supplemental statistics

 

The following supplemental statistics are based on our actual independently-audited results at Timer Trac.

Portfolio Statistics (01/2006 - 08/2008)
BASED ON ACTUAL INDEPENDENTLY-AUDITED RESULTS

 

Statistic
S&P 500
Buy & Hold
ProFunds Portfolio
Rydex Portfolio
Direxion Portfolio
Unlev. US Indices
Risk/Return Profile Benchmark Core Core Core Conservative
Months Traded 31 32 32 27 27
Annualized Return (1) 1.0% 19.9% 15.0% 20.5% 11.3%
Annualized Standard Deviation 10.4% 8.9% 8.0% 11.3% 4.4%
Sharpe Ratio (Annual) (2) -0.29 1.78 1.38 1.46 1.66
Best Monthly Return 4.8% 8.1% 6.7% 7.3% 3.5%
Worst Monthly Return -8.6% -4.9% -4.7% -8.4% -1.1%
Winning Months 65.6% 84.4% 68.8% 81.5% 74.1%
Months Beating S&P 500 0.0% 71.9% 59.4% 66.7% 51.9%
Peak DD (Peak to Trough) -22.4% -9.1% -9.9% -10.6% -3.4%
Peak DD (Month to Month) -18.2% -5.4% -6.3% -9.3% -2.4%
Average Exposure (3) 100.0% 26.2% 26.9% 15.6% 14.3%
Avg. Leverage Exposure (4) 100.0% 43.4% 36.0% 37.5% 14.3%
Days in Market (5) 100.0% 52.3% 50.9% 30.4% 25.9%
Correlation to S&P 500 (6) 100.0% 55.4% 58.7% 42.5% 43.7%
Notes:

(1) Portfolio Returns assume money market rates equal the nearest 13-week treasury bill.

(2) Sharpe Ratio discounted at a 4% risk-free rate.

(3) Average Exposure represents the average percentage of the portfolio invested in that group on any given trading day. For example, if today we are 100% invested and tomorrow 0% invested in an asset, the average exposure is 50%.

(4) Average Leverage Exposure is similar to Average Exposure, but it includes the impact of leverage on any given trading day. For example, if today we are 100% invested and tomorrow 50% invested in a 2x fund, the average leverage exposure is 150%.

(5) Days in Market represents the percentage of trading days in which some part of the portfolio was invested in that group.

(6) Correlation to S&P 500 calculated based on monthly data.

 

Timer Trac vs Theta Research

There are discrepancies between these and our Theta Research returns for the following reasons:

(a) Our Theta results account for a 2.5% management fee - these results do not, (b) Theta results use actual money market returns - we assume money market rates equal the nearest 13-week treasury bill, and (c) Timer Trac rounds all portfolio allocations to the nearest integer whereas actual allocations might have been fractional.