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Date DGKC ui ui^2 Sunday, October 15, 2006 n 67.9 0.009619 0.000093 Saturday, October 14, 2006 n-1 67.25 0.004471 0.000020 Friday, October 13, 2006 n-2 66.95 -0.01556 0.000242 Thursday, October 12, 2006 n-3 68 0.018553 0.000344 Wednesday, October 11, 2006 n-4 66.75 0.005257 0.000028 Tuesday, October 10, 2006 n-5 66.4 -0.01643 0.000270 Monday, October 9, 2006 n-6 67.5 0.020959 0.000439 Sunday, October 8, 2006 n-7 66.1 0.024503 0.000600 Saturday, October 7, 2006 n-8 64.5 0.02353 0.000554 Friday, October 6, 2006 n-9 63 0.011976 0.000143 Thursday, October 5, 2006 n-10 62.25 -0.01277 0.000163 Wednesday, October 4, 2006 n-11 63.05 0.001587 0.000003 Tuesday, October 3, 2006 n-12 62.95 -0.0181 0.000328 Monday, October 2, 2006 n-13 64.1 0.023679 0.000561 Sunday, October 1, 2006 n-14 62.6 0.030822 0.000950 Saturday, September 30, 2006 n-15 60.7 0.028406 0.000807 Friday, September 29, 2006 n-16 59 -0.03334 0.001111 Thursday, September 28, 2006 n-17 61 -0.05113 0.002614 Wednesday, September 27, 2006 n-18 64.2 0.035676 0.001273 Tuesday, September 26, 2006 n-19 61.95 -0.05113 0.002614 Monday, September 25, 2006 n-20 65.2 -0.05083 0.002584 Sunday, September 24, 2006 n-21 68.6 -0.01375 0.000189 Saturday, September 23, 2006 n-22 69.55 -0.00215 0.000005 Friday, September 22, 2006 n-23 69.7 0.007922 0.000063 Thursday, September 21, 2006 n-24 69.15 -0.01079 0.000116 Wednesday, September 20, 2006 n-25 69.9 0.002148 0.000005 Tuesday, September 19, 2006 n-26 69.75 0.002871 0.000008 Monday, September 18, 2006 n-27 69.55 -0.04292 0.001842 Sunday, September 17, 2006 n-28 72.6 -0.01368 0.000187 Saturday, September 16, 2006 n-29 73.6 -0.0135 0.000182 Friday, September 15, 2006 n-30 74.6 0.035474 0.001258 Thursday, September 14, 2006 n-31 72 0.028171 0.000794 Wednesday, September 13, 2006 n-32 70 -0.00712 0.000051 Tuesday, September 12, 2006 n-33 70.5 -0.01827 0.000334 Monday, September 11, 2006 n-34 71.8 -0.00901 0.000081 Sunday, September 10, 2006 n-35 72.45 -0.01166 0.000136 Saturday, September 9, 2006 n-36 73.3 0.007532 0.000057 Friday, September 8, 2006 n-37 72.75 0.025758 0.000663 Thursday, September 7, 2006 n-38 70.9 -0.00352 0.000012 Wednesday, September 6, 2006 n-39 71.15 0.023464 0.000551 Tuesday, September 5, 2006 n-40 69.5 -0.03881 0.001506 Monday, September 4, 2006 n-41 72.25 -0.01511 0.000228

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VolatilityDateDGKCuiui^2eq.weightui^2*eq.weightuneq.weightsui^2*uneq.weightsVarianceLambda0.94Sunday, October 15, 2006n67.9000020.00961904550.000093Saturday, October 14, 2006n-167.250.00447099120.0000200.20%0.000000.060000.000000.000923.04%SD (Unweighted)Vega0.0001319Friday, October 13, 2006n-266.949997-0.01556167780.0002420.20%0.000000.056400.00001alpha0.3384386Thursday, October 12, 2006n-3680.01855340790.0003440.20%0.000000.053020.00002beta0.5490663Wednesday, October 11, 2006n-466.750.00525721070.0000280.20%0.000000.049840.00000Tuesday, October 10, 2006n-566.400002-0.01643051130.0002700.20%0.000000.046840.000010.00048591762.20%Monday, October 09, 2006n-667.50.02095888130.0004390.20%0.000000.044030.00002Sunday, October 08, 2006n-766.0999980.02450349280.0006000.20%0.000000.041390.000020.000592.42%SD (Weighted)Saturday, October 07, 2006n-864.50.02353049740.0005540.20%0.000000.038910.00002Friday, October 06, 2006n-9630.0119761910.0001430.20%0.000000.036570.00001Thursday, October 05, 2006n-1062.25-0.01276951120.0001630.20%0.000000.034380.00001Wednesday, October 04, 2006n-1163.0499990.00158727020.0000030.20%0.000000.032320.00000Tuesday, October 03, 2006n-1262.950001-0.01810355630.0003280.20%0.000000.030380.00001Monday, October 02, 2006n-1364.0999980.02367908660.0005610.20%0.000000.028560.000020.000562.36%SD EWMA (For day n+1)Sunday, October 01, 2006n-1462.5999980.03082153160.0009500.20%0.000000.026840.00003Saturday, September 30, 2006n-1560.7000010.02840627060.0008070.20%0.000000.025230.00002Friday, September 29, 2006n-1659-0.03333642030.0011110.20%0.000000.023720.00003Thursday, September 28, 2006n-1761-0.05112929980.0026140.20%0.000010.022290.00006Wednesday, September 27, 2006n-1864.1999970.03567553970.0012730.20%0.000000.020960.00003Tuesday, September 26, 2006n-1961.950001-0.05113179870.0026140.20%0.000010.019700.00005Monday, September 25, 2006n-2065.199997-0.05083308270.0025840.20%0.000010.018520.00005Sunday, September 24, 2006n-2168.599998-0.01375345590.0001890.20%0.000000.017410.00000Saturday, September 23, 2006n-2269.550003-0.00215431320.0000050.20%0.000000.016360.00000Friday, September 22, 2006n-2369.6999970.00792218770.0000630.20%0.000000.015380.00000Thursday, September 21, 2006n-2469.150002-0.01078759080.0001160.20%0.000000.014460.00000Wednesday, September 20, 2006n-2569.9000020.00214825720.0000050.20%0.000000.013590.00000Tuesday, September 19, 2006n-2669.750.00287145920.0000080.20%0.000000.012770.00000Monday, September 18, 2006n-2769.550003-0.04291893280.0018420.20%0.000000.012010.00002Sunday, September 17, 2006n-2872.599998-0.01368010430.0001870.20%0.000000.011290.00000Saturday, September 16, 2006n-2973.599998-0.01349548180.0001820.20%0.000000.010610.00000Friday, September 15, 2006n-3074.5999980.03547436140.0012580.20%0.000000.009970.00001Thursday, September 14, 2006n-31720.0281708770.0007940.20%0.000000.009380.00001Wednesday, September 13, 2006n-3270-0.00711746780.0000510.20%0.000000.008810.00000Tuesday, September 12, 2006n-3370.5-0.0182718080.0003340.20%0.000000.008280.00000Monday, September 11, 2006n-3471.800003-0.00901210950.0000810.20%0.000000.007790.00000Sunday, September 10, 2006n-3572.449997-0.01166402250.0001360.20%0.000000.007320.00000Saturday, September 09, 2006n-3673.3000030.00753174380.0000570.20%0.000000.006880.00000Friday, September 08, 2006n-3772.750.02575844430.0006630.20%0.000000.006470.00000Thursday, September 07, 2006n-3870.900002-0.00351989090.0000120.20%0.000000.006080.00000Wednesday, September 06, 2006n-3971.1500020.02346360010.0005510.20%0.000000.005710.00000Tuesday, September 05, 2006n-4069.5-0.03880557440.0015060.20%0.000000.005370.00001Monday, September 04, 2006n-4172.25-0.01511015030.0002280.20%0.000000.005050.00000Sunday, September 03, 2006n-4273.349998-0.00747037770.0000560.20%0.000000.004750.00000Saturday, September 02, 2006n-4373.900002-0.00808627040.0000650.20%0.000000.004460.00000Friday, September 01, 2006n-4474.50.03691460750.0013630.20%0.000000.004190.00001Thursday, August 31, 2006n-4571.800003-0.04093340730.0016760.20%0.000000.003940.00001Wednesday, August 30, 2006n-4674.800003-0.05082519220.0025830.20%0.000010.003710.00001Tuesday, August 29, 2006n-4778.6999970.01989151260.0003960.20%0.000000.003480.00000Monday, August 28, 2006n-4877.150002-0.05116360550.0026180.20%0.000010.003270.00001Sunday, August 27, 2006n-4981.199997-0.04101903270.0016830.20%0.000000.003080.00001Saturday, August 26, 2006n-5084.5999980.03855894540.0014870.20%0.000000.002890.00000Friday, August 25, 2006n-5181.4000020.00801733550.0000640.20%0.000000.002720.00000Thursday, August 24, 2006n-5280.75-0.05129329440.0026310.20%0.000010.002560.00001Wednesday, August 23, 2006n-5385-0.01169603980.0001370.20%0.000000.002400.00000Tuesday, August 22, 2006n-5486-0.14581034790.0212610.20%0.000040.002260.00005Monday, August 21, 2006n-5599.50.00251572460.0000060.20%0.000000.002120.00000Sunday, August 20, 2006n-5699.2500.0000000.20%0.000000.002000.00000Saturday, August 19, 2006n-5799.250.02138572320.0004570.20%0.000000.001880.00000Friday, August 18, 2006n-5897.150002-0.00154282360.0000020.20%0.000000.001760.00000Thursday, August 17, 2006n-5997.300003-0.0020533580.0000040.20%0.000000.001660.00000Wednesday, August 