Professional Documents
Culture Documents
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
ACC
ACC-X
1130.2
1152.75
1114.7
1123.5
1117.35
1108.4
1109.85
1128.2
1121.5
1128.95
1134.2
1119.2
1148.45
1135.9
1162.6
1160.65
1175.55
1186.2
1184.15
1196.8
1175.25
1200.1
1211.9
1251.95
1274.95
1334.85
1350.65
1377
1382.5
1354.3
1362.9
1346.55
1376.4
1353.55
1374.25
AMBUJACEM
%change AMBUJACEM-Y
%change AMBUJACEM-Y
ACC-X
AMBUJACEM-Y
ACC-X
155.45
155.45
2.00
0.02
0.0004
(3.30) 150.7
(3.06)
(0.03)
(0.03)
0.0010
0.0011
153.7
0.79
1.99
0.02
0.01
0.0004
0.0001
153.55
(0.55)
(0.10)
(0.00)
(0.01)
0.0000
0.0000
(0.80) 152.85
(0.46)
(0.00)
(0.01)
0.0000
0.0001
152.4
0.13
(0.29)
(0.00)
0.00
0.0000
0.0000
152.65
1.65
0.16
0.00
0.02
0.0000
0.0003
(0.59) 150.65
(1.31)
(0.01)
(0.01)
0.0002
0.0000
0.66 151.35
0.46
0.00
0.01
0.0000
0.0000
152.05
0.47
0.46
0.00
0.00
0.0000
0.0000
(1.32) 151.7
(0.23)
(0.00)
(0.01)
0.0000
0.0002
2.61 157.35
3.72
0.04
0.03
0.0013
0.0007
(1.09) 156.75
(0.38)
(0.00)
(0.01)
0.0000
0.0001
160.2
2.35
2.20
0.02
0.02
0.0005
0.0005
158.35
(0.17)
(1.15)
(0.01)
(0.00)
0.0001
0.0000
1.28 158.75
0.25
0.00
0.01
0.0000
0.0002
0.91 160.25
0.94
0.01
0.01
0.0001
0.0001
161.5
(0.17)
0.78
0.01
(0.00)
0.0001
0.0000
1.07 162.05
0.34
0.00
0.01
0.0000
0.0001
(1.80) 160.05
(1.23)
(0.01)
(0.02)
0.0002
0.0003
161.15
2.11
0.69
0.01
0.02
0.0000
0.0004
164
0.98
1.77
0.02
0.01
0.0003
0.0001
169.65
3.30
3.45
0.03
0.03
0.0011
0.0011
1.84 171.85
1.30
0.01
0.02
0.0002
0.0003
179.6
4.70
4.51
0.04
0.05
0.0019
0.0021
177.35
1.18
(1.25)
(0.01)
0.01
0.0002
0.0001
1.95 176.95
(0.23)
(0.00)
0.02
0.0000
0.0004
177.3
0.40
0.20
0.00
0.00
0.0000
0.0000
171.3
(2.04)
(3.38)
(0.03)
(0.02)
0.0012
0.0004
171
0.64
(0.18)
(0.00)
0.01
0.0000
0.0000
(1.20) 171.65
0.38
0.00
(0.01)
0.0000
0.0001
2.22 172.65
0.58
0.01
0.02
0.0000
0.0005
(1.66) 171.55
(0.64)
(0.01)
(0.02)
0.0000
0.0003
174.2
1.53
1.54
0.02
0.02
0.0002
0.0002
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
0.57
0.78
34
0.78
(0.11)
0.29
1.63
0.63
0.80
0.00
0.01
ACC-X
AMBUJACEM-Y
VOLATILITY
0.02
0.02
YEARLY
0.31
0.30
ANNUAL %
31.16
30.31
(0.13) Y
ACC-X AMBUJACEM-Y
0.83 Y
1370
175
0.33 Y
0.34
NOTE:
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.
