2nd last day simulations

---------------------- 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