historical simulation, Monte Carlo simulation non parametrically
estimated distribution and the extreme value distribution along with RM as
benchmark. They analyzed the model performance before, during, and after the
Asian financial crisis. In the pre-crisis period, RM was found to be quite a good
model, with normal not being far behind. Historical Simulation(HS), NonParametric (NP) methods and Monte Carlo (MC) simulation were also seen to
be satisfactory. During the Aisan financial crisis, all the models understated the
VaR numbers, however, the EVT-based one did the best job. The post-crisis
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period results were found to be similar to the pre-crisis period results. From the
study, it is clear that the conventional models do a good job during the normal
periods.
Nath and Samantha (2003) studied the VaR for the Indian banking
system. They used one day return on the Government of India securities as the
variable. The models used were normal, historical simulation, risk metrics and
Hill's estimator. They found that VaR models under variance-covariance/normal
approach, particularly risk metrics, underestimated VaR numbers. The GARCH
(normal) model performed slightly better than the Risk Metrics model. While
HS provided quite reasonable estimates, Hill's estimator overestimated the VaR
numbers as the number of failures was less than theoretical expectation.
the
GARCH-GED
(Generalised
Auto-Regressive
Conditional
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deviations for a 1% VaR while the normal distribution indicates 2.58 standard
deviations and the GED indicates 2.85 standard deviations. With this
modification the EWMA model is shown to work quite well. Given its greater
simplicity and ease of interpretation, it may be more convenient in practice to
use this model than the more accurate GARCH-GED specification. The paper
also provides evidence suggesting that it may be possible to improve the
performance of the VaR models by taking into account the price movements in
foreign stock markets.
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CHAPTER 2
RESEARCH DESIGN
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2.3 Hypothesis
In order to see the stationarity of data collected, Augmented Dickey-Fuller Unit
Root Test has been incorporated where, Hypothesis is
H0 : Null Hypothesis is accepted as data is non-stationary, and
H1 : Alternate Hypothesis is rejected as data is stationary.
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Data Source : For equities closing price is taken for period ranging from July
2007 to March 2009, for bonds weighted average price is taken for period
ranging from December 2008 to March 2009
currencies exchange rate is taken from oanda.com for period ranging from July
2007 to March 2009.
Data analysis : The data generated would be subjected to rigorous statistical
treatment and inferences would be drawn accordingly. Appropriate statistical
tools would be applied. Excel sheets and appropriate graphs are used as
instruments for preparing the study.
2.6 Limitations
1. The time and resources were the major constrain in conducting the
research.
2. The bond instrument have been chosen on a random basis as AAA rated
trading bonds are very less. Also the ratings have changed over the period
of years.
2. The period of study is restricted only for one year.
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CHAPTER 3
INDUSTRY PROFILE
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This report was not done in any industry, this research is all about risk
involved in portfolio. Here, I would like to comment on the various assets,
which I have included in the portfolio, and the brief description about the reason
for taking these assets in my portfolio. My portfolio consists of :
four equities,
three AAA rated bonds, and
three currencies.
3.1 EQUITIES
Four equities are from Reliance Industries Ltd., DLF Limited (Real
Estate), Bharti Airtel (Telecom) and Infosys Technologies Ltd.(IT Sector).
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upstream sector, whereby it has participating interests in existing oil and gas
fields. RIL has a large exploration acreage with 34 domestic exploration blocks
in addition to 1 exploration blocks each in Yemen and Oman. RIL also has
exploration and production rights to 5 coal bed methane (CBM) blocks. The
company also has a presence in the downstream segment and has commissioned
1,218 outlets out of permitted 5,849 outlets (FY06).
DLF Limited (Construction)
The DLF Group was founded in 1946. We developed some of the first
residential colonies in Delhi such as Krishna Nagar in East Delhi, which was
completed in 1949.
DLF is India's largest real estate company in terms of revenues, earnings,
market capitalization and developable area. In line with its current expansion
plans, DLF has over 751 million sq. ft. of development across its businesses,
including developed, on-going and planned projects. This land bank is spread
over 32 cities, mostly in metros and key urban areas across India. Already a
major player in locations across the country, DLF, with over six decades of
experience, is capitalizing on emerging market opportunities to deliver high-end
facilities and projects to its wide base of customers by constantly upgrading its
internal skills and resource capabilities.
All the intensified growth underlines DLF's commitment to quality, trust
and customer sensitivity and, delivering on its promise with agility and financial
prudence. This, in turn, has earned DLF the coveted 'Superbrand' ranking for
three years consecutively, including the current year.
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74% respectively. Bharti Airtel has become a leading company in the telecom
sector in India due to the fact that it has provided the best quality of services to
its customers. And this has been possible for the company has a wide telecom
network that is of the latest technology.
Infosys Technologies Ltd. (IT Software)
Infosys Technologies Ltd, headquartered at Bangalore, India, is a leading
consulting & IT Service Solution Provider. Started in 1991, the company is
adept in technology driven and innovative business transformation initiatives.
The company works with global corporations and new generation technology
companies to deliver end- to-end solutions.
It offers services like software development, maintenance, consulting,
testing and packaging implementation. Infosys offers all these services through
its highly integrated and globally recognized delivery model. The company
achieved the US$ 3 billion revenue mark in FY07.
With a workforce of around 58,000 employees worldwide it has offices in
USA, Canada, Australia, China, UAE and European countries besides India.
Infosys is regarded as a pioneer in strategic offshore outsourcing of
software services. Its expertise is offered in Application Development and
Maintenance, Corporate Performance Management, Enterprise Quality Services,
Infrastructure Services, Packaged Application Services, Product Engineering
and Systems Integration.
Infosys has a global footprint with over 50 offices and development
centers in India, China, Australia, the Czech Republic, Poland, the UK, Canada
and Japan. Infosys has over 103,000 employees.
Infosys takes pride in building strategic long-term client relationships.
Over 97% of our revenues come from existing customers.
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used
for
acquisition
of
rolling
stock
assets
and
for meeting
other developmental needs of the Indian Railways. The ISIN CODE for bond
of this government under taking is INE053F09FM7 and its rating is AAA.
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Development
Finance
Parekh,
founded
is
Corporation
1977
an Indian NBFC,
by Ravi
focusing
on
home mortgages. HDFC's distribution network spans 243 outlets that include 49
offices of HDFC's distribution company, HDFC Sales Private Limited. In
addition, HDFC covers over 90 locations through its outreach programmes.
HDFC's marketing efforts continue to be concentrated on developing a stronger
distribution network. Home loans are also Sharcket through HDFC
Sales, HDFC Bank Limited and other third party Direct Selling Agents (DSA).
The Housing Development Finance Corporation Limited (HDFC) was amongst
the first to receive an 'in principle' approval from the Reserve Bank of India
(RBI) to set up a bank in the private sector, as part of the RBI's liberalization of
the Indian Banking Industry in 1994. The ISIN CODE for bond of this
government under taking is INE001A07DT1and its rating is AAA.
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3.3 CURRENCIES
The three currencies are Dollar, Euro and Pound.
Dollar (USA)
The United States dollar (sign: $; code: USD) is the unit of currency of
the United States and is defined by the Coinage Act of 1792 to be between 371
and 416 grains (27.0 g) of silver (depending on purity). The U.S. dollar is
normally abbreviated as the dollar sign, $, or as USD or US$ to distinguish it
from other dollar-denominated currencies and from others that use the $
symbol. It is divided into 100 cents (200 half-cents prior to 1857).
Taken over by the Congress of the Confederation of the United States on
July 6, 1785, the U.S. dollar is the currency most used in international
transactions. Although U.S. dollar is a fiat currency, several countries use it as
their official currency, and in many others it is the de facto currency.
The financial market turmoil that begun in August has put serious
pressure on the US dollar: by end-November the dollar had fallen by some 6%
since August against a trade-weighted currency basket tracked by the US
Federal Reserve. Dollar weakness is not a new issue: the currency has lost a
quarter of its value against a broader range of currencies over the past five
years. However, there are fears that, in the current environment, the dollar's
decline could turn into a rout.
Euro (European Union)
The Euro () is the official currency of 16 of the 27 member states of
the European Union (EU). The states, known collectively as the Euro zone,
are: Austria, Belgium, Cyprus, Finland, France, Germany, Greece, Ireland, Italy
, Luxembourg, Malta,the Netherlands,Portugal, Slovakia, Slovenia,and Spain.
The
currency
is
also
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in
further
five
European
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countries, with and without formal agreements and is consequently used daily
by some 327 million Europeans. Over 175 million people worldwide use
currencies which are pegged to the euro, including more than 150 million
people in Africa.
The euro is the second largest reserve currency and the second most
traded currency in the world after the U.S. dollar. As of November 2008, with
more than 751 billion in circulation, the euro is the currency with the highest
combined value of cash in circulation in the world, having surpassed the U.S.
dollar. Based on IMF estimates of 2008 GDP and purchasing power parity
among the various currencies, the Euro zone is the second largest economy in
the world.
The name euro was officially adopted on 16 December 1995. The euro
was introduced to world financial markets as an accounting currency on 1
January 1999, replacing the former European Currency Unit (ECU) at a ratio of
1:1. Euro coins and banknotes entered circulation on 1 January 2002.
With the dollar seemingly in terminal decline, there is little stopping the
euro from becoming the world's premier reserve currency. the fact that sterling
held the position of reserve currency until the Second World War, but lost it due
to imperial overreach. This, he warns, could happen to the dollar for a variety of
reasons, perhaps including multiple US interventions abroad. This weakness of
the US financial sector will play into the hands of the Europeans, whose
economies are better suited to overcoming the current credit crisis, the author
believes. However, despite gloomy predictions for the dollar, the euro is not in a
position to overtake it at the moment, he argues, pointing out that the euro holds
one-third of global reserves compared to the dollar's two-thirds.
MPBirlaInstituteofManagement
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Pound (British)
The pound, a unit of currency, originated in England, as the value of
a pound mass of silver. For a long time, 1 worth of silver coins were a troy
pound in mass.
Today, the term may refer to a number of current (primarily British and
related) currencies, and a variety of now-obsolete currencies. Pound
sterling (GBP, represented by the pound sign: ""), the currency of the United
Kingdom.
The global economic calendar fills out next week; but no other G10
currency can compete with the fundamental authority of the data that populates
the British pounds docket. Over the past month, its seen that the sterling built
considerable strength against currencies that are considered far better positioned
than itself. This has developed along with the general recovery in risk
sentiment; because there has been no notable improvements in the UKs
economic checkup recently. This leaves the pound in a precarious position. As
fundamentals continue to deteriorate from under the unit, its advance becomes
more and more dependent on a fragile and altogether volatile driver.
Alternatively, if the need for safety states the appetite for risk, all of the
Kingdoms economic, interest rate and financial troubles will come rushing
back to the forefront. And, considering the level of event risk in the week ahead,
there is a lot at stake for fundamental traders.
MPBirlaInstituteofManagement
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CHAPTER 4
DATA ANALYSIS &
INTERPRETATION
MPBirlaInstituteofManagement
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DLF Equity
Constraints
ADF
Akaike Info
Constraints
( log 0)
values
Criterion
( log 0)
-16.73502
Intercept
1%(-3.4575521) Intercept
(1st
5%(-2.8733935)
(2nd
Difference)
10%(-2.573153) Difference)
Trend &
-9.0563009 1%( -3.998132)
Trend &
Intercept
5%( -3.429354)
Intercept
(2nd
10%( -3.13815)
(1st
Difference)
Difference)
None
-16.770080 1%( -2.574699)
None
(1st
5%( -1.942163)
(2nd
difference)
10%( -1.61585) difference)
Bharti Airtel Equity
Constraints
( log 0)
Intercept
(1st
Difference)
Trend &
Intercept
(1st
Difference)
None
(2nd
difference)
ADF
values
-2530.684
-2509.315
-9.635644
Akaike Info
Criterion
1%(-3.45709)
5%(-2.87319)
10%(-2.5730)
1%(-3.99613)
5%(-3.42890)
10%(-3.1375)
Constraints
( log 0)
Intercept
(Level)
Trend &
Intercept(1st
Difference)
1%(-2.57494)
5%(-1.94219)
10%(-1.6158)
None
(1st
difference)
ADF values
-9.9722299
-2741.194
Akaike Info
Criterion
1%(-3.458384)
5%(-2.87375)
10%(-2.57334)
1%( -3.996618)
5%( -3.428622)
10%( -3.13772)
-9.994969
1%( -2.574991)
5%( -1.942204)
10%( -1.61583)
Infosys Equity
ADF
values
-2.820407
Akaike Info
Criterion
1%(-1.457552)
5%(-2.803393)
10%(-2.57315)
-16.308672 1%( -3.99678)
5%( -3.42870)
10%( -3.1377)
-11.45324
1%(-2.574739)
5%(-1.942169)
10%(-1.6158)
MPBirlaInstituteofManagement
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Hypothesis:
H0 = ADF > critical values -- accept null hypothesis i.e., unit root exists.
H1 = ADF < critical values reject null hypothesis i.e. unit root does not exist.
Interpretation
The above table tells that equities has a unit root problem i.e unit root
does not exists, so they are stationary in their 1st difference and 2nd difference at
various constraints i.e ADF is smaller than critical values at none, intercept and
st
trend and intercept.. The 1 difference and 2nd difference level is nothing but the
log natural returns of the raw values. Log natural returns are to make series
mean and variance constant. Thus equity is stationary and null hypothesis is
rejected at 1%, 5% and 10% level of significance.
MPBirlaInstituteofManagement
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Bonds
The weighted average price of bonds for this test is taken from April,
2008 to March, 2009. The data taken are raw rates. The unit root result is as
under:
Constraints
( log 0)
Intercept(2nd
Difference)
Constraints
( log 0)
Intercept
(2nd
Difference)
Trend
&
Intercept
(2nd
Difference)
None(2nd
difference)
ADF
Akaike
Info
values
Criterion
-6.3050974 1%( -3.520355)
5%( -2.90065)
10%( -2.58770)
Trend
& -5.357081 1%( -4.080085)
Intercept
5%( -3.468479)
(Level)
10%( -3.16109)
None(Level)
6.3976235
ADF values
-7.725679
-1075.6289
1%( -2.594659)
-7.7657838
5%( -1.944965)
10%( -1.61411)
Housing Development Finance Corporation
Akaike
Info
Criterion
1%( -3.592494)
5%( -2.931407)
10%( -2.60396)
1%( -4.170542)
5%( -3.510728)
10%( -3.18551)
1%( -2.619939)
5%( -1.948680)
10%( -1.61205)
Constraints
( log 0)
Intercept(2nd Difference)
ADF values
-7.725679
-7.6579844
None(1st difference)
-1301.54327
1%(-3.592494)
5%(-2.931407)
10%(-2.603966)
1%(-4.1864559)
5%(-3.5180744)
10%(-3.1897344)
1%(-2.616296)
5%(-1.948134)
10%(-1.612338)
MPBirlaInstituteofManagement
Page57
Hypothesis:
H0 = ADF > critical values -- accept null hypothesis i.e., unit root exists.
H1 = ADF < critical values reject null hypothesis i.e. unit root does not exist.
Interpretation
The above table tells that bonds has a unit root problem i.e unit root does
not exists, so they are stationary in their level, 1st difference and 2nd difference at
various constraints i.e ADF is smaller than critical values at none, intercept and
st
trend and intercept.. The 1 difference and 2nd difference level is nothing but the
log natural returns of the raw values. Log natural returns are to make series
mean and variance constant. Thus equity is stationary and null hypothesis is
rejected at 1%, 5% and 10% level of significance.
