Tuesday, September 8, 2009

Live Test - Performance Summary #1

Over the past 87 weeks of the live test, for the period ending 9/4/09, the model portfolio has returned +39.4% while the benchmark S&P 500 Index has lost -30.2%.

Therefore the model portfolio has generated an excess return (relative to the benchmark) of +69.6%, equal to +0.80% per week.

This works out to an annualized excess return of +51.3%, which remarkably exceeds the system's excess return for the 4 year period preceding the live test.

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