0.0003
AMBUJACEM-Y
MBUJACEM-Y
0.0003
Max Spread
Min Spread
Current Spread
(1,053.95)
10%
(1,159)
(949)
(1,195)
2%
(1,075)
(1,033)
(1,195)
98
(151)
(141)
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
BHEL
BHEL-X
236
247.95
253.6
253.85
249.45
250.25
257.25
265.55
264.1
262.95
266.8
276.5
280
269.8
264.5
271.75
279.05
279.75
280.65
273.5
245.9
251.25
256.25
257.9
263.65
271.75
259.05
260.7
262.55
259.5
260.4
264.6
278.3
285.15
304.9
%change
5.06
2.28
0.10
(1.73)
0.32
2.80
3.23
(0.55)
(0.44)
1.46
3.64
1.27
(3.64)
(1.96)
2.74
2.69
0.25
0.32
(2.55)
(10.09)
2.18
1.99
0.64
2.23
3.07
(4.67)
0.64
0.71
(1.16)
0.35
1.61
5.18
2.46
6.93
LT
LT-Y
1018.6
1068.15
1073.9
1090.1
1084.3
1083.95
1086.8
1135.25
1145.45
1131.75
1172.95
1208.5
1273.75
1245.7
1279.45
1278.8
1281.1
1351.1
1335.5
1377.95
1313.9
1322.05
1352.4
1365.9
1363.6
1387.85
1362.25
1375.35
1364.45
1357.05
1336.45
1385.7
1455.85
1447.9
1456.3
%change LT-Y
BHEL-X
LT-Y
BHEL-X
4.86
0.05
0.05
0.0023
0.0024
0.54
0.01
0.02
0.0000
0.0005
1.51
0.01
0.00
0.0002
0.0000
(0.53)
(0.01)
(0.02)
0.0000
0.0003
(0.03)
(0.00)
0.00
0.0000
0.0000
0.26
0.00
0.03
0.0000
0.0008
4.46
0.04
0.03
0.0019
0.0010
0.90
0.01
(0.01)
0.0001
0.0000
(1.20)
(0.01)
(0.00)
0.0001
0.0000
3.64
0.04
0.01
0.0013
0.0002
3.03
0.03
0.04
0.0009
0.0013
5.40
0.05
0.01
0.0028
0.0002
(2.20)
(0.02)
(0.04)
0.0005
0.0014
2.71
0.03
(0.02)
0.0007
0.0004
(0.05)
(0.00)
0.03
0.0000
0.0007
0.18
0.00
0.03
0.0000
0.0007
5.46
0.05
0.00
0.0028
0.0000
(1.15)
(0.01)
0.00
0.0001
0.0000
3.18
0.03
(0.03)
0.0010
0.0007
(4.65)
(0.05)
(0.11)
0.0023
0.0113
0.62
0.01
0.02
0.0000
0.0005
2.30
0.02
0.02
0.0005
0.0004
1.00
0.01
0.01
0.0001
0.0000
(0.17)
(0.00)
0.02
0.0000
0.0005
1.78
0.02
0.03
0.0003
0.0009
(1.84)
(0.02)
(0.05)
0.0003
0.0023
0.96
0.01
0.01
0.0001
0.0000
(0.79)
(0.01)
0.01
0.0001
0.0001
(0.54)
(0.01)
(0.01)
0.0000
0.0001
(1.52)
(0.02)
0.00
0.0002
0.0000
3.69
0.04
0.02
0.0013
0.0003
5.06
0.05
0.05
0.0024
0.0025
(0.55)
(0.01)
0.02
0.0000
0.0006
0.58
0.01
0.07
0.0000
0.0045
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
0.78
0.42
34
0.42
0.73
0.29
1.58
1.66
0.54
1.05
0.01
0.01
BHEL-X
LT-Y
VOLATILITY
0.03
0.02
YEARLY
0.58
0.44
ANNUAL %
58.45
44.42
0.68 X
BHEL-X
LT-Y
1.67 X
300
1400
2.31 X
NOTE:
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.
0.0006
0.0010
Max Spread
Min Spread
Current Spread
1,003.00
10%
1,103
903
1,100
2%
1,023
983
1,100
175
(183)
97
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
IFCI
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SPREAD
-
SPREAD DIFF
-
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
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34
VOLATILITY
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300
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1400
NOTE:
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.
#DIV/0!
#DIV/0!
