Forecasting Philippine Stock Market returns with Macroeconomic variables Kaine Cornelio R.

Gandionco ECN-4890, Research Methods

Abstract: The specification and estimation of a model of the Philippine stock market based on the constant growth model. Monthly data spanning from January 2000 to February 2011 was used. The empirical results showed that Industrial production positively affected the Philippine Stock market, while exchange devaluations, inflation, real domestic interest rates, and country risks all negatively impacted Philippine stock performance.

I.

Introduction

The Philippine stock market was one of the best performing stock markets in the year 2010; it had a total return of 58.10 percent. Such high returns are not surprising for an emerging market like the Philippines. An investment in the Philippine stock market can provide investors with both higher returns and the potential for further portfolio diversification, but generally, the level of risks inherent in the equity investments of an emerging market, such as the Philippines, is much higher relative to that of comparable equity investments in developed economies. Thus, it is crucial that the direction of the overall stock market is forecasted in order to avoid investing during periods with suboptimal conditions. Research on the modeling of stock returns in the Philippines is quite sparse in comparison to that of developed countries. Which is quite unfortunate, because a model that would have some predictive qualities over the direction of the returns of such a stock market would be quite beneficial for an investor. A countrys stock market is known as one of the leading indicators of its aggregate economy. Therefore, the model can also be used to predict the direction of the aggregate economy of the Philippines based on forecasted stock returns. A model with the ability to forecast future stock returns allows investors to time the market and determine when to invest, such a model can also be used in determining the optimal conditions for which to invest in the Philippine stock market. The Philippine Stock market concentrated in the Philippine stock exchange, which is one of Asias oldest exchanges. It consists of 258 publicly traded companies, and has a total market capitalization of roughly $130 Billion.

II.

Literature Review

Stock Market modeling is usually done through the present value model, which Samuelson had shown was equivalent to the fair game model. Stock prices a function of expected stream of future dividends and the discount rate (Samuelson, 1965 and 1975). Therefore, the expected return that would be realized upon the sale of the stock is already included, since it would be dependent on the present value of the future dividend streams. Gordon and Shapiro further simplified the present value model with the assumption of a constant dividend growth, were by, only a single expected growth rate for the stock would be needed, rather than forecasting the different dividend streams for each period, thus, the equilibrium price of a stock would now be a function of its current dividend, expected growth rate, and the discount rate (Gordon and Shapiro, 1956). Since Stock prices have now been established as a function of Dividends, expected growth rate, and the discount rate, then any factors that would influences either of these variables would also have an influence on the stocks price. The empirical results from the work of Chen et al has shown that economic variables such as inflation and interest rates have an effect on the discount rate, while industrial production also had an effect on the growth of future cash flows and dividend streams (Chen et al, 1986) The discount rate has three components, a risk free rate (i), an inflation premium (ii), and a risk premium (iii). Investors want to be compensated for inflation in order to prevent the loss of their principal investments purchasing power over time, and they want to be compensated for the level of risk that they take, which is what they expect to gain over and above the risk free rate, which is to compensate them for their opportunity costs. Mankiw and Miron showed in their expectations theory of the term structure of interest rates, that the long-term interest rates of a security is the average of all the expected future short-term interest rates that are expected to

prevail over the maturity of that security (Mankiw and Miron, 1986). The long-run interest rate can be used as a substitute for short-term rates that is assumed to be the risk-free rate in the present value model, because it would capture the expected short-term interest rates. The Risk premium is an addition to the discount rate that compensates investors for the assets inherent risks, which would include several uncertainties, such as liquidity risks, exchange rate risks, interest rate risks, purchasing power risks, financial risks, and country risks. Andrade showed that the sovereign yield spreads could be proxied as a measure of country risks, because it carries information such as the likelihood of a negative regime change in an emerging market. In his model, the discount rate was a function of the sovereign debt yield spreads (Andrade, 2005) Exchange rate risk is one of the uncertainties that are built into the discount rate in the form of a risk premium. Solnik showed that exchange rate fluctuations would affect the factor loadings and associated risk premiums (Solnik, 1983). Zang showed that stock prices in emerging markets were greatly influenced by exchange rate fluctuations, He found that currency devaluations adversely affected stock returns, and led to an increase in market volatility (Zang, 2002). According to the efficient market hypothesis, stock prices are constantly automatically adjusting to new and relevant information. As new information is released, the large number of investors will automatically act on the information in ways that will make prices fully reflect of the new information (Fama, 1970).

