DISSERTATION REPORT

ON

Impact of Institutional Investors on Nifty Volatility

With Special Reference To

Foreign Institutional Flows and Mutual Fund Flows

This dissertation report is being submitted as part of the requirements of the

MBA Programme of Bangalore University.

Submitted
By

Pavan Kumar Puthraya

Reg. No. 03VWCM6074

With the guidance and support of

Prof. S.P.Srinivasan
Faculty, Alliance Business Academy

ALLIANCE BUSINESS ACADEMY

BANGALORE – 560 076

Batch: 2003-2005
 CERTIFICATE

This is to certify that Mr. Pavan Kumar Puthraya of our Institute has completed Dissertation

work on “Impact Of Institutional Investors on Nifty Volatility With Special Reference To

Foreign Institutional Flows(FII) and Mutual Fund Flows(MF)” under my guidance.

Prof. S.P.Srinivasan
 DECLARATION

I Pavan Kumar Puthraya, studying in Alliance Business Academy, Bangalore do hereby

declare that this Dissertation Report on Impact of Institutional Investors on Nifty Volatility
with special reference to FII flows and MF Flows” has been prepared by as part of the
requirements of the MBA Program of Bangalore University (Batch of 2003 – 2005). My
guide for the training has been Prof. S.P.Srinivasan

I further declare that this Dissertation report has not been submitted earlier to any other
University or Institute for the award of any Degree or Diploma.

Pavan Kumar Puthraya

Reg. No: 03VWCM6074

Date:
Place: Bangalore
 ACKNOWLEDGEMENT

I wish to express my deep sense of gratitude to Dr. Sudhir Angur, President,

Alliance Business Academy and Prof. B V Krishnamurthy, Director and Executive
Vice President for providing me the opportunity to carry out my dissertation work
successfully.

I also consider it as a great honour to express my heartful gratitude to my guide

Prof. S.P. Srinivasan for his kind support, advice and encouragement from the
beginning of the dissertation work till the completion of the dissertation report.

Last, but not least I would like to express my deep sense of gratitude and thanks to
my parents, who have taken pains in bringing me up to this stage of education.
 TABLE OF CONTENTS
Chapter No Topic Page No

1 Theoretical background of the Study 01

2 Design of the study 02
3 Profile
3.1 Institutional Investors 06
3.2 Foreign Institutional investors 13
3.3 Investment structure of FII 15
3.4 Regulation relating to FII operation 16
3.5 Categories of FII 21
3.6 Mauritius route taken by FIIs 23
3.6 FDI v/s FPI 25
3.7 Recent trends in foreign investment 26
3.8 Mutual Funds 27
3.9 National Stock Exchange (NSE) 31
3.10 FII and Indian Stock market 35
3.11 MF and Indian Stock market 39
4 Analysis of Data
4.1 Correlation and Regression Analysis 41
4.2 Asset allocation analysis of MF schemes 44
5 Summary of Findings and Recommendations 50
6 Conclusion 53
7 Bibliography 54
8 Annexure 55
 LIST OF TABLES

TABLE NO TITLE PAGE NO

1 Net capital flows to developing countries 08

2 FII investment in India 10

3 Trend of FII activities in India 11

4 Net Mutual Fund inflow into Stock Exchange 30

5 Composition of S&P CNX Nifty 33

LIST OF GRAPHS

GRAPH NO TITLE PAGE NO

1 Net capital flows to developing countries 8

2 FII investment in India 11

3 Trend of FII activities in India 12

4 Net Mutual Fund inflow into Stock Exchange 30

5 MF flows and CNX madcap 46

5 FII Inflow and Nifty Index 47

6 MF Flows and Nifty index 48

7 FII Flow and MF Flow 49

 EXECUTIVE SUMMARY

The Indian stock market though one of the oldest in Asia being in operation since 1875,
remained largely outside the global integration process until the late 1980s. In line with the
global trend, reform of the Indian stock market began with the establishment of Securities
and Exchange Board of India in 1988. Among the significant measures of integration,
portfolio investment by FIIs allowed since September 1992, has been the turning point for
the Indian stock market. As of now FIIs are allowed to invest in all categories of securities
traded in the primary and secondary segments and also in the derivatives segment.

The process of integration received a major impetus when the Indian corporate was allowed
to go global with GDR / ADR issues. Starting with the maiden issue of Infosys in March
1999, ADR issues has emerged as the star attraction due to its higher global visibility. Thus,
the Indian stock market, which was in isolation until recently, turns out to have been
sensitive to developments in the rest of the world by the end of the 1990s.

The dissertation work aims to study the impact of Institutional Investors on the Nifty. Even
though there are several institutional investors, only the FII and MF operations are
considered. The other institutional investors do not participate actively in the stock market
because of various restrictions.

The analysis of the data is done by taking daily net inflows of FII and MF. These inflows
are compared with the daily Nifty closing prices.

The important finding from this study is that Nifty is influenced by the FII inflows to a
considerable extent. The mutual funds are not actively participating in the index stocks. A
larger portion of the equity fund investment of mutual fund is seen in the non-index and
midcap sector. This means that FII are playing in the index and blue chip stocks and mutual
funds in non-index and midcap sector.

The domestic institutional investors have to play an active role in the stock market so as to
bring the stability in the stock market. The stability of the stock market is important
indicator of the economic development.
 1. BACKGROUND OF THE STUDY

The financial markets have expanded and deepened rapidly over the last ten years. The
Indian capital markets have witnessed a dramatic increase in institutional activity and
more specifically that of FII’s. This change in market environment has made the market
more innovative and competitive enabling the issuers of securities and intermediaries to
grow.
 
In India the institutionalization of the capital markets has increased with FII’s becoming
the dominant owner of the free float of most blue chip Indian stocks. Institutions often
trade large blocks of shares and institutional order’s can have a major impact on market
volatility. In smaller markets, institutional trades can potentially destabilize the markets.
Moreover, institutions also have to design and time their trading strategies carefully so
that their trades have maximum possible returns and minimum possible impact costs.
 
Some studies do examine the trading strategies and price impact of foreign institutional
trades; however, the scope is often limited to a single country. This study takes a look at
the impact of FII cash flows on Index volatility in India. FIIs are the largest investors in
the Indian stock market. But the common perception that domestic investors lack market-
moving influence is not entirely based on fact. If one considers the transactions by
domestic mutual funds (MFs) in the equity market an indicator of domestic investor
participation in the stock market, domestic investors have been active participants in
recent times.

For the study purpose the daily volatility in cash flows of FII’s were analysed in
relation to the daily volatility in the National Stock Exchange of India benchmark
Index (NIFTY) from Jan.2001 to Dec.2004. This was done using Correlation analysis
and Regression Analysis.

1
 2. DESIGN OF THE STUDY

2.1 Statement of the Problem:

The stock market is influenced by many factors. Both institutional and individual
investors have a critical role to play in the stock market. The volatility in the market is the
result of buying and selling pressure on the stocks. The excessive buying pressure results
in the bull market and the excessive selling pressure result in bear market. Under this
circumstance it may be useful to study the impact of institutional investors on the market.
This study basically aimed at studying the influence of FII and mutual Fund on one of the
premier stock exchange of India, NSE India.

2.2 Objective:
To study the impact of Institutional Investors with special reference to FII Cash flows and
Mutual Fund flows, on the stock market volatility. This can be further explained as higher
the variability of the FII cash flows, higher will be the volatility of the Index.

2.3 Scope of the Study:

The scope of the study is limited only to NSE Nifty. The study includes testing the impact
of Institutional Investors only on NSE Nifty. The scope of the study is limited only to two
institution investors namely FIIs and MFs. The other institutional investors have not been
considered in the study as they do not participate actively in the stock market because of
various restrictions imposed on their operations.

2.4 RESEARCH METHODOLOGY

2.4.1 Type of research: Analytical study and Correlation-Regression Analysis

2.4.2 Sources of data:

www.nseindia.com
www.indiainfoline.com
www.myiris.com
www.mutualfundsindia.com

2
2.4.3 Research Instruments:
Correlation
Regression
Durbin-Watson study

2.4.4 Hypothesis 1
Ho : “There is a significant impact of FII Cash flows on the stock market volatility”
H1 : “There is no significant impact of FII Cash flows on the stock market volatility”

Hypothesis 2
Ho : “There is a significant impact of MF flows on the stock market volatility”
H1 : “There is no significant impact of MF flows on the stock market volatility”

2.4.5 Plan of Analysis

For the study purpose, only NIFTY that is the National Stock Exchange (NSE)
benchmark Index is considered. This is because the larger chunk of FII activity in India
happens on the NSE. NSE is the dominant exchange in India with close to 75% of cash
market turnover and well over 90% of derivatives turnover in India happening on the
NSE. The daily index volatility and volatility in daily FII cash flows were studied. We
have also studied the combined effects of daily Mutual Fund (MF) and daily FII volatility
on the Nifty volatility.
The data considered for the study is daily data for four years i.e. from January 2002 to
December2004. This period also captures some of the great peaks and falls of the Indian
market. Moreover this period captures the significant development in the financial
markets in India like introduction of rolling settlements, derivatives etc.

Statistical models used:

 Standard Deviation as a measure of risk
 Correlation and regression analysis
 Durbin-Watson Statistical Model

3
For the analysis purpose primarily two variables were chosen. They are Daily FII Cash
flows and Daily Nifty values. Of these two variables, FII Cash flows is the independent
variable and Index (Nifty) is the dependent variable. For the analysis purpose only net
cash flows were considered i.e. total purchase – total sales during the intra-day period.
 
FII Cash flow is the independent variable. However Index is affected by various factors
including liquidity and hence is the dependent variable. We have also studied the
combined effect of another independent variable namely volatility of daily MF flows
combined with daily FII volatility on Nifty volatility.

2.5 Definitions
Volatility
Volatility is a measure of the range of an asset price about its mean level over a fixed
amount of time. It follows that volatility is linked to the variance of an asset price. If a
stock is labeled as volatile then the price will vary greatly over time. Conversely, a less
volatile stock will have a price that will deviate relatively little over time. Since volatility
is associated with risk, the more volatile that a stock is, the more risky it is. Consequently,
the more risky a stock is, the harder it is to say with any certainty what the future price of
the stock will be.

Computing the Volatility

 The estimation of volatility comes from a mathematical model of stock prices. The
mathematical model we will use is based on three assumptions about stock prices and
their movements.
 The first assumption that we will be using is that volatility is constant.
 The next assumption is that stock prices cannot be negative; once a stock price
reaches $0 it cannot go any lower.
 The third assumption is that the price of a stock is a normal random variable.
 
Thus volatility is calculated as standard deviation as it is the standard measurement
device used worldwide to calculate the volatility.

4
Standard deviation is a statistical term that provides a good indication of volatility. It
measures how widely values (closing prices for instance) are dispersed from the average.
Dispersion is difference between the actual value (closing price) and the average value
(mean closing price). The larger the difference between the closing prices and the average
price, the higher the standard deviation will be and the higher the volatility. The closer the
closing prices are to the average price, the lower the standard deviation and the lower the
volatility.

 Where;
n – number of observations,
_
X - mean of observations,
Xi – I th observation.

Durbin – Watson Statistic Analysis

The Durbin – Watson Statistic gives that there is significant positive autocorrelation
between the two independent variables that are FIIs and Mutual Funds’ Cash Flows.

The test statistic is calculated by

5
 3. PROFILE

3.1 INSTITUTIONAL INVESTOR

A non-bank person or organization that trades securities in large enough share quantities
or dollar amounts that they qualify for preferential treatment and lower commissions is an
institutional investor. Institutional investors face less protective regulations because it is
assumed that they are more knowledgeable and better able to protect themselves.

INSTITUTIONAL INVESTORS
1. Foreign Institutional Investors
2. Mutual Funds
3. Financial Institutions
4. Insurance Companies
5. Banks

3.1.1 HISTORY FOREIGN PORTFOLIO INVESTMENT

FPI was traditionally been concentrated in developed markets. But now it has been
shifting to the new merging capital markets. The emerging markets have at least three
attractive qualities, two of which are their high average returns and their low correlation
with developed markets. Diversification into these markets is expected to give higher
expected returns and lower overall volatility.

Many individual investors, as well as portfolio and pension fund managers, are re-
examining their basic investment strategies. During the 1990s, fund managers realized
that significant performance gains could be obtained by diversifying into high-quality
global equity markets. These gains are limited, however, by the fairly high cross-
correlations returns in these markets.

Broadly speaking, there are six groups of investors in the emerging markets, each having
a tolerance for different risk and return:

6
1. Domestic residents of developing countries with overseas holdings and other
private foreign investors, who constitute the dominant category of portfolio investors
who are currently active in the major emerging markets. These investors keep abreast
of developments in their country on a regular basis and monitor change in
government policy. Their investments in emerging markets are motivated by expected
short-term yields. Preference is given to instruments that are in bearer form and
provide returns in hard currency.
2. Managed Funds (closed-end country funds and mutual funds), whose
portfolio managed buy and sell shares and high-yield bonds in one or more of the
emerging markets for performance-based trading purposes.
3. Foreign banks and brokerage firms, who allocate their portfolio for inventory
and trading purpose
4. Retail clients of Eurobonds houses who are involved in emerging securities
markets due to portfolio diversification motives. They are generally interested in
high-yield, high-risk portfolio investment in the emerging markets.
5. Institutional Investors (such as pension funds, life insurance companies) who
have a longer time horizon for expected gains from their portfolio and look for
stability and long term growth prospects in the market in which they invest.
6. Non resident nationals of developing countries, who could be a potential source
of portfolio investment from abroad.