Max Spread
Min Spread
Current Spread
10%
1,100
2%
1,100
1,100
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
SBI
SBI-X
1614.7
1690.05
1671.5
1673.55
1659.35
1656.95
1625.3
1695.5
1721.9
1751.6
1755.6
1804.05
1833.7
1854
1872.75
1907.05
1929.1
2040.25
2041.5
2020.15
1980.15
2058.4
2077.15
2054.45
2085.2
2141.4
2147.1
2171.65
2188.5
2173.6
2134.15
2202.05
2258.7
2349.45
2424.55
HDFC
%change HDFC-Y
654.15
4.67 671.45
(1.10) 665.6
673
0.12
674.15
(0.85)
(0.14) 671.6
(1.91) 668.45
4.32 686.05
1.56 685.05
692.5
1.72
688.05
0.23
681
2.76
1.64 680.55
686.4
1.11
696.6
1.01
696.35
1.83
698.4
1.16
5.76 704.75
713.6
0.06
(1.05) 703.6
694
(1.98)
703.1
3.95
694.5
0.91
689.25
(1.09)
1.50 700.75
702.4
2.70
689.65
0.27
700.1
1.14
0.78 701.35
(0.68) 697.5
(1.81) 699.45
3.18 700.55
2.57 715.85
4.02 719.95
3.20 718.75
%change HDFC-Y
SBI-X
HDFC-Y
SBI-X
2.64
0.03
0.05
0.0007
0.0021
(0.87)
(0.01)
(0.01)
0.0001
0.0001
1.11
0.01
0.00
0.0001
0.0000
0.17
0.00
(0.01)
0.0000
0.0001
(0.38)
(0.00)
(0.00)
0.0000
0.0000
(0.47)
(0.00)
(0.02)
0.0000
0.0004
2.63
0.03
0.04
0.0007
0.0018
(0.15)
(0.00)
0.02
0.0000
0.0002
1.09
0.01
0.02
0.0001
0.0003
(0.64)
(0.01)
0.00
0.0000
0.0000
(1.02)
(0.01)
0.03
0.0001
0.0007
(0.07)
(0.00)
0.02
0.0000
0.0003
0.86
0.01
0.01
0.0001
0.0001
1.49
0.01
0.01
0.0002
0.0001
(0.04)
(0.00)
0.02
0.0000
0.0003
0.29
0.00
0.01
0.0000
0.0001
0.91
0.01
0.06
0.0001
0.0031
1.26
0.01
0.00
0.0002
0.0000
(1.40)
(0.01)
(0.01)
0.0002
0.0001
(1.36)
(0.01)
(0.02)
0.0002
0.0004
1.31
0.01
0.04
0.0002
0.0015
(1.22)
(0.01)
0.01
0.0002
0.0001
(0.76)
(0.01)
(0.01)
0.0001
0.0001
1.67
0.02
0.01
0.0003
0.0002
0.24
0.00
0.03
0.0000
0.0007
(1.82)
(0.02)
0.00
0.0003
0.0000
1.52
0.02
0.01
0.0002
0.0001
0.18
0.00
0.01
0.0000
0.0001
(0.55)
(0.01)
(0.01)
0.0000
0.0000
0.28
0.00
(0.02)
0.0000
0.0003
0.16
0.00
0.03
0.0000
0.0010
2.18
0.02
0.03
0.0005
0.0006
0.57
0.01
0.04
0.0000
0.0016
(0.17)
(0.00)
0.03
0.0000
0.0010
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
1.19
0.32
34
0.32
(0.10)
1.05
5.23
3.51
0.55
0.01
SBI-X
HDFC-Y
VOLATILITY
0.02
0.01
YEARLY
0.37
0.21
ANNUAL %
36.78
21.18
(0.15) Y
SBI-X
HDFC-Y
0.53 Y
2429
718
0.62 Y
0.28
0.00
NOTE:
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.