III.

Methods and Procedures

The model of the Philippine stock market is a corollary of the discussions of the influencing macro-economic variables made in the previous section. The model is based primarily on the constant growth model. The stock prices are driven by industrial production, the exchange rate, short-term rates, inflation rate, and country risks. Figure 1: Model log PSEi returns = f ( log Exchange ratet , log industrial productiont , log Inflation rate, log Short-term ratet , log Country riskst )
Variable Exchange rate Industrial Production Inflation rate Short-term rate Country risks Expected Sign + -

The exogenous variables Inflation rate and Short-term rate are both components of the discount rate in the present value, and it is known that the discount rate is inversely related to stock prices. These variables have a negative effect on stock returns. Based on the existing research on exchange rates and stock returns, the exchange rate and stock returns have a negative relationship. Industrial production is proxied for dividends, which would have normally been used in the constant growth model. Industrial production and stock returns should have a positive relationship. Country risks is expected to have a negative relationship with stock returns, because the changes in a countrys risk factor, such as the as political instability, could negatively affect stock return.

Data: The data used in modeling Philippine stock returns was from the period January 2001 to February 2011.
Variable rPSEi Description PSEi index returns Philippine Peso to E U.S dollar exchange rate. P Philippine Industrial Production Philippine Inflation rate 10 year Philippine S Treasury Note yields Yield Spread between 10 Year K ROP bond and 10 year U.S Treasury note Monthly Proxy for country risks Union Bank of the Philippines Monthly Risk-free rate Monthly Monthly Frequency Monthly Measure Stock Market Performance Proxy for Exchange rate risks Proxy for Dividends Proxy for Monthly purchasing power risks Source Bangko Sentral ng Pilipinas Website. Bangko Sentral ng Pilipinas Website. Banko Sentral ng Pilipinas Website. Banko Sentral ng Pilipinas Website. Union Bank of the Philippines

Figure 2: PSEi vs Exchange Rate

20.0% 15.0% 10.0% 5.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 0.0% -5.0% -10.0% -15.0% -20.0% -25.0% -30.0% Exchange Rate 1.0% 2.0% 3.0% 4.0% 5.0%

the Philippine stock market.

Figure 3: PSEI vs 10Y T-note yield

PSEI

Figure 2 shows that the Exchange rate seems to have a nonlinear negative relationship with

20.0% 15.0% 10.0% 5.0% 0.0% 0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

PSEI

-5.0%

-10.0% -15.0% -20.0% -25.0% -30.0% 10Y T-note yield

Figure 3 shows that the 10 year treasury note yield has no discernable relationship with the Philippine stock returns.

Figure 4: PSEI vs Inflation Rate

20.0% 15.0% 10.0% 5.0% 0.0% 0.0% -5.0% -10.0% -15.0% -20.0% -25.0% -30.0% Inflation rate

PSEI

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

Figure 4 shows that the inflation rate seems to have a negative effect on the Philippine stock returns.
20.0% 15.0% 10.0% 5.0% 0.0% 0.0% -5.0% -10.0% -15.0% -20.0% -25.0% -30.0% Sovereign debt yieldspread

Figure 5: PSEI vs ROP spread

Figure 5 shows that the ROP yield spread seems to have a negative effect on the Philippine stock returns.

PSEI

-2.0%

-1.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

Figure 6: PSEI vs Industrial production

20.0%

15.0%

10.0%

5.0%

PSEI

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0% 0.0% -5.0%

5.0%

10.0%

15.0%

20.0%

-10.0%

-15.0% Industrial Production

Figure 6 shows that industrial production seems to have a positive effect on the Philippine stock returns.

