Well, it really isn't fair to do a "capture ratio" when it has been basically a bull market for the period you are looking at.
So I took PYZ, the lowest capture %, and did a back test back to date of origination, 10/12/2006, which is back far enough to include a major market down cycle. I have not included any dividend, etc.
Price 10/12/2006 - $26.35 -- Price 9/2/2014 - $56.41 - Monthly Data from Yahoo.
Clive AIM protocol used for both buying and selling: Sell on first down move after an upswing and Buy on first up move after a downswing. ($20K, 43% initial cash, 17 share minimum trade, $500 minimum trade, 10% buy/sell safe, $10 commission) 164.1% or 1.75%/month over the 96 months!
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