Ticker

MOS US Equity
DD US Equity
MON US Equity
FCX US Equity
NEM US Equity
BHP US Equity
DOW US Equity
POT US Equity
IP US Equity
ABX US Equity
APA US Equity
RIG US Equity
BHI US Equity
WMB US Equity
BP US Equity
APC US Equity
CVX US Equity
DVN US Equity
VLO US Equity
XOM US Equity
HES US Equity
HAL US Equity
SLB US Equity
USB US Equity
AXP US Equity
AIG US Equity
MET US Equity
BAC US Equity
MS US Equity
C US Equity
JPM US Equity
BRK/B US Equity
PNC US Equity
GS US Equity
COF US Equity
WFC US Equity
BA US Equity
UNP US Equity
CAT US Equity
HON US Equity
MMM US Equity
NSC US Equity
GE US Equity
DE US Equity
UTX US Equity
FDX US Equity

Ask CDS Last CDS

71.04
63.585
#NAME?
50.84
#NAME?
38
#NAME?
185.33
290
285
#NAME?
73.5
#NAME?
78.84
#NAME?
96.65
#NAME?
84.5
#NAME?
274
#NAME?
63.5
#NAME?
130
#NAME?
60
#NAME?
117.67
#NAME?
68.5
#NAME?
75.5
#NAME?
21
#NAME?
80.5
#NAME?
125.5
18
13
#NAME?
107
#NAME?
36.5
45.63
41.475
55
50
#NAME?
49.5
#NAME?
95.335
#NAME?
98.17
#NAME?
101.5
#NAME?
131.5
#NAME?
93.83
#NAME?
83.335
#NAME?
78.335
70
65
#NAME?
122.17
#NAME?
84.84
#NAME?
60.505
#NAME?
52.93
#NAME?
29.055
#NAME?
76.14
#NAME?
23.86
#NAME?
17.185
#NAME?
33.085
73.9
68.92
#NAME?
36.14
#NAME?
37.535
#NAME?
77.335

UPS US Equity
LMT US Equity
CMI US Equity
AAPL US Equity
HPQ US Equity
GOOG US Equity
ORCL US Equity
INTC US Equity
TXN US Equity
IBM US Equity
MSFT US Equity
CSCO US Equity
UNH US Equity
COST US Equity
PEP US Equity
WMT US Equity
TGT US Equity
MO US Equity
T US Equity
PM US Equity
VZ US Equity
PG US Equity
CVS US Equity
KO US Equity
MRK US Equity
MDT US Equity
PFE US Equity
JNJ US Equity
HUM US Equity
NKE US Equity
HD US Equity
F US Equity
GM US Equity
DIS US Equity
CBS US Equity
YUM US Equity
MCD US Equity
LOW US Equity
CMCSA US Equity

#NAME?
#NAME?
55
34
#NAME?
30.18
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
170
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

26.14
39.5
50
29
153.48
26.77
39.5
45
41.17
40.665
35.33
44.5
45.5
37.87
46.5
27
32.67
55.335
65.16
45
65.915
36.83
35.82
30.5
14.5
34.835
33.5
21.05
90
35.53
32.84
135.5
165
23.81
75.5
54.175
18.48
37.5
46.665

Ticker
MOS US Equity
DD US Equity
MON US Equity
FCX US Equity
NEM US Equity
BHP US Equity
DOW US Equity
POT US Equity
IP US Equity
ABX US Equity
APA US Equity
RIG US Equity
BHI US Equity
WMB US Equity
BP US Equity
APC US Equity
CVX US Equity
DVN US Equity
VLO US Equity
XOM US Equity
HES US Equity
HAL US Equity
SLB US Equity
USB US Equity
AXP US Equity
AIG US Equity
MET US Equity
BAC US Equity
MS US Equity
C US Equity
JPM US Equity
BRK/B US Equity
PNC US Equity
GS US Equity
COF US Equity
WFC US Equity
BA US Equity
UNP US Equity
CAT US Equity
HON US Equity
MMM US Equity
NSC US Equity
GE US Equity
DE US Equity
UTX US Equity
FDX US Equity

Ask CDS Last CDS

71.04
63.585
52.288
50.84
39.1719
38
177.2636
185.33
290
285
74.365
73.5
80.8902
78.84
103.5952
96.65
88.7492
84.5
275.7359
274
65.3181
63.5
136.3304
130
62.5342
60
122.8362
117.67
69.4364
68.5
79.1449
75.5
22.7981
21
83.8062
80.5
127.8377
125.5
18
13
116.1069
107
38.0149
36.5
45.63
41.475
55
50
50.8233
49.5
97.2901
95.335
99.5626
98.17
103.2755
101.5
131.768
131.5
95.6139
93.83
83.2781
83.335
79.9586
78.335
70
65
121.8886
122.17
85.9566
84.84
62.1432
60.505
51.6784
52.93
28.9693
29.055
78.6675
76.14
23.84
23.86
16.8425
17.185
33.1323
33.085
73.9
68.92
38.3995
36.14
38.7189
37.535
78.2827
77.335

UPS US Equity
LMT US Equity
CMI US Equity
AAPL US Equity
HPQ US Equity
GOOG US Equity
ORCL US Equity
INTC US Equity
TXN US Equity
IBM US Equity
MSFT US Equity
CSCO US Equity
UNH US Equity
COST US Equity
PEP US Equity
WMT US Equity
TGT US Equity
MO US Equity
T US Equity
PM US Equity
VZ US Equity
PG US Equity
CVS US Equity
KO US Equity
MRK US Equity
MDT US Equity
PFE US Equity
JNJ US Equity
HUM US Equity
NKE US Equity
HD US Equity
F US Equity
GM US Equity
DIS US Equity
CBS US Equity
YUM US Equity
MCD US Equity
LOW US Equity
CMCSA US Equity

26.901
39.505
55
34
155.2689
30.18
40.0226
46.8594
41.0489
40.32
36.8043
43.9096
46.964
37.9782
48.4928
27.4909
32.7965
56.2915
65.7228
45.4492
67.5817
37.1328
36.7915
33.3449
14.2035
37.4525
34.5527
22.2608
90.4977
38.1979
34.1265
143.9728
170
24.0107
76.6424
54.6943
18.7614
37.0527
47.7166

26.14
39.5
50
29
153.48
26.77
39.5
45
41.17
40.665
35.33
44.5
45.5
37.87
46.5
27
32.67
55.335
65.16
45
65.915
36.83
35.82
30.5
14.5
34.835
33.5
21.05
90
35.53
32.84
135.5
165
23.81
75.5
54.175
18.48
37.5
46.665

Ticker
Raw Beta
AAPL US Equity 1.040
ABX US Equity 0.645
AIG US Equity 1.745
APA US Equity 1.631
APC US Equity 1.590
AXP US Equity 1.048
BA US Equity 1.057
BAC US Equity 1.883
BHI US Equity 1.644
BHP US Equity 1.422
BP US Equity
1.248
BRK/B US Equity0.781
C US Equity
2.166
CAT US Equity 1.464
CBS US Equity 1.443
CMCSA US Equity1.043
CMI US Equity 1.693
COF US Equity 1.428
COST US Equity 0.745
CSCO US Equity 1.152
CVS US Equity 0.674
CVX US Equity 1.162
DD US Equity 1.156
DE US Equity 1.026
DIS US Equity 1.201
DOW US Equity 1.649
DVN US Equity 1.483
F US Equity
1.487
FCX US Equity 1.835
FDX US Equity 0.924
GE US Equity 1.160
GM US Equity 1.503
GOOG US Equity0.952
GS US Equity
1.655
HAL US Equity 1.824
HD US Equity 0.921
HES US Equity 1.649
HON US Equity 1.187
HPQ US Equity 1.128
HUM US Equity 0.888
IBM US Equity 0.891
INTC US Equity 0.996
IP US Equity
1.326
JNJ US Equity 0.546
JPM US Equity 1.541
KO US Equity 0.600

