Welcome to Scribd. Sign in or start your free trial to enjoy unlimited e-books, audiobooks & documents.Find out more
Download
Standard view
Full view
of .
Look up keyword
Like this
2Activity
0 of .
Results for:
No results containing your search query
P. 1
SPY KR Spread

SPY KR Spread

Ratings: (0)|Views: 16,462|Likes:
Published by biggercapital
SPY KR Spread
SPY KR Spread

More info:

Published by: biggercapital on Jun 15, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

07/10/2013

pdf

text

original

 
6/15/12 - Spread Analyze1/2biggercapital.squarespace.com/spread-analyzer/
Spread Analyzer 
VisualizeGeneral Stats
l(1) Random Walk:TRUECointegration Level %:Not likelymean-revertingPearson Correlation %(Price):83.08%Beta:5.46 Average Spread:-12.14Current Spread:1.00Dollar-Neutral Ratio6.04 Average Price Ratio:5.44Beta 10.99Beta 20.56Spread Mean:-12.14Spread Median:-13.25Spread Maximum:1.39Spread Minimum:-23.35Half Life:21 DaysCurrent ZScore:2.21$ Value of 1 ZScore:5.94
Criteria
First Leg:SPYSecond Leg:KRStart Date:5/2/2010End Date:5/2/2012Benchmark:^GSPCFrequency:dLeg 1 Multiplier:1Leg 2 Multiplier:6

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->