| Back to Enhanced Slow-Burning Model | ||||||||||||||
| Here are the results from all the backtests. The first backtest (column B) began in January, 1996 with 50 stocks being added, 4 stocks rebalanced each month | ||||||||||||||
| thereafter, and each January the entire portfolio was constrained to be within 200% of the S&P's sector weighting. The next test (column C) began in February, | ||||||||||||||
| 1996 and had the same rules as the January portfolio, except the starting point and the month the sector constraint was performed were February instead of | ||||||||||||||
| January. Each test's annual results are shown, with all 12 month-test's annual results averaged on the right. | ||||||||||||||
| Standard Model - Long Portfolio | ||||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Average | ||
| 1996 | 34.26% | 47.61% | 30.38% | 29.33% | 31.15% | 25.91% | 43.47% | 63.70% | 46.58% | 55.83% | 36.18% | 33.75% | 39.85% | |
| 1997 | 38.90% | 27.57% | 42.98% | 67.47% | 51.06% | 36.01% | 42.12% | 16.27% | -1.32% | -0.85% | 8.59% | 17.36% | 28.85% | |
| 1998 | 29.99% | 33.47% | 28.14% | 15.54% | 16.78% | 19.64% | 21.98% | 25.40% | 41.60% | 26.11% | 24.66% | 20.81% | 25.34% | |
| 1999 | 25.97% | 42.65% | 38.32% | 52.17% | 37.24% | 34.75% | 37.59% | 32.80% | 62.45% | 42.46% | 46.83% | 24.74% | 39.83% | |
| 2000 | 12.69% | 15.75% | 8.74% | 3.63% | 16.57% | 4.37% | 6.55% | -2.13% | -24.04% | -17.94% | -13.24% | 4.25% | 1.27% | |
| 2001 | 11.22% | -6.55% | 5.04% | 15.43% | 0.97% | 3.61% | 0.23% | -16.21% | -8.51% | -4.77% | -10.65% | -8.30% | -1.54% | |
| 2002 | -5.84% | -7.75% | -5.61% | -17.55% | -13.52% | -6.05% | 1.60% | 18.35% | 13.84% | 25.21% | 30.91% | 31.47% | 5.42% | |
| 2003 | 40.25% | 51.18% | 49.51% | 48.38% | 41.75% | 24.71% | 32.59% | 14.75% | 10.59% | 17.85% | 9.61% | 22.34% | 30.29% | |
| 2004 | 13.69% | 4.93% | 8.02% | 11.30% | 13.45% | 22.23% | 26.23% | 38.56% | 50.16% | 42.89% | 31.97% | 22.95% | 23.87% | |
| 2005* | 22.38% | 26.60% | 31.08% | 28.19% | 68.79% | 54.69% | 45.95% | 16.93% | 5.27% | 4.56% | 41.34% | 46.94% | 32.73% | |
| Total Linked | 21.54% | 22.00% | 22.81% | 23.70% | 25.19% | 21.79% | 26.12% | 20.34% | 17.77% | 18.43% | 20.71% | 23.03% | 21.67% | |
| Enhanced, Slow-Burning Model - Long Portfolio | ||||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Average | ||
| 1996 | 38.62% | 35.64% | 41.77% | 34.21% | 37.63% | 41.00% | 44.91% | 60.78% | 61.46% | 62.03% | 49.39% | 43.65% | 45.92% | |
| 1997 | 48.81% | 41.46% | 57.60% | 65.37% | 74.20% | 48.34% | 46.18% | 37.76% | 11.02% | -1.19% | 15.78% | 19.26% | 38.72% | |
| 1998 | 31.92% | 40.19% | 29.36% | 14.86% | 28.80% | 32.09% | 34.59% | 28.39% | 65.38% | 52.48% | 38.43% | 39.88% | 36.36% | |
| 1999 | 39.33% | 37.86% | 71.02% | 49.81% | 31.92% | 37.68% | 54.85% | 45.01% | 77.20% | 60.44% | 50.09% | 22.39% | 48.13% | |
| 2000 | 12.48% | -0.91% | -13.34% | -8.03% | -4.49% | 18.58% | -10.19% | -6.03% | -13.40% | -24.39% | -11.45% | 3.44% | -4.81% | |
| 2001 | -4.89% | 11.32% | 8.87% | 18.75% | 8.10% | 5.39% | -2.87% | -8.20% | -7.36% | -3.25% | -1.55% | -2.74% | 1.80% | |
| 2002 | -7.46% | -13.45% | -12.07% | -17.81% | -13.34% | -8.26% | 1.10% | 15.79% | 11.13% | 24.75% | 33.83% | 31.26% | 3.79% | |
| 2003 | 38.32% | 53.02% | 59.81% | 50.38% | 34.94% | 28.33% | 21.39% | 16.08% | 17.36% | 17.28% | 17.65% | 22.07% | 31.39% | |
