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Daily Speculations The Web Site of Victor Niederhoffer & Laurel Kenner Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter; a forum for us to use our meager abilities to make the world of specinvestments a better place. |
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2/1/2005
The January Effect, by Victor, Alex And Steve
Around January each year, a bunch of amiable idiots start transmitting data on the January baromoter. If it looks like January is down, then all the chronic bears of the world and more pessimist followers of the abelprechtensteins can be counted on rubbing their hands with glee to predict a imminent dow of 5000. But of course when January is up, the whole year is likely to be up. and when January is down,the chances are reduced. And of course you can play with various starting points , indexes, changes in regime with lame ducks et al to make the numbers of rises and declines, look alluring, especially when you're dealing with a 8% a year drift and 0.6 chance of any month being up. In any case, doc castaldo and boss wiz here respecitiveloy computed the theoretical correlations assuming randomness and compared it to actuality with the guaranteed to happen result of a bullseye at 29%. All other exercises will result in similar bulleyes consistent with multiple comparisons. When will these orgie ofsuperstitions go out of style? Never of course, because otherwise the public couldnt always be counted on to be on the wrong foot.
2/1/2005
Part Whole Correlation, by Alex Castaldo
PWC is a dangerous fallacy which often affects
people at this time of the year.
Suppose x is the amount by which the S&P rises in January
and y is the amount by which it rises in the remaining 11
months of the year. Then there will be a correlation
between x and x+y, that is between January and the whole
year. And this will be "discovered" empirically and
reported in newsletters and research reports.
Let us estimate this spurious correlation:
Corr(x, x+y) = Covar(x,x+y) / SQRT[ Var(x) Var(x+y) ] /*
by definition */
Assuming that x and y are not related, i.e. Covar(x,y) = 0
this reduces to
Var(x) / SQRT[ Var(x) (Var(x)+Var(y)) ]
If all months are equally volatile and serially independent,
then the monthly variances add and so Var(y) = 11 Var (x).
So we get
1 / SQRT[ 1 + 11 ] = 0.288675
So we expect a nearly 30% correlation even if January has no
predictive value for the rest of the year.
2/1/2005
The Numbers, An Empirical Check, by Steve Wisdom
