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AUTHORIZATION
The project is submitted as specialization project as per requirements of Post Graduate Diploma in Management from SIVA SIVANI INSTITUTE OF MANAGEMENT, KOMPALLY, SECUNDERABAD. I hereby declare that following projects Equity Research, Valuation of Financial Services industry, Pair Trading are original and bon-a-fide work done by me. This report has been authorized by Dr.
Director Ac a d e mi c , M AN A GE M E N T as a SIVA SI V AN I V.G. Chari, I N ST I T U T E OF
of
evaluation
for
the
ACKNOWLEDGEMENT
Surpassing milestones towards a mission sometimes gives us such degree of jubilance that we tend to forfeit the precious guidance and help extended by the people to whom the success of mission is solely dedicated. I would also like to thank my faculty guide Prof Dr. V. G. Chari who has been a source of constant inspiration, stimulating me to learn and making my learning process an enlightening experience. Lastly, it gives me immense gratification to place on records my profound gratitude and sincere appreciation to each and every one of those who have helped me in this endeavor.
TABLE OF CONTENTS
1. EXECUTIVE SUMMARY..... 8 2. MAJOR PROJECTS.. 9 3. PURPOSE & BENEFITS.10 4. OBJECTIVE.11 5. Introduction to financial services industries in India...12 6. India - Strategic Map in financial services industries12 7. Financial services industries Over View.13 1) Stock markets.14 2) Insurance.14 3) Banking services15 4) Government Initiatives.15 8. Private Equity Outlook in India.16 1) Strong Macroeconomic Outlook.16 2) Private Equity in India The Story So Far16 3) Private Equity in India Future Outlook17 4) India Lags the Developed Markets In PE Investment Levels.17 5) PE Investments in India Getting More Diversified 18 6) Key Industry Groups to Look for19 7) Risks and Opportunities in India.20 I. Risks.20 II. Opportunities in Public Sector Undertakings (PSUs).20 III. Opportunities in Family-run Businesses.21 9. PAIR TRADING.22 1) What Is Pairs Trading?...........................................22 2) An Example Using Stocks 23 3) An Example Using Futures Contracts ..............................25 4) An Example Using Options .25 5) Evidence of Profitability.25
Equity Research Report 10. Market-neutral strategy.26 1) TYPES OF MARKET NEUTRALITY.26 I. Share Neutrality.26 II. Dollar neutrality.26 III. Sector neutrality.27 IV. Beta Neutrality.27 V. Market capitalization neutrality.27 11. MARKET NEUTRAL INVESTMENT PROCESS .28 1) INITIAL SCREEN28 2) LIQUIDITY.28 3) SHORT SALE ABILITY28 4) INVOLVEMENT IN CORPORATE ACTION29 5) STOCK SELECTION.29 12. FUNDAMENTAL TRADE.30 13. CORRELATION BETWEEN PAIR.30 14. TECHNICAL TRADE.31 15. MARKET STRENGTH INDICATORS.31 16. MOVING AVERAGE INDICATORS32 17. BOLLINGER BAND..32 18. RELATIVE STRENGTH INDEX.32 19. VOLUME AS INDICATOR33 20. FINAL PORTFOLIO SELECTION34 21. Summary34 22. Other Pairs34 23. CONCLUSION35 24. REFERENCE36 25. ANNEXURE.37
LIST OF FIGURES
1. India - Strategic Map.12 2. Private Equity in India The Story So Far16 3. Private Equity in India Future Outlook17 4. PE Investments in India Getting More Diversified 2000..18 5. PE Investments in India Getting More Diversified 200818 6. Closing Price of AXIS BANK & ICICI BANK23 7. Bollinger Band24 8. Price Ratio and Mean Value of Pair31 9. BOLLINGER BAND AXIS Bank & ICICI Bank.32 10. Price Ratio & Mean Value Of Axis Bank & ICICI Bank..33 11. AXIS Bank/ ICICI Bank Volatility33
LIST OF TABLES
1. Private Equity Investments as a Percentage of GDP (2008) 17 2. Percentage by Number &Market Capitalization of the Hundred Companies Comprising BSE-10021 3. Correlation between the pair30 4. Summary Table34 5. Other Pairs..34
EXECUTIVE SUMMARY
Equity Research is the area which deals with the live economy. Equity Research is a field that has evolved and transformed the Financial Sector over the Past few decades. With the Capital market in doldrums, sentiments and confidence reaching all time lows, investors are going back to fundamental and technical analysis which seems to have taken a back seat from past few years. Equity Research helps the investor to know about the value, risk & volatility of the covered security, and thus assist investors to decide whether to buy, hold, sell, sell short, or simply avoid the security in question. In the process of research, analysts require high level of real time as well as historical data, so as to evaluate and analyze different aspects of the covered security. With Technology, the availability of data is no matter today but there are tools and models needed to analyze the data. The project is divided into three parts. The first topic emphasizes on financial services industries in India. The main idea is to identify the Financial Services Industries Overview and analyze the working of different financial services. This topic also includes Geographical Spread and Service Quality of different financial companies. The second topic emphasizes on Private Equity Outlook in India. The main idea is to identify the trend of investment in Private Equity over a period of time. This part also includes forecasting of the trend of Private equity in next ten years. The third topic deals with Long/Short Trading Strategies: Stock pairing ideas. This is the new project that the company is working on. There are two components of this part. First is to Identifying the pairs and best trading rules that should lead to higher returns and lower volatility of returns. And second is for Opening a position when the ratio reaches two standard deviations away from the mean and closing it at one standard deviation or when the price ratio approach its mean value, this methodology has a reasonable balance between reward and risk.
