Summary: We grow the first random forest and describe the performance. We explain why we create forests for each month individually.
At this point we have X and Y data files corresponding to the install dates of Stock Investor Pro (SIP). Now we mildly modify those (e.g., remove company name) and create an XY file suitable for generating a random forest, or rather many forests.
My first attempts failed because I ran out of memory on my 8GB Windows 7 PC. This was combining many months of data into one file. This is something to be revisited, but I came up with a different approach inspired by an academic paper.
In 1996 Robert Haugen and Nardin Baker published The Commonality in The Determinants of Expected Stock Returns. In 2004, the company I worked with became a client of Haugen’s firm which produced expected returns/alphas on a universe of stocks using the concepts in the paper. In summary, each month they would (linearly) regress the returns of the universe of stocks against 60+ factors representing risk, liquidity, price level, and more. This cross-sectional analysis essentially produced payoffs for each factor for the month. They would average the payoffs over 12 months. Then by multiplying the current exposures of each stock with this expected payoff for the factor they could produce an expected return for each stock (and I’ve simplified a bit).
They generally found that certain features consistently influenced future stock prices. These evolved through time as preferences shifted. My expectation and experience was that when market dynamics shifted suddenly (e.g. from risk-on to risk-off), this approach underperformed as it took time for the payoffs to adjust.
With modern machine learning methods such as random forests, support vector machines and neural networks we can consider non-linear relationships. We can also consider more features.
With that article in mind, I created a random forest for each month’s data. Actually I created two forests for each month. One had the next month as a response variable, the other had the next 12 months as a response variable. It took 2-3 minutes to grow a forest. There where about 680 variables and roughly 3000 observations.
To produce an expected return for a stock, we average the predictions from 12 previous random forests.
Initial Results The performance shown here isn’t exhaustive. This was a quick analysis to see if we could get a model together and generate results. The initial results are reasonable and hold some promise. There are two sets of numbers, one associated with a one month look ahead and the other with a twelve month look ahead.
Starting with the one month (1M) repsonse variable, we have 140 months of predictions. Explaining the 140 will clarify the out-of-sample testing. We started with 154 months of X data from the end of 2002 through September 2015. We use the forests associated with the first twelve months to create a prediction. The twelvth month’s forest used data from the 13th month to create the response variable. So we lose thirteen months on the front end. We lose one month at the back end because with data through September, we do not know October’s performance. So with a one month Y variable we have 154-12-1-1 = 140 months of predictions. With the twelve month response variable we have 154-12-12-12 = 118 months of predictions.
For this analysis we (arbitrarily) picked the 50 stocks with the highest predicted returns (“Long”) and the 50 with the lowest (“Short”). We considered equal weighting (“EW”), inverse of risk weighting (“RW”), and weighting by market capitalization (“CW”). For benchmarking we compare to equal and capitalization weighted returns of the all the stocks from which the 50 were chosen. The “Corr” column is the correlation between the predicted returns and the actual returns. The remaining columns with the underscores are differences. “CW_LvM” is the cap-weighted long return minus the cap-weighted market return. “EW_LvM” is the difference between equal weighted returns. “CW_LvS”, “RW_LvS”, and “EW_LvS” are differences between the long and short portfolios.
Summary of 1M
summary(Results1M)## EWLong RWLong CWLong
## Min. :-23.0345 Min. :-22.4154 Min. :-25.050
## 1st Qu.: -3.4074 1st Qu.: -3.1809 1st Qu.: -2.329
## Median : 1.5359 Median : 1.2296 Median : 1.483
## Mean : 0.9679 Mean : 0.7807 Mean : 1.221
## 3rd Qu.: 6.7898 3rd Qu.: 6.3109 3rd Qu.: 6.318
## Max. : 26.8948 Max. : 19.7462 Max. : 25.562
## EWMkt CWMkt Corr
## Min. :-21.8415 Min. :-19.1188 Min. :-0.39298
## 1st Qu.: -2.3738 1st Qu.: -2.1173 1st Qu.:-0.06579
## Median : 0.9584 Median : 1.0320 Median : 0.03156
## Mean : 0.4585 Mean : 0.3636 Mean : 0.02112
## 3rd Qu.: 3.6119 3rd Qu.: 2.6639 3rd Qu.: 0.11249
## Max. : 15.8953 Max. : 11.4212 Max. : 0.42988
## EWShort RWShort CWShort
## Min. :-26.06692 Min. :-26.7308 Min. :-29.75131
## 1st Qu.: -5.47325 1st Qu.: -4.9775 1st Qu.: -5.68029
## Median : -0.07208 Median : 0.3226 Median : -0.03758
## Mean : -0.73245 Mean : -0.6702 Mean : -0.76700
## 3rd Qu.: 4.68667 3rd Qu.: 4.4908 3rd Qu.: 5.63705
## Max. : 41.74128 Max. : 39.8697 Max. : 39.07403
## CW_LvM RWLvCM EW_LvM
## Min. :-18.3946 Min. :-16.4351 Min. :-19.5194
## 1st Qu.: -2.5555 1st Qu.: -2.7501 1st Qu.: -2.2826
## Median : 0.8203 Median : 0.5690 Median : 0.4845
## Mean : 0.8577 Mean : 0.4171 Mean : 0.5094
## 3rd Qu.: 4.2919 3rd Qu.: 3.4523 3rd Qu.: 3.4605
## Max. : 17.9438 Max. : 16.3058 Max. : 17.6917
## CW_LvS RW_LvS EW_LvS
## Min. :-37.397 Min. :-31.351 Min. :-28.148
## 1st Qu.: -3.799 1st Qu.: -3.232 1st Qu.: -3.315
## Median : 2.385 Median : 1.106 Median : 2.094
## Mean : 1.988 Mean : 1.451 Mean : 1.700
## 3rd Qu.: 7.899 3rd Qu.: 6.143 3rd Qu.: 6.353
## Max. : 28.952 Max. : 35.086 Max. : 34.409
The mean monthly return of the cap-weighted long portfolio is 122 bps about 85bps higher than the cap-weighted benchmark per month. In addition, the cap-weighted short portfolio short portfolio loses almost 77bps per month. There appears to be discriminatory ability. The long minus short return averaged almost 2 percent per month though the range (-37.4% to 29.0%) well exceeded the range of the market (-19.1% to 11.4%). These returns do not take into account transactions costs nor dividends.
Summary of 12M
summary(Results12M[complete.cases(Results12M),])## EWLong RWLong CWLong EWMkt
## Min. :-61.242 Min. :-61.448 Min. :-56.520 Min. :-47.960
## 1st Qu.: -4.445 1st Qu.: -3.914 1st Qu.: -5.209 1st Qu.: -3.720
## Median : 10.936 Median : 12.334 Median : 9.441 Median : 9.553
## Mean : 8.338 Mean : 7.498 Mean : 9.168 Mean : 7.411
## 3rd Qu.: 24.412 3rd Qu.: 23.781 3rd Qu.: 25.106 3rd Qu.: 21.015
## Max. : 64.029 Max. : 59.238 Max. :111.771 Max. : 68.238
## CWMkt Corr EWShort RWShort
## Min. :-46.9228 Min. :-0.29945 Min. :-74.367 Min. :-72.884
## 1st Qu.: -0.7762 1st Qu.:-0.05451 1st Qu.:-18.031 1st Qu.:-13.691
## Median : 10.8967 Median : 0.01572 Median : -2.460 Median : -2.421
## Mean : 6.0598 Mean : 0.01204 Mean : 1.877 Mean : 1.456
## 3rd Qu.: 16.3818 3rd Qu.: 0.09184 3rd Qu.: 23.766 3rd Qu.: 22.578
## Max. : 52.3402 Max. : 0.23303 Max. :156.289 Max. :147.002
## CWShort CW_LvM RWLvCM EW_LvM
## Min. :-88.345 Min. :-28.606 Min. :-24.934 Min. :-20.7534
## 1st Qu.:-18.519 1st Qu.: -8.849 1st Qu.: -9.050 1st Qu.: -9.5485
## Median : -3.159 Median : -1.349 Median : -0.710 Median : -3.1495
## Mean : -2.152 Mean : 3.109 Mean : 1.438 Mean : 0.9271
## 3rd Qu.: 17.234 3rd Qu.: 10.503 3rd Qu.: 7.480 3rd Qu.: 7.8269
## Max. :139.908 Max. : 88.444 Max. : 44.697 Max. : 43.1572
## CW_LvS RW_LvS EW_LvS
## Min. :-96.359 Min. :-98.376 Min. :-105.943
## 1st Qu.: -7.888 1st Qu.: -4.871 1st Qu.: -7.657
## Median : 11.607 Median : 7.453 Median : 8.703
## Mean : 11.320 Mean : 6.042 Mean : 6.461
## 3rd Qu.: 32.154 3rd Qu.: 19.932 3rd Qu.: 21.715
## Max. :124.469 Max. : 59.646 Max. : 65.357
While these values represent 12 month returns, it’s important not to think of this as the performance over this period because of the overlapping aspect caused by forming a 12 month portfolio each month. The closest way to come to experiencing these returns would be to invest 1/12 of one’s capital each month in the portfolio constructed that month.
The cap-weighted long does outperform by over 300 bps. The short portfolio has negative returns. However, the range of some of the values is so high as to make me question their accuracy.
Monthly Results of 1M
Note that the row labels correspond to the first X data, not the Y data. So for 20030103 which is the year-end data for 20002, we use twelve months of data for the random forests. Since January of 2004 was used to produce the response for December 2003, the returns for the first row correspong to February of 2004.