Regression Analysis: Models that are specified with non-stationary data can result in spurious regressions. This can cause statistically significant relationships to arise when in fact there are none. It is therefore vital to utilize only stationary data in specifying a model. Financial and economic time series data are generally known to be non-stationary. This was resolved by specifying the model with logarithms in order to eliminate any non-stationarity in the data set. The data was tested for nonstationarity through the Augmented Dickey fuller test, with the results shown in table 1 in the appendix. After ensuring that all the time series data are all stationary, a test for multicollinearity was performed between the exogenous variables of the model. A correlation matrix was constructed for all exogenous variables. The matrix shows high correlation between the variables short-term rates and exchange rate. It also shows a high correlation between the variables country risk and short-term rates. The high correlation amongst the exogenous variables suggests that multicollinearity exists. The estimation of a model with OLS estimation when multicollinearity exists between the exogenous variable, will result in specifications that are statistically insignificant. A generalized least square estimation was instead used to specify the model. The generalized least squared method of regression is used in cases when multicollinearity exists between the variables. The GLS estimation was used estimate a total of 9 regressions in order to determine the best specification with the highest explanatory power and statistically significant variables. The initial specification will be the proposed model.

In order to improve the statistical significance and the explanatory power of the model, lags were used for the variable short-term rate. A one period lag for specification (II), two period lag for specification III), and a three period lag for specification (IV). For specification (V), the variable short-term rate was dropped in an attempt to improve the model. The possibility of nonlinear relationships amongst the exogenous variables and the Philippine stock returns were examined in the specifications VI, VII, VIII, and IX.

Results: All the exogenous variables in the model were found to have exhibited coefficient signs that were consistent with the expected relationship of these variables and the Philippine stock returns, this observation was found through out the different regressions. It was found through the initial specification that the variables Exchange rate, inflation rate, and short-term rates were statistically insignificant, but the initial specification captures the expected coefficient signs of these variables. The variable short-term rate was lagged with varying degrees in specifications II, III, and IV. The lagging of the variable short-term rates did not produce improvements in the statistical significance of the variable and the wellness of fit for the model. The removal of the variable short-term rates had resulted in an improvement of the statistical significance of all the exogenous variables with the exception of the variable exchange rate.

Table 1: Linear Regression

I R
2

II
22.81% 19.48% 0.0575991 Value 0.00387 -0.60729 0.09873 -2.13688 0.25765 -4.87776 P value 0.466 0.09 0.064 0.102 0.75 0

III
24.79% 21.52% 0.05694 Value 0.00513 -0.59804 0.10383 -2.38873 1.07101 -4.87082 P Value 0.33 0.094 0.05 0.066 0.181 0

IV
25.78% 22.22% 0.056 Value 0.00555 -0.51328 0.12989 -2.04859 0.1736 -5.22441 P Value 0.288 0.146 0.018 0.108 0.833 0

V
23.48% 20.88% 0.05759 Value 0.00335 -0.66801 0.10833 -2.55714 N/A -3.66211 P Value 0.524 0.057 0.04 0.045 N/A 0

24.40% 20.80% 0.0576281 P Value value 0.0030 9 0.557 0.5674 3 0.122 0.1068 9 0.043 2.2850 6 0.08 0.9602 5 0.352 3.1945 4 0.001

Adjusted R2 Standard Error

Intercept Exchange rate Industrial production Inflation rate Short-term rate Country risks