MAJOR PROJECTS
The project is categorized under the following major topics. The first topic emphasizes on Introduction to financial services industries in India. The main idea is to identify the Financial Services Industries Overview and analysis the working of different financial services. This topic also includes Geographical Spread and Service Quality of different financial companies. The second topic emphasizes on Private Equity Outlook in India. The main idea is to identify the trend of investment in Private Equity over a period of time. This part also includes forecasting of the trend of Private equity in next ten years. The third topic deals with Long/Short Trading st r a t e g i e s : Stock pairing ideas. This is the new project that the company is working on. There are two components of the project Identifying the pairs and best trading rules that should lead to higher returns and lower volatility of returns. Opening a position when the ratio reaches two standard deviations away from the mean and closing it at one standard deviation or when the price ratio approach its mean value, this methodology has a reasonable balance between reward and risk.
10
OBJECTIVE
Introduction to financial services industries in India
To determine the present factors affecting the
financial services industries in India To determine the - Strategic Map of financial services companies with respect of Geographical spread & Service Quality.
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Low
Financia l Service s
Commerci al Ban k
Investme nt Service s
Insurance
Advisory Services
Private banking Investment Bank cards Credit card machine services and networks
Banks
services
Reinsurance
Karur Vysya
Rural
Urban
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newly elected government, the ripple effect is likely to felt across all the financial services in India. The sectors, including banking and insurance, and mutual funds are all beginning to reap the benefits of a good closure for 2008-09. In 2008-09, the Indian economy is estimated to have grown by 6.7 per cent. According to the latest Central Statistical Organization (CSO) data, financial services and real estate sector rose by 9.5 per cent in the first quarter of 2009-10. The government has taken a number of steps in recent months to revive the economy, including slashing interest rates, lowering factory levies and more than doubling the limit on foreign investment in corporate bonds. The financial services space is a rapidly growing one in India. The country received US$ 45 billion in foreign currency remittances from non-resident Indians in 2008, the highest in the world. April-May 2009 saw increased inflow in to equity with investors steadily turning positive on equity according to mutual fund analysts. As per the Securities and Exchange Board of India (SEBI), on May 15, net investment of mutual funds in equity was around US$ 83.3 million lowering to US$ 20.5 million on May 21. As against this, net investment of mutual funds in debt has more than tripled from US$ 42.9 million on May 15 to US$ 134.2 million on May 31, 2009. There is optimism in the economy as funds are investing in corporate bonds, making liquidity available to enterprises. The total amount traded in corporate bonds tripled from US$ 17.8 million to US$ 55.7 million during May 15 to May 21, 2009. The largest fund house, Reliance Mutual Fund, registered 16 per cent growth in its average assets under management (AUM) to US$ 21.6 billion in May 2009 compared to Aprils figure of US$ 18.6 billion. The second-largest fund house, HDFC Mutual Fund, grew 18 per cent to US$ 16 billion, compared with the previous months figure of US$ 13.4 billion. The Spice Group is now looking for a US$ 1-billion valuation in financial services business in the next three to five years. It has put US$ 105.2 million as seed money for the financial services business and is roping in a Singapore-based firm as a partner for the asset reconstruction business. India has increased its exposure to American debt securities by over three-fold to US$ 38.2 billion till March 2009 as against US$ 11.8 billion in March 2008, according to the data from the US Treasury Department.