3.1.2 FOREIGN INVESTMENT

Foreign capital flows have come to be acknowledged as one of the important sources of
funds for economies that would like to grow at a rate higher than what their domestic
savings can support. Foreign capital flows have particularly become prominent after the
advent of globalization that has led to widespread implementation of liberalization
programmes and financial reforms in various countries across the globe in 1990s. This
resulted in the integration of global financial markets. As a result, capital started flowing
freely across national borders seeking out the highest rate of return. The net capital flows
to developing countries which were at US $ 86.6 billion in 1990 have seen a steady
growth over time and are at US $ 228 billion in 2003 representing about 3.6% of the

7
nominal gross domestic product of developing countries. (Global development finance
2004) Initially these capital flows were mainly in the form of syndicated bank loans. But,
in recent years the debt flows have gradually been replaced with Foreign Direct
Investment (FDI) flows and portfolio flows to a great extent.

Table No 1
Net capital flows to developing countries

Year FDI Portfolio Equity Flows Debt

1970 2.2 ----- 6.4
1980 5.3 ---- 96
1990 24.1 4.5 58
2000 160.6 26 -1
2001 175 4.4 -1.2
2002 147.1 4.9 7.3
2003 135.2 14.3 44.3

Graph No 1

Net Capital Flows to Developing Countries (US $ mn)

200
180
160
140
120
FDI
100
Portfolio Equity Flow s
80
Debt
60
40
20
0
-20 1970 1980 1990 2000 2001 2002 2003

Ye ar

The portfolio flows were virtually non-existent till 1970s. They made a modest beginning
in 1980s and assumed significant proportions only in 1990s. They reached a peak in the
period prior to the East Asian crisis, but remained subdued thereafter. Though the
portfolio flows towards developing countries have always been smaller than the FDI
flows, they have always been positive from 1990. In fact, the portfolio flows have

8
registered a substantial increase in the year 2003 and have gone up by more than four fold
compared to the previous year.

Foreign capital flows to India

Till the beginning of 1991, India had a highly regulated financial system with a restrictive
foreign exchange regime. The country had a closed capital account and the mobility of
capital was restricted through administrative controls. In 1991 India suffered a balance of
payment crisis and had to devalue the currency. Since it was also faced with the
worldwide declining trend in the availability of official assistance, India embarked on
economic reforms to transform the controlled economy into a market driven one. This
included the financial liberalization strategies like dismantling of capital controls, reforms
in trade and investment policies and so on to integrate the Indian financial markets with
the global financial markets. All these reforms opened the floodgates to foreign capital
flows into the country. The total net capital flows have risen to US $ 12.1 billion in 2002-
03 from US $ 7.1 billion in 1990-91. The cross border flows are averaging around US $
10 billion every year currently. Like elsewhere in the globe, the nature of capital flows
has witnessed a transformation over time in India also. The non-debt creating capital
flows have come to constitute a higher percentage of the total capital flows. The ratio of
non debt creating inflows to debt creating inflows was 1.5 to 83.3 in 1990-91 as against
44.6 to –6.6 in 2002-03.

The portfolio flows have been one of the major forces that has changed the quantum and
nature of international capital flows to India. Portfolio flows include the investment in
ADRs/GDRs and offshore funds in addition to investment by Foreign Institutional
Investors (FIIs).

Prior to 1992, only non-resident Indians (NRIs) and Overseas corporate bodies (OCBs)
were allowed to undertake portfolio investment in India. Only on September 14, 1992 the
Government of India issued guidelines on FII investments in India which was followed
by a notification by Securities and Exchange Board of India (SEBI) three years later in
November 1995. Ever since the opening up of the market for FIIs, the net investments by
FIIs have always been positive every year except in the year 1998-99 where the net

9
investment was negative primarily because of the uncertainty that prevailed after India
tested a series of nuclear bombs in May 1998 and the imposition of the economic
sanctions by the United States, Japan and other industrialized countries. On an average
India has received cross border portfolio investment of around US $ 2.2 billion per year
between 1992-93 and 2002-03 of which close to US $ 1.2 billion per year on an average
is the share of FIIs. The cumulative FII investment in India is around US $ 19 billion and
the FII investment in India account for over 10 per cent of the total market capitalization
of the Indian stock market.

The investments by FIIs have been registering a steady growth since the opening of the
Indian capital markets in September 1992. That this trend has come to stay is evident
from the fact that the FIIs investment in equity and debt markets amounted to Rs.130
billion in the first quarter of calendar 2004, nearly 447% higher than Rs.24 billion in the
corresponding period of calendar 2003. Equity investments by FIIs amounted to Rs.112
billion between January and March 2004 as compared with Rs.17 billion in the
corresponding period last year. The equity investments by FIIs in the first quarter of
calendar 2004 are close to 50% of the total equity investments worth Rs.244 billion made
in the year 2003.

Table 2
FII investment in India
Year Total portfolio Flows FII GDRs / ADRs Offshore Funds
1992-93 244 1 240 3
1999-00 3026 2135 768 123
2000-01 2760 1847 831 82
2001-02 2021 1505 477 39
2002-03 979 377 600 2

Graph No 2

10
 FII Investment in India(US $ mn)

3500

3000

2500
Offshore Funds
2000
GDRs / ADRs
1500
FII
1000

500

0
1992-93 1999-00 2000-01 2001-02 2002-03
Year

Table No 3
Table showing Trend OF FII activities in India

Year Purchases Sales Net Net

(Rs mn) (Rs mn) (Rs mn) (US$ mn)
2005 390,393 302,064 88,329 2,012
2004 1,856,720 1,467,070 389,650 8,519.40
2003 944,120 639,535 304,585 6,594.60
2002 464,790 428,498 36,292 752.9
2001 517,792 386,510 131,284 2,807.30
2000 747,907 684,211 63,697 1,461.40
1999 364,303 298,630 65,672 1,534.80
1998 138,998 153,797 -14,799 -338
1997 189,265 127,192 62,073 1,746.70
1996 157,392 49,356 108,036 3,058.20
1995 66,659 28,122 38,538 1,191.40
1994 92,672 24,761 67,912 2,164.80
1993 26,619 668 25,951 827.2

Graph No 3

11
 FII Investment in India(Rs mn)

450,000
400,000
350,000
300,000
250,000
200,000
150,000
100,000
50,000
0
-50,000 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Year

3.1.3 Source of FII flow

The sources of these FII flows are varied. The FIIs registered with SEBI come from as
many as 28 countries (including money management companies operating in India on
behalf of foreign investors).
1. US-based institutions accounted for slightly over 41%
2. UK constitute about 20%
3. Western European countries hosting another 17% of the FIIs
4. The remaining 22% by other countries

It is, however, instructive to bear in mind that these national affiliations do not necessarily
mean that the actual investor funds come from these particular countries. Given the
significant financial flows among the industrial countries, national affiliations are very
rough indicators of the ‘home’ of the FII investments. In particular institutions operating
from Luxembourg, Cayman Islands or Channel Islands, or even those based at Singapore
or Hong Kong are likely to be investing funds largely on behalf of residents in other

12
countries. Nevertheless, the regional breakdown of the FIIs does provide an idea of the
relative importance of different regions of the world in the FII flows.

Factors affecting FII flows

FII flows and stock returns: FII flows depend on the performance of the stock exchange
of the country. The EPS of the stock exchange of the country is one of the important
factors which have a bearing on the FII flows in to the country. The FIIs study the
average EPS of various countries’ stock exchange and invest in the profitable ones. The
specific return of specific stocks also influences the FII decisions.

Country risk measures: This includes political and other risks in addition to the usual
economic and financial variables, which may be expected to have an impact on portfolio
flows to India though they are likely to matter more in the case of FDI flows.

3.2 FOREIGN INSTITUTIONAL INVESTOR

The term Foreign Institutional Investor is defined by SEBI as under:
"Means an institution established or incorporated outside India which proposes to make
investment in India in securities. Provided that a domestic asset management company or
domestic portfolio manager who manages funds raised or collected or brought from
outside India for investment in India on behalf of a sub-account, shall be deemed to be a
Foreign Institutional Investor."

3.2.1 SUB ACCOUNT

Sub-account" includes those institutions, established or incorporated outside India and
those funds, or portfolios, established outside India, whether incorporated or not, on
whose behalf investments are proposed to be made in India by a Foreign Institutional
Investor.

13
3.2.3 FOREIGN INVESTMENTS IN INDIAN CAPITAL MARKETS
India’s decision in 1991 to permit Foreign Institutional Investors (FIIs) to invest in India
was a major step in the globalization of Indian capital market. FIIs have played a major
role in India’s secondary markets and have virtually re written the rules of the market in
recent years. FIIs drive the stock market, especially in technology and media stocks, using
international valuation models and even linking NASDAQ trends with Indian market
capitalization values. The Reserve Bank of India monitors FII activity in a daily basis.

Foreign companies/Individuals are permitted to invest in equity shares traded in Indian

Stock markets if they are registered as a Foreign Institutional Investor (FII) or if they
have a sub account in India.

Investment in Indian securities is also possible through the purchase of Global Depository
Receipts (GDR), American Depository Receipts (ADR), Foreign Currency Convertible
Bonds and Foreign Currency Bonds issued by Indian issuers, which are listed, traded and
settled overseas and mainly denominated in US dollars.

Foreign Investors (whether registered as a FII or not) can also invest in Indian securities
outside the FII route. Such investments require case-by-case approval from the Foreign
Investment Promotion Board in the Ministry of Industry and Reserve Bank of India
(RBI), or only by the RBI depending on the size of the investment and the industry in
which this investment is to be made.

FII investments in Indian capital market are more than US $ 11,000 million. Indian Stock
market with a market capitalization of over US $ 165,000 million has been a major
attraction for investors all over the world, because of the new economy boom and
excellent functioning of Stock Exchanges in the Country. The combined daily turnover of
National Stock Exchange (NSE) and The Stock Exchange, Mumbai (BSE) is in excess of
US $ 30,000 million. The screen base trading of NSE and BSE provides transparency in
execution of orders, settlement & trade guarantees and elimination of risk of bad
deliveries (in case of dematerialized shares, which constitute over 90% of trade).

14
3.3 INVESTMENT STRUCTURE OF FII INVESTING

3.4 REGULATION RELATING TO FII OPERATION

15
Regulations Regarding Portfolio Investments by Foreign Institutional Investors
(FIIs)
 Investment by FIIs is regulated under SEBI (FII) Regulations, 1995 and
Regulation 5(2) of FEMA Notification No.20 dated May 3, 2000. SEBI acts as the
nodal point in the entire process of FII registration.
 FIIs are required to apply to SEBI in a common application form in
duplicate. A copy of the application form is sent by SEBI to RBI along with their
'No Objection' so as to enable RBI to grant necessary permission under FEMA.
 RBI approval under FEMA enables an FII to buy/sell securities on stock
exchanges and open foreign currency and Indian Rupee accounts with a designated
bank branch.
 FIIs are required to allocate their investment between equity and debt
instruments in the ratio of 70:30. However, it is also possible for an FII to declare
itself a 100% debt FII in which case it can make its entire investment in debt
instruments.
 FIIs can invest in listed and unlisted securities including shares, debt
instruments dated Government Securities and Treasury Bills. No individual FII/sub-
account can acquire more than 10% of the paid up capital of an Indian company.
 All FIIs and their sub-accounts taken together cannot acquire more than
24% of the paid up capital of an Indian Company. Indian Companies can raise the
above mentioned 24% ceiling to the Sectoral Cap / Statutory Ceiling as applicable
by passing a resolution by its Board of Directors followed by passing a Special
Resolution to that effect by its General Body
 Presence of Sectoral Cap/ Statutory ceiling means that foreign investment
from all sources cannot exceed a specified level. A Company to which no sectoral
cap/statutory ceiling is applicable can raise the limit of permissible FII investment
to 100% of the paid up capital.
 A Company to which a 49% cap is applicable can raise the limit of
permissible FII investment to 49% and if there is an existing foreign direct
investment of 15%, possible FII investment can only be up to 34%.
 No permission from RBI is needed so long as the FIIs purchase and sell on
recognized stock exchange.

16
  All non-stock exchange sales/purchases require RBI permission.
 In order to ensure that the sectoral / statutory ceilings on foreign
investment in a company are not violated due to investment by FIIs, RBI monitors
these ceilings for the companies in respect of which sectoral caps /statutory ceiling
have been indicated by Government of India.
 When the total holdings of FIIs reaches within 2% of the applicable limit,
Reserve Bank issues a notice to all concerned that any further purchases of the
shares of the said Company requires prior approval of RBI.
 High Net worth Individuals /foreign corporates can invest through SEBI
Registered FIIs subject to a sub-limit of 5% each within the aggregated limit of
24%.
 Registered Foreign Institutional Investors (FIIs) are allowed to trade in all
exchange traded derivative contracts approved by SEBI from time to time subject to
the limits prescribed by SEBI.

3.4.2 Eligibility Criteria to be fulfilled by the Applicant Seeking FII Registration

As per Regulation 6 of SEBI (Foreign Institutional Investors) Regulations, 1995, Foreign
Institutional Investors are required to fulfill the following conditions to qualify for grant
of registration:
 Applicant should have track record, professional competence, financial soundness,
experience, general reputation of fairness and integrity;
 The applicant should be regulated by an appropriate foreign regulatory authority
in the same capacity/category where registration is sought from SEBI.
Registration with authorities, which are responsible for incorporation, is not
adequate to qualify as Foreign Institutional Investor.
 The applicant is required to have the permission under the provisions of the
Foreign Exchange Management Act, 1999 from the Reserve Bank of India.
 Applicant must be legally permitted to invest in securities outside the country or
its in-corporation / establishment.
 The applicant must be a "fit and proper" person.

