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This spreadsheet illustates the the historical simulation method of calculating VAR. VAR is calculated for Portfolio 1 in
sheet VAR - Historical simulation? A second but incorrect method of calculating VAR using the historical simulation
approach is given in sheet VAR absolute changes? beyond curiosity the reader has no need to look at this sheet.
The original data series from which the daily percentage price changes have been generated are given in sheet istoric
Price Series? The generation of the volatilities and correlation used in the Covariance VAR model in file Covar1 is give
in sheet Covariance statistics? Again the reader has no need to refer to these two sheets - except for curiosity !
Therefore the reader should concentrate his attention on sheet VAR - Historical simulation? Ignoring the top box -
portfolio composition - for a moment, the first three columns hold the daily percentage price changes in each of the thre
assets. The next column calculates the resultant change in portfolio value for each day. This column applies the daily
price change to the position in each asset, in dollar terms. This is the heart of the historical simulation approach - the
portfolio is re-valued each day using that day percentage price changes. After this it is merely a matter of extracting t
VAR figure from the pseudo history of portfolio value changes.
The first step is to order the portofolio value changes - this is shown in column 5. Now the VAR can be read directly from
the ordered series of portfolio value changes, by simply reading off the value which corresponds to the confidence leve
perecentage required, this shown in the last box on the right. The resulting 95% confidence VAR is shown in the bright
blue box at the top of the sheet.
?????
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Read me
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
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VAR - Historical simulation
43,000
Percentile VAR 1
rank % 2
3
99 - 72,715 4
98 - 59,319 5
97 - 50,188 6
96 - 46,321 7
95 - 43,398 8
94 - 38,016 9
93 - 36,520 10
92 - 33,182 11
91 - 30,833 12
90 - 28,721 13
14
-42823.55913 0.048499 15
16
Time Distribution Chart of value 17
160
18
19
140 20
21
22
120
23
24
100 25
26
Times
27
80 28
29
60 30
31
32
40 33
34
20 35
36
37
0 38
-2 -1.5 -1 -0.5 0 0.5 1 1.5
39
value 5
x 10 40
41
42
43
44
45
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VAR - Historical simulation
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
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VAR - Historical simulation
count = 1300
min = -162,956
max = 106,397
Bins Count
-162,956 1
-158467.07756 0
-153977.84822 0
-149488.61888 0
-144999.38954 0
-140510.16019 0
-136020.93085 0
-131531.70151 1
-127042.47217 0
-122553.24282 0