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Equity Research Report Stock markets Indias market capitalization (m-cap) has touched US$ 1.04 trillion making it the ninth largest in the world. Indias share in the total world m-cap has risen to 2.79 per cent currently. The Indian stock market has currently responded to the optimism of reforms by the new stable government and its continuity in policies. Further, according to global consultancy firm, Deloitte Haskins & Sells, the Indian economy and capital markets are expected to witness a turnaround within six to nine months. Fund raising by India Inc through initial public offers (IPOs) rose by a whopping 62 per cent since the beginning of 2008 to May 29, 2008 to US$ 4.2 billion, against US$ 2.6 billion during the same period in 2006, according to global deal data provider, Dealogic. According to Goldman Sachs, Indian companies may raise US$ 4 billion-6 billion from IPOs in the fiscal year ending March 31, 2010 Insurance India is the fifth largest life insurance market in the emerging insurance economies globally and the segment is growing at a healthy 3234 per cent annually. The insurance industrys sales rose the fastest in two years since April 2007. The countrys 22 life insurance companies saw 29.5 per cent rise in premium collected through sale of new policies to US$ 758 million in April 2009, as against US$ 585 million in the corresponding period last year. In case of LIC, which recorded 69.33 per cent growth in first-year premium during April 2009, a bulk of the growth came from the group single premium segment and individual single premium rose to US$ 89.8 million from US$ 77 million in the corresponding period of last year. According to a report by research firm RNCOS'Booming Insurance Market in India (20082011)'the total life insurance premium in India is projected to grow to US$ 259.72 billion by 201011. Life Insurance Corporation (LIC) is bullish on growth and is targetting business in excess of US$ 59.14 billion by 201112. The government is planning to ease restrictions on foreign investments in insurance, banking and pensions, and allow foreign direct investment (FDI) of 49 per cent from the present 26 per cent. The Mallassurance delivery channel is first of its kind in India's insurance sector, selling life and general insurance policies through all Future Group retail outlets across the country. For Future Generali Insurance, a sizeable chunk of their customers now comes through the Mallassurance route.
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Equity Research Report Online sales take place through two major channels through direct sales by the insurers and through online insurance portals which offer a range of products from various insurers. The most active insurers online are ICICI Lombard, Bajaj Allianz etc. Banking services During 2008-09, State Bank of India (SBI) and associate banks advanced US$ 16.8 billion for infrastructure projects such as power plants and petroleum refineries. The big-sized credits have made SBI and group one of the largest project financiers in the country. IDFC Mutual Fund and Bank of India have entered into a strategic alliance to distribute and market mutual fund products of IDFC through Bank of India's branches. Government Initiatives The Central Board of Direct Taxes (CBDT) has changed the investment pattern for recognised provident funds and superannuation trusts managed by the private sector under the income-tax rules to take a greater exposure in the stock market from April 1, 2009
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Number of Deals
Projections - 2020
GDP of $1,030 billion during calendar year 2007 Assuming real GDP growth rate of 8% per year and an average of 5.5% inflation: GDP of $1.920 billion in 2012 GDP of $5,040 billion in 2020
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Number of Deals Value of Deals
(Source: Evalueserve, IVCA, Venture Intelligence India) First started in 1975 by Risk Capital Foundation followed by other domestic financial institutions After 1996, international VC and PE firms started investing in India Investments started surging in 2004 16
6,000
Number of Deal
500 470 250 80 20 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
Number of Deals
Value of Investments
PE Investments of US $21.5 billion in 2011 to increase to US $25 billion by 2013 366 PE firms currently operating in India and another 69 planning to start their operations soon US $48 billion already earmarked for investment during the next three and a half years
India Lags the Developed Markets In PE Investment Levels:Private Equity Investments as a Percentage of GDP (2006) PE PE Investment/GDP Countries GDP Investment Ratio USA $13,245 billion $191 billion 1.44% UK $2,374 billion $42.3 billion 1.78% China India
0.49% 0.82%
PE investment/GDP ratio in US/UK is much higher than China/India, India already catching up fast, projected ratio of 1.3% in 2008 Indian economy can easily absorb US $60 billion during 2008-2010 and as much as US $490 billionduring 2007-2020 including investments by hedge funds
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2010
IT & ITeS 28% Financial Services 10% Manufacturing 18%
Others 26%
PE Investments in 2010 dominated by IT & ITES Share of several other sectors esp. manufacturing, financial services, and healthcare increasing significantly New areas of investment include Engineering & Construction, Textiles, Logistics, Food and Beverages, etc.
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19
Top 42 listed PSUs make up the BSE-PSU index and have a combined market cap exceeding US $210 billion Impressive operational gains post liberalization (1991 to 2007) Average revenue per employee up 10 times Average profit per employee up 16 times Room for further efficiency gains up to 60 percent in BSE-PSU companies and perhaps more in other PSUs Recent investments from Actis in Punjab Tractors andfrom Mittal Steel in HPCL refinery are recent examples of Private participation in state owned enterprises
Key Challenge Most PSUs are hierarchical and bureaucratic in nature, and do not like external advice
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21
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For my example, I look at two businesses that are highly correlated: L&T and BHEL. Since both are INDIAN MANUFACTURERS, their stocks tend to move together.
