| A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | S | T | U | V | W | X | Y | Z | AA | AB | AC | AD | AE | AF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | YYYYMM | Rel_First15 | Rel_Last5 | Rel_First5 | >< | last 5 ret | first 5 ret | ret | 1 | Rel_First5 | ||||||||||||||||||||||
2 | 2002-08 | 0.01060752492 | -0.04354632117 | -0.01938819398 | 1 | 0.04354632117 | -0.01938819398 | 0.02415812719 | 1.024158127 | -0.04774436757 | ||||||||||||||||||||||
3 | 2002-09 | -0.1235173987 | -0.02568190848 | -0.02811502375 | -1 | -0.02568190848 | 0.02811502375 | 0.002433115267 | 1.026650022 | -0.01938819398 | ||||||||||||||||||||||
4 | 2002-10 | 0.1637176891 | -0.01770193895 | 0.009216869147 | 1 | 0.01770193895 | 0.009216869147 | 0.0269188081 | 1.054286217 | -0.02811502375 | ||||||||||||||||||||||
5 | 2002-11 | 0.06548181223 | 0.005450470205 | -0.03259667723 | 1 | -0.005450470205 | -0.03259667723 | -0.03804714743 | 1.014173634 | 0.009216869147 | ||||||||||||||||||||||
6 | 2002-12 | -0.06380670001 | -0.03836102231 | 0.05365470503 | -1 | -0.03836102231 | -0.05365470503 | -0.09201572734 | 0.9208537092 | -0.03259667723 | ||||||||||||||||||||||
7 | 2003-01 | 0.01808583887 | -0.004727989382 | -0.03828792433 | 1 | 0.004727989382 | -0.03828792433 | -0.03355993495 | 0.8899499186 | 0.05365470503 | ||||||||||||||||||||||
8 | 2003-02 | -0.03729174373 | -0.02786206617 | -0.02338086785 | -1 | -0.02786206617 | 0.02338086785 | -0.004481198324 | 0.8859618765 | -0.03828792433 | ||||||||||||||||||||||
9 | 2003-03 | 0.1057109234 | -0.03953907915 | 0.05794870798 | 1 | 0.03953907915 | 0.05794870798 | 0.09748778712 | 0.9723323394 | -0.02338086785 | ||||||||||||||||||||||
10 | 2003-04 | 0.08660576802 | -0.02021644895 | 0.001570399031 | 1 | 0.02021644895 | 0.001570399031 | 0.02178684798 | 0.9935163962 | 0.05794870798 | ||||||||||||||||||||||
11 | 2003-05 | -0.05705492436 | 0.04668629992 | 0.02448509893 | -1 | 0.04668629992 | -0.02448509893 | 0.02220120099 | 1.015573653 | 0.001570399031 | ||||||||||||||||||||||
12 | 2003-06 | 0.0341868339 | 0.01116469994 | 0.05826888671 | 1 | -0.01116469994 | 0.05826888671 | 0.04710418677 | 1.063411424 | 0.02448509893 | ||||||||||||||||||||||
13 | 2003-07 | 0.07966128316 | 0.04224308071 | -0.03127999167 | 1 | -0.04224308071 | -0.03127999167 | -0.07352307238 | 0.9852261493 | 0.05826888671 | ||||||||||||||||||||||
14 | 2003-08 | 0.008700300708 | 0.0133803127 | 0.02301813756 | 1 | -0.0133803127 | 0.02301813756 | 0.009637824864 | 0.9947215864 | -0.03127999167 | ||||||||||||||||||||||
15 | 2003-09 | -0.005254305733 | -0.06049892167 | 0.07935304489 | -1 | -0.06049892167 | -0.07935304489 | -0.1398519666 | 0.8556078164 | 0.02301813756 | ||||||||||||||||||||||
16 | 2003-10 | 0.09150323049 | 0.01754357731 | 0.01876221155 | 1 | -0.01754357731 | 0.01876221155 | 0.001218634246 | 0.8566504894 | 0.07935304489 | ||||||||||||||||||||||