-118064.01348 0
-113574.78414 0
-109085.5548 0
-104596.32545 0
-100107.09611 1
Time Distribution Chart of Value
-95617.866768 0 160
-91128.637425 0
-86639.408083 4
-82150.17874 2 140
-77660.949398 1
-73171.720055 1 120
-68682.490713 6
-64193.26137 5
-59704.032028 2 100
-55214.802685 6
-50725.573342 5 80
-46236.344 16
Times
-41747.114657 17
-37257.885315 12 60
-32768.655972 24
-28279.42663 27 40
-23790.197287 38
-19300.967945 58
-14811.738602 59 20
-10322.50926 90
-5833.279917 93 0
-1344.0505744 128
56 89 21 53 86 18 50 82 15 47 79 12 44 24 91 59 27 94 62 30 97
3145.17876815 158 2,9 9,4 6,0 2,5 9,0 5,6 2,1 8,6 5,2 1,7 8,2 4,8 1,3 2,1 5,5 9,0 2,5 5,9 9,4 2,9 6,3
6 4 3 2 0 9 8 6 5 4 2 1 - 1 2 3 5 6 7 9 10
7634.40811069 111 -1 -1 -1 -1 -1 - - - - - - -
12123.6374532 102 Value
16612.8667958 93
21102.0961383 54
25591.3254809 40
30080.5548234 34
34569.784166 24
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VAR - Historical simulation
39059.0135085 23
43548.2428511 15
48037.4721936 11
52526.7015362 7
57015.9308787 5
61505.1602213 5
65994.3895638 5
70483.6189064 3
74972.8482489 4
79462.0775915 2
83951.306934 1
88440.5362766 3
92929.7656191 1
97418.9949617 0
101908.224304 1
106397.453647 1
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VAR - Historical simulation
7 94 62 30 97
,9 ,4 ,9 ,3
65 79 92 106
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VAR - Absolute changes
Portfolio 1 composition in σ:
3 2 1
Original asset positions
1,667,130 5,420 3,028,000
GBP Gold Rand
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
5,316,776 - - 7,720
5,275,005 - 41,772 - 7,691
5,230,525 - 44,480 - 7,677
5,247,128 16,603 - 7,657
5,218,245 - 28,883 - 7,574
5,226,200 7,955 - 7,573
5,222,787 - 3,413 - 7,566
5,201,505 - 21,282 - 7,522
5,190,680 - 10,825 - 7,512
5,211,693 21,013 - 7,500
5,172,460 - 39,233 - 7,461
5,174,105 1,646 - 7,373
5,160,443 - 13,662 - 7,359
5,189,021 28,578 - 7,359
5,165,637 - 23,384 - 7,280
5,126,478 - 39,159 - 7,260
5,098,566 - 27,912 - 7,127
5,089,801 - 8,766 - 7,117
5,118,795 28,994 - 7,067
5,149,971 31,177 - 7,058
5,163,408 13,437 - 6,954
5,191,574 28,167 - 6,922
5,183,537 - 8,037 - 6,921
5,238,604 55,066 - 6,822
5,285,280 46,677 - 6,811
5,280,296 - 4,985 - 6,795
5,296,794 16,498 - 6,742
5,283,028 - 13,765 - 6,718
5,296,967 13,939 - 6,626
5,255,412 - 41,555 - 6,607
5,254,493 - 919 - 6,579
5,279,771 25,278 - 6,507
5,291,293 11,522 - 6,498
5,275,168 - 16,126 - 6,439
5,266,909 - 8,259 - 6,439
5,308,287 41,378 - 6,422
5,298,882 - 9,405 - 6,366
5,312,999 14,118 - 6,168
5,293,871 - 19,129 - 6,127
5,287,364 - 6,507 - 6,085
5,308,457 21,093 - 6,053
5,281,867 - 26,590 - 6,040
5,302,940 21,073 - 6,030
5,287,869 - 15,071 - 6,002
5,350,014 62,145 - 5,944
5,339,480 - 10,534 - 5,909
5,368,890 29,410 - 5,858
5,349,910 - 18,980 - 5,784
5,249,722 - 100,189 - 5,777
5,188,844 - 60,878 - 5,742
