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F1000 Volatility Opportunity Fund
Investment Objectives:

Returns of around 50% with 25% volatility, uncorrelated with equity indices.
Portfolio Composition: Long and short option positions in S&P500 index member stocks and US equity indices.  Uses up to 10x leverage.
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)
Sample portfolios Click here (MS-Excel format)

Performance Summary

 

Oct 2002 - Dec 2004

SP500

F1000

Compound Return 19.06% 266.20%
Downside Risk 10.44% 36.95%
Volatility 16.25% 63.55%
Beta   0.15
Sharpe 1.13 4.18
Information Ratio   3.80

Annualized Alpha

  

333.19%

Monthly Returns*
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2004 -4.06 8.25 3.29 0.19 0.56 5.17 2.79 8.00 5.42 11.57 1.14 9.46 63.00
2003 -14.56 130.88 8.94 16.45 15.72 46.75 18.72 48.85 10.96 23.69 16.53 -10.31

977.36
2002                   -0.94 -0.17 9.04 7.83
*Calculated on daily return data using Zephyr Style Advisor. 
  
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