17 | 2003-11 | -0.02989322392 | 0.04099762649 | -0.009086821984 | -1 | 0.04099762649 | 0.009086821984 | 0.05008444847 | 0.8995553567 | 0.01876221155 | ||||||||||||||||||||||
18 | 2003-12 | 1.36E-05 | 0.01412552948 | 0.01875402158 | 1 | -0.01412552948 | 0.01875402158 | 0.004628492101 | 0.9037189415 | -0.009086821984 | ||||||||||||||||||||||
19 | 2004-01 | 0.005719976362 | -0.004410164893 | 0.0004953351611 | 1 | 0.004410164893 | 0.0004953351611 | 0.004905500054 | 0.9081521348 | 0.01875402158 | ||||||||||||||||||||||
20 | 2004-02 | -0.004038760186 | -0.01389509563 | -0.00330497375 | -1 | -0.01389509563 | 0.00330497375 | -0.01059012188 | 0.8985346931 | 0.0004953351611 | ||||||||||||||||||||||
21 | 2004-03 | -0.05511941847 | 0.04931265013 | 0.04606043549 | -1 | 0.04931265013 | -0.04606043549 | 0.003252214633 | 0.9014569207 | -0.00330497375 | ||||||||||||||||||||||
22 | 2004-04 | 0.06265516647 | -0.02497279111 | 0.01493331574 | 1 | 0.02497279111 | 0.01493331574 | 0.03990610686 | 0.9374305569 | 0.04606043549 | ||||||||||||||||||||||
23 | 2004-05 | 0.008541163562 | 0.01113733354 | 0.03150074224 | 1 | -0.01113733354 | 0.03150074224 | 0.0203634087 | 0.9565198385 | If SPY - TLT > 0 in first 15 days | then | SPY- TLT < 0 in the last five days | SPY - TLT > 0 in first five days of next month | 0.01493331574 | ||||||||||||||||||
24 | 2004-06 | 0.01642980137 | -0.01524291407 | -0.03869472684 | 1 | 0.01524291407 | -0.03869472684 | -0.02345181278 | 0.9340877143 | Short SPY | Long SPY | 0.03150074224 | ||||||||||||||||||||
25 | 2004-07 | -0.05687642513 | 0.02149204928 | -0.06163253271 | -1 | 0.02149204928 | 0.06163253271 | 0.08312458199 | 1.011733365 | Long TLT | Short TLT | -0.03869472684 | ||||||||||||||||||||
26 | 2004-08 | -0.03030838611 | -0.01262803109 | 0.01460286032 | -1 | -0.01262803109 | -0.01460286032 | -0.02723089141 | 0.9841829637 | -0.06163253271 | ||||||||||||||||||||||
27 | 2004-09 | -0.01771251022 | 0.01927974249 | 0.02751239409 | -1 | 0.01927974249 | -0.02751239409 | -0.008232651602 | 0.9760805283 | If SPY - TLT < 0 in first 15 days | Long SPY | Short SPY | 0.01460286032 | |||||||||||||||||||
28 | 2004-10 | -0.02423450533 | 0.03341567655 | 0.05023290224 | -1 | 0.03341567655 | -0.05023290224 | -0.01681722569 | 0.9596655617 | Short TLT | Long TLT | 0.02751239409 | ||||||||||||||||||||
29 | 2004-11 | 0.04949197681 | 0.01930071417 | -0.01282850829 | 1 | -0.01930071417 | -0.01282850829 | -0.03212922245 | 0.9288322534 | 0.05023290224 | ||||||||||||||||||||||
30 | 2004-12 | -0.003941096957 | -0.002525400364 | -0.01999147704 | -1 | -0.002525400364 | 0.01999147704 | 0.01746607668 | 0.9450553088 | -0.01282850829 | ||||||||||||||||||||||
31 | 2005-01 | -0.06792713598 | 0.01042270483 | -0.005452516759 | -1 | 0.01042270483 | 0.005452516759 | 0.01587522159 | 0.9600582712 | -0.01999147704 | ||||||||||||||||||||||
32 | 2005-02 | 0.01362874179 | 0.01123878174 | 0.0052914296 | 1 | -0.01123878174 | 0.0052914296 | -0.005947352139 | 0.9543484666 | -0.005452516759 | ||||||||||||||||||||||