| 2004 | 19.94% | 10.67% | 22.27% | 10.47% | 20.66% | 22.00% | 24.84% | 36.92% | 41.38% | 39.94% | 31.16% | 28.50% | 25.73% | |
| 2005* | 26.79% | 40.12% | 31.50% | 28.32% | 38.03% | 44.32% | 48.28% | 35.53% | 10.52% | 12.46% | 57.15% | 67.59% | 36.72% | |
| Total Linked | 22.95% | 23.94% | 27.06% | 22.63% | 24.30% | 26.96% | 25.65% | 26.09% | 25.91% | 22.62% | 28.79% | 29.11% | 24.96% | |
| Standard Model - Short Portfolio | ||||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Average | ||
| 1996 | 19.97% | 13.44% | 8.45% | 1.41% | 2.12% | 13.10% | 11.36% | 54.13% | 31.28% | 30.29% | 23.43% | 16.56% | 18.80% | |
| 1997 | 14.51% | 25.12% | 30.71% | 36.61% | 32.96% | 24.57% | 12.84% | -0.52% | -18.12% | -7.62% | 2.40% | 6.77% | 13.35% | |
| 1998 | 13.25% | 13.61% | 17.16% | -14.89% | 0.49% | 8.44% | 5.75% | 22.92% | 48.39% | 26.41% | 19.04% | 12.55% | 14.43% | |
| 1999 | 24.71% | 14.06% | 54.57% | 32.64% | 31.52% | 33.19% | 11.47% | 17.19% | 45.04% | 39.24% | 11.90% | 2.36% | 26.49% | |
| 2000 | -3.43% | -3.73% | -23.74% | -23.59% | -7.74% | 1.51% | -10.84% | 0.48% | -25.13% | -30.98% | -12.29% | 2.55% | -11.41% | |
| 2001 | -3.53% | -3.03% | -11.98% | 14.22% | -12.74% | -3.27% | -15.37% | -21.53% | -22.58% | -11.41% | -12.54% | -15.07% | -9.90% | |
| 2002 | -17.48% | -21.37% | -18.53% | -18.87% | -12.71% | -9.25% | -8.35% | 15.22% | 32.55% | 27.41% | 28.14% | 34.66% | 2.62% | |
| 2003 | 43.23% | 47.40% | 57.80% | 52.22% | 34.21% | 30.44% | 34.86% | 13.06% | 5.80% | 0.98% | 11.75% | 5.80% | 28.13% | |
| 2004 | 10.08% | 2.97% | 4.87% | 9.62% | 6.44% | 12.35% | 3.66% | 25.32% | 15.65% | 13.34% | 16.29% | 9.16% | 10.81% | |
| 2005* | 10.75% | 14.56% | 14.76% | 16.19% | 23.81% | 20.70% | 16.50% | 17.82% | 17.87% | 10.28% | 46.18% | 36.25% | 20.47% | |
| Total Linked | 10.05% | 8.99% | 10.49% | 8.15% | 8.65% | 12.93% | 5.54% | 13.70% | 10.61% | 8.26% | 13.31% | 11.31% | 10.57% | |
| Enhanced, Slow-Burning Model - Short Portfolio | ||||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Average | ||
| 1996 | 24.35% | 11.93% | 12.04% | 3.34% | -6.57% | 5.83% | 16.11% | 32.03% | 30.83% | 30.64% | 20.93% | 7.31% | 15.73% | |
| 1997 | 10.91% | 19.68% | 28.45% | 39.90% | 37.18% | 28.22% | 5.56% | -6.29% | -18.26% | -11.96% | -9.72% | -3.90% | 9.98% | |
| 1998 | 2.67% | 29.32% | 4.87% | -5.36% | -1.59% | 6.70% | 23.38% | 25.38% | 67.87% | 45.82% | 31.32% | 41.92% | 22.69% | |
| 1999 | 22.66% | 13.56% | 33.21% | 52.20% | 22.49% | 17.55% | 21.29% | 15.92% | 36.29% | 24.37% | 28.79% | -8.06% | 23.36% | |
| 2000 | 0.21% | 11.10% | -7.11% | -24.12% | -8.76% | -0.83% | -14.34% | -16.91% | -23.00% | -39.56% | -17.65% | -12.55% | -12.79% | |
| 2001 | -3.94% | -12.24% | -1.03% | 11.94% | 4.40% | -2.04% | -17.13% | -17.33% | -22.84% | -12.87% | -5.29% | -12.00% | -7.53% | |
| 2002 | -15.87% | -18.28% | -15.08% | -17.07% | 0.97% | -1.79% | 0.43% | 15.70% | 17.45% | 48.05% | 40.02% | 23.53% | 6.50% | |
| 2003 | 38.54% | 45.16% | 52.87% | 46.59% | 33.00% | 22.08% | 29.22% | 11.47% | 9.25% | 12.11% | 6.89% | 19.00% | 27.18% | |
| 2004 | 17.55% | 13.38% | 12.53% | 2.86% | 5.25% | 20.76% | 6.11% | 21.32% | 34.36% | 21.86% | 15.68% | 13.84% | 15.46% | |
| 2005* | 9.89% | 19.28% | 6.10% | 17.07% | 27.07% | 23.80% | 22.75% | 18.99% | 29.16% | 26.30% | 70.11% | 11.26% | 23.48% | |
| Total Linked | 9.67% | 12.00% | 11.30% | 10.25% | 10.58% | 12.00% | 8.66% | 9.25% | 13.41% | 11.80% | 17.07% | 7.50% | 11.61% | |