MPBirlaInstituteofManagement
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Currencies
The Exchange rate of currencies for this test is taken from April, 2008 to
March, 2009. The data taken are raw rates. The unit root result is as under:
Table No 3: Currencies ADF Test
Dollar
Constraints
( log 0)
Intercept(1st
Difference)
ADF
values
-11.12287
Trend &
Intercept
(1st
Difference)
None(2nd
Difference)
-11.175576
-11.252048
Euro
Akaike Info
Criterion
1%( -3.448307)
5%( -2.869336)
10%( -2.57097)
1%( -3.983691)
5%( -3.422363)
10%( -3.13402)
Constraints
( log 0)
Intercept
(1st
Difference)
Trend &
Intercept
(1st
Difference)
None(2nd
difference)
1%( -2.571587)
5%( -1.941737)
10%( -1.61614)
Pound
ADF values
-10.652492
-10.639176
-11.099348
Akaike Info
Criterion
1%( -3.448307)
5%( -2.869336)
10%( -2.57097)
1%( -3.983691)
5%( -3.422363)
10%( -3.13402)
1%( -2.571587)
5%( -1.941737)
10%( -1.61614)
Constraints
( log 0)
Intercept(2nd Difference)
ADF values
-12.546823
-11.299146
None(2nd difference)
-12.563043
1%(-3.4487212)
5%( -2.869518)
10%( -2.571074)
1%( -3.9836916)
5%( -3.4223637)
10%( -3.1340235)
1%( -2.5715877)
5%( -1.9417379)
10%( -1.6161406)
MPBirlaInstituteofManagement
Page59
Hypothesis:
H0 = ADF > critical values -- accept null hypothesis i.e., unit root exists.
H1 = ADF < critical values reject null hypothesis i.e. unit root does not exist.
Interpretation
The above table tells that currencies has a unit root problem i.e unit root
does not exists, so they are stationary in their level, 1st difference and 2nd
difference at various constraints i.e ADF is smaller than critical values at none,
st
intercept and trend and intercept.. The 1 difference and 2nd difference level is
nothing but the log natural returns of the raw values. Log natural returns are to
make series mean and variance constant. Thus equity is stationary and null
hypothesis is rejected at 1%, 5% and 10% level of significance.
MPBirlaInstituteofManagement
Page60
Page61
The observations are taken at some particular point in time during the day
(usually the close of trading). We denote the first day for which we have data as
Day 0; the second day as Day 1; and so on. Today is Day 100; tomorrow is Day
101. The values of the market variables tomorrow if their percentage changes
between today and tomorrow are the same as they were between Day (i 1) and
Day i for 1 i 100. The first row shows the values of the market variables
tomorrow assuming their percentage changes between today and tomorrow are
the same as they were between Day 0 and Day 1; second row shows the values
of market variables tomorrow assuming their percentage changes between Day
1 and Day 2 occur; and so on. The 243 rows are the 243 scenario considered.
Equity price
P&L
VaR
1-Apr-08
2,345.25
2-Apr-08
2,343.55
1523.644755
9.450672643
3-Apr-08
2,396.05
1558.907315
-25.81188676
4-Apr-08
2,321.15
1477.086648
56.00878018
7-Apr-08
2,404.90
1579.76489
-46.66946225
8-Apr-08
2,381.75
1510.072482
23.02294578
9-Apr-08
2,418.25
1548.11659
-15.02116169
10-Apr-08
2,468.65
1556.528104
-23.432676
11-Apr-08
2,551.55
1575.952793
-42.85736502
15-Apr-08
2,611.80
1560.754071
-27.65864305
16-Apr-08
2,642.50
1542.672439
-9.577010548
17-Apr-08
2,640.05
1523.336325
9.759103497
MPBirlaInstituteofManagement
Page62
2,643.60
1526.800288
6.295140127
23-Apr-08
2,577.60
1507.352523
25.74290532
25-Apr-08
2,624.50
1549.457486
-16.36205753
28-Apr-08
2,591.40
1505.519966
27.57546229
29-Apr-08
2,659.95
1565.084033
-31.98860476
30-Apr-08
2,614.50
1498.696921
34.39850701
2-May-08
2,674.75
1559.887192
-26.79176362
5-May-08
2,669.20
1521.586204
11.50922368
6-May-08
2,650.00
1513.782219
19.31320861
7-May-08
2,688.95
1547.160948
-14.06552011
8-May-08
2,667.25
1512.445169
20.65025888
9-May-08
2,528.40
1445.375537
87.7198914
12-May-08
2,553.85
1540.097606
-7.002178194
13-May-08
2,501.10
1493.256152
39.83927552
14-May-08
2,530.75
1542.825582
-9.730153744
15-May-08
2,622.95
1580.299521
-47.20409289
16-May-08
2,635.70
1532.161717
0.933711231
20-May-08
2,602.95
1505.804155
27.29127256
21-May-08
2,667.70
1562.679104
-29.58367648
22-May-08
2,626.05
1500.944536
32.15089245
23-May-08
2,556.20
1484.193351
48.90207677
26-May-08
2,515.60
1500.53247
32.56295793
27-May-08
2,495.10
1512.324585
20.77084341
28-May-08
2,522.50
1541.494078
-8.398650394
29-May-08
2,462.70
1488.6033
44.4921277
30-May-08
2,403.50
1488.097058
44.99836989
2-Jun-08
2,358.80
1496.392885
36.70254262
MPBirlaInstituteofManagement
Page63
2,406.65
1555.68068
-22.58525179
4-Jun-08
2,307.00
1461.616043
71.47938495
5-Jun-08
2,246.80
1484.962419
48.13300927
6-Jun-08
2,238.50
1519.117356
13.97807221
9-Jun-08
2,162.70
1473.118975
59.97645324
10-Jun-08
2,197.75
1549.461004
-16.36557561
11-Jun-08
2,261.40
1568.908952
-35.81352434
12-Jun-08
2,277.30
1535.470582
-2.375154383
13-Jun-08
2,270.40
1520.130154
12.96527387
16-Jun-08
2,282.35
1532.775353
0.320074538
17-Jun-08
2,332.90
1558.520505
-25.42507718
18-Jun-08
2,287.10
1494.815777
38.2796515
19-Jun-08
2,248.15
1498.783049
34.31237851
23-Jun-08
2,025.70
1471.363412
61.73201575
24-Jun-08
2,062.70
1552.600002
-19.50457447
26-Jun-08
2,239.55
1598.667539
-65.57211062
27-Jun-08
2,182.65
1486.010845
47.08458319
30-Jun-08
2,095.15
1463.624476
69.47095202
1-Jul-08
2,044.15
1487.634638
45.46078967
2-Jul-08
2,144.00
1599.229019
-66.1335914
3-Jul-08
2,070.10
1472.194485
60.90094339
4-Jul-08
2,097.90
1545.22633
-12.13090165
7-Jul-08
2,028.20
1474.092164
59.00326441
8-Jul-08
1,979.45
1488.10097
44.99445793
9-Jul-08
2,079.15
1601.547886
-68.45245778
10-Jul-08
2,046.65
1500.916041
32.17938659
11-Jul-08
2,016.10
1501.990313
31.10511456
MPBirlaInstituteofManagement
Page64
2,043.45
1545.434446
-12.33901846
15-Jul-08
1,977.40
1475.46583
57.62959815
16-Jul-08
1,943.50
1498.610107
34.48532129
17-Jul-08
2,018.55
1583.629592
-50.53416423
18-Jul-08
2,113.20
1596.245671
-63.1502434
21-Jul-08
2,152.85
1553.358905
-20.26347674
22-Jul-08
2,152.15
1524.254227
8.841201045
23-Jul-08
2,267.30
1606.331192
-73.23576406
24-Jul-08
2,308.05
1552.154209
-19.05878075
25-Jul-08
2,147.10
1418.422792
114.672636
28-Jul-08
2,179.90
1548.04272
-14.94729241
29-Jul-08
2,083.10
1457.042399
76.05302927
30-Jul-08
2,165.50
1585.063667
-51.96823913
31-Jul-08
2,207.50
1554.322616
-21.22718802
1-Aug-08
2,297.60
1586.983284
-53.88785626
4-Aug-08
2,242.40
1488.117775
44.97765293
5-Aug-08
2,276.05
1547.630769
-14.53534149
6-Aug-08
2,298.60
1539.856484
-6.761055821
7-Aug-08
2,272.60
1507.503198
25.5922304
8-Aug-08
2,251.80
1510.794707
22.3007215
11-Aug-08
2,325.25
1574.484829
-41.3894008
12-Aug-08
2,347.25
1539.176191
-6.080762732
13-Aug-08
2,336.85
1517.994265
15.10116344
14-Aug-08
2,276.70
1485.503274
47.59215436
18-Aug-08
2,224.80
1489.991567
43.10386126
20-Aug-08
2,246.35
1543.125862
-10.03043364
21-Aug-08
2,212.65
1501.875526
31.21990215
MPBirlaInstituteofManagement
Page65
2,244.80
1546.904752
-13.80932422
26-Aug-08
2,179.35
1488.783115
44.31231308
27-Aug-08
2,148.00
1502.816436
30.27899191
28-Aug-08
2,070.85
1469.985353
63.11007535
29-Aug-08
2,136.20
1572.866673
-39.77124511
1-Sep-08
2,141.65
1528.640033
4.455395466
2-Sep-08
2,212.75
1575.369721
-42.27429278
4-Sep-08
2,152.25
1483.060982
50.03444619
5-Sep-08
2,080.90
1474.202474
58.89295385
8-Sep-08
2,133.20
1563.072084
-29.97665619
9-Sep-08
2,142.55
1531.433111
1.662316946
10-Sep-08
2,082.65
1482.122045
50.97338301
11-Sep-08
1,997.40
1462.336758
70.75866954
12-Sep-08
1,932.65
1475.321962
57.7734657
15-Sep-08
1,886.95
1488.695321
44.40010681
16-Sep-08
1,928.05
1557.960856
-24.86542814
17-Sep-08
1,876.65
1484.101599
48.99382923
18-Sep-08
1,938.25
1574.799077
-41.70364881
19-Sep-08
2,055.10
1616.671598
-83.57617009
22-Sep-08
2,039.10
1512.879045
20.21638318
23-Sep-08
2,006.45
1500.335755
32.75967326
24-Sep-08
2,046.10
1554.880996
-21.78556829
25-Sep-08
2,025.70
1509.547957
23.54747091
26-Sep-08
1,963.20
1477.706077
55.38935109
29-Sep-08
1,932.85
1501.178198
31.91723041
30-Sep-08
1,949.35
1537.766207
-4.670778638
1-Oct-08
1,906.70
1491.389861
41.70556728
MPBirlaInstituteofManagement
Page66
1,761.45
1408.596469
124.498959
6-Oct-08
1,641.60
1421.005195
112.0902334
7-Oct-08
1,674.65
1555.447483
-22.35205464
8-Oct-08
1,648.55
1500.986243
32.10918461
10-Oct-08
1,527.60
1412.882897
120.2125309
13-Oct-08
1,571.40
1568.468284
-35.37285558
14-Oct-08
1,621.05
1572.926045
-39.83061725
15-Oct-08
1,520.20
1429.891089
103.2043389
16-Oct-08
1,391.95
1396.116144
136.9792837
17-Oct-08
1,306.05
1430.654648
102.4407798
21-Oct-08
1,394.95
1610.227884
-77.1324564
22-Oct-08
1,316.80
1439.328148
93.76728004
23-Oct-08
1,217.65
1409.942161
123.1532671
24-Oct-08
1,019.50
1276.625159
256.4702689
28-Oct-08
1,153.00
1632.3461
-99.25067228
29-Oct-08
1,201.75
1589.217964
-56.12253601
31-Oct-08
1,375.45
1745.136166
-212.040738
3-Nov-08
1,441.70
1598.191192
-65.09576397
4-Nov-08
1,451.60
1535.220295
-2.124867484
5-Nov-08
1,269.05
1333.000818
200.0946099
6-Nov-08
1,170.55
1406.403304
126.6921243
7-Nov-08
1,220.75
1590.140158
-57.04473047
10-Nov-08
1,303.10
1627.607393
-94.511965
11-Nov-08
1,207.70
1413.122995
119.9724328
12-Nov-08
1,162.20
1467.305167
65.79026115
14-Nov-08
1,146.75
1504.48035
28.61507823
17-Nov-08
1,141.40
1517.636494
15.45893356
MPBirlaInstituteofManagement
Page67
1,139.95
1522.813004
10.28242423
19-Nov-08
1,132.45
1514.71831
18.37711799
20-Nov-08
1,056.05
1421.883737
111.2116914
21-Nov-08
1,124.35
1623.363158
-90.26772952
24-Nov-08
1,144.80
1552.48259
-19.38716194
25-Nov-08
1,071.80
1427.521882
105.5735464
26-Nov-08
1,138.90
1620.206918
-87.11149027
28-Nov-08
1,134.45
1518.792376
14.30305158
1-Dec-08
1,109.40
1491.081714
42.01371439
2-Dec-08
1,073.95
1476.027819
57.06760891
3-Dec-08
1,069.10
1517.86417
15.23125835
4-Dec-08
1,159.10
1653.107965
-120.0125366
5-Dec-08
1,117.60
1470.158399
62.93702924
8-Dec-08
1,118.55
1526.046092
7.049335928
10-Dec-08
1,227.20
1672.856108
-139.7606804
11-Dec-08
1,259.00
1564.260308
-31.16488002
12-Dec-08
1,307.10
1583.002959
-49.9075307
15-Dec-08
1,340.55
1563.769882
-30.6744538
16-Dec-08
1,388.50
1579.288632
-46.19320353
17-Dec-08
1,351.40
1484.009471
49.08595735
18-Dec-08
1,361.00
1535.581434
-2.486006068
19-Dec-08
1,351.30
1513.882935
19.21249266
23-Dec-08
1,259.75
1494.14944
38.94598807
24-Dec-08
1,242.00
1503.266124
29.82930377
26-Dec-08
1,210.15
1485.649124
47.4463036
29-Dec-08
1,246.30
1570.297835
-37.20240698
30-Dec-08
1,250.50
1529.88837
3.207058426
MPBirlaInstituteofManagement
Page68
1,254.65
1551.837426
-18.74199849
2-Jan-09
1,286.40
1563.335113
-30.23968538
5-Jan-09
1,365.85
1618.920855
-85.82542671
6-Jan-09
1,370.90
1530.387506
2.707922051
7-Jan-09
1,200.75
1335.504823
197.5906045
9-Jan-09
1,153.25
1464.433011
68.66241738
12-Jan-09
1,097.90
1451.569933
81.5254952
13-Jan-09
1,077.55
1496.488171
36.6072574
14-Jan-09
1,179.75
1669.364589
-136.2691607
15-Jan-09
1,142.35
1476.412937
56.68249094
16-Jan-09
1,217.35
1624.856141
-91.76071285
19-Jan-09
1,229.90
1540.469072
-7.373644165
20-Jan-09
1,183.65
1467.412259
65.68316887
21-Jan-09
1,119.85
1442.564345
90.53108254
22-Jan-09
1,136.30
1547.147765
-14.05233733
23-Jan-09
1,156.15
1551.385825
-18.29039661
27-Jan-09
1,225.95
1616.80341
-83.70798202
28-Jan-09
1,274.00
1584.511195
-51.4157674
29-Jan-09
1,270.10
1520.082398
13.01303004
30-Jan-09
1,323.60
1588.976537
-55.88110928
2-Feb-09
1,280.00
1474.524025
58.57140261
3-Feb-09
1,306.20
1555.959727
-22.86429856
4-Feb-09
1,307.50
1526.267513
6.827915368
5-Feb-09
1,288.80
1502.942868
30.15255993
6-Feb-09
1,344.85
1591.061482
-57.96605361
9-Feb-09
1,389.70
1575.599565
-42.50413701
10-Feb-09
1,401.95
1538.190446
-5.09501778
MPBirlaInstituteofManagement
Page69
1,381.25
1502.23684
30.85858824
12-Feb-09
1,351.55
1491.964425
41.13100266
13-Feb-09
1,392.40
1570.834893
-37.73946527
16-Feb-09
1,320.20
1445.687267
87.40816141
17-Feb-09
1,267.30
1463.653746
69.44168236
18-Feb-09
1,295.15
1558.257684
-25.16225566
19-Feb-09
1,293.75
1523.101813
9.993615469
24-Feb-09
1,253.25
1524.567526
8.527901672
25-Feb-09
1,266.55
1540.931269
-7.835840701
26-Feb-09
1,290.80
1553.943626
-20.84819839
27-Feb-09
1,266.05
1495.514206
37.58122169
2-Mar-09
1,225.65
1476.094813
57.00061539
3-Mar-09
1,196.85
1488.921827
44.17360081
5-Mar-09
1,149.80
1447.57456
85.52086768
6-Mar-09
1,169.90
1551.404614
-18.30918585
9-Mar-09
1,153.35
1503.180112
29.91531645
12-Mar-09
1,202.00
1589.066198
-55.97077047
13-Mar-09
1,284.25
1629.085015
-95.98958656
16-Mar-09
1,327.60
1576.218104
-43.12267595
17-Mar-09
1,300.20
1493.281071
39.81435689
18-Mar-09
1,331.40
1561.338371
-28.24294302
19-Mar-09
1,345.70
1541.12669
-8.03126195
20-Mar-09
1,339.20
1517.385153
15.71027529
23-Mar-09
1,438.45
1637.751372
-104.6559441
24-Mar-09
1,452.45
1539.589932
-6.494503871
25-Mar-09
1,532.20
1608.469792
-75.37436442
26-Mar-09
1,565.50
1557.888086
-24.79265776
MPBirlaInstituteofManagement
Page70
1,548.75
1508.436003
24.65942513
30-Mar-09
1,516.45
1492.950533
40.14489531
31-Mar-09
1,524.75
1533.095428
Source : www.nseindia.com
Calculations :
Reliance Industries Ltd(equity)
The 1 day loss (VaR) = 1334.0525
Similarly, loss of 10 day(VaR) = (10*one day loss) = 4218.6444
Working Notes :
1. P&L = Equity price of nth day*
(Equity price of current day/Equity price of previous day
2. VaR = Value of nth day P&L Value of current day P&L
Here, for Reliance equity price we have daily VaR, which shows that an
investor has risk of 56.00878 after taking the difference of nth day to current
day i.e. 4 April, 2008. So, for an investor its a point where he can calculate
daily risk with respect to nth day P&L to that of current day.
