PAST PERFORMANCE 1998-2008
average annual cumulative performance on 31 Dec’08
recommended SP500 & NQ portfolios vs S&P500 & NQ markets
5 Year average 28.9% 19.8% -24.0% -20.8%
3 Year average 17.8% 17.5% -33.3% -33.1%
1 Year average 0.7% -1.9% -41.0% -43.7%
total cumulative portfolio gain since inception
S&P portfolio (Aug’98 to Dec’09) and NQ (Jan’00 to Dec’08)
153.9% (vs. market -27.6%) and 21.1% (vs. market -53.7%)
Risk measures (average over the entire time of portfolio existence)
Sharpe (return / risk): recommended 0.54, 0.04%; (vs. market -0.05, -0.02)
Maximum draw down(max-min): recommend 3.63%, 8.36%; (vs. market 18.08%, 29.16%)
Average exposure: recommended-portf.= 32.51%, 30.84%, (vs. mkt-portf.= 100%)
Results for 2008 1 Jan to 31 Dec
recommended SP500-portf. = 0.7% gain (vs.market S&P500 = -41% loss)
recommended NQ100-portf. = -1.9% loss (vs.market NQ 100 = -44% loss)
Sharpe (return / risk): recommended 0.0, -0.31 (vs. markets -1.17, -1.30)
Average annual performance over the lifetime of portfolios is much better than the markets, with significantly lower risk
DETAILED PERFORMANCE TABLES
Tbill% |
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recommended portfolios |
market |
market |
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recommended portfolios |
market |
market |
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prev year |
year |
RecSP Portf |
RecNQ Portf |
S&P500 |
NDX |
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RecSP-port |
RecNQ-port |
S&P500 |
NDX |
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averages |
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annual gain |
annual gain |
annual gain |
annual gain |
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CumGain |
CumGain |
CumGain |
CumGain |
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initial |
0.0% |
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0.0% |
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1997 |
100.0% |
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100.0% |
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4.60% |
July-Dec1998 |
17.4% |
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13.3% |
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1998 |
117.4% |
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113.3% |
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4.66% |
1999 |
25.2% |
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15.4% |
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1999 |
146.9% |
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130.8% |
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5.85% |
2000 |
13.6% |
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-9.9% |
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2000 |
167.0% |
100.0% |
117.8% |
100.0% |
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3.45% |
2001 |
14.8% |
5.2% |
-12.1% |
-30.8% |
2001 |
191.6% |
105.2% |
103.5% |
69.2% |
|
1.62% |
2002 |
0.8% |
-1.5% |
-24.6% |
-38.4% |
2002 |
193.1% |
103.6% |
78.1% |
42.6% |
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1.02% |
2003 |
2.0% |
-2.4% |
22.0% |
41.9% |
2003 |
196.9% |
101.2% |
95.2% |
60.5% |
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1.38% |
2004 |
5.6% |
1.6% |
10.6% |
12.3% |
2004 |
207.9% |
102.8% |
105.3% |
67.9% |
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3.15% |
2005 |
3.7% |
0.6% |
3.0% |
1.5% |
2005 |
215.6% |
103.4% |
108.5% |
68.9% |
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4.73% |
2006 |
13.1% |
11.3% |
13.6% |
6.8% |
2006 |
243.7% |
115.1% |
123.3% |
73.6% |
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4.40% |
2007 |
3.5% |
7.3% |
-0.5% |
11.8% |
2007 |
252.1% |
123.5% |
122.6% |
82.3% |
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1.43% |
2008 |
0.7% |
-1.9% |
-41.0% |
-43.7% |
2008 |
253.9% |
121.1% |
72.4% |
46.3% |
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0.032978 |
av |
8.3% |
2.5% |
-0.8% |
-4.8% |
C.Gain 5 y |
28.9% |
19.8% |
-24.0% |
-20.5% |
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st.d |
8.2% |
0.05 |
0.18 |
0.30 |
C.Gain 3 y |
17.8% |
17.5% |
-33.3% |
-32.8% |
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sharpe |
annual |
0.62 |
|
-0.23 |
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C.Gain 1 y |
0.7% |
-1.9% |
-41.0% |
-43.7% |
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5 Y avrg |
5.8% |
4.0% |
-4.8% |
-4.1% |
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3 Y avrg |
5.9% |
5.8% |
-11.1% |
-10.9% |
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1 Y avrg |
0.7% |
-1.9% |
-41.0% |
-43.7% |
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RISK MEASURESS: Sharpe of weekly gains |
Lowest Draw Down |
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Exposure |
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sh recSP |
sh recNQ |
sh SP500 |
sh NDX |
recSP |
recNQ |
SP500 |
NDX |
recSP |
recNQ |
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recommended portfolios |
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markets |
recomm. portfolios |
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markets |
recomm. portfolios |
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2000 |
0.55 |
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-0.67 |
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5.5% |
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15.1% |
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48.9% |
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2001 |
0.87 |
0.17 |
-0.61 |
-0.54 |
3.3% |
19.8% |
29.5% |
65.3% |
28.8% |
28.7% |
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2002 |
-0.24 |
-0.35 |
-1.35 |
-1.26 |
2.0% |
5.8% |
32.0% |
53.0% |
16.4% |
18.4% |
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2003 |
0.31 |
-0.64 |
1.24 |
1.56 |
2.2% |
5.6% |
11.1% |
12.6% |
16.9% |
20.4% |
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2004 |
0.72 |
0.06 |
0.82 |
0.63 |
6.7% |
12.1% |
8.5% |
17.0% |
45.7% |
43.1% |
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2005 |
0.11 |
-0.25 |
0.02 |
-0.06 |
3.1% |
6.7% |
6.6% |
13.1% |
47.6% |
53.1% |
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2006 |
2.38 |
1.14 |
0.82 |
0.18 |
0.9% |
2.9% |
7.2% |
18.0% |
26.4% |
24.3% |
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2007 |
0.19 |
0.48 |
0.48 |
0.64 |
4.8% |
6.4% |
6.9% |
5.8% |
40.6% |
38.7% |
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2008 |
0.00 |
-0.31 |
-1.17 |
-1.30 |
4.1% |
7.6% |
45.9% |
48.5% |
21.4% |
20.1% |
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average |
0.54 |
0.04 |
-0.05 |
-0.02 |
3.6% |
8.4% |
18.1% |
29.2% |
32.5% |
30.8% |
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higher sharpe |
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smaller LDD |
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smaller exposure |
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