5,205,929 17,086 - 5,727
5,170,892 - 35,037 - 5,723
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
5,239,840 1,000 -
5,255,557 15,717 -
5,253,190 - 2,366 11
5,231,685 - 21,506 30
5,204,167 - 27,518 101
5,194,697 - 9,470 111
5,206,728 12,031 212
5,217,503 10,775 224
5,220,602 3,099 226
5,225,037 4,435 229
5,240,202 15,165 246
5,241,295 1,093 250
5,265,377 24,083 271
5,263,524 - 1,854 287
5,263,736 212 365
5,320,073 56,338 414
5,319,142 - 931 439
5,318,506 - 636 440
5,323,382 4,875 451
5,335,890 12,509 459
5,322,030 - 13,861 476
5,312,679 - 9,351 495
5,305,757 - 6,921 520
5,314,175 8,417 542
5,288,885 - 25,290 544
5,299,954 11,069 553
5,279,513 - 20,442 558
5,282,176 2,663 607
5,285,732 3,557 624
5,284,054 - 1,679 717
5,348,218 64,165 752
5,368,387 20,169 762
5,348,028 - 20,358 812
5,354,571 6,543 869
5,366,612 12,041 900
5,380,906 14,293 944
5,353,104 - 27,802 950
5,349,690 - 3,414 961
5,325,412 - 24,278 981
5,293,438 - 31,974 1,000
5,307,931 14,493 1,005
5,301,509 - 6,422 1,040
5,317,462 15,953 1,069
5,314,754 - 2,707 1,071
5,294,890 - 19,864 1,077
5,295,840 950 1,093
5,292,641 - 3,199 1,097
5,285,282 - 7,359 1,141
5,281,072 - 4,210 1,228
5,285,239 4,168 1,248
5,282,077 - 3,163 1,274
5,274,355 - 7,722 1,284
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
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VAR - Absolute changes
5,333,913 - 25,280
5,335,806 1,893 25,286
5,343,609 7,803 25,514
5,372,151 28,542 25,538
5,397,314 25,163 25,713
5,397,004 - 309 25,716
5,390,182 - 6,822 25,801
5,374,882 - 15,300 25,844
5,354,640 - 20,242 25,925
5,353,312 - 1,328 25,936
5,341,078 - 12,234 26,232
5,337,462 - 3,616 27,290
5,342,849 5,387 27,347
5,336,410 - 6,439 27,586
5,339,928 3,518 27,669
5,357,559 17,631 27,839
5,356,978 - 582 28,107
5,359,172 2,194 28,167
5,347,740 - 11,431 28,337
5,345,327 - 2,414 28,460
5,345,098 - 229 28,542
5,351,372 6,274 28,578
5,346,180 - 5,192 28,674
5,347,408 1,228 28,703
5,361,671 14,262 28,994
5,355,887 - 5,784 29,211
5,358,180 2,293 29,243
5,365,287 7,107 29,367
5,360,137 - 5,150 29,410
5,359,647 - 490 29,631
5,356,909 - 2,738 29,650
5,356,640 - 269 29,688
5,363,367 6,727 29,808
5,368,638 5,271 29,988
5,354,759 - 13,879 30,039
5,344,436 - 10,323 30,202
5,369,017 24,581 30,442
5,350,240 - 18,777 30,911
5,346,323 - 3,917 31,157
5,356,921 10,599 31,177
5,360,005 3,084 31,379
5,350,413 - 9,592 31,405
5,359,706 9,292 31,480
5,366,633 6,927 31,574
5,359,711 - 6,922 31,681
5,361,974 2,263 31,926
5,358,098 - 3,876 32,190
5,356,424 - 1,674 32,511
5,362,898 6,474 32,575
5,341,913 - 20,985 32,600
5,365,043 23,130 32,719
5,345,822 - 19,221 32,743
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VAR - Absolute changes
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
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Historical Price Series
-13.310 -3.233