17
  The applicant has to appoint a local custodian and enter into an agreement with
the custodian. Besides it also has to appoint a designated bank to route its
transactions.
 Effect Payment of registration fee of US $ 5,000.00.

Investments
Foreign corporate and foreign individuals are eligible to make investments only through
the equity route. The equity investment route permits upto 30% investments in debt
instrument. At least 70% of the investments have to be parked in equity related
instruments which include:
 Securities in primary and secondary markets (listed or unlisted)
 Units of scheme floated by Unit Trust of India and other domestic mutual funds
(listed or unlisted)
 Warrants and derivative instruments

FIIs and the Sub-Accounts are permitted to tender their securities directly in response to
open offer made in terms of the SEBI (Substantial Acquisitions of Shares and Takeovers)
Regulations, 1997. FII and the Sub-Accounts are also permitted to offer their shares in
case of buyback of securities and also to lend securities through an approved
intermediary.

Investment limits:
 A FII or a Sub-Account can hold upto 10% of paid up equity capital of any
company.
 The total investments made by all the foreign corporates and foreign individuals
shall not exceed 5% of total issued capital of that company within the aggregate
limit for FII portfolio investments.
 The total investments by FII and Sub-Accounts in any Indian Company cannot
exceed 24% of its total paid up capital.

18
  However, in certain companies, which have passed a Special Resolution in this
regard, the total FII investment can be made up to 49% of the paid up capital. This
limit of 24% / 49% is exclusively available for investments by FII only.
 It may further be noted that this limit of 24% does not include investments made
by FII outside the Portfolio investments route i.e., through the direct investment
approval process. Investments made offshore through purchases of GDR, ADR
and convertibles are also excluded.

3.4.3 Portfolio Investment by Foreign Institutional Investors 

A country with a developing economy cannot depend exclusively on its own domestic
savings to propel its economy's rapid growth. The domestic savings of India presently are
25% of its GDP. But this can provide only a 2 to 3% growth of its economy on annual
basis. The country has to maintain an 8 to 10% growth for a period of two decades to
reach the level of advanced nations and to wipe out widespread poverty of its people. The
gap is to be covered by inflow of foreign investment along with advanced technology.

3.4.4 Taxation and Repatriation:

The taxation norms applicable to a FII are shown in the table below.

Nature of Income Tax Rate

Long-term capital gains 10%
Short-term capital gains 30%
Dividend Income Nil
Interest Income 20%

Long term capital gain: Capital gain on sale of securities held for a period of more than
one year.
Short term capital gain: Capital gain on sale of securities held for a period of less than
one year.

19
Liberal Tax Concessions are offered to the FIIs to attract them to invest in Indian
Securities Market. The taxation of income of Foreign Institutional Investors from
securities or capital gains arising from their transfer for the present, shall be as under: -
 The income received in respect of securities (other than units of offshore funds
covered by section 115 AB of the Income-Tax Act) is to be taxed at the rate of
20%.
 Income by way of long-term capital gains arising from the transfer of the said
securities is to be taxed at the rate of 10%.
 Income by way of short-term capital gains arising from the transfer of the said
securities is to be taxed at the rate of 30%.

The expression "securities" include Shares, Scrips, stocks, bonds, debentures, debenture
stocks or other marketable securities of a like nature in or of any incorporated or other
body corporate; Government securities; and Rights or interests in securities

On this new path of liberalisation of the Indian economy, portfolio investments by

Foreign Institutional Investors (FIIs) in primary or secondary markets are allowed subject
to a ceiling of 24 per cent of issued share capital for the total holdings of all registered
FIIs in any one company. The ceiling would apply to all holdings taking into account the
conversions out of the fully or partly convertible debentures issued by the company. Also
the holding of a single FII in any company would also be subject to a ceiling of 5 per cent
of total issued capital. For this purpose, the holding of an FII group will be counted as
single FII. Further the maximum holding of 24 per cent for all nonresident FIIs will also
include NRI and OCB investments but will not include Offshore Single Regional Funds,
Global Depository Receipts and Euro Convertible Bonds.
The most important feature of the guidelines issued by the Finance Ministry, Government
of India is that there will be no restriction on the volume of investments of FIIs and no
lock-in period prescribed for the purposes of such investments made by FIIs.

20
3.5 CATEGORIES OF FIIS WHO ARE AUTHORISED TO INVEST IN
PORTFOLIO OF SECURITIES IN INDIA

Category -1: The applicant should belong to any of the following categories:

 Pension Funds

 Mutual Funds: A security that gives small investors access to a well diversified
portfolio of equities, bonds, and other securities. Each shareholder participates in
the gain or loss of the fund. Shares are issued and can be redeemed as needed. The
fund's net asset value (NAV) is determined each day. Each mutual fund portfolio
is invested to match the objective stated in the prospectus.

 Investment Trust: Investment trusts are companies that invest in the shares of
other companies. They pool investors' money and generally delegate to a
professional fund manager to invest in the shares of a wider range of companies
than most people could practically invest in themselves. The investment trust
often has no employees, only a board of directors comprising only non-executive
directors. Investment trusts are traded on stock exchanges like other public
companies. The share price does not always reflect the underlying value of the
share portfolio held by the investment trust. In such cases, the investment trust is
referred to as trading at a discount (or premium) to NAV (net asset value). The
investment trust sector, in particular split capital investment trusts have suffered
somewhat over the last few years.

 Insurance or reinsurance companies: Insurance companies may be classified as:

 Life insurance companies, who sell life insurance, annuities and pensions
products.
 Non-life or general insurance companies, who sell other types of insurance.
Insurance companies are also often classified as either mutual or stock
companies. This is more of a traditional distinction as true mutual companies
are becoming rare. Mutual companies are owned by the policyholders, while
stockholders, (who may or may not own policies) own stock insurance
companies.

21
 Reinsurance companies are insurance companies that sell policies to other
insurance companies, allowing them to reduce their risks and protect themselves
from very large losses. The reinsurance market is dominated by a few very large
companies, with huge reserves.

 Endowment Funds: the capital that provides income for an institution

 University Funds

 Foundations or Charitable Trusts or Charitable Societies who propose to

invest on their own behalf.

Category -2: FIIs who propose to invest their proprietary funds or on behalf of
"broad based" funds or on of foreign corporates and individuals.

 Asset Management Companies: A highly regulated organization that pools

money from many people into portfolio structured to achieve certain objectives.

 Nominee Companies

 Institutional Portfolio Managers

 Trustees

 Power of Attorney Holders

 Bank

22
 3.6 MAURITIUS ROUTE TAKEN BY FIIS

Double Taxation Avoidance Agreements (DTAA)

The Double Tax Avoidance Agreements (DTAA) are essentially bilateral agreements
entered into between two countries, in our case, between India and another foreign state.
The basic objective is to promote and foster economic trade and investment between two 
countries by avoiding double taxation.

The advantages of DTAA are as under,

 Lower Withholding Taxes
 Complete Exemption of Income from Taxes
 Underlying Tax Credits
 Tax Sparing Credits

India has entered into a DTAA agreement with Mauritius. Mauritius Double Taxation
Avoidance Treaty is being used by the FIIs, Indian corporate houses and other speculators
to avoid paying taxes in the country. FIIs are using this route fraudulently to avoid paying
legitimate taxes in India. Not only did the finance ministry protect the tax-dodging FIIs, it
also "clarified" further that this would apply to all investments routed through Mauritius.
It is now clear that Mauritius is emerging as a vital hub in the speculative activities in the
Indian stock market and the finance minister is an active accomplice.

International giants such as Merrill Lynch, GE Capital and Enron routed their investments
through Mauritius, whose fiscal laws are so framed as to make it an attractive “pass
through”. It is no doubt true that nameplate companies are masquerading as FIIs
established in Mauritius. It is also true that tax treaties with countries promising tax
exemptions have been found to be a convenient fig leaf for governments of emerging
markets.

The Finance Ministry’s decision to treat any Foreign Institutional Investor (FII) who has a
Branch office in as a Mauritius Company under the Double Taxation Avoidance Treaty
with Mauritius will lead to considerable tax loss to the national exchequer.

23
Under the Income Tax Act, a foreign Company is liable to pay tax in India if the income
accrues in India. Obviously, any profit from buying and selling shares in the Indian Stock
market is income in India; an FII operating in India is therefore to be taxed in India under
the Income Tax Act. If it is a short term gain (profits made due to such sales within the
year), the short term capital gains tax of 30% apply and if the stocks have been held for
more than a year, a 10% capital gains tax apply on such proceeds. Thus, this is the range
of taxation that should apply on the FIIs’ profits from stock market.

The Double Taxation treaties that India has with most countries are meant for not taxing
the same income at both ends. Thus if a US company operates in India, under the double
taxation treaty with US, the Indian income will not be taxed in US again as this has
already been taxed in India. Under the special provisions of the Double Tax Avoidance
Agreement with Mauritius, individuals and companies that are residents of Mauritius can
pay their tax there, instead of in India. However, to qualify as a resident of Mauritius
under the clauses of the Treaty, the company’s management will have to be located in
Mauritius; Mauritius, it may not be noted has no capital gains tax. If the double taxation
treaty with US is considered, an American FII will have to pay capital gains tax in India
and dividend tax in the US. However, this does not help these FIIs; therefore adoption of
the Mauritius route.

The FIIs have tried to use the Mauritius route to avoid paying capital gains tax. Out of the
521 FIIs registered with SEBI, only one is shown as registered in Mauritius. What these
FIIs have done is that they have registered a branch office as an “Overseas Company” in
Mauritius.

The loss of tax revenue, under a situation where the government claims it is short of
resources, is one of the issues. The other major issue is the impact of hot money flows in
and out of the Indian stock exchange. In order to reduce short term flows and encourage
long term investments, the short term capital gains tax is 30% as against long term capital
gains tax of 10%. However as Mauritius has no capital gains tax, this means that the FIIs
can take money in and out of the Indian bourses at will.

24
 3.7 FOREIGN DIRECT INVESTMENTS AND PORTFOLIO
INVESTMENT

Foreign Direct Investment

 A company from one country obtains controlling interest in a (new or existing)
firm in another country, and then operates that firm as a part of the multinational
business of the investing firm
 FDI may be financed through parent company transfer of funds to the new
affiliate, borrowing from home-country lenders, borrowing in the host country by
the parent company, or any combination of these strategies.
 Exists in principle when the foreign firm has de facto control over the host-
country firm. (Control of assets)
 Does not require international transfer of fund but of ownership which may
finance the transaction in diverse ways

Portfolio Investment
 a firm buys stocks, bonds, and/or other financial instruments that do not involve
management of the assets
 Requires international transfer of funds

There are differences, between FDI and the other flows. FDI is problematic for foreign
investors because it means bringing into a country managerial capacity and organisation.
In contrast, FII is easy. Only money needs to be invested for earning returns. No effort is
required to build organisational capacity for operating in that market. But if a country
does not have a well-developed stock market, foreign investment has limited choices.

Today, it is relatively effortless for a foreign institutional investor (FII) to enter the capital
market. A Sebi registration, proceeded by a fairly perfunctory due diligence, is all it takes
before an FII can enter the Indian stock market and commence trading. Exit is equally
simple.

25
For FDI, however, both entry and exit are far more difficult. Even in sectors opened to
FDI on paper, problems remain at the grassroots. There are innumerable clearances that
need to be obtained at the state and district levels. There are also a number of practical
hurdles, such as infrastructure bottlenecks, all of which make entry difficult. Exit is more
complicated.

3.8 RECENT TRENDS IN FOREIGN INVESTMENT

FII inflows to India during the last six-month period of Nov 2004 to April 2005 have
exceeded US $8 billion. FDI flows have been less than one third of this amount. Very
often arguments are made that this is not good. Instead of having so much portfolio
investment, India should have been attracting more FDI. However, contrary to this
common belief, research suggests that attracting FII may be a sign of good health and
attracting FDI, a sign of bad health of the economy. In contrast to the commonly held
unfavorable view of FII flows, evidence suggests that countries with good institutions and
markets attract more FII, while countries with poor laws and institutions attract more FDI.

FDI is problematic for foreign investors because it means bringing into a country
managerial capacity and organisation. In contrast, FII is easy. Only money needs to be
invested for earning returns. No effort is required to build organisational capacity for
operating in that market. But if a country does not have a well-developed stock market,
foreign investment has limited choices. In the well-developed markets of Europe, for
instance, the share of FII in total capital flows is high. In contrast, in the countries of
Africa, FDI is the dominant form of foreign investment flows. However, too many
investors do not want to venture into poor countries so the total foreign private inflows
are small.

26
 3.9 MUTUAL FUNDS

A Mutual Fund is a trust that pools the savings of a number of investors who share a
common financial goal. The money thus collected is then invested in capital market
instruments such as shares, debentures and other securities. The income earned through
these investments and the capital appreciation realised are shared by its unit holders in
proportion to the number of units owned by them. Thus a Mutual Fund is the most
suitable investment for the common man as it offers an opportunity to invest in a
diversified, professionally managed basket of securities at a relatively low cost. The flow
chart below describes broadly the working of a mutual fund:
   

Mutual Fund Operation Flow Chart

The money thus collected is then invested by the fund manager in different types of
securities. These could range from shares to debentures to money market instruments,
depending upon the scheme's stated objective. The income earned through these
investments and the capital appreciation realised by the scheme are shared by its unit
holders in proportion to the number of units owned by them. Thus a Mutual Fund is the
most suitable investment for the common man as it offers an opportunity to invest in a
diversified, professionally managed basket of securities at a relatively low cost.

27
3.9.1 Types of mutual funds
By Structure
Open-ended schemes are open for subscription the whole year. They do not have a
fixed maturity. You can buy and sell your units at the NAV related prices to the Mutual
funds.