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Equity Research Report Below is an annually chart of the price ratio between L&T and BHEL (calculated by dividing L&Ts stock price by BHELs stock price). This price ratio is sometimes called "relative performance" (not to be confused with the relative strength index, something completely different). The center Pink line represents the mean price ratio over the past One years. The Blue and Sky blue lines represent Plus(+tive) one and two standard deviations from the Mean ratio, respectively. The Red and Green lines represent Minus(-tive) one and two standard deviations from the Mean ratio, respectively. In the chart below, the potential for profit can be identified when the price ratio hits its first or second deviation. When these profitable divergences occur it is time to take a long position in the underperformer and a short position in the overachiever. The revenue from the short sale can help cover the cost of the long position, making the pairs trade inexpensive to put on. Position size of the pair should be matched by Rupees value rather than number of shares; this way a 5% move in one equals a 5% move in the other. As with all investments, there is a risk that the trades could move into the Blue & Green, so it is important to determine optimized stop-loss points before implementing the pairs trade.
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Evidence of Profitability
In June of 1998, Yale School of Management released a paper written by Even G. Gatev, William Goetzmann, and K. Geert Rouwenhorst who attempted to prove that pairs trading is profitable. Using data from 1967 to 1997, the trio found that over a six-month trading period, the pairs trade averaged a 12% return. To distinguish profitable results from plain luck, their test included conservative estimates of transaction costs and randomly selected pairs.
NOTE:The broad market is full of ups and downs that force out weak players and confound even the smartest prognosticators. Fortunately, using marketneutral strategies like the pairs trade, investors and traders can find profits in all market conditions. The beauty of the pairs trade is its simplicity. The long/short relationship of two correlated securities acts as a ballast for a portfolio caught in the choppy waters of the overall market. Good luck with your hunt for profit in pairs trading, and here's to your success in the markets.
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Market-neutral strategy
Market-neutral strategy is a trading strategy that derives its returns from the relationship between the performance of its long positions and the performance of its short positions, regardless of whether this relationship functions on the security or portfolio level. A market-neutral strategy has three key features: the combination of long and short investing, the ability to use leverage, and the inclusion of an arbitrage situation. In market neutral strategy, the return on the portfolio is a function of the return differential between the securities that are held long and those that are held short. As the market appreciates, both the long and short positions appreciate in value, so the overall portfolio value remains constant.
Share Neutrality
Share neutrality refers to balancing a trade with an equal number of long shares and short shares. This is a very uncommon approach because in terms of relationship investing, the share price of either security is somewhat irrelevant. While it is usually a good idea to trade in similarly priced securities, because it is unlikely that the two securities in question will be priced identically, share neutrality results in a disproportionate amount of exposure between the two legs of the trade.
Dollar neutrality
Dollar neutrality is the most common type of market neutrality and is usually considered a requirement for market-neutral investing in equity securities. Dollar neutrality refers to buying equal amounts of long and short investments so that the dollar risk is equal on each side of the portfolio. By employing dollar neutrality in a market-neutral strategy, an investor ensures that his net dollar exposure to market swings is zero.
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Sector neutrality
Sector neutrality means that portfolios are long/short balanced within each sector of the market to insulate the overall portfolio against the possibility that one sector will perform very well while another performs poorly. Being sector neutral avoids the risk of market swings affecting some industries or sectors differently from others
Beta Neutrality
Beta neutrality refers to balancing the beta of the long side of the portfolio against the beta of the short side of the portfolio. Beta is the measurement of a stocks volatility relative to the market. A stock with a beta of 1 move historically in sync with the market, while a stock with a higher beta tends to be more volatile than the market and a stock with a lower beta can be expected to rise and fall more slowly than the market. Beta neutrality, therefore, refers to the practice of matching the beta of the long portfolio with the beta of the short portfolio to ensure that market swings affect each portfolio in a similar way.
This strategy is used by Escorts securities in screening the stocks for pair trading:
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INITIAL SCREEN
The most important step involves initial screening of stocks. By taking this step, we can quickly eliminate a large percentage of stocks that would not be included in the portfolio under any circumstances. There are usually four criteria used during the initial screen.
LIQUIDITY
Market capitalization is most salient way to judge the liquidity of a stock. The greater the liquidity of a given security, the more assurance the fund manager can have that he will be able to quickly, easily and efficiently exit a position when time comes. As per the company policy all the stocks having market capitalization of more than 2 million averages are considered for the pair trading*
Escorts Securities have declared a list as hard to borrow stocks and are excluded from the initial screening of stocks.
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STOCK SELECTION
This is the most vital step because of its value added characteristics. Stock selection involves looking for quantifiable metrics that have strong predictive ability across a wide range of stocks. This metrics is based on fundamental and technical analysis of the stock.
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FUNDAMENTAL TRADE
The two companies being considered for pair trading are AXIS BANK and ICICI BANK. These companies make an appropriate pair because they are not only in the same sector and industry, but they follow similar business plans.