MPBirlaInstituteofManagement
Page71
Likewise, worst daily VaR is calculated for all other equities, bonds and
Currencies.
DLF Limited(equity)
The 1 day loss (VaR) = 141.9933
Bharti Airtel(equity)
The 1 day loss (VaR) = 576.5053
MPBirlaInstituteofManagement
Page72
MPBirlaInstituteofManagement
Page73
Date
Equity price
Price relative
Daily Return
1-Apr-08
2,345.25
2-Apr-08
2,343.55
0.99927513
-0.00072513
3-Apr-08
2,396.05
1.02240191
0.02215467
4-Apr-08
2,321.15
0.96874022
-0.0317588
7-Apr-08
2,404.90
1.03608125
0.03544557
8-Apr-08
2,381.75
0.99037382
-0.00967281
9-Apr-08
2,418.25
1.01532487
0.01520863
10-Apr-08
2,468.65
1.02084152
0.0206273
11-Apr-08
2,551.55
1.03358111
0.03302958
15-Apr-08
2,611.80
1.0236131
0.02333862
16-Apr-08
2,642.50
1.01175435
0.0116858
17-Apr-08
2,640.05
0.99907285
-0.00092758
21-Apr-08
2,643.60
1.00134467
0.00134377
22-Apr-08
2,607.35
0.98628764
-0.01380724
23-Apr-08
2,577.60
0.98858995
-0.01147565
24-Apr-08
2,582.65
1.00195919
0.00195727
25-Apr-08
2,624.50
1.01620429
0.0160744
28-Apr-08
2,591.40
0.98738807
-0.01269213
29-Apr-08
2,659.95
1.02645288
0.02610906
MPBirlaInstituteofManagement
Page74
2,614.50
0.98291321
-0.01723445
2-May-08
2,674.75
1.02304456
0.02278304
5-May-08
2,669.20
0.99792504
-0.00207712
6-May-08
2,650.00
0.99280683
-0.00721916
7-May-08
2,688.95
1.01469811
0.01459114
8-May-08
2,667.25
0.99192994
-0.0081028
9-May-08
2,528.40
0.94794264
-0.05346129
12-May-08
2,553.85
1.01006565
0.01001533
13-May-08
2,501.10
0.97934491
-0.02087139
14-May-08
2,530.75
1.01185478
0.01178507
15-May-08
2,622.95
1.03643189
0.03578394
16-May-08
2,635.70
1.00486094
0.00484916
20-May-08
2,602.95
0.98757446
-0.01250338
21-May-08
2,667.70
1.02487562
0.02457126
22-May-08
2,626.05
0.9843873
-0.01573586
23-May-08
2,556.20
0.97340112
-0.02695904
26-May-08
2,515.60
0.98411705
-0.01601044
27-May-08
2,495.10
0.99185085
-0.00818254
28-May-08
2,522.50
1.01098152
0.01092166
29-May-08
2,462.70
0.97629336
-0.02399216
30-May-08
2,403.50
0.97596134
-0.0243323
2-Jun-08
2,358.80
0.98140212
-0.01877299
3-Jun-08
2,406.65
1.02028574
0.02008272
4-Jun-08
2,307.00
0.9585939
-0.04228776
5-Jun-08
2,246.80
0.9739055
-0.026441
6-Jun-08
2,238.50
0.99630586
-0.00370098
9-Jun-08
2,162.70
0.96613804
-0.03444856
MPBirlaInstituteofManagement
Page75
2,197.75
1.01620659
0.01607667
11-Jun-08
2,261.40
1.02896144
0.02854998
12-Jun-08
2,277.30
1.00703104
0.00700644
13-Jun-08
2,270.40
0.9969701
-0.0030345
16-Jun-08
2,282.35
1.00526339
0.00524959
17-Jun-08
2,332.90
1.02214822
0.02190651
18-Jun-08
2,287.10
0.98036778
-0.01982749
19-Jun-08
2,248.15
0.9829697
-0.01717698
20-Jun-08
2,099.20
0.93374552
-0.06855134
23-Jun-08
2,025.70
0.96498666
-0.035641
24-Jun-08
2,062.70
1.01826529
0.01810048
25-Jun-08
2,136.00
1.03553595
0.03491912
26-Jun-08
2,239.55
1.04847846
0.04734003
27-Jun-08
2,182.65
0.97459311
-0.02573522
30-Jun-08
2,095.15
0.95991112
-0.04091459
1-Jul-08
2,044.15
0.97565807
-0.02464309
2-Jul-08
2,144.00
1.04884671
0.04769119
3-Jul-08
2,070.10
0.96553172
-0.03507633
4-Jul-08
2,097.90
1.0134293
0.01333993
7-Jul-08
2,028.20
0.9667763
-0.03378814
8-Jul-08
1,979.45
0.97596391
-0.02432967
9-Jul-08
2,079.15
1.05036753
0.04914013
10-Jul-08
2,046.65
0.98436861
-0.01575485
11-Jul-08
2,016.10
0.98507317
-0.01503936
14-Jul-08
2,043.45
1.0135658
0.0134746
15-Jul-08
1,977.40
0.96767721
-0.03285671
16-Jul-08
1,943.50
0.98285628
-0.01729238
MPBirlaInstituteofManagement
Page76
2,018.55
1.0386159
0.03788896
18-Jul-08
2,113.20
1.04689009
0.04582395
21-Jul-08
2,152.85
1.01876301
0.01858916
22-Jul-08
2,152.15
0.99967485
-0.0003252
23-Jul-08
2,267.30
1.05350463
0.05212235
24-Jul-08
2,308.05
1.01797292
0.01781332
25-Jul-08
2,147.10
0.93026581
-0.07228492
28-Jul-08
2,179.90
1.01527642
0.01516091
29-Jul-08
2,083.10
0.95559429
-0.04542184
30-Jul-08
2,165.50
1.03955643
0.03879411
31-Jul-08
2,207.50
1.01939506
0.01920937
1-Aug-08
2,297.60
1.0408154
0.04000445
4-Aug-08
2,242.40
0.97597493
-0.02431838
5-Aug-08
2,276.05
1.01500624
0.01489476
6-Aug-08
2,298.60
1.00990752
0.00985876
7-Aug-08
2,272.60
0.98868877
-0.01137569
8-Aug-08
2,251.80
0.99084749
-0.00919465
11-Aug-08
2,325.25
1.03261835
0.03209766
12-Aug-08
2,347.25
1.00946135
0.00941687
13-Aug-08
2,336.85
0.99556928
-0.00444056
14-Aug-08
2,276.70
0.97426022
-0.02607684
18-Aug-08
2,224.80
0.97720385
-0.02306
19-Aug-08
2,219.60
0.99766271
-0.00234002
20-Aug-08
2,246.35
1.01205172
0.01197968
21-Aug-08
2,212.65
0.98499789
-0.01511578
22-Aug-08
2,244.80
1.01453009
0.01442554
25-Aug-08
2,232.00
0.99429793
-0.00571839
MPBirlaInstituteofManagement
Page77
2,179.35
0.97641129
-0.02387138
27-Aug-08
2,148.00
0.98561498
-0.01448949
28-Aug-08
2,070.85
0.96408287
-0.03657803
29-Aug-08
2,136.20
1.03155709
0.0310694
1-Sep-08
2,141.65
1.00255126
0.00254801
2-Sep-08
2,212.75
1.0331987
0.03265953
4-Sep-08
2,152.25
0.97265846
-0.02772228
5-Sep-08
2,080.90
0.96684865
-0.03371331
8-Sep-08
2,133.20
1.02513336
0.02482271
9-Sep-08
2,142.55
1.00438309
0.00437351
10-Sep-08
2,082.65
0.97204266
-0.02835559
11-Sep-08
1,997.40
0.95906657
-0.04179479
12-Sep-08
1,932.65
0.96758286
-0.03295422
15-Sep-08
1,886.95
0.97635371
-0.02393035
16-Sep-08
1,928.05
1.02178118
0.02154736
17-Sep-08
1,876.65
0.97334094
-0.02702086
18-Sep-08
1,938.25
1.03282445
0.03229723
19-Sep-08
2,055.10
1.06028634
0.058539
22-Sep-08
2,039.10
0.99221449
-0.00781597
23-Sep-08
2,006.45
0.98398803
-0.01614154
24-Sep-08
2,046.10
1.01976127
0.01956855
25-Sep-08
2,025.70
0.99002981
-0.01002022
26-Sep-08
1,963.20
0.96914647
-0.03133952
29-Sep-08
1,932.85
0.98454055
-0.0155802
30-Sep-08
1,949.35
1.00853662
0.00850039
1-Oct-08
1,906.70
0.97812091
-0.02212198
3-Oct-08
1,761.45
0.92382126
-0.07923667
MPBirlaInstituteofManagement
Page78
1,641.60
0.93195947
-0.07046596
7-Oct-08
1,674.65
1.0201328
0.01993281
8-Oct-08
1,648.55
0.98441465
-0.01570807
10-Oct-08
1,527.60
0.9266325
-0.07619824
13-Oct-08
1,571.40
1.02867243
0.02826907
14-Oct-08
1,621.05
1.03159603
0.03110715
15-Oct-08
1,520.20
0.93778724
-0.06423218
16-Oct-08
1,391.95
0.9156361
-0.08813626
17-Oct-08
1,306.05
0.93828801
-0.06369833
20-Oct-08
1,320.90
1.01137016
0.01130601
21-Oct-08
1,394.95
1.05606026
0.05454525
22-Oct-08
1,316.80
0.94397649
-0.05765402
23-Oct-08
1,217.65
0.92470383
-0.07828178
24-Oct-08
1,019.50
0.83726851
-0.17761046
27-Oct-08
1,077.00
1.0564002
0.05486709
28-Oct-08
1,153.00
1.07056639
0.06818784
29-Oct-08
1,201.75
1.04228101
0.04141159
31-Oct-08
1,375.45
1.14453921
0.13500212
3-Nov-08
1,441.70
1.04816605
0.04704202
4-Nov-08
1,451.60
1.00686689
0.00684342
5-Nov-08
1,269.05
0.87424222
-0.13439781
6-Nov-08
1,170.55
0.92238288
-0.08079487
7-Nov-08
1,220.75
1.04288582
0.0419917
10-Nov-08
1,303.10
1.06745853
0.06528062
11-Nov-08
1,207.70
0.92678996
-0.07602832
12-Nov-08
1,162.20
0.96232508
-0.03840296
14-Nov-08
1,146.75
0.98670625
-0.01338291
MPBirlaInstituteofManagement
Page79
1,141.40
0.99533464
-0.00467628
18-Nov-08
1,139.95
0.99872963
-0.00127118
19-Nov-08
1,132.45
0.99342076
-0.00660097
20-Nov-08
1,056.05
0.93253565
-0.06984789
21-Nov-08
1,124.35
1.06467497
0.06266956
24-Nov-08
1,144.80
1.01818829
0.01802486
25-Nov-08
1,071.80
0.9362334
-0.06589047
26-Nov-08
1,138.90
1.06260496
0.06072341
28-Nov-08
1,134.45
0.99609272
-0.00391493
1-Dec-08
1,109.40
0.97791882
-0.02232862
2-Dec-08
1,073.95
0.96804579
-0.03247589
3-Dec-08
1,069.10
0.99548396
-0.00452627
4-Dec-08
1,159.10
1.08418296
0.08082667
5-Dec-08
1,117.60
0.96419636
-0.03646031
8-Dec-08
1,118.55
1.00085004
0.00084967
10-Dec-08
1,227.20
1.09713468
0.09270195
11-Dec-08
1,259.00
1.02591265
0.0255826
12-Dec-08
1,307.10
1.03820492
0.03749319
15-Dec-08
1,340.55
1.025591
0.02526903
16-Dec-08
1,388.50
1.0357689
0.03514405
17-Dec-08
1,351.40
0.97328052
-0.02708294
18-Dec-08
1,361.00
1.00710374
0.00707863
19-Dec-08
1,351.30
0.99287289
-0.00715263
22-Dec-08
1,285.55
0.95134315
-0.04988045
23-Dec-08
1,259.75
0.97993077
-0.02027335
24-Dec-08
1,242.00
0.9859099
-0.01419031
26-Dec-08
1,210.15
0.97435588
-0.02597866
MPBirlaInstituteofManagement
Page80
1,246.30
1.02987233
0.02943484
30-Dec-08
1,250.50
1.00336998
0.00336431
31-Dec-08
1,232.75
0.98580568
-0.01429603
1-Jan-09
1,254.65
1.01776516
0.0176092
2-Jan-09
1,286.40
1.02530586
0.02499097
5-Jan-09
1,365.85
1.0617615
0.05992933
6-Jan-09
1,370.90
1.00369733
0.00369051
7-Jan-09
1,200.75
0.87588446
-0.1325211
9-Jan-09
1,153.25
0.96044139
-0.04036232
12-Jan-09
1,097.90
0.9520052
-0.04918478
13-Jan-09
1,077.55
0.98146461
-0.01870932
14-Jan-09
1,179.75
1.09484479
0.09061261
15-Jan-09
1,142.35
0.96829837
-0.03221501
16-Jan-09
1,217.35
1.06565413
0.06358882
19-Jan-09
1,229.90
1.01030928
0.0102565
20-Jan-09
1,183.65
0.96239532
-0.03832998
21-Jan-09
1,119.85
0.94609893
-0.05540814
22-Jan-09
1,136.30
1.01468947
0.01458262
23-Jan-09
1,156.15
1.01746898
0.01731815
27-Jan-09
1,225.95
1.06037279
0.05862053
28-Jan-09
1,274.00
1.03919409
0.0384455
29-Jan-09
1,270.10
0.99693878
-0.00306592
30-Jan-09
1,323.60
1.04212267
0.04125966
2-Feb-09
1,280.00
0.96705953
-0.03349522
3-Feb-09
1,306.20
1.02046875
0.02026208
4-Feb-09
1,307.50
1.00099525
0.00099476
5-Feb-09
1,288.80
0.9856979
-0.01440536
MPBirlaInstituteofManagement
Page81
1,344.85
1.04349007
0.04257093
9-Feb-09
1,389.70
1.03334944
0.03280541
10-Feb-09
1,401.95
1.00881485
0.00877623
11-Feb-09
1,381.25
0.98523485
-0.01487524
12-Feb-09
1,351.55
0.97849774
-0.0217368
13-Feb-09
1,392.40
1.03022456
0.02977679
16-Feb-09
1,320.20
0.94814708
-0.05324564
17-Feb-09
1,267.30
0.95993031
-0.04089459
18-Feb-09
1,295.15
1.02197585
0.02173787
19-Feb-09
1,293.75
0.99891904
-0.00108154
20-Feb-09
1,253.40
0.96881159
-0.03168512
24-Feb-09
1,253.25
0.99988033
-0.00011968
25-Feb-09
1,266.55
1.01061241
0.01055649
26-Feb-09
1,290.80
1.0191465
0.01896551
27-Feb-09
1,266.05
0.98082584
-0.01936036
2-Mar-09
1,225.65
0.96808973
-0.0324305
3-Mar-09
1,196.85
0.97650226
-0.02377821
4-Mar-09
1,211.10
1.01190625
0.01183593
5-Mar-09
1,149.80
0.94938486
-0.05194102
6-Mar-09
1,169.90
1.0174813
0.01733026
9-Mar-09
1,153.35
0.98585349
-0.01424752
12-Mar-09
1,202.00
1.04218147
0.04131608
13-Mar-09
1,284.25
1.06842762
0.06618805
16-Mar-09
1,327.60
1.03375511
0.03319791
17-Mar-09
1,300.20
0.97936125
-0.0208547
18-Mar-09
1,331.40
1.02399631
0.02371292
19-Mar-09
1,345.70
1.01074057
0.0106833
MPBirlaInstituteofManagement
Page82
1,339.20
0.9951698
-0.0048419
23-Mar-09
1,438.45
1.07411141
0.07149372
24-Mar-09
1,452.45
1.0097327
0.00968564
25-Mar-09
1,532.20
1.05490723
0.05345283
26-Mar-09
1,565.50
1.02173346
0.02150065
27-Mar-09
1,548.75
0.98930054
-0.01075711
30-Mar-09
1,516.45
0.97914447
-0.02107608
31-Mar-09
1,524.75
1.00547331
0.00545839
Source : www.nseindia.com
= 0.038926896
= 3.892689561
= 252
= 15.87450787
= 0.617945311
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.028030569
Likewise, the analytic approach is done for all equity, bonds and currencies.