Results1M## EWLong RWLong CWLong EWMkt CWMkt
## 20030103 -0.1279353 2.33692241 3.5885620 1.66287992 1.69007325
## 20030131 -0.6019660 0.65865756 -1.3288761 0.09289570 -1.32877938
## 20030228 -6.7978610 -7.08715242 -6.9713935 -4.42143383 -2.64713858
## 20030404 -3.5106875 -3.14911100 -0.8111479 1.23940424 1.00304516
## 20030502 6.0420843 5.58420968 11.3308482 3.56386238 2.15892213
## 20030530 -0.9480085 -1.57757270 -8.6791337 -5.34575940 -3.47616164
## 20030703 -0.8128336 -0.95087455 -0.7521659 -0.23881168 0.27778994
## 20030801 16.1534412 14.94670182 10.7214670 4.63810125 2.36565591
## 20030829 -0.3587697 0.50324115 6.4519969 2.30745782 2.25286253
## 20031003 -2.6146589 -2.63802799 -0.1092332 1.21341993 1.33164344
## 20031031 2.2680642 1.24033828 4.9396588 3.48900282 2.02861750
## 20031128 2.3104355 1.95455071 2.5683206 -3.27010957 -2.45965986
## 20040102 7.3775334 7.03382801 8.7822824 2.35887525 3.04016094
## 20040130 -5.0799954 -5.23548943 -2.8410868 -2.82021193 -2.32919355
## 20040227 -4.7599099 -5.14960015 -1.8774717 -4.49910056 -2.40894025
## 20040402 3.2910820 3.00109453 1.0693099 4.96683918 2.57458284
## 20040430 4.4359395 5.18096051 5.3814631 3.28277160 1.11411645
## 20040604 6.7175680 6.58814296 4.9553387 5.57497683 4.25808670
## 20040702 -0.6794146 -0.60406866 -0.0163588 -1.11615402 0.07474818
## 20040730 3.9059033 3.45395022 2.2954718 0.95457825 1.90899073
## 20040903 -8.8075288 -9.57377374 -11.7362520 -3.21798185 -2.67000008
## 20040930 2.6244352 2.36197344 1.5270042 4.44326294 3.34116096
## 20041029 2.2634125 2.31325131 3.7781632 0.68382608 1.18104215
## 20041203 16.7971761 17.11956524 15.5783201 6.96057690 4.92115061
## 20041231 -11.7517849 -12.42819613 -10.6037695 -0.18027788 -0.68494830
## 20050131 7.5231197 7.62132541 4.0772572 3.42217171 2.21659131
## 20050228 3.7801635 4.54480844 9.7724307 0.95337662 2.58574733
## 20050331 -9.6274322 -8.57350656 -11.5582314 -4.97395829 -4.02673786
## 20050429 -0.6257987 -0.71750228 -0.4932075 -0.51883103 -0.37982400
## 20050531 -2.5398563 -1.78719543 -2.2752111 -2.00002095 0.18652914
## 20050630 -2.3760684 -1.79036727 -2.2149394 2.72370766 2.07695061
## 20050729 -2.9371853 -3.12407699 -2.3829389 1.00274255 1.15664505
## 20050831 8.2203793 8.59139350 6.6248225 5.00280925 3.93990118
## 20050930 2.2284873 2.45062337 5.1123707 3.18273882 2.67631791
## 20051031 4.1326768 3.76052122 13.3526964 1.10635308 1.84120127
## 20051130 10.2375848 9.03628616 13.9594477 1.52226280 2.18302825
## 20051230 1.4529877 0.46773000 -4.6353266 -0.49478813 -1.50473166
## 20060131 2.5394029 3.19202727 2.2757219 1.05038845 1.67071026
## 20060228 4.0947894 4.10570205 3.7582927 2.82167211 3.73511657
## 20060331 8.7226376 8.23542978 3.7183679 3.63618943 3.66588907
## 20060428 0.7219564 0.81356890 0.5835720 -0.96261829 -0.41466597
## 20060531 -1.4457259 -2.10200738 -6.2140776 -5.11752581 -2.62929093
## 20060630 0.8731874 1.17439431 7.8153058 0.34094262 0.62749707
## 20060731 10.7362249 11.42361497 17.1953152 2.77141615 5.42239487
## 20060831 16.3796703 19.74619778 22.4000391 2.81334287 4.45619629
## 20060929 -9.0384032 -8.65351904 -14.8383479 -7.15541491 -5.10427689
## 20061031 4.2448372 4.89299872 1.3983318 -0.85099754 -1.04934433
## 20061130 -14.1334822 -12.90730797 -6.3321036 -6.43410125 -7.20121289
## 20061229 3.5390891 3.24480182 8.2661116 -2.47809865 -1.29404920
## 20070131 -5.2164785 -4.91313483 -6.7342036 -1.67773524 -1.87105940
## 20070228 11.8509812 11.29184469 12.8026578 4.58618364 6.13991632
## 20070330 10.8363546 10.55578758 8.1864839 3.87897583 1.76648988
## 20070430 8.3424640 8.35476856 2.2157605 -9.34923616 -7.95101339
## 20070531 -18.9084426 -18.73082329 -18.7943044 0.61093442 -2.29569130
## 20070629 -3.9547650 -4.04118636 -6.0701602 1.77242866 -1.17699928
## 20070731 -23.0345472 -22.41542264 -25.0495895 -10.40067909 -10.87357964
## 20070831 -22.4587073 -21.54934932 -21.4845680 -21.84153401 -19.11877075
## 20070928 -6.1157594 -5.22136480 -8.7759390 -10.96811814 -7.91000408
## 20071031 3.0524107 2.44511457 5.7608230 5.18517743 3.37810627
## 20071130 -18.0164068 -16.23034296 -12.8650872 -8.52312835 -9.22033232
## 20071231 -12.3295765 -10.78320244 -13.3151140 -10.96263040 -9.69909677
## 20080131 26.8947789 15.73374376 25.5620896 9.21552945 8.25712774
## 20080229 21.1890722 8.51850252 20.5615794 15.89530836 10.20356319
## 20080331 -1.2324064 -2.66070323 5.7840405 6.15731934 8.63216963
## 20080430 1.7641839 2.55422538 0.6762584 0.50223587 -0.88384523
## 20080530 8.9032380 8.14940437 7.2335961 9.46522816 8.74603745
## 20080630 10.0177535 7.22320767 17.1171902 2.96730386 2.34351444
## 20080731 -9.2569729 -8.90451391 -10.7798154 -4.92026173 -2.11090170
## 20080829 -9.8371944 -7.02783858 -4.1414228 -4.98078422 -2.15758351
## 20080930 1.4033782 0.89779112 -13.3396213 4.13198374 5.05497032
## 20081031 9.5232823 8.58120501 4.0789403 6.08671774 1.97634285
## 20081128 -4.1750479 -3.27623508 -7.4561377 -3.50338795 -4.72900021
## 20081231 4.3953426 2.87399670 2.5078699 3.78068760 2.44088143
## 20090130 13.9625656 12.14127392 13.0359271 7.09574089 5.83746659
## 20090227 6.0376561 5.71686924 -2.0829938 4.23935955 0.22816458
## 20090331 -14.3105041 -11.77202787 -13.6066365 -7.97932504 -8.99341288
## 20090430 -12.6328460 -11.33369053 -7.0147048 -5.75237142 -4.08533173
## 20090529 13.2740809 12.11956400 12.5847828 7.34374444 8.16929266
## 20090630 -9.0235157 -8.70950535 -1.8593978 -5.41083383 -4.20902175
## 20090731 11.0157189 10.07170999 7.3718835 10.84626296 9.36654099
## 20090831 7.8454425 6.57683230 7.2077494 4.04766602 3.88524178
## 20090930 4.8297262 4.33510089 3.0576553 1.82126476 -1.39070734
## 20091030 7.4748641 4.20289102 -2.0444359 7.12722235 6.69280806
## 20091130 1.5152342 2.37671733 6.4875913 0.50935380 1.60076592
## 20091231 8.8346787 9.41483685 9.2420296 4.08570149 3.14002918
## 20100129 1.5566129 2.29365463 4.1078329 1.53646870 -0.01269378
## 20100226 -1.0106976 -0.32391328 2.4851205 2.71839671 3.34693774
## 20100331 -4.8946112 -4.43832849 -4.6346776 -2.12157595 -2.13637131
## 20100430 -1.3637136 -0.96914467 0.9354351 -2.36444433 -1.66147755
## 20100528 -3.3005282 -3.59821799 -1.3823388 -3.26553833 -2.28530040
## 20100630 -10.1707034 -9.29138976 -7.9298212 -7.81949135 -6.75677241
## 20100730 -10.9179342 -9.67759407 -5.2373076 -10.93369802 -9.68620745
## 20100831 10.7346611 10.05651869 6.6504282 13.34481603 11.42115600
## 20100930 0.0967001 -0.16886467 0.4649413 -1.36702065 -1.36340697
## 20101029 -0.1584848 -0.03432611 -0.6799194 -0.38889544 -0.62544682
## 20101130 5.5053769 4.72165528 1.1965467 7.15145536 5.63061614
## 20101231 9.2597188 7.29945627 8.7132977 3.02925470 3.90643537
## 20110131 4.1423378 4.01556700 5.4265445 1.38724991 1.06086391
## 20110228 0.5193612 1.21895140 1.9807138 -1.29205883 -1.12460794
## 20110331 -5.8054287 -5.17533013 -2.8995281 -7.77543619 -8.61486271
## 20110429 2.2881563 1.19128105 1.3548447 3.86735071 4.41763863
## 20110531 1.5661252 1.57819268 0.9189072 -0.38098450 0.82512468
## 20110630 2.1735637 1.44356798 0.4819076 2.73887150 2.12983184
## 20110729 1.6976534 1.12180901 -0.1642983 2.91861057 2.65975631
## 20110831 -1.6371262 -2.04540119 -1.6171534 -1.40803429 -0.96336574
## 20110930 1.5048065 0.89430963 2.3451588 0.66571072 0.65882873
## 20111031 2.8466627 3.25837748 2.9116067 2.19699870 2.02049266
## 20111130 7.1390269 7.54219823 6.2730538 5.80478744 4.60032675
## 20111230 0.2604258 0.74351375 0.8660230 