These are the monthly returns from 1986 thru 2002 resulting from investing, each year, in the five best picks from a
highly reputable, independent stock ranking system. This example is provided for educational purposes only.
No recommendation of any company or stock ranking system is implied.
In this higher risk example, the same five stocks are selected as in the lower risk example.
The only difference is this example has fully 70% of investment capital committed to these five common stocks
and the remaining 30% of investment capital is committed to 4 year Fed Bonds.
Name Valueline Bargain Five
Strategy Rebalance at year begin only, committing 70% to five common stocks and 30% to 4 year Fed Bonds.
Description Strategy Description Follows... Filter Valueline 5000 for top 400 stocks where (Volume*Price) is highest. Filter remainder for all stocks where Timeliness == 1. Filter remainder for all stocks where TechnicalRank == 1. Filter remainder for top five stocks with highest net margin (EarningsPS/SalesPS).
Annual Return Statistics Min5Yr = 0.1421142451226 Max5Yr = 0.4139312563727 Min3Yr = -0.1079065518872 Max3Yr = 0.4736178432396 AvgLTCG = 0.2368266778814 ~Avg = 0.1895442011252 Std = 0.3024966239916 Min = -0.1599321085534 Max = 1.079991033073 DSar = 0.1746629872459 Sar = 0.1123314936229 Avg = 0.2373683533128
Monthly Return Statistics Alpha = 0.012451171875 Beta = 0.98486328125 Std = 0.1062703366028 Shp = 0.1671345490561 Sor = 0.3335307102656 Cor = 0.6223844054307 Min = -0.2725091312092 Max = 0.3989684920928 Avg = 0.02185228202471
Cal Years Annual Returns 1986 = 0.3483782319686 1987 = 0.06467989113976 1988 = 0.02593808015242 1989 = 0.3094769883062 1990 = -0.03790196595409 1991 = 1.079991033073 1992 = 0.1065530942227 1993 = 0.2343094024225 1994 = 0.4164626000289 1995 = 0.2323401521161 1996 = 0.4076356408823 1997 = 0.3723034097573 1998 = 0.4634923674439 1999 = 0.5714550347169 2000 = -0.1054387742445 2001 = -0.1599321085534 2002 = -0.05834877286365 AvgYr = 0.2373683533128
Cal Years Safe Annual Returns 1986 = 0.3483782319686 1987 = 0.06467989113976 1988 = 0.02593808015242 1989 = 0.3094769883062 1990 = -0.1533369371895 1991 = 1.079991033073 1992 = 0.1065530942227 1993 = 0.2343094024225 1994 = 0.4164626000289 1995 = 0.2323401521161 1996 = 0.4076356408823 1997 = 0.3723034097573 1998 = 0.4634923674439 1999 = 0.5714550347169 2000 = -0.1054387742445 2001 = -0.2225981530822 2002 = -0.05834877286365 AvgYr = 0.227473852437
Cal Years Draw Downs 1986 = -0.002905270663671 1987 = -0.06092304151271 1988 = -0.0740706631691 1989 = -0.003561498040755 1990 = -0.1533369371895 1991 = -0.002711448673786 1992 = -0.1066560815462 1993 = -0.003047310919816 1994 = 0 1995 = -0.005505613112531 1996 = -0.02412327145756 1997 = 0 1998 = -0.03094200454563 1999 = 0 2000 = -0.06656333013988 2001 = -0.2225981530822 2002 = -0.1331468209701
Cal Years Market Index 1986 = 0.06314366675101 1987 = -0.04488838459459 1988 = 0.1672710036364 1989 = 0.1042876152074 1990 = -0.08640011745129 1991 = 0.3972556500947 1992 = 0.1276206127124 1993 = 0.140552722764 1994 = -0.02384492598634 1995 = 0.2252842480608 1996 = 0.232558828465 1997 = 0.236860043948 1998 = 0.0421893911475 1999 = 0.1305924150612 2000 = 0.07059531680366 2001 = 0.1329659356518 2002 = -0.2059833960051 AvgYr = 0.09500336812592