0.920
0.602
1.893
1.363
1.519
1.513
1.001
2.166
1.483
1.580
1.077
0.777
2.111
1.231
1.615
1.165
1.657
1.877
0.688
1.039
0.713
1.121
1.156
1.300
1.118
1.285
1.305
1.294
1.751
1.028
1.159
1.263
0.904
1.414
1.510
0.939
1.559
1.069
0.904
0.847
0.720
1.006
1.480
0.574
1.610
0.598

Volatil 60D Volatil 90D Volatility 260 Day

Volatility 20 Day
27.714
25.876
32.356
30.630
58.471
56.904
47.197
41.907
20.166
22.455
26.750
18.820
26.902
26.281
24.622
33.711
19.526
21.478
24.991
16.446
18.497
20.352
18.584
14.713
22.868
22.401
20.108
20.126
19.509
20.489
29.043
14.421
16.801
19.075
23.697
18.744
27.070
27.722
24.613
24.547
11.991
12.478
16.669
11.859
12.749
14.458
14.666
12.664
20.477
24.069
27.214
20.431
16.725
16.074
20.493
14.792
23.246
24.527
25.670
28.509
22.825
22.969
20.234
17.655
17.140
20.176
25.095
19.540
17.612
19.618
23.676
18.164
14.280
15.789
18.253
16.857
20.312
28.113
23.630
12.581
14.518
17.686
15.962
13.410
11.270
13.536
15.202
12.170
17.066
17.126
19.110
14.923
17.971
19.535
19.125
16.797
16.999
19.449
18.791
15.827
20.950
21.379
25.230
26.533
19.198
20.632
24.423
18.454
24.717
25.944
25.975
26.822
27.541
29.766
35.410
26.616
22.221
23.179
22.033
22.285
15.690
16.179
18.112
15.003
22.071
24.892
28.382
27.545
13.517
15.440
19.892
13.600
19.670
22.961
24.526
23.194
18.960
21.972
26.731
18.123
16.711
18.641
18.884
15.696
18.818
22.191
27.112
15.641
15.983
17.661
16.651
16.249
37.158
43.732
42.261
51.473
18.014
18.001
25.245
17.101
13.821
14.573
18.024
12.127
20.450
21.642
22.689
19.988
24.175
25.607
27.135
22.427
12.873
14.653
12.085
11.363
16.650
18.602
20.163
17.655
10.999
14.881
15.951
10.846

LMT US Equity 0.615

LOW US Equity 0.824
MCD US Equity 0.585
MDT US Equity 0.738
MET US Equity 1.876
MMM US Equity0.878
MO US Equity 0.512
MON US Equity 0.982
MOS US Equity 1.380
MRK US Equity 0.645
MS US Equity 2.171
MSFT US Equity 0.844
NEM US Equity 0.477
NKE US Equity 0.823
NSC US Equity 1.167
ORCL US Equity 1.114
PEP US Equity 0.377
PFE US Equity 0.656
PG US Equity 0.474
PM US Equity 0.752
PNC US Equity 1.191
POT US Equity 1.117
RIG US Equity 1.453
SLB US Equity 1.607
T US Equity
0.656
TGT US Equity 0.582
TXN US Equity 1.206
UNH US Equity 0.785
UNP US Equity 1.036
UPS US Equity 0.737
USB US Equity 0.990
UTX US Equity 1.109
VLO US Equity 1.702
VZ US Equity
0.610
WFC US Equity 1.248
WMB US Equity 1.177
WMT US Equity 0.431
XOM US Equity 0.925
YUM US Equity 0.759

0.672
0.972
0.571
0.703
1.938
0.820
0.531
0.981
1.528
0.808
2.374
0.946
0.759
0.904
1.012
0.967
0.534
0.750
0.598
0.661
1.498
1.244
1.300
1.360
0.810
0.961
0.856
1.099
0.990
0.833
1.347
0.976
1.428
0.727
1.742
1.523
0.506
0.987
0.850

13.872
22.467
10.495
13.880
24.499
10.728
14.278
20.099
51.824
9.997
23.509
36.656
51.119
18.666
18.824
16.927
13.042
11.316
11.445
13.955
17.381
50.558
16.041
19.887
13.161
14.264
16.537
19.588
17.007
16.672
11.872
16.276
27.694
18.095
16.037
20.547
10.803
11.179
14.932

15.095
22.885
12.766
17.863
24.562
13.017
15.102
23.127
44.507
17.006
28.004
32.350
47.211
18.492
20.436
24.909
13.519
16.088
16.918
16.224
18.046
42.490
17.390
20.946
15.265
16.057
19.186
19.485
18.231
15.410
12.074
17.064
29.502
19.403
17.949
21.028
12.422
12.809
18.641

15.961
22.828
13.031
16.993
26.240
14.178
16.183
20.511
32.640
17.418
31.751
25.087
37.661
22.029
23.782
23.400
12.650
16.126
15.744
16.924
19.166
29.010
25.162
22.726
15.766
15.963
21.811
20.520
18.787
15.430
14.666
16.349
34.188
17.678
17.975
21.866
13.881
13.532
24.874

12.213
24.158
7.929
14.573
25.703
11.970
14.157
16.947
33.009
8.085
22.294
38.949
34.991
17.489
17.148
16.669
9.649
11.709
13.566
15.931
14.485
31.453
15.451
17.527
14.925
18.584
16.926
13.265
16.554
9.861
14.585
17.320
23.816
22.129
16.956
19.839
8.119
14.134
13.322

Volatil 30D
3M 100% IVOL
31.691
27.702
53.288
47.614
19.433
23.640
33.664
23.024
18.677
28.881
14.746
19.597
20.352
21.310
15.648
23.559
16.840
24.612
26.149
24.603
10.298
17.500
12.580
14.564
19.897
23.962
15.591
20.112
25.449
27.519
18.187
20.839
18.689
26.142
18.513
21.628
17.221
16.697
25.061
22.945
14.202
18.555
11.486
14.789
13.823
18.235
18.994
20.549
17.851
20.833
25.201
25.843
20.176
23.441
25.109
26.299
28.506
29.734
18.829
24.168
12.624
15.888
25.165
28.064
13.057
21.190
20.594
23.097
16.359
25.757
19.388
20.084
15.405
25.392
14.682
17.771
45.271
33.132
16.323
25.393
11.339
17.144
19.453
21.184
22.600
26.344
13.943
14.484
17.683
19.749
10.106
15.116

-0.665
6.091
-7.317
9.042
-6.313
-3.838
0.243
-13.395
-6.857
1.535
-6.371
-2.086
-7.317
-4.901
-0.220
-2.046
-6.407
-5.162
-1.032
1.431
-1.760
-3.716
-5.287
-0.131
-0.940
-0.029
-4.247
-0.865
-6.904
-3.204
-5.487
-3.216
-6.835
-3.931
-10.372
0.504
-11.708
-1.970
3.010
-8.922
-6.685
-3.236
-4.535
1.858
-2.480
-5.846

0.665
6.091
7.317
9.042
6.313
3.838
0.243
13.395
6.857
1.535
6.371
2.086
7.317
4.901
0.220
2.046
6.407
5.162
1.032
1.431
1.760
3.716
5.287
0.131
0.940
0.029
4.247
0.865
6.904
3.204
5.487
3.216
6.835
3.931
10.372
0.504
11.708
1.970
3.010
8.922
6.685
3.236
4.535
1.858
2.480
5.846

