The purpose of the AlphaStream™ system of industry group ranking is to select a portfolio of industry groups (and their respective stocks)
whose total net performance in any given measurement period appears to have the best potential of exceeding the gross return of the S&P 500 (Ticker SPX)
with regularity. The following tables present a comparative analysis of historical returns and time periods for the AlphaStream™ Decile Model and
the S&P 500.
The percentage of periods when the total net return of the Decile Model exceeds the gross total return of the S&P 500 (SPX) |
Time Period Specifics
|
|
82.7% |
148 out of 179 Rolling 6-Months Time Periods |
|
* The AlphaStream™ Decile Model was developed with an objective of capital appreciation. The Decile Model is a broadly-diversified portfolio of common stocks, many of which are not constituents in the S&P 500 (symbol SPX). Volatility of the model does not consistently correlate with the S&P 500. Monthly Decile Model returns from April 1993 through July 2003 are calculated using data compiled by a single blind back-test in July 2003. Despite the use of blind testing, there can be no assurance that hindsight did not impute a positive effect on results. From August 2003 through the present, monthly Decile Model results have been compiled in real-time, without any benefit of hindsight. Dividend income has not been included in Decile Model returns or S&P 500 returns. Net monthly returns of the Decile Model reflect estimated annual expenses consisting of a 1% adviser fee and investment account expenses of 1%, accrued monthly in arrears. |
|
Through July 31, 2008
|
The Percentage of Periods the Total Net Return of the Decile Model was positive |
The Percentage of Periods the Total Gross Return of the S&P 500 was positive |
179 Rolling 6-month Periods |
82.7% |
70.4% |
173 Rolling 12-month Periods |
89.6% |
74.6% |
161 Rolling 24-month Periods |
98.8% |
77.6% |
IMPORTANT: PAST MODEL PERFORMANCE AND STATISTICS ARE NOT A GUARANTEE OF FUTURE INVESTMENT RETURNS. There is no assurance that an actual investment in the Decile Model will not lose value. Actual portfolios (net of fees and expenses) managed with the Decile Model have varied both positively and negatively from monthly Decile Model net results, at times materially. Model results do not reflect actual trading, and may not accurately reflect the impact those economic cycles or market factors (such as intra-day volatility, bid-ask spread or liquidity) might have had on the portfolio manager's implementation of the model. An industry group that falls outside of a model’s recommended list may have provided a higher return in the measurement period than a selected group, but was less likely to do so.