Specifications VI, VII, VIII, and IX were specified as nonlinear models in order to determine if there were any nonlinear relationships between the Philippine stock market, and the exogenous variables. As shown in specification IX, the exchange rate was the only variable that had a statistically significant nonlinear term. The introduction of the nonlinear variable for exchange rate also resulted in a specification that had statistically significance in all variables and the highest explanatory power. Table 2: Nonlinear Regression
R2 Adjusted R2 Standard Error Intercept Exchange rate Industrial Production Inflation rate Country risks Inflation rate2 Exchange rate2 Industrial production2 Country risks2 VI
23.48% 20.21% 0.05784 Value P value 0.0033 0.613 0.6684 1 0.059 0.1083 6 0.041 2.5582 1 0.046 3.6588 9 0 3.2234 4 0.989 N/A N/A N/A N/A N/A N/A

VII
23.63% 20.37% 0.05783 Value P value 0.00395 0.466 -0.68783 0.10536 -2.60695 -3.69757 N/A N/A -0.06299 N/A 0.052 0.048 0.042 0 N/A N/A 0.625 N/A

VIII
24.48% 21.25% 0.05746 Value P Value 0.0044 0.41 -0.5891 0.0993 -2.256 -4.7238 N/A N/A N/A -33.7994 0.097 0.062 0.081 0 N/A N/A N/A 0.215

IX
28.34% 25.28% 0.05597 Value P Value 0.0134 0.034 -0.749 0.1146 -2.5164 -3.4899 N/A -41.2279 N/A N/A 0.029 0.026 0.042 0 N/A 0.006 N/A N/A

IV.

Summary and Conclusions Based on the proposed model, It was found that only industrial production and country

risk were significant in predicting Philippine stock returns, while the exchange rate, inflation rate, and the short-term rate were found to be insignificant, but despite that, all these variables had the expected relationships with the Philippine stock returns. The most significant variable was country risks. The lack of statistical significance does not discount the theoretical relationship between these variables and the stock returns. But, the proposed model in its unaltered form cannot be used to predict with confidence the future returns of the Philippine stock market. Allowing for modifications of the proposed model, it was found that the removal of the short-term rates in the specification resulted in an improvement of the p values of the exchange rate and inflation rate, which was quite surprising. It seems that this may have been due to the short-term rate being somewhat of a determinant of the exchange rate and inflation rate, which would explain the multicollinearity amongst the exogenous variables. But then, the measure for country risk also showed a high correlation with the short-term rate and that had significance all through out. It would appear that the better explanation would be that exchange rate risks is already inherent in the Philippine treasury note yield, because it is denominated in Philippine pesos. While, the sovereign debt does not have any exchange rate risks as it is denominated in U.S dollars. A risk premium that accounts for exchange rate risks is already built into the Philippine Treasury note yield; the inclusion of the variables exchange rate and short-term rate in the model may have had the effect of double counting.

In the final specification, as shown below in Figure 7, the addition of a nonlinear relationship between the exchange rate and the Philippine stock returns into the model, had vastly improved the models predictive powers. It would appear that the final specification could be used with confidence to forecast the Philippine stock market returns. Figure 7: nonlinear Specification (Equation IX) Philippine Stock returns = 0.0133604 - 0.749011 Exchange rate + 0.114586 Industrial production - 2.51636 Inflation rate - 3.4899 Country risks - 41.2279 (Exchange rate)2
Variable Exchange rate Industrial production Inflation rate Country risks (Exchange rate)2 T statistic 2.21110 2.25267 -2.05200 4.55745 -2.81812

Industrial production was estimated to have a positive effect on the stock returns in the Philippines. Periods of high levels of industrial production should lead to higher stock prices in the Philippines. The exchange rate was estimated to have a nonlinear negative influence on the Philippine stock returns. Since the Philippines is a net importer of goods and raw materials, a strong Philippine peso relative to the U.S dollar is beneficial, because it makes these imports cheaper, but the nonlinear relationship shows that the benefits derived from the exchange rate appreciation seems to exhibit diminishing marginal returns. The cheaper costs of raw materials for Philippine business results in an increase in their profit margins. This would generate an optimistic outlook on Philippine businesses that would increase Philippine stock prices. The inflation rate was estimated to have a negative effect on the stock returns. This is consistent with the theoretical relationship between the inflation rate and stock prices. Investors

should be wary of periods of high inflation rates in the Philippines, as this will tend to depress stock prices. Country risk was estimated to be negative and very significant. It poses a serious threat for investors in the Philippine stock market, because any adverse changes in the political and social situation of the Philippines could result in dramatic changes in the stock market.

