Fund Replication - WYASX

Submitted by cahn on 12 April, 2008 - 8:21pm

Method: Asset Replicator with stochastic global optimisation
Target Fund: WYASX
Base Funds: GLD, LQD, SHY, EEM
Start Date: 01 Jan 2003
End Date: 11 Apr 2008
Date set: 500-daily prices
Lower Holding Limits: 0.0,0.0,-1.0,-1.0,0.0
Upper Holding Limits: 1.0,1.0,1.0,1.0,1.0

------------ BACKTEST SUMMARY STATISTICS START ------------
Benchmark
Mean: 0.0010900271865032297
Var : 7.64450578974336E-5
Skew: -4.493104233234604E-7
Kurt: 2.951751422088767E-8
Asset_Replicator_0_SEQ
Mean: 0.0010156973265706283
Var : 1.506017370289151E-4
Skew: -9.83848944717364E-7
Kurt: 9.660423028641269E-8
------------ BACKTEST SUMMARY STATISTICS END --------------