\n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jan 1998 Ending date of historical data used : Mar 1998 Start date of Investment : Apr 1998 End date of Investment : June 1998 Transaction Cost : 0.0000 Risk free interest rate : 5.1800 Starting portflio value : 1.0000 Actual ending portflio value : 0.0000 Actual portflio risk : Expected portflio value : 0.0025 Expected portflio risk : 1.261229e-005 Equal weight starting port value : 1.0000 Equal weight ending port value : 1.1465 Equal weight port risk : 1.838020e-005 Next period starting portfolio Columns 1 through 15 -0.0000 0.0662 0.0452 0.0319 -0.0000 0.0857 0.1422 0.0003 0.1221 0.0168 0.0811 0.1061 0.0392 0.0079 0.0338 Columns 16 through 20 0.0021 0.0010 0.1788 0.0396 -0.0000 -0.0000 0.0662 0.0452 0.0319 -0.0000 0.0857 0.1422 0.0003 0.1221 0.0168 0.0811 0.1061 0.0392 0.0079 0.0338 0.0021 0.0010 0.1788 0.0396 -0.0000 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Apr 1998 Ending date of historical data used : June 1998 Start date of Investment : Jul 1998 End date of Investment : Sep 1998 Transaction Cost : 0.0000 Risk free interest rate : 5.0800 Starting portflio value : 1.0000 Actual ending portflio value : 1.0587 Actual portflio risk : 2.171991e-005 Expected portflio value : 0.0019 Expected portflio risk : 3.670380e-005 Equal weight starting port value : 1.0000 Equal weight ending port value : 1.0479 Equal weight port risk : 2.218349e-005 Next period starting portfolio Columns 1 through 15 0.1628 0.0443 0.0961 0.0480 -0.0000 0.0187 0.0110 -0.0000 0.1991 0.0029 0.1152 0.0327 -0.0000 -0.0000 0.0019 Columns 16 through 20 -0.0000 -0.0000 0.2314 0.0059 0.0298 0.1628 0.0443 0.0961 0.0480 -0.0000 0.0187 0.0110 -0.0000 0.1991 0.0029 0.1152 0.0327 -0.0000 -0.0000 0.0019 -0.0000 -0.0000 0.2314 0.0059 0.0298 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jul 1998 Ending date of historical data used : Sep 1998 Start date of Investment : Oct 1998 End date of Investment : Dec 1998 Transaction Cost : 0.0000 Risk free interest rate : 5.0900 Starting portflio value : 1.0587 Actual ending portflio value : 0.8496 Actual portflio risk : 8.188657e-005 Expected portflio value : 0.0013 Expected portflio risk : 5.519986e-005 Equal weight ending port value : 0.9390 Equal weight port risk : 5.686995e-005 Next period starting portfolio Columns 1 through 12 -0.0000 0.1261 0.0135 0.0068 -0.0000 0.4827 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 Columns 13 through 20 -0.0000 0.0203 -0.0000 -0.0000 -0.0000 -0.0000 0.0923 0.3171 -0.0000 0.1261 0.0135 0.0068 -0.0000 0.4827 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 -0.0000 0.0203 -0.0000 -0.0000 -0.0000 -0.0000 0.0923 0.3171 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Oct 1998 Ending date of historical data used : Dec 1998 Start date of Investment : Jan 1999 End date of Investment : Mar 1999 Transaction Cost : 0.0000 Risk free interest rate : 4.0700 Starting portflio value : 0.8496 Actual ending portflio value : 1.0830 Actual portflio risk : 7.130226e-005 Expected portflio value : 0.0038 Expected portflio risk : 4.573016e-005 Equal weight ending port value : 1.0996 Equal weight port risk : 3.325186e-005 Next period starting portfolio Columns 1 through 12 0.0603 -0.0000 0.0762 0.0331 -0.0000 0.0058 0.0175 0.0510 0.1091 0.0729 0.1655 0.1444 Columns 13 through 20 0.0003 0.0986 0.0033 -0.0000 -0.0000 0.0038 0.0049 0.0029 0.0603 -0.0000 0.0762 0.0331 -0.0000 0.0058 0.0175 0.0510 0.1091 0.0729 0.1655 0.1444 0.0003 0.0986 0.0033 -0.0000 -0.0000 0.0038 0.0049 0.0029 