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D4)Market Analysis
D6)
Excel - Monthly regression USD/CHF spot price & CHF Future Contract (ended 31 Mar 2014)
spot
Date
11/29/13
10/31/13
09/30/13
08/30/13
07/31/13
Yaxis
SUMMARY
Last
OUTPUT
Price
future
Date
11/29/1
Regression Statistics
0.9054
3
0.98905
10/31/1
8
0.9069Multiple
0.0015R
3
0.97823
09/30/1
5
0.9049R Square
0.002
3
Adjusted R
0.97605
Square 08/30/18
0.00262
0.9298 0.0249
3
Standard Error
07/31/18
0.9262Observations
0.0036
3
12
06/28/13
0.945
0.0188
06/28/1
3
05/31/13
0.9551
0.0101
04/30/13
0.9293
0.0258
05/31/1
3
04/30/1
3
03/29/13
0.9492
0.0199
02/28/13
0.9367
0.0125
01/31/13
0.91 0.0267
03/29/1
3
02/28/1
3
01/31/1
3
X-Axis
Last
Price
Inverse Market
Price
110.57
0.904404
110.56
0.904486
110.79
0.902609
107.61
0.929282
108.54
0.921319
106.29
0.940822
104.58
0.956206
108.06
0.925412
106.03
0.943129
107.37
0.931359
110.55
0.904568
12/31/12
0.9154
0.0054
12/31/1
2
110.36
0.906125
11/30/12
0.9281
0.0127
11/30/1
2
108.85
0.918695
ANOVA
df
SS
MS
-8.18157E05
0.00187773
3
0.02667315
3
0.00796233
1
0.01950298
4
0.01538347
7
0.03079401
4
0.01771752
1
0.01177041
5
0.02679081
2
0.00155730
4
0.01257004
6
Significan
ce F
Regression
0.003104
10
11
Coefficien
ts
6.91E-05
0.003173
Standard
Error
Intercept
-0.00079
0.00076
X Variable 1
0.921244
0.043454
Residual
Total
0.00310
4
6.91E06
449.452
3
t Stat
P-value
0.32065
7
1.21E09
1.04493
21.2002
9
1.21E-09
Lower
95%
-0.00249
0.824422
Upper
95%
Lower
95.0%
Upper
95.0%
0.0009
1.01806
7
-0.00249
0.0009
0.824422
1.018067
D7) Excel Weekly regression of USD/CHF spot price &CHF Future Contract (ended 31 Mar 2014)
Standard
Deviation
Correlation
Covariance
Hedge ratio
Spot
Future
0.0112 0.01132
5
5
0.9917
8
0.0001
3
0.9850
1
Spot y
Date
11/29/13
11/22/13
Yaxis
Last
Price
0.0014
X-Axis
11/29/13
Inverse Market
Last Price
Price
110.559999
9
0.904486252
11/22/13
110.339999
2
Date
0.9053
0.9067
Futur
e
0.906289657
11/15/13
0.9148
11/08/13
0.9215
0.0081
0.0067
11/01/13
0.9123
0.0092
11/01/13
10/25/13
0.8926
0.0197
10/25/13
109.379994
9
108.509993
6
109.700000
3
112.159991
3
10/18/13
0.9017
0.0091
10/18/13
110.969996
5
10/11/13
0.9119
0.0102
10/11/13
10/04/13
0.9072
0.0047
10/04/13
09/27/13
0.9059
0.0013
09/27/13
109.899997
7
110.409998
9
110.570001
6
09/20/13
0.9103
0.0044
09/20/13
110.029995
4
0.90884308
09/13/13
0.9297
0.0194
09/13/13
107.799994
9
0.927643828
09/06/13
0.9379
0.0082
09/06/13
08/30/13
0.9298
0.0081
08/30/13
08/23/13
0.9222
0.0076
08/23/13
08/16/13
0.9265
0.0043
08/16/13
11/15/13
11/08/13
106.819999
2
107.609999
2
108.700001
2
108.200001
7
108.640003
0.914243963
0.921574103
0.911577026
0.891583522
0.901144482
0.909918126
0.905715071
0.904404437
0.936154285
0.929281672
0.919963191
0.924214403
0.00180340
4
0.00795430
6
0.00733014
0.00999707
7
0.01999350
4
0.00956096
1
0.00877364
4
0.00420305
5
0.00131063
5
0.00443864
4
0.01880074
8
0.00851045
7
0.00687261
3
0.00931848
1
0.00425121
2
0.00374314
SUMMARY
OUTPUT
Regression Statistics
0.99178184
Multiple R
5
0.98363122
R Square
9
Adjusted R
0.98330385
Square
3
0.00146751
Standard Error
3
Observations
52
ANOVA
df
Regression
Residual
Total
Intercept
SS
1
0.006470683
50
51
Coefficient
s
0.00016930
0.00010768
0.006578363
Standard
Error
0.000203567
MS
0.00647068
3
2.15359E06
F
3004.59700
1
t Stat
P-value
0.40953806
2
0.83169069
Significanc
eF
2.53589E46
Lower 95%
-0.00057818
Upper 95%
0.00023957
1
Lower
95.0%
0.00057818
Upper
95.0%
0.00023957
1
5
X Variable 1
0.98500863
0.017969952
1
54.8142043
7
2.53589E46
0.94891491
9
1.02110234
1
0.94891491
9
1.02110234
1