An empirical check, SPX from 1970 till Feb-2004, with each month's
log-change aligned with the log-change of the full year starting with that
month. "As predicted" the corr is 30%'ish
Date SPX Ln LnChg01 LnChg12 Corr
1/30/1970 85.02 4.44 -0.0796 0.0010 0.2983
2/27/1970 89.50 4.49 0.0514 0.1202
3/31/1970 89.63 4.50 0.0015 0.0779
4/30/1970 81.52 4.40 -0.0948 0.1126
5/29/1970 76.55 4.34 -0.0629 0.2431
6/30/1970 72.72 4.29 -0.0513 0.2635
7/31/1970 78.05 4.36 0.0707 0.3155
8/31/1970 81.52 4.40 0.0435 0.2026
9/30/1970 84.21 4.43 0.0325 0.1946
10/30/1970 83.25 4.42 -0.0115 0.1551
11/30/1970 87.20 4.47 0.0464 0.1239
12/31/1970 92.15 4.52 0.0552 0.0750
1/29/1971 95.88 4.56 0.0397 0.1024
2/26/1971 96.75 4.57 0.0090 0.0807
3/31/1971 100.31 4.61 0.0361 0.0967
4/30/1971 103.95 4.64 0.0356 0.0664
5/31/1971 99.63 4.60 -0.0424 0.0352
6/30/1971 99.70 4.60 0.0007 0.0947
7/30/1971 95.58 4.56 -0.0422 0.0720
8/31/1971 99.03 4.60 0.0355 0.1165
9/30/1971 98.34 4.59 -0.0070 0.1149
10/29/1971 94.23 4.55 -0.0427 0.1170
11/30/1971 93.99 4.54 -0.0026 0.1690
12/31/1971 102.09 4.63 0.0827 0.2162
1/31/1972 103.94 4.64 0.0180 0.1453
2/29/1972 106.57 4.67 0.0250 0.1100
3/31/1972 107.20 4.67 0.0059 0.0468
4/28/1972 107.67 4.68 0.0044 0.0395
5/31/1972 109.53 4.70 0.0171 -0.0065
6/30/1972 107.14 4.67 -0.0221 -0.0427
7/31/1972 107.39 4.68 0.0023 -0.0272
8/31/1972 111.09 4.71 0.0339 0.0077
9/29/1972 110.55 4.71 -0.0049 -0.0635
10/31/1972 111.58 4.71 0.0093 -0.0194
11/30/1972 116.67 4.76 0.0446 -0.0299
12/29/1972 118.05 4.77 0.0118 -0.1954
1/31/1973 116.03 4.75 -0.0173 -0.1907
2/28/1973 111.68 4.72 -0.0382 -0.1836
3/30/1973 111.52 4.71 -0.0014 -0.1490
4/30/1973 106.97 4.67 -0.0417 -0.1711
5/31/1973 104.95 4.65 -0.0191 -0.1693
6/29/1973 104.26 4.65 -0.0066 -0.1844
7/31/1973 108.22 4.68 0.0373 -0.1925
8/31/1973 104.25 4.65 -0.0374 -0.3108
9/28/1973 108.43 4.69 0.0393 -0.3680
10/31/1973 108.29 4.68 -0.0013 -0.5344
11/30/1973 95.96 4.56 -0.1209 -0.3821
12/31/1973 97.55 4.58 0.0164 -0.3159
1/31/1974 96.57 4.57 -0.0101 -0.3527
2/28/1974 96.22 4.57 -0.0036 -0.2267
3/29/1974 93.98 4.54 -0.0236 -0.1649
4/30/1974 90.31 4.50 -0.0398 -0.1199
5/31/1974 87.28 4.47 -0.0341 -0.0339
6/28/1974 86.00 4.45 -0.0148 0.0434
7/31/1974 79.31 4.37 -0.0810 0.1015
8/30/1974 72.15 4.28 -0.0946 0.1125
9/30/1974 63.54 4.15 -0.1271 0.1858
10/31/1974 73.90 4.30 0.1510 0.2776
11/29/1974 69.97 4.25 -0.0546 0.1864
12/31/1974 68.56 4.23 -0.0204 0.2654
1/31/1975 76.98 4.34 0.1158 0.2742
2/28/1975 81.59 4.40 0.0582 0.2702
3/31/1975 83.36 4.42 0.0215 0.2006
4/30/1975 87.30 4.47 0.0462 0.2093
