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Testing Details
Testing Dates: 01/01/1980 thru 5/26/2006
Data Used: CSI Back Adjusted Contracts (day only
when possible)
Slippage and Commissions: $75
20 Market Portfolio:
Corn, Rough Rice, Kansas City Wheat, Live Cattle, Cotton, Sugar,
Lumber, Coffee, Palladium, London Aluminum, London Copper, Crude Oil,
Natural Gas, the Dollar Index, Japanese Yen, Swiss Franc, T-Notes,
Swiss Govt. Bond, Euro-Bund, and the Nikkei.
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Compound Annual ROI |
30.22% |
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Max Drawdown % |
18.55% |
Rate of return is calculated on a compounded monthly
basis, by dividing monthly net performance by the Beginning Net Asset
Value (“BNAV”) for the month. Previous period profits and losses are
carried forward into the next monthly reporting period and affect the
calculation of monthly performance of future periods.
It should be noted that under this hypothetical it is
assumed that no additions or withdrawals occur in the account, and that
there is an increase or decrease in trading volume or leverage of the
account each month as a result of any profits or losses made during the
month.
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