-6.667 -2.681
-5.623 -2.615
-5.606 -2.540
-4.988 -2.526
-4.605 -2.324
-4.009 -2.310
-4.000 -2.302
-3.789 -2.253
-3.724 -1.984
-3.581 -1.982
-3.547 -1.945
-3.452 -1.936
-3.435 -1.887
-3.404 -1.771
-3.404 -1.722
-3.331 -1.669
-3.129 -1.657
-3.117 -1.637
-3.044 -1.630
-2.969 -1.616
-2.857 -1.612
-2.841 -1.609
-2.833 -1.606
-2.830 -1.573
-2.789 -1.528
-2.634 -1.528
-2.623 -1.509
-2.591 -1.508
-2.552 -1.506
-2.521 -1.493
-2.519 -1.477
-2.443 -1.447
-2.375 -1.447
-2.360 -1.397
-2.311 -1.379
-2.181 -1.342
-2.166 -1.297
-2.144 -1.293
-2.128 -1.287
-2.053 -1.247
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Historical Price Series
-2.030 -1.212
-2.021 -1.208
-2.013 -1.198
-1.983 -1.183
-1.887 -1.163
-1.882 -1.160
-1.876 -1.159
-1.856 -1.124
-1.818 -1.124
-1.812 -1.110
-1.791 -1.100
-1.781 -1.066
-1.774 -1.054
-1.742 -1.041
-1.709 -1.032
-1.703 -1.010
-1.669 -1.006
-1.663 -0.998
-1.640 -0.998
-1.635 -0.992
-1.615 -0.966
-1.613 -0.965
-1.613 -0.959
-1.609 -0.957
-1.592 -0.957
-1.569 -0.954
-1.567 -0.948
-1.566 -0.942
-1.546 -0.941
-1.506 -0.937
-1.505 -0.936
-1.491 -0.936
-1.484 -0.932
-1.460 -0.914
-1.458 -0.911
-1.458 -0.907
-1.456 -0.894
-1.453 -0.883
-1.448 -0.875
-1.425 -0.869
-1.421 -0.867
-1.405 -0.866
-1.389 -0.857
-1.363 -0.855
-1.362 -0.830
-1.359 -0.828
-1.358 -0.812
-1.339 -0.811
-1.338 -0.803
-1.332 -0.802
-1.316 -0.799
-1.313 -0.796
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Historical Price Series
-1.311 -0.789
-1.294 -0.783
-1.290 -0.777
-1.289 -0.775
-1.288 -0.772
-1.276 -0.760
-1.268 -0.755
-1.264 -0.749
-1.248 -0.743
-1.225 -0.736
-1.194 -0.736
-1.194 -0.731
-1.174 -0.731
-1.173 -0.729
-1.163 -0.726
-1.157 -0.725
-1.156 -0.724
-1.149 -0.722
-1.147 -0.714
-1.143 -0.707
-1.139 -0.706
-1.135 -0.705
-1.128 -0.699
-1.126 -0.699
-1.119 -0.698
-1.115 -0.690
-1.107 -0.683
-1.104 -0.683
-1.095 -0.679
-1.092 -0.677
-1.090 -0.676
-1.087 -0.675
-1.083 -0.674
-1.076 -0.666
-1.067 -0.665
-1.061 -0.663
-1.055 -0.653
-1.047 -0.646
-1.045 -0.646
-1.045 -0.645
-1.029 -0.641
-1.024 -0.641
-1.021 -0.639
-1.018 -0.638
-1.013 -0.636
-0.980 -0.633
-0.978 -0.632
-0.977 -0.630
-0.973 -0.626
-0.972 -0.625
-0.971 -0.624
-0.963 -0.624
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Historical Price Series
-0.959 -0.620
-0.957 -0.620
-0.957 -0.615
-0.935 -0.610
-0.934 -0.610
-0.924 -0.609
-0.921 -0.605
-0.920 -0.605
-0.913 -0.596
-0.907 -0.595
-0.903 -0.588
-0.894 -0.587
-0.892 -0.585
-0.875 -0.584
-0.866 -0.583
-0.863 -0.575
-0.861 -0.575
-0.860 -0.573
-0.857 -0.572
-0.853 -0.571
-0.837 -0.568
-0.835 -0.568
-0.829 -0.563
-0.821 -0.559
-0.820 -0.558
-0.795 -0.557
-0.794 -0.557
-0.792 -0.554
-0.791 -0.551
-0.791 -0.550
-0.787 -0.548
-0.785 -0.543
-0.784 -0.541
-0.784 -0.532
-0.781 -0.529
-0.781 -0.528
-0.780 -0.526
-0.776 -0.525
-0.768 -0.524
-0.768 -0.524
-0.761 -0.522
-0.759 -0.521
