Hypothetical Test Results
Rolling Six-Months Returns Comparison--Weekly
3.8 Years from June 28, 2002 to April 13, 2006
|
% |
Sys1.1 |
DJ-30 |
NDX |
RUT-X |
SP500 |
|
avg |
18.0 |
4.1 |
9.0 |
10.0 |
5.6 |
|
max |
42.8 |
22.8 |
38.0 |
43.7 |
23.2 |
|
min |
-11.1 |
-10.2 |
-12.3 |
-17.0 |
-11.6 |
|
SD |
13.0 |
6.8 |
10.3 |
11.9 |
6.5 |
|
mod.sharpe |
1.38 |
0.60 |
0.87 |
0.84 |
0.85 |
This table compares rate-of-return statistics for the new System v1.1 with those of familar indexes. For example, in the first row, avg, the average System return over all 26-week periods (173 of them) was triple the average return for the S&P500 Index and double the Nasdaq 100's over the same time span.
mod.sharpe. By dividing the the data in the row avg
by the data in the row SD (standard deviation), you obtain the equivalent
Sharpe Ratio without his adjustment for the Treasury Bill rate.
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