33 | 2005-03 | -0.002439973874 | -0.005871693586 | 0.01489565284 | -1 | -0.005871693586 | -0.01489565284 | -0.02076734643 | 0.9345291814 | 0.0052914296 | ||||||||||||||||||||||
34 | 2005-04 | -0.0357445357 | -0.009047921159 | 0.02297673917 | -1 | -0.009047921159 | -0.02297673917 | -0.03202466033 | 0.9046012018 | 0.01489565284 | ||||||||||||||||||||||
35 | 2005-05 | 0.01467501978 | -0.0113171291 | -0.01420040679 | 1 | 0.0113171291 | -0.01420040679 | -0.002883277695 | 0.9019929853 | 0.02297673917 | ||||||||||||||||||||||
36 | 2005-06 | 0.01855088614 | -0.01391071056 | 0.03599102683 | 1 | 0.01391071056 | 0.03599102683 | 0.04990173739 | 0.9470040024 | -0.01420040679 | ||||||||||||||||||||||
37 | 2005-07 | 0.06582472384 | 0.006322915861 | 0.004961636483 | 1 | -0.006322915861 | 0.004961636483 | -0.001361279378 | 0.9457148654 | 0.03599102683 | ||||||||||||||||||||||
38 | 2005-08 | -0.02120617506 | -0.007198311612 | 0.0279532611 | -1 | -0.007198311612 | -0.0279532611 | -0.03515157271 | 0.9124715005 | 0.004961636483 | ||||||||||||||||||||||
39 | 2005-09 | 0.01862346563 | 0.01760214343 | -0.02789883223 | 1 | -0.01760214343 | -0.02789883223 | -0.04550097567 | 0.870953157 | 0.0279532611 | ||||||||||||||||||||||
40 | 2005-10 | -0.03546275857 | 0.01177838642 | 0.02825505018 | -1 | 0.01177838642 | -0.02825505018 | -0.01647666376 | 0.8566027547 | -0.02789883223 | ||||||||||||||||||||||
41 | 2005-11 | 0.03537549197 | -0.001191913789 | 0.004672295796 | 1 | 0.001191913789 | 0.004672295796 | 0.005864209586 | 0.8616260527 | 0.02825505018 | ||||||||||||||||||||||
42 | 2005-12 | 0.0001155921688 | -0.0286261348 | 0.03552021133 | 1 | 0.0286261348 | 0.03552021133 | 0.06414634613 | 0.9168962158 | 0.004672295796 | ||||||||||||||||||||||
43 | 2006-01 | 0.01638392643 | 0.02089080279 | -0.01862037012 | 1 | -0.02089080279 | -0.01862037012 | -0.03951117291 | 0.8806685708 | 0.03552021133 | ||||||||||||||||||||||
44 | 2006-02 | 0.002029455095 | -0.008080866149 | 0.02455780794 | 1 | 0.008080866149 | 0.02455780794 | 0.03263867408 | 0.9094124253 | -0.01862037012 | ||||||||||||||||||||||
45 | 2006-03 | 0.04208815092 | 0.02199945472 | 0.01442914912 | 1 | -0.02199945472 | 0.01442914912 | -0.007570305596 | 0.9025278953 | 0.02455780794 | ||||||||||||||||||||||
46 | 2006-04 | 0.02451953057 | 0.009986820217 | 0.01073123773 | 1 | -0.009986820217 | 0.01073123773 | 0.0007444175175 | 0.9031997529 | 0.01442914912 | ||||||||||||||||||||||
47 | 2006-05 | -0.04039643032 | 0.02922011858 | -0.03408300294 | -1 | 0.02922011858 | 0.03408300294 | 0.06330312152 | 0.9603751166 | 0.01073123773 | ||||||||||||||||||||||
48 | 2006-06 | -0.02405700723 | 0.01203388927 | -0.007867438459 | -1 | 0.01203388927 | 0.007867438459 | 0.01990132772 | 0.9794878565 | -0.03408300294 | ||||||||||||||||||||||
49 | 2006-07 | -0.02373001686 | 0.006779843309 | -0.01016234508 | -1 | 0.006779843309 | 0.01016234508 | 0.01694218839 | 0.9960825243 | -0.007867438459 | ||||||||||||||||||||||