Dvd Yld
Ask CDS Last CDS
2.416
11.200
34
29
4.364
78.605 275.7359
274
0.200
1.221 97.2901 95.335
0.839
2.313 65.3181
63.5
0.384
1.469 79.1449
75.5
1.079
2.942 50.8233
49.5
1.584
4.874 51.6784
52.93
0.275
1.316 103.2755
101.5
1.194
3.300 62.5342
60
3.450
31.500
74.365
73.5
5.150 172.431 69.4364
68.5
0.000
1.000 79.9586 78.335
0.078
1.081 95.6139
93.83
2.481
11.950 78.6675
76.14
0.851
2.342 76.6424
75.5
1.609
4.996 47.7166 46.665
1.516
4.552
55
50
0.651
1.918 85.9566
84.84
7.133 1252.076 37.9782
37.87
2.544
12.732 43.9096
44.5
1.270
3.562 36.7915
35.82
2.976
19.604 22.7981
21
2.918
18.513
52.288
50.84
2.318
10.151 38.3995
36.14
1.120
3.064 24.0107
23.81
3.223
25.113 80.8902
78.84
1.393
4.027 83.8062
80.5
1.720
5.586 143.9728
135.5
6.710 820.906 177.2636 185.33
0.632
1.882 78.2827 77.335
3.027
20.627
73.9
68.92
0.000
1.000
170
165
0.000
1.000
30.18
26.77
1.171
3.224 121.8886 122.17
0.866
2.377 38.0149
36.5
1.794
6.015 34.1265
32.84
0.514
1.672 116.1069
107
1.875
6.523
23.84
23.86
2.470
11.820 155.2689 153.48
1.054
2.870 90.4977
90
1.821
6.180
40.32 40.665
3.791
44.304 46.8594
45
2.416
11.205 88.7492
84.5
2.796
16.377 22.2608
21.05
2.411
11.145 83.2781 83.335
2.758
15.775 33.3449
30.5

11.918
26.595
8.130
15.856
23.631
11.658
14.292
19.754
35.467
7.978
22.548
33.579
49.160
18.286
15.251
17.020
11.826
11.180
11.784
15.918
13.612
32.823
15.308
18.347
14.277
16.238
15.671
13.680
15.137
8.992
12.865
16.889
23.558
19.442
14.313
18.177
11.078
12.937
12.958

16.795
23.129
13.472
17.548
24.723
14.810
15.618
21.954
35.157
17.288
26.083
23.347
41.128
23.034
21.291
24.227
14.641
16.269
15.216
16.164
18.801
33.014
24.539
22.265
15.816
17.219
21.007
22.250
19.243
15.120
15.128
17.668
32.176
18.139
18.045
26.548
13.579
13.839
21.297

-4.043
3.767
-4.901
-1.137
-2.609
-2.520
-1.891
-0.757
2.827
-9.439
-9.202
8.492
11.499
-3.743
-8.531
-6.380
-0.824
-4.946
-3.960
-1.007
-5.555
3.813
-9.854
-4.379
-1.490
0.275
-6.141
-6.839
-3.651
-6.437
-1.800
0.539
-10.630
1.763
-3.662
-3.689
-2.803
-0.596
-11.916

4.043
3.767
4.901
1.137
2.609
2.520
1.891
0.757
2.827
9.439
9.202
8.492
11.499
3.743
8.531
6.380
0.824
4.946
3.960
1.007
5.555
3.813
9.854
4.379
1.490
0.275
6.141
6.839
3.651
6.437
1.800
0.539
10.630
1.763
3.662
3.689
2.803
0.596
11.916

3.433
1.409
3.074
1.965
2.406
2.043
4.977
1.365
2.222
3.562
0.689
2.794
5.172
1.186
2.602
0.902
2.670
3.212
2.866
3.854
2.193
3.236
1.197
1.339
5.151
2.345
2.136
1.235
1.696
2.648
2.172
1.939
2.168
4.241
2.310
3.775
2.309
2.631
1.842

30.956
4.091
21.627
7.136
11.087
7.713
145.093
3.914
9.228
35.225
1.993
16.343
176.233
3.273
13.492
2.464
14.434
24.836
17.568
47.181
8.966
25.425
3.311
3.816
172.618
10.438
8.466
3.437
5.451
14.121
8.777
6.949
8.738
69.498
10.078
43.591
10.061
13.887
6.310

39.505
37.0527
18.7614
37.4525
99.5626
16.8425
56.2915
39.1719
71.04
14.2035
131.768
36.8043
290
38.1979
33.1323
40.0226
48.4928
34.5527
37.1328
45.4492
70
103.5952
136.3304
45.63
65.7228
32.7965
41.0489
46.964
28.9693
26.901
55
38.7189
127.8377
67.5817
62.1432
122.8362
27.4909
18
54.6943

39.5
37.5
18.48
34.835
98.17
17.185
55.335
38
63.585
14.5
131.5
35.33
285
35.53
33.085
39.5
46.5
33.5
36.83
45
65
96.65
130
41.475
65.16
32.67
41.17
45.5
29.055
26.14
50
37.535
125.5
65.915
60.505
117.67
27
13
54.175

Ticker
AAPL US Equity
ABX US Equity
AIG US Equity
APA US Equity
APC US Equity
AXP US Equity
BA US Equity
BAC US Equity
BHI US Equity
BHP US Equity
BP US Equity
BRK/B US Equity
C US Equity
CAT US Equity
CBS US Equity
CMCSA US Equity
CMI US Equity
COF US Equity
COST US Equity
CSCO US Equity
CVS US Equity
CVX US Equity
DD US Equity
DE US Equity
DIS US Equity
DOW US Equity
DVN US Equity
F US Equity
FCX US Equity
FDX US Equity
GE US Equity
GM US Equity
GOOG US Equity
GS US Equity
HAL US Equity
HD US Equity
HES US Equity
HON US Equity
HPQ US Equity
HUM US Equity
IBM US Equity
INTC US Equity
IP US Equity
JNJ US Equity
JPM US Equity
KO US Equity

LMT US Equity
LOW US Equity
MCD US Equity
MDT US Equity
MET US Equity
MMM US Equity
MO US Equity
MON US Equity
MOS US Equity
MRK US Equity
MS US Equity
MSFT US Equity
NEM US Equity
NKE US Equity
NSC US Equity
ORCL US Equity
PEP US Equity
PFE US Equity
PG US Equity
PM US Equity
PNC US Equity
POT US Equity
RIG US Equity
SLB US Equity
T US Equity
TGT US Equity
TXN US Equity
UNH US Equity
UNP US Equity
UPS US Equity
USB US Equity
UTX US Equity
VLO US Equity
VZ US Equity
WFC US Equity
WMB US Equity
WMT US Equity
XOM US Equity
YUM US Equity
GG US EQUITY