16, 2006n-6097.5-0.00256082090.0000070.20%0.000000.001560.00000Tuesday, August 15, 2006n-6197.75-0.02824194720.0007980.20%0.000000.001460.00000Monday, August 14, 2006n-62100.550003-0.00446537080.0000200.20%0.000000.001380.00000Sunday, August 13, 2006n-63101-0.00247218910.0000060.20%0.000000.001290.00000Saturday, August 12, 2006n-64101.250.03007745520.0009050.20%0.000000.001220.00000Friday, August 11, 2006n-6598.250.01486822550.0002210.20%0.000000.001140.00000Thursday, August 10, 2006n-6696.8000030.00934102250.0000870.20%0.000000.001080.00000Wednesday, August 09, 2006n-6795.900002-0.00104218870.0000010.20%0.000000.001010.00000Tuesday, August 08, 2006n-689600.0000000.20%0.000000.000950.00000Monday, August 07, 2006n-6996-0.01550418650.0002400.20%0.000000.000890.00000Sunday, August 06, 2006n-7097.50.02492342950.0006210.20%0.000000.000840.00000Saturday, August 05, 2006n-7195.0999980.00368710460.0000140.20%0.000000.000790.00000Friday, August 04, 2006n-7294.750.00529101760.0000280.20%0.000000.000740.00000Thursday, August 03, 2006n-7394.25-0.03133415620.0009820.20%0.000000.000700.00000Wednesday, August 02, 2006n-7497.250.00412161330.0000170.20%0.000000.000660.00000Tuesday, August 01, 2006n-7596.8499980.01351366710.0001830.20%0.000000.000620.00000Monday, July 31, 2006n-7695.5500030.00472075360.0000220.20%0.000000.000580.00000Sunday, July 30, 2006n-7795.0999980.01857310.0003450.20%0.000000.000540.00000Saturday, July 29, 2006n-7893.349998-0.00693893370.0000480.20%0.000000.000510.00000Friday, July 28, 2006n-7994-0.02624822610.0006890.20%0.000000.000480.00000Thursday, July 27, 2006n-8096.500.0000000.20%0.000000.000450.00000Wednesday, July 26, 2006n-8196.5-0.00774197420.0000600.20%0.000000.000420.00000Tuesday, July 25, 2006n-8297.250.0425372930.0018090.20%0.000000.000400.00000Monday, July 24, 2006n-8393.199997-0.01807603720.0003270.20%0.000000.000380.00000Sunday, July 23, 2006n-8494.9000020.00793445030.0000630.20%0.000000.000350.00000Saturday, July 22, 2006n-8594.150002-0.00582469220.0000340.20%0.000000.000330.00000Friday, July 21, 2006n-8694.6999970.0084835610.0000720.20%0.000000.000310.00000Thursday, July 20, 2006n-8793.900002-0.01427460650.0002040.20%0.000000.000290.00000Wednesday, July 19, 2006n-8895.250.01374232010.0001890.20%0.000000.000280.00000Tuesday, July 18, 2006n-8993.9499970.01555404940.0002420.20%0.000000.000260.00000Monday, July 17, 2006n-9092.50.01525086220.0002330.20%0.000000.000240.00000Sunday, July 16, 2006n-9191.0999980.02051636170.0004210.20%0.000000.000230.00000Saturday, July 15, 2006n-9289.25-0.02653557540.0007040.20%0.000000.000220.00000Friday, July 14, 2006n-9391.6500020.03159031230.0009980.20%0.000000.000200.00000Thursday, July 13, 2006n-9488.800003-0.0510398180.0026050.20%0.000010.000190.00000Wednesday, July 12, 2006n-9593.449997-0.05110602270.0026120.20%0.000010.000180.00000Tuesday, July 11, 2006n-9698.3499980.01227632810.0001510.20%0.000000.000170.00000Monday, July 10, 2006n-9797.150002-0.03091196230.0009560.20%0.000000.000160.00000Sunday, July 09, 2006n-98100.1999970.01003017470.0001010.20%0.000000.000150.00000Saturday, July 08, 2006n-9999.1999970.01013179920.0001030.20%0.000000.000140.00000Friday, July 07, 2006n-10098.1999970.00972120230.0000950.20%0.000000.000130.00000Thursday, July 06, 2006n-10197.250.03878889770.0015050.20%0.000000.000120.00000Wednesday, July 05, 2006n-10293.550003-0.00479869750.0000230.20%0.000000.000120.00000Tuesday, July 04, 2006n-10394-0.00952894440.0000910.20%0.000000.000110.00000Monday, July 03, 2006n-10494.900002-0.02856595110.0008160.20%0.000000.000100.00000Sunday, July 02, 2006n-10597.650002-0.01876796640.0003520.20%0.000000.000100.00000Saturday, July 01, 2006n-10699.5-0.01446767090.0002090.20%0.000000.000090.00000Friday, June 30, 2006n-107100.9499970.0039701690.0000160.20%0.000000.000090.00000Thursday, June 29, 2006n-108100.550003-0.00841796480.0000710.20%0.000000.000080.00000Wednesday, June 28, 2006n-109101.4000020.03717158250.0013820.20%0.000000.000080.00000Tuesday, June 27, 2006n-11097.699997-0.02775853310.0007710.20%0.000000.000070.00000Monday, June 26, 2006n-111100.4499970.0385638350.0014870.20%0.000000.000070.00000Sunday, June 25, 2006n-11296.650002-0.00567445430.0000320.20%0.000000.000060.00000Saturday, June 24, 2006n-11397.199997-0.02238145320.0005010.20%0.000000.000060.00000Friday, June 23, 2006n-11499.4000020.00706721770.0000500.20%0.000000.000060.00000Thursday, June 22, 2006n-11598.699997-0.00151861330.0000020.20%0.000000.000050.00000Wednesday, June 21, 2006n-11698.8499980.00812594610.0000660.20%0.000000.000050.00000Tuesday, June 20, 2006n-11798.0500030.00767856320.0000590.20%0.000000.000050.00000Monday, June 19, 2006n-11897.300003-0.01174975460.0001380.20%0.000000.000040.00000Sunday, June 18, 2006n-11998.4499970.02208042470.0004880.20%0.000000.000040.00000Saturday, June 17, 2006n-12096.3000030.01201373520.0001440.20%0.000000.000040.00000Friday, June 16, 2006n-12195.150002-0.00157522740.0000020.20%0.000000.000040.00000Thursday, June 15, 2006n-12295.3000030.00948874780.0000900.20%0.000000.000030.00000Wednesday, June 14, 2006n-12394.4000020.00424631210.0000180.20%0.000000.000030.00000Tuesday, June 13, 2006n-124940.026955810.0007270.20%0.000000.000030.00000Monday, June 12, 2006n-12591.50.03390158560.0011490.20%0.000000.000030.00000Sunday, June 11, 2006n-12688.4499970.03392101070.0011510.20%0.000000.000030.00000Saturday, June 10, 2006n-12785.5-0.05129329440.0026310.20%0.000010.000020.00000Friday, June 09, 2006n-12890-0.01050020160.0001100.20%0.000000.000020.00000Thursday, June 08, 2006n-12990.9499970.03297305750.0010870.20%0.000000.000020.00000Wednesday, June 07, 2006n-130880.01315434480.0001730.20%0.000000.000020.00000Tuesday, June 06, 2006n-13186.8499980.01566609370.0002450.20%0.000000.000020.00000Monday, June 05, 2006n-13285.5-0.05129329440.0026310.20%0.000010.000020.00000Sunday, June 04, 2006n-133900.00501250830.0000250.20%0.000000.000020.00000Saturday, June 03, 2006n-13489.5500030.04862267230.0023640.20%0.000000.000020.00000Friday, June 02, 2006n-13585.3000030.04864366850.0023660.20%0.000000.000020.00000Thursday, June 01, 2006n-13681.25-0.05098555470.0026000.20%0.000010.000010.00000Wednesday, May 31, 2006n-13785.5-0.05129329440.0026310.20%0.000010.000010.00000Tuesday, May 30, 2006n-13890-0.05090429820.0025910.20%0.000010.000010.00000Monday, May 29, 2006n-13994.6999970.03437499620.0011820.20%0.000000.000010.00000Sunday, May 28, 2006n-14091.50.04527180510.0020500.20%0.000000.000010.00000Saturday, May 27, 2006n-14187.4499970.0486185820.0023640.20%0.000000.000010.00000Friday, May 26, 2006n-14283.3000030.04858016340.0023600.20%0.000000.000010.00000Thursday, May 25, 2006n-14379.3499980.0484121650.0023440.20%0.000000.000010.00000Wednesday, May 24, 2006n-14475.5999980.04879013770.0023800.20%0.000000.000010.00000Tuesday, May 23, 2006n-14572-0.10473528270.0109690.20%0.000020.000010.00000Monday, May 22, 2006n-14679.949997-0.05119954260.0026210.20%0.000010.000010.00000Sunday, May 21, 2006n-14784.150002-0.04416749270.0019510.20%0.000000.000010.00000Saturday, May 20, 2006n-14887.949997-0.03628642710.0013170.20%0.000000.000010.00000Friday, May 19, 2006n-14991.199997-0.05129332730.0026310.20%0.000010.000010.00000Thursday, May 18, 2006n-15096-0.05126728210.0026280.20%0.000010.000010.00000Wednesday, May 17, 2006n-151101.0500030.04866650040.0023680.20%0.000000.000010.00000Tuesday, May 16, 2006n-15296.250.00520834510.0000270.20%0.000000.000010.00000Monday, May 15, 2006n-15395.750.00786373650.0000620.20%0.000000.000000.00000Sunday, May 14, 2006n-154950.04576841850.0020950.20%0.000000.000000.00000Saturday, May 13, 2006n-15590.75-0.05101777430.0026030.20%0.000010.000000.00000Friday, May 