Date

ICICI-X
%change HDFC-Y
20-Dec-11
656.55
0
418.8
21-Dec-11
701.2 6.800701
441.8
22-Dec-11
722 2.966343
449.55
23-Dec-11
725 0.415512
442
26-Dec-11
730.4 0.744828
447
27-Dec-11
726.1 -0.58872
444
28-Dec-11
701 -3.45682
443
29-Dec-11
686.5 -2.06847
432.25
30-Dec-11
688.05 0.225783
427.6
2-Jan-12
701.8 1.998401
429.2
3-Jan-12
726.05
3.4554
442
4-Jan-12
743.3 2.375869
443.5
5-Jan-12
747 0.49778
443.6
6-Jan-12
757.8 1.445783
457.1
7-Jan-12
746.95 -1.43178
453.1
9-Jan-12
742.7 -0.56898
456.95
10-Jan-12
777.75 4.719268
462.95
11-Jan-12
783.3 0.713597
463.3
12-Jan-12
787.2 0.497894
471.6
13-Jan-12
791.65 0.565295
471.1
16-Jan-12
795.1 0.435799
462.65
17-Jan-12
788 -0.89297
468.9
18-Jan-12
767.2 -2.63959
481.55
Average
0.704822
COV(X)
0.451517
Count
23
Beta
0.451517
Alpha
0.306305
jAlpha
0.403633 0.287108
Sharp
1.99021 1.37811
Trenor
1.483493 1.305698
Correlation Co-eff
0.575107

X
NOTE:

%change
0
5.4918816
1.7541874
-1.679457
1.1312217
-0.671141
-0.225225
-2.426637
-1.075766
0.3741815
2.9822926
0.3393665
0.0225479
3.0432822
-0.875082
0.8497021
1.3130539
0.0756021
1.7914958
-0.106022
-1.793674
1.3509132
2.6978034
0.6245447
VOLATILITY
YEARLY
ANNUAL %

HDFC-Y
0
0.0534638
0.0173898
-0.016937
0.0112487
-0.006734
-0.002255
-0.024566
-0.010816
0.0037348
0.0293869
0.0033879
0.0002255
0.0299789
-0.008789
0.0084611
0.0130451
0.0007557
0.0177564
-0.001061
-0.0181
0.0134187
0.0266205
0.0060703

ICICI-X
0
0.0657943
0.029232
0.0041465
0.0074207
-0.005905
-0.03518
-0.020902
0.0022553
0.019787
0.0339704
0.0234808
0.0049655
0.0143543
-0.014421
-0.005706
0.0461129
0.0071106
0.0049666
0.005637
0.0043485
-0.00897
-0.026751
0.0067717

0.0176163 0.0223917
0.3365587 0.4277922
33.655873 42.779219
Y
X

Lesser the ratio higher the return

Higher volatile stock is taken as X
Annual volatility must not defer by more than 50%
When the trade will be initiated?
1. If the current spread is above or below 2% of the mean spread.
2. If the correlation changed from + ve to ve or vice versa.
3. If the correlation increase or decrease by 50% from its previous recorded data
4. If the beta shows decoupling nature.

HDFC-Y
0
0.0028584
0.0003024
0.0002869
0.0001265
4.535E-05
5.084E-06
0.0006035
0.000117
1.395E-05
0.0008636
1.148E-05
5.083E-08
0.0008987
7.725E-05
7.159E-05
0.0001702
5.711E-07
0.0003153
1.125E-06
0.0003276
0.0001801
0.0007087
0.0003472

ICICI-X
0
0.0043289
0.0008545
1.719E-05
5.507E-05
3.486E-05
0.0012376
0.0004369
5.086E-06
0.0003915
0.001154
0.0005514
2.466E-05
0.000206
0.000208
3.256E-05
0.0021264
5.056E-05
2.467E-05
3.178E-05
1.891E-05
8.046E-05
0.0007156
0.0005472

SPREAD
SPREAD DIFF
237.75
-50.91
259.4
-29.26
272.45
-16.21
283
-5.66
283.4
-5.26
282.1
-6.56
258
-30.66
254.25
-34.41
260.45
-28.21
272.6
-16.06
284.05
-4.61
299.8
11.14
303.4
14.74
300.7
12.04
293.85
5.19
285.75
-2.91
314.8
26.14
320
31.34
315.6
26.94
320.55
31.89
332.45
43.79
319.1
30.44
285.65
-3.01
288.66