Cal Years Market Index Deltas 1986 = 0.2852345652176 1987 = 0.1095682757343 1988 = -0.141332923484 1989 = 0.2051893730988 1990 = 0.0484981514972 1991 = 0.6827353829788 1992 = -0.02106751848971 1993 = 0.09375667965849 1994 = 0.4403075260153 1995 = 0.007055904055311 1996 = 0.1750768124173 1997 = 0.1354433658093 1998 = 0.4213029762964 1999 = 0.4408626196557 2000 = -0.1760340910482 2001 = -0.2928980442052 2002 = 0.1476346231415 AvgYr = 0.1423649851868
Seasonal Jan = 0.05331570103497 Feb = -0.0390071274057 Mar = 0.1073293758298 Apr = 0.02692539910793 May = -0.06402806430031 Jun = 0.1159855212688 Jul = 0.003381700017541 Aug = 0.009173522908492 Sep = -0.003970473569666 Oct = 0.04053189962205 Nov = 0.02220631915858 Dec = -0.002835428390997
Balance by Months #Jan,1,1986 = 1.097888430734 #Feb,1,1986 = 0.9970947293363 #Mar,1,1986 = 1.271560477094 #Apr,1,1986 = 1.3539879299 #May,1,1986 = 1.050057718382 #Jun,1,1986 = 1.468997662895 #Jul,1,1986 = 1.286994935522 #Aug,1,1986 = 1.414734210689 #Sep,1,1986 = 1.324014447563 #Oct,1,1986 = 1.40331244473 #Nov,1,1986 = 1.458228573854 #Dec,1,1986 = 1.348378231969 #Jan,1,1987 = 1.53391730085 #Feb,1,1987 = 1.41155927261 #Mar,1,1987 = 1.674222400764 #Apr,1,1987 = 1.656187472489 #May,1,1987 = 1.460734839346 #Jun,1,1987 = 1.771549469223 #Jul,1,1987 = 1.91534541778 #Aug,1,1987 = 1.874758347274 #Sep,1,1987 = 1.774777013144 #Oct,1,1987 = 1.322294353019 #Nov,1,1987 = 1.266230928968 #Dec,1,1987 = 1.435591189228 #Jan,1,1988 = 1.329255997802 #Feb,1,1988 = 1.389485206211 #Mar,1,1988 = 1.484902570444 #Apr,1,1988 = 1.507572627445 #May,1,1988 = 1.338930421024 #Jun,1,1988 = 1.600682373294 #Jul,1,1988 = 1.486333527958 #Aug,1,1988 = 1.409862421566 #Sep,1,1988 = 1.474745879179 #Oct,1,1988 = 1.499823442622 #Nov,1,1988 = 1.44458857875 #Dec,1,1988 = 1.47282766856 #Jan,1,1989 = 1.552571916796 #Feb,1,1989 = 1.467582195704 #Mar,1,1989 = 1.628927204983 #Apr,1,1989 = 1.715538602767 #May,1,1989 = 1.554234888388 #Jun,1,1989 = 1.80630151693 #Jul,1,1989 = 1.856990176967 #Aug,1,1989 = 1.943581030945 #Sep,1,1989 = 2.053237860381 #Oct,1,1989 = 1.91224554513 #Nov,1,1989 = 1.883809768624 #Dec,1,1989 = 1.92863393972 #Jan,1,1990 = 1.851747328841 #Feb,1,1990 = 1.821601367623 #Mar,1,1990 = 2.046080952746 #Apr,1,1990 = 2.022719591061 #May,1,1990 = 1.853924951874 #Jun,1,1990 = 2.144136673893 #Jul,1,1990 = 1.88030529285 #Aug,1,1990 = 1.701348920333 #Sep,1,1990 = 1.632903118443 #Oct,1,1990 = 1.642832860993 #Nov,1,1990 = 1.853775590895 #Dec,1,1990 = 1.855534921799 #Jan,1,1991 = 2.110201921839 #Feb,1,1991 = 1.850503734096 #Mar,1,1991 = 2.557089094308 #Apr,1,1991 = 2.554665652216 #May,1,1991 = 2.112404201864 #Jun,1,1991 = 2.471832652736 #Jul,1,1991 = 2.757828038428 #Aug,1,1991 = 2.829791038004 #Sep,1,1991 = 2.882457242 #Oct,1,1991 = 3.225614130105 #Nov,1,1991 = 3.339757545928 #Dec,1,1991 = 3.859495998896 #Jan,1,1992 = 3.945828029123 #Feb,1,1992 = 4.048599858082 #Mar,1,1992 = 3.643290452169 #Apr,1,1992 = 3.44785727891 #May,1,1992 = 3.946611760011 #Jun,1,1992 = 3.552512127517 #Jul,1,1992 = 3.741448227207 #Aug,1,1992 = 3.702603509947 #Sep,1,1992 = 3.559739767117 #Oct,1,1992 = 3.900786392074 #Nov,1,1992 = 4.172327159392 #Dec,1,1992 = 4.270737239718 #Jan,1,1993 = 4.692130052781 #Feb,1,1993 = 4.257722975492 #Mar,1,1993 = 4.588171335155 #Apr,1,1993 = 4.604017481211 #May,1,1993 = 4.665326790836 #Jun,1,1993 = 4.618318178841 #Jul,1,1993 = 5.060172267415 #Aug,1,1993 = 5.134909381865 #Sep,1,1993 = 5.59762611928 #Oct,1,1993 = 5.624258116535 #Nov,1,1993 = 5.756545458949 #Dec,1,1993 = 5.27141113026 #Jan,1,1994 = 5.330796684208 #Feb,1,1994 = 5.439234847953 #Mar,1,1994 = 6.26585768844 #Apr,1,1994 = 6.516962472934 #May,1,1994 = 5.336748641215 #Jun,1,1994 = 6.434753818376 #Jul,1,1994 = 6.090954047692 #Aug,1,1994 = 6.969294996248 #Sep,1,1994 = 6.771700772437 #Oct,1,1994 = 7.517158030216 #Nov,1,1994 = 7.352691021357 #Dec,1,1994 = 7.46675671539 #Jan,1,1995 = 7.425647641709 #Feb,1,1995 = 7.490618274031 #Mar,1,1995 = 7.710723961893 #Apr,1,1995 = 8.250143219823 #May,1,1995 = 7.434078366207 #Jun,1,1995 = 9.112700218032 #Jul,1,1995 = 9.413112429754 #Aug,1,1995 = 9.573349179375 #Sep,1,1995 = 9.497793395982 #Oct,1,1995 = 10.375025662 #Nov,1,1995 = 10.0293284665 #Dec,1,1995 = 9.201584106457 #Jan,1,1996 = 10.45579322996 #Feb,1,1996 = 8.979611795218 #Mar,1,1996 = 10.76749460507 #Apr,1,1996 = 11.61388069563 #May,1,1996 = 10.46618275027 #Jun,1,1996 = 11.28059544111 #Jul,1,1996 = 11.38206377853 #Aug,1,1996 = 11.58307767269 #Sep,1,1996 = 13.03533098098 #Oct,1,1996 = 13.1262375788 #Nov,1,1996 = 13.78205029191 #Dec,1,1996 = 12.95247774083 #Jan,1,1997 = 14.0573244761 #Feb,1,1997 = 13.39477362942 #Mar,1,1997 = 13.96501243975 #Apr,1,1997 = 13.96179028313 #May,1,1997 = 14.30174292887 #Jun,1,1997 = 15.50151252753 #Jul,1,1997 = 17.77147822157 #Aug,1,1997 = 17.71864670625 #Sep,1,1997 = 18.30779925891 #Oct,1,1997 = 16.66227144037 #Nov,1,1997 = 18.12398861143 #Dec,1,1997 = 17.77472936854 #Jan,1,1998 = 19.77546852094 #Feb,1,1998 = 17.22474361162 #Mar,1,1998 = 21.1722313775 #Apr,1,1998 = 23.15304519665 #May,1,1998 = 18.78281378676 #Jun,1,1998 = 22.02115573083 #Jul,1,1998 = 22.10692361402 #Aug,1,1998 = 20.0885988822 #Sep,1,1998 = 18.6299268193 #Oct,1,1998 = 22.62243292404 #Nov,1,1998 = 23.98234425081 #Dec,1,1998 = 26.01318076424 #Jan,1,1999 = 28.01248914849 #Feb,1,1999 = 27.01436564325 #Mar,1,1999 = 34.34529111349 #Apr,1,1999 = 33.0297809299 #May,1,1999 = 29.09776111319 #Jun,1,1999 = 37.8798330643 #Jul,1,1999 = 37.38926017833 #Aug,1,1999 = 40.06495080812 #Sep,1,1999 = 37.08783868884 #Oct,1,1999 = 41.76007889679 #Nov,1,1999 = 48.48804445569 #Dec,1,1999 = 40.87854388096 #Jan,1,2000 = 38.88127963223 #Feb,1,2000 = 41.97968962276 #Mar,1,2000 = 41.69931162363 #Apr,1,2000 = 38.52365934324 #May,1,2000 = 38.92743564809 #Jun,1,2000 = 40.44633832165 #Jul,1,2000 = 38.15753186898 #Aug,1,2000 = 41.08690710407 #Sep,1,2000 = 38.70070791983 #Oct,1,2000 = 42.52178030768 #Nov,1,2000 = 39.20692890268 #Dec,1,2000 = 36.56836032126 #Jan,1,2001 = 40.83627385934 #Feb,1,2001 = 39.07720642563 #Mar,1,2001 = 28.4283108525 #Apr,1,2001 = 33.70294713889 #May,1,2001 = 40.88295249481 #Jun,1,2001 = 31.44043729337 #Jul,1,2001 = 32.03098492724 #Aug,1,2001 = 28.46393673386 #Sep,1,2001 = 28.82037425218 #Oct,1,2001 = 30.35044740906 #Nov,1,2001 = 29.23115960353 #Dec,1,2001 = 30.71990534874 #Jan,1,2002 = 31.96879107477 #Feb,1,2002 = 31.06012702898 #Mar,1,2002 = 32.85178035903 #Apr,1,2002 = 34.32184495882 #May,1,2002 = 32.01599824743 #Jun,1,2002 = 29.13615935793 #Jul,1,2002 = 26.62964761105 #Aug,1,2002 = 27.31699415522 #Sep,1,2002 = 26.98094288304 #Oct,1,2002 = 29.63651516325 #Nov,1,2002 = 29.24153557271 #Dec,1,2002 = 28.92743656915
Cash by Months #Jan,1,1986 = 0.3 #Feb,1,1986 = 0.2735083141464 #Mar,1,1986 = 0.3014392545996 #Apr,1,1986 = 0.2365956163028 #May,1,1986 = 0.2224008321741 #Jun,1,1986 = 0.2870420452186 #Jul,1,1986 = 0.2053738142472 #Aug,1,1986 = 0.2346371757021 #Sep,1,1986 = 0.2136516697211 #Oct,1,1986 = 0.2285051061868 #Nov,1,1986 = 0.2157951816252 #Dec,1,1986 = 0.2078633884102 #Jan,1,1987 = 0.3 #Feb,1,1987 = 0.2639602482471 #Mar,1,1987 = 0.2871103451122 #Apr,1,1987 = 0.2422937985342 #May,1,1987 = 0.2451621595397 #Jun,1,1987 = 0.278226845935 #Jul,1,1987 = 0.2296278832155 #Aug,1,1987 = 0.2125877747721 #Sep,1,1987 = 