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D100 Volatility-Protected
          Zero-Beta US Equity Fund
Investment Objectives:

A zero 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: N/A
Data file of returns: Click here (MS-Excel format)
Database of sample portfolios Click here (MS-Access format)

Performance Summary

 

 Jan 1990 - Oct 2004

SP500

Proteom

Compound Return 8.56% 9.23%
Downside Risk 9.57% 3.02%
Volatility 14.60% 6.73%
Beta   0.00
Sharpe 0.29 0.73
Information Ratio   0.04

Annualized Alpha

  

4.98%

Annual Returns*
1990 1991 1992 1992 1994 1995 1996 1997 1998 1999
2.91 8.81 7.80 5.29 4.99 3.61 8.93 5.16 5.87 4.68
2000 2001 2002 2003 2004          
18.64 14.94 27.86 12.60 8.97          
*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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