5/30/1975 91.15 4.51 0.0432 0.1521
6/30/1975 95.19 4.56 0.0434 0.0945
7/31/1975 88.75 4.49 -0.0701 0.0912
8/29/1975 86.88 4.46 -0.0213 0.1532
9/30/1975 83.87 4.43 -0.0353 0.1693
10/31/1975 89.04 4.49 0.0598 0.2270
11/28/1975 91.24 4.51 0.0244 0.1447
12/31/1975 90.19 4.50 -0.0116 0.1125
1/30/1976 100.86 4.61 0.1118 0.1752
2/27/1976 99.71 4.60 -0.0115 0.0115
3/31/1976 102.77 4.63 0.0302 0.0011
4/30/1976 101.64 4.62 -0.0111 -0.0432
5/31/1976 100.18 4.61 -0.0145 -0.0320
6/30/1976 104.28 4.65 0.0401 -0.0414
7/30/1976 103.44 4.64 -0.0081 -0.0371
8/31/1976 102.91 4.63 -0.0051 -0.0454
9/30/1976 105.24 4.66 0.0224 -0.0615
10/29/1976 102.90 4.63 -0.0225 -0.0864
11/30/1976 102.10 4.63 -0.0078 -0.1083
12/31/1976 107.46 4.68 0.0512 -0.0739
1/31/1977 102.03 4.63 -0.0519 -0.1222
2/28/1977 99.82 4.60 -0.0219 -0.1338
3/31/1977 98.42 4.59 -0.0141 -0.1370
4/29/1977 98.44 4.59 0.0002 -0.0983
5/31/1977 96.12 4.57 -0.0238 -0.0165
6/30/1977 100.48 4.61 0.0444 0.0121
7/29/1977 98.85 4.59 -0.0164 -0.0505
8/31/1977 96.77 4.57 -0.0213 0.0183
9/30/1977 96.53 4.57 -0.0025 0.0652
10/31/1977 92.34 4.53 -0.0444 0.0604
11/30/1977 94.83 4.55 0.0266 0.0087
12/30/1977 95.10 4.55 0.0028 -0.0014
1/31/1978 89.25 4.49 -0.0635 0.0106
2/28/1978 87.04 4.47 -0.0251 0.1130
3/31/1978 89.21 4.49 0.0246 0.1009
4/28/1978 96.83 4.57 0.0820 0.1300
5/31/1978 97.29 4.58 0.0047 0.0497
6/30/1978 95.53 4.56 -0.0183 0.0182
7/31/1978 100.68 4.61 0.0525 0.0744
8/31/1978 103.29 4.64 0.0256 0.0306
9/29/1978 102.54 4.63 -0.0073 0.0567
10/31/1978 93.15 4.53 -0.0960 0.0640
11/30/1978 94.70 4.55 0.0165 0.0890
12/29/1978 96.11 4.57 0.0148 0.1142
1/31/1979 99.93 4.60 0.0390 0.1161
2/28/1979 96.28 4.57 -0.0372 0.1331
3/30/1979 101.59 4.62 0.0537 0.1660
4/30/1979 101.76 4.62 0.0017 0.0049
5/31/1979 99.08 4.60 -0.0267 0.0436
6/29/1979 102.91 4.63 0.0379 0.1158
7/31/1979 103.81 4.64 0.0087 0.1044
8/31/1979 109.32 4.69 0.0517 0.1588
9/28/1979 109.32 4.69 0.0000 0.1129
10/31/1979 101.82 4.62 -0.0711 0.1377
11/30/1979 106.16 4.66 0.0417 0.2247
12/31/1979 107.94 4.68 0.0166 0.2804
1/31/1980 114.16 4.74 0.0560 0.2293
2/29/1980 113.66 4.73 -0.0044 0.1265
3/31/1980 102.09 4.63 -0.1074 0.1440
4/30/1980 106.29 4.67 0.0403 0.2868
5/30/1980 111.24 4.71 0.0455 0.2227
6/30/1980 114.24 4.74 0.0266 0.1756
7/31/1980 121.67 4.80 0.0630 0.1385
8/29/1980 122.38 4.81 0.0058 0.0733
9/30/1980 125.46 4.83 0.0249 0.0033
10/31/1980 127.47 4.85 0.0159 -0.0768
11/28/1980 140.52 4.95 0.0975 -0.0448
12/31/1980 135.76 4.91 -0.0345 -0.1063
1/30/1981 129.55 4.86 -0.0468 -0.1024
2/27/1981 131.27 4.88 0.0132 -0.0732