0.55358982 -0.48368232
## 20120131 7.0064979 6.92363079 4.3752074 3.71782446 2.37031109
## 20120229 2.2768287 1.47569374 4.1101861 0.39522296 1.85658465
## 20120330 6.4301123 6.30549942 5.4467404 2.79515037 0.24643904
## 20120430 -1.1515316 -0.81741768 -1.3906077 -0.91313530 -2.35532574
## 20120531 11.8981142 11.59140317 11.7135323 6.12384355 5.03755269
## 20120629 -4.2552265 -3.83016486 0.3140205 -2.63429090 -2.40653951
## 20120731 9.0860708 7.92176166 8.3098442 5.55368448 4.43104879
## 20120831 -3.8743731 -3.84612046 -5.2235630 2.77355678 3.84684543
## 20120928 1.4876917 1.02096050 2.6492117 2.96425990 1.87772682
## 20121031 3.7569690 5.09565810 3.6716020 2.22501607 2.12301978
## 20121130 7.0731387 8.05157233 13.9184525 -2.40193170 -4.00467708
## 20121231 9.8148497 9.40767725 12.5009991 4.60266135 4.79661999
## 20130131 -9.3549200 -9.83144482 -9.5723738 -0.12790481 0.19604676
## 20130228 -13.5217329 -12.98877043 -9.4414211 -2.56879884 0.40378834
## 20130329 -3.3729839 -1.89985591 1.6007472 0.96220426 1.59438892
## 20130430 8.3488293 7.71855150 5.6919055 4.67782522 2.44644902
## 20130531 -6.6119408 -6.17674826 0.6710704 -4.58279125 -1.92241221
## 20130628 9.2791845 7.91751732 8.2635897 4.17723904 3.23835717
## 20130731 -9.6502365 -9.22782030 -7.5648017 -5.04783164 -3.21519758
## 20130830 -0.6928948 -2.07489808 0.7480427 3.60380709 1.22173123
## 20130930 1.2324860 0.96468421 2.0097261 -0.05538169 1.29826302
## 20131031 3.4488496 3.90181423 -2.3111680 0.68039037 -1.70432970
## 20131129 -0.3630797 0.13319141 1.4398251 -3.07016060 -2.15649979
## 20131231 5.9600409 6.01711427 2.0221571 5.88292263 5.54259579
## 20140131 8.0977589 6.32707374 8.6924644 0.25963990 -1.68267646
## 20140228 -3.0033036 -1.79822822 -1.6555809 0.30122985 1.96456128
## 20140331 16.7314715 13.56887336 6.7503173 0.97748764 0.07274883
## 20140430 0.4172664 -0.90557661 -1.0273124 -0.78096580 -2.37197622
## 20140530 3.8250741 3.83032537 11.7120930 -1.93362312 0.58998403
## 20140630 -15.6195724 -16.07277810 -16.7150537 -6.16915011 -6.87625340
## 20140731 -17.7208564 -17.15562732 -15.9667545 -5.75887786 -4.05517215
## Corr EWShort RWShort CWShort CW_LvM
## 20030103 -0.081082228 2.6853205 2.58370567 3.00198283 1.898489e+00
## 20030131 -0.037946466 0.7716769 0.88352308 -0.88905051 -9.670694e-05
## 20030228 -0.166453010 -2.4222364 -2.40712931 0.52155087 -4.324255e+00
## 20030404 -0.025436619 -0.2616956 -0.10240313 -0.44129848 -1.814193e+00
## 20030502 0.062970378 0.9186041 1.39065301 -0.86095388 9.171926e+00
## 20030530 -0.036142287 -1.1195216 -1.19047670 -0.05959586 -5.202972e+00
## 20030703 -0.077614939 1.1515687 2.77607218 2.44388703 -1.029956e+00
## 20030801 0.159983540 7.2490452 7.24149202 6.89441601 8.355811e+00
## 20030829 -0.128848218 5.5746008 5.11935066 6.00061590 4.199134e+00
## 20031003 -0.352312016 7.4012128 7.09291489 6.59271366 -1.440877e+00
## 20031031 -0.072246835 6.8771680 7.24340106 8.09873467 2.911041e+00
## 20031128 0.234723647 -12.2188116 -10.77403925 -5.32289340 5.027980e+00
## 20040102 0.185941478 -4.8479596 -3.95304522 -2.26825528 5.742121e+00
## 20040130 0.046656686 -5.9252300 -6.26986448 -5.49736110 -5.118933e-01
## 20040227 0.062802367 -9.2826822 -9.20869186 -8.19501658 5.314686e-01
## 20040402 -0.126565404 10.1457683 8.86925891 12.93927517 -1.505273e+00
## 20040430 0.032343973 6.0939775 7.04464657 6.77397995 4.267347e+00
## 20040604 -0.015291275 9.7655118 9.07643766 6.70039466 6.972520e-01
## 20040702 0.060387363 1.3412206 2.42625387 4.36013973 -9.110699e-02
## 20040730 0.157352522 -0.4958307 -1.78580595 -1.34011748 3.864811e-01
## 20040903 -0.143776970 -5.3781158 -5.86779746 -6.46990749 -9.066252e+00
## 20040930 0.018807355 4.3350792 4.72609637 4.35468343 -1.814157e+00
## 20041029 0.059340595 1.1593781 1.28659262 1.35518228 2.597121e+00
## 20041203 0.216270326 9.3596847 9.34655321 7.67120665 1.065717e+01
## 20041231 -0.144532488 -0.5949956 -0.76538881 -2.25355158 -9.918821e+00
## 20050131 0.128400852 1.2981622 0.85919416 2.52858216 1.860666e+00
## 20050228 0.100711876 -2.0025692 -0.96849355 6.70562201 7.186683e+00
## 20050331 -0.200566485 -0.5086900 -0.07901550 2.05417080 -7.531494e+00
## 20050429 -0.026083123 -1.2547287 -1.26392695 0.20964847 -1.133835e-01
## 20050531 -0.032185323 -6.2752851 -5.14621634 -4.62284850 -2.461740e+00
## 20050630 -0.108564283 1.7277301 1.32462675 -0.54512788 -4.291890e+00
## 20050729 -0.116756462 2.8555110 2.48501202 4.11854528 -3.539584e+00
## 20050831 -0.003823377 8.0464904 8.16232625 6.07421490 2.684921e+00
## 20050930 -0.031895553 4.3532900 5.37451810 7.31270019 2.436053e+00
## 20051031 0.105090254 -2.8199351 -1.90795640 -0.71108909 1.151150e+01
## 20051130 0.043366887 2.0784792 2.41886160 0.14575257 1.177642e+01
## 20051230 0.026912789 1.0020129 1.11555816 4.40950252 -3.130595e+00
## 20060131 0.110653772 -7.8893868 -7.67113605 -3.03905811 6.050116e-01
## 20060228 0.039249573 4.6918838 4.84349632 3.85320401 2.317615e-02
## 20060331 0.086125098 -0.9203531 0.27934842 0.35212790 5.247886e-02
## 20060428 0.094894409 -2.8309697 -3.21051835 -5.61320963 9.982379e-01
## 20060531 0.234719818 -14.1433693 -12.97377019 -15.10403981 -3.584787e+00
## 20060630 -0.068378270 -2.5365235 -0.82386495 -10.98239794 7.187809e+00
## 20060731 0.187024767 -0.8581864 -1.02781565 -0.66749873 1.177292e+01
## 20060831 0.276750037 -6.2876112 -6.41826553 -5.01442673 1.794384e+01
## 20060929 0.039887469 -12.3963718 -12.75103792 -20.23963728 -9.734071e+00
## 20061031 0.159716514 -0.7680095 -2.17778553 -5.36880256 2.447676e+00
## 20061130 -0.325544409 8.1094643 7.93762856 2.56665883 8.691093e-01
## 20061229 0.143842079 -10.2278161 -10.13682999 -16.97219508 9.560161e+00
## 20070131 0.043780879 -14.0019834 -13.70587865 -11.53592629 -4.863144e+00
## 20070228 0.084728360 1.9068623 2.12713291 12.85829492 6.662741e+00
## 20070330 0.168034097 -8.7015213 -9.28346673 -10.66069996 6.419994e+00
## 20070430 0.429879689 -26.0669181 -26.73080373 -25.89763131 1.016677e+01
## 20070531 -0.268343604 4.6849321 4.42489281 9.49856018 -1.649861e+01
## 20070629 -0.201415334 8.0203844 6.30938319 -2.27354616 -4.893161e+00
## 20070731 -0.057450997 -13.4529443 -11.77876586 -29.75131338 -1.417601e+01
## 20070831 0.129354447 -23.5505109 -23.63164031 -23.95533138 -2.365797e+00
## 20070928 0.208837269 -21.3835545 -22.10677916 -22.47205408 -8.659349e-01
## 20071031 -0.139494809 10.1953154 10.55152790 4.08935465 2.382717e+00
## 20071130 0.016305374 -20.2001112 -20.50876955 -23.25330842 -3.644755e+00
## 20071231 0.144318860 -23.9075328 -22.95105097 -25.54611983 -3.616017e+00
## 20080131 -0.020658265 11.9012547 12.72541183 13.29713492 1.730496e+01
## 20080229 -0.278638243 41.7412838 39.86966365 39.07403029 1.035802e+01
## 20080331 -0.222646791 10.7548897 9.75640389 16.17629040 -2.848129e+00
## 20080430 0.122695512 -1.9987575 -1.66910661 -2.98376994 1.560104e+00
## 20080530 -0.008032768 14.3730656 14.24949649 10.47534113 -1.512441e+00
## 20080630 0.022258108 4.8506790 3.76197593 9.09954025 1.477368e+01
## 20080731 -0.102370978 -7.7106625 -7.28002047 -4.03454899 -8.668914e+00
## 20080829 -0.070718683 -6.8724812 -6.05199523 -4.81936473 -1.983839e+00
## 20080930 -0.018029143 4.4200291 3.90857104 8.34067839 -1.839459e+01
## 20081031 0.086660380 5.2570857 5.01365432 0.48289473 2.102597e+00
## 20081128 -0.019881402 0.1175384 0.63439192 -2.98056914 -2.727137e+00
## 20081231 0.067965075 1.7699090 1.83779235 -0.00341427 6.698850e-02
## 