Period
MEAN(PR) Correlation
1 Yr
1.13467498 0.904893798
6 months
1.091353116 0.970676362
3 months
1.104409894 0.969121659
30
9 /1 6 /2 0 0
1 /1 6 /2 0 0
2 /1 6 /2 0 0
3 /1 6 /2 0 0
4 /1 6 /2 0 0
6 /1 6 /2 0 0 8
7 /1 6 /2 0 0 8
8 /1 6 /2 0 0 8
1 0 /1 6 /2 0
1 1 /1 6 /2 0
2 1. 8 1. 6 1. 4 1. 2 1 0. 8 0. 6 0. 4 0. 2 0
DATE
TECHNICAL TRADE
Technical analysis deals with three pieces of data: price, volume and sentiments while fundamental analysis uses huge amount of subjective data. There are thousands of indicators used worldwide however our study will be limited to those that are related to market neutral strategy. The indicators are broken down into three groups Market Strength Indicators Moving average indicators Volume as indicators
1 2 /1 6 /2 0
5 /1 6 /2 0 0
Where RS = Average for net up closing changes for N days divided by average of net down closing changes for N days. The trader selects the number of days to be used; 5, 9, and 14 are standards used by most traders and are included in most commercial software programs (Pair Trade Finder). However manual calculation is very difficult to calculate.
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1 0 /1 6 /2 0 0 8
6 /1 6 /2 0 0 8
7 /1 6 /2 0 0 8
8 /1 6 /2 0 0 8
2 /1 6 /2 0 0 9
1 1 /1 6 /2 0 0 8
1 2 /1 6 /2 0 0 8
For AXIS BANK and ICICI BANK the RSI is 29.3% which is within the acceptable limits.
The moving average is a technical indicator that is widely used by almost all technical traders. In its simplest form, the moving average is calculated by finding the average price for a given stock or index over a set period of time. Traders use this information to determine how a stock is behaving today relative to how it has behaved in the past.
BOLLINGER BAND
Bollinger Bands are envelopes that surround the means price bars on a chart. Bollinger Bands are plotted two standard deviations away from a simple moving average. Bollinger Bands can be used to evaluate the relationship between two stocks as well as to evaluate a single stock or index. Bollinger Bands also give us the time and position at which a trader should enter or exit the trade. As we observe in the figure, entry point of the trader should be at the point when the price ratio is away form mean value. The return would be higher in the case when the price ratio curve is close to two standard deviation as compared to when the curve is near mean value. As evident from the figure below, price ratio is close to two standard deviation, eventually with passage of time it would come back to its mean value; however the time taken the stock can be utilized by the trader to make profit.
9 /1 6 /2 0 0 8
Entry Point
1 /1 6 /2 0 0 9
4 /1 6 /2 0 0 9
Pair trading is only possible if the reading of RSI measurement is between 20 and 70.
3 /1 6 /2 0 0 9
5 /1 6 /2 0
DATE
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10/16/200
11/16/200
12/16/200
8/16/200
9/16/200
1/16/200
2/16/200
3/16/200
4/16/200
6/16/2008
VOLUME AS INDICATOR
If increasing volume is observed in a down-trending stock, the technician confirms the strength of that trend and believes it will continue. In simpler terms, volume should increase or expand in the direction of the prevailing price trend. When volume decreases in the direction of the prevailing price trend, this suggests that a reversal may occur in the near future. As we observe in the figure the price ratio of AXIS BANK/ ICICI BANK has decreased for the past 100 days. Since the volatility of the pair is also starting decreasing we can expect an inverse of the trend in future. This indicator gives a tentative confirmation that trading in this pair would be profitable.
