Wednesday, August 17, 2011

Summary Of Results through Aug 12 for intermediate model

The average annual return since inception in July 2005 is 18% with an average sharpe ratio of 1.87; The average winning month is 3% and the average losing month is 1.5%; Winning months outperform losers 2:1. For 2010 we were up through the end of July but are now flat due to an almost 5% drop in August. This also reduced our rolling sharpe ratio due to the sharpe increase in volatility in early august. However over all this model has been fairly robust since inception and held up well in 2008 relative to market indexes. It has performed well in August on relative terms given the extremely high level of volatility and the problems spreading through the euro-zone as well as the political stale-mate in washington. The table below indicates the summary results

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