Here are the results of all the equities, bonds and currencies.
MPBirlaInstituteofManagement
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DLF (Equity)
Standard deviation of daily return
= 0.055192424
= 5.5192424
= 252
= 15.87450787
= 0.876152564
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.039743087
= 0.032893102
= 3.2893102
= 252
= 15.87450787
= 0.522161808
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.023685741
MPBirlaInstituteofManagement
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= 0.029106498
= 2.9106498
= 252
= 15.87450787
= 0.462051337
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.020959074
= 0.010129182
= 1.0129182
= 252
= 15.87450787
= 0.160795783
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.012405664
MPBirlaInstituteofManagement
Page85
= 0.011765793
= 1.1765793
= 252
= 15.87450787
= 0.1867766179
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.014410095
= 0.004975903
= 0.497590312
= 252
= 15.87450787
= 0.078990013
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.006094212
MPBirlaInstituteofManagement
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DOLLAR (Currency)
Standard deviation of daily return
= 0.003128319
= 0. 3128319
= 252
= 15.87450787
= 0.049660518
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.003831392
EURO (Currency)
Standard deviation of daily return
= 0.004520986
= 0. 4520986
= 252
= 15.87450787
= 0.07176843
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.005537055
MPBirlaInstituteofManagement
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POUND (Currency)
Standard deviation of daily return
= 0.00378929
= 0.378929011
= 252
= 15.87450787
= 0.060153116
=S/ Sqrt(2n)
SQRT (2n)
=22.04540769
= 0.004640194
Working Notes:
(1) Price relative =
Equity price of current period/Equity price of previous period
(2) Daily return = Natural logarithm of Price relative
(3) Standard deviation of daily return = ( Daily return)
(4) Standard deviation in % = Standard deviation * 100
(5) Volatility of stock per annum = Standard deviation of daily return
* 252
(6) Standard error of estimate = Volatility of stock per annum / 2n
where, n = number of trading days = 252
MPBirlaInstituteofManagement
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Page89
certain that a normally distributed variable will not decrease in value by more
than 2.33 standard deviations. Therefore the one-day 99% VaR for our portfolio
consisting of a Rs.1,25,000 position of Reliance Industries Limited is,
= 2.33 * 5,000 = Rs. 11,650
As discussed earlier, the N-day VaR is calculated as N times the one-day
VaR. The 10-day 99% VaR for Cairn India Limited is therefore,
= 11,650 * 10 = Rs. 36,841
Consider next a portfolio consisting of a Rs. 1,25,000 position in Infosys
Technologies Ltd, and suppose the daily volatility of Infosys is 3%
(approximately 48% per year). A similar calculation to that for Reliance
Industries Limited shows that the standard deviation of the change in the value
of the portfolio in one day is,
= 1,25,000 * 0.03 = Rs. 3,750
Assuming the change is normally distributed, the one-day 99% VaR is,
= 3,750 * 2.33 = Rs. 8,738
and the 10-day VaR is,
= 8,738 * 10 = Rs. 27,632
MPBirlaInstituteofManagement
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MPBirlaInstituteofManagement
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MPBirlaInstituteofManagement
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Here, I have taken Reliance equity prices for Monte Carlo simulation
Approach, where I got the result that equity above Rs 1700 is in better position,
its always in winning position.
RN
Random
Below
Above
1700
1700
Index
probability
probability
Internal
Number
1100
0.1
0.1
0-999
8417
1300
0.16
0.26
1000-2599
1471
1500
0.2
0.46
2600-4599
5660
2000
0.05
0.51
4600-5099
6066
2300
0.15
0.66
5100-6599
1545
1+1+1+
2600
0.34
6600-10000
5693
1+
Total
1+1+
Above is the table where its shows the relevance of this interpretation.
The anticipated index is 1700.
MPBirlaInstituteofManagement
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Deviation(3%)
1 day 99%
10 day 99%
Reliance
15000
34950
110521.6042
Bonds
Deviation(4%)
1 day 99%
10 day 99%
20000
46600
147362.139
Currency
Deviation(5%)
1 day 99%
10 day 99%
Dollar
25000
58250
184202.6737
DLF
Bharti Airtel
Infosys
Investment Rs 500000 for Equities
Euro
Pound
Investment Rs 500000 for Currency
The Table 7, shows the VaR for 1 day and 10 days separately for equities,
bonds and currencies because here we have invested Rs 5,00,000 individually in
equity, bonds and currencies, assuming deviation to be 3%, 4% and 5%
MPBirlaInstituteofManagement
Page94
respectively for equities, bonds and currencies. The daily loss for equities,
bonds and currencies can be seen in the table separately.
Table 8
Constructing Portfolio
Coefficient Correlation
of Equity & Bonds
Coefficient
Correlation
of Equity &
Currency
Coefficient
Correlation of
Bonds & Currency
0.3
0.35
0.32
Investment Rs 1500000
Coefficient Correlation
(500000*0.03)15000
15000^2=225000000
2*correl (equity
&bond)*15000
180000000
(500000*0.04)20000
20000^2=400000000
2*correl (equity
¤cy)*20000
262500000
2*correl (bond
(500000*0.05)25000
25000^2=625000000
¤cy)*20000
320000000
The standard deviation of the change in the portfolio value per day is
44860.89611
one day 99%
10 day 99%
104525.8879
330539.88
The Table 8, shows the VaR for 1 day and 10 days for portfolio, which consists
of
assuming coeffient correlation to be 0.3, 0.35 and 0.32 respectively for equities,
bonds and currencies. The daily loss for equities, bonds and currencies can be
seen in the table separately.
MPBirlaInstituteofManagement
Page95
MPBirlaInstituteofManagement
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CHAPTER 5
FINDINGS,
CONCLUSION
&
Recommendations
MPBirlaInstituteofManagement
Page97
5.1 Findings
Each of the three approaches for estimating Value at Risk has advantages
and comes with baggage.
In short, the question of which VaR approach is best answered by looking
at the task at hand. If you are assessing the Value at Risk for portfolios,
that do not include options, over very short time periods (a day or a
week), the variance-covariance approach does a reasonably good job.
If the Value at Risk is being computed for a risk source that is stable and
where there is substantial historical data (commodity prices, for instance),
historical simulations provide good estimates.
In the most general case of computing VaR for nonlinear portfolios
(which include options) over longer time periods, where the historical
data is volatile and non-stationary and the normality assumption is
questionable, Monte - Carlo simulations do best.
If Equity, Bonds and currency were taken together then probability of
loss is reduced than all are taken individually. Thus, portfolio leads to
some of the risk being diversified away.
MPBirlaInstituteofManagement
Page98
5.2 CONCLUSION
Value at Risk has developed as a risk assessment tool at banks and other
financial service firms in the last decade. Its usage in these firms has been
driven by the failure of the risk tracking systems used until the early 1990s to
detect dangerous risk taking on the part of traders and it offered a key benefit: a
measure of capital at risk under extreme conditions in trading portfolios that
could be updated on a regular basis. While the notion of Value at Risk is
simple- the maximum amount that you can lose on an investment over a
particular period with a specified probability there are three ways in which
Value at Risk can be measured. In the first approach, we run a portfolio through
historical data a historical simulation and estimate the probability that the
losses exceed specified values. In the second, we assume that the returns
generated by exposure to multiple market risks are normally distributed. We use
a variance-covariance matrix of all standardized instruments representing
various market risks to estimate the standard deviation in portfolio returns and
compute the Value at Risk from this standard deviation. In the third approach,
we assume return distributions for each of the individual market risks and run
Monte Carlo simulations to arrive at the Value at Risk. Each measure comes
with its own pluses and minuses: the Variance-covariance approach is simple to
implement but the normality assumption can be tough to sustain, historical
simulations assume that the past time periods used are representative of the
future and Monte Carlo simulations are time and computation intensive. All
three yield Value at Risk measures that are estimates and subject to judgment.
We understand why Value at Risk is a popular risk assessment tool in
financial service firms, where assets are primarily marketable securities; there is
limited capital at play and a regulatory overlay that emphasizes short term
exposure to extreme risks. We are hard pressed to see why Value at
MPBirlaInstituteofManagement
Page99
Risk is of particular use to non-financial service firms, unless they are highly
levered and risk default if cash flows or value fall below a prespecified level.
Even in those cases, it would seem to us to be more prudent to use all of the
information in the probability distribution rather than a small slice of it.
MPBirlaInstituteofManagement
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5.3 Recommendations
MPBirlaInstituteofManagement
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Selected Bibliography
Books & Journal
Pramod M Mantravadi, Value at Risk Concepts and Applications, First
Edition: 2005
Websites
www.nse-india.com
www.jstor.com
www.icfai.org
MPBirlaInstituteofManagement
Page102
Annexure
MPBirlaInstituteofManagement
Page103
Date
Equity
price of
Airtel
Date
Equity
price of
Infosys
626.95
1-Apr-08
803.1
1-Apr-08
1,423.05
2-Apr-08
619.55
2-Apr-08
823.1
2-Apr-08
1,482.80
2,396.05
3-Apr-08
623.7
3-Apr-08
819.7
3-Apr-08
1,522.50
4-Apr-08
2,321.15
4-Apr-08
606
4-Apr-08
783.9
4-Apr-08
1,485.45
7-Apr-08
2,404.90
7-Apr-08
617.65
7-Apr-08
818.8
7-Apr-08
1,492.05