20090130 0.075430368 6.8679225 4.91731604 5.62865290 7.198460e+00
## 20090227 0.008234393 7.8042855 6.28500344 4.63729377 -2.311158e+00
## 20090331 -0.126896676 -7.7462870 -8.03693539 -7.20750550 -4.613224e+00
## 20090430 -0.158883275 -4.8455585 -4.60641417 -5.12769302 -2.929373e+00
## 20090529 0.117985963 6.8779869 6.08486356 8.28283269 4.415490e+00
## 20090630 -0.000615191 -6.3025435 -5.33493076 -9.42468365 2.349624e+00
## 20090731 0.065316773 10.3455939 8.86774521 9.47189960 -1.994657e+00
## 20090831 0.047752619 3.4964442 4.45734853 2.28665570 3.322508e+00
## 20090930 0.148220893 -3.8555636 -3.28390949 -5.88153790 4.448363e+00
## 20091030 0.026713799 5.0435264 5.44278713 10.03311045 -8.737244e+00
## 20091130 -0.004869599 0.8712574 1.27904676 6.34335288 4.886825e+00
## 20091231 0.176023932 1.1200516 0.36579070 0.91074710 6.102000e+00
## 20100129 0.104634270 -1.8987051 -1.20171534 -3.55500091 4.120527e+00
## 20100226 -0.046161095 3.2768559 1.89897324 7.50053182 -8.618172e-01
## 20100331 -0.066240804 -6.9789609 -3.64266281 -0.64470633 -2.498306e+00
## 20100430 0.033295118 -4.5119985 -3.13792881 -6.96199934 2.596913e+00
## 20100528 0.029253318 -2.5945904 -1.54471811 -5.44229951 9.029616e-01
## 20100630 -0.143457386 -8.3627172 -8.73872620 -3.31683821 -1.173049e+00
## 20100730 -0.085573059 -21.8978688 -21.72257619 -21.34403451 4.448900e+00
## 20100831 0.015328260 14.8179601 14.63483162 19.58837598 -4.770728e+00
## 20100930 0.180383926 -8.2642498 -9.22488710 -10.05318768 1.828348e+00
## 20101029 0.083177111 -5.7586456 -4.92701148 -4.88320950 -5.447257e-02
## 20101130 -0.324382370 16.8270825 15.48249445 19.41411847 -4.434069e+00
## 20101231 -0.017721092 1.1093196 1.70594942 -1.11175005 4.806862e+00
## 20110131 0.076866601 2.2977366 3.98976932 -1.41403668 4.365681e+00
## 20110228 0.157962311 -3.1928564 -3.07866772 -1.96321247 3.105322e+00
## 20110331 0.309169162 -20.2949315 -18.75897103 -19.24339890 5.715335e+00
## 20110429 -0.045978171 3.7828693 4.37595771 3.02917260 -3.062794e+00
## 20110531 0.132501777 -4.3222428 -3.71887677 -6.98613543 9.378248e-02
## 20110630 -0.065642708 3.3480908 3.25512669 4.92621270 -1.647924e+00
## 20110729 -0.098895709 6.1167605 6.02740361 5.66225617 -2.824055e+00
## 20110831 0.042137935 0.6391391 0.54311711 -0.01555774 -6.537876e-01
## 20110930 0.097918801 -1.3190121 -2.12726696 -2.44540794 1.686330e+00
## 20111031 -0.068007642 5.5951868 4.96635939 6.71576917 8.911141e-01
## 20111130 0.075852138 3.6277461 4.13945565 -0.69562057 1.672727e+00
## 20111230 0.073918156 -3.4529418 -3.01946320 -7.12026073 1.349705e+00
## 20120131 0.141249865 3.4184517 3.73700410 2.74546919 2.004896e+00
## 20120229 0.100909319 -4.9119262 -4.64069967 -7.96362788 2.253601e+00
## 20120330 0.012823298 2.8973766 3.48409971 1.07557331 5.200301e+00
## 20120430 0.088140886 -7.5692283 -7.04017841 -13.53806955 9.647181e-01
## 20120531 0.118617532 5.8679441 3.38957270 6.91971216 6.675980e+00
## 20120629 -0.041018102 1.1175499 -0.04968113 4.85516551 2.720560e+00
## 20120731 0.177452938 -1.0970141 1.07620699 0.25866367 3.878795e+00
## 20120831 -0.062263596 -0.5889983 0.25586213 0.61123871 -9.070408e+00
## 20120928 0.149262570 -4.3746815 -4.33326831 -7.56594698 7.714849e-01
## 20121031 0.124849651 -2.5754541 -1.70543557 -1.40481803 1.548582e+00
## 20121130 0.014945400 4.9260977 4.59114738 6.33410844 1.792313e+01
## 20121231 0.085649878 5.4718758 4.67491838 5.25613715 7.704379e+00
## 20130131 -0.214537298 2.0516994 2.29045756 6.34088250 -9.768421e+00
## 20130228 -0.359857607 2.8275582 2.73141492 4.61193458 -9.845209e+00
## 20130329 -0.035555890 1.8444669 1.87059520 2.31107510 6.358252e-03
## 20130430 0.030771836 13.0524471 7.49160168 6.39716194 3.245457e+00
## 20130531 -0.013642878 -4.7919346 -4.60169846 4.40897359 2.593483e+00
## 20130628 0.092881941 7.1761846 7.51862378 9.74819028 5.025233e+00
## 20130731 -0.027456825 -6.2462526 -5.67594326 -7.46517282 -4.349604e+00
## 20130830 -0.096589380 3.8860139 4.42916064 3.12832242 -4.736885e-01
## 20130930 0.047593411 -0.4198301 -0.15001169 -0.24420880 7.114631e-01
## 20131031 0.098344941 -2.8894659 -2.99075268 -14.15131052 -6.068383e-01
## 20131129 0.155451042 -9.4776508 -9.53922783 -7.71284664 3.596325e+00
## 20131231 -0.077607132 10.8262495 10.31524087 7.35745035 -3.520439e+00
## 20140131 0.212676891 -11.5041850 -11.47347648 -10.76319549 1.037514e+01
## 20140228 -0.392981808 25.1450922 25.18920434 35.74159976 -3.620142e+00
## 20140331 0.299611373 -10.8879764 -10.25240740 -11.89627237 6.677568e+00
## 20140430 0.178930647 -9.5449999 -9.62643624 -9.56471241 1.344664e+00
## 20140530 0.332499449 -24.9484995 -24.30419543 -17.23945583 1.112211e+01
## 20140630 -0.077252527 -5.2231898 -5.12916907 -6.59669148 -9.838800e+00
## 20140731 0.197689102 -21.1385079 -20.47489532 -17.75401282 -1.191158e+01
## RWLvCM EW_LvM CW_LvS RW_LvS EW_LvS
## 20030103 0.646849155 -1.79081517 0.58657915 -0.24678327 -2.8132557
## 20030131 1.987436934 -0.69486173 -0.43982558 -0.22486552 -1.3736429
## 20030228 -4.440013834 -2.37642719 -7.49294439 -4.68002311 -4.3756246
## 20030404 -4.152156157 -4.75009173 -0.36984941 -3.04670787 -3.2489919
## 20030502 3.425287558 2.47822187 12.19180211 4.19355667 5.1234802
## 20030530 1.898588935 4.39775085 -8.61953784 -0.38709600 0.1715131
## 20030703 -1.228664486 -0.57402187 -3.19605297 -3.72694673 -1.9644023
## 20030801 12.581045911 11.51533998 3.82705100 7.70520979 8.9043961
## 20030829 -1.749621372 -2.66622751 0.45138104 -4.61610951 -5.9333705
## 20031003 -3.969671433 -3.82807878 -6.70194688 -9.73094288 -10.0158717
## 20031031 -0.788279227 -1.22093860 -3.15907591 -6.00306278 -4.6091038
## 20031128 4.414210570 5.58054510 7.89121396 12.72858996 14.5292471
## 20040102 3.993667072 5.01865810 11.05053764 10.98687323 12.2254929
## 20040130 -2.906295881 -2.25978349 2.65627427 1.03437505 0.8452346
## 20040227 -2.740659903 -0.26080937 6.31754492 4.05909170 4.5227723
## 20040402 0.426511689 -1.67575718 -11.86996526 -5.86816438 -6.8546863
## 20040430 4.066844057 1.15316790 -1.39251687 -1.86368605 -1.6580380
## 20040604 2.330056258 1.14259120 -1.74505593 -2.48829470 -3.0479438
## 20040702 -0.678816839 0.43673939 -4.37649854 -3.03032252 -2.0206352
## 20040730 1.544959492 2.95132506 3.63558930 5.23975617 4.4017341
## 20040903 -6.903773659 -5.58954695 -5.26634455 -3.70597628 -3.4294130
## 20040930 -0.979187524 -1.81882778 -2.82767920 -2.36412293 -1.7106440
## 20041029 1.132209161 1.57958642 2.42298089 1.02665869 1.1040344
## 20041203 12.198414633 9.83659924 7.90711346 7.77301203 7.4374914
## 20041231 -11.743247831 -11.57150700 -8.35021788 -11.66280732 -11.1567893
## 20050131 5.404734099 4.10094798 1.54867508 6.76213125 6.2249575
## 20050228 1.959061110 2.82678690 3.06680867 5.51330199 5.7827327
## 20050331 -4.546768697 -4.65347394 -13.61240225 -8.49449106 -9.1187422
## 20050429 -0.337678288 -0.10696769 -0.70285598 0.54642467 0.6289300
## 20050531 -1.973724571 -0.53983538 2.34763737 3.35902091 3.7354288
## 20050630 -3.867317888 -5.09977603 -1.66981151 -3.11499403 -4.1037985
## 20050729 -4.280722033 -3.93992781 -6.50148420 -5.60908901 -5.7926962
## 20050831 4.651492313 3.21757003 0.55060760 0.42906725 0.1738889
## 20050930 -0.225694536 -0.95425153 -2.20032950 -2.92389472 -2.1248027
## 20051031 1.919319958 3.02632371 14.06378548 5.66847763 6.9526119
## 20051130 6.853257909 8.71532201 13.81369517 6.61742456 8.1591056
## 20051230 1.972461660 1.94777584 -9.04482913 -0.64782816 0.4509749
## 20060131 1.521317012 1.48901443 5.31478000 10.86316332 10.4287897
## 20060228 0.370585477 1.27311724 -0.09491128 -0.73779427 -0.5970945
## 20060331 4.569540716 5.08644815 3.36624003 7.95608136 9.6429907
## 20060428 1.228234868 1.68457472 6.19678159 4.02408725 3.5529262
## 20060531 0.527283552 3.67179995 8.88996221 10.87176281 12.6976434
## 20060630 0.546897241 0.53224475 18.79770378 1.99825926 3.4097109
## 20060731 6.001220097 7.96480870 17.86281396 12.45143062 11.5944112
## 20060831 15.290001486 13.56632740 27.41446579 26.16446331 22.6672814
## 20060929 -3.549242147 -1.88298832 5.40128939 4.09751889 3.3579686
## 20061031 5.942343051 5.09583472 6.76713435 7.07078425 5.0128467
## 20061130 -5.706095073 -7.69938097 -8.89876245 -20.84493653 -22.2429465
## 20061229 4.538851024 6.01718779 25.23830669 13.38163181 13.7669052
## 20070131 -3.042075431 -3.53874329 4.80172270 8.79274382 8.7855048
## 20070228 5.151928375 7.26479756 -0.05563717 9.16471178 9.9441189
## 20070330 8.789297697 6.95737877 18.84718384 19.83925430 19.5378759
## 20070430 16.305781949 17.69170021 28.11339180 35.08557229 34.4093822
## 20070531 -16.435131988 -19.51937699 -28.29286461 -23.15571611 -23.5933747
## 20070629 -2.864187083 -5.72719367 -3.79661406 -10.35056955 -11.9751494
## 20070731 -11.541843001 -12.63386815 4.70172388 -10.63665678 -9.5816030
## 20070831 -2.430578569 -0.61717332 2.47076343 2.08229099 1.0918036
## 20070928 2.688639280 4.85235874 13.69611509 16.88541435 15.2677951
## 20071031 -0.932991698 -2.13276668 1.67146837 -8.10641333 -7.1429047
## 20071130 -7.010010636 -9.49327847 10.38822126 4.27842659 2.1837044
## 20071231 -1.084105672 -1.36694612 12.23100588 12.16784854 11.5779563
## 20080131 7.476616024 17.67924948 12.26495470 3.00833193 14.9935243
## 20080229 -1.685060667 5.29376379 -18.51245090 -31.35116113 -20.5522117
## 20080331 -11.292872860 -7.38972576 -10.39224987 -12.41710711 -11.9872961
## 20080430 3.438070613 1.26194804 3.66002837 4.22333199 3.7629414
## 20080530 -0.596633075 -0.56199014 -3.24174507 -6.10009212 -5.4698275
## 20080630 4.879693225 7.05044966 8.01764998 3.46123174 5.1670745
## 20080731 -6.793612205 -4.33671113 -6.74526642 -1.62449344 -1.5463103
## 20080829 -4.870255079 -4.85641016 0.67794191 -0.97584335 -2.9647132
## 20080930 -4.157179203 -2.72860558 -21.68029969 -3.01077992 -3.0166509
## 20081031 6.604862157 3.43656454 3.59604555 3.56755069 4.2661965
## 20081128 1.452765122 -0.67165999 -4.47556852 -3.91062701 -4.2925863
## 20081231 0.433115271 0.61465498 2.51128420 1.03620434 2.6254335
## 20090130 6.303807332 6.86682469 7.40727417 7.22395788 7.0946430
## 20090227 5.488704665 1.79829653 -6.72028756 -0.56813420 -1.7666294
## 20090331 -2.778614994 -6.33117910 -6.39913103 -3.73509248 -6.5642171
## 20090430 -7.248358797 -6.88047458 -1.88701175 -6.72727636 -7.7872875
## 20090529 3.950271350 5.93033645 4.30195013 6.03470044 6.3960940
## 20090630 -4.500483604 -3.61268183 7.56528587 -3.37457459 -2.7209721
## 20090731 0.705169004 0.16945591 -2.10001608 1.20396478 0.6701250
## 20090831 2.691590515 3.79777644 4.92109372 2.11948377 4.3489983
## 20090930 5.725808225 3.00846148 8.93919318 7.61901039 8.6852898
## 20091030 -2.489917034 0.34764170 -12.07754634 -1.23989611 2.4313376
## 20091130 0.775951418 1.00588042 0.14423841 1.09767057 0.6439768
## 20091231 6.274807677 4.74897724 8.33128245 9.04904615 7.7146271
## 20100129 2.306348415 0.02014424 7.66283381 3.49536997 3.4553181
## 20100226 -3.670851020 -3.72909431 -5.01541129 -2.22288652 -4.2875535
## 20100331 -2.301957177 -2.77303521 -3.98997129 -0.79566568 2.0843497
## 20100430 0.692332878 1.00073070 7.89743444 2.16878414 3.1482849
## 20100528 -1.312917592 -0.03498988 4.05996069 -2.05349988 -0.7059378
## 20100630 -2.534617351 -2.35121208 -4.61298302 -0.55266356 -1.8079863
## 20100730 0.008613383 0.01576378 16.10672691 12.04498212 10.9799346
## 20100831 -1.364637316 -2.61015493 -12.93794782 -4.57831293 -4.0832990
## 20100930 1.194542300 1.46372075 10.51812902 9.05602243 8.3609499
## 20101029 0.591120719 0.23041068 4.20329011 4.89268537 5.6001609
## 20101130 -0.908960859 -1.64607849 -18.21757177 -10.76083918 -11.3217057
## 20101231 3.393020905 6.23046412 9.82504776 5.59350686 8.1503992
## 20110131 2.954703092 2.75508788 6.84058116 0.02579768 1.8446012
## 20110228 2.343559339 1.81141999 3.94392625 4.29761912 3.7122176
## 20110331 3.439532581 1.97000745 16.34387081 13.58364090 14.4895027
## 20110429 -3.226357580 -1.57919438 -1.67432790 -3.18467666 -1.4947130
## 20110531 0.753067999 1.94710967 7.90504258 5.29706945 5.8883679
## 20110630 -0.686263863 -0.56530778 -4.44430508 -1.81155872 -1.1745271
## 20110729 -1.537947293 -1.22095714 -5.82655443 -4.90559460 -4.4191071
## 20110831 -1.082035447 -0.22909193 -1.60159562 -2.58851830 -2.2762653
## 20110930 0.235480896 0.83909579 4.79056670 3.02157659 2.8238186
## 20111031 1.237884826 0.64966396 -3.80416246 -1.70798191 -2.7485242
## 20111130 2.941871476 1.33423945 6.96867442 3.40274258 3.5112808
## 20111230 1.227196070 -0.29316402 7.98628370 3.76297695 3.7133676
## 20120131 4.553319700 3.28867342 1.62973818 3.18662669 3.5880462
## 20120229 -0.380890907 1.88160576 12.07381397 6.11639342 7.1887549
## 20120330 6.059060381 3.63496193 4.37116709 2.82139971 3.5327357
## 20120430 1.537908062 -0.23839634 12.14746187 6.22276073 6.4176967
## 20120531 6.553850480 5.77427061 4.79382010 8.20183047 6.0301701
## 20120629 -1.423625354 -1.62093562 -4.54114498 -3.78048373 -5.3727764
## 20120731 3.490712873 3.53238635 8.05118051 6.84555467 10.1830849
## 20120831 -7.692965889 -6.64792993 -5.83480175 -4.10198259 -3.2853748
## 20120928 -0.856766315 -1.47656821 10.21515872 5.35422881 5.8623732
## 20121031 2.972638325 1.53195291 5.07642006 6.80109367 6.3324231
## 20121130 12.056249417 9.47507038 7.58434410 3.46042496 2.1470410
## 20121231 4.611057260 5.21218836 7.24486196 4.73275887 4.3429739
## 20130131 -10.027491581 -9.22701517 -15.91325629 -12.12190238 -11.4066193
## 20130228 -13.392558769 -10.95293406 -14.05335568 -15.72018535 -16.3492911
## 20130329 -3.494244825 -4.33518819 -0.71032794 -3.77045111 -5.2174509
## 20130430 5.272102479 3.67100412 -0.70525639 0.22694982 -4.7036177
## 20130531 -4.254336050 -2.02914959 -3.73790315 -1.57504980 -1.8200062
## 20130628 4.679160158 5.10194550 -1.48460059 0.39889354 2.1029999
## 20130731 -6.012622721 -4.60240486 -0.09962887 -3.55187703 -3.4039839
## 20130830 -3.296629304 -4.29670186 -2.38027970 -6.50405872 -4.5789087
## 20130930 -0.333578818 1.28786771 2.25393494 1.11469590 1.6523162
## 20131031 5.606143928 2.76845922 11.84014256 6.89256691 6.3383155
## 20131129 2.289691206 2.70708092 9.15267178 9.67241924 9.1145711
## 20131231 0.474518483 0.07711823 -5.33529325 -4.29812660 -4.8662087
## 20140131 8.009750197 7.83811897 19.45565991 17.80055022 19.6019439
## 20140228 -3.762789498 -3.30453342 -37.39718069 -26.98743255 -28.1483957
## 20140331 13.496124533 15.75398386 18.64658963 23.82128076 27.6194479
## 20140430 1.466399615 1.19823219 8.53740005 8.72085963 9.9622663
## 20140530 3.240341341 5.75869727 28.95154884 28.13452081 28.7735736
## 20140630 -9.196524703 -9.45042228 -10.11836222 -10.94360903 -10.3963826
## 20140731 -13.100455171 -11.96197854 1.78725830 3.31926801 3.4176515Monthly Results of 12M
The first row labelled 20030103 corresponds to the first X data. The results for that row actually show the performance of the twelve months ending December 2005.
