Yearly loss per initial amount invested for each holding period for the PBC portfolio over a five-year period and under an EW strategy
| Amount | Yearly loss – TCper share | Yearly loss – TCper (%) | Yearly loss – TCper trade | |
|---|---|---|---|---|
| Three years | $30,000 | 1.20 | 10.64 | 3.09 |
| $100,000 | 1.08 | 3.40 | 0.91 | |
| $300,000 | 1.06 | 1.53 | 0.30 | |
| $1,000,000 | 1.06 | 1.00 | 0.09 | |
| $3,000,000 | 1.06 | 0.92 | 0.03 | |
| $10,000,000 | 1.06 | 0.91 | 0.01 | |
| Five years | $30,000 | 0.85 | 10.02 | 2.75 |
| $100,000 | 0.75 | 2.89 | 0.80 | |
| $300,000 | 0.73 | 1.18 | 0.26 | |
| $1,000,000 | 0.73 | 0.71 | 0.08 | |
| $3,000,000 | 0.73 | 0.65 | 0.03 | |
| $10,000,000 | 0.73 | 0.64 | 0.01 | |
| Nine years | $30,000 | 1.05 | 16.30 | 3.26 |
| $100,000 | 0.92 | 3.26 | 0.90 | |
| $300,000 | 0.90 | 1.17 | 0.29 | |
| $1,000,000 | 0.90 | 0.64 | 0.09 | |
| $3,000,000 | 0.90 | 0.57 | 0.03 | |
| $10,000,000 | 0.90 | 0.56 | 0.01 |
| Amount | Yearly loss – TCper share | Yearly loss – TCper (%) | Yearly loss – TCper trade | |
|---|---|---|---|---|
| $30,000 | 1.20 | 10.64 | 3.09 | |
| $100,000 | 1.08 | 3.40 | 0.91 | |
| $300,000 | 1.06 | 1.53 | 0.30 | |
| $1,000,000 | 1.06 | 1.00 | 0.09 | |
| $3,000,000 | 1.06 | 0.92 | 0.03 | |
| $10,000,000 | 1.06 | 0.91 | 0.01 | |
| $30,000 | 0.85 | 10.02 | 2.75 | |
| $100,000 | 0.75 | 2.89 | 0.80 | |
| $300,000 | 0.73 | 1.18 | 0.26 | |
| $1,000,000 | 0.73 | 0.71 | 0.08 | |
| $3,000,000 | 0.73 | 0.65 | 0.03 | |
| $10,000,000 | 0.73 | 0.64 | 0.01 | |
| $30,000 | 1.05 | 16.30 | 3.26 | |
| $100,000 | 0.92 | 3.26 | 0.90 | |
| $300,000 | 0.90 | 1.17 | 0.29 | |
| $1,000,000 | 0.90 | 0.64 | 0.09 | |
| $3,000,000 | 0.90 | 0.57 | 0.03 | |
| $10,000,000 | 0.90 | 0.56 | 0.01 |
Source: The authors’ elaboration
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