8-Apr-08
2,381.75
8-Apr-08
616.25
8-Apr-08
828.45
8-Apr-08
1,466.95
9-Apr-08
2,418.25
9-Apr-08
610.25
9-Apr-08
821.9
9-Apr-08
1,479.95
10-Apr-08
2,468.65
10-Apr-08
600.6
10-Apr-08
798.65
10-Apr-08
1,452.60
11-Apr-08
2,551.55
11-Apr-08
598.05
11-Apr-08
805.1
11-Apr-08
1,421.90
15-Apr-08
2,611.80
15-Apr-08
616.65
15-Apr-08
816.7
15-Apr-08
1,510.40
16-Apr-08
2,642.50
16-Apr-08
624.45
16-Apr-08
807.55
16-Apr-08
1,600.20
17-Apr-08
2,640.05
17-Apr-08
649.85
17-Apr-08
823.4
17-Apr-08
1,659.10
21-Apr-08
2,643.60
21-Apr-08
653.75
21-Apr-08
855.9
21-Apr-08
1,645.80
22-Apr-08
2,607.35
22-Apr-08
676.25
22-Apr-08
856
22-Apr-08
1,598.60
23-Apr-08
2,577.60
23-Apr-08
684.45
23-Apr-08
845.05
23-Apr-08
1,647.95
24-Apr-08
2,582.65
24-Apr-08
676
24-Apr-08
843
24-Apr-08
1,696.05
25-Apr-08
2,624.50
25-Apr-08
667.85
25-Apr-08
922.4
25-Apr-08
1,684.30
28-Apr-08
2,591.40
28-Apr-08
668.5
28-Apr-08
928.05
28-Apr-08
1,663.65
29-Apr-08
2,659.95
29-Apr-08
725.55
29-Apr-08
901.2
29-Apr-08
1,749.55
30-Apr-08
2,614.50
30-Apr-08
705.15
30-Apr-08
898.25
30-Apr-08
1,753.10
2-May-08
2,674.75
2-May-08
721.35
2-May-08
900.25
2-May-08
1,787.45
5-May-08
2,669.20
5-May-08
705.15
5-May-08
893.95
5-May-08
1,785.95
6-May-08
2,650.00
6-May-08
668.2
6-May-08
846.35
6-May-08
1,807.45
7-May-08
2,688.95
7-May-08
650.75
7-May-08
816.15
7-May-08
1,844.15
8-May-08
2,667.25
8-May-08
644.15
8-May-08
829.2
8-May-08
1,784.65
9-May-08
2,528.40
9-May-08
630.65
9-May-08
841.8
9-May-08
1,749.35
12-May-08
2,553.85
12-May-08
621.9
12-May-08
837.95
12-May-08
1,773.40
Date
Equity
price of
DLF
2,345.25
1-Apr-08
2-Apr-08
2,343.55
3-Apr-08
Date
Equity
price of
Reliance
1-Apr-08
MPBirlaInstituteofManagement
Page104
2,501.10
13-May-08
615.1
13-May-08
820.05
13-May-08
1,748.75
14-May-08
2,530.75
14-May-08
623.35
14-May-08
848.85
14-May-08
1,824.90
15-May-08
2,622.95
15-May-08
644.9
15-May-08
856.2
15-May-08
1,893.10
16-May-08
2,635.70
16-May-08
649.75
16-May-08
852.45
16-May-08
1,871.40
20-May-08
2,602.95
20-May-08
636.75
20-May-08
829.6
20-May-08
1,887.70
21-May-08
2,667.70
21-May-08
631.55
21-May-08
822.45
21-May-08
1,870.65
22-May-08
2,626.05
22-May-08
620.75
22-May-08
817.7
22-May-08
1,863.65
23-May-08
2,556.20
23-May-08
609
23-May-08
837.65
23-May-08
1,828.75
26-May-08
2,515.60
26-May-08
600.8
26-May-08
863.45
26-May-08
1,885.05
27-May-08
2,495.10
27-May-08
596.6
27-May-08
862.75
27-May-08
1,883.10
28-May-08
2,522.50
28-May-08
601.7
28-May-08
884.25
28-May-08
1,911.60
29-May-08
2,462.70
29-May-08
587.85
29-May-08
858.45
29-May-08
1,885.45
30-May-08
2,403.50
30-May-08
586.85
30-May-08
875.95
30-May-08
1,962.80
2-Jun-08
2,358.80
2-Jun-08
567.7
2-Jun-08
877.45
2-Jun-08
1,950.80
3-Jun-08
2,406.65
3-Jun-08
582.65
3-Jun-08
841.4
3-Jun-08
1,922.25
4-Jun-08
2,307.00
4-Jun-08
554.1
4-Jun-08
810.35
4-Jun-08
1,870.70
5-Jun-08
2,246.80
5-Jun-08
538.95
5-Jun-08
822.55
5-Jun-08
1,979.55
6-Jun-08
2,238.50
6-Jun-08
518.4
6-Jun-08
802
6-Jun-08
1,993.55
9-Jun-08
2,162.70
9-Jun-08
480.9
9-Jun-08
781.3
9-Jun-08
1,901.50
10-Jun-08
2,197.75
10-Jun-08
480
10-Jun-08
776.3
10-Jun-08
1,854.05
11-Jun-08
2,261.40
11-Jun-08
512.15
11-Jun-08
806.9
11-Jun-08
1,892.85
12-Jun-08
2,277.30
12-Jun-08
497.45
12-Jun-08
820.05
12-Jun-08
1,874.90
13-Jun-08
2,270.40
13-Jun-08
480.25
13-Jun-08
816.4
13-Jun-08
1,866.65
16-Jun-08
2,282.35
16-Jun-08
492.3
16-Jun-08
840.35
16-Jun-08
1,907.80
17-Jun-08
2,332.90
17-Jun-08
507.65
17-Jun-08
832.55
17-Jun-08
1,911.55
18-Jun-08
2,287.10
18-Jun-08
492.6
18-Jun-08
812.05
18-Jun-08
1,862.45
19-Jun-08
2,248.15
19-Jun-08
477.2
19-Jun-08
805.35
19-Jun-08
1,862.40
20-Jun-08
2,099.20
20-Jun-08
456.8
20-Jun-08
765.7
20-Jun-08
1,827.00
23-Jun-08
2,025.70
23-Jun-08
445.8
23-Jun-08
758.75
23-Jun-08
1,845.80
MPBirlaInstituteofManagement
Page105
2,062.70
24-Jun-08
439.95
24-Jun-08
750.7
24-Jun-08
1,794.45
25-Jun-08
2,136.00
25-Jun-08
458.85
25-Jun-08
779.9
25-Jun-08
1,746.75
26-Jun-08
2,239.55
26-Jun-08
451.8
26-Jun-08
769.45
26-Jun-08
1,785.10
27-Jun-08
2,182.65
27-Jun-08
425.1
27-Jun-08
747.95
27-Jun-08
1,705.45
30-Jun-08
2,095.15
30-Jun-08
396.4
30-Jun-08
721.25
30-Jun-08
1,736.80
1-Jul-08
2,044.15
1-Jul-08
369.1
1-Jul-08
706.9
1-Jul-08
1,717.00
2-Jul-08
2,144.00
2-Jul-08
423.45
2-Jul-08
742.3
2-Jul-08
1,820.60
3-Jul-08
2,070.10
3-Jul-08
382.85
3-Jul-08
707.75
3-Jul-08
1,743.05
4-Jul-08
2,097.90
4-Jul-08
415.45
4-Jul-08
717.15
4-Jul-08
1,755.80
7-Jul-08
2,028.20
7-Jul-08
425.75
7-Jul-08
727.65
7-Jul-08
1,799.80
8-Jul-08
1,979.45
8-Jul-08
429.6
8-Jul-08
711.05
8-Jul-08
1,736.60
9-Jul-08
2,079.15
9-Jul-08
450.3
9-Jul-08
746.4
9-Jul-08
1,821.90
10-Jul-08
2,046.65
10-Jul-08
459.95
10-Jul-08
741.75
10-Jul-08
1,805.25
11-Jul-08
2,016.10
11-Jul-08
452.7
11-Jul-08
744.9
11-Jul-08
1,676.85
14-Jul-08
2,043.45
14-Jul-08
457
14-Jul-08
735.85
14-Jul-08
1,555.55
15-Jul-08
1,977.40
15-Jul-08
427.35
15-Jul-08
710.05
15-Jul-08
1,544.65
16-Jul-08
1,943.50
16-Jul-08
393.4
16-Jul-08
730.95
16-Jul-08
1,547.60
17-Jul-08
2,018.55
17-Jul-08
430.15
16-Jul-08
710
17-Jul-08
1,582.30
18-Jul-08
2,113.20
18-Jul-08
460.95
17-Jul-08
749.45
18-Jul-08
1,547.40
21-Jul-08
2,152.85
21-Jul-08
463.95
18-Jul-08
803.1
21-Jul-08
1,561.30
22-Jul-08
2,152.15
22-Jul-08
453.95
21-Jul-08
798.55
22-Jul-08
1,578.30
23-Jul-08
2,267.30
23-Jul-08
495.5
22-Jul-08
778.2
23-Jul-08
1,602.25
24-Jul-08
2,308.05
24-Jul-08
507.75
23-Jul-08
816.2
24-Jul-08
1,567.30
25-Jul-08
2,147.10
25-Jul-08
489.5
24-Jul-08
799.65
25-Jul-08
1,550.65
28-Jul-08
2,179.90
28-Jul-08
499.45
25-Jul-08
796.85
28-Jul-08
1,539.45
29-Jul-08
2,083.10
29-Jul-08
472
28-Jul-08
795.15
29-Jul-08
1,540.70
30-Jul-08
2,165.50
30-Jul-08
489.65
29-Jul-08
777.9
30-Jul-08
1,602.05
31-Jul-08
2,207.50
31-Jul-08
511.5
30-Jul-08
809.9
31-Jul-08
1,583.45
1-Aug-08
2,297.60
1-Aug-08
520.15
31-Jul-08
798.7
1-Aug-08
1,639.45
MPBirlaInstituteofManagement
Page106
2,242.40
4-Aug-08
514.7
1-Aug-08
820.15
4-Aug-08
1,658.85
5-Aug-08
2,276.05
5-Aug-08
552.1
4-Aug-08
816
5-Aug-08
1,678.55
6-Aug-08
2,298.60
6-Aug-08
545.1
5-Aug-08
840.1
6-Aug-08
1,699.35
7-Aug-08
2,272.60
7-Aug-08
557
6-Aug-08
869.4
7-Aug-08
1,726.15
8-Aug-08
2,251.80
8-Aug-08
549.75
7-Aug-08
849.35
8-Aug-08
1,679.60
11-Aug-08
2,325.25
11-Aug-08
568.75
8-Aug-08
840.85
11-Aug-08
1,670.40
12-Aug-08
2,347.25
12-Aug-08
567.1
11-Aug-08
845.55
12-Aug-08
1,603.90
13-Aug-08
2,336.85
13-Aug-08
548.25
12-Aug-08
823.25
13-Aug-08
1,625.95
14-Aug-08
2,276.70
14-Aug-08
500
13-Aug-08
820.85
14-Aug-08
1,693.50
18-Aug-08
2,224.80
18-Aug-08
500.15
14-Aug-08
818.6
18-Aug-08
1,704.35
19-Aug-08
2,219.60
19-Aug-08
500.85
18-Aug-08
809.1
19-Aug-08
1,692.75
20-Aug-08
2,246.35
20-Aug-08
510.5
19-Aug-08
791.9
20-Aug-08
1,699.30
21-Aug-08
2,212.65
21-Aug-08
481.75
20-Aug-08
816
21-Aug-08
1,661.45
22-Aug-08
2,244.80
22-Aug-08
484.9
21-Aug-08
799.25
22-Aug-08
1,696.50
25-Aug-08
2,232.00
25-Aug-08
495.2
22-Aug-08
809.7
25-Aug-08
1,706.45
26-Aug-08
2,179.35
26-Aug-08
498.05
25-Aug-08
816.5
26-Aug-08
1,698.00
27-Aug-08
2,148.00
27-Aug-08
478.85
26-Aug-08
808.8
27-Aug-08
1,708.20
28-Aug-08
2,070.85
28-Aug-08
469.5
27-Aug-08
804.85
28-Aug-08
1,699.40
29-Aug-08
2,136.20
29-Aug-08
493.1
28-Aug-08
804.5
29-Aug-08
1,749.10
1-Sep-08
2,141.65
1-Sep-08
494.05
29-Aug-08
837.5
1-Sep-08
1,723.30
2-Sep-08
2,212.75
2-Sep-08
530.2
1-Sep-08
816.2
2-Sep-08
1,775.25
4-Sep-08
2,152.25
4-Sep-08
523.05
2-Sep-08
834.65
4-Sep-08
1,789.00
5-Sep-08
2,080.90
5-Sep-08
494.15
4-Sep-08
825.8
5-Sep-08
1,712.30
8-Sep-08
2,133.20
8-Sep-08
512.35
5-Sep-08
803.4
8-Sep-08
1,750.05
9-Sep-08
2,142.55
9-Sep-08
502.6
8-Sep-08
819.8
9-Sep-08
1,749.45
10-Sep-08
2,082.65
10-Sep-08
501.75
9-Sep-08
836.9
10-Sep-08
1,759.75
11-Sep-08
1,997.40
11-Sep-08
484.95
10-Sep-08
812
11-Sep-08
1,750.65
12-Sep-08
1,932.65
12-Sep-08
466.45
11-Sep-08
776.95
12-Sep-08
1,644.00
15-Sep-08
1,886.95
15-Sep-08
433.15
12-Sep-08
778.85
15-Sep-08
1,578.15
MPBirlaInstituteofManagement
Page107
1,928.05
16-Sep-08
422.9
15-Sep-08
766.15
16-Sep-08
1,566.40
17-Sep-08
1,876.65
17-Sep-08
409.2
16-Sep-08
774.1
17-Sep-08
1,579.00
18-Sep-08
1,938.25
18-Sep-08
395.9
17-Sep-08
770.15
18-Sep-08
1,525.40
19-Sep-08
2,055.10
19-Sep-08
426.5
18-Sep-08
761.25
19-Sep-08
1,624.95
22-Sep-08
2,039.10
22-Sep-08
421.25
19-Sep-08
805.85
22-Sep-08
1,629.90
23-Sep-08
2,006.45
23-Sep-08
394.7
22-Sep-08
808.8
23-Sep-08
1,543.95
24-Sep-08
2,046.10
24-Sep-08
400.35
23-Sep-08
792.65
24-Sep-08
1,524.30
25-Sep-08
2,025.70
25-Sep-08
389.25
24-Sep-08
810.55
25-Sep-08
1,506.85
26-Sep-08
1,963.20
26-Sep-08
369.65
25-Sep-08
790.9
26-Sep-08
1,446.90
29-Sep-08
1,932.85
29-Sep-08
350.35
26-Sep-08
776
29-Sep-08
1,393.30
30-Sep-08
1,949.35
30-Sep-08
352.65
29-Sep-08
750.25
30-Sep-08
1,398.05
1-Oct-08
1,906.70
1-Oct-08
345.3
30-Sep-08
784.85
1-Oct-08
1,449.30
3-Oct-08
1,761.45
3-Oct-08
336.35
1-Oct-08
790.7
3-Oct-08
1,391.90
6-Oct-08
1,641.60
6-Oct-08
301.45
3-Oct-08
756.3
6-Oct-08
1,318.65
7-Oct-08
1,674.65
7-Oct-08
303.15
6-Oct-08
727.75
7-Oct-08
1,301.80
8-Oct-08
1,648.55
8-Oct-08
308.85
7-Oct-08
748.25
8-Oct-08
1,254.25
10-Oct-08
1,527.60
10-Oct-08
281.9
8-Oct-08
733.35
10-Oct-08
1,225.20
13-Oct-08
1,571.40
13-Oct-08
302.3
10-Oct-08
692.3
13-Oct-08
1,318.55
14-Oct-08
1,621.05
14-Oct-08
311.15
13-Oct-08
739.85
14-Oct-08
1,397.95
15-Oct-08
1,520.20
15-Oct-08
300.8
14-Oct-08
766.6
15-Oct-08
1,335.40
16-Oct-08
1,391.95
16-Oct-08
324.95
15-Oct-08
714.85
16-Oct-08
1,263.00
17-Oct-08
1,306.05
17-Oct-08
291.9
16-Oct-08
730.65
17-Oct-08
1,202.75
20-Oct-08
1,320.90
20-Oct-08
272.65
17-Oct-08
677.15
20-Oct-08
1,294.55
21-Oct-08
1,394.95
21-Oct-08
286.35
20-Oct-08
708.1
21-Oct-08
1,347.60
22-Oct-08
1,316.80
22-Oct-08
271.9
21-Oct-08
724.35
22-Oct-08
1,299.55
23-Oct-08
1,217.65
23-Oct-08
268.05
22-Oct-08
666.25
23-Oct-08
1,283.25
24-Oct-08
1,019.50
24-Oct-08
204.6
23-Oct-08
615.05
24-Oct-08
1,246.10
27-Oct-08
1,077.00
27-Oct-08
198.1
24-Oct-08
537.1
27-Oct-08
1,251.80
28-Oct-08
1,153.00
28-Oct-08
217.85
27-Oct-08
564.6
28-Oct-08
1,279.35
MPBirlaInstituteofManagement
Page108
1,201.75
29-Oct-08
202.6
28-Oct-08
610.7
29-Oct-08
1,304.35
31-Oct-08
1,375.45
31-Oct-08
220
29-Oct-08
616.45
31-Oct-08
1,388.95
3-Nov-08
1,441.70
3-Nov-08
253.25
31-Oct-08
653.75
