Fund Replication - WYASX
Submitted by loner 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 --------------
| Attachment | Size |
|---|---|
| replicate-wyasx-20080412.png | 82.18 KB |
| replicate-wyasx-20080412-spd.png | 54.78 KB |
| replicate-wyasx-20080412-wgt.png | 39.02 KB |
What did I say then?
The Next Warren Buffett? | Business Week (7 years 11 weeks ago):