3/31/1981 136.00 4.91 0.0354 -0.1489
4/30/1981 132.81 4.89 -0.0237 -0.1945
5/29/1981 132.59 4.89 -0.0017 -0.1315
6/30/1981 131.21 4.88 -0.0105 -0.1698
7/31/1981 130.92 4.87 -0.0022 -0.1799
8/31/1981 122.79 4.81 -0.0641 -0.2009
9/30/1981 116.18 4.76 -0.0553 -0.0271
10/30/1981 121.89 4.80 0.0480 0.0358
11/30/1981 126.35 4.84 0.0359 0.0926
12/31/1981 122.55 4.81 -0.0305 0.0921
1/29/1982 120.40 4.79 -0.0177 0.1377
2/26/1982 113.11 4.73 -0.0625 0.1880
3/31/1982 111.96 4.72 -0.0102 0.2693
4/30/1982 116.44 4.76 0.0392 0.3120
5/31/1982 111.88 4.72 -0.0399 0.3450
6/30/1982 109.61 4.70 -0.0205 0.3726
7/30/1982 107.09 4.67 -0.0233 0.4277
8/31/1982 119.51 4.78 0.1097 0.4174
9/30/1982 120.42 4.79 0.0076 0.3189
10/29/1982 133.71 4.90 0.1047 0.3214
11/30/1982 138.54 4.93 0.0355 0.2014
12/31/1982 140.64 4.95 0.0150 0.1832
1/31/1983 145.30 4.98 0.0326 0.1593
2/28/1983 148.06 5.00 0.0188 0.1175
3/31/1983 152.96 5.03 0.0326 0.0590
4/29/1983 164.42 5.10 0.0722 0.0399
5/31/1983 162.39 5.09 -0.0124 -0.0269
6/30/1983 168.11 5.12 0.0346 -0.0757
7/29/1983 162.56 5.09 -0.0336 -0.0930
8/31/1983 164.40 5.10 0.0113 -0.0760
9/30/1983 166.07 5.11 0.0101 0.0138
10/31/1983 163.55 5.10 -0.0153 0.0002
11/30/1983 166.40 5.11 0.0173 0.0154
12/30/1983 164.93 5.11 -0.0089 -0.0171
1/31/1984 163.41 5.10 -0.0093 0.0139
2/29/1984 157.06 5.06 -0.0396 0.0946
3/30/1984 159.18 5.07 0.0134 0.1429
4/30/1984 160.05 5.08 0.0055 0.1266
5/31/1984 150.55 5.01 -0.0612 0.1165
6/29/1984 153.18 5.03 0.0173 0.2304
7/31/1984 150.66 5.02 -0.0166 0.2251
8/31/1984 166.68 5.12 0.1011 0.2368
9/28/1984 166.10 5.11 -0.0035 0.1237
10/31/1984 166.09 5.11 -0.0001 0.0919
11/30/1984 163.58 5.10 -0.0152 0.1335
12/31/1984 167.24 5.12 0.0221 0.2118
1/31/1985 179.63 5.19 0.0715 0.2338
2/28/1985 181.18 5.20 0.0086 0.1646
3/29/1985 180.66 5.20 -0.0029 0.2251
4/30/1985 179.83 5.19 -0.0046 0.2794
5/31/1985 189.55 5.24 0.0526 0.2698
6/28/1985 191.85 5.26 0.0121 0.2662
7/31/1985 190.92 5.25 -0.0049 0.2681
8/30/1985 188.63 5.24 -0.0121 0.2125
9/30/1985 182.08 5.20 -0.0353 0.2933
10/31/1985 189.82 5.25 0.0416 0.2394
11/29/1985 202.17 5.31 0.0630 0.2510
12/31/1985 211.28 5.35 0.0441 0.2092
1/31/1986 211.78 5.36 0.0024 0.1365
2/28/1986 226.92 5.42 0.0690 0.2579
3/31/1986 238.90 5.48 0.0514 0.2251
4/30/1986 235.52 5.46 -0.0142 0.1997
5/30/1986 247.35 5.51 0.0490 0.2024
6/30/1986 250.84 5.52 0.0140 0.1594
7/31/1986 236.12 5.46 -0.0605 0.1922
8/29/1986 252.93 5.53 0.0688 0.2998
9/30/1986 231.32 5.44 -0.0893 0.2654
10/31/1986 243.98 5.50 0.0533 0.3302
11/28/1986 249.22 5.52 0.0212 0.0315
12/31/1986 242.17 5.49 -0.0287 -0.0790