12, 2006n-15695.5-0.04903947740.0024050.20%0.000000.000000.00000Thursday, May 11, 2006n-157100.300003-0.05101907780.0026030.20%0.000010.000000.00000Wednesday, May 10, 2006n-158105.550003-0.05124587590.0026260.20%0.000010.000000.00000Tuesday, May 09, 2006n-159111.099998-0.00583355480.0000340.20%0.000000.000000.00000Monday, May 08, 2006n-160111.750.00673403220.0000450.20%0.000000.000000.00000Sunday, May 07, 2006n-161111-0.01297845040.0001680.20%0.000000.000000.00000Saturday, May 06, 2006n-162112.4499970.04037742460.0016300.20%0.000000.000000.00000Friday, May 05, 2006n-1631080.0004630980.0000000.20%0.000000.000000.00000Thursday, May 04, 2006n-164107.949997-0.04792963520.0022970.20%0.000000.000000.00000Wednesday, May 03, 2006n-165113.250.04839287360.0023420.20%0.000000.000000.00000Tuesday, May 02, 2006n-166107.900002-0.05103840420.0026050.20%0.000010.000000.00000Monday, May 01, 2006n-167113.550003-0.05107307640.0026080.20%0.000010.000000.00000Sunday, April 30, 2006n-168119.5-0.02683339530.0007200.20%0.000000.000000.00000Saturday, April 29, 2006n-169122.750.01850001370.0003420.20%0.000000.000000.00000Friday, April 28, 2006n-170120.5-0.02661364850.0007080.20%0.000000.000000.00000Thursday, April 27, 2006n-171123.750.00607904610.0000370.20%0.000000.000000.00000Wednesday, April 26, 2006n-1721230.00407332540.0000170.20%0.000000.000000.00000Tuesday, April 25, 2006n-173122.50.00408998530.0000170.20%0.000000.000000.00000Monday, April 24, 2006n-1741220.00575420410.0000330.20%0.000000.000000.00000Sunday, April 23, 2006n-175121.3000030.0485634780.0023580.20%0.000000.000000.00000Saturday, April 22, 2006n-176115.5500030.04876852750.0023780.20%0.000000.000000.00000Friday, April 21, 2006n-177110.050003-0.05092975580.0025940.20%0.000010.000000.00000Thursday, April 20, 2006n-178115.800003-0.03770831790.0014220.20%0.000000.000000.00000Wednesday, April 19, 2006n-179120.25-0.00456340130.0000210.20%0.000000.000000.00000Tuesday, April 18, 2006n-180120.8000030.01165709260.0001360.20%0.000000.000000.00000Monday, April 17, 2006n-181119.400002-0.01413741630.0002000.20%0.000000.000000.00000Sunday, April 16, 2006n-182121.099998-0.03009584590.0009060.20%0.000000.000000.00000Saturday, April 15, 2006n-183124.800003-0.00599162950.0000360.20%0.000000.000000.00000Friday, April 14, 2006n-184125.550003-0.0106952810.0001140.20%0.000000.000000.00000Thursday, April 13, 2006n-185126.900002-0.05107657150.0026090.20%0.000010.000000.00000Wednesday, April 12, 2006n-186133.550003-0.1681190710.0282640.20%0.000060.000000.00000Tuesday, April 11, 2006n-1871580.02402037020.0005770.20%0.000000.000000.00000Monday, April 10, 2006n-188154.25-0.00452780210.0000210.20%0.000000.000000.00000Sunday, April 09, 2006n-189154.9499970.00614986250.0000380.20%0.000000.000000.00000Saturday, April 08, 2006n-1901540.01934167470.0003740.20%0.000000.000000.00000Friday, April 07, 2006n-191151.050003-0.00594057190.0000350.20%0.000000.000000.00000Thursday, April 06, 2006n-192151.9499970.00296587470.0000090.20%0.000000.000000.00000Wednesday, April 05, 2006n-193151.50.00662254080.0000440.20%0.000000.000000.00000Tuesday, April 04, 2006n-194150.5-0.00397882480.0000160.20%0.000000.000000.00000Monday, April 03, 2006n-195151.100006-0.01836109290.0003370.20%0.000000.000000.00000Sunday, April 02, 2006n-196153.899994-0.00356739810.0000130.20%0.000000.000000.00000Saturday, April 01, 2006n-197154.4499970.01008632620.0001020.20%0.000000.000000.00000Friday, March 31, 2006n-198152.8999940.01250423690.0001560.20%0.000000.000000.00000Thursday, March 30, 2006n-199151-0.00495459310.0000250.20%0.000000.000000.00000Wednesday, March 29, 2006n-200151.75-0.00098794020.0000010.20%0.000000.000000.00000Tuesday, March 28, 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January 05, 2006n-283104.50.01106580460.0001220.20%0.000000.000000.00000Wednesday, January 04, 2006n-284103.3499980.01707775130.0002920.20%0.000000.000000.00000Tuesday, January 03, 2006n-285101.599998-0.022866470.0005230.20%0.000000.000000.00000Monday, January 02, 2006n-286103.9499970.00144398580.0000020.20%0.000000.000000.00000Sunday, January 01, 2006n-287103.8000030.00870833740.0000760.20%0.000000.000000.00000Saturday, December 31, 2005n-288102.9000020.03914302050.0015320.20%0.000000.000000.00000Friday, December 30, 2005n-28998.949997-0.01653759610.0002730.20%0.000000.000000.00000Thursday, December 29, 2005n-290100.5999980.01603238770.0002570.20%0.000000.000000.00000Wednesday, December 28, 2005n-291990.04863862870.0023660.20%0.000000.000000.00000Tuesday, December 27, 2005n-29294.3000030.01765224710.0003120.20%0.000000.000000.00000Monday, December 26, 2005n-29392.6500020.01796946780.0003230.20%0.000000.000000.00000Sunday, December 25, 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November 20, 2005n-32965.0500030.00771608730.0000600.20%0.000000.000000.00000Saturday, November 19, 2005n-33064.5500030.02748510620.0007550.20%0.000000.000000.00000Friday, November 18, 2005n-33162.7999990.01282067250.0001640.20%0.000000.000000.00000Thursday, November 17, 2005n-332620.00404040950.0000160.20%0.000000.000000.00000Wednesday, November 16, 2005n-33361.75-0.00565198120.0000320.20%0.000000.000000.00000Tuesday, November 15, 2005n-33462.099998-0.00080489340.0000010.20%0.000000.000000.00000Monday, November 14, 2005n-33562.1500020.00564750190.0000320.20%0.000000.000000.00000Sunday, November 13, 2005n-33661.7999990.02872581640.0008250.20%0.000000.000000.00000Saturday, November 12, 2005n-33760.0499990.01088327180.0001180.20%0.000000.000000.00000Friday, November 11, 2005n-33859.400002-0.01503782710.0002260.20%0.000000.000000.00000Thursday, November 10, 2005n-33960.2999990.03030533290.0009180.20%0.000000.000000.00000Wednesday, November 09, 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October 28, 2005n-3525700.0000000.20%0.000000.000000.00000Thursday, October 27, 2005n-35357-0.01480215120.0002190.20%0.000000.000000.00000Wednesday, October 26, 2005n-35457.8499980.02184446920.0004770.20%0.000000.000000.00000Tuesday, October 25, 2005n-35556.5999980.02414060950.0005830.20%0.000000.000000.00000Monday, October 24, 2005n-35655.25-0.00451468040.0000200.20%0.000000.000000.00000Sunday, October 23, 2005n-35755.5-0.01253375390.0001570.20%0.000000.000000.00000Saturday, October 22, 2005n-35856.20000100.0000000.20%0.000000.000000.00000Friday, October 21, 2005n-35956.200001-0.01413449310.0002000.20%0.000000.000000.00000Thursday, October 20, 2005n-360570.00263508280.0000070.20%0.000000.000000.00000Wednesday, October 19, 2005n-36156.849998-0.01570716440.0002470.20%0.000000.000000.00000Tuesday, October 18, 2005n-36257.75-0.01119257470.0001250.20%0.000000.000000.00000Monday, October 17, 2005n-36358.400002-0.00085578090.0000010.20%0.000000.000000.00000Sunday, October 16, 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October 04, 2005n-37655.099998-0.00271866050.0000070.20%0.000000.000000.00000Monday, October 03, 2005n-37755.25-0.00900906990.0000810.20%0.000000.000000.00000Sunday, October 02, 2005n-37855.7500.0000000.20%0.000000.000000.00000Saturday, October 01, 2005n-37955.75-0.00089644110.0000010.20%0.000000.000000.00000Friday, September 30, 2005n-38055.7999990.01808367580.0003270.20%0.000000.000000.00000Thursday, September 29, 2005n-38154.799999-0.01179155610.0001390.20%0.000000.000000.00000Wednesday, September 28, 2005n-38255.450001-0.00897672080.0000810.20%0.000000.000000.00000Tuesday, September 27, 2005n-38355.950001-0.00801074130.0000640.20%0.000000.000000.00000Monday, September 26, 2005n-38456.400002-0.02969643550.0008820.20%0.000000.000000.00000Sunday, September 25, 