0.0001
0.0005
Max Spread
Min Spread
Current Spread
(1,258.47)
10%
(1,384)
(1,133)
(1,711)
2%
(1,284)
(1,233)
(1,711)
302
(447)
(453)
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
SBI
SBI-X
742.65
779.6
772.45
792.4
783.1
783.25
797.25
840.35
866
883.85
873.6
868.1
896.05
879.1
891.8
929.7
940.4
989.75
976.55
954.85
950.05
939.85
961.9
954.75
965.05
977.1
987.7
985.7
1005.85
1013.3
1000.85
1019.05
1053.4
1058
1081.1
%change
4.98
(0.92)
2.58
(1.17)
0.02
1.79
5.41
3.05
2.06
(1.16)
(0.63)
3.22
(1.89)
1.44
4.25
1.15
5.25
(1.33)
(2.22)
(0.50)
(1.07)
2.35
(0.74)
1.08
1.25
1.08
(0.20)
2.04
0.74
(1.23)
1.82
3.37
0.44
2.18
PNB
PNB-Y
1614.7
1690.05
1671.5
1673.55
1659.35
1656.95
1625.3
1695.5
1721.9
1751.6
1755.6
1804.05
1833.7
1854
1872.75
1907.05
1929.1
2040.25
2041.5
2020.15
1980.15
2058.4
2077.15
2054.45
2085.2
2141.4
2147.1
2171.65
2188.5
2173.6
2134.15
2202.05
2258.7
2349.45
2424.55
%change PNB-Y
SBI-X
PNB-Y
SBI-X
4.67
0.05
0.05
0.0021
0.0024
(1.10)
(0.01)
(0.01)
0.0001
0.0001
0.12
0.00
0.03
0.0000
0.0007
(0.85)
(0.01)
(0.01)
0.0001
0.0001
(0.14)
(0.00)
0.00
0.0000
0.0000
(1.91)
(0.02)
0.02
0.0004
0.0003
4.32
0.04
0.05
0.0018
0.0028
1.56
0.02
0.03
0.0002
0.0009
1.72
0.02
0.02
0.0003
0.0004
0.23
0.00
(0.01)
0.0000
0.0001
2.76
0.03
(0.01)
0.0007
0.0000
1.64
0.02
0.03
0.0003
0.0010
1.11
0.01
(0.02)
0.0001
0.0004
1.01
0.01
0.01
0.0001
0.0002
1.83
0.02
0.04
0.0003
0.0017
1.16
0.01
0.01
0.0001
0.0001
5.76
0.06
0.05
0.0031
0.0026
0.06
0.00
(0.01)
0.0000
0.0002
(1.05)
(0.01)
(0.02)
0.0001
0.0005
(1.98)
(0.02)
(0.01)
0.0004
0.0000
3.95
0.04
(0.01)
0.0015
0.0001
0.91
0.01
0.02
0.0001
0.0005
(1.09)
(0.01)
(0.01)
0.0001
0.0001
1.50
0.01
0.01
0.0002
0.0001
2.70
0.03
0.01
0.0007
0.0002
0.27
0.00
0.01
0.0000
0.0001
1.14
0.01
(0.00)
0.0001
0.0000
0.78
0.01
0.02
0.0001
0.0004
(0.68)
(0.01)
0.01
0.0000
0.0001
(1.81)
(0.02)
(0.01)
0.0003
0.0002
3.18
0.03
0.02
0.0010
0.0003
2.57
0.03
0.03
0.0006
0.0011
4.02
0.04
0.00
0.0016
0.0000
3.20
0.03
0.02
0.0010
0.0005
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
1.10
0.57
34
0.57
0.56
0.38
2.77
1.78
0.60
1.19
0.01
0.01
SBI-X
PNB-Y
VOLATILITY
0.02
0.02
YEARLY
0.38
0.37
ANNUAL %
38.45
36.78
0.52 X
SBI-X
PNB-Y
2.88 X
1019
2202
1.93 X
NOTE:
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.