1/30/1987 274.08 5.61 0.1238 0.0201
2/27/1987 284.20 5.65 0.0363 -0.0641
3/31/1987 291.70 5.68 0.0260 -0.0594
4/30/1987 288.36 5.66 -0.0115 -0.1193
5/29/1987 290.10 5.67 0.0060 -0.0984
6/30/1987 304.00 5.72 0.0468 -0.1013
7/31/1987 318.66 5.76 0.0471 -0.1057
8/31/1987 329.80 5.80 0.0344 -0.1582
9/30/1987 321.83 5.77 -0.0245 -0.2320
10/30/1987 251.79 5.53 -0.2454 -0.1686
11/30/1987 230.30 5.44 -0.0892 0.1025
12/31/1987 247.08 5.51 0.0703 0.1726
1/29/1988 257.07 5.55 0.0396 0.1169
2/29/1988 267.82 5.59 0.0410 0.1460
3/31/1988 258.89 5.56 -0.0339 0.0756
4/29/1988 261.33 5.57 0.0094 0.1301
5/31/1988 262.16 5.57 0.0032 0.1696
6/30/1988 273.50 5.61 0.0423 0.2010
7/29/1988 272.02 5.61 -0.0054 0.1507
8/31/1988 261.52 5.57 -0.0394 0.2408
9/30/1988 271.91 5.61 0.0390 0.2956
10/31/1988 278.97 5.63 0.0256 0.2500
11/30/1988 273.70 5.61 -0.0191 0.1989
12/30/1988 277.72 5.63 0.0146 0.2344
1/31/1989 297.47 5.70 0.0687 0.2410
2/28/1989 288.86 5.67 -0.0294 0.1010
3/31/1989 294.87 5.69 0.0206 0.1389
4/28/1989 309.64 5.74 0.0489 0.1422
5/31/1989 320.52 5.77 0.0345 0.0661
6/30/1989 317.98 5.76 -0.0080 0.1196
7/31/1989 346.08 5.85 0.0847 0.1186
8/31/1989 351.45 5.86 0.0154 0.0287
9/29/1989 349.15 5.86 -0.0066 -0.0858
10/31/1989 340.36 5.83 -0.0255 -0.1318
11/30/1989 345.99 5.85 0.0164 -0.1130
12/29/1989 353.40 5.87 0.0212 -0.0712
1/31/1990 329.08 5.80 -0.0713 -0.0678
2/28/1990 331.89 5.80 0.0085 0.0441
3/30/1990 339.94 5.83 0.0240 0.1007
4/30/1990 330.80 5.80 -0.0273 0.0987
5/31/1990 361.23 5.89 0.0880 0.1263
6/29/1990 358.02 5.88 -0.0089 0.0762
7/31/1990 356.15 5.88 -0.0052 0.0360
8/31/1990 322.56 5.78 -0.0991 0.0852
9/28/1990 306.05 5.72 -0.0525 0.2037
10/31/1990 304.00 5.72 -0.0067 0.2369
11/30/1990 322.22 5.78 0.0582 0.2554
12/31/1990 330.22 5.80 0.0245 0.1523
1/31/1991 343.93 5.84 0.0407 0.2335
2/28/1991 367.07 5.91 0.0651 0.1728
3/29/1991 375.22 5.93 0.0220 0.1172
4/30/1991 375.34 5.93 0.0003 0.0731
5/31/1991 389.83 5.97 0.0379 0.1003
6/28/1991 371.16 5.92 -0.0491 0.0634
7/31/1991 387.81 5.96 0.0439 0.0950
8/30/1991 395.43 5.98 0.0195 0.0897
9/30/1991 387.86 5.96 -0.0193 0.0460
10/31/1991 392.45 5.97 0.0118 0.0744
11/29/1991 375.22 5.93 -0.0449 0.0647
12/31/1991 417.09 6.03 0.1058 0.1394
1/31/1992 408.79 6.01 -0.0201 0.0437
2/28/1992 412.70 6.02 0.0095 0.0708
3/31/1992 403.69 6.00 -0.0221 0.0717
4/30/1992 414.95 6.03 0.0275 0.1123
5/29/1992 415.35 6.03 0.0010 0.0590
6/30/1992 408.14 6.01 -0.0175 0.0805
7/31/1992 424.22 6.05 0.0386 0.0988
8/31/1992 414.03 6.03 -0.0243 0.0548
9/30/1992 417.80 6.04 0.0091 0.1130
