Applying quantitiative econometrics and bioengineering to investment finance

H500 Long Volatility Fund

Investment Objectives:

A net long volatility strategy that produces 5-7% under normal market conditions and large returns of 10%-25% during market crashes.

Portfolio Composition:

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

Methodology:

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Testing:

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2-Page Summary:

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PowerPoint Presentations:

Strategy	Technical
With Notes Without Notes	With Notes Without Notes

Detailed Zephyr Report:

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Detailed Strategy Analysis:

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Data file of returns:

Click here (MS-Excel format)

Performance Summary 1979 - 2004

SP500

H500
Compound Return 10.16% 6.68%

Downside Risk 9.93% 5.43%

Volatility 15.34% 13.97%

Beta -0.43

Sharpe 0.26 0.03
Information Ratio -0.14

Annualized Alpha

3.36%

Annual Returns*

1980	1981	1982	1983	1984	1985	1986	1987	1988	1989
3.00	2.43	-1.82	8.19	7.79	7.78	13.58	21.84	3.89	6.82
1990	1991	1992	1993	1994	1995	1996	1997	1998	1999
12.86	5.38	7.24	11.00	9.40	10.33	4.64	-1.08	13.19	-1.13
2000	2001	2002	2003	2004
-0.62	5.91	11.64	-1.13	9.58

*Calculated on monthly return data using Zephyr Style Advisor. Proteom Performance was calculated from 1980 through 2004, net of all fees, excluding dividends compared to the SP500 close price.