0.0005
0.0005
Max Spread
Min Spread
Current Spread
1,030.59
10%
1,134
928
1,183
2%
1,051
1,010
1,183
313
(203)
152
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
WIPRO
WIPRO-X
403.2
420.15
420.05
416.6
409.5
410.3
406.3
407.25
403.05
394.2
402.4
410.15
416.8
405.6
406.35
416.3
418.8
422.9
421.75
421.25
413.35
417.05
415.6
428.55
429.65
428.75
430.1
437.5
447.55
451.2
439.3
437.85
438.4
441.65
451.35
%change
4.20
(0.02)
(0.82)
(1.70)
0.20
(0.97)
0.23
(1.03)
(2.20)
2.08
1.93
1.62
(2.69)
0.18
2.45
0.60
0.98
(0.27)
(0.12)
(1.88)
0.90
(0.35)
3.12
0.26
(0.21)
0.31
1.72
2.30
0.82
(2.64)
(0.33)
0.13
0.74
2.20
TCS
TCS-Y
1182.25
1204
1179.95
1180.8
1180.2
1179.95
1182
1179
1147.4
1108.15
1095.45
1114.7
1114.95
1081
1083.55
1086.2
1084.25
1091.4
1104.9
1114
1117.35
1138
1138
1155.95
1174.05
1203
1209.7
1228.5
1238.9
1233
1232.75
1230
1249
1227.8
1234.8
%change TCS-Y
WIPRO-X TCS-Y
WIPRO-X
1.84
0.02
0.04
0.0003
0.0017
(2.00)
(0.02)
(0.00)
0.0004
0.0000
0.07
0.00
(0.01)
0.0000
0.0001
(0.05)
(0.00)
(0.02)
0.0000
0.0003
(0.02)
(0.00)
0.00
0.0000
0.0000
0.17
0.00
(0.01)
0.0000
0.0001
(0.25)
(0.00)
0.00
0.0000
0.0000
(2.68)
(0.03)
(0.01)
0.0007
0.0001
(3.42)
(0.03)
(0.02)
0.0012
0.0005
(1.15)
(0.01)
0.02
0.0001
0.0004
1.76
0.02
0.02
0.0003
0.0004
0.02
0.00
0.02
0.0000
0.0003
(3.04)
(0.03)
(0.03)
0.0010
0.0007
0.24
0.00
0.00
0.0000
0.0000
0.24
0.00
0.02
0.0000
0.0006
(0.18)
(0.00)
0.01
0.0000
0.0000
0.66
0.01
0.01
0.0000
0.0001
1.24
0.01
(0.00)
0.0002
0.0000
0.82
0.01
(0.00)
0.0001
0.0000
0.30
0.00
(0.02)
0.0000
0.0004
1.85
0.02
0.01
0.0003
0.0001
(0.00)
0.0000
1.58
0.02
0.03
0.0002
0.0009
1.57
0.02
0.00
0.0002
0.0000
2.47
0.02
(0.00)
0.0006
0.0000
0.56
0.01
0.00
0.0000
0.0000
1.55
0.02
0.02
0.0002
0.0003
0.85
0.01
0.02
0.0001
0.0005
(0.48)
(0.00)
0.01
0.0000
0.0001
(0.02)
(0.00)
(0.03)
0.0000
0.0007
(0.22)
(0.00)
(0.00)
0.0000
0.0000
1.54
0.02
0.00
0.0002
0.0000
(1.70)
(0.02)
0.01
0.0003
0.0001
0.57
0.01
0.02
0.0000
0.0005
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
0.33
0.43
34
0.43
(0.01)
0.23
0.97
0.59
0.49
0.00
0.00
WIPRO-X TCS-Y
VOLATILITY
0.02
0.01
YEARLY
0.30
0.26
ANNUAL %
29.70
26.37
(0.06) Y
WIPRO-X
TCS-Y
0.18 Y
1234
451
0.12 Y
0.13
NOTE:
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.