50 | 2006-08 | -0.00102739132 | -0.001183512243 | 0.001803141182 | -1 | -0.001183512243 | -0.001803141182 | -0.002986653425 | 0.993107571 | -0.01016234508 | ||||||||||||||||||||||
51 | 2006-09 | -0.01144840853 | 0.01906037561 | 0.01953063886 | -1 | 0.01906037561 | -0.01953063886 | -0.0004702632548 | 0.992640549 | 0.001803141182 | ||||||||||||||||||||||
52 | 2006-10 | 0.0413146466 | -0.03058479561 | 0.008913652065 | 1 | 0.03058479561 | 0.008913652065 | 0.03949844767 | 1.03184831 | 0.01953063886 | ||||||||||||||||||||||
53 | 2006-11 | 0.01123909687 | -0.01459550063 | 0.007640953938 | 1 | 0.01459550063 | 0.007640953938 | 0.02223645457 | 1.054792958 | 0.008913652065 | ||||||||||||||||||||||
54 | 2006-12 | 0.02552197893 | 0.01498800836 | -0.01451320592 | 1 | -0.01498800836 | -0.01451320592 | -0.02950121428 | 1.023675285 | 0.007640953938 | ||||||||||||||||||||||
55 | 2007-01 | 0.0257248288 | -0.0007037634227 | 0.0002355114455 | 1 | 0.0007037634227 | 0.0002355114455 | 0.0009392748682 | 1.024636797 | -0.01451320592 | ||||||||||||||||||||||
56 | 2007-02 | 0.00310699094 | -0.05105608193 | -0.01665789439 | 1 | 0.05105608193 | -0.01665789439 | 0.03439818755 | 1.059882446 | 0.0002355114455 | ||||||||||||||||||||||
57 | 2007-03 | 0.02141377505 | -0.003949910015 | 0.02609687696 | 1 | 0.003949910015 | 0.02609687696 | 0.03004678697 | 1.091728508 | -0.01665789439 | ||||||||||||||||||||||
58 | 2007-04 | 0.03680896498 | -0.001611916589 | 0.01325540018 | 1 | 0.001611916589 | 0.01325540018 | 0.01486731677 | 1.107959582 | 0.02609687696 | ||||||||||||||||||||||
59 | 2007-05 | 0.04263860438 | 0.007044899849 | -0.002279990983 | 1 | -0.007044899849 | -0.002279990983 | -0.009324890832 | 1.097627979 | 0.01325540018 | ||||||||||||||||||||||
60 | 2007-06 | 0.02833068173 | -0.01763103465 | 0.03028946167 | 1 | 0.01763103465 | 0.03028946167 | 0.04792049632 | 1.150226857 | -0.002279990983 | ||||||||||||||||||||||
61 | 2007-07 | 0.01202930003 | -0.05452574286 | 0.01520207402 | 1 | 0.05452574286 | 0.01520207402 | 0.06972781688 | 1.230429665 | 0.03028946167 | ||||||||||||||||||||||
62 | 2007-08 | -0.004746387523 | -0.01671366764 | -0.04023523351 | -1 | -0.01671366764 | 0.04023523351 | 0.02352156587 | 1.259371297 | 0.01520207402 | ||||||||||||||||||||||
63 | 2007-09 | 0.03692616941 | -0.005430406904 | 0.02250696555 | 1 | 0.005430406904 | 0.02250696555 | 0.02793737245 | 1.294554822 | -0.04023523351 | ||||||||||||||||||||||
64 | 2007-10 | -0.04266309083 | 0.03235332028 | -0.056240811 | -1 | 0.03235332028 | 0.056240811 | 0.08859413128 | 1.409244782 | 0.02250696555 | ||||||||||||||||||||||
65 | 2007-11 | -0.1269989832 | 0.02449652325 | 0.03911222046 | -1 | 0.02449652325 | -0.03911222046 | -0.01461569721 | 1.388647687 | -0.056240811 | ||||||||||||||||||||||
66 | 2007-12 | 0.02655120912 | -0.03198429481 | -0.06637399462 | 1 | 0.03198429481 | -0.06637399462 | -0.03438969981 | 1.34089251 | 0.03911222046 | ||||||||||||||||||||||