2005n-38558.0999980.01386502320.0001920.20%0.000000.000000.00000Saturday, September 24, 2005n-38657.2999990.03462398320.0011990.20%0.000000.000000.00000Friday, September 23, 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2005n-39854.750.04865314890.0023670.20%0.000000.000000.00000Sunday, September 11, 2005n-39952.1500020.01254241210.0001570.20%0.000000.000000.00000Saturday, September 10, 2005n-40051.50.03256335140.0010600.20%0.000000.000000.00000Friday, September 09, 2005n-40149.8499980.04828874520.0023320.20%0.000000.000000.00000Thursday, September 08, 2005n-40247.5-0.02597548640.0006750.20%0.000000.000000.00000Wednesday, September 07, 2005n-40348.75-0.05098553520.0026000.20%0.000010.000000.00000Tuesday, September 06, 2005n-40451.299999-0.05129331390.0026310.20%0.000010.000000.00000Monday, September 05, 2005n-40554-0.01743965250.0003040.20%0.000000.000000.00000Sunday, September 04, 2005n-40654.950001-0.05056505930.0025570.20%0.000010.000000.00000Saturday, September 03, 2005n-40757.799999-0.03234327880.0010460.20%0.000000.000000.00000Friday, September 02, 2005n-40859.7000010.00335572460.0000110.20%0.000000.000000.00000Thursday, September 01, 2005n-40959.5-0.0232568950.0005410.20%0.000000.000000.00000Wednesday, August 31, 2005n-41060.9000020.0008214210.0000010.20%0.000000.000000.00000Tuesday, August 30, 2005n-41160.849998-0.01387216060.0001920.20%0.000000.000000.00000Monday, August 29, 2005n-41261.7000010.02461157820.0006060.20%0.000000.000000.00000Sunday, August 28, 2005n-41360.200001-0.03589293850.0012880.20%0.000000.000000.00000Saturday, August 27, 2005n-41462.4000020.02762159290.0007630.20%0.000000.000000.00000Friday, August 26, 2005n-41560.700001-0.00983611210.0000970.20%0.000000.000000.00000Thursday, August 25, 2005n-41661.2999990.02310328810.0005340.20%0.000000.000000.00000Wednesday, August 24, 2005n-41759.900002-0.00748437590.0000560.20%0.000000.000000.00000Tuesday, August 23, 2005n-41860.3499980.02772117050.0007680.20%0.000000.000000.00000Monday, August 22, 2005n-41958.700001-0.00763688040.0000580.20%0.000000.000000.00000Sunday, August 21, 2005n-42059.1500020.02829167640.0008000.20%0.000000.000000.00000Saturday, August 20, 2005n-42157.5-0.05085841720.0025870.20%0.000010.000000.00000Friday, August 19, 2005n-42260.50.00746583320.0000560.20%0.000000.000000.00000Thursday, August 18, 2005n-42360.049999-0.00332504050.0000110.20%0.000000.000000.00000Wednesday, August 17, 2005n-42460.25-0.00496688110.0000250.20%0.000000.000000.00000Tuesday, August 16, 2005n-42560.5499990.02593200960.0006720.20%0.000000.000000.00000Monday, August 15, 2005n-42659-0.02096512850.0004400.20%0.000000.000000.00000Sunday, August 14, 2005n-42760.250.01252625980.0001570.20%0.000000.000000.00000Saturday, August 13, 2005n-42859.5-0.00920121930.0000850.20%0.000000.000000.00000Friday, August 12, 2005n-42960.049999-0.05112678510.0026140.20%0.000010.000000.00000Thursday, August 11, 2005n-43063.200001-0.05089763070.0025910.20%0.000010.000000.00000Wednesday, August 10, 2005n-43166.50.01058206370.0001120.20%0.000000.000000.00000Tuesday, August 09, 2005n-43265.8000030.02773680060.0007690.20%0.000000.000000.00000Monday, August 08, 2005n-433640.07206680440.0051940.20%0.000010.000000.00000Sunday, August 07, 2005n-43459.549999-0.05074743430.0025750.20%0.000010.000000.00000Saturday, August 06, 2005n-43562.650002-0.05057475860.0025580.20%0.000010.000000.00000Friday, August 05, 2005n-43665.900002-0.02324806630.0005400.20%0.000000.000000.00000Thursday, August 04, 2005n-43767.4499970.07222796020.0052170.20%0.000010.000000.00000Wednesday, August 03, 2005n-43862.75-0.01972450530.0003890.20%0.000000.000000.00000Tuesday, August 02, 2005n-43964-0.0458095360.0020990.20%0.000000.000000.00000Monday, August 01, 2005n-440670.07192897930.0051740.20%0.000010.000000.00000Sunday, July 31, 2005n-44162.3499980.03925274190.0015410.20%0.000000.000000.00000Saturday, July 30, 2005n-44259.950001-0.05120983970.0026220.20%0.000010.000000.00000Friday, July 29, 2005n-44363.0999980.0722809940.0052250.20%0.000010.000000.00000Thursday, July 28, 2005n-44458.7000010.07149049270.0051110.20%0.000010.000000.00000Wednesday, July 27, 2005n-44554.650002-0.05083569660.0025840.20%0.000010.000000.00000Tuesday, July 26, 2005n-44657.5-0.05085841720.0025870.20%0.000010.000000.00000Monday, July 25, 2005n-44760.5-0.05075599140.0025760.20%0.000010.000000.00000Sunday, July 24, 2005n-44863.650002-0.0512932630.0026310.20%0.000010.000000.00000Saturday, July 23, 2005n-44967-0.05092009040.0025930.20%0.000010.000000.00000Friday, July 22, 2005n-45070.5-0.03210328660.0010310.20%0.000000.000000.00000Thursday, July 21, 2005n-45172.800003-0.05088105420.0025890.20%0.000010.000000.00000Wednesday, July 20, 2005n-45276.599998-0.05090157410.0025910.20%0.000010.000000.00000Tuesday, July 19, 2005n-45380.5999980.007471990.0000560.20%0.000000.000000.00000Monday, July 18, 2005n-454800.06720870960.0045170.20%0.000010.000000.00000Sunday, July 17, 2005n-45574.8000030.00401879970.0000160.20%0.000000.000000.00000Saturday, July 16, 2005n-45674.50.03066679840.0009400.20%0.000000.000000.00000Friday, July 15, 2005n-45772.25-0.00069184370.0000000.20%0.000000.000000.00000Thursday, July 14, 2005n-45872.300003-0.02121181120.0004500.20%0.000000.000000.00000Wednesday, July 13, 2005n-45973.8499980.07228682630.0052250.20%0.000010.000000.00000Tuesday, July 12, 2005n-46068.6999970.01392469580.0001940.20%0.000000.000000.00000Monday, July 11, 2005n-46167.750.02163451730.0004680.20%0.000000.000000.00000Sunday, July 10, 2005n-46266.300003-0.05072747830.0025730.20%0.000010.000000.00000Saturday, July 09, 2005n-46369.750.0477154730.0022770.20%0.000000.000000.00000Friday, July 08, 2005n-46466.5-0.0022531290.0000050.20%0.000000.000000.00000Thursday, July 07, 2005n-46566.650002-0.00523754280.0000270.20%0.000000.000000.00000Wednesday, July 06, 2005n-46667-0.04807922210.0023120.20%0.000000.000000.00000Tuesday, July 05, 2005n-46770.300003-0.00284086830.0000080.20%0.000000.000000.00000Monday, July 04, 2005n-46870.50.00783205160.0000610.20%0.000000.000000.00000Sunday, July 03, 2005n-46969.9499970.01512445120.0002290.20%0.000000.000000.00000Saturday, July 02, 2005n-47068.900002-0.030023670.0009010.20%0.000000.000000.00000Friday, July 01, 2005n-471710.04096868960.0016780.20%0.000000.000000.00000Thursday, June 30, 2005n-47268.150002-0.00949260110.0000900.20%0.000000.000000.00000Wednesday, June 29, 2005n-47368.8000030.07232070520.0052300.20%0.000010.000000.00000Tuesday, June 28, 2005n-474640.00784317750.0000620.20%0.000000.000000.00000Monday, June 27, 2005n-47563.50.01427465970.0002040.20%0.000000.000000.00000Sunday, June 26, 2005n-47662.5999980.0250720620.0006290.20%0.000000.000000.00000Saturday, June 25, 2005n-47761.0499990.03500354020.0012250.20%0.000000.000000.00000Friday, June 24, 2005n-47858.9500010.00510203470.0000260.20%0.000000.000000.00000Thursday, June 23, 2005n-47958.650002-0.00510203470.0000260.20%0.000000.000000.00000Wednesday, June 22, 2005n-48058.950001-0.00338698030.0000110.20%0.000000.000000.00000Tuesday, June 21, 2005n-48159.150002-0.0142679380.0002040.20%0.000000.000000.00000Monday, June 20, 2005n-482600.05217085480.0027220.20%0.000010.000000.00000Sunday, June 19, 2005n-48356.950001-0.00087756040.0000010.20%0.000000.000000.00000Saturday, June 18, 2005n-48457-0.04628076930.0021420.20%0.000000.000000.00000Friday, June 17, 2005n-48559.70000100.0000000.20%0.000000.000000.00000Thursday, June 16, 2005n-48659.700001-0.010000050.0001000.20%0.000000.000000.00000Wednesday, June 15, 2005n-48760.299999-0.00578758120.0000330.20%0.000000.000000.00000Tuesday, June 14, 2005n-48860.6500020.01327826980.0001760.20%0.000000.000000.00000Monday, June 13, 2005n-48959.8499980.03053670770.0009320.20%0.000000.000000.00000Sunday, June 12, 2005n-49058.0499990.00951974310.0000910.20%0.000000.000000.00000Saturday, June 11, 2005n-49157.50.01754430970.0003080.20%0.000000.000000.00000Friday, June 10, 2005n-49256.50.00532386350.0000280.20%0.000000.000000.00000Thursday, June 09, 2005n-49356.200001-0.05115984950.0026170.20%0.000010.000000.00000Wednesday, June 08, 2005n-49459.150002-0.0142679380.0002040.20%0.000000.000000.00000Tuesday, June 07, 2005n-495600.05217085480.0027220.20%0.000010.000000.00000Monday, June 06, 2005n-49656.9500010.02759407760.0007610.20%0.000000.000000.00000Sunday, June 05, 2005n-49755.400002-0.01877567850.0003530.20%0.000000.000000.00000Saturday, June 04, 2005n-49856.4500010.02875315810.0008270.20%0.000000.000000.00000Friday, June 03, 2005n-49954.849998-0.01268134780.0001610.20%0.000000.000000.00000Thursday, June 02, 2005n-50055.5499990.0172496520.0002980.20%0.000000.000000.00000Wednesday, June 01, 2005n-50154.599998

