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Proteom strategies have been extensively back-tested using 25 years
of historical data gathered from three different data sources. The
data series were thoroughly analyzed and carefully scrubbed to remove defective data
points. the monthly returns series for each strategy were analyzed using the Zephyr Style Manager
system. In addition the long equity component of each strategy
was analyzed at the portfolio level using the Wilshire
Atlas systems. Quoted performance results are net of all trading costs
and management and performance fees, which are 2% and 25%
respectively.
A live test of the L000
Long/Short strategy was launched in January of 2003 using the REDI+
Trading
Platform at GS/SLK, the fund’s Prime Broker.
This fund was traded at $0.03/share, used no leverage, and
had a constant short position in the SPY of 40% of assets.
In 2004 the fee has dropped to $0.01/share, the short
position (SPY) is margined, and rebalanced daily with a range of
25% to 50% of assets. There
are no management fees.
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testing - equity strategies