3-Nov-08
1,378.60
4-Nov-08
1,451.60
4-Nov-08
289.75
3-Nov-08
691.5
4-Nov-08
1,331.90
5-Nov-08
1,269.05
5-Nov-08
265.65
4-Nov-08
716.95
5-Nov-08
1,322.00
6-Nov-08
1,170.55
6-Nov-08
272.2
5-Nov-08
685.35
6-Nov-08
1,245.70
7-Nov-08
1,220.75
7-Nov-08
280.6
6-Nov-08
639.4
7-Nov-08
1,262.80
10-Nov-08
1,303.10
10-Nov-08
298.9
7-Nov-08
648.05
10-Nov-08
1,338.50
11-Nov-08
1,207.70
11-Nov-08
268.6
10-Nov-08
711.65
11-Nov-08
1,256.70
12-Nov-08
1,162.20
12-Nov-08
244.9
11-Nov-08
659.45
12-Nov-08
1,259.45
14-Nov-08
1,146.75
14-Nov-08
241.45
12-Nov-08
631.95
14-Nov-08
1,213.20
17-Nov-08
1,141.40
17-Nov-08
232.5
14-Nov-08
647.5
17-Nov-08
1,232.40
18-Nov-08
1,139.95
18-Nov-08
224.3
17-Nov-08
664.4
18-Nov-08
1,180.50
19-Nov-08
1,132.45
19-Nov-08
225.45
18-Nov-08
622.9
19-Nov-08
1,172.70
20-Nov-08
1,056.05
20-Nov-08
205.25
19-Nov-08
612.35
20-Nov-08
1,121.85
21-Nov-08
1,124.35
21-Nov-08
198.25
20-Nov-08
592
21-Nov-08
1,184.65
24-Nov-08
1,144.80
24-Nov-08
190.95
21-Nov-08
618.85
24-Nov-08
1,196.20
25-Nov-08
1,071.80
25-Nov-08
188.2
24-Nov-08
637.8
25-Nov-08
1,181.95
26-Nov-08
1,138.90
26-Nov-08
198.5
25-Nov-08
627.8
26-Nov-08
1,187.10
28-Nov-08
1,134.45
28-Nov-08
198.4
26-Nov-08
653
28-Nov-08
1,243.85
1-Dec-08
1,109.40
1-Dec-08
178.7
28-Nov-08
671.05
1-Dec-08
1,231.20
2-Dec-08
1,073.95
2-Dec-08
181.95
1-Dec-08
650.7
2-Dec-08
1,208.35
3-Dec-08
1,069.10
3-Dec-08
191.95
2-Dec-08
670.85
3-Dec-08
1,156.55
4-Dec-08
1,159.10
4-Dec-08
213.45
3-Dec-08
664
4-Dec-08
1,192.40
5-Dec-08
1,117.60
5-Dec-08
203.45
4-Dec-08
685.7
5-Dec-08
1,134.50
8-Dec-08
1,118.55
8-Dec-08
221.55
5-Dec-08
664.8
8-Dec-08
1,157.75
10-Dec-08
1,227.20
10-Dec-08
262.9
8-Dec-08
701.25
10-Dec-08
1,173.75
11-Dec-08
1,259.00
11-Dec-08
255.35
10-Dec-08
735.8
11-Dec-08
1,134.90
12-Dec-08
1,307.10
12-Dec-08
277.15
11-Dec-08
742.4
12-Dec-08
1,104.85
MPBirlaInstituteofManagement
Page109
1,340.55
15-Dec-08
280.85
12-Dec-08
723.5
15-Dec-08
1,102.30
16-Dec-08
1,388.50
16-Dec-08
276.2
15-Dec-08
737.4
16-Dec-08
1,124.80
17-Dec-08
1,351.40
17-Dec-08
253.5
16-Dec-08
744.8
17-Dec-08
1,141.55
18-Dec-08
1,361.00
18-Dec-08
277.4
17-Dec-08
709.25
18-Dec-08
1,177.05
19-Dec-08
1,351.30
19-Dec-08
307.9
18-Dec-08
710.15
19-Dec-08
1,191.30
22-Dec-08
1,285.55
22-Dec-08
316.55
19-Dec-08
721.7
22-Dec-08
1,186.80
23-Dec-08
1,259.75
23-Dec-08
301.8
22-Dec-08
722.1
23-Dec-08
1,176.05
24-Dec-08
1,242.00
24-Dec-08
294.9
23-Dec-08
710.85
24-Dec-08
1,174.00
26-Dec-08
1,210.15
26-Dec-08
275.45
24-Dec-08
689.4
26-Dec-08
1,109.25
29-Dec-08
1,246.30
29-Dec-08
276.35
26-Dec-08
686.4
29-Dec-08
1,113.75
30-Dec-08
1,250.50
30-Dec-08
285.3
29-Dec-08
712.05
30-Dec-08
1,127.90
31-Dec-08
1,232.75
31-Dec-08
282.15
30-Dec-08
722.6
31-Dec-08
1,115.45
1-Jan-09
1,254.65
1-Jan-09
291.75
31-Dec-08
715.5
1-Jan-09
1,148.15
2-Jan-09
1,286.40
2-Jan-09
300.55
1-Jan-09
719.95
2-Jan-09
1,132.10
5-Jan-09
1,365.85
5-Jan-09
295.95
2-Jan-09
704.9
5-Jan-09
1,172.80
6-Jan-09
1,370.90
6-Jan-09
278.5
5-Jan-09
685.65
6-Jan-09
1,168.55
7-Jan-09
1,200.75
7-Jan-09
233.85
6-Jan-09
657
7-Jan-09
1,187.55
9-Jan-09
1,153.25
9-Jan-09
216.35
7-Jan-09
650
9-Jan-09
1,203.40
12-Jan-09
1,097.90
12-Jan-09
204.75
9-Jan-09
638.9
12-Jan-09
1,159.70
13-Jan-09
1,077.55
13-Jan-09
205.45
12-Jan-09
623.85
13-Jan-09
1,228.15
14-Jan-09
1,179.75
14-Jan-09
212.4
13-Jan-09
607.05
14-Jan-09
1,303.60
15-Jan-09
1,142.35
15-Jan-09
202.2
14-Jan-09
622.75
15-Jan-09
1,251.70
16-Jan-09
1,217.35
16-Jan-09
195.55
15-Jan-09
603.65
16-Jan-09
1,267.40
19-Jan-09
1,229.90
19-Jan-09
195.15
15-Jan-09
600.5
19-Jan-09
1,262.05
20-Jan-09
1,183.65
20-Jan-09
188.7
16-Jan-09
634.75
20-Jan-09
1,251.75
21-Jan-09
1,119.85
21-Jan-09
181.35
19-Jan-09
646.85
21-Jan-09
1,223.85
22-Jan-09
1,136.30
22-Jan-09
164.15
20-Jan-09
616.35
22-Jan-09
1,230.90
23-Jan-09
1,156.15
23-Jan-09
161.3
21-Jan-09
583.05
23-Jan-09
1,204.65
27-Jan-09
1,225.95
27-Jan-09
166.5
22-Jan-09
619.2
27-Jan-09
1,252.10
MPBirlaInstituteofManagement
Page110
1,274.00
28-Jan-09
177.45
23-Jan-09
613.15
28-Jan-09
1,286.70
29-Jan-09
1,270.10
29-Jan-09
164.05
27-Jan-09
647.4
29-Jan-09
1,310.15
30-Jan-09
1,323.60
30-Jan-09
177.65
28-Jan-09
652.15
30-Jan-09
1,306.65
2-Feb-09
1,280.00
2-Feb-09
153
29-Jan-09
627.4
2-Feb-09
1,279.65
3-Feb-09
1,306.20
3-Feb-09
132.85
30-Jan-09
633.95
3-Feb-09
1,282.50
4-Feb-09
1,307.50
4-Feb-09
139.45
2-Feb-09
615.8
4-Feb-09
1,281.65
5-Feb-09
1,288.80
5-Feb-09
140
3-Feb-09
625
5-Feb-09
1,255.85
6-Feb-09
1,344.85
6-Feb-09
137.95
4-Feb-09
634.3
6-Feb-09
1,288.90
9-Feb-09
1,389.70
9-Feb-09
139.95
5-Feb-09
628.65
9-Feb-09
1,312.10
10-Feb-09
1,401.95
10-Feb-09
152.6
6-Feb-09
647.05
10-Feb-09
1,308.40
12-Feb-09
1,351.55
12-Feb-09
156.6
10-Feb-09
663.55
12-Feb-09
1,254.55
13-Feb-09
1,392.40
13-Feb-09
160.55
11-Feb-09
673.45
13-Feb-09
1,251.65
16-Feb-09
1,320.20
16-Feb-09
156.65
12-Feb-09
650.85
16-Feb-09
1,221.45
17-Feb-09
1,267.30
17-Feb-09
148.25
13-Feb-09
651.75
17-Feb-09
1,173.95
18-Feb-09
1,295.15
18-Feb-09
158.75
16-Feb-09
637.75
18-Feb-09
1,178.80
19-Feb-09
1,293.75
19-Feb-09
156
17-Feb-09
632.65
19-Feb-09
1,208.85
20-Feb-09
1,253.40
20-Feb-09
154.85
18-Feb-09
640.85
20-Feb-09
1,177.15
24-Feb-09
1,253.25
24-Feb-09
158.15
19-Feb-09
648.45
24-Feb-09
1,185.55
25-Feb-09
1,266.55
25-Feb-09
154.8
20-Feb-09
642.7
25-Feb-09
1,217.45
26-Feb-09
1,290.80
26-Feb-09
156.2
24-Feb-09
636.65
26-Feb-09
1,236.00
27-Feb-09
1,266.05
27-Feb-09
152
25-Feb-09
640.75
27-Feb-09
1,231.25
3-Mar-09
1,196.85
3-Mar-09
148.35
27-Feb-09
638.5
3-Mar-09
1,197.60
4-Mar-09
1,211.10
4-Mar-09
147.65
2-Mar-09
616.8
4-Mar-09
1,199.20
5-Mar-09
1,149.80
5-Mar-09
146.85
3-Mar-09
601.15
5-Mar-09
1,181.95
6-Mar-09
1,169.90
6-Mar-09
145.8
4-Mar-09
600.65
6-Mar-09
1,219.35
9-Mar-09
1,153.35
9-Mar-09
138.75
5-Mar-09
589.75
9-Mar-09
1,202.05
12-Mar-09
1,202.00
12-Mar-09
136.65
5-Mar-09
601
12-Mar-09
1,227.80
13-Mar-09
1,284.25
13-Mar-09
152.65
6-Mar-09
602.25
13-Mar-09
1,297.05
16-Mar-09
1,327.60
16-Mar-09
161.95
9-Mar-09
587.75
16-Mar-09
1,287.80
MPBirlaInstituteofManagement
Page111
1,300.20
17-Mar-09
159
12-Mar-09
548.45
17-Mar-09
1,265.50
18-Mar-09
1,331.40
18-Mar-09
172.3
13-Mar-09
557.65
18-Mar-09
1,278.05
19-Mar-09
1,345.70
19-Mar-09
174
16-Mar-09
571.3
19-Mar-09
1,297.20
20-Mar-09
1,339.20
20-Mar-09
171.5
17-Mar-09
571.55
20-Mar-09
1,296.20
23-Mar-09
1,438.45
23-Mar-09
166.65
18-Mar-09
569.75
23-Mar-09
1,331.30
24-Mar-09
1,452.45
24-Mar-09
166.3
19-Mar-09
570.7
24-Mar-09
1,320.75
25-Mar-09
1,532.20
25-Mar-09
176.65
20-Mar-09
569.4
25-Mar-09
1,338.95
26-Mar-09
1,565.50
26-Mar-09
176.35
23-Mar-09
593.2
26-Mar-09
1,379.15
27-Mar-09
1,548.75
27-Mar-09
182.8
24-Mar-09
603.7
27-Mar-09
1,344.90
30-Mar-09
1,516.45
30-Mar-09
165.5
25-Mar-09
591
30-Mar-09
1,301.30
31-Mar-09
1,524.75
31-Mar-09
167.3
26-Mar-09
621.85
31-Mar-09
1,323.90
27-Mar-09
621.85
30-Mar-09
609.65
31-Mar-09
625.75
Date
Weighted
Average Price
(Rs.) of PFCL
Date
Weighted
Average Price
(Rs.) of IRFC
Date
Weighted
Average Price
(Rs.) of HDFC
4-Dec-08
106.1302
16-Apr-08
97.9005
2-Apr-08
100.6671
5-Dec-08
105.7138
24-Apr-08
97.6224
3-Apr-08
100.6995
8-Dec-08
108.5793
25-Apr-08
97.6242
17-Apr-08
100.4636
10-Dec-08
109.8788
2-May-08
98.4558
28-Apr-08
100.4503
11-Dec-08
110.2972
8-May-08
98.2629
29-Apr-08
100.5818
12-Dec-08
113.5564
9-May-08
98.2994
30-Apr-08
100.6651
15-Dec-08
113.2589
12-May-08
98.1833
2-May-08
100.7385
16-Dec-08
113.3345
3-Jun-08
97.4791
5-May-08
100.7956
17-Dec-08
115.3004
4-Jun-08
97.3769
7-May-08
100.8008
MPBirlaInstituteofManagement
Page112
116.324
5-Jun-08
97.3386
13-May-08
100.762
19-Dec-08
116.6233
6-Jun-08
97.3092
27-May-08
100.534
22-Dec-08
115.6992
20-Jun-08
95.4794
5-Jun-08
100.3139
23-Dec-08
115.1241
23-Jun-08
95.4856
9-Jun-08
100.2774
24-Dec-08
115.5771
25-Jun-08
94.5031
10-Jun-08
100.1821
26-Dec-08
115.5641
2-Jul-08
93.7075
13-Jun-08
99.9128
29-Dec-08
115.7616
3-Jul-08
93.8755
16-Jun-08
99.9195
30-Dec-08
116.4699
24-Jul-08
94.0921
18-Jun-08
99.9881
31-Dec-08
116.9221
25-Jul-08
94.2608
19-Jun-08
99.9102
1-Jan-09
116.8284
31-Jul-08
93.9185
20-Jun-08
99.9102
2-Jan-09
116.7426
8-Sep-08
96.4773
24-Jun-08
99.546
5-Jan-09
119.531
9-Sep-08
96.4595
9-Jul-08
98.71
6-Jan-09
119.15
10-Sep-08
96.4816
16-Jul-08
98.3655
7-Jan-09
115.3182
31-Oct-08
91.8076
18-Jul-08
98.36
9-Jan-09
114.1236
28-Nov-08
93.5805
28-Jul-08
98.4496
12-Jan-09
115.6353
5-Dec-08
96.7837
4-Aug-08
98.2534
13-Jan-09
116.2045
8-Dec-08
97.7193
6-Aug-08
98.2577
14-Jan-09
115.7981
10-Dec-08
97.8765
1-Sep-08
98.076
15-Jan-09
116.3177
11-Dec-08
99.7823
3-Oct-08
96.7154
16-Jan-09
116.4797
16-Dec-08
99.9854
7-Oct-08
96.7266
19-Jan-09
115.7576
18-Dec-08
100.6647
14-Nov-08
97.2949
20-Jan-09
115.6321
23-Dec-08
101.0713
3-Dec-08
98.0464
21-Jan-09
114.6265
24-Dec-08
101.0057
4-Dec-08
98.0464
22-Jan-09
114.1985
29-Dec-08
101.132
18-Dec-08
100.0802
23-Jan-09
114.8757
30-Dec-08
101.2493
19-Dec-08
100.2504
27-Jan-09
114.4195
1-Jan-09
101.4469
13-Jan-09
101.4442
28-Jan-09
113.9598
13-Jan-09
100.8325
14-Jan-09
101.5511
29-Jan-09
113.5184
28-Jan-09
100.4136
15-Jan-09
101.7126
30-Jan-09
113.198
30-Jan-09
100.4433
13-Feb-09
101.3687
MPBirlaInstituteofManagement
Page113
113.1854
10-Feb-09
99.8498
27-Feb-09
101.9291
4-Feb-09
112.5258
27-Feb-09
101.3307
3-Mar-09
101.9135
5-Feb-09
112.6236
2-Mar-09
101.6278
6-Mar-09
101.7805
9-Feb-09
113.5627
4-Mar-09
101.689
18-Mar-09
101.7511
11-Feb-09
112.4814
5-Mar-09
101.8062
19-Mar-09
101.6574
12-Feb-09
112.82
20-Mar-09
101.2521
23-Mar-09
101.7252
13-Feb-09
112.9919
23-Mar-09
101.4268
31-Mar-09
102.1553
17-Feb-09
112.0221
2-Apr-09
102.0395
6-Apr-09
102.5982
18-Feb-09
111.9203
16-Apr-09
104.4128
24-Apr-09
103.5354
19-Feb-09
112.5648
17-Apr-09
105.049
27-Apr-09
103.458
24-Feb-09
112.3776
20-Apr-09
105.049
25-Feb-09
112.0372
24-Apr-09
104.9622
26-Feb-09
112.5568
28-Apr-09
105.0211
27-Feb-09
113.2551
2-Mar-09
113.5717
3-Mar-09
113.7237
6-Mar-09
112.0355
9-Mar-09
113.72
12-Mar-09
109.9913
13-Mar-09
110.0535
16-Mar-09
112.193
17-Mar-09
111.3056
18-Mar-09
110.9029
19-Mar-09
111.2793
20-Mar-09
111.905
23-Mar-09
112.2412
24-Mar-09
112.5665
25-Mar-09
112.3017
MPBirlaInstituteofManagement
Page114
112.2243
31-Mar-09
112.6018
2-Apr-09
113.9368
6-Apr-09
113.8556