Analytical MethodSingle Asset CasePortfolioDGKCWeightVolatilityWorthShares10,000DGKC0.50.024250000Price at n67.9FABL0.50.036650000Worth679000Correlation0.55Volatility0.0242Total100000Z-2.326347874Variance of Portfolio0.000724873VaR-0.0562976186SD0.0269234656VaR $-38226.0829966643Z-2.32634787410-day VaR-120881.488296094VaR-0.062633347Total Capital-362644.464888281VaR $-6263.334696407110-day-19806.4033886055Total Capital-59419.2101658166

Historical SimulationDateDGKCTrialsSimulated Price for n+1Possible Loss on n+1Wednesday, June 01, 2005n-50154.5999980Thursday, June 02, 2005n-50055.549999169.08141357811.1814115781Price at n67.90Friday, June 03, 2005n-49954.849998267.0443751745-0.8556268255Shares1000Saturday, June 04, 2005n-49856.450001369.88068041131.9806784113Sunday, June 05, 2005n-49755.400002466.637027103-1.262974897VaR 1 day-3.40Monday, June 06, 2005n-49656.950001569.79973000361.8997280036VaR Total-3395.0001Tuesday, June 07, 2005n-49560671.53643632073.6364343207VaR 10 days-10735.9329724994Wednesday, June 08, 2005n-49459.150002766.9380875683-0.9619144317Capital-32207.7989174983Thursday, June 09, 2005n-49356.200001864.5136103343-3.3863916657Friday, June 10, 2005n-49256.5968.26245631210.3624543121Saturday, June 11, 2005n-49157.51069.10177194691.2017699469Sunday, June 12, 2005n-49058.0499991168.54947909910.6494770991Monday, June 13, 2005n-48959.8499981270.00542728522.1054252852Tuesday, June 14, 2005n-48860.6500021368.80760893430.9076069343Wednesday, June 15, 2005n-48760.2999991467.5081602256-0.3918417744Thursday, June 16, 2005n-48659.7000011567.2243823304-0.6756196696Friday, June 17, 2005n-48559.7000011667.9000020Saturday, June 18, 2005n-484571764.8291465523-3.0708554477Sunday, June 19, 2005n-48356.9500011867.840441786-0.059560214Monday, June 20, 2005n-482601971.53643632073.6364343207Tuesday, June 21, 2005n-48159.1500022066.9380875683-0.9619144317Wednesday, June 22, 2005n-48058.9500012167.6704150543-0.2295869457Thursday, June 23, 2005n-47958.6500022267.5544560737-0.3455459263Friday, June 24, 2005n-47858.9500012368.24731541870.3473134187Saturday, June 25, 2005n-47761.0499992470.31882924312.4188272431Sunday, June 26, 2005n-47662.5999982569.62391579071.7239137907Monday, June 27, 2005n-47563.52668.87620231230.9762003123Tuesday, June 28, 2005n-474642768.4346476850.534645685Wednesday, June 29, 2005n-47368.8000032872.99250533285.0925033328Thursday, June 30, 2005n-47268.1500022967.2585039291-0.6414980709Friday, July 01, 2005n-471713070.73954512872.8395431287Saturday, July 02, 2005n-47068.9000023165.8916939944-2.0083080056Sunday, July 03, 2005n-46969.9499973268.93475759551.0347555955Monday, July 04, 2005n-46870.53368.43388629450.5338842945Tuesday, July 05, 2005n-46770.3000033467.7073807702-0.1926212298Wednesday, July 06, 2005n-466673564.712659173-3.187342827Thursday, July 07, 2005n-46566.6500023667.5453025239-0.3546994761Friday, July 08, 2005n-46466.53767.7471867593-0.1528152407Saturday, July 09, 2005n-46369.753871.21842315043.3184211504Sunday, July 10, 2005n-46266.3000033964.5415101978-3.3584918022Monday, July 11, 2005n-46167.754069.38499136271.4849893627Tuesday, July 12, 2005n-46068.6999974168.85210234240.9521003424Wednesday, July 13, 2005n-45973.8499984272.99003247265.0900304726Thursday, July 14, 2005n-45872.3000034366.4748880332-1.4251139668Friday, July 15, 2005n-45772.254467.85304206-0.04695994Saturday, July 16, 2005n-45674.54570.01453493432.1145329343Sunday, July 17, 2005n-45574.8000034668.17342756110.2734255611Monday, July 18, 2005n-454804772.62032008214.7203180821Tuesday, July 19, 2005n-45380.5999984868.40925031750.5092483175Wednesday, July 20, 2005n-45276.5999984964.53027477-3.36972723Thursday, July 21, 2005n-45172.8000035064.5315989342-3.3684030658Friday, July 22, 2005n-45070.55165.7548069194-2.1451950806Saturday, July 23, 2005n-449675264.5290799149-3.3709220851Sunday, July 24, 2005n-44863.6500025364.5050039269-3.3949980731Monday, July 25, 2005n-44760.55464.5396699438-3.3603320562Tuesday, July 26, 2005n-44657.55564.5330597521-3.3669422479Wednesday, July 27, 2005n-44554.6500025664.5345260017-3.3654759983Thursday, July 28, 2005n-44458.7000015772.93193118825.0319291882Friday, July 29, 2005n-44363.0999985872.98960677025.0896047702Saturday, July 30, 2005n-44259.9500015964.5103853696-3.3896166304Sunday, July 31, 2005n-44162.3499986070.61826385792.7182618579Monday, August 01, 2005n-440676172.96391788185.0639158818Tuesday, August 02, 2005n-439646264.859703403-3.040298597Wednesday, August 03, 2005n-43862.756366.5738300859-1.3261719141Thursday, August 04, 2005n-43767.4499976472.98573595545.0857339554Friday, August 05, 2005n-43665.9000026566.3396659247-1.5603360753Saturday, August 06, 2005n-43562.6500026664.5513677086-3.3486342914Sunday, August 07, 2005n-43459.5499996764.5402222206-3.3597797794Monday, August 08, 2005n-433646872.97397482745.0739728274Tuesday, August 09, 2005n-43265.8000036969.80969273911.9096907391Wednesday, August 10, 2005n-43166.57068.62233931810.7223373181Thursday, August 11, 2005n-43063.2000017164.5305292376-3.3694727624Friday, August 12, 2005n-42960.0499997264.515743476-3.384258524Saturday, August 13, 2005n-42859.57367.2781046841-0.6218973159Sunday, August 14, 2005n-42760.257468.75588437820.8558823782Monday, August 15, 2005n-426597566.4912882656-1.4087137344Tuesday, August 16, 2005n-42560.5499997669.6838144611.783812461Wednesday, August 17, 2005n-42460.257767.563586921-0.336415079Thursday, August 18, 2005n-42360.0499997867.6746066755-0.2253953245Friday, August 19, 2005n-42260.57968.40882913250.5088271325Saturday, August 20, 2005n-42157.58064.5330597521-3.3669422479Sunday, August 21, 2005n-42059.1500028169.84843920171.9484372017Monday, August 22, 2005n-41958.7000018267.383432807-0.516569193Tuesday, August 23, 2005n-41860.3499988369.808601621.90859962Wednesday, August 24, 2005n-41759.9000028467.3937098656-0.5062921344Thursday, August 25, 2005n-41661.2999998569.48697689031.5869748903Friday, August 26, 2005n-41560.7000018667.2354038587-0.6645981413Saturday, August 27, 2005n-41462.4000028769.80165058981.9016485898Sunday, August 28, 2005n-41360.2000018865.5060906617-2.3939113383Monday, August 29, 2005n-41261.7000018969.59186248681.6918604868Tuesday, August 30, 2005n-41160.8499989066.964585396-0.935416604Wednesday, August 31, 2005n-41060.9000029167.95579940040.0557974004Thursday, September 01, 2005n-40959.59266.3390802352-1.5609217648Friday, September 02, 2005n-40859.7000019368.1282384420.228236442Saturday, September 03, 2005n-40757.7999999465.7390281736-2.1609738264Sunday, September 04, 2005n-40654.9500019564.5519938123-3.3480081877Monday, September 05, 2005n-405549666.7261154008-1.1738865992Tuesday, September 06, 