0.2173940150726 #Oct,1,1987 = 0.2298563843801 #Nov,1,1987 = 0.308801719105 #Dec,1,1987 = 0.3227768818076 #Jan,1,1988 = 0.3 #Feb,1,1988 = 0.3243029482559 #Mar,1,1988 = 0.310536808133 #Apr,1,1988 = 0.2908550036569 #May,1,1988 = 0.2867502079677 #Jun,1,1988 = 0.3231703157356 #Jul,1,1988 = 0.2705775721234 #Aug,1,1988 = 0.2916675879524 #Sep,1,1988 = 0.3077763153965 #Oct,1,1988 = 0.2945114787548 #Nov,1,1988 = 0.28985898474 #Dec,1,1988 = 0.3012244456277 #Jan,1,1989 = 0.3 #Feb,1,1989 = 0.28485834659 #Mar,1,1989 = 0.3016377743186 #Apr,1,1989 = 0.2720157005552 #May,1,1989 = 0.2585250555463 #Jun,1,1989 = 0.2856235206723 #Jul,1,1989 = 0.2459958958248 #Aug,1,1989 = 0.2395057741805 #Sep,1,1989 = 0.2290500702733 #Oct,1,1989 = 0.2170207719096 #Nov,1,1989 = 0.2332407323138 #Dec,1,1989 = 0.2369837110582 #Jan,1,1990 = 0.3 #Feb,1,1990 = 0.312749640758 #Mar,1,1990 = 0.3182238232631 #Apr,1,1990 = 0.2835768061892 #May,1,1990 = 0.2871212427417 #Jun,1,1990 = 0.3135568860621 #Jul,1,1990 = 0.2713710492181 #Aug,1,1990 = 0.3097384330488 #Sep,1,1990 = 0.342639606147 #Oct,1,1990 = 0.3573370272336 #Nov,1,1990 = 0.3555105913575 #Dec,1,1990 = 0.3153524810438 #Jan,1,1991 = 0.3153492233623 #Feb,1,1991 = 0.277552005903 #Mar,1,1991 = 0.3168005342745 #Apr,1,1991 = 0.2294761197083 #May,1,1991 = 0.2299094249992 #Jun,1,1991 = 0.2783051916735 #Jul,1,1991 = 0.2380601770594 #Aug,1,1991 = 0.2135728883327 #Sep,1,1991 = 0.2083370082885 #Oct,1,1991 = 0.2047224182902 #Nov,1,1991 = 0.1831147592793 #Dec,1,1991 = 0.1770224348869 #Jan,1,1992 = 0.3 #Feb,1,1992 = 0.2937116565881 #Mar,1,1992 = 0.2865246345304 #Apr,1,1992 = 0.318698862697 #May,1,1992 = 0.3370796354494 #Jun,1,1992 = 0.2947575083697 #Jul,1,1992 = 0.3277639612268 #Aug,1,1992 = 0.3115046366689 #Sep,1,1992 = 0.3150681721506 #Oct,1,1992 = 0.3280204938876 #Nov,1,1992 = 0.2996225846414 #Dec,1,1992 = 0.2803856911428 #Jan,1,1993 = 0.3 #Feb,1,1993 = 0.273313794818 #Mar,1,1993 = 0.3014822019826 #Apr,1,1993 = 0.2800315336668 #May,1,1993 = 0.2793296831936 #Jun,1,1993 = 0.275917641585 #Jul,1,1993 = 0.2789877764147 #Aug,1,1993 = 0.2548655934566 #Sep,1,1993 = 0.2513918621983 #Oct,1,1993 = 0.2308275266016 #Nov,1,1993 = 0.2299501663826 #Dec,1,1993 = 0.2248767312256 #Jan,1,1994 = 0.3 #Feb,1,1994 = 0.2969364496576 #Mar,1,1994 = 0.2912898194771 #Apr,1,1994 = 0.2530987945046 #May,1,1994 = 0.2435750889683 #Jun,1,1994 = 0.2977205607909 #Jul,1,1994 = 0.2471502913751 #Aug,1,1994 = 0.2613456203453 #Sep,1,1994 = 0.2286226152408 #Oct,1,1994 = 0.2355145611218 #Nov,1,1994 = 0.2123583434211 #Dec,1,1994 = 0.2173122355191 #Jan,1,1995 = 0.3 #Feb,1,1995 = 0.3019440006602 #Mar,1,1995 = 0.2996060391831 #Apr,1,1995 = 0.2913268811884 #May,1,1995 = 0.2725346424419 #Jun,1,1995 = 0.3027356412005 #Jul,1,1995 = 0.2472014942601 #Aug,1,1995 = 0.2395368949785 #Sep,1,1995 = 0.2357486684229 #Oct,1,1995 = 0.2378471305869 #Nov,1,1995 = 0.217941001141 #Dec,1,1995 = 0.225664764227 #Jan,1,1996 = 0.3 #Feb,1,1996 = 0.2642617795067 #Mar,1,1996 = 0.3079932979089 #Apr,1,1996 = 0.2570938284805 #May,1,1996 = 0.2385813218885 #Jun,1,1996 = 0.2649921286098 #Jul,1,1996 = 0.246091577198 #Aug,1,1996 = 0.2441266803844 #Sep,1,1996 = 0.2401152693024 #Oct,1,1996 = 0.213564552818 #Nov,1,1996 = 0.2122845852003 #Dec,1,1996 = 0.2023729098035 #Jan,1,1997 = 0.3 #Feb,1,1997 = 0.2766807386055 #Mar,1,1997 = 0.2906388750741 #Apr,1,1997 = 0.2790327902866 #May,1,1997 = 0.2793591786407 #Jun,1,1997 = 0.2729748113473 #Jul,1,1997 = 0.2520838092426 #Aug,1,1997 = 0.2200913434076 #Sep,1,1997 = 0.2209548061751 #Oct,1,1997 = 0.214045127565 #Nov,1,1997 = 0.2354045047722 #Dec,1,1997 = 0.2166220594729 #Jan,1,1998 = 0.3 #Feb,1,1998 = 0.269901287759 #Mar,1,1998 = 0.3101604789251 #Apr,1,1998 = 0.2525690204278 #May,1,1998 = 0.231177774363 #Jun,1,1998 = 0.2852338286576 #Jul,1,1998 = 0.2435168754301 #Aug,1,1998 = 0.2427998123639 #Sep,1,1998 = 0.2674450085237 #Oct,1,1998 = 0.2886559284469 #Nov,1,1998 = 0.2379358090649 #Dec,1,1998 = 0.2246544216447 #Jan,1,1999 = 0.3 #Feb,1,1999 = 0.2788499036567 #Mar,1,1999 = 0.2894242474972 #Apr,1,1999 = 0.2278609854515 #May,1,1999 = 0.237158648306 #Jun,1,1999 = 0.2694589245271 #Jul,1,1999 = 0.2071817877726 #Aug,1,1999 = 0.2100971916921 #Sep,1,1999 = 0.196250147522 #Oct,1,1999 = 0.2122025345894 #Nov,1,1999 = 0.1886376025739 #Dec,1,1999 = 0.1626156712255 #Jan,1,2000 = 0.3 #Feb,1,2000 = 0.3157065622048 #Mar,1,2000 = 0.2926795792485 #Apr,1,2000 = 0.2949240887306 #May,1,2000 = 0.319535477766 #Jun,1,2000 = 0.3165179246344 #Jul,1,2000 = 0.3049175216008 #Aug,1,2000 = 0.3235108139248 #Sep,1,2000 = 0.3007274794831 #Oct,1,2000 = 0.3195693664644 #Nov,1,2000 = 0.2911253999347 #Dec,1,2000 = 0.3160357398351 #Jan,1,2001 = 0.3391571857796 #Feb,1,2001 = 0.3039960141598 #Mar,1,2001 = 0.3179786597606 #Apr,1,2001 = 0.4374998560419 #May,1,2001 = 0.3693759178557 #Jun,1,2001 = 0.3047906856393 #Jul,1,2001 = 0.3967005949481 #Aug,1,2001 = 0.3897522429018 #Sep,1,2001 = 0.439006992009 #Oct,1,2001 = 0.4339845543345 #Nov,1,2001 = 0.4124927104797 #Dec,1,2001 = 0.4286894720533 #Jan,1,2002 = 0.4082972694505 #Feb,1,2002 = 0.392715119511 #Mar,1,2002 = 0.4045834321362 #Apr,1,2002 = 0.3828775460517 #May,1,2002 = 0.3668222494163 #Jun,1,2002 = 0.3936105531622 #Jul,1,2002 = 0.4329213101715 #Aug,1,2002 = 0.4741146061677 #Sep,1,2002 = 0.4626188569472 #Oct,1,2002 = 0.468820512068 #Nov,1,2002 = 0.4272126250928 #Dec,1,2002 = 0.4333896398577
Rebalance Years #Jan,1,1986 = true #Jan,1,1987 = true #Jan,1,1988 = true #Jan,1,1989 = true #Jan,1,1990 = true #Jan,1,1992 = true #Jan,1,1993 = true #Jan,1,1994 = true #Jan,1,1995 = true #Jan,1,1996 = true #Jan,1,1997 = true #Jan,1,1998 = true #Jan,1,1999 = true #Jan,1,2000 = true
Draw Down by Months #Jan,1,1986 = 0.0 #Feb,1,1986 = -0.09180687087699 #Mar,1,1986 = 0.0 #Apr,1,1986 = 0.0 #May,1,1986 = -0.2244703994816 #Jun,1,1986 = 0.0 #Jul,1,1986 = -0.123895859041 #Aug,1,1986 = -0.03693910043366 #Sep,1,1986 = -0.09869533423674 #Oct,1,1986 = -0.04471431086952 #Nov,1,1986 = -0.007330909581084 #Dec,1,1986 = -0.08211002234603 #Jan,1,1987 = 0.0 #Feb,1,1987 = -0.07976833442905 #Mar,1,1987 = 0.0 #Apr,1,1987 = -0.01077212219019 #May,1,1987 = -0.1275144576494 #Jun,1,1987 = 0.0 #Jul,1,1987 = 0.0 #Aug,1,1987 = -0.0211904704653 #Sep,1,1987 = -0.07339062882942 #Oct,1,1987 = -0.3096313903782 #Nov,1,1987 = -0.3389020501404 #Dec,1,1987 = -0.2504792211886 #Jan,1,1988 = -0.3059967223342 #Feb,1,1988 = -0.2745511105663 #Mar,1,1988 = -0.2247337964949 #Apr,1,1988 = -0.2128977815438 #May,1,1988 = -0.3009457152768 #Jun,1,1988 = -0.1642852728104 #Jul,1,1988 = -0.223986694953 #Aug,1,1988 = -0.2639121860327 #Sep,1,1988 = -0.2300365952331 #Oct,1,1988 = -0.216943623485 #Nov,1,1988 = -0.2457816927748 #Dec,1,1988 = -0.2310380911519 #Jan,1,1989 = -0.1894036958645 #Feb,1,1989 = -0.2337767474837 #Mar,1,1989 = -0.149538673358 #Apr,1,1989 = -0.1043189458982 #May,1,1989 = -0.1885354599958 #Jun,1,1989 = -0.05693171573042 #Jul,1,1989 = -0.03046721508924 #Aug,1,1989 = 0.0 #Sep,1,1989 = 0.0 #Oct,1,1989 = -0.0686682814356 #Nov,1,1989 = -0.0825175178317 #Dec,1,1989 = -0.0606865493108 #Jan,1,1990 = -0.09813306847089 #Feb,1,1990 = -0.1128152257599 #Mar,1,1990 = -0.003485669036283 #Apr,1,1990 = -0.01486348460104 #May,1,1990 = -0.09707248845981 #Jun,1,1990 = 0.0 #Jul,1,1990 = -0.1230478375074 #Aug,1,1990 = -0.2065109743009 #Sep,1,1990 = -0.2384332872407 #Oct,1,1990 = -0.2338021726901 #Nov,1,1990 = -0.1354209769057 #Dec,1,1990 = -0.1346004457685 #Jan,1,1991 = -0.01582676723337 #Feb,1,1991 = -0.1369469322421 #Mar,1,1991 = 0.0 #Apr,1,1991 = -0.0009477347104108 #May,1,1991 = -0.1739027761818 #Jun,1,1991 = -0.03334120886195 #Jul,1,1991 = 0.0 #Aug,1,1991 = 0.0 #Sep,1,1991 = 0.0 #Oct,1,1991 = 0.0 #Nov,1,1991 = 0.0 #Dec,1,1991 = 0.0 #Jan,1,1992 = 0.0 #Feb,1,1992 = 0.0 #Mar,1,1992 = -0.1001110063035 #Apr,1,1992 = -0.1483827990489 #May,1,1992 = -0.02519095530448 #Jun,1,1992 = -0.1225331591055 #Jul,1,1992 = -0.07586613684761 #Aug,1,1992 = -0.08546074204977 #Sep,1,1992 = -0.1207479395595 #Oct,1,1992 = -0.03650977404275 #Nov,1,1992 = 0.0 #Dec,1,1992 = 0.0 #Jan,1,1993 = 0.0 #Feb,1,1993 = -0.09258206239018 #Mar,1,1993 = -0.02215597531557 #Apr,1,1993 = -0.01877879994363 #May,1,1993 = -0.005712386835721 #Jun,1,1993 = -0.01573099490214 #Jul,1,1993 = 0.0 #Aug,1,1993 = 0.0 #Sep,1,1993 = 0.0 #Oct,1,1993 = 0.0 #Nov,1,1993 = 0.0 #Dec,1,1993 = -0.08427525364802 #Jan,1,1994 = -0.07395907454873 #Feb,1,1994 = -0.05512170680482 #Mar,1,1994 = 0.0 #Apr,1,1994 = 0.0 #May,1,1994 = -0.1810987613662 #Jun,1,1994 = -0.01261456620307 #Jul,1,1994 = -0.06536916961102 #Aug,1,1994 = 0.0 #Sep,1,1994 = -0.02835211078271 #Oct,1,1994 = 0.0 #Nov,1,1994 = -0.02187888138023 #Dec,1,1994 = -0.006704836405429 #Jan,1,1995 = -0.01217353528273 #Feb,1,1995 = -0.003530557170436 #Mar,1,1995 = 0.0 #Apr,1,1995 = 0.0 #May,1,1995 = -0.0989152347871 #Jun,1,1995 = 0.0 #Jul,1,1995 = 0.0 #Aug,1,1995 = 0.0 #Sep,1,1995 = -0.007892304143327 #Oct,1,1995 = 0.0 #Nov,1,1995 = -0.03332012919898 #Dec,1,1995 = -0.1131025207812 #Jan,1,1996 = 0.0 #Feb,1,1996 = -0.1411831127758 #Mar,1,1996 = 0.0 #Apr,1,1996 = 0.0 #May,1,1996 = -0.09882122741201 #Jun,1,1996 = -0.02869714811604 #Jul,1,1996 = -0.0199603322249 #Aug,1,1996 = -0.002652259288217 #Sep,1,1996 = 0.0 #Oct,1,1996 = 0.0 #Nov,1,1996 = 0.0 #Dec,1,1996 = -0.06019224524013 #Jan,1,1997 = 0.0 #Feb,1,1997 = -0.04713207323394 #Mar,1,1997 = -0.00656682831156 #Apr,1,1997 = -0.006796043808689 #May,1,1997 = 0.0 #Jun,1,1997 = 0.0 #Jul,1,1997 = 0.0 #Aug,1,1997 = -0.002972826157984 #Sep,1,1997 = 0.0 #Oct,1,1997 = -0.08988124652639 #Nov,1,1997 = -0.01004001873102 #Dec,1,1997 = -0.02911709282112 #Jan,1,1998 = 0.0 #Feb,1,1998 = -0.1289842972172 #Mar,1,1998 = 0.0 #Apr,1,1998 = 0.0 #May,1,1998 = -0.1887540655136 #Jun,1,1998 = -0.048887282697 #Jul,1,1998 = -0.04518289381565 #Aug,1,1998 = -0.1323560805252 #Sep,1,1998 = -0.1953573855593 #Oct,1,1998 = -0.02291760190097 #Nov,1,1998 = 0.0 #Dec,1,1998 = 0.0 #Jan,1,1999 = 0.0 #Feb,1,1999 = -0.03563137498956 #Mar,1,1999 = 0.0 #Apr,1,1999 = -0.03830249041242 #May,1,1999 = -0.1527874660594 #Jun,1,1999 = 0.0 #Jul,1,1999 = -0.01295076684063 #Aug,1,1999 = 0.0 #Sep,1,1999 = -0.07430714525365 #Oct,1,1999 = 0.0 #Nov,1,1999 = 0.0 #Dec,1,1999 = -0.1569356046454 #Jan,1,2000 = -0.1981264646017 #Feb,1,2000 = -0.1342259706695 #Mar,1,2000 = -0.1400083857426 #Apr,1,2000 = -0.2055018968965 #May,1,2000 = -0.1971745595213 #Jun,1,2000 = -0.165849256746 #Jul,1,2000 = -0.2130527783226 #Aug,1,2000 = -0.1526383964275 #Sep,1,2000 = -0.2018505106925 #Oct,1,2000 = -0.1230460872363 #Nov,1,2000 = -0.1914103911014 #Dec,1,2000 = -0.2458272811008 #Jan,1,2001 = -0.1578073663777 #Feb,1,2001 = -0.19408574084 #Mar,1,2001 = -0.4137047354327 #Apr,1,2001 = -0.3049225326114 #May,1,2001 = -0.1568446829781 #Jun,1,2001 = -0.3515837224143 #Jul,1,2001 = -0.3394044802836 #Aug,1,2001 = -0.4129700000612 #Sep,1,2001 = -0.4056189608035 #Oct,1,2001 = -0.3740632819954 #Nov,1,2001 = -0.3971470713725 #Dec,1,2001 = -0.3664437142478 #Jan,1,2002 = -0.3406871439415 #Feb,1,2002 = -0.359427104606 #Mar,1,2002 = -0.3224766903304 #Apr,1,2002 = -0.2921586064337 #May,1,2002 = -0.3397135601811 #Jun,1,2002 = -0.3991063222903 #Jul,1,2002 = -0.4507997196013 #Aug,1,2002 = -0.4366241315386 #Sep,1,2002 = -0.4435547321836 #Oct,1,2002 = -0.3887871640126 #Nov,1,2002 = -0.3969330811138 #Dec,1,2002 = -0.4034109460615
Actual 1986-2002 Worst Draw Down -45.08% at #Jul,1,2002
Worst Cal Year Draw Down -22.26% at #Mar,1,2001
Est 1929-1933 Crash Draw Down -51.64% est. thru 1929 crash
Cash Reserves 30.00%
Portfolio Size 5.0
Number of Months Invested 204
Strategy Monthly Statistics BullCnt = 122 BullMo = 0.08806008328068 BearCnt = 85 BearMo = -0.07317538566034 NeutralMo = 0.00744234881017 NeutralYr = 0.093056055863
#Jan,1,1986 0.09788843073407
#Feb,1,1986 -0.09180687087699
#Mar,1,1986 0.275265468448
#Apr,1,1986 0.0648238556408
#May,1,1986 -0.2244703994816
#Jun,1,1986 0.3989684920928
#Jul,1,1986 -0.123895859041
#Aug,1,1986 0.09925390663277
#Sep,1,1986 -0.06412495183938
#Oct,1,1986 0.05989209355918
#Nov,1,1986 0.03913321607745
#Dec,1,1986 -0.07533136015486
#Jan,1,1987 0.1376016495097
#Feb,1,1987 -0.07976833442905
#Mar,1,1987 0.1860801266024
#Apr,1,1987 -0.01077212219019
#May,1,1987 -0.1180135922955
#Jun,1,1987 0.2127796376903
#Jul,1,1987 0.08116959252626
#Aug,1,1987 -0.0211904704653
#Sep,1,1987 -0.05333025148309
#Oct,1,1987 -0.2549518372023
#Nov,1,1987 -0.04239859598812
#Dec,1,1987 0.1337514795963
#Jan,1,1988 -0.0740706631691
#Feb,1,1988 0.04531046578577
#Mar,1,1988 0.06867101845085
#Apr,1,1988 0.01526703330745
#May,1,1988 -0.1118634043564
#Jun,1,1988 0.1954933192642
#Jul,1,1988 -0.07143756140736
#Aug,1,1988 -0.05144949296625
#Sep,1,1988 0.04602112704057
#Oct,1,1988 0.01700466758172
#Nov,1,1988 -0.03682757736825
#Dec,1,1988 0.01954818847758
#Jan,1,1989 0.05414363807668
#Feb,1,1989 -0.05474124591097
#Mar,1,1989 0.1099393340636
#Apr,1,1989 0.05317082158034
#May,1,1989 -0.09402511498037
#Jun,1,1989 0.1621805239508
#Jul,1,1989 0.02806212559855
#Aug,1,1989 0.04662967798773
#Sep,1,1989 0.05641999365581
#Oct,1,1989 -0.0686682814356
#Nov,1,1989 -0.01487035834821
#Dec,1,1989 0.02379442544702
#Jan,1,1990 -0.03986583938793
#Feb,1,1990 -0.01627973792557
#Mar,1,1990 0.1232320029582
#Apr,1,1990 -0.0114176135869
#May,1,1990 -0.08344935201745
#Jun,1,1990 0.1565390884493
#Jul,1,1990 -0.1230478375074
#Aug,1,1990 -0.0951741045444
#Sep,1,1990 -0.04023031435344
#Oct,1,1990 0.006081035939594
#Nov,1,1990 0.1284018203625
#Dec,1,1990 0.0009490527935787
#Jan,1,1991 0.137247214832
#Feb,1,1991 -0.1230679325308
#Mar,1,1991 0.3818340634465
#Apr,1,1991 -0.0009477347104108
#May,1,1991 -0.1731191124633
#Jun,1,1991 0.1701513614466
#Jul,1,1991 0.1157017589257
#Aug,1,1991 0.02609408511825
#Sep,1,1991 0.01861134030323
#Oct,1,1991 0.1190501226193
#Nov,1,1991 0.03538656864076
#Dec,1,1991 0.1556216119944
#Jan,1,1992 0.0223687316302
#Feb,1,1992 0.02604569388228
#Mar,1,1992 -0.1001110063035
#Apr,1,1992 -0.05364194148783
#May,1,1992 0.1446563592268
#Jun,1,1992 -0.09985771503731
#Jul,1,1992 0.05318380146455
#Aug,1,1992 -0.01038226774791
#Sep,1,1992 -0.03858467223027
#Oct,1,1992 0.09580661713154
#Nov,1,1992 0.06961180132041
#Dec,1,1992 0.02358637675495
#Jan,1,1993 0.09866980556523
#Feb,1,1993 -0.09258206239018
#Mar,1,1993 0.07761152183096
#Apr,1,1993 0.003453695361109
#May,1,1993 0.01331648063368
#Jun,1,1993 -0.01007616703032
#Jul,1,1993 0.09567424145836
#Aug,1,1993 0.01476967788857
#Sep,1,1993 0.09011195777846
#Oct,1,1993 0.004757730632024
#Nov,1,1993 0.02352085193708
#Dec,1,1993 -0.08427525364802
#Jan,1,1994 0.011265589513
#Feb,1,1994 0.02034183071847
#Mar,1,1994 0.1519741036368
#Apr,1,1994 0.04007508580294
#May,1,1994 -0.1810987613662
#Jun,1,1994 0.2057442182457
#Jul,1,1994 -0.05342858179008
#Aug,1,1994 0.1442041659942
#Sep,1,1994 -0.02835211078271
#Oct,1,1994 0.1100841993511
#Nov,1,1994 -0.02187888138023
#Dec,1,1994 0.01551346217349
#Jan,1,1995 -0.005505613112531
#Feb,1,1995 0.008749490341672
#Mar,1,1995 0.02938418162683
#Apr,1,1995 0.06995701838071
#May,1,1995 -0.0989152347871
#Jun,1,1995 0.2258009357898
#Jul,1,1995 0.0329663222244
#Aug,1,1995 0.01702271706808
#Sep,1,1995 -0.007892304143327
#Oct,1,1995 0.09236169175768
#Nov,1,1995 -0.03332012919898
#Dec,1,1995 -0.08253238118647
#Jan,1,1996 0.1363036091391
#Feb,1,1996 -0.1411831127758
#Mar,1,1996 0.1991046885574
#Apr,1,1996 0.0786056665554
#May,1,1996 -0.09882122741201
#Jun,1,1996 0.07781372734134
#Jul,1,1996 0.008994945164839
#Aug,1,1996 0.01766058406184
#Sep,1,1996 0.1253771535797
#Oct,1,1996 0.006973861879466
#Nov,1,1996 0.04996197190366
#Dec,1,1996 -0.06019224524013
#Jan,1,1997 0.0853000296458
#Feb,1,1997 -0.04713207323394
#Mar,1,1997 0.04257173925462
#Apr,1,1997 -0.0002307306657978
#May,1,1997 0.02434878614004
#Jun,1,1997 0.08388974718903
#Jul,1,1997 0.1464351101225
#Aug,1,1997 -0.002972826157984
#Sep,1,1997 0.03325042608701
#Oct,1,1997 -0.08988124652639
#Nov,1,1997 0.08772616484459
#Dec,1,1997 -0.0192705507809
#Jan,1,1998 0.112560878476
#Feb,1,1998 -0.1289842972172
#Mar,1,1998 0.2291754150243
#Apr,1,1998 0.09355715908405
#May,1,1998 -0.1887540655136
#Jun,1,1998 0.1724098412958
#Jul,1,1998 0.003894794816597
#Aug,1,1998 -0.09129830848746
#Sep,1,1998 -0.07261193632546
#Oct,1,1998 0.214306054096
#Nov,1,1998 0.06011339856053
#Dec,1,1998 0.08468048378382
#Jan,1,1999 0.07685751321114
#Feb,1,1999 -0.03563137498956
#Mar,1,1999 0.2713713720711
#Apr,1,1999 -0.03830249041242
#May,1,1999 -0.1190446834952
#Jun,1,1999 0.301812634895
#Jul,1,1999 -0.01295076684063
#Aug,1,1999 0.07156308033469
#Sep,1,1999 -0.07430714525365
#Oct,1,1999 0.1259776889978
#Nov,1,1999 0.1611099819886
#Dec,1,1999 -0.1569356046454
#Jan,1,2000 -0.04885849786005
#Feb,1,2000 0.07968899223047
#Mar,1,2000 -0.006678896429283
#Apr,1,2000 -0.07615598811445
#May,1,2000 0.01048125520079
#Jun,1,2000 0.03901882177112
#Jul,1,2000 -0.05658871847605
#Aug,1,2000 0.0767705638077
#Sep,1,2000 -0.05807687539476
#Oct,1,2000 0.09873391452584
#Nov,1,2000 -0.07795655264214
#Dec,1,2000 -0.06729852746124
#Jan,1,2001 0.1167105525264
#Feb,1,2001 -0.04307610042403
#Mar,1,2001 -0.2725091312092
#Apr,1,2001 0.1855416705466
#May,1,2001 0.2130379081192
#Jun,1,2001 -0.2309646105584
#Jul,1,2001 0.01878306043777
#Aug,1,2001 -0.1113624261472
#Sep,1,2001 0.01252242518857
#Oct,1,2001 0.05308998222887
#Nov,1,2001 -0.03687879095938
#Dec,1,2001 0.05093009532958
#Jan,1,2002 0.04065395748649
#Feb,1,2002 -0.02842347224425
#Mar,1,2002 0.05768338707629
#Apr,1,2002 0.04474839974348
#May,1,2002 -0.0671830641434
#Jun,1,2002 -0.08994999522561
#Jul,1,2002 -0.08602752737894
#Aug,1,2002 0.02581132706703
#Sep,1,2002 -0.01230191251164
#Oct,1,2002 0.09842399843912
#Nov,1,2002 -0.01332746405445
#Dec,1,2002 -0.01074153588061