Results12M[complete.cases(Results12M),]## EWLong RWLong CWLong EWMkt CWMkt
## 20030103 10.0511484 13.5979657 49.1376287 6.6598323 7.0541031
## 20030131 28.6275697 34.4801224 52.3476931 18.2491691 15.1831996
## 20030228 24.5037281 27.8944419 33.2793923 14.6853649 11.0085433
## 20030404 45.0011369 43.3828377 53.4854235 21.9893011 16.1240794
## 20030502 57.5327725 54.7763207 55.8574659 29.4942482 22.0987080
## 20030530 39.6967293 38.7196464 53.5707172 16.9282880 14.4106391
## 20030703 35.7882783 34.3088840 41.6562668 13.0988553 12.9331465
## 20030801 26.3097952 24.7739028 28.7441891 3.8073598 8.5942894
## 20030829 12.1394639 10.3869044 21.0907564 7.3210883 10.7847670
## 20031003 2.0152740 -1.2052459 9.0340184 7.4040774 10.3140000
## 20031031 8.9982848 7.9036908 17.9980238 16.1534905 17.5613095
## 20031128 14.1260673 12.7631740 27.5438114 14.6617216 16.3696281
## 20040102 14.1830241 9.5395948 23.4625968 14.8614932 17.1741522
## 20040130 -2.9040111 -10.8431545 -10.0753180 9.4356146 14.0905448
## 20040227 7.9634403 -1.7321057 5.3373516 8.8198880 12.7809576
## 20040402 13.9512017 2.9902458 9.3191548 7.0703128 12.1175570
## 20040430 8.0933847 0.1650781 4.4226833 8.7155852 13.3243188
## 20040604 23.2538432 12.4664270 20.2475820 18.8410141 22.5240337
## 20040702 24.8688125 14.1842179 22.0117384 19.1599991 22.7387810
## 20040730 40.4308425 27.8174801 22.5612335 16.2073943 19.5311443
## 20040903 30.7598700 20.6198254 24.0674902 14.2370302 17.9323133
## 20040930 51.1340214 45.1131635 76.8068396 16.7497250 22.9388119
## 20041029 53.0346959 49.3929250 111.7707417 14.4790430 23.3269060
## 20041203 16.7152542 17.0617849 22.8316346 3.2541925 13.6880594
## 20041231 23.6258799 23.8940332 62.7640402 1.1874287 10.3365257
## 20050131 7.6619640 8.0909224 20.3342310 -7.2766370 0.4659235
## 20050228 6.3701165 6.2193168 27.9989324 -9.1905740 0.4600398
## 20050331 -1.3914793 -2.7566649 6.6425824 -11.5395264 -2.9837251
## 20050429 8.2426969 6.5088210 24.6636199 -10.3859695 -0.9249858
## 20050531 -1.6493816 -3.8690931 9.5632404 -10.6240117 -2.6347685
## 20050630 -11.7181363 -13.9928562 -7.0075068 -17.3489018 -9.9720123
## 20050729 -12.4471086 -14.0918664 -6.3587397 -13.3040214 -9.8010784
## 20050831 -15.6790873 -16.3746423 -15.3316807 -12.4711673 -11.2250645
## 20050930 -35.1446305 -34.0614070 -34.2807351 -23.7851389 -24.5925375
## 20051031 -53.5692451 -52.1268582 -52.3103635 -41.7967693 -41.6798564
## 20051130 -58.1939302 -56.7544465 -50.9490407 -44.3833433 -43.5832195
## 20051230 -58.1749094 -57.4696852 -52.4472275 -41.3355159 -40.8868217
## 20060131 -57.5272110 -57.2158701 -50.4056559 -43.2540969 -41.8572639
## 20060228 -61.2419409 -61.4484579 -56.5200201 -47.9597420 -46.9227636
## 20060331 -51.4773396 -52.2387823 -43.4578410 -42.7398695 -41.4090799
## 20060428 -50.1538894 -49.2632151 -47.9594006 -36.9799404 -39.0398032
## 20060531 -45.8517290 -44.6880188 -38.3490911 -35.8602262 -34.7813982
## 20060630 -46.0845797 -44.7000741 -40.8657023 -28.1886716 -29.9083789
## 20060731 -32.3060065 -32.3557828 -28.3606817 -22.4171209 -22.0415285
## 20060831 -32.5471135 -31.9621054 -24.9266573 -21.4563944 -19.3749580
## 20060929 -15.6415069 -15.3698558 -1.4609174 -16.1319953 -11.8385926
## 20061031 29.8843144 27.3262873 49.6337908 12.6329978 13.8583691
## 20061130 37.8876768 34.7590005 48.5598276 34.7054380 25.6271428
## 20061229 38.7555321 37.0634935 40.9023006 23.1635994 15.7984924
## 20070131 41.6208835 41.3549952 34.8781561 40.2384143 30.9614810
## 20070228 63.0366610 59.2378670 43.5487474 68.2375161 52.3401458
## 20070330 49.6135999 47.6231149 29.2809168 60.3366004 41.8013114
## 20070430 24.1362178 21.0687945 13.5000642 28.2710795 17.6326213
## 20070531 5.6097669 7.3315637 -5.9339190 15.2370299 4.0068492
## 20070629 5.9778807 8.3850660 1.5155735 23.0844701 13.3708300
## 20070731 2.8182684 2.8170001 -0.6980289 5.9810797 -0.1382412
## 20070831 10.7223679 10.9310982 7.3538538 14.1858885 6.8343030
## 20070928 10.9642817 9.5534119 7.4085572 14.1003921 7.1008950
## 20071031 20.1107306 18.3713783 6.9555141 24.8881941 13.6321171
## 20071130 16.4743357 16.9500440 0.5489029 21.8638795 6.4992038
## 20071231 24.8189246 27.1509616 4.5211492 23.0639378 11.7236529
## 20080131 21.8911999 23.4403340 15.5679406 27.9791647 19.1633339
## 20080229 19.1113804 21.2128277 13.8103762 29.2257335 20.6322069
## 20080331 12.4088774 13.1455882 25.2532603 23.4194924 13.6656793
## 20080430 10.9068868 13.1654115 21.5147770 20.9968473 16.8973636
## 20080530 13.5701884 17.5899299 14.6748577 29.1283483 25.8255185
## 20080630 21.1266259 24.2836164 34.3564781 34.6985850 29.0833695
## 20080731 10.2294789 12.2021036 7.7784377 21.0208018 16.7148472
## 20080829 5.0187336 5.1714067 -1.2780150 17.9504899 13.9914695
## 20080930 -24.4890211 -20.6602052 -34.3329350 -5.5697054 -5.7266528
## 20081031 -18.2132782 -17.2719531 -22.0930746 2.5401301 0.9123258
## 20081128 -16.4978253 -14.5585920 -17.1925164 -0.4232511 1.1226720
## 20081231 -26.0655444 -25.4131184 -21.9172255 -7.3113539 -5.8793734
## 20090130 -11.0788935 -10.5632649 -6.6575975 -2.1939061 -2.5369119
## 20090227 -12.2981259 -9.0622761 3.5611143 -3.6796351 -1.9310411
## 20090331 -9.3116938 -8.4659893 -1.3530764 -3.7331563 -0.9722133
## 20090430 -16.8847994 -16.6365163 -14.0816179 -7.5978454 -5.2131962
## 20090529 -25.3688533 -25.5563562 -26.0537934 -13.2058794 -11.4886467
## 20090630 -11.0287711 -11.3395090 -18.5917809 -7.4753316 -5.9964077
## 20090731 -8.6867036 -4.3355597 -19.7955147 -4.0110193 -2.9027942
## 20090831 1.6014988 2.6087656 -17.9918004 6.8116191 6.3233588
## 20090930 16.5206027 19.8726538 8.9354991 23.3813228 20.7725169
## 20091030 0.5222337 3.5221268 3.1671081 7.3577739 7.3676905
## 20091130 15.6388278 16.3401326 19.5037430 9.6711994 9.5637986
## 20091231 10.4780593 13.4992591 6.2443526 12.2182632 12.5695787
## 20100129 6.3830165 7.9463358 8.3627507 10.8143087 11.4026140
## 20100226 1.3026357 2.3768097 -0.6197346 7.7494172 6.6522254
## 20100331 4.1856638 4.5105151 0.3168061 10.7604838 8.2291672
## 20100430 -4.7904171 0.7011615 2.1011872 12.9284833 11.4188622
## 20100528 21.5460132 18.7310012 16.4447874 26.3231959 22.1026688
## 20100630 18.4227207 15.9985460 14.8454958 20.2727926 14.2870098
## 20100730 26.3165756 23.9451068 17.5741352 29.1957597 18.9913516
## 20100831 12.3070124 12.5265530 8.1610346 22.6436888 13.6570973
## 20100930 22.6004936 22.6814840 12.8809210 25.8334449 15.5895968
## 20101029 28.7145706 27.2038451 20.1467205 31.8258777 21.3350119
## 20101130 32.5860654 30.1134644 26.3929355 34.8244052 22.9149124
## 20101231 45.2989894 40.9812718 33.5729617 34.2900754 23.0287700
## 20110131 57.0764892 41.8493384 27.5878859 22.9140138 12.9345136
## 20110228 64.0290323 44.9551413 36.6448396 27.5509617 18.8117352
## 20110331 29.7417946 28.3694393 24.3999098 22.4740260 16.3858418
## 20110429 22.0873644 22.4127572 19.2847301 19.3693157 14.9175595
## 20110531 21.4611156 19.7714904 27.3003534 16.8598351 16.1986287
## 20110630 29.9160195 26.7373022 35.1870060 22.9691777 21.6960534
## 20110729 7.1202176 1.0434267 10.8138215 10.8372801 13.7154796
## 20110831 21.6661328 17.2744997 30.5895014 18.7507330 20.2642312
## 20110930 -0.8414595 0.7109708 0.1637388 6.6645508 11.5619945
## 20111031 8.7257301 13.6688409 19.4323497 7.7995799 8.6399585
## 20111130 14.6221424 20.7103637 18.2438891 4.6895244 8.0287915
## 20111230 11.0092179 14.4635115 -13.9664765 3.0404414 4.2286247
## 20120131 -7.0420725 -3.9292292 -3.0334657 2.2700548 6.1644009
## 20120229 -11.5384352 -9.7529691 -17.8513376 2.7726069 6.9914680
## 20120330 -3.4098871 -1.1877395 -2.7592335 3.5222091 4.7337107
## 20120430 20.1556043 23.0405450 17.1071889 6.1391466 6.1875053
## 20120531 38.3335713 40.8474462 35.0113448 6.5619443 4.5305814
## 20120629 25.0133674 28.3695813 12.2552435 1.2560583 -0.3298164
## 20120731 48.5760885 47.0572727 27.8195130 5.4188354 2.3599082
## 20120831 17.6540245 17.2156166 2.3194726 -5.4110377 -7.5389144
## 20120928 1.7317213 -1.2504287 -17.3555536 -5.6694309 -8.4551223
## Corr EWShort RWShort CWShort CW_LvM
## 20030103 9.853973e-02 0.06956036 0.09117643 1.2293765 42.0835256
## 20030131 1.547087e-01 10.39535137 7.91214001 1.9683882 37.1644935
## 20030228 9.383896e-02 10.82968651 7.03225245 -0.1757976 22.2708490
