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5
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0

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86

87

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90

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93

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(pe rc en t p er m on th )
35%

30%

Risk

25%

20%

15%

10%

5%

0%
0.50

0.55

0.60

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

C o rre la tio n

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(co rre la tio n )

0.9
0.8
0.7
0.6

2-year average

0.5

5-year average

0.4
0.3
0.2
0.1
0.0
87

88

89

90

91

92

93

94

95

96

97

98

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R eturn a fter fe es
40%

N ov-98

20%
Feb-99

Jan-99
JulM ar-99
Apr-99
D ec-98
O ct-98
M ay
Jun

0%

-20%

-40%

Aug

-60%

-80%

Sep

-100%
-0.40

-0.30

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

C han ge in C orp orate B on d Sp read

6WBN+, f 54*@|i_ #@*) VL*@|*|) Lu |i 6?_

(D o lla r v olatility)
$300

$250

$200

$150

$100

$50

$0
94

95

96

97

98

wA t @ }LL_ i @4T*i Lu |i M@tit ? TLh|uL*L LT|43@|L? ?*) @ ui Lu |i
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Frequency over 1993-1997

0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Im p lie d vo la tility

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Frequency over March 1994-September 1998

-80%

-70%

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

M o n th ly re tu rn

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