Ticker

IV 1M

Ret 1Y

Ret 1M

1/MC

Beta

CDS

AAPL

25.899

33.38

10.39

0.00

0.79

34.00

ABX

46.712

55.44

5.91

0.05

0.29

275.74

AIG

20.357

45.50

5.71

0.01

0.28

97.29

APA

20.531

3.29

10.14

0.03

0.63

65.32

APC

27.443

26.95

2.21

0.02

0.53

79.14

AXP

19.383

31.67

0.57

0.01

0.51

50.82

BA

19.695

71.29

11.79

0.01

0.81

51.68

BAC

24.565

56.97

0.83

0.01

0.29

103.28

BHI

25.303

1.66

6.59

0.04

0.54

62.53

BHP

23.570

2.13

1.32

0.01

0.56

74.37

BP

15.907

2.17

1.94

0.01

0.73

69.44

BRK/B

13.507

30.35

0.35

0.00

0.77

79.96

24.731

50.46

1.29

0.01

0.25

95.61

CAT

18.314

2.93

2.37

0.02

0.67

78.67

CBS

24.507

53.50

8.49

0.03

0.44

76.64

CMCSA

18.024

29.15

4.42

0.01

0.70

47.72

CMI

23.815

34.49

7.67

0.04

0.52

55.00

COF

23.911

18.94

0.73

0.02

0.37

85.96

COST

16.772

24.87

4.87

0.02

1.07

37.98

CSCO

17.231

31.03

0.45

0.01

0.80

43.91

CVS

16.514

32.10

4.06

0.01

0.81

36.79

CVX

13.774

9.69

3.50

0.00

0.79

22.80

DD

17.268

19.42

2.44

0.02

0.77

52.29

DE

18.076

5.72

0.68

0.03

0.62

38.40

DIS

18.737

30.40

7.67

0.01

0.80

24.01

DOW

23.856

32.84

7.89

0.02

0.60

80.89

DVN

22.712

5.36

1.65

0.04

0.64

83.81

23.055

72.11

6.44

0.01

0.39

143.97

FCX

27.277

13.15

5.42

0.03

0.44

177.26

FDX

26.245

24.69

0.96

0.03

0.75

78.28

GE

17.686

14.58

0.79

0.00

0.64

73.90

GM

24.309

54.24

5.35

0.02

0.61

170.00

GOOG

23.943

24.81

3.60

0.00

0.91

30.18

GS

23.507

41.59

4.30

0.01

0.48

121.89

HAL

23.000

34.98

6.39

0.02

0.53

38.01

HD

17.667

31.32

0.74

0.01

0.86

34.13

HES

22.230

41.32

4.13

0.04

0.51

116.11

HON

17.721

41.66

3.83

0.01

0.81

23.84

HPQ

32.396

22.37

17.18

0.02

0.85

155.27

HUM

22.441

43.10

8.77

0.06

0.52

90.50

IBM

19.208

5.52

4.21

0.00

1.08

40.32

INTC

23.412

5.99

6.73

0.01

0.83

46.86

IP

24.953

44.82

3.00

0.05

0.49

88.75

JNJ

14.560

34.69

0.36

0.00

1.33

22.26

JPM

21.430

32.49

0.28

0.01

0.41

83.28

KO

14.942

4.04

0.24

0.01

1.20

33.34

LMT

15.185

47.10

6.11

0.02

0.99

39.51

LOW

21.112

63.10

6.55

0.02

0.79

37.05

MCD

11.514

9.82

3.65

0.01

1.30

18.76

MDT

16.057

28.75

0.28

0.02

0.97

37.45

MET

22.668

44.52

2.22

0.02

0.34

99.56

MMM

13.914

31.00

3.45

0.01

0.96

16.84

MO

14.154

12.23

3.87

0.01

0.95

56.29

MON

22.355

19.06

11.27

0.02

0.63

39.17

MOS

34.567

23.18

6.25

0.05

0.41

71.04

MRK

14.718

13.25

1.94

0.01

0.91

14.20

MS

26.384

64.49

8.54

0.02

0.27

131.77

MSFT

22.263

8.79

3.15

0.00

0.88

36.80

NEM

41.527

48.05

12.44

0.07

0.43

290.00

NKE

26.183

41.55

7.49

0.02

0.78

38.20

NSC

18.769

6.60

3.30

0.04

0.77

33.13

ORCL

26.496

1.64

1.73

0.01

0.87

40.02

PEP

14.595

19.41

1.77

0.01

1.40

48.49

PFE

14.405

23.39

1.20

0.01

1.03

34.55

PG

14.052

18.95

0.33

0.00

1.34

37.13

PM

16.420

1.09

2.45

0.01

1.03

45.45

PNC

18.420

16.82

0.96

0.03

0.33

70.00

POT

32.683

22.11

8.59

0.04

0.51

103.60

RIG

22.472

4.50

0.53

0.06

0.57

136.33

SLB

22.517

15.56

6.61

0.01

0.61

45.63

14.613

2.94

1.14

0.01

1.01

65.72

TGT

16.080

2.28

6.40

0.02

0.73

32.80

TXN

19.592

44.04

4.41

0.02

0.87

41.05

UNH

23.503

38.59

5.56

0.01

0.54

46.96

UNP

19.198

26.60

0.49

0.01

0.75

28.97

UPS

14.535

24.75

4.11

0.01

0.97

26.90

USB

15.257

12.40

1.60

0.01

0.45

55.00

UTX

17.035

37.61

6.42

0.01

0.90

38.72

VLO

30.092

20.72

2.40

0.05

0.58

127.84

VZ

18.591

13.75

1.24

0.01

1.01

67.58

WFC

18.668

24.79

0.33

0.00

0.34

62.14

WMB

22.222

6.12

2.61

0.04

0.55

122.84

WMT

11.954

4.03

0.90

0.00

1.17

27.49

XOM

13.055

0.61

0.86

0.00

0.85

18.00

YUM

23.612

11.47

0.68

0.03

0.91

54.69

3.525

0.019

0.801

0.019

0.494

3.705

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.913017712

R Square

0.833601343

Adjusted R Square 0.83159654

Standard Error

2.505661284

Observations

85

ANOVA
df

SS

MS

Significance F

58.94465778

Regression

2610.5463

Residual

83

521.10209

Total

84

3131.6484

Coefficients
Intercept

Standard Error

2610.54634 415.8021031

4.54273E-34

6.278338471

t Stat

P-value

Lower 95%

Upper 95%

2.312467219

0.9550881

2.421208295 0.017648995

0.412835446

4.212098992

0.84722199

0.0415484

20.39122613

0.764583976

0.929860004

V260

4.54273E-34

Earn
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.8216361
R Square
0.6750858
Adjusted R Square
0.6588401
Standard Error
3.5663654
Observations
85
ANOVA
df
Regression
Residual
Total

Intercept
Ret 1M
1/MC
Beta
CDS

4
80
84

SS
MS
2114.131443 528.5328609
1017.51699 12.71896237
3131.648433

Coefficients Standard Error

10.961367
1.236417713
0.4511538
0.121003343
81.589546
30.63546205
2.0336997
0.991430847
0.0632389
0.010026896

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.9748133

R Square

0.9502609

F
Significance F
41.55471534
8.27862E-19

t Stat
P-value
Lower 95%
8.865424075
1.61505E-13
8.500817735
3.728440679
0.000358187
0.210349464
2.663238645
0.009354805
20.62303508
2.051277403
0.043512592
0.060689464
6.306924518
1.46875E-08
0.043284718

