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A100 Volatility-Protected Long-Only
          US Equity Fund
Investment Objectives:

A long-only equity strategy with volatility hedge overlay designed to outperform the S&P500 index with comparable volatility.
Portfolio Composition:
  • Long positions in S&P500 index member stocks.
  • Long position in VIX futures.
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 1990 - Dec 2004

SP500

Proteom

Compound Return 8.56% 20.08%
Downside Risk 9.57% 5.21%
Volatility 14.60% 12.52%
Beta   0.49
Sharpe 0.29 1.26
Information Ratio   0.91

Annualized Alpha

  

13.22%

Annual Returns*
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
6.66 29.55 9.27 11.27 11.54 27.68 33.50 33.54 33.20 24.65
2000 2001 2002 2003 2004          
19.02 7.46 17.78 26.62 15.04          
*Calculated on monthly return data using Zephyr Style Advisor.  Proteom Performance was calculated from 1990 through 2004, net of all fees, excluding dividends compared to the SP500 close price.
 
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