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A000 Long Only US Equity Fund
Investment Objectives:

A long-only equity strategy designed to outperform the S&P500 index with comparable volatility.
Portfolio Composition: Long positions in S&P500 index member stocks.
Methodology: Click here for details.
Testing: Click here for details.
2-Page Summary: Click here.
PowerPoint Presentations:
Strategy Technical
Detailed Zephyr Report: Click here.
Detailed Strategy Analysis: Click here.
Data file of returns: Click here (MS-Excel format)
Database of sample portfolios Click here (MS-Access format)

Performance Summary

 

 Jan 1980 - Dec 2004

SP500

Proteom

Compound Return 10.16% 13.27%
Downside Risk 9.93% 9.48%
Volatility 15.34% 15.79%
Beta   0.94
Sharpe 0.26 0.45
Information Ratio   0.48

Annualized Alpha

  

3.20%

Annual Returns*
1980 1981 1982 1983 1984 1985 1986 1987 1988 1989
15.31 5.74 18.96 14.23 4.71 20.66 16.45 6.36 14.79 17.50
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
-5.67 24.63 11.22 9.31 1.02 23.71 18.42 22.24 19.68 15.28
2000 2001 2002 2003 2004          
8.99 3.95 4.96 32.20 14.82          
*Calculated on monthly return data using Zephyr Style Advisor.  Proteom Performance was calculated from 1980 through 2004, net of all fees, excluding dividends compared to the SP500 close price.
 
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