Bibliography: Andrade, Sandro C.,2009, A Model of Asset Pricing under Country Risk (October 01, 2008). Journal of International Money and Finance, Vol. 28, No. 3, 2009. Chen, N.F., Roll, R., Ross, S.A., 1986, Economic Forces and the Stock Markets, Journal of Business, 59:383-403. Fama, E.F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, Vol. 25 (2): 383-417. Fama, E.F., 1981. Stock returns, real activity, inflation, and money, American Economic Review 71, 545-565. Fang, WenShwo and Miller, Stephen M., "Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis" (2002). Economics Working Papers. Paper 200231.
Fifield, S.G.M., Power, D.M. and Sinclair, C.D., 2002, Macroeconomic factors and share returns: an analysis using emerging market data. International Journal of Finance and Economics, Vol. 7: 51-62.

Gordon, M.J. and Shapiro, E., 1956, Capital Equipment Analysis: The required rate of profit, Management Science, October 53-61. Leung, M.T., Daouk, H. and Chen, A.S. 2000. Forecasting Stock Indices: a comparison of classification and level estimation models, International Journal of Forecasting, Vol. 16, 173- 190. Mankiw, N. Gregory and Miron, Jeffrey A. 1986, The Changing Behavior of the Term Structure of Interest Rates 1986. NBER Working Paper Series, Vol. w1669, pp. -, 1986

Samuelson, P.A. 1965. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, Vol. 6: 41-49. Samuelson, P.A. Proof that Properly Discounted Present Values of Assets Vibrate Randomly. Bell Journal of Economics, Vol. 4, Issue 2, 369-374. 1973. Solnik, B., 1983, International arbitrage pricing theory, Journal of Finance 38, 449-457. Stockman, A.C., 1980, A theory of exchange rate determination, Journal of Political Economy 88, 673-698. Stulz, R., 1981, A Model of international asset pricing, Journal of Financial Economics 9, 383406.
Spyrou, I.S. 2001. Stock returns and inflation: evidence from an emerging market. Applied Economics Letters, Vol. 8:447-450.

Appendix:

Table 1: Augmented Dickey Fuller Test

Dickey Fuller Test Statistic -4.632313739 -4.462884906 -4.547599323 -6.933930658 -6.121390944 -6.527660801 -3.5682 -2.9215 -2.5983 p-value 0.01 0.01 0.01 0.01 0.01 0.01

rpsei Exchange Rate Inflation rate Industrial Production 10 Year T-note Sovereign debt yield spread Critical Value 1% Critical Value 5% Critical Value 10%

Table 2: Correlation Matrix

r r E I P S K 1 0.113039 -0.13523 0.105066 -0.08332 -0.06311 E 1 0.294334 0.000253 0.689187 0.56471 I P S K

1 -0.01955 0.361363 0.329255

1 -0.01888 -0.05099

1 0.897988

Table 3: Data
Date 3/1/11 2/1/11 1/3/11 12/1/10 11/2/10 10/1/10 9/1/10 8/2/10 7/1/10 6/1/10 5/4/10 4/5/10 3/1/10 2/1/10 1/4/10 12/1/09 11/3/09 rpsei 1.94% -2.96% -7.61% 6.26% -7.38% 4.11% 14.97% 4.06% 1.61% 3.05% -0.53% 4.06% 3.84% 3.11% -3.26% 0.25% 4.69% E 43.66 43.7 44.17 43.95 43.49 43.44 44.31 45.18 46.32 46.3 45.6 44.63 45.74 46.31 46.03 46.421 47.032 I 4.30% 3.50% 3.30% 3.40% 3.50% 3.30% 3.80% 4.20% 3.90% 3.80% 3.90% 4.00% 3.80% 3.60% 3.00% 3.20% 2.70%

