Table 1. Annualised Sharpe ratio.
Table 2. Average monthly turnover.
Table 3. Annualised portfolio excess return and standard deviation.
Figure 1. SP500 monthly closing price (a) and return (b) from August 1963 to July 2007.
Table 4. Annualized Sharpe ratios in five-year periods between 1973 and 2007.
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