67 | 2008-01 | -0.1193990804 | 0.01095459642 | -0.003691682006 | -1 | 0.01095459642 | 0.003691682006 | 0.01464627843 | 1.360531595 | -0.06637399462 | ||||||||||||||||||||||
68 | 2008-02 | 0.01515995394 | -0.03728965936 | -0.01311544303 | 1 | 0.03728965936 | -0.01311544303 | 0.02417421632 | 1.39342138 | -0.003691682006 | ||||||||||||||||||||||
69 | 2008-03 | -0.003393267109 | -0.02660416173 | 0.04602147213 | -1 | -0.02660416173 | -0.04602147213 | -0.07262563386 | 1.292223269 | -0.01311544303 | ||||||||||||||||||||||
70 | 2008-04 | 0.07440808134 | 0.004351205264 | 0.02456942477 | 1 | -0.004351205264 | 0.02456942477 | 0.02021821951 | 1.318349723 | 0.04602147213 | ||||||||||||||||||||||
71 | 2008-05 | 0.01228050418 | 0.01795113084 | -0.03789863375 | 1 | -0.01795113084 | -0.03789863375 | -0.05584976459 | 1.244720201 | 0.02456942477 | ||||||||||||||||||||||
72 | 2008-06 | -0.05620733765 | -0.05239805114 | -0.01754206743 | -1 | -0.05239805114 | 0.01754206743 | -0.03485598371 | 1.201334254 | -0.03789863375 | ||||||||||||||||||||||
73 | 2008-07 | 0.01411310602 | 0.003707226106 | -0.003090966182 | 1 | -0.003707226106 | -0.003090966182 | -0.006798192288 | 1.193167353 | -0.01754206743 | ||||||||||||||||||||||
74 | 2008-08 | -0.01208038112 | -0.01479886346 | -0.0394294037 | -1 | -0.01479886346 | 0.0394294037 | 0.02463054024 | 1.222555709 | -0.003090966182 | ||||||||||||||||||||||
75 | 2008-09 | -0.05754677807 | -0.03526859201 | -0.1828470565 | -1 | -0.03526859201 | 0.1828470565 | 0.1475784645 | 1.402978604 | -0.0394294037 | ||||||||||||||||||||||
76 | 2008-10 | -0.1791526998 | 0.1527951293 | -0.0501398428 | -1 | 0.1527951293 | 0.0501398428 | 0.2029349721 | 1.687692027 | -0.1828470565 | ||||||||||||||||||||||
77 | 2008-11 | -0.2918964279 | 0.1816840473 | -0.07252240453 | -1 | 0.1816840473 | 0.07252240453 | 0.2542064518 | 2.116714229 | -0.0501398428 | ||||||||||||||||||||||
78 | 2008-12 | -0.1734916037 | 0.05899254355 | 0.06575780271 | -1 | 0.05899254355 | -0.06575780271 | -0.006765259152 | 2.102394109 | -0.07252240453 | ||||||||||||||||||||||
79 | 2009-01 | 0.01868493531 | 0.03321683785 | 0.06145968126 | 1 | -0.03321683785 | 0.06145968126 | 0.02824284341 | 2.161771697 | 0.06575780271 | ||||||||||||||||||||||
80 | 2009-02 | -0.1124324222 | -0.02544864409 | -0.0939684977 | -1 | -0.02544864409 | 0.0939684977 | 0.0685198536 | 2.309895977 | 0.06145968126 | ||||||||||||||||||||||
81 | 2009-03 | 0.02217467631 | -0.02984143455 | 0.0520961414 | 1 | 0.02984143455 | 0.0520961414 | 0.08193757594 | 2.499163254 | -0.0939684977 | ||||||||||||||||||||||
82 | 2009-04 | 0.09925482597 | 0.05856432952 | 0.07077779577 | 1 | -0.05856432952 | 0.07077779577 | 0.01221346624 | 2.5296867 | 0.0520961414 | ||||||||||||||||||||||
83 | 2009-05 | 0.05323180337 | 0.04155057594 | 0.06471229239 | 1 | -0.04155057594 | 0.06471229239 | 0.02316171645 | 2.588278586 | 0.07077779577 | ||||||||||||||||||||||
