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D050 Volatility-Protected
          Low-Beta US Equity Fund
Investment Objectives:

A low beta US equity strategy with volatility-hedge overlay designed to ensure market neutrality, with low volatility and double-digit alpha.
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 - Sep 2005

SP500

Proteom

Compound Return 8.23% 20.31%
Downside Risk 9.39% 2.98%
Volatility 14.35% 8.39%
Beta   -0.05
Sharpe 0.28 1.92
Information Ratio   0.88

Annualized Alpha

  

14.68%

Annual Returns*
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
8.14 26.09 13.95 12.90 12.61 20.13 27.91 24.52 24.93 19.50
2000 2001 2002 2003 2004 2005        
28.65 18.55 35.73 27.94 18.17 4.16        
*Calculated on monthly return data using Zephyr Style Advisor.  Proteom Performance was calculated from 1990 through 2004, gross of all fees, excluding dividends compared to the SP500 close price.
 
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