 Volatility Strategies:
Actual/Pro-Forma Performance |
Oct 2002
-
Dec 2005*
| SP500 |
|
|
|
| Annual Return |
13.87% |
207.34% |
16.38% |
6.68% |
|
Downside Risk |
9.56% |
34.15% |
4.14% |
5.43% |
|
Volatility |
14.67% |
57.66% |
6.83% |
13.97% |
| Beta |
|
0.01 |
-0.02 |
-0.43 |
| Sharpe |
0.87 |
3.58 |
2.24 |
0.03 |
|
Information Ratio |
|
3.25 |
0.15 |
-0.14 |
Alpha |
|
257.54% |
15.66%
|
3.36%
|
| * Results calculated on
actual net monthly returns from Oct 2002 - Jun 2004, pro-forma
thereafter, except
where indicated (** = pro-forma from 1979) |
|
|
| |
Equity Strategies: Actual/
Pro-Forma Performance |
| SP500 |
|
|
|
|
|
|
Annual Return
Jan 2003 - Dec 2005 |
12.37% |
15.42% |
15.20% |
21.41% |
19.94% |
16.68% |
7.22% |
Annual Return
from inception |
9.87% |
12.78% |
19.07% |
18.38% |
20.90% |
20.03% |
8.65% |
|
Downside
Risk |
9.78% |
9.38% |
5.20% |
8.46% |
6.47% |
2.96% |
3.03% |
|
Volatility |
15.11% |
15.62% |
12.30% |
15.94% |
14.22% |
8.35% |
6.62% |
|
Beta |
|
0.95 |
0.49 |
0.67 |
0.59 |
0.21 |
0.00 |
|
Sharpe |
0.25 |
0.43 |
1.21 |
0.77 |
1.17 |
1.89 |
0.67 |
|
Information Ratio |
|
0.46 |
0.87 |
0.64 |
0.99 |
0.87 |
0.03 |
Alpha |
|
2.99% |
12.49%
|
9.57%
|
13.96%
|
14.44%
|
4.48%
|
All
results calculated on monthly returns from Jan 2003 to Dec
2004,
net of
management and performance fees. |
|
|
| |