Close-ended schemes can be subscribed to, only during the initial public offer and
thereafter you can buy and sell the units of the scheme on the stock exchange where they
are listed. They have a stipulated Maturity period the duration of which is generally 2 to
15 years. They are usually traded at a discount to the NAV.

By investments objective

Growth/Equity Funds
Equity funds (often described as growth funds) aim to provide capital growth by investing
in the shares of individual companies. Depending on the fund’s objective, this could
range from large blue-chip organizations to small and new businesses. Any dividends
received by the fund can be reinvested by the fund manager to provide further growth or
paid to investors. Both risk and returns are high but they could be a good investment if
you have a long-term perspective and can stay invested for at least five years.

Debt/Income Funds
The aim of debt or income funds is to make regular payments to its investors, although
dividends can be reinvested to buy more units of the fund. To provide with a steady
income, these funds generally invest in fixed income securities such as bonds, corporate
debentures, government securities (gilts) and money market instruments. Hence they are
relatively safer than equity funds. At the same time the expected returns from debt funds
would be lower.

Balanced Funds
As the name suggests, these funds aim for balance, so they are made up of a mixture of
equities and debt instruments. They match the goals of investors who seek to grow their

28
capital and get regular income, while retaining relatively low risk. The debt or bond
element of the fund provides a level of income and acts as the safety net during dynamic
periods in the market, while equities provide the potential for capital appreciation.

Money market or liquid funds

are an appealing alternative to bank deposits because they aim to provide stability,
liquidity, capital preservation and slightly higher interest rates than bank accounts. When
you invest in a money market fund, the fund manager invests in ‘cash’ assets such as
treasury bills, certificates of deposit and commercial paper. Returns on these
funds fluctuate much less compared to other funds, but they are not guaranteed. They are
appropriate for corporate and individual investors who wish to park their surplus money
in a fund for a short period.

Gilt Funds
Gilt Funds are debt funds, which invest only in Government Securities and hence have
zero credit risk. However it does involve Interest Rate Risk.

Marginal Equity Funds

These are funds, which have predominant investment of atleast 75% in debt instruments
& the balance in equities. These funds will get you the security of Debt with the flavour
of equities.

Sectoral funds These are specialty mutual funds that invest in stocks that fall into a
certain sector of the economy. Here the portfolio is dispersed or spread across the stocks
in a particular sector.This type of scheme is ideal for the investor who has already made
up his mind to confine his risk and return to one particular sector. Thus, a FMCG fund
would invest in companies that manufacture fast moving consumer goods.

29
 Table No 4
Table showing Net Mutual Fund inflow into Stock Exchange

Year* Purchases Sales Net Investment

   (Rs mn) (Rs mn) (Rs mn)
(Upto Feb )2005 76,125 69,619 6,505
2004 1,75,988 1,93,953 -17,966
2003 2,85,502 2,81,478 4,025
2002 1,43,818 1,73,304 -30,181
2001 1,22,196 1,72,459 -50,259
2000 1,78,788 1,86,138 -7347

Graph No 4

Net MF Investment (Rs mn)

10,000

0
2001 2002 2003 2004 (Upto Feb )2005
-10,000

-20,000

-30,000

-40,000

-50,000

-60,000
Year

The mutual fund is an important institution in Stock market operation. Even though MFs
are active trader in stock exchange, they are not influencing much on the share prices. In
most of the year the MFs indulged in negative net investment despite of heavy purchases.
Most of the mutual funds are concentrating on the debt and government securities market
in order to meet the various objectives of the investors.

30
 3.10 NATIONAL STOCK EXCHANGE

The Organisation
The National Stock Exchange of India Limited has genesis in the report of the High
Powered Study Group on Establishment of New Stock Exchanges, which recommended
promotion of a National Stock Exchange by financial institutions (FIs) to provide access
to investors from all across the country on an equal footing. Based on the
recommendations, NSE was promoted by leading Financial Institutions at the behest of
the Government of India and was incorporated in November 1992 as a tax-paying
company unlike other stock exchanges in the country.

On its recognition as a stock exchange under the Securities Contracts (Regulation) Act,
1956 in April 1993, NSE commenced operations in the Wholesale Debt Market (WDM)
segment in June 1994. The Capital Market (Equities) segment commenced operations in
November 1994 and operations in Derivatives segment commenced in June 2000.

S&P CNX Nifty
The S&P prefix belongs to the US-based Standard & Poor's Financial Information
Services. S&P owns the most important index in the world, the S&P 500 index, which is
the foundation of the largest index funds and most liquid index futures markets in the
world.

When S&P came to India to look at market indices, they focused upon the S&P CNX
Nifty as opposed to alternative indices. They now stand behind the S&P CNX Nifty, as is
evidenced by the name "S&P CNX Nifty"

CNX stands for CRISIL NSE Indices. CNX ensures common branding of indices, to
reflect the identities of both the promoters, i.e. NSE and CRISIL. Thus, 'C' stands for
CRISIL, 'N' stands for NSE and X stands for Exchange or Index.

Working Of S&P CNX Nifty

S&P CNX Nifty is based upon solid economic research. A trillion calculations were
expended to evolve the rules inside the S&P CNX Nifty index. The results of this work
are remarkably simple:

31
(a) The size of the stock is 50.
(b) Stocks considered for the S&P CNX Nifty must be liquid by the `impact cost' criterion
(c) The largest 50 stocks that meet the criterion go into the index.

Features of NSE Nifty

Diversification: S&P CNX Nifty is a more diversified index, accurately reflecting overall
market conditions. The reward-to-risk ratio of S&P CNX Nifty is higher than other
leading indices, making it a more attractive portfolio hence offering similar returns, but at
lesser risk.

Liquidity: Over one year (October 1998 to October 1999), the trading volume on NSE
for Nifty stocks was Rs.3.5 trillion, giving a liquidity ratio of 105%. The `liquidity ratio'
is defined as trading volume over one year divided by market capitalization today.

Hedging effectiveness: The basic risk of Nifty futures will be lower owing to the
superior liquidity of Nifty stocks and of NSE. Nifty has higher correlations with typical
portfolios in India as compared to any other   index. These two factors imply that hedging
using Nifty futures will be superior.

Governance: Nifty is managed by a professional team at IISL, a company setup by NSE

and CRISIL with technical assistance from Standard & Poor's. There is a three-tier
governance structure comprising the board of directors of IISL, the Index Policy
Committee, and the Index Maintenance Subcommittee. S&P CNX Nifty has fully
articulated and professionally implemented rules governing index revision, corporate
actions, etc. These rules are carefully thought out, under Indian conditions, to dovetail
with operational problems of index funds and index arbitrageurs. S&P CNX Nifty is
relatively free of manipulation, for three reasons:
(a) the index levels are calculated from a highly liquid exchange with superior
surveillance procedures
(b) S&P CNX Nifty has a large market capitalisation so the consequence (upon the
index) of a given move in an individual stock price is smaller and

32
(c) S&P CNX Nifty calculation intrinsically requires liquidity in proportion to market
capitalisation, thus avoiding weak links which a manipulator can attack. Users of the
S&P CNX Nifty benefit from the research that is possible owing to the long time-
series available: both S&P CNX Nifty and S&P CNX Nifty Total Returns Index
series are observed from July 1990 onwards. S&P CNX Nifty is backed by solid
economic research and three most respected institutions: NSE, CRISIL and S&P.

Table NO 5
Composition of S&P CNX Nifty
Sl no Company name Industry
1 ABB Ltd. Electrical equipment
2 Associated Cement Companies Ltd. Cement and cement products
3 Bajaj Auto Ltd. Automobiles - 2 and 3 wheelers
4 Bharat Heavy Electricals Ltd. Electrical equipment
5 Bharat Petroleum Corporation Ltd. Refineries
6 Bharti Tele-Ventures Ltd. Telecommunication - services
7 Cipla Ltd. Pharmaceuticals
8 Colgate-Palmolive (India) Ltd. Personal care
9 Dabur India Ltd. Personal care
10 Dr. Reddy's Laboratories Ltd. Pharmaceuticals
11 Gail (india) Ltd. Gas
12 Glaxosmithkline Pharmaceuticals Ltd. Pharmaceuticals
13 Grasim Industries Ltd. Cement and cement products
14 Gujarat Ambuja Cements Ltd. Cement and cement products
15 HCL Technologies Ltd. Computers - software
16 HDFC Bank Ltd. Banks
17 Hero Honda Motors Ltd. Automobiles - 2 and 3 wheelers
18 Hindalco Industries Ltd. Aluminium
19 Hindustan Lever Ltd. Diversified
20 Hindustan Petroleum Corporation Ld. Refineries
21 Housing Development Finance
Finance - housing
Corporation Ltd.
22 ITC Ltd. Cigarettes
23 ICICI Bank Ltd. Banks
24 Indian Petrochemicals Corporation
Petrochemicals
Ltd.
25 Infosys Technologies Ltd. Computers – software
26 Larsen & Toubro Ltd. Engineering
27 Mahanagar Telephone Nigam Ltd. Telecommunication - services
28 Mahindra & Mahindra Ltd. Automobiles - 4 wheelers
29 Maruti Udyog Ltd. Automobiles - 4 wheelers

33
 30 National Aluminium Co. Ltd. Aluminium
31 Oil & Natural Gas Corporation Ltd. Oil exploration/production
32 Oriental Bank Of Commerce Banks
33 Punjab National Bank Banks
34 Ranbaxy Laboratories Ltd. Pharmaceuticals
35 Reliance Energy Ltd. Power
36 Reliance Industries Ltd. Refineries
37 Satyam Computer Services Ltd. Computers – software
38 Shipping Corporation Of India Ltd. Shipping
39 State Bank Of India Banks
40 Steel Authority Of India Ltd. Steel and steel products
41 Sun Pharmaceutical Industries Ltd. Pharmaceuticals
42 Tata Chemicals Ltd. Chemicals – inorganic
43 Tata Consultancy Services Ltd. Computers – software
44 Tata Iron & Steel Co. Ltd. Steel and steel products
45 Tata Motors Ltd. Automobiles - 4 wheelers
46 Tata Power Co. Ltd. Power
47 Tata Tea Ltd. Tea and coffee
48 Videsh Sanchar Nigam Ltd. Telecommunication - services
49 Wipro Ltd. Computers – software
50 Zee Telefilms Ltd. Media & entertainment

3.11 FII and Indian Stock Market

Movements in the Nifty during the last two years have clearly been driven by the
behaviour of foreign institutional investors (FIIs), who were responsible for net equity
purchases of as much as Rs 944 mn and Rs 1850 million respectively in 2003 and 2004.
These figures compare with a peak level of net purchases of Rs 156 million as far back as
1996 and net investments by FIIs of just $753 million in 2002. In sum, the sudden FII
interest in Indian markets in the last two years account for the two bouts of medium-term
buoyancy that the Sensex recently displayed.

The cumulative stock of FII investment, totaling $30.3 billion at the end of 2004,
amounted to just 8 per cent of the $383.6 billion total market capitalisation on the
Bombay Stock Exchange. However, FII transactions were significant at the margin.
Purchases by FIIs of $31.17 billion between April and December 2004 amounted to
around 38.4 per cent of the cumulative turnover of $83.13 billion in the market during

34
that period, whereas sales by FIIs amounted to 29.8 per cent of turnover. Not surprisingly,
there has been a substantial increase in the share of foreign stockholding in leading Indian
companies. According to one estimate, by end-2003, foreigners had cornered close to 30
per cent of the equity in India's top 50 companies - the Nifty 50. In contrast, foreigners
collectively owned just 18 per cent in these companies at the end of 2001 and 22 per cent
in December 2002.

A recent analysis estimated that at the end of June 2004, FIIs controlled on average 21.6
per cent of shares in Sensex companies. Further, if we consider only free-floating shares,
or shares normally available for trading because they are not held by promoters,
government or strategic shareholders, the average FII holding rises to more than 36 per
cent. In a third of Sensex companies, FII holding of free-floating shares exceeded 40 per
cent of the total.

Given this presence of FIIs, their role in determining share price movements must be
considerable. Indian stock markets are known to be narrow and shallow in the sense that
there are few companies whose shares are actively traded. Thus, though there are more
than 4,700 companies listed on the stock exchange, the BSE Sensex incorporates just 30
companies, trading in whose shares is seen as indicative of market activity. This
shallowness would also mean that the effects of FII activity would be exaggerated by the
influence their behaviour has on other retail investors, who, in herd-like fashion tend to
follow the FIIs when making their investment decisions.

These features of Indian stock markets induce a high degree of volatility for four reasons.
In as much as an increase in investment by FIIs triggers a sharp price increase, it would in
the first instance encourage further investments so that there is a tendency for any
correction of price increases unwarranted by price earnings ratios to be delayed. And
when the correction begins, it would have to be led by an FII pullout and can take the
form of an extremely sharp decline in prices.

Secondly, as and when FIIs are attracted to the market by expectations of a price increase
that tend to be automatically realised, the inflow of foreign capital can result in an

35
appreciation of the rupee vis-à-vis the dollar (say). This increases the return earned in
foreign exchange, when rupee assets are sold and the revenue converted into dollars. As a
result, the investments turn even more attractive, triggering an investment spiral that
would imply a sharper fall when any correction begins.

Thirdly, the growing realisation by the FIIs of the power they wield in what are shallow
markets, encourages speculative investment aimed at pushing the market up and choosing
an appropriate moment to exit. This implicit manipulation of the market, if resorted to
often enough, would obviously imply a substantial increase in volatility.

Finally, in volatile markets, domestic speculators too attempt to manipulate markets in

periods of unusually high prices. Thus, most recently, the Securities and Exchange Board
of India (SEBI) is supposed to have issued show-cause notices to four as-yet-unnamed
entities, relating to their activities on around Black Monday, May 17, 2004, when the
Sensex recorded a steep decline to a low of 4505.