10/1/09 9/1/09 8/3/09 7/1/09 6/1/09 5/4/09 4/1/09 3/2/09 2/2/09 1/5/09 12/2/08 11/3/08 10/2/08 9/1/08 8/1/08 7/1/08 6/2/08 5/2/08 4/1/08 3/3/08 2/1/08 1/2/08

3.84% -2.89% 3.07% 14.78% 2.04% 13.59% 5.90% 6.09% 2.58% -2.55% -5.01% 1.05% -24.07% -4.41% 4.31% 4.76% -13.00% 2.82% -7.87% -4.64% -4.16% -9.82%

46.851 48.139 48.161 48.146 47.905 47.524 48.217 48.458 47.585 47.207 48.094 49.186 48.025 46.692 44.877 44.956 44.281 42.902 41.82 41.252 40.671 40.938

2.71% 2.80% 2.90% 3.60% 3.90% 4.40% 5.00% 5.60% 6.40% 6.90% 7.30% 7.90% 7.80% 7.50% 7.00% 6.30% 6.60% 6.20% 5.90% 4.80% 4.00% 3.40%

12/3/07 11/5/07 10/1/07 9/3/07 8/1/07 7/2/07 6/4/07 5/2/07 4/2/07 3/1/07 2/1/07 1/2/07 12/4/06 11/2/06 10/2/06 9/1/06 8/1/06 7/3/06

rpsei 1.20% -4.80% 5.21% 6.17% -3.88% -4.48% 5.48% 6.24% 2.10% 4.44% -5.30% 8.61% 6.96% 2.95% 5.94% 10.57% -3.29% 9.73%

E 41.743 43.218 44.38 46.131 46.074 45.625 46.16 46.814 47.822 48.517 48.381 48.914 49.467 49.843 50.004 50.401 51.362 52.398

I 2.60% 2.30% 2.40% 2.70% 2.90% 3.00% 2.50% 2.60% 2.60% 2.60% 3.00% 3.90% 4.60% 4.70% 5.10% 5.00% 5.30% 5.40%

6/1/06 5/2/06 4/3/06 3/1/06 2/1/06 1/2/06 12/1/05 11/2/05 10/3/05 9/1/05 8/1/05 7/1/05 6/1/05 5/3/05 4/1/05 3/1/05 2/1/05 1/3/05 12/1/04 11/1/04 10/1/04 9/1/04

-5.11% 1.13% 3.40% 3.44% -1.05% 2.35% -0.18% 7.12% 0.93% 0.27% -3.17% 3.95% -0.27% 4.03% -5.12% -6.02% 2.99% 10.79% -0.44% 0.66% 3.26% 11.50%

53.157 52.127 51.36 51.219 51.817 52.617 53.612 54.561 55.708 56.156 55.952 56.006 55.179 54.341 54.492 54.44 54.813 55.766 56.267 56.231 56.351 56.336

5.80% 6.10% 6.30% 6.50% 6.30% 5.70% 5.90% 6.10% 6.30% 6.50% 6.60% 6.80% 7.10% 7.60% 7.80% 8.00% 8.10% 7.90% 7.80% 7.60% 6.90% 6.60%

rpsei 8/2/04 7/1/04 6/1/04 5/3/04 4/1/04 3/1/04 2/2/04 1/1/04 12/1/03 11/3/03 10/1/03 9/1/03 8/1/03 7/1/03 6/2/03 5/1/03 4/1/03 3/3/03 -0.31% 0.34% 4.50% -2.81% 9.17% -3.97% -1.67% 4.57% 9.78% -6.09% 7.83% 8.77% -3.84% 1.44% 13.89% 0.52% 2.74% 2.00%

E 56.216 56.009 56.181 55.837 55.858 56.357 56.275 56.085 55.569 55.767 55.245 54.942 55.113 54.689 53.706 53.282 52.817 53.532