2 1.8 1.6 1.4 1.2 1 0.8 0.6 0.4 0.2 0
Price Ratio Me an Value
7/16/2008
DATE
Series1
15 29 43 57 71 85
99 113 127 141 155 169 183 197 211 225 239
5/16/200
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The same process was followed for the below mentioned pair. Depending upon the result, recommendation was given to Fund managers of the company. Table 21 below shows the summary of the work done by me. The stock highlighted as red signifies stock to be short (sell) while green signifies to long (buy). For all calculation please have a look at the excel sheet attached in the annexure
OTHER PAIRS
S N SD Stock1 Stock2 Correlation Mean of / Stock2) 3m 0.97 .97 .36 .98 .88 .95 Cur 1yr 0.44 2.21 1.58 .66 1.03 .22 PR (Stock1
(PR)
SD (+1)
SD (+2)
SD (-1)
SD (-2)
1 2 3 4 5 6 7
TATA STEEL ICICI TATA COM MARUTI BHEL INFOSYT ECH CIPLA
RANBAX Y
.44
.09
.47
1.39
1.00
.90
.54
.98
-0.1
.44
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FINDINGS
This example has helped us to understand the factors that go into market neutral investing. Some of the advantages and risks associated with this type of investment strategy as well as the steps one takes to build a market-neutral portfolio have been explored. Large investment banks, institutions & hedge funds spend millions of dollars each year on developing pair trading programs and the application of them, they know its crucial to not only have the right information, but be able to view & analyze it in a timely manner. With the significant advances and development in technologies in recent years this has become possible for the average online trader to view and analyze the same information. SUGGESTION Stock selection involves looking for quantifiable metrics that have strong predictive ability across a wide range of stocks. This metrics is based on fundamental and technical analysis of the stock, then basing on the objectives of investment Technical charts are suitable to analyze the timing to enter or exit where as fundamental valuation are useful to know the intrinsic value of fair value of the securities. Pairing strategies are the best tool that are used to take positions in the market depending on the correlation between the returns of the securities in the portfolio. Risk neutral, Profit objective by returns on securities, profit objective by capital gains are the some of the objectives which decides upon the strategies to be used. In the bullish sentiment on the market its better to adopt profit oriented objectives from capital gains whereas if the sentiments on some of the security in the portfolio is bearish for the near term but intrinsic value is high and expecting market to correct its rate its better to adopt risk neutral strategy.
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REFERENCE
Reading Material
NCFM module From National Stock Exchange Derivative Module Currency Module Debt Market Module Portfolio Management Where Science Meets Business, Patrick Grogan, Sr. Director, Strategic Planning, BD Biosciences The Hand Book Of Pairs Trading Strategies Using Equities, Options, and Futures by DOUGLAS S. EHRMAN Jefferies Pairs Trading Strategy Economic Survey
Website
www.commodityonline.com www.moneycontrol.com http://capitalmarket.com/ www.mcxindia.com http://www.appuonline.com www.bseindia.com http://www.nseindia.com/ www.commodityonline.com/FuturesWatch/commodityfuture. php http://www.khelostocks.com/ www.anyoption.com http://www.bseindia.com/histdata/hindices.asp#
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ANNEXURE
Date AXIS Bank ICICI Bank Price Ratio MEAN(PR) SD(+1) (SD+2) SD(-1) SD(-2)