8-Apr-09
115.0941
9-Apr-09
115.0598
13-Apr-09
116.0479
15-Apr-09
116.0628
16-Apr-09
116.6922
17-Apr-09
117.1333
20-Apr-09
117.3871
21-Apr-09
117.9761
22-Apr-09
119.931
23-Apr-09
118.7522
24-Apr-09
118.6424
27-Apr-09
118.4951
28-Apr-09
118.1423
29-Apr-09
118.1216
Date
Exchange
Rate of Dollar
4/1/2008
Date
Exchange
Rate of Euro
Date
Exchange
Rate of Pound
40.0611
4/1/2008
63.3022
4/1/2008
79.7261
4/2/2008
40.15
4/2/2008
63.0198
4/2/2008
79.5199
4/3/2008
39.9926
4/3/2008
62.4644
4/3/2008
79.2149
4/4/2008
40.0158
4/4/2008
62.5687
4/4/2008
79.5382
4/5/2008
39.9698
4/5/2008
62.8169
4/5/2008
79.7895
4/6/2008
39.9698
4/6/2008
62.9216
4/6/2008
79.6925
4/7/2008
39.955
4/7/2008
62.8988
4/7/2008
79.6639
MPBirlaInstituteofManagement
Page115
39.97
4/8/2008
62.7809
4/8/2008
79.4684
4/9/2008
40.0184
4/9/2008
62.9569
4/9/2008
79.2168
4/10/2008
40.0151
4/10/2008
62.9801
4/10/2008
78.8361
4/11/2008
39.9629
4/11/2008
63.2393
4/11/2008
78.9987
4/12/2008
39.9509
4/12/2008
63.0972
4/12/2008
78.8211
4/13/2008
39.9509
4/13/2008
63.1735
4/13/2008
78.6909
4/14/2008
39.9509
4/14/2008
63.1448
4/14/2008
78.6861
4/15/2008
39.96
4/15/2008
63.0209
4/15/2008
78.9102
4/16/2008
39.9704
4/16/2008
63.236
4/16/2008
78.7334
4/17/2008
39.9674
4/17/2008
63.425
4/17/2008
78.6922
4/18/2008
39.9306
4/18/2008
63.6027
4/18/2008
78.9796
4/19/2008
39.925
4/19/2008
63.2923
4/19/2008
79.5749
4/20/2008
39.925
4/20/2008
63.1685
4/20/2008
79.7881
4/21/2008
39.925
4/21/2008
63.1693
4/21/2008
79.7901
4/22/2008
39.93
4/22/2008
63.3226
4/22/2008
79.513
4/23/2008
39.9558
4/23/2008
63.6532
4/23/2008
79.3474
4/24/2008
40.0198
4/24/2008
63.8384
4/24/2008
79.6222
4/25/2008
40.185
4/25/2008
63.4389
4/25/2008
79.4144
4/26/2008
40.1626
4/26/2008
62.8379
4/26/2008
79.4472
4/27/2008
40.145
4/27/2008
62.7643
4/27/2008
79.7396
4/28/2008
40.145
4/28/2008
62.7527
4/28/2008
79.7404
4/29/2008
40.1699
4/29/2008
62.8193
4/29/2008
79.8036
4/30/2008
40.3823
4/30/2008
63.0308
4/30/2008
80.0374
5/1/2008
40.4968
5/1/2008
63.0547
5/1/2008
79.8535
5/2/2008
40.51
5/2/2008
63.017
5/2/2008
80.3475
5/3/2008
40.665
5/3/2008
62.8331
5/3/2008
80.4342
5/4/2008
40.665
5/4/2008
62.7424
5/4/2008
80.2024
5/5/2008
40.665
5/5/2008
62.742
5/5/2008
80.2011
5/6/2008
40.5968
5/6/2008
62.7919
5/6/2008
80.0834
MPBirlaInstituteofManagement
Page116
40.8724
5/7/2008
63.4343
5/7/2008
80.6318
5/8/2008
41.2755
5/8/2008
63.8275
5/8/2008
81.0055
5/9/2008
41.7216
5/9/2008
64.1043
5/9/2008
81.5427
5/10/2008
41.5908
5/10/2008
64.205
5/10/2008
81.2156
5/11/2008
41.5908
5/11/2008
64.415
5/11/2008
81.2838
5/12/2008
41.5908
5/12/2008
64.4125
5/12/2008
81.283
5/13/2008
41.9668
5/13/2008
64.8936
5/13/2008
82.0114
5/14/2008
42.0853
5/14/2008
65.2604
5/14/2008
82.1084
5/15/2008
42.427
5/15/2008
65.5751
5/15/2008
82.4814
5/16/2008
42.6065
5/16/2008
65.9523
5/16/2008
82.9016
5/17/2008
42.6413
5/17/2008
66.0897
5/17/2008
83.1517
5/18/2008
42.6413
5/18/2008
66.4449
5/18/2008
83.4681
5/19/2008
42.6413
5/19/2008
66.444
5/19/2008
83.4677
5/20/2008
42.6413
5/20/2008
66.3754
5/20/2008
83.3466
5/21/2008
42.6385
5/21/2008
66.479
5/21/2008
83.5267
5/22/2008
42.7858
5/22/2008
67.2101
5/22/2008
84.1648
5/23/2008
43.0374
5/23/2008
67.8209
5/23/2008
85.0474
5/24/2008
42.756
5/24/2008
67.3503
5/24/2008
84.6788
5/25/2008
42.756
5/25/2008
67.4147
5/25/2008
84.6646
5/26/2008
42.756
5/26/2008
67.4142
5/26/2008
84.6654
5/27/2008
42.6917
5/27/2008
67.3166
5/27/2008
84.5649
5/28/2008
42.9379
5/28/2008
67.6633
5/28/2008
84.9604
5/29/2008
42.7785
5/29/2008
67.063
5/29/2008
84.5902
5/30/2008
42.7958
5/30/2008
66.7036
5/30/2008
84.5965
5/31/2008
42.533
5/31/2008
66.0378
5/31/2008
84.0523
6/1/2008
42.533
6/1/2008
66.1766
6/1/2008
84.3339
6/2/2008
42.533
6/2/2008
66.1775
6/2/2008
84.3254
6/3/2008
42.3248
6/3/2008
65.7846
6/3/2008
83.3232
6/4/2008
42.612
6/4/2008
66.1714
6/4/2008
83.7463
MPBirlaInstituteofManagement
Page117
42.7228
6/5/2008
66.0097
6/5/2008
83.679
6/6/2008
42.9022
6/6/2008
66.3203
6/6/2008
83.7823
6/7/2008
42.7086
6/7/2008
66.8953
6/7/2008
83.8197
6/8/2008
42.7086
6/8/2008
67.2016
6/8/2008
84.1268
6/9/2008
42.7086
6/9/2008
67.407
6/9/2008
84.186
6/10/2008
42.8898
6/10/2008
67.5944
6/10/2008
84.6049
6/11/2008
42.944
6/11/2008
66.7894
6/11/2008
84.3204
6/12/2008
42.8786
6/12/2008
66.464
6/12/2008
83.9375
6/13/2008
42.844
6/13/2008
66.2548
6/13/2008
83.7052
6/14/2008
42.9217
6/14/2008
65.9867
6/14/2008
83.5443
6/15/2008
42.9217
6/15/2008
66.0376
6/15/2008
83.6051
6/16/2008
42.9217
6/16/2008
66.0492
6/16/2008
83.6081
6/17/2008
42.9393
6/17/2008
66.2626
6/17/2008
84.0141
6/18/2008
42.9104
6/18/2008
66.5253
6/18/2008
84.1018
6/19/2008
42.897
6/19/2008
66.5093
6/19/2008
83.8671
6/20/2008
42.962
6/20/2008
66.7016
6/20/2008
84.4445
6/21/2008
42.9537
6/21/2008
66.9833
6/21/2008
84.825
6/22/2008
42.9537
6/22/2008
67.0602
6/22/2008
84.8997
6/23/2008
42.9537
6/23/2008
67.0597
6/23/2008
84.8975
6/24/2008
42.9713
6/24/2008
66.8651
6/24/2008
84.5856
6/25/2008
42.9631
6/25/2008
66.8055
6/25/2008
84.5037
6/26/2008
42.7891
6/26/2008
66.6732
6/26/2008
84.3185
6/27/2008
42.7028
6/27/2008
67.0302
6/27/2008
84.5341
6/28/2008
42.8494
6/28/2008
67.4938
6/28/2008
85.2134
6/29/2008
42.8494
6/29/2008
67.6982
6/29/2008
85.503
6/30/2008
42.8494
6/30/2008
67.6969
6/30/2008
85.5026
7/1/2008
43.04
7/1/2008
67.9188
7/1/2008
85.8007
7/2/2008
43.3311
7/2/2008
68.3236
7/2/2008
86.4035
7/3/2008
43.2225
7/3/2008
68.3945
7/3/2008
86.1291
MPBirlaInstituteofManagement
Page118
43.2825
7/4/2008
68.5093
7/4/2008
86.053
7/5/2008
43.1674
7/5/2008
67.7737
7/5/2008
85.6053
7/6/2008
43.1674
7/6/2008
67.8341
7/6/2008
85.5928
7/7/2008
43.1674
7/7/2008
67.8345
7/7/2008
85.5928
7/8/2008
43.2476
7/8/2008
67.762
7/8/2008
85.4256
7/9/2008
43.3061
7/9/2008
67.9793
7/9/2008
85.4741
7/10/2008
43.1687
7/10/2008
67.7623
7/10/2008
85.1821
7/11/2008
43.2
7/11/2008
67.986
7/11/2008
85.4721
7/12/2008
43.2
7/12/2008
68.3567
7/12/2008
85.593
7/13/2008
43.2
7/13/2008
68.8699
7/13/2008
85.9369
7/14/2008
43.2
7/14/2008
68.8725
7/14/2008
85.9395
7/15/2008
42.8957
7/15/2008
68.2011
7/15/2008
85.2886
7/16/2008
42.8957
7/16/2008
68.3731
7/16/2008
85.8715
7/17/2008
42.8957
7/17/2008
68.1732
7/17/2008
85.9131
7/18/2008
42.8957
7/18/2008
67.9733
7/18/2008
85.8243
7/19/2008
42.8341
7/19/2008
67.8857
7/19/2008
85.5402
7/20/2008
42.69
7/20/2008
67.6747
7/20/2008
85.351
7/21/2008
42.69
7/21/2008
67.6739
7/21/2008
85.351
7/22/2008
42.7258
7/22/2008
67.787
7/22/2008
85.2674
7/23/2008
42.7382
7/23/2008
67.9084
7/23/2008
85.493
7/24/2008
42.3095
7/24/2008
66.6505
7/24/2008
84.4247
7/25/2008
42.0889
7/25/2008
65.9928
7/25/2008
83.8128
7/26/2008
42.2112
7/26/2008
66.3
7/26/2008
84.0208
7/27/2008
42.205
7/27/2008
66.3214
7/27/2008
84.0774
7/28/2008
42.205
7/28/2008
66.3226
7/28/2008
84.0774
7/29/2008
42.3752
7/29/2008
66.6383
7/29/2008
84.3325
7/30/2008
42.5858
7/30/2008
66.8568
7/30/2008
84.7287
7/31/2008
42.47
7/31/2008
66.1797
7/31/2008
84.1101
8/1/2008
42.5239
8/1/2008
66.3385
8/1/2008
84.2747
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42.28
8/2/2008
65.7116
8/2/2008
83.4438
8/3/2008
42.45
8/3/2008
66.0879
8/3/2008
83.8642
8/4/2008
42.45
8/4/2008
66.0896
8/4/2008
83.8651
8/5/2008
42.4088
8/5/2008
66.0831
8/5/2008
83.5559
8/6/2008
42.2735
8/6/2008
65.5873
8/6/2008
82.7588
8/7/2008
42.089
8/7/2008
65.0751
8/7/2008
82.2264
8/8/2008
42.0547
8/8/2008
64.8303
8/8/2008
81.9163
8/9/2008
42.2122
8/9/2008
64.0212
8/9/2008
81.4383
8/10/2008
42.18
8/10/2008
63.3156
8/10/2008
81.048
8/11/2008
42.1806
8/11/2008
63.3151
8/11/2008
81.0487
8/12/2008
42.1515
8/12/2008
63.1353
8/12/2008
80.8255
8/13/2008
42.3936
8/13/2008
63.161
8/13/2008
80.7323
8/14/2008
42.6474
8/14/2008
63.6068
8/14/2008
80.4632
8/15/2008
42.9413
8/15/2008
63.9255
8/15/2008
80.2852
8/16/2008
43.2526
8/16/2008
63.7596
8/16/2008
80.5922
8/17/2008
43.38
8/17/2008
63.73
8/17/2008
80.9631
8/18/2008
43.38
8/18/2008
63.7313
8/18/2008
80.9662
8/19/2008
43.3873
8/19/2008
63.8688
8/19/2008
81.0107
8/20/2008
43.684
8/20/2008
64.2037
8/20/2008
81.3663
8/21/2008
43.7931
8/21/2008
64.5878
8/21/2008
81.5795
8/22/2008
43.6431
8/22/2008
64.6023
8/22/2008
81.5084
8/23/2008
43.4617
8/23/2008
64.5358
8/23/2008
81.1091
8/24/2008
43.34
8/24/2008
64.1029
8/24/2008
80.353
8/25/2008
43.465
8/25/2008
64.3182
8/25/2008
80.5576
8/26/2008
43.6472
8/26/2008
64.4202
8/26/2008
80.7115
8/27/2008
43.9423
8/27/2008
64.4792
8/27/2008
80.9773
8/28/2008
43.8583
8/28/2008
64.4827
8/28/2008
80.7515
8/29/2008
43.8441
8/29/2008
64.6745
8/29/2008
80.4268
8/30/2008
43.9187
8/30/2008
64.6289
8/30/2008
80.2772
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44.095
8/31/2008
64.7248
8/31/2008
80.319
9/1/2008
44.095
9/1/2008
64.7297
9/1/2008
80.3111
9/2/2008
44.1851
9/2/2008
64.6874
9/2/2008
79.762
9/3/2008
44.3856
9/3/2008
64.5509
9/3/2008
79.3673
9/4/2008
44.5723
9/4/2008
64.4926
9/4/2008
79.2046
9/5/2008
44.5075
9/5/2008
64.3765
9/5/2008
79.0595
9/6/2008
44.655
9/6/2008
63.7173
9/6/2008
78.7009
9/7/2008
44.7
9/7/2008
63.7949
9/7/2008
78.963
9/8/2008
44.7003
9/8/2008
63.8074
9/8/2008
78.9805
9/9/2008
44.6106
9/9/2008
63.6973
9/9/2008
79.1241
9/10/2008
44.865
9/10/2008
63.4086
9/10/2008
78.966
9/11/2008
45.1367
9/11/2008
63.6915
9/11/2008
79.4496
9/12/2008
45.578
9/12/2008
63.5767
9/12/2008
79.8303
9/13/2008
45.7102
9/13/2008
64.3385
9/13/2008
80.8806
9/14/2008
45.7291
9/14/2008
65.0871
9/14/2008
82.0658
9/15/2008
45.73
9/15/2008
65.1012
9/15/2008
82.0716
9/16/2008
45.887
9/16/2008
65.5152
9/16/2008
82.465
9/17/2008
46.5038
9/17/2008
66.1084
9/17/2008
83.2622
9/18/2008
46.5564
9/18/2008
66.0896
9/18/2008
83.3531
9/19/2008
46.6639
9/19/2008
67.0938
9/19/2008
84.89
9/20/2008
46.6639
9/20/2008
66.7915
9/20/2008
84.7171
9/21/2008
45.37
9/21/2008
65.659
9/21/2008
83.1206
9/22/2008
45.3713
9/22/2008
65.6659
9/22/2008
83.1257
9/23/2008
45.3919
9/23/2008
66.1877
9/23/2008
83.5451
9/24/2008
45.8024
9/24/2008
67.5846
9/24/2008
84.9937
9/25/2008
46.2718
9/25/2008
67.9081
9/25/2008
85.8069
9/26/2008
46.6197
9/26/2008
68.4107
9/26/2008
86.3127
9/27/2008
46.54
9/27/2008
68.021
9/27/2008
85.6428
9/28/2008
47.095
9/28/2008
68.8392
9/28/2008
86.8874
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9/29/2008
