spx eom End of Month Strat

S&P500 End of Month Strat
2/11/88 - 11/21/97 S&P500:
invest on 26th, sell on 6th:
with 5% rtn on cash:
Model B&H Diff
10k -> 32.5k 35.1k -2.6k = 92% of rtn
yrs: 3.2 9.5 -6.4 = 33% of risk
%/yr 45.2% 14.1% 31.1%
max 6.1%
min -5.9%
avg 2.2%

2:1: 74.1k 35.1k 38.9k