I 6.40% 6.20% 5.30% 4.70% 4.30% 4.30% 4.10% 4.10% 3.80% 3.90% 3.80% 3.90% 3.70% 3.60% 3.20% 2.50% 2.60% 2.40%

2/3/03 1/1/03 12/2/02 11/1/02 10/1/02 9/2/02 8/1/02 7/1/02 6/3/02 5/1/02 4/1/02 3/1/02 2/1/02 1/1/02 12/3/01 11/1/01 10/1/01 9/3/01 8/1/01 7/2/01 6/1/01 5/1/01 4/2/01 3/1/01 2/1/01 1/1/01

-3.54% 3.76% -2.75% -0.12% -7.16% 2.35% -1.77% -2.86% -12.06% -2.31% -4.10% -0.18% 7.58% 11.90% 3.51% 13.60% -12.99% -9.79% -7.15% -3.35% 0.55% 1.70% -4.67% -10.36% -4.36% 12.88%

54.345 53.799 53.096 53.589 53.017 52.447 51.809 51.287 50.418 49.966 50.744 51.148 51.354 51.201 51.404 52.024 51.935 51.355 51.21 53.562 52.366 50.584 51.218 49.378 48.263 49.412

2.90% 2.90% 2.50% 2.40% 2.60% 2.70% 3.00% 2.60% 2.90% 3.50% 3.50% 3.50% 3.20% 3.70% 4.50% 5.00% 6.10% 6.80% 7.00% 7.40% 7.20% 7.40% 7.40% 7.60% 7.40% 7.50%

Date 3/1/11 2/1/11 1/3/11 12/1/10 11/2/10 10/1/10 9/1/10 8/2/10 7/1/10 6/1/10 5/4/10 4/5/10 3/1/10 2/1/10 1/4/10 12/1/09

P 0.60% 0.36% 0.48% 0.98% 1.43% 4.54% 0.52% -1.29% 0.91% 1.65% 6.02% 0.28% 5.87% 0.30% -13.15% 2.39%

T 7.59% 7.32% 7.20% 6.10% 6.00% 5.96% 6.94% 7.60% 7.60% 7.66% 7.93% 8.00% 8.11% 8.04% 7.98% 8.09%

S 1.28% 0.97% 0.90% 0.36% 0.79% 0.94% 1.63% 2.09% 1.62% 1.62% 1.45% 1.11% 1.03% 1.21% 1.16% 1.00%

11/3/09 10/1/09 9/1/09 8/3/09 7/1/09 6/1/09 5/4/09 4/1/09 3/2/09 2/2/09 1/5/09 12/2/08 11/3/08 10/2/08 9/1/08 8/1/08 7/1/08 6/2/08 5/2/08 4/1/08 3/3/08 2/1/08

1.75% 4.51% 6.30% 0.60% 2.71% 2.22% 10.11% -1.29% 19.67% 0.00% -31.72% -3.53% -9.74% 0.80% 5.19% 0.26% -4.30% 7.36% 3.39% 6.32% 1.64% 0.38%

7.93% 7.95% 8.03% 7.98% 8.01% 8.11% 7.95% 8.13% 8.16% 8.08% 7.49% 7.44% 9.45% 9.48% 8.14% 8.06% 9.66% 9.43% 8.93% 8.58% 7.27% 7.07%

1.55% 1.36% 1.51% 1.39% 1.29% 1.34% 1.30% 1.72% 2.18% 1.83% 1.63% 2.21% 2.74% 1.68% 1.03% 1.01% 1.81% 1.67% 1.30% 1.38% 0.91% 0.71%

12/3/07 11/5/07 10/1/07 9/3/07 8/1/07 7/2/07 6/4/07 5/2/07 4/2/07 3/1/07 2/1/07 1/2/07 12/4/06 11/2/06 10/2/06 9/1/06 8/1/06 7/3/06 6/1/06

P 7.18% 0.54% 0.34% 0.97% 1.26% 0.35% 3.71% 1.85% -5.66% 15.02% -9.39% 1.11% 5.14% -2.04% 0.74% 74.65% -42.90% -2.12% 3.44%