The last two years have been remarkable because, though these features of the stock
market imply volatility; there have been more months when the market has been on the
rise rather than on the decline. This clearly means that FIIs have been bullish on India for
much of that time. The problem is that such bullishness is often driven by events outside
the country, whether it is the performance of other equity markets or developments in
non-equity markets elsewhere in the world. It is to be expected that FIIs would seek out
the best returns as well as hedge their investments by maintaining a diversified
geographical and market portfolio. The difficulty is that when they make their portfolio
adjustments, which may imply small shifts in favour of or against a country like India, the
effects it has on host markets are substantial. Those effects can then trigger a speculative
spiral for the reasons discussed above, resulting in destabilising tendencies. Thus the end
of the bull run in January was seen to be the result of a slowing of FII investments, partly
triggered by expectations of an interest rate rise in the U.S.

These aspects of the market are of significance because financial liberalisation has meant
that developments in equity markets can have major repercussions elsewhere in the

36
system. With banks allowed to play a greater role in equity markets, any slump in those
markets can affect the functioning of parts of the banking system.

Similarly, if any set of developments encourages an unusually high outflow of FII capital
from the market, it can impact adversely on the value of the rupee and set of speculation
in the currency that can, in special circumstances, result in a currency crisis. There are
now too many instances of such effects worldwide for it to be dismissed on the ground
that India's reserves are adequate to manage the situation.

Thus, the volatility being displayed by India's equity markets warrant returning to a set of
questions that have been bypassed in the course of neo-liberal reform in India. The most
important of those questions is whether India needs FII investment at all. With the current
account of the balance of payments recording a surplus in recent years, thanks to large
inflows on account of non-resident remittances and earnings from exports of software and
Information Technology-enabled services, we do not need those FII flows to finance
foreign exchange expenditures. Neither does such capital help finance new investment,
focused as it is on secondary market trading of pre-existing equity. And finally, we do not
need to shore up the Sensex, since such indices are inevitably volatile and merely help
create and destroy paper wealth and generate, in the process, inexplicable bouts of
euphoria and anguish in the financial press.

In the circumstances, the best option for the policy maker is to find ways of reducing
substantially net flows of FII investments into India's markets. This would help focus
attention on the creation of real wealth as well as remove barriers to the creation of such
wealth, such as the constant pressure to provide tax concessions that erode the tax base
and the persisting obsession with curtailing fiscal deficits, both of which are driven by
dependence on finance capital.

37
 3.12 MUTUAL FUNDS AND INDIAN STOCK MARKET

The transactions by domestic mutual funds (MFs) in the equity market is an indicator of
domestic investor participation in the stock market, domestic investors have been active
participants in recent times.

In 2003, as in the previous years, the numbers on net MF investments (gross purchases
minus sales) in the equity market suggest that MF investments were down to a trickle,
compared to FII flows. Till date in 2003, FIIs have made net equity investments of Rs
23,000 crore, while MFs have actually pulled out around Rs 1,100 crore on a net basis.

MFs account for significant volumes: But this wide gulf between the two numbers is
largely because while FII investments have been more of a one-way flow with a steady
increase in the level of purchases from month to month. While MFs have indulged in
heightened levels of both purchase and sales activity, with one cancelling out the other.
This has led to a low level of net investments by MFs. If one compares the total purchases
and sales activity of MFs to the purchases and sales by FIIs, it is clear that MFs (and thus

38
domestic investors) do account for a significant portion of the transaction volumes on the
bourses.

Purchases gather steam: Take the monthly trends in purchases by MFs, for instance. In
2001, gross purchases by MFs accounted for no more than 23 per cent of the value of
purchases made by the FIIs. In 2002, this proportion climbed to 33 per cent. In 2003,
though FIIs have sharply scaled up their levels of investments, MFs too appear to have
scaled up their purchases. MF purchases remained at over 30 per cent of the FII
purchases, in value terms, in the first nine months of 2003.

This appears to indicate that domestic investors too have been fairly active participants in
the equity markets. And investments routed through MFs obviously represent only a part
of domestic investor interest in the equity market.
If MFs have accounted for significant volumes of purchases on the bourses, they have had
an even higher share of the sales volumes.

The domestic investors have been offloading part of their equity holdings to the FIIs. In
fact, this could be one reason why a pullout by the FIIs tends to pull the plug on a bull
market. The MFs and domestic investors appear to adopt the sell mode when the market
is on a high. So any pullout by FIIs only adds to the selling pressure, which already exists
due to MF selling activity.

A healthy trend: But this trend (of heightened MF selling) is not necessarily an
unhealthy trend for the Indian equity market. For one, it shows that domestic investors
have been making use of the sharp rise in the equity values in the recent times to book
profits on their earlier investments. Given that a major portion of investments in equity
MFs have been made at Sensex levels of over 4000, this is a welcome trend, as it suggests
that such investors are likely to have made a profit on their holdings. Second, the recent
pullouts by MFs also reinforce the view that the MFs themselves are taking a more
cautious stance in this bull market than they did in 2000.

39
Portfolio statements of leading MFs show that they appear to be adhering to a discipline
of periodically taking profits on stocks based on target price benchmarks for each of their
holdings.

What is more, MFs have declared liberal dividend payouts on their equity schemes in the
recent bull run, ensuring that their investors are able to periodically cash in on gains when
the market is on the upswing.

Both these trends could help diminish the negative experience that domestic investors
have, time and again, faced with equity investing.

4. ANALYSIS OF DATA
4.1 Correlation and Regression Analysis

Correlations
FII Inflow Nifty MF Flow

FII Inflow Pearson 1.000 .346(**) -.132(**)

Correlation
N 759 759 759
Nifty Pearson .346(**) 1.000 .039
Correlation
N 759 759 759
MF Flow Pearson -.132(**) .039 1.000
Correlation
N 759 759 759
** Correlation is significant at the 0.01 level

Inference:

40
 The correlation between Nifty and FII is significant. This means that the
FII inflows influence to a considerable extent on the Nifty volatility.
 The correlation between Nifty and MF flow is only .039. This means
that Nifty is not influenced by the mutual fund flows.
 The FII inflow and MF flows are negatively correlated. But the
correlation is significant. The correlation is only -0.132
 The correlation is calculated at 99% confidence level.
 The number of observations considered for this correlation analysis is
759. The observations being the daily closing price of Nifty, daily FII cash inflow and
daily MF flow.

Model Summary(c)
R Adjusted R Std. Error of the Durbin-
Model R
Square Square Estimate Watson
1 .346(a) .120 .118 325.0856
2 .356(b) .127 .125 323.9434 .192
A Predictors: (Constant), FII Inflow
B Predictors: (Constant), FII Inflow, MF Flow
C Dependent Variable: Nifty

Inference:
 The Durbin – Watson Statistic gives that there is no significant positive
autocorrelation between the two independent variables that are FIIs and Mutual
Funds’ Cash Flows. It means that there is impact on each other among the
independent variables also.

41
 The R Square value of the FII inflow is 0.118. This means that FII
explains only 11.8% of variance of the Nifty. Similarly the R square value of the MF
flow is 0.125 this means MF flows explains 12.5% of the variance of the Nifty.

 Standard error is the variation in the variable that is not explained by the
regression equation. Deviation of variable scores from the predicted scores. This is
also called Error variation. Standard error for FII is 325.09 whereas standard error for
MF is 323.94.

Coefficients

Un standardized Coefficients Standardized Coefficients

Model B Std. Error Beta

1 (Constant) 1299.800 12.784
FII Inflow .513 .051 .346
2 (Constant) 1300.823 12.746
FII Inflow .530 .051 .357
MF Flow .521 .207 .086

Inference:

Impact of FII flow is almost 4 times than that of Mf flow

Beta of FII inflow=0.357

Beta of MF inflow=0.086

Therefore 0.357
= 4.15

42
 0.086

The influence of FII is very high as compared to the influence of the mutual fund flows
on the Index. The main reason being the active participation by the FIIs.

4.2 Asset allocation Analysis of selected Mutual Funds Schemes

Name of MF Scheme Asset allocation % of Non-

Equity Money Index stocks in
(%) Equity
Market %)
CAN EMERGING EQUITIES – 81.53 18.47 81%
GROWTH
CHOLA MULTI CAP FUND – 87.61 12.31 40%
GROWTH
DSP MERRILL LYNCH EQUITY 89.75 10.25 48%
FUND
FRANKLIN INDIA GROWTH FUND 97.92 2.08 36%
HDFC EQUITY FUND – DIVIDEND 99.18 0.82 44%
ING VYSYA EQUITY FUND – 95.49 4.51 47%
GROWTH
PRUDENTIAL ICICI EMERGING 92.36 7.64 94%
STAR FUND – GROWTH
RELIANCE VISION - GROWTH 98.18 1.82 73%

43
 SBI MAGNUM EQUITY FUND 95.77 4.23 35%
TATA EQUITY P/E FUND – 94.3 5.7 67%
GROWTH
UTI MASTER VALUE FUND 95.77 4.23 88%
UTI GROWTH & VALUE FUND - 90.73 ----- 60%
ANNUAL DIVIDEND
TAURUS STARSHARE 95.57 1.24 88%
LIC EQUITY FUND - GROWTH 89.67 10.33 27%
HSBC EQUITY FUND – GROWTH 98.76 ------ 46%
BIRLA EQUITY PLAN 92.2 7.8

Only a sample of 15 Equity Schemes have been taken for the purpose of the study

Inference:

 Most of the mutual fund companies are investing in non-index stocks. In

some of the schemes the investment in non-index stocks is as high as 88%.

 Some mutual fund companies mid cap funds where the investment in
non-index companies is more than 95% of the total fund size.

 In case of Balanced fund where investment is made in both debt and

equity, the proportion of the equity investment in non-index fund is considerable.

 The inference, which can be drawn from, this analysis is that most of the
mutual funds are playing in the mid cap and non-index stocks and FII in index funds.

 As the mutual fund is the pool of savings of small investors, they have
to give them proper return. Therefore they are investing in those stocks where the
volatility of returns is less. The volatility of the non-index funds are usually less as
compared to the index stocks.

Correlations Between CNX mid cap and MF flow

CNX Midcap MF Flow

44
 Pearson
1.000 .023
CNX Midcap Correlation
N 756 756
Pearson
.023 1.000
MF Flow Correlation
N 756 756

Inference:

 The correlation between is MF flow and CNX Midcap index is not that
significant. The correlation is very low at 0.023.

 This means that the even though MF fund companies are investing significant
portion of their equity investment in non-index stocks, they are not influencing the
prices of the stocks and even the market.

45
 -500
0
500
1000
1500
2000
2500
3000
1/1/2002

3/1/2002

5/1/2002

7/1/2002

9/1/2002

11/1/2002

1/1/2003

3/1/2003

5/1/2003

7/1/2003

Date
9/1/2003

11/1/2003
Graph No 5

1/1/2004

3/1/2004
MF flows and CNX midcap Index

5/1/2004

7/1/2004

9/1/2004

46
11/1/2004
midcap
mf flow s
 500.00

0.00
1000.00
1500.00
2000.00
2500.00
3000.00
3500.00
4000.00

-500.00

-1000.00
Date

11/03/2002

23/05/2002

01/08/2002

16/10/2002

30/12/2002

11/03/2003

26/05/2003

04/08/2003

15/10/2003
Graph No 6

23/12/2003

08/03/2004

19/05/2004

28/07/2004
Graph showing FII Inflow and Nifty Index

47
06/10/2004

20/12/2004
Nifty
FII Daily cash flow
 -500.00
0.00
500.00
1000.00
1500.00
2000.00
2500.00
Date

04/03/2002

09/05/2002

11/07/2002

16/09/2002

22/11/2002

27/01/2003

02/04/2003

09/06/2003

Date
11/08/2003
Graph No 7

15/10/2003

16/12/2003

20/02/2004
Graph Showing MF Flows and Nifty

28/04/2004

48
30/06/2004

01/09/2004

04/11/2004
Nifty
mf flows
 500.00

-1000.00
1000.00
1500.00
2000.00
2500.00
3000.00
3500.00
4000.00

0.00

-500.00
Date

04/03/2002

09/05/2002

11/07/2002

16/09/2002

22/11/2002

27/01/2003

02/04/2003

09/06/2003

Date
11/08/2003

15/10/2003
Graph No 8

16/12/2003

20/02/2004

28/04/2004

30/06/2004
Graph showing FII Flow and MF Flow

49
01/09/2004

04/11/2004
mf flow s
FII Daily cash flow
 5. SUMMARY OF FINDINGS
 The correlation between the independent and dependent variables, Foreign
Institutional Investors (FII) and Index (Nifty), on the daily basis is significant. It means
that daily Movement in the Index can be explained by the movement of FII Inflows.

 It can be observed from correlation analysis that 34.6% of the Nifty Index
prices are influenced by the operation of the FII in the stock market.

 There is no significant correlation between the Mutual Fund Flow and the
Nifty Index. It means that the index cannot be explained by the movement of MF
inflows. The influence of mutual fund is only 3.9%.

 The daily price of nifty is positively correlated with the inflows of FII in
into the nifty. Therefore if the net investment is positive, then the nifty is also reacting
positively and vice versa in case of negative inflow.

 The Regression Analysis gives that the FII flow has a greater impact on the
volatility of the nifty index as compared to the MF flows. The impact of FII inflow on
Nifty is four times more than that of the Mf flows.

 The institutional investors influence the share prices to a considerable

amount. The combined effect of FII inflow and MF inflow on Nifty is 38.5%. The other
institutional investors like financial institutions; banks and Insurance companies do not
influence much on the share prices.

