Rom -0.633 0.049 Trachelomonas volvocina Ehrenberg Tvol -0.191 -0.545 Relative Density Site 1 Site 2 Site 3 Actinastrum hantzschii Lagerheim - - - Aphanocapsa elachista W.
where TVol is the target volatility, Vo[l.sub.t.sup.i](k)) is the annualized standard deviation of the CTA i calculated at point t using k most recent monthly returns, and [[lambda].sub.max] is the maximum un-leverage factor.