| At the start pf the period | At the end of the period | ||||||||||||||
| ζ = 1 + η | Xt | Market | CC Strategy | Market | return | return | STD Strategy | return | return | ||||||
| T-t | Lt | wt | η | ζ | ζwt | Call | Value | Xt | Call | Value | (money) | (%) | MV | (money) | (%) |
| 20 | 100.0 | 70.0 | 0.60 | 1.596 | 111.7 | 41.7 | 70.0 | 100.5 | 32.2 | 68.3 | −1.7 | −2.4% | 63.0 | −7.0 | −10.0% |
| 19 | 102.0 | 68.3 | 0.43 | 1.43 | 97.7 | 29.4 | 68.3 | 87.9 | 21.9 | 66.1 | −2.3 | −3.3% | 56.7 | −6.3 | −10.0% |
| 18 | 104.0 | 66.1 | 0.30 | 1.304 | 86.1 | 20.1 | 66.1 | 77.5 | 14.3 | 63.2 | −2.8 | −4.3% | 51.0 | −5.7 | −10.0% |
| 17 | 106.1 | 63.2 | 0.21 | 1.209 | 76.4 | 13.2 | 63.2 | 68.8 | 8.9 | 59.9 | −3.4 | −5.3% | 45.9 | −5.1 | −10.0% |
| 16 | 108.2 | 59.9 | 0.14 | 1.138 | 68.1 | 8.3 | 59.9 | 61.3 | 5.2 | 56.1 | −3.8 | −6.3% | 41.3 | −4.6 | −10.0% |
| 15 | 110.4 | 56.1 | 0.09 | 1.087 | 61.0 | 4.8 | 56.1 | 54.9 | 2.8 | 52.0 | −4.1 | −7.3% | 37.2 | −4.1 | −10.0% |
| 14 | 112.6 | 52.0 | 0.05 | 1.05 | 54.6 | 2.6 | 52.0 | 49.2 | 1.4 | 47.8 | −4.2 | −8.1% | 33.5 | −3.7 | −10.0% |
| 13 | 114.9 | 47.8 | 0.03 | 1.027 | 49.1 | 1.3 | 47.8 | 44.2 | 0.6 | 43.6 | −4.2 | −8.9% | 30.1 | −3.3 | −10.0% |
| 12 | 117.2 | 43.6 | 0.01 | 1.013 | 44.1 | 0.5 | 43.6 | 39.7 | 0.2 | 39.5 | −4.1 | −9.4% | 27.1 | −3.0 | −10.0% |
| 11 | 119.5 | 39.5 | 0.01 | 1.005 | 39.7 | 0.2 | 39.5 | 35.7 | 0.1 | 35.6 | −3.8 | −9.7% | 24.4 | −2.7 | −10.0% |
| 10 | 121.9 | 35.6 | 0.00 | 1.002 | 35.7 | 0.1 | 35.6 | 32.1 | 0.0 | 32.1 | −3.5 | −9.9% | 22.0 | −2.4 | −10.0% |
| 9 | 124.3 | 32.1 | 0.00 | 1.001 | 32.1 | 0.0 | 32.1 | 28.9 | 0.0 | 28.9 | −3.2 | −10.0% | 19.8 | −2.2 | −10.0% |
| 8 | 126.8 | 28.9 | 0.00 | 1.001 | 28.9 | 0.0 | 28.9 | 26.0 | 0.0 | 26.0 | −2.9 | −10.0% | 17.8 | −2.0 | −10.0% |
| 7 | 129.4 | 26.0 | 0.00 | 1.001 | 26.0 | 0.0 | 26.0 | 23.4 | 0.0 | 23.4 | −2.6 | −10.0% | 16.0 | −1.8 | −10.0% |
| 6 | 131.9 | 23.4 | 0.00 | 1.001 | 23.4 | 0.0 | 23.4 | 21.1 | 0.0 | 21.1 | −2.3 | −10.0% | 14.4 | −1.6 | −10.0% |
| 5 | 134.6 | 21.1 | 0.00 | 1.001 | 21.1 | 0.0 | 21.1 | 19.0 | 0.0 | 18.9 | −2.1 | −10.0% | 13.0 | −1.4 | −10.0% |
| 4 | 137.3 | 18.9 | 0.00 | 1.001 | 19.0 | 0.0 | 19.0 | 17.1 | 0.0 | 17.1 | −1.9 | −10.0% | 11.7 | −1.3 | −10.0% |
| 3 | 140.0 | 17.1 | 0.00 | 1.001 | 17.1 | 0.0 | 17.1 | 15.4 | 0.0 | 15.3 | −1.7 | −10.0% | 10.5 | −1.2 | −10.0% |
| 2 | 142.8 | 15.3 | 0.00 | 1.001 | 15.4 | 0.0 | 15.4 | 13.8 | 0.0 | 13.8 | −1.5 | −10.0% | 9.5 | −1.1 | −10.0% |
| 1 | 145.7 | 13.8 | 0.00 | 1.001 | 13.8 | 0.0 | 13.8 | 12.4 | 0.0 | 12.4 | −1.4 | −10.0% | 8.5 | −0.9 | −10.0% |
| 0 | 148.6 | ||||||||||||||