Adjusted R Square

0.9360731

Standard Error

4.9903281

Observations

85

ANOVA
df
Regression
Residual
Total

4
81
85

Coefficients
Intercept
Ret 1M
1/MC
Beta
CDS

0
0.7661471
110.83145
9.0321024
0.0643486

SS
MS
38537.92855 9634.482138
2017.173301 24.90337408
40555.10185

Standard Error
#N/A
0.161853243
42.61826713
0.839304331
0.014029297

t Stat
#N/A
4.733591374
2.600561978
10.76141518
4.586733611

F
Significance F
386.8745699
1.79564E-51

P-value
#N/A
9.2384E-06
0.011059793
2.77223E-17
1.62084E-05

Lower 95%
#N/A
0.444109935
26.03446336
7.362150054
0.036434749

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.9350666

R Square

0.8743496

Adjusted R Square

0.8624448

Standard Error

7.7887014

Observations

85

ANOVA
df
Regression

SS

MS

35459.33685 35459.33685

Residual

84

5095.765008 60.66386914

Total

85

40555.10185

Coefficients
Intercept
Beta

0
16.846417

F
584.5215175

Significance F
2.48677E-39

Standard Error

t Stat

P-value

Lower 95%

#N/A

#N/A

#N/A

#N/A

0.696798626 24.17687981

1.35465E-39

15.46075617

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.9008546

R Square

0.811539

Adjusted R Square

0.7996343

Standard Error

9.5388013

Observations

85

ANOVA
df
Regression
Residual
Total

Intercept
CDS

1
84
85

SS
MS
32912.04859 32912.04859
7643.05326 90.98872929
40555.10185

Coefficients Standard Error

t Stat
0
#N/A
#N/A
0.2335745
0.012281227 19.01882393

F
Significance F
361.7156636
5.38401E-32

P-value
#N/A
3.48326E-32

Lower 95%
#N/A
0.20915193

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.817484
R Square
0.6682801
Adjusted R Square
0.6563753
Standard Error
12.655196
Observations
85
ANOVA
df
Regression