68.8402
9/29/2008
86.8874
9/30/2008
47.3476
9/30/2008
68.4112
9/30/2008
86.0519
10/1/2008
47.9547
10/1/2008
68.5489
10/1/2008
86.2701
10/2/2008
47.3634
10/2/2008
66.7422
10/2/2008
84.2823
10/3/2008
47.3678
10/3/2008
65.908
10/3/2008
83.6846
10/4/2008
47.6787
10/4/2008
65.9349
10/4/2008
84.357
10/5/2008
46.9992
10/5/2008
64.7659
10/5/2008
83.2953
10/6/2008
47.0107
10/6/2008
64.7436
10/6/2008
83.2898
10/7/2008
47.9792
10/7/2008
65.2109
10/7/2008
84.2553
10/8/2008
48.4806
10/8/2008
65.8085
10/8/2008
84.7857
10/9/2008
48.9225
10/9/2008
66.6931
10/9/2008
85.381
10/10/2008
49.0448
10/10/2008
67.0413
10/10/2008
84.7038
10/11/2008
49.0448
10/11/2008
66.4082
10/11/2008
83.3659
10/12/2008
50.63
10/12/2008
67.8817
10/12/2008
86.349
10/13/2008
50.63
10/13/2008
67.9338
10/13/2008
86.3778
10/14/2008
49.8905
10/14/2008
67.7543
10/14/2008
85.8361
10/15/2008
49.156
10/15/2008
67.1712
10/15/2008
85.9832
10/16/2008
49.9261
10/16/2008
67.8346
10/16/2008
87.0936
10/17/2008
50.1418
10/17/2008
67.4362
10/17/2008
86.4946
10/18/2008
49.878
10/18/2008
67.1228
10/18/2008
86.3762
10/19/2008
50.3544
10/19/2008
67.5675
10/19/2008
87.102
10/20/2008
50.355
10/20/2008
67.5724
10/20/2008
87.1091
10/21/2008
50.303
10/21/2008
67.4966
10/21/2008
87.1058
10/22/2008
50.4755
10/22/2008
66.8694
10/22/2008
86.1444
10/23/2008
51.2318
10/23/2008
66.1818
10/23/2008
84.1237
10/24/2008
52.1082
10/24/2008
66.8047
10/24/2008
84.4908
10/25/2008
52.1082
10/25/2008
65.9489
10/25/2008
82.2297
10/26/2008
52.1082
10/26/2008
66.1926
10/26/2008
82.9299
10/27/2008
53.7639
10/27/2008
67.8963
10/27/2008
85.5701
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10/28/2008
67.2614
10/28/2008
83.8814
10/29/2008
53.3624
10/29/2008
66.6534
10/29/2008
83.3084
10/30/2008
53.0901
10/30/2008
67.8778
10/30/2008
85.5318
10/31/2008
52.3572
10/31/2008
68.3528
10/31/2008
86.2835
11/1/2008
52.3572
11/1/2008
66.7114
11/1/2008
84.7189
11/2/2008
50.7156
11/2/2008
64.5721
11/2/2008
81.5907
11/3/2008
50.715
11/3/2008
64.5856
11/3/2008
81.602
11/4/2008
50.1156
11/4/2008
64.0973
11/4/2008
80.7833
11/5/2008
49.0971
11/5/2008
62.4922
11/5/2008
77.761
11/6/2008
48.0973
11/6/2008
62.223
11/6/2008
76.7089
11/7/2008
48.6559
11/7/2008
62.5554
11/7/2008
77.2115
11/8/2008
48.813
11/8/2008
62.2409
11/8/2008
76.6246
11/9/2008
48.9943
11/9/2008
62.336
11/9/2008
76.6894
11/10/2008
49.005
11/10/2008
62.3633
11/10/2008
76.7276
11/11/2008
48.4696
11/11/2008
62.2471
11/11/2008
76.4007
11/12/2008
48.5775
11/12/2008
61.6939
11/12/2008
75.6692
11/13/2008
49.7131
11/13/2008
62.3721
11/13/2008
76.0601
11/14/2008
50.4523
11/14/2008
63.0447
11/14/2008
75.0413
11/15/2008
50.2804
11/15/2008
63.9994
11/15/2008
74.5331
11/16/2008
49.876
11/16/2008
62.9271
11/16/2008
73.5916
11/17/2008
49.88
11/17/2008
62.8842
11/17/2008
73.5481
11/18/2008
49.9824
11/18/2008
63.0683
11/18/2008
74.1618
11/19/2008
49.9824
11/19/2008
63.1307
11/19/2008
74.9631
11/20/2008
50.7945
11/20/2008
64.1464
11/20/2008
76.2268
11/21/2008
51.4512
11/21/2008
64.4108
11/21/2008
76.6598
11/22/2008
51.2877
11/22/2008
64.2116
11/22/2008
76.1114
11/23/2008
51.2212
11/23/2008
64.4896
11/23/2008
76.4508
11/24/2008
51.23
11/24/2008
64.5119
11/24/2008
76.4874
11/25/2008
50.8706
11/25/2008
64.5573
11/25/2008
76.2026
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50.5224
11/26/2008
65.2351
11/26/2008
76.7047
11/27/2008
50.0581
11/27/2008
64.9318
11/27/2008
76.9187
11/28/2008
50.3776
11/28/2008
65.0148
11/28/2008
77.5417
11/29/2008
50.4807
11/29/2008
64.8051
11/29/2008
77.661
11/30/2008
51.0888
11/30/2008
64.8659
11/30/2008
78.5603
12/1/2008
51.105
12/1/2008
64.8916
12/1/2008
78.576
12/2/2008
50.8859
12/2/2008
64.4373
12/2/2008
77.167
12/3/2008
50.9114
12/3/2008
64.4126
12/3/2008
75.8854
12/4/2008
50.3924
12/4/2008
63.887
12/4/2008
74.7178
12/5/2008
50.1842
12/5/2008
63.7009
12/5/2008
73.801
12/6/2008
49.9567
12/6/2008
63.6104
12/6/2008
73.2436
12/7/2008
50.1627
12/7/2008
63.8215
12/7/2008
73.7632
12/8/2008
50.3633
12/8/2008
64.0833
12/8/2008
74.0512
12/9/2008
50.3355
12/9/2008
64.5845
12/9/2008
74.6033
12/10/2008
50.7878
12/10/2008
65.4746
12/10/2008
75.266
12/11/2008
50.3189
12/11/2008
65.2103
12/11/2008
74.4373
12/12/2008
49.7178
12/12/2008
65.3406
12/12/2008
74.1108
12/13/2008
48.4496
12/13/2008
64.6417
12/13/2008
72.4101
12/14/2008
48.2393
12/14/2008
64.5929
12/14/2008
71.7804
12/15/2008
48.4496
12/15/2008
64.8589
12/15/2008
72.2708
12/16/2008
49.5213
12/16/2008
66.8651
12/16/2008
74.6637
12/17/2008
49.3497
12/17/2008
67.7191
12/17/2008
75.5203
12/18/2008
48.9631
12/18/2008
69.2299
12/18/2008
76.0427
12/19/2008
48.4778
12/19/2008
69.9967
12/19/2008
74.6757
12/20/2008
48.5052
12/20/2008
68.4927
12/20/2008
72.8853
12/21/2008
48.7186
12/21/2008
67.8008
12/21/2008
72.7657
12/22/2008
48.725
12/22/2008
67.8145
12/22/2008
72.7986
12/23/2008
49.1347
12/23/2008
68.7045
12/23/2008
73.1252
12/24/2008
50.0344
12/24/2008
69.927
12/24/2008
74.0949
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12/25/2008
70.3154
12/25/2008
74.2228
12/26/2008
50.4475
12/26/2008
70.7053
12/26/2008
74.3783
12/27/2008
49.4729
12/27/2008
69.5193
12/27/2008
72.9309
12/28/2008
49.205
12/28/2008
69.0686
12/28/2008
71.7281
12/29/2008
49.205
12/29/2008
69.0681
12/29/2008
71.7242
12/30/2008
49.6782
12/30/2008
70.4919
12/30/2008
72.8049
12/31/2008
49.7178
12/31/2008
70.0891
12/31/2008
71.9874
1/1/2009
49.9002
1/1/2009
70.0738
1/1/2009
72.3597
1/2/2009
50.095
1/2/2009
70.0238
1/2/2009
73.2975
1/3/2009
49.8918
1/3/2009
69.4753
1/3/2009
72.7512
1/4/2009
49.655
1/4/2009
69.1426
1/4/2009
72.2793
1/5/2009
49.655
1/5/2009
69.1337
1/5/2009
72.2714
1/6/2009
49.52
1/6/2009
68.1183
1/6/2009
72.0189
1/7/2009
49.6709
1/7/2009
67.0423
1/7/2009
72.9775
1/8/2009
49.7595
1/8/2009
67.5664
1/8/2009
74.5766
1/9/2009
50.255
1/9/2009
68.5569
1/9/2009
76.0299
1/10/2009
49.7903
1/10/2009
67.8279
1/10/2009
75.7381
1/11/2009
49.555
1/11/2009
66.7982
1/11/2009
75.168
1/12/2009
49.5555
1/12/2009
66.7999
1/12/2009
75.1574
1/13/2009
49.7973
1/13/2009
66.7338
1/13/2009
74.6775
1/14/2009
50.0963
1/14/2009
66.5143
1/14/2009
73.5013
1/15/2009
49.9717
1/15/2009
66.0296
1/15/2009
72.7938
1/16/2009
50.0063
1/16/2009
65.7747
1/16/2009
73.0401
1/17/2009
49.5689
1/17/2009
65.5852
1/17/2009
73.3467
1/18/2009
49.505
1/18/2009
65.707
1/18/2009
72.959
1/19/2009
49.505
1/19/2009
65.7436
1/19/2009
73.007
1/20/2009
49.4202
1/20/2009
65.5435
1/20/2009
72.6531
1/21/2009
49.8541
1/21/2009
64.7121
1/21/2009
70.4174
1/22/2009
49.9315
1/22/2009
64.5005
1/22/2009
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1/23/2009
64.5645
1/23/2009
68.8853
1/24/2009
49.7772
1/24/2009
64.2729
1/24/2009
68.3651
1/25/2009
49.685
1/25/2009
64.5552
1/25/2009
68.6249
1/26/2009
49.685
1/26/2009
64.5557
1/26/2009
68.6205
1/27/2009
49.7264
1/27/2009
64.6254
1/27/2009
68.4494
1/28/2009
49.5385
1/28/2009
65.4037
1/28/2009
69.7785
1/29/2009
49.3836
1/29/2009
65.3606
1/29/2009
70.3918
1/30/2009
49.4441
1/30/2009
64.7066
1/30/2009
70.3654
1/31/2009
49.432
1/31/2009
63.6358
1/31/2009
70.7234
2/1/2009
49.7295
2/1/2009
63.7383
2/1/2009
72.3276
2/2/2009
49.73
2/2/2009
63.728
2/2/2009
72.3084
2/3/2009
49.5849
2/3/2009
63.3214
2/3/2009
70.8905
2/4/2009
49.2849
2/4/2009
63.5115
2/4/2009
70.3429
2/5/2009
48.9808
2/5/2009
63.4017
2/5/2009
70.6945
2/6/2009
49.1162
2/6/2009
63.0588
2/6/2009
71.3187
2/7/2009
48.9725
2/7/2009
62.8082
2/7/2009
71.8975
2/8/2009
49.28
2/8/2009
63.793
2/8/2009
72.8999
2/9/2009
49.28
2/9/2009
63.7969
2/9/2009
72.895
2/10/2009
48.974
2/10/2009
63.5438
2/10/2009
72.6936
2/11/2009
49.04
2/11/2009
63.392
2/11/2009
72.4468
2/12/2009
49.0957
2/12/2009
63.3851
2/12/2009
70.8928
2/13/2009
49.0802
2/13/2009
63.122
2/13/2009
70.1537
2/14/2009
49.0117
2/14/2009
63.18
2/14/2009
70.5725
2/15/2009
49.255
2/15/2009
63.3794
2/15/2009
70.7376
2/16/2009
49.255
2/16/2009
63.3626
2/16/2009
70.6726
2/17/2009
49.0957
2/17/2009
62.7164
2/17/2009
69.9349
2/18/2009
49.7212
2/18/2009
62.9117
2/18/2009
70.7891
2/19/2009
50.2348
2/19/2009
63.2145
2/19/2009
71.4766
2/20/2009
50.1322
2/20/2009
63.328
2/20/2009
71.7407
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2/21/2009
63.5014
2/21/2009
71.7067
2/22/2009
50.685
2/22/2009
65.038
2/22/2009
73.178
2/23/2009
50.685
2/23/2009
65.0136
2/23/2009
73.1547
2/24/2009
50.1541
2/24/2009
64.3603
2/24/2009
72.7355
2/25/2009
50.167
2/25/2009
63.9674
2/25/2009
72.7506
2/26/2009
50.1797
2/26/2009
64.2953
2/26/2009
72.4259
3/1/2009
51.975
3/1/2009
65.8752
3/1/2009
74.4246
3/2/2009
51.975
3/2/2009
65.8643
3/2/2009
74.4173
3/3/2009
52.1604
3/3/2009
65.6814
3/3/2009
73.8868
3/5/2009
51.93
3/5/2009
65.1415
3/5/2009
73.0935
3/6/2009
51.8575
3/6/2009
65.2669
3/6/2009
73.3437
3/7/2009
51.6796
3/7/2009
65.2873
3/7/2009
73.2698
3/8/2009
52.325
3/8/2009
66.2382
3/8/2009
73.7652
3/9/2009
52.325
3/9/2009
66.2403
3/9/2009
73.7662
3/10/2009
52.3981
3/10/2009
66.2679
3/10/2009
73.2971
3/11/2009
51.8655
3/11/2009
65.7996
3/11/2009
71.6625
3/12/2009
52.3691
3/12/2009
66.6088
3/12/2009
72.1054
3/13/2009
52.7869
3/13/2009
67.6384
3/13/2009
73.0512
3/14/2009
51.5464
3/14/2009
66.5402
3/14/2009
71.967
3/15/2009
52.9405
3/15/2009
68.4743
3/15/2009
74.1538
3/16/2009
52.94
3/16/2009
68.4705
3/16/2009
74.1578
3/17/2009
52.5265
3/17/2009
68.0401
3/17/2009
73.89
3/18/2009
52.473
3/18/2009
68.1457
3/18/2009
73.7734
3/19/2009
52.4997
3/19/2009
68.6748
3/19/2009
73.5961
3/20/2009
51.8076
3/20/2009
70.1532
3/20/2009
74.3621
3/21/2009
51.5785
3/21/2009
70.2886
3/21/2009
74.6831
3/22/2009
52.195
3/22/2009
70.9132
3/22/2009
75.5215
3/23/2009
52.195
3/23/2009
70.9147
3/23/2009
75.5199
3/24/2009
51.8337
3/24/2009
70.6613
3/24/2009
75.3118
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51.6914
3/25/2009
70.277
3/25/2009
75.8498
3/26/2009
51.8867
3/26/2009
70.0418
3/26/2009
75.932
3/27/2009
51.6635
3/27/2009
70.1275
3/27/2009
75.2008
3/28/2009
51.6458
3/28/2009
69.4847
3/28/2009
74.3642
3/29/2009
51.72
3/29/2009
68.7602
3/29/2009
74.0899
3/30/2009
51.72
3/30/2009
68.7509
3/30/2009
74.0558
3/31/2009
52.1743
3/31/2009
68.9097
3/31/2009
74.1579
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