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jan 1999 Ending date of historical data used : Mar 1999 Start date of Investment : Apr 1999 End date of Investment : Jun 1999 Transaction Cost : 0.0000 Risk free interest rate : 4.4500 Starting portflio value : 1.0830 Actual ending portflio value : 0.9370 Actual portflio risk : 4.705037e-005 Expected portflio value : 0.0024 Expected portflio risk : 6.291687e-005 Equal weight ending port value : 1.1530 Equal weight port risk : 3.909708e-005 Next period starting portfolio Columns 1 through 12 0.1001 0.1155 0.0039 0.0033 0.0079 0.0015 0.0548 0.0180 0.0953 0.0566 0.3141 0.0116 Columns 13 through 20 0.0042 0.2473 -0.0000 -0.0000 -0.0000 -0.0000 0.0437 0.0052 0.1001 0.1155 0.0039 0.0033 0.0079 0.0015 0.0548 0.0180 0.0953 0.0566 0.3141 0.0116 0.0042 0.2473 -0.0000 -0.0000 -0.0000 -0.0000 0.0437 0.0052 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Apr 1999 Ending date of historical data used : Jun 1999 Start date of Investment : Jul 1999 End date of Investment : Sep 1999 Transaction Cost : 0.0000 Risk free interest rate : 4.4100 Starting portflio value : 0.9370 Actual ending portflio value : 1.1322 Actual portflio risk : 7.227226e-005 Expected portflio value : 0.0018 Expected portflio risk : 2.829922e-005 Equal weight ending port value : 1.2188 Equal weight port risk : 3.371680e-005 Next period starting portfolio Columns 1 through 12 0.0436 0.1738 0.0424 0.0177 0.3759 0.0068 0.0097 -0.0000 0.0330 0.0049 0.0157 0.0011 Columns 13 through 20 0.0052 0.0109 0.0505 0.0176 0.1109 -0.0000 0.0175 -0.0000 0.0436 0.1738 0.0424 0.0177 0.3759 0.0068 0.0097 -0.0000 0.0330 0.0049 0.0157 0.0011 0.0052 0.0109 0.0505 0.0176 0.1109 -0.0000 0.0175 -0.0000 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jul 1999 Ending date of historical data used : Sep 1999 Start date of Investment : Oct 1999 End date of Investment : Dec 1999 Transaction Cost : 0.0000 Risk free interest rate : 4.6900 Starting portflio value : 1.1322 Actual ending portflio value : 0.8785 Actual portflio risk : 3.074187e-005 Expected portflio value : 0.0021 Expected portflio risk : 1.556039e-004 Equal weight ending port value : 1.1708 Equal weight port risk : 3.999822e-005 Next period starting portfolio Columns 1 through 12 0.0795 0.0412 -0.0000 -0.0000 -0.0000 0.1698 -0.0000 0.0038 -0.0000 0.0233 0.1297 0.0454 Columns 13 through 20 0.1575 0.0734 -0.0000 -0.0000 -0.0000 -0.0000 0.4085 -0.0000 0.0795 0.0412 -0.0000 -0.0000 -0.0000 0.1698 -0.0000 0.0038 -0.0000 0.0233 0.1297 0.0454 0.1575 0.0734 -0.0000 -0.0000 -0.0000 -0.0000 0.4085 -0.0000 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Oct 1999 Ending date of historical data used : Dec 1999 Start date of Investment : Jan 2000 End date of Investment : Mar 2000 Transaction Cost : 0.0000 Risk free interest rate : 5.0200 Starting portflio value : 0.8785 Actual ending portflio value : 1.1463 Actual portflio risk : 7.597525e-005 Expected portflio value : 0.0026 Expected portflio risk : 3.766300e-005 Equal weight ending port value : 1.2696 Equal weight port risk : 4.689850e-005 Next period starting portfolio Columns 1 through 12 0.1039 0.0562 0.0548 0.0238 0.0017 0.0006 -0.0000 0.2584 0.0310 0.0552 0.2226 0.0358 Columns 13 through 20 0.0040 0.0296 -0.0000 -0.0000 -0.0000 -0.0000 0.0009 -0.0000 0.1039 0.0562 0.0548 0.0238 0.0017 0.0006 -0.0000 0.2584 0.0310 0.0552 0.2226 0.0358 0.0040 0.0296 -0.0000 -0.0000 -0.0000 -0.0000 0.0009 -0.0000 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jan 2000 Ending date of historical data used : Mar 