16-Jun-08 17-Jun-08 18-Jun-08 19-Jun-08 20-Jun-08 23-Jun-08 24-Jun-08 25-Jun-08 26-Jun-08 27-Jun-08 30-Jun-08 1-Jul-08 2-Jul-08 3-Jul-08 4-Jul-08 7-Jul-08 8-Jul-08 9-Jul-08 10-Jul-08 11-Jul-08 14-Jul-08 15-Jul-08 16-Jul-08 17-Jul-08 18-Jul-08 21-Jul-08 22-Jul-08 23-Jul-08 24-Jul-08 25-Jul-08 28-Jul-08 29-Jul-08 30-Jul-08 31-Jul-08 1-Aug-08 4-Aug-08 5-Aug-08 6-Aug-08 7-Aug-08 8-Aug-08 11-Aug-08 12-Aug-08 13-Aug-08 14-Aug-08 18-Aug-08 19-Aug-08 20-Aug-08 21-Aug-08 22-Aug-08 25-Aug-08 26-Aug-08
735.75 794.5 750.5 718.1 703.7 697.15 678.65 685.05 678.2 628.6 605.05 593.85 634.45 580.2 600.45 603.95 606.95 669.1 678.45 665.25 634.35 597.1 584.45 635.45 685.6 697.4 735.05 763.65 760.3 712.85 697.3 619.7 679.25 653.9 679.9 706.05 760.55 743.05 746.55 735.15 759.6 720.55 725.1 700 692.5 679.8 673.8 649.1 679.85 685.6 679.65
797.45 820.65 786.95 753.6 732.95 720.7 703.15 698.2 697.55 652.15 630.2 589.1 621.05 571.9 603.6 605.15 594.35 621.7 616.9 591.6 578.9 529.15 519.75 551.85 617.45 642.95 661.7 738.7 730.2 656.75 663.4 607.7 636.1 637.3 642.4 640.45 694.1 706.65 707.95 731.6 771.15 740.65 710.7 673.45 665 677.7 678.8 643.7 644.55 657.15 666.55
0.92 0.97 0.95 0.95 0.96 0.97 0.97 0.98 0.97 0.96 0.96 1.01 1.02 1.01 0.99 1.00 1.02 1.08 1.10 1.12 1.10 1.13 1.12 1.15 1.11 1.08 1.11 1.03 1.04 1.09 1.05 1.02 1.07 1.03 1.06 1.10 1.10 1.05 1.05 1.00 0.99 0.97 1.02 1.04 1.04 1.00 0.99 1.01 1.05 1.04 1.02
1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13
1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02
1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14
0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79
0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90 0.90
37
Equity
27-Aug-08 28-Aug-08 29-Aug-08 1-Sep-08 2-Sep-08 4-Sep-08 5-Sep-08 8-Sep-08 9-Sep-08 10-Sep-08 11-Sep-08 12-Sep-08 15-Sep-08 16-Sep-08 17-Sep-08 18-Sep-08 19-Sep-08 22-Sep-08 23-Sep-08 24-Sep-08 25-Sep-08 26-Sep-08 29-Sep-08 30-Sep-08 1-Oct-08 3-Oct-08 6-Oct-08 7-Oct-08 8-Oct-08 10-Oct-08 13-Oct-08 14-Oct-08 15-Oct-08 16-Oct-08 17-Oct-08 20-Oct-08 21-Oct-08 22-Oct-08 23-Oct-08 24-Oct-08 27-Oct-08 28-Oct-08 29-Oct-08 31-Oct-08 3-Nov-08 4-Nov-08 5-Nov-08 6-Nov-08 7-Nov-08 10-Nov-08 11-Nov-08 12-Nov-08 14-Nov-08 17-Nov-08
Research Report
677.35 670.55 723.4 722.9 759.85 734.2 687.25 711.25 710 710.45 704.15 692.55 656.9 695.8 666.45 678.6 708.55 704.9 683.35 710.2 721.4 705.1 671.55 720.25 734.6 702.3 678 682.9 647.75 552.6 659.95 639.05 618.8 626.25 620.35 617.9 656.5 631.2 622.4 538.85 534.55 570 526.85 562.95 602.2 640.45 604 582.7 581.6 608.9 564.05 525.3 492.95 456.65 649.95 632.55 671.9 665 714.05 716.65 686.75 720.45 712.1 701 686.6 652.8 627.5 591.65 560.05 577.15 627.5 635.75 599.15 600.1 596.2 560.4 493.3 535.55 550.9 504.35 490.05 485.05 453.75 363.65 425.15 449.55 414.15 416.15 391.25 411.35 431.05 396.7 365.8 308.5 316.1 335.5 345.35 398.75 430.7 457.8 450.85 433.4 432.3 471.85 434.35 397.3 395.9 386.45 1.04 1.06 1.08 1.09 1.06 1.02 1.00 0.99 1.00 1.01 1.03 1.06 1.05 1.18 1.19 1.18 1.13 1.11 1.14 1.18 1.21 1.26 1.36 1.34 1.33 1.39 1.38 1.41 1.43 1.52 1.55 1.42 1.49 1.50 1.59 1.50 1.52 1.59 1.70 1.75 1.69 1.70 1.53 1.41 1.40 1.40 1.34 1.34 1.35 1.29 1.30 1.32 1.25 1.18 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0
38
Equity
18-Nov-08 19-Nov-08 20-Nov-08 21-Nov-08 24-Nov-08 25-Nov-08 26-Nov-08 28-Nov-08 1-Dec-08 2-Dec-08 3-Dec-08 4-Dec-08 5-Dec-08 8-Dec-08 10-Dec-08 11-Dec-08 12-Dec-08 15-Dec-08 16-Dec-08 17-Dec-08 18-Dec-08 19-Dec-08 22-Dec-08 23-Dec-08 24-Dec-08 26-Dec-08 29-Dec-08 30-Dec-08 31-Dec-08 1-Jan-09 2-Jan-09 5-Jan-09 6-Jan-09 7-Jan-09 9-Jan-09 12-Jan-09 13-Jan-09 14-Jan-09 15-Jan-09 16-Jan-09 19-Jan-09 20-Jan-09 21-Jan-09 22-Jan-09 23-Jan-09 27-Jan-09 28-Jan-09 29-Jan-09 30-Jan-09 2-Feb-09 3-Feb-09 4-Feb-09 5-Feb-09 6-Feb-09