-0.752 -0.520
-0.752 -0.518
-0.750 -0.516
-0.750 -0.516
-0.745 -0.510
-0.744 -0.508
-0.741 -0.504
-0.739 -0.493
-0.735 -0.490
-0.733 -0.490
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Historical Price Series
-0.728 -0.489
-0.728 -0.489
-0.727 -0.488
-0.723 -0.487
-0.722 -0.484
-0.721 -0.484
-0.719 -0.478
-0.717 -0.475
-0.711 -0.472
-0.705 -0.472
-0.700 -0.469
-0.693 -0.468
-0.690 -0.467
-0.688 -0.466
-0.687 -0.464
-0.674 -0.463
-0.672 -0.460
-0.672 -0.460
-0.672 -0.459
-0.669 -0.454
-0.668 -0.453
-0.662 -0.443
-0.655 -0.442
-0.655 -0.441
-0.653 -0.439
-0.643 -0.437
-0.638 -0.437
-0.632 -0.435
-0.630 -0.431
-0.625 -0.429
-0.625 -0.424
-0.625 -0.422
-0.619 -0.422
-0.619 -0.420
-0.617 -0.420
-0.616 -0.420
-0.612 -0.417
-0.605 -0.415
-0.605 -0.414
-0.603 -0.412
-0.602 -0.407
-0.598 -0.406
-0.596 -0.404
-0.595 -0.403
-0.590 -0.403
-0.590 -0.402
-0.590 -0.401
-0.587 -0.401
-0.583 -0.399
-0.576 -0.398
-0.575 -0.390
-0.573 -0.389
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-0.571 -0.386
-0.570 -0.384
-0.570 -0.374
-0.569 -0.372
-0.566 -0.372
-0.566 -0.372
-0.563 -0.370
-0.553 -0.370
-0.552 -0.369
-0.551 -0.369
-0.548 -0.366
-0.545 -0.361
-0.542 -0.360
-0.541 -0.360
-0.541 -0.357
-0.541 -0.357
-0.541 -0.356
-0.541 -0.354
-0.538 -0.352
-0.534 -0.350
-0.533 -0.349
-0.525 -0.343
-0.525 -0.342
-0.518 -0.342
-0.514 -0.339
-0.512 -0.339
-0.512 -0.337
-0.507 -0.336
-0.497 -0.333
-0.490 -0.333
-0.486 -0.332
-0.485 -0.330
-0.483 -0.328
-0.481 -0.328
-0.477 -0.326
-0.476 -0.326
-0.476 -0.325
-0.461 -0.325
-0.456 -0.322
-0.453 -0.319
-0.444 -0.314
-0.442 -0.314
-0.440 -0.313
-0.438 -0.313
-0.429 -0.310
-0.426 -0.309
-0.425 -0.307
-0.424 -0.302
-0.424 -0.301
-0.421 -0.300
-0.420 -0.299
-0.419 -0.295
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-0.418 -0.293
-0.417 -0.293
-0.413 -0.292
-0.397 -0.289
-0.396 -0.288
-0.382 -0.288
-0.374 -0.288
-0.373 -0.287
-0.371 -0.285
-0.370 -0.285
-0.369 -0.284
-0.369 -0.283
-0.367 -0.282
-0.365 -0.282
-0.358 -0.282
-0.354 -0.281
-0.354 -0.281
-0.353 -0.279
-0.351 -0.278
-0.351 -0.276
-0.345 -0.276
-0.345 -0.275
-0.337 -0.274
-0.335 -0.273
-0.333 -0.272
-0.331 -0.272
-0.326 -0.270
-0.326 -0.269
-0.325 -0.269
-0.324 -0.269
-0.324 -0.267
-0.322 -0.264
-0.321 -0.264
-0.320 -0.261
-0.319 -0.261
-0.319 -0.254
-0.319 -0.253
-0.316 -0.253
-0.313 -0.251
-0.310 -0.250
-0.309 -0.249
-0.308 -0.247
-0.305 -0.245
-0.303 -0.242
-0.302 -0.242
-0.301 -0.240
-0.299 -0.239
-0.294 -0.239
-0.293 -0.239
-0.293 -0.238
-0.293 -0.237
-0.292 -0.236
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-0.292 -0.235
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3.037 1.654
3.275 1.673
3.285 1.679
3.331 1.686
Page 110
Historical Price Series
3.531 1.699
3.536 1.744
3.713 1.765
3.713 1.926
3.713 2.010
4.190 2.080
5.092 2.227
6.390 2.230
6.502 2.283
7.182 2.413
8.157 2.862
Page 111