 The individual investor has a very important role to play in the stock
market, as their influence on the nifty is 61.5%. The individual investor includes retail
investors, speculators, daily traders etc.

50
 As the FII influence only one third of the market movement, the speculators
and day traders cannot base their decision only on FII activities.

 The FII are very active in the Index stocks and Blue chip stocks. They are
not investing much in mid cap sector.

 It is found from the analysis of selected Equity schemes of the various

mutual funds operating in Indian market; the mutual funds are playing in the non-index
sector. The mutual funds invest a considerable amount in the non-index companies.
From the analysis it is found that the Mutual Fund Schemes invested around 59% of total
equity investment, in non-index stocks.

 The Coefficient of Determination is 0.12, which implies that only 12% of

the variation in the volatility in NIFTY can be explained by the independent variable, viz,
daily volatility in FII inflows. And it is 12.7% in case of MF flows. So we can conclude
that there are some other factors influencing the volatility of NIFTY, which have to be
investigated.

 The Durbin – Watson Statistic gives that there is not that significant
positive autocorrelation between the two independent variables that are FIIs and Mutual
Funds’ Cash Flows. It means that there is not much impact on each other among the
independent variables also.

 Even though the mutual funds are investing a considerable proportion of

their equity fund in non-index stocks, they are not influencing much on the prices of
stock. And also the market.

51
 RECOMMENDATIONS

 The individual investor has a very important role to play in the market. The
individual investor should not base their decision to buy or sell only on the basis of the
FII investments flowing into the market.

 Considering the volatility in the stock market, the development of a vibrant

local hedge fund industry is essential.

 The domestic individual investor should actively participate in the stock

market so that the stock market is not controlled only by the FIIs.

 The individual or retail investor should understand that he has an important

role to play in the market. Proper investor guidance should be provided.

 The mutual fund companies have to participate actively in the stock market,
both in index and non-index stocks so that stability in the stock market can be
established.

52
 6. CONCLUSION
This study analyses the impact primarily of FII Inflows on the volatility of the Index (Nifty).
On the basis of the results from the analysis given above it can be said that the impact of FII
cash inflows on the index volatility is significant enough to influence. The correlation
between the FII inflow and Nifty is positively. Therefore

The Hypothesis of significant impact of FII on Nifty is accepted.

The Hypothesis of significant impact of Mutual Fund on Nifty is rejected.

Further if we consider the volatility impact of both FIIs and MFs, only 24.7% of the
volatility in index can be explained by the two variables combined. It means that these two
institutional investors are major contributors of market volatility.

It can be concluded from the analysis that then FII operate only in the index and Blue Chip
stocks and Mutual Fund operate in the Non index and non blue chip stocks. Mutual
especially concentrate on high return Mid cap Companies to invest.

The return on the Indian stock market is considerably high and it is attracting more and more
FII. FII’s are interested in Indian stock exchanges especially Nifty as it constitutes the best 50
companies of India. So the FII are playing a dominant role in the volatility of the Nifty. The
investment of FII is more in Nifty as compared to other stock exchanges of India.

The Purchase and Sale of securities by FII has a bearing on the Nifty prices. This is very
much evident from the crash of index prices when the FII are very active in selling of
securities when they see some economic instability.

53
The domestic institutional investors have to play an active role in the stock market so as to
bring the stability in the stock market. The stability of the stock market is important indicator
of the economic development.

7. BIBLIOGRAPHY
 http://www.myiris.com/shares/market/marketPulse/mfMonShow.php?datval=Dec-
2004
 http://www.indiainfoline.com/stok/fiin/arch.html
 http://www.cmlinks.com/walchand/fii.asp
 http://www.financialcertified.com/Hedge%20Funds%20India%20Thomas%20AAFM
%20Journal%20Submission.htm
 www.indiainfoline.com
 www.mutualfundsndia.com
 “Internation Business” by Eun & Rusnik

54
 7. ANNEXURE
Table Showing Daily FII, MF Flow and Nifty Index for the time period 1/1//2002 to
31/12/2005

Date FII Nifty mf flows Date FII Nifty mf flows

01/01/2002 24.10 1055.30 1.41 07/07/2003 297.1 1140.55 -3.1
02/01/2002 13.7 1060.75 -32.08 08/07/2003 174 1145.90 -41.23
03/01/2002 8.7 1072.25 -50.63 09/07/2003 190.2 1141.05 -52.22
04/01/2002 56.8 1096.20 -77.7 10/07/2003 187.4 1162.35 60
07/01/2002 310.3 1100.15 -96.15 11/07/2003 142.1 1161.65 6.24
08/01/2002 250.5 1109.90 -109.86 14/07/2003 -27.6 1171.50 -11.51
09/01/2002 165.9 1102.80 -41.96 15/07/2003 69.8 1159.85 -70.7
10/01/2002 -21.8 1098.20 -87.89 16/07/2003 90.7 1168.75 73.51
11/01/2002 -0.4 1088.55 17.65 17/07/2003 -50.8 1152.00 -64.72
14/01/2002 -34 1109.80 -48.64 18/07/2003 25.2 1140.00 -15.54
15/01/2002 48.9 1094.15 13.63 21/07/2003 25.2 1115.80 -45.04
16/01/2002 -62.1 1090.30 1 22/07/2003 33.8 1109.20 -38.82
17/01/2002 -47.8 1109.20 50.58 23/07/2003 -1.1 1119.05 61.27
18/01/2002 39.9 1093.15 0.59 24/07/2003 45.7 1139.45 67.28
21/01/2002 -40.1 1091.35 -16.43 25/07/2003 246 1162.75 72.97
22/01/2002 -3.3 1092.85 51.01 28/07/2003 64.2 1169.20 5.12
23/01/2002 -38.9 1089.40 21.86 29/07/2003 148.9 1174.75 -0.04
24/01/2002 -53.1 1085.30 4.83 30/07/2003 33.6 1183.00 82.61
25/01/2002 27.1 1080.10 -8.52 31/07/2003 -10.6 1185.85 2.51
28/01/2002 -76 1071.35 -7.41 01/08/2003 234.9 1195.75 88.58
29/01/2002 -107 1071.65 -6.05 04/08/2003 299.1 1203.60 10.04
30/01/2002 -15.5 1067.45 -3.75 05/08/2003 84.7 1184.45 7.54
31/01/2002 -22.6 1075.40 -10.22 06/08/2003 105.5 1171.05 -62.64
01/02/2002 -42.1 1081.65 38.94 07/08/2003 -73.3 1196.95 71.73
04/02/2002 -47.9 1076.90 1.07 08/08/2003 0.8 1222.65 79.04
05/02/2002 -11.1 1074.25 37.65 11/08/2003 265.5 1232.85 33.01
06/02/2002 -6.6 1113.10 -15.59 12/08/2003 159.6 1234.75 -13.98
07/02/2002 57.1 1110.45 -26.62 13/08/2003 193.1 1246.90 -33.19
08/02/2002 106.6 1123.75 -26.76 14/08/2003 113 1247.75 -2.12
11/02/2002 250.5 1131.55 -24.53 18/08/2003 102.1 1281.40 18.19
12/02/2002 40.6 1129.50 -11.09 19/08/2003 120.5 1277.70 40.03
13/02/2002 69.4 1135.10 -29.56 20/08/2003 155.7 1287.40 -53.26
14/02/2002 233 1150.00 -48.92 21/08/2003 186.4 1300.95 53.6
15/02/2002 266.4 1159.95 -21.02 22/08/2003 -393.6 1311.15 69.57
18/02/2002 162.7 1172.85 -59.48 25/08/2003 218.6 1271.10 33.15
19/02/2002 142.9 1158.90 -26.07 26/08/2003 71.9 1318.20 31.97
20/02/2002 39.2 1145.95 -50.28 27/08/2003 -3.9 1340.30 57.49

55
 -23.87

21/02/2002 100 1149.85 -73.8 28/08/2003 88.1 1341.05

22/02/2002 62.1 1163.50 -50.53 29/08/2003 162.2 1356.55 -1.5
25/02/2002 130 1165.45 43.97 01/09/2003 170.9 1375.95 1.26
26/02/2002 92.9 1189.40 -14.8 02/09/2003 296.8 1385.45 -82.7
27/02/2002 141.8 1189.20 -1.99 03/09/2003 311.6 1359.35 46.23
28/02/2002 178.8 1142.05 5.2 04/09/2003 66.3 1372.70 101.14
01/03/2002 -2.9 1178.00 -45.29 05/09/2003 385.8 1398.40 -39.45
04/03/2002 96.1 1177.35 -57.94 08/09/2003 292.7 1417.35 -25.06
05/03/2002 -3.9 1178.50 -16.05 09/09/2003 263.1 1407.05 138.25
06/03/2002 58.9 1172.60 -12.85 10/09/2003 395.3 1409.55 -99.32
07/03/2002 21.1 1193.05 -67.1 11/09/2003 132.3 1403.15 10.9
08/03/2002 161.6 1187.65 -44.94 12/09/2003 -88.3 1372.10 -62.31
11/03/2002 87.6 1167.85 -25.96 15/09/2003 -76.1 1329.25 -72.81
12/03/2002 19.4 1150.45 -14.18 16/09/2003 77.8 1357.95 -42.55
13/03/2002 -36.1 1157.05 12.7 17/09/2003 195.9 1341.60 -41.36
14/03/2002 -11.8 1159.45 -18.09 18/09/2003 298.6 1302.35 23.1
15/03/2002 21.3 1169.75 -20.31 19/09/2003 231.3 1322.15 57.93
18/03/2002 34.1 1169.30 6.99 22/09/2003 111.6 1302.90 -17.23
19/03/2002 26.3 1152.15 -16.87 23/09/2003 157.3 1328.20 2.95
20/03/2002 -19.4 1155.60 -27.25 24/09/2003 -108.5 1372.05 44.58
21/03/2002 23.2 1144.20 -29.33 25/09/2003 402.4 1357.20 39.21
22/03/2002 -48.2 1138.45 -0.62 26/09/2003 17.7 1386.95 63.78
26/03/2002 5.9 1123.05 -38.89 29/09/2003 29.5 1399.95 66.56
27/03/2002 -61.7 1123.35 -24.53 30/09/2003 287.3 1417.10 75.57
28/03/2002 19.8 1129.55 -34.98 01/10/2003 256.1 1420.85 32.67
01/04/2002 79.1 1138.95 -26.01 03/10/2003 122.1 1449.30 17.38
02/04/2002 0.3 1136.95 -21.74 06/10/2003 582.3 1478.90 67.95
03/04/2002 51.4 1123.50 -23.15 07/10/2003 356.1 1477.85 16.57
04/04/2002 -9.8 1145.90 -58.04 08/10/2003 509 1478.60 -88.63
05/04/2002 61.9 1141.95 -45.14 09/10/2003 191.2 1502.10 -15.21
08/04/2002 12.6 1135.25 -15.26 10/10/2003 281.8 1523.10 -42.14
09/04/2002 20.3 1126.70 -22.31 13/10/2003 517.8 1546.75 53.86
10/04/2002 -73.9 1138.50 17.08 14/10/2003 440.6 1520.80 -6.98
11/04/2002 11.6 1143.60 6.69 15/10/2003 521.2 1537.00 -35.86
12/04/2002 44.9 1146.50 -21.2 16/10/2003 304.4 1555.70 -52.66
15/04/2002 24.2 1134.15 -24.94 17/10/2003 417.7 1569.45 -28.21
16/04/2002 -81.3 1118.75 -8.17 20/10/2003 535.8 1542.70 110.84
17/04/2002 -57.6 1125.10 -60.21 21/10/2003 318.9 1506.50 172.81
18/04/2002 48 1129.00 -26.81 22/10/2003 286 1494.10 -63.36
19/04/2002 19.3 1100.30 -44.1 23/10/2003 203.1 1470.45 -20.7
22/04/2002 -69.7 1104.15 -5.52 24/10/2003 -87.5 1506.05 27.09
23/04/2002 -1.6 1106.00 -8.3 25/10/2003 0 1521.95 5.37
24/04/2002 -6.5 1110.60 -10.37 27/10/2003 122.1 1485.30 36.78
25/04/2002 -18.5 1094.30 12.93 28/10/2003 112 1481.75 -37.94
26/04/2002 46.1 1097.40 -16.56 29/10/2003 246 1498.45 -75.55
29/04/2002 -5.3 1074.20 7.33 30/10/2003 223.5 1516.85 150.72
30/04/2002 -83.8 1084.50 10.27 31/10/2003 337.3 1555.90 147.66