0.0002
0.0003
Max Spread
Min Spread
Current Spread
741.83
10%
816
668
(783)
2%
757
727
(783)
69
(76)
(1,525)
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
INFY
INFY-X
2839.05
2897.55
2884.9
2872.15
2866.95
2867.6
2867.4
2897.5
2857.2
2622.6
2619.6
2665.2
2686.3
2632.9
2621.15
2614.5
2627.5
2641.15
2680.6
2735.45
2723.75
2755.5
2752.6
2787.25
2783.05
2745.45
2785.05
2822.05
2799
2802.95
2817.75
2879.2
2915.2
2957.15
%change
2.06
(0.44)
(0.44)
(0.18)
0.02
(0.01)
1.05
(1.39)
(8.21)
(0.11)
1.74
0.79
(1.99)
(0.45)
(0.25)
0.50
0.52
1.49
2.05
(0.43)
1.17
(0.11)
1.26
(0.15)
(1.35)
1.44
1.33
(0.82)
0.14
0.53
2.18
1.25
1.44
(100.00)
TCS
TCS-Y
1182.25
1204
1179.95
1180.8
1180.2
1179.95
1182
1179
1147.4
1108.15
1095.45
1114.7
1114.95
1081
1083.55
1086.2
1084.25
1091.4
1104.9
1114
1117.35
1138
1138
1174.05
1203
1209.7
1228.5
1238.9
1233
1232.75
1230
1249
1227.8
1234.8
%change TCS-Y
INFY-X
TCS-Y
INFY-X
1.84
0.02
0.02
0.0003
0.0004
(2.00)
(0.02)
(0.00)
0.0004
0.0000
0.07
0.00
(0.00)
0.0000
0.0000
(0.05)
(0.00)
(0.00)
0.0000
0.0000
(0.02)
(0.00)
0.00
0.0000
0.0000
0.17
0.00
(0.00)
0.0000
0.0000
(0.25)
(0.00)
0.01
0.0000
0.0001
(2.68)
(0.03)
(0.01)
0.0007
0.0002
(3.42)
(0.03)
(0.09)
0.0012
0.0073
(1.15)
(0.01)
(0.00)
0.0001
0.0000
1.76
0.02
0.02
0.0003
0.0003
0.02
0.00
0.01
0.0000
0.0001
(3.04)
(0.03)
(0.02)
0.0010
0.0004
0.24
0.00
(0.00)
0.0000
0.0000
0.24
0.00
(0.00)
0.0000
0.0000
(0.18)
(0.00)
0.00
0.0000
0.0000
0.66
0.01
0.01
0.0000
0.0000
1.24
0.01
0.01
0.0002
0.0002
0.82
0.01
0.02
0.0001
0.0004
0.30
0.00
(0.00)
0.0000
0.0000
1.85
0.02
0.01
0.0003
0.0001
(0.00)
0.0000
3.17
0.03
0.01
0.0010
0.0002
2.47
0.02
(0.00)
0.0006
0.0000
0.56
0.01
(0.01)
0.0000
0.0002
1.55
0.02
0.01
0.0002
0.0002
0.85
0.01
0.01
0.0001
0.0002
(0.48)
(0.00)
(0.01)
0.0000
0.0001
(0.02)
(0.00)
0.00
0.0000
0.0000
(0.22)
(0.00)
0.01
0.0000
0.0000
1.54
0.02
0.02
0.0002
0.0005
(1.70)
(0.02)
0.01
0.0003
0.0002
0.57
0.01
0.01
0.0000
0.0002
(100.00) #NUM!
#NUM!
#NUM!
#NUM!
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
0.14
0.55
33
0.55
0.06
0.02
0.20
0.10
0.68
0.14
0.00
0.00
INFY-X
TCS-Y
VOLATILITY
0.02
0.01
YEARLY
0.35
0.28
ANNUAL %
34.87
27.71
0.03 X
INFY-X
TCS-Y
0.17 Y
2957
1234
0.11 X
NOTE:
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.