T 6.58% 6.97% 7.08% 7.15% 7.88% 7.47% 7.42% 7.04% 7.25% 7.42% 6.83% 6.95% 6.38% 6.70% 7.68% 8.26% 9.10% 9.87% 10.30%

S -0.09% 0.21% -0.23% -0.30% 0.18% -0.30% -0.58% -0.68% -0.28% -0.20% -0.47% -0.66% -0.88% -0.44% 0.00% 0.32% 0.72% 0.93% 1.03%

5/2/06 4/3/06 3/1/06 2/1/06 1/2/06 12/1/05 11/2/05 10/3/05 9/1/05 8/1/05 7/1/05 6/1/05 5/3/05 4/1/05 3/1/05 2/1/05 1/3/05 12/1/04 11/1/04 10/1/04

3.86% -0.57% 4.65% -1.21% -14.12% 0.58% -2.84% 9.35% 3.24% 0.24% 2.52% -0.08% 2.33% 8.67% -0.85% 1.09% -10.24% 3.14% -1.49% 3.24%

10.06% 7.44% 7.84% 9.10% 9.83% 10.88% 10.88% 11.91% 11.96% 12.02% 12.24% 12.03% 12.00% 12.11% 12.28% 12.46% 12.49% 13.87% 13.69% 13.59%

0.91% -0.60% -0.16% 0.91% 1.37% 2.14% 2.04% 2.57% 2.83% 3.19% 3.06% 3.28% 3.20% 3.06% 2.86% 3.12% 3.36% 4.08% 3.85% 4.10%

P 8/2/04 7/1/04 6/1/04 5/3/04 4/1/04 3/1/04 2/2/04 1/1/04 12/1/03 11/3/03 10/1/03 9/1/03 8/1/03 7/1/03 6/2/03 5/1/03 4/1/03 3/3/03 -4.71% -0.79% 5.04% 2.95% 2.19% 1.78% 1.25% -1.04% 0.45% -4.89% 1.84% -0.05% -1.19% 1.30% -0.39% 4.16% -7.47% 10.80%

T 13.44% 12.68% 12.93% 12.64% 12.04% 12.63% 13.13% 11.64% 11.79% 11.72% 11.27% 11.56% 11.92% 11.58% 11.69% 11.54% 12.99% 12.93%

S 3.94% 3.11% 3.14% 2.93% 2.70% 3.72% 3.89% 2.82% 2.80% 2.69% 2.43% 2.97% 2.70% 2.46% 3.47% 3.55% 3.90% 3.93%

2/3/03 1/1/03 12/2/02 11/1/02 10/1/02 9/2/02 8/1/02 7/1/02 6/3/02 5/1/02 4/1/02 3/1/02 2/1/02 1/1/02 12/3/01 11/1/01 10/1/01 9/3/01 8/1/01 7/2/01 6/1/01 5/1/01 4/2/01 3/1/01 2/1/01 1/1/01

-2.99% 3.51% -3.87% -0.49% 3.11% 4.97% 1.24% -12.99% 2.66% 4.28% -2.36% 6.22% 4.65% -7.02% 1.29% -5.09% 2.15% -6.14% 8.99% 0.30% 14.74% 8.73% -15.17% 20.94% 8.96% -19.51%

12.99% 12.30% 12.57% 12.43% 12.48% 12.43% 12.75% 12.59% 13.08% 13.36% 13.07% 14.41% 14.50% 14.44% 15.53% 15.73% 17.62% 15.92% 15.77% 15.75% 15.18% 15.02% 15.38% 14.66% 14.89% 16.29%

4.08% 3.38% 3.71% 3.24% 3.56% 3.83% 3.51% 3.05% 2.99% 2.94% 2.73% 3.22% 3.82% 3.59% 4.25% 4.66% 6.27% 4.95% 4.61% 4.38% 3.68% 3.58% 3.88% 3.87% 4.38% 4.49%