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B100 Volatility-Protected
          S&P500 Index-Enhanced Fund
Investment Objectives:

A long-short 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.
  • 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 1990 - Dec 2004

SP500

Proteom

Compound Return 8.56% 22.19%
Downside Risk 9.57% 6.48%
Volatility 14.60% 14.44%
Beta   0.58
Sharpe 0.29 1.24
Information Ratio   1.03

Annualized Alpha

  

14.96%

Annual Returns*
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
3.16 29.49 17.04 13.73 9.26 22.33 27.19 25.15 24.69 19.07
2000 2001 2002 2003 2004          
30.02 20.46 37.24 37.52 21.48          
*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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