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Custom Portfolio Model
$500K Hypothetical Portfolio
February 2002 - January 2005
Performance numbers were calculated by back testing "net return data" provided by the managers. The data does not include or reflect a provision for "slippage" and the returns may be unaudited. The construction of each of these portfolios was accomplished without "notional" funding. An investor, fully funding the account minimums, would be able to duplicate any of the hypothetical portfolio's illustrated on this site. It should also be added that none of the portfolio studies provided for "rebalancing".
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1.Performance & Char.
2. FP Fund Model
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5. FAQ |
| Annual Returns |
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Current |
2002 |
2003 |
2004 |
2005 |
Inception |
| $500K Model Portfolio |
0.61% |
42.81% |
32.08% |
22.00% |
0.61% |
32.29% |
| Barra S&P 500 |
-2.44% |
-20.95% |
28.68% |
10.88% |
(2.44)% |
3.24% |
| Barclay CTA Index |
-3.07% |
13.34% |
8.69% |
3.28% |
(3.07)% |
7.24% |
| Benchmark Analysis |
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Alpha |
Beta |
R |
R-square |
Tracking |
Info. Ratio |
| Barra S&P 500 |
32.10% |
0.08 |
0.19 |
0.04 |
16.89% |
1.72 |
| Barclay CTA Index |
2.30% |
0.13 |
0.18 |
0.03 |
11.94% |
2.10 |
| Description |
Return |
Std. Dev |
Sharpe |
Down Dev. |
Sortino RF |
Drawdown |
| $500K Model Portfolio |
32.29% |
6.66% |
4.27 |
0.91% |
30.98 |
-1.48% |
| Barra S&P 500 |
3.24% |
15.12% |
0.28 |
10.60% |
0.30 |
-28.36% |
| Barclay CTA Index |
7.24% |
9.00% |
0.82 |
5.03% |
1.39 |
-7.85% |
Cumulative Returns
The asset allocation is comprised of managers whose minimum account size would enable investors to meet the minimum investment requirements without utilizing notional funds. The data for the asset allocation encompasses the last 36 months of returns.
$500k Asset Allocation
The chart below measures the performance of the hypothetical portfolio versus "Indices" representing various asset classes for the most recent 36 months of performance data.
Annualized Returns - Portfolio vs Benchmarks
The chart below compares the risk and return of the sample portfolio against selected benchmarks representing traditional and non-traditional asset classes.
Risk / Return Analysis
The chart below illustrates the distributions of monthly returns of the hypothetical portfolio for the most recent 36 months of performance data.
Distribution of Monthly Returns
The drawdown analysis chart measures the maximum drawdown experienced by the fund for the past 36 months of performance history. Generally speaking "Drawdown Analysis" is used as a guide to determine the amount of risk or volatility the fund has experienced.
Drawdown Analysis: February 2002 - January 2005
Standard deviation measures the variation of returns around the mean of investment returns. The higher the volatility of returns, the higher standard deviation will be. Generally speaking standard deviation is used as a "risk" or "volatility" measurement.
Risk (Volatility) Analysis
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