10/30/1992 418.68 6.04 0.0021 0.0939
11/30/1992 431.35 6.07 0.0298 0.1110
12/31/1992 435.71 6.08 0.0101 0.0682
1/29/1993 438.78 6.08 0.0070 0.0682
2/26/1993 443.38 6.09 0.0104 0.0931
3/31/1993 451.67 6.11 0.0185 0.0522
4/30/1993 440.19 6.09 -0.0257 -0.0131
5/31/1993 450.19 6.11 0.0225 0.0241
6/30/1993 450.53 6.11 0.0008 0.0139
7/30/1993 448.13 6.11 -0.0053 -0.0140
8/31/1993 463.56 6.14 0.0339 0.0224
9/30/1993 458.93 6.13 -0.0100 0.0254
10/29/1993 467.83 6.15 0.0192 0.0082
11/30/1993 461.79 6.14 -0.0130 0.0096
12/31/1993 466.45 6.15 0.0100 -0.0177
1/31/1994 481.61 6.18 0.0320 -0.0155
2/28/1994 467.14 6.15 -0.0305 -0.0235
3/31/1994 445.77 6.10 -0.0468 0.0424
4/29/1994 450.91 6.11 0.0115 0.1162
5/31/1994 456.51 6.12 0.0123 0.1323
6/30/1994 444.27 6.10 -0.0272 0.1557
7/29/1994 458.26 6.13 0.0310 0.2039
8/31/1994 475.50 6.16 0.0369 0.2042
9/30/1994 462.71 6.14 -0.0273 0.1669
10/31/1994 472.35 6.16 0.0206 0.2335
11/30/1994 453.69 6.12 -0.0403 0.2079
12/30/1994 459.27 6.13 0.0122 0.2884
1/31/1995 470.42 6.15 0.0240 0.2935
2/28/1995 487.39 6.19 0.0354 0.3016
3/31/1995 500.71 6.22 0.0270 0.2731
4/28/1995 514.71 6.24 0.0276 0.2540
5/31/1995 533.40 6.28 0.0357 0.2398
6/30/1995 544.75 6.30 0.0211 0.2267
7/31/1995 562.06 6.33 0.0313 0.2079
8/31/1995 561.88 6.33 -0.0003 0.1298
9/29/1995 584.41 6.37 0.0393 0.1487
10/31/1995 581.50 6.37 -0.0050 0.1622
11/30/1995 605.37 6.41 0.0402 0.1930
12/29/1995 615.93 6.42 0.0173 0.2235
1/31/1996 636.02 6.46 0.0321 0.1845
2/29/1996 640.43 6.46 0.0069 0.2119
3/29/1996 645.50 6.47 0.0079 0.2109
4/30/1996 654.17 6.48 0.0133 0.1595
5/31/1996 669.12 6.51 0.0226 0.2029
6/28/1996 670.63 6.51 0.0023 0.2372
7/31/1996 639.95 6.46 -0.0468 0.2775
8/30/1996 651.99 6.48 0.0186 0.3996
9/30/1996 687.31 6.53 0.0528 0.3218
10/31/1996 705.27 6.56 0.0258 0.3208
11/29/1996 757.02 6.63 0.0708 0.2599
12/31/1996 740.74 6.61 -0.0217 0.2327
1/31/1997 786.16 6.67 0.0595 0.2701
2/28/1997 790.82 6.67 0.0059 0.2207
3/31/1997 757.12 6.63 -0.0435 0.2828
4/30/1997 801.34 6.69 0.0568 0.3751
5/30/1997 848.28 6.74 0.0569 0.3274
6/30/1997 885.14 6.79 0.0425 0.2515
7/31/1997 954.29 6.86 0.0752 0.2476
8/29/1997 899.47 6.80 -0.0592 0.1607
9/30/1997 947.28 6.85 0.0518 0.0623
10/31/1997 914.62 6.82 -0.0351 0.0710
11/28/1997 955.40 6.86 0.0436 0.1833
12/31/1997 970.43 6.88 0.0156 0.1972
1/30/1998 980.28 6.89 0.0101 0.2364
2/27/1998 1049.34 6.96 0.0681 0.2665
3/31/1998 1101.75 7.00 0.0487 0.1656
4/30/1998 1111.75 7.01 0.0090 0.1549
5/29/1998 1090.82 6.99 -0.0190 0.1831
6/30/1998 1133.84 7.03 0.0387 0.1768
7/31/1998 1120.67 7.02 -0.0117 0.1912