56
02/05/2002 -34.2 1093.30 10.96 03/11/2003 321.4 1601.65 6.64
03/05/2002 42.3 1096.95 -27.61 04/11/2003 508.5 1618.70 12.12
06/05/2002 11.4 1100.95 -40.66 05/11/2003 598 1609.15 102.82
07/05/2002 0.6 1110.70 -9.95 06/11/2003 265.2 1612.20 124.74
08/05/2002 57.5 1117.60 -1.24 07/11/2003 134.2 1592.05 102.93
09/05/2002 40.9 1127.60 -56.47 10/11/2003 64.9 1594.50 108.61
10/05/2002 34.6 1116.40 -64.19 11/11/2003 232.9 1601.15 -51.3
13/05/2002 -3.6 1119.65 -8.57 12/11/2003 146 1603.80 -40.38
14/05/2002 29.1 1115.10 -42.12 13/11/2003 56.6 1579.95 -20.13
15/05/2002 21.5 1107.80 -10.53 14/11/2003 368.5 1550.45 -3.83
16/05/2002 32.4 1092.80 -2.62 15/11/2003 0 1562.80 -27.04
17/05/2002 13.9 1090.65 4.85 17/11/2003 12.4 1579.90 6.77
20/05/2002 -35.7 1074.35 19.28 18/11/2003 -20.4 1564.40 23.74
21/05/2002 -5.1 1049.20 63.86 19/11/2003 -12.4 1540.60 52.52
22/05/2002 -19.5 1045.30 9.71 20/11/2003 -87 1522.30 0.00
23/05/2002 18.6 1026.75 42.94 21/11/2003 138 1540.70 127.66
24/05/2002 -46.8 1067.00 -33.25 24/11/2003 2 1543.90 66.94
27/05/2002 47.6 1062.70 -44.58 25/11/2003 -24.6 1568.65 82.63
28/05/2002 -2 1038.20 -20.53 27/11/2003 158.9 1598.35 213.93
29/05/2002 -103.2 1041.65 19.17 28/11/2003 437.4 1615.25 41.98
30/05/2002 -129.9 1032.15 14.59 01/12/2003 216.1 1657.65 62.25
31/05/2002 -26.4 1028.80 36.85 02/12/2003 563.4 1658.50 20.26
03/06/2002 -150.1 1039.75 32.58 03/12/2003 286.1 1670.50 27.86
04/06/2002 -83.6 1045.40 -12.91 04/12/2003 286.1 1675.20 101.57
05/06/2002 -19.9 1064.20 15.95 05/12/2003 303.1 1645.80 6.76
06/06/2002 127.8 1064.35 -27.92 08/12/2003 221.5 1646.25 -16.94
07/06/2002 99.6 1048.80 -18.06 09/12/2003 -46.6 1675.85 -78.42
10/06/2002 -7.8 1069.90 17.17 10/12/2003 348.7 1686.90 14.61
11/06/2002 -251.6 1097.05 -4.73 11/12/2003 612.4 1695.40 40.75
12/06/2002 116.9 1092.80 -61.21 12/12/2003 273.7 1698.90 -26.32
13/06/2002 67.3 1082.85 -50.95 15/12/2003 149 1723.95 22.61
14/06/2002 -29.2 1085.70 -1.09 16/12/2003 182.5 1736.25 42.95
17/06/2002 -114.9 1088.90 -18.93 17/12/2003 452.3 1733.25 196.05
18/06/2002 -62.5 1074.95 -38.41 18/12/2003 -56.1 1756.10 58.76
19/06/2002 -94.2 1062.90 -58.25 19/12/2003 293.7 1778.55 -47.59
20/06/2002 -66.1 1070.05 -27.86 22/12/2003 617.5 1789.15 66.85
21/06/2002 -10.7 1062.55 -24.59 23/12/2003 284.1 1780.30 -12.24
24/06/2002 -24.2 1061.85 -15.6 24/12/2003 307.5 1808.70 40.86
25/06/2002 -24.7 1055.40 -36.11 26/12/2003 223.4 1837.05 94.17
26/06/2002 40.2 1044.20 -8.78 29/12/2003 63.4 1874.05 125.6
27/06/2002 56.8 1048.55 -9.14 30/12/2003 267.5 1873.25 114.69
28/06/2002 49.8 1057.80 -45.7 31/12/2003 443.2 1879.75 -2.62
01/07/2002 59 1068.95 7.62 01/01/2004 305.1 1912.25 86.07
02/07/2002 51.6 1068.05 -5.69 02/01/2004 91.2 1946.05 -42.12
03/07/2002 16.9 1069.90 -15 05/01/2004 500.7 1955.00 -41.31
04/07/2002 35.4 1070.55 -19.54 06/01/2004 216.7 1926.70 72.27
05/07/2002 50.9 1073.80 -3.14 07/01/2004 163.5 1916.75 101.17
08/07/2002 29.1 1082.05 -2.75 08/01/2004 86.4 1968.55 82.75
09/07/2002 42.3 1080.30 -49.87 09/01/2004 155.5 1971.90 164.05

57
10/07/2002 -42.4 1071.70 -17.94 12/01/2004 449.2 1945.60 1.65
11/07/2002 -0.1 1056.60 -34.99 13/01/2004 173.2 1963.60 37.34
12/07/2002 -46.7 1058.25 -29.34 14/01/2004 -40.4 1982.15 77.23
15/07/2002 13.5 1048.00 -3.7 15/01/2004 20.9 1944.45 76.26
16/07/2002 22.8 1035.95 -26.08 16/01/2004 -57.5 1900.65 -48.38
17/07/2002 -39.2 1032.55 -11.4 19/01/2004 -86.9 1935.35 88.71
18/07/2002 -7.8 1041.30 -19.37 20/01/2004 27.5 1893.25 78.1
19/07/2002 4.9 1035.90 -50.86 21/01/2004 344 1824.60 131.73
22/07/2002 49.2 1012.00 -37.19 22/01/2004 134.7 1770.50 126.19
23/07/2002 -70.2 1021.90 -1.44 23/01/2004 48 1847.55 -69.26
24/07/2002 229.5 1004.05 -11.44 27/01/2004 61.5 1904.70 -70.18
25/07/2002 -128.9 1001.55 -68.32 28/01/2004 354.9 1863.10 14.8
26/07/2002 -38 973.50 35.5 29/01/2004 259.3 1843.60 160.24
29/07/2002 16.6 971.65 16.5 30/01/2004 -29.8 1809.75 113.03
30/07/2002 84.7 960.65 9.12 03/02/2004 -436 1769.00 143.39
31/07/2002 15.4 958.90 50.99 04/02/2004 325.7 1822.20 -70.07
01/08/2002 -3.6 957.70 -18.96 05/02/2004 143.1 1804.50 31.64
02/08/2002 33.8 954.75 25.66 06/02/2004 232 1833.65 -78.69
05/08/2002 -2.1 963.25 -11.57 09/02/2004 225.5 1880.70 -46.72
06/08/2002 -26.2 966.65 1.68 10/02/2004 250.8 1880.75 158.76
07/08/2002 -15.2 969.10 -0.88 11/02/2004 578.4 1891.50 -48.67
08/08/2002 -21.4 953.55 -4.9 12/02/2004 -39 1885.30 45.11
09/08/2002 -16.1 961.95 -9.9 13/02/2004 135.7 1913.60 18.65
12/08/2002 -81.3 969.85 5.73 16/02/2004 65.7 1913.55 -64.46
13/08/2002 46.9 976.05 20.01 17/02/2004 65.7 1920.10 -150.2
14/08/2002 45.4 969.65 -10.74 18/02/2004 367.7 1916.45 -90.04
16/08/2002 -11.9 979.25 9.59 19/02/2004 377 1858.30 1.81
19/08/2002 16.1 979.85 -47.68 20/02/2004 258.9 1852.65 -31.35
20/08/2002 64.5 988.55 1.9 23/02/2004 358.5 1808.20 -59.21
21/08/2002 113.7 988.45 -22.87 24/02/2004 -168.1 1821.35 33.88
22/08/2002 -15.2 985.70 -25.15 25/02/2004 -270.2 1786.80 -19.22
23/08/2002 8.8 995.20 -113 26/02/2004 53 1765.80 72.68
26/08/2002 18.7 998.85 -58.58 27/02/2004 -112.6 1800.30 -63.48
27/08/2002 -44.3 987.70 -14.07 01/03/2004 326 1852.70 58.31
28/08/2002 16.1 985.70 -4.98 03/03/2004 333.4 1860.40 -27.74
29/08/2002 49.5 987.25 1.49 04/03/2004 295.8 1843.85 28.35
30/08/2002 28.1 1010.60 74.52 05/03/2004 256.7 1867.70 22.41
02/09/2002 13.3 1013.50 2.45 08/03/2004 -16.9 1885.25 -47.84
03/09/2002 -53.8 1001.10 10.39 09/03/2004 356.7 1866.05 -5.7
04/09/2002 -359.2 1006.95 13.29 10/03/2004 45.4 1844.35 -18.21
05/09/2002 -57.7 1008.60 2.84 11/03/2004 61.4 1805.40 47.73
06/09/2002 -1.3 995.20 -4.03 12/03/2004 201.9 1812.20 142.23
09/09/2002 4.9 998.55 15.68 15/03/2004 207 1763.40 64.57
11/09/2002 -33 998.85 -10.18 16/03/2004 123.9 1749.35 47.67
12/09/2002 35.2 1001.65 5.21 17/03/2004 59 1749.85 4.62
13/09/2002 -18.4 992.00 9.71 18/03/2004 297.9 1716.65 -21.61
16/09/2002 -39.9 985.75 -2.26 19/03/2004 77.9 1725.10 -56.4
17/09/2002 13.9 994.90 -32.85 22/03/2004 158 1685.00 1.53
18/09/2002 29.1 983.60 -8.19 23/03/2004 180.4 1696.40 -46.68

58
19/09/2002 -47.3 976.05 -1.29 24/03/2004 527.1 1692.10 -36.74
20/09/2002 -81.3 969.60 29.1 25/03/2004 64.3 1704.45 116.78
23/09/2002 -98.1 970.30 -11.59 26/03/2004 170.7 1747.50 -100.9
24/09/2002 -17.6 966.20 -30.82 29/03/2004 1239.2 1762.05 -15.59
25/09/2002 -37.9 970.05 -12.4 30/03/2004 271 1750.15 -1.65
26/09/2002 2.4 969.90 4.84 31/03/2004 367.6 1771.90 12.73
27/09/2002 1267.1 976.45 30.24 01/04/2004 3490.4 1819.65 -68.94
30/09/2002 -51.7 963.15 18.16 02/04/2004 755.4 1841.10 156.98
01/10/2002 -87.1 955.20 -26 05/04/2004 318.7 1856.60 -56.93
03/10/2002 43 948.20 45.61 06/04/2004 417.4 1851.15 -31.96
04/10/2002 -162.5 948.20 73.21 07/04/2004 131.2 1848.70 114.12
07/10/2002 -224.7 954.75 12.82 08/04/2004 168.3 1853.55 -49.94
08/10/2002 -97.1 960.80 25.96 12/04/2004 0 1838.20 -50.36
09/10/2002 -67.7 954.75 36.06 13/04/2004 3.5 1878.45 126.26
10/10/2002 -60.2 958.45 20.44 15/04/2004 381 1861.95 117.49
11/10/2002 30.1 971.05 -4.23 16/04/2004 -185.9 1868.95 50.07
14/10/2002 79.6 972.45 -51.23 17/04/2004 0 1868.10 -18.68
16/10/2002 11.6 973.60 -37.39 19/04/2004 62.6 1844.05 -90.89
17/10/2002 -70.1 973.30 -77.01 20/04/2004 693.2 1844.25 3.95
18/10/2002 35 971.65 -21.77 21/04/2004 11.6 1873.35 22
21/10/2002 91.2 967.35 10.55 22/04/2004 89.5 1889.55 29.38
22/10/2002 -44.4 962.50 -66.96 23/04/2004 955.2 1892.45 -35.98
23/10/2002 -8.6 957.35 -11.35 27/04/2004 381.1 1817.25 -0.1
24/10/2002 -72.2 946.90 1.38 28/04/2004 7.2 1816.55 -79.56
25/10/2002 -67.2 932.20 -3.51 29/04/2004 50.9 1808.95 12.28
28/10/2002 -73.3 922.70 10.79 30/04/2004 -332.3 1796.10 59.71
29/10/2002 -86.7 936.90 19.84 03/05/2004 25.2 1766.70 32.01
30/10/2002 11.2 937.75 -30.89 04/05/2004 66.5 1793.10 -61.88
31/10/2002 43.7 951.40 29.46 05/05/2004 -95.5 1809.90 -35.44
01/11/2002 89.5 951.45 -71.85 06/05/2004 -38.1 1832.80 7.23
04/11/2002 -78.1 962.10 0.33 07/05/2004 -14.9 1804.45 85.21
05/11/2002 33.4 962.30 -2.97 10/05/2004 -168.1 1769.10 137.21
07/11/2002 30.2 960.70 18.69 11/05/2004 -595.2 1699.45 102.41
08/11/2002 -38.3 956.95 -4.53 12/05/2004 -403.4 1711.10 225.22
11/11/2002 -21 954.05 -3.9 13/05/2004 -295.1 1717.50 130.6
12/11/2002 24.9 959.85 -12.4 14/05/2004 -604.4 1582.40 399.99
13/11/2002 -11.5 962.65 25.96 17/05/2004 -504.4 1388.75 341.51
14/11/2002 26.7 971.90 58.22 18/05/2004 -63.6 1503.95 -23.85
15/11/2002 67.3 990.35 -61 19/05/2004 -227.5 1567.85 120.23
18/11/2002 183.9 996.85 -23.07 20/05/2004 -49.9 1543.85 50.03
20/11/2002 -39.3 1001.60 -58 21/05/2004 -116 1560.20 9.86
21/11/2002 70.4 1008.75 -50.27 24/05/2004 -192.5 1608.85 -43.94
22/11/2002 41.1 1020.15 -72.1 25/05/2004 28.4 1606.70 -11.21
25/11/2002 68.9 1026.20 -72.08 26/05/2004 -129.8 1598.80 -36.48
26/11/2002 77.4 1036.15 -29.79 27/05/2004 13.1 1586.40 -48.13
27/11/2002 -35.9 1031.10 1.97 28/05/2004 -70.8 1508.75 -75.59
28/11/2002 -94.7 1049.70 17.82 31/05/2004 189.1 1483.60 -58.62
29/11/2002 92.6 1050.15 3.85 01/06/2004 21.3 1507.90 -34
02/12/2002 -42.8 1067.90 -0.94 02/06/2004 264.9 1535.20 -41.81