2005n-40451.2999999764.5050006426-3.3950013574Wednesday, September 07, 2005n-40348.759864.5248569595-3.3751450405Thursday, September 08, 2005n-40247.59966.1589763077-1.7410256923Friday, September 09, 2005n-40149.84999810071.25926239793.3592603979Saturday, September 10, 2005n-40051.510170.14744720752.2474452075Sunday, September 11, 2005n-39952.15000210268.75699495340.8569929534Monday, September 12, 2005n-39854.7510371.28523426523.3852322652Tuesday, September 13, 2005n-39755.84999810469.26420047311.3641984731Wednesday, September 14, 2005n-39655.70000110567.7176421618-0.1823598382Thursday, September 15, 2005n-39558.40000210671.19138566263.2913836626Friday, September 16, 2005n-39456.29999910765.4583889346-2.4416130654Saturday, September 17, 2005n-39357.90000210869.82966823141.9296662314Sunday, September 18, 2005n-39256.84999810966.6686501652-1.2313518348Monday, September 19, 2005n-39156.65000211067.6611325316-0.2388694684Tuesday, September 20, 2005n-39054.09999811164.8435982827-3.0564037173Wednesday, September 21, 2005n-38955.34999811269.46885607831.5688540783Thursday, September 22, 2005n-38854.84999811367.2866324927-0.6133695073Friday, September 23, 2005n-38755.34999811468.5189628430.618960843Saturday, September 24, 2005n-38657.29999911570.2921443052.392142305Sunday, September 25, 2005n-38558.09999811668.84799387870.9479918787Monday, September 26, 2005n-38456.40000211765.9132595598-1.9867424402Tuesday, September 27, 2005n-38355.95000111867.3582454802-0.5417565198Wednesday, September 28, 2005n-38255.45000111967.2932102146-0.6067917854Thursday, September 29, 2005n-38154.79999912067.1040572515-0.7959447485Friday, September 30, 2005n-38055.79999912169.1390531541.239051154Saturday, October 01, 2005n-37955.7512267.8391609201-0.0608410799Sunday, October 02, 2005n-37855.7512367.9000020Monday, October 03, 2005n-37755.2512467.2910333722-0.6089686278Tuesday, October 04, 2005n-37655.09999812567.7156556452-0.1843463548Wednesday, October 05, 2005n-3755512667.7767739665-0.1232280335Thursday, October 06, 2005n-37457.09999812770.49254506182.5925430618Friday, October 07, 2005n-37358.7512869.86208856781.9620865678Saturday, October 08, 2005n-37258.512967.6110658213-0.2889361787Sunday, October 09, 2005n-37157.59999813066.8553842632-1.0446177368Monday, October 10, 2005n-37057.29999913167.5463573228-0.3536446772Tuesday, October 11, 2005n-3695713267.5445057861-0.3554962139Wednesday, October 12, 2005n-36857.20000113368.13824881230.2382468123Thursday, October 13, 2005n-36758.04999913468.90900313451.0090011345Friday, October 14, 2005n-36657.45000113567.1981955211-0.7018064789Saturday, October 15, 2005n-36556.79999913667.1317663806-0.7682356194Sunday, October 16, 2005n-36458.45000113769.87245166681.9724496668Monday, October 17, 2005n-36358.40000213867.8419193286-0.0580826714Tuesday, October 18, 2005n-36257.7513967.1442633769-0.7557386231Wednesday, October 19, 2005n-36156.84999814066.8418177991-1.0581842009Thursday, October 20, 2005n-3605714168.07916007310.1791580731Friday, October 21, 2005n-35956.20000114266.947020707-0.952981293Saturday, October 22, 2005n-35856.20000114367.9000020Sunday, October 23, 2005n-35755.514467.0542712446-0.8457307554Monday, October 24, 2005n-35655.2514567.5941461351-0.3058558649Tuesday, October 25, 2005n-35556.59999814669.55909461361.6590926136Wednesday, October 26, 2005n-35457.84999814769.3995604011.499558401Thursday, October 27, 2005n-3535714866.902337905-0.997664095Friday, October 28, 2005n-3525714967.9000020Saturday, October 29, 2005n-35156.40000215067.1852675193-0.7147344807Sunday, October 30, 2005n-35054.70000115165.8533696027-2.0466323973Monday, October 31, 2005n-34953.45000115266.3483566445-1.5516453555Tuesday, November 01, 2005n-34852.2515366.3755853718-1.5244166282Wednesday, November 02, 2005n-34754.40000215470.69397597322.7939739732Thursday, November 03, 2005n-34653.15000215566.3397998055-1.5602021945Friday, November 04, 2005n-34553.34999815668.15550018040.2554981804Saturday, November 05, 2005n-3445315767.4545499702-0.4454520298Sunday, November 06, 2005n-34355.04999915870.52632155092.6263195509Monday, November 07, 2005n-34257.79999915971.29191860113.3919166011Tuesday, November 08, 2005n-34158.2516068.42863641750.5286344175Wednesday, November 09, 2005n-34058.516168.19141831760.2914163176Thursday, November 10, 2005n-33960.29999916269.98923167012.0892296701Friday, November 11, 2005n-33859.40000216366.8865724956-1.0134295044Saturday, November 12, 2005n-33760.04999916468.64301203560.7430100356Sunday, November 13, 2005n-33661.79999916569.87876978481.9787677848Monday, November 14, 2005n-33562.15000216668.28455223920.3845502392Tuesday, November 15, 2005n-33462.09999816767.845371725-0.054630275Wednesday, November 16, 2005n-33361.7516867.5173149522-0.3826870478Thursday, November 17, 2005n-3326216968.17490079350.2748987935Friday, November 18, 2005n-33162.79999917068.77612996290.8761279629Saturday, November 19, 2005n-33064.55000317169.79212424511.8921222451Sunday, November 20, 2005n-32965.05000317268.42595086790.5259488679Monday, November 21, 2005n-32866.40000217369.30914774291.4091457429Tuesday, November 22, 2005n-32768.69999717470.25195471682.3519527168Wednesday, November 23, 2005n-32668.80000317567.99884345410.0988414541Thursday, November 24, 2005n-32570.44999717669.52841175311.6284097531Friday, November 25, 2005n-32472.40000217769.77942498141.8794229814Saturday, November 26, 2005n-3237317868.46270730770.5627053077Sunday, November 27, 2005n-32269.55000317964.6910320932-3.2089699068Monday, November 28, 2005n-3217318071.26815143343.3681494334Tuesday, November 29, 2005n-32072.69999718167.6209581055-0.2790438945Wednesday, November 30, 2005n-31972.30000318267.5264174811-0.3735845189Thursday, December 01, 2005n-31870.518366.2095427714-1.6904592286Friday, December 02, 2005n-31773.518470.78936378722.8893617872Saturday, December 03, 2005n-31674.44999718568.7776183020.877616302Sunday, December 04, 2005n-31575.65000218668.99443242561.0944304256Monday, December 05, 2005n-31473.90000218766.3292815723-1.5707204277Tuesday, December 06, 2005n-31377.518871.20771329613.3077112961Wednesday, December 07, 2005n-31277.69999718968.07522518320.1752231832Thursday, December 08, 2005n-31178.40000219068.51171812270.6117161227Friday, December 09, 2005n-31080.65000219169.8486627221.948660722Saturday, December 10, 2005n-30981.15000219268.32095674470.4209547447Sunday, December 11, 2005n-30884.34999819370.57750944852.6775074485Monday, December 12, 2005n-30788.55000319471.28091906773.3809170677Tuesday, December 13, 2005n-30688.09999819567.554938879-0.345063121Wednesday, December 14, 2005n-30591.519670.52043500612.6204330061Thursday, December 15, 2005n-30490.15000219766.898200176-1.001801824Friday, December 16, 2005n-30391.94999719869.25573867651.3557366765Saturday, December 17, 2005n-30291.55000319967.6046284895-0.2953735105Sunday, December 18, 2005n-3018920066.0087381756-1.8912638244Monday, December 19, 2005n-30093.44999720171.29499981123.3949978112Tuesday, December 20, 2005n-29989.2520264.8483185987-3.0516834013Wednesday, December 21, 2005n-2988620365.4274529076-2.4725490924Thursday, December 22, 2005n-29788.69999720470.03174388022.1317418802Friday, December 23, 2005n-2969220570.4261600372.526158037Saturday, December 24, 2005n-2958820664.947828-2.952174Sunday, December 25, 2005n-2949120770.21477479552.3147727955Monday, December 26, 2005n-29392.65000220869.13115737471.2311553747Tuesday, December 27, 2005n-29294.30000320969.10923102081.2092290208Wednesday, December 28, 2005n-2919921071.28419919563.3841971956Thursday, December 29, 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March 14, 2006n-215149.60000628667.0927418042-0.8072601958Wednesday, March 