8/31/1998 957.28 6.86 -0.1576 0.1703
9/30/1998 1017.01 6.92 0.0605 0.3216
10/30/1998 1098.67 7.00 0.0772 0.2321
11/30/1998 1163.63 7.06 0.0574 0.2155
12/31/1998 1229.23 7.11 0.0548 0.1770
1/29/1999 1279.64 7.15 0.0402 0.1784
2/26/1999 1238.33 7.12 -0.0328 0.0859
3/31/1999 1286.37 7.16 0.0381 0.0984
4/30/1999 1335.18 7.20 0.0372 0.1527
5/31/1999 1301.84 7.17 -0.0253 0.0842
6/30/1999 1372.71 7.22 0.0530 0.0873
7/30/1999 1328.72 7.19 -0.0326 0.0579
8/31/1999 1320.41 7.19 -0.0063 0.0740
9/30/1999 1282.71 7.16 -0.0290 0.1392
10/29/1999 1362.93 7.22 0.0607 0.1132
11/30/1999 1388.91 7.24 0.0189 0.0476
12/31/1999 1469.25 7.29 0.0562 -0.0547
1/31/2000 1394.46 7.24 -0.0522 -0.1069
2/29/2000 1366.42 7.22 -0.0203 -0.0206
3/31/2000 1498.58 7.31 0.0923 -0.0971
4/28/2000 1452.43 7.28 -0.0313 -0.2558
5/31/2000 1420.60 7.26 -0.0222 -0.1505
6/30/2000 1454.60 7.28 0.0237 -0.1233
7/31/2000 1430.83 7.27 -0.0165 -0.1723
8/31/2000 1517.68 7.32 0.0589 -0.1666
9/29/2000 1436.51 7.27 -0.0550 -0.2918
10/31/2000 1429.40 7.27 -0.0050 -0.3221
11/30/2000 1314.95 7.18 -0.0835 -0.2992
12/29/2000 1320.28 7.19 0.0040 -0.1433
1/31/2001 1366.01 7.22 0.0341 -0.1398
2/28/2001 1239.94 7.12 -0.0968 -0.1895
3/30/2001 1160.33 7.06 -0.0664 -0.1137
4/30/2001 1249.46 7.13 0.0740 -0.0112
5/31/2001 1255.82 7.14 0.0051 -0.1486
6/29/2001 1224.42 7.11 -0.0253 -0.1628
7/31/2001 1211.23 7.10 -0.0108 -0.2127
8/31/2001 1133.58 7.03 -0.0663 -0.2842
9/28/2001 1040.94 6.95 -0.0853 -0.2130
10/31/2001 1059.78 6.97 0.0179 -0.2443
11/30/2001 1139.45 7.04 0.0725 -0.1794
12/31/2001 1148.08 7.05 0.0075 -0.1964
1/31/2002 1130.20 7.03 -0.0157 -0.2661
2/28/2002 1106.73 7.01 -0.0210 -0.2782
3/29/2002 1147.39 7.05 0.0361 -0.2744
4/30/2002 1076.92 6.98 -0.0634 -0.3022
5/31/2002 1067.14 6.97 -0.0091 -0.1608
6/28/2002 989.82 6.90 -0.0752 -0.1021
7/31/2002 911.62 6.82 -0.0823 -0.0156
8/30/2002 916.07 6.82 0.0049 0.0828
9/30/2002 815.28 6.70 -0.1166 0.0956
10/31/2002 885.76 6.79 0.0829 0.2002
11/29/2002 936.31 6.84 0.0555 0.1708
12/31/2002 879.82 6.78 -0.0622 0.1224
1/31/2003 855.70 6.75 -0.0278 0.2341
2/28/2003 841.15 6.73 -0.0171 0.2791
3/31/2003 848.18 6.74 0.0083 0.3083
4/30/2003 916.92 6.82 0.0779 0.2835
5/30/2003 963.59 6.87 0.0496 0.1887
6/30/2003 974.50 6.88 0.0113 0.1510
7/31/2003 990.31 6.90 0.0161 0.1576
8/29/2003 1008.01 6.92 0.0177 0.1066
9/30/2003 995.97 6.90 -0.0120 0.0912
10/31/2003 1050.71 6.96 0.0535 0.1125
11/28/2003 1058.20 6.96 0.0071 0.0729
12/31/2003 1111.92 7.01 0.0495 0.1037
1/30/2004 1131.13 7.03 0.0171 0.0861
2/27/2004 1144.94 7.04 0.0121 0.0434