Ralph Vince - Portfolio Mathematics

124 THE HANDBOOK OF PORTFOLIO MATHEMATICS

Atf=.20

TRADE HPR

9 1.105882

18 1.211764

7 1.082352

1 1.011764

10 1.117647

− 5 0.941176

− 3 0.964705

− 17 0.8

− 7 0.917647

TWR=1.093231

Atf=.30

TRADE HPR

9 1.158823

18 1.317647

7 1.123529

1 1.017647

10 1.176470

− 5 0.911764

− 3 0.947058

− 17 0.7

− 7 0.876470

TWR=1.088113

Atf=.25

TRADE HPR

9 1.132352

18 1.264705

7 1.102941

1 1.014705

10 1.147058

− 5 0.926470

− 3 0.955882

− 17 0.75

− 7 0.897058

TWR=1.095387