Applying quantitiative econometrics and bioengineering to investment finance

G000 Strategic Volatility Fund

Investment Objectives:

Returns of around 10%-15% with single digit volatility, uncorrelated with equity indices.

Portfolio Composition:

Long and short option positions in S&P500 index member stocks and US equity indices.

Methodology:

Click here for details.

Testing:

Click here for details.

2-Page Summary:

Click here.

PowerPoint Presentations:

Strategy	Technical
With Notes Without Notes	With Notes Without Notes

Detailed Zephyr Report:

Click here.

Detailed Strategy Analysis:

Click here.

Data file of returns:

Click here (MS-Excel format)

Sample portfolios

Click here (Zip file MS-Excel format)

Performance Summary

Oct 2002 - Dec 2004

SP500

G000
Compound Return 19.06% 12.90%

Downside Risk 10.44% 4.33%

Volatility 16.25% 6.92%

Beta -0.02

Sharpe 1.13 1.76
Information Ratio -0.34

Annualized Alpha

12.88%

Monthly Returns*

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2004	-1.81	1.60	1.78	-0.38	0.89	0.68	1.16	2.11	0.00	2.51	2.84	1.39	13.21
2003	2.51	10.45	0.49	-0.71	-1.46	-0.62	0.34	2.18	-0.19	1.35	1.99	-1.83	14.88
2002										-1.15	-.10	2.36	1.09

*Calculated on daily return data using Zephyr Style Advisor.