Research Report
437.75 427.55 405.45 411.5 397.55 376.55 404.45 408.5 413.05 429.1 433.7 455.2 443.05 451.95 462.8 457 468.8 486.2 500.8 497.6 537.2 546 537.5 499.5 490.75 482.8 494.95 510.25 504.7 516.85 541.9 560.1 569.75 522.1 486.6 451.7 440.3 449.4 434.05 443.55 438.3 422.4 407.7 416.05 384.3 394.75 422.85 435.65 433.7 397.85 395.5 395.15 392.3 403 360.2 348.25 319.5 334.05 322.55 321.1 350.85 351.65 325.55 323.4 334.8 364 358.4 370 400.05 406.1 411 418.7 421 431.8 472 472.8 445.7 426.85 440.95 417.35 445 458.6 448.1 464.15 471.25 499.9 523.45 467.85 456.6 438 425.45 441.1 408.65 423.75 412.6 396.3 369.35 378.05 363.85 381.1 408.05 410.1 416.25 385.1 392 389.7 390.55 407.1 1.22 1.23 1.27 1.23 1.23 1.17 1.15 1.16 1.27 1.33 1.30 1.25 1.24 1.22 1.16 1.13 1.14 1.16 1.19 1.15 1.14 1.15 1.21 1.17 1.11 1.16 1.11 1.11 1.13 1.11 1.15 1.12 1.09 1.12 1.07 1.03 1.03 1.02 1.06 1.05 1.06 1.07 1.10 1.10 1.06 1.04 1.04 1.06 1.04 1.03 1.01 1.01 1.00 0.99 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0
39
Equity
9-Feb-09 10-Feb-09 11-Feb-09 12-Feb-09 13-Feb-09 16-Feb-09 17-Feb-09 18-Feb-09 19-Feb-09 20-Feb-09 24-Feb-09 25-Feb-09 26-Feb-09 27-Feb-09 2-Mar-09 3-Mar-09 4-Mar-09 5-Mar-09 6-Mar-09 9-Mar-09 12-Mar-09 13-Mar-09 16-Mar-09 17-Mar-09 18-Mar-09 19-Mar-09 20-Mar-09 23-Mar-09 24-Mar-09 25-Mar-09 26-Mar-09 27-Mar-09 30-Mar-09 31-Mar-09 1-Apr-09 2-Apr-09 6-Apr-09 8-Apr-09 9-Apr-09 13-Apr-09 15-Apr-09 16-Apr-09 17-Apr-09 20-Apr-09 21-Apr-09 22-Apr-09 23-Apr-09 24-Apr-09 27-Apr-09 28-Apr-09 29-Apr-09 4-May-09 5-May-09 6-May-09
Research Report
422.45 421 430.95 430.5 440.4 418.8 399.15 394.25 388.45 372.7 363.65 366.05 346.3 347.9 323.1 324.9 322.15 300.7 294.95 281.4 304.5 329.9 342.55 325.5 340.7 358 342.4 373.65 371.95 398.1 421.4 431.05 397 414.95 418.15 439.6 435.25 443.55 445.6 461.85 504.2 472.1 503.25 509.85 493.95 472.15 502.05 529.6 557.5 530.7 557.3 609.35 627.35 605.25 428.35 428.7 435.2 421.4 434.4 409 385.7 369.5 361.5 335.85 335.95 340.6 324.85 327.55 304.4 295.6 284.9 270.05 269.15 262.95 284.15 308.65 322.8 323.4 334.65 337.9 323.05 346.8 355.45 365.55 375.05 385.2 338.1 332.8 349.35 360.7 374.8 376.4 397.8 416.6 442.9 427.55 440.85 426.65 398.75 400.05 424.4 434.1 467.55 439.2 479.2 529.9 569.1 539.6 0.99 0.98 0.99 1.02 1.01 1.02 1.03 1.07 1.07 1.11 1.08 1.07 1.07 1.06 1.06 1.10 1.13 1.11 1.10 1.07 1.07 1.07 1.06 1.01 1.02 1.06 1.06 1.08 1.05 1.09 1.12 1.12 1.17 1.25 1.20 1.22 1.16 1.18 1.12 1.11 1.14 1.10 1.14 1.20 1.24 1.18 1.18 1.22 1.19 1.21 1.16 1.15 1.10 1.12 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0
40
Equity
7-May-09 8-May-09 11-May-09 12-May-09 13-May-09 14-May-09 15-May-09 18-May-09 19-May-09 20-May-09 21-May-09 22-May-09 25-May-09 26-May-09 27-May-09 28-May-09 29-May-09 1-Jun-09 2-Jun-09 3-Jun-09 4-Jun-09 5-Jun-09 8-Jun-09 9-Jun-09 10-Jun-09 11-Jun-09 12-Jun-09 15-Jun-09
Research Report
624.75 607.25 620.35 669 671.7 637.55 659.6 778.4 764.8 728.55 736.2 762.85 774 744.75 797.75 782.05 778.95 741.75 719.9 717 734.85 738.5 698.2 726.05 752.5 726.6 703.75 718.4 549.3 520.75 523.35 558.1 551.15 536.25 574.7 707.1 756.15 708.9 673.05 702.65 704.65 666 710.25 730.3 740.15 722.55 732.3 719.45 733.5 754.75 724.65 737.85 747.7 750.3 742.45 734.75 1.14 1.17 1.19 1.20 1.22 1.19 1.15 1.10 1.01 1.03 1.09 1.09 1.10 1.12 1.12 1.07 1.05 1.03 0.98 1.00 1.00 0.98 0.96 0.98 1.01 0.97 0.95 0.98 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.13 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.02 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 1.14 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.79 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0 0.9 0
41