59
03/12/2002 1.9 1055.00 -50.38 03/06/2004 52.8 1495.10 -20.82
04/12/2002 10.5 1036.40 25.39 04/06/2004 51.7 1521.10 -56.12
05/12/2002 -218.1 1045.95 -14.46 07/06/2004 -41.4 1542.55 17.81
06/12/2002 22.9 1069.80 91.56 08/06/2004 222.3 1550.55 4.09
09/12/2002 62.5 1058.65 31 09/06/2004 42.7 1548.30 -1.34
10/12/2002 27.3 1063.70 -19.39 10/06/2004 2.5 1544.75 3.72
11/12/2002 -55 1069.75 -13.31 11/06/2004 -61.1 1508.45 -22.68
12/12/2002 66.8 1077.00 -45.91 14/06/2004 -126 1481.35 -87.23
13/12/2002 173.4 1086.20 -33.9 15/06/2004 127.3 1501.00 -36.2
16/12/2002 -22.7 1078.45 -9.55 16/06/2004 109.2 1494.75 -12.54
17/12/2002 76.6 1073.25 -25.87 17/06/2004 6.4 1512.05 23.67
18/12/2002 24.8 1077.95 -4.74 18/06/2004 -11.3 1491.20 39.79
19/12/2002 48.2 1076.00 -11.22 21/06/2004 -15.8 1482.00 -70.61
20/12/2002 40.6 1079.30 2.01 22/06/2004 20.8 1474.70 -28.84
23/12/2002 17.3 1076.00 -8.14 23/06/2004 -134 1446.10 -61.54
24/12/2002 140 1085.00 25.31 24/06/2004 -108.1 1470.75 -94.1
26/12/2002 12.8 1094.80 1.41 25/06/2004 26.8 1488.50 65.29
27/12/2002 19.1 1098.40 19.18 28/06/2004 44.9 1514.35 29.08
30/12/2002 32.5 1091.95 13.86 29/06/2004 9.7 1518.30 69.93
31/12/2002 -11.4 1093.50 30.53 30/06/2004 10.8 1505.60 54.66
01/01/2003 -29.2 1100.15 3.95 01/07/2004 -184.8 1537.20 -34.06
02/01/2003 28.2 1093.05 -29.5 02/07/2004 145 1537.50 -6.52
03/01/2003 -56.7 1089.60 1.06 05/07/2004 61.1 1526.85 -37.16
06/01/2003 -22.1 1084.35 -25.56 06/07/2004 47.8 1558.25 -11.49
07/01/2003 1.4 1081.80 6.22 07/07/2004 35.2 1566.80 -8.59
08/01/2003 -32 1089.35 -37.27 08/07/2004 -11.7 1518.15 81.69
09/01/2003 84.2 1097.35 -5.06 09/07/2004 147.6 1553.20 40.85
10/01/2003 39.8 1080.25 -148.68 12/07/2004 -73.7 1556.95 -53.7
13/01/2003 54.2 1073.75 21.56 13/07/2004 111.8 1539.30 -43.06
14/01/2003 6.5 1078.95 -16.35 14/07/2004 -13.1 1522.75 -15.5
15/01/2003 142.6 1085.00 -19.91 15/07/2004 -48.9 1539.40 28.19
16/01/2003 257.3 1088.35 7.54 16/07/2004 -127.9 1558.80 57.58
17/01/2003 76.1 1086.50 -20.61 19/07/2004 132.5 1571.60 -17.64
20/01/2003 73.4 1076.35 6.15 20/07/2004 99.6 1566.10 13.9
21/01/2003 7.9 1077.90 -19.35 21/07/2004 61.1 1581.40 -83.48
22/01/2003 51.7 1082.90 -11.71 22/07/2004 18.6 1598.10 105.91
23/01/2003 16.7 1070.90 -101.21 23/07/2004 64.7 1601.60 9.82
24/01/2003 16.3 1056.05 -12.92 26/07/2004 69 1618.00 -29.21
27/01/2003 68.1 1037.65 45.58 27/07/2004 127.3 1600.75 101.65
28/01/2003 -1.1 1046.20 -27.75 28/07/2004 60.9 1594.15 -98.56
29/01/2003 -43.7 1037.20 22.62 29/07/2004 29.1 1618.70 -94.27
30/01/2003 58.6 1034.60 -35.38 30/07/2004 162.2 1632.30 38.19
31/01/2003 89.8 1041.85 -6.85 02/08/2004 98.4 1639.05 -16.74
03/02/2003 148.4 1055.30 24.41 03/08/2004 58.6 1630.60 38.57
04/02/2003 37.9 1054.80 4.02 04/08/2004 30.6 1626.55 -62.08
05/02/2003 133.3 1047.40 -9.45 05/08/2004 5.5 1654.95 -67.41
06/02/2003 50.4 1063.60 2.45 06/08/2004 171.9 1633.40 -70.32
07/02/2003 69.2 1057.50 -65.21 09/08/2004 -27.7 1642.60 -42.12
10/02/2003 -8.3 1048.60 -27.97 10/08/2004 32.3 1652.15 8.22

60
11/02/2003 -16.9 1048.00 -26.84 11/08/2004 58.3 1621.60 -33.18
12/02/2003 -28.8 1044.45 -11.04 12/08/2004 -74.4 1607.20 -24.31
14/02/2003 -44.9 1036.00 -4.11 13/08/2004 -148.3 1598.20 -28
17/02/2003 20.5 1058.20 31.37 16/08/2004 805.3 1599.15 33.82
18/02/2003 -36.6 1059.30 -11.7 17/08/2004 -95.5 1604.35 34.5
19/02/2003 31.5 1064.30 -8.59 18/08/2004 -50.4 1581.80 4.97
20/02/2003 34 1065.60 -13.73 19/08/2004 -72.6 1609.20 20.64
21/02/2003 19.5 1066.15 10.3 20/08/2004 1824.9 1590.35 1.25
24/02/2003 55.9 1070.15 6.24 23/08/2004 377.1 1578.20 19.62
25/02/2003 -36.6 1055.55 19.6 24/08/2004 -23.5 1591.60 48.98
26/02/2003 -64.4 1049.65 1.05 25/08/2004 -54.3 1595.70 -90.32
27/02/2003 -7 1052.95 47.55 26/08/2004 -105.1 1610.75 25.19
28/02/2003 21.6 1063.40 62.75 27/08/2004 126 1609.00 38.86
03/03/2003 174.8 1058.85 -26.57 30/08/2004 -75.9 1628.45 12.67
04/03/2003 24.5 1046.60 -1.9 31/08/2004 31.1 1631.75 49.36
05/03/2003 -30.3 1040.70 11.97 01/09/2004 16.9 1635.45 65.67
06/03/2003 -18.9 1031.25 27.97 02/09/2004 20.2 1629.30 30.97
07/03/2003 -1.7 1017.10 26.85 03/09/2004 155.6 1634.10 68.23
10/03/2003 -24.1 1006.70 26.05 06/09/2004 69.3 1644.00 18.9
11/03/2003 35.6 1014.55 20.12 07/09/2004 -39.7 1650.15 -31.98
12/03/2003 7.9 1001.70 2.46 08/09/2004 38.4 1656.25 77.81
13/03/2003 -14.1 999.65 -31.57 09/09/2004 45.5 1649.00 -69.29
17/03/2003 -67.3 993.00 38.44 10/09/2004 155.8 1668.75 22.49
19/03/2003 -84.1 1003.90 14.98 13/09/2004 140.1 1675.20 -0.11
20/03/2003 83.9 1025.25 33.83 14/09/2004 110.5 1685.55 5.43
21/03/2003 156.8 1030.55 -22.94 15/09/2004 183.6 1683.20 -98.04
22/03/2003 0 1037.15 10.71 16/09/2004 104.5 1705.70 12.18
24/03/2003 44 1013.90 -2.75 17/09/2004 148.5 1733.65 -43.22
25/03/2003 40 1011.30 -7.8 20/09/2004 481.1 1728.80 -70.95
26/03/2003 -14.6 1013.85 -11.87 21/09/2004 220.1 1750.20 31.61
27/03/2003 -24.8 1002.70 -21.65 22/09/2004 204.5 1753.90 -46.16
28/03/2003 43.6 1000.60 -12.66 23/09/2004 117.6 1726.15 -23.56
31/03/2003 80.5 978.20 -11.53 24/09/2004 -146.5 1722.50 10.25
01/04/2003 16 984.30 -32.58 27/09/2004 83.6 1717.50 -6.49
02/04/2003 57.5 999.40 -3.18 28/09/2004 38.9 1700.25 -74.26
03/04/2003 -6.1 1009.15 -9.08 29/09/2004 130.1 1727.95 -46.86
04/04/2003 112.3 1016.95 30.32 30/09/2004 107 1745.50 -58.24
07/04/2003 36 1031.50 -26.97 01/10/2004 416 1775.15 41.59
08/04/2003 95.3 1018.10 -6.97 04/10/2004 242.8 1805.65 33.25
09/04/2003 64.1 1004.85 -16.58 05/10/2004 413.2 1812.45 105.98
10/04/2003 -11.2 962.20 -206.13 06/10/2004 176.6 1794.90 -36.58
11/04/2003 -278.9 949.80 159.22 07/10/2004 21.8 1815.70 167.94
15/04/2003 -287.6 951.20 -5.84 08/10/2004 259.6 1820.20 -58.19
16/04/2003 94.7 958.65 30.31 09/10/2004 117.2 1817.80 2.68
17/04/2003 227.9 940.70 -52.93 11/10/2004 3.7 1807.75 -75.98
21/04/2003 82.5 947.20 14.52 12/10/2004 166 1786.90 137.75
22/04/2003 63.4 943.50 6.84 14/10/2004 66.4 1794.75 -88.84
23/04/2003 28.8 934.20 -17.57 15/10/2004 174.5 1795.00 10.93
24/04/2003 -15.1 929.70 -30.31 18/10/2004 39.5 1786.00 -28.36

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25/04/2003 74.3 924.30 -33.91 19/10/2004 111.2 1808.40 -52.07
28/04/2003 25 929.50 7.18 20/10/2004 83.1 1790.05 -42.65
29/04/2003 -65.4 932.30 -7.85 21/10/2004 -13.1 1779.75 6.24
30/04/2003 116.8 934.05 24.32 25/10/2004 -171 1757.25 16.23
02/05/2003 135.5 938.30 24.87 26/10/2004 77.9 1781.05 48.53
05/05/2003 64.6 945.40 20.35 27/10/2004 90.1 1783.85 83.14
06/05/2003 -10.8 951.85 8.77 28/10/2004 71.6 1800.10 117.52
07/05/2003 137.1 950.15 -13.88 29/10/2004 916.2 1786.90 12.35
08/05/2003 48.4 941.55 4.95 01/11/2004 1195.1 1797.75 28.38
09/05/2003 0 937.85 -53.86 02/11/2004 131.9 1813.70 71.86
12/05/2003 28.1 936.00 18.71 03/11/2004 21.3 1837.40 146.35
13/05/2003 24.2 944.20 28.97 04/11/2004 70.9 1834.85 -74.26
14/05/2003 -25.1 952.15 -23.51 05/11/2004 330.7 1852.30 -32.05
15/05/2003 20.8 959.85 -13.47 08/11/2004 585.1 1862.80 -92.05
16/05/2003 21.5 973.10 -13.35 09/11/2004 295 1858.75 -23.79
19/05/2003 50.7 966.55 18.1 10/11/2004 272 1876.10 -17.95
20/05/2003 51.2 971.55 0.75 11/11/2004 167.4 1870.55 -95.82
21/05/2003 88.6 968.00 -21.85 12/11/2004 217 1872.95 0.23
22/05/2003 78.5 963.25 -13.86 16/11/2004 -112.6 1879.00 -41.57
23/05/2003 -43.5 967.90 9.17 17/11/2004 357.5 1888.65 -41.29
26/05/2003 45.8 982.45 25.5 18/11/2004 270 1892.05 -45.44
27/05/2003 50.3 976.85 45.98 19/11/2004 216 1872.35 112.08
28/05/2003 66 990.80 12.44 22/11/2004 517.3 1873.35 200.52
29/05/2003 184 1002.60 -40.34 23/11/2004 336.4 1892.60 -0.65
30/05/2003 204.9 1006.80 44.68 24/11/2004 562.9 1904.05 -36.6
02/06/2003 123.6 1015.15 -0.84 25/11/2004 279.1 1901.05 13.01
03/06/2003 127.3 1010.65 -11.36 29/11/2004 529.6 1939.65 -29.46
04/06/2003 80.6 1021.05 0.27 30/11/2004 498.2 1958.80 111.67
05/06/2003 56 1035.05 19.82 01/12/2004 876.9 1962.05 148.03
06/06/2003 213 1046.40 2.57 02/12/2004 332.1 1999.00 102.45
09/06/2003 167.6 1052.10 3.93 03/12/2004 9994.2 1996.20 -83.48
10/06/2003 42.3 1037.80 27.3 06/12/2004 473.4 1993.15 131.21
11/06/2003 -42.8 1044.10 -59.34 07/12/2004 299.7 1992.70 -81.77
12/06/2003 130.7 1051.30 5.54 08/12/2004 305.2 1977.95 -19.81
13/06/2003 82.6 1056.20 -30.95 09/12/2004 147.4 1989.95 -94.66
16/06/2003 158.4 1051.80 4.69 10/12/2004 151.9 1969.00 -94.5
17/06/2003 28 1081.95 -23.49 13/12/2004 328.9 1985.35 -59.45
18/06/2003 377.3 1086.75 -38.13 14/12/2004 199.7 2006.80 30.11
19/06/2003 173.5 1092.55 -34.69 15/12/2004 182.4 2028.70 163.52
20/06/2003 130.6 1100.25 -11.01 16/12/2004 406.6 2033.20 -14.46
23/06/2003 96.6 1089.20 0 17/12/2004 346.3 2012.10 -6.8

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