Contents

25 * IGN (North American Tech Multimd Ntwork) – 24 SMH (Semiconductor Holdr’s) ............................. 3
25 * BRCM (Broadcom) – 21 * VSAT (ViaSAT) .......................................................................................... 4
10 * ADVS(Advent Software) – 7 * TLEO (Taleo) ...................................................................................... 5
25 * ERIC (Ericsson) – 14 * GLBC (Global Crossing) .................................................................................. 6

1
 Leg 2 Leg 1 Industry Leg 1 Leg 2 Cointegration(%) Z-Score Half-Life 2 Year Beta Comments
Mult. Mult. 5yr 5yr 5yr Neutral
2yr 2yr 2yr Ratio
1yr 1yr 1yr
99 -2.39 22 0.99 Spread is
ETF -
IGN SMH 25 (24) 90 -2.35 25 Cheap
Technology
NC -2.0 27
99 -1.92 23 1.07 Spread is
95 -2.67 15 cheap on
NC -2.26 19 shorter time
Technology - frame (2yrs
BRCM VSAT 25 (21)
and 1yr).
Communications
Slightly cheap
on longer time
frame (5yr)

Framework Test Below

Leg 2 Leg 1 Industry Leg 1 Leg 2 Cointegration(%) Z-Scores Half-Life 2 Year Beta Comments
Mult. Mult. Neutral
Ratio
99 (5 Yrs) -2.47 51 0.56 Experimenting
Application
ADVS TLEO Software
10 (7) 99 (4Yrs) -2.72 29 on a new
95 (3 Yrs) -2.76 framework.
95 (6 Yrs) -2.12 48 0.46 Experimenting
ERIC GLBC Communications 25 (14) 95 (2 Yrs) -3.53 31 on a new
90 (1 Yr) -3.21 32 framework.

2
25 * IGN (North American Tech Multimd Ntwork) – 24 SMH (Semiconductor Holdr’s)

3
25 * BRCM (Broadcom) – 21 * VSAT (ViaSAT)

4
10 * ADVS(Advent Software) – 7 * TLEO (Taleo)

5
25 * ERIC (Ericsson) – 14 * GLBC (Global Crossing)