15, 2006n-214154.85000628770.28285625272.3828542527Thursday, March 16, 2006n-213147.14999428864.5236325461-3.3763694539Friday, March 17, 2006n-212154.30000328971.19925884813.2992568481Saturday, March 18, 2006n-211146.60000629064.5116040639-3.3883979361Sunday, March 19, 2006n-210144.529166.9273525746-0.9726494254Monday, March 20, 2006n-209137.30000329264.5167507149-3.3832512851Tuesday, March 21, 2006n-208130.44999729364.5124170696-3.3875849304Wednesday, March 22, 2006n-207134.89999429470.21625199732.3162499973Thursday, March 23, 2006n-206140.529570.71868573252.8186837325Friday, March 24, 2006n-20514629670.55800919572.6580071957Saturday, March 25, 2006n-204149.69999729769.62075408011.7207520801Sunday, March 26, 2006n-203149.80000329867.94536210510.0453601051Monday, March 27, 2006n-202150.529968.21729036280.3172883628Tuesday, March 28, 2006n-201151.89999430068.53162721860.6316252186Wednesday, March 29, 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2006n-1549534771.07989190083.1798899008Monday, May 15, 2006n-15395.7534868.43605464740.5360526474Tuesday, May 16, 2006n-15296.2534968.2545712010.354569201Wednesday, May 17, 2006n-151101.05000335071.28618603433.3861840343Thursday, May 18, 2006n-1509635164.5066798464-3.3933221536Friday, May 19, 2006n-14991.19999735264.5049997781-3.3950022219Saturday, May 20, 2006n-14887.94999735365.4803198316-2.4196821684Sunday, May 21, 2006n-14784.15000235464.9662933371-2.9337086629Monday, May 22, 2006n-14679.94999735564.5110496397-3.3889523603Tuesday, May 23, 2006n-1457235661.1482217316-6.7517802684Wednesday, May 24, 2006n-14475.59999835771.29500021393.3949982139Thursday, May 25, 2006n-14379.34999835871.26805774393.3680557439Friday, May 26, 2006n-14283.30000335971.28003166813.3800296681Saturday, May 27, 2006n-14187.44999736071.28277019633.3827681963Sunday, May 28, 2006n-14091.536171.04460144243.1445994424Monday, May 29, 2006n-13994.69999736270.27464465252.3746426525Tuesday, May 30, 2006n-1389036364.5300989819-3.3699030181Wednesday, May 31, 2006n-13785.536464.5050019-3.3950001Thursday, June 01, 2006n-13681.2536564.5248557018-3.3751462982Friday, June 02, 2006n-13585.30000336671.28455845293.3845564529Saturday, June 03, 2006n-13489.55000336771.28306176963.3830597696Sunday, June 04, 2006n-1339036868.24120575410.3412037541Monday, June 05, 2006n-13285.536964.5050019-3.3950001Tuesday, June 06, 2006n-13186.84999837068.97210570641.0721037064Wednesday, June 07, 2006n-1308837168.79908248240.8990804824Thursday, June 08, 2006n-12990.94999737270.17619293412.2761909341Friday, June 09, 2006n-1289037367.1907683515-0.7092336485Saturday, June 10, 2006n-12785.537464.5050019-3.3950001Sunday, June 11, 2006n-12688.44999737570.24274822462.3427462246Monday, June 12, 2006n-12591.537670.24138376172.3413817617Tuesday, June 13, 2006n-1249437769.75519331151.8551913115Wednesday, June 14, 2006n-12394.40000237868.18893962340.2889376234Thursday, June 15, 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2006n-107100.94999739468.17011231910.2701103191Saturday, July 01, 2006n-10699.539566.9247191657-0.9752828343Sunday, July 02, 2006n-10597.65000239666.6375410161-1.2624609839Monday, July 03, 2006n-10494.90000239765.9878156029-1.9121863971Tuesday, July 04, 2006n-1039439867.2560595731-0.6439424269Wednesday, July 05, 2006n-10293.55000339967.574950966-0.325051034Thursday, July 06, 2006n-10197.2540070.58551558252.6855135825Friday, July 07, 2006n-10098.19999740168.56329041340.6632884134Saturday, July 08, 2006n-9999.19999740268.591448070.69144607Sunday, July 09, 2006n-98100.19999740368.58447784730.6844758473Monday, July 10, 2006n-9797.15000240465.8331888982-2.0668131018Tuesday, July 11, 2006n-9698.34999840568.73870224830.8387002483Wednesday, July 12, 2006n-9593.44999740664.5170829917-3.3829190083Thursday, July 13, 2006n-9488.80000340764.5213544662-3.3786475338Friday, July 14, 2006n-9391.65000240870.07922419892.1792221989Saturday, July 15, 2006n-9289.2540966.1219317649-1.7780702351Sunday, July 16, 2006n-9191.09999841069.30745150031.4074495003Monday, July 17, 2006n-9092.541168.943472261.04347026Tuesday, July 18, 2006n-8993.94999741268.96437820761.0643762076Wednesday, July 19, 2006n-8895.2541368.83954653560.9395445356Thursday, July 20, 2006n-8793.90000241466.9376411927-0.9623608073Friday, July 21, 2006n-8694.69999741568.47848614210.5784841421Saturday, July 22, 2006n-8594.15000241667.5056549801-0.3943470199Sunday, July 23, 2006n-8494.90000241768.44089419780.5408921978Monday, July 24, 2006n-8393.19999741866.6836654303-1.2163365697Tuesday, July 25, 2006n-8297.2541970.85059449632.9505924963Wednesday, July 26, 2006n-8196.542067.376351599-0.523650401Thursday, July 27, 2006n-8096.542167.9000020Friday, July 28, 2006n-799442266.1409345907-1.7590674093Saturday, July 29, 2006n-7893.34999842367.4304792649-0.4695227351Sunday, July 30, 2006n-7795.09999842469.17289976161.2728977616Monday, July 31, 2006n-7695.55000342568.22129896150.3212969615Tuesday, August 01, 2006n-7596.84999842668.82380796890.9238059689Wednesday, August 02, 2006n-7497.2542768.18043707650.2804350765Thursday, August 03, 2006n-7394.2542865.8054003959-2.0946016041Friday, August 04, 2006n-7294.7542968.26021421220.3602122122Saturday, August 05, 2006n-7195.09999843068.15081851610.2508165161Sunday, August 06, 2006n-7097.543169.61356818331.7135661833Monday, August 07, 2006n-699643266.8553865846-1.0446154154Tuesday, August 08, 2006n-689643367.9000020Wednesday, August 09, 2006n-6795.90000243467.8292742458-0.0707277542Thursday, August 10, 2006n-6696.80000343568.53722899090.6372269909Friday, August 11, 2006n-6598.2543668.91709700151.0170950015Saturday, August 12, 2006n-64101.2543769.97328450382.0732825038Sunday, August 13, 2006n-6310143867.7323476741-0.1676543259Monday, August 14, 2006n-62100.55000343967.5974792554-0.3025227446Tuesday, August 15, 2006n-6197.7544066.0091993781-1.8908026219Wednesday, August 16, 2006n-6097.544167.7263447059-0.1736572941Thursday, August 17, 2006n-5997.30000344267.7607220338-0.1392799662Friday, August 18, 2006n-5897.15000244367.7953250433-0.1046769567Saturday, August 19, 2006n-5799.2544469.36773092911.4677289291Sunday, August 20, 2006n-5699.2544567.9000020Monday, August 21, 2006n-5599.544668.07103475060.1710327506Tuesday, August 22, 2006n-548644758.6874389146-9.2125630854Wednesday, August 23, 2006n-538544867.110467093-0.789534907Thursday, August 24, 2006n-5280.7544964.5050019-3.3950001Friday, August 25, 2006n-5181.40000245068.44656716530.5465651653Saturday, August 26, 2006n-5084.59999845170.56928614572.6692841457Sunday, August 27, 2006n-4981.19999745265.1711594449-2.7288425551Monday, August 28, 2006n-4877.15000245364.5133680251-3.3866339749Tuesday, August 29, 2006n-4778.69999745469.26415833021.3641563302Wednesday, August 30, 2006n-4674.80000345564.5352038997-3.3647981003Thursday, August 31, 2006n-4571.80000345665.1767399969-2.7232620031Friday, September 01, 2006n-4474.545770.45334174992.5533397499Saturday, September 02, 2006n-4373.90000245867.3531581691-0.5468438309Sunday, September 03, 2006n-4273.34999845967.3946532627-0.5053487373Monday, September 04, 2006n-4172.2546066.8817352183-1.0182667817Tuesday, September 05, 2006n-4069.546165.3155728581-2.5844291419Wednesday, September 06, 2006n-3971.15000246269.51201838991.6120163899Thursday, September 07, 2006n-3870.90000246367.6614215359-0.2385804641Friday, September 08, 2006n-3772.7546469.67172082031.7717188203Saturday, September 09, 2006n-3673.30000346568.41333814850.5133361485Sunday, September 10, 2006n-3572.44999746667.1126158235-0.7873861765Monday, September 11, 2006n-3471.80000346767.2908288361-0.6091731639Tuesday, September 12, 