SS
27102.1665

MS
27102.1665

Residual

84

13452.93535 160.1539923

Total

85

40555.10185

Coefficients
Intercept

F
Significance F
169.225669
9.83486E-22

Standard Error

t Stat

P-value

Lower 95%

#N/A

#N/A

#N/A

#N/A

Ret 1M

3.3846935

0.260187377 13.00867668

7.86976E-22

2.867282338

SUMMARY OUTPUT

Regression Statistics
Multiple R
R Square

0.8498294
0.72221

Adjusted R Square

0.7103052

Standard Error

11.580877

Observations

85

ANOVA
df
Regression

SS

MS

29289.29818 29289.29818

Residual

84

11265.80367 134.1167104

Total

85

40555.10185

Coefficients
Intercept
1/MC

0
750.60183

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.7776531

R Square

0.6047443

Adjusted R Square

0.5849815

Standard Error

4.1677058

Observations

ANOVA

85

F
218.3866432

Significance F
5.8508E-25

Standard Error

t Stat

P-value

Lower 95%

#N/A

#N/A

#N/A

#N/A

50.79214822 14.77791065

4.39901E-25

649.5960731

df
Regression

SS

MS

2126.070822 531.5177054

Residual

80

1389.581755 17.36977193

Total

84

3515.652576

Coefficients

Standard Error

t Stat

F
30.60015454

P-value

Significance F
1.88951E-15

Lower 95%

Intercept

11.542698

1.444895488 7.988604258

8.51449E-12

8.667264637

Ret 1M

0.3753929

0.141406244

2.6547121

0.009574491

0.093985478

1/MC

71.211404

35.80104073 1.989087534

0.050109777

-0.034936541

Beta

1.196688

1.15860032 1.032873872

0.30477531

-1.109000078

CDS

0.0721168

0.011717575 6.154585259

2.82587E-08

0.048798096

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.9594373

R Square

0.9205199

Adjusted R Square

0.9063863

Standard Error

6.22508

Observations

85

ANOVA
df
Regression

SS

MS

36802.62256 12267.54085

Residual

82

3177.632906 38.75162081

Total

85

39980.25547

Coefficients
Intercept

F
316.5684583

Significance F
1.27215E-44

Standard Error

t Stat

P-value

Lower 95%

#N/A

#N/A

#N/A

#N/A

Ret 1M

0.8492607

0.199025592 4.267092795

5.27913E-05

0.453335373

1/MC

216.55298

45.58593728 4.750433808

8.52703E-06

125.8680283

Beta

10.524321

0.93675679 11.23484934

2.85692E-18

8.660813772

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.6462167

R Square

0.417596

Adjusted R Square

0.3960255

Standard Error

5.0277378

Observations

85

ANOVA
df
Regression

SS

MS

1468.122625 489.3742084

Residual

81

2047.529951 25.27814754

Total

84

3515.652576

Coefficients

Standard Error

t Stat

F
19.3595756

P-value

Significance F
1.47658E-09

Lower 95%

Intercept

11.653719

1.742922802 6.686308076

2.70055E-09

8.185849206

Ret 1M

0.5120826

0.168469136 3.039622583

0.003189202

0.17688186

1/MC

183.61988

37.14586261 4.943212192

4.0797E-06

109.7112674

Beta

3.0523552

1.349527456 2.261795564

0.026389774

0.367218939

Vol 1YR

Funda

diff Funda

Realized

Diss Real

RV score

32.36

18.20

7.70

1.36

29.72

-3.83

-1.53

-0.08

47.20

44.70

2.01

0.21

42.30

4.41

1.77

0.99

26.75

18.93

1.43

0.09

24.98

-4.62

-1.84

-0.88

24.62

23.13

-2.60

-0.72

23.17

-2.64

-1.05

-0.89

24.99

18.59

8.85

1.59

23.49

3.96

1.59

1.59

18.58

13.06

6.32

1.08

18.06

1.33

0.54

0.81

20.11

22.25

-2.55

-0.71

19.35

0.35

0.14

-0.28

29.04

16.27

8.29

1.48

26.92

-2.35

-0.94

0.27

23.70

21.88

3.42

0.50

22.39

2.91

1.17

0.83

24.61

15.97

7.60

1.34

23.17

0.40

0.17

0.75

16.67

17.83

-1.92

-0.58

16.44

-0.53

-0.21

-0.39

14.67

18.13

-4.62

-1.13

14.74

-1.23

-0.49

-0.81

27.21

15.20

9.53

1.73

25.37

-0.64

-0.25

0.74

20.49

19.66

-1.34

-0.47

19.67

-1.36

-0.54

-0.50

25.67

21.59

2.92

0.39

24.06

0.45

0.18

0.29

20.23

16.33

1.70

0.15

19.45

-1.43

-0.57

-0.21

25.10

20.80

3.01

0.41

23.57

0.24

0.10

0.26

23.68

17.27

6.64

1.15

22.37

1.54

0.62

0.88

18.25

20.79

-4.02

-1.01

17.78

-1.00

-0.40

-0.70

23.63

14.80

2.43

0.30

22.33

-5.10

-2.04

-0.87

15.96

16.66

-0.15

-0.23

15.84

0.68

0.28

0.03

15.20

13.39

0.39

-0.12

15.19

-1.42

-0.56

-0.34

19.11

17.72

-0.45

-0.29

18.50

-1.23

-0.49

-0.39

19.13

15.14

2.94

0.40

18.52

-0.44

-0.17

0.11

18.79

16.36

2.38

0.29

18.23

0.50

0.21

0.25

25.23

22.45

1.41

0.09

23.69

0.17

0.07

0.08

24.42

22.45

0.26

-0.14

23.00

-0.29

-0.11

-0.13

25.97

25.97

-2.91

-0.78

24.32

-1.26

-0.50

-0.64

35.41

31.59

-4.31

-1.07

32.31

-5.04

-2.01

-1.54

22.03

21.04

5.20

0.86

20.98

5.27

2.11

1.48

18.11

16.29

1.39

0.09

17.66

0.03

0.02

0.05

28.38

31.40

-7.09

-1.63

26.36

-2.05

-0.82

-1.22

19.89

15.56

8.38

1.50

19.17

4.78

1.92

1.71

24.53

23.03

0.48

-0.10

23.09

0.42

0.17

0.04

26.73

16.09

6.91

1.20

24.96

-1.96

-0.78

0.21

18.88

14.61

3.06

0.42

18.31

-0.64

-0.25

0.09

27.11

25.58

-3.35

-0.87

25.28

-3.05

-1.22

-1.05

16.65

15.26

2.46

0.30

16.42

1.30

0.53

0.41

42.26

39.01

-6.62

-1.53

38.12

-5.72

-2.29

-1.91

25.25

28.43

-5.99

-1.41

23.70

-1.26

-0.50

-0.95

18.02

19.02

0.18

-0.16

17.58

1.63

0.66

0.25

22.69

18.87

4.54

0.72

21.53

1.88

0.76

0.74

27.14

22.76

2.20

0.25

25.30

-0.35

-0.14

0.06

12.08

17.52

-2.96

-0.79

12.55

2.01

0.81

0.01

20.16

14.79

6.64

1.15

19.39

2.04

0.82

0.98

15.95

17.53

-2.59

-0.72

15.83

-0.88

-0.35

-0.53

15.96

21.27

-6.08

-1.42

15.83

-0.65

-0.26

-0.84

22.83

18.66

2.46

0.30

21.65

-0.54

-0.21

0.04

13.03

19.22

-7.71

-1.75

13.35

-1.84

-0.73

-1.24

16.99

17.14

-1.08

-0.41

16.71

-0.65

-0.26

-0.34

26.24

18.54

4.13

0.64

24.54

-1.88

-0.75

-0.05

14.18

15.46

-1.54

-0.51

14.32

-0.41

-0.16

-0.33

16.18

20.46

-6.30

-1.47

16.02

-1.87

-0.74

-1.11

20.51

19.39

2.96

0.40

19.69

2.66

1.07

0.74

32.64

22.16

12.41

2.31

29.97

4.60

1.85

2.08

17.42

13.25

1.46

0.10

17.07

-2.35

-0.94

-0.42

31.75

24.78

1.61

0.13

29.21

-2.83

-1.13

-0.50

25.09

15.81

6.45

1.11

23.57

-1.30

-0.52

0.30

37.66

53.15

-11.62

-2.54

34.22

7.31

2.93

0.19

22.03

18.64

7.54

1.33

20.98

5.21

2.09

1.71

23.78

18.79

-0.02

-0.20

22.46

-3.69

-1.47

-0.84

23.40

15.61

10.89

2.01

22.14

4.36

1.75

1.88

12.65

22.52

-7.92

-1.80

13.03

1.57

0.63

-0.58

16.13

16.26

-1.86

-0.57

15.97

-1.57

-0.62

-0.60

15.74

19.34

-5.29

-1.26

15.65

-1.60

-0.64

-0.95

16.92

18.44

-2.02

-0.60

16.65

-0.23

-0.09

-0.35

19.17

15.18

3.24

0.46

18.55

-0.13

-0.05

0.21

29.01

26.29

6.39

1.10

26.89

5.79

2.32

1.71

25.16

29.26

-6.79

-1.57

23.63

-1.16

-0.46

-1.01

22.73

16.28

6.24

1.07

21.57

0.95

0.39

0.73

15.77

19.68

-5.07

-1.22

15.67

-1.06

-0.42

-0.82

15.96

17.93

-1.85

-0.57

15.84

0.24

0.10

-0.23

21.81

19.04

0.55

-0.08

20.79

-1.20

-0.48

-0.28

20.52

15.69

7.81

1.38

19.70

3.81

1.53

1.46

18.79

13.26

5.94

1.01

18.23

0.97

0.39

0.70

15.43

17.09

-2.56

-0.71

15.38

-0.85

-0.34

-0.52

14.67

13.74

1.52

0.11

14.74

0.52

0.21

0.16

16.35

18.72

-1.69

-0.54

16.16

0.87

0.35

-0.09

34.19

28.68

1.42

0.09

31.28

-1.19

-0.47

-0.19

17.68

20.18

-1.59

-0.52

17.29

1.30

0.53

0.00

17.97

11.50

7.17

1.25

17.54

1.13

0.46

0.85

21.87

26.45

-4.23

-1.05

20.84

1.38

0.56

-0.25

13.88

16.68

-4.73

-1.15

14.07

-2.12

-0.84

-1.00

13.53

11.93

1.13

0.03

13.78

-0.72

-0.28

-0.13

24.87

20.14

3.48

0.51

23.39

0.23

0.09

0.30

0.9654784918

4.95

-0.01
Std.Dev

2.50

Lower 95.0% Upper 95.0%

0.4128354

4.212099

0.764584

0.92986

Earnings Events, Jumps and Surprices

Upper 95% Lower 95.0% Upper 95.0%

13.421917 8.5008177 13.42191698
0.6919581 0.2103495 0.691958109
142.55606 20.623035 142.5560578
4.0067099 0.0606895 4.006709922
0.083193 0.0432847 0.083193035

Ret 1M
Ret 1M
1/MC
Beta
CDS

1
0.3079085
0.0140134
0.2867924

Upper 95% Lower 99.0% Upper 99.0%

#N/A
#N/A
1.0881843 0.3391949
195.62843 -1.5911585
10.702055 6.8181039
0.0922625 0.0273408

#N/A
1.193099313
223.2540487
11.24610084
0.101356492

Upper 95% Lower 99.0% Upper 99.0%

#N/A
18.232077

#N/A
15.009912

#N/A
18.6829217

Ret 1Y
Ret 1Y
Ret 1M
1/MC
Beta
CDS

1
0.3484872
0.1010678
0.2528491
0.3293943

SUMMARY OUTPUT

Upper 95% Lower 99.0% Upper 99.0%

#N/A
#N/A
#N/A
0.2579971 0.2012057 0.265943297

Regression Statistics
Multiple R
0.970609
R Square
0.9420818
Adjusted R Square
0.927591
Standard Error 5.3467237
Observations
85
ANOVA
df
Regression
Residual
Total

Intercept
Ret 1M
1/MC
Beta
CDS

Upper 95% Lower 99.0% Upper 99.0%

#N/A

#N/A

#N/A

4
81
85

SS
37664.672
2315.5838
39980.255

CoefficientsStandard Error
0
#N/A
0.5271763 0.1785847
120.33053 45.365854
10.692173 1.0849025
0.1157624 0.0136242

3.9021046

2.6989352

4.070451755

Upper 95% Lower 99.0% Upper 99.0%

#N/A
851.60758

#N/A
616.73239

#N/A
884.4712623

Upper 95% Lower 95.0% Upper 95.0%

14.418132

8.6672646

14.41813185

0.6568003

0.0939855

0.656800254

142.45774 -0.0349365

142.4577442

3.5023761 -1.1090001

3.502376075

0.0954355

0.095435528

0.0487981

Upper 95% Lower 95.0% Upper 95.0%

#N/A

#N/A

#N/A

1.245186

0.4533354

1.245185966

307.23793

125.86803

307.237927

12.387829

8.6608138

12.38782904

Upper 95% Lower 95.0% Upper 95.0%

15.121588

8.1858492

15.12158841

0.8472833

0.1768819

0.847283319

257.52849

109.71127

257.5284944

5.7374915

0.3672189

5.73749149

Rank

abs ret
abs ret

abs(D1)

1/Mcap

Raw Beta

Ask CDS

abs(D1)

