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		HAUGEN SYSTEMS ALTERNATIVE RATIO PORTFOLIO BACKTESTS
	In this backtest, known as the Rosetta Backtest, we started with the population of the largest 1000 US stocks,									Backtest Parameters:
	30 stocks were held each month (50 for the other methodologies),  the stocks were held for a period of 12 months,									Region		U.S.
	and 12 monthly portfolios were run (each starting on a different month) for each methodology.  The portfolio returns were									Population		Top 1,000
	linked to produce annual returns, and the 12 different portfolios' annual returns were averaged and presented below.									# of stocks		30/50
	While the Rosetta backtest did not include finance nor utility stocks, our previous results indicated that sector									First Date		1996
	omissions were unimportant, so all sectors were included in the other tests.  For comparison purposes, the Haugen									Last Date		12/31/05
	Model's average annual returns (from the same portfolio methodology as the other pairings), Greenblatts returns as									Sector Constrain		No
	presented in his book, along with the annual S&P 500 returns are presented on the right.									Rebalance periodicity		Yrly/Mthly
										Number to rebalance		30/4
	Rosetta Test	Greenblatt	Earnings	Return on	Return on	Return on	Earning	Earnings	Return on	Greenblatt	Haugen	S&P
	(Greenblatt)	Return on Assets	Yield	Equity	Assets	Assets	Yield	Yield	Assets	Returns	Model	500
	EBIT/Net	& Earnings Yld	plus	plus	plus	plus	plus	plus	plus	(from the		Index
	Oper.Assets	All	Profit	Book to	Book to	Cash Flow	Sales over	Return on	Sales to	book)
	plus	Sectors	Margin	Price	Price	Yield	Assets	Equity	Price
	EBIT/EntVal
	---------------------A  V  E  R  A  G  E    P  O  R  T  F  O  L  I  O    T  O  T  A  L    R  E  T  U  R  N-----------------------
1997	14.70%	11.13%	26.50%	25.57%	15.41%	13.43%	15.75%	20.17%	15.03%	41.00%	38.83%	33.36%
1998	5.82%	8.91%	4.38%	1.46%	8.67%	8.60%	-1.11%	5.32%	1.71%	32.60%	29.61%	28.58%
1999	-4.19%	12.35%	12.92%	6.16%	8.59%	12.94%	2.55%	4.78%	2.79%	14.40%	42.17%	21.04%
2000	26.94%	17.28%	25.60%	24.93%	17.67%	19.06%	24.26%	21.69%	20.85%	12.80%	-3.53%	-9.11%
2001	9.59%	7.61%	6.81%	9.34%	8.10%	8.86%	13.71%	5.25%	14.99%	38.20%	1.06%	-11.89%
2002	9.44%	6.50%	10.42%	9.66%	11.36%	7.15%	4.51%	3.67%	3.97%	-25.30%	3.78%	-22.10%
Averge Linked Annual Ret.	9.99%	10.57%	14.12%	12.49%	11.57%	11.60%	9.60%	9.89%	9.65%	16.43%	17.17%	4.40%
Average Annual Return	10.39%	10.63%	14.44%	12.85%	11.63%	11.67%	9.94%	10.15%	9.89%	18.95%	18.65%	6.65%
Longitudinal Std.Dev.	10.27%	3.91%	9.46%	10.05%	4.03%	4.41%	9.58%	8.39%	8.06%	24.74%	20.51%	23.75%
T-Stat	2.26	6.07	3.41	2.86	6.45	5.92	2.32	2.71	2.74	1.71	2.03	0.63
Probability Total Ret < 0	16.42%	7.59%	6.72%	10.99%	9.07%	6.98%	15.84%	12.31%	11.98%	22.31%	18.74%	37.72%
	---------------------A  V  E  R  A  G  E    P  O  R  T  F  O  L  I  O    E  X  C  E  S  S    R  E  T  U  R  N-----------------------
1997	-18.66%	-22.24%	-6.86%	-7.79%	-17.95%	-19.94%	-17.61%	-13.20%	-18.33%	7.64%	5.46%	0.00%
1998	-22.76%	-19.67%	-24.20%	-27.12%	-19.91%	-19.98%	-29.69%	-23.26%	-26.87%	4.02%	1.03%	0.00%
1999	-25.23%	-8.69%	-8.13%	-14.88%	-12.45%	-8.10%	-18.49%	-16.27%	-18.25%	-6.64%	21.13%	0.00%
2000	36.05%	26.39%	34.70%	34.03%	26.77%	28.17%	33.36%	30.80%	29.96%	21.91%	5.58%	0.00%
2001	21.48%	19.50%	18.70%	21.22%	19.99%	20.75%	25.59%	17.13%	26.88%	50.09%	12.94%	0.00%
2002	31.54%	28.60%	32.53%	31.76%	33.46%	29.25%	26.61%	25.77%	26.07%	-3.20%	25.88%	0.00%
Average Annual Return	3.74%	3.98%	7.79%	6.20%	4.98%	5.02%	3.30%	3.50%	3.24%	12.30%	12.00%	0.00%
Longitudinal Std.Dev.	28.90%	23.48%	24.27%	26.09%	24.33%	23.62%	28.09%	23.72%	26.94%	21.02%	9.81%
Information Ratio	0.13	0.17	0.32	0.24	0.20	0.21	0.12	0.15	0.12	0.59	1.22
T-Stat	0.29	0.38	0.72	0.53	0.46	0.48	0.26	0.33	0.27	1.31	2.74
Probability Excess Ret < 0	43.93%	42.18%	36.17%	39.38%	40.71%	40.39%	44.46%	43.13%	44.32%	27.36%	12.04%
	Each test's results were computed as follows
	1. First the test that began in January had the monthly returns linked together to get an annual total return for 1997.  Linking is the
	geometric average calculated by adding 1 to each monthly return, multiplying the numbers together, and subracting 1.
	2. Then 1998 thru 2002 had the total returns calculated in a similar way.
	3. Then the February portfolio's annual returns were calculated the same way, then March, and so on resulting in a table
	with 6 by 12 annual returns
	4. Then 1997's average annual return was calculated by taking the arithmetic average of all 12 portfolio's 1997 results
	5. The rest of the year's average annual returns were then calculated.
	The Average Linked Annual Return was then computed by linking these average annual returns together.  Like with the monthly
	returns, above, we added 1 to each annual return, and multiplied the numbers together.  Then, that product was taken to the
	12 / 72nd power before subtracting by one.  The numbers from Greenblatt's books were already geometric averages, so the
	average linked annual return could be calculated the same way as in the rest of the columns.
	The Average Annual Return is the arithmetic average of each test's (eg Jan97, Jan98, Feb97, etc) montly total return.
	The longitudinal standard deviation is calculated by taking a standard, non-biased standard deviation of the average annual returns
	The information ratio is the average excess return divided by the standard deviation of the excess returns
	The t-stat is the average annual return divided by the standard deviation divided by the square root of the number of years in the study.
	The probability is calculated by first finding the range of returns in the bell curve (eg, 95% of the returns will be within 2 standard
	deviations) and then calculating the ratio of this range and dividing by 2.