2006n-3370.546866.6706119915-1.2293900085Wednesday, September 13, 2006n-327046967.4184417021-0.4815602979Thursday, September 14, 2006n-317247069.84000205711.9400000571Friday, September 15, 2006n-3074.59999847170.35194463062.4519426306Saturday, September 16, 2006n-2973.59999847266.9898142812-0.9101877188Sunday, September 17, 2006n-2872.59999847366.9774475999-0.9225544001Monday, September 18, 2006n-2769.55000347465.0474583043-2.8525436957Tuesday, September 19, 2006n-2669.7547568.09525428060.1952522806Wednesday, September 20, 2006n-2569.90000247668.04602545660.1460234566Thursday, September 21, 2006n-2469.15000247767.1714612269-0.7285407731Friday, September 22, 2006n-2369.69999747868.44005493590.5400529359Saturday, September 23, 2006n-2269.55000347967.7538815791-0.1461204209Sunday, September 24, 2006n-2168.59999848066.9725348739-0.9274671261Monday, September 25, 2006n-2065.19999748164.5346946905-3.3653073095Tuesday, September 26, 2006n-1961.95000148264.5154200206-3.3845819794Wednesday, September 27, 2006n-1864.19999748370.36609934362.4660973436Thursday, September 28, 2006n-176148464.515581239-3.384420761Friday, September 29, 2006n-165948565.6737724262-2.2262295738Saturday, September 30, 2006n-1560.70000148669.85644388641.9564418864Sunday, October 01, 2006n-1462.59999848770.02536934722.1253673472Monday, October 02, 2006n-1364.09999848869.5269989051.626996905Tuesday, October 03, 2006n-1262.95000148966.681830377-1.218171623Wednesday, October 04, 2006n-1163.04999949068.00786322780.1078612278Thursday, October 05, 2006n-1062.2549167.0384645763-0.8615374237Friday, October 06, 2006n-96349268.71807431330.8180723133Saturday, October 07, 2006n-864.549369.51666871431.6166667143Sunday, October 08, 2006n-766.09999849469.58434102951.6843390295Monday, October 09, 2006n-667.549569.33812819481.4381261948Tuesday, October 10, 2006n-566.40000249666.7934854607-1.1065165393Wednesday, October 11, 2006n-466.7549768.25790658110.3579045811Thursday, October 12, 2006n-36849869.1715376181.271535618Friday, October 13, 2006n-266.94999749966.8515430912-1.0484589088Saturday, October 14, 2006n-167.2550068.20426197330.3042599733Sunday, October 15, 2006n67.90000250168.55628656650.6562845665

Monte Carlo SimulationPrice at nTrialsRandom ShockSimulated Price n+167.901-0.9969953638-1.5708148023Expected return (yearly)20%20.27069778730.4950180176Daily drift0.00079365083-1.2548510948-1.9910165139Daily Volatility0.02440.25401725610.4678354232Shares100050.3066324730.55357718326-0.3191091931-0.4661314659VaR 1 day-3.80991749371.87546422093.110145475VaR (Shares)-3809.91749300678-1.4006789397-2.228657577VaR 10 days-12048.016975219791.28414006582.1465236033Capital-36144.050925659210-0.9191194493-1.443908208211-2.0032089285-3.2105404756120.32160897150.577982885913-0.237040234-0.3323918863140.2980559430.539600869515-1.5100405009-2.406873182216-0.0819153508-0.07960036917-0.7728892859-1.205611527180.76368854541.298395780819-0.77660643-1.2116689851200.77436229861.3157897295210.58907708571.013848937622-0.5639667382-0.865151333123-0.6584103448-1.01905663924-0.0372356563-0.006790336825-0.4947771889-0.7524000404260.03552214410.1117757782270.73417723411.250304146428-0.6565011441-1.0159454055290.67533858121.154420674830-0.7586430502-1.1823958605310.68010284521.1621845197320.3711845690.658771282331.66714714742.7706719619340.09119636820.2025024965350.20069928750.380948459360.80466110791.3651646705372.13241358673.528870173738-0.7616568628-1.1873071697390.87334503221.4770919968400.05484600760.14326594741-0.6870721322-1.065763889242-0.7949885435-1.241624478243-0.6773500296-1.049920750244-0.8052567806-1.258357597945-1.882989944-3.0146316126461.7608168892.9233161774470.14557947920.2911252168480.61423966031.054853870349-0.2088270823-0.286415732950-0.7783987557-1.2145897592510.26792913780.490506226352-0.6225574631-0.960630781353-0.8727841174-1.3684001492540.77550649131.317654305855-1.2490985597-1.981642182456-0.266882613-0.381023028557-1.084755039-1.7138279732580.92164180991.5557964281590.61593852291.057622336960-1.157738441-1.8327617285610.59937165771.0306249727620.62068164291.0653517255631.51633588412.52490992640.30180984360.5457182261651.5868090392.639752976566-0.5683426378-0.8722822993671.88090175553.119006481668-0.0701137294-0.060368446469-1.8992818604-3.041180920370-1.6804426039-2.6845604574710.00015889530.054147826372-0.8190245103-1.280793490873-0.5021990683-0.764494735374-0.7644623956-1.1918790661750.97247698131.6386374258762.00132717723.315251754477-0.1495693886-0.189849392478-0.2462174535-0.347347083679-1.2166378221-1.9287441628800.50838965590.8823606981810.33598051680.601402756782-0.951191031-1.496172059483-0.9609782821-1.512121364284-1.7267975532-2.7601004852850.94803867781.5988127653860.77659023291.3194203712871.24219230562.0781655314880.01250840850.0742725935890.51465852610.8925764494901.94541463413.2241366715910.32922890550.5904003306920.37067943250.657948111493-1.542962383-2.4605226829940.84556651831.431824129495-0.6036407214-0.929804058196-0.1335543522-0.163751288297-1.7471551657-2.7932752515980.68560723041.171154466990.22224115960.4160530948100-1.260874488-2.00083223571010.26132072790.4797371613102-0.7579455825-1.1812592672103-1.2632720179-2.00473925051040.80315677481.3627132093105-0.861907383-1.35067542231061.05469897461.77262639011070.34831508880.6215031761081.13314717511.90046558131091.34882921152.25194103821100.73701704631.2549319044111-0.8506981924-1.33240892471120.34501208480.6161206004113-0.3183164454-0.4648396042114-1.4808328456-2.35927638571151.03848416131.74620272961160.76520411671.3008655557117-0.02645137790.0107837238118-1.307168998-2.0762737714119-1.2921071019-2.0517289048120-0.02772092980.0087148619121-1.5695446459-2.50384113981220.06182265840.1546350976123-1.9723654633-3.16027796321240.85817653821.45237341831250.21855450550.4100453232126-0.6530816204-1.01037294941270.60899130661.0463011529128-0.23848181-0.3347410785129-1.4001132449-2.22773572061300.48026086680.83652202211311.38509314852.3110367517132-1.2074530823-1.9137767103133-0.5918832771-0.9106441263134-0.0668472444-0.0550453822135-0.9276115553-1.4577469445136-0.7472485223-1.1638273373137-0.401737161-0.60078200631381.20074362452.01062075871390.13176392730.2686113928140-1.4066213398-2.23834131251411.43985147722.40027092691421.81271533033.00788987981431.73361213142.878983303144-0.3627716643-0.53728383111450.1757683080.3403209336146-0.1903021882-0.25622756461470.39081673510.6907638607148-1.7189666107-2.7473391809149-0.3865761017-0.5760755435150-1.4619796484-2.3285532147151-0.9722025726-1.53041246851520.21006626680.3962128891530.27485839090.5017981375154-0.1266442523-0.15249058921550.05805317960.1484923547156-2.2281790614-3.5771518149157-1.5847965586-2.52869565751580.414541930.7294264395159-1.3963113879-2.22154021431602.29227126553.7893742547161-0.0450625355-0.01954501961620.46478689910.8113056435163-1.1805372714-1.86991470361640.2622537380.4812575945165-0.1648995476-0.21483142021660.0893356960.1994703449167-0.606949943-0.9351967657168-0.3368944104-0.49511425691691.05252986551.76909160971701.41928500942.3667558099171-1.7301750014-2.7656043749172-1.6896194919-2.6995151146173-0.825978123-1.29212509831740.16536942520.32337491371751.61656592532.68824481761.18119479911.97876399181770.09323851610.2058303808178-2.3669830629-3.80334682241790.81164225411.37654114671800.72429062651.2341929302181-0.3443394199-0.5072466447182-1.47883371-2.35601859431830.89129797751.50634811741840.69599729981.18808612361850.40386295270.7120239775186-0.0225253330.0171816067187-1.4583495052-2.3226375332188-1.7634643709-2.81985273291890.14810403410.2952392315190-0.4355480982-0.655880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