0.3484872

1/Mcap

0.3079085

0.1010678

Raw Beta

0.1235664

0.2483102

0.1844824

Ask CDS

0.2867924

0.3293943

0.5729539

0.3039018

V260

0.4964831

0.3443161

0.5782283

0.4801115

0.7747332

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.9228653

R Square

0.8516803

Adjusted R Square
0.8402711
Standard Error 2.4402742
Observations

85

ANOVA
df
Regression

SS

MS

2667.1633

444.52721

Residual

78

464.48517

5.954938

Total

84

3131.6484

CoefficientsStandard Error

F
74.648504

t Stat

P-value

Significance F
2.85E-30

Lower 95%

Intercept

3.7063365

1.1231135

3.300055

0.0014589

1.4703892

abs ret 1M

0.0039932

0.0964977

0.0413813

0.9670977

-0.188119

abs ret 1Y

0.0074644

0.0166943

0.4471197

0.6560278 -0.0257715

1/Mcap

37.701835

21.813074

1.7284054

0.0878724 -5.7246582

0.7442673 -1.8699655

0.0652407 -2.8734766

Raw Beta

-1.3917542

Ask CDS

0.0063141

0.0092078

0.6857279

0.4949178 -0.0120173

V260

0.7931326

0.0817619

9.7005206

4.758E-15

0.6303573

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.7934642

R Square

0.6295854

Adjusted R Square
0.6110646
Standard Error 3.8079003
Observations

85

ANOVA
df
Regression

SS

MS

1971.6401

492.91001

Residual

80

1160.0084

14.500105

Total

84

3131.6484

CoefficientsStandard Error

t Stat

F
33.993549

P-value

Significance F
1.464E-16

Lower 95%

Intercept

11.805547

1.2528724

9.4227848

1.299E-14

abs ret 1Y

0.0301498

0.0247922

1.2161006

0.2275228 -0.0191882

1/Mcap

106.19852

32.381684

3.2795861

0.0015407

Raw Beta

1.7386036

1.0428376

1.6671853

0.099388 -0.3367094

Ask CDS

0.0646417

0.0110389

5.8558134

1.005E-07

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.8202108

R Square

0.6727457

Adjusted R Square
0.6520334
Standard Error 3.6017672
Observations

85

9.3122519

41.756915

0.0426736

ANOVA
df
Regression

SS

MS

2106.803

421.3606

Residual

79

1024.8454

12.972727

Total

84

3131.6484

CoefficientsStandard Error

t Stat

F
32.480496

P-value

Significance F
7.57E-18

Lower 95%

Intercept

11.235482

1.1981384

9.3774488

1.785E-14

8.8506469

abs ret 1M

0.4134261

0.128081

3.2278489

0.0018169

0.1584873

abs ret 1Y

0.0057437

0.0246389

0.2331147

0.8162753 -0.0432989

1/Mcap

83.316425

31.438426

2.6501462

0.0097157

Raw Beta

1.7846172

0.9864887

1.80906

Ask CDS

0.0634361

0.010448

6.0716024

20.739804

0.0742459 -0.1789393
4.167E-08

0.0426399

SUMMARY OUTPUT

Regression Statistics
Multiple R

0.8200735

R Square

0.6725206

Adjusted R Square
0.6561466
Standard Error 3.5804162
Observations

85

ANOVA
df
Regression

SS

MS

2106.098

526.52451

Residual

80

1025.5504

12.81938

Total

84

3131.6484

CoefficientsStandard Error
Intercept
abs ret 1M

t Stat

F
41.072541

P-value

Significance F
1.13E-18

Lower 95%

1.1726009

9.6234218

5.257E-15

8.950883

0.5271763

0.1211784

3.4873265

0.0007956

0.181436

1/Mcap

120.33053

30.75438

2.666733

Raw Beta

10.692173

0.9674127

1.8836448

0.0632466 -0.1029507

Ask CDS

0.1157624

0.0100095

6.4024909

9.719E-09

11.284433
0.4225887
82.013721
1.8222618
0.064086

0.0092661

20.810554

0.0441664

1/MC
1
0.1705542
0.5729539

Ret 1M
1
0.3079085
0.0140134
0.2867924

Beta

CDS

1
0.3008947

1/MC

1
0.1705542
0.5729539

Beta

1
0.3008947

CDS

MS
9416.1679
28.587454

F
Significance F
329.38113 7.889E-49

t Stat
#N/A
2.9519674
2.6524471
9.8554226
8.4968114

P-value
Lower 95% Upper 95% Lower 99.0% Upper 99.0%
#N/A
#N/A
#N/A
#N/A
#N/A
0.0041295 0.1718487 0.8825039 0.0560882 0.9982645
0.0096126
30.06671 210.59434 0.6600725 240.00098
1.632E-15 8.5335572 12.850789 7.8303117 13.554034
7.856E-13 0.0886545 0.1428703 0.0798231 0.1517016

V260

gnificance F

Upper 95% Lower 95.0% Upper 95.0%

5.9422837

1.4703892

5.9422837

0.1961054

-0.188119

0.1961054

0.0407002 -0.0257715

0.0407002

81.128329 -5.7246582

81.128329

0.0899682 -2.8734766

0.0899682

0.0246454 -0.0120173

0.0246454

0.955908

0.6303573

0.955908

gnificance F

Upper 95% Lower 80.0% Upper 80.0%

14.298843

10.186556

13.424539

0.0794877 -0.0018873

0.0621868

170.64012

64.354143

148.04289

3.8139166

0.3910242

3.086183

0.0866098

0.050377

0.0789064

gnificance F

Upper 95% Lower 80.0% Upper 80.0%

13.620317

9.6870558

12.783908

0.668365

0.2478994

0.5789528

0.0547862 -0.0260987

0.0375861

145.89305

42.686666

123.94618

3.7481738

0.5097189

3.0595156

0.0842324

0.0499335

0.0769387

gnificance F

Upper 95% Lower 95.0% Upper 95.0%

13.617983

8.950883

13.617983

0.6637414

0.181436

0.6637414

0.8

2.64

143.21689

20.810554

143.21689

0.5

3.7

3.7474743 -0.1029507

3.7474743

-0.11

4.07

0.0840056

0.0840056

2.72

5.44

0.0441664

0.967
0.602
0.904
1.028
0.904
1.244
1.528
0.759
1.519
1.099
0.574
0.720
0.850
1.006
0.727
0.990
0.534
0.946
0.981
0.598
1.610
1.069
0.661
0.713
0.939
0.703
1.580
1.483
1.513
1.360
0.598
0.972
1.159
0.976
1.118
1.877
0.856
0.750
0.987
0.820
0.506
1.742
0.688
0.920
0.808
0.810

26.496
46.712
23.943
26.245
26.183
32.683
34.567
41.527
27.443
23.503
14.560
19.208
23.612
23.412
18.591
19.198
14.595
22.263
22.355
14.942
21.430
17.721
16.420
16.514
17.667
16.057
23.570
25.303
19.383
22.517
14.052
21.112
17.686
17.035
18.737
23.911
19.592
14.405
13.055
13.914
11.954
18.668
16.772
25.899
14.718
14.613

1YR Abs Ret

50.000

50.000

40.000

40.000

30.000

30.000

20.000

20.000

10.000

10.000
0.000

0.000
0

10

20

30

40

50

60

70

80

1/MC
50.000

50.000

40.000

40.000

30.000

30.000

20.000

20.000

10.000

10.000

0.000
0.000

0.010

0.020

0.030

0.040

0.050

0.060

0.070

0.080

0.000
0.000

CDS
50.000

50.000

40.000

40.000

30.000

30.000

20.000

20.000

10.000

10.000

0.000
0

50

100

150

200

250

300

350

0.000
0.000

0.833
1.305
1.300
1.285
1.414
1.428
1.510
1.077
0.777
0.961
0.672
1.480
1.347
1.001
0.571
0.531
1.165
1.156
1.498
1.523
2.111
1.121
1.615
1.231
1.657
1.039
1.012
1.294
1.300
0.847
2.166
1.263
1.938
1.363
1.559
0.904
1.751
2.374
1.893