84 | 2009-06 | 0.02349454731 | 0.01949153659 | -0.06664645121 | 1 | -0.01949153659 | -0.06664645121 | -0.08613798779 | 2.365329477 | 0.06471229239 | ||||||||||||||||||||||
85 | 2009-07 | 0.05566875258 | -0.02909416278 | 0.0665412757 | 1 | 0.02909416278 | 0.0665412757 | 0.09563543848 | 2.591538798 | -0.06664645121 | ||||||||||||||||||||||
86 | 2009-08 | 0.04974258117 | -0.01669178978 | 0.0228886716 | 1 | 0.01669178978 | 0.0228886716 | 0.03958046138 | 2.6941131 | 0.0665412757 | ||||||||||||||||||||||
87 | 2009-09 | 0.05114324743 | -0.02825818023 | -0.006521090503 | 1 | 0.02825818023 | -0.006521090503 | 0.02173708972 | 2.752675278 | 0.0228886716 | ||||||||||||||||||||||
88 | 2009-10 | 0.0475034979 | -0.05056200501 | 0.05690761213 | 1 | 0.05056200501 | 0.05690761213 | 0.1074696171 | 3.048504236 | -0.006521090503 | ||||||||||||||||||||||
89 | 2009-11 | 0.06036959079 | -0.01121475049 | 0.03790928469 | 1 | 0.01121475049 | 0.03790928469 | 0.04912403519 | 3.198259065 | 0.05690761213 | ||||||||||||||||||||||
90 | 2009-12 | 0.07190298557 | 0.000290007391 | 0.03476247308 | 1 | -0.000290007391 | 0.03476247308 | 0.03447246569 | 3.308510941 | 0.03790928469 | ||||||||||||||||||||||
91 | 2010-01 | -0.03378553072 | -0.02003458467 | -0.006743516444 | -1 | -0.02003458467 | 0.006743516444 | -0.01329106823 | 3.264537297 | 0.03476247308 | ||||||||||||||||||||||
92 | 2010-02 | 0.06668725409 | -0.02841755094 | 0.04384382773 | 1 | 0.02841755094 | 0.04384382773 | 0.07226137867 | 3.500437262 | -0.006743516444 | ||||||||||||||||||||||
93 | 2010-03 | 0.05285344355 | -0.001206348991 | 0.01958989046 | 1 | 0.001206348991 | 0.01958989046 | 0.02079623945 | 3.573233194 | 0.04384382773 | ||||||||||||||||||||||
94 | 2010-04 | 0.02020481021 | -0.04704481418 | -0.1046102992 | 1 | 0.04704481418 | -0.1046102992 | -0.05756548498 | 3.367538292 | 0.01958989046 | ||||||||||||||||||||||
95 | 2010-05 | -0.1537490376 | 0.02199071779 | -0.06007613325 | -1 | 0.02199071779 | 0.06007613325 | 0.08206685104 | 3.643901556 | -0.1046102992 | ||||||||||||||||||||||
96 | 2010-06 | 0.01064841 | -0.08031392552 | 0.05443653509 | 1 | 0.08031392552 | 0.05443653509 | 0.1347504606 | 4.134918969 | -0.06007613325 | ||||||||||||||||||||||
97 | 2010-07 | 0.06626953475 | -0.008283420261 | 0.01978469151 | 1 | 0.008283420261 | 0.01978469151 | 0.02806811177 | 4.250978336 | 0.05443653509 | ||||||||||||||||||||||
98 | 2010-08 | -0.08359647617 | -0.009508381445 | 0.07963716938 | -1 | -0.009508381445 | -0.07963716938 | -0.08914555082 | 3.872022531 | 0.01978469151 | ||||||||||||||||||||||
99 | 2010-09 | 0.1162943319 | 0.008769587338 | 0.01958776317 | 1 | -0.008769587338 | 0.01958776317 | 0.01081817584 | 3.913910752 | 0.07963716938 | ||||||||||||||||||||||
100 | 2010-10 | 0.07707730825 | 0.01065264068 | 0.05688774681 | 1 | -0.01065264068 | 0.05688774681 | 0.04623510613 | 4.094870831 | 0.01958776317 |