## 20030404 1.236215e-01 30.64127530 27.54241582 13.4780854 37.3613441
## 20030502 1.444975e-01 31.39876745 31.58850978 33.0770564 33.7587578
## 20030530 1.466001e-01 7.27445461 9.59891358 17.6533108 39.1600781
## 20030703 1.392225e-01 -2.55775831 -3.06619129 7.7728402 28.7231202
## 20030801 1.805228e-01 -19.60805544 -17.15961553 -15.5594149 20.1498997
## 20030829 7.998042e-02 -9.65969130 -7.19126991 -7.4281595 10.3059894
## 20031003 8.674841e-03 -6.82548066 -4.42449909 -10.4805282 -1.2799816
## 20031031 5.541305e-02 -2.37837969 -1.31308731 2.5217698 0.4367143
## 20031128 9.880297e-02 -1.79123646 -1.00636843 -4.6658503 11.1741833
## 20040102 7.525648e-02 -2.49059787 -1.77646100 -1.6517300 6.2884446
## 20040130 3.815053e-02 -16.16902325 -15.09240030 -14.0404053 -24.1658629
## 20040227 8.414299e-02 -22.27182991 -22.26858936 -21.1036686 -7.4436061
## 20040402 7.079219e-02 -11.80887551 -12.10637872 -12.1782345 -2.7984022
## 20040430 4.688515e-02 -10.43791009 -9.34266652 -6.9666199 -8.9016355
## 20040604 9.280043e-02 10.70551406 9.71272928 12.4364291 -2.2764518
## 20040702 9.302222e-02 4.09674194 4.99833743 14.7930878 -0.7270426
## 20040730 1.473289e-01 0.30244099 -0.16763030 5.7659992 3.0300892
## 20040903 1.556968e-01 -2.42844477 -3.13749641 2.0116580 6.1351769
## 20040930 2.330314e-01 -6.61644790 -7.36782794 -6.2013593 53.8680277
## 20041029 2.275438e-01 -9.76736718 -10.25356207 -12.6986025 88.4438357
## 20041203 1.752174e-01 -19.30749497 -19.20238271 -23.4679779 9.1435752
## 20041231 2.154408e-01 -27.22648262 -26.07538107 -33.8275267 52.4275145
## 20050131 1.692865e-01 -21.50189034 -21.19142029 -19.2974763 19.8683076
## 20050228 2.069451e-01 -32.76419120 -31.05964981 -29.5408768 27.5388926
## 20050331 1.617567e-01 -30.48257323 -33.06413309 -30.2355349 9.6263075
## 20050429 1.652367e-01 -29.25879648 -32.44627303 -28.2490163 25.5886057
## 20050531 1.249534e-01 -31.51536258 -34.96936439 -31.6965684 12.1980089
## 20050630 8.894259e-02 -27.56632941 -29.18530474 -31.8842718 2.9645056
## 20050729 2.277375e-02 -17.44301835 -21.83762008 -19.8262448 3.4423387
## 20050831 6.861660e-03 -23.94887829 -28.65386898 -27.1604595 -4.1066162
## 20050930 -9.108514e-02 -31.97074788 -38.48564562 -34.4988530 -9.6881976
## 20051031 -1.700715e-01 -50.54039688 -53.35180635 -55.8069320 -10.6305071
## 20051130 -1.543705e-01 -59.07625331 -61.50954518 -59.6519306 -7.3658212
## 20051230 -1.625637e-01 -54.79494434 -56.76633865 -68.7463358 -11.5604057
## 20060131 -4.765683e-02 -66.65115974 -68.94541686 -82.3915626 -8.5483919
## 20060228 -7.280032e-02 -74.36667406 -72.88389033 -88.3452202 -9.5972565
## 20060331 -5.495875e-02 -71.17159700 -70.19257376 -82.6861053 -2.0487611
## 20060428 -9.883770e-02 -67.85769898 -67.62724881 -82.5201024 -8.9195974
## 20060531 -6.443382e-02 -62.16890252 -62.05051161 -72.0632486 -3.5676928
## 20060630 -1.808909e-01 -37.53482045 -37.68124192 -54.6557334 -10.9573233
## 20060731 -9.163900e-02 -44.14769456 -42.91097503 -66.9931812 -6.3191532
## 20060831 -8.344012e-02 -41.11139821 -39.29248715 -45.3156493 -5.5516992
## 20060929 6.417732e-02 -36.96811306 -35.82393314 -46.9393181 10.3776752
## 20061031 8.348957e-02 -0.85533155 -0.58553118 -22.3648063 35.7754217
## 20061130 -2.364464e-02 26.70670895 25.16506741 19.2910599 22.9326847
## 20061229 -4.023661e-02 27.67640448 26.26316152 16.5845588 25.1038082
## 20070131 -1.506303e-01 78.72830575 74.69335264 65.0778189 3.9166751
## 20070228 -2.628681e-01 156.28944871 147.00182290 139.9076997 -8.7913983
## 20070330 -2.994520e-01 155.55661678 145.99917981 124.0584314 -12.5203946
## 20070430 -1.917599e-01 72.17403011 68.09478787 58.8614216 -4.1325571
## 20070531 -1.414142e-01 55.64425425 51.50453575 32.0547384 -9.9407682
## 20070629 -2.179246e-01 63.60305962 59.29207307 39.5862892 -11.8552566
## 20070731 -9.144683e-02 24.54186070 22.92400491 9.1561421 -0.5597877
## 20070831 -5.209543e-02 25.75977744 22.70864617 17.3793237 0.5195507
## 20070928 -5.493373e-02 26.91869915 24.02852409 13.1218522 0.3076622
## 20071031 -1.309126e-01 43.84157502 42.11551531 27.3028536 -6.6766030
## 20071130 -1.048742e-01 50.73854324 44.72905145 22.7815029 -5.9503010
## 20071231 -1.111455e-01 45.38318419 42.63593031 47.8100129 -7.2025037
## 20080131 -1.156001e-01 39.91037539 33.56645641 30.7327689 -3.5953933
## 20080229 -1.061554e-01 49.21514100 45.96250912 33.4130656 -6.8218307
## 20080331 -1.062188e-01 38.34370031 36.11017272 20.6959475 11.5875810
## 20080430 -5.217641e-02 26.69541710 25.61763434 29.4155242 4.6174135
## 20080530 -5.322625e-02 23.87879608 22.18524748 17.4028200 -11.1506609
## 20080630 -1.242734e-02 38.05872427 31.22973879 29.7226281 5.2731086
## 20080731 -3.671354e-02 21.85990046 17.08372939 11.9141450 -8.9364095
## 20080829 -4.690864e-02 16.47842296 11.18235211 8.5536223 -15.2694844
## 20080930 -1.015615e-01 -11.82830817 -11.17761719 -15.4636621 -28.6062823
## 20081031 -1.073316e-01 -8.95918886 -7.74024950 -9.8870527 -23.0054004
## 20081128 -1.176145e-01 10.63636909 6.55347421 4.6285629 -18.3151884
## 20081231 -8.914335e-02 -5.30106835 -5.44259845 -6.6342648 -16.0378521
## 20090130 -4.182862e-02 4.24731398 1.96148039 -10.2674526 -4.1206856
## 20090227 -5.047431e-02 -5.38862384 -4.44345566 -10.2106844 5.4921554
## 20090331 -4.988720e-02 -2.56679298 -4.89749965 -12.0750854 -0.3808631
## 20090430 -3.186221e-02 -17.21444232 -12.59474526 -17.5496763 -8.8684217
## 20090529 -3.799286e-02 -20.77572851 -16.36230391 -23.5992145 -14.5651466
## 20090630 -2.705284e-02 -13.09926168 -9.24295343 -10.6967918 -12.5953732
## 20090731 -6.680064e-02 3.88552057 10.17810949 -12.8194096 -16.8927205
## 20090831 -1.275967e-02 4.90161508 7.44983211 0.7927665 -24.3151592
## 20090930 3.242970e-02 17.02254833 17.41871495 17.4053731 -11.8370178
## 20091030 -3.670071e-02 7.37777914 7.30596601 11.2225689 -4.2005823
## 20091130 -1.572757e-02 8.74335143 7.57053853 26.0541490 9.9399444
## 20091231 -1.244186e-02 17.73218768 14.34203220 38.5208279 -6.3252261
## 20100129 3.278502e-02 8.10838558 4.98191462 33.7160795 -3.0398633
## 20100226 3.799692e-02 0.81248347 -1.59841817 11.6646274 -7.2719600
## 20100331 6.122689e-02 -9.26830583 -10.12441978 4.6223697 -7.9123610
## 20100430 6.746839e-02 -9.31038713 -10.24841622 14.9723856 -9.3176749
## 20100528 3.489009e-02 13.24541638 12.63308763 40.9537294 -5.6578814
## 20100630 5.290197e-02 9.90397082 8.79918349 22.7119764 0.5584860
## 20100730 -3.001123e-02 42.01873322 40.39128598 24.6599900 -1.4172164
## 20100831 -3.188121e-02 27.79113428 26.41706459 23.6247094 -5.4960627
## 20100930 -3.697440e-02 30.39232279 30.69617828 28.4661811 -2.7086758
## 20101029 -3.876357e-02 34.97355452 30.90348596 27.4619312 -1.1882914
## 20101130 -9.856512e-05 28.82295434 29.66277714 16.7975155 3.4780231
## 20101231 3.054011e-02 38.78462259 39.80885628 13.1606130 10.5441917
## 20110131 6.785074e-02 25.39076424 24.81714459 -9.2046191 14.6533722
## 20110228 5.160107e-02 44.40243685 44.85650235 3.6759686 17.8331044
## 20110331 3.773146e-02 23.42824995 25.80332684 12.5742708 8.0140680
## 20110429 -8.782565e-03 10.10303567 10.62708039 3.0123373 4.3671706
## 20110531 6.183040e-02 -10.99842068 -9.98537298 -7.6809848 11.1017248
## 20110630 3.069659e-02 4.93482663 5.07171358 16.0140949 13.4909527
## 20110729 3.316124e-02 -5.92599510 -6.53189447 8.6787039 -2.9016581
## 20110831 8.701366e-02 5.14505102 5.00538263 20.5737438 10.3252702
## 20110930 7.634315e-02 -7.38498306 -6.35714426 -7.4528694 -11.3982558
## 20111031 1.227195e-01 -15.47741203 -11.59391066 -15.3103659 10.7923912
## 20111130 1.089392e-01 -12.79823672 -7.67576546 -18.8426016 10.2150975
## 20111230 1.032302e-01 -16.23521179 -11.74895519 -24.4663406 -18.1951012
## 20120131 5.337660e-03 -13.19179576 -9.12334025 -15.9762291 -9.1978666
## 20120229 -3.638506e-03 -18.63796467 -12.55771398 -23.2436748 -24.8428056
## 20120330 4.699506e-02 -18.22656095 -12.52110118 -32.9558749 -7.4929442
## 20120430 1.113195e-01 -13.66377972 -9.38541801 -14.5122031 10.9196836
## 20120531 1.430448e-01 -16.21253187 -10.42634788 -11.5914643 30.4807633
## 20120629 1.429526e-01 -18.55516316 -14.05680722 -11.3750755 12.5850599
## 20120731 1.962061e-01 -16.78110021 -11.08496798 -5.9644794 25.4596048
## 20120831 1.293037e-01 -22.47198990 -16.76223418 -14.2104029 9.8583870
## 20120928 6.441365e-02 -19.72900824 -14.84616967 -14.1224807 -8.9004313
## RWLvCM EW_LvM CW_LvS RW_LvS EW_LvS
## 20030103 6.5438626 3.3913161 47.9082522 13.50678923 9.9815880
## 20030131 19.2969227 10.3784006 50.3793050 26.56798236 18.2322184
## 20030228 16.8858986 9.8183632 33.4551899 20.86218948 13.6740416
## 20030404 27.2587583 23.0118359 40.0073381 15.84042192 14.3598616
## 20030502 32.6776127 28.0385243 22.7804095 23.18781093 26.1340051
## 20030530 24.3090073 22.7684412 35.9174064 29.12073282 32.4222747
## 20030703 21.3757374 22.6894229 33.8834265 37.37507525 38.3460366
## 20030801 16.1796135 22.5024354 44.3036040 41.93351835 45.9178507
## 20030829 -0.3978626 4.8183757 28.5189159 17.57817430 21.7991552
## 20031003 -11.5192459 -5.3888034 19.5145465 3.21925316 8.8407547
## 20031031 -9.6576187 -7.1552057 15.4762540 9.21677810 11.3766645
## 20031128 -3.6064541 -0.5356542 32.2096617 13.76954247 15.9173038
## 20040102 -7.6345574 -0.6784691 25.1143268 11.31605579 16.6736220
## 20040130 -24.9336994 -12.3396257 3.9650872 4.24924578 13.2650121
## 20040227 -14.5130633 -0.8564477 26.4410202 20.53648366 30.2352702
## 20040402 -9.1273112 6.8808889 21.4973893 15.09662455 25.7600772
## 20040430 -13.1592408 -0.6222005 11.3893033 9.50774457 18.5312948
## 20040604 -10.0576068 4.4128291 7.8111529 2.75369767 12.5483291
## 20040702 -8.5545631 5.7088134 7.2186507 9.18588044 20.7720705
## 20040730 8.2863358 24.2234482 16.7952343 27.98511041 40.1284015
## 20040903 2.6875121 16.5228398 22.0558321 23.75732176 33.1883148
## 20040930 22.1743516 34.3842964 83.0081989 52.48099146 57.7504693
## 20041029 26.0660189 38.5556529 124.4693442 59.64648703 62.8020631
## 20041203 3.3737255 13.4610617 46.2996125 36.26416757 36.0227492
## 20041231 13.5575075 22.4384512 96.5915669 49.96941423 50.8523626
## 20050131 7.6249989 14.9386009 39.6317073 29.28234267 29.1638543
## 20050228 5.7592770 15.5606906 57.5398092 37.27896661 39.1343077
## 20050331 0.2270602 10.1480471 36.8781173 30.30746818 29.0910940
## 20050429 7.4338068 18.6286663 52.9126362 38.95509402 37.5014933
## 20050531 -1.2343245 8.9746301 41.2598088 31.10027132 29.8659810
## 20050630 -4.0208439 5.6307655 24.8767650 15.19244853 15.8481931
## 20050729 -4.2907879 0.8569128 13.4675051 7.74575372 4.9959098
## 20050831 -5.1495778 -3.2079200 11.8287789 12.27922672 8.2697910
## 20050930 -9.4688694 -11.3594916 0.2181178 4.42423864 -3.1738826
## 20051031 -10.4470018 -11.7724758 3.4965685 1.22494814 -3.0288482
## 20051130 -13.1712270 -13.8105869 8.7028899 4.75509870 0.8823231
## 20051230 -16.5828635 -16.8393935 16.2991083 -0.70334659 -3.3799650
## 20060131 -15.3586061 -14.2731141 31.9859067 11.72954679 9.1239488
## 20060228 -14.5256943 -13.2821989 31.8252001 11.43543246 13.1247331
## 20060331 -10.8297024 -8.7374701 39.2282643 17.95379142 19.6942574
## 20060428 -10.2234118 -13.1739490 34.5607018 18.36403374 17.7038095
## 20060531 -9.9066205 -9.9915028 33.7141575 17.36249285 16.3171735
## 20060630 -14.7916951 -17.8959081 13.7900311 -7.01883218 -8.5497592
## 20060731 -10.3142543 -9.8888856 38.6324995 10.55519224 11.8416881
## 20060831 -12.5871474 -11.0907191 20.3889920 7.33038175 8.5642847
## 20060929 -3.5312633 0.4904884 45.4784008 20.45407730 21.3266062
## 20061031 13.4679182 17.2513166 71.9985971 27.91181847 30.7396459
## 20061130 9.1318577 3.1822388 29.2687677 9.59393313 11.1809678
## 20061229 21.2650011 15.5919327 24.3177418 10.80033195 11.0791276
## 20070131 10.3935142 1.3824692 -30.1996628 -33.33835740 -37.1074222
## 20070228 6.8977212 -5.2008551 -96.3589523 -87.76395595 -93.2527877
## 20070330 5.8218036 -10.7230006 -94.7775146 -98.37606489 -105.9430169
## 20070430 3.4361733 -4.1348618 -45.3613574 -47.02599334 -48.0378123
## 20070531 3.3247144 -9.6272630 -37.9886574 -44.17297209 -50.0344873
## 20070629 -4.9857641 -17.1065894 -38.0707157 -50.90700711 -57.6251789
## 20070731 2.9552413 -3.1628113 -9.8541710 -20.10700484 -21.7235923
## 20070831 4.0967952 -3.4635206 -10.0254700 -11.77754795 -15.0374096
## 20070928 2.4525169 -3.1361104 -5.7132950 -14.47511222 -15.9544174
## 20071031 4.7392612 -4.7774635 -20.3473394 -23.74413702 -23.7308444
## 20071130 10.4508401 -5.3895438 -22.2326000 -27.77900749 -34.2642075
## 20071231 15.4273087 1.7549868 -43.2888637 -15.48496875 -20.5642596
## 20080131 4.2770001 -6.0879648 -15.1648283 -10.12612243 -18.0191755
## 20080229 0.5806208 -10.1143531 -19.6026894 -24.74968144 -30.1037606
## 20080331 -0.5200912 -11.0106149 4.5573129 -22.96458454 -25.9348229
## 20080430 -3.7319520 -10.0899605 -7.9007472 -12.45222280 -15.7885303
## 20080530 -8.2355886 -15.5581600 -2.7279623 -4.59531757 -10.3086077
## 20080630 -4.7997531 -13.5719591 4.6338500 -6.94612235 -16.9320984
## 20080731 -4.5127435 -10.7913229 -4.1357073 -4.88162575 -11.6304216
## 20080829 -8.8200628 -12.9317563 -9.8316373 -6.01094541 -11.4596893
## 20080930 -14.9335524 -18.9193156 -18.8692729 -9.48258802 -12.6607129
## 20081031 -18.1842789 -20.7534083 -12.2060219 -9.53170360 -9.2540893
## 20081128 -15.6812640 -16.0745742 -21.8210793 -21.11206623 -27.1341944
## 20081231 -19.5337450 -18.7541905 -15.2829607 -19.97051998 -20.7644760
## 20090130 -8.0263530 -8.8849874 3.6098551 -12.52474534 -15.3262075
## 20090227 -7.1312350 -8.6184908 13.7717987 -4.61882043 -6.9095021
## 20090331 -7.4937760 -5.5785375 10.7220090 -3.56848967 -6.7449008
## 20090430 -11.4233201 -9.2869541 3.4680584 -4.04177103 0.3296429
## 20090529 -14.0677094 -12.1629740 -2.4545789 -9.19405224 -4.5931248
## 20090630 -5.3431012 -3.5534395 -7.8949891 -2.09655552 2.0704905
## 20090731 -1.4327655 -4.6756843 -6.9761051 -14.51366915 -12.5722242
## 20090831 -3.7145931 -5.2101203 -18.7845669 -4.84106647 -3.3001163
## 20090930 -0.8998630 -6.8607201 -8.4698740 2.45393890 -0.5019456
## 20091030 -3.8455637 -6.8355401 -8.0554608 -3.78383925 -6.8555454
## 20091130 6.7763340 5.9676284 -6.5504060 8.76959410 6.8954764
## 20091231 0.9296803 -1.7402039 -32.2764753 -0.84277311 -7.2541284
## 20100129 -3.4562782 -4.4312923 -25.3533288 2.96442120 -1.7253691
## 20100226 -4.2754157 -6.4467815 -12.2843621 3.97522783 0.4901523
## 20100331 -3.7186521 -6.5748201 -4.3055635 14.63493487 13.4539696
## 20100430 -10.7177007 -17.7189004 -12.8711984 10.94957769 4.5199700
## 20100528 -3.3716675 -4.7771827 -24.5089421 6.09791361 8.3005968
## 20100630 1.7115362 -1.8500719 -7.8664806 7.19936255 8.5187499
## 20100730 4.9537553 -2.8791841 -7.0858548 -16.44617913 -15.7021576
## 20100831 -1.1305443 -10.3366764 -15.4636748 -13.89051163 -15.4841219
## 20100930 7.0918872 -3.2329513 -15.5852601 -8.01469427 -7.7918292
## 20101029 5.8688331 -3.1113071 -7.3152107 -3.69964088 -6.2589840
## 20101130 7.1985520 -2.2383397 9.5954200 0.45068730 3.7631111
## 20101231 17.9525017 11.0089141 20.4123487 1.17241548 6.5143669
## 20110131 28.9148248 34.1624754 36.7925050 17.03219381 31.6857250
## 20110228 26.1434061 36.4780706 32.9688710 0.09863895 19.6265954
## 20110331 11.9835976 7.2677686 11.8256390 2.56611249 6.3135447
## 20110429 7.4951977 2.7180487 16.2723927 11.78567682 11.9843287
## 20110531 3.5728618 4.6012805 34.9813382 29.75686340 32.4595363
## 20110630 5.0412488 6.9468419 19.1729111 21.66558861 24.9811929
## 20110729 -12.6720529 -3.7170625 2.1351176 7.57532120 13.0462127
## 20110831 -2.9897315 2.9153999 10.0157575 12.26911708 16.5210818
## 20110930 -10.8510237 -7.5060103 7.6166081 7.06811506 6.5435236
## 20111031 5.0288823 0.9261502 34.7427156 25.26275152 24.2031421
## 20111130 12.6815722 9.9326181 37.0864906 28.38612916 27.4203791
## 20111230 10.2348868 7.9687765 10.4998641 26.21246671 27.2444297
## 20120131 -10.0936301 -9.3121273 12.9427634 5.19411100 6.1497232
## 20120229 -16.7444371 -14.3110421 5.3923372 2.80474491 7.0995295
## 20120330 -5.9214502 -6.9320962 30.1966414 11.33336165 14.8166738
## 20120430 16.8530397 14.0164576 31.6193920 32.42596299 33.8193840
## 20120531 36.3168647 31.7716270 46.6028091 51.27379404 54.5461031
## 20120629 28.6993977 23.7573091 23.6303190 42.42638853 43.5685306
## 20120731 44.6973645 43.1572530 33.7839924 58.14224067 65.3571887
## 20120831 24.7545310 23.0650622 16.5298755 33.97785076 40.1260144
## 20120928 7.2046936 7.4011522 -3.2330729 13.59574095 21.4607295
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