s
0.073321
b
2755
b
0.062522
1138
s
2783
1203
0.0002
0.0003
Max Spread
Min Spread
Current Spread
0.084359
0.025769
(1,611.01)
10%
(1,772)
(1,450)
(1,723)
2%
(1,643)
(1,579)
(1,723)
1,611
(111)
(112)
Date
2-Jan-12
3-Jan-12
4-Jan-12
5-Jan-12
6-Jan-12
7-Jan-12
9-Jan-12
10-Jan-12
11-Jan-12
12-Jan-12
13-Jan-12
16-Jan-12
17-Jan-12
18-Jan-12
19-Jan-12
20-Jan-12
23-Jan-12
24-Jan-12
25-Jan-12
27-Jan-12
30-Jan-12
31-Jan-12
1-Feb-12
2-Feb-12
3-Feb-12
6-Feb-12
7-Feb-12
8-Feb-12
9-Feb-12
10-Feb-12
13-Feb-12
14-Feb-12
15-Feb-12
16-Feb-12
17-Feb-12
INFY
INFY-X
2839.05
2897.55
2884.9
2872.15
2866.95
2867.6
2867.4
2897.5
2857.2
2622.6
2619.6
2665.2
2686.3
2632.9
2621.15
2614.5
2627.5
2641.15
2680.6
2735.45
2723.75
2755.5
2752.6
2760.05
2787.25
2783.05
2745.45
2785.05
2822.05
2799
2802.95
2817.75
2879.2
2915.2
2957.15
WIPRO
%change WIPRO-Y %change WIPRO-Y INFY-X
WIPRO-Y INFY-X
403.2
420.15
2.06
4.20
0.04
0.02
0.0017
0.0004
(0.44) 420.05
(0.02)
(0.00)
(0.00)
0.0000
0.0000
(0.44) 416.6
(0.82)
(0.01)
(0.00)
0.0001
0.0000
409.5
(0.18)
(1.70)
(0.02)
(0.00)
0.0003
0.0000
410.3
0.02
0.20
0.00
0.00
0.0000
0.0000
(0.01) 406.3
(0.97)
(0.01)
(0.00)
0.0001
0.0000
407.25
1.05
0.23
0.00
0.01
0.0000
0.0001
(1.39) 403.05
(1.03)
(0.01)
(0.01)
0.0001
0.0002
(8.21) 394.2
(2.20)
(0.02)
(0.09)
0.0005
0.0073
402.4
(0.11)
2.08
0.02
(0.00)
0.0004
0.0000
1.74 410.15
1.93
0.02
0.02
0.0004
0.0003
416.8
0.79
1.62
0.02
0.01
0.0003
0.0001
(1.99) 405.6
(2.69)
(0.03)
(0.02)
0.0007
0.0004
(0.45) 406.35
0.18
0.00
(0.00)
0.0000
0.0000
416.3
(0.25)
2.45
0.02
(0.00)
0.0006
0.0000
418.8
0.50
0.60
0.01
0.00
0.0000
0.0000
422.9
0.52
0.98
0.01
0.01
0.0001
0.0000
421.75
1.49
(0.27)
(0.00)
0.01
0.0000
0.0002
2.05 421.25
(0.12)
(0.00)
0.02
0.0000
0.0004
(0.43) 413.35
(1.88)
(0.02)
(0.00)
0.0004
0.0000
417.05
1.17
0.90
0.01
0.01
0.0001
0.0001
(0.11) 415.6
(0.35)
(0.00)
(0.00)
0.0000
0.0000
428.55
0.27
3.12
0.03
0.00
0.0009
0.0000
0.99 429.65
0.26
0.00
0.01
0.0000
0.0001
(0.15) 428.75
(0.21)
(0.00)
(0.00)
0.0000
0.0000
430.1
(1.35)
0.31
0.00
(0.01)
0.0000
0.0002
437.5
1.44
1.72
0.02
0.01
0.0003
0.0002
1.33 447.55
2.30
0.02
0.01
0.0005
0.0002
451.2
(0.82)
0.82
0.01
(0.01)
0.0001
0.0001
439.3
0.14
(2.64)
(0.03)
0.00
0.0007
0.0000
0.53 437.85
(0.33)
(0.00)
0.01
0.0000
0.0000
438.4
2.18
0.13
0.00
0.02
0.0000
0.0005
1.25 441.65
0.74
0.01
0.01
0.0001
0.0002
451.35
1.44
2.20
0.02
0.01
0.0005
0.0002
rf
Average
COV(X)
Count
Beta
Alpha
jAlpha
Sharpe
Treynor
Correlation Co-eff
8.00%
0.13
0.45
34
0.45
0.28
(0.06)
0.18
0.12
0.50
0.33
0.00
0.00
INFY-X
WIPRO-Y
VOLATILITY
0.02
0.02
YEARLY
0.34
0.30
ANNUAL %
34.29
29.70
0.23 X
INFY-X WIPRO-Y
0.74 X
2960
450
0.57 X
NOTE:
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.
0.0003
0.0003
Max Spread
Min Spread
Current Spread
(2,352.64)
10%
(2,588)
(2,117)
(2,510)
2%
(2,400)
(2,306)
(2,510)
154
(153)
(157)