14.535
22.712
18.076
23.856
23.507
30.092
23.997
15.907
13.507
16.080
15.185
24.953
15.257
19.695
11.514
14.154
18.024
17.268
18.420
22.222
24.731
13.774
24.507
18.314
23.815
17.231
18.769
23.055
22.472
22.441
24.565
24.309
22.668
20.531
22.230
32.396
27.277
26.384
20.357

1 Month Abs Return

50.000
40.000
30.000
20.000
10.000
0.000
0.000

5.000

10.000

15.000

20.000

Kappa
50.000
40.000
30.000
20.000
10.000
0.000
0.000

0.500

1.000

1.500

2.000

2.500

40.000

50.000

252 Days Realized Vol

50.000
40.000
30.000
20.000
10.000
0.000
0.000

10.000

20.000

30.000

Ret 1Y
1.63693
55.44466
24.80774
24.69104
41.54659
22.10557
23.18332
48.05364
26.94893
38.58514
34.69003
5.52203
11.46907
5.993857
13.75381
26.5971
19.40645
8.786117
19.06286
4.036106
32.49301
41.6612
1.093562
32.0951
31.31634
28.75014
2.125258
1.65963
31.67253
15.56339
18.95304
63.10306
14.58235
37.60519
30.40101
18.94028
44.03724
23.38808
0.6128625
30.9984
4.033845
24.78773
24.87275
33.3782
13.25122

Ret 1M
1.728
5.914
3.600
0.959
7.487
8.588
6.252
12.435
2.206
5.558
0.363
4.214
0.679
6.731
1.237
0.486
1.769
3.148
11.275
0.238
0.282
3.831
2.449
4.064
0.741
0.278
1.318
6.594
0.572
6.611
0.325
6.551
0.793
6.422
7.673
0.730
4.414
1.198
0.865
3.449
0.904
0.328
4.870
10.394
1.935

1/MC
0.006
0.054
0.003
0.029
0.016
0.036
0.052
0.070
0.021
0.013
0.004
0.005
0.031
0.008
0.007
0.014
0.008
0.004
0.018
0.006
0.005
0.015
0.007
0.013
0.009
0.019
0.006
0.045
0.012
0.009
0.005
0.020
0.004
0.010
0.008
0.025
0.022
0.005
0.003
0.012
0.004
0.004
0.019
0.002
0.007

2.935663
24.75128
5.360685
5.723398
32.84417
41.59067
20.72198
34.97775
2.168715
30.35473
2.275327
47.10155
44.82406
12.39979
71.28846
9.823639
12.2342
29.15095
19.41533
16.82498
6.120759
50.45976
9.694964
53.50291
2.9329
34.4944
31.03327
6.595485
72.11215
4.498622
43.09515
56.96946
54.2437
44.52421
3.2939
41.32013
22.36945
13.14589
64.48672

1.141
4.114
1.649
0.678
7.888
4.305
2.401
6.389
1.936
0.347
6.398
6.111
3.002
1.598
11.791
3.655
3.873
4.419
2.437
0.961
2.613
1.291
3.504
8.485
2.372
7.673
0.453
3.297
6.442
0.531
8.773
0.833
5.352
2.216
10.141
4.132
17.180
5.422
8.538

0.005
0.012
0.042
0.031
0.021
0.013
0.053
0.022
0.008
0.004
0.025
0.024
0.047
0.014
0.011
0.010
0.014
0.009
0.018
0.025
0.042
0.006
0.004
0.029
0.018
0.040
0.008
0.042
0.015
0.059
0.064
0.006
0.020
0.018
0.029
0.037
0.024
0.029
0.018

45.50195

5.712

0.013

Beta

0.967
0.602
0.904
1.028
0.904
1.244
1.528
0.759
1.519
1.099
0.574
0.720
0.850
1.006
0.727
0.990
0.534
0.946
0.981
0.598
1.610
1.069
0.661
0.713
0.939
0.703
1.580
1.483
1.513
1.360
0.598
0.972
1.159
0.976
1.118
1.877
0.856
0.750
0.987
0.820
0.506
1.742
0.688
0.920
0.808

CDS
40.0226
275.7359
30.18
78.2827
38.1979
103.5952
71.04
290
79.1449
46.964
22.2608
40.32
54.6943
46.8594
67.5817
28.9693
48.4928
36.8043
39.1719
33.3449
83.2781
23.84
45.4492
36.7915
34.1265
37.4525
74.365
62.5342
50.8233
45.63
37.1328
37.0527
73.9
38.7189
24.0107
85.9566
41.0489
34.5527
18
16.8425
27.4909
62.1432
37.9782
34
14.2035

Vol 1YR
23.400
47.197
19.892
22.033
22.029
29.010
32.640
37.661
24.991
20.520
12.085
18.024
24.874
22.689
17.678
18.787
12.650
25.087
20.511
15.951
20.163
16.651
16.924
15.962
18.884
16.993
24.613
23.697
18.584
22.726
15.744
22.828
18.112
16.349
18.791
23.676
21.811
16.126
13.532
14.178
13.881
17.975
18.253
32.356
17.418

IV 1M
26.496
46.712
23.943
26.245
26.183
32.683
34.567
41.527
27.443
23.503
14.560
19.208
23.612
23.412
18.591
19.198
14.595
22.263
22.355
14.942
21.430
17.721
16.420
16.514
17.667
16.057
23.570
25.303
19.383
22.517
14.052
21.112
17.686
17.035
18.737
23.911
19.592
14.405
13.055
13.914
11.954
18.668
16.772
25.899
14.718

0.810
0.833
1.305
1.300
1.285
1.414
1.428
1.510
1.077
0.777
0.961
0.672
1.480
1.347
1.001
0.571
0.531
1.165
1.156
1.498
1.523
2.111
1.121
1.615
1.231
1.657
1.039
1.012
1.294
1.300
0.847
2.166
1.263
1.938
1.363
1.559
0.904
1.751
2.374
1.893

65.7228
26.901
83.8062
38.3995
80.8902
121.8886
127.8377
38.0149
69.4364
79.9586
32.7965
39.505
88.7492
55
51.6784
18.7614
56.2915
47.7166
52.288
70
122.8362
95.6139
22.7981
76.6424
78.6675
55
43.9096
33.1323
143.9728
136.3304
90.4977
103.2755
170
99.5626
65.3181
116.1069
155.2689
177.2636
131.768

15.766
15.430
24.423
19.125
25.230
24.526
34.188
26.731
16.669
14.666
15.963
15.961
27.135
14.666
20.108
13.031
16.183
20.234
19.110
19.166
21.866
27.214
15.202
25.670
20.493
25.095
23.630
23.782
25.975
25.162
25.245
29.043
28.382
26.240
24.622
27.112
42.261
35.410
31.751

14.613
14.535
22.712
18.076
23.856
23.507
30.092
23.997
15.907
13.507
16.080
15.185
24.953
15.257
19.695
11.514
14.154
18.024
17.268
18.420
22.222
24.731
13.774
24.507
18.314
23.815
17.231
18.769
23.055
22.472
22.441
24.565
24.309
22.668
20.531
22.230
32.396
27.277
26.384

97.2901

26.750

20.357

Date

AAPl