2000 Start date of Investment : Apr 2000 End date of Investment : Jun 2000 Transaction Cost : 0.0000 Risk free interest rate : 5.5000 Starting portflio value : 1.1463 Actual ending portflio value : 0.8955 Actual portflio risk : 8.737681e-005 Expected portflio value : 0.0014 Expected portflio risk : 3.651557e-005 Equal weight ending port value : 1.2734 Equal weight port risk : 1.227334e-004 Next period starting portfolio Columns 1 through 12 -0.0000 -0.0000 0.0041 -0.0000 -0.0000 0.1880 0.1599 0.0424 0.1497 0.1025 0.0458 0.1010 Columns 13 through 20 0.0051 0.1795 0.0018 -0.0000 -0.0000 0.0049 0.0027 0.1589 -0.0000 -0.0000 0.0041 -0.0000 -0.0000 0.1880 0.1599 0.0424 0.1497 0.1025 0.0458 0.1010 0.0051 0.1795 0.0018 -0.0000 -0.0000 0.0049 0.0027 0.1589 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Apr 2000 Ending date of historical data used : Jun 2000 Start date of Investment : Jul 2000 End date of Investment : Sep 2000 Transaction Cost : 0.0000 Risk free interest rate : 5.8200 Starting portflio value : 0.8955 Actual ending portflio value : 1.1143 Actual portflio risk : 6.087444e-005 Expected portflio value : 0.0005 Expected portflio risk : 1.921819e-005 Equal weight ending port value : 1.2295 Equal weight port risk : 6.033776e-005 Next period starting portfolio Columns 1 through 12 0.0469 0.0776 0.0007 -0.0000 -0.0000 0.1474 0.0185 -0.0000 0.0067 0.0225 0.0292 -0.0000 Columns 13 through 20 0.0741 0.0038 0.0192 0.0044 0.0269 0.0777 0.0809 0.2590 0.0469 0.0776 0.0007 -0.0000 -0.0000 0.1474 0.0185 -0.0000 0.0067 0.0225 0.0292 -0.0000 0.0741 0.0038 0.0192 0.0044 0.0269 0.0777 0.0809 0.2590 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Jul 2000 Ending date of historical data used : Sep 2000 Start date of Investment : Oct 2000 End date of Investment : Dec 2000 Transaction Cost : 0.0000 Risk free interest rate : 6.1400 Starting portflio value : 1.1143 Actual ending portflio value : 0.9986 Actual portflio risk : 1.825853e-005 Expected portflio value : 0.0047 Expected portflio risk : 1.342128e-004 Equal weight ending port value : 1.2726 Equal weight port risk : 3.051131e-005 Next period starting portfolio Columns 1 through 12 0.1102 0.0225 -0.0000 -0.0000 0.0032 0.5021 -0.0000 -0.0000 0.0111 -0.0000 0.1246 0.0312 Columns 13 through 20 0.0054 0.0115 0.0014 0.0005 0.0001 0.1423 -0.0000 0.1480 0.1102 0.0225 -0.0000 -0.0000 0.0032 0.5021 -0.0000 -0.0000 0.0111 -0.0000 0.1246 0.0312 0.0054 0.0115 0.0014 0.0005 0.0001 0.1423 -0.0000 0.1480 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-* \n Results from the Best Reward to Risk Resampling ------------------------------------------------------ Starting date of historical data used: Oct 2000 Ending date of historical data used : Dec 2000 Start date of Investment : Jan 2001 End date of Investment : Mar 2001 Transaction Cost : 0.0000 Risk free interest rate : 6.2900 Starting portflio value : 0.9986 Actual ending portflio value : 1.0638 Actual portflio risk : 1.194709e-004 Expected portflio value : 0.0006 Expected portflio risk : 1.227219e-005 Equal weight ending port value : 1.1348 Equal weight port risk : 1.066085e-004 Next period starting portfolio Columns 1 through 12 0.0030 0.0201 0.0009 0.0000 0.0475 0.0903 0.1354 -0.0000 -0.0000 -0.0000 0.0014 0.0033 Columns 13 through 20 0.0074 -0.0000 0.0055 0.0100 0.0122 0.0061 0.1560 0.4993 0.0030 0.0201 0.0009 0.0000 0.0475 0.0903 0.1354 -0.0000 -0.0000 -0.0000 0.0014 0.0033 0.0074 -0.0000 0.0055 0.0100 0.0122 0.0061 0.1560 0.4993 *-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*