Message-ID: <2724938.1075856464209.JavaMail.evans@thyme> Date: Thu, 21 Dec 2000 09:41:00 -0800 (PST) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: 2nd last day simulations Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/21/2000 05:46 PM --------------------------- Stinson Gibner 12/21/2000 10:28 AM To: John J Lavorato/Corp/Enron@Enron cc: Vince J Kaminski/HOU/ECT@ECT, Zimin Lu/HOU/ECT@ECT Subject: 2nd last day simulations John, In general, results are not too different from last day roll. For "no roll" and "roll same position" strategies, the 2nd last day seems to outperform slightly more often. Let me know if you would like to 1) look at quarter to quarter earning volatility of these strategies or 2) look at effect of incorporating some transaction costs for rolling/liquidating positions. --Stinson Normal Roll No Roll Fill Gap