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B000 S&P500 Index-Enhanced Fund
Investment Objectives:

A long-short equity strategy designed to outperform the S&P500 index with comparable volatility.
Portfolio Composition:
  • Long positions in S&P500 index member stocks.
  • Short position in SPYDs.
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% 19.13%
Downside Risk 9.93% 8.48%
Volatility 15.34% 16.08%
Beta   0.66
Sharpe 0.26 0.80
Information Ratio   0.66

Annualized Alpha

  

10.06%

Annual Returns*
1980 1981 1982 1983 1984 1985 1986 1987 1988 1989
8.03 19.74 22.30 12.33 8.34 16.79 18.48 11.70 17.54 11.18
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
-1.66 23.68 17.30 11.73 4.12 16.44 17.50 16.39 15.36 12.45
2000